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—December 31, 2023
Item 1: Reports to Shareholders
Annual Report | December 31, 2023
Vanguard 500
Index Fund
See the inside front cover
for important information about your fund’s annual and semiannual shareholder reports.
Important information about shareholder
reports
Beginning in July 2024,
amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and
concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at
vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive
shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at
one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Performance Summary | 4 |
Financial Statements | 7 |
Please note: The
opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date
on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | The financial markets delivered very robust returns for the 12 months ended December 31, 2023. Returns for Vanguard 500 Index Fund ranged from 26.11% for Investor Shares to 26.28% for Institutional Select Shares. It closely tracked its target index, the Standard & Poor’s 500 Index. The fund provides exposure to the stocks of the largest U.S. companies. |
| • | With inflation continuing to ease, a number of major central banks left off hiking interest rates. Global growth, employment, and consumer spending showed resilience, but the prospect of rates remaining high for an extended period spurred volatility at times. Toward year-end, however, global stocks and bonds rallied as falling inflation and softening economic growth raised market expectations for rate cuts in 2024. |
| • | All but two of the 11 industry sectors recorded positive returns for the 12 months. Information technology, communication services, and consumer discretionary all posted very strong results. |
| • | For the 10 years ended December 31, the fund posted average annual returns of 11.88% for Investor Shares and 11.99% for both ETF Shares (based on net asset value) and Admiral Shares. Institutional Select Shares recorded an annualized return of 14.02% since their 2016 inception. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2023 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.53% | 8.97% | 15.52% |
| Russell 2000 Index (Small-caps) | 16.93 | 2.22 | 9.97 |
| Russell 3000 Index (Broad U.S. market) | 25.96 | 8.54 | 15.16 |
| FTSE All-World ex US Index (International) | 15.82 | 1.98 | 7.52 |
| Bonds | |||
| Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | 5.60% | -3.33% | 1.17% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 6.40 | -0.40 | 2.25 |
| FTSE Three-Month U.S. Treasury Bill Index | 5.26 | 2.24 | 1.91 |
| CPI | |||
| Consumer Price Index | 3.35% | 5.60% | 4.07% |
1
About Your Fund’s Expenses
As a shareholder of the fund,
you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross
income, directly reduce the investment return of the fund.
A fund’s expenses are
expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table
illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown
in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or
account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no
shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information
about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your
fund’s current prospectus.
2
| Six Months Ended December 31, 2023 | |||
| Beginning Account Value 6/30/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| 500 Index Fund | |||
| Investor Shares | $1,000.00 | $1,079.60 | $0.73 |
| ETF Shares | 1,000.00 | 1,080.30 | 0.16 |
| Admiral™ Shares | 1,000.00 | 1,080.20 | 0.21 |
| Institutional Select Shares | 1,000.00 | 1,080.30 | 0.05 |
| Based on Hypothetical 5% Yearly Return | |||
| 500 Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Select Shares | 1,000.00 | 1,025.16 | 0.05 |
The calculations are
based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.03% for ETF Shares, 0.04% for Admiral Shares, and
0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
3
500 Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of
$10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| 500 Index Fund Investor Shares | 26.11% | 15.53% | 11.88% | $30,725 |
| S&P 500 Index | 26.29 | 15.69 | 12.03 | 31,149 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| 500 Index Fund ETF Shares Net Asset Value | 26.25% | 15.65% | 11.99% | $31,037 | |
| 500 Index Fund ETF Shares Market Price | 26.33 | 15.66 | 12.00 | 31,054 | |
| S&P 500 Index | 26.29 | 15.69 | 12.03 | 31,149 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
4
500 Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| 500 Index Fund Admiral Shares | 26.24% | 15.65% | 11.99% | $31,043 | |
| S&P 500 Index | 26.29 | 15.69 | 12.03 | 31,149 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Since Inception (6/24/2016) | Final Value of a $5,000,000,000 Investment | ||
| 500 Index Fund Institutional Select Shares | 26.28% | 15.68% | 14.02% | $13,406,371,500 | |
| S&P 500 Index | 26.29 | 15.69 | 14.02 | 13,410,327,500 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 13.49 | 12,946,697,500 | |
"Since Inception" performance is
calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF
Shares: December 31, 2013, Through December 31, 2023
| One Year | Five Years | Ten Years | |
| 500 Index Fund ETF Shares Market Price | 26.33% | 106.99% | 210.54% |
| 500 Index Fund ETF Shares Net Asset Value | 26.25 | 106.84 | 210.37 |
| S&P 500 Index | 26.29 | 107.21 | 211.49 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5
500 Index Fund
Fund Allocation
As of December 31, 2023
| Communication Services | 8.6% |
| Consumer Discretionary | 10.9 |
| Consumer Staples | 6.2 |
| Energy | 3.9 |
| Financials | 12.9 |
| Health Care | 12.6 |
| Industrials | 8.8 |
| Information Technology | 28.9 |
| Materials | 2.4 |
| Real Estate | 2.5 |
| Utilities | 2.3 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if
applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
Global Industry
Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc.
(“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or
representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness,
merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive,
consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
6
500 Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
7
500 Index Fund
8
500 Index Fund
9
500 Index Fund
10
500 Index Fund
11
500 Index Fund
12
500 Index Fund
| Shares | Market Value• ($000) | ||
| AES Corp. | 16,347,204 | 314,684 | |
| Evergy Inc. | 5,607,298 | 292,701 | |
| NRG Energy Inc. | 5,516,965 | 285,227 | |
| NiSource Inc. | 10,088,087 | 267,839 | |
| Pinnacle West Capital Corp. | 2,773,003 | 199,212 | |
| 22,874,545 | |||
| Total Common Stocks (Cost $588,003,536) | 976,810,547 | ||
| Temporary Cash Investments (0.3%) | |||
| Money Market Fund (0.3%) | |||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $2,581,279) | 25,824,367 | 2,581,920 |
| Total Investments (99.9%) (Cost $590,584,815) | 979,392,467 | ||
| Other Assets and Liabilities—Net (0.1%) | 955,501 | ||
| Net Assets (100%) | 980,347,968 | ||
| 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 $37,536,000. |
| 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 $40,254,000 was received for securities on loan. |
| CVR—Contingent Value Rights. |
13
500 Index Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 11,305 | 2,724,505 | 70,958 |
| 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) |
| Citigroup Inc. | 8/29/25 | BANA | 30,864 | (5.931) | — | (132) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 33,639 | (5.881) | 136 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.978) | 152 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.977) | — | (93) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.976) | — | (88) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.976) | — | (83) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.975) | — | (77) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 18,021 | (5.881) | 73 | — |
| Global Payments Inc. | 8/30/24 | BANA | 172,085 | (5.931) | — | (415) |
| Goldman Sachs Group Inc. | 8/29/25 | BANA | 251,136 | (6.031) | 710 | — |
| Invesco Ltd. | 8/30/24 | BANA | 4,460 | (5.881) | 33 | — |
| Kroger Co. | 1/31/24 | GSI | 44,110 | (5.324) | 1,522 | — |
| Netflix Inc. | 8/30/24 | BANA | 48,688 | (5.331) | — | (204) |
| VICI Properties Inc. | 8/30/24 | BANA | 84,482 | (5.981) | 718 | — |
| Visa Inc. Class A | 8/30/24 | BANA | 65,088 | 5.231 | — | (140) |
| 3,344 | (1,232) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $69,246,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
14
500 Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $588,003,536) | 976,810,547 |
| Affiliated Issuers (Cost $2,581,279) | 2,581,920 |
| Total Investments in Securities | 979,392,467 |
| Investment in Vanguard | 31,035 |
| Cash | 2,982 |
| Cash Collateral Pledged—Futures Contracts | 134,729 |
| Receivables for Investment Securities Sold | 60,221 |
| Receivables for Accrued Income | 928,234 |
| Receivables for Capital Shares Issued | 645,981 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 3,344 |
| Total Assets | 981,198,993 |
| Liabilities | |
| Payables for Investment Securities Purchased | 247,045 |
| Collateral for Securities on Loan | 40,254 |
| Payables for Capital Shares Redeemed | 541,870 |
| Payables to Vanguard | 13,694 |
| Variation Margin Payable—Futures Contracts | 6,930 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,232 |
| Total Liabilities | 851,025 |
| Net Assets | 980,347,968 |
| 1 Includes $37,536,000 of securities on loan. | |
15
500 Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 609,117,816 |
| Total Distributable Earnings (Loss) | 371,230,152 |
| Net Assets | 980,347,968 |
| Investor Shares—Net Assets | |
| Applicable to 7,218,564 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,176,561 |
| Net Asset Value Per Share—Investor Shares | $440.05 |
| ETF Shares—Net Assets | |
| Applicable to 852,102,904 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 372,050,529 |
| Net Asset Value Per Share—ETF Shares | $436.63 |
| Admiral Shares—Net Assets | |
| Applicable to 1,038,239,890 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 456,812,377 |
| Net Asset Value Per Share—Admiral Shares | $439.99 |
| Institutional Select Shares—Net Assets | |
| Applicable to 635,921,838 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 148,308,501 |
| Net Asset Value Per Share—Institutional Select Shares | $233.22 |
See accompanying
Notes, which are an integral part of the Financial Statements.
16
500 Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 14,020,764 |
| Interest2 | 149,303 |
| Securities Lending—Net | 516 |
| Total Income | 14,170,583 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 18,349 |
| Management and Administrative—Investor Shares | 4,142 |
| Management and Administrative—ETF Shares | 66,283 |
| Management and Administrative—Admiral Shares | 136,013 |
| Management and Administrative—Institutional Select Shares | 9,506 |
| Marketing and Distribution—Investor Shares | 138 |
| Marketing and Distribution—ETF Shares | 14,875 |
| Marketing and Distribution—Admiral Shares | 16,088 |
| Marketing and Distribution—Institutional Select Shares | 249 |
| Custodian Fees | 3,015 |
| Auditing Fees | 45 |
| Shareholders’ Reports—Investor Shares | 4 |
| Shareholders’ Reports—ETF Shares | 3,958 |
| Shareholders’ Reports—Admiral Shares | 1,792 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 521 |
| Other Expenses | 23 |
| Total Expenses | 275,001 |
| Expenses Paid Indirectly | (175) |
| Net Expenses | 274,826 |
| Net Investment Income | 13,895,757 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 20,395,522 |
| Futures Contracts | 306,185 |
| Swap Contracts | 94,710 |
| Realized Net Gain (Loss) | 20,796,417 |
17
500 Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 164,440,380 |
| Futures Contracts | 130,883 |
| Swap Contracts | (994) |
| Change in Unrealized Appreciation (Depreciation) | 164,570,269 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 199,262,443 |
| 1 | Dividends are net of foreign withholding taxes of $3,752,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $142,398,000, $229,000, $15,000, and ($303,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $25,287,854,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
18
500 Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 13,895,757 | 12,276,461 |
| Realized Net Gain (Loss) | 20,796,417 | 27,249,293 |
| Change in Unrealized Appreciation (Depreciation) | 164,570,269 | (197,719,707) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 199,262,443 | (158,193,953) |
| Distributions | ||
| Investor Shares | (46,502) | (51,118) |
| ETF Shares | (5,133,943) | (4,305,991) |
| Admiral Shares | (6,583,499) | (6,152,722) |
| Institutional Select Shares | (2,092,603) | (1,760,089) |
| Total Distributions | (13,856,547) | (12,269,920) |
| Capital Share Transactions | ||
| Investor Shares | (596,976) | (599,158) |
| ETF Shares | 42,127,992 | 39,905,931 |
| Admiral Shares | 331,303 | 2,645,315 |
| Institutional Select Shares | 8,310,030 | 17,199,992 |
| Net Increase (Decrease) from Capital Share Transactions | 50,172,349 | 59,152,080 |
| Total Increase (Decrease) | 235,578,245 | (111,311,793) |
| Net Assets | ||
| Beginning of Period | 744,769,723 | 856,081,516 |
| End of Period | 980,347,968 | 744,769,723 |
See accompanying
Notes, which are an integral part of the Financial Statements.
19
500 Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $354.17 | $439.86 | $346.60 | $298.16 | $231.44 |
| Investment Operations | |||||
| Net Investment Income1 | 5.990 | 5.605 | 4.910 | 5.128 | 4.801 |
| Net Realized and Unrealized Gain (Loss) on Investments | 85.860 | (85.733) | 93.389 | 48.323 | 67.211 |
| Total from Investment Operations | 91.850 | (80.128) | 98.299 | 53.451 | 72.012 |
| Distributions | |||||
| Dividends from Net Investment Income | (5.970) | (5.562) | (5.039) | (5.011) | (5.292) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (5.970) | (5.562) | (5.039) | (5.011) | (5.292) |
| Net Asset Value, End of Period | $440.05 | $354.17 | $439.86 | $346.60 | $298.16 |
| Total Return2 | 26.11% | -18.23% | 28.53% | 18.25% | 31.33% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,177 | $3,093 | $4,512 | $4,504 | $4,723 |
| Ratio of Total Expenses to Average Net Assets | 0.14%3 | 0.14%3 | 0.14% | 0.14% | 0.14% |
| Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.47% | 1.25% | 1.73% | 1.82% |
| Portfolio Turnover Rate4 | 2% | 2% | 2% | 4% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
20
500 Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $351.41 | $436.47 | $343.93 | $295.87 | $229.68 |
| Investment Operations | |||||
| Net Investment Income1 | 6.412 | 6.012 | 5.353 | 5.413 | 5.298 |
| Net Realized and Unrealized Gain (Loss) on Investments | 85.165 | (85.125) | 92.624 | 47.950 | 66.463 |
| Total from Investment Operations | 91.577 | (79.113) | 97.977 | 53.363 | 71.761 |
| Distributions | |||||
| Dividends from Net Investment Income | (6.357) | (5.947) | (5.437) | (5.303) | (5.571) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (6.357) | (5.947) | (5.437) | (5.303) | (5.571) |
| Net Asset Value, End of Period | $436.63 | $351.41 | $436.47 | $343.93 | $295.87 |
| Total Return2 | 26.25% | -18.15% | 28.66% | 18.35% | 31.46% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $372,051 | $262,211 | $279,850 | $177,991 | $130,728 |
| Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% |
| Ratio of Net Investment Income to Average Net Assets | 1.63% | 1.60% | 1.36% | 1.83% | 1.98% |
| Portfolio Turnover Rate4 | 2% | 2% | 2% | 4% | 4% |
| 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 were 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
21
500 Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $354.11 | $439.83 | $346.57 | $298.14 | $231.44 |
| Investment Operations | |||||
| Net Investment Income1 | 6.404 | 6.000 | 5.326 | 5.427 | 5.319 |
| Net Realized and Unrealized Gain (Loss) on Investments | 85.843 | (85.767) | 93.371 | 48.314 | 66.962 |
| Total from Investment Operations | 92.247 | (79.767) | 98.697 | 53.741 | 72.281 |
| Distributions | |||||
| Dividends from Net Investment Income | (6.367) | (5.953) | (5.437) | (5.311) | (5.581) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (6.367) | (5.953) | (5.437) | (5.311) | (5.581) |
| Net Asset Value, End of Period | $439.99 | $354.11 | $439.83 | $346.57 | $298.14 |
| Total Return2 | 26.24% | -18.15% | 28.66% | 18.37% | 31.46% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $456,812 | $367,498 | $453,239 | $359,553 | $319,624 |
| Ratio of Total Expenses to Average Net Assets | 0.04%3 | 0.04%3 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.58% | 1.35% | 1.83% | 1.97% |
| Portfolio Turnover Rate4 | 2% | 2% | 2% | 4% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
22
500 Index Fund
Financial Highlights
| Institutional Select Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $187.66 | $233.06 | $183.64 | $157.98 | $122.64 |
| Investment Operations | |||||
| Net Investment Income1 | 3.462 | 3.249 | 2.885 | 2.924 | 2.857 |
| Net Realized and Unrealized Gain (Loss) on Investments | 45.493 | (45.458) | 49.478 | 25.597 | 35.484 |
| Total from Investment Operations | 48.955 | (42.209) | 52.363 | 28.521 | 38.341 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.395) | (3.191) | (2.943) | (2.861) | (3.001) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.395) | (3.191) | (2.943) | (2.861) | (3.001) |
| Net Asset Value, End of Period | $233.22 | $187.66 | $233.06 | $183.64 | $157.98 |
| Total Return | 26.28% | -18.13% | 28.70% | 18.40% | 31.49% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $148,309 | $111,968 | $118,481 | $94,870 | $81,230 |
| Ratio of Total Expenses to Average Net Assets | 0.01%2 | 0.01%2 | 0.01% | 0.01% | 0.01% |
| Ratio of Net Investment Income to Average Net Assets | 1.65% | 1.62% | 1.38% | 1.86% | 2.00% |
| Portfolio Turnover Rate3 | 2% | 2% | 2% | 4% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
23
500 Index Fund
Notes to Financial Statements
Vanguard 500 Index Fund is
registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Select
Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Cboe BZK Exchange, Inc; they can be
purchased and sold through a broker.
In March 2023, the board of
trustees approved a plan of reorganization whereby the fund will reorganize from Vanguard Index Funds (such fund the "Predecessor Fund”) to a newly created shell series under Vanguard Tax-Managed Funds. The
purpose of the reorganization is to improve administrative efficiencies for all funds within the Vanguard complex by spreading the filing and reporting requirements across different legal entities. After the
reorganization the surviving fund will be identical in its management to the Predecessor Fund and its investment objective, strategies, and policies will remain unchanged. The reorganization is anticipated to qualify
as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by
methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in
24
500 Index Fund
the Statement of Operations as unrealized
appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the
termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral
received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two
business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
25
500 Index Fund
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow
26
500 Index Fund
money from and lend money to each other for
temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and
investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is
governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $31,035,000, representing less than 0.01% of the
fund’s net assets and 12.41% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $175,000 (an annual rate of less than 0.01% of average net assets). |
| D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
27
500 Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes
the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 976,810,547 | — | — | 976,810,547 |
| Temporary Cash Investments | 2,581,920 | — | — | 2,581,920 |
| Total | 979,392,467 | — | — | 979,392,467 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 70,958 | — | — | 70,958 |
| Swap Contracts | — | 3,344 | — | 3,344 |
| Total | 70,958 | 3,344 | — | 74,302 |
| Liabilities | ||||
| Swap Contracts | — | 1,232 | — | 1,232 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap agreements were reclassified between the following accounts: |
| Amount ($000) | |
| Paid-in Capital | 25,288,331 |
| Total Distributable Earnings (Loss) | (25,288,331) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from
certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
28
500 Index Fund
| Amount ($000) | |
| Undistributed Ordinary Income | 212,833 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 388,378,108 |
| Capital Loss Carryforwards | (17,360,789) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 371,230,152 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 13,856,547 | 12,269,920 |
| Long-Term Capital Gains | — | — |
| Total | 13,856,547 | 12,269,920 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023, gross
unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 591,014,359 |
| Gross Unrealized Appreciation | 413,939,478 |
| Gross Unrealized Depreciation | (25,561,370) |
| Net Unrealized Appreciation (Depreciation) | 388,378,108 |
| F. | During the year ended December 31, 2023, the fund purchased $102,584,036,000 of investment securities and sold $52,488,052,000 of investment securities, other than temporary cash investments. Purchases and sales include $76,816,130,000 and $33,972,887,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $2,817,287,000 and sales were $2,813,426,000, resulting in net realized loss of $1,479,724,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
29
500 Index Fund
| G. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 148,701 | 374 | 156,806 | 409 | |
| Issued in Lieu of Cash Distributions | 46,496 | 117 | 51,111 | 142 | |
| Redeemed | (792,173) | (2,005) | (807,075) | (2,076) | |
| Net Increase (Decrease)—Investor Shares | (596,976) | (1,514) | (599,158) | (1,525) | |
| ETF Shares | |||||
| Issued | 73,338,523 | 182,751 | 85,049,475 | 222,763 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (31,210,531) | (76,825) | (45,143,544) | (117,750) | |
| Net Increase (Decrease)—ETF Shares | 42,127,992 | 105,926 | 39,905,931 | 105,013 | |
| Admiral Shares | |||||
| Issued | 34,205,497 | 86,235 | 39,120,573 | 102,648 | |
| Issued in Lieu of Cash Distributions | 5,732,224 | 14,309 | 5,367,387 | 14,913 | |
| Redeemed | (39,606,418) | (100,108) | (41,842,645) | (110,248) | |
| Net Increase (Decrease)—Admiral Shares | 331,303 | 436 | 2,645,315 | 7,313 | |
| Institutional Select Shares | |||||
| Issued | 20,807,286 | 97,892 | 19,836,476 | 100,749 | |
| Issued in Lieu of Cash Distributions | 2,092,603 | 9,846 | 1,760,089 | 9,243 | |
| Redeemed | (14,589,859) | (68,463) | (4,396,573) | (21,716) | |
| Net Increase (Decrease)—Institutional Select Shares | 8,310,030 | 39,275 | 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. |
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
| I. | Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements. |
30
Report of Independent Registered Public Accounting
Firm
To the Board of Trustees of Vanguard Index
Funds and Shareholders of Vanguard 500 Index Fund
Opinion on the Financial
Statements
We have audited the
accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard 500 Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the "Fund") as of
December 31, 2023, the related statement of operations for the year ended December 31, 2023, the statement of changes in net assets for each of the two years in the period ended December 31, 2023, including the
related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present
fairly, in all material respects, the financial position of the Fund as of December 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the
period ended December 31, 2023 and the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of
America.
Basis for Opinion
These financial statements are
the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of
these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of
material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers
LLP
Philadelphia, Pennsylvania
February 15, 2024
Philadelphia, Pennsylvania
February 15, 2024
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
31
Tax information
(unaudited)
For corporate shareholders,
91.8%, or if subsequently determined to be different, the maximum percentage allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the
dividends-received deduction.
The fund hereby designates
$13,356,325,000, or if subsequently determined to be different, the maximum amount allowable by law, as qualified dividend income for individual shareholders for the fiscal year.
The fund hereby designates
$56,849,000, or if subsequently determined to be different, the maximum amount allowable by law, of interest earned from obligations of the U.S. government which is generally exempt from state income tax.
The fund hereby designates
$500,221,000, or if subsequently determined to be different, the maximum amount allowable by law, of qualified business income for individual shareholders for the fiscal year.
32
The S&P 500 Index is a
product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s® and S&P® are
registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC
(“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard 500 Index Fund is not sponsored, endorsed, sold or promoted by SPDJI,
Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to
the owners of Vanguard 500 Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard 500 Index Fund particularly or the ability of the S&P 500 Index to
track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Index is the licensing of the Index and certain trademarks, service marks and/or trade
names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or Vanguard 500 Index Fund. S&P Dow
Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard 500 Index Fund into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices are
not responsible for and have not participated in the determination of the prices, and amount of Vanguard 500 Index Fund or the timing of the issuance or sale of Vanguard 500 Index Fund or in the determination or
calculation of the equation by which Vanguard 500 Index Fund is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the
administration, marketing or trading of Vanguard 500 Index Fund. There is no assurance that investment products based on the S&P 500 Index will accurately track index performance or provide positive investment
returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it
considered to be investment advice.
S&P DOW JONES INDICES DOES
NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD 500 INDEX FUND, OR
ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR
ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH
DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF
S&P DOW JONES INDICES.
33
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The People Who Govern Your Fund
The trustees of your mutual
fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s
board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board
members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 Vanguard funds.
Information for each trustee
and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box
876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
1 Mr. Buckley is considered an “interested
person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Connect with
Vanguard®>vanguard.com
Annual Report | December 31, 2023
Vanguard U.S.
Stock Index Funds Small-Capitalization Portfolios
| Vanguard Small-Cap Index Fund |
| Vanguard Small-Cap Growth Index Fund |
| Vanguard Small-Cap Value Index Fund |
See the inside front cover for important
information about your fund’s annual and semiannual shareholder reports.
Important information about shareholder
reports
Beginning in July 2024,
amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and
concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at
vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive
shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at
one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
| 1 | |
| 2 | |
| 4 | |
| 46 | |
| 75 |
Please note: The
opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date
on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | The financial markets delivered robust returns for the 12 months ended December 31, 2023. Returns for the Vanguard Small-Cap Index Funds ranged from 15.86% for Investor Shares of the Small-Cap Value Index Fund to 21.44% for Institutional Shares of the Small-Cap Growth Index Fund. Strong net returns from securities lending helped most share classes of all three funds to slightly outperform their target indexes. |
| • | Major central banks stopped hiking interest rates as inflation continued to ease. Global growth, employment, and consumer spending proved resilient, but the prospect of rates remaining high for an extended period spurred occasional volatility. Toward year-end, however, stocks and bonds rallied worldwide as expectations for rate cuts in 2024 rose. |
| • | Strong equity returns were widespread. Consumer discretionary and industrial stocks were among the top sector-level contributors to all three funds’ target indexes. Technology shares also drove the Small-Cap Index Fund and the Small-Cap Growth Index Fund, while financials also boosted the Small-Cap Value Index Fund. Telecommunications slightly weighed on all three. |
| • | For the 10 years ended December 31, 2023, the funds’ annualized returns ranged from 7.73% for Investor Shares of the Small-Cap Growth Index Fund to 8.51% for Institutional Shares of the Small-Cap Value Index Fund. The funds closely tracked their indexes. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2023 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.53% | 8.97% | 15.52% |
| Russell 2000 Index (Small-caps) | 16.93 | 2.22 | 9.97 |
| Russell 3000 Index (Broad U.S. market) | 25.96 | 8.54 | 15.16 |
| FTSE All-World ex US Index (International) | 15.82 | 1.98 | 7.52 |
| Bonds | |||
| Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | 5.60% | -3.33% | 1.17% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 6.40 | -0.40 | 2.25 |
| FTSE Three-Month U.S. Treasury Bill Index | 5.26 | 2.24 | 1.91 |
| CPI | |||
| Consumer Price Index | 3.35% | 5.60% | 4.07% |
1
About Your Fund’s Expenses
As a shareholder of the fund,
you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross
income, directly reduce the investment return of the fund.
A fund‘s expenses are
expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table
illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown
in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or
account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no
shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information
about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your
fund’s current prospectus.
2
| Six Months Ended December 31, 2023 | |||
| Beginning Account Value 6/30/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Small-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,081.20 | $0.89 |
| ETF Shares | 1,000.00 | 1,081.80 | 0.26 |
| Admiral™ Shares | 1,000.00 | 1,081.80 | 0.26 |
| Institutional Shares | 1,000.00 | 1,081.90 | 0.21 |
| Institutional Plus Shares | 1,000.00 | 1,081.90 | 0.16 |
| Small-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,056.00 | $0.98 |
| ETF Shares | 1,000.00 | 1,056.60 | 0.36 |
| Admiral Shares | 1,000.00 | 1,056.70 | 0.36 |
| Institutional Shares | 1,000.00 | 1,056.70 | 0.31 |
| Small-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,100.80 | $1.01 |
| ETF Shares | 1,000.00 | 1,101.40 | 0.37 |
| Admiral Shares | 1,000.00 | 1,101.40 | 0.37 |
| Institutional Shares | 1,000.00 | 1,101.40 | 0.32 |
| Based on Hypothetical 5% Yearly Return | |||
| Small-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,024.95 | 0.26 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Plus Shares | 1,000.00 | 1,025.05 | 0.15 |
| Small-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
| Small-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
The calculations are
based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Small-Cap Index Fund, 0.17% for Investor Shares, 0.05% for ETF Shares,
0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.03% for Institutional Plus Shares; for the Small-Cap Growth Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and
0.06% for Institutional Shares; and for the Small-Cap Value Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares. The dollar amounts shown as
“Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the
number of days in the most recent 12-month period (184/365).
3
Small-Cap Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Index Fund Investor Shares | 18.05% | 11.57% | 8.30% | $22,195 |
| CRSP US Small Cap Index | 18.09 | 11.66 | 8.41 | 22,413 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Index Fund ETF Shares Net Asset Value | 18.21% | 11.70% | 8.43% | $22,469 | |
| Small-Cap Index Fund ETF Shares Market Price | 18.31 | 11.73 | 8.44 | 22,484 | |
| CRSP US Small Cap Index | 18.09 | 11.66 | 8.41 | 22,413 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
4
Small-Cap Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Index Fund Admiral Shares | 18.20% | 11.70% | 8.43% | $22,467 | |
| CRSP US Small Cap Index | 18.09 | 11.66 | 8.41 | 22,413 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Small-Cap Index Fund Institutional Shares | 18.22% | 11.72% | 8.44% | $11,246,770 | |
| CRSP US Small Cap Index | 18.09 | 11.66 | 8.41 | 11,206,742 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
| One Year | Five Years | Ten Years | Final Value of a $100,000,000 Investment | ||
| Small-Cap Index Fund Institutional Plus Shares | 18.22% | 11.73% | 8.46% | $225,184,560 | |
| CRSP US Small Cap Index | 18.09 | 11.66 | 8.41 | 224,134,830 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 294,219,800 | |
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Small-Cap Index Fund ETF Shares Market Price | 18.31% | 74.13% | 124.84% |
| Small-Cap Index Fund ETF Shares Net Asset Value | 18.21 | 73.91 | 124.69 |
| CRSP US Small Cap Index | 18.09 | 73.60 | 124.13 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5
Small-Cap Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 3.9% |
| Consumer Discretionary | 16.2 |
| Consumer Staples | 3.1 |
| Energy | 5.3 |
| Financials | 14.1 |
| Health Care | 11.0 |
| Industrials | 21.7 |
| Real Estate | 7.5 |
| Technology | 13.0 |
| Telecommunications | 1.3 |
| Utilities | 2.9 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
6
Small-Cap Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
7
Small-Cap Index Fund
| Shares | Market Value• ($000) | |||||
| Northwest Natural Holding Co. | 893,879 | 34,808 | ||||
| Clearway Energy Inc. Class A | 878,788 | 22,479 | ||||
| * | Enviri Corp. | 1,017,687 | 9,159 | |||
| Excelerate Energy Inc. Class A | 468,159 | 7,238 | ||||
| *,1 | NuScale Power Corp. Class A | 1,464,713 | 4,819 | |||
| *,1 | Net Power Inc. | 342,741 | 3,462 | |||
| 3,928,146 | ||||||
| Total Common Stocks (Cost $100,156,763) | 133,504,067 | |||||
| Temporary Cash Investments (1.5%) | ||||||
| Money Market Fund (1.5%) | ||||||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $2,031,751) | 20,333,209 | 2,032,914 | |||
| Total Investments (101.3%) (Cost $102,188,514) | 135,536,981 | |||||
| Other Assets and Liabilities—Net (-1.3%) | (1,753,491) | |||||
| Net Assets (100%) | 133,783,490 | |||||
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,653,618,000. |
| 2 | Security value determined using significant unobservable inputs. |
| 3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 4 | Collateral of $1,839,571,000 was received for securities on loan. |
| REIT—Real Estate Investment Trust. |
26
Small-Cap Index Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini Russell 2000 Index | March 2024 | 793 | 81,191 | (375) |
| E-mini S&P 500 Index | March 2024 | 49 | 11,809 | 391 |
| E-mini S&P Mid-Cap 400 Index | March 2024 | 782 | 219,703 | 6,828 |
| 6,844 | ||||
| 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 | 7,690 | (5.331) | — | (113) |
| Invesco Ltd. | 8/30/24 | BANA | 3,996 | (5.882) | 1,037 | — |
| Ollie's Bargain Outlet Holdings Inc. | 1/31/24 | GSI | 20,634 | (5.331) | 2,100 | — |
| 3,137 | (113) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $3,623,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
27
Small-Cap Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $100,156,763) | 133,504,067 |
| Affiliated Issuers (Cost $2,031,751) | 2,032,914 |
| Total Investments in Securities | 135,536,981 |
| Investment in Vanguard | 4,012 |
| Cash Collateral Pledged—Futures Contracts | 19,499 |
| Receivables for Investment Securities Sold | 44,876 |
| Receivables for Accrued Income | 155,324 |
| Receivables for Capital Shares Issued | 129,717 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 3,137 |
| Total Assets | 135,893,546 |
| Liabilities | |
| Due to Custodian | 56,249 |
| Payables for Investment Securities Purchased | 2,791 |
| Collateral for Securities on Loan | 1,839,571 |
| Payables for Capital Shares Redeemed | 204,296 |
| Payables to Vanguard | 2,768 |
| Variation Margin Payable—Futures Contracts | 4,268 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 113 |
| Total Liabilities | 2,110,056 |
| Net Assets | 133,783,490 |
| 1 Includes $1,653,618,000 of securities on loan. | |
28
Small-Cap Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 114,056,266 |
| Total Distributable Earnings (Loss) | 19,727,224 |
| Net Assets | 133,783,490 |
| Investor Shares—Net Assets | |
| Applicable to 3,674,352 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 375,455 |
| Net Asset Value Per Share—Investor Shares | $102.18 |
| ETF Shares—Net Assets | |
| Applicable to 236,757,474 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 50,491,539 |
| Net Asset Value Per Share—ETF Shares | $213.26 |
| Admiral Shares—Net Assets | |
| Applicable to 507,421,002 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 51,853,899 |
| Net Asset Value Per Share—Admiral Shares | $102.19 |
| Institutional Shares—Net Assets | |
| Applicable to 200,510,855 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,489,629 |
| Net Asset Value Per Share—Institutional Shares | $102.19 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 35,846,826 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,572,968 |
| Net Asset Value Per Share—Institutional Plus Shares | $294.95 |
See accompanying Notes, which are an
integral part of the Financial Statements.
