Annual Report |  August 31, 2020  
   
   
Vanguard Russell 1000 Index Funds
   
   
   
   
   
   
   
   
   
   
   
Vanguard Russell 1000 Index Fund  
   
Vanguard Russell 1000 Value Index Fund  
   
Vanguard Russell 1000 Growth Index Fund  
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
   
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
   

 

 

 

 

Important information about access to shareholder reports

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

 

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

 

 

 

Contents  
   
Your Fund’s Performance at a Glance 1
   
About Your Fund’s Expenses 2
   
Russell 1000 Index Fund 4
   
Russell 1000 Value Index Fund 20
   
Russell 1000 Growth Index Fund 39
   
Trustees Approve Advisory Arrangements 58
   
Liquidity Risk Management 60

 

 

 

 

 

 

 

 

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

 

 

 

 

Your Fund’s Performance at a Glance

 

 

·     Returns for the three Vanguard Russell 1000 Index Funds for the 12 months ended August 31, 2020, ranged from less than 1% for Vanguard Russell 1000 Value Index Fund to more than 44% for Vanguard Russell 1000 Growth Index Fund. Vanguard Russell 1000 Index Fund returned about 22%. Each fund closely tracked its target index.

 

·     After declining nearly 35% in parts of February and March, the broad U.S. stock market reached a record high in August as the response of some major banks and governments to the spread of the coronavirus and vaccine hopes lifted investor sentiment. U.S. stock markets rebounded more strongly than either developed markets outside the United States or emerging markets.

 

·     Large-capitalization stocks outperformed their mid-and small-cap counterparts for the period, and growth stocks surpassed value.

 

·    Technology stocks, a top contributor to returns for all three funds, benefited from the pandemic-induced online environment and the continued rise of digital services.

 

·     Energy stocks were among the weakest performers for all three funds as the pandemic severely reduced global demand for oil.

 

 

 

Market Barometer      
    Average Annual Total Returns
    Periods Ended August 31, 2020
  One Year Three Years Five Years
Stocks      
Russell 1000 Index (Large-caps) 22.50% 14.58% 14.31%
Russell 2000 Index (Small-caps) 6.02 5.03 7.65
Russell 3000 Index (Broad U.S. market) 21.44 13.95 13.86
FTSE All-World ex US Index (International) 8.78 2.92 6.00
       
Bonds      
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) 6.47% 5.09% 4.33%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) 3.24 4.09 3.99
FTSE Three-Month U.S. Treasury Bill Index 1.18 1.67 1.15
       
CPI      
Consumer Price Index 1.31% 1.92% 1.75%

 

1

 

About Your Fund’s Expenses

 

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

 

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

 

The accompanying table illustrates your fund’s costs in two ways:

 

·     Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

 

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

 

·     Based on hypothetical 5% yearly return. This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

 

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

 

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

 

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

 

2

 

Six Months Ended August 31, 2020      
  Beginning Ending Expenses
  Account Value Account Value Paid During
  2/29/2020 8/31/2020 Period
Based on Actual Fund Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $1,200.65 $0.44
Institutional Shares 1,000.00 1,201.16 0.39
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,025.15 $0.41
Institutional Shares 1,000.00 1,025.73 0.36
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $1,368.59 $0.48
Institutional Shares 1,000.00 1,368.97 0.42
Based on Hypothetical 5% Yearly Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $1,024.73 $0.41
Institutional Shares 1,000.00 1,024.78 0.36
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,024.73 $0.41
Institutional Shares 1,000.00 1,024.78 0.36
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $1,024.73 $0.41
Institutional Shares 1,000.00 1,024.78 0.36

 

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 Russell 1000 Index Fund, 0.08% for ETF Shares and 0.07% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.08% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 1000 Growth Index Fund, 0.08% for ETF Shares and 0.07% 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 (184/366).

 

3

 

Russell 1000 Index Fund

 

Performance Summary

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

Cumulative Performance: September 20, 2010, Through August 31, 2020

Initial Investment of $10,000

 

 

 

      Average Annual Total Returns  
      Periods Ended August 31, 2020  
        Since Final Value
    One Five Inception of a $10,000
    Year Years (9/20/2010) Investment
Russell 1000 Index Fund ETF Shares Net Asset Value 22.39% 14.17% 14.13% $37,236
  Russell 1000 Index Fund ETF Shares Market Price 22.53 14.17 14.14 37,257
Russell 1000 Index 22.50 14.31 14.27 37,693
Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 13.77 13.96 36,668
           
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
 
        Since Final Value
    One Five Inception of a $5,000,000
    Year Years (10/15/2010) Investment
Russell 1000 Index Fund Institutional Shares 22.45% 14.21% 13.92% $18,108,775
Russell 1000 Index 22.50 14.31 14.01 18,260,510
Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 13.77 13.68 17,737,176
             

 

“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.

 

 

 

 

 

See Financial Highlights for dividend and capital gains information.

 

4

 

Russell 1000 Index Fund

 

 

 

 

 

Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2020
      Since
  One Five Inception
  Year Years (9/20/2010)
Russell 1000 Index Fund ETF Shares Market Price 22.53% 94.00% 272.57%
Russell 1000 Index Fund ETF Shares Net Asset Value 22.39 93.96 272.36
Russell 1000 Index 22.50 95.18 276.93

 

“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

5

 

Russell 1000 Index Fund

 

 

 

Fund Allocation

As of August 31, 2020

 

Consumer Discretionary 16.9%
Consumer Staples 5.5
Energy 2.3
Financial Services 16.7
Health Care 13.4
Materials & Processing 3.0
Producer Durables 8.4
Technology 29.5
Utilities 4.3

 

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS 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, at-tempting to remain fully invested and tracking its target index as closely as possible.

 

6

 

Russell 1000 Index Fund

 

 

 

Financial Statements

 

 

 

Schedule of Investments—Investments Summary

As of August 31, 2020

 

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

 

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

 

      Market Percentage
      Value of Net
    Shares ($000) Assets
Common Stocks      
Consumer Discretionary      
* Amazon.com Inc. 54,550 188,250 4.5%
* Tesla Inc. 95,155 47,418 1.1%
  Home Depot Inc. 138,093 39,362 0.9%
  Walt Disney Co. 232,591 30,672 0.7%
* Netflix Inc. 54,718 28,976 0.7%
  Comcast Corp. Class A 582,743 26,113 0.6%
  Walmart Inc. 179,235 24,887 0.6%
  McDonald’s Corp. 95,809 20,457 0.5%
  Costco Wholesale Corp. 56,789 19,743 0.5%
  NIKE Inc. Class B 155,793 17,432 0.4%
  Consumer Discretionary—Other †   264,766 6.3%
      708,076 16.8%
Consumer Staples      
  Procter & Gamble Co. 313,415 43,355 1.0%
  PepsiCo Inc. 178,498 25,000 0.6%
  Coca-Cola Co. 497,526 24,642 0.6%
  Consumer Staples—Other †   138,094 3.3%
      231,091 5.5%
Energy      
  Exxon Mobil Corp. 544,860 21,762 0.5%
  Chevron Corp. 240,493 20,185 0.5%
  Energy—Other †   52,705 1.3%
      94,652 2.3%
Financial Services      
* Berkshire Hathaway Inc. Class B 250,884 54,703 1.3%
  Visa Inc. Class A 217,170 46,038 1.1%
  Mastercard Inc. Class A 113,428 40,629 1.0%
  JPMorgan Chase & Co. 389,186 38,993 0.9%
* PayPal Holdings Inc. 151,133 30,852 0.7%

 

7

 

Russell 1000 Index Fund

 

