Semiannual Report   |   February 28, 2022
Vanguard Mega Cap Index Funds
Vanguard Mega Cap Index Fund
Vanguard Mega Cap Growth Index Fund
Vanguard Mega Cap Value Index Fund

 

Contents
About Your Fund’s Expenses

1
Mega Cap Index Fund

3
Mega Cap Growth Index Fund

18
Mega Cap Value Index Fund

31

 

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, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
Mega Cap Index Fund      
ETF Shares $1,000.00 $962.60 $0.34
Institutional Shares 1,000.00 962.70 0.29
Mega Cap Growth Index Fund      
ETF Shares $1,000.00 $910.40 $0.33
Institutional Shares 1,000.00 910.50 0.28
Mega Cap Value Index Fund      
ETF Shares $1,000.00 $1,031.00 $0.35
Institutional Shares 1,000.00 1,031.10 0.30
Based on Hypothetical 5% Yearly Return      
Mega Cap Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.35
Institutional Shares 1,000.00 1,024.50 0.30
Mega Cap Growth Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.35
Institutional Shares 1,000.00 1,024.50 0.30
Mega Cap Value Index Fund      
ETF Shares $1,000.00 $1,024.45 $0.35
Institutional Shares 1,000.00 1,024.50 0.30
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 Mega Cap Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; for the Mega Cap Growth Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; and for the Mega Cap Value Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
2

 

Mega Cap Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 1.3%
Consumer Discretionary 15.5
Consumer Staples 5.6
Energy 3.0
Financials 10.8
Health Care 13.1
Industrials 11.4
Real Estate 1.3
Technology 32.9
Telecommunications 3.0
Utilities 2.1
The table reflects the fund’s investments, except 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

 

Mega Cap Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.6%)
Basic Materials (1.3%)
  Linde plc    69,079    20,257
  Freeport-McMoRan Inc.   198,366     9,313
  Newmont Corp.   107,481     7,115
  Air Products and Chemicals Inc.    29,862     7,057
  Ecolab Inc.    34,844     6,142
  Dow Inc.    99,836     5,886
         55,770
Consumer Discretionary (15.5%)
* Amazon.com Inc.    58,113   178,480
* Tesla Inc.   108,421    94,373
  Home Depot Inc.   140,910    44,504
* Walt Disney Co.   245,273    36,413
  Costco Wholesale Corp.    59,613    30,954
  Walmart Inc.   188,147    25,430
  McDonald's Corp.   100,790    24,670
* Netflix Inc.    59,746    23,571
  NIKE Inc. Class B   172,416    23,543
  Lowe's Cos. Inc.    90,966    20,109
  Starbucks Corp.   158,357    14,536
  Target Corp.    64,709    12,927
* Booking Holdings Inc.     5,591    12,145
  TJX Cos. Inc.   154,224    10,194
  Ford Motor Co.   529,558     9,299
  Estee Lauder Cos. Inc. Class A    29,766     8,821
  Activision Blizzard Inc.   105,230     8,576
* General Motors Co.   176,404     8,242
* Uber Technologies Inc.   196,265     7,071
* Airbnb Inc. Class A    44,457     6,735
* Marriott International Inc. Class A    37,306     6,347
  Dollar General Corp.    31,437     6,235
* O'Reilly Automotive Inc.     9,113     5,916
* Lululemon Athletica Inc.    15,912     5,091
  Electronic Arts Inc.    38,152     4,963
  Yum! Brands Inc.    39,562     4,849
  Ross Stores Inc.    47,930     4,380
  eBay Inc.    80,219     4,379
* Hilton Worldwide Holdings Inc.    18,891     2,812
* Chipotle Mexican Grill Inc. Class A     1,779     2,710
* AutoZone Inc.     1,406     2,620
* Roblox Corp. Class A    39,112     2,017
* Carvana Co. Class A    11,588     1,744
    Shares Market
Value