29
Small-Cap Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 1,846,241 |
| Interest2 | 35,924 |
| Securities Lending—Net | 165,861 |
| Total Income | 2,048,026 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,565 |
| Management and Administrative—Investor Shares | 632 |
| Management and Administrative—ETF Shares | 17,058 |
| Management and Administrative—Admiral Shares | 19,456 |
| Management and Administrative—Institutional Shares | 6,062 |
| Management and Administrative—Institutional Plus Shares | 2,238 |
| Marketing and Distribution—Investor Shares | 20 |
| Marketing and Distribution—ETF Shares | 2,345 |
| Marketing and Distribution—Admiral Shares | 2,182 |
| Marketing and Distribution—Institutional Shares | 604 |
| Marketing and Distribution—Institutional Plus Shares | 305 |
| Custodian Fees | 890 |
| Auditing Fees | 39 |
| Shareholders’ Reports—Investor Shares | 1 |
| Shareholders’ Reports—ETF Shares | 1,303 |
| Shareholders’ Reports—Admiral Shares | 603 |
| Shareholders’ Reports—Institutional Shares | 242 |
| Shareholders’ Reports—Institutional Plus Shares | 74 |
| Trustees’ Fees and Expenses | 72 |
| Other Expenses | 23 |
| Total Expenses | 56,714 |
| Net Investment Income | 1,991,312 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | (603,602) |
| Futures Contracts | 58,011 |
| Swap Contracts | 6,635 |
| Realized Net Gain (Loss) | (538,956) |
30
Small-Cap Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 19,055,312 |
| Futures Contracts | 17,061 |
| Swap Contracts | 4,458 |
| Change in Unrealized Appreciation (Depreciation) | 19,076,831 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 20,529,187 |
| 1 | Dividends are net of foreign withholding taxes of $367,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $33,673,000, $102,000, $1,000, and $581,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $4,282,164,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
31
Small-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,991,312 | 1,779,640 |
| Realized Net Gain (Loss) | (538,956) | 3,670,352 |
| Change in Unrealized Appreciation (Depreciation) | 19,076,831 | (30,136,638) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 20,529,187 | (24,686,646) |
| Distributions | ||
| Investor Shares | (6,045) | (6,214) |
| ETF Shares | (763,273) | (624,299) |
| Admiral Shares | (806,183) | (686,977) |
| Institutional Shares | (320,582) | (267,947) |
| Institutional Plus Shares | (166,742) | (147,092) |
| Total Distributions | (2,062,825) | (1,732,529) |
| Capital Share Transactions | ||
| Investor Shares | (106,228) | (85,166) |
| ETF Shares | 3,096,563 | 14,486 |
| Admiral Shares | (333,800) | 58,508 |
| Institutional Shares | 240,484 | (448,033) |
| Institutional Plus Shares | (50,188) | (1,200,734) |
| Net Increase (Decrease) from Capital Share Transactions | 2,846,831 | (1,660,939) |
| Total Increase (Decrease) | 21,313,193 | (28,080,114) |
| Net Assets | ||
| Beginning of Period | 112,470,297 | 140,550,411 |
| End of Period | 133,783,490 | 112,470,297 |
See accompanying Notes, which are an
integral part of the Financial Statements.
32
Small-Cap Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $87.93 | $108.35 | $93.20 | $79.35 | $63.21 |
| Investment Operations | |||||
| Net Investment Income1 | 1.412 | 1.256 | 1.230 | .928 | .832 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.314 | (20.439) | 15.130 | 13.897 | 16.319 |
| Total from Investment Operations | 15.726 | (19.183) | 16.360 | 14.825 | 17.151 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.476) | (1.237) | (1.210) | (.975) | (1.011) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.476) | (1.237) | (1.210) | (.975) | (1.011) |
| Net Asset Value, End of Period | $102.18 | $87.93 | $108.35 | $93.20 | $79.35 |
| Total Return2 | 18.05% | -17.71% | 17.59% | 18.96% | 27.22% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $375 | $424 | $619 | $709 | $754 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17%3 | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.34% | 1.17% | 1.26% | 1.14% |
| Portfolio Turnover Rate4 | 12% | 14% | 17% | 22% | 16% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
33
Small-Cap Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $183.52 | $226.15 | $194.54 | $165.64 | $131.94 |
| Investment Operations | |||||
| Net Investment Income1 | 3.218 | 2.891 | 2.769 | 2.262 | 2.298 |
| Net Realized and Unrealized Gain (Loss) on Investments | 29.839 | (42.700) | 31.637 | 28.863 | 33.707 |
| Total from Investment Operations | 33.057 | (39.809) | 34.406 | 31.125 | 36.005 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.317) | (2.821) | (2.796) | (2.225) | (2.305) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.317) | (2.821) | (2.796) | (2.225) | (2.305) |
| Net Asset Value, End of Period | $213.26 | $183.52 | $226.15 | $194.54 | $165.64 |
| Total Return | 18.21% | -17.60% | 17.72% | 19.08% | 27.37% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $50,492 | $40,593 | $50,187 | $37,492 | $27,442 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05%2 | 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% |
| Portfolio Turnover Rate3 | 12% | 14% | 17% | 22% | 16% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
34
Small-Cap Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $87.94 | $108.37 | $93.22 | $79.37 | $63.23 |
| Investment Operations | |||||
| Net Investment Income1 | 1.534 | 1.383 | 1.358 | 1.029 | 1.108 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.305 | (20.461) | 15.131 | 13.887 | 16.136 |
| Total from Investment Operations | 15.839 | (19.078) | 16.489 | 14.916 | 17.244 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.589) | (1.352) | (1.339) | (1.066) | (1.104) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.589) | (1.352) | (1.339) | (1.066) | (1.104) |
| Net Asset Value, End of Period | $102.19 | $87.94 | $108.37 | $93.22 | $79.37 |
| Total Return2 | 18.20% | -17.61% | 17.73% | 19.11% | 27.37% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $51,854 | $44,944 | $55,266 | $47,313 | $42,386 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05%3 | 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% |
| Portfolio Turnover Rate4 | 12% | 14% | 17% | 22% | 16% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
35
Small-Cap Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $87.93 | $108.36 | $93.22 | $79.37 | $63.22 |
| Investment Operations | |||||
| Net Investment Income1 | 1.544 | 1.392 | 1.367 | 1.034 | 1.101 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.314 | (20.461) | 15.123 | 13.889 | 16.161 |
| Total from Investment Operations | 15.858 | (19.069) | 16.490 | 14.923 | 17.262 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.598) | (1.361) | (1.350) | (1.073) | (1.112) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.598) | (1.361) | (1.350) | (1.073) | (1.112) |
| Net Asset Value, End of Period | $102.19 | $87.93 | $108.36 | $93.22 | $79.37 |
| Total Return | 18.22% | -17.60% | 17.73% | 19.12% | 27.40% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $20,490 | $17,363 | $21,841 | $18,957 | $17,337 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.49% | 1.29% | 1.41% | 1.49% |
| Portfolio Turnover Rate3 | 12% | 14% | 17% | 22% | 16% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
36
Small-Cap Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $253.81 | $312.78 | $269.07 | $229.09 | $182.49 |
| Investment Operations | |||||
| Net Investment Income1 | 4.479 | 3.998 | 4.029 | 2.988 | 3.186 |
| Net Realized and Unrealized Gain (Loss) on Investments | 41.301 | (59.013) | 43.607 | 40.111 | 46.645 |
| Total from Investment Operations | 45.780 | (55.015) | 47.636 | 43.099 | 49.831 |
| Distributions | |||||
| Dividends from Net Investment Income | (4.640) | (3.955) | (3.926) | (3.119) | (3.231) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (4.640) | (3.955) | (3.926) | (3.119) | (3.231) |
| Net Asset Value, End of Period | $294.95 | $253.81 | $312.78 | $269.07 | $229.09 |
| Total Return | 18.22% | -17.60% | 17.75% | 19.13% | 27.40% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $10,573 | $9,146 | $12,638 | $10,172 | $8,846 |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03%2 | 0.03% | 0.03% | 0.03% |
| Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.48% | 1.32% | 1.41% | 1.49% |
| Portfolio Turnover Rate3 | 12% | 14% | 17% | 22% | 16% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
37
Small-Cap Index Fund
Notes to Financial Statements
Vanguard Small-Cap Index Fund
is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and
Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they
can be purchased and sold through a broker.
In March 2023, the board of
trustees approved a plan of reorganization whereby the fund will reorganize from Vanguard Index Funds (such fund the "Predecessor Fund”) to a newly created shell series under Vanguard Bond Index Funds. The
purpose of the reorganization is to improve administrative efficiencies for all funds within the Vanguard complex by spreading the filing and reporting requirements across different legal entities. After the
reorganization the surviving fund will be identical in its management to the Predecessor Fund and its investment objective, strategies, and policies will remain unchanged. The reorganization is anticipated to qualify
as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in
38
Small-Cap Index Fund
the Statement of Operations as unrealized
appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the
period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
39
Small-Cap Index Fund
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow
40
Small-Cap Index Fund
money from and lend money to each other for
temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and
investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is
governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $4,012,000, representing less than 0.01% of the
fund’s net assets and 1.60% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
41
Small-Cap Index Fund
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 133,504,067 | — | — | 133,504,067 |
| Temporary Cash Investments | 2,032,914 | — | — | 2,032,914 |
| Total | 135,536,981 | — | — | 135,536,981 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 7,219 | — | — | 7,219 |
| Swap Contracts | — | 3,137 | — | 3,137 |
| Total | 7,219 | 3,137 | — | 10,356 |
| Liabilities | ||||
| Futures Contracts1 | 375 | — | — | 375 |
| Swap Contracts | — | 113 | — | 113 |
| Total | 375 | 113 | — | 488 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 4,280,774 |
| Total Distributable Earnings (Loss) | (4,280,774) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; the recognition of unrealized gains from passive foreign investment companies; and the classification
42
Small-Cap Index Fund
of securities for tax purposes. As of period
end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 29,306 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 32,985,908 |
| Capital Loss Carryforwards | (13,287,990) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 19,727,224 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 2,062,825 | 1,732,529 |
| Long-Term Capital Gains | — | — |
| Total | 2,062,825 | 1,732,529 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 102,551,073 |
| Gross Unrealized Appreciation | 45,791,683 |
| Gross Unrealized Depreciation | (12,805,775) |
| Net Unrealized Appreciation (Depreciation) | 32,985,908 |
E. During the year ended December 31, 2023, the fund purchased $24,254,384,000 of investment securities and sold $20,893,830,000 of investment securities, other than temporary cash
investments. Purchases and sales include $9,377,571,000 and $6,475,655,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $5,255,728,000 and sales were $684,969,000, resulting in net realized loss of $365,653,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
43
Small-Cap Index Fund
F. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 26,467 | 282 | 35,984 | 380 | |
| Issued in Lieu of Cash Distributions | 6,045 | 65 | 6,214 | 70 | |
| Redeemed | (138,740) | (1,494) | (127,364) | (1,341) | |
| Net Increase (Decrease)—Investor Shares | (106,228) | (1,147) | (85,166) | (891) | |
| ETF Shares | |||||
| Issued | 9,726,067 | 49,586 | 12,638,116 | 65,853 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (6,629,504) | (34,025) | (12,623,630) | (66,575) | |
| Net Increase (Decrease)—ETF Shares | 3,096,563 | 15,561 | 14,486 | (722) | |
| Admiral Shares | |||||
| Issued | 5,408,237 | 58,050 | 5,970,913 | 63,999 | |
| Issued in Lieu of Cash Distributions | 717,481 | 7,692 | 610,188 | 6,862 | |
| Redeemed | (6,459,518) | (69,419) | (6,522,593) | (69,746) | |
| Net Increase (Decrease)—Admiral Shares | (333,800) | (3,677) | 58,508 | 1,115 | |
| Institutional Shares | |||||
| Issued | 2,724,886 | 29,484 | 2,809,736 | 30,018 | |
| Issued in Lieu of Cash Distributions | 302,453 | 3,242 | 252,294 | 2,838 | |
| Redeemed | (2,786,855) | (29,669) | (3,510,063) | (36,950) | |
| Net Increase (Decrease)—Institutional Shares | 240,484 | 3,057 | (448,033) | (4,094) | |
| Institutional Plus Shares | |||||
| Issued | 658,220 | 2,444 | 1,096,807 | 4,082 | |
| Issued in Lieu of Cash Distributions | 166,571 | 619 | 147,006 | 572 | |
| Redeemed | (874,979) | (3,252) | (2,444,547) | (9,024) | |
| Net Increase (Decrease)—Institutional Plus Shares | (50,188) | (189) | (1,200,734) | (4,370) | |
G. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially
44
Small-Cap Index Fund
larger impact on derivatives than on standard
securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant
accounting policies.
H. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
45
Small-Cap Growth Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Small-Cap Growth Index Fund Investor Shares | 21.28% | 10.41% | 7.73% | $21,053 |
|
| CRSP US Small Cap Growth Index | 21.28 | 10.51 | 7.82 | 21,234 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Growth Index Fund ETF Shares Net Asset Value | 21.42% | 10.54% | 7.86% | $21,313 | |
| Small-Cap Growth Index Fund ETF Shares Market Price | 21.48 | 10.57 | 7.87 | 21,324 | |
| CRSP US Small Cap Growth Index | 21.28 | 10.51 | 7.82 | 21,234 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
46
Small-Cap Growth Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Growth Index Fund Admiral Shares | 21.41% | 10.54% | 7.86% | $21,308 | |
| CRSP US Small Cap Growth Index | 21.28 | 10.51 | 7.82 | 21,234 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Small-Cap Growth Index Fund Institutional Shares | 21.44% | 10.55% | 7.87% | $10,665,400 | |
| CRSP US Small Cap Growth Index | 21.28 | 10.51 | 7.82 | 10,617,188 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Small-Cap Growth Index Fund ETF Shares Market Price | 21.48% | 65.26% | 113.24% |
| Small-Cap Growth Index Fund ETF Shares Net Asset Value | 21.42 | 65.06 | 113.13 |
| CRSP US Small Cap Growth Index | 21.28 | 64.85 | 112.34 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
47
Small-Cap Growth Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 2.0% |
| Consumer Discretionary | 16.2 |
| Consumer Staples | 3.2 |
| Energy | 6.1 |
| Financials | 4.9 |
| Health Care | 17.6 |
| Industrials | 19.1 |
| Real Estate | 5.6 |
| Technology | 22.4 |
| Telecommunications | 1.5 |
| Utilities | 1.4 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
48
Small-Cap Growth Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
49
Small-Cap Growth Index Fund
| Shares | Market Value• ($000) | |||||
| Temporary Cash Investments (2.2%) | ||||||
| Money Market Fund (2.2%) | ||||||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $728,374) | 7,286,285 | 728,483 | |||
| Total Investments (101.9%) (Cost $26,720,486) | 33,017,733 | |||||
| Other Assets and Liabilities—Net (-1.9%) | (620,138) | |||||
| Net Assets (100%) | 32,397,595 | |||||
| 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 $561,906,000. |
| 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 $629,622,000 was received for securities on loan. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini Russell 2000 Index | March 2024 | 462 | 47,302 | 731 |
57
Small-Cap Growth Index Fund
| Over-the-Counter Total Return Swaps | ||||||
| Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
| C3.ai Inc. Class A | 1/31/24 | GSI | 11,939 | (5.332) | — | (218) |
| Elastic NV | 8/30/24 | BANA | 3,214 | (5.332) | 1,280 | — |
| Fisker Inc. Class A | 1/31/24 | GSI | 1,296 | (5.331) | 102 | — |
| MicroStrategy Inc. Class A | 1/31/24 | CITNA | 10,713 | (5.332) | 2,822 | — |
| Middleby Corp. | 8/30/24 | BANA | 3,534 | (5.332) | 572 | — |
| Novocure Ltd. | 8/30/24 | BANA | 2,209 | (5.332) | 470 | — |
| Super Micro Computer Inc. | 1/31/24 | CITNA | 10,939 | (5.332) | 386 | — |
| Watsco Inc. | 8/30/24 | BANA | 7,645 | (5.332) | 893 | — |
| Watsco Inc. | 8/30/24 | BANA | 7,645 | (5.332) | 893 | — |
| Wolfspeed Inc. | 8/30/24 | BANA | 3,686 | (5.332) | 650 | — |
| 8,068 | (218) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $10,313,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
58
Small-Cap Growth Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $25,992,112) | 32,289,250 |
| Affiliated Issuers (Cost $728,374) | 728,483 |
| Total Investments in Securities | 33,017,733 |
| Investment in Vanguard | 962 |
| Cash Collateral Pledged—Futures Contracts | 3,140 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 40 |
| Receivables for Investment Securities Sold | 29,616 |
| Receivables for Accrued Income | 18,978 |
| Receivables for Capital Shares Issued | 13,525 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 8,068 |
| Total Assets | 33,092,062 |
| Liabilities | |
| Due to Custodian | 27,806 |
| Payables for Investment Securities Purchased | 9,321 |
| Collateral for Securities on Loan | 629,622 |
| Payables for Capital Shares Redeemed | 25,757 |
| Payables to Vanguard | 982 |
| Variation Margin Payable—Futures Contracts | 761 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 218 |
| Total Liabilities | 694,467 |
| Net Assets | 32,397,595 |
| 1 Includes $561,906,000 of securities on loan. | |
59
Small-Cap Growth Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 32,928,611 |
| Total Distributable Earnings (Loss) | (531,016) |
| Net Assets | 32,397,595 |
| Investor Shares—Net Assets | |
| Applicable to 1,316,714 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 89,484 |
| Net Asset Value Per Share—Investor Shares | $67.96 |
| ETF Shares—Net Assets | |
| Applicable to 64,320,925 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,546,221 |
| Net Asset Value Per Share—ETF Shares | $241.70 |
| Admiral Shares—Net Assets | |
| Applicable to 156,507,375 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,300,222 |
| Net Asset Value Per Share—Admiral Shares | $84.98 |
| Institutional Shares—Net Assets | |
| Applicable to 50,865,473 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,461,668 |
| Net Asset Value Per Share—Institutional Shares | $68.06 |
See accompanying Notes, which are an
integral part of the Financial Statements.
60
Small-Cap Growth Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 164,122 |
| Interest2 | 2,226 |
| Securities Lending—Net | 45,193 |
| Total Income | 211,541 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 630 |
| Management and Administrative—Investor Shares | 154 |
| Management and Administrative—ETF Shares | 7,779 |
| Management and Administrative—Admiral Shares | 7,508 |
| Management and Administrative—Institutional Shares | 1,597 |
| Marketing and Distribution—Investor Shares | 5 |
| Marketing and Distribution—ETF Shares | 760 |
| Marketing and Distribution—Admiral Shares | 579 |
| Marketing and Distribution—Institutional Shares | 108 |
| Custodian Fees | 216 |
| Auditing Fees | 38 |
| Shareholders’ Reports—Investor Shares | — |
| Shareholders’ Reports—ETF Shares | 513 |
| Shareholders’ Reports—Admiral Shares | 156 |
| Shareholders’ Reports—Institutional Shares | 100 |
| Trustees’ Fees and Expenses | 17 |
| Other Expenses | 23 |
| Total Expenses | 20,183 |
| Net Investment Income | 191,358 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | (914,715) |
| Futures Contracts | (326) |
| Swap Contracts | (18,542) |
| Realized Net Gain (Loss) | (933,583) |
61
Small-Cap Growth Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 6,403,205 |
| Futures Contracts | 587 |
| Swap Contracts | 11,128 |
| Change in Unrealized Appreciation (Depreciation) | 6,414,920 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,672,695 |
| 1 | Dividends are net of foreign withholding taxes of $107,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,156,000, ($52,000), $1,000, and ($63,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $1,429,578,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
62
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 191,358 | 211,970 |
| Realized Net Gain (Loss) | (933,583) | (631,355) |
| Change in Unrealized Appreciation (Depreciation) | 6,414,920 | (10,014,591) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,672,695 | (10,433,976) |
| Distributions | ||
| Investor Shares | (527) | (378) |
| ETF Shares | (102,224) | (65,152) |
| Admiral Shares | (91,073) | (62,927) |
| Institutional Shares | (23,803) | (16,002) |
| Total Distributions | (217,627) | (144,459) |
| Capital Share Transactions | ||
| Investor Shares | (6,467) | (30,485) |
| ETF Shares | 962,195 | 383,979 |
| Admiral Shares | (478,614) | (400,974) |
| Institutional Shares | (67,568) | 230,883 |
| Net Increase (Decrease) from Capital Share Transactions | 409,546 | 183,403 |
| Total Increase (Decrease) | 5,864,614 | (10,395,032) |
| Net Assets | ||
| Beginning of Period | 26,532,981 | 36,928,013 |
| End of Period | 32,397,595 | 26,532,981 |
See accompanying Notes, which are an
integral part of the Financial Statements.
63
Small-Cap Growth Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $56.38 | $79.21 | $75.20 | $55.89 | $42.36 |
| Investment Operations | |||||
| Net Investment Income1 | .326 | .371 | .257 | .241 | .178 |
| Net Realized and Unrealized Gain (Loss) on Investments | 11.639 | (22.943) | 3.938 | 19.331 | 13.617 |
| Total from Investment Operations | 11.965 | (22.572) | 4.195 | 19.572 | 13.795 |
| Distributions | |||||
| Dividends from Net Investment Income | (.385) | (.258) | (.185) | (.262) | (.265) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.385) | (.258) | (.185) | (.262) | (.265) |
| Net Asset Value, End of Period | $67.96 | $56.38 | $79.21 | $75.20 | $55.89 |
| Total Return2 | 21.28% | -28.49% | 5.58% | 35.12% | 32.60% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $89 | $80 | $149 | $209 | $171 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19%3 | 0.19% | 0.19% | 0.19% |
| Ratio of Net Investment Income to Average Net Assets | 0.53% | 0.60% | 0.32% | 0.42% | 0.35% |
| Portfolio Turnover Rate4 | 19% | 24% | 29% | 24% | 18% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
64
Small-Cap Growth Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $200.53 | $281.61 | $267.36 | $198.68 | $150.57 |
| Investment Operations | |||||
| Net Investment Income1 | 1.449 | 1.623 | 1.291 | 1.129 | 1.175 |
| Net Realized and Unrealized Gain (Loss) on Investments | 41.356 | (81.603) | 13.975 | 68.729 | 48.077 |
| Total from Investment Operations | 42.805 | (79.980) | 15.266 | 69.858 | 49.252 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.635) | (1.100) | (1.016) | (1.178) | (1.142) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.635) | (1.100) | (1.016) | (1.178) | (1.142) |
| Net Asset Value, End of Period | $241.70 | $200.53 | $281.61 | $267.36 | $198.68 |
| Total Return | 21.42% | -28.40% | 5.71% | 35.29% | 32.75% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $15,546 | $12,036 | $16,379 | $14,436 | $9,833 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%2 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 0.66% | 0.74% | 0.45% | 0.55% | 0.64% |
| Portfolio Turnover Rate3 | 19% | 24% | 29% | 24% | 18% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
65
Small-Cap Growth Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $70.51 | $99.01 | $94.02 | $69.87 | $52.95 |
| Investment Operations | |||||
| Net Investment Income1 | .503 | .568 | .448 | .392 | .419 |
| Net Realized and Unrealized Gain (Loss) on Investments | 14.542 | (28.682) | 4.899 | 24.172 | 16.902 |
| Total from Investment Operations | 15.045 | (28.114) | 5.347 | 24.564 | 17.321 |
| Distributions | |||||
| Dividends from Net Investment Income | (.575) | (.386) | (.357) | (.414) | (.401) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.575) | (.386) | (.357) | (.414) | (.401) |
| Net Asset Value, End of Period | $84.98 | $70.51 | $99.01 | $94.02 | $69.87 |
| Total Return2 | 21.41% | -28.39% | 5.69% | 35.30% | 32.76% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $13,300 | $11,482 | $16,594 | $16,149 | $12,717 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%3 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 0.65% | 0.73% | 0.45% | 0.54% | 0.65% |
| Portfolio Turnover Rate4 | 19% | 24% | 29% | 24% | 18% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
66
Small-Cap Growth Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $56.46 | $79.29 | $75.29 | $55.95 | $42.40 |
| Investment Operations | |||||
| Net Investment Income1 | .410 | .465 | .367 | .319 | .327 |
| Net Realized and Unrealized Gain (Loss) on Investments | 11.656 | (22.979) | 3.927 | 19.358 | 13.550 |
| Total from Investment Operations | 12.066 | (22.514) | 4.294 | 19.677 | 13.877 |
| Distributions | |||||
| Dividends from Net Investment Income | (.466) | (.316) | (.294) | (.337) | (.327) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.466) | (.316) | (.294) | (.337) | (.327) |
| Net Asset Value, End of Period | $68.06 | $56.46 | $79.29 | $75.29 | $55.95 |
| Total Return | 21.44% | -28.39% | 5.70% | 35.31% | 32.77% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $3,462 | $2,935 | $3,805 | $3,676 | $3,218 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06%2 | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 0.66% | 0.75% | 0.46% | 0.55% | 0.64% |
| Portfolio Turnover Rate3 | 19% | 24% | 29% | 24% | 18% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
67
Small-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Small-Cap Growth
Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and
Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can
be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in
68
Small-Cap Growth Index Fund
respect of the selected referenced stock)
over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays
a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality
temporary cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
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Small-Cap Growth Index Fund
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
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Small-Cap Growth Index Fund
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $962,000, representing less than 0.01% of the fund’s
net assets and 0.38% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
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Small-Cap Growth Index Fund
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 32,289,250 | — | — | 32,289,250 |
| Temporary Cash Investments | 728,483 | — | — | 728,483 |
| Total | 33,017,733 | — | — | 33,017,733 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 731 | — | — | 731 |
| Swap Contracts | — | 8,068 | — | 8,068 |
| Total | 731 | 8,068 | — | 8,799 |
| Liabilities | ||||
| Swap Contracts | — | 218 | — | 218 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 1,429,007 |
| Total Distributable Earnings (Loss) | (1,429,007) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; and the
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Small-Cap Growth Index Fund
recognition of unrealized gains from passive
foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 23,673 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 6,179,351 |
| Capital Loss Carryforwards | (6,734,040) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | (531,016) |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 217,627 | 144,459 |
| Long-Term Capital Gains | — | — |
| Total | 217,627 | 144,459 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 26,838,382 |
| Gross Unrealized Appreciation | 9,733,509 |
| Gross Unrealized Depreciation | (3,554,158) |
| Net Unrealized Appreciation (Depreciation) | 6,179,351 |
E. During the year ended December 31, 2023, the fund purchased $8,945,142,000 of investment securities and sold $8,575,440,000 of investment securities, other than temporary cash
investments. Purchases and sales include $3,411,742,000 and $2,826,898,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $1,552,795,000 and sales were $1,110,042,000, resulting in net realized loss of $580,242,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
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Small-Cap Growth Index Fund
F. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 11,145 | 181 | 11,003 | 172 | |
| Issued in Lieu of Cash Distributions | 527 | 8 | 378 | 7 | |
| Redeemed | (18,139) | (295) | (41,866) | (639) | |
| Net Increase (Decrease)—Investor Shares | (6,467) | (106) | (30,485) | (460) | |
| ETF Shares | |||||
| Issued | 3,836,013 | 17,299 | 4,457,870 | 20,609 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (2,873,818) | (13,000) | (4,073,891) | (18,750) | |
| Net Increase (Decrease)—ETF Shares | 962,195 | 4,299 | 383,979 | 1,859 | |
| Admiral Shares | |||||
| Issued | 1,365,432 | 17,594 | 1,685,175 | 21,680 | |
| Issued in Lieu of Cash Distributions | 80,962 | 1,033 | 56,168 | 800 | |
| Redeemed | (1,925,008) | (24,971) | (2,142,317) | (27,226) | |
| Net Increase (Decrease)—Admiral Shares | (478,614) | (6,344) | (400,974) | (4,746) | |
| Institutional Shares | |||||
| Issued | 507,362 | 8,187 | 652,486 | 10,669 | |
| Issued in Lieu of Cash Distributions | 22,149 | 353 | 14,928 | 265 | |
| Redeemed | (597,079) | (9,656) | (436,531) | (6,944) | |
| Net Increase (Decrease)—Institutional Shares | (67,568) | (1,116) | 230,883 | 3,990 | |
G. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
H. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
74
Small-Cap Value Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Small-Cap Value Index Fund Investor Shares | 15.86% | 11.72% | 8.36% | $22,324 |
|
| CRSP US Small Cap Value Index | 15.91 | 11.84 | 8.50 | 22,604 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Value Index Fund ETF Shares Net Asset Value | 16.00% | 11.85% | 8.49% | $22,595 | |
| Small-Cap Value Index Fund ETF Shares Market Price | 16.08 | 11.87 | 8.50 | 22,605 | |
| CRSP US Small Cap Value Index | 15.91 | 11.84 | 8.50 | 22,604 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
75
Small-Cap Value Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Small-Cap Value Index Fund Admiral Shares | 15.99% | 11.85% | 8.49% | $22,596 | |
| CRSP US Small Cap Value Index | 15.91 | 11.84 | 8.50 | 22,604 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Small-Cap Value Index Fund Institutional Shares | 15.99% | 11.87% | 8.51% | $11,311,030 | |
| CRSP US Small Cap Value Index | 15.91 | 11.84 | 8.50 | 11,301,929 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Small-Cap Value Index Fund ETF Shares Market Price | 16.08% | 75.19% | 126.05% |
| Small-Cap Value Index Fund ETF Shares Net Asset Value | 16.00 | 75.06 | 125.95 |
| CRSP US Small Cap Value Index | 15.91 | 74.96 | 126.04 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
76
Small-Cap Value Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 5.3% |
| Consumer Discretionary | 16.1 |
| Consumer Staples | 3.0 |
| Energy | 4.7 |
| Financials | 21.2 |
| Health Care | 6.0 |
| Industrials | 23.8 |
| Real Estate | 9.0 |
| Technology | 5.7 |
| Telecommunications | 1.1 |
| Utilities | 4.1 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
77
Small-Cap Value Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
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Small-Cap Value Index Fund
| Shares | Market Value• ($000) | |||||
| Temporary Cash Investments (1.0%) | ||||||
| Money Market Fund (1.0%) | ||||||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $538,297) | 5,386,280 | 538,520 | |||
| Total Investments (100.7%) (Cost $41,336,825) | 52,489,087 | |||||
| Other Assets and Liabilities—Net (-0.7%) | (356,550) | |||||
| Net Assets (100%) | 52,132,537 | |||||
| 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 $359,227,000. |
| 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 $392,410,000 was received for securities on loan, of which $390,365,000 is held in Vanguard Market Liquidity Fund and $2,045,000 is held in cash. |
| REIT—Real Estate Investment Trust. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini Russell 2000 Index | March 2024 | 609 | 62,352 | 1,515 |
| 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 | 21,396 | (5.332) | 455 | — |
| Blackstone Mortgage Trust Inc. Class A | 1/31/24 | GSI | 10,776 | (5.331) | — | (286) |
| Bridgebio Pharma Inc. | 8/30/24 | BANA | 8,613 | (5.332) | 3,462 | — |
| Dick's Sporting Goods Inc. | 1/31/24 | CITNA | 33,826 | (5.332) | 4,501 | — |
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Small-Cap Value Index Fund
| 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) |
| Invesco Ltd. | 8/30/24 | BANA | 2,283 | (5.882) | 593 | — |
| Williams-Sonoma Inc. | 1/31/24 | CITNA | 42,197 | (5.332) | 3,029 | — |
| 12,040 | (286) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $4,719,000 and cash of $8,164,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
90
Small-Cap Value Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $40,798,528) | 51,950,567 |
| Affiliated Issuers (Cost $538,297) | 538,520 |
| Total Investments in Securities | 52,489,087 |
| Investment in Vanguard | 1,574 |
| Cash | 11,200 |
| Cash Collateral Pledged—Futures Contracts | 4,740 |
| Receivables for Investment Securities Sold | 1,144 |
| Receivables for Accrued Income | 82,910 |
| Receivables for Capital Shares Issued | 16,657 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 12,040 |
| Total Assets | 52,619,352 |
| Liabilities | |
| Payables for Investment Securities Purchased | 48,865 |
| Collateral for Securities on Loan | 392,410 |
| Payables for Capital Shares Redeemed | 42,520 |
| Payables to Vanguard | 1,584 |
| Variation Margin Payable—Futures Contracts | 1,150 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 286 |
| Total Liabilities | 486,815 |
| Net Assets | 52,132,537 |
| 1 Includes $359,227,000 of securities on loan. | |
91
Small-Cap Value Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 46,586,540 |
| Total Distributable Earnings (Loss) | 5,545,997 |
| Net Assets | 52,132,537 |
| Investor Shares—Net Assets | |
| Applicable to 2,599,931 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 112,230 |
| Net Asset Value Per Share—Investor Shares | $43.17 |
| ETF Shares—Net Assets | |
| Applicable to 150,202,313 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 27,035,796 |
| Net Asset Value Per Share—ETF Shares | $180.00 |
| Admiral Shares—Net Assets | |
| Applicable to 251,099,300 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,420,612 |
| Net Asset Value Per Share—Admiral Shares | $77.34 |
| Institutional Shares—Net Assets | |
| Applicable to 128,703,159 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 5,563,899 |
| Net Asset Value Per Share—Institutional Shares | $43.23 |
See accompanying Notes, which are an
integral part of the Financial Statements.