      Market Percentage
      Value· of Net
    Shares ($000) Assets
  Bank of America Corp. 995,542 25,625 0.6%
  Financial Services—Other †   463,123 11.1%
      699,963 16.7%
Health Care      
  Johnson & Johnson 339,193 52,036 1.2%
  UnitedHealth Group Inc. 121,424 37,951 0.9%
  Merck & Co. Inc. 325,094 27,721 0.7%
  Pfizer Inc. 715,604 27,043 0.7%
  Abbott Laboratories 222,262 24,331 0.6%
  Thermo Fisher Scientific Inc. 50,798 21,791 0.5%
  AbbVie Inc. 226,749 21,716 0.5%
  Amgen Inc. 75,759 19,191 0.5%
  Medtronic plc 172,428 18,531 0.4%
  Bristol-Myers Squibb Co. 291,395 18,125 0.4%
§ Health Care—Other †   292,793 7.0%
      561,229 13.4%
Materials & Processing      
  Linde plc 67,577 16,877 0.4%
  Materials & Processing—Other †   109,189 2.6%
      126,066 3.0%
Producer Durables      
  Accenture plc Class A 81,945 19,661 0.5%
  Union Pacific Corp. 87,339 16,808 0.4%
  Producer Durables—Other †   315,875 7.5%
      352,344 8.4%
Technology      
  Apple Inc. 2,104,852 271,610 6.5%
  Microsoft Corp. 963,462 217,290 5.2%
* Facebook Inc. Class A 308,845 90,553 2.2%
* Alphabet Inc. Class A 38,792 63,213 1.5%
* Alphabet Inc. Class C 37,943 62,006 1.5%
  NVIDIA Corp. 75,925 40,618 1.0%
* Adobe Inc. 61,889 31,773 0.7%
* salesforce.com Inc. 111,422 30,379 0.7%
  Intel Corp. 545,041 27,770 0.7%
  Cisco Systems Inc. 546,267 23,063 0.5%
  Broadcom Inc. 50,231 17,438 0.4%
  QUALCOMM Inc. 144,832 17,250 0.4%
  Texas Instruments Inc. 118,110 16,789 0.4%
  Technology—Other †   325,282 7.7%
      1,235,034 29.4%
Utilities      
  Verizon Communications Inc. 532,802 31,579 0.8%
  AT&T Inc. 917,276 27,344 0.6%
  NextEra Energy Inc. 62,909 17,562 0.4%
  Utilities—Other †   105,968 2.5%
      182,453 4.3%
Total Common Stocks (Cost $2,727,749)   4,190,908 99.8%

 

8

 

Russell 1000 Index Fund

 

 

 

      Market Percentage
      Value· of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
1,2 Vanguard Market Liquidity Fund 0.147% 44,930 4,493 0.1%
3U.S. Government and Agency Obligations     870 0.0%
Total Temporary Cash Investments (Cost $5,363)     5,363 0.1%
4Total Investments (Cost $2,733,112)     4,196,271 99.9%
Other Assets and Liabilities—Net     5,279 0.1%
Net Assets     4,201,550 100.0%

 

 

Cost is in $000.

· See Note A in Notes to Financial Statements.

* Non-income-producing security.

Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

§ Certain securities are valued using significant unobservable inputs.

1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

2 Collateral of $590,000 was received for securities on loan.

3 Securities with a value of $707,000 have been segregated as initial margin for open futures contracts.

4 The total value of securities on loan is $562,000.

 

 

 

Derivative Financial Instruments Outstanding as of Period End    
     
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index September 2020 66 11,546 707

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

9

 

Russell 1000 Index Fund

 

 

Statement of Assets and Liabilities

As of August 31, 2020

 

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $2,728,619) 4,191,778
Affiliated Issuers (Cost $4,493) 4,493
Total Investments in Securities 4,196,271
Investment in Vanguard 168
Receivables for Accrued Income 5,969
Receivables for Capital Shares Issued 867
Total Assets 4,203,275
Liabilities  
Due to Custodian 535
Collateral for Securities on Loan 590
Payables for Capital Shares Redeemed 435
Payables to Vanguard 149
Variation Margin Payable—Futures Contracts 16
Total Liabilities 1,725
Net Assets 4,201,550
   
   
At August 31, 2020, net assets consisted of:  
   
Paid-in Capital 2,815,074
Total Distributable Earnings (Loss) 1,386,476
Net Assets 4,201,550
   
ETF Shares—Net Assets  
Applicable to 10,400,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,678,194
Net Asset Value Per Share—ETF Shares $161.36
   
Institutional Shares—Net Assets  
Applicable to 8,072,451 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 2,523,356
Net Asset Value Per Share—Institutional Shares $312.59

 

 

 

 

 

 

 

 

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

 

10

 

Russell 1000 Index Fund

 

 

Statement of Operations

 

 

  Year Ended
  August 31, 2020
  ($000)
Investment Income  
Income  
Dividends 69,512
Interest1 154
Securities Lending—Net 166
Total Income 69,832
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 556
Management and Administrative—ETF Shares 676
Management and Administrative—Institutional Shares 1,103
Marketing and Distribution—ETF Shares 81
Marketing and Distribution—Institutional Shares 66
Custodian Fees 196
Auditing Fees 31
Shareholders’ Reports—ETF Shares 22
Shareholders’ Reports—Institutional Shares 2
Trustees’ Fees and Expenses 2
Total Expenses 2,735
Net Investment Income 67,097
Realized Net Gain (Loss)  
Investment Securities Sold1,2 83,737
Futures Contracts 423
Realized Net Gain (Loss) 84,160
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 624,397
Futures Contracts 705
Change in Unrealized Appreciation (Depreciation) 625,102
Net Increase (Decrease) in Net Assets Resulting from Operations 776,359

 

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $145,000, ($4,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $134,790,000 of net gain (loss) resulting from in-kind redemptions.

 

 

 

 

 

 

 

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

 

11

 

Russell 1000 Index Fund

 

 

Statement of Changes in Net Assets

 

 

  Year Ended August 31,
  2020 2019
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 67,097 58,249
Realized Net Gain (Loss) 84,160 148,119
Change in Unrealized Appreciation (Depreciation) 625,102 (95,786)
Net Increase (Decrease) in Net Assets Resulting from Operations 776,359 110,582
Distributions1    
ETF Shares (23,937) (18,678)
Institutional Shares (43,999) (38,353)
Total Distributions (67,936) (57,031)
Capital Share Transactions    
ETF Shares 210,407 157,814
Institutional Shares (236,257) 165,134
Net Increase (Decrease) from Capital Share Transactions (25,850) 322,948
Total Increase (Decrease) 682,573 376,499
Net Assets    
Beginning of Period 3,518,977 3,142,478
End of Period 4,201,550 3,518,977

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

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

 

12

 

Russell 1000 Index Fund

 

 

Financial Highlights

 

 

ETF Shares          
           
For a Share Outstanding Year Ended August 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $134.37 $133.57 $113.60 $99.81 $91.37
Investment Operations          
Net Investment Income 2.5251 2.3951 2.2091 2.0541 1.892
Net Realized and Unrealized Gain (Loss) on Investments 27.028 .759 19.896 13.753 8.383
Total from Investment Operations 29.553 3.154 22.105 15.807 10.275
Distributions          
Dividends from Net Investment Income (2.563) (2.354) (2.135) (2.017) (1.835)
Distributions from Realized Capital Gains
Total Distributions (2.563) (2.354) (2.135) (2.017) (1.835)
Net Asset Value, End of Period $161.36 $134.37 $133.57 $113.60 $99.81
           
Total Return 22.39% 2.45% 19.68% 16.02% 11.41%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,678 $1,196 $1,008 $724 $679
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 1.79% 1.85% 1.78% 1.94% 2.05%
Portfolio Turnover Rate2 9% 6% 9% 11% 9%

 

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.

