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

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
*	Taylor Morrison Home Corp.	137,262	6,506
	Newell Brands Inc.	529,513	5,602
	KB Home	109,036	5,539
*	Skyline Champion Corp.	74,439	5,305
	Leggett & Platt Inc.	181,327	5,113
	Installed Building Products Inc.	33,107	4,792
*	Tri Pointe Homes Inc.	140,561	4,371
	MDC Holdings Inc.	88,023	4,177
*	Helen of Troy Ltd.	33,873	4,164
*	M/I Homes Inc.	40,035	3,931
*	LGI Homes Inc.	30,716	3,781
*	Cavco Industries Inc.	11,679	3,264
	Century Communities Inc.	43,421	3,224
*	Sonos Inc.	191,944	2,645
*	Green Brick Partners Inc.	46,074	2,279
	La-Z-Boy Inc.	72,805	2,246
*	iRobot Corp.	48,752	1,896
*	Beazer Homes USA Inc.	56,555	1,658
*,1	Dream Finders Homes Inc. Class A	53,087	1,530
	Ethan Allen Interiors Inc.	48,094	1,509
*	GoPro Inc. Class A	327,937	1,192
*	Vizio Holding Corp. Class A	183,644	1,054
*	Lovesac Co.	45,335	1,039
	Cricut Inc. Class A	104,468	988
*	Traeger Inc.	210,499	941
*	Tupperware Brands Corp.	188,830	470
			284,430
Leisure Products (1.1%)
	Hasbro Inc.	166,217	11,968
*	Mattel Inc.	450,155	9,975
	Polaris Inc.	69,844	7,829
	Brunswick Corp.	91,770	7,261
*	YETI Holdings Inc.	116,580	5,823

		Shares	Market Value• ($000)
*	Topgolf Callaway Brands Corp.	215,991	3,767
*	Peloton Interactive Inc. Class A	471,184	3,006
	Acushnet Holdings Corp.	51,253	3,001
*	Vista Outdoor Inc.	90,975	2,661
*	Malibu Boats Inc. Class A	36,523	1,774
	Sturm Ruger & Co. Inc.	33,546	1,730
	Smith & Wesson Brands Inc.	105,816	1,242
*	Funko Inc. Class A	146,957	1,024
	Johnson Outdoors Inc. Class A	18,269	1,021
*,1	AMMO Inc.	431,028	987
*	Solo Brands Inc. Class A	148,470	830
	Clarus Corp.	110,021	791
*	Latham Group Inc.	189,935	703
			65,393
Specialty Retail (20.6%)
	Home Depot Inc.	1,191,022	393,395
	Lowe's Cos. Inc.	707,337	163,027
	TJX Cos. Inc.	1,368,443	126,554
*	O'Reilly Automotive Inc.	73,264	68,846
*	AutoZone Inc.	21,922	55,492
	Ross Stores Inc.	408,738	49,788
	Tractor Supply Co.	132,648	28,984
*	Ulta Beauty Inc.	60,373	25,057
	Best Buy Co. Inc.	240,691	18,401
*	CarMax Inc.	195,294	15,952
*	Burlington Stores Inc.	80,612	13,080
*	Floor & Decor Holdings Inc. Class A	126,150	12,577
*	Five Below Inc.	69,250	11,908
	Williams-Sonoma Inc.	81,603	11,522
	Lithia Motors Inc.	34,762	10,707
	Bath & Body Works Inc.	275,288	10,150
	Dick's Sporting Goods Inc.	78,637	9,149
*	RH	24,097	8,800
	Murphy USA Inc.	26,599	8,449
*,1	Carvana Co.	148,199	7,462
*	Wayfair Inc. Class A	103,089	7,124
*,1	GameStop Corp. Class A	359,684	6,672
*	AutoNation Inc.	42,227	6,633
	Valvoline Inc.	175,382	6,040
*	Asbury Automotive Group Inc.	25,886	5,954
	Academy Sports & Outdoors Inc.	102,141	5,574
	Advance Auto Parts Inc.	79,905	5,499
	Penske Automotive Group Inc.	32,791	5,388
	Group 1 Automotive Inc.	19,285	5,099
	Signet Jewelers Ltd.	59,966	4,497
	American Eagle Outfitters Inc.	262,854	4,458
*	Abercrombie & Fitch Co. Class A	77,930	4,189
*	Boot Barn Holdings Inc.	42,526	3,902
*	Chewy Inc. Class A	161,305	3,868
	Gap Inc.	325,086	3,764
*	Urban Outfitters Inc.	89,619	2,976
*	ODP Corp.	54,781	2,702
	Foot Locker Inc.	126,926	2,490
	Upbound Group Inc.	78,621	2,407
*	National Vision Holdings Inc.	127,313	2,331
*	Victoria's Secret & Co.	114,932	2,204
*	Overstock.com Inc.	80,300	2,097
	Winmark Corp.	5,309	2,020

