N-CSR 1 tm242570d1_ncsr.htm N-CSR

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-02652

 

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.
    Shares Market
Value

($000)
Common Stocks (99.6%)
Communication Services (8.5%)
* Alphabet Inc. Class A 144,509,039  20,186,468
* Meta Platforms Inc. Class A  54,200,007  19,184,634
* Alphabet Inc. Class C 121,624,966  17,140,606
* Netflix Inc.  10,587,876   5,155,025
  Comcast Corp. Class A  98,052,056   4,299,583
  Walt Disney Co.  44,683,849   4,034,505
  Verizon Communications Inc. 102,662,958   3,870,394
  AT&T Inc. 174,606,397   2,929,895
  T-Mobile US Inc.  12,424,521   1,992,023
* Charter Communications Inc. Class A   2,455,884     954,553
  Electronic Arts Inc.   5,976,212     817,606
* Take-Two Interactive Software Inc.   3,861,695     621,540
* Warner Bros Discovery Inc.  54,181,706     616,588
  Omnicom Group Inc.   4,835,350     418,306
* Live Nation Entertainment Inc.   3,466,690     324,482
  Interpublic Group of Cos. Inc.   9,352,490     305,265
  News Corp. Class A  12,202,001     299,559
* Match Group Inc.   6,637,240     242,259
  Fox Corp. Class A   5,977,661     177,357
1 Paramount Global Class B  11,774,681     174,148
  Fox Corp. Class B   3,286,597      90,874
  News Corp. Class B       1,428          37
       83,835,707
Consumer Discretionary (10.8%)
* Amazon.com Inc. 222,063,192  33,740,281
* Tesla Inc.  67,534,747  16,781,034
  Home Depot Inc.  24,420,596   8,462,958
  McDonald's Corp.  17,712,117   5,251,820
  NIKE Inc. Class B  29,889,659   3,245,120
  Lowe's Cos. Inc.  14,093,315   3,136,467
* Booking Holdings Inc.     852,064   3,022,458
  Starbucks Corp.  27,902,973   2,678,964
    Shares Market
Value

($000)
  TJX Cos. Inc.  27,939,258   2,620,982
* Chipotle Mexican Grill Inc.     670,127   1,532,554
* Airbnb Inc. Class A  10,617,698   1,445,493
* Lululemon Athletica Inc.   2,811,535   1,437,510
* O'Reilly Automotive Inc.   1,444,697   1,372,578
  Marriott International Inc. Class A   6,023,765   1,358,419
  General Motors Co.  33,437,882   1,201,089
  Ford Motor Co.  96,006,048   1,170,314
  Ross Stores Inc.   8,267,869   1,144,190
  Hilton Worldwide Holdings Inc.   6,261,561   1,140,168
  DR Horton Inc.   7,357,619   1,118,211
* AutoZone Inc.     430,533   1,113,190
  Lennar Corp. Class A   6,045,529     901,026
  Yum! Brands Inc.   6,844,002     894,237
* Royal Caribbean Cruises Ltd.   5,755,863     745,327
* Aptiv plc   6,906,151     619,620
* Ulta Beauty Inc.   1,202,055     588,995
  Tractor Supply Co.   2,639,680     567,610
  eBay Inc.  12,672,899     552,792
  PulteGroup Inc.   5,263,004     543,247
* NVR Inc.      77,516     542,647
* Expedia Group Inc.   3,255,653     494,176
  Darden Restaurants Inc.   2,937,601     482,648
  Garmin Ltd.   3,736,865     480,337
  Genuine Parts Co.   3,422,913     474,073
* Carnival Corp.  24,597,900     456,045
  Las Vegas Sands Corp.   9,011,932     443,477
  Pool Corp.     944,450     376,562
  Best Buy Co. Inc.   4,729,631     370,235
  Domino's Pizza Inc.     851,789     351,133
  LKQ Corp.   6,534,086     312,264
* MGM Resorts International   6,672,901     298,145
* CarMax Inc.   3,876,418     297,476
* Caesars Entertainment Inc.   5,266,193     246,879
  Bath & Body Works Inc.   5,552,172     239,632
7

 

500 Index Fund
    Shares Market
Value

($000)
* Etsy Inc.   2,924,078     236,996
  Wynn Resorts Ltd.   2,344,307     213,590
*,1 Norwegian Cruise Line Holdings Ltd.  10,387,593     208,167
  Tapestry Inc.   5,596,209     205,996
  BorgWarner Inc. (XNYS)   5,737,271     205,681
  Whirlpool Corp.   1,341,460     163,350
  Hasbro Inc.   3,183,894     162,570
  VF Corp.   8,068,224     151,683
  Ralph Lauren Corp.     971,539     140,096
* Mohawk Industries Inc.   1,289,678     133,482
  Lennar Corp. Class B      74,560       9,995
      106,083,989
Consumer Staples (6.1%)
  Procter & Gamble Co.  57,549,941   8,433,368
  Costco Wholesale Corp.  10,811,228   7,136,275
  PepsiCo Inc.  33,573,094   5,702,054
  Coca-Cola Co.  95,013,906   5,599,170
  Walmart Inc.  34,833,145   5,491,445
  Philip Morris International Inc.  37,910,936   3,566,661
  Mondelez International Inc. Class A  33,223,370   2,406,369
  Altria Group Inc.  43,184,653   1,742,069
  Target Corp.  11,270,409   1,605,132
  Colgate-Palmolive Co.  20,104,105   1,602,498
* Monster Beverage Corp.  18,037,115   1,039,118
  Kimberly-Clark Corp.   8,251,817   1,002,678
  Constellation Brands Inc. Class A   3,946,415     954,046
  Archer-Daniels-Midland Co.  13,023,613     940,565
  General Mills Inc.  14,193,544     924,567
  Kenvue Inc.  42,082,651     906,040
  Sysco Corp.  12,310,056     900,234
  Estee Lauder Cos. Inc. Class A   5,674,415     829,883
  Keurig Dr Pepper Inc.  24,594,503     819,489
  Dollar General Corp.   5,358,750     728,522
* Dollar Tree Inc.   5,102,990     724,880
  Kraft Heinz Co.  19,467,090     719,893
  Kroger Co.  15,163,248     693,112
  Hershey Co.   3,659,782     682,330
  Church & Dwight Co. Inc.   6,016,232     568,895
  Walgreens Boots Alliance Inc.  17,513,723     457,283
  Clorox Co.   3,029,853     432,027
  McCormick & Co. Inc.   6,135,965     419,823
  Lamb Weston Holdings Inc.   3,538,878     382,517
  Tyson Foods Inc. Class A   6,964,807     374,358
  Kellanova   6,447,658     360,489
  Bunge Global SA   3,547,808     358,151
  Conagra Brands Inc.  11,665,693     334,339
  J M Smucker Co.   2,591,190     327,475
    Shares Market
Value

($000)
  Molson Coors Beverage Co. Class B   4,521,513     276,762
  Brown-Forman Corp. Class B   4,465,573     254,984
  Hormel Foods Corp.   7,066,040     226,891
  Campbell Soup Co.   4,797,552     207,398
       60,131,790
Energy (3.9%)
  Exxon Mobil Corp.  97,814,514   9,779,495
  Chevron Corp.  42,870,453   6,394,557
  ConocoPhillips  28,997,282   3,365,715
  Schlumberger NV  34,887,219   1,815,531
  EOG Resources Inc.  14,242,060   1,722,577
  Phillips 66  10,742,292   1,430,229
  Marathon Petroleum Corp.   9,271,759   1,375,558
  Pioneer Natural Resources Co.   5,698,610   1,281,503
  Valero Energy Corp.   8,313,385   1,080,740
  Williams Cos. Inc.  29,701,354   1,034,498
  ONEOK Inc.  14,223,348     998,763
  Hess Corp.   6,749,490     973,006
  Occidental Petroleum Corp.  16,121,424     962,610
  Baker Hughes Co.  24,568,132     839,739
  Kinder Morgan Inc.  47,215,904     832,889
  Halliburton Co.  21,854,154     790,028
  Devon Energy Corp.  15,643,458     708,649
  Diamondback Energy Inc.   4,371,798     677,978
  Targa Resources Corp.   5,443,834     472,906
  Coterra Energy Inc.  18,365,398     468,685
  EQT Corp.  10,039,977     388,146
  Marathon Oil Corp.  14,291,428     345,281
  APA Corp.   7,489,382     268,719
       38,007,802
Financials (12.9%)
* Berkshire Hathaway Inc. Class B  44,428,377  15,845,825
  JPMorgan Chase & Co.  70,594,395  12,008,107
  Visa Inc. Class A  38,673,124  10,068,548
  Mastercard Inc. Class A  20,220,757   8,624,355
  Bank of America Corp. 168,131,956   5,661,003
  Wells Fargo & Co.  88,683,351   4,364,995
  S&P Global Inc.   7,911,730   3,485,275
  Morgan Stanley  30,862,576   2,877,935
  Goldman Sachs Group Inc.   7,314,427   2,821,687
  BlackRock Inc.   3,414,804   2,772,138
  American Express Co.  14,059,475   2,633,902
  Charles Schwab Corp.  36,343,038   2,500,401
  Citigroup Inc.  46,130,878   2,372,972
  Marsh & McLennan Cos. Inc.  12,041,085   2,281,424
  Progressive Corp.  14,287,553   2,275,721
  Blackstone Inc.  17,348,538   2,271,271
  Chubb Ltd.   9,963,497   2,251,750
* Fiserv Inc.  14,654,498   1,946,704
 
8

 

500 Index Fund
    Shares Market
Value

($000)
  CME Group Inc.   8,789,452   1,851,059
  Intercontinental Exchange Inc.  13,978,722   1,795,287
  US Bancorp  38,016,932   1,645,373
* PayPal Holdings Inc.  26,325,168   1,616,629
  PNC Financial Services Group Inc.   9,726,394   1,506,132
  Moody's Corp.   3,843,828   1,501,245
  Aon plc Class A (XNYS)   4,888,647   1,422,694
  Capital One Financial Corp.   9,298,794   1,219,258
  Truist Financial Corp.  32,575,075   1,202,672
  Arthur J Gallagher & Co.   5,272,292   1,185,633
  American International Group Inc.  17,141,408   1,161,330
  MSCI Inc.   1,931,155   1,092,358
  Aflac Inc.  12,984,336   1,071,208
  Travelers Cos. Inc.   5,576,576   1,062,282
  MetLife Inc.  15,181,599   1,003,959
  Bank of New York Mellon Corp.  18,778,540     977,423
  Ameriprise Financial Inc.   2,470,869     938,510
  Prudential Financial Inc.   8,814,216     914,122
  Allstate Corp.   6,389,310     894,376
  Discover Financial Services   6,105,386     686,245
* Arch Capital Group Ltd.   9,111,049     676,678
  Fidelity National Information Services Inc.  11,105,984     667,136
  Global Payments Inc.   5,004,141     635,526
  Willis Towers Watson plc   2,521,341     608,147
  Hartford Financial Services Group Inc.   7,343,113     590,239
  T Rowe Price Group Inc.   5,456,369     587,596
  State Street Corp.   7,535,222     583,678
  Fifth Third Bancorp  16,624,710     573,386
  M&T Bank Corp.   4,052,480     555,514
  Raymond James Financial Inc.   4,588,270     511,592
* FleetCor Technologies Inc.   1,762,966     498,232
  Nasdaq Inc.   8,311,333     483,221
  Cboe Global Markets Inc.   2,577,209     460,186
  Huntington Bancshares Inc.  35,363,297     449,821
  FactSet Research Systems Inc.     927,407     442,420
  Regions Financial Corp.  22,714,703     440,211
  Northern Trust Corp.   5,054,088     426,464
  Principal Financial Group Inc.   5,355,720     421,335
  Brown & Brown Inc.   5,766,710     410,071
    Shares Market
Value

($000)
  Cincinnati Financial Corp.   3,834,387     396,706
  Synchrony Financial  10,105,017     385,911
  Citizens Financial Group Inc.  11,386,572     377,351
  Everest Group Ltd.   1,059,524     374,627
  W R Berkley Corp.   4,973,825     351,749
  KeyCorp.  22,850,322     329,045
  Loews Corp.   4,473,596     311,318
  Jack Henry & Associates Inc.   1,778,281     290,589
  MarketAxess Holdings Inc.     925,458     271,020
  Globe Life Inc.   2,093,147     254,778
  Assurant Inc.   1,284,257     216,384
  Franklin Resources Inc.   6,884,838     205,099
  Invesco Ltd.  10,733,422     191,484
  Comerica Inc.   3,225,519     180,016
  Zions Bancorp NA   3,614,185     158,554
      126,127,892
Health Care (12.6%)
  UnitedHealth Group Inc.  22,585,620  11,890,651
  Eli Lilly & Co.  19,471,847  11,350,529
  Johnson & Johnson  58,782,151   9,213,514
  Merck & Co. Inc.  61,877,450   6,745,880
  AbbVie Inc.  43,110,763   6,680,875
  Thermo Fisher Scientific Inc.   9,434,887   5,007,944
  Abbott Laboratories  42,376,428   4,664,373
  Pfizer Inc. 137,882,469   3,969,636
  Amgen Inc.  13,068,493   3,763,987
  Danaher Corp.  16,059,299   3,715,158
* Intuitive Surgical Inc.   8,597,869   2,900,577
  Elevance Health Inc.   5,736,997   2,705,338
  Medtronic plc  32,492,652   2,676,745
* Vertex Pharmaceuticals Inc.   6,292,668   2,560,424
  Bristol-Myers Squibb Co.  49,684,005   2,549,286
  CVS Health Corp.  31,366,906   2,476,731
  Stryker Corp.   8,256,850   2,472,596
  Gilead Sciences Inc.  30,429,179   2,465,068
* Regeneron Pharmaceuticals Inc.   2,616,191   2,297,774
  Zoetis Inc.  11,212,243   2,212,960
  Cigna Group   7,144,885   2,139,536
* Boston Scientific Corp.  35,750,084   2,066,712
  Becton Dickinson & Co.   7,083,181   1,727,092
  McKesson Corp.   3,248,974   1,504,210
  Humana Inc.   3,005,911   1,376,136
  HCA Healthcare Inc.   4,836,323   1,309,096
* DexCom Inc.   9,433,606   1,170,616
* Edwards Lifesciences Corp.  14,808,187   1,129,124
* IDEXX Laboratories Inc.   2,028,952   1,126,170
 
9

 

500 Index Fund
    Shares Market
Value

($000)
* IQVIA Holdings Inc.   4,470,775   1,034,448
  Agilent Technologies Inc.   7,143,615     993,177
* Centene Corp.  13,043,615     967,967
* Biogen Inc.   3,537,844     915,488
  Cencora Inc.   4,070,305     835,959
* Moderna Inc.   8,102,097     805,754
  GE Healthcare Inc.   9,563,156     739,423
* Mettler-Toledo International Inc.     529,427     642,174
  West Pharmaceutical Services Inc.   1,807,172     636,341
  Zimmer Biomet Holdings Inc.   5,102,386     620,960
  ResMed Inc.   3,592,809     618,035
  Cardinal Health Inc.   6,018,304     606,645
* Illumina Inc.   3,877,128     539,851
  STERIS plc   2,412,972     530,492
* Molina Healthcare Inc.   1,423,447     514,306
  Baxter International Inc.  12,389,570     478,981
* Align Technology Inc.   1,739,343     476,580
* Waters Corp.   1,444,469     475,563
  Laboratory Corp. of America Holdings   2,073,175     471,212
  Cooper Cos. Inc.   1,208,868     457,484
* Hologic Inc.   5,980,479     427,305
  Quest Diagnostics Inc.   2,747,569     378,835
* Insulet Corp.   1,704,661     369,877
  Revvity Inc.   3,012,960     329,347
  Viatris Inc.  29,283,828     317,144
  Bio-Techne Corp.   3,860,817     297,901
* Charles River Laboratories International Inc.   1,251,779     295,921
  Teleflex Inc.   1,147,351     286,081
* Incyte Corp.   4,541,566     285,165
* Henry Schein Inc.   3,188,045     241,367
  Universal Health Services Inc. Class B   1,489,756     227,098
* Catalent Inc.   4,399,263     197,659
  DENTSPLY SIRONA Inc.   5,168,107     183,933
* Bio-Rad Laboratories Inc. Class A     511,608     165,193
* DaVita Inc.   1,314,706     137,729
*,2 ABIOMED Inc. CVR         180          —
      123,370,133
Industrials (8.8%)
  Caterpillar Inc.  12,457,691   3,683,366
  Union Pacific Corp.  14,885,984   3,656,295
* Boeing Co.  13,887,000   3,619,785
  General Electric Co.  26,577,986   3,392,148
  Honeywell International Inc.  16,099,526   3,376,232
* Uber Technologies Inc.  50,251,724   3,093,999
  RTX Corp.  35,108,667   2,954,043
  United Parcel Service Inc. Class B (XNYS)  17,662,500   2,777,075
  Deere & Co.   6,539,981   2,615,142
    Shares Market
Value

($000)
  Lockheed Martin Corp.   5,392,437   2,444,068
  Eaton Corp. plc   9,751,379   2,348,327
  Automatic Data Processing Inc.  10,044,332   2,340,028
  Illinois Tool Works Inc.   6,687,242   1,751,656
  CSX Corp.  48,251,313   1,672,873
  Northrop Grumman Corp.   3,460,889   1,620,181
  Waste Management Inc.   8,949,102   1,602,784
  3M Co.  13,485,495   1,474,234
  Parker-Hannifin Corp.   3,137,208   1,445,312
  General Dynamics Corp.   5,532,235   1,436,555
  FedEx Corp.   5,647,562   1,428,664
  TransDigm Group Inc.   1,350,549   1,366,215
  Trane Technologies plc   5,576,684   1,360,153
  Emerson Electric Co.  13,919,619   1,354,797
  Norfolk Southern Corp.   5,521,489   1,305,170
  Cintas Corp.   2,113,813   1,273,911
  PACCAR Inc.  12,771,452   1,247,132
  Carrier Global Corp.  20,486,123   1,176,928
* Copart Inc.  21,343,240   1,045,819
  L3Harris Technologies Inc.   4,627,804     974,708
  Johnson Controls International plc  16,610,859     957,450
  United Rentals Inc.   1,654,985     949,002
  Paychex Inc.   7,851,437     935,185
  AMETEK Inc.   5,635,108     929,173
  Fastenal Co.  13,951,496     903,638
  Otis Worldwide Corp.   9,993,103     894,083
  WW Grainger Inc.   1,078,533     893,770
  Old Dominion Freight Line Inc.   2,184,742     885,541
  Rockwell Automation Inc.   2,799,796     869,281
  Verisk Analytics Inc.   3,540,915     845,783
  Cummins Inc.   3,461,006     829,153
  Republic Services Inc.   4,993,194     823,428
  Quanta Services Inc.   3,547,390     765,527
  Ingersoll Rand Inc. (XYNS)   9,885,801     764,568
  Equifax Inc.   3,008,507     743,974
  Xylem Inc.   5,885,662     673,084
  Delta Air Lines Inc.  15,709,480     631,992
  Fortive Corp.   8,580,795     631,804
  Broadridge Financial Solutions Inc.   2,872,262     590,968
  Westinghouse Air Brake Technologies Corp.   4,374,434     555,116
  Dover Corp.   3,415,709     525,370
  Howmet Aerospace Inc.   9,550,285     516,861
* Builders FirstSource Inc.   3,013,992     503,156
  Expeditors International of Washington Inc.   3,552,522     451,881
 
10

 

500 Index Fund
    Shares Market
Value

($000)
* Axon Enterprise Inc.   1,719,717     444,254
  Veralto Corp.   5,354,162     440,433
  Hubbell Inc.   1,309,511     430,737
  Southwest Airlines Co.  14,560,535     420,508
  IDEX Corp.   1,845,929     400,770
  Jacobs Solutions Inc.   3,076,725     399,359
  JB Hunt Transport Services Inc.   1,989,458     397,374
  Textron Inc.   4,785,935     384,885
  Snap-on Inc.   1,288,697     372,227
  Stanley Black & Decker Inc.   3,746,336     367,516
  Masco Corp.   5,485,817     367,440
  Leidos Holdings Inc.   3,357,875     363,456
  Nordson Corp.   1,323,796     349,694
* United Airlines Holdings Inc.   8,007,988     330,410
  Rollins Inc.   6,854,375     299,331
  Pentair plc   4,037,909     293,596
  Allegion plc   2,142,933     271,488
* Ceridian HCM Holding Inc.   3,811,220     255,809
  Huntington Ingalls Industries Inc.     969,956     251,839
  Paycom Software Inc.   1,197,504     247,548
  A O Smith Corp.   2,999,138     247,249
  CH Robinson Worldwide Inc.   2,848,249     246,060
  Robert Half Inc.   2,585,618     227,328
* American Airlines Group Inc.  15,954,881     219,220
* Generac Holdings Inc.   1,500,065     193,868
       86,129,787
Information Technology (28.8%)
  Apple Inc. 356,991,624  68,731,597
  Microsoft Corp. 181,486,386  68,246,141
  NVIDIA Corp.  60,314,285  29,868,840
  Broadcom Inc.  10,718,471  11,964,493
* Adobe Inc.  11,117,898   6,632,938
* Salesforce Inc.  23,759,517   6,252,079
* Advanced Micro Devices Inc.  39,453,055   5,815,775
  Accenture plc Class A  15,325,475   5,377,862
  Intel Corp. 102,949,705   5,173,223
  Cisco Systems Inc.  98,910,913   4,996,979
  Intuit Inc.   6,843,673   4,277,501
  Oracle Corp.  38,797,943   4,090,467
  QUALCOMM Inc.  27,178,686   3,930,853
  Texas Instruments Inc.  22,177,963   3,780,456
  International Business Machines Corp.  22,297,573   3,646,768
* ServiceNow Inc.   5,005,970   3,536,668
  Applied Materials Inc.  20,428,053   3,310,775
  Lam Research Corp.   3,217,895   2,520,448
  Analog Devices Inc.  12,169,513   2,416,378
  Micron Technology Inc.  26,815,522   2,288,437
* Palo Alto Networks Inc.   7,590,261   2,238,216
  KLA Corp.   3,319,775   1,929,785
    Shares Market
Value

($000)
* Synopsys Inc.   3,713,217   1,911,973
* Cadence Design Systems Inc.   6,642,632   1,809,254
* Arista Networks Inc.   6,152,594   1,448,997
  Amphenol Corp. Class A  14,613,453   1,448,632
  NXP Semiconductors NV   6,293,513   1,445,494
  Roper Technologies Inc.   2,608,874   1,422,280
* Autodesk Inc.   5,219,454   1,270,833
  Motorola Solutions Inc.   4,052,444   1,268,780
  Microchip Technology Inc.  13,210,388   1,191,313
  TE Connectivity Ltd.   7,588,470   1,066,180
  Cognizant Technology Solutions Corp. Class A  12,242,850     924,702
* Fortinet Inc.  15,562,899     910,896
* ON Semiconductor Corp.  10,515,923     878,395
* Gartner Inc.   1,903,410     858,647
* ANSYS Inc.   2,119,158     769,000
  CDW Corp.   3,270,885     743,538
  Monolithic Power Systems Inc.   1,169,832     737,907
* Fair Isaac Corp.     603,475     702,451
* Keysight Technologies Inc.   4,335,901     689,798
  HP Inc.  21,235,122     638,965
  Corning Inc.  18,748,999     570,907
  Hewlett Packard Enterprise Co.  31,324,804     531,895
* Teledyne Technologies Inc.   1,152,958     514,554
* PTC Inc.   2,901,387     507,627
* First Solar Inc.   2,607,896     449,288
  NetApp Inc.   5,096,149     449,276
* VeriSign Inc.   2,168,999     446,727
* Enphase Energy Inc.   3,334,224     440,584
  Skyworks Solutions Inc.   3,891,965     437,535
* Akamai Technologies Inc.   3,682,997     435,883
* Tyler Technologies Inc.   1,027,425     429,587
* EPAM Systems Inc.   1,408,911     418,926
* Western Digital Corp.   7,916,715     414,598
  Seagate Technology Holdings plc   4,750,181     405,523
  Teradyne Inc.   3,733,188     405,126
  Jabil Inc.   3,125,175     398,147
* Zebra Technologies Corp. Class A   1,255,168     343,075
* Trimble Inc.   6,073,230     323,096
  Gen Digital Inc. (XNGS)  13,760,511     314,015
* Qorvo Inc.   2,377,149     267,691
* F5 Inc.   1,457,890     260,933
  Juniper Networks Inc.   7,786,560     229,548
      282,159,255
 
11

 

500 Index Fund
    Shares Market
Value

($000)
Materials (2.4%)
  Linde plc  11,840,545   4,863,030
  Sherwin-Williams Co.   5,749,857   1,793,380
  Freeport-McMoRan Inc.  35,012,772   1,490,494
  Air Products and Chemicals Inc.   5,424,126   1,485,126
  Ecolab Inc.   6,196,074   1,228,991
  Newmont Corp.  28,139,597   1,164,698
  Nucor Corp.   6,002,812   1,044,729
  Dow Inc.  17,126,145     939,198
  PPG Industries Inc.   5,757,370     861,015
  Corteva Inc.  17,207,025     824,561
  DuPont de Nemours Inc.  10,501,925     807,913
  Martin Marietta Materials Inc.   1,509,061     752,886
  Vulcan Materials Co.   3,244,158     736,456
  LyondellBasell Industries NV Class A   6,256,800     594,896
  International Flavors & Fragrances Inc.   6,233,145     504,698
  Ball Corp.   7,700,031     442,906
  Steel Dynamics Inc.   3,716,569     438,927
1 Albemarle Corp.   2,864,463     413,858
  Avery Dennison Corp.   1,966,617     397,571
  Celanese Corp.   2,446,637     380,134
  CF Industries Holdings Inc.   4,665,266     370,889
  Packaging Corp. of America   2,189,917     356,759
  Amcor plc  35,302,733     340,318
  International Paper Co.   8,447,001     305,359
  Mosaic Co.   7,980,985     285,160
  Eastman Chemical Co.   2,893,795     259,921
  Westrock Co.   6,256,544     259,772
  FMC Corp.   3,045,018     191,988
       23,535,633
Real Estate (2.5%)
  Prologis Inc.  22,564,049   3,007,788
  American Tower Corp.  11,384,264   2,457,635
  Equinix Inc.   2,292,927   1,846,700
  Crown Castle Inc.  10,596,628   1,220,626
  Welltower Inc.  13,513,718   1,218,532
  Public Storage   3,863,920   1,178,496
  Simon Property Group Inc.   7,965,841   1,136,247
  Realty Income Corp.  17,674,542   1,014,872
  Digital Realty Trust Inc.   7,394,467     995,147
* CoStar Group Inc.   9,970,635     871,334
  Extra Space Storage Inc.   5,158,619     827,081
  VICI Properties Inc.  22,608,432     720,757
* CBRE Group Inc. Class A   7,442,488     692,821
  SBA Communications Corp.   2,634,203     668,271
    Shares Market
Value

($000)
  AvalonBay Communities Inc.   3,467,662     649,216
  Weyerhaeuser Co.  17,824,044     619,742
  Equity Residential   8,439,873     516,183
  Iron Mountain Inc.   7,128,627     498,861
  Ventas Inc.   9,825,053     489,681
  Alexandria Real Estate Equities Inc.   3,818,779     484,107
  Invitation Homes Inc.  14,045,519     479,093
  Essex Property Trust Inc.   1,568,603     388,919
  Mid-America Apartment Communities Inc.   2,849,443     383,136
  Kimco Realty Corp.  16,237,850     346,029
  Host Hotels & Resorts Inc.  17,225,473     335,380
  UDR Inc.   7,389,913     282,960
  Regency Centers Corp.   4,009,409     268,630
  Healthpeak Properties Inc.  13,349,983     264,330
  Camden Property Trust   2,611,161     259,262
  Boston Properties Inc.   3,523,113     247,217
  Federal Realty Investment Trust   1,794,871     184,961
       24,554,014
Utilities (2.3%)
  NextEra Energy Inc.  50,102,430   3,043,221
  Southern Co.  26,635,420   1,867,676
  Duke Energy Corp.  18,822,796   1,826,564
  Sempra  15,365,966   1,148,299
  American Electric Power Co. Inc.  12,839,145   1,042,795
  Dominion Energy Inc.  20,431,548     960,283
  PG&E Corp.  52,115,806     939,648
  Constellation Energy Corp.   7,798,126     911,523
  Exelon Corp.  24,304,924     872,547
  Xcel Energy Inc.  13,472,991     834,113
  Consolidated Edison Inc.   8,429,250     766,809
  Public Service Enterprise Group Inc.  12,167,456     744,040
  Edison International   9,358,234     669,020
  WEC Energy Group Inc.   7,702,077     648,284
  American Water Works Co. Inc.   4,754,122     627,496
  DTE Energy Co.   5,034,181     555,069
  Eversource Energy   8,529,349     526,431
  Entergy Corp.   5,163,463     522,491
  PPL Corp.  17,998,168     487,750
  Ameren Corp.   6,420,136     464,433
  FirstEnergy Corp.  12,608,858     462,241
  CenterPoint Energy Inc.  15,413,077     440,351
  Atmos Energy Corp.   3,628,712     420,568
  CMS Energy Corp.   7,121,489     413,545
  Alliant Energy Corp.   6,231,681     319,685
 
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.
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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
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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.).
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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:  
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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.
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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.
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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
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Tax information (unaudited)
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.
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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.
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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.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial
 
1  Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

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

 

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

 

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© 2024 The Vanguard Group, Inc.
All rights reserved.
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Q400 022024

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
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.
          Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (3.9%)
Reliance Steel & Aluminum Co.  1,463,615     409,344
* Cleveland-Cliffs Inc. 12,857,161     262,543
United States Steel Corp.  5,112,020     248,700
Steel Dynamics Inc.  1,957,481     231,178
* RBC Bearings Inc.    740,709     211,021
Royal Gold Inc.  1,672,945     202,359
UFP Industries Inc.  1,495,463     187,755
Olin Corp.  3,121,010     168,378
Hexcel Corp.  2,142,048     157,976
Alcoa Corp.  4,545,033     154,531
Commercial Metals Co.  2,977,173     148,978
Eastman Chemical Co.  1,508,093     135,457
Element Solutions Inc.  5,843,056     135,208
Boise Cascade Co.  1,008,209     130,422
Timken Co.  1,617,070     129,608
Mueller Industries Inc.  2,746,654     129,505
* Valvoline Inc.  3,327,453     125,046
Balchem Corp.    821,086     122,137
Chemours Co.  3,780,184     119,227
Cabot Corp.  1,408,544     117,613
Huntsman Corp.  4,303,874     108,156
FMC Corp.  1,586,868     100,052
NewMarket Corp.    183,157      99,973
Ashland Inc.  1,174,863      99,053
Avient Corp.  2,321,591      96,508
Carpenter Technology Corp.  1,192,949      84,461
*,1 Livent Corp.  4,579,180      82,334
Innospec Inc.    633,241      78,041
Quaker Chemical Corp.    343,527      73,315
Hecla Mining Co. 14,957,025      71,943
* MP Materials Corp.  3,622,655      71,910
Sensient Technologies Corp.  1,075,934      71,012
Scotts Miracle-Gro Co.  1,080,124      68,858
          Shares Market
Value

($000)
Materion Corp.    525,681      68,407
Minerals Technologies Inc.    828,774      59,100
Westlake Corp.    407,899      57,090
Stepan Co.    541,161      51,167
Tronox Holdings plc  2,994,774      42,406
* Ingevity Corp.    830,394      39,211
* Coeur Mining Inc.  8,768,643      28,586
Kaiser Aluminum Corp.    387,444      27,582
Compass Minerals International Inc.  1,048,059      26,537
* Ecovyst Inc.  2,661,397      26,002
Koppers Holdings Inc.    503,769      25,803
* Worthington Steel Inc.    827,080      23,241
Mativ Holdings Inc.  1,311,268      20,075
Schnitzer Steel Industries Inc. Class A    626,007      18,880
* Century Aluminum Co.  1,294,260      15,712
GrafTech International Ltd.  4,905,059      10,742
                     5,173,143
Consumer Discretionary (16.2%)
* Deckers Outdoor Corp.    655,281     438,009
* DraftKings Inc. Class A 10,685,556     376,666
* Liberty Media Corp.-Liberty Formula One Class C  5,282,278     333,470
Williams-Sonoma Inc.  1,633,301     329,567
RB Global Inc.  4,643,367     310,595
* Floor & Decor Holdings Inc. Class A  2,578,250     287,630
* Five Below Inc.  1,347,292     287,189
Toll Brothers Inc.  2,737,019     281,338
Bath & Body Works Inc.  5,790,307     249,910
* Etsy Inc.  3,047,925     247,034
Service Corp. International  3,574,509     244,675
7

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* Caesars Entertainment Inc.  5,215,930     244,523
Lithia Motors Inc. Class A    700,826     230,768
Churchill Downs Inc.  1,709,723     230,693
* American Airlines Group Inc. 16,643,360     228,680
* BJ's Wholesale Club Holdings Inc.  3,396,780     226,429
Wynn Resorts Ltd.  2,444,939     222,758
*,1 Norwegian Cruise Line Holdings Ltd. 10,834,131     217,116
Tapestry Inc.  5,836,524     214,842
BorgWarner Inc.  5,982,848     214,485
Tempur Sealy International Inc.  4,167,833     212,434
* Skechers USA Inc. Class A  3,402,265     212,097
Lear Corp.  1,483,688     209,512
Texas Roadhouse Inc. Class A  1,700,761     207,884
Vail Resorts Inc.    970,037     207,074
Dick's Sporting Goods Inc.  1,407,461     206,826
* Duolingo Inc. Class A    866,072     196,468
Gentex Corp.  5,940,145     194,005
New York Times Co. Class A  3,958,696     193,937
* elf Beauty Inc.  1,335,425     192,755
Wingstop Inc.    749,107     192,206
* Light & Wonder Inc.  2,293,269     188,300
PVH Corp.  1,538,885     187,929
Aramark  6,659,731     187,138
* SiteOne Landscape Supply Inc.  1,149,192     186,744
Pool Corp.    467,901     186,557
H&R Block Inc.  3,665,468     177,299
U-Haul Holding Co. (XNYS)  2,472,117     174,136
Murphy USA Inc.    487,666     173,882
Hasbro Inc.  3,357,135     171,415
Whirlpool Corp.  1,396,907     170,101
Wyndham Hotels & Resorts Inc.  2,112,796     169,890
* Mattel Inc.  8,995,632     169,838
VF Corp.  8,913,167     167,568
Meritage Homes Corp.    928,259     161,703
Interpublic Group of Cos. Inc.  4,876,992     159,185
* Planet Fitness Inc. Class A  2,175,811     158,834
* CarMax Inc.  2,018,223     154,878
Thor Industries Inc.  1,288,972     152,421
* Capri Holdings Ltd.  2,959,740     148,697
Hyatt Hotels Corp. Class A  1,126,157     146,862
          Shares Market
Value

($000)
Macy's Inc.  6,970,183     140,240
* Bright Horizons Family Solutions Inc.  1,474,632     138,969
* Taylor Morrison Home Corp. Class A  2,599,596     138,688
*,1 Carvana Co. Class A  2,613,362     138,351
* Wayfair Inc. Class A  2,231,934     137,710
* Crocs Inc.  1,465,349     136,878
Ralph Lauren Corp. Class A    911,127     131,385
* AutoNation Inc.    866,327     130,105
TKO Group Holdings Inc. Class A  1,592,410     129,909
Polaris Inc.  1,366,267     129,481
Nexstar Media Group Inc. Class A    820,936     128,682
* Alaska Air Group Inc.  3,261,095     127,411
* Coty Inc. Class A 10,218,491     126,914
Academy Sports & Outdoors Inc.  1,898,198     125,281
* Lyft Inc. Class A  8,320,499     124,724
* Asbury Automotive Group Inc.    524,032     117,891
Harley-Davidson Inc.  3,192,089     117,597
Signet Jewelers Ltd.  1,085,950     116,479
*,1 GameStop Corp. Class A  6,607,404     115,828
* YETI Holdings Inc.  2,211,827     114,528
KB Home  1,818,024     113,554
* Liberty Media Corp.-Liberty SiriusXM Class A  3,950,930     113,550
* RH    374,859     109,264
Boyd Gaming Corp.  1,744,784     109,241
* Abercrombie & Fitch Co. Class A  1,218,313     107,480
* Goodyear Tire & Rubber Co.  7,221,003     103,405
Group 1 Automotive Inc.    334,415     101,910
* Grand Canyon Education Inc.    764,294     100,917
* Penn Entertainment Inc.  3,864,745     100,561
Gap Inc.  4,724,404      98,787
* Skyline Champion Corp.  1,320,667      98,073
* Ollie's Bargain Outlet Holdings Inc.  1,271,402      96,487
American Eagle Outfitters Inc.  4,527,570      95,803
Advance Auto Parts Inc.  1,515,298      92,479
1 Paramount Global Class B  6,213,387      91,896
Kontoor Brands Inc.  1,430,699      89,304
* Visteon Corp.    708,248      88,460
* Tri Pointe Homes Inc.  2,471,667      87,497
 
8

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Newell Brands Inc. 10,020,781      86,980
Wendy's Co.  4,464,918      86,977
* Madison Square Garden Sports Corp.    469,448      85,360
Leggett & Platt Inc.  3,225,390      84,408
MDC Holdings Inc.  1,521,098      84,041
Rush Enterprises Inc. Class A  1,643,685      82,677
Penske Automotive Group Inc.    513,551      82,430
1 Avis Budget Group Inc.    461,244      81,760
Kohl's Corp.  2,818,726      80,841
1 Choice Hotels International Inc.    697,609      79,039
* Hilton Grand Vacations Inc.  1,925,067      77,349
LCI Industries    612,676      77,020
TEGNA Inc.  5,016,317      76,750
Steven Madden Ltd.  1,805,018      75,811
Foot Locker Inc.  2,397,914      74,695
* Helen of Troy Ltd.    604,635      73,046
* Fox Factory Holding Corp.  1,079,288      72,830
* Liberty Media Corp.-Liberty SiriusXM  2,512,422      72,308
* Frontdoor Inc.  2,027,703      71,416
* Shake Shack Inc. Class A    954,840      70,773
Marriott Vacations Worldwide Corp.    814,052      69,105
Travel + Leisure Co.  1,752,130      68,491
* LGI Homes Inc.    510,065      67,920
Red Rock Resorts Inc. Class A  1,264,163      67,418
Columbia Sportswear Co.    847,530      67,413
Carter's Inc.    890,938      66,722
Inter Parfums Inc.    447,935      64,507
Papa John's International Inc.    834,160      63,588
* Stride Inc.  1,048,627      62,257
Bloomin' Brands Inc.  2,210,878      62,236
Graham Holdings Co. Class B     86,618      60,331
* Urban Outfitters Inc.  1,653,902      59,028
*,1 QuantumScape Corp. Class A  8,206,774      57,037
* Dorman Products Inc.    681,592      56,852
* Adtalem Global Education Inc.    963,611      56,805
* TripAdvisor Inc.  2,560,955      55,137
* Sonos Inc.  3,187,198      54,629
* PowerSchool Holdings Inc. Class A  2,313,296      54,501
* SkyWest Inc.  1,042,768      54,433
          Shares Market
Value

($000)
* Coursera Inc.  2,719,358      52,674
* Victoria's Secret & Co.  1,967,890      52,228
Strategic Education Inc.    559,601      51,690
* Topgolf Callaway Brands Corp.  3,524,314      50,539
* Peloton Interactive Inc. Class A  8,284,434      50,452
MillerKnoll Inc.  1,871,435      49,930
* ACV Auctions Inc. Class A  3,294,499      49,912
Laureate Education Inc.  3,606,857      49,450
*,1 Lucid Group Inc. 11,648,294      49,039
* Brinker International Inc.  1,125,704      48,608
Dana Inc.  3,308,235      48,333
* ODP Corp.    856,728      48,234
Worthington Enterprises Inc.    827,073      47,598
Acushnet Holdings Corp.    749,238      47,329
* SeaWorld Entertainment Inc.    895,660      47,318
HNI Corp.  1,126,897      47,138
* Dave & Buster's Entertainment Inc.    874,935      47,115
* JetBlue Airways Corp.  8,487,885      47,108
PriceSmart Inc.    614,542      46,570
1 Nordstrom Inc.  2,479,909      45,754
1 Spirit Airlines Inc.  2,780,142      45,567
* Six Flags Entertainment Corp.  1,808,288      45,352
* Liberty Media Corp.-Liberty Live Class C  1,206,557      45,113
* Gentherm Inc.    835,216      43,732
* Central Garden & Pet Co. Class A    991,388      43,661
1 Cracker Barrel Old Country Store Inc.    564,308      43,497
*,1 Dutch Bros Inc. Class A  1,362,603      43,154
* Sabre Corp.  9,664,106      42,522
* Under Armour Inc. Class A  4,810,343      42,283
* National Vision Holdings Inc.  1,992,649      41,706
* Knowles Corp.  2,298,600      41,168
* Under Armour Inc. Class C  4,923,208      41,109
Jack in the Box Inc.    502,629      41,030
Cheesecake Factory Inc.  1,163,723      40,742
* OPENLANE Inc.  2,750,962      40,742
La-Z-Boy Inc.  1,096,368      40,478
 
9

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* Cinemark Holdings Inc.  2,786,687      39,264
Levi Strauss & Co. Class A  2,292,941      37,925
Oxford Industries Inc.    377,905      37,791
* Hanesbrands Inc.  8,468,534      37,770
Upbound Group Inc.  1,106,178      37,577
* Udemy Inc.  2,537,816      37,382
Buckle Inc.    770,818      36,629
* Liberty Media Corp.-Liberty Formula One Class A    630,457      36,554
Phinia Inc.  1,188,912      36,012
* Sally Beauty Holdings Inc.  2,706,725      35,945
* PROG Holdings Inc.  1,138,900      35,203
* Cavco Industries Inc.    100,701      34,905
* G-III Apparel Group Ltd.    989,740      33,631
John Wiley & Sons Inc. Class A  1,058,579      33,599
* Lions Gate Entertainment Corp. Class B  3,277,506      33,398
* Hertz Global Holdings Inc.  3,170,691      32,944
Allegiant Travel Co.    398,326      32,906
1 Krispy Kreme Inc.  2,146,899      32,397
1 Dillard's Inc. Class A     79,173      31,958
* Beyond Inc.  1,153,733      31,947
* Chegg Inc.  2,801,903      31,830
* Integral Ad Science Holding Corp.  2,210,974      31,816
*,1 AMC Entertainment Holdings Inc. Class A  5,050,330      30,908
* Chewy Inc. Class A  1,296,863      30,645
Steelcase Inc. Class A  2,265,638      30,631
* Cars.com Inc.  1,602,271      30,395
* Boot Barn Holdings Inc.    385,600      29,599
* Leslie's Inc.  4,217,325      29,142
* Madison Square Garden Entertainment Corp. Class A    889,908      28,290
Camping World Holdings Inc. Class A  1,026,321      26,951
Matthews International Corp. Class A    735,076      26,941
* Life Time Group Holdings Inc.  1,750,164      26,392
* iRobot Corp.    674,142      26,089
* American Axle & Manufacturing Holdings Inc.  2,832,062      24,950
* Sphere Entertainment Co.    719,284      24,427
          Shares Market
Value

($000)
* Sweetgreen Inc. Class A  2,151,712      24,314
Scholastic Corp.    635,571      23,961
*,1 Luminar Technologies Inc. Class A  6,986,687      23,545
*,1 Figs Inc. Class A  3,282,490      22,813
Monro Inc.    760,771      22,321
* Driven Brands Holdings Inc.  1,461,406      20,840
*,1 Mister Car Wash Inc.  2,399,474      20,731
Sturm Ruger & Co. Inc.    451,321      20,513
* BJ's Restaurants Inc.    562,193      20,245
* Portillo's Inc. Class A  1,270,682      20,242
* Vista Outdoor Inc.    665,552      19,680
* Liberty Media Corp.-Liberty Live Class A    530,344      19,384
* Dream Finders Homes Inc. Class A    544,312      19,339
Sonic Automotive Inc. Class A    333,986      18,773
*,1 Cava Group Inc.    433,752      18,643
Dine Brands Global Inc.    373,609      18,550
* Sun Country Airlines Holdings Inc.  1,134,538      17,846
* Lions Gate Entertainment Corp. Class A  1,596,930      17,407
1 Guess? Inc.    750,556      17,308
Wolverine World Wide Inc.  1,924,147      17,106
* Revolve Group Inc. Class A  1,007,382      16,702
* U-Haul Holding Co.    224,383      16,111
* Instructure Holdings Inc.    552,163      14,914
* Corsair Gaming Inc.  1,049,048      14,792
* AMC Networks Inc. Class A    775,991      14,581
* Clear Channel Outdoor Holdings Inc.  7,995,958      14,553
* EW Scripps Co. Class A  1,758,620      14,051
Caleres Inc.    429,899      13,211
* Vizio Holding Corp. Class A  1,695,016      13,052
* Central Garden & Pet Co.    240,241      12,038
* Arhaus Inc. Class A  1,015,278      12,031
*,1 Savers Value Village Inc.    639,263      11,110
* GoPro Inc. Class A  3,043,072      10,559
1 Sinclair Inc.    809,624      10,549
*,1 Fisker Inc. Class A  5,553,841       9,719
 
10

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Designer Brands Inc. Class A  1,091,160       9,657
Interface Inc. Class A    702,923       8,871
*,1 Bowlero Corp. Class A    591,236       8,372
Smith & Wesson Brands Inc.    587,624       7,968
* Rush Street Interactive Inc.  1,540,361       6,916
* Petco Health & Wellness Co. Inc. Class A  2,049,829       6,477
*,1 Frontier Group Holdings Inc.  1,125,975       6,148
Rush Enterprises Inc. Class B    113,786       6,028
*,1 SES AI Corp.  3,135,954       5,739
Cricut Inc. Class A    735,081       4,844
* Angi Inc. Class A  1,835,900       4,571
1 Paramount Global Class A    104,341       2,051
                    21,618,386
Consumer Staples (3.1%)
Bunge Global SA  4,110,751     414,980
* Performance Food Group Co.  3,962,632     274,016
Casey's General Stores Inc.    949,048     260,741
* US Foods Holding Corp.  5,634,913     255,881
* Darling Ingredients Inc.  4,062,715     202,486
Lamb Weston Holdings Inc.  1,845,393     199,469
* Celsius Holdings Inc.  3,540,254     193,015
* BellRing Brands Inc.  3,338,265     185,040
Ingredion Inc.  1,660,141     180,175
Molson Coors Beverage Co. Class B  2,302,931     140,962
* Sprouts Farmers Market Inc.  2,586,391     124,431
Coca-Cola Consolidated Inc.    117,250     108,855
* Post Holdings Inc.  1,229,607     108,279
* Freshpet Inc.  1,228,541     106,588
Flowers Foods Inc.  4,301,091      96,818
* Simply Good Foods Co.  2,283,009      90,407
WD-40 Co.    345,250      82,539
Lancaster Colony Corp.    490,576      81,627
* Boston Beer Co. Inc. Class A    232,006      80,179
Spectrum Brands Holdings Inc.    863,046      68,845
* Grocery Outlet Holding Corp.  2,275,218      61,340
          Shares Market
Value

($000)
Cal-Maine Foods Inc.  1,012,631      58,115
Energizer Holdings Inc.  1,822,885      57,749
* TreeHouse Foods Inc.  1,267,495      52,538
J & J Snack Foods Corp.    295,395      49,372
Andersons Inc.    816,593      46,987
Edgewell Personal Care Co.  1,229,291      45,029
Universal Corp.    594,173      40,000
Vector Group Ltd.  3,375,285      38,073
* Herbalife Ltd.  2,397,814      36,591
Reynolds Consumer Products Inc.  1,337,081      35,887
* National Beverage Corp.    594,360      29,552
* Sovos Brands Inc.  1,291,694      28,456
Utz Brands Inc.  1,653,045      26,845
Weis Markets Inc.    410,998      26,287
Fresh Del Monte Produce Inc.    980,511      25,738
* Pilgrim's Pride Corp.    904,504      25,019
* Hain Celestial Group Inc.  2,284,533      25,016
Nu Skin Enterprises Inc. Class A  1,258,256      24,435
* United Natural Foods Inc.  1,437,315      23,328
Seaboard Corp.      6,156      21,978
1 B&G Foods Inc.  2,001,990      21,021
Medifast Inc.    277,366      18,645
* USANA Health Sciences Inc.    292,330      15,669
ACCO Brands Corp.  2,296,720      13,964
* Duckhorn Portfolio Inc.  1,321,926      13,021
Tootsie Roll Industries Inc.    358,036      11,901
*,1 Beyond Meat Inc.    781,496       6,955
* Olaplex Holdings Inc.  2,501,079       6,353
*,1 BRC Inc. Class A  1,229,892       4,464
* Beauty Health Co.  1,087,546       3,382
                     4,149,043
Energy (5.3%)
Targa Resources Corp.  5,678,429     493,285
Ovintiv Inc.  6,919,239     303,893
APA Corp.  7,811,068     280,261
Chesapeake Energy Corp.  3,171,111     243,985
HF Sinclair Corp.  3,912,656     217,426
TechnipFMC plc 10,535,261     212,180
NOV Inc. 10,031,975     203,448
EQT Corp.  5,237,579     202,485
* Southwestern Energy Co. 28,050,475     183,731
 
11

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* Weatherford International plc  1,836,594     179,674
Range Resources Corp.  5,837,916     177,706
Permian Resources Corp. Class A 12,377,014     168,327
Chord Energy Corp.    998,656     166,007
Civitas Resources Inc.  2,388,069     163,296
Murphy Oil Corp.  3,737,231     159,430
* Antero Resources Corp.  6,888,428     156,230
Matador Resources Co.  2,730,563     155,260
ChampionX Corp.  4,960,911     144,908
Noble Corp. plc  2,873,641     138,395
DT Midstream Inc.  2,469,543     135,331
PBF Energy Inc. Class A  2,800,867     123,126
Texas Pacific Land Corp.     78,165     122,911
* Transocean Ltd. 18,541,943     117,741
Patterson-UTI Energy Inc. 10,626,110     114,762
SM Energy Co.  2,962,162     114,695
Antero Midstream Corp.  8,551,600     107,152
Equitrans Midstream Corp. 10,481,976     106,706
Arcosa Inc.  1,241,777     102,620
California Resources Corp.  1,747,537      95,555
Magnolia Oil & Gas Corp. Class A  4,481,169      95,404
Alpha Metallurgical Resources Inc.    270,661      91,732
1 New Fortress Energy Inc.  2,349,637      88,652
Northern Oil & Gas Inc.  2,302,327      85,347
Helmerich & Payne Inc.  2,278,834      82,539
Warrior Met Coal Inc.  1,324,729      80,769
* CNX Resources Corp.  3,843,239      76,865
Cactus Inc. Class A  1,663,512      75,523
Arch Resources Inc.    444,423      73,748
Liberty Energy Inc. Class A  3,864,480      70,102
*,1 Plug Power Inc. 15,419,974      69,390
Peabody Energy Corp.  2,837,894      69,018
1 Viper Energy Inc. Class A  2,191,446      68,768
* Shoals Technologies Group Inc. Class A  4,330,774      67,300
* Array Technologies Inc.  3,658,396      61,461
* NEXTracker Inc. Class A  1,265,029      59,267
Archrock Inc.  3,775,555      58,144
          Shares Market
Value

($000)
* Oceaneering International Inc.  2,565,097      54,585
* Callon Petroleum Co.  1,553,386      50,330
Sitio Royalties Corp. Class A  2,082,204      48,953
* Tidewater Inc.    605,536      43,665
Delek US Holdings Inc.  1,546,776      39,907
*,1 Fluence Energy Inc.  1,448,479      34,546
World Kinect Corp.  1,456,498      33,179
* NOW Inc.  2,707,959      30,654
CONSOL Energy Inc.    295,829      29,740
CVR Energy Inc.    895,907      27,146
1 Crescent Energy Co. Class A  2,030,836      26,827
* Ameresco Inc. Class A    828,234      26,230
* MRC Global Inc.  2,039,551      22,455
1 Comstock Resources Inc.  2,481,685      21,963
1 Atlas Energy Solutions Inc. Class A  1,272,747      21,917
Core Laboratories Inc.  1,189,919      21,014
* Dril-Quip Inc.    870,556      20,258
* ProPetro Holding Corp.  2,386,345      19,998
*,1 ChargePoint Holdings Inc.  8,252,120      19,310
1 Kinetik Holdings Inc. Class A    574,436      19,186
* Helix Energy Solutions Group Inc.  1,823,157      18,742
*,1 FuelCell Energy Inc. 11,475,912      18,361
RPC Inc.  2,477,923      18,039
Vitesse Energy Inc.    549,809      12,035
*,1 SunPower Corp.  2,230,749      10,775
1 HighPeak Energy Inc.    654,060       9,314
*,1 EVgo Inc. Class A  2,505,282       8,969
*,1 Stem Inc.  1,887,772       7,325
*,1 ProFrac Holding Corp. Class A    608,842       5,163
* OPAL Fuels Inc. Class A    467,146       2,579
1 Enviva Inc.    427,191         425
                     7,088,145
Financials (14.1%)
First Citizens BancShares Inc. Class A    258,114     366,256
Equitable Holdings Inc.  8,615,598     286,899
MarketAxess Holdings Inc.    964,831     282,551
Reinsurance Group of America Inc.  1,678,398     271,531
RenaissanceRe Holdings Ltd.  1,336,880     262,029
 
12

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Carlyle Group Inc.  6,431,259     261,688
East West Bancorp Inc.  3,589,007     258,229
Annaly Capital Management Inc. 12,728,604     246,553
Ally Financial Inc.  6,913,267     241,411
Assurant Inc.  1,339,295     225,658
Webster Financial Corp.  4,381,159     222,388
*,1 SoFi Technologies Inc. 21,972,687     218,628
Erie Indemnity Co. Class A    646,952     216,677
American Financial Group Inc.  1,813,508     215,608
Brown & Brown Inc.  2,899,074     206,153
First Horizon Corp. 14,229,900     201,495
Invesco Ltd. 11,168,643     199,249
Voya Financial Inc.  2,660,502     194,110
SEI Investments Co.  3,015,988     191,666
* Robinhood Markets Inc. Class A 15,035,182     191,548
Unum Group  4,222,089     190,923
Old Republic International Corp.  6,426,396     188,936
Kinsale Capital Group Inc.    560,623     187,758
Comerica Inc.  3,358,319     187,428
Morningstar Inc.    652,440     186,754
Primerica Inc.    892,221     183,583
New York Community Bancorp Inc. 17,479,309     178,813
Western Alliance Bancorp  2,648,518     174,246
Blue Owl Capital Inc. Class A 11,606,281     172,934
Stifel Financial Corp.  2,467,700     170,641
1 AGNC Investment Corp. 17,088,947     167,643
Zions Bancorp NA  3,772,824     165,514
SouthState Corp.  1,937,104     163,588
Pinnacle Financial Partners Inc.  1,857,418     162,004
First American Financial Corp.  2,496,303     160,862
Commerce Bancshares Inc.  2,991,101     159,755
1 Starwood Property Trust Inc.  7,577,976     159,289
Cullen/Frost Bankers Inc.  1,467,951     159,258
Houlihan Lokey Inc. Class A  1,314,432     157,614
Prosperity Bancshares Inc.  2,267,292     153,564
Selective Insurance Group Inc.  1,542,980     153,496
Jefferies Financial Group Inc.  3,751,482     151,597
          Shares Market
Value

($000)
Popular Inc.  1,837,507     150,804
OneMain Holdings Inc.  3,053,477     150,231
Evercore Inc. Class A    863,441     147,692
RLI Corp.  1,103,809     146,939
Wintrust Financial Corp.  1,559,485     144,642
Bank OZK  2,881,027     143,562
Columbia Banking System Inc.  5,311,660     141,715
Globe Life Inc.  1,138,515     138,580
Cadence Bank  4,650,482     137,608
MGIC Investment Corp.  7,062,424     136,234
Essent Group Ltd.  2,582,933     136,224
Synovus Financial Corp.  3,538,044     133,207
Rithm Capital Corp. 12,305,910     131,427
Affiliated Managers Group Inc.    861,017     130,375
United Bankshares Inc.  3,436,289     129,033
*,1 Marathon Digital Holdings Inc.  5,384,754     126,488
Old National Bancorp  7,452,038     125,865
FNB Corp.  9,138,210     125,833
Valley National Bancorp 10,989,655     119,348
Home BancShares Inc.  4,624,902     117,149
Glacier Bancorp Inc.  2,823,794     116,679
Lincoln National Corp.  4,320,678     116,529
* American Equity Investment Life Holding Co.  2,012,354     112,289
Radian Group Inc.  3,900,657     111,364
SLM Corp.  5,762,185     110,173
* Ryan Specialty Holdings Inc. Class A  2,560,714     110,162
Axis Capital Holdings Ltd.  1,953,725     108,178
FirstCash Holdings Inc.    976,353     105,827
First Financial Bankshares Inc.  3,452,582     104,613
* Mr Cooper Group Inc.  1,593,347     103,759
Jackson Financial Inc. Class A  2,024,684     103,664
Assured Guaranty Ltd.  1,385,284     103,661
Janus Henderson Group plc  3,375,014     101,757
Hancock Whitney Corp.  2,084,264     101,274
Hamilton Lane Inc. Class A    884,627     100,352
Hanover Insurance Group Inc.    819,691      99,527
* Enstar Group Ltd.    326,764      96,183
 
13

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Moelis & Co. Class A  1,697,701      95,292
Lazard Ltd. Class A  2,728,140      94,939
White Mountains Insurance Group Ltd.     61,923      93,195
Walker & Dunlop Inc.    809,255      89,835
1 Blackstone Mortgage Trust Inc. Class A  4,168,406      88,662
Ameris Bancorp  1,670,604      88,626
* Brighthouse Financial Inc.  1,635,128      86,531
United Community Banks Inc.  2,878,517      84,225
ServisFirst Bancshares Inc.  1,247,642      83,130
UMB Financial Corp.    988,719      82,608
* Texas Capital Bancshares Inc.  1,222,915      79,037
Cathay General Bancorp  1,757,601      78,336
Associated Banc-Corp  3,651,723      78,110
*,1 Riot Platforms Inc.  4,995,697      77,283
International Bancshares Corp.  1,422,370      77,263
Artisan Partners Asset Management Inc. Class A  1,743,917      77,046
* Genworth Financial Inc. Class A 11,486,123      76,727
CNO Financial Group Inc.  2,713,787      75,715
Kemper Corp.  1,550,479      75,462
*,1 Upstart Holdings Inc.  1,841,178      75,231
Piper Sandler Cos.    428,446      74,922
First Hawaiian Inc.  3,249,830      74,291
Bank of Hawaii Corp.  1,012,294      73,351
* Axos Financial Inc.  1,323,253      72,250
TPG Inc. Class A  1,657,892      71,571
Pacific Premier Bancorp Inc.  2,442,250      71,094
WSFS Financial Corp.  1,546,654      71,038
Community Bank System Inc.  1,359,545      70,846
Federated Hermes Inc. Class B  2,086,589      70,652
First Interstate BancSystem Inc. Class A  2,272,701      69,886
Independent Bank Corp.  1,060,966      69,822
Atlantic Union Bankshares Corp.  1,910,401      69,806
Fulton Financial Corp.  4,181,361      68,825
First Bancorp  4,174,943      68,678
* Credit Acceptance Corp.    128,029      68,205
CVB Financial Corp.  3,371,026      68,061
BGC Group Inc. Class A  9,357,760      67,563
          Shares Market
Value

($000)
* Clearwater Analytics Holdings Inc. Class A  3,204,928      64,195
BankUnited Inc.  1,894,275      61,431
Simmons First National Corp. Class A  3,028,327      60,082
1 Arbor Realty Trust Inc.  3,820,332      57,993
Eastern Bankshares Inc.  4,043,669      57,420
PJT Partners Inc. Class A    555,562      56,595
First Merchants Corp.  1,524,101      56,514
PennyMac Financial Services Inc.    635,734      56,180
First Financial Bancorp  2,301,318      54,656
WaFd Inc.  1,650,555      54,402
BOK Financial Corp.    585,284      50,130
Towne Bank  1,669,554      49,686
Park National Corp.    369,399      49,078
NBT Bancorp Inc.  1,139,211      47,744
Cohen & Steers Inc.    625,692      47,384
Banner Corp.    874,719      46,850
Renasant Corp.  1,358,290      45,747
Independent Bank Group Inc.    893,382      45,455
WesBanco Inc.  1,436,344      45,058
OFG Bancorp  1,198,390      44,916
BancFirst Corp.    461,123      44,881
Virtu Financial Inc. Class A  2,188,278      44,335
StepStone Group Inc. Class A  1,386,835      44,143
Apollo Commercial Real Estate Finance Inc.  3,600,008      42,264
Virtus Investment Partners Inc.    173,827      42,024
Claros Mortgage Trust Inc.  3,003,089      40,932
Hilltop Holdings Inc.  1,161,772      40,906
Northwest Bancshares Inc.  3,236,890      40,396
* Goosehead Insurance Inc. Class A    529,217      40,115
City Holding Co.    358,822      39,564
* BRP Group Inc. Class A  1,637,927      39,343
Navient Corp.  2,095,910      39,026
Trustmark Corp.  1,399,725      39,024
Westamerica Bancorp    678,629      38,281
First Commonwealth Financial Corp.  2,470,408      38,143
National Bank Holdings Corp. Class A    961,633      35,763
* Oscar Health Inc. Class A  3,887,402      35,570
 
14

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Hope Bancorp Inc.  2,905,860      35,103
Compass Diversified Holdings  1,556,317      34,939
Two Harbors Investment Corp.  2,449,541      34,122
Horace Mann Educators Corp.  1,039,970      34,007
Ladder Capital Corp. Class A  2,908,882      33,481
PennyMac Mortgage Investment Trust  2,206,065      32,981
Provident Financial Services Inc.  1,829,155      32,980
Safehold Inc.  1,357,389      31,763
* Cannae Holdings Inc.  1,620,903      31,624
S&T Bancorp Inc.    925,022      30,914
MFA Financial Inc.  2,595,532      29,252
* Encore Capital Group Inc.    569,216      28,888
Chimera Investment Corp.  5,775,128      28,818
Franklin BSP Realty Trust Inc.  2,090,157      28,238
* SiriusPoint Ltd.  2,347,229      27,228
Safety Insurance Group Inc.    357,845      27,193
Nelnet Inc. Class A    305,423      26,944
Mercury General Corp.    705,046      26,305
Berkshire Hills Bancorp Inc.  1,056,521      26,233
Employers Holdings Inc.    655,014      25,808
* PRA Group Inc.    949,418      24,875
BrightSpire Capital Inc. Class A  3,310,280      24,629
*,1 Trupanion Inc.    793,693      24,216
1 ARMOUR Residential REIT Inc.  1,247,634      24,104
Enact Holdings Inc.    813,526      23,503
Brookline Bancorp Inc.  2,149,983      23,456
National Western Life Group Inc. Class A     48,134      23,250
* LendingClub Corp.  2,652,594      23,184
* Triumph Financial Inc.    281,737      22,590
WisdomTree Inc.  3,254,164      22,551
Redwood Trust Inc.  3,019,714      22,376
F&G Annuities & Life Inc.    479,134      22,040
Eagle Bancorp Inc.    724,020      21,822
*,1 Lemonade Inc.  1,335,424      21,540
Capitol Federal Financial Inc.  3,288,754      21,212
TFS Financial Corp.  1,427,984      20,977
* Open Lending Corp.  2,439,750      20,762
Live Oak Bancshares Inc.    424,785      19,328
          Shares Market
Value

($000)
* Ambac Financial Group Inc.  1,093,454      18,020
ProAssurance Corp.  1,298,067      17,900
Tompkins Financial Corp.    292,379      17,610
Heartland Financial USA Inc.    461,752      17,367
Victory Capital Holdings Inc. Class A    504,096      17,361
* AssetMark Financial Holdings Inc.    567,415      16,994
* Palomar Holdings Inc.    299,150      16,603
KKR Real Estate Finance Trust Inc.  1,235,677      16,348
1 UWM Holdings Corp. Class A  2,265,754      16,200
* Columbia Financial Inc.    668,006      12,879
Kearny Financial Corp.  1,397,256      12,533
United Fire Group Inc.    611,263      12,299
P10 Inc. Class A  1,149,538      11,748
* World Acceptance Corp.     87,138      11,374
GCM Grosvenor Inc. Class A  1,042,680       9,342
* loanDepot Inc. Class A  1,542,333       5,429
TPG RE Finance Trust Inc.    792,841       5,154
*,1 Hagerty Inc. Class A    538,637       4,201
Associated Capital Group Inc. Class A     32,631       1,165
                    18,863,577
Health Care (11.0%)
* Exact Sciences Corp.  4,605,632     340,725
* Neurocrine Biosciences Inc.  2,502,119     329,679
Bio-Techne Corp.  4,027,554     310,766
* Charles River Laboratories International Inc.  1,305,628     308,650
* United Therapeutics Corp.  1,196,765     263,157
* Karuna Therapeutics Inc.    816,680     258,487
* Repligen Corp.  1,350,738     242,863
* Penumbra Inc.    933,750     234,875
Universal Health Services Inc. Class B  1,475,987     224,999
Chemed Corp.    383,567     224,291
* Sarepta Therapeutics Inc.  2,263,171     218,238
* Cytokinetics Inc.  2,497,015     208,476
* ImmunoGen Inc.  6,780,369     201,038
* Catalent Inc.  4,361,345     195,955
* Tenet Healthcare Corp.  2,586,175     195,437
 
15

 

Small-Cap Index Fund
          Shares Market
Value

($000)
DENTSPLY SIRONA Inc.  5,395,345     192,020
* Medpace Holdings Inc.    625,077     191,605
* Exelixis Inc.  7,919,651     189,992
* Jazz Pharmaceuticals plc  1,523,128     187,345
* Elanco Animal Health Inc. 12,549,893     186,993
* Natera Inc.  2,906,727     182,077
* Shockwave Medical Inc.    939,643     179,058
* Ionis Pharmaceuticals Inc.  3,471,076     175,602
* Acadia Healthcare Co. Inc.  2,231,021     173,484
Encompass Health Corp.  2,552,658     170,313
Bruker Corp.  2,291,294     168,364
* Intra-Cellular Therapies Inc.  2,328,164     166,743
Ensign Group Inc.  1,437,550     161,308
* Globus Medical Inc. Class A  3,009,346     160,368
* Apellis Pharmaceuticals Inc.  2,565,077     153,546
* Inspire Medical Systems Inc.    751,870     152,953
* Option Care Health Inc.  4,510,961     151,974
* Masimo Corp.  1,278,398     149,841
Teleflex Inc.    597,735     149,039
* HealthEquity Inc.  2,180,613     144,575
* Blueprint Medicines Corp.  1,548,093     142,796
* Vaxcyte Inc.  2,180,898     136,960
* Bridgebio Pharma Inc.  3,322,317     134,122
* DaVita Inc.  1,278,803     133,967
* 10X Genomics Inc. Class A  2,387,109     133,583
* Henry Schein Inc.  1,661,001     125,754
* Halozyme Therapeutics Inc.  3,364,060     124,336
* Alkermes plc  4,249,904     117,892
* REVOLUTION Medicines Inc.  3,962,302     113,639
* Insmed Inc.  3,643,401     112,909
Perrigo Co. plc  3,450,889     111,050
* Haemonetics Corp.  1,292,249     110,500
* Lantheus Holdings Inc.  1,744,182     108,139
* Merit Medical Systems Inc.  1,397,242     106,135
* Amicus Therapeutics Inc.  7,467,777     105,968
* Envista Holdings Corp.  4,364,804     105,017
* Neogen Corp.  4,957,840      99,702
          Shares Market
Value

($000)
* ACADIA Pharmaceuticals Inc.  3,135,812      98,182
* agilon health Inc.  7,755,347      97,330
* Ultragenyx Pharmaceutical Inc.  1,986,538      94,996
* QuidelOrtho Corp.  1,276,219      94,057
Organon & Co.  6,509,356      93,865
* Glaukos Corp.  1,180,605      93,846
* Azenta Inc.  1,429,084      93,091
* Madrigal Pharmaceuticals Inc.    402,208      93,063
* Evolent Health Inc. Class A  2,781,115      91,860
* Teladoc Health Inc.  4,215,728      90,849
CONMED Corp.    783,138      85,761
* Mirati Therapeutics Inc.  1,450,024      85,189
* Integer Holdings Corp.    848,719      84,091
* Bio-Rad Laboratories Inc. Class A    260,088      83,980
* Inari Medical Inc.  1,246,553      80,926
* Axonics Inc.  1,290,206      80,290
* iRhythm Technologies Inc.    741,550      79,376
* Arrowhead Pharmaceuticals Inc.  2,593,365      79,357
* Amedisys Inc.    831,061      79,001
* Fortrea Holdings Inc.  2,261,428      78,924
* Cerevel Therapeutics Holdings Inc.  1,836,624      77,873
* Prestige Consumer Healthcare Inc.  1,263,620      77,359
* Guardant Health Inc.  2,854,624      77,218
* Progyny Inc.  2,074,528      77,131
*,1 Axsome Therapeutics Inc.    964,040      76,728
* Doximity Inc. Class A  2,708,274      75,940
* Krystal Biotech Inc.    610,554      75,745
* Integra LifeSciences Holdings Corp.  1,692,344      73,702
* Enovis Corp.  1,251,289      70,097
* Corcept Therapeutics Inc.  2,100,105      68,211
Premier Inc. Class A  3,047,652      68,146
* Pacific Biosciences of California Inc.  6,809,717      66,803
* Intellia Therapeutics Inc.  2,166,610      66,060
* Nuvalent Inc. Class A    873,465      64,278
*,1 Ginkgo Bioworks Holdings Inc. Class A 37,116,894      62,728
* Surgery Partners Inc.  1,958,902      62,665
Patterson Cos. Inc.  2,196,852      62,500
* Immunovant Inc.  1,473,800      62,091
Select Medical Holdings Corp.  2,612,109      61,385
 
16

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* TG Therapeutics Inc.  3,470,301      59,273
* CorVel Corp.    239,634      59,240
* Privia Health Group Inc.  2,555,668      58,857
* ICU Medical Inc.    584,018      58,250
* SpringWorks Therapeutics Inc.  1,559,886      56,936
* Denali Therapeutics Inc.  2,639,516      56,644
* Certara Inc.  3,052,913      53,701
* PTC Therapeutics Inc.  1,921,784      52,964
* NeoGenomics Inc.  3,246,146      52,523
* Twist Bioscience Corp.  1,395,311      51,431
* Veracyte Inc.  1,860,067      51,170
* Beam Therapeutics Inc.  1,868,029      50,848
* Tandem Diabetes Care Inc.  1,660,654      49,122
* Arvinas Inc.  1,191,112      49,026
* Iovance Biotherapeutics Inc.  5,865,398      47,686
* PROCEPT BioRobotics Corp.  1,093,110      45,812
* Apollo Medical Holdings Inc.  1,187,334      45,475
* Omnicell Inc.  1,157,921      43,573
* Sotera Health Co.  2,519,132      42,447
*,1 Recursion Pharmaceuticals Inc. Class A  4,243,287      41,839
* Myriad Genetics Inc.  2,165,398      41,446
* AtriCure Inc.  1,146,637      40,923
* Novocure Ltd.  2,721,383      40,630
* R1 RCM Inc.  3,735,457      39,484
* STAAR Surgical Co.  1,243,219      38,801
* Ironwood Pharmaceuticals Inc. Class A  3,379,623      38,663
* Supernus Pharmaceuticals Inc.  1,321,749      38,251
* Pacira BioSciences Inc.  1,123,467      37,906
* Owens & Minor Inc.  1,850,820      35,665
* Xencor Inc.  1,550,284      32,913
* Relay Therapeutics Inc.  2,982,238      32,834
* Hims & Hers Health Inc.  3,629,775      32,305
* Agios Pharmaceuticals Inc.  1,423,359      31,698
National HealthCare Corp.    331,715      30,657
* Ligand Pharmaceuticals Inc.    421,840      30,128
* Warby Parker Inc. Class A  2,119,728      29,888
* Sage Therapeutics Inc.  1,298,085      28,130
          Shares Market
Value

($000)
Embecta Corp.  1,460,069      27,639
* Vir Biotechnology Inc.  2,740,445      27,569
* Kymera Therapeutics Inc.  1,059,794      26,982
* Avanos Medical Inc.  1,182,327      26,520
* Brookdale Senior Living Inc.  4,554,121      26,505
* Harmony Biosciences Holdings Inc.    820,414      26,499
* Rocket Pharmaceuticals Inc.    860,912      25,802
* Cytek Biosciences Inc.  2,761,384      25,184
* Innoviva Inc.  1,468,918      23,561
* Amylyx Pharmaceuticals Inc.  1,461,388      21,512
* Amneal Pharmaceuticals Inc.  3,534,128      21,452
* Varex Imaging Corp.  1,031,385      21,143
* Editas Medicine Inc.  2,079,925      21,070
*,1 Verve Therapeutics Inc.  1,500,257      20,914
* Alignment Healthcare Inc.  2,407,851      20,732
* Zentalis Pharmaceuticals Inc.  1,351,597      20,477
* Pediatrix Medical Group Inc.  2,139,826      19,900
* Healthcare Services Group Inc.  1,880,686      19,503
* Nevro Corp.    875,909      18,850
* REGENXBIO Inc.  1,008,269      18,098
* Maravai LifeSciences Holdings Inc. Class A  2,693,075      17,640
*,1 ImmunityBio Inc.  3,400,917      17,073
HealthStream Inc.    616,897      16,675
* Adaptive Biotechnologies Corp.  3,318,134      16,259
* BioCryst Pharmaceuticals Inc.  2,607,613      15,620
* Phreesia Inc.    668,530      15,476
* AdaptHealth Corp. Class A  2,083,852      15,191
*,1 LifeStance Health Group Inc.  1,928,430      15,100
* OPKO Health Inc.  9,843,800      14,864
* Multiplan Corp.  9,923,776      14,290
* Treace Medical Concepts Inc.  1,099,444      14,018
* ACELYRIN Inc.  1,858,121      13,862
*,1 Novavax Inc.  2,873,237      13,792
* Kiniksa Pharmaceuticals Ltd. Class A    766,504      13,444
* Enhabit Inc.  1,276,632      13,213
* GoodRx Holdings Inc. Class A  1,882,389      12,612
 
17

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* Arcus Biosciences Inc.    619,552      11,833
* Day One Biopharmaceuticals Inc.    775,842      11,327
*,1 Sana Biotechnology Inc.  2,760,887      11,264
* Accolade Inc.    873,627      10,492
*,1 Prime Medicine Inc.  1,115,364       9,882
*,1 Theravance Biopharma Inc.    824,446       9,267
* CareDx Inc.    654,395       7,853
* Agiliti Inc.    858,511       6,799
* Health Catalyst Inc.    696,713       6,452
* Silk Road Medical Inc.    471,611       5,787
* AnaptysBio Inc.    220,195       4,717
*,1 Allogene Therapeutics Inc.  1,394,072       4,475
*,1 Lyell Immunopharma Inc.  2,247,403       4,360
* Clover Health Investments Corp. Class A  4,331,471       4,124
* Outset Medical Inc.    639,946       3,462
* 23andMe Holding Co. Class A  3,773,519       3,447
* Innovage Holding Corp.    512,072       3,072
Phibro Animal Health Corp. Class A    259,238       3,002
* Mural Oncology plc    212,710       1,259
*,1 ProKidney Corp. Class A    684,002       1,218
* Neumora Therapeutics Inc.     14,030         239
*,1,2 Synergy Pharmaceuticals LLC  2,001,166          —
*,2 OmniAb Inc. 12.5 Earnout    156,690          —
*,2 OmniAb Inc. 15 Earnout    156,690          —
                    14,702,510
Industrials (21.7%)
* Builders FirstSource Inc.  3,141,249     524,400
* Axon Enterprise Inc.  1,812,869     468,318
Booz Allen Hamilton Holding Corp. Class A  3,320,376     424,709
IDEX Corp.  1,925,928     418,138
Carlisle Cos. Inc.  1,239,836     387,362
Graco Inc.  4,298,460     372,934
Watsco Inc.    862,448     369,533
RPM International Inc.  3,280,810     366,237
Lennox International Inc.    814,585     364,543
Nordson Corp.  1,306,757     345,193
          Shares Market
Value

($000)
Owens Corning  2,263,342     335,495
AECOM  3,463,201     320,104
Lincoln Electric Holdings Inc.  1,456,677     316,769
Pentair plc  4,209,593     306,080
* TopBuild Corp.    809,155     302,834
* Saia Inc.    676,080     296,272
Howmet Aerospace Inc.  5,242,559     283,727
Allegion plc  2,235,635     283,233
Westrock Co.  6,531,381     271,183
Advanced Drainage Systems Inc.  1,884,863     265,087
Huntington Ingalls Industries Inc.  1,011,631     262,660
EMCOR Group Inc.  1,198,063     258,099
A O Smith Corp.  3,128,041     257,876
* Affirm Holdings Inc. Class A  5,240,935     257,540
Toro Co.  2,644,565     253,852
Regal Rexnord Corp.  1,689,675     250,106
nVent Electric plc  4,225,225     249,669
ITT Inc.  2,090,807     249,475
* XPO Inc.  2,805,778     245,758
Fortune Brands Innovations Inc.  3,211,236     244,504
* Trex Co. Inc.  2,765,527     228,958
Tetra Tech Inc.  1,356,025     226,361
WESCO International Inc.  1,300,744     226,173
Robert Half Inc.  2,561,968     225,248
Knight-Swift Transportation Holdings Inc. Class A  3,904,051     225,069
Hubbell Inc. Class B    682,776     224,586
Curtiss-Wright Corp.    973,871     216,969
Simpson Manufacturing Co. Inc.  1,086,727     215,150
* WEX Inc.  1,088,375     211,743
Woodward Inc.  1,528,821     208,118
AptarGroup Inc.  1,675,228     207,092
* WillScot Mobile Mini Holdings Corp.  4,636,287     206,315
* Generac Holdings Inc.  1,564,469     202,192
* Middleby Corp.  1,365,101     200,902
Donaldson Co. Inc.  3,070,990     200,689
AGCO Corp.  1,620,896     196,793
Graphic Packaging Holding Co.  7,794,104     192,125
* Axalta Coating Systems Ltd.  5,604,809     190,395
Berry Global Group Inc.  2,794,389     188,314
Comfort Systems USA Inc.    909,512     187,059
* API Group Corp.  5,398,389     186,784
 
18

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* GXO Logistics Inc.  3,029,390     185,277
Cognex Corp.  4,383,864     182,982
Oshkosh Corp.  1,665,867     180,597
Eagle Materials Inc.    888,462     180,216
* FTI Consulting Inc.    904,263     180,084
BWX Technologies Inc.  2,330,517     178,821
Landstar System Inc.    915,451     177,277
* Paylocity Holding Corp.  1,072,966     176,878
MKS Instruments Inc.  1,703,174     175,206
Applied Industrial Technologies Inc.    987,077     170,458
* Fluor Corp.  4,338,111     169,924
Littelfuse Inc.    634,183     169,682
Brunswick Corp.  1,752,448     169,549
Acuity Brands Inc.    788,131     161,433
MSA Safety Inc.    951,063     160,568
Genpact Ltd.  4,619,910     160,357
* Atkore Inc.    950,369     152,059
Jack Henry & Associates Inc.    927,332     151,535
* Core & Main Inc. Class A  3,699,223     149,486
* Chart Industries Inc.  1,088,709     148,424
* ATI Inc.  3,248,981     147,731
Crane Co.  1,229,745     145,282
Watts Water Technologies Inc. Class A    696,987     145,210
Sensata Technologies Holding plc  3,854,558     144,816
* Mohawk Industries Inc.  1,378,504     142,675
Crown Holdings Inc.  1,534,585     141,320
Sonoco Products Co.  2,494,636     139,375
* AZEK Co. Inc. Class A  3,613,493     138,216
Flowserve Corp.  3,341,423     137,733
Vontier Corp.  3,930,247     135,790
Sealed Air Corp.  3,678,260     134,330
Allison Transmission Holdings Inc.  2,278,857     132,516
Maximus Inc.  1,553,398     130,268
Esab Corp.  1,458,169     126,307
* Beacon Roofing Supply Inc.  1,447,578     125,968
Valmont Industries Inc.    531,966     124,219
Ryder System Inc.  1,072,334     123,383
* ExlService Holdings Inc.  3,989,994     123,091
AAON Inc.  1,655,336     122,280
CH Robinson Worldwide Inc.  1,409,571     121,773
* MasTec Inc.  1,605,881     121,597
Federal Signal Corp.  1,551,667     119,075
* Kirby Corp.  1,505,073     118,118
          Shares Market
Value

($000)
MSC Industrial Direct Co. Inc. Class A  1,166,278     118,097
Louisiana-Pacific Corp.  1,652,871     117,073
* Summit Materials Inc. Class A  3,033,410     116,665
Badger Meter Inc.    747,376     115,372
Exponent Inc.  1,289,167     113,498
* Euronet Worldwide Inc.  1,115,938     113,257
Air Lease Corp. Class A  2,686,179     112,658
Installed Building Products Inc.    614,977     112,430
HB Fuller Co.  1,375,722     111,998
* SPX Technologies Inc.  1,104,373     111,553
Armstrong World Industries Inc.  1,125,118     110,622
Western Union Co.  9,279,196     110,608
* ASGN Inc.  1,141,971     109,823
GATX Corp.    904,067     108,687
* Shift4 Payments Inc. Class A  1,448,788     107,703
Moog Inc. Class A    732,174     106,004
Insperity Inc.    901,968     105,729
* BILL Holdings Inc.  1,290,027     105,253
EnerSys  1,028,857     103,873
Zurn Elkay Water Solutions Corp.  3,520,740     103,545
MDU Resources Group Inc.  5,186,037     102,684
Herc Holdings Inc.    683,878     101,823
FTAI Aviation Ltd.  2,157,400     100,103
ManpowerGroup Inc.  1,243,021      98,783
Franklin Electric Co. Inc.    998,518      96,507
Brink's Co.  1,089,994      95,865
* Knife River Corp.  1,440,567      95,337
Terex Corp.  1,628,204      93,557
* Spirit AeroSystems Holdings Inc. Class A  2,920,041      92,799
* Verra Mobility Corp. Class A  4,023,717      92,666
Matson Inc.    845,204      92,634
Silgan Holdings Inc.  2,034,182      92,047
Otter Tail Corp.  1,062,213      90,256
* AeroVironment Inc.    694,636      87,552
* Itron Inc.  1,158,532      87,481
* GMS Inc.  1,033,771      85,214
Hillenbrand Inc.  1,780,656      85,204
* ACI Worldwide Inc.  2,768,802      84,725
* TriNet Group Inc.    707,471      84,140
Enpro Inc.    532,421      83,452
* Marqeta Inc. Class A 11,904,742      83,095
*,1 Aurora Innovation Inc. Class A 18,937,523      82,757
Belden Inc.  1,061,494      82,000
* Dycom Industries Inc.    709,772      81,688
 
19

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Encore Wire Corp.    381,695      81,530
John Bean Technologies Corp.    810,824      80,636
Korn Ferry  1,342,252      79,663
Albany International Corp. Class A    794,583      78,044
ESCO Technologies Inc.    656,581      76,840
* Alight Inc. Class A  8,934,400      76,210
*,1 Bloom Energy Corp. Class A  5,135,085      75,999
ABM Industries Inc.  1,668,912      74,817
McGrath RentCorp    623,686      74,605
* AMN Healthcare Services Inc.    962,368      72,062
Vestis Corp.  3,329,126      70,378
UniFirst Corp.    384,661      70,358
Crane NXT Co.  1,229,596      69,927
* Hub Group Inc. Class A    754,620      69,380
* RXO Inc.  2,979,627      69,306
Griffon Corp.  1,129,244      68,827
ArcBest Corp.    572,470      68,817
EVERTEC Inc.  1,675,565      68,598
Werner Enterprises Inc.  1,614,283      68,397
* Flywire Corp.  2,891,981      66,949
* Kratos Defense & Security Solutions Inc.  3,283,604      66,624
* Resideo Technologies Inc.  3,534,440      66,518
* O-I Glass Inc.  3,940,355      64,543
* Remitly Global Inc.  3,300,411      64,094
Brady Corp. Class A  1,083,684      63,601
ADT Inc.  8,832,590      60,238
Mueller Water Products Inc. Class A  3,985,144      57,386
Granite Construction Inc.  1,118,848      56,905
Trinity Industries Inc.  2,084,977      55,440
* Gates Industrial Corp. plc  4,035,683      54,159
* AAR Corp.    853,884      53,282
*,1 Joby Aviation Inc.  7,980,733      53,072
* OSI Systems Inc.    410,933      53,031
Kennametal Inc.  2,027,219      52,282
* AvidXchange Holdings Inc.  4,138,467      51,276
* Mercury Systems Inc.  1,358,672      49,687
* Huron Consulting Group Inc.    477,436      49,080
* Mirion Technologies Inc. Class A  4,717,985      48,359
* Hayward Holdings Inc.  3,537,114      48,105
          Shares Market
Value

($000)
Standex International Corp.    303,019      47,992
* Masonite International Corp.    557,865      47,229
* Hillman Solutions Corp.  4,963,478      45,714
Tennant Co.    475,704      44,093
* NCR Atleos Corp.  1,797,842      43,670
Enerpac Tool Group Corp. Class A  1,383,941      43,027
Primoris Services Corp.  1,291,007      42,874
*,1 Enovix Corp.  3,417,930      42,792
Bread Financial Holdings Inc.  1,256,266      41,381
H&E Equipment Services Inc.    789,048      41,283
Forward Air Corp.    653,503      41,086
* Legalzoom.com Inc.  3,589,505      40,561
Greif Inc. Class A    616,438      40,432
* Leonardo DRS Inc.  2,004,116      40,162
Barnes Group Inc.  1,225,986      40,004
* CoreCivic Inc.  2,748,502      39,936
* JELD-WEN Holding Inc.  2,061,636      38,924
Helios Technologies Inc.    841,761      38,174
*,1 Rocket Lab USA Inc.  6,805,553      37,635
* Janus International Group Inc.  2,803,793      36,589
Lindsay Corp.    280,891      36,280
AZZ Inc.    606,685      35,242
* Payoneer Global Inc.  6,450,310      33,606
Greenbrier Cos. Inc.    753,085      33,271
* Cimpress plc    406,282      32,523
Kforce Inc.    478,028      32,296
* Gibraltar Industries Inc.    387,567      30,610
Wabash National Corp.  1,173,717      30,071
Apogee Enterprises Inc.    562,105      30,022
* Thermon Group Holdings Inc.    858,139      27,950
* Air Transport Services Group Inc.  1,579,297      27,811
TriMas Corp.  1,054,693      26,715
* Vicor Corp.    583,032      26,201
Quanex Building Products Corp.    840,075      25,681
* Proto Labs Inc.    656,684      25,584
International Seaways Inc.    560,474      25,490
Schneider National Inc. Class B    951,656      24,220
Deluxe Corp.  1,112,690      23,867
*,1 Virgin Galactic Holdings Inc.  9,160,117      22,442
 
