Contents

About Your Fund’s Expenses	1
Growth Index Fund	3
Value Index Fund	23
Large-Cap Index Fund	46
Trustees Approve Advisory Arrangements	69
Liquidity Risk Management	71

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

1

Six Months Ended June 30, 2023
	Beginning Account Value 12/31/2022	Ending Account Value 6/30/2023	Expenses Paid During Period
Based on Actual Fund Return
Growth Index Fund
Investor Shares	$1,000.00	$1,331.30	$0.98
ETF Shares	1,000.00	1,332.10	0.23
Admiral™ Shares	1,000.00	1,332.00	0.29
Institutional Shares	1,000.00	1,332.10	0.23
Value Index Fund
Investor Shares	$1,000.00	$1,024.90	$0.85
ETF Shares	1,000.00	1,025.50	0.20
Admiral Shares	1,000.00	1,025.30	0.25
Institutional Shares	1,000.00	1,025.40	0.20
Large-Cap Index Fund
Investor Shares	$1,000.00	$1,171.90	$0.92
ETF Shares	1,000.00	1,172.80	0.22
Admiral Shares	1,000.00	1,172.70	0.27
Institutional Shares	1,000.00	1,172.80	0.22
Based on Hypothetical 5% Yearly Return
Growth Index Fund
Investor Shares	$1,000.00	$1,023.95	$0.85
ETF Shares	1,000.00	1,024.60	0.20
Admiral Shares	1,000.00	1,024.55	0.25
Institutional Shares	1,000.00	1,024.60	0.20
Value Index Fund
Investor Shares	$1,000.00	$1,023.95	$0.85
ETF Shares	1,000.00	1,024.60	0.20
Admiral Shares	1,000.00	1,024.55	0.25
Institutional Shares	1,000.00	1,024.60	0.20
Large-Cap Index Fund
Investor Shares	$1,000.00	$1,023.95	$0.85
ETF Shares	1,000.00	1,024.60	0.20
Admiral Shares	1,000.00	1,024.55	0.25
Institutional Shares	1,000.00	1,024.60	0.20

The calculations are based on expenses incurred in the most recent six-month period. The funds' annualized six-month expense ratios for that period are: for the Growth Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares; for the Value Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares; and for the Large-Cap Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares and 0.04% for Institutional Shares. The dollar amounts shown as “Expenses Paid" are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).

2

Growth Index Fund

Fund Allocation

As of June 30, 2023

Basic Materials	1.4%
Consumer Discretionary	21.2
Consumer Staples	0.8
Energy	1.4
Financials	2.3
Health Care	8.4
Industrials	9.3
Real Estate	2.0
Technology	52.0
Telecommunications	1.0
Utilities	0.2

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

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

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

3

Growth Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of June 30, 2023

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

		Shares	Market Value• ($000)
Common Stocks (99.8%)
Basic Materials (1.4%)
	Linde plc	4,170,427	1,589,266
	Ecolab Inc.	2,179,840	406,954
	Fastenal Co.	4,854,555	286,370
	Albemarle Corp.	998,527	222,762
			2,505,352
Consumer Discretionary (21.2%)
*	Amazon.com Inc.	74,190,829	9,671,516
*	Tesla Inc.	22,918,089	5,999,268
	Home Depot Inc.	8,552,365	2,656,707
	Costco Wholesale Corp.	3,772,576	2,031,079
	McDonald's Corp.	6,210,802	1,853,365
*	Netflix Inc.	3,681,666	1,621,737
*	Walt Disney Co.	15,544,842	1,387,843
	NIKE Inc. Class B	10,480,907	1,156,778
	Starbucks Corp.	9,752,468	966,079
*	Booking Holdings Inc.	314,189	848,414
	TJX Cos. Inc.	9,796,239	830,623
*	Uber Technologies Inc.	16,357,421	706,150
	Lowe's Cos. Inc.	2,516,901	568,065
*	Chipotle Mexican Grill Inc. Class A	234,689	502,000
*	O'Reilly Automotive Inc.	517,825	494,678
*	Airbnb Inc. Class A	3,157,453	404,659
	Marriott International Inc. Class A	2,193,483	402,921
*	AutoZone Inc.	156,516	390,251
*	Lululemon Athletica Inc.	987,613	373,812
	Estee Lauder Cos. Inc. Class A	1,775,439	348,661
*	Copart Inc.	3,649,284	332,851
	Yum! Brands Inc.	2,382,858	330,145
	Hilton Worldwide Holdings Inc.	2,251,735	327,740
	Ross Stores Inc.	2,910,198	326,320
	Dollar General Corp.	1,864,225	316,508
	Electronic Arts Inc.	2,320,314	300,945
*	Trade Desk Inc. Class A	3,762,586	290,547
*	Activision Blizzard Inc.	3,177,550	267,867
*	Aptiv plc	2,301,960	235,007
*	Take-Two Interactive Software Inc.	1,436,102	211,337
	Tractor Supply Co.	931,611	205,979
*	Ulta Beauty Inc.	426,779	200,840

