Semiannual Report  |  June 30, 2021
Vanguard U.S. Stock Index Funds Small-Capitalization Portfolios
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund
Vanguard Small-Cap Value Index Fund

Contents

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Table of Contents
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.
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Table of Contents
Six Months Ended June 30, 2021      
  Beginning
Account Value
12/31/2020
Ending
Account Value
6/30/2021
Expenses
Paid During
Period
Based on Actual Fund Return      
Small-Cap Index Fund      
Investor Shares $1,000.00 $1,163.30 $0.91
ETF Shares 1,000.00 1,163.90 0.27
AdmiralTM Shares 1,000.00 1,163.90 0.27
Institutional Shares 1,000.00 1,163.90 0.21
Institutional Plus Shares 1,000.00 1,164.00 0.16
Small-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,084.60 $0.98
ETF Shares 1,000.00 1,085.40 0.36
Admiral Shares 1,000.00 1,085.20 0.36
Institutional Shares 1,000.00 1,085.30 0.31
Small-Cap Value Index Fund      
Investor Shares $1,000.00 $1,230.30 $1.05
ETF Shares 1,000.00 1,231.00 0.39
Admiral Shares 1,000.00 1,231.20 0.39
Institutional Shares 1,000.00 1,231.00 0.33
Based on Hypothetical 5% Yearly Return      
Small-Cap Index Fund      
Investor Shares $1,000.00 $1,023.95 $0.85
ETF Shares 1,000.00 1,024.55 0.25
Admiral Shares 1,000.00 1,024.55 0.25
Institutional Shares 1,000.00 1,024.60 0.20
Institutional Plus Shares 1,000.00 1,024.65 0.15
Small-Cap Growth Index Fund      
Investor Shares $1,000.00 $1,023.85 $0.95
ETF Shares 1,000.00 1,024.45 0.35
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.50 0.30
Small-Cap Value Index Fund      
Investor Shares $1,000.00 $1,023.85 $0.95
ETF Shares 1,000.00 1,024.45 0.35
Admiral 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 Small-Cap Index Fund, 0.17% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.03% for Institutional Plus Shares; for the Small-Cap Growth Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; and for the Small-Cap Value Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral 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).
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Table of Contents
Small-Cap Index Fund
Fund Allocation
As of June 30, 2021
Basic Materials 4.1%
Consumer Discretionary 15.9
Consumer Staples 3.2
Energy 4.3
Financials 13.7
Health Care 14.2
Industrials 18.5
Other 0.0
Real Estate 8.8
Technology 13.1
Telecommunications 1.4
Utilities 2.8
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
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Table of Contents
Small-Cap Index Fund
Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of June 30, 2021
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
        Shares Market
Value
($000)
Percentage
of Net
Assets
Common Stocks    
Basic Materials    
  Steel Dynamics Inc.  4,994,495     297,672   0.22%
Basic Materials—Other*,1   5,297,469   3.85%
                        5,595,141   4.07%
Consumer Discretionary    
  Pool Corp.    948,446     435,014   0.32%
  Tapestry Inc.*  6,941,632     301,822   0.22%
  Williams-Sonoma Inc.  1,874,202     299,216   0.22%
  RH*    418,202     283,959   0.21%
  Chegg Inc.*  3,356,058     278,922   0.20%
  Floor & Decor Holdings Inc. Class A*  2,611,902     276,078   0.20%
Consumer Discretionary—Other*,1  19,888,326  14.45%
                       21,763,337  15.82%
Consumer Staples    
  Darling Ingredients Inc.*  4,062,191     274,198   0.20%
Consumer Staples —Other*,1   4,035,802   2.93%
                        4,310,000   3.13%
Energy    
  Diamondback Energy Inc.  4,505,533     423,024   0.31%
  Enphase Energy Inc.*  1,520,262     279,166   0.20%
Energy—Other*,1   5,154,396   3.75%
                        5,856,586   4.26%
Financials    
  Signature Bank  1,433,846     352,224   0.26%
  Apollo Global Management Inc.  5,205,052     323,754   0.24%
  Brown & Brown Inc.  5,962,465     316,845   0.23%
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Table of Contents
Small-Cap Index Fund
        Shares Market
Value

