Semiannual Report  |  February 28, 2022
Vanguard S&P 500 Value and Growth
Index Funds
Vanguard S&P 500 Value Index Fund
Vanguard S&P 500 Growth 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 February 28, 2022      
  Beginning
Account Value
8/31/2021
Ending
Account Value
2/28/2022
Expenses
Paid During
Period
Based on Actual Fund Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,015.00 $0.50
Institutional Shares 1,000.00 1,015.20 0.40
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $934.20 $0.48
Institutional Shares 1,000.00 934.30 0.38
Based on Hypothetical 5% Yearly Return      
S&P 500 Value Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P 500 Growth Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
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 500 Value Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; and for the S&P 500 Growth Index Fund, 0.10% 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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Table of Contents
S&P 500 Value Index Fund
Fund Allocation
As of February 28, 2022
Communication Services 7.0%
Consumer Discretionary 7.0
Consumer Staples 11.0
Energy 6.4
Financials 16.2
Health Care 16.1
Industrials 12.6
Information Technology 11.5
Materials 3.9
Real Estate 3.2
Utilities 5.1
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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Table of Contents
S&P 500 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 28, 2022
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
          Shares Market
Value

($000)
Common Stocks (99.7%)
Communication Services (7.0%)
* Walt Disney Co.   295,438    43,861
  Verizon Communications Inc.   673,044    36,122
  Comcast Corp. Class A   741,341    34,665
  AT&T Inc. 1,160,998    27,504
* Charter Communications Inc. Class A    20,122    12,109
* T-Mobile US Inc.    95,463    11,762
  Activision Blizzard Inc.   126,556    10,314
  Electronic Arts Inc.    45,960     5,979
* Match Group Inc.    46,053     5,134
  Paramount Global Class B    98,441     3,013
  Omnicom Group Inc.    34,533     2,897
* Twitter Inc.    67,446     2,398
  Interpublic Group of Cos. Inc.    63,991     2,355
  Fox Corp. Class A    52,281     2,187
  Lumen Technologies Inc.   149,950     1,554
* Live Nation Entertainment Inc.    12,477     1,508
  News Corp. Class A    65,390     1,460
* Discovery Inc. Class C    49,670     1,389
* DISH Network Corp. Class A    40,418     1,292
* Take-Two Interactive Software Inc.     7,087     1,148
  Fox Corp. Class B    23,549       901
* Discovery Inc. Class A    27,253       764
  News Corp. Class B    18,456       414
                    210,730
Consumer Discretionary (7.0%)
  McDonald's Corp.    66,830    16,358
* Booking Holdings Inc.     6,676    14,502
  NIKE Inc. Class B    95,562    13,049
  Home Depot Inc.    41,171    13,003
  TJX Cos. Inc.   195,585    12,928
  Ford Motor Co.   638,383    11,210
* General Motors Co.   236,106    11,031
  Starbucks Corp.    94,036     8,632
* Marriott International Inc. Class A    44,466     7,566
          Shares Market
Value

($000)
  Dollar General Corp.    37,931     7,523
  Target Corp.    35,700     7,132
  Ross Stores Inc.    57,787     5,281
* Dollar Tree Inc.    36,581     5,197
* Expedia Group Inc.    23,733     4,654
* Hilton Worldwide Holdings Inc.    26,786     3,987
  Lennar Corp. Class A    43,957     3,951
  Best Buy Co. Inc.    36,033     3,482
* Aptiv plc    25,913     3,354
  Yum! Brands Inc.    25,238     3,094
  VF Corp.    52,934     3,071
  Darden Restaurants Inc.    21,091     3,063
* Royal Caribbean Cruises Ltd.    36,379     2,937
  Genuine Parts Co.    23,084     2,820
  MGM Resorts International    63,187     2,799
* Carnival Corp.   130,658     2,656
* Las Vegas Sands Corp.    55,862     2,394
* Chipotle Mexican Grill Inc.     1,512     2,303
  DR Horton Inc.    24,823     2,120
  Hasbro Inc.    21,120     2,050
  PulteGroup Inc.    41,167     2,044
  Whirlpool Corp.     9,884     1,989
  Tapestry Inc.    44,830     1,834
  BorgWarner Inc.    39,097     1,603
* Wynn Resorts Ltd.    17,036     1,474
* Ulta Beauty Inc.     3,893     1,458
* Penn National Gaming Inc.    27,133     1,393
* NVR Inc.       278     1,379
* CarMax Inc.    12,406     1,356
  Garmin Ltd.    12,054     1,331
  eBay Inc.    23,487     1,282
* Mohawk Industries Inc.     8,878     1,250
* Norwegian Cruise Line Holdings Ltd.    59,940     1,168
  LKQ Corp.    24,829     1,166
  PVH Corp.    11,513     1,127
  Advance Auto Parts Inc.     5,329     1,090
  Ralph Lauren Corp.     7,951     1,050
* Caesars Entertainment Inc.    12,472     1,050
  Domino's Pizza Inc.     1,936       837
  Bath & Body Works Inc.    15,021       802
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Table of Contents
S&P 500 Value Index Fund
          Shares Market
Value

