Contents

AboutYour Fund's Expenses	1
S&P Small-Cap 600 Index Fund	3
S&P Small-Cap 600 Value Index Fund	22
S&P Small-Cap 600 Growth Index Fund	41

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.

1

Six Months Ended February 28, 2023
	Beginning Account Value 8/31/2022	Ending Account Value 2/28/2023	Expenses Paid During Period
Based on Actual Fund Return
S&P Small-Cap 600 Index Fund
ETF Shares	$1,000.00	$1,063.60	$0.51
Institutional Shares	1,000.00	1,063.80	0.41
S&P Small-Cap 600 Value Index Fund
ETF Shares	$1,000.00	$1,095.30	$0.78
Institutional Shares	1,000.00	1,095.90	0.42
S&P Small-Cap 600 Growth Index Fund
ETF Shares	$1,000.00	$1,031.70	$0.76
Based on Hypothetical 5% Yearly Return
S&P Small-Cap 600 Index Fund
ETF Shares	$1,000.00	$1,024.30	$0.50
Institutional Shares	1,000.00	1,024.40	0.40
S&P Small-Cap 600 Value Index Fund
ETF Shares	$1,000.00	$1,024.05	$0.75
Institutional Shares	1,000.00	1,024.40	0.40
S&P Small-Cap 600 Growth Index Fund
ETF Shares	$1,000.00	$1,024.05	$0.75

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 S&P Small-Cap 600 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Small-Cap 600 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Small-Cap 600 Growth Index Fund, 0.15% for ETF 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 (181/365).

2

S&P Small-Cap 600 Index Fund

Fund Allocation

As of February 28, 2023

Communication Services	2.1%
Consumer Discretionary	13.6
Consumer Staples	5.2
Energy	4.7
Financials	17.6
Health Care	10.6
Industrials	17.5
Information Technology	13.6
Materials	6.0
Real Estate	6.9
Utilities	2.2

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

3

S&P Small-Cap 600 Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 2023

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

					Shares	Market Value• ($000)
Common Stocks (99.9%)
Communication Services (2.1%)
	Cogent Communications Holdings Inc.				199,394	12,909
*	Yelp Inc. Class A				325,258	9,764
	Shutterstock Inc.				112,038	8,428
*	Cinemark Holdings Inc.				499,055	6,792
	Scholastic Corp.				138,412	6,313
	Telephone & Data Systems Inc.				464,638	5,896
*	Cars.com Inc.				288,867	5,546
*	Gogo Inc.				302,569	4,980
*	TechTarget Inc.				125,616	4,740
	Shenandoah Telecommunications Co.				233,770	4,563
*	QuinStreet Inc.				234,769	3,984
*	Thryv Holdings Inc.				143,233	3,415
*	EW Scripps Co. Class A				269,909	3,406
*	AMC Networks Inc. Class A				131,276	2,935
	ATN International Inc.				50,039	2,104
*	Gannett Co. Inc.				676,976	2,051
1	Marcus Corp.				113,917	1,833
*	Consolidated Communications Holdings Inc.				345,371	1,047
						90,706
Consumer Discretionary (13.6%)
*	Asbury Automotive Group Inc.				103,227	23,443
	Academy Sports & Outdoors Inc.				371,975	22,002
*	Meritage Homes Corp.				170,534	18,627
	Signet Jewelers Ltd.				215,731	15,451
	Group 1 Automotive Inc.				68,015	15,036
*	National Vision Holdings Inc.				368,186	13,755
	LCI Industries				118,624	13,382
	Installed Building Products Inc.				109,430	12,626
	Steven Madden Ltd.				341,649	12,402
*	Dorman Products Inc.				131,929	12,273