($000)
* Rivian Automotive Inc. Class A    23,840     1,611
  VF Corp.    23,936     1,389
* Las Vegas Sands Corp.    28,388     1,217
*,1 Lucid Group Inc.    27,625       801
        659,674
Consumer Staples (5.6%)
  Procter & Gamble Co.   326,575    50,910
  Coca-Cola Co.   524,575    32,649
  PepsiCo Inc.   186,580    30,551
  Philip Morris International Inc.   210,188    21,244
  CVS Health Corp.   178,095    18,459
  Altria Group Inc.   247,875    12,713
  Mondelez International Inc. Class A   188,221    12,325
  Colgate-Palmolive Co.   113,774     8,755
  Sysco Corp.    69,241     6,031
  Kimberly-Clark Corp.    45,451     5,915
  General Mills Inc.    81,832     5,518
  Walgreens Boots Alliance Inc.    99,146     4,570
  Constellation Brands Inc. Class A    21,021     4,533
* Monster Beverage Corp.    50,070     4,226
  Keurig Dr Pepper Inc.   105,104     4,064
  Hershey Co.    19,577     3,960
  Kraft Heinz Co.    90,797     3,561
  Archer-Daniels-Midland Co.    37,571     2,947
  McKesson Corp.    10,259     2,821
  Brown-Forman Corp. Class B    38,755     2,528
  Brown-Forman Corp. Class A     5,665       346
        238,626
Energy (3.0%)
  Exxon Mobil Corp.   571,378    44,807
  Chevron Corp.   260,129    37,459
  ConocoPhillips   177,934    16,879
  EOG Resources Inc.    79,053     9,085
  Schlumberger NV   189,461     7,434
  Kinder Morgan Inc.   275,261     4,790
  Marathon Petroleum Corp.    41,521     3,233
  Williams Cos. Inc.    82,002     2,565
  Phillips 66    29,355     2,473
        128,725
4

 

Mega Cap Index Fund
    Shares Market
Value

($000)
Financials (10.7%)
* Berkshire Hathaway Inc. Class B   228,970    73,602
  JPMorgan Chase & Co.   398,792    56,549
  Bank of America Corp.   939,029    41,505
  Wells Fargo & Co.   538,154    28,721
  Morgan Stanley   193,718    17,578
  Charles Schwab Corp.   207,774    17,549
  S&P Global Inc.    45,374    17,047
  Citigroup Inc.   267,781    15,861
  Goldman Sachs Group Inc.    45,477    15,521
  BlackRock Inc.    18,471    13,740
  Blackstone Inc.    92,781    11,827
  CME Group Inc.    48,458    11,462
  PNC Financial Services Group Inc.    57,012    11,360
  Truist Financial Corp.   180,114    11,207
  Marsh & McLennan Cos. Inc.    68,135    10,589
  US Bancorp   179,998    10,177
  Chubb Ltd.    49,420    10,064
  Intercontinental Exchange Inc.    76,121     9,753
  Progressive Corp.    78,859     8,353
  Aon plc Class A (XNYS)    28,281     8,262
  Moody's Corp.    21,329     6,869
  MetLife Inc.    85,154     5,752
  Travelers Cos. Inc.    33,176     5,701
  Prudential Financial Inc.    51,035     5,698
  Bank of New York Mellon Corp.   100,323     5,332
  Aflac Inc.    80,313     4,906
  Allstate Corp.    38,680     4,733
  KKR & Co. Inc.    75,005     4,509
  T Rowe Price Group Inc.    30,336     4,385
  American International Group Inc.    55,984     3,428
* Coinbase Global Inc. Class A    17,765     3,389
* Berkshire Hathaway Inc. Class A         5     2,381
  Rocket Cos. Inc. Class A    18,197       235
        458,045
Health Care (13.0%)
  UnitedHealth Group Inc.   127,068    60,468
  Johnson & Johnson   355,226    58,459
  Pfizer Inc.   757,368    35,551
  AbbVie Inc.   238,509    35,244
  Eli Lilly & Co.   116,133    29,027
  Thermo Fisher Scientific Inc.    53,164    28,921
  Abbott Laboratories   238,556    28,775
  Merck & Co. Inc.   340,826    26,100
  Danaher Corp.    86,839    23,829
  Bristol-Myers Squibb Co.   299,689    20,580
  Medtronic plc   181,536    19,059
  Amgen Inc.    76,006    17,214
  Anthem Inc.    32,741    14,794
* Intuitive Surgical Inc.    48,234    14,004
  Zoetis Inc.    63,864    12,367
  Stryker Corp.    45,807    12,063
  Cigna Corp.    44,712    10,632
  Becton Dickinson and Co.    38,351    10,404
  Gilead Sciences Inc.   169,451    10,235
* Edwards Lifesciences Corp.    84,314     9,474
* Boston Scientific Corp.   192,116     8,486
    Shares Market
Value

