Semiannual Report  |  February 28, 2022
Vanguard S&P Mid-Cap 400 Index Funds
Vanguard S&P Mid-Cap 400 Index Fund
Vanguard S&P Mid-Cap 400 Value Index Fund
Vanguard S&P Mid-Cap 400 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 Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $972.40 $0.49
Institutional Shares 1,000.00 972.60 0.39
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,009.80 $0.75
Institutional Shares 1,000.00 1,010.60 0.40
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $934.80 $0.72
Institutional Shares 1,000.00 935.30 0.38
Based on Hypothetical 5% Yearly Return      
S&P Mid-Cap 400 Index Fund      
ETF Shares $1,000.00 $1,024.30 $0.50
Institutional Shares 1,000.00 1,024.40 0.40
S&P Mid-Cap 400 Value Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
S&P Mid-Cap 400 Growth Index Fund      
ETF Shares $1,000.00 $1,024.05 $0.75
Institutional Shares 1,000.00 1,024.40 0.40
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the S&P Mid-Cap 400 Index Fund, 0.10% for ETF Shares and 0.08% for Institutional Shares; for the S&P Mid-Cap 400 Value Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares; and for the S&P Mid-Cap 400 Growth Index Fund, 0.15% for ETF Shares and 0.08% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (181/365).
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Table of Contents
S&P Mid-Cap 400 Index Fund
Fund Allocation
As of February 28, 2022
Communication Services 1.7%
Consumer Discretionary 15.0
Consumer Staples 3.5
Energy 2.7
Financials 14.7
Health Care 9.3
Industrials 18.5
Information Technology 14.4
Materials 7.0
Real Estate 10.1
Utilities 3.1
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 Mid-Cap 400 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 (100.0%)
Communication Services (1.7%)
New York Times Co. Class A 214,619     9,441
Cable One Inc.   6,370     9,127
* Iridium Communications Inc. 169,799     6,722
TEGNA Inc. 284,203     6,514
* Ziff Davis Inc.  61,929     6,230
World Wrestling Entertainment Inc. Class A  57,432     3,404
* TripAdvisor Inc. 127,239     3,237
* Yelp Inc. Class A  88,292     2,992
John Wiley & Sons Inc. Class A  56,023     2,819
                   50,486
Consumer Discretionary (15.0%)
Williams-Sonoma Inc.  95,524    13,838
Lithia Motors Inc. Class A  38,898    13,257
* Capri Holdings Ltd. 193,268    13,092
Service Corp. International 211,850    12,891
Lear Corp.  76,578    12,049
* Five Below Inc.  71,966    11,774
* Mattel Inc. 450,019    11,241
Kohl's Corp. 193,355    10,754
Churchill Downs Inc.  44,221    10,652
Wyndham Hotels & Resorts Inc. 119,691    10,343
Macy's Inc. 397,806    10,311
* Deckers Outdoor Corp.  35,256    10,176
*,1 GameStop Corp. Class A  79,584     9,816
Brunswick Corp.  99,028     9,459
Gentex Corp. 303,794     9,196
* TopBuild Corp.  42,293     9,079
* RH  22,284     8,955
Polaris Inc.  73,274     8,904
Marriott Vacations Worldwide Corp.  54,717     8,791
Dick's Sporting Goods Inc.  83,358     8,753
Texas Roadhouse Inc. Class A  89,459     8,491
Harley-Davidson Inc. 197,649     8,163
Tempur Sealy International Inc. 247,276     8,163
          Shares Market
Value

