UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02652
Name of Registrant: | | Vanguard Index Funds |
Address of Registrant: | | P.O. Box 2600 |
| | Valley Forge, PA 19482 |
| | |
Name and address of agent for service: | | Anne E. Robinson, Esquire |
| | P.O. Box 876 |
| | Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 1, 2018—December 31, 2018
Item 1: Reports to Shareholders
Annual Report| December 31, 2018 Vanguard 500 Index Fund |
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| A Note From Our CEO | 1 |
| | |
| Your Fund’s Performance at a Glance | 2 |
| | |
| About Your Fund’s Expenses | 3 |
| | |
| Performance Summary | 5 |
| | |
| Financial Statements | 8 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 17, 2019
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2018, Vanguard 500 Index Fund returned –4.52% for Investor Shares and –4.43% for Admiral Shares. The fund, which provides exposure to the stocks of the largest U.S. companies, closely tracked its target index, the Standard & Poor’s 500 Index, which returned –4.38%.
· The broad U.S. stock market returned about –5%, its first negative calendar-year result since 2008. Growth stocks outperformed value; large-capitalization stocks bested small- and mid-caps.
· Among sectors, financials and industrials were the biggest detractors. Health care and information technology contributed most.
· For the ten years ended December 31, 2018, the 500 Index Fund posted an average annual return of about 13%, in line with its target index.
· In November, Vanguard lowered the investment minimum for your fund’s Admiral Shares from $10,000 to $3,000.
Market Barometer
| | Average Annual Total Returns
Periods Ended December 31, 2018 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -4.78% | 9.09% | 8.21% |
| Russell 2000 Index (Small-caps) | -11.01 | 7.36 | 4.41 |
| Russell 3000 Index (Broad U.S. market) | -5.24 | 8.97 | 7.91 |
| FTSE All-World ex US Index (International) | -14.13 | 4.58 | 1.05 |
| | | | |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.01% | 2.06% | 2.52% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 1.28 | 2.30 | 3.82 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.86 | 0.98 | 0.59 |
| | | | |
| CPI | | | |
| Consumer Price Index | 1.91% | 2.03% | 1.51% |
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 compareongoing 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.
Six Months Ended December 31, 2018
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| 500 Index Fund | 6/30/2018 | 12/31/2018 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $930.77 | $0.68 |
| ETF Shares | 1,000.00 | 931.45 | 0.10 |
| Admiral™ Shares | 1,000.00 | 931.25 | 0.19 |
| Institutional Select Shares | 1,000.00 | 931.42 | 0.05 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.10 | 0.10 |
| Admiral Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Select Shares | 1,000.00 | 1,025.16 | 0.05 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.02% for ETF Shares, 0.04% for Admiral Shares, and 0.01% for Institutional Select 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 (184/365).
500 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | 500 Index Fund Investor Shares | -4.52% | 8.34% | 12.97% | $33,870 |
 | S&P 500 Index | -4.38 | 8.49 | 13.12 | 34,304 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/7/2010) | Investment |
| 500 Index Fund | | | | |
| ETF Shares Net Asset Value | -4.42% | 8.45% | 12.81% | $27,248 |
| S&P 500 Index | -4.38 | 8.49 | 12.85 | 27,325 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 12.63 | 26,886 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
See Financial Highlights for dividend and capital gains information.
500 Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| 500 Index Fund Admiral Shares | -4.43% | 8.46% | 13.10% | $34,247 |
| S&P 500 Index | -4.38 | 8.49 | 13.12 | 34,304 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | Since | Final Value |
| | One | Inception | of a $5,000,000,000 |
| | Year | (6/24/2016) | Investment |
| 500 Index Fund Institutional Select Shares | -4.40% | 10.78% | $6,471,250,500 |
| S&P 500 Index | -4.38 | 10.79 | 6,471,833,715 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 10.46 | 6,423,697,561 |
“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: September 7, 2010, Through December 31, 2018
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/7/2010) |
| 500 Index Fund ETF Shares Market Price | -4.47% | 50.02% | 172.43% |
| 500 Index Fund ETF Shares Net Asset Value | -4.42 | 50.05 | 172.48 |
| S&P 500 Index | -4.38 | 50.33 | 173.25 |
"Since Inception" performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standards.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
500 Index Fund
Sector Diversification
As of December 31, 2018
| Communication Services | 10.1% |
| Consumer Discretionary | 9.9 |
| Consumer Staples | 7.4 |
| Energy | 5.3 |
| Financials | 13.4 |
| Health Care | 15.6 |
| Industrials | 9.2 |
| Information Technology | 20.1 |
| Materials | 2.7 |
| Real Estate | 3.0 |
| Utilities | 3.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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 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.
500 Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| Common Stocks (99.5%)1 | | | | | | | | |
| Communication Services (10.1%) | | | | | | | | |
| * | | Alphabet Inc. Class C | | | 5,829,972 | | | | 6,037,577 | |
| * | | Facebook Inc. Class A | | | 45,525,094 | | | | 5,967,885 | |
| * | | Alphabet Inc. Class A | | | 5,665,331 | | | | 5,920,044 | |
| | | Verizon Communications Inc. | | | 78,298,803 | | | | 4,401,959 | |
| | | AT&T Inc. | | | 137,912,898 | | | | 3,936,034 | |
| | | Walt Disney Co. | | | 28,209,421 | | | | 3,093,163 | |
| | | Comcast Corp. Class A | | | 86,031,121 | | | | 2,929,360 | |
| * | | Netflix Inc. | | | 8,263,443 | | | | 2,211,793 | |
| | | Twenty-First Century Fox Inc. Class A | | | 20,028,496 | | | | 963,771 | |
| * | | Charter Communications Inc. Class A | | | 3,340,064 | | | | 951,818 | |
| | | Activision Blizzard Inc. | | | 14,459,184 | | | | 673,364 | |
| * | | Electronic Arts Inc. | | | 5,725,288 | | | | 451,782 | |
| | | Twenty-First Century Fox Inc. | | | 9,230,177 | | | | 441,018 | |
| * | | Twitter Inc. | | | 13,704,746 | | | | 393,874 | |
| | | Omnicom Group Inc. | | | 4,248,007 | | | | 311,124 | |
| | | CBS Corp. Class B | | | 6,379,638 | | | | 278,918 | |
| | | CenturyLink Inc. | | | 18,027,593 | | | | 273,118 | |
| * | | Take-Two Interactive Software Inc. | | | 2,159,061 | | | | 222,254 | |
| | | Viacom Inc. Class B | | | 6,692,871 | | | | 172,007 | |
| * | | Discovery Communications Inc. | | | 6,819,337 | | | | 157,390 | |
| | | Interpublic Group of Cos. Inc. | | | 7,277,853 | | | | 150,142 | |
| | | News Corp. Class A | | | 9,690,119 | | | | 109,983 | |
| * | | DISH Network Corp. Class A | | | 4,340,468 | | | | 108,382 | |
| * | | TripAdvisor Inc. | | | 1,938,827 | | | | 104,580 | |
| *,^ | | Discovery Communications Inc. Class A | | | 2,982,141 | | | | 73,778 | |
| | | News Corp. Class B | | | 6,219 | | | | 72 | |
| | | | | | | | | | 40,335,190 | |
| Consumer Discretionary (9.9%) | | | | | | | | |
| * | | Amazon.com Inc. | | | 7,783,149 | | | | 11,690,056 | |
| | | Home Depot Inc. | | | 21,403,764 | | | | 3,677,595 | |
| | | McDonald’s Corp. | | | 14,608,127 | | | | 2,593,965 | |
| | | NIKE Inc. Class B | | | 24,125,282 | | | | 1,788,648 | |
| | | Starbucks Corp. | | | 23,508,155 | | | | 1,513,925 | |
| * | | Booking Holdings Inc. | | | 877,958 | | | | 1,512,212 | |
| | | Lowe’s Cos. Inc. | | | 15,215,641 | | | | 1,405,317 | |
| | | TJX Cos. Inc. | | | 23,450,854 | | | | 1,049,191 | |
| | | General Motors Co. | | | 24,876,139 | | | | 832,107 | |
| | | Target Corp. | | | 9,888,774 | | | | 653,549 | |
| | | Ross Stores Inc. | | | 7,074,761 | | | | 588,620 | |
| | | Marriott International Inc. Class A | | | 5,364,662 | | | | 582,388 | |
| | | Ford Motor Co. | | | 74,038,120 | | | | 566,392 | |
| | | Yum! Brands Inc. | | | 5,917,251 | | | | 543,914 | |
| | | Dollar General Corp. | | | 4,981,374 | | | | 538,387 | |
| * | | O’Reilly Automotive Inc. | | | 1,517,671 | | | | 522,580 | |
| * | | eBay Inc. | | | 17,150,081 | | | | 481,403 | |
| | | VF Corp. | | | 6,166,167 | | | | 439,894 | |
| * | | Dollar Tree Inc. | | | 4,509,590 | | | | 407,306 | |
| | | Hilton Worldwide Holdings Inc. | | | 5,619,315 | | | | 403,467 | |
| * | | AutoZone Inc. | | | 477,831 | | | | 400,585 | |
| | | Carnival Corp. | | | 7,588,411 | | | | 374,109 | |
| | | Royal Caribbean Cruises Ltd. | | | 3,248,096 | | | | 317,631 | |
| | | Aptiv plc | | | 4,993,164 | | | | 307,429 | |
| | | Genuine Parts Co. | | | 2,782,312 | | | | 267,158 | |
| * | | Ulta Beauty Inc. | | | 1,068,392 | | | | 261,585 | |
| | | Expedia Group Inc. | | | 2,246,142 | | | | 253,028 | |
| | | Best Buy Co. Inc. | | | 4,439,195 | | | | 235,100 | |
| | | Darden Restaurants Inc. | | | 2,353,060 | | | | 234,977 | |
| | | MGM Resorts International | | | 9,496,286 | | | | 230,380 | |
| | | DR Horton Inc. | | | 6,492,484 | | | | 225,030 | |
| | | Advance Auto Parts Inc. | | | 1,382,224 | | | | 217,645 | |
| | | Lennar Corp. Class A | | | 5,483,844 | | | | 214,692 | |
| | | Kohl’s Corp. | | | 3,131,552 | | | | 207,747 | |
| * | | CarMax Inc. | | | 3,311,320 | | | | 207,719 | |
500 Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| * | | Chipotle Mexican Grill Inc. Class A | | | 463,587 | | | | 200,172 | |
| | | Tractor Supply Co. | | | 2,311,699 | | | | 192,888 | |
| | | Tapestry Inc. | | | 5,496,446 | | | | 185,505 | |
| | | Wynn Resorts Ltd. | | | 1,856,047 | | | | 183,582 | |
| | | Hasbro Inc. | | | 2,203,874 | | | | 179,065 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 4,165,404 | | | | 176,571 | |
| | | Macy’s Inc. | | | 5,822,145 | | | | 173,383 | |
| | | Tiffany & Co. | | | 2,056,582 | | | | 165,575 | |
| | | Newell Brands Inc. | | | 8,132,211 | | | | 151,178 | |
| | | Garmin Ltd. | | | 2,288,155 | | | | 144,886 | |
| * | | LKQ Corp. | | | 6,025,277 | | | | 142,980 | |
| * | | Mohawk Industries Inc. | | | 1,195,481 | | | | 139,823 | |
| | | BorgWarner Inc. | | | 3,943,926 | | | | 137,012 | |
| | | PVH Corp. | | | 1,433,903 | | | | 133,281 | |
| | | Whirlpool Corp. | | | 1,208,525 | | | | 129,155 | |
| | | PulteGroup Inc. | | | 4,892,310 | | | | 127,151 | |
| | | Foot Locker Inc. | | | 2,175,981 | | | | 115,762 | |
| | | L Brands Inc. | | | 4,324,237 | | | | 111,003 | |
| * | | Michael Kors Holdings Ltd. | | | 2,844,728 | | | | 107,872 | |
| | | Ralph Lauren Corp. Class A | | | 1,032,984 | | | | 106,873 | |
| | | Harley-Davidson Inc. | | | 3,083,735 | | | | 105,217 | |
| | | Gap Inc. | | | 4,045,102 | | | | 104,202 | |
| | | Nordstrom Inc. | | | 2,154,400 | | | | 100,417 | |
| | | H&R Block Inc. | | | 3,891,806 | | | | 98,735 | |
| | | Goodyear Tire & Rubber Co. | | | 4,412,322 | | | | 90,055 | |
| | | Leggett & Platt Inc. | | | 2,469,041 | | | | 88,490 | |
| | | Hanesbrands Inc. | | | 6,830,936 | | | | 85,592 | |
| *,^ | | Mattel Inc. | | | 6,535,351 | | | | 65,288 | |
| *,^ | | Under Armour Inc. Class A | | | 3,552,722 | | | | 62,777 | |
| *,^ | | Under Armour Inc. | | | 3,642,688 | | | | 58,902 | |
| | | Lennar Corp. Class B | | | 76,975 | | | | 2,412 | |
| | | Wyndham Hotels & Resorts Inc. | | | 216 | | | | 10 | |
| | | | | | | | | | 39,611,545 | |
| Consumer Staples (7.4%) | | | | | | | | |
| | | Procter & Gamble Co. | | | 47,210,675 | | | | 4,339,605 | |
| | | Coca-Cola Co. | | | 72,594,382 | | | | 3,437,344 | |
| | | PepsiCo Inc. | | | 26,748,745 | | | | 2,955,201 | |
| | | Walmart Inc. | | | 26,976,018 | | | | 2,512,816 | |
| | | Philip Morris International Inc. | | | 29,457,223 | | | | 1,966,564 | |
| | | Altria Group Inc. | | | 35,606,812 | | | | 1,758,620 | |
| | | Costco Wholesale Corp. | | | 8,303,690 | | | | 1,691,545 | |
| | | Mondelez International Inc. Class A | | | 27,550,051 | | | | 1,102,829 | |
| | | Walgreens Boots Alliance Inc. | | | 15,233,759 | | | | 1,040,923 | |
| | | Colgate-Palmolive Co. | | | 16,435,661 | | | | 978,251 | |
| | | Kimberly-Clark Corp. | | | 6,562,385 | | | | 747,718 | |
| | | Sysco Corp. | | | 9,060,573 | | | | 567,735 | |
| | | Estee Lauder Cos. Inc. Class A | | | 4,166,605 | | | | 542,075 | |
| | | Kraft Heinz Co. | | | 11,783,458 | | | | 507,160 | |
| | | Constellation Brands Inc. Class A | | | 3,148,094 | | | | 506,276 | |
| | | General Mills Inc. | | | 11,297,934 | | | | 439,942 | |
| | | Archer-Daniels-Midland Co. | | | 10,623,847 | | | | 435,259 | |
| | | Kroger Co. | | | 15,121,904 | | | | 415,852 | |
| | | Clorox Co. | | | 2,419,216 | | | | 372,898 | |
| * | | Monster Beverage Corp. | | | 7,544,980 | | | | 371,364 | |
| | | McCormick & Co. Inc. | | | 2,308,071 | | | | 321,376 | |
| | | Church & Dwight Co. Inc. | | | 4,667,283 | | | | 306,921 | |
| | | Tyson Foods Inc. Class A | | | 5,593,626 | | | | 298,700 | |
| | | Hershey Co. | | | 2,658,362 | | | | 284,923 | |
| | | Kellogg Co. | | | 4,802,235 | | | | 273,775 | |
| ^ | | Hormel Foods Corp. | | | 5,163,036 | | | | 220,358 | |
| | | Lamb Weston Holdings Inc. | | | 2,773,254 | | | | 204,001 | |
| | | JM Smucker Co. | | | 2,154,136 | | | | 201,390 | |
| | | Molson Coors Brewing Co. Class B | | | 3,546,671 | | | | 199,181 | |
| | | Conagra Brands Inc. | | | 9,208,854 | | | | 196,701 | |
| | | Brown-Forman Corp. Class B | | | 3,149,087 | | | | 149,834 | |
| *,^ | | Campbell Soup Co. | | | 3,647,856 | | | | 120,343 | |
| | | Coty Inc. Class A | | | 8,538,203 | | | | 56,011 | |
| | | | | | | | | | 29,523,491 | |
| Energy (5.3%) | | | | | | | | |
| | | Exxon Mobil Corp. | | | 80,227,601 | | | | 5,470,720 | |
| | | Chevron Corp. | | | 36,207,844 | | | | 3,939,051 | |
| | | ConocoPhillips | | | 21,814,925 | | | | 1,360,161 | |
| | | EOG Resources Inc. | | | 10,988,511 | | | | 958,308 | |
| | | Schlumberger Ltd. | | | 26,240,368 | | | | 946,753 | |
| | | Occidental Petroleum Corp. | | | 14,307,129 | | | | 878,172 | |
| | | Marathon Petroleum Corp. | | | 13,091,083 | | | | 772,505 | |
| | | Phillips 66 | | | 8,038,870 | | | | 692,549 | |
| | | Valero Energy Corp. | | | 8,039,814 | | | | 602,745 | |
| | | Kinder Morgan Inc. | | | 35,961,578 | | | | 553,089 | |
| | | Williams Cos. Inc. | | | 22,937,434 | | | | 505,770 | |
| | | Halliburton Co. | | | 16,601,107 | | | | 441,257 | |
| | | Pioneer Natural Resources Co. | | | 3,230,016 | | | | 424,812 | |
| | | ONEOK Inc. | | | 7,795,538 | | | | 420,569 | |
| | | Anadarko Petroleum Corp. | | | 9,555,625 | | | | 418,919 | |
| * | | Concho Resources Inc. | | | 3,794,822 | | | | 390,070 | |
| | | Diamondback Energy Inc. | | | 2,923,951 | | | | 271,050 | |
| | | Marathon Oil Corp. | | | 15,762,200 | | | | 226,030 | |
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| | | Baker Hughes a GE Co. Class A | | | 9,735,695 | | | | 209,317 | |
| | | Devon Energy Corp. | | | 8,878,674 | | | | 200,125 | |
| | | Hess Corp. | | | 4,719,423 | | | | 191,137 | |
| | | Apache Corp. | | | 7,197,985 | | | | 188,947 | |
| | | National Oilwell Varco Inc. | | | 7,259,501 | | | | 186,569 | |
| | | Cabot Oil & Gas Corp. | | | 8,164,170 | | | | 182,469 | |
| | | Noble Energy Inc. | | | 9,084,927 | | | | 170,433 | |
| | | TechnipFMC plc | | | 8,068,418 | | | | 157,980 | |
| | | HollyFrontier Corp. | | | 3,018,880 | | | | 154,325 | |
| | | Cimarex Energy Co. | | | 1,810,628 | | | | 111,625 | |
| | | Helmerich & Payne Inc. | | | 2,064,754 | | | | 98,984 | |
| * | | Newfield Exploration Co. | | | 3,793,561 | | | | 55,614 | |
| | | | | | | | | | 21,180,055 | |
| Financials (13.3%) | | | | | | | | |
| * | | Berkshire Hathaway Inc. Class B | | | 35,620,768 | | | | 7,273,048 | |
| | | JPMorgan Chase & Co. | | | 63,012,774 | | | | 6,151,307 | |
| | | Bank of America Corp. | | | 172,949,801 | | | | 4,261,483 | |
| | | Wells Fargo & Co. | | | 80,278,244 | | | | 3,699,222 | |
| | | Citigroup Inc. | | | 46,275,685 | | | | 2,409,112 | |
| | | US Bancorp | | | 28,785,034 | | | | 1,315,476 | |
| | | CME Group Inc. | | | 6,779,749 | | | | 1,275,406 | |
| | | American Express Co. | | | 13,273,589 | | | | 1,265,239 | |
| | | Chubb Ltd. | | | 8,732,407 | | | | 1,128,052 | |
| | | Goldman Sachs Group Inc. | | | 6,555,332 | | | | 1,095,068 | |
| | | PNC Financial Services Group Inc. | | | 8,743,198 | | | | 1,022,167 | |
| | | Morgan Stanley | | | 24,773,515 | | | | 982,270 | |
| | | Charles Schwab Corp. | | | 22,775,616 | | | | 945,871 | |
| | | BlackRock Inc. | | | 2,301,255 | | | | 903,979 | |
| | | Intercontinental Exchange Inc. | | | 10,793,314 | | | | 813,060 | |
| | | Bank of New York Mellon Corp. | | | 17,238,503 | | | | 811,416 | |
| | | S&P Global Inc. | | | 4,754,508 | | | | 807,981 | |
| | | MetLife Inc. | | | 18,700,775 | | | | 767,854 | |
| | | Marsh & McLennan Cos. Inc. | | | 9,545,045 | | | | 761,217 | |
| | | Capital One Financial Corp. | | | 8,975,495 | | | | 678,458 | |
| | | Progressive Corp. | | | 11,048,936 | | | | 666,582 | |
| | | Aon plc | | | 4,563,513 | | | | 663,352 | |
| | | American International Group Inc. | | | 16,763,427 | | | | 660,647 | |
| | | Aflac Inc. | | | 14,425,060 | | | | 657,206 | |
| | | Prudential Financial Inc. | | | 7,826,355 | | | | 638,239 | |
| | | BB&T Corp. | | | 14,601,642 | | | | 632,543 | |
| | | Travelers Cos. Inc. | | | 5,019,120 | | | | 601,040 | |
| | | Allstate Corp. | | | 6,527,029 | | | | 539,328 | |
| | | State Street Corp. | | | 7,191,607 | | | | 453,575 | |
| | | Moody’s Corp. | | | 3,159,022 | | | | 442,390 | |
| | | SunTrust Banks Inc. | | | 8,512,790 | | | | 429,385 | |
| | | T. Rowe Price Group Inc. | | | 4,560,379 | | | | 421,014 | |
| | | M&T Bank Corp. | | | 2,659,308 | | | | 380,627 | |
| | | Discover Financial Services | | | 6,367,349 | | | | 375,546 | |
| | | Willis Towers Watson plc | | | 2,462,788 | | | | 373,999 | |
| | | Northern Trust Corp. | | | 4,196,374 | | | | 350,775 | |
| | | Hartford Financial Services Group Inc. | | | 6,800,110 | | | | 302,265 | |
| | | Synchrony Financial | | | 12,534,629 | | | | 294,062 | |
| | | Fifth Third Bancorp | | | 12,429,791 | | | | 292,473 | |
| | | KeyCorp | | | 19,611,814 | | | | 289,863 | |
| | | Ameriprise Financial Inc. | | | 2,641,767 | | | | 275,721 | |
| | | Citizens Financial Group Inc. | | | 8,871,096 | | | | 263,738 | |
| | | Regions Financial Corp. | | | 19,601,153 | | | | 262,264 | |
| | | Arthur J Gallagher & Co. | | | 3,478,024 | | | | 256,330 | |
| * | | Berkshire Hathaway Inc. Class A | | | 829 | | | | 253,674 | |
| | | MSCI Inc. Class A | | | 1,669,070 | | | | 246,071 | |
| | | Huntington Bancshares Inc. | | | 20,126,960 | | | | 239,913 | |
| | | Loews Corp. | | | 5,240,114 | | | | 238,530 | |
| | | Cincinnati Financial Corp. | | | 2,866,225 | | | | 221,903 | |
| | | Principal Financial Group Inc. | | | 4,989,511 | | | | 220,387 | |
| * | | First Republic Bank | | | 2,493,174 | | | | 216,657 | |
| | | E*TRADE Financial Corp. | | | 4,814,558 | | | | 211,263 | |
| | | Comerica Inc. | | | 3,066,358 | | | | 210,628 | |
| | | Cboe Global Markets Inc. | | | 2,127,539 | | | | 208,137 | |
| | | Lincoln National Corp. | | | 4,051,149 | | | | 207,865 | |
| * | | SVB Financial Group | | | 1,009,726 | | | | 191,767 | |
| | | Raymond James Financial Inc. | | | 2,441,987 | | | | 181,708 | |
| | | Nasdaq Inc. | | | 2,173,545 | | | | 177,296 | |
| | | Everest Re Group Ltd. | | | 770,747 | | | | 167,838 | |
| | | Franklin Resources Inc. | | | 5,635,744 | | | | 167,156 | |
| | | Zions Bancorp NA | | | 3,639,463 | | | | 148,272 | |
| | | Torchmark Corp. | | | 1,943,232 | | | | 144,829 | |
| | | Invesco Ltd. | | | 7,789,213 | | | | 130,391 | |
| | | Unum Group | | | 4,142,041 | | | | 121,693 | |
| | | People’s United Financial Inc. | | | 7,146,950 | | | | 103,131 | |
| | | Affiliated Managers Group Inc. | | | 997,564 | | | | 97,203 | |
| | | Jefferies Financial Group Inc. | | | 5,322,804 | | | | 92,404 | |
| | | Assurant Inc. | | | 987,217 | | | | 88,297 | |
| * | | Brighthouse Financial Inc. | | | 2,246,095 | | | | 68,461 | |
| | | | | | | | | | 53,246,124 | |
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| Health Care (15.5%) | | | | | | | | |
| | | Johnson & Johnson | | | 50,821,665 | | | | 6,558,536 | |
| | | Pfizer Inc. | | | 109,536,080 | | | | 4,781,250 | |
| | | UnitedHealth Group Inc. | | | 18,229,528 | | | | 4,541,340 | |
| | | Merck & Co. Inc. | | | 49,275,377 | | | | 3,765,132 | |
| | | AbbVie Inc. | | | 28,503,743 | | | | 2,627,760 | |
| | | Abbott Laboratories | | | 33,280,869 | | | | 2,407,205 | |
| | | Amgen Inc. | | | 12,074,725 | | | | 2,350,587 | |
| | | Medtronic plc | | | 25,449,683 | | | | 2,314,903 | |
| | | Eli Lilly & Co. | | | 17,865,346 | | | | 2,067,378 | |
| | | Thermo Fisher Scientific Inc. | | | 7,628,314 | | | | 1,707,140 | |
| | | Bristol-Myers Squibb Co. | | | 30,929,173 | | | | 1,607,698 | |
| | | CVS Health Corp. | | | 24,504,922 | | | | 1,605,563 | |
| | | Gilead Sciences Inc. | | | 24,513,109 | | | | 1,533,295 | |
| * | | Cigna Corp. | | | 7,215,333 | | | | 1,370,336 | |
| | | Anthem Inc. | | | 4,901,034 | | | | 1,287,159 | |
| | | Danaher Corp. | | | 11,687,843 | | | | 1,205,250 | |
| * | | Biogen Inc. | | | 3,817,943 | | | | 1,148,895 | |
| | | Becton Dickinson and Co. | | | 5,083,179 | | | | 1,145,342 | |
| * | | Intuitive Surgical Inc. | | | 2,163,912 | | | | 1,036,341 | |
| * | | Boston Scientific Corp. | | | 26,221,568 | | | | 926,670 | |
| | | Stryker Corp. | | | 5,885,193 | | | | 922,504 | |
| * | | Celgene Corp. | | | 13,250,106 | | | | 849,199 | |
| * | | Illumina Inc. | | | 2,785,485 | | | | 835,451 | |
| | | Allergan plc | | | 6,007,860 | | | | 803,011 | |
| * | | Vertex Pharmaceuticals Inc. | | | 4,842,540 | | | | 802,457 | |
| | | Zoetis Inc. | | | 9,104,263 | | | | 778,779 | |
| | | Humana Inc. | | | 2,599,549 | | | | 744,719 | |
| | | HCA Healthcare Inc. | | | 5,086,636 | | | | 633,032 | |
| | | Baxter International Inc. | | | 9,376,999 | | | | 617,194 | |
| * | | Edwards Lifesciences Corp. | | | 3,960,971 | | | | 606,702 | |
| * | | Regeneron Pharmaceuticals Inc. | | | 1,470,635 | | | | 549,282 | |
| * | | Centene Corp. | | | 3,890,524 | | | | 448,577 | |
| * | | Alexion Pharmaceuticals Inc. | | | 4,227,397 | | | | 411,579 | |
| | | McKesson Corp. | | | 3,702,524 | | | | 409,018 | |
| | | Agilent Technologies Inc. | | | 6,040,189 | | | | 407,471 | |
| | | Zimmer Biomet Holdings Inc. | | | 3,865,297 | | | | 400,909 | |
| * | | IQVIA Holdings Inc. | | | 3,003,029 | | | | 348,862 | |
| * | | Cerner Corp. | | | 6,244,996 | | | | 327,488 | |
| | | ResMed Inc. | | | 2,701,120 | | | | 307,577 | |
| * | | IDEXX Laboratories Inc. | | | 1,634,335 | | | | 304,019 | |
| * | | Align Technology Inc. | | | 1,379,864 | | | | 288,985 | |
| * | | ABIOMED Inc. | | | 853,164 | | | | 277,312 | |
| * | | Waters Corp. | | | 1,435,813 | | | | 270,866 | |
| * | | Mettler-Toledo International Inc. | | | 474,782 | | | | 268,527 | |
| * | | Mylan NV | | | 9,774,432 | | | | 267,819 | |
| | | Cardinal Health Inc. | | | 5,677,589 | | | | 253,220 | |
| * | | Laboratory Corp. of America Holdings | | | 1,912,714 | | | | 241,691 | |
| | | Cooper Cos. Inc. | | | 930,756 | | | | 236,877 | |
| * | | Henry Schein Inc. | | | 2,888,455 | | | | 226,802 | |
| * | | WellCare Health Plans Inc. | | | 947,736 | | | | 223,751 | |
| | | AmerisourceBergen Corp. Class A | | | 2,973,622 | | | | 221,237 | |
| | | Quest Diagnostics Inc. | | | 2,578,393 | | | | 214,703 | |
| * | | Incyte Corp. | | | 3,349,492 | | | | 212,994 | |
| * | | Hologic Inc. | | | 5,108,414 | | | | 209,956 | |
| * | | Varian Medical Systems Inc. | | | 1,727,880 | | | | 195,786 | |
| | | Universal Health Services Inc. Class B | | | 1,614,389 | | | | 188,173 | |
| | | PerkinElmer Inc. | | | 2,106,588 | | | | 165,473 | |
| | | Dentsply Sirona Inc. | | | 4,213,865 | | | | 156,798 | |
| * | | DaVita Inc. | | | 2,390,362 | | | | 123,008 | |
| * | | Nektar Therapeutics Class A | | | 3,277,605 | | | | 107,735 | |
| | | Perrigo Co. plc | | | 2,366,820 | | | | 91,714 | |
| | | | | | | | | | 61,939,037 | |
| Industrials (9.1%) | | | | | | | | |
| | | Boeing Co. | | | 10,007,835 | | | | 3,227,527 | |
| | | 3M Co. | | | 11,034,372 | | | | 2,102,489 | |
| | | Union Pacific Corp. | | | 13,961,870 | | | | 1,929,949 | |
| | | Honeywell International Inc. | | | 14,029,386 | | | | 1,853,562 | |
| | | United Technologies Corp. | | | 15,379,543 | | | | 1,637,614 | |
| | | Caterpillar Inc. | | | 11,182,475 | | | | 1,420,957 | |
| | | United Parcel Service Inc. Class B | | | 13,174,028 | | | | 1,284,863 | |
| | | General Electric Co. | | | 164,825,076 | | | | 1,247,726 | |
| | | Lockheed Martin Corp. | | | 4,689,184 | | | | 1,227,816 | |
| | | CSX Corp. | | | 15,201,433 | | | | 944,465 | |
| | | Deere & Co. | | | 6,095,837 | | | | 909,316 | |
| | | General Dynamics Corp. | | | 5,275,452 | | | | 829,354 | |
| | | Raytheon Co. | | | 5,392,938 | | | | 827,007 | |
| | | Northrop Grumman Corp. | | | 3,290,114 | | | | 805,749 | |
| * | | Norfolk Southern Corp. | | | 5,160,816 | | | | 771,748 | |
| | | FedEx Corp. | | | 4,593,930 | | | | 741,139 | |
| | | Illinois Tool Works Inc. | | | 5,784,654 | | | | 732,858 | |
| | | Emerson Electric Co. | | | 11,865,621 | | | | 708,971 | |
| | | Waste Management Inc. | | | 7,432,697 | | | | 661,436 | |
| | | Delta Air Lines Inc. | | | 11,820,974 | | | | 589,867 | |
| | | Eaton Corp. plc | | | 8,212,033 | | | | 563,838 | |
| | | Roper Technologies Inc. | | | 1,959,866 | | | | 522,343 | |
| | | Johnson Controls International plc | | | 17,508,466 | | | | 519,126 | |
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| | | Southwest Airlines Co. | | | 9,589,879 | | | | 445,738 | |
| | | Ingersoll-Rand plc | | | 4,655,268 | | | | 424,700 | |
| | | PACCAR Inc. | | | 6,622,700 | | | | 378,421 | |
| | | Fortive Corp. | | | 5,569,982 | | | | 376,865 | |
| | | Cummins Inc. | | | 2,799,683 | | | | 374,150 | |
| | | Parker-Hannifin Corp. | | | 2,508,279 | | | | 374,085 | |
| * | | United Continental Holdings Inc. | | | 4,337,723 | | | | 363,197 | |
| | | Rockwell Automation Inc. | | | 2,287,291 | | | | 344,191 | |
| | | Stanley Black & Decker Inc. | | | 2,863,251 | | | | 342,846 | |
| * | | Verisk Analytics Inc. Class A | | | 3,120,120 | | | | 340,218 | |
| * | | IHS Markit Ltd. | | | 6,799,803 | | | | 326,187 | |
| * | | TransDigm Group Inc. | | | 919,951 | | | | 312,838 | |
| | | Harris Corp. | | | 2,230,372 | | | | 300,320 | |
| | | AMETEK Inc. | | | 4,400,303 | | | | 297,900 | |
| | | Republic Services Inc. Class A | | | 4,122,571 | | | | 297,196 | |
| | | Fastenal Co. | | | 5,441,724 | | | | 284,548 | |
| | | Cintas Corp. | | | 1,641,194 | | | | 275,704 | |
| | | L3 Technologies Inc. | | | 1,490,454 | | | | 258,832 | |
| | | American Airlines Group Inc. | | | 7,771,217 | | | | 249,534 | |
| | | WW Grainger Inc. | | | 864,058 | | | | 243,975 | |
| | | Xylem Inc. | | | 3,403,098 | | | | 227,055 | |
| | | Expeditors International of Washington Inc. | | | 3,268,322 | | | | 222,540 | |
| | | CH Robinson Worldwide Inc. | | | 2,607,146 | | | | 219,235 | |
| | | Equifax Inc. | | | 2,283,180 | | | | 212,633 | |
| | | Textron Inc. | | | 4,600,891 | | | | 211,595 | |
| | | Dover Corp. | | | 2,770,941 | | | | 196,598 | |
| * | | Copart Inc. | | | 3,899,580 | | | | 186,322 | |
| | | Kansas City Southern | | | 1,927,991 | | | | 184,027 | |
| | | Masco Corp. | | | 5,794,433 | | | | 169,429 | |
| * | | United Rentals Inc. | | | 1,535,743 | | | | 157,460 | |
| | | Nielsen Holdings plc | | | 6,730,531 | | | | 157,023 | |
| | | Huntington Ingalls Industries Inc. | | | 813,229 | | | | 154,766 | |
| | | JB Hunt Transport Services Inc. | | | 1,653,872 | | | | 153,876 | |
| | | Snap-on Inc. | | | 1,054,445 | | | | 153,200 | |
| | | Allegion plc | | | 1,799,903 | | | | 143,470 | |
| | | Alaska Air Group Inc. | | | 2,334,344 | | | | 142,045 | |
| | | Arconic Inc. | | | 8,144,268 | | | | 137,312 | |
| | | Jacobs Engineering Group Inc. | | | 2,263,670 | | | | 132,334 | |
| | | Robert Half International Inc. | | | 2,300,450 | | | | 131,586 | |
| | | AO Smith Corp. | | | 2,724,690 | | | | 116,344 | |
| | | Pentair plc | | | 3,024,175 | | | | 114,253 | |
| | | Fortune Brands Home & Security Inc. | | | 2,679,909 | | | | 101,810 | |
| | | Rollins Inc. | | | 2,789,287 | | | | 100,693 | |
| | | Flowserve Corp. | | | 2,477,712 | | | | 94,203 | |
| | | Fluor Corp. | | | 2,663,869 | | | | 85,777 | |
| | | Quanta Services Inc. | | | 2,765,158 | | | | 83,231 | |
| | | | | | | | | | 36,659,982 | |
| Information Technology (20.0%) | | | | | | | | |
| | | Microsoft Corp. | | | 146,457,745 | | | | 14,875,713 | |
| | | Apple Inc. | | | 85,426,039 | | | | 13,475,103 | |
| | | Visa Inc. Class A | | | 33,298,615 | | | | 4,393,419 | |
| | | Intel Corp. | | | 86,484,577 | | | | 4,058,721 | |
| | | Cisco Systems Inc. | | | 85,196,774 | | | | 3,691,576 | |
| | | Mastercard Inc. Class A | | | 17,217,931 | | | | 3,248,163 | |
| | | Oracle Corp. | | | 48,295,933 | | | | 2,180,561 | |
| * | | Adobe Inc. | | | 9,249,785 | | | | 2,092,671 | |
| | | Broadcom Inc. | | | 7,834,481 | | | | 1,992,152 | |
| * | | salesforce.com Inc. | | | 14,496,209 | | | | 1,985,546 | |
| | | International Business Machines Corp. | | | 17,221,251 | | | | 1,957,540 | |
| * | | PayPal Holdings Inc. | | | 22,329,121 | | | | 1,877,656 | |
| | | Texas Instruments Inc. | | | 18,201,450 | | | | 1,720,037 | |
| | | Accenture plc Class A | | | 12,079,529 | | | | 1,703,334 | |
| | | NVIDIA Corp. | | | 11,558,944 | | | | 1,543,119 | |
| | | QUALCOMM Inc. | | | 22,969,654 | | | | 1,307,203 | |
| | | Automatic Data Processing Inc. | | | 8,295,138 | | | | 1,087,659 | |
| | | Intuit Inc. | | | 4,918,157 | | | | 968,139 | |
| | | Cognizant Technology Solutions Corp. Class A | | | 10,972,201 | | | | 696,515 | |
| * | | Micron Technology Inc. | | | 21,224,841 | | | | 673,464 | |
| | | Fidelity National Information Services Inc. | | | 6,205,227 | | | | 636,346 | |
| | | HP Inc. | | | 29,986,763 | | | | 613,529 | |
| | | Applied Materials Inc. | | | 18,626,443 | | | | 609,830 | |
| | | Analog Devices Inc. | | | 7,013,798 | | | | 601,994 | |
| * | | Red Hat Inc. | | | 3,349,145 | | | | 588,244 | |
| * | | Fiserv Inc. | | | 7,549,671 | | | | 554,825 | |
| * | | Autodesk Inc. | | | 4,149,645 | | | | 533,686 | |
| | | TE Connectivity Ltd. | | | 6,499,545 | | | | 491,561 | |
| | | Amphenol Corp. Class A | | | 5,709,714 | | | | 462,601 | |
| | | Corning Inc. | | | 15,163,861 | | | | 458,100 | |
| | | Xilinx Inc. | | | 4,794,978 | | | | 408,388 | |
| | | Lam Research Corp. | | | 2,941,010 | | | | 400,477 | |
| | | Paychex Inc. | | | 6,056,502 | | | | 394,581 | |
| | | Motorola Solutions Inc. | | | 3,099,001 | | | | 356,509 | |
| | | Hewlett Packard Enterprise Co. | | | 26,970,197 | | | | 356,276 | |
| ^ | | Microchip Technology Inc. | | | 4,482,459 | | | | 322,378 | |
| * | | FleetCor Technologies Inc. | | | 1,680,859 | | | | 312,169 | |
| | | Global Payments Inc. | | | 2,999,038 | | | | 309,291 | |
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| * | | Advanced Micro Devices Inc. | | | 16,670,013 | | | | 307,728 | |
| * | | VeriSign Inc. | | | 2,016,603 | | | | 299,042 | |
| | | NetApp Inc. | | | 4,774,759 | | | | 284,910 | |
| | | DXC Technology Co. | | | 5,310,304 | | | | 282,349 | |
| | | Maxim Integrated Products Inc. | | | 5,252,079 | | | | 267,068 | |
| | | KLA-Tencor Corp. | | | 2,901,944 | | | | 259,695 | |
| | | Total System Services Inc. | | | 3,182,092 | | | | 258,672 | |
| | | Citrix Systems Inc. | | | 2,424,338 | | | | 248,398 | |
| * | | Synopsys Inc. | | | 2,829,838 | | | | 238,386 | |
| * | | Cadence Design Systems Inc. | | | 5,342,623 | | | | 232,297 | |
| | | Symantec Corp. | | | 12,113,840 | | | | 228,891 | |
| * | | ANSYS Inc. | | | 1,584,294 | | | | 226,459 | |
| | | Skyworks Solutions Inc. | | | 3,361,865 | | | | 225,312 | |
| * | | Keysight Technologies Inc. | | | 3,554,085 | | | | 220,638 | |
| * | | Gartner Inc. | | | 1,721,042 | | | | 220,018 | |
| | | Broadridge Financial Solutions Inc. | | | 2,210,669 | | | | 212,777 | |
| * | | Arista Networks Inc. | | | 985,571 | | | | 207,660 | |
| | | Western Digital Corp. | | | 5,480,405 | | | | 202,611 | |
| * | | Fortinet Inc. | | | 2,741,908 | | | | 193,113 | |
| | | Seagate Technology plc | | | 4,931,844 | | | | 190,320 | |
| * | | Akamai Technologies Inc. | | | 3,084,398 | | | | 188,395 | |
| * | | F5 Networks Inc. | | | 1,149,705 | | | | 186,287 | |
| | | Jack Henry & Associates Inc. | | | 1,463,743 | | | | 185,193 | |
| | | Juniper Networks Inc. | | | 6,535,701 | | | | 175,876 | |
| * | | Qorvo Inc. | | | 2,367,308 | | | | 143,767 | |
| | | Western Union Co. | | | 8,385,006 | | | | 143,048 | |
| | | Alliance Data Systems Corp. | | | 887,010 | | | | 133,123 | |
| | | FLIR Systems Inc. | | | 2,619,317 | | | | 114,045 | |
| | | Xerox Corp. | | | 3,924,937 | | | | 77,557 | |
| * | | IPG Photonics Corp. | | | 678,622 | | | | 76,881 | |
| | | | | | | | | | 80,169,592 | |
| Materials (2.7%) | | | | | | | | |
| | | DowDuPont Inc. | | | 43,477,540 | | | | 2,325,179 | |
| | | Linde plc | | | 10,442,646 | | | | 1,629,471 | |
| | | Ecolab Inc. | | | 4,816,379 | | | | 709,693 | |
| | | Air Products & Chemicals Inc. | | | 4,159,378 | | | | 665,708 | |
| | | Sherwin-Williams Co. | | | 1,561,239 | | | | 614,285 | |
| | | LyondellBasell Industries NV Class A | | | 5,961,019 | | | | 495,718 | |
| | | PPG Industries Inc. | | | 4,545,880 | | | | 464,725 | |
| | | Newmont Mining Corp. | | | 10,095,418 | | | | 349,806 | |
| | | International Paper Co. | | | 7,677,192 | | | | 309,851 | |
| | | Nucor Corp. | | | 5,950,270 | | | | 308,284 | |
| | | Ball Corp. | | | 6,429,896 | | | | 295,647 | |
| | | Freeport-McMoRan Inc. | | | 27,445,469 | | | | 282,963 | |
| | | International Flavors & Fragrances Inc. | | | 1,920,170 | | | | 257,821 | |
| | | Vulcan Materials Co. | | | 2,500,645 | | | | 247,064 | |
| | | Celanese Corp. Class A | | | 2,533,833 | | | | 227,969 | |
| | | Martin Marietta Materials Inc. | | | 1,188,887 | | | | 204,334 | |
| | | Mosaic Co. | | | 6,725,352 | | | | 196,448 | |
| | | Eastman Chemical Co. | | | 2,651,826 | | | | 193,875 | |
| | | CF Industries Holdings Inc. | | | 4,370,049 | | | | 190,141 | |
| | | FMC Corp. | | | 2,549,777 | | | | 188,582 | |
| | | Westrock Co. | | | 4,808,191 | | | | 181,557 | |
| ^ | | Albemarle Corp. | | | 2,011,100 | | | | 154,995 | |
| | | Packaging Corp. of America | | | 1,789,333 | | | | 149,338 | |
| | | Avery Dennison Corp. | | | 1,641,842 | | | | 147,487 | |
| | | Sealed Air Corp. | | | 2,971,537 | | | | 103,528 | |
| | | | | | | | | | 10,894,469 | |
| Real Estate (2.9%) | | | | | | | | |
| | | American Tower Corp. | | | 8,346,720 | | | | 1,320,368 | |
| | | Simon Property Group Inc. | | | 5,860,830 | | | | 984,561 | |
| | | Crown Castle International Corp. | | | 7,860,938 | | | | 853,934 | |
| | | Prologis Inc. | | | 11,928,876 | | | | 700,464 | |
| | | Public Storage | | | 2,841,332 | | | | 575,114 | |
| | | Equinix Inc. | | | 1,523,189 | | | | 537,015 | |
| | | Welltower Inc. | | | 7,117,481 | | | | 494,024 | |
| | | Equity Residential | | | 6,981,353 | | | | 460,839 | |
| | | AvalonBay Communities Inc. | | | 2,619,136 | | | | 455,861 | |
| | | Digital Realty Trust Inc. | | | 3,909,234 | | | | 416,529 | |
| | | Ventas Inc. | | | 6,755,246 | | | | 395,790 | |
| | | Realty Income Corp. | | | 5,593,015 | | | | 352,584 | |
| * | | SBA Communications Corp. Class A | | | 2,147,687 | | | | 347,689 | |
| | | Boston Properties Inc. | | | 2,927,318 | | | | 329,470 | |
| | | Weyerhaeuser Co. | | | 14,201,202 | | | | 310,438 | |
| | | Essex Property Trust Inc. | | | 1,252,251 | | | | 307,064 | |
| | | HCP Inc. | | | 9,052,416 | | | | 252,834 | |
| * | | CBRE Group Inc. Class A | | | 6,010,257 | | | | 240,651 | |
| | | Alexandria Real Estate Equities Inc. | | | 2,038,952 | | | | 234,969 | |
| | | Host Hotels & Resorts Inc. | | | 14,069,715 | | | | 234,542 | |
| | | Extra Space Storage Inc. | | | 2,398,782 | | | | 217,042 | |
| | | UDR Inc. | | | 5,225,309 | | | | 207,027 | |
| | | Mid-America Apartment Communities Inc. | | | 2,155,657 | | | | 206,296 | |
| | | Vornado Realty Trust | | | 3,284,004 | | | | 203,707 | |
| | | Regency Centers Corp. | | | 3,208,714 | | | | 188,287 | |
500 Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Duke Realty Corp. | | | 6,784,916 | | | | 175,729 | |
| | | Iron Mountain Inc. | | | 5,419,867 | | | | 175,658 | |
| | | Federal Realty Investment Trust | | | 1,398,701 | | | | 165,103 | |
| | | Apartment Investment & Management Co. | | | 2,947,391 | | | | 129,331 | |
| | | SL Green Realty Corp. | | | 1,614,840 | | | | 127,701 | |
| | | Kimco Realty Corp. | | | 7,979,347 | | | | 116,897 | |
| | | Macerich Co. | | | 2,003,046 | | | | 86,692 | |
| | | | | | | | | | 11,804,210 | |
| Utilities (3.3%) | | | | | | | | |
| | | NextEra Energy Inc. | | | 9,055,989 | | | | 1,574,112 | |
| | | Duke Energy Corp. | | | 13,507,473 | | | | 1,165,695 | |
| | | Dominion Energy Inc. | | | 12,436,218 | | | | 888,692 | |
| | | Southern Co. | | | 19,495,839 | | | | 856,257 | |
| | | Exelon Corp. | | | 18,322,197 | | | | 826,331 | |
| | | American Electric Power Co. Inc. | | | 9,342,694 | | | | 698,273 | |
| | | Sempra Energy | | | 5,185,085 | | | | 560,974 | |
| | | Public Service Enterprise Group Inc. | | | 9,577,021 | | | | 498,484 | |
| | | Xcel Energy Inc. | | | 9,738,524 | | | | 479,817 | |
| | | Consolidated Edison Inc. | | | 5,901,631 | | | | 451,239 | |
| | | WEC Energy Group Inc. | | | 5,979,680 | | | | 414,153 | |
| | | Eversource Energy | | | 6,005,874 | | | | 390,622 | |
| | | PPL Corp. | | | 13,646,719 | | | | 386,612 | |
| | | DTE Energy Co. | | | 3,447,503 | | | | 380,260 | |
| | | Edison International | | | 6,174,898 | | | | 350,549 | |
| | | FirstEnergy Corp. | | | 9,208,603 | | | | 345,783 | |
| | | American Water Works Co. Inc. | | | 3,423,377 | | | | 310,740 | |
| | | Ameren Corp. | | | 4,630,479 | | | | 302,046 | |
| | | Entergy Corp. | | | 3,433,879 | | | | 295,554 | |
| | | Evergy Inc. | | | 4,994,125 | | | | 283,516 | |
| | | CenterPoint Energy Inc. | | | 9,500,860 | | | | 268,209 | |
| | | CMS Energy Corp. | | | 5,371,303 | | | | 266,685 | |
| * | | PG&E Corp. | | | 9,833,830 | | | | 233,553 | |
| | | NRG Energy Inc. | | | 5,490,331 | | | | 217,417 | |
| * | | Alliant Energy Corp. | | | 4,474,811 | | | | 189,061 | |
| | | AES Corp. | | | 12,540,941 | | | | 181,342 | |
| | | Pinnacle West Capital Corp. | | | 2,125,498 | | | | 181,092 | |
| | | NiSource Inc. | | | 6,879,203 | | | | 174,388 | |
| | | SCANA Corp. | | | 2,706,750 | | | | 129,329 | |
| | | | | | | | | | 13,300,785 | |
Total Common Stocks (Cost $290,571,598) | | | | | | | 398,664,480 | |
| Temporary Cash Investments (0.5%)1 | | | | | | | | |
| Money Market Fund (0.5%) | | | | | | | | |
| 2,3 | | Vanguard Market Liquidity Fund, 2.530% | | | 21,319,887 | | | | 2,131,989 | |
| | | | | Face | | | Market | |
| | | | | Amount | | | Value• | |
| | | | | ($000) | | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| | | United States Treasury Bill, 2.280%, 2/7/19 | | | 10,000 | | | | 9,976 | |
| 4 | | United States Treasury Bill, 2.314%, 2/28/19 | | | 32,000 | | | | 31,880 | |
| 4 | | United States Treasury Bill, 2.365%, 3/21/19 | | | 20,000 | | | | 19,900 | |
| 4 | | United States Treasury Bill, 2.474%, 5/9/19 | | | 28,000 | | | | 27,762 | |
| 4 | | United States Treasury Bill, 2.497%, 5/23/19 | | | 8,000 | | | | 7,924 | |
| | | | | | | | | | 97,442 | |
Total Temporary Cash Investments (Cost $2,229,269) | | | | | | | 2,229,431 | |
Total Investments (100.0%) (Cost $292,800,867) | | | | | | | 400,893,911 | |
| | | Amount | |
| | | ($000) | |
| Other Assets and Liabilities (0.0%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 23,100 | |
| Receivables for Investment Securities Sold | | | 297,942 | |
| Receivables for Accrued Income | | | 467,536 | |
| Receivables for Capital Shares Issued | | | 796,468 | |
| Variation Margin Receivable—Futures Contracts | | | 14,508 | |
| Other Assets | | | 986 | |
| Total Other Assets | | | 1,600,540 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (444,886 | ) |
| Collateral for Securities on Loan | | | (540,005 | ) |
| Payables for Capital Shares Redeemed | | | (688,890 | ) |
| Payables to Vanguard | | | (113,321 | ) |
| Total Liabilities | | | (1,787,102 | ) |
| Net Assets (100%) | | | 400,707,349 | |
500 Index Fund
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000) | |
| Paid-in Capital | | | 293,056,767 | |
| Total Distributable Earnings (Loss) | | | 107,650,582 | |
| Net Assets | | | 400,707,349 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 100,077,825 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 23,161,935 | |
| Net Asset Value Per Share—Investor Shares | | | $231.44 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 394,632,889 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 90,639,290 | |
| Net Asset Value Per Share—ETF Shares | | | $229.68 | |
| | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 995,408,131 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 230,375,373 | |
| Net Asset Value Per Share—Admiral Shares | | | $231.44 | |
| | | | | |
| Institutional Select Shares—Net Assets | | | | |
| Applicable to 460,963,079 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 56,530,751 | |
| Net Asset Value Per Share—Institutional Select Shares | | | $122.64 | |
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $519,980,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets. |
| 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 | Includes $540,005,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $87,366,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End |
| Futures Contracts | | | | | | | | | | | |
| | | | | | | | | | | ($000) | |
| | | | | | | | | | | Value and | |
| | | | | Number of | | | | | | Unrealized | |
| | | | | Long (Short) | | | Notional | | | Appreciation | |
| | | Expiration | | Contracts | | | Amount | | | (Depreciation) | |
| Long Futures Contracts | | | | | | | | | | | | | | |
| E-mini S&P 500 Index | | March 2019 | | | 16,570 | | | | 2,075,558 | | | | (64,847 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000) | |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 8,795,154 | |
| Interest1 | | | 31,767 | |
| Securities Lending—Net | | | 3,598 | |
| Total Income | | | 8,830,519 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 15,468 | |
| Management and Administrative—Investor Shares | | | 32,487 | |
| Management and Administrative—ETF Shares | | | 19,222 | |
| Management and Administrative—Admiral Shares | | | 73,345 | |
| Management and Administrative—Institutional Select Shares | | | 3,138 | |
| Marketing and Distribution—Investor Shares | | | 4,019 | |
| Marketing and Distribution—ETF Shares | | | 4,647 | |
| Marketing and Distribution—Admiral Shares | | | 13,909 | |
| Marketing and Distribution—Institutional Select Shares | | | 2 | |
| Custodian Fees | | | 2,346 | |
| Auditing Fees | | | 48 | |
| Shareholders’ Reports—Investor Shares | | | 373 | |
| Shareholders’ Reports—ETF Shares | | | 782 | |
| Shareholders’ Reports—Admiral Shares | | | 1,220 | |
| Shareholders’ Reports—Institutional Select Shares | | | 14 | |
| Trustees’ Fees and Expenses | | | 275 | |
| Total Expenses | | | 171,295 | |
| Net Investment Income | | | 8,659,224 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 14,389,018 | |
| Futures Contracts | | | (85,932 | ) |
| Realized Net Gain (Loss) | | | 14,303,086 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (43,303,022 | ) |
| Futures Contracts | | | (75,009 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (43,378,031 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (20,415,721 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $30,057,000, ($358,000), and $33,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $14,063,188,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000) | | | ($000) | |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 8,659,224 | | | | 6,543,479 | |
| Realized Net Gain (Loss) | | | 14,303,086 | | | | 6,306,381 | |
| Change in Unrealized Appreciation (Depreciation) | | | (43,378,031 | ) | | | 52,957,229 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (20,415,721 | ) | | | 65,807,089 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (474,872 | ) | | | (502,714 | ) |
| ETF Shares | | | (1,812,323 | ) | | | (1,392,614 | ) |
| Admiral Shares | | | (4,653,557 | ) | | | (4,061,760 | ) |
| Institutional Select Shares | | | (1,066,831 | ) | | | (593,341 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Select Shares | | | — | | | | — | |
| Total Distributions | | | (8,007,583 | ) | | | (6,550,429 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (3,019,824 | ) | | | (3,875,867 | ) |
| ETF Shares | | | 14,094,239 | | | | 14,595,756 | |
| Admiral Shares | | | 10,715,967 | | | | 16,802,846 | |
| Institutional Select Shares | | | 15,905,665 | | | | 22,089,206 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 37,696,047 | | | | 49,611,941 | |
| Total Increase (Decrease) | | | 9,272,743 | | | | 108,868,601 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 391,434,606 | | | | 282,566,005 | |
| End of Period | | | 400,707,349 | | | | 391,434,606 | |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $246.82 | | | | $206.57 | | | | $188.48 | | | | $189.89 | | | | $170.36 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 4.896 | 1 | | | 4.221 | 1 | | | 3.997 | | | | 3.775 | | | | 3.326 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (15.776 | ) | | | 40.205 | | | | 18.069 | | | | (1.438 | ) | | | 19.507 | |
| Total from Investment Operations | | | (10.880 | ) | | | 44.426 | | | | 22.066 | | | | 2.337 | | | | 22.833 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (4.500 | ) | | | (4.176 | ) | | | (3.976 | ) | | | (3.747 | ) | | | (3.303 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (4.500 | ) | | | (4.176 | ) | | | (3.976 | ) | | | (3.747 | ) | | | (3.303 | ) |
| Net Asset Value, End of Period | | | $231.44 | | | | $246.82 | | | | $206.57 | | | | $188.48 | | | | $189.89 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -4.52% | | | | 21.67% | | | | 11.82% | | | | 1.25% | | | | 13.51% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $23,162 | | | | $27,656 | | | | $26,652 | | | | $26,092 | | | | $28,040 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.14% | | | | 0.14% | | | | 0.14% | | | | 0.16% | | | | 0.17% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.95% | | | | 1.87% | | | | 2.05% | | | | 2.00% | | | | 1.88% | |
| Portfolio Turnover Rate3 | | | 4% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $244.94 | | | | $205.00 | | | | $187.05 | | | | $188.45 | | | | $169.07 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 5.196 | 1 | | | 4.434 | 1 | | | 4.155 | | | | 3.958 | | | | 3.518 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (15.719 | ) | | | 39.874 | | | | 17.933 | | | | (1.427 | ) | | | 19.352 | |
| Total from Investment Operations | | | (10.523 | ) | | | 44.308 | | | | 22.088 | | | | 2.531 | | | | 22.870 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (4.737 | ) | | | (4.368 | ) | | | (4.138 | ) | | | (3.931 | ) | | | (3.490 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (4.737 | ) | | | (4.368 | ) | | | (4.138 | ) | | | (3.931 | ) | | | (3.490 | ) |
| Net Asset Value, End of Period | | | $229.68 | | | | $244.94 | | | | $205.00 | | | | $187.05 | | | | $188.45 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -4.42% | | | | 21.78% | | | | 11.93% | | | | 1.35% | | | | 13.63% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $90,639 | | | | $83,640 | | | | $56,648 | | | | $40,440 | | | | $27,630 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.03% | | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.05% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.06% | | | | 1.97% | | | | 2.15% | | | | 2.11% | | | | 2.00% | |
| Portfolio Turnover Rate2 | | | 4% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 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.