($000)
Percentage
of Net
Assets
  Invesco Ltd. 10,339,327     276,370   0.20%
Financials—Other*,1,2  17,467,514  12.69%
                       18,736,707  13.62%
Health Care    
  Charles River Laboratories International Inc.*  1,251,206     462,846   0.34%
  Avantor Inc.* 12,317,881     437,408   0.32%
  Bio-Techne Corp.    968,271     435,974   0.32%
  PerkinElmer Inc.  2,790,564     430,891   0.31%
  Novavax Inc.*,1  1,844,526     391,611   0.28%
  Molina Healthcare Inc.*  1,453,789     367,896   0.27%
  Masimo Corp.*  1,232,476     298,814   0.22%
  Guardant Health Inc.*  2,391,570     297,009   0.22%
Health Care—Other*,1,2  16,342,718  11.87%
                       19,465,167  14.15%
Industrials    
  IDEX Corp.  1,890,302     415,961   0.30%
  Bill.com Holdings Inc.*  1,967,876     360,476   0.26%
  Fair Isaac Corp.*    680,579     342,113   0.25%
  Howmet Aerospace Inc.*  9,731,016     335,428   0.24%
  Graco Inc.  4,217,330     319,252   0.23%
  Quanta Services Inc.  3,468,793     314,169   0.23%
  Allegion plc  2,239,598     311,976   0.23%
  Lennox International Inc.1    846,207     296,849   0.22%
  Toro Co.  2,678,969     294,365   0.21%
  Trex Co. Inc.*  2,871,745     293,521   0.21%
  Booz Allen Hamilton Holding Corp. Class A  3,370,743     287,120   0.21%
  RPM International Inc.  3,224,202     285,922   0.21%
  Nordson Corp.  1,301,333     285,656   0.21%
  Axon Enterprise Inc.*  1,610,008     284,649   0.21%
  Pentair plc  4,136,647     279,182   0.20%
Industrials—Other*,1,3  20,556,656  14.95%
                       25,263,295  18.37%
Other*,2,4 59 0.00%
Real Estate    
  VICI Properties Inc. 13,370,659     414,758   0.30%
  Equity LifeStyle Properties Inc.  4,085,356     303,583   0.22%
  Medical Properties Trust Inc. 14,645,826     294,381   0.21%
Real Estate—Other*,1,2  10,989,136   8.00%
                       12,001,858   8.73%
Technology    
  Entegris Inc.  3,372,994     414,777   0.30%
  Nuance Communications Inc.*  7,123,106     387,782   0.28%
  PTC Inc.*  2,618,508     369,890   0.27%
  Ceridian HCM Holding Inc.*  3,344,195     320,775   0.23%
  Avalara Inc.*  1,942,807     314,346   0.23%
  Five9 Inc.*  1,669,222     306,119   0.22%
  Dynatrace Inc.*  4,934,533     288,275   0.21%
  Cree Inc.*  2,874,760     281,525   0.20%
Technology—Other*,1,2  15,163,493  11.03%
                       17,846,982  12.97%
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Small-Cap Index Fund
        Shares Market
Value

($000)
Percentage
of Net
Assets
Telecommunications*,1 1,928,303 1.40%
Utilities    
  Atmos Energy Corp.  3,254,453     312,785   0.23%
  Essential Utilities Inc.  6,117,284     279,560   0.20%
Utilities—Other*   3,286,888   2.39%
                        3,879,233   2.82%
Total Common Stocks (Cost $88,662,578) 136,646,668 99.34%
      Coupon      
Temporary Cash Investments
Money Market Fund    
  Vanguard Market Liquidity Fund5,6
(Cost $3,099,342)
0.056% 30,997,404            3,099,741       2.25%
Total Investments (Cost $91,761,920) 139,746,409 101.59%
Other Assets and Liabilities—Net (2,193,233) (1.59%)
Net Assets     137,553,176 100.00%
Cost is in $000.
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
* Includes non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,236,521,000.
2 Certain securities are valued using significant unobservable inputs.
3 Certain securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, the aggregate value of these securities was $73,256,000, representing 0.1% of net assets.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
5 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
6 Collateral of $2,342,714,000 was received for securities on loan, of which $2,323,711,000 is held in Vanguard Market Liquidity Fund and $19,003,000 is held in cash.
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Small-Cap Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index September 2021 3,204 369,710 (3,074)
E-mini S&P Mid-Cap 400 Index September 2021 1,829 492,440 (9,071)
        (12,145)
    
