Important information about shareholder reports

Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.

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.

Contents

Your Fund’s Performance at a Glance	1
About Your Fund’s Expenses	2
Growth Index Fund	4
Value Index Fund	27
Large-Cap Index Fund	52

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

•	The financial markets delivered robust returns for the 12 months ended December 31, 2023. Returns for the funds included in this report ranged from 9.11% for Investor Shares of Vanguard Value Index Fund to 46.78% for Institutional Shares and ETF Shares of Vanguard Growth Index Fund. (Returns for ETF Shares are based on net asset value). Returns for Vanguard Large-Cap Index Fund, which invests in growth and value stocks, ranged from 27.12% for Investor Shares to 27.29% for ETF Shares. The funds generally tracked their target indexes closely. Most share classes of the Value Index Fund slightly outperformed, thanks to skilled trading and corporate-action elections by the fund’s manager, Vanguard Equity Index Group.
•	Major central banks stopped hiking interest rates when inflation eased. Global economic growth proved resilient, but the prospect of rates remaining high for an extended period spurred occasional volatility. Toward year-end, stocks and bonds rallied worldwide as expectations for rate cuts in 2024 rose.
•	Technology stocks powered all three funds, but strong results were widespread. Seven of the 11 sectors in the CRSP US Large Cap Index, the Large-Cap Index Fund’s benchmark, recorded double-digit gains. Energy stocks were among the laggards.
•	For the 10 years ended December 31, 2023, the funds’ annualized returns ranged from 9.59% for Investor Shares of the Value Index Fund to 13.98% for Institutional Shares of the Growth Index Fund.

Market Barometer

	Average Annual Total Returns Periods Ended December 31, 2023
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	26.53%	8.97%	15.52%
Russell 2000 Index (Small-caps)	16.93	2.22	9.97
Russell 3000 Index (Broad U.S. market)	25.96	8.54	15.16
FTSE All-World ex US Index (International)	15.82	1.98	7.52
Bonds
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market)	5.60%	-3.33%	1.17%
Bloomberg Municipal Bond Index (Broad tax-exempt market)	6.40	-0.40	2.25
FTSE Three-Month U.S. Treasury Bill Index	5.26	2.24	1.91
CPI
Consumer Price Index	3.35%	5.60%	4.07%

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 December 31, 2023
	Beginning Account Value 6/30/2023	Ending Account Value 12/31/2023	Expenses Paid During Period
Based on Actual Fund Return
Growth Index Fund
Investor Shares	$1,000.00	$1,101.10	$0.95
ETF Shares	1,000.00	1,101.90	0.21
Admiral™ Shares	1,000.00	1,101.80	0.26
Institutional Shares	1,000.00	1,101.90	0.21
Value Index Fund
Investor Shares	$1,000.00	$1,064.60	$0.94
ETF Shares	1,000.00	1,065.40	0.21
Admiral Shares	1,000.00	1,065.40	0.26
Institutional Shares	1,000.00	1,065.50	0.21
Large-Cap Index Fund
Investor Shares	$1,000.00	$1,084.70	$0.89
ETF Shares	1,000.00	1,085.40	0.21
Admiral Shares	1,000.00	1,085.40	0.26
Institutional Shares	1,000.00	1,085.30	0.21
Based on Hypothetical 5% Yearly Return
Growth Index Fund
Investor Shares	$1,000.00	$1,024.30	$0.92
ETF Shares	1,000.00	1,025.00	0.20
Admiral Shares	1,000.00	1,024.95	0.26
Institutional Shares	1,000.00	1,025.00	0.20
Value Index Fund
Investor Shares	$1,000.00	$1,024.30	$0.92
ETF Shares	1,000.00	1,025.00	0.20
Admiral Shares	1,000.00	1,024.95	0.26
Institutional Shares	1,000.00	1,025.00	0.20
Large-Cap Index Fund
Investor Shares	$1,000.00	$1,024.35	$0.87
ETF Shares	1,000.00	1,025.00	0.20
Admiral Shares	1,000.00	1,024.95	0.26
Institutional Shares	1,000.00	1,025.00	0.20

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 Growth Index Fund, 0.18% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares; for the Value Index Fund, 0.18% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares; and for the Large-Cap Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% 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 (184/365).

3

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: December 31, 2013, Through December 31, 2023

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2023
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
	Growth Index Fund Investor Shares	46.60%	19.02%	13.83%	$36,514
	CRSP U.S. Large Cap Growth Index	46.86	19.21	14.02	37,132
	Dow Jones U.S. Total Stock Market Float Adjusted Index	26.06	15.05	11.40	29,422

		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Growth Index Fund ETF Shares Net Asset Value		46.78%	19.17%	13.98%	$36,992
Growth Index Fund ETF Shares Market Price		46.85	19.18	13.98	37,006
CRSP U.S. Large Cap Growth Index		46.86	19.21	14.02	37,132
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	29,422

    

See Financial Highlights for dividend and capital gains information.

4

Growth Index Fund

		Average Annual Total Returns Periods Ended December 31, 2023
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Growth Index Fund Admiral Shares		46.77%	19.16%	13.97%	$36,967
CRSP U.S. Large Cap Growth Index		46.86	19.21	14.02	37,132
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	29,422

		One Year	Five Years	Ten Years	Final Value of a $5,000,000 Investment
Growth Index Fund Institutional Shares		46.78%	19.17%	13.98%	$18,500,697
CRSP U.S. Large Cap Growth Index		46.86	19.21	14.02	18,565,986
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	14,710,990

Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023

	One Year	Five Years	Ten Years
Growth Index Fund ETF Shares Market Price	46.85%	140.49%	270.06%
Growth Index Fund ETF Shares Net Asset Value	46.78	140.32	269.92
CRSP U.S. Large Cap Growth Index	46.86	140.79	271.32

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, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.

