Contents

AboutYour Fund's Expenses	1
S&P Mid-Cap 400 Index Fund	3
S&P Mid-Cap 400 Value Index Fund	21
S&P Mid-Cap 400 Growth Index Fund	39

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
S&P Mid-Cap 400 Index Fund
ETF Shares	$1,000.00	$1,078.30	$0.52
Institutional Shares	1,000.00	1,078.60	0.41
S&P Mid-Cap 400 Value Index Fund
ETF Shares	$1,000.00	$1,103.90	$0.78
Institutional Shares	1,000.00	1,104.30	0.42
S&P Mid-Cap 400 Growth Index Fund
ETF Shares	$1,000.00	$1,052.60	$0.76
Institutional Shares	1,000.00	1,053.00	0.41
Based on Hypothetical 5% Yearly Return
S&P Mid-Cap 400 Index Fund
ETF Shares	$1,000.00	$1,024.30	$0.50
Institutional Shares	1,000.00	1,024.40	0.40
S&P Mid-Cap 400 Value Index Fund
ETF Shares	$1,000.00	$1,024.05	$0.75
Institutional Shares	1,000.00	1,024.40	0.40
S&P Mid-Cap 400 Growth Index Fund
ETF Shares	$1,000.00	$1,024.05	$0.75
Institutional Shares	1,000.00	1,024.40	0.40

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 S&P Mid-Cap 400 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.15% for ETF Shares and 0.08% 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).

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S&P Mid-Cap 400 Index Fund

Fund Allocation

As of February 28, 2023

Communication Services	2.1%
Consumer Discretionary	14.4
Consumer Staples	3.8
Energy	3.5
Financials	15.3
Health Care	9.2
Industrials	20.6
Information Technology	12.6
Materials	6.8
Real Estate	8.0
Utilities	3.7

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS 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 Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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S&P Mid-Cap 400 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 (99.3%)
Communication Services (2.1%)
*	Iridium Communications Inc.				169,364	10,394
	Nexstar Media Group Inc. Class A				50,829	9,449
	New York Times Co. Class A				221,929	8,544
	Frontier Communications Parent Inc.				300,546	8,223
	TEGNA Inc.				300,741	5,233
*	Ziff Davis Inc.				63,613	5,024
	World Wrestling Entertainment Inc. Class A				58,365	4,903
	Cable One Inc.				6,501	4,490
*	TripAdvisor Inc.				141,251	3,047
	John Wiley & Sons Inc. Class A				57,791	2,571
						61,878
Consumer Discretionary (14.3%)
*	Five Below Inc.				74,821	15,286
*	Deckers Outdoor Corp.				35,677	14,854
	Service Corp. International				207,315	14,000
	Williams-Sonoma Inc.				89,923	11,233
	Lear Corp.				79,672	11,126
	Churchill Downs Inc.				44,367	10,904
*	Crocs Inc.				83,230	10,130
	Tempur Sealy International Inc.				230,474	9,850
	Dick's Sporting Goods Inc.				74,950	9,641
	Lithia Motors Inc. Class A				36,852	9,404
	Wyndham Hotels & Resorts Inc.				119,051	9,169
	Texas Roadhouse Inc. Class A				90,195	9,158
	Gentex Corp.				316,188	9,027
*	TopBuild Corp.				43,097	8,946
*	Capri Holdings Ltd.				173,616	8,606
*	Mattel Inc.				477,709	8,594
	Brunswick Corp.				97,736	8,544
	Harley-Davidson Inc.				179,317	8,527