($000)
Toll Brothers Inc. 146,963     7,974
* Skechers U.S.A. Inc. Class A 173,289     7,968
* Scientific Games Corp. 123,969     7,800
* Boyd Gaming Corp. 105,345     7,473
Hanesbrands Inc. 448,559     6,930
* YETI Holdings Inc. 112,579     6,930
Thor Industries Inc.  71,330     6,455
* Fox Factory Holding Corp.  54,085     6,383
* Helen of Troy Ltd.  30,993     6,374
Leggett & Platt Inc. 171,312     6,352
* Crocs Inc.  75,589     6,329
Travel + Leisure Co. 110,838     6,212
Choice Hotels International Inc.  42,163     6,086
* AutoNation Inc.  51,356     5,889
H&R Block Inc. 225,601     5,597
* Goodyear Tire & Rubber Co. 360,912     5,591
Wingstop Inc.  38,312     5,569
Murphy USA Inc.  30,295     5,476
* Adient plc 121,019     5,416
Carter's Inc.  54,288     5,249
Wendy's Co. 226,721     5,156
* Victoria's Secret & Co.  93,062     4,991
* Taylor Morrison Home Corp. Class A 157,834     4,656
* Grand Canyon Education Inc.  51,479     4,470
Papa John's International Inc.  41,572     4,441
* Six Flags Entertainment Corp.  99,394     4,340
* Visteon Corp.  35,991     4,325
KB Home 110,078     4,250
American Eagle Outfitters Inc. 197,071     4,154
Columbia Sportswear Co.  44,400     4,117
Cracker Barrel Old Country Store Inc.  30,202     4,055
Gap Inc. 275,098     4,003
* Callaway Golf Co. 150,526     3,724
Foot Locker Inc. 116,010     3,668
Dana Inc. 185,231     3,449
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Table of Contents
S&P Mid-Cap 400 Index Fund
          Shares Market
Value

($000)
* Ollie's Bargain Outlet Holdings Inc.  77,744     3,357
* Tri Pointe Homes Inc. 142,845     3,195
Graham Holdings Co. Class B   5,117     3,076
* Nordstrom Inc. 143,075     2,967
* Urban Outfitters Inc.  84,477     2,324
                  444,919
Consumer Staples (3.5%)
* Darling Ingredients Inc. 207,842    15,064
* Performance Food Group Co. 198,205    11,107
* BJ's Wholesale Club Holdings Inc. 175,384    11,026
Casey's General Stores Inc.  47,649     8,962
* Post Holdings Inc.  75,181     7,905
Ingredion Inc.  85,454     7,583
Flowers Foods Inc. 255,198     6,995
Sanderson Farms Inc.  27,244     4,866
* Boston Beer Co. Inc. Class A  12,056     4,623
* Hain Celestial Group Inc. 119,283     4,337
Lancaster Colony Corp.  25,480     4,286
* Sprouts Farmers Market Inc. 144,163     4,106
* Coty Inc. Class A 431,008     3,952
* Grocery Outlet Holding Corp. 112,444     3,127
Nu Skin Enterprises Inc. Class A  64,044     2,971
Energizer Holdings Inc.  80,935     2,703
* Pilgrim's Pride Corp.  62,608     1,476
                  105,089
Energy (2.7%)
Targa Resources Corp. 294,123    19,227
EQT Corp. 388,382     8,987
NOV Inc. 501,836     8,606
PDC Energy Inc. 125,090     8,071
DT Midstream Inc. 124,254     6,598
Murphy Oil Corp. 186,492     6,466
* HollyFrontier Corp. 192,023     5,847
* ChampionX Corp. 259,545     5,557
* CNX Resources Corp. 271,269     4,433
Antero Midstream Corp. 417,168     4,188
Equitrans Midstream Corp. 522,235     3,347
                   81,327
Financials (14.7%)
First Horizon Corp. 694,598    16,309
East West Bancorp Inc. 182,280    15,960
Webster Financial Corp. 230,963    13,906
* Alleghany Corp.  17,600    11,650
American Financial Group Inc.  84,967    11,504
Cullen/Frost Bankers Inc.  72,840    10,251
Commerce Bancshares Inc. 142,577    10,234
Pinnacle Financial Partners Inc.  97,800     9,886
Synovus Financial Corp. 186,902     9,840
Stifel Financial Corp. 133,732     9,829
          Shares Market
Value

