Annual Report   |   August 31, 2023
Vanguard U.S. Sector Index Funds
Vanguard Communication Services Index Fund
Vanguard Consumer Discretionary Index Fund
Vanguard Consumer Staples Index Fund
Vanguard Energy Index Fund
Vanguard Financials Index Fund
Vanguard Health Care Index Fund
Vanguard Industrials Index Fund
Vanguard Information Technology Index Fund
Vanguard Materials Index Fund
Vanguard Utilities 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
Communication Services Index Fund

5
Consumer Discretionary Index Fund

17
Consumer Staples Index Fund

30
Energy Index Fund

42
Financials Index Fund

54
Health Care Index Fund

68
Industrials Index Fund

83
Information Technology Index Fund

97
Materials Index Fund

110
Utilities Index Fund

122
Trustees Approve Advisory Arrangements

136
Liquidity Risk Management

137
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

Your Fund’s Performance at a Glance
For the 12 months ended August 31, 2023, returns for the Vanguard U.S. Sector Index Funds ranged from about –13% to more than 28%. All 10 funds closely tracked their target indexes.
Early in the period, inflation in many developed markets began to ease off multidecade highs but remained stubbornly high in some sectors—including services, which felt the effects of a tight labor market. While aggressive interest rate hikes by many major central banks, including the Federal Reserve, fanned fears of recession, the economy proved more resilient than expected.
Returns were strongest for Vanguard Information Technology Index (+28.47%) and Industrials Index (+19.99%) Funds. At the low end were Vanguard Utilities Index (–12.73%), Consumer Staples Index (+4.65%), and Financials Index (+5.27%) Funds. (Returns listed are for Admiral Shares.) 
Market Barometer
Average Annual Total Returns
Periods Ended August 31, 2023
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 15.40% 9.93% 10.77%
Russell 2000 Index (Small-caps) 4.65 8.12 3.14
Russell 3000 Index (Broad U.S. market) 14.76 9.81 10.25
FTSE All-World ex US Index (International) 12.02 4.49 3.74
Bonds      
Bloomberg U.S. Aggregate Float Adjusted Index
(Broad taxable market)
-1.05% -4.40% 0.55%
Bloomberg Municipal Bond Index
(Broad tax-exempt market)
1.70 -1.32 1.52
FTSE Three-Month U.S. Treasury Bill Index 4.44 1.63 1.68
CPI      
Consumer Price Index 3.67% 5.71% 4.02%
1

 

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

 

Six Months Ended August 31, 2023      
  Beginning
Account Value
2/28/2023
Ending
Account Value
8/31/2023
Expenses
Paid During
Period
Based on Actual Fund Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,211.10 $0.56
Admiral™ Shares 1,000.00 1,210.90 0.56
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,165.20 $0.55
Admiral Shares 1,000.00 1,165.10 0.55
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,040.50 $0.51
Admiral Shares 1,000.00 1,040.60 0.51
Energy Index Fund      
ETF Shares $1,000.00 $1,087.90 $0.53
Admiral Shares 1,000.00 1,087.90 0.53
Financials Index Fund      
ETF Shares $1,000.00 $966.40 $0.50
Admiral Shares 1,000.00 966.40 0.50
Health Care Index Fund      
ETF Shares $1,000.00 $1,047.30 $0.52
Admiral Shares 1,000.00 1,047.30 0.52
Industrials Index Fund      
ETF Shares $1,000.00 $1,089.60 $0.53
Admiral Shares 1,000.00 1,089.70 0.53
Information Technology Index Fund      
ETF Shares $1,000.00 $1,267.80 $0.57
Admiral Shares 1,000.00 1,267.80 0.57
Materials Index Fund      
ETF Shares $1,000.00 $1,015.30 $0.51
Admiral Shares 1,000.00 1,015.50 0.51
Utilities Index Fund      
ETF Shares $1,000.00 $973.80 $0.50
Admiral Shares 1,000.00 974.10 0.50
3

 