20

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* ZipRecruiter Inc. Class A  1,555,735      21,625
Astec Industries Inc.    579,076      21,542
First Advantage Corp.  1,293,502      21,433
Gorman-Rupp Co.    567,036      20,147
* American Woodmark Corp.    209,071      19,412
Pitney Bowes Inc.  4,265,920      18,770
Kaman Corp.    719,628      17,235
Heartland Express Inc.  1,207,428      17,218
Kelly Services Inc. Class A    773,118      16,715
Hyster-Yale Materials Handling Inc.    261,932      16,290
* Triumph Group Inc.    978,575      16,225
* Conduent Inc.  4,426,858      16,158
REV Group Inc.    755,179      13,722
*,1 PureCycle Technologies Inc.  3,342,399      13,537
Pactiv Evergreen Inc.    908,940      12,462
*,1 Nikola Corp. 14,003,335      12,250
National Presto Industries Inc.    135,252      10,858
TTEC Holdings Inc.    483,062      10,468
*,1 Atmus Filtration Technologies Inc.    435,038      10,219
* Sterling Check Corp.    720,407      10,028
* CryoPort Inc.    592,301       9,175
* BrightView Holdings Inc.    953,707       8,030
* Forrester Research Inc.    293,984       7,882
* Advantage Solutions Inc.  2,078,162       7,523
* Paymentus Holdings Inc. Class A    415,284       7,421
* TaskUS Inc. Class A    466,724       6,100
Kronos Worldwide Inc.    585,908       5,824
* Green Dot Corp. Class A    568,249       5,626
Greif Inc. Class B     54,195       3,577
*,1 Desktop Metal Inc. Class A  2,897,547       2,176
*,1 MSP Recovery Inc.     67,316         153
*,2 GCI Liberty Inc.     12,245          —
                    29,019,694
Real Estate (7.5%)
Kimco Realty Corp. 15,786,511     336,411
Gaming & Leisure Properties Inc.  6,459,833     318,793
Equity LifeStyle Properties Inc.  4,272,098     301,354
Rexford Industrial Realty Inc.  5,169,256     289,995
American Homes 4 Rent Class A  7,823,512     281,334
CubeSmart  5,726,386     265,418
          Shares Market
Value

($000)
Boston Properties Inc.  3,595,117     252,269
Lamar Advertising Co. Class A  2,230,295     237,036
* Jones Lang LaSalle Inc.  1,211,529     228,822
Americold Realty Trust Inc.  7,219,902     218,546
EastGroup Properties Inc.  1,179,825     216,545
Federal Realty Investment Trust  2,078,516     214,191
NNN REIT Inc.  4,646,102     200,247
Omega Healthcare Investors Inc.  6,239,120     191,291
STAG Industrial Inc.  4,623,962     181,537
Brixmor Property Group Inc.  7,655,147     178,135
First Industrial Realty Trust Inc.  3,368,573     177,423
Host Hotels & Resorts Inc.  8,982,146     174,882
Healthcare Realty Trust Inc. Class A  9,699,571     167,124
Agree Realty Corp.  2,559,759     161,137
Ryman Hospitality Properties Inc.  1,444,543     158,986
Regency Centers Corp.  2,350,273     157,468
Spirit Realty Capital Inc.  3,599,202     157,249
Healthpeak Properties Inc.  6,958,585     137,780
Terreno Realty Corp.  2,174,435     136,272
Camden Property Trust  1,358,085     134,844
Apartment Income REIT Corp. Class A  3,743,435     130,010
Kite Realty Group Trust  5,587,017     127,719
Rayonier Inc.  3,775,905     126,153
* Zillow Group Inc. Class A  2,187,964     124,101
Vornado Realty Trust  4,367,236     123,374
Kilroy Realty Corp.  2,985,698     118,950
Phillips Edison & Co. Inc.  3,045,739     111,109
Essential Properties Realty Trust Inc.  3,973,378     101,560
PotlatchDeltic Corp.  2,021,168      99,239
Cousins Properties Inc.  3,865,179      94,117
EPR Properties  1,918,381      92,946
Independence Realty Trust Inc.  5,722,599      87,556
Apple Hospitality REIT Inc.  5,244,195      87,106
Macerich Co.  5,486,722      84,660
 
21

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Sabra Health Care REIT Inc.  5,888,329      84,027
Broadstone Net Lease Inc.  4,768,778      82,118
Physicians Realty Trust  6,082,979      80,965
National Storage Affiliates Trust  1,904,318      78,972
1 Hannon Armstrong Sustainable Infrastructure Capital Inc.  2,834,191      78,167
Park Hotels & Resorts Inc.  5,080,350      77,729
1 Medical Properties Trust Inc. 15,240,323      74,830
1 SL Green Realty Corp.  1,639,976      74,078
LXP Industrial Trust  7,452,439      73,928
COPT Defense Properties  2,866,163      73,460
DigitalBridge Group Inc.  4,157,223      72,918
Innovative Industrial Properties Inc.    714,094      71,995
Tanger Inc.  2,548,287      70,639
* Opendoor Technologies Inc. 15,354,960      68,790
CareTrust REIT Inc.  3,032,810      67,874
* Howard Hughes Holdings Inc.    765,291      65,471
SITE Centers Corp.  4,797,264      65,387
Highwoods Properties Inc.  2,691,620      61,800
National Health Investors Inc.  1,050,226      58,655
Douglas Emmett Inc.  4,033,934      58,492
1 Global Net Lease Inc.  5,864,968      58,356
St. Joe Co.    966,272      58,150
Sunstone Hotel Investors Inc.  5,231,989      56,139
Outfront Media Inc.  3,782,883      52,809
Urban Edge Properties  2,846,072      52,083
DiamondRock Hospitality Co.  5,338,199      50,126
* Cushman & Wakefield plc  4,629,566      49,999
Equity Commonwealth  2,581,904      49,573
Pebblebrook Hotel Trust  3,068,823      49,040
RLJ Lodging Trust  3,770,472      44,190
Retail Opportunity Investments Corp.  3,048,383      42,769
JBG SMITH Properties  2,437,686      41,465
InvenTrust Properties Corp.  1,633,835      41,401
Acadia Realty Trust  2,428,043      41,253
          Shares Market
Value

($000)
Xenia Hotels & Resorts Inc.  2,679,179      36,490
Service Properties Trust  4,221,607      36,053
Newmark Group Inc. Class A  3,277,749      35,924
Getty Realty Corp.  1,207,840      35,293
Alexander & Baldwin Inc.  1,847,279      35,135
Uniti Group Inc.  6,078,034      35,131
* Compass Inc. Class A  9,225,090      34,686
LTC Properties Inc.  1,054,606      33,874
Hudson Pacific Properties Inc.  3,589,230      33,416
* GEO Group Inc.  3,050,889      33,041
Kennedy-Wilson Holdings Inc.  2,662,322      32,960
Elme Communities  2,236,799      32,657
Empire State Realty Trust Inc. Class A  3,290,128      31,881
Veris Residential Inc.  1,996,311      31,402
1 eXp World Holdings Inc.  1,958,343      30,394
* Redfin Corp.  2,787,997      28,772
* Zillow Group Inc. Class C    485,956      28,117
RPT Realty  2,182,845      28,006
* Apartment Investment & Management Co. Class A  3,340,864      26,159
Marcus & Millichap Inc.    586,524      25,619
Paramount Group Inc.  4,705,206      24,326
Brandywine Realty Trust  4,382,797      23,667
American Assets Trust Inc.  1,005,345      22,630
Piedmont Office Realty Trust Inc. Class A  3,150,693      22,401
Centerspace    383,314      22,309
* Anywhere Real Estate Inc.  2,669,703      21,651
* Forestar Group Inc.    444,880      14,712
Universal Health Realty Income Trust    316,835      13,703
Saul Centers Inc.    335,373      13,170
Alexander's Inc.     58,490      12,492
RMR Group Inc. Class A    380,067      10,729
Summit Hotel Properties Inc.  1,301,339       8,745
Bridge Investment Group Holdings Inc. Class A    787,588       7,703
*,2 Spirit MTA REIT    529,410          —
                     9,974,585
 
22

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Technology (12.9%)
* PTC Inc.  2,885,040     504,766
Entegris Inc.  3,824,023     458,194
Vertiv Holdings Co. Class A  8,742,571     419,906
Jabil Inc.  3,095,484     394,365
* Dynatrace Inc.  6,746,661     368,975
* Super Micro Computer Inc.  1,202,140     341,720
* Manhattan Associates Inc.  1,567,869     337,594
* Nutanix Inc. Class A  6,102,039     291,006
* F5 Inc.  1,520,534     272,145
* Pure Storage Inc. Class A  7,547,086     269,129
* Ceridian HCM Holding Inc.  3,777,207     253,526
* Lattice Semiconductor Corp.  3,515,089     242,506
* UiPath Inc. Class A  9,249,678     229,762
* Guidewire Software Inc.  2,086,464     227,508
* Elastic NV  2,009,711     226,494
Universal Display Corp.  1,145,750     219,136
* Onto Innovation Inc.  1,249,913     191,112
KBR Inc.  3,438,067     190,503
Leidos Holdings Inc.  1,750,920     189,520
* Dropbox Inc. Class A  6,412,784     189,049
* Toast Inc. Class A 10,282,765     187,763
* Rambus Inc.  2,737,922     186,863
* CACI International Inc. Class A    567,385     183,753
* SPS Commerce Inc.    934,539     181,151
* Fabrinet    925,213     176,096
* Qualys Inc.    889,979     174,685
*,1 MicroStrategy Inc. Class A    271,810     171,681
* Arrow Electronics Inc.  1,379,292     168,618
* Coherent Corp.  3,857,703     167,926
Science Applications International Corp.  1,348,115     167,598
* ZoomInfo Technologies Inc. Class A  8,929,072     165,099
* Procore Technologies Inc.  2,375,046     164,401
* AppLovin Corp. Class A  4,044,585     161,177
* SentinelOne Inc. Class A  5,859,015     160,771
* Aspen Technology Inc.    729,980     160,705
* Smartsheet Inc. Class A  3,269,284     156,337
* DocuSign Inc. Class A  2,584,665     153,658
* Novanta Inc.    911,956     153,583
* Gitlab Inc. Class A  2,385,643     150,200
          Shares Market
Value

($000)
* Insight Enterprises Inc.    829,682     147,011
* Five9 Inc.  1,851,303     145,679
Concentrix Corp.  1,441,378     141,558
* Qorvo Inc.  1,238,199     139,434
TD SYNNEX Corp.  1,293,521     139,196
* Wolfspeed Inc.  3,191,580     138,866
* Tenable Holdings Inc.  2,977,887     137,161
Dolby Laboratories Inc. Class A  1,507,366     129,905
* Samsara Inc. Class A  3,880,789     129,541
* DoubleVerify Holdings Inc.  3,463,151     127,375
* MACOM Technology Solutions Holdings Inc.  1,360,060     126,418
* Match Group Inc.  3,457,310     126,192
* Workiva Inc. Class A  1,214,540     123,312
* Kyndryl Holdings Inc.  5,843,625     121,431
* Varonis Systems Inc. Class B  2,635,920     119,354
* Blackbaud Inc.  1,371,444     118,904
Power Integrations Inc.  1,447,989     118,894
* Altair Engineering Inc. Class A  1,391,167     117,067
Avnet Inc.  2,304,392     116,141
* Freshworks Inc. Class A  4,890,193     114,871
* Cirrus Logic Inc.  1,372,630     114,189
* Synaptics Inc.    998,264     113,882
* DXC Technology Co.  4,931,752     112,789
* Confluent Inc. Class A  4,747,060     111,081
* Teradata Corp.  2,490,686     108,370
* Axcelis Technologies Inc.    833,944     108,154
* Silicon Laboratories Inc.    809,244     107,039
Amkor Technology Inc.  3,129,147     104,107
Advanced Energy Industries Inc.    949,410     103,410
* IAC Inc.  1,835,106      96,123
* Diodes Inc.  1,111,392      89,489
* Box Inc. Class A  3,484,894      89,248
* CommVault Systems Inc.  1,115,265      89,054
* BlackLine Inc.  1,404,275      87,683
* Appfolio Inc. Class A    496,004      85,928
Dun & Bradstreet Holdings Inc.  7,266,184      85,014
* Rapid7 Inc.  1,486,576      84,884
* FormFactor Inc.  1,982,370      82,685
* Yelp Inc. Class A  1,656,517      78,420
* Alarm.com Holdings Inc.  1,209,363      78,149
* IPG Photonics Corp.    717,016      77,825
 
23

 

Small-Cap Index Fund
          Shares Market
Value

($000)
Vishay Intertechnology Inc.  3,214,885      77,061
* Plexus Corp.    699,489      75,636
*,1 C3.ai Inc. Class A  2,628,926      75,476
* Ziff Davis Inc.  1,112,499      74,749
* CCC Intelligent Solutions Holdings Inc.  6,466,122      73,649
* Alteryx Inc. Class A  1,545,794      72,900
* Braze Inc. Class A  1,368,883      72,729
* Sprout Social Inc. Class A  1,180,042      72,502
* Sanmina Corp.  1,375,155      70,642
* JFrog Ltd.  2,003,300      69,334
* RingCentral Inc. Class A  2,027,954      68,849
* Parsons Corp.  1,068,476      67,004
* Credo Technology Group Holding Ltd.  3,251,547      63,308
* Rogers Corp.    474,089      62,613
* Envestnet Inc.  1,252,689      62,033
* Q2 Holdings Inc.  1,418,568      61,580
Progress Software Corp.  1,109,442      60,243
* LiveRamp Holdings Inc.  1,584,926      60,037
* HashiCorp Inc. Class A  2,506,673      59,258
* Ambarella Inc.    964,795      59,132
* Perficient Inc.    885,510      58,284
* nCino Inc.  1,725,245      58,020
* NCR Voyix Corp.  3,416,074      57,766
* Schrodinger Inc.  1,601,018      57,316
* Cargurus Inc. Class A  2,329,057      56,270
* Fastly Inc. Class A  2,997,890      53,362
* SiTime Corp.    428,886      52,358
Pegasystems Inc.  1,063,933      51,984
* Allegro MicroSystems Inc.  1,715,554      51,930
*,1 IonQ Inc.  4,170,456      51,672
Xerox Holdings Corp.  2,816,949      51,635
* Impinj Inc.    551,190      49,624
* PagerDuty Inc.  2,138,623      49,509
*,1 DigitalOcean Holdings Inc.  1,314,360      48,224
* Squarespace Inc. Class A  1,458,756      48,154
* Upwork Inc.  3,119,594      46,388
Clear Secure Inc. Class A  2,176,663      44,948
* MaxLinear Inc. Class A  1,869,349      44,434
* Veeco Instruments Inc.  1,363,075      42,296
* Verint Systems Inc.  1,554,926      42,030
* PROS Holdings Inc.  1,060,299      41,129
* Appian Corp. Class A  1,062,715      40,022
          Shares Market
Value

($000)
* TTM Technologies Inc.  2,473,690      39,109
* Paycor HCM Inc.  1,809,011      39,057
CSG Systems International Inc.    717,889      38,199
* NetScout Systems Inc.  1,717,686      37,703
*,1 Xometry Inc. Class A  1,040,459      37,363
* Bumble Inc. Class A  2,437,744      35,932
* Semtech Corp.  1,634,292      35,807
*,1 Asana Inc. Class A  1,879,633      35,732
* Informatica Inc. Class A  1,258,094      35,717
* Vertex Inc. Class A  1,305,626      35,174
Adeia Inc.  2,592,845      32,125
* Jamf Holding Corp.  1,761,963      31,821
* Zuora Inc. Class A  3,371,654      31,694
* Magnite Inc.  3,335,081      31,150
* Zeta Global Holdings Corp. Class A  3,522,319      31,067
Shutterstock Inc.    636,611      30,736
* Intapp Inc.    797,425      30,318
* Sprinklr Inc. Class A  2,437,634      29,349
* AvePoint Inc.  3,507,961      28,800
* Veradigm Inc.  2,643,140      27,727
* Everbridge Inc.  1,045,887      25,426
* ScanSource Inc.    635,838      25,186
* EngageSmart Inc.  1,070,202      24,508
Benchmark Electronics Inc.    863,295      23,861
* Alkami Technology Inc.    971,396      23,556
* E2open Parent Holdings Inc.  5,020,680      22,041
* Amplitude Inc. Class A  1,704,568      21,682
* N-able Inc.  1,630,491      21,604
* 3D Systems Corp.  3,228,223      20,499
Methode Electronics Inc.    871,241      19,803
* Cerence Inc.    975,792      19,184
* Couchbase Inc.    779,158      17,547
* PubMatic Inc. Class A  1,059,555      17,281
* Eventbrite Inc. Class A  2,055,305      17,182
* Digital Turbine Inc.  2,450,928      16,813
* BigCommerce Holdings Inc.  1,647,053      16,026
* SolarWinds Corp.  1,267,126      15,826
*,1 Klaviyo Inc. Class A    557,665      15,492
* nLight Inc.  1,129,489      15,248
* Olo Inc. Class A  2,643,962      15,123
* Vimeo Inc.  3,827,419      15,003
* Yext Inc.  2,536,078      14,938
*,1 NerdWallet Inc. Class A    964,873      14,203
* SmartRent Inc. Class A  4,397,277      14,027
*,1 Getty Images Holdings Inc.  2,565,517      13,469
* CEVA Inc.    570,028      12,945
 
24

 

Small-Cap Index Fund
          Shares Market
Value

($000)
* SEMrush Holdings Inc. Class A    914,895      12,497
* Planet Labs PBC  5,054,851      12,485
* Definitive Healthcare Corp. Class A  1,188,158      11,810
* Thoughtworks Holding Inc.  2,432,800      11,702
* MeridianLink Inc.    402,314       9,965
* Matterport Inc.  3,308,203       8,899
* Enfusion Inc. Class A    786,812       7,632
* Nextdoor Holdings Inc.  3,940,786       7,448
*,1 Rumble Inc.  1,578,721       7,088
* Consensus Cloud Solutions Inc.    219,772       5,760
* MediaAlpha Inc. Class A    478,415       5,334
* EverCommerce Inc.    480,458       5,299
* SecureWorks Corp. Class A    188,332       1,390
*,1 Maplebear Inc.      6,951         163
                    17,311,429
Telecommunications (1.2%)
Juniper Networks Inc.  8,120,541     239,394
* Ciena Corp.  3,765,058     169,465
* Frontier Communications Parent Inc.  6,259,392     158,613
* Roku Inc. Class A  1,592,765     145,993
Iridium Communications Inc.  2,838,656     116,839
* Lumentum Holdings Inc.  1,706,145      89,436
Cogent Communications Holdings Inc.  1,114,448      84,765
*,1 Viasat Inc.  2,853,696      79,761
InterDigital Inc.    654,584      71,049
Cable One Inc.    114,473      63,715
* Calix Inc.  1,425,811      62,294
* Viavi Solutions Inc.  5,663,587      57,032
Telephone & Data Systems Inc.  2,564,321      47,055
* Lumen Technologies Inc. 25,693,131      47,018
* Globalstar Inc. 19,353,446      37,546
* DISH Network Corp. Class A  6,406,548      36,966
* Extreme Networks Inc.  1,567,883      27,657
Shenandoah Telecommunications Co.  1,216,106      26,292
*,1 Infinera Corp.  4,912,079      23,332
* Altice USA Inc. Class A  5,538,516      18,000
          Shares Market
Value

($000)
* United States Cellular Corp.    331,063      13,752
* EchoStar Corp. Class A    783,991      12,991
* fuboTV Inc.  3,541,841      11,263
* Gogo Inc.    820,282       8,309
* CommScope Holding Co. Inc.  2,567,768       7,241
ADTRAN Holdings Inc.    852,697       6,259
* Xperi Inc.    526,403       5,801
ATN International Inc.    127,789       4,980
* WideOpenWest Inc.    639,748       2,591
                     1,675,409
Utilities (2.9%)
Atmos Energy Corp.  3,781,687     438,297
NRG Energy Inc.  5,749,532     297,251
Essential Utilities Inc.  6,260,738     233,839
* Clean Harbors Inc.  1,239,649     216,331
Pinnacle West Capital Corp.  2,885,672     207,307
OGE Energy Corp.  5,100,654     178,166
Vistra Corp.  4,552,961     175,380
UGI Corp.  5,334,691     131,233
IDACORP Inc.  1,288,989     126,733
* Casella Waste Systems Inc. Class A  1,451,459     124,042
National Fuel Gas Co.  2,338,582     117,327
* Stericycle Inc.  2,356,256     116,776
Portland General Electric Co.  2,575,258     111,612
New Jersey Resources Corp.  2,488,270     110,927
Southwest Gas Holdings Inc.  1,725,597     109,317
*,1 Sunrun Inc.  5,271,180     103,473
Ormat Technologies Inc.  1,306,455      99,016
Black Hills Corp.  1,731,479      93,413
PNM Resources Inc.  2,185,909      90,934
ONE Gas Inc.  1,412,213      89,986
ALLETE Inc.  1,463,740      89,522
Northwestern Energy Group Inc.  1,559,616      79,369
Spire Inc.  1,272,645      79,337
California Water Service Group  1,469,713      76,234
American States Water Co.    941,699      75,731
Avista Corp.  1,970,266      70,417
MGE Energy Inc.    920,979      66,596
Clearway Energy Inc. Class C  2,100,702      57,622
*,1 Sunnova Energy International Inc.  2,648,057      40,383
1 Hawaiian Electric Industries Inc.  2,791,411      39,610
 
25

 

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.
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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.
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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.
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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.
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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.
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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.
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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
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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.
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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
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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.
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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
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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.
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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
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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.
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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.
          Shares Market
Value

($000)
Common Stocks (99.7%)
Basic Materials (2.0%)
* RBC Bearings Inc.    413,118    117,693
Royal Gold Inc.    933,112    112,869
Hexcel Corp.  1,194,249     88,076
Balchem Corp.    457,503     68,054
NewMarket Corp.    102,309     55,843
*,1 Livent Corp.  2,548,394     45,820
Quaker Chemical Corp.    191,123     40,790
* MP Materials Corp.  2,023,419     40,165
Carpenter Technology Corp.    332,786     23,561
* Ingevity Corp.    463,836     21,902
Hecla Mining Co.  4,177,181     20,092
* Century Aluminum Co.    722,921      8,776
Compass Minerals International Inc.    292,718      7,412
                      651,053
Consumer Discretionary (16.1%)
* Deckers Outdoor Corp.    365,639    244,404
* DraftKings Inc. Class A  5,963,820    210,225
* Liberty Media Corp.-Liberty Formula One Class C  2,947,877    186,099
RB Global Inc.  2,590,739    173,294
* Floor & Decor Holdings Inc. Class A  1,437,846    160,406
* Five Below Inc.    751,513    160,192
* Etsy Inc.  1,700,451    137,822
* Caesars Entertainment Inc.  2,915,712    136,689
Churchill Downs Inc.    953,745    128,689
Wynn Resorts Ltd.  1,363,559    124,234
Tempur Sealy International Inc.  2,324,738    118,492
* Skechers USA Inc. Class A  1,897,779    118,307
Texas Roadhouse Inc. Class A    948,579    115,945
Vail Resorts Inc.    541,103    115,509
* Duolingo Inc. Class A    482,915    109,549
Gentex Corp.  3,312,920    108,200
          Shares Market
Value

($000)
* elf Beauty Inc.    744,834    107,509
Wingstop Inc.    417,778    107,193
* SiteOne Landscape Supply Inc.    640,705    104,115
Pool Corp.    260,928    104,035
Wyndham Hotels & Resorts Inc.  1,178,055     94,727
* Planet Fitness Inc. Class A  1,213,005     88,549
Hyatt Hotels Corp. Class A    627,763     81,867
* Bright Horizons Family Solutions Inc.    821,921     77,458
*,1 Carvana Co. Class A  1,456,989     77,133
* Wayfair Inc. Class A  1,243,987     76,754
* Crocs Inc.    816,922     76,309
TKO Group Holdings Inc. Class A    889,408     72,558
* Ollie's Bargain Outlet Holdings Inc.    877,604     66,601
* YETI Holdings Inc.  1,232,360     63,812
Boyd Gaming Corp.    974,551     61,017
* RH    208,864     60,880
* Grand Canyon Education Inc.    426,894     56,367
* Skyline Champion Corp.    735,425     54,613
* Light & Wonder Inc.    639,738     52,529
* Visteon Corp.    395,601     49,411
* Madison Square Garden Sports Corp.    262,205     47,677
1 Choice Hotels International Inc.    389,636     44,146
* Hilton Grand Vacations Inc.  1,071,328     43,046
LCI Industries    340,812     42,843
* Fox Factory Holding Corp.    600,451     40,518
* Frontdoor Inc.  1,132,585     39,890
* Shake Shack Inc. Class A    533,328     39,530
* LGI Homes Inc.    284,902     37,938
Columbia Sportswear Co.    473,394     37,654
Inter Parfums Inc.    250,204     36,032
49

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Papa John's International Inc.    465,926     35,517
*,1 QuantumScape Corp. Class A  4,583,831     31,858
* Dorman Products Inc.    380,711     31,755
* TripAdvisor Inc.  1,430,681     30,803
* Sonos Inc.  1,780,235     30,513
* Coursera Inc.  1,518,883     29,421
* Topgolf Callaway Brands Corp.  1,968,492     28,228
* Peloton Interactive Inc. Class A  4,627,230     28,180
* ACV Auctions Inc. Class A  1,840,091     27,877
*,1 Lucid Group Inc.  6,505,794     27,389
* SeaWorld Entertainment Inc.    500,227     26,427
* Dave & Buster's Entertainment Inc.    488,685     26,316
* Six Flags Entertainment Corp.  1,009,992     25,331
* Gentherm Inc.    466,512     24,427
*,1 Dutch Bros Inc. Class A    762,678     24,154
* Sabre Corp.  5,397,809     23,750
Jack in the Box Inc.    280,732     22,916
Steven Madden Ltd.    504,122     21,173
* Liberty Media Corp.-Liberty Formula One Class A    350,956     20,348
* Cavco Industries Inc.     56,253     19,498
Allegiant Travel Co.    222,474     18,379
* Beyond Inc.    644,417     17,844
* Integral Ad Science Holding Corp.  1,234,926     17,771
* Stride Inc.    292,849     17,386
* Chewy Inc. Class A    724,330     17,116
* Boot Barn Holdings Inc.    215,373     16,532
* Leslie's Inc.  2,355,544     16,277
* Madison Square Garden Entertainment Corp. Class A    497,040     15,801
* Life Time Group Holdings Inc.    977,522     14,741
* iRobot Corp.    376,549     14,572
* Sweetgreen Inc. Class A  1,201,752     13,580
*,1 Luminar Technologies Inc. Class A  3,902,322     13,151
* Figs Inc. Class A  1,833,427     12,742
1 Spirit Airlines Inc.    776,410     12,725
* Driven Brands Holdings Inc.    816,263     11,640
*,1 Mister Car Wash Inc.  1,340,217     11,579
* Portillo's Inc. Class A    709,716     11,306
* Dream Finders Homes Inc. Class A    304,010     10,801
Levi Strauss & Co. Class A    640,349     10,591
          Shares Market
Value

($000)
* Udemy Inc.    708,728     10,440
*,1 Cava Group Inc.    242,268     10,413
* Sun Country Airlines Holdings Inc.    606,906      9,547
* Revolve Group Inc. Class A    562,680      9,329
* Cars.com Inc.    447,697      8,493
* Instructure Holdings Inc.    308,448      8,331
* Corsair Gaming Inc.    586,014      8,263
Camping World Holdings Inc. Class A    286,927      7,535
* Vizio Holding Corp. Class A    946,773      7,290
* Arhaus Inc. Class A    567,008      6,719
*,1 Savers Value Village Inc.    357,039      6,205
* BJ's Restaurants Inc.    157,012      5,654
*,1 Bowlero Corp. Class A    330,194      4,675
*,1 Fisker Inc. Class A  2,306,123      4,036
* Rush Street Interactive Inc.    865,520      3,886
*,1 Frontier Group Holdings Inc.    628,682      3,433
* SES AI Corp.  1,751,234      3,205
* Angi Inc. Class A  1,013,017      2,522
* Liberty Media Corp.-Liberty Live Class C          1         —
                    5,221,158
Consumer Staples (3.2%)
Casey's General Stores Inc.    529,498    145,474
* Darling Ingredients Inc.  2,265,240    112,899
Lamb Weston Holdings Inc.  1,029,209    111,247
* Celsius Holdings Inc.  1,974,172    107,632
* BellRing Brands Inc.  1,864,649    103,357
Coca-Cola Consolidated Inc.     65,460     60,773
* Freshpet Inc.    684,312     59,371
* Simply Good Foods Co.  1,271,101     50,336
WD-40 Co.    192,840     46,102
Lancaster Colony Corp.    274,035     45,597
* Boston Beer Co. Inc. Class A    129,593     44,786
Cal-Maine Foods Inc.    565,603     32,460
* Post Holdings Inc.    343,409     30,241
J & J Snack Foods Corp.    164,989     27,576
* National Beverage Corp.    331,972     16,506
* Sovos Brands Inc.    721,489     15,894
Utz Brands Inc.    923,318     14,995
Tootsie Roll Industries Inc.    199,989      6,648
*,1 Beyond Meat Inc.    436,520      3,885
* Olaplex Holdings Inc.    699,361      1,776
* Beauty Health Co.    304,416        947
                    1,038,502
 
50

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Energy (6.1%)
Targa Resources Corp.  3,169,601    275,343
TechnipFMC plc  5,876,456    118,352
NOV Inc.  5,593,626    113,439
EQT Corp.  2,921,273    112,936
* Weatherford International plc  1,025,780    100,352
Civitas Resources Inc.  1,331,472     91,046
Matador Resources Co.  1,522,333     86,560
ChampionX Corp.  2,765,764     80,788
Noble Corp. plc  1,604,928     77,293
Texas Pacific Land Corp.     43,665     68,661
* Transocean Ltd. 10,327,769     65,581
Magnolia Oil & Gas Corp. Class A  2,495,637     53,132
Alpha Metallurgical Resources Inc.    151,172     51,235
1 New Fortress Energy Inc.  1,312,358     49,515
Northern Oil & Gas Inc.  1,286,001     47,672
Cactus Inc. Class A    925,527     42,019
Liberty Energy Inc. Class A  2,158,492     39,155
*,1 Plug Power Inc.  8,612,602     38,757
Viper Energy Inc. Class A  1,224,037     38,410
* Shoals Technologies Group Inc. Class A  2,418,849     37,589
* Array Technologies Inc.  2,043,332     34,328
* NEXTracker Inc. Class A    706,527     33,101
SM Energy Co.    827,257     32,031
* Oceaneering International Inc.  1,432,751     30,489
Sitio Royalties Corp. Class A  1,163,023     27,343
* Tidewater Inc.    338,217     24,389
Helmerich & Payne Inc.    636,414     23,051
*,1 Fluence Energy Inc.    809,014     19,295
CONSOL Energy Inc.    165,230     16,611
* Ameresco Inc. Class A    462,599     14,650
* Callon Petroleum Co.    434,308     14,072
Comstock Resources Inc.  1,386,090     12,267
Atlas Energy Solutions Inc. Class A    710,888     12,241
* Dril-Quip Inc.    486,234     11,315
*,1 ChargePoint Holdings Inc.  4,608,894     10,785
* Helix Energy Solutions Group Inc.  1,018,372     10,469
Kinetik Holdings Inc. Class A    310,635     10,375
*,1 FuelCell Energy Inc.  6,409,243     10,255
RPC Inc.  1,384,003     10,076
*,1 SunPower Corp.  1,245,802      6,017
Core Laboratories Inc.    332,316      5,869
1 HighPeak Energy Inc.    365,304      5,202
*,1 EVgo Inc. Class A  1,399,277      5,009
*,1 Stem Inc.  1,054,149      4,090
          Shares Market
Value

($000)
* OPAL Fuels Inc. Class A    129,378        714
1 Enviva Inc.    238,728        238
                    1,972,117
Financials (4.9%)
MarketAxess Holdings Inc.    538,310    157,644
*,1 SoFi Technologies Inc. 12,247,497    121,863
Erie Indemnity Co. Class A    360,855    120,858
* Robinhood Markets Inc. Class A  8,380,518    106,768
Kinsale Capital Group Inc.    312,661    104,713
Morningstar Inc.    363,842    104,146
Blue Owl Capital Inc. Class A  6,470,394     96,409
Houlihan Lokey Inc. Class A    732,793     87,869
*,1 Marathon Digital Holdings Inc.  3,005,837     70,607
* Ryan Specialty Holdings Inc. Class A  1,430,254     61,529
Hamilton Lane Inc. Class A    494,094     56,050
Pinnacle Financial Partners Inc.    518,685     45,240
*,1 Riot Platforms Inc.  2,790,339     43,167
*,1 Upstart Holdings Inc.  1,028,356     42,019
* Credit Acceptance Corp.     71,507     38,094
* Clearwater Analytics Holdings Inc. Class A  1,790,125     35,856
PJT Partners Inc. Class A    310,301     31,610
Moelis & Co. Class A    473,592     26,583
Cohen & Steers Inc.    349,456     26,464
ServisFirst Bancshares Inc.    348,403     23,214
* Goosehead Insurance Inc. Class A    295,603     22,407
* BRP Group Inc. Class A    914,837     21,974
* Oscar Health Inc. Class A  2,171,269     19,867
Safehold Inc.    758,184     17,741
*,1 Trupanion Inc.    443,306     13,525
* Triumph Financial Inc.    157,363     12,617
StepStone Group Inc. Class A    387,244     12,326
*,1 Lemonade Inc.    745,881     12,031
TFS Financial Corp.    797,549     11,716
* Open Lending Corp.  1,362,660     11,596
Live Oak Bancshares Inc.    237,245     10,795
* Palomar Holdings Inc.    167,081      9,273
P10 Inc. Class A    645,786      6,600
* AssetMark Financial Holdings Inc.    158,388      4,744
UWM Holdings Corp. Class A    632,113      4,520
*,1 Hagerty Inc. Class A    299,506      2,336
                    1,594,771
 
51

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Health Care (17.5%)
* Exact Sciences Corp.  2,570,228    190,145
* Neurocrine Biosciences Inc.  1,396,221    183,966
Bio-Techne Corp.  2,246,941    173,374
* Charles River Laboratories International Inc.    728,580    172,236
* Repligen Corp.    753,327    135,448
* Penumbra Inc.    520,696    130,976
Chemed Corp.    213,969    125,118
* Sarepta Therapeutics Inc.  1,262,042    121,699
* Cytokinetics Inc.  1,393,291    116,326
* ImmunoGen Inc.  3,781,715    112,128
* Medpace Holdings Inc.    349,130    107,019
* Exelixis Inc.  4,416,714    105,957
* Natera Inc.  1,620,434    101,504
* Shockwave Medical Inc.    523,931     99,840
* Ionis Pharmaceuticals Inc.  1,935,530     97,918
Bruker Corp.  1,277,631     93,880
* Intra-Cellular Therapies Inc.  1,297,916     92,957
Ensign Group Inc.    801,495     89,936
* Globus Medical Inc. Class A  1,677,749     89,407
* Apellis Pharmaceuticals Inc.  1,429,937     85,596
* Inspire Medical Systems Inc.    419,018     85,241
* Option Care Health Inc.  2,514,549     84,715
* Masimo Corp.    712,649     83,530
* HealthEquity Inc.  1,215,440     80,584
* Blueprint Medicines Corp.    862,845     79,589
* Vaxcyte Inc.  1,215,493     76,333
* 10X Genomics Inc. Class A  1,333,527     74,624
* Halozyme Therapeutics Inc.  1,874,885     69,296
* Alkermes plc  2,373,799     65,849
* REVOLUTION Medicines Inc.  2,207,067     63,299
* Insmed Inc.  2,029,474     62,893
* Haemonetics Corp.    721,830     61,724
* Lantheus Holdings Inc.    974,169     60,398
* Merit Medical Systems Inc.    778,162     59,109
* Amicus Therapeutics Inc.  4,158,464     59,009
* Neogen Corp.  2,769,200     55,689
* ACADIA Pharmaceuticals Inc.  1,746,142     54,672
* Catalent Inc.  1,216,712     54,667
* agilon health Inc.  4,319,330     54,208
* Ultragenyx Pharmaceutical Inc.  1,106,196     52,898
* QuidelOrtho Corp.    712,799     52,533
          Shares Market
Value

($000)
* Glaukos Corp.    659,430     52,418
* Evolent Health Inc. Class A  1,553,397     51,309
* Teladoc Health Inc.  2,358,421     50,824
CONMED Corp.    435,977     47,744
* Mirati Therapeutics Inc.    809,869     47,580
* Inari Medical Inc.    696,250     45,201
* Axonics Inc.    720,615     44,844
* iRhythm Technologies Inc.    414,178     44,334
* Arrowhead Pharmaceuticals Inc.  1,448,497     44,324
* Cerevel Therapeutics Holdings Inc.  1,025,840     43,496
* Guardant Health Inc.  1,594,399     43,128
* Progyny Inc.  1,158,652     43,079
* Axsome Therapeutics Inc.    538,169     42,833
* Doximity Inc. Class A  1,512,762     42,418
* Corcept Therapeutics Inc.  1,173,013     38,099
* Intellia Therapeutics Inc.  1,210,141     36,897
*,1 Ginkgo Bioworks Holdings Inc. Class A 20,731,396     35,036
* Surgery Partners Inc.  1,075,012     34,390
* TG Therapeutics Inc.  1,938,305     33,106
* CorVel Corp.    133,815     33,080
* Privia Health Group Inc.  1,427,392     32,873
* SpringWorks Therapeutics Inc.    871,262     31,801
* Denali Therapeutics Inc.  1,474,320     31,639
* Certara Inc.  1,705,275     29,996
* PTC Therapeutics Inc.  1,073,404     29,583
* NeoGenomics Inc.  1,813,089     29,336
* Twist Bioscience Corp.    779,345     28,727
* Veracyte Inc.  1,038,956     28,582
* Beam Therapeutics Inc.  1,043,361     28,400
* Tandem Diabetes Care Inc.    927,560     27,437
* Arvinas Inc.    665,268     27,382
*,1 PROCEPT BioRobotics Corp.    610,532     25,587
* Apollo Medical Holdings Inc.    663,154     25,399
* Sotera Health Co.  1,407,070     23,709
*,1 Recursion Pharmaceuticals Inc. Class A  2,370,063     23,369
* AtriCure Inc.    640,451     22,858
* R1 RCM Inc.  2,086,301     22,052
* STAAR Surgical Co.    694,383     21,672
* Ironwood Pharmaceuticals Inc. Class A  1,887,701     21,595
* Pacira BioSciences Inc.    627,522     21,173
* Novocure Ltd.  1,340,020     20,006
* Xencor Inc.    865,962     18,384
* Relay Therapeutics Inc.  1,665,716     18,340
* Hims & Hers Health Inc.  2,027,351     18,043
 
52

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
* Warby Parker Inc. Class A  1,183,935     16,693
* ICU Medical Inc.    163,283     16,286
* Sage Therapeutics Inc.    725,047     15,712
* Vir Biotechnology Inc.  1,530,734     15,399
* Kymera Therapeutics Inc.    591,937     15,071
* Harmony Biosciences Holdings Inc.    458,226     14,801
* Rocket Pharmaceuticals Inc.    480,883     14,412
* Cytek Biosciences Inc.  1,542,345     14,066
* Omnicell Inc.    323,722     12,182
* Amylyx Pharmaceuticals Inc.    816,239     12,015
* Editas Medicine Inc.  1,161,737     11,768
* Verve Therapeutics Inc.    837,953     11,681
* Alignment Healthcare Inc.  1,344,825     11,579
* Zentalis Pharmaceuticals Inc.    754,946     11,437
* Nevro Corp.    489,252     10,529
* REGENXBIO Inc.    563,170     10,109
* Maravai LifeSciences Holdings Inc. Class A  1,504,168      9,852
*,1 ImmunityBio Inc.  1,899,559      9,536
HealthStream Inc.    344,657      9,316
* Adaptive Biotechnologies Corp.  1,853,341      9,081
* Agios Pharmaceuticals Inc.    397,514      8,853
* BioCryst Pharmaceuticals Inc.  1,456,483      8,724
* Phreesia Inc.    368,434      8,529
* AdaptHealth Corp. Class A  1,163,877      8,485
*,1 LifeStance Health Group Inc.  1,077,006      8,433
* Treace Medical Concepts Inc.    614,113      7,830
* ACELYRIN Inc.  1,037,847      7,742
*,1 Novavax Inc.  1,604,841      7,703
* GoodRx Holdings Inc. Class A  1,051,498      7,045
* Arcus Biosciences Inc.    346,053      6,610
* Sana Biotechnology Inc.  1,542,051      6,292
* Accolade Inc.    487,898      5,860
*,1 Prime Medicine Inc.    622,953      5,519
*,1 Theravance Biopharma Inc.    460,532      5,176
* CareDx Inc.    365,522      4,386
* OPKO Health Inc.  2,748,888      4,151
* Agiliti Inc.    479,427      3,797
* Health Catalyst Inc.    389,271      3,605
* Silk Road Medical Inc.    263,408      3,232
* AnaptysBio Inc.    122,987      2,634
* Allogene Therapeutics Inc.    778,670      2,499
* Lyell Immunopharma Inc.  1,255,193      2,435
          Shares Market
Value

($000)
* Clover Health Investments Corp. Class A  2,418,862      2,303
* Outset Medical Inc.    357,450      1,934
* Innovage Holding Corp.    297,867      1,787
* Mural Oncology plc    118,862        704
*,1 ProKidney Corp. Class A    187,080        333
* Neumora Therapeutics Inc.      3,598         61
* Cano Health Inc.        309          2
*,2 OmniAb Inc. 12.5 Earnout     45,320         —
*,2 OmniAb Inc. 15 Earnout     45,320         —
                    5,666,562
Industrials (19.0%)
* Axon Enterprise Inc.  1,011,035    261,181
Graco Inc.  2,398,978    208,135
Lennox International Inc.    454,594    203,440
Nordson Corp.    729,254    192,640
Watsco Inc.    441,225    189,052
Lincoln Electric Holdings Inc.    812,434    176,672
* TopBuild Corp.    451,295    168,902
* Saia Inc.    377,043    165,228
Advanced Drainage Systems Inc.  1,051,445    147,875
A O Smith Corp.  1,745,154    143,871
* Affirm Holdings Inc. Class A  2,921,893    143,582
Toro Co.  1,475,034    141,589
* Trex Co. Inc.  1,544,106    127,837
Curtiss-Wright Corp.    543,222    121,024
Simpson Manufacturing Co. Inc.    606,160    120,008
* WEX Inc.    607,066    118,105
* WillScot Mobile Mini Holdings Corp.  2,585,459    115,053
* Generac Holdings Inc.    873,503    112,892
* GXO Logistics Inc.  1,689,095    103,305
Cognex Corp.  2,444,032    102,014
Eagle Materials Inc.    496,259    100,661
BWX Technologies Inc.  1,299,619     99,720
Landstar System Inc.    511,331     99,019
* Paylocity Holding Corp.    598,251     98,622
Littelfuse Inc.    353,622     94,615
Jack Henry & Associates Inc.    516,987     84,481
* Core & Main Inc. Class A  2,066,160     83,494
* Chart Industries Inc.    606,596     82,697
* ATI Inc.  1,811,050     82,348
Howmet Aerospace Inc.  1,462,654     79,159
* AZEK Co. Inc. Class A  2,013,900     77,032
Maximus Inc.    867,674     72,763
* ExlService Holdings Inc.  2,223,304     68,589
AAON Inc.    922,344     68,134
Federal Signal Corp.    864,577     66,348
Badger Meter Inc.    417,447     64,441
 
53

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Exponent Inc.    718,197     63,230
* Euronet Worldwide Inc.    621,687     63,095
Installed Building Products Inc.    342,607     62,635
Armstrong World Industries Inc.    626,788     61,626
* Shift4 Payments Inc. Class A    807,018     59,994
Insperity Inc.    503,843     59,060
* BILL Holdings Inc.    720,526     58,788
Woodward Inc.    426,994     58,127
Herc Holdings Inc.    382,041     56,882
FTAI Aviation Ltd.  1,205,000     55,912
Franklin Electric Co. Inc.    557,706     53,902
Comfort Systems USA Inc.    253,998     52,240
* Middleby Corp.    353,227     51,984
* Verra Mobility Corp. Class A  2,247,467     51,759
* AeroVironment Inc.    387,943     48,896
* Itron Inc.    644,949     48,700
* ACI Worldwide Inc.  1,541,201     47,161
* TriNet Group Inc.    395,171     46,998
* Marqeta Inc. Class A  6,626,428     46,252
John Bean Technologies Corp.    451,332     44,885
Genpact Ltd.  1,286,975     44,671
*,1 Bloom Energy Corp. Class A  2,868,103     42,448
* AMN Healthcare Services Inc.    537,510     40,249
* Flywire Corp.  1,615,308     37,394
* Kratos Defense & Security Solutions Inc.  1,834,031     37,212
* Remitly Global Inc.  1,843,424     35,799
* MasTec Inc.    448,476     33,959
Mueller Water Products Inc. Class A  2,225,866     32,052
* Mercury Systems Inc.    758,878     27,752
Tennant Co.    265,716     24,629
*,1 Enovix Corp.  1,909,069     23,902
Forward Air Corp.    365,029     22,949
* Dycom Industries Inc.    198,214     22,812
* Legalzoom.com Inc.  2,004,945     22,656
* Leonardo DRS Inc.  1,119,339     22,432
* Janus International Group Inc.  1,566,011     20,436
Lindsay Corp.    156,902     20,265
* Payoneer Global Inc.  3,604,456     18,779
* Cimpress plc    226,936     18,166
* Gibraltar Industries Inc.    216,466     17,096
* Vicor Corp.    325,641     14,634
* Hayward Holdings Inc.    988,781     13,447
* Masonite International Corp.    155,962     13,204
*,1 Virgin Galactic Holdings Inc.  5,116,294     12,535
          Shares Market
Value

($000)
Enerpac Tool Group Corp. Class A    386,463     12,015
Helios Technologies Inc.    235,319     10,672
*,1 PureCycle Technologies Inc.  1,866,888      7,561
*,1 Nikola Corp.  7,821,350      6,842
* ZipRecruiter Inc. Class A    432,964      6,018
Gorman-Rupp Co.    158,344      5,626
* Sterling Check Corp.    402,410      5,602
* CryoPort Inc.    330,820      5,124
* Paymentus Holdings Inc. Class A    231,730      4,141
* TaskUS Inc. Class A    260,662      3,407
*,1 Desktop Metal Inc. Class A  1,618,160      1,215
*,2 GCI Liberty Inc.     14,603         —
                    6,164,355
Real Estate (5.5%)
Equity LifeStyle Properties Inc.  2,383,903    168,161
Rexford Industrial Realty Inc.  2,883,528    161,766
American Homes 4 Rent Class A  4,365,288    156,976
CubeSmart  3,194,838    148,081
Americold Realty Trust Inc.  4,027,198    121,903
Host Hotels & Resorts Inc.  5,008,510     97,516
Healthcare Realty Trust Inc. Class A  5,408,178     93,183
Ryman Hospitality Properties Inc.    806,841     88,801
Spirit Realty Capital Inc.  2,010,374     87,833
Terreno Realty Corp.  1,211,929     75,952
Kite Realty Group Trust  3,113,490     71,174
Lamar Advertising Co. Class A    623,000     66,212
Essential Properties Realty Trust Inc.  2,213,005     56,564
Independence Realty Trust Inc.  3,184,115     48,717
National Storage Affiliates Trust  1,063,658     44,110
Innovative Industrial Properties Inc.    396,930     40,018
* Opendoor Technologies Inc.  8,576,418     38,422
Kilroy Realty Corp.    833,823     33,220
St. Joe Co.    539,679     32,478
Phillips Edison & Co. Inc.    850,586     31,029
RLJ Lodging Trust  2,105,984     24,682
DigitalBridge Group Inc.  1,159,738     20,342
* Howard Hughes Holdings Inc.    213,502     18,265
1 eXp World Holdings Inc.  1,093,848     16,977
* Redfin Corp.  1,557,256     16,071
 
54

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Paramount Group Inc.  2,628,116     13,587
Kennedy-Wilson Holdings Inc.    742,805      9,196
Universal Health Realty Income Trust    176,963      7,654
Alexander's Inc.     16,341      3,490
                    1,792,380
Technology (22.4%)
* PTC Inc.  1,610,235    281,727
Entegris Inc.  2,133,714    255,662
Vertiv Holdings Co. Class A  4,878,785    234,328
* Dynatrace Inc.  3,764,073    205,857
* Manhattan Associates Inc.    874,998    188,405
* Super Micro Computer Inc.    630,599    179,254
* Nutanix Inc. Class A  3,404,504    162,361
* Pure Storage Inc. Class A  4,209,968    150,127
* Ceridian HCM Holding Inc.  2,105,858    141,345
* Lattice Semiconductor Corp.  1,960,200    135,234
* UiPath Inc. Class A  5,156,200    128,080
* Guidewire Software Inc.  1,163,873    126,909
Universal Display Corp.    639,115    122,237
* Elastic NV  1,080,709    121,796
* Onto Innovation Inc.    697,051    106,579
* Dropbox Inc. Class A  3,582,032    105,598
* Toast Inc. Class A  5,733,736    104,698
* Rambus Inc.  1,526,843    104,207
* SPS Commerce Inc.    521,164    101,022
* Fabrinet    515,929     98,197
* Qualys Inc.    496,308     97,415
* ZoomInfo Technologies Inc. Class A  4,978,906     92,060
* Procore Technologies Inc.  1,324,185     91,660
* AppLovin Corp. Class A  2,255,207     89,870
* Aspen Technology Inc.    407,734     89,763
* SentinelOne Inc. Class A  3,265,908     89,617
* Smartsheet Inc. Class A  1,821,922     87,124
* DocuSign Inc. Class A  1,443,684     85,827
* Novanta Inc.    508,359     85,613
* Gitlab Inc. Class A  1,329,869     83,729
*,1 MicroStrategy Inc. Class A    129,994     82,107
* Five9 Inc.  1,031,726     81,187
* Qorvo Inc.    691,605     77,882
* Tenable Holdings Inc.  1,659,747     76,448
* Wolfspeed Inc.  1,678,734     73,042
Dolby Laboratories Inc. Class A    841,973     72,561
* Samsara Inc. Class A  2,162,861     72,196
* DoubleVerify Holdings Inc.  1,929,859     70,980
          Shares Market
Value

($000)
* MACOM Technology Solutions Holdings Inc.    759,656     70,610
* Match Group Inc.  1,931,234     70,490
* Workiva Inc. Class A    676,801     68,716
* Varonis Systems Inc. Class B  1,468,776     66,506
Power Integrations Inc.    806,880     66,253
* Altair Engineering Inc. Class A    777,028     65,387
* Freshworks Inc. Class A  2,724,830     64,006
* Confluent Inc. Class A  2,645,481     61,904
* Axcelis Technologies Inc.    464,619     60,256
* Silicon Laboratories Inc.    450,775     59,624
Advanced Energy Industries Inc.    528,574     57,572
* Diodes Inc.    620,733     49,981
* Box Inc. Class A  1,946,784     49,857
* CommVault Systems Inc.    622,971     49,744
* BlackLine Inc.    781,219     48,779
* Appfolio Inc. Class A    277,103     48,005
* Rapid7 Inc.    830,331     47,412
* Coherent Corp.  1,074,246     46,762
* FormFactor Inc.  1,107,143     46,179
* Yelp Inc. Class A    925,482     43,812
* Alarm.com Holdings Inc.    675,511     43,652
* IPG Photonics Corp.    400,479     43,468
* Alteryx Inc. Class A    863,392     40,718
* Braze Inc. Class A    764,588     40,623
* Sprout Social Inc. Class A    659,117     40,496
* JFrog Ltd.  1,118,964     38,727
* Credo Technology Group Holding Ltd.  1,816,122     35,360
* Rogers Corp.    264,810     34,973
* Envestnet Inc.    699,718     34,650
* Q2 Holdings Inc.    792,368     34,397
* LiveRamp Holdings Inc.    885,288     33,535
* Blackbaud Inc.    383,027     33,208
* HashiCorp Inc. Class A  1,400,105     33,098
* Ambarella Inc.    538,873     33,028
* Perficient Inc.    494,608     32,555
* nCino Inc.    963,648     32,407
* Schrodinger Inc.    894,249     32,014
* Cargurus Inc. Class A  1,301,142     31,436
*,1 C3.ai Inc. Class A  1,058,387     30,386
* Fastly Inc. Class A  1,674,458     29,805
* SiTime Corp.    239,566     29,246
Pegasystems Inc.    594,278     29,036
* Allegro MicroSystems Inc.    958,226     29,006
*,1 IonQ Inc.  2,329,365     28,861
* Impinj Inc.    307,871     27,718
* PagerDuty Inc.  1,194,574     27,654
*,1 DigitalOcean Holdings Inc.    734,141     26,936
* Squarespace Inc. Class A    814,801     26,897
* Upwork Inc.  1,742,440     25,910
 
55

 

Small-Cap Growth Index Fund
          Shares Market
Value

($000)
Clear Secure Inc. Class A  1,215,785     25,106
* Veeco Instruments Inc.    761,336     23,624
* PROS Holdings Inc.    592,244     22,973
* Appian Corp. Class A    593,590     22,355
* Paycor HCM Inc.  1,010,401     21,815
*,1 Xometry Inc. Class A    581,113     20,868
* Asana Inc. Class A  1,049,894     19,958
* Vertex Inc. Class A    729,263     19,646
* RingCentral Inc. Class A    566,985     19,249
* Jamf Holding Corp.    984,208     17,775
* Zuora Inc. Class A  1,883,287     17,703
* Magnite Inc.  1,862,810     17,399
* Zeta Global Holdings Corp. Class A  1,967,444     17,353
Shutterstock Inc.    355,676     17,172
* Intapp Inc.    445,397     16,934
* Sprinklr Inc. Class A  1,361,603     16,394
* AvePoint Inc.  1,959,383     16,087
* Everbridge Inc.    584,216     14,202
* EngageSmart Inc.    597,790     13,689
* Alkami Technology Inc.    542,595     13,158
* MaxLinear Inc. Class A    522,603     12,422
* Amplitude Inc. Class A    952,153     12,111
* 3D Systems Corp.  1,803,127     11,450
* Bumble Inc. Class A    681,836     10,050
* Semtech Corp.    456,902     10,011
* PubMatic Inc. Class A    591,796      9,652
* Eventbrite Inc. Class A  1,142,682      9,553
* BigCommerce Holdings Inc.    920,024      8,952
* nLight Inc.    630,886      8,517
* Olo Inc. Class A  1,476,856      8,448
* Vimeo Inc.  2,138,841      8,384
* Yext Inc.  1,416,599      8,344
* NerdWallet Inc. Class A    540,418      7,955
* SmartRent Inc. Class A  2,456,056      7,835
* CEVA Inc.    318,401      7,231
*,1 SEMrush Holdings Inc. Class A    511,036      6,981
* Planet Labs PBC  2,816,298      6,956
* Definitive Healthcare Corp. Class A    656,228      6,523
* N-able Inc.    455,517      6,036
* MeridianLink Inc.    224,756      5,567
* Matterport Inc.  1,845,923      4,966
* Digital Turbine Inc.    685,331      4,701
* Enfusion Inc. Class A    434,332      4,213
* Nextdoor Holdings Inc.  2,202,516      4,163
*,1 Rumble Inc.    881,700      3,959
*,1 Getty Images Holdings Inc.    714,753      3,752
* Consensus Cloud Solutions Inc.    122,753      3,217
* MediaAlpha Inc. Class A    267,030      2,977
* EverCommerce Inc.    267,958      2,956
          Shares Market
Value

($000)
* SecureWorks Corp. Class A    101,379        748
*,1 Maplebear Inc.      1,817         43
                    7,236,492
Telecommunications (1.5%)
* Ciena Corp.  2,099,261     94,488
* Roku Inc. Class A    887,905     81,385
Iridium Communications Inc.  1,581,508     65,095
Cogent Communications Holdings Inc.    622,435     47,342
Cable One Inc.     63,625     35,413
* Calix Inc.    796,363     34,793
* Lumentum Holdings Inc.    473,760     24,834
* Globalstar Inc. 10,809,570     20,971
InterDigital Inc.    182,825     19,844
* Extreme Networks Inc.    875,713     15,448
Shenandoah Telecommunications Co.    679,271     14,686
*,1 Infinera Corp.  2,743,584     13,032
* fuboTV Inc.  1,978,530      6,292
* Gogo Inc.    458,165      4,641
ADTRAN Holdings Inc.    476,319      3,496
ATN International Inc.     71,401      2,782
* WideOpenWest Inc.    178,737        724
                      485,266
Utilities (1.5%)
* Clean Harbors Inc.    691,490    120,672
Vistra Corp.  2,538,723     97,792
* Casella Waste Systems Inc. Class A    808,828     69,123
* Sunrun Inc.  2,933,535     57,585
Ormat Technologies Inc.    729,719     55,305
California Water Service Group    820,457     42,557
*,1 Sunnova Energy International Inc.  1,479,229     22,558
*,1 Net Power Inc.     99,150      1,002
                      466,594
Total Common Stocks
(Cost $25,992,112)
32,289,250
 
56

 

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.
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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
72

 

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.
73

 

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.
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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.
          Shares Market
Value

($000)
Common Stocks (99.7%)
Basic Materials (5.3%)
Reliance Steel & Aluminum Co.  1,009,136    282,235
* Cleveland-Cliffs Inc.  8,867,856    181,082
United States Steel Corp.  3,525,541    171,518
Steel Dynamics Inc.  1,350,199    159,458
UFP Industries Inc.  1,031,571    129,514
Olin Corp.  2,153,065    116,158
Alcoa Corp.  3,131,406    106,468
Commercial Metals Co.  2,054,397    102,802
Eastman Chemical Co.  1,041,933     93,586
Element Solutions Inc.  4,031,805     93,296
Boise Cascade Co.    695,840     90,014
Timken Co.  1,114,204     89,303
Mueller Industries Inc.  1,892,485     89,231
* Valvoline Inc.  2,292,813     86,164
Chemours Co.  2,604,461     82,145
Cabot Corp.    972,223     81,181
Huntsman Corp.  2,965,003     74,511
FMC Corp.  1,094,527     69,010
Ashland Inc.    809,463     68,246
Avient Corp.  1,599,116     66,475
Innospec Inc.    436,200     53,757
Sensient Technologies Corp.    741,247     48,922
Scotts Miracle-Gro Co.    744,205     47,443
Materion Corp.    362,155     47,127
Minerals Technologies Inc.    570,861     40,708
Westlake Corp.    281,030     39,333
Stepan Co.    372,646     35,234
Tronox Holdings plc  2,060,588     29,178
Carpenter Technology Corp.    410,793     29,084
Hecla Mining Co.  5,142,140     24,734
* Coeur Mining Inc.  6,065,420     19,773
Kaiser Aluminum Corp.    268,020     19,080
* Ecovyst Inc.  1,840,549     17,982
Koppers Holdings Inc.    348,408     17,845
* Worthington Steel Inc.    571,952     16,072
          Shares Market
Value

($000)
Mativ Holdings Inc.    906,867     13,884
Schnitzer Steel Industries Inc. Class A    432,882     13,056
Compass Minerals International Inc.    362,454      9,177
GrafTech International Ltd.  3,392,113      7,429
                    2,762,215
Consumer Discretionary (16.1%)
Toll Brothers Inc.  1,888,392    194,108
Williams-Sonoma Inc.    901,506    181,906
Bath & Body Works Inc.  3,994,053    172,383
Service Corp. International  2,465,314    168,751
Lithia Motors Inc. Class A    483,497    159,206
* American Airlines Group Inc. 11,469,636    157,593
* BJ's Wholesale Club Holdings Inc.  2,342,624    156,159
*,1 Norwegian Cruise Line Holdings Ltd.  7,465,072    149,600
Tapestry Inc.  4,026,146    148,202
BorgWarner Inc.  4,128,761    148,016
Lear Corp.  1,023,374    144,511
New York Times Co. Class A  2,730,943    133,789
PVH Corp.  1,061,805    129,668
Aramark  4,594,588    129,108
H&R Block Inc.  2,528,738    122,315
U-Haul Holding Co. (XNYS)  1,705,006    120,101
Murphy USA Inc.    336,034    119,816
Hasbro Inc.  2,315,888    118,249
Whirlpool Corp.    963,724    117,353
* Mattel Inc.  6,205,399    117,158
VF Corp.  6,149,302    115,607
Meritage Homes Corp.    640,602    111,593
Interpublic Group of Cos. Inc.  3,365,380    109,846
* CarMax Inc.  1,394,161    106,988
Thor Industries Inc.    889,465    105,179
78

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
Dick's Sporting Goods Inc.    710,894    104,466
* Capri Holdings Ltd.  2,039,699    102,474
Macy's Inc.  4,809,995     96,777
* Taylor Morrison Home Corp. Class A  1,794,367     95,729
Ralph Lauren Corp. Class A    627,926     90,547
* AutoNation Inc.    596,934     89,648
Polaris Inc.    941,289     89,206
Nexstar Media Group Inc. Class A    565,630     88,663
* Alaska Air Group Inc.  2,252,894     88,021
* Coty Inc. Class A  7,040,166     87,439
Academy Sports & Outdoors Inc.  1,307,851     86,318
* Lyft Inc. Class A  5,732,777     85,934
* Asbury Automotive Group Inc.    361,064     81,229
Harley-Davidson Inc.  2,199,213     81,019
Signet Jewelers Ltd.    748,214     80,253
*,1 GameStop Corp. Class A  4,552,460     79,805
KB Home  1,252,798     78,250
* Liberty Media Corp.-Liberty SiriusXM Class A  2,701,456     77,640
* Abercrombie & Fitch Co. Class A    839,441     74,055
* Goodyear Tire & Rubber Co.  4,974,694     71,238
Group 1 Automotive Inc.    230,425     70,220
* Penn Entertainment Inc.  2,662,787     69,286
Gap Inc.  3,253,440     68,029
American Eagle Outfitters Inc.  3,119,523     66,009
* Light & Wonder Inc.    790,110     64,876
Advance Auto Parts Inc.  1,044,006     63,716
1 Paramount Global Class B  4,296,211     63,541
Kontoor Brands Inc.    985,850     61,537
* Tri Pointe Homes Inc.  1,703,018     60,287
Wendy's Co.  3,077,170     59,943
Newell Brands Inc.  6,903,382     59,921
Leggett & Platt Inc.  2,222,581     58,165
MDC Holdings Inc.  1,048,028     57,904
Penske Automotive Group Inc.    353,826     56,793
1 Avis Budget Group Inc.    317,812     56,335
Kohl's Corp.  1,941,904     55,694
Rush Enterprises Inc. Class A  1,082,122     54,431
TEGNA Inc.  3,457,213     52,895
Foot Locker Inc.  1,652,093     51,463
* Helen of Troy Ltd.    416,632     50,333
* Liberty Media Corp.-Liberty SiriusXM  1,745,010     50,221
          Shares Market
Value

($000)
Marriott Vacations Worldwide Corp.    560,869     47,612
Travel + Leisure Co.  1,207,500     47,201
Red Rock Resorts Inc. Class A    871,007     46,451
Carter's Inc.    614,061     45,987
Bloomin' Brands Inc.  1,523,368     42,883
Graham Holdings Co. Class B     59,662     41,556
* Urban Outfitters Inc.  1,139,638     40,674
* Adtalem Global Education Inc.    663,854     39,134
* PowerSchool Holdings Inc. Class A  1,593,347     37,539
* SkyWest Inc.    718,197     37,490
* Victoria's Secret & Co.  1,355,384     35,972
Strategic Education Inc.    385,336     35,593
MillerKnoll Inc.  1,289,021     34,391
Laureate Education Inc.  2,483,605     34,050
* Brinker International Inc.    774,948     33,462
Dana Inc.  2,277,670     33,277
* ODP Corp.    589,712     33,201
Worthington Enterprises Inc.    569,381     32,768
Acushnet Holdings Corp.    515,787     32,582
HNI Corp.    775,683     32,447
* JetBlue Airways Corp.  5,843,500     32,431
PriceSmart Inc.    422,954     32,051
1 Nordstrom Inc.  1,706,872     31,492
* Liberty Media Corp.-Liberty Live Class C    821,945     30,733
* Central Garden & Pet Co. Class A    681,384     30,008
Cracker Barrel Old Country Store Inc.    388,370     29,936
* Under Armour Inc. Class A  3,294,073     28,955
* National Vision Holdings Inc.  1,370,611     28,687
* Under Armour Inc. Class C  3,414,850     28,514
* Knowles Corp.  1,581,345     28,322
Cheesecake Factory Inc.    805,208     28,190
* OPENLANE Inc.  1,892,476     28,028
La-Z-Boy Inc.    754,165     27,844
* Cinemark Holdings Inc.  1,917,136     27,012
Steven Madden Ltd.    624,366     26,223
Oxford Industries Inc.    261,291     26,129
* Hanesbrands Inc.  5,820,622     25,960
Upbound Group Inc.    760,657     25,840
Buckle Inc.    533,001     25,328
* Sally Beauty Holdings Inc.  1,871,409     24,852
Phinia Inc.    817,187     24,753
 
79

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
* PROG Holdings Inc.    782,946     24,201
* G-III Apparel Group Ltd.    680,152     23,112
John Wiley & Sons Inc. Class A    727,606     23,094
* Lions Gate Entertainment Corp. Class B  2,244,470     22,871
* Hertz Global Holdings Inc.  2,192,218     22,777
1 Krispy Kreme Inc.  1,484,834     22,406
1 Dillard's Inc. Class A     54,758     22,103
* Chegg Inc.  1,936,662     22,000
* Stride Inc.    362,633     21,530
* AMC Entertainment Holdings Inc. Class A  3,494,689     21,387
Steelcase Inc. Class A  1,565,907     21,171
Matthews International Corp. Class A    508,303     18,629
* American Axle & Manufacturing Holdings Inc.  1,958,567     17,255
* Sphere Entertainment Co.    497,149     16,883
Scholastic Corp.    439,531     16,570
1 Spirit Airlines Inc.    961,346     15,756
Monro Inc.    526,083     15,435
Sturm Ruger & Co. Inc.    312,096     14,185
* Liberty Media Corp.-Liberty Live Class A    375,430     13,722
* Vista Outdoor Inc.    460,248     13,610
Levi Strauss & Co. Class A    792,832     13,113
Sonic Automotive Inc. Class A    230,990     12,984
* Udemy Inc.    877,615     12,927
Dine Brands Global Inc.    258,422     12,831
* Lions Gate Entertainment Corp. Class A  1,111,446     12,115
1 Guess? Inc.    519,071     11,970
Wolverine World Wide Inc.  1,330,770     11,831
* U-Haul Holding Co.    155,082     11,135
* Cars.com Inc.    554,150     10,512
* AMC Networks Inc. Class A    536,680     10,084
* Clear Channel Outdoor Holdings Inc.  5,530,210     10,065
* EW Scripps Co. Class A  1,216,298      9,718
Camping World Holdings Inc. Class A    354,542      9,310
Caleres Inc.    297,305      9,136
* Central Garden & Pet Co.    166,816      8,359
* GoPro Inc. Class A  2,104,667      7,303
Sinclair Inc.    559,915      7,296
* BJ's Restaurants Inc.    194,399      7,000
          Shares Market
Value

($000)
Designer Brands Inc. Class A    754,633      6,678
Rush Enterprises Inc. Class B    124,395      6,590
Interface Inc. Class A    486,174      6,136
Smith & Wesson Brands Inc.    406,347      5,510
* Petco Health & Wellness Co. Inc. Class A  1,417,686      4,480
Cricut Inc. Class A    508,361      3,350
1 Paramount Global Class A     63,933      1,257
                    8,383,460
Consumer Staples (3.0%)
Bunge Global SA  2,835,024    286,196
* Performance Food Group Co.  2,732,904    188,980
* US Foods Holding Corp.  3,886,507    176,486
Ingredion Inc.  1,145,198    124,288
Molson Coors Beverage Co. Class B  1,589,224     97,276
* Sprouts Farmers Market Inc.  1,782,051     85,734
Flowers Foods Inc.  2,962,234     66,680
Spectrum Brands Holdings Inc.    594,657     47,436
* Grocery Outlet Holding Corp.  1,567,255     42,253
Energizer Holdings Inc.  1,256,011     39,790
* Post Holdings Inc.    423,385     37,283
* TreeHouse Foods Inc.    872,681     36,173
Andersons Inc.    562,039     32,340
Edgewell Personal Care Co.    846,045     30,991
Universal Corp.    408,527     27,502
Vector Group Ltd.  2,321,517     26,187
* Herbalife Ltd.  1,658,157     25,303
Reynolds Consumer Products Inc.    924,628     24,817
Weis Markets Inc.    284,190     18,177
Fresh Del Monte Produce Inc.    678,070     17,799
* Pilgrim's Pride Corp.    625,627     17,305
* Hain Celestial Group Inc.  1,580,029     17,301
Nu Skin Enterprises Inc. Class A    870,224     16,900
* United Natural Foods Inc.    994,030     16,133
Seaboard Corp.      4,243     15,148
1 B&G Foods Inc.  1,384,601     14,538
Medifast Inc.    191,711     12,887
* USANA Health Sciences Inc.    202,107     10,833
ACCO Brands Corp.  1,588,103      9,656
* Duckhorn Portfolio Inc.    914,290      9,006
 
80

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
*,1 BRC Inc. Class A    835,262      3,032
* Olaplex Holdings Inc.    864,106      2,195
* Beauty Health Co.    375,420      1,168
                    1,577,793
Energy (4.7%)
Ovintiv Inc.  4,770,999    209,542
APA Corp.  5,385,857    193,245
Chesapeake Energy Corp.  2,185,153    168,126
HF Sinclair Corp.  2,698,504    149,956
* Southwestern Energy Co. 19,351,440    126,752
Range Resources Corp.  4,027,069    122,584
Permian Resources Corp. Class A  8,539,096    116,132
Chord Energy Corp.    688,875    114,512
Murphy Oil Corp.  2,577,820    109,970
* Antero Resources Corp.  4,752,376    107,784
DT Midstream Inc.  1,704,129     93,386
PBF Energy Inc. Class A  1,929,796     84,834
Patterson-UTI Energy Inc.  7,333,434     79,201
Antero Midstream Corp.  5,890,546     73,809
Equitrans Midstream Corp.  7,221,995     73,520
Arcosa Inc.    855,607     70,707
California Resources Corp.  1,203,832     65,826
Warrior Met Coal Inc.    912,768     55,651
* CNX Resources Corp.  2,648,604     52,972
Arch Resources Inc.    306,225     50,815
Peabody Energy Corp.  1,955,271     47,552
Archrock Inc.  2,600,343     40,045
SM Energy Co.  1,020,117     39,499
Helmerich & Payne Inc.    784,032     28,398
Delek US Holdings Inc.  1,064,105     27,454
World Kinect Corp.  1,007,157     22,943
* NOW Inc.  1,872,256     21,194
CVR Energy Inc.    619,541     18,772
1 Crescent Energy Co. Class A  1,404,424     18,552
* Callon Petroleum Co.    536,488     17,382
* MRC Global Inc.  1,410,479     15,529
* ProPetro Holding Corp.  1,650,290     13,829
Vitesse Energy Inc.    380,253      8,324
Core Laboratories Inc.    411,427      7,266
* ProFrac Holding Corp. Class A    421,142      3,571
* OPAL Fuels Inc. Class A    160,016        883
                    2,450,517
Financials (21.2%)
First Citizens BancShares Inc. Class A    177,991    252,564
Equitable Holdings Inc.  5,947,677    198,058
          Shares Market
Value

($000)
Reinsurance Group of America Inc.  1,157,315    187,230
RenaissanceRe Holdings Ltd.    921,950    180,702
Carlyle Group Inc.  4,437,133    180,547
East West Bancorp Inc.  2,475,277    178,096
Annaly Capital Management Inc.  8,788,436    170,232
Ally Financial Inc.  4,769,808    166,562
Assurant Inc.    923,657    155,627
Webster Financial Corp.  3,022,268    153,410
American Financial Group Inc.  1,250,649    148,690
Brown & Brown Inc.  1,999,884    142,212
First Horizon Corp.  9,805,297    138,843
Invesco Ltd.  7,739,393    138,071
Voya Financial Inc.  1,836,194    133,969
SEI Investments Co.  2,080,873    132,239
Unum Group  2,912,329    131,696
Old Republic International Corp.  4,432,634    130,319
Comerica Inc.  2,316,847    129,303
Primerica Inc.    615,395    126,624
New York Community Bancorp Inc. 12,059,675    123,370
Western Alliance Bancorp  1,827,166    120,209
Stifel Financial Corp.  1,702,442    117,724
1 AGNC Investment Corp. 11,793,379    115,693
Zions Bancorp NA  2,603,017    114,194
SouthState Corp.  1,336,591    112,875
First American Financial Corp.  1,722,137    110,975
Commerce Bancshares Inc.  2,063,989    110,238
Cullen/Frost Bankers Inc.  1,012,926    109,892
1 Starwood Property Trust Inc.  5,222,084    109,768
Prosperity Bancshares Inc.  1,564,560    105,968
Selective Insurance Group Inc.  1,062,931    105,740
Jefferies Financial Group Inc.  2,588,400    104,597
Popular Inc.  1,268,090    104,072
OneMain Holdings Inc.  2,104,102    103,522
Evercore Inc. Class A    595,806    101,913
RLI Corp.    760,327    101,215
Wintrust Financial Corp.  1,076,384     99,835
Bank OZK  1,988,426     99,083
Columbia Banking System Inc.  3,659,660     97,640
Globe Life Inc.    785,750     95,642
Cadence Bank  3,204,250     94,814
MGIC Investment Corp.  4,866,721     93,879
Essent Group Ltd.  1,779,841     93,869
 
81

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
Synovus Financial Corp.  2,442,151     91,947
Rithm Capital Corp.  8,482,218     90,590
Affiliated Managers Group Inc.    593,364     89,847
United Bankshares Inc.  2,371,723     89,058
Old National Bancorp  5,143,833     86,879
FNB Corp.  6,308,402     86,867
Valley National Bancorp  7,571,772     82,229
Home BancShares Inc.  3,192,912     80,876
Glacier Bancorp Inc.  1,945,586     80,392
Lincoln National Corp.  2,977,094     80,292
* American Equity Investment Life Holding Co.  1,389,680     77,544
Radian Group Inc.  2,687,851     76,738
SLM Corp.  3,970,492     75,916
Axis Capital Holdings Ltd.  1,345,748     74,514
FirstCash Holdings Inc.    672,738     72,918
First Financial Bankshares Inc.  2,379,147     72,088
* Mr Cooper Group Inc.  1,097,944     71,498
Jackson Financial Inc. Class A  1,395,086     71,428
Assured Guaranty Ltd.    954,148     71,399
Janus Henderson Group plc  2,325,352     70,109
Hancock Whitney Corp.  1,436,294     69,790
Hanover Insurance Group Inc.    564,565     68,549
* Enstar Group Ltd.    225,114     66,262
Lazard Ltd. Class A  1,879,514     65,407
White Mountains Insurance Group Ltd.     42,671     64,220
Walker & Dunlop Inc.    557,533     61,892
Ameris Bancorp  1,151,130     61,067
* Brighthouse Financial Inc.  1,126,239     59,601
United Community Banks Inc.  1,983,377     58,034
UMB Financial Corp.    681,307     56,923
Pinnacle Financial Partners Inc.    639,970     55,818
* Texas Capital Bancshares Inc.    842,769     54,468
Cathay General Bancorp  1,211,280     53,987
Associated Banc-Corp  2,516,621     53,831
International Bancshares Corp.    980,289     53,249
Artisan Partners Asset Management Inc. Class A  1,201,690     53,091
* Genworth Financial Inc. Class A  7,911,518     52,849
CNO Financial Group Inc.  1,869,404     52,156
Kemper Corp.  1,067,942     51,977
          Shares Market
Value

($000)
Piper Sandler Cos.    295,156     51,614
First Hawaiian Inc.  2,239,311     51,191
1 Blackstone Mortgage Trust Inc. Class A  2,392,473     50,888
Bank of Hawaii Corp.    697,498     50,541
* Axos Financial Inc.    911,764     49,782
TPG Inc. Class A  1,142,355     49,315
Pacific Premier Bancorp Inc.  1,682,645     48,982
WSFS Financial Corp.  1,065,634     48,945
Community Bank System Inc.    936,782     48,816
Federated Hermes Inc. Class B  1,437,773     48,683
First Interstate BancSystem Inc. Class A  1,565,825     48,149
Independent Bank Corp.    730,923     48,102
Atlantic Union Bankshares Corp.  1,316,292     48,097
Fulton Financial Corp.  2,881,548     47,430
First Bancorp  2,877,301     47,332
CVB Financial Corp.  2,322,603     46,893
BGC Group Inc. Class A  6,446,842     46,546
1 Arbor Realty Trust Inc.  2,977,116     45,193
BankUnited Inc.  1,305,196     42,328
Simmons First National Corp. Class A  2,086,248     41,391
Eastern Bankshares Inc.  2,785,943     39,560
First Merchants Corp.  1,049,981     38,933
PennyMac Financial Services Inc.    437,965     38,703
First Financial Bancorp  1,585,198     37,648
WaFd Inc.  1,136,838     37,470
BOK Financial Corp.    403,036     34,520
Towne Bank  1,149,587     34,212
Park National Corp.    254,328     33,790
NBT Bancorp Inc.    784,239     32,867
Moelis & Co. Class A    584,799     32,825
Banner Corp.    602,180     32,253
Renasant Corp.    934,869     31,486
Independent Bank Group Inc.    614,642     31,273
WesBanco Inc.    988,471     31,008
OFG Bancorp    824,748     30,912
BancFirst Corp.    317,312     30,884
Virtu Financial Inc. Class A  1,505,746     30,506
Apollo Commercial Real Estate Finance Inc.  2,477,701     29,088
Virtus Investment Partners Inc.    120,188     29,057
ServisFirst Bancshares Inc.    429,214     28,599
Hilltop Holdings Inc.    803,286     28,284
Claros Mortgage Trust Inc.  2,066,403     28,165
 
82

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
Northwest Bancshares Inc.  2,238,160     27,932
City Holding Co.    248,106     27,356
Navient Corp.  1,449,554     26,991
Trustmark Corp.    962,577     26,837
Westamerica Bancorp    469,253     26,471
First Commonwealth Financial Corp.  1,708,078     26,373
National Bank Holdings Corp. Class A    664,989     24,731
Hope Bancorp Inc.  2,010,575     24,288
1 Compass Diversified Holdings  1,069,457     24,009
Two Harbors Investment Corp.  1,683,625     23,453
Horace Mann Educators Corp.    714,592     23,367
Ladder Capital Corp. Class A  1,998,932     23,008
Provident Financial Services Inc.  1,265,210     22,812
PennyMac Mortgage Investment Trust  1,516,079     22,665
* Cannae Holdings Inc.  1,113,511     21,725
S&T Bancorp Inc.    639,707     21,379
MFA Financial Inc.  1,782,277     20,086
* Encore Capital Group Inc.    393,611     19,976
Chimera Investment Corp.  3,993,885     19,929
Franklin BSP Realty Trust Inc.  1,435,032     19,387
* SiriusPoint Ltd.  1,623,159     18,829
Safety Insurance Group Inc.    247,506     18,808
Nelnet Inc. Class A    211,259     18,637
Mercury General Corp.    487,624     18,193
Berkshire Hills Bancorp Inc.    730,679     18,143
Employers Holdings Inc.    452,978     17,847
* PRA Group Inc.    656,615     17,203
BrightSpire Capital Inc. Class A  2,289,649     17,035
1 ARMOUR Residential REIT Inc.    862,909     16,671
Enact Holdings Inc.    562,533     16,252
Brookline Bancorp Inc.  1,486,815     16,221
National Western Life Group Inc. Class A     33,278     16,074
* LendingClub Corp.  1,834,582     16,034
WisdomTree Inc.  2,250,273     15,594
Redwood Trust Inc.  2,083,153     15,436
StepStone Group Inc. Class A    479,506     15,263
F&G Annuities & Life Inc.    331,346     15,242
Eagle Bancorp Inc.    500,720     15,092
          Shares Market
Value

($000)
Capitol Federal Financial Inc.  2,274,426     14,670
* Ambac Financial Group Inc.    756,080     12,460
ProAssurance Corp.    897,648     12,379
Tompkins Financial Corp.    202,150     12,176
Heartland Financial USA Inc.    319,272     12,008
Victory Capital Holdings Inc. Class A    348,594     12,006
KKR Real Estate Finance Trust Inc.    854,685     11,307
* Columbia Financial Inc.    461,969      8,907
Kearny Financial Corp.    966,176      8,667
United Fire Group Inc.    422,676      8,504
* World Acceptance Corp.     60,302      7,871
GCM Grosvenor Inc. Class A    723,128      6,479
* AssetMark Financial Holdings Inc.    196,149      5,875
1 UWM Holdings Corp. Class A    784,473      5,609
* loanDepot Inc. Class A  1,057,297      3,722
TPG RE Finance Trust Inc.    548,417      3,565
Associated Capital Group Inc. Class A     24,652        880
                   11,032,716
Health Care (6.0%)
* United Therapeutics Corp.    825,314    181,478
* Karuna Therapeutics Inc.    563,340    178,303
Universal Health Services Inc. Class B  1,017,930    155,173
* Tenet Healthcare Corp.  1,783,928    134,811
DENTSPLY SIRONA Inc.  3,722,101    132,470
* Jazz Pharmaceuticals plc  1,050,710    129,237
* Elanco Animal Health Inc.  8,657,890    129,003
* Acadia Healthcare Co. Inc.  1,538,932    119,667
Encompass Health Corp.  1,761,056    117,498
Teleflex Inc.    412,362    102,818
* DaVita Inc.    881,100     92,304
* Henry Schein Inc.  1,145,643     86,737
* Bridgebio Pharma Inc.  1,992,839     80,451
Perrigo Co. plc  2,377,356     76,503
* Envista Holdings Corp.  3,007,659     72,364
* Catalent Inc.  1,502,488     67,507
Organon & Co.  4,485,621     64,683
* Azenta Inc.    984,582     64,136
* Madrigal Pharmaceuticals Inc.    277,127     64,122
* Integer Holdings Corp.    584,829     57,945
 
83

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
* Bio-Rad Laboratories Inc. Class A    179,389     57,923
* Amedisys Inc.    572,744     54,445
* Fortrea Holdings Inc.  1,558,080     54,377
* Prestige Consumer Healthcare Inc.    870,465     53,290
* Krystal Biotech Inc.    420,648     52,186
* Integra LifeSciences Holdings Corp.  1,166,153     50,786
* Enovis Corp.    862,181     48,299
Premier Inc. Class A  2,099,414     46,943
* Pacific Biosciences of California Inc.  4,692,414     46,033
* Nuvalent Inc. Class A    602,061     44,306
Patterson Cos. Inc.  1,513,413     43,057
* Immunovant Inc.  1,015,299     42,775
Select Medical Holdings Corp.  1,799,336     42,284
* Iovance Biotherapeutics Inc.  4,037,199     32,822
* Myriad Genetics Inc.  1,490,473     28,528
* Supernus Pharmaceuticals Inc.    913,295     26,431
* Owens & Minor Inc.  1,273,036     24,531
National HealthCare Corp.    229,381     21,199
* Ligand Pharmaceuticals Inc.    291,673     20,831
* ICU Medical Inc.    201,757     20,123
Embecta Corp.  1,009,375     19,107
* Avanos Medical Inc.    817,986     18,347
* Brookdale Senior Living Inc.  3,149,463     18,330
* Innoviva Inc.  1,015,764     16,293
* Omnicell Inc.    399,934     15,050
* Amneal Pharmaceuticals Inc.  2,444,083     14,836
* Varex Imaging Corp.    713,227     14,621
* Pediatrix Medical Group Inc.  1,479,731     13,761
* Healthcare Services Group Inc.  1,300,580     13,487
* Agios Pharmaceuticals Inc.    492,216     10,962
* Multiplan Corp.  6,863,382      9,883
* Kiniksa Pharmaceuticals Ltd. Class A    530,071      9,297
* Enhabit Inc.    882,903      9,138
* Day One Biopharmaceuticals Inc.    536,617      7,835
* OPKO Health Inc.  3,403,831      5,140
* 23andMe Holding Co. Class A  2,610,228      2,384
Phibro Animal Health Corp. Class A    179,247      2,076
*,1 ProKidney Corp. Class A    236,672        421
          Shares Market
Value

($000)
* Neumora Therapeutics Inc.      4,984         85
*,1,2 Synergy Pharmaceuticals LLC  1,169,882         —
*,2 OmniAb Inc. 12.5 Earnout     53,581         —
*,2 OmniAb Inc. 15 Earnout     53,581         —
                    3,119,432
Industrials (23.7%)
* Builders FirstSource Inc.  2,166,419    361,662
Booz Allen Hamilton Holding Corp. Class A  2,289,466    292,846
IDEX Corp.  1,327,911    288,303
Carlisle Cos. Inc.    854,890    267,093
RPM International Inc.  2,262,304    252,541
Owens Corning  1,560,899    231,372
AECOM  2,388,022    220,725
Pentair plc  2,903,898    211,142
Allegion plc  1,541,700    195,318
Westrock Co.  4,504,909    187,044
Huntington Ingalls Industries Inc.    697,654    181,139
EMCOR Group Inc.    826,228    177,994
Regal Rexnord Corp.  1,165,365    172,497
nVent Electric plc  2,914,032    172,190
ITT Inc.  1,442,388    172,106
* XPO Inc.  1,935,352    169,517
Fortune Brands Innovations Inc.  2,214,878    168,641
Tetra Tech Inc.    935,294    156,129
WESCO International Inc.    897,229    156,010
Robert Half Inc.  1,767,037    155,358
Knight-Swift Transportation Holdings Inc. Class A  2,693,268    155,267
Hubbell Inc. Class B    470,903    154,894
AptarGroup Inc.  1,155,466    142,839
Donaldson Co. Inc.  2,118,453    138,441
AGCO Corp.  1,118,097    135,748
Graphic Packaging Holding Co.  5,376,282    132,525
* Axalta Coating Systems Ltd.  3,866,355    131,340
Berry Global Group Inc.  1,927,562    129,898
* API Group Corp.  3,724,327    128,862
Oshkosh Corp.  1,149,257    124,591
* FTI Consulting Inc.    623,821    124,234
MKS Instruments Inc.  1,175,704    120,945
Applied Industrial Technologies Inc.    680,993    117,601
* Fluor Corp.  2,993,318    117,248
Brunswick Corp.  1,208,863    116,958
Acuity Brands Inc.    543,754    111,377
MSA Safety Inc.    656,213    110,788
* Atkore Inc.    655,702    104,912
 
84

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
Crane Co.    848,638    100,258
Watts Water Technologies Inc. Class A    480,921    100,195
Sensata Technologies Holding plc  2,655,726     99,776
* Mohawk Industries Inc.    951,268     98,456
Howmet Aerospace Inc.  1,809,962     97,955
Crown Holdings Inc.  1,060,123     97,627
Sonoco Products Co.  1,721,473     96,179
Flowserve Corp.  2,302,347     94,903
Vontier Corp.  2,712,558     93,719
Sealed Air Corp.  2,534,372     92,555
Allison Transmission Holdings Inc.  1,570,570     91,329
Esab Corp.  1,004,644     87,022
* Beacon Roofing Supply Inc.    997,426     86,796
Valmont Industries Inc.    367,208     85,747
Ryder System Inc.    738,837     85,011
CH Robinson Worldwide Inc.    972,563     84,020
* Kirby Corp.  1,037,115     81,393
MSC Industrial Direct Co. Inc. Class A    803,724     81,385
Louisiana-Pacific Corp.  1,138,774     80,659
* Summit Materials Inc. Class A  2,090,070     80,384
Air Lease Corp. Class A  1,850,819     77,623
HB Fuller Co.    949,685     77,314
* SPX Technologies Inc.    760,882     76,857
Western Union Co.  6,394,327     76,220
* ASGN Inc.    786,764     75,663
GATX Corp.    622,930     74,889
Moog Inc. Class A    504,414     73,029
Woodward Inc.    526,705     71,700
EnerSys    708,766     71,557
Zurn Elkay Water Solutions Corp.  2,426,010     71,349
MDU Resources Group Inc.  3,574,058     70,766
* Middleby Corp.    470,315     69,216
ManpowerGroup Inc.    856,437     68,061
Brink's Co.    751,032     66,053
* Knife River Corp.    992,582     65,689
Terex Corp.  1,121,843     64,461
Comfort Systems USA Inc.    313,365     64,450
* Spirit AeroSystems Holdings Inc. Class A  2,011,845     63,936
Matson Inc.    582,365     63,827
Silgan Holdings Inc.  1,401,250     63,407
Otter Tail Corp.    731,855     62,186
* GMS Inc.    712,306     58,715
Hillenbrand Inc.  1,226,732     58,699
Enpro Inc.    366,788     57,490
          Shares Market
Value