		Shares	Market Value• ($000)
*	Las Vegas Sands Corp.	2,924,233	169,606
*	Expedia Group Inc.	1,212,473	132,632
*	Roblox Corp. Class A	3,100,622	124,955
*	Live Nation Entertainment Inc.	1,368,259	124,662
	Domino's Pizza Inc.	300,467	101,254
*	Royal Caribbean Cruises Ltd.	924,215	95,878
	Rollins Inc.	2,094,861	89,723
*	Etsy Inc.	1,048,815	88,740
*	Burlington Stores Inc.	552,444	86,949
	Pool Corp.	157,681	59,074
	MGM Resorts International	1,237,424	54,348
*	Caesars Entertainment Inc.	869,287	44,308
	Vail Resorts Inc.	171,451	43,165
*	Chewy Inc. Class A	790,676	31,208
	Warner Music Group Corp. Class A	999,693	26,082
*	Endeavor Group Holdings Inc. Class A	637,744	15,255
			37,848,531
Consumer Staples (0.8%)
*	Monster Beverage Corp.	6,233,168	358,033
	Hershey Co.	1,253,067	312,891
	Colgate-Palmolive Co.	3,526,685	271,696
	Church & Dwight Co. Inc.	2,078,978	208,376
	Brown-Forman Corp. Class B	2,632,571	175,803
	Lamb Weston Holdings Inc.	619,134	71,169
	Brown-Forman Corp. Class A	434,949	29,607
			1,427,575
Energy (1.4%)
	Pioneer Natural Resources Co.	1,988,317	411,940
	Hess Corp.	2,351,096	319,632
	Cheniere Energy Inc.	1,963,819	299,207
	Schlumberger NV	6,063,607	297,844
	Diamondback Energy Inc.	1,541,306	202,466
*	Enphase Energy Inc.	1,166,338	195,338
*	First Solar Inc.	863,867	164,213

4

Growth Index Fund

5

Growth Index Fund

6

Growth Index Fund

		Shares	Market Value• ($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
3,4	Vanguard Market Liquidity Fund, 5.150% (Cost $364,111)	3,642,167	364,144
Total Investments (100.0%) (Cost $88,197,728)			178,626,860
Other Assets and Liabilities—Net (0.0%)			(8,110)
Net Assets (100%)			178,618,750
Cost is in $000.

•	See Note A in Notes to Financial Statements.
*	Non-income-producing security.
1	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $77,383,000.
2	Security value determined using significant unobservable inputs.
3	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4	Collateral of $80,497,000 was received for securities on loan.

CVR—Contingent Value Rights.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	September 2023	881	197,707	4,108

    

Over-the-Counter Total Return Swaps
Reference Entity	Termination Date	Counterparty	Notional Amount ($000)	Floating Interest Rate Received (Paid)1 (%)	Value and Unrealized Appreciation ($000)	Value and Unrealized (Depreciation) ($000)
Netflix Inc.	8/31/23	BANA	44,049	(5.072)	—	(167)
Visa Inc. Class A	8/31/23	BANA	105,679	(4.972)	—	(207)
					—	(374)

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

At June 30, 2023, the counterparties had deposited in segregated accounts securities with a value of $9,220,000 in connection with open over-the-counter swap contracts.

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

7

Growth Index Fund

Statement of Assets and Liabilities

As of June 30, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $87,833,617)	178,262,716
Affiliated Issuers (Cost $364,111)	364,144
Total Investments in Securities	178,626,860
Investment in Vanguard	5,904
Cash	5,999
Cash Collateral Pledged—Futures Contracts	9,875
Receivables for Investment Securities Sold	12,104
Receivables for Accrued Income	32,357
Receivables for Capital Shares Issued	89,708
Variation Margin Receivable—Futures Contracts	2,313
Total Assets	178,785,120
Liabilities
Payables for Investment Securities Purchased	1,512
Collateral for Securities on Loan	80,497
Payables for Capital Shares Redeemed	80,829
Payables to Vanguard	3,158
Unrealized Depreciation—Over-the-Counter Swap Contracts	374
Total Liabilities	166,370
Net Assets	178,618,750
1 Includes $77,383,000 of securities on loan.

8

Growth Index Fund

Statement of Assets and Liabilities (continued)
At June 30, 2023, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	93,781,172
Total Distributable Earnings (Loss)	84,837,578
Net Assets	178,618,750
Investor Shares—Net Assets
Applicable to 2,691,838 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	392,310
Net Asset Value Per Share—Investor Shares	$145.74
ETF Shares—Net Assets
Applicable to 327,482,382 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	92,678,229
Net Asset Value Per Share—ETF Shares	$283.00
Admiral Shares—Net Assets
Applicable to 417,387,306 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	60,803,347
Net Asset Value Per Share—Admiral Shares	$145.68
Institutional Shares—Net Assets
Applicable to 169,853,846 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	24,744,864
Net Asset Value Per Share—Institutional Shares	$145.68

  

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

9

Growth Index Fund

Statement of Operations

	Six Months Ended June 30, 2023
	($000)
Investment Income
Income
Dividends1	534,203
Interest2	6,812
Securities Lending—Net	1,947
Total Income	542,962
Expenses
The Vanguard Group—Note B
Investment Advisory Services	1,782
Management and Administrative—Investor Shares	279
Management and Administrative—ETF Shares	11,961
Management and Administrative—Admiral Shares	10,641
Management and Administrative—Institutional Shares	3,589
Marketing and Distribution—Investor Shares	10
Marketing and Distribution—ETF Shares	1,919
Marketing and Distribution—Admiral Shares	1,424
Marketing and Distribution—Institutional Shares	316
Custodian Fees	421
Shareholders’ Reports—Investor Shares	—
Shareholders’ Reports—ETF Shares	832
Shareholders’ Reports—Admiral Shares	235
Shareholders’ Reports—Institutional Shares	49
Trustees’ Fees and Expenses	40
Other Expenses	13
Total Expenses	33,511
Expenses Paid Indirectly	(13)
Net Expenses	33,498
Net Investment Income	509,464
Realized Net Gain (Loss)
Investment Securities Sold2,3	1,944,581
Futures Contracts	11,614
Swap Contracts	25,261
Foreign Currencies	2
Realized Net Gain (Loss)	1,981,458

10

Growth Index Fund

Statement of Operations (continued)
	Six Months Ended June 30, 2023
	($000)
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	41,860,542
Futures Contracts	4,908
Swap Contracts	(152)
Change in Unrealized Appreciation (Depreciation)	41,865,298
Net Increase (Decrease) in Net Assets Resulting from Operations	44,356,220

1	Dividends are net of foreign withholding taxes of $167,000.
2	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $6,605,000, $29,000, and ($28,000), respectively. Purchases and sales are for temporary cash investment purposes.
3	Includes $3,571,288,000 of net gain (loss) resulting from in-kind redemptions.

