Contents

About Your Fund’s Expenses	1
Mega Cap Index Fund	3
Mega Cap Growth Index Fund	17
Mega Cap Value Index Fund	30

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

1

Six Months Ended February 28, 2023
	Beginning Account Value 8/31/2022	Ending Account Value 2/28/2023	Expenses Paid During Period
Based on Actual Fund Return
Mega Cap Index Fund
ETF Shares	$1,000.00	$1,005.20	$0.35
Institutional Shares	1,000.00	1,005.30	0.30
Mega Cap Growth Index Fund
ETF Shares	$1,000.00	$966.10	$0.34
Institutional Shares	1,000.00	966.20	0.29
Mega Cap Value Index Fund
ETF Shares	$1,000.00	$1,052.40	$0.36
Institutional Shares	1,000.00	1,052.50	0.31
Based on Hypothetical 5% Yearly Return
Mega Cap Index Fund
ETF Shares	$1,000.00	$1,024.45	$0.35
Institutional Shares	1,000.00	1,024.50	0.30
Mega Cap Growth Index Fund
ETF Shares	$1,000.00	$1,024.45	$0.35
Institutional Shares	1,000.00	1,024.50	0.30
Mega Cap Value Index Fund
ETF Shares	$1,000.00	$1,024.45	$0.35
Institutional Shares	1,000.00	1,024.50	0.30

The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Mega Cap Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; for the Mega Cap Growth Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; and for the Mega Cap Value Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).

2

Mega Cap Index Fund

Fund Allocation

As of February 28, 2023

Basic Materials	1.5%
Consumer Discretionary	14.2
Consumer Staples	6.1
Energy	4.5
Financials	10.9
Health Care	14.4
Industrials	11.9
Real Estate	1.4
Technology	30.2
Telecommunications	2.7
Utilities	2.2

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

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

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

3

Mega Cap Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 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 (99.4%)
Basic Materials (1.5%)
	Linde plc	65,926	22,967
	Air Products and Chemicals Inc.	29,614	8,469
	Freeport-McMoRan Inc.	190,830	7,818
	Ecolab Inc.	34,270	5,462
	Dow Inc.	93,882	5,370
	Newmont Corp.	106,110	4,627
			54,713
Consumer Discretionary (14.1%)
*	Amazon.com Inc.	1,158,135	109,131
*	Tesla Inc.	358,500	73,747
	Home Depot Inc.	136,130	40,368
	Costco Wholesale Corp.	59,110	28,620
	McDonald's Corp.	97,829	25,818
	Walmart Inc.	181,242	25,760
*	Walt Disney Co.	243,468	24,252
	NIKE Inc. Class B	168,206	19,981
*	Netflix Inc.	59,423	19,142
	Lowe's Cos. Inc.	80,757	16,616
	Starbucks Corp.	153,343	15,655
*	Booking Holdings Inc.	5,171	13,052
	TJX Cos. Inc.	147,288	11,282
	Target Corp.	61,439	10,352
*	Uber Technologies Inc.	253,099	8,418
	Activision Blizzard Inc.	94,039	7,170
	General Motors Co.	180,255	6,983
*	O'Reilly Automotive Inc.	8,321	6,907
	Estee Lauder Cos. Inc. Class A	27,834	6,765
	Dollar General Corp.	30,165	6,525
	Marriott International Inc. Class A	38,046	6,439
	Ford Motor Co.	527,533	6,367
*	Airbnb Inc. Class A	48,013	5,919
	Ross Stores Inc.	46,298	5,118
*	Lululemon Athletica Inc.	16,342	5,053
	Yum! Brands Inc.	37,612	4,783
	Electronic Arts Inc.	36,933	4,097
*	AutoZone Inc.	1,282	3,188
*	Chipotle Mexican Grill Inc. Class A	1,831	2,730
	Hilton Worldwide Holdings Inc.	17,983	2,599
*	Warner Bros Discovery Inc.	145,232	2,269
*	Rivian Automotive Inc. Class A	85,386	1,648