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)
Alcoa Corp. 8/31/21 BOANA 13,488 (0.586) (969)
Avalara Inc. 8/31/21 BOANA 11,895 (0.086) 2,665
Bandwidth Inc. Class A 8/31/21 BOANA 16,561 (0.536) 2,742
National Fuel Gas Co. 8/31/21 BOANA 4,670 (0.486) 72
New York Community Bancorp Inc. 8/31/21 BOANA 2,394 (0.436) (191)
Ollie's Bargain Outlet Holdings Inc. 1/31/22 GSI 26,403 (0.082) (1,165)
Penn National Gaming Inc. 8/31/21 BOANA 32,788 (0.536) (2,206)
Popular Inc. 8/31/21 BOANA 11,425 (0.486) (866)
United Therapeutics Corp. 8/31/21 BOANA 22,308 (0.086) (779)
          5,479 (6,176)
1 Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  BOANA—Bank of America, N.A.
  GSI—Goldman Sachs International.
At June 30, 2021, the counterparties had deposited in segregated accounts securities with a value of $930,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
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Small-Cap Index Fund
Statement of Assets and Liabilities
As of June 30, 2021
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $88,662,578) 136,646,668
Affiliated Issuers (Cost $3,099,342) 3,099,741
Total Investments in Securities 139,746,409
Investment in Vanguard 4,698
Cash 19,003
Cash Collateral Pledged—Futures Contracts 45,519
Cash Collateral Pledged—Over-the-Counter Swap Contracts 1,200
Receivables for Investment Securities Sold 571,301
Receivables for Accrued Income 105,731
Receivables for Capital Shares Issued 35,238
Variation Margin Receivable—Futures Contracts 988
Unrealized Appreciation—Over-the-Counter Swap Contracts 5,479
Total Assets 140,535,566
Liabilities  
Due to Custodian 304,917
Payables for Investment Securities Purchased 202,826
Collateral for Securities on Loan 2,342,714
Payables for Capital Shares Redeemed 123,091
Payables to Vanguard 2,666
Unrealized Depreciation—Over-the-Counter Swap Contracts 6,176
Total Liabilities 2,982,390
Net Assets 137,553,176
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Table of Contents
Small-Cap Index Fund
Statement of Assets and Liabilities (continued)

At June 30, 2021, net assets consisted of:  
($000s, except shares and per-share amounts) Amount
Paid-in Capital 90,234,123
Total Distributable Earnings (Loss) 47,319,053
Net Assets 137,553,176
 
Investor Shares—Net Assets  
Applicable to 6,976,458 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
752,875
Net Asset Value Per Share—Investor Shares $107.92
 
ETF Shares—Net Assets  
Applicable to 209,093,163 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
47,099,455
Net Asset Value Per Share—ETF Shares $225.26
 
Admiral Shares—Net Assets  
Applicable to 515,744,189 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
55,668,104
Net Asset Value Per Share—Admiral Shares $107.94
 
Institutional Shares—Net Assets  
Applicable to 207,660,777 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
22,413,608
Net Asset Value Per Share—Institutional Shares $107.93
 