500 Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $246.82 | | | | $206.57 | | | | $188.48 | | | | $189.89 | | | | $170.36 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 5.181 | 1 | | | 4.458 | 1 | | | 4.185 | | | | 3.990 | | | | 3.544 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (15.808 | ) | | | 40.193 | | | | 18.074 | | | | (1.439 | ) | | | 19.503 | |
| Total from Investment Operations | | | (10.627 | ) | | | 44.651 | | | | 22.259 | | | | 2.551 | | | | 23.047 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (4.753 | ) | | | (4.401 | ) | | | (4.169 | ) | | | (3.961 | ) | | | (3.517 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (4.753 | ) | | | (4.401 | ) | | | (4.169 | ) | | | (3.961 | ) | | | (3.517 | ) |
| Net Asset Value, End of Period | | | $231.44 | | | | $246.82 | | | | $206.57 | | | | $188.48 | | | | $189.89 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -4.43% | | | | 21.79% | | | | 11.93% | | | | 1.36% | | | | 13.64% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $230,375 | | | | $235,232 | | | | $181,513 | | | | $152,740 | | | | $143,043 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.05% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.05% | | | | 1.97% | | | | 2.15% | | | | 2.11% | | | | 2.00% | |
| Portfolio Turnover Rate3 | | | 4% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Financial Highlights
Institutional Select Shares
| | | | | | | | | June 24, | |
| | | Year Ended | | | 20161to | |
| | | Dec. 31, | | | Dec. 31, | |
| For a Share Outstanding Throughout Each Period | | 2018 | | | 2017 | | | 2016 | |
| Net Asset Value, Beginning of Period | | | $130.79 | | | | $109.45 | | | | $99.57 | |
| Investment Operations | | | | | | | | | | | | |
| Net Investment Income | | | 2.808 | 2 | | | 2.423 | 2 | | | 1.200 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (8.400 | ) | | | 21.283 | | | | 9.859 | |
| Total from Investment Operations | | | (5.592 | ) | | | 23.706 | | | | 11.059 | |
| Distributions | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.558 | ) | | | (2.366 | ) | | | (1.179 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.558 | ) | | | (2.366 | ) | | | (1.179 | ) |
| Net Asset Value, End of Period | | | $122.64 | | | | $130.79 | | | | $109.45 | |
| | | | | | | | | | | | | |
| Total Return | | | -4.40% | | | | 21.83% | | | | 11.12% | |
| | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $56,531 | | | | $44,907 | | | | $17,753 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.01% | | | | 0.01% | | | | 0.01%3 | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.08% | | | | 2.00% | | | | 2.26%3 | |
| Portfolio Turnover Rate4 | | | 4% | | | | 3% | | | | 4%5 | |
| 2 | Calculated based on average shares outstanding. |
| 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. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016. |
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Notes to Financial Statements
Vanguard 500 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 Select 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
500 Index Fund
During the year ended December 31, 2018, 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income
500 Index Fund
over the lives of the respective securities. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $23,100,000, representing 0.01% of the fund’s net assets and 9.24% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | ($000) | | | ($000) | | | ($000) | |
| Common Stocks | | | 398,664,480 | | | | — | | | | — | |
| Temporary Cash Investments | | | 2,131,989 | | | | 97,442 | | | | — | |
| Futures Contracts—Assets1 | | | 14,508 | | | | — | | | | — | |
| Total | | | 400,810,977 | | | | 97,442 | | | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
500 Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
| | | Amount | |
| | | ($000) | |
| Paid-in Capital | | | 14,063,188 | |
| Total Distributable Earnings (Loss) | | | (14,063,188 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000) | |
| Undistributed Ordinary Income | | | 660,893 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring)* | | | (996,573 | ) |
| Net Unrealized Gains (Losses) | | | 108,093,044 | |
* The fund used capital loss carryforwards of $164,889,000 to offset taxable capital gains realized during the year ended December 31, 2018, reducing the amount of capital gains that would otherwise be available to distribute to shareholders.
As of December 31, 2018, 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 | | | 292,800,867 | |
| Gross Unrealized Appreciation | | | 134,554,192 | |
| Gross Unrealized Depreciation | | | (26,461,148 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 108,093,044 | |
E. During the year ended December 31, 2018, the fund purchased $74,314,407,000 of investment securities and sold $36,727,631,000 of investment securities, other than temporary cash investments. Purchases and sales include $47,248,097,000 and $21,334,284,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
500 Index Fund
F. Capital share transactions for each class of shares were:
| | | | | | | | | Year Ended December 31, | |
| | | | | | 2018 | | | | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000) | | | (000) | | | ($000) | | | (000) | |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,739,073 | | | | 14,707 | | | | 4,064,839 | | | | 18,044 | |
| Issued in Lieu of Cash Distributions | | | 444,813 | | | | 1,788 | | | | 473,688 | | | | 2,063 | |
| Redeemed | | | (7,203,710 | ) | | | (28,466 | ) | | | (8,414,394 | ) | | | (37,077 | ) |
| Net Increase (Decrease)—Investor Shares | | | (3,019,824 | ) | | | (11,971 | ) | | | (3,875,867 | ) | | | (16,970 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 33,022,329 | | | | 130,065 | | | | 23,401,120 | | | | 104,080 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (18,928,090 | ) | | | (76,900 | ) | | | (8,805,364 | ) | | | (38,950 | ) |
| Net Increase (Decrease)—ETF Shares | | | 14,094,239 | | | | 53,165 | | | | 14,595,756 | | | | 65,130 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 40,632,052 | | | | 160,485 | | | | 38,394,575 | | | | 170,114 | |
| Issued in Lieu of Cash Distributions | | | 4,116,552 | | | | 16,541 | | | | 3,598,566 | | | | 15,616 | |
| Redeemed | | | (34,032,637 | ) | | | (134,667 | ) | | | (25,190,295 | ) | | | (111,384 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 10,715,967 | | | | 42,359 | | | | 16,802,846 | | | | 74,346 | |
| Institutional Select Shares | | | | | | | | | | | | | | | | |
| Issued | | | 19,415,700 | | | | 143,348 | | | | 22,971,601 | | | | 188,566 | |
| Issued in Lieu of Cash Distributions | | | 1,066,831 | | | | 8,093 | | | | 593,340 | | | | 4,807 | |
| Redeemed | | | (4,576,866 | ) | | | (33,838 | ) | | | (1,475,735 | ) | | | (12,216 | ) |
| Net Increase (Decrease)—Institutional Select Shares | | | 15,905,665 | | | | 117,603 | | | | 22,089,206 | | | | 181,157 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard 500 Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets of Vanguard 500 Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the “Fund”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statement of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard 500 Index Fund
This information for the fiscal year ended December 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $8,007,583,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 94.5% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in theStatement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
| 1 | Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds. |
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Joseph Brennan | Chris D. McIsaac |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
| | |
| | |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
The index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard product(s) are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| | © 2019 The Vanguard Group, Inc. All rights reserved. U.S. Patent Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. Vanguard Marketing Corporation, Distributor. Q400 022019 |
Annual Report| December 31, 2018
Vanguard U.S. Stock Index Funds
Small-Capitalization Portfolios
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund
Vanguard Small-Cap Value Index Fund
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| A Note From Our CEO | 1 |
| | |
| Your Fund’s Performance at a Glance | 2 |
| | |
| About Your Fund’s Expenses | 3 |
| | |
| Small-Cap Index Fund | 6 |
| | |
| Small-Cap Growth Index Fund | 27 |
| | |
| Small-Cap Value Index Fund | 47 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 17, 2019
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2018, returns for Vanguard’s three small-capitalization U.S. stock index funds ranged from about –6% for Vanguard Small-Cap Growth Index Fund to about –12% for Vanguard Small-Cap Value Index Fund. Vanguard Small-Cap Index Fund, which contains both growth and value stocks, returned about –9%. Each fund closely tracked its target index.
· Growth stocks held up notably better than value stocks, while large-capitalization stocks led mid- and small-caps.
· Financial and industrial stocks detracted most from the Small-Cap Index and Value Index Funds’ results. Oil and gas stocks and financial stocks detracted most from the Growth Index Fund’s returns. Technology was the top-performing sector for the Small-Cap Index and Growth Index Funds, while utilities contributed most to the Value Index Fund.
· Please note that in November, Vanguard lowered the investment minimum for the funds’ Admiral Shares from $10,000 to $3,000.
Market Barometer
| | | Average Annual Total Returns
Periods Ended December 31, 2018 |
| | | One Year | | Three Years | | Five Years |
| Stocks | | | | | | | | | | | | |
| Russell 1000 Index (Large-caps) | | | -4.78 | % | | | 9.09 | % | | | 8.21 | % |
| Russell 2000 Index (Small-caps) | | | -11.01 | | | | 7.36 | | | | 4.41 | |
| Russell 3000 Index (Broad U.S. market) | | | -5.24 | | | | 8.97 | | | | 7.91 | |
| FTSE All-World ex US Index (International) | | | -14.13 | | | | 4.58 | | | | 1.05 | |
| | | | | | | | | | | | | |
| Bonds | | | | | | | | | | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | | | | | | | | | | |
| (Broad taxable market) | | | 0.01 | % | | | 2.06 | % | | | 2.52 | % |
| Bloomberg Barclays Municipal Bond Index | | | | | | | | | | | | |
| (Broad tax-exempt market) | | | 1.28 | | | | 2.30 | | | | 3.82 | |
| FTSE Three-Month U.S. Treasury Bill Index | | | 1.86 | | | | 0.98 | | | | 0.59 | |
| | | | | | | | | | | | | |
| CPI | | | | | | | | | | | | |
| Consumer Price Index | | | 1.91 | % | | | 2.03 | % | | | 1.51 | % |
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 compareongoing 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.
Six Months Ended December 31, 2018
| | | Beginning | | | Ending | | | Expenses | |
| | | Account Value | | | Account Value | | | Paid During | |
| | | 6/30/2018 | | | 12/31/2018 | | | Period | |
| Based on Actual Fund Return | | | | | | | | | |
| Small-Cap Index Fund | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $855.08 | | | | $0.79 | |
| ETF Shares | | | 1,000.00 | | | | 855.64 | | | | 0.23 | |
| Admiral™ Shares | | | 1,000.00 | | | | 855.66 | | | | 0.23 | |
| Institutional Shares | | | 1,000.00 | | | | 855.58 | | | | 0.19 | |
| Institutional Plus Shares | | | 1,000.00 | | | | 855.67 | | | | 0.14 | |
| Small-Cap Growth Index Fund | | | | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $860.11 | | | | $0.89 | |
| ETF Shares | | | 1,000.00 | | | | 860.61 | | | | 0.33 | |
| Admiral Shares | | | 1,000.00 | | | | 860.68 | | | | 0.33 | |
| Institutional Shares | | | 1,000.00 | | | | 860.49 | | | | 0.28 | |
| Small-Cap Value Index Fund | | | | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $850.91 | | | | $0.89 | |
| ETF Shares | | | 1,000.00 | | | | 851.45 | | | | 0.33 | |
| Admiral Shares | | | 1,000.00 | | | | 851.34 | | | | 0.33 | |
| Institutional Shares | | | 1,000.00 | | | | 851.21 | | | | 0.28 | |
Six Months Ended December 31, 2018
| | | Beginning | | | Ending | | | Expenses | |
| | | Account Value | | | Account Value | | | Paid During | |
| | | 6/30/2018 | | | 12/31/2018 | | | Period | |
| Based on Hypothetical 5% Yearly Return | | | | | | | | | | | | |
| Small-Cap Index Fund | | | | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $1,024.35 | | | | $0.87 | |
| ETF Shares | | | 1,000.00 | | | | 1,024.95 | | | | 0.26 | |
| Admiral Shares | | | 1,000.00 | | | | 1,024.95 | | | | 0.26 | |
| Institutional Shares | | | 1,000.00 | | | | 1,025.00 | | | | 0.20 | |
| Institutional Plus Shares | | | 1,000.00 | | | | 1,025.05 | | | | 0.15 | |
| Small-Cap Growth Index Fund | | | | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $1,024.25 | | | | $0.97 | |
| ETF Shares | | | 1,000.00 | | | | 1,024.85 | | | | 0.36 | |
| Admiral Shares | | | 1,000.00 | | | | 1,024.85 | | | | 0.36 | |
| Institutional Shares | | | 1,000.00 | | | | 1,024.90 | | | | 0.31 | |
| Small-Cap Value Index Fund | | | | | | | | | | | | |
| Investor Shares | | | $1,000.00 | | | | $1,024.25 | | | | $0.97 | |
| ETF Shares | | | 1,000.00 | | | | 1,024.85 | | | | 0.36 | |
| Admiral Shares | | | 1,000.00 | | | | 1,024.85 | | | | 0.36 | |
| Institutional Shares | | | 1,000.00 | | | | 1,024.90 | | | | 0.31 | |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Small-Cap Index Fund, 0.17% for Investor Shares, 0.05% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.03% for Institutional Plus Shares; for the Small-Cap Growth Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares; and for the Small-Cap Value Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, 0.07% for Admiral Shares, and 0.06% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).
Small-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | | Average Annual Total Returns | | |
| | | | Periods Ended December 31, 2018 | | |
| | | | | | | | | | Final Value |
| | | | One | | Five | | Ten | | of a $10,000 |
| | | | Year | | Years | | Years | | Investment |
 | Small-Cap Index Fund Investor Shares | | | -9.43 | % | | | 5.12 | % | | | 13.42 | % | | | $35,240 |
 | Spliced Small-Cap Index | | | -9.33 | | | | 5.24 | | | | 13.53 | | | | 35,580 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
Spliced Small-Cap Index: Russell 2000 Index through May 16, 2003; MSCI US Small Cap 1750 Index through January 30, 2013; CRSP US Small Cap Index thereafter.
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $10,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Index Fund | | | | | | | | | | | | | | | |
| ETF Shares Net Asset Value | | | -9.30 | % | | | 5.26 | % | | | 13.57 | % | | | $35,713 |
| Spliced Small-Cap Index | | | -9.33 | | | | 5.24 | | | | 13.53 | | | | 35,580 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Index Fund
| | | Average Annual Total Returns | | |
| | | Periods Ended December 31, 2018 | | |
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $10,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Index Fund Admiral Shares | | | -9.31 | % | | | 5.25 | % | | | 13.57 | % | | | $35,713 |
| Spliced Small-Cap Index | | | -9.33 | | | | 5.24 | | | | 13.53 | | | | 35,580 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $5,000,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Index Fund Institutional Shares | | | -9.32 | % | | | 5.26 | % | | | 13.60 | % | | | $17,892,408 |
| Spliced Small-Cap Index | | | -9.33 | | | | 5.24 | | | | 13.53 | | | | 17,789,871 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 17,312,429 |
| | | | | | | Since | | Final Value |
| | | One | | Five | | Inception | | of a $100,000,000 |
| | | Year | | Years | | (12/17/2010) | | Investment |
| Small-Cap Index Fund Institutional Plus Shares | | | -9.30 | % | | | 5.28 | % | | | 9.47 | % | | | $206,996,900 |
| Spliced Small-Cap Index | | | -9.33 | | | | 5.24 | | | | 9.42 | | | | 206,122,720 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 11.03 | | | | 231,848,690 |
“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | | One | | Five | | Ten |
| | | Year | | Years | | Years |
| Small-Cap Index Fund ETF Shares Market Price | | | -9.38 | % | | | 29.12 | % | | | 258.40 | % |
| Small-Cap Index Fund ETF Shares Net Asset Value | | | -9.30 | | | | 29.20 | | | | 257.13 | |
| Spliced Small-Cap Index | | | -9.33 | | | | 29.11 | | | | 255.80 | |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
Small-Cap Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | | | 3.8 | % |
| Consumer Goods | | | 6.7 | |
| Consumer Services | | | 12.5 | |
| Financials | | | 26.3 | |
| Health Care | | | 11.2 | |
| Industrials | | | 19.7 | |
| Oil & Gas | | | 3.5 | |
| Other | | | 0.0 | |
| Technology | | | 12.1 | |
| Telecommunications | | | 0.5 | |
| Utilities | | | 3.7 | |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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. |
Small-Cap Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
| | | | | | Market | | | Percentage | |
| | | | | | Value• | | | of Net | |
| | | Shares | | | ($000 | ) | | Assets | |
| Common Stocks | | | | | | | | | | | | |
| Basic Materials | | | | | | | | | | | | |
| | | RPM International Inc. | | | 3,417,008 | | | | 200,852 | | | | 0.3% | |
| | | Basic Materials—Other † | | | | | | | 2,743,440 | | | | 3.5% | |
| | | | | | | | | | 2,944,292 | | | | 3.8% | |
| Consumer Goods | | | | | | | | | | | | |
| * | | US Foods Holding Corp. | | | 5,594,238 | | | | 177,002 | | | | 0.2% | |
| | | Consumer Goods—Other † | | | | | | | 4,963,121 | | | | 6.4% | |
| | | | | | | | | | 5,140,123 | | | | 6.6% | |
| Consumer Services | | | | | | | | | | | | |
| * | | Burlington Stores Inc. | | | 1,735,309 | | | | 282,283 | | | | 0.4% | |
| | | Service Corp. International | | | 4,424,881 | | | | 178,146 | | | | 0.2% | |
| * | | Bright Horizons Family Solutions Inc. | | | 1,494,401 | | | | 166,551 | | | | 0.2% | |
| | | KAR Auction Services Inc. | | | 3,464,303 | | | | 165,317 | | | | 0.2% | |
| | | Foot Locker Inc. | | | 2,957,774 | | | | 157,354 | | | | 0.2% | |
| | | Consumer Services—Other † | | | | | | | 8,689,427 | | | | 11.2% | |
| | | | | | | | | | 9,639,078 | | | | 12.4% | |
| Financials | | | | | | | | | | | | |
| | | WP Carey Inc. | | | 4,147,085 | | | | 270,971 | | | | 0.3% | |
| | | Sun Communities Inc. | | | 2,112,094 | | | | 214,821 | | | | 0.3% | |
| | | Equity LifeStyle Properties Inc. | | | 2,079,514 | | | | 201,983 | | | | 0.3% | |
| | | National Retail Properties Inc. | | | 4,097,141 | | | | 198,752 | | | | 0.3% | |
| | | MarketAxess Holdings Inc. | | | 919,471 | | | | 194,293 | | | | 0.3% | |
| | | Omega Healthcare Investors Inc. | | | 5,166,731 | | | | 181,611 | | | | 0.2% | |
| | | Apartment Investment & Management Co. | | | 4,008,945 | | | | 175,912 | | | | 0.2% | |
| | | Gaming and Leisure Properties Inc. | | | 5,236,743 | | | | 169,199 | | | | 0.2% | |
| | | Brown & Brown Inc. | | | 6,110,079 | | | | 168,394 | | | | 0.2% | |
| | | Kilroy Realty Corp. | | | 2,593,976 | | | | 163,109 | | | | 0.2% | |
| | | East West Bancorp Inc. | | | 3,732,254 | | | | 162,465 | | | | 0.2% | |
| | | Liberty Property Trust | | | 3,805,606 | | | | 159,379 | | | | 0.2% | |
| | | Financials—Other † | | | | | | | 18,113,107 | | | | 23.2% | |
| | | | | | | | | | 20,373,996 | | | | 26.1% | |
Small-Cap Index Fund
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| Health Care | | | | | | | | | | | | |
| | | STERIS plc | | | 2,175,639 | | | | 232,467 | | | | 0.3% | |
| * | | Exact Sciences Corp. | | | 3,164,090 | | | | 199,654 | | | | 0.3% | |
| * | | Sarepta Therapeutics Inc. | | | 1,727,734 | | | | 188,548 | | | | 0.3% | |
| | | West Pharmaceutical Services Inc. | | | 1,907,306 | | | | 186,973 | | | | 0.2% | |
| * | | Molina Healthcare Inc. | | | 1,525,900 | | | | 177,340 | | | | 0.2% | |
| * | | Ionis Pharmaceuticals Inc. | | | 3,180,326 | | | | 171,928 | | | | 0.2% | |
| * | | Neurocrine Biosciences Inc. | | | 2,334,629 | | | | 166,716 | | | | 0.2% | |
| | | Health Care—Other † | | | | | | | 7,339,429 | | | | 9.4% | |
| | | | | | | | | | 8,663,055 | | | | 11.1% | |
| Industrials | | | | | | | | | | | | |
| | | IDEX Corp. | | | 1,974,958 | | | | 249,358 | | | | 0.3% | |
| | | PerkinElmer Inc. | | | 2,863,867 | | | | 224,957 | | | | 0.3% | |
| * | | Zebra Technologies Corp. | | | 1,385,293 | | | | 220,580 | | | | 0.3% | |
| | | Lennox International Inc. | | | 985,277 | | | | 215,638 | | | | 0.3% | |
| | | Spirit AeroSystems Holdings Inc. Class A | | | 2,741,999 | | | | 197,671 | | | | 0.3% | |
| | | Allegion plc | | | 2,447,328 | | | | 195,077 | | | | 0.2% | |
| * | | Teledyne Technologies Inc. | | | 882,468 | | | | 182,733 | | | | 0.2% | |
| | | Graco Inc. | | | 4,285,124 | | | | 179,332 | | | | 0.2% | |
| * | | HD Supply Holdings Inc. | | | 4,493,445 | | | | 168,594 | | | | 0.2% | |
| * | | Berry Global Group Inc. | | | 3,378,514 | | | | 160,581 | | | | 0.2% | |
| | | Booz Allen Hamilton Holding Corp. Class A | | | 3,481,584 | | | | 156,915 | | | | 0.2% | |
| | | Industrials—Other † | | | | | | | 13,061,763 | | | | 16.8% | |
| | | | | | | | | | 15,213,199 | | | | 19.5% | |
| | | | | | | | | | | | | | | |
| Oil & Gas † | | | | | | | 2,691,913 | | | | 3.5% | |
| | | | | | | | | | | | | | | |
| §,1Other † | | | | | | | 3,766 | | | | 0.0% | |
| | | | | | | | | | | | | | | |
| Technology | | | | | | | | | | | | |
| * | | PTC Inc. | | | 2,749,843 | | | | 227,962 | | | | 0.3% | |
| * | | Tableau Software Inc. Class A | | | 1,842,057 | | | | 221,047 | | | | 0.3% | |
| | | Leidos Holdings Inc. | | | 3,855,779 | | | | 203,277 | | | | 0.3% | |
| * | | Ultimate Software Group Inc. | | | 764,780 | | | | 187,272 | | | | 0.2% | |
| * | | ON Semiconductor Corp. | | | 10,837,107 | | | | 178,921 | | | | 0.2% | |
| * | | Tyler Technologies Inc. | | | 949,513 | | | | 176,438 | | | | 0.2% | |
| *,^ | | Twilio Inc. Class A | | | 1,936,853 | | | | 172,961 | | | | 0.2% | |
| * | | Guidewire Software Inc. | | | 2,081,266 | | | | 166,980 | | | | 0.2% | |
| * | | Integrated Device Technology Inc. | | | 3,321,390 | | | | 160,855 | | | | 0.2% | |
| * | | Paycom Software Inc. | | | 1,282,752 | | | | 157,073 | | | | 0.2% | |
| § | | Technology—Other † | | | | | | | 7,525,263 | | | | 9.7% | |
| | | | | | | | | | 9,378,049 | | | | 12.0% | |
| | | | | | | | | | | | | | | |
| Telecommunications † | | | | | | | 403,403 | | | | 0.5% | |
| | | | | | | | | | | | | | | |
| Utilities | | | | | | | | | | | | |
| | | NRG Energy Inc. | | | 7,092,100 | | | | 280,847 | | | | 0.4% | |
| | | Atmos Energy Corp. | | | 2,877,890 | | | | 266,838 | | | | 0.3% | |
| | | UGI Corp. | | | 4,488,985 | | | | 239,487 | | | | 0.3% | |
| | | Utilities—Other † | | | | | | | 2,086,855 | | | | 2.7% | |
| | | | | | | | | | 2,874,027 | | | | 3.7% | |
| Total Common Stocks (Cost $70,472,989) | | | | | | | 77,324,901 | | | | 99.2%2 | |
Small-Cap Index Fund
| | | | | | | | | Market | | | Percentage | |
| | | | | | | | | Value• | | | of Net | |
| | | Coupon | | | Shares | | | ($000 | ) | | Assets | |
| Temporary Cash Investments | | | | | | | | | | | | | | | | |
| Money Market Fund | | | | | | | | | | | | | | | | |
| 3,4 Vanguard Market Liquidity Fund | | | 2.530% | | | | 17,173,921 | | | | 1,717,392 | | | | 2.2% | |
| | | | | | | | | | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | | | | | | | 74,815 | | | | 0.1% | |
| Total Temporary Cash Investments (Cost $1,792,097) | | | | | | | | 1,792,207 | | | | 2.3%2 | |
| Total Investments (Cost $72,265,086) | | | | | | | | | | | 79,117,108 | | | | 101.5% | |
| | | Amount | | | | |
| | | ($000) | | | | |
| Other Assets and Liabilities | | | | | | | | |
| Other Assets | | | | | | | | |
| Investment in Vanguard | | | 4,571 | | | | | |
| Receivables for Investment Securities Sold | | | 168,443 | | | | | |
| Receivables for Accrued Income | | | 136,179 | | | | | |
| Receivables for Capital Shares Issued | | | 190,648 | | | | | |
| Variation Margin Receivable—Futures Contracts | | | 5,975 | | | | | |
| Other Assets6 | | | 13,187 | | | | | |
| Total Other Assets | | | 519,003 | | | | 0.7% | |
| Liabilities | | | | | | | | |
| Payables for Investment Securities Purchased | | | (333,503 | ) | | | | |
| Collateral for Securities on Loan | | | (1,062,476 | ) | | | | |
| Payables for Capital Shares Redeemed | | | (263,767 | ) | | | | |
| Payables to Vanguard | | | (26,397 | ) | | | | |
| Unrealized Depreciation—Swap Contracts | | | (2,506 | ) | | | | |
| Total Liabilities | | | (1,688,649 | ) | | | (2.2% | ) |
| Net Assets | | | 77,947,462 | | | | 100.0% | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000) | |
| Paid-in Capital | | | 72,234,857 | |
| Total Distributable Earnings (Loss) | | | 5,712,605 | |
| Net Assets | | | 77,947,462 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
Applicable to 52,714,277 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 3,332,031 | |
| Net Asset Value Per Share—Investor Shares | | | $63.21 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
Applicable to 158,508,751 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 20,914,209 | |
| Net Asset Value Per Share—ETF Shares | | | $131.94 | |
Small-Cap Index Fund
| | | Amount | |
| | | ($000 | ) |
| Admiral Shares—Net Assets | | | | |
Applicable to 496,340,144 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 31,381,943 | |
| Net Asset Value Per Share—Admiral Shares | | | $63.23 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
Applicable to 228,607,980 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 14,453,676 | |
| Net Asset Value Per Share—Institutional Shares | | | $63.22 | |
| | | | | |
| Institutional Plus Shares—Net Assets | | | | |
Applicable to 43,101,797 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 7,865,603 | |
| Net Asset Value Per Share—Institutional Plus Shares | | | $182.49 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $992,396,000. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets. |
| 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 | Includes $1,062,476,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $32,375,000 have been segregated as initial margin for open futures contracts. |
| 6 | Cash of $3,180,000 has been segregated as collateral for open over-the-counter swap contracts. |
Small-Cap Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | Value and | |
| | | | | Number of | | | | | | Unrealized | |
| | | | | Long (Short) | | | Notional | | | Appreciation | |
| | | Expiration | | Contracts | | | Amount | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | |
| E-mini Russell 2000 Index | | March 2019 | | | 4,850 | | | | 327,133 | | | | (14,423 | ) |
| E-mini S&P Mid-Cap 400 Index | | March 2019 | | | 1,755 | | | | 291,716 | | | | (12,925 | ) |
| | | | | | | | | | | | | | (27,348 | ) |
Total Return Swaps
| | | | | | | | | | Floating | | | Value and | |
| | | | | | | | | | Interest | | | Unrealized | |
| | | | | | | Notional | | | Rate | | | Appreciation | |
| | | Termination | | | | Amount | | | Received | | | (Depreciation | ) |
| Reference Entity | | Date | | Counterparty | | ($000) | | | (Paid) | 1 | | ($000 | ) |
| SLM Corp. | | 2/4/19 | | GSI | | | 34,255 | | | | (2.870%) | | | | (798 | ) |
| VICI Properties Inc. | | 2/4/19 | | GSI | | | 48,580 | | | | (3.270%) | | | | (1,708 | ) |
| | | | | | | | | | | | | | | | (2,506 | ) |
GSI—Goldman Sachs International.
1 Payment received/paid monthly.
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 1,291,616 | |
| Interest1 | | | 14,264 | |
| Securities Lending—Net | | | 34,385 | |
| Total Income | | | 1,340,265 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 5,204 | |
| Management and Administrative—Investor Shares | | | 6,008 | |
| Management and Administrative—ETF Shares | | | 8,101 | |
| Management and Administrative—Admiral Shares | | | 12,361 | |
| Management and Administrative—Institutional Shares | | | 4,789 | |
| Management and Administrative—Institutional Plus Shares | | | 2,028 | |
| Marketing and Distribution—Investor Shares | | | 658 | |
| Marketing and Distribution—ETF Shares | | | 1,097 | |
| Marketing and Distribution—Admiral Shares | | | 2,403 | |
| Marketing and Distribution—Institutional Shares | | | 378 | |
| Marketing and Distribution—Institutional Plus Shares | | | 89 | |
| Custodian Fees | | | 1,059 | |
| Auditing Fees | | | 43 | |
| Shareholders’ Reports—Investor Shares | | | 84 | |
| Shareholders’ Reports—ETF Shares | | | 662 | |
| Shareholders’ Reports—Admiral Shares | | | 411 | |
| Shareholders’ Reports—Institutional Shares | | | 200 | |
| Shareholders’ Reports—Institutional Plus Shares | | | 72 | |
| Trustees’ Fees and Expenses | | | 58 | |
| Total Expenses | | | 45,705 | |
| Net Investment Income | | | 1,294,560 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 6,118,540 | |
| Futures Contracts | | | (61,713 | ) |
| Swap Contracts | | | (16,271 | ) |
| Realized Net Gain (Loss) | | | 6,040,556 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (15,387,185 | ) |
| Futures Contracts | | | (30,035 | ) |
| Swap Contracts | | | (2,145 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (15,419,365 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (8,084,249 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $13,422,000, ($218,000), and $22,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $5,931,294,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,294,560 | | | | 1,136,430 | |
| Realized Net Gain (Loss) | | | 6,040,556 | | | | 4,116,255 | |
| Change in Unrealized Appreciation (Depreciation) | | | (15,419,365 | ) | | | 6,445,844 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (8,084,249 | ) | | | 11,698,529 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (53,605 | ) | | | (57,529 | ) |
| ETF Shares | | | (338,290 | ) | | | (280,715 | ) |
| Admiral Shares | | | (513,969 | ) | | | (451,429 | ) |
| Institutional Shares | | | (239,319 | ) | | | (208,650 | ) |
| Institutional Plus Shares | | | (138,982 | ) | | | (129,060 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Institutional Plus Shares | | | — | | | | — | |
| Total Distributions | | | (1,284,165 | ) | | | (1,127,383 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (629,069 | ) | | | (653,015 | ) |
| ETF Shares | | | 1,850,347 | | | | 2,848,082 | |
| Admiral Shares | | | 1,357,792 | | | | 1,795,522 | |
| Institutional Shares | | | 895,441 | | | | 370,934 | |
| Institutional Plus Shares | | | (793,473 | ) | | | 260,540 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 2,681,038 | | | | 4,622,063 | |
| Total Increase (Decrease) | | | (6,687,376 | ) | | | 15,193,209 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 84,634,838 | | | | 69,441,629 | |
| End of Period | | | 77,947,462 | | | | 84,634,838 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $70.76 | $61.75 | $53.03 | $55.86 | $52.69 |
| Investment Operations | | | | | |
| Net Investment Income | .9671 | .8761 | .843 | .727 | .730 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (7.552) | 9.011 | 8.734 | (2.840) | 3.148 |
| Total from Investment Operations | (6.585) | 9.887 | 9.577 | (2.113) | 3.878 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.965) | (.877) | (.857) | (.717) | (.708) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.965) | (.877) | (.857) | (.717) | (.708) |
| Net Asset Value, End of Period | $63.21 | $70.76 | $61.75 | $53.03 | $55.86 |
| | | | | | |
| Total Return2 | -9.43% | 16.10% | 18.17% | -3.78% | 7.37% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $3,332 | $4,345 | $4,401 | $4,058 | $4,606 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.18% | 0.20% | 0.23% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.34% | 1.36% | 1.55% | 1.33% | 1.40% |
| Portfolio Turnover Rate3 | 15% | 15% | 14% | 11% | 10% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $147.71 | $128.90 | $110.71 | $116.61 | $110.02 |
| Investment Operations | | | | | |
| Net Investment Income | 2.2391 | 2.0371 | 1.899 | 1.668 | 1.707 |
Net Realized and Unrealized Gain (Loss)
on Investments | (15.808) | 18.768 | 18.221 | (5.931) | 6.556 |
| Total from Investment Operations | (13.569) | 20.805 | 20.120 | (4.263) | 8.263 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.201) | (1.995) | (1.930) | (1.637) | (1.673) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.201) | (1.995) | (1.930) | (1.637) | (1.673) |
| Net Asset Value, End of Period | $131.94 | $147.71 | $128.90 | $110.71 | $116.61 |
| | | | | | |
| Total Return | -9.30% | 16.24% | 18.31% | -3.65% | 7.51% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $20,914 | $21,605 | $16,153 | $11,478 | $9,833 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.06% | 0.08% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.46% | 1.48% | 1.67% | 1.45% | 1.54% |
| Portfolio Turnover Rate2 | 15% | 15% | 14% | 11% | 10% |
| 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.
Small-Cap Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $70.78 | $61.77 | $53.05 | $55.87 | $52.72 |
| Investment Operations | | | | | |
| Net Investment Income | 1.0671 | .9701 | .910 | .797 | .817 |
Net Realized and Unrealized Gain (Loss)
on Investments | (7.563) | 8.997 | 8.733 | (2.833) | 3.133 |
| Total from Investment Operations | (6.496) | 9.967 | 9.643 | (2.036) | 3.950 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.054) | (.957) | (.923) | (.784) | (.800) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.054) | (.957) | (.923) | (.784) | (.800) |
| Net Asset Value, End of Period | $63.23 | $70.78 | $61.77 | $53.05 | $55.87 |
| | | | | | |
| Total Return2 | -9.31% | 16.24% | 18.30% | -3.64% | 7.50% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $31,382 | $33,801 | $27,778 | $21,441 | $20,034 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.06% | 0.08% | 0.09% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.46% | 1.48% | 1.67% | 1.45% | 1.54% |
| Portfolio Turnover Rate3 | 15% | 15% | 14% | 11% | 10% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $70.78 | $61.77 | $53.05 | $55.87 | $52.71 |
| Investment Operations | | | | | |
| Net Investment Income | 1.0761 | .9751 | .915 | .803 | .821 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (7.575) | 8.998 | 8.734 | (2.834) | 3.144 |
| Total from Investment Operations | (6.499) | 9.973 | 9.649 | (2.031) | 3.965 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.061) | (.963) | (.929) | (.789) | (.805) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.061) | (.963) | (.929) | (.789) | (.805) |
| Net Asset Value, End of Period | $63.22 | $70.78 | $61.77 | $53.05 | $55.87 |
| | | | | | |
| Total Return | -9.32% | 16.25% | 18.32% | -3.63% | 7.53% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $14,454 | $15,352 | $13,030 | $10,036 | $9,975 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.07% | 0.08% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.47% | 1.49% | 1.68% | 1.46% | 1.55% |
| Portfolio Turnover Rate2 | 15% | 15% | 14% | 11% | 10% |
| 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.
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $204.30 | $178.28 | $153.11 | $161.27 | $152.16 |
| Investment Operations | | | | | |
| Net Investment Income | 3.1021 | 2.8351 | 2.660 | 2.353 | 2.405 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (21.825) | 25.980 | 25.213 | (8.203) | 9.062 |
| Total from Investment Operations | (18.723) | 28.815 | 27.873 | (5.850) | 11.467 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.087) | (2.795) | (2.703) | (2.310) | (2.357) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.087) | (2.795) | (2.703) | (2.310) | (2.357) |
| Net Asset Value, End of Period | $182.49 | $204.30 | $178.28 | $153.11 | $161.27 |
| | | | | | |
| Total Return | -9.30% | 16.27% | 18.33% | -3.62% | 7.55% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $7,866 | $9,531 | $8,080 | $6,925 | $6,024 |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.04% | 0.05% | 0.06% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.48% | 1.50% | 1.69% | 1.48% | 1.57% |
| Portfolio Turnover Rate2 | 15% | 15% | 14% | 11% | 10% |
| 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.
Small-Cap Index Fund
Notes to Financial Statements
Vanguard Small-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Small-Cap Index Fund
During the year ended December 31, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. 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 Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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 Statement of Net Assets. 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.
