Contents

About Your Fund's Expenses	1
Financial Statements	4
Trustees Approve Advisory Arrangement	26
Liquidity Risk Management	28

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 June 30, 2021
	Beginning Account Value 12/31/2020	Ending Account Value 6/30/2021	Expenses Paid During Period
Based on Actual Fund Return
Total Stock Market Index Fund
Investor Shares	$1,000.00	$1,151.90	$0.75
ETF Shares	1,000.00	1,152.50	0.16
AdmiralTM Shares	1,000.00	1,152.40	0.21
Institutional Shares	1,000.00	1,152.60	0.16
Institutional Plus Shares	1,000.00	1,152.60	0.11
Institutional Select Shares	1,000.00	1,152.60	0.05
Based on Hypothetical 5% Yearly Return
Total Stock Market Index Fund
Investor Shares	$1,000.00	$1,024.10	$0.70
ETF Shares	1,000.00	1,024.65	0.15
Admiral Shares	1,000.00	1,024.60	0.20
Institutional Shares	1,000.00	1,024.65	0.15
Institutional Plus Shares	1,000.00	1,024.70	0.10
Institutional Select Shares	1,000.00	1,024.75	0.05

The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.03% for ETF Shares, 0.04% for Admiral Shares, 0.03% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).

2

Total Stock Market Index Fund

Fund Allocation

As of June 30, 2021

Basic Materials	2.0%
Consumer Discretionary	16.0
Consumer Staples	4.7
Energy	2.9
Financials	11.2
Health Care	13.1
Industrials	13.9
Other	0.0
Real Estate	3.5
Technology	27.1
Telecommunications	3.0
Utilities	2.6

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

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

The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.

3

Total Stock Market Index Fund

Financial Statements (unaudited)

Schedule of Investments—Investments Summary

As of June 30, 2021

This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Shares	Market Value• ($000)	Percentage of Net Assets
Common Stocks
Basic Materials
	Perma-Pipe International Holdings Inc.*,1			416,232	2,772	0.00%
†	Basic Materials—Other*,2,3				25,309,843	2.01%
					25,312,615	2.01%
Consumer Discretionary
	Amazon.com Inc.*			12,108,357	41,654,685	3.31%
	Tesla Inc.*			21,768,378	14,795,967	1.18%
	Home Depot Inc.			30,031,686	9,576,804	0.76%
	Walt Disney Co.*			51,321,242	9,020,735	0.72%
	Netflix Inc.*			12,524,850	6,615,751	0.53%
	Walmart Inc.			39,729,664	5,602,677	0.45%
	NIKE Inc. Class B			36,012,739	5,563,608	0.44%
	Costco Wholesale Corp.			12,499,201	4,945,559	0.39%
	McDonald's Corp.			21,075,098	4,868,137	0.39%
†	Consumer Discretionary—Other*,2,3				97,301,404	7.72%
					199,945,327	15.89%
Consumer Staples
	Procter & Gamble Co.			69,141,796	9,329,303	0.74%
	Coca-Cola Co.			109,606,018	5,930,782	0.47%
	PepsiCo Inc.			39,024,187	5,782,214	0.46%
	Philip Morris International Inc.			44,025,291	4,363,347	0.35%
†	Consumer Staples —Other*,2				33,752,689	2.68%
					59,158,335	4.70%
Energy
	Exxon Mobil Corp.			119,579,282	7,543,061	0.60%
	Chevron Corp.			54,559,393	5,714,551	0.46%
†	Energy—Other*,2,3				23,455,650	1.86%
					36,713,262	2.92%