($000)
* Regeneron Pharmaceuticals Inc.    13,571     8,392
* Vertex Pharmaceuticals Inc.    34,316     7,893
  HCA Healthcare Inc.    31,486     7,881
  Humana Inc.    17,318     7,522
* Moderna Inc.    46,477     7,139
* Illumina Inc.    21,054     6,876
  Baxter International Inc.    67,457     5,732
  Agilent Technologies Inc.    40,679     5,303
* Align Technology Inc.    10,127     5,180
* Biogen Inc.    19,823     4,183
* IDEXX Laboratories Inc.     5,755     3,064
  Zimmer Biomet Holdings Inc.    14,088     1,792
        556,643
Industrials (11.4%)
  Visa Inc. Class A   225,323    48,697
  Mastercard Inc. Class A   118,326    42,694
  Accenture plc Class A    88,638    28,011
  Union Pacific Corp.    86,765    21,340
  Raytheon Technologies Corp.   202,005    20,746
  United Parcel Service Inc. Class B    98,454    20,717
* PayPal Holdings Inc.   158,526    17,744
  Honeywell International Inc.    92,896    17,627
* Boeing Co.    79,309    16,285
  American Express Co.    78,347    15,242
  General Electric Co.   148,326    14,167
  Lockheed Martin Corp.    31,654    13,731
  Caterpillar Inc.    73,020    13,697
  Deere & Co.    37,649    13,554
  Automatic Data Processing Inc.    56,893    11,631
  3M Co.    77,788    11,563
  CSX Corp.   299,344    10,151
  Capital One Financial Corp.    57,433     8,803
  Northrop Grumman Corp.    19,258     8,515
  Norfolk Southern Corp.    32,793     8,412
  Sherwin-Williams Co.    31,847     8,380
  Eaton Corp. plc    53,735     8,291
  Illinois Tool Works Inc.    38,116     8,246
* Fiserv Inc.    80,159     7,829
  Fidelity National Information Services Inc.    82,190     7,827
  General Dynamics Corp.    32,078     7,521
  Emerson Electric Co.    80,300     7,461
  FedEx Corp.    32,237     7,165
* Block Inc. (XNYS)    53,810     6,861
  L3Harris Technologies Inc.    26,428     6,668
  Johnson Controls International plc    95,033     6,173
  DuPont de Nemours Inc.    69,907     5,409
  Global Payments Inc.    39,170     5,224
  Paychex Inc.    43,820     5,217
  Parker-Hannifin Corp.    17,310     5,131
  Trane Technologies plc    32,021     4,929
  PPG Industries Inc.    32,109     4,285
  Cummins Inc.    19,336     3,947
  Otis Worldwide Corp.    28,676     2,246
  Rockwell Automation Inc.     7,866     2,097
  Stanley Black & Decker Inc.    11,038     1,796
* GreenSky Inc. Class A     1,467        15
        486,045
 
5

 