Institutional Plus Shares—Net Assets  
Applicable to 37,296,198 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
11,619,134
Net Asset Value Per Share—Institutional Plus Shares $311.54
See accompanying Notes, which are an integral part of the Financial Statements.
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Table of Contents
Small-Cap Index Fund
Statement of Operations
  Six Months Ended
June 30, 2021
  ($000)
Investment Income  
Income  
Dividends 632,102
Interest1 323
Securities Lending—Net 23,011
Total Income 655,436
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 1,895
Management and Administrative—Investor Shares 607
Management and Administrative—ETF Shares 8,429
Management and Administrative—Admiral Shares 11,184
Management and Administrative—Institutional Shares 3,508
Management and Administrative—Institutional Plus Shares 1,384
Marketing and Distribution—Investor Shares 18
Marketing and Distribution—ETF Shares 778
Marketing and Distribution—Admiral Shares 751
Marketing and Distribution—Institutional Shares 248
Marketing and Distribution—Institutional Plus Shares 70
Custodian Fees 435
Shareholders’ Reports—Investor Shares 2
Shareholders’ Reports—ETF Shares 890
Shareholders’ Reports—Admiral Shares 251
Shareholders’ Reports—Institutional Shares 89
Shareholders’ Reports—Institutional Plus Shares 29
Trustees’ Fees and Expenses 18
Total Expenses 30,586
Net Investment Income 624,850
Realized Net Gain (Loss)  
Investment Securities Sold1,2 6,382,455
Futures Contracts 132,320
Swap Contracts (4,061)
Realized Net Gain (Loss) 6,510,714
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Small-Cap Index Fund
Statement of Operations (continued)
  Six Months Ended
June 30, 2021
  ($000)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 11,793,333
Futures Contracts (25,843)
Swap Contracts (8,104)
Change in Unrealized Appreciation (Depreciation) 11,759,386
Net Increase (Decrease) in Net Assets Resulting from Operations 18,894,950
1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $323,000, $12,000, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $4,495,802,000 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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Small-Cap Index Fund
Statement of Changes in Net Assets
  Six Months Ended
June 30,
2021
  Year Ended
December 31,
2020
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 624,850   1,296,033
Realized Net Gain (Loss) 6,510,714   3,870,929
Change in Unrealized Appreciation (Depreciation) 11,759,386   13,074,363
Net Increase (Decrease) in Net Assets Resulting from Operations 18,894,950   18,241,325
Distributions      
Investor Shares (3,438)   (8,214)
ETF Shares (229,993)   (413,915)
Admiral Shares (275,127)   (548,152)
Institutional Shares (111,439)   (223,749)
Institutional Plus Shares (59,915)   (122,453)
Total Distributions (679,912)   (1,316,483)
Capital Share Transactions      
Investor Shares (65,706)   (147,445)
ETF Shares 3,631,351   4,228,769
Admiral Shares 853,560   (1,839,081)
Institutional Shares 438,987   (1,146,922)
Institutional Plus Shares (163,044)   (141,850)
Net Increase (Decrease) from Capital Share Transactions 4,695,148   953,471
Total Increase (Decrease) 22,910,186   17,878,313
Net Assets      
Beginning of Period 114,642,990   96,764,677
End of Period 137,553,176   114,642,990
See accompanying Notes, which are an integral part of the Financial Statements.
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Table of Contents
Small-Cap Index Fund
Financial Highlights
Investor Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
June 30,
2021
Year Ended December 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $93.20 $79.35 $63.21 $70.76 $61.75 $53.03
Investment Operations            
Net Investment Income .4391 .9281 .8321 .9671 .8761 .843
Net Realized and Unrealized Gain (Loss) on Investments 14.754 13.897 16.319 (7.552) 9.011 8.734