					Shares	Market Value• ($000)
	Kontoor Brands Inc.				230,408	12,016
	American Eagle Outfitters Inc.				812,828	11,680
*	Sonos Inc.				593,876	11,539
*	Tri Pointe Homes Inc.				471,009	11,229
*	Cavco Industries Inc.				38,656	11,017
*	Boot Barn Holdings Inc.				139,110	10,774
*	Frontdoor Inc.				380,329	10,744
	Bloomin' Brands Inc.				409,792	10,696
*	LGI Homes Inc.				95,637	9,976
	MDC Holdings Inc.				266,102	9,846
*	Gentherm Inc.				154,912	9,838
*	Shake Shack Inc. Class A				174,186	9,718
*	Six Flags Entertainment Corp.				345,431	9,119
	Winnebago Industries Inc.				142,346	9,048
	Strategic Education Inc.				103,891	8,857
*	Leslie's Inc.				692,116	8,728
*	ODP Corp.				188,202	8,522
	Cheesecake Factory Inc.				222,714	8,338
*	Adtalem Global Education Inc.				211,477	8,273
	Oxford Industries Inc.				69,689	8,196
*	Stride Inc.				190,383	8,086
*	Sally Beauty Holdings Inc.				498,440	8,020
	Century Communities Inc.				131,690	7,876
*	Dave & Buster's Entertainment Inc.				195,444	7,822
*	Brinker International Inc.				205,064	7,792
	Jack in the Box Inc.				98,062	7,688
*	Vista Outdoor Inc.				263,448	7,524
*	Urban Outfitters Inc.				279,034	7,520
	Monro Inc.				146,516	7,390
*	M/I Homes Inc.				127,756	7,389
	Patrick Industries Inc.				100,270	7,305
*	Abercrombie & Fitch Co. Class A				230,315	6,774
	La-Z-Boy Inc.				200,416	6,490
	Upbound Group Inc.				233,357	6,266
	Wolverine World Wide Inc.				366,770	6,143
*	XPEL Inc.				91,316	6,101
	Buckle Inc.				137,702	5,617

4

S&P Small-Cap 600 Index Fund

5

S&P Small-Cap 600 Index Fund

6

S&P Small-Cap 600 Index Fund

7

S&P Small-Cap 600 Index Fund

8

S&P Small-Cap 600 Index Fund

9

S&P Small-Cap 600 Index Fund

10

S&P Small-Cap 600 Index Fund

					Shares	Market Value• ($000)
	Chesapeake Utilities Corp.				82,809	10,607
	SJW Group				124,942	9,551
	Northwest Natural Holding Co.				163,452	7,901
	Middlesex Water Co.				82,295	6,296
	Unitil Corp.				74,686	4,057
						96,288
Total Common Stocks (Cost $4,225,928)						4,362,705
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
3,4	Vanguard Market Liquidity Fund, 4.640% (Cost $6,377)				63,790	6,379
Total Investments (100.0%) (Cost $4,232,305)						4,369,084
Other Assets and Liabilities—Net (0.0%)						(1,907)
Net Assets (100%)						4,367,177

Cost is in $000.

•	See Note A in Notes to Financial Statements.

*	Non-income-producing security.
1	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,947,000.
2	Security value determined using significant unobservable inputs.
3	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4	Collateral of $6,366,000 was received for securities on loan.

	CVR—Contingent Value Rights.
	REIT—Real Estate Investment Trust.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index	March 2023	39	3,703	(70)

  