92
Small-Cap Value Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 1,076,362 |
| Interest2 | 3,805 |
| Securities Lending—Net | 60,848 |
| Total Income | 1,141,015 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,036 |
| Management and Administrative—Investor Shares | 222 |
| Management and Administrative—ETF Shares | 14,071 |
| Management and Administrative—Admiral Shares | 10,699 |
| Management and Administrative—Institutional Shares | 2,534 |
| Marketing and Distribution—Investor Shares | 7 |
| Marketing and Distribution—ETF Shares | 1,319 |
| Marketing and Distribution—Admiral Shares | 903 |
| Marketing and Distribution—Institutional Shares | 185 |
| Custodian Fees | 645 |
| Auditing Fees | 39 |
| Shareholders’ Reports—Investor Shares | — |
| Shareholders’ Reports—ETF Shares | 912 |
| Shareholders’ Reports—Admiral Shares | 225 |
| Shareholders’ Reports—Institutional Shares | 125 |
| Trustees’ Fees and Expenses | 28 |
| Other Expenses | 23 |
| Total Expenses | 32,973 |
| Expenses Paid Indirectly | (2) |
| Net Expenses | 32,971 |
| Net Investment Income | 1,108,044 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 1,307,965 |
| Futures Contracts | 2,858 |
| Swap Contracts | 19,299 |
| Realized Net Gain (Loss) | 1,330,122 |
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Small-Cap Value Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 4,732,301 |
| Futures Contracts | 874 |
| Swap Contracts | 13,781 |
| Change in Unrealized Appreciation (Depreciation) | 4,746,956 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 7,185,122 |
| 1 | Dividends are net of foreign withholding taxes of $79,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,634,000, $28,000, $1,000, and $142,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $2,717,640,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
94
Small-Cap Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,108,044 | 937,395 |
| Realized Net Gain (Loss) | 1,330,122 | 2,870,695 |
| Change in Unrealized Appreciation (Depreciation) | 4,746,956 | (8,621,190) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 7,185,122 | (4,813,100) |
| Distributions | ||
| Investor Shares | (2,615) | (2,947) |
| ETF Shares | (573,501) | (477,621) |
| Admiral Shares | (412,279) | (352,210) |
| Institutional Shares | (118,067) | (91,664) |
| Total Distributions | (1,106,462) | (924,442) |
| Capital Share Transactions | ||
| Investor Shares | (51,145) | (38,171) |
| ETF Shares | 124,360 | (34,278) |
| Admiral Shares | (361,227) | 363,608 |
| Institutional Shares | 105,555 | 581,216 |
| Net Increase (Decrease) from Capital Share Transactions | (182,457) | 872,375 |
| Total Increase (Decrease) | 5,896,203 | (4,865,167) |
| Net Assets | ||
| Beginning of Period | 46,236,334 | 51,101,501 |
| End of Period | 52,132,537 | 46,236,334 |
See accompanying Notes, which are an
integral part of the Financial Statements.
95
Small-Cap Value Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $38.09 | $42.87 | $34.08 | $32.86 | $27.35 |
| Investment Operations | |||||
| Net Investment Income1 | .855 | .722 | .724 | .550 | .543 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.089 | (4.777) | 8.767 | 1.208 | 5.608 |
| Total from Investment Operations | 5.944 | (4.055) | 9.491 | 1.758 | 6.151 |
| Distributions | |||||
| Dividends from Net Investment Income | (.864) | (.725) | (.701) | (.538) | (.641) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.864) | (.725) | (.701) | (.538) | (.641) |
| Net Asset Value, End of Period | $43.17 | $38.09 | $42.87 | $34.08 | $32.86 |
| Total Return2 | 15.86% | -9.43% | 27.96% | 5.72% | 22.61% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $112 | $149 | $208 | $234 | $255 |
| Ratio of Total Expenses to Average Net Assets | 0.19%3 | 0.19%3 | 0.19% | 0.19% | 0.19% |
| Ratio of Net Investment Income to Average Net Assets | 2.18% | 1.83% | 1.78% | 1.98% | 1.76% |
| Portfolio Turnover Rate4 | 16% | 13% | 16% | 26% | 19% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
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Small-Cap Value Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $158.84 | $178.77 | $142.13 | $137.05 | $114.05 |
| Investment Operations | |||||
| Net Investment Income1 | 3.809 | 3.273 | 3.131 | 2.584 | 2.840 |
| Net Realized and Unrealized Gain (Loss) on Investments | 21.159 | (19.975) | 36.640 | 4.884 | 22.984 |
| Total from Investment Operations | 24.968 | (16.702) | 39.771 | 7.468 | 25.824 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.808) | (3.228) | (3.131) | (2.388) | (2.824) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.808) | (3.228) | (3.131) | (2.388) | (2.824) |
| Net Asset Value, End of Period | $180.00 | $158.84 | $178.77 | $142.13 | $137.05 |
| Total Return | 16.00% | -9.29% | 28.07% | 5.82% | 22.76% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $27,036 | $23,786 | $26,854 | $17,837 | $14,808 |
| Ratio of Total Expenses to Average Net Assets | 0.07%2 | 0.07%2 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.33% | 1.99% | 1.84% | 2.23% | 2.19% |
| Portfolio Turnover Rate3 | 16% | 13% | 16% | 26% | 19% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
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Small-Cap Value Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $68.25 | $76.81 | $61.07 | $58.89 | $49.01 |
| Investment Operations | |||||
| Net Investment Income1 | 1.630 | 1.403 | 1.381 | 1.058 | 1.230 |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.096 | (8.576) | 15.704 | 2.148 | 9.863 |
| Total from Investment Operations | 10.726 | (7.173) | 17.085 | 3.206 | 11.093 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.636) | (1.387) | (1.345) | (1.026) | (1.213) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.636) | (1.387) | (1.345) | (1.026) | (1.213) |
| Net Asset Value, End of Period | $77.34 | $68.25 | $76.81 | $61.07 | $58.89 |
| Total Return2 | 15.99% | -9.31% | 28.09% | 5.85% | 22.76% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $19,421 | $17,505 | $19,307 | $14,314 | $13,907 |
| Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.32% | 1.99% | 1.89% | 2.13% | 2.21% |
| Portfolio Turnover Rate4 | 16% | 13% | 16% | 26% | 19% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
98
Small-Cap Value Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $38.15 | $42.94 | $34.14 | $32.92 | $27.39 |
| Investment Operations | |||||
| Net Investment Income1 | .915 | .796 | .781 | .597 | .684 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.083 | (4.806) | 8.775 | 1.199 | 5.527 |
| Total from Investment Operations | 5.998 | (4.010) | 9.556 | 1.796 | 6.211 |
| Distributions | |||||
| Dividends from Net Investment Income | (.918) | (.780) | (.756) | (.576) | (.681) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.918) | (.780) | (.756) | (.576) | (.681) |
| Net Asset Value, End of Period | $43.23 | $38.15 | $42.94 | $34.14 | $32.92 |
| Total Return | 15.99% | -9.31% | 28.11% | 5.86% | 22.81% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $5,564 | $4,797 | $4,733 | $3,774 | $3,632 |
| Ratio of Total Expenses to Average Net Assets | 0.06%2 | 0.06%2 | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 2.33% | 2.02% | 1.91% | 2.14% | 2.20% |
| Portfolio Turnover Rate3 | 16% | 13% | 16% | 26% | 19% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
99
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap Value Index
Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional
Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased
and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in
100
Small-Cap Value Index Fund
respect of the selected referenced stock)
over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays
a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality
temporary cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
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Small-Cap Value Index Fund
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
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Small-Cap Value Index Fund
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,574,000, representing less than 0.01% of the
fund’s net assets and 0.63% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31,
2023, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
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Small-Cap Value Index Fund
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 51,950,567 | — | — | 51,950,567 |
| Temporary Cash Investments | 538,520 | — | — | 538,520 |
| Total | 52,489,087 | — | — | 52,489,087 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 1,515 | — | — | 1,515 |
| Swap Contracts | — | 12,040 | — | 12,040 |
| Total | 1,515 | 12,040 | — | 13,555 |
| Liabilities | ||||
| Swap Contracts | — | 286 | — | 286 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 2,716,602 |
| Total Distributable Earnings (Loss) | (2,716,602) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; the recognition of unrealized gains from passive foreign investment companies; and the classification
104
Small-Cap Value Index Fund
of securities for tax purposes. As of period
end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 41,192 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 11,081,196 |
| Capital Loss Carryforwards | (5,576,391) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 5,545,997 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 1,106,462 | 924,442 |
| Long-Term Capital Gains | — | — |
| Total | 1,106,462 | 924,442 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 41,407,891 |
| Gross Unrealized Appreciation | 14,466,450 |
| Gross Unrealized Depreciation | (3,385,254) |
| Net Unrealized Appreciation (Depreciation) | 11,081,196 |
F. During the year ended December 31, 2023, the fund purchased $12,677,059,000 of investment securities and sold $12,852,682,000 of investment securities, other than temporary cash
investments. Purchases and sales include $5,153,018,000 and $5,427,428,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $3,169,790,000 and sales were $500,367,000, resulting in net realized loss of $149,750,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
105
Small-Cap Value Index Fund
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 10,700 | 270 | 14,773 | 371 | |
| Issued in Lieu of Cash Distributions | 2,615 | 67 | 2,947 | 78 | |
| Redeemed | (64,460) | (1,642) | (55,891) | (1,394) | |
| Net Increase (Decrease)—Investor Shares | (51,145) | (1,305) | (38,171) | (945) | |
| ETF Shares | |||||
| Issued | 5,641,115 | 34,285 | 8,743,606 | 53,827 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (5,516,755) | (33,825) | (8,777,884) | (54,300) | |
| Net Increase (Decrease)—ETF Shares | 124,360 | 460 | (34,278) | (473) | |
| Admiral Shares | |||||
| Issued | 2,405,153 | 34,163 | 2,968,180 | 42,013 | |
| Issued in Lieu of Cash Distributions | 360,909 | 5,150 | 309,221 | 4,569 | |
| Redeemed | (3,127,289) | (44,688) | (2,913,793) | (41,449) | |
| Net Increase (Decrease)—Admiral Shares | (361,227) | (5,375) | 363,608 | 5,133 | |
| Institutional Shares | |||||
| Issued | 804,902 | 20,622 | 1,285,688 | 33,018 | |
| Issued in Lieu of Cash Distributions | 113,084 | 2,885 | 87,334 | 2,308 | |
| Redeemed | (812,431) | (20,535) | (791,806) | (19,834) | |
| Net Increase (Decrease)—Institutional Shares | 105,555 | 2,972 | 581,216 | 15,492 | |
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
106
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Index
Funds and Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund
Opinions on the Financial
Statements
We have audited the
accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (three of the
funds constituting Vanguard Index Funds, hereafter collectively referred to as the "Funds") as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes
in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively
referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each
of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in
the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are
the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of
these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of
material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers
LLP
Philadelphia, Pennsylvania
February 16, 2024
Philadelphia, Pennsylvania
February 16, 2024
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
107
Tax information
(unaudited)
The following percentages, or
if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received
deduction for corporate shareholders.
| Fund | Percentage |
| Small-Cap Index Fund | 65.1% |
| Small-Cap Growth Index Fund | 54.7 |
| Small-Cap Value Index Fund | 68.8 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Small-Cap Index Fund | 1,421,905 |
| Small-Cap Growth Index Fund | 134,646 |
| Small-Cap Value Index Fund | 823,319 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax.
| Fund | ($000) |
| Small-Cap Index Fund | 13,346 |
| Small-Cap Growth Index Fund | 810 |
| Small-Cap Value Index Fund | 1,438 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Small-Cap Index Fund | 352,330 |
| Small-Cap Growth Index Fund | 52,557 |
| Small-Cap Value Index Fund | 172,719 |
108
The CRSP US Small Cap Index,
CRSP US Small Cap Growth Index, and CRSP US Small Cap Value Index (the “Indexes”) are products of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of
Chicago (“University”), and have been licensed for use by Vanguard. CRSP® is a trademark of CRSP and has been licensed by CRSP for use for certain purposes by Vanguard. Vanguard Small-Cap Index,
Small-Cap Growth Index, and Small-Cap Value Index Funds are not sponsored, endorsed, sold, or promoted by CRSP or the University. Neither CRSP nor the University makes any representation or warranty, express or
implied, to the owners of Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard
Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds particularly or the ability of the Indexes to track general market performance. The Indexes are determined, composed, and calculated without
regard to Vanguard or Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard
Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds into consideration in determining, composing, or calculating the Indexes. Neither CRSP nor the University is responsible for or has participated
in the determination of the prices and amount of Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds or the timing of the issuance or sale of Vanguard Small-Cap Index, Small-Cap Growth
Index, and Small-Cap Value Index Funds or in the determination or calculation of the equation by which Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds are to be converted into cash,
surrendered, or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Small-Cap Index, Small-Cap Growth
Index, and Small-Cap Value Index Funds. There is no assurance that investment products based on the Indexes will accurately track index performance or provide positive investment returns. Neither CRSP nor the
University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE
UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING
ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY
EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF
VANGUARD SMALL-CAP INDEX, SMALL-CAP GROWTH INDEX, AND SMALL-CAP VALUE INDEX FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE
FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, OR LOST
TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS
BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
109
The People Who Govern Your Fund
The trustees of your mutual
fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s
board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board
members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 Vanguard funds.
Information for each trustee
and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box
876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
1 Mr.
Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Annual Report | December 31, 2023
Vanguard U.S.
Stock Index Funds
Mid-Capitalization Portfolios
Mid-Capitalization Portfolios
| Vanguard Extended Market Index Fund |
| Vanguard Mid-Cap Index Fund |
| Vanguard Mid-Cap Growth Index Fund |
| Vanguard Mid-Cap Value Index Fund |
See the inside front cover for
important information about your fund’s annual and semiannual shareholder reports.
Important information about shareholder
reports
Beginning in July 2024,
amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and
concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at
vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive
shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at
one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Your Fund’s Performance at a Glance | 1 |
About Your Fund's Expenses | 2 |
Extended Market Index Fund | 4 |
Mid-Cap Index Fund | 49 |
Mid-Cap Growth Index Fund | 69 |
Mid-Cap Value Index Fund | 86 |
Please note: The
opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date
on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | The financial markets delivered robust returns for the 12 months ended December 31, 2023. Returns for the Vanguard Mid-Cap Index Funds ranged from 9.62% (for Investor Shares of the Mid-Cap Value Index Fund) to 23.14% (for Admiral Shares and ETF Shares of the Mid-Cap Growth Index Fund. Returns for ETF Shares are based on net asset value.) Returns for Vanguard Extended Market Index Fund, which holds small- and mid-capitalization stocks, ranged from 25.22% for Investor Shares to 25.44% for Institutional Select Shares. The funds generally tracked their target indexes closely. The Extended Market Index Fund outperformed, thanks to skilled trading and corporate-action elections by the fund’s manager, Vanguard Equity Index Group, in addition to securities lending revenue. |
| • | Major central banks stopped hiking interest rates when inflation eased. Global economic growth proved resilient, but the prospect of rates remaining high for an extended period spurred occasional volatility. Toward year-end, stocks and bonds rallied worldwide as expectations for rate cuts in 2024 rose. |
| • | At the sector level, technology shares contributed most to returns of all the funds’ target indexes, except the CRSP US Mid Cap Value Index, which was powered by industrials. |
| • | For the 10 years ended December 31, the funds’ annualized returns ranged from 8.36% (for Investor Shares of the Mid-Cap Value Index Fund) to 10.12% (for Admiral and ETF Shares of the Mid-Cap Growth Index Fund). The Extended Market Index Fund outperformed its target index, while the other funds closely tracked their indexes. |
| • | Note that the Extended Market Index Fund uses the Global Industry Classification Standard methodology, while the other funds use the Industry Classification Benchmark methodology. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2023 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.53% | 8.97% | 15.52% |
| Russell 2000 Index (Small-caps) | 16.93 | 2.22 | 9.97 |
| Russell 3000 Index (Broad U.S. market) | 25.96 | 8.54 | 15.16 |
| FTSE All-World ex US Index (International) | 15.82 | 1.98 | 7.52 |
| Bonds | |||
| Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | 5.60% | -3.33% | 1.17% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 6.40 | -0.40 | 2.25 |
| FTSE Three-Month U.S. Treasury Bill Index | 5.26 | 2.24 | 1.91 |
| CPI | |||
| Consumer Price Index | 3.35% | 5.60% | 4.07% |
1
About Your Fund’s Expenses
As a shareholder of the fund,
you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross
income, directly reduce the investment return of the fund.
A fund‘s expenses are
expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table
illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown
in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or
account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no
shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information
about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your
fund’s current prospectus.
2
| Six Months Ended December 31, 2023 | |||
| Beginning Account Value 6/30/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Extended Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,112.10 | $1.01 |
| ETF Shares | 1,000.00 | 1,112.90 | 0.32 |
| Admiral™ Shares | 1,000.00 | 1,112.80 | 0.32 |
| Institutional Shares | 1,000.00 | 1,112.80 | 0.27 |
| Institutional Plus Shares | 1,000.00 | 1,112.90 | 0.21 |
| Institutional Select Shares | 1,000.00 | 1,113.00 | 0.11 |
| Mid-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,065.10 | $0.88 |
| ETF Shares | 1,000.00 | 1,065.90 | 0.21 |
| Admiral Shares | 1,000.00 | 1,065.80 | 0.26 |
| Institutional Shares | 1,000.00 | 1,066.00 | 0.21 |
| Institutional Plus Shares | 1,000.00 | 1,065.90 | 0.16 |
| Mid-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,070.70 | $0.99 |
| ETF Shares | 1,000.00 | 1,071.40 | 0.37 |
| Admiral Shares | 1,000.00 | 1,071.40 | 0.37 |
| Mid-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,060.40 | $0.99 |
| ETF Shares | 1,000.00 | 1,061.00 | 0.36 |
| Admiral Shares | 1,000.00 | 1,061.00 | 0.36 |
| Based on Hypothetical 5% Yearly Return | |||
| Extended Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.90 | 0.31 |
| Admiral Shares | 1,000.00 | 1,024.90 | 0.31 |
| Institutional Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Plus Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Select Shares | 1,000.00 | 1,025.10 | 0.10 |
| Mid-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.00 | 0.20 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Plus Shares | 1,000.00 | 1,025.05 | 0.15 |
| Mid-Cap Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Mid-Cap Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
The calculations are
based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Extended Market Index Fund, 0.19% for Investor Shares, 0.06% for ETF
Shares, 0.06% for Admiral Shares, 0.05% for Institutional Shares, 0.04% for Institutional Plus Shares, and 0.02% for Institutional Select Shares; for the Mid-Cap Index Fund, 0.17% for Investor Shares, 0.04% for ETF
Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.03% for Institutional Plus Shares; for the Mid-Cap Growth Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, and 0.07% for Admiral
Shares; and for the Mid-Cap Value Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, and 0.07% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense
ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
3
Extended Market Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Extended Market Index Fund Investor Shares | 25.22% | 11.77% | 8.40% | $22,413 |
| S&P Completion Index | 24.97 | 11.77 | 8.42 | 22,444 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Extended Market Index Fund ETF Shares Net Asset Value | 25.39% | 11.91% | 8.54% | $22,702 | |
| Extended Market Index Fund ETF Shares Market Price | 25.49 | 11.92 | 8.55 | 22,716 | |
| S&P Completion Index | 24.97 | 11.77 | 8.42 | 22,444 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Extended Market Index Fund Admiral Shares | 25.38% | 11.91% | 8.54% | $22,701 | |
| S&P Completion Index | 24.97 | 11.77 | 8.42 | 22,444 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
4
Extended Market Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Extended Market Index Fund Institutional Shares | 25.41% | 11.92% | 8.56% | $11,366,202 | |
| S&P Completion Index | 24.97 | 11.77 | 8.42 | 11,221,856 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
| One Year | Five Years | Ten Years | Final Value of a $100,000,000 Investment | ||
| Extended Market Index Fund Institutional Plus Shares | 25.41% | 11.93% | 8.57% | $227,611,590 | |
| S&P Completion Index | 24.97 | 11.77 | 8.42 | 224,437,120 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 294,219,800 | |
| One Year | Five Years | Since Inception (6/27/2016) | Final Value of a $3,000,000,000 Investment | ||
| Extended Market Index Fund Institutional Select Shares | 25.44% | 11.95% | 11.45% | $6,774,235,800 | |
| S&P Completion Index | 24.97 | 11.77 | 11.26 | 6,688,184,700 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 13.82 | 7,929,434,400 | |
“Since
Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Extended Market Index Fund ETF Shares Market Price | 25.49% | 75.62% | 127.16% |
| Extended Market Index Fund ETF Shares Net Asset Value | 25.39 | 75.51 | 127.02 |
| S&P Completion Index | 24.97 | 74.42 | 124.44 |
For the ETF Shares, the
market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing
time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount
chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5
Extended Market Index Fund
Fund Allocation
As of December 31, 2023
| Communication Services | 4.1% |
| Consumer Discretionary | 11.4 |
| Consumer Staples | 2.8 |
| Energy | 4.4 |
| Financials | 17.4 |
| Health Care | 11.8 |
| Industrials | 17.0 |
| Information Technology | 18.9 |
| Materials | 4.4 |
| Real Estate | 6.0 |
| Utilities | 1.8 |
The table reflects the
fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category
(if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Global Industry
Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc.
(“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or
representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness,
merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party
involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the
possibility of such damages.
6
Extended Market Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
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Extended Market Index Fund
Derivative
Financial Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini NASDAQ 100 Index | March 2024 | 272 | 92,608 | 3,876 |
| E-mini Russell 2000 Index | March 2024 | 1,432 | 146,615 | 7,635 |
| E-mini S&P 500 Index | March 2024 | 106 | 25,546 | 166 |
| E-mini S&P Mid-Cap 400 Index | March 2024 | 88 | 24,724 | 1,309 |
| 12,986 | ||||
34
Extended Market Index Fund
| Over-the-Counter Total Return Swaps | ||||||
| Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
| BILL Holdings Inc. | 8/30/24 | BANA | 5,565 | (5.332) | 1,347 | — |
| Chewy Inc. Class A | 1/31/24 | GSI | 6,522 | (5.331) | 792 | — |
| Lucid Group Inc. | 1/31/24 | GSI | 8,777 | (5.331) | — | (1,045) |
| Sirius XM Holdings Inc. | 1/31/24 | GSI | 21,600 | (5.331) | 245 | — |
| Snowflake Inc. Class A | 8/30/24 | BANA | 29,653 | (5.332) | 1,666 | — |
| Wayfair Inc. Class A | 8/30/24 | BANA | 7,254 | (5.332) | 737 | — |
| 4,787 | (1,045) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $3,913,000 and cash of $1,420,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
35
Extended Market Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $81,497,663) | 96,840,944 |
| Affiliated Issuers (Cost $2,088,111) | 2,089,208 |
| Total Investments in Securities | 98,930,152 |
| Investment in Vanguard | 2,927 |
| Cash Collateral Pledged—Futures Contracts | 20,202 |
| Receivables for Investment Securities Sold | 41,354 |
| Receivables for Accrued Income | 93,656 |
| Receivables for Capital Shares Issued | 68,068 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 4,787 |
| Total Assets | 99,161,146 |
| Liabilities | |
| Due to Custodian | 19,818 |
| Payables for Investment Securities Purchased | 29,826 |
| Collateral for Securities on Loan | 1,733,477 |
| Payables for Capital Shares Redeemed | 163,855 |
| Payables to Vanguard | 1,901 |
| Variation Margin Payable—Futures Contracts | 3,626 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,045 |
| Total Liabilities | 1,953,548 |
| Net Assets | 97,207,598 |
| 1 Includes $1,509,878,000 of securities on loan. | |
36
Extended Market Index Fund
| Statement of Assets and Liabilities (continued) | |
At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 87,284,948 |
| Total Distributable Earnings (Loss) | 9,922,650 |
| Net Assets | 97,207,598 |
| Investor Shares—Net Assets | |
| Applicable to 1,858,699 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 231,936 |
| Net Asset Value Per Share—Investor Shares | $124.78 |
| ETF Shares—Net Assets | |
| Applicable to 107,137,209 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,606,486 |
| Net Asset Value Per Share—ETF Shares | $164.34 |
| Admiral Shares—Net Assets | |
| Applicable to 189,589,142 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 23,638,744 |
| Net Asset Value Per Share—Admiral Shares | $124.68 |
| Institutional Shares—Net Assets | |
| Applicable to 121,426,884 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 15,138,897 |
| Net Asset Value Per Share—Institutional Shares | $124.68 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 39,704,803 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,216,148 |
| Net Asset Value Per Share—Institutional Plus Shares | $307.67 |
| Institutional Select Shares—Net Assets | |
| Applicable to 141,614,265 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 28,375,387 |
| Net Asset Value Per Share—Institutional Select Shares | $200.37 |
See accompanying
Notes, which are an integral part of the Financial Statements.