During the year ended December 31, 2018, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Small-Cap Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Small-Cap Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $4,571,000, representing 0.01% of the fund’s net assets and 1.83% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | ($000 | ) | | ($000 | ) | | ($000 | ) |
| Common Stocks | | | 77,321,135 | | | | — | | | | 3,766 | |
| Temporary Cash Investments | | | 1,717,392 | | | | 74,815 | | | | — | |
| Futures Contracts—Assets1 | | | 5,975 | | | | — | | | | — | |
| Swap Contracts—Liabilities | | | — | | | | (2,506 | ) | | | — | |
| Total | | | 79,044,502 | | | | 72,309 | | | | 3,766 | |
1 Represents variation margin on the last day of the reporting period.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period
Small-Cap Index Fund
end, permanent differences primarily attributable to the accounting for in-kind redemptions, the expiration of capital loss carryforwards, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 5,327,097 | |
| Total Distributable Earnings (Loss) | | | (5,327,097 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts, swap agreements, and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000 | ) |
| Undistributed Ordinary Income | | | 18,123 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring)* | | | (1,114,310 | ) |
| Net Unrealized Gains (Losses) | | | 6,847,729 | |
| * | The fund used capital loss carryforwards of $52,083,000 to offset taxable capital gains realized during the year ended December 31, 2018, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. |
As of December 31, 2018, 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 | | | 72,269,379 | |
| Gross Unrealized Appreciation | | | 16,376,020 | |
| Gross Unrealized Depreciation | | | (9,528,291 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 6,847,729 | |
E. During the year ended December 31, 2018, the fund purchased $27,138,158,000 of investment securities and sold $24,357,534,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,198,655,000 and $11,453,341,000, 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 year ended December 31, 2018, such purchases and sales were $2,239,765,000 and $2,560,703,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Small-Cap Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 587,503 | | | | 8,034 | | | | 691,920 | | | | 10,613 | |
| Issued in Lieu of Cash Distributions | | | 50,656 | | | | 725 | | | | 54,687 | | | | 821 | |
| Redeemed | | | (1,267,228 | ) | | | (17,455 | ) | | | (1,399,622 | ) | | | (21,293 | ) |
| Net Increase (Decrease)—Investor Shares | | | (629,069 | ) | | | (8,696 | ) | | | (653,015 | ) | | | (9,859 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 13,439,385 | | | | 86,521 | | | | 9,320,075 | | | | 67,574 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (11,589,038 | ) | | | (74,275 | ) | | | (6,471,993 | ) | | | (46,625 | ) |
| Net Increase (Decrease)—ETF Shares | | | 1,850,347 | | | | 12,246 | | | | 2,848,082 | | | | 20,949 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 7,056,077 | | | | 97,331 | | | | 6,792,440 | | | | 103,995 | |
| Issued in Lieu of Cash Distributions | | | 460,730 | | | | 6,590 | | | | 406,244 | | | | 6,084 | |
| Redeemed | | | (6,159,015 | ) | | | (85,107 | ) | | | (5,403,162 | ) | | | (82,274 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 1,357,792 | | | | 18,814 | | | | 1,795,522 | | | | 27,805 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,820,210 | | | | 52,425 | | | | 3,318,653 | | | | 50,778 | |
| Issued in Lieu of Cash Distributions | | | 227,800 | | | | 3,259 | | | | 199,657 | | | | 2,992 | |
| Redeemed | | | (3,152,569 | ) | | | (43,975 | ) | | | (3,147,376 | ) | | | (47,830 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 895,441 | | | | 11,709 | | | | 370,934 | | | | 5,940 | |
| Institutional Plus Shares | | | | | | | | | | | | | | | | |
| Issued | | | 1,060,207 | | | | 5,115 | | | | 1,569,273 | | | | 8,268 | |
| Issued in Lieu of Cash Distributions | | | 138,407 | | | | 682 | | | | 126,704 | | | | 658 | |
| Redeemed | | | (1,992,087 | ) | | | (9,346 | ) | | | (1,435,437 | ) | | | (7,598 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | | (793,473 | ) | | | (3,549 | ) | | | 260,540 | | | | 1,328 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Small-Cap Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | | Average Annual Total Returns | | |
| | | | Periods Ended December 31, 2018 | | |
| | | | | | | | | | Final Value |
| | | | One | | Five | | Ten | | of a $10,000 |
| | | | Year | | Years | | Years | | Investment |
| Small-Cap Growth Index Fund Investor Shares | | | -5.80 | % | | | 5.11 | % | | | 14.27 | % | | | $37,967 |
| Spliced Small-Cap Growth Index | | | -5.68 | | | | 5.19 | | | | 14.33 | | | | 38,167 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
Spliced Small-Cap Growth Index: S&P SmallCap 600 Growth Index (formerly known as the S&P SmallCap 600/Barra Growth Index) through May 16, 2003; MSCI US Small Cap Growth Index through April 16, 2013; CRSP US Small Cap Growth Index thereafter.
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $10,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Growth Index Fund ETF Shares Net Asset Value | | | -5.68 | % | | | 5.25 | % | | | 14.42 | % | | | $38,467 |
| Spliced Small-Cap Growth Index | | | -5.68 | | | | 5.19 | | | | 14.33 | | | | 38,167 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Growth Index Fund
| | | Average Annual Total Returns | | |
| | | Periods Ended December 31, 2018 | | |
| | | | | | | Since | | Final Value |
| | | One | | Five | | Inception | | of a $10,000 |
| | | Year | | Years | | (9/27/2011 | ) | Investment |
| Small-Cap Growth Index Fund Admiral Shares | | | -5.68 | % | | | 5.24 | % | | | 11.93 | % | | | $22,671 |
| Spliced Small-Cap Growth Index | | | -5.68 | | | | 5.19 | | | | 11.85 | | | | 22,545 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.07 | | | | 24,403 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $5,000,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Growth Index Fund Institutional Shares | | | -5.69 | % | | | 5.25 | % | | | 14.45 | % | | | $19,275,636 |
| Spliced Small-Cap Growth Index | | | -5.68 | | | | 5.19 | | | | 14.33 | | | | 19,083,624 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 17,312,429 |
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | | One | | Five | | Ten |
| | | Year | | Years | | Years |
| Small-Cap Growth Index Fund ETF Shares Market Price | | | -5.78 | % | | | 29.03 | % | | | 285.51 | % |
| Small-Cap Growth Index Fund ETF Shares Net Asset Value | | | -5.68 | | | | 29.13 | | | | 284.67 | |
| Spliced Small-Cap Growth Index | | | -5.68 | | | | 28.81 | | | | 281.67 | |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
Small-Cap Growth Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | | | 1.8 | % |
| Consumer Goods | | | 5.9 | |
| Consumer Services | | | 13.2 | |
| Financials | | | 17.3 | |
| Health Care | | | 19.2 | |
| Industrials | | | 19.3 | |
| Oil & Gas | | | 3.5 | |
| Other | | | 0.0 | |
| Technology | | | 18.6 | |
| Telecommunications | | | 0.3 | |
| Utilities | | | 0.9 | |
| The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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. |
Small-Cap Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| Common Stocks | | | | | | | | | | | | |
| Basic Materials | | | | | | | | | | | | |
| | | Royal Gold Inc. | | | 951,473 | | | | 81,494 | | | | 0.4% | |
| | | Basic Materials—Other † | | | | | | | 272,132 | | | | 1.4% | |
| | | | | | | | | | 353,626 | | | | 1.8% | |
| Consumer Goods | | | | | | | | | | | | |
| * | | Middleby Corp. | | | 811,113 | | | | 83,326 | | | | 0.4% | |
| | | Pool Corp. | | | 555,563 | | | | 82,584 | | | | 0.4% | |
| * | | Post Holdings Inc. | | | 918,596 | | | | 81,874 | | | | 0.4% | |
| | | Consumer Goods—Other † | | | | | | | 944,092 | | | | 4.7% | |
| | | | | | | | | | 1,191,876 | | | | 5.9% | |
| Consumer Services | | | | | | | | | | | | |
| * | | Burlington Stores Inc. | | | 979,054 | | | | 159,263 | | | | 0.8% | |
| * | | Bright Horizons Family Solutions Inc | | | 843,391 | | | | 93,996 | | | | 0.5% | |
| * | | Liberty Media Corp-Liberty Formula One | | | 2,798,393 | | | | 85,911 | | | | 0.4% | |
| * | | Five Below Inc. | | | 809,388 | | | | 82,817 | | | | 0.4% | |
| * | | Etsy Inc. | | | 1,661,926 | | | | 79,058 | | | | 0.4% | |
| | | Consumer Services—Other † | | | | | | | 2,150,208 | | | | 10.6% | |
| | | | | | | | | | 2,651,253 | | | | 13.1% | |
| Financials | | | | | | | | | | | | |
| | | Sun Communities Inc. | | | 1,191,551 | | | | 121,193 | | | | 0.6% | |
| | | Equity LifeStyle Properties Inc. | | | 1,173,126 | | | | 113,946 | | | | 0.6% | |
| | | MarketAxess Holdings Inc. | | | 518,698 | | | | 109,606 | | | | 0.5% | |
| | | VICI Properties Inc. | | | 5,301,957 | | | | 99,571 | | | | 0.5% | |
| | | Kilroy Realty Corp. | | | 1,463,407 | | | | 92,019 | | | | 0.5% | |
| | | Lamar Advertising Co. Class A | | | 1,235,795 | | | | 85,492 | | | | 0.4% | |
| | | Medical Properties Trust Inc. | | | 5,300,350 | | | | 85,230 | | | | 0.4% | |
| | | American Campus Communities Inc. | | | 1,990,292 | | | | 82,378 | | | | 0.4% | |
| | | CyrusOne Inc. | | | 1,537,136 | | | | 81,284 | | | | 0.4% | |
| | | Douglas Emmett Inc. | | | 2,344,895 | | | | 80,031 | | | | 0.4% | |
| | | Financials—Other † | | | | | | | 2,532,253 | | | | 12.6% | |
| | | | | | | | | | 3,483,003 | | | | 17.3% | |
Small-Cap Growth Index Fund
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| Health Care | | | | | | | | | | | | |
| * | | Exact Sciences Corp. | | | 1,785,007 | | | | 112,634 | | | | 0.6% | |
| * | | Sarepta Therapeutics Inc. | | | 974,682 | | | | 106,367 | | | | 0.5% | |
| | | West Pharmaceutical Services Inc. | | | 1,075,938 | | | | 105,474 | | | | 0.5% | |
| * | | Ionis Pharmaceuticals Inc. | | | 1,798,282 | | | | 97,215 | | | | 0.5% | |
| * | | Neurocrine Biosciences Inc. | | | 1,317,060 | | | | 94,051 | | | | 0.5% | |
| * | | Exelixis Inc. | | | 4,342,442 | | | | 85,416 | | | | 0.4% | |
| | | Bio-Techne Corp. | | | 548,511 | | | | 79,380 | | | | 0.4% | |
| | | Health Care—Other † | | | | | | | 3,194,806 | | | | 15.8% | |
| | | | | | | | | | 3,875,343 | | | | 19.2% | |
| Industrials | | | | | | | | | | | | |
| * | | Zebra Technologies Corp. | | | 781,459 | | | | 124,432 | | | | 0.6% | |
| | | Lennox International Inc. | | | 555,818 | | | | 121,646 | | | | 0.6% | |
| * | | Teledyne Technologies Inc. | | | 497,819 | | | | 103,083 | | | | 0.5% | |
| | | Graco Inc. | | | 2,417,337 | | | | 101,166 | | | | 0.5% | |
| * | | HD Supply Holdings Inc. | | | 2,534,876 | | | | 95,109 | | | | 0.5% | |
| * | | Berry Global Group Inc. | | | 1,905,535 | | | | 90,570 | | | | 0.5% | |
| * | | WEX Inc. | | | 626,037 | | | | 87,683 | | | | 0.4% | |
| | | Nordson Corp. | | | 717,935 | | | | 85,686 | | | | 0.4% | |
| | | National Instruments Corp. | | | 1,827,301 | | | | 82,923 | | | | 0.4% | |
| | | Toro Co. | | | 1,456,075 | | | | 81,365 | | | | 0.4% | |
| | | Industrials—Other † | | | | | | | 2,921,765 | | | | 14.5% | |
| | | | | | | | | | 3,895,428 | | | | 19.3% | |
| | | | | | | | | | | | | | | |
| Oil & Gas † | | | | | | | 713,418 | | | | 3.5% | |
| | | | | | | | | | | | | | | |
| §,1Other † | | | | | | | 137 | | | | 0.0% | |
| | | | | | | | | | | | | |
| Technology | | | | | | | | | | | | |
| * | | PTC Inc. | | | 1,551,275 | | | | 128,601 | | | | 0.6% | |
| * | | Tableau Software Inc. Class A | | | 1,039,186 | | | | 124,702 | | | | 0.6% | |
| * | | Ultimate Software Group Inc. | | | 431,450 | | | | 105,649 | | | | 0.5% | |
| * | | Tyler Technologies Inc. | | | 535,683 | | | | 99,541 | | | | 0.5% | |
| * | | Twilio Inc. Class A | | | 1,092,609 | | | | 97,570 | | | | 0.5% | |
| * | | Guidewire Software Inc. | | | 1,176,558 | | | | 94,395 | | | | 0.5% | |
| * | | Integrated Device Technology Inc. | | | 1,873,868 | | | | 90,751 | | | | 0.5% | |
| * | | Paycom Software Inc. | | | 723,616 | | | | 88,607 | | | | 0.5% | |
| * | | EPAM Systems Inc. | | | 745,220 | | | | 86,453 | | | | 0.4% | |
| * | | Zendesk Inc. | | | 1,476,926 | | | | 86,208 | | | | 0.4% | |
| * | | Okta Inc. | | | 1,339,170 | | | | 85,439 | | | | 0.4% | |
| * | | Aspen Technology Inc. | | | 1,027,886 | | | | 84,472 | | | | 0.4% | |
| * | | Nutanix Inc. | | | 1,945,841 | | | | 80,927 | | | | 0.4% | |
| | | Technology—Other † | | | | | | | 2,491,374 | | | | 12.4% | |
| | | | | | | | | | 3,744,689 | | | | 18.6% | |
| | | | | | | | | | | | | | | |
| Telecommunications † | | | | | | | 66,984 | | | | 0.3% | |
| | | | | | | | | | | | | |
| Utilities | | | | | | | | | | | | |
| | | NRG Energy Inc. | | | 1,996,809 | | | | 79,074 | | | | 0.4% | |
| | | Utilities—Other † | | | | | | | 95,888 | | | | 0.5% | |
| | | | | | | | | | 174,962 | | | | 0.9% | |
| Total Common Stocks (Cost $18,037,211) | | | | | | | 20,150,719 | | | | 99.9%2 | |
Small-Cap Growth Index Fund
| | | | | | | | | Market | | | Percentage | |
| | | | | | | | | Value• | | | of Net | |
| | | Coupon | | | Shares | | | ($000 | ) | | Assets | |
| Temporary Cash Investments | | | | | | | | | | | | | | | | |
| Money Market Fund | | | | | | | | | | | | | | | | |
| 3,4 Vanguard Market Liquidity Fund | | | 2.530% | | | | 3,103,237 | | | | 310,324 | | | | 1.6% | |
| | | | | | | | | | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | | | | | | | 2,974 | | | | 0.0% | |
| Total Temporary Cash Investments (Cost $313,273) | | | | | | | | | | | 313,298 | | | | 1.6%2 | |
| 6Total Investments (Cost $18,350,484) | | | | | | | | | | | 20,464,017 | | | | 101.5% | |
| | | Amount | | | | |
| | | ($000 | ) | | | |
| Other Assets and Liabilities | | | | | | | | |
| Other Assets | | | | | | | | |
| Investment in Vanguard | | | 1,187 | | | | | |
| Receivables for Investment Securities Sold | | | 22,207 | | | | | |
| Receivables for Accrued Income | | | 22,139 | | | | | |
| Receivables for Capital Shares Issued | | | 19,494 | | | | | |
| Variation Margin Receivable—Futures Contracts | | | 150 | | | | | |
| Other Assets7 | | | 3,208 | | | | | |
| Total Other Assets | | | 68,385 | | | | 0.3% | |
| Liabilities | | | | | | | | |
| Payables for Investment Securities Purchased | | | (218 | ) | | | | |
| Collateral for Securities on Loan | | | (298,687 | ) | | | | |
| Payables for Capital Shares Redeemed | | | (60,454 | ) | | | | |
| Payables to Vanguard | | | (7,916 | ) | | | | |
| Unrealized Depreciation—Swap Contracts | | | (347 | ) | | | | |
| Other Liabilities | | | (195 | ) | | | | |
| Total Liabilities | | | (367,817 | ) | | | (1.8% | ) |
| Net Assets | | | 20,164,585 | | | | 100.0% | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 19,340,969 | |
| Total Distributable Earnings (Loss) | | | 823,616 | |
| Net Assets | | | 20,164,585 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
Applicable to 34,491,955 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 1,461,005 | |
| Net Asset Value Per Share—Investor Shares | | | $42.36 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
Applicable to 48,387,076 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 7,285,619 | |
| Net Asset Value Per Share—ETF Shares | | | $150.57 | |
Small-Cap Growth Index Fund
| | | Amount | |
| | | ($000 | ) |
| Admiral Shares—Net Assets | | | | |
Applicable to 161,677,186 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 8,560,309 | |
| Net Asset Value Per Share—Admiral Shares | | | $52.95 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
Applicable to 67,393,350 outstanding $.001 par value shares of
beneficial interest (unlimited authorization) | | | 2,857,652 | |
| Net Asset Value Per Share—Institutional Shares | | | $42.40 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets. |
| 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 | Includes $298,687,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $1,239,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $285,856,000. |
| 7 | Cash of $870,000 has been segregated as collateral for open over-the-counter swap contracts. |
Small-Cap Growth Index Fund
Derivative Financial Instruments Outstanding as of Period End
| Futures Contracts | | | | | | | | | | | |
| | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | Value and | |
| | | | | Number of | | | | | | Unrealized | |
| | | | | Long (Short | ) | | Notional | | | Appreciation | |
| | | Expiration | | Contracts | | | Amount | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | | | | |
| E-mini Russell 2000 Index | | March 2019 | | | 210 | | | | 14,165 | | | | 220 | |
| E-mini S&P Mid-Cap 400 Index | | March 2019 | | | 40 | | | | 6,649 | | | | (295 | ) |
| | | | | | | | | | | | | | (75 | ) |
| Total Return Swaps | | | | | | | | | | | | | |
| | | | | | | | | | Floating | | | Value and | |
| | | | | | | | | | Interest | | | Unrealized | |
| | | | | | | Notional | | | Rate | | | Appreciation | |
| | | Termination | | | | Amount | | | Received | | | (Depreciation | ) |
| Reference Entity | | Date | | Counterparty | | ($000 | ) | | (Paid | )1 | | ($000 | ) |
| VICI Properties Inc. | | 2/4/19 | | GSCM | | | 9,870 | | | | (3.270% | ) | | | (347 | ) |
GSCM—Goldman Sachs Capital Management.
1 Payment received/paid monthly.
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 164,844 | |
| Interest1 | | | 1,140 | |
| Securities Lending—Net | | | 10,213 | |
| Total Income | | | 176,197 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 3,168 | |
| Management and Administrative—Investor Shares | | | 2,804 | |
| Management and Administrative—ETF Shares | | | 3,617 | |
| Management and Administrative—Admiral Shares | | | 4,488 | |
| Management and Administrative—Institutional Shares | | | 1,424 | |
| Marketing and Distribution—Investor Shares | | | 281 | |
| Marketing and Distribution—ETF Shares | | | 377 | |
| Marketing and Distribution—Admiral Shares | | | 620 | |
| Marketing and Distribution—Institutional Shares | | | 82 | |
| Custodian Fees | | | 252 | |
| Auditing Fees | | | 42 | |
| Shareholders’ Reports—Investor Shares | | | 43 | |
| Shareholders’ Reports—ETF Shares | | | 403 | |
| Shareholders’ Reports—Admiral Shares | | | 113 | |
| Shareholders’ Reports—Institutional Shares | | | 71 | |
| Trustees’ Fees and Expenses | | | 16 | |
| Total Expenses | | | 17,801 | |
| Net Investment Income | | | 158,396 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 2,303,444 | |
| Futures Contracts | | | (6,400 | ) |
| Swap Contracts | | | (1,224 | ) |
| Realized Net Gain (Loss) | | | 2,295,820 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (3,710,699 | ) |
| Futures Contracts | | | (588 | ) |
| Swap Contracts | | | (347 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (3,711,634 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (1,257,418 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,014,000, ($35,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,400,478,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 158,396 | | | | 170,629 | |
| Realized Net Gain (Loss) | | | 2,295,820 | | | | 1,104,653 | |
| Change in Unrealized Appreciation (Depreciation) | | | (3,711,634 | ) | | | 2,519,238 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (1,257,418 | ) | | | 3,794,520 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (9,967 | ) | | | (13,772 | ) |
| ETF Shares | | | (56,509 | ) | | | (56,419 | ) |
| Admiral Shares | | | (66,784 | ) | | | (69,320 | ) |
| Institutional Shares | | | (23,981 | ) | | | (30,608 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Total Distributions | | | (157,241 | ) | | | (170,119 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (266,009 | ) | | | (378,549 | ) |
| ETF Shares | | | 846,790 | | | | 471,885 | |
| Admiral Shares | | | 470,431 | | | | 625,740 | |
| Institutional Shares | | | (687,407 | ) | | | 77,858 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 363,805 | | | | 796,934 | |
| Total Increase (Decrease) | | | (1,050,854 | ) | | | 4,421,335 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 21,215,439 | | | | 16,794,104 | |
| End of Period | | | 20,164,585 | | | | 21,215,439 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $45.24 | $37.43 | $34.18 | $35.40 | $34.37 |
| Investment Operations | | | | | |
| Net Investment Income | .2741 | .3151 | .355 | .292 | .303 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (2.879) | 7.814 | 3.257 | (1.225) | 1.029 |
| Total from Investment Operations | (2.605) | 8.129 | 3.612 | (.933) | 1.332 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.275) | (.319) | (.362) | (.287) | (.302) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.275) | (.319) | (.362) | (.287) | (.302) |
| Net Asset Value, End of Period | $42.36 | $45.24 | $37.43 | $34.18 | $35.40 |
| | | | | | |
| Total Return2 | -5.80% | 21.78% | 10.61% | -2.64% | 3.88% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,461 | $1,816 | $1,850 | $1,986 | $2,326 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.20% | 0.23% |
| Ratio of Net Investment Income to Average Net Assets | 0.58% | 0.78% | 1.03% | 0.82% | 0.87% |
| Portfolio Turnover Rate3 | 22% | 19% | 27% | 23% | 26% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $160.81 | $133.07 | $121.53 | $125.88 | $122.23 |
| Investment Operations | | | | | |
| Net Investment Income | 1.2141 | 1.3201 | 1.416 | 1.202 | 1.277 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (10.263) | 27.731 | 11.563 | (4.362) | 3.643 |
| Total from Investment Operations | (9.049) | 29.051 | 12.979 | (3.160) | 4.920 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.191) | (1.311) | (1.439) | (1.190) | (1.270) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.191) | (1.311) | (1.439) | (1.190) | (1.270) |
| Net Asset Value, End of Period | $150.57 | $160.81 | $133.07 | $121.53 | $125.88 |
| | | | | | |
| Total Return | -5.68% | 21.90% | 10.74% | -2.51% | 4.02% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $7,286 | $6,981 | $5,328 | $4,422 | $3,900 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 0.70% | 0.90% | 1.15% | 0.94% | 1.01% |
| Portfolio Turnover Rate2 | 22% | 19% | 27% | 23% | 26% |
| 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.
Small-Cap Growth Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $56.55 | $46.79 | $42.73 | $44.26 | $42.98 |
| Investment Operations | | | | | |
| Net Investment Income | .4231 | .4651 | .496 | .421 | .449 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (3.605) | 9.755 | 4.069 | (1.534) | 1.277 |
| Total from Investment Operations | (3.182) | 10.220 | 4.565 | (1.113) | 1.726 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.418) | (.460) | (.505) | (.417) | (.446) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.418) | (.460) | (.505) | (.417) | (.446) |
| Net Asset Value, End of Period | $52.95 | $56.55 | $46.79 | $42.73 | $44.26 |
| | | | | | |
| Total Return2 | -5.68% | 21.92% | 10.73% | -2.52% | 4.02% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $8,560 | $8,729 | $6,648 | $5,933 | $5,434 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 0.70% | 0.90% | 1.15% | 0.94% | 1.01% |
| Portfolio Turnover Rate3 | 22% | 19% | 27% | 23% | 26% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $45.29 | $37.47 | $34.22 | $35.45 | $34.42 |
| Investment Operations | | | | | |
| Net Investment Income | .3351 | .3751 | .401 | .341 | .362 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (2.886) | 7.818 | 3.257 | (1.234) | 1.028 |
| Total from Investment Operations | (2.551) | 8.193 | 3.658 | (.893) | 1.390 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.339) | (.373) | (.408) | (.337) | (.360) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.339) | (.373) | (.408) | (.337) | (.360) |
| Net Asset Value, End of Period | $42.40 | $45.29 | $37.47 | $34.22 | $35.45 |
| | | | | | |
| Total Return | -5.69% | 21.94% | 10.74% | -2.52% | 4.04% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $2,858 | $3,690 | $2,969 | $2,793 | $3,685 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 0.71% | 0.91% | 1.16% | 0.95% | 1.02% |
| Portfolio Turnover Rate2 | 22% | 19% | 27% | 23% | 26% |
| 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.
Small-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Small-Cap 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A.The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. 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 futures gains (losses).
Small-Cap Growth Index Fund
During the year ended December 31, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. 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 termination of the swap, at which time realized gain (loss) is recorded.
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 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 Statement of Net Assets. 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.
During the year ended December 31, 2018, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Small-Cap Growth Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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
Small-Cap Growth Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $1,187,000, representing 0.01% of the fund’s net assets and 0.47% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | ($000 | ) | | ($000 | ) | | ($000 | ) |
| Common Stocks | | | 20,150,582 | | | | — | | | | 137 | |
| Temporary Cash Investments | | | 310,324 | | | | 2,974 | | | | — | |
| Futures Contracts—Assets1 | | | 150 | | | | — | | | | — | |
| Swap Contracts—Liabilities | | | — | | | | (347 | ) | | | — | |
| Total | | | 20,461,056 | | | | 2,627 | | | | 137 | |
1 Represents variation margin on the last day of the reporting period.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period
Small-Cap Growth Index Fund
end, permanent differences primarily attributable to the accounting for in-kind redemptions, the expiration of capital loss carryforwards, and swap agreements were reclassified between the following accounts:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 2,139,360 | |
| Total Distributable Earnings (Loss) | | | (2,139,360 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales, the realization of unrealized gains or losses on certain futures contracts, swap agreements, and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000 | ) |
| Undistributed Ordinary Income | | | 1,029 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (1,282,222 | ) |
| Net Unrealized Gains (Losses) | | | 2,113,532 | |
At December 31, 2018, 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 | | | 18,350,485 | |
| Gross Unrealized Appreciation | | | 4,496,299 | |
| Gross Unrealized Depreciation | | | (2,382,767 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 2,113,532 | |
E. During the year ended December 31, 2018, the fund purchased $9,693,208,000 of investment securities and sold $9,248,760,000 of investment securities, other than temporary cash investments. Purchases and sales include $4,556,864,000 and $4,247,783,000, 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 year ended December 31, 2018, such purchases and sales were $1,056,093,000 and $1,955,712,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Small-Cap Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 326,985 | | | | 6,728 | | | | 313,705 | | | | 7,684 | |
| Issued in Lieu of Cash Distributions | | | 9,311 | | | | 203 | | | | 12,952 | | | | 308 | |
| Redeemed | | | (602,305 | ) | | | (12,592 | ) | | | (705,206 | ) | | | (17,256 | ) |
| Net Increase (Decrease)—Investor Shares | | | (266,009 | ) | | | (5,661 | ) | | | (378,549 | ) | | | (9,264 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 5,125,778 | | | | 29,178 | | | | 3,009,564 | | | | 20,447 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (4,278,988 | ) | | | (24,200 | ) | | | (2,537,679 | ) | | | (17,075 | ) |
| Net Increase (Decrease)—ETF Shares | | | 846,790 | | | | 4,978 | | | | 471,885 | | | | 3,372 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,387,365 | | | | 39,460 | | | | 1,842,542 | | | | 35,856 | |
| Issued in Lieu of Cash Distributions | | | 61,293 | | | | 1,064 | | | | 64,088 | | | | 1,215 | |
| Redeemed | | | (1,978,227 | ) | | | (33,209 | ) | | | (1,280,890 | ) | | | (24,789 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 470,431 | | | | 7,315 | | | | 625,740 | | | | 12,282 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 764,172 | | | | 15,779 | | | | 741,019 | | | | 17,987 | |
| Issued in Lieu of Cash Distributions | | | 22,675 | | | | 490 | | | | 29,031 | | | | 688 | |
| Redeemed | | | (1,474,254 | ) | | | (30,348 | ) | | | (692,192 | ) | | | (16,427 | ) |
| Net Increase (Decrease)—Institutional Shares | | | (687,407 | ) | | | (14,079 | ) | | | 77,858 | | | | 2,248 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Small-Cap Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | | Average Annual Total Returns | | |
| | | | Periods Ended December 31, 2018 | | |
| | | | | | | | | | Final Value |
| | | | One | | Five | | Ten | | of a $10,000 |
| | | | Year | | Years | | Years | | Investment |
| Small-Cap Value Index Fund Investor Shares | | | -12.34 | % | | | 5.10 | % | | | 12.45 | % | | | $32,343 |
| Spliced Small-Cap Value Index | | | -12.27 | | | | 5.26 | | | | 12.61 | | | | 32,783 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
Spliced Small-Cap Value Index: S&P SmallCap 600 Value Index (formerly known as the S&P SmallCap 600/Barra Value Index) through May 16, 2003; MSCI US Small Cap Value Index through April 16, 2013; CRSP US Small Cap Value Index thereafter.
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $10,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Value Index Fund ETF Shares Net Asset Value | | | -12.22 | % | | | 5.24 | % | | | 12.60 | % | | | $32,769 |
| Spliced Small-Cap Value Index | | | -12.27 | | | | 5.26 | | | | 12.61 | | | | 32,783 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Value Index Fund
| | | Average Annual Total Returns | | |
| | | Periods Ended December 31, 2018 | | |
| | | | | | | Since | | Final Value |
| | | One | | Five | | Inception | | of a $10,000 |
| | | Year | | Years | | (9/27/2011) | | Investment |
| Small-Cap Value Index Fund Admiral Shares | | | -12.23 | % | | | 5.23 | % | | | 12.18 | % | | | $23,039 |
| Spliced Small-Cap Value Index | | | -12.27 | | | | 5.26 | | | | 12.21 | | | | 23,086 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.07 | | | | 24,403 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
| | | | | | | | | Final Value |
| | | One | | Five | | Ten | | of a $5,000,000 |
| | | Year | | Years | | Years | | Investment |
| Small-Cap Value Index Fund Institutional Shares | | | -12.23 | % | | | 5.24 | % | | | 12.63 | % | | | $16,425,931 |
| Spliced Small-Cap Value Index | | | -12.27 | | | | 5.26 | | | | 12.61 | | | | 16,391,667 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 17,312,429 |
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | | One | | Five | | Ten |
| | | Year | | Years | | Years |
| Small-Cap Value Index Fund ETF Shares Market Price | | | -12.28 | % | | | 29.03 | % | | | 229.21 | % |
| Small-Cap Value Index Fund ETF Shares Net Asset Value | | | -12.22 | | | | 29.07 | | | | 227.69 | |
| Spliced Small-Cap Value Index | | | -12.27 | | | | 29.20 | | | | 227.83 | |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares’ market price was above or below the NAV.
Small-Cap Value Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | | | 5.6 | % |
| Consumer Goods | | | 7.3 | |
| Consumer Services | | | 11.9 | |
| Financials | | | 34.2 | |
| Health Care | | | 4.3 | |
| Industrials | | | 19.9 | |
| Oil & Gas | | | 3.4 | |
| Other | | | 0.0 | |
| Technology | | | 6.6 | |
| Telecommunications | | | 0.7 | |
| Utilities | | | 6.1 | |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Small-Cap Value Index Fund
Financial Statements
Statement of Net Assets — Investments Summary
As of December 31, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| Common Stocks | | | | | | | | | | | | |
| Basic Materials | | | | | | | | | | | | |
| | | RPM International Inc. | | | 2,152,204 | | | | 126,507 | | | | 0.5% | |
| | | Chemours Co. | | | 2,773,316 | | | | 78,263 | | | | 0.3% | |
| | | Basic Materials—Other † | | | | | | | 1,255,275 | | | | 4.7% | |
| | | | | | | | | | 1,460,045 | | | | 5.5% | |
| Consumer Goods | | | | | | | | | | | | |
| * | | US Foods Holding Corp. | | | 3,521,623 | | | | 111,424 | | | | 0.4% | |
| * | | Herbalife Nutrition Ltd. | | | 1,645,970 | | | | 97,030 | | | | 0.4% | |
| | | Consumer Goods—Other † | | | | | | | 1,699,261 | | | | 6.5% | |
| | | | | | | | | | 1,907,715 | | | | 7.3% | |
| Consumer Services | | | | | | | | | | | | |
| | | Service Corp. International | | | 2,785,564 | | | | 112,147 | | | | 0.4% | |
| | | KAR Auction Services Inc. | | | 2,180,279 | | | | 104,043 | | | | 0.4% | |
| | | Foot Locker Inc. | | | 1,862,371 | | | | 99,078 | | | | 0.4% | |
| | | Dun & Bradstreet Corp. | | | 602,508 | | | | 86,002 | | | | 0.3% | |
| | | H&R Block Inc. | | | 3,331,525 | | | | 84,521 | | | | 0.3% | |
| * | | JetBlue Airways Corp. | | | 4,942,101 | | | | 79,370 | | | | 0.3% | |
| | | Consumer Services—Other † | | | | | | | 2,546,443 | | | | 9.7% | |
| | | | | | | | | | 3,111,604 | | | | 11.8% | |
| Financials | | | | | | | | | | | | |
| | | WP Carey Inc. | | | 2,613,827 | | | | 170,787 | | | | 0.7% | |
| | | National Retail Properties Inc. | | | 2,582,676 | | | | 125,286 | | | | 0.5% | |
| | | Apartment Investment & Management Co. | | | 2,527,686 | | | | 110,915 | | | | 0.4% | |
| | | Gaming and Leisure Properties Inc. | | | 3,299,774 | | | | 106,616 | | | | 0.4% | |
| | | Brown & Brown Inc. | | | 3,854,827 | | | | 106,239 | | | | 0.4% | |
| | | East West Bancorp Inc. | | | 2,351,965 | | | | 102,381 | | | | 0.4% | |
| | | Liberty Property Trust | | | 2,397,534 | | | | 100,409 | | | | 0.4% | |
| | | American Financial Group Inc. | | | 1,086,869 | | | | 98,394 | | | | 0.4% | |
| | | Old Republic International Corp. | | | 4,663,752 | | | | 95,933 | | | | 0.4% | |
| | | Commerce Bancshares Inc. | | | 1,631,759 | | | | 91,982 | | | | 0.4% | |
| | | RenaissanceRe Holdings Ltd. | | | 652,978 | | | | 87,303 | | | | 0.3% | |
Small-Cap Value Index Fund
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| | | Park Hotels & Resorts Inc. | | | 3,262,558 | | | | 84,761 | | | | 0.3% | |
| | | New Residential Investment Corp. | | | 5,927,513 | | | | 84,230 | | | | 0.3% | |
| | | Starwood Property Trust Inc. | | | 4,245,099 | | | | 83,671 | | | | 0.3% | |
| | | Cullen/Frost Bankers Inc. | | | 934,325 | | | | 82,165 | | | | 0.3% | |
| | | Synovus Financial Corp. | | | 2,553,220 | | | | 81,677 | | | | 0.3% | |
| | | LPL Financial Holdings Inc. | | | 1,334,574 | | | | 81,516 | | | | 0.3% | |
| | | Hanover Insurance Group Inc. | | | 686,620 | | | | 80,177 | | | | 0.3% | |
| | | Financials—Other † | | | | | | | 7,188,223 | | | | 27.3% | |
| | | | | | | | | | 8,962,665 | | | | 34.1% | |
| Health Care | | | | | | | | | | | | |
| | | Hill-Rom Holdings Inc. | | | 1,090,684 | | | | 96,580 | | | | 0.4% | |
| | | Encompass Health Corp. | | | 1,523,563 | | | | 94,004 | | | | 0.4% | |
| * | | Charles River Laboratories International Inc. | | | 779,841 | | | | 88,262 | | | | 0.3% | |
| | | Health Care—Other † | | | | | | | 852,273 | | | | 3.2% | |
| | | | | | | | | | 1,131,119 | | | | 4.3% | |
| Industrials | | | | | | | | | | | | |
| | | IDEX Corp. | | | 1,243,013 | | | | 156,943 | | | | 0.6% | |
| | | PerkinElmer Inc. | | | 1,802,013 | | | | 141,548 | | | | 0.5% | |
| | | Spirit AeroSystems Holdings Inc. Class A | | | 1,726,145 | | | | 124,438 | | | | 0.5% | |
| | | Allegion plc | | | 1,541,747 | | | | 122,893 | | | | 0.5% | |
| | | Booz Allen Hamilton Holding Corp. Class A | | | 2,193,237 | | | | 98,849 | | | | 0.4% | |
| | | Carlisle Cos. Inc. | | | 964,559 | | | | 96,957 | | | | 0.4% | |
| | | AptarGroup Inc. | | | 1,018,318 | | | | 95,793 | | | | 0.4% | |
| | | Donaldson Co. Inc. | | | 2,076,410 | | | | 90,095 | | | | 0.3% | |
| | | Sonoco Products Co. | | | 1,617,769 | | | | 85,952 | | | | 0.3% | |
| | | Lincoln Electric Holdings Inc. | | | 991,498 | | | | 78,180 | | | | 0.3% | |
| | | Industrials—Other † | | | | | | | 4,140,032 | | | | 15.7% | |
| | | | | | | | | | 5,231,680 | | | | 19.9% | |
| | | | | | | | | | | | | | | |
| Oil & Gas † | | | | | | | 898,762 | | | | 3.4% | |
| | | | | | | | | | | | | | | |
| §,1Other † | | | | | | | 2,233 | | | | 0.0% | |
| | | | | | | | | | | | | | | |
| Technology | | | | | | | | | | | | |
| | | Leidos Holdings Inc. | | | 2,428,295 | | | | 128,020 | | | | 0.5% | |
| * | | ON Semiconductor Corp. | | | 6,824,504 | | | | 112,673 | | | | 0.4% | |
| | | Teradyne Inc. | | | 2,906,118 | | | | 91,194 | | | | 0.4% | |
| * | | ARRIS International plc | | | 2,677,486 | | | | 81,851 | | | | 0.3% | |
| | | Technology—Other † | | | | | | | 1,313,130 | | | | 5.0% | |
| | | | | | | | | | 1,726,868 | | | | 6.6% | |
| | | | | | | | | | | | | | | |
| Telecommunications † | | | | | | | 179,056 | | | | 0.7% | |
| | | | | | | | | | | | | | | |
| Utilities | | | | | | | | | | | | |
| | | Atmos Energy Corp. | | | 1,809,845 | | | | 167,809 | | | | 0.6% | |
| | | UGI Corp. | | | 2,824,315 | | | | 150,677 | | | | 0.6% | |
| | | Aqua America Inc. | | | 2,884,073 | | | | 98,607 | | | | 0.4% | |
| | | Vectren Corp. | | | 1,349,070 | | | | 97,106 | | | | 0.4% | |
| | | NRG Energy Inc. | | | 2,232,733 | | | | 88,416 | | | | 0.3% | |
| | | Utilities—Other † | | | | | | | 1,012,301 | | | | 3.8% | |
| | | | | | | | | | 1,614,916 | | | | 6.1% | |
| Total Common Stocks (Cost $25,819,893) | | | | | | | 26,226,663 | | | | 99.7%2 | |
Small-Cap Value Index Fund
| | | | | | | | | Market | | | Percentage | |
| | | | | | | | | Value• | | | of Net | |
| | | Coupon | | | Shares | | | ($000) | | | Assets | |
| Temporary Cash Investments | | | | | | | | | | | | | | | | |
| Money Market Fund | | | | | | | | | | | | | | | | |
| 3,4 Vanguard Market Liquidity Fund | | | 2.530% | | | | 2,057,210 | | | | 205,721 | | | | 0.8% | |
| | | | | | | | | | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | | | | | | | 4,462 | | | | 0.0% | |
| Total Temporary Cash Investments (Cost $210,161) | | | | | | | | | | | 210,183 | | | | 0.8%2 | |
| 6Total Investments (Cost $26,030,054) | | | | | | | | | | | 26,436,846 | | | | 100.5% | |
| | | Amount | | | | |
| | | ($000 | ) | | | |
| Other Assets and Liabilities | | | | | | | | |
| Other Assets | | | | | | | | |
| Investment in Vanguard | | | 1,546 | | | | | |
| Receivables for Investment Securities Sold | | | 105,417 | | | | | |
| Receivables for Accrued Income | | | 60,782 | | | | | |
| Receivables for Capital Shares Issued | | | 40,758 | | | | | |
| Variation Margin Receivable—Futures Contracts | | | 410 | | | | | |
| Other Assets7 | | | 852 | | | | | |
| Total Other Assets | | | 209,765 | | | | 0.8% | |
| Liabilities | | | | | | | | |
| Payables for Investment Securities Purchased | | | (157,498 | ) | | | | |
| Collateral for Securities on Loan | | | (136,133 | ) | | | | |
| Payables for Capital Shares Redeemed | | | (38,168 | ) | | | | |
| Payables to Vanguard | | | (9,569 | ) | | | | |
| Unrealized Depreciation—Swap Contracts | | | (483 | ) | | | | |
| Other Liabilities | | | (34 | ) | | | | |
| Total Liabilities | | | (341,885 | ) | | | (1.3% | ) |
| Net Assets | | | 26,304,726 | | | | 100.0% | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 26,072,276 | |
| Total Distributable Earnings (Loss) | | | 232,450 | |
| Net Assets | | | 26,304,726 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 54,887,491 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 1,501,035 | |
| Net Asset Value Per Share—Investor Shares | | | $27.35 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 101,351,289 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 11,559,518 | |
| Net Asset Value Per Share—ETF Shares | | | $114.05 | |
Small-Cap Value Index Fund
| | | Amount | |
| | | ($000 | ) |
| Admiral Shares—Net Assets | | | | |
| Applicable to 207,466,462 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 10,167,373 | |
| Net Asset Value Per Share—Admiral Shares | | | $49.01 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 112,320,910 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 3,076,800 | |
| Net Asset Value Per Share—Institutional Shares | | | $27.39 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.5%, respectively, of net assets. |
| 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 | Includes $136,133,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $3,617,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $119,085,000. |
| 7 | Cash of $190,000 has been segregated as collateral for open over-the-counter swap contracts. |
Small-Cap Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | Value and | |
| | | | | Number of | | | | | | Unrealized | |
| | | | | Long (Short | ) | | Notional | | | Appreciation | |
| | | Expiration | | Contracts | | | Amount | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | | | | |
| E-mini Russell 2000 Index | | March 2019 | | | 812 | | | | 54,769 | | | | (2,727 | ) |
| E-mini S&P Mid-Cap 400 Index | | March 2019 | | | 50 | | | | 8,311 | | | | (368 | ) |
| | | | | | | | | | | | | | (3,095 | ) |
| Total Return Swaps | | | | | | | | | | | | | |
| | | | | | | | | | Floating | | | Value and | |
| | | | | | | | | | Interest | | | Unrealized | |
| | | | | | | Notional | | | Rate | | | Appreciation | |
| | | Termination | | | | Amount | | | Received | | | (Depreciation | ) |
| Reference Entity | | Date | | Counterparty | | ($000 | ) | | (Paid | )1 | | ($000 | ) |
| SLM Corp. | | 2/4/19 | | GSCM | | | 20,723 | | | | (2.870 | ) | | | (483 | ) |
GSCM—Goldman Sachs Capital Management.
1 Payment received/paid monthly.
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 625,808 | |
| Interest1 | | | 1,882 | |
| Securities Lending—Net | | | 9,422 | |
| Total Income | | | 637,112 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 3,404 | |
| Management and Administrative—Investor Shares | | | 2,978 | |
| Management and Administrative—ETF Shares | | | 6,287 | |
| Management and Administrative—Admiral Shares | | | 5,625 | |
| Management and Administrative—Institutional Shares | | | 1,541 | |
| Marketing and Distribution—Investor Shares | | | 340 | |
| Marketing and Distribution—ETF Shares | | | 641 | |
| Marketing and Distribution—Admiral Shares | | | 838 | |
| Marketing and Distribution—Institutional Shares | | | 92 | |
| Custodian Fees | | | 377 | |
| Auditing Fees | | | 43 | |
| Shareholders’ Reports—Investor Shares | | | 49 | |
| Shareholders’ Reports—ETF Shares | | | 656 | |
| Shareholders’ Reports—Admiral Shares | | | 143 | |
| Shareholders’ Reports—Institutional Shares | | | 77 | |
| Trustees’ Fees and Expenses | | | 21 | |
| Total Expenses | | | 23,112 | |
| Net Investment Income | | | 614,000 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 1,671,408 | |
| Futures Contracts | | | (18,605 | ) |
| Swap Contracts | | | (6,137 | ) |
| Realized Net Gain (Loss) | | | 1,646,666 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (5,943,017 | ) |
| Futures Contracts | | | (3,150 | ) |
| Swap Contracts | | | (262 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (5,946,429 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (3,685,763 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,759,000, ($33,000), and $4,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $1,442,978,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 614,000 | | | | 524,278 | |
| Realized Net Gain (Loss) | | | 1,646,666 | | | | 1,187,494 | |
| Change in Unrealized Appreciation (Depreciation) | | | (5,946,429 | ) | | | 1,377,080 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (3,685,763 | ) | | | 3,088,852 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (34,953 | ) | | | (36,929 | ) |
| ETF Shares | | | (268,490 | ) | | | (220,339 | ) |
| Admiral Shares | | | (232,657 | ) | | | (198,391 | ) |
| Institutional Shares | | | (72,499 | ) | | | (63,321 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Total Distributions | | | (608,599 | ) | | | (518,980 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (313,616 | ) | | | (489,544 | ) |
| ETF Shares | | | 829,466 | | | | 1,519,428 | |
| Admiral Shares | | | 526,756 | | | | 830,846 | |
| Institutional Shares | | | (79,422 | ) | | | 454,986 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 963,184 | | | | 2,315,716 | |
| Total Increase (Decrease) | | | (3,331,178 | ) | | | 4,885,588 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 29,635,904 | | | | 24,750,316 | |
| End of Period | | | 26,304,726 | | | | 29,635,904 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $31.82 | $29.00 | $23.69 | $25.34 | $23.33 |
| Investment Operations | | | | | |
| Net Investment Income | .6031 | .5341 | .477 | .431 | .425 |
| Net Realized and Unrealized Gain (Loss) | | | | | |
| on Investments | (4.471) | 2.820 | 5.315 | (1.643) | 1.995 |
| Total from Investment Operations | (3.868) | 3.354 | 5.792 | (1.212) | 2.420 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.602) | (.534) | (.482) | (.438) | (.410) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.602) | (.534) | (.482) | (.438) | (.410) |
| Net Asset Value, End of Period | $27.35 | $31.82 | $29.00 | $23.69 | $25.34 |
| | | | | | |
| Total Return2 | -12.34% | 11.67% | 24.65% | -4.78% | 10.39% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,501 | $2,060 | $2,357 | $1,972 | $2,293 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.20% | 0.23% |
| Ratio of Net Investment Income to | | | | | |
| Average Net Assets | 1.92% | 1.82% | 1.96% | 1.78% | 1.84% |
| Portfolio Turnover Rate3 | 18% | 19% | 18% | 16% | 12% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $132.71 | $120.95 | $98.81 | $105.71 | $97.32 |
| Investment Operations | | | | | |
| Net Investment Income | 2.7201 | 2.4271 | 2.119 | 1.933 | 1.933 |
| Net Realized and Unrealized Gain (Loss) on Investments | (18.702) | 11.709 | 22.159 | (6.870) | 8.326 |
| Total from Investment Operations | (15.982) | 14.136 | 24.278 | (4.937) | 10.259 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.678) | (2.376) | (2.138) | (1.963) | (1.869) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.678) | (2.376) | (2.138) | (1.963) | (1.869) |
| Net Asset Value, End of Period | $114.05 | $132.71 | $120.95 | $98.81 | $105.71 |
| | | | | | |
| Total Return | -12.22% | 11.79% | 24.80% | -4.67% | 10.55% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $11,560 | $12,650 | $10,042 | $5,679 | $4,874 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.94% | 2.08% | 1.90% | 1.98% |
| Portfolio Turnover Rate2 | 18% | 19% | 18% | 16% | 12% |
| 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.