($000)
*,1 Aurora Innovation Inc. Class A 13,047,982     57,020
Belden Inc.    731,313     56,494
Encore Wire Corp.    262,957     56,168
Genpact Ltd.  1,591,449     55,239
Korn Ferry    924,735     54,883
Albany International Corp. Class A    547,374     53,763
ESCO Technologies Inc.    452,292     52,932
* Alight Inc. Class A  6,155,004     52,502
ABM Industries Inc.  1,149,958     51,553
McGrath RentCorp    429,671     51,397
Vestis Corp.  2,293,888     48,493
UniFirst Corp.    265,031     48,477
Crane NXT Co.    847,199     48,180
* Hub Group Inc. Class A    520,000     47,809
* RXO Inc.  2,052,617     47,744
Griffon Corp.    778,004     47,419
ArcBest Corp.    394,396     47,410
EVERTEC Inc.  1,154,445     47,263
Werner Enterprises Inc.  1,112,349     47,130
* Resideo Technologies Inc.  2,434,654     45,820
* O-I Glass Inc.  2,714,777     44,468
Brady Corp. Class A    746,862     43,833
* MasTec Inc.    553,187     41,887
ADT Inc.  6,084,232     41,494
Granite Construction Inc.    770,765     39,201
Trinity Industries Inc.  1,436,326     38,192
* Gates Industrial Corp. plc  2,778,969     37,294
* AAR Corp.    588,189     36,703
*,1 Joby Aviation Inc.  5,497,153     36,556
* OSI Systems Inc.    283,009     36,522
Kennametal Inc.  1,396,186     36,008
* AvidXchange Holdings Inc.  2,849,848     35,310
* Huron Consulting Group Inc.    328,636     33,784
* Mirion Technologies Inc. Class A  3,248,454     33,297
Standex International Corp.    208,574     33,034
* Hillman Solutions Corp.  3,415,579     31,457
* NCR Atleos Corp.  1,237,066     30,048
Primoris Services Corp.    888,274     29,500
Bread Financial Holdings Inc.    864,383     28,473
H&E Equipment Services Inc.    542,829     28,401
* Dycom Industries Inc.    245,400     28,243
Greif Inc. Class A    427,419     28,034
Barnes Group Inc.    847,633     27,658
* CoreCivic Inc.  1,890,220     27,465
* JELD-WEN Holding Inc.  1,417,779     26,768
* Rocket Lab USA Inc.  4,701,694     26,000
 
85

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
AZZ Inc.    419,394     24,363
Greenbrier Cos. Inc.    520,725     23,006
Kforce Inc.    328,369     22,185
Wabash National Corp.    811,888     20,801
Apogee Enterprises Inc.    388,609     20,756
* Thermon Group Holdings Inc.    593,434     19,328
* Air Transport Services Group Inc.  1,092,058     19,231
TriMas Corp.    729,363     18,475
Quanex Building Products Corp.    580,964     17,760
* Proto Labs Inc.    454,524     17,708
International Seaways Inc.    387,558     17,626
Schneider National Inc. Class B    658,020     16,747
* Hayward Holdings Inc.  1,221,815     16,617
Deluxe Corp.    769,477     16,505
* Masonite International Corp.    192,677     16,312
Astec Industries Inc.    400,447     14,897
Enerpac Tool Group Corp. Class A    478,544     14,878
First Advantage Corp.    894,496     14,822
* American Woodmark Corp.    144,556     13,422
Helios Technologies Inc.    290,753     13,186
Pitney Bowes Inc.  2,950,292     12,981
Kaman Corp.    497,694     11,920
Heartland Express Inc.    835,025     11,907
Kelly Services Inc. Class A    534,609     11,558
Hyster-Yale Materials Handling Inc.    181,137     11,265
* Triumph Group Inc.    676,829     11,222
* Conduent Inc.  3,061,651     11,175
REV Group Inc.    522,261      9,489
Pactiv Evergreen Inc.    628,664      8,619
National Presto Industries Inc.     93,543      7,510
* ZipRecruiter Inc. Class A    533,901      7,421
TTEC Holdings Inc.    334,135      7,241
*,1 Atmus Filtration Technologies Inc.    300,871      7,067
Gorman-Rupp Co.    196,069      6,966
* BrightView Holdings Inc.    659,447      5,553
* Forrester Research Inc.    203,288      5,450
* Advantage Solutions Inc.  1,437,287      5,203
Kronos Worldwide Inc.    405,264      4,028
* Green Dot Corp. Class A    393,028      3,891
Greif Inc. Class B     34,179      2,256
*,1 MSP Recovery Inc.     45,674        104
                   12,365,398
          Shares Market
Value

($000)
Real Estate (8.9%)
Kimco Realty Corp. 10,887,394    232,010
Gaming & Leisure Properties Inc.  4,455,101    219,859
Boston Properties Inc.  2,481,508    174,127
* Jones Lang LaSalle Inc.    835,599    157,820
EastGroup Properties Inc.    813,920    149,387
Federal Realty Investment Trust  1,433,963    147,770
NNN REIT Inc.  3,205,666    138,164
Omega Healthcare Investors Inc.  4,304,192    131,967
STAG Industrial Inc.  3,190,402    125,255
Brixmor Property Group Inc.  5,282,277    122,919
First Industrial Realty Trust Inc.  2,324,526    122,433
Agree Realty Corp.  1,766,469    111,199
Regency Centers Corp.  1,622,186    108,686
Healthpeak Properties Inc.  4,800,564     95,051
Camden Property Trust    937,042     93,039
Apartment Income REIT Corp. Class A  2,580,538     89,622
Rayonier Inc.  2,601,815     86,927
Vornado Realty Trust  3,009,053     85,006
Lamar Advertising Co. Class A    768,521     81,678
* Zillow Group Inc. Class C  1,359,223     78,645
PotlatchDeltic Corp.  1,392,735     68,383
Cousins Properties Inc.  2,663,074     64,846
EPR Properties  1,322,118     64,057
Apple Hospitality REIT Inc.  3,613,777     60,025
Macerich Co.  3,780,063     58,326
Sabra Health Care REIT Inc.  4,057,472     57,900
Broadstone Net Lease Inc.  3,285,889     56,583
Physicians Realty Trust  4,191,420     55,788
1 Hannon Armstrong Sustainable Infrastructure Capital Inc.  1,952,815     53,859
Park Hotels & Resorts Inc.  3,500,167     53,553
1 Medical Properties Trust Inc. 10,499,352     51,552
1 SL Green Realty Corp.  1,129,825     51,034
LXP Industrial Trust  5,135,574     50,945
COPT Defense Properties  1,975,128     50,623
Tanger Inc.  1,756,178     48,681
CareTrust REIT Inc.  2,090,741     46,791
SITE Centers Corp.  3,306,458     45,067
 
86

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
Highwoods Properties Inc.  1,854,452     42,578
Kilroy Realty Corp.  1,028,498     40,975
National Health Investors Inc.    723,674     40,417
Douglas Emmett Inc.  2,779,080     40,297
Global Net Lease Inc.  4,040,120     40,199
Sunstone Hotel Investors Inc.  3,604,210     38,673
Phillips Edison & Co. Inc.  1,049,109     38,272
Outfront Media Inc.  2,605,544     36,373
Urban Edge Properties  1,960,106     35,870
DiamondRock Hospitality Co.  3,675,561     34,514
* Cushman & Wakefield plc  3,187,706     34,427
Equity Commonwealth  1,785,368     34,279
Pebblebrook Hotel Trust  2,112,480     33,757
Retail Opportunity Investments Corp.  2,097,325     29,426
JBG SMITH Properties  1,676,867     28,524
InvenTrust Properties Corp.  1,124,053     28,484
Acadia Realty Trust  1,670,265     28,378
Xenia Hotels & Resorts Inc.  1,852,513     25,231
DigitalBridge Group Inc.  1,430,413     25,089
Service Properties Trust  2,919,364     24,931
Newmark Group Inc. Class A  2,251,924     24,681
Getty Realty Corp.    835,290     24,407
Uniti Group Inc.  4,202,659     24,291
Alexander & Baldwin Inc.  1,269,447     24,145
* Compass Inc. Class A  6,379,995     23,989
LTC Properties Inc.    729,366     23,427
Hudson Pacific Properties Inc.  2,481,776     23,105
* GEO Group Inc.  2,109,338     22,844
Elme Communities  1,546,765     22,583
* Howard Hughes Holdings Inc.    263,149     22,512
Empire State Realty Trust Inc. Class A  2,274,975     22,045
Veris Residential Inc.  1,380,441     21,714
RPT Realty  1,509,597     19,368
* Zillow Group Inc. Class A    340,500     19,313
* Apartment Investment & Management Co. Class A  2,310,621     18,092
Marcus & Millichap Inc.    405,410     17,708
Brandywine Realty Trust  3,031,018     16,368
American Assets Trust Inc.    695,310     15,651
Piedmont Office Realty Trust Inc. Class A  2,178,871     15,492
          Shares Market
Value

($000)
Centerspace    265,103     15,429
* Anywhere Real Estate Inc.  1,846,285     14,973
Kennedy-Wilson Holdings Inc.    921,632     11,410
* Forestar Group Inc.    307,588     10,172
Saul Centers Inc.    231,963      9,109
RMR Group Inc. Class A    262,825      7,420
Summit Hotel Properties Inc.    900,013      6,048
Bridge Investment Group Holdings Inc. Class A    535,953      5,242
Alexander's Inc.     20,232      4,321
*,2 Spirit MTA REIT    334,911         —
                    4,656,130
Technology (5.6%)
Jabil Inc.  2,135,110    272,013
* F5 Inc.  1,048,885    187,729
KBR Inc.  2,371,771    131,420
Leidos Holdings Inc.  1,207,934    130,747
* CACI International Inc. Class A    391,409    126,762
* Arrow Electronics Inc.    951,693    116,344
Science Applications International Corp.    930,110    115,631
* Insight Enterprises Inc.    571,621    101,286
Concentrix Corp.    994,798     97,699
TD SYNNEX Corp.    892,643     96,057
* Kyndryl Holdings Inc.  4,025,914     83,658
Avnet Inc.  1,587,671     80,019
* Cirrus Logic Inc.    945,787     78,680
* Synaptics Inc.    689,082     78,610
* DXC Technology Co.  3,397,606     77,703
* Teradata Corp.  1,716,237     74,673
Amkor Technology Inc.  2,156,198     71,737
* IAC Inc.  1,264,031     66,210
Dun & Bradstreet Holdings Inc.  5,005,520     58,565
* Coherent Corp.  1,328,907     57,847
Vishay Intertechnology Inc.  2,215,040     53,094
* Plexus Corp.    481,890     52,107
* Ziff Davis Inc.    766,337     51,490
* CCC Intelligent Solutions Holdings Inc.  4,455,587     50,749
* Sanmina Corp.    947,412     48,669
* Parsons Corp.    736,290     46,173
Progress Software Corp.    764,465     41,510
* Blackbaud Inc.    472,455     40,962
* NCR Voyix Corp.  2,353,214     39,793
Xerox Holdings Corp.  1,939,922     35,559
* Verint Systems Inc.  1,070,029     28,923
* TTM Technologies Inc.  1,701,218     26,896
CSG Systems International Inc.    496,465     26,417
 
87

 

Small-Cap Value Index Fund
          Shares Market
Value

($000)
* NetScout Systems Inc.  1,181,202     25,927
* Informatica Inc. Class A    870,046     24,701
* RingCentral Inc. Class A    700,467     23,781
Adeia Inc.  1,792,073     22,204
* Veradigm Inc.  1,827,262     19,168
* ScanSource Inc.    439,704     17,417
Benchmark Electronics Inc.    596,909     16,499
* MaxLinear Inc. Class A    645,691     15,348
* E2open Parent Holdings Inc.  3,472,236     15,243
Methode Electronics Inc.    602,523     13,695
* Cerence Inc.    674,887     13,268
* Bumble Inc. Class A    842,203     12,414
* Semtech Corp.    564,517     12,369
* Couchbase Inc.    538,835     12,135
* SolarWinds Corp.    876,293     10,945
*,1 Klaviyo Inc. Class A    385,526     10,710
* Thoughtworks Holding Inc.  1,681,552      8,088
* N-able Inc.    563,771      7,470
* Digital Turbine Inc.    846,771      5,809
*,1 Getty Images Holdings Inc.    885,752      4,650
*,1 Maplebear Inc.      2,385         56
                    2,937,629
Telecommunications (1.1%)
Juniper Networks Inc.  5,601,221    165,124
* Frontier Communications Parent Inc.  4,318,627    109,434
* Viasat Inc.  1,965,995     54,949
* Viavi Solutions Inc.  3,901,468     39,288
Telephone & Data Systems Inc.  1,765,218     32,392
* Lumen Technologies Inc. 17,683,952     32,362
* Lumentum Holdings Inc.    589,380     30,895
* DISH Network Corp. Class A  4,427,992     25,549
InterDigital Inc.    226,304     24,563
* Altice USA Inc. Class A  3,830,480     12,449
* United States Cellular Corp.    228,935      9,510
*,1 EchoStar Corp. Class A    536,908      8,897
* CommScope Holding Co. Inc.  1,776,206      5,009
* Xperi Inc.    364,051      4,012
* WideOpenWest Inc.    221,374        896
                      555,329
Utilities (4.1%)
Atmos Energy Corp.  2,420,028    280,481
NRG Energy Inc.  3,965,679    205,026
Essential Utilities Inc.  4,318,087    161,280
          Shares Market
Value

($000)
Pinnacle West Capital Corp.  1,990,731    143,014
OGE Energy Corp.  3,519,459    122,935
UGI Corp.  3,674,709     90,398
IDACORP Inc.    888,305     87,338
National Fuel Gas Co.  1,614,408     80,995
* Stericycle Inc.  1,623,345     80,453
Portland General Electric Co.  1,774,588     76,911
New Jersey Resources Corp.  1,718,027     76,590
Southwest Gas Holdings Inc.  1,188,874     75,315
Black Hills Corp.  1,195,960     64,522
PNM Resources Inc.  1,506,493     62,670
ONE Gas Inc.    973,047     62,002
ALLETE Inc.  1,008,580     61,685
Northwestern Energy Group Inc.  1,074,722     54,693
Spire Inc.    876,978     54,671
American States Water Co.    648,783     52,175
Avista Corp.  1,357,542     48,518
MGE Energy Inc.    634,514     45,882
Clearway Energy Inc. Class C  1,452,253     39,835
1 Hawaiian Electric Industries Inc.  1,919,988     27,245
Northwest Natural Holding Co.    618,095     24,069
Clearway Energy Inc. Class A    599,691     15,340
* Enviri Corp.    703,842      6,335
Excelerate Energy Inc. Class A    323,802      5,006
*,1 NuScale Power Corp. Class A  1,012,512      3,331
*,1 Net Power Inc.    122,118      1,233
                    2,109,948
Total Common Stocks
(Cost $40,798,528)
51,950,567
 
88

 

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
89

 

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
93

 

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.
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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.
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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.
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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
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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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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
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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.
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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.
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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
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Tax information (unaudited)
The following percentages, or if subsequently determined to be different, the maximum percentages allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received deduction for corporate shareholders.
Fund Percentage
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

 

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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.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
 
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

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

 

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

 

Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg indexes: Bloomberg Index Services Limited. Copyright 2024, Bloomberg. All rights reserved.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q480 022024

Annual Report  |  December 31, 2023
Vanguard U.S. Stock Index Funds
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.
          Shares Market
Value

($000)
Common Stocks (99.6%)
Communication Services (4.1%)
* Trade Desk Inc. Class A  6,596,543    474,687
* ROBLOX Corp. Class A  7,220,475    330,120
* Pinterest Inc. Class A  8,679,981    321,506
* Snap Inc. Class A 15,242,506    258,056
* Liberty Media Corp.-Liberty Formula One Class C  3,114,045    196,590
* Roku Inc. Class A  1,848,061    169,393
* Liberty Broadband Corp. Class C  1,737,405    140,017
  New York Times Co. Class A  2,402,356    117,691
* Frontier Communications Parent Inc.  3,288,944     83,342
* ZoomInfo Technologies Inc. Class A  4,404,680     81,443
  Iridium Communications Inc.  1,827,059     75,202
  Nexstar Media Group Inc. Class A    476,838     74,744
  Warner Music Group Corp. Class A  2,053,718     73,503
  TKO Group Holdings Inc. Class A    887,002     72,362
* Liberty Global Ltd. Class C  3,811,096     71,039
  Endeavor Group Holdings Inc. Class A  2,752,330     65,313
* Liberty Media Corp.-Liberty SiriusXM  2,261,936     65,099
* IAC Inc.  1,027,767     53,834
  Cogent Communications Holdings Inc.    636,698     48,427
* Yelp Inc. Class A  1,001,976     47,434
* Ziff Davis Inc.    675,854     45,411
* Madison Square Garden Sports Corp.    246,570     44,834
  TEGNA Inc.  2,901,070     44,386
  Cable One Inc.     67,078     37,335
* TripAdvisor Inc.  1,593,071     34,299
1 Sirius XM Holdings Inc.  5,665,848     30,992
* Cargurus Inc. Class A  1,262,831     30,510
* Liberty Media Corp.-Liberty SiriusXM Class A  1,043,900     30,002
* Liberty Global Ltd. Class A  1,647,395     29,274
* Lumen Technologies Inc. 14,873,850     27,219
  Telephone & Data Systems Inc.  1,442,817     26,476
* Liberty Media Corp.-Liberty Live Class C    704,619     26,346
* Cinemark Holdings Inc.  1,590,828     22,415
* AMC Entertainment Holdings Inc. Class A  3,641,680     22,287
* Bumble Inc. Class A  1,463,190     21,567
* DISH Network Corp. Class A  3,679,970     21,233
* Globalstar Inc. 10,656,323     20,673
  John Wiley & Sons Inc. Class A    635,623     20,175
* Madison Square Garden Entertainment Corp. Class A    625,801     19,894
* Lions Gate Entertainment Corp. Class B  1,797,348     18,315
* Liberty Media Corp.-Liberty Formula One Class A    314,681     18,245
* Atlanta Braves Holdings Inc. Class C    438,278     17,347
* Cars.com Inc.    903,437     17,138
  Shutterstock Inc.    351,723     16,981
* Magnite Inc.  1,781,309     16,637
* Liberty Broadband Corp. Class A    201,179     16,223
  Shenandoah Telecommunications Co.    745,639     16,121
* ZipRecruiter Inc. Class A  1,112,562     15,465
  Scholastic Corp.    404,462     15,248
* Integral Ad Science Holding Corp.    980,154     14,104
* fuboTV Inc.  4,350,600     13,835
* Sphere Entertainment Co.    389,542     13,229
* TechTarget Inc.    378,311     13,188
* Lions Gate Entertainment Corp. Class A  1,134,040     12,361
* Liberty Latin America Ltd. Class C  1,578,600     11,587
*,1 Atlanta Braves Holdings Inc. Class A    265,212     11,346
          Shares Market
Value

($000)
* Altice USA Inc. Class A  3,401,473     11,055
* IDT Corp. Class B    310,485     10,584
  Gray Television Inc.  1,175,724     10,534
* Stagwell Inc. Class A  1,578,610     10,466
* Liberty Media Corp.-Liberty Live Class A    283,361     10,357
* Eventbrite Inc. Class A  1,238,632     10,355
* QuinStreet Inc.    766,100      9,821
* Anterix Inc.    294,257      9,805
* PubMatic Inc. Class A    599,046      9,770
* Clear Channel Outdoor Holdings Inc.  5,330,271      9,701
* Thryv Holdings Inc.    462,991      9,422
* Vimeo Inc.  2,395,249      9,389
* Gogo Inc.    918,019      9,300
* Playtika Holding Corp.  1,024,385      8,933
* United States Cellular Corp.    203,368      8,448
* AMC Networks Inc. Class A    440,211      8,272
*,1 AST SpaceMobile Inc. Class A  1,354,173      8,166
*,1 EchoStar Corp. Class A    487,434      8,077
* EW Scripps Co. Class A    917,106      7,328
  Sinclair Inc.    546,544      7,121
  ATN International Inc.    166,571      6,491
* Daily Journal Corp.     18,366      6,259
*,1 National CineMedia Inc.  1,433,978      5,937
* Liberty Latin America Ltd. Class A    795,778      5,817
  Marcus Corp.    393,779      5,741
* Gannett Co. Inc.  2,356,867      5,421
* Cardlytics Inc.    572,514      5,273
*,1 Rumble Inc.  1,159,992      5,208
* Advantage Solutions Inc.  1,420,480      5,142
* Vivid Seats Inc. Class A    809,764      5,118
  Spok Holdings Inc.    319,087      4,939
* Consolidated Communications Holdings Inc.  1,135,214      4,938
* Boston Omaha Corp. Class A    309,921      4,875
* Bandwidth Inc. Class A    321,646      4,654
* iHeartMedia Inc. Class A  1,617,525      4,319
* Nextdoor Holdings Inc.  2,222,557      4,201
* TrueCar Inc.  1,095,565      3,791
* EverQuote Inc. Class A    304,276      3,724
* Ooma Inc.    343,937      3,690
* Playstudios Inc.  1,348,026      3,653
  Entravision Communications Corp. Class A    853,836      3,560
* Reservoir Media Inc.    450,913      3,215
* WideOpenWest Inc.    773,022      3,131
* MediaAlpha Inc. Class A    276,401      3,082
*,1 Getty Images Holdings Inc.    554,938      2,913
* Angi Inc. Class A  1,077,528      2,683
*,1 Grindr Inc.    291,637      2,561
* Outbrain Inc.    475,801      2,084
* Emerald Holding Inc.    332,308      1,987
* Innovid Corp.  1,104,530      1,657
  Townsquare Media Inc. Class A    153,492      1,621
  Saga Communications Inc. Class A     69,605      1,549
* DHI Group Inc.    571,362      1,480
* LiveOne Inc.    996,949      1,386
*,1,2 Tingo Group Inc.  1,943,444      1,341
*,1 Skillz Inc. Class A    202,677      1,265
* Cumulus Media Inc. Class A    227,161      1,208
*,1 PSQ Holdings Inc.    199,860      1,047
7

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Travelzoo    106,066      1,011
* Urban One Inc. Class A    221,694        893
* AdTheorent Holding Co. Inc.    569,797        826
* Golden Matrix Group Inc.    331,376        799
* comScore Inc.     47,118        787
*,1 SurgePays Inc.    117,766        760
* Urban One Inc.    201,891        713
* Harte Hanks Inc.    101,383        688
*,1 Direct Digital Holdings Inc. Class A     45,658        679
*,1,2 NII Holdings Inc.  1,297,367        649
*,1 Kartoon Studios Inc.    445,651        619
* System1 Inc.    248,352        551
* Lee Enterprises Inc.     69,387        546
* Marchex Inc. Class B    400,912        545
* Gaia Inc. Class A    194,494        525
* Arena Group Holdings Inc.    188,072        448
* KORE Group Holdings Inc.    437,624        429
* Fluent Inc.    639,548        428
*,1 Loop Media Inc.    419,003        419
* IZEA Worldwide Inc.    196,466        395
* Zedge Inc. Class B    160,996        378
* Reading International Inc. Class A    193,566        370
* FG Group Holdings Inc.    249,852        367
* Paltalk Inc.     99,785        233
* CuriosityStream Inc.    392,619        212
  DallasNews Corp.     40,189        172
*,1 Stran & Co. Inc.    106,525        158
*,1 Charge Enterprises Inc.  1,356,771        155
* Dolphin Entertainment Inc.     89,955        154
* Lendway Inc.     31,737        144
*,1 Cineverse Corp.     94,251        127
*,1 SPAR Group Inc.    120,632        122
*,1 BuzzFeed Inc. Class A    471,268        118
*,1 NextPlay Technologies Inc.     39,607         91
*,1 Creative Realities Inc.     37,517         89
*,1 Leafly Holdings Inc.     18,287         88
* PodcastOne Inc.     45,954         85
* Collective Audience Inc.     57,900         78
* Liberty Global Ltd. Class B      3,841         68
*,1 FaZe Holdings Inc.    342,307         62
* Beasley Broadcast Group Inc. Class A     66,912         59
* Salem Media Group Inc. Class A    122,967         48
*,1 NextPlat Corp.     26,703         44
*,1 Chicken Soup For The Soul Entertainment Inc. Class A    158,744         35
* Motorsport Games Inc. Class A     10,638         33
* Super League Enterprise Inc.     20,785         32
*,1 Society Pass Inc.     96,225         30
* Reading International Inc. Class B      1,884         27
* Snail Inc. Class A     11,787         14
*,1 Asset Entities Inc. Class B      9,300          6
* Moving Image Technologies Inc.      3,471          3
*,1 Treasure Global Inc.     12,230          1
* Grom Social Enterprises Inc.        177         —
                    3,972,678
Consumer Discretionary (11.4%)
* DoorDash Inc. Class A  4,492,508    444,264
* Deckers Outdoor Corp.    378,781    253,189
* DraftKings Inc. Class A  6,895,476    243,066
*,1 Rivian Automotive Inc. Class A  9,986,141    234,275
  Williams-Sonoma Inc.    949,317    191,553
* Burlington Stores Inc.    959,370    186,578
* Five Below Inc.    824,520    175,755
* Floor & Decor Holdings Inc. Class A  1,573,492    175,539
* TopBuild Corp.    468,522    175,349
  Toll Brothers Inc.  1,577,744    162,176
  Service Corp. International  2,182,596    149,399
          Shares Market
Value

($000)
  Churchill Downs Inc.  1,004,765    135,573
  Lithia Motors Inc. Class A    407,098    134,049
  Dick's Sporting Goods Inc.    910,204    133,755
  Tempur Sealy International Inc.  2,543,828    129,659
* Skechers USA Inc. Class A  1,975,494    123,152
  Autoliv Inc.  1,109,866    122,296
  Lear Corp.    863,006    121,865
  Vail Resorts Inc.    563,565    120,304
* Duolingo Inc. Class A    530,198    120,275
  Texas Roadhouse Inc. Class A    977,440    119,473
  Gentex Corp.  3,449,477    112,660
  Wingstop Inc.    435,543    111,752
  PVH Corp.    893,636    109,131
* Light & Wonder Inc.  1,327,860    109,031
  Aramark  3,861,441    108,507
  H&R Block Inc.  2,126,992    102,883
  Murphy USA Inc.    283,750    101,174
* Mattel Inc.  5,229,598     98,735
  Wyndham Hotels & Resorts Inc.  1,226,231     98,601
  Brunswick Corp.  1,018,412     98,531
  Meritage Homes Corp.    542,071     94,429
  Thor Industries Inc.    789,454     93,353
* Planet Fitness Inc. Class A  1,264,995     92,345
* Capri Holdings Ltd.  1,706,446     85,732
  Hyatt Hotels Corp. Class A    653,697     85,249
* Taylor Morrison Home Corp. Class A  1,574,236     83,986
* Crocs Inc.    894,685     83,573
  Macy's Inc.  4,049,892     81,484
* Bright Horizons Family Solutions Inc.    854,965     80,572
*,1 Carvana Co. Class A  1,515,368     80,224
* Valvoline Inc.  2,047,728     76,954
* Wayfair Inc. Class A  1,235,349     76,221
  Polaris Inc.    778,001     73,731
  Academy Sports & Outdoors Inc.  1,100,896     72,659
  Signet Jewelers Ltd.    667,484     71,594
  KB Home  1,130,447     70,608
*,1 GameStop Corp. Class A  3,981,947     69,804
* Ollie's Bargain Outlet Holdings Inc.    911,918     69,205
  Harley-Davidson Inc.  1,877,968     69,184
* Asbury Automotive Group Inc.    304,536     68,511
* YETI Holdings Inc.  1,287,732     66,679
  Gap Inc.  3,172,295     66,333
* RH    226,996     66,165
* Abercrombie & Fitch Co. Class A    742,643     65,516
  Boyd Gaming Corp.  1,020,928     63,920
  Installed Building Products Inc.    346,070     63,269
  Group 1 Automotive Inc.    205,021     62,478
* Goodyear Tire & Rubber Co.  4,190,327     60,006
* Skyline Champion Corp.    789,433     58,623
* Penn Entertainment Inc.  2,244,343     58,398
  American Eagle Outfitters Inc.  2,741,648     58,013
* AutoNation Inc.    383,667     57,619
* Grand Canyon Education Inc.    428,738     56,611
* M/I Homes Inc.    409,098     56,349
  Advance Auto Parts Inc.    882,456     53,856
* Visteon Corp.    413,748     51,677
  Leggett & Platt Inc.  1,972,195     51,612
* Tri Pointe Homes Inc.  1,446,096     51,192
* Adient plc  1,384,331     50,334
  Newell Brands Inc.  5,662,373     49,149
* Mobileye Global Inc. Class A  1,129,534     48,931
  MDC Holdings Inc.    874,676     48,326
  Wendy's Co.  2,468,306     48,083
*,1 Lucid Group Inc. 11,370,073     47,868
  LCI Industries    373,865     46,999
  Kohl's Corp.  1,632,751     46,827
  Penske Automotive Group Inc.    288,008     46,228
 
8

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Modine Manufacturing Co.    772,520     46,119
  Kontoor Brands Inc.    735,792     45,928
  Steven Madden Ltd.  1,030,844     43,295
* Helen of Troy Ltd.    351,427     42,456
* Fox Factory Holding Corp.    627,756     42,361
* Hilton Grand Vacations Inc.  1,047,735     42,098
  Travel + Leisure Co.  1,064,288     41,603
1 Choice Hotels International Inc.    366,457     41,520
  Marriott Vacations Worldwide Corp.    486,902     41,333
  Carter's Inc.    550,279     41,210
* Frontdoor Inc.  1,168,062     41,139
* Shake Shack Inc. Class A    552,298     40,936
  Columbia Sportswear Co.    509,321     40,511
* LGI Homes Inc.    301,687     40,173
* Cavco Industries Inc.    113,899     39,480
  Red Rock Resorts Inc. Class A    718,863     38,337
  Century Communities Inc.    416,087     37,922
  Foot Locker Inc.  1,208,782     37,654
  Papa John's International Inc.    482,646     36,792
  Graham Holdings Co. Class B     52,532     36,590
  Bloomin' Brands Inc.  1,277,646     35,966
*,1 QuantumScape Corp. Class A  5,136,692     35,700
* Dorman Products Inc.    419,018     34,950
* Stride Inc.    583,600     34,648
* Chewy Inc. Class A  1,461,081     34,525
* Adtalem Global Education Inc.    584,970     34,484
* Boot Barn Holdings Inc.    445,782     34,218
* Under Armour Inc. Class C  4,093,850     34,184
* Sonos Inc.  1,895,005     32,480
  Winnebago Industries Inc.    440,789     32,125
* Peloton Interactive Inc. Class A  5,049,249     30,750
  Patrick Industries Inc.    305,472     30,654
* Coursera Inc.  1,579,280     30,591
* Victoria's Secret & Co.  1,149,363     30,504
* Topgolf Callaway Brands Corp.  2,124,130     30,460
  Strategic Education Inc.    322,886     29,825
* Urban Outfitters Inc.    831,849     29,689
  Acushnet Holdings Corp.    447,457     28,266
* Brinker International Inc.    651,348     28,125
* ODP Corp.    494,662     27,850
* SeaWorld Entertainment Inc.    525,749     27,775
  Dana Inc.  1,889,941     27,612
* Dave & Buster's Entertainment Inc.    506,494     27,275
  Laureate Education Inc.  1,979,083     27,133
* Six Flags Entertainment Corp.  1,059,035     26,561
1 Nordstrom Inc.  1,426,331     26,316
  Worthington Enterprises Inc.    447,364     25,746
* Gentherm Inc.    488,219     25,563
* Vista Outdoor Inc.    853,192     25,229
* Sabre Corp.  5,723,657     25,184
  Cracker Barrel Old Country Store Inc.    326,145     25,139
*,1 Dutch Bros Inc. Class A    788,041     24,957
  Levi Strauss & Co. Class A  1,477,518     24,438
  Cheesecake Factory Inc.    696,650     24,390
  Jack in the Box Inc.    298,758     24,388
* National Vision Holdings Inc.  1,155,304     24,181
  La-Z-Boy Inc.    641,036     23,667
* Hanesbrands Inc.  5,258,773     23,454
  ADT Inc.  3,348,445     22,836
  Upbound Group Inc.    668,790     22,719
  Oxford Industries Inc.    218,567     21,857
  Phinia Inc.    701,645     21,253
* Sally Beauty Holdings Inc.  1,594,946     21,181
  Buckle Inc.    435,235     20,682
1 Dillard's Inc. Class A     50,301     20,304
* G-III Apparel Group Ltd.    595,922     20,249
* Garrett Motion Inc.  2,072,205     20,038
          Shares Market
Value

($000)
* Chegg Inc.  1,708,448     19,408
* Green Brick Partners Inc.    372,277     19,336
* Udemy Inc.  1,307,069     19,253
* Leslie's Inc.  2,727,675     18,848
1 Krispy Kreme Inc.  1,243,210     18,760
* Beyond Inc.    669,076     18,527
* OneSpaWorld Holdings Ltd.  1,305,124     18,402
* Rover Group Inc. Class A  1,624,012     17,669
  Winmark Corp.     41,730     17,424
  Perdoceo Education Corp.    969,831     17,030
* XPEL Inc.    314,764     16,950
* Malibu Boats Inc. Class A    309,016     16,940
  Camping World Holdings Inc. Class A    631,583     16,585
* iRobot Corp.    408,896     15,824
* Warby Parker Inc. Class A  1,112,268     15,683
  Caleres Inc.    503,858     15,484
* American Axle & Manufacturing Holdings Inc.  1,751,910     15,434
* Sweetgreen Inc. Class A  1,352,840     15,287
* Beazer Homes USA Inc.    440,694     14,891
* Everi Holdings Inc.  1,315,259     14,823
* Under Armour Inc. Class A  1,647,437     14,481
* Playa Hotels & Resorts NV  1,665,563     14,407
* Chico's FAS Inc.  1,849,925     14,022
  Hibbett Inc.    190,379     13,711
  Monarch Casino & Resort Inc.    197,461     13,654
  Monro Inc.    460,411     13,508
*,1 Luminar Technologies Inc. Class A  3,997,457     13,471
* Life Time Group Holdings Inc.    862,743     13,010
  Golden Entertainment Inc.    324,302     12,949
* Figs Inc. Class A  1,833,636     12,744
* BJ's Restaurants Inc.    351,783     12,668
  Sturm Ruger & Co. Inc.    267,250     12,147
  Sonic Automotive Inc. Class A    215,623     12,120
* Dream Finders Homes Inc. Class A    340,385     12,094
  Dine Brands Global Inc.    235,085     11,672
* MarineMax Inc.    297,024     11,554
*,1 Mister Car Wash Inc.  1,337,004     11,552
* Vizio Holding Corp. Class A  1,490,178     11,474
* Portillo's Inc. Class A    707,317     11,268
  Standard Motor Products Inc.    282,463     11,245
* Hovnanian Enterprises Inc. Class A     71,359     11,105
  Ethan Allen Interiors Inc.    342,934     10,946
  Wolverine World Wide Inc.  1,199,867     10,667
* Chuy's Holdings Inc.    274,302     10,487
* WW International Inc.  1,180,251     10,327
  Bluegreen Vacations Holding Corp. Class A    135,600     10,186
* Revolve Group Inc. Class A    610,070     10,115
  Smith & Wesson Brands Inc.    708,124      9,602
*,1 Cava Group Inc.    221,082      9,502
  Arko Corp.  1,145,157      9,448
  Guess? Inc.    402,541      9,283
* Accel Entertainment Inc. Class A    896,710      9,209
  RCI Hospitality Holdings Inc.    130,428      8,642
* Stoneridge Inc.    438,684      8,585
  Shoe Carnival Inc.    274,604      8,296
* Denny's Corp.    749,374      8,153
*,1 Bowlero Corp. Class A    554,798      7,856
  Haverty Furniture Cos. Inc.    212,934      7,559
* European Wax Center Inc. Class A    551,951      7,501
* First Watch Restaurant Group Inc.    361,527      7,267
* Arhaus Inc. Class A    608,252      7,208
* America's Car-Mart Inc.     91,019      6,897
  Movado Group Inc.    226,023      6,815
* GoPro Inc. Class A  1,958,478      6,796
* Kura Sushi USA Inc. Class A     81,729      6,211
* Universal Technical Institute Inc.    492,277      6,163
* Lindblad Expeditions Holdings Inc.    538,446      6,068
 
9

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Bally's Corp.    430,091      5,996
* Lovesac Co.    229,651      5,868
*,1 Savers Value Village Inc.    322,144      5,599
* OneWater Marine Inc. Class A    164,772      5,568
  Designer Brands Inc. Class A    621,882      5,504
  Carriage Services Inc. Class A    218,415      5,463
  Aaron's Co. Inc.    498,750      5,426
*,1 EVgo Inc. Class A  1,493,192      5,346
  Johnson Outdoors Inc. Class A     99,625      5,322
* Genesco Inc.    150,302      5,292
* MasterCraft Boat Holdings Inc.    228,317      5,169
*,1 Fisker Inc. Class A  2,866,131      5,016
* Stitch Fix Inc. Class A  1,401,408      5,003
* Cooper-Standard Holdings Inc.    253,931      4,962
*,1 Atmus Filtration Technologies Inc.    209,008      4,910
* Zumiez Inc.    241,264      4,907
*,1 Global Business Travel Group I    753,364      4,859
* Sleep Number Corp.    324,970      4,819
* Xponential Fitness Inc. Class A    370,387      4,774
1 Cricut Inc. Class A    720,625      4,749
* PlayAGS Inc.    556,416      4,691
  Build-A-Bear Workshop Inc.    196,906      4,527
* 1-800-Flowers.com Inc. Class A    412,357      4,445
* Qurate Retail Inc. Class A  5,071,828      4,440
  Hooker Furnishings Corp.    168,196      4,387
*,1 Soho House & Co. Inc. Class A    606,096      4,315
* Children's Place Inc.    183,786      4,268
* Rush Street Interactive Inc.    928,859      4,171
  Carrols Restaurant Group Inc.    518,311      4,084
* Funko Inc. Class A    520,314      4,022
* Lincoln Educational Services Corp.    392,567      3,941
* Petco Health & Wellness Co. Inc. Class A  1,228,787      3,883
*,1 Target Hospitality Corp.    397,114      3,864
* Inspired Entertainment Inc.    390,783      3,861
* El Pollo Loco Holdings Inc.    436,875      3,853
* JAKKS Pacific Inc.    107,924      3,837
*,1 Groupon Inc. Class A    296,929      3,813
* Holley Inc.    744,597      3,626
* Potbelly Corp.    346,592      3,612
* Citi Trends Inc.    125,362      3,545
* Destination XL Group Inc.    784,133      3,450
* Tile Shop Holdings Inc.    430,452      3,168
* Nerdy Inc.    918,844      3,152
  Nathan's Famous Inc.     40,172      3,134
1 Big Lots Inc.    400,772      3,122
  Rocky Brands Inc.    103,347      3,119
* Red Robin Gourmet Burgers Inc.    236,833      2,953
* Vera Bradley Inc.    363,887      2,802
  Clarus Corp.    403,456      2,782
*,1 RealReal Inc.  1,384,079      2,782
  Weyco Group Inc.     88,333      2,770
* American Public Education Inc.    285,113      2,751
* AMMO Inc.  1,264,210      2,655
* Traeger Inc.    948,235      2,589
  Escalade Inc.    127,326      2,558
* Motorcar Parts of America Inc.    273,322      2,553
* ThredUp Inc. Class A  1,123,178      2,527
* Tilly's Inc. Class A    332,060      2,504
* Full House Resorts Inc.    464,696      2,495
* Solo Brands Inc. Class A    399,133      2,459
*,1 Solid Power Inc.  1,690,601      2,451
* CarParts.com Inc.    748,942      2,367
* Landsea Homes Corp.    179,360      2,357
  PetMed Express Inc.    308,394      2,331
* Sportsman's Warehouse Holdings Inc.    542,914      2,313
* VOXX International Corp. Class A    215,211      2,298
  Lakeland Industries Inc.    119,183      2,210
          Shares Market
Value

($000)
* GrowGeneration Corp.    858,179      2,154
* ONE Group Hospitality Inc.    350,236      2,143
* Legacy Housing Corp.     81,971      2,067
  Bassett Furniture Industries Inc.    124,057      2,059
1 Big 5 Sporting Goods Corp.    317,636      2,014
  Superior Group of Cos. Inc.    143,354      1,935
*,1 Snap One Holdings Corp.    215,400      1,919
* Century Casinos Inc.    390,057      1,904
  Marine Products Corp.    165,436      1,886
* J. Jill Inc.     71,057      1,832
*,1 Canoo Inc.  7,109,196      1,829
  Cato Corp. Class A    255,761      1,826
  Hamilton Beach Brands Holding Co. Class A    103,284      1,806
*,1 ContextLogic Inc. Class A    289,243      1,721
* Universal Electronics Inc.    180,911      1,699
* Noodles & Co. Class A    539,074      1,698
* Allbirds Inc. Class A  1,381,393      1,692
*,1 Allurion Technologies Inc.    450,926      1,686
* Lands' End Inc.    174,736      1,671
* LL Flooring Holdings Inc.    426,076      1,662
* American Outdoor Brands Inc.    197,675      1,661
*,1 Mondee Holdings Inc. Class A    562,071      1,551
* Latham Group Inc.    578,638      1,522
* Duluth Holdings Inc. Class B    270,154      1,453
* 2U Inc.  1,154,288      1,420
* Unifi Inc.    211,362      1,408
*,1 RumbleON Inc. Class B    171,283      1,394
* Strattec Security Corp.     55,293      1,388
* 1stdibs.com Inc.    293,042      1,371
*,1 Tupperware Brands Corp.    650,628      1,301
*,1 Lazydays Holdings Inc.    180,535      1,273
* BARK Inc.  1,410,207      1,136
* Container Store Group Inc.    488,250      1,113
*,1 United Homes Group Inc.    129,310      1,090
* Biglari Holdings Inc. Class A      1,351      1,073
* Biglari Holdings Inc. Class B      6,493      1,071
  Lifetime Brands Inc.    159,241      1,069
*,1 Vroom Inc.  1,754,946      1,057
* Superior Industries International Inc.    325,372      1,041
  Flexsteel Industries Inc.     54,815      1,033
* Fossil Group Inc.    651,683        951
*,1 Mullen Automotive Inc.     65,721        939
* GAN Ltd.    585,494        925
*,1 Workhorse Group Inc.  2,567,654        924
  Crown Crafts Inc.    184,550        915
1 Purple Innovation Inc. Class A    873,128        899
* Conn's Inc.    197,329        876
*,1 Torrid Holdings Inc.    149,601        863
* Culp Inc.    147,833        856
*,1 PLBY Group Inc.    781,211        781
* Barnes & Noble Education Inc.    513,514        765
* Delta Apparel Inc.     85,609        610
* Brilliant Earth Group Inc. Class A    149,812        557
  Ark Restaurants Corp.     38,656        547
*,1 Kirkland's Inc.    180,002        544
*,1 Grove Collaborative Holdings    307,237        544
* Live Ventures Inc.     20,027        509
*,1 Express Inc.     58,459        489
*,1 Vacasa Inc. Class A     52,158        428
*,1 Sonder Holdings Inc.    125,512        426
  Canterbury Park Holding Corp.     20,349        416
  AMCON Distributing Co.      2,117        413
* Rave Restaurant Group Inc.    176,306        393
*,1 Sypris Solutions Inc.    191,121        386
* Envela Corp.     79,294        385
* Koss Corp.    109,767        368
*,1 Polished.com Inc.     58,865        355
 
10

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Aterian Inc.    996,489        347
* BowFlex Inc.    434,844        335
*,1 Rent the Runway Inc. Class A    624,498        329
* Yunhong Green CTI Ltd.    121,102        257
*,1 Beachbody Co. Inc.     30,986        257
* Nephros Inc.     69,205        239
* Regis Corp.     23,958        226
  Flanigan's Enterprises Inc.      8,548        220
*,1 Worksport Ltd.    145,891        217
1 FAT Brands Inc. Class A     34,854        211
*,1 Lulu's Fashion Lounge Holdings Inc.    108,289        201
* GEN Restaurant Group Inc. Class A     25,196        197
* Envirotech Vehicles Inc.    144,960        191
* Charles & Colvard Ltd.    444,108        182
* Good Times Restaurants Inc.     66,131        168
* Vince Holding Corp.     45,422        157
* Wag! Group Co.     88,471        157
* Xcel Brands Inc.    113,190        146
* BurgerFi International Inc.    167,859        144
*,1 Hall of Fame Resort & Entertainment Co.     43,744        142
* Dixie Group Inc.    188,725        141
* XWELL Inc.     74,690        128
  Jerash Holdings US Inc.     38,272        118
*,1 Amesite Inc.     43,962        100
* Twin Vee PowerCats Co.     60,192         84
*,1 AYRO Inc.     44,007         77
*,1 Educational Development Corp.     64,779         75
*,1 Tandy Leather Factory Inc.     17,293         74
* Forward Industries Inc.    101,271         73
*,1 Inspirato Inc.     19,707         73
*,1 JOANN Inc.    158,520         71
* Allied Gaming & Entertainment Inc.     61,060         65
*,1 Faraday Future Intelligent Electric Inc. Class A    209,789         48
*,1 aka Brands Holding Corp.      5,698         46
* Kaival Brands Innovations Group Inc.    155,259         31
* Nova Lifestyle Inc.      8,036         30
*,1 Toughbuilt Industries Inc.    183,720         29
* Emerson Radio Corp.     47,444         26
  FAT Brands Inc. Class B      4,338         24
*,1 Arcimoto Inc.     24,956         21
*,1 Forza X1 Inc.     33,785         18
*,1 MGO Global Inc.     38,582         16
*,1 Digital Brands Group Inc.      3,261         11
*,1 Lottery.com Inc.      3,740         10
* Greenlane Holdings Inc. Class A     10,695          6
* BT Brands Inc.      1,151          3
*,1 Volcon Inc.     28,054          3
* Amergent Hospitality Group Inc.     19,975         —
* PARTS iD Inc.      1,100         —
* Singing Machine Co. Inc.        445         —
*,2 GCI Liberty Inc.  1,322,036         —
*,1,2 Empire Resorts Inc.     15,517         —
* Esports Entertainment Group Inc.         56         —
                   11,061,614
Consumer Staples (2.8%)
* Performance Food Group Co.  2,291,360    158,448
* US Foods Holding Corp.  3,330,190    151,224
  Casey's General Stores Inc.    549,061    150,849
  Albertsons Cos. Inc. Class A  5,843,143    134,392
* BJ's Wholesale Club Holdings Inc.  1,980,286    132,006
* Celsius Holdings Inc.  2,197,773    119,823
* elf Beauty Inc.    817,283    117,967
* Darling Ingredients Inc.  2,359,004    117,573
* BellRing Brands Inc.  1,934,589    107,234
  Ingredion Inc.    956,976    103,861
* Sprouts Farmers Market Inc.  1,502,206     72,271
* Coty Inc. Class A  5,575,774     69,251
          Shares Market
Value

($000)
* Post Holdings Inc.    750,787     66,114
  Flowers Foods Inc.  2,835,055     63,817
  Coca-Cola Consolidated Inc.     68,497     63,593
* Freshpet Inc.    714,684     62,006
* Simply Good Foods Co.  1,357,099     53,741
  Lancaster Colony Corp.    300,077     49,930
* Boston Beer Co. Inc. Class A    139,768     48,302
  WD-40 Co.    197,462     47,207
  Spectrum Brands Holdings Inc.    526,819     42,024
* Grocery Outlet Holding Corp.  1,460,119     39,365
  Inter Parfums Inc.    264,589     38,103
  J & J Snack Foods Corp.    225,529     37,695
  Cal-Maine Foods Inc.    599,920     34,429
  Energizer Holdings Inc.    978,745     31,007
* TreeHouse Foods Inc.    744,118     30,844
  PriceSmart Inc.    373,606     28,312
  Edgewell Personal Care Co.    756,264     27,702
  Andersons Inc.    465,821     26,803
  Universal Corp.    371,848     25,033
  MGP Ingredients Inc.    227,758     22,439
* Herbalife Ltd.  1,468,812     22,414
  Vector Group Ltd.  1,976,919     22,300
  Reynolds Consumer Products Inc.    809,224     21,720
* Central Garden & Pet Co. Class A    477,896     21,047
* Sovos Brands Inc.    906,545     19,971
  Ingles Markets Inc. Class A    212,582     18,361
* National Beverage Corp.    351,606     17,482
  Utz Brands Inc.  1,006,389     16,344
* Pilgrim's Pride Corp.    588,305     16,272
  Weis Markets Inc.    245,216     15,684
* Chefs' Warehouse Inc.    523,151     15,396
* Hain Celestial Group Inc.  1,324,343     14,502
  Nu Skin Enterprises Inc. Class A    741,055     14,391
* United Natural Foods Inc.    873,444     14,176
  John B Sanfilippo & Son Inc.    131,652     13,565
  Seaboard Corp.      3,763     13,434
1 B&G Foods Inc.  1,265,189     13,284
  WK Kellogg Co.    984,253     12,933
  Fresh Del Monte Produce Inc.    490,019     12,863
* Central Garden & Pet Co.    251,639     12,610
  SpartanNash Co.    501,383     11,507
* Vita Coco Co. Inc.    447,761     11,485
  Medifast Inc.    161,714     10,870
  Tootsie Roll Industries Inc.    272,856      9,070
* USANA Health Sciences Inc.    165,260      8,858
*,1 Beyond Meat Inc.    956,859      8,516
  Calavo Growers Inc.    277,728      8,168
  Turning Point Brands Inc.    271,571      7,148
* Mission Produce Inc.    641,785      6,476
* Vital Farms Inc.    407,616      6,395
* Duckhorn Portfolio Inc.    617,984      6,087
  Oil-Dri Corp. of America     71,347      4,786
*,1 Westrock Coffee Co.    463,648      4,734
  Limoneira Co.    217,894      4,495
* Olaplex Holdings Inc.  1,761,768      4,475
* Seneca Foods Corp. Class A     81,005      4,248
* Beauty Health Co.  1,221,391      3,799
* Honest Co. Inc.    948,126      3,129
* Nature's Sunshine Products Inc.    180,589      3,122
* HF Foods Group Inc.    530,387      2,832
  Village Super Market Inc. Class A    102,748      2,695
  Natural Grocers by Vitamin Cottage Inc.    145,996      2,336
* Lifecore Biomedical Inc.    363,800      2,252
*,1 BRC Inc. Class A    572,284      2,077
* Mama's Creations Inc.    385,609      1,893
* Whole Earth Brands Inc.    532,276      1,815
  Alico Inc.     60,807      1,768
 
11

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Safety Shot Inc.    444,257      1,559
* Zevia PBC Class A    614,323      1,235
  Lifevantage Corp.    195,613      1,174
* Lifeway Foods Inc.     85,576      1,148
* Farmer Bros Co.    230,376        705
  Natural Health Trends Corp.    111,509        651
*,1 Veru Inc.    844,245        608
* Natural Alternatives International Inc.     75,454        484
* Rocky Mountain Chocolate Factory Inc.     97,457        447
* Willamette Valley Vineyards Inc.     72,379        384
  United-Guardian Inc.     52,417        377
*,1 Benson Hill Inc.  1,779,607        309
* Seneca Foods Corp. Class B      5,623        287
* Vintage Wine Estates Inc.    431,243        217
* Splash Beverage Group Inc.    301,169        166
* Coffee Holding Co. Inc.    164,749        148
*,1 Local Bounti Corp.     53,924        112
* Real Good Food Co. Inc. Class A     67,593        103
* S&W Seed Co.    140,870         99
* Sadot Group Inc.    236,457         95
* Barfresh Food Group Inc.     58,859         94
*,1 Maplebear Inc.      3,861         91
* Upexi Inc.     69,076         80
*,1 Guardion Health Sciences Inc.     14,852         78
*,1 Better Choice Co. Inc.    261,756         72
  Mannatech Inc.      7,557         59
*,1 Bridgford Foods Corp.      5,031         55
* Cyanotech Corp.     52,822         46
* Arcadia Biosciences Inc.     14,038         43
*,1 MedAvail Holdings Inc.      9,669         43
*,1 22nd Century Group Inc.    209,532         39
*,1 Maison Solutions Inc. Class A     27,800         38
*,1 Nocera Inc.     27,430         36
*,1 Nuzee Inc.     10,423         26
* FitLife Brands Inc.      1,265         24
* Flora Growth Corp.     16,990         23
*,1 Alkaline Water Co. Inc.     82,391         22
*,1 Edible Garden AG Inc.     35,337         17
*,1 Stryve Foods Inc. Class A      6,642         17
*,1 Eastside Distilling Inc.      8,697         11
* Hempacco Co. Inc.        967         —
                    2,758,372
Energy (4.4%)
  Cheniere Energy Inc.  3,515,505    600,132
  Ovintiv Inc.  3,738,790    164,208
  Texas Pacific Land Corp.     92,120    144,854
  TechnipFMC plc  6,432,087    129,542
  HF Sinclair Corp.  2,316,717    128,740
  Chesapeake Energy Corp.  1,625,084    125,034
  NOV Inc.  5,820,212    118,034
  Range Resources Corp.  3,567,579    108,597
* Southwestern Energy Co. 16,119,439    105,582
* Weatherford International plc  1,060,511    103,750
  Chord Energy Corp.    603,555    100,329
* Antero Resources Corp.  4,184,095     94,895
  Matador Resources Co.  1,639,403     93,216
  Murphy Oil Corp.  2,175,456     92,805
  Civitas Resources Inc.  1,260,167     86,170
  ChampionX Corp.  2,872,089     83,894
  Permian Resources Corp. Class A  6,147,350     83,604
  DT Midstream Inc.  1,430,739     78,404
  Noble Corp. plc  1,601,645     77,135
  PBF Energy Inc. Class A  1,606,346     70,615
* Transocean Ltd. 10,555,233     67,026
  SM Energy Co.  1,717,498     66,502
  Equitrans Midstream Corp.  6,412,270     65,277
* Valaris Ltd.    924,805     63,414
          Shares Market
Value

($000)
  Antero Midstream Corp.  5,052,973     63,314
  Magnolia Oil & Gas Corp. Class A  2,729,275     58,106
  Helmerich & Payne Inc.  1,464,195     53,033
  California Resources Corp.    946,368     51,747
* Tidewater Inc.    715,835     51,619
  Patterson-UTI Energy Inc.  4,705,571     50,820
  Northern Oil & Gas Inc.  1,343,815     49,815
* CNX Resources Corp.  2,298,712     45,974
* Kosmos Energy Ltd.  6,783,272     45,516
  Cactus Inc. Class A    980,446     44,512
  CONSOL Energy Inc.    411,207     41,339
  Liberty Energy Inc. Class A  2,251,603     40,844
  Peabody Energy Corp.  1,640,716     39,902
* Uranium Energy Corp.  5,779,830     36,991
1 New Fortress Energy Inc.    979,034     36,939
* Oceaneering International Inc.  1,476,772     31,426
  Archrock Inc.  2,018,584     31,086
* Par Pacific Holdings Inc.    824,765     29,997
  Sitio Royalties Corp. Class A  1,202,273     28,265
* Callon Petroleum Co.    821,996     26,633
  International Seaways Inc.    555,006     25,242
  Delek US Holdings Inc.    879,637     22,695
* Green Plains Inc.    876,612     22,108
  Dorian LPG Ltd.    500,287     21,948
* Helix Energy Solutions Group Inc.  2,069,104     21,270
* Talos Energy Inc.  1,476,278     21,007
  World Kinect Corp.    883,139     20,118
* Expro Group Holdings NV  1,261,571     20,084
* Diamond Offshore Drilling Inc.  1,508,925     19,616
* Gulfport Energy Corp.    142,036     18,919
1 Crescent Energy Co. Class A  1,302,097     17,201
* Vital Energy Inc.    366,224     16,660
1 Atlas Energy Solutions Inc. Class A    810,405     13,955
* US Silica Holdings Inc.  1,147,048     12,973
  CVR Energy Inc.    425,764     12,901
  Core Laboratories Inc.    697,667     12,321
* Dril-Quip Inc.    524,456     12,204
  Comstock Resources Inc.  1,340,762     11,866
  Kinetik Holdings Inc. Class A    330,458     11,037
* Nabors Industries Ltd.    133,913     10,931
* ProPetro Holding Corp.  1,275,073     10,685
* REX American Resources Corp.    219,988     10,405
*,1 Centrus Energy Corp. Class A    190,100     10,343
* Bristow Group Inc. Class A    357,417     10,104
* Clean Energy Fuels Corp.  2,619,233     10,032
  Select Water Solutions Inc. Class A  1,222,669      9,280
  RPC Inc.  1,218,528      8,871
* Newpark Resources Inc.  1,192,184      7,916
* TETRA Technologies Inc.  1,732,538      7,831
  Vitesse Energy Inc.    341,584      7,477
  VAALCO Energy Inc.  1,622,051      7,283
  Berry Corp.    997,885      7,015
* SilverBow Resources Inc.    239,935      6,977
*,1 Tellurian Inc.  9,000,672      6,801
  SandRidge Energy Inc.    494,769      6,763
* Oil States International Inc.    974,850      6,619
*,1 NextDecade Corp.  1,195,035      5,700
* DMC Global Inc.    294,190      5,537
  W&T Offshore Inc.  1,503,507      4,901
  Kodiak Gas Services Inc.    236,728      4,754
  Overseas Shipholding Group Inc. Class A    894,321      4,713
* SEACOR Marine Holdings Inc.    370,021      4,659
  Excelerate Energy Inc. Class A    288,833      4,465
*,1 Gevo Inc.  3,824,818      4,437
*,1 Vertex Energy Inc.  1,257,698      4,264
1 HighPeak Energy Inc.    288,949      4,115
  Solaris Oilfield Infrastructure Inc. Class A    464,376      3,696
 
12

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Hallador Energy Co.    379,079      3,351
* Amplify Energy Corp.    548,319      3,252
* Forum Energy Technologies Inc.    144,970      3,214
* Empire Petroleum Corp.    273,797      3,009
*,1 Aemetis Inc.    524,228      2,747
* ProFrac Holding Corp. Class A    316,581      2,685
  Evolution Petroleum Corp.    446,295      2,593
* Natural Gas Services Group Inc.    150,390      2,418
  Granite Ridge Resources Inc.    399,914      2,407
  FutureFuel Corp.    393,445      2,392
* Geospace Technologies Corp.    183,849      2,383
* KLX Energy Services Holdings Inc.    210,328      2,368
  NACCO Industries Inc. Class A     60,429      2,206
  Ranger Energy Services Inc. Class A    200,156      2,048
* OPAL Fuels Inc. Class A    299,547      1,654
  Riley Exploration Permian Inc.     59,317      1,616
  Epsilon Energy Ltd.    276,469      1,404
  Adams Resources & Energy Inc.     49,775      1,303
  PHX Minerals Inc.    398,834      1,284
* Mammoth Energy Services Inc.    283,444      1,264
*,1 American Resources Corp.    824,157      1,228
* Smart Sand Inc.    599,189      1,156
* Ring Energy Inc.    642,522        938
* Profire Energy Inc.    498,092        902
* Gulf Island Fabrication Inc.    207,420        898
* PrimeEnergy Resources Corp.      7,468        794
*,1 Nine Energy Service Inc.    274,731        736
  Energy Services of America Corp.    120,053        718
* Comstock Inc.  1,044,524        572
* Lightbridge Corp.    162,218        521
1 Enviva Inc.    518,012        516
* Battalion Oil Corp.     53,142        511
*,1 Independence Contract Drilling Inc.    152,868        375
* Houston American Energy Corp.    164,070        294
*,1 Camber Energy Inc.    921,210        210
  Barnwell Industries Inc.     80,914        197
* Dawson Geophysical Co.    106,125        194
* NCS Multistage Holdings Inc.     10,480        180
  Mexco Energy Corp.     17,490        160
* PEDEVCO Corp.    185,738        143
* Superior Drilling Products Inc.    198,912        142
* Stabilis Solutions Inc.     27,744        115
* Drilling Tools International Corp.     34,328        110
1 US Energy Corp.    102,771        103
* MIND Technology Inc.     11,431         75
*,1 Verde Clean Fuels Inc.     29,389         69
*,1 ENGlobal Corp.     37,593         65
* Clean Energy Technologies Inc.     30,357         45
*,1 Enservco Corp.    107,717         27
* EzFill Holdings Inc.      6,718         11
*,1 Vivakor Inc.      4,688          5
*,1 RiskOn International Inc.      7,425          2
                    4,297,946
Financials (17.3%)
  KKR & Co. Inc.  9,814,245    813,110
* Block Inc. Class A  8,191,550    633,616
  Apollo Global Management Inc.  6,455,511    601,589
* Coinbase Global Inc. Class A  2,533,184    440,571
  Ares Management Corp. Class A  2,496,941    296,936
* Markel Group Inc.    193,437    274,661
  LPL Financial Holdings Inc.  1,117,918    254,460
  First Citizens BancShares Inc. Class A    175,670    249,270
  Fidelity National Financial Inc.  3,823,761    195,088
* Affirm Holdings Inc. Class A  3,265,163    160,450
  Reinsurance Group of America Inc.    975,722    157,852
  Equitable Holdings Inc.  4,675,341    155,689
  RenaissanceRe Holdings Ltd.    777,992    152,486
          Shares Market
Value

($000)
  Tradeweb Markets Inc. Class A  1,677,406    152,443
  East West Bancorp Inc.  2,074,978    149,295
  Annaly Capital Management Inc.  7,372,564    142,807
*,1 SoFi Technologies Inc. 14,193,122    141,222
  Ally Financial Inc.  3,991,595    139,386
  Interactive Brokers Group Inc. Class A  1,579,119    130,909
  Carlyle Group Inc.  3,192,101    129,887
  Webster Financial Corp.  2,523,159    128,076
  Erie Indemnity Co. Class A    369,854    123,872
* WEX Inc.    632,156    122,986
  Unum Group  2,713,576    122,708
  First Horizon Corp.  8,234,958    116,607
  American Financial Group Inc.    969,205    115,229
  Old Republic International Corp.  3,852,336    113,259
  Voya Financial Inc.  1,542,677    112,554
  Morningstar Inc.    385,414    110,321
  Kinsale Capital Group Inc.    325,729    109,090
  New York Community Bancorp Inc. 10,560,036    108,029
  Western Alliance Bancorp  1,622,123    106,719
  Primerica Inc.    518,648    106,717
  Stifel Financial Corp.  1,507,845    104,267
  Cullen/Frost Bankers Inc.    947,434    102,787
* Toast Inc. Class A  5,543,016    101,215
  Jefferies Financial Group Inc.  2,481,292    100,269
  Pinnacle Financial Partners Inc.  1,138,805     99,327
  First American Financial Corp.  1,525,684     98,315
* Robinhood Markets Inc. Class A  7,653,494     97,506
1 AGNC Investment Corp.  9,850,827     96,637
  SouthState Corp.  1,124,249     94,943
  Prosperity Bancshares Inc.  1,388,219     94,024
  Commerce Bancshares Inc.  1,757,714     93,880
1 Starwood Property Trust Inc.  4,403,268     92,557
  Houlihan Lokey Inc. Class A    764,848     91,713
  SEI Investments Co.  1,425,945     90,619
  Blue Owl Capital Inc. Class A  6,008,959     89,533
  Selective Insurance Group Inc.    896,641     89,198
  Evercore Inc. Class A    512,452     87,655
  Popular Inc.  1,066,953     87,565
  OneMain Holdings Inc.  1,769,989     87,083
  Wintrust Financial Corp.    908,343     84,249
  Essent Group Ltd.  1,577,424     83,193
  Columbia Banking System Inc.  3,090,524     82,455
  Synovus Financial Corp.  2,145,427     80,775
  Cadence Bank  2,699,388     79,875
  RLI Corp.    595,519     79,275
  MGIC Investment Corp.  4,082,638     78,754
  Bank OZK  1,549,635     77,218
  Corebridge Financial Inc.  3,551,463     76,925
  Affiliated Managers Group Inc.    497,928     75,396
  United Bankshares Inc.  1,997,374     75,001
  Rithm Capital Corp.  7,010,253     74,870
  Old National Bancorp  4,329,636     73,128
  FNB Corp.  5,272,564     72,603
  Home BancShares Inc.  2,775,575     70,305
  Valley National Bancorp  6,303,697     68,458
  Glacier Bancorp Inc.  1,655,960     68,424
  Lincoln National Corp.  2,469,146     66,593
* Euronet Worldwide Inc.    647,981     65,764
* Ryan Specialty Holdings Inc. Class A  1,505,296     64,758
  Radian Group Inc.  2,257,264     64,445
  Hanover Insurance Group Inc.    529,161     64,251
  Western Union Co.  5,375,653     64,078
  SLM Corp.  3,345,658     63,969
* Mr Cooper Group Inc.    974,859     63,483
  Axis Capital Holdings Ltd.  1,145,341     63,418
* Shift4 Payments Inc. Class A    840,734     62,500
  Hancock Whitney Corp.  1,282,850     62,334
 
13

 

Extended Market Index Fund
          Shares Market
Value

($000)
  Hamilton Lane Inc. Class A    540,099     61,269
  Assured Guaranty Ltd.    799,511     59,827
  Janus Henderson Group plc  1,973,542     59,502
  FirstCash Holdings Inc.    547,133     59,304
* Enstar Group Ltd.    197,280     58,069
  Lazard Ltd. Class A  1,665,726     57,967
  First Financial Bankshares Inc.  1,910,841     57,898
  White Mountains Insurance Group Ltd.     37,178     55,953
  Moelis & Co. Class A    982,434     55,144
  Walker & Dunlop Inc.    492,603     54,684
1 Blackstone Mortgage Trust Inc. Class A  2,566,586     54,591
  UMB Financial Corp.    642,264     53,661
  Jackson Financial Inc. Class A  1,038,198     53,156
  United Community Banks Inc.  1,775,780     51,959
* American Equity Investment Life Holding Co.    909,354     50,742
  Ameris Bancorp    951,093     50,455
* Brighthouse Financial Inc.    944,451     49,980
*,1 Credit Acceptance Corp.     92,934     49,509
  Cathay General Bancorp  1,083,028     48,271
  ServisFirst Bancshares Inc.    721,511     48,074
  Associated Banc-Corp  2,183,703     46,709
  CNO Financial Group Inc.  1,661,830     46,365
* Texas Capital Bancshares Inc.    706,033     45,631
1 Hannon Armstrong Sustainable Infrastructure Capital Inc.  1,650,014     45,507
  Artisan Partners Asset Management Inc. Class A  1,010,124     44,627
* Marqeta Inc. Class A  6,365,232     44,429
* Genworth Financial Inc. Class A  6,632,539     44,305
*,1 Upstart Holdings Inc.  1,079,742     44,118
  Kemper Corp.    889,827     43,308
  International Bancshares Corp.    791,986     43,021
  Federated Hermes Inc. Class B  1,269,090     42,971
  First Hawaiian Inc.  1,876,298     42,892
  Bank of Hawaii Corp.    586,160     42,473
  Independent Bank Corp.    643,532     42,351
1 Arbor Realty Trust Inc.  2,774,611     42,119
* Axos Financial Inc.    762,980     41,659
  BGC Group Inc. Class A  5,749,554     41,512
  First Bancorp  2,520,783     41,467
  WSFS Financial Corp.    894,092     41,066
  Pacific Premier Bancorp Inc.  1,409,275     41,024
  Community Bank System Inc.    785,432     40,929
  EVERTEC Inc.    988,802     40,482
  Atlantic Union Bankshares Corp.  1,099,416     40,173
  Fulton Financial Corp.  2,407,834     39,633
  CVB Financial Corp.  1,951,636     39,404
* Remitly Global Inc.  2,026,130     39,347
  Piper Sandler Cos.    220,565     38,570
  TPG Inc. Class A    880,529     38,012
  PennyMac Financial Services Inc.    425,799     37,628
  First Interstate BancSystem Inc. Class A  1,218,236     37,461
  Seacoast Banking Corp. of Florida  1,289,666     36,704
  Simmons First National Corp. Class A  1,846,708     36,639
* Flywire Corp.  1,565,967     36,252
* NMI Holdings Inc. Class A  1,204,546     35,751
  BankUnited Inc.  1,094,317     35,489
  BOK Financial Corp.    412,815     35,358
  PJT Partners Inc. Class A    327,540     33,366
  First Financial Bancorp  1,391,533     33,049
  Eastern Bankshares Inc.  2,312,320     32,835
  First Merchants Corp.    875,369     32,459
  WaFd Inc.    945,861     31,176
* AvidXchange Holdings Inc.  2,515,044     31,161
* Bancorp Inc.    797,065     30,735
  Towne Bank  1,027,189     30,569
  NBT Bancorp Inc.    698,848     29,289
* StoneX Group Inc.    394,557     29,130
          Shares Market
Value

($000)
  Park National Corp.    214,190     28,457
  Cohen & Steers Inc.    374,487     28,360
  Renasant Corp.    821,118     27,655
  WesBanco Inc.    877,215     27,518
* Goosehead Insurance Inc. Class A    359,128     27,222
  Virtu Financial Inc. Class A  1,326,852     26,882
*,1 Rocket Cos. Inc. Class A  1,855,903     26,873
  Banner Corp.    501,512     26,861
  Independent Bank Group Inc.    526,060     26,766
  Banc of California Inc.  1,968,036     26,431
  OFG Bancorp    692,829     25,967
* Triumph Financial Inc.    319,418     25,611
  Trustmark Corp.    892,865     24,893
  City Holding Co.    223,310     24,622
  Claros Mortgage Trust Inc.  1,806,267     24,619
  Lakeland Financial Corp.    377,661     24,608
  Federal Agricultural Mortgage Corp. Class C    127,596     24,399
  Virtus Investment Partners Inc.    100,657     24,335
  Enterprise Financial Services Corp.    544,047     24,292
* NCR Atleos Corp.    996,640     24,208
  StepStone Group Inc. Class A    758,697     24,149
  Bread Financial Holdings Inc.    733,028     24,146
* Enova International Inc.    436,037     24,139
* Customers Bancorp Inc.    417,733     24,070
  Hilltop Holdings Inc.    674,511     23,750
  Stewart Information Services Corp.    402,816     23,665
1 Ready Capital Corp.  2,300,189     23,577
  Northwest Bancshares Inc.  1,880,207     23,465
  Navient Corp.  1,237,202     23,037
  First Commonwealth Financial Corp.  1,491,474     23,028
  Nelnet Inc. Class A    260,761     23,004
* Donnelley Financial Solutions Inc.    364,938     22,761
* BRP Group Inc. Class A    946,753     22,741
  Live Oak Bancshares Inc.    492,462     22,407
  Apollo Commercial Real Estate Finance Inc.  1,903,333     22,345
  First Bancorp (XNGS)    601,987     22,280
  TriCo Bancshares    511,298     21,970
  Westamerica Bancorp    388,954     21,941
  Heartland Financial USA Inc.    565,101     21,253
  Hope Bancorp Inc.  1,738,276     20,998
* PROG Holdings Inc.    670,848     20,736
* Palomar Holdings Inc.    373,435     20,726
  FB Financial Corp.    518,856     20,676
  Stock Yards Bancorp Inc.    400,315     20,612
  BancFirst Corp.    211,647     20,600
  National Bank Holdings Corp. Class A    553,362     20,580
  Pathward Financial Inc.    382,700     20,256
  Horace Mann Educators Corp.    609,165     19,920
* Payoneer Global Inc.  3,819,041     19,897
  Provident Financial Services Inc.  1,099,149     19,818
  S&T Bancorp Inc.    590,943     19,749
  First Busey Corp.    792,298     19,665
  Two Harbors Investment Corp.  1,405,293     19,576
  PennyMac Mortgage Investment Trust  1,303,728     19,491
* Oscar Health Inc. Class A  2,104,635     19,257
  Stellar Bancorp Inc.    685,779     19,092
  Ladder Capital Corp. Class A  1,652,775     19,023
  Sandy Spring Bancorp Inc.    689,285     18,776
* Cannae Holdings Inc.    951,449     18,563
  Victory Capital Holdings Inc. Class A    538,756     18,555
  Veritex Holdings Inc.    797,089     18,548
* Encore Capital Group Inc.    351,980     17,863
  CNA Financial Corp.    400,478     16,944
  MFA Financial Inc.  1,496,314     16,863
  Safety Insurance Group Inc.    219,487     16,679
  Merchants Bancorp    391,293     16,661
  Chimera Investment Corp.  3,324,247     16,588
 
14

 

Extended Market Index Fund
          Shares Market
Value

($000)
  Franklin BSP Realty Trust Inc.  1,218,586     16,463
  Peoples Bancorp Inc.    483,837     16,334
* Skyward Specialty Insurance Group Inc.    479,191     16,235
*,1 Trupanion Inc.    527,419     16,092
  Origin Bancorp Inc.    450,818     16,036
  National Western Life Group Inc. Class A     32,960     15,920
* SiriusPoint Ltd.  1,321,269     15,327
  Berkshire Hills Bancorp Inc.    614,915     15,268
  OceanFirst Financial Corp.    875,977     15,207
  QCR Holdings Inc.    260,129     15,189
* PRA Group Inc.    579,350     15,179
*,1 Lemonade Inc.    936,194     15,101
  Nicolet Bankshares Inc.    185,981     14,968
  Employers Holdings Inc.    379,671     14,959
1 Ellington Financial Inc.  1,165,705     14,816
  Mercury General Corp.    395,016     14,738
  BrightSpire Capital Inc. Class A  1,951,484     14,519
1 ARMOUR Residential REIT Inc.    743,946     14,373
  Brookline Bancorp Inc.  1,315,560     14,353
* LendingClub Corp.  1,618,414     14,145
  German American Bancorp Inc.    432,732     14,025
  Lakeland Bancorp Inc.    939,523     13,896
  Eagle Bancorp Inc.    459,507     13,850
  AMERISAFE Inc.    290,880     13,607
  Dime Community Bancshares Inc.    503,172     13,550
  1st Source Corp.    241,441     13,267
  Premier Financial Corp.    548,726     13,224
  Southside Bancshares Inc.    420,278     13,163
  Preferred Bank    179,281     13,096
  Redwood Trust Inc.  1,753,092     12,990
  Enact Holdings Inc.    441,260     12,748
* Open Lending Corp.  1,476,335     12,564
  First Bancshares Inc.    426,202     12,501
  Capitol Federal Financial Inc.  1,923,023     12,403
  ConnectOne Bancorp Inc.    537,336     12,310
  F&G Annuities & Life Inc.    267,490     12,305
  First Mid Bancshares Inc.    347,262     12,036
  WisdomTree Inc.  1,722,621     11,938
  KKR Real Estate Finance Trust Inc.    882,387     11,674
  Tompkins Financial Corp.    193,772     11,671
  New York Mortgage Trust Inc.  1,358,928     11,592
* International Money Express Inc.    523,834     11,571
* Ambac Financial Group Inc.    695,050     11,454
  Bank First Corp.    124,322     10,774
  Heritage Financial Corp.    501,794     10,733
  TFS Financial Corp.    727,708     10,690
1 UWM Holdings Corp. Class A  1,477,057     10,561
  ProAssurance Corp.    754,883     10,410
  Amerant Bancorp Inc. Class A    418,223     10,276
  Community Trust Bancorp Inc.    233,917     10,260
  Byline Bancorp Inc.    435,172     10,253
  Dynex Capital Inc.    800,505     10,022
* Repay Holdings Corp. Class A  1,151,557      9,834
* AssetMark Financial Holdings Inc.    324,642      9,723
  Old Second Bancorp Inc.    628,637      9,706
  Brightsphere Investment Group Inc.    500,936      9,598
  Business First Bancshares Inc.    379,259      9,349
  Midland States Bancorp Inc.    338,440      9,327
* Metropolitan Bank Holding Corp.    167,115      9,255
  First Community Bankshares Inc.    249,094      9,241
  Hanmi Financial Corp.    474,120      9,198
  Heritage Commerce Corp.    924,810      9,174
  Univest Financial Corp.    416,366      9,173
* NerdWallet Inc. Class A    608,608      8,959
  Horizon Bancorp Inc.    625,516      8,951
  Camden National Corp.    237,527      8,938
* CrossFirst Bankshares Inc.    657,435      8,928
          Shares Market
Value

($000)
  Cass Information Systems Inc.    195,126      8,790
  Cambridge Bancorp    123,173      8,548
  Washington Trust Bancorp Inc.    263,756      8,540
  Independent Bank Corp. (Michigan)    327,992      8,534
  TrustCo Bank Corp.    273,563      8,494
  Central Pacific Financial Corp.    420,936      8,284
  Mercantile Bank Corp.    200,736      8,106
1 A-Mark Precious Metals Inc.    266,157      8,051
  Ares Commercial Real Estate Corp.    776,661      8,046
  Kearny Financial Corp.    892,481      8,006
  Flushing Financial Corp.    483,274      7,964
* Columbia Financial Inc.    408,533      7,877
* Coastal Financial Corp.    176,352      7,832
1 HCI Group Inc.     88,678      7,750
  Farmers National Banc Corp.    536,169      7,748
  Republic Bancorp Inc. Class A    139,443      7,692
  Perella Weinberg Partners Class A    628,273      7,684
  Diamond Hill Investment Group Inc.     46,332      7,672
* I3 Verticals Inc. Class A    361,242      7,647
  Peapack-Gladstone Financial Corp.    254,277      7,583
1 Orchid Island Capital Inc.    899,093      7,579
  American National Bankshares Inc.    152,480      7,433
  Southern Missouri Bancorp Inc.    137,592      7,346
  First Financial Corp.    168,086      7,233
  First Foundation Inc.    746,965      7,231
  CNB Financial Corp.    317,101      7,163
  Northfield Bancorp Inc.    568,991      7,158
  Bar Harbor Bankshares    242,276      7,113
  United Fire Group Inc.    351,882      7,080
  Great Southern Bancorp Inc.    119,276      7,079
  Amalgamated Financial Corp.    262,251      7,065
* Green Dot Corp. Class A    698,730      6,917
  HarborOne Bancorp Inc.    571,808      6,850
* World Acceptance Corp.     52,039      6,793
  Capital City Bank Group Inc.    228,680      6,730
* Cantaloupe Inc.    906,356      6,716
  Shore Bancshares Inc.    469,235      6,687
* EZCORP Inc. Class A    763,399      6,672
  Equity Bancshares Inc. Class A    196,324      6,655
  Arrow Financial Corp.    238,003      6,650
  P10 Inc. Class A    641,892      6,560
  TPG RE Finance Trust Inc.    995,047      6,468
  Invesco Mortgage Capital Inc.    689,915      6,113
  Hingham Institution For Savings     31,039      6,034
  Summit Financial Group Inc.    195,596      6,003
  HomeTrust Bancshares Inc.    222,554      5,991
  Metrocity Bankshares Inc.    248,335      5,965
  MidWestOne Financial Group Inc.    221,299      5,955
  Tiptree Inc. Class A    311,448      5,905
1 Burke & Herbert Financial Services Corp.     93,348      5,872
  Macatawa Bank Corp.    508,999      5,742
  Universal Insurance Holdings Inc.    356,462      5,696
  ACNB Corp.    126,982      5,684
  Alerus Financial Corp.    248,710      5,569
  James River Group Holdings Ltd.    598,900      5,534
  Northeast Bank     98,294      5,425
  GCM Grosvenor Inc. Class A    600,784      5,383
* Forge Global Holdings Inc.  1,554,121      5,331
  SmartFinancial Inc.    211,954      5,191
1 B. Riley Financial Inc.    246,729      5,179
  Granite Point Mortgage Trust Inc.    871,777      5,178
  Esquire Financial Holdings Inc.    103,407      5,166
  Citizens & Northern Corp.    225,043      5,048
* Moneylion Inc.     79,895      5,009
* Carter Bankshares Inc.    334,514      5,008
  Capstar Financial Holdings Inc.    265,424      4,974
  Mid Penn Bancorp Inc.    204,439      4,964
 
15

 

Extended Market Index Fund
          Shares Market
Value

($000)
1 NewtekOne Inc.    350,809      4,841
* LendingTree Inc.    158,617      4,809
  Financial Institutions Inc.    224,124      4,774
  HBT Financial Inc.    222,075      4,688
* Bridgewater Bancshares Inc.    342,495      4,631
  Home Bancorp Inc.    110,046      4,623
  Federal Agricultural Mortgage Corp. Class A     29,419      4,622
* Paymentus Holdings Inc. Class A    258,184      4,614
  South Plains Financial Inc.    158,578      4,592
  Orrstown Financial Services Inc.    155,308      4,582
  Peoples Financial Services Corp.     93,073      4,533
* Southern First Bancshares Inc.    122,020      4,527
  Northrim Bancorp Inc.     78,554      4,494
* Greenlight Capital Re Ltd. Class A    389,372      4,447
  First Bank    299,982      4,410
  FS Bancorp Inc.    119,191      4,405
  Bridge Investment Group Holdings Inc. Class A    437,436      4,278
  Sierra Bancorp    189,219      4,267
  Northeast Community Bancorp Inc.    239,956      4,257
  First of Long Island Corp.    319,955      4,236
  Oppenheimer Holdings Inc. Class A    102,492      4,235
  West Bancorp Inc.    199,380      4,227
  John Marshall Bancorp Inc.    184,802      4,169
  BayCom Corp.    175,600      4,142
  MBIA Inc.    673,006      4,119
  Five Star Bancorp    155,233      4,064
  Bank of Marin Bancorp    183,391      4,038
  Citizens Financial Services Inc.     61,514      3,981
  Guaranty Bancshares Inc.    118,344      3,979
  Farmers & Merchants Bancorp Inc.    159,712      3,961
  First Business Financial Services Inc.     96,456      3,868
  Civista Bancshares Inc.    208,665      3,848
  Enterprise Bancorp Inc.    118,864      3,835
*,1 Better Home & Finance Holding Co.  4,616,288      3,769
  Waterstone Financial Inc.    264,044      3,749
  Red River Bancshares Inc.     65,999      3,703
  RBB Bancorp    192,099      3,658
  Primis Financial Corp.    286,218      3,624
* Third Coast Bancshares Inc.    181,078      3,598
  Regional Management Corp.    142,217      3,567
  Timberland Bancorp Inc.    113,358      3,566
  Fidelity D&D Bancorp Inc.     61,342      3,560
* Blue Foundry Bancorp    366,870      3,548
  MVB Financial Corp.    156,736      3,536
  Crawford & Co. Class B    265,090      3,467
  Investors Title Co.     21,248      3,445
* eHealth Inc.    393,743      3,433
  Codorus Valley Bancorp Inc.    133,541      3,432
* Heritage Insurance Holdings Inc.    522,196      3,405
  Colony Bankcorp Inc.    255,862      3,403
  Orange County Bancorp Inc.     56,424      3,399
*,1 Hagerty Inc. Class A    421,916      3,291
  Norwood Financial Corp.     99,904      3,288
  Middlefield Banc Corp.    101,429      3,283
  PCB Bancorp    176,970      3,262
  First Bancorp Inc.    115,481      3,259
  AG Mortgage Investment Trust Inc.    505,496      3,210
  Chicago Atlantic Real Estate Finance Inc.    198,268      3,208
* Ponce Financial Group Inc.    322,732      3,150
1 Angel Oak Mortgage REIT Inc.    296,836      3,146
  Central Valley Community Bancorp    139,636      3,121
  C&F Financial Corp.     44,566      3,039
  Plumas Bancorp     73,314      3,032
*,1 AlTi Global Inc.    345,322      3,025
  Capital Bancorp Inc.    122,877      2,974
* Southern California Bancorp    170,797      2,963
  BCB Bancorp Inc.    227,746      2,927
          Shares Market
Value

($000)
  First Internet Bancorp    117,894      2,852
* Ocwen Financial Corp.     92,076      2,832
  AFC Gamma Inc.    235,118      2,828
*,1 American Coastal Insurance Corp.    293,947      2,781
  Oak Valley Bancorp     92,100      2,758
  LINKBANCORP Inc.    345,977      2,757
  HomeStreet Inc.    267,514      2,755
  Ames National Corp.    128,938      2,752
  Bankwell Financial Group Inc.     90,469      2,730
  Parke Bancorp Inc.    134,688      2,727
  Princeton Bancorp Inc.     75,716      2,718
* Atlanticus Holdings Corp.     70,011      2,707
  National Bankshares Inc.     83,624      2,705
  ChoiceOne Financial Services Inc.     92,210      2,702
  Southern States Bancshares Inc.     91,779      2,687
  Greene County Bancorp Inc.     94,636      2,669
  Western New England Bancorp Inc.    293,220      2,639
  Chemung Financial Corp.     52,844      2,632
* FVCBankcorp Inc.    184,619      2,622
*,1 Bakkt Holdings Inc.  1,170,281      2,610
  Evans Bancorp Inc.     81,839      2,580
* California Bancorp    104,001      2,575
* loanDepot Inc. Class A    730,250      2,570
  ESSA Bancorp Inc.    125,382      2,510
  Medallion Financial Corp.    254,706      2,509
  Donegal Group Inc. Class A    178,372      2,495
* Selectquote Inc.  1,811,793      2,482
  Unity Bancorp Inc.     82,977      2,455
* Provident Bancorp Inc.    242,279      2,440
* Velocity Financial Inc.    138,380      2,383
* Acacia Research Corp.    604,723      2,371
  Seven Hills Realty Trust    180,973      2,342
  First Northwest Bancorp    144,883      2,309
* Maiden Holdings Ltd.  1,008,288      2,309
  First United Corp.     97,981      2,304
  Hawthorn Bancshares Inc.     90,769      2,303
*,1 Kingsway Financial Services Inc.    271,673      2,282
  Virginia National Bankshares Corp.     66,254      2,278
  First Community Corp.    104,001      2,239
1 BV Financial Inc.    157,520      2,234
  Sachem Capital Corp.    587,332      2,197
  MainStreet Bancshares Inc.     87,327      2,167
  Penns Woods Bancorp Inc.     95,148      2,142
  LCNB Corp.    135,142      2,131
  Nexpoint Real Estate Finance Inc.    132,816      2,092
  OP Bancorp    187,294      2,051
* Finwise Bancorp    142,628      2,041
  Silvercrest Asset Management Group Inc. Class A    119,306      2,028
*,1 Hippo Holdings Inc.    220,076      2,007
  Peoples Bancorp of North Carolina Inc.     66,460      2,006
  Meridian Corp.    143,789      1,999
  William Penn Bancorp    163,334      1,994
  Great Ajax Corp.    372,803      1,976
* Security National Financial Corp. Class A    218,152      1,963
  BankFinancial Corp.    185,100      1,899
  Riverview Bancorp Inc.    296,607      1,898
* First Western Financial Inc.     95,670      1,897
  Investar Holding Corp.    122,875      1,832
1 Associated Capital Group Inc. Class A     51,110      1,825
  Franklin Financial Services Corp.     57,198      1,805
* Luther Burbank Corp.    167,843      1,798
  Richmond Mutual Bancorp Inc.    155,139      1,786
  Ellington Residential Mortgage REIT    282,174      1,730
1 Cherry Hill Mortgage Investment Corp.    426,678      1,724
  Crawford & Co. Class A    129,758      1,710
  Citizens Community Bancorp Inc.    145,525      1,704
*,1 Citizens Inc. Class A    626,169      1,684
 
16

 