($000)
Old Republic International Corp. 366,753     9,664
Reinsurance Group of America Inc.  86,829     9,626
Voya Financial Inc. 142,573     9,602
First American Financial Corp. 140,999     9,453
Jefferies Financial Group Inc. 252,343     8,968
RenaissanceRe Holdings Ltd.  59,111     8,913
Prosperity Bancshares Inc. 118,385     8,815
SEI Investments Co. 136,129     7,974
Cadence Bank 251,694     7,959
First Financial Bankshares Inc. 164,703     7,893
Glacier Bancorp Inc. 139,327     7,719
PacWest Bancorp 150,612     7,443
Interactive Brokers Group Inc. Class A 112,226     7,427
SLM Corp. 376,564     7,418
Janus Henderson Group plc 219,117     7,356
Unum Group 262,596     7,332
Valley National Bancorp 522,718     7,302
Bank OZK 155,269     7,301
Wintrust Financial Corp.  73,227     7,276
Affiliated Managers Group Inc.  52,217     7,225
Old National Bancorp 378,348     6,916
New York Community Bancorp Inc. 597,317     6,893
Primerica Inc.  50,726     6,589
Selective Insurance Group Inc.  77,222     6,424
United Bankshares Inc. 175,086     6,412
Hanover Insurance Group Inc.  45,695     6,375
Evercore Inc. Class A  50,121     6,366
MGIC Investment Corp. 418,187     6,348
Essent Group Ltd. 141,841     6,267
Hancock Whitney Corp. 111,512     6,209
Umpqua Holdings Corp. 278,202     5,940
FNB Corp. 434,899     5,841
Kinsale Capital Group Inc.  27,555     5,780
UMB Financial Corp.  55,278     5,631
* Brighthouse Financial Inc. 102,524     5,358
RLI Corp.  51,135     5,190
Associated Banc-Corp 192,723     4,700
Cathay General Bancorp  99,166     4,664
Home BancShares Inc. 193,569     4,531
Bank of Hawaii Corp.  51,971     4,479
* Texas Capital Bancshares Inc.  64,993     4,328
Kemper Corp.  76,892     4,109
Federated Hermes Inc. Class B 124,383     4,064
CNO Financial Group Inc. 158,585     3,833
FirstCash Holdings Inc.  51,932     3,741
 
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S&P Mid-Cap 400 Index Fund
          Shares Market
Value

($000)
Fulton Financial Corp. 207,556     3,740
Navient Corp. 207,000     3,645
Washington Federal Inc.  83,649     2,976
International Bancshares Corp.  68,464     2,945
* PROG Holdings Inc.  73,025     2,237
Mercury General Corp.  34,166     1,879
FactSet Research Systems Inc.       3         1
Signature Bank       4         1
                  436,447
Health Care (9.3%)
* Molina Healthcare Inc.  75,012    23,019
* Repligen Corp.  66,050    12,992
* Tenet Healthcare Corp. 137,604    11,833
* Neurocrine Biosciences Inc. 121,858    10,951
* Jazz Pharmaceuticals plc  78,956    10,850
* Syneos Health Inc. 133,195    10,549
* Masimo Corp.  65,255    10,274
* Penumbra Inc.  45,107    10,002
* Envista Holdings Corp. 207,276     9,949
* United Therapeutics Corp.  57,848     9,614
Chemed Corp.  19,775     9,458
* Tandem Diabetes Care Inc.  81,607     9,191
Bruker Corp. 130,519     9,185
Encompass Health Corp. 127,789     8,437
* Exelixis Inc. 406,402     8,343
* Globus Medical Inc. Class A 101,525     7,139
* Amedisys Inc.  41,873     6,710
* Acadia Healthcare Co. Inc. 115,511     6,551
* Halozyme Therapeutics Inc. 180,838     6,414
* Integra LifeSciences Holdings Corp.  93,562     6,274
Perrigo Co. plc 171,827     6,103
* ICU Medical Inc.  25,645     6,071
* Arrowhead Pharmaceuticals Inc. 133,919     5,892
* HealthEquity Inc. 107,262     5,761
* Medpace Holdings Inc.  36,933     5,650
* LHC Group Inc.  40,674     5,539
* LivaNova plc  68,362     5,388
* Quidel Corp.  48,716     5,154
* Neogen Corp. 138,061     4,929
* STAAR Surgical Co.  61,137     4,849
* R1 RCM Inc. 171,151     4,654
* Option Care Health Inc. 177,900     4,572
* Haemonetics Corp.  65,650     3,789
* NuVasive Inc.  66,482     3,598
* Progyny Inc.  89,505     3,523
Patterson Cos. Inc. 111,393     3,331
                  276,538
Industrials (18.4%)
* Builders FirstSource Inc. 245,988    18,306
Carlisle Cos. Inc.  67,159    15,944
Graco Inc. 218,317    15,739
          Shares Market
Value