5

Growth Index Fund

Fund Allocation

As of December 31, 2023

Basic Materials	1.4%
Consumer Discretionary	20.4
Consumer Staples	0.7
Energy	1.3
Financials	2.6
Health Care	7.1
Industrials	8.8
Real Estate	1.8
Technology	54.8
Telecommunications	0.9
Utilities	0.2

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

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

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

6

Growth Index Fund

Financial Statements

Schedule of Investments

As of December 31, 2023

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

		Shares	Market Value• ($000)
Common Stocks (99.8%)
Basic Materials (1.4%)
	Linde plc	4,445,542	1,825,828
	Ecolab Inc.	2,352,971	466,712
	Fastenal Co.	5,239,504	339,363
1	Albemarle Corp.	1,075,956	155,454
			2,787,357
Consumer Discretionary (20.4%)
*	Amazon.com Inc.	85,269,892	12,955,907
*	Tesla Inc.	24,773,381	6,155,690
	Costco Wholesale Corp.	4,059,121	2,679,345
	McDonald's Corp.	6,649,565	1,971,663
*	Netflix Inc.	3,912,598	1,904,966
	Home Depot Inc.	4,570,158	1,583,788
	NIKE Inc. Class B	11,220,311	1,218,189
*	Booking Holdings Inc.	319,840	1,134,543
*	Uber Technologies Inc.	17,923,830	1,103,570
	Starbucks Corp.	10,420,210	1,000,444
	TJX Cos. Inc.	10,484,850	983,584
	Walt Disney Co.	8,404,441	758,837
*	Chipotle Mexican Grill Inc.	251,695	575,616
*	Lululemon Athletica Inc.	1,057,632	540,757
	Marriott International Inc. Class A	2,288,397	516,056
*	O'Reilly Automotive Inc.	542,235	515,167
*	Airbnb Inc. Class A	3,386,147	460,990
	Ross Stores Inc.	3,102,948	429,417
	Hilton Worldwide Holdings Inc.	2,350,948	428,084
*	AutoZone Inc.	161,611	417,863
*	Copart Inc.	7,923,348	388,244
	Yum! Brands Inc.	2,568,528	335,604
	Estee Lauder Cos. Inc. Class A	2,022,646	295,812
*	Trade Desk Inc. Class A	4,089,205	294,259
*	Take-Two Interactive Software Inc.	1,559,774	251,046
*	Aptiv plc	2,592,738	232,620
*	Ulta Beauty Inc.	451,229	221,098
	Tractor Supply Co.	989,997	212,879

		Shares	Market Value• ($000)
*	Roblox Corp. Class A	4,469,437	204,343
*	Expedia Group Inc.	1,222,327	185,537
	Las Vegas Sands Corp.	3,504,447	172,454
*	Live Nation Entertainment Inc.	1,476,342	138,186
	Domino's Pizza Inc.	319,880	131,864
*	Royal Caribbean Cruises Ltd.	998,843	129,340
	Rollins Inc.	2,664,064	116,340
*	Burlington Stores Inc.	590,869	114,912
	Warner Music Group Corp. Class A	1,139,935	40,798
	Pool Corp.	84,358	33,634
*	Chewy Inc. Class A	468,057	11,060
*,1	Lucid Group Inc.	2,090,977	8,803
			40,853,309
Consumer Staples (0.7%)
*	Monster Beverage Corp.	6,678,018	384,721
	Colgate-Palmolive Co.	3,772,335	300,693
	Hershey Co.	1,373,882	256,147
	Church & Dwight Co. Inc.	2,260,919	213,792
	Brown-Forman Corp. Class B	2,838,451	162,075
	Lamb Weston Holdings Inc.	663,580	71,726
1	Brown-Forman Corp. Class A	470,246	28,022
			1,417,176
Energy (1.3%)
	Pioneer Natural Resources Co.	2,138,602	480,929
	Hess Corp.	2,534,468	365,369
	Cheniere Energy Inc.	2,074,129	354,075
	Schlumberger NV	6,525,058	339,564
	Diamondback Energy Inc.	1,641,555	254,572
	Coterra Energy Inc.	6,551,168	167,186
*	First Solar Inc.	930,663	160,335
	Baker Hughes Co.	4,613,073	157,675
*	Enphase Energy Inc.	1,189,426	157,171
	Halliburton Co.	3,693,758	133,529
	EQT Corp.	1,883,270	72,807

7

Growth Index Fund

8

Growth Index Fund

9

Growth Index Fund

		Shares	Market Value• ($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
3,4	Vanguard Market Liquidity Fund, 5.435% (Cost $436,274)	4,363,751	436,288
Total Investments (100.0%) (Cost $96,846,630)			200,597,136
Other Assets and Liabilities—Net (0.0%)			(47,610)
Net Assets (100%)			200,549,526
Cost is in $000.

•	See Note A in Notes to Financial Statements.
*	Non-income-producing security.
1	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $18,026,000.
2	Security value determined using significant unobservable inputs.
3	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4	Collateral of $19,678,000 was received for securities on loan.