Mega Cap Index Fund
    Shares Market
Value

($000)
Real Estate (1.3%)
  Prologis Inc.    99,737    14,547
  American Tower Corp.    61,445    13,940
  Crown Castle International Corp.    58,329     9,717
  Equinix Inc.    12,125     8,605
  Public Storage    20,127     7,146
  Simon Property Group Inc.    22,167     3,049
         57,004
Technology (32.7%)
  Apple Inc. 2,103,289   347,295
  Microsoft Corp. 1,013,152   302,720
* Alphabet Inc. Class A    40,574   109,596
* Alphabet Inc. Class C    36,422    98,260
  NVIDIA Corp.   320,498    78,154
* Meta Platforms Inc. Class A   319,301    67,382
  Broadcom Inc.    52,742    30,983
* Adobe Inc.    64,225    30,037
* Advanced Micro Devices Inc.   219,541    27,078
* salesforce.com Inc.   125,468    26,415
  Intel Corp.   548,768    26,176
  QUALCOMM Inc.   151,122    25,992
  Texas Instruments Inc.   124,617    21,184
  Intuit Inc.    38,231    18,136
  Oracle Corp.   221,303    16,812
  Applied Materials Inc.   121,767    16,341
* ServiceNow Inc.    26,830    15,559
  International Business Machines Corp.   121,044    14,829
  Micron Technology Inc.   151,016    13,419
  Analog Devices Inc.    72,508    11,622
  Lam Research Corp.    19,033    10,684
* Snowflake Inc. Class A    36,572     9,716
  KLA Corp.    20,443     7,124
* Snap Inc. Class A   164,600     6,574
* Autodesk Inc.    29,693     6,539
  Roper Technologies Inc.    14,221     6,374
  TE Connectivity Ltd.    44,006     6,268
  Cognizant Technology Solutions Corp. Class A    70,853     6,103
* Workday Inc. Class A    26,002     5,956
  HP Inc.   155,479     5,342
* Crowdstrike Holdings Inc. Class A    26,383     5,150
* Twilio Inc. Class A    22,719     3,971
  Marvell Technology Inc.    55,350     3,782
* Zoom Video Communications Inc. Class A    27,798     3,686
  VMware Inc. Class A    28,389     3,331
* DoorDash Inc. Class A    27,321     2,867
* Dell Technologies Inc. Class C    37,250     1,898
* Twitter Inc.    51,157     1,819
    Shares Market
Value

($000)
* DocuSign Inc. Class A    12,701     1,504
* Palantir Technologies Inc. Class A   115,701     1,371
      1,398,049
Telecommunications (3.0%)
  Comcast Corp. Class A   615,320    28,772
  Cisco Systems Inc.   512,174    28,564
  Verizon Communications Inc.   509,853    27,364
  AT&T Inc.   964,088    22,839
* Charter Communications Inc. Class A    15,761     9,485
* T-Mobile US Inc.    75,833     9,343
        126,367
Utilities (2.1%)
  NextEra Energy Inc.   264,734    20,721
  Duke Energy Corp.   103,727    10,415
  Southern Co.   142,887     9,255
  Dominion Energy Inc.   109,332     8,695
  Waste Management Inc.    56,454     8,152
  American Electric Power Co. Inc.    67,860     6,151
  Sempra Energy (XNYS)    42,496     6,129
  Exelon Corp.   132,091     5,622
  Xcel Energy Inc.    72,826     4,903
  Public Service Enterprise Group Inc.    68,403     4,435
  Republic Services Inc. Class A    27,874     3,353
         87,831
Total Common Stocks (Cost $2,657,926) 4,252,779
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $15,336)   153,378          15,336
Total Investments (100.0%) (Cost $2,673,262) 4,268,115
Other Assets and Liabilities—Net (0.0%) 1,276
Net Assets (100%) 4,269,391
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 $154,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $143,000 was received for securities on loan.
 
6

 

Mega Cap Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index March 2022 74 16,162 (618)
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Mega Cap Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $2,657,926) 4,252,779
Affiliated Issuers (Cost $15,336) 15,336
Total Investments in Securities 4,268,115
Investment in Vanguard 148
Cash 8
Cash Collateral Pledged—Futures Contracts 805
Receivables for Accrued Income 5,491
Total Assets 4,274,567
Liabilities  
Payables for Investment Securities Purchased 4,882
Collateral for Securities on Loan 143
Payables for Capital Shares Redeemed 1
Payables to Vanguard 106
Variation Margin Payable—Futures Contracts 44
Total Liabilities 5,176
Net Assets 4,269,391
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 2,547,931
Total Distributable Earnings (Loss) 1,721,460
Net Assets 4,269,391
 
ETF Shares—Net Assets  
Applicable to 26,600,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
4,088,720
Net Asset Value Per Share—ETF Shares $153.71
 
Institutional Shares—Net Assets  
Applicable to 596,123 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
180,671
Net Asset Value Per Share—Institutional Shares $303.08
  