4

Total Stock Market Index Fund

				Shares	Market Value• ($000)	Percentage of Net Assets
Financials
	Berkshire Hathaway Inc. Class B*			48,902,808	13,591,068	1.08%
	JPMorgan Chase & Co.			85,499,490	13,298,591	1.06%
	Bank of America Corp.			217,832,685	8,981,242	0.71%
	Wells Fargo & Co.			116,761,886	5,288,146	0.42%
	Berkshire Hathaway Inc. Class A*			1,051	439,950	0.04%
	BM Technologies Inc. (Acquired 12/17/20, Cost $1,765)*,4			123,018	1,377	0.00%
†	Financials—Other*,2,3				98,369,929	7.82%
					139,970,303	11.13%
Health Care
	Johnson & Johnson			74,381,224	12,253,563	0.98%
	UnitedHealth Group Inc.			26,655,275	10,673,838	0.85%
	Pfizer Inc.			158,110,199	6,191,595	0.49%
	Abbott Laboratories			50,188,451	5,818,347	0.46%
	AbbVie Inc.			49,888,652	5,619,458	0.45%
	Thermo Fisher Scientific Inc.			11,101,575	5,600,412	0.45%
	Eli Lilly & Co.			24,380,353	5,595,779	0.45%
	Merck & Co. Inc.			71,521,061	5,562,193	0.44%
	Danaher Corp.			18,132,976	4,866,165	0.39%
	Medtronic plc			38,075,061	4,726,257	0.38%
†	Health Care—Other*,2,3				96,749,960	7.67%
					163,657,567	13.01%
Industrials
	Visa Inc. Class A			47,563,683	11,121,340	0.88%
	PayPal Holdings Inc.*			33,182,311	9,671,980	0.77%
	Mastercard Inc. Class A			24,988,092	9,122,903	0.73%
	Accenture plc Class A			17,954,321	5,292,754	0.42%
	Honeywell International Inc.			19,616,921	4,302,972	0.34%
	United Parcel Service Inc. Class B			20,431,986	4,249,240	0.34%
†	Industrials—Other*,2,3,5				130,035,527	10.34%
					173,796,716	13.82%
†Other*,2,3,6					529	0.00%
†Real Estate*,2,3					43,552,017	3.46%
Technology
	Apple Inc.			447,774,417	61,327,183	4.88%
	Microsoft Corp.			212,736,932	57,630,435	4.58%
	Facebook Inc. Class A*			67,679,030	23,532,676	1.87%
	Alphabet Inc. Class A*			8,484,554	20,717,499	1.65%
	Alphabet Inc. Class C*			7,778,705	19,495,924	1.55%
	NVIDIA Corp.			16,717,635	13,375,780	1.06%
	Adobe Inc.*			13,502,096	7,907,367	0.63%
	Intel Corp.			114,059,454	6,403,298	0.51%
	salesforce.com Inc.*			24,747,719	6,045,125	0.48%
	Broadcom Inc.			10,956,982	5,224,727	0.42%
	Texas Instruments Inc.			26,086,761	5,016,484	0.40%
	QUALCOMM Inc.			31,862,594	4,554,121	0.36%
†	Technology—Other*,2,3				108,074,434	8.58%
					339,305,053	26.97%
Telecommunications
	Comcast Corp. Class A			129,505,594	7,384,409	0.59%
	Verizon Communications Inc.			111,089,097	6,224,322	0.50%

5

Total Stock Market Index Fund

				Shares	Market Value• ($000)	Percentage of Net Assets
	AT&T Inc.			201,673,800	5,804,172	0.46%
	Cisco Systems Inc.			107,124,995	5,677,625	0.45%
†	Telecommunications—Other*,2,3				12,565,404	0.99%
					37,655,932	2.99%
†Utilities*,2					32,949,025	2.62%
Total Common Stocks (Cost $545,077,856)					1,252,016,681	99.52%
†Preferred Stock (Cost $36)					42	0.00%
			Coupon
Temporary Cash Investments
Money Market Fund
	Vanguard Market Liquidity Fund7,8 (Cost $11,135,205)		0.056%	111,359,670	11,135,968	0.88%
Total Investments (Cost $556,213,097)					1,263,152,691	100.40%
Other Assets and Liabilities—Net					(5,078,185)	(0.40%)
Net Assets					1,258,074,506	100.00%

Cost is in $000.
•	See Note A in Notes to Financial Statements.
*	Includes non-income-producing security.
†	Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1	Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company.
2	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,159,744,000.
3	Certain securities are valued using significant unobservable inputs.
4	Restricted securities totaling $1,377,000, representing 0.0% of net assets.
5	Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the aggregate value of these securities was $82,644,000, representing 0.0% of net assets.
6	“Other” represents securities that are not classified by the fund’s benchmark index.
7	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
8	Collateral of $6,537,053,000 was received for securities on loan, of which $6,352,245,000 is held in Vanguard Market Liquidity Fund and $184,808,000 is held in cash.