					Shares	Market Value• ($000)
	Toll Brothers Inc.				142,059	8,515
	Polaris Inc.				73,438	8,354
*	Skechers USA Inc. Class A				180,921	8,053
*	Light & Wonder Inc.				126,271	7,906
	Marriott Vacations Worldwide Corp.				51,654	7,903
*	RH				25,904	7,746
	H&R Block Inc.				209,553	7,712
	Macy's Inc.				365,286	7,474
	Murphy USA Inc.				28,013	7,146
	PVH Corp.				87,923	7,055
	Boyd Gaming Corp.				106,922	6,964
	Wingstop Inc.				40,326	6,870
*	Fox Factory Holding Corp.				56,974	6,694
	Thor Industries Inc.				72,362	6,584
*,1	GameStop Corp. Class A				340,712	6,552
*	Penn Entertainment Inc.				209,099	6,384
*	Visteon Corp.				37,936	6,337
*	AutoNation Inc.				46,104	6,294
	Leggett & Platt Inc.				178,701	6,163
*	Adient plc				127,813	5,460
*	Taylor Morrison Home Corp. Class A				146,047	5,233
	Wendy's Co.				229,702	5,044
*	Grand Canyon Education Inc.				41,342	4,684
	Foot Locker Inc.				106,905	4,674
	Travel + Leisure Co.				109,568	4,596
*	YETI Holdings Inc.				116,265	4,532
*	Ollie's Bargain Outlet Holdings Inc.				78,465	4,515
	Choice Hotels International Inc.				37,356	4,421
	Kohl's Corp.				157,231	4,409
*	Victoria's Secret & Co.				109,519	4,341
*	Goodyear Tire & Rubber Co.				381,319	4,332
*	Topgolf Callaway Brands Corp.				186,884	4,332
	Columbia Sportswear Co.				47,736	4,163
	KB Home				111,966	3,949
	Carter's Inc.				51,449	3,879

4

S&P Mid-Cap 400 Index Fund

5

S&P Mid-Cap 400 Index Fund

6

S&P Mid-Cap 400 Index Fund

7

S&P Mid-Cap 400 Index Fund

8

S&P Mid-Cap 400 Index Fund

					Shares	Market Value• ($000)
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
2,3	Vanguard Market Liquidity Fund, 4.640% (Cost $30,155)				301,603	30,157
Total Investments (100.3%) (Cost $2,593,362)						2,990,751
Other Assets and Liabilities—Net (-0.3%)						(7,612)
Net Assets (100%)						2,983,139

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 $7,920,000.
2	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3	Collateral of $8,304,000 was received for securities on loan.

REIT—Real Estate Investment Trust.

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 Mid-Cap 400 Index	March 2023	74	19,264	464

    

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)
Wolfspeed Inc.	8/31/23	BANA	3,234	(4.569)	—	(138)

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

  

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

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S&P Mid-Cap 400 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 Value1
Unaffiliated Issuers (Cost $2,563,207)	2,960,594
Affiliated Issuers (Cost $30,155)	30,157
Total Investments in Securities	2,990,751
Investment in Vanguard	107
Cash	18
Cash Collateral Pledged—Futures Contracts	1,110
Receivables for Accrued Income	2,378
Receivables for Capital Shares Issued	927
Total Assets	2,995,291
Liabilities
Payables for Investment Securities Purchased	3,213
Collateral for Securities on Loan	8,304
Payables for Capital Shares Redeemed	357
Payables to Vanguard	98
Variation Margin Payable—Futures Contracts	42
Unrealized Depreciation—Over-the-Counter Swap Contracts	138
Total Liabilities	12,152
Net Assets	2,983,139
1 Includes $7,920,000 of securities on loan.
At February 28, 2023, net assets consisted of:
Paid-in Capital	2,777,977
Total Distributable Earnings (Loss)	205,162
Net Assets	2,983,139
ETF Shares—Net Assets2
Applicable to 17,902,316 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,571,044
Net Asset Value Per Share—ETF Shares	$87.76
Institutional Shares—Net Assets
Applicable to 4,033,773 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,412,095
Net Asset Value Per Share—Institutional Shares	$350.07

2	Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.