Extended Market Index Fund
          Shares Market
Value

($000)
* ECB Bancorp Inc.    133,850      1,676
  First National Corp.     76,797      1,670
  Hanover Bancorp Inc.     93,997      1,658
  FNCB Bancorp Inc.    236,131      1,603
* Sterling Bancorp Inc.    269,676      1,556
*,1 SR Bancorp Inc.    161,257      1,542
* USCB Financial Holdings Inc.    125,822      1,541
* Oportun Financial Corp.    391,650      1,531
  SB Financial Group Inc.     99,089      1,510
* NI Holdings Inc.    115,761      1,504
  Territorial Bancorp Inc.    133,227      1,485
  United Security Bancshares    173,552      1,460
  CB Financial Services Inc.     60,900      1,451
  Eagle Bancorp Montana Inc.     91,045      1,438
  Union Bankshares Inc.     46,833      1,435
  Westwood Holdings Group Inc.    113,259      1,424
  First Financial Northwest Inc.    103,807      1,399
* Paysign Inc.    496,392      1,390
  HMN Financial Inc.     58,871      1,354
  Bank7 Corp.     49,485      1,353
* Consumer Portfolio Services Inc.    143,922      1,349
  First Savings Financial Group Inc.     78,751      1,323
  Lument Finance Trust Inc.    561,340      1,308
  Community West Bancshares     73,860      1,284
  Guild Holdings Co. Class A     89,635      1,263
  CF Bankshares Inc.     62,612      1,232
*,1 Caret Holdings Inc. Class A    115,414      1,210
  First Capital Inc.     44,229      1,207
* Heritage Global Inc.    432,887      1,203
  Ohio Valley Banc Corp.     52,282      1,202
  Finward Bancorp     47,585      1,190
  Provident Financial Holdings Inc.     92,550      1,167
* SWK Holdings Corp.     65,383      1,146
*,1 OppFi Inc.    221,110      1,132
  Magyar Bancorp Inc.     97,998      1,098
* Pioneer Bancorp Inc.    106,991      1,071
  MarketWise Inc.    392,321      1,071
* Catalyst Bancorp Inc.     96,306      1,044
  Sound Financial Bancorp Inc.     26,610      1,038
  Summit State Bank     84,229      1,011
  First Guaranty Bancshares Inc.     90,349      1,005
* ACRES Commercial Realty Corp.    103,938      1,000
  Old Point Financial Corp.     54,136        960
  Landmark Bancorp Inc.     49,361        957
* GoHealth Inc. Class A     70,226        937
* Priority Technology Holdings Inc.    258,431        920
  Bank of the James Financial Group Inc.     76,015        914
* Affinity Bancshares Inc.     55,412        885
  United Bancorp Inc.     67,493        860
  First US Bancshares Inc.     79,463        844
* Rhinebeck Bancorp Inc.    100,699        811
* 1895 Bancorp of Wisconsin Inc.    113,359        784
  AmeriServ Financial Inc.    234,364        758
* Nicholas Financial Inc.    107,044        731
  Bayfirst Financial Corp.     56,203        728
  Cullman Bancorp Inc.     63,750        686
  Blue Ridge Bankshares Inc.    210,890        639
  US Global Investors Inc. Class A    226,209        638
  Auburn National Bancorp Inc.     29,637        631
  TC Bancshares Inc.     46,125        631
  IF Bancorp Inc.     37,943        612
* Generations Bancorp NY Inc.     58,856        601
  Value Line Inc.     10,321        503
  Pathfinder Bancorp Inc.     36,034        498
* Finance of America Cos. Inc. Class A    445,632        490
  Manhattan Bridge Capital Inc.     97,338        484
* Katapult Holdings Inc.     43,485        475
          Shares Market
Value

($000)
  First Seacoast Bancorp     62,608        473
*,1 Beneficient Class A    962,056        468
* Usio Inc.    234,439        403
  Hennessy Advisors Inc.     58,395        392
* Broadway Financial Corp.     58,791        390
* Bright Health Group Inc.     47,738        364
* FlexShopper Inc.    194,566        325
*,1 AppTech Payments Corp.    149,801        298
* BM Technologies Inc.    144,374        296
* Vericity Inc.     26,227        293
* Bogota Financial Corp.     34,929        281
  Texas Community Bancshares Inc.     20,004        281
* Kingstone Cos. Inc.    123,172        262
*,1 Siebert Financial Corp.    150,413        253
* OptimumBank Holdings Inc.     59,642        248
* Curo Group Holdings Corp.    301,842        241
  Kentucky First Federal Bancorp     53,070        237
* NSTS Bancorp Inc.     25,211        237
  Atlantic American Corp.     88,541        211
  Safeguard Scientifics Inc.    237,965        187
*,1 Marpai Inc. Class A     96,992        170
* PB Bankshares Inc.     13,314        167
  Home Federal Bancorp Inc. of Louisiana     10,855        161
* Ryvyl Inc.     35,394        148
* Carver Bancorp Inc.     71,288        140
  Village Bank & Trust Financial Corp.      3,075        123
*,1 OLB Group Inc.    112,818        120
* Income Opportunity Realty Investors Inc.      8,889        119
* Ashford Inc.     25,046         92
* Oxbridge Re Holdings Ltd.     85,132         90
  Glen Burnie Bancorp     12,750         78
* FG Financial Group Inc.     47,116         73
* Patriot National Bancorp Inc.     18,164         70
*,1 LM Funding America Inc.     99,032         61
* Lake Shore Bancorp Inc.      4,543         53
*,1 SHF Holdings Inc.     37,415         53
* Hallmark Financial Services Inc.     44,543         45
  Cohen & Co. Inc.      4,688         31
*,1 Central Plains Bancshares Inc.      3,046         31
*,1 Sezzle Inc.      1,414         29
* ICC Holdings Inc.      1,786         27
*,1 Conifer Holdings Inc.     25,019         26
* Reliance Global Group Inc.     40,514         22
*,1 Netcapital Inc.     52,818         11
* CFSB Bancorp Inc.      1,166          7
* Mill City Ventures III Ltd.        492          1
* Marygold Cos. Inc.         81         —
                   16,822,862
Health Care (11.8%)
* Veeva Systems Inc. Class A  2,160,260    415,893
* Alnylam Pharmaceuticals Inc.  1,857,453    355,535
* BioMarin Pharmaceutical Inc.  2,778,508    267,904
* Avantor Inc. 10,009,199    228,510
* Exact Sciences Corp.  2,673,070    197,754
* Neurocrine Biosciences Inc.  1,449,469    190,982
* Karuna Therapeutics Inc.    528,202    167,181
  Royalty Pharma plc Class A  5,657,156    158,910
* United Therapeutics Corp.    691,811    152,122
* Penumbra Inc.    570,848    143,591
* Repligen Corp.    768,353    138,150
* Sarepta Therapeutics Inc.  1,382,099    133,276
  Chemed Corp.    222,962    130,377
* Cytokinetics Inc.  1,470,192    122,746
* Jazz Pharmaceuticals plc    930,162    114,410
* Tenet Healthcare Corp.  1,502,690    113,558
* Exelixis Inc.  4,598,447    110,317
* Elanco Animal Health Inc.  7,277,489    108,435
 
17

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Ionis Pharmaceuticals Inc.  2,113,781    106,936
* ImmunoGen Inc.  3,584,179    106,271
* Acadia Healthcare Co. Inc.  1,363,578    106,032
* Medpace Holdings Inc.    345,721    105,974
* Natera Inc.  1,678,193    105,122
* Shockwave Medical Inc.    547,918    104,411
  Bruker Corp.  1,371,516    100,779
  Encompass Health Corp.  1,487,877     99,271
* Intra-Cellular Therapies Inc.  1,322,189     94,695
  Ensign Group Inc.    834,653     93,656
* Globus Medical Inc. Class A  1,712,140     91,240
* Apellis Pharmaceuticals Inc.  1,510,528     90,420
* Inspire Medical Systems Inc.    437,495     89,000
* Option Care Health Inc.  2,621,818     88,329
* 10X Genomics Inc. Class A  1,542,689     86,329
* HealthEquity Inc.  1,266,880     83,994
* Blueprint Medicines Corp.    897,108     82,749
* Vaxcyte Inc.  1,297,528     81,485
* Masimo Corp.    661,072     77,484
* Bridgebio Pharma Inc.  1,913,425     77,245
*,1 CRISPR Therapeutics AG  1,180,348     73,890
* Halozyme Therapeutics Inc.  1,950,336     72,084
* Alkermes plc  2,457,722     68,177
* Insmed Inc.  2,115,162     65,549
* Merit Medical Systems Inc.    851,939     64,713
  Perrigo Co. plc  2,010,745     64,706
* Haemonetics Corp.    751,477     64,259
* Lantheus Holdings Inc.  1,013,601     62,843
* Envista Holdings Corp.  2,561,192     61,622
* Ultragenyx Pharmaceutical Inc.  1,245,373     59,554
* Neogen Corp.  2,908,603     58,492
* Azenta Inc.    893,200     58,183
* Glaukos Corp.    719,552     57,197
* Evolent Health Inc. Class A  1,721,128     56,849
* Amicus Therapeutics Inc.  3,985,172     56,550
* agilon health Inc.  4,467,958     56,073
* Roivant Sciences Ltd.  4,945,232     55,535
* Cerevel Therapeutics Holdings Inc.  1,307,710     55,447
* ACADIA Pharmaceuticals Inc.  1,763,726     55,222
  Organon & Co.  3,797,487     54,760
* REVOLUTION Medicines Inc.  1,907,787     54,715
* QuidelOrtho Corp.    735,956     54,240
* Madrigal Pharmaceuticals Inc.    230,050     53,229
* Teladoc Health Inc.  2,454,306     52,890
* Mirati Therapeutics Inc.    867,446     50,962
  CONMED Corp.    453,242     49,635
* Doximity Inc. Class A  1,760,371     49,361
* Inari Medical Inc.    756,542     49,115
* Integer Holdings Corp.    491,096     48,658
* iRhythm Technologies Inc.    452,507     48,436
* Arrowhead Pharmaceuticals Inc.  1,580,055     48,350
* Guardant Health Inc.  1,744,191     47,180
* Axonics Inc.    747,371     46,509
* Krystal Biotech Inc.    372,789     46,248
* Prestige Consumer Healthcare Inc.    753,236     46,113
* Fortrea Holdings Inc.  1,318,012     45,999
* Progyny Inc.  1,229,604     45,717
*,1 Axsome Therapeutics Inc.    571,245     45,465
* Amedisys Inc.    476,624     45,308
* Integra LifeSciences Holdings Corp.  1,014,341     44,175
*,1 Corcept Therapeutics Inc.  1,327,129     43,105
* AMN Healthcare Services Inc.    558,749     41,839
* Biohaven Ltd.    962,003     41,174
* LivaNova plc    794,548     41,110
* Enovis Corp.    733,237     41,076
* Intellia Therapeutics Inc.  1,312,473     40,017
  Premier Inc. Class A  1,767,880     39,530
          Shares Market
Value

($000)
* Denali Therapeutics Inc.  1,828,280     39,235
* Cymabay Therapeutics Inc.  1,627,908     38,451
* TransMedics Group Inc.    483,244     38,142
* Pacific Biosciences of California Inc.  3,701,856     36,315
  Select Medical Holdings Corp.  1,544,837     36,304
* TG Therapeutics Inc.  2,103,543     35,929
  Patterson Cos. Inc.  1,253,424     35,660
* Ideaya Biosciences Inc.    984,155     35,016
* Immunovant Inc.    827,599     34,867
* Privia Health Group Inc.  1,512,913     34,842
* Surgery Partners Inc.  1,085,059     34,711
* Amphastar Pharmaceuticals Inc.    559,496     34,605
* Nuvalent Inc. Class A    468,846     34,502
* Rhythm Pharmaceuticals Inc.    737,287     33,893
* SpringWorks Therapeutics Inc.    926,846     33,830
* Arvinas Inc.    811,090     33,384
* CorVel Corp.    133,039     32,889
* Celldex Therapeutics Inc.    805,156     31,932
* Rocket Pharmaceuticals Inc.  1,048,472     31,423
* Twist Bioscience Corp.    845,365     31,160
* RadNet Inc.    889,860     30,940
* R1 RCM Inc.  2,922,879     30,895
* PTC Therapeutics Inc.  1,112,490     30,660
* NeoGenomics Inc.  1,882,332     30,456
* Crinetics Pharmaceuticals Inc.    850,816     30,272
* ICU Medical Inc.    299,404     29,863
* Veracyte Inc.  1,065,629     29,315
* Beam Therapeutics Inc.  1,069,404     29,109
* Schrodinger Inc.    808,338     28,939
* Tandem Diabetes Care Inc.    963,593     28,503
* Certara Inc.  1,583,116     27,847
* PROCEPT BioRobotics Corp.    657,385     27,551
* Viking Therapeutics Inc.  1,477,775     27,501
* Dynavax Technologies Corp.  1,887,744     26,391
* Iovance Biotherapeutics Inc.  3,229,262     26,254
* Arcellx Inc.    467,560     25,950
* Myriad Genetics Inc.  1,353,919     25,914
* Omnicell Inc.    670,359     25,226
* AtriCure Inc.    697,123     24,880
* Sotera Health Co.  1,476,104     24,872
* Vericel Corp.    698,335     24,868
* Catalyst Pharmaceuticals Inc.  1,467,617     24,671
* Syndax Pharmaceuticals Inc.  1,129,756     24,414
* Apollo Medical Holdings Inc.    624,592     23,922
* Supernus Pharmaceuticals Inc.    801,029     23,182
* Ironwood Pharmaceuticals Inc. Class A  2,022,686     23,140
* Pacira BioSciences Inc.    679,715     22,934
*,1 Recursion Pharmaceuticals Inc. Class A  2,322,930     22,904
* STAAR Surgical Co.    720,136     22,475
* Addus HomeCare Corp.    239,452     22,233
* Ardelyx Inc.  3,553,133     22,029
* Owens & Minor Inc.  1,130,669     21,788
* Novocure Ltd.  1,440,175     21,502
* Alphatec Holdings Inc.  1,420,369     21,462
* Prothena Corp. plc    573,906     20,856
  US Physical Therapy Inc.    219,499     20,444
* Protagonist Therapeutics Inc.    842,744     19,324
* BioCryst Pharmaceuticals Inc.  3,225,610     19,321
* Xencor Inc.    907,473     19,266
* Hims & Hers Health Inc.  2,154,925     19,179
* Akero Therapeutics Inc.    816,657     19,069
* UFP Technologies Inc.    105,813     18,204
  National HealthCare Corp.    196,672     18,176
* Agios Pharmaceuticals Inc.    815,904     18,170
* Phreesia Inc.    768,441     17,789
*,1 Mirum Pharmaceuticals Inc.    601,321     17,751
* Ligand Pharmaceuticals Inc.    241,757     17,266
 
18

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Morphic Holding Inc.    594,232     17,161
* Veradigm Inc.  1,629,497     17,093
* Sage Therapeutics Inc.    774,359     16,780
* Kura Oncology Inc.  1,166,602     16,776
* Viridian Therapeutics Inc.    765,362     16,670
* RayzeBio Inc.    266,077     16,542
  LeMaitre Vascular Inc.    290,878     16,510
* Brookdale Senior Living Inc.  2,835,774     16,504
* Harmony Biosciences Holdings Inc.    498,577     16,104
  Embecta Corp.    849,848     16,088
* Avanos Medical Inc.    693,911     15,564
* MiMedx Group Inc.  1,730,276     15,175
* Arcus Biosciences Inc.    784,288     14,980
* Kymera Therapeutics Inc.    586,527     14,933
* Relay Therapeutics Inc.  1,344,307     14,801
* Geron Corp.  6,928,820     14,620
* Inhibrx Inc.    382,499     14,535
* Pliant Therapeutics Inc.    800,058     14,489
* Collegium Pharmaceutical Inc.    470,038     14,468
* MannKind Corp.  3,960,964     14,418
* ADMA Biologics Inc.  3,130,198     14,148
* Keros Therapeutics Inc.    354,752     14,105
* Quanterix Corp.    511,944     13,997
* Deciphera Pharmaceuticals Inc.    867,019     13,985
* Cytek Biosciences Inc.  1,514,056     13,808
* RxSight Inc.    341,774     13,780
* Scholar Rock Holding Corp.    732,147     13,764
* Innoviva Inc.    847,586     13,595
* Vir Biotechnology Inc.  1,316,136     13,240
*,1 Cassava Sciences Inc.    584,288     13,152
* ANI Pharmaceuticals Inc.    234,772     12,945
* Alignment Healthcare Inc.  1,502,439     12,936
* Editas Medicine Inc.  1,276,851     12,935
* Zentalis Pharmaceuticals Inc.    845,205     12,805
* Varex Imaging Corp.    620,701     12,724
* Accolade Inc.  1,057,933     12,706
* Day One Biopharmaceuticals Inc.    866,111     12,645
*,1 Cabaletta Bio Inc.    549,179     12,466
* EyePoint Pharmaceuticals Inc.    528,857     12,222
* Revance Therapeutics Inc.  1,343,203     11,807
* RAPT Therapeutics Inc.    469,851     11,676
* SI-BONE Inc.    553,188     11,611
* Cross Country Healthcare Inc.    509,591     11,537
* Arcturus Therapeutics Holdings Inc.    362,192     11,420
* Nevro Corp.    530,009     11,406
*,1 ImmunityBio Inc.  2,258,827     11,339
* Pediatrix Medical Group Inc.  1,212,967     11,281
* CryoPort Inc.    728,094     11,278
*,1 Anavex Life Sciences Corp.  1,204,329     11,212
* Olema Pharmaceuticals Inc.    795,170     11,156
  Simulations Plus Inc.    244,753     10,953
* Alpine Immune Sciences Inc.    573,017     10,922
* Maravai LifeSciences Holdings Inc. Class A  1,641,089     10,749
*,1 LifeStance Health Group Inc.  1,367,858     10,710
* REGENXBIO Inc.    592,302     10,632
* 89bio Inc.    948,366     10,593
* Disc Medicine Inc.    180,983     10,454
* Verve Therapeutics Inc.    731,786     10,201
* Artivion Inc.    568,947     10,173
  HealthStream Inc.    369,988     10,001
* CareDx Inc.    822,434      9,869
* OPKO Health Inc.  6,425,774      9,703
* Amneal Pharmaceuticals Inc.  1,565,530      9,503
*,1 Liquidia Corp.    780,374      9,388
*,1 Soleno Therapeutics Inc.    231,926      9,335
* 4D Molecular Therapeutics Inc.    460,330      9,326
* Avidity Biosciences Inc.  1,027,349      9,298
          Shares Market
Value

($000)
* OraSure Technologies Inc.  1,107,698      9,083
*,1 Novavax Inc.  1,857,725      8,917
* Travere Therapeutics Inc.    986,637      8,870
* Amylyx Pharmaceuticals Inc.    599,556      8,825
  National Research Corp.    221,261      8,753
* AdaptHealth Corp. Class A  1,200,424      8,751
* Icosavax Inc.    554,604      8,741
*,1 Altimmune Inc.    776,639      8,737
* MacroGenics Inc.    904,631      8,703
* OmniAb Inc.  1,395,356      8,609
* Fulgent Genetics Inc.    296,740      8,579
* Castle Biosciences Inc.    394,224      8,507
* Treace Medical Concepts Inc.    664,694      8,475
* ModivCare Inc.    192,481      8,467
* Tarsus Pharmaceuticals Inc.    414,257      8,389
* BioLife Solutions Inc.    513,794      8,349
*,1 Apogee Therapeutics Inc.    298,001      8,326
* Vera Therapeutics Inc. Class A    534,577      8,222
* Surmodics Inc.    224,931      8,176
* Adaptive Biotechnologies Corp.  1,662,205      8,145
* Marinus Pharmaceuticals Inc.    746,163      8,111
  Mesa Laboratories Inc.     76,258      7,990
* Enhabit Inc.    770,635      7,976
* OrthoPediatrics Corp.    244,041      7,934
  Atrion Corp.     20,849      7,897
* Health Catalyst Inc.    852,732      7,896
* Kiniksa Pharmaceuticals Ltd. Class A    448,044      7,859
* GoodRx Holdings Inc. Class A  1,166,570      7,816
* Alector Inc.    967,033      7,717
* PetIQ Inc. Class A    385,606      7,616
*,1 Tango Therapeutics Inc.    755,651      7,481
* HilleVax Inc.    466,044      7,480
* Dyne Therapeutics Inc.    560,103      7,449
* Zimvie Inc.    416,924      7,400
* Pulmonx Corp.    576,140      7,346
* Paragon 28 Inc.    589,374      7,326
* Orthofix Medical Inc.    541,502      7,299
* DocGo Inc.  1,305,623      7,298
* MaxCyte Inc.  1,521,080      7,149
* Silk Road Medical Inc.    576,141      7,069
* Edgewise Therapeutics Inc.    639,497      6,996
*,1 Cargo Therapeutics Inc.    302,109      6,994
* Nurix Therapeutics Inc.    677,350      6,990
* Definitive Healthcare Corp. Class A    702,683      6,985
* Evolus Inc.    650,114      6,846
* Caribou Biosciences Inc.  1,188,817      6,812
* Replimune Group Inc.    793,265      6,687
* Cogent Biosciences Inc.  1,120,809      6,590
* Savara Inc.  1,366,733      6,424
* Cerus Corp.  2,860,886      6,180
* Pennant Group Inc.    443,966      6,180
*,1 ALX Oncology Holdings Inc.    411,842      6,132
* Community Health Systems Inc.  1,949,719      6,103
* Avid Bioservices Inc.    937,880      6,096
* Cullinan Oncology Inc.    592,731      6,040
*,1 Allogene Therapeutics Inc.  1,874,591      6,017
* SomaLogic Inc.  2,368,415      5,992
* ORIC Pharmaceuticals Inc.    646,955      5,952
* American Well Corp. Class A  3,927,914      5,853
* Sana Biotechnology Inc.  1,412,124      5,761
* AnaptysBio Inc.    268,589      5,753
* Multiplan Corp.  3,972,628      5,721
*,1 Immunome Inc.    520,857      5,573
*,1 Theravance Biopharma Inc.    493,808      5,550
* Aura Biosciences Inc.    625,125      5,539
* AN2 Therapeutics Inc.    266,753      5,466
  iRadimed Corp.    114,230      5,422
 
19

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Talkspace Inc.  2,109,352      5,358
* Ocular Therapeutix Inc.  1,187,296      5,295
* Avita Medical Inc.    383,650      5,264
* Sharecare Inc.  4,858,465      5,247
* Anika Therapeutics Inc.    230,873      5,232
* Astria Therapeutics Inc.    676,567      5,196
*,1 Prime Medicine Inc.    581,890      5,156
* CVRx Inc.    163,802      5,150
* Harrow Inc.    459,070      5,142
* KalVista Pharmaceuticals Inc.    418,295      5,124
*,1 Biomea Fusion Inc.    350,703      5,092
* Tactile Systems Technology Inc.    352,892      5,046
*,1 Arcutis Biotherapeutics Inc.  1,553,202      5,017
*,1 Clover Health Investments Corp. Class A  5,211,712      4,962
* AngioDynamics Inc.    631,882      4,954
1 Gyre Therapeutics Inc.    192,756      4,952
  Tourmaline Bio Inc.    188,724      4,941
* WaVe Life Sciences Ltd.    972,693      4,912
* Fulcrum Therapeutics Inc.    723,720      4,885
*,1 Summit Therapeutics Inc.  1,833,035      4,784
*,1 Phathom Pharmaceuticals Inc.    515,707      4,708
* Xeris Biopharma Holdings Inc.  1,992,277      4,682
*,1 Esperion Therapeutics Inc.  1,548,929      4,631
* Coherus Biosciences Inc.  1,386,427      4,617
* Lyell Immunopharma Inc.  2,326,975      4,514
*,1 Scilex Holding Co.  2,196,019      4,480
* uniQure NV    661,493      4,478
* Fate Therapeutics Inc.  1,183,817      4,427
*,1 Neumora Therapeutics Inc.    257,011      4,382
* Organogenesis Holdings Inc. Class A  1,063,924      4,351
* Axogen Inc.    634,944      4,337
* Entrada Therapeutics Inc.    287,212      4,334
* Agenus Inc.  5,229,774      4,330
* iTeos Therapeutics Inc.    391,052      4,282
*,1 Enliven Therapeutics Inc.    309,070      4,278
*,1 Cibus Inc. Class A    217,052      4,263
* 23andMe Holding Co. Class A  4,659,980      4,257
* Arbutus Biopharma Corp.  1,699,643      4,249
*,1 Senseonics Holdings Inc.  7,311,426      4,168
*,1 Aerovate Therapeutics Inc.    183,598      4,155
*,1 ARS Pharmaceuticals Inc.    756,587      4,146
  Utah Medical Products Inc.     48,796      4,110
* Accuray Inc.  1,445,720      4,091
*,1 Korro Bio Inc.     84,896      4,069
* Agiliti Inc.    509,969      4,039
* Outset Medical Inc.    739,581      4,001
*,1 Genelux Corp.    284,060      3,980
*,1 Orchestra BioMed Holdings Inc.    420,876      3,843
*,1 Shattuck Labs Inc.    524,658      3,741
* OptimizeRx Corp.    260,729      3,731
* Atea Pharmaceuticals Inc.  1,212,939      3,699
*,1 C4 Therapeutics Inc.    654,520      3,698
* Vanda Pharmaceuticals Inc.    870,631      3,674
* Voyager Therapeutics Inc.    432,867      3,653
* Rigel Pharmaceuticals Inc.  2,415,756      3,503
* Mersana Therapeutics Inc.  1,496,337      3,472
*,1 Terns Pharmaceuticals Inc.    532,520      3,456
* ACELYRIN Inc.    461,739      3,445
* Sutro Biopharma Inc.    794,858      3,410
*,1 2seventy bio Inc.    797,916      3,407
*,1 Heron Therapeutics Inc.  1,995,914      3,393
* Semler Scientific Inc.     75,585      3,348
*,1 Zynex Inc.    306,075      3,333
*,1 LifeMD Inc.    401,560      3,329
* Poseida Therapeutics Inc. Class A    984,240      3,307
  Phibro Animal Health Corp. Class A    281,737      3,263
*,1 Absci Corp.    775,257      3,256
          Shares Market
Value

($000)
* Akebia Therapeutics Inc.  2,602,859      3,228
* Y-mAbs Therapeutics Inc.    467,252      3,187
*,1 Pulse Biosciences Inc.    257,244      3,149
* TScan Therapeutics Inc.    535,193      3,120
* Codexis Inc.  1,012,856      3,089
*,1 Lineage Cell Therapeutics Inc.  2,814,846      3,068
*,1 Omeros Corp.    935,998      3,061
  SIGA Technologies Inc.    543,594      3,044
*,1 Invivyd Inc.    772,171      3,042
* Praxis Precision Medicines Inc.    135,958      3,029
* Biote Corp. Class A    607,184      2,999
* Zevra Therapeutics Inc.    456,805      2,992
* Augmedix Inc.    508,063      2,972
*,1 Verastem Inc.    360,608      2,935
* InfuSystem Holdings Inc.    277,339      2,923
* Harvard Bioscience Inc.    541,041      2,895
* Inozyme Pharma Inc.    679,651      2,895
*,1 CorMedix Inc.    768,400      2,889
*,2 PDL BioPharma Inc.  1,757,467      2,830
*,1 Tyra Biosciences Inc.    204,211      2,828
*,1 Janux Therapeutics Inc.    260,788      2,798
* Nkarta Inc.    423,359      2,794
* Taysha Gene Therapies Inc.  1,574,468      2,787
*,1 Harpoon Therapeutics Inc.    243,339      2,767
* Allakos Inc.  1,009,952      2,757
* Nuvation Bio Inc.  1,822,077      2,751
* Merrimack Pharmaceuticals Inc.    203,398      2,728
*,1 Vistagen Therapeutics Inc.    523,901      2,693
*,1 Zomedica Corp. 13,413,683      2,685
*,1 Bluebird Bio Inc.  1,919,822      2,649
* Enanta Pharmaceuticals Inc.    280,040      2,635
* Gossamer Bio Inc.  2,866,985      2,616
* Aldeyra Therapeutics Inc.    735,041      2,580
* Annexon Inc.    567,390      2,576
* Bioventus Inc. Class A    488,385      2,574
*,1 Precigen Inc.  1,911,098      2,561
*,1 Gritstone bio Inc.  1,239,523      2,529
* Standard BioTools Inc.  1,140,567      2,521
*,1 IGM Biosciences Inc.    298,948      2,484
* Erasca Inc.  1,163,464      2,478
*,1 Quantum-Si Inc.  1,231,019      2,474
* Computer Programs & Systems Inc.    220,691      2,472
* Puma Biotechnology Inc.    570,698      2,471
*,1 Lexicon Pharmaceuticals Inc.  1,603,104      2,453
* Ovid therapeutics Inc.    756,183      2,435
* Monte Rosa Therapeutics Inc.    428,201      2,419
* Applied Therapeutics Inc.    718,383      2,407
* Humacyte Inc.    847,058      2,406
*,1 Celcuity Inc.    164,135      2,391
*,1 Alimera Sciences Inc.    538,980      2,328
*,1 Butterfly Network Inc.  2,150,862      2,323
*,1 Invitae Corp.  3,688,951      2,312
* Sight Sciences Inc.    440,384      2,272
* Third Harmonic Bio Inc.    204,820      2,247
*,1 Zura Bio Ltd. Class A    474,460      2,216
* ClearPoint Neuro Inc.    318,881      2,165
* Lexeo Therapeutics Inc.    161,307      2,165
*,1 PDS Biotechnology Corp.    431,144      2,143
* Larimar Therapeutics Inc.    469,540      2,136
*,1 Verrica Pharmaceuticals Inc.    289,249      2,117
*,1 Immuneering Corp. Class A    287,918      2,116
* Compass Therapeutics Inc.  1,342,627      2,095
* Joint Corp.    214,460      2,061
*,1 Mind Medicine MindMed Inc.    551,691      2,019
*,1 Stoke Therapeutics Inc.    380,755      2,003
* Nautilus Biotechnology Inc. Class A    658,670      1,969
* Lyra Therapeutics Inc.    375,661      1,968
 
20

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Black Diamond Therapeutics Inc.    681,201      1,914
*,1 scPharmaceuticals Inc.    305,088      1,913
* Seres Therapeutics Inc.  1,361,249      1,906
* XOMA Corp.    102,406      1,895
*,1 Annovis Bio Inc.    101,298      1,894
* G1 Therapeutics Inc.    614,860      1,875
*,1 Inmune Bio Inc.    165,874      1,868
* Tenaya Therapeutics Inc.    572,369      1,854
*,1 Actinium Pharmaceuticals Inc.    364,779      1,853
* FONAR Corp.     94,631      1,851
* Inogen Inc.    331,291      1,819
* Acumen Pharmaceuticals Inc.    472,172      1,813
*,1 CEL - SCI Corp.    665,733      1,811
*,1 Ocugen Inc.  3,138,869      1,805
* Inovio Pharmaceuticals Inc.  3,470,978      1,770
* Capricor Therapeutics Inc.    354,443      1,733
* Emergent BioSolutions Inc.    719,861      1,728
* Foghorn Therapeutics Inc.    265,887      1,715
* Ventyx Biosciences Inc.    676,940      1,672
* Aveanna Healthcare Holdings Inc.    619,532      1,660
* PMV Pharmaceuticals Inc.    532,146      1,650
* Anixa Biosciences Inc.    420,658      1,632
*,1 Sera Prognostics Inc. Class A    265,885      1,590
* Sanara Medtech Inc.     38,451      1,580
* Cue Biopharma Inc.    597,569      1,578
* GlycoMimetics Inc.    651,187      1,537
* Abeona Therapeutics Inc.    305,507      1,531
* Mineralys Therapeutics Inc.    177,068      1,523
* X4 Pharmaceuticals Inc.  1,807,457      1,516
* Stereotaxis Inc.    865,763      1,515
* Nektar Therapeutics Class A  2,676,857      1,512
* Tela Bio Inc.    226,799      1,501
*,1 Citius Pharmaceuticals Inc.  1,957,895      1,481
* Innovage Holding Corp.    244,957      1,470
* CytomX Therapeutics Inc.    946,563      1,467
*,1 Atossa Therapeutics Inc.  1,664,345      1,465
* Relmada Therapeutics Inc.    353,625      1,464
*,1 AEON Biopharma Inc.    202,540      1,458
* Syros Pharmaceuticals Inc.    184,890      1,440
* NeuroPace Inc.    137,953      1,422
* Mural Oncology plc    236,526      1,400
*,1 Assertio Holdings Inc.  1,307,570      1,399
* Kodiak Sciences Inc.    458,129      1,393
* Karyopharm Therapeutics Inc.  1,568,362      1,357
*,1 TriSalus Life Sciences Inc.    160,000      1,352
* Eton Pharmaceuticals Inc.    307,580      1,347
* BioAtla Inc.    545,526      1,342
* Longboard Pharmaceuticals Inc.    221,401      1,335
* Aquestive Therapeutics Inc.    658,878      1,331
* Akoya Biosciences Inc.    271,764      1,326
*,1 Reviva Pharmaceuticals Holdings Inc.    252,419      1,300
* Chimerix Inc.  1,308,906      1,260
* Perspective Therapeutics Inc.  3,105,489      1,248
* KORU Medical Systems Inc.    506,625      1,244
* Optinose Inc.    948,209      1,223
*,1 Renovaro Biosciences Inc.    378,409      1,200
* Generation Bio Co.    718,076      1,185
*,1 AirSculpt Technologies Inc.    156,689      1,174
* Neuronetics Inc.    403,878      1,171
* Cartesian Therapeutics Inc.  1,696,040      1,169
*,1 Vor BioPharma Inc.    519,630      1,169
* Myomo Inc.    228,288      1,144
* Personalis Inc.    539,279      1,132
* Galectin Therapeutics Inc.    670,160      1,112
* Werewolf Therapeutics Inc.    288,006      1,112
* Athira Pharma Inc.    452,018      1,098
* Apyx Medical Corp.    414,663      1,086
          Shares Market
Value

($000)
*,1 Asensus Surgical Inc.  3,398,802      1,084
* FibroGen Inc.  1,214,955      1,077
*,1 Vaxart Inc.  1,872,506      1,073
* Electromed Inc.     98,146      1,071
* SCYNEXIS Inc.    479,862      1,070
* ChromaDex Corp.    747,814      1,069
* Design Therapeutics Inc.    399,505      1,059
* Conduit Pharmaceuticals Inc.    231,299      1,052
* Curis Inc.     81,306      1,037
* Inotiv Inc.    278,037      1,020
* Sangamo Therapeutics Inc.  1,876,120      1,019
* Seer Inc. Class A    517,365      1,004
1 Carisma Therapeutics Inc.    342,628      1,004
* Century Therapeutics Inc.    299,597        995
*,1 Achieve Life Sciences Inc.    240,138        989
* Theseus Pharmaceuticals Inc.    241,475        978
*,1 Bionano Genomics Inc.    505,292        955
* aTyr Pharma Inc.    662,206        934
* PepGen Inc.    137,095        932
* XBiotech Inc.    231,371        925
* Adverum Biotechnologies Inc.  1,225,295        922
* Jasper Therapeutics Inc.  1,160,011        915
* MediciNova Inc.    607,734        912
*,1 Cutera Inc.    255,224        900
*,1 Delcath Systems Inc.    212,669        885
*,1 Cardiff Oncology Inc.    590,707        874
*,1 Ocuphire Pharma Inc.    288,947        870
* Eyenovia Inc.    417,777        869
*,1 Bioxcel Therapeutics Inc.    293,322        865
* Spero Therapeutics Inc.    587,342        863
* Enzo Biochem Inc.    618,881        860
* Oncology Institute Inc.    416,922        851
* Prelude Therapeutics Inc.    198,015        846
*,1 Spyre Therapeutics Inc.     38,818        835
* Cidara Therapeutics Inc.  1,047,746        832
* Omega Therapeutics Inc.    275,181        828
* Clearside Biomedical Inc.    707,220        827
*,1 ProPhase Labs Inc.    181,391        820
* Adicet Bio Inc.    433,904        820
* Aclaris Therapeutics Inc.    777,632        817
* Eagle Pharmaceuticals Inc.    150,918        789
*,1 ProKidney Corp. Class A    442,096        787
*,1 Immunic Inc.    519,880        780
*,1 Tempest Therapeutics Inc.    174,007        766
* Corvus Pharmaceuticals Inc.    428,240        754
* Graphite Bio Inc.    287,441        753
*,1 Sagimet Biosciences Inc. Class A    138,115        749
*,1 Hyperfine Inc. Class A    665,890        746
*,1 Immix Biopharma Inc.    107,419        743
*,1 Beyond Air Inc.    374,314        734
* Avrobio Inc.    537,481        731
* Kezar Life Sciences Inc.    764,730        725
* Solid Biosciences Inc.    116,243        714
* Biodesix Inc.    384,059        707
* DiaMedica Therapeutics Inc.    247,802        704
* Kronos Bio Inc.    559,541        699
* Great Elm Group Inc.    358,816        696
*,1 DermTech Inc.    397,288        695
*,1 Pyxis Oncology Inc.    385,415        694
*,1 Outlook Therapeutics Inc.  1,758,399        693
*,1 Atara Biotherapeutics Inc.  1,340,523        687
*,1 Leap Therapeutics Inc.    162,591        674
* Kewaunee Scientific Corp.     23,122        672
* Forian Inc.    229,226        670
* GeneDx Holdings Corp. Class A    241,389        664
* Trevi Therapeutics Inc.    493,328        661
*,1 CytoSorbents Corp.    568,233        631
 
21

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Matinas BioPharma Holdings Inc.  2,919,345        631
* Journey Medical Corp.    109,083        628
* Ikena Oncology Inc.    318,152        627
* Kinnate Biopharma Inc.    264,345        626
*,1 Carmell Corp.    167,084        620
*,1 DarioHealth Corp.    354,974        611
* Assembly Biosciences Inc.    729,852        599
*,1 Greenwich Lifesciences Inc.     56,481        594
* Rallybio Corp.    248,743        594
* Co-Diagnostics Inc.    444,776        592
* Rockwell Medical Inc.    312,336        590
* Allovir Inc.    858,612        584
*,1 Cardio Diagnostics Holdings Inc.    232,139        578
* Vigil Neuroscience Inc.    170,238        575
* iCAD Inc.    319,228        565
* Hookipa Pharma Inc.    692,759        561
*,1 Acurx Pharmaceuticals Inc.    145,537        557
*,1 Checkpoint Therapeutics Inc.    242,152        555
* Acrivon Therapeutics Inc.    110,293        543
* enVVeno Medical Corp.    104,973        540
* Spruce Biosciences Inc.    183,832        539
* Cyteir Therapeutics Inc.    169,688        516
* CareMax Inc.  1,028,756        513
* NanoString Technologies Inc.    679,551        509
* Rezolute Inc.    512,314        508
*,1 Nutex Health Inc.  2,816,650        507
* P3 Health Partners Inc.    355,045        501
* Aadi Bioscience Inc.    247,520        500
* Sensus Healthcare Inc.    207,423        490
* NGM Biopharmaceuticals Inc.    560,237        481
* Cara Therapeutics Inc.    645,753        480
*,1 Marker Therapeutics Inc.     87,137        479
* Vaxxinity Inc. Class A    562,125        478
* Nuvectis Pharma Inc.     57,030        476
*,1 Palatin Technologies Inc.    118,739        473
*,1 Sonida Senior Living Inc.     48,661        470
* LENSAR Inc.    133,235        468
* Neurogene Inc.     23,979        465
* IRIDEX Corp.    164,113        461
1 MEI Pharma Inc.     79,554        461
* Minerva Neurosciences Inc.     74,257        457
* Ekso Bionics Holdings Inc.    179,455        449
* Reneo Pharmaceuticals Inc.    278,541        446
* Milestone Scientific Inc.    644,533        445
* Passage Bio Inc.    440,574        445
*,1 VolitionRX Ltd.    615,921        442
* Lantern Pharma Inc.     99,265        425
* HeartBeam Inc.    171,331        403
* Eledon Pharmaceuticals Inc.    222,157        400
*,1 Coya Therapeutics Inc.     53,056        393
*,1 SELLAS Life Sciences Group Inc.    368,775        391
* Moleculin Biotech Inc.    454,705        390
* Pro-Dex Inc.     22,090        384
*,1 Rani Therapeutics Holdings Inc. Class A    113,686        377
* UNITY Biotechnology Inc.    194,785        376
* Corbus Pharmaceuticals Holdings Inc.     62,059        375
* Dianthus Therapeutics Inc.     36,059        375
* Champions Oncology Inc.     69,171        374
*,1 IN8bio Inc.    266,560        368
* Vicarious Surgical Inc. Class A    969,320        355
* Cognition Therapeutics Inc.    191,136        354
*,1 Owlet Inc.     65,981        348
* ImmuCell Corp.     66,638        337
* Precision BioSciences Inc.    913,583        333
* Oncternal Therapeutics Inc.    621,232        333
* Celularity Inc. Class A  1,338,454        331
* PAVmed Inc.     79,689        328
          Shares Market
Value

($000)
*,1 BioSig Technologies Inc.    687,882        327
* Homology Medicines Inc.    535,943        326
*,1 NeuroOne Medical Technologies Corp.    205,179        324
*,1 Bright Green Corp.    968,476        320
* Eliem Therapeutics Inc.    119,083        319
* ElectroCore Inc.     54,676        317
*,1 Aspira Women's Health Inc.     77,703        317
* Societal CDMO Inc.    890,262        312
* Cellectar Biosciences Inc.    110,399        306
* Instil Bio Inc.     40,207        306
*,1 Quince Therapeutics Inc.    287,348        302
* Rain Oncology Inc.    250,603        301
*,1 Accelerate Diagnostics Inc.     76,553        300
* Singular Genomics Systems Inc.    649,099        299
* Armata Pharmaceuticals Inc.     90,978        295
* Dare Bioscience Inc.    946,086        292
* Exagen Inc.    141,951        282
*,1 Fortress Biotech Inc.     93,521        282
*,1 T2 Biosystems Inc.     44,433        279
* Alpha Teknova Inc.     74,094        276
* TherapeuticsMD Inc.    122,234        275
* Retractable Technologies Inc.    246,784        274
* AIM ImmunoTech Inc.    620,229        273
* Streamline Health Solutions Inc.    630,999        268
*,1 Intensity Therapeutics Inc.     30,978        265
* Protara Therapeutics Inc.    140,668        263
*,1 SAB Biotherapeutics Inc.    375,395        258
* Gain Therapeutics Inc.     78,870        258
* Dyadic International Inc.    159,188        256
*,1 Senti Biosciences Inc. Class A    386,899        255
  Psychemedics Corp.     85,868        254
* Xtant Medical Holdings Inc.    221,041        250
* ARCA biopharma Inc.    141,432        240
* Onconova Therapeutics Inc.    321,970        240
* Elicio Therapeutics Inc.     27,752        231
* NextCure Inc.    201,978        230
*,1 Predictive Oncology Inc.     69,881        230
*,1 Cyclo Therapeutics Inc.    144,172        229
*,1 Alaunos Therapeutics Inc.  3,070,777        217
*,1 Durect Corp.    363,771        215
* Candel Therapeutics Inc.    145,874        214
*,1 Biomerica Inc.    169,010        211
*,1 Oncocyte Corp.     84,999        211
*,1 NRX Pharmaceuticals Inc.    449,071        207
* Vincerx Pharma Inc.    173,353        205
* Lipocine Inc.     74,283        205
* Dominari Holdings Inc.     77,916        202
* Cue Health Inc.  1,223,161        199
*,1 Clene Inc.    665,776        197
* Vivani Medical Inc.    193,451        197
* American Shared Hospital Services     81,025        193
*,1 Cosmos Health Inc.    134,834        190
*,1 BioVie Inc. Class A    147,637        186
* Molecular Templates Inc.     49,888        185
* Bolt Biotherapeutics Inc.    164,316        184
*,1 KALA BIO Inc.     26,296        184
* Science 37 Holdings Inc.     34,509        184
* Kineta Inc.     51,504        183
*,1 Biora Therapeutics Inc.    135,901        183
* Aligos Therapeutics Inc.    274,065        182
* CareCloud Inc.    119,857        182
*,1 IGC Pharma Inc.    630,222        177
* Microbot Medical Inc.    108,034        177
*,1 Cano Health Inc.     29,930        176
* Equillium Inc.    242,412        175
*,1 Surrozen Inc.     18,127        172
* Synlogic Inc.     42,476        164
 
22

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Elevation Oncology Inc.    303,179        163
* PharmaCyte Biotech Inc.     74,919        162
* Pieris Pharmaceuticals Inc.    885,502        161
* Viracta Therapeutics Inc.    282,488        161
* Hepion Pharmaceuticals Inc.     48,908        160
* Lumos Pharma Inc.     50,828        159
*,1 NanoViricides Inc.    154,515        158
* Lisata Therapeutics Inc.     57,596        157
*,1 Regulus Therapeutics Inc.    121,722        156
*,1 Turnstone Biologics Corp.     61,126        156
*,1 NightHawk Biosciences Inc.    352,600        155
* Galecto Inc.    212,689        153
*,1 Acorda Therapeutics Inc.     10,438        152
* Orgenesis Inc.    300,650        151
* Femasys Inc.    155,261        151
* Cumberland Pharmaceuticals Inc.     84,244        147
* Genprex Inc.    598,971        138
*,1 Aprea Therapeutics Inc.     28,562        134
* CervoMed Inc.     19,318        134
*,1 Novo Integrated Sciences Inc.    163,777        134
*,1 Elutia Inc.     61,591        133
* Vivos Therapeutics Inc.     10,579        132
* Strata Skin Sciences Inc.    235,454        130
* RenovoRx Inc.     56,578        130
* Cocrystal Pharma Inc.     76,721        130
*,1 Know Labs Inc.    254,986        130
*,1 Organovo Holdings Inc. Class A    114,640        127
* BioCardia Inc.    189,240        126
*,1 Bio-Path Holdings Inc.    270,029        125
*,1 eFFECTOR Therapeutics Inc.    264,836        124
* Forte Biosciences Inc.    149,484        123
*,1 Aileron Therapeutics Inc.     40,314        123
* Eiger BioPharmaceuticals Inc.    540,723        121
*,1 Virios Therapeutics Inc.    208,883        120
* Eargo Inc.     45,480        118
*,1 Biotricity Inc.     99,728        118
*,1 SeaStar Medical Holding Corp.    261,671        116
*,1 VYNE Therapeutics Inc.     48,578        113
* Precipio Inc.     17,645        112
*,1 BrainStorm Cell Therapeutics Inc.    401,014        109
*,1 VBI Vaccines Inc.    184,436        108
*,1 Applied DNA Sciences Inc.    173,534        107
*,1 MyMD Pharmaceuticals Inc.    410,666        106
* Cryo-Cell International Inc.     18,318        105
*,1 GeoVax Labs Inc.    288,573        104
* AgeX Therapeutics Inc.    262,604        101
*,1 Nutriband Inc.     43,254        101
*,1 Unicycive Therapeutics Inc.    115,057        100
*,1 ProSomnus Inc.    102,103        100
* Mustang Bio Inc.     73,419         99
*,1 MSP Recovery Inc.     43,627         99
*,1 Helius Medical Technologies Inc. Class A     12,598         97
*,1 AquaBounty Technologies Inc.     34,020         97
* ATI Physical Therapy Inc.     15,662         96
*,1 Star Equity Holdings Inc.     93,272         95
* Talis Biomedical Corp.     12,746         95
*,1 MAIA Biotechnology Inc.     80,659         94
* MiNK Therapeutics Inc.     85,953         92
*,1 Longeveron Inc. Class A     65,090         89
* Xilio Therapeutics Inc.    160,024         88
* Tivic Health Systems Inc.     47,981         88
*,1 vTv Therapeutics Inc. Class A      7,654         88
* Rapid Micro Biosystems Inc. Class A    116,215         86
*,1 Sientra Inc.    139,870         85
*,1 Theriva Biologics Inc.    194,494         84
*,1 ENDRA Life Sciences Inc.     39,812         84
* GT Biopharma Inc.    315,126         80
          Shares Market
Value

($000)
*,1 Creative Medical Technology Holdings Inc.     17,629         80
*,1 Processa Pharmaceuticals Inc.    234,653         79
* Coeptis Therapeutics Holdings    100,759         79
* Cyclerion Therapeutics Inc.     23,490         79
* SunLink Health Systems Inc.     83,942         78
*,1 Aytu BioPharma Inc.     27,251         77
* Anebulo Pharmaceuticals Inc.     32,003         77
*,1 Seelos Therapeutics Inc.     55,373         77
*,1 Ocean Biomedical Inc.    113,209         75
* TFF Pharmaceuticals Inc.     10,750         75
*,1 CNS Pharmaceuticals Inc.     58,369         74
*,1 INVO BioScience Inc.     54,058         73
*,1 Alzamend Neuro Inc.     78,545         72
* Edesa Biotech Inc.     15,702         72
* Sensei Biotherapeutics Inc.     97,704         68
*,1 Galera Therapeutics Inc.    448,330         65
* Lucid Diagnostics Inc.     46,125         65
* Pulmatrix Inc.     35,082         65
* Precision Optics Corp. Inc.     10,488         65
* Avinger Inc.     23,802         65
*,1 PetVivo Holdings Inc.     59,855         63
* Finch Therapeutics Group Inc.     16,234         59
*,1 Bullfrog AI Holdings Inc.     18,100         59
*,1 Lexaria Bioscience Corp.     46,241         58
* Plus Therapeutics Inc.     32,541         58
* Acutus Medical Inc.    278,220         56
*,1 Hoth Therapeutics Inc.     38,804         56
* Nexgel Inc.     25,526         54
* Benitec Biopharma Inc.     16,701         54
* NeuroMetrix Inc.     15,124         54
*,1 Atreca Inc. Class A    393,228         52
* Trevena Inc.     72,355         51
*,1 Tenax Therapeutics Inc.    186,046         51
* Oragenics Inc.      8,737         49
*,1 Cingulate Inc.      6,351         49
* Indaptus Therapeutics Inc.     27,068         48
* Akili Inc. Class A    101,371         48
*,1 Eterna Therapeutics Inc.     26,099         47
*,1 Neuraxis Inc.     17,745         47
*,1 Tracon Pharmaceuticals Inc.    262,772         46
* HCW Biologics Inc.     37,451         46
*,1 Aethlon Medical Inc.     21,224         46
*,1 Petros Pharmaceuticals Inc.     31,811         45
*,1 Telesis Bio Inc.    110,770         44
*,1 AcelRx Pharmaceuticals Inc.     59,697         44
*,1 Tonix Pharmaceuticals Holding Corp.    108,143         44
*,1 Palisade Bio Inc.     68,054         40
*,1 Agile Therapeutics Inc.     20,477         40
*,1 Aravive Inc.    315,214         39
*,1 Better Therapeutics Inc.    198,154         39
*,1 Soligenix Inc.     50,865         39
* Tenon Medical Inc.     23,854         39
* Venus Concept Inc.     32,438         38
*,1 NeuroBo Pharmaceuticals Inc.      9,738         36
* BioRestorative Therapies Inc.     20,472         35
*,1 Lipella Pharmaceuticals Inc.     34,520         35
* NanoVibronix Inc.     30,194         35
*,1 Xenetic Biosciences Inc.      9,797         35
*,1 Regional Health Properties Inc.     16,970         34
*,1 Titan Pharmaceuticals Inc.     82,051         34
* Imunon Inc.     48,806         33
*,1 ABVC BioPharma Inc.     27,247         32
* Evoke Pharma Inc.     29,851         31
* Clever Leaves Holdings Inc.     15,135         31
*,1 bioAffinity Technologies Inc.     20,000         30
*,1 Windtree Therapeutics Inc.     41,640         30
*,1 Heart Test Laboratories Inc.    175,600         30
 
23

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Aditxt Inc.      4,566         30
* Nemaura Medical Inc.    126,682         29
*,1 Nuwellis Inc.     49,955         29
*,1 Jaguar Health Inc.    192,335         29
* Protagenic Therapeutics Inc.     31,996         29
*,1 Context Therapeutics Inc.     22,612         26
*,1 Sonnet BioTherapeutics Holdings Inc.     14,726         26
* Exicure Inc.     40,093         24
*,1 Enveric Biosciences Inc.     18,198         24
*,1 DMK Pharmaceuticals Corp.     33,990         24
* Silo Pharma Inc.     16,334         24
*,1 Biofrontera Inc.      8,611         24
*,1 Healthcare Triangle Inc.      8,801         24
* InVivo Therapeutics Holdings Corp.     31,238         23
*,1 OpGen Inc.     53,275         22
*,1 Virpax Pharmaceuticals Inc.     66,294         21
* ThermoGenesis Holdings Inc.     35,419         21
*,1 Innovative Eyewear Inc.     47,233         20
*,1 LogicMark Inc.     18,939         20
* Synaptogenix Inc.     68,522         19
*,1 Phio Pharmaceuticals Corp.     24,380         19
*,1 Ensysce Biosciences Inc.     18,175         19
*,1 Calidi Biotherapeutics Inc.     12,448         19
* iSpecimen Inc.     35,987         18
*,1 Aptevo Therapeutics Inc.     91,725         17
*,1 SiNtx Technologies Inc.     43,409         17
*,1 Adial Pharmaceuticals Inc.      9,359         17
* Monopar Therapeutics Inc.     45,167         15
* Modular Medical Inc.      8,077         15
*,1 Onconetix Inc.     73,513         15
*,1,2 Aceragen Inc.     39,478         15
*,1 Ampio Pharmaceuticals Inc.      7,388         15
*,1 Cyclacel Pharmaceuticals Inc.      5,796         15
* NeuBase Therapeutics Inc.     18,981         14
*,1 cbdMD Inc.     13,042         14
*,1 TRxADE HEALTH Inc.      2,643         14
*,1 Kiora Pharmaceuticals Inc.     24,566         13
*,1 Qualigen Therapeutics Inc.     22,827         13
*,1 SCWorx Corp.      6,922         13
*,1 ReShape Lifesciences Inc.     49,874         12
* Lixte Biotechnology Holdings Inc.      5,209         12
*,1 Biolase Inc.     10,911         12
*,1 Imac Holdings Inc.      5,133         11
*,1 iBio Inc.      8,287         11
*,2 Impact BioMedical Inc. (Registered)  1,738,388         11
*,1 Yield10 Bioscience Inc.     40,451         10
*,1 180 Life Sciences Corp.     47,852         10
*,1 NexImmune Inc.      4,306         10
*,1 Salarius Pharmaceuticals Inc.     14,563          9
* Dynatronics Corp.     16,074          9
* Landos Biopharma Inc.      2,399          9
*,1 Motus GI Holdings Inc.      6,884          9
*,1 Avenue Therapeutics Inc.     46,293          8
*,1 Inhibikase Therapeutics Inc.      6,416          8
* Ontrak Inc.     20,311          8
* Vaccinex Inc.     12,588          8
* CalciMedica Inc.      2,320          7
*,1 GRI Bio Inc.     18,539          7
* 60 Degrees Pharmaceuticals Inc.      7,048          7
*,1 Envoy Medical Inc.      3,372          6
* Assure Holdings Corp.     20,753          5
*,1 NKGen Biotech Inc.      1,786          5
*,1 Panbela Therapeutics Inc.      4,249          4
* Sharps Technology Inc.      9,956          4
*,1 Ainos Inc.      1,966          4
* NovaBay Pharmaceuticals Inc.     13,710          3
*,1 Revelation Biosciences Inc.      6,000          3
          Shares Market
Value

($000)
*,1 Avalo Therapeutics Inc.        300          3
*,1 First Wave BioPharma Inc.        823          3
*,1 Spectral AI Inc.      1,341          3
*,1 Kintara Therapeutics Inc.     12,455          2
* Intelligent Bio Solutions Inc.      5,798          2
*,1 PaxMedica Inc.      3,235          2
* Sonoma Pharmaceuticals Inc.      3,818          1
*,1 Bluejay Diagnostics Inc.        794          1
*,2 OmniAb Inc. 12.5 Earnout     83,004         —
*,2 OmniAb Inc. 15 Earnout     83,004         —
* Aclarion Inc.      1,800         —
*,2,3 MYOS Corp. (Acquired 8/24/2023, Cost $—)     20,700         —
*,1,2 MYOS Corp. (Registered)     48,410         —
* Senestech Inc.          1         —
*,1 ZyVersa Therapeutics Inc.        493         —
*,1 Tharimmune Inc.        427         —
* iCoreConnect Inc.         70         —
                   11,461,490
Industrials (16.9%)
  Ferguson plc  3,008,200    580,793
  Vertiv Holdings Co. Class A  5,194,717    249,502
  Booz Allen Hamilton Holding Corp. Class A  1,921,755    245,812
  Carlisle Cos. Inc.    720,251    225,028
  Graco Inc.  2,495,313    216,493
  Watsco Inc.    501,780    214,998
  Lennox International Inc.    471,643    211,070
  TransUnion  2,857,355    196,329
  Owens Corning  1,304,994    193,439
  SS&C Technologies Holdings Inc.  3,161,671    193,210
  AECOM  2,057,471    190,172
  Lincoln Electric Holdings Inc.    848,279    184,467
  RB Global Inc.  2,700,343    180,626
  CNH Industrial NV 14,349,153    174,773
* Saia Inc.    393,047    172,241
* XPO Inc.  1,715,530    150,263
  EMCOR Group Inc.    697,041    150,164
  Toro Co.  1,538,340    147,665
  Regal Rexnord Corp.    981,727    145,315
  ITT Inc.  1,215,904    145,082
  nVent Electric plc  2,454,537    145,039
  Advanced Drainage Systems Inc.  1,014,497    142,679
  Fortune Brands Innovations Inc.  1,854,514    141,203
  HEICO Corp.    773,703    138,392
  Knight-Swift Transportation Holdings Inc. Class A  2,387,156    137,620
* Trex Co. Inc.  1,607,200    133,060
  Tetra Tech Inc.    787,983    131,538
* Clean Harbors Inc.    744,998    130,010
* WillScot Mobile Mini Holdings Corp.  2,841,484    126,446
  Curtiss-Wright Corp.    565,745    126,042
  HEICO Corp. Class A    878,098    125,076
  Simpson Manufacturing Co. Inc.    631,696    125,063
* RBC Bearings Inc.    430,617    122,678
  Woodward Inc.    894,707    121,796
  Donaldson Co. Inc.  1,793,062    117,177
* Middleby Corp.    794,027    116,857
  UFP Industries Inc.    914,107    114,766
  WESCO International Inc.    650,113    113,042
  AGCO Corp.    919,990    111,696
  KBR Inc.  2,000,949    110,873
  Comfort Systems USA Inc.    529,245    108,850
* SiteOne Landscape Supply Inc.    667,428    108,457
* GXO Logistics Inc.  1,759,342    107,601
* CACI International Inc. Class A    329,627    106,753
* Paylocity Holding Corp.    641,302    105,719
* API Group Corp.  3,038,620    105,136
  Oshkosh Corp.    967,808    104,920
* FTI Consulting Inc.    526,596    104,872
 
24

 

Extended Market Index Fund
          Shares Market
Value

($000)
  BWX Technologies Inc.  1,351,574    103,706
  Landstar System Inc.    530,689    102,768
  U-Haul Holding Co. (XNYS)  1,436,757    101,205
* Fluor Corp.  2,537,371     99,389
  Applied Industrial Technologies Inc.    574,116     99,144
  Science Applications International Corp.    783,118     97,357
  Acuity Brands Inc.    458,442     93,903
  MSA Safety Inc.    546,726     92,304
  Hexcel Corp.  1,243,608     91,716
* Atkore Inc.    559,885     89,582
  Genpact Ltd.  2,467,607     85,651
  Crane Co.    724,648     85,610
* Chart Industries Inc.    621,858     84,778
* AZEK Co. Inc. Class A  2,208,073     84,459
  Watts Water Technologies Inc. Class A    405,310     84,442
  Sensata Technologies Holding plc  2,242,063     84,234
* Core & Main Inc. Class A  2,020,433     81,646
  Flowserve Corp.  1,938,787     79,917
  Mueller Industries Inc.  1,682,638     79,336
  Allison Transmission Holdings Inc.  1,325,939     77,103
  Timken Co.    961,555     77,069
* Lyft Inc. Class A  5,122,437     76,785
  Boise Cascade Co.    585,699     75,766
* ExlService Holdings Inc.  2,446,900     75,487
  Maximus Inc.    899,146     75,402
  Ryder System Inc.    655,056     75,371
* Beacon Roofing Supply Inc.    860,222     74,857
* Alaska Air Group Inc.  1,900,933     74,269
  AAON Inc.    999,729     73,850
  Esab Corp.    841,365     72,879
  Valmont Industries Inc.    309,296     72,224
* Casella Waste Systems Inc. Class A    843,395     72,077
  MSC Industrial Direct Co. Inc. Class A    686,263     69,491
  Concentrix Corp.    706,315     69,367
  Federal Signal Corp.    899,046     68,993
  FTAI Aviation Ltd.  1,481,949     68,762
* Kirby Corp.    872,963     68,510
* SPX Technologies Inc.    672,804     67,960
* Stericycle Inc.  1,367,670     67,782
* MasTec Inc.    892,540     67,583
* ASGN Inc.    696,985     67,029
  Exponent Inc.    749,498     65,986
  Armstrong World Industries Inc.    652,061     64,111
  Air Lease Corp. Class A  1,527,735     64,073
* Sunrun Inc.  3,223,210     63,272
  GATX Corp.    523,486     62,933
  Herc Holdings Inc.    417,940     62,227
  Zurn Elkay Water Solutions Corp.  2,101,143     61,795
  Moog Inc. Class A    423,288     61,284
  Insperity Inc.    521,856     61,172
  EnerSys    600,821     60,659
  MDU Resources Group Inc.  3,004,569     59,490
  Arcosa Inc.    719,717     59,477
*,1 Clarivate plc  6,387,831     59,151
  Brink's Co.    665,051     58,491
  ManpowerGroup Inc.    720,348     57,246
  Terex Corp.    994,599     57,150
  Franklin Electric Co. Inc.    588,664     56,894
  Matson Inc.    514,964     56,440
* Verra Mobility Corp. Class A  2,449,392     56,409
* TriNet Group Inc.    462,403     54,994
* Spirit AeroSystems Holdings Inc. Class A  1,702,136     54,094
  Encore Wire Corp.    235,366     50,274
* Dycom Industries Inc.    433,509     49,893
  Hillenbrand Inc.  1,030,156     49,293
* GMS Inc.    597,692     49,268
* AeroVironment Inc.    387,809     48,879
          Shares Market
Value

($000)
1 Avis Budget Group Inc.    274,172     48,600
  Kadant Inc.    172,546     48,366
  Enpro Inc.    307,869     48,255
  CSW Industrials Inc.    229,356     47,571
* Alight Inc. Class A  5,490,704     46,836
  John Bean Technologies Corp.    469,240     46,666
  Korn Ferry    777,379     46,137
*,1 Bloom Energy Corp. Class A  3,109,748     46,024
* CBIZ Inc.    730,196     45,703
  Albany International Corp. Class A    459,712     45,153
  ESCO Technologies Inc.    379,625     44,428
  McGrath RentCorp    363,090     43,433
  ABM Industries Inc.    967,169     43,358
  Rush Enterprises Inc. Class A    852,857     42,899
  ArcBest Corp.    353,924     42,545
* Hub Group Inc. Class A    460,114     42,303
  Vestis Corp.  1,944,013     41,096
* Resideo Technologies Inc.  2,168,384     40,809
  Dun & Bradstreet Holdings Inc.  3,476,214     40,672
  UniFirst Corp.    221,716     40,554
* RXO Inc.  1,724,556     40,113
* Sterling Infrastructure Inc.    454,822     39,992
  Werner Enterprises Inc.    933,919     39,570
* Shoals Technologies Group Inc. Class A  2,513,982     39,067
  Brady Corp. Class A    657,815     38,607
* Kratos Defense & Security Solutions Inc.  1,893,636     38,422
  Griffon Corp.    612,822     37,351
* Parsons Corp.    592,781     37,173
*,1 Plug Power Inc.  8,075,861     36,341
*,1 Joby Aviation Inc.  5,453,440     36,265
* MYR Group Inc.    246,064     35,588
* Array Technologies Inc.  2,102,305     35,319
* Gibraltar Industries Inc.    446,533     35,267
  ICF International Inc.    254,066     34,068
* PGT Innovations Inc.    837,029     34,067
* NEXTracker Inc. Class A    725,239     33,977
  Granite Construction Inc.    655,927     33,360
  Mueller Water Products Inc. Class A  2,304,083     33,179
* AAR Corp.    520,648     32,488
  Alamo Group Inc.    153,618     32,289
  Trinity Industries Inc.  1,208,034     32,122
* SkyWest Inc.    609,777     31,830
* ACV Auctions Inc. Class A  2,001,569     30,324
  Kennametal Inc.  1,173,695     30,270
* Gates Industrial Corp. plc  2,186,614     29,344
  MillerKnoll Inc.  1,077,787     28,755
  HNI Corp.    685,290     28,666
* Huron Consulting Group Inc.    278,187     28,598
* Construction Partners Inc. Class A    654,671     28,491
* Masterbrand Inc.  1,891,329     28,086
* Mercury Systems Inc.    767,524     28,068
* Masonite International Corp.    327,207     27,701
  Standex International Corp.    174,121     27,577
* Upwork Inc.  1,845,194     27,438
* JetBlue Airways Corp.  4,923,463     27,325
* Hillman Solutions Corp.  2,899,283     26,702
1 Spirit Airlines Inc.  1,605,937     26,321
*,1 Enovix Corp.  2,096,915     26,253
  Primoris Services Corp.    786,411     26,117
* Hayward Holdings Inc.  1,865,699     25,374
  Tennant Co.    273,605     25,360
  Enerpac Tool Group Corp. Class A    811,971     25,244
  H&E Equipment Services Inc.    477,007     24,957
* CoreCivic Inc.  1,689,482     24,548
  Barnes Group Inc.    748,859     24,435
* JELD-WEN Holding Inc.  1,263,015     23,846
  Forward Air Corp.    378,935     23,824
 
25

 

Extended Market Index Fund
          Shares Market
Value

($000)
* OPENLANE Inc.  1,600,005     23,696
* American Woodmark Corp.    241,253     22,400
  CSG Systems International Inc.    418,917     22,291
  Helios Technologies Inc.    487,054     22,088
*,1 Xometry Inc. Class A    611,929     21,974
* Rocket Lab USA Inc.  3,876,577     21,437
  AZZ Inc.    368,810     21,424
* Leonardo DRS Inc.  1,045,286     20,948
* Cimpress plc    261,517     20,934
  Lindsay Corp.    162,065     20,932
* NV5 Global Inc.    186,445     20,718
* Paycor HCM Inc.    958,320     20,690
  Greenbrier Cos. Inc.    466,344     20,603
*,1 Fluence Energy Inc.    854,078     20,370
* GEO Group Inc.  1,863,265     20,179
* Hertz Global Holdings Inc.  1,934,112     20,095
* Legalzoom.com Inc.  1,775,642     20,065
* Triumph Group Inc.  1,155,858     19,164
  Kforce Inc.    276,827     18,702
  Steelcase Inc. Class A  1,375,129     18,592
  Allegiant Travel Co.    221,749     18,319
* Janus International Group Inc.  1,386,212     18,090
  Marten Transport Ltd.    861,519     18,075
  Wabash National Corp.    704,169     18,041
  Apogee Enterprises Inc.    331,813     17,722
* NOW Inc.  1,563,100     17,694
*,1 Archer Aviation Inc. Class A  2,817,374     17,299
  Columbus McKinnon Corp.    437,798     17,083
* Thermon Group Holdings Inc.    511,007     16,643
  Matthews International Corp. Class A    452,893     16,599
* Energy Recovery Inc.    837,202     15,773
* Transcat Inc.    141,109     15,427
* Ameresco Inc. Class A    476,361     15,086
* Proto Labs Inc.    384,949     14,998
* SP Plus Corp.    291,696     14,949
* Vicor Corp.    331,923     14,917
  Quanex Building Products Corp.    483,289     14,774
* BlueLinx Holdings Inc.    127,327     14,427
  Deluxe Corp.    666,918     14,305
  Schneider National Inc. Class B    552,325     14,057
1 Tecnoglass Inc.    305,934     13,984
* MRC Global Inc.  1,266,392     13,943
* Driven Brands Holdings Inc.    949,070     13,534
* Montrose Environmental Group Inc.    410,059     13,175
* Air Transport Services Group Inc.    740,785     13,045
  Astec Industries Inc.    349,983     13,019
  Gorman-Rupp Co.    365,969     13,003
*,1 Virgin Galactic Holdings Inc.  5,236,899     12,830
  VSE Corp.    196,541     12,699
* 3D Systems Corp.  1,980,054     12,573
*,1 Symbotic Inc. Class A    238,547     12,245
  First Advantage Corp.    737,270     12,217
* U-Haul Holding Co.    170,105     12,214
*,1 Nikola Corp. 13,898,285     12,158
  Barrett Business Services Inc.    102,424     11,861
  Powell Industries Inc.    133,243     11,779
  Insteel Industries Inc.    303,239     11,611
* Healthcare Services Group Inc.  1,118,551     11,599
* Viad Corp.    319,621     11,570
* Hawaiian Holdings Inc.    812,051     11,531
* Titan International Inc.    772,873     11,500
  Interface Inc. Class A    887,011     11,194
* Enviri Corp.  1,215,310     10,938
* Ducommun Inc.    207,222     10,788
  Pitney Bowes Inc.  2,414,674     10,625
  CRA International Inc.    107,247     10,601
*,1 FuelCell Energy Inc.  6,550,792     10,481
          Shares Market
Value

($000)
*,1 ChargePoint Holdings Inc.  4,433,911     10,375
  Rush Enterprises Inc. Class B    193,783     10,267
  Kelly Services Inc. Class A    467,298     10,103
  Genco Shipping & Trading Ltd.    608,605     10,097
  Hyster-Yale Materials Handling Inc.    160,963     10,010
  Douglas Dynamics Inc.    334,025      9,914
  Heartland Express Inc.    668,206      9,529
* Conduent Inc.  2,581,577      9,423
  Kaman Corp.    393,210      9,417
* IES Holdings Inc.    117,230      9,287
* Sun Country Airlines Holdings Inc.    585,941      9,217
* CECO Environmental Corp.    448,133      9,088
* Titan Machinery Inc.    314,400      9,080
* Manitowoc Co. Inc.    536,355      8,952
  Heidrick & Struggles International Inc.    301,052      8,890
  Ennis Inc.    399,848      8,761
  Cadre Holdings Inc.    259,420      8,532
  Argan Inc.    181,788      8,506
*,1 Stem Inc.  2,175,737      8,442
  ACCO Brands Corp.  1,375,638      8,364
* Hudson Technologies Inc.    618,740      8,347
* V2X Inc.    168,049      7,804
* TrueBlue Inc.    503,564      7,725
* Great Lakes Dredge & Dock Corp.    996,188      7,651
  Miller Industries Inc.    179,776      7,603
  REV Group Inc.    414,450      7,531
  Global Industrial Co.    192,097      7,461
* Astronics Corp.    423,465      7,377
* Planet Labs PBC  2,936,762      7,254
* Franklin Covey Co.    162,924      7,092
* Blue Bird Corp.    260,633      7,027
  Resources Connection Inc.    490,041      6,944
  Allient Inc.    219,589      6,634
* Limbach Holdings Inc.    145,808      6,630
  National Presto Industries Inc.     80,342      6,450
* Sterling Check Corp.    461,430      6,423
  FTAI Infrastructure Inc.  1,626,774      6,328
  Preformed Line Products Co.     46,680      6,249
  GrafTech International Ltd.  2,849,673      6,241
  TTEC Holdings Inc.    287,802      6,237
*,1 SunPower Corp.  1,290,750      6,234
* DXP Enterprises Inc.    178,703      6,022
* Tutor Perini Corp.    661,759      6,022
*,1 LanzaTech Global Inc.  1,197,180      6,022
  Covenant Logistics Group Inc. Class A    130,074      5,989
  Shyft Group Inc.    489,952      5,987
1 Eagle Bulk Shipping Inc.    107,564      5,959
* Liquidity Services Inc.    322,659      5,553
* AerSale Corp.    437,086      5,549
  LSI Industries Inc.    393,761      5,544
* Bowman Consulting Group Ltd. Class A    154,695      5,495
* Daseke Inc.    665,161      5,388
* Distribution Solutions Group Inc.    164,414      5,189
* Forrester Research Inc.    191,485      5,134
* Custom Truck One Source Inc.    794,868      4,912
* BrightView Holdings Inc.    582,703      4,906
* American Superconductor Corp.    431,433      4,806
*,1 Microvast Holdings Inc.  3,395,294      4,753
  Alta Equipment Group Inc.    371,262      4,593
* Northwest Pipe Co.    149,141      4,513
  Pangaea Logistics Solutions Ltd.    512,373      4,222
  Park Aerospace Corp.    285,826      4,202
*,1 SES AI Corp.  2,199,001      4,024
  Luxfer Holdings plc    422,626      3,778
* Matrix Service Co.    385,093      3,766
* Willdan Group Inc.    171,977      3,698
*,1 Net Power Inc.    364,602      3,682
 
26

 

Extended Market Index Fund
          Shares Market
Value

($000)
  Aris Water Solutions Inc. Class A    408,070      3,424
  Park-Ohio Holdings Corp.    124,171      3,348
* Radiant Logistics Inc.    498,130      3,308
* TaskUS Inc. Class A    248,114      3,243
*,1 Frontier Group Holdings Inc.    578,476      3,158
* L B Foster Co. Class A    140,614      3,092
  Omega Flex Inc.     42,700      3,011
* Commercial Vehicle Group Inc.    429,381      3,010
*,1 Innodata Inc.    364,024      2,963
*,1 Blink Charging Co.    846,731      2,870
  Universal Logistics Holdings Inc.    101,183      2,835
* Performant Financial Corp.    894,514      2,795
* Graham Corp.    146,346      2,776
* Asure Software Inc.    290,815      2,769
* Concrete Pumping Holdings Inc.    336,641      2,760
*,1 Desktop Metal Inc. Class A  3,567,986      2,680
*,1 Eve Holding Inc.    365,203      2,673
* Blade Air Mobility Inc.    755,482      2,667
* RCM Technologies Inc.     91,076      2,645
*,1 TPI Composites Inc.    620,777      2,570
*,1 Energy Vault Holdings Inc.  1,087,385      2,534
* Quad/Graphics Inc.    463,634      2,513
* DLH Holdings Corp.    159,513      2,512
* NN Inc.    613,095      2,452
*,1 NuScale Power Corp. Class A    712,185      2,343
  Twin Disc Inc.    144,684      2,338
*,1 Eos Energy Enterprises Inc.  2,118,481      2,309
* Gencor Industries Inc.    141,254      2,280
* Orion Group Holdings Inc.    457,435      2,260
* Innovative Solutions & Support Inc.    254,450      2,170
* HireRight Holdings Corp.    158,554      2,133
* Mayville Engineering Co. Inc.    144,533      2,084
  Eastern Co.     88,712      1,952
  Karat Packaging Inc.     78,371      1,948
* PAM Transportation Services Inc.     93,486      1,943
* Mistras Group Inc.    258,353      1,891
  Virco Manufacturing Corp.    150,864      1,815
  Acme United Corp.     42,089      1,804
  EVI Industries Inc.     75,711      1,797
  ARC Document Solutions Inc.    533,343      1,749
* Spire Global Inc.    223,318      1,746
* Manitex International Inc.    199,531      1,744
*,1 Falcon's Beyond Global Inc. Class A    139,961      1,722
* TuSimple Holdings Inc. Class A  1,939,428      1,702
  Hurco Cos. Inc.     76,118      1,639
* Willis Lease Finance Corp.     33,042      1,615
*,1 Terran Orbital Corp.  1,396,113      1,592
*,1 BlackSky Technology Inc. Class A  1,114,386      1,560
* Byrna Technologies Inc.    242,576      1,550
* Quest Resource Holding Corp.    205,544      1,507
*,1 Sky Harbour Group Corp.    153,988      1,488
* Hyliion Holdings Corp.  1,800,424      1,465
* Perma-Fix Environmental Services Inc.    184,484      1,450
* VirTra Inc.    147,434      1,396
  BGSF Inc.    146,036      1,373
*,1 Amprius Technologies Inc.    255,988      1,354
*,1 Beam Global    178,909      1,268
* Markforged Holding Corp.  1,487,790      1,220
* Babcock & Wilcox Enterprises Inc.    813,414      1,188
*,1 FiscalNote Holdings Inc.  1,039,674      1,185
*,1 Odyssey Marine Exploration Inc. Class B    247,693      1,152
*,1 374Water Inc.    807,554      1,147
*,1 Bridger Aerospace Group Holdings Inc.    165,432      1,143
*,1 Hyzon Motors Inc.  1,219,651      1,092
*,1 Surf Air Mobility Inc.    677,622      1,050
*,1 ESS Tech Inc.    914,456      1,042
* Alpha Pro Tech Ltd.    194,654      1,030
          Shares Market
Value

($000)
* LS Starrett Co. Class A     84,819      1,026
* SKYX Platforms Corp.    640,728      1,025
* Ultralife Corp.    148,995      1,016
* Skillsoft Corp.     57,505      1,011
  HireQuest Inc.     62,700        962
*,1 Wheels Up Experience Inc.    271,599        932
*,1 Redwire Corp.    287,325        819
* GEE Group Inc.  1,612,349        806
* Taylor Devices Inc.     36,372        804
* Aqua Metals Inc.  1,038,386        789
* INNOVATE Corp.    624,309        768
* Broadwind Inc.    275,644        764
* Perma-Pipe International Holdings Inc.     97,154        757
  NL Industries Inc.    134,129        752
* Servotronics Inc.     59,661        746
*,1 Southland Holdings Inc.    141,533        730
* Flux Power Holdings Inc.    160,450        659
* TechPrecision Corp.    125,690        647
* StarTek Inc.    144,925        639
* Ideal Power Inc.     78,007        605
*,1 NeoVolta Inc.    376,441        602
*,1 Complete Solaria Inc.    354,350        569
* FTC Solar Inc.    818,583        567
* Mastech Digital Inc.     64,164        541
* ClearSign Technologies Corp.    478,114        531
* Hydrofarm Holdings Group Inc.    577,654        530
* Pioneer Power Solutions Inc.     74,764        508
* FreightCar America Inc.    184,666        499
* Mesa Air Group Inc.    474,206        479
* Hudson Global Inc.     30,771        479
*,1 Velo3D Inc.  1,137,907        452
*,1 Intuitive Machines Inc.    164,968        421
* CPI Aerostructures Inc.    152,271        416
*,1 Astra Space Inc. Class A    179,586        409
* Orion Energy Systems Inc.    453,956        393
*,1 Tigo Energy Inc.    176,330        369
* Fuel Tech Inc.    347,857        365
*,1 Knightscope Inc. Class A    601,903        361
*,1 Exela Technologies Inc.    105,337        354
* Team Inc.     52,557        347
* Westwater Resources Inc.    592,292        335
* Air T Inc.     19,387        320
  Espey Manufacturing & Electronics Corp.     16,768        314
* Where Food Comes From Inc.     21,320        290
* Jewett-Cameron Trading Co. Ltd.     53,321        285
* SIFCO Industries Inc.     59,551        270
* Steel Connect Inc.     26,479        252
*,1 Ocean Power Technologies Inc.    753,871        238
* Mega Matrix Corp.    150,882        213
  Chicago Rivet & Machine Co.     12,203        207
*,1 Expion360 Inc.     39,179        206
*,1 Xos Inc.     24,861        194
*,1 View Inc.     49,458        180
*,1 Ideanomics Inc.     89,726        179
*,1 Air Industries Group     53,709        175
*,1 KULR Technology Group Inc.    922,983        171
  CompX International Inc.      6,705        169
* Urban-Gro Inc.    111,102        156
* Professional Diversity Network Inc.     75,021        152
*,1 Sarcos Technology & Robotics Corp.    199,748        144
*,1 Energous Corp.     68,443        125
*,1 Bitcoin Depot Inc.     38,004        123
* AgEagle Aerial Systems Inc.  1,154,532        121
*,1 Advent Technologies Holdings Inc.    506,225        113
*,1 Getaround Inc.    470,350        111
*,1 Sunworks Inc.    468,374        110
*,1 LiqTech International Inc.     31,265        106
 
27

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Wilhelmina International Inc.     23,052         93
*,1 Safe & Green Holdings Corp.    195,578         92
*,1 Optex Systems Holdings Inc.     13,331         88
*,1 Nauticus Robotics Inc.    125,161         85
*,1 Dragonfly Energy Holdings Corp.    124,806         68
* TOMI Environmental Solutions Inc.     66,377         67
*,1 Jet.AI Inc.     42,979         62
*,1 Sidus Space Inc. Class A      6,332         56
* DSS Inc.    434,597         52
* Shapeways Holdings Inc.     21,179         52
*,1 JanOne Inc.     73,304         41
* FGI Industries Ltd.     24,551         40
* Laser Photonics Corp.     32,357         38
* Avalon Holdings Corp. Class A     15,500         37
*,1 Momentus Inc.     19,933         34
*,1 Polar Power Inc.     80,105         33
*,1 iSun Inc.     97,573         31
* Pineapple Energy Inc.     52,951         31
* Nuvve Holding Corp.    177,956         22
* Mobile Infrastructure Corp. Class A      5,406         22
* Art's-Way Manufacturing Co. Inc.     10,164         21
* iPower Inc.     46,964         21
*,1 Applied UV Inc.      9,195         21
*,1 Nuburu Inc.    134,105         20
*,1 Nxu Inc. Class A      8,128         19
*,1 Energy Focus Inc.     11,850         18
* CEA Industries Inc.     30,150         16
*,1 Fathom Digital Manufacturing C      3,456         15
*,1 Greenwave Technology Solutions Inc.     22,716         13
* Gaucho Group Holdings Inc.     22,058         13
* Staffing 360 Solutions Inc.     30,990         12
*,1 Agrify Corp.      9,557         11
*,1 Royalty Management Holding Corp.      5,608         10
*,1 Ault Alliance Inc.     16,916          2
* Electriq Power Holdings Inc.      5,708          2
*,1 ShiftPixy Inc.        280          2
*,1,2 FTE Networks Inc.     82,837         —
                   16,419,321
Information Technology (18.8%)
* Snowflake Inc. Class A  4,724,340    940,144
* Crowdstrike Holdings Inc. Class A  3,345,466    854,164
* Workday Inc. Class A  3,058,563    844,347
  Marvell Technology Inc. 12,745,623    768,689
* Atlassian Corp. Class A  2,293,046    545,424
* Datadog Inc. Class A  4,468,669    542,407
* Palantir Technologies Inc. Class A 28,502,001    489,379
* HubSpot Inc.    744,643    432,295
* MongoDB Inc. Class A  1,054,666    431,200
* Cloudflare Inc. Class A  4,376,742    364,408
* Splunk Inc.  2,281,728    347,621
* Zscaler Inc.  1,306,588    289,488
  Dell Technologies Inc. Class C  3,723,323    284,834
* Zoom Video Communications Inc. Class A  3,760,385    270,409
  Entegris Inc.  2,203,335    264,004
* GoDaddy Inc. Class A  2,074,895    220,271
* Okta Inc. Class A  2,321,961    210,207
* Twilio Inc. Class A  2,682,496    203,521
* Super Micro Computer Inc.    683,773    194,369
* Manhattan Associates Inc.    899,758    193,736
* Dynatrace Inc.  3,505,467    191,714
* DocuSign Inc. Class A  3,002,110    178,475
  Bentley Systems Inc. Class B  3,392,456    177,018
* Nutanix Inc. Class A  3,608,029    172,067
* Pure Storage Inc. Class A  4,314,482    153,854
* UiPath Inc. Class A  6,020,552    149,550
* Unity Software Inc.  3,533,027    144,465
* Lattice Semiconductor Corp.  2,036,787    140,518
          Shares Market
Value

($000)
* Elastic NV  1,197,380    134,945
* Guidewire Software Inc.  1,212,614    132,223
  Universal Display Corp.    637,191    121,869
*,1 MicroStrategy Inc. Class A    185,611    117,236
* Dropbox Inc. Class A  3,764,440    110,976
* BILL Holdings Inc.  1,351,717    110,287
* Onto Innovation Inc.    719,979    110,085
* Rambus Inc.  1,573,224    107,373
  Cognex Corp.  2,545,916    106,267
* Qualys Inc.    537,429    105,487
* SPS Commerce Inc.    542,414    105,142
* Fabrinet    537,943    102,387
  Littelfuse Inc.    369,099     98,756
* SentinelOne Inc. Class A  3,582,203     98,296
* Ciena Corp.  2,181,690     98,198
* Arrow Electronics Inc.    798,597     97,628
* Smartsheet Inc. Class A  2,000,921     95,684
  MKS Instruments Inc.    929,210     95,588
* Aspen Technology Inc.    415,061     91,376
* Procore Technologies Inc.  1,317,659     91,208
* Novanta Inc.    530,020     89,261
* Coherent Corp.  1,950,442     84,903
* Five9 Inc.  1,076,767     84,731
* Wolfspeed Inc.  1,856,516     80,777
* Samsara Inc. Class A  2,419,391     80,759
  TD SYNNEX Corp.    750,327     80,743
* Gitlab Inc. Class A  1,281,444     80,680
* Tenable Holdings Inc.  1,741,808     80,228
* SolarEdge Technologies Inc.    845,411     79,130
  Vontier Corp.  2,278,809     78,733
*,1 Marathon Digital Holdings Inc.  3,294,348     77,384
* AppLovin Corp. Class A  1,920,196     76,520
* Confluent Inc. Class A  3,254,521     76,156
* DoubleVerify Holdings Inc.  2,062,284     75,851
  Dolby Laboratories Inc. Class A    874,349     75,351
* MACOM Technology Solutions Holdings Inc.    791,442     73,565
* Varonis Systems Inc. Class B  1,608,955     72,853
* Insight Enterprises Inc.    407,142     72,141
* Workiva Inc. Class A    704,997     71,578
* Kyndryl Holdings Inc.  3,393,677     70,521
* Altair Engineering Inc. Class A    812,881     68,404
  Power Integrations Inc.    824,499     67,700
  Avnet Inc.  1,338,756     67,473
  Badger Meter Inc.    434,075     67,008
* DXC Technology Co.  2,865,324     65,530
* Synaptics Inc.    574,387     65,526
* Cirrus Logic Inc.    781,204     64,988
* Teradata Corp.  1,438,741     62,600
* Axcelis Technologies Inc.    479,772     62,222
* Silicon Laboratories Inc.    465,884     61,622
  Advanced Energy Industries Inc.    551,701     60,091
* Freshworks Inc. Class A  2,515,504     59,089
* Blackbaud Inc.    632,940     54,876
* Box Inc. Class A  2,133,097     54,629
* Diodes Inc.    664,517     53,507
* Appfolio Inc. Class A    301,580     52,246
* Lumentum Holdings Inc.    989,265     51,857
* Rapid7 Inc.    907,279     51,806
* Aurora Innovation Inc. Class A 11,775,650     51,460
* CommVault Systems Inc.    643,067     51,349
* Itron Inc.    669,910     50,585
  Amkor Technology Inc.  1,497,687     49,828
* ACI Worldwide Inc.  1,606,323     49,153
* IPG Photonics Corp.    441,708     47,943
  Belden Inc.    619,069     47,823
* Alarm.com Holdings Inc.    737,106     47,632
* FormFactor Inc.  1,141,897     47,629
 