($000)
  Newell Brands Inc.    29,216       694
* Under Armour Inc. Class A    19,250       344
* Under Armour Inc. Class C    17,484       273
  Lennar Corp. Class B       361        27
  Gap Inc.       172         3
  Lowe's Cos. Inc.        15         3
                    210,174
Consumer Staples (10.9%)
  Procter & Gamble Co.   393,407    61,328
  Coca-Cola Co.   631,962    39,333
  Walmart Inc.   231,206    31,250
  Philip Morris International Inc.   253,107    25,581
  PepsiCo Inc.   130,332    21,341
  Costco Wholesale Corp.    35,200    18,278
  Altria Group Inc.   298,587    15,314
  Mondelez International Inc. Class A   226,758    14,848
  Colgate-Palmolive Co.   137,087    10,549
  Sysco Corp.    83,297     7,255
  Archer-Daniels-Midland Co.    90,874     7,129
  Kimberly-Clark Corp.    54,699     7,119
  General Mills Inc.    98,462     6,639
  Constellation Brands Inc. Class A    26,727     5,763
  Walgreens Boots Alliance Inc.   116,777     5,382
  Kroger Co.   109,872     5,142
  Estee Lauder Cos. Inc. Class A    15,459     4,581
  Kraft Heinz Co.   115,579     4,533
  Tyson Foods Inc. Class A    47,898     4,438
  Church & Dwight Co. Inc.    39,683     3,883
  McCormick & Co. Inc. (Non-Voting)    40,540     3,858
  Clorox Co.    19,971     2,912
  Conagra Brands Inc.    77,915     2,725
  Kellogg Co.    41,581     2,659
  Hershey Co.    12,986     2,627
* Monster Beverage Corp.    29,300     2,473
  J M Smucker Co.    17,573     2,368
  Hormel Foods Corp.    45,902     2,187
  Brown-Forman Corp. Class B    29,741     1,940
  Molson Coors Beverage Co. Class B    30,747     1,604
  Lamb Weston Holdings Inc.    23,813     1,582
  Campbell Soup Co.    33,047     1,486
                    328,107
Energy (6.4%)
  Exxon Mobil Corp.   688,261    53,973
  Chevron Corp.   313,382    45,127
  ConocoPhillips   214,422    20,340
  Schlumberger NV   227,957     8,945
  Marathon Petroleum Corp.   100,081     7,793
  Williams Cos. Inc.   197,799     6,187
          Shares Market
Value