Small-Cap Value Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $57.02 | $51.97 | $42.46 | $45.42 | $41.82 |
| Investment Operations | | | | | |
| Net Investment Income | 1.1651 | 1.0391 | .911 | .830 | .831 |
| Net Realized and Unrealized Gain (Loss) on Investments | (8.024) | 5.032 | 9.518 | (2.947) | 3.573 |
| Total from Investment Operations | (6.859) | 6.071 | 10.429 | (2.117) | 4.404 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.151) | (1.021) | (.919) | (.843) | (.804) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.151) | (1.021) | (.919) | (.843) | (.804) |
| Net Asset Value, End of Period | $49.01 | $57.02 | $51.97 | $42.46 | $45.42 |
| | | | | | |
| Total Return2 | -12.23% | 11.80% | 24.78% | -4.65% | 10.55% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $10,167 | $11,278 | $9,469 | $6,467 | $5,775 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 2.04% | 1.94% | 2.08% | 1.90% | 1.98% |
| Portfolio Turnover Rate3 | 18% | 19% | 18% | 16% | 12% |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 |
| Net Asset Value, Beginning of Period | $31.87 | $29.05 | $23.73 | $25.39 | $23.37 |
| Investment Operations | | | | | |
| Net Investment Income | .6511 | .5871 | .510 | .465 | .467 |
| Net Realized and Unrealized Gain (Loss) on Investments | (4.485) | 2.808 | 5.324 | (1.652) | 2.004 |
| Total from Investment Operations | (3.834) | 3.395 | 5.834 | (1.187) | 2.471 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.646) | (.575) | (.514) | (.473) | (.451) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.646) | (.575) | (.514) | (.473) | (.451) |
| Net Asset Value, End of Period | $27.39 | $31.87 | $29.05 | $23.73 | $25.39 |
| | | | | | |
| Total Return | -12.23% | 11.80% | 24.80% | -4.67% | 10.59% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $3,077 | $3,649 | $2,882 | $2,334 | $1,927 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 2.05% | 1.95% | 2.09% | 1.91% | 1.99% |
| Portfolio Turnover Rate2 | 18% | 19% | 18% | 16% | 12% |
| 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.
Small-Cap Value Index Fund
Notes to Financial Statements
Vanguard Small-Cap 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A.The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Small-Cap Value Index Fund
During the year ended December 31, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. 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 Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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 Statement of Net Assets. 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.
During the year ended December 31, 2018, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
Small-Cap Value Index Fund
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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
Small-Cap Value Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $1,546,000, representing 0.01% of the fund’s net assets and 0.62% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | ($000 | ) | | ($000 | ) | | ($000 | ) |
| Common Stocks | | | 26,224,430 | | | | — | | | | 2,233 | |
| Temporary Cash Investments | | | 205,721 | | | | 4,462 | | | | — | |
| Futures Contracts—Assets1 | | | 410 | | | | — | | | | — | |
| Swap Contracts—Liabilities | | | — | | | | (483 | ) | | | — | |
| Total | | | 26,430,561 | | | | 3,979 | | | | 2,233 | |
1 Represents variation margin on the last day of the reporting period.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period
Small-Cap Value Index Fund
end, permanent differences primarily attributable to the accounting for in-kind redemptions, the expiration of capital loss carryforwards, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 1,054,206 | |
| Total Distributable Earnings (Loss) | | | (1,054,206 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales, the realization of unrealized gains or losses on certain futures contracts, swap agreements, and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000 | ) |
| Undistributed Ordinary Income | | | 9,847 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring)* | | | (168,054 | ) |
| Net Unrealized Gains (Losses) | | | 403,757 | |
| * | The fund used capital loss carryforwards of $206,345,000 to offset taxable capital gains realized during the year ended December 31, 2018, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. |
As of December 31, 2018, 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 | | | 26,033,089 | |
| Gross Unrealized Appreciation | | | 3,946,839 | |
| Gross Unrealized Depreciation | | | (3,543,082 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 403,757 | |
E. During the year ended December 31, 2018, the fund purchased $9,567,384,000 of investment securities and sold $8,539,365,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,561,809,000 and $3,282,222,000, 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 year ended December 31, 2018, such purchases and sales were $2,168,411,000 and $1,327,943,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Small-Cap Value Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | | | | 2018 | | | | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 270,333 | | | | 8,448 | | | | 419,463 | | | | 14,099 | |
| Issued in Lieu of Cash Distributions | | | 32,995 | | | | 1,078 | | | | 34,876 | | | | 1,153 | |
| Redeemed | | | (616,944 | ) | | | (19,370 | ) | | | (943,883 | ) | | | (31,805 | ) |
| Net Increase (Decrease)—Investor Shares | | | (313,616 | ) | | | (9,844 | ) | | | (489,544 | ) | | | (16,553 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 4,136,630 | | | | 30,836 | | | | 3,904,605 | | | | 31,333 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (3,307,164 | ) | | | (24,800 | ) | | | (2,385,177 | ) | | | (19,050 | ) |
| Net Increase (Decrease)—ETF Shares | | | 829,466 | | | | 6,036 | | | | 1,519,428 | | | | 12,283 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,473,497 | | | | 43,932 | | | | 2,845,311 | | | | 53,286 | |
| Issued in Lieu of Cash Distributions | | | 206,324 | | | | 3,770 | | | | 177,442 | | | | 3,269 | |
| Redeemed | | | (2,153,065 | ) | | | (38,003 | ) | | | (2,191,907 | ) | | | (40,993 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 526,756 | | | | 9,699 | | | | 830,846 | | | | 15,562 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 781,491 | | | | 24,577 | | | | 1,059,655 | | | | 35,577 | |
| Issued in Lieu of Cash Distributions | | | 65,697 | | | | 2,147 | | | | 58,204 | | | | 1,917 | |
| Redeemed | | | (926,610 | ) | | | (28,887 | ) | | | (662,873 | ) | | | (22,210 | ) |
| Net Increase (Decrease)—Institutional Shares | | | (79,422 | ) | | | (2,163 | ) | | | 454,986 | | | | 15,284 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets—investments summary of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (three of the funds constituting Vanguard Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 14, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Small-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | | ($000 | ) |
| Small-Cap Index Fund | | | 887,743 | |
| Small-Cap Growth Index Fund | | | 106,027 | |
| Small-Cap Value Index Fund | | | 442,512 | |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | | Percentage | |
| Small-Cap Index Fund | | | 66.4% | |
| Small-Cap Growth Index Fund | | | 65.1 | |
| Small-Cap Value Index Fund | | | 69.6 | |
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in theStatement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
| 1 | Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds. |
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Joseph Brennan | Chris D. McIsaac |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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| | Valley Forge, PA 19482-2600 |
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All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov.
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| | © 2019 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
| | Vanguard Marketing Corporation, Distributor. |
| | |
| | Q480 022019 |
Annual Report| December 31, 2018 |
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| Vanguard U.S. Stock Index Funds |
Mid-Capitalization Portfolios |
Vanguard Extended Market Index Fund |
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| Vanguard Mid-Cap Index Fund |
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| Vanguard Mid-Cap Growth Index Fund |
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| Vanguard Mid-Cap Value Index Fund |
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| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
| Contents | |
| | |
| A Note From Our CEO | 1 |
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| Your Fund’s Performance at a Glance | 2 |
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| About Your Fund’s Expenses | 3 |
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| Extended Market Index Fund | 6 |
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| Mid-Cap Index Fund | 31 |
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| Mid-Cap Growth Index Fund | 53 |
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| Mid-Cap Value Index Fund | 70 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 17, 2019
Your Fund’s Performance at a Glance
· Returns for the 12 months ended December 31, 2018, ranged from nearly –6% for Vanguard Mid-Cap Growth Index Fund to about –13% for Vanguard Mid-Cap Value Index Fund. Vanguard Mid-Cap Index Fund, which contains both growth and value stocks, returned about –9%. Vanguard Extended Market Index Fund, which includes both small- and mid-capitalization holdings, posted a result of about –9%. All returns are for Investor Shares.
· Each fund closely tracked its target index. Only the Growth Index Fund trailed the average return of its peers.
· Financials detracted the most from the Mid-Cap Index and Value Index Funds’ results, oil and gas from the Growth Index Fund, and industrials from the Extended Market Index Fund. Please be aware that the Extended Market Index Fund uses the Global Industry Classification Standard (GICS) methodology, while the other three funds use Industry Classification Benchmark (ICB) methodology. Technology contributed the most to the Mid-Cap Index, Growth Index, and Extended Market Index Funds’ returns, while utilities led the Value Index Fund.
· Please note that in November, Vanguard lowered the investment minimum for the funds’ Admiral Shares from $10,000 to $3,000.
Market Barometer
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | One Year | Three Years | Five Years | |
| Stocks | | | | |
| Russell 1000 Index (Large-caps) | -4.78% | 9.09% | 8.21% | |
| Russell 2000 Index (Small-caps) | -11.01 | 7.36 | 4.41 | |
| Russell 3000 Index (Broad U.S. market) | -5.24 | 8.97 | 7.91 | |
| FTSE All-World ex US Index (International) | -14.13 | 4.58 | 1.05 | |
| | | | | |
| Bonds | | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index(Broad taxable market) | 0.01% | 2.06% | 2.52% | |
| Bloomberg Barclays Municipal Bond Index(Broad tax-exempt market) | 1.28 | 2.30 | 3.82 | |
| FTSE Three-Month U.S. Treasury Bill Index | 1.86 | 0.98 | 0.59 | |
| | | | | |
| CPI | | | | |
| Consumer Price Index | 1.91% | 2.03% | 1.51% | |
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 compareongoing 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.
Six Months Ended December 31, 2018
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2018 | 12/31/2018 | Period |
| Based on Actual Fund Return | | | |
| Extended Market Index Fund | | | |
| Investor Shares | $1,000.00 | $853.40 | $0.84 |
| ETF Shares | 1,000.00 | 853.97 | 0.28 |
| Admiral™ Shares | 1,000.00 | 853.92 | 0.28 |
| Institutional Shares | 1,000.00 | 853.93 | 0.28 |
| Institutional Plus Shares | 1,000.00 | 853.97 | 0.23 |
| Institutional Select Shares | 1,000.00 | 854.08 | 0.09 |
| Mid-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $884.29 | $0.81 |
| ETF Shares | 1,000.00 | 885.01 | 0.14 |
| Admiral Shares | 1,000.00 | 884.87 | 0.24 |
| Institutional Shares | 1,000.00 | 884.91 | 0.19 |
| Institutional Plus Shares | 1,000.00 | 884.96 | 0.14 |
| Mid-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $893.36 | $0.91 |
| ETF Shares | 1,000.00 | 894.04 | 0.33 |
| Admiral Shares | 1,000.00 | 894.12 | 0.33 |
| Mid-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $875.49 | $0.90 |
| ETF Shares | 1,000.00 | 875.94 | 0.33 |
| Admiral Shares | 1,000.00 | 875.82 | 0.33 |
Six Months Ended December 31, 2018
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2018 | 12/31/2018 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Extended Market Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.30 | $0.92 |
| ETF Shares | 1,000.00 | 1,024.90 | 0.31 |
| Admiral Shares | 1,000.00 | 1,024.90 | 0.31 |
| Institutional Shares | 1,000.00 | 1,024.90 | 0.31 |
| Institutional Plus Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Select Shares | 1,000.00 | 1,025.10 | 0.10 |
| Mid-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Plus Shares | 1,000.00 | 1,025.05 | 0.15 |
| Mid-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
| Mid-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.85 | 0.36 |
| Admiral Shares | 1,000.00 | 1,024.85 | 0.36 |
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 Extended Market Index Fund, 0.18% for Investor Shares, 0.06% for ETF Shares, 0.06% for Admiral Shares, 0.06% for Institutional Shares, 0.05% for Institutional Plus Shares, and 0.02% for Institutional Select Shares; for the Mid-Cap Index Fund, 0.17% for Investor Shares, 0.03% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.03% for Institutional Plus Shares; for the Mid-Cap Growth Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, and 0.07% for Admiral Shares; and for the Mid-Cap Value Index Fund, 0.19% for Investor Shares, 0.07% for ETF Shares, and 0.07% for Admiral 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 (184/365).
Extended Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Extended Market Index FundInvestor Shares | -9.47% | 5.14% | 13.48% | $35,405 |
 | S&P Completion Index | -9.57 | 5.17 | 13.54 | 35,599 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Extended Market Index FundETF Shares Net Asset Value | -9.37% | 5.28% | 13.63% | $35,882 |
| S&P Completion Index | -9.57 | 5.17 | 13.54 | 35,599 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
See Financial Highlights for dividend and capital gains information.
Extended Market Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Extended Market Index Fund Admiral Shares | -9.36% | 5.28% | 13.63% | $35,896 |
| S&P Completion Index | -9.57 | 5.17 | 13.54 | 35,599 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Extended Market Index Fund Institutional Shares | -9.35% | 5.30% | 13.66% | $17,983,736 |
| S&P Completion Index | -9.57 | 5.17 | 13.54 | 17,799,724 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 17,312,429 |
| | | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $100,000,000 |
| | Year | Years | (1/14/2011) | Investment |
| Extended Market Index Fund Institutional Plus Shares | -9.35% | 5.31% | 9.00% | $198,635,040 |
| S&P Completion Index | -9.57 | 5.17 | 8.86 | 196,546,327 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 10.57 | 222,589,244 |
“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
| | | Since | Final Value
of a |
| | One | Inception | $3,000,000,000 |
| | Year | (6/27/2016) | Investment |
| Extended Market Index Fund Institutional Select Shares | -9.32% | 10.46% | $3,851,646,934 |
| S&P Completion Index | -9.57 | 10.27 | 3,834,495,238 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 11.40 | 3,934,307,477 |
“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standards.
Extended Market Index Fund
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Extended Market Index Fund ETF Shares Market Price | -9.35% | 29.35% | 260.13% |
| Extended Market Index Fund ETF Shares Net Asset Value | -9.37 | 29.35 | 258.82 |
| S&P Completion Index | -9.57 | 28.68 | 255.99 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Extended Market Index Fund
Sector Diversification
As of December 31, 2018
| Communication Services | 5.0% |
| Consumer Discretionary | 12.0 |
| Consumer Staples | 2.8 |
| Energy | 3.4 |
| Financials | 16.7 |
| Health Care | 12.4 |
| Industrials | 13.5 |
| Information Technology | 17.9 |
| Materials | 4.4 |
| Real Estate | 8.7 |
| Utilities | 3.2 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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 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.
Extended Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| Common Stocks | | | | | | | | | | | | |
| Communication Services | | | | | | | | | | | | |
| * | | T-Mobile US Inc. | | | 4,306,485 | | | | 273,936 | | | | 0.5% | |
| * | | IAC/InterActiveCorp | | | 1,067,330 | | | | 195,364 | | | | 0.3% | |
| * | | Liberty Global plc | | | 8,381,998 | | | | 173,004 | | | | 0.3% | |
| * | | Liberty Broadband Corp. | | | 2,056,014 | | | | 148,095 | | | | 0.2% | |
| | | Communication Services—Other † | | | | | | | 2,083,709 | | | | 3.6% | |
| | | | | | | | | | 2,874,108 | | | | 4.9% | |
| Consumer Discretionary | | | | | | | | | | | | |
| *,^ | | Tesla Inc. | | | 1,858,936 | | | | 618,654 | | | | 1.1% | |
| | | Las Vegas Sands Corp. | | | 5,056,260 | | | | 263,178 | | | | 0.5% | |
| * | | Lululemon Athletica Inc. | | | 1,447,182 | | | | 175,992 | | | | 0.3% | |
| * | | Burlington Stores Inc. | | | 924,714 | | | | 150,423 | | | | 0.3% | |
| | | Domino’s Pizza Inc. | | | 570,934 | | | | 141,586 | | | | 0.2% | |
| | | Vail Resorts Inc. | | | 553,456 | | | | 116,680 | | | | 0.2% | |
| | | Consumer Discretionary—Other † | | | | | | | 5,445,641 | | | | 9.3% | |
| | | | | | | | | | 6,912,154 | | | | 11.9% | |
| | | | | | | | | | | | | | | |
| Consumer Staples † | | | | | | | 1,601,796 | | | | 2.7% | |
| | | | | | | | | | | | | |
| Energy | | | | | | | | | | | | |
| * | | Cheniere Energy Inc. | | | 3,025,832 | | | | 179,099 | | | | 0.3% | |
| § | | Energy—Other † | | | | | | | 1,759,969 | | | | 3.0% | |
| | | | | | | | | | 1,939,068 | | | | 3.3% | |
| Financials | | | | | | | | | | | | |
| * | | Markel Corp. | | | 190,498 | | | | 197,746 | | | | 0.3% | |
| | | TD Ameritrade Holding Corp. | | | 3,693,535 | | | | 180,835 | | | | 0.3% | |
| | | Annaly Capital Management Inc. | | | 17,867,352 | | | | 175,457 | | | | 0.3% | |
| * | | Arch Capital Group Ltd. | | | 5,542,015 | | | | 148,083 | | | | 0.3% | |
| | | KKR & Co. Inc. Class A | | | 7,262,667 | | | | 142,566 | | | | 0.3% | |
Extended Market Index Fund
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000 | ) | | Assets | |
| | | Ally Financial Inc. | | | 5,644,491 | | | | 127,904 | | | | 0.2% | |
| | | Alleghany Corp. | | | 203,406 | | | | 126,787 | | | | 0.2% | |
| | | AGNC Investment Corp. | | | 7,157,850 | | | | 125,549 | | | | 0.2% | |
| | | Reinsurance Group of America Inc. Class A | | | 857,688 | | | | 120,274 | | | | 0.2% | |
| | | Fidelity National Financial Inc. | | | 3,765,518 | | | | 118,388 | | | | 0.2% | |
| | | Financials—Other † | | | | | | | 8,182,342 | | | | 14.1% | |
| | | | | | | | | | 9,645,931 | | | | 16.6% | |
| Health Care | | | | | | | | | | | | |
| * | | BioMarin Pharmaceutical Inc. | | | 2,444,960 | | | | 208,188 | | | | 0.4% | |
| | | Teleflex Inc. | | | 631,311 | | | | 163,181 | | | | 0.3% | |
| * | | Veeva Systems Inc. Class A | | | 1,672,131 | | | | 149,355 | | | | 0.3% | |
| * | | DexCom Inc. | | | 1,219,973 | | | | 146,153 | | | | 0.2% | |
| | | STERIS plc | | | 1,158,593 | | | | 123,796 | | | | 0.2% | |
| | | Health Care—Other † | | | | | | | 6,370,674 | | | | 10.9% | |
| | | | | | | | | | 7,161,347 | | | | 12.3% | |
| Industrials | | | | | | | | | | | | |
| * | | CoStar Group Inc. | | | 498,344 | | | | 168,111 | | | | 0.3% | |
| | | TransUnion | | | 2,541,059 | | | | 144,332 | | | | 0.3% | |
| | | IDEX Corp. | | | 1,051,665 | | | | 132,783 | | | | 0.2% | |
| | | Industrials—Other † | | | | | | | 7,348,996 | | | | 12.6% | |
| | | | | | | | | | 7,794,222 | | | | 13.4% | |
| Information Technology | | | | | | | | | | | | |
| * | | ServiceNow Inc. | | | 2,461,296 | | | | 438,234 | | | | 0.8% | |
| * | | Workday Inc. Class A | | | 2,000,932 | | | | 319,509 | | | | 0.6% | |
| * | | Worldpay Inc. Class A | | | 4,141,739 | | | | 316,553 | | | | 0.5% | |
| * | | Palo Alto Networks Inc. | | | 1,295,015 | | | | 243,916 | | | | 0.4% | |
| * | | Square Inc. | | | 4,232,818 | | | | 237,419 | | | | 0.4% | |
| * | | Splunk Inc. | | | 2,013,268 | | | | 211,091 | | | | 0.4% | |
| | | CDW Corp. | | | 2,058,434 | | | | 166,836 | | | | 0.3% | |
| * | | GoDaddy Inc. Class A | | | 2,287,256 | | | | 150,090 | | | | 0.3% | |
| | | VMware Inc. Class A | | | 1,037,246 | | | | 142,238 | | | | 0.2% | |
| | | SS&C Technologies Holdings Inc. | | | 2,956,138 | | | | 133,351 | | | | 0.2% | |
| | | Marvell Technology Group Ltd. | | | 8,131,106 | | | | 131,643 | | | | 0.2% | |
| * | | First Data Corp. Class A | | | 7,777,463 | | | | 131,517 | | | | 0.2% | |
| * | | PTC Inc. | | | 1,464,999 | | | | 121,448 | | | | 0.2% | |
| * | | Zebra Technologies Corp. | | | 738,547 | | | | 117,599 | | | | 0.2% | |
| * | | Tableau Software Inc. Class A | | | 978,855 | | | | 117,463 | | | | 0.2% | |
| | | Information Technology—Other † | | | | | | | 7,357,907 | | | | 12.6% | |
| | | | | | | | | | 10,336,814 | | | | 17.7% | |
| | | | | | | | | | | | | | | |
| §Materials † | | | | | | | 2,532,921 | | | | 4.3% | |
| | | | | | | | | | | | | |
| §,1Other † | | | | | | | 1,433 | | | | 0.0% | |
| | | | | | | | | | | | | |
| Real Estate | | | | | | | | | | | | |
| | | WP Carey Inc. | | | 2,194,140 | | | | 143,365 | | | | 0.3% | |
| | | Sun Communities Inc. | | | 1,181,095 | | | | 120,129 | | | | 0.2% | |
| | | Equity LifeStyle Properties Inc. | | | 1,227,667 | | | | 119,243 | | | | 0.2% | |
| | | Real Estate—Other † | | | | | | | 4,657,233 | | | | 8.0% | |
| | | | | | | | | | 5,039,970 | | | | 8.7% | |
Extended Market Index Fund
| | | | | | | | | | | Market | | | Percentage | |
| | | | | | | | | | | Value• | | | of Net | |
| | | | | | | | Shares | | | ($000 | ) | | Assets | |
| Utilities | | | | | | | | | | | | | | | | |
| | | Atmos Energy Corp. | | | | | | | 1,604,204 | | | | 148,742 | | | | 0.3% | |
| | | UGI Corp. | | | | | | | 2,379,016 | | | | 126,920 | | | | 0.2% | |
| * | | Vistra Energy Corp. | | | | | | | 5,398,884 | | | | 123,580 | | | | 0.2% | |
| | | Utilities—Other † | | | | | | | | | | | 1,451,697 | | | | 2.5% | |
| | | | | | | | | | | | | | 1,850,939 | | | | 3.2% | |
| Total Common Stocks (Cost $51,742,781) | | | | | | | | 57,690,703 | | | | 99.0% | 2 |
| | | | | | | | | | | | | | |
| | | | | | Coupon | | | | | | | | | | | | | |
| Temporary Cash Investments | | | | | | | | | | | | | | | | |
| Money Market Fund | | | | | | | | | | | | | | | | |
| 3,4 | | Vanguard Market Liquidity Fund | | | 2.530% | | | | 18,977,993 | | | | 1,897,799 | | | | 3.2% | |
| | | | | | | | | | | | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | | | | 34,805 | | | | 0.1% | |
| Total Temporary Cash Investments (Cost $1,932,449) | | | | | | | | 1,932,604 | | | | 3.3%2 | |
| Total Investments (Cost $53,675,230) | | | | | | | | 59,623,307 | | | | 102.3% | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Amount | | | | | |
| | | | | | | | | | | | | | ($000 | ) | | | | |
| Other Assets and Liabilities | | | | | | | | | | | | | | | | |
| Other Assets | | | | | | | | | | | | | | | | |
| Investment in Vanguard | | | | | | | | | | | 3,378 | | | | | |
| Receivables for Investment Securities Sold | | | | | | | | 8,370 | | | | | |
| Receivables for Accrued Income | | | | | | | | | | | 90,019 | | | | | |
| Receivables for Capital Shares Issued | | | | | | | | | | | 128,860 | | | | | |
| Variation Margin Receivable—Futures Contracts | | | | | | | | 4,340 | | | | | |
| Other Assets6 | | | | | | | | | | | 16,149 | | | | | |
| Total Other Assets | | | | | | | | | | | 251,116 | | | | 0.4% | |
| Liabilities | | | | | | | | | | | | | | | | |
| Payables for Investment Securities Purchased | | | | | | | | (116,917 | ) | | | | |
| Collateral for Securities on Loan | | | | | | | | | | | (1,243,719 | ) | | | | |
| Payables for Capital Shares Redeemed | | | | | | | | (221,520 | ) | | | | |
| Payables to Vanguard | | | | | | | | | | | (21,148 | ) | | | | |
| Unrealized Depreciation—Swap Contracts | | | | | | | | (428 | ) | | | | |
| Total Liabilities | | | | | | | | | | | (1,603,732 | ) | | | (2.7% | ) |
| Net Assets | | | | | | | | | | | 58,270,691 | | | | 100.0% | |
Extended Market Index Fund
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 53,151,097 | |
| Total Distributable Earnings (Loss) | | | 5,119,594 | |
| Net Assets | | | 58,270,691 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 15,036,637 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 1,138,901 | |
| Net Asset Value Per Share—Investor Shares | | | $75.74 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 61,090,902 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 6,095,251 | |
| Net Asset Value Per Share—ETF Shares | | | $99.77 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 233,090,625 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 17,644,113 | |
| Net Asset Value Per Share—Admiral Shares | | | $75.70 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 164,391,652 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 12,443,225 | |
| Net Asset Value Per Share—Institutional Shares | | | $75.69 | |
| | | | | |
| Institutional Plus Shares—Net Assets | | | | |
| Applicable to 40,465,910 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 7,558,973 | |
| Net Asset Value Per Share—Institutional Plus Shares | | | $186.80 | |
Extended Market Index Fund
| | | Amount | |
| | | | ($000 | ) |
| Institutional Select Shares—Net Assets | | | | |
| Applicable to 110,087,809 outstanding $.001 par value shares ofbeneficial interest (unlimited authorization) | | | 13,390,228 | |
| Net Asset Value Per Share—Institutional Select Shares | | | $121.63 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,140,213,000. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | The fund invests a portion of its cash reserves in equity markets through the use of index futures and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 2.3%, respectively, of net assets. |
| 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 | Includes $1,243,719,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $30,865,000 have been segregated as initial margin for open futures contracts. |
| 6 | Cash of $170,000 has been segregated as collateral for open over-the-counter swap contracts. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | ($000 | ) |
| | | | | Value and | |
| | | Number of | | Unrealized | |
| | | Long (Short) | Notional | Appreciation | |
| | Expiration | Contracts | Amount | (Depreciation | ) |
| Long Futures Contracts | | | | | |
| E-mini Russell 2000 Index | March 2019 | 4,696 | 316,745 | (15,749 | ) |
| E-mini S&P Mid-Cap 400 Index | March 2019 | 973 | 161,732 | (7,152 | ) |
| E-mini S&P 500 Index | March 2019 | 621 | 77,786 | 1,698 | |
| | | | | (21,203 | ) |
Extended Market Index Fund
Total Return Swaps
| | | | | | | | | | | | | Value and | |
| | | | | | | | | | Floating | | | Unrealized | |
| | | | | | | Notional | | | Interest Rate | | | Appreciation | |
| | | Termination | | | | Amount | | | Received | | | (Depreciation | ) |
| Reference Entity | | Date | | Counterparty | | | ($000 | ) | | | (Paid | )1 | | | ($000 | ) |
| SLM Corp. | | 2/4/19 | | GSCM | | | 18,360 | | | | (2.870% | ) | | | (428 | ) |
GSCM—Goldman Sachs Capital Management.
1 Payment received/paid monthly.
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 949,996 | |
| Interest1 | | | 13,279 | |
| Securities Lending—Net | | | 65,044 | |
| Total Income | | | 1,028,319 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 4,497 | |
| Management and Administrative—Investor Shares | | | 2,415 | |
| Management and Administrative—ETF Shares | | | 3,368 | |
| Management and Administrative—Admiral Shares | | | 11,189 | |
| Management and Administrative—Institutional Shares | | | 6,903 | |
| Management and Administrative—Institutional Plus Shares | | | 3,675 | |
| Management and Administrative—Institutional Select Shares | | | 1,700 | |
| Marketing and Distribution—Investor Shares | | | 237 | |
| Marketing and Distribution—ETF Shares | | | 353 | |
| Marketing and Distribution—Admiral Shares | | | 1,208 | |
| Marketing and Distribution—Institutional Shares | | | 338 | |
| Marketing and Distribution—Institutional Plus Shares | | | 111 | |
| Marketing and Distribution—Institutional Select Shares | | | — | |
| Custodian Fees | | | 687 | |
| Auditing Fees | | | 54 | |
| Shareholders’ Reports—Investor Shares | | | 23 | |
| Shareholders’ Reports—ETF Shares | | | 174 | |
| Shareholders’ Reports—Admiral Shares | | | 151 | |
| Shareholders’ Reports—Institutional Shares | | | 155 | |
| Shareholders’ Reports—Institutional Plus Shares | | | 102 | |
| Shareholders’ Reports—Institutional Select Shares | | | 2 | |
| Trustees’ Fees and Expenses | | | 42 | |
| Total Expenses | | | 37,384 | |
| Net Investment Income | | | 990,935 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 4,363,838 | |
| Futures Contracts | | | (64,249 | ) |
| Swap Contracts | | | (5,011 | ) |
| Realized Net Gain (Loss) | | | 4,294,578 | |
Extended Market Index Fund
Statement of Operations (continued)
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (11,254,867 | ) |
| Futures Contracts | | | (24,537 | ) |
| Swap Contracts | | | (776 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (11,280,180 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (5,994,667 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $12,636,000, ($119,000), and $95,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $3,977,094,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 990,935 | | | | 789,984 | |
| Realized Net Gain (Loss) | | | 4,294,578 | | | | 1,935,143 | |
| Change in Unrealized Appreciation (Depreciation) | | | (11,280,180 | ) | | | 6,862,244 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (5,994,667 | ) | | | 9,587,371 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (18,718 | ) | | | (20,133 | ) |
| ETF Shares | | | (91,752 | ) | | | (68,707 | ) |
| Admiral Shares | | | (290,795 | ) | | | (241,820 | ) |
| Institutional Shares | | | (206,007 | ) | | | (165,181 | ) |
| Institutional Plus Shares | | | (130,677 | ) | | | (172,181 | ) |
| Institutional Select Shares | | | (216,956 | ) | | | (117,295 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Institutional Plus Shares | | | — | | | | — | |
| Institutional Select Shares | | | — | | | | — | |
| Total Distributions | | | (954,905 | ) | | | (785,317 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (277,722 | ) | | | (743,389 | ) |
| ETF Shares | | | 1,100,016 | | | | 538,053 | |
| Admiral Shares | | | 39,131 | | | | 1,150,151 | |
| Institutional Shares | | | 624,848 | | | | 979,352 | |
| Institutional Plus Shares | | | (2,181,914 | ) | | | (4,994,531 | ) |
| Institutional Select Shares | | | 2,770,352 | | | | 5,864,391 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 2,074,711 | | | | 2,794,027 | |
| Total Increase (Decrease) | | | (4,874,861 | ) | | | 11,596,081 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 63,145,552 | | | | 51,549,471 | |
| End of Period | | | 58,270,691 | | | | 63,145,552 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $84.80 | | | | $72.76 | | | | $63.61 | | | | $66.63 | | | | $62.76 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.193 | 1 | | | .916 | 1 | | | .919 | | | | .795 | | | | .795 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (9.104 | ) | | | 12.074 | | | | 9.182 | | | | (3.050 | ) | | | 3.857 | |
| Total from Investment Operations | | | (7.911 | ) | | | 12.990 | | | | 10.101 | | | | (2.255 | ) | | | 4.652 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.149 | ) | | | (.950 | ) | | | (.951 | ) | | | (.765 | ) | | | (.782 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.149 | ) | | | (.950 | ) | | | (.951 | ) | | | (.765 | ) | | | (.782 | ) |
| Net Asset Value, End of Period | | | $75.74 | | | | $84.80 | | | | $72.76 | | | | $63.61 | | | | $66.63 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -9.47% | | | | 17.94% | | | | 15.99% | | | | -3.39% | | | | 7.42% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $1,139 | | | | $1,548 | | | | $2,021 | | | | $2,040 | | | | $2,341 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.19% | | | | 0.21% | | | | 0.21% | | | | 0.22% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.38% | | | | 1.24% | | | | 1.48% | | | | 1.20% | | | | 1.27% | |
| Portfolio Turnover Rate3 | | | 10% | | | | 11% | | | | 12% | | | | 6% | | | | 9% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $111.72 | | | | $95.86 | | | | $83.80 | | | | $87.79 | | | | $82.71 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.742 | 1 | | | 1.420 | 1 | | | 1.324 | | | | 1.171 | | | | 1.178 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (12.036 | ) | | | 15.835 | | | | 12.107 | | | | (4.033 | ) | | | 5.061 | |
| Total from Investment Operations | | | (10.294 | ) | | | 17.255 | | | | 13.431 | | | | (2.862 | ) | | | 6.239 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.656 | ) | | | (1.395 | ) | | | (1.371 | ) | | | (1.128 | ) | | | (1.159 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.656 | ) | | | (1.395 | ) | | | (1.371 | ) | | | (1.128 | ) | | | (1.159 | ) |
| Net Asset Value, End of Period | | | $99.77 | | | | $111.72 | | | | $95.86 | | | | $83.80 | | | | $87.79 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.37% | | | | 18.10% | | | | 16.16% | | | | -3.26% | | | | 7.55% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $6,095 | | | | $5,711 | | | | $4,387 | | | | $4,272 | | | | $3,659 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.08% | | | | 0.08% | | | | 0.09% | | | | 0.10% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.50% | | | | 1.37% | | | | 1.61% | | | | 1.33% | | | | 1.40% | |
| Portfolio Turnover Rate2 | | | 10% | | | | 11% | | | | 12% | | | | 6% | | | | 9% | |
| 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.
Extended Market Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $84.76 | | | | $72.72 | | | | $63.58 | | | | $66.61 | | | | $62.75 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.307 | 1 | | | 1.071 | 1 | | | 1.005 | | | | .887 | | | | .895 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (9.111 | ) | | | 12.026 | | | | 9.175 | | | | (3.061 | ) | | | 3.845 | |
| Total from Investment Operations | | | (7.804 | ) | | | 13.097 | | | | 10.180 | | | | (2.174 | ) | | | 4.740 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.256 | ) | | | (1.057 | ) | | | (1.040 | ) | | | (.856 | ) | | | (.880 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.256 | ) | | | (1.057 | ) | | | (1.040 | ) | | | (.856 | ) | | | (.880 | ) |
| Net Asset Value, End of Period | | | $75.70 | | | | $84.76 | | | | $72.72 | | | | $63.58 | | | | $66.61 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -9.36% | | | | 18.11% | | | | 16.13% | | | | -3.27% | | | | 7.56% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $17,644 | | | | $19,712 | | | | $15,830 | | | | $13,143 | | | | $12,852 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.08% | | | | 0.08% | | | | 0.09% | | | | 0.10% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.50% | | | | 1.37% | | | | 1.61% | | | | 1.33% | | | | 1.40% | |
| Portfolio Turnover Rate3 | | | 10% | | | | 11% | | | | 12% | | | | 6% | | | | 9% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $84.75 | | | | $72.72 | | | | $63.58 | | | | $66.60 | | | | $62.75 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.319 | 1 | | | 1.085 | 1 | | | 1.018 | | | | .899 | | | | .908 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (9.113 | ) | | | 12.018 | | | | 9.175 | | | | (3.050 | ) | | | 3.833 | |
| Total from Investment Operations | | | (7.794 | ) | | | 13.103 | | | | 10.193 | | | | (2.151 | ) | | | 4.741 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.266 | ) | | | (1.073 | ) | | | (1.053 | ) | | | (.869 | ) | | | (.891 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.266 | ) | | | (1.073 | ) | | | (1.053 | ) | | | (.869 | ) | | | (.891 | ) |
| Net Asset Value, End of Period | | | $75.69 | | | | $84.75 | | | | $72.72 | | | | $63.58 | | | | $66.60 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.35% | | | | 18.12% | | | | 16.15% | | | | -3.24% | | | | 7.56% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $12,443 | | | | $13,359 | | | | $10,554 | | | | $8,621 | | | | $8,567 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.06% | | | | 0.06% | | | | 0.06% | | | | 0.07% | | | | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.51% | | | | 1.39% | | | | 1.63% | | | | 1.35% | | | | 1.42% | |
| Portfolio Turnover Rate2 | | | 10% | | | | 11% | | | | 12% | | | | 6% | | | | 9% | |
| 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.
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $209.16 | | | | $179.47 | | | | $156.89 | | | | $164.36 | | | | $154.84 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 3.208 | 1 | | | 2.611 | 1 | | | 2.525 | | | | 2.254 | | | | 2.273 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (22.426 | ) | | | 29.741 | | | | 22.668 | | | | (7.549 | ) | | | 9.481 | |
| Total from Investment Operations | | | (19.218 | ) | | | 32.352 | | | | 25.193 | | | | (5.295 | ) | | | 11.754 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (3.142 | ) | | | (2.662 | ) | | | (2.613 | ) | | | (2.175 | ) | | | (2.234 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (3.142 | ) | | | (2.662 | ) | | | (2.613 | ) | | | (2.175 | ) | | | (2.234 | ) |
| Net Asset Value, End of Period | | | $186.80 | | | | $209.16 | | | | $179.47 | | | | $156.89 | | | | $164.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.35% | | | | 18.13% | | | | 16.18% | | | | -3.23% | | | | 7.60% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $7,559 | | | | $10,565 | | | | $13,530 | | | | $14,526 | | | | $13,634 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.05% | | | | 0.05% | | | | 0.05% | | | | 0.05% | | | | 0.06% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.52% | | | | 1.40% | | | | 1.64% | | | | 1.37% | | | | 1.44% | |
| Portfolio Turnover Rate2 | | | 10% | | | | 11% | | | | 12% | | | | 6% | | | | 9% | |
| 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.
Extended Market Index Fund
Financial Highlights
Institutional Select Shares
| | | | | | | | | June 27, | |
| | | Year Ended | | | 20161to | |
| | | December 31, | | | Dec. 31, | |
| For a Share Outstanding Throughout Each Period | | 2018 | | | 2017 | | | 2016 | |
| Net Asset Value, Beginning of Period | | | $136.19 | | | | $116.85 | | | | $98.43 | |
| Investment Operations | | | | | | | | | | | | |
| Net Investment Income | | | 2.184 | 2 | | | 1.891 | 2 | | | 1.050 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (14.655 | ) | | | 19.221 | | | | 18.428 | |
| Total from Investment Operations | | | (12.471 | ) | | | 21.112 | | | | 19.478 | |
| Distributions | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.089 | ) | | | (1.772 | ) | | | (1.058 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.089 | ) | | | (1.772 | ) | | | (1.058 | ) |
| Net Asset Value, End of Period | | | $121.63 | | | | $136.19 | | | | $116.85 | |
| | | | | | | | | | | | | |
| Total Return | | | -9.32% | | | | 18.17% | | | | 19.81% | |
| | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $13,390 | | | | $12,250 | | | | $5,227 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.02% | | | | 0.02% | | | | 0.02%3 | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.55% | | | | 1.43% | | | | 1.88%3 | |
| Portfolio Turnover Rate4 | | | 10% | | | | 11% | | | | 12%5 | |
| 2 | Calculated based on average shares outstanding. |
| 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. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016. |
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Notes to Financial Statements
Vanguard Extended Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the year ended December 31, 2018, 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.
Extended Market Index Fund
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. 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 Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded.
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 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 Statement of Net Assets. 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.
During the year ended December 31, 2018, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 and may differ from net investment income and realized capital gains for financial reporting purposes.