  

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

11

Growth Index Fund

Statement of Changes in Net Assets

	Six Months Ended June 30, 2023		Year Ended December 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	509,464		943,411
Realized Net Gain (Loss)	1,981,458		875,348
Change in Unrealized Appreciation (Depreciation)	41,865,298		(64,902,246)
Net Increase (Decrease) in Net Assets Resulting from Operations	44,356,220		(63,083,487)
Distributions
Investor Shares	(1,004)		(2,025)
ETF Shares	(275,215)		(458,691)
Admiral Shares	(177,339)		(312,198)
Institutional Shares	(73,423)		(128,919)
Total Distributions	(526,981)		(901,833)
Capital Share Transactions
Investor Shares	(56,716)		(141,965)
ETF Shares	1,737,584		9,337,505
Admiral Shares	601,725		(199,354)
Institutional Shares	202,997		35,988
Net Increase (Decrease) from Capital Share Transactions	2,485,590		9,032,174
Total Increase (Decrease)	46,314,829		(54,953,146)
Net Assets
Beginning of Period	132,303,921		187,257,067
End of Period	178,618,750		132,303,921

  

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

12

Growth Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$109.76	$165.20	$130.50	$93.87	$69.10	$72.36
Investment Operations
Net Investment Income1	.340	.638	.565	.728	.746	.823
Net Realized and Unrealized Gain (Loss) on Investments	35.991	(55.480)	34.731	36.631	24.802	(3.271)
Total from Investment Operations	36.331	(54.842)	35.296	37.359	25.548	(2.448)
Distributions
Dividends from Net Investment Income	(.351)	(.598)	(.596)	(.729)	(.778)	(.812)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.351)	(.598)	(.596)	(.729)	(.778)	(.812)
Net Asset Value, End of Period	$145.74	$109.76	$165.20	$130.50	$93.87	$69.10
Total Return2	33.13%	-33.22%	27.10%	40.01%	37.08%	-3.46%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$392	$345	$692	$750	$572	$2,654
Ratio of Total Expenses to Average Net Assets	0.17%3	0.17%3	0.17%	0.17%	0.17%	0.17%
Ratio of Net Investment Income to Average Net Assets	0.55%	0.50%	0.39%	0.69%	0.92%	1.08%
Portfolio Turnover Rate4	3%	5%	8%	6%	11%	11%
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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

13

Growth Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$213.14	$320.83	$253.44	$182.31	$134.21	$140.55
Investment Operations
Net Investment Income1	.816	1.584	1.483	1.683	1.773	1.807
Net Realized and Unrealized Gain (Loss) on Investments	69.885	(107.775)	67.447	71.131	48.065	(6.373)
Total from Investment Operations	70.701	(106.191)	68.930	72.814	49.838	(4.566)
Distributions
Dividends from Net Investment Income	(.841)	(1.499)	(1.540)	(1.684)	(1.738)	(1.774)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.841)	(1.499)	(1.540)	(1.684)	(1.738)	(1.774)
Net Asset Value, End of Period	$283.00	$213.14	$320.83	$253.44	$182.31	$134.21
Total Return	33.21%	-33.13%	27.26%	40.16%	37.26%	-3.32%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$92,678	$68,198	$90,506	$68,474	$46,481	$32,489
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	0.68%	0.64%	0.52%	0.81%	1.09%	1.21%
Portfolio Turnover Rate3	3%	5%	8%	6%	11%	11%
The expense ratio and net investment income ratio for the current period have been annualized.

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

  

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

14

Growth Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$109.72	$165.15	$130.46	$93.84	$69.09	$72.35
Investment Operations
Net Investment Income1	.414	.799	.748	.855	.907	.921
Net Realized and Unrealized Gain (Loss) on Investments	35.973	(55.471)	34.720	36.621	24.728	(3.274)
Total from Investment Operations	36.387	(54.672)	35.468	37.476	25.635	(2.353)
Distributions
Dividends from Net Investment Income	(.427)	(.758)	(.778)	(.856)	(.885)	(.907)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.427)	(.758)	(.778)	(.856)	(.885)	(.907)
Net Asset Value, End of Period	$145.68	$109.72	$165.15	$130.46	$93.84	$69.09
Total Return2	33.20%	-33.14%	27.26%	40.19%	37.23%	-3.34%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$60,803	$45,295	$68,372	$53,928	$38,103	$25,609
Ratio of Total Expenses to Average Net Assets	0.05%3	0.05%3	0.05%	0.05%	0.05%	0.05%
Ratio of Net Investment Income to Average Net Assets	0.67%	0.63%	0.51%	0.80%	1.08%	1.20%
Portfolio Turnover Rate4	3%	5%	8%	6%	11%	11%
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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

15

Growth Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$109.72	$165.16	$130.47	$93.85	$69.09	$72.35
Investment Operations
Net Investment Income1	.420	.812	.762	.867	.912	.928
Net Realized and Unrealized Gain (Loss) on Investments	35.973	(55.481)	34.721	36.620	24.742	(3.274)
Total from Investment Operations	36.393	(54.669)	35.483	37.487	25.654	(2.346)
Distributions
Dividends from Net Investment Income	(.433)	(.771)	(.793)	(.867)	(.894)	(.914)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.433)	(.771)	(.793)	(.867)	(.894)	(.914)
Net Asset Value, End of Period	$145.68	$109.72	$165.16	$130.47	$93.85	$69.09
Total Return	33.21%	-33.14%	27.27%	40.20%	37.26%	-3.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$24,745	$18,465	$27,688	$22,582	$16,426	$12,400
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	0.68%	0.64%	0.52%	0.82%	1.09%	1.21%
Portfolio Turnover Rate3	3%	5%	8%	6%	11%	11%
The expense ratio and net investment income ratio for the current period have been annualized.