Six Months Ended August 31, 2023      
  Beginning
Account Value
2/28/2023
Ending
Account Value
8/31/2023
Expenses
Paid During
Period
Based on Hypothetical 5% Yearly Return      
Communication Services Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Consumer Discretionary Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Consumer Staples Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Energy Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Financials Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Health Care Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Industrials Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Information Technology Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Materials Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
Utilities Index Fund      
ETF Shares $1,000.00 $1,024.70 $0.51
Admiral Shares 1,000.00 1,024.70 0.51
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 Communication Services Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Discretionary Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Consumer Staples Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Energy Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Financials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Health Care Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Industrials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Information Technology Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; for the Materials Index Fund, 0.10% for ETF Shares and 0.10% for Admiral Shares; and for the Utilities Index Fund, 0.10% for ETF Shares and 0.10% 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).
4

 

Communication Services Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
      Average Annual Total Returns
Periods Ended August 31, 2023
    One
Year
Five
Years
Ten
Years
Final Value
of a $10,000
Investment
 Communication Services Index Fund ETF Shares Net Asset Value 17.46% 5.73% 5.81% $17,582
  Communication Services Index Fund ETF Shares Market Price 17.53 5.74 5.81 17,594
 Communication Services Spliced Index 17.28 5.73 5.79 17,561
 MSCI US Investable Market 2500 Index 15.01 10.39 12.34 32,022
       
    One
Year
Five
Years
Ten
Years
Final Value
of a $100,000
Investment
Communication Services Index Fund Admiral Shares 17.44% 5.73% 5.82% $176,008
Communication Services Spliced Index 17.28 5.73 5.79 175,614
MSCI US Investable Market 2500 Index 15.01 10.39 12.34 320,217
Communication Services Spliced Index: MSCI US IMI/Telecommunication Services 25/50 through May 2, 2018; MSCI US IMI/Communication Services 25/50 Transition Index through December 2, 2018; MSCI US IMI/Communication Services 25/50 thereafter.
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year
Five
Years
Ten
Years
Communication Services Index Fund ETF Shares Market Price 17.53% 32.22% 75.94%
Communication Services Index Fund ETF Shares Net Asset Value 17.46 32.13 75.82
Communication Services Spliced Index 17.28 32.12 75.61
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.
See Financial Highlights for dividend and capital gains information.
5

 

Communication Services Index Fund
Fund Allocation
As of August 31, 2023
Diversified Telecommunication Services 10.7%
Entertainment 21.1
Interactive Media & Services 47.8
Media 17.1
Wireless Telecommunication Services 3.3
The table reflects the fund’s investments, except 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

 

Communication Services Index Fund
Financial Statements
Schedule of Investments
As of August 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.8%)
Diversified Telecommunication Services (10.7%)
  Verizon Communications Inc. 4,494,024   157,201
  AT&T Inc. 7,867,048   116,354
* Liberty Global plc Class C   978,753    19,419
  Iridium Communications Inc.   331,028    16,204
  Cogent Communications Holdings Inc.   173,420    12,240
* Liberty Global plc Class A   648,549    11,959
* Frontier Communications Parent Inc.   734,086    11,760
* Lumen Technologies Inc. 4,006,430     6,370
* Liberty Latin America Ltd. Class C   611,071     5,475
* Radius Global Infrastructure Inc. Class A (XNMS)   298,267     4,450
* Globalstar Inc. 2,892,884     4,166
* EchoStar Corp. Class A   136,693     2,376
* Anterix Inc.    53,134     1,758
* IDT Corp. Class B    71,878     1,681
  ATN International Inc.    44,095     1,582
* Bandwidth Inc. Class A    94,325     1,355
* Liberty Latin America Ltd. Class A   140,738     1,258
* Consolidated Communications Holdings Inc.   302,314     1,194
* Charge Enterprises Inc.   466,400       253
              377,055
Entertainment (21.0%)
* Netflix Inc.   378,396   164,103
* Walt Disney Co. 1,798,758   150,520
  Activision Blizzard Inc.   960,575    88,363
  Electronic Arts Inc.   388,324    46,591
* Warner Bros Discovery Inc. 3,350,967    44,032
* Take-Two Interactive Software Inc.   267,963    38,104
* Roku Inc.   366,162    29,732
* Liberty Media Corp.-Liberty Formula One Class C   385,814    26,540
* Live Nation Entertainment Inc.   312,671    26,430
* Roblox Corp. Class A   789,949    22,348
  World Wrestling Entertainment Inc. Class A   172,181    16,624
  Warner Music Group Corp. Class A   494,938    16,481
* Endeavor Group Holdings Inc. Class A   636,341    13,929
  Madison Square Garden Sports Corp.    61,790    10,999
* Cinemark Holdings Inc.   436,477     7,106
*,1 AMC Entertainment Holdings Inc. Class A   561,194     7,043
    Shares Market
Value