37
Extended Market Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 1,094,745 |
| Interest2 | 34,640 |
| Securities Lending—Net | 141,974 |
| Total Income | 1,271,359 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,799 |
| Management and Administrative—Investor Shares | 398 |
| Management and Administrative—ETF Shares | 7,237 |
| Management and Administrative—Admiral Shares | 11,162 |
| Management and Administrative—Institutional Shares | 5,844 |
| Management and Administrative—Institutional Plus Shares | 3,508 |
| Management and Administrative—Institutional Select Shares | 4,150 |
| Marketing and Distribution—Investor Shares | 10 |
| Marketing and Distribution—ETF Shares | 836 |
| Marketing and Distribution—Admiral Shares | 847 |
| Marketing and Distribution—Institutional Shares | 458 |
| Marketing and Distribution—Institutional Plus Shares | 370 |
| Marketing and Distribution—Institutional Select Shares | 49 |
| Custodian Fees | 639 |
| Auditing Fees | 48 |
| Shareholders’ Reports—Investor Shares | 1 |
| Shareholders’ Reports—ETF Shares | 417 |
| Shareholders’ Reports—Admiral Shares | 167 |
| Shareholders’ Reports—Institutional Shares | 191 |
| Shareholders’ Reports—Institutional Plus Shares | 148 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 51 |
| Other Expenses | 25 |
| Total Expenses | 38,355 |
| Expenses Paid Indirectly | (5) |
| Net Expenses | 38,350 |
| Net Investment Income | 1,233,009 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 5,059,742 |
| Futures Contracts | 23,830 |
| Swap Contracts | 6,190 |
| Realized Net Gain (Loss) | 5,089,762 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 13,569,568 |
| Futures Contracts | 26,926 |
| Swap Contracts | 10,301 |
| Change in Unrealized Appreciation (Depreciation) | 13,606,795 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 19,929,566 |
| 1 | Dividends are net of foreign withholding taxes of $295,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $32,828,000, $32,000, $2,000, and $510,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $5,732,517,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
38
Extended Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,233,009 | 1,141,328 |
| Realized Net Gain (Loss) | 5,089,762 | 2,411,429 |
| Change in Unrealized Appreciation (Depreciation) | 13,606,795 | (32,279,720) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 19,929,566 | (28,726,963) |
| Distributions | ||
| Investor Shares | (2,799) | (2,370) |
| ETF Shares | (216,881) | (148,188) |
| Admiral Shares | (304,809) | (232,052) |
| Institutional Shares | (197,911) | (154,028) |
| Institutional Plus Shares | (157,589) | (131,076) |
| Institutional Select Shares | (358,784) | (248,096) |
| Total Distributions | (1,238,773) | (915,810) |
| Capital Share Transactions | ||
| Investor Shares | (44,315) | (72,334) |
| ETF Shares | 1,158,186 | 344,966 |
| Admiral Shares | (985,934) | (1,252,838) |
| Institutional Shares | (827,656) | (1,209,959) |
| Institutional Plus Shares | (656,866) | (1,175,993) |
| Institutional Select Shares | 877,035 | 3,290,411 |
| Net Increase (Decrease) from Capital Share Transactions | (479,550) | (75,747) |
| Total Increase (Decrease) | 18,211,243 | (29,718,520) |
| Net Assets | ||
| Beginning of Period | 78,996,355 | 108,714,875 |
| End of Period | 97,207,598 | 78,996,355 |
See accompanying
Notes, which are an integral part of the Financial Statements.
39
Extended Market Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $100.93 | $138.80 | $124.83 | $95.66 | $75.74 |
| Investment Operations | |||||
| Net Investment Income1 | 1.411 | 1.280 | 1.216 | .983 | .962 |
| Net Realized and Unrealized Gain (Loss) on Investments | 23.876 | (38.141) | 14.134 | 29.401 | 20.089 |
| Total from Investment Operations | 25.287 | (36.861) | 15.350 | 30.384 | 21.051 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.437) | (1.009) | (1.380) | (1.214) | (1.131) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.437) | (1.009) | (1.380) | (1.214) | (1.131) |
| Net Asset Value, End of Period | $124.78 | $100.93 | $138.80 | $124.83 | $95.66 |
| Total Return2 | 25.22% | -26.56% | 12.31% | 32.04% | 27.87% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $232 | $229 | $399 | $454 | $455 |
| Ratio of Total Expenses to Average Net Assets | 0.19%3 | 0.19%3 | 0.19% | 0.19% | 0.19% |
| Ratio of Net Investment Income to Average Net Assets | 1.28% | 1.14% | 0.87% | 1.04% | 1.09% |
| Portfolio Turnover Rate4 | 11% | 11% | 19% | 19% | 13% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $132.92 | $182.81 | $164.43 | $126.02 | $99.77 |
| Investment Operations | |||||
| Net Investment Income1 | 2.086 | 1.914 | 1.867 | 1.509 | 1.636 |
| Net Realized and Unrealized Gain (Loss) on Investments | 31.415 | (50.278) | 18.576 | 38.668 | 26.255 |
| Total from Investment Operations | 33.501 | (48.364) | 20.443 | 40.177 | 27.891 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.081) | (1.526) | (2.063) | (1.767) | (1.641) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.081) | (1.526) | (2.063) | (1.767) | (1.641) |
| Net Asset Value, End of Period | $164.34 | $132.92 | $182.81 | $164.43 | $126.02 |
| Total Return | 25.39% | -26.46% | 12.44% | 32.20% | 28.04% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $17,606 | $13,089 | $17,593 | $13,761 | $8,119 |
| Ratio of Total Expenses to Average Net Assets | 0.06%2 | 0.06%2 | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.31% | 1.02% | 1.20% | 1.40% |
| Portfolio Turnover Rate3 | 11% | 11% | 19% | 19% | 13% |
| 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. |
See accompanying Notes, which are an
integral part of the Financial Statements.
40
Extended Market Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $100.85 | $138.70 | $124.75 | $95.61 | $75.70 |
| Investment Operations | |||||
| Net Investment Income1 | 1.557 | 1.437 | 1.408 | 1.112 | 1.236 |
| Net Realized and Unrealized Gain (Loss) on Investments | 23.851 | (38.129) | 14.106 | 29.367 | 19.918 |
| Total from Investment Operations | 25.408 | (36.692) | 15.514 | 30.479 | 21.154 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.578) | (1.158) | (1.564) | (1.339) | (1.244) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.578) | (1.158) | (1.564) | (1.339) | (1.244) |
| Net Asset Value, End of Period | $124.68 | $100.85 | $138.70 | $124.75 | $95.61 |
| Total Return2 | 25.38% | -26.47% | 12.45% | 32.21% | 28.03% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $23,639 | $20,012 | $29,054 | $26,784 | $22,391 |
| Ratio of Total Expenses to Average Net Assets | 0.06%3 | 0.06%3 | 0.06% | 0.06% | 0.06% |
| Ratio of Net Investment Income to Average Net Assets | 1.42% | 1.29% | 1.01% | 1.18% | 1.39% |
| Portfolio Turnover Rate4 | 11% | 11% | 19% | 19% | 13% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $100.84 | $138.69 | $124.74 | $95.60 | $75.69 |
| Investment Operations | |||||
| Net Investment Income1 | 1.567 | 1.439 | 1.413 | 1.125 | 1.239 |
| Net Realized and Unrealized Gain (Loss) on Investments | 23.862 | (38.120) | 14.115 | 29.364 | 19.925 |
| Total from Investment Operations | 25.429 | (36.681) | 15.528 | 30.489 | 21.164 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.589) | (1.169) | (1.578) | (1.349) | (1.254) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.589) | (1.169) | (1.578) | (1.349) | (1.254) |
| Net Asset Value, End of Period | $124.68 | $100.84 | $138.69 | $124.74 | $95.60 |
| Total Return | 25.41% | -26.46% | 12.47% | 32.23% | 28.05% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $15,139 | $12,983 | $19,456 | $18,659 | $14,927 |
| Ratio of Total Expenses to Average Net Assets | 0.05%2 | 0.05%2 | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.43% | 1.29% | 1.01% | 1.19% | 1.40% |
| Portfolio Turnover Rate3 | 11% | 11% | 19% | 19% | 13% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
41
Extended Market Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $248.85 | $342.27 | $307.85 | $235.94 | $186.80 |
| Investment Operations | |||||
| Net Investment Income1 | 3.898 | 3.597 | 3.595 | 2.798 | 3.078 |
| Net Realized and Unrealized Gain (Loss) on Investments | 58.870 | (94.104) | 34.757 | 72.466 | 49.178 |
| Total from Investment Operations | 62.768 | (90.507) | 38.352 | 75.264 | 52.256 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.948) | (2.913) | (3.932) | (3.354) | (3.116) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.948) | (2.913) | (3.932) | (3.354) | (3.116) |
| Net Asset Value, End of Period | $307.67 | $248.85 | $342.27 | $307.85 | $235.94 |
| Total Return | 25.41% | -26.45% | 12.48% | 32.24% | 28.07% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $12,216 | $10,446 | $15,973 | $11,665 | $9,486 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.31% | 1.04% | 1.20% | 1.41% |
| Portfolio Turnover Rate3 | 11% | 11% | 19% | 19% | 13% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $162.04 | $222.86 | $200.45 | $153.63 | $121.63 |
| Investment Operations | |||||
| Net Investment Income1 | 2.580 | 2.421 | 2.352 | 1.855 | 2.059 |
| Net Realized and Unrealized Gain (Loss) on Investments | 38.338 | (61.319) | 22.661 | 47.179 | 31.999 |
| Total from Investment Operations | 40.918 | (58.898) | 25.013 | 49.034 | 34.058 |
| Distributions | |||||
| Dividends from Net Investment Income | (2.588) | (1.922) | (2.603) | (2.214) | (2.058) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.588) | (1.922) | (2.603) | (2.214) | (2.058) |
| Net Asset Value, End of Period | $200.37 | $162.04 | $222.86 | $200.45 | $153.63 |
| Total Return | 25.44% | -26.44% | 12.50% | 32.27% | 28.09% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $28,375 | $22,239 | $26,240 | $24,472 | $19,166 |
| Ratio of Total Expenses to Average Net Assets | 0.02%2 | 0.02%2 | 0.02% | 0.02% | 0.02% |
| Ratio of Net Investment Income to Average Net Assets | 1.46% | 1.36% | 1.05% | 1.22% | 1.44% |
| Portfolio Turnover Rate3 | 11% | 11% | 19% | 19% | 13% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
42
Extended Market Index Fund
Notes to Financial Statements
Vanguard Extended Market Index
Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares,
Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are
listed for trading on NYSE Arca; they can be purchased and sold through a broker.
In March 2023, the board of
trustees approved a plan of reorganization whereby the fund will reorganize from Vanguard Index Funds (such fund the "Predecessor Fund”) to a newly created shell series under Vanguard Institutional Index Funds.
The purpose of the reorganization is to improve administrative efficiencies for all funds within the Vanguard complex by spreading the filing and reporting requirements across different legal entities. After the
reorganization the surviving fund will be identical in its management to the Predecessor Fund and its investment objective, strategies, and policies will remain unchanged. The reorganization is anticipated to qualify
as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash
investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent
pricing services.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the
period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock
43
Extended Market Index Fund
at the beginning of the equity swap contract.
The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in
high-quality temporary cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
44
Extended Market Index Fund
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for
premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains
(losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $2,927,000, representing less than 0.01% of the
fund’s net assets and 1.17% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December
31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $5,000 (an annual rate of less than 0.01% of average net assets).
45
Extended Market Index Fund
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 96,832,085 | — | 4,866 | 96,836,951 |
| Preferred Stocks | 125 | — | — | 125 |
| Rights | 2 | 102 | 2,648 | 2,752 |
| Warrants | — | — | 1,116 | 1,116 |
| Temporary Cash Investments | 2,089,208 | — | — | 2,089,208 |
| Total | 98,921,420 | 102 | 8,630 | 98,930,152 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 12,986 | — | — | 12,986 |
| Swap Contracts | — | 4,787 | — | 4,787 |
| Total | 12,986 | 4,787 | — | 17,773 |
| Liabilities | ||||
| Swap Contracts | — | 1,045 | — | 1,045 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 5,721,800 |
| Total Distributable Earnings (Loss) | (5,721,800) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; the recognition of unrealized gains from passive foreign investment companies; and the classification of securities for
46
Extended Market Index Fund
tax purposes. As of period end, the tax-basis
components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 42,694 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 14,687,076 |
| Capital Loss Carryforwards | (4,807,120) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 9,922,650 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 1,238,773 | 915,810 |
| Long-Term Capital Gains | — | — |
| Total | 1,238,773 | 915,810 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 84,243,076 |
| Gross Unrealized Appreciation | 32,329,904 |
| Gross Unrealized Depreciation | (17,642,828) |
| Net Unrealized Appreciation (Depreciation) | 14,687,076 |
F. During the year ended December 31, 2023, the fund purchased $19,621,054,000 of investment securities and sold $19,515,727,000 of investment securities, other
than temporary cash investments. Purchases and sales include $9,464,667,000 and $10,163,029,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $1,072,681,000 and sales were $2,200,522,000, resulting in net realized gain of $165,725,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 7,047 | 64 | 10,368 | 92 | |
| Issued in Lieu of Cash Distributions | 2,799 | 25 | 2,370 | 23 | |
| Redeemed | (54,161) | (496) | (85,072) | (721) | |
| Net Increase (Decrease)—Investor Shares | (44,315) | (407) | (72,334) | (606) | |
47
Extended Market Index Fund
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| ETF Shares | |||||
| Issued | 10,241,871 | 68,864 | 7,785,642 | 54,535 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (9,083,685) | (60,200) | (7,440,676) | (52,300) | |
| Net Increase (Decrease)—ETF Shares | 1,158,186 | 8,664 | 344,966 | 2,235 | |
| Admiral Shares | |||||
| Issued | 1,528,622 | 13,910 | 2,057,224 | 18,437 | |
| Issued in Lieu of Cash Distributions | 253,200 | 2,264 | 193,334 | 1,884 | |
| Redeemed | (2,767,756) | (25,026) | (3,503,396) | (31,355) | |
| Net Increase (Decrease)—Admiral Shares | (985,934) | (8,852) | (1,252,838) | (11,034) | |
| Institutional Shares | |||||
| Issued | 2,289,403 | 20,910 | 2,414,097 | 21,403 | |
| Issued in Lieu of Cash Distributions | 183,474 | 1,642 | 143,746 | 1,400 | |
| Redeemed | (3,300,533) | (29,875) | (3,767,802) | (34,333) | |
| Net Increase (Decrease)—Institutional Shares | (827,656) | (7,323) | (1,209,959) | (11,530) | |
| Institutional Plus Shares | |||||
| Issued | 1,568,473 | 5,907 | 3,581,013 | 13,375 | |
| Issued in Lieu of Cash Distributions | 152,432 | 552 | 125,346 | 495 | |
| Redeemed | (2,377,771) | (8,729) | (4,882,352) | (18,563) | |
| Net Increase (Decrease)—Institutional Plus Shares | (656,866) | (2,270) | (1,175,993) | (4,693) | |
| Institutional Select Shares | |||||
| Issued | 3,253,688 | 18,298 | 4,415,226 | 25,617 | |
| Issued in Lieu of Cash Distributions | 358,784 | 1,994 | 248,096 | 1,506 | |
| Redeemed | (2,735,437) | (15,917) | (1,372,911) | (7,624) | |
| Net Increase (Decrease)—Institutional Select Shares | 877,035 | 4,375 | 3,290,411 | 19,499 | |
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
48
Mid-Cap Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Mid-Cap Index Fund Investor Shares | 15.84% | 12.57% | 9.27% | $24,275 |
|
| CRSP US Mid Cap Index | 15.98 | 12.73 | 9.44 | 24,643 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Index Fund ETF Shares Net Asset Value | 15.99% | 12.72% | 9.41% | $24,589 | |
| Mid-Cap Index Fund ETF Shares Market Price | 16.04 | 12.73 | 9.42 | 24,595 | |
| CRSP US Mid Cap Index | 15.98 | 12.73 | 9.44 | 24,643 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Index Fund Admiral Shares | 15.98% | 12.71% | 9.41% | $24,576 | |
| CRSP US Mid Cap Index | 15.98 | 12.73 | 9.44 | 24,643 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
49
Mid-Cap Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Mid-Cap Index Fund Institutional Shares | 16.00% | 12.72% | 9.42% | $12,302,398 | |
| CRSP US Mid Cap Index | 15.98 | 12.73 | 9.44 | 12,321,356 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
| One Year | Five Years | Ten Years | Final Value of a $100,000,000 Investment | ||
| Mid-Cap Index Fund Institutional Plus Shares | 16.00% | 12.73% | 9.43% | $246,303,260 | |
| CRSP US Mid Cap Index | 15.98 | 12.73 | 9.44 | 246,427,120 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 294,219,800 | |
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Mid-Cap Index Fund ETF Shares Market Price | 16.04% | 82.07% | 145.95% |
| Mid-Cap Index Fund ETF Shares Net Asset Value | 15.99 | 81.93 | 145.89 |
| CRSP US Mid Cap Index | 15.98 | 82.04 | 146.43 |
For the ETF Shares, the
market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing
time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount
chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
50
Mid-Cap Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 3.8% |
| Consumer Discretionary | 13.1 |
| Consumer Staples | 4.5 |
| Energy | 4.9 |
| Financials | 12.5 |
| Health Care | 9.5 |
| Industrials | 19.6 |
| Real Estate | 8.3 |
| Technology | 14.5 |
| Telecommunications | 1.9 |
| Utilities | 7.4 |
The table reflects the
fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if
applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
51
Mid-Cap Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
52
Mid-Cap Index Fund
53
Mid-Cap Index Fund
54
Mid-Cap Index Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P Mid-Cap 400 Index | March 2024 | 1,040 | 292,188 | 7,544 |
| 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. | 8/30/24 | BANA | 21,704 | (5.332) | 2,897 | — |
| Ameren Corp. | 1/31/24 | GSI | 1,076 | (5.331) | 17 | — |
| Coinbase Global Inc. Class A | 1/31/24 | GSI | 59,160 | (5.331) | 10,312 | — |
| CRSP US Mid Cap TR Index | 8/30/24 | BANA | 106,511 | (5.882) | 6,631 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,480 | (5.979) | 707 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,470 | (5.978) | 477 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,460 | (5.979) | 472 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,360 | (5.977) | 592 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 28,920 | (5.977) | 1,038 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 23,456 | (5.882) | 673 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 12,000 | (5.976) | — | (16) |
| Global Payments Inc. | 8/30/24 | BANA | 151,372 | (5.932) | 13,355 | — |
| Hormel Foods Corp. | 1/31/24 | GSI | 13,986 | (5.331) | 441 | — |
| Molina Healthcare Inc. | 8/30/24 | BANA | 23,761 | (5.332) | — | (375) |
| Palantir Technologies Inc. Class A | 8/30/24 | BANA | 5,373 | (5.332) | — | (794) |
| Sirius XM Holdings Inc. | 1/31/24 | GSI | 13,365 | (5.331) | 151 | — |
| Trade Desk Inc. Class A | 8/30/24 | BANA | 24,661 | (5.332) | 423 | — |
| VICI Properties Inc. Class A | 8/30/24 | BANA | 79,209 | (5.982) | 6,005 | — |
| 44,191 | (1,185) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $55,501,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
55
Mid-Cap Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $102,451,201) | 154,511,384 |
| Affiliated Issuers (Cost $1,119,168) | 1,119,284 |
| Total Investments in Securities | 155,630,668 |
| Investment in Vanguard | 4,827 |
| Cash | 3,550 |
| Cash Collateral Pledged—Futures Contracts | 28,145 |
| Receivables for Accrued Income | 242,977 |
| Receivables for Capital Shares Issued | 79,665 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 44,191 |
| Total Assets | 156,034,023 |
| Liabilities | |
| Payables for Investment Securities Purchased | 7,245 |
| Collateral for Securities on Loan | 199,138 |
| Payables for Capital Shares Redeemed | 357,218 |
| Payables to Vanguard | 2,923 |
| Variation Margin Payable—Futures Contracts | 4,715 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,185 |
| Total Liabilities | 572,424 |
| Net Assets | 155,461,599 |
| 1 Includes $180,290,000 of securities on loan. | |
56
Mid-Cap Index Fund
| Statement of Assets and Liabilities (continued) | |
At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 124,561,160 |
| Total Distributable Earnings (Loss) | 30,900,439 |
| Net Assets | 155,461,599 |
| Investor Shares—Net Assets | |
| Applicable to 6,553,612 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 416,241 |
| Net Asset Value Per Share—Investor Shares | $63.51 |
| ETF Shares—Net Assets | |
| Applicable to 255,293,710 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 59,375,822 |
| Net Asset Value Per Share—ETF Shares | $232.58 |
| Admiral Shares—Net Assets | |
| Applicable to 199,014,585 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 57,330,173 |
| Net Asset Value Per Share—Admiral Shares | $288.07 |
| Institutional Shares—Net Assets | |
| Applicable to 343,633,753 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 21,867,485 |
| Net Asset Value Per Share—Institutional Shares | $63.64 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 52,485,031 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,471,878 |
| Net Asset Value Per Share—Institutional Plus Shares | $313.84 |
See accompanying
Notes, which are an integral part of the Financial Statements.
57
Mid-Cap Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 2,386,824 |
| Interest2 | 35,149 |
| Securities Lending—Net | 23,785 |
| Total Income | 2,445,758 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,060 |
| Management and Administrative—Investor Shares | 703 |
| Management and Administrative—ETF Shares | 15,555 |
| Management and Administrative—Admiral Shares | 22,525 |
| Management and Administrative—Institutional Shares | 6,976 |
| Management and Administrative—Institutional Plus Shares | 3,753 |
| Marketing and Distribution—Investor Shares | 21 |
| Marketing and Distribution—ETF Shares | 2,978 |
| Marketing and Distribution—Admiral Shares | 2,387 |
| Marketing and Distribution—Institutional Shares | 657 |
| Marketing and Distribution—Institutional Plus Shares | 449 |
| Custodian Fees | 191 |
| Auditing Fees | 37 |
| Shareholders’ Reports—Investor Shares | 1 |
| Shareholders’ Reports—ETF Shares | 1,389 |
| Shareholders’ Reports—Admiral Shares | 578 |
| Shareholders’ Reports—Institutional Shares | 169 |
| Shareholders’ Reports—Institutional Plus Shares | 90 |
| Trustees’ Fees and Expenses | 85 |
| Other Expenses | 23 |
| Total Expenses | 61,627 |
| Expenses Paid Indirectly | (8) |
| Net Expenses | 61,619 |
| Net Investment Income | 2,384,139 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 560,466 |
| Futures Contracts | 40,311 |
| Swap Contracts | 23,882 |
| Realized Net Gain (Loss) | 624,659 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 18,589,151 |
| Futures Contracts | 24,275 |
| Swap Contracts | 56,866 |
| Change in Unrealized Appreciation (Depreciation) | 18,670,292 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,679,090 |
| 1 | Dividends are net of foreign withholding taxes of $935,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $33,917,000, $178,000, $6,000, and ($264,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $6,499,705,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
58
Mid-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 2,384,139 | 2,185,524 |
| Realized Net Gain (Loss) | 624,659 | 2,853,546 |
| Change in Unrealized Appreciation (Depreciation) | 18,670,292 | (36,662,503) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,679,090 | (31,623,433) |
| Distributions | ||
| Investor Shares | (6,392) | (7,365) |
| ETF Shares | (884,374) | (779,343) |
| Admiral Shares | (872,711) | (818,365) |
| Institutional Shares | (338,375) | (331,945) |
| Institutional Plus Shares | (256,449) | (235,283) |
| Total Distributions | (2,358,301) | (2,172,301) |
| Capital Share Transactions | ||
| Investor Shares | (116,598) | (126,905) |
| ETF Shares | 2,252,186 | 3,900,034 |
| Admiral Shares | (1,165,068) | (830,405) |
| Institutional Shares | (1,138,787) | (1,758,614) |
| Institutional Plus Shares | (455,704) | 710,097 |
| Net Increase (Decrease) from Capital Share Transactions | (623,971) | 1,894,207 |
| Total Increase (Decrease) | 18,696,818 | (31,901,527) |
| Net Assets | ||
| Beginning of Period | 136,764,781 | 168,666,308 |
| End of Period | 155,461,599 | 136,764,781 |
See accompanying
Notes, which are an integral part of the Financial Statements.
59
Mid-Cap Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $55.66 | $69.54 | $56.52 | $48.64 | $37.71 |
| Investment Operations | |||||
| Net Investment Income1 | .887 | .807 | .652 | .698 | .577 |
| Net Realized and Unrealized Gain (Loss) on Investments | 7.851 | (13.875) | 13.065 | 7.937 | 11.018 |
| Total from Investment Operations | 8.738 | (13.068) | 13.717 | 8.635 | 11.595 |
| Distributions | |||||
| Dividends from Net Investment Income | (.888) | (.812) | (.697) | (.755) | (.665) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.888) | (.812) | (.697) | (.755) | (.665) |
| Net Asset Value, End of Period | $63.51 | $55.66 | $69.54 | $56.52 | $48.64 |
| Total Return2 | 15.84% | -18.80% | 24.36% | 18.10% | 30.86% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $416 | $476 | $740 | $834 | $877 |
| Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.36% | 1.02% | 1.49% | 1.31% |
| Portfolio Turnover Rate4 | 13% | 12% | 16% | 26% | 15% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $203.84 | $254.69 | $207.00 | $178.14 | $138.08 |
| Investment Operations | |||||
| Net Investment Income1 | 3.589 | 3.302 | 2.741 | 2.772 | 2.663 |
| Net Realized and Unrealized Gain (Loss) on Investments | 28.686 | (50.886) | 47.811 | 29.084 | 40.043 |
| Total from Investment Operations | 32.275 | (47.584) | 50.552 | 31.856 | 42.706 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.535) | (3.266) | (2.862) | (2.996) | (2.646) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.535) | (3.266) | (2.862) | (2.996) | (2.646) |
| Net Asset Value, End of Period | $232.58 | $203.84 | $254.69 | $207.00 | $178.14 |
| Total Return | 15.99% | -18.68% | 24.52% | 18.22% | 31.04% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $59,376 | $49,861 | $57,774 | $41,587 | $29,014 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.68% | 1.53% | 1.16% | 1.61% | 1.62% |
| Portfolio Turnover Rate3 | 13% | 12% | 16% | 26% | 15% |
| 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. |
See accompanying Notes, which are an
integral part of the Financial Statements.
60
Mid-Cap Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $252.47 | $315.46 | $256.40 | $220.66 | $171.04 |
| Investment Operations | |||||
| Net Investment Income1 | 4.381 | 4.028 | 3.333 | 3.418 | 3.296 |
| Net Realized and Unrealized Gain (Loss) on Investments | 35.571 | (63.000) | 59.242 | 36.010 | 49.578 |
| Total from Investment Operations | 39.952 | (58.972) | 62.575 | 39.428 | 52.874 |
| Distributions | |||||
| Dividends from Net Investment Income | (4.352) | (4.018) | (3.515) | (3.688) | (3.254) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (4.352) | (4.018) | (3.515) | (3.688) | (3.254) |
| Net Asset Value, End of Period | $288.07 | $252.47 | $315.46 | $256.40 | $220.66 |
| Total Return2 | 15.98% | -18.71% | 24.51% | 18.24% | 31.03% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $57,330 | $51,352 | $65,118 | $53,301 | $47,640 |
| Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.65% | 1.51% | 1.14% | 1.61% | 1.62% |
| Portfolio Turnover Rate4 | 13% | 12% | 16% | 26% | 15% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $55.77 | $69.69 | $56.64 | $48.74 | $37.78 |
| Investment Operations | |||||
| Net Investment Income1 | .971 | .893 | .743 | .759 | .727 |
| Net Realized and Unrealized Gain (Loss) on Investments | 7.866 | (13.919) | 13.090 | 7.961 | 10.957 |
| Total from Investment Operations | 8.837 | (13.026) | 13.833 | 8.720 | 11.684 |
| Distributions | |||||
| Dividends from Net Investment Income | (.967) | (.894) | (.783) | (.820) | (.724) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.967) | (.894) | (.783) | (.820) | (.724) |
| Net Asset Value, End of Period | $63.64 | $55.77 | $69.69 | $56.64 | $48.74 |
| Total Return | 16.00% | -18.70% | 24.53% | 18.26% | 31.04% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $21,867 | $20,231 | $27,312 | $22,291 | $20,425 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.66% | 1.51% | 1.15% | 1.62% | 1.62% |
| Portfolio Turnover Rate3 | 13% | 12% | 16% | 26% | 15% |
| 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. |
See accompanying Notes, which are an
integral part of the Financial Statements.
61
Mid-Cap Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $275.06 | $343.68 | $279.34 | $240.40 | $186.34 |
| Investment Operations | |||||
| Net Investment Income1 | 4.831 | 4.458 | 3.688 | 3.774 | 3.598 |
| Net Realized and Unrealized Gain (Loss) on Investments | 38.747 | (68.641) | 64.544 | 39.230 | 54.052 |
| Total from Investment Operations | 43.578 | (64.183) | 68.232 | 43.004 | 57.650 |
| Distributions | |||||
| Dividends from Net Investment Income | (4.798) | (4.437) | (3.892) | (4.064) | (3.590) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (4.798) | (4.437) | (3.892) | (4.064) | (3.590) |
| Net Asset Value, End of Period | $313.84 | $275.06 | $343.68 | $279.34 | $240.40 |
| Total Return | 16.00% | -18.69% | 24.53% | 18.27% | 31.06% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $16,472 | $14,846 | $17,723 | $14,937 | $13,612 |
| Ratio of Total Expenses to Average Net Assets | 0.03%2 | 0.03%2 | 0.03% | 0.03% | 0.03% |
| Ratio of Net Investment Income to Average Net Assets | 1.67% | 1.53% | 1.16% | 1.63% | 1.62% |
| Portfolio Turnover Rate3 | 13% | 12% | 16% | 26% | 15% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
62
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is
registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and
Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca;
they can be purchased and sold through a broker.
In March 2023, the board of
trustees approved a plan of reorganization whereby the fund will reorganize from Vanguard Index Funds (such fund the "Predecessor Fund”) to a newly created shell series under Vanguard Valley Forge Funds. The
purpose of the reorganization is to improve administrative efficiencies for all funds within the Vanguard complex by spreading the filing and reporting requirements across different legal entities. After the
reorganization the surviving fund will be identical in its management to the Predecessor Fund and its investment objective, strategies, and policies will remain unchanged. The reorganization is anticipated to qualify
as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash
investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent
pricing services.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock
63
Mid-Cap Index Fund
at the beginning of the equity swap contract.