Extended Market 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Extended Market Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $3,378,000, representing 0.01% of the fund’s net assets and 1.35% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | | ($000 | ) | | | ($000 | ) | | | ($000 | ) |
| Common Stocks | | | 57,688,521 | | | | 67 | | | | 2,115 | |
| Temporary Cash Investments | | | 1,897,799 | | | | 34,805 | | | | — | |
| Futures Contracts—Assets1 | | | 4,340 | | | | — | | | | — | |
| Swap Contracts—Liabilities | | | — | | | | (428 | ) | | | — | |
| Total | | | 59,590,660 | | | | 34,444 | | | | 2,115 | |
| 1 | Represents variation margin on the last day of the reporting period. |
Extended Market Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions, the expiration of capital loss carryforwards, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 3,952,510 | |
| Total Distributable Earnings (Loss) | | | (3,952,510 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on certain futures contracts and swap agreements; and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | | ($000 | ) |
| Undistributed Ordinary Income | | | 39,383 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring)* | | | (841,285 | ) |
| Net Unrealized Gains (Losses) | | | 5,945,114 | |
| * | The fund used capital loss carryforwards of $297,571,000 to offset taxable capital gains realized during the year ended December 31, 2018 reducing the amount of capital gains that would otherwise be available to distribute to shareholders. |
As of December 31, 2018, 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 | | | 53,678,193 | |
| Gross Unrealized Appreciation | | | 12,823,487 | |
| Gross Unrealized Depreciation | | | (6,878,373 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 5,945,114 | |
E. During the year ended December 31, 2018, the fund purchased $16,357,641,000 of investment securities and sold $14,052,754,000 of investment securities, other than temporary cash investments. Purchases and sales include $7,397,062,000 and $7,278,539,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Extended Market Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | | ($000 | ) | | | (000 | ) | | | ($000 | ) | | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 199,854 | | | | 2,271 | | | | 266,370 | | | | 3,456 | |
| Issued in Lieu of Cash Distributions | | | 17,999 | | | | 211 | | | | 19,488 | | | | 246 | |
| Redeemed | | | (495,575 | ) | | | (5,703 | ) | | | (1,029,247 | ) | | | (13,226 | ) |
| Net Increase (Decrease)—Investor Shares | | | (277,722 | ) | | | (3,221 | ) | | | (743,389 | ) | | | (9,524 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 7,647,925 | | | | 66,519 | | | | 5,995,825 | | | | 58,557 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (6,547,909 | ) | | | (56,550 | ) | | | (5,457,772 | ) | | | (53,200 | ) |
| Net Increase (Decrease)—ETF Shares | | | 1,100,016 | | | | 9,969 | | | | 538,053 | | | | 5,357 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,351,183 | | | | 38,683 | | | | 3,704,285 | | | | 47,499 | |
| Issued in Lieu of Cash Distributions | | | 249,801 | | | | 2,937 | | | | 210,320 | | | | 2,638 | |
| Redeemed | | | (3,561,853 | ) | | | (41,092 | ) | | | (2,764,454 | ) | | | (35,246 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 39,131 | | | | 528 | | | | 1,150,151 | | | | 14,891 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,478,254 | | | | 39,801 | | | | 3,498,857 | | | | 44,798 | |
| Issued in Lieu of Cash Distributions | | | 196,518 | | | | 2,311 | | | | 156,685 | | | | 1,966 | |
| Redeemed | | | (3,049,924 | ) | | | (35,344 | ) | | | (2,676,190 | ) | | | (34,267 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 624,848 | | | | 6,768 | | | | 979,352 | | | | 12,497 | |
| Institutional Plus Shares | | | | | | | | | | | | | | | | |
| Issued | | | 4,078,076 | | | | 19,134 | | | | 4,070,964 | | | | 21,239 | |
| Issued in Lieu of Cash Distributions | | | 124,757 | | | | 595 | | | | 167,460 | | | | 859 | |
| Redeemed | | | (6,384,747 | ) | | | (29,774 | ) | | | (9,232,955 | ) | | | (46,977 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | | (2,181,914 | ) | | | (10,045 | ) | | | (4,994,531 | ) | | | (24,879 | ) |
| Institutional Select Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,470,354 | | | | 25,181 | | | | 6,309,970 | | | | 48,778 | |
| Issued in Lieu of Cash Distributions | | | 216,956 | | | | 1,590 | | | | 117,295 | | | | 904 | |
| Redeemed | | | (916,958 | ) | | | (6,630 | ) | | | (562,874 | ) | | | (4,468 | ) |
| Net Increase (Decrease)—Institutional Select Shares | | | 2,770,352 | | | | 20,141 | | | | 5,864,391 | | | | 45,214 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Mid-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
| Mid-Cap Index Fund Investor Shares | -9.34% | 6.07% | 13.71% | $36,150 |
| Spliced Mid-Cap Index | -9.22 | 6.24 | 13.91 | 36,789 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
Spliced Mid-Cap Index: S&P MidCap 400 Index through May 16, 2003; MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Index Fund | | | | |
| ETF Shares Net Asset Value | -9.21% | 6.21% | 13.87% | $36,640 |
| Spliced Mid-Cap Index | -9.22 | 6.24 | 13.91 | 36,789 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Index Fund Admiral Shares | -9.23% | 6.21% | 13.87% | $36,640 |
| Spliced Mid-Cap Index | -9.22 | 6.24 | 13.91 | 36,789 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Index Fund Institutional Shares | -9.24% | 6.22% | 13.89% | $18,350,815 |
| Spliced Mid-Cap Index | -9.22 | 6.24 | 13.91 | 18,394,652 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 17,312,429 |
| | | | | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $100,000,000 |
| | Year | Years | (12/15/2010) | Investment |
| Mid-Cap Index Fund Institutional Plus Shares | -9.21% | 6.23% | 9.84% | $212,674,371 |
| Spliced Mid-Cap Index | -9.22 | 6.24 | 9.85 | 212,871,936 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 11.14 | 233,841,477 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Mid-Cap Index Fund ETF Shares Market Price | -9.27% | 35.08% | 266.52% |
| Mid-Cap Index Fund ETF Shares Net Asset Value | -9.21 | 35.16 | 266.40 |
| Spliced Mid-Cap Index | -9.22 | 35.37 | 267.89 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Mid-Cap Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 3.7% |
| Consumer Goods | 9.7 |
| Consumer Services | 10.9 |
| Financials | 20.5 |
| Health Care | 9.1 |
| Industrials | 18.8 |
| Oil & Gas | 5.2 |
| Technology | 15.3 |
| Telecommunications | 0.5 |
| Utilities | 6.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Mid-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Common Stocks (99.8%)1 |
| Basic Materials (3.6%) |
| | | Newmont Mining Corp. | | | 12,744,982 | | | | 441,614 | |
| | | International Flavors & Fragrances Inc. | | | 2,550,992 | | | | 342,522 | |
| | | Freeport-McMoRan Inc. | | | 32,938,560 | | | | 339,597 | |
| | | Celanese Corp. Class A | | | 3,199,583 | | | | 287,866 | |
| | | Mosaic Co. | | | 8,305,179 | | | | 242,594 | |
| | | CF Industries Holdings Inc. | | | 5,525,520 | | | | 240,415 | |
| | | FMC Corp. | | | 3,220,982 | | | | 238,224 | |
| | | Eastman Chemical Co. | | | 3,018,029 | | | | 220,648 | |
| | | Albemarle Corp. | | | 2,540,447 | | | | 195,792 | |
| | | Avery Dennison Corp. | | | 2,074,098 | | | | 186,316 | |
| * | | Axalta Coating Systems Ltd. | | | 5,141,661 | | | | 120,418 | |
| | | Reliance Steel & Aluminum Co. | | | 1,600,898 | | | | 113,936 | |
| | | Steel Dynamics Inc. | | | 2,603,877 | | | | 78,220 | |
| | | Westlake Chemical Corp. | | | 926,795 | | | | 61,326 | |
| * | | Alcoa Corp. | | | 2,229,822 | | | | 59,269 | |
| | | | | | | | | | 3,168,757 | |
| Consumer Goods (9.7%) |
| | | Clorox Co. | | | 3,054,361 | | | | 470,799 | |
| | | McCormick & Co. Inc. | | | 2,913,513 | | | | 405,678 | |
| | | Church & Dwight Co. Inc. | | | 5,891,938 | | | | 387,454 | |
| | | Genuine Parts Co. | | | 3,335,270 | | | | 320,253 | |
| * | | Lululemon Athletica Inc. | | | 2,493,353 | | | | 303,217 | |
| | | DR Horton Inc. | | | 8,557,195 | | | | 296,592 | |
| * | | Take-Two Interactive Software Inc. | | | 2,724,911 | | | | 280,502 | |
| | | Lennar Corp. Class A | | | 7,117,566 | | | | 278,653 | |
| | | Hormel Foods Corp. | | | 6,376,389 | | | | 272,144 | |
| | | Lamb Weston Holdings Inc. | | | 3,503,354 | | | | 257,707 | |
| | | Conagra Brands Inc. | | | 11,624,778 | | | | 248,305 | |
| | | JM Smucker Co. | | | 2,587,109 | | | | 241,869 | |
| | | Molson Coors Brewing Co. Class B | | | 4,211,997 | | | | 236,546 | |
| | | Tapestry Inc. | | | 6,937,982 | | | | 234,157 | |
| | | Hasbro Inc. | | | 2,722,392 | | | | 221,194 | |
| * | | NVR Inc. | | | 82,115 | | | | 200,113 | |
| | | Aptiv plc | | | 3,151,883 | | | | 194,061 | |
| | | Lear Corp. | | | 1,534,714 | | | | 188,555 | |
| | | Tyson Foods Inc. Class A | | | 3,529,263 | | | | 188,463 | |
| | | Newell Brands Inc. | | | 10,050,222 | | | | 186,834 | |
| | | Garmin Ltd. | | | 2,936,119 | | | | 185,915 | |
| | | BorgWarner Inc. | | | 4,983,203 | | | | 173,116 | |
| * | | LKQ Corp. | | | 7,230,936 | | | | 171,590 | |
| | | Bunge Ltd. | | | 3,206,105 | | | | 171,334 | |
| | | PVH Corp. | | | 1,834,467 | | | | 170,514 | |
| * | | Mohawk Industries Inc. | | | 1,420,049 | | | | 166,089 | |
| | | Whirlpool Corp. | | | 1,526,507 | | | | 163,138 | |
| | | PulteGroup Inc. | | | 6,047,585 | | | | 157,177 | |
| *,^ | | Campbell Soup Co. | | | 4,674,652 | | | | 154,217 | |
| | | Ralph Lauren Corp. Class A | | | 1,305,136 | | | | 135,029 | |
| * | | WABCO Holdings Inc. | | | 1,248,084 | | | | 133,969 | |
| | | Harley-Davidson Inc. | | | 3,895,574 | | | | 132,917 | |
| * | | Michael Kors Holdings Ltd. | | | 3,414,829 | | | | 129,490 | |
| | | Fortune Brands Home & Security Inc. | | | 3,384,084 | | | | 128,561 | |
| | | Jefferies Financial Group Inc. | | | 6,572,918 | | | | 114,106 | |
| | | Hanesbrands Inc. | | | 8,635,841 | | | | 108,207 | |
| | | Polaris Industries Inc. | | | 1,405,093 | | | | 107,742 | |
| *,^ | | Under Armour Inc. Class A | | | 4,498,401 | | | | 79,487 | |
| | | Ingredion Inc. | | | 844,355 | | | | 77,174 | |
| *,^ | | Under Armour Inc. | | | 4,595,418 | | | | 74,308 | |
| | | Coty Inc. Class A | | | 10,767,028 | | | | 70,632 | |
| | | Keurig Dr Pepper Inc. | | | 2,493,848 | | | | 63,942 | |
| *,^ | | Wayfair Inc. | | | 701,873 | | | | 63,225 | |
| | | Goodyear Tire & Rubber Co. | | | 2,787,246 | | | | 56,888 | |
| * | | Elanco Animal Health Inc. | | | 1,749,996 | | | | 55,177 | |
| | | Lennar Corp. Class B | | | 212,981 | | | | 6,673 | |
| | | | | | | | | | 8,463,713 | |
Mid-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Consumer Services (10.9%) |
| * | | Dollar Tree Inc. | | | 5,691,777 | | | | 514,081 | |
| | | Royal Caribbean Cruises Ltd. | | | 4,000,498 | | | | 391,209 | |
| * | | Ulta Beauty Inc. | | | 1,358,689 | | | | 332,661 | |
| | | Expedia Group Inc. | | | 2,769,995 | | | | 312,040 | |
| | | Darden Restaurants Inc. | | | 2,969,876 | | | | 296,572 | |
| | | Best Buy Co. Inc. | | | 5,521,792 | | | | 292,434 | |
| * | | Chipotle Mexican Grill Inc. Class A | | | 664,722 | | | | 287,020 | |
| | | MGM Resorts International | | | 11,355,561 | | | | 275,486 | |
| | | Kohl’s Corp. | | | 3,990,237 | | | | 264,712 | |
| * | | CarMax Inc. | | | 4,179,536 | | | | 262,182 | |
| | | Advance Auto Parts Inc. | | | 1,656,575 | | | | 260,844 | |
| * | | AutoZone Inc. | | | 305,718 | | | | 256,296 | |
| | | Domino’s Pizza Inc. | | | 995,047 | | | | 246,762 | |
| | | Tractor Supply Co. | | | 2,920,089 | | | | 243,652 | |
| * | | Copart Inc. | | | 5,042,207 | | | | 240,917 | |
| * | | United Continental Holdings Inc. | | | 2,771,677 | | | | 232,072 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 5,262,520 | | | | 223,078 | |
| | | Tiffany & Co. | | | 2,770,083 | | | | 223,019 | |
| | | Macy’s Inc. | | | 7,348,137 | | | | 218,828 | |
| | | Wynn Resorts Ltd. | | | 2,210,999 | | | | 218,690 | |
| | | Viacom Inc. Class B | | | 8,452,758 | | | | 217,236 | |
| | | Nielsen Holdings plc | | | 8,496,740 | | | | 198,229 | |
| | | Omnicom Group Inc. | | | 2,679,831 | | | | 196,271 | |
| * | | Qurate Retail Group Inc. QVC Group Class A | | | 10,051,847 | | | | 196,212 | |
| | | Interpublic Group of Cos. Inc. | | | 9,193,044 | | | | 189,652 | |
| * | | Discovery Communications Inc. | | | 8,190,972 | | | | 189,048 | |
| * | | Liberty Broadband Corp. | | | 2,543,013 | | | | 183,173 | |
| | | FactSet Research Systems Inc. | | | 909,832 | | | | 182,085 | |
| | | Alaska Air Group Inc. | | | 2,949,625 | | | | 179,485 | |
| | | Gap Inc. | | | 6,901,744 | | | | 177,789 | |
| | | Aramark | | | 5,901,920 | | | | 170,979 | |
| | | L Brands Inc. | | | 5,592,920 | | | | 143,570 | |
| * | | Liberty Media Corp- Liberty SiriusXM Class C | | | 3,857,996 | | | | 142,669 | |
| | | AmerisourceBergen Corp. Class A | | | 1,901,264 | | | | 141,454 | |
| | | Altice USA Inc. Class A | | | 8,416,875 | | | | 139,047 | |
| | | News Corp. Class A | | | 11,767,567 | | | | 133,562 | |
| | | Nordstrom Inc. | | | 2,828,882 | | | | 131,854 | |
| * | | DISH Network Corp. Class A | | | 5,210,226 | | | | 130,099 | |
| | | Rollins Inc. | | | 3,524,722 | | | | 127,242 | |
| | | Vail Resorts Inc. | | | 484,283 | | | | 102,097 | |
| *,^ | | Discovery Communications Inc. Class A | | | 3,562,600 | | | | 88,139 | |
| * | | GrubHub Inc. | | | 1,083,411 | | | | 83,217 | |
| * | | Live Nation Entertainment Inc. | | | 1,632,024 | | | | 80,377 | |
| * | | Liberty Media Corp-Liberty SiriusXM Class A | | | 1,965,457 | | | | 72,329 | |
| * | | TripAdvisor Inc. | | | 1,267,553 | | | | 68,372 | |
| | | Hyatt Hotels Corp. Class A | | | 971,192 | | | | 65,653 | |
| | | Wyndham Hotels & Resorts Inc. | | | 1,189,757 | | | | 53,979 | |
| * | | Liberty Broadband Corp. Class A | | | 609,163 | | | | 43,744 | |
| *,^ | | Carvana Co. Class A | | | 414,954 | | | | 13,573 | |
| | | Viacom Inc. Class A | | | 246,165 | | | | 6,846 | |
| | | News Corp. Class B | | | 356,118 | | | | 4,113 | |
| | | | | | | | | | 9,444,650 | |
| Financials (20.5%) |
| | | Moody’s Corp. | | | 3,896,358 | | | | 545,646 | |
| | | Digital Realty Trust Inc. | | | 4,932,378 | | | | 525,545 | |
| | | Realty Income Corp. | | | 7,061,260 | | | | 445,142 | |
| * | | SBA Communications Corp. Class A | | | 2,711,420 | | | | 438,952 | |
| | | M&T Bank Corp. | | | 3,022,485 | | | | 432,608 | |
| * | | IHS Markit Ltd. | | | 8,488,325 | | | | 407,185 | |
| | | Essex Property Trust Inc. | | | 1,580,799 | | | | 387,628 | |
| | | Hartford Financial Services Group Inc. | | | 8,582,825 | | | | 381,507 | |
| | | KeyCorp | | | 24,752,127 | | | | 365,836 | |
| * | | First Republic Bank | | | 3,939,779 | | | | 342,367 | |
| | | Citizens Financial Group Inc. | | | 11,194,877 | | | | 332,824 | |
| | | Regions Financial Corp. | | | 24,735,101 | | | | 330,956 | |
| * | | Markel Corp. | | | 315,626 | | | | 327,636 | |
| | | Arthur J Gallagher & Co. | | | 4,394,514 | | | | 323,876 | |
| | | HCP Inc. | | | 11,243,974 | | | | 314,044 | |
| * | | CBRE Group Inc. Class A | | | 7,748,696 | | | | 310,258 | |
| | | Annaly Capital Management Inc. | | | 31,432,638 | | | | 308,668 | |
| | | Huntington Bancshares Inc. | | | 25,390,835 | | | | 302,659 | |
| | | Principal Financial Group Inc. | | | 6,772,423 | | | | 299,138 | |
| | | Alexandria Real Estate Equities Inc. | | | 2,572,273 | | | | 296,429 | |
| | | Host Hotels & Resorts Inc. | | | 17,756,006 | | | | 295,993 | |
| | | MSCI Inc. Class A | | | 2,000,487 | | | | 294,932 | |
| | | AvalonBay Communities Inc. | | | 1,653,803 | | | | 287,844 | |
Mid-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| | | Cincinnati Financial Corp. | | | 3,699,510 | | | | 286,416 | |
| | | Loews Corp. | | | 6,011,549 | | | | 273,646 | |
| | | Equifax Inc. | | | 2,885,782 | | | | 268,753 | |
| | | E*TRADE Financial Corp. | | | 6,085,149 | | | | 267,016 | |
| | | Comerica Inc. | | | 3,867,558 | | | | 265,663 | |
| | | Cboe Global Markets Inc. | | | 2,684,018 | | | | 262,577 | |
| | | Lincoln National Corp. | | | 5,112,527 | | | | 262,324 | |
| | | UDR Inc. | | | 6,591,479 | | | | 261,154 | |
| | | Mid-America Apartment Communities Inc. | | | 2,723,298 | | | | 260,620 | |
| | | Extra Space Storage Inc. | | | 2,876,863 | | | | 260,299 | |
| | | Vornado Realty Trust | | | 4,096,525 | | | | 254,107 | |
| * | | Arch Capital Group Ltd. | | | 9,204,929 | | | | 245,956 | |
| * | | SVB Financial Group | | | 1,273,821 | | | | 241,924 | |
| | | KKR & Co. Inc. Class A | | | 12,025,159 | | | | 236,054 | |
| | | Raymond James Financial Inc. | | | 3,087,922 | | | | 229,772 | |
| | | Regency Centers Corp. | | | 3,850,710 | | | | 225,960 | |
| | | Nasdaq Inc. | | | 2,745,190 | | | | 223,925 | |
| | | Ally Financial Inc. | | | 9,880,101 | | | | 223,883 | |
| | | Iron Mountain Inc. | | | 6,854,121 | | | | 222,142 | |
| | | Duke Realty Corp. | | | 8,571,441 | | | | 222,000 | |
| | | AGNC Investment Corp. | | | 12,627,603 | | | | 221,488 | |
| | | Everest Re Group Ltd. | | | 972,338 | | | | 211,736 | |
| | | Reinsurance Group of America Inc. Class A | | | 1,501,421 | | | | 210,544 | |
| | | Alleghany Corp. | | | 337,149 | | | | 210,152 | |
| | | Federal Realty Investment Trust | | | 1,766,924 | | | | 208,568 | |
| | | Fidelity National Financial Inc. | | | 6,254,208 | | | | 196,632 | |
| | | Camden Property Trust | | | 2,227,891 | | | | 196,166 | |
| | | Zions Bancorp NA | | | 4,596,304 | | | | 187,253 | |
| | | Western Union Co. | | | 10,592,584 | | | | 180,709 | |
| | | Torchmark Corp. | | | 2,400,857 | | | | 178,936 | |
| | | VEREIT Inc. | | | 23,142,848 | | | | 165,471 | |
| | | Invesco Ltd. | | | 9,837,454 | | | | 164,679 | |
| | | WR Berkley Corp. | | | 2,190,873 | | | | 161,927 | |
| | | SL Green Realty Corp. | | | 2,039,433 | | | | 161,278 | |
| | | SEI Investments Co. | | | 3,348,372 | | | | 154,695 | |
| | | Unum Group | | | 5,231,906 | | | | 153,713 | |
| * | | Black Knight Inc. | | | 3,395,368 | | | | 152,995 | |
| | | Voya Financial Inc. | | | 3,720,175 | | | | 149,328 | |
| * | | Athene Holding Ltd. Class A | | | 3,745,923 | | | | 149,200 | |
| | | Macerich Co. | | | 3,373,818 | | | | 146,019 | |
| | | Kimco Realty Corp. | | | 9,576,210 | | | | 140,291 | |
| | | Jones Lang LaSalle Inc. | | | 1,089,936 | | | | 137,986 | |
| | | Invitation Homes Inc. | | | 6,849,322 | | | | 137,534 | |
| | | People’s United Financial Inc. | | | 9,031,151 | | | | 130,320 | |
| | | Affiliated Managers Group Inc. | | | 1,260,495 | | | | 122,823 | |
| | | Franklin Resources Inc. | | | 3,378,782 | | | | 100,215 | |
| | | AXA Equitable Holdings Inc. | | | 5,048,840 | | | | 83,962 | |
| | | Lazard Ltd. Class A | | | 1,555,976 | | | | 57,431 | |
| | | CIT Group Inc. | | | 1,265,844 | | | | 48,444 | |
| | | New York Community Bancorp Inc. | | | 8,110 | | | | 76 | |
| * | | Brighthouse Financial Inc. | | | 2,102 | | | | 64 | |
| | | | | | | | | | 17,812,499 | |
| Health Care (9.0%) |
| * | | Edwards Lifesciences Corp. | | | 5,001,620 | | | | 766,098 | |
| * | | Centene Corp. | | | 4,667,693 | | | | 538,185 | |
| * | | IQVIA Holdings Inc. | | | 4,073,683 | | | | 473,240 | |
| | | ResMed Inc. | | | 3,409,651 | | | | 388,257 | |
| * | | IDEXX Laboratories Inc. | | | 2,063,325 | | | | 383,820 | |
| * | | Align Technology Inc. | | | 1,818,099 | | | | 380,765 | |
| * | | BioMarin Pharmaceutical Inc. | | | 4,260,530 | | | | 362,784 | |
| * | | ABIOMED Inc. | | | 1,023,589 | | | | 332,707 | |
| * | | Laboratory Corp. of America Holdings | | | 2,414,343 | | | | 305,076 | |
| | | Cooper Cos. Inc. | | | 1,175,855 | | | | 299,255 | |
| * | | Henry Schein Inc. | | | 3,647,723 | | | | 286,419 | |
| | | Teleflex Inc. | | | 1,100,362 | | | | 284,422 | |
| * | | Hologic Inc. | | | 6,918,468 | | | | 284,349 | |
| * | | WellCare Health Plans Inc. | | | 1,196,249 | | | | 282,422 | |
| * | | Incyte Corp. | | | 4,327,043 | | | | 275,157 | |
| | | Quest Diagnostics Inc. | | | 3,254,885 | | | | 271,034 | |
| * | | Varian Medical Systems Inc. | | | 2,179,608 | | | | 246,971 | |
| | | Universal Health Services Inc. Class B | | | 2,039,382 | | | | 237,710 | |
| | | Dentsply Sirona Inc. | | | 5,323,599 | | | | 198,091 | |
| * | | Jazz Pharmaceuticals plc | | | 1,370,778 | | | | 169,922 | |
| | | Cardinal Health Inc. | | | 3,570,200 | | | | 159,231 | |
| * | | Alnylam Pharmaceuticals Inc. | | | 2,175,072 | | | | 158,585 | |
| * | | DaVita Inc. | | | 2,977,969 | | | | 153,246 | |
| * | | Seattle Genetics Inc. | | | 2,490,223 | | | | 141,096 | |
| * | | Nektar Therapeutics Class A | | | 4,140,589 | | | | 136,101 | |
| * | | DexCom Inc. | | | 1,062,953 | | | | 127,342 | |
| | | Perrigo Co. plc | | | 2,926,356 | | | | 113,396 | |
| * | | Alkermes plc | | | 3,719,953 | | | | 109,776 | |
| | | | | | | | | | 7,865,457 | |
| Industrials (18.8%) |
| * | | Fiserv Inc. | | | 9,533,830 | | | | 700,641 | |
| | | Roper Technologies Inc. | | | 2,474,630 | | | | 659,538 | |
| | | Amphenol Corp. Class A | | | 7,209,832 | | | | 584,141 | |
| * | | Worldpay Inc. Class A | | | 7,222,105 | | | | 551,985 | |
| | | Willis Towers Watson plc | | | 3,108,941 | | | | 472,124 | |
| | | Waste Connections Inc. | | | 6,305,171 | | | | 468,159 | |
Mid-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| * | | Verisk Analytics Inc. Class A | | | 3,741,911 | | | | 408,018 | |
| * | | FleetCor Technologies Inc. | | | 2,121,756 | | | | 394,053 | |
| | | Global Payments Inc. | | | 3,785,513 | | | | 390,400 | |
| * | | TransDigm Group Inc. | | | 1,135,929 | | | | 386,284 | |
| | | AMETEK Inc. | | | 5,553,282 | | | | 375,957 | |
| | | Ball Corp. | | | 8,116,085 | | | | 373,178 | |
| | | Fastenal Co. | | | 6,868,821 | | | | 359,171 | |
| | | Cintas Corp. | | | 2,046,154 | | | | 343,733 | |
| * | | Mettler-Toledo International Inc. | | | 599,119 | | | | 338,850 | |
| | | L3 Technologies Inc. | | | 1,883,052 | | | | 327,011 | |
| * | | Waters Corp. | | | 1,721,814 | | | | 324,820 | |
| | | WW Grainger Inc. | | | 1,145,526 | | | | 323,451 | |
| | | Total System Services Inc. | | | 3,928,965 | | | | 319,386 | |
| | | Vulcan Materials Co. | | | 3,159,785 | | | | 312,187 | |
| * | | CoStar Group Inc. | | | 871,261 | | | | 293,911 | |
| | | Xylem Inc. | | | 4,300,489 | | | | 286,929 | |
| | | Expeditors International of Washington Inc. | | | 4,128,567 | | | | 281,114 | |
| | | CH Robinson Worldwide Inc. | | | 3,289,194 | | | | 276,588 | |
| | | Broadridge Financial Solutions Inc. | | | 2,792,896 | | | | 268,816 | |
| | | Martin Marietta Materials Inc. | | | 1,500,224 | | | | 257,843 | |
| | | TransUnion | | | 4,432,677 | | | | 251,776 | |
| | | Dover Corp. | | | 3,500,464 | | | | 248,358 | |
| | | Textron Inc. | | | 5,230,728 | | | | 240,561 | |
| | | Kansas City Southern | | | 2,435,033 | | | | 232,424 | |
| | | Westrock Co. | | | 6,139,692 | | | | 231,835 | |
| | | Old Dominion Freight Line Inc. | | | 1,759,962 | | | | 217,338 | |
| * | | First Data Corp. Class A | | | 12,819,941 | | | | 216,785 | |
| | | Masco Corp. | | | 7,304,929 | | | | 213,596 | |
| | | Jacobs Engineering Group Inc. | | | 3,402,426 | | | | 198,906 | |
| * | | United Rentals Inc. | | | 1,939,527 | | | | 198,860 | |
| * | | Trimble Inc. | | | 6,007,929 | | | | 197,721 | |
| * | | Square Inc. | | | 3,504,267 | | | | 196,554 | |
| | | Huntington Ingalls Industries Inc. | | | 1,027,536 | | | | 195,550 | |
| | | Snap-on Inc. | | | 1,343,775 | | | | 195,237 | |
| | | JB Hunt Transport Services Inc. | | | 2,089,177 | | | | 194,377 | |
| | | Packaging Corp. of America | | | 2,260,403 | | | | 188,653 | |
| * | | Sensata Technologies Holding plc | | | 3,926,435 | | | | 176,061 | |
| | | Arconic Inc. | | | 10,403,346 | | | | 175,400 | |
| * | | XPO Logistics Inc. | | | 3,036,729 | | | | 173,215 | |
| | | Alliance Data Systems Corp. | | | 1,107,570 | | | | 166,224 | |
| | | Robert Half International Inc. | | | 2,760,396 | | | | 157,895 | |
| | | Pentair plc | | | 4,152,322 | | | | 156,875 | |
| | | Wabtec Corp. | | | 2,080,086 | | | | 146,126 | |
| * | | Arrow Electronics Inc. | | | 2,085,216 | | | | 143,776 | |
| * | | Keysight Technologies Inc. | | | 2,232,109 | | | | 138,569 | |
| | | Allison Transmission Holdings Inc. | | | 3,101,533 | | | | 136,188 | |
| * | | Crown Holdings Inc. | | | 3,234,541 | | | | 134,460 | |
| | | Sealed Air Corp. | | | 3,754,930 | | | | 130,822 | |
| | | Hubbell Inc. Class B | | | 1,308,830 | | | | 130,019 | |
| | | Jack Henry & Associates Inc. | | | 925,172 | | | | 117,053 | |
| | | Owens Corning | | | 2,616,364 | | | | 115,068 | |
| | | Fluor Corp. | | | 3,367,543 | | | | 108,435 | |
| | | Xerox Corp. | | | 4,850,947 | | | | 95,855 | |
| * | | IPG Photonics Corp. | | | 831,234 | | | | 94,170 | |
| | | Cognex Corp. | | | 1,953,305 | | | | 75,534 | |
| | | AO Smith Corp. | | | 1,718,399 | | | | 73,376 | |
| | | FLIR Systems Inc. | | | 1,652,144 | | | | 71,934 | |
| | | Flowserve Corp. | | | 1,564,742 | | | | 59,491 | |
| | | ManpowerGroup Inc. | | | 742,502 | | | | 48,114 | |
| ^ | | ADT Inc. | | | 2,700,260 | | | | 16,229 | |
| | | Acuity Brands Inc. | | | 683 | | | | 79 | |
| | | | | | | | | | 16,337,787 | |
| Oil & Gas (5.2%) |
| | | ONEOK Inc. | | | 9,840,559 | | | | 530,898 | |
| * | | Concho Resources Inc. | | | 4,790,781 | | | | 492,444 | |
| | | Diamondback Energy Inc. | | | 3,925,794 | | | | 363,921 | |
| * | | Cheniere Energy Inc. | | | 5,531,555 | | | | 327,413 | |
| | | Marathon Oil Corp. | | | 19,892,137 | | | | 285,253 | |
| | | Hess Corp. | | | 6,735,212 | | | | 272,776 | |
| | | Devon Energy Corp. | | | 10,637,312 | | | | 239,765 | |
| | | Apache Corp. | | | 9,086,469 | | | | 238,520 | |
| | | National Oilwell Varco Inc. | | | 9,177,810 | | | | 235,870 | |
| | | Cabot Oil & Gas Corp. | | | 10,313,517 | | | | 230,507 | |
| | | Noble Energy Inc. | | | 11,475,028 | | | | 215,272 | |
| | | HollyFrontier Corp. | | | 4,144,427 | | | | 211,863 | |
| | | Targa Resources Corp. | | | 5,482,840 | | | | 197,492 | |
| | | OGE Energy Corp. | | | 4,778,279 | | | | 187,261 | |
| | | Cimarex Energy Co. | | | 2,287,506 | | | | 141,025 | |
| | | Baker Hughes a GE Co. Class A | | | 6,141,406 | | | | 132,040 | |
| * | | Continental Resources Inc. | | | 2,252,257 | | | | 90,518 | |
| | | Helmerich & Payne Inc. | | | 1,238,213 | | | | 59,360 | |
| * | | Equitrans Midstream Corp. | | | 2,439,252 | | | | 48,834 | |
| | | EQT Corp. | | | 4,441 | | | | 84 | |
| * | | Antero Resources Corp. | | | 4,392 | | | | 41 | |
| | | | | | | | | | 4,501,157 | |
Mid-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Other (0.0%)2 |
| *,§, | | American International Group Inc. Warrants Exp. 01/19/2021 | | | 8,771 | | | | — | |
| | | | | | | | | | | |
| Technology (15.3%) |
| * | | Red Hat Inc. | | | 4,223,939 | | | | 741,893 | |
| * | | Autodesk Inc. | | | 5,230,503 | | | | 672,695 | |
| | | Xilinx Inc. | | | 6,054,443 | | | | 515,657 | |
| * | | Twitter Inc. | | | 16,392,764 | | | | 471,128 | |
| | | Motorola Solutions Inc. | | | 3,912,668 | | | | 450,113 | |
| * | | Advanced Micro Devices Inc. | | | 22,717,411 | | | | 419,363 | |
| | | Microchip Technology Inc. | | | 5,658,972 | | | | 406,993 | |
| * | | Palo Alto Networks Inc. | | | 2,143,849 | | | | 403,794 | |
| * | | Cerner Corp. | | | 7,489,611 | | | | 392,755 | |
| * | | VeriSign Inc. | | | 2,603,249 | | | | 386,036 | |
| * | | ServiceNow Inc. | | | 2,145,203 | | | | 381,953 | |
| | | Harris Corp. | | | 2,815,291 | | | | 379,079 | |
| * | | Splunk Inc. | | | 3,508,466 | | | | 367,863 | |
| | | NetApp Inc. | | | 6,026,377 | | | | 359,594 | |
| * | | IAC/InterActiveCorp | | | 1,859,861 | | | | 340,429 | |
| | | Maxim Integrated Products Inc. | | | 6,627,986 | | | | 337,033 | |
| | | KLA-Tencor Corp. | | | 3,662,842 | | | | 327,788 | |
| | | Citrix Systems Inc. | | | 3,062,907 | | | | 313,825 | |
| * | | Synopsys Inc. | | | 3,555,931 | | | | 299,552 | |
| * | | Cadence Design Systems Inc. | | | 6,749,947 | | | | 293,488 | |
| | | CDW Corp. | | | 3,589,160 | | | | 290,901 | |
| * | | ANSYS Inc. | | | 1,999,644 | | | | 285,829 | |
| | | Skyworks Solutions Inc. | | | 4,246,937 | | | | 284,630 | |
| * | | Workday Inc. Class A | | | 1,782,313 | | | | 284,600 | |
| | | Symantec Corp. | | | 14,525,637 | | | | 274,462 | |
| * | | Arista Networks Inc. | | | 1,263,717 | | | | 266,265 | |
| * | | Gartner Inc. | | | 2,063,927 | | | | 263,852 | |
| * | | Veeva Systems Inc. Class A | | | 2,914,334 | | | | 260,308 | |
| * | | GoDaddy Inc. Class A | | | 3,800,355 | | | | 249,379 | |
| * | | Fortinet Inc. | | | 3,464,583 | | | | 244,011 | |
| | | Western Digital Corp. | | | 6,582,436 | | | | 243,353 | |
| | | SS&C Technologies Holdings Inc. | | | 5,391,007 | | | | 243,188 | |
| | | Marvell Technology Group Ltd. | | | 14,962,273 | | | | 242,239 | |
| | | Seagate Technology plc | | | 6,161,246 | | | | 237,763 | |
| * | | F5 Networks Inc. | | | 1,450,274 | | | | 234,988 | |
| * | | Akamai Technologies Inc. | | | 3,701,144 | | | | 226,066 | |
| | | Juniper Networks Inc. | | | 8,256,006 | | | | 222,169 | |
| * | | Qorvo Inc. | | | 2,988,047 | | | | 181,464 | |
| * | | Dell Technologies Inc. | | | 3,264,357 | | | | 159,529 | |
| | | CDK Global Inc. | | | 3,080,706 | | | | 147,504 | |
| *,^ | | Snap Inc. | | | 14,039,971 | | | | 77,360 | |
| *,^ | | Dropbox Inc. Class A | | | 3,608,743 | | | | 73,727 | |
| ^ | | Match Group Inc. | | | 1,223,870 | | | | 52,345 | |
| | | LogMeIn Inc. | | | 915 | | | | 75 | |
| | | | | | | | | | 13,307,038 | |
| Telecommunications (0.5%) |
| | | CenturyLink Inc. | | | 23,269,889 | | | | 352,539 | |
| * | | Zayo Group Holdings Inc. | | | 4,813,838 | | | | 109,948 | |
| | | | | | | | | | 462,487 | |
| Utilities (6.3%) |
| | | WEC Energy Group Inc. | | | 7,550,142 | | | | 522,923 | |
| | | Eversource Energy | | | 7,581,878 | | | | 493,125 | |
| | | DTE Energy Co. | | | 4,353,003 | | | | 480,136 | |
| | | FirstEnergy Corp. | | | 12,237,198 | | | | 459,507 | |
| | | American Water Works Co. Inc. | | | 4,321,108 | | | | 392,227 | |
| | | Ameren Corp. | | | 5,839,916 | | | | 380,938 | |
| | | Entergy Corp. | | | 4,334,309 | | | | 373,054 | |
| | | Evergy Inc. | | | 6,304,549 | | | | 357,909 | |
| | | CenterPoint Energy Inc. | | | 11,989,183 | | | | 338,455 | |
| | | CMS Energy Corp. | | | 6,779,851 | | | | 336,619 | |
| * | | Alliant Energy Corp. | | | 5,646,101 | | | | 238,548 | |
| | | AES Corp. | | | 15,842,651 | | | | 229,085 | |
| | | Pinnacle West Capital Corp. | | | 2,681,210 | | | | 228,439 | |
| | | NiSource Inc. | | | 8,844,631 | | | | 224,211 | |
| * | | Vistra Energy Corp. | | | 9,653,471 | | | | 220,968 | |
| * | | PG&E Corp. | | | 6,203,356 | | | | 147,330 | |
| | | Avangrid Inc. | | | 1,476,419 | | | | 73,954 | |
| | | | | | | | | | 5,497,428 | |
| Total Common Stocks | | | | | | | | |
| (Cost $72,139,154) | | | | | | | 86,860,973 | |
| Temporary Cash Investments (0.5%)1 | | | | | | | | |
| Money Market Fund (0.5%) | | | | | | | | |
| 3,4 | | Vanguard Market Liquidity Fund, 2.530% | | | 4,002,922 | | | | 400,292 | |
| | | | | Face | | | | |
| | | | | Amount | | | | |
| | | | | ($000 | ) | | | |
| U.S. Government and Agency Obligations (0.0%) |
| 5 | | United States Treasury Bill, 2.194%, 1/24/19 | | | 5,000 | | | | 4,993 | |
| 5 | | United States Treasury Bill, 2.282%, 2/7/19 | | | 11,000 | | | | 10,974 | |
| | | | | | | | | | 15,967 | |
| Total Temporary Cash Investments | | | | | | | | |
| (Cost $416,221) | | | | | | | 416,259 | |
| Total Investments (100.3%) | | | | | | | | |
| (Cost $72,555,375) | | | | | | | 87,277,232 | |
Mid-Cap Index Fund
| | | Amount | |
| | | ($000 | ) |
| Other Assets and Liabilities (-0.3%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 5,056 | |
| Receivables for Investment Securities Sold | | | 395 | |
| Receivables for Accrued Income | | | 113,039 | |
| Receivables for Capital Shares Issued | | | 307,849 | |
| Variation Margin Receivable—Futures Contracts | | | 1,898 | |
| Other Assets | | | 262 | |
| Total Other Assets | | | 428,499 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (229,702 | ) |
| Collateral for Securities on Loan | | | (187,969 | ) |
| Payables for Capital Shares Redeemed | | | (251,652 | ) |
| Payables to Vanguard | | | (27,961 | ) |
| Total Liabilities | | | (697,284 | ) |
| Net Assets (100%) | | | 87,008,447 | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 75,535,652 | |
| Total Distributable Earnings (Loss) | | | 11,472,795 | |
| Net Assets | | | 87,008,447 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 80,694,903 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 3,042,778 | |
| Net Asset Value Per Share—Investor Shares | | | $37.71 | |
| ETF Shares—Net Assets | | | | |
| Applicable to 153,973,370 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 21,261,050 | |
| Net Asset Value Per Share—ETF Shares | | | $138.08 | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 203,191,217 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 34,753,810 | |
| Net Asset Value Per Share—Admiral Shares | | | $171.04 | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 437,339,961 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 16,524,396 | |
| Net Asset Value Per Share—Institutional Shares | | | $37.78 | |
| | | | | |
| Institutional Plus Shares—Net Assets | | | | |
| Applicable to 61,319,743 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 11,426,413 | |
| Net Asset Value Per Share—Institutional Plus Shares | | | $186.34 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $176,595,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 0.2%, respectively, of net assets. |
| 2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 | Includes $187,969,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $10,776,000 have been segregated as initial margin for open futures contracts. |
Mid-Cap Index Fund
| Derivative Financial Instruments Outstanding as of Period End |
| | | | | | | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | | | | | | Value and | |
| | | | | | | | Number of | | | | | | | | Unrealized | |
| | | | | | | | Long (Short | ) | | | Notional | | | | Appreciation | |
| | | | Expiration | | | | Contracts | | | | Amount | | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | | | | | | |
| E-mini S&P Mid-Cap 400 Index | | | March 2019 | | | | 815 | | | | 135,469 | | | | (6,002 | ) |
| E-mini S&P 500 Index | | | March 2019 | | | | 593 | | | | 74,279 | | | | (3,443 | ) |
| | | | | | | | | | | | | | | | (9,445 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 1,609,597 | |
| Interest1 | | | 5,335 | |
| Securities Lending—Net | | | 3,416 | |
| Total Income | | | 1,618,348 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 5,482 | |
| Management and Administrative—Investor Shares | | | 5,562 | |
| Management and Administrative—ETF Shares | | | 6,304 | |
| Management and Administrative—Admiral Shares | | | 14,141 | |
| Management and Administrative—Institutional Shares | | | 5,746 | |
| Management and Administrative—Institutional Plus Shares | | | 2,904 | |
| Marketing and Distribution—Investor Shares | | | 595 | |
| Marketing and Distribution—ETF Shares | | | 998 | |
| Marketing and Distribution—Admiral Shares | | | 2,563 | |
| Marketing and Distribution—Institutional Shares | | | 415 | |
| Marketing and Distribution—Institutional Plus Shares | | | 100 | |
| Custodian Fees | | | 210 | |
| Auditing Fees | | | 40 | |
| Shareholders’ Reports—Investor Shares | | | 69 | |
| Shareholders’ Reports—ETF Shares | | | 639 | |
| Shareholders’ Reports—Admiral Shares | | | 386 | |
| Shareholders’ Reports—Institutional Shares | | | 183 | |
| Shareholders’ Reports—Institutional Plus Shares | | | 78 | |
| Trustees’ Fees and Expenses | | | 63 | |
| Total Expenses | | | 46,478 | |
| Net Investment Income | | | 1,571,870 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 2,621,223 | |
| Futures Contracts | | | (19,265 | ) |
| Realized Net Gain (Loss) | | | 2,601,958 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (13,052,883 | ) |
| Futures Contracts | | | (10,791 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (13,063,674 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (8,889,846 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $4,996,000, ($26,000), and $19,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,586,637,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,571,870 | | | | 1,266,266 | |
| Realized Net Gain (Loss) | | | 2,601,958 | | | | 2,275,996 | |
| Change in Unrealized Appreciation (Depreciation) | | | (13,063,674 | ) | | | 11,581,925 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (8,889,846 | ) | | | 15,124,187 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (54,870 | ) | | | (54,622 | ) |
| ETF Shares | | | (379,651 | ) | | | (288,923 | ) |
| Admiral Shares | | | (622,912 | ) | | | (499,540 | ) |
| Institutional Shares | | | (299,399 | ) | | | (242,458 | ) |
| Institutional Plus Shares | | | (207,758 | ) | | | (178,715 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Institutional Plus Shares | | | — | | | | — | |
| Total Distributions | | | (1,564,590 | ) | | | (1,264,258 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (637,108 | ) | | | (763,377 | ) |
| ETF Shares | | | 1,893,336 | | | | 2,280,229 | |
| Admiral Shares | | | 1,163,012 | | | | 2,452,659 | |
| Institutional Shares | | | 281,374 | | | | 1,040,948 | |
| Institutional Plus Shares | | | 29,603 | | | | (627,501 | ) |
| Net Increase (Decrease) from Capital Share Transactions | | | 2,730,217 | | | | 4,382,958 | |
| Total Increase (Decrease) | | | (7,724,219 | ) | | | 18,242,887 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 94,732,666 | | | | 76,489,779 | |
| End of Period | | | 87,008,447 | | | | 94,732,666 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $42.23 | | | | $35.92 | | | | $32.79 | | | | $33.72 | | | | $30.02 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .640 | 1 | | | .520 | 1 | | | .472 | | | | .444 | | | | .387 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | | | | | | | | | | | | | | | |
| on Investments | | | (4.528 | ) | | | 6.313 | | | | 3.138 | | | | (.939 | ) | | | 3.697 | |
| Total from Investment Operations | | | (3.888 | ) | | | 6.833 | | | | 3.610 | | | | (.495 | ) | | | 4.084 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.632 | ) | | | (.523 | ) | | | (.480 | ) | | | (.435 | ) | | | (.384 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.632 | ) | | | (.523 | ) | | | (.480 | ) | | | (.435 | ) | | | (.384 | ) |
| Net Asset Value, End of Period | | | $37.71 | | | | $42.23 | | | | $35.92 | | | | $32.79 | | | | $33.72 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -9.34% | | | | 19.12% | | | | 11.07% | | | | -1.46% | | | | 13.60% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | �� | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $3,043 | | | | $4,047 | | | | $4,138 | | | | $4,140 | | | | $4,607 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.17% | | | | 0.17% | | | | 0.18% | | | | 0.20% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.49% | | | | 1.34% | | | | 1.42% | | | | 1.35% | | | | 1.30% | |
| Portfolio Turnover Rate3 | | | 16% | | | | 14% | | | | 15% | | | | 15% | | | | 11% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $154.65 | | | | $131.55 | | | | $120.07 | | | | $123.50 | | | | $109.96 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.535 | 1 | | | 2.112 | 1 | | | 1.877 | | | | 1.793 | | | | 1.609 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (16.584 | ) | | | 23.076 | | | | 11.510 | | | | (3.457 | ) | | | 13.524 | |
| Total from Investment Operations | | | (14.049 | ) | | | 25.188 | | | | 13.387 | | | | (1.664 | ) | | | 15.133 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.521 | ) | | | (2.088 | ) | | | (1.907 | ) | | | (1.766 | ) | | | (1.593 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.521 | ) | | | (2.088 | ) | | | (1.907 | ) | | | (1.766 | ) | | | (1.593 | ) |
| Net Asset Value, End of Period | | | $138.08 | | | | $154.65 | | | | $131.55 | | | | $120.07 | | | | $123.50 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.21% | | | | 19.25% | | | | 11.23% | | | | -1.34% | | | | 13.76% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $21,261 | | | | $21,937 | | | | $16,544 | | | | $12,984 | | | | $9,879 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.05% | | | | 0.06% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.62% | | | | 1.46% | | | | 1.54% | | | | 1.47% | | | | 1.44% | |
| Portfolio Turnover Rate2 | | | 16% | | | | 14% | | | | 15% | | | | 15% | | | | 11% | |
| 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.
Mid-Cap Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $191.55 | | | | $162.94 | | | | $148.72 | | | | $152.97 | | | | $136.19 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 3.135 | 1 | | | 2.606 | 1 | | | 2.325 | | | | 2.214 | | | | 1.987 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (20.539 | ) | | | 28.591 | | | | 14.257 | | | | (4.284 | ) | | | 16.759 | |
| Total from Investment Operations | | | (17.404 | ) | | | 31.197 | | | | 16.582 | | | | (2.070 | ) | | | 18.746 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (3.106 | ) | | | (2.587 | ) | | | (2.362 | ) | | | (2.180 | ) | | | (1.966 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (3.106 | ) | | | (2.587 | ) | | | (2.362 | ) | | | (2.180 | ) | | | (1.966 | ) |
| Net Asset Value, End of Period | | | $171.04 | | | | $191.55 | | | | $162.94 | | | | $148.72 | | | | $152.97 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -9.23% | | | | 19.25% | | | | 11.22% | | | | -1.34% | | | | 13.76% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $34,754 | | | | $37,778 | | | | $29,854 | | | | $25,061 | | | | $22,125 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.05% | | | | 0.05% | | | | 0.06% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.61% | | | | 1.46% | | | | 1.54% | | | | 1.47% | | | | 1.44% | |
| Portfolio Turnover Rate3 | | | 16% | | | | 14% | | | | 15% | | | | 15% | | | | 11% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $42.32 | | | | $35.99 | | | | $32.85 | | | | $33.79 | | | | $30.08 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .697 | 1 | | | .580 | 1 | | | .516 | | | | .492 | | | | .442 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (4.547 | ) | | | 6.325 | | | | 3.148 | | | | (.947 | ) | | | 3.704 | |
| Total from Investment Operations | | | (3.850 | ) | | | 6.905 | | | | 3.664 | | | | (.455 | ) | | | 4.146 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.690 | ) | | | (.575 | ) | | | (.524 | ) | | | (.485 | ) | | | (.436 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.690 | ) | | | (.575 | ) | | | (.524 | ) | | | (.485 | ) | | | (.436 | ) |
| Net Asset Value, End of Period | | | $37.78 | | | | $42.32 | | | | $35.99 | | | | $32.85 | | | | $33.79 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.24% | | | | 19.29% | | | | 11.23% | | | | -1.33% | | | | 13.78% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $16,524 | | | | $18,222 | | | | $14,540 | | | | $12,278 | | | | $11,172 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.07% | | | | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.62% | | | | 1.47% | | | | 1.55% | | | | 1.48% | | | | 1.45% | |
| Portfolio Turnover Rate2 | | | 16% | | | | 14% | | | | 15% | | | | 15% | | | | 11% | |
| 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.
Mid-Cap Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $208.69 | | | | $177.51 | | | | $162.03 | | | | $166.65 | | | | $148.37 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 3.464 | 1 | | | 2.856 | 1 | | | 2.564 | | | | 2.461 | | | | 2.210 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (22.388 | ) | | | 31.179 | | | | 15.524 | | | | (4.657 | ) | | | 18.256 | |
| Total from Investment Operations | | | (18.924 | ) | | | 34.035 | | | | 18.088 | | | | (2.196 | ) | | | 20.466 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (3.426 | ) | | | (2.855 | ) | | | (2.608 | ) | | | (2.424 | ) | | | (2.186 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (3.426 | ) | | | (2.855 | ) | | | (2.608 | ) | | | (2.424 | ) | | | (2.186 | ) |
| Net Asset Value, End of Period | | | $186.34 | | | | $208.69 | | | | $177.51 | | | | $162.03 | | | | $166.65 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -9.21% | | | | 19.28% | | | | 11.24% | | | | -1.30% | | | | 13.79% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $11,426 | | | | $12,749 | | | | $11,415 | | | | $11,260 | | | | $11,144 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.03% | | | | 0.03% | | | | 0.04% | | | | 0.05% | | | | 0.06% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.63% | | | | 1.48% | | | | 1.56% | | | | 1.50% | | | | 1.47% | |
| Portfolio Turnover Rate2 | | | 16% | | | | 14% | | | | 15% | | | | 15% | | | | 11% | |
| 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.
Mid-Cap Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the year ended December 31, 2018, 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.