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

11

S&P Small-Cap 600 Index Fund

Statement of Assets and Liabilities

As of February 28, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $4,225,928)	4,362,705
Affiliated Issuers (Cost $6,377)	6,379
Total Investments in Securities	4,369,084
Investment in Vanguard	155
Cash	2,027
Cash Collateral Pledged—Futures Contracts	230
Receivables for Investment Securities Sold	11,945
Receivables for Accrued Income	3,195
Receivables for Capital Shares Issued	1,267
Variation Margin Receivable—Futures Contracts	—
Total Assets	4,387,903
Liabilities
Payables for Investment Securities Purchased	14,114
Collateral for Securities on Loan	6,366
Payables for Capital Shares Redeemed	103
Payables to Vanguard	143
Total Liabilities	20,726
Net Assets	4,367,177
1 Includes $5,947,000 of securities on loan.
At February 28, 2023, net assets consisted of:
Paid-in Capital	4,404,500
Total Distributable Earnings (Loss)	(37,323)
Net Assets	4,367,177
ETF Shares—Net Assets2
Applicable to 25,250,074 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,367,265
Net Asset Value Per Share—ETF Shares	$93.75
Institutional Shares—Net Assets
Applicable to 5,302,765 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,999,912
Net Asset Value Per Share—Institutional Shares	$377.15

2	Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.

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

12

S&P Small-Cap 600 Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends1	30,794
Interest2	33
Securities Lending—Net	223
Total Income	31,050
Expenses
The Vanguard Group—Note B
Investment Advisory Services	48
Management and Administrative—ETF Shares	887
Management and Administrative—Institutional Shares	652
Marketing and Distribution—ETF Shares	63
Marketing and Distribution—Institutional Shares	36
Custodian Fees	87
Shareholders’ Reports—ETF Shares	41
Shareholders’ Reports—Institutional Shares	19
Trustees’ Fees and Expenses	1
Other Expenses	6
Total Expenses	1,840
Net Investment Income	29,210
Realized Net Gain (Loss)
Investment Securities Sold2,3	10,252
Futures Contracts	(142)
Realized Net Gain (Loss)	10,110
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	218,789
Futures Contracts	171
Change in Unrealized Appreciation (Depreciation)	218,960
Net Increase (Decrease) in Net Assets Resulting from Operations	258,280

1	Dividends are net of foreign withholding taxes of $32,000.
2	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, $5,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3	Includes $94,986,000 of net gain (loss) resulting from in-kind redemptions.

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

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S&P Small-Cap 600 Index Fund

Statement of Changes in Net Assets

	Six Months Ended February 28, 2023		Year Ended August 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	29,210		51,655
Realized Net Gain (Loss)	10,110		269,098
Change in Unrealized Appreciation (Depreciation)	218,960		(812,390)
Net Increase (Decrease) in Net Assets Resulting from Operations	258,280		(491,637)
Distributions
ETF Shares	(32,040)		(22,040)
Institutional Shares	(27,853)		(23,304)
Total Distributions	(59,893)		(45,344)
Capital Share Transactions
ETF Shares	231,898		476,073
Institutional Shares	(86,403)		426,601
Net Increase (Decrease) from Capital Share Transactions	145,495		902,674
Total Increase (Decrease)	343,882		365,693
Net Assets
Beginning of Period	4,023,295		3,657,602
End of Period	4,367,177		4,023,295

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

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S&P Small-Cap 600 Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period1	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$89.49	$103.20	$67.80	$69.05	$82.34	$62.92
Investment Operations
Net Investment Income2	.631	1.273	1.143	.973	.971	.892
Net Realized and Unrealized Gain (Loss) on Investments	4.940	(13.765)	35.170	(1.180)	(13.429)	19.299
Total from Investment Operations	5.571	(12.492)	36.313	(.207)	(12.458)	20.191
Distributions
Dividends from Net Investment Income	(1.311)	(1.218)	(.913)	(1.043)	(.832)	(.771)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.311)	(1.218)	(.913)	(1.043)	(.832)	(.771)
Net Asset Value, End of Period	$93.75	$89.49	$103.20	$67.80	$69.05	$82.34
Total Return	6.36%	-12.26%	53.88%	-0.43%	-15.09%	32.32%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,367	$2,027	$1,806	$987	$991	$1,107
Ratio of Total Expenses to Average Net Assets	0.10%	0.10%3	0.10%	0.10%	0.10%	0.15%
Ratio of Net Investment Income to Average Net Assets	1.49%	1.31%	1.25%	1.46%	1.36%	1.23%
Portfolio Turnover Rate4	8%	12%	18%	15%	9%	13%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2	Calculated based on average shares outstanding.
3	The ratio of expenses to average net assets for the period net of reduction from 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.