($000)
* Atlanta Braves Holdings Inc. Class C   180,281     6,642
* Liberty Media Corp.-Liberty Live Class C   193,155     6,500
* Madison Square Garden Entertainment Corp.   123,281     3,956
* Imax Corp.   185,009     3,539
* Sphere Entertainment Co.    93,912     3,293
* Lions Gate Entertainment Corp. Class B   408,793     3,046
* Lions Gate Entertainment Corp. Class A   330,705     2,619
* Liberty Media Corp.-Liberty Live Class A    73,493     2,448
  Marcus Corp.    93,071     1,414
* Atlanta Braves Holdings Inc. Class A    27,501     1,151
* Vivid Seats Inc. Class A   153,216     1,112
* Skillz Inc.    53,048       434
              745,099
Interactive Media & Services (47.7%)
* Meta Platforms Inc. Class A 2,295,930   679,343
* Alphabet Inc. Class A 3,306,314   450,221
* Alphabet Inc. Class C 2,698,015   370,572
* Match Group Inc.   681,053    31,921
* Pinterest Inc. Class A 1,156,991    31,806
* Snap Inc. Class A 2,310,789    23,917
* IAC Inc.   295,597    16,355
* ZoomInfo Technologies Inc.   830,368    14,963
* Ziff Davis Inc.   188,647    12,573
* Yelp Inc.   260,911    11,180
* TripAdvisor Inc.   438,500     6,626
* Bumble Inc. Class A   384,210     6,447
* Cargurus Inc.   330,118     5,978
* Cars.com Inc.   252,867     4,726
* ZipRecruiter Inc. Class A   281,848     4,281
  Shutterstock Inc.   100,679     4,240
* Eventbrite Inc. Class A   328,548     3,328
*,1 fuboTV Inc. 1,163,644     2,723
* Vimeo Inc.   591,945     2,356
* QuinStreet Inc.   205,112     2,031
* Nextdoor Holdings Inc.   444,455       965
* Outbrain Inc.   142,804       815
* Angi Inc.   320,478       788
* Mediaalpha Inc. Class A    82,282       690
* System1 Inc.    89,591       160
            1,689,005
Media (17.1%)
  Comcast Corp. Class A 3,368,749   157,523
* Charter Communications Inc. Class A   145,022    63,537
* Trade Desk Inc. Class A   633,241    50,678
  Omnicom Group Inc.   347,940    28,187
  Interpublic Group of Cos. Inc.   744,326    24,272
    Shares Market
Value

($000)
* Liberty Broadband Corp. Class C   253,531    23,720
  Fox Corp. Class A   704,778    23,300
  News Corp. Class A 1,059,074    22,759
  New York Times Co. Class A   503,297    22,281
  Nexstar Media Group Inc.   116,703    18,999
  Paramount Global Inc. Class B 1,167,675    17,620
  Fox Corp. Class B   563,989    17,213
* Liberty Media Corp. - Liberty SiriusXM Class C   619,530    15,141
  TEGNA Inc.   763,506    12,621
  Cable One Inc.    18,143    11,803
1 Sirius XM Holdings Inc. 2,436,491    10,721
  News Corp. Class B   472,720    10,400
* Liberty Broadband Corp. Class A   100,156     9,379
* Liberty Media Corp.-Liberty SiriusXM Class A   294,634     7,080
  John Wiley & Sons Inc. Class A   175,439     6,519
* DISH Network Corp. Class A   999,520     5,997
  Scholastic Corp.   112,694     4,897
* Magnite Inc.   460,008     3,795
* Integral Ad Science Holding Corp.   216,040     3,083
* TechTarget Inc.   106,367     3,058
* Thryv Holdings Inc.   131,906     2,690
  Gray Television Inc.   329,851     2,659
* Altice USA Inc. Class A   862,495     2,648
* PubMatic Inc. Class A   153,230     2,130
* Stagwell Inc.   365,251     1,991
* Cardlytics Inc.   115,051     1,917
* EW Scripps Co. Class A   231,391     1,768
* Boston Omaha Corp. Class A    96,458     1,705
* Clear Channel Outdoor Holdings Inc. 1,155,797     1,676
* WideOpenWest Inc.   202,854     1,643
* Gannett Co. Inc.   564,694     1,643
  Sinclair Inc.   125,371     1,582
* iHeartMedia Inc. Class A   389,172     1,405
* AMC Networks Inc. Class A   108,543     1,263
* Quotient Technology Inc.   314,721     1,256
* Advantage Solutions Inc.   387,576     1,085
              603,644
Other (0.0%)2
*,3 GCI Liberty Inc.   188,049        —
Wireless Telecommunication Services (3.3%)
* T-Mobile US Inc.   725,653    98,870
  Telephone and Data Systems Inc.   398,405     8,562
  Shenandoah Telecommunications Co.   190,367     4,329
7