($000)
  Phillips 66    71,151     5,994
  EOG Resources Inc.    51,345     5,901
  Valero Energy Corp.    66,418     5,547
  Kinder Morgan Inc.   316,782     5,512
  Halliburton Co.   145,626     4,883
  Baker Hughes Co.   142,236     4,179
  Pioneer Natural Resources Co.    16,243     3,892
  Occidental Petroleum Corp.    85,006     3,717
  Coterra Energy Inc.   132,606     3,094
  Marathon Oil Corp.   126,313     2,850
  ONEOK Inc.    41,303     2,697
  Hess Corp.    13,033     1,317
  APA Corp.    26,784       954
                    192,902
Financials (16.1%)
* Berkshire Hathaway Inc. Class B   297,716    95,701
  JPMorgan Chase & Co.   259,419    36,786
  Wells Fargo & Co.   648,208    34,595
  Bank of America Corp.   655,611    28,978
  Citigroup Inc.   322,553    19,105
  Chubb Ltd.    70,023    14,259
  CME Group Inc.    58,418    13,818
  PNC Financial Services Group Inc.    68,703    13,689
  Truist Financial Corp.   217,015    13,503
  US Bancorp   219,389    12,404
  American Express Co.    57,121    11,112
  Morgan Stanley   119,058    10,803
  Progressive Corp.    95,185    10,083
  S&P Global Inc.    24,849     9,336
  BlackRock Inc.    11,155     8,298
  American International Group Inc.   134,961     8,265
  MetLife Inc.   116,322     7,857
  Travelers Cos. Inc.    39,980     6,870
  Prudential Financial Inc.    61,496     6,867
  Charles Schwab Corp.    78,272     6,611
  Bank of New York Mellon Corp.   123,398     6,559
  Aflac Inc.    98,912     6,042
  Allstate Corp.    46,606     5,703
  Capital One Financial Corp.    35,983     5,515
  Fifth Third Bancorp   111,118     5,316
  State Street Corp.    59,402     5,069
  Intercontinental Exchange Inc.    39,412     5,049
  Marsh & McLennan Cos. Inc.    31,987     4,971
  Willis Towers Watson plc    20,282     4,509
  Aon plc Class A    14,360     4,195
  Northern Trust Corp.    33,797     3,849
  Hartford Financial Services Group Inc.    55,331     3,844
  M&T Bank Corp.    20,896     3,808
 
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Table of Contents
S&P 500 Value Index Fund
          Shares Market
Value

($000)
  KeyCorp   151,586     3,800
  Huntington Bancshares Inc.   234,719     3,643
  Citizens Financial Group Inc.    69,395     3,638
  Arthur J Gallagher & Co.    18,829     2,978
  Moody's Corp.     8,927     2,875
  Principal Financial Group Inc.    40,044     2,829
  Ameriprise Financial Inc.     7,080     2,122
  Regions Financial Corp.    85,117     2,059
  W R Berkley Corp.    22,740     2,053
  Loews Corp.    32,701     2,006
  Everest Re Group Ltd.     6,427     1,917
  Lincoln National Corp.    27,669     1,865
  Synchrony Financial    38,344     1,640
  Cincinnati Financial Corp.    12,924     1,587
  T. Rowe Price Group Inc.    10,955     1,584
  Assurant Inc.     9,280     1,575
  Globe Life Inc.    15,035     1,518
  People's United Financial Inc.    69,335     1,462
  Raymond James Financial Inc.    12,386     1,358
  MarketAxess Holdings Inc.     3,200     1,221
  Invesco Ltd.    55,285     1,174
  Comerica Inc.    11,731     1,120
  FactSet Research Systems Inc.     2,571     1,044
  Zions Bancorp NA    13,294       942
  Cboe Global Markets Inc.     7,305       857
  Brown & Brown Inc.    11,743       794
  Franklin Resources Inc.    24,893       740
  Nasdaq Inc.     4,216       722
                    484,492
Health Care (16.0%)
  Johnson & Johnson   427,958    70,429
  UnitedHealth Group Inc.    88,817    42,265
  Merck & Co. Inc.   410,657    31,448
  Bristol-Myers Squibb Co.   360,844    24,779
  Medtronic plc   218,773    22,969
  CVS Health Corp.   214,611    22,244
  Pfizer Inc.   419,783    19,705
  AbbVie Inc.   132,197    19,535
  Anthem Inc.    39,461    17,830
  Abbott Laboratories   135,098    16,295
  Cigna Corp.    53,900    12,816
  Becton Dickinson & Co.    46,692    12,667
  Gilead Sciences Inc.   203,953    12,319
  Amgen Inc.    54,040    12,239
* Boston Scientific Corp.   231,652    10,232
  Danaher Corp.    33,055     9,071
  Humana Inc.    20,883     9,070
  Stryker Corp.    32,198     8,479
* Centene Corp.    94,777     7,830
  Baxter International Inc.    81,457     6,921
  McKesson Corp.    24,832     6,828
* Intuitive Surgical Inc.    17,983     5,221
          Shares Market
Value