CVR—Contingent Value Rights.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2024	1,258	303,178	5,695

    

Over-the-Counter Total Return Swaps
Reference Entity	Termination Date	Counterparty	Notional Amount ($000)	Floating Interest Rate Received (Paid)1 (%)	Value and Unrealized Appreciation ($000)	Value and Unrealized (Depreciation) ($000)
Netflix Inc.	8/30/24	BANA	48,688	(5.331)	—	(203)
Visa Inc. Class A	8/30/24	BANA	115,856	(5.231)	—	(250)
					—	(453)

1	Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
	BANA—Bank of America, N.A.

At December 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $2,610,000 in connection with open over-the-counter swap contracts.

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

10

Growth Index Fund

Statement of Assets and Liabilities

As of December 31, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $96,410,356)	200,160,848
Affiliated Issuers (Cost $436,274)	436,288
Total Investments in Securities	200,597,136
Investment in Vanguard	6,342
Cash Collateral Pledged—Futures Contracts	17,765
Receivables for Investment Securities Sold	3,000
Receivables for Accrued Income	102,093
Receivables for Capital Shares Issued	61,642
Unrealized Appreciation—Over-the-Counter Swap Contracts	—
Total Assets	200,787,978
Liabilities
Due to Custodian	308
Payables for Investment Securities Purchased	2,280
Collateral for Securities on Loan	19,678
Payables for Capital Shares Redeemed	210,942
Payables to Vanguard	3,834
Variation Margin Payable—Futures Contracts	957
Unrealized Depreciation—Over-the-Counter Swap Contracts	453
Total Liabilities	238,452
Net Assets	200,549,526
1 Includes $18,026,000 of securities on loan.

11

Growth Index Fund

Statement of Assets and Liabilities (continued)
At December 31, 2023, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	107,635,777
Total Distributable Earnings (Loss)	92,913,749
Net Assets	200,549,526
Investor Shares—Net Assets
Applicable to 2,592,345 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	414,928
Net Asset Value Per Share—Investor Shares	$160.06
ETF Shares—Net Assets
Applicable to 336,153,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	104,483,769
Net Asset Value Per Share—ETF Shares	$310.82
Admiral Shares—Net Assets
Applicable to 422,229,731 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	67,554,938
Net Asset Value Per Share—Admiral Shares	$160.00
Institutional Shares—Net Assets
Applicable to 175,595,011 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	28,095,891
Net Asset Value Per Share—Institutional Shares	$160.00

  

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

12

Growth Index Fund

Statement of Operations

	Year Ended December 31, 2023
	($000)
Investment Income
Income
Dividends1	1,176,387
Interest2	17,478
Securities Lending—Net	2,334
Total Income	1,196,199
Expenses
The Vanguard Group—Note B
Investment Advisory Services	3,706
Management and Administrative—Investor Shares	611
Management and Administrative—ETF Shares	27,066
Management and Administrative—Admiral Shares	24,042
Management and Administrative—Institutional Shares	8,014
Marketing and Distribution—Investor Shares	20
Marketing and Distribution—ETF Shares	3,747
Marketing and Distribution—Admiral Shares	2,672
Marketing and Distribution—Institutional Shares	672
Custodian Fees	921
Auditing Fees	33
Shareholders’ Reports—Investor Shares	1
Shareholders’ Reports—ETF Shares	1,637
Shareholders’ Reports—Admiral Shares	444
Shareholders’ Reports—Institutional Shares	97
Trustees’ Fees and Expenses	102
Other Expenses	23
Total Expenses	73,808
Expenses Paid Indirectly	(165)
Net Expenses	73,643
Net Investment Income	1,122,556
Realized Net Gain (Loss)
Investment Securities Sold2,3	6,577,015
Futures Contracts	23,384
Swap Contracts	36,605
Foreign Currencies	(1)
Realized Net Gain (Loss)	6,637,003

13

Growth Index Fund

Statement of Operations (continued)
	Year Ended December 31, 2023
	($000)
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	55,181,916
Futures Contracts	6,495
Swap Contracts	(231)
Change in Unrealized Appreciation (Depreciation)	55,188,180
Net Increase (Decrease) in Net Assets Resulting from Operations	62,947,739

1	Dividends are net of foreign withholding taxes of $348,000.
2	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $16,936,000, $45,000, $3,000, and ($47,000), respectively. Purchases and sales are for temporary cash investment purposes.
3	Includes $9,903,213,000 of net gain (loss) resulting from in-kind redemptions.

  

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

14

Growth Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2023 ($000)	2022 ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,122,556	943,411
Realized Net Gain (Loss)	6,637,003	875,348
Change in Unrealized Appreciation (Depreciation)	55,188,180	(64,902,246)
Net Increase (Decrease) in Net Assets Resulting from Operations	62,947,739	(63,083,487)
Distributions
Investor Shares	(2,067)	(2,025)
ETF Shares	(594,545)	(458,691)
Admiral Shares	(382,500)	(312,198)
Institutional Shares	(159,537)	(128,919)
Total Distributions	(1,138,649)	(901,833)
Capital Share Transactions
Investor Shares	(71,816)	(141,965)
ETF Shares	4,133,790	9,337,505
Admiral Shares	1,324,290	(199,354)
Institutional Shares	1,050,251	35,988
Net Increase (Decrease) from Capital Share Transactions	6,436,515	9,032,174
Total Increase (Decrease)	68,245,605	(54,953,146)
Net Assets
Beginning of Period	132,303,921	187,257,067
End of Period	200,549,526	132,303,921

  