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S&P Small-Cap 600 Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$360.00	$415.16	$272.71	$277.68	$331.26	$252.98
Investment Operations
Net Investment Income1	2.606	5.226	4.566	3.951	3.941	3.769
Net Realized and Unrealized Gain (Loss) on Investments	19.856	(55.426)	141.589	(4.694)	(54.011)	77.632
Total from Investment Operations	22.462	(50.200)	146.155	(.743)	(50.070)	81.401
Distributions
Dividends from Net Investment Income	(5.312)	(4.960)	(3.705)	(4.227)	(3.510)	(3.121)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(5.312)	(4.960)	(3.705)	(4.227)	(3.510)	(3.121)
Net Asset Value, End of Period	$377.15	$360.00	$415.16	$272.71	$277.68	$331.26
Total Return	6.38%	-12.21%	53.93%	-0.41%	-15.09%	32.39%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,000	$1,996	$1,852	$1,377	$1,186	$1,019
Ratio of Total Expenses to Average Net Assets	0.08%	0.08%2	0.08%	0.08%	0.08%	0.08%
Ratio of Net Investment Income to Average Net Assets	1.53%	1.34%	1.26%	1.47%	1.38%	1.30%
Portfolio Turnover Rate3	8%	12%	18%	15%	9%	13%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from was 0.08%.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

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

16

S&P Small-Cap 600 Index Fund

Notes to Financial Statements

Vanguard S&P Small-Cap 600 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 Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.

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.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in

17

S&P Small-Cap 600 Index Fund

the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. 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.

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 $4.4 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

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S&P Small-Cap 600 Index Fund

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 six months ended February 28, 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.

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 February 28, 2023, the fund had contributed to Vanguard capital in the amount of $155,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

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S&P Small-Cap 600 Index Fund

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.

The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	4,362,705	—	—	4,362,705
Temporary Cash Investments	6,379	—	—	6,379
Total	4,369,084	—	—	4,369,084
Derivative Financial Instruments
Liabilities
Futures Contracts1	70	—	—	70

1	Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

D.  As of February 28, 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	4,245,442
Gross Unrealized Appreciation	707,072
Gross Unrealized Depreciation	(583,500)
Net Unrealized Appreciation (Depreciation)	123,572

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $156,818,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

E.  During the six months ended February 28, 2023, the fund purchased $722,534,000 of investment securities and sold $596,029,000 of investment securities, other than temporary cash investments. Purchases and sales include $369,549,000 and $277,435,000, 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 six months ended February 28, 2023, such purchases were $33,680,000 and sales were $34,047,000, resulting in net realized loss of $5,323,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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S&P Small-Cap 600 Index Fund

F.  Capital share transactions for each class of shares were:

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares1
Issued	524,269	5,850		1,313,147	13,800
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(292,371)	(3,250)		(837,074)	(8,650)
Net Increase (Decrease)—ETF Shares	231,898	2,600		476,073	5,150
Institutional Shares
Issued	96,210	266		614,744	1,573
Issued in Lieu of Cash Distributions	24,779	72		20,984	53
Redeemed	(207,392)	(580)		(209,127)	(541)
Net Increase (Decrease)—Institutional Shares	(86,403)	(242)		426,601	1,085

1	Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.