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Mega Cap Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends 29,894
Interest1 3
Securities Lending—Net 44
Total Income 29,941
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 220
Management and Administrative—ETF Shares 1,081
Management and Administrative—Institutional Shares 41
Marketing and Distribution—ETF Shares 58
Marketing and Distribution—Institutional Shares 3
Custodian Fees 104
Shareholders’ Reports—ETF Shares 37
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 1,553
Net Investment Income 28,388
Realized Net Gain (Loss)  
Investment Securities Sold1,2 170,708
Futures Contracts (461)
Realized Net Gain (Loss) 170,247
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (371,088)
Futures Contracts (749)
Change in Unrealized Appreciation (Depreciation) (371,837)
Net Increase (Decrease) in Net Assets Resulting from Operations (173,202)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, less than $1,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $177,495,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Mega Cap Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 28,388   52,307
Realized Net Gain (Loss) 170,247   132,696
Change in Unrealized Appreciation (Depreciation) (371,837)   813,740
Net Increase (Decrease) in Net Assets Resulting from Operations (173,202)   998,743
Distributions      
ETF Shares (28,696)   (48,029)
Institutional Shares (1,250)   (2,599)
Total Distributions (29,946)   (50,628)
Capital Share Transactions      
ETF Shares (4,183)   349,653
Institutional Shares (1,408)   (36,024)
Net Increase (Decrease) from Capital Share Transactions (5,591)   313,629
Total Increase (Decrease) (208,739)   1,261,744
Net Assets      
Beginning of Period 4,478,130   3,216,386
End of Period 4,269,391   4,478,130
  
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Mega Cap Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $160.74 $125.47 $101.36 $100.26 $85.02 $74.19
Investment Operations            
Net Investment Income1 1.014 1.961 1.992 2.045 1.790 1.676
Net Realized and Unrealized Gain (Loss) on Investments (6.979) 35.218 24.065 1.052 15.214 10.788
Total from Investment Operations (5.965) 37.179 26.057 3.097 17.004 12.464
Distributions            
Dividends from Net Investment Income (1.065) (1.908) (1.947) (1.997) (1.764) (1.634)
Distributions from Realized Capital Gains
Total Distributions (1.065) (1.908) (1.947) (1.997) (1.764) (1.634)
Net Asset Value, End of Period $153.71 $160.74 $125.47 $101.36 $100.26 $85.02
Total Return -3.74% 29.94% 26.14% 3.26% 20.25% 17.01%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,089 $4,288 $3,036 $1,944 $1,542 $1,233
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.26% 1.41% 1.85% 2.10% 1.93% 2.12%
Portfolio Turnover Rate2 1% 5% 4% 4% 4% 6%
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.
11

 

Mega Cap Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $316.94 $247.38 $199.84 $197.68 $167.62 $146.25
Investment Operations            
Net Investment Income1 2.014 3.882 3.943 4.053 3.513 3.362
Net Realized and Unrealized Gain (Loss) on Investments (13.760) 69.463 47.454 2.062 30.038 21.220
Total from Investment Operations (11.746) 73.345 51.397 6.115 33.551 24.582
Distributions            
Dividends from Net Investment Income (2.114) (3.785) (3.857) (3.955) (3.491) (3.212)
Distributions from Realized Capital Gains
Total Distributions (2.114) (3.785) (3.857) (3.955) (3.491) (3.212)
Net Asset Value, End of Period $303.08 $316.94 $247.38 $199.84 $197.68 $167.62
Total Return -3.73% 29.97% 26.19% 3.25% 20.26% 17.02%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $181 $190 $180 $150 $122 $132
Ratio of Total Expenses to Average Net Assets 0.06% 0.06% 0.06% 0.06% 0.06% 0.06%
Ratio of Net Investment Income to Average Net Assets 1.27% 1.42% 1.86% 2.11% 1.94% 2.13%
Portfolio Turnover Rate2 1% 5% 4% 4% 4% 6%
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.
12

 

Mega Cap Index Fund
Notes to Financial Statements
Vanguard Mega Cap 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.
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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2022, 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.
13

 

Mega Cap Index Fund
3. 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 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 $4.3 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 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
14

 

Mega Cap Index Fund
money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, 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, 2022, the fund had contributed to Vanguard capital in the amount of $148,000, 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.).
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.
At February 28, 2022, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
15