		Shares	Market Value• ($000)
*	Las Vegas Sands Corp.	22,845	1,313
			528,067
Consumer Staples (6.1%)
	Procter & Gamble Co.	316,460	43,532
	PepsiCo Inc.	184,000	31,929
	Coca-Cola Co.	519,854	30,936
	Philip Morris International Inc.	207,088	20,150
	CVS Health Corp.	175,493	14,661
	Mondelez International Inc. Class A	182,457	11,892
	Altria Group Inc.	239,245	11,108
	Colgate-Palmolive Co.	111,495	8,173
	McKesson Corp.	19,001	6,647
	General Mills Inc.	79,189	6,296
	Kimberly-Clark Corp.	45,041	5,632
	Sysco Corp.	67,730	5,051
*	Monster Beverage Corp.	48,790	4,965
	Constellation Brands Inc. Class A	20,974	4,692
	Hershey Co.	19,645	4,682
	Keurig Dr Pepper Inc.	122,916	4,247
	Kraft Heinz Co.	106,486	4,147
	Walgreens Boots Alliance Inc.	92,321	3,280
	Archer-Daniels-Midland Co.	36,655	2,918
	Brown-Forman Corp. Class B	41,123	2,668
	Brown-Forman Corp. Class A	7,201	467
			228,073
Energy (4.4%)
	Exxon Mobil Corp.	550,013	60,452
	Chevron Corp.	232,373	37,359
	ConocoPhillips	166,376	17,195
	Schlumberger Ltd.	189,350	10,075
	EOG Resources Inc.	78,421	8,863
	Marathon Petroleum Corp.	62,557	7,732
	Pioneer Natural Resources Co.	30,098	6,032
	Occidental Petroleum Corp.	91,044	5,332
	Kinder Morgan Inc.	255,766	4,363
	Valero Energy Corp.	25,728	3,389
	Phillips 66	31,522	3,233
	Williams Cos. Inc.	81,693	2,459
			166,484

4

Mega Cap Index Fund

5

Mega Cap Index Fund

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6

Mega Cap Index Fund

Statement of Assets and Liabilities

As of February 28, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $2,871,551)	3,719,110
Affiliated Issuers (Cost $14,093)	14,093
Total Investments in Securities	3,733,203
Investment in Vanguard	137
Cash	39
Cash Collateral Pledged—Futures Contracts	1,125
Receivables for Accrued Income	6,203
Total Assets	3,740,707
Liabilities
Payables for Investment Securities Purchased	86
Payables to Vanguard	95
Variation Margin Payable—Futures Contracts	66
Total Liabilities	247
Net Assets	3,740,460
At February 28, 2023, net assets consisted of:
Paid-in Capital	2,873,149
Total Distributable Earnings (Loss)	867,311
Net Assets	3,740,460
ETF Shares—Net Assets
Applicable to 25,975,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,566,470
Net Asset Value Per Share—ETF Shares	$137.30
Institutional Shares—Net Assets
Applicable to 642,686 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	173,990
Net Asset Value Per Share—Institutional Shares	$270.72

  

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

7

Mega Cap Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends	31,522
Interest1	209
Securities Lending—Net	23
Total Income	31,754
Expenses
The Vanguard Group—Note B
Investment Advisory Services	45
Management and Administrative—ETF Shares	1,041
Management and Administrative—Institutional Shares	46
Marketing and Distribution—ETF Shares	68
Marketing and Distribution—Institutional Shares	2
Custodian Fees	16
Shareholders’ Reports—ETF Shares	70
Shareholders’ Reports—Institutional Shares	—
Trustees’ Fees and Expenses	1
Other Expenses	6
Total Expenses	1,295
Expenses Paid Indirectly	(1)
Net Expenses	1,294
Net Investment Income	30,460
Realized Net Gain (Loss)
Investment Securities Sold1,2	113,189
Futures Contracts	(1,353)
Realized Net Gain (Loss)	111,836
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	(128,443)
Futures Contracts	(50)
Change in Unrealized Appreciation (Depreciation)	(128,493)
Net Increase (Decrease) in Net Assets Resulting from Operations	13,803

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 $197,000, $4,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $142,900,000 of net gain (loss) resulting from in-kind redemptions.

  

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

8

Mega Cap Index Fund

Statement of Changes in Net Assets

	Six Months Ended February 28, 2023		Year Ended August 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	30,460		59,135
Realized Net Gain (Loss)	111,836		332,118
Change in Unrealized Appreciation (Depreciation)	(128,493)		(990,069)
Net Increase (Decrease) in Net Assets Resulting from Operations	13,803		(598,816)
Distributions
ETF Shares	(31,698)		(55,014)
Institutional Shares	(1,517)		(2,467)
Total Distributions	(33,215)		(57,481)
Capital Share Transactions
ETF Shares	(115,542)		41,621
Institutional Shares	(3,277)		15,237
Net Increase (Decrease) from Capital Share Transactions	(118,819)		56,858
Total Increase (Decrease)	(138,231)		(599,439)
Net Assets
Beginning of Period	3,878,691		4,478,130
End of Period	3,740,460		3,878,691

  