($000)
Regal Rexnord Corp.  87,036    13,956
* Trex Co. Inc. 147,867    13,580
AECOM 185,045    13,445
Toro Co. 136,722    12,826
* Middleby Corp.  71,453    12,692
Hubbell Inc. Class B  69,890    12,458
Owens Corning 129,074    12,028
* Axon Enterprise Inc.  84,359    11,831
Knight-Swift Transportation Holdings Inc. Class A 213,168    11,613
Watsco Inc.  42,422    11,584
Lennox International Inc.  43,236    11,541
Tetra Tech Inc.  69,456    11,028
* GXO Logistics Inc. 126,639    10,629
Woodward Inc.  80,976    10,092
Oshkosh Corp.  88,158     9,789
* Saia Inc.  33,829     9,717
Lincoln Electric Holdings Inc.  75,839     9,666
ITT Inc. 109,950     9,661
AGCO Corp.  78,820     9,471
* Avis Budget Group Inc.  51,483     9,444
* XPO Logistics Inc. 126,708     9,209
KBR Inc. 180,197     8,945
Donaldson Co. Inc. 158,746     8,615
* CACI International Inc. Class A  29,962     8,383
Acuity Brands Inc.  44,865     8,182
EMCOR Group Inc.  68,553     7,921
Landstar System Inc.  48,945     7,558
Curtiss-Wright Corp.  50,402     7,435
* ASGN Inc.  66,923     7,414
ManpowerGroup Inc.  69,667     7,404
nVent Electric plc 216,105     7,332
* Sunrun Inc. 265,895     7,254
MDU Resources Group Inc. 261,209     6,993
* Colfax Corp. 172,969     6,955
* Stericycle Inc. 117,992     6,886
* Univar Solutions Inc. 219,585     6,744
Simpson Manufacturing Co. Inc.  55,795     6,612
MSA Safety Inc.  46,836     6,515
Science Applications International Corp.  73,940     6,484
Crane Co.  64,117     6,481
* FTI Consulting Inc.  44,041     6,430
* IAA Inc. 173,204     6,364
Hexcel Corp. 107,751     6,239
* JetBlue Airways Corp. 408,464     6,237
* Clean Harbors Inc.  64,299     6,136
Valmont Industries Inc.  27,259     5,900
Timken Co.  88,665     5,813
* MasTec Inc.  73,490     5,788
Ryder System Inc.  68,955     5,436
Watts Water Technologies Inc. Class A  35,394     5,095
Flowserve Corp. 167,308     5,081
 
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Table of Contents
S&P Mid-Cap 400 Index Fund
          Shares Market
Value