 

Mega Cap Index Fund
D. As of February 28, 2022, 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 2,673,386
Gross Unrealized Appreciation 1,658,788
Gross Unrealized Depreciation (64,677)
Net Unrealized Appreciation (Depreciation) 1,594,111
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, 2021, the fund had available capital losses totaling $52,352,000 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, 2022; 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, 2022, the fund purchased $306,358,000 of investment securities and sold $324,308,000 of investment securities, other than temporary cash investments. Purchases and sales include $226,126,000 and $257,852,000, 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, 2022, such purchases were $37,991,000 and sales were $14,962,000, resulting in net realized loss of $3,063,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022
  Year Ended
August 31, 2021
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 258,765 1,600   598,960 4,325
Issued in Lieu of Cash Distributions  
Redeemed (262,948) (1,675)   (249,307) (1,850)
Net Increase (Decrease)—ETF Shares (4,183) (75)   349,653 2,475
Institutional Shares          
Issued 6,773 22   8,330 31
Issued in Lieu of Cash Distributions 1,250 4   1,860 7
Redeemed (9,431) (30)   (46,214) (166)
Net Increase (Decrease)—Institutional Shares (1,408) (4)   (36,024) (128)
16

 

Mega Cap Index Fund
G. Market disruptions associated with current geopolitical events have had a global impact, and uncertainty exists as to their implications. Such disruptions can adversely affect assets and thus performance of the fund; at this time, an aggregate effect on assets and performance cannot be reasonably estimated. Management is continuing to monitor these developments and evaluate impacts they may have on the fund.
Management has determined that no other events or transactions occurred subsequent to February 28, 2022, that would require recognition or disclosure in these financial statements.
17

 

Mega Cap Growth Index Fund
Fund Allocation
As of February 28, 2022
Basic Materials 1.1%
Consumer Discretionary 25.8
Consumer Staples 0.7
Financials 1.6
Health Care 5.9
Industrials 8.9
Real Estate 1.7
Technology 53.9
Telecommunications 0.4
The table reflects the fund’s investments, except 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.
18

 

Mega Cap Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
    Shares Market
Value

($000)
Common Stocks (99.8%)
Basic Materials (1.2%)
  Linde plc    374,072    109,693
  Ecolab Inc.    188,170     33,167
         142,860
Consumer Discretionary (25.7%)
* Amazon.com Inc.    314,949    967,290
* Tesla Inc.    587,038    510,975
  Home Depot Inc.    763,091    241,007
* Walt Disney Co.  1,328,257    197,193
  Costco Wholesale Corp.    322,859    167,645
  McDonald's Corp.    546,270    133,710
* Netflix Inc.    323,715    127,712
  NIKE Inc. Class B    933,720    127,499
  Lowe's Cos. Inc.    492,350    108,839
  Starbucks Corp.    857,565     78,716
* Booking Holdings Inc.     29,956     65,072
  TJX Cos. Inc.    834,517     55,162
  Estee Lauder Cos. Inc. Class A    160,831     47,659
* Uber Technologies Inc.  1,061,748     38,255
* Airbnb Inc. Class A    240,501     36,433
* Marriott International Inc. Class A    202,014     34,371
  Dollar General Corp.    170,235     33,764
* O'Reilly Automotive Inc.     49,186     31,934
* Lululemon Athletica Inc.     86,571     27,698
  Electronic Arts Inc.    207,057     26,936
  Yum! Brands Inc.    213,737     26,200
  Ross Stores Inc.    260,366     23,795
  Activision Blizzard Inc.    284,559     23,192
* Hilton Worldwide Holdings Inc.    101,925     15,173
* Chipotle Mexican Grill Inc. Class A      9,790     14,914
* AutoZone Inc.      7,626     14,210
* Roblox Corp. Class A    212,416     10,954
* Carvana Co. Class A     62,653      9,427
*,1 Rivian Automotive Inc. Class A    129,399      8,742
*,1 Lucid Group Inc.     75,083      2,176
       3,206,653
Consumer Staples (0.7%)
  Colgate-Palmolive Co.    307,827     23,687
* Monster Beverage Corp.    271,147     22,885
  Hershey Co.    106,530     21,547
  Brown-Forman Corp. Class B    210,729     13,746
    Shares Market
Value