The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in
high-quality temporary cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
64
Mid-Cap Index Fund
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for
premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains
(losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $4,827,000, representing less than 0.01% of the
fund’s net assets and 1.93% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December
31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
65
Mid-Cap Index Fund
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 154,511,384 | — | — | 154,511,384 |
| Temporary Cash Investments | 1,119,284 | — | — | 1,119,284 |
| Total | 155,630,668 | — | — | 155,630,668 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 7,544 | — | — | 7,544 |
| Swap Contracts | — | 44,191 | — | 44,191 |
| Total | 7,544 | 44,191 | — | 51,735 |
| Liabilities | ||||
| Swap Contracts | — | 1,185 | — | 1,185 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 6,500,259 |
| Total Distributable Earnings (Loss) | (6,500,259) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the
table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 122,056 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 51,972,233 |
| Capital Loss Carryforwards | (21,193,850) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 30,900,439 |
66
Mid-Cap Index Fund
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 2,358,301 | 2,172,301 |
| Long-Term Capital Gains | — | — |
| Total | 2,358,301 | 2,172,301 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 103,658,435 |
| Gross Unrealized Appreciation | 56,003,239 |
| Gross Unrealized Depreciation | (4,031,006) |
| Net Unrealized Appreciation (Depreciation) | 51,972,233 |
F. During the year ended December 31, 2023, the fund purchased $31,187,364,000 of investment securities and sold $31,275,203,000 of investment securities, other
than temporary cash investments. Purchases and sales include $13,167,256,000 and $12,306,420,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $889,721,000 and sales were $6,274,059,000, resulting in net realized loss of $4,198,438,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 24,944 | 427 | 38,431 | 646 | |
| Issued in Lieu of Cash Distributions | 6,392 | 109 | 7,365 | 130 | |
| Redeemed | (147,934) | (2,529) | (172,701) | (2,864) | |
| Net Increase (Decrease)—Investor Shares | (116,598) | (1,993) | (126,905) | (2,088) | |
| ETF Shares | |||||
| Issued | 14,593,074 | 68,060 | 22,366,377 | 104,145 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (12,340,888) | (57,375) | (18,466,343) | (86,375) | |
| Net Increase (Decrease)—ETF Shares | 2,252,186 | 10,685 | 3,900,034 | 17,770 | |
| Admiral Shares | |||||
| Issued | 5,182,979 | 19,544 | 6,210,546 | 23,079 | |
| Issued in Lieu of Cash Distributions | 769,218 | 2,888 | 713,328 | 2,783 | |
| Redeemed | (7,117,265) | (26,814) | (7,754,279) | (28,889) | |
| Net Increase (Decrease)—Admiral Shares | (1,165,068) | (4,382) | (830,405) | (3,027) | |
| Institutional Shares | |||||
| Issued | 2,518,909 | 43,175 | 3,105,126 | 52,367 | |
| Issued in Lieu of Cash Distributions | 314,097 | 5,340 | 306,818 | 5,408 | |
| Redeemed | (3,971,793) | (67,623) | (5,170,558) | (86,962) | |
| Net Increase (Decrease)—Institutional Shares | (1,138,787) | (19,108) | (1,758,614) | (29,187) | |
67
Mid-Cap Index Fund
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Institutional Plus Shares | |||||
| Issued | 1,384,915 | 4,823 | 2,083,499 | 7,084 | |
| Issued in Lieu of Cash Distributions | 254,963 | 879 | 233,744 | 837 | |
| Redeemed | (2,095,582) | (7,190) | (1,607,146) | (5,516) | |
| Net Increase (Decrease)—Institutional Plus Shares | (455,704) | (1,488) | 710,097 | 2,405 | |
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
68
Mid-Cap Growth Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Mid-Cap Growth Index Fund Investor Shares | 22.99% | 13.57% | 9.98% | $25,896 |
|
| CRSP US Mid Cap Growth Index | 23.20 | 13.75 | 10.17 | 26,341 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Growth Index Fund ETF Shares Net Asset Value | 23.14% | 13.70% | 10.12% | $26,213 | |
| Mid-Cap Growth Index Fund ETF Shares Market Price | 23.21 | 13.72 | 10.12 | 26,220 | |
| CRSP US Mid Cap Growth Index | 23.20 | 13.75 | 10.17 | 26,341 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Growth Index Fund Admiral Shares | 23.14% | 13.70% | 10.12% | $26,214 | |
| CRSP US Mid Cap Growth Index | 23.20 | 13.75 | 10.17 | 26,341 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
69
Mid-Cap Growth Index Fund
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Mid-Cap Growth Index Fund ETF Shares Market Price | 23.21% | 90.16% | 162.20% |
| Mid-Cap Growth Index Fund ETF Shares Net Asset Value | 23.14 | 90.01 | 162.13 |
| CRSP US Mid Cap Growth Index | 23.20 | 90.44 | 163.41 |
For the ETF Shares, the
market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing
time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount
chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
70
Mid-Cap Growth Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 1.7% |
| Consumer Discretionary | 13.1 |
| Consumer Staples | 1.9 |
| Energy | 6.9 |
| Financials | 6.9 |
| Health Care | 11.5 |
| Industrials | 20.2 |
| Real Estate | 7.3 |
| Technology | 24.8 |
| Telecommunications | 3.9 |
| Utilities | 1.8 |
The table reflects the
fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if
applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
71
Mid-Cap Growth Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
72
Mid-Cap Growth Index Fund
Derivative
Financial Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 42 | 10,122 | 66 |
| E-mini S&P Mid-Cap 400 Index | March 2024 | 16 | 4,495 | (23) |
| 43 | ||||
73
Mid-Cap Growth Index Fund
| Over-the-Counter Total Return Swaps | ||||||
| Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
| Domino's Pizza Inc. | 8/30/24 | BANA | 10,608 | (5.332) | 511 | — |
| Domino's Pizza Inc. | 8/30/24 | BANA | 10,608 | (5.332) | 511 | — |
| 1,022 | — | |||||
| 1 | Based on USD Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly. |
| BANA—Bank of America, N.A. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $1,168,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
74
Mid-Cap Growth Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $16,089,470) | 22,977,038 |
| Affiliated Issuers (Cost $62,161) | 62,161 |
| Total Investments in Securities | 23,039,199 |
| Investment in Vanguard | 707 |
| Cash Collateral Pledged—Futures Contracts | 1,670 |
| Receivables for Investment Securities Sold | 281 |
| Receivables for Accrued Income | 9,041 |
| Receivables for Capital Shares Issued | 7,869 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,022 |
| Total Assets | 23,059,789 |
| Liabilities | |
| Due to Custodian | 266 |
| Payables for Investment Securities Purchased | 246 |
| Collateral for Securities on Loan | 19,279 |
| Payables for Capital Shares Redeemed | 34,207 |
| Payables to Vanguard | 706 |
| Variation Margin Payable—Futures Contracts | 189 |
| Total Liabilities | 54,893 |
| Net Assets | 23,004,896 |
| 1 Includes $17,419,000 of securities on loan. | |
At December 31, 2023, net assets consisted of: | |
| Paid-in Capital | 20,611,267 |
| Total Distributable Earnings (Loss) | 2,393,629 |
| Net Assets | 23,004,896 |
| Investor Shares—Net Assets | |
| Applicable to 572,826 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 49,471 |
| Net Asset Value Per Share—Investor Shares | $86.36 |
| ETF Shares—Net Assets | |
| Applicable to 53,966,345 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,851,141 |
| Net Asset Value Per Share—ETF Shares | $219.60 |
| Admiral Shares—Net Assets | |
| Applicable to 117,467,797 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,104,284 |
| Net Asset Value Per Share—Admiral Shares | $94.53 |
See accompanying
Notes, which are an integral part of the Financial Statements.
75
Mid-Cap Growth Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 176,605 |
| Interest2 | 1,197 |
| Securities Lending—Net | 2,061 |
| Total Income | 179,863 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 446 |
| Management and Administrative—Investor Shares | 82 |
| Management and Administrative—ETF Shares | 6,025 |
| Management and Administrative—Admiral Shares | 6,053 |
| Marketing and Distribution—Investor Shares | 3 |
| Marketing and Distribution—ETF Shares | 585 |
| Marketing and Distribution—Admiral Shares | 528 |
| Custodian Fees | 86 |
| Auditing Fees | 34 |
| Shareholders’ Reports—Investor Shares | — |
| Shareholders’ Reports—ETF Shares | 373 |
| Shareholders’ Reports—Admiral Shares | 139 |
| Trustees’ Fees and Expenses | 12 |
| Other Expenses | 23 |
| Total Expenses | 14,389 |
| Net Investment Income | 165,474 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | (359,856) |
| Futures Contracts | 2,140 |
| Swap Contracts | 66 |
| Realized Net Gain (Loss) | (357,650) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 4,490,460 |
| Futures Contracts | 282 |
| Swap Contracts | 1,022 |
| Change in Unrealized Appreciation (Depreciation) | 4,491,764 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,299,588 |
| 1 | Dividends are net of foreign withholding taxes of $279,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,140,000, ($1,000), less than $1,000, and ($25,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $792,304,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
76
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 165,474 | 143,006 |
| Realized Net Gain (Loss) | (357,650) | (287,627) |
| Change in Unrealized Appreciation (Depreciation) | 4,491,764 | (7,290,573) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,299,588 | (7,435,194) |
| Distributions | ||
| Investor Shares | (311) | (306) |
| ETF Shares | (83,169) | (71,823) |
| Admiral Shares | (79,306) | (70,682) |
| Total Distributions | (162,786) | (142,811) |
| Capital Share Transactions | ||
| Investor Shares | (6,325) | (17,561) |
| ETF Shares | 427,802 | 298,485 |
| Admiral Shares | (37,033) | 99,556 |
| Net Increase (Decrease) from Capital Share Transactions | 384,444 | 380,480 |
| Total Increase (Decrease) | 4,521,246 | (7,197,525) |
| Net Assets | ||
| Beginning of Period | 18,483,650 | 25,681,175 |
| End of Period | 23,004,896 | 18,483,650 |
See accompanying
Notes, which are an integral part of the Financial Statements.
77
Mid-Cap Growth Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $70.68 | $100.07 | $83.37 | $62.43 | $47.02 |
| Investment Operations | |||||
| Net Investment Income1 | .528 | .444 | .229 | .340 | .345 |
| Net Realized and Unrealized Gain (Loss) on Investments | 15.674 | (29.381) | 16.697 | 20.984 | 15.485 |
| Total from Investment Operations | 16.202 | (28.937) | 16.926 | 21.324 | 15.830 |
| Distributions | |||||
| Dividends from Net Investment Income | (.522) | (.453) | (.226) | (.384) | (.420) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.522) | (.453) | (.226) | (.384) | (.420) |
| Net Asset Value, End of Period | $86.36 | $70.68 | $100.07 | $83.37 | $62.43 |
| Total Return2 | 22.99% | -28.93% | 20.32% | 34.32% | 33.72% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $49 | $46 | $86 | $81 | $63 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19%3 | 0.19% | 0.19% | 0.19% |
| Ratio of Net Investment Income to Average Net Assets | 0.68% | 0.57% | 0.25% | 0.51% | 0.62% |
| Portfolio Turnover Rate4 | 14% | 22% | 25% | 22% | 18% |
| 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 | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $179.73 | $254.49 | $212.00 | $158.76 | $119.58 |
| Investment Operations | |||||
| Net Investment Income1 | 1.601 | 1.405 | .870 | 1.074 | 1.386 |
| Net Realized and Unrealized Gain (Loss) on Investments | 39.835 | (74.767) | 42.479 | 53.347 | 39.040 |
| Total from Investment Operations | 41.436 | (73.362) | 43.349 | 54.421 | 40.426 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.566) | (1.398) | (.859) | (1.181) | (1.246) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.566) | (1.398) | (.859) | (1.181) | (1.246) |
| Net Asset Value, End of Period | $219.60 | $179.73 | $254.49 | $212.00 | $158.76 |
| Total Return | 23.14% | -28.84% | 20.47% | 34.46% | 33.86% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,851 | $9,313 | $12,798 | $10,164 | $6,995 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%2 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 0.81% | 0.72% | 0.37% | 0.63% | 0.95% |
| Portfolio Turnover Rate3 | 14% | 22% | 25% | 22% | 18% |
| 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. |
See accompanying Notes, which are an
integral part of the Financial Statements.
78
Mid-Cap Growth Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $77.37 | $109.55 | $91.26 | $68.34 | $51.48 |
| Investment Operations | |||||
| Net Investment Income1 | .684 | .602 | .373 | .461 | .603 |
| Net Realized and Unrealized Gain (Loss) on Investments | 17.150 | (32.180) | 18.287 | 22.967 | 16.793 |
| Total from Investment Operations | 17.834 | (31.578) | 18.660 | 23.428 | 17.396 |
| Distributions | |||||
| Dividends from Net Investment Income | (.674) | (.602) | (.370) | (.508) | (.536) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.674) | (.602) | (.370) | (.508) | (.536) |
| Net Asset Value, End of Period | $94.53 | $77.37 | $109.55 | $91.26 | $68.34 |
| Total Return2 | 23.14% | -28.84% | 20.48% | 34.48% | 33.86% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,104 | $9,124 | $12,797 | $10,712 | $8,173 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07%3 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 0.81% | 0.71% | 0.37% | 0.63% | 0.96% |
| Portfolio Turnover Rate4 | 14% | 22% | 25% | 22% | 18% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
79
Mid-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Growth Index
Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, ETF Shares, and Admiral Shares. Each of the
share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through
a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund
80
Mid-Cap Growth Index Fund
under the master netting arrangements. The
swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position
at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value
of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled
within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
81
Mid-Cap Growth Index Fund
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $707,000, representing less than 0.01% of the fund’s
net assets and 0.28% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
82
Mid-Cap Growth Index Fund
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 22,977,038 | — | — | 22,977,038 |
| Temporary Cash Investments | 62,161 | — | — | 62,161 |
| Total | 23,039,199 | — | — | 23,039,199 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 66 | — | — | 66 |
| Swap Contracts | — | 1,022 | — | 1,022 |
| Total | 66 | 1,022 | — | 1,088 |
| Liabilities | ||||
| Futures Contracts1 | 23 | — | — | 23 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and swap
agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 793,305 |
| Total Distributable Earnings (Loss) | (793,305) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from
certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 5,044 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 6,850,493 |
| Capital Loss Carryforwards | (4,461,908) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 2,393,629 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 162,786 | 142,811 |
| Long-Term Capital Gains | — | — |
| Total | 162,786 | 142,811 |
| * | Includes short-term capital gains, if any. |
83
Mid-Cap Growth Index Fund
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 16,188,706 |
| Gross Unrealized Appreciation | 7,690,754 |
| Gross Unrealized Depreciation | (840,261) |
| Net Unrealized Appreciation (Depreciation) | 6,850,493 |
E. During the year ended December 31, 2023, the fund purchased $4,827,212,000 of investment securities and sold $4,443,931,000 of investment securities, other
than temporary cash investments. Purchases and sales include $1,930,119,000 and $1,556,147,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $369,403,000 and sales were $1,241,955,000, resulting in net realized loss of $1,011,903,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 8,551 | 109 | 7,152 | 91 | |
| Issued in Lieu of Cash Distributions | 311 | 4 | 306 | 4 | |
| Redeemed | (15,187) | (192) | (25,019) | (303) | |
| Net Increase (Decrease)—Investor Shares | (6,325) | (79) | (17,561) | (208) | |
| ETF Shares | |||||
| Issued | 2,058,259 | 10,398 | 4,309,536 | 22,204 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (1,630,457) | (8,250) | (4,011,051) | (20,674) | |
| Net Increase (Decrease)—ETF Shares | 427,802 | 2,148 | 298,485 | 1,530 | |
| Admiral Shares | |||||
| Issued | 1,523,152 | 17,926 | 1,795,061 | 20,960 | |
| Issued in Lieu of Cash Distributions | 70,921 | 822 | 63,404 | 794 | |
| Redeemed | (1,631,106) | (19,219) | (1,758,909) | (20,629) | |
| Net Increase (Decrease)—Admiral Shares | (37,033) | (471) | 99,556 | 1,125 | |
G. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
84
Mid-Cap Growth Index Fund
H. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
85
Mid-Cap Value Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of $10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Mid-Cap Value Index Fund Investor Shares | 9.62% | 11.17% | 8.36% | $22,320 |
|
| CRSP US Mid Cap Value Index | 9.78 | 11.34 | 8.53 | 22,667 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Value Index Fund ETF Shares Net Asset Value | 9.77% | 11.30% | 8.49% | $22,587 | |
| Mid-Cap Value Index Fund ETF Shares Market Price | 9.83 | 11.31 | 8.49 | 22,589 | |
| CRSP US Mid Cap Value Index | 9.78 | 11.34 | 8.53 | 22,667 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Mid-Cap Value Index Fund Admiral Shares | 9.76% | 11.31% | 8.49% | $22,591 | |
| CRSP US Mid Cap Value Index | 9.78 | 11.34 | 8.53 | 22,667 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
86
Mid-Cap Value Index Fund
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Mid-Cap Value Index Fund ETF Shares Market Price | 9.83% | 70.87% | 125.89% |
| Mid-Cap Value Index Fund ETF Shares Net Asset Value | 9.77 | 70.76 | 125.87 |
| CRSP US Mid Cap Value Index | 9.78 | 71.08 | 126.67 |
For the ETF Shares, the
market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing
time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount
chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
87
Mid-Cap Value Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 5.6% |
| Consumer Discretionary | 13.0 |
| Consumer Staples | 6.7 |
| Energy | 3.2 |
| Financials | 17.5 |
| Health Care | 7.7 |
| Industrials | 19.4 |
| Real Estate | 9.2 |
| Technology | 5.5 |
| Utilities | 12.2 |
The table reflects the
fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if
applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
88
Mid-Cap Value Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
89
Mid-Cap Value Index Fund
90
Mid-Cap Value Index Fund
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 26 | 6,266 | (17) |
| E-mini S&P Mid-Cap 400 Index | March 2024 | 48 | 13,486 | (128) |
| (145) | ||||
| 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) |
| Constellation Energy Corp. | 1/31/24 | CITNA | 25,176 | (5.332) | — | (909) |
| Constellation Energy Corp. | 8/30/24 | BANA | 14,525 | (5.332) | — | (524) |
| Warner Bros Discovery Inc. | 1/31/24 | CITNA | 16,093 | (5.332) | 1,365 | — |
| 1,365 | (1,433) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts cash of $820,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
91
Mid-Cap Value Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $21,606,256) | 28,269,155 |
| Affiliated Issuers (Cost $48,429) | 48,445 |
| Total Investments in Securities | 28,317,600 |
| Investment in Vanguard | 892 |
| Cash Collateral Pledged—Futures Contracts | 1,390 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 270 |
| Receivables for Investment Securities Sold | 12,908 |
| Receivables for Accrued Income | 74,353 |
| Receivables for Capital Shares Issued | 9,309 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 1,365 |
| Total Assets | 28,418,087 |
| Liabilities | |
| Due to Custodian | 4,322 |
| Payables for Investment Securities Purchased | 211 |
| Collateral for Securities on Loan | 48,225 |
| Payables for Capital Shares Redeemed | 31,213 |
| Payables to Vanguard | 872 |
| Variation Margin Payable—Futures Contracts | 177 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 1,433 |
| Total Liabilities | 86,453 |
| Net Assets | 28,331,634 |
| 1 Includes $43,657,000 of securities on loan. | |
At December 31, 2023, net assets consisted of: | |
| Paid-in Capital | 26,772,587 |
| Total Distributable Earnings (Loss) | 1,559,047 |
| Net Assets | 28,331,634 |
| Investor Shares—Net Assets | |
| Applicable to 689,038 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 39,321 |
| Net Asset Value Per Share—Investor Shares | $57.07 |
| ETF Shares—Net Assets | |
| Applicable to 112,610,775 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,320,349 |
| Net Asset Value Per Share—ETF Shares | $144.93 |
| Admiral Shares—Net Assets | |
| Applicable to 159,460,910 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,971,964 |
| Net Asset Value Per Share—Admiral Shares | $75.08 |
See accompanying
Notes, which are an integral part of the Financial Statements.
92
Mid-Cap Value Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 666,368 |
| Interest1 | 1,354 |
| Securities Lending—Net | 6,750 |
| Total Income | 674,472 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 602 |
| Management and Administrative—Investor Shares | 72 |
| Management and Administrative—ETF Shares | 8,914 |
| Management and Administrative—Admiral Shares | 6,936 |
| Marketing and Distribution—Investor Shares | 2 |
| Marketing and Distribution—ETF Shares | 842 |
| Marketing and Distribution—Admiral Shares | 629 |
| Custodian Fees | 348 |
| Auditing Fees | 35 |
| Shareholders’ Reports—Investor Shares | — |
| Shareholders’ Reports—ETF Shares | 751 |
| Shareholders’ Reports—Admiral Shares | 162 |
| Trustees’ Fees and Expenses | 16 |
| Other Expenses | 23 |
| Total Expenses | 19,332 |
| Expenses Paid Indirectly | (18) |
| Net Expenses | 19,314 |
| Net Investment Income | 655,158 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 579,354 |
| Futures Contracts | 4,634 |
| Swap Contracts | 3,729 |
| Realized Net Gain (Loss) | 587,717 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 1,330,296 |
| Futures Contracts | 245 |
| Swap Contracts | 1,375 |
| Change in Unrealized Appreciation (Depreciation) | 1,331,916 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,574,791 |
| 1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,263,000, $25,000, less than $1,000, and ($5,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $1,739,804,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
93
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 655,158 | 625,353 |
| Realized Net Gain (Loss) | 587,717 | 1,031,827 |
| Change in Unrealized Appreciation (Depreciation) | 1,331,916 | (4,126,567) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 2,574,791 | (2,469,387) |
| Distributions | ||
| Investor Shares | (921) | (970) |
| ETF Shares | (379,681) | (356,532) |
| Admiral Shares | (277,948) | (267,459) |
| Total Distributions | (658,550) | (624,961) |
| Capital Share Transactions | ||
| Investor Shares | (7,800) | (7,678) |
| ETF Shares | (785,146) | 1,666,234 |
| Admiral Shares | (570,787) | (147,140) |
| Net Increase (Decrease) from Capital Share Transactions | (1,363,733) | 1,511,416 |
| Total Increase (Decrease) | 552,508 | (1,582,932) |
| Net Assets | ||
| Beginning of Period | 27,779,126 | 29,362,058 |
| End of Period | 28,331,634 | 27,779,126 |
See accompanying
Notes, which are an integral part of the Financial Statements.
94
Mid-Cap Value Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $53.27 | $59.16 | $46.83 | $46.96 | $37.50 |
| Investment Operations | |||||
| Net Investment Income1 | 1.202 | 1.129 | 1.006 | 1.0482 | .808 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.830 | (5.876) | 12.311 | (.122) | 9.566 |
| Total from Investment Operations | 5.032 | (4.747) | 13.317 | .926 | 10.374 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.232) | (1.143) | (.987) | (1.056) | (.914) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.232) | (1.143) | (.987) | (1.056) | (.914) |
| Net Asset Value, End of Period | $57.07 | $53.27 | $59.16 | $46.83 | $46.96 |
| Total Return3 | 9.62% | -8.00% | 28.59% | 2.43% | 27.82% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $39 | $45 | $57 | $43 | $52 |
| Ratio of Total Expenses to Average Net Assets | 0.19%4 | 0.19%4 | 0.19% | 0.19% | 0.19% |
| Ratio of Net Investment Income to Average Net Assets | 2.24% | 2.05% | 1.83% | 2.58%2 | 1.90% |
| Portfolio Turnover Rate5 | 22% | 18% | 17% | 39% | 17% |
| 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 | 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 0.19%. |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
95
Mid-Cap Value Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $135.28 | $150.26 | $118.93 | $119.27 | $95.22 |
| Investment Operations | |||||
| Net Investment Income1 | 3.249 | 3.091 | 2.744 | 2.7812 | 2.497 |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.695 | (14.996) | 31.258 | (.310) | 23.996 |
| Total from Investment Operations | 12.944 | (11.905) | 34.002 | 2.471 | 26.493 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.294) | (3.075) | (2.672) | (2.811) | (2.443) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.294) | (3.075) | (2.672) | (2.811) | (2.443) |
| Net Asset Value, End of Period | $144.93 | $135.28 | $150.26 | $118.93 | $119.27 |
| Total Return | 9.77% | -7.88% | 28.74% | 2.50% | 27.98% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $16,320 | $15,995 | $16,086 | $11,061 | $10,339 |
| Ratio of Total Expenses to Average Net Assets | 0.07%3 | 0.07%3 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.38% | 2.22% | 1.96% | 2.69%2 | 2.26% |
| Portfolio Turnover Rate4 | 22% | 18% | 17% | 39% | 17% |
| 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 | 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
96
Mid-Cap Value Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $70.08 | $77.84 | $61.61 | $61.79 | $49.33 |
| Investment Operations | |||||
| Net Investment Income1 | 1.677 | 1.586 | 1.413 | 1.4382 | 1.303 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.030 | (7.753) | 16.201 | (.162) | 12.422 |
| Total from Investment Operations | 6.707 | (6.167) | 17.614 | 1.276 | 13.725 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.707) | (1.593) | (1.384) | (1.456) | (1.265) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.707) | (1.593) | (1.384) | (1.456) | (1.265) |
| Net Asset Value, End of Period | $75.08 | $70.08 | $77.84 | $61.61 | $61.79 |
| Total Return3 | 9.76% | -7.90% | 28.76% | 2.54% | 27.99% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,972 | $11,740 | $13,218 | $10,092 | $11,148 |
| Ratio of Total Expenses to Average Net Assets | 0.07%4 | 0.07%4 | 0.07% | 0.07% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 2.37% | 2.19% | 1.95% | 2.69%2 | 2.28% |
| Portfolio Turnover Rate5 | 22% | 18% | 17% | 39% | 17% |
| 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 | 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 0.07%. |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
97
Mid-Cap Value Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Value Index
Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, ETF Shares, and Admiral Shares. Each of the
share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through
a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in
preparing its financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund
98
Mid-Cap Value Index Fund
under the master netting arrangements. The
swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position
at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value
of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled
within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
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Mid-Cap Value Index Fund
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $892,000, representing less than 0.01% of the fund’s
net assets and 0.36% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December
31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $18,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes.
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
100
Mid-Cap Value Index Fund
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 28,269,155 | — | — | 28,269,155 |
| Temporary Cash Investments | 48,445 | — | — | 48,445 |
| Total | 28,317,600 | — | — | 28,317,600 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Swap Contracts | — | 1,365 | — | 1,365 |
| Liabilities | ||||
| Futures Contracts1 | 145 | — | — | 145 |
| Swap Contracts | — | 1,433 | — | 1,433 |
| Total | 145 | 1,433 | — | 1,578 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. | |||
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character.
These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 1,739,093 |
| Total Distributable Earnings (Loss) | (1,739,093) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the
table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 6,194 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 6,642,233 |
| Capital Loss Carryforwards | (5,089,380) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 1,559,047 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 658,550 | 624,961 |
| Long-Term Capital Gains | — | — |
| Total | 658,550 | 624,961 |
| * | Includes short-term capital gains, if any. |
101
Mid-Cap Value Index Fund
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 21,675,367 |
| Gross Unrealized Appreciation | 7,258,712 |
| Gross Unrealized Depreciation | (616,479) |
| Net Unrealized Appreciation (Depreciation) | 6,642,233 |
F. During the year ended December 31, 2023, the fund purchased $9,677,685,000 of investment securities and sold $10,976,913,000 of investment securities, other
than temporary cash investments. Purchases and sales include $3,660,931,000 and $4,522,736,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $880,257,000 and sales were $1,457,156,000, resulting in net realized loss of $526,060,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 4,382 | 82 | 9,543 | 172 | |
| Issued in Lieu of Cash Distributions | 921 | 17 | 970 | 18 | |
| Redeemed | (13,103) | (245) | (18,191) | (326) | |
| Net Increase (Decrease)—Investor Shares | (7,800) | (146) | (7,678) | (136) | |
| ETF Shares | |||||
| Issued | 3,747,400 | 27,552 | 6,026,513 | 43,603 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (4,532,546) | (33,175) | (4,360,279) | (32,425) | |
| Net Increase (Decrease)—ETF Shares | (785,146) | (5,623) | 1,666,234 | 11,178 | |
| Admiral Shares | |||||
| Issued | 1,601,367 | 22,657 | 2,265,008 | 31,170 | |
| Issued in Lieu of Cash Distributions | 246,708 | 3,514 | 237,416 | 3,400 | |
| Redeemed | (2,418,862) | (34,228) | (2,649,564) | (36,866) | |
| Net Increase (Decrease)—Admiral Shares | (570,787) | (8,057) | (147,140) | (2,296) | |
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of
Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s
investments and fund performance.
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
102
Mid-Cap Value Index Fund
I. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial
statements.
103
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of
Vanguard Index Funds and Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund
Opinions on the Financial
Statements
We have audited the
accompanying statements of assets and liabilities, including the schedules of investments, of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap
Value Index Fund (four of the funds constituting Vanguard Index Funds, hereafter collectively referred to as the "Funds") as of December 31, 2023, the related statements of operations for the year ended December 31,
2023, the statements of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended
December 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December
31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights
for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are
the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of
these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of
material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 15, 2024
Philadelphia, Pennsylvania
February 15, 2024
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
104
Tax information
(unaudited)
The following percentages, or
if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received
deduction for corporate shareholders.
| Fund | Percentage |
| Extended Market Index Fund | 62.4% |
| Mid-Cap Index Fund | 77.1 |
| Mid-Cap Growth Index Fund | 82.0 |
| Mid-Cap Value Index Fund | 80.8 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Extended Market Index Fund | 838,526 |
| Mid-Cap Index Fund | 1,992,764 |
| Mid-Cap Growth Index Fund | 139,980 |
| Mid-Cap Value Index Fund | 563,390 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax.
| Fund | ($000) |
| Extended Market Index Fund | 12,975 |
| Mid-Cap Index Fund | 13,468 |
| Mid-Cap Growth Index Fund | 427 |
| Mid-Cap Value Index Fund | 499 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Extended Market Index Fund | 214,308 |
| Mid-Cap Index Fund | 339,831 |
| Mid-Cap Growth Index Fund | 22,806 |
| Mid-Cap Value Index Fund | 93,843 |
105
The S&P Completion Index
is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s®, and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow
Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have
been sublicensed for use for certain purposes by Vanguard. Vanguard Extended Market Index Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates
(collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard Extended Market Fund or any member of the public
regarding the advisability of investing in securities generally or in Vanguard Extended Market Fund particularly or the ability of the S&P Completion Index to track general market performance. S&P Dow Jones
Indices’ only relationship to Vanguard with respect to the S&P Completion Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its
licensors. The S&P Completion Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard Extended Market Fund. S&P Dow Jones Indices have no obligation
to take the needs of Vanguard or the owners of Vanguard Extended Market Fund into consideration in determining, composing or calculating the S&P Completion Index. S&P Dow Jones Indices are not responsible for
and have not participated in the determination of the prices, and amount of Vanguard Extended Market Fund or the timing of the issuance or sale of Vanguard Extended Market Fund or in the determination or calculation
of the equation by which Vanguard Extended Market Fund is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the
administration, marketing or trading of Vanguard Extended Market Fund. There is no assurance that investment products based on the S&P Completion Index will accurately track index performance or provide positive
investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is
it considered to be investment advice.
S&P DOW JONES INDICES DOES
NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P COMPLETION INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION
(INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO
EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD EXTENDED MARKET
FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P COMPLETION INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES
INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE
POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER
THAN THE LICENSORS OF S&P DOW JONES INDICES.