($000)
* Kirby Corp.  77,214     5,031
GATX Corp.  45,596     4,862
MSC Industrial Direct Co. Inc. Class A  60,134     4,659
Brink's Co.  63,130     4,423
* Mercury Systems Inc.  72,761     4,382
Insperity Inc.  45,985     4,136
* Fluor Corp. 181,631     3,934
EnerSys  53,802     3,913
MillerKnoll Inc.  97,335     3,784
Terex Corp.  89,755     3,705
Kennametal Inc. 107,533     3,410
Werner Enterprises Inc.  78,338     3,405
* Dycom Industries Inc.  38,771     3,375
Trinity Industries Inc. 105,198     3,036
* Vicor Corp.  27,507     2,057
                  548,993
Information Technology (14.4%)
* Fair Isaac Corp.  35,141    16,558
Cognex Corp. 227,094    15,342
* Wolfspeed Inc. 148,862    15,291
* Ciena Corp. 198,995    13,615
* Aspen Technology Inc.  85,960    13,101
* Synaptics Inc.  50,441    11,522
Concentrix Corp.  55,108    11,016
* Lattice Semiconductor Corp. 175,889    11,014
* Arrow Electronics Inc.  89,435    10,900
* Manhattan Associates Inc.  81,289    10,867
* Paylocity Holding Corp.  50,893    10,812
MKS Instruments Inc.  71,233    10,728
Jabil Inc. 184,112    10,644
* WEX Inc.  57,570     9,701
* First Solar Inc. 127,016     9,563
* II-VI Inc. 136,336     9,470
Western Union Co. 516,355     9,387
Genpact Ltd. 222,237     9,298
* Lumentum Holdings Inc.  92,865     9,181
* Euronet Worldwide Inc.  67,890     8,706
Universal Display Corp.  55,686     8,626
Azenta Inc.  95,492     8,357
* Coherent Inc.  31,517     8,331
Littelfuse Inc.  31,640     8,170
* Silicon Laboratories Inc.  51,617     7,934
Power Integrations Inc.  77,489     6,974
* Teradata Corp. 139,366     6,967
CDK Global Inc. 151,993     6,891
* NCR Corp. 169,554     6,870
National Instruments Corp. 169,389     6,801
CMC Materials Inc.  36,509     6,770
* Cirrus Logic Inc.  73,385     6,375
* Mimecast Ltd.  79,320     6,308
Maximus Inc.  78,954     6,226
* Semtech Corp.  82,707     5,738
* Digital Turbine Inc. 112,944     5,476
TD SYNNEX Corp.  53,026     5,400
          Shares Market
Value

($000)
* Qualys Inc.  42,891     5,375
Avnet Inc. 127,418     5,360
Vontier Corp. 217,143     5,277
* Envestnet Inc.  70,193     5,252
* ACI Worldwide Inc. 151,008     5,062
* Sailpoint Technologies Holdings Inc. 119,794     4,956
* Sabre Corp. 415,424     4,541
Alliance Data Systems Corp.  63,947     4,313
* Viasat Inc.  94,328     4,305
* SiTime Corp.  19,251     3,891
* Calix Inc.  70,449     3,828
* LiveRamp Holdings Inc.  87,476     3,775
* CommVault Systems Inc.  58,453     3,677
* Kyndryl Holdings Inc. 230,143     3,650
Xerox Holdings Corp. 176,565     3,480
* Blackbaud Inc.  53,223     3,326
Vishay Intertechnology Inc. 170,593     3,274
Belden Inc.  57,731     3,253
Amkor Technology Inc. 129,066     2,926
* SunPower Corp. 106,676     1,913
* Cerence Inc.  48,734     1,760
* SolarEdge Technologies Inc.       2         1
                  428,125
Materials (7.0%)
Alcoa Corp. 240,335    18,107
Steel Dynamics Inc. 242,159    17,092
Reliance Steel & Aluminum Co.  80,473    15,360
RPM International Inc. 166,615    14,091
* Cleveland-Cliffs Inc. 584,550    13,070
AptarGroup Inc.  84,558    10,306
Royal Gold Inc.  84,304    10,223
Olin Corp. 184,247     9,491
United States Steel Corp. 347,108     9,445
Louisiana-Pacific Corp. 113,025     8,132
Valvoline Inc. 232,177     7,506
Sonoco Products Co. 126,299     7,416
Scotts Miracle-Gro Co.  52,323     7,328
Eagle Materials Inc.  52,249     7,149
Ashland Global Holdings Inc.  72,552     6,695
Avient Corp. 117,513     6,156
Commercial Metals Co. 154,879     5,971
Chemours Co. 209,317     5,777
Cabot Corp.  72,865     5,331
Silgan Holdings Inc. 107,776     4,514
Sensient Technologies Corp.  53,970     4,432
* Ingevity Corp.  50,494     3,445
Minerals Technologies Inc.  42,753     2,992
NewMarket Corp.   8,868     2,818
Worthington Industries Inc.  41,630     2,374
Greif Inc. Class A  34,076     1,959
                  207,180
Real Estate (10.1%)
Camden Property Trust 131,279    21,676
 