		Shares	Market Value• ($000)
*	Sally Beauty Holdings Inc.	192,493	1,956
	Buckle Inc.	53,201	1,944
*	Leslie's Inc.	305,872	1,915
	Caleres Inc.	65,537	1,879
	Camping World Holdings Inc. Class A	75,658	1,871
	Monro Inc.	56,558	1,852
*	Warby Parker Inc. Class A	138,987	1,669
	Sonic Automotive Inc. Class A	30,770	1,641
	Guess? Inc.	66,341	1,596
*	America's Car-Mart Inc.	13,415	1,493
*	MarineMax Inc.	44,533	1,482
	Hibbett Inc.	30,563	1,415
*	Sleep Number Corp.	54,787	1,401
*	Chico's FAS Inc.	271,787	1,394
	Designer Brands Inc. Class A	128,393	1,349
*	Revolve Group Inc.	90,796	1,330
*	Arhaus Inc.	128,472	1,272
*	Genesco Inc.	35,957	1,233
	Arko Corp.	159,581	1,202
	Haverty Furniture Cos. Inc.	36,400	1,139
*,1	Stitch Fix Inc. Class A	258,298	1,134
*,1	EVgo Inc.	277,722	1,116
	Shoe Carnival Inc.	48,189	1,115
	Aaron's Co. Inc.	89,229	1,077
*	Zumiez Inc.	55,457	1,053
*	Petco Health & Wellness Co. Inc.	206,662	1,052
*	ThredUP Inc. Class A	262,295	1,044
*	Children's Place Inc.	37,666	999
*,1	OneWater Marine Inc. Class A	37,052	967
	PetMed Express Inc.	82,765	933
*	1-800-Flowers.com Inc. Class A	122,399	922
*	BARK Inc.	506,047	810
*,1	Sportsman's Warehouse Holdings Inc.	145,087	698
*	Lands' End Inc.	61,272	472
*	Conn's Inc.	79,696	333
			1,191,946
Textiles, Apparel & Luxury Goods (5.3%)
	NIKE Inc. Class B	1,463,599	148,863
*	Lululemon Athletica Inc.	138,733	52,893
*	Deckers Outdoor Corp.	32,154	17,012
	Tapestry Inc.	293,807	9,790
*	Skechers USA Inc. Class A	171,738	8,640
*	Capri Holdings Ltd.	160,192	8,409
	VF Corp.	422,857	8,356
*	Crocs Inc.	79,999	7,787
	PVH Corp.	82,265	6,877
	Ralph Lauren Corp.	53,434	6,232
	Columbia Sportswear Co.	52,799	3,872
	Carter's Inc.	53,933	3,860
	Steven Madden Ltd.	104,525	3,606
	Kontoor Brands Inc.	72,988	3,342
	Hanesbrands Inc.	537,120	2,820
	Oxford Industries Inc.	25,090	2,534
*	Under Armour Inc. Class A	314,048	2,399
*	Under Armour Inc. Class C	331,431	2,284
	Levi Strauss & Co. Class A	158,945	2,189
*	G-III Apparel Group Ltd.	81,322	1,614
*	Figs Inc. Class A	252,019	1,557
	Wolverine World Wide Inc.	173,875	1,405
	Movado Group Inc.	43,003	1,176

20

Consumer Discretionary Index Fund

---

---

See accompanying Notes, which are an integral part of the Financial Statements.