Total from Investment Operations 15.193 14.825 17.151 (6.585) 9.887 9.577
Distributions            
Dividends from Net Investment Income (.473) (.975) (1.011) (.965) (.877) (.857)
Distributions from Realized Capital Gains
Total Distributions (.473) (.975) (1.011) (.965) (.877) (.857)
Net Asset Value, End of Period $107.92 $93.20 $79.35 $63.21 $70.76 $61.75
Total Return2 16.33% 18.96% 27.22% -9.43% 16.10% 18.17%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $753 $709 $754 $3,332 $4,345 $4,401
Ratio of Total Expenses to Average Net Assets 0.17% 0.17% 0.17% 0.17% 0.17% 0.18%
Ratio of Net Investment Income to Average Net Assets 0.88% 1.26% 1.14% 1.34% 1.36% 1.55%
Portfolio Turnover Rate3 9% 22% 16% 15% 15% 14%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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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Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
June 30,
2021
Year Ended December 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $194.54 $165.64 $131.94 $147.71 $128.90 $110.71
Investment Operations            
Net Investment Income 1.0261 2.2621 2.2981 2.2391 2.0371 1.899
Net Realized and Unrealized Gain (Loss) on Investments 30.813 28.863 33.707 (15.808) 18.768 18.221
Total from Investment Operations 31.839 31.125 36.005 (13.569) 20.805 20.120
Distributions            
Dividends from Net Investment Income (1.119) (2.225) (2.305) (2.201) (1.995) (1.930)
Distributions from Realized Capital Gains
Total Distributions (1.119) (2.225) (2.305) (2.201) (1.995) (1.930)
Net Asset Value, End of Period $225.26 $194.54 $165.64 $131.94 $147.71 $128.90
Total Return 16.39% 19.08% 27.37% -9.30% 16.24% 18.31%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $47,099 $37,492 $27,442 $20,914 $21,605 $16,153
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to Average Net Assets 0.98% 1.47% 1.49% 1.46% 1.48% 1.67%
Portfolio Turnover Rate2 9% 22% 16% 15% 15% 14%
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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Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
June 30,
2021
Year Ended December 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $93.22 $79.37 $63.23 $70.78 $61.77 $53.05
Investment Operations            
Net Investment Income .4961 1.0291 1.1081 1.0671 .9701 .910
Net Realized and Unrealized Gain (Loss) on Investments 14.760 13.887 16.136 (7.563) 8.997 8.733
Total from Investment Operations 15.256 14.916 17.244 (6.496) 9.967 9.643
Distributions            
Dividends from Net Investment Income (.536) (1.066) (1.104) (1.054) (.957) (.923)
Distributions from Realized Capital Gains
Total Distributions (.536) (1.066) (1.104) (1.054) (.957) (.923)
Net Asset Value, End of Period $107.94 $93.22 $79.37 $63.23 $70.78 $61.77
Total Return2 16.39% 19.11% 27.37% -9.31% 16.24% 18.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $55,668 $47,313 $42,386 $31,382 $33,801 $27,778
Ratio of Total Expenses to Average Net Assets 0.05% 0.05% 0.05% 0.05% 0.05% 0.06%
Ratio of Net Investment Income to Average Net Assets 0.99% 1.40% 1.50% 1.46% 1.48% 1.67%
Portfolio Turnover Rate3 9% 22% 16% 15% 15% 14%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3 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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Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
June 30,
2021
Year Ended December 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $93.22 $79.37 $63.22 $70.78 $61.77 $53.05
Investment Operations            
Net Investment Income .5011 1.0341 1.1011 1.0761 .9751 .915
Net Realized and Unrealized Gain (Loss) on Investments 14.750 13.889 16.161 (7.575) 8.998 8.734
Total from Investment Operations 15.251 14.923 17.262 (6.499) 9.973 9.649
Distributions            
Dividends from Net Investment Income (.541) (1.073) (1.112) (1.061) (.963) (.929)
Distributions from Realized Capital Gains