($000)
  Brown-Forman Corp. Class A     30,223      1,845
          83,710
Financials (1.5%)
  S&P Global Inc.    246,011     92,427
  Aon plc Class A (XNYS)    152,897     44,667
  Moody's Corp.    115,334     37,141
* Coinbase Global Inc. Class A     96,588     18,426
         192,661
Health Care (5.9%)
  Thermo Fisher Scientific Inc.    287,904    156,620
* Intuitive Surgical Inc.    261,063     75,795
  Zoetis Inc.    345,744     66,953
  Danaher Corp.    234,916     64,463
* Edwards Lifesciences Corp.    456,057     51,247
* Boston Scientific Corp.  1,040,639     45,965
* Regeneron Pharmaceuticals Inc.     73,388     45,380
* Vertex Pharmaceuticals Inc.    185,713     42,718
* Moderna Inc.    251,604     38,646
* Illumina Inc.    114,105     37,267
  Stryker Corp.    124,019     32,660
  Agilent Technologies Inc.    221,137     28,827
* Align Technology Inc.     54,835     28,046
* IDEXX Laboratories Inc.     31,058     16,534
         731,121
Industrials (8.9%)
  Visa Inc. Class A  1,220,098    263,688
  Mastercard Inc. Class A    641,011    231,290
  Accenture plc Class A    479,935    151,669
* PayPal Holdings Inc.    858,559     96,098
* Boeing Co.    429,537     88,201
  United Parcel Service Inc. Class B    266,387     56,053
  Sherwin-Williams Co.    172,262     45,327
* Fiserv Inc.    433,677     42,357
* Block Inc. (XNYS)    291,049     37,109
  Automatic Data Processing Inc.    154,243     31,533
  Paychex Inc.    237,649     28,294
  Global Payments Inc.    211,619     28,226
  Rockwell Automation Inc.     42,507     11,332
       1,111,177
19

 

Mega Cap Growth Index Fund
    Shares Market
Value

($000)
Real Estate (1.7%)
  American Tower Corp.    332,879     75,520
  Crown Castle International Corp.    315,725     52,596
  Equinix Inc.     65,709     46,636
  Public Storage    108,867     38,650
         213,402
Technology (53.8%)
  Apple Inc. 11,389,089  1,880,566
  Microsoft Corp.  5,486,205  1,639,223
* Alphabet Inc. Class A    219,627    593,243
* Alphabet Inc. Class C    197,575    533,022
  NVIDIA Corp.  1,735,446    423,188
* Meta Platforms Inc. Class A  1,729,055    364,882
* Adobe Inc.    347,620    162,575
* Advanced Micro Devices Inc.  1,189,213    146,678
* salesforce.com Inc.    679,614    143,079
  Texas Instruments Inc.    674,839    114,716
  Intuit Inc.    206,852     98,124
  Applied Materials Inc.    659,821     88,548
* ServiceNow Inc.    145,396     84,318
  Lam Research Corp.    102,893     57,759
* Snowflake Inc. Class A    197,835     52,557
  KLA Corp.    110,896     38,647
  Micron Technology Inc.    408,118     36,265
* Snap Inc. Class A    890,129     35,552
* Autodesk Inc.    160,391     35,323
* Workday Inc. Class A    140,719     32,232
* Crowdstrike Holdings Inc. Class A    143,167     27,948
* Twilio Inc. Class A    123,347     21,561
  Marvell Technology Inc.    300,544     20,536
* Zoom Video Communications Inc. Class A    150,752     19,990
    Shares Market
Value

($000)
  Roper Technologies Inc.     38,485     17,250
* DoorDash Inc. Class A    148,357     15,570
* Twitter Inc.    278,130      9,888
* DocuSign Inc. Class A     68,473      8,109
* Palantir Technologies Inc. Class A    628,095      7,443
       6,708,792
Telecommunications (0.4%)
* Charter Communications Inc. Class A     85,107     51,216
Total Common Stocks (Cost $8,939,412) 12,441,592
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 0.138% (Cost $17,906)    179,092           17,907
Total Investments (100.0%) (Cost $8,957,318) 12,459,499
Other Assets and Liabilities—Net (0.0%) 1,667
Net Assets (100%) 12,461,166
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 $6,765,000.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3 Collateral of $6,508,000 was received for securities on loan.
 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts        
E-mini NASDAQ 100 Index March 2022 63 17,927 (1,227)
E-mini S&P 500 Index March 2022 7 1,529 (99)
        (1,326)
  