Mid-Cap 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. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Mid-Cap Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $5,056,000, representing 0.01% of the fund’s net assets and 2.02% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | ($000 | ) | | ($000 | ) | | ($000 | ) |
| Common Stocks | | | 86,860,973 | | | | — | | | | — | |
| Temporary Cash Investments | | | 400,292 | | | | 15,967 | | | | — | |
| Futures Contracts—Assets1 | | | 1,898 | | | | — | | | | — | |
| Total | | | 87,263,163 | | | | 15,967 | | | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
Mid-Cap Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and the expiration of capital loss carryforwards were reclassified between the following accounts:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 2,291,669 | |
| Total Distributable Earnings (Loss) | | | (2,291,669 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000 | ) |
| Undistributed Ordinary Income | | | 8,897 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (3,231,710 | ) |
| Net Unrealized Gains (Losses) | | | 14,721,857 | |
As of December 31, 2018, 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 | | | 72,555,375 | |
| Gross Unrealized Appreciation | | | 20,869,398 | |
| Gross Unrealized Depreciation | | | (6,147,541 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 14,721,857 | |
E. During the year ended December 31, 2018, the fund purchased $23,363,113,000 of investment securities and sold $20,143,163,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,020,917,000 and $5,045,369,000, 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 year ended December 31, 2018, such purchases and sales were $2,028,698,000 and $2,740,362,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Mid-Cap Index Fund
F. Capital share transactions for each class of shares were:
| | | | | | | | | Year Ended December 31, | |
| | | | | | 2018 | | | | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 460,927 | | | | 10,697 | | | | 591,922 | | | | 15,227 | |
| Issued in Lieu of Cash Distributions | | | 51,976 | | | | 1,246 | | | | 52,012 | | | | 1,309 | |
| Redeemed | | | (1,150,011 | ) | | | (27,085 | ) | | | (1,407,311 | ) | | | (35,892 | ) |
| Net Increase (Decrease)—Investor Shares | | | (637,108 | ) | | | (15,142 | ) | | | (763,377 | ) | | | (19,356 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 7,020,300 | | | | 44,451 | | | | 7,088,373 | | | | 49,186 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (5,126,964 | ) | | | (32,325 | ) | | | (4,808,144 | ) | | | (33,100 | ) |
| Net Increase (Decrease)—ETF Shares | | | 1,893,336 | | | | 12,126 | | | | 2,280,229 | | | | 16,086 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 6,872,425 | | | | 35,591 | | | | 7,466,229 | | | | 42,217 | |
| Issued in Lieu of Cash Distributions | | | 554,067 | | | | 2,934 | | | | 445,641 | | | | 2,467 | |
| Redeemed | | | (6,263,480 | ) | | | (32,554 | ) | | | (5,459,211 | ) | | | (30,687 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 1,163,012 | | | | 5,971 | | | | 2,452,659 | | | | 13,997 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 3,474,371 | | | | 81,423 | | | | 3,757,479 | | | | 96,177 | |
| Issued in Lieu of Cash Distributions | | | 279,478 | | | | 6,699 | | | | 225,430 | | | | 5,650 | |
| Redeemed | | | (3,472,475 | ) | | | (81,398 | ) | | | (2,941,961 | ) | | | (75,169 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 281,374 | | | | 6,724 | | | | 1,040,948 | | | | 26,658 | |
| Institutional Plus Shares | | | | | | | | | | | | | | | | |
| Issued | | | 1,225,456 | | | | 5,922 | | | | 1,279,307 | | | | 6,695 | |
| Issued in Lieu of Cash Distributions | | | 204,431 | | | | 993 | | | | 173,883 | | | | 885 | |
| Redeemed | | | (1,400,284 | ) | | | (6,687 | ) | | | (2,080,691 | ) | | | (10,791 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | | 29,603 | | | | 228 | | | | (627,501 | ) | | | (3,211 | ) |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Mid-Cap Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | | Average Annual Total Returns
Periods Ended December 31, 2018 | | | |
| | | | One
Year | | Five
Years | | Ten
Years | | Final Value
of a $10,000
Investment |
| Mid-Cap Growth Index Fund Investor Shares | | | -5.74 | % | | | 6.51 | % | | | 13.99 | % | | | $37,038 |
| Spliced Mid-Cap Growth Index | | | -5.57 | | | | 6.70 | | | | 14.21 | | | | 37,762 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
Spliced Mid-Cap Growth Index: MSCI US Mid Cap Growth Index through April 16, 2013; CRSP US Mid Cap Growth Index thereafter.
| | | One
Year | | Five
Years | | Ten
Years | | Final Value
of a $10,000
Investment |
| Mid-Cap Growth Index Fund ETF Shares Net Asset Value | | | -5.60 | % | | | 6.65 | % | | | 14.15 | % | | | $37,560 |
| Spliced Mid-Cap Growth Index | | | -5.57 | | | | 6.70 | | | | 14.21 | | | | 37,762 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Growth Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Mid-Cap Growth Index Fund Admiral Shares | -5.60% | 6.65% | 11.33% | $21,796 |
| Spliced Mid-Cap Growth Index | -5.57 | 6.70 | 11.37 | 21,854 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.07 | 24,403 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Mid-Cap Growth Index Fund ETF Shares Market Price | -5.64% | 37.88% | 276.07% |
| Mid-Cap Growth Index Fund ETF Shares Net Asset Value | -5.60 | 37.95 | 275.60 |
| Spliced Mid-Cap Growth Index | -5.57 | 38.32 | 277.62 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Mid-Cap Growth Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 1.1% |
| Consumer Goods | 6.3 |
| Consumer Services | 8.4 |
| Financials | 17.3 |
| Health Care | 13.1 |
| Industrials | 25.3 |
| Oil & Gas | 6.2 |
| Technology | 22.0 |
| Telecommunications | 0.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Mid-Cap Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Common Stocks (99.8%)1 | | | | | | | | |
| Basic Materials (1.1%) | | | | | | | | |
| | | CF Industries Holdings Inc. | | | 1,344,853 | | | | 58,515 | |
| | | FMC Corp. | | | 392,433 | | | | 29,024 | |
| | | Steel Dynamics Inc. | | | 636,519 | | | | 19,121 | |
| * | | Axalta Coating Systems Ltd. | | | 627,941 | | | | 14,706 | |
| | | | | | | | | | 121,366 | |
| Consumer Goods (6.3%) | | | | | | | | |
| | | McCormick & Co. Inc. | | | 710,332 | | | | 98,907 | |
| | | Church & Dwight Co. Inc. | | | 1,435,780 | | | | 94,417 | |
| * | | Lululemon Athletica Inc. | | | 608,095 | | | | 73,950 | |
| * | | Take-Two Interactive Software Inc. | | | 663,549 | | | | 68,306 | |
| | | Lamb Weston Holdings Inc. | | | 853,743 | | | | 62,801 | |
| * | | NVR Inc. | | | 20,010 | | | | 48,764 | |
| * | | LKQ Corp. | | | 1,761,504 | | | | 41,801 | |
| | | Hormel Foods Corp. | | | 776,789 | | | | 33,153 | |
| * | | WABCO Holdings Inc. | | | 304,476 | | | | 32,682 | |
| | | Fortune Brands Home & Security Inc. | | | 826,365 | | | | 31,394 | |
| | | Polaris Industries Inc. | | | 342,006 | | | | 26,225 | |
| * | | Mohawk Industries Inc. | | | 173,365 | | | | 20,277 | |
| *,^ | | Under Armour Inc. Class A | | | 1,092,996 | | | | 19,313 | |
| * | | Under Armour Inc. | | | 1,121,174 | | | | 18,129 | |
| *,^ | | Wayfair Inc. | | | 171,069 | | | | 15,410 | |
| | | | | | | | | | 685,529 | |
| Consumer Services (8.4%) | | | | | | | | |
| * | | Dollar Tree Inc. | | | 1,387,447 | | | | 125,314 | |
| * | | Ulta Beauty Inc. | | | 331,328 | | | | 81,122 | |
| | | Expedia Group Inc. | | | 675,423 | | | | 76,086 | |
| * | | Chipotle Mexican Grill Inc. Class A | | | 161,938 | | | | 69,923 | |
| * | | CarMax Inc. | | | 1,018,525 | | | | 63,892 | |
| | | Domino’s Pizza Inc. | | | 242,381 | | | | 60,108 | |
| | | Tractor Supply Co. | | | 711,302 | | | | 59,351 | |
| * | | Copart Inc. | | | 1,227,317 | | | | 58,641 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 1,281,934 | | | | 54,341 | |
| | | Wynn Resorts Ltd. | | | 538,572 | | | | 53,270 | |
| | | FactSet Research Systems Inc. | | | 221,646 | | | | 44,358 | |
| | | Rollins Inc. | | | 858,471 | | | | 30,991 | |
| | | Tiffany & Co. | | | 338,102 | | | | 27,221 | |
| | | Vail Resorts Inc. | | | 117,847 | | | | 24,845 | |
| * | | GrubHub Inc. | | | 264,268 | | | | 20,299 | |
| * | | Live Nation Entertainment Inc. | | | 397,141 | | | | 19,559 | |
| * | | TripAdvisor Inc. | | | 309,396 | | | | 16,689 | |
| | | Hyatt Hotels Corp. Class A | | | 236,750 | | | | 16,004 | |
| | | Wyndham Hotels & Resorts Inc. | | | 145,528 | | | | 6,603 | |
| *,^ | | Carvana Co. Class A | | | 101,775 | | | | 3,329 | |
| | | | | | | | | | 911,946 | |
| Financials (17.2%) | | | | | | | | |
| | | Moody’s Corp. | | | 949,961 | | | | 133,033 | |
| | | Digital Realty Trust Inc. | | | 1,203,053 | | | | 128,185 | |
| | | Realty Income Corp. | | | 1,721,405 | | | | 108,517 | |
| * | | SBA Communications Corp. Class A | | | 660,994 | | | | 107,008 | |
| * | | IHS Markit Ltd. | | | 2,069,537 | | | | 99,276 | |
| | | Essex Property Trust Inc. | | | 385,416 | | | | 94,508 | |
| * | | First Republic Bank | | | 960,584 | | | | 83,475 | |
| * | | Markel Corp. | | | 76,926 | | | | 79,853 | |
| * | | CBRE Group Inc. Class A | | | 1,889,758 | | | | 75,666 | |
| | | Alexandria Real Estate Equities Inc. | | | 626,580 | | | | 72,207 | |
| | | MSCI Inc. Class A | | | 487,326 | | | | 71,846 | |
| | | AvalonBay Communities Inc. | | | 402,760 | | | | 70,100 | |
| | | Equifax Inc. | | | 702,615 | | | | 65,435 | |
| | | E*TRADE Financial Corp. | | | 1,481,466 | | | | 65,007 | |
| | | Cboe Global Markets Inc. | | | 653,821 | | | | 63,963 | |
| | | Mid-America Apartment Communities Inc. | | | 663,502 | | | | 63,497 | |
| | | Extra Space Storage Inc. | | | 700,355 | | | | 63,368 | |
| | | Vornado Realty Trust | | | 998,688 | | | | 61,949 | |
Mid-Cap Growth Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| * | | SVB Financial Group | | | 310,731 | | | | 59,014 | |
| | | Regency Centers Corp. | | | 938,695 | | | | 55,083 | |
| | | Iron Mountain Inc. | | | 1,669,629 | | | | 54,113 | |
| | | Federal Realty Investment Trust | | | 430,892 | | | | 50,862 | |
| | | Arthur J Gallagher & Co. | | | 535,262 | | | | 39,449 | |
| | | SEI Investments Co. | | | 817,611 | | | | 37,774 | |
| * | | Black Knight Inc. | | | 827,214 | | | | 37,274 | |
| | | Invitation Homes Inc. | | | 1,671,561 | | | | 33,565 | |
| | | | | | | | | | 1,874,027 | |
| Health Care (13.1%) | | | | | | | | |
| * | | Edwards Lifesciences Corp. | | | 1,219,005 | | | | 186,715 | |
| * | | Centene Corp. | | | 1,137,757 | | | | 131,183 | |
| * | | IQVIA Holdings Inc. | | | 993,113 | | | | 115,370 | |
| | | ResMed Inc. | | | 830,497 | | | | 94,569 | |
| * | | IDEXX Laboratories Inc. | | | 503,068 | | | | 93,581 | |
| * | | Align Technology Inc. | | | 443,294 | | | | 92,839 | |
| * | | BioMarin Pharmaceutical Inc. | | | 1,038,875 | | | | 88,460 | |
| * | | ABIOMED Inc. | | | 249,674 | | | | 81,154 | |
| | | Cooper Cos. Inc. | | | 286,774 | | | | 72,984 | |
| | | Teleflex Inc. | | | 267,944 | | | | 69,258 | |
| * | | WellCare Health Plans Inc. | | | 291,425 | | | | 68,803 | |
| * | | Incyte Corp. | | | 1,054,050 | | | | 67,027 | |
| * | | Varian Medical Systems Inc. | | | 531,891 | | | | 60,269 | |
| * | | Jazz Pharmaceuticals plc | | | 334,047 | | | | 41,408 | |
| * | | Alnylam Pharmaceuticals Inc. | | | 529,850 | | | | 38,631 | |
| * | | Seattle Genetics Inc. | | | 606,574 | | | | 34,369 | |
| * | | Nektar Therapeutics Class A | | | 1,008,590 | | | | 33,152 | |
| * | | DexCom Inc. | | | 258,848 | | | | 31,010 | |
| * | | Alkermes plc | | | 905,455 | | | | 26,720 | |
| | | | | | | | | | 1,427,502 | |
| Industrials (25.3%) | | | | | | | | |
| * | | Fiserv Inc. | | | 2,323,601 | | | | 170,761 | |
| | | Roper Technologies Inc. | | | 603,145 | | | | 160,750 | |
| | | Amphenol Corp. Class A | | | 1,757,458 | | | | 142,389 | |
| * | | Worldpay Inc. Class A | | | 1,760,492 | | | | 134,554 | |
| | | Waste Connections Inc. | | | 1,536,966 | | | | 114,120 | |
| * | | Verisk Analytics Inc. Class A | | | 912,287 | | | | 99,476 | |
| * | | FleetCor Technologies Inc. | | | 517,315 | | | | 96,076 | |
| | | Global Payments Inc. | | | 922,976 | | | | 95,187 | |
| * | | TransDigm Group Inc. | | | 276,956 | | | | 94,182 | |
| | | AMETEK Inc. | | | 1,354,206 | | | | 91,680 | |
| | | Fastenal Co. | | | 1,674,795 | | | | 87,575 | |
| | | Cintas Corp. | | | 498,973 | | | | 83,822 | |
| * | | Mettler-Toledo International Inc. | | | 146,132 | | | | 82,649 | |
| * | | Waters Corp. | | | 419,878 | | | | 79,210 | |
| | | Total System Services Inc. | | | 958,135 | | | | 77,887 | |
| | | Vulcan Materials Co. | | | 770,440 | | | | 76,119 | |
| * | | CoStar Group Inc. | | | 212,221 | | | | 71,591 | |
| | | Expeditors International of Washington Inc. | | | 1,005,666 | | | | 68,476 | |
| | | Broadridge Financial Solutions Inc. | | | 680,320 | | | | 65,481 | |
| | | Martin Marietta Materials Inc. | | | 365,443 | | | | 62,809 | |
| | | TransUnion | | | 1,079,777 | | | | 61,331 | |
| | | Kansas City Southern | | | 592,573 | | | | 56,561 | |
| | | Old Dominion Freight Line Inc. | | | 428,706 | | | | 52,941 | |
| | | Masco Corp. | | | 1,780,192 | | | | 52,053 | |
| * | | Trimble Inc. | | | 1,463,452 | | | | 48,162 | |
| * | | Square Inc. | | | 853,631 | | | | 47,880 | |
| | | Snap-on Inc. | | | 327,734 | | | | 47,616 | |
| | | JB Hunt Transport Services Inc. | | | 509,958 | | | | 47,447 | |
| | | Packaging Corp. of America | | | 551,294 | | | | 46,011 | |
| * | | Sensata Technologies Holding plc | | | 956,489 | | | | 42,889 | |
| * | | XPO Logistics Inc. | | | 739,731 | | | | 42,194 | |
| | | Robert Half International Inc. | | | 672,459 | | | | 38,465 | |
| | | Wabtec Corp. | | | 506,691 | | | | 35,595 | |
| | | Xylem Inc. | | | 523,616 | | | | 34,936 | |
| | | CH Robinson Worldwide Inc. | | | 401,467 | | | | 33,759 | |
| | | Jack Henry & Associates Inc. | | | 225,204 | | | | 28,493 | |
| * | | United Rentals Inc. | | | 236,300 | | | | 24,228 | |
| * | | IPG Photonics Corp. | | | 202,262 | | | | 22,914 | |
| | | Cognex Corp. | | | 476,876 | | | | 18,441 | |
| | | AO Smith Corp. | | | 419,235 | | | | 17,901 | |
| ^ | | ADT Inc. | | | 659,627 | | | | 3,964 | |
| | | | | | | | | | 2,758,575 | |
| Oil & Gas (6.2%) | | | | | | | | |
| | | ONEOK Inc. | | | 2,399,261 | | | | 129,440 | |
| * | | Concho Resources Inc. | | | 1,168,012 | | | | 120,060 | |
| | | Diamondback Energy Inc. | | | 957,314 | | | | 88,743 | |
| * | | Cheniere Energy Inc. | | | 1,349,087 | | | | 79,852 | |
| | | Apache Corp. | | | 2,211,613 | | | | 58,055 | |
| | | Cabot Oil & Gas Corp. | | | 2,512,474 | | | | 56,154 | |
| | | Targa Resources Corp. | | | 1,336,033 | | | | 48,124 | |
| | | Cimarex Energy Co. | | | 557,173 | | | | 34,350 | |
| | | Noble Energy Inc. | | | 1,397,864 | | | | 26,224 | |
| * | | Continental Resources Inc. | | | 548,209 | | | | 22,033 | |
| | | Helmerich & Payne Inc. | | | 302,698 | | | | 14,511 | |
| | | | | | | | | | 677,546 | |
| Technology (22.0%) | | | | | | | | |
| * | | Red Hat Inc. | | | 1,029,463 | | | | 180,815 | |
| * | | Autodesk Inc. | | | 1,274,962 | | | | 163,973 | |
| | | Xilinx Inc. | | | 1,475,801 | | | | 125,694 | |
Mid-Cap Growth Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| * | | Twitter Inc. | | | 3,996,138 | | | | 114,849 | |
| * | | Advanced Micro Devices Inc. | | | 5,538,896 | | | | 102,248 | |
| | | Microchip Technology Inc. | | | 1,379,690 | | | | 99,227 | |
| * | | Palo Alto Networks Inc. | | | 522,696 | | | | 98,450 | |
| * | | Cerner Corp. | | | 1,826,051 | | | | 95,758 | |
| * | | VeriSign Inc. | | | 634,718 | | | | 94,122 | |
| * | | ServiceNow Inc. | | | 523,009 | | | | 93,122 | |
| | | Harris Corp. | | | 686,437 | | | | 92,429 | |
| * | | Splunk Inc. | | | 855,471 | | | | 89,696 | |
| * | | IAC/InterActiveCorp | | | 453,502 | | | | 83,009 | |
| | | Citrix Systems Inc. | | | 746,000 | | | | 76,435 | |
| * | | Cadence Design Systems Inc. | | | 1,646,564 | | | | 71,593 | |
| * | | ANSYS Inc. | | | 487,666 | | | | 69,707 | |
| * | | Workday Inc. Class A | | | 434,495 | | | | 69,380 | |
| | | Skyworks Solutions Inc. | | | 1,034,501 | | | | 69,332 | |
| * | | Arista Networks Inc. | | | 307,675 | | | | 64,827 | |
| * | | Gartner Inc. | | | 502,744 | | | | 64,271 | |
| * | | Veeva Systems Inc. Class A | | | 710,169 | | | | 63,432 | |
| * | | GoDaddy Inc. Class A | | | 925,704 | | | | 60,745 | |
| * | | Fortinet Inc. | | | 844,174 | | | | 59,455 | |
| | | SS&C Technologies Holdings Inc. | | | 1,313,210 | | | | 59,239 | |
| * | | F5 Networks Inc. | | | 353,278 | | | | 57,242 | |
| * | | Akamai Technologies Inc. | | | 901,566 | | | | 55,068 | |
| | | KLA-Tencor Corp. | | | 445,995 | | | | 39,912 | |
| | | CDK Global Inc. | | | 750,378 | | | | 35,928 | |
| *,^ | | Snap Inc. | | | 3,425,680 | | | | 18,875 | |
| * | | Dropbox Inc. Class A | | | 881,192 | | | | 18,003 | |
| ^ | | Match Group Inc. | | | 297,915 | | | | 12,742 | |
| | | | | | | | | | 2,399,578 | |
| Telecommunications (0.2%) | | | | | | | | |
| * | | Zayo Group Holdings Inc. | | | 1,171,688 | | | | 26,761 | |
| Total Common Stocks | | | | | | | | |
| (Cost $9,545,281) | | | | | | | 10,882,830 | |
| Temporary Cash Investments (0.4%)1 | | | | | | | | |
| Money Market Fund (0.4%) | | | | | | | | |
| 2,3 | | Vanguard Market Liquidity Fund, 2.530% | | | 456,941 | | | | 45,694 | |
| | | | | Face | | | Market | |
| | | | | Amount | | | Value• | |
| | | | | ($000) | | | ($000) | |
| | U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| | | United States Treasury Bill, 2.280%, 2/21/19 | | | 500 | | | | 498 | |
| 4 | | United States Treasury Bill, 2.480%, 5/9/19 | | | 1,700 | | | | 1,686 | |
| | | | | | | | | | 2,184 | |
| Total Temporary Cash Investments | | | | | | | | |
| (Cost $47,874) | | | | | | | 47,878 | |
| Total Investments (100.2%) | | | | | | | | |
| (Cost $9,593,155) | | | | | | | 10,930,708 | |
| | | Amount | |
| | | | ($000 | ) |
| Other Assets and Liabilities (-0.2%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 641 | |
| Receivables for Investment Securities Sold | | | 7,443 | |
| Receivables for Accrued Income | | | 7,809 | |
| Receivables for Capital Shares Issued | | | 15,621 | |
| Variation Margin Receivable— Futures Contracts | | | 234 | |
| Total Other Assets | | | 31,748 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (12,230 | ) |
| Collateral for Securities on Loan | | | (29,817 | ) |
| Payables for Capital Shares Redeemed | | | (12,584 | ) |
| Payables to Vanguard | | | (2,678 | ) |
| Other Liabilities | | | (488 | ) |
| Total Liabilities | | | (57,797 | ) |
| Net Assets (100%) | | | 10,904,659 | |
Mid-Cap Growth Index Fund
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 10,290,985 | |
| Total Distributable Earnings (Loss) | | | 613,674 | |
| Net Assets | | | 10,904,659 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 8,602,406 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 404,525 | |
| Net Asset Value Per Share— Investor Shares | | | $47.02 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 41,447,700 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 4,956,326 | |
| Net Asset Value Per Share— ETF Shares | | | $119.58 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 107,696,499 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 5,543,808 | |
| Net Asset Value Per Share— Admiral Shares | | | $51.48 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $27,967,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets. |
| 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 | Includes $29,817,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $1,249,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End |
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P Mid-Cap 400 Index | March 2019 | 120 | 19,946 | (525) |
| E-mini S&P 500 Index | March 2019 | 40 | 5,010 | (235) |
| | | | | (760) |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 99,855 | |
| Interest1 | | | 722 | |
| Securities Lending—Net | | | 554 | |
| Total Income | | | 101,131 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 1,839 | |
| Management and Administrative—Investor Shares | | | 754 | |
| Management and Administrative—ETF Shares | | | 2,258 | |
| Management and Administrative—Admiral Shares | | | 2,782 | |
| Marketing and Distribution—Investor Shares | | | 89 | |
| Marketing and Distribution—ETF Shares | | | 221 | |
| Marketing and Distribution—Admiral Shares | | | 463 | |
| Custodian Fees | | | 39 | |
| Auditing Fees | | | 37 | |
| Shareholders’ Reports—Investor Shares | | | 14 | |
| Shareholders’ Reports—ETF Shares | | | 512 | |
| Shareholders’ Reports—Admiral Shares | | | 83 | |
| Trustees’ Fees and Expenses | | | 8 | |
| Total Expenses | | | 9,099 | |
| Net Investment Income | | | 92,032 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 393,773 | |
| Futures Contracts | | | (2,313 | ) |
| Realized Net Gain (Loss) | | | 391,460 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (1,154,310 | ) |
| Futures Contracts | | | (929 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (1,155,239 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (671,747 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $681,000, ($17,000), and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $553,461,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 92,032 | | | | 76,920 | |
| Realized Net Gain (Loss) | | | 391,460 | | | | 196,999 | |
| Change in Unrealized Appreciation (Depreciation) | | | (1,155,239 | ) | | | 1,618,425 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (671,747 | ) | | | 1,892,344 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (3,034 | ) | | | (3,236 | ) |
| ETF Shares | | | (41,585 | ) | | | (35,438 | ) |
| Admiral Shares | | | (46,318 | ) | | | (38,832 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Total Distributions | | | (90,937 | ) | | | (77,506 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (65,592 | ) | | | (58,359 | ) |
| ETF Shares | | | 175,603 | | | | 734,241 | |
| Admiral Shares | | | 273,260 | | | | 833,930 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 383,271 | | | | 1,509,812 | |
| Total Increase (Decrease) | | | (379,413 | ) | | | 3,324,650 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 11,284,072 | | | | 7,959,422 | |
| End of Period | | | 10,904,659 | | | | 11,284,072 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $50.21 | | | | $41.52 | | | | $39.22 | | | | $39.94 | | | | $35.46 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .333 | 1 | | | .304 | 1 | | | .290 | | | | .268 | | | | .258 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (3.193 | ) | | | 8.692 | | | | 2.299 | | | | (.719 | ) | | | 4.476 | |
| Total from Investment Operations | | | (2.860 | ) | | | 8.996 | | | | 2.589 | | | | (.451 | ) | | | 4.734 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.330 | ) | | | (.306 | ) | | | (.289 | ) | | | (.269 | ) | | | (.254 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.330 | ) | | | (.306 | ) | | | (.289 | ) | | | (.269 | ) | | | (.254 | ) |
| Net Asset Value, End of Period | | | $47.02 | | | | $50.21 | | | | $41.52 | | | | $39.22 | | | | $39.94 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -5.74% | | | | 21.72% | | | | 6.62% | | | | -1.13% | | | | 13.35% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $405 | | | | $495 | | | | $460 | | | | $542 | | | | $562 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.19% | | | | 0.19% | | | | 0.19% | | | | 0.20% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 0.64% | | | | 0.67% | | | | 0.74% | | | | 0.70% | | | | 0.79% | |
| Portfolio Turnover Rate3 | | | 25% | | | | 23% | | | | 21% | | | | 23% | | | | 17% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $127.67 | | | | $105.60 | | | | $99.75 | | | | $101.57 | | | | $90.20 | |
| Investment Operations | | �� | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.016 | 1 | | | .932 | 1 | | | .863 | | | | .805 | | | | .816 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (8.101 | ) | | | 22.058 | | | | 5.848 | | | | (1.815 | ) | | | 11.359 | |
| Total from Investment Operations | | | (7.085 | ) | | | 22.990 | | | | 6.711 | | | | (1.010 | ) | | | 12.175 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.005 | ) | | | (.920 | ) | | | (.861 | ) | | | (.810 | ) | | | (.805 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.005 | ) | | | (.920 | ) | | | (.861 | ) | | | (.810 | ) | | | (.805 | ) |
| Net Asset Value, End of Period | | | $119.58 | | | | $127.67 | | | | $105.60 | | | | $99.75 | | | | $101.57 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -5.60% | | | | 21.83% | | | | 6.75% | | | | -1.00% | | | | 13.49% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $4,956 | | | | $5,130 | | | | $3,576 | | | | $3,302 | | | | $2,716 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.07% | | | | 0.07% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 0.76% | | | | 0.79% | | | | 0.86% | | | | 0.82% | | | | 0.93% | |
| Portfolio Turnover Rate2 | | | 25% | | | | 23% | | | | 21% | | | | 23% | | | | 17% | |
| 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.
Mid-Cap Growth Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $54.96 | | | | $45.46 | | | | $42.94 | | | | $43.72 | | | | $38.83 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .437 | 1 | | | .400 | 1 | | | .370 | | | | .349 | | | | .350 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (3.485 | ) | | | 9.496 | | | | 2.519 | | | | (.777 | ) | | | 4.886 | |
| Total from Investment Operations | | | (3.048 | ) | | | 9.896 | | | | 2.889 | | | | (.428 | ) | | | 5.236 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.432 | ) | | | (.396 | ) | | | (.369 | ) | | | (.352 | ) | | | (.346 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.432 | ) | | | (.396 | ) | | | (.369 | ) | | | (.352 | ) | | | (.346 | ) |
| Net Asset Value, End of Period | | | $51.48 | | | | $54.96 | | | | $45.46 | | | | $42.94 | | | | $43.72 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -5.60% | | | | 21.83% | | | | 6.75% | | | | -0.98% | | | | 13.48% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $5,544 | | | | $5,659 | | | | $3,923 | | | | $3,319 | | | | $2,264 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.07% | | | | 0.07% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 0.76% | | | | 0.79% | | | | 0.86% | | | | 0.82% | | | | 0.93% | |
| Portfolio Turnover Rate3 | | | 25% | | | | 23% | | | | 21% | | | | 23% | | | | 17% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, ETF Shares, and Admiral 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty isk 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 assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the year ended December 31, 2018, 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.
Mid-Cap Growth 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. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Mid-Cap Growth Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $641,000, representing 0.01% of the fund’s net assets and 0.26% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | | ($000 | ) | | | ($000 | ) | | | ($000 | ) |
| Common Stocks | | | 10,882,830 | | | | — | | | | — | |
| Temporary Cash Investments | | | 45,694 | | | | 2,184 | | | | — | |
| Futures Contracts—Assets1 | | | 234 | | | | — | | | | — | |
| Total | | | 10,928,758 | | | | 2,184 | | | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
Mid-Cap Growth Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and the expiration of capital loss carryforwards were reclassified between the following accounts:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 480,247 | |
| Total Distributable Earnings (Loss) | | | (480,247 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | | ($000 | ) |
| Undistributed Ordinary Income | | | 583 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (722,181 | ) |
| Net Unrealized Gains (Losses) | | | 1,337,553 | |
As of December 31, 2018, 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 | | | 9,593,155 | |
| Gross Unrealized Appreciation | | | 2,217,326 | |
| Gross Unrealized Depreciation | | | (879,773 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 1,337,553 | |
E. During the year ended December 31, 2018, the fund purchased $4,704,917,000 of investment securities and sold $4,303,145,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,242,988,000 and $1,268,517,000, 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 year ended December 31, 2018, such purchases and sales were $661,641,000 and $950,704,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Mid-Cap Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | | ($000 | ) | | | (000 | ) | | | ($000 | ) | | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 118,555 | | | | 2,262 | | | | 144,647 | | | | 3,165 | |
| Issued in Lieu of Cash Distributions | | | 2,914 | | | | 57 | | | | 3,117 | | | | 66 | |
| Redeemed | | | (187,061 | ) | | | (3,566 | ) | | | (206,123 | ) | | | (4,466 | ) |
| Net Increase (Decrease)—Investor Shares | | | (65,592 | ) | | | (1,247 | ) | | | (58,359 | ) | | | (1,235 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 1,459,320 | | | | 10,767 | | | | 1,524,417 | | | | 12,818 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (1,283,717 | ) | | | (9,500 | ) | | | (790,176 | ) | | | (6,500 | ) |
| Net Increase (Decrease)—ETF Shares | | | 175,603 | | | | 1,267 | | | | 734,241 | | | | 6,318 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 1,646,436 | | | | 28,824 | | | | 1,742,853 | | | | 34,515 | |
| Issued in Lieu of Cash Distributions | | | 42,295 | | | | 757 | | | | 35,702 | | | | 692 | |
| Redeemed | | | (1,415,471 | ) | | | (24,858 | ) | | | (944,625 | ) | | | (18,543 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 273,260 | | | | 4,723 | | | | 833,930 | | | | 16,664 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Mid-Cap Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
| Mid-Cap Value Index Fund Investor Shares | -12.53% | 5.62% | 13.31% | $34,890 |
| Spliced Mid-Cap Value Index | -12.42 | 5.79 | 13.52 | 35,549 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
Spliced Mid-Cap Value Index: MSCI US Mid Cap Value Index through April 16, 2013; CRSP US Mid Cap Value Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Value Index Fund | | | | |
| ETF Shares Net Asset Value | -12.41% | 5.75% | 13.46% | $35,343 |
| Spliced Mid-Cap Value Index | -12.42 | 5.79 | 13.52 | 35,549 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Value Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Mid-Cap Value Index Fund Admiral Shares | -12.42% | 5.75% | 12.21% | $23,083 |
| Spliced Mid-Cap Value Index | -12.42 | 5.79 | 12.27 | 23,169 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.07 | 24,403 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Mid-Cap Value Index Fund ETF Shares Market Price | -12.46% | 32.20% | 253.66% |
| Mid-Cap Value Index Fund ETF Shares Net AssetValue | -12.41 | 32.27 | 253.43 |
| Spliced Mid-Cap Value Index | -12.42 | 32.50 | 255.49 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Mid-Cap Value Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 6.3% |
| Consumer Goods | 13.4 |
| Consumer Services | 13.5 |
| Financials | 24.0 |
| Health Care | 4.8 |
| Industrials | 11.9 |
| Oil & Gas | 4.1 |
| Technology | 8.2 |
| Telecommunications | 0.8 |
| Utilities | 13.0 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Mid-Cap Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Common Stocks (99.6%)1 | | | | | | | | |
| Basic Materials (6.3%) | | | | | | | | |
| | | Newmont Mining Corp. | | | 4,855,121 | | | | 168,230 | |
| | | International Flavors & Fragrances Inc. | | | 971,863 | | | | 130,492 | |
| | | Freeport-McMoRan Inc. | | | 12,547,634 | | | | 129,366 | |
| | | Celanese Corp. Class A | | | 1,219,105 | | | | 109,683 | |
| | | Mosaic Co. | | | 3,162,449 | | | | 92,375 | |
| | | Eastman Chemical Co. | | | 1,149,018 | | | | 84,005 | |
| | | Albemarle Corp. | | | 967,891 | | | | 74,595 | |
| | | Avery Dennison Corp. | | | 790,208 | | | | 70,984 | |
| | | FMC Corp. | | | 613,598 | | | | 45,382 | |
| | | Reliance Steel & Aluminum Co. | | | 609,835 | | | | 43,402 | |
| | | Westlake Chemical Corp. | | | 353,133 | | | | 23,367 | |
| * | | Axalta Coating Systems Ltd. | | | 979,009 | | | | 22,928 | |
| * | | Alcoa Corp. | | | 849,789 | | | | 22,588 | |
| | | | | | | | | | 1,017,397 | |
| Consumer Goods (13.3%) | | | | | | | | |
| | | Clorox Co. | | | 1,163,575 | | | | 179,353 | |
| | | Genuine Parts Co. | | | 1,270,841 | | | | 122,026 | |
| | | DR Horton Inc. | | | 3,258,817 | | | | 112,951 | |
| | | Lennar Corp. Class A | | | 2,678,951 | | | | 104,881 | |
| | | Conagra Brands Inc. | | | 4,426,526 | | | | 94,551 | |
| | | JM Smucker Co. | | | 985,134 | | | | 92,100 | |
| | | Molson Coors Brewing Co. Class B | | | 1,605,083 | | | | 90,141 | |
| | | Tapestry Inc. | | | 2,641,780 | | | | 89,160 | |
| | | Hasbro Inc. | | | 1,037,903 | | | | 84,330 | |
| | | Aptiv plc | | | 1,200,940 | | | | 73,942 | |
| | | Lear Corp. | | | 584,899 | | | | 71,861 | |
| | | Tyson Foods Inc. Class A | | | 1,344,676 | | | | 71,806 | |
| | | Newell Brands Inc. | | | 3,828,707 | | | | 71,176 | |
| | | Garmin Ltd. | | | 1,118,374 | | | | 70,815 | |
| | | BorgWarner Inc. | | | 1,898,774 | | | | 65,963 | |
| | | Bunge Ltd. | | | 1,221,491 | | | | 65,276 | |
| | | PVH Corp. | | | 699,128 | | | | 64,984 | |
| | | Whirlpool Corp. | | | 581,503 | | | | 62,145 | |
| | | PulteGroup Inc. | | | 2,303,613 | | | | 59,871 | |
| * | | Campbell Soup Co. | | | 1,780,991 | | | | 58,755 | |
| | | Hormel Foods Corp. | | | 1,214,636 | | | | 51,841 | |
| | | Ralph Lauren Corp. Class A | | | 497,201 | | | | 51,440 | |
| | | Harley-Davidson Inc. | | | 1,483,956 | | | | 50,632 | |
| * | | Michael Kors Holdings Ltd. | | | 1,300,657 | | | | 49,321 | |
| | | Jefferies Financial Group Inc. | | | 2,502,629 | | | | 43,446 | |
| | | Hanesbrands Inc. | | | 3,287,480 | | | | 41,192 | |
| * | | Mohawk Industries Inc. | | | 270,484 | | | | 31,636 | |
| | | Ingredion Inc. | | | 322,171 | | | | 29,446 | |
| | | Coty Inc. Class A | | | 4,106,855 | | | | 26,941 | |
| | | Keurig Dr Pepper Inc. | | | 949,438 | | | | 24,344 | |
| | | Goodyear Tire & Rubber Co. | | | 1,061,683 | | | | 21,669 | |
| * | | Elanco Animal Health Inc. | | | 666,412 | | | | 21,012 | |
| | | Lennar Corp. Class B | | | 122,627 | | | | 3,842 | |
| | | | | | | | | | 2,152,849 | |
| Consumer Services (13.5%) | | | | | | | | |
| | | Royal Caribbean Cruises Ltd. | | | 1,523,832 | | | | 149,015 | |
| | | Darden Restaurants Inc. | | | 1,131,259 | | | | 112,967 | |
| | | Best Buy Co. Inc. | | | 2,103,320 | | | | 111,392 | |
| | | MGM Resorts International | | | 4,324,969 | | | | 104,924 | |
| | | Kohl’s Corp. | | | 1,519,680 | | | | 100,816 | |
| | | Advance Auto Parts Inc. | | | 631,241 | | | | 99,395 | |
| * | | AutoZone Inc. | | | 116,491 | | | | 97,659 | |
| * | | United Continental Holdings Inc. | | | 1,056,124 | | | | 88,429 | |
| | | Macy’s Inc. | | | 2,800,412 | | | | 83,396 | |
| | | Viacom Inc. Class B | | | 3,209,421 | | | | 82,482 | |
| | | Nielsen Holdings plc | | | 3,238,142 | | | | 75,546 | |
| | | Omnicom Group Inc. | | | 1,021,530 | | | | 74,817 | |
| * | | Qurate Retail Group Inc. QVC Group Class A | | | 3,828,972 | | | | 74,741 | |
| | | Interpublic Group of Cos. Inc. | | | 3,502,790 | | | | 72,263 | |
Mid-Cap Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| * | | Discovery Communications Inc. | | | 3,123,157 | | | | 72,082 | |
| * | | Liberty Broadband Corp. | | | 973,673 | | | | 70,134 | |
| | | Alaska Air Group Inc. | | | 1,123,662 | | | | 68,375 | |
| | | Gap Inc. | | | 2,629,466 | | | | 67,735 | |
| | | Aramark | | | 2,248,418 | | | | 65,137 | |
| | | L Brands Inc. | | | 2,130,727 | | | | 54,696 | |
| * | | Liberty Media Corp- Liberty SiriusXM Class C | | | 1,468,268 | | | | 54,296 | |
| | | AmerisourceBergen Corp. Class A | | | 724,281 | | | | 53,886 | |
| | | Altice USA Inc. Class A | | | 3,206,371 | | | | 52,969 | |
| | | Nordstrom Inc. | | | 1,077,468 | | | | 50,221 | |
| * | | DISH Network Corp. Class A | | | 1,984,741 | | | | 49,559 | |
| | | News Corp. Class A | | | 4,235,714 | | | | 48,075 | |
| | | Tiffany & Co. | | | 527,668 | | | | 42,483 | |
| *,^ | | Discovery Communications Inc. Class A | | | 1,354,118 | | | | 33,501 | |
| * | | Liberty Media Corp- Liberty SiriusXM Class A | | | 750,835 | | | | 27,631 | |
| * | | Liberty Broadband Corp. Class A | | | 227,901 | | | | 16,366 | |
| | | Wyndham Hotels & Resorts Inc. | | | 227,175 | | | | 10,307 | |
| | | News Corp. Class B | | | 378,120 | | | | 4,367 | |
| | | Viacom Inc. Class A | | | 101,139 | | | | 2,813 | |
| | | | | | | | | | 2,172,475 | |
| Financials (23.9%) | | | | | | | | |
| | | M&T Bank Corp. | | | 1,151,311 | | | | 164,787 | |
| | | Hartford Financial Services Group Inc. | | | 3,269,990 | | | | 145,351 | |
| | | KeyCorp | | | 9,430,178 | | | | 139,378 | |
| | | Citizens Financial Group Inc. | | | 4,265,291 | | | | 126,807 | |
| | | Regions Financial Corp. | | | 9,424,240 | | | | 126,096 | |
| | | HCP Inc. | | | 4,283,585 | | | | 119,641 | |
| | | Annaly Capital Management Inc. | | | 11,976,664 | | | | 117,611 | |
| | | Huntington Bancshares Inc. | | | 9,676,367 | | | | 115,342 | |
| | | Principal Financial Group Inc. | | | 2,580,110 | | | | 113,963 | |
| | | Host Hotels & Resorts Inc. | | | 6,764,330 | | | | 112,761 | |
| | | Cincinnati Financial Corp. | | | 1,409,078 | | | | 109,091 | |
| | | Loews Corp. | | | 2,291,237 | | | | 104,297 | |
| | | Comerica Inc. | | | 1,474,010 | | | | 101,250 | |
| | | Lincoln National Corp. | | | 1,947,162 | | | | 99,909 | |
| | | UDR Inc. | | | 2,511,990 | | | | 99,525 | |
| * | | Arch Capital Group Ltd. | | | 3,504,261 | | | | 93,634 | |
| | | KKR & Co. Inc. Class A | | | 4,582,688 | | | | 89,958 | |
| | | Raymond James Financial Inc. | | | 1,175,542 | | | | 87,472 | |
| | | Nasdaq Inc. | | | 1,046,246 | | | | 85,342 | |
| | | Ally Financial Inc. | | | 3,765,629 | | | | 85,329 | |
| | | Duke Realty Corp. | | | 3,265,463 | | | | 84,575 | |
| | | AGNC Investment Corp. | | | 4,811,236 | | | | 84,389 | |
| | | Everest Re Group Ltd. | | | 370,473 | | | | 80,674 | |
| | | Reinsurance Group of America Inc. Class A | | | 572,263 | | | | 80,248 | |
| | | Alleghany Corp. | | | 128,463 | | | | 80,074 | |
| | | Fidelity National Financial Inc. | | | 2,383,040 | | | | 74,923 | |
| | | Camden Property Trust | | | 848,765 | | | | 74,734 | |
| | | Zions Bancorp NA | | | 1,751,297 | | | | 71,348 | |
| | | Western Union Co. | | | 4,035,449 | | | | 68,845 | |
| | | Torchmark Corp. | | | 915,167 | | | | 68,207 | |
| | | VEREIT Inc. | | | 8,817,260 | | | | 63,043 | |
| | | Invesco Ltd. | | | 3,748,639 | | | | 62,752 | |
| | | WR Berkley Corp. | | | 834,810 | | | | 61,701 | |
| | | Arthur J Gallagher & Co. | | | 836,859 | | | | 61,677 | |
| | | SL Green Realty Corp. | | | 777,107 | | | | 61,454 | |
| | | Unum Group | | | 1,993,520 | | | | 58,570 | |
| | | Voya Financial Inc. | | | 1,417,380 | | | | 56,894 | |
| * | | Athene Holding Ltd. Class A | | | 1,427,205 | | | | 56,846 | |
| | | Macerich Co. | | | 1,285,425 | | | | 55,633 | |
| | | Kimco Realty Corp. | | | 3,648,261 | | | | 53,447 | |
| | | Jones Lang LaSalle Inc. | | | 415,256 | | | | 52,571 | |
| | | People’s United Financial Inc. | | | 3,438,948 | | | | 49,624 | |
| | | Affiliated Managers Group Inc. | | | 480,016 | | | | 46,773 | |
| | | Franklin Resources Inc. | | | 1,285,890 | | | | 38,140 | |
| | | AXA Equitable Holdings Inc. | | | 1,926,644 | | | | 32,040 | |
| | | Lazard Ltd. Class A | | | 591,276 | | | | 21,824 | |
| | | CIT Group Inc. | | | 481,109 | | | | 18,412 | |
| | | New York Community Bancorp Inc. | | | 415,838 | | | | 3,913 | |
| | | | | | | | | | 3,860,875 | |
| Health Care (4.7%) | | | | | | | | |
| * | | Laboratory Corp. of America Holdings | | | 919,726 | | | | 116,217 | |
| * | | Henry Schein Inc. | | | 1,389,527 | | | | 109,106 | |
| * | | Hologic Inc. | | | 2,636,276 | | | | 108,351 | |
| | | Quest Diagnostics Inc. | | | 1,240,361 | | | | 103,285 | |
| | | Universal Health Services Inc. Class B | | | 777,161 | | | | 90,586 | |
| | | Dentsply Sirona Inc. | | | 2,028,769 | | | | 75,490 | |
| | | Cardinal Health Inc. | | | 1,360,594 | | | | 60,682 | |
| * | | DaVita Inc. | | | 1,134,614 | | | | 58,387 | |
| | | Perrigo Co. plc | | | 1,114,290 | | | | 43,179 | |
| | | | | | | | | | 765,283 | |
Mid-Cap Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Industrials (11.8%) | | | | | | | | |
| | | Willis Towers Watson plc | | | 1,184,295 | | | | 179,847 | |
| | | Ball Corp. | | | 3,091,441 | | | | 142,144 | |
| | | L3 Technologies Inc. | | | 717,362 | | | | 124,577 | |
| | | WW Grainger Inc. | | | 436,365 | | | | 123,212 | |
| | | Dover Corp. | | | 1,333,998 | | | | 94,647 | |
| | | Textron Inc. | | | 1,993,310 | | | | 91,672 | |
| | | Westrock Co. | | | 2,339,953 | | | | 88,357 | |
| * | | First Data Corp. Class A | | | 4,885,345 | | | | 82,611 | |
| | | Jacobs Engineering Group Inc. | | | 1,296,499 | | | | 75,793 | |
| | | Huntington Ingalls Industries Inc. | | | 391,456 | | | | 74,498 | |
| | | Arconic Inc. | | | 3,963,544 | | | | 66,825 | |
| | | Alliance Data Systems Corp. | | | 421,967 | | | | 63,329 | |
| | | Pentair plc | | | 1,582,059 | | | | 59,770 | |
| * | | Arrow Electronics Inc. | | | 794,510 | | | | 54,781 | |
| | | Xylem Inc. | | | 818,900 | | | | 54,637 | |
| * | | Keysight Technologies Inc. | | | 850,290 | | | | 52,786 | |
| | | CH Robinson Worldwide Inc. | | | 626,561 | | | | 52,688 | |
| | | Allison Transmission Holdings Inc. | | | 1,181,441 | | | | 51,877 | |
| * | | Crown Holdings Inc. | | | 1,232,023 | | | | 51,215 | |
| | | Sealed Air Corp. | | | 1,430,097 | | | | 49,825 | |
| | | Hubbell Inc. Class B | | | 498,558 | | | | 49,527 | |
| | | Owens Corning | | | 996,248 | | | | 43,815 | |
| | | Fluor Corp. | | | 1,281,946 | | | | 41,279 | |
| * | | United Rentals Inc. | | | 369,557 | | | | 37,891 | |
| | | Xerox Corp. | | | 1,845,807 | | | | 36,473 | |
| | | FLIR Systems Inc. | | | 630,401 | | | | 27,448 | |
| | | Flowserve Corp. | | | 596,264 | | | | 22,670 | |
| | | ManpowerGroup Inc. | | | 281,726 | | | | 18,256 | |
| | | | | | | | | | 1,912,450 | |
| Oil & Gas (4.1%) | | | | | | | | |
| | | Marathon Oil Corp. | | | 7,577,379 | | | | 108,660 | |
| | | Hess Corp. | | | 2,565,496 | | | | 103,903 | |
| | | Devon Energy Corp. | | | 4,054,549 | | | | 91,390 | |
| | | National Oilwell Varco Inc. | | | 3,494,628 | | | | 89,812 | |
| | | HollyFrontier Corp. | | | 1,579,562 | | | | 80,747 | |
| | | OGE Energy Corp. | | | 1,820,246 | | | | 71,335 | |
| | | Baker Hughes a GE Co. Class A | | | 2,339,359 | | | | 50,296 | |
| | | Noble Energy Inc. | | | 2,186,299 | | | | 41,015 | |
| * | | Equitrans Midstream Corp. | | | 926,888 | | | | 18,556 | |
| | | | | | | | | | 655,714 | |
| Technology (8.2%) | | | | | | |
| | | Motorola Solutions Inc. | | | 1,490,516 | | | | 171,469 | |
| | | NetApp Inc. | | | 2,295,929 | | | | 136,998 | |
| | | Maxim Integrated Products Inc. | | | 2,525,454 | | | | 128,419 | |
| * | | Synopsys Inc. | | | 1,354,423 | | | | 114,097 | |
| | | CDW Corp. | | | 1,367,169 | | | | 110,809 | |
| | | Symantec Corp. | | | 5,532,570 | | | | 104,538 | |
| | | Western Digital Corp. | | | 2,506,385 | | | | 92,661 | |
| | | Marvell Technology Group Ltd. | | | 5,701,717 | | | | 92,311 | |
| | | Seagate Technology plc | | | 2,348,038 | | | | 90,611 | |
| | | Juniper Networks Inc. | | | 3,146,394 | | | | 84,669 | |
| * | | Qorvo Inc. | | | 1,138,324 | | | | 69,130 | |
| | | KLA-Tencor Corp. | | | 697,514 | | | | 62,421 | |
| * | | Dell Technologies Inc. | | | 1,228,994 | | | | 60,061 | |
| | | | | | | | | | 1,318,194 | |
| Telecommunications (0.8%) | | | | | | | | |
| | | CenturyLink Inc. | | | 8,865,202 | | | | 134,308 | |
| | | | | | | | | | | |
| Utilities (13.0%) | | | | | | | | |
| | | WEC Energy Group Inc. | | | 2,875,878 | | | | 199,183 | |
| | | Eversource Energy | | | 2,888,388 | | | | 187,861 | |
| | | DTE Energy Co. | | | 1,658,177 | | | | 182,897 | |
| | | FirstEnergy Corp. | | | 4,661,652 | | | | 175,045 | |
| | | American Water Works Co. Inc. | | | 1,646,192 | | | | 149,425 | |
| | | Ameren Corp. | | | 2,224,389 | | | | 145,097 | |
| | | Entergy Corp. | | | 1,650,962 | | | | 142,098 | |
| | | Evergy Inc. | | | 2,401,391 | | | | 136,327 | |
| | | CenterPoint Energy Inc. | | | 4,568,356 | | | | 128,965 | |
| | | CMS Energy Corp. | | | 2,582,567 | | | | 128,224 | |
| * | | Alliant Energy Corp. | | | 2,151,272 | | | | 90,891 | |
| | | AES Corp. | | | 6,036,392 | | | | 87,286 | |
| | | Pinnacle West Capital Corp. | | | 1,021,695 | | | | 87,048 | |
| | | NiSource Inc. | | | 3,370,518 | | | | 85,443 | |
| * | | Vistra Energy Corp. | | | 3,677,840 | | | | 84,186 | |
| * | | PG&E Corp. | | | 2,363,526 | | | | 56,134 | |
| | | Avangrid Inc. | | | 563,183 | | | | 28,210 | |
| | | | | | | | | | 2,094,320 | |
| Total Common Stocks | | | | | | | | |
| (Cost $15,907,668) | | | | | | | 16,083,865 | |
| Temporary Cash Investments (0.4%)1 | | | | | | | | |
| Money Market Fund (0.4%) | | | | | | | | |
| 2,3 | | Vanguard Market Liquidity Fund, 2.530% | | | 608,663 | | | | 60,866 | |
Mid-Cap Value Index Fund
| | | | | Face | | | Market | |
| | | | | Amount | | | Value• | |
| | | | | ($000) | | | ($000 | ) |
| U.S. Government and Agency Obligations (0.0%) |
| | | United States Treasury Bill, 2.132%, 1/3/19 | | | 400 | | | | 400 | |
| 4 | | United States Treasury Bill, 2.282%, 2/7/19 | | | 500 | | | | 499 | |
| 4 | | United States Treasury Bill, 2.280%, 2/21/19 | | | 500 | | | | 498 | |
| 4 | | United States Treasury Bill, 2.314%, 2/28/19 | | | 150 | | | | 149 | |
| 4 | | United States Treasury Bill, 2.451%, 4/18/19 | | | 1,500 | | | | 1,490 | |
| 4 | | United States Treasury Bill, 2.479%, 5/9/19 | | | 1,000 | | | | 992 | |
| | | | | | | | | | 4,028 | |
| Total Temporary Cash Investments | | | | | | | | |
| (Cost $64,887) | | | | | | | 64,894 | |
| Total Investments (100.0%) | | | | | | | | |
| (Cost $15,972,555) | | | | | | | 16,148,759 | |
| | | Amount | |
| | | | ($000 | |
| Other Assets and Liabilities (0.0%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 935 | |
| Receivables for Investment Securities Sold | | | 10,689 | |
| Receivables for Accrued Income | | | 30,626 | |
| Receivables for Capital Shares Issued | | | 215,432 | |
| Variation Margin Receivable—Futures Contracts | | | 643 | |
| Other Assets4 | | | 1,134 | |
| Total Other Assets | | | 259,459 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (232,342 | ) |
| Collateral for Securities on Loan | | | (6,958 | ) |
| Payables for Capital Shares Redeemed | | | (22,553 | ) |
| Payables to Vanguard | | | (3,195 | ) |
| Variation Margin Payable—Futures Contracts | | | (40 | ) |
| Total Liabilities | | | (265,088 | ) |
| Net Assets (100%) | | | 16,143,130 | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | |
| Paid-in Capital | | | 16,774,636 | |
| Total Distributable Earnings (Loss) | | | (631,506 | ) |
| Net Assets | | | 16,143,130 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 13,536,508 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 507,552 | |
| Net Asset Value Per Share— Investor Shares | | | $37.50 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 82,938,730 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 7,897,691 | |
| Net Asset Value Per Share— ETF Shares | | | $95.22 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 156,859,800 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 7,737,887 | |
| Net Asset Value Per Share— Admiral Shares | | | $49.33 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,620,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.0%, respectively, of net assets. |
| 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 | Includes $6,958,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $2,535,000 and cash of $1,033,000 have been segregated as initial margin for open futures contracts. |
Mid-Cap Value Index Fund
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| | | | | ($000) |
| | | | | Value and |
| | | Number of | | Unrealized |
| | | Long (Short) | Notional | Appreciation |
| | Expiration | Contracts | Amount | (Depreciation) |
| Long Futures Contracts | | | | |
| E-mini S&P 500 Index | March 2019 | 359 | 44,968 | (1,725) |
| E-mini S&P Mid-Cap 400 Index | March 2019 | 115 | 19,115 | (847) |
| | | | | (2,572) |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Value Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 443,193 | |
| Interest1 | | | 805 | |
| Securities Lending—Net | | | 217 | |
| Total Income | | | 444,215 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 2,706 | |
| Management and Administrative—Investor Shares | | | 956 | |
| Management and Administrative—ETF Shares | | | 4,020 | |
| Management and Administrative—Admiral Shares | | | 3,880 | |
| Marketing and Distribution—Investor Shares | | | 128 | |
| Marketing and Distribution—ETF Shares | | | 405 | |
| Marketing and Distribution—Admiral Shares | | | 642 | |
| Custodian Fees | | | 52 | |
| Auditing Fees | | | 38 | |
| Shareholders’ Reports—Investor Shares | | | 16 | |
| Shareholders’ Reports—ETF Shares | | | 350 | |
| Shareholders’ Reports—Admiral Shares | | | 115 | |
| Trustees’ Fees and Expenses | | | 12 | |
| Total Expenses | | | 13,320 | |
| Expenses Paid Indirectly | | | (30 | ) |
| Net Expenses | | | 13,290 | |
| Net Investment Income | | | 430,925 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 568,552 | |
| Futures Contracts | | | (4,405 | ) |
| Realized Net Gain (Loss) | | | 564,147 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (3,288,001 | ) |
| Futures Contracts | | | (2,726 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (3,290,727 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (2,295,655 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $754,000, $4,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $728,445,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Value Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 430,925 | | | | 308,836 | |
| Realized Net Gain (Loss) | | | 564,147 | | | | 336,923 | |
| Change in Unrealized Appreciation (Depreciation) | | | (3,290,727 | ) | | | 1,761,535 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (2,295,655 | ) | | | 2,407,294 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (13,788 | ) | | | (12,688 | ) |
| ETF Shares | | | (213,583 | ) | | | (151,423 | ) |
| Admiral Shares | | | (203,207 | ) | | | (143,932 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Total Distributions | | | (430,578 | ) | | | (308,043 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (87,519 | ) | | | (76,973 | ) |
| ETF Shares | | | 901,760 | | | | 944,390 | |
| Admiral Shares | | | 884,275 | | | | 1,206,333 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 1,698,516 | | | | 2,073,750 | |
| Total Increase (Decrease) | | | (1,027,717 | ) | | | 4,173,001 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 17,170,847 | | | | 12,997,846 | |
| End of Period | | | 16,143,130 | | | | 17,170,847 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Value Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $43.89 | | | | $38.24 | | | | $33.86 | | | | $35.19 | | | | $31.38 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.001 | 1,2 | | | .771 | 1 | | | .675 | | | | .658 | | | | .539 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (6.415 | ) | | | 5.646 | | | | 4.396 | | | | (1.341 | ) | | | 3.804 | |
| Total from Investment Operations | | | (5.414 | ) | | | 6.417 | | | | 5.071 | | | | (.683 | ) | | | 4.343 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.976 | ) | | | (.767 | ) | | | (.691 | ) | | | (.647 | ) | | | (.533 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.976 | ) | | | (.767 | ) | | | (.691 | ) | | | (.647 | ) | | | (.533 | ) |
| Net Asset Value, End of Period | | | $37.50 | | | | $43.89 | | | | $38.24 | | | | $33.86 | | | | $35.19 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return3 | | | -12.53% | | | | 16.91% | | | | 15.11% | | | | -1.91% | | | | 13.84% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $508 | | | | $682 | | | | $666 | | | | $588 | | | | $628 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.19% | | | | 0.19% | | | | 0.19% | | | | 0.20% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.29%2 | | | | 1.92% | | | | 2.02% | | | | 2.01% | | | | 1.86% | |
| Portfolio Turnover Rate4 | | | 17% | | | | 17% | | | | 20% | | | | 20% | | | | 14% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.111 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
| 3 | 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. |
| 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.