($000)
  Zoetis Inc.    26,181     5,070
* Biogen Inc.    23,892     5,041
  Cerner Corp.    47,773     4,455
  Zimmer Biomet Holdings Inc.    33,977     4,322
* Illumina Inc.    12,983     4,240
* Edwards Lifesciences Corp.    37,605     4,226
  HCA Healthcare Inc.    16,358     4,095
* Vertex Pharmaceuticals Inc.    16,506     3,797
  AmerisourceBergen Corp.    24,303     3,464
  Cooper Cos. Inc.     8,020     3,280
  Teleflex Inc.     7,632     2,567
  Agilent Technologies Inc.    19,655     2,562
  Cardinal Health Inc.    45,829     2,475
  ResMed Inc.     9,921     2,448
* IDEXX Laboratories Inc.     4,273     2,275
  STERIS plc     9,439     2,265
  Viatris Inc.   196,269     2,161
* Laboratory Corp. of America Holdings     7,302     1,981
* Mettler-Toledo International Inc.     1,399     1,971
* Henry Schein Inc.    22,585     1,951
  DENTSPLY SIRONA Inc.    35,572     1,926
* IQVIA Holdings Inc.     8,365     1,925
  Universal Health Services Inc. Class B    11,922     1,716
  Organon & Co.    41,359     1,544
  Quest Diagnostics Inc.    10,734     1,409
* Incyte Corp.    17,498     1,195
* DaVita Inc.    10,528     1,187
* Catalent Inc.    11,063     1,129
* ABIOMED Inc.     3,349     1,041
* Bio-Rad Laboratories Inc. Class A     1,575       986
* Waters Corp.     2,585       819
* Hologic Inc.    10,747       765
                    481,480
Industrials (12.6%)
  Raytheon Technologies Corp.   243,284    24,985
  Honeywell International Inc.   111,896    21,232
* Boeing Co.    89,836    18,447
  Lockheed Martin Corp.    39,909    17,312
  General Electric Co.   178,536    17,052
  Caterpillar Inc.    87,922    16,492
  Union Pacific Corp.    61,633    15,159
  United Parcel Service Inc. Class B    67,558    14,216
  3M Co.    93,660    13,923
  CSX Corp.   360,665    12,230
  Northrop Grumman Corp.    24,237    10,716
  Norfolk Southern Corp.    39,573    10,151
  Eaton Corp. plc    64,842    10,004
  Emerson Electric Co.    97,165     9,029
  Deere & Co.    24,751     8,911
 
6

 