21

Consumer Discretionary 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 $5,324,547)	5,781,928
Affiliated Issuers (Cost $34,221)	34,228
Total Investments in Securities	5,816,156
Investment in Vanguard	192
Cash	301
Receivables for Investment Securities Sold	98,197
Receivables for Accrued Income	5,996
Receivables for Capital Shares Issued	82
Unrealized Appreciation—Over-the-Counter Swap Contracts	—
Total Assets	5,920,924
Liabilities
Payables for Investment Securities Purchased	100,934
Collateral for Securities on Loan	24,675
Payables for Capital Shares Redeemed	35
Payables to Vanguard	247
Total Liabilities	125,891
Net Assets	5,795,033
1 Includes $22,269,000 of securities on loan.
At August 31, 2023, net assets consisted of:
Paid-in Capital	5,828,793
Total Distributable Earnings (Loss)	(33,760)
Net Assets	5,795,033
ETF Shares—Net Assets
Applicable to 18,082,597 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	5,186,936
Net Asset Value Per Share—ETF Shares	$286.85
Admiral Shares—Net Assets
Applicable to 4,095,629 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	608,097
Net Asset Value Per Share—Admiral Shares	$148.47

  

See accompanying Notes, which are an integral part of the Financial Statements.

22

Consumer Discretionary Index Fund

23

Consumer Discretionary 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	$256.97	$320.99	$246.86	$178.51	$180.85
Investment Operations
Net Investment Income1	2.493	2.329	1.724	1.998	2.052
Net Realized and Unrealized Gain (Loss) on Investments	29.853	(63.227)	76.697	68.603	(2.391)
Total from Investment Operations	32.346	(60.898)	78.421	70.601	(.339)
Distributions
Dividends from Net Investment Income	(2.466)	(3.122)	(4.291)	(2.251)	(2.001)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(2.466)	(3.122)	(4.291)	(2.251)	(2.001)
Net Asset Value, End of Period	$286.85	$256.97	$320.99	$246.86	$178.51
Total Return	12.75%	-19.11%	32.39%	39.98%	-0.14%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$5,187	$4,638	$6,658	$4,026	$3,049
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	0.99%	0.78%	0.60%	1.06%	1.20%
Portfolio Turnover Rate3	11%	9%	8%	10%	9%

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	$133.01	$166.15	$127.78	$92.40	$93.61
Investment Operations
Net Investment Income1	1.287	1.211	.889	1.033	1.058
Net Realized and Unrealized Gain (Loss) on Investments	15.450	(32.737)	39.704	35.512	(1.232)
Total from Investment Operations	16.737	(31.526)	40.593	36.545	(.174)
Distributions
Dividends from Net Investment Income	(1.277)	(1.614)	(2.223)	(1.165)	(1.036)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(1.277)	(1.614)	(2.223)	(1.165)	(1.036)
Net Asset Value, End of Period	$148.47	$133.01	$166.15	$127.78	$92.40
Total Return2	12.75%	-19.11%	32.39%	40.01%	-0.14%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$608	$523	$753	$437	$321
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	0.98%	0.79%	0.60%	1.06%	1.20%
Portfolio Turnover Rate4	11%	9%	8%	10%	9%

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.

24

Consumer Discretionary Index Fund

Notes to Financial Statements

Vanguard Consumer Discretionary 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

25

Consumer Discretionary 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

26

Consumer Discretionary 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 $192,000, representing less than 0.01% of the fund’s net assets and 0.08% 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	5,781,928	—	—	5,781,928
Temporary Cash Investments	34,228	—	—	34,228
Total	5,816,156	—	—	5,816,156
Derivative Financial Instruments
Assets
Swap Contracts	—	—	—	—

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	215,465
Total Distributable Earnings (Loss)	(215,465)

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; and the deferral of losses from wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows: 

27

Consumer Discretionary Index Fund

	Amount ($000)
Undistributed Ordinary Income	12,725
Undistributed Long-Term Gains	—
Net Unrealized Gains (Losses)	440,142
Capital Loss Carryforwards	(486,627)
Qualified Late-Year Losses	—
Other Temporary Differences	—
Total	(33,760)

The tax character of distributions paid was as follows:

	Year Ended August 31,
	2023 Amount ($000)	2022 Amount ($000)
Ordinary Income*	47,385	71,919
Long-Term Capital Gains	—	—
Total	47,385	71,919

*	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	5,376,016
Gross Unrealized Appreciation	969,783
Gross Unrealized Depreciation	(529,641)
Net Unrealized Appreciation (Depreciation)	440,142

F.

During the year ended August 31, 2023, the fund purchased $1,466,259,000 of investment securities and sold $1,338,909,000 of investment securities, other than temporary cash investments. Purchases and sales include $926,911,000 and $819,248,000, 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 $9,071,000 and sales were $15,886,000, resulting in net realized loss of $5,131,000; 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	947,780	3,535		1,566,104	5,181
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(843,442)	(3,500)		(2,244,475)	(7,875)
Net Increase (Decrease)—ETF Shares	104,338	35		(678,371)	(2,694)
Admiral Shares
Issued	154,826	1,153		200,157	1,252
Issued in Lieu of Cash Distributions	4,229	33		6,292	40
Redeemed	(133,095)	(1,026)		(287,119)	(1,886)
Net Increase (Decrease)—Admiral Shares	25,960	160		(80,670)	(594)

28

Consumer Discretionary 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.