Total Distributions (.541) (1.073) (1.112) (1.061) (.963) (.929)
Net Asset Value, End of Period $107.93 $93.22 $79.37 $63.22 $70.78 $61.77
Total Return 16.39% 19.12% 27.40% -9.32% 16.25% 18.32%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $22,414 $18,957 $17,337 $14,454 $15,352 $13,030
Ratio of Total Expenses to Average Net Assets 0.04% 0.04% 0.04% 0.04% 0.04% 0.05%
Ratio of Net Investment Income to Average Net Assets 1.00% 1.41% 1.49% 1.47% 1.49% 1.68%
Portfolio Turnover Rate2 9% 22% 16% 15% 15% 14%
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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Financial Highlights
Institutional Plus Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
June 30,
2021
Year Ended December 31,
2020 2019 2018 2017 2016
Net Asset Value, Beginning of Period $269.07 $229.09 $182.49 $204.30 $178.28 $153.11
Investment Operations            
Net Investment Income 1.4651 2.9881 3.1861 3.1021 2.8351 2.660
Net Realized and Unrealized Gain (Loss) on Investments 42.581 40.111 46.645 (21.825) 25.980 25.213
Total from Investment Operations 44.046 43.099 49.831 (18.723) 28.815 27.873
Distributions            
Dividends from Net Investment Income (1.576) (3.119) (3.231) (3.087) (2.795) (2.703)
Distributions from Realized Capital Gains
Total Distributions (1.576) (3.119) (3.231) (3.087) (2.795) (2.703)
Net Asset Value, End of Period $311.54 $269.07 $229.09 $182.49 $204.30 $178.28
Total Return 16.40% 19.13% 27.40% -9.30% 16.27% 18.33%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $11,619 $10,172 $8,846 $7,866 $9,531 $8,080
Ratio of Total Expenses to Average Net Assets 0.03% 0.03% 0.03% 0.03% 0.03% 0.04%
Ratio of Net Investment Income to Average Net Assets 1.01% 1.41% 1.49% 1.48% 1.50% 1.69%
Portfolio Turnover Rate2 9% 22% 16% 15% 15% 14%
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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Notes to Financial Statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
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During the six months ended June 30, 2021, 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. 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 June 30, 2021, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is
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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 $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and
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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 June 30, 2021, 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. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2021, the fund had contributed to Vanguard capital in the amount of $4,698,000, representing less than 0.01% of the fund’s net assets and 1.88% 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.
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The following table summarizes the market value of the fund's investments and derivatives as of June 30, 2021, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 136,644,793 1,875 136,646,668
Temporary Cash Investments 3,099,741 3,099,741
Total 139,744,534 1,875 139,746,409
Derivative Financial Instruments        
Assets        
Swap Contracts 5,479 5,479
Liabilities        
Futures Contracts1 12,145 12,145
Swap Contracts 6,176 6,176
Total 12,145 6,176 18,321
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.
D. As of June 30, 2021, 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 92,055,550
Gross Unrealized Appreciation 52,659,228
Gross Unrealized Depreciation (4,981,211)
Net Unrealized Appreciation (Depreciation) 47,678,017