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

  

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

16

Growth Index Fund

Notes to Financial Statements

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

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

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

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

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

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

17

Growth Index Fund

During the six months ended June 30, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.

During the six months ended June 30, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

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

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Growth Index Fund

which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

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

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

8. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

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

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Growth Index Fund

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

For the six months ended June 30, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2023, the fund had contributed to Vanguard capital in the amount of $5,904,000, representing less than 0.01% of the fund’s net assets and 2.36% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended June 30, 2023, custodian fee offset arrangements reduced the fund’s expenses by $13,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

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Growth Index Fund

The following table summarizes the market value of the fund’s investments and derivatives as of June 30, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	178,262,716	—	—	178,262,716
Temporary Cash Investments	364,144	—	—	364,144
Total	178,626,860	—	—	178,626,860
Derivative Financial Instruments
Assets
Futures Contracts1	4,108	—	—	4,108
Liabilities
Swap Contracts	—	374	—	374

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

E.	As of June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	88,249,772
Gross Unrealized Appreciation	95,064,829
Gross Unrealized Depreciation	(4,683,633)
Net Unrealized Appreciation (Depreciation)	90,381,196

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, 2022, the fund had available capital losses totaling $7,485,954,000 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, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F.

During the six months ended June 30, 2023, the fund purchased $12,539,928,000 of investment securities and sold $10,121,713,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,888,842,000 and $5,260,078,000, 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, 2023, such purchases were $373,185,000 and sales were $1,859,147,000, resulting in net realized loss of $1,034,621,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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Growth Index Fund

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

    

	Six Months Ended June 30, 2023			Year Ended December 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	27,538	213		44,312	343
Issued in Lieu of Cash Distributions	1,003	8		2,025	17
Redeemed	(85,257)	(670)		(188,302)	(1,408)
Net Increase (Decrease)—Investor Shares	(56,716)	(449)		(141,965)	(1,048)
ETF Shares
Issued	7,082,673	28,316		17,007,616	69,617
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(5,345,089)	(20,800)		(7,670,111)	(31,750)
Net Increase (Decrease)—ETF Shares	1,737,584	7,516		9,337,505	37,867
Admiral Shares
Issued	3,999,781	31,374		8,117,723	63,614
Issued in Lieu of Cash Distributions	158,523	1,201		277,829	2,333
Redeemed	(3,556,579)	(28,032)		(8,594,906)	(67,109)
Net Increase (Decrease)—Admiral Shares	601,725	4,543		(199,354)	(1,162)
Institutional Shares
Issued	1,498,528	11,741		2,976,818	23,224
Issued in Lieu of Cash Distributions	70,648	535		124,124	1,042
Redeemed	(1,366,179)	(10,717)		(3,064,954)	(23,618)
Net Increase (Decrease)—Institutional Shares	202,997	1,559		35,988	648

H.

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

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

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

I.	Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements.

22

Value Index Fund

Fund Allocation

As of June 30, 2023

Basic Materials	2.2%
Consumer Discretionary	5.9
Consumer Staples	11.1
Energy	7.6
Financials	18.8
Health Care	18.3
Industrials	15.0
Real Estate	3.1
Technology	8.1
Telecommunications	3.8
Utilities	6.1

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.

23

Value Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of June 30, 2023

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

		Shares	Market Value• ($000)
Common Stocks (99.7%)
Basic Materials (2.2%)
	Air Products and Chemicals Inc.	1,920,543	575,260
	Freeport-McMoRan Inc.	12,389,470	495,579
	Nucor Corp.	2,171,492	356,081
	Dow Inc.	6,116,973	325,790
	Newmont Corp.	6,863,603	292,801
	LyondellBasell Industries NV Class A	2,250,884	206,699
	International Flavors & Fragrances Inc.	2,205,221	175,514
	Avery Dennison Corp.	696,889	119,725
	CF Industries Holdings Inc.	1,682,231	116,780
	FMC Corp.	1,078,418	112,522
	Mosaic Co.	2,862,780	100,197
	Celanese Corp. Class A	843,565	97,685
	International Paper Co.	3,014,831	95,902
	Eastman Chemical Co.	1,034,899	86,642
	Steel Dynamics Inc.	695,813	75,795
	Westlake Corp.	138,320	16,525
			3,249,497
Consumer Discretionary (5.9%)
	Walmart Inc.	12,825,146	2,015,857
	Lowe's Cos. Inc.	2,560,045	577,802
	Target Corp.	3,989,631	526,232
	Ford Motor Co.	33,961,091	513,831
	General Motors Co.	11,410,855	440,003
	DR Horton Inc.	2,652,362	322,766
	Lennar Corp. Class A	2,274,538	285,022
*	Activision Blizzard Inc.	3,225,364	271,898
*	Delta Air Lines Inc.	5,557,889	264,222
*	Dollar Tree Inc.	1,819,698	261,127
*	Warner Bros Discovery Inc.	18,974,978	237,946
	eBay Inc.	4,624,030	206,648
	Genuine Parts Co.	1,214,419	205,516
	Southwest Airlines Co.	5,142,156	186,198
	Darden Restaurants Inc.	1,044,314	174,484
*	NVR Inc.	26,709	169,619
	Omnicom Group Inc.	1,724,353	164,072
*	Carnival Corp.	8,675,988	163,369
*	United Airlines Holdings Inc.	2,822,090	154,848
	PulteGroup Inc.	1,928,283	149,789
	Best Buy Co. Inc.	1,700,176	139,329