 

13

 

Russell 1000 Index Fund

 

 

Financial Highlights

 

 

Institutional Shares          
           
For a Share Outstanding Year Ended August 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $260.26 $258.75 $220.06 $193.36 $176.99
Investment Operations          
Net Investment Income 4.9271 4.6451 4.3451 4.0801 3.732
Net Realized and Unrealized Gain (Loss) on Investments 52.362 1.483 38.573 26.609 16.259
Total from Investment Operations 57.289 6.128 42.918 30.689 19.991
Distributions          
Dividends from Net Investment Income (4.959) (4.618) (4.228) (3.989) (3.621)
Distributions from Realized Capital Gains
Total Distributions (4.959) (4.618) (4.228) (3.989) (3.621)
Net Asset Value, End of Period $312.59 $260.26 $258.75 $220.06 $193.36
           
Total Return 22.45% 2.45% 19.72% 16.06% 11.47%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,523 $2,323 $2,134 $2,014 $1,549
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.81% 1.86% 1.82% 1.98% 2.09%
Portfolio Turnover Rate2 9% 6% 9% 11% 9%

 

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.

 

14

 

Russell 1000 Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Russell 1000 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 Nasdaq; they can be purchased and sold through a broker.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

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

 

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

 

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

 

During the year ended August 31, 2020, 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.

 

15

 

Russell 1000 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 alternative rate agreed to by the fund and Vanguard.

 

16

 

Russell 1000 Index Fund

 

 

 

 

 

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the year ended August 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

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

 

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

 

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

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2020, the fund had contributed to Vanguard capital in the amount of $168,000, 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 1Quoted prices in active markets for identical securities.

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

Level 3Significant 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.

 

17

 

Russell 1000 Index Fund

 

 

 

 

 

 

The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2020, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
Common Stocks 4,190,908 4,190,908
Temporary Cash Investments 4,493 870 5,363
Total 4,195,401 870 4,196,271
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 16 16

 

1 Represents variation margin on the last day of the reporting period.

 

 

D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

 

  Amount
  ($000)
Paid-in Capital 134,815
Total Distributable Earnings (Loss) (134,815)

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 12,260
Undistributed Long-term Gains
Capital Loss Carryforwards (88,954)
Qualified Late-Year Losses
Net Unrealized Gains (Losses) 1,463,170

 

18

 

Russell 1000 Index Fund

 

 

 

 

 

 

The tax character of distributions paid was as follows:

 

  Year Ended August 31,
  2020 2019
  Amount Amount
  ($000) ($000)
Ordinary Income* 67,936 57,031
Long-Term Capital Gains
Total 67,936 57,031

 

* Includes short-term capital gains, if any.

 

As of August 31, 2020, 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 2,733,102
Gross Unrealized Appreciation 1,711,816
Gross Unrealized Depreciation (248,646)
Net Unrealized Appreciation (Depreciation) 1,463,170

 

 

E.  During the year ended August 31, 2020, the fund purchased $613,408,000 of investment securities and sold $636,508,000 of investment securities, other than temporary cash investments. Purchases and sales include $288,742,000 and $272,047,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

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

 

  Year Ended August 31,
  2020   2019
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
ETF Shares          
Issued 484,207 3,500   478,030 3,800
Issued in Lieu of Cash Distributions  
Redeemed (273,800) (2,000)   (320,216) (2,450)
Net Increase (Decrease)—ETF Shares 210,407 1,500   157,814 1,350
Institutional Shares          
Issued 264,170 1,009   501,900 2,013
Issued in Lieu of Cash Distributions 42,228 165   35,811 143
Redeemed (542,655) (2,028)   (372,577) (1,478)
Net Increase (Decrease)—Institutional Shares (236,257) (854)   165,134 678

 

G.  Management has determined that no events or transactions occurred subsequent to August 31, 2020, that would require recognition or disclosure in these financial statements.

 

19

 

Russell 1000 Value Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

Cumulative Performance: September 20, 2010, Through August 31, 2020

Initial Investment of $10,000

 

 

    Average Annual Total Returns  
    Periods Ended August 31, 2020  
        Since Final Value
    One Five Inception of a $10,000
    Year Years (9/20/2010) Investment
Russell 1000 Value Index Fund ETF Shares Net Asset Value 0.75% 7.41% 10.07% $25,972
  Russell 1000 Value Index Fund ETF Shares Market Price 0.82 7.42 10.08 25,987
Russell 1000 Value Index 0.84 7.53 10.21 26,297
Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 13.77 13.96 36,668

 

“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

 

      Since Final Value
  One Five Inception of a $5,000,000
  Year Years (12/10/2010) Investment
Russell 1000 Value Index Fund Institutional Shares 0.81% 7.45% 9.54% $12,130,157
Russell 1000 Value Index 0.84 7.53 9.63 12,220,171
Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 13.77 13.16 16,641,749

 

“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.

 

 

 

See Financial Highlights for dividend and capital gains information.

  

20

Russell 1000 Value Index Fund

 

 

 

  

 

 

Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2020

 

      Since
  One Five Inception
  Year Years (9/20/2010)
Russell 1000 Value Index Fund ETF Shares Market Price 0.82% 43.03% 159.87%
Russell 1000 Value Index Fund ETF Shares Net Asset Value 0.75 42.99 159.72
Russell 1000 Value Index 0.84 43.78 162.97

 

“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

21

Russell 1000 Value Index Fund

 

 

Fund Allocation

As of August 31, 2020

 

Consumer Discretionary 12.7%
Consumer Staples 7.7
Energy 4.6
Financial Services 24.6
Health Care 13.6
Materials & Processing 5.3
Producer Durables 11.9
Technology 10.3
Utilities 9.3

 

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS 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, at-tempting to remain fully invested and tracking its target index as closely as possible.

 

22

Russell 1000 Value Index Fund

 

 

 

Financial Statements

 

 

 

Schedule of Investments—Investments Summary

As of August 31, 2020

 

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

 

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

 

        Market   Percentage  
        Value·   of Net  
    Shares   ($000 )  Assets  
Common Stocks            
Consumer Discretionary            
  Walt Disney Co. 457,406   60,318   1.6%  
  Comcast Corp. Class A 1,146,804   51,388   1.3%  
  Walmart Inc. 307,535   42,701   1.1%  
  Home Depot Inc. 135,966   38,756   1.0%  
  McDonald’s Corp. 161,439   34,470   0.9%  
  Target Corp. 126,520   19,131   0.5%  
  Consumer Discretionary—Other     243,966   6.3%  
        490,730   12.7%  
Consumer Staples            
  Procter & Gamble Co. 340,843   47,149   1.2%  
  Philip Morris International Inc. 393,767   31,419   0.8%  
  Mondelez International Inc. Class A 357,074   20,860   0.6%  
  CVS Health Corp. 330,839   20,552   0.5%  
  Coca-Cola Co. 403,938   20,007   0.5%  
  Colgate-Palmolive Co. 213,210   16,899   0.4%  
  Consumer Staples—Other     137,703   3.6%  
        294,589   7.6%  
Energy            
  Exxon Mobil Corp. 1,071,128   42,781   1.1%  
  Chevron Corp. 473,120   39,709   1.0%  
  Energy—Other     95,761   2.5%  
      178,251   4.6%  
Financial Services            
* Berkshire Hathaway Inc. Class B 493,294   107,558   2.8%  
  JPMorgan Chase & Co. 766,471   76,793   2.0%  
  Bank of America Corp. 1,957,343   50,382   1.3%  
  Citigroup Inc. 527,131   26,947   0.7%  
  Fidelity National Information Services Inc. 156,196   23,562   0.6%  
  Wells Fargo & Co. 950,460   22,954   0.6%  