The CRSP US Mid Cap Index,
CRSP US Mid Cap Growth Index, and CRSP US Mid Cap Value Index (the “Indexes”) are products of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago
(“University”), and have been licensed for use by Vanguard. CRSP® is a trademark of CRSP and has been licensed by CRSP for use for certain purposes by Vanguard. Vanguard Mid-Cap Index, Mid-Cap Growth Index,
and Mid-Cap Value Index Funds are not sponsored, endorsed, sold, or promoted by CRSP or the University. Neither CRSP nor the University makes any representation or warranty, express or implied, to the owners of
Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Mid-Cap Index, Mid-Cap Growth
Index, and Mid-Cap Value Index Funds particularly or the ability of the Indexes to track general market performance. The Indexes are determined, composed, and calculated without regard to Vanguard or Vanguard Mid-Cap
Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap
Value Index Funds into consideration in determining, composing, or calculating the Indexes. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices and amount of
Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or the timing of the issuance or sale of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or in the determination
or calculation of the equation by which Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds are to be converted into cash, surrendered, or redeemed, as the case may be. Neither CRSP nor the
University has any obligation or liability in connection with the administration, marketing, or trading of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds. There is no assurance that
investment products based on the Indexes will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an
index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE
UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO ORAL OR WRITTEN COMMUNICATION (INCLUDING
ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY
EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF
VANGUARD MIDCAP INDEX, MID-CAP GROWTH INDEX, AND MID-CAP VALUE INDEX FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING,
IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO LOSS OF PROFITS, TRADING LOSSES, LOST TIME, OR
GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN
CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
106
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The People Who Govern Your Fund
The trustees of your mutual
fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s
board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board
members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 Vanguard funds.
Information for each trustee
and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box
876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
1 Mr. Buckley is considered an “interested
person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Connect with
Vanguard®>vanguard.com
Annual Report | December 31, 2023
Vanguard U.S.
Stock Index Funds Large-Capitalization Portfolios
| Vanguard Growth Index Fund |
| Vanguard Value Index Fund |
| Vanguard Large-Cap Index Fund |
See the inside front cover for important
information about your fund’s annual and semiannual shareholder reports.
Important information about shareholder
reports
Beginning in July 2024,
amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and
concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at
vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive
shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at
one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
Your Fund’s Performance at a Glance | 1 |
About Your Fund’s Expenses | 2 |
Growth Index Fund | 4 |
Value Index Fund | 27 |
Large-Cap Index Fund | 52 |
Please note: The
opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date
on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | The financial markets delivered robust returns for the 12 months ended December 31, 2023. Returns for the funds included in this report ranged from 9.11% for Investor Shares of Vanguard Value Index Fund to 46.78% for Institutional Shares and ETF Shares of Vanguard Growth Index Fund. (Returns for ETF Shares are based on net asset value). Returns for Vanguard Large-Cap Index Fund, which invests in growth and value stocks, ranged from 27.12% for Investor Shares to 27.29% for ETF Shares. The funds generally tracked their target indexes closely. Most share classes of the Value Index Fund slightly outperformed, thanks to skilled trading and corporate-action elections by the fund’s manager, Vanguard Equity Index Group. |
| • | Major central banks stopped hiking interest rates when inflation eased. Global economic growth proved resilient, but the prospect of rates remaining high for an extended period spurred occasional volatility. Toward year-end, stocks and bonds rallied worldwide as expectations for rate cuts in 2024 rose. |
| • | Technology stocks powered all three funds, but strong results were widespread. Seven of the 11 sectors in the CRSP US Large Cap Index, the Large-Cap Index Fund’s benchmark, recorded double-digit gains. Energy stocks were among the laggards. |
| • | For the 10 years ended December 31, 2023, the funds’ annualized returns ranged from 9.59% for Investor Shares of the Value Index Fund to 13.98% for Institutional Shares of the Growth Index Fund. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2023 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.53% | 8.97% | 15.52% |
| Russell 2000 Index (Small-caps) | 16.93 | 2.22 | 9.97 |
| Russell 3000 Index (Broad U.S. market) | 25.96 | 8.54 | 15.16 |
| FTSE All-World ex US Index (International) | 15.82 | 1.98 | 7.52 |
| Bonds | |||
| Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | 5.60% | -3.33% | 1.17% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 6.40 | -0.40 | 2.25 |
| FTSE Three-Month U.S. Treasury Bill Index | 5.26 | 2.24 | 1.91 |
| CPI | |||
| Consumer Price Index | 3.35% | 5.60% | 4.07% |
1
About Your Fund’s Expenses
As a shareholder of the fund,
you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross
income, directly reduce the investment return of the fund.
A fund’s expenses are
expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table
illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown
in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or
account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no
shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information
about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your
fund’s current prospectus.
2
| Six Months Ended December 31, 2023 | |||
| Beginning Account Value 6/30/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,101.10 | $0.95 |
| ETF Shares | 1,000.00 | 1,101.90 | 0.21 |
| Admiral™ Shares | 1,000.00 | 1,101.80 | 0.26 |
| Institutional Shares | 1,000.00 | 1,101.90 | 0.21 |
| Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,064.60 | $0.94 |
| ETF Shares | 1,000.00 | 1,065.40 | 0.21 |
| Admiral Shares | 1,000.00 | 1,065.40 | 0.26 |
| Institutional Shares | 1,000.00 | 1,065.50 | 0.21 |
| Large-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,084.70 | $0.89 |
| ETF Shares | 1,000.00 | 1,085.40 | 0.21 |
| Admiral Shares | 1,000.00 | 1,085.40 | 0.26 |
| Institutional Shares | 1,000.00 | 1,085.30 | 0.21 |
| Based on Hypothetical 5% Yearly Return | |||
| Growth Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.30 | $0.92 |
| ETF Shares | 1,000.00 | 1,025.00 | 0.20 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Value Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.30 | $0.92 |
| ETF Shares | 1,000.00 | 1,025.00 | 0.20 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Large-Cap Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.00 | 0.20 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
The calculations are
based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Growth Index Fund, 0.18% for Investor Shares, 0.04% for ETF Shares, 0.05% for
Admiral Shares and 0.04% for Institutional Shares; for the Value Index Fund, 0.18% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares; and for the Large-Cap Index
Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio
multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
3
Growth Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of
$10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Growth Index Fund Investor Shares | 46.60% | 19.02% | 13.83% | $36,514 |
| CRSP U.S. Large Cap Growth Index | 46.86 | 19.21 | 14.02 | 37,132 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Growth Index Fund ETF Shares Net Asset Value | 46.78% | 19.17% | 13.98% | $36,992 | |
| Growth Index Fund ETF Shares Market Price | 46.85 | 19.18 | 13.98 | 37,006 | |
| CRSP U.S. Large Cap Growth Index | 46.86 | 19.21 | 14.02 | 37,132 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
4
Growth Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Growth Index Fund Admiral Shares | 46.77% | 19.16% | 13.97% | $36,967 | |
| CRSP U.S. Large Cap Growth Index | 46.86 | 19.21 | 14.02 | 37,132 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Growth Index Fund Institutional Shares | 46.78% | 19.17% | 13.98% | $18,500,697 | |
| CRSP U.S. Large Cap Growth Index | 46.86 | 19.21 | 14.02 | 18,565,986 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
Cumulative Returns of ETF
Shares: December 31, 2013, Through December 31, 2023
| One Year | Five Years | Ten Years | |
| Growth Index Fund ETF Shares Market Price | 46.85% | 140.49% | 270.06% |
| Growth Index Fund ETF Shares Net Asset Value | 46.78 | 140.32 | 269.92 |
| CRSP U.S. Large Cap Growth Index | 46.86 | 140.79 | 271.32 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
5
Growth Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 1.4% |
| Consumer Discretionary | 20.4 |
| Consumer Staples | 0.7 |
| Energy | 1.3 |
| Financials | 2.6 |
| Health Care | 7.1 |
| Industrials | 8.8 |
| Real Estate | 1.8 |
| Technology | 54.8 |
| Telecommunications | 0.9 |
| Utilities | 0.2 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
6
Growth Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
7
Growth Index Fund
8
Growth Index Fund
9
Growth Index Fund
| Shares | Market Value• ($000) | ||
| Temporary Cash Investments (0.2%) | |||
| Money Market Fund (0.2%) | |||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $436,274) | 4,363,751 | 436,288 |
| Total Investments (100.0%) (Cost $96,846,630) | 200,597,136 | ||
| Other Assets and Liabilities—Net (0.0%) | (47,610) | ||
| Net Assets (100%) | 200,549,526 | ||
| 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 $18,026,000. |
| 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 $19,678,000 was received for securities on loan. |
| CVR—Contingent Value Rights. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 1,258 | 303,178 | 5,695 |
| 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. | 8/30/24 | BANA | 48,688 | (5.331) | — | (203) |
| Visa Inc. Class A | 8/30/24 | BANA | 115,856 | (5.231) | — | (250) |
| — | (453) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $2,610,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
10
Growth Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $96,410,356) | 200,160,848 |
| Affiliated Issuers (Cost $436,274) | 436,288 |
| Total Investments in Securities | 200,597,136 |
| Investment in Vanguard | 6,342 |
| Cash Collateral Pledged—Futures Contracts | 17,765 |
| Receivables for Investment Securities Sold | 3,000 |
| Receivables for Accrued Income | 102,093 |
| Receivables for Capital Shares Issued | 61,642 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | — |
| Total Assets | 200,787,978 |
| Liabilities | |
| Due to Custodian | 308 |
| Payables for Investment Securities Purchased | 2,280 |
| Collateral for Securities on Loan | 19,678 |
| Payables for Capital Shares Redeemed | 210,942 |
| Payables to Vanguard | 3,834 |
| Variation Margin Payable—Futures Contracts | 957 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 453 |
| Total Liabilities | 238,452 |
| Net Assets | 200,549,526 |
| 1 Includes $18,026,000 of securities on loan. | |
11
Growth Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 107,635,777 |
| Total Distributable Earnings (Loss) | 92,913,749 |
| Net Assets | 200,549,526 |
| Investor Shares—Net Assets | |
| Applicable to 2,592,345 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 414,928 |
| Net Asset Value Per Share—Investor Shares | $160.06 |
| ETF Shares—Net Assets | |
| Applicable to 336,153,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 104,483,769 |
| Net Asset Value Per Share—ETF Shares | $310.82 |
| Admiral Shares—Net Assets | |
| Applicable to 422,229,731 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 67,554,938 |
| Net Asset Value Per Share—Admiral Shares | $160.00 |
| Institutional Shares—Net Assets | |
| Applicable to 175,595,011 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 28,095,891 |
| Net Asset Value Per Share—Institutional Shares | $160.00 |
See accompanying
Notes, which are an integral part of the Financial Statements.
12
Growth Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 1,176,387 |
| Interest2 | 17,478 |
| Securities Lending—Net | 2,334 |
| Total Income | 1,196,199 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,706 |
| Management and Administrative—Investor Shares | 611 |
| Management and Administrative—ETF Shares | 27,066 |
| Management and Administrative—Admiral Shares | 24,042 |
| Management and Administrative—Institutional Shares | 8,014 |
| Marketing and Distribution—Investor Shares | 20 |
| Marketing and Distribution—ETF Shares | 3,747 |
| Marketing and Distribution—Admiral Shares | 2,672 |
| Marketing and Distribution—Institutional Shares | 672 |
| Custodian Fees | 921 |
| Auditing Fees | 33 |
| Shareholders’ Reports—Investor Shares | 1 |
| Shareholders’ Reports—ETF Shares | 1,637 |
| Shareholders’ Reports—Admiral Shares | 444 |
| Shareholders’ Reports—Institutional Shares | 97 |
| Trustees’ Fees and Expenses | 102 |
| Other Expenses | 23 |
| Total Expenses | 73,808 |
| Expenses Paid Indirectly | (165) |
| Net Expenses | 73,643 |
| Net Investment Income | 1,122,556 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 6,577,015 |
| Futures Contracts | 23,384 |
| Swap Contracts | 36,605 |
| Foreign Currencies | (1) |
| Realized Net Gain (Loss) | 6,637,003 |
13
Growth Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 55,181,916 |
| Futures Contracts | 6,495 |
| Swap Contracts | (231) |
| Change in Unrealized Appreciation (Depreciation) | 55,188,180 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 62,947,739 |
| 1 | Dividends are net of foreign withholding taxes of $348,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,936,000, $45,000, $3,000, and ($47,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $9,903,213,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
14
Growth Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,122,556 | 943,411 |
| Realized Net Gain (Loss) | 6,637,003 | 875,348 |
| Change in Unrealized Appreciation (Depreciation) | 55,188,180 | (64,902,246) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 62,947,739 | (63,083,487) |
| Distributions | ||
| Investor Shares | (2,067) | (2,025) |
| ETF Shares | (594,545) | (458,691) |
| Admiral Shares | (382,500) | (312,198) |
| Institutional Shares | (159,537) | (128,919) |
| Total Distributions | (1,138,649) | (901,833) |
| Capital Share Transactions | ||
| Investor Shares | (71,816) | (141,965) |
| ETF Shares | 4,133,790 | 9,337,505 |
| Admiral Shares | 1,324,290 | (199,354) |
| Institutional Shares | 1,050,251 | 35,988 |
| Net Increase (Decrease) from Capital Share Transactions | 6,436,515 | 9,032,174 |
| Total Increase (Decrease) | 68,245,605 | (54,953,146) |
| Net Assets | ||
| Beginning of Period | 132,303,921 | 187,257,067 |
| End of Period | 200,549,526 | 132,303,921 |
See accompanying
Notes, which are an integral part of the Financial Statements.
15
Growth Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $109.76 | $165.20 | $130.50 | $93.87 | $69.10 |
| Investment Operations | |||||
| Net Investment Income1 | .735 | .638 | .565 | .728 | .746 |
| Net Realized and Unrealized Gain (Loss) on Investments | 50.316 | (55.480) | 34.731 | 36.631 | 24.802 |
| Total from Investment Operations | 51.051 | (54.842) | 35.296 | 37.359 | 25.548 |
| Distributions | |||||
| Dividends from Net Investment Income | (.751) | (.598) | (.596) | (.729) | (.778) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.751) | (.598) | (.596) | (.729) | (.778) |
| Net Asset Value, End of Period | $160.06 | $109.76 | $165.20 | $130.50 | $93.87 |
| Total Return2 | 46.60% | -33.22% | 27.10% | 40.01% | 37.08% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $415 | $345 | $692 | $750 | $572 |
| Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 0.54% | 0.50% | 0.39% | 0.69% | 0.92% |
| Portfolio Turnover Rate4 | 5% | 5% | 8% | 6% | 11% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
16
Growth Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $213.14 | $320.83 | $253.44 | $182.31 | $134.21 |
| Investment Operations | |||||
| Net Investment Income1 | 1.786 | 1.584 | 1.483 | 1.683 | 1.773 |
| Net Realized and Unrealized Gain (Loss) on Investments | 97.696 | (107.775) | 67.447 | 71.131 | 48.065 |
| Total from Investment Operations | 99.482 | (106.191) | 68.930 | 72.814 | 49.838 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.802) | (1.499) | (1.540) | (1.684) | (1.738) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.802) | (1.499) | (1.540) | (1.684) | (1.738) |
| Net Asset Value, End of Period | $310.82 | $213.14 | $320.83 | $253.44 | $182.31 |
| Total Return | 46.78% | -33.13% | 27.26% | 40.16% | 37.26% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $104,484 | $68,198 | $90,506 | $68,474 | $46,481 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 0.67% | 0.64% | 0.52% | 0.81% | 1.09% |
| Portfolio Turnover Rate3 | 5% | 5% | 8% | 6% | 11% |
| 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 were 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
17
Growth Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $109.72 | $165.15 | $130.46 | $93.84 | $69.09 |
| Investment Operations | |||||
| Net Investment Income1 | .905 | .799 | .748 | .855 | .907 |
| Net Realized and Unrealized Gain (Loss) on Investments | 50.289 | (55.471) | 34.720 | 36.621 | 24.728 |
| Total from Investment Operations | 51.194 | (54.672) | 35.468 | 37.476 | 25.635 |
| Distributions | |||||
| Dividends from Net Investment Income | (.914) | (.758) | (.778) | (.856) | (.885) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.914) | (.758) | (.778) | (.856) | (.885) |
| Net Asset Value, End of Period | $160.00 | $109.72 | $165.15 | $130.46 | $93.84 |
| Total Return2 | 46.77% | -33.14% | 27.26% | 40.19% | 37.23% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $67,555 | $45,295 | $68,372 | $53,928 | $38,103 |
| Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 0.66% | 0.63% | 0.51% | 0.80% | 1.08% |
| Portfolio Turnover Rate4 | 5% | 5% | 8% | 6% | 11% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
18
Growth Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $109.72 | $165.16 | $130.47 | $93.85 | $69.09 |
| Investment Operations | |||||
| Net Investment Income1 | .920 | .812 | .762 | .867 | .912 |
| Net Realized and Unrealized Gain (Loss) on Investments | 50.288 | (55.481) | 34.721 | 36.620 | 24.742 |
| Total from Investment Operations | 51.208 | (54.669) | 35.483 | 37.487 | 25.654 |
| Distributions | |||||
| Dividends from Net Investment Income | (.928) | (.771) | (.793) | (.867) | (.894) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.928) | (.771) | (.793) | (.867) | (.894) |
| Net Asset Value, End of Period | $160.00 | $109.72 | $165.16 | $130.47 | $93.85 |
| Total Return | 46.78% | -33.14% | 27.27% | 40.20% | 37.26% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $28,096 | $18,465 | $27,688 | $22,582 | $16,426 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 0.67% | 0.64% | 0.52% | 0.82% | 1.09% |
| Portfolio Turnover Rate3 | 5% | 5% | 8% | 6% | 11% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
19
Growth Index Fund
Notes to Financial Statements
Vanguard Growth Index Fund is
registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares.
Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold
through a broker.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by
methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Foreign Currency:
Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the
valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the
effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or
liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
20
Growth Index Fund
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
4. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the
termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral
received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two
business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
5. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations,
21
Growth Index Fund
which is generally three years after the
filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the
fund’s financial statements.
6. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
7. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
8. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and
22
Growth Index Fund
borrowings normally extend overnight but can
have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of
trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $6,342,000, representing less than 0.01% of the
fund’s net assets and 2.54% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $165,000 (an annual rate of less than 0.01% of average net assets). |
| D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
23
Growth Index Fund
The following table summarizes
the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 200,160,848 | — | — | 200,160,848 |
| Temporary Cash Investments | 436,288 | — | — | 436,288 |
| Total | 200,597,136 | — | — | 200,597,136 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 5,695 | — | — | 5,695 |
| Liabilities | ||||
| Swap Contracts | — | 453 | — | 453 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, foreign currency transactions, and swap agreements were reclassified between the following accounts: |
| Amount ($000) | |
| Paid-in Capital | 9,903,680 |
| Total Distributable Earnings (Loss) | (9,903,680) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; and the recognition of unrealized gains or losses from
certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 29,166 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 103,683,379 |
| Capital Loss Carryforwards | (10,798,796) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 92,913,749 |
24
Growth Index Fund
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 1,138,649 | 901,833 |
| Long-Term Capital Gains | — | — |
| Total | 1,138,649 | 901,833 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023, gross
unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 96,913,757 |
| Gross Unrealized Appreciation | 106,926,045 |
| Gross Unrealized Depreciation | (3,242,666) |
| Net Unrealized Appreciation (Depreciation) | 103,683,379 |
| F. | During the year ended December 31, 2023, the fund purchased $30,561,666,000 of investment securities and sold $24,199,073,000 of investment securities, other than temporary cash investments. Purchases and sales include $19,098,511,000 and $15,323,990,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $1,245,442,000 and sales were $4,612,867,000, resulting in net realized loss of $2,720,767,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
| G. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 55,136 | 397 | 44,312 | 343 | |
| Issued in Lieu of Cash Distributions | 2,067 | 15 | 2,025 | 17 | |
| Redeemed | (129,019) | (961) | (188,302) | (1,408) | |
| Net Increase (Decrease)—Investor Shares | (71,816) | (549) | (141,965) | (1,048) | |
25
Growth Index Fund
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| ETF Shares | |||||
| Issued | 19,484,306 | 70,663 | 17,007,616 | 69,617 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (15,350,516) | (54,475) | (7,670,111) | (31,750) | |
| Net Increase (Decrease)—ETF Shares | 4,133,790 | 16,188 | 9,337,505 | 37,867 | |
| Admiral Shares | |||||
| Issued | 8,600,018 | 62,400 | 8,117,723 | 63,614 | |
| Issued in Lieu of Cash Distributions | 341,776 | 2,406 | 277,829 | 2,333 | |
| Redeemed | (7,617,504) | (55,420) | (8,594,906) | (67,109) | |
| Net Increase (Decrease)—Admiral Shares | 1,324,290 | 9,386 | (199,354) | (1,162) | |
| Institutional Shares | |||||
| Issued | 3,413,487 | 24,671 | 2,976,818 | 23,224 | |
| Issued in Lieu of Cash Distributions | 153,620 | 1,081 | 124,124 | 1,042 | |
| Redeemed | (2,516,856) | (18,452) | (3,064,954) | (23,618) | |
| Net Increase (Decrease)—Institutional Shares | 1,050,251 | 7,300 | 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. |
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
| I. | Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements. |
26
Value Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of
$10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Value Index Fund Investor Shares | 9.11% | 11.60% | 9.59% | $24,984 |
|
| CRSP U.S. Large Cap Value Index | 9.17 | 11.74 | 9.75 | 25,351 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Value Index Fund ETF Shares Net Asset Value | 9.26% | 11.73% | 9.73% | $25,301 | |
| Value Index Fund ETF Shares Market Price | 9.32 | 11.75 | 9.73 | 25,308 | |
| CRSP U.S. Large Cap Value Index | 9.17 | 11.74 | 9.75 | 25,351 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
27
Value Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Value Index Fund Admiral Shares | 9.24% | 11.73% | 9.72% | $25,295 | |
| CRSP U.S. Large Cap Value Index | 9.17 | 11.74 | 9.75 | 25,351 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Value Index Fund Institutional Shares | 9.26% | 11.74% | 9.73% | $12,659,524 | |
| CRSP U.S. Large Cap Value Index | 9.17 | 11.74 | 9.75 | 12,675,626 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
Cumulative Returns of ETF
Shares: December 31, 2013, Through December 31, 2023
| One Year | Five Years | Ten Years | |
| Value Index Fund ETF Shares Market Price | 9.32% | 74.25% | 153.08% |
| Value Index Fund ETF Shares Net Asset Value | 9.26 | 74.13 | 153.01 |
| CRSP U.S. Large Cap Value Index | 9.17 | 74.18 | 153.51 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
28
Value Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 2.1% |
| Consumer Discretionary | 7.1 |
| Consumer Staples | 9.9 |
| Energy | 7.0 |
| Financials | 19.2 |
| Health Care | 17.7 |
| Industrials | 15.5 |
| Real Estate | 3.2 |
| Technology | 9.2 |
| Telecommunications | 3.6 |
| Utilities | 5.5 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
29
Value Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
30
Value Index Fund
31
Value Index Fund
32
Value Index Fund
33
Value Index Fund
Derivative
Financial Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 605 | 145,805 | 637 |
34
Value Index Fund
| Over-the-Counter Total Return Swaps | ||||||
| Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
| Citigroup Inc. | 8/29/25 | BANA | 10,288 | (5.931) | — | (44) |
| Conagra Brands Inc. | 8/30/24 | BANA | 7,882 | (5.331) | 63 | — |
| Ferguson plc | 8/30/24 | BANA | 13,129 | (5.331) | 4 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,035 | (5.978) | 152 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 21,024 | (5.977) | — | (65) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 18,021 | (5.881) | 72 | — |
| Goldman Sachs Group Inc. | 8/29/25 | BANA | 96,442 | (6.031) | 273 | — |
| Johnson Controls International plc | 8/30/24 | BANA | 9,395 | (5.331) | 23 | — |
| Kroger Co. | 1/31/24 | GSI | 44,110 | (5.324) | 1,522 | — |
| Rivian Automotive Inc. | 8/30/24 | BANA | 10,088 | (5.331) | — | (31) |
| Rivian Automotive Inc. | 8/30/24 | BANA | 10,088 | (5.331) | — | (31) |
| US Bancorp | 8/30/24 | BANA | 32,460 | (5.331) | 245 | — |
| 2,354 | (171) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $29,611,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
35
Value Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $122,266,469) | 155,507,813 |
| Affiliated Issuers (Cost $244,904) | 244,914 |
| Total Investments in Securities | 155,752,727 |
| Investment in Vanguard | 4,921 |
| Cash | 11 |
| Cash Collateral Pledged—Futures Contracts | 6,610 |
| Receivables for Investment Securities Sold | 25,560 |
| Receivables for Accrued Income | 219,948 |
| Receivables for Capital Shares Issued | 42,273 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 2,354 |
| Total Assets | 156,054,404 |
| Liabilities | |
| Due to Custodian | 137 |
| Payables for Investment Securities Purchased | 1,691 |
| Collateral for Securities on Loan | 45,367 |
| Payables for Capital Shares Redeemed | 113,550 |
| Payables to Vanguard | 2,875 |
| Variation Margin Payable—Futures Contracts | 340 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 171 |
| Total Liabilities | 164,131 |
| Net Assets | 155,890,273 |
| 1 Includes $40,620,000 of securities on loan. | |
36
Value Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 130,477,847 |
| Total Distributable Earnings (Loss) | 25,412,426 |
| Net Assets | 155,890,273 |
| Investor Shares—Net Assets | |
| Applicable to 2,527,233 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 147,363 |
| Net Asset Value Per Share—Investor Shares | $58.31 |
| ETF Shares—Net Assets | |
| Applicable to 709,721,806 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 106,042,468 |
| Net Asset Value Per Share—ETF Shares | $149.41 |
| Admiral Shares—Net Assets | |
| Applicable to 575,028,549 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 33,517,529 |
| Net Asset Value Per Share—Admiral Shares | $58.29 |
| Institutional Shares—Net Assets | |
| Applicable to 277,647,560 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,182,913 |
| Net Asset Value Per Share—Institutional Shares | $58.29 |
See accompanying
Notes, which are an integral part of the Financial Statements.
37
Value Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 3,914,658 |
| Interest1 | 10,448 |
| Securities Lending—Net | 6,668 |
| Total Income | 3,931,774 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 3,296 |
| Management and Administrative—Investor Shares | 280 |
| Management and Administrative—ETF Shares | 30,152 |
| Management and Administrative—Admiral Shares | 13,147 |
| Management and Administrative—Institutional Shares | 5,222 |
| Marketing and Distribution—Investor Shares | 11 |
| Marketing and Distribution—ETF Shares | 4,773 |
| Marketing and Distribution—Admiral Shares | 1,632 |
| Marketing and Distribution—Institutional Shares | 524 |
| Custodian Fees | 1,010 |
| Auditing Fees | 33 |
| Shareholders’ Reports—Investor Shares | 2 |
| Shareholders’ Reports—ETF Shares | 2,203 |
| Shareholders’ Reports—Admiral Shares | 301 |
| Shareholders’ Reports—Institutional Shares | 130 |
| Trustees’ Fees and Expenses | 88 |
| Other Expenses | 22 |
| Total Expenses | 62,826 |
| Expenses Paid Indirectly | (36) |
| Net Expenses | 62,790 |
| Net Investment Income | 3,868,984 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 5,137,419 |
| Futures Contracts | 35,800 |
| Swap Contracts | 20,443 |
| Realized Net Gain (Loss) | 5,193,662 |
38
Value Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 3,917,911 |
| Futures Contracts | 696 |
| Swap Contracts | 819 |
| Change in Unrealized Appreciation (Depreciation) | 3,919,426 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 12,982,072 |
| 1 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,925,000, $119,000, less than $1,000, and ($17,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $7,972,904,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
39
Value Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 3,868,984 | 3,671,256 |
| Realized Net Gain (Loss) | 5,193,662 | 6,671,995 |
| Change in Unrealized Appreciation (Depreciation) | 3,919,426 | (13,304,884) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 12,982,072 | (2,961,633) |
| Distributions | ||
| Investor Shares | (4,056) | (5,847) |
| ETF Shares | (2,609,981) | (2,511,165) |
| Admiral Shares | (824,747) | (791,346) |
| Institutional Shares | (406,537) | (393,370) |
| Total Distributions | (3,845,321) | (3,701,728) |
| Capital Share Transactions | ||
| Investor Shares | (93,887) | (19,293) |
| ETF Shares | 438,660 | 11,181,843 |
| Admiral Shares | (580,686) | 1,778,634 |
| Institutional Shares | (1,225,419) | 1,710,922 |
| Net Increase (Decrease) from Capital Share Transactions | (1,461,332) | 14,652,106 |
| Total Increase (Decrease) | 7,675,419 | 7,988,745 |
| Net Assets | ||
| Beginning of Period | 148,214,854 | 140,226,109 |
| End of Period | 155,890,273 | 148,214,854 |
See accompanying
Notes, which are an integral part of the Financial Statements.
40
Value Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $54.78 | $57.39 | $46.43 | $46.78 | $38.18 |
| Investment Operations | |||||
| Net Investment Income1 | 1.332 | 1.301 | 1.177 | 1.142 | 1.093 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.557 | (2.604) | 10.945 | (.362) | 8.623 |
| Total from Investment Operations | 4.889 | (1.303) | 12.122 | .780 | 9.716 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.359) | (1.307) | (1.162) | (1.130) | (1.116) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.359) | (1.307) | (1.162) | (1.130) | (1.116) |
| Net Asset Value, End of Period | $58.31 | $54.78 | $57.39 | $46.43 | $46.78 |
| Total Return2 | 9.11% | -2.18% | 26.31% | 2.18% | 25.67% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $147 | $233 | $264 | $273 | $328 |
| Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 2.43% | 2.38% | 2.22% | 2.75% | 2.58% |
| Portfolio Turnover Rate4 | 10% | 5% | 9% | 10% | 12% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
41
Value Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $140.37 | $147.08 | $118.98 | $119.90 | $97.84 |
| Investment Operations | |||||
| Net Investment Income1 | 3.677 | 3.529 | 3.212 | 3.055 | 3.046 |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.034 | (6.707) | 28.045 | (.935) | 22.014 |
| Total from Investment Operations | 12.711 | (3.178) | 31.257 | 2.120 | 25.060 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.671) | (3.532) | (3.157) | (3.040) | (3.000) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.671) | (3.532) | (3.157) | (3.040) | (3.000) |
| Net Asset Value, End of Period | $149.41 | $140.37 | $147.08 | $118.98 | $119.90 |
| Total Return | 9.26% | -2.05% | 26.47% | 2.23% | 25.85% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $106,042 | $99,459 | $92,776 | $61,580 | $55,909 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 2.61% | 2.52% | 2.35% | 2.87% | 2.76% |
| Portfolio Turnover Rate3 | 10% | 5% | 9% | 10% | 12% |
| 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 were 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
42
Value Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $54.76 | $57.38 | $46.41 | $46.77 | $38.17 |
| Investment Operations | |||||
| Net Investment Income1 | 1.427 | 1.370 | 1.245 | 1.188 | 1.185 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.529 | (2.618) | 10.951 | (.367) | 8.581 |
| Total from Investment Operations | 4.956 | (1.248) | 12.196 | .821 | 9.766 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.426) | (1.372) | (1.226) | (1.181) | (1.166) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.426) | (1.372) | (1.226) | (1.181) | (1.166) |
| Net Asset Value, End of Period | $58.29 | $54.76 | $57.38 | $46.41 | $46.77 |
| Total Return2 | 9.24% | -2.08% | 26.49% | 2.29% | 25.82% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $33,518 | $32,071 | $31,741 | $22,486 | $22,414 |
| Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 2.60% | 2.51% | 2.34% | 2.86% | 2.75% |
| Portfolio Turnover Rate4 | 10% | 5% | 9% | 10% | 12% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
43
Value Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $54.76 | $57.37 | $46.41 | $46.77 | $38.17 |
| Investment Operations | |||||
| Net Investment Income1 | 1.429 | 1.377 | 1.250 | 1.193 | 1.189 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.533 | (2.609) | 10.941 | (.368) | 8.581 |
| Total from Investment Operations | 4.962 | (1.232) | 12.191 | .825 | 9.770 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.432) | (1.378) | (1.231) | (1.185) | (1.170) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.432) | (1.378) | (1.231) | (1.185) | (1.170) |
| Net Asset Value, End of Period | $58.29 | $54.76 | $57.37 | $46.41 | $46.77 |
| Total Return | 9.26% | -2.05% | 26.48% | 2.30% | 25.83% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $16,183 | $16,452 | $15,446 | $12,579 | $12,481 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 2.60% | 2.52% | 2.35% | 2.87% | 2.76% |
| Portfolio Turnover Rate3 | 10% | 5% | 9% | 10% | 12% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
44
Value Index Fund
Notes to Financial Statements
Vanguard Value Index Fund is
registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares.
Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold
through a broker.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by
methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in
45
Value Index Fund
respect of the selected referenced stock)
over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays
a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality
temporary cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the
termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral
received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two
business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
46
Value Index Fund
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
47
Value Index Fund
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $4,921,000, representing less than 0.01% of the
fund’s net assets and 1.97% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $36,000 (an annual rate of less than 0.01% of average net assets). |
| D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
48
Value Index Fund
The following table summarizes
the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 155,507,813 | — | — | 155,507,813 |
| Temporary Cash Investments | 244,914 | — | — | 244,914 |
| Total | 155,752,727 | — | — | 155,752,727 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 637 | — | — | 637 |
| Swap Contracts | — | 2,354 | — | 2,354 |
| Total | 637 | 2,354 | — | 2,991 |
| Liabilities | ||||
| Swap Contracts | — | 171 | — | 171 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign investment companies, corporate actions, and swap agreements were reclassified between the following accounts: |
| Amount ($000) | |
| Paid-in Capital | 7,968,653 |
| Total Distributable Earnings (Loss) | (7,968,653) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the
table as follows:
49
Value Index Fund
| Amount ($000) | |
| Undistributed Ordinary Income | 206,502 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 33,131,978 |
| Capital Loss Carryforwards | (7,926,054) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 25,412,426 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 3,845,321 | 3,701,728 |
| Long-Term Capital Gains | — | — |
| Total | 3,845,321 | 3,701,728 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023, gross
unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 122,620,748 |
| Gross Unrealized Appreciation | 38,476,906 |
| Gross Unrealized Depreciation | (5,344,928) |
| Net Unrealized Appreciation (Depreciation) | 33,131,978 |
| F. | During the year ended December 31, 2023, the fund purchased $32,222,136,000 of investment securities and sold $33,611,248,000 of investment securities, other than temporary cash investments. Purchases and sales include $16,881,532,000 and $17,707,243,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $4,103,662,000 and sales were $2,665,026,000, resulting in net realized loss of $906,174,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
50
Value Index Fund
| G. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 15,265 | 279 | 52,300 | 945 | |
| Issued in Lieu of Cash Distributions | 4,056 | 74 | 5,847 | 110 | |
| Redeemed | (113,208) | (2,078) | (77,440) | (1,404) | |
| Net Increase (Decrease)—Investor Shares | (93,887) | (1,725) | (19,293) | (349) | |
| ETF Shares | |||||
| Issued | 17,753,209 | 125,354 | 28,097,278 | 198,864 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (17,314,549) | (124,175) | (16,915,435) | (121,125) | |
| Net Increase (Decrease)—ETF Shares | 438,660 | 1,179 | 11,181,843 | 77,739 | |
| Admiral Shares | |||||
| Issued | 4,041,652 | 73,435 | 6,740,145 | 122,919 | |
| Issued in Lieu of Cash Distributions | 718,875 | 13,124 | 691,593 | 13,000 | |
| Redeemed | (5,341,213) | (97,180) | (5,653,104) | (103,475) | |
| Net Increase (Decrease)—Admiral Shares | (580,686) | (10,621) | 1,778,634 | 32,444 | |
| Institutional Shares | |||||
| Issued | 2,550,479 | 46,217 | 3,365,017 | 61,474 | |
| Issued in Lieu of Cash Distributions | 394,481 | 7,209 | 379,225 | 7,126 | |
| Redeemed | (4,170,379) | (76,228) | (2,033,320) | (37,361) | |
| Net Increase (Decrease)—Institutional Shares | (1,225,419) | (22,802) | 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. |
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
| I. | Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements. |
51
Large-Cap Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of
$10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
|
| Large-Cap Index Fund Investor Shares | 27.12% | 15.46% | 11.77% | $30,416 |
|
| CRSP U.S. Large Cap Index | 27.28 | 15.64 | 11.95 | 30,923 |
|
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Large-Cap Index Fund ETF Shares Net Asset Value | 27.29% | 15.60% | 11.91% | $30,807 | |
| Large-Cap Index Fund ETF Shares Market Price | 27.38 | 15.62 | 11.92 | 30,825 | |
| CRSP U.S. Large Cap Index | 27.28 | 15.64 | 11.95 | 30,923 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
See Financial
Highlights for dividend and capital gains information.
52
Large-Cap Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Large-Cap Index Fund Admiral Shares | 27.28% | 15.60% | 11.90% | $30,788 | |
| CRSP U.S. Large Cap Index | 27.28 | 15.64 | 11.95 | 30,923 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 29,422 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Large-Cap Index Fund Institutional Shares | 27.28% | 15.61% | 11.91% | $15,409,788 | |
| CRSP U.S. Large Cap Index | 27.28 | 15.64 | 11.95 | 15,461,439 | |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 26.06 | 15.05 | 11.40 | 14,710,990 | |
Cumulative Returns of ETF
Shares: December 31, 2013, Through December 31, 2023
| One Year | Five Years | Ten Years | |
| Large-Cap Index Fund ETF Shares Market Price | 27.38% | 106.60% | 208.25% |
| Large-Cap Index Fund ETF Shares Net Asset Value | 27.29 | 106.45 | 208.07 |
| CRSP U.S. Large Cap Index | 27.28 | 106.78 | 209.23 |
For the ETF Shares, the market price
is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For
more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF
premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
53
Large-Cap Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 1.7% |
| Consumer Discretionary | 14.3 |
| Consumer Staples | 4.9 |
| Energy | 3.9 |
| Financials | 10.3 |
| Health Care | 12.0 |
| Industrials | 11.9 |
| Real Estate | 2.4 |
| Technology | 33.8 |
| Telecommunications | 2.2 |
| Utilities | 2.6 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
54
Large-Cap Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
55
Large-Cap Index Fund
56
Large-Cap Index Fund
57
Large-Cap Index Fund
58
Large-Cap Index Fund
59
Large-Cap Index Fund
60
Large-Cap Index Fund
| Shares | Market Value• ($000) | ||
| Temporary Cash Investments (0.1%) | |||
| Money Market Fund (0.1%) | |||
| 3,4 | Vanguard Market Liquidity Fund, 5.435% (Cost $52,015) | 520,282 | 52,018 |
| Total Investments (99.9%) (Cost $23,999,681) | 45,288,024 | ||
| Other Assets and Liabilities—Net (0.1%) | 63,659 | ||
| Net Assets (100%) | 45,351,683 | ||
| Cost is in $000. | |||
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,507,000. |
| 2 | Security value determined using significant unobservable inputs. |
| 3 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 4 | Collateral of $6,112,000 was received for securities on loan. |
| CVR—Contingent Value Rights. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini S&P 500 Index | March 2024 | 290 | 69,890 | 1,077 |
| 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 | 8/30/24 | BANA | 39,053 | (5.231) | — | (84) |
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $353,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
61
Large-Cap Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $23,947,666) | 45,236,006 |
| Affiliated Issuers (Cost $52,015) | 52,018 |
| Total Investments in Securities | 45,288,024 |
| Investment in Vanguard | 1,437 |
| Cash | 851 |
| Cash Collateral Pledged—Futures Contracts | 2,897 |
| Receivables for Investment Securities Sold | 840 |
| Receivables for Accrued Income | 41,823 |
| Receivables for Capital Shares Issued | 30,431 |
| Total Assets | 45,366,303 |
| Liabilities | |
| Payables for Investment Securities Purchased | 1,649 |
| Collateral for Securities on Loan | 6,112 |
| Payables for Capital Shares Redeemed | 5,780 |
| Payables to Vanguard | 848 |
| Variation Margin Payable—Futures Contracts | 147 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 84 |
| Total Liabilities | 14,620 |
| Net Assets | 45,351,683 |
| 1 Includes $5,507,000 of securities on loan. | |
62
Large-Cap Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 25,444,172 |
| Total Distributable Earnings (Loss) | 19,907,511 |
| Net Assets | 45,351,683 |
| Investor Shares—Net Assets | |
| Applicable to 257,106 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 22,676 |
| Net Asset Value Per Share—Investor Shares | $88.20 |
| ETF Shares—Net Assets | |
| Applicable to 140,730,194 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 30,728,234 |
| Net Asset Value Per Share—ETF Shares | $218.35 |
| Admiral Shares—Net Assets | |
| Applicable to 108,397,196 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,952,785 |
| Net Asset Value Per Share—Admiral Shares | $110.27 |
| Institutional Shares—Net Assets | |
| Applicable to 5,834,598 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 2,647,988 |
| Net Asset Value Per Share—Institutional Shares | $453.84 |
See accompanying
Notes, which are an integral part of the Financial Statements.
63
Large-Cap Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends1 | 642,902 |
| Interest2 | 5,352 |
| Securities Lending—Net | 1,120 |
| Total Income | 649,374 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 898 |
| Management and Administrative—Investor Shares | 29 |
| Management and Administrative—ETF Shares | 8,637 |
| Management and Administrative—Admiral Shares | 4,468 |
| Management and Administrative—Institutional Shares | 779 |
| Marketing and Distribution—Investor Shares | 1 |
| Marketing and Distribution—ETF Shares | 940 |
| Marketing and Distribution—Admiral Shares | 474 |
| Marketing and Distribution—Institutional Shares | 75 |
| Custodian Fees | 330 |
| Auditing Fees | 34 |
| Shareholders’ Reports—Investor Shares | — |
| Shareholders’ Reports—ETF Shares | 419 |
| Shareholders’ Reports—Admiral Shares | 67 |
| Shareholders’ Reports—Institutional Shares | 4 |
| Trustees’ Fees and Expenses | 25 |
| Other Expenses | 23 |
| Total Expenses | 17,203 |
| Expenses Paid Indirectly | (26) |
| Net Expenses | 17,177 |
| Net Investment Income | 632,197 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold2,3 | 609,223 |
| Futures Contracts | 18,903 |
| Swap Contracts | 4,195 |
| Foreign Currencies | — |
| Realized Net Gain (Loss) | 632,321 |
64
Large-Cap Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities2 | 8,466,227 |
| Futures Contracts | 2,398 |
| Swap Contracts | (84) |
| Change in Unrealized Appreciation (Depreciation) | 8,468,541 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 9,733,059 |
| 1 | Dividends are net of foreign withholding taxes of $44,000. |
| 2 | Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $5,072,000, $18,000, less than $1,000, and ($6,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 3 | Includes $848,994,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying
Notes, which are an integral part of the Financial Statements.
65
Large-Cap Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 632,197 | 582,807 |
| Realized Net Gain (Loss) | 632,321 | 581,223 |
| Change in Unrealized Appreciation (Depreciation) | 8,468,541 | (9,661,685) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 9,733,059 | (8,497,655) |
| Distributions | ||
| Investor Shares | (290) | (330) |
| ETF Shares | (430,519) | (393,544) |
| Admiral Shares | (166,820) | (156,189) |
| Institutional Shares | (36,408) | (34,496) |
| Total Distributions | (634,037) | (584,559) |
| Capital Share Transactions | ||
| Investor Shares | 1,298 | (11,365) |
| ETF Shares | 435,596 | 1,959,159 |
| Admiral Shares | (43,037) | 215,566 |
| Institutional Shares | 50,913 | 77,917 |
| Net Increase (Decrease) from Capital Share Transactions | 444,770 | 2,241,277 |
| Total Increase (Decrease) | 9,543,792 | (6,840,937) |
| Net Assets | ||
| Beginning of Period | 35,807,891 | 42,648,828 |
| End of Period | 45,351,683 | 35,807,891 |
See accompanying
Notes, which are an integral part of the Financial Statements.
66
Large-Cap Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $70.38 | $89.03 | $71.00 | $59.72 | $46.36 |
| Investment Operations | |||||
| Net Investment Income1 | 1.142 | 1.058 | .956 | .969 | .918 |
| Net Realized and Unrealized Gain (Loss) on Investments | 17.823 | (18.646) | 18.025 | 11.268 | 13.466 |
| Total from Investment Operations | 18.965 | (17.588) | 18.981 | 12.237 | 14.384 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.145) | (1.062) | (.951) | (.957) | (1.024) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.145) | (1.062) | (.951) | (.957) | (1.024) |
| Net Asset Value, End of Period | $88.20 | $70.38 | $89.03 | $71.00 | $59.72 |
| Total Return2 | 27.12% | -19.78% | 26.87% | 20.89% | 31.23% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $23 | $17 | $36 | $37 | $30 |
| Ratio of Total Expenses to Average Net Assets | 0.17%3 | 0.17%3 | 0.17% | 0.17% | 0.17% |
| Ratio of Net Investment Income to Average Net Assets | 1.44% | 1.38% | 1.19% | 1.61% | 1.75% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 3% | 5% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
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Large-Cap Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $174.22 | $220.44 | $175.80 | $147.88 | $114.77 |
| Investment Operations | |||||
| Net Investment Income1 | 3.079 | 2.905 | 2.646 | 2.594 | 2.581 |
| Net Realized and Unrealized Gain (Loss) on Investments | 44.134 | (46.233) | 44.617 | 27.890 | 33.204 |
| Total from Investment Operations | 47.213 | (43.328) | 47.263 | 30.484 | 35.785 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.083) | (2.892) | (2.623) | (2.564) | (2.675) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.083) | (2.892) | (2.623) | (2.564) | (2.675) |
| Net Asset Value, End of Period | $218.35 | $174.22 | $220.44 | $175.80 | $147.88 |
| Total Return | 27.29% | -19.68% | 27.02% | 20.99% | 31.39% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $30,728 | $24,137 | $28,242 | $21,540 | $16,270 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.57% | 1.55% | 1.33% | 1.74% | 1.93% |
| Portfolio Turnover Rate3 | 2% | 3% | 4% | 3% | 5% |
| 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 were 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
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Large-Cap Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $87.98 | $111.33 | $88.79 | $74.69 | $57.96 |
| Investment Operations | |||||
| Net Investment Income1 | 1.544 | 1.456 | 1.325 | 1.303 | 1.299 |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.293 | (23.348) | 22.530 | 14.084 | 16.774 |
| Total from Investment Operations | 23.837 | (21.892) | 23.855 | 15.387 | 18.073 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.547) | (1.458) | (1.315) | (1.287) | (1.343) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.547) | (1.458) | (1.315) | (1.287) | (1.343) |
| Net Asset Value, End of Period | $110.27 | $87.98 | $111.33 | $88.79 | $74.69 |
| Total Return2 | 27.28% | -19.70% | 27.01% | 21.03% | 31.39% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $11,953 | $9,583 | $11,847 | $9,338 | $7,546 |
| Ratio of Total Expenses to Average Net Assets | 0.05%3 | 0.05%3 | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.56% | 1.54% | 1.32% | 1.73% | 1.92% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 3% | 5% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
69
Large-Cap Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $362.12 | $458.22 | $365.43 | $307.39 | $238.57 |
| Investment Operations | |||||
| Net Investment Income1 | 6.401 | 6.032 | 5.477 | 5.389 | 5.363 |
| Net Realized and Unrealized Gain (Loss) on Investments | 91.727 | (96.092) | 92.764 | 57.981 | 69.016 |
| Total from Investment Operations | 98.128 | (90.060) | 98.241 | 63.370 | 74.379 |
| Distributions | |||||
| Dividends from Net Investment Income | (6.408) | (6.040) | (5.451) | (5.330) | (5.559) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (6.408) | (6.040) | (5.451) | (5.330) | (5.559) |
| Net Asset Value, End of Period | $453.84 | $362.12 | $458.22 | $365.43 | $307.39 |
| Total Return | 27.28% | -19.69% | 27.03% | 21.05% | 31.39% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $2,648 | $2,071 | $2,524 | $2,149 | $1,796 |
| Ratio of Total Expenses to Average Net Assets | 0.04%2 | 0.04%2 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.57% | 1.55% | 1.32% | 1.74% | 1.92% |
| Portfolio Turnover Rate3 | 2% | 3% | 4% | 3% | 5% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
70
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap Index Fund
is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares.
Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold
through a broker.
| A. | The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements. |
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued at their fair
values calculated according to procedures adopted by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that
fund's net asset value.
2. Foreign Currency:
Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the
valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the
effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or
liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).
3. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in
71
Large-Cap Index Fund
the Statement of Operations as unrealized
appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
4. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the
termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral
received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two
business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
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Large-Cap Index Fund
5. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
6. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
7. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
8. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based
upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow
73
Large-Cap Index Fund
money from and lend money to each other for
temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and
investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is
governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
9. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment
securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
| B. | In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month. |
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $1,437,000, representing less than 0.01% of the
fund’s net assets and 0.57% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
| C. | The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $26,000 (an annual rate of less than 0.01% of average net assets). |
| D. | Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. |
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
74
Large-Cap Index Fund
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes
the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 45,236,006 | — | — | 45,236,006 |
| Temporary Cash Investments | 52,018 | — | — | 52,018 |
| Total | 45,288,024 | — | — | 45,288,024 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 1,077 | — | — | 1,077 |
| Liabilities | ||||
| Swap Contracts | — | 84 | — | 84 |
| 1 | Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
| E. | Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign investment companies, and swap agreements were reclassified between the following accounts: |
| Amount ($000) | |
| Paid-in Capital | 848,976 |
| Total Distributable Earnings (Loss) | (848,976) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the
table as follows:
75
Large-Cap Index Fund
| Amount ($000) | |
| Undistributed Ordinary Income | 24,623 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 21,237,263 |
| Capital Loss Carryforwards | (1,354,375) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 19,907,511 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 634,037 | 584,559 |
| Long-Term Capital Gains | — | — |
| Total | 634,037 | 584,559 |
| * | Includes short-term capital gains, if any. |
As of December 31, 2023, gross
unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 24,050,761 |
| Gross Unrealized Appreciation | 22,277,410 |
| Gross Unrealized Depreciation | (1,040,147) |
| Net Unrealized Appreciation (Depreciation) | 21,237,263 |
| F. | During the year ended December 31, 2023, the fund purchased $2,536,258,000 of investment securities and sold $2,114,119,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,436,121,000 and $1,201,221,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares. |
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $145,761,000 and sales were $264,964,000, resulting in net realized loss of $188,825,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
76
Large-Cap Index Fund
| G. | Capital share transactions for each class of shares were: |
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 3,063 | 40 | 5,411 | 68 | |
| Issued in Lieu of Cash Distributions | 290 | 3 | 330 | 4 | |
| Redeemed | (2,055) | (26) | (17,106) | (231) | |
| Net Increase (Decrease)—Investor Shares | 1,298 | 17 | (11,365) | (159) | |
| ETF Shares | |||||
| Issued | 1,678,374 | 8,513 | 3,667,813 | 19,749 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (1,242,778) | (6,325) | (1,708,654) | (9,325) | |
| Net Increase (Decrease)—ETF Shares | 435,596 | 2,188 | 1,959,159 | 10,424 | |
| Admiral Shares | |||||
| Issued | 1,245,186 | 12,576 | 1,800,154 | 19,196 | |
| Issued in Lieu of Cash Distributions | 135,776 | 1,352 | 126,959 | 1,400 | |
| Redeemed | (1,423,999) | (14,448) | (1,711,547) | (18,094) | |
| Net Increase (Decrease)—Admiral Shares | (43,037) | (520) | 215,566 | 2,502 | |
| Institutional Shares | |||||
| Issued | 436,811 | 1,089 | 424,874 | 1,093 | |
| Issued in Lieu of Cash Distributions | 31,807 | 77 | 30,324 | 81 | |
| Redeemed | (417,705) | (1,050) | (377,281) | (963) | |
| Net Increase (Decrease)—Institutional Shares | 50,913 | 116 | 77,917 | 211 | |
| H. | Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance. |
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
| I. | Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements. |
77
Report of Independent Registered Public Accounting
Firm
To the Board of Trustees of Vanguard Index
Funds and Shareholders of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund
Opinions on the Financial
Statements
We have audited the
accompanying statements of assets and liabilities, including the schedules of investments, ofVanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund (three of the funds constituting
Vanguard Index Funds, hereafter collectively referred to as the "Funds") as of December 31, 2023, the related statements of operations for the year ended December 31, 2023, the statements of changes in net assets for
each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the
"financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2023, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2023 and each of the financial highlights for each of the five years in the period ended
December 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are
the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of
these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of
material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers
LLP
Philadelphia, Pennsylvania
February 15, 2024
Philadelphia, Pennsylvania
February 15, 2024
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
78
Tax information
(unaudited)
The following percentages, or
if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received
deduction for corporate shareholders.
| Fund | Percentage |
| Growth Index Fund | 90.0% |
| Value Index Fund | 93.4 |
| Large-Cap Index Fund | 92.9 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified dividend income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Growth Index Fund | 1,104,262 |
| Value Index Fund | 3,845,321 |
| Large-Cap Index Fund | 634,037 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as interest earned from obligations of the U.S. government which is generally exempt from state income tax.
| Fund | ($000) |
| Growth Index Fund | 6,482 |
| Value Index Fund | 3,979 |
| Large-Cap Index Fund | 2,012 |
The following amounts, or if
subsequently determined to be different, the maximum amounts allowable by law, are hereby designated as qualified business income for individual shareholders for the fiscal year.
| Fund | ($000) |
| Growth Index Fund | 34,387 |
| Value Index Fund | — |
| Large-Cap Index Fund | — |
79
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The People Who Govern Your Fund
The trustees of your mutual
fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s
board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board
members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 Vanguard funds.
Information for each trustee
and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box
876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
1 Mr. Buckley is considered an “interested
person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Connect with
Vanguard®>vanguard.com
Annual Report | December 31, 2023
Vanguard Total
Stock Market Index Fund
See the inside front cover
for important information about your fund’s annual and semiannual shareholder reports.
Important information about shareholder
reports
Beginning in July 2024,
amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and
concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at
vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive
shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at
one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
| 1 | |
| 2 | |
| 4 | |
| 8 |
Please note: The
opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date
on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
Your Fund’s Performance at a Glance
| • | For the 12 months ended December 31, 2023, returns for Vanguard Total Stock Market Index Fund ranged from 25.89% for Investor Shares to 26.05% for Institutional Select Shares. |
| • | The fourth quarter of 2023 was a volatile period for the financial markets. Stocks and bonds continued to lose ground early on amid concerns that interest rates might remain elevated for an extended period. They went on to post strong gains, however, as inflation remained on a downward trend and economic growth softened, leading the markets to anticipate that policy rates had reached their peak and that cuts were likely not too far down the road. |
| • | The fund, which offers investors exposure to every segment, size, and style of the U.S. equity market, closely tracked its target index, the CRSP US Total Market Index. |
| • | The majority of the index’s 11 sectors recorded positive returns for the 12 months. Consumer discretionary, consumer staples, and energy stocks helped performance the most. |
Market Barometer
| Average Annual Total Returns Periods Ended December 31, 2023 | |||
| One Year | Three Years | Five Years | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | 26.53% | 8.97% | 15.52% |
| Russell 2000 Index (Small-caps) | 16.93 | 2.22 | 9.97 |
| Russell 3000 Index (Broad U.S. market) | 25.96 | 8.54 | 15.16 |
| FTSE All-World ex US Index (International) | 15.82 | 1.98 | 7.52 |
| Bonds | |||
| Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market) | 5.60% | -3.33% | 1.17% |
| Bloomberg Municipal Bond Index (Broad tax-exempt market) | 6.40 | -0.40 | 2.25 |
| FTSE Three-Month U.S. Treasury Bill Index | 5.26 | 2.24 | 1.91 |
| CPI | |||
| Consumer Price Index | 3.35% | 5.60% | 4.07% |
1
About Your Fund’s Expenses
As a shareholder of the fund,
you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross
income, directly reduce the investment return of the fund.
A fund‘s expenses are
expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and
to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table
illustrates your fund’s costs in two ways:
| • | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
| • | Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Note that the expenses shown
in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or
account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no
shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information
about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your
fund’s current prospectus.
2
| Six Months Ended December 31, 2023 | |||
| Beginning Account Value 6/30/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period | |
| Based on Actual Fund Return | |||
| Total Stock Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,084.10 | $0.74 |
| ETF Shares | 1,000.00 | 1,084.80 | 0.16 |
| Admiral™ Shares | 1,000.00 | 1,084.70 | 0.21 |
| Institutional Shares | 1,000.00 | 1,084.70 | 0.16 |
| Institutional Plus Shares | 1,000.00 | 1,084.80 | 0.11 |
| Institutional Select Shares | 1,000.00 | 1,084.80 | 0.05 |
| Based on Hypothetical 5% Yearly Return | |||
| Total Stock Market Index Fund | |||
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Shares | 1,000.00 | 1,025.05 | 0.15 |
| Institutional Plus Shares | 1,000.00 | 1,025.10 | 0.10 |
| Institutional Select Shares | 1,000.00 | 1,025.15 | 0.05 |
The calculations are
based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratios for that period are: 0.14% for Investor Shares, 0.03% for ETF Shares, 0.04% for Admiral Shares, 0.03% for
Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
3
Total Stock Market Index Fund
Performance Summary
All of the returns in this
report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current
to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth
more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance:
December 31, 2013, Through December 31, 2023
Initial Investment of
$10,000
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Total Stock Market Index Fund Investor Shares | 25.89% | 14.95% | 11.32% | $29,211 |
| CRSP US Total Market Index | 25.98 | 15.08 | 11.44 | 29,545 |
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Total Stock Market Index Fund ETF Shares Net Asset Value | 26.03% | 15.07% | 11.44% | $29,530 | |
| Total Stock Market Index Fund ETF Shares Market Price | 26.11 | 15.09 | 11.44 | 29,546 | |
| CRSP US Total Market Index | 25.98 | 15.08 | 11.44 | 29,545 | |
See Financial
Highlights for dividend and capital gains information.
4
Total Stock Market Index Fund
| Average Annual Total Returns Periods Ended December 31, 2023 | |||||
| One Year | Five Years | Ten Years | Final Value of a $10,000 Investment | ||
| Total Stock Market Index Fund Admiral Shares | 26.01% | 15.07% | 11.43% | $29,511 | |
| CRSP US Total Market Index | 25.98 | 15.08 | 11.44 | 29,545 | |
| One Year | Five Years | Ten Years | Final Value of a $5,000,000 Investment | ||
| Total Stock Market Index Fund Institutional Shares | 26.02% | 15.08% | 11.44% | $14,770,565 | |
| CRSP US Total Market Index | 25.98 | 15.08 | 11.44 | 14,772,640 | |
| One Year | Five Years | Since Inception (4/28/2015) | Final Value of a $100,000,000 Investment | ||
| Total Stock Market Index Fund Institutional Plus Shares | 26.03% | 15.09% | 11.29% | $253,032,140 | |
| CRSP US Total Market Index | 25.98 | 15.08 | 11.28 | 252,780,380 | |
"Since Inception"
performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
| One Year | Five Years | Since Inception (6/27/2016) | Final Value of a $5,000,000,000 Investment | ||
| Total Stock Market Index Fund Institutional Select Shares | 26.05% | 15.10% | 13.88% | $13,269,271,000 | |
| CRSP US Total Market Index | 25.98 | 15.08 | 13.85 | 13,249,208,500 | |
“Since
Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
5
Total Stock Market Index Fund
| Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023 | |||
| One Year | Five Years | Ten Years | |
| Total Stock Market Index Fund ETF Shares Market Price | 26.11% | 101.91% | 195.46% |
| Total Stock Market Index Fund ETF Shares Net Asset Value | 26.03 | 101.77 | 195.30 |
| CRSP US Total Market Index | 25.98 | 101.85 | 195.45 |
For the ETF Shares, the
market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing
time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount
chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.
6
Total Stock Market Index Fund
Fund Allocation
As of December 31, 2023
| Basic Materials | 2.0% |
| Consumer Discretionary | 14.5 |
| Consumer Staples | 4.7 |
| Energy | 4.1 |
| Financials | 10.8 |
| Health Care | 12.1 |
| Industrials | 13.1 |
| Real Estate | 3.0 |
| Technology | 31.1 |
| Telecommunications | 2.0 |
| Utilities | 2.6 |
The table reflects the fund’s
investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable),
which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in
derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry
Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
7
Total Stock Market Index Fund
Financial Statements
Schedule of Investments
As of December 31, 2023
The fund files its complete
schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports
are available on the SEC’s website at www.sec.gov.