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S&P Mid-Cap 400 Index Fund
          Shares Market
Value

($000)
* Jones Lang LaSalle Inc.  64,829    15,962
Medical Properties Trust Inc. 765,967    15,580
CyrusOne Inc. 163,024    14,729
Rexford Industrial Realty Inc. 194,613    13,648
Life Storage Inc. 105,363    13,338
Lamar Advertising Co. Class A 111,519    12,162
Apartment Income REIT Corp. 201,653    10,407
EastGroup Properties Inc.  52,265     9,970
STORE Capital Corp. 315,237     9,684
Kilroy Realty Corp. 134,638     9,643
First Industrial Realty Trust Inc. 167,382     9,638
American Campus Communities Inc. 178,749     9,619
National Retail Properties Inc. 225,580     9,612
Brixmor Property Group Inc. 381,487     9,583
Omega Healthcare Investors Inc. 306,959     8,647
Cousins Properties Inc. 191,000     7,378
Spirit Realty Capital Inc. 158,406     7,345
Rayonier Inc. 183,881     7,300
Douglas Emmett Inc. 225,404     7,145
SL Green Realty Corp.  85,703     6,815
Kite Realty Group Trust 281,325     6,169
National Storage Affiliates Trust 105,270     6,134
Highwoods Properties Inc. 134,063     5,845
* Park Hotels & Resorts Inc. 303,727     5,722
Hudson Pacific Properties Inc. 195,819     5,170
Healthcare Realty Trust Inc. 189,490     4,942
EPR Properties  96,065     4,784
PotlatchDeltic Corp.  86,187     4,732
Physicians Realty Trust 282,927     4,600
Macerich Co. 273,634     4,187
PS Business Parks Inc.  25,830     4,114
Sabra Health Care REIT Inc. 293,706     3,945
JBG SMITH Properties 146,591     3,911
Pebblebrook Hotel Trust 168,758     3,799
Corporate Office Properties Trust 144,490     3,787
Urban Edge Properties     214         4
                  301,726
          Shares Market
Value

($000)
Utilities (3.2%)
Essential Utilities Inc. 295,452    13,919
UGI Corp. 268,593    10,325
OGE Energy Corp. 257,146     9,656
National Fuel Gas Co. 117,127     7,290
IDACORP Inc.  64,890     6,745
Hawaiian Electric Industries Inc. 140,400     5,754
Black Hills Corp.  81,968     5,737
ONE Gas Inc.  68,824     5,719
Southwest Gas Holdings Inc.  77,557     5,502
New Jersey Resources Corp. 123,844     5,402
PNM Resources Inc. 110,252     4,980
Spire Inc.  66,370     4,454
ALLETE Inc.  67,517     4,249
NorthWestern Corp.  67,629     4,090
                   93,822
Total Common Stocks
(Cost $2,391,647)
2,974,652
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
2,3 Vanguard Market Liquidity Fund, 0.138%
(Cost $7,326)
 73,269     7,326
Total Investments (100.2%) (Cost $2,398,973)   2,981,978
Other Assets and Liabilities—Net (-0.2%)   (6,501)
Net Assets (100%)   2,975,477
Cost is in $000.
See Note A in Notes to Financial Statements.
* Non-income-producing security.
1 Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $7,462,000.
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 $7,321,000 was received for securities on loan.
  REIT—Real Estate Investment Trust.
 