 

23

Russell 1000 Value Index Fund

 

 

        Market   Percentage  
        Value·   of Net  
    Shares   ($000 ) Assets  
  BlackRock Inc. 37,236   22,125   0.6%  
  Prologis Inc. 186,201   18,966   0.5%  
  Goldman Sachs Group Inc. 83,863   17,181   0.5%  
  American Express Co. 165,468   16,810   0.4%  
  Financial Services—Other     562,044   14.6%  
        945,322   24.6%  
Health Care            
  Johnson & Johnson 577,816   88,643   2.3%  
  Pfizer Inc. 1,407,314   53,182   1.4%  
  Medtronic plc 339,398   36,475   0.9%  
  Danaher Corp. 158,364   32,697   0.8%  
  Abbott Laboratories 269,365   29,487   0.8%  
  Bristol-Myers Squibb Co. 364,994   22,703   0.6%  
  Gilead Sciences Inc. 317,793   21,213   0.6%  
  Thermo Fisher Scientific Inc. 41,261   17,700   0.5%  
  Becton Dickinson and Co. 68,262   16,572   0.4%  
  Health Care—Other     204,245   5.3%  
        522,917   13.6%  
Materials & Processing            
  Linde plc 132,889   33,188   0.9%  
  Materials & Processing—Other     169,996   4.4%  
        203,184   5.3%  
Producer Durables            
  Honeywell International Inc. 177,688   29,416   0.8%  
  Boeing Co. 135,140   23,220   0.6%  
  Raytheon Technologies Corp. 360,774   22,007   0.6%  
  Caterpillar Inc. 137,028   19,500   0.5%  
  Union Pacific Corp. 84,114   16,187   0.4%  
  Producer Durables—Other     346,712   9.0%  
        457,042   11.9%  
Technology            
  Intel Corp. 1,072,699   54,654   1.4%  
  Cisco Systems Inc. 1,074,408   45,361   1.2%  
  International Business Machines Corp. 224,803   27,720   0.7%  
* Alphabet Inc. Class A 16,971   27,655   0.7%  
* Alphabet Inc. Class C 16,840   27,520   0.7%  
  Texas Instruments Inc. 116,580   16,572   0.5%  
  Technology—Other     197,207   5.1%  
        396,689   10.3%  
Utilities            
  Verizon Communications Inc. 1,048,186   62,126   1.6%  
  AT&T Inc. 1,804,559   53,794   1.4%  
  NextEra Energy Inc. 123,786   34,557   0.9%  
  Dominion Energy Inc. 212,073   16,635   0.4%  
* T-Mobile US Inc. 139,151   16,236   0.4%  
  Utilities—Other     174,867   4.6%  
        358,215   9.3%  
Total Common Stocks (Cost $3,635,834)     3,846,939   99.9%  

 

24

Russell 1000 Value Index Fund

 

 

          Market   Percentage  
          Value·   of Net  
    Coupon Shares   ($000 ) Assets  
Temporary Cash Investments              
Money Market Fund              
1,2 Vanguard Market Liquidity Fund 0.147% 17,768   1,777   0.0%  
                 
3U.S. Government and Agency Obligations       450   0.0%  
Total Temporary Cash Investments (Cost $2,226)       2,227   0.0%  
4Total Investments (Cost $3,638,060)       3,849,166   99.9%  
Other Assets and Liabilities—Net       3,662   0.01%  
Net Assets       3,852,828   100.0%  

 

 

Cost is in $000.

 

· See Note A in Notes to Financial Statements.

 

* Non-income-producing security.

 

Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

 

1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

 

2 Collateral of $1,777,000 was received for securities on loan.

 

3 Securities with a value of $22,000 have been segregated as initial margin for open futures contracts.

 

4 The total value of securities on loan is $1,574,000.

 

25

Russell 1000 Value Index Fund

 

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts            
          ($000 )
          Value and  
    Number of     Unrealized  
    Long (Short ) Notional Appreciation  
  Expiration Contracts   Amount (Depreciation )
Long Futures Contracts            
E-mini S&P 500 Index September 2020 3   525 4  

 

 

Over-the-Counter Total Return Swaps                  
          Floating          
          Interest          
          Rate   Value and   Value and  
      Notional   Received   Unrealized   Unrealized  
  Termination   Amount   (Paid )1 Appreciation   (Depreciation )
Reference Entity Date Counterparty ($000 ) (% ) ($000 ) ($000 )
Walmart Inc. 9/2/20 BOANA 5,823   (0.155 ) 449    
Walmart Inc. 9/2/21 BOANA 6,248   (0.157 )    

 

1 Based on 1-month USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.

 

BOANA—Bank of America, N.A.

 

At August 31, 2020, a counterparty had deposited in a segregated account securities with a value of $532,000 in connection with open over-the-counter swap contracts.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

26

 

Russell 1000 Value Index Fund

 

 

 

Statement of Assets and Liabilities

As of August 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $3,636,284) 3,847,389
Affiliated Issuers (Cost $1,776) 1,777
Total Investments in Securities 3,849,166
Investment in Vanguard 162
Receivables for Accrued Income 8,777
Receivables for Capital Shares Issued 547
Unrealized Appreciation—Over-the-Counter Swap Contracts 449
Total Assets 3,859,101
Liabilities  
Due to Custodian 3,765
Collateral for Securities on Loan 1,777
Payables for Capital Shares Redeemed 586
Payables to Vanguard 145
Variation Margin Payable—Futures Contracts
Total Liabilities 6,273
Net Assets 3,852,828
   
   
At August 31, 2020, net assets consisted of:  
   
Paid-in Capital 4,024,185
Total Distributable Earnings (Loss) (171,357)
Net Assets 3,852,828
   
ETF Shares—Net Assets  
Applicable to 24,725,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 2,646,241
Net Asset Value Per Share—ETF Shares $107.03
   
Institutional Shares—Net Assets  
Applicable to 5,773,070 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 1,206,587
Net Asset Value Per Share—Institutional Shares $209.00

 

 

 

 

 

 

 

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

 

27

 

Russell 1000 Value Index Fund

 

 

 

Statement of Operations

 

 

  Year Ended
  August 31, 2020
  ($000)
Investment Income  
Income  
Dividends 103,304
Interest1 34
Securities Lending—Net 293
Total Income 103,631
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 572
Management and Administrative—ETF Shares 1,052
Management and Administrative—Institutional Shares 669
Marketing and Distribution—ETF Shares 137
Marketing and Distribution—Institutional Shares 60
Custodian Fees 325
Auditing Fees 31
Shareholders’ Reports—ETF Shares 40
Shareholders’ Reports—Institutional Shares 4
Trustees’ Fees and Expenses 2
Total Expenses 2,892
Net Investment Income 100,739
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (100,926)
Futures Contracts 865
Swap Contracts 19
Realized Net Gain (Loss) (100,042)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 59,087
Futures Contracts (7)
Swap Contracts 449
Change in Unrealized Appreciation (Depreciation) 59,529
Net Increase (Decrease) in Net Assets Resulting from Operations 60,226

 

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $29,000, ($11,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.

