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.
4
Mega
Cap Index Fund
5
Mega
Cap Index Fund
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.
19
Mega
Cap Growth 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 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 | $12,714 | $10,193 | $4,388 | $4,152 | $3,135 |
| 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 | 0.42% | 0.58% | 0.90% | 1.30% | 1.29% | 1.43% |
| Portfolio Turnover Rate2 | 2% | 8% | 6% | 14% | 9% | 8% |
| 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.
24
Mega
Cap Growth 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 | $493.61 | $389.78 | $262.63 | $253.80 | $206.74 | $173.07 |
| Investment Operations | ||||||
| Net Investment Income1 | 1.049 | 2.498 | 2.707 | 3.184 | 2.963 | 2.699 |
| Net Realized and Unrealized Gain (Loss) on Investments | (45.143) | 103.822 | 127.126 | 7.684 | 47.023 | 33.622 |
| Total from Investment Operations | (44.094) | 106.320 | 129.833 | 10.868 | 49.986 | 36.321 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.116) | (2.489) | (2.683) | (2.038) | (2.926) | (2.651) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.116) | (2.489) | (2.683) | (2.038) | (2.926) | (2.651) |
| Net Asset Value, End of Period | $448.40 | $493.61 | $389.78 | $262.63 | $253.80 | $206.74 |
| Total Return | -8.95% | 27.43% | 49.87% | 4.34% | 24.39% | 21.20% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $42 | $46 | $81 | $43 | $43 | $35 |
| 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 | 0.43% | 0.62% | 0.91% | 1.31% | 1.30% | 1.44% |
| Portfolio Turnover Rate2 | 2% | 8% | 6% | 14% | 9% | 8% |
| 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.
25
Mega
Cap Growth Index Fund
Notes
to Financial Statements
Vanguard
Mega Cap Growth 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.
26
Mega
Cap Growth 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
27
Mega
Cap Growth 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 $444,000, representing less than 0.01% of the fund’s
net assets and 0.18% 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.
28
Mega
Cap Growth 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 | 8,957,453 |
| Gross Unrealized Appreciation | 3,821,151 |
| Gross Unrealized Depreciation | (320,431) |
| Net Unrealized Appreciation (Depreciation) | 3,500,720 |
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 $220,110,000 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 $2,580,365,000 of investment securities and sold $1,548,961,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,200,579,000 and $1,229,083,000, 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 $183,108,000 and sales were $127,982,000, resulting in net realized loss of
$27,494,000; 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 | 2,248,847 | 9,050 | 2,269,215 | 10,750 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (1,233,364) | (5,200) | (2,266,963) | (11,525) | |
| Net Increase (Decrease)—ETF Shares | 1,015,483 | 3,850 | 2,252 | (775) | |
| Institutional Shares | |||||
| Issued | 1,506 | 3 | 13,626 | 29 | |
| Issued in Lieu of Cash Distributions | 104 | 1 | 341 | 1 | |
| Redeemed | (1,395) | (3) | (58,395) | (145) | |
| Net Increase (Decrease)—Institutional Shares | 215 | 1 | (44,428) | (115) | |
29
Mega
Cap Growth 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.
30
Mega
Cap Value Index Fund
Fund
Allocation
As
of February 28, 2022
| Basic Materials | 1.5% |
| Consumer Discretionary | 3.4 |
| Consumer Staples | 11.4 |
| Energy | 6.6 |
| Financials | 21.6 |
| Health Care | 21.6 |
| Industrials | 14.4 |
| Real Estate | 0.9 |
| Technology | 8.1 |
| Telecommunications | 6.0 |
| Utilities | 4.5 |
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.
31
Mega
Cap Value 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.
32
Mega
Cap Value Index Fund
33
Mega
Cap Value Index Fund
| Shares | Market Value• ($000) | ||
| Temporary Cash Investments (0.0%) | |||
| Money Market Fund (0.0%) | |||
| 2,3 | Vanguard Market Liquidity Fund, 0.138% (Cost $697) | 6,970 | 697 |
| Total Investments (99.9%) (Cost $3,959,591) | 5,245,800 | ||
| Other Assets and Liabilities—Net (0.1%) | 5,065 | ||
| Net Assets (100%) | 5,250,865 | ||
| 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 $707,000. |
| 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 $695,000 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 S&P 500 Index | March 2022 | 26 | 5,678 | (129) |
See
accompanying Notes, which are an integral part of the Financial
Statements.