28

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Riot Platforms Inc.  3,063,105     47,386
* BlackLine Inc.    749,951     46,827
* Alteryx Inc. Class A    944,769     44,555
  Vishay Intertechnology Inc.  1,856,884     44,509
  Kulicke & Soffa Industries Inc.    810,361     44,343
* Sprout Social Inc. Class A    719,633     44,214
* Plexus Corp.    404,461     43,734
* Sanmina Corp.    843,071     43,309
* CCC Intelligent Solutions Holdings Inc.  3,691,119     42,042
* RingCentral Inc. Class A  1,234,634     41,916
  InterDigital Inc.    373,786     40,571
  Crane NXT Co.    710,949     40,432
*,1 C3.ai Inc. Class A  1,386,827     39,816
* Braze Inc. Class A    746,698     39,672
* HashiCorp Inc. Class A  1,636,790     38,694
* Calix Inc.    864,906     37,788
* Clearwater Analytics Holdings Inc. Class A  1,876,990     37,596
* Q2 Holdings Inc.    863,336     37,477
* LiveRamp Holdings Inc.    967,698     36,656
* Envestnet Inc.    733,882     36,342
* Credo Technology Group Holding Ltd.  1,856,305     36,142
  Progress Software Corp.    641,603     34,839
* Ambarella Inc.    560,565     34,357
* Perficient Inc.    513,115     33,773
* Extreme Networks Inc.  1,908,470     33,665
* NCR Voyix Corp.  1,980,838     33,496
* Viavi Solutions Inc.  3,313,600     33,368
* Rogers Corp.    246,126     32,506
* PagerDuty Inc.  1,372,248     31,768
* Fastly Inc. Class A  1,772,000     31,542
* SiTime Corp.    258,192     31,520
* ePlus Inc.    394,556     31,501
*,1 IonQ Inc.  2,535,221     31,411
* Allegro MicroSystems Inc.  1,036,171     31,365
* OSI Systems Inc.    239,075     30,853
* Viasat Inc.  1,103,080     30,831
  Pegasystems Inc.    628,252     30,696
  Xerox Holdings Corp.  1,659,090     30,411
* nCino Inc.    900,031     30,268
* Impinj Inc.    334,871     30,148
* Photronics Inc.    914,197     28,678
* Mirion Technologies Inc. Class A  2,692,403     27,597
* DigitalOcean Holdings Inc.    744,208     27,305
* MaxLinear Inc. Class A  1,090,954     25,932
  Clear Secure Inc. Class A  1,245,888     25,728
* Verint Systems Inc.    948,401     25,635
* Veeco Instruments Inc.    820,967     25,475
* Agilysys Inc.    298,926     25,355
* Cleanspark Inc.  2,264,759     24,980
* Squarespace Inc. Class A    753,178     24,862
* Cohu Inc.    686,724     24,303
* PROS Holdings Inc.    625,791     24,274
* TTM Technologies Inc.  1,517,458     23,991
* Knowles Corp.  1,323,768     23,709
* Ultra Clean Holdings Inc.    685,989     23,420
* Appian Corp. Class A    611,992     23,048
* NetScout Systems Inc.  1,045,170     22,941
* Asana Inc. Class A  1,180,334     22,438
* Harmonic Inc.  1,648,784     21,500
* Semtech Corp.    942,978     20,661
  CTS Corp.    459,389     20,094
* PowerSchool Holdings Inc. Class A    844,285     19,891
* Zeta Global Holdings Corp. Class A  2,235,084     19,713
  Adeia Inc.  1,578,504     19,558
* Vertex Inc. Class A    696,766     18,771
* Sprinklr Inc. Class A  1,556,033     18,735
* Zuora Inc. Class A  1,934,328     18,183
          Shares Market
Value

($000)
*,1 PAR Technology Corp.    408,826     17,800
* Intapp Inc.    458,215     17,421
* Informatica Inc. Class A    589,832     16,745
* Diebold Nixdorf Inc.    542,890     15,717
* indie Semiconductor Inc. Class A  1,894,348     15,363
* SMART Global Holdings Inc.    797,351     15,094
* EngageSmart Inc.    654,095     14,979
  Napco Security Technologies Inc.    433,592     14,851
* Navitas Semiconductor Corp. Class A  1,824,973     14,728
  Benchmark Electronics Inc.    530,374     14,660
* Everbridge Inc.    602,239     14,640
* PDF Solutions Inc.    447,535     14,384
* Ichor Holdings Ltd.    426,491     14,343
* ScanSource Inc.    360,097     14,263
* Alkami Technology Inc.    582,840     14,134
*,1 Infinera Corp.  2,928,379     13,910
* Model N Inc.    511,107     13,764
* Jamf Holding Corp.    760,762     13,739
  A10 Networks Inc.  1,039,631     13,692
* Amplitude Inc. Class A  1,075,572     13,681
* Digi International Inc.    525,284     13,657
* ACM Research Inc. Class A    685,369     13,392
* Arlo Technologies Inc.  1,389,946     13,232
* N-able Inc.    996,091     13,198
  Methode Electronics Inc.    538,616     12,243
  Bel Fuse Inc. Class B    179,861     12,009
* Cerence Inc.    592,362     11,646
  PC Connection Inc.    172,596     11,600
* E2open Parent Holdings Inc.  2,584,789     11,347
* AvePoint Inc.  1,363,313     11,193
* Grid Dynamics Holdings Inc.    805,958     10,743
*,1 Klaviyo Inc. Class A    375,103     10,420
* Kimball Electronics Inc.    383,962     10,348
*,1 Aehr Test Systems    389,357     10,330
* Couchbase Inc.    454,257     10,230
*,1 Applied Optoelectronics Inc.    511,110      9,875
* BigCommerce Holdings Inc.    993,394      9,666
* nLight Inc.    714,982      9,652
* SolarWinds Corp.    747,636      9,338
* Matterport Inc.  3,462,751      9,315
* Digital Turbine Inc.  1,350,898      9,267
* Mitek Systems Inc.    704,259      9,184
* Olo Inc. Class A  1,599,593      9,150
* Yext Inc.  1,541,001      9,076
* Corsair Gaming Inc.    620,566      8,750
* CommScope Holding Co. Inc.  3,099,039      8,739
* SmartRent Inc. Class A  2,729,282      8,706
  Ubiquiti Inc.     61,812      8,626
*,1 Lightwave Logic Inc.  1,712,689      8,529
* Alpha & Omega Semiconductor Ltd.    322,316      8,400
* CEVA Inc.    359,997      8,176
  Hackett Group Inc.    357,916      8,150
  ADTRAN Holdings Inc.  1,074,094      7,884
*,1 Digimarc Corp.    216,101      7,806
* MeridianLink Inc.    305,501      7,567
*,1 MicroVision Inc.  2,771,041      7,371
* Instructure Holdings Inc.    270,789      7,314
* Xperi Inc.    657,132      7,242
* Consensus Cloud Solutions Inc.    271,827      7,125
* Vishay Precision Group Inc.    208,474      7,103
* NETGEAR Inc.    468,581      6,832
* Thoughtworks Holding Inc.  1,418,977      6,825
* 8x8 Inc.  1,805,420      6,824
* FARO Technologies Inc.    291,058      6,558
*,1 SoundHound AI Inc. Class A  3,033,985      6,432
*,1 Blend Labs Inc. Class A  2,429,086      6,194
*,1 Applied Digital Corp.    905,614      6,104
 
29

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Unisys Corp.  1,079,220      6,065
* SEMrush Holdings Inc. Class A    430,309      5,878
  American Software Inc. Class A    511,963      5,785
  NVE Corp.     72,132      5,657
*,1 Clearfield Inc.    193,612      5,630
* Aviat Networks Inc.    167,276      5,463
* Evolv Technologies Holdings Inc.  1,136,658      5,365
* OneSpan Inc.    499,022      5,350
* Daktronics Inc.    626,137      5,310
  ON24 Inc.    662,626      5,221
* Enfusion Inc. Class A    525,816      5,100
* Domo Inc. Class B    482,417      4,964
* Weave Communications Inc.    414,886      4,759
* Backblaze Inc. Class A    624,963      4,743
* LivePerson Inc.  1,122,286      4,253
*,1 Terawulf Inc.  1,765,586      4,237
*,1 Tucows Inc. Class A    144,551      3,903
* Eastman Kodak Co.    992,378      3,870
* 908 Devices Inc.    338,125      3,794
*,1 Ouster Inc.    491,955      3,773
* Porch Group Inc.  1,213,243      3,737
  Climb Global Solutions Inc.     66,690      3,657
* Ribbon Communications Inc.  1,193,922      3,462
  Comtech Telecommunications Corp.    405,149      3,415
* SoundThinking Inc.    125,531      3,206
*,1 SkyWater Technology Inc.    328,647      3,162
* Luna Innovations Inc.    472,743      3,144
*,1 Rekor Systems Inc.    937,533      3,122
  Immersion Corp.    437,813      3,091
* Iteris Inc.    589,281      3,064
* CS Disco Inc.    399,811      3,035
*,1 Red Violet Inc.    150,073      2,997
*,1 NextNav Inc.    650,077      2,893
* EverCommerce Inc.    262,235      2,892
* Kopin Corp.  1,424,025      2,891
* Telos Corp.    755,369      2,757
* QuickLogic Corp.    195,221      2,706
* Turtle Beach Corp.    243,612      2,668
* Identiv Inc.    321,669      2,651
*,1 Cipher Mining Inc.    634,359      2,620
*,1 Atomera Inc.    369,491      2,590
* eGain Corp.    306,912      2,557
* Rimini Street Inc.    760,275      2,486
* Lantronix Inc.    405,729      2,378
  Information Services Group Inc.    476,239      2,243
* inTEST Corp.    161,574      2,197
* Everspin Technologies Inc.    239,185      2,162
  Richardson Electronics Ltd.    161,606      2,157
* Rackspace Technology Inc.    970,155      1,940
1 ReposiTrak Inc.    191,260      1,914
*,1 BigBear.ai Holdings Inc.    847,209      1,813
* Powerfleet Inc.    529,800      1,812
*,1 Vuzix Corp.    857,111      1,787
* Upland Software Inc.    413,665      1,750
* Intevac Inc.    393,579      1,700
* Kaltura Inc.    871,096      1,699
* Arteris Inc.    286,887      1,690
* Expensify Inc. Class A    634,087      1,566
* Brightcove Inc.    594,426      1,540
* Viant Technology Inc. Class A    202,577      1,396
* AXT Inc.    577,904      1,387
* AstroNova Inc.     84,578      1,375
*,1 Rigetti Computing Inc.  1,344,747      1,324
* Transphorm Inc.    361,933      1,321
* CPI Card Group Inc.     63,608      1,221
* CoreCard Corp.     84,857      1,174
*,1 CompoSecure Inc.    217,219      1,173
          Shares Market
Value

($000)
  CSP Inc.     58,064      1,161
* KVH Industries Inc.    220,329      1,159
*,1 Wrap Technologies Inc.    373,039      1,156
* Genasys Inc.    557,665      1,132
* M-Tron Industries Inc.     31,573      1,127
* Aeva Technologies Inc.  1,365,249      1,034
  Frequency Electronics Inc.     93,838      1,028
* SecureWorks Corp. Class A    136,354      1,006
* Cambium Networks Corp.    156,165        937
* Pixelworks Inc.    663,718        869
*,1 Veritone Inc.    466,521        844
* TransAct Technologies Inc.    119,373        833
*,1 Akoustis Technologies Inc.    989,060        825
* Synchronoss Technologies Inc.    131,634        817
1 SilverSun Technologies Inc.     46,703        799
*,1 Ondas Holdings Inc.    513,054        785
*,1 D-Wave Quantum Inc.    892,354        785
* WM Technology Inc.  1,087,301        783
* Amtech Systems Inc.    175,185        736
* Sono-Tek Corp.    137,634        714
* Key Tronic Corp.    156,477        676
* Issuer Direct Corp.     36,699        665
* Edgio Inc.  1,892,566        648
*,1 Rubicon Technologies Inc. Class A    348,823        645
* Inuvo Inc.  1,411,029        600
*,1 Dave Inc.     70,645        592
*,1 Stronghold Digital Mining Inc. Class A     80,567        588
* Smith Micro Software Inc.    706,442        584
* GSI Technology Inc.    216,448        571
*,1 Focus Universal Inc.    374,994        547
* Airgain Inc.    152,243        542
* Quantum Corp.  1,535,792        536
* LightPath Technologies Inc. Class A    424,658        535
* Franklin Wireless Corp.    146,912        498
* Intellicheck Inc.    243,594        463
*,1 Coda Octopus Group Inc.     75,655        454
* DZS Inc.    229,401        452
* AudioEye Inc.     82,976        450
* CVD Equipment Corp.    100,702        446
* authID Inc.     45,426        430
*,1 Research Frontiers Inc.    411,436        416
* DecisionPoint Systems Inc.     65,767        412
* NetSol Technologies Inc.    188,484        405
* Movano Inc.    512,874        401
* Data I/O Corp.    131,906        388
* CPS Technologies Corp.    164,742        387
* LGL Group Inc.     61,008        375
* ZeroFox Holdings Inc.    426,975        371
* EMCORE Corp.    754,981        369
*,1 Movella Holdings Inc.    588,741        356
* One Stop Systems Inc.    169,292        355
* Red Cat Holdings Inc.    402,998        355
*,1 Meta Materials Inc.  5,342,305        353
*,1 Greenidge Generation Holdings Inc. Class A     52,169        350
*,1 Quantum Computing Inc.    378,953        346
  Crexendo Inc.     67,950        330
* Research Solutions Inc.    124,461        324
* RF Industries Ltd.    105,170        320
*,1 Neonode Inc.    139,362        319
1 VirnetX Holding Corp.     45,281        317
* Mawson Infrastructure Group Inc.     98,002        314
* Aware Inc.    182,524        303
* Casa Systems Inc.    538,466        285
* Optical Cable Corp.    101,263        273
*,1 Inseego Corp.  1,190,163        262
* WidePoint Corp.    102,130        237
* SigmaTron International Inc.     77,301        232
 
30

 

Extended Market Index Fund
          Shares Market
Value

($000)
*,1 Alpine 4 Holdings Inc.    290,863        214
* TSR Inc.     22,667        204
*,1 BK Technologies Corp.     16,526        202
* AmpliTech Group Inc.    103,829        198
* Electro-Sensors Inc.     51,424        194
* Trio-Tech International     36,381        184
*,1 Interlink Electronics Inc.     13,613        174
* Presto Automation Inc.    317,079        169
* BTCS Inc.     87,854        143
* Glimpse Group Inc.    116,434        132
* Duos Technologies Group Inc.     45,457        131
* Data Storage Corp.     45,382        131
*,1 Vislink Technologies Inc.     33,462        129
* CalAmp Corp.    502,346        126
  ClearOne Inc.    114,784        124
* VerifyMe Inc.    106,857        120
* Astrotech Corp.     13,863        118
*,1 reAlpha Tech Corp.     57,800        115
* Cepton Inc.     35,764        112
* Blackboxstocks Inc.     39,297        111
*,1 Phunware Inc.  1,323,060        108
*,1 AEye Inc.     46,220        106
* Bridgeline Digital Inc.    110,790         96
*,1 Remark Holdings Inc.    191,066         95
*,1 Boxlight Corp. Class A     87,801         94
* Socket Mobile Inc.     67,150         79
*,1 Universal Security Instruments Inc.     47,378         79
  Taitron Components Inc. Class A     21,640         76
*,1 Sobr Safe Inc.    148,945         70
*,1 Marin Software Inc.    181,298         66
*,1 Digital Ally Inc.     30,556         64
*,1 CISO Global Inc.    588,914         60
*,1 T Stamp Inc. Class A     44,099         60
*,1 Intrusion Inc.    223,729         57
* Peraso Inc.    187,583         52
*,1 GSE Systems Inc.     25,559         52
* Nortech Systems Inc.      4,884         46
*,1 Intellinetics Inc.      8,825         45
* Sonim Technologies Inc.     59,810         44
*,1 Auddia Inc.    154,558         39
*,1 CXApp Inc.     27,801         36
*,1 Airspan Networks Holdings Inc.    394,024         35
*,1 Inpixon    580,094         33
*,1 Cemtrex Inc.      6,772         33
* MariaDB plc    119,196         33
*,1 Soluna Holdings Inc.      7,454         30
*,1 CYNGN Inc.    186,493         27
*,1 DatChat Inc.      9,288         27
*,1 Castellum Inc.     83,675         25
* Iveda Solutions Inc.     39,559         25
* OMNIQ Corp.     39,407         24
* ADDvantage Technologies Group Inc.      9,642         24
*,1 COMSovereign Holding Corp.     27,468         22
  Network-1 Technologies Inc.      9,774         21
*,2 SRAX Inc.    284,252         20
* Bio-key International Inc.      6,653         20
*,1 WaveDancer Inc.     11,093         19
* Minim Inc.      8,992         18
* Sigma Additive Solutions Inc.      5,427         16
*,1 Verb Technology Co. Inc.     68,376         12
*,1 Akerna Corp.     24,000         10
*,1 Oblong Inc.     45,359          9
*,1 FOXO Technologies Inc.     24,238          8
*,1 WiSA Technologies Inc.     45,800          5
* Spectaire Holdings Inc.        504          1
* Actelis Networks Inc.        200         —
                   18,308,623
          Shares Market
Value

($000)
Materials (4.3%)
  Reliance Steel & Aluminum Co.    843,616    235,943
  RPM International Inc.  1,906,818    212,858
  Crown Holdings Inc.  1,778,791    163,809
  United States Steel Corp.  3,293,635    160,235
* Cleveland-Cliffs Inc.  7,470,225    152,542
  AptarGroup Inc.    964,318    119,209
  Berry Global Group Inc.  1,745,589    117,635
  Royal Gold Inc.    970,945    117,446
  Graphic Packaging Holding Co.  4,524,786    111,536
* Axalta Coating Systems Ltd.  3,255,979    110,606
  Eagle Materials Inc.    512,214    103,898
  Olin Corp.  1,815,101     97,925
  Alcoa Corp.  2,640,921     89,791
  Commercial Metals Co.  1,730,114     86,575
* ATI Inc.  1,881,581     85,556
  Sonoco Products Co.  1,455,629     81,326
  Sealed Air Corp.  2,126,943     77,676
  Element Solutions Inc.  3,280,740     75,916
  Balchem Corp.    476,807     70,925
  Chemours Co.  2,211,884     69,763
  Cabot Corp.    821,338     68,582
* Summit Materials Inc. Class A  1,764,678     67,870
  Louisiana-Pacific Corp.    946,956     67,073
  Westlake Corp.    471,377     65,974
  HB Fuller Co.    795,884     64,793
  Ashland Inc.    757,076     63,829
  Huntsman Corp.  2,440,814     61,338
  Alpha Metallurgical Resources Inc.    174,502     59,142
  NewMarket Corp.    102,951     56,194
  Avient Corp.  1,337,934     55,618
* Knife River Corp.    834,925     55,255
  Silgan Holdings Inc.  1,202,550     54,415
  Carpenter Technology Corp.    735,995     52,108
*,1 Livent Corp.  2,655,658     47,749
  Warrior Met Coal Inc.    766,931     46,760
  Innospec Inc.    366,679     45,190
  Arch Resources Inc.    270,374     44,866
  Quaker Chemical Corp.    204,066     43,552
* MP Materials Corp.  2,140,426     42,488
  Sensient Technologies Corp.    622,321     41,073
  Hecla Mining Co.  8,434,709     40,571
  Materion Corp.    303,130     39,446
  Scotts Miracle-Gro Co.    618,034     39,400
* O-I Glass Inc.  2,285,857     37,442
  Minerals Technologies Inc.    478,996     34,157
*,1 Ginkgo Bioworks Holdings Inc. Class A 19,811,885     33,482
  Stepan Co.    313,523     29,644
  Greif Inc. Class A    430,312     28,224
  Sylvamo Corp.    519,690     25,522
  Tronox Holdings plc  1,697,390     24,035
  Orion SA    852,288     23,634
* Ingevity Corp.    499,717     23,597
  Hawkins Inc.    290,771     20,476
* Coeur Mining Inc.  5,898,372     19,229
  Kaiser Aluminum Corp.    237,933     16,938
  Koppers Holdings Inc.    319,402     16,360
  TriMas Corp.    630,536     15,972
  Ryerson Holding Corp.    432,365     14,994
* Ecovyst Inc.  1,526,790     14,917
* TimkenSteel Corp.    588,716     13,805
  SunCoke Energy Inc.  1,236,752     13,283
  Compass Minerals International Inc.    506,524     12,825
  Mativ Holdings Inc.    835,643     12,794
* Aspen Aerogels Inc.    802,686     12,666
* Worthington Steel Inc.    447,288     12,569
  AdvanSix Inc.    409,095     12,257
 
31

 

Extended Market Index Fund
          Shares Market
Value

($000)
  Schnitzer Steel Industries Inc. Class A    385,520     11,627
  Haynes International Inc.    197,413     11,262
  Myers Industries Inc.    555,894     10,868
* Perimeter Solutions SA  2,259,978     10,396
  Olympic Steel Inc.    148,510      9,906
* Century Aluminum Co.    773,007      9,384
* Clearwater Paper Corp.    253,979      9,174
  Pactiv Evergreen Inc.    611,039      8,377
*,1 PureCycle Technologies Inc.  1,998,707      8,095
1 Ramaco Resources Inc. Class A    470,174      8,078
* LSB Industries Inc.    859,867      8,005
* Piedmont Lithium Inc.    279,765      7,898
  United States Lime & Minerals Inc.     29,461      6,786
  Mercer International Inc.    640,591      6,073
  American Vanguard Corp.    447,788      4,912
* Gatos Silver Inc.    695,896      4,551
*,1 McEwen Mining Inc.    594,272      4,285
  Trinseo plc    511,396      4,280
* Rayonier Advanced Materials Inc.    959,517      3,886
*,1 American Battery Technology Co.    783,708      3,676
* Ranpak Holdings Corp. Class A    580,594      3,379
* Intrepid Potash Inc.    136,892      3,270
  Kronos Worldwide Inc.    303,357      3,015
* Alto Ingredients Inc.  1,042,887      2,774
* Smith-Midland Corp.     59,997      2,370
* Universal Stainless & Alloy Products Inc.    117,992      2,369
  Ramaco Resources Inc. Class B    176,917      2,355
* Core Molding Technologies Inc.    111,989      2,075
  Tredegar Corp.    382,334      2,068
* Dakota Gold Corp.    780,224      2,044
*,1 Origin Materials Inc.  1,744,951      1,459
  Friedman Industries Inc.     93,681      1,448
* Glatfelter Corp.    730,566      1,417
  Northern Technologies International Corp.    111,967      1,319
*,1 Danimer Scientific Inc. Class A  1,248,536      1,274
*,1 Loop Industries Inc.    332,490      1,257
*,1 Contango ORE Inc.     59,864      1,084
* Idaho Strategic Resources Inc.    169,246      1,072
* Ascent Industries Co.    110,651      1,058
* Advanced Emissions Solutions Inc.    336,668      1,003
*,1 Flotek Industries Inc.    163,769        642
* US Gold Corp.    143,623        610
*,1 5E Advanced Materials Inc.    422,291        595
*,1 Hycroft Mining Holding Corp. Class A    235,039        576
  Greif Inc. Class B      8,157        538
* Ampco-Pittsburgh Corp.    180,060        492
* Gold Resource Corp.  1,281,600        482
* Solitario Resources Corp.    786,156        440
* United States Antimony Corp.  1,198,945        299
* ASP Isotopes Inc.    157,697        282
*,1 US Goldmining Inc.     18,138        132
* Paramount Gold Nevada Corp.    190,456         71
*,1 Golden Minerals Co.     75,719         39
* Save Foods Inc.     16,703         33
*,1 Eightco Holdings Inc.     33,455         17
* Adamas One Corp.     27,332         16
*,1 Crown ElectroKinetics Corp.      8,521          1
                    4,228,172
Real Estate (6.0%)
  Sun Communities Inc.  1,839,475    245,846
  WP Carey Inc.  3,224,916    209,007
  Equity LifeStyle Properties Inc.  2,754,401    194,295
  Gaming & Leisure Properties Inc.  3,931,002    193,995
  Rexford Industrial Realty Inc.  3,127,664    175,462
  American Homes 4 Rent Class A  4,682,458    168,381
  CubeSmart  3,322,093    153,979
* Zillow Group Inc. Class C  2,594,075    150,093
          Shares Market
Value

($000)
  Lamar Advertising Co. Class A  1,290,789    137,185
* Jones Lang LaSalle Inc.    704,526    133,064
  EastGroup Properties Inc.    686,532    126,006
  Americold Realty Trust Inc.  3,951,651    119,616
  NNN REIT Inc.  2,686,456    115,786
  Omega Healthcare Investors Inc.  3,625,721    111,165
  STAG Industrial Inc.  2,688,552    105,553
  Brixmor Property Group Inc.  4,448,118    103,508
  First Industrial Realty Trust Inc.  1,958,807    103,170
  Healthcare Realty Trust Inc. Class A  5,647,898     97,313
  Ryman Hospitality Properties Inc.    882,450     97,122
  Agree Realty Corp.  1,489,342     93,754
  Spirit Realty Capital Inc.  2,071,495     90,504
  Terreno Realty Corp.  1,242,517     77,869
  Apartment Income REIT Corp. Class A  2,155,588     74,864
  Kite Realty Group Trust  3,249,132     74,275
  Rayonier Inc.  2,022,447     67,570
  Vornado Realty Trust  2,366,394     66,851
  Phillips Edison & Co. Inc.  1,771,472     64,623
  Kilroy Realty Corp.  1,577,452     62,846
  Essential Properties Realty Trust Inc.  2,294,005     58,635
  PotlatchDeltic Corp.  1,170,454     57,469
  Cousins Properties Inc.  2,236,367     54,456
  EPR Properties  1,111,058     53,831
  Apple Hospitality REIT Inc.  3,137,674     52,117
  Independence Realty Trust Inc.  3,303,494     50,543
  Macerich Co.  3,172,138     48,946
  Sabra Health Care REIT Inc.  3,405,601     48,598
  National Storage Affiliates Trust  1,148,347     47,622
  Park Hotels & Resorts Inc.  3,101,116     47,447
  Broadstone Net Lease Inc.  2,751,165     47,375
  Physicians Realty Trust  3,505,104     46,653
1 Medical Properties Trust Inc.  8,853,945     43,473
  Tanger Inc.  1,551,198     42,999
1 SL Green Realty Corp.    950,311     42,926
  LXP Industrial Trust  4,290,982     42,567
  COPT Defense Properties  1,652,229     42,347
  Innovative Industrial Properties Inc.    414,916     41,832
* Howard Hughes Holdings Inc.    478,502     40,936
  CareTrust REIT Inc.  1,762,011     39,434
* Opendoor Technologies Inc.  8,498,534     38,073
  DigitalBridge Group Inc.  2,119,144     37,170
  Highwoods Properties Inc.  1,567,935     36,000
  SITE Centers Corp.  2,638,919     35,968
  National Health Investors Inc.    639,124     35,695
  Douglas Emmett Inc.  2,452,981     35,568
  Four Corners Property Trust Inc.  1,327,819     33,594
  Sunstone Hotel Investors Inc.  3,046,804     32,692
  Urban Edge Properties  1,725,287     31,573
  St. Joe Co.    523,091     31,480
  Outfront Media Inc.  2,137,571     29,840
* Zillow Group Inc. Class A    525,965     29,833
  Equity Commonwealth  1,541,712     29,601
  DiamondRock Hospitality Co.  3,095,908     29,071
  Pebblebrook Hotel Trust  1,792,943     28,651
  Global Net Lease Inc.  2,872,776     28,584
  RLJ Lodging Trust  2,292,060     26,863
* Cushman & Wakefield plc  2,481,079     26,796
  Retail Opportunity Investments Corp.  1,851,107     25,971
  InvenTrust Properties Corp.    995,958     25,238
  Acadia Realty Trust  1,393,101     23,669
  Xenia Hotels & Resorts Inc.  1,610,427     21,934
  JBG SMITH Properties  1,280,300     21,778
  Kennedy-Wilson Holdings Inc.  1,747,209     21,630
  Service Properties Trust  2,462,741     21,032
  Alexander & Baldwin Inc.  1,084,617     20,629
  Uniti Group Inc.  3,547,389     20,504
 
32

 

Extended Market Index Fund
          Shares Market
Value

($000)
  Getty Realty Corp.    698,555     20,412
  Newmark Group Inc. Class A  1,813,806     19,879
  LTC Properties Inc.    604,767     19,425
  Elme Communities  1,321,924     19,300
  Veris Residential Inc.  1,206,856     18,984
  Empire State Realty Trust Inc. Class A  1,932,430     18,725
  Easterly Government Properties Inc. Class A  1,384,295     18,605
* Compass Inc. Class A  4,857,573     18,264
  NETSTREIT Corp.  1,005,025     17,940
  Hudson Pacific Properties Inc.  1,908,322     17,766
* Redfin Corp.  1,713,675     17,685
1 eXp World Holdings Inc.  1,133,125     17,586
  American Assets Trust Inc.    711,634     16,019
  Safehold Inc.    683,359     15,991
* Apartment Investment & Management Co. Class A  2,019,199     15,810
  Marcus & Millichap Inc.    349,759     15,277
  Brandywine Realty Trust  2,584,158     13,954
  UMH Properties Inc.    899,116     13,774
* Anywhere Real Estate Inc.  1,681,889     13,640
  Paramount Group Inc.  2,588,884     13,385
  Centerspace    227,737     13,254
  Piedmont Office Realty Trust Inc. Class A  1,853,651     13,179
  Plymouth Industrial REIT Inc.    545,414     13,128
  Armada Hoffler Properties Inc.    994,334     12,300
  Diversified Healthcare Trust  3,194,455     11,947
  NexPoint Residential Trust Inc.    339,189     11,678
  Summit Hotel Properties Inc.  1,655,655     11,126
1 Peakstone Realty Trust    531,607     10,595
  Community Healthcare Trust Inc.    370,727      9,876
  Global Medical REIT Inc.    880,804      9,777
* Forestar Group Inc.    281,025      9,293
  Whitestone REIT    747,265      9,184
  Universal Health Realty Income Trust    203,821      8,815
1 Farmland Partners Inc.    698,030      8,711
  Chatham Lodging Trust    788,881      8,457
  CBL & Associates Properties Inc.    337,670      8,246
  Gladstone Commercial Corp.    615,769      8,153
  Alexander's Inc.     35,568      7,596
  Gladstone Land Corp.    512,464      7,405
* Tejon Ranch Co.    414,340      7,127
  Saul Centers Inc.    176,966      6,949
* FRP Holdings Inc.    104,328      6,560
  RMR Group Inc. Class A    213,387      6,024
*,1 Seritage Growth Properties Class A    597,081      5,583
  Orion Office REIT Inc.    954,713      5,461
  Office Properties Income Trust    743,231      5,440
  One Liberty Properties Inc.    243,316      5,331
1 CTO Realty Growth Inc.    305,490      5,294
  Industrial Logistics Properties Trust    946,492      4,449
1 NexPoint Diversified Real Estate Trust    548,292      4,359
  Postal Realty Trust Inc. Class A    298,979      4,353
  NET Lease Office Properties    216,101      3,994
  RE/MAX Holdings Inc. Class A    298,475      3,979
  City Office REIT Inc.    572,275      3,497
  Alpine Income Property Trust Inc.    205,392      3,473
  Franklin Street Properties Corp.  1,341,324      3,434
  BRT Apartments Corp.    174,145      3,237
  Douglas Elliman Inc.  1,030,775      3,041
* Star Holdings    199,470      2,988
* Stratus Properties Inc.     94,932      2,740
  Braemar Hotels & Resorts Inc.    895,611      2,239
* Maui Land & Pineapple Co. Inc.     87,860      1,396
* AMREP Corp.     56,666      1,245
  Modiv Industrial Inc. Class C     81,640      1,216
  Clipper Realty Inc.    225,016      1,215
*,1 Offerpad Solutions Inc.    110,705      1,135
*,1 Ashford Hospitality Trust Inc.    559,405      1,085
          Shares Market
Value

($000)
  Global Self Storage Inc.    170,518        790
  Bluerock Homes Trust Inc.     54,970        769
*,1 LuxUrban Hotels Inc.    120,402        719
  Creative Media & Community Trust Corp.    186,677        698
*,1 Altisource Portfolio Solutions SA    176,732        629
* Transcontinental Realty Investors Inc.     17,849        617
* Sotherly Hotels Inc.    298,937        445
*,1 Doma Holdings Inc.     91,760        425
* Fathom Holdings Inc.    102,907        369
* Rafael Holdings Inc. Class B    172,498        316
* American Realty Investors Inc.     14,699        256
* Comstock Holding Cos. Inc. Class A     52,330        234
  Generation Income Properties Inc.     51,003        202
* InterGroup Corp.      7,864        144
* JW Mays Inc.      2,413        103
  InnSuites Hospitality Trust     51,409         87
* CKX Lands Inc.      5,432         70
*,1 Altisource Asset Management Corp.     15,639         65
1 Strawberry Fields REIT Inc.      8,289         64
* Safe & Green Development Corp.     43,845         61
* New Concept Energy Inc.     48,067         48
* Trinity Place Holdings Inc.    313,994         35
* Power REIT     36,007         23
* Alset Inc.     21,638         22
  Medalist Diversified REIT Inc.      3,943         20
*,1 Avalon GloboCare Corp.     34,504         17
* American Strategic Investment Co.      1,126          9
  Presidio Property Trust Inc. Class A      4,940          5
*,1 Wheeler REIT Inc.     12,815          4
*,2 Spirit MTA REIT    653,668         —
                    5,792,576
Utilities (1.8%)
  Vistra Corp.  4,944,900    190,478
  Essential Utilities Inc.  3,704,506    138,363
  OGE Energy Corp.  2,909,470    101,628
  UGI Corp.  3,105,910     76,405
  IDACORP Inc.    741,839     72,938
  National Fuel Gas Co.  1,357,185     68,090
  Portland General Electric Co.  1,502,085     65,100
  New Jersey Resources Corp.  1,442,856     64,323
  Ormat Technologies Inc.    787,851     59,711
  Southwest Gas Holdings Inc.    888,427     56,282
  Black Hills Corp.  1,012,498     54,624
  Otter Tail Corp.    615,076     52,263
  ONE Gas Inc.    814,570     51,904
  ALLETE Inc.    840,384     51,398
  PNM Resources Inc.  1,214,491     50,523
  Spire Inc.    767,978     47,876
  Northwestern Energy Group Inc.    902,344     45,920
  California Water Service Group    880,113     45,651
  American States Water Co.    551,394     44,343
  Avista Corp.  1,136,540     40,620
  Clearway Energy Inc. Class C  1,390,309     38,136
  MGE Energy Inc.    526,938     38,103
  Chesapeake Utilities Corp.    317,805     33,570
  Avangrid Inc.  1,011,878     32,795
  SJW Group    424,202     27,722
*,1 Sunnova Energy International Inc.  1,595,703     24,334
  Hawaiian Electric Industries Inc.  1,635,847     23,213
  Northwest Natural Holding Co.    533,301     20,767
  Middlesex Water Co.    267,812     17,574
  Unitil Corp.    250,646     13,176
  Genie Energy Ltd. Class B    335,871      9,448
  York Water Co.    225,661      8,715
* Montauk Renewables Inc.    968,457      8,629
  Consolidated Water Co. Ltd.    234,050      8,332
  Clearway Energy Inc. Class A    309,566      7,919
 
33

 

Extended Market Index Fund
          Shares Market
Value

($000)
* Altus Power Inc. Class A    968,598      6,616
  Artesian Resources Corp. Class A    122,559      5,080
* Pure Cycle Corp.    295,865      3,098
  RGC Resources Inc.    127,094      2,585
  Global Water Resources Inc.    147,111      1,924
*,1 Cadiz Inc.    681,992      1,910
*,1 Spruce Power Holding Corp.    195,019        862
  Via Renewables Inc. Class A     37,181        349
                    1,713,297
Total Common Stocks
(Cost $81,492,125)
96,836,951
Preferred Stocks (0.0%)
  FAT Brands Inc. Pfd., 8.250%, 2/7/24      7,939        118
  Air T Funding Pfd., 8.000%, 6/7/24        391          7
*,1,2 Next Bridge Hydrocarbons Inc. Preference Shares    902,467         —
*,2 BTCS Inc. Preference Shares     87,854         —
Total Preferred Stocks
(Cost $2,745)
125
Rights (0.0%)
*,2 Frequency Therapeutics Inc. CVR    448,505        888
*,2 Tobira Therapeutics Inc. CVR Exp. 12/31/28     87,894        398
*,2 Cartesian Therapeutics Inc. CVR  1,696,040        305
*,1,2 Palisade Bio Inc. CVR    238,902        229
*,2 Spectrum Pharmaceuticals Inc. CVR  2,524,293        206
*,2 Imara Inc. CVR    140,767        176
*,2 Strongbridge Biopharma plc CVR    687,671        125
*,1 Groupon Inc. Exp. 1/17/24    296,929        102
*,2 Adamas Pharmaceuticals Inc. CVR  1,055,708         64
*,2 Surface Oncology Inc. CVR    579,706         54
*,2 Gyre Therapeutics Inc. CVR    475,977         48
*,2 Miromatrix Medical Inc. CVR    280,666         39
*,2 Aduro Biotech Inc. CVR    150,581         28
*,2 Aevi Genomic Medicine Inc. CVR    631,947         21
*,1,2 Oncternal Therapeutics Inc. CVR     19,268         20
*,2 Ocera Therapeutics Inc. CVR     48,417         13
*,1,2 Miragen Therapeutics Inc. CVR    330,960          7
*,2 Qualigen Therapeutics Inc. CVR     91,096          6
*,2 F-star Therapeutics Inc. CVR     81,676          6
*,2 Alexza Pharmaceuticals Inc. CVR    128,704          4
*,1,2 Seelos Therapeutics Inc. CVR      5,736          3
*,1,2 CinCor Pharma Inc. CVR        832          3
*,2 Dianthus Therapeutics Inc. CVR    545,859          3
* Ligand Pharmaceuticals Inc. Roche CVR    395,811          2
          Shares Market
Value

($000)
*,2 Ocuphire Pharma Inc. CVR     13,673          2
*,2 Ambit Biosciences Corp. CVR     22,388         —
* Ligand Pharmaceuticals Inc. Glucagon CVR    395,811         —
* Ligand Pharmaceuticals Inc. General CVR    395,811         —
*,2 NeuroBo Pharmaceuticals Inc. CVR      5,194         —
*,2 Achillion Pharmaceuticals Inc. CVR        374         —
*,2 Pineapple Energy Inc. CVR     30,377         —
*,1,2 Disc Medicine Inc. CVR    238,398         —
*,2 Sesen Bio Inc. CVR  2,671,362         —
*,2 Chinook Therapeutics Inc. CVR         59         —
*,1,2 Spyre Therapeutics Inc. CVR    632,341         —
*,2 Neurogene Inc. CVR     95,916         —
Total Rights
(Cost $2,593)
2,752
Warrants (0.0%)
*,2 Cassava Sciences Inc. Exp. 11/15/24    233,823      1,116
* Ayala Pharmaceuticals Inc. Exp. 9/11/24     47,130         —
*,2 Salarius Pharmaceuticals Inc. Exp. 1/20/25    119,407         —
*,1,2 Imperalis Holding Corp. Exp. 4/13/28    930,380         —
Total Warrants
(Cost $200)
1,116
Temporary Cash Investments (2.2%)
Money Market Fund (2.2%)
4,5 Vanguard Market Liquidity Fund, 5.435%
(Cost $2,088,111)
20,896,263           2,089,208
Total Investments (101.8%)
(Cost $83,585,774)
  98,930,152
Other Assets and Liabilities—Net (-1.8%)   (1,722,554)
Net Assets (100%)   97,207,598
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 $1,509,878,000.
2 Security value determined using significant unobservable inputs.
3 Restricted securities totaling $0, representing 0.0% of net assets.
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 $1,733,477,000 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 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.
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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
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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.
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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).
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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)
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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.
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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.
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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.
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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.
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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.
          Shares Market
Value

($000)
Common Stocks (99.4%)
Basic Materials (3.7%)
  Nucor Corp.  5,510,138     958,984
  Fastenal Co. 12,807,877     829,566
  LyondellBasell Industries NV Class A  5,815,440     552,932
  Newmont Corp. 12,918,406     534,693
  International Flavors & Fragrances Inc.  5,720,526     463,191
1 Albemarle Corp.  2,631,183     380,153
  Celanese Corp. Class A  2,440,605     379,197
  Avery Dennison Corp.  1,805,607     365,022
  CF Industries Holdings Inc.  4,280,566     340,305
  International Paper Co.  7,758,070     280,454
  Mosaic Co.  7,328,071     261,832
  Steel Dynamics Inc.  1,723,349     203,528
  Eastman Chemical Co.  1,329,717     119,435
  FMC Corp.  1,399,161      88,217
  Westlake Corp.    359,151      50,267
                     5,807,776
Consumer Discretionary (13.1%)
  DR Horton Inc.  6,348,401     964,830
* Copart Inc. 19,371,336     949,195
  Lennar Corp. Class A  5,623,294     838,096
* Chipotle Mexican Grill Inc. Class A    307,577     703,416
* Trade Desk Inc. Class A  9,652,553     694,598
  Dollar General Corp.  4,919,884     668,858
* Dollar Tree Inc.  4,684,144     665,383
* Royal Caribbean Cruises Ltd.  4,881,373     632,089
* Take-Two Interactive Software Inc.  3,811,555     613,470
  Delta Air Lines Inc. 14,418,520     580,057
* Aptiv plc  6,338,813     568,718
* Warner Bros Discovery Inc. 49,186,833     559,746
* Ulta Beauty Inc.  1,103,237     540,575
  Hilton Worldwide Holdings Inc.  2,873,531     523,241
  Tractor Supply Co.  2,422,869     520,990
* AutoZone Inc.    197,586     510,880
  eBay Inc. 11,630,981     507,343
* ROBLOX Corp. Class A 10,926,926     499,579
  PulteGroup Inc.  4,831,650     498,723
* NVR Inc.     67,696     473,902
* Expedia Group Inc.  2,987,734     453,508
  Darden Restaurants Inc.  2,697,631     443,221
  Garmin Ltd.  3,431,963     441,145
  Genuine Parts Co.  3,141,367     435,079
* Carnival Corp. 22,589,342     418,806
  Electronic Arts Inc.  3,015,274     412,520
*,1 Rivian Automotive Inc. Class A 17,037,663     399,704
  Southwest Airlines Co. 13,365,560     385,997
  Omnicom Group Inc.  4,435,360     383,703
  Best Buy Co. Inc.  4,391,733     343,785
* Live Nation Entertainment Inc.  3,615,138     338,377
  Domino's Pizza Inc.    781,464     322,143
* United Airlines Holdings Inc.  7,325,640     302,256
  LKQ Corp.  5,999,977     286,739
  Rollins Inc.  6,511,611     284,362
* Burlington Stores Inc.  1,446,727     281,359
  News Corp. Class A 10,829,977     265,876
* MGM Resorts International  5,744,148     256,649
          Shares Market
Value

($000)
  Las Vegas Sands Corp.  4,285,219     210,876
  Pool Corp.    411,943     164,246
  Fox Corp. Class A  5,429,972     161,107
  Interpublic Group of Cos. Inc.  4,294,545     140,174
* CarMax Inc.  1,779,509     136,559
  Warner Music Group Corp. Class A  2,791,956      99,924
  Fox Corp. Class B  3,029,272      83,759
1 Paramount Global Class B  5,381,789      79,597
  Endeavor Group Holdings Inc. Class A  3,032,411      71,959
1 Sirius XM Holdings Inc. 10,436,788      57,089
*,1 Lucid Group Inc. 10,269,566      43,235
  Lennar Corp. Class B    212,879      28,536
* Chewy Inc. Class A  1,143,405      27,019
  News Corp. Class B    355,310       9,139
1 Paramount Global Class A    156,436       3,076
                    20,285,213
Consumer Staples (4.5%)
  Cencora Inc.  3,799,541     780,350
  Corteva Inc. 15,798,180     757,049
  Kroger Co. 14,508,195     663,170
  Church & Dwight Co. Inc.  5,521,060     522,071
  Archer-Daniels-Midland Co.  5,979,540     431,842
  Walgreens Boots Alliance Inc. 15,496,311     404,609
  Brown-Forman Corp. Class B  6,953,007     397,017
  Clorox Co.  2,781,535     396,619
  McCormick & Co. Inc. (Non-Voting)  5,634,230     385,494
  Tyson Foods Inc. Class A  6,395,218     343,743
  Kellanova  6,143,550     343,486
  Conagra Brands Inc. 10,703,474     306,762
  J M Smucker Co.  2,260,643     285,700
  Campbell Soup Co.  4,337,446     187,508
  Hormel Foods Corp.  5,676,330     182,267
  Lamb Weston Holdings Inc.  1,624,728     175,617
  Albertsons Cos. Inc. Class A  7,101,759     163,340
  Molson Coors Beverage Co. Class B  2,027,584     124,108
  Brown-Forman Corp. Class A  1,134,724      67,618
                     6,918,370
Energy (4.9%)
  ONEOK Inc. 13,056,434     916,823
  Hess Corp.  6,195,569     893,153
  Cheniere Energy Inc.  5,073,224     866,050
  Baker Hughes Co. Class A 22,553,500     770,879
  Halliburton Co. 18,054,283     652,662
  Devon Energy Corp. 14,359,114     650,468
  Diamondback Energy Inc.  4,011,236     622,063
  Williams Cos. Inc. 13,637,669     475,000
  Coterra Energy Inc. 16,021,862     408,878
* First Solar Inc.  2,275,784     392,072
* Enphase Energy Inc.  2,908,545     384,335
  Marathon Oil Corp. 13,122,142     317,031
  EQT Corp.  4,611,303     178,273
  Texas Pacific Land Corp.     68,845     108,255
                     7,635,942
Financials (12.5%)
  Arthur J Gallagher & Co.  4,840,713   1,088,580
  MSCI Inc. Class A  1,684,195     952,665
  Ameriprise Financial Inc.  2,268,284     861,562
52

 

Mid-Cap Index Fund
          Shares Market
Value

($000)
  Prudential Financial Inc.  8,092,373     839,260
  Apollo Global Management Inc.  8,904,941     829,851
  Allstate Corp.  5,865,360     821,033
  Discover Financial Services  5,604,329     629,927
* Arch Capital Group Ltd.  7,945,199     590,090
  Willis Towers Watson plc  2,314,181     558,180
  Broadridge Financial Solutions Inc.  2,636,519     542,464
  Hartford Financial Services Group Inc.  6,740,463     541,798
  T. Rowe Price Group Inc.  5,008,120     539,324
  American International Group Inc.  7,866,591     532,962
* Coinbase Global Inc. Class A  3,043,269     529,285
  Nasdaq Inc.  9,055,226     526,471
  Fifth Third Bancorp 15,261,818     526,380
  M&T Bank Corp.  3,719,173     509,824
  State Street Corp.  6,569,702     508,889
  Raymond James Financial Inc.  4,209,492     469,358
  Ares Management Corp. Class A  3,744,927     445,347
  Cboe Global Markets Inc.  2,366,694     422,597
  Principal Financial Group Inc.  5,342,303     420,279
  Huntington Bancshares Inc. 32,447,639     412,734
  FactSet Research Systems Inc.    851,745     406,325
  Regions Financial Corp. 20,840,005     403,879
* Markel Group Inc.    281,389     399,544
  LPL Financial Holdings Inc.  1,694,378     385,674
  Northern Trust Corp.  4,406,909     371,855
  Cincinnati Financial Corp.  3,515,602     363,724
  Everest Group Ltd.    972,857     343,983
  Citizens Financial Group Inc.  9,930,656     329,102
  W R Berkley Corp.  4,336,317     306,664
  KeyCorp 20,974,408     302,032
  Fidelity National Financial Inc.  5,796,994     295,763
  Loews Corp.  4,004,598     278,680
  Tradeweb Markets Inc. Class A  2,572,288     233,770
  Interactive Brokers Group Inc. Class A  2,279,441     188,966
  Franklin Resources Inc.  6,099,336     181,699
  Brown & Brown Inc.  2,552,415     181,502
  Globe Life Inc.  1,002,388     122,011
  Corebridge Financial Inc.  4,940,692     107,015
*,1 Rocket Cos. Inc. Class A  2,841,266      41,142
                    19,342,190
Health Care (9.4%)
* Dexcom Inc.  8,660,541   1,074,686
* IQVIA Holdings Inc.  4,090,549     946,471
* Centene Corp. 11,973,441     888,549
  GE HealthCare Technologies Inc.  8,672,772     670,579
  West Pharmaceutical Services Inc.  1,658,223     583,893
  Zimmer Biomet Holdings Inc.  4,683,507     569,983
* Veeva Systems Inc. Class A  2,948,113     567,571
  ResMed Inc.  3,296,525     567,068
  Cardinal Health Inc.  5,523,687     556,788
* IDEXX Laboratories Inc.    930,604     516,532
* Alnylam Pharmaceuticals Inc.  2,683,298     513,610
* Illumina Inc.  3,560,457     495,758
  STERIS plc  2,214,078     486,765
* Molina Healthcare Inc.  1,242,160     448,805
* Align Technology Inc.  1,631,357     446,992
  Baxter International Inc. 11,368,333     439,500
  Laboratory Corp. of America Holdings  1,903,592     432,667
* Biogen Inc.  1,623,732     420,173
  Cooper Cos. Inc.  1,109,720     419,962
* BioMarin Pharmaceutical Inc.  4,220,801     406,970
* Hologic Inc.  5,381,199     384,487
* Moderna Inc.  3,845,385     382,423
  Quest Diagnostics Inc.  2,520,924     347,585
* Avantor Inc. 15,165,303     346,224
* Insulet Corp.  1,565,615     339,707
  Revvity Inc.  2,766,934     302,454
          Shares Market
Value

($000)
  Viatris Inc. 26,898,305     291,309
* Incyte Corp.  4,271,087     268,181
  Royalty Pharma plc Class A  8,478,652     238,165
  Teleflex Inc.    526,049     131,165
* Henry Schein Inc.  1,464,549     110,881
* Bio-Rad Laboratories Inc. Class A    229,359      74,058
                    14,669,961
Industrials (19.5%)
  TransDigm Group Inc.  1,177,813   1,191,476
  Cintas Corp.  1,940,594   1,169,518
  PACCAR Inc. 11,724,879   1,144,934
  Carrier Global Corp. 18,807,531   1,080,493
  Old Dominion Freight Line Inc.  2,201,052     892,152
  Ferguson plc  4,562,803     880,940
  United Rentals Inc.  1,519,295     871,194
  AMETEK Inc.  5,172,520     852,897
  WW Grainger Inc.  1,001,260     829,734
  Otis Worldwide Corp.  9,174,157     820,812
  Rockwell Automation Inc.  2,570,061     797,953
  Verisk Analytics Inc. Class A  3,249,680     776,219
  Cummins Inc.  3,177,059     761,128
  Quanta Services Inc.  3,256,250     702,699
  Ingersoll Rand Inc.  9,072,738     701,686
  Martin Marietta Materials Inc.  1,385,298     691,139
  Equifax Inc.  2,761,616     682,920
  Vulcan Materials Co.  2,978,094     676,057
  DuPont de Nemours Inc.  8,676,192     667,459
* Keysight Technologies Inc.  3,912,892     622,502
  Xylem Inc.  5,402,992     617,886
* Fair Isaac Corp.    526,298     612,616
  Fidelity National Information Services Inc. 10,181,425     611,598
* Mettler-Toledo International Inc.    485,961     589,451
  Fortive Corp.  7,876,111     579,918
  Global Payments Inc.  4,536,241     576,103
  Westinghouse Air Brake Technologies Corp.  4,014,986     509,502
  Dover Corp.  3,136,498     482,425
* Teledyne Technologies Inc.  1,057,940     472,148
  L3Harris Technologies Inc.  2,123,985     447,354
  Johnson Controls International plc  7,623,684     439,429
* Waters Corp.  1,324,927     436,206
* FleetCor Technologies Inc.  1,537,977     434,648
  Veralto Corp.  5,246,261     431,557
  Expeditors International of Washington Inc.  3,259,843     414,652
  Ball Corp.  7,064,977     406,378
  PPG Industries Inc.  2,642,358     395,165
  JB Hunt Transport Services Inc.  1,850,069     369,533
  Jacobs Solutions Inc.  2,825,612     366,764
  Synchrony Financial  9,278,003     354,327
  Textron Inc.  4,394,701     353,422
  Snap-on Inc.  1,183,395     341,812
  Masco Corp.  5,033,614     337,151
  Stanley Black & Decker Inc.  3,434,844     336,958
  Packaging Corp. of America  2,009,479     327,364
* Zebra Technologies Corp. Class A  1,151,539     314,750
  TransUnion  4,342,977     298,406
* Trimble Inc.  5,577,634     296,730
  Howmet Aerospace Inc.  4,615,815     249,808
  HEICO Corp. Class A  1,684,835     239,988
  Hubbell Inc. Class B    601,129     197,729
  HEICO Corp.    919,726     164,511
  Jack Henry & Associates Inc.    816,456     133,417
  Crown Holdings Inc.  1,353,067     124,604
  CH Robinson Worldwide Inc.  1,242,861     107,371
* BILL Holdings Inc.  1,137,424      92,802
*,1 Symbotic Inc. Class A    552,210      28,345
                    30,306,740
 
53

 

Mid-Cap Index Fund
          Shares Market
Value

($000)
Real Estate (8.2%)
  Welltower Inc. 12,464,889   1,123,959
  Realty Income Corp. 16,225,312     931,657
  Digital Realty Trust Inc.  6,788,268     913,565
* CoStar Group Inc.  9,153,123     799,892
  Extra Space Storage Inc.  4,735,481     759,240
  VICI Properties Inc. Class A 20,537,306     654,729
  SBA Communications Corp. Class A  2,417,959     613,412
* CBRE Group Inc. Class A  6,489,476     604,105
  AvalonBay Communities Inc.  3,182,795     595,883
  Weyerhaeuser Co. 16,360,158     568,843
  Simon Property Group Inc.  3,472,778     495,357
  Equity Residential  8,088,125     494,670
  Alexandria Real Estate Equities Inc.  3,894,297     493,680
  Invitation Homes Inc. 13,720,867     468,019
  Iron Mountain Inc.  6,543,104     457,886
  Ventas Inc.  9,016,758     449,395
  Sun Communities Inc.  2,788,313     372,658
  Essex Property Trust Inc.  1,439,069     356,803
  Mid-America Apartment Communities Inc.  2,616,265     351,783
  WP Carey Inc.  4,902,815     317,752
  UDR Inc.  7,374,955     282,387
  Host Hotels & Resorts Inc.  7,907,988     153,969
  Regency Centers Corp.  2,069,230     138,638
  Healthpeak Properties Inc.  6,135,482     121,483
  Camden Property Trust  1,197,466     118,896
* Zillow Group Inc. Class C  1,732,568     100,246
* Zillow Group Inc. Class A    437,625      24,822
                    12,763,729
Technology (14.4%)
  Amphenol Corp. Class A 13,410,146   1,329,348
  Microchip Technology Inc. 12,126,719   1,093,588
* Atlassian Corp. Class A  3,474,492     826,443
* ON Semiconductor Corp.  9,653,470     806,354
* Palantir Technologies Inc. Class A 43,796,781     751,991
* Gartner Inc.  1,659,756     748,733
* Datadog Inc. Class A  6,095,299     739,847
* ANSYS Inc.  1,946,964     706,514
* DoorDash Inc. Class A  7,062,935     698,454
  CDW Corp.  3,002,274     682,477
  Monolithic Power Systems Inc.  1,020,127     643,476
* HubSpot Inc.  1,071,608     622,111
* MongoDB Inc. Class A  1,519,028     621,055
  HP Inc. 19,933,985     599,814
  Marvell Technology Inc.  9,668,331     583,097
* Splunk Inc.  3,777,129     575,446
* Cloudflare Inc. Class A  6,299,715     524,514
  Corning Inc. 17,207,907     523,981
  Hewlett Packard Enterprise Co. 28,748,844     488,155
* Pinterest Inc. Class A 13,139,793     486,698
* Zscaler Inc.  1,978,682     438,397
* Fortinet Inc.  7,313,191     428,041
  Cognizant Technology Solutions Corp. Class A  5,618,831     424,390
  NetApp Inc.  4,678,595     412,465
  Skyworks Solutions Inc.  3,586,382     403,181
* VeriSign Inc.  1,945,839     400,765
* Akamai Technologies Inc.  3,381,851     400,242
* Snap Inc. Class A 23,411,330     396,354
* Tyler Technologies Inc.    944,474     394,903
* EPAM Systems Inc.  1,292,855     384,417
* Western Digital Corp.  7,269,906     380,725
  Seagate Technology Holdings plc  4,455,632     380,377
* Zoom Video Communications Inc. Class A  5,201,865     374,066
  Teradyne Inc.  3,427,739     371,978
* GoDaddy Inc. Class A  3,157,517     335,202
          Shares Market
Value

($000)
* Okta Inc. Class A  3,514,548     318,172
* Twilio Inc. Class A  3,856,232     292,572
  SS&C Technologies Holdings Inc.  4,717,197     288,268
  Gen Digital Inc. 12,210,725     278,649
  Bentley Systems Inc. Class B  5,100,469     266,142
* Unity Software Inc.  5,964,332     243,882
  Paycom Software Inc.  1,147,827     237,279
  Leidos Holdings Inc.  1,541,529     166,855
* DocuSign Inc. Class A  2,278,976     135,485
* Qorvo Inc.  1,091,772     122,944
* Match Group Inc.  3,048,536     111,272
                    22,439,119
Telecommunications (1.8%)
* Arista Networks Inc.  5,578,658   1,313,830
  Motorola Solutions Inc.  3,720,116   1,164,731
* Liberty Broadband Corp. Class C  2,666,823     214,919
* Roku Inc. Class A  1,402,327     128,537
* Liberty Broadband Corp. Class A    381,143      30,736
                     2,852,753
Utilities (7.4%)
  PG&E Corp. 57,063,899   1,028,862
  Waste Connections Inc.  5,774,462     861,954
  Constellation Energy Corp.  7,158,810     836,793
  Xcel Energy Inc. 12,369,766     765,812
  Consolidated Edison Inc.  7,730,772     703,268
  Public Service Enterprise Group Inc. 11,186,529     684,056
  Edison International  8,596,398     614,557
  WEC Energy Group Inc.  7,069,329     595,025
  American Water Works Co. Inc.  4,363,612     575,953
  Eversource Energy  7,822,772     482,822
  Entergy Corp.  4,738,564     479,495
  FirstEnergy Corp. 12,215,378     447,816
  PPL Corp. 16,516,959     447,610
  DTE Energy Co.  3,925,726     432,851
  Ameren Corp.  5,866,383     424,374
  CenterPoint Energy Inc. 14,112,573     403,196
  CMS Energy Corp.  6,541,648     379,874
  Alliant Energy Corp.  5,666,284     290,680
  AES Corp. 15,013,463     289,009
  Evergy Inc.  5,147,537     268,701
  NiSource Inc. 10,028,854     266,266
  Vistra Corp.  4,008,321     154,401
  Avangrid Inc.  1,734,513      56,216
                    11,489,591
Total Common Stocks
(Cost $102,451,201)
154,511,384
Temporary Cash Investments (0.7%)
Money Market Fund (0.7%)
2,3 Vanguard Market Liquidity Fund, 5.435%
(Cost $1,119,168)
11,195,073            1,119,284
Total Investments (100.1%)
(Cost $103,570,369)
155,630,668
Other Assets and Liabilities—Net (-0.1%)   (169,069)
Net Assets (100%)   155,461,599
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 $180,290,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $199,138,000 was received for securities on loan.
 
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.
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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
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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)
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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.
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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.
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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.
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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.
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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.
          Shares Market
Value

($000)
Common Stocks (99.9%)
Basic Materials (1.7%)
  Fastenal Co.  4,080,398    264,287
1 Albemarle Corp.    837,911    121,062
                      385,349
Consumer Discretionary (13.1%)
* Copart Inc.  6,171,406    302,399
* Trade Desk Inc. Class A  3,186,587    229,307
* Chipotle Mexican Grill Inc. Class A     97,988    224,094
* Royal Caribbean Cruises Ltd.  1,555,240    201,388
* Take-Two Interactive Software Inc.  1,214,435    195,463
* Aptiv plc  2,019,665    181,204
* Ulta Beauty Inc.    351,521    172,242
  Hilton Worldwide Holdings Inc.    915,568    166,716
  Tractor Supply Co.    771,977    165,998
* AutoZone Inc.     62,958    162,785
* ROBLOX Corp. Class A  3,481,809    159,188
* Expedia Group Inc.    951,984    144,502
* Live Nation Entertainment Inc.  1,151,271    107,759
  LKQ Corp.  1,910,588     91,307
  Rollins Inc.  2,073,823     90,564
* Burlington Stores Inc.    460,720     89,601
  Domino's Pizza Inc.    195,059     80,409
* NVR Inc.     10,789     75,528
  Las Vegas Sands Corp.  1,364,743     67,159
  Pool Corp.    131,134     52,284
  Warner Music Group Corp. Class A    888,706     31,807
* Chewy Inc. Class A    364,019      8,602
*,1 Lucid Group Inc.  1,632,609      6,873
                    3,007,179
Consumer Staples (1.9%)
  Church & Dwight Co. Inc.  1,759,508    166,379
  Brown-Forman Corp. Class B  2,215,982    126,533
  McCormick & Co. Inc. (Non-Voting)    897,253     61,390
  Lamb Weston Holdings Inc.    517,495     55,936
  Brown-Forman Corp. Class A    361,122     21,519
                      431,757
Energy (6.9%)
  Hess Corp.  1,973,985    284,569
  Cheniere Energy Inc.  1,616,298    275,918
  Devon Energy Corp.  4,574,762    207,237
  Diamondback Energy Inc.  1,278,145    198,215
  Coterra Energy Inc.  5,102,812    130,224
* First Solar Inc.    724,794    124,867
* Enphase Energy Inc.    926,303    122,402
  Halliburton Co.  2,875,983    103,967
  EQT Corp.  1,468,718     56,780
  Marathon Oil Corp.  2,088,749     50,464
  Texas Pacific Land Corp.     21,928     34,481
                    1,589,124
Financials (6.9%)
  MSCI Inc. Class A    536,515    303,480
  Apollo Global Management Inc.  2,836,905    264,371
* Coinbase Global Inc. Class A  1,097,093    190,807
  Broadridge Financial Solutions Inc.    840,128    172,856
  Ares Management Corp. Class A  1,192,679    141,833
          Shares Market
Value

($000)
  FactSet Research Systems Inc.    271,261    129,405
  LPL Financial Holdings Inc.    539,973    122,909
  Tradeweb Markets Inc. Class A    819,282     74,456
* Markel Group Inc.     44,841     63,670
  Interactive Brokers Group Inc. Class A    725,997     60,185
  Brown & Brown Inc.    813,048     57,816
                    1,581,788
Health Care (11.5%)
* Dexcom Inc.  2,758,999    342,364
* IQVIA Holdings Inc.  1,303,139    301,521
  West Pharmaceutical Services Inc.    528,351    186,043
* Veeva Systems Inc. Class A    939,306    180,835
  ResMed Inc.  1,050,320    180,676
* Alnylam Pharmaceuticals Inc.    896,097    171,522
* IDEXX Laboratories Inc.    296,521    164,584
* Illumina Inc.  1,133,886    157,882
* Molina Healthcare Inc.    416,322    150,421
* Align Technology Inc.    519,533    142,352
  Cooper Cos. Inc.    353,638    133,831
* BioMarin Pharmaceutical Inc.  1,345,094    129,694
* Moderna Inc.  1,225,149    121,841
* Insulet Corp.    498,591    108,184
* Incyte Corp.  1,360,247     85,410
  STERIS plc    352,761     77,555
* Bio-Rad Laboratories Inc. Class A     36,570     11,808
                    2,646,523
Industrials (20.2%)
  TransDigm Group Inc.    375,245    379,598
  Cintas Corp.    618,245    372,592
  Old Dominion Freight Line Inc.    701,229    284,229
  AMETEK Inc.  1,648,156    271,764
  WW Grainger Inc.    318,991    264,345
  Verisk Analytics Inc. Class A  1,035,355    247,305
  Quanta Services Inc.  1,037,428    223,877
  Martin Marietta Materials Inc.    441,347    220,192
  Equifax Inc.    879,813    217,569
  Vulcan Materials Co.    948,804    215,388
  Xylem Inc.  1,721,414    196,861
* Fair Isaac Corp.    167,654    195,151
* Mettler-Toledo International Inc.    154,823    187,794
* Teledyne Technologies Inc.    336,916    150,362
* Waters Corp.    422,163    138,989
* FleetCor Technologies Inc.    489,791    138,420
  Veralto Corp.  1,670,852    137,444
  Rockwell Automation Inc.    409,389    127,107
  JB Hunt Transport Services Inc.    589,161    117,679
  Ingersoll Rand Inc.  1,445,233    111,774
  Howmet Aerospace Inc.  1,470,078     79,561
  HEICO Corp. Class A    537,160     76,513
  Ball Corp.  1,125,708     64,751
  HEICO Corp.    292,495     52,319
  TransUnion    691,809     47,534
* Trimble Inc.    888,463     47,266
  Jack Henry & Associates Inc.    259,915     42,473
* BILL Holdings Inc.    362,220     29,553
*,1 Symbotic Inc. Class A    175,769      9,022
                    4,647,432
72

 

Mid-Cap Growth Index Fund
          Shares Market
Value

($000)
Real Estate (7.3%)
  Welltower Inc.  3,971,019    358,067
  Realty Income Corp.  5,169,220    296,817
* CoStar Group Inc.  2,915,888    254,819
  Extra Space Storage Inc.  1,508,665    241,884
  SBA Communications Corp. Class A    770,364    195,434
  Invitation Homes Inc.  4,369,799    149,054
  Sun Communities Inc.    888,584    118,759
* Zillow Group Inc. Class C    552,138     31,947
  Camden Property Trust    190,649     18,929
* Zillow Group Inc. Class A    138,935      7,880
                    1,673,590
Technology (24.7%)
  Amphenol Corp. Class A  4,272,396    423,523
  Microchip Technology Inc.  3,863,494    348,410
* Atlassian Corp. Class A  1,106,890    263,285
* ON Semiconductor Corp.  3,075,475    256,894
* Palantir Technologies Inc. Class A 14,038,493    241,041
* Gartner Inc.    528,784    238,540
* Datadog Inc. Class A  1,941,903    235,708
* ANSYS Inc.    620,330    225,105
* DoorDash Inc. Class A  2,250,256    222,528
  Monolithic Power Systems Inc.    325,022    205,017
* HubSpot Inc.    341,426    198,211
* MongoDB Inc. Class A    483,979    197,875
  Marvell Technology Inc.  3,080,511    185,786
* Splunk Inc.  1,203,516    183,356
* Cloudflare Inc. Class A  2,007,243    167,123
* Pinterest Inc. Class A  4,186,814    155,080
* Zscaler Inc.    630,531    139,700
* Fortinet Inc.  2,330,432    136,400
  Skyworks Solutions Inc.  1,142,138    128,399
* VeriSign Inc.    619,712    127,636
* Akamai Technologies Inc.  1,077,097    127,474
* Snap Inc. Class A  7,456,011    126,230
* Tyler Technologies Inc.    300,803    125,772
* EPAM Systems Inc.    412,003    122,505
* Zoom Video Communications Inc. Class A  1,656,605    119,127
  Teradyne Inc.  1,091,596    118,460
* GoDaddy Inc. Class A  1,005,579    106,752
* Okta Inc. Class A  1,119,278    101,328
          Shares Market
Value

($000)
* Twilio Inc. Class A  1,228,061     93,173
  Bentley Systems Inc. Class B  1,624,357     84,759
* Unity Software Inc.  1,899,441     77,668
  Paycom Software Inc.    365,536     75,564
  Seagate Technology Holdings plc    709,472     60,568
* DocuSign Inc. Class A    725,765     43,147
* Match Group Inc.    970,826     35,435
                    5,697,579
Telecommunications (3.9%)
* Arista Networks Inc.  1,777,214    418,552
  Motorola Solutions Inc.  1,185,180    371,068
* Liberty Broadband Corp. Class C    849,105     68,429
* Roku Inc. Class A    446,697     40,944
* Liberty Broadband Corp. Class A    121,498      9,798
                      908,791
Utilities (1.8%)
  Waste Connections Inc.  1,839,805    274,628
  Constellation Energy Corp.  1,140,371    133,298
                      407,926
Total Common Stocks
(Cost $16,089,470)
22,977,038
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 5.435%
(Cost $62,161)
   621,735           62,161
Total Investments (100.1%)
(Cost $16,151,631)
23,039,199
Other Assets and Liabilities—Net (-0.1%)   (34,303)
Net Assets (100%)   23,004,896
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 $17,419,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $19,279,000 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 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.
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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.
          Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (5.5%)
  Nucor Corp.  1,882,126    327,565
  LyondellBasell Industries NV Class A  1,986,634    188,889
  Newmont Corp.  4,411,693    182,600
  International Flavors & Fragrances Inc.  1,954,403    158,248
  Celanese Corp. Class A    833,393    129,484
  Avery Dennison Corp.    616,551    124,642
  CF Industries Holdings Inc.  1,462,723    116,286
  International Paper Co.  2,649,117     95,766
  Mosaic Co.  2,502,256     89,406
  Steel Dynamics Inc.    588,460     69,497
  Eastman Chemical Co.    453,774     40,758
  FMC Corp.    477,376     30,099
  Westlake Corp.    122,687     17,171
                    1,570,411
Consumer Discretionary (13.0%)
  DR Horton Inc.  2,168,098    329,507
  Lennar Corp. Class A  1,876,361    279,653
  Dollar General Corp.  1,680,297    228,436
* Dollar Tree Inc.  1,600,133    227,299
  Delta Air Lines Inc.  4,926,317    198,186
* Warner Bros Discovery Inc. 15,262,727    173,690
  eBay Inc.  3,973,427    173,321
  PulteGroup Inc.  1,650,455    170,360
  Darden Restaurants Inc.    921,127    151,341
  Garmin Ltd.  1,171,792    150,622
  Genuine Parts Co.  1,073,341    148,658
* Carnival Corp.  7,713,376    143,006
  Electronic Arts Inc.  1,029,604    140,860
*,1 Rivian Automotive Inc. Class A  5,817,851    136,487
  Southwest Airlines Co.  4,563,854    131,804
  Omnicom Group Inc.  1,515,464    131,103
  Best Buy Co. Inc.  1,499,607    117,389
* United Airlines Holdings Inc.  2,501,428    103,209
* MGM Resorts International  1,961,382     87,635
  News Corp. Class A  3,436,880     84,375
* NVR Inc.     11,558     80,911
  Fox Corp. Class A  1,856,375     55,079
  Interpublic Group of Cos. Inc.  1,466,272     47,859
* CarMax Inc.    607,306     46,605
  Fox Corp. Class B  1,031,838     28,530
1 Paramount Global Class B  1,786,952     26,429
  Endeavor Group Holdings Inc. Class A  1,035,765     24,579
1 Sirius XM Holdings Inc.  4,410,743     24,127
  Lennar Corp. Class B    122,627     16,438
  News Corp. Class B    378,120      9,725
*,1 Lucid Group Inc.  1,753,660      7,383
1 Paramount Global Class A     93,029      1,829
                    3,676,435
Consumer Staples (6.7%)
  Cencora Inc.  1,297,823    266,547
  Corteva Inc.  5,396,517    258,601
  Kroger Co.  4,956,343    226,554
  Archer-Daniels-Midland Co.  2,041,761    147,456
  Walgreens Boots Alliance Inc.  5,291,265    138,155
  Clorox Co.    949,793    135,431
          Shares Market
Value

($000)
  Tyson Foods Inc. Class A  2,183,709    117,374
  Kellanova  2,097,830    117,290
  Conagra Brands Inc.  3,659,313    104,876
  J M Smucker Co.    771,924     97,556
  Hormel Foods Corp.  2,091,910     67,171
  McCormick & Co. Inc. (Non-Voting)    961,933     65,815
  Campbell Soup Co.  1,481,079     64,027
  Albertsons Cos. Inc. Class A  2,424,846     55,772
  Molson Coors Beverage Co. Class B    692,210     42,370
                    1,904,995
Energy (3.2%)
  ONEOK Inc.  4,459,982    313,180
  Baker Hughes Co. Class A  7,703,652    263,311
  Williams Cos. Inc.  4,656,749    162,194
  Halliburton Co.  3,083,607    111,472
  Marathon Oil Corp.  2,240,299     54,126
                      904,283
Financials (17.4%)
  Arthur J Gallagher & Co.  1,652,914    371,707
  Ameriprise Financial Inc.    774,751    294,274
  Prudential Financial Inc.  2,763,795    286,633
  Allstate Corp.  2,003,460    280,444
  Discover Financial Services  1,914,417    215,180
* Arch Capital Group Ltd.  2,714,124    201,578
  Willis Towers Watson plc    790,554    190,682
  Hartford Financial Services Group Inc.  2,302,682    185,090
  T. Rowe Price Group Inc.  1,710,873    184,244
  American International Group Inc.  2,687,387    182,070
  Fifth Third Bancorp  5,213,809    179,824
  Nasdaq Inc.  3,092,030    179,771
  M&T Bank Corp.  1,270,579    174,171
  State Street Corp.  2,244,370    173,849
  Raymond James Financial Inc.  1,437,371    160,267
  Cboe Global Markets Inc.    808,129    144,300
  Principal Financial Group Inc.  1,825,273    143,594
  Huntington Bancshares Inc. 11,086,473    141,020
  Regions Financial Corp.  7,120,549    137,996
  Northern Trust Corp.  1,505,813    127,060
  Cincinnati Financial Corp.  1,201,288    124,285
  Everest Group Ltd.    332,194    117,457
  Citizens Financial Group Inc.  3,390,934    112,376
  W R Berkley Corp.  1,480,696    104,715
  KeyCorp  7,167,989    103,219
  Fidelity National Financial Inc.  1,979,458    100,992
  Loews Corp.  1,367,413     95,158
* Markel Group Inc.     48,071     68,256
  Franklin Resources Inc.  2,082,600     62,041
  Globe Life Inc.    342,217     41,655
  Corebridge Financial Inc.  1,686,615     36,532
*,1 Rocket Cos. Inc. Class A    970,641     14,055
                    4,934,495
Health Care (7.7%)
* Centene Corp.  4,089,815    303,505
  GE HealthCare Technologies Inc.  2,962,514    229,061
  Zimmer Biomet Holdings Inc.  1,599,948    194,714
  Cardinal Health Inc.  1,886,957    190,205
  Baxter International Inc.  3,884,043    150,157
89

 

Mid-Cap Value Index Fund
          Shares Market
Value

($000)
  Laboratory Corp. of America Holdings    649,995    147,737
* Biogen Inc.    554,662    143,530
* Hologic Inc.  1,837,462    131,287
  Quest Diagnostics Inc.    860,807    118,688
* Avantor Inc.  5,178,355    118,222
  Revvity Inc.    944,796    103,276
  Viatris Inc.  9,184,673     99,470
  STERIS plc    378,207     83,149
  Royalty Pharma plc Class A  2,895,149     81,325
  Teleflex Inc.    179,863     44,847
* Henry Schein Inc.    499,766     37,837
* Bio-Rad Laboratories Inc. Class A     39,158     12,644
                    2,189,654
Industrials (19.4%)
  PACCAR Inc.  4,004,618    391,051
  Carrier Global Corp.  6,423,612    369,037
  Ferguson plc  1,558,471    300,894
  United Rentals Inc.    518,930    297,565
  Otis Worldwide Corp.  3,133,244    280,331
  Fidelity National Information Services Inc.  4,536,029    272,479
  Cummins Inc.  1,085,188    259,979
  Global Payments Inc.  1,993,520    253,177
  DuPont de Nemours Inc.  2,963,146    227,955
* Keysight Technologies Inc.  1,336,735    212,661
  Fortive Corp.  2,690,558    198,106
  Westinghouse Air Brake Technologies Corp.  1,371,630    174,060
  Dover Corp.  1,070,993    164,729
  L3Harris Technologies Inc.    725,552    152,816
  Johnson Controls International plc  2,604,195    150,106
  Expeditors International of Washington Inc.  1,113,128    141,590
  Rockwell Automation Inc.    438,962    136,289
  PPG Industries Inc.    902,635    134,989
  Jacobs Solutions Inc.    964,841    125,236
  Synchrony Financial  3,168,038    120,987
  Textron Inc.  1,500,615    120,679
  Ingersoll Rand Inc.  1,549,551    119,842
  Snap-on Inc.    404,083    116,715
  Stanley Black & Decker Inc.  1,173,748    115,145
  Masco Corp.  1,718,706    115,119
  Packaging Corp. of America    686,170    111,784
* Zebra Technologies Corp. Class A    393,209    107,476
  Ball Corp.  1,206,969     69,425
  Hubbell Inc. Class B    205,266     67,518
  TransUnion    741,441     50,944
* Trimble Inc.    952,222     50,658
  Crown Holdings Inc.    461,760     42,524
  CH Robinson Worldwide Inc.    424,118     36,640
                    5,488,506
Real Estate (9.2%)
  Digital Realty Trust Inc.  2,318,563    312,032
  VICI Properties Inc. Class A  7,920,290    252,499
* CBRE Group Inc. Class A  2,216,785    206,360
  AvalonBay Communities Inc.  1,087,255    203,556
  Weyerhaeuser Co.  5,588,835    194,324
  Simon Property Group Inc.  1,186,407    169,229
  Equity Residential  2,761,778    168,910
  Alexandria Real Estate Equities Inc.  1,330,415    168,657
  Iron Mountain Inc.  2,235,427    156,435
  Ventas Inc.  3,080,594    153,537
  Essex Property Trust Inc.    491,387    121,834
  Mid-America Apartment Communities Inc.    893,361    120,121
  WP Carey Inc.  1,674,150    108,502
  UDR Inc.  2,518,294     96,425
  Host Hotels & Resorts Inc.  2,700,134     52,572
          Shares Market
Value

($000)
  Regency Centers Corp.    706,486     47,335
  Healthpeak Properties Inc.  2,093,818     41,458
  Camden Property Trust    204,447     20,300
                    2,594,086
Technology (5.5%)
  CDW Corp.  1,025,594    233,138
  HP Inc.  6,809,518    204,898
  Corning Inc.  5,878,695    179,006
  Hewlett Packard Enterprise Co.  9,821,575    166,770
  Cognizant Technology Solutions Corp. Class A  1,919,409    144,973
  NetApp Inc.  1,598,504    140,924
* Western Digital Corp.  2,482,402    130,003
  SS&C Technologies Holdings Inc.  1,610,750     98,433
  Gen Digital Inc.  4,169,521     95,149
  Seagate Technology Holdings plc    760,720     64,943
  Leidos Holdings Inc.    526,370     56,974
* Qorvo Inc.    372,583     41,957
                    1,557,168
Utilities (12.2%)
  PG&E Corp. 19,484,320    351,302
  Xcel Energy Inc.  4,224,615    261,546
  Consolidated Edison Inc.  2,640,691    240,224
  Public Service Enterprise Group Inc.  3,821,156    233,664
  Edison International  2,936,541    209,933
  WEC Energy Group Inc.  2,414,931    203,265
  American Water Works Co. Inc.  1,490,648    196,751
  Eversource Energy  2,672,560    164,950
  Entergy Corp.  1,618,876    163,814
  FirstEnergy Corp.  4,173,368    152,996
  PPL Corp.  5,643,077    152,927
  DTE Energy Co.  1,341,257    147,887
  Ameren Corp.  2,009,490    145,366
  CenterPoint Energy Inc.  4,818,889    137,676
  CMS Energy Corp.  2,233,753    129,714
  Constellation Energy Corp.    894,578    104,567
  Alliant Energy Corp.  1,934,816     99,256
  AES Corp.  5,126,590     98,687
  Evergy Inc.  1,757,698     91,752
  NiSource Inc.  3,424,649     90,924
  Vistra Corp.  1,368,597     52,718
  Avangrid Inc.    592,501     19,203
                    3,449,122
Total Common Stocks
(Cost $21,606,256)
28,269,155
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 5.435%
(Cost $48,429)
   484,544           48,445
Total Investments (100.0%)
(Cost $21,654,685)
28,317,600
Other Assets and Liabilities—Net (0.0%)   14,034
Net Assets (100%)   28,331,634
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 $43,657,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $48,225,000 was received for securities on loan.
 
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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.
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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.
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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.
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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.
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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.
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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.
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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
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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.
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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.
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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
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.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: co-founder and managing partner (2022–present) of Grafton Street Partners (investment advisory firm). Chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. (investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment Committee, and the board of directors of Paxos Trust Company (finance).
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Director of DuPont. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law, Duke Law School (2021–present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global Financial Markets Center, Duke Law School (2020–2022); and Senior Fellow, Duke Center on Risk (2020–present). Partner of Kaya Partners (climate policy advisory services). Member of the board of directors of Arcadia (energy solution technology).
Grant Reid
Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.
David Thomas
Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company. Trustee of Common Fund.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated
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.