Table of Contents
S&P 500 Value Index Fund
          Shares Market
Value

($000)
  General Dynamics Corp.    37,674     8,833
  FedEx Corp.    39,724     8,829
  Roper Technologies Inc.    17,138     7,682
  Carrier Global Corp.   140,806     6,319
  Parker-Hannifin Corp.    20,977     6,217
  Trane Technologies plc    38,601     5,942
  Illinois Tool Works Inc.    27,396     5,927
  PACCAR Inc.    56,460     5,184
  AMETEK Inc.    37,598     4,880
  Cummins Inc.    23,241     4,744
  L3Harris Technologies Inc.    18,474     4,661
  Waste Management Inc.    30,700     4,433
  Stanley Black & Decker Inc.    26,494     4,311
* Southwest Airlines Co.    96,276     4,217
* Delta Air Lines Inc.   104,068     4,154
  Fortive Corp.    58,413     3,782
  WW Grainger Inc.     7,054     3,365
  Ingersoll Rand Inc.    66,361     3,353
  Otis Worldwide Corp.    41,533     3,253
* TransDigm Group Inc.     4,773     3,182
  Johnson Controls International plc    44,852     2,914
  Cintas Corp.     7,711     2,894
  Westinghouse Air Brake Technologies Corp.    30,356     2,818
  Textron Inc.    35,841     2,621
  Fastenal Co.    48,534     2,498
  Rockwell Automation Inc.     9,037     2,409
* United Airlines Holdings Inc.    52,606     2,336
  Leidos Holdings Inc.    22,855     2,327
  Republic Services Inc.    19,039     2,290
  Verisk Analytics Inc.    12,846     2,278
  Howmet Aerospace Inc.    62,549     2,247
  CH Robinson Worldwide Inc.    21,190     2,049
  Dover Corp.    12,643     1,983
  Snap-on Inc.     8,777     1,845
* American Airlines Group Inc.   105,513     1,820
  Allegion plc    14,626     1,675
  Xylem Inc.    17,357     1,544
* United Rentals Inc.     4,735     1,523
  Jacobs Engineering Group Inc.    11,844     1,457
  IDEX Corp.     7,265     1,394
* Copart Inc.    11,058     1,359
  Huntington Ingalls Industries Inc.     6,491     1,327
  Quanta Services Inc.    10,613     1,156
  Masco Corp.    20,520     1,150
* Alaska Air Group Inc.    20,470     1,149
  JB Hunt Transport Services Inc.     5,600     1,136
  Fortune Brands Home & Security Inc.    12,089     1,050
  Nielsen Holdings plc    58,118     1,012
  Nordson Corp.     3,495       792
  A O Smith Corp.    10,904       748
          Shares Market
Value

($000)
  Robert Half International Inc.     5,762       693
  Rollins Inc.    20,592       672
  Pentair plc    11,233       650
                    378,943
Information Technology (11.5%)
  Visa Inc. Class A   155,408    33,587
  Intel Corp.   661,113    31,535
  Mastercard Inc. Class A    74,745    26,969
  Cisco Systems Inc.   377,061    21,029
  Broadcom Inc.    28,767    16,899
  Micron Technology Inc.   181,843    16,159
  Analog Devices Inc.    87,373    14,005
  International Business Machines Corp.   114,300    14,003
  Accenture plc Class A    43,136    13,632
* salesforce.com Inc.    62,094    13,073
  Texas Instruments Inc.    76,566    13,015
* PayPal Holdings Inc.    87,805     9,828
  Fidelity National Information Services Inc.    99,062     9,434
* Fiserv Inc.    96,551     9,430
  TE Connectivity Ltd.    53,017     7,551
  Cognizant Technology Solutions Corp. Class A    85,468     7,361
  Automatic Data Processing Inc.    32,167     6,576
  Global Payments Inc.    47,211     6,297
  Corning Inc.   124,719     5,039
  Amphenol Corp. Class A    45,657     3,470
  Hewlett Packard Enterprise Co.   212,983     3,391
  Microchip Technology Inc.    46,852     3,295
* Teledyne Technologies Inc.     7,580     3,255
  HP Inc.    93,563     3,215
* FleetCor Technologies Inc.    13,225     3,097
  NXP Semiconductors NV    16,026     3,047
  Paychex Inc.    24,486     2,915
* Autodesk Inc.    12,840     2,828
  NortonLifeLock Inc.    94,408     2,736
* Western Digital Corp.    50,635     2,579
* Synopsys Inc.     8,207     2,564
  Motorola Solutions Inc.    11,268     2,484
  Jack Henry & Associates Inc.    12,067     2,133
  Citrix Systems Inc.    20,274     2,078
  Skyworks Solutions Inc.    14,211     1,964
  Juniper Networks Inc.    52,894     1,787
* VeriSign Inc.     8,319     1,778
* ANSYS Inc.     5,382     1,745
* Akamai Technologies Inc.    15,380     1,665
  CDW Corp.     9,081     1,566
  Broadridge Financial Solutions Inc.    10,645     1,556
* DXC Technology Co.    40,829     1,389
* Trimble Inc.    18,047     1,259
* Qorvo Inc.     9,170     1,254
 
7

 