29

Consumer Staples 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 Staples Index Fund ETF Shares Net Asset Value	4.65%	9.24%	9.31%	$24,352
	Consumer Staples Index Fund ETF Shares Market Price	4.65	9.25	9.31	24,363
	MSCI US Investable Market Consumer Staples 25/50 Index	4.69	9.34	9.41	24,579
	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 Staples Index Fund Admiral Shares		4.65%	9.26%	9.32%	$243,807
MSCI US Investable Market Consumer Staples 25/50 Index		4.69	9.34	9.41	245,792
MSCI US Investable Market 2500 Index		15.01	10.39	12.34	320,217

Cumulative Returns of ETF Shares: August 31, 2013, Through August 31, 2023

	One Year	Five Years	Ten Years
Consumer Staples Index Fund ETF Shares Market Price	4.65%	55.61%	143.63%
Consumer Staples Index Fund ETF Shares Net Asset Value	4.65	55.57	143.52
MSCI US Investable Market Consumer Staples 25/50 Index	4.69	56.27	145.79

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.

30

Consumer Staples Index Fund

Fund Allocation

As of August 31, 2023

Beverages	23.8%
Consumer Staples Distribution & Retail	26.4
Food Products	18.5
Household Products	19.2
Personal Care Products	4.2
Tobacco	7.9

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.

31

Consumer Staples 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 (99.7%)
Beverages (23.7%)
	Coca-Cola Co.	11,252,097	673,213
	PepsiCo Inc.	3,766,889	670,205
*	Monster Beverage Corp.	2,515,073	144,390
	Constellation Brands Inc. Class A	536,367	139,756
	Keurig Dr Pepper Inc.	2,697,689	90,777
	Brown-Forman Corp. Class B	1,049,319	69,391
	Molson Coors Beverage Co. Class B	681,626	43,276
*	Celsius Holdings Inc.	176,529	34,607
*	Boston Beer Co. Inc. Class A	48,776	17,824
	Coca-Cola Consolidated Inc.	24,725	17,280
	MGP Ingredients Inc.	103,783	12,444
*	National Beverage Corp.	190,453	9,772
*	Duckhorn Portfolio Inc.	489,300	6,087
*	Vita Coco Co. Inc.	180,972	5,120
*,1	Vintage Wine Estates Inc.	407,856	339
			1,934,481
Consumer Staples Distribution & Retail (26.3%)
	Costco Wholesale Corp.	1,210,992	665,174
	Walmart Inc.	4,033,034	655,812
	Target Corp.	1,211,916	153,368
	Sysco Corp.	1,643,898	114,497
	Kroger Co.	2,218,411	102,912
	Dollar General Corp.	516,970	71,600
	Walgreens Boots Alliance Inc.	2,450,337	62,018
*	Dollar Tree Inc.	483,323	59,139
*	Performance Food Group Co.	587,688	36,513
	Casey's General Stores Inc.	141,432	34,567
*	BJ's Wholesale Club Holdings Inc.	499,455	33,658
*	US Foods Holding Corp.	790,986	31,980
	Albertsons Cos. Inc. Class A	1,186,910	26,587
*	Sprouts Farmers Market Inc.	486,546	19,846
*	Grocery Outlet Holding Corp.	487,273	15,032
	PriceSmart Inc.	165,879	13,184
	Andersons Inc.	252,719	12,980
	Weis Markets Inc.	144,466	9,372
	Ingles Markets Inc. Class A	119,007	9,298
*	Chefs' Warehouse Inc.	294,241	8,398
*	United Natural Foods Inc.	374,674	7,542
	SpartanNash Co.	343,284	7,470
			2,150,947