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

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S&P Mid-Cap 400 Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends	18,522
Interest1	250
Securities Lending—Net	515
Total Income	19,287
Expenses
The Vanguard Group—Note B
Investment Advisory Services	33
Management and Administrative—ETF Shares	617
Management and Administrative—Institutional Shares	478
Marketing and Distribution—ETF Shares	42
Marketing and Distribution—Institutional Shares	19
Custodian Fees	21
Shareholders’ Reports—ETF Shares	29
Shareholders’ Reports—Institutional Shares	8
Trustees’ Fees and Expenses	1
Other Expenses	6
Total Expenses	1,254
Expenses Paid Indirectly	(1)
Net Expenses	1,253
Net Investment Income	18,034
Realized Net Gain (Loss)
Investment Securities Sold1,2	60,431
Futures Contracts	(125)
Swap Contracts	(326)
Realized Net Gain (Loss)	59,980
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	134,441
Futures Contracts	330
Swap Contracts	(138)
Change in Unrealized Appreciation (Depreciation)	134,633
Net Increase (Decrease) in Net Assets Resulting from Operations	212,647

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 $234,000, $1,000, less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $91,194,000 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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S&P Mid-Cap 400 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	18,034		40,787
Realized Net Gain (Loss)	59,980		142,855
Change in Unrealized Appreciation (Depreciation)	134,633		(502,988)
Net Increase (Decrease) in Net Assets Resulting from Operations	212,647		(319,346)
Distributions
ETF Shares	(14,691)		(19,007)
Institutional Shares	(13,525)		(18,307)
Total Distributions	(28,216)		(37,314)
Capital Share Transactions
ETF Shares	65,869		119,621
Institutional Shares	(2,610)		100,708
Net Increase (Decrease) from Capital Share Transactions	63,259		220,329
Total Increase (Decrease)	247,690		(136,331)
Net Assets
Beginning of Period	2,735,449		2,871,780
End of Period	2,983,139		2,735,449

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

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S&P Mid-Cap 400 Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period1	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$82.25	$93.08	$65.16	$63.59	$69.01	$58.37
Investment Operations
Net Investment Income2	.535	1.247	.998	.980	.940	.889
Net Realized and Unrealized Gain (Loss) on Investments	5.811	(10.928)	27.898	1.607	(5.437)	10.605
Total from Investment Operations	6.346	(9.681)	28.896	2.587	(4.497)	11.494
Distributions
Dividends from Net Investment Income	(.836)	(1.149)	(.976)	(1.017)	(.923)	(.854)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.836)	(1.149)	(.976)	(1.017)	(.923)	(.854)
Net Asset Value, End of Period	$87.76	$82.25	$93.08	$65.16	$63.59	$69.01
Total Return	7.83%	-10.47%	44.65%	4.11%	-6.50%	19.82%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,571	$1,411	$1,476	$890	$919	$973
Ratio of Total Expenses to Average Net Assets	0.10%3	0.10%3	0.10%	0.10%	0.10%	0.15%
Ratio of Net Investment Income to Average Net Assets	1.43%	1.41%	1.21%	1.57%	1.47%	1.38%
Portfolio Turnover Rate4	5%	11%	16%	17%	10%	12%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2	Calculated based on average shares outstanding.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
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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S&P Mid-Cap 400 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	$328.11	$371.30	$259.90	$253.60	$275.26	$232.82
Investment Operations
Net Investment Income1	2.160	5.037	4.038	3.959	3.786	3.711
Net Realized and Unrealized Gain (Loss) on Investments	23.165	(43.574)	111.307	6.384	(21.653)	42.301
Total from Investment Operations	25.325	(38.537)	115.345	10.343	(17.867)	46.012
Distributions
Dividends from Net Investment Income	(3.365)	(4.653)	(3.945)	(4.043)	(3.793)	(3.572)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(3.365)	(4.653)	(3.945)	(4.043)	(3.793)	(3.572)
Net Asset Value, End of Period	$350.07	$328.11	$371.30	$259.90	$253.60	$275.26
Total Return	7.86%	-10.43%	44.69%	4.14%	-6.49%	19.92%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,412	$1,325	$1,396	$1,164	$1,202	$1,420
Ratio of Total Expenses to Average Net Assets	0.08%2	0.08%2	0.08%	0.08%	0.08%	0.08%
Ratio of Net Investment Income to Average Net Assets	1.45%	1.43%	1.24%	1.59%	1.49%	1.45%
Portfolio Turnover Rate3	5%	11%	16%	17%	10%	12%
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 0.08%.
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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S&P Mid-Cap 400 Index Fund