 

(communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.
Executive Officers
Jacqueline Angell
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) and deputy chief compliance officer (2017–2019) of State Street.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
John Galloway
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September
2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).
Ashley Grim
Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).
Jodi Miller
Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present)
of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director (2022–present) of the board of National Grid (energy).
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
Matthew Benchener Thomas M. Rampulla
Joseph Brennan Karin A. Risi
Mortimer J. Buckley Anne E. Robinson
Gregory Davis Michael Rollings
John James Nitin Tandon
Chris D. McIsaac Lauren Valente

 

Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
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Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg indexes: Bloomberg Index Services Limited. Copyright 2024, Bloomberg. All rights reserved.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q980 022024

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.
    Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (1.4%)
  Linde plc   4,445,542   1,825,828
  Ecolab Inc.   2,352,971     466,712
  Fastenal Co.   5,239,504     339,363
1 Albemarle Corp.   1,075,956     155,454
        2,787,357
Consumer Discretionary (20.4%)
* Amazon.com Inc.  85,269,892  12,955,907
* Tesla Inc.  24,773,381   6,155,690
  Costco Wholesale Corp.   4,059,121   2,679,345
  McDonald's Corp.   6,649,565   1,971,663
* Netflix Inc.   3,912,598   1,904,966
  Home Depot Inc.   4,570,158   1,583,788
  NIKE Inc. Class B  11,220,311   1,218,189
* Booking Holdings Inc.     319,840   1,134,543
* Uber Technologies Inc.  17,923,830   1,103,570
  Starbucks Corp.  10,420,210   1,000,444
  TJX Cos. Inc.  10,484,850     983,584
  Walt Disney Co.   8,404,441     758,837
* Chipotle Mexican Grill Inc.     251,695     575,616
* Lululemon Athletica Inc.   1,057,632     540,757
  Marriott International Inc. Class A   2,288,397     516,056
* O'Reilly Automotive Inc.     542,235     515,167
* Airbnb Inc. Class A   3,386,147     460,990
  Ross Stores Inc.   3,102,948     429,417
  Hilton Worldwide Holdings Inc.   2,350,948     428,084
* AutoZone Inc.     161,611     417,863
* Copart Inc.   7,923,348     388,244
  Yum! Brands Inc.   2,568,528     335,604
  Estee Lauder Cos. Inc. Class A   2,022,646     295,812
* Trade Desk Inc. Class A   4,089,205     294,259
* Take-Two Interactive Software Inc.   1,559,774     251,046
* Aptiv plc   2,592,738     232,620
* Ulta Beauty Inc.     451,229     221,098
  Tractor Supply Co.     989,997     212,879
    Shares Market
Value

($000)
* Roblox Corp. Class A   4,469,437     204,343
* Expedia Group Inc.   1,222,327     185,537
  Las Vegas Sands Corp.   3,504,447     172,454
* Live Nation Entertainment Inc.   1,476,342     138,186
  Domino's Pizza Inc.     319,880     131,864
* Royal Caribbean Cruises Ltd.     998,843     129,340
  Rollins Inc.   2,664,064     116,340
* Burlington Stores Inc.     590,869     114,912
  Warner Music Group Corp. Class A   1,139,935      40,798
  Pool Corp.      84,358      33,634
* Chewy Inc. Class A     468,057      11,060
*,1 Lucid Group Inc.   2,090,977       8,803
       40,853,309
Consumer Staples (0.7%)
* Monster Beverage Corp.   6,678,018     384,721
  Colgate-Palmolive Co.   3,772,335     300,693
  Hershey Co.   1,373,882     256,147
  Church & Dwight Co. Inc.   2,260,919     213,792
  Brown-Forman Corp. Class B   2,838,451     162,075
  Lamb Weston Holdings Inc.     663,580      71,726
1 Brown-Forman Corp. Class A     470,246      28,022
        1,417,176
Energy (1.3%)
  Pioneer Natural Resources Co.   2,138,602     480,929
  Hess Corp.   2,534,468     365,369
  Cheniere Energy Inc.   2,074,129     354,075
  Schlumberger NV   6,525,058     339,564
  Diamondback Energy Inc.   1,641,555     254,572
  Coterra Energy Inc.   6,551,168     167,186
* First Solar Inc.     930,663     160,335
  Baker Hughes Co.   4,613,073     157,675
* Enphase Energy Inc.   1,189,426     157,171
  Halliburton Co.   3,693,758     133,529
  EQT Corp.   1,883,270      72,807
7

 

Growth Index Fund
    Shares Market
Value

($000)
  Texas Pacific Land Corp.      28,227      44,385
        2,687,597
Financials (2.5%)
  S&P Global Inc.   2,904,241   1,279,376
  Blackstone Inc.   6,513,868     852,796
  Moody's Corp.   1,425,774     556,850
  Aon plc Class A (XNYS)   1,743,923     507,517
  MSCI Inc.     688,787     389,612
  Apollo Global Management Inc.   3,642,940     339,486
* Coinbase Global Inc. Class A   1,408,152     244,906
  Broadridge Financial Solutions Inc.   1,078,358     221,872
  Ares Management Corp. Class A   1,531,101     182,079
  FactSet Research Systems Inc.     348,299     166,156
  LPL Financial Holdings Inc.     693,358     157,822
  Tradeweb Markets Inc. Class A   1,052,774      95,676
  Brown & Brown Inc.   1,045,188      74,323
  Interactive Brokers Group Inc. Class A     465,445      38,585
        5,107,056
Health Care (7.1%)
  Eli Lilly & Co.   7,833,207   4,566,133
* Intuitive Surgical Inc.   3,227,787   1,088,926
* Vertex Pharmaceuticals Inc.   2,362,535     961,292
  Thermo Fisher Scientific Inc.   1,774,158     941,705
  Stryker Corp.   3,134,451     938,643
* Boston Scientific Corp.  13,431,001     776,446
  Zoetis Inc.   3,788,032     747,644
* DexCom Inc.   3,542,982     439,649
* Edwards Lifesciences Corp.   5,560,075     423,956
* IDEXX Laboratories Inc.     761,376     422,602
  Agilent Technologies Inc.   2,675,077     371,916
* Moderna Inc.   3,146,258     312,895
  West Pharmaceutical Services Inc.     678,054     238,756
* Veeva Systems Inc. Class A   1,204,921     231,971
  ResMed Inc.   1,348,383     231,949
* Alnylam Pharmaceuticals Inc.   1,150,334     220,186
* Illumina Inc.   1,455,557     202,672
* IQVIA Holdings Inc.     837,805     193,851
* Align Technology Inc.     667,027     182,765
  Cooper Cos. Inc.     454,043     171,828
    Shares Market
Value

($000)
* BioMarin Pharmaceutical Inc.   1,727,020     166,519
* Insulet Corp.     640,364     138,946
* Incyte Corp.   1,747,600     109,732
  STERIS plc     452,365      99,453
*,2 ABIOMED Inc. CVR          15          —
       14,180,435
Industrials (8.8%)
  Visa Inc. Class A  14,046,205   3,656,929
  Mastercard Inc. Class A   7,676,515   3,274,110
  Accenture plc Class A   5,753,944   2,019,116
* Boeing Co.   5,546,555   1,445,765
  Automatic Data Processing Inc.   3,770,664     878,452
  Sherwin-Williams Co.   2,111,778     658,664
  TransDigm Group Inc.     481,777     487,366
  Cintas Corp.     793,553     478,243
* Block Inc. (XNYS)   5,074,625     392,522
* Fiserv Inc.   2,756,181     366,131
  Old Dominion Freight Line Inc.     900,325     364,929
  Paychex Inc.   2,980,663     355,027
  WW Grainger Inc.     409,608     339,438
  Rockwell Automation Inc.   1,051,433     326,449
  Verisk Analytics Inc.   1,329,345     317,527
  Quanta Services Inc.   1,332,830     287,625
  Equifax Inc.   1,129,122     279,221
  Vulcan Materials Co.   1,217,927     276,482
* Fair Isaac Corp.     215,235     250,536
* Mettler-Toledo International Inc.     198,592     240,884
* Teledyne Technologies Inc.     432,536     193,036
* Waters Corp.     541,419     178,251
  JB Hunt Transport Services Inc.     755,568     150,917
  Martin Marietta Materials Inc.     283,017     141,200
  HEICO Corp. Class A     688,108      98,014
  Veralto Corp.   1,073,651      88,319
  HEICO Corp.     377,014      67,436
  Jack Henry & Associates Inc.     333,500      54,497
* Bill Holdings Inc.     465,732      37,999
*,1 Symbotic Inc.     225,249      11,562
       17,716,647
Real Estate (1.8%)
  American Tower Corp.   4,273,349     922,531
  Equinix Inc.     860,641     693,152
  Welltower Inc.   5,097,812     459,670
  Public Storage   1,450,656     442,450
* CoStar Group Inc.   3,744,153     327,202
  SBA Communications Corp.     988,726     250,830
  Realty Income Corp.   3,314,381     190,312
  Sun Communities Inc.   1,141,086     152,506
  Invitation Homes Inc.   2,810,064      95,851
  Camden Property Trust     245,155      24,341
 
8

 

Growth Index Fund
    Shares Market
Value

($000)
* Zillow Group Inc. Class C     356,290      20,615
* Zillow Group Inc. Class A      90,682       5,143
        3,584,603
Technology (54.7%)
  Apple Inc. 135,461,484  26,080,400
  Microsoft Corp.  68,140,637  25,623,605
  NVIDIA Corp.  21,513,345  10,653,839
* Alphabet Inc. Class A  54,164,556   7,566,247
* Meta Platforms Inc. Class A  20,350,059   7,203,107
* Alphabet Inc. Class C  44,707,105   6,300,572
* Adobe Inc.   4,174,278   2,490,374
* Salesforce Inc.   8,474,637   2,230,016
* Advanced Micro Devices Inc.  14,811,284   2,183,331
  Intuit Inc.   2,440,927   1,525,653
  Texas Instruments Inc.   8,325,834   1,419,222
* ServiceNow Inc.   1,879,458   1,327,818
  Applied Materials Inc.   7,669,430   1,242,985
  Lam Research Corp.   1,208,309     946,420
* Palo Alto Networks Inc.   2,890,869     852,459
  KLA Corp.   1,246,168     724,397
* Synopsys Inc.   1,394,430     718,006
* Cadence Design Systems Inc.   2,494,516     679,431
  Amphenol Corp. Class A   5,484,210     543,650
* Snowflake Inc. Class A   2,720,675     541,414
  Roper Technologies Inc.     979,493     533,990
* Crowdstrike Holdings Inc. Class A   2,073,114     529,307
* Workday Inc. Class A   1,898,136     523,999
  Marvell Technology Inc.   7,911,587     477,148
* Autodesk Inc.   1,959,532     477,107
  Microchip Technology Inc.   4,959,756     447,271
* Fortinet Inc.   5,984,393     350,267
* Atlassian Corp. Ltd. Class A   1,421,173     338,040
* Palantir Technologies Inc. Class A  18,025,147     309,492
* Gartner Inc.     678,650     306,146
* Datadog Inc. Class A   2,493,526     302,664
* ANSYS Inc.     796,219     288,932
* DoorDash Inc. Class A   2,889,740     285,766
  Monolithic Power Systems Inc.     417,459     263,325
* HubSpot Inc.     438,521     254,579
* MongoDB Inc.     621,593     254,138
* Splunk Inc.   1,544,632     235,325
* Cloudflare Inc. Class A   2,576,442     214,515
* Pinterest Inc. Class A   5,374,481     199,071
* Zscaler Inc.     809,479     179,348
* ON Semiconductor Corp.   1,974,356     164,918
    Shares Market
Value

($000)
* VeriSign Inc.     794,867     163,711
* Snap Inc. Class A   9,573,066     162,072
* Tyler Technologies Inc.     386,199     161,478
* EPAM Systems Inc.     529,066     157,312
* Zoom Video Communications Inc. Class A   2,127,291     152,973
  Teradyne Inc.   1,401,837     152,127
* GoDaddy Inc. Class A   1,291,606     137,117
* Okta Inc.   1,437,776     130,162
* Twilio Inc. Class A   1,577,590     119,692
  Bentley Systems Inc. Class B   2,086,939     108,896
* Unity Software Inc.   2,437,976      99,689
  Paycom Software Inc.     468,837      96,918
  Seagate Technology Holdings plc     909,878      77,676
* DocuSign Inc.     933,163      55,477
* Match Group Inc.   1,248,304      45,563
      109,609,157
Telecommunications (0.9%)
  T-Mobile US Inc.   4,770,407     764,839
* Arista Networks Inc.   2,282,220     537,486
  Motorola Solutions Inc.     760,570     238,127
* Charter Communications Inc. Class A     441,485     171,596
* Liberty Broadband Corp. Class C   1,090,678      87,898
* Roku Inc.     572,688      52,492
* Liberty Broadband Corp. Class A     154,112      12,428
        1,864,866
Utilities (0.2%)
  Waste Connections Inc. (XTSE)   2,362,465     352,645
Total Common Stocks (Cost $96,410,356) 200,160,848
 
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.
    Shares Market
Value

($000)
Common Stocks (99.7%)
Basic Materials (2.1%)
  Freeport-McMoRan Inc. 11,947,733     508,615
  Air Products and Chemicals Inc.  1,851,502     506,941
  Newmont Corp.  9,604,376     397,525
  Nucor Corp.  2,048,456     356,513
  Dow Inc.  5,842,476     320,402
  LyondellBasell Industries NV Class A  2,159,135     205,291
  International Flavors & Fragrances Inc.  2,132,275     172,650
  Celanese Corp.    904,061     140,464
  Avery Dennison Corp.    672,747     136,003
  CF Industries Holdings Inc.  1,595,777     126,864
  International Paper Co.  2,890,379     104,487
  Mosaic Co.  2,730,072      97,546
  Steel Dynamics Inc.    642,025      75,823
  Eastman Chemical Co.    495,471      44,503
  FMC Corp.    521,305      32,868
  Westlake Corp.    133,939      18,746
        3,245,241
Consumer Discretionary (7.0%)
  Walmart Inc. 12,338,831   1,945,217
  Home Depot Inc.  4,147,577   1,437,343
  Lowe's Cos. Inc.  4,792,058   1,066,472
* Walt Disney Co.  7,624,927     688,455
  Target Corp.  3,847,252     547,926
  General Motors Co. 11,407,893     409,771
  Ford Motor Co. 32,756,588     399,303
  DR Horton Inc.  2,359,857     358,651
  Lennar Corp. Class A  2,143,766     319,507
  Electronic Arts Inc.  2,239,884     306,439
  Dollar General Corp.  1,826,912     248,369
* Dollar Tree Inc.  1,740,040     247,173
  Delta Air Lines Inc.  5,347,403     215,126
* Warner Bros Discovery Inc. 18,269,110     207,902
  eBay Inc.  4,317,313     188,321
  PulteGroup Inc.  1,793,755     185,151
* NVR Inc.     25,182     176,285
  Darden Restaurants Inc.  1,004,826     165,093
    Shares Market
Value

($000)
  Garmin Ltd.  1,278,855     164,384
  Genuine Parts Co.  1,165,559     161,430
* Carnival Corp.  8,415,152     156,017
  Southwest Airlines Co.  4,979,017     143,794
  Omnicom Group Inc.  1,644,407     142,258
*,1 Rivian Automotive Inc. Class A  5,487,366     128,734
  Best Buy Co. Inc.  1,626,227     127,301
* Royal Caribbean Cruises Ltd.    909,621     117,787
* United Airlines Holdings Inc.  2,728,513     112,578
  LKQ Corp.  2,235,300     106,825
  News Corp. Class A  4,146,895     101,806
* MGM Resorts International  2,139,930      95,612
  Fox Corp. Class A  2,127,112      63,111
  Interpublic Group of Cos. Inc.  1,600,067      52,226
* CarMax Inc.    663,035      50,881
  Pool Corp.     76,759      30,605
1 Paramount Global Class B  1,939,442      28,684
  Fox Corp. Class B  1,014,642      28,055
  Endeavor Group Holdings Inc. Class A  1,129,648      26,807
1 Sirius XM Holdings Inc.  4,812,633      26,325
*,1 Lucid Group Inc.  1,917,142       8,071
1 Paramount Global Class A    114,903       2,259
  Lennar Corp. Class B     15,602       2,091
  News Corp. Class B     27,910         718
  BorgWarner Inc. (XNYS)         25           1
       10,990,864
Consumer Staples (9.8%)
  Procter & Gamble Co. 19,644,407   2,878,691
  PepsiCo Inc. 11,458,231   1,946,066
  Coca-Cola Co. 32,429,819   1,911,089
  Philip Morris International Inc. 12,934,812   1,216,907
  CVS Health Corp. 10,725,705     846,902
  Mondelez International Inc. Class A 11,339,461     821,317
  Altria Group Inc. 14,733,824     594,362
  McKesson Corp.  1,109,236     513,554
30

 

Value Index Fund
    Shares Market
Value

($000)
  Kimberly-Clark Corp.  2,815,996     342,172
  Archer-Daniels-Midland Co.  4,444,409     320,975
  General Mills Inc.  4,842,878     315,465
  Constellation Brands Inc. Class A  1,300,149     314,311
  Kenvue Inc. 14,356,696     309,100
  Sysco Corp.  4,202,470     307,327
  Cencora Inc.  1,412,000     289,997
  Corteva Inc.  5,870,969     281,337
  Colgate-Palmolive Co.  3,427,948     273,242
  Keurig Dr Pepper Inc.  8,152,040     271,626
  Kraft Heinz Co.  6,637,608     245,459
  Kroger Co.  4,390,071     200,670
  Walgreens Boots Alliance Inc.  5,773,300     150,741
  Clorox Co.  1,030,853     146,989
  McCormick & Co. Inc.  2,099,283     143,633
  Tyson Foods Inc. Class A  2,382,980     128,085
  Kellanova  2,289,683     128,016
  Conagra Brands Inc.  3,718,110     106,561
  J M Smucker Co.    842,249     106,443
  Hormel Foods Corp.  2,283,765      73,332
  Campbell Soup Co.  1,616,329      69,874
  Albertsons Cos. Inc. Class A  2,645,577      60,848
  Molson Coors Beverage Co. Class B    755,627      46,252
       15,361,343
Energy (7.0%)
  Exxon Mobil Corp. 33,386,845   3,338,017
  Chevron Corp. 14,945,889   2,229,329
  ConocoPhillips  9,895,718   1,148,596
  EOG Resources Inc.  4,859,684     587,779
  Phillips 66  3,666,406     488,145
  Marathon Petroleum Corp.  3,163,969     469,406
  Valero Energy Corp.  2,837,158     368,831
  Williams Cos. Inc. 10,137,012     353,072
  ONEOK Inc.  4,852,882     340,769
  Occidental Petroleum Corp.  5,500,319     328,424
  Schlumberger NV  5,926,046     308,391
  Kinder Morgan Inc. 15,735,520     277,575
  Devon Energy Corp.  5,334,852     241,669
  Baker Hughes Co.  4,201,530     143,608
  Halliburton Co.  3,363,955     121,607
  Marathon Oil Corp.  4,888,313     118,102
       10,863,320
Financials (19.2%)
* Berkshire Hathaway Inc. Class B 15,217,473   5,427,464
  JPMorgan Chase & Co. 24,094,438   4,098,464
  Bank of America Corp. 56,063,000   1,887,641
  Wells Fargo & Co. 30,268,247   1,489,803
  Morgan Stanley 10,258,608     956,615
  Goldman Sachs Group Inc.  2,467,503     951,889
  BlackRock Inc.  1,115,830     905,831
  Charles Schwab Corp. 11,811,681     812,644
    Shares Market
Value

($000)
  Marsh & McLennan Cos. Inc.  4,108,930     778,519
  Progressive Corp.  4,875,436     776,559
  Citigroup Inc. 14,953,711     769,219
  Chubb Ltd.  3,399,830     768,362
  CME Group Inc.  3,000,266     631,856
  Intercontinental Exchange Inc.  4,770,046     612,617
  US Bancorp 12,227,222     529,194
  PNC Financial Services Group Inc.  3,320,642     514,201
  KKR & Co. Inc.  5,530,308     458,186
  Truist Financial Corp. 11,115,666     410,390
  Arthur J Gallagher & Co.  1,798,514     404,450
  Aflac Inc.  4,869,670     401,748
  American International Group Inc.  5,848,826     396,258
  Travelers Cos. Inc.  1,903,050     362,512
  Bank of New York Mellon Corp.  6,407,348     333,502
  Ameriprise Financial Inc.    843,056     320,218
  Prudential Financial Inc.  3,007,660     311,924
  MetLife Inc.  4,624,741     305,834
  Allstate Corp.  2,180,070     305,166
  Discover Financial Services  2,081,346     233,943
* Arch Capital Group Ltd.  2,950,378     219,125
  Willis Towers Watson plc    859,155     207,228
  Hartford Financial Services Group Inc.  2,502,110     201,120
  T Rowe Price Group Inc.  1,859,233     200,221
  Fifth Third Bancorp  5,667,274     195,464
  Nasdaq Inc.  3,358,913     195,287
  M&T Bank Corp.  1,380,831     189,284
  State Street Corp.  2,438,454     188,883
  Raymond James Financial Inc.  1,568,230     174,858
  Cboe Global Markets Inc.    881,317     157,368
  Principal Financial Group Inc.  1,981,816     155,909
  Huntington Bancshares Inc. 12,097,196     153,876
  Regions Financial Corp.  7,729,317     149,794
* Markel Group Inc.    104,895     148,940
  Northern Trust Corp.  1,633,703     137,852
  Cincinnati Financial Corp.  1,310,609     135,596
  Everest Group Ltd.    362,372     128,127
  Citizens Financial Group Inc.  3,677,222     121,863
  W R Berkley Corp.  1,615,346     114,237
  KeyCorp.  7,822,410     112,643
  Fidelity National Financial Inc.  2,159,323     110,169
  Loews Corp.  1,490,905     103,752
  Franklin Resources Inc.  2,271,802      67,677
  Globe Life Inc.    373,107      45,415
 
31

 

Value Index Fund
    Shares Market
Value

($000)
  Corebridge Financial Inc.  1,837,147      39,793
  Interactive Brokers Group Inc. Class A    424,482      35,190
* Berkshire Hathaway Inc. Class A         52      28,217
*,1 Rocket Cos. Inc. Class A  1,056,553      15,299
  Annaly Capital Management Inc.         50           1
       29,888,197
Health Care (17.7%)
  UnitedHealth Group Inc.  7,708,539   4,058,315
  Johnson & Johnson 20,062,329   3,144,569
  Merck & Co. Inc. 21,118,349   2,302,322
  AbbVie Inc. 14,714,220   2,280,263
  Abbott Laboratories 14,468,487   1,592,546
  Pfizer Inc. 47,056,024   1,354,743
  Amgen Inc.  4,460,073   1,284,590
  Danaher Corp.  5,540,936   1,281,840
  Elevance Health Inc.  1,958,296     923,454
  Medtronic plc 11,085,341     913,210
  Bristol-Myers Squibb Co. 16,956,669     870,047
  Thermo Fisher Scientific Inc.  1,609,347     854,225
  Gilead Sciences Inc. 10,384,342     841,236
* Regeneron Pharmaceuticals Inc.    848,098     744,876
  Cigna Group  2,438,726     730,276
  Becton Dickinson & Co.  2,420,096     590,092
  Humana Inc.  1,026,045     469,734
  HCA Healthcare Inc.  1,673,083     452,870
* Centene Corp.  4,451,597     330,353
* Biogen Inc.  1,207,139     312,371
  GE Healthcare Inc.  3,221,704     249,102
  Zimmer Biomet Holdings Inc.  1,738,981     211,634
  Cardinal Health Inc.  2,051,077     206,749
* IQVIA Holdings Inc.    761,837     176,274
* Molina Healthcare Inc.    487,061     175,980
  Baxter International Inc.  4,217,325     163,042
  Laboratory Corp. of America Holdings    705,667     160,391
* Hologic Inc.  2,004,652     143,232
* Avantor Inc.  5,649,232     128,972
  Quest Diagnostics Inc.    933,420     128,700
  Revvity Inc.  1,030,826     112,680
  Viatris Inc. 10,020,671     108,524
  STERIS plc    412,695      90,731
  Royalty Pharma plc Class A  3,159,359      88,746
  Teleflex Inc.    196,426      48,977
* Henry Schein Inc.    545,780      41,321
* Bio-Rad Laboratories Inc. Class A     85,390      27,572
       27,594,559
Industrials (15.5%)
  Caterpillar Inc.  4,242,513   1,254,384
  Union Pacific Corp.  5,080,118   1,247,779
    Shares Market
Value

($000)
  General Electric Co.  9,068,929   1,157,467
  Honeywell International Inc.  5,493,619   1,152,067
  RTX Corp. 11,981,811   1,008,150
  United Parcel Service Inc. Class B (XNYS)  6,027,346     947,680
  Lockheed Martin Corp.  2,067,521     937,083
  Deere & Co.  2,160,060     863,743
  American Express Co.  4,554,646     853,267
  Eaton Corp. plc  3,327,101     801,232
  Illinois Tool Works Inc.  2,382,686     624,121
  CSX Corp. 16,464,239     570,815
* PayPal Holdings Inc.  8,981,219     551,537
  General Dynamics Corp.  2,046,383     531,384
  Northrop Grumman Corp.  1,130,771     529,359
  3M Co.  4,601,580     503,045
  Parker-Hannifin Corp.  1,070,393     493,130
  FedEx Corp.  1,884,993     476,847
  Trane Technologies plc  1,896,343     462,518
  Emerson Electric Co.  4,750,380     462,355
  Norfolk Southern Corp.  1,884,155     445,377
  PACCAR Inc.  4,359,190     425,675
  Carrier Global Corp.  6,992,079     401,695
  Capital One Financial Corp.  3,013,965     395,191
  L3Harris Technologies Inc.  1,578,713     332,509
* Fiserv Inc.  2,497,095     331,714
  United Rentals Inc.    564,717     323,820
  Johnson Controls International plc  5,504,808     317,297
  AMETEK Inc.  1,922,471     316,996
  Ferguson plc  1,628,237     314,364
  Otis Worldwide Corp.  3,409,622     305,059
  PPG Industries Inc.  1,963,857     293,695
  Cummins Inc.  1,180,725     282,866
  Global Payments Inc.  2,167,577     275,282
  Ingersoll Rand Inc. (XYNS)  3,370,946     260,709
  DuPont de Nemours Inc.  3,221,595     247,837
* Keysight Technologies Inc.  1,453,201     231,190
  Xylem Inc.  2,006,698     229,486
  Fidelity National Information Services Inc.  3,782,436     227,211
  Fortive Corp.  2,924,723     215,347
  Westinghouse Air Brake Technologies Corp.  1,490,427     189,135
  Dover Corp.  1,168,606     179,743
* FleetCor Technologies Inc.    572,390     161,763
  Expeditors International of Washington Inc.  1,214,379     154,469
  Ball Corp.  2,620,371     150,724
  Jacobs Solutions Inc.  1,052,602     136,628
  Synchrony Financial  3,455,203     131,954
  Textron Inc.  1,637,121     131,657
 
32

 

Value Index Fund
    Shares Market
Value

($000)
  Martin Marietta Materials Inc.    257,840     128,639
  Snap-on Inc.    440,917     127,354
  Stanley Black & Decker Inc.  1,280,693     125,636
  Masco Corp.  1,875,570     125,626
  Packaging Corp. of America    748,678     121,967
* Zebra Technologies Corp. Class A    429,016     117,263
  TransUnion  1,617,957     111,170
* Trimble Inc.  2,078,218     110,561
  Howmet Aerospace Inc.  1,719,880      93,080
  Veralto Corp.    977,086      80,375
  Hubbell Inc.    223,914      73,652
  Crown Holdings Inc.    504,268      46,438
  CH Robinson Worldwide Inc.    463,224      40,018
       24,139,135
Real Estate (3.2%)
  Prologis Inc.  7,699,291   1,026,315
  Crown Castle Inc.  3,614,173     416,317
  Simon Property Group Inc.  2,583,132     368,458
  Digital Realty Trust Inc.  2,523,524     339,616
  Extra Space Storage Inc.  1,759,609     282,118
  VICI Properties Inc.  8,615,323     274,656
* CBRE Group Inc. Class A  2,409,964     224,344
  AvalonBay Communities Inc.  1,181,976     221,290
  Weyerhaeuser Co.  6,074,385     211,206
  Equity Residential  3,000,384     183,503
  Alexandria Real Estate Equities Inc.  1,445,591     183,258
  Realty Income Corp.  3,021,946     173,520
  Iron Mountain Inc.  2,439,119     170,690
  Ventas Inc.  3,345,178     166,724
  Essex Property Trust Inc.    532,956     132,141
  Mid-America Apartment Communities Inc.    974,532     131,036
  WP Carey Inc.  1,826,293     118,362
  UDR Inc.  2,747,639     105,207
  Invitation Homes Inc.  2,555,322      87,162
  Host Hotels & Resorts Inc.  2,945,922      57,357
  Regency Centers Corp.    771,097      51,663
  Healthpeak Properties Inc.  2,286,450      45,272
  Camden Property Trust    223,100      22,152
* Zillow Group Inc. Class C    321,759      18,617
* Zillow Group Inc. Class A     82,341       4,670
  Boston Properties Inc.         15           1
    Shares Market
Value

($000)
  NET Lease Office Properties          1          —
        5,015,655
Technology (9.2%)
  Broadcom Inc.  3,698,330   4,128,261
  Intel Corp. 35,134,069   1,765,487
  Oracle Corp. 13,696,523   1,444,025
  QUALCOMM Inc.  9,274,559   1,341,380
  International Business Machines Corp.  7,608,813   1,244,421
  Analog Devices Inc.  4,134,606     820,967
  Micron Technology Inc.  9,149,113     780,785
  TE Connectivity Ltd.  2,588,104     363,629
  Cognizant Technology Solutions Corp. Class A  4,176,102     315,421
  CDW Corp.  1,115,416     253,556
  HP Inc.  7,399,214     222,642
  Corning Inc.  6,414,070     195,309
  Hewlett Packard Enterprise Co. 10,713,846     181,921
  Dell Technologies Inc. Class C  2,123,736     162,466
  NetApp Inc.  1,743,500     153,707
* ON Semiconductor Corp.  1,798,771     150,251
  Skyworks Solutions Inc.  1,335,842     150,175
* Akamai Technologies Inc.  1,259,496     149,061
* Western Digital Corp.  2,708,076     141,822
  SS&C Technologies Holdings Inc.  1,757,354     107,392
  Gen Digital Inc. (XNGS)  4,548,898     103,806
  Seagate Technology Holdings plc    829,871      70,846
  Leidos Holdings Inc.    574,274      62,159
* Qorvo Inc.    406,792      45,809
       14,355,298
Telecommunications (3.6%)
  Cisco Systems Inc. 30,477,940   1,539,746
  Comcast Corp. Class A 33,462,480   1,467,330
  Verizon Communications Inc. 31,532,920   1,188,791
  AT&T Inc. 59,587,750     999,882
  Motorola Solutions Inc.    690,653     216,237
* Charter Communications Inc. Class A    401,413     156,021
        5,568,007
Utilities (5.4%)
  NextEra Energy Inc. 16,864,519   1,024,351
  Southern Co.  9,096,359     637,837
  Duke Energy Corp.  6,425,489     623,529
  Waste Management Inc.  3,356,260     601,106
  Sempra  5,241,547     391,701
* PG&E Corp. 21,195,259     382,150
  American Electric Power Co. Inc.  4,291,613     348,565
  Dominion Energy Inc.  6,971,608     327,666
 
33

 

Value Index Fund
    Shares Market
Value

($000)
  Constellation Energy Corp.  2,661,094     311,055
  Exelon Corp.  8,280,879     297,284
  Xcel Energy Inc.  4,595,368     284,499
  Republic Services Inc.  1,703,041     280,848
  Consolidated Edison Inc.  2,871,187     261,192
  Public Service Enterprise Group Inc.  4,155,819     254,128
  Edison International  3,193,216     228,283
  WEC Energy Group Inc.  2,625,459     220,985
  American Water Works Co. Inc.  1,620,950     213,949
  Eversource Energy  2,903,479     179,203
  Entergy Corp.  1,766,192     178,721
  FirstEnergy Corp.  4,553,096     166,916
  PPL Corp.  6,155,782     166,822
  DTE Energy Co.  1,463,249     161,338
  Ameren Corp.  2,192,571     158,611
  CenterPoint Energy Inc.  5,257,899     150,218
  CMS Energy Corp.  2,436,605     141,494
  Alliant Energy Corp.  2,111,006     108,295
  AES Corp.  5,593,101     107,667
  Evergy Inc.  1,917,568     100,097
  NiSource Inc.  3,735,412      99,175
  Vistra Corp.  1,492,501      57,491
  Avangrid Inc.    648,504      21,018
        8,486,194
Total Common Stocks (Cost $122,266,469) 155,507,813
    Shares Market
Value

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 5.435% (Cost $244,904)  2,449,629            244,914
Total Investments (99.9%) (Cost $122,511,373) 155,752,727
Other Assets and Liabilities—Net (0.1%) 137,546
Net Assets (100%) 155,890,273
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 $40,620,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $45,367,000 was received for securities on loan, of which $45,356,000 is held in Vanguard Market Liquidity Fund and $11,000 is held in cash.
 

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.
    Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (1.7%)
  Linde plc    541,447    222,378
  Freeport-McMoRan Inc.  1,601,250     68,165
  Air Products and Chemicals Inc.    248,126     67,937
  Ecolab Inc.    286,558     56,839
  Newmont Corp.  1,286,322     53,241
  Nucor Corp.    274,517     47,777
  Dow Inc.    783,222     42,952
  Fastenal Co.    638,086     41,329
  LyondellBasell Industries NV Class A    289,770     27,551
  International Flavors & Fragrances Inc.    285,070     23,082
  Albemarle Corp.    131,046     18,933
  Celanese Corp.    121,552     18,886
  Avery Dennison Corp.     89,958     18,186
  CF Industries Holdings Inc.    213,350     16,961
  International Paper Co.    386,445     13,970
  Mosaic Co.    364,996     13,041
  Steel Dynamics Inc.     85,848     10,139
  Eastman Chemical Co.     66,138      5,940
  FMC Corp.     69,765      4,399
  Westlake Corp.     17,828      2,495
         774,201
Consumer Discretionary (14.2%)
* Amazon.com Inc. 10,385,417  1,577,960
* Tesla Inc.  3,017,241    749,724
  Home Depot Inc.  1,111,348    385,138
  Costco Wholesale Corp.    494,380    326,330
  Walmart Inc.  1,652,993    260,594
  McDonald's Corp.    809,926    240,151
* Netflix Inc.    488,743    237,959
  Walt Disney Co.  2,043,792    184,534
  NIKE Inc. Class B  1,366,784    148,392
  Lowe's Cos. Inc.    642,072    142,893
* Booking Holdings Inc.     38,962    138,207
* Uber Technologies Inc.  2,182,975    134,406
  Starbucks Corp.  1,269,284    121,864
  TJX Cos. Inc.  1,277,487    119,841
  Target Corp.    515,510     73,419
* Chipotle Mexican Grill Inc.     30,649     70,093
    Shares Market
Value

($000)
* Lululemon Athletica Inc.    128,813     65,861
  Marriott International Inc. Class A    278,764     62,864
* O'Reilly Automotive Inc.     66,061     62,763
* Airbnb Inc. Class A    412,693     56,184
  General Motors Co.  1,529,130     54,926
  Ford Motor Co.  4,390,604     53,522
  Ross Stores Inc.    378,133     52,330
  Hilton Worldwide Holdings Inc.    286,365     52,144
* AutoZone Inc.     19,686     50,900
  DR Horton Inc.    316,266     48,066
* Copart Inc.    965,023     47,286
  Lennar Corp. Class A    280,835     41,856
  Electronic Arts Inc.    300,310     41,085
  Yum! Brands Inc.    313,006     40,897
  Estee Lauder Cos. Inc. Class A    246,407     36,037
* Trade Desk Inc. Class A    498,343     35,861
  Dollar General Corp.    245,072     33,318
* Dollar Tree Inc.    233,389     33,153
* Royal Caribbean Cruises Ltd.    243,206     31,493
* Take-Two Interactive Software Inc.    189,897     30,564
  Delta Air Lines Inc.    718,498     28,905
* Aptiv plc    315,867     28,340
* Warner Bros Discovery Inc.  2,450,824     27,890
* Ulta Beauty Inc.     54,972     26,936
  Tractor Supply Co.    120,728     25,960
  eBay Inc.    579,581     25,281
* Roblox Corp. Class A    544,476     24,893
  PulteGroup Inc.    240,740     24,849
* NVR Inc.      3,369     23,585
* Expedia Group Inc.    148,890     22,600
  Darden Restaurants Inc.    134,346     22,073
  Garmin Ltd.    170,940     21,973
  Genuine Parts Co.    156,561     21,684
  Las Vegas Sands Corp.    426,833     21,004
* Carnival Corp.  1,125,039     20,858
* Rivian Automotive Inc. Class A    848,514     19,906
  Southwest Airlines Co.    665,682     19,225
  Omnicom Group Inc.    221,047     19,123
  Best Buy Co. Inc.    218,641     17,115
55

 

Large-Cap Index Fund
    Shares Market
Value

($000)
* Live Nation Entertainment Inc.    180,063     16,854
  Domino's Pizza Inc.     38,952     16,057
* United Airlines Holdings Inc.    364,790     15,051
  LKQ Corp.    298,820     14,281
  Rollins Inc.    324,366     14,165
* Burlington Stores Inc.     72,130     14,028
* MGM Resorts International    286,093     12,783
  News Corp. Class A    411,294     10,097
  Fox Corp. Class A    285,563      8,473
  Pool Corp.     20,514      8,179
  Interpublic Group of Cos. Inc.    213,655      6,974
* CarMax Inc.     88,712      6,808
  Warner Music Group Corp. Class A    139,067      4,977
  Paramount Global Class B    271,217      4,011
  Fox Corp. Class B    134,373      3,715
  News Corp. Class B    141,582      3,642
  Endeavor Group Holdings Inc. Class A    151,031      3,584
1 Sirius XM Holdings Inc.    642,896      3,517
*,1 Lucid Group Inc.    512,119      2,156
* Chewy Inc. Class A     57,055      1,348
  Lennar Corp. Class B      9,780      1,311
1 Paramount Global Class A      6,125        120
       6,456,946
Consumer Staples (4.9%)
  Procter & Gamble Co.  2,631,728    385,653
  PepsiCo Inc.  1,535,148    260,730
  Coca-Cola Co.  4,344,711    256,034
  Philip Morris International Inc.  1,733,441    163,082
  CVS Health Corp.  1,437,012    113,466
  Mondelez International Inc. Class A  1,519,607    110,065
  Altria Group Inc.  1,975,282     79,683
  Colgate-Palmolive Co.    919,331     73,280
  McKesson Corp.    148,589     68,794
* Monster Beverage Corp.    813,297     46,854
  Kimberly-Clark Corp.    377,360     45,853
  Archer-Daniels-Midland Co.    595,634     43,017
  General Mills Inc.    649,060     42,280
  Constellation Brands Inc. Class A    174,336     42,146
  Kenvue Inc.  1,924,352     41,431
  Sysco Corp.    563,245     41,190
  Cencora Inc.    189,304     38,879
  Corteva Inc.    787,107     37,718
  Keurig Dr Pepper Inc.  1,092,953     36,417
  Kroger Co.    722,888     33,043
  Kraft Heinz Co.    890,201     32,920
  Hershey Co.    167,372     31,205
  Church & Dwight Co. Inc.    275,131     26,016
    Shares Market
Value

($000)
  Walgreens Boots Alliance Inc.    771,849     20,153
  Clorox Co.    138,534     19,754
  Brown-Forman Corp. Class B    342,420     19,552
  McCormick & Co. Inc.    280,638     19,201
  Tyson Foods Inc. Class A    318,633     17,126
  Kellanova    306,025     17,110
  Conagra Brands Inc.    533,760     15,298
  J M Smucker Co.    112,612     14,232
  Hormel Foods Corp.    305,238      9,801
  Campbell Soup Co.    216,345      9,353
  Lamb Weston Holdings Inc.     80,764      8,730
  Albertsons Cos. Inc. Class A    354,394      8,151
  Molson Coors Beverage Co. Class B    100,975      6,181
  Brown-Forman Corp. Class A     60,618      3,612
       2,238,010
Energy (3.9%)
  Exxon Mobil Corp.  4,473,333    447,244
  Chevron Corp.  2,002,462    298,687
  ConocoPhillips  1,325,908    153,898
  Schlumberger NV  1,589,351     82,710
  EOG Resources Inc.    651,154     78,757
  Phillips 66    491,270     65,408
  Marathon Petroleum Corp.    424,000     62,905
  Pioneer Natural Resources Co.    260,496     58,580
  Valero Energy Corp.    380,168     49,422
  Williams Cos. Inc.  1,358,390     47,313
  ONEOK Inc.    650,263     45,661
  Hess Corp.    308,673     44,498
  Occidental Petroleum Corp.    737,256     44,022
  Cheniere Energy Inc.    252,750     43,147
  Baker Hughes Co.  1,123,410     38,398
  Kinder Morgan Inc.  2,109,603     37,213
  Halliburton Co.    899,748     32,526
  Devon Energy Corp.    715,446     32,410
  Diamondback Energy Inc.    199,842     30,991
  Coterra Energy Inc.    798,428     20,376
* First Solar Inc.    113,347     19,527
* Enphase Energy Inc.    144,855     19,141
  Marathon Oil Corp.    653,458     15,788
  EQT Corp.    229,672      8,879
  Texas Pacific Land Corp.      3,430      5,394
       1,782,895
Financials (10.2%)
* Berkshire Hathaway Inc. Class B  1,961,629    699,635
  JPMorgan Chase & Co.  3,228,211    549,119
  Bank of America Corp.  7,511,106    252,899
  Wells Fargo & Co.  4,055,225    199,598
  S&P Global Inc.    353,746    155,832
 
56

 

Large-Cap Index Fund
    Shares Market
Value

($000)
  Goldman Sachs Group Inc.    364,127    140,469
  Morgan Stanley  1,374,524    128,174
  BlackRock Inc.    149,492    121,358
  Charles Schwab Corp.  1,582,802    108,897
  Citigroup Inc.  2,030,147    104,431
  Marsh & McLennan Cos. Inc.    550,547    104,312
  Progressive Corp.    653,278    104,054
  Blackstone Inc.    793,423    103,875
  Chubb Ltd.    455,540    102,952
  CME Group Inc.    401,946     84,650
  Intercontinental Exchange Inc.    639,068     82,075
  US Bancorp  1,738,666     75,249
  PNC Financial Services Group Inc.    444,817     68,880
  Moody's Corp.    173,686     67,835
  Aon plc Class A (XNYS)    212,388     61,809
  KKR & Co. Inc.    741,155     61,405
  Truist Financial Corp.  1,489,251     54,983
  Arthur J Gallagher & Co.    241,073     54,212
  Aflac Inc.    652,495     53,831
  American International Group Inc.    783,864     53,107
  Travelers Cos. Inc.    255,011     48,577
  MSCI Inc.     83,901     47,459
  Bank of New York Mellon Corp.    858,705     44,696
  Ameriprise Financial Inc.    113,003     42,922
  Prudential Financial Inc.    403,119     41,807
  Apollo Global Management Inc.    443,522     41,332
  MetLife Inc.    619,894     40,994
  Allstate Corp.    292,213     40,904
  Discover Financial Services    279,218     31,384
* Berkshire Hathaway Inc. Class A         57     30,930
* Coinbase Global Inc. Class A    171,556     29,837
* Arch Capital Group Ltd.    395,851     29,400
  Willis Towers Watson plc    115,299     27,810
  Broadridge Financial Solutions Inc.    131,443     27,044
  Hartford Financial Services Group Inc.    335,823     26,993
  T Rowe Price Group Inc.    249,546     26,874
  Fifth Third Bancorp    760,586     26,233
  Nasdaq Inc.    450,959     26,219
  M&T Bank Corp.    185,341     25,406
  State Street Corp.    327,361     25,357
  Raymond James Financial Inc.    209,660     23,377
  Ares Management Corp. Class A    186,525     22,182
  Cboe Global Markets Inc.    117,843     21,042
    Shares Market
Value

($000)
  Principal Financial Group Inc.    266,248     20,946
  Huntington Bancshares Inc.  1,617,206     20,571
  FactSet Research Systems Inc.     42,387     20,221
  Regions Financial Corp.  1,038,666     20,129
* Markel Group Inc.     14,022     19,910
  LPL Financial Holdings Inc.     84,442     19,221
  Northern Trust Corp.    219,626     18,532
  Cincinnati Financial Corp.    175,225     18,129
  Everest Group Ltd.     48,446     17,129
  Citizens Financial Group Inc.    494,642     16,392
  W R Berkley Corp.    215,970     15,273
  KeyCorp.  1,045,670     15,058
  Fidelity National Financial Inc.    288,765     14,733
  Loews Corp.    199,379     13,875
  Tradeweb Markets Inc. Class A    128,108     11,642
  Interactive Brokers Group Inc. Class A    113,526      9,411
  Franklin Resources Inc.    303,789      9,050
  Brown & Brown Inc.    127,133      9,040
  Globe Life Inc.     49,854      6,068
  Corebridge Financial Inc.    245,194      5,311
* Rocket Cos. Inc. Class A    141,337      2,047
       4,645,108
Health Care (12.0%)
  Eli Lilly & Co.    954,031    556,124
  UnitedHealth Group Inc.  1,032,792    543,734
  Johnson & Johnson  2,688,049    421,325
  Merck & Co. Inc.  2,829,587    308,482
  AbbVie Inc.  1,971,456    305,517
  Thermo Fisher Scientific Inc.    431,420    228,993
  Abbott Laboratories  1,938,513    213,372
  Pfizer Inc.  6,304,964    181,520
  Amgen Inc.    597,595    172,119
  Danaher Corp.    742,565    171,785
* Intuitive Surgical Inc.    393,133    132,627
  Elevance Health Inc.    262,374    123,725
  Medtronic plc  1,485,261    122,356
* Vertex Pharmaceuticals Inc.    287,741    117,079
  Bristol-Myers Squibb Co.  2,272,148    116,584
  Stryker Corp.    381,779    114,328
  Gilead Sciences Inc.  1,391,368    112,715
* Regeneron Pharmaceuticals Inc.    113,645     99,813
  Cigna Group    326,762     97,849
* Boston Scientific Corp.  1,635,791     94,565
  Zoetis Inc.    461,414     91,069
  Becton Dickinson & Co.    324,263     79,065
  Humana Inc.    137,474     62,937
  HCA Healthcare Inc.    224,170     60,678
 
57

 

Large-Cap Index Fund
    Shares Market
Value

($000)
* DexCom Inc.    431,575     53,554
* Edwards Lifesciences Corp.    677,240     51,640
* IDEXX Laboratories Inc.     92,740     51,475
* IQVIA Holdings Inc.    203,762     47,146
  Agilent Technologies Inc.    326,283     45,363
* Centene Corp.    596,556     44,270
* Biogen Inc.    161,794     41,867
* Moderna Inc.    383,158     38,105
  GE Healthcare Inc.    432,090     33,409
  West Pharmaceutical Services Inc.     82,618     29,091
  Zimmer Biomet Holdings Inc.    233,341     28,398
* Veeva Systems Inc. Class A    146,925     28,286
  ResMed Inc.    164,253     28,255
  Cardinal Health Inc.    275,263     27,747
* Alnylam Pharmaceuticals Inc.    140,144     26,825
* Illumina Inc.    177,318     24,690
  STERIS plc    110,327     24,255
* Molina Healthcare Inc.     65,113     23,526
* Align Technology Inc.     81,251     22,263
  Baxter International Inc.    566,469     21,900
  Laboratory Corp. of America Holdings     94,815     21,551
  Cooper Cos. Inc.     55,303     20,929
* BioMarin Pharmaceutical Inc.    210,345     20,281
* Hologic Inc.    267,994     19,148
  Quest Diagnostics Inc.    125,556     17,312
* Avantor Inc.    755,219     17,242
* Insulet Corp.     77,972     16,918
  Revvity Inc.    137,904     15,074
  Viatris Inc.  1,339,573     14,508
* Incyte Corp.    212,730     13,357
  Royalty Pharma plc Class A    422,348     11,864
  Teleflex Inc.     26,278      6,552
* Henry Schein Inc.     72,814      5,513
* Bio-Rad Laboratories Inc. Class A     11,429      3,690
*,2 ABIOMED Inc. CVR         12         —
       5,424,365
Industrials (11.9%)
  Visa Inc. Class A  1,614,874    420,432
  Mastercard Inc. Class A    934,951    398,766
  Accenture plc Class A    700,820    245,925
* Boeing Co.    675,526    176,083
  Caterpillar Inc.    568,465    168,078
  Union Pacific Corp.    680,694    167,192
  General Electric Co.  1,215,307    155,110
  Honeywell International Inc.    736,143    154,377
  RTX Corp.  1,605,620    135,097
  United Parcel Service Inc. Class B (XNYS)    807,611    126,981
  Lockheed Martin Corp.    277,039    125,565
  Deere & Co.    289,434    115,736
  American Express Co.    610,287    114,331
    Shares Market
Value

($000)
  Eaton Corp. plc    445,872    107,375
  Automatic Data Processing Inc.    459,269    106,996
* Fiserv Inc.    670,006     89,004
  Illinois Tool Works Inc.    319,201     83,611
  Sherwin-Williams Co.    257,240     80,233
  CSX Corp.  2,206,639     76,504
* PayPal Holdings Inc.  1,203,779     73,924
  General Dynamics Corp.    274,257     71,216
  Northrop Grumman Corp.    151,504     70,925
  3M Co.    616,776     67,426
  Parker-Hannifin Corp.    143,465     66,094
  FedEx Corp.    252,654     63,914
  Trane Technologies plc    254,141     61,985
  Emerson Electric Co.    636,567     61,957
  Norfolk Southern Corp.    252,460     59,676
  TransDigm Group Inc.     58,679     59,360
  Cintas Corp.     96,678     58,264
  PACCAR Inc.    584,096     57,037
  Carrier Global Corp.    936,889     53,824
  Capital One Financial Corp.    403,966     52,968
* Block Inc. (XNYS)    618,086     47,809
  L3Harris Technologies Inc.    211,650     44,578
  Old Dominion Freight Line Inc.    109,662     44,449
  Ferguson plc    227,314     43,888
  Johnson Controls International plc    759,592     43,783
  United Rentals Inc.     75,691     43,403
  Paychex Inc.    363,045     43,242
  AMETEK Inc.    257,705     42,493
  WW Grainger Inc.     49,884     41,338
  Otis Worldwide Corp.    457,034     40,891
  Rockwell Automation Inc.    128,043     39,755
  Fidelity National Information Services Inc.    661,450     39,733
  PPG Industries Inc.    263,313     39,378
  Verisk Analytics Inc.    161,887     38,668
  Cummins Inc.    158,284     37,920
  Global Payments Inc.    290,666     36,915
  Quanta Services Inc.    162,245     35,012
  Ingersoll Rand Inc. (XYNS)    452,033     34,960
  Martin Marietta Materials Inc.     69,000     34,425
  Equifax Inc.    137,596     34,026
  Vulcan Materials Co.    148,329     33,672
  DuPont de Nemours Inc.    432,201     33,249
* Keysight Technologies Inc.    194,963     31,017
  Xylem Inc.    269,208     30,787
* Fair Isaac Corp.     26,201     30,498
* Mettler-Toledo International Inc.     24,212     29,368
  Fortive Corp.    392,441     28,895
 
58

 

Large-Cap Index Fund
    Shares Market
Value

($000)
  Westinghouse Air Brake Technologies Corp.    200,081     25,390
  Dover Corp.    156,237     24,031
* Teledyne Technologies Inc.     52,689     23,515
* Waters Corp.     66,020     21,736
* FleetCor Technologies Inc.     76,546     21,633
  Veralto Corp.    261,242     21,490
  Expeditors International of Washington Inc.    162,359     20,652
  Ball Corp.    352,141     20,255
  JB Hunt Transport Services Inc.     92,222     18,420
  Jacobs Solutions Inc.    140,731     18,267
  Synchrony Financial    461,947     17,642
  Textron Inc.    218,898     17,604
  Snap-on Inc.     58,889     17,009
  Masco Corp.    251,003     16,812
  Stanley Black & Decker Inc.    171,212     16,796
  Packaging Corp. of America    100,082     16,304
* Zebra Technologies Corp. Class A     57,358     15,678
  TransUnion    216,308     14,863
* Trimble Inc.    277,819     14,780
  Howmet Aerospace Inc.    229,934     12,444
  HEICO Corp. Class A     83,611     11,910
  Hubbell Inc.     29,940      9,848
  HEICO Corp.     46,071      8,241
  Jack Henry & Associates Inc.     40,614      6,637
  Crown Holdings Inc.     67,356      6,203
  CH Robinson Worldwide Inc.     61,980      5,354
* Bill Holdings Inc.     56,711      4,627
*,1 Symbotic Inc.     27,502      1,412
       5,379,671
Real Estate (2.5%)
  Prologis Inc.  1,031,610    137,513
  American Tower Corp.    520,536    112,373
  Equinix Inc.    104,837     84,435
  Welltower Inc.    620,912     55,987
  Crown Castle Inc.    484,262     55,782
  Public Storage    176,698     53,893
  Simon Property Group Inc.    346,095     49,367
  Realty Income Corp.    808,201     46,407
  Digital Realty Trust Inc.    338,169     45,511
* CoStar Group Inc.    456,013     39,851
  Extra Space Storage Inc.    235,920     37,825
  VICI Properties Inc.  1,155,076     36,824
  SBA Communications Corp.    120,467     30,561
* CBRE Group Inc. Class A    323,356     30,101
  AvalonBay Communities Inc.    158,572     29,688
  Weyerhaeuser Co.    815,148     28,343
  Equity Residential    402,809     24,636
    Shares Market
Value

($000)
  Alexandria Real Estate Equities Inc.    194,051     24,600
  Invitation Homes Inc.    683,400     23,311
  Iron Mountain Inc.    326,071     22,818
  Ventas Inc.    449,336     22,395
  Sun Communities Inc.    138,959     18,572
  Essex Property Trust Inc.     71,675     17,771
  Mid-America Apartment Communities Inc.    130,296     17,519
  WP Carey Inc.    244,142     15,823
  UDR Inc.    367,660     14,078
  Host Hotels & Resorts Inc.    393,849      7,668
  Regency Centers Corp.    103,161      6,912
  Healthpeak Properties Inc.    305,906      6,057
  Camden Property Trust     59,697      5,927
* Zillow Group Inc. Class C     86,428      5,001
* Zillow Group Inc. Class A     21,769      1,235
       1,108,784
Technology (33.7%)
  Apple Inc. 16,498,566  3,176,469
  Microsoft Corp.  8,299,114  3,120,799
  NVIDIA Corp.  2,620,188  1,297,569
* Alphabet Inc. Class A  6,601,708    922,193
* Meta Platforms Inc. Class A  2,478,497    877,289
* Alphabet Inc. Class C  5,440,442    766,721
  Broadcom Inc.    495,549    553,156
* Adobe Inc.    508,401    303,312
* Salesforce Inc.  1,032,163    271,603
* Advanced Micro Devices Inc.  1,803,924    265,916
  Intel Corp.  4,707,684    236,561
  Oracle Corp.  1,835,303    193,496
  Intuit Inc.    297,301    185,822
  QUALCOMM Inc.  1,242,826    179,750
  Texas Instruments Inc.  1,014,134    172,869
  International Business Machines Corp.  1,019,586    166,753
* ServiceNow Inc.    228,903    161,718
  Applied Materials Inc.    934,110    151,391
  Lam Research Corp.    147,169    115,272
  Analog Devices Inc.    554,148    110,032
  Micron Technology Inc.  1,226,094    104,635
* Palo Alto Networks Inc.    352,059    103,815
  KLA Corp.    151,789     88,235
* Synopsys Inc.    169,816     87,440
* Cadence Design Systems Inc.    303,800     82,746
  Amphenol Corp. Class A    668,089     66,228
* Snowflake Inc. Class A    331,311     65,931
  Roper Technologies Inc.    119,268     65,021
* Crowdstrike Holdings Inc. Class A    252,409     64,445
* Workday Inc. Class A    231,146     63,810
* Autodesk Inc.    238,705     58,120
  Marvell Technology Inc.    963,470     58,107
 
59

 

Large-Cap Index Fund
    Shares Market
Value

($000)
  Microchip Technology Inc.    604,189     54,486
  TE Connectivity Ltd.    347,042     48,759
* Fortinet Inc.    728,874     42,661
  Cognizant Technology Solutions Corp. Class A    559,857     42,286
* Atlassian Corp. Ltd. Class A    173,101     41,174
* ON Semiconductor Corp.    480,949     40,174
* Palantir Technologies Inc. Class A  2,195,259     37,693
* Gartner Inc.     82,691     37,303
* Datadog Inc. Class A    303,666     36,859
* ANSYS Inc.     97,013     35,204
* DoorDash Inc. Class A    351,864     34,796
  CDW Corp.    149,590     34,005
  Monolithic Power Systems Inc.     50,830     32,062
* HubSpot Inc.     53,388     30,994
* MongoDB Inc.     75,683     30,943
  HP Inc.    993,143     29,884
* Splunk Inc.    188,186     28,670
* Cloudflare Inc. Class A    313,911     26,136
  Corning Inc.    857,496     26,111
  Hewlett Packard Enterprise Co.  1,432,468     24,323
* Pinterest Inc. Class A    654,749     24,252
* Zscaler Inc.     98,607     21,847
  Dell Technologies Inc. Class C    283,927     21,720
  NetApp Inc.    233,129     20,553
  Skyworks Solutions Inc.    178,623     20,081
* VeriSign Inc.     96,912     19,960
* Akamai Technologies Inc.    168,402     19,930
* Snap Inc. Class A  1,165,960     19,740
* Tyler Technologies Inc.     47,045     19,670
* EPAM Systems Inc.     64,438     19,160
* Western Digital Corp.    362,050     18,960
  Seagate Technology Holdings plc    221,903     18,944
* Zoom Video Communications Inc. Class A    259,073     18,630
  Teradyne Inc.    170,750     18,530
* GoDaddy Inc. Class A    157,259     16,695
* Okta Inc.    175,039     15,846
* Twilio Inc. Class A    192,060     14,572
  SS&C Technologies Holdings Inc.    234,868     14,353
  Gen Digital Inc. (XNGS)    608,170     13,878
  Bentley Systems Inc. Class B    254,085     13,258
* Unity Software Inc.    297,062     12,147
  Paycom Software Inc.     57,114     11,807
  Leidos Holdings Inc.     76,781      8,311
* DocuSign Inc.    113,631      6,755
* Qorvo Inc.     54,281      6,113
* Match Group Inc.    151,990      5,548
      15,273,007
    Shares Market
Value

($000)
Telecommunications (2.2%)
  Cisco Systems Inc.  4,083,649    206,306
  Comcast Corp. Class A  4,484,113    196,628
  Verizon Communications Inc.  4,224,999    159,283
  AT&T Inc.  7,984,088    133,973
  T-Mobile US Inc.    581,107     93,169
* Arista Networks Inc.    277,873     65,442
  Motorola Solutions Inc.    185,328     58,024
* Charter Communications Inc. Class A    107,365     41,731
* Liberty Broadband Corp. Class C    132,890     10,710
* Roku Inc.     69,838      6,401
* Liberty Broadband Corp. Class A     18,691      1,507
         973,174
Utilities (2.6%)
  NextEra Energy Inc.  2,259,777    137,259
  Southern Co.  1,218,790     85,462
  Duke Energy Corp.    860,860     83,538
  Waste Management Inc.    449,724     80,546
  Sempra    702,722     52,514
  PG&E Corp.  2,837,604     51,162
  American Electric Power Co. Inc.    575,222     46,719
  Dominion Energy Inc.    934,392     43,916
  Waste Connections Inc. (XTSE)    287,704     42,946
  Constellation Energy Corp.    356,641     41,688
  Exelon Corp.  1,110,114     39,853
  Xcel Energy Inc.    616,085     38,142
  Republic Services Inc.    228,344     37,656
  Consolidated Edison Inc.    385,097     35,032
  Public Service Enterprise Group Inc.    557,354     34,082
  Edison International    428,366     30,624
  WEC Energy Group Inc.    352,254     29,649
  American Water Works Co. Inc.    217,461     28,703
  Eversource Energy    389,824     24,060
  Entergy Corp.    236,113     23,892
  FirstEnergy Corp.    608,721     22,316
  PPL Corp.    823,014     22,304
  DTE Energy Co.    195,632     21,570
  Ameren Corp.    293,126     21,205
  CenterPoint Energy Inc.    702,889     20,081
  CMS Energy Corp.    325,754     18,916
  Alliant Energy Corp.    282,215     14,478
  AES Corp.    747,748     14,394
  Evergy Inc.    256,343     13,381
  NiSource Inc.    499,308     13,257
  Vistra Corp.    199,579      7,688
  Avangrid Inc.     86,771      2,812
       1,179,845
Total Common Stocks (Cost $23,947,666) 45,236,006
 
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.
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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.
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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
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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
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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.).
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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:  
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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
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.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial
 
1  Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

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

 

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

 

Connect with Vanguard®>vanguard.com
Fund Information > 800-662-7447
Direct Investor Account Services > 800-662-2739
Institutional Investor Services > 800-523-1036
Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg indexes: Bloomberg Index Services Limited. Copyright 2024, Bloomberg. All rights reserved.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q03070 022024

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
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.
          Shares Market
Value

($000)
Common Stocks (99.7%)
Basic Materials (2.0%)
Linde plc  15,215,421     6,249,126
Freeport-McMoRan Inc.  45,082,646     1,919,168
Air Products and Chemicals Inc.   6,979,284     1,910,928
Ecolab Inc.   8,053,649     1,597,441
Newmont Corp.  36,198,394     1,498,252
Nucor Corp.   7,718,789     1,343,378
Dow Inc.  22,036,942     1,208,506
Fastenal Co.  17,917,428     1,160,512
LyondellBasell Industries NV Class A   8,127,069       772,722
International Flavors & Fragrances Inc.   8,010,123       648,580
Steel Dynamics Inc.   4,832,756       570,748
1 Albemarle Corp.   3,684,336       532,313
Celanese Corp. Class A   3,416,179       530,772
Avery Dennison Corp.   2,526,465       510,750
Reliance Steel & Aluminum Co.   1,798,844       503,101
CF Industries Holdings Inc.   5,986,618       475,936
International Paper Co.  10,843,662       391,998
Mosaic Co.  10,297,765       367,939
Eastman Chemical Co.   3,720,535       334,178
* Cleveland-Cliffs Inc.  15,908,609       324,854
United States Steel Corp.   6,284,695       305,750
* RBC Bearings Inc.     912,100       259,848
Royal Gold Inc.   2,060,474       249,235
FMC Corp.   3,919,469       247,123
UFP Industries Inc.   1,836,357       230,555
Olin Corp.   3,848,168       207,609
Hexcel Corp.   2,646,399       195,172
Alcoa Corp.   5,603,401       190,516
          Shares Market
Value

($000)
Commercial Metals Co.   3,662,937       183,293
Element Solutions Inc.   7,229,788       167,297
Timken Co.   2,004,759       160,681
Boise Cascade Co.   1,241,371       160,584
Mueller Industries Inc.   3,390,170       159,847
* Valvoline Inc.   4,119,701       154,818
Balchem Corp.   1,012,353       150,587
Cabot Corp.   1,763,060       147,215
Chemours Co.   4,653,687       146,777
Westlake Corp.   1,000,421       140,019
Huntsman Corp.   5,311,450       133,477
Ashland Inc.   1,467,336       123,711
NewMarket Corp.     224,986       122,804
Avient Corp.   2,861,511       118,953
Carpenter Technology Corp.   1,463,624       103,625
*,1 Livent Corp.   5,630,396       101,235
Innospec Inc.     778,885        95,990
Quaker Chemical Corp.     424,919        90,686
* MP Materials Corp.   4,501,073        89,346
Hecla Mining Co.  18,440,684        88,700
Sensient Technologies Corp.   1,320,575        87,158
Materion Corp.     647,108        84,208
Scotts Miracle-Gro Co.   1,318,584        84,060
* Uranium Energy Corp.  11,824,178        75,675
Minerals Technologies Inc.   1,019,510        72,701
Stepan Co.     666,767        63,043
Sylvamo Corp.   1,141,927        56,080
Tronox Holdings plc   3,731,007        52,831
* Ingevity Corp.   1,026,403        48,467
Hawkins Inc.     588,517        41,443
* Coeur Mining Inc.  11,385,405        37,116
Kaiser Aluminum Corp.     500,346        35,620
*,1 Energy Fuels Inc.   4,709,210        33,859
8

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Compass Minerals International Inc.   1,294,205        32,769
Ryerson Holding Corp.     910,099        31,562
Koppers Holdings Inc.     600,901        30,778
* TimkenSteel Corp.   1,299,552        30,474
* Ecovyst Inc.   3,093,311        30,222
* Worthington Steel Inc.   1,022,823        28,741
Mativ Holdings Inc.   1,711,358        26,201
* US Silica Holdings Inc.   2,293,847        25,943
AdvanSix Inc.     806,395        24,160
Schnitzer Steel Industries Inc. Class A     765,690        23,093
*,1 LanzaTech Global Inc.   4,424,472        22,255
Haynes International Inc.     351,719        20,066
* Century Aluminum Co.   1,585,067        19,243
Olympic Steel Inc.     285,467        19,041
* Clearwater Paper Corp.     486,081        17,557
* LSB Industries Inc.   1,753,855        16,328
*,1 Piedmont Lithium Inc.     564,685        15,941
GrafTech International Ltd.   5,984,730        13,107
*,1 Ur-Energy Inc.   8,257,023        12,716
American Vanguard Corp.     890,572         9,770
* Northwest Pipe Co.     283,882         8,590
* Rayonier Advanced Materials Inc.   2,021,725         8,188
*,1 American Battery Technology Co.   1,618,965         7,593
* Alto Ingredients Inc.   2,655,238         7,063
* Intrepid Potash Inc.     295,437         7,058
Omega Flex Inc.      89,349         6,300
*,1 NN Inc.   1,558,286         6,233
FutureFuel Corp.     789,526         4,800
* Universal Stainless & Alloy Products Inc.     231,105         4,641
Tredegar Corp.     804,870         4,354
*,1 Dakota Gold Corp.   1,569,599         4,112
Eastern Co.     163,220         3,591
Northern Technologies International Corp.     303,498         3,575
* Unifi Inc.     515,832         3,435
Friedman Industries Inc.     206,261         3,189
*,1 Origin Materials Inc.   3,032,849         2,536
* Glatfelter Corp.   1,272,895         2,469
* Idaho Strategic Resources Inc.     277,137         1,755
          Shares Market
Value

($000)
* Culp Inc.     296,017         1,714
* Perma-Pipe International Holdings Inc.     203,835         1,588
* Gold Resource Corp.   3,809,091         1,432
*,1 5E Advanced Materials Inc.     965,874         1,362
*,1 Comstock Inc.   2,159,157         1,183
* Ascent Industries Co.     120,516         1,152
*,1 Hycroft Mining Holding Corp. Class A     460,846         1,129
* Ampco-Pittsburgh Corp.     366,153         1,000
* CPS Technologies Corp.     412,694           970
*,1 Contango ORE Inc.      53,430           968
*,1 Westwater Resources Inc.   1,414,240           799
* US Gold Corp.     174,184           740
* Solitario Resources Corp.   1,173,263           657
* United States Antimony Corp.   2,524,776           629
United-Guardian Inc.      75,085           541
Flexible Solutions International Inc.     277,169           529
Chicago Rivet & Machine Co.      28,369           482
* Paramount Gold Nevada Corp.   1,223,263           459
*,1 NioCorp Developments Ltd.     103,592           330
* TechPrecision Corp.       3,764            19
                       28,706,048
Consumer Discretionary (14.4%)
* Amazon.com Inc. 291,936,043    44,356,762
* Tesla Inc.  84,816,985    21,075,324
Home Depot Inc.  31,218,717    10,818,846
Costco Wholesale Corp.  13,892,935     9,170,449
Walmart Inc.  46,447,762     7,322,490
McDonald's Corp.  22,754,516     6,746,942
* Netflix Inc.  13,739,236     6,689,359
Walt Disney Co.  57,449,775     5,187,140
NIKE Inc. Class B  38,409,213     4,170,088
Lowe's Cos. Inc.  18,036,282     4,013,975
* Booking Holdings Inc.   1,094,935     3,883,975
* Uber Technologies Inc.  61,378,590     3,779,080
Starbucks Corp.  35,668,244     3,424,508
TJX Cos. Inc.  35,865,717     3,364,563
Target Corp.  14,503,189     2,065,544
* Chipotle Mexican Grill Inc. Class A     861,707     1,970,689
 
9

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Lululemon Athletica Inc.   3,621,016     1,851,389
Marriott International Inc. Class A   7,831,299     1,766,036
* O'Reilly Automotive Inc.   1,856,750     1,764,061
* Airbnb Inc. Class A  11,603,011     1,579,634
General Motors Co.  42,988,371     1,544,142
Ford Motor Co. 123,346,777     1,503,597
Ross Stores Inc.  10,632,855     1,471,481
Hilton Worldwide Holdings Inc.   8,044,785     1,464,875
* AutoZone Inc.     553,650     1,431,523
DR Horton Inc.   8,890,780     1,351,221
* Copart Inc.  27,162,623     1,330,969
Electronic Arts Inc.   8,428,919     1,153,160
Yum! Brands Inc.   8,615,694     1,125,727
Lennar Corp. Class A   7,200,290     1,073,131
Estee Lauder Cos. Inc. Class A   6,943,908     1,015,547
* Trade Desk Inc. Class A  13,988,530     1,006,615
Dollar General Corp.   6,882,039       935,613
* Dollar Tree Inc.   6,559,655       931,799
* Royal Caribbean Cruises Ltd.   6,831,605       884,625
* Take-Two Interactive Software Inc.   5,345,755       860,399
Delta Air Lines Inc.  20,229,400       813,829
* Aptiv plc   8,870,401       795,852
* Warner Bros Discovery Inc.  68,851,450       783,530
* Ulta Beauty Inc.   1,542,479       755,799
Tractor Supply Co.   3,384,809       727,835
eBay Inc.  16,296,611       710,858
* ROBLOX Corp. Class A  15,333,999       701,070
PulteGroup Inc.   6,770,519       698,853
* NVR Inc.      94,646       662,565
* Expedia Group Inc.   4,184,092       635,103
Darden Restaurants Inc.   3,778,732       620,846
Garmin Ltd.   4,799,393       616,914
Genuine Parts Co.   4,399,266       609,298
Las Vegas Sands Corp.  11,991,371       590,095
* Carnival Corp.  31,549,608       584,930
*,1 Rivian Automotive Inc. Class A  23,958,696       562,071
Southwest Airlines Co.  18,726,088       540,809
* Deckers Outdoor Corp.     807,182       539,545
Omnicom Group Inc.   6,191,015       535,585
Best Buy Co. Inc.   6,139,256       480,581
          Shares Market
Value

($000)
* Live Nation Entertainment Inc.   5,052,970       472,958
* DraftKings Inc. Class A  13,217,995       465,934
Pool Corp.   1,147,912       457,684
Domino's Pizza Inc.   1,094,404       451,146
* United Airlines Holdings Inc.  10,224,231       421,852
Williams-Sonoma Inc.   2,012,187       406,019
LKQ Corp.   8,351,964       399,140
Rollins Inc.   9,124,902       398,484
* Burlington Stores Inc.   2,034,277       395,626
Interpublic Group of Cos. Inc.  12,043,183       393,089
* Liberty Media Corp.-Liberty Formula One Class C   6,077,070       383,645
RB Global Inc.   5,710,362       381,966
* CarMax Inc.   4,955,768       380,306
* MGM Resorts International   8,085,523       361,261
* Five Below Inc.   1,666,492       355,229
* Floor & Decor Holdings Inc. Class A   3,162,187       352,774
News Corp. Class A  14,006,314       343,855
Toll Brothers Inc.   3,331,799       342,476
Bath & Body Works Inc.   7,168,673       309,400
* Etsy Inc.   3,773,821       305,868
Service Corp. International   4,406,219       301,606
* Caesars Entertainment Inc.   6,410,374       300,518
Churchill Downs Inc.   2,114,407       285,297
Lithia Motors Inc. Class A     865,940       285,137
* BJ's Wholesale Club Holdings Inc.   4,208,555       280,542
* American Airlines Group Inc.  20,378,081       279,995
Wynn Resorts Ltd.   3,030,566       276,115
*,1 Norwegian Cruise Line Holdings Ltd.  13,328,790       267,109
BorgWarner Inc.   7,382,471       264,662
* Skechers USA Inc. Class A   4,217,465       262,917
Tapestry Inc.   7,111,533       261,776
Tempur Sealy International Inc.   5,132,344       261,596
Lear Corp.   1,833,914       258,967
Texas Roadhouse Inc. Class A   2,095,682       256,155
Dick's Sporting Goods Inc.   1,739,677       255,646
Vail Resorts Inc.   1,186,089       253,194
 
10

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Duolingo Inc. Class A   1,071,029       242,963
Gentex Corp.   7,327,970       239,332
New York Times Co. Class A   4,875,072       238,830
* elf Beauty Inc.   1,652,157       238,472
Wingstop Inc.     918,383       235,639
Fox Corp. Class A   7,930,900       235,310
1 Paramount Global Class B  15,711,631       232,375
PVH Corp.   1,900,473       232,086
* Light & Wonder Inc.   2,812,778       230,957
Aramark   8,180,487       229,872
* SiteOne Landscape Supply Inc.   1,411,044       229,295
H&R Block Inc.   4,473,759       216,396
U-Haul Holding Co. (XNYS)   3,069,293       216,201
Murphy USA Inc.     598,740       213,487
Hasbro Inc.   4,131,857       210,973
* Mattel Inc.  11,159,843       210,698
Whirlpool Corp.   1,718,083       209,211
Wyndham Hotels & Resorts Inc.   2,577,810       207,282
VF Corp.  10,997,472       206,752
Meritage Homes Corp.   1,145,598       199,563
* Planet Fitness Inc. Class A   2,703,668       197,368
Thor Industries Inc.   1,593,564       188,439
* Capri Holdings Ltd.   3,629,883       182,365
Hyatt Hotels Corp. Class A   1,396,805       182,157
Macy's Inc.   8,588,334       172,797
* Taylor Morrison Home Corp. Class A   3,213,724       171,452
*,1 Carvana Co. Class A   3,232,170       171,111
* Wayfair Inc. Class A   2,765,509       170,632
* Bright Horizons Family Solutions Inc.   1,808,279       170,412
* Crocs Inc.   1,785,218       166,757
Ralph Lauren Corp. Class A   1,123,334       161,985
* Liberty Media Corp.-Liberty SiriusXM   5,594,991       161,024
Polaris Inc.   1,697,142       160,838
* AutoNation Inc.   1,069,274       160,584
Nexstar Media Group Inc. Class A   1,008,662       158,108
TKO Group Holdings Inc. Class A   1,934,052       157,780
Academy Sports & Outdoors Inc.   2,370,224       156,435
* Alaska Air Group Inc.   3,991,774       155,959
* Coty Inc. Class A  12,536,072       155,698
          Shares Market
Value

($000)
* Lyft Inc. Class A  10,359,046       155,282
* Ollie's Bargain Outlet Holdings Inc.   1,953,676       148,264
Harley-Davidson Inc.   3,968,673       146,206
Lennar Corp. Class B   1,090,413       146,170
* Asbury Automotive Group Inc.     646,341       145,407
Signet Jewelers Ltd.   1,355,058       145,344
*,1 GameStop Corp. Class A   8,108,822       142,148
KB Home   2,260,447       141,188
* YETI Holdings Inc.   2,722,296       140,960
Warner Music Group Corp. Class A   3,907,597       139,853
* RH     465,212       135,600
Boyd Gaming Corp.   2,132,494       133,515
* Abercrombie & Fitch Co. Class A   1,488,248       131,293
* Goodyear Tire & Rubber Co.   8,884,505       127,226
* Penn Entertainment Inc.   4,788,112       124,587
* Grand Canyon Education Inc.     938,607       123,934
Group 1 Automotive Inc.     405,097       123,449
*,1 Lucid Group Inc.  29,302,260       123,363
Gap Inc.   5,855,107       122,430
* Skyline Champion Corp.   1,636,945       121,560
American Eagle Outfitters Inc.   5,651,108       119,577
* M/I Homes Inc.     824,931       113,626
Advance Auto Parts Inc.   1,853,842       113,140
* Visteon Corp.     880,378       109,959
Kontoor Brands Inc.   1,760,230       109,874
Wendy's Co.   5,577,948       108,658
Newell Brands Inc.  12,511,597       108,601
* Madison Square Garden Sports Corp.     584,597       106,297
Fox Corp. Class B   3,842,897       106,256
* Tri Pointe Homes Inc.   2,984,066       105,636
Leggett & Platt Inc.   3,961,707       103,678
MDC Holdings Inc.   1,860,184       102,775
Penske Automotive Group Inc.     635,305       101,973
Kohl's Corp.   3,555,381       101,968
Endeavor Group Holdings Inc. Class A   4,286,164       101,711
1 Avis Budget Group Inc.     566,589       100,434
1 Sirius XM Holdings Inc.  18,293,199       100,064
* Hilton Grand Vacations Inc.   2,408,429        96,771
 
11

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
1 Choice Hotels International Inc.     853,277        96,676
LCI Industries     758,619        95,366
TEGNA Inc.   6,201,334        94,880
Steven Madden Ltd.   2,223,926        93,405
Foot Locker Inc.   2,934,761        91,418
* Helen of Troy Ltd.     753,216        90,996
* Fox Factory Holding Corp.   1,325,531        89,447
* Frontdoor Inc.   2,520,956        88,788
Rush Enterprises Inc. Class A   1,739,141        87,479
* Shake Shack Inc. Class A   1,171,622        86,841
* Cavco Industries Inc.     245,145        84,972
Marriott Vacations Worldwide Corp.     987,026        83,789
Red Rock Resorts Inc. Class A   1,563,384        83,375
* LGI Homes Inc.     624,713        83,187
Columbia Sportswear Co.   1,044,393        83,071
Century Communities Inc.     911,199        83,047
Travel + Leisure Co.   2,102,095        82,171
Carter's Inc.   1,071,982        80,281
Inter Parfums Inc.     554,419        79,842
Papa John's International Inc.   1,022,129        77,917
* Stride Inc.   1,292,903        76,760
*,1 Chewy Inc. Class A   3,241,899        76,606
Bloomin' Brands Inc.   2,715,267        76,435
Graham Holdings Co. Class B     107,268        74,714
* Liberty Media Corp.-Liberty Formula One Class A   1,288,116        74,685
* Urban Outfitters Inc.   2,061,943        73,591
* Boot Barn Holdings Inc.     935,012        71,772
* Dorman Products Inc.     838,766        69,961
* TripAdvisor Inc.   3,247,375        69,916
* PowerSchool Holdings Inc. Class A   2,956,909        69,665
* SkyWest Inc.   1,323,803        69,103
* Adtalem Global Education Inc.   1,171,522        69,061
* Liberty Media Corp.-Liberty SiriusXM Class A   2,395,862        68,857
*,1 QuantumScape Corp. Class A   9,885,651        68,705
* Sonos Inc.   4,006,896        68,678
Winnebago Industries Inc.     913,869        66,603
          Shares Market
Value

($000)
* Victoria's Secret & Co.   2,474,298        65,668
* Coursera Inc.   3,383,851        65,545
Strategic Education Inc.     695,725        64,264
MillerKnoll Inc.   2,389,159        63,743
* Topgolf Callaway Brands Corp.   4,360,870        62,535
* Peloton Interactive Inc. Class A  10,078,477        61,378
Laureate Education Inc.   4,443,437        60,920
* Brinker International Inc.   1,396,109        60,284
Dana Inc.   4,108,493        60,025
* ACV Auctions Inc. Class A   3,958,132        59,966
* ODP Corp.   1,061,778        59,778
Acushnet Holdings Corp.     936,380        59,151
* Under Armour Inc. Class A   6,728,843        59,147
PriceSmart Inc.     779,637        59,081
Worthington Enterprises Inc.   1,023,702        58,914
* Dave & Buster's Entertainment Inc.   1,082,554        58,296
* SeaWorld Entertainment Inc.   1,102,240        58,231
* Liberty Media Corp.-Liberty Live Class C   1,554,885        58,137
HNI Corp.   1,388,187        58,068
* JetBlue Airways Corp.  10,415,483        57,806
1 Spirit Airlines Inc.   3,443,142        56,433
* Six Flags Entertainment Corp.   2,224,063        55,780
1 Nordstrom Inc.   3,002,654        55,399
* Gentherm Inc.   1,050,070        54,982
* Sabre Corp.  12,271,698        53,995
1 Cracker Barrel Old Country Store Inc.     697,023        53,727
Jack in the Box Inc.     647,278        52,837
* Knowles Corp.   2,918,825        52,276
* National Vision Holdings Inc.   2,480,050        51,907
* OPENLANE Inc.   3,458,235        51,216
Cheesecake Factory Inc.   1,461,258        51,159
*,1 Dutch Bros Inc. Class A   1,610,682        51,010
* Atlanta Braves Holdings Inc. Class C   1,271,801        50,338
La-Z-Boy Inc.   1,353,831        49,983
 
12

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Green Brick Partners Inc.     941,204        48,886
* Cinemark Holdings Inc.   3,425,246        48,262
Oxford Industries Inc.     473,074        47,307
* Hanesbrands Inc.  10,584,496        47,207
Upbound Group Inc.   1,387,144        47,121
* Vista Outdoor Inc.   1,572,544        46,500
1 Levi Strauss & Co. Class A   2,790,822        46,160
* Under Armour Inc. Class C   5,451,414        45,519
* Udemy Inc.   3,042,528        44,816
Phinia Inc.   1,463,395        44,326
Buckle Inc.     931,987        44,288
* Rover Group Inc. Class A   4,060,625        44,180
* PROG Holdings Inc.   1,421,236        43,930
* Sally Beauty Holdings Inc.   3,300,748        43,834
* Central Garden & Pet Co. Class A     994,212        43,785
* G-III Apparel Group Ltd.   1,287,921        43,764
John Wiley & Sons Inc. Class A   1,327,396        42,132
1 Krispy Kreme Inc.   2,735,545        41,279
News Corp. Class B   1,592,765        40,966
Allegiant Travel Co.     493,502        40,768
* Hertz Global Holdings Inc.   3,853,393        40,037
1 Dillard's Inc. Class A      97,101        39,195
* Integral Ad Science Holding Corp.   2,719,909        39,139
* Beyond Inc.   1,406,301        38,940
*,1 AMC Entertainment Holdings Inc. Class A   6,325,872        38,714
* Chegg Inc.   3,373,772        38,326
Winmark Corp.      90,427        37,758
* Cars.com Inc.   1,982,139        37,601
Steelcase Inc. Class A   2,780,543        37,593
* Leslie's Inc.   5,395,474        37,283
* Lions Gate Entertainment Corp. Class B   3,609,636        36,782
* Madison Square Garden Entertainment Corp. Class A   1,109,809        35,281
* XPEL Inc.     654,711        35,256
* Life Time Group Holdings Inc.   2,286,887        34,486
Matthews International Corp. Class A     937,734        34,368
          Shares Market
Value

($000)
Perdoceo Education Corp.   1,951,264        34,264
Camping World Holdings Inc. Class A   1,302,180        34,195
Caleres Inc.   1,065,952        32,757
* Malibu Boats Inc. Class A     588,972        32,287
* iRobot Corp.     833,053        32,239
* Beazer Homes USA Inc.     931,444        31,473
Scholastic Corp.     809,222        30,508
* Sweetgreen Inc. Class A   2,692,782        30,428
* American Axle & Manufacturing Holdings Inc.   3,422,003        30,148
* Everi Holdings Inc.   2,607,749        29,389
* Sphere Entertainment Co.     862,977        29,307
* Arlo Technologies Inc.   3,025,279        28,801
Monro Inc.     979,030        28,725
Monarch Casino & Resort Inc.     414,055        28,632
* Chico's FAS Inc.   3,692,504        27,989
*,1 Figs Inc. Class A   4,002,813        27,820
1 Hibbett Inc.     372,701        26,842
*,1 Mister Car Wash Inc.   3,063,543        26,469
*,1 Luminar Technologies Inc. Class A   7,726,058        26,037
*,1 Lions Gate Entertainment Corp. Class A   2,384,374        25,990
* Driven Brands Holdings Inc.   1,801,573        25,690
Golden Entertainment Inc.     638,631        25,501
* MarineMax Inc.     651,461        25,342
* Central Garden & Pet Co.     503,252        25,218
Sonic Automotive Inc. Class A     444,708        24,997
Sturm Ruger & Co. Inc.     549,209        24,962
* BJ's Restaurants Inc.     690,579        24,868
* Portillo's Inc. Class A   1,511,719        24,082
Gray Television Inc.   2,622,613        23,499
*,1 Cava Group Inc.     544,510        23,403
Ethan Allen Interiors Inc.     705,592        22,522
Dine Brands Global Inc.     452,134        22,448
Interface Inc. Class A   1,745,201        22,024
* Liberty Media Corp.-Liberty Live Class A     601,616        21,989
 
13

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Hawaiian Holdings Inc.   1,532,692        21,764
* Dream Finders Homes Inc. Class A     611,208        21,716
Standard Motor Products Inc.     542,883        21,612
Wolverine World Wide Inc.   2,402,640        21,359
* Instructure Holdings Inc.     789,800        21,333
* Sun Country Airlines Holdings Inc.   1,351,214        21,255
* Revolve Group Inc. Class A   1,280,737        21,235
* WW International Inc.   2,397,137        20,975
* Viad Corp.     577,927        20,921
* Chuy's Holdings Inc.     537,332        20,542
1 Guess? Inc.     889,181        20,505
* Clean Energy Fuels Corp.   5,270,102        20,184
Bluegreen Vacations Holding Corp. Class A     268,375        20,160
* Clear Channel Outdoor Holdings Inc.  11,024,013        20,064
* Thryv Holdings Inc.     980,395        19,951
* Hovnanian Enterprises Inc. Class A     128,184        19,948
Rush Enterprises Inc. Class B     369,345        19,568
*,1 U-Haul Holding Co.     271,612        19,502
Smith & Wesson Brands Inc.   1,433,189        19,434
* QuinStreet Inc.   1,509,277        19,349
* EW Scripps Co. Class A   2,380,474        19,020
* Denny's Corp.   1,741,210        18,944
1 A-Mark Precious Metals Inc.     600,243        18,157
* Arhaus Inc. Class A   1,502,715        17,807
* Stagwell Inc. Class A   2,659,382        17,632
* Corsair Gaming Inc.   1,232,424        17,377
* AMC Networks Inc. Class A     918,757        17,263
RCI Hospitality Holdings Inc.     257,289        17,048
* Accel Entertainment Inc. Class A   1,651,081        16,957
Shoe Carnival Inc.     523,116        15,803
*,1 Wheels Up Experience Inc.   4,516,667        15,492
Haverty Furniture Cos. Inc.     432,133        15,341
          Shares Market
Value

($000)
* First Watch Restaurant Group Inc.     740,198        14,878
Arko Corp.   1,798,970        14,842
* Stoneridge Inc.     753,568        14,747
Movado Group Inc.     468,835        14,135
* Vizio Holding Corp. Class A   1,798,846        13,851
* Daily Journal Corp.      40,386        13,764
* Liquidity Services Inc.     795,167        13,685
* GoPro Inc. Class A   3,924,228        13,617
* Genesco Inc.     385,373        13,569
*,1 Savers Value Village Inc.     766,904        13,329
* America's Car-Mart Inc.     175,495        13,297
Designer Brands Inc. Class A   1,479,836        13,097
* Kura Sushi USA Inc. Class A     169,216        12,860
* European Wax Center Inc. Class A     926,577        12,592
1 Sinclair Inc.     954,858        12,442
* Bally's Corp.     868,349        12,105
* MasterCraft Boat Holdings Inc.     519,098        11,752
*,1 Bowlero Corp. Class A     829,598        11,747
*,1 Fisker Inc. Class A   6,621,961        11,588
* Lindblad Expeditions Holdings Inc.   1,020,179        11,497
* Lovesac Co.     428,899        10,958
* Potbelly Corp.   1,030,823        10,741
Hooker Furnishings Corp.     410,853        10,715
Marcus Corp.     734,527        10,709
* Gannett Co. Inc.   4,639,277        10,670
* Boston Omaha Corp. Class A     670,390        10,545
* Cardlytics Inc.   1,144,674        10,542
* Universal Technical Institute Inc.     822,926        10,303
* PlayAGS Inc.   1,193,838        10,064
Carriage Services Inc. Class A     402,181        10,059
* Sleep Number Corp.     665,131         9,864
* OneWater Marine Inc. Class A     282,871         9,558
* Xponential Fitness Inc. Class A     741,194         9,554
* Cooper-Standard Holdings Inc.     482,479         9,428
* Qurate Retail Inc. Class A  10,684,542         9,354
* Zumiez Inc.     459,022         9,337
Aaron's Co. Inc.     853,131         9,282
 
14

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Build-A-Bear Workshop Inc.     398,931         9,171
* 1-800-Flowers.com Inc. Class A     819,124         8,830
* Children's Place Inc.     378,236         8,783
* iHeartMedia Inc. Class A   3,272,276         8,737
* Stitch Fix Inc. Class A   2,447,324         8,737
*,1 Atlanta Braves Holdings Inc. Class A     201,557         8,623
* Holley Inc.   1,753,269         8,538
* National CineMedia Inc.   2,010,420         8,323
* Citi Trends Inc.     287,674         8,135
Alta Equipment Group Inc.     655,855         8,113
* Eastman Kodak Co.   2,070,366         8,074
* Petco Health & Wellness Co. Inc. Class A   2,513,685         7,943
Johnson Outdoors Inc. Class A     142,149         7,594
* JAKKS Pacific Inc.     213,410         7,587
Carrols Restaurant Group Inc.     945,470         7,450
*,1 Frontier Group Holdings Inc.   1,358,099         7,415
* J. Jill Inc.     284,934         7,346
Rocky Brands Inc.     242,614         7,322
* Destination XL Group Inc.   1,645,333         7,239
* Rush Street Interactive Inc.   1,587,271         7,127
* Funko Inc. Class A     918,414         7,099
* Legacy Housing Corp.     273,001         6,885
*,1 SES AI Corp.   3,668,700         6,714
* Lincoln Educational Services Corp.     660,298         6,629
Entravision Communications Corp. Class A   1,589,251         6,627
*,1 Red Robin Gourmet Burgers Inc.     528,783         6,594
* Playstudios Inc.   2,424,521         6,570
Weyco Group Inc.     208,741         6,546
Climb Global Solutions Inc.     119,168         6,534
1 Big Lots Inc.     829,589         6,463
Clarus Corp.     935,808         6,452
* Vera Bradley Inc.     803,599         6,188
* Landsea Homes Corp.     470,898         6,188
1 Escalade Inc.     306,383         6,155
          Shares Market
Value

($000)
Hamilton Beach Brands Holding Co. Class A     344,356         6,023
* Full House Resorts Inc.   1,115,067         5,988
* CarParts.com Inc.   1,883,644         5,952
* American Public Education Inc.     615,683         5,941
* Selectquote Inc.   4,324,874         5,925
* Outbrain Inc.   1,344,551         5,889
Superior Group of Cos. Inc.     435,584         5,880
* ONE Group Hospitality Inc.     946,750         5,794
* El Pollo Loco Holdings Inc.     645,328         5,692
* Tilly's Inc. Class A     737,525         5,561
*,1 Angi Inc. Class A   2,202,894         5,485
*,1 Blink Charging Co.   1,617,867         5,485
*,1 ThredUp Inc. Class A   2,409,149         5,421
* AMMO Inc.   2,577,445         5,413
Cricut Inc. Class A     817,539         5,388
* Nerdy Inc.   1,554,944         5,333
* Century Casinos Inc.   1,084,503         5,292
Bassett Furniture Industries Inc.     318,476         5,287
Lakeland Industries Inc.     278,050         5,155
* Solo Brands Inc. Class A     833,123         5,132
*,1 RealReal Inc.   2,548,706         5,123
* Motorcar Parts of America Inc.     536,128         5,007
* Tile Shop Holdings Inc.     667,742         4,915
* Noodles & Co. Class A   1,557,750         4,907
*,1 Snap One Holdings Corp.     531,350         4,734
* Sportsman's Warehouse Holdings Inc.   1,060,404         4,517
*,1 Surf Air Mobility Inc.   2,894,155         4,486
* LL Flooring Holdings Inc.   1,140,348         4,447
Nathan's Famous Inc.      56,557         4,412
1 Big 5 Sporting Goods Corp.     685,570         4,347
*,1 Vuzix Corp.   2,028,819         4,230
* VOXX International Corp. Class A     389,401         4,159
* Emerald Holding Inc.     692,957         4,144
*,1 Canoo Inc.  15,747,112         4,050
* American Outdoor Brands Inc.     479,165         4,025
Cato Corp. Class A     551,948         3,941
* Allbirds Inc. Class A   3,156,493         3,867
 
15

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 ContextLogic Inc. Class A     619,250         3,685
* Lands' End Inc.     385,220         3,683
Townsquare Media Inc. Class A     347,347         3,668
Acme United Corp.      85,287         3,655
* Strattec Security Corp.     145,120         3,644
*,1 Mondee Holdings Inc. Class A   1,309,000         3,613
* Traeger Inc.   1,319,878         3,603
*,1 Reservoir Media Inc.     489,336         3,489
* Universal Electronics Inc.     344,481         3,235
* Urban One Inc.     872,038         3,078
* Biglari Holdings Inc. Class B      18,317         3,021
*,1 2U Inc.   2,445,776         3,008
Saga Communications Inc. Class A     134,076         2,985
Marine Products Corp.     255,346         2,911
* Turtle Beach Corp.     265,654         2,909
* Superior Industries International Inc.     883,561         2,827
* Kewaunee Scientific Corp.      96,393         2,802
* Container Store Group Inc.   1,219,767         2,781
* Latham Group Inc.   1,051,361         2,765
Canterbury Park Holding Corp.     133,795         2,735
Lifetime Brands Inc.     401,793         2,696
Flexsteel Industries Inc.     141,758         2,672
* Duluth Holdings Inc. Class B     488,310         2,627
* Travelzoo     274,335         2,614
*,1 Tupperware Brands Corp.   1,306,065         2,612
*,1 BARK Inc.   3,242,000         2,611
*,1 RumbleON Inc. Class B     319,763         2,603
* Cumulus Media Inc. Class A     422,698         2,249
*,1 LiveOne Inc.   1,608,595         2,236
* Fossil Group Inc.   1,471,211         2,148
*,1 Ondas Holdings Inc.   1,363,437         2,086
* Conn's Inc.     411,902         1,829
* Barnes & Noble Education Inc.   1,154,766         1,721
*,1 Spruce Power Holding Corp.     388,404         1,717
* Delta Apparel Inc.     238,958         1,704
1 Purple Innovation Inc. Class A   1,645,889         1,695
          Shares Market
Value