		Shares	Market Value• ($000)
Food Products (18.4%)
	Mondelez International Inc. Class A	4,268,075	304,143
	Archer-Daniels-Midland Co.	1,763,122	139,816
	General Mills Inc.	1,874,944	126,859
	Hershey Co.	475,441	102,153
	Kraft Heinz Co.	2,181,225	72,177
	McCormick & Co. Inc.	840,073	68,953
	Bunge Ltd.	528,946	60,469
	Kellogg Co.	924,312	56,402
	J M Smucker Co.	368,247	53,377
	Tyson Foods Inc. Class A	1,001,038	53,325
	Conagra Brands Inc.	1,637,369	48,925
	Lamb Weston Holdings Inc.	501,607	48,862
	Hormel Foods Corp.	1,080,390	41,692
*	Darling Ingredients Inc.	586,556	36,226
	Campbell Soup Co.	715,260	29,826
	Ingredion Inc.	257,620	26,512
*	Post Holdings Inc.	234,544	21,041
	Flowers Foods Inc.	855,813	20,163
*	Hostess Brands Inc.	649,713	18,504
*	Freshpet Inc.	242,668	18,324
*	Simply Good Foods Co.	453,930	16,378
	Lancaster Colony Corp.	88,997	14,701
	J & J Snack Foods Corp.	86,480	14,021
*	TreeHouse Foods Inc.	276,844	12,879
	Cal-Maine Foods Inc.	254,466	12,161
*	Pilgrim's Pride Corp.	373,081	9,387
	Utz Brands Inc.	582,234	8,990
	Fresh Del Monte Produce Inc.	349,648	8,933
*	Sovos Brands Inc.	393,797	8,821
1	B&G Foods Inc.	655,396	8,382
	John B Sanfilippo & Son Inc.	82,595	8,288
*,1	Beyond Meat Inc.	593,481	7,003
	Calavo Growers Inc.	205,352	6,768
	Tootsie Roll Industries Inc.	198,495	6,382
*	Hain Celestial Group Inc.	559,444	5,924
*	Mission Produce Inc.	513,457	4,888
*	Vital Farms Inc.	264,266	3,113
*,1	Benson Hill Inc.	1,482,361	947
			1,505,715
Household Products (19.2%)
	Procter & Gamble Co.	6,673,722	1,030,022
	Colgate-Palmolive Co.	2,505,939	184,111
	Kimberly-Clark Corp.	1,079,316	139,048
	Church & Dwight Co. Inc.	814,784	78,847
	Clorox Co.	356,607	55,791
	Spectrum Brands Holdings Inc.	211,066	17,555
	WD-40 Co.	73,745	15,846
	Energizer Holdings Inc.	385,888	13,255
*	Central Garden & Pet Co. Class A	304,657	12,430

		Shares	Market Value• ($000)
	Reynolds Consumer Products Inc.	412,860	11,267
*	Central Garden & Pet Co.	112,703	4,975
			1,563,147
Personal Care Products (4.2%)
	Estee Lauder Cos. Inc. Class A	742,697	119,225
	Kenvue Inc.	3,596,127	82,891
*	elf Beauty Inc.	224,353	31,120
*	BellRing Brands Inc.	584,980	24,277
*	Coty Inc. Class A	1,726,603	19,959
	Inter Parfums Inc.	105,235	14,704
	Edgewell Personal Care Co.	291,482	11,240
*	Herbalife Ltd.	652,686	9,803
*	USANA Health Sciences Inc.	131,962	8,484
	Nu Skin Enterprises Inc. Class A	306,787	7,329
	Medifast Inc.	85,988	7,252
*	Beauty Health Co.	845,551	5,209
*,1	Veru Inc.	761,130	792
*	Olaplex Holdings Inc.	29,389	80
			342,365
Tobacco (7.9%)
	Philip Morris International Inc.	3,872,359	371,979
	Altria Group Inc.	5,623,773	248,683
	Vector Group Ltd.	964,744	10,332
	Universal Corp.	192,051	9,146
	Turning Point Brands Inc.	195,141	4,804
			644,944
Total Common Stocks (Cost $7,468,573)			8,141,599
Temporary Cash Investments (0.3%)
Money Market Fund (0.3%)
2,3	Vanguard Market Liquidity Fund, 5.384% (Cost $24,139)	241,455	24,143
Total Investments (100.0%) (Cost $7,492,712)			8,165,742
Other Assets and Liabilities—Net (0.0%)			(1,628)
Net Assets (100.0%)			8,164,114
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 $8,547,000.
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 $10,020,000 was received for securities on loan, of which $10,017,000 is held in Vanguard Market Liquidity Fund and $3,000 is held in cash.

32

Consumer Staples Index Fund

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)
Clorox Co.	8/30/24	BANA	9,387	(5.320)	—	—
Kraft Heinz Co.	8/30/24	BANA	12,243	(5.320)	—	—
					—	—

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.