 

2 Includes $219,756,000 of net gain (loss) resulting from in-kind redemptions.

 

 

 

 

 

 

 

 

 

 

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

 

28

 

Russell 1000 Value Index Fund

 

 

 

Statement of Changes in Net Assets

 

 

  Year Ended August 31,
  2020 2019
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 100,739 86,224
Realized Net Gain (Loss) (100,042) 224,418
Change in Unrealized Appreciation (Depreciation) 59,529 (270,040)
Net Increase (Decrease) in Net Assets Resulting from Operations 60,226 40,602
Distributions1    
ETF Shares (60,505) (41,769)
Institutional Shares (42,607) (39,827)
Total Distributions (103,112) (81,596)
Capital Share Transactions    
ETF Shares 674,867 447,077
Institutional Shares (582,146) 306,866
Net Increase (Decrease) from Capital Share Transactions 92,721 753,943
Total Increase (Decrease) 49,835 712,949
Net Assets    
Beginning of Period 3,802,993 3,090,044
End of Period 3,852,828 3,802,993

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

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

 

29

 

Russell 1000 Value Index Fund

 

 

 

Financial Highlights

 

 

ETF Shares          
           
For a Share Outstanding     Year Ended August 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $109.22 $111.20 $101.32 $93.14 $84.77
Investment Operations          
Net Investment Income 2.8151 2.7131 2.5221 2.4371 2.205
Net Realized and Unrealized Gain (Loss) on Investments (2.121) (2.107) 9.836 8.109 8.312
Total from Investment Operations .694 .606 12.358 10.546 10.517
Distributions          
Dividends from Net Investment Income (2.884) (2.586) (2.478) (2.366) (2.147)
Distributions from Realized Capital Gains
Total Distributions (2.884) (2.586) (2.478) (2.366) (2.147)
Net Asset Value, End of Period $107.03 $109.22 $111.20 $101.32 $93.14
           
Total Return 0.75% 0.60% 12.36% 11.45% 12.65%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $2,646 $1,914 $1,487 $1,153 $668
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.12% 0.12% 0.12%
Ratio of Net Investment Income to Average Net Assets 2.65% 2.51% 2.35% 2.48% 2.58%
Portfolio Turnover Rate2 24% 17% 16% 22% 18%

 

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.

 

30

 

Russell 1000 Value Index Fund

 

 

 

Financial Highlights

 

 

Institutional Shares          
           
For a Share Outstanding     Year Ended August 31,
Throughout Each Period 2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $213.25 $217.14 $197.85 $181.86 $165.50
Investment Operations          
Net Investment Income 5.5941 5.2941 4.9781 4.8501 4.359
Net Realized and Unrealized Gain (Loss) on Investments (4.226) (4.087) 19.227 15.821 16.249
Total from Investment Operations 1.368 1.207 24.205 20.671 20.608
Distributions          
Dividends from Net Investment Income (5.618) (5.097) (4.915) (4.681) (4.248)
Distributions from Realized Capital Gains
Total Distributions (5.618) (5.097) (4.915) (4.681) (4.248)
Net Asset Value, End of Period $209.00 $213.25 $217.14 $197.85 $181.86
           
Total Return 0.81% 0.61% 12.39% 11.49% 12.72%
           
Ratios/Supplemental Data          
Net Assets, End of Period (Millions) $1,207 $1,889 $1,603 $1,541 $1,485
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.64% 2.52% 2.39% 2.52% 2.62%
Portfolio Turnover Rate2 24% 17% 16% 22% 18%

 

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.

 

31

 

 

Russell 1000 Value Index Fund

 

 

 

Notes to Financial Statements

 

 

Vanguard Russell 1000 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 Nasdaq; they can be purchased and sold through a broker.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

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

 

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

 

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

 

During the year ended August 31, 2020, 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.

 

32

 

Russell 1000 Value Index Fund

 

 

 

 

3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.

 

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

 

The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.

 

During the year ended August 31, 2020, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

 

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is 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.

 

33

 

Russell 1000 Value Index Fund

 

 

 

 

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

 

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

 

7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans

 

34

 

Russell 1000 Value Index Fund

 

 

 

 

may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the year ended August 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

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

 

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

 

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

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2020, the fund had contributed to Vanguard capital in the amount of $162,000, 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 1Quoted prices in active markets for identical securities.

Level 2Other 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.

 

35

 

Russell 1000 Value Index Fund

 

 

 

 

The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2020, based on the inputs used to value them:

 

  Level 1   Level 2   Level 3   Total  
  ($000 ) ($000 ) ($000 ) ($000 )
Investments                
Assets                
Common Stocks 3,846,939       3,846,939  
Temporary Cash Investments 1,777   450     2,227  
Total 3,848,716   450     3,849,166  
Derivative Financial Instruments                
Assets                
Swap Contracts   449     449  
Liabilities                
Futures Contracts1        

 

1 Represents variation margin on the last day of the reporting period.

 

D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and swap agreements were reclassified between the following accounts:

 

  Amount  
  ($000 )
Paid-in Capital 219,839  
Total Distributable Earnings (Loss) (219,839 )

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; and the classification of securities for tax purposes. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount  
  ($000 )
Undistributed Ordinary Income 18,717  
Undistributed Long-term Gains  
Capital Loss Carryforwards (401,214 )
Qualified Late-Year Losses  
Net Unrealized Gains (Losses) 211,140  

 

36

  

Russell 1000 Value Index Fund

 

 

 

 

The tax character of distributions paid was as follows:

 

    Year Ended August 31,  
    2020   2019  
    Amount   Amount  
    ($000 ) ($000 )
Ordinary Income *   103,112   81,596  
Long-Term Capital Gains      
Total   103,112   81,596  

 

* Includes short-term capital gains, if any.

 

As of August 31, 2020, 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 3,638,026  
Gross Unrealized Appreciation 567,668  
Gross Unrealized Depreciation (356,528 )
Net Unrealized Appreciation (Depreciation) 211,140  

 

E. During the year ended August 31, 2020, the fund purchased $1,966,015,000 of investment securities and sold $1,876,668,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,052,802,000 and $788,933,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2020, such purchases and sales were $416,847,000 and $113,291,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

 

37

 

Russell 1000 Value Index Fund

 

 

 

 

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

 

            Year Ended August 31,  
      2020         2019  
  Amount   Shares     Amount   Shares  
  ($000 ) (000 )   ($000 ) (000 )
ETF Shares                  
Issued 1,468,858   14,775     1,270,748   11,700  
Issued in Lieu of Cash Distributions          
Redeemed (793,991 ) (7,575 )   (823,671 ) (7,550 )
Net Increase (Decrease)—ETF Shares 674,867   7,200     447,077   4,150  
Institutional Shares                  
Issued 342,811   1,698     634,913   3,030  
Issued in Lieu of Cash Distributions 38,347   191     36,445   173  
Redeemed (963,304 ) (4,974 )   (364,492 ) (1,727 )
Net Increase (Decrease)—Institutional Shares (582,146 ) (3,085 )   306,866   1,476  

 

 

G. Management has determined that no events or transactions occurred subsequent to August 31, 2020, that would require recognition or disclosure in these financial statements.

 

38

 

 

Russell 1000 Growth Index Fund

 

 

Performance Summary

 

 

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

 

 

Cumulative Performance: September 20, 2010, Through August 31, 2020

Initial Investment of $10,000

 

 

 

    Average Annual Total Returns  
    Periods Ended August 31, 2020  
        Since Final Value
    One Five Inception of a $10,000
    Year Years (9/20/2010) Investment
Russell 1000 Growth Index Fund ETF        
Shares Net Asset Value 44.18% 20.54% 17.87% $51,303
  Russell 1000 Growth Index Fund ETF        
Shares Market Price 44.38 20.54 17.88 51,334
Russell 1000 Growth Index 44.34 20.66 18.02 51,960
Dow Jones U.S. Total Stock Market        
Float Adjusted Index 21.20 13.77 13.96 36,668
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
 
 
 
        Since Final Value
    One Five Inception of a $5,000,000
    Year Years (12/6/2010) Investment
Russell 1000 Growth Index Fund Institutional Shares 44.24% 20.58% 17.12% $23,292,992
Russell 1000 Growth Index 44.34 20.66 17.22 23,476,337
Dow Jones U.S. Total Stock Market Float Adjusted Index 21.20 13.77 13.31 16,877,403

 

“Since Inception” performance is calculated from the Institutional Shares’ inception date for both the fund and its comparative standards.