8
Total Stock Market Index Fund
| Shares | Market Value• ($000) | |||||
| Temporary Cash Investments (0.4%) | ||||||
| Money Market Fund (0.4%) | ||||||
| 4,5 | Vanguard Market Liquidity Fund, 5.435% (Cost $5,978,690) | 59,806,782 | 5,979,482 | |||
| Total Investments (100.1%) (Cost $703,118,641) | 1,460,185,426 | |||||
| Other Assets and Liabilities—Net (-0.1%) | (1,643,962) | |||||
| Net Assets (100%) | 1,458,541,464 | |||||
| Cost is in $000. |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| 1 | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,088,263,000. |
| 2 | Security value determined using significant unobservable inputs. |
| 3 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
| 4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 5 | Collateral of $3,557,335,000 was received for securities on loan. |
| CVR—Contingent Value Rights. | |
| REIT—Real Estate Investment Trust. |
Derivative Financial
Instruments Outstanding as of Period End
| Futures Contracts | ||||
| ($000) | ||||
| Expiration | Number of Long (Short) Contracts | Notional Amount | Value and Unrealized Appreciation (Depreciation) | |
| Long Futures Contracts | ||||
| E-mini Russell 2000 Index | March 2024 | 4,453 | 455,920 | 32,365 |
| E-mini S&P 500 Index | March 2024 | 11,234 | 2,707,394 | 8,382 |
| E-mini S&P Mid-Cap 400 Index | March 2024 | 240 | 67,428 | 3,569 |
| 44,316 | ||||
60
Total Stock Market Index Fund
| Over-the-Counter Total Return Swaps | ||||||
| Reference Entity | Termination Date | Counterparty | Notional Amount ($000) | Floating Interest Rate Received (Paid)1 (%) | Value and Unrealized Appreciation ($000) | Value and Unrealized (Depreciation) ($000) |
| Arbor Realty Trust Inc. | 1/31/24 | GSI | 7,690 | (5.331) | — | (112) |
| Citigroup Inc. | 8/29/25 | BANA | 32,270 | (5.932) | 3,589 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 32,838 | (5.882) | 942 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 32,838 | (5.882) | 942 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 30,000 | (5.976) | — | (40) |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,480 | (5.979) | 707 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,470 | (5.978) | 477 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,460 | (5.979) | 472 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 29,360 | (5.977) | 592 | — |
| Fidelity National Information Services Inc. | 8/30/24 | BANA | 28,920 | (5.977) | 1,038 | — |
| Global Payments Inc. | 8/30/24 | BANA | 210,756 | (5.932) | 18,594 | — |
| Goldman Sachs Group Inc. | 8/29/25 | BANA | 290,651 | (6.032) | 38,617 | — |
| Invesco Ltd. | 8/30/24 | BANA | 3,996 | (5.882) | 1,037 | — |
| Invesco Ltd. | 8/30/24 | BANA | 856 | (5.882) | 222 | — |
| Paycor HCM Inc. | 1/31/24 | CITNA | 4,242 | (5.332) | 59 | — |
| VICI Properties Inc. Class A | 8/30/24 | BANA | 141,978 | (5.982) | 10,763 | — |
| Visa Inc. Class A | 8/30/24 | BANA | 57,753 | (5.232) | 708 | — |
| Visa Inc. Class A | 8/30/24 | BANA | 51,336 | (5.332) | 625 | — |
| Yum! Brands Inc. | 8/30/24 | BANA | 21,971 | (5.332) | 909 | — |
| 80,293 | (152) | |||||
| 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. |
At December 31, 2023, the
counterparties had deposited in segregated accounts securities with a value of $90,828,000 in connection with open over-the-counter swap contracts.
See accompanying
Notes, which are an integral part of the Financial Statements.
61
Total Stock Market Index Fund
Statement of Assets and Liabilities
As of December 31, 2023
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Assets | |
| Investments in Securities, at Value1 | |
| Unaffiliated Issuers (Cost $697,136,333) | 1,454,203,653 |
| Affiliated Issuers (Cost $5,982,308) | 5,981,773 |
| Total Investments in Securities | 1,460,185,426 |
| Investment in Vanguard | 45,961 |
| Cash | 34,993 |
| Cash Collateral Pledged—Futures Contracts | 155,110 |
| Cash Collateral Pledged—Over-the-Counter Swap Contracts | 60 |
| Receivables for Investment Securities Sold | 69,834 |
| Receivables for Accrued Income | 1,368,254 |
| Receivables for Capital Shares Issued | 1,101,323 |
| Unrealized Appreciation—Over-the-Counter Swap Contracts | 80,293 |
| Total Assets | 1,463,041,254 |
| Liabilities | |
| Payables for Investment Securities Purchased | 38,873 |
| Collateral for Securities on Loan | 3,557,335 |
| Payables for Capital Shares Redeemed | 871,000 |
| Payables for Distributions | 3 |
| Payables to Vanguard | 18,400 |
| Variation Margin Payable—Futures Contracts | 14,027 |
| Unrealized Depreciation—Over-the-Counter Swap Contracts | 152 |
| Total Liabilities | 4,499,790 |
| Net Assets | 1,458,541,464 |
| 1 Includes $3,088,263,000 of securities on loan. | |
62
Total Stock Market Index Fund
| Statement of Assets and Liabilities (continued) | |
| At December 31, 2023, net assets consisted of: | |
| ($000s, except shares, footnotes, and per-share amounts) | Amount |
| Paid-in Capital | 728,471,377 |
| Total Distributable Earnings (Loss) | 730,070,087 |
| Net Assets | 1,458,541,464 |
| Investor Shares—Net Assets | |
| Applicable to 177,030,981 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 20,442,743 |
| Net Asset Value Per Share—Investor Shares | $115.48 |
| ETF Shares—Net Assets | |
| Applicable to 1,466,627,292 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 347,955,269 |
| Net Asset Value Per Share—ETF Shares | $237.25 |
| Admiral Shares—Net Assets | |
| Applicable to 2,947,229,792 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 340,379,287 |
| Net Asset Value Per Share—Admiral Shares | $115.49 |
| Institutional Shares—Net Assets | |
| Applicable to 704,613,647 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 81,389,149 |
| Net Asset Value Per Share—Institutional Shares | $115.51 |
| Institutional Plus Shares—Net Assets | |
| Applicable to 2,802,586,697 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 607,187,771 |
| Net Asset Value Per Share—Institutional Plus Shares | $216.65 |
| Institutional Select Shares—Net Assets | |
| Applicable to 269,108,803 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 61,187,245 |
| Net Asset Value Per Share—Institutional Select Shares | $227.37 |
See accompanying Notes, which are an
integral part of the Financial Statements.
63
Total Stock Market Index Fund
Statement of Operations
| Year Ended December 31, 2023 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers1 | 20,631,366 |
| Dividends—Affiliated Issuers | 149 |
| Interest—Unaffiliated Issuers | 13,676 |
| Interest—Affiliated Issuers | 243,599 |
| Securities Lending—Net | 308,413 |
| Total Income | 21,197,203 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 32,625 |
| Management and Administrative—Investor Shares | 25,438 |
| Management and Administrative—ETF Shares | 67,204 |
| Management and Administrative—Admiral Shares | 101,815 |
| Management and Administrative—Institutional Shares | 18,148 |
| Management and Administrative—Institutional Plus Shares | 76,033 |
| Management and Administrative—Institutional Select Shares | 3,812 |
| Marketing and Distribution—Investor Shares | 1,054 |
| Marketing and Distribution—ETF Shares | 12,195 |
| Marketing and Distribution—Admiral Shares | 12,251 |
| Marketing and Distribution—Institutional Shares | 2,279 |
| Marketing and Distribution—Institutional Plus Shares | 14,384 |
| Marketing and Distribution—Institutional Select Shares | 101 |
| Custodian Fees | 1,876 |
| Auditing Fees | 253 |
| Shareholders’ Reports—Investor Shares | 188 |
| Shareholders’ Reports—ETF Shares | 3,033 |
| Shareholders’ Reports—Admiral Shares | 1,239 |
| Shareholders’ Reports—Institutional Shares | 64 |
| Shareholders’ Reports—Institutional Plus Shares | 2,413 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 787 |
| Interest Expense | — |
| Other Expenses | 138 |
| Total Expenses | 377,330 |
| Expenses Paid Indirectly | (8) |
| Net Expenses | 377,322 |
| Net Investment Income | 20,819,881 |
64
Total Stock Market Index Fund
| Statement of Operations (continued) | |
| Year Ended December 31, 2023 | |
| ($000) | |
| Realized Net Gain (Loss) | |
| Capital Gain Distributions Received—Affiliated Issuers | 13 |
| Investment Securities Sold—Unaffiliated Issuers2 | 24,251,460 |
| Investment Securities Sold—Affiliated Issuers3 | 2,246 |
| Futures Contracts | 760,654 |
| Swap Contracts | (23,641) |
| Realized Net Gain (Loss) | 24,990,732 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers | 256,421,058 |
| Investment Securities—Affiliated Issuers | (2,621) |
| Futures Contracts | 231,959 |
| Swap Contracts | 130,344 |
| Change in Unrealized Appreciation (Depreciation) | 256,780,740 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 302,591,353 |
| 1 | Dividends are net of foreign withholding taxes of $2,051,000. |
| 2 | Includes $25,907,196,000 of net gain (loss) resulting from in-kind redemptions. |
| 3 | Includes $582,000 of net gain (loss) resulting from in-kind redemptions. |
See accompanying Notes, which are an
integral part of the Financial Statements.
65
Total Stock Market Index Fund
Statement of Changes in Net Assets
| Year Ended December 31, | ||
| 2023 ($000) | 2022 ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 20,819,881 | 18,662,820 |
| Realized Net Gain (Loss) | 24,990,732 | 5,664,235 |
| Change in Unrealized Appreciation (Depreciation) | 256,780,740 | (294,464,966) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 302,591,353 | (270,137,911) |
| Distributions | ||
| Investor Shares | (289,384) | (284,794) |
| ETF Shares | (4,851,485) | (4,187,918) |
| Admiral Shares | (4,859,268) | (4,513,747) |
| Institutional Shares | (1,178,824) | (1,107,318) |
| Institutional Plus Shares | (8,827,594) | (7,915,118) |
| Institutional Select Shares | (811,797) | (713,492) |
| Total Distributions | (20,818,352) | (18,722,387) |
| Capital Share Transactions | ||
| Investor Shares | (2,239,443) | (104,300,286) |
| ETF Shares | 21,896,112 | 25,952,138 |
| Admiral Shares | (108,385) | 4,099,576 |
| Institutional Shares | (1,318,438) | (155,304,571) |
| Institutional Plus Shares | (188,430) | 295,703,507 |
| Institutional Select Shares | 5,800,564 | 2,223,565 |
| Net Increase (Decrease) from Capital Share Transactions | 23,841,980 | 68,373,929 |
| Total Increase (Decrease) | 305,614,981 | (220,486,369) |
| Net Assets | ||
| Beginning of Period | 1,152,926,483 | 1,373,412,852 |
| End of Period | 1,458,541,464 | 1,152,926,483 |
See accompanying Notes, which are an
integral part of the Financial Statements.
66
Total Stock Market Index Fund
Financial Highlights
| Investor Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $93.09 | $117.53 | $94.71 | $79.66 | $62.08 |
| Investment Operations | |||||
| Net Investment Income1 | 1.536 | 1.335 | 1.284 | 1.284 | 1.279 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.401 | (24.344) | 22.837 | 15.026 | 17.634 |
| Total from Investment Operations | 23.937 | (23.009) | 24.121 | 16.310 | 18.913 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.547) | (1.431) | (1.301) | (1.260) | (1.333) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.547) | (1.431) | (1.301) | (1.260) | (1.333) |
| Net Asset Value, End of Period | $115.48 | $93.09 | $117.53 | $94.71 | $79.66 |
| Total Return3 | 25.89% | -19.60% | 25.59% | 20.87% | 30.65% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $20,443 | $18,409 | $133,977 | $153,845 | $139,686 |
| Ratio of Total Expenses to Average Net Assets | 0.14%4 | 0.14%4 | 0.14% | 0.14% | 0.14% |
| Ratio of Net Investment Income to Average Net Assets | 1.48% | 1.28% | 1.20% | 1.62% | 1.78% |
| Portfolio Turnover Rate5 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
67
Total Stock Market Index Fund
Financial Highlights
| ETF Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $191.25 | $241.49 | $194.61 | $163.70 | $127.56 |
| Investment Operations | |||||
| Net Investment Income1 | 3.411 | 3.191 | 2.912 | 2.831 | 2.809 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 46.002 | (50.248) | 46.898 | 30.848 | 36.236 |
| Total from Investment Operations | 49.413 | (47.057) | 49.810 | 33.679 | 39.045 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.413) | (3.183) | (2.930) | (2.769) | (2.905) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.413) | (3.183) | (2.930) | (2.769) | (2.905) |
| Net Asset Value, End of Period | $237.25 | $191.25 | $241.49 | $194.61 | $163.70 |
| Total Return | 26.03% | -19.50% | 25.72% | 20.95% | 30.80% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $347,955 | $261,084 | $299,088 | $202,075 | $138,067 |
| Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% |
| Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.55% | 1.31% | 1.73% | 1.89% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
68
Total Stock Market Index Fund
Financial Highlights
| Admiral Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $93.10 | $117.56 | $94.74 | $79.69 | $62.09 |
| Investment Operations | |||||
| Net Investment Income1 | 1.645 | 1.540 | 1.402 | 1.364 | 1.360 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.396 | (24.460) | 22.833 | 15.025 | 17.646 |
| Total from Investment Operations | 24.041 | (22.920) | 24.235 | 16.389 | 19.006 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.651) | (1.540) | (1.415) | (1.339) | (1.406) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.651) | (1.540) | (1.415) | (1.339) | (1.406) |
| Net Asset Value, End of Period | $115.49 | $93.10 | $117.56 | $94.74 | $79.69 |
| Total Return3 | 26.01% | -19.53% | 25.71% | 20.99% | 30.80% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $340,379 | $274,489 | $341,733 | $273,622 | $252,536 |
| Ratio of Total Expenses to Average Net Assets | 0.04%4 | 0.04%4 | 0.04% | 0.04% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.59% | 1.54% | 1.30% | 1.72% | 1.88% |
| Portfolio Turnover Rate5 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
69
Total Stock Market Index Fund
Financial Highlights
| Institutional Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $93.12 | $117.58 | $94.75 | $79.70 | $62.10 |
| Investment Operations | |||||
| Net Investment Income1 | 1.655 | 1.497 | 1.416 | 1.374 | 1.365 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.397 | (24.407) | 22.841 | 15.024 | 17.649 |
| Total from Investment Operations | 24.052 | (22.910) | 24.257 | 16.398 | 19.014 |
| Distributions | |||||
| Dividends from Net Investment Income | (1.662) | (1.550) | (1.427) | (1.348) | (1.414) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.662) | (1.550) | (1.427) | (1.348) | (1.414) |
| Net Asset Value, End of Period | $115.51 | $93.12 | $117.58 | $94.75 | $79.70 |
| Total Return | 26.02% | -19.51% | 25.73% | 21.00% | 30.81% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $81,389 | $66,751 | $249,282 | $180,586 | $152,716 |
| Ratio of Total Expenses to Average Net Assets | 0.03%3 | 0.03%3 | 0.03% | 0.03% | 0.03% |
| Ratio of Net Investment Income to Average Net Assets | 1.60% | 1.46% | 1.31% | 1.73% | 1.89% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
70
Total Stock Market Index Fund
Financial Highlights
| Institutional Plus Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $174.63 | $220.49 | $177.69 | $149.47 | $116.46 |
| Investment Operations | |||||
| Net Investment Income1 | 3.123 | 2.960 | 2.672 | 2.591 | 2.575 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 42.014 | (45.906) | 42.823 | 28.172 | 33.100 |
| Total from Investment Operations | 45.137 | (42.946) | 45.495 | 30.763 | 35.675 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.117) | (2.914) | (2.695) | (2.543) | (2.665) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.117) | (2.914) | (2.695) | (2.543) | (2.665) |
| Net Asset Value, End of Period | $216.65 | $174.63 | $220.49 | $177.69 | $149.47 |
| Total Return | 26.03% | -19.51% | 25.74% | 21.02% | 30.82% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $607,188 | $488,093 | $296,554 | $226,288 | $188,188 |
| Ratio of Total Expenses to Average Net Assets | 0.02%3 | 0.02%3 | 0.02% | 0.02% | 0.02% |
| Ratio of Net Investment Income to Average Net Assets | 1.61% | 1.59% | 1.32% | 1.74% | 1.90% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying
Notes, which are an integral part of the Financial Statements.
71
Total Stock Market Index Fund
Financial Highlights
| Institutional Select Shares | |||||
| For a Share Outstanding Throughout Each Period | Year Ended December 31, | ||||
| 2023 | 2022 | 2021 | 2020 | 2019 | |
| Net Asset Value, Beginning of Period | $183.25 | $231.36 | $186.45 | $156.83 | $122.20 |
| Investment Operations | |||||
| Net Investment Income1 | 3.312 | 3.093 | 2.821 | 2.772 | 2.709 |
| Capital Gain Distributions Received | .0001,2 | .0001,2 | .0001,2 | — | — |
| Net Realized and Unrealized Gain (Loss) on Investments | 44.079 | (48.139) | 44.937 | 29.532 | 34.731 |
| Total from Investment Operations | 47.391 | (45.046) | 47.758 | 32.304 | 37.440 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.271) | (3.064) | (2.848) | (2.684) | (2.810) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.271) | (3.064) | (2.848) | (2.684) | (2.810) |
| Net Asset Value, End of Period | $227.37 | $183.25 | $231.36 | $186.45 | $156.83 |
| Total Return | 26.05% | -19.50% | 25.75% | 21.03% | 30.84% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $61,187 | $44,101 | $52,780 | $44,296 | $26,431 |
| Ratio of Total Expenses to Average Net Assets | 0.01%3 | 0.01%3 | 0.01% | 0.01% | 0.01% |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.57% | 1.33% | 1.76% | 1.91% |
| Portfolio Turnover Rate4 | 2% | 3% | 4% | 8% | 4% |
| 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. |
See accompanying Notes, which are an
integral part of the Financial Statements.
72
Total Stock Market Index Fund
Notes to Financial Statements
Vanguard Total Stock Market
Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional
Shares, Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares
are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
In March 2023, the board of
trustees approved a plan of reorganization whereby the fund will reorganize from Vanguard Index Funds (such fund the "Predecessor Fund”) to a newly created shell series under Vanguard Montgomery Funds. The
purpose of the reorganization is to improve administrative efficiencies for all funds within the Vanguard complex by spreading the filing and reporting requirements across different legal entities. After the
reorganization the surviving fund will be identical in its management to the Predecessor Fund and its investment objective, strategies, and policies will remain unchanged. The reorganization is anticipated to qualify
as a tax-free reorganization under the Internal Revenue Code of 1986, as amended.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its
financial statements.
1. Security Valuation:
Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official
closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which
market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods
deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other temporary cash
investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent
pricing services.
2. Futures Contracts:
The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures
contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for
liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility
of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades
futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin
requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open
contracts are noted in the Schedule of Investments.
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Total Stock Market Index Fund
Futures contracts are valued
at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures
contracts.
During the year ended December
31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during
the period.
3. Swap Contracts: The
fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the
referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a
specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a
floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary
cash investments.
A risk associated with all
types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on
the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting
arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be
repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either
party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions
whereby a counterparty may terminate open contracts if the fund's net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination.
The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged
is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap
contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is
recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap,
at which time realized gain (loss) is recorded.
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Total Stock Market Index Fund
During the year ended December
31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes:
The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state
income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
5. Distributions:
Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial
reporting purposes.
6. Securities Lending:
To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by
collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When
this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only
with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements
provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net
amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the
securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period
the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income
earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and
Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit
agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be
utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged
administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included
in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate,
the overnight bank funding rate, or the Daily Simple
75
Total Stock Market Index Fund
Secured Overnight Financing Rate inclusive of
an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an
exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each
other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment
objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to
be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the year ended December
31, 2023, the fund did not utilize the Interfund Lending Program.
The fund made one borrowing
from the uncommitted credit facility provided by Vanguard in the amount of $1,000,000 to test the operational readiness of the process. The borrowing was outstanding for one business day at an annualized rate of
6.16%, and the related interest expense of less than $500 is recorded in the Statement of Operations. At December 31, 2023, the fund had no borrowings outstanding.
8. Other: Dividend
income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from
Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for
premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains
(losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal
rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and
shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on
investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate
management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines
approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard,
the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $45,961,000, representing less than 0.01% of the
fund’s net assets and 18.38% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
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Total Stock Market Index Fund
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023,
custodian fee offset arrangements reduced the fund’s expenses by $8,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The
inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant
unobservable inputs are noted on the Schedule of Investments.
The following table summarizes
the market value of the fund's investments and derivatives as of December 31, 2023, based on the inputs used to value them:
| Level 1 ($000) | Level 2 ($000) | Level 3 ($000) | Total ($000) | |
| Investments | ||||
| Assets | ||||
| Common Stocks | 1,454,190,053 | — | 6,440 | 1,454,196,493 |
| Preferred Stocks | 16 | — | — | 16 |
| Rights | — | 239 | 6,332 | 6,571 |
| Warrants | 13 | 487 | 2,364 | 2,864 |
| Temporary Cash Investments | 5,979,482 | — | — | 5,979,482 |
| Total | 1,460,169,564 | 726 | 15,136 | 1,460,185,426 |
| Derivative Financial Instruments | ||||
| Assets | ||||
| Futures Contracts1 | 44,316 | — | — | 44,316 |
| Swap Contracts | — | 80,293 | — | 80,293 |
| Total | 44,316 | 80,293 | — | 124,609 |
| Liabilities | ||||
| Swap Contracts | — | 152 | — | 152 |
| 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. | |||
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Total Stock Market Index Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These
reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions, passive foreign
investment companies, and swap agreements were reclassified between the following accounts:
| Amount ($000) | |
| Paid-in Capital | 25,908,235 |
| Total Distributable Earnings (Loss) | (25,908,235) |
Temporary differences between
book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these
differences will reverse at some time in the future. The differences are primarily related to capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from
certain derivative contracts; the recognition of unrealized gains from passive foreign investment companies; and the classification of securities for tax purposes. As of period end, the tax-basis components of total
distributable earnings (loss) are detailed in the table as follows:
| Amount ($000) | |
| Undistributed Ordinary Income | 860,016 |
| Undistributed Long-Term Gains | — |
| Net Unrealized Gains (Losses) | 754,330,507 |
| Capital Loss Carryforwards | (25,120,436) |
| Qualified Late-Year Losses | — |
| Other Temporary Differences | — |
| Total | 730,070,087 |
The tax character of
distributions paid was as follows:
| Year Ended December 31, | ||
| 2023 Amount ($000) | 2022 Amount ($000) | |
| Ordinary Income* | 20,818,352 | 18,722,387 |
| Long-Term Capital Gains | — | — |
| Total | 20,818,352 | 18,722,387 |
| * | Includes short-term capital gains, if any. |
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Total Stock Market Index Fund
As of December 31, 2023,
gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
| Amount ($000) | |
| Tax Cost | 705,854,919 |
| Gross Unrealized Appreciation | 804,253,337 |
| Gross Unrealized Depreciation | (49,922,830) |
| Net Unrealized Appreciation (Depreciation) | 754,330,507 |
F. During the year ended December 31, 2023, the fund purchased $91,161,813,000 of investment securities and sold $61,460,229,000 of investment securities, other than temporary cash
investments. Purchases and sales include $33,362,418,000 and $32,557,413,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
The fund purchased securities
from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment
Company Act of 1940. For the year ended December 31, 2023, such purchases were $2,961,999,000 and sales were $1,518,339,000, resulting in net realized loss of $269,584,000; these amounts, other than temporary cash
investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Investor Shares | |||||
| Issued | 317,778 | 3,167 | 3,914,517 | 36,574 | |
| Issued in Lieu of Cash Distributions | 289,384 | 2,758 | 284,794 | 2,978 | |
| Redeemed | (2,846,605) | (26,651) | (108,499,597) | (981,740) | |
| Net Increase (Decrease)—Investor Shares | (2,239,443) | (20,726) | (104,300,286) | (942,188) | |
| ETF Shares | |||||
| Issued | 52,502,894 | 241,918 | 50,798,717 | 249,707 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (30,606,782) | (140,400) | (24,846,579) | (123,100) | |
| Net Increase (Decrease)—ETF Shares | 21,896,112 | 101,518 | 25,952,138 | 126,607 | |
| Admiral Shares | |||||
| Issued | 26,313,081 | 254,268 | 31,898,755 | 317,329 | |
| Issued in Lieu of Cash Distributions | 4,050,962 | 38,521 | 3,762,619 | 39,309 | |
| Redeemed | (30,472,428) | (293,822) | (31,561,798) | (315,336) | |
| Net Increase (Decrease)—Admiral Shares | (108,385) | (1,033) | 4,099,576 | 41,302 | |
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Total Stock Market Index Fund
| Year Ended December 31, | |||||
| 2023 | 2022 | ||||
| Amount ($000) | Shares (000) | Amount ($000) | Shares (000) | ||
| Institutional Shares | |||||
| Issued | 7,372,614 | 71,232 | 9,249,702 | 92,024 | |
| Issued in Lieu of Cash Distributions | 949,403 | 9,031 | 903,770 | 9,433 | |
| Redeemed | (9,640,455) | (92,509) | (165,458,043) | (1,504,789) | |
| Net Increase (Decrease)—Institutional Shares | (1,318,438) | (12,246) | (155,304,571) | (1,403,332) | |
| Institutional Plus Shares | |||||
| Issued | 35,342,057 | 188,265 | 320,489,415 | 1,582,401 | |
| Issued in Lieu of Cash Distributions | 8,750,147 | 44,372 | 7,850,659 | 43,753 | |
| Redeemed | (44,280,634) | (224,992) | (32,636,567) | (176,178) | |
| Net Increase (Decrease)—Institutional Plus Shares | (188,430) | 7,645 | 295,703,507 | 1,449,976 | |
| Institutional Select Shares | |||||
| Issued | 15,363,880 | 73,855 | 6,711,633 | 34,640 | |
| Issued in Lieu of Cash Distributions | 811,797 | 3,913 | 713,492 | 3,786 | |
| Redeemed | (10,375,113) | (49,312) | (5,201,560) | (25,901) | |
| Net Increase (Decrease)—Institutional Select Shares | 5,800,564 | 28,456 | 2,223,565 | 12,525 | |
H. Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities
of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:
| 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) | Dec. 31, 2023 Market Value ($000) | |
| 1895 Bancorp of Wisconsin Inc. | NA1 | 74 | 25 | (12) | (1,029) | — | — | 2,291 |
| Franklin Financial Services Corp. | NA1 | 6,573 | 4,827 | 582 | 271 | 149 | — | NA2 |
| Vanguard Market Liquidity Fund | 10,588,790 | NA3 | NA3 | 1,676 | (1,863) | 243,599 | 13 | 5,979,482 |
| Total | 10,588,790 | 6,647 | 4,852 | 2,246 | (2,621) | 243,748 | 13 | 5,981,773 |
| 1 | Not applicable—at December 31, 2022, the issuer was not an affiliated company of the fund. |
| 2 | Not applicable—at December 31, 2023, the security was still held, but the issuer was no longer an affiliated company of the fund. |
| 3 | Not applicable—purchases and sales are for temporary cash investment purposes. |
I. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts
of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund
performance.
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Total Stock Market Index Fund
To the extent the fund’s
investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to
increased price volatility and other risks.
The use of derivatives may
expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A
relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding
the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
J. Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements.
81
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees of Vanguard Index
Funds and Shareholders of Vanguard Total Stock Market Index Fund
Opinion on the Financial
Statements
We have audited the
accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Total Stock Market Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the
"Fund") as of December 31, 2023, the related statement of operations for the year ended December 31, 2023, the statement of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial
statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two
years in the period ended December 31, 2023 and the financial highlights for each of the five years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United
States of America.
Basis for Opinion
These financial statements are
the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public
Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of
the Securities and Exchange Commission and the PCAOB.
We conducted our audits of
these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of
material misstatement, whether due to error or fraud.
Our audits included performing
procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating
the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies
were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers
LLP
Philadelphia, Pennsylvania
February 16, 2024
Philadelphia, Pennsylvania
February 16, 2024
We have served as the auditor
of one or more investment companies in The Vanguard Group of Funds since 1975.
82
Tax information
(unaudited)
For corporate shareholders,
88.3%, or if subsequently determined to be different, the maximum percentage allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the
dividends-received deduction.
The fund hereby designates
$19,710,816,000, or if subsequently determined to be different, the maximum amount allowable by law, as qualified dividend income for individual shareholders for the fiscal year.
The fund hereby designates
$97,469,000, or if subsequently determined to be different, the maximum amount allowable by law, of interest earned from obligations of the U.S. government which is generally exempt from state income tax.
The fund hereby designates
$1,107,536,000, or if subsequently determined to be different, the maximum amount allowable by law, of qualified business income for individual shareholders for the fiscal year.
83
The CRSP US Total Market Index
(the “Index”) is a product of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and has been licensed for use by
Vanguard. CRSP® is a trademark of CRSP; and has been licensed by CRSP for use for certain purposes by Vanguard. The Vanguard Total Stock Market Index Fund is not sponsored, endorsed, sold or promoted by CRSP or
University. Neither CRSP nor University makes any representation or warranty, express or implied, to the owners of the Vanguard Total Stock Market Index Fund or any member of the public regarding the advisability of
investing in securities generally or in Vanguard Total Stock Market Index Fund particularly or the ability of the Index to track general market performance. The Index is determined, composed and calculated without
regard to Vanguard or the Vanguard Total Stock Market Index Fund. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Total Stock Market Index Fund into
consideration in determining, composing or calculating the Index. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices and amount of Vanguard Total Stock
Market Index Fund or the timing of the issuance or sale of Vanguard Total Stock Market Index Fund or in the determination or calculation of the equation by which Vanguard Total Stock Market Index Fund is to be
converted into cash, surrendered or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Total Stock
Market Index Fund. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment
advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE
UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING
ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY
EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE
VANGUARD TOTAL STOCK MARKET INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR
THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF
THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS,
IF ANY, OF CRSP.
84
The People Who Govern Your Fund
The trustees of your mutual
fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The
Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s
board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board
members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 208 Vanguard funds.
Information for each trustee
and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box
876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
1 Mr.
Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
Item 2: Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert.
All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
| (a) | Audit Fees. |
Audit Fees of the Registrant.
Fiscal Year Ended December 31, 2023: $668,000
Fiscal Year Ended December 31, 2022: $632,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2023: $9,326,156
Fiscal Year Ended December 31, 2022: $10,494,508
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
| (b) | Audit-Related Fees. |
Fiscal Year Ended December 31, 2023: $3,295,934
Fiscal Year Ended December 31, 2022: $2,757,764
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
| (c) | Tax Fees. |
Fiscal Year Ended December 31, 2023: $1,678,928
Fiscal Year Ended December 31, 2022: $5,202,689
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
| (d) | All Other Fees. |
Fiscal Year Ended December 31, 2023: $25,000
Fiscal Year Ended December 31, 2022: $298,000
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2023: $1,703,928
Fiscal Year Ended December 31, 2022: $5,500,689
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Not applicable. The complete schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in the Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control during the period covered by this report, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13: Exhibits.
| (a)(1) | Code of Ethics filed herewith. |
| (a)(2) | Certifications filed herewith. |
| (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: February 23, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD INDEX FUNDS | ||
| BY: | /s/ MORTIMER J. BUCKLEY* | |
| MORTIMER J. BUCKLEY | ||
| CHIEF EXECUTIVE OFFICER | ||
Date: February 23, 2024
| VANGUARD INDEX FUNDS | ||
| BY: | /s/ CHRISTINE BUCHANAN* | |
| CHRISTINE BUCHANAN | ||
| CHIEF FINANCIAL OFFICER | ||
Date: February 23, 2024
| * By: | /s/ Anne E. Robinson |
Anne E. Robinson, pursuant to a Power of Attorney filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.