  

See accompanying Notes, which are an integral part of the Financial Statements.

33

Consumer Staples 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 $7,468,573)	8,141,599
Affiliated Issuers (Cost $24,139)	24,143
Total Investments in Securities	8,165,742
Investment in Vanguard	281
Cash	3
Cash Collateral Pledged—Over-the-Counter Swap Contracts	1,080
Receivables for Investment Securities Sold	10,433
Receivables for Accrued Income	18,280
Receivables for Capital Shares Issued	545
Unrealized Appreciation—Over-the-Counter Swap Contracts	—
Total Assets	8,196,364
Liabilities
Due to Custodian	822
Payables for Investment Securities Purchased	20,572
Collateral for Securities on Loan	10,020
Payables for Capital Shares Redeemed	478
Payables to Vanguard	358
Total Liabilities	32,250
Net Assets	8,164,114
1 Includes $8,547,000 of securities on loan.
At August 31, 2023, net assets consisted of:
Paid-in Capital	7,790,741
Total Distributable Earnings (Loss)	373,373
Net Assets	8,164,114
ETF Shares—Net Assets
Applicable to 36,067,647 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	6,940,279
Net Asset Value Per Share—ETF Shares	$192.42
Admiral Shares—Net Assets
Applicable to 12,898,925 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,223,835
Net Asset Value Per Share—Admiral Shares	$94.88

  

See accompanying Notes, which are an integral part of the Financial Statements.

34

Consumer Staples Index Fund

35

Consumer Staples 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	$188.63	$187.61	$167.31	$154.72	$140.13
Investment Operations
Net Investment Income1	4.909	4.356	4.385	3.992	3.896
Net Realized and Unrealized Gain (Loss) on Investments	3.705	.907	20.341	12.658	14.346
Total from Investment Operations	8.614	5.263	24.726	16.650	18.242
Distributions
Dividends from Net Investment Income	(4.824)	(4.243)	(4.427)	(4.060)	(3.652)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(4.824)	(4.243)	(4.427)	(4.060)	(3.652)
Net Asset Value, End of Period	$192.42	$188.63	$187.61	$167.31	$154.72
Total Return	4.65%	2.83%	15.01%	11.01%	13.24%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$6,940	$6,747	$5,908	$5,712	$5,296
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	2.57%	2.27%	2.50%	2.58%	2.71%
Portfolio Turnover Rate3	9%	5%	8%	3%	6%

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	$93.01	$92.51	$82.50	$76.29	$69.09
Investment Operations
Net Investment Income1	2.416	2.147	2.160	1.973	1.923
Net Realized and Unrealized Gain (Loss) on Investments	1.831	.448	10.032	6.239	7.076
Total from Investment Operations	4.247	2.595	12.192	8.212	8.999
Distributions
Dividends from Net Investment Income	(2.377)	(2.095)	(2.183)	(2.002)	(1.799)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(2.377)	(2.095)	(2.183)	(2.002)	(1.799)
Net Asset Value, End of Period	$94.88	$93.01	$92.51	$82.50	$76.29
Total Return2	4.65%	2.85%	15.04%	11.03%	13.24%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,224	$1,225	$846	$791	$710
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	2.56%	2.27%	2.50%	2.59%	2.71%
Portfolio Turnover Rate4	9%	5%	8%	3%	6%

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.

36

Consumer Staples Index Fund

Notes to Financial Statements

Vanguard Consumer Staples 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 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.

37

Consumer Staples Index Fund

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 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.

38

Consumer Staples Index Fund

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 $281,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	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 $3,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—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	8,141,599	—	—	8,141,599
Temporary Cash Investments	24,143	—	—	24,143
Total	8,165,742	—	—	8,165,742
Derivative Financial Instruments
Assets
Swap Contracts	—	—	—	—

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	343,452
Total Distributable Earnings (Loss)	(343,452)

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; and the deferral of losses from wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows: 

39

Consumer Staples Index Fund

	Amount ($000)
Undistributed Ordinary Income	32,466
Undistributed Long-Term Gains	—
Net Unrealized Gains (Losses)	666,145
Capital Loss Carryforwards	(325,238)
Qualified Late-Year Losses	—
Other Temporary Differences	—
Total	373,373

The tax character of distributions paid was as follows:

	Year Ended August 31,
	2023 Amount ($000)	2022 Amount ($000)
Ordinary Income*	200,854	164,254
Long-Term Capital Gains	—	—
Total	200,854	164,254