Mid-Cap Value Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $111.47 | | | | $97.12 | | | | $85.99 | | | | $89.39 | | | | $79.73 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.645 | 1,2 | | | 2.116 | 1 | | | 1.822 | | | | 1.785 | | | | 1.504 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (16.278 | ) | | | 14.306 | | | | 11.170 | | | | (3.427 | ) | | | 9.647 | |
| Total from Investment Operations | | | (13.633 | ) | | | 16.422 | | | | 12.992 | | | | (1.642 | ) | | | 11.151 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.617 | ) | | | (2.072 | ) | | | (1.862 | ) | | | (1.758 | ) | | | (1.491 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.617 | ) | | | (2.072 | ) | | | (1.862 | ) | | | (1.758 | ) | | | (1.491 | ) |
| Net Asset Value, End of Period | | | $95.22 | | | | $111.47 | | | | $97.12 | | | | $85.99 | | | | $89.39 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -12.41% | | | | 17.05% | | | | 15.26% | | | | -1.80% | | | | 13.98% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $7,898 | | | | $8,355 | | | | $6,383 | | | | $4,351 | | | | $3,407 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.07% | | | | 0.07% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.41%2 | | | | 2.04% | | | | 2.14% | | | | 2.13% | | | | 2.00% | |
| Portfolio Turnover Rate3 | | | 17% | | | | 17% | | | | 20% | | | | 20% | | | | 14% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.282 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
| 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.
Mid-Cap Value Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $57.74 | | | | $50.31 | | | | $44.54 | | | | $46.30 | | | | $41.30 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.385 | 1,2 | | | 1.096 | 1 | | | .942 | | | | .924 | | | | .780 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (8.439 | ) | | | 7.407 | | | | 5.791 | | | | (1.775 | ) | | | 4.994 | |
| Total from Investment Operations | | | (7.054 | ) | | | 8.503 | | | | 6.733 | | | | (.851 | ) | | | 5.774 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.356 | ) | | | (1.073 | ) | | | (.963 | ) | | | (.909 | ) | | | (.774 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.356 | ) | | | (1.073 | ) | | | (.963 | ) | | | (.909 | ) | | | (.774 | ) |
| Net Asset Value, End of Period | | | $49.33 | | | | $57.74 | | | | $50.31 | | | | $44.54 | | | | $46.30 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return3 | | | -12.42% | | | | 17.04% | | | | 15.26% | | | | -1.80% | | | | 13.98% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $7,738 | | | | $8,134 | | | | $5,949 | | | | $3,884 | | | | $2,896 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.07% | | | | 0.07% | | | | 0.07% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.41%2 | | | | 2.04% | | | | 2.14% | | | | 2.13% | | | | 2.00% | |
| Portfolio Turnover Rate4 | | | 17% | | | | 17% | | | | 20% | | | | 20% | | | | 14% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Net investment income per share and the ratio of net investment income to average net assets include $.146 and 0.26%, respectively, resulting from a special dividend from Dr Pepper Snapple Group Inc. in July 2018. |
| 3 | 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. |
| 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.
Mid-Cap Value Index Fund
Notes to Financial Statements
Vanguard Mid-Cap Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, ETF Shares, and Admiral 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
During the year ended December 31, 2018, 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.
Mid-Cap Value 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. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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.
Mid-Cap Value Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $935,000, representing 0.01% of the fund’s net assets and 0.37% of Vanguard’s capitalization. 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 year ended December 31, 2018, custodian fee offset arrangements reduced the fund’s expenses by $30,000 (an annual rate of 0.00% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | | ($000 | ) | | | ($000 | ) | | | ($000 | ) |
| Common Stocks | | | 16,083,865 | | | | — | | | | — | |
| Temporary Cash Investments | | | 60,866 | | | | 4,028 | | | | — | |
| Futures Contracts—Assets1 | | | 643 | | | | — | | | | — | |
| Futures Contracts—Liabilities1 | | | (40 | ) | | | — | | | | — | |
| Total | | | 16,145,334 | | | | 4,028 | | | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
Mid-Cap Value Index Fund
E. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions and the expiration of capital loss carryforwards were reclassified between the following accounts:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 724,408 | |
| Total Distributable Earnings (Loss) | | | (724,408 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | | ($000 | ) |
| Undistributed Ordinary Income | | | 2,268 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (807,369 | ) |
| Net Unrealized Gains (Losses) | | | 176,204 | |
As of December 31, 2018, 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 | | | 15,972,555 | |
| Gross Unrealized Appreciation | | | 1,730,601 | |
| Gross Unrealized Depreciation | | | (1,554,397 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 176,204 | |
F. During the year ended December 31, 2018, the fund purchased $6,899,687,000 of investment securities and sold $5,097,299,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,595,520,000 and $2,036,860,000, 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 year ended December 31, 2018, such purchases and sales were $1,058,952,000 and $652,678,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Mid-Cap Value Index Fund
G. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | | ($000 | ) | | | (000 | ) | | | ($000 | ) | | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 129,028 | | | | 2,954 | | | | 221,539 | | | | 5,483 | |
| Issued in Lieu of Cash Distributions | | | 13,124 | | | | 316 | | | | 12,172 | | | | 294 | |
| Redeemed | | | (229,671 | ) | | | (5,279 | ) | | | (310,684 | ) | | | (7,643 | ) |
| Net Increase (Decrease)—Investor Shares | | | (87,519 | ) | | | (2,009 | ) | | | (76,973 | ) | | | (1,866 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,940,423 | | | | 26,540 | | | | 2,246,697 | | | | 21,601 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (2,038,663 | ) | | | (18,550 | ) | | | (1,302,307 | ) | | | (12,375 | ) |
| Net Increase (Decrease)—ETF Shares | | | 901,760 | | | | 7,990 | | | | 944,390 | | | | 9,226 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,549,096 | | | | 45,288 | | | | 2,653,657 | | | | 49,594 | |
| Issued in Lieu of Cash Distributions | | | 182,037 | | | | 3,336 | | | | 129,099 | | | | 2,365 | |
| Redeemed | | | (1,846,858 | ) | | | (32,623 | ) | | | (1,576,423 | ) | | | (29,360 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 884,275 | | | | 16,001 | | | | 1,206,333 | | | | 22,599 | |
H. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Extended Market Index Fund, Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund
Opinions on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Extended Market Index Fund and the statements of net assets of Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap Growth Index Fund and Vanguard Mid-Cap Value Index Fund (four of the funds constituting Vanguard Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | | | ($000 | ) |
| Extended Market Index Fund | | | 679,033 | |
| Mid-Cap Index Fund | | | 1,384,349 | |
| Mid-Cap Growth Index Fund | | | 68,948 | |
| Mid-Cap Value Index Fund | | | 402,677 | |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | | Percentage | |
| Extended Market Index Fund | | | 67.9% | |
| Mid-Cap Index Fund | | | 81.9 | |
| Mid-Cap Growth Index Fund | | | 74.7 | |
| Mid-Cap Value Index Fund | | | 85.3 | |
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in theStatement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
| 1 | Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds. |
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Joseph Brennan | Chris D. McIsaac |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
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| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
Connect with Vanguard®> vanguard.com
Fund Information> 800-662-7447
Direct Investor Account Services> 800-662-2739
Institutional Investor Services> 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing> 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
The index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard product(s) are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| | © 2019 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
| | Vanguard Marketing Corporation, Distributor. |
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| | Q980 022019 |
Annual Report| December 31, 2018 |
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| Vanguard U.S. Stock Index Funds |
Large-Capitalization Portfolios |
Vanguard Growth Index Fund |
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| Vanguard Large-Cap Index Fund |
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| See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
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Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| A Note From Our CEO | 1 |
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| Your Fund’s Performance at a Glance | 2 |
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| About Your Fund’s Expenses | 3 |
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| Growth Index Fund | 5 |
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| Value Index Fund | 25 |
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| Large-Cap Index Fund | 46 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 17, 2019
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2018, returns ranged from –3.46% for Vanguard Growth Index Fund to –5.55% for Vanguard Value Index Fund. Vanguard Large-Cap Index Fund, which contains both growth and value stocks, returned –4.59%. (All returns are for Investor Shares.) Each fund closely tracked its target index.
· Growth stocks outperformed value stocks during the fiscal year, whilelarge-capitalization stocks led mid- and small-caps.
· Financial and industrial stocks detracted most from the Large-Cap Index and Value Index Funds’ results; consumer goods and technology were the Growth Index Fund’s main detractors. Health care was the top-performing sector for the Large-Cap Index and Value Index Funds, while consumer services contributed most to the Growth Index Fund’s returns.
· Please note that in November, Vanguard lowered the investment minimum for the funds’ Admiral Shares from $10,000 to $3,000.
Market Barometer
| | Average Annual Total Returns |
| | Periods Ended December 31, 2018 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -4.78% | 9.09% | 8.21% |
| Russell 2000 Index (Small-caps) | -11.01 | 7.36 | 4.41 |
| Russell 3000 Index (Broad U.S. market) | -5.24 | 8.97 | 7.91 |
| FTSE All-World ex US Index (International) | -14.13 | 4.58 | 1.05 |
| | | | |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.01% | 2.06% | 2.52% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 1.28 | 2.30 | 3.82 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.86 | 0.98 | 0.59 |
| | | | |
| CPI | | | |
| Consumer Price Index | 1.91% | 2.03% | 1.51% |
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 compareongoing 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.
Six Months Ended December 31, 2018
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2018 | 12/31/2018 | Period |
| Based on Actual Fund Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $901.52 | $0.81 |
| ETF Shares | 1,000.00 | 902.20 | 0.14 |
| Admiral™ Shares | 1,000.00 | 902.10 | 0.24 |
| Institutional Shares | 1,000.00 | 902.14 | 0.19 |
| Value Index Fund | | | |
| Investor Shares | $1,000.00 | $955.57 | $0.84 |
| ETF Shares | 1,000.00 | 956.28 | 0.15 |
| Admiral Shares | 1,000.00 | 955.92 | 0.25 |
| Institutional Shares | 1,000.00 | 956.21 | 0.20 |
| Large-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $929.36 | $0.83 |
| ETF Shares | 1,000.00 | 930.23 | 0.15 |
| Admiral Shares | 1,000.00 | 929.93 | 0.24 |
| Institutional Shares | 1,000.00 | 930.07 | 0.19 |
| Based on Hypothetical 5% Yearly Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 0.20 |
| Large-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,025.00 | 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, 0.03% for ETF Shares, 0.05% for Admiral Shares, and 0.04% for Institutional Shares; for the Value Index Fund, 0.17% for Investor Shares, 0.03% 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, 0.03% 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 (184/365).
Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Growth Index Fund Investor Shares | -3.46% | 8.86% | 14.37% | $38,294 |
 | Spliced Growth Index | -3.34 | 9.05 | 14.59 | 39,042 |
 | Dow Jones U.S. Total Stock MarketFloat Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
Spliced Growth Index: S&P 500 Growth Index (formerly known as the S&P 500/Barra Growth Index) through May 16, 2003; MSCI US Prime Market Growth Index through April 16, 2013; CRSP US Large Cap Growth Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Growth Index FundETF Shares Net Asset Value | -3.32% | 9.01% | 14.53% | $38,821 |
| Spliced Growth Index | -3.34 | 9.05 | 14.59 | 39,042 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
See Financial Highlights for dividend and capital gains information.
Growth Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Growth Index Fund Admiral Shares | -3.34% | 9.00% | 14.52% | $38,802 |
| Spliced Growth Index | -3.34 | 9.05 | 14.59 | 39,042 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Growth Index Fund Institutional Shares | -3.33% | 9.01% | 14.54% | $19,439,716 |
| Spliced Growth Index | -3.34 | 9.05 | 14.59 | 19,521,111 |
| Dow Jones U.S. Total Stock Market FloatAdjusted Index | -5.30 | 7.86 | 13.22 | 17,312,429 |
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Growth Index Fund ETF Shares Market Price | -3.35% | 53.88% | 287.60% |
| Growth Index Fund ETF Shares Net Asset Value | -3.32 | 53.93 | 288.21 |
| Spliced Growth Index | -3.34 | 54.21 | 290.42 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Growth Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 1.7% |
| Consumer Goods | 6.2 |
| Consumer Services | 20.6 |
| Financials | 12.7 |
| Health Care | 11.6 |
| Industrials | 14.1 |
| Oil & Gas | 2.9 |
| Technology | 30.0 |
| Telecommunications | 0.2 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Common Stocks (99.8%)1 | | | | | | | | |
| Basic Materials (1.7%) | | | | | | | | |
| | | Linde plc | | | 3,833,683 | | | | 598,208 | |
| | | Ecolab Inc. | | | 1,806,463 | | | | 266,182 | |
| | | International Flavors & Fragrances Inc. | | | 745,327 | | | | 100,075 | |
| | | CF Industries Holdings Inc. | | | 1,604,852 | | | | 69,827 | |
| | | FMC Corp. | | | 936,376 | | | | 69,254 | |
| | | Albemarle Corp. | | | 738,542 | | | | 56,919 | |
| * | | Axalta Coating Systems Ltd. | | | 1,494,048 | | | | 34,991 | |
| | | Steel Dynamics Inc. | | | 758,173 | | | | 22,776 | |
| | | | | | | | | | 1,218,232 | |
| Consumer Goods (6.2%) | | | | | | | | |
| | | Philip Morris International Inc. | | | 10,814,049 | | | | 721,946 | |
| | | NIKE Inc. Class B | | | 8,856,444 | | | | 656,617 | |
| | | Colgate-Palmolive Co. | | | 6,027,830 | | | | 358,776 | |
| | | Altria Group Inc. | | | 6,529,155 | | | | 322,475 | |
| *,^ | | Tesla Inc. | | | 895,022 | | | | 297,863 | |
| | | Activision Blizzard Inc. | | | 5,036,297 | | | | 234,540 | |
| | | Estee Lauder Cos. Inc. Class A | | | 1,527,487 | | | | 198,726 | |
| | | Constellation Brands Inc. Class A | | | 1,038,513 | | | | 167,014 | |
| * | | Electronic Arts Inc. | | | 2,098,280 | | | | 165,575 | |
| * | | Monster Beverage Corp. | | | 2,877,408 | | | | 141,626 | |
| | | McCormick & Co. Inc. | | | 845,271 | | | | 117,696 | |
| | | Church & Dwight Co. Inc. | | | 1,709,124 | | | | 112,392 | |
| | | Hershey Co. | | | 983,622 | | | | 105,425 | |
| | | Brown-Forman Corp. Class B | | | 2,057,443 | | | | 97,893 | |
| | | Kraft Heinz Co. | | | 2,119,250 | | | | 91,213 | |
| * | | Lululemon Athletica Inc. | | | 724,567 | | | | 88,115 | |
| * | | Take-Two Interactive Software Inc. | | | 791,807 | | | | 81,509 | |
| | | Lamb Weston Holdings Inc. | | | 1,018,555 | | | | 74,925 | |
| | | Clorox Co. | | | 443,774 | | | | 68,403 | |
| * | | NVR Inc. | | | 23,790 | | | | 57,976 | |
| * | | LKQ Corp. | | | 2,102,096 | | | | 49,883 | |
| | | DR Horton Inc. | | | 1,242,826 | | | | 43,076 | |
| | | Lennar Corp. Class A | | | 1,019,592 | | | | 39,917 | |
| | | Hormel Foods Corp. | | | 926,814 | | | | 39,556 | |
| * | | WABCO Holdings Inc. | | | 362,793 | | | | 38,942 | |
| | | Fortune Brands Home & Security Inc. | | | 983,269 | | | | 37,354 | |
| | | Polaris Industries Inc. | | | 408,148 | | | | 31,297 | |
| * | | Mohawk Industries Inc. | | | 206,278 | | | | 24,126 | |
| *,^ | | Under Armour Inc. Class A | | | 1,305,986 | | | | 23,077 | |
| * | | Under Armour Inc. | | | 1,336,131 | | | | 21,605 | |
| * | | Wayfair Inc. | | | 204,121 | | | | 18,387 | |
| | | Lennar Corp. Class B | | | 49,494 | | | | 1,551 | |
| | | Newell Brands Inc. | | | 369 | | | | 7 | |
| | | | | | | | | | 4,529,483 | |
| Consumer Services (20.6%) | | | | | | | | |
| * | | Amazon.com Inc. | | | 2,889,729 | | | | 4,340,286 | |
| | | Home Depot Inc. | | | 7,855,928 | | | | 1,349,806 | |
| | | Walt Disney Co. | | | 9,835,974 | | | | 1,078,515 | |
| | | Comcast Corp. Class A | | | 31,571,481 | | | | 1,075,009 | |
| | | McDonald’s Corp. | | | 5,361,187 | | | | 951,986 | |
| * | | Netflix Inc. | | | 2,881,127 | | | | 771,162 | |
| | | Costco Wholesale Corp. | | | 3,049,150 | | | | 621,142 | |
| * | | Booking Holdings Inc. | | | 322,312 | | | | 555,157 | |
| | | Starbucks Corp. | | | 8,200,154 | | | | 528,090 | |
| | | Lowe’s Cos. Inc. | | | 5,342,473 | | | | 493,431 | |
| | | TJX Cos. Inc. | | | 8,170,032 | | | | 365,527 | |
| * | | Charter | | | | | | | | |
| | | Communications Inc. Class A | | | 1,113,564 | | | | 317,332 | |
| | | Ross Stores Inc. | | | 2,593,627 | | | | 215,790 | |
| | | Yum! Brands Inc. | | | 2,169,388 | | | | 199,410 | |
| | | Dollar General Corp. | | | 1,844,423 | | | | 199,345 | |
| | | Marriott International Inc. Class A | | | 1,777,134 | | | | 192,926 | |
| * | | O’Reilly Automotive Inc. | | | 556,434 | | | | 191,597 | |
| | | Southwest Airlines Co. | | | 3,514,688 | | | | 163,363 | |
Growth Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| * | | Dollar Tree Inc. | | | 1,651,793 | | | | 149,190 | |
| * | | AutoZone Inc. | | | 177,474 | | | | 148,784 | |
| | | Hilton Worldwide Holdings Inc. | | | 2,059,241 | | | | 147,854 | |
| * | | Ulta Beauty Inc. | | | 394,825 | | | | 96,669 | |
| | | Expedia Group Inc. | | | 804,877 | | | | 90,669 | |
| * | | Chipotle Mexican Grill Inc. Class A | | | 193,242 | | | | 83,440 | |
| | | Domino’s Pizza Inc. | | | 289,215 | | | | 71,722 | |
| | | Tractor Supply Co. | | | 848,804 | | | | 70,824 | |
| * | | Copart Inc. | | | 1,464,508 | | | | 69,974 | |
| | | Wynn Resorts Ltd. | | | 642,686 | | | | 63,568 | |
| | | Royal Caribbean Cruises Ltd. | | | 581,179 | | | | 56,834 | |
| | | FactSet Research Systems Inc. | | | 264,481 | | | | 52,931 | |
| *,^ | | Sirius XM Holdings Inc. | | | 7,721,374 | | | | 44,089 | |
| | | MGM Resorts International | | | 1,649,677 | | | | 40,021 | |
| * | | CarMax Inc. | | | 607,131 | | | | 38,085 | |
| | | Rollins Inc. | | | 1,024,173 | | | | 36,973 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 764,644 | | | | 32,413 | |
| | | Tiffany & Co. | | | 402,587 | | | | 32,412 | |
| | | Vail Resorts Inc. | | | 140,591 | | | | 29,639 | |
| * | | GrubHub Inc. | | | 315,310 | | | | 24,219 | |
| * | | Live Nation Entertainment Inc. | | | 473,705 | | | | 23,330 | |
| * | | TripAdvisor Inc. | | | 369,005 | | | | 19,904 | |
| | | Hyatt Hotels Corp. Class A | | | 282,537 | | | | 19,100 | |
| *,^ | | Carvana Co. Class A | | | 121,380 | | | | 3,970 | |
| | | | | | | | | | 15,056,488 | |
| Financials (12.7%) | | | | | | | | |
| | | Visa Inc. Class A | | | 12,238,836 | | | | 1,614,792 | |
| | | Mastercard Inc. Class A | | | 6,389,888 | | | | 1,205,452 | |
| | | American Tower Corp. | | | 3,067,207 | | | | 485,201 | |
| | | Simon Property Group Inc. | | | 2,149,552 | | | | 361,103 | |
| | | Charles Schwab Corp. | | | 8,446,469 | | | | 350,782 | |
| | | Crown Castle International Corp. | | | 2,882,856 | | | | 313,165 | |
| | | Intercontinental Exchange Inc. | | | 3,958,002 | | | | 298,156 | |
| | | S&P Global Inc. | | | 1,743,442 | | | | 296,280 | |
| | | Marsh & McLennan Cos. Inc. | | | 3,500,102 | | | | 279,133 | |
| | | Prologis Inc. | | | 4,374,117 | | | | 256,848 | |
| | | Aon plc | | | 1,673,388 | | | | 243,244 | |
| | | Public Storage | | | 1,029,600 | | | | 208,401 | |
| | | Equinix Inc. | | | 558,462 | | | | 196,891 | |
| | | AvalonBay Communities Inc. | | | 960,017 | | | | 167,091 | |
| | | Moody’s Corp. | | | 1,131,057 | | | | 158,393 | |
| | | Digital Realty Trust Inc. | | | 1,432,556 | | | | 152,639 | |
| | | BlackRock Inc. | | | 383,756 | | | | 150,747 | |
| | | T. Rowe Price Group Inc. | | | 1,587,212 | | | | 146,531 | |
| | | Realty Income Corp. | | | 2,048,978 | | | | 129,168 | |
| * | | SBA Communications Corp. Class A | | | 792,104 | | | | 128,234 | |
| | | Boston Properties Inc. | | | 1,072,187 | | | | 120,675 | |
| * | | IHS Markit Ltd. | | | 2,462,472 | | | | 118,125 | |
| | | Essex Property Trust Inc. | | | 458,593 | | | | 112,452 | |
| * | | First Republic Bank | | | 1,142,459 | | | | 99,280 | |
| * | | Markel Corp. | | | 92,270 | | | | 95,781 | |
| | | TD Ameritrade Holding Corp. | | | 1,955,252 | | | | 95,729 | |
| | | Arthur J Gallagher & Co. | | | 1,277,039 | | | | 94,118 | |
| | | Welltower Inc. | | | 1,306,047 | | | | 90,653 | |
| * | | CBRE Group Inc. Class A | | | 2,251,792 | | | | 90,162 | |
| | | Alexandria Real Estate Equities Inc. | | | 747,683 | | | | 86,163 | |
| | | MSCI Inc. Class A | | | 581,544 | | | | 85,737 | |
| | | Equifax Inc. | | | 843,896 | | | | 78,592 | |
| | | E*TRADE Financial Corp. | | | 1,767,882 | | | | 77,575 | |
| | | Cboe Global Markets Inc. | | | 780,228 | | | | 76,330 | |
| | | UDR Inc. | | | 1,916,040 | | | | 75,913 | |
| | | Mid-America Apartment Communities Inc. | | | 791,556 | | | | 75,752 | |
| | | Extra Space Storage Inc. | | | 835,720 | | | | 75,616 | |
| | | Vornado Realty Trust | | | 1,190,887 | | | | 73,871 | |
| * | | SVB Financial Group | | | 370,288 | | | | 70,325 | |
| | | Regency Centers Corp. | | | 1,119,323 | | | | 65,682 | |
| | | Iron Mountain Inc. | | | 1,990,244 | | | | 64,504 | |
| | | Federal Realty Investment Trust | | | 513,646 | | | | 60,631 | |
| | | SEI Investments Co. | | | 973,467 | | | | 44,974 | |
| * | | Black Knight Inc. | | | 986,920 | | | | 44,471 | |
| | | Invitation Homes Inc. | | | 1,990,962 | | | | 39,978 | |
| | | Comerica Inc. | | | 562,191 | | | | 38,617 | |
| | | Raymond James Financial Inc. | | | 448,397 | | | | 33,365 | |
| | | Camden Property Trust | | | 323,830 | | | | 28,513 | |
| | | Interactive Brokers Group Inc. | | | 496,204 | | | | 27,117 | |
| | | | | | | | | | 9,282,952 | |
| Health Care (11.5%) | | | | | | | | |
| | | AbbVie Inc. | | | 10,460,543 | | | | 964,357 | |
| | | Medtronic plc | | | 9,365,035 | | | | 851,844 | |
| | | Thermo Fisher Scientific Inc. | | | 2,801,041 | | | | 626,845 | |
| | | Bristol-Myers Squibb Co. | | | 11,355,330 | | | | 590,250 | |
| * | | Biogen Inc. | | | 1,402,060 | | | | 421,908 | |
| | | Becton Dickinson and Co. | | | 1,864,323 | | | | 420,069 | |
| * | | Intuitive Surgical Inc. | | | 793,561 | | | | 380,052 | |
Growth Index Fund
| | | | | | | | | Market | |
| | | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| * | | Boston Scientific Corp. | | | 9,616,466 | | | | 339,846 | |
| | | Stryker Corp. | | | 2,080,318 | | | | 326,090 | |
| * | | Celgene Corp. | | | 4,859,100 | | | | 311,420 | |
| * | | Illumina Inc. | | | 1,034,768 | | | | 310,358 | |
| * | | Vertex Pharmaceuticals Inc. | | | 1,775,827 | | | | 294,272 | |
| | | Zoetis Inc. | | | 3,338,420 | | | | 285,568 | |
| * | | Edwards Lifesciences Corp. | | | 1,452,295 | | | | 222,448 | |
| * | | Regeneron Pharmaceuticals Inc. | | | 553,885 | | | | 206,876 | |
| * | | Centene Corp. | | | 1,355,439 | | | | 156,282 | |
| * | | Alexion Pharmaceuticals Inc. | | | 1,471,683 | | | | 143,283 | |
| * | | IQVIA Holdings Inc. | | | 1,182,073 | | | | 137,321 | |
| | | Baxter International Inc. | | | 1,766,804 | | | | 116,291 | |
| | | ResMed Inc. | | | 996,474 | | | | 113,469 | |
| * | | IDEXX Laboratories Inc. | | | 598,573 | | | | 111,347 | |
| * | | Align Technology Inc. | | | 527,357 | | | | 110,444 | |
| * | | BioMarin Pharmaceutical Inc. | | | 1,235,730 | | | | 105,222 | |
| * | | ABIOMED Inc. | | | 297,548 | | | | 96,715 | |
| | | Cooper Cos. Inc. | | | 341,720 | | | | 86,968 | |
| * | | Henry Schein Inc. | | | 1,060,015 | | | | 83,232 | |
| | | Teleflex Inc. | | | 319,765 | | | | 82,653 | |
| * | | WellCare Health Plans Inc. | | | 347,682 | | | | 82,084 | |
| * | | Incyte Corp. | | | 1,257,861 | | | | 79,987 | |
| * | | Varian Medical Systems Inc. | | | 633,595 | | | | 71,793 | |
| * | | Jazz Pharmaceuticals plc | | | 398,467 | | | | 49,394 | |
| * | | Alnylam Pharmaceuticals Inc. | | | 632,279 | | | | 46,099 | |
| * | | Laboratory Corp. of America Holdings | | | 350,693 | | | | 44,314 | |
| * | | Seattle Genetics Inc. | | | 723,837 | | | | 41,013 | |
| * | | Nektar Therapeutics Class A | | | 1,203,565 | | | | 39,561 | |
| * | | DexCom Inc. | | | 308,879 | | | | 37,004 | |
| | | Universal Health Services Inc. Class B | | | 296,439 | | | | 34,553 | |
| * | | Alkermes plc | | | 1,080,505 | | | | 31,886 | |
| | | | | | | | | | 8,453,118 | |
| Industrials (14.1%) | | | | | | | | |
| | | Boeing Co. | | | 3,750,995 | | | | 1,209,696 | |
| | | 3M Co. | | | 4,050,768 | | | | 771,833 | |
| | | Union Pacific Corp. | | | 5,124,833 | | | | 708,406 | |
| * | | PayPal Holdings Inc. | | | 7,784,079 | | | | 654,563 | |
| | | Accenture plc Class A | | | 4,441,078 | | | | 626,236 | |
| | | United Parcel Service Inc. Class B | | | 4,837,341 | | | | 471,786 | |
| | | Lockheed Martin Corp. | | | 1,682,372 | | | | 440,512 | |
| | | Automatic Data Processing Inc. | | | 2,890,096 | | | | 378,949 | |
| | | Fidelity National Information Services Inc. | | | 2,274,894 | | | | 233,290 | |
| | | Sherwin-Williams Co. | | | 585,429 | | | | 230,343 | |
| | | Danaher Corp. | | | 2,190,862 | | | | 225,922 | |
| * | | Fiserv Inc. | | | 2,767,945 | | | | 203,416 | |
| | | Roper Technologies Inc. | | | 718,463 | | | | 191,485 | |
| | | Amphenol Corp. Class A | | | 2,092,800 | | | | 169,559 | |
| * | | Worldpay Inc. Class A | | | 2,096,207 | | | | 160,213 | |
| | | Agilent Technologies Inc. | | | 2,208,097 | | | | 148,958 | |
| | | Paychex Inc. | | | 2,244,090 | | | | 146,202 | |
| | | Fortive Corp. | | | 2,087,029 | | | | 141,208 | |
| | | Waste Connections Inc. | | | 1,829,528 | | | | 135,842 | |
| | | FedEx Corp. | | | 823,318 | | | | 132,826 | |
| | | Illinois Tool Works Inc. | | | 1,036,694 | | | | 131,339 | |
| | | Rockwell Automation Inc. | | | 837,884 | | | | 126,085 | |
| * | | Verisk Analytics Inc. Class A | | | 1,087,447 | | | | 118,575 | |
| * | | FleetCor Technologies Inc. | | | 615,460 | | | | 114,303 | |
| * | | Square Inc. | | | 2,037,273 | | | | 114,271 | |
| | | Global Payments Inc. | | | 1,100,146 | | | | 113,458 | |
| * | | TransDigm Group Inc. | | | 330,114 | | | | 112,259 | |
| | | AMETEK Inc. | | | 1,614,015 | | | | 109,269 | |
| | | Fastenal Co. | | | 2,006,602 | | | | 104,925 | |
| | | Cintas Corp. | | | 594,613 | | | | 99,889 | |
| * | | Mettler-Toledo International Inc. | | | 173,788 | | | | 98,291 | |
| * | | Waters Corp. | | | 500,374 | | | | 94,396 | |
| | | Total System Services Inc. | | | 1,141,735 | | | | 92,812 | |
| | | Vulcan Materials Co. | | | 916,054 | | | | 90,506 | |
| * | | CoStar Group Inc. | | | 253,272 | | | | 85,439 | |
| | | Xylem Inc. | | | 1,249,635 | | | | 83,376 | |
| | | Expeditors International of Washington Inc. | | | 1,200,109 | | | | 81,715 | |
| | | CH Robinson Worldwide Inc. | | | 956,166 | | | | 80,404 | |
| | | Broadridge Financial Solutions Inc. | | | 811,814 | | | | 78,137 | |
| | | Martin Marietta Materials Inc. | | | 436,074 | | | | 74,948 | |
| | | TransUnion | | | 1,288,485 | | | | 73,186 | |
| | | Kansas City Southern | | | 707,146 | | | | 67,497 | |
| | | Old Dominion Freight Line Inc. | | | 511,577 | | | | 63,175 | |
| | | Masco Corp. | | | 2,117,309 | | | | 61,910 | |
| * | | Trimble Inc. | | | 1,746,374 | | | | 57,473 | |
| | | Snap-on Inc. | | | 390,641 | | | | 56,756 | |
| | | JB Hunt Transport Services Inc. | | | 607,347 | | | | 56,508 | |
Growth Index Fund
| | | | | | | | | Market | |
| | | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| | | Packaging Corp. of America | | | 657,106 | | | | 54,842 | |
| * | | Sensata Technologies Holding plc | | | 1,141,379 | | | | 51,179 | |
| * | | XPO Logistics Inc. | | | 882,781 | | | | 50,354 | |
| | | Robert Half International Inc. | | | 802,447 | | | | 45,900 | |
| | | Wabtec Corp. | | | 604,659 | | | | 42,477 | |
| * | | Keysight Technologies Inc. | | | 648,775 | | | | 40,276 | |
| | | Jack Henry & Associates Inc. | | | 268,740 | | | | 34,001 | |
| * | | United Rentals Inc. | | | 281,992 | | | | 28,913 | |
| | | Huntington Ingalls Industries Inc. | | | 149,312 | | | | 28,416 | |
| * | | IPG Photonics Corp. | | | 241,366 | | | | 27,344 | |
| | | Cognex Corp. | | | 568,752 | | | | 21,994 | |
| | | AO Smith Corp. | | | 500,263 | | | | 21,361 | |
| | | FLIR Systems Inc. | | | 481,023 | | | | 20,944 | |
| | | Hubbell Inc. Class B | | | 190,164 | | | | 18,891 | |
| | | Owens Corning | | | 380,048 | | | | 16,715 | |
| | | | | | | | | | 10,325,754 | |
| Oil & Gas (2.8%) | | | | | | | | |
| | | EOG Resources Inc. | | | 4,028,828 | | | | 351,354 | |
| | | Occidental Petroleum Corp. | | | 5,245,996 | | | | 321,999 | |
| | | Schlumberger Ltd. | | | 4,814,040 | | | | 173,691 | |
| | | Pioneer Natural Resources Co. | | | 1,183,698 | | | | 155,680 | |
| | | ONEOK Inc. | | | 2,856,690 | | | | 154,118 | |
| | | Anadarko Petroleum Corp. | | | 3,501,894 | | | | 153,523 | |
| * | | Concho Resources Inc. | | | 1,390,486 | | | | 142,928 | |
| | | Diamondback Energy Inc. | | | 1,146,586 | | | | 106,289 | |
| * | | Cheniere Energy Inc. | | | 1,607,688 | | | | 95,159 | |
| | | Halliburton Co. | | | 2,893,650 | | | | 76,913 | |
| | | Apache Corp. | | | 2,639,169 | | | | 69,278 | |
| | | Cabot Oil & Gas Corp. | | | 2,998,293 | | | | 67,012 | |
| | | Noble Energy Inc. | | | 3,336,313 | | | | 62,589 | |
| | | Targa Resources Corp. | | | 1,594,306 | | | | 57,427 | |
| | | Cimarex Energy Co. | | | 664,925 | | | | 40,993 | |
| * | | Continental Resources Inc. | | | 653,656 | | | | 26,271 | |
| | | Helmerich & Payne Inc. | | | 360,208 | | | | 17,268 | |
| | | | | | | | | | 2,072,492 | |
| Technology (30.0%) | | | | | | | | |
| | | Apple Inc. | | | 29,694,420 | | | | 4,683,998 | |
| | | Microsoft Corp. | | | 26,868,648 | | | | 2,729,049 | |
| * | | Facebook Inc. Class A | | | 16,704,544 | | | | 2,189,799 | |
| * | | Alphabet Inc. Class A | | | 2,078,120 | | | | 2,171,552 | |
| * | | Alphabet Inc. Class C | | | 2,066,850 | | | | 2,140,450 | |
| * | | Adobe Inc. | | | 3,395,254 | | | | 768,142 | |
| | | Broadcom Inc. | | | 2,732,069 | | | | 694,710 | |
| * | | salesforce.com Inc. | | | 5,055,844 | | | | 692,499 | |
| | | Texas Instruments Inc. | | | 6,683,899 | | | | 631,628 | |
| | | NVIDIA Corp. | | | 4,031,798 | | | | 538,245 | |
| | | Intuit Inc. | | | 1,713,257 | | | | 337,255 | |
| | | Cognizant Technology Solutions Corp. Class A | | | 4,023,246 | | | | 255,396 | |
| * | | Micron Technology Inc. | | | 7,880,472 | | | | 250,047 | |
| | | Applied Materials Inc. | | | 6,828,748 | | | | 223,573 | |
| * | | ServiceNow Inc. | | | 1,245,333 | | | | 221,732 | |
| | | Analog Devices Inc. | | | 2,570,650 | | | | 220,639 | |
| * | | Red Hat Inc. | | | 1,226,431 | | | | 215,410 | |
| * | | Autodesk Inc. | | | 1,518,440 | | | | 195,287 | |
| * | | Workday Inc. Class A | | | 1,034,739 | | | | 165,227 | |
| | | Xilinx Inc. | | | 1,757,120 | | | | 149,654 | |
| | | Lam Research Corp. | | | 1,077,540 | | | | 146,729 | |
| * | | Twitter Inc. | | | 4,756,776 | | | | 136,710 | |
| * | | Advanced Micro Devices Inc. | | | 6,602,133 | | | | 121,875 | |
| ^ | | Microchip Technology Inc. | | | 1,641,627 | | | | 118,066 | |
| * | | Palo Alto Networks Inc. | | | 621,921 | | | | 117,139 | |
| * | | Cerner Corp. | | | 2,172,543 | | | | 113,928 | |
| * | | VeriSign Inc. | | | 755,156 | | | | 111,982 | |
| | | Harris Corp. | | | 818,178 | | | | 110,168 | |
| * | | Splunk Inc. | | | 1,019,622 | | | | 106,907 | |
| * | | IAC/InterActiveCorp | | | 540,465 | | | | 98,927 | |
| | | Maxim Integrated Products Inc. | | | 1,926,553 | | | | 97,965 | |
| | | KLA-Tencor Corp. | | | 1,064,422 | | | | 95,255 | |
| | | Citrix Systems Inc. | | | 890,274 | | | | 91,217 | |
| * | | Cadence Design Systems Inc. | | | 1,961,970 | | | | 85,306 | |
| * | | ANSYS Inc. | | | 581,097 | | | | 83,062 | |
| | | Skyworks Solutions Inc. | | | 1,234,535 | | | | 82,738 | |
| * | | Arista Networks Inc. | | | 367,160 | | | | 77,361 | |
| * | | Gartner Inc. | | | 599,960 | | | | 76,699 | |
| * | | Veeva Systems Inc. Class A | | | 847,248 | | | | 75,676 | |
| | | VMware Inc. Class A | | | 529,254 | | | | 72,577 | |
| * | | GoDaddy Inc. Class A | | | 1,104,694 | | | | 72,490 | |
| * | | Fortinet Inc. | | | 1,007,128 | | | | 70,932 | |
| | | SS&C Technologies Holdings Inc. | | | 1,567,032 | | | | 70,689 | |
| * | | F5 Networks Inc. | | | 421,549 | | | | 68,304 | |
| * | | Akamai Technologies Inc. | | | 1,075,854 | | | | 65,713 | |
| | | CDK Global Inc. | | | 895,483 | | | | 42,876 | |
| *,^ | | Snap Inc. | | | 4,073,898 | | | | 22,447 | |
| * | | Dropbox Inc. Class A | | | 1,051,354 | | | | 21,479 | |
| ^ | | Match Group Inc. | | | 356,927 | | | | 15,266 | |
| | | | | | | | | | 21,944,775 | |
Growth Index Fund
| | | | | | | | | Market | |
| | | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Telecommunications (0.2%) | | | | | | | | |
| * | | T-Mobile US Inc. | | | 2,061,527 | | | | 131,134 | |
| * | | Zayo Group Holdings Inc. | | | 1,398,261 | | | | 31,936 | |
| | | | | | | | | | 163,070 | |
Total Common Stocks
(Cost $47,993,928) | | | | | | | 73,046,364 | |
| Temporary Cash Investments (0.5%)1 | | | | | | | | |
| Money Market Fund (0.5%) | | | | | | | | |
| 2,3 | | Vanguard Market Liquidity Fund, 2.530% | | | 3,382,475 | | | | 338,248 | |
| | | | | | Face | | | | |
| | | | | | Amount | | | | |
| | | | | ($000 | ) | | | |
| U.S. Government and Agency Obligations (0.0%) |
| | | United States Treasury Bill, 2.132%, 1/3/19 | | | 181 | | | | 181 | |
| | | United States Treasury Bill, 2.122%, 1/10/19 | | | 1,000 | | | | 999 | |
| 4 | | United States Treasury Bill, 2.280%, 2/7/19 | | | 9,000 | | | | 8,979 | |
| 4 | | United States Treasury Bill, 2.313%, 2/28/19 | | | 200 | | | | 199 | |
| 4 | | United States Treasury Bill, 2.398%, 4/4/19 | | | 6,000 | | | | 5,963 | |
| | | | | | | | | | 16,321 | |
Total Temporary Cash Investments
(Cost $354,560) | | | | | | | 354,569 | |
Total Investments (100.3%)
(Cost $48,348,488) | | | | | | | 73,400,933 | |
| | | Amount | |
| | | ($000 | ) |
| Other Assets and Liabilities (-0.3%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 4,182 | |
| Receivables for Investment Securities Sold | | | 11,593 | |
| Receivables for Accrued Income | | | 72,887 | |
| Receivables for Capital Shares Issued | | | 56,752 | |
| Variation Margin Receivable—Futures Contracts | | | 750 | |
| Other Assets | | | 16,705 | |
| Total Other Assets | | | 162,869 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (45,344 | ) |
| Collateral for Securities on Loan | | | (262,074 | ) |
| Payables for Capital Shares Redeemed | | | (80,398 | ) |
| Payables to Vanguard | | | (23,770 | ) |
| Other Liabilities | | | (287 | ) |
| Total Liabilities | | | (411,873 | ) |
| Net Assets (100%) | | | 73,151,929 | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000) | |
| Paid-in Capital | | | 50,197,822 | |
| Total Distributable Earnings (Loss) | | | 22,954,107 | |
| Net Assets | | | 73,151,929 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 38,414,214 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 2,654,412 | |
| Net Asset Value Per Share—Investor Shares | | | $69.10 | |
| ETF Shares—Net Assets | | |
| Applicable to 242,067,001 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 32,488,785 | |
| Net Asset Value Per Share—ETF Shares | | | $134.21 | |
Growth Index Fund
| | | Amount | |
| | | ($000 | ) |
| Admiral Shares—Net Assets | | | | |
| Applicable to 370,686,784 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 25,609,076 | |
| Net Asset Value Per Share—Admiral Shares | | | $69.09 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 179,473,662 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 12,399,656 | |
| Net Asset Value Per Share—Institutional Shares | | | $69.09 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $253,779,000. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. |
| 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 | Includes $262,074,000 of collateral received for securities on loan. |
| 4 | Securities with a value of $5,275,000 have been segregated as initial margin for open futures contracts. |
Derivative Financial Instruments Outstanding as of Period End
| Futures Contracts | | | | | | |
| | | | | | | | | | | | ($000 | ) |
| | | | | | | | | | Value and | |
| | | | | | Number of | | | | | | Unrealized | |
| | | | | | Long (Short) | | | | Notional | | | | Appreciation | |
| | | | Expiration | | | | Contracts | | | | Amount | | | | (Depreciation) | |
| Long Futures Contracts | | | | | | | | | | | | | | | | |
| E-mini S&P 500 Index | | | March 2019 | | | | 877 | | | | 109,853 | | | | (3,554 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Statement of Operations
| | | | Year Ended | |
| | | | December 31, 2018 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 987,742 | |
| Interest1 | | | 3,056 | |
| Securities Lending—Net | | | 5,217 | |
| Total Income | | | 996,015 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 4,919 | |
| Management and Administrative—Investor Shares | | | 4,642 | |
| Management and Administrative—ETF Shares | | | 9,492 | |
| Management and Administrative—Admiral Shares | | | 10,095 | |
| Management and Administrative—Institutional Shares | | | 4,133 | |
| Marketing and Distribution—Investor Shares | | | 501 | |
| Marketing and Distribution—ETF Shares | | | 1,393 | |
| Marketing and Distribution—Admiral Shares | | | 1,801 | |
| Marketing and Distribution—Institutional Shares | | | 288 | |
| Custodian Fees | | | 383 | |
| Auditing Fees | | | 36 | |
| Shareholders’ Reports—Investor Shares | | | 57 | |
| Shareholders’ Reports—ETF Shares | | | 792 | |
| Shareholders’ Reports—Admiral Shares | | | 218 | |
| Shareholders’ Reports—Institutional Shares | | | 86 | |
| Trustees’ Fees and Expenses | | | 52 | |
| Total Expenses | | | 38,888 | |
| Net Investment Income | | | 957,127 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 1,242,657 | |
| Futures Contracts | | | (25,768 | ) |
| Realized Net Gain (Loss) | | | 1,216,889 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (4,794,656 | ) |
| Futures Contracts | | | (4,375 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (4,799,031 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (2,625,015 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,849,000, $17,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,159,414,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Statement of Changes in Net Assets
| | | | Year Ended December 31, | |
| | | | 2018 | | | | 2017 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 957,127 | | | | 817,270 | |
| Realized Net Gain (Loss) | | | 1,216,889 | | | | 2,678,539 | |
| Change in Unrealized Appreciation (Depreciation) | | | (4,799,031 | ) | | | 11,974,496 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (2,625,015 | ) | | | 15,470,305 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (32,936 | ) | | | (36,010 | ) |
| ETF Shares | | | (417,816 | ) | | | (350,060 | ) |
| Admiral Shares | | | (332,866 | ) | | | (286,472 | ) |
| Institutional Shares | | | (162,179 | ) | | | (144,292 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Total Distributions | | | (945,797 | ) | | | (816,834 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (455,638 | ) | | | (467,007 | ) |
| ETF Shares | | | 2,670,446 | | | | 2,142,821 | |
| Admiral Shares | | | 859,859 | | | | 2,282,546 | |
| Institutional Shares | | | 531,420 | | | | 176,388 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 3,606,087 | | | | 4,134,748 | |
| Total Increase (Decrease) | | | 35,275 | | | | 18,788,219 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 73,116,654 | | | | 54,328,435 | |
| End of Period | | | 73,151,929 | | | | 73,116,654 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | | Year Ended December 31, | |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | |
| Net Asset Value, Beginning of Period | $72.36 | $57.32 | $54.78 | $53.71 | $47.87 | |
| Investment Operations | | | | | | |
| Net Investment Income | .8231 | .7501 | .720 | .652 | .579 | |
| Net Realized and Unrealized Gain (Loss) on Investments | (3.271) | 15.037 | 2.548 | 1.054 | 5.837 | |
| Total from Investment Operations | (2.448) | 15.787 | 3.268 | 1.706 | 6.416 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.812) | (.747) | (.728) | (.636) | (.576) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.812) | (.747) | (.728) | (.636) | (.576) | |
| Net Asset Value, End of Period | $69.10 | $72.36 | $57.32 | $54.78 | $53.71 | |
| | | | | | | |
| Total Return2 | -3.46% | 27.65% | 5.99% | 3.17% | 13.47% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $2,654 | $3,210 | $2,938 | $3,038 | $3,270 | |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.18% | 0.22% | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | 1.08% | 1.15% | 1.31% | 1.20% | 1.17% | |
| Portfolio Turnover Rate3 | 11% | 8% | 11% | 9% | 9% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | Year Ended December 31, | |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | |
| Net Asset Value, Beginning of Period | $140.55 | $111.33 | $106.40 | $104.33 | $92.99 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.8071 | 1.6261 | 1.528 | 1.420 | 1.268 | |
| Net Realized and Unrealized Gain (Loss) on Investments | (6.373) | 29.200 | 4.949 | 2.038 | 11.332 | |
| Total from Investment Operations | (4.566) | 30.826 | 6.477 | 3.458 | 12.600 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.774) | (1.606) | (1.547) | (1.388) | (1.260) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.774) | (1.606) | (1.547) | (1.388) | (1.260) | |
| Net Asset Value, End of Period | $134.21 | $140.55 | $111.33 | $106.40 | $104.33 | |
| | | | | | | |
| Total Return | -3.32% | 27.80% | 6.13% | 3.32% | 13.62% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $32,489 | $31,399 | $23,040 | $20,706 | $17,340 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.06% | 0.08% | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | 1.21% | 1.27% | 1.43% | 1.34% | 1.31% | |
| Portfolio Turnover Rate2 | 11% | 8% | 11% | 9% | 9% | |
| 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.