($000)
CompX International Inc.      64,007         1,618
Crown Crafts Inc.     322,459         1,599
* Envela Corp.     323,754         1,573
*,1 Loop Media Inc.   1,562,500         1,563
* Biglari Holdings Inc. Class A       1,924         1,528
* Brilliant Earth Group Inc. Class A     381,195         1,418
*,1 Kirkland's Inc.     458,478         1,385
*,1 Lazydays Holdings Inc.     194,354         1,370
*,1 Focus Universal Inc.     932,363         1,361
Virco Manufacturing Corp.     112,729         1,356
* Harte Hanks Inc.     194,041         1,318
* Lee Enterprises Inc.     167,206         1,316
*,1 Kartoon Studios Inc.     940,003         1,307
*,1 Lulu's Fashion Lounge Holdings Inc.     692,559         1,288
*,1 Vacasa Inc. Class A     153,870         1,262
* Gaia Inc. Class A     447,999         1,210
* Live Ventures Inc.      45,160         1,147
*,1 Mesa Air Group Inc.   1,084,447         1,095
*,1 Grove Collaborative Holdings     606,752         1,074
*,1 Sonder Holdings Inc.     304,152         1,031
1 FAT Brands Inc. Class A     153,984           933
NL Industries Inc.     159,132           893
* Good Times Restaurants Inc.     350,945           891
*,1 Rent the Runway Inc. Class A   1,617,196           853
*,1 Reading International Inc. Class A     438,093           837
*,1 Express Inc.      98,917           828
*,1 Owlet Inc.     155,507           821
Ark Restaurants Corp.      55,702           788
* Marchex Inc. Class B     565,612           769
* BowFlex Inc.     987,578           760
DallasNews Corp.     176,590           754
*,1 Red Cat Holdings Inc.     849,136           747
*,1 Aterian Inc.   2,126,982           741
*,1 FlexShopper Inc.     425,184           710
*,1 Mullen Automotive Inc.      47,497           679
*,1 Fluent Inc.   1,010,603           677
*,1 Regis Corp.      70,385           665
* CuriosityStream Inc.     986,623           533
* Koss Corp.     150,699           505
*,1 Envirotech Vehicles Inc.     313,755           414
 
16

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Dolphin Entertainment Inc.     229,216           392
*,1 Allied Gaming & Entertainment Inc.     342,015           363
*,2 Luby's Inc.     449,752           351
*,1 Cineverse Corp.     242,635           328
* Xcel Brands Inc.     251,214           324
1 Flanigan's Enterprises Inc.      11,919           307
* Vince Holding Corp.      85,410           296
*,1 Hall of Fame Resort & Entertainment Co.      85,677           278
* Beasley Broadcast Group Inc. Class A     314,502           276
* Dixie Group Inc.     359,932           268
*,1 BurgerFi International Inc.     310,543           267
*,1 Charles & Colvard Ltd.     610,246           250
Jerash Holdings US Inc.      80,817           248
*,1 Sadot Group Inc.     608,212           244
*,1 Inspirato Inc.      55,734           206
*,1 InterGroup Corp.      10,732           196
*,1 United Homes Group Inc.      21,683           183
*,1 XWELL Inc.     104,340           179
*,1 Salem Media Group Inc. Class A     419,347           164
*,1 Sobr Safe Inc.     310,977           146
*,1 JOANN Inc.     323,778           144
*,1 Stran & Co. Inc.      97,248           144
* Rave Restaurant Group Inc.      46,126           103
1 FAT Brands Inc. Class B      17,809            96
*,1 Faraday Future Intelligent Electric Inc. Class A     393,706            91
* Forward Industries Inc.     117,209            84
* Twin Vee PowerCats Co.      34,923            49
* Moving Image Technologies Inc.      48,384            46
*,1 AYRO Inc.      24,804            44
*,2 SRAX Inc.     590,641            41
* EzFill Holdings Inc.      24,047            39
* Yunhong Green CTI Ltd.      17,688            38
* Getaround Inc.     117,845            28
* SRM Entertainment Inc.      16,042            25
* GEN Restaurant Group Inc. Class A       2,800            22
* Emerson Radio Corp.       6,500             4
          Shares Market
Value

($000)
* Tandy Leather Factory Inc.         500             2
* Wilhelmina International Inc.         442             2
*,1,2 Empire Resorts Inc.      96,356            —
                      210,349,410
Consumer Staples (4.7%)
Procter & Gamble Co.  73,967,537    10,839,203
PepsiCo Inc.  43,131,669     7,325,483
Coca-Cola Co. 122,030,194     7,191,239
Philip Morris International Inc.  48,747,332     4,586,149
CVS Health Corp.  40,406,129     3,190,468
Mondelez International Inc. Class A  42,730,464     3,094,968
Altria Group Inc.  55,353,895     2,232,976
Colgate-Palmolive Co.  25,787,168     2,055,495
McKesson Corp.   4,174,496     1,932,708
* Monster Beverage Corp.  22,917,718     1,320,290
Kimberly-Clark Corp.  10,585,549     1,286,250
Archer-Daniels-Midland Co.  16,746,061     1,209,401
General Mills Inc.  18,241,161     1,188,229
Constellation Brands Inc. Class A   4,906,458     1,186,136
Kenvue Inc.  54,119,715     1,165,198
Sysco Corp.  15,798,785     1,155,365
Cencora Inc.   5,304,363     1,089,410
Corteva Inc.  22,171,535     1,062,460
Keurig Dr Pepper Inc.  30,686,046     1,022,459
Kroger Co.  20,360,209       930,665
Kraft Heinz Co.  25,011,090       924,910
Hershey Co.   4,705,718       877,334
Church & Dwight Co. Inc.   7,714,063       729,442
Walgreens Boots Alliance Inc.  21,800,031       569,199
Clorox Co.   3,882,721       553,637
Brown-Forman Corp. Class B   9,682,517       552,872
McCormick & Co. Inc. (Non-Voting)   7,884,820       539,479
Bunge Global SA   5,075,322       512,354
Lamb Weston Holdings Inc.   4,553,654       492,205
Kellanova   8,649,740       483,607
Tyson Foods Inc. Class A   8,959,978       481,599
Conagra Brands Inc.  15,001,656       429,948
J M Smucker Co.   3,161,197       399,512
Molson Coors Beverage Co. Class B   5,672,253       347,199
 
17

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Performance Food Group Co.   4,895,921       338,553
Casey's General Stores Inc.   1,171,299       321,803
* US Foods Holding Corp.   6,973,734       316,677
Hormel Foods Corp.   8,580,482       275,519
Campbell Soup Co.   6,066,612       262,260
* Darling Ingredients Inc.   5,020,693       250,231
*,1 Celsius Holdings Inc.   4,384,104       239,021
* BellRing Brands Inc.   4,103,119       227,436
Albertsons Cos. Inc. Class A   9,827,443       226,031
Ingredion Inc.   2,044,572       221,897
* Sprouts Farmers Market Inc.   3,194,287       153,677
* Post Holdings Inc.   1,539,609       135,578
Coca-Cola Consolidated Inc.     144,888       134,514
* Freshpet Inc.   1,538,541       133,484
Flowers Foods Inc.   5,298,033       119,259
* Simply Good Foods Co.   2,844,191       112,630
WD-40 Co.     425,094       101,627
Lancaster Colony Corp.     608,983       101,329
* Boston Beer Co. Inc. Class A     286,622        99,054
1 Brown-Forman Corp. Class A   1,648,803        98,252
Spectrum Brands Holdings Inc.   1,090,150        86,961
* Grocery Outlet Holding Corp.   2,787,724        75,157
Cal-Maine Foods Inc.   1,253,578        71,943
Primo Water Corp.   4,773,493        71,841
Energizer Holdings Inc.   2,257,547        71,519
* TreeHouse Foods Inc.   1,523,930        63,167
J & J Snack Foods Corp.     367,900        61,491
Andersons Inc.   1,010,398        58,138
Edgewell Personal Care Co.   1,547,749        56,694
Universal Corp.     735,460        49,511
Vector Group Ltd.   4,172,849        47,070
* Herbalife Ltd.   3,053,237        46,592
Reynolds Consumer Products Inc.   1,690,710        45,379
MGP Ingredients Inc.     449,025        44,238
Ingles Markets Inc. Class A     442,146        38,188
* National Beverage Corp.     743,862        36,985
* Sovos Brands Inc.   1,613,068        35,536
Utz Brands Inc.   2,062,507        33,495
          Shares Market
Value

($000)
* Chefs' Warehouse Inc.   1,119,739        32,954
Weis Markets Inc.     508,993        32,555
* Vita Coco Co. Inc.   1,248,717        32,030
Nu Skin Enterprises Inc. Class A   1,644,073        31,928
* Pilgrim's Pride Corp.   1,114,855        30,837
* Hain Celestial Group Inc.   2,798,829        30,647
WK Kellogg Co.   2,320,989        30,498
* United Natural Foods Inc.   1,861,429        30,211
Fresh Del Monte Produce Inc.   1,141,145        29,955
1 B&G Foods Inc.   2,716,263        28,521
Seaboard Corp.       7,493        26,751
John B Sanfilippo & Son Inc.     238,465        24,571
SpartanNash Co.   1,017,792        23,358
Medifast Inc.     337,612        22,694
* USANA Health Sciences Inc.     340,345        18,243
*,1 Beyond Meat Inc.   1,926,592        17,147
ACCO Brands Corp.   2,700,003        16,416
Turning Point Brands Inc.     575,320        15,142
Calavo Growers Inc.     512,935        15,085
Tootsie Roll Industries Inc.     452,012        15,025
* Duckhorn Portfolio Inc.   1,427,054        14,057
* Mission Produce Inc.   1,350,087        13,622
1 Limoneira Co.     586,683        12,103
*,1 Westrock Coffee Co.   1,154,372        11,786
* Vital Farms Inc.     742,708        11,653
Oil-Dri Corp. of America     162,617        10,908
*,1 Cibus Inc. Class A     464,861         9,130
* Seneca Foods Corp. Class A     162,763         8,535
* Beauty Health Co.   2,693,942         8,378
* Olaplex Holdings Inc.   3,027,448         7,690
* Nature's Sunshine Products Inc.     395,918         6,845
Natural Grocers by Vitamin Cottage Inc.     424,248         6,788
*,1 Lifecore Biomedical Inc.     937,582         5,804
Village Super Market Inc. Class A     220,062         5,772
* HF Foods Group Inc.   1,044,744         5,579
* Honest Co. Inc.   1,538,602         5,077
* Mama's Creations Inc.     994,476         4,883
PetMed Express Inc.     640,080         4,839
* LifeMD Inc.     568,168         4,710
 
18

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Whole Earth Brands Inc.   1,332,300         4,543
* GrowGeneration Corp.   1,753,390         4,401
*,1 BRC Inc. Class A   1,202,500         4,365
*,1 Veru Inc.   3,724,907         2,682
* Lifeway Foods Inc.     172,782         2,317
*,1 ProPhase Labs Inc.     408,045         1,844
* Farmer Bros Co.     511,916         1,567
Lifevantage Corp.     253,547         1,521
AMCON Distributing Co.       7,756         1,512
*,1 PLBY Group Inc.   1,487,321         1,487
* Zevia PBC Class A     544,118         1,094
*,1 Natural Alternatives International Inc.     162,521         1,043
* Real Good Food Co. Inc. Class A     562,143           854
* Willamette Valley Vineyards Inc.     152,433           808
*,1 Benson Hill Inc.   3,980,438           692
* Vintage Wine Estates Inc.   1,296,027           651
* Rocky Mountain Chocolate Factory Inc.     128,662           591
*,1 Splash Beverage Group Inc.     950,644           525
*,1 Bridgford Foods Corp.      42,038           460
* S&W Seed Co.     558,871           391
*,1 Barfresh Food Group Inc.     233,784           374
*,1 Urban-Gro Inc.     227,616           319
*,1 Local Bounti Corp.     130,217           270
Mannatech Inc.      30,953           243
*,1 AquaBounty Technologies Inc.      45,065           128
Alico Inc.       4,320           126
*,1 Kaival Brands Innovations Group Inc.     582,869           117
*,1 Maison Solutions Inc. Class A      77,000           106
*,1 22nd Century Group Inc.     247,632            46
*,1 MedAvail Holdings Inc.       4,362            19
*,1 Stryve Foods Inc. Class A       2,189             6
                       68,518,415
Energy (4.1%)
Exxon Mobil Corp. 125,741,000    12,571,585
Chevron Corp.  56,281,472     8,394,944
ConocoPhillips  37,278,213     4,326,882
Schlumberger NV  44,706,076     2,326,504
EOG Resources Inc.  18,314,751     2,215,169
          Shares Market
Value

($000)
Phillips 66  13,815,147     1,839,349
Marathon Petroleum Corp.  11,917,416     1,768,068
Pioneer Natural Resources Co.   7,320,701     1,646,279
Valero Energy Corp.  10,686,807     1,389,285
Williams Cos. Inc.  38,131,661     1,328,126
ONEOK Inc.  18,252,480     1,281,689
Hess Corp.   8,666,210     1,249,321
Occidental Petroleum Corp.  20,716,100     1,236,958
Cheniere Energy Inc.   7,093,964     1,211,011
Baker Hughes Co. Class A  31,517,109     1,077,255
Kinder Morgan Inc.  59,319,149     1,046,390
Halliburton Co.  25,324,661       915,487
Devon Energy Corp.  20,081,157       909,676
Diamondback Energy Inc.   5,614,964       870,769
Targa Resources Corp.   7,005,378       608,557
Coterra Energy Inc.  22,492,038       573,997
* First Solar Inc.   3,184,010       548,541
* Enphase Energy Inc.   4,058,333       536,268
EQT Corp.  12,889,857       498,322
Marathon Oil Corp.  18,308,764       442,340
Ovintiv Inc.   8,535,024       374,858
APA Corp.   9,633,764       345,659
Texas Pacific Land Corp.     192,838       303,228
Chesapeake Energy Corp.   3,853,561       296,493
HF Sinclair Corp.   4,796,487       266,541
TechnipFMC plc  13,049,762       262,822
NOV Inc.  12,375,780       250,981
* Southwestern Energy Co.  34,249,181       224,332
* Weatherford International plc   2,253,743       220,484
Range Resources Corp.   7,198,883       219,134
Permian Resources Corp. Class A  15,268,929       207,657
Chord Energy Corp.   1,226,339       203,854
Civitas Resources Inc.   2,931,872       200,481
Murphy Oil Corp.   4,649,419       198,344
* Antero Resources Corp.   8,502,420       192,835
Matador Resources Co.   3,380,394       192,209
ChampionX Corp.   6,140,698       179,370
Noble Corp. plc   3,564,751       171,678
DT Midstream Inc.   3,052,643       167,285
PBF Energy Inc. Class A   3,441,198       151,275
* Transocean Ltd.  23,281,326       147,836
 
19

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
SM Energy Co.   3,697,875       143,182
Patterson-UTI Energy Inc.  13,183,653       142,383
Equitrans Midstream Corp.  13,021,268       132,557
Antero Midstream Corp.  10,496,458       131,521
Arcosa Inc.   1,527,302       126,216
California Resources Corp.   2,191,357       119,823
Magnolia Oil & Gas Corp. Class A   5,570,494       118,596
Alpha Metallurgical Resources Inc.     335,573       113,732
1 New Fortress Energy Inc.   2,923,816       110,316
* Tidewater Inc.   1,507,898       108,735
Northern Oil & Gas Inc.   2,801,454       103,850
Helmerich & Payne Inc.   2,833,474       102,628
Warrior Met Coal Inc.   1,627,500        99,229
* CNX Resources Corp.   4,632,686        92,654
Cactus Inc. Class A   2,037,183        92,488
Arch Resources Inc.     549,420        91,171
Liberty Energy Inc. Class A   4,776,711        86,650
Peabody Energy Corp.   3,525,752        85,746
Viper Energy Inc. Class A   2,723,497        85,463
*,1 Plug Power Inc.  18,864,450        84,890
* Shoals Technologies Group Inc. Class A   5,342,466        83,022
* Array Technologies Inc.   4,516,733        75,881
CONSOL Energy Inc.     741,722        74,565
Archrock Inc.   4,689,675        72,221
* NEXTracker Inc. Class A   1,506,984        70,602
* Oceaneering International Inc.   3,158,148        67,205
* Callon Petroleum Co.   1,930,771        62,557
* Par Pacific Holdings Inc.   1,707,225        62,092
Sitio Royalties Corp. Class A   2,576,671        60,578
* Gulfport Energy Corp.     403,753        53,780
Delek US Holdings Inc.   1,996,486        51,509
* Talos Energy Inc.   3,481,418        49,541
* Helix Energy Solutions Group Inc.   4,519,929        46,465
* Green Plains Inc.   1,777,608        44,831
*,1 Fluence Energy Inc.   1,778,892        42,427
World Kinect Corp.   1,843,525        41,996
          Shares Market
Value

($000)
* Diamond Offshore Drilling Inc.   3,198,220        41,577
* NOW Inc.   3,493,831        39,550
* Vital Energy Inc.     834,123        37,944
CVR Energy Inc.   1,101,317        33,370
1 Crescent Energy Co. Class A   2,438,586        32,214
* Ameresco Inc. Class A   1,012,501        32,066
* MRC Global Inc.   2,579,179        28,397
1 Comstock Resources Inc.   3,136,753        27,760
1 Atlas Energy Solutions Inc. Class A   1,611,422        27,749
SunCoke Energy Inc.   2,522,025        27,087
Core Laboratories Inc.   1,464,154        25,857
* ProPetro Holding Corp.   3,073,248        25,754
* Dril-Quip Inc.   1,087,564        25,308
*,1 ChargePoint Holdings Inc.   9,936,424        23,251
* Nabors Industries Ltd.     284,778        23,246
1 Kinetik Holdings Inc. Class A     684,135        22,850
*,1 NextDecade Corp.   4,771,090        22,758
*,1 FuelCell Energy Inc.  14,142,790        22,628
* REX American Resources Corp.     477,153        22,569
RPC Inc.   3,025,849        22,028
* Centrus Energy Corp. Class A     394,915        21,487
* SilverBow Resources Inc.     678,107        19,719
* Bristow Group Inc. Class A     696,250        19,683
Select Water Solutions Inc. Class A   2,504,296        19,008
*,1 Stem Inc.   4,714,276        18,291
* TETRA Technologies Inc.   3,630,548        16,410
* Newpark Resources Inc.   2,449,089        16,262
Vitesse Energy Inc.     730,922        16,000
* Montauk Renewables Inc.   1,737,042        15,477
VAALCO Energy Inc.   3,343,681        15,013
Berry Corp.   1,914,730        13,461
*,1 SunPower Corp.   2,745,685        13,262
*,1 Tellurian Inc.  17,249,662        13,034
Kodiak Gas Services Inc.     637,940        12,810
SandRidge Energy Inc.     933,349        12,759
1 HighPeak Energy Inc.     884,700        12,598
 
20

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Oil States International Inc.   1,847,876        12,547
1 Ramaco Resources Inc. Class A     701,380        12,050
*,1 EVgo Inc. Class A   3,179,153        11,381
* DMC Global Inc.     540,379        10,170
W&T Offshore Inc.   2,896,052         9,441
* SEACOR Marine Holdings Inc.     735,140         9,255
* American Superconductor Corp.     824,756         9,188
*,1 Gevo Inc.   6,871,435         7,971
* Matrix Service Co.     785,548         7,683
Solaris Oilfield Infrastructure Inc. Class A     935,530         7,447
* Forum Energy Technologies Inc.     324,803         7,201
* Hallador Energy Co.     722,014         6,383
* Amplify Energy Corp.   1,044,290         6,193
Riley Exploration Permian Inc.     222,250         6,054
Granite Ridge Resources Inc.   1,004,600         6,048
* Geospace Technologies Corp.     460,675         5,970
*,1 Aemetis Inc.   1,111,968         5,827
*,1 ProFrac Holding Corp. Class A     655,619         5,560
Evolution Petroleum Corp.     895,061         5,200
*,1 TPI Composites Inc.   1,239,552         5,132
* Natural Gas Services Group Inc.     310,277         4,989
*,1 Solid Power Inc.   3,190,948         4,627
NACCO Industries Inc. Class A     121,068         4,419
* KLX Energy Services Holdings Inc.     389,409         4,385
Ranger Energy Services Inc. Class A     406,911         4,163
*,1 Ring Energy Inc.   2,669,972         3,898
PHX Minerals Inc.   1,009,748         3,251
1 Epsilon Energy Ltd.     638,076         3,241
*,1 American Resources Corp.   1,873,823         2,792
* OPAL Fuels Inc. Class A     490,434         2,707
*,1 Empire Petroleum Corp.     238,346         2,619
*,1 Beam Global     317,644         2,252
* Battalion Oil Corp.     223,426         2,147
*,1 PrimeEnergy Resources Corp.      19,756         2,101
          Shares Market
Value

($000)
*,1 ESS Tech Inc.   1,593,000         1,816
Ramaco Resources Inc. Class B     135,153         1,799
* Smart Sand Inc.     860,390         1,661
*,1 Nine Energy Service Inc.     609,231         1,633
* Gulf Island Fabrication Inc.     358,485         1,552
* Profire Energy Inc.     830,050         1,502
* Mammoth Energy Services Inc.     308,591         1,376
* Ideal Power Inc.     177,061         1,374
Energy Services of America Corp.     200,540         1,199
*,1 Flotek Industries Inc.     305,077         1,196
*,1 FTC Solar Inc.   1,574,728         1,091
1 Enviva Inc.     928,942           925
Adams Resources & Energy Inc.      31,232           818
*,1 Stabilis Solutions Inc.     169,932           705
Barnwell Industries Inc.     267,900           651
* PEDEVCO Corp.     768,132           592
*,1 Independence Contract Drilling Inc.     225,114           552
*,1 Houston American Energy Corp.     231,528           414
Mexco Energy Corp.      44,605           407
*,1 Ocean Power Technologies Inc.   1,001,472           316
*,1 Sunworks Inc.   1,299,138           305
*,1 Dawson Geophysical Co.     163,584           299
* Superior Drilling Products Inc.     258,628           185
*,1 Advent Technologies Holdings Inc.     760,618           169
US Energy Corp.     133,545           134
*,1 Camber Energy Inc.     332,001            76
* Pineapple Energy Inc.      95,645            57
* NCS Multistage Holdings Inc.       1,912            33
                       59,767,596
Financials (10.8%)
* Berkshire Hathaway Inc. Class B  55,960,019    19,958,700
JPMorgan Chase & Co.  90,715,286    15,430,670
Bank of America Corp. 211,026,559     7,105,264
Wells Fargo & Co. 113,959,217     5,609,073
S&P Global Inc.   9,938,743     4,378,215
Goldman Sachs Group Inc.   9,380,537     3,618,730
Morgan Stanley  38,628,950     3,602,150
 
21

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
BlackRock Inc.   4,198,995     3,408,744
Charles Schwab Corp.  44,500,704     3,061,648
Marsh & McLennan Cos. Inc.  15,457,336     2,928,701
Progressive Corp.  18,381,600     2,927,821
Blackstone Inc.  22,312,200     2,921,113
Citigroup Inc.  56,307,325     2,896,449
Chubb Ltd.  12,810,982     2,895,282
CME Group Inc.  11,295,900     2,378,917
Intercontinental Exchange Inc.  17,952,621     2,305,655
US Bancorp  48,877,749     2,115,429
PNC Financial Services Group Inc.  12,503,943     1,936,236
Moody's Corp.   4,878,274     1,905,259
Aon plc Class A   5,972,498     1,738,116
KKR & Co. Inc.  20,867,825     1,728,899
Truist Financial Corp.  41,889,412     1,546,557
Arthur J Gallagher & Co.   6,789,146     1,526,743
Aflac Inc.  18,328,770     1,512,124
American International Group Inc.  22,029,284     1,492,484
Travelers Cos. Inc.   7,181,982     1,368,096
MSCI Inc. Class A   2,355,676     1,332,488
Bank of New York Mellon Corp.  24,131,039     1,256,021
Ameriprise Financial Inc.   3,170,574     1,204,279
Prudential Financial Inc.  11,329,886     1,175,022
Apollo Global Management Inc.  12,495,132     1,164,421
MetLife Inc.  17,438,256     1,153,192
Allstate Corp.   8,215,350     1,149,985
Discover Financial Services   7,866,556       884,201
* Coinbase Global Inc. Class A   4,824,495       839,076
* Arch Capital Group Ltd.  11,112,943       825,358
Willis Towers Watson plc   3,250,003       783,901
Broadridge Financial Solutions Inc.   3,695,680       760,386
Hartford Financial Services Group Inc.   9,432,663       758,197
T. Rowe Price Group Inc.   7,016,831       755,643
Nasdaq Inc.  12,711,425       739,042
Fifth Third Bancorp  21,385,315       737,580
State Street Corp.   9,225,900       714,638
M&T Bank Corp.   5,208,043       713,919
Raymond James Financial Inc.   5,896,988       657,514
          Shares Market
Value

($000)
Ares Management Corp. Class A   5,275,406       627,351
Principal Financial Group Inc.   7,512,694       591,024
Cboe Global Markets Inc.   3,304,755       590,097
Huntington Bancshares Inc.  45,303,021       576,254
* Berkshire Hathaway Inc. Class A       1,051       570,299
FactSet Research Systems Inc.   1,190,901       568,119
Regions Financial Corp.  29,191,495       565,731
* Markel Group Inc.     394,366       559,960
LPL Financial Holdings Inc.   2,370,573       539,590
Northern Trust Corp.   6,168,982       520,539
Brown & Brown Inc.   7,177,212       510,372
Cincinnati Financial Corp.   4,916,035       508,613
Everest Group Ltd.   1,360,655       481,100
Citizens Financial Group Inc.  13,880,377       459,996
First Citizens BancShares Inc. Class A     316,931       449,716
W R Berkley Corp.   6,054,434       428,170
KeyCorp  29,488,147       424,629
Fidelity National Financial Inc.   8,095,927       413,054
Loews Corp.   5,566,684       387,386
Equitable Holdings Inc.  10,622,456       353,728
MarketAxess Holdings Inc.   1,193,070       349,391
Globe Life Inc.   2,792,645       339,921
Reinsurance Group of America Inc.   2,070,383       334,947
Tradeweb Markets Inc. Class A   3,597,954       326,982
Carlyle Group Inc.   7,976,682       324,571
RenaissanceRe Holdings Ltd.   1,653,901       324,165
East West Bancorp Inc.   4,433,484       318,989
Annaly Capital Management Inc.  15,853,352       307,079
Ally Financial Inc.   8,469,124       295,742
Assurant Inc.   1,660,179       279,724
Webster Financial Corp.   5,423,284       275,286
*,1 SoFi Technologies Inc.  27,222,334       270,862
Erie Indemnity Co. Class A     799,295       267,700
 
22

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
American Financial Group Inc.   2,229,453       265,060
Interactive Brokers Group Inc. Class A   3,178,400       263,489
Franklin Resources Inc.   8,586,125       255,781
First Horizon Corp.  17,528,794       248,208
Invesco Ltd.  13,771,835       245,690
Voya Financial Inc.   3,310,981       241,569
* Robinhood Markets Inc. Class A  18,634,684       237,406
Unum Group   5,206,991       235,460
SEI Investments Co.   3,661,513       232,689
Old Republic International Corp.   7,903,704       232,369
Kinsale Capital Group Inc.     691,796       231,689
Comerica Inc.   4,123,000       230,105
Morningstar Inc.     803,775       230,073
Primerica Inc.   1,095,602       225,431
New York Community Bancorp Inc.  21,421,737       219,144
Western Alliance Bancorp   3,260,585       214,514
Blue Owl Capital Inc. Class A  14,356,656       213,914
Stifel Financial Corp.   3,016,293       208,577
1 AGNC Investment Corp.  20,946,116       205,481
Zions Bancorp NA   4,647,119       203,869
SouthState Corp.   2,382,493       201,202
Pinnacle Financial Partners Inc.   2,302,546       200,828
Commerce Bancshares Inc.   3,731,621       199,306
First American Financial Corp.   3,073,507       198,057
Cullen/Frost Bankers Inc.   1,817,890       197,223
Houlihan Lokey Inc. Class A   1,628,749       195,303
1 Starwood Property Trust Inc.   9,281,318       195,093
Prosperity Bancshares Inc.   2,796,395       189,400
Selective Insurance Group Inc.   1,902,285       189,239
Jefferies Financial Group Inc.   4,637,688       187,409
Popular Inc.   2,269,437       186,253
OneMain Holdings Inc.   3,769,704       185,469
Evercore Inc. Class A   1,070,476       183,105
RLI Corp.   1,354,950       180,371
Bank OZK   3,578,146       178,299
          Shares Market
Value

($000)
Wintrust Financial Corp.   1,912,930       177,424
Columbia Banking System Inc.   6,542,542       174,555
Cadence Bank   5,763,236       170,534
MGIC Investment Corp.   8,750,300       168,793
Essent Group Ltd.   3,138,176       165,507
Synovus Financial Corp.   4,364,048       164,306
United Bankshares Inc.   4,241,350       159,263
Rithm Capital Corp.  14,886,706       158,990
*,1 Marathon Digital Holdings Inc.   6,679,783       156,908
Affiliated Managers Group Inc.   1,033,290       156,461
Old National Bancorp   9,180,985       155,067
FNB Corp.  11,244,311       154,834
Corebridge Financial Inc.   6,913,340       149,743
Valley National Bancorp  13,572,293       147,395
Home BancShares Inc.   5,785,274       146,541
Glacier Bancorp Inc.   3,490,659       144,234
Lincoln National Corp.   5,310,535       143,225
SLM Corp.   7,222,660       138,097
Radian Group Inc.   4,727,530       134,971
* American Equity Investment Life Holding Co.   2,415,443       134,782
* Ryan Specialty Holdings Inc. Class A   3,128,426       134,585
Axis Capital Holdings Ltd.   2,400,377       132,909
FirstCash Holdings Inc.   1,212,666       131,441
First Financial Bankshares Inc.   4,269,541       129,367
* Mr Cooper Group Inc.   1,969,975       128,285
Jackson Financial Inc. Class A   2,486,629       127,315
Assured Guaranty Ltd.   1,678,489       125,601
Hamilton Lane Inc. Class A   1,103,726       125,207
Janus Henderson Group plc   4,132,505       124,595
Hancock Whitney Corp.   2,563,770       124,574
Hanover Insurance Group Inc.   1,010,971       122,752
Moelis & Co. Class A   2,134,419       119,805
* Enstar Group Ltd.     404,319       119,011
 
23

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Lazard Ltd. Class A   3,363,039       117,034
White Mountains Insurance Group Ltd.      76,901       115,737
Ameris Bancorp   2,098,444       111,322
1 Blackstone Mortgage Trust Inc. Class A   5,198,296       110,568
Walker & Dunlop Inc.     986,437       109,504
* Brighthouse Financial Inc.   2,061,205       109,079
United Community Banks Inc.   3,555,927       104,046
ServisFirst Bancshares Inc.   1,544,023       102,878
UMB Financial Corp.   1,226,359       102,462
* Texas Capital Bancshares Inc.   1,512,894        97,778
Cathay General Bancorp   2,176,762        97,018
*,1 Riot Platforms Inc.   6,210,523        96,077
Associated Banc-Corp   4,470,347        95,621
International Bancshares Corp.   1,759,816        95,593
CNO Financial Group Inc.   3,421,522        95,460
Artisan Partners Asset Management Inc. Class A   2,122,843        93,787
Piper Sandler Cos.     535,561        93,654
Kemper Corp.   1,921,292        93,509
* Genworth Financial Inc. Class A  13,806,986        92,231
First Hawaiian Inc.   4,029,346        92,111
*,1 Upstart Holdings Inc.   2,237,848        91,438
* Axos Financial Inc.   1,662,755        90,786
Bank of Hawaii Corp.   1,250,932        90,643
First Interstate BancSystem Inc. Class A   2,939,739        90,397
TPG Inc. Class A   2,072,871        89,486
WSFS Financial Corp.   1,938,156        89,019
Federated Hermes Inc. Class B   2,614,392        88,523
Community Bank System Inc.   1,688,469        87,986
Pacific Premier Bancorp Inc.   3,013,123        87,712
Independent Bank Corp.   1,327,970        87,394
First Bancorp   5,272,270        86,729
Atlantic Union Bankshares Corp.   2,368,116        86,531
* Credit Acceptance Corp.     161,035        85,788
          Shares Market
Value

($000)
Fulton Financial Corp.   5,203,897        85,656
CVB Financial Corp.   4,241,821        85,642
BGC Group Inc. Class A  11,775,831        85,021
* Clearwater Analytics Holdings Inc. Class A   3,948,529        79,089
* NMI Holdings Inc. Class A   2,611,555        77,511
BankUnited Inc.   2,388,475        77,458
Seacoast Banking Corp. of Florida   2,695,122        76,703
Simmons First National Corp. Class A   3,802,363        75,439
1 Arbor Realty Trust Inc.   4,834,620        73,390
Eastern Bankshares Inc.   5,005,394        71,077
PennyMac Financial Services Inc.     802,766        70,940
PJT Partners Inc. Class A     694,322        70,731
First Merchants Corp.   1,857,218        68,866
WaFd Inc.   2,057,503        67,815
First Financial Bancorp   2,817,524        66,916
Towne Bank   2,122,686        63,171
BOK Financial Corp.     736,866        63,113
* StoneX Group Inc.     828,785        61,189
Park National Corp.     457,960        60,845
* Bancorp Inc.   1,562,705        60,258
*,1 Rocket Cos. Inc. Class A   4,074,451        58,998
NBT Bancorp Inc.   1,401,918        58,754
Cohen & Steers Inc.     770,629        58,360
Banner Corp.   1,079,019        57,792
Virtu Financial Inc. Class A   2,823,145        57,197
OFG Bancorp   1,510,460        56,612
Independent Bank Group Inc.   1,110,951        56,525
* Triumph Financial Inc.     701,794        56,270
Renasant Corp.   1,669,901        56,242
BancFirst Corp.     576,481        56,109
WesBanco Inc.   1,776,472        55,728
1 Ready Capital Corp.   5,389,324        55,241
StepStone Group Inc. Class A   1,695,189        53,958
Banc of California Inc.   3,978,554        53,432
Virtus Investment Partners Inc.     215,598        52,123
Apollo Commercial Real Estate Finance Inc.   4,416,882        51,854
Federal Agricultural Mortgage Corp. Class C     270,904        51,802
 
24

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Hilltop Holdings Inc.   1,437,585        50,617
Stewart Information Services Corp.     852,559        50,088
Claros Mortgage Trust Inc.   3,665,552        49,961
Northwest Bancshares Inc.   3,989,936        49,794
Enterprise Financial Services Corp.   1,103,275        49,261
Lakeland Financial Corp.     752,901        49,059
* Goosehead Insurance Inc. Class A     645,903        48,959
First Commonwealth Financial Corp.   3,163,276        48,841
City Holding Co.     437,529        48,242
* Customers Bancorp Inc.     835,298        48,130
* BRP Group Inc. Class A   1,998,235        47,998
Live Oak Bancshares Inc.   1,034,676        47,078
Trustmark Corp.   1,687,931        47,060
Navient Corp.   2,513,015        46,792
* Enova International Inc.     843,965        46,722
First Bancorp (XNGS)   1,237,620        45,804
Westamerica Bancorp     791,697        44,660
FB Financial Corp.   1,116,367        44,487
Pathward Financial Inc.     839,479        44,434
National Bank Holdings Corp. Class A   1,172,694        43,612
* Oscar Health Inc. Class A   4,685,148        42,869
Horace Mann Educators Corp.   1,309,876        42,833
Hope Bancorp Inc.   3,494,977        42,219
Heartland Financial USA Inc.   1,120,449        42,140
Stock Yards Bancorp Inc.     818,043        42,121
Compass Diversified Holdings   1,867,334        41,922
Two Harbors Investment Corp.   2,970,456        41,378
PennyMac Mortgage Investment Trust   2,763,682        41,317
Victory Capital Holdings Inc. Class A   1,198,838        41,288
First Busey Corp.   1,657,232        41,132
Ladder Capital Corp. Class A   3,555,544        40,924
          Shares Market
Value

($000)
* Palomar Holdings Inc.     734,361        40,757
Provident Financial Services Inc.   2,230,718        40,220
Safehold Inc.   1,659,651        38,836
S&T Bancorp Inc.   1,140,060        38,101
Stellar Bancorp Inc.   1,365,491        38,015
Veritex Holdings Inc.   1,607,760        37,413
* Cannae Holdings Inc.   1,883,947        36,756
Chimera Investment Corp.   7,339,545        36,624
Sandy Spring Bancorp Inc.   1,325,600        36,109
Peoples Bancorp Inc.   1,058,510        35,735
MFA Financial Inc.   3,141,703        35,407
* Encore Capital Group Inc.     680,681        34,545
Nelnet Inc. Class A     390,170        34,421
Safety Insurance Group Inc.     449,806        34,181
* SiriusPoint Ltd.   2,946,652        34,181
BrightSpire Capital Inc. Class A   4,543,526        33,804
Employers Holdings Inc.     848,434        33,428
Franklin BSP Realty Trust Inc.   2,472,504        33,404
* Skyward Specialty Insurance Group Inc.     985,265        33,381
TriCo Bancshares     765,759        32,905
Origin Bancorp Inc.     913,084        32,478
Mercury General Corp.     867,129        32,353
Berkshire Hills Bancorp Inc.   1,296,581        32,194
Nicolet Bankshares Inc.     393,817        31,694
OceanFirst Financial Corp.   1,779,868        30,898
* PRA Group Inc.   1,170,822        30,676
QCR Holdings Inc.     514,779        30,058
*,1 Trupanion Inc.     981,307        29,940
1 ARMOUR Residential REIT Inc.   1,541,014        29,772
1 Ellington Financial Inc.   2,341,448        29,760
Dime Community Bancshares Inc.   1,101,151        29,654
* LendingClub Corp.   3,283,854        28,701
Eagle Bancorp Inc.     951,714        28,685
Enact Holdings Inc.     988,708        28,564
Southside Bancshares Inc.     911,789        28,557
AMERISAFE Inc.     609,096        28,493
Preferred Bank     389,302        28,438
National Western Life Group Inc. Class A      58,275        28,148
 
25

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Brookline Bancorp Inc.   2,542,527        27,739
Lakeland Bancorp Inc.   1,862,506        27,546
ConnectOne Bancorp Inc.   1,192,696        27,325
German American Bancorp Inc.     840,496        27,240
*,1 Lemonade Inc.   1,674,937        27,017
WisdomTree Inc.   3,780,368        26,198
Redwood Trust Inc.   3,489,302        25,856
Premier Financial Corp.   1,072,357        25,844
First Bancshares Inc.     874,751        25,656
Capitol Federal Financial Inc.   3,952,960        25,497
TFS Financial Corp.   1,714,510        25,186
1 F&G Annuities & Life Inc.     544,128        25,030
* Open Lending Corp.   2,935,132        24,978
New York Mortgage Trust Inc.   2,825,845        24,104
Bank First Corp.     277,228        24,025
Heritage Financial Corp.   1,102,412        23,581
Amerant Bancorp Inc. Class A     951,334        23,374
1st Source Corp.     425,256        23,368
First Mid Bancshares Inc.     671,439        23,272
* Ambac Financial Group Inc.   1,386,506        22,850
ProAssurance Corp.   1,647,124        22,714
Community Trust Bancorp Inc.     515,007        22,588
1 UWM Holdings Corp. Class A   3,092,429        22,111
Dynex Capital Inc.   1,723,960        21,584
Old Second Bancorp Inc.   1,367,182        21,109
Tompkins Financial Corp.     345,569        20,814
1 HCI Group Inc.     225,301        19,691
KKR Real Estate Finance Trust Inc.   1,451,080        19,198
* AssetMark Financial Holdings Inc.     640,865        19,194
Brightsphere Investment Group Inc.     981,747        18,810
Hanmi Financial Corp.     968,596        18,791
Business First Bancshares Inc.     759,255        18,716
Univest Financial Corp.     848,090        18,683
          Shares Market
Value

($000)
Amalgamated Financial Corp.     689,657        18,579
Merchants Bancorp     434,604        18,505
Farmers National Banc Corp.   1,273,130        18,397
Byline Bancorp Inc.     777,481        18,317
Great Southern Bancorp Inc.     302,904        17,977
Mercantile Bank Corp.     445,144        17,975
Washington Trust Bancorp Inc.     552,876        17,902
1 Orchid Island Capital Inc.   2,091,609        17,632
* Metropolitan Bank Holding Corp.     311,071        17,227
TrustCo Bank Corp.     550,930        17,106
Heritage Commerce Corp.   1,711,952        16,983
Midland States Bancorp Inc.     614,037        16,923
* Columbia Financial Inc.     872,234        16,817
Kearny Financial Corp.   1,871,083        16,784
HarborOne Bancorp Inc.   1,385,460        16,598
Southern Missouri Bancorp Inc.     310,151        16,559
* CrossFirst Bankshares Inc.   1,202,409        16,329
Horizon Bancorp Inc.   1,130,130        16,172
Northfield Bancorp Inc.   1,279,932        16,102
Central Pacific Financial Corp.     801,026        15,764
First Community Bankshares Inc.     423,255        15,703
Independent Bank Corp. (Michigan)     599,260        15,593
Cambridge Bancorp     222,214        15,422
Camden National Corp.     403,181        15,172
First Foundation Inc.   1,567,086        15,169
Equity Bancshares Inc. Class A     443,588        15,038
American National Bankshares Inc.     302,173        14,731
Peapack-Gladstone Financial Corp.     493,833        14,726
HomeTrust Bancshares Inc.     539,258        14,517
Diamond Hill Investment Group Inc.      87,521        14,493
United Fire Group Inc.     714,514        14,376
 
26

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* EZCORP Inc. Class A   1,624,375        14,197
Republic Bancorp Inc. Class A     253,793        13,999
P10 Inc. Class A   1,343,205        13,728
* Coastal Financial Corp.     308,378        13,695
Flushing Financial Corp.     829,310        13,667
Shore Bancshares Inc.     944,911        13,465
Metrocity Bankshares Inc.     558,211        13,408
CNB Financial Corp.     588,697        13,299
Universal Insurance Holdings Inc.     826,787        13,212
First Financial Corp.     303,927        13,078
GCM Grosvenor Inc. Class A   1,437,229        12,878
1 Burke & Herbert Financial Services Corp.     202,900        12,762
Tiptree Inc. Class A     651,681        12,356
* World Acceptance Corp.      94,353        12,316
Bar Harbor Bankshares     412,183        12,102
1 B. Riley Financial Inc.     573,323        12,034
Alerus Financial Corp.     537,268        12,029
Arrow Financial Corp.     425,176        11,879
TPG RE Finance Trust Inc.   1,817,114        11,811
1 Invesco Mortgage Capital Inc.   1,324,933        11,739
1 NewtekOne Inc.     847,975        11,702
Capital City Bank Group Inc.     397,180        11,689
Northeast Bank     206,474        11,395
First Bank     770,907        11,332
ACNB Corp.     240,241        10,753
*,1 Forge Global Holdings Inc.   3,118,181        10,695
* Carter Bankshares Inc.     712,025        10,659
* LendingTree Inc.     347,613        10,540
Macatawa Bank Corp.     925,613        10,441
Hingham Institution For Savings      53,653        10,430
SmartFinancial Inc.     423,631        10,375
Esquire Financial Holdings Inc.     206,705        10,327
Northrim Bancorp Inc.     176,916        10,121
Bank of Marin Bancorp     447,868         9,862
BayCom Corp.     415,597         9,804
          Shares Market
Value

($000)
Crawford & Co. Class B     747,804         9,781
Financial Institutions Inc.     450,573         9,597
Orrstown Financial Services Inc.     324,496         9,573
Granite Point Mortgage Trust Inc.   1,592,579         9,460
Capstar Financial Holdings Inc.     501,635         9,401
Summit Financial Group Inc.     304,535         9,346
Citizens & Northern Corp.     410,526         9,208
Civista Bancshares Inc.     497,943         9,182
Mid Penn Bancorp Inc.     374,344         9,089
* Southern California Bancorp     523,200         9,078
Sierra Bancorp     399,592         9,011
First of Long Island Corp.     676,836         8,961
* Greenlight Capital Re Ltd. Class A     776,574         8,868
First Bancorp Inc.     312,385         8,815
West Bancorp Inc.     414,402         8,785
Peoples Financial Services Corp.     179,285         8,731
FS Bancorp Inc.     235,608         8,708
Home Bancorp Inc.     206,339         8,668
Primis Financial Corp.     682,667         8,643
Waterstone Financial Inc.     604,252         8,580
Citizens Financial Services Inc.     131,902         8,537
James River Group Holdings Ltd.     921,185         8,512
South Plains Financial Inc.     292,506         8,471
MBIA Inc.   1,382,103         8,458
First Business Financial Services Inc.     210,016         8,422
Codorus Valley Bancorp Inc.     327,297         8,412
* Southern First Bancshares Inc.     226,710         8,411
RBB Bancorp     440,333         8,384
Unity Bancorp Inc.     282,715         8,366
Farmers & Merchants Bancorp Inc.     333,453         8,270
Guaranty Bancshares Inc.     245,483         8,253
Enterprise Bancorp Inc.     255,668         8,248
 
27

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
1 NexPoint Diversified Real Estate Trust   1,031,167         8,198
MidWestOne Financial Group Inc.     298,754         8,039
Donegal Group Inc. Class A     562,139         7,864
John Marshall Bancorp Inc.     346,600         7,819
* Bridgewater Bancshares Inc.     574,377         7,766
Fidelity D&D Bancorp Inc.     132,823         7,708
Five Star Bancorp     293,908         7,694
Norwood Financial Corp.     233,197         7,675
Timberland Bancorp Inc.     242,733         7,636
* Blue Foundry Bancorp     782,802         7,570
1 Chicago Atlantic Real Estate Finance Inc.     466,820         7,553
Middlefield Banc Corp.     232,314         7,520
Central Valley Community Bancorp     335,244         7,493
PCB Bancorp     401,511         7,400
Colony Bankcorp Inc.     550,804         7,326
* FVCBankcorp Inc.     514,940         7,312
* Third Coast Bancshares Inc.     367,175         7,296
Oak Valley Bancorp     239,900         7,185
Red River Bancshares Inc.     127,746         7,168
* eHealth Inc.     816,369         7,119
Plumas Bancorp     168,907         6,984
1 Medallion Financial Corp.     698,986         6,885
Princeton Bancorp Inc.     191,688         6,882
MVB Financial Corp.     303,098         6,838
C&F Financial Corp.      99,227         6,766
Orange County Bancorp Inc.     111,832         6,737
Virginia National Bankshares Corp.     195,778         6,731
Oppenheimer Holdings Inc. Class A     158,975         6,569
1 AFC Gamma Inc.     544,493         6,550
Ames National Corp.     304,055         6,489
HBT Financial Inc.     305,390         6,447
Seven Hills Realty Trust     482,900         6,249
Western New England Bancorp Inc.     692,944         6,236
          Shares Market
Value

($000)
National Bankshares Inc.     192,376         6,223
Parke Bancorp Inc.     306,015         6,197
ChoiceOne Financial Services Inc.     210,670         6,173
AG Mortgage Investment Trust Inc.     965,155         6,129
Investors Title Co.      37,598         6,096
Bankwell Financial Group Inc.     201,545         6,083
1 Sachem Capital Corp.   1,619,896         6,058
* Ponce Financial Group Inc.     620,432         6,055
Capital Bancorp Inc.     250,159         6,054
Southern States Bancshares Inc.     206,492         6,046
* Sterling Bancorp Inc.   1,047,247         6,043
First Internet Bancorp     247,933         5,997
LINKBANCORP Inc.     752,326         5,996
* Ocwen Financial Corp.     193,274         5,945
Greene County Bancorp Inc.     210,368         5,932
Regional Management Corp.     234,220         5,874
MainStreet Bancshares Inc.     235,247         5,836
Silvercrest Asset Management Group Inc. Class A     330,416         5,617
Northeast Community Bancorp Inc.     315,219         5,592
BCB Bancorp Inc.     430,285         5,529
HomeStreet Inc.     535,464         5,515
First Community Corp.     254,872         5,487
* California Bancorp     219,318         5,430
Chemung Financial Corp.     107,126         5,335
LCNB Corp.     335,831         5,296
Peoples Bancorp of North Carolina Inc.     172,294         5,202
Evans Bancorp Inc.     164,147         5,176
ESSA Bancorp Inc.     257,669         5,159
Meridian Corp.     367,884         5,114
*,1 Hagerty Inc. Class A     651,800         5,084
1 Angel Oak Mortgage REIT Inc.     472,039         5,004
* Pioneer Bancorp Inc.     497,336         4,978
Investar Holding Corp.     331,586         4,944
* Provident Bancorp Inc.     470,772         4,741
* Heritage Insurance Holdings Inc.     724,037         4,721
 
28

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
OP Bancorp     427,154         4,677
* NI Holdings Inc.     346,693         4,504
First United Corp.     188,849         4,440
* First Western Financial Inc.     222,640         4,415
Penns Woods Bancorp Inc.     190,732         4,293
*,1 American Coastal Insurance Corp.     440,681         4,169
Hawthorn Bancshares Inc.     164,209         4,166
Eagle Bancorp Montana Inc.     257,546         4,067
*,1 Bakkt Holdings Inc.   1,805,265         4,026
Bank7 Corp.     146,279         4,001
First Northwest Bancorp     246,872         3,935
* Heritage Global Inc.   1,401,176         3,895
William Penn Bancorp     318,150         3,885
* Velocity Financial Inc.     225,504         3,883
Guild Holdings Co. Class A     272,500         3,840
* ECB Bancorp Inc.     306,402         3,836
Federal Agricultural Mortgage Corp. Class A      24,386         3,832
Nexpoint Real Estate Finance Inc.     241,453         3,803
*,1 Citizens Inc. Class A   1,402,435         3,773
* Oportun Financial Corp.     960,206         3,754
Great Ajax Corp.     691,162         3,663
Riverview Bancorp Inc.     571,750         3,659
*,1 Hippo Holdings Inc.     399,918         3,647
First National Corp.     165,138         3,592
Westwood Holdings Group Inc.     277,674         3,490
1 Cherry Hill Mortgage Investment Corp.     845,975         3,418
* loanDepot Inc. Class A     961,855         3,386
* Maiden Holdings Ltd.   1,475,921         3,380
BankFinancial Corp.     328,418         3,370
* Luther Burbank Corp.     304,937         3,266
First Financial Northwest Inc.     230,131         3,102
1 Ellington Residential Mortgage REIT     486,682         2,983
United Security Bancshares     353,209         2,970
*,1 Consumer Portfolio Services Inc.     316,832         2,969
1 BV Financial Inc.     207,878         2,948
* Finwise Bancorp     200,082         2,863
*,1 Caret Holdings Inc. Class A     270,892         2,839
          Shares Market
Value

($000)
Union Bankshares Inc.      92,353         2,831
*,1 OppFi Inc.     543,794         2,784
* Security National Financial Corp. Class A     308,551         2,777
First Savings Financial Group Inc.     159,427         2,678
Franklin Financial Services Corp.      82,388         2,599
Finward Bancorp     101,400         2,535
Territorial Bancorp Inc.     226,146         2,522
*,1 SWK Holdings Corp.     138,755         2,432
* ACRES Commercial Realty Corp.     245,355         2,360
*,3 1895 Bancorp of Wisconsin Inc.     331,179         2,291
* USCB Financial Holdings Inc.     185,252         2,269
Provident Financial Holdings Inc.     178,916         2,256
Summit State Bank     181,477         2,178
Old Point Financial Corp.     119,700         2,122
TC Bancshares Inc.     151,263         2,071
First Guaranty Bancshares Inc.     167,977         1,868
Lument Finance Trust Inc.     799,449         1,863
*,1 Dave Inc.     214,024         1,795
* NSTS Bancorp Inc.     186,636         1,752
* Broadway Financial Corp.     264,266         1,752
Associated Capital Group Inc. Class A      48,920         1,747
*,1 SR Bancorp Inc.     174,600         1,669
* Catalyst Bancorp Inc.     151,200         1,639
* Finance of America Cos. Inc. Class A   1,481,602         1,630
Blue Ridge Bankshares Inc.     525,645         1,593
First Capital Inc.      56,504         1,542
*,1 GoHealth Inc. Class A     103,499         1,381
Manhattan Bridge Capital Inc.     262,659         1,305
* Great Elm Group Inc.     643,568         1,249
1 Hennessy Advisors Inc.     185,534         1,245
AmeriServ Financial Inc.     351,357         1,137
*,1 NeuroOne Medical Technologies Corp.     712,451         1,126
US Global Investors Inc. Class A     376,672         1,062
 
29

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Nicholas Financial Inc.     148,305         1,013
* Bogota Financial Corp.     117,122           942
* Kingsway Financial Services Inc.     110,758           930
Hanover Bancorp Inc.      52,401           924
Bayfirst Financial Corp.      65,679           851
MarketWise Inc.     304,854           832
Bank of the James Financial Group Inc.      66,294           798
*,1 Doma Holdings Inc.     164,352           761
*,1 Curo Group Holdings Corp.     735,347           588
* Lake Shore Bancorp Inc.      49,379           577
*,1 Daxor Corp.      47,328           454
* PB Bankshares Inc.      34,141           428
* Kingstone Cos. Inc.     193,591           412
* BM Technologies Inc.     196,926           404
* Patriot National Bancorp Inc.     101,605           389
* Ashford Inc.     104,740           385
* Siebert Financial Corp.     188,535           317
Safeguard Scientifics Inc.     385,500           302
*,1 Bitcoin Depot Inc.      83,372           269
* Carver Bancorp Inc.     133,111           262
Village Bank & Trust Financial Corp.       5,610           224
* OptimumBank Holdings Inc.      53,069           220
* BioRestorative Therapies Inc.     100,161           171
Texas Community Bancshares Inc.       9,328           131
First Seacoast Bancorp      17,374           131
Atlantic American Corp.      30,638            73
*,1 CXApp Inc.      50,571            65
* FG Financial Group Inc.      35,157            55
* Vericity Inc.       3,536            40
* Generations Bancorp NY Inc.       3,634            37
* SHF Holdings Inc.      20,499            29
* CaliberCos Inc. Class A       7,900            10
* Hallmark Financial Services Inc.       3,070             3
* Conifer Holdings Inc.       1,497             2
                      157,159,411
Health Care (12.0%)
Eli Lilly & Co.  26,822,326    15,635,270
          Shares Market
Value

($000)
UnitedHealth Group Inc.  29,032,311    15,284,641
Johnson & Johnson  75,569,538    11,844,769
Merck & Co. Inc.  79,570,231     8,674,747
AbbVie Inc.  55,427,844     8,589,653
Thermo Fisher Scientific Inc.  12,126,517     6,436,634
Abbott Laboratories  54,507,932     5,999,688
Pfizer Inc. 177,271,872     5,103,657
Amgen Inc.  16,803,951     4,839,874
Danaher Corp.  20,879,269     4,830,210
* Intuitive Surgical Inc.  11,062,748     3,732,129
Elevance Health Inc.   7,379,960     3,480,094
Medtronic plc  41,766,386     3,440,715
* Vertex Pharmaceuticals Inc.   8,093,235     3,293,056
Bristol-Myers Squibb Co.  63,874,220     3,277,386
Stryker Corp.  10,738,705     3,215,813
Gilead Sciences Inc.  39,139,396     3,170,682
* Regeneron Pharmaceuticals Inc.   3,196,827     2,807,741
Cigna Group   9,190,550     2,752,110
* Boston Scientific Corp.  46,026,637     2,660,800
Zoetis Inc. Class A  12,973,759     2,560,631
Becton Dickinson & Co.   9,121,263     2,224,038
Humana Inc.   3,867,859     1,770,745
HCA Healthcare Inc.   6,305,635     1,706,809
* Dexcom Inc.  12,125,470     1,504,650
* Edwards Lifesciences Corp.  19,055,067     1,452,949
* IDEXX Laboratories Inc.   2,610,285     1,448,839
* IQVIA Holdings Inc.   5,730,084     1,325,827
Agilent Technologies Inc.   9,185,699     1,277,088
* Centene Corp.  16,797,712     1,246,558
* Biogen Inc.   4,558,606     1,179,630
* Moderna Inc.  10,801,509     1,074,210
GE HealthCare Technologies Inc.  12,125,570       937,549
West Pharmaceutical Services Inc.   2,325,488       818,851
Zimmer Biomet Holdings Inc.   6,559,400       798,279
* Veeva Systems Inc. Class A   4,135,783       796,221
ResMed Inc.   4,617,511       794,304
Cardinal Health Inc.   7,729,568       779,140
* Alnylam Pharmaceuticals Inc.   3,959,777       757,941
* Illumina Inc.   4,973,266       692,478
STERIS plc   3,099,855       681,503
* Molina Healthcare Inc.   1,828,965       660,823
 
30

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Align Technology Inc.   2,282,857       625,503
Baxter International Inc.  15,912,640       615,183
Laboratory Corp. of America Holdings   2,662,879       605,246
Cooper Cos. Inc.   1,554,955       588,457
* BioMarin Pharmaceutical Inc.   5,909,902       569,833
* Hologic Inc.   7,567,981       540,732
Quest Diagnostics Inc.   3,523,191       485,778
* Avantor Inc.  21,177,199       483,475
* Insulet Corp.   2,188,573       474,877
Revvity Inc.   3,895,266       425,792
* Exact Sciences Corp.   5,667,673       419,294
* Neurocrine Biosciences Inc.   3,109,713       409,736
Viatris Inc.  37,642,800       407,672
Bio-Techne Corp.   4,968,087       383,338
* Charles River Laboratories International Inc.   1,609,522       380,491
* Incyte Corp.   5,965,113       374,549
Teleflex Inc.   1,479,681       368,944
Royalty Pharma plc Class A  11,939,033       335,367
* Karuna Therapeutics Inc.   1,031,346       326,431
* United Therapeutics Corp.   1,475,870       324,529
* Henry Schein Inc.   4,094,456       309,991
* Repligen Corp.   1,658,869       298,265
* Penumbra Inc.   1,147,047       288,528
Chemed Corp.     472,350       276,207
Universal Health Services Inc. Class B   1,809,896       275,901
* Sarepta Therapeutics Inc.   2,788,735       268,918
* Cytokinetics Inc.   3,154,850       263,398
* ImmunoGen Inc.   8,400,555       249,076
* Tenet Healthcare Corp.   3,200,333       241,849
* Catalent Inc.   5,373,843       241,447
* Medpace Holdings Inc.     772,458       236,782
DENTSPLY SIRONA Inc.   6,636,783       236,203
* Exelixis Inc.   9,766,182       234,291
* Jazz Pharmaceuticals plc   1,899,704       233,664
* Elanco Animal Health Inc.  15,515,619       231,183
* Natera Inc.   3,624,753       227,055
* Shockwave Medical Inc.   1,151,359       219,403
* Ionis Pharmaceuticals Inc.   4,275,916       216,319
          Shares Market
Value

($000)
* Acadia Healthcare Co. Inc.   2,761,951       214,769
Encompass Health Corp.   3,157,194       210,648
Bruker Corp.   2,853,983       209,711
* Intra-Cellular Therapies Inc.   2,918,925       209,053
* Bio-Rad Laboratories Inc. Class A     640,305       206,748
Ensign Group Inc.   1,789,367       200,785
* Globus Medical Inc. Class A   3,678,084       196,005
* Option Care Health Inc.   5,607,168       188,906
* Apellis Pharmaceuticals Inc.   3,137,929       187,836
* Inspire Medical Systems Inc.     922,920       187,750
* Masimo Corp.   1,584,157       185,679
* HealthEquity Inc.   2,680,070       177,689
* Blueprint Medicines Corp.   1,922,505       177,332
* Vaxcyte Inc.   2,657,954       166,920
* Bridgebio Pharma Inc.   4,132,646       166,835
* DaVita Inc.   1,573,652       164,856
* 10X Genomics Inc. Class A   2,931,539       164,049
* Halozyme Therapeutics Inc.   4,144,894       153,195
* Alkermes plc   5,211,206       144,559
* REVOLUTION Medicines Inc.   4,955,001       142,109
* Insmed Inc.   4,574,547       141,765
Perrigo Co. plc   4,250,975       136,796
* Haemonetics Corp.   1,589,471       135,916
* Amicus Therapeutics Inc.   9,569,161       135,786
* Lantheus Holdings Inc.   2,152,010       133,425
* Merit Medical Systems Inc.   1,738,225       132,036
* Envista Holdings Corp.   5,479,292       131,832
* Neogen Corp.   6,107,016       122,812
* Ultragenyx Pharmaceutical Inc.   2,537,788       121,357
* ACADIA Pharmaceuticals Inc.   3,848,518       120,497
* agilon health Inc.   9,550,403       119,858
* Teladoc Health Inc.   5,465,436       117,780
* QuidelOrtho Corp.   1,574,859       116,067
Organon & Co.   8,016,096       115,592
* Glaukos Corp.   1,452,067       115,425
* Madrigal Pharmaceuticals Inc.     493,669       114,225
* Azenta Inc.   1,724,869       112,358
 
31

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Evolent Health Inc. Class A   3,385,625       111,827
* Mirati Therapeutics Inc.   1,816,862       106,741
CONMED Corp.     959,204       105,042
* Integer Holdings Corp.   1,041,796       103,221
* Inari Medical Inc.   1,562,826       101,459
* Arrowhead Pharmaceuticals Inc.   3,245,289        99,306
* Axonics Inc.   1,588,517        98,853
* iRhythm Technologies Inc.     918,208        98,285
* Cerevel Therapeutics Holdings Inc.   2,309,137        97,907
* Fortrea Holdings Inc.   2,776,994        96,917
* Amedisys Inc.   1,014,044        96,395
* Progyny Inc.   2,582,108        96,003
* Prestige Consumer Healthcare Inc.   1,566,174        95,881
* Guardant Health Inc.   3,517,527        95,149
* Krystal Biotech Inc.     765,032        94,910
* Doximity Inc. Class A   3,384,748        94,908
*,1 Axsome Therapeutics Inc.   1,190,855        94,780
* Integra LifeSciences Holdings Corp.   2,058,729        89,658
* Rhythm Pharmaceuticals Inc.   1,901,409        87,408
* Enovis Corp.   1,546,372        86,628
* Pacific Biosciences of California Inc.   8,579,841        84,168
* Corcept Therapeutics Inc.   2,579,198        83,772
Premier Inc. Class A   3,734,693        83,508
* Cymabay Therapeutics Inc.   3,476,988        82,126
* Intellia Therapeutics Inc.   2,636,708        80,393
* Immunovant Inc.   1,875,846        79,029
* Nuvalent Inc. Class A   1,071,131        78,825
Patterson Cos. Inc.   2,763,530        78,622
* TransMedics Group Inc.     979,745        77,331
*,1 Ginkgo Bioworks Holdings Inc. Class A  45,147,591        76,299
* Surgery Partners Inc.   2,381,871        76,196
Select Medical Holdings Corp.   3,195,924        75,104
* CorVel Corp.     294,506        72,805
* TG Therapeutics Inc.   4,256,351        72,698
* ICU Medical Inc.     722,563        72,068
* Privia Health Group Inc.   3,126,701        72,008
* Amphastar Pharmaceuticals Inc.   1,161,880        71,862
          Shares Market
Value

($000)
* SpringWorks Therapeutics Inc.   1,922,406        70,168
* Crinetics Pharmaceuticals Inc.   1,970,199        70,100
* Denali Therapeutics Inc.   3,257,822        69,913
* Celldex Therapeutics Inc.   1,717,439        68,114
* Rocket Pharmaceuticals Inc.   2,242,118        67,196
* Certara Inc.   3,814,093        67,090
* Ideaya Biosciences Inc.   1,863,817        66,315
* NeoGenomics Inc.   4,085,347        66,101
* PTC Therapeutics Inc.   2,372,118        65,376
* Arcellx Inc.   1,175,998        65,268
* RadNet Inc.   1,863,273        64,786
* Twist Bioscience Corp.   1,719,854        63,394
* Beam Therapeutics Inc.   2,302,115        62,664
* Veracyte Inc.   2,277,635        62,658
* Tandem Diabetes Care Inc.   2,073,609        61,337
* Dynavax Technologies Corp.   4,219,116        58,983
* Arvinas Inc.   1,422,199        58,538
* Apollo Medical Holdings Inc.   1,525,379        58,422
* Iovance Biotherapeutics Inc.   7,104,401        57,759
*,1 PROCEPT BioRobotics Corp.   1,329,448        55,717
* Omnicell Inc.   1,424,491        53,604
* Vericel Corp.   1,497,790        53,336
* Catalyst Pharmaceuticals Inc.   3,145,237        52,871
* Sotera Health Co.   3,119,148        52,558
* Viking Therapeutics Inc.   2,816,935        52,423
* Syndax Pharmaceuticals Inc.   2,397,295        51,806
* AtriCure Inc.   1,422,532        50,770
* R1 RCM Inc.   4,793,504        50,667
* Myriad Genetics Inc.   2,645,322        50,631
* Novocure Ltd.   3,379,432        50,455
*,1 Recursion Pharmaceuticals Inc. Class A   5,116,069        50,444
* Ironwood Pharmaceuticals Inc. Class A   4,175,083        47,763
* Addus HomeCare Corp.     513,720        47,699
* Supernus Pharmaceuticals Inc.   1,641,380        47,502
* STAAR Surgical Co.   1,512,658        47,210
* RayzeBio Inc.     758,478        47,155
 
32

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Pacira BioSciences Inc.   1,393,966        47,032
*,1 Mirum Pharmaceuticals Inc.   1,516,303        44,761
* Alphatec Holdings Inc.   2,945,236        44,503
* Owens & Minor Inc.   2,294,526        44,216
US Physical Therapy Inc.     463,233        43,146
* Ardelyx Inc.   6,867,148        42,576
* Inhibrx Inc.   1,098,031        41,725
* BioCryst Pharmaceuticals Inc.   6,927,612        41,496
* Xencor Inc.   1,922,471        40,814
National HealthCare Corp.     436,033        40,298
* Hims & Hers Health Inc.   4,519,954        40,228
* Relay Therapeutics Inc.   3,651,716        40,205
* Agios Pharmaceuticals Inc.   1,756,423        39,116
* UFP Technologies Inc.     226,753        39,011
* Protagonist Therapeutics Inc.   1,700,416        38,991
* Phreesia Inc.   1,607,539        37,215
* Viridian Therapeutics Inc.   1,706,889        37,176
* Warby Parker Inc. Class A   2,577,087        36,337
LeMaitre Vascular Inc.     625,200        35,486
* Ligand Pharmaceuticals Inc.     495,497        35,388
* Akero Therapeutics Inc.   1,504,408        35,128
* Sage Therapeutics Inc.   1,591,020        34,477
* Geron Corp.  16,290,065        34,372
* Morphic Holding Inc.   1,169,956        33,788
Embecta Corp.   1,784,266        33,776
* Harmony Biosciences Holdings Inc.   1,030,691        33,291
* Kymera Therapeutics Inc.   1,283,411        32,676
* Brookdale Senior Living Inc.   5,605,895        32,626
* Avanos Medical Inc.   1,449,219        32,506
* Scholar Rock Holding Corp.   1,715,795        32,257
* Vir Biotechnology Inc.   3,201,683        32,209
* RxSight Inc.     797,938        32,173
* Kura Oncology Inc.   2,207,564        31,745
* Keros Therapeutics Inc.     784,812        31,204
* Innoviva Inc.   1,926,684        30,904
          Shares Market
Value

($000)
* Collegium Pharmaceutical Inc.     991,246        30,511
* Cytek Biosciences Inc.   3,288,520        29,991
* RAPT Therapeutics Inc.   1,200,884        29,842
* MiMedx Group Inc.   3,362,582        29,490
* Arcus Biosciences Inc.   1,528,425        29,193
* MannKind Corp.   7,997,219        29,110
* Pliant Therapeutics Inc.   1,606,245        29,089
* ADMA Biologics Inc.   6,411,673        28,981
*,1 EyePoint Pharmaceuticals Inc.   1,253,709        28,973
* Quanterix Corp.   1,054,687        28,835
* Deciphera Pharmaceuticals Inc.   1,760,798        28,402
* Day One Biopharmaceuticals Inc.   1,932,967        28,221
* ANI Pharmaceuticals Inc.     506,983        27,955
*,1 Soleno Therapeutics Inc.     692,700        27,881
*,1 Cassava Sciences Inc.   1,237,880        27,865
* 89bio Inc.   2,417,463        27,003
* Disc Medicine Inc.     466,139        26,924
*,1 Cabaletta Bio Inc.   1,172,821        26,623
* Editas Medicine Inc.   2,598,006        26,318
*,1 Verve Therapeutics Inc.   1,846,281        25,737
* Accolade Inc.   2,115,278        25,405
* Amylyx Pharmaceuticals Inc.   1,724,366        25,383
* Zentalis Pharmaceuticals Inc.   1,654,319        25,063
* Amneal Pharmaceuticals Inc.   4,061,878        24,656
* Varex Imaging Corp.   1,183,858        24,269
*,1 Alpine Immune Sciences Inc.   1,271,329        24,232
* Healthcare Services Group Inc.   2,327,311        24,134
* SI-BONE Inc.   1,147,891        24,094
* Revance Therapeutics Inc.   2,727,369        23,974
* Pediatrix Medical Group Inc.   2,551,252        23,727
* Alignment Healthcare Inc.   2,719,836        23,418
National Research Corp.     588,072        23,264
* Olema Pharmaceuticals Inc.   1,650,326        23,154
* Nevro Corp.   1,073,584        23,104
 
33

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* 4D Molecular Therapeutics Inc.   1,139,344        23,083
* Arcturus Therapeutics Holdings Inc.     716,967        22,606
* REGENXBIO Inc.   1,239,237        22,244
* Maravai LifeSciences Holdings Inc. Class A   3,290,910        21,555
* Travere Therapeutics Inc.   2,383,520        21,428
*,1 ImmunityBio Inc.   4,255,631        21,363
*,1 Anavex Life Sciences Corp.   2,266,872        21,105
* Zymeworks Inc.   2,028,900        21,080
* Avidity Biosciences Inc.   2,312,947        20,932
* OmniAb Inc.   3,296,609        20,340
* Artivion Inc.   1,123,317        20,085
* Adaptive Biotechnologies Corp.   4,084,649        20,015
*,1 Apogee Therapeutics Inc.     709,568        19,825
HealthStream Inc.     721,873        19,512
* Dyne Therapeutics Inc.   1,453,532        19,332
* CareDx Inc.   1,607,580        19,291
* OPKO Health Inc.  12,728,537        19,220
* Ambrx Biopharma Inc.   1,340,800        19,093
* BioLife Solutions Inc.   1,173,331        19,067
* Savara Inc.   3,930,071        18,471
* Tarsus Pharmaceuticals Inc.     911,649        18,461
*,1 Liquidia Corp.   1,531,173        18,420
*,1 LifeStance Health Group Inc.   2,350,645        18,406
*,1 Novavax Inc.   3,816,536        18,319
*,1 Altimmune Inc.   1,617,739        18,200
* ACELYRIN Inc.   2,415,024        18,016
* MacroGenics Inc.   1,839,450        17,696
* OraSure Technologies Inc.   2,157,546        17,692
* Treace Medical Concepts Inc.   1,378,355        17,574
* Fulgent Genetics Inc.     603,703        17,453
* ModivCare Inc.     394,429        17,351
* Multiplan Corp.  12,035,952        17,332
* Evolus Inc.   1,640,561        17,275
* Icosavax Inc.   1,095,971        17,273
* Castle Biosciences Inc.     796,167        17,181
* PetIQ Inc. Class A     867,296        17,129
* AdaptHealth Corp. Class A   2,337,979        17,044
*,1 Tango Therapeutics Inc.   1,700,696        16,837
          Shares Market
Value

($000)
*,1 Marinus Pharmaceuticals Inc.   1,507,998        16,392
* Alector Inc.   2,043,595        16,308
* Enhabit Inc.   1,542,041        15,960
* Zimvie Inc.     886,345        15,733
* Kiniksa Pharmaceuticals Ltd. Class A     893,713        15,676
* GoodRx Holdings Inc. Class A   2,333,432        15,634
* AN2 Therapeutics Inc.     749,421        15,356
* Surmodics Inc.     421,394        15,318
Atrion Corp.      39,845        15,093
* Health Catalyst Inc.   1,626,169        15,058
* Cogent Biosciences Inc.   2,552,205        15,007
*,1 Nurix Therapeutics Inc.   1,429,349        14,751
* Ocular Therapeutix Inc.   3,289,162        14,670
* Orthofix Medical Inc.   1,079,096        14,546
* OrthoPediatrics Corp.     446,225        14,507
* Silk Road Medical Inc.   1,168,288        14,335
Tourmaline Bio Inc.     544,450        14,254
* DocGo Inc.   2,537,297        14,184
* KalVista Pharmaceuticals Inc.   1,153,121        14,126
* Organogenesis Holdings Inc. Class A   3,432,061        14,037
*,1 Theravance Biopharma Inc.   1,226,993        13,791
* MaxCyte Inc.   2,818,256        13,246
* Edgewise Therapeutics Inc.   1,198,693        13,114
* Pulmonx Corp.   1,028,344        13,111
* Caribou Biosciences Inc.   2,272,290        13,020
*,1 Vera Therapeutics Inc. Class A     835,574        12,851
* Avid Bioservices Inc.   1,945,642        12,647
* Paragon 28 Inc.   1,009,325        12,546
* Replimune Group Inc.   1,483,980        12,510
*,1 Immunome Inc.   1,168,900        12,507
* Community Health Systems Inc.   3,983,855        12,469
*,1 Allogene Therapeutics Inc.   3,876,439        12,443
*,1 ORIC Pharmaceuticals Inc.   1,349,104        12,412
* ALX Oncology Holdings Inc.     831,579        12,382
* AnaptysBio Inc.     574,301        12,302
 
34

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Sana Biotechnology Inc.   2,968,610        12,112
*,1 Prime Medicine Inc.   1,363,505        12,081
*,1 Lyell Immunopharma Inc.   6,174,266        11,978
*,1 HilleVax Inc.     734,955        11,796
* Pennant Group Inc.     840,720        11,703
* Fulcrum Therapeutics Inc.   1,694,516        11,438
* Voyager Therapeutics Inc.   1,344,790        11,350
*,1 Fennec Pharmaceuticals Inc.   1,004,000        11,265
*,1 Avita Medical Inc.     816,217        11,199
*,1 Harrow Inc.     992,128        11,112
* Cerus Corp.   5,068,933        10,949
*,1 Coherus Biosciences Inc.   3,264,178        10,870
*,1 Biomea Fusion Inc.     745,055        10,818
* SomaLogic Inc.   4,157,015        10,517
* American Well Corp. Class A   6,917,282        10,307
*,1 Phathom Pharmaceuticals Inc.   1,108,452        10,120
* Tactile Systems Technology Inc.     702,000        10,039
* CVRx Inc.     316,816         9,961
* Anika Therapeutics Inc.     438,739         9,942
* Clover Health Investments Corp. Class A  10,280,134         9,788
iRadimed Corp.     204,905         9,727
*,1 Scilex Holding Co.   4,763,028         9,717
*,1 Enliven Therapeutics Inc.     699,300         9,678
* Xeris Biopharma Holdings Inc.   4,106,991         9,651
* Fate Therapeutics Inc.   2,562,686         9,584
* Sharecare Inc.   8,872,250         9,582
*,1 Summit Therapeutics Inc.   3,662,182         9,558
* AngioDynamics Inc.   1,212,644         9,507
* Cullinan Oncology Inc.     922,529         9,401
* Axogen Inc.   1,375,595         9,395
*,1 Entrada Therapeutics Inc.     602,072         9,085
* Outset Medical Inc.   1,666,098         9,014
* Semler Scientific Inc.     202,309         8,960
* Talkspace Inc.   3,519,033         8,938
* Accuray Inc.   3,121,853         8,835
* Astria Therapeutics Inc.   1,134,044         8,709
*,1 908 Devices Inc.     758,127         8,506
* iTeos Therapeutics Inc.     771,420         8,447
          Shares Market
Value

($000)
*,1 Korro Bio Inc.     175,933         8,432
*,1 Bluebird Bio Inc.   6,048,441         8,347
*,1 Genelux Corp.     591,200         8,283
*,1 Arbutus Biopharma Corp.   3,300,543         8,251
* Aura Biosciences Inc.     924,293         8,189
Utah Medical Products Inc.      96,930         8,163
*,1 Arcutis Biotherapeutics Inc.   2,501,217         8,079
*,1 Esperion Therapeutics Inc.   2,691,796         8,048
* Applied Therapeutics Inc.   2,396,489         8,028
*,1 Celcuity Inc.     550,479         8,020
* Agiliti Inc.   1,009,959         7,999
*,1 Zynex Inc.     732,906         7,981
* Mersana Therapeutics Inc.   3,413,782         7,920
* Y-mAbs Therapeutics Inc.   1,159,178         7,906
* Terns Pharmaceuticals Inc.   1,218,066         7,905
*,1 Agenus Inc.   9,494,960         7,861
*,1 Taysha Gene Therapies Inc.   4,387,426         7,766
*,1 23andMe Holding Co. Class A   8,501,758         7,766
* Rigel Pharmaceuticals Inc.   5,156,463         7,477
*,1 Aerovate Therapeutics Inc.     328,971         7,445
*,1 Senseonics Holdings Inc.  12,947,685         7,381
* Sutro Biopharma Inc.   1,708,596         7,330
* Vanda Pharmaceuticals Inc.   1,722,130         7,267
* OptimizeRx Corp.     505,901         7,239
*,1 Absci Corp.   1,708,381         7,175
*,1 C4 Therapeutics Inc.   1,268,599         7,168
*,1 Gossamer Bio Inc.   7,830,376         7,145
* Viemed Healthcare Inc.     907,059         7,120
* TScan Therapeutics Inc.   1,190,934         6,943
* Atea Pharmaceuticals Inc.   2,253,893         6,874
*,1 Harpoon Therapeutics Inc.     603,141         6,858
* InfuSystem Holdings Inc.     645,855         6,807
*,1 Zomedica Corp.  33,687,896         6,744
* Harvard Bioscience Inc.   1,259,834         6,740
SIGA Technologies Inc.   1,189,862         6,663
Phibro Animal Health Corp. Class A     569,430         6,594
 
35

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Vistagen Therapeutics Inc.   1,277,510         6,566
* Invivyd Inc.   1,620,200         6,384
*,1 Orchestra BioMed Holdings Inc.     697,362         6,367
*,1 Tyra Biosciences Inc.     458,562         6,351
*,1 Zevra Therapeutics Inc.     967,269         6,336
* Codexis Inc.   2,072,588         6,321
* Standard BioTools Inc.   2,856,696         6,313
* Nuvation Bio Inc.   4,178,976         6,310
*,1 ARS Pharmaceuticals Inc.   1,134,600         6,218
*,1 CorMedix Inc.   1,649,126         6,201
*,1 2seventy bio Inc.   1,443,176         6,162
*,1 Nkarta Inc.     931,700         6,149
*,1 Heron Therapeutics Inc.   3,607,037         6,132
* Puma Biotechnology Inc.   1,414,207         6,124
*,1 Verastem Inc.     746,247         6,074
*,1 Quantum-Si Inc.   3,012,870         6,056
*,1 Verrica Pharmaceuticals Inc.     814,672         5,963
* Ovid therapeutics Inc.   1,851,578         5,962
*,1 Omeros Corp.   1,822,044         5,958
* Aldeyra Therapeutics Inc.   1,696,710         5,955
*,1 Janux Therapeutics Inc.     548,511         5,886
*,1 Akebia Therapeutics Inc.   4,709,482         5,840
* Inozyme Pharma Inc.   1,351,902         5,759
*,1 Lexicon Pharmaceuticals Inc.   3,702,774         5,665
* Third Harmonic Bio Inc.     516,335         5,664
* Mineralys Therapeutics Inc.     658,659         5,664
* Enanta Pharmaceuticals Inc.     592,129         5,572
*,1 ClearPoint Neuro Inc.     819,120         5,562
* FONAR Corp.     282,837         5,532
*,1 Stoke Therapeutics Inc.   1,029,440         5,415
*,1 Gritstone bio Inc.   2,636,056         5,378
*,1 Precigen Inc.   3,991,343         5,348
*,1 scPharmaceuticals Inc.     847,334         5,313
*,1 Shattuck Labs Inc.     731,691         5,217
* Tenaya Therapeutics Inc.   1,610,005         5,216
* Nautilus Biotechnology Inc. Class A   1,742,974         5,212
          Shares Market
Value

($000)
* Computer Programs & Systems Inc.     463,726         5,194
*,1 Invitae Corp.   8,208,345         5,145
* Acumen Pharmaceuticals Inc.   1,319,129         5,065
* Poseida Therapeutics Inc. Class A   1,506,603         5,062
*,1 XOMA Corp.     272,821         5,047
* Allakos Inc.   1,821,663         4,973
*,1 Lineage Cell Therapeutics Inc.   4,523,730         4,931
* Praxis Precision Medicines Inc.     219,483         4,890
* Myomo Inc.     958,764         4,803
* Annexon Inc.   1,055,049         4,790
*,1 Monte Rosa Therapeutics Inc.     844,219         4,770
* PMV Pharmaceuticals Inc.   1,524,487         4,726
* Humacyte Inc.   1,620,693         4,603
*,1 Immuneering Corp. Class A     616,596         4,532
* Joint Corp.     469,145         4,508
*,1 Sight Sciences Inc.     863,824         4,457
*,1 Butterfly Network Inc.   4,113,565         4,443
*,1 X4 Pharmaceuticals Inc.   5,283,949         4,431
*,1 Ocugen Inc.   7,596,773         4,368
* Akoya Biosciences Inc.     881,015         4,299
* Merrimack Pharmaceuticals Inc.     318,128         4,266
*,1 Tela Bio Inc.     642,283         4,252
*,1 Annovis Bio Inc.     225,507         4,217
*,1 Inovio Pharmaceuticals Inc.   8,260,428         4,213
*,1 PDS Biotechnology Corp.     845,684         4,203
* Syros Pharmaceuticals Inc.     535,713         4,173
*,1 Seres Therapeutics Inc.   2,966,502         4,153
*,1 Inmune Bio Inc.     361,452         4,070
*,1 Actinium Pharmaceuticals Inc.     794,173         4,034
* Ventyx Biosciences Inc.   1,608,361         3,973
*,1 G1 Therapeutics Inc.   1,295,502         3,951
*,1 GlycoMimetics Inc.   1,661,637         3,921
* Erasca Inc.   1,830,279         3,899
* Perspective Therapeutics Inc.   9,673,312         3,889
*,1 IGM Biosciences Inc.     460,333         3,825
*,1 Innovage Holding Corp.     630,750         3,785
* Inogen Inc.     688,056         3,777
 
36

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Capricor Therapeutics Inc.     767,235         3,752
* Relmada Therapeutics Inc.     904,705         3,745
* Aveanna Healthcare Holdings Inc.   1,391,988         3,731
*,1 Emergent BioSolutions Inc.   1,543,545         3,705
*,1 Abeona Therapeutics Inc.     738,626         3,701
* Larimar Therapeutics Inc.     811,421         3,692
*,2 PDL BioPharma Inc.   2,258,201         3,636
*,1 CEL - SCI Corp.   1,336,126         3,634
*,1 Pulse Biosciences Inc.     296,203         3,626
*,1 Reviva Pharmaceuticals Holdings Inc.     700,442         3,607
* Anixa Biosciences Inc.     927,841         3,600
* Bioventus Inc. Class A     679,103         3,579
*,1 Foghorn Therapeutics Inc.     550,850         3,553
*,1 Sera Prognostics Inc. Class A     586,201         3,505
*,1 Biote Corp. Class A     708,040         3,498
* Lyra Therapeutics Inc.     661,817         3,468
* Compass Therapeutics Inc.   2,187,972         3,413
*,1 Optinose Inc.   2,642,428         3,409
* Black Diamond Therapeutics Inc.   1,204,957         3,386
*,1 CytomX Therapeutics Inc.   2,182,220         3,382
*,1 Atossa Therapeutics Inc.   3,779,376         3,326
* Lexeo Therapeutics Inc.     247,281         3,319
* Augmedix Inc.     564,821         3,304
* Nektar Therapeutics Class A   5,846,571         3,303
* Assertio Holdings Inc.   3,013,166         3,224
*,1 Omega Therapeutics Inc.   1,055,010         3,176
* Cue Biopharma Inc.   1,190,778         3,144
* ChromaDex Corp.   2,196,484         3,141
*,1 Citius Pharmaceuticals Inc.   4,132,683         3,126
* BioAtla Inc.   1,267,868         3,119
* Seer Inc. Class A   1,594,055         3,092
1 Carisma Therapeutics Inc.   1,054,783         3,091
* Mural Oncology plc     520,278         3,080
* Prelude Therapeutics Inc.     720,427         3,076
          Shares Market
Value

($000)
*,1 Eton Pharmaceuticals Inc.     681,717         2,986
* Kodiak Sciences Inc.     980,492         2,981
*,1 Sanara Medtech Inc.      71,464         2,937
* Personalis Inc.   1,375,373         2,888
* Athira Pharma Inc.   1,183,657         2,876
* KORU Medical Systems Inc.   1,140,651         2,800
* Chimerix Inc.   2,904,360         2,795
*,1 Karyopharm Therapeutics Inc.   3,209,249         2,776
* Electromed Inc.     253,800         2,769
* NeuroPace Inc.     267,456         2,757
* Longboard Pharmaceuticals Inc.     454,801         2,742
*,1 Hyperfine Inc. Class A   2,390,349         2,677
*,1 Apyx Medical Corp.   1,015,930         2,662
*,1 Inotiv Inc.     720,906         2,646
*,1 Cartesian Therapeutics Inc.   3,799,067         2,619
* Neuronetics Inc.     902,726         2,618
* Oncology Institute Inc.   1,273,384         2,598
*,1 FibroGen Inc.   2,912,350         2,581
* Stereotaxis Inc.   1,470,512         2,573
* Generation Bio Co.   1,555,025         2,566
*,1 AirSculpt Technologies Inc.     341,234         2,556
* Graphite Bio Inc.     969,009         2,539
*,1 XBiotech Inc.     622,546         2,490
*,1 Asensus Surgical Inc.   7,734,650         2,467
*,1 Vaxart Inc.   4,069,328         2,331
* aTyr Pharma Inc.   1,652,835         2,331
* Sangamo Therapeutics Inc.   4,281,700         2,326
* SCYNEXIS Inc.   1,040,219         2,320
*,1 Bionano Genomics Inc.   1,218,851         2,304
*,1 Vor BioPharma Inc.     990,141         2,228
* Aquestive Therapeutics Inc.   1,096,885         2,216
* Werewolf Therapeutics Inc.     567,665         2,191
* Jasper Therapeutics Inc.   2,773,673         2,188
* Aclaris Therapeutics Inc.   1,999,428         2,099
* Adverum Biotechnologies Inc.   2,788,554         2,099
*,1 Cutera Inc.     594,164         2,094
* Century Therapeutics Inc.     625,729         2,077
*,1 PepGen Inc.     304,943         2,074
* Ikena Oncology Inc.   1,031,034         2,031
* Trevi Therapeutics Inc.   1,502,831         2,014
 
37

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Galectin Therapeutics Inc.   1,189,409         1,974
*,1 ProKidney Corp. Class A   1,064,701         1,895
*,1 Bioxcel Therapeutics Inc.     640,245         1,889
* Spruce Biosciences Inc.     638,558         1,871
*,1 Cardiff Oncology Inc.   1,254,717         1,857
*,1 Ocuphire Pharma Inc.     611,415         1,840
* Adicet Bio Inc.     968,997         1,831
* Vigil Neuroscience Inc.     531,740         1,797
* Kezar Life Sciences Inc.   1,877,555         1,779
* Eagle Pharmaceuticals Inc.     336,766         1,761
* Theseus Pharmaceuticals Inc.     431,873         1,749
* Kinnate Biopharma Inc.     730,663         1,732
*,1 Immunic Inc.   1,150,800         1,726
*,1 Rani Therapeutics Holdings Inc. Class A     518,702         1,722
*,1 Cidara Therapeutics Inc.   2,166,543         1,720
* Pro-Dex Inc.      98,013         1,703
*,1 Co-Diagnostics Inc.   1,279,125         1,701
*,1 Cargo Therapeutics Inc.      73,218         1,695
*,1 DermTech Inc.     967,000         1,692
* Enzo Biochem Inc.   1,187,908         1,651
*,1 Palatin Technologies Inc.     409,703         1,631
* Pyxis Oncology Inc.     903,923         1,627
* Clearside Biomedical Inc.   1,383,654         1,619
*,1 Greenwich Lifesciences Inc.     153,459         1,614
*,1 Eyenovia Inc.     775,664         1,613
* Cyteir Therapeutics Inc.     517,703         1,574
*,1 Acrivon Therapeutics Inc.     309,500         1,523
* Rallybio Corp.     636,414         1,521
*,1 Curis Inc.     119,269         1,521
* Passage Bio Inc.   1,496,581         1,512
* Nuvectis Pharma Inc.     181,040         1,510
*,1 Corvus Pharmaceuticals Inc.     857,417         1,509
*,1 Beyond Air Inc.     763,374         1,496
* Forian Inc.     507,760         1,485
* Spero Therapeutics Inc.   1,007,326         1,481
*,1 CytoSorbents Corp.   1,302,216         1,445
* Xtant Medical Holdings Inc.   1,278,952         1,445
          Shares Market
Value