Table of Contents
S&P 500 Value Index Fund
          Shares Market
Value

($000)
* Keysight Technologies Inc.     7,467     1,175
* Tyler Technologies Inc.     2,531     1,084
* Zebra Technologies Corp. Class A     2,346       970
* PTC Inc.     8,622       959
* Ceridian HCM Holding Inc.    12,992       947
* F5 Inc.     4,641       932
  Seagate Technology Holdings plc     8,991       927
  NetApp Inc.    10,533       826
* IPG Photonics Corp.     5,781       754
* SolarEdge Technologies Inc.     2,174       694
* Paycom Software Inc.     1,962       666
  Oracle Corp.        22         2
                    344,408
Materials (3.9%)
  Linde plc    40,833    11,974
  Newmont Corp.   129,651     8,583
  Air Products and Chemicals Inc.    35,975     8,501
  Ecolab Inc.    40,538     7,145
  Dow Inc.   120,199     7,087
  DuPont de Nemours Inc.    84,200     6,515
  Freeport-McMoRan Inc.   133,528     6,269
  Corteva Inc.   118,638     6,173
  International Flavors & Fragrances Inc.    41,421     5,509
  PPG Industries Inc.    38,574     5,148
  Sherwin-Williams Co.    18,424     4,848
  Ball Corp.    52,736     4,732
  LyondellBasell Industries NV Class A    42,769     4,158
  Mosaic Co.    60,148     3,154
  Amcor plc   249,190     2,898
  Nucor Corp.    21,419     2,819
  International Paper Co.    62,953     2,740
  Eastman Chemical Co.    21,877     2,592
  FMC Corp.    20,578     2,413
  Packaging Corp. of America    15,479     2,278
  Vulcan Materials Co.    11,249     2,041
  Westrock Co.    43,477     1,968
  Martin Marietta Materials Inc.     4,245     1,610
  Celanese Corp.    10,137     1,412
  Albemarle Corp.     6,070     1,189
  Avery Dennison Corp.     6,564     1,157
  CF Industries Holdings Inc.    14,043     1,140
  Sealed Air Corp.    10,859       729
                    116,782
Real Estate (3.2%)
  American Tower Corp.    36,289     8,233
  Prologis Inc.    46,861     6,835
  Crown Castle International Corp.    38,618     6,433
  Digital Realty Trust Inc.    46,085     6,218
          Shares Market
Value

($000)
  Realty Income Corp.    92,116     6,088
  Welltower Inc.    70,827     5,899
  Equinix Inc.     7,905     5,610
  Equity Residential    55,542     4,738
  Alexandria Real Estate Equities Inc.    22,896     4,336
  Public Storage    10,149     3,603
  Ventas Inc.    64,858     3,502
  AvalonBay Communities Inc.    13,158     3,139
  Simon Property Group Inc.    21,318     2,933
  Boston Properties Inc.    23,086     2,824
  Weyerhaeuser Co.    70,645     2,747
  Healthpeak Properties Inc.    87,705     2,724
* CBRE Group Inc. Class A    27,197     2,634
  SBA Communications Corp.     7,776     2,359
  Kimco Realty Corp.   100,061     2,354
* Host Hotels & Resorts Inc.   116,280     2,124
  Essex Property Trust Inc.     5,942     1,885
  Regency Centers Corp.    25,130     1,656
  Mid-America Apartment Communities Inc.     7,096     1,452
  UDR Inc.    21,363     1,172
  Duke Realty Corp.    21,620     1,146
  Vornado Realty Trust    25,824     1,118
  Iron Mountain Inc.    18,201       895
  Federal Realty Investment Trust     6,639       781
                     95,438
Utilities (5.1%)
  NextEra Energy Inc.   318,990    24,967
  Duke Energy Corp.   125,036    12,555
  Southern Co.   172,340    11,162
  Dominion Energy Inc.   131,608    10,467
  Sempra Energy    51,960     7,494
  American Electric Power Co. Inc.    81,972     7,431
  Exelon Corp.   159,158     6,774
  Xcel Energy Inc.    87,511     5,892
  Public Service Enterprise Group Inc.    82,184     5,328
  Consolidated Edison Inc.    57,454     4,928
  WEC Energy Group Inc.    51,299     4,662
  Eversource Energy    55,872     4,570
  American Water Works Co. Inc.    29,481     4,454
  Edison International    61,799     3,919
  DTE Energy Co.    31,559     3,837
  FirstEnergy Corp.    88,576     3,707
  Ameren Corp.    41,963     3,607
  Entergy Corp.    32,732     3,444
  PPL Corp.   121,968     3,192
  CMS Energy Corp.    47,028     3,010
  CenterPoint Energy Inc.   102,066     2,792
  Constellation Energy Corp.    53,023     2,438
  Alliant Energy Corp.    40,696     2,377
 