Notes to Financial Statements

Vanguard S&P Mid-Cap 400 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. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.

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

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S&P Mid-Cap 400 Index Fund

the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

During the six months ended February 28, 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 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 six months ended February 28, 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.

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S&P Mid-Cap 400 Index Fund

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.

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 $4.4 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 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

17

S&P Mid-Cap 400 Index Fund

money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

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

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 February 28, 2023, the fund had contributed to Vanguard capital in the amount of $107,000, representing less than 0.01% of the fund’s net assets and 0.04% 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.

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.).

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S&P Mid-Cap 400 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.

The following table summarizes the market value of the fund's investments and derivatives as of February 28, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	2,960,594	—	—	2,960,594
Temporary Cash Investments	30,157	—	—	30,157
Total	2,990,751	—	—	2,990,751
Derivative Financial Instruments
Assets
Futures Contracts1	464	—	—	464
Liabilities
Swap Contracts	—	138	—	138

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.  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	2,599,579
Gross Unrealized Appreciation	629,044
Gross Unrealized Depreciation	(237,546)
Net Unrealized Appreciation (Depreciation)	391,498

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 $243,921,000 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 $447,046,000 of investment securities and sold $396,441,000 of investment securities, other than temporary cash investments. Purchases and sales include $239,186,000 and $252,999,000, 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 $52,955,000 and sales were $31,927,000,

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S&P Mid-Cap 400 Index Fund

resulting in net realized loss of $20,202,000; 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:

	Six Months Ended February 28, 2023			Year Ended August 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
ETF Shares1
Issued	319,140	3,900		520,086	5,850
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(253,271)	(3,150)		(400,465)	(4,550)
Net Increase (Decrease)—ETF Shares	65,869	750		119,621	1,300
Institutional Shares
Issued	90,087	271		239,857	682
Issued in Lieu of Cash Distributions	12,709	41		17,388	51
Redeemed	(105,406)	(315)		(156,537)	(456)
Net Increase (Decrease)—Institutional Shares	(2,610)	(3)		100,708	277

1	Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.

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

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S&P Mid-Cap 400 Value Index Fund

Fund Allocation

As of February 28, 2023

Communication Services	2.2%
Consumer Discretionary	16.7
Consumer Staples	3.6
Energy	0.5
Financials	19.3
Health Care	7.2
Industrials	18.1
Information Technology	12.2
Materials	5.3
Real Estate	11.2
Utilities	3.7

The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS 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 Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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S&P Mid-Cap 400 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 (99.8%)
Communication Services (2.2%)
	Frontier Communications Parent Inc.				193,091	5,283
	TEGNA Inc.				193,234	3,362
*	Ziff Davis Inc.				40,871	3,228
	Cable One Inc.				4,176	2,884
	New York Times Co. Class A				71,293	2,745
*	TripAdvisor Inc.				90,749	1,958
	John Wiley & Sons Inc. Class A				37,185	1,654
						21,114
Consumer Discretionary (16.6%)
	Lear Corp.				51,190	7,149
	Lithia Motors Inc. Class A				23,676	6,042
*	Capri Holdings Ltd.				111,544	5,529
*	Mattel Inc.				306,943	5,522
	Toll Brothers Inc.				91,278	5,471
*	Skechers USA Inc. Class A				116,238	5,174
	Marriott Vacations Worldwide Corp.				33,185	5,077
*	RH				16,644	4,977
	Macy's Inc.				234,687	4,802
	PVH Corp.				56,486	4,532
	Thor Industries Inc.				46,493	4,230
*,1	GameStop Corp. Class A				218,909	4,210
*	Penn Entertainment Inc.				134,336	4,101
	Leggett & Platt Inc.				114,819	3,960
	Williams-Sonoma Inc.				30,042	3,753
*	Adient plc				82,113	3,508
*	Taylor Morrison Home Corp. Class A				93,871	3,363
	Gentex Corp.				109,710	3,132
	Dick's Sporting Goods Inc.				24,077	3,097
*	Five Below Inc.				14,912	3,047
	Foot Locker Inc.				68,683	3,003
	Travel + Leisure Co.				70,447	2,955
	Kohl's Corp.				101,064	2,834
	Wyndham Hotels & Resorts Inc.				36,711	2,827
*	Victoria's Secret & Co.				70,363	2,789