6

Total Stock Market Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index	September 2021	1,914	220,856	(2,191)
E-mini S&P 500 Index	September 2021	23,501	5,039,319	73,227
E-mini S&P Mid-Cap 400 Index	September 2021	240	64,618	(1,285)
				69,751

    

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)
Alcoa Corp.	8/31/21	BOANA	15,471	(0.586)	—	(1,111)
Bandwidth Inc. Class A	8/31/21	BOANA	32,293	(0.536)	5,347	—
Consolidated Edison Inc.	8/31/21	BOANA	123,584	(0.636)	—	(7,653)
Consolidated Edison Inc.	8/31/21	BOANA	108,136	(0.486)	—	(6,684)
National Fuel Gas Co.	8/31/21	BOANA	4,670	(0.486)	72	—
New York Community Bancorp Inc.	8/31/21	BOANA	3,591	(0.436)	—	(286)
Penn National Gaming Inc.	8/31/21	BOANA	98,364	(0.536)	—	(6,617)
Popular Inc.	8/31/21	BOANA	16,322	(0.486)	—	(1,236)
RingCentral Inc. Class A	8/31/21	BOANA	30,184	(0.586)	3,219	—
State Street Corp.	8/31/22	BOANA	223,974	(0.586)	—	(10,867)
Visa Inc. Class A	8/31/21	BOANA	51,143	0.014	1,538	—
Vistra Corp.	8/31/21	BOANA	17,302	(0.386)	2,702	—
Williams Cos. Inc.	8/31/21	BOANA	158,040	(0.486)	3,660	—
					16,538	(34,454)

1	Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
	1M—1-month.
	BOANA—Bank of America, N.A.

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

7

Total Stock Market Index Fund

Statement of Assets and Liabilities

As of June 30, 2021

($000s, except shares and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $545,074,434)	1,252,013,951
Affiliated Issuers (Cost $11,138,663)	11,138,740
Total Investments in Securities	1,263,152,691
Investment in Vanguard	42,541
Cash	184,808
Cash Collateral Pledged—Futures Contracts	274,197
Cash Collateral Pledged—Over-the-Counter Swap Contracts	18,620
Receivables for Investment Securities Sold	741,877
Receivables for Accrued Income	739,009
Receivables for Capital Shares Issued	1,118,826
Variation Margin Receivable—Futures Contracts	7,548
Unrealized Appreciation—Over-the-Counter Swap Contracts	16,538
Total Assets	1,266,296,655
Liabilities
Due to Custodian	399,368
Payables for Investment Securities Purchased	208,906
Collateral for Securities on Loan	6,537,053
Payables for Capital Shares Redeemed	1,016,380
Payables to Vanguard	25,988
Unrealized Depreciation—Over-the-Counter Swap Contracts	34,454
Total Liabilities	8,222,149
Net Assets	1,258,074,506

8

Total Stock Market Index Fund

Statement of Assets and Liabilities (continued)
At June 30, 2021, net assets consisted of:
($000s, except shares and per-share amounts)	Amount
Paid-in Capital	560,250,353
Total Distributable Earnings (Loss)	697,824,153
Net Assets	1,258,074,506
Investor Shares—Net Assets
Applicable to 1,319,037,980 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	143,064,902
Net Asset Value Per Share—Investor Shares	$108.46
ETF Shares—Net Assets
Applicable to 1,134,444,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	252,829,824
Net Asset Value Per Share—ETF Shares	$222.87
Admiral Shares—Net Assets
Applicable to 2,909,315,360 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	315,631,133
Net Asset Value Per Share—Admiral Shares	$108.49
Institutional Shares—Net Assets
Applicable to 2,101,101,506 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	227,984,217
Net Asset Value Per Share—Institutional Shares	$108.51
Institutional Plus Shares—Net Assets
Applicable to 1,323,341,512 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	269,281,287
Net Asset Value Per Share—Institutional Plus Shares	$203.49
Institutional Select Shares—Net Assets
Applicable to 230,817,928 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	49,283,143
Net Asset Value Per Share—Institutional Select Shares	$213.52