 

 

 

See Financial Highlights for dividend and capital gains information.

 

39

 

Russell 1000 Growth Index Fund

 

 

 

 

 

 

 

Cumulative Returns of ETF Shares: September 20, 2010, Through August 31, 2020

 

      Since
  One Five Inception
  Year Years (9/20/2010)
Russell 1000 Growth Index Fund ETF Shares Market Price 44.38% 154.52% 413.34%
Russell 1000 Growth Index Fund ETF Shares Net Asset Value 44.18 154.45 413.03
Russell 1000 Growth Index 44.34 155.74 419.60

 

“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.

 

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.

 

40

 

Russell 1000 Growth Index Fund

 

 

Fund Allocation

As of August 31, 2020

 

Consumer Discretionary 20.4%
Consumer Staples 3.7
Energy 0.2
Financial Services 9.8
Health Care 13.2
Materials & Processing 1.0
Producer Durables 5.4
Technology 46.3
Utilities 0.0

 

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Russell Global Sectors (“RGS”), except for the “Other” category (if applicable), which includes securities that have not been provided a RGS 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.

 

41

 

Russell 1000 Growth Index Fund

 

 

Financial Statements

 

 

Schedule of Investments—Investments Summary

As of August 31, 2020

 

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

 

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

 

        Market Percentage
        Value· of Net
    Shares   ($000) Assets
Common Stocks        
Consumer Discretionary        
* Amazon.com Inc. 207,375   715,643 8.4%
* Tesla Inc. 361,604   180,194 2.1%
* Netflix Inc. 207,989   110,143 1.3%
  Home Depot Inc. 262,632   74,861 0.9%
  NIKE Inc. Class B 592,407   66,284 0.8%
  Costco Wholesale Corp. 190,529   66,239 0.8%
  Lowe’s Cos. Inc. 369,566   60,864 0.7%
* Charter Communications Inc. Class A 66,038   40,654 0.5%
* Booking Holdings Inc. 19,983   38,177 0.4%
  Consumer Discretionary—Other †     377,997 4.5%
        1,731,056 20.4%
Consumer Staples        
  Procter & Gamble Co. 532,587   73,673 0.9%
  PepsiCo Inc. 498,113   69,766 0.8%
  Coca-Cola Co. 1,109,633   54,960 0.6%
  Consumer Staples—Other †     111,091 1.3%
        309,490 3.6%
           
Energy     15,345 0.2%
         
Financial Services        
  Visa Inc. Class A 825,702   175,041 2.1%
  Mastercard Inc. Class A 431,429   154,534 1.8%
* PayPal Holdings Inc. 574,331   117,244 1.4%
  American Tower Corp. 215,698   53,741 0.6%
  Equinix Inc. 42,964   33,932 0.4%
  Crown Castle International Corp. 189,532   30,941 0.4%
* Square Inc. 176,561   28,172 0.3%
  Financial Services—Other †     240,455 2.8%
        834,060 9.8%

 

42

 

Russell 1000 Growth Index Fund

 

 

      Market Percentage
      Value· of Net
    Shares ($000) Assets
Health Care      
  UnitedHealth Group Inc. 384,064 120,039 1.4%
  Merck & Co. Inc. 1,079,819 92,076 1.1%
  AbbVie Inc. 809,951 77,569 0.9%
  Amgen Inc. 287,901 72,931 0.9%
  Eli Lilly and Co. 411,923 61,125 0.7%
  Thermo Fisher Scientific Inc. 113,367 48,632 0.6%
* Intuitive Surgical Inc. 56,588 41,357 0.5%
  Abbott Laboratories 324,524 35,526 0.4%
* Vertex Pharmaceuticals Inc. 126,971 35,440 0.4%
  Zoetis Inc. 210,345 33,676 0.4%
* Regeneron Pharmaceuticals Inc. 47,287 29,315 0.3%
  Health Care—Other †   475,205 5.6%
      1,122,891 13.2%
         
Materials & Processing   86,783 1.0%
       
Producer Durables      
  Accenture plc Class A 311,682 74,782 0.9%
  Lockheed Martin Corp. 121,002 47,222 0.6%
  United Parcel Service Inc. Class B 227,580 37,237 0.4%
  Union Pacific Corp. 169,311 32,582 0.4%
  3M Co. 181,359 29,565 0.3%
  Producer Durables—Other †   234,936 2.8%
      456,324 5.4%
         
Technology      
  Apple Inc. 8,001,002 1,032,449 12.2%
  Microsoft Corp. 3,662,330 825,965 9.7%
* Facebook Inc. Class A 1,174,370 344,325 4.0%
* Alphabet Inc. Class A 113,916 185,630 2.2%
* Alphabet Inc. Class C 112,461 183,781 2.2%
  NVIDIA Corp. 288,700 154,449 1.8%
* Adobe Inc. 235,264 120,782 1.4%
* salesforce.com Inc. 392,643 107,054 1.3%
  QUALCOMM Inc. 550,379 65,550 0.8%
  Broadcom Inc. 180,968 62,823 0.7%
  Oracle Corp. 849,426 48,604 0.6%
* Advanced Micro Devices Inc. 530,263 48,158 0.6%
* ServiceNow Inc. 92,929 44,794 0.5%
  Intuit Inc. 123,168 42,541 0.5%
  Texas Instruments Inc. 223,617 31,787 0.4%
  Technology—Other   629,626 7.4%
      3,928,318 46.3%
         
Utilities   1,413 0.0%
Total Common Stocks (Cost $4,876,602)   8,485,680 99.9%

 

43

 

Russell 1000 Growth Index Fund

 

 

      Market Percentage
      Value· of Net
  Coupon Shares ($000) Assets
Temporary Cash Investments        
Money Market Fund        
1,2 Vanguard Market Liquidity Fund 0.147% 15,804 1,580 0.0%
         
3U.S. Government and Agency Obligations     371 0.0%
Total Temporary Cash Investments (Cost $1,951)     1,951 0.0%
4Total Investments (Cost $4,878,553)     8,487,631 99.9%
Other Assets and Liabilities—Net     5,128 0.1%
Net Assets     8,492,759 100.0%

 

Cost is in $000.

· See Note A in Notes to Financial Statements.

* Non-income-producing security.

Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

2 Collateral of $752,000 was received for securities on loan.

3 Securities with a value of $371,000 have been segregated as initial margin for open futures contracts.

4 The total value of securities on loan is $709,000.

 

 

 

Derivative Financial Instruments Outstanding as of Period End
 
Futures Contracts        
        ($000)
        Value and
    Number of   Unrealized
    Long (Short) Notional Appreciation
  Expiration Contracts Amount (Depreciation)
Long Futures Contracts        
E-mini S&P 500 Index September 2020 42 7,348 112

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

44

 

Russell 1000 Growth Index Fund

 

 

Statement of Assets and Liabilities 

As of August 31, 2020

 

($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $4,876,973) 8,486,051
Affiliated Issuers (Cost $1,580) 1,580
Total Investments in Securities 8,487,631
Investment in Vanguard 336
Cash Collateral Pledged—Futures Contracts 145
Receivables for Accrued Income 5,588
Receivables for Capital Shares Issued 16,682
Total Assets 8,510,382
Liabilities  
Due to Custodian 164
Payables for Investment Securities Purchased 15,798
Collateral for Securities on Loan 752
Payables for Capital Shares Redeemed 594
Payables to Vanguard 303
Variation Margin Payable—Futures Contracts 12
Total Liabilities 17,623
Net Assets 8,492,759
   