8

 

Table of Contents
S&P 500 Value Index Fund
          Shares Market
Value

($000)
  Atmos Energy Corp.    21,537     2,365
  Evergy Inc.    37,192     2,321
  AES Corp.   108,284     2,299
  NiSource Inc.    63,924     1,849
  Pinnacle West Capital Corp.    18,235     1,292
                    153,133
Total Common Stocks
(Cost $2,685,258)
2,996,589
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
1 Vanguard Market Liquidity Fund, 0.138%
(Cost $2,623)
   26,238     2,623
Total Investments (99.8%) (Cost $2,687,881)   2,999,212
Other Assets and Liabilities—Net (0.2%)   5,818
Net Assets (100%)   3,005,030
Cost is in $000.
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index March 2022 17 3,713 (9)
    
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)
International Business Machines Corp. 8/31/22 BANA 4,207 (0.070) (297)
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.
9

 

Table of Contents
S&P 500 Value Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $2,685,258) 2,996,589
Affiliated Issuers (Cost $2,623) 2,623
Total Investments in Securities 2,999,212
Investment in Vanguard 97
Cash Collateral Pledged—Futures Contracts 190
Receivables for Accrued Income 5,959
Receivables for Capital Shares Issued 6
Total Assets 3,005,464
Liabilities  
Due to Custodian 19
Payables for Investment Securities Purchased 1
Payables for Capital Shares Redeemed 2
Payables to Vanguard 105
Variation Margin Payable—Futures Contracts 10
Unrealized Depreciation—Over-the-Counter Swap Contracts 297
Total Liabilities 434
Net Assets 3,005,030

At February 28, 2022, net assets consisted of:

   
Paid-in Capital 2,675,008
Total Distributable Earnings (Loss) 330,022
Net Assets 3,005,030
 
ETF Shares—Net Assets  
Applicable to 19,225,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,821,253
Net Asset Value Per Share—ETF Shares $146.75
 
Institutional Shares—Net Assets  
Applicable to 570,996 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
183,777
Net Asset Value Per Share—Institutional Shares $321.85
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Table of Contents
S&P 500 Value Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends1 28,154
Interest2 3
Securities Lending—Net
Total Income 28,157
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 110
Management and Administrative—ETF Shares 1,031
Management and Administrative—Institutional Shares 56
Marketing and Distribution—ETF Shares 45
Marketing and Distribution—Institutional Shares 4
Custodian Fees 25
Shareholders’ Reports—ETF Shares 36
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 1,316
Net Investment Income 26,841
Realized Net Gain (Loss)  
Investment Securities Sold2,3 113,250
Futures Contracts 117
Swap Contracts 47
Realized Net Gain (Loss) 113,414
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 (110,929)
Futures Contracts (146)
Swap Contracts (324)
Change in Unrealized Appreciation (Depreciation) (111,399)
Net Increase (Decrease) in Net Assets Resulting from Operations 28,856
1 Dividends are net of foreign withholding taxes of $6,000.
2 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, ($1,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $142,643,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Table of Contents
S&P 500 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 26,841   44,010
Realized Net Gain (Loss) 113,414   51,566
Change in Unrealized Appreciation (Depreciation) (111,399)   446,815
Net Increase (Decrease) in Net Assets Resulting from Operations 28,856   542,391
Distributions      
ETF Shares (27,405)   (37,692)
Institutional Shares (1,929)   (3,053)
Total Distributions (29,334)   (40,745)
Capital Share Transactions      
ETF Shares 471,452   643,375
Institutional Shares 8,125   35,191
Net Increase (Decrease) from Capital Share Transactions 479,577   678,566
Total Increase (Decrease) 479,099   1,180,212
Net Assets      
Beginning of Period 2,525,931   1,345,719
End of Period 3,005,030   2,525,931
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