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2020, the fund had available capital losses totaling $6,934,547,000 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 December 31, 2021; 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 June 30, 2021, the fund purchased $22,519,646,000 of investment securities and sold $17,791,269,000 of investment securities, other than temporary cash investments. Purchases and sales include $8,749,645,000 and $6,121,147,000, 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 June 30, 2021, such purchases and sales were $316,484,000 and $3,741,966,000,
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respectively; 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
June 30, 2021
  Year Ended
December 31, 2020
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
Investor Shares          
Issued 57,522 561   52,197 745
Issued in Lieu of Cash Distributions 3,438 33   8,214 109
Redeemed (126,666) (1,221)   (207,856) (2,748)
Net Increase (Decrease)—Investor Shares (65,706) (627)   (147,445) (1,894)
ETF Shares          
Issued 9,393,196 42,746   16,291,928 103,198
Issued in Lieu of Cash Distributions  
Redeemed (5,761,845) (26,375)   (12,063,159) (76,150)
Net Increase (Decrease)—ETF Shares 3,631,351 16,371   4,228,769 27,048
Admiral Shares          
Issued 5,333,361 51,813   7,197,182 101,668
Issued in Lieu of Cash Distributions 245,642 2,388   488,424 6,445
Redeemed (4,725,443) (45,975)   (9,524,687) (134,614)
Net Increase (Decrease)—Admiral Shares 853,560 8,226   (1,839,081) (26,501)
Institutional Shares          
Issued 2,949,087 28,561   3,037,642 42,453
Issued in Lieu of Cash Distributions 105,507 1,026   210,983 2,787
Redeemed (2,615,607) (25,286)   (4,395,547) (60,308)
Net Increase (Decrease)—Institutional Shares 438,987 4,301   (1,146,922) (15,068)
Institutional Plus Shares          
Issued 1,313,683 4,419   1,822,548 8,480
Issued in Lieu of Cash Distributions 59,915 202   122,453 562
Redeemed (1,536,642) (5,131)   (2,086,851) (9,851)
Net Increase (Decrease)—Institutional Plus Shares (163,044) (510)   (141,850) (809)
G. Management has determined that no events or transactions occurred subsequent to June 30, 2021, that would require recognition or disclosure in these financial statements.
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Fund Allocation
As of June 30, 2021
Basic Materials 1.7%
Consumer Discretionary 15.4
Consumer Staples 2.9
Energy 2.9
Financials 4.0
Health Care 23.8
Industrials 16.7
Other 0.0
Real Estate 7.8
Technology 21.7
Telecommunications 1.7
Utilities 1.4
The table reflects the fund’s investments, except for short-term investments and derivatives. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
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Financial Statements (unaudited)
Schedule of Investments—Investments Summary
As of June 30, 2021
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
        Shares Market
Value
($000)
Percentage
of Net
Assets
Common Stocks    
Basic Materials*,1 656,566 1.74%
Consumer Discretionary    
  Pool Corp.    599,882    275,142   0.73%
  RH*    264,607    179,668   0.47%
  Chegg Inc.*  2,124,412    176,560   0.47%
  Floor & Decor Holdings Inc. Class A*  1,653,039    174,726   0.46%
  Zynga Inc. Class A* 16,290,143    173,164   0.46%
  Five Below Inc.*    882,092    170,482   0.45%
  Liberty Media Corp.-Liberty Formula One Class C*  3,044,636    146,782   0.39%
  Liberty Media Corp.-Liberty Formula One Class A*    386,186     16,463   0.04%
Consumer Discretionary—Other*,1  4,505,849  11.91%
                       5,818,836  15.38%
Consumer Staples    
  Boston Beer Co. Inc. Class A*    143,357    146,339   0.39%
Consumer Staples —Other*,1    947,556   2.50%
                       1,093,895   2.89%
Energy    
  Enphase Energy Inc.*    962,184    176,686   0.47%
  Texas Pacific Land Corp.     97,753    156,379   0.41%
Energy—Other*,1    747,846   1.98%
                       1,080,911   2.86%
Financials*,1 1,495,905 3.95%
Health Care    
  Charles River Laboratories International Inc.*    791,143    292,660   0.77%
  Avantor Inc.*  7,792,662    276,717   0.73%
  Bio-Techne Corp.    612,606    275,832   0.73%
25