At August 31, 2020, net assets consisted of:  
   
Paid-in Capital 5,158,274
Total Distributable Earnings (Loss) 3,334,485
Net Assets 8,492,759
   
ETF Shares—Net Assets  
Applicable to 21,101,711 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 4,950,947
Net Asset Value Per Share—ETF Shares $234.62
   
Institutional Shares—Net Assets  
Applicable to 7,850,580 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 3,541,812
Net Asset Value Per Share—Institutional Shares $451.15

 

 

 

 

 

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

 

45

 

Russell 1000 Growth Index Fund

 

 

Statement of Operations

 

 

  Year Ended
  August 31, 2020
  ($000)
Investment Income  
Income  
Dividends 74,860
Interest1 104
Securities Lending—Net 162
Total Income 75,126
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 999
Management and Administrative—ETF Shares 1,904
Management and Administrative—Institutional Shares 1,521
Marketing and Distribution—ETF Shares 216
Marketing and Distribution—Institutional Shares 101
Custodian Fees 173
Auditing Fees 31
Shareholders’ Reports—ETF Shares 79
Shareholders’ Reports—Institutional Shares 7
Trustees’ Fees and Expenses 4
Total Expenses 5,035
Net Investment Income 70,091
Realized Net Gain (Loss)  
Investment Securities Sold1,2 567,617
Futures Contracts (1,796)
Realized Net Gain (Loss) 565,821
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 2,018,301
Futures Contracts 118
Change in Unrealized Appreciation (Depreciation) 2,018,419
Net Increase (Decrease) in Net Assets Resulting from Operations 2,654,331

 

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $94,000, $7,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $706,581,000 of net gain (loss) resulting from in-kind redemptions.

 

 

 

 

 

 

 

 

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

 

46

 

Russell 1000 Growth Index Fund

 

 

Statement of Changes in Net Assets

 

 

  Year Ended August 31,
  2020 2019
  ($000) ($000)
Increase (Decrease) in Net Assets    
Operations    
Net Investment Income 70,091 66,842
Realized Net Gain (Loss) 565,821 266,693
Change in Unrealized Appreciation (Depreciation) 2,018,419 (81,179)
Net Increase (Decrease) in Net Assets Resulting from Operations 2,654,331 252,356
Distributions1    
ETF Shares (38,092) (24,807)
Institutional Shares (34,009) (32,305)
Total Distributions (72,101) (57,112)
Capital Share Transactions    
ETF Shares 645,864 683,781
Institutional Shares (683,204) (195,359)
Net Increase (Decrease) from Capital Share Transactions (37,340) 488,422
Total Increase (Decrease) 2,544,890 683,666
Net Assets    
Beginning of Period 5,947,869 5,264,203
End of Period 8,492,759 5,947,869

 

1 Certain prior period numbers have been reclassified to conform with current period presentation.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

47

 

Russell 1000 Growth Index Fund

 

 

Financial Highlights

 

 

ETF Shares            
             
For a Share Outstanding     Year Ended August 31,  
Throughout Each Period 2020 2019 2018 2017 2016  
Net Asset Value, Beginning of Period $164.56 $159.56 $127.08 $106.90 $98.24  
Investment Operations            
Net Investment Income 1.9001 1.9221 1.7621 1.6841 1.602  
Net Realized and Unrealized Gain (Loss) on Investments 70.098 4.711 32.386 20.177 8.556  
Total from Investment Operations 71.998 6.633 34.148 21.861 10.158  
Distributions            
Dividends from Net Investment Income (1.938) (1.633) (1.668) (1.681) (1.498)  
Distributions from Realized Capital Gains  
Total Distributions (1.938) (1.633) (1.668) (1.681) (1.498)  
Net Asset Value, End of Period $234.62 $164.56 $159.56 $127.08 $106.90  
             
Total Return 44.18% 4.20% 27.09% 20.66% 10.44%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,951 $2,872 $2,083 $1,319 $738  
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.12% 0.12% 0.12%  
Ratio of Net Investment Income to Average Net Assets 1.04% 1.25% 1.24% 1.45% 1.60%  
Portfolio Turnover Rate2 14% 17% 15% 21% 15%  

 

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.

 

48

 

Russell 1000 Growth Index Fund

 

 

Financial Highlights

 

 

Institutional Shares            
             
For a Share Outstanding     Year Ended August 31,  
Throughout Each Period 2020 2019 2018 2017 2016  
Net Asset Value, Beginning of Period $316.39 $306.82 $244.34 $205.53 $188.88  
Investment Operations            
Net Investment Income 3.6951 3.7111 3.4851 3.2911 3.147  
Net Realized and Unrealized Gain (Loss) on Investments 134.792 9.061 62.293 38.832 16.449  
Total from Investment Operations 138.487 12.772 65.778 42.123 19.596  
Distributions            
Dividends from Net Investment Income (3.727) (3.202) (3.298) (3.313) (2.946)  
Distributions from Realized Capital Gains  
Total Distributions (3.727) (3.202) (3.298) (3.313) (2.946)  
Net Asset Value, End of Period $451.15 $316.39 $306.82 $244.34 $205.53  
             
Total Return 44.24% 4.21% 27.14% 20.72% 10.48%  
             
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,542 $3,076 $3,182 $2,476 $1,989  
Ratio of Total Expenses to Average Net Assets 0.07% 0.07% 0.08% 0.08% 0.08%  
Ratio of Net Investment Income to 1.06% 1.26% 1.28% 1.49% 1.64%  
Average Net Assets            
Portfolio Turnover Rate2 14% 17% 15% 21% 15%  

 

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.

 

49

 

Russell 1000 Growth Index Fund

 

 

Notes to Financial Statements

 

 

Vanguard Russell 1000 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 Nasdaq; they can be purchased and sold through a broker.

 

Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.

 

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

 

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

 

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

 

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

 

During the year ended August 31, 2020, 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.

 

50

 

Russell 1000 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 alternative rate agreed to by the fund and Vanguard.

 

51

 

Russell 1000 Growth Index Fund

 

 

 

 

 

 

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

 

For the year ended August 31, 2020, the fund did not utilize the credit facilities or the Interfund Lending Program.

 

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

 

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

 

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

 

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At August 31, 2020, the fund had contributed to Vanguard capital in the amount of $336,000, representing less than 0.01% of the fund’s net assets and 0.13% 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.

 

52

 

Russell 1000 Growth Index Fund

 

 

 

 

 

 

The following table summarizes the market value of the fund’s investments and derivatives as of August 31, 2020, based on the inputs used to value them:

 

  Level 1 Level 2 Level 3 Total
  ($000) ($000) ($000) ($000)
Investments        
Assets        
Common Stocks 8,485,680 8,485,680
Temporary Cash Investments 1,580 371 1,951
Total 8,487,260 371 8,487,631
Derivative Financial Instruments        
Assets        
Futures Contracts1 12 12

 

1 Represents variation margin on the last day of the reporting period.

 

 

D.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:

 

  Amount
  ($000)
Paid-in Capital 706,536
Total Distributable Earnings (Loss) (706,536)

 

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; and the recognition of unrealized gains or losses from certain derivative contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

 

  Amount
  ($000)
Undistributed Ordinary Income 11,306
Undistributed Long-term Gains
Capital Loss Carryforwards (285,899)
Qualified Late-Year Losses
Net Unrealized Gains (Losses) 3,609,078

 

53

 

Russell 1000 Growth Index Fund

 

 

 

 

 

 

The tax character of distributions paid was as follows:

 

  Year Ended August 31,
  2020 2019
  Amount Amount
  ($000) ($000)
Ordinary Income* 72,101 57,112
Long-Term Capital Gains
Total 72,101 57,112

 

* Includes short-term capital gains, if any.