		Shares	Market Value• ($000)
	Garmin Ltd.	1,322,201	137,892
	LKQ Corp.	2,307,505	134,458
*	CarMax Inc.	1,364,886	114,241
*	Rivian Automotive Inc. Class A	6,063,797	101,023
	BorgWarner Inc. (XNYS)	2,035,237	99,543
*	Royal Caribbean Cruises Ltd.	941,271	97,648
	News Corp. Class A	4,288,761	83,631
	Fox Corp. Class A	2,334,070	79,358
1	Paramount Global Class B	4,193,002	66,711
	Interpublic Group of Cos. Inc.	1,672,705	64,533
	MGM Resorts International	1,259,695	55,326
*	American Airlines Group Inc.	2,829,547	50,762
*,1	Lucid Group Inc.	6,909,280	47,605
	Fox Corp. Class B	1,104,343	35,218
	VF Corp.	1,519,804	29,013
1	Sirius XM Holdings Inc.	5,050,178	22,877
*	Liberty Media Corp.- Liberty SiriusXM Class C	638,760	20,907
	Advance Auto Parts Inc.	257,985	18,136
	Endeavor Group Holdings Inc. Class A	650,222	15,553
*	Liberty Media Corp.- Liberty SiriusXM Class A	344,964	11,318
1	Paramount Global Class A	114,903	2,133
	Lennar Corp. Class B	15,603	1,763
	News Corp. Class B	27,910	550
			8,720,777
Consumer Staples (11.0%)
	Procter & Gamble Co.	20,374,754	3,091,665
	PepsiCo Inc.	11,908,912	2,205,769
	Coca-Cola Co.	33,643,592	2,026,017
	Philip Morris International Inc.	13,418,734	1,309,937
	Mondelez International Inc. Class A	11,768,783	858,415
	CVS Health Corp.	11,084,358	766,262
	Altria Group Inc.	15,431,787	699,060
	McKesson Corp.	1,172,576	501,053
	Kimberly-Clark Corp.	2,918,387	402,913
	General Mills Inc.	5,077,429	389,439

24

Value Index Fund

25

Value Index Fund

26

Value Index Fund

27

Value Index Fund

		Shares	Market Value• ($000)
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3	Vanguard Market Liquidity Fund, 5.150% (Cost $165,856)	1,659,037	165,879
Total Investments (99.8%) (Cost $120,176,486)			146,993,995
Other Assets and Liabilities—Net (0.2%)			238,020
Net Assets (100%)			147,232,015
Cost is in $000.

•	See Note A in Notes to Financial Statements.
*	Non-income-producing security.
1	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $76,059,000.
2	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3	Collateral of $83,297,000 was received for securities on loan, of which $83,280,000 is held in Vanguard Market Liquidity Fund and $17,000 is held in cash.

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	September 2023	1,058	237,428	2,849

28

Value Index Fund

Over-the-Counter Total Return Swaps
Reference Entity	Termination Date	Counterparty	Notional Amount ($000)	Floating Interest Rate Received (Paid)1 (%)	Value and Unrealized Appreciation ($000)	Value and Unrealized (Depreciation) ($000)
Bank of New York Mellon Corp.	8/31/23	BANA	7,346	(5.522)	—	(30)
Conagra Brands Inc.	8/31/23	BANA	9,273	(5.072)	—	(40)
Ferguson plc	8/31/23	BANA	10,697	(5.072)	9	—
Goldman Sachs Group Inc.	8/30/24	BANA	59,670	(5.672)	179	—
Goldman Sachs Group Inc.	8/30/24	BANA	20,965	(5.672)	63	—
Johnson Controls International plc	8/31/23	BANA	11,107	(5.072)	19	—
Kroger Co.	1/31/24	GSI	45,940	(5.066)	963	—
					1,233	(70)

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

At June 30, 2023, the counterparties had deposited in segregated accounts securities with a value of $341,000 in connection with open over-the-counter swap contracts.

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

29

Value Index Fund

Statement of Assets and Liabilities

As of June 30, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $120,010,630)	146,828,116
Affiliated Issuers (Cost $165,856)	165,879
Total Investments in Securities	146,993,995
Investment in Vanguard	4,966
Cash	13,677
Cash Collateral Pledged—Futures Contracts	11,850
Receivables for Investment Securities Sold	601,688
Receivables for Accrued Income	183,164
Receivables for Capital Shares Issued	777,563
Variation Margin Receivable—Futures Contracts	2,777
Unrealized Appreciation—Over-the-Counter Swap Contracts	1,233
Total Assets	148,590,913
Liabilities
Payables for Investment Securities Purchased	1,442
Collateral for Securities on Loan	83,297
Payables for Capital Shares Redeemed	1,271,537
Payables to Vanguard	2,552
Unrealized Depreciation—Over-the-Counter Swap Contracts	70
Total Liabilities	1,358,898
Net Assets	147,232,015
1 Includes $76,059,000 of securities on loan.