Table of Contents
Small-Cap Growth Index Fund
        Shares Market
Value

($000)
Percentage
of Net
Assets
  PerkinElmer Inc.  1,765,488    272,609   0.72%
  Masimo Corp.*    779,330    188,949   0.50%
  Guardant Health Inc.*  1,513,816    188,001   0.50%
  Intellia Therapeutics Inc.*  1,025,109    165,975   0.44%
  Repligen Corp.*    821,936    164,075   0.43%
  Penumbra Inc.*    546,133    149,673   0.40%
  Syneos Health Inc.*  1,635,018    146,318   0.39%
Health Care—Other*,1,2  6,828,054  18.05%
                       8,948,863  23.66%
Industrials    
  Fair Isaac Corp.*    430,271    216,289   0.57%
  Bill.com Holdings Inc.*  1,145,450    209,824   0.56%
  Graco Inc.  2,666,950    201,888   0.53%
  Lennox International Inc.    535,192    187,745   0.50%
  Toro Co.  1,694,124    186,150   0.49%
  Trex Co. Inc.*  1,817,195    185,736   0.49%
  Nordson Corp.    822,942    180,644   0.48%
  Axon Enterprise Inc.*  1,019,291    180,211   0.48%
  MKS Instruments Inc.    872,332    155,231   0.41%
  A O Smith Corp.  2,118,181    152,636   0.40%
  Watsco Inc.    518,243    148,549   0.39%
Industrials—Other*,1  4,272,429  11.29%
                       6,277,332  16.59%
Other*,2,3 30 0.00%
Real Estate    
  Equity LifeStyle Properties Inc.  2,582,815    191,929   0.51%
  American Homes 4 Rent Class A  4,343,805    168,757   0.45%
  Americold Realty Trust  3,976,199    150,499   0.40%
  CubeSmart  3,173,041    146,975   0.39%
Real Estate—Other*  2,294,667   6.06%
                       2,952,827   7.81%
Technology    
  Entegris Inc.  2,134,071    262,427   0.69%
  PTC Inc.*  1,655,485    233,854   0.62%
  Avalara Inc.*  1,286,677    208,184   0.55%
  Ceridian HCM Holding Inc.*  2,115,543    202,923   0.54%
  Five9 Inc.*  1,056,065    193,672   0.51%
  Dynatrace Inc.*  3,121,338    182,349   0.48%
  Cree Inc.*  1,819,566    178,190   0.47%
  MongoDB Inc. Class A*    464,794    168,032   0.44%
  Proofpoint Inc.*    902,792    156,869   0.41%
  Guidewire Software Inc.*  1,318,485    148,620   0.39%
  Universal Display Corp.    668,241    148,570   0.39%
  Aspen Technology Inc.*  1,070,916    147,294   0.39%
  Manhattan Associates Inc.*  1,001,712    145,088   0.38%
Technology—Other*,1,2  5,812,395  15.38%
                       8,188,467  21.64%
Telecommunications    
  Cable One Inc.     85,544    163,629   0.43%
Telecommunications—Other*,1    493,545   1.31%
                         657,174   1.74%
26

Table of Contents
Small-Cap Growth Index Fund
        Shares Market
Value

($000)
Percentage
of Net
Assets
Utilities    
  Sunrun Inc.*  3,053,667    170,334   0.45%
Utilities—Other*    340,715   0.90%
                         511,049   1.35%
Total Common Stocks (Cost $25,020,640) 37,681,855 99.61%
      Coupon      
Temporary Cash Investments
Money Market Fund    
  Vanguard Market Liquidity Fund4,5
(Cost $902,938)
0.056%  9,030,335           903,033       2.39%
Total Investments (Cost $25,923,578) 38,584,888 102.00%
Other Assets and Liabilities—Net (754,819) (2.00%)
Net Assets     37,830,069 100.00%
Cost is in $000.
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
* Includes non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $733,508,000.
2 Certain securities are valued using significant unobservable inputs.
3 “Other” represents securities that are not classified by the fund’s benchmark index.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
5 Collateral of $766,093,000 was received for securities on loan, of which $760,150,000 is held in Vanguard Market Liquidity Fund and $5,943,000 is held in cash.
27

Table of Contents
Small-Cap Growth Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini Russell 2000 Index September 2021 399 46,041 388
    
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)
Bandwidth Inc. Class A 8/31/21 BOANA 5,915 (0.536) 979
Beyond Meat Inc. 8/31/21 BOANA 34,901 (0.086) 2,896
Bill.com Holdings Inc. 8/31/21 BOANA 14,892 (0.086) 3,424
Invitae Corp. 8/31/21 BOANA 10,361 (0.086) 1,782
Novocure Ltd. 8/31/21 BOANA 36,720 (0.086) 3,204
          12,285
1 Based on 1M USD London Interbank Offered Rate (LIBOR) as of the most recent payment date. Floating interest payment received/paid monthly.
  1M—1-month.
  BOANA—Bank of America, N.A.
At June 30, 2021, the counterparties had deposited in segregated accounts securities with a value of $12,257,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
28

Table of Contents
Small-Cap Growth Index Fund
Statement of Assets and Liabilities
As of June 30, 2021