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

15

Growth Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$109.76	$165.20	$130.50	$93.87	$69.10
Investment Operations
Net Investment Income1	.735	.638	.565	.728	.746
Net Realized and Unrealized Gain (Loss) on Investments	50.316	(55.480)	34.731	36.631	24.802
Total from Investment Operations	51.051	(54.842)	35.296	37.359	25.548
Distributions
Dividends from Net Investment Income	(.751)	(.598)	(.596)	(.729)	(.778)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(.751)	(.598)	(.596)	(.729)	(.778)
Net Asset Value, End of Period	$160.06	$109.76	$165.20	$130.50	$93.87
Total Return2	46.60%	-33.22%	27.10%	40.01%	37.08%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$415	$345	$692	$750	$572
Ratio of Total Expenses to Average Net Assets	0.17%3	0.17%3	0.17%	0.17%	0.17%
Ratio of Net Investment Income to Average Net Assets	0.54%	0.50%	0.39%	0.69%	0.92%
Portfolio Turnover Rate4	5%	5%	8%	6%	11%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

16

Growth Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$213.14	$320.83	$253.44	$182.31	$134.21
Investment Operations
Net Investment Income1	1.786	1.584	1.483	1.683	1.773
Net Realized and Unrealized Gain (Loss) on Investments	97.696	(107.775)	67.447	71.131	48.065
Total from Investment Operations	99.482	(106.191)	68.930	72.814	49.838
Distributions
Dividends from Net Investment Income	(1.802)	(1.499)	(1.540)	(1.684)	(1.738)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(1.802)	(1.499)	(1.540)	(1.684)	(1.738)
Net Asset Value, End of Period	$310.82	$213.14	$320.83	$253.44	$182.31
Total Return	46.78%	-33.13%	27.26%	40.16%	37.26%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$104,484	$68,198	$90,506	$68,474	$46,481
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	0.67%	0.64%	0.52%	0.81%	1.09%
Portfolio Turnover Rate3	5%	5%	8%	6%	11%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements were 0.04%.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Growth Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$109.72	$165.15	$130.46	$93.84	$69.09
Investment Operations
Net Investment Income1	.905	.799	.748	.855	.907
Net Realized and Unrealized Gain (Loss) on Investments	50.289	(55.471)	34.720	36.621	24.728
Total from Investment Operations	51.194	(54.672)	35.468	37.476	25.635
Distributions
Dividends from Net Investment Income	(.914)	(.758)	(.778)	(.856)	(.885)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(.914)	(.758)	(.778)	(.856)	(.885)
Net Asset Value, End of Period	$160.00	$109.72	$165.15	$130.46	$93.84
Total Return2	46.77%	-33.14%	27.26%	40.19%	37.23%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$67,555	$45,295	$68,372	$53,928	$38,103
Ratio of Total Expenses to Average Net Assets	0.05%3	0.05%3	0.05%	0.05%	0.05%
Ratio of Net Investment Income to Average Net Assets	0.66%	0.63%	0.51%	0.80%	1.08%
Portfolio Turnover Rate4	5%	5%	8%	6%	11%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

18

Growth Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$109.72	$165.16	$130.47	$93.85	$69.09
Investment Operations
Net Investment Income1	.920	.812	.762	.867	.912
Net Realized and Unrealized Gain (Loss) on Investments	50.288	(55.481)	34.721	36.620	24.742
Total from Investment Operations	51.208	(54.669)	35.483	37.487	25.654
Distributions
Dividends from Net Investment Income	(.928)	(.771)	(.793)	(.867)	(.894)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(.928)	(.771)	(.793)	(.867)	(.894)
Net Asset Value, End of Period	$160.00	$109.72	$165.16	$130.47	$93.85
Total Return	46.78%	-33.14%	27.27%	40.20%	37.26%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$28,096	$18,465	$27,688	$22,582	$16,426
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	0.67%	0.64%	0.52%	0.82%	1.09%
Portfolio Turnover Rate3	5%	5%	8%	6%	11%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Growth Index Fund

Notes to Financial Statements

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

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

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

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

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

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

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Growth Index Fund

During the year ended December 31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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 December 31, 2023, 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.

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

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Growth Index Fund

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.

6. 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.

7. 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.

8. 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 and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

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

22

Growth Index Fund

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

For the year ended December 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

9. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2023, the fund had contributed to Vanguard capital in the amount of $6,342,000, representing less than 0.01% of the fund’s net assets and 2.54% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $165,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

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Growth Index Fund

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	200,160,848	—	—	200,160,848
Temporary Cash Investments	436,288	—	—	436,288
Total	200,597,136	—	—	200,597,136
Derivative Financial Instruments
Assets
Futures Contracts1	5,695	—	—	5,695
Liabilities
Swap Contracts	—	453	—	453

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

E.

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 applicable in-kind redemptions, foreign currency transactions, and swap agreements were reclassified between the following accounts:

	Amount ($000)
Paid-in Capital	9,903,680
Total Distributable Earnings (Loss)	(9,903,680)

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 capital loss carryforwards; 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	29,166
Undistributed Long-Term Gains	—
Net Unrealized Gains (Losses)	103,683,379
Capital Loss Carryforwards	(10,798,796)
Qualified Late-Year Losses	—
Other Temporary Differences	—
Total	92,913,749

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Growth Index Fund

The tax character of distributions paid was as follows:

	Year Ended December 31,
	2023 Amount ($000)	2022 Amount ($000)
Ordinary Income*	1,138,649	901,833
Long-Term Capital Gains	—	—
Total	1,138,649	901,833

*	Includes short-term capital gains, if any.

As of December 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	96,913,757
Gross Unrealized Appreciation	106,926,045
Gross Unrealized Depreciation	(3,242,666)
Net Unrealized Appreciation (Depreciation)	103,683,379

F.