G.  Management has determined that no other events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.

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S&P Small-Cap 600 Value Index Fund

Fund Allocation

As of February 28, 2023

Communication Services	2.6%
Consumer Discretionary	18.6
Consumer Staples	4.5
Energy	3.8
Financials	19.1
Health Care	8.3
Industrials	16.5
Information Technology	8.6
Materials	5.5
Real Estate	10.7
Utilities	1.8

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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S&P Small-Cap 600 Value Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 2023

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

					Shares	Market Value• ($000)
Common Stocks (99.9%)
Communication Services (2.6%)
*	Cinemark Holdings Inc.				336,313	4,577
	Scholastic Corp.				92,986	4,241
	Telephone & Data Systems Inc.				313,382	3,977
	Cogent Communications Holdings Inc.				55,004	3,561
	Shenandoah Telecommunications Co.				157,015	3,065
	Shutterstock Inc.				39,133	2,944
*	Yelp Inc. Class A				91,544	2,748
*	Thryv Holdings Inc.				96,395	2,298
*	EW Scripps Co. Class A				181,620	2,292
*	AMC Networks Inc. Class A				88,115	1,970
*	Gannett Co. Inc.				458,588	1,389
*	QuinStreet Inc.				75,679	1,284
1	Marcus Corp.				76,880	1,237
*	Gogo Inc.				70,945	1,168
*	Consolidated Communications Holdings Inc.				232,919	706
						37,457
Consumer Discretionary (18.6%)
*	Meritage Homes Corp.				114,608	12,519
	Signet Jewelers Ltd.				144,933	10,380
	Group 1 Automotive Inc.				45,691	10,101
*	Asbury Automotive Group Inc.				38,146	8,663
	Steven Madden Ltd.				229,464	8,330
	Kontoor Brands Inc.				154,698	8,067
	American Eagle Outfitters Inc.				546,026	7,846
	Academy Sports & Outdoors Inc.				132,432	7,833
*	Sonos Inc.				398,848	7,750
*	Tri Pointe Homes Inc.				316,284	7,540
*	LGI Homes Inc.				64,248	6,702
	MDC Holdings Inc.				178,726	6,613
*	ODP Corp.				126,327	5,720
	Cheesecake Factory Inc.				149,853	5,610

					Shares	Market Value• ($000)
*	Sally Beauty Holdings Inc.				335,418	5,397
	Century Communities Inc.				88,631	5,301
*	Brinker International Inc.				137,983	5,243
*	Urban Outfitters Inc.				187,803	5,061
*	M/I Homes Inc.				85,973	4,973
	Monro Inc.				98,603	4,973
	Patrick Industries Inc.				67,519	4,919
*	Abercrombie & Fitch Co. Class A				155,143	4,563
	LCI Industries				39,889	4,500
	La-Z-Boy Inc.				134,661	4,360
	Upbound Group Inc.				157,204	4,221
	Wolverine World Wide Inc.				247,223	4,141
*	National Vision Holdings Inc.				104,030	3,887
*	iRobot Corp.				85,223	3,502
*	Six Flags Entertainment Corp.				132,445	3,497
*	Frontdoor Inc.				122,746	3,468
	Winnebago Industries Inc.				51,527	3,275
*	American Axle & Manufacturing Holdings Inc.				359,572	3,164
*	Shake Shack Inc. Class A				55,043	3,071
	Bloomin' Brands Inc.				115,805	3,022
	Caleres Inc.				114,542	2,991
	Sonic Automotive Inc. Class A				52,427	2,983
	Installed Building Products Inc.				25,010	2,886
*	Boot Barn Holdings Inc.				36,411	2,820
*	Vista Outdoor Inc.				97,575	2,787
*	Sleep Number Corp.				68,756	2,741
*	Gentherm Inc.				40,596	2,578
	Strategic Education Inc.				29,996	2,557
*	BJ's Restaurants Inc.				73,120	2,340
*	Dave & Buster's Entertainment Inc.				57,733	2,310
	Standard Motor Products Inc.				58,634	2,285
*	MarineMax Inc.				67,529	2,268
*	Chico's FAS Inc.				390,982	2,248
*	G-III Apparel Group Ltd.				133,612	2,220

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S&P Small-Cap 600 Value Index Fund

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S&P Small-Cap 600 Value Index Fund

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S&P Small-Cap 600 Value Index Fund