34
Mega
Cap Value 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 $3,958,894) | 5,245,103 |
| Affiliated Issuers (Cost $697) | 697 |
| Total Investments in Securities | 5,245,800 |
| Investment in Vanguard | 175 |
| Cash Collateral Pledged—Futures Contracts | 230 |
| Receivables for Accrued Income | 11,451 |
| Receivables for Capital Shares Issued | 35 |
| Total Assets | 5,257,691 |
| Liabilities | |
| Due to Custodian | 5,901 |
| Payables for Investment Securities Purchased | 46 |
| Collateral for Securities on Loan | 695 |
| Payables for Capital Shares Redeemed | 42 |
| Payables to Vanguard | 129 |
| Variation Margin Payable—Futures Contracts | 13 |
| Total Liabilities | 6,826 |
| Net Assets | 5,250,865 |
| At February 28, 2022, net assets consisted of: | |
| Paid-in Capital | 3,970,707 |
| Total Distributable Earnings (Loss) | 1,280,158 |
| Net Assets | 5,250,865 |
| ETF Shares—Net Assets | |
| Applicable
to 48,939,847 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
5,115,221 |
| Net Asset Value Per Share—ETF Shares | $104.52 |
| Institutional Shares—Net Assets | |
| Applicable
to 654,453 outstanding $.001 par value shares of beneficial interest (unlimited authorization) |
135,644 |
| Net Asset Value Per Share—Institutional Shares | $207.26 |
See
accompanying Notes, which are an integral part of the Financial
Statements.
35
Mega
Cap Value Index Fund
Statement
of Operations
| Six
Months Ended February 28, 2022 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 60,138 |
| Interest1 | 1 |
| Securities Lending—Net | 41 |
| Total Income | 60,180 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 250 |
| Management and Administrative—ETF Shares | 1,272 |
| Management and Administrative—Institutional Shares | 28 |
| Marketing and Distribution—ETF Shares | 70 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 9 |
| Shareholders’ Reports—ETF Shares | 72 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Trustees’ Fees and Expenses | 1 |
| Other Expenses | 8 |
| Total Expenses | 1,713 |
| Net Investment Income | 58,467 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 79,645 |
| Futures Contracts | (131) |
| Realized Net Gain (Loss) | 79,514 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 6,770 |
| Futures Contracts | (336) |
| Change in Unrealized Appreciation (Depreciation) | 6,434 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 144,415 |
| 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 $1,000, less than $1,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $97,758,000 of net gain (loss) resulting from in-kind redemptions. |
See
accompanying Notes, which are an integral part of the Financial
Statements.
36
Mega
Cap Value 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 | 58,467 | 97,874 | |
| Realized Net Gain (Loss) | 79,514 | 126,813 | |
| Change in Unrealized Appreciation (Depreciation) | 6,434 | 878,724 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 144,415 | 1,103,411 | |
| Distributions | |||
| ETF Shares | (58,871) | (89,173) | |
| Institutional Shares | (1,602) | (3,020) | |
| Total Distributions | (60,473) | (92,193) | |
| Capital Share Transactions | |||
| ETF Shares | 447,235 | 592,269 | |
| Institutional Shares | 4,953 | (22,744) | |
| Net Increase (Decrease) from Capital Share Transactions | 452,188 | 569,525 | |
| Total Increase (Decrease) | 536,130 | 1,580,743 | |
| Net Assets | |||
| Beginning of Period | 4,714,735 | 3,133,992 | |
| End of Period | 5,250,865 | 4,714,735 | |
See
accompanying Notes, which are an integral part of the Financial
Statements.