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

9

Mega Cap Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$137.84	$160.74	$125.47	$101.36	$100.26	$85.02
Investment Operations
Net Investment Income1	1.098	2.109	1.961	1.992	2.045	1.790
Net Realized and Unrealized Gain (Loss) on Investments	(.445)	(22.957)	35.218	24.065	1.052	15.214
Total from Investment Operations	.653	(20.848)	37.179	26.057	3.097	17.004
Distributions
Dividends from Net Investment Income	(1.193)	(2.052)	(1.908)	(1.947)	(1.997)	(1.764)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.193)	(2.052)	(1.908)	(1.947)	(1.997)	(1.764)
Net Asset Value, End of Period	$137.30	$137.84	$160.74	$125.47	$101.36	$100.26
Total Return	0.52%	-13.09%	29.94%	26.14%	3.26%	20.25%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,566	$3,701	$4,288	$3,036	$1,944	$1,542
Ratio of Total Expenses to Average Net Assets	0.07%2	0.07%	0.07%	0.07%	0.07%	0.07%
Ratio of Net Investment Income to Average Net Assets	1.62%	1.38%	1.41%	1.85%	2.10%	1.93%
Portfolio Turnover Rate3	1%	3%	5%	4%	4%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

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 0.07%.
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.

10

Mega Cap Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$271.77	$316.94	$247.38	$199.84	$197.68	$167.62
Investment Operations
Net Investment Income1	2.179	4.199	3.882	3.943	4.053	3.513
Net Realized and Unrealized Gain (Loss) on Investments	(.863)	(45.292)	69.463	47.454	2.062	30.038
Total from Investment Operations	1.316	(41.093)	73.345	51.397	6.115	33.551
Distributions
Dividends from Net Investment Income	(2.366)	(4.077)	(3.785)	(3.857)	(3.955)	(3.491)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(2.366)	(4.077)	(3.785)	(3.857)	(3.955)	(3.491)
Net Asset Value, End of Period	$270.72	$271.77	$316.94	$247.38	$199.84	$197.68
Total Return	0.53%	-13.07%	29.97%	26.19%	3.25%	20.26%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$174	$178	$190	$180	$150	$122
Ratio of Total Expenses to Average Net Assets	0.06%2	0.06%	0.06%	0.06%	0.06%	0.06%
Ratio of Net Investment Income to Average Net Assets	1.63%	1.40%	1.42%	1.86%	2.11%	1.94%
Portfolio Turnover Rate3	1%	3%	5%	4%	4%	4%
The expense ratio and net investment income ratio for the current period have been annualized.

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 0.06%.
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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Mega Cap Index Fund

Notes to Financial Statements

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

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.

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.

12

Mega Cap Index Fund

During the six months ended February 28, 2023, the fund’s average investments in long and short futures contracts represented 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. 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.

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

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

6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 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

13

Mega Cap Index Fund

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 six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $137,000, representing less than 0.01% of the fund’s net assets and 0.05% 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 six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (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.

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Mega Cap Index Fund

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

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

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

At February 28, 2023, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.

E.	As of February 28, 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	2,885,862
Gross Unrealized Appreciation	959,797
Gross Unrealized Depreciation	(112,505)
Net Unrealized Appreciation (Depreciation)	847,292

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $101,949,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F.

During the six months ended February 28, 2023, the fund purchased $161,383,000 of investment securities and sold $281,142,000 of investment securities, other than temporary cash investments. Purchases and sales include $112,323,000 and $237,865,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $27,441,000 and sales were $18,699,000, resulting in net realized loss of $23,361,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

15

Mega Cap Index Fund

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

    

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares
Issued	122,436	900		623,865	4,075
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(237,978)	(1,775)		(582,244)	(3,900)
Net Increase (Decrease)—ETF Shares	(115,542)	(875)		41,621	175
Institutional Shares
Issued	3,908	15		25,422	87
Issued in Lieu of Cash Distributions	1,511	6		2,465	8
Redeemed	(8,696)	(32)		(12,650)	(41)
Net Increase (Decrease)—Institutional Shares	(3,277)	(11)		15,237	54

H.	Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.

16

Mega Cap Growth Index Fund

Fund Allocation

As of February 28, 2023

Basic Materials	1.5%
Consumer Discretionary	25.1
Consumer Staples	0.9
Energy	0.6
Financials	2.0
Health Care	7.3
Industrials	9.1
Real Estate	1.8
Technology	50.8
Telecommunications	0.9