During the year ended December 31, 2023, the fund purchased $30,561,666,000 of investment securities and sold $24,199,073,000 of investment securities, other than temporary cash investments. Purchases and sales include $19,098,511,000 and $15,323,990,000, 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 December 31, 2023, such purchases were $1,245,442,000 and sales were $4,612,867,000, resulting in net realized loss of $2,720,767,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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

    

	Year Ended December 31,
	2023			2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	55,136	397		44,312	343
Issued in Lieu of Cash Distributions	2,067	15		2,025	17
Redeemed	(129,019)	(961)		(188,302)	(1,408)
Net Increase (Decrease)—Investor Shares	(71,816)	(549)		(141,965)	(1,048)

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Growth Index Fund

	Year Ended December 31,
	2023			2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares
Issued	19,484,306	70,663		17,007,616	69,617
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(15,350,516)	(54,475)		(7,670,111)	(31,750)
Net Increase (Decrease)—ETF Shares	4,133,790	16,188		9,337,505	37,867
Admiral Shares
Issued	8,600,018	62,400		8,117,723	63,614
Issued in Lieu of Cash Distributions	341,776	2,406		277,829	2,333
Redeemed	(7,617,504)	(55,420)		(8,594,906)	(67,109)
Net Increase (Decrease)—Admiral Shares	1,324,290	9,386		(199,354)	(1,162)
Institutional Shares
Issued	3,413,487	24,671		2,976,818	23,224
Issued in Lieu of Cash Distributions	153,620	1,081		124,124	1,042
Redeemed	(2,516,856)	(18,452)		(3,064,954)	(23,618)
Net Increase (Decrease)—Institutional Shares	1,050,251	7,300		35,988	648

H.

Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.

To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.

The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.

I.	Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements.

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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: December 31, 2013, Through December 31, 2023

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2023
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
	Value Index Fund Investor Shares	9.11%	11.60%	9.59%	$24,984
	CRSP U.S. Large Cap Value Index	9.17	11.74	9.75	25,351
	Dow Jones U.S. Total Stock Market Float Adjusted Index	26.06	15.05	11.40	29,422

		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Value Index Fund ETF Shares Net Asset Value		9.26%	11.73%	9.73%	$25,301
Value Index Fund ETF Shares Market Price		9.32	11.75	9.73	25,308
CRSP U.S. Large Cap Value Index		9.17	11.74	9.75	25,351
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	29,422

    

See Financial Highlights for dividend and capital gains information.

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Value Index Fund

		Average Annual Total Returns Periods Ended December 31, 2023
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Value Index Fund Admiral Shares		9.24%	11.73%	9.72%	$25,295
CRSP U.S. Large Cap Value Index		9.17	11.74	9.75	25,351
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	29,422

		One Year	Five Years	Ten Years	Final Value of a $5,000,000 Investment
Value Index Fund Institutional Shares		9.26%	11.74%	9.73%	$12,659,524
CRSP U.S. Large Cap Value Index		9.17	11.74	9.75	12,675,626
Dow Jones U.S. Total Stock Market Float Adjusted Index		26.06	15.05	11.40	14,710,990

Cumulative Returns of ETF Shares: December 31, 2013, Through December 31, 2023

	One Year	Five Years	Ten Years
Value Index Fund ETF Shares Market Price	9.32%	74.25%	153.08%
Value Index Fund ETF Shares Net Asset Value	9.26	74.13	153.01
CRSP U.S. Large Cap Value Index	9.17	74.18	153.51

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, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.

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Value Index Fund

Fund Allocation

As of December 31, 2023

Basic Materials	2.1%
Consumer Discretionary	7.1
Consumer Staples	9.9
Energy	7.0
Financials	19.2
Health Care	17.7
Industrials	15.5
Real Estate	3.2
Technology	9.2
Telecommunications	3.6
Utilities	5.5

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

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

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

29

Value Index Fund

Financial Statements

Schedule of Investments

As of December 31, 2023

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

		Shares	Market Value• ($000)
Common Stocks (99.7%)
Basic Materials (2.1%)
	Freeport-McMoRan Inc.	11,947,733	508,615
	Air Products and Chemicals Inc.	1,851,502	506,941
	Newmont Corp.	9,604,376	397,525
	Nucor Corp.	2,048,456	356,513
	Dow Inc.	5,842,476	320,402
	LyondellBasell Industries NV Class A	2,159,135	205,291
	International Flavors & Fragrances Inc.	2,132,275	172,650
	Celanese Corp.	904,061	140,464
	Avery Dennison Corp.	672,747	136,003
	CF Industries Holdings Inc.	1,595,777	126,864
	International Paper Co.	2,890,379	104,487
	Mosaic Co.	2,730,072	97,546
	Steel Dynamics Inc.	642,025	75,823
	Eastman Chemical Co.	495,471	44,503
	FMC Corp.	521,305	32,868
	Westlake Corp.	133,939	18,746
			3,245,241
Consumer Discretionary (7.0%)
	Walmart Inc.	12,338,831	1,945,217
	Home Depot Inc.	4,147,577	1,437,343
	Lowe's Cos. Inc.	4,792,058	1,066,472
*	Walt Disney Co.	7,624,927	688,455
	Target Corp.	3,847,252	547,926
	General Motors Co.	11,407,893	409,771
	Ford Motor Co.	32,756,588	399,303
	DR Horton Inc.	2,359,857	358,651
	Lennar Corp. Class A	2,143,766	319,507
	Electronic Arts Inc.	2,239,884	306,439
	Dollar General Corp.	1,826,912	248,369
*	Dollar Tree Inc.	1,740,040	247,173
	Delta Air Lines Inc.	5,347,403	215,126
*	Warner Bros Discovery Inc.	18,269,110	207,902
	eBay Inc.	4,317,313	188,321
	PulteGroup Inc.	1,793,755	185,151
*	NVR Inc.	25,182	176,285
	Darden Restaurants Inc.	1,004,826	165,093