37
Mega
Cap Value 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 | $102.64 | $78.96 | $78.94 | $79.89 | $70.19 | $63.52 |
| Investment Operations | ||||||
| Net Investment Income1 | 1.226 | 2.271 | 2.271 | 2.261 | 1.893 | 1.843 |
| Net Realized and Unrealized Gain (Loss) on Investments | 1.933 | 23.557 | (.044) | (1.027) | 9.668 | 6.557 |
| Total from Investment Operations | 3.159 | 25.828 | 2.227 | 1.234 | 11.561 | 8.400 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.279) | (2.148) | (2.207) | (2.184) | (1.861) | (1.730) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.279) | (2.148) | (2.207) | (2.184) | (1.861) | (1.730) |
| Net Asset Value, End of Period | $104.52 | $102.64 | $78.96 | $78.94 | $79.89 | $70.19 |
| Total Return | 3.10% | 33.17% | 2.94% | 1.69% | 16.71% | 13.40% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $5,115 | $4,587 | $3,017 | $2,448 | $2,120 | $1,717 |
| 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 | 2.36% | 2.47% | 2.90% | 2.90% | 2.50% | 2.73% |
| Portfolio Turnover Rate2 | 5% | 11% | 9% | 10% | 8% | 8% |
| 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.
38
Mega
Cap Value 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 | $203.54 | $156.56 | $156.53 | $158.41 | $139.18 | $125.94 |
| Investment Operations | ||||||
| Net Investment Income1 | 2.439 | 4.492 | 4.522 | 4.467 | 3.743 | 3.596 |
| Net Realized and Unrealized Gain (Loss) on Investments | 3.826 | 46.761 | (.102) | (2.002) | 19.188 | 13.077 |
| Total from Investment Operations | 6.265 | 51.253 | 4.420 | 2.465 | 22.931 | 16.673 |
| Distributions | ||||||
| Dividends from Net Investment Income | (2.545) | (4.274) | (4.390) | (4.345) | (3.701) | (3.433) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.545) | (4.274) | (4.390) | (4.345) | (3.701) | (3.433) |
| Net Asset Value, End of Period | $207.26 | $203.54 | $156.56 | $156.53 | $158.41 | $139.18 |
| Total Return | 3.11% | 33.22% | 3.00% | 1.68% | 16.71% | 13.41% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $136 | $128 | $117 | $134 | $131 | $125 |
| 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 | 2.37% | 2.49% | 2.89% | 2.91% | 2.51% | 2.74% |
| Portfolio Turnover Rate2 | 5% | 11% | 9% | 10% | 8% | 8% |
| 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.
39
Mega
Cap Value Index Fund
Notes
to Financial Statements
Vanguard
Mega Cap Value 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.
40
Mega
Cap Value 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
41
Mega
Cap Value 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 $175,000, representing less than 0.01% of the fund’s
net assets and 0.07% 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.
42
Mega
Cap Value 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 | 3,961,286 |
| Gross Unrealized Appreciation | 1,336,098 |
| Gross Unrealized Depreciation | (51,713) |
| Net Unrealized Appreciation (Depreciation) | 1,284,385 |
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 $104,115,000 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 $921,811,000 of investment securities and sold $466,704,000 of investment securities, other than temporary cash investments. Purchases and sales include $613,794,000 and $210,976,000, 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 $118,168,000 and sales were $38,442,000, resulting in net realized loss of
$2,869,000; 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 | 664,154 | 6,354 | 985,809 | 10,826 | |
| Issued in Lieu of Cash Distributions | — | — | — | — | |
| Redeemed | (216,919) | (2,100) | (393,540) | (4,350) | |
| Net Increase (Decrease)—ETF Shares | 447,235 | 4,254 | 592,269 | 6,476 | |
| Institutional Shares | |||||
| Issued | 9,136 | 44 | 9,063 | 52 | |
| Issued in Lieu of Cash Distributions | 486 | 2 | 1,668 | 10 | |
| Redeemed | (4,669) | (22) | (33,475) | (180) | |
| Net Increase (Decrease)—Institutional Shares | 4,953 | 24 | (22,744) | (118) | |
43
Mega
Cap Value Index Fund
At
February 28, 2022, one shareholder was a record or beneficial owner of 29% of
the fund’s net assets. If this shareholder were to redeem its investment in the
fund, the redemption might result in an increase in the fund’s expense ratio,
cause the fund to incur higher transaction costs, or lead to the realization of
taxable capital gains.
| 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.
44
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