30

Value Index Fund

Statement of Assets and Liabilities (continued)
At June 30, 2023, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	121,370,350
Total Distributable Earnings (Loss)	25,861,665
Net Assets	147,232,015
Investor Shares—Net Assets
Applicable to 2,776,308 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	153,990
Net Asset Value Per Share—Investor Shares	$55.47
ETF Shares—Net Assets
Applicable to 700,272,773 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	99,523,095
Net Asset Value Per Share—ETF Shares	$142.12
Admiral Shares—Net Assets
Applicable to 581,643,245 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	32,248,135
Net Asset Value Per Share—Admiral Shares	$55.44
Institutional Shares—Net Assets
Applicable to 276,093,372 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	15,306,795
Net Asset Value Per Share—Institutional Shares	$55.44

  

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

31

Value Index Fund

Statement of Operations

	Six Months Ended June 30, 2023
	($000)
Investment Income
Income
Dividends	1,932,153
Interest1	4,355
Securities Lending—Net	3,584
Total Income	1,940,092
Expenses
The Vanguard Group—Note B
Investment Advisory Services	1,709
Management and Administrative—Investor Shares	153
Management and Administrative—ETF Shares	14,740
Management and Administrative—Admiral Shares	6,360
Management and Administrative—Institutional Shares	2,682
Marketing and Distribution—Investor Shares	6
Marketing and Distribution—ETF Shares	2,539
Marketing and Distribution—Admiral Shares	922
Marketing and Distribution—Institutional Shares	262
Custodian Fees	501
Shareholders’ Reports—Investor Shares	1
Shareholders’ Reports—ETF Shares	1,133
Shareholders’ Reports—Admiral Shares	163
Shareholders’ Reports—Institutional Shares	65
Trustees’ Fees and Expenses	38
Other Expenses	13
Total Expenses	31,287
Expenses Paid Indirectly	(3)
Net Expenses	31,284
Net Investment Income	1,908,808
Realized Net Gain (Loss)
Investment Securities Sold1,2	4,035,712
Futures Contracts	19,093
Swap Contracts	(3,256)
Realized Net Gain (Loss)	4,051,549

32

Value Index Fund

Statement of Operations (continued)
	Six Months Ended June 30, 2023
	($000)
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	(2,505,934)
Futures Contracts	2,908
Swap Contracts	(201)
Change in Unrealized Appreciation (Depreciation)	(2,503,227)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,457,130

1	Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,104,000, $61,000, and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes $5,370,639,000 of net gain (loss) resulting from in-kind redemptions.

  

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

33

Value Index Fund

Statement of Changes in Net Assets

	Six Months Ended June 30, 2023		Year Ended December 31, 2022
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	1,908,808		3,671,256
Realized Net Gain (Loss)	4,051,549		6,671,995
Change in Unrealized Appreciation (Depreciation)	(2,503,227)		(13,304,884)
Net Increase (Decrease) in Net Assets Resulting from Operations	3,457,130		(2,961,633)
Distributions
Investor Shares	(2,184)		(5,847)
ETF Shares	(1,243,842)		(2,511,165)
Admiral Shares	(394,058)		(791,346)
Institutional Shares	(199,709)		(393,370)
Total Distributions	(1,839,793)		(3,701,728)
Capital Share Transactions
Investor Shares	(79,952)		(19,293)
ETF Shares	(983,393)		11,181,843
Admiral Shares	(220,624)		1,778,634
Institutional Shares	(1,316,207)		1,710,922
Net Increase (Decrease) from Capital Share Transactions	(2,600,176)		14,652,106
Total Increase (Decrease)	(982,839)		7,988,745
Net Assets
Beginning of Period	148,214,854		140,226,109
End of Period	147,232,015		148,214,854

  

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

34

Value Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$54.78	$57.39	$46.43	$46.78	$38.18	$41.42
Investment Operations
Net Investment Income1	.651	1.301	1.177	1.142	1.093	1.009
Net Realized and Unrealized Gain (Loss) on Investments	.682	(2.604)	10.945	(.362)	8.623	(3.261)
Total from Investment Operations	1.333	(1.303)	12.122	.780	9.716	(2.252)
Distributions
Dividends from Net Investment Income	(.643)	(1.307)	(1.162)	(1.130)	(1.116)	(.988)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.643)	(1.307)	(1.162)	(1.130)	(1.116)	(.988)
Net Asset Value, End of Period	$55.47	$54.78	$57.39	$46.43	$46.78	$38.18
Total Return2	2.49%	-2.18%	26.31%	2.18%	25.67%	-5.55%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$154	$233	$264	$273	$328	$1,381
Ratio of Total Expenses to Average Net Assets	0.17%3	0.17%3	0.17%	0.17%	0.17%	0.17%
Ratio of Net Investment Income to Average Net Assets	2.39%	2.38%	2.22%	2.75%	2.58%	2.43%
Portfolio Turnover Rate4	3%	5%	9%	10%	12%	8%
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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.17%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

35

Value Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$140.37	$147.08	$118.98	$119.90	$97.84	$106.14
Investment Operations
Net Investment Income1	1.791	3.529	3.212	3.055	3.046	2.722
Net Realized and Unrealized Gain (Loss) on Investments	1.702	(6.707)	28.045	(.935)	22.014	(8.352)
Total from Investment Operations	3.493	(3.178)	31.257	2.120	25.060	(5.630)
Distributions
Dividends from Net Investment Income	(1.743)	(3.532)	(3.157)	(3.040)	(3.000)	(2.670)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(1.743)	(3.532)	(3.157)	(3.040)	(3.000)	(2.670)
Net Asset Value, End of Period	$142.12	$140.37	$147.08	$118.98	$119.90	$97.84
Total Return	2.55%	-2.05%	26.47%	2.23%	25.85%	-5.39%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$99,523	$99,459	$92,776	$61,580	$55,909	$41,510
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.57%	2.52%	2.35%	2.87%	2.76%	2.56%
Portfolio Turnover Rate3	3%	5%	9%	10%	12%	8%
The expense ratio and net investment income ratio for the current period have been annualized.