		Shares	Market Value• ($000)
	Garmin Ltd.	1,278,855	164,384
	Genuine Parts Co.	1,165,559	161,430
*	Carnival Corp.	8,415,152	156,017
	Southwest Airlines Co.	4,979,017	143,794
	Omnicom Group Inc.	1,644,407	142,258
*,1	Rivian Automotive Inc. Class A	5,487,366	128,734
	Best Buy Co. Inc.	1,626,227	127,301
*	Royal Caribbean Cruises Ltd.	909,621	117,787
*	United Airlines Holdings Inc.	2,728,513	112,578
	LKQ Corp.	2,235,300	106,825
	News Corp. Class A	4,146,895	101,806
*	MGM Resorts International	2,139,930	95,612
	Fox Corp. Class A	2,127,112	63,111
	Interpublic Group of Cos. Inc.	1,600,067	52,226
*	CarMax Inc.	663,035	50,881
	Pool Corp.	76,759	30,605
1	Paramount Global Class B	1,939,442	28,684
	Fox Corp. Class B	1,014,642	28,055
	Endeavor Group Holdings Inc. Class A	1,129,648	26,807
1	Sirius XM Holdings Inc.	4,812,633	26,325
*,1	Lucid Group Inc.	1,917,142	8,071
1	Paramount Global Class A	114,903	2,259
	Lennar Corp. Class B	15,602	2,091
	News Corp. Class B	27,910	718
	BorgWarner Inc. (XNYS)	25	1
			10,990,864
Consumer Staples (9.8%)
	Procter & Gamble Co.	19,644,407	2,878,691
	PepsiCo Inc.	11,458,231	1,946,066
	Coca-Cola Co.	32,429,819	1,911,089
	Philip Morris International Inc.	12,934,812	1,216,907
	CVS Health Corp.	10,725,705	846,902
	Mondelez International Inc. Class A	11,339,461	821,317
	Altria Group Inc.	14,733,824	594,362
	McKesson Corp.	1,109,236	513,554

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Value Index Fund

Over-the-Counter Total Return Swaps
Reference Entity	Termination Date	Counterparty	Notional Amount ($000)	Floating Interest Rate Received (Paid)1 (%)	Value and Unrealized Appreciation ($000)	Value and Unrealized (Depreciation) ($000)
Citigroup Inc.	8/29/25	BANA	10,288	(5.931)	—	(44)
Conagra Brands Inc.	8/30/24	BANA	7,882	(5.331)	63	—
Ferguson plc	8/30/24	BANA	13,129	(5.331)	4	—
Fidelity National Information Services Inc.	8/30/24	BANA	30,035	(5.978)	152	—
Fidelity National Information Services Inc.	8/30/24	BANA	21,024	(5.977)	—	(65)
Fidelity National Information Services Inc.	8/30/24	BANA	18,021	(5.881)	72	—
Goldman Sachs Group Inc.	8/29/25	BANA	96,442	(6.031)	273	—
Johnson Controls International plc	8/30/24	BANA	9,395	(5.331)	23	—
Kroger Co.	1/31/24	GSI	44,110	(5.324)	1,522	—
Rivian Automotive Inc.	8/30/24	BANA	10,088	(5.331)	—	(31)
Rivian Automotive Inc.	8/30/24	BANA	10,088	(5.331)	—	(31)
US Bancorp	8/30/24	BANA	32,460	(5.331)	245	—
					2,354	(171)

1	Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
	BANA—Bank of America, N.A.
	GSI—Goldman Sachs International.

At December 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $29,611,000 in connection with open over-the-counter swap contracts.

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

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Value Index Fund

Statement of Assets and Liabilities

As of December 31, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $122,266,469)	155,507,813
Affiliated Issuers (Cost $244,904)	244,914
Total Investments in Securities	155,752,727
Investment in Vanguard	4,921
Cash	11
Cash Collateral Pledged—Futures Contracts	6,610
Receivables for Investment Securities Sold	25,560
Receivables for Accrued Income	219,948
Receivables for Capital Shares Issued	42,273
Unrealized Appreciation—Over-the-Counter Swap Contracts	2,354
Total Assets	156,054,404
Liabilities
Due to Custodian	137
Payables for Investment Securities Purchased	1,691
Collateral for Securities on Loan	45,367
Payables for Capital Shares Redeemed	113,550
Payables to Vanguard	2,875
Variation Margin Payable—Futures Contracts	340
Unrealized Depreciation—Over-the-Counter Swap Contracts	171
Total Liabilities	164,131
Net Assets	155,890,273
1 Includes $40,620,000 of securities on loan.