 

Communication Services Index Fund
    Shares Market
Value

($000)
* Gogo Inc.   256,353     2,909
* United States Cellular Corp.    61,952     2,842
              117,512
Total Common Stocks (Cost $3,942,048) 3,532,315
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
4,5 Vanguard Market Liquidity Fund, 5.384% (Cost$16,846)   168,526          16,851
Total Investments (100.3%) (Cost $3,958,894) 3,549,166
Other Assets and Liabilities—Net (-0.3%) (10,211)
Net Assets (100.0%) 3,538,955
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 $10,194,000.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
3 Security value determined using significant unobservable inputs.
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 $11,297,000 was received for securities on loan, of which $11,239,000 is held in Vanguard Market Liquidity Fund and $58,000 is held in cash.

Derivative Financial Instruments Outstanding as of Period End

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)
Paramount Global Class B 8/30/24 BANA 2,490 (5.320)
Sirius XM Holdings Inc. 1/31/24 GSI 3,061 (5.320) (193)
          (193)
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.
  
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Communication Services Index Fund
Statement of Assets and Liabilities
As of August 31, 2023
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $3,942,048) 3,532,315
Affiliated Issuers (Cost $16,846) 16,851
Total Investments in Securities 3,549,166
Investment in Vanguard 118
Cash 58
Cash Collateral Pledged—Over-the-Counter Swap Contracts 450
Receivables for Investment Securities Sold 28,038
Receivables for Accrued Income 1,050
Receivables for Capital Shares Issued 192
Total Assets 3,579,072
Liabilities  
Due to Custodian 77
Payables for Investment Securities Purchased 28,261
Collateral for Securities on Loan 11,297
Payables for Capital Shares Redeemed 139
Payables to Vanguard 150
Unrealized Depreciation—Over-the-Counter Swap Contracts 193
Total Liabilities 40,117
Net Assets 3,538,955
1 Includes $10,194,000 of securities on loan.  
At August 31, 2023, net assets consisted of:  
   
Paid-in Capital 4,529,100
Total Distributable Earnings (Loss) (990,145)
Net Assets 3,538,955
 
ETF Shares—Net Assets  
Applicable to 31,295,890 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
3,424,050
Net Asset Value Per Share—ETF Shares $109.41
 
Admiral Shares—Net Assets  
Applicable to 2,060,928 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
114,905
Net Asset Value Per Share—Admiral Shares $55.75
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Communication Services Index Fund
Statement of Operations
  Year Ended
August 31, 2023
  ($000)
Investment Income  
Income  
Dividends 28,549
Interest1 235
Securities Lending—Net 7,683
Total Income 36,467
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 67
Management and Administrative—
ETF Shares
2,285
Management and Administrative—
Admiral Shares
72
Marketing and Distribution—
ETF Shares
157
Marketing and Distribution—
Admiral Shares
5
Custodian Fees 1
Auditing Fees 30
Shareholders’ Reports—ETF Shares 159
Shareholders’ Reports—Admiral Shares 1
Trustees’ Fees and Expenses 1
Other Expenses 49
Total Expenses 2,827
Expenses Paid Indirectly (2)
Net Expenses 2,825
Net Investment Income 33,642
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (29,549)
Swap Contracts (2,804)
Realized Net Gain (Loss) (32,353)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 458,340
Swap Contracts 239
Change in Unrealized Appreciation (Depreciation) 458,579
Net Increase (Decrease) in Net Assets Resulting from Operations 459,868
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 $235,000, $1,000, less than $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $97,001,000 of net gain (loss) resulting from in-kind redemptions.
  