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S&P Mid-Cap 400 Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
      ($000)
  Expiration Number of
Long (Short)
Contracts
Notional
Amount
Value and
Unrealized
Appreciation
(Depreciation)
Long Futures Contracts
E-mini S&P Mid-Cap 400 Index March 2022 1 266 4
  
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities
As of February 28, 2022
($000s, except shares and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $2,391,647) 2,974,652
Affiliated Issuers (Cost $7,326) 7,326
Total Investments in Securities 2,981,978
Investment in Vanguard 97
Cash Collateral Pledged—Futures Contracts 20
Receivables for Investment Securities Sold 423
Receivables for Accrued Income 2,135
Receivables for Capital Shares Issued 505
Total Assets 2,985,158
Liabilities  
Due to Custodian 1,869
Payables for Investment Securities Purchased 1
Collateral for Securities on Loan 7,321
Payables for Capital Shares Redeemed 396
Payables to Vanguard 94
Variation Margin Payable—Futures Contracts
Total Liabilities 9,681
Net Assets 2,975,477
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S&P Mid-Cap 400 Index Fund
Statement of Assets and Liabilities (continued)


At February 28, 2022, net assets consisted of:

($000s, except shares and per-share amounts) Amount
Paid-in Capital 2,540,680
Total Distributable Earnings (Loss) 434,797
Net Assets 2,975,477
 
ETF Shares—Net Assets  
Applicable to 8,526,157 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,531,764
Net Asset Value Per Share—ETF Shares $179.65
 