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

  

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

36

Value Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$54.76	$57.38	$46.41	$46.77	$38.17	$41.41
Investment Operations
Net Investment Income1	.695	1.370	1.245	1.188	1.185	1.059
Net Realized and Unrealized Gain (Loss) on Investments	.662	(2.618)	10.951	(.367)	8.581	(3.261)
Total from Investment Operations	1.357	(1.248)	12.196	.821	9.766	(2.202)
Distributions
Dividends from Net Investment Income	(.677)	(1.372)	(1.226)	(1.181)	(1.166)	(1.038)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.677)	(1.372)	(1.226)	(1.181)	(1.166)	(1.038)
Net Asset Value, End of Period	$55.44	$54.76	$57.38	$46.41	$46.77	$38.17
Total Return2	2.53%	-2.08%	26.49%	2.29%	25.82%	-5.43%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$32,248	$32,071	$31,741	$22,486	$22,414	$16,522
Ratio of Total Expenses to Average Net Assets	0.05%3	0.05%3	0.05%	0.05%	0.05%	0.05%
Ratio of Net Investment Income to Average Net Assets	2.55%	2.51%	2.34%	2.86%	2.75%	2.55%
Portfolio Turnover Rate4	3%	5%	9%	10%	12%	8%
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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
4	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

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

37

Value Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended June 30, 2023	Year Ended December 31,
		2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$54.76	$57.37	$46.41	$46.77	$38.17	$41.41
Investment Operations
Net Investment Income1	.697	1.377	1.250	1.193	1.189	1.063
Net Realized and Unrealized Gain (Loss) on Investments	.663	(2.609)	10.941	(.368)	8.581	(3.260)
Total from Investment Operations	1.360	(1.232)	12.191	.825	9.770	(2.197)
Distributions
Dividends from Net Investment Income	(.680)	(1.378)	(1.231)	(1.185)	(1.170)	(1.043)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.680)	(1.378)	(1.231)	(1.185)	(1.170)	(1.043)
Net Asset Value, End of Period	$55.44	$54.76	$57.37	$46.41	$46.77	$38.17
Total Return	2.54%	-2.05%	26.48%	2.30%	25.83%	-5.42%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$15,307	$16,452	$15,446	$12,579	$12,481	$9,789
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	2.56%	2.52%	2.35%	2.87%	2.76%	2.56%
Portfolio Turnover Rate3	3%	5%	9%	10%	12%	8%
The expense ratio and net investment income ratio for the current period have been annualized.

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

  

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

38

Value Index Fund

Notes to Financial Statements

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

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

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

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

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

During the six months ended June 30, 2023, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in

39

Value Index Fund

respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.

A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The fund’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The notional amounts of swap contracts are not recorded in the Statement of Assets and Liabilities. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until periodic payments are made or the termination of the swap, at which time realized gain (loss) is recorded.

During the six months ended June 30, 2023, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

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

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Value Index Fund

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

7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

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

For the six months ended June 30, 2023, the fund did not utilize the credit facilities or the Interfund Lending Program.

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Value Index Fund

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

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

B.

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

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2023, the fund had contributed to Vanguard capital in the amount of $4,966,000, representing less than 0.01% of the fund’s net assets and 1.99% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended June 30, 2023, custodian fee offset arrangements reduced the fund’s expenses by $3,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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

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

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Value Index Fund

The following table summarizes the market value of the fund’s investments and derivatives as of June 30, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	146,828,116	—	—	146,828,116
Temporary Cash Investments	165,879	—	—	165,879
Total	146,993,995	—	—	146,993,995
Derivative Financial Instruments
Assets
Futures Contracts1	2,849	—	—	2,849
Swap Contracts	—	1,233	—	1,233
Total	2,849	1,233	—	4,082
Liabilities
Swap Contracts	—	70	—	70

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

E.	As of June 30, 2023, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	120,257,319
Gross Unrealized Appreciation	32,021,258
Gross Unrealized Depreciation	(5,281,733)
Net Unrealized Appreciation (Depreciation)	26,739,525

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, 2022, the fund had available capital losses totaling $4,969,430,000 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, 2023; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F.

During the six months ended June 30, 2023, the fund purchased $14,746,867,000 of investment securities and sold $17,290,614,000 of investment securities, other than temporary cash investments. Purchases and sales include $10,046,827,000 and $12,089,002,000, 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, 2023, such purchases were $915,043,000 and sales were $985,895,000,

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Value Index Fund

resulting in net realized loss of $450,697,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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

    

	Six Months Ended June 30, 2023			Year Ended December 31, 2022
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	9,816	180		52,300	945
Issued in Lieu of Cash Distributions	2,184	41		5,847	110
Redeemed	(91,952)	(1,697)		(77,440)	(1,404)
Net Increase (Decrease)—Investor Shares	(79,952)	(1,476)		(19,293)	(349)
ETF Shares
Issued	10,669,809	75,930		28,097,278	198,864
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(11,653,202)	(84,200)		(16,915,435)	(121,125)
Net Increase (Decrease)—ETF Shares	(983,393)	(8,270)		11,181,843	77,739
Admiral Shares
Issued	2,154,485	39,467		6,740,145	122,919
Issued in Lieu of Cash Distributions	343,898	6,465		691,593	13,000
Redeemed	(2,719,007)	(49,939)		(5,653,104)	(103,475)
Net Increase (Decrease)—Admiral Shares	(220,624)	(4,007)		1,778,634	32,444
Institutional Shares
Issued	1,581,901	28,832		3,365,017	61,474
Issued in Lieu of Cash Distributions	193,875	3,647		379,225	7,126
Redeemed	(3,091,983)	(56,836)		(2,033,320)	(37,361)
Net Increase (Decrease)—Institutional Shares	(1,316,207)	(24,357)		1,710,922	31,239

H.