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

9

Total Stock Market Index Fund

Statement of Operations

	Six Months Ended June 30, 2021
	($000)
Investment Income
Income
Dividends—Unaffiliated Issuers	7,445,745
Dividends—Affiliated Issuers	—
Interest—Unaffiliated Issuers	54
Interest—Affiliated Issuers	2,103
Securities Lending—Net	81,216
Total Income	7,529,118
Expenses
The Vanguard Group—Note B
Investment Advisory Services	8,771
Management and Administrative—Investor Shares	101,526
Management and Administrative—ETF Shares	27,614
Management and Administrative—Admiral Shares	51,957
Management and Administrative—Institutional Shares	25,942
Management and Administrative—Institutional Plus Shares	21,325
Management and Administrative—Institutional Select Shares	1,891
Marketing and Distribution—Investor Shares	2,970
Marketing and Distribution—ETF Shares	2,744
Marketing and Distribution—Admiral Shares	3,433
Marketing and Distribution—Institutional Shares	2,094
Marketing and Distribution—Institutional Plus Shares	1,163
Marketing and Distribution—Institutional Select Shares	1
Custodian Fees	1,023
Shareholders’ Reports—Investor Shares	208
Shareholders’ Reports—ETF Shares	1,575
Shareholders’ Reports—Admiral Shares	594
Shareholders’ Reports—Institutional Shares	300
Shareholders’ Reports—Institutional Plus Shares	26
Shareholders’ Reports—Institutional Select Shares	—
Trustees’ Fees and Expenses	156
Total Expenses	255,313
Net Investment Income	7,273,805
Realized Net Gain (Loss)
Investment Securities Sold—Unaffiliated Issuers1	6,819,641
Investment Securities Sold—Affiliated Issuers	113
Futures Contracts	862,722
Swap Contracts	22,836
Realized Net Gain (Loss)	7,705,312

10

Total Stock Market Index Fund

Statement of Operations (continued)
	Six Months Ended June 30, 2021
	($000)
Change in Unrealized Appreciation (Depreciation)
Investment Securities—Unaffiliated Issuers	150,663,073
Investment Securities—Affiliated Issuers	4,208
Futures Contracts	(37,741)
Swap Contracts	(17,580)
Change in Unrealized Appreciation (Depreciation)	150,611,960
Net Increase (Decrease) in Net Assets Resulting from Operations	165,591,077

1	Includes $4,690,231,000 of net gain (loss) resulting from in-kind redemptions.

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

11

Total Stock Market Index Fund

Statement of Changes in Net Assets

	Six Months Ended June 30, 2021		Year Ended December 31, 2020
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	7,273,805		15,540,727
Realized Net Gain (Loss)	7,705,312		3,258,780
Change in Unrealized Appreciation (Depreciation)	150,611,960		170,087,718
Net Increase (Decrease) in Net Assets Resulting from Operations	165,591,077		188,887,225
Distributions
Investor Shares	(847,095)		(2,178,405)
ETF Shares	(1,489,567)		(2,643,535)
Admiral Shares	(1,882,690)		(4,040,472)
Institutional Shares	(1,328,549)		(2,632,899)
Institutional Plus Shares	(1,621,179)		(3,283,515)
Institutional Select Shares	(300,247)		(503,956)
Total Distributions	(7,469,327)		(15,282,782)
Capital Share Transactions
Investor Shares	(31,397,903)		(11,200,923)
ETF Shares	20,175,246		32,847,249
Admiral Shares	2,190,501		(23,050,842)
Institutional Shares	20,147,013		(1,802,186)
Institutional Plus Shares	9,425,504		1,241,423
Institutional Select Shares	(1,299,905)		11,449,267
Net Increase (Decrease) from Capital Share Transactions	19,240,456		9,483,988
Total Increase (Decrease)	177,362,206		183,088,431
Net Assets
Beginning of Period	1,080,712,300		897,623,869
End of Period	1,258,074,506		1,080,712,300

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

12

Total Stock Market Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,
		2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$94.71	$79.66	$62.08	$66.70	$56.06	$50.78
Investment Operations
Net Investment Income	.5871	1.2841	1.2791	1.2751	1.0861	1.022
Net Realized and Unrealized Gain (Loss) on Investments	13.760	15.026	17.634	(4.703)	10.630	5.282
Total from Investment Operations	14.347	16.310	18.913	(3.428)	11.716	6.304
Distributions
Dividends from Net Investment Income	(.597)	(1.260)	(1.333)	(1.192)	(1.076)	(1.024)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.597)	(1.260)	(1.333)	(1.192)	(1.076)	(1.024)
Net Asset Value, End of Period	$108.46	$94.71	$79.66	$62.08	$66.70	$56.06
Total Return2	15.19%	20.87%	30.65%	-5.26%	21.05%	12.53%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$143,065	$153,845	$139,686	$121,266	$126,766	$103,932
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.14%	0.14%	0.14%	0.15%
Ratio of Net Investment Income to Average Net Assets	1.16%	1.62%	1.78%	1.86%	1.77%	1.98%
Portfolio Turnover Rate3	3%	8%	4%	3%	3%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

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	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.