Institutional Shares—Net Assets  
Applicable to 4,028,977 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,443,713
Net Asset Value Per Share—Institutional Shares $358.33
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Statement of Operations
  Six Months Ended
February 28, 2022
  ($000)
Investment Income  
Income  
Dividends 17,413
Interest1 3
Securities Lending—Net 8
Total Income 17,424
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 129
Management and Administrative—ETF Shares 622
Management and Administrative—Institutional Shares 453
Marketing and Distribution—ETF Shares 28
Marketing and Distribution—Institutional Shares 28
Custodian Fees 25
Shareholders’ Reports—ETF Shares 22
Shareholders’ Reports—Institutional Shares 8
Trustees’ Fees and Expenses 1
Other Expenses 8
Total Expenses 1,324
Net Investment Income 16,100
Realized Net Gain (Loss)  
Investment Securities Sold1,2 85,389
Futures Contracts (597)
Realized Net Gain (Loss) 84,792
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 (183,046)
Futures Contracts (15)
Change in Unrealized Appreciation (Depreciation) (183,061)
Net Increase (Decrease) in Net Assets Resulting from Operations (82,169)
1 Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $3,000, ($4,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $99,763,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 28,
2022
  Year Ended
August 31,
2021
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 16,100   31,769
Realized Net Gain (Loss) 84,792   185,294
Change in Unrealized Appreciation (Depreciation) (183,061)   699,605
Net Increase (Decrease) in Net Assets Resulting from Operations (82,169)   916,668
Distributions      
ETF Shares (11,417)   (14,119)
Institutional Shares (10,831)   (16,856)
Total Distributions (22,248)   (30,975)
Capital Share Transactions      
ETF Shares 111,225   182,048
Institutional Shares 96,889   (248,994)
Net Increase (Decrease) from Capital Share Transactions 208,114   (66,946)
Total Increase (Decrease) 103,697   818,747
Net Assets      
Beginning of Period 2,871,780   2,053,033
End of Period 2,975,477   2,871,780
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 28,
2022
Year Ended August 31,
2021 2020 2019 2018 2017
Net Asset Value, Beginning of Period $186.16 $130.31 $127.18 $138.01 $116.74 $105.51
Investment Operations            
Net Investment Income1 1.002 1.996 1.959 1.880 1.778 1.510
Net Realized and Unrealized Gain (Loss) on Investments (6.120) 55.805 3.205 (10.864) 21.199 11.294
Total from Investment Operations (5.118) 57.801 5.164 (8.984) 22.977 12.804
Distributions            
Dividends from Net Investment Income (1.392) (1.951) (2.034) (1.846) (1.707) (1.574)
Distributions from Realized Capital Gains
Total Distributions (1.392) (1.951) (2.034) (1.846) (1.707) (1.574)
Net Asset Value, End of Period $179.65 $186.16 $130.31 $127.18 $138.01 $116.74
Total Return -2.76% 44.65% 4.11% -6.50% 19.82% 12.22%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,532 $1,476 $890 $919 $973 $727
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 1.14% 1.21% 1.57% 1.47% 1.38% 1.34%
Portfolio Turnover Rate2 6% 16% 17% 10% 12% 13%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
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 $371.30 $259.90 $253.60 $275.26 $232.82 $210.40
Investment Operations            
Net Investment Income1 2.022 4.038 3.959 3.786 3.711 3.176
Net Realized and Unrealized Gain (Loss) on Investments (12.180) 111.307 6.384 (21.653) 42.301 22.516
Total from Investment Operations (10.158) 115.345 10.343 (17.867) 46.012 25.692
Distributions            
Dividends from Net Investment Income (2.812) (3.945) (4.043) (3.793) (3.572) (3.272)
Distributions from Realized Capital Gains
Total Distributions (2.812) (3.945) (4.043) (3.793) (3.572) (3.272)
Net Asset Value, End of Period $358.33 $371.30 $259.90 $253.60 $275.26 $232.82
Total Return -2.74% 44.69% 4.14% -6.49% 19.92% 12.31%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,444 $1,396 $1,164 $1,202 $1,420 $1,119
Ratio of Total Expenses to Average Net Assets 0.08% 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.16% 1.24% 1.59% 1.49% 1.45% 1.41%
Portfolio Turnover Rate2 6% 16% 17% 10% 12% 13%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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S&P Mid-Cap 400 Index Fund
Notes to Financial Statements
Vanguard S&P Mid-Cap 400 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
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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S&P Mid-Cap 400 Index Fund
3. 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.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Collateral investments in Vanguard Market Liquidity Fund are subject to market appreciation or depreciation. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the fund is entitled to all distributions made on or in respect of the loaned securities.
6. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.3 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
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S&P Mid-Cap 400 Index Fund
money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.
For the six months ended February 28, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.
7. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 28, 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.
At February 28, 2022, 100% of the market value of the fund's investments and derivatives was determined based on Level 1 inputs.
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Table of Contents
S&P Mid-Cap 400 Index Fund
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 2,406,949
Gross Unrealized Appreciation 714,996
Gross Unrealized Depreciation (139,963)
Net Unrealized Appreciation (Depreciation) 575,033
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 $228,906,000 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 $601,749,000 of investment securities and sold $395,309,000 of investment securities, other than temporary cash investments. Purchases and sales include $299,434,000 and $213,766,000, 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 $93,839,000 and sales were $54,564,000, resulting in net realized loss of $15,791,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 28, 2022
  Year Ended
August 31, 2021
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 335,969 1,825   666,229 4,125
Issued in Lieu of Cash Distributions  
Redeemed (224,744) (1,225)   (484,181)