					Shares	Market Value• ($000)
*	Goodyear Tire & Rubber Co.				244,973	2,783
*	Topgolf Callaway Brands Corp.				120,057	2,783
*	Light & Wonder Inc.				43,849	2,745
*	TopBuild Corp.				13,014	2,702
	Columbia Sportswear Co.				30,663	2,674
	Polaris Inc.				22,649	2,576
	KB Home				71,929	2,537
	Carter's Inc.				33,051	2,492
	Gap Inc.				182,686	2,377
*	Helen of Troy Ltd.				20,777	2,341
	Brunswick Corp.				25,746	2,251
*	AutoNation Inc.				15,996	2,184
	Cracker Barrel Old Country Store Inc.				19,197	2,092
	Graham Holdings Co. Class B				3,324	2,083
	Harley-Davidson Inc.				42,628	2,027
	Nordstrom Inc.				96,467	1,879
	Boyd Gaming Corp.				28,159	1,834
	Dana Inc.				110,488	1,750
	Hanesbrands Inc.				302,217	1,717
*	Under Armour Inc. Class A				164,487	1,633
*	Under Armour Inc. Class C				169,353	1,490
*	Ollie's Bargain Outlet Holdings Inc.				25,707	1,479
*	YETI Holdings Inc.				33,611	1,310
	Papa John's International Inc.				15,311	1,285
	Choice Hotels International Inc.				9,839	1,165
						157,273
Consumer Staples (3.6%)
	Ingredion Inc.				56,773	5,643
*	Post Holdings Inc.				47,095	4,237
*	Performance Food Group Co.				74,149	4,196
*	BJ's Wholesale Club Holdings Inc.				50,310	3,612
*	Coty Inc. Class A				316,584	3,578
	Coca-Cola Consolidated Inc.				3,994	2,224
*	BellRing Brands Inc.				69,209	2,137
	Energizer Holdings Inc.				57,385	2,079

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S&P Mid-Cap 400 Value Index Fund

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S&P Mid-Cap 400 Value Index Fund

24

S&P Mid-Cap 400 Value Index Fund

25

S&P Mid-Cap 400 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 Mid-Cap 400 Index	March 2023	7	1,822	(25)

  

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

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S&P Mid-Cap 400 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 Value1
Unaffiliated Issuers (Cost $900,769)	944,201
Affiliated Issuers (Cost $7,601)	7,601
Total Investments in Securities	951,802
Investment in Vanguard	34
Cash Collateral Pledged—Futures Contracts	60
Receivables for Investment Securities Sold	3,319
Receivables for Accrued Income	804
Receivables for Capital Shares Issued	1
Total Assets	956,020
Liabilities
Payables for Investment Securities Purchased	2,576
Collateral for Securities on Loan	7,215
Payables for Capital Shares Redeemed	37
Payables to Vanguard	50
Variation Margin Payable—Futures Contracts	2
Total Liabilities	9,880
Net Assets	946,140
1 Includes $6,864,000 of securities on loan.