Statement of Changes in Net Assets
  Year Ended August 31,
  2023
($000)
2022
($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 33,642 35,113
Realized Net Gain (Loss) (32,353) 301,906
Change in Unrealized Appreciation (Depreciation) 458,579 (2,110,443)
Net Increase (Decrease) in Net Assets Resulting from Operations 459,868 (1,773,424)
Distributions    
ETF Shares (27,514) (36,456)
Admiral Shares (839) (937)
Total Distributions (28,353) (37,393)
Capital Share Transactions    
ETF Shares 290,125 (303,025)
Admiral Shares 29,898 (10,410)
Net Increase (Decrease) from Capital Share Transactions 320,023 (313,435)
Total Increase (Decrease) 751,538 (2,124,252)
Net Assets    
Beginning of Period 2,787,417 4,911,669
End of Period 3,538,955 2,787,417
  
 
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Communication Services Index Fund
Financial Highlights
ETF Shares          
For a Share Outstanding
Throughout Each Period 
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $94.12 $149.87 $108.04 $87.24 $86.83
Investment Operations          
Net Investment Income1 1.128 1.110 1.018 1.005 .917
Net Realized and Unrealized Gain (Loss) on Investments 15.127 (55.695) 41.708 20.743 .316
Total from Investment Operations 16.255 (54.585) 42.726 21.748 1.233
Distributions          
Dividends from Net Investment Income (.965) (1.165) (.896) (.948) (.823)
Distributions from Realized Capital Gains
Total Distributions (.965) (1.165) (.896) (.948) (.823)
Net Asset Value, End of Period $109.41 $94.12 $149.87 $108.04 $87.24
Total Return 17.46% -36.61% 39.75% 25.15% 1.47%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $3,424 $2,717 $4,787 $2,914 $2,016
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.19% 0.92% 0.80% 1.09% 1.09%
Portfolio Turnover Rate3 15% 16% 15% 15% 33%
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
Admiral Shares          
For a Share Outstanding
Throughout Each Period 
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $47.97 $76.38 $55.06 $44.46 $44.25
Investment Operations          
Net Investment Income1 .591 .572 .519 .512 .470
Net Realized and Unrealized Gain (Loss) on Investments 7.682 (28.388) 21.259 10.571 .157
Total from Investment Operations 8.273 (27.816) 21.778 11.083 .627
Distributions          
Dividends from Net Investment Income (.493) (.594) (.458) (.483) (.417)
Distributions from Realized Capital Gains
Total Distributions (.493) (.594) (.458) (.483) (.417)
Net Asset Value, End of Period $55.75 $47.97 $76.38 $55.06 $44.46
Total Return2 17.44% -36.61% 39.76% 25.16% 1.46%
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $115 $70 $124 $67 $50
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.21% 0.93% 0.79% 1.10% 1.09%
Portfolio Turnover Rate4 15% 16% 15% 15% 33%
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 0.10%.
4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Communication Services Index Fund
Notes to Financial Statements
Vanguard Communication Services Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and 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.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.
The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.
During the year ended August 31, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three
12

 

Communication Services Index Fund
years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program. 
For the year ended August 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily.  Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. 
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of
13

 

Communication Services Index Fund
trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2023, the fund had contributed to Vanguard capital in the amount of $118,000, representing less than 0.01% of the fund’s net assets and 0.05% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended August 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $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.
The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2023, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 3,532,315 3,532,315
Temporary Cash Investments 16,851 16,851
Total 3,549,166 3,549,166
Derivative Financial Instruments        
Liabilities        
Swap Contracts 193 193
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 96,543
Total Distributable Earnings (Loss) (96,543)
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: 
14

 