Table of Contents
S&P 500 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $146.23 $112.29 $111.46 $111.93 $101.33 $92.41
Investment Operations            
Net Investment Income1 1.469 2.897 2.984 2.694 2.558 2.422
Net Realized and Unrealized Gain (Loss) on Investments .702 33.786 .683 (.511) 10.535 8.726
Total from Investment Operations 2.171 36.683 3.667 2.183 13.093 11.148
Distributions            
Dividends from Net Investment Income (1.651) (2.743) (2.837) (2.653) (2.493) (2.228)
Distributions from Realized Capital Gains
Total Distributions (1.651) (2.743) (2.837) (2.653) (2.493) (2.228)
Net Asset Value, End of Period $146.75 $146.23 $112.29 $111.46 $111.93 $101.33
Total Return 1.50% 33.10% 3.33% 2.05% 13.08% 12.19%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,821 $2,351 $1,244 $984 $873 $768
Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 2.01% 2.19% 2.66% 2.48% 2.38% 2.46%
Portfolio Turnover Rate2 15% 18% 31% 28% 20% 16%
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 Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $320.71 $246.27 $244.40 $245.49 $222.23 $202.64
Investment Operations            
Net Investment Income1 3.272 6.402 6.596 5.950 6.077 5.202
Net Realized and Unrealized Gain (Loss) on Investments 1.517 74.102 1.491 (1.115) 22.813 19.393
Total from Investment Operations 4.789 80.504 8.087 4.835 28.890 24.595
Distributions            
Dividends from Net Investment Income (3.649) (6.064) (6.217) (5.925) (5.630) (5.005)
Distributions from Realized Capital Gains
Total Distributions (3.649) (6.064) (6.217) (5.925) (5.630) (5.005)
Net Asset Value, End of Period $321.85 $320.71 $246.27 $244.40 $245.49 $222.23
Total Return 1.52% 33.14% 3.39% 2.07% 13.18% 12.27%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $184 $175 $102 $94 $89 $4
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 2.04% 2.22% 2.68% 2.50% 2.45% 2.53%
Portfolio Turnover Rate2 15% 18% 31% 28% 20% 16%
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 S&P 500 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.
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.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on futures contracts.
During the six months ended February 28, 2022, 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.
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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, 2022, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.
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5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes, subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate (or an acceptable alternate rate, if necessary), federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread, except that borrowings under the uncommitted credit facility may bear interest based upon an alternative rate agreed to by the fund and Vanguard.
In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans 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.
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For the six months ended February 28, 2022, 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, 2022, the fund had contributed to Vanguard capital in the amount of $97,000, 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. 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 February 28, 2022, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 2,996,589 2,996,589
Temporary Cash Investments 2,623 2,623
Total 2,999,212 2,999,212
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 9 9
Swap Contracts 297 297
Total 9 297 306
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 February 28, 2022, 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 2,691,826
Gross Unrealized Appreciation 418,931
Gross Unrealized Depreciation (111,851)
Net Unrealized Appreciation (Depreciation) 307,080
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, 2021, the fund had available capital losses totaling $99,530,000 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, 2022; 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, 2022, the fund purchased $1,248,593,000 of investment securities and sold $767,364,000 of investment securities, other than temporary cash investments. Purchases and sales include $801,492,000 and $372,882,000, 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, 2022, such purchases were $272,174,000 and sales were $202,565,000, resulting in net realized loss of $19,450,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022
  Year Ended
August 31, 2021
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 843,505 5,675   885,386 6,850
Issued in Lieu of Cash Distributions  
Redeemed (372,053) (2,525)   (242,011) (1,850)
Net Increase (Decrease)—ETF Shares 471,452 3,150   643,375 5,000
Institutional Shares