27

S&P Mid-Cap 400 Value Index Fund

Statement of Assets and Liabilities (continued)
At February 28, 2023, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	1,053,121
Total Distributable Earnings (Loss)	(106,981)
Net Assets	946,140
ETF Shares—Net Assets2
Applicable to 10,350,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	860,373
Net Asset Value Per Share—ETF Shares	$83.13
Institutional Shares—Net Assets
Applicable to 257,221 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	85,767
Net Asset Value Per Share—Institutional Shares	$333.44

2	Shares outstanding and Net Asset Value Per Share adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.

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

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S&P Mid-Cap 400 Value Index Fund

Statement of Operations

	Six Months Ended February 28, 2023
	($000)
Investment Income
Income
Dividends	7,114
Interest1	39
Securities Lending—Net	112
Total Income	7,265
Expenses
The Vanguard Group—Note B
Investment Advisory Services	11
Management and Administrative—ETF Shares	516
Management and Administrative—Institutional Shares	27
Marketing and Distribution—ETF Shares	23
Marketing and Distribution—Institutional Shares	1
Custodian Fees	19
Shareholders’ Reports—ETF Shares	22
Shareholders’ Reports—Institutional Shares	—
Trustees’ Fees and Expenses	—
Other Expenses	6
Total Expenses	625
Net Investment Income	6,640
Realized Net Gain (Loss)
Investment Securities Sold1,2	30,172
Futures Contracts	(124)
Swap Contracts	612
Realized Net Gain (Loss)	30,660
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	38,241
Futures Contracts	21
Swap Contracts	—
Change in Unrealized Appreciation (Depreciation)	38,262
Net Increase (Decrease) in Net Assets Resulting from Operations	75,562

1	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $33,000, $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $74,017,000 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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S&P Mid-Cap 400 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	6,640		16,431
Realized Net Gain (Loss)	30,660		104,438
Change in Unrealized Appreciation (Depreciation)	38,262		(172,682)
Net Increase (Decrease) in Net Assets Resulting from Operations	75,562		(51,813)
Distributions
ETF Shares	(14,943)		(15,176)
Institutional Shares	(1,578)		(1,625)
Total Distributions	(16,521)		(16,801)
Capital Share Transactions
ETF Shares	1,210		46,955
Institutional Shares	302		(76,811)
Net Increase (Decrease) from Capital Share Transactions	1,512		(29,856)
Total Increase (Decrease)	60,553		(98,470)
Net Assets
Beginning of Period	885,587		984,057
End of Period	946,140		885,587

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

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S&P Mid-Cap 400 Value Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period1	Six Months Ended February 28, 2023	Year Ended August 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$76.82	$82.65	$54.80	$58.77	$65.03	$56.16
Investment Operations
Net Investment Income2	.591	1.442	1.244	1.212	1.031	1.045
Net Realized and Unrealized Gain (Loss) on Investments	7.229	(5.769)	28.198	(4.044)	(6.310)	8.769
Total from Investment Operations	7.820	(4.327)	29.442	(2.832)	(5.279)	9.814
Distributions
Dividends from Net Investment Income	(1.510)	(1.503)	(1.592)	(1.138)	(.981)	(.944)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.510)	(1.503)	(1.592)	(1.138)	(.981)	(.944)
Net Asset Value, End of Period	$83.13	$76.82	$82.65	$54.80	$58.77	$65.03
Total Return	10.39%	-5.34%	54.51%	-5.10%	-8.04%	17.60%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$860	$807	$822	$501	$685	$735
Ratio of Total Expenses to Average Net Assets	0.15%	0.15%	0.15%	0.15%	0.15%	0.20%
Ratio of Net Investment Income to Average Net Assets	1.71%	1.79%	1.72%	2.13%	1.72%	1.72%
Portfolio Turnover Rate3	34%	33%	36%	51%	38%	36%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Adjusted to reflect a 2-for-1 share split effective March 13, 2023. See Notes to Financial Statements for further details.
2	Calculated based on average shares outstanding.
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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S&P Mid-Cap 400 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	$308.23	$331.49	$219.78	$235.62	$260.90	$225.05
Investment Operations
Net Investment Income1	2.468	6.147	5.090	5.011	4.332	4.454
Net Realized and Unrealized Gain (Loss) on Investments	29.017	(23.292)	113.153	(16.157)	(25.380)	35.198
Total from Investment Operations	31.485	(17.145)	118.243	(11.146)	(21.048)	39.652
Distributions
Dividends from Net Investment Income	(6.275)	(6.115)	(6.533)	(4.694)	(4.232)	(3.802)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(6.275)	(6.115)	(6.533)	(4.694)	(4.232)	(3.802)
Net Asset Value, End of Period	$333.44	$308.23	$331.49	$219.78	$235.62	$260.90
Total Return	10.43%	-5.23%	54.62%	-5.01%	-7.99%	17.75%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$86	$79	$162	$160	$186	$235
Ratio of Total Expenses to Average Net Assets	0.08%	0.08%	0.08%	0.08%	0.08%	0.08%
Ratio of Net Investment Income to Average Net Assets	1.78%	1.90%	1.79%	2.21%	1.79%	1.84%
Portfolio Turnover Rate2	34%	33%	36%	51%	38%	36%
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.