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

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

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

17

Mega Cap Growth Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 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 (99.9%)
Basic Materials (1.5%)
	Linde plc	362,287	126,210
	Ecolab Inc.	188,257	30,003
			156,213
Consumer Discretionary (25.1%)
*	Amazon.com Inc.	6,362,906	599,577
*	Tesla Inc.	1,969,502	405,146
	Home Depot Inc.	747,854	221,769
	Costco Wholesale Corp.	324,769	157,247
	McDonald's Corp.	537,622	141,884
*	Walt Disney Co.	1,337,969	133,275
	NIKE Inc. Class B	924,039	109,767
*	Netflix Inc.	326,401	105,143
	Lowe's Cos. Inc.	443,743	91,300
	Starbucks Corp.	842,303	85,991
*	Booking Holdings Inc.	28,452	71,813
	TJX Cos. Inc.	808,694	61,946
*	Uber Technologies Inc.	1,390,960	46,263
*	O'Reilly Automotive Inc.	45,843	38,054
	Estee Lauder Cos. Inc. Class A	152,869	37,155
	Dollar General Corp.	165,738	35,849
	Marriott International Inc. Class A	209,217	35,408
*	Airbnb Inc. Class A	263,236	32,452
	Ross Stores Inc.	254,944	28,181
*	Lululemon Athletica Inc.	89,760	27,754
	Yum! Brands Inc.	206,162	26,216
	Electronic Arts Inc.	202,722	22,490
	Activision Blizzard Inc.	258,615	19,719
*	AutoZone Inc.	6,983	17,363
*	Chipotle Mexican Grill Inc. Class A	10,189	15,193
	Hilton Worldwide Holdings Inc.	99,347	14,357
*	Rivian Automotive Inc. Class A	469,377	9,059
*	Las Vegas Sands Corp.	125,900	7,235
			2,597,606
Consumer Staples (0.9%)
*	Monster Beverage Corp.	268,321	27,304
	Hershey Co.	108,014	25,742
	Colgate-Palmolive Co.	306,585	22,473
	Brown-Forman Corp. Class B	228,567	14,827

		Shares	Market Value• ($000)
	Brown-Forman Corp. Class A	36,218	2,351
			92,697
Energy (0.6%)
	Pioneer Natural Resources Co.	165,775	33,223
	Schlumberger Ltd.	520,591	27,701
			60,924
Financials (2.0%)
	S&P Global Inc.	239,110	81,584
	Blackstone Inc.	515,102	46,771
	Aon plc Class A (XNYS)	144,026	43,791
	Moody's Corp.	114,071	33,098
			205,244
Health Care (7.3%)
	Thermo Fisher Scientific Inc.	287,836	155,938
	Eli Lilly & Co.	313,715	97,634
	Danaher Corp.	240,105	59,433
*	Intuitive Surgical Inc.	259,089	59,433
*	Regeneron Pharmaceuticals Inc.	74,587	56,718
*	Vertex Pharmaceuticals Inc.	188,550	54,734
	Zoetis Inc.	307,924	51,423
*	Boston Scientific Corp.	1,049,623	49,038
*	Edwards Lifesciences Corp.	454,055	36,524
*	Moderna Inc.	239,320	33,220
	Stryker Corp.	125,054	32,874
	Agilent Technologies Inc.	216,672	30,761
*	Illumina Inc.	115,479	23,004
*	IDEXX Laboratories Inc.	30,373	14,374
			755,108
Industrials (9.1%)
	Visa Inc. Class A	1,194,687	262,759
	Mastercard Inc. Class A	629,864	223,784
	Accenture plc Class A	462,201	122,738
*	Boeing Co.	437,333	88,145
*	PayPal Holdings Inc.	836,948	61,599
*	Fiserv Inc.	419,560	48,287
	Sherwin-Williams Co.	171,287	37,914
	Automatic Data Processing Inc.	152,350	33,490
*	Block Inc. (XNYS)	394,371	30,260
	Paychex Inc.	238,178	26,295

18

Mega Cap Growth Index Fund

---

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19

Mega Cap Growth Index Fund

Statement of Assets and Liabilities

As of February 28, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $9,606,716)	10,347,697
Affiliated Issuers (Cost $4,972)	4,972
Total Investments in Securities	10,352,669
Investment in Vanguard	380
Cash	58
Cash Collateral Pledged—Futures Contracts	775
Receivables for Accrued Income	7,157
Total Assets	10,361,039
Liabilities
Payables for Investment Securities Purchased	78
Payables for Capital Shares Redeemed	1
Payables to Vanguard	262
Variation Margin Payable—Futures Contracts	14
Total Liabilities	355
Net Assets	10,360,684
At February 28, 2023, net assets consisted of:
Paid-in Capital	9,761,716
Total Distributable Earnings (Loss)	598,968
Net Assets	10,360,684
ETF Shares—Net Assets
Applicable to 55,014,192 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	10,335,011
Net Asset Value Per Share—ETF Shares	$187.86
Institutional Shares—Net Assets
Applicable to 68,797 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	25,673
Net Asset Value Per Share—Institutional Shares	$373.17