13

Total Stock Market Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,
		2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$194.61	$163.70	$127.56	$137.06	$115.21	$104.34
Investment Operations
Net Investment Income	1.3141	2.8311	2.8091	2.7811	2.3611	2.214
Net Realized and Unrealized Gain (Loss) on Investments	28.293	30.848	36.236	(9.676)	21.832	10.871
Total from Investment Operations	29.607	33.679	39.045	(6.895)	24.193	13.085
Distributions
Dividends from Net Investment Income	(1.347)	(2.769)	(2.905)	(2.605)	(2.343)	(2.215)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.347)	(2.769)	(2.905)	(2.605)	(2.343)	(2.215)
Net Asset Value, End of Period	$222.87	$194.61	$163.70	$127.56	$137.06	$115.21
Total Return	15.25%	20.95%	30.80%	-5.13%	21.16%	12.68%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$252,830	$202,075	$138,067	$94,809	$91,862	$69,889
Ratio of Total Expenses to Average Net Assets	0.03%	0.03%	0.03%	0.03%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	1.26%	1.73%	1.89%	1.97%	1.87%	2.09%
Portfolio Turnover Rate2	3%	8%	4%	3%	3%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	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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Total Stock Market Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,
		2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$94.74	$79.69	$62.09	$66.72	$56.08	$50.79
Investment Operations
Net Investment Income	.6361	1.3641	1.3601	1.3441	1.1481	1.077
Net Realized and Unrealized Gain (Loss) on Investments	13.764	15.025	17.646	(4.711)	10.633	5.291
Total from Investment Operations	14.400	16.389	19.006	(3.367)	11.781	6.368
Distributions
Dividends from Net Investment Income	(.650)	(1.339)	(1.406)	(1.263)	(1.141)	(1.078)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.650)	(1.339)	(1.406)	(1.263)	(1.141)	(1.078)
Net Asset Value, End of Period	$108.49	$94.74	$79.69	$62.09	$66.72	$56.08
Total Return2	15.24%	20.99%	30.80%	-5.17%	21.17%	12.66%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$315,631	$273,622	$252,536	$185,102	$190,099	$151,612
Ratio of Total Expenses to Average Net Assets	0.04%	0.04%	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	1.26%	1.72%	1.88%	1.96%	1.87%	2.09%
Portfolio Turnover Rate3	3%	8%	4%	3%	3%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

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	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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Total Stock Market Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,
		2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$94.75	$79.70	$62.10	$66.73	$56.09	$50.80
Investment Operations
Net Investment Income	.6401	1.3741	1.3651	1.3541	1.1531	1.082
Net Realized and Unrealized Gain (Loss) on Investments	13.776	15.024	17.649	(4.715)	10.630	5.291
Total from Investment Operations	14.416	16.398	19.014	(3.361)	11.783	6.373
Distributions
Dividends from Net Investment Income	(.656)	(1.348)	(1.414)	(1.269)	(1.143)	(1.083)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.656)	(1.348)	(1.414)	(1.269)	(1.143)	(1.083)
Net Asset Value, End of Period	$108.51	$94.75	$79.70	$62.10	$66.73	$56.09
Total Return	15.26%	21.00%	30.81%	-5.16%	21.17%	12.67%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$227,984	$180,586	$152,716	$115,115	$113,557	$79,443
Ratio of Total Expenses to Average Net Assets	0.03%	0.03%	0.03%	0.03%	0.035%	0.03%
Ratio of Net Investment Income to Average Net Assets	1.26%	1.73%	1.89%	1.97%	1.87%	2.10%
Portfolio Turnover Rate2	3%	8%	4%	3%	3%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	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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Total Stock Market Index Fund