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S&P Mid-Cap 400 Value Index Fund

Notes to Financial Statements

Vanguard S&P Mid-Cap 400 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. In November 2022, the board of trustees authorized a two-for-one share split of the fund’s ETF share class, which occurred after the close of trading on March 13, 2023. Each ETF shareholder who owns shares as of the close of trading on that date received one additional share for every share held. The share split had no effect on fund net assets, but decreased the net asset value per share. Additionally, the share split had no effect on total return.

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

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S&P Mid-Cap 400 Value Index Fund

the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.

During the six months ended February 28, 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 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 six months ended February 28, 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. The fund had no open swap contracts at February 28, 2023.

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S&P Mid-Cap 400 Value Index Fund

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.

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 $4.4 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 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

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S&P Mid-Cap 400 Value Index Fund

money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

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

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 February 28, 2023, the fund had contributed to Vanguard capital in the amount of $34,000, representing less than 0.01% of the fund’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

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

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

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

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

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

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S&P Mid-Cap 400 Value Index Fund

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	911,056
Gross Unrealized Appreciation	105,683
Gross Unrealized Depreciation	(64,962)
Net Unrealized Appreciation (Depreciation)	40,721

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 $177,949,000 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.

E.  During the six months ended February 28, 2023, the fund purchased $603,853,000 of investment securities and sold $606,927,000 of investment securities, other than temporary cash investments. Purchases and sales include $298,840,000 and $312,083,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the six months ended February 28, 2023, such purchases were $242,760,000 and sales were $159,113,000, resulting in net realized loss of $19,708,000; 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 Shares1
Issued	313,773	3,950		392,670	4,750
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(312,563)	(4,100)		(345,715)	(4,200)
Net Increase (Decrease)—ETF Shares	1,210	(150)		46,955	550
Institutional Shares
Issued	8,099	26		12,349	37
Issued in Lieu of Cash Distributions	1,399	5		1,318	4
Redeemed	(9,196)	(30)		(90,478)	(273)
Net Increase (Decrease)—Institutional Shares	302	1		(76,811)	(232)

1	Shares adjusted to reflect a 2-for-1 share split effective March 13, 2023.

37

S&P Mid-Cap 400 Value Index Fund

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

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S&P Mid-Cap 400 Growth Index Fund

Fund Allocation

As of February 28, 2023

Communication Services	1.9%
Consumer Discretionary	12.2
Consumer Staples	4.0
Energy	6.5
Financials	11.3
Health Care	11.3
Industrials	23.0
Information Technology	13.1
Materials	8.2
Real Estate	4.9
Utilities	3.6