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Value Index Fund

Statement of Assets and Liabilities (continued)
At December 31, 2023, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	130,477,847
Total Distributable Earnings (Loss)	25,412,426
Net Assets	155,890,273
Investor Shares—Net Assets
Applicable to 2,527,233 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	147,363
Net Asset Value Per Share—Investor Shares	$58.31
ETF Shares—Net Assets
Applicable to 709,721,806 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	106,042,468
Net Asset Value Per Share—ETF Shares	$149.41
Admiral Shares—Net Assets
Applicable to 575,028,549 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	33,517,529
Net Asset Value Per Share—Admiral Shares	$58.29
Institutional Shares—Net Assets
Applicable to 277,647,560 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	16,182,913
Net Asset Value Per Share—Institutional Shares	$58.29

  

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

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Value Index Fund

Statement of Operations

	Year Ended December 31, 2023
	($000)
Investment Income
Income
Dividends	3,914,658
Interest1	10,448
Securities Lending—Net	6,668
Total Income	3,931,774
Expenses
The Vanguard Group—Note B
Investment Advisory Services	3,296
Management and Administrative—Investor Shares	280
Management and Administrative—ETF Shares	30,152
Management and Administrative—Admiral Shares	13,147
Management and Administrative—Institutional Shares	5,222
Marketing and Distribution—Investor Shares	11
Marketing and Distribution—ETF Shares	4,773
Marketing and Distribution—Admiral Shares	1,632
Marketing and Distribution—Institutional Shares	524
Custodian Fees	1,010
Auditing Fees	33
Shareholders’ Reports—Investor Shares	2
Shareholders’ Reports—ETF Shares	2,203
Shareholders’ Reports—Admiral Shares	301
Shareholders’ Reports—Institutional Shares	130
Trustees’ Fees and Expenses	88
Other Expenses	22
Total Expenses	62,826
Expenses Paid Indirectly	(36)
Net Expenses	62,790
Net Investment Income	3,868,984
Realized Net Gain (Loss)
Investment Securities Sold1,2	5,137,419
Futures Contracts	35,800
Swap Contracts	20,443
Realized Net Gain (Loss)	5,193,662

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Value Index Fund

Statement of Operations (continued)
	Year Ended December 31, 2023
	($000)
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	3,917,911
Futures Contracts	696
Swap Contracts	819
Change in Unrealized Appreciation (Depreciation)	3,919,426
Net Increase (Decrease) in Net Assets Resulting from Operations	12,982,072

1	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $9,925,000, $119,000, less than $1,000, and ($17,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $7,972,904,000 of net gain (loss) resulting from in-kind redemptions.

  

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

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Value Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2023 ($000)	2022 ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	3,868,984	3,671,256
Realized Net Gain (Loss)	5,193,662	6,671,995
Change in Unrealized Appreciation (Depreciation)	3,919,426	(13,304,884)
Net Increase (Decrease) in Net Assets Resulting from Operations	12,982,072	(2,961,633)
Distributions
Investor Shares	(4,056)	(5,847)
ETF Shares	(2,609,981)	(2,511,165)
Admiral Shares	(824,747)	(791,346)
Institutional Shares	(406,537)	(393,370)
Total Distributions	(3,845,321)	(3,701,728)
Capital Share Transactions
Investor Shares	(93,887)	(19,293)
ETF Shares	438,660	11,181,843
Admiral Shares	(580,686)	1,778,634
Institutional Shares	(1,225,419)	1,710,922
Net Increase (Decrease) from Capital Share Transactions	(1,461,332)	14,652,106
Total Increase (Decrease)	7,675,419	7,988,745
Net Assets
Beginning of Period	148,214,854	140,226,109
End of Period	155,890,273	148,214,854

  

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

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Value Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$54.78	$57.39	$46.43	$46.78	$38.18
Investment Operations
Net Investment Income1	1.332	1.301	1.177	1.142	1.093
Net Realized and Unrealized Gain (Loss) on Investments	3.557	(2.604)	10.945	(.362)	8.623
Total from Investment Operations	4.889	(1.303)	12.122	.780	9.716
Distributions
Dividends from Net Investment Income	(1.359)	(1.307)	(1.162)	(1.130)	(1.116)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(1.359)	(1.307)	(1.162)	(1.130)	(1.116)
Net Asset Value, End of Period	$58.31	$54.78	$57.39	$46.43	$46.78
Total Return2	9.11%	-2.18%	26.31%	2.18%	25.67%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$147	$233	$264	$273	$328
Ratio of Total Expenses to Average Net Assets	0.17%3	0.17%3	0.17%	0.17%	0.17%
Ratio of Net Investment Income to Average Net Assets	2.43%	2.38%	2.22%	2.75%	2.58%
Portfolio Turnover Rate4	10%	5%	9%	10%	12%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Value Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$140.37	$147.08	$118.98	$119.90	$97.84
Investment Operations
Net Investment Income1	3.677	3.529	3.212	3.055	3.046
Net Realized and Unrealized Gain (Loss) on Investments	9.034	(6.707)	28.045	(.935)	22.014
Total from Investment Operations	12.711	(3.178)	31.257	2.120	25.060
Distributions
Dividends from Net Investment Income	(3.671)	(3.532)	(3.157)	(3.040)	(3.000)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(3.671)	(3.532)	(3.157)	(3.040)	(3.000)
Net Asset Value, End of Period	$149.41	$140.37	$147.08	$118.98	$119.90
Total Return	9.26%	-2.05%	26.47%	2.23%	25.85%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$106,042	$99,459	$92,776	$61,580	$55,909
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.61%	2.52%	2.35%	2.87%	2.76%
Portfolio Turnover Rate3	10%	5%	9%	10%	12%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements were 0.04%.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Value Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$54.76	$57.38	$46.41	$46.77	$38.17
Investment Operations
Net Investment Income1	1.427	1.370	1.245	1.188	1.185
Net Realized and Unrealized Gain (Loss) on Investments	3.529	(2.618)	10.951	(.367)	8.581
Total from Investment Operations	4.956	(1.248)	12.196	.821	9.766
Distributions
Dividends from Net Investment Income	(1.426)	(1.372)	(1.226)	(1.181)	(1.166)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(1.426)	(1.372)	(1.226)	(1.181)	(1.166)
Net Asset Value, End of Period	$58.29	$54.76	$57.38	$46.41	$46.77
Total Return2	9.24%	-2.08%	26.49%	2.29%	25.82%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$33,518	$32,071	$31,741	$22,486	$22,414
Ratio of Total Expenses to Average Net Assets	0.05%3	0.05%3	0.05%	0.05%	0.05%
Ratio of Net Investment Income to Average Net Assets	2.60%	2.51%	2.34%	2.86%	2.75%
Portfolio Turnover Rate4	10%	5%	9%	10%	12%