  

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

20

Mega Cap Growth Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends	35,597
Interest1	152
Securities Lending—Net	—
Total Income	35,749
Expenses
The Vanguard Group—Note B
Investment Advisory Services	124
Management and Administrative—ETF Shares	2,974
Management and Administrative—Institutional Shares	7
Marketing and Distribution—ETF Shares	242
Marketing and Distribution—Institutional Shares	—
Custodian Fees	15
Shareholders’ Reports—ETF Shares	191
Shareholders’ Reports—Institutional Shares	—
Trustees’ Fees and Expenses	2
Other Expenses	6
Total Expenses	3,561
Net Investment Income	32,188
Realized Net Gain (Loss)
Investment Securities Sold1,2	347,063
Futures Contracts	(638)
Realized Net Gain (Loss)	346,425
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	(787,644)
Futures Contracts	441
Change in Unrealized Appreciation (Depreciation)	(787,203)
Net Increase (Decrease) in Net Assets Resulting from Operations	(408,590)

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 $141,000, $2,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $641,596,000 of net gain (loss) resulting from in-kind redemptions.

  

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

21

Mega Cap Growth Index Fund

Statement of Changes in Net Assets

	Six Months Ended February 28, 2023		Year Ended August 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	32,188		63,434
Realized Net Gain (Loss)	346,425		858,787
Change in Unrealized Appreciation (Depreciation)	(787,203)		(3,910,393)
Net Increase (Decrease) in Net Assets Resulting from Operations	(408,590)		(2,988,172)
Distributions
ETF Shares	(38,552)		(57,769)
Institutional Shares	(95)		(185)
Total Distributions	(38,647)		(57,954)
Capital Share Transactions
ETF Shares	(386,923)		1,490,053
Institutional Shares	(109)		(9,451)
Net Increase (Decrease) from Capital Share Transactions	(387,032)		1,480,602
Total Increase (Decrease)	(834,269)		(1,565,524)
Net Assets
Beginning of Period	11,194,953		12,760,477
End of Period	10,360,684		11,194,953

  

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

22

Mega Cap Growth Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$195.20	$248.50	$196.25	$132.22	$127.79	$104.09
Investment Operations
Net Investment Income1	.575	1.151	1.220	1.358	1.588	1.485
Net Realized and Unrealized Gain (Loss) on Investments	(7.230)	(53.389)	52.279	64.007	3.860	23.677
Total from Investment Operations	(6.655)	(52.238)	53.499	65.365	5.448	25.162
Distributions
Dividends from Net Investment Income	(.685)	(1.062)	(1.249)	(1.335)	(1.018)	(1.462)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.685)	(1.062)	(1.249)	(1.335)	(1.018)	(1.462)
Net Asset Value, End of Period	$187.86	$195.20	$248.50	$196.25	$132.22	$127.79
Total Return	-3.39%	-21.08%	27.41%	49.84%	4.32%	24.38%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$10,335	$11,168	$12,714	$10,193	$4,388	$4,152
Ratio of Total Expenses to Average Net Assets	0.07%	0.07%	0.07%	0.07%	0.07%	0.07%
Ratio of Net Investment Income to Average Net Assets	0.65%	0.51%	0.58%	0.90%	1.30%	1.29%
Portfolio Turnover Rate2	4%	5%	8%	6%	14%	9%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

23

Mega Cap Growth Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$387.74	$493.61	$389.78	$262.63	$253.80	$206.74
Investment Operations
Net Investment Income1	1.162	2.279	2.498	2.707	3.184	2.963
Net Realized and Unrealized Gain (Loss) on Investments	(14.352)	(106.001)	103.822	127.126	7.684	47.023
Total from Investment Operations	(13.190)	(103.722)	106.320	129.833	10.868	49.986
Distributions
Dividends from Net Investment Income	(1.380)	(2.148)	(2.489)	(2.683)	(2.038)	(2.926)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.380)	(2.148)	(2.489)	(2.683)	(2.038)	(2.926)
Net Asset Value, End of Period	$373.17	$387.74	$493.61	$389.78	$262.63	$253.80
Total Return	-3.38%	-21.07%	27.43%	49.87%	4.34%	24.39%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$26	$27	$46	$81	$43	$43
Ratio of Total Expenses to Average Net Assets	0.06%	0.06%	0.06%	0.06%	0.06%	0.06%
Ratio of Net Investment Income to Average Net Assets	0.66%	0.50%	0.62%	0.91%	1.31%	1.30%
Portfolio Turnover Rate2	4%	5%	8%	6%	14%	9%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

24

Mega Cap Growth Index Fund

Notes to Financial Statements

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

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.