Communication Services Index Fund
  Amount
($000)
Undistributed Ordinary Income 8,325
Undistributed Long-Term Gains
Net Unrealized Gains (Losses) (441,840)
Capital Loss Carryforwards (556,630)
Qualified Late-Year Losses
Other Temporary Differences
Total (990,145)
The tax character of distributions paid was as follows:
  Year Ended August 31,
  2023
Amount
($000)
2022
Amount
($000)
Ordinary Income* 28,353 37,393
Long-Term Capital Gains
Total 28,353 37,393
* Includes short-term capital gains, if any.
As of August 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 3,991,006
Gross Unrealized Appreciation 370,661
Gross Unrealized Depreciation (812,501)
Net Unrealized Appreciation (Depreciation) (441,840)
F. During the year ended August 31, 2023, the fund purchased $1,602,546,000 of investment securities and sold $1,279,434,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,113,576,000 and $841,376,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2023, such purchases were $7,982,000 and sales were $1,562,000, resulting in net realized loss of $389,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
    
  Year Ended August 31,  
  2023   2022
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 1,133,331 11,775   1,584,130 13,653
Issued in Lieu of Cash Distributions  
Redeemed (843,206) (9,350)   (1,887,155) (16,725)
Net Increase (Decrease)—ETF Shares 290,125 2,425   (303,025) (3,072)
Admiral Shares          
Issued 74,117 1,497   39,208 630
Issued in Lieu of Cash Distributions 687 14   787 12
Redeemed (44,906) (909)   (50,405) (809)
Net Increase (Decrease)—Admiral Shares 29,898 602   (10,410) (167)
15

 

Communication Services Index Fund
H. Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to August 31, 2023, that would require recognition or disclosure in these financial statements.
16

 

Consumer Discretionary Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: August 31, 2013, Through August 31, 2023
Initial Investment of $10,000
      Average Annual Total Returns
Periods Ended August 31, 2023
    One
Year
Five
Years
Ten
Years
Final Value
of a $10,000
Investment
 Consumer Discretionary Index Fund ETF Shares Net Asset Value 12.75% 11.04% 13.36% $35,036
  Consumer Discretionary Index Fund ETF Shares Market Price 12.78 11.03 13.36 35,035
 Consumer Discretionary Spliced Index 12.82 11.11 13.44 35,302
 MSCI US Investable Market 2500 Index 15.01 10.39 12.34 32,022
       
    One
Year
Five
Years
Ten
Years
Final Value
of a $100,000
Investment
Consumer Discretionary Index Fund Admiral Shares 12.75% 11.04% 13.36% $350,509
Consumer Discretionary Spliced Index 12.82 11.11 13.44 353,018
MSCI US Investable Market 2500 Index 15.01 10.39 12.34 320,217
Consumer Discretionary Spliced Index: MSCI US IMI/Consumer Discretionary 25/50 through May 2, 2018; MSCI US IMI/Consumer Discretionary 25/50 Transition Index through December 2, 2018; MSCI US IMI/Consumer Discretionary 25/50 thereafter.
Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023
  One
Year
Five
Years
Ten
Years
Consumer Discretionary Index Fund ETF Shares Market Price 12.78% 68.76% 250.35%
Consumer Discretionary Index Fund ETF Shares Net Asset Value 12.75 68.78 250.36
Consumer Discretionary Spliced Index 12.82 69.35 253.02
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.
See Financial Highlights for dividend and capital gains information.
17

 

Consumer Discretionary Index Fund
Fund Allocation
As of August 31, 2023
Automobile Components 2.4%
Automobiles 17.8
Broadline Retail 24.6
Distributors 1.1
Diversified Consumer Services 1.3
Hotels, Restaurants & Leisure 20.9
Household Durables 4.9
Leisure Products 1.1
Specialty Retail 20.6
Textiles, Apparel & Luxury Goods 5.3
The table reflects the fund’s investments, except 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.
18

 