Financial Highlights

Institutional Plus Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,
		2020	2019	2018	2017	2016
Net Asset Value, Beginning of Period	$177.69	$149.47	$116.46	$125.14	$105.18	$95.26
Investment Operations
Net Investment Income	1.2111	2.5911	2.5751	2.5551	2.1821	2.042
Net Realized and Unrealized Gain (Loss) on Investments	25.828	28.172	33.100	(8.842)	19.938	9.924
Total from Investment Operations	27.039	30.763	35.675	(6.287)	22.120	11.966
Distributions
Dividends from Net Investment Income	(1.239)	(2.543)	(2.665)	(2.393)	(2.160)	(2.046)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.239)	(2.543)	(2.665)	(2.393)	(2.160)	(2.046)
Net Asset Value, End of Period	$203.49	$177.69	$149.47	$116.46	$125.14	$105.18
Total Return	15.26%	21.02%	30.82%	-5.15%	21.19%	12.69%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$269,281	$226,288	$188,188	$135,641	$126,130	$85,031
Ratio of Total Expenses to Average Net Assets	0.02%	0.02%	0.02%	0.02%	0.02%	0.02%
Ratio of Net Investment Income to Average Net Assets	1.28%	1.74%	1.90%	1.98%	1.89%	2.11%
Portfolio Turnover Rate2	3%	8%	4%	3%	3%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	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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Total Stock Market Index Fund

Financial Highlights

Institutional Select Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2021	Year Ended December 31,				June 27, 20161 to December 31, 2016
		2020	2019	2018	2017
Net Asset Value, Beginning of Period	$186.45	$156.83	$122.20	$131.31	$110.37	$97.70
Investment Operations
Net Investment Income	1.2812	2.7722	2.7092	2.7042	2.3112	1.181
Net Realized and Unrealized Gain (Loss) on Investments	27.099	29.532	34.731	(9.290)	20.908	12.718
Total from Investment Operations	28.380	32.304	37.440	(6.586)	23.219	13.899
Distributions
Dividends from Net Investment Income	(1.310)	(2.684)	(2.810)	(2.524)	(2.279)	(1.229)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.310)	(2.684)	(2.810)	(2.524)	(2.279)	(1.229)
Net Asset Value, End of Period	$213.52	$186.45	$156.83	$122.20	$131.31	$110.37
Total Return	15.26%	21.03%	30.84%	-5.14%	21.20%	14.24%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$49,283	$44,296	$26,431	$20,262	$14,163	$8,545
Ratio of Total Expenses to Average Net Assets	0.01%	0.01%	0.01%	0.01%	0.01%	0.01%3
Ratio of Net Investment Income to Average Net Assets	1.29%	1.76%	1.91%	1.99%	1.90%	2.15%3
Portfolio Turnover Rate4	3%	8%	4%	3%	3%	4%5
The expense ratio and net investment income ratio for the current period have been annualized.

1	Inception.
2	Calculated based on average shares outstanding.
3	Annualized.
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.
5	Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016.

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

18

Total Stock Market Index Fund

Notes to Financial Statements

Vanguard Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus 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 materially 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 board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.

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

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

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Total Stock Market Index Fund

During the six months ended June 30, 2021, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks 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 six months ended June 30, 2021, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute 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

20

Total Stock Market Index Fund

generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.

7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, 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; these fees 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 a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative 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

21

Total Stock Market Index Fund

borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

For the six months ended June 30, 2021, the fund did not utilize the credit facilities or the Interfund Lending Program.

8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2021, the fund had contributed to Vanguard capital in the amount of $42,541,000, representing less than 0.01% of the fund’s net assets and 17.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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

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

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

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

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Total Stock Market Index Fund

The following table summarizes the market value of the fund's investments and derivatives as of June 30, 2021, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	1,252,000,911	1,478	14,292	1,252,016,681
Preferred Stock	42	—	—	42
Temporary Cash Investments	11,135,968	—	—	11,135,968
Total	1,263,136,921	1,478	14,292	1,263,152,691
Derivative Financial Instruments
Assets
Futures Contracts1	73,227	—	—	73,227
Swap Contracts	—	16,538	—	16,538
Total	73,227	16,538	—	89,765
Liabilities
Futures Contracts1	3,476	—	—	3,476
Swap Contracts	—	34,454	—	34,454
Total	3,476	34,454	—	37,930

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 June 30, 2021, 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	557,322,661
Gross Unrealized Appreciation	724,368,721
Gross Unrealized Depreciation	(18,486,856)
Net Unrealized Appreciation (Depreciation)	705,881,865