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.

25

Mega Cap Growth Index Fund

During the six months ended February 28, 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. 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.

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

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

6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 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

26

Mega Cap Growth Index Fund

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 six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $380,000, representing less than 0.01% of the fund’s net assets and 0.15% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.

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

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

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

27

Mega Cap Growth Index Fund

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

At February 28, 2023, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.

D.	As of February 28, 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	9,618,721
Gross Unrealized Appreciation	1,440,226
Gross Unrealized Depreciation	(706,350)
Net Unrealized Appreciation (Depreciation)	733,876

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $496,091,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

E.

During the six months ended February 28, 2023, the fund purchased $1,368,855,000 of investment securities and sold $1,755,428,000 of investment securities, other than temporary cash investments. Purchases and sales include $967,228,000 and $1,352,090,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $88,460,000 and sales were $170,546,000, resulting in net realized loss of $198,547,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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

    

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares
Issued	968,839	5,225		3,516,757	15,200
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(1,355,762)	(7,425)		(2,026,704)	(9,150)
Net Increase (Decrease)—ETF Shares	(386,923)	(2,200)		1,490,053	6,050

28

Mega Cap Growth Index Fund

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Institutional Shares
Issued	161	1		1,938	5
Issued in Lieu of Cash Distributions	95	—		184	—
Redeemed	(365)	(1)		(11,573)	(29)
Net Increase (Decrease)—Institutional Shares	(109)	—		(9,451)	(24)

G.	Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.

29

Mega Cap Value Index Fund

Fund Allocation

As of February 28, 2023

Basic Materials	1.4%
Consumer Discretionary	3.0
Consumer Staples	11.5
Energy	8.5
Financials	20.1
Health Care	21.7
Industrials	14.7
Real Estate	1.0
Technology	9.0
Telecommunications	4.6
Utilities	4.5

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

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

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

30

Mega Cap Value Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of February 28, 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 (99.9%)
Basic Materials (1.4%)
	Air Products and Chemicals Inc.	96,810	27,686
	Freeport-McMoRan Inc.	622,680	25,511
	Dow Inc.	307,298	17,577
	Newmont Corp.	346,566	15,114
			85,888
Consumer Discretionary (3.0%)
	Walmart Inc.	591,644	84,090
	Target Corp.	200,816	33,838
	General Motors Co.	588,300	22,791
	Ford Motor Co.	1,722,246	20,788
	Activision Blizzard Inc.	153,513	11,705
*	Warner Bros Discovery Inc.	475,999	7,435
			180,647
Consumer Staples (11.5%)
	Procter & Gamble Co.	1,033,252	142,134
	PepsiCo Inc.	600,744	104,247
	Coca-Cola Co.	1,697,123	100,996
	Philip Morris International Inc.	675,903	65,765
	CVS Health Corp.	572,806	47,852
	Mondelez International Inc. Class A	595,445	38,811
	Altria Group Inc.	781,449	36,283
	McKesson Corp.	61,847	21,635
	General Mills Inc.	258,788	20,576
	Kimberly-Clark Corp.	147,223	18,410
	Sysco Corp.	221,288	16,502
	Constellation Brands Inc. Class A	68,292	15,277
	Keurig Dr Pepper Inc.	400,849	13,849
	Kraft Heinz Co.	346,679	13,500
	Colgate-Palmolive Co.	181,870	13,331
	Walgreens Boots Alliance Inc.	301,601	10,716
	Archer-Daniels-Midland Co.	119,812	9,537
			689,421
Energy (8.5%)
	Exxon Mobil Corp.	1,795,727	197,368
	Chevron Corp.	758,840	121,999
	ConocoPhillips	543,343	56,154
	EOG Resources Inc.	256,217	28,958
	Marathon Petroleum Corp.	204,403	25,264
	Occidental Petroleum Corp.	297,561	17,425
	Schlumberger Ltd.	308,625	16,422
	Kinder Morgan Inc.	831,800	14,190