 

As of August 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

  Amount
  ($000)
Tax Cost 4,878,553
Gross Unrealized Appreciation 3,643,686
Gross Unrealized Depreciation (34,608)
Net Unrealized Appreciation (Depreciation) 3,609,078

 

E.  During the year ended August 31, 2020, the fund purchased $2,292,677,000 of investment securities and sold $2,340,816,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,324,066,000 and $1,383,646,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

 

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended August 31, 2020, such purchases and sales were $180,489,000 and $394,227,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

 

54

 

Russell 1000 Growth Index Fund

 

 

 

 

 

 

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

 

        Year Ended August 31,
    2020     2019
  Amount Shares   Amount Shares
  ($000) (000)   ($000) (000)
ETF Shares          
Issued 2,042,520 11,050   1,469,861 9,450
Issued in Lieu of Cash Distributions  
Redeemed (1,396,656) (7,400)   (786,080) (5,050)
Net Increase (Decrease)—ETF Shares 645,864 3,650   683,781 4,400
Institutional Shares          
Issued 490,711 1,343   493,524 1,733
Issued in Lieu of Cash Distributions 30,560 94   28,976 95
Redeemed (1,204,475) (3,309)   (717,859) (2,475)
Net Increase (Decrease)—Institutional Shares (683,204) (1,872)   (195,359) (647)

 

G.  Management has determined that no events or transactions occurred subsequent to August 31, 2020, that would require recognition or disclosure in these financial statements.

 

55

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Vanguard Scottsdale Funds and Shareholders of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund

 

Opinions on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments—investments summary, of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund and Vanguard Russell 1000 Growth Index Fund (three of the funds constituting Vanguard Scottsdale Funds, hereafter collectively referred to as the “Funds”) as of August 31, 2020, the related statements of operations for the year ended August 31, 2020, the statements of changes in net assets for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2020 and each of the financial highlights for each of the five years in the period ended August 31, 2020 in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinions

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

 

 

 

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

October 19, 2020

 

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

 

56

 

 

Special 2020 tax information (unaudited) for Vanguard Russell 1000 Index Funds

 

This information for the fiscal year ended August 31, 2020, is included pursuant to provisions of the Internal Revenue Code.

 

The funds distributed qualified dividend income to shareholders during the fiscal year as follows:

 

Fund ($000)
Russell 1000 Index Fund 67,786
Russell 1000 Value Index Fund 99,087
Russell 1000 Growth Index Fund 72,101

 

The funds distributed qualified business income to shareholders during the fiscal year as follows:

 

Fund ($000)
Russell 1000 Index Fund
Russell 1000 Value Index Fund 4,019
Russell 1000 Growth Index Fund

 

For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:

 

Fund Percentage
Russell 1000 Index Fund 94.6%
Russell 1000 Value Index Fund 91.7
Russell 1000 Growth Index Fund 100.0

 

57

 

 

Trustees Approve Advisory Arrangements

 

 

The board of trustees of Vanguard Russell 1000 Index Fund, Vanguard Russell 1000 Value Index Fund, and Vanguard Russell 1000 Growth Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Equity Index Group. The board determined that continuing each fund’s internalized management structure was in the best interests of the fund and its shareholders.

 

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

 

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

 

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

 

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

 

Nature, extent, and quality of services

The board reviewed the quality of the investment management services provided to the funds since their inception in 2010, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Equity Index Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.

 

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

 

Investment performance

The board considered each fund’s performance since its inception, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue.

 

Cost

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

 

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

 

58

 

The benefit of economies of scale

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

 

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

 

59

 

Liquidity Risk Management

 

 

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

 

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

 

The board of trustees of Vanguard Scottsdale Funds approved the appointment of liquidity risk management program administrators responsible for administering the Program for Russell 1000 Index Fund, Russell 1000 Value Index Fund, and Russell 1000 Growth Index Fund, and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from December 1, 2018, through December 31, 2019 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the funds’ liquidity risk.

 

60

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Products are not sponsored, endorsed, sold or promoted by Frank Russell Company (“Russell”). Russell makes no representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products particularly or the ability of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes to track general stock market performance or a segment of the same. Russell’s publication of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes in no way suggests or implies an opinion by Russell as to the advisability of investment in any or all of the securities upon which the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes are based. Russell’s only relationship to The Vanguard Group, Inc. is the licensing of certain trademarks and trade names of Russell and of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes which are determined, composed and calculated by Russell without regard to The Vanguard Group, Inc. or the Products. Russell is not responsible for and has not reviewed the Products nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their accuracy or completeness, or otherwise. Russell has no obligation or liability in connection with the administration, marketing or trading of the Products.

 

Russell makes no representation, warranty or guarantee as to the accuracy, completeness, reliability or otherwise of the Russell Indexes or any data included in the Russell Indexes. Russell does not guarantee the accuracy and/or the completeness of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein and Russell shall have no liability for any errors, omissions, or interruptions therein. Russell makes no warranty, express or implied, as to the use of or results to be obtained by The Vanguard Group, Inc., investors, owners of the Products, or any other person or entity from the use of the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein. Russell makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Russell 1000, Russell 1000 Value, and Russell 1000 Growth Indexes or any data included therein. Without limiting any of the foregoing, in no event shall Russell have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.

 

Russell reserves the right, at any time and without notice, to alter, amend, terminate or in any way change the Russell Indexes. Russell has no obligation to take the needs of any particular fund or its participants or any other product or person into consideration in determining, composing or calculating any of the Russell Indexes.

 

61

 

This page intentionally left blank.

 

 

The People Who Govern Your Fund

 

 

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.

 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.

 

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

 

 

Interested Trustee1

 

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (2019–present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (2018–present) of Vanguard; chief executive officer, president, and trustee (2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; and trustee (2018–present) and vice chair (2019–present) of The Shipley School.

 

 

Independent Trustees

 

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

 

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania.

 

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services) and the Lumina Foundation. Director of the V Foundation. Member of the advisory

 

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

 

 

council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

 

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

 

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (retired June 2020) and vice president (retired June 2020) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee (retired June 2020). Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

 

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (2011–present) of The Guardian Life Insurance Company of America. President (2010–2019), chief operating officer (2010–2011), and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, and the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, NewYork- Presbyterian Hospital, Catalyst, and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

 

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board of advisors and member of the investment committee of the Museum of Fine Arts Boston. Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

 

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments, LLC; director (2017–present) of Reserve Trust. Rubenstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College, and trustee (2019–present) of the Folger Shakespeare Library.

 

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

 

 

Executive Officers

 

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

 

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

 

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

 

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

 

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

 

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

 

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.

 

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

 

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (2019–present) of Vanguard Marketing Corporation.

 

 

Vanguard Senior Management Team

 

Joseph Brennan Chris D. McIsaac
Mortimer J. Buckley James M. Norris
Gregory Davis Thomas M. Rampulla
John James Karin A. Risi
Martha G. King Anne E. Robinson
John T. Marcante Michael Rollings

 

 

 

Connect with Vanguard® > vanguard.com

 

Fund Information > 800-662-7447

 

Direct Investor Account Services > 800-662-2739

 

Institutional Investor Services > 800-523-1036

 

Text Telephone for People

Who Are Deaf or Hard of Hearing > 800-749-7273

 

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

 

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

 

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

 

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

 

Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

 

 

© 2020 The Vanguard Group, Inc.

All rights reserved.

U.S. Patent Nos. 6,879,964; 7,337,138;

7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636.

Vanguard Marketing Corporation, Distributor.

   
  Q18480 102020