See accompanying Notes, which are an integral part of the Financial Statements.
20

 

Mega Cap Growth Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $8,939,412) 12,441,592
Affiliated Issuers (Cost $17,906) 17,907
Total Investments in Securities 12,459,499
Investment in Vanguard 444
Cash 8
Cash Collateral Pledged—Futures Contracts 955
Receivables for Investment Securities Sold 27,199
Receivables for Accrued Income 6,349
Variation Margin Receivable—Futures Contracts 51
Total Assets 12,494,505
Liabilities  
Payables for Investment Securities Purchased 26,511
Collateral for Securities on Loan 6,508
Payables for Capital Shares Redeemed 11
Payables to Vanguard 309
Total Liabilities 33,339
Net Assets 12,461,166
At February 28, 2022, net assets consisted of:  
   
Paid-in Capital 8,548,139
Total Distributable Earnings (Loss) 3,913,027
Net Assets 12,461,166
 
ETF Shares—Net Assets  
Applicable to 55,014,192 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
12,419,043
Net Asset Value Per Share—ETF Shares $225.74
 
Institutional Shares—Net Assets  
Applicable to 93,941 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
42,123
Net Asset Value Per Share—Institutional Shares $448.40
  
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Mega Cap Growth Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends 32,264
Interest1 9
Securities Lending—Net 115
Total Income 32,388
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 640
Management and Administrative—ETF Shares 3,585
Management and Administrative—Institutional Shares 10
Marketing and Distribution—ETF Shares 216
Marketing and Distribution—Institutional Shares 1
Custodian Fees 4
Shareholders’ Reports—ETF Shares 142
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 3
Other Expenses 8
Total Expenses 4,609
Net Investment Income 27,779
Realized Net Gain (Loss)  
Investment Securities Sold1,2 623,350
Futures Contracts 820
Realized Net Gain (Loss) 624,170
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (1,934,796)
Futures Contracts (2,854)
Change in Unrealized Appreciation (Depreciation) (1,937,650)
Net Increase (Decrease) in Net Assets Resulting from Operations (1,285,701)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $8,000, ($3,000), $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $669,713,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

Mega Cap Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 27,779   60,577
Realized Net Gain (Loss) 624,170   1,329,075
Change in Unrealized Appreciation (Depreciation) (1,937,650)   1,201,098
Net Increase (Decrease) in Net Assets Resulting from Operations (1,285,701)   2,590,750
Distributions      
ETF Shares (29,204)   (61,584)
Institutional Shares (104)   (342)
Total Distributions (29,308)   (61,926)
Capital Share Transactions      
ETF Shares 1,015,483   2,252
Institutional Shares 215   (44,428)
Net Increase (Decrease) from Capital Share Transactions 1,015,698   (42,176)
Total Increase (Decrease) (299,311)   2,486,648
Net Assets      
Beginning of Period 12,760,477   10,273,829
End of Period 12,461,166   12,760,477
  
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Mega Cap Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $248.50 $196.25 $132.22 $127.79 $104.09 $87.15
Investment Operations            
Net Investment Income1 .515 1.220 1.358 1.588 1.485 1.351
Net Realized and Unrealized Gain (Loss) on Investments (22.727) 52.279 64.007 3.860 23.677 16.920
Total from Investment Operations (22.212) 53.499 65.365 5.448 25.162 18.271
Distributions            
Dividends from Net Investment Income (.548) (1.249) (1.335) (1.018) (1.462) (1.331)
Distributions from Realized Capital Gains
Total Distributions (.548) (1.249) (1.335) (1.018) (1.462) (1.331)
Net Asset Value, End of Period $225.74 $248.50 $196.25 $132.22 $127.79 $104.09
Total Return -8.96% 27.41% 49.84% 4.32% 24.38% 21.17%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $12,419