		Shares	Market Value• ($000)
	Valero Energy Corp.	83,942	11,058
	Phillips 66	103,048	10,569
	Williams Cos. Inc.	265,909	8,004
			507,411
Financials (20.1%)
*	Berkshire Hathaway Inc. Class B	631,630	192,761
	JPMorgan Chase & Co.	1,278,973	183,341
	Bank of America Corp.	2,973,167	101,980
	Wells Fargo & Co.	1,661,366	77,702
	Morgan Stanley	552,754	53,341
	Charles Schwab Corp.	673,131	52,450
	Goldman Sachs Group Inc.	147,641	51,918
	BlackRock Inc.	62,223	42,898
	Citigroup Inc.	802,135	40,660
*	Berkshire Hathaway Inc. Class A	82	38,009
	Progressive Corp.	255,031	36,602
	Chubb Ltd.	171,935	36,282
	Marsh & McLennan Cos. Inc.	216,307	35,072
	US Bancorp	615,974	29,400
	CME Group Inc.	156,909	29,085
	PNC Financial Services Group Inc.	175,669	27,742
	Truist Financial Corp.	579,088	27,188
	Intercontinental Exchange Inc.	243,314	24,769
	Travelers Cos. Inc.	102,181	18,916
	MetLife Inc.	256,826	18,422
	Aflac Inc.	244,398	16,656
	Bank of New York Mellon Corp.	316,726	16,115
	Prudential Financial Inc.	160,194	16,019
	KKR & Co. Inc.	281,113	15,841
	Allstate Corp.	115,897	14,925
	American International Group Inc.	162,248	9,915
			1,208,009
Health Care (21.6%)
	UnitedHealth Group Inc.	407,401	193,898
	Johnson & Johnson	1,139,957	174,710
	AbbVie Inc.	771,035	118,662
	Merck & Co. Inc.	1,105,480	117,446
	Pfizer Inc.	2,447,448	99,293
	Abbott Laboratories	760,245	77,332
	Bristol-Myers Squibb Co.	926,959	63,923
	Eli Lilly & Co.	186,423	58,019
	Amgen Inc.	232,609	53,886

31

Mega Cap Value Index Fund

32

Mega Cap Value Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2023	39	7,752	(214)

  

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

33

Mega Cap Value Index Fund

Statement of Assets and Liabilities

As of February 28, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $5,223,527)	5,993,347
Affiliated Issuers (Cost $2)	2
Total Investments in Securities	5,993,349
Investment in Vanguard	220
Cash Collateral Pledged—Futures Contracts	420
Receivables for Accrued Income	15,776
Receivables for Capital Shares Issued	12
Total Assets	6,009,777
Liabilities
Due to Custodian	8,117
Payables for Capital Shares Redeemed	24
Payables to Vanguard	152
Variation Margin Payable—Futures Contracts	24
Total Liabilities	8,317
Net Assets	6,001,460
At February 28, 2023, net assets consisted of:
Paid-in Capital	5,184,362
Total Distributable Earnings (Loss)	817,098
Net Assets	6,001,460
ETF Shares—Net Assets
Applicable to 57,990,748 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	5,879,531
Net Asset Value Per Share—ETF Shares	$101.39
Institutional Shares—Net Assets
Applicable to 606,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	121,929
Net Asset Value Per Share—Institutional Shares	$201.05

  

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

34

Mega Cap Value Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends	78,710
Interest1	47
Securities Lending—Net	77
Total Income	78,834
Expenses
The Vanguard Group—Note B
Investment Advisory Services	72
Management and Administrative—ETF Shares	1,606
Management and Administrative—Institutional Shares	22
Marketing and Distribution—ETF Shares	135
Marketing and Distribution—Institutional Shares	1
Custodian Fees	67
Shareholders’ Reports—ETF Shares	110
Shareholders’ Reports—Institutional Shares	1
Trustees’ Fees and Expenses	1
Other Expenses	14
Total Expenses	2,029
Expenses Paid Indirectly	(1)
Net Expenses	2,028
Net Investment Income	76,806
Realized Net Gain (Loss)
Investment Securities Sold1,2	169,537
Futures Contracts	(1,000)
Realized Net Gain (Loss)	168,537
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	43,298
Futures Contracts	(36)
Change in Unrealized Appreciation (Depreciation)	43,262
Net Increase (Decrease) in Net Assets Resulting from Operations	288,605

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 $41,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $215,540,000 of net gain (loss) resulting from in-kind redemptions.

  

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

35

Mega Cap Value Index Fund

Statement of Changes in Net Assets

	Six Months Ended February 28, 2023		Year Ended August 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	76,806		128,925
Realized Net Gain (Loss)	168,537		246,304
Change in Unrealized Appreciation (Depreciation)	43,262		(553,302)
Net Increase (Decrease) in Net Assets Resulting from Operations	288,605		(178,073)
Distributions
ETF Shares	(77,977)		(119,211)
Institutional Shares	(1,618)		(3,022)
Total Distributions	(79,595)		(122,233)
Capital Share Transactions
ETF Shares	88,827		1,294,327
Institutional Shares	1,771		(6,904)
Net Increase (Decrease) from Capital Share Transactions	90,598		1,287,423
Total Increase (Decrease)	299,608		987,117
Net Assets
Beginning of Period	5,701,852		4,714,735
End of Period	6,001,460		5,701,852