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Value Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$54.76	$57.37	$46.41	$46.77	$38.17
Investment Operations
Net Investment Income1	1.429	1.377	1.250	1.193	1.189
Net Realized and Unrealized Gain (Loss) on Investments	3.533	(2.609)	10.941	(.368)	8.581
Total from Investment Operations	4.962	(1.232)	12.191	.825	9.770
Distributions
Dividends from Net Investment Income	(1.432)	(1.378)	(1.231)	(1.185)	(1.170)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(1.432)	(1.378)	(1.231)	(1.185)	(1.170)
Net Asset Value, End of Period	$58.29	$54.76	$57.37	$46.41	$46.77
Total Return	9.26%	-2.05%	26.48%	2.30%	25.83%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$16,183	$16,452	$15,446	$12,579	$12,481
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.60%	2.52%	2.35%	2.87%	2.76%
Portfolio Turnover Rate3	10%	5%	9%	10%	12%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
3	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

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Value Index Fund

Notes to Financial Statements

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

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

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

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

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in 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 December 31, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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

45

Value Index Fund

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 December 31, 2023, 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 virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

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.

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Value Index Fund

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 and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

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

For the year ended December 31, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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Value Index Fund

8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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 December 31, 2023, the fund had contributed to Vanguard capital in the amount of $4,921,000, representing less than 0.01% of the fund’s net assets and 1.97% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2023, custodian fee offset arrangements reduced the fund’s expenses by $36,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

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Value Index Fund

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	155,507,813	—	—	155,507,813
Temporary Cash Investments	244,914	—	—	244,914
Total	155,752,727	—	—	155,752,727
Derivative Financial Instruments
Assets
Futures Contracts1	637	—	—	637
Swap Contracts	—	2,354	—	2,354
Total	637	2,354	—	2,991
Liabilities
Swap Contracts	—	171	—	171

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

E.

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 applicable in-kind redemptions, passive foreign investment companies, corporate actions, and swap agreements were reclassified between the following accounts:

	Amount ($000)
Paid-in Capital	7,968,653
Total Distributable Earnings (Loss)	(7,968,653)

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 capital loss carryforwards; the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; and the recognition of unrealized gains from passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:  

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Value Index Fund

	Amount ($000)
Undistributed Ordinary Income	206,502
Undistributed Long-Term Gains	—
Net Unrealized Gains (Losses)	33,131,978
Capital Loss Carryforwards	(7,926,054)
Qualified Late-Year Losses	—
Other Temporary Differences	—
Total	25,412,426

The tax character of distributions paid was as follows:

	Year Ended December 31,
	2023 Amount ($000)	2022 Amount ($000)
Ordinary Income*	3,845,321	3,701,728
Long-Term Capital Gains	—	—
Total	3,845,321	3,701,728

*	Includes short-term capital gains, if any.

As of December 31, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	122,620,748
Gross Unrealized Appreciation	38,476,906
Gross Unrealized Depreciation	(5,344,928)
Net Unrealized Appreciation (Depreciation)	33,131,978

F.

During the year ended December 31, 2023, the fund purchased $32,222,136,000 of investment securities and sold $33,611,248,000 of investment securities, other than temporary cash investments. Purchases and sales include $16,881,532,000 and $17,707,243,000, 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 December 31, 2023, such purchases were $4,103,662,000 and sales were $2,665,026,000, resulting in net realized loss of $906,174,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

50

Value Index Fund

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

    

	Year Ended December 31,
	2023			2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	15,265	279		52,300	945
Issued in Lieu of Cash Distributions	4,056	74		5,847	110
Redeemed	(113,208)	(2,078)		(77,440)	(1,404)
Net Increase (Decrease)—Investor Shares	(93,887)	(1,725)		(19,293)	(349)
ETF Shares
Issued	17,753,209	125,354		28,097,278	198,864
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(17,314,549)	(124,175)		(16,915,435)	(121,125)
Net Increase (Decrease)—ETF Shares	438,660	1,179		11,181,843	77,739
Admiral Shares
Issued	4,041,652	73,435		6,740,145	122,919
Issued in Lieu of Cash Distributions	718,875	13,124		691,593	13,000
Redeemed	(5,341,213)	(97,180)		(5,653,104)	(103,475)
Net Increase (Decrease)—Admiral Shares	(580,686)	(10,621)		1,778,634	32,444
Institutional Shares
Issued	2,550,479	46,217		3,365,017	61,474
Issued in Lieu of Cash Distributions	394,481	7,209		379,225	7,126
Redeemed	(4,170,379)	(76,228)		(2,033,320)	(37,361)
Net Increase (Decrease)—Institutional Shares	(1,225,419)	(22,802)		1,710,922	31,239