Consumer Discretionary Index Fund
Financial Statements
Schedule of Investments
As of August 31, 2023
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.8%)
Automobile Components (2.4%)
* Aptiv plc   341,442    34,639
  BorgWarner Inc. (XNYS)   293,878    11,976
  Lear Corp.    74,525    10,738
  Autoliv Inc.   103,493    10,101
  Gentex Corp.   297,212     9,707
* Fox Factory Holding Corp.    56,195     6,227
* Visteon Corp.    38,245     5,326
* Adient plc   129,172     5,060
* Goodyear Tire & Rubber Co.   386,527     4,990
  LCI Industries    35,203     4,410
* Modine Manufacturing Co.    79,765     3,796
* QuantumScape Corp.   467,438     3,338
* Dorman Products Inc.    39,609     3,268
  Dana Inc.   195,449     3,149
* Gentherm Inc.    49,960     3,008
* XPEL Inc.    34,090     2,840
  Patrick Industries Inc.    33,309     2,786
*,1 Luminar Technologies Inc.   411,784     2,372
* Phinia Inc.    80,960     2,251
* American Axle & Manufacturing Holdings Inc.   229,176     1,730
  Standard Motor Products Inc.    41,084     1,521
* Stoneridge Inc.    63,690     1,309
* Holley Inc.   190,120     1,084
*,1 Solid Power Inc.   476,179     1,009
              136,635
Automobiles (17.8%)
* Tesla Inc. 3,376,430   871,389
  Ford Motor Co. 4,703,318    57,051
  General Motors Co. 1,664,186    55,767
* Rivian Automotive Inc. Class A   802,344    18,237
*,1 Lucid Group Inc. 1,179,807     7,409
  Thor Industries Inc.    66,135     6,932
  Harley-Davidson Inc.   181,097     6,112
  Winnebago Industries Inc.    45,822     2,972
*,1 Fisker Inc.   340,565     1,999
*,1 Canoo Inc. 1,885,019     1,117
*,1 Workhorse Group Inc.   996,855       786
*,1 Faraday Future Intelligent Electric Inc.    59,076       445
            1,030,216
Broadline Retail (24.5%)
* Amazon.com Inc. 9,358,971 1,291,632
* MercadoLibre Inc.    47,179    64,747
  eBay Inc.   647,840    29,010
* Etsy Inc.   154,943    11,399
* Ollie's Bargain Outlet Holdings Inc.    81,999     6,320
  Macy's Inc.   366,739     4,485
  Kohl's Corp.   154,433     4,114
  Nordstrom Inc.   158,598     2,572
  Dillard's Inc. Class A     6,388     2,205
    Shares Market
Value

($000)
*,1 Groupon Inc.    94,943     1,174
* Qurate Retail Inc. Series A 1,305,257     1,012
  Big Lots Inc.   132,123       819
*,1 ContextLogic Inc. Class A    94,803       508
            1,419,997
Distributors (1.1%)
  Genuine Parts Co.   170,493    26,210
  Pool Corp.    48,063    17,572
  LKQ Corp.   328,769    17,270
               61,052
Diversified Consumer Services (1.3%)
  Service Corp. International   190,353    12,013
  H&R Block Inc.   196,976     7,875
* Bright Horizons Family Solutions Inc.    75,476     7,126
* Duolingo Inc.    40,067     5,896
* Grand Canyon Education Inc.    42,218     4,950
* Frontdoor Inc.   116,834     3,835
  Graham Holdings Co. Class B     5,385     3,157
* Adtalem Global Education Inc.    66,978     2,937
  Laureate Education Inc.   204,011     2,842
* Stride Inc.    64,522     2,742
* Coursera Inc.   156,391     2,720
  Strategic Education Inc.    34,591     2,681
  ADT Inc.   361,021     2,318
* Chegg Inc.   199,974     2,042
  Perdoceo Education Corp.   120,502     1,997
* OneSpaWorld Holdings Ltd.   165,322     1,891
* WW International Inc.   158,520     1,539
* Rover Group Inc.   225,892     1,529
* Mister Car Wash Inc.   209,604     1,518
* Udemy Inc.   139,327     1,443
*,1 European Wax Center Inc. Class A    79,634     1,382
  Carriage Services Inc.    37,621     1,160
* 2U Inc.   316,637     1,004
* Beachbody Co. Inc.   526,460       215
               76,812
Hotels, Restaurants & Leisure (20.8%)
  McDonald's Corp.   865,712   243,395
* Booking Holdings Inc.    44,679   138,730
  Starbucks Corp. 1,363,237   132,834
* Airbnb Inc. Class A   493,094    64,867
  Marriott International Inc. Class A   312,975    63,694
* Chipotle Mexican Grill Inc.    32,984    63,548
  Hilton Worldwide Holdings Inc.   317,451    47,189
  Yum! Brands Inc.   336,365    43,519
* Royal Caribbean Cruises Ltd.   278,841    27,589
* DoorDash Inc. Class A   307,872    25,901
  Las Vegas Sands Corp.   419,173    22,996
  Darden Restaurants Inc.   147,277    22,903
* Carnival Corp. 1,233,381    19,512
    Shares Market
Value