($000)
* DiaMedica Therapeutics Inc.     506,271         1,438
*,1 Rockwell Medical Inc.     759,624         1,436
* Avrobio Inc.   1,051,279         1,430
*,1 Outlook Therapeutics Inc.   3,610,237         1,422
*,1 Atara Biotherapeutics Inc.   2,710,236         1,390
*,1 Kronos Bio Inc.   1,070,954         1,339
*,1 Achieve Life Sciences Inc.     320,421         1,320
*,1 CareMax Inc.   2,648,343         1,319
* Sensus Healthcare Inc.     555,562         1,311
*,1 Matinas BioPharma Holdings Inc.   6,020,598         1,302
* iCAD Inc.     726,680         1,286
*,1 Vaxxinity Inc. Class A   1,489,274         1,266
*,1 Delcath Systems Inc.     302,558         1,259
*,1 P3 Health Partners Inc.     868,499         1,225
* Elicio Therapeutics Inc.     144,639         1,206
*,1 Allovir Inc.   1,771,721         1,204
* Solid Biosciences Inc.     190,097         1,167
1 MEI Pharma Inc.     201,106         1,166
*,1 Oncternal Therapeutics Inc.   2,159,797         1,158
*,1 Hookipa Pharma Inc.   1,396,133         1,131
* Assembly Biosciences Inc.   1,377,385         1,130
* Alpha Teknova Inc.     303,047         1,130
*,1 GeneDx Holdings Corp. Class A     410,782         1,130
*,1 enVVeno Medical Corp.     216,998         1,115
* Lantern Pharma Inc.     256,113         1,096
* NGM Biopharmaceuticals Inc.   1,269,403         1,090
* Design Therapeutics Inc.     411,201         1,090
* Dianthus Therapeutics Inc.     103,857         1,080
*,1 IRIDEX Corp.     373,047         1,048
*,1 Vicarious Surgical Inc. Class A   2,852,321         1,046
*,1 Cellectar Biosciences Inc.     365,704         1,013
* Aadi Bioscience Inc.     499,926         1,010
* Cara Therapeutics Inc.   1,354,313         1,006
*,1 Milestone Scientific Inc.   1,447,898           999
*,1 Acurx Pharmaceuticals Inc.     260,850           999
 
38

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* NanoString Technologies Inc.   1,330,066           995
* LENSAR Inc.     282,930           993
*,1 Leap Therapeutics Inc.     235,604           977
*,1 Movano Inc.   1,233,783           964
*,1 Dyadic International Inc.     596,383           960
*,1 Cognition Therapeutics Inc.     517,783           958
* Reneo Pharmaceuticals Inc.     596,113           954
* Precision BioSciences Inc.   2,436,960           890
* PAVmed Inc.     213,896           881
*,1 Accelerate Diagnostics Inc.     223,456           876
*,1 Bolt Biotherapeutics Inc.     747,881           838
* Rezolute Inc.     841,974           836
*,1 Eledon Pharmaceuticals Inc.     459,998           828
*,1 Homology Medicines Inc.   1,354,738           824
*,1 Bright Health Group Inc.     104,371           796
* Minerva Neurosciences Inc.     128,899           793
*,1 SELLAS Life Sciences Group Inc.     742,353           787
*,1 BioSig Technologies Inc.   1,638,452           778
*,1 Fortress Biotech Inc.     258,336           778
*,1 Marker Therapeutics Inc.     135,408           745
* HeartBeam Inc.     315,883           742
* Biodesix Inc.     400,114           736
*,1 Dare Bioscience Inc.   2,375,133           734
* Societal CDMO Inc.   2,064,292           724
* ImmuCell Corp.     139,968           707
*,1 Quince Therapeutics Inc.     663,318           697
*,1 UNITY Biotechnology Inc.     357,567           690
* Corbus Pharmaceuticals Holdings Inc.     112,022           677
*,1 Checkpoint Therapeutics Inc.     293,542           672
* Instil Bio Inc.      85,903           655
* Exagen Inc.     326,266           649
*,1 Context Therapeutics Inc.     573,400           648
*,1 Science 37 Holdings Inc.     118,985           635
*,1 Rain Oncology Inc.     518,612           622
*,1 Ekso Bionics Holdings Inc.     243,385           608
          Shares Market
Value

($000)
* NextCure Inc.     530,127           604
* Lumos Pharma Inc.     187,322           586
* AIM ImmunoTech Inc.   1,311,599           577
* Celularity Inc. Class A   2,316,900           573
* Microbot Medical Inc.     348,549           572
*,1 Clene Inc.   1,911,118           567
*,1 TherapeuticsMD Inc.     249,657           562
*,1 Biomerica Inc.     440,355           550
*,1 Singular Genomics Systems Inc.   1,180,133           543
* Synlogic Inc.     139,449           537
* Protara Therapeutics Inc.     284,301           532
* ARCA biopharma Inc.     312,166           531
* Moleculin Biotech Inc.     616,108           529
* ElectroCore Inc.      91,007           527
*,1 Incannex Healthcare Inc.     112,351           521
* Turnstone Biologics Corp.     200,545           510
* Eliem Therapeutics Inc.     189,734           509
*,1 Elutia Inc.     233,593           505
*,1 Biora Therapeutics Inc.     372,034           502
Psychemedics Corp.     165,415           490
* Cumberland Pharmaceuticals Inc.     280,820           489
* Neurogene Inc.      24,677           478
*,1 Aligos Therapeutics Inc.     712,990           473
* Retractable Technologies Inc.     421,212           468
*,1 Viracta Therapeutics Inc.     813,922           464
*,1 Aspira Women's Health Inc.     113,506           463
* Elevation Oncology Inc.     854,850           459
*,1 NRX Pharmaceuticals Inc.     978,921           450
* Sonida Senior Living Inc.      46,397           448
* Intensity Therapeutics Inc.      52,091           446
* Rapid Micro Biosystems Inc. Class A     594,568           440
*,1 Alaunos Therapeutics Inc.   6,058,963           428
*,1 Bright Green Corp.   1,286,273           425
*,1 Cano Health Inc.      71,958           422
* Cryo-Cell International Inc.      72,821           419
 
39

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Sagimet Biosciences Inc. Class A      76,983           417
* Equillium Inc.     570,835           413
*,1 SAB Biotherapeutics Inc.     598,672           412
*,1 Candel Therapeutics Inc.     279,875           411
* Cue Health Inc.   2,505,948           407
* Xilio Therapeutics Inc.     739,563           407
*,1 Indaptus Therapeutics Inc.     229,197           406
*,1 CareCloud Inc.     266,292           405
*,1 Lucid Diagnostics Inc.     286,266           404
*,1 Durect Corp.     684,963           404
*,1 Forte Biosciences Inc.     487,429           401
* Vincerx Pharma Inc.     334,111           394
*,1 Lipocine Inc.     141,076           389
*,1 Oncocyte Corp.     153,986           382
*,1 Alimera Sciences Inc.      87,394           378
*,1 Immix Biopharma Inc.      52,979           367
* Kineta Inc.      99,876           355
* Nephros Inc.     102,105           352
*,1 Hepion Pharmaceuticals Inc.     104,005           340
*,1 Cyclo Therapeutics Inc.     211,053           336
* Coya Therapeutics Inc.      44,096           327
*,1 Strata Skin Sciences Inc.     593,248           326
* Cocrystal Pharma Inc.     191,359           325
*,1 Lisata Therapeutics Inc.     118,336           323
* Seelos Therapeutics Inc.     224,893           313
*,1 NanoViricides Inc.     300,189           306
*,1 Sensei Biotherapeutics Inc.     441,585           306
* ATI Physical Therapy Inc.      49,713           305
*,1 BioCardia Inc.     457,496           304
* Anebulo Pharmaceuticals Inc.     121,000           293
* Dominari Holdings Inc.     111,013           288
* Orgenesis Inc.     566,688           284
* Neumora Therapeutics Inc.      16,451           281
*,1 Eiger BioPharmaceuticals Inc.   1,244,467           279
*,1 Onconova Therapeutics Inc.     365,661           273
          Shares Market
Value

($000)
*,1 Organovo Holdings Inc. Class A     238,972           265
*,1 Molecular Templates Inc.      71,577           265
*,1 Vivani Medical Inc.     258,649           264
*,1 BrainStorm Cell Therapeutics Inc.     951,371           260
* Genprex Inc.   1,127,694           259
*,1 MyMD Pharmaceuticals Inc.     986,327           255
* Upexi Inc.     214,062           248
*,1 Predictive Oncology Inc.      69,297           228
*,1 Modular Medical Inc.     115,726           211
* Regulus Therapeutics Inc.     164,709           211
*,1 Senti Biosciences Inc. Class A     320,153           211
* PharmaCyte Biotech Inc.      96,416           208
*,1 IN8bio Inc.     150,136           207
* HCW Biologics Inc.     167,691           205
*,1 GT Biopharma Inc.     766,308           195
*,1 vTv Therapeutics Inc. Class A      15,627           180
*,1 Longeveron Inc. Class A     125,885           171
* AgeX Therapeutics Inc.     426,190           164
* Armata Pharmaceuticals Inc.      50,136           162
*,1 BioVie Inc. Class A     128,489           162
*,1 GeoVax Labs Inc.     439,870           159
*,1 MiNK Therapeutics Inc.     148,229           159
* TFF Pharmaceuticals Inc.      22,507           158
* Mustang Bio Inc.     104,168           141
*,1 eFFECTOR Therapeutics Inc.     300,033           140
* Talis Biomedical Corp.      18,267           136
* Surrozen Inc.      13,278           126
* Precipio Inc.      19,779           125
*,1 Telesis Bio Inc.     307,523           123
* Precision Optics Corp. Inc.      19,998           123
*,1 Tonix Pharmaceuticals Holding Corp.     297,302           120
*,1 Sientra Inc.     181,333           111
*,1 MAIA Biotechnology Inc.      93,500           109
* Know Labs Inc.     211,143           107
* Eargo Inc.      40,636           105
* Nutriband Inc.      41,970            98
 
40

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Aravive Inc.     779,481            96
*,1 Inhibikase Therapeutics Inc.      75,629            96
* Journey Medical Corp.      15,723            91
* American Shared Hospital Services      36,859            88
*,1 AcelRx Pharmaceuticals Inc.     112,873            83
*,1 Finch Therapeutics Group Inc.      22,530            81
*,1 Theriva Biologics Inc.     172,086            74
*,1 Atreca Inc. Class A     485,847            64
* Champions Oncology Inc.      11,573            63
*,1 Novo Integrated Sciences Inc.      77,105            63
*,1 Star Equity Holdings Inc.      53,681            55
* iSpecimen Inc.      98,114            49
*,1 NightHawk Biosciences Inc.     107,297            47
* Venus Concept Inc.      37,158            43
*,2 Impact BioMedical Inc. (Registered)   5,171,052            33
*,1 Vaccinex Inc.      35,633            24
*,1 Aprea Therapeutics Inc.       4,990            23
* KALA BIO Inc.         907             6
* Coeptis Therapeutics Holdings       7,950             6
* Acorda Therapeutics Inc.         370             5
*,1,2 Synergy Pharmaceuticals LLC   5,148,145            —
*,2 OmniAb Inc. 12.5 Earnout     186,267            —
*,2 OmniAb Inc. 15 Earnout     186,267            —
                      175,231,349
Industrials (13.1%)
Visa Inc. Class A  49,161,229    12,799,126
Mastercard Inc. Class A  26,261,902    11,200,964
Accenture plc Class A  19,693,641     6,910,696
* Boeing Co.  18,995,096     4,951,262
Caterpillar Inc.  15,980,540     4,724,966
Union Pacific Corp.  19,125,414     4,697,584
General Electric Co.  34,192,214     4,363,952
Honeywell International Inc.  20,699,356     4,340,862
RTX Corp.  45,157,308     3,799,536
United Parcel Service Inc. Class B  22,672,144     3,564,741
          Shares Market
Value

($000)
Lockheed Martin Corp.   7,781,461     3,526,869
Deere & Co.   8,138,787     3,254,457
American Express Co.  17,154,973     3,213,813
Eaton Corp. plc  12,546,651     3,021,484
Automatic Data Processing Inc.  12,902,739     3,005,951
* Fiserv Inc.  18,841,756     2,502,939
Illinois Tool Works Inc.   8,953,776     2,345,352
Sherwin-Williams Co.   7,230,256     2,255,117
CSX Corp.  62,017,878     2,150,160
* PayPal Holdings Inc.  33,872,041     2,080,082
General Dynamics Corp.   7,708,880     2,001,765
Northrop Grumman Corp.   4,262,306     1,995,356
3M Co.  17,337,401     1,895,325
Parker-Hannifin Corp.   4,037,796     1,860,213
FedEx Corp.   7,097,384     1,795,425
Emerson Electric Co.  17,906,942     1,742,883
Trane Technologies plc   7,143,049     1,742,190
Norfolk Southern Corp.   7,102,500     1,678,889
TransDigm Group Inc.   1,651,003     1,670,155
Cintas Corp.   2,713,465     1,635,297
PACCAR Inc.  16,424,461     1,603,849
Carrier Global Corp.  26,379,345     1,515,493
Capital One Financial Corp.  11,354,942     1,488,860
* Block Inc. Class A  17,397,837     1,345,723
L3Harris Technologies Inc.   5,964,325     1,256,206
Old Dominion Freight Line Inc.   3,085,860     1,250,792
Ferguson plc   6,395,035     1,234,689
Johnson Controls International plc  21,332,887     1,229,628
United Rentals Inc.   2,130,772     1,221,827
Paychex Inc.  10,204,499     1,215,458
AMETEK Inc.   7,233,454     1,192,724
WW Grainger Inc.   1,400,571     1,160,639
Otis Worldwide Corp.  12,819,033     1,146,919
Rockwell Automation Inc.   3,602,718     1,118,572
PPG Industries Inc.   7,410,874     1,108,296
Verisk Analytics Inc. Class A   4,544,939     1,085,604
Cummins Inc.   4,445,252     1,064,949
Quanta Services Inc.   4,571,620       986,556
Ingersoll Rand Inc.  12,738,470       985,193
Martin Marietta Materials Inc.   1,938,346       967,060
Equifax Inc.   3,877,318       958,822
Vulcan Materials Co.   4,162,545       944,939
 
41

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
DuPont de Nemours Inc.  12,162,157       935,635
* Keysight Technologies Inc.   5,489,430       873,313
Fidelity National Information Services Inc.  14,459,338       868,572
Xylem Inc.   7,589,530       867,939
* Fair Isaac Corp.     735,800       856,479
* Mettler-Toledo International Inc.     680,609       825,551
Fortive Corp.  11,037,637       812,701
Global Payments Inc.   6,382,137       810,531
Westinghouse Air Brake Technologies Corp.   5,623,695       713,647
Howmet Aerospace Inc.  12,952,631       700,996
Dover Corp.   4,380,164       673,713
* Teledyne Technologies Inc.   1,485,955       663,167
* Builders FirstSource Inc.   3,875,784       647,023
* FleetCor Technologies Inc.   2,157,390       609,700
* Waters Corp.   1,851,713       609,639
Veralto Corp.   7,355,556       605,068
Expeditors International of Washington Inc.   4,550,400       578,811
* Axon Enterprise Inc.   2,228,508       575,690
Ball Corp.   9,897,934       569,329
Hubbell Inc. Class B   1,680,691       552,830
Booz Allen Hamilton Holding Corp. Class A   4,103,391       524,865
JB Hunt Transport Services Inc.   2,592,145       517,755
IDEX Corp.   2,368,862       514,304
Jacobs Solutions Inc.   3,945,611       512,140
Textron Inc.   6,147,423       494,376
Synchrony Financial  12,942,016       494,256
Carlisle Cos. Inc.   1,531,899       478,611
Snap-on Inc.   1,654,023       477,748
Stanley Black & Decker Inc.   4,817,212       472,568
Masco Corp.   7,020,867       470,258
Graco Inc.   5,303,248       460,110
Packaging Corp. of America   2,811,341       457,996
Watsco Inc.   1,062,287       455,158
RPM International Inc.   4,050,066       452,109
HEICO Corp. Class A   3,156,132       449,559
Lennox International Inc.   1,000,356       447,679
* Zebra Technologies Corp. Class A   1,613,130       440,917
          Shares Market
Value

($000)
Nordson Corp.   1,610,023       425,304
TransUnion   6,066,423       416,824
* Trimble Inc.   7,797,185       414,810
Owens Corning   2,780,589       412,167
AECOM   4,270,648       394,736
Lincoln Electric Holdings Inc.   1,803,568       392,204
Pentair plc   5,168,650       375,813
Jack Henry & Associates Inc.   2,289,612       374,145
* TopBuild Corp.     993,761       371,925
* Saia Inc.     831,141       364,223
Crown Holdings Inc.   3,785,508       348,607
Allegion plc   2,748,722       348,236
Westrock Co.   8,060,395       334,668
Advanced Drainage Systems Inc.   2,327,318       327,314
Huntington Ingalls Industries Inc.   1,252,546       325,211
* Affirm Holdings Inc. Class A   6,475,512       318,207
EMCOR Group Inc.   1,475,815       317,935
A O Smith Corp.   3,847,110       317,156
Toro Co.   3,270,698       313,954
Regal Rexnord Corp.   2,085,500       308,696
nVent Electric plc   5,214,751       308,140
ITT Inc.   2,573,973       307,126
* XPO Inc.   3,456,853       302,786
Fortune Brands Innovations Inc.   3,975,372       302,685
CH Robinson Worldwide Inc.   3,469,735       299,750
* Trex Co. Inc.   3,410,508       282,356
WESCO International Inc.   1,608,522       279,690
Tetra Tech Inc.   1,667,432       278,344
Knight-Swift Transportation Holdings Inc. Class A   4,811,777       277,399
Robert Half Inc.   3,133,597       275,506
Curtiss-Wright Corp.   1,202,484       267,901
Simpson Manufacturing Co. Inc.   1,339,098       265,115
* WEX Inc.   1,341,277       260,945
* BILL Holdings Inc.   3,168,013       258,478
Woodward Inc.   1,881,834       256,174
* WillScot Mobile Mini Holdings Corp.   5,734,476       255,184
AptarGroup Inc.   2,059,579       254,605
* Generac Holdings Inc.   1,936,201       250,235
* Middleby Corp.   1,689,281       248,611
Donaldson Co. Inc.   3,799,667       248,308
AGCO Corp.   2,002,968       243,180
 
42

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Graphic Packaging Holding Co.   9,619,485       237,120
* Axalta Coating Systems Ltd.   6,950,605       236,112
Berry Global Group Inc.   3,454,285       232,784
Comfort Systems USA Inc.   1,121,465       230,652
* API Group Corp.   6,622,280       229,131
* GXO Logistics Inc.   3,725,476       227,850
Cognex Corp.   5,431,807       226,724
* FTI Consulting Inc.   1,123,121       223,670
Oshkosh Corp.   2,052,249       222,484
Eagle Materials Inc.   1,093,690       221,844
BWX Technologies Inc.   2,874,120       220,531
Landstar System Inc.   1,123,765       217,617
* Paylocity Holding Corp.   1,317,553       217,199
MKS Instruments Inc.   2,103,748       216,413
* Fluor Corp.   5,382,618       210,837
Brunswick Corp.   2,173,615       210,297
Applied Industrial Technologies Inc.   1,212,155       209,327
Littelfuse Inc.     781,738       209,162
Acuity Brands Inc.     978,607       200,448
MSA Safety Inc.   1,172,240       197,909
Genpact Ltd.   5,677,082       197,052
* Atkore Inc.   1,179,645       188,743
* Core & Main Inc. Class A   4,556,433       184,125
* ATI Inc.   4,036,679       183,548
* Chart Industries Inc.   1,340,271       182,719
Watts Water Technologies Inc. Class A     861,374       179,459
Sensata Technologies Holding plc   4,773,439       179,338
Crane Co.   1,516,964       179,214
* Mohawk Industries Inc.   1,697,249       175,665
Sonoco Products Co.   3,071,043       171,579
* AZEK Co. Inc. Class A   4,460,705       170,622
Flowserve Corp.   4,105,918       169,246
Vontier Corp.   4,860,826       167,942
Sealed Air Corp.   4,526,984       165,325
Allison Transmission Holdings Inc.   2,798,549       162,736
Maximus Inc.   1,901,331       159,446
Esab Corp.   1,795,188       155,499
Valmont Industries Inc.     665,601       155,424
* Beacon Roofing Supply Inc.   1,783,310       155,184
          Shares Market
Value

($000)
* ExlService Holdings Inc.   4,952,750       152,792
AAON Inc.   2,065,185       152,555
* MasTec Inc.   1,989,900       150,675
Ryder System Inc.   1,307,353       150,424
Federal Signal Corp.   1,933,564       148,382
* Kirby Corp.   1,867,841       146,588
Louisiana-Pacific Corp.   2,029,306       143,736
* Summit Materials Inc. Class A   3,730,080       143,459
MSC Industrial Direct Co. Inc. Class A   1,410,861       142,864
Badger Meter Inc.     919,945       142,012
* Euronet Worldwide Inc.   1,391,863       141,260
Exponent Inc.   1,600,869       140,941
Air Lease Corp. Class A   3,299,684       138,389
HB Fuller Co.   1,696,560       138,117
* SPX Technologies Inc.   1,361,272       137,502
Installed Building Products Inc.     751,953       137,472
Armstrong World Industries Inc.   1,373,045       134,998
Western Union Co.  11,305,217       134,758
* Shift4 Payments Inc. Class A   1,803,814       134,096
GATX Corp.   1,109,705       133,409
* ASGN Inc.   1,384,045       133,104
Moog Inc. Class A     903,945       130,873
EnerSys   1,287,262       129,962
Insperity Inc.   1,095,357       128,398
Zurn Elkay Water Solutions Corp.   4,346,362       127,827
MDU Resources Group Inc.   6,378,160       126,288
Herc Holdings Inc.     843,483       125,586
ManpowerGroup Inc.   1,549,825       123,165
FTAI Aviation Ltd.   2,651,151       123,013
Franklin Electric Co. Inc.   1,245,465       120,374
* Knife River Corp.   1,775,012       117,470
HEICO Corp.     654,552       117,080
Brink's Co.   1,324,343       116,476
Matson Inc.   1,060,722       116,255
Terex Corp.   2,014,965       115,780
* Spirit AeroSystems Holdings Inc. Class A   3,597,853       114,340
Silgan Holdings Inc.   2,474,104       111,953
* Verra Mobility Corp. Class A   4,847,621       111,641
Otter Tail Corp.   1,306,480       111,012
* Itron Inc.   1,420,982       107,298
Hillenbrand Inc.   2,239,011       107,137
 
43

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* AeroVironment Inc.     838,771       105,719
* ACI Worldwide Inc.   3,395,998       103,918
* TriNet Group Inc.     872,127       103,722
* Marqeta Inc. Class A  14,849,394       103,649
*,1 Aurora Innovation Inc. Class A  23,673,451       103,453
Kadant Inc.     367,507       103,016
Enpro Inc.     656,503       102,900
* GMS Inc.   1,243,622       102,512
CSW Industrials Inc.     491,371       101,915
* Dycom Industries Inc.     879,131       101,179
Encore Wire Corp.     471,228       100,654
Korn Ferry   1,688,993       100,242
John Bean Technologies Corp.   1,001,457        99,595
Belden Inc.   1,280,052        98,884
Albany International Corp. Class A     981,654        96,418
ESCO Technologies Inc.     813,320        95,183
*,1 Bloom Energy Corp. Class A   6,400,837        94,732
* Alight Inc. Class A  11,026,060        94,052
* CBIZ Inc.   1,493,595        93,484
ABM Industries Inc.   2,069,008        92,754
* Modine Manufacturing Co.   1,551,325        92,614
McGrath RentCorp     766,858        91,732
* AMN Healthcare Services Inc.   1,184,561        88,700
UniFirst Corp.     475,839        87,036
Werner Enterprises Inc.   2,047,074        86,735
Vestis Corp.   4,092,494        86,515
ArcBest Corp.     719,604        86,504
Crane NXT Co.   1,511,205        85,942
* RXO Inc.   3,675,662        85,496
* Hub Group Inc. Class A     929,525        85,461
EVERTEC Inc.   2,065,778        84,573
* Resideo Technologies Inc.   4,411,658        83,027
Griffon Corp.   1,353,941        82,523
* Flywire Corp.   3,528,738        81,690
* Kratos Defense & Security Solutions Inc.   4,024,600        81,659
* Remitly Global Inc.   4,150,145        80,596
* Sterling Infrastructure Inc.     915,171        80,471
Brady Corp. Class A   1,366,372        80,192
* O-I Glass Inc.   4,837,829        79,244
ICF International Inc.     590,565        79,189
* MYR Group Inc.     540,799        78,216
          Shares Market
Value

($000)
* Gibraltar Industries Inc.     988,085        78,039
ADT Inc.  11,042,433        75,309
Mueller Water Products Inc. Class A   4,910,327        70,709
Granite Construction Inc.   1,378,302        70,100
Trinity Industries Inc.   2,601,392        69,171
* OSI Systems Inc.     527,329        68,052
*,1 Joby Aviation Inc.  10,165,192        67,599
Alamo Group Inc.     320,750        67,418
Patrick Industries Inc.     665,868        66,820
* Gates Industrial Corp. plc   4,973,804        66,748
* PGT Innovations Inc.   1,639,775        66,739
* AAR Corp.   1,044,223        65,160
Kennametal Inc.   2,510,741        64,752
International Seaways Inc.   1,402,851        63,802
* Mercury Systems Inc.   1,735,610        63,471
* Hayward Holdings Inc.   4,505,474        61,274
* AvidXchange Holdings Inc.   4,909,739        60,832
* Masterbrand Inc.   4,058,821        60,273
Standex International Corp.     379,590        60,119
* Mirion Technologies Inc. Class A   5,790,755        59,355
* Masonite International Corp.     696,945        59,003
* Hillman Solutions Corp.   6,384,493        58,801
* Huron Consulting Group Inc.     571,594        58,760
* Construction Partners Inc. Class A   1,299,192        56,541
* NCR Atleos Corp.   2,300,517        55,880
Enerpac Tool Group Corp. Class A   1,784,191        55,470
Primoris Services Corp.   1,662,971        55,227
Greif Inc. Class A     837,914        54,959
Tennant Co.     568,086        52,656
Forward Air Corp.     831,073        52,250
H&E Equipment Services Inc.     985,625        51,568
* Leonardo DRS Inc.   2,572,522        51,553
*,1 Enovix Corp.   4,092,703        51,241
Bread Financial Holdings Inc.   1,547,275        50,967
* NV5 Global Inc.     450,683        50,080
* Legalzoom.com Inc.   4,423,719        49,988
Barnes Group Inc.   1,507,243        49,181
 
44

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* CoreCivic Inc.   3,380,191        49,114
* American Woodmark Corp.     520,003        48,282
* Donnelley Financial Solutions Inc.     766,118        47,783
* JELD-WEN Holding Inc.   2,523,083        47,636
* Janus International Group Inc.   3,613,805        47,160
Helios Technologies Inc.   1,024,698        46,470
*,1 Rocket Lab USA Inc.   8,353,301        46,194
Lindsay Corp.     349,443        45,134
Greenbrier Cos. Inc.     982,764        43,419
AZZ Inc.     742,578        43,136
* Triumph Group Inc.   2,536,121        42,049
Kforce Inc.     621,799        42,009
* Payoneer Global Inc.   7,851,095        40,904
*,1 Symbotic Inc. Class A     784,229        40,254
* Cimpress plc     494,191        39,560
Wabash National Corp.   1,464,767        37,527
Marten Transport Ltd.   1,772,306        37,183
Apogee Enterprises Inc.     679,634        36,299
* Air Transport Services Group Inc.   2,058,061        36,242
*,1 Archer Aviation Inc. Class A   5,798,126        35,600
Napco Security Technologies Inc.   1,022,669        35,026
TriMas Corp.   1,346,325        34,102
Columbus McKinnon Corp.     867,216        33,839
* Aspen Aerogels Inc.   2,091,646        33,006
* Thermon Group Holdings Inc.   1,006,633        32,786
Quanex Building Products Corp.   1,048,907        32,065
* Proto Labs Inc.     821,262        31,996
* Vicor Corp.     705,525        31,706
* SP Plus Corp.     601,630        30,834
*,1 Nikola Corp.  34,458,847        30,145
* Energy Recovery Inc.   1,596,651        30,081
Schneider National Inc. Class B   1,180,186        30,036
* BlueLinx Holdings Inc.     258,113        29,247
*,1 Virgin Galactic Holdings Inc.  11,696,553        28,657
* Transcat Inc.     258,027        28,210
Deluxe Corp.   1,314,727        28,201
* Montrose Environmental Group Inc.     864,555        27,778
Astec Industries Inc.     742,110        27,606
          Shares Market
Value

($000)
* ZipRecruiter Inc. Class A   1,957,712        27,212
VSE Corp.     407,011        26,297
First Advantage Corp.   1,578,966        26,163
Powell Industries Inc.     282,335        24,958
* Cross Country Healthcare Inc.   1,087,862        24,629
Barrett Business Services Inc.     211,351        24,474
Gorman-Rupp Co.     674,820        23,976
* Blue Bird Corp.     859,376        23,169
* International Money Express Inc.   1,047,443        23,138
* Titan International Inc.   1,526,933        22,721
Hyster-Yale Materials Handling Inc.     361,598        22,488
* CryoPort Inc.   1,449,481        22,452
* Ducommun Inc.     421,727        21,955
Pitney Bowes Inc.   4,751,486        20,907
CRA International Inc.     210,751        20,833
Myers Industries Inc.   1,064,615        20,813
Insteel Industries Inc.     535,957        20,522
Heartland Express Inc.   1,428,621        20,372
* Conduent Inc.   5,553,255        20,269
Douglas Dynamics Inc.     676,869        20,089
Argan Inc.     427,894        20,021
Kelly Services Inc. Class A     921,762        19,928
* Repay Holdings Corp. Class A   2,322,791        19,837
Kaman Corp.     815,429        19,530
* IES Holdings Inc.     235,697        18,672
* Titan Machinery Inc.     640,698        18,503
REV Group Inc.   1,017,861        18,495
Cass Information Systems Inc.     408,138        18,387
* Manitowoc Co. Inc.   1,083,726        18,087
Cadre Holdings Inc.     528,400        17,379
Ennis Inc.     789,811        17,305
*,1 PureCycle Technologies Inc.   4,248,447        17,206
Heidrick & Struggles International Inc.     580,522        17,143
* CECO Environmental Corp.     843,032        17,097
Mesa Laboratories Inc.     159,129        16,672
* DXP Enterprises Inc.     478,217        16,116
Perella Weinberg Partners Class A   1,278,425        15,635
* Hudson Technologies Inc.   1,149,613        15,508
* Franklin Covey Co.     349,702        15,223
 
45

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Resources Connection Inc.   1,068,324        15,138
* Cantaloupe Inc.   2,042,575        15,135
* I3 Verticals Inc. Class A     707,059        14,968
* V2X Inc.     316,924        14,718
Pactiv Evergreen Inc.   1,068,389        14,648
* TrueBlue Inc.     942,024        14,451
National Presto Industries Inc.     179,509        14,411
* Great Lakes Dredge & Dock Corp.   1,843,428        14,158
*,1 Atmus Filtration Technologies Inc.     601,023        14,118
* Astronics Corp.     808,671        14,087
*,1 Evolv Technologies Holdings Inc.   2,974,460        14,039
* Green Dot Corp. Class A   1,377,254        13,635
Miller Industries Inc.     314,326        13,293
* Sterling Check Corp.     939,412        13,077
United States Lime & Minerals Inc.      54,808        12,625
* Limbach Holdings Inc.     273,917        12,455
FTAI Infrastructure Inc.   3,188,200        12,402
* FARO Technologies Inc.     546,929        12,322
TTEC Holdings Inc.     567,356        12,295
* Vishay Precision Group Inc.     346,096        11,791
Shyft Group Inc.     964,741        11,789
Allient Inc.     388,182        11,727
* Concrete Pumping Holdings Inc.   1,403,777        11,511
* Daseke Inc.   1,397,196        11,317
* Custom Truck One Source Inc.   1,831,243        11,317
* AerSale Corp.     886,801        11,258
1 Eagle Bulk Shipping Inc.     202,315        11,208
* Tutor Perini Corp.   1,210,073        11,012
LSI Industries Inc.     777,330        10,945
* Radiant Logistics Inc.   1,602,191        10,639
* BrightView Holdings Inc.   1,219,101        10,265
* Distribution Solutions Group Inc.     319,072        10,070
*,1 Bowman Consulting Group Ltd. Class A     281,436         9,997
*,1 Target Hospitality Corp.     995,822         9,689
Covenant Logistics Group Inc. Class A     209,606         9,650
* Forrester Research Inc.     359,746         9,645
          Shares Market
Value

($000)
* L B Foster Co. Class A     413,355         9,090
Park Aerospace Corp.     613,019         9,011
Overseas Shipholding Group Inc. Class A   1,689,920         8,906
* TaskUS Inc. Class A     680,818         8,898
* Moneylion Inc.     139,245         8,729
* Willdan Group Inc.     399,927         8,598
* Advantage Solutions Inc.   2,262,148         8,189
* Iteris Inc.   1,518,768         7,898
* Ranpak Holdings Corp. Class A   1,271,849         7,402
* Luna Innovations Inc.   1,112,056         7,395
* Paymentus Holdings Inc. Class A     408,611         7,302
* Graham Corp.     377,551         7,162
* SoundThinking Inc.     274,829         7,019
Park-Ohio Holdings Corp.     258,617         6,972
* Performant Financial Corp.   2,204,695         6,890
* Commercial Vehicle Group Inc.     969,649         6,797
Information Services Group Inc.   1,420,253         6,689
Kronos Worldwide Inc.     666,260         6,623
*,1 Microvast Holdings Inc.   4,691,275         6,568
Universal Logistics Holdings Inc.     230,693         6,464
* Blade Air Mobility Inc.   1,780,179         6,284
*,1 Eos Energy Enterprises Inc.   5,747,383         6,265
* Quad/Graphics Inc.   1,103,900         5,983
* Atlanticus Holdings Corp.     150,156         5,807
* Mistras Group Inc.     778,795         5,701
* Manitex International Inc.     640,610         5,599
Twin Disc Inc.     344,051         5,560
Karat Packaging Inc.     216,891         5,390
* Gencor Industries Inc.     332,487         5,366
* Acacia Research Corp.   1,364,575         5,349
* CS Disco Inc.     700,982         5,320
*,1 Rekor Systems Inc.   1,590,214         5,295
*,1 Desktop Metal Inc. Class A   7,049,819         5,294
* Smith-Midland Corp.     132,192         5,222
* DLH Holdings Corp.     326,878         5,148
* Orion Group Holdings Inc.     939,452         4,641
 
46

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* RCM Technologies Inc.     159,492         4,632
ARC Document Solutions Inc.   1,338,175         4,389
* DHI Group Inc.   1,659,630         4,298
* HireRight Holdings Corp.     312,786         4,207
Hurco Cos. Inc.     194,394         4,185
* Mayville Engineering Co. Inc.     283,525         4,088
* PAM Transportation Services Inc.     196,206         4,077
* Core Molding Technologies Inc.     210,686         3,904
*,1 TuSimple Holdings Inc. Class A   4,277,881         3,755
1 EVI Industries Inc.     155,167         3,682
*,1 BlackSky Technology Inc. Class A   2,623,844         3,673
BGSF Inc.     359,805         3,382
*,1 Byrna Technologies Inc.     515,082         3,291
*,1 Amprius Technologies Inc.     593,900         3,142
*,1 Hyliion Holdings Corp.   3,720,847         3,028
* Innovative Solutions & Support Inc.     353,301         3,014
*,1 Danimer Scientific Inc. Class A   2,920,239         2,979
*,1 Spire Global Inc.     372,090         2,910
*,1 Terran Orbital Corp.   2,419,100         2,758
*,1 CompoSecure Inc.     505,739         2,731
* Babcock & Wilcox Enterprises Inc.   1,843,405         2,691
* Willis Lease Finance Corp.      53,245         2,603
*,1 CPI Card Group Inc.     133,343         2,559
*,1 Skillsoft Corp.     145,044         2,550
*,1 Markforged Holding Corp.   3,063,363         2,512
* VirTra Inc.     265,149         2,511
Frequency Electronics Inc.     228,179         2,499
1 HireQuest Inc.     159,520         2,449
* Alpha Pro Tech Ltd.     462,840         2,448
*,1 374Water Inc.   1,698,615         2,412
* Ultralife Corp.     348,051         2,374
*,1 Paysign Inc.     842,113         2,358
*,1,2 Tingo Group Inc.   3,254,473         2,246
* Research Solutions Inc.     846,894         2,202
*,1 SKYX Platforms Corp.   1,335,481         2,137
*,1 Redwire Corp.     737,344         2,101
          Shares Market
Value

($000)
*,1 Wrap Technologies Inc.     672,384         2,084
* LS Starrett Co. Class A     166,241         2,012
*,1 Hyzon Motors Inc.   2,227,561         1,994
* GEE Group Inc.   3,870,957         1,936
* Broadwind Inc.     689,278         1,909
*,1 Velo3D Inc.   4,791,156         1,905
*,1 Workhorse Group Inc.   5,121,723         1,844
*,1 Where Food Comes From Inc.     133,053         1,811
*,1 INNOVATE Corp.   1,428,742         1,757
* Hudson Global Inc.     107,683         1,676
*,1 Odyssey Marine Exploration Inc. Class B     349,692         1,626
*,1 Coda Octopus Group Inc.     222,690         1,336
* Usio Inc.     757,304         1,303
* Lightbridge Corp.     383,955         1,232
*,1 Knightscope Inc. Class A   1,984,525         1,191
* LightPath Technologies Inc. Class A     875,201         1,103
*,1 FreightCar America Inc.     351,606           949
*,1 Hydrofarm Holdings Group Inc.     950,421           872
* Priority Technology Holdings Inc.     239,738           853
*,1 Astra Space Inc. Class A     361,787           825
*,1 Sono-Tek Corp.     158,428           822
* M-Tron Industries Inc.      22,400           800
* RF Industries Ltd.     249,088           757
* IZEA Worldwide Inc.     369,547           743
* Pioneer Power Solutions Inc.     107,157           728
*,1 Katapult Holdings Inc.      65,728           718
* StarTek Inc.     158,219           698
Espey Manufacturing & Electronics Corp.      36,920           690
* Orion Energy Systems Inc.     765,432           663
* ClearSign Technologies Corp.     588,974           654
*,1 Sypris Solutions Inc.     311,226           629
*,1 AppTech Payments Corp.     289,967           577
* Air T Inc.      32,860           542
*,1 Cepton Inc.     170,313           535
* TOMI Environmental Solutions Inc.     484,669           490
* Mega Matrix Corp.     339,000           478
 
47

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* TSR Inc.      50,537           455
* Fuel Tech Inc.     430,339           452
*,1 Team Inc.      67,315           444
Taitron Components Inc. Class A     125,572           438
* Taylor Devices Inc.      15,808           349
* FG Group Holdings Inc.     226,990           334
*,1 Dragonfly Energy Holdings Corp.     610,200           331
* Astrotech Corp.      38,881           330
*,1 MSP Recovery Inc.     140,320           319
*,1 Xos Inc.      39,986           311
*,1 Momentus Inc.     174,015           301
*,1 AmpliTech Group Inc.     135,900           259
*,1 AEye Inc.     108,615           249
* Servotronics Inc.      19,533           244
*,1 Sarcos Technology & Robotics Corp.     335,368           242
*,1 Applied DNA Sciences Inc.     346,633           214
*,1 AgEagle Aerial Systems Inc.   1,950,222           205
* LGL Group Inc.      30,781           189
* Jewett-Cameron Trading Co. Ltd.      33,538           179
*,1 Air Industries Group      52,840           172
* DSS Inc.   1,292,763           155
* Professional Diversity Network Inc.      68,106           138
* Ryvyl Inc.      32,268           135
* OLB Group Inc.     113,427           120
*,1 Shapeways Holdings Inc.      44,252           109
*,1 ENGlobal Corp.      50,641            87
*,1 CISO Global Inc.     726,500            74
* CPI Aerostructures Inc.      24,969            68
*,1 Polar Power Inc.     156,102            63
*,1 Energous Corp.      33,731            62
*,1 Digital Ally Inc.      15,845            33
* Safe & Green Development Corp.      23,128            32
* Art's-Way Manufacturing Co. Inc.       6,594            14
* Interlink Electronics Inc.         438             6
Greif Inc. Class B          76             5
* Electro-Sensors Inc.       1,400             5
* Intuitive Machines Inc.       2,154             5
* Fathom Digital Manufacturing C         673             3
*,2 Patriot National Inc.     129,819            —
          Shares Market
Value

($000)
* Ardagh Group SA Class A          37            —
*,2 GCI Liberty Inc.   2,704,635            —
* Sidus Space Inc. Class A           1            —
                      190,298,744
Real Estate (3.0%)
Prologis Inc.  29,005,186     3,866,391
American Tower Corp.  14,638,758     3,160,215
Equinix Inc.   2,945,648     2,372,395
Welltower Inc.  17,468,904     1,575,171
Crown Castle Inc.  13,605,475     1,567,215
Public Storage   4,963,106     1,513,747
Simon Property Group Inc.   9,714,257     1,385,642
Realty Income Corp.  22,692,481     1,303,002
Digital Realty Trust Inc.   9,502,319     1,278,822
* CoStar Group Inc.  12,807,972     1,119,289
Extra Space Storage Inc.   6,623,048     1,061,873
VICI Properties Inc. Class A  27,557,957       878,548
SBA Communications Corp. Class A   3,393,340       860,856
* CBRE Group Inc. Class A   9,076,794       844,959
AvalonBay Communities Inc.   4,449,033       832,948
Weyerhaeuser Co.  22,894,971       796,058
Equity Residential  11,345,969       693,920
Alexandria Real Estate Equities Inc.   5,472,500       693,749
Invitation Homes Inc.  19,168,024       653,821
Iron Mountain Inc.   9,184,877       642,758
Ventas Inc.  12,624,557       629,208
Sun Communities Inc.   3,905,724       522,000
Essex Property Trust Inc.   2,011,599       498,756
Mid-America Apartment Communities Inc.   3,655,450       491,512
WP Carey Inc.   6,855,834       444,327
Host Hotels & Resorts Inc.  22,055,499       429,421
Kimco Realty Corp.  19,473,694       414,984
UDR Inc.  10,306,683       394,643
Gaming & Leisure Properties Inc.   7,907,997       390,260
Regency Centers Corp.   5,783,019       387,462
Equity LifeStyle Properties Inc.   5,255,010       370,688
 
48

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Rexford Industrial Realty Inc.   6,422,060       360,278
American Homes 4 Rent Class A   9,614,830       345,749
Healthpeak Properties Inc.  17,152,943       339,628
Camden Property Trust   3,337,097       331,340
CubeSmart   7,045,568       326,562
Boston Properties Inc.   4,428,187       310,726
Lamar Advertising Co. Class A   2,748,855       292,148
* Zillow Group Inc. Class C   4,925,065       284,964
* Jones Lang LaSalle Inc.   1,499,720       283,252
Americold Realty Trust Inc.   8,974,599       271,661
EastGroup Properties Inc.   1,456,377       267,303
Federal Realty Investment Trust   2,556,057       263,402
NNN REIT Inc.   5,692,087       245,329
Omega Healthcare Investors Inc.   7,671,282       235,202
STAG Industrial Inc.   5,735,930       225,193
Brixmor Property Group Inc.   9,378,601       218,240
First Industrial Realty Trust Inc.   4,127,491       217,395
Healthcare Realty Trust Inc. Class A  12,017,829       207,067
Agree Realty Corp.   3,131,670       197,139
Ryman Hospitality Properties Inc.   1,771,070       194,924
Spirit Realty Capital Inc.   4,399,673       192,222
Terreno Realty Corp.   2,717,924       170,332
Apartment Income REIT Corp. Class A   4,567,210       158,619
Kite Realty Group Trust   6,884,009       157,368
Rayonier Inc.   4,681,076       156,395
Vornado Realty Trust   5,436,828       153,590
Kilroy Realty Corp.   3,681,965       146,690
Phillips Edison & Co. Inc.   3,767,274       137,430
Essential Properties Realty Trust Inc.   4,897,772       125,187
PotlatchDeltic Corp.   2,503,279       122,911
Cousins Properties Inc.   4,763,164       115,983
EPR Properties   2,364,241       114,548
Independence Realty Trust Inc.   7,070,134       108,173
Apple Hospitality REIT Inc.   6,403,559       106,363
          Shares Market
Value

($000)
Macerich Co.   6,786,795       104,720
Sabra Health Care REIT Inc.   7,292,221       104,060
Broadstone Net Lease Inc.   5,879,915       101,252
Physicians Realty Trust   7,451,241        99,176
National Storage Affiliates Trust   2,372,607        98,392
Park Hotels & Resorts Inc.   6,413,483        98,126
1 Hannon Armstrong Sustainable Infrastructure Capital Inc.   3,540,979        97,660
1 Medical Properties Trust Inc.  18,769,212        92,157
LXP Industrial Trust   9,270,070        91,959
1 SL Green Realty Corp.   2,028,359        91,621
COPT Defense Properties   3,524,705        90,338
DigitalBridge Group Inc.   5,086,461        89,217
Innovative Industrial Properties Inc.     878,122        88,532
Tanger Inc.   3,112,038        86,266
* Opendoor Technologies Inc.  19,195,131        85,994
CareTrust REIT Inc.   3,740,748        83,718
SITE Centers Corp.   6,138,966        83,674
* Howard Hughes Holdings Inc.     968,271        82,836
Highwoods Properties Inc.   3,321,104        76,253
1 Global Net Lease Inc.   7,608,379        75,703
Douglas Emmett Inc.   5,065,522        73,450
National Health Investors Inc.   1,300,502        72,633
St. Joe Co.   1,195,695        71,957
Four Corners Property Trust Inc.   2,804,407        70,952
Sunstone Hotel Investors Inc.   6,496,227        69,705
* Zillow Group Inc. Class A   1,163,369        65,986
Outfront Media Inc.   4,638,794        64,758
* Cushman & Wakefield plc   5,937,720        64,127
Urban Edge Properties   3,466,910        63,444
Pebblebrook Hotel Trust   3,927,532        62,762
DiamondRock Hospitality Co.   6,497,620        61,013
Equity Commonwealth   3,150,949        60,498
RLJ Lodging Trust   4,823,853        56,536
 
49

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Retail Opportunity Investments Corp.   3,784,433        53,096
Acadia Realty Trust   2,997,012        50,919
InvenTrust Properties Corp.   2,007,100        50,860
JBG SMITH Properties   2,933,752        49,903
* Compass Inc. Class A  11,889,624        44,705
Service Properties Trust   5,220,401        44,582
Newmark Group Inc. Class A   4,036,442        44,239
Alexander & Baldwin Inc.   2,277,884        43,325
Uniti Group Inc.   7,463,005        43,136
Xenia Hotels & Resorts Inc.   3,165,313        43,112
LTC Properties Inc.   1,324,789        42,552
Kennedy-Wilson Holdings Inc.   3,429,394        42,456
Getty Realty Corp.   1,428,700        41,747
Elme Communities   2,813,618        41,079
Hudson Pacific Properties Inc.   4,402,588        40,988
* GEO Group Inc.   3,736,646        40,468
Easterly Government Properties Inc. Class A   2,891,300        38,859
Empire State Realty Trust Inc. Class A   3,990,347        38,666
Veris Residential Inc.   2,448,747        38,519
1 eXp World Holdings Inc.   2,432,851        37,758
NETSTREIT Corp.   2,063,533        36,834
* Redfin Corp.   3,457,551        35,682
* Apartment Investment & Management Co. Class A   4,437,902        34,749
UMH Properties Inc.   2,256,065        34,563
RPT Realty   2,665,717        34,201
Plymouth Industrial REIT Inc.   1,371,217        33,005
Marcus & Millichap Inc.     755,429        32,997
Paramount Group Inc.   6,004,698        31,044
Brandywine Realty Trust   5,445,069        29,403
Piedmont Office Realty Trust Inc. Class A   3,892,835        27,678
Diversified Healthcare Trust   7,325,882        27,399
* Anywhere Real Estate Inc.   3,293,319        26,709
Centerspace     454,649        26,461
          Shares Market
Value

($000)
American Assets Trust Inc.   1,155,723        26,015
Armada Hoffler Properties Inc.   1,896,036        23,454
NexPoint Residential Trust Inc.     676,829        23,303
Summit Hotel Properties Inc.   3,209,693        21,569
1 Peakstone Realty Trust   1,076,600        21,457
Global Medical REIT Inc.   1,861,159        20,659
Community Healthcare Trust Inc.     747,617        19,917
Whitestone REIT   1,541,690        18,947
1 Farmland Partners Inc.   1,486,534        18,552
1 CBL & Associates Properties Inc.     732,574        17,889
Universal Health Realty Income Trust     413,444        17,881
* Forestar Group Inc.     538,939        17,823
Saul Centers Inc.     439,170        17,246
Gladstone Land Corp.   1,118,425        16,161
Alexander's Inc.      75,137        16,047
Chatham Lodging Trust   1,474,768        15,810
1 Ares Commercial Real Estate Corp.   1,521,592        15,764
Gladstone Commercial Corp.   1,186,750        15,713
RMR Group Inc. Class A     443,704        12,526
One Liberty Properties Inc.     549,453        12,039
Office Properties Income Trust   1,518,403        11,115
1 CTO Realty Growth Inc.     633,230        10,974
* FRP Holdings Inc.     170,118        10,697
* Tejon Ranch Co.     619,353        10,653
Orion Office REIT Inc.   1,829,577        10,465
*,1 Seritage Growth Properties Class A   1,116,701        10,441
Industrial Logistics Properties Trust   2,135,037        10,035
NET Lease Office Properties     497,306         9,190
*,1 Stratus Properties Inc.     274,453         7,921
Alpine Income Property Trust Inc.     467,309         7,902
Bridge Investment Group Holdings Inc. Class A     806,505         7,888
Postal Realty Trust Inc. Class A     503,164         7,326
 
50

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
City Office REIT Inc.   1,177,661         7,196
Franklin Street Properties Corp.   2,758,628         7,062
RE/MAX Holdings Inc. Class A     519,322         6,923
BRT Apartments Corp.     355,802         6,614
Douglas Elliman Inc.   2,057,383         6,069
*,1 Offerpad Solutions Inc.     568,364         5,826
* Star Holdings     384,803         5,764
Braemar Hotels & Resorts Inc.   2,097,772         5,244
Modiv Industrial Inc. Class C     224,372         3,343
* Maui Land & Pineapple Co. Inc.     201,600         3,203
* AMREP Corp.     115,952         2,548
*,1 Ashford Hospitality Trust Inc.   1,242,653         2,411
Clipper Realty Inc.     405,295         2,189
Creative Media & Community Trust Corp.     477,630         1,786
Bluerock Homes Trust Inc.     109,382         1,530
Global Self Storage Inc.     319,661         1,480
*,1 Altisource Portfolio Solutions SA     399,728         1,423
* Fathom Holdings Inc.     347,914         1,249
* Comstock Holding Cos. Inc. Class A     164,051           733
* Rafael Holdings Inc. Class B     381,611           698
* Sotherly Hotels Inc.     337,859           503
*,1 LuxUrban Hotels Inc.      43,833           262
1 Presidio Property Trust Inc. Class A     184,525           190
*,2 New York REIT Liquidating LLC      19,100           133
* Alset Inc.      77,598            80
* Trinity Place Holdings Inc.     467,678            52
*,1 Avalon GloboCare Corp.      33,944            16
* American Strategic Investment Co.         254             2
*,2 Spirit MTA REIT   2,854,330            —
* CKX Lands Inc.          30            —
                       43,977,030
Technology (31.0%)
Apple Inc. 463,748,976    89,285,590
Microsoft Corp. 233,278,085    87,721,891
NVIDIA Corp.  73,651,336    36,473,615
* Alphabet Inc. Class A 185,773,154    25,950,652
          Shares Market
Value

($000)
* Meta Platforms Inc. Class A  69,669,051    24,660,057
* Alphabet Inc. Class C 152,719,604    21,522,774
Broadcom Inc.  13,928,914    15,548,150
* Adobe Inc.  14,289,771     8,525,277
* Salesforce Inc.  29,009,098     7,633,454
* Advanced Micro Devices Inc.  50,708,088     7,474,879
Intel Corp. 132,347,697     6,650,472
Oracle Corp.  51,580,874     5,438,172
Intuit Inc.   8,354,502     5,221,814
QUALCOMM Inc.  34,922,133     5,050,788
Texas Instruments Inc.  28,482,478     4,855,123
International Business Machines Corp.  28,640,079     4,684,085
* ServiceNow Inc.   6,432,254     4,544,323
Applied Materials Inc.  26,252,722     4,254,779
Lam Research Corp.   4,136,298     3,239,797
Analog Devices Inc.  15,570,646     3,091,707
Micron Technology Inc.  34,472,657     2,941,897
* Palo Alto Networks Inc.   9,898,099     2,918,751
KLA Corp.   4,265,906     2,479,771
* Synopsys Inc.   4,773,109     2,457,722
* Cadence Design Systems Inc.   8,539,101     2,325,795
Amphenol Corp. Class A  18,761,794     1,859,857
* Snowflake Inc. Class A   9,321,315     1,854,942
Roper Technologies Inc.   3,344,804     1,823,487
* Crowdstrike Holdings Inc. Class A   7,101,528     1,813,162
* Workday Inc. Class A   6,496,043     1,793,298
Marvell Technology Inc.  27,105,912     1,634,758
* Autodesk Inc.   6,710,560     1,633,887
Microchip Technology Inc.  16,985,836     1,531,783
TE Connectivity Ltd.   9,755,583     1,370,659
* Fortinet Inc.  20,480,474     1,198,722
Cognizant Technology Solutions Corp. Class A  15,721,910     1,187,476
* Atlassian Corp. Class A   4,872,748     1,159,032
* ON Semiconductor Corp.  13,527,613     1,129,962
* Palantir Technologies Inc. Class A  61,738,653     1,060,053
* Gartner Inc.   2,324,409     1,048,564
* Datadog Inc. Class A   8,542,756     1,036,920
 
51

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* ANSYS Inc.   2,732,569       991,595
* DoorDash Inc. Class A   9,905,913       979,596
CDW Corp.   4,202,456       955,302
Monolithic Power Systems Inc.   1,430,997       902,644
* HubSpot Inc.   1,504,140       873,213
* MongoDB Inc. Class A   2,129,759       870,752
HP Inc.  27,909,533       839,798
* Splunk Inc.   5,285,897       805,306
* Cloudflare Inc. Class A   8,843,863       736,340
Corning Inc.  24,073,700       733,044
* Pinterest Inc. Class A  18,434,979       682,832
Hewlett Packard Enterprise Co.  40,193,075       682,478
* PTC Inc.   3,553,734       621,761
* Zscaler Inc.   2,780,423       616,031
Dell Technologies Inc. Class C   7,987,767       611,064
NetApp Inc.   6,542,088       576,750
Entegris Inc.   4,709,616       564,306
Skyworks Solutions Inc.   5,003,941       562,543
* Akamai Technologies Inc.   4,726,953       559,435
* VeriSign Inc.   2,707,716       557,681
* Snap Inc. Class A  32,820,879       555,657
* Tyler Technologies Inc.   1,318,991       551,497
* EPAM Systems Inc.   1,815,236       539,742
* Western Digital Corp.  10,228,792       535,682
Seagate Technology Holdings plc   6,263,163       534,686
* Zoom Video Communications Inc. Class A   7,294,702       524,562
Teradyne Inc.   4,798,838       520,770
Vertiv Holdings Co. Class A  10,734,535       515,580
Jabil Inc.   3,819,661       486,625
* GoDaddy Inc. Class A   4,416,070       468,810
Leidos Holdings Inc.   4,307,704       466,266
* Dynatrace Inc.   8,298,026       453,819
* Okta Inc. Class A   4,933,901       446,666
* Super Micro Computer Inc.   1,484,478       421,978
* Manhattan Associates Inc.   1,929,732       415,510
* Twilio Inc. Class A   5,390,398       408,969
SS&C Technologies Holdings Inc.   6,603,738       403,554
Gen Digital Inc.  17,013,885       388,257
* DocuSign Inc. Class A   6,383,307       379,488
          Shares Market
Value

($000)
Bentley Systems Inc. Class B   7,104,361       370,706
* Nutanix Inc. Class A   7,537,563       359,466
* Qorvo Inc.   3,060,986       344,698
* Unity Software Inc.   8,377,996       342,576
* F5 Inc.   1,874,185       335,442
* Pure Storage Inc. Class A   9,351,311       333,468
Paycom Software Inc.   1,611,545       333,139
* Match Group Inc.   8,547,566       311,986
* Ceridian HCM Holding Inc.   4,643,544       311,675
* Lattice Semiconductor Corp.   4,325,177       298,394
* UiPath Inc. Class A  11,446,235       284,324
* Guidewire Software Inc.   2,565,214       279,711
* Elastic NV   2,460,399       277,287
Universal Display Corp.   1,414,440       270,526
* Onto Innovation Inc.   1,548,803       236,812
* Toast Inc. Class A  12,794,225       233,623
KBR Inc.   4,212,871       233,435
* Dropbox Inc. Class A   7,860,970       231,741
* Rambus Inc.   3,373,203       230,221
* CACI International Inc. Class A     697,124       225,771
* SPS Commerce Inc.   1,147,711       222,472
* Fabrinet   1,146,909       218,291
* Qualys Inc.   1,088,222       213,596
*,1 MicroStrategy Inc. Class A     335,693       212,030
Science Applications International Corp.   1,670,248       207,645
* Arrow Electronics Inc.   1,688,600       206,431
* Coherent Corp.   4,734,643       206,099
* Procore Technologies Inc.   2,958,877       204,813
* ZoomInfo Technologies Inc. Class A  11,047,729       204,273
* Aspen Technology Inc.     908,813       200,075
* SentinelOne Inc. Class A   7,279,356       199,746
* AppLovin Corp. Class A   4,995,377       199,066
* Smartsheet Inc. Class A   4,066,946       194,481
* Novanta Inc.   1,121,519       188,875
* Gitlab Inc. Class A   2,960,462       186,391
* Insight Enterprises Inc.   1,023,704       181,390
* Five9 Inc.   2,285,318       179,832
 
52

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
Concentrix Corp.   1,802,617       177,035
TD SYNNEX Corp.   1,592,946       171,417
* Wolfspeed Inc.   3,924,135       170,739
* Tenable Holdings Inc.   3,622,318       166,844
Dolby Laboratories Inc. Class A   1,869,036       161,074
* Samsara Inc. Class A   4,811,159       160,596
* DoubleVerify Holdings Inc.   4,266,288       156,914
* MACOM Technology Solutions Holdings Inc.   1,666,094       154,863
* Workiva Inc. Class A   1,478,338       150,096
* Kyndryl Holdings Inc.   7,208,446       149,792
* Varonis Systems Inc. Class B   3,262,196       147,712
Power Integrations Inc.   1,792,895       147,215
* Blackbaud Inc.   1,682,256       145,852
* Freshworks Inc. Class A   6,131,296       144,024
Avnet Inc.   2,852,864       143,784
* Altair Engineering Inc. Class A   1,701,833       143,209
* Synaptics Inc.   1,237,297       141,151
* DXC Technology Co.   6,089,036       139,256
* Cirrus Logic Inc.   1,672,600       139,144
* Confluent Inc. Class A   5,914,880       138,408
* Silicon Laboratories Inc.   1,013,366       134,038
* Teradata Corp.   3,068,278       133,501
* Axcelis Technologies Inc.   1,024,591       132,879
Amkor Technology Inc.   3,891,601       129,474
Advanced Energy Industries Inc.   1,184,350       128,999
* IAC Inc.   2,284,679       119,671
* CommVault Systems Inc.   1,393,172       111,245
* Box Inc. Class A   4,293,090       109,946
* Diodes Inc.   1,359,694       109,483
* BlackLine Inc.   1,713,216       106,973
* Appfolio Inc. Class A     617,010       106,891
Dun & Bradstreet Holdings Inc.   9,096,127       106,425
* Rapid7 Inc.   1,806,242       103,136
* FormFactor Inc.   2,432,698       101,468
* IPG Photonics Corp.     909,901        98,761
* Yelp Inc. Class A   2,046,689        96,890
* Alarm.com Holdings Inc.   1,492,446        96,442
Vishay Intertechnology Inc.   4,017,559        96,301
* Plexus Corp.     873,706        94,474
          Shares Market
Value

($000)
* Ziff Davis Inc.   1,403,453        94,298
*,1 C3.ai Inc. Class A   3,240,409        93,032
* CCC Intelligent Solutions Holdings Inc.   8,089,183        92,136
* Braze Inc. Class A   1,714,321        91,082
* Alteryx Inc. Class A   1,871,539        88,262
* Sprout Social Inc. Class A   1,434,106        88,111
* Sanmina Corp.   1,698,911        87,273
* JFrog Ltd.   2,507,959        86,800
* RingCentral Inc. Class A   2,523,615        85,677
* Parsons Corp.   1,333,802        83,643
* Credo Technology Group Holding Ltd.   4,006,330        78,003
* Rogers Corp.     590,355        77,968
* Envestnet Inc.   1,536,522        76,089
* Q2 Holdings Inc.   1,736,011        75,360
* HashiCorp Inc. Class A   3,147,025        74,396
* LiveRamp Holdings Inc.   1,963,284        74,369
Progress Software Corp.   1,367,690        74,266
* Perficient Inc.   1,089,931        71,739
* Ambarella Inc.   1,169,817        71,698
* nCino Inc.   2,120,722        71,320
* Schrodinger Inc.   1,982,406        70,970
* NCR Voyix Corp.   4,169,167        70,501
* Cargurus Inc. Class A   2,872,703        69,405
* ePlus Inc.     842,988        67,304
* Allegro MicroSystems Inc.   2,168,466        65,639
* SiTime Corp.     530,377        64,748
*,1 Fastly Inc. Class A   3,626,374        64,549
Pegasystems Inc.   1,302,725        63,651
*,1 IonQ Inc.   5,052,628        62,602
*,1 Impinj Inc.     694,053        62,486
Xerox Holdings Corp.   3,403,634        62,389
*,1 DigitalOcean Holdings Inc.   1,664,786        61,081
* PagerDuty Inc.   2,588,630        59,927
* Squarespace Inc. Class A   1,798,427        59,366
* Upwork Inc.   3,788,967        56,342
Clear Secure Inc. Class A   2,648,213        54,686
* Photronics Inc.   1,730,995        54,301
* MaxLinear Inc. Class A   2,266,415        53,873
* Agilysys Inc.     634,411        53,811
* Verint Systems Inc.   1,962,609        53,049
* Veeco Instruments Inc.   1,661,047        51,542
* Cleanspark Inc.   4,610,798        50,857
* PROS Holdings Inc.   1,299,892        50,423
 
53

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Cohu Inc.   1,420,203        50,261
* TTM Technologies Inc.   3,165,196        50,042
* Appian Corp. Class A   1,311,913        49,407
* NetScout Systems Inc.   2,151,820        47,232
* Ultra Clean Holdings Inc.   1,366,150        46,640
* Informatica Inc. Class A   1,614,836        45,845
*,1 Xometry Inc. Class A   1,271,417        45,657
CSG Systems International Inc.     846,686        45,052
* Bumble Inc. Class A   3,047,003        44,913
* Vertex Inc. Class A   1,665,584        44,871
* Paycor HCM Inc.   2,030,807        43,845
* Semtech Corp.   1,987,195        43,539
*,1 Asana Inc. Class A   2,235,408        42,495
CTS Corp.     957,527        41,882
*,1 PAR Technology Corp.     917,640        39,954
Adeia Inc.   3,077,516        38,130
* Magnite Inc.   4,064,385        37,961
* Zeta Global Holdings Corp. Class A   4,278,341        37,735
1 Shutterstock Inc.     777,507        37,538
* Jamf Holding Corp.   2,073,381        37,445
* Intapp Inc.     984,678        37,437
* indie Semiconductor Inc. Class A   4,558,066        36,966
* Sprinklr Inc. Class A   3,066,236        36,917
* Zuora Inc. Class A   3,917,211        36,822
* AvePoint Inc.   4,421,969        36,304
* PDF Solutions Inc.   1,123,545        36,111
* Veradigm Inc.   3,282,514        34,434
* ScanSource Inc.     836,936        33,151
* EngageSmart Inc.   1,369,819        31,369
* Everbridge Inc.   1,271,286        30,905
* Model N Inc.   1,110,025        29,893
* Alkami Technology Inc.   1,220,260        29,591
Benchmark Electronics Inc.   1,065,589        29,453
* TechTarget Inc.     831,768        28,995
A10 Networks Inc.   2,174,205        28,634
* Amplitude Inc. Class A   2,250,274        28,623
* ACM Research Inc. Class A   1,463,522        28,597
* Ichor Holdings Ltd.     846,634        28,472
* Navitas Semiconductor Corp. Class A   3,461,400        27,933
* SMART Global Holdings Inc.   1,470,356        27,834
          Shares Market
Value

($000)
* E2open Parent Holdings Inc.   6,164,124        27,061
* N-able Inc.   1,965,948        26,049
* 3D Systems Corp.   4,013,073        25,483
Methode Electronics Inc.   1,103,207        25,076
* Couchbase Inc.   1,066,263        24,012
* Cerence Inc.   1,201,324        23,618
*,1 Aehr Test Systems     886,185        23,510
PC Connection Inc.     343,225        23,068
* Grid Dynamics Holdings Inc.   1,666,570        22,215
* Diebold Nixdorf Inc.     749,600        21,701
Simulations Plus Inc.     475,654        21,286
* Eventbrite Inc. Class A   2,533,728        21,182
* Matterport Inc.   7,851,178        21,120
* Vimeo Inc.   5,339,889        20,932
*,1 Klaviyo Inc. Class A     735,788        20,440
* SolarWinds Corp.   1,618,452        20,214
* PubMatic Inc. Class A   1,239,124        20,210
* Digital Turbine Inc.   2,901,678        19,906
* BigCommerce Holdings Inc.   1,977,724        19,243
* Yext Inc.   3,172,438        18,686
* Kimball Electronics Inc.     677,296        18,253
*,1 SEMrush Holdings Inc. Class A   1,332,280        18,199
* Mitek Systems Inc.   1,391,563        18,146
*,1 Digimarc Corp.     494,615        17,865
* SmartRent Inc. Class A   5,566,988        17,759
* Olo Inc. Class A   3,067,735        17,547
*,1 Getty Images Holdings Inc.   3,254,300        17,085
* nLight Inc.   1,264,578        17,072
* Alpha & Omega Semiconductor Ltd.     643,490        16,769
*,1 Blend Labs Inc. Class A   6,432,185        16,402
* Vivid Seats Inc. Class A   2,588,800        16,361
*,1 NerdWallet Inc. Class A   1,106,720        16,291
* Weave Communications Inc.   1,413,748        16,216
Hackett Group Inc.     689,753        15,706
*,1 MicroVision Inc.   5,662,357        15,062
* CEVA Inc.     645,647        14,663
* Planet Labs PBC   5,801,296        14,329
* Consensus Cloud Solutions Inc.     544,091        14,261
* Thoughtworks Holding Inc.   2,936,882        14,126
 
54

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Definitive Healthcare Corp. Class A   1,415,958        14,075
*,1 Applied Digital Corp.   1,988,300        13,401
*,1 SoundHound AI Inc. Class A   6,118,998        12,972
* MeridianLink Inc.     509,328        12,616
*,1 Terawulf Inc.   4,846,555        11,632
NVE Corp.     145,801        11,435
* OneSpan Inc.   1,058,980        11,352
* Daktronics Inc.   1,325,348        11,239
* Unisys Corp.   1,935,305        10,876
American Software Inc. Class A     921,406        10,412
* Enfusion Inc. Class A   1,069,947        10,378
*,1 Rumble Inc.   2,181,400         9,794
* Domo Inc. Class B     900,573         9,267
* Bandwidth Inc. Class A     631,073         9,132
*,1 Groupon Inc. Class A     698,916         8,974
* TrueCar Inc.   2,570,193         8,893
Immersion Corp.   1,189,827         8,400
* LivePerson Inc.   2,161,862         8,193
* eGain Corp.     977,552         8,143
*,1 QuickLogic Corp.     584,273         8,098
* EverQuote Inc. Class A     645,954         7,906
*,1 Porch Group Inc.   2,459,734         7,576
*,1 Tucows Inc. Class A     280,369         7,570
* Kopin Corp.   3,713,434         7,538
* Backblaze Inc. Class A     948,030         7,196
* Rimini Street Inc.   2,193,828         7,174
* Nextdoor Holdings Inc.   3,659,313         6,916
* Identiv Inc.     821,350         6,768
*,1 Innodata Inc.     826,077         6,724
ON24 Inc.     852,030         6,714
*,1 Ouster Inc.     864,088         6,628
* inTEST Corp.     471,536         6,413
*,1 Red Violet Inc.     320,472         6,400
* MediaAlpha Inc. Class A     555,905         6,198
* Asure Software Inc.     650,426         6,192
* Telos Corp.   1,644,309         6,002
*,1 Atomera Inc.     855,596         5,998
*,1 SkyWater Technology Inc.     621,278         5,977
*,1 NextNav Inc.   1,285,569         5,721
*,1 Cipher Mining Inc.   1,308,472         5,404
* EverCommerce Inc.     458,280         5,055
* Arteris Inc.     816,270         4,808
* Innovid Corp.   3,010,125         4,515
1 ReposiTrak Inc.     446,046         4,465
* Everspin Technologies Inc.     491,754         4,445
          Shares Market
Value

($000)
Richardson Electronics Ltd.     332,253         4,436
*,1 CoreCard Corp.     314,332         4,347
* Upland Software Inc.     980,074         4,146
* AstroNova Inc.     251,021         4,082
* AXT Inc.   1,622,032         3,893
* 1stdibs.com Inc.     822,834         3,851
* Pixelworks Inc.   2,796,204         3,663
* Brightcove Inc.   1,404,266         3,637
* Viant Technology Inc. Class A     509,873         3,513
* Rackspace Technology Inc.   1,690,995         3,382
* Transphorm Inc.     898,488         3,279
* Intevac Inc.     712,652         3,079
* Expensify Inc. Class A   1,226,965         3,031
*,1 FiscalNote Holdings Inc.   2,641,300         3,011
*,1 Aeva Technologies Inc.   3,931,094         2,979
*,1 Rigetti Computing Inc.   2,946,700         2,902
1 CSP Inc.     139,445         2,789
* Synchronoss Technologies Inc.     422,273         2,622
*,1 Vroom Inc.   4,332,182         2,610
*,1 WM Technology Inc.   3,203,513         2,307
*,1 Veritone Inc.   1,137,370         2,059
1 SilverSun Technologies Inc.     118,790         2,032
* Amtech Systems Inc.     477,101         2,004
* Issuer Direct Corp.     110,039         1,995
* comScore Inc.     118,989         1,987
* SecureWorks Corp. Class A     263,152         1,942
* TransAct Technologies Inc.     269,345         1,880
*,1 Nutex Health Inc.   9,268,251         1,668
*,1 Smith Micro Software Inc.   2,009,704         1,660
* Inuvo Inc.   3,857,320         1,639
*,1 System1 Inc.     726,600         1,613
*,1 BigBear.ai Holdings Inc.     739,669         1,583
*,1 Stronghold Digital Mining Inc. Class A     211,910         1,547
*,1 GSI Technology Inc.     574,548         1,517
*,1 Sphere 3D Corp.     450,035         1,494
*,1 Direct Digital Holdings Inc. Class A      90,848         1,352
* Intellicheck Inc.     685,145         1,302
* Edgio Inc.   3,619,157         1,240
*,1 Skillz Inc. Class A     196,381         1,225
*,1 Steel Connect Inc.     126,263         1,202
 
55

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,1 Flux Power Holdings Inc.     287,084         1,180
* Key Tronic Corp.     270,500         1,169
* Quantum Corp.   3,321,825         1,159
* AudioEye Inc.     211,717         1,148
* DecisionPoint Systems Inc.     179,250         1,122
* Aware Inc.     646,876         1,074
* Zedge Inc. Class B     455,536         1,071
* One Stop Systems Inc.     498,283         1,046
* KORE Group Holdings Inc.   1,047,448         1,027
* NetSol Technologies Inc.     448,836           965
* AdTheorent Holding Co. Inc.     654,100           948
*,1 Arena Group Holdings Inc.     382,903           911
*,1 Greenidge Generation Holdings Inc. Class A     134,326           901
* CVD Equipment Corp.     198,073           877
1 VirnetX Holding Corp.     116,102           813
*,1 Quantum Computing Inc.     880,269           804
* Presto Automation Inc.   1,445,442           768
* Wag! Group Co.     404,431           716
*,1 authID Inc.      73,845           699
* EMCORE Corp.   1,425,083           697
* ZeroFox Holdings Inc.     799,152           695
* WidePoint Corp.     265,533           616
* Mastech Digital Inc.      69,007           582
*,1 Urgent.ly Inc.     182,809           580
* Trio-Tech International     108,490           550
* Data I/O Corp.     180,859           532
*,1 BuzzFeed Inc. Class A   2,108,022           527
*,1 Beachbody Co. Inc.      60,943           505
*,1 Glimpse Group Inc.     437,150           494
*,1 Alpine 4 Holdings Inc.     649,415           477
* Duos Technologies Group Inc.     158,934           458
* BTCS Inc.     280,193           457
* Streamline Health Solutions Inc.   1,027,543           437
*,1 KULR Technology Group Inc.   2,126,566           393
* Bridgeline Digital Inc.     419,181           363
* SigmaTron International Inc.      98,274           295
*,1 Phunware Inc.   3,434,695           282
*,1 Creative Realities Inc.     113,471           268
*,1 Maplebear Inc.       9,188           216
          Shares Market
Value

($000)
* Boxlight Corp. Class A     189,451           203
* Rubicon Technologies Inc. Class A     106,092           196
* Data Storage Corp.      64,393           185
* iPower Inc.     386,294           174
* Paltalk Inc.      65,588           153
* VerifyMe Inc.     111,129           124
*,1 Intrusion Inc.     416,377           105
*,1 Leafly Holdings Inc.      17,934            86
*,1 T Stamp Inc. Class A      61,734            85
*,1 CYNGN Inc.     525,965            76
*,1 OMNIQ Corp.      90,005            56
* Nortech Systems Inc.       5,000            48
* Laser Photonics Corp.      28,091            33
*,1 Remark Holdings Inc.      40,096            20
* Intellinetics Inc.       1,500             8
                      452,045,607
Telecommunications (2.0%)
Cisco Systems Inc. 114,726,249     5,795,970
Comcast Corp. Class A 125,965,855     5,523,603
Verizon Communications Inc. 118,780,572     4,478,028
AT&T Inc. 224,727,919     3,770,935
T-Mobile US Inc.  16,301,046     2,613,547
* Arista Networks Inc.   7,816,629     1,840,894
Motorola Solutions Inc.   5,202,023     1,628,701
* Charter Communications Inc. Class A   3,018,969     1,173,413
* Roku Inc. Class A   3,935,179       360,699
* Liberty Broadband Corp. Class C   3,744,468       301,767
Juniper Networks Inc.  10,068,162       296,809
* Ciena Corp.   4,686,757       210,951
* Frontier Communications Parent Inc.   7,714,044       195,474
Iridium Communications Inc.   3,563,840       146,688
* Lumentum Holdings Inc.   2,146,621       112,526
Cogent Communications Holdings Inc.   1,371,442       104,312
*,1 Viasat Inc.   3,551,415        99,262
InterDigital Inc.     793,108        86,084
Cable One Inc.     141,428        78,717
* Calix Inc.   1,769,868        77,326
* Viavi Solutions Inc.   7,026,436        70,756
 
56

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
* Extreme Networks Inc.   3,875,543        68,365
Telephone & Data Systems Inc.   3,251,568        59,666
* Lumen Technologies Inc.  31,781,128        58,159
* DISH Network Corp. Class A   7,857,323        45,337
* Harmonic Inc.   3,320,726        43,302
* Globalstar Inc.  22,256,913        43,178
* Liberty Broadband Corp. Class A     522,829        42,161
Shenandoah Telecommunications Co.   1,565,246        33,841
* fuboTV Inc.   9,076,840        28,864
*,1 Infinera Corp.   5,831,136        27,698
* Digi International Inc.   1,039,708        27,032
Bel Fuse Inc. Class B     379,156        25,316
* IDT Corp. Class B     645,387        22,001
* Altice USA Inc. Class A   6,717,067        21,831
* Gogo Inc.   1,931,306        19,564
* United States Cellular Corp.     461,155        19,156
*,1 Applied Optoelectronics Inc.     943,878        18,236
* CommScope Holding Co. Inc.   6,269,922        17,681
*,1 Lightwave Logic Inc.   3,319,973        16,533
* EchoStar Corp. Class A     979,864        16,236
ADTRAN Holdings Inc.   2,181,394        16,011
*,1 AST SpaceMobile Inc. Class A   2,482,967        14,972
* Anterix Inc.     414,796        13,821
* Xperi Inc.   1,204,322        13,272
ATN International Inc.     324,753        12,656
* NETGEAR Inc.     857,738        12,506
* 8x8 Inc.   3,289,503        12,434
*,1 Clearfield Inc.     406,637        11,825
* Aviat Networks Inc.     301,106         9,834
* Consolidated Communications Holdings Inc.   2,207,355         9,602
* Ribbon Communications Inc.   2,867,787         8,317
Spok Holdings Inc.     518,466         8,026
Comtech Telecommunications Corp.     862,269         7,269
* Ooma Inc.     671,112         7,201
* WideOpenWest Inc.   1,564,532         6,336
* Kaltura Inc.   2,537,683         4,949
* Lantronix Inc.     822,470         4,820
          Shares Market
Value

($000)
* KVH Industries Inc.     623,125         3,278
*,1 Powerfleet Inc.     952,316         3,257
* Cambium Networks Corp.     375,529         2,253
*,1 SurgePays Inc.     345,312         2,227
* Genasys Inc.   1,069,984         2,172
*,1 Akoustis Technologies Inc.   2,123,996         1,771
Crexendo Inc.     345,906         1,678
* Airgain Inc.     355,805         1,267
* DZS Inc.     641,747         1,264
Network-1 Technologies Inc.     570,833         1,244
*,1 Inseego Corp.   3,041,116           668
* Casa Systems Inc.     957,382           507
* Franklin Wireless Corp.     119,754           406
* Charge Enterprises Inc.   2,547,177           291
*,1 CalAmp Corp.   1,119,100           281
ClearOne Inc.     249,029           269
* Optical Cable Corp.      93,055           251
Bel Fuse Inc. Class A       3,626           233
* Sonim Technologies Inc.     239,926           176
*,1 Vislink Technologies Inc.      34,830           134
* BK Technologies Corp.         300             4
*,1,2 FTE Networks Inc.      84,180            —
                       29,818,101
Utilities (2.6%)
NextEra Energy Inc.  63,541,375     3,859,503
Southern Co.  34,268,056     2,402,876
Duke Energy Corp.  24,220,815     2,350,388
Waste Management Inc.  12,632,897     2,262,552
Sempra  19,738,916     1,475,089
PG&E Corp.  79,899,019     1,440,579
American Electric Power Co. Inc.  16,190,090     1,314,959
Dominion Energy Inc.  26,271,237     1,234,748
Waste Connections Inc.   8,082,030     1,206,405
Constellation Energy Corp.  10,034,899     1,172,979
Exelon Corp.  31,178,428     1,119,306
Xcel Energy Inc.  17,348,689     1,074,057
Republic Services Inc. Class A   6,405,767     1,056,375
Consolidated Edison Inc.  10,818,867       984,192
Public Service Enterprise Group Inc.  15,547,472       950,728
Edison International  12,029,114       859,961
 
57

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
WEC Energy Group Inc.   9,912,059       834,298
American Water Works Co. Inc.   6,153,045       812,140
Eversource Energy  10,949,537       675,805
Entergy Corp.   6,626,534       670,539
PPL Corp.  23,112,577       626,351
FirstEnergy Corp.  17,065,571       625,624
DTE Energy Co.   5,491,047       605,443
Ameren Corp.   8,245,107       596,451
CenterPoint Energy Inc.  19,733,836       563,796
Atmos Energy Corp.   4,643,847       538,222
CMS Energy Corp.   9,145,216       531,063
Vistra Corp.  11,232,423       432,673
Alliant Energy Corp.   7,909,642       405,765
AES Corp.  21,029,862       404,825
Evergy Inc.   7,195,391       375,599
NiSource Inc.  13,906,297       369,212
NRG Energy Inc.   7,107,443       367,455
Essential Utilities Inc.   7,817,034       291,966
* Clean Harbors Inc.   1,530,586       267,103
Pinnacle West Capital Corp.   3,540,701       254,364
OGE Energy Corp.   6,267,999       218,941
UGI Corp.   6,585,644       162,007
IDACORP Inc.   1,579,715       155,318
* Casella Waste Systems Inc. Class A   1,795,026       153,403
National Fuel Gas Co.   2,884,451       144,713
* Stericycle Inc.   2,899,419       143,695
Portland General Electric Co.   3,227,195       139,867
New Jersey Resources Corp.   3,067,467       136,748
Southwest Gas Holdings Inc.   2,127,158       134,755
*,1 Sunrun Inc.   6,468,884       126,984
Ormat Technologies Inc.   1,604,698       121,620
Black Hills Corp.   2,191,346       118,223
PNM Resources Inc.   2,685,521       111,718
ONE Gas Inc.   1,740,759       110,921
ALLETE Inc.   1,810,125       110,707
Northwestern Energy Group Inc.   1,980,171       100,771
Spire Inc.   1,564,013        97,501
American States Water Co.   1,169,730        94,070
California Water Service Group   1,808,764        93,821
Avista Corp.   2,411,770        86,197
MGE Energy Inc.   1,149,589        83,127
Avangrid Inc.   2,501,060        81,059
Chesapeake Utilities Corp.     679,933        71,821
          Shares Market
Value

($000)
Clearway Energy Inc. Class C   2,398,522        65,791
SJW Group     891,147        58,236
*,1 Sunnova Energy International Inc.   3,224,684        49,176
1 Hawaiian Electric Industries Inc.   3,431,740        48,696
Northwest Natural Holding Co.   1,097,419        42,734
Middlesex Water Co.     560,187        36,759
Clearway Energy Inc. Class A   1,275,884        32,637
Unitil Corp.     501,679        26,373
* Enviri Corp.   2,563,153        23,068
Genie Energy Ltd. Class B     742,474        20,886
* Altus Power Inc. Class A   2,139,508        14,613
York Water Co.     329,364        12,720
Artesian Resources Corp. Class A     279,248        11,575
*,1 Vertex Energy Inc.   2,948,032         9,994
Excelerate Energy Inc. Class A     635,447         9,824
Aris Water Solutions Inc. Class A     797,758         6,693
*,1 NuScale Power Corp. Class A   2,004,840         6,596
* Pure Cycle Corp.     574,922         6,019
Global Water Resources Inc.     429,961         5,624
1 RGC Resources Inc.     254,995         5,187
*,1 Net Power Inc.     487,100         4,920
* Quest Resource Holding Corp.     558,617         4,095
*,1 Cadiz Inc.   1,161,900         3,253
* Perma-Fix Environmental Services Inc.     384,758         3,024
*,1 Aqua Metals Inc.   2,952,345         2,244
* Advanced Emissions Solutions Inc.     469,776         1,400
Via Renewables Inc. Class A     133,126         1,251
* Clean Energy Technologies Inc.       5,877             9
* Vivakor Inc.       6,500             7
                       38,324,782
Total Common Stocks
(Cost $697,129,605)
1,454,196,493
Preferred Stocks (0.0%)
Air T Funding Pfd., 8.000%, 6/7/24         956            16
*,1,2 Next Bridge Hydrocarbons Inc. Preference Shares   1,763,201            —
 
58

 

Total Stock Market Index Fund
          Shares Market
Value

($000)
*,2 BTCS Inc. Preference Shares     280,193            —
Total Preferred Stocks
(Cost $5,124)
16
Rights (0.0%)
*,1,2 Frequency Therapeutics Inc. CVR   1,246,700         2,469
*,1,2 Tobira Therapeutics Inc. CVR Exp. 12/31/28     201,001           911
*,1,2 Cartesian Therapeutics Inc. CVR   3,799,067           684
*,2 Spectrum Pharmaceuticals Inc. CVR   5,990,797           488
*,2 Imara Inc. CVR     370,003           463
*,2 Strongbridge Biopharma plc CVR   1,399,363           253
*,1 Groupon Inc. Exp. 1/17/24     698,916           239
*,1,2 Palisade Bio Inc. CVR     204,224           196
*,2 Ocera Therapeutics Inc. CVR     653,477           176
*,2 Surface Oncology Inc. CVR   1,709,153           161
*,2 Adamas Pharmaceuticals Inc. CVR   2,522,158           152
*,1,2 CinCor Pharma Inc. CVR      28,710            88
*,2 Gyre Therapeutics Inc. CVR     826,502            83
*,2 Aduro Biotech Inc. CVR     415,255            76
*,2 OncoMed Pharmaceuticals Inc. CVR     255,777            61
*,1,2 Miragen Therapeutics Inc. CVR   1,753,041            35
*,2 Alexza Pharmaceuticals Inc. CVR     327,391            12
*,1,2 Oncternal Therapeutics Inc. CVR       8,933             9
*,2 F-star Therapeutics Inc. CVR     122,042             8
*,2 Dianthus Therapeutics Inc. CVR   1,432,921             7
*,2 Ambit Biosciences Corp. CVR     201,330            —
          Shares Market
Value

($000)
*,2 Pineapple Energy Inc. CVR      69,639            —
*,2 ABIOMED Inc. CVR         264            —
*,1,2 Disc Medicine Inc. CVR     275,152            —
*,1,2 Sesen Bio Inc. CVR   6,822,627            —
*,2 Neurogene Inc. CVR      98,708            —
Total Rights
(Cost $5,213)
6,571
Warrants (0.0%)
*,2 Cassava Sciences Inc. Exp. 11/15/24     495,152         2,364
* Geron Corp. Exp. 12/31/25   1,202,419           487
* Presidio Property Trust Inc. Exp. 1/24/27     110,319             7
* Hycroft Mining Holding Corp. Exp. 10/6/25     155,000             5
* LGL Group Inc. Exp. 12/16/25       2,391             1
* Ayala Pharmaceuticals Inc. Exp. 9/11/24     157,660            —
* SELLAS Life Sciences Group Inc. Exp. 4/5/27      40,000            —
* Athenex Inc. Exp. 8/15/27     535,168            —
*,1,2 Imperalis Holding Corp. Exp. 4/13/28   1,503,700            —
Total Warrants
(Cost $9)
2,864
 
59

 

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.
73

 

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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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
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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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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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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.
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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
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
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Tax information (unaudited)
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.
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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.
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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.
Interested Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Member of the board of governors of the Investment Company Institute and the board of governors of FINRA.
Independent Trustees
Tara Bunch
Born in 1962. Trustee since November 2021. Principal occupation(s) during the past five years and other experience: head of global operations at Airbnb (2020–present). Vice president of AppleCare (2012–2020). Member of the board of directors of Out & Equal, the advisory board of the University of California, Berkeley School of Engineering, and the advisory board of Santa Clara University’s Leavey School of Business.
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Member of the board of directors of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, Roberts Wesleyan College, and the Rochester Philharmonic Orchestra. Trustee of the University of Rochester.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief ‎operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Director of the V Foundation. Member of the advisory council for the College of Arts and ‎Letters at the University of Notre Dame. Chairman of the board of Saint Anselm College.
 
1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

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

 

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

 

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Q850 022024

 

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.