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2020, the fund had available capital losses totaling $15,633,990,000 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 December 31, 2021; 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 June 30, 2021, the fund purchased $57,644,450,000 of investment securities and sold $37,764,779,000 of investment securities, other than temporary cash investments. Purchases and sales include $18,737,551,000 and $5,853,226,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

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Total Stock Market Index Fund

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

	Six Months Ended June 30, 2021			Year Ended December 31, 2020
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	327,874	3,292		14,516,361	207,934
Issued in Lieu of Cash Distributions	847,095	8,291		2,178,405	28,832
Redeemed	(32,572,872)	(316,928)		(27,895,689)	(365,845)
Net Increase (Decrease)—Investor Shares	(31,397,903)	(305,345)		(11,200,923)	(129,079)
ETF Shares
Issued	24,149,005	114,803		50,514,859	305,434
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(3,973,759)	(18,700)		(17,667,610)	(110,500)
Net Increase (Decrease)—ETF Shares	20,175,246	96,103		32,847,249	194,934
Admiral Shares
Issued	19,598,236	193,197		32,397,184	424,606
Issued in Lieu of Cash Distributions	1,571,926	15,336		3,371,979	44,445
Redeemed	(18,979,661)	(187,476)		(58,820,005)	(749,884)
Net Increase (Decrease)—Admiral Shares	2,190,501	21,057		(23,050,842)	(280,833)
Institutional Shares
Issued	29,828,337	291,574		27,070,393	360,889
Issued in Lieu of Cash Distributions	1,252,183	12,195		2,476,296	32,636
Redeemed	(10,933,507)	(108,569)		(31,348,875)	(403,732)
Net Increase (Decrease)—Institutional Shares	20,147,013	195,200		(1,802,186)	(10,207)
Institutional Plus Shares
Issued	15,582,944	82,039		28,455,775	204,305
Issued in Lieu of Cash Distributions	1,594,979	8,294		3,238,183	22,739
Redeemed	(7,752,419)	(40,503)		(30,452,535)	(212,599)
Net Increase (Decrease)—Institutional Plus Shares	9,425,504	49,830		1,241,423	14,445
Institutional Select Shares
Issued	3,758,958	19,141		15,638,742	96,623
Issued in Lieu of Cash Distributions	300,247	1,489		503,956	3,296
Redeemed	(5,359,110)	(27,395)		(4,693,431)	(30,863)
Net Increase (Decrease)—Institutional Select Shares	(1,299,905)	(6,765)		11,449,267	69,056

24

Total Stock Market Index Fund

G.  Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:

		Current Period Transactions
	Dec. 31, 2020 Market Value ($000)	Purchases at Cost ($000)	Proceeds from Securities Sold1 ($000)	Realized Net Gain (Loss) ($000)	Change in Unrealized App. (Dep.) ($000)	Income ($000)	Capital Gain Distributions Received ($000)	Jun. 30, 2021 Market Value ($000)
180 Life Sciences Corp.	2,919	—	5,959	3,375	1,334	—	—	NA2
Avenue Therapeutics Inc.	4,991	—	2,477	(1,993)	268	—	—	NA2
Dare Bioscience Inc.	3,618	714	3,639	1,554	333	—	—	NA2
Lifevantage Corp.	8,536	1,026	3,780	(2,742)	1,233	—	—	NA2
Perma-Pipe International Holdings Inc.	2,860	—	389	(114)	415	—	—	2,772
Research Solutions Inc.	4,035	—	2,097	33	625	—	—	NA2
Vanguard Market Liquidity Fund	8,699,256	NA3	NA3	—	—	2,103	—	11,135,968
Total	8,726,215	1,740	18,341	113	4,208	2,103	—	11,138,740

1	Does not include adjustments related to return of capital.
2	Not applicable—at June 30, 2021, the security was still held, but the issuer was no longer an affiliated company of the fund.
3	Not applicable—purchases and sales are for temporary cash investment purposes.

H.  Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements.

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Trustees Approve Advisory Arrangement

The board of trustees of Vanguard Total Stock Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made monthly presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

In addition, the board received monthly reports, which included a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

Investment performance

The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

Cost

The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also well below the peer-group average.

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

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The benefit of economies of scale

The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement again after a one-year period.

27

Liquidity Risk Management

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

The board of trustees of Vanguard Index Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Total Stock Market Index Fund’s Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2020, through December 31, 2020 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected].

© 2021 The Vanguard Group, Inc.
All rights reserved.
U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749;
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Q852 082021