($000)
* Expedia Group Inc.   179,465    19,452
  Domino's Pizza Inc.    43,532    16,864
  MGM Resorts International   363,375    15,981
* DraftKings Inc. Class A   516,285    15,308
* Caesars Entertainment Inc.   267,449    14,779
  Wynn Resorts Ltd.   128,143    12,991
  Aramark   310,943    11,561
  Vail Resorts Inc.    50,647    11,462
  Churchill Downs Inc.    85,036    10,653
* Norwegian Cruise Line Holdings Ltd.   540,788     8,961
* Light & Wonder Inc.   116,745     8,951
  Texas Roadhouse Inc.    85,662     8,917
  Wyndham Hotels & Resorts Inc.   110,670     8,343
  Hyatt Hotels Corp. Class A    61,246     6,885
* Planet Fitness Inc. Class A   111,690     6,791
  Boyd Gaming Corp.    99,841     6,676
  Wingstop Inc.    39,481     6,342
  Choice Hotels International Inc.    44,309     5,623
  Marriott Vacations Worldwide Corp.    47,411     5,153
* Penn Entertainment Inc.   210,871     4,996
  Wendy's Co.   243,526     4,819
* Hilton Grand Vacations Inc.   107,541     4,702
  Travel & Leisure Co.   106,972     4,300
* Shake Shack Inc. Class A    53,817     3,767
  Papa John's International Inc.    47,399     3,588
  Bloomin' Brands Inc.   127,058     3,565
  Red Rock Resorts Inc. Class A    74,072     3,254
* SeaWorld Entertainment Inc.    58,602     2,854
* Six Flags Entertainment Corp.   113,379     2,603
  Cracker Barrel Old Country Store Inc.    31,488     2,596
  Jack in the Box Inc.    32,259     2,593
  Cheesecake Factory Inc.    78,298     2,494
* Dave & Buster's Entertainment Inc.    61,859     2,429
* Sabre Corp.   485,089     2,425
* Brinker International Inc.    71,880     2,353
* Sweetgreen Inc. Class A   156,858     2,253
* Everi Holdings Inc.   154,303     2,231
*,1 Dutch Bros Inc. Class A    70,019     2,073
* Life Time Group Holdings Inc.   108,630     1,868
  Krispy Kreme Inc.   139,374     1,866
  Monarch Casino & Resort Inc.    26,925     1,815
* Portillo's Inc. Class A    90,993     1,669
  Dine Brands Global Inc.    29,802     1,633
* Playa Hotels & Resorts NV   216,093     1,612
  Golden Entertainment Inc.    44,118     1,606
* Accel Entertainment Inc.   131,588     1,565
19

 

Consumer Discretionary Index Fund
    Shares Market
Value

($000)
* Chuy's Holdings Inc.    38,989     1,486
* BJ's Restaurants Inc.    49,716     1,462
* Target Hospitality Corp.    84,710     1,347
* Bally's Corp.    79,909     1,327
* First Watch Restaurant Group Inc.    68,434     1,308
  RCI Hospitality Holdings Inc.    19,998     1,305
* Denny's Corp.   135,199     1,288
* Bowlero Corp.   116,180     1,278
* Kura Sushi USA Inc. Class A    14,009     1,224
* Lindblad Expeditions Holdings Inc.   108,872       985
* Soho House & Co. Inc.   137,338       934
*,1 Sonder Holdings Inc.   731,810       366
* Vacasa Inc. Class A   502,609       303
* F45 Training Holdings Inc.    76,141         4
            1,206,516
Household Durables (4.9%)
  DR Horton Inc.   375,919    44,742
  Lennar Corp. Class A   304,389    36,250
* NVR Inc.     3,951    25,197
  PulteGroup Inc.   272,505    22,362
  Garmin Ltd.   187,508    19,880
* TopBuild Corp.    39,888    11,571
  Toll Brothers Inc.   138,139    11,318
  Tempur Sealy International Inc.   219,106    10,237
  Whirlpool Corp.    69,658     9,749
* Mohawk Industries Inc.    70,738     7,172
  Meritage Homes Corp.    48,450     6,736