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

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

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

44

Value Index Fund

I.	Management has determined that no events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in these financial statements.

45

Large-Cap Index Fund

Fund Allocation

As of June 30, 2023

Basic Materials	1.8%
Consumer Discretionary	14.4
Consumer Staples	5.4
Energy	4.2
Financials	9.7
Health Care	12.9
Industrials	11.8
Real Estate	2.5
Technology	32.3
Telecommunications	2.2
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.

46

Large-Cap Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of June 30, 2023

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

		Shares	Market Value• ($000)
Common Stocks (99.7%)
Basic Materials (1.8%)
	Linde plc	535,532	204,081
	Air Products and Chemicals Inc.	242,600	72,666
	Freeport-McMoRan Inc.	1,565,578	62,623
	Ecolab Inc.	279,870	52,249
	Nucor Corp.	274,419	44,999
	Dow Inc.	773,317	41,187
	Newmont Corp.	868,098	37,033
	Fastenal Co.	623,930	36,806
	Albemarle Corp.	128,179	28,595
	LyondellBasell Industries NV Class A	284,265	26,104
	International Flavors & Fragrances Inc.	278,864	22,195
	Avery Dennison Corp.	88,223	15,157
	CF Industries Holdings Inc.	212,967	14,784
	FMC Corp.	136,585	14,251
	Mosaic Co.	362,835	12,699
	Celanese Corp. Class A	106,975	12,388
	International Paper Co.	379,239	12,064
	Eastman Chemical Co.	130,188	10,899
	Steel Dynamics Inc.	87,708	9,554
	Westlake Corp.	17,327	2,070
			732,404
Consumer Discretionary (14.4%)
*	Amazon.com Inc.	9,527,087	1,241,951
*	Tesla Inc.	2,942,994	770,388
	Home Depot Inc.	1,098,263	341,164
	Costco Wholesale Corp.	484,468	260,828
	Walmart Inc.	1,620,570	254,721
	McDonald's Corp.	797,498	237,981
*	Netflix Inc.	485,617	213,909
*	Walt Disney Co.	1,996,054	178,208
	NIKE Inc. Class B	1,345,902	148,547
	Lowe's Cos. Inc.	646,697	145,959
	Starbucks Corp.	1,252,287	124,052
*	Booking Holdings Inc.	40,343	108,939
	TJX Cos. Inc.	1,257,824	106,651
*	Uber Technologies Inc.	2,100,235	90,667
*	Activision Blizzard Inc.	815,721	68,765
	Target Corp.	504,219	66,506
	Ford Motor Co.	4,292,921	64,952
*	Chipotle Mexican Grill Inc. Class A	30,131	64,450
*	O'Reilly Automotive Inc.	66,504	63,531
	General Motors Co.	1,442,531	55,624

		Shares	Market Value• ($000)
*	Airbnb Inc. Class A	405,455	51,963
	Marriott International Inc. Class A	281,702	51,746
*	AutoZone Inc.	20,108	50,136
*	Lululemon Athletica Inc.	126,813	47,999
	Estee Lauder Cos. Inc. Class A	227,947	44,764
*	Copart Inc.	468,579	42,739
	Yum! Brands Inc.	305,914	42,384
	Hilton Worldwide Holdings Inc.	289,096	42,078
	Ross Stores Inc.	373,648	41,897
	DR Horton Inc.	335,332	40,807
	Dollar General Corp.	239,372	40,641
	Electronic Arts Inc.	297,874	38,634
*	Trade Desk Inc. Class A	485,960	37,526
	Lennar Corp. Class A	277,173	34,733
*	Delta Air Lines Inc.	702,060	33,376
*	Dollar Tree Inc.	229,484	32,931
*	Aptiv plc	295,670	30,185
*	Warner Bros Discovery Inc.	2,395,025	30,034
*	Take-Two Interactive Software Inc.	184,482	27,148
	Tractor Supply Co.	119,699	26,465
	eBay Inc.	583,996	26,099
	Genuine Parts Co.	153,410	25,962
*	Ulta Beauty Inc.	54,824	25,800
*	Royal Caribbean Cruises Ltd.	237,513	24,640
	Southwest Airlines Co.	650,622	23,559
	Darden Restaurants Inc.	132,116	22,074
*	Las Vegas Sands Corp.	375,655	21,788
*	NVR Inc.	3,382	21,478
	Omnicom Group Inc.	217,932	20,736
*	Carnival Corp.	1,097,481	20,666
*	United Airlines Holdings Inc.	356,533	19,563
	PulteGroup Inc.	243,872	18,944
	Best Buy Co. Inc.	215,057	17,624
	Garmin Ltd.	167,137	17,431
*	Expedia Group Inc.	155,809	17,044
	LKQ Corp.	291,971	17,013
*	Roblox Corp. Class A	398,047	16,041
*	Live Nation Entertainment Inc.	175,829	16,020
*	CarMax Inc.	172,747	14,459
	MGM Resorts International	317,640	13,951
	Domino's Pizza Inc.	38,591	13,005