  

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

36

Mega Cap Value Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$97.72	$102.64	$78.96	$78.94	$79.89	$70.19
Investment Operations
Net Investment Income1	1.322	2.519	2.271	2.271	2.261	1.893
Net Realized and Unrealized Gain (Loss) on Investments	3.727	(5.016)	23.557	(.044)	(1.027)	9.668
Total from Investment Operations	5.049	(2.497)	25.828	2.227	1.234	11.561
Distributions
Dividends from Net Investment Income	(1.379)	(2.423)	(2.148)	(2.207)	(2.184)	(1.861)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.379)	(2.423)	(2.148)	(2.207)	(2.184)	(1.861)
Net Asset Value, End of Period	$101.39	$97.72	$102.64	$78.96	$78.94	$79.89
Total Return	5.24%	-2.51%	33.17%	2.94%	1.69%	16.71%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$5,880	$5,586	$4,587	$3,017	$2,448	$2,120
Ratio of Total Expenses to Average Net Assets	0.07%2	0.07%	0.07%	0.07%	0.07%	0.07%
Ratio of Net Investment Income to Average Net Assets	2.57%	2.45%	2.47%	2.90%	2.90%	2.50%
Portfolio Turnover Rate3	3%	8%	11%	9%	10%	8%
The expense ratio and net investment income ratio for the current period have been annualized.

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 0.07%.
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.

37

Mega Cap Value Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$193.77	$203.54	$156.56	$156.53	$158.41	$139.18
Investment Operations
Net Investment Income1	2.629	4.999	4.492	4.522	4.467	3.743
Net Realized and Unrealized Gain (Loss) on Investments	7.396	(9.947)	46.761	(.102)	(2.002)	19.188
Total from Investment Operations	10.025	(4.948)	51.253	4.420	2.465	22.931
Distributions
Dividends from Net Investment Income	(2.745)	(4.822)	(4.274)	(4.390)	(4.345)	(3.701)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(2.745)	(4.822)	(4.274)	(4.390)	(4.345)	(3.701)
Net Asset Value, End of Period	$201.05	$193.77	$203.54	$156.56	$156.53	$158.41
Total Return	5.25%	-2.49%	33.22%	3.00%	1.68%	16.71%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$122	$116	$128	$117	$134	$131
Ratio of Total Expenses to Average Net Assets	0.06%2	0.06%	0.06%	0.06%	0.06%	0.06%
Ratio of Net Investment Income to Average Net Assets	2.58%	2.45%	2.49%	2.89%	2.91%	2.51%
Portfolio Turnover Rate3	3%	8%	11%	9%	10%	8%
The expense ratio and net investment income ratio for the current period have been annualized.

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 0.06%.
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.

38

Mega Cap Value Index Fund

Notes to Financial Statements

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

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.

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.

39

Mega Cap Value Index Fund

During the six months ended February 28, 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. 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.

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

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

6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 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

40

Mega Cap Value Index Fund

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 six months ended February 28, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 2023, the fund had contributed to Vanguard capital in the amount of $220,000, representing less than 0.01% of the fund’s net assets and 0.09% 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 six months ended February 28, 2023, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (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.

41

Mega Cap Value Index Fund

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

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

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

At February 28, 2023, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.

E.	As of February 28, 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	5,230,236
Gross Unrealized Appreciation	932,759
Gross Unrealized Depreciation	(169,860)
Net Unrealized Appreciation (Depreciation)	762,899

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2022, the fund had available capital losses totaling $141,560,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F.

During the six months ended February 28, 2023, the fund purchased $791,180,000 of investment securities and sold $709,280,000 of investment securities, other than temporary cash investments. Purchases and sales include $587,637,000 and $492,523,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $116,468,000 and sales were $48,174,000, resulting in net realized loss of $20,746,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

42

Mega Cap Value Index Fund

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

    

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares
Issued	587,904	5,825		1,983,469	19,305
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(499,077)	(5,000)		(689,142)	(6,825)
Net Increase (Decrease)—ETF Shares	88,827	825		1,294,327	12,480
Institutional Shares
Issued	6,739	33		12,673	62
Issued in Lieu of Cash Distributions	485	2		939	5
Redeemed	(5,453)	(27)		(20,516)	(99)
Net Increase (Decrease)—Institutional Shares	1,771	8		(6,904)	(32)

At February 28, 2023, one shareholder was a record or beneficial owner of 31% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.	Management has determined that no events or transactions occurred subsequent to February 28, 2023, that would require recognition or disclosure in these financial statements.

43

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Fund Information > 800-662-7447

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Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273

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

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

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

© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964.
Vanguard Marketing Corporation, Distributor.

Q8282 042023