Growth Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | Year Ended December 31, | |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | |
| Net Asset Value, Beginning of Period | $72.35 | $57.31 | $54.77 | $53.71 | $47.87 | |
| Investment Operations | | | | | | |
| Net Investment Income | .9211 | .8361 | .786 | .731 | .653 | |
| Net Realized and Unrealized Gain (Loss) on Investments | (3.274) | 15.032 | 2.550 | 1.044 | 5.836 | |
| Total from Investment Operations | (2.353) | 15.868 | 3.336 | 1.775 | 6.489 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.907) | (.828) | (.796) | (.715) | (.649) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.907) | (.828) | (.796) | (.715) | (.649) | |
| Net Asset Value, End of Period | $69.09 | $72.35 | $57.31 | $54.77 | $53.71 | |
| | | | | | | |
| Total Return2 | -3.34% | 27.80% | 6.12% | 3.30% | 13.63% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $25,609 | $26,013 | $18,617 | $16,777 | $14,907 | |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.06% | 0.08% | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | 1.20% | 1.27% | 1.43% | 1.34% | 1.31% | |
| Portfolio Turnover Rate3 | 11% | 8% | 11% | 9% | 9% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | Year Ended December 31, | |
| Throughout Each Period | 2018 | 2017 | 2016 | 2015 | 2014 | |
| Net Asset Value, Beginning of Period | $72.35 | $57.31 | $54.77 | $53.70 | $47.87 | |
| Investment Operations | | | | | | |
| Net Investment Income | .9281 | .8411 | .792 | .737 | .657 | |
| Net Realized and Unrealized Gain (Loss) on Investments | (3.274) | 15.032 | 2.549 | 1.053 | 5.826 | |
| Total from Investment Operations | (2.346) | 15.873 | 3.341 | 1.790 | 6.483 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.914) | (.833) | (.801) | (.720) | (.653) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.914) | (.833) | (.801) | (.720) | (.653) | |
| Net Asset Value, End of Period | $69.09 | $72.35 | $57.31 | $54.77 | $53.70 | |
| | | | | | | |
| Total Return | -3.33% | 27.81% | 6.13% | 3.33% | 13.62% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $12,400 | $12,495 | $9,733 | $9,380 | $9,545 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.07% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 1.21% | 1.28% | 1.44% | 1.35% | 1.32% | |
| Portfolio Turnover Rate2 | 11% | 8% | 11% | 9% | 9% | |
| 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.
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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Growth Index Fund
During the year ended December 31, 2018, 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest
Growth Index Fund
income over the lives of the respective securities. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $4,182,000, representing 0.01% of the fund’s net assets and 1.67% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | | Level 1 | | | | Level 2 | | | | Level 3 | |
| Investments | | | ($000 | ) | | | ($000 | ) | | | ($000 | ) |
| Common Stocks | | | 73,046,364 | | | | — | | | | — | |
| Temporary Cash Investments | | | 338,248 | | | | 16,321 | | | | — | |
| Futures Contracts—Assets1 | | | 750 | | | | — | | | | — | |
| Total | | | 73,385,362 | | | | 16,321 | | | | — | |
1 Represents variation margin on the last day of the reporting period.
Growth Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
| | | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 2,159,414 | |
| Total Distributable Earnings (Loss) | | | (2,159,414 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | | Amount | |
| | | | ($000 | ) |
| Undistributed Ordinary Income | | | 9,564 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (2,085,398 | ) |
| Net Unrealized Gains (Losses) | | | 25,052,445 | |
As of December 31, 2018, 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 | | | 48,348,488 | |
| Gross Unrealized Appreciation | | | 27,072,506 | |
| Gross Unrealized Depreciation | | | (2,020,061 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 25,052,445 | |
E. During the year ended December 31, 2018, the fund purchased $16,963,989,000 of investment securities and sold $13,301,145,000 of investment securities, other than temporary cash investments. Purchases and sales include $6,981,739,000 and $4,776,557,000, 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 year ended December 31, 2018, such purchases and sales were $1,089,404,000 and $3,316,490,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Growth Index Fund
F. Capital share transactions for each class of shares were:
| | | | | | | Year Ended December 31, |
| | | | | | | | 2018 | | | | | | | | 2017 | |
| | | | Amount | | | | Shares | | | | Amount | | | | Shares | |
| | | | ($000 | ) | | | (000 | ) | | | ($000 | ) | | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 510,573 | | | | 6,648 | | | | 574,900 | | | | 8,773 | |
| Issued in Lieu of Cash Distributions | | | 30,493 | | | | 408 | | | | 33,555 | | | | 500 | |
| Redeemed | | | (996,704 | ) | | | (12,998 | ) | | | (1,075,462 | ) | | | (16,179 | ) |
| Net Increase (Decrease)—Investor Shares | | | (455,638 | ) | | | (5,942 | ) | | | (467,007 | ) | | | (6,906 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 7,468,161 | | | | 50,640 | | | | 7,231,868 | | | | 55,920 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (4,797,715 | ) | | | (31,975 | ) | | | (5,089,047 | ) | | | (39,475 | ) |
| Net Increase (Decrease)—ETF Shares | | | 2,670,446 | | | | 18,665 | | | | 2,142,821 | | | | 16,445 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 5,564,506 | | | | 72,793 | | | | 5,551,319 | | | | 84,396 | |
| Issued in Lieu of Cash Distributions | | | 296,361 | | | | 3,965 | | | | 254,602 | | | | 3,779 | |
| Redeemed | | | (5,001,008 | ) | | | (65,632 | ) | | | (3,523,375 | ) | | | (53,477 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 859,859 | | | | 11,126 | | | | 2,282,546 | | | | 34,698 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,470,757 | | | | 32,349 | | | | 2,399,897 | | | | 36,639 | |
| Issued in Lieu of Cash Distributions | | | 150,845 | | | | 2,018 | | | | 135,176 | | | | 2,010 | |
| Redeemed | | | (2,090,182 | ) | | | (27,597 | ) | | | (2,358,685 | ) | | | (35,775 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 531,420 | | | | 6,770 | | | | 176,388 | | | | 2,874 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | | Average Annual Total Returns | | | |
| | | | Periods Ended December 31, 2018 | | | |
| | | | | | | | | | | Final Value |
| | | | One | | Five | | Ten | | | of a $10,000 |
| | | | Year | | Years | | Years | | | Investment |
| Value Index Fund Investor Shares | | | -5.55 | % | | | 7.62 | % | | | 11.77 | % | | | $30,435 |
| Spliced Value Index | | | -5.40 | | | | 7.80 | | | | 11.96 | | | | 30,954 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
Spliced Value Index: S&P 500 Value Index (formerly known as the S&P 500/Barra Value Index) through May 16, 2003; MSCI US Prime Market Value Index through April 16, 2013; CRSP US Large Cap Value Index thereafter.
| | | | | | | | | | Final Value |
| | | One | | Five | | Ten | | | of a $10,000 |
| | | Year | | Years | | Years | | | Investment |
| Value Index Fund ETF Shares Net Asset Value | | | -5.39 | % | | | 7.76 | % | | | 11.93 | % | | | $30,864 |
| Spliced Value Index | | | -5.40 | | | | 7.80 | | | | 11.96 | | | | 30,954 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
See Financial Highlights for dividend and capital gains information.
Value Index Fund
| | | Average Annual Total Returns | | | |
| | | Periods Ended December 31, 2018 | | | |
| | | | | | | | | | Final Value |
| | | One | | Five | | Ten | | | of a $10,000 |
| | | Year | | Years | | Years | | | Investment |
| Value Index Fund Admiral Shares | | | -5.43 | % | | | 7.75 | % | | | 11.92 | % | | | $30,845 |
| Spliced Value Index | | | -5.40 | | | | 7.80 | | | | 11.96 | | | | 30,954 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 34,625 |
| | | | | | | | | | Final Value |
| | | One | | Five | | Ten | | | of a $5,000,000 |
| | | Year | | Years | | Years | | | Investment |
| Value Index Fund Institutional Shares | | | -5.42 | % | | | 7.76 | % | | | 11.95 | % | | | $15,453,618 |
| Spliced Value Index | | | -5.40 | | | | 7.80 | | | | 11.96 | | | | 15,477,195 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | | | -5.30 | | | | 7.86 | | | | 13.22 | | | | 17,312,429 |
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | | One | | Five | | Ten |
| | | Year | | Years | | Years |
| Value Index Fund ETF Shares Market Price | | | -5.45 | % | | | 45.24 | % | | | 208.20 | % |
| Value Index Fund ETF Shares Net Asset Value | | | -5.39 | | | | 45.30 | | | | 208.64 | |
| Spliced Value Index | | | -5.40 | | | | 45.55 | | | | 209.54 | |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Value Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | | | 2.9 | % |
| Consumer Goods | | | 10.0 | |
| Consumer Services | | | 7.4 | |
| Financials | | | 23.5 | |
| Health Care | | | 16.6 | |
| Industrials | | | 10.0 | |
| Oil & Gas | | | 7.5 | |
| Technology | | | 11.7 | |
| Telecommunications | | | 4.1 | |
| Utilities | | | 6.3 | |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Common Stocks (99.8%)1 | | | | | | | | |
| Basic Materials (2.9%) | | | | | | | | |
| | | DowDuPont Inc. | | | 14,171,553 | | | | 757,895 | |
| | | Air Products & Chemicals Inc. | | | 1,355,906 | | | | 217,013 | |
| | | LyondellBasell Industries NV Class A | | | 1,895,796 | | | | 157,654 | |
| | | PPG Industries Inc. | | | 1,481,597 | | | | 151,464 | |
| | | Newmont Mining Corp. | | | 3,290,295 | | | | 114,009 | |
| | | International Paper Co. | | | 2,502,539 | | | | 101,002 | |
| | | Nucor Corp. | | | 1,939,797 | | | | 100,501 | |
| | | Freeport-McMoRan Inc. | | | 8,511,899 | | | | 87,758 | |
| | | Celanese Corp. Class A | | | 826,704 | | | | 74,378 | |
| | | Mosaic Co. | | | 2,146,218 | | | | 62,691 | |
| | | Eastman Chemical Co. | | | 778,739 | | | | 56,934 | |
| | | Avery Dennison Corp. | | | 535,958 | | | | 48,145 | |
| | | Reliance Steel & Aluminum Co. | | | 412,190 | | | | 29,335 | |
| | | Westlake Chemical Corp. | | | 237,844 | | | | 15,738 | |
| * | | Alcoa Corp. | | | 573,057 | | | | 15,232 | |
| | | | | | | | | | 1,989,749 | |
| Consumer Goods (9.9%) | | | | | | | | |
| | | Procter & Gamble Co. | | | 15,389,910 | | | | 1,414,640 | |
| | | Coca-Cola Co. | | | 23,663,020 | | | | 1,120,444 | |
| | | PepsiCo Inc. | | | 8,719,309 | | | | 963,309 | |
| | | Mondelez International Inc. Class A | | | 8,980,491 | | | | 359,489 | |
| | | Altria Group Inc. | | | 5,803,573 | | | | 286,638 | |
| | | General Motors Co. | | | 7,845,304 | | | | 262,425 | |
| | | Kimberly-Clark Corp. | | | 2,139,218 | | | | 243,742 | |
| | | Ford Motor Co. | | | 24,128,155 | | | | 184,580 | |
| | | General Mills Inc. | | | 3,682,857 | | | | 143,410 | |
| | | Archer-Daniels-Midland Co. | | | 3,463,068 | | | | 141,882 | |
| | | VF Corp. | | | 1,961,042 | | | | 139,901 | |
| | | Aptiv plc | | | 1,628,425 | | | | 100,262 | |
| | | Kellogg Co. | | | 1,715,588 | | | | 97,806 | |
| | | Tyson Foods Inc. Class A | | | 1,822,926 | | | | 97,344 | |
| | | Genuine Parts Co. | | | 860,769 | | | | 82,651 | |
| | | Kraft Heinz Co. | | | 1,880,763 | | | | 80,948 | |
| | | Conagra Brands Inc. | | | 2,998,036 | | | | 64,038 | |
| | | JM Smucker Co. | | | 666,434 | | | | 62,305 | |
| | | Molson Coors Brewing Co. Class B | | | 1,088,185 | | | | 61,112 | |
| | | Clorox Co. | | | 393,797 | | | | 60,700 | |
| | | Tapestry Inc. | | | 1,792,442 | | | | 60,495 | |
| | | Hasbro Inc. | | | 704,092 | | | | 57,207 | |
| | | Lear Corp. | | | 396,710 | | | | 48,740 | |
| | | Newell Brands Inc. | | | 2,596,535 | | | | 48,270 | |
| | | Garmin Ltd. | | | 758,228 | | | | 48,011 | |
| | | BorgWarner Inc. | | | 1,285,841 | | | | 44,670 | |
| | | Bunge Ltd. | | | 828,942 | | | | 44,299 | |
| | | PVH Corp. | | | 474,049 | | | | 44,063 | |
| | | Whirlpool Corp. | | | 394,731 | | | | 42,185 | |
| | | PulteGroup Inc. | | | 1,564,012 | | | | 40,649 | |
| ^,* | | Campbell Soup Co. | | | 1,207,546 | | | | 39,837 | |
| | | DR Horton Inc. | | | 1,103,569 | | | | 38,250 | |
| | | Lennar Corp. Class A | | | 926,202 | | | | 36,261 | |
| | | Hormel Foods Corp. | | | 824,858 | | | | 35,205 | |
| | | Ralph Lauren Corp. Class A | | | 337,761 | | | | 34,945 | |
| | | Harley-Davidson Inc. | | | 1,008,194 | | | | 34,400 | |
| * | | Michael Kors Holdings Ltd. | | | 883,622 | | | | 33,507 | |
| | | Keurig Dr Pepper Inc. | | | 1,287,670 | | | | 33,016 | |
| | | Jefferies Financial Group Inc. | | | 1,698,083 | | | | 29,479 | |
| | | Hanesbrands Inc. | | | 2,228,317 | | | | 27,921 | |
| * | | Mohawk Industries Inc. | | | 183,750 | | | | 21,491 | |
| | | Ingredion Inc. | | | 218,139 | | | | 19,938 | |
| | | Coty Inc. Class A | | | 2,770,192 | | | | 18,172 | |
| | | Goodyear Tire & Rubber Co. | | | 717,704 | | | | 14,648 | |
| * | | Elanco Animal Health Inc. | | | 450,102 | | | | 14,192 | |
| | | Lennar Corp. Class B | | | 14,996 | | | | 470 | |
| | | Lamb Weston Holdings Inc. | | | 1,519 | | | | 112 | |
| | | | | | | | | | 6,878,059 | |
Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Consumer Services (7.4%) | | | | | | | | |
| | | Walmart Inc. | | | 9,045,546 | | | | 842,593 | |
| | | CVS Health Corp. | | | 7,987,816 | | | | 523,362 | |
| | | Walgreens Boots Alliance Inc. | | | 4,971,497 | | | | 339,702 | |
| | | Twenty-First Century Fox Inc. Class A | | | 6,515,246 | | | | 313,514 | |
| | | Target Corp. | | | 3,222,917 | | | | 213,003 | |
| | | Sysco Corp. | | | 3,050,273 | | | | 191,130 | |
| | | Delta Air Lines Inc. | | | 3,812,670 | | | | 190,252 | |
| * | | eBay Inc. | | | 5,649,788 | | | | 158,590 | |
| | | Twenty-First Century Fox Inc. | | | 2,972,658 | | | | 142,034 | |
| | | Kroger Co. | | | 4,925,636 | | | | 135,455 | |
| | | McKesson Corp. | | | 1,206,911 | | | | 133,327 | |
| | | Las Vegas Sands Corp. | | | 2,420,065 | | | | 125,964 | |
| | | Carnival Corp. | | | 2,440,785 | | | | 120,331 | |
| * | | United Continental Holdings Inc. | | | 1,431,645 | | | | 119,872 | |
| | | Omnicom Group Inc. | | | 1,383,895 | | | | 101,356 | |
| | | CBS Corp. Class B | | | 2,093,772 | | | | 91,540 | |
| | | American Airlines Group Inc. | | | 2,557,667 | | | | 82,127 | |
| | | Darden Restaurants Inc. | | | 765,787 | | | | 76,471 | |
| | | Best Buy Co. Inc. | | | 1,423,847 | | | | 75,407 | |
| | | AmerisourceBergen Corp. Class A | | | 981,024 | | | | 72,988 | |
| | | Kohl’s Corp. | | | 1,029,527 | | | | 68,299 | |
| | | Advance Auto Parts Inc. | | | 427,363 | | | | 67,293 | |
| | | Viacom Inc. Class B | | | 2,247,287 | | | | 57,755 | |
| | | Macy’s Inc. | | | 1,894,626 | | | | 56,422 | |
| | | Nielsen Holdings plc | | | 2,196,616 | | | | 51,247 | |
| * | | Qurate Retail Group Inc. QVC Group Class A | | | 2,596,312 | | | | 50,680 | |
| | | Royal Caribbean Cruises Ltd. | | | 517,083 | | | | 50,566 | |
| | | Interpublic Group of Cos. Inc. | | | 2,378,574 | | | | 49,070 | |
| * | | Discovery Communications Inc. | | | 2,105,158 | | | | 48,587 | |
| * | | Liberty Broadband Corp. | | | 652,449 | | | | 46,996 | |
| | | Alaska Air Group Inc. | | | 760,393 | | | | 46,270 | |
| | | Gap Inc. | | | 1,783,470 | | | | 45,942 | |
| | | Aramark | | | 1,523,134 | | | | 44,125 | |
| | | L Brands Inc. | | | 1,446,667 | | | | 37,136 | |
| * | | Liberty Media Corp-Liberty SiriusXM Class C | | | 995,326 | | | | 36,807 | |
| | | Altice USA Inc. Class A | | | 2,177,874 | | | | 35,978 | |
| | | MGM Resorts International | | | 1,468,667 | | | | 35,630 | |
| | | News Corp. Class A | | | 3,114,395 | | | | 35,348 | |
| | | Nordstrom Inc. | | | 731,956 | | | | 34,116 | |
| * | | CarMax Inc. | | | 540,403 | | | | 33,899 | |
| * | | DISH Network Corp. Class A | | | 1,346,821 | | | | 33,630 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 679,742 | | | | 28,814 | |
| | | Tiffany & Co. | | | 356,475 | | | | 28,700 | |
| ^,* | | Discovery Communications Inc. Class A | | | 925,139 | | | | 22,888 | |
| * | | Liberty Media Corp-Liberty SiriusXM Class A | | | 508,634 | | | | 18,718 | |
| | | Wyndham Hotels & Resorts Inc. | | | 304,592 | | | | 13,819 | |
| * | | Liberty Broadband Corp. Class A | | | 160,668 | | | | 11,538 | |
| | | CBS Corp. Class A | | | 33,581 | | | | 1,472 | |
| | | News Corp. Class B | | | 18,801 | | | | 217 | |
| | | Viacom Inc. Class A | | | 5,457 | | | | 152 | |
| | | | | | | | | | 5,141,132 | |
| Financials (23.5%) | | | | | | | | |
| * | | Berkshire Hathaway Inc. Class B | | | 12,030,256 | | | | 2,456,338 | |
| | | JPMorgan Chase & Co. | | | 20,541,328 | | | | 2,005,244 | |
| | | Bank of America Corp. | | | 54,560,838 | | | | 1,344,379 | |
| | | Wells Fargo & Co. | | | 26,169,293 | | | | 1,205,881 | |
| | | Citigroup Inc. | | | 15,085,229 | | | | 785,337 | |
| | | CME Group Inc. | | | 2,209,764 | | | | 415,701 | |
| | | US Bancorp | | | 8,984,295 | | | | 410,582 | |
| | | American Express Co. | | | 4,221,176 | | | | 402,362 | |
| | | Chubb Ltd. | | | 2,704,151 | | | | 349,322 | |
| | | Goldman Sachs Group Inc. | | | 2,067,852 | | | | 345,435 | |
| | | Morgan Stanley | | | 7,968,618 | | | | 315,956 | |
| | | PNC Financial Services Group Inc. | | | 2,565,187 | | | | 299,896 | |
| | | Bank of New York Mellon Corp. | | | 5,496,631 | | | | 258,726 | |
| | | Capital One Financial Corp. | | | 2,925,542 | | | | 221,142 | |
| | | Progressive Corp. | | | 3,602,043 | | | | 217,311 | |
| | | American International Group Inc. | | | 5,464,388 | | | | 215,352 | |
| | | Aflac Inc. | | | 4,702,324 | | | | 214,238 | |
| | | Prudential Financial Inc. | | | 2,551,143 | | | | 208,046 | |
| | | BB&T Corp. | | | 4,759,782 | | | | 206,194 | |
| | | Travelers Cos. Inc. | | | 1,635,620 | | | | 195,865 | |
| | | MetLife Inc. | | | 4,571,776 | | | | 187,717 | |
| | | Allstate Corp. | | | 2,127,592 | | | | 175,803 | |
| | | Equity Residential | | | 2,276,002 | | | | 150,239 | |
| | | State Street Corp. | | | 2,227,007 | | | | 140,457 | |
| | | SunTrust Banks Inc. | | | 2,774,993 | | | | 139,971 | |
| | | BlackRock Inc. | | | 340,914 | | | | 133,918 | |
| | | Ventas Inc. | | | 2,201,893 | | | | 129,009 | |
Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| | | Discover Financial Services | | | 2,074,646 | | | | 122,363 | |
| | | M&T Bank Corp. | | | 780,320 | | | | 111,687 | |
| | | Northern Trust Corp. | | | 1,298,855 | | | | 108,571 | |
| | | Weyerhaeuser Co. | | | 4,631,311 | | | | 101,240 | |
| | | Hartford Financial Services Group Inc. | | | 2,216,607 | | | | 98,528 | |
| | | Fifth Third Bancorp | | | 4,051,890 | | | | 95,341 | |
| | | KeyCorp | | | 6,394,447 | | | | 94,510 | |
| | | Synchrony Financial | | | 3,998,184 | | | | 93,797 | |
| | | Ameriprise Financial Inc. | | | 860,581 | | | | 89,819 | |
| | | Citizens Financial Group Inc. | | | 2,892,928 | | | | 86,007 | |
| | | Regions Financial Corp. | | | 6,378,987 | | | | 85,351 | |
| | | HCP Inc. | | | 2,902,336 | | | | 81,062 | |
| | | Welltower Inc. | | | 1,161,460 | | | | 80,617 | |
| | | Annaly Capital Management Inc. | | | 8,105,503 | | | | 79,596 | |
| | | Huntington Bancshares Inc. | | | 6,551,263 | | | | 78,091 | |
| | | Principal Financial Group Inc. | | | 1,746,451 | | | | 77,141 | |
| | | Host Hotels & Resorts Inc. | | | 4,579,076 | | | | 76,333 | |
| | | Cincinnati Financial Corp. | | | 954,873 | | | | 73,926 | |
| | | Loews Corp. | | | 1,552,624 | | | | 70,675 | |
| | | Lincoln National Corp. | | | 1,318,241 | | | | 67,639 | |
| * | | Arch Capital Group Ltd. | | | 2,374,979 | | | | 63,459 | |
| | | KKR & Co. Inc. Class A | | | 3,104,851 | | | | 60,948 | |
| | | Nasdaq Inc. | | | 709,038 | | | | 57,836 | |
| | | Ally Financial Inc. | | | 2,550,591 | | | | 57,796 | |
| | | Duke Realty Corp. | | | 2,213,316 | | | | 57,325 | |
| | | AGNC Investment Corp. | | | 3,261,362 | | | | 57,204 | |
| | | Everest Re Group Ltd. | | | 251,152 | | | | 54,691 | |
| | | Reinsurance Group of America Inc. Class A | | | 387,760 | | | | 54,376 | |
| | | Alleghany Corp. | | | 87,034 | | | | 54,250 | |
| | | Franklin Resources Inc. | | | 1,744,195 | | | | 51,733 | |
| | | Fidelity National Financial Inc. | | | 1,615,665 | | | | 50,797 | |
| | | Zions Bancorp NA | | | 1,188,005 | | | | 48,399 | |
| | | Western Union Co. | | | 2,738,316 | | | | 46,716 | |
| | | Torchmark Corp. | | | 620,179 | | | | 46,222 | |
| | | VEREIT Inc. | | | 5,980,541 | | | | 42,761 | |
| | | Invesco Ltd. | | | 2,543,141 | | | | 42,572 | |
| | | WR Berkley Corp. | | | 566,280 | | | | 41,854 | |
| | | SL Green Realty Corp. | | | 526,512 | | | | 41,637 | |
| | | Unum Group | | | 1,353,365 | | | | 39,762 | |
| | | Voya Financial Inc. | | | 960,076 | | | | 38,537 | |
| * | | Athene Holding Ltd. Class A | | | 965,286 | | | | 38,447 | |
| | | Macerich Co. | | | 871,361 | | | | 37,712 | |
| | | Kimco Realty Corp. | | | 2,472,535 | | | | 36,223 | |
| | | Jones Lang LaSalle Inc. | | | 281,649 | | | | 35,657 | |
| | | Comerica Inc. | | | 497,890 | | | | 34,200 | |
| | | People’s United Financial Inc. | | | 2,330,826 | | | | 33,634 | |
| | | Affiliated Managers Group Inc. | | | 326,135 | | | | 31,779 | |
| | | Raymond James Financial Inc. | | �� | 399,019 | | | | 29,691 | |
| | | Camden Property Trust | | | 286,699 | | | | 25,244 | |
| | | AXA Equitable Holdings Inc. | | | 1,307,282 | | | | 21,740 | |
| | | Lazard Ltd. Class A | | | 400,596 | | | | 14,786 | |
| | | CIT Group Inc. | | | 326,600 | | | | 12,499 | |
| * | | Berkshire Hathaway Inc. Class A | | | 14 | | | | 4,284 | |
| | | Brookfield Property Partners LP | | | 8,971 | | | | 145 | |
| | | New York Community Bancorp Inc. | | | 4,744 | | | | 45 | |
| * | | Brighthouse Financial Inc. | | | 1,261 | | | | 38 | |
| | | | | | | | | | 16,267,714 | |
| Health Care (16.6%) | | | | | | | | |
| | | Johnson & Johnson | | | 16,566,708 | | | | 2,137,934 | |
| | | Pfizer Inc. | | | 35,706,201 | | | | 1,558,576 | |
| | | UnitedHealth Group Inc. | | | 5,942,628 | | | | 1,480,427 | |
| | | Merck & Co. Inc. | | | 16,062,518 | | | | 1,227,337 | |
| | | Abbott Laboratories | | | 10,849,127 | | | | 784,717 | |
| | | Amgen Inc. | | | 3,936,082 | | | | 766,237 | |
| | | Eli Lilly & Co. | | | 5,889,031 | | | | 681,479 | |
| | | Gilead Sciences Inc. | | | 7,990,710 | | | | 499,819 | |
| * | | Cigna Corp. | | | 2,352,102 | | | | 446,711 | |
| | | Anthem Inc. | | | 1,597,725 | | | | 419,611 | |
| | | Allergan plc | | | 2,083,442 | | | | 278,473 | |
| | | Humana Inc. | | | 847,434 | | | | 242,773 | |
| | | HCA Healthcare Inc. | | | 1,700,699 | | | | 211,652 | |
| | | Zimmer Biomet Holdings Inc. | | | 1,260,070 | | | | 130,694 | |
| | | Baxter International Inc. | | | 1,561,711 | | | | 102,792 | |
| * | | Mylan NV | | | 3,029,106 | | | | 82,997 | |
| | | Cardinal Health Inc. | | | 1,840,446 | | | | 82,084 | |
| * | | Hologic Inc. | | | 1,784,930 | | | | 73,361 | |
| | | Quest Diagnostics Inc. | | | 839,874 | | | | 69,936 | |
| | | Dentsply Sirona Inc. | | | 1,373,500 | | | | 51,108 | |
| * | | DaVita Inc. | | | 770,190 | | | | 39,634 | |
| * | | Laboratory Corp. of America Holdings | | | 311,112 | | | | 39,312 | |
| | | Universal Health Services Inc. Class B | | | 264,015 | | | | 30,774 | |
| | | Perrigo Co. plc | | | 757,786 | | | | 29,364 | |
| | | | | | | | | | 11,467,802 | |
Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| Industrials (9.9%) | | | | | | | | |
| | | Honeywell International Inc. | | | 4,572,838 | | | | 604,163 | |
| | | United Technologies Corp. | | | 5,062,245 | | | | 539,028 | |
| | | Caterpillar Inc. | | | 3,645,110 | | | | 463,184 | |
| | | General Electric Co. | | | 53,728,605 | | | | 406,726 | |
| | | CSX Corp. | | | 4,955,176 | | | | 307,865 | |
| | | Deere & Co. | | | 1,986,946 | | | | 296,393 | |
| | | Raytheon Co. | | | 1,757,810 | | | | 269,560 | |
| | | Northrop Grumman Corp. | | | 1,072,462 | | | | 262,646 | |
| * | | Norfolk Southern Corp. | | | 1,682,318 | | | | 251,574 | |
| | | General Dynamics Corp. | | | 1,554,935 | | | | 244,451 | |
| | | Waste Management Inc. | | | 2,633,623 | | | | 234,366 | |
| | | Emerson Electric Co. | | | 3,867,567 | | | | 231,087 | |
| | | Danaher Corp. | | | 1,948,129 | | | | 200,891 | |
| | | Eaton Corp. plc | | | 2,676,946 | | | | 183,799 | |
| | | Johnson Controls International plc | | | 5,707,673 | | | | 169,233 | |
| | | TE Connectivity Ltd. | | | 2,119,040 | | | | 160,263 | |
| | | Ingersoll-Rand plc | | | 1,517,366 | | | | 138,429 | |
| | | Cummins Inc. | | | 942,126 | | | | 125,906 | |
| | | PACCAR Inc. | | | 2,158,791 | | | | 123,353 | |
| | | Parker-Hannifin Corp. | | | 817,488 | | | | 121,920 | |
| | | Willis Towers Watson plc | | | 802,576 | | | | 121,879 | |
| | | FedEx Corp. | | | 732,566 | | | | 118,185 | |
| | | Illinois Tool Works Inc. | | | 922,291 | | | | 116,845 | |
| | | Stanley Black & Decker Inc. | | | 933,070 | | | | 111,726 | |
| | | Ball Corp. | | | 2,096,246 | | | | 96,385 | |
| | | Republic Services Inc. Class A | | | 1,303,142 | | | | 93,944 | |
| | | L3 Technologies Inc. | | | 485,490 | | | | 84,310 | |
| | | WW Grainger Inc. | | | 295,883 | | | | 83,546 | |
| | | Dover Corp. | | | 903,313 | | | | 64,090 | |
| | | Textron Inc. | | | 1,350,015 | | | | 62,087 | |
| | | Westrock Co. | | | 1,583,227 | | | | 59,783 | |
| * | | First Data Corp. Class A | | | 3,309,006 | | | | 55,955 | |
| | | Jacobs Engineering Group Inc. | | | 880,017 | | | | 51,446 | |
| | | Arconic Inc. | | | 2,689,013 | | | | 45,337 | |
| | | Alliance Data Systems Corp. | | | 286,260 | | | | 42,962 | |
| | | Pentair plc | | | 1,073,595 | | | | 40,560 | |
| * | | Arrow Electronics Inc. | | | 539,357 | | | | 37,189 | |
| | | Allison Transmission Holdings Inc. | | | 802,263 | | | | 35,227 | |
| * | | Crown Holdings Inc. | | | 834,120 | | | | 34,674 | |
| | | Sealed Air Corp. | | | 970,379 | | | | 33,808 | |
| | | Fluor Corp. | | | 867,904 | | | | 27,947 | |
| * | | United Rentals Inc. | | | 249,584 | | | | 25,590 | |
| | | Huntington Ingalls Industries Inc. | | | 132,967 | | | | 25,305 | |
| | | Xerox Corp. | | | 1,242,667 | | | | 24,555 | |
| | | Hubbell Inc. Class B | | | 169,965 | | | | 16,884 | |
| | | Flowserve Corp. | | | 403,301 | | | | 15,334 | |
| | | Owens Corning | | | 336,445 | | | | 14,797 | |
| | | ManpowerGroup Inc. | | | 191,116 | | | | 12,384 | |
| ^ | | ADT Inc. | | | 696,065 | | | | 4,183 | |
| | | | | | | | | | 6,891,754 | |
| Oil & Gas (7.5%) | | | | | | | | |
| | | Exxon Mobil Corp. | | | 26,152,608 | | | | 1,783,346 | |
| | | Chevron Corp. | | | 11,803,049 | | | | 1,284,054 | |
| | | ConocoPhillips | | | 7,111,230 | | | | 443,385 | |
| | | Marathon Petroleum Corp. | | | 4,267,429 | | | | 251,821 | |
| | | Phillips 66 | | | 2,705,985 | | | | 233,121 | |
| | | Valero Energy Corp. | | | 2,620,980 | | | | 196,495 | |
| | | Kinder Morgan Inc. | | | 11,587,632 | | | | 178,218 | |
| | | Williams Cos. Inc. | | | 7,477,562 | | | | 164,880 | |
| | | Schlumberger Ltd. | | | 4,278,952 | | | | 154,385 | |
| | | Marathon Oil Corp. | | | 5,130,490 | | | | 73,571 | |
| | | Hess Corp. | | | 1,739,627 | | | | 70,455 | |
| | | Halliburton Co. | | | 2,568,402 | | | | 68,268 | |
| | | Baker Hughes a GE Co. Class A | | | 3,168,515 | | | | 68,123 | |
| | | Devon Energy Corp. | | | 2,747,070 | | | | 61,919 | |
| | | National Oilwell Varco Inc. | | | 2,366,871 | | | | 60,829 | |
| | | HollyFrontier Corp. | | | 1,070,271 | | | | 54,712 | |
| | | OGE Energy Corp. | | | 1,233,507 | | | | 48,341 | |
| * | | Equitrans Midstream Corp. | | | 629,762 | | | | 12,608 | |
| | | EQT Corp. | | | 2,609 | | | | 49 | |
| | | Helmerich & Payne Inc. | | | 481 | | | | 23 | |
| | | | | | | | | | 5,208,603 | |
| Other (0.0%)2 | | | | | | | | |
| *,§ | | American International Group Inc. Warrants Exp. 01/19/2021 | | | 41,903 | | | | — | |
| | | | | | | | | | | |
| Technology (11.7%) | | | | | | | | |
| | | Microsoft Corp. | | | 23,871,177 | | | | 2,424,595 | |
| | | Intel Corp. | | | 28,192,577 | | | | 1,323,078 | |
| | | Cisco Systems Inc. | | | 27,771,260 | | | | 1,203,329 | |
| | | Oracle Corp. | | | 16,382,035 | | | | 739,649 | |
| | | International Business Machines Corp. | | | 5,613,696 | | | | 638,109 | |
| | | QUALCOMM Inc. | | | 7,487,754 | | | | 426,128 | |
| | | HP Inc. | | | 9,776,281 | | | | 200,023 | |
| | | Corning Inc. | | | 4,944,069 | | | | 149,360 | |
| | | Hewlett Packard Enterprise Co. | | | 9,089,298 | | | | 120,070 | |
| | | Motorola Solutions Inc. | | | 1,010,204 | | | | 116,214 | |
Value Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000 | ) |
| | | NetApp Inc. | | | 1,556,989 | | | | 92,905 | |
| | | DXC Technology Co. | | | 1,730,322 | | | | 92,001 | |
| * | | Synopsys Inc. | | | 916,767 | | | | 77,228 | |
| | | CDW Corp. | | | 925,528 | | | | 75,014 | |
| | | Symantec Corp. | | | 3,746,519 | | | | 70,790 | |
| | | Western Digital Corp. | | | 1,697,666 | | | | 62,763 | |
| | | Marvell Technology Group Ltd. | | | 3,862,893 | | | | 62,540 | |
| | | Seagate Technology plc | | | 1,589,345 | | | | 61,333 | |
| | | Juniper Networks Inc. | | | 2,134,105 | | | | 57,429 | |
| * | | Qorvo Inc. | | | 770,768 | | | | 46,809 | |
| * | | Dell Technologies Inc. | | | 841,472 | | | | 41,123 | |
| | | | | | | | | | 8,080,490 | |
| Telecommunications (4.1%) | | | | | | | | |
| | | Verizon | | | | | | | | |
| | | Communications Inc. | | | 25,523,309 | | | | 1,434,920 | |
| | | AT&T Inc. | | | 44,956,129 | | | | 1,283,048 | |
| | | CenturyLink Inc. | | | 6,011,302 | | | | 91,071 | |
| * | | Sprint Corp. | | | 3,779,114 | | | | 21,995 | |
| | | | | | | | | | 2,831,034 | |
| Utilities (6.3%) | | | | | | | | |
| | | NextEra Energy Inc. | | | 2,952,448 | | | | 513,195 | |
| | | Duke Energy Corp. | | | 4,404,362 | | | | 380,096 | |
| | | Dominion Energy Inc. | | | 4,055,192 | | | | 289,784 | |
| | | Southern Co. | | | 6,264,422 | | | | 275,133 | |
| | | Exelon Corp. | | | 5,966,784 | | | | 269,102 | |
| | | American Electric Power Co. Inc. | | | 3,046,121 | | | | 227,667 | |
| | | Sempra Energy | | | 1,605,917 | | | | 173,744 | |
| | | Public Service Enterprise Group Inc. | | | 3,122,271 | | | | 162,514 | |
| | | Xcel Energy Inc. | | | 3,175,002 | | | | 156,432 | |
| | | Consolidated Edison Inc. | | | 2,008,369 | | | | 153,560 | |
| | | WEC Energy Group Inc. | | | 1,949,180 | | | | 135,000 | |
| | | Eversource Energy | | | 1,957,518 | | | | 127,317 | |
| | | PPL Corp. | | | 4,445,508 | | | | 125,941 | |
| | | DTE Energy Co. | | | 1,123,849 | | | | 123,961 | |
| | | FirstEnergy Corp. | | | 3,159,851 | | | | 118,652 | |
| | | Edison International | | | 2,012,544 | | | | 114,252 | |
| | | American Water Works Co. Inc. | | | 1,115,560 | | | | 101,259 | |
| | | Ameren Corp. | | | 1,507,925 | | | | 98,362 | |
| | | Entergy Corp. | | | 1,117,840 | | | | 96,213 | |
| | | Evergy Inc. | | | 1,628,566 | | | | 92,454 | |
| | | CenterPoint Energy Inc. | | | 3,098,277 | | | | 87,464 | |
| | | CMS Energy Corp. | | | 1,748,124 | | | | 86,794 | |
| * | | PG&E Corp. | | | 3,200,288 | | | | 76,007 | |
| * | | Alliant Energy Corp. | | | 1,457,871 | | | | 61,595 | |
| | | AES Corp. | | | 4,094,568 | | | | 59,208 | |
| | | Pinnacle West Capital Corp. | | | 692,388 | | | | 58,992 | |
| | | NiSource Inc. | | | 2,284,120 | | | | 57,903 | |
| * | | Vistra Energy Corp. | | | 2,488,184 | | | | 56,955 | |
| | | SCANA Corp. | | | 874,888 | | | | 41,802 | |
| | | Avangrid Inc. | | | 382,349 | | | | 19,152 | |
| | | | | | | | | | 4,340,510 | |
| Total Common Stocks | | | | | | | | |
| (Cost $61,812,321) | | | | | | | 69,096,847 | |
| Temporary Cash Investments (0.4%)1 | | | | | | | | |
| Money Market Fund (0.3%) | | | | | | | | |
| 3,4 | | Vanguard Market Liquidity Fund, 2.530% | | | 2,252,842 | | | | 225,284 | |
| | | | | Face | | | | |
| | | | | Amount | | | | |
| | | | | ($000) | | | | |
| U.S. Government and Agency Obligations (0.1%) |
| | | United States Treasury Bill, 2.122%, 1/10/19 | | | 1,000 | | | | 1,000 | |
| | | United States Treasury Bill, 2.199%, 1/24/19 | | | 1,000 | | | | 999 | |
| | | United States Treasury Bill, 2.280%, 2/7/19 | | | 5,000 | | | | 4,988 | |
| 5 | | United States Treasury Bill, 2.313%, 2/28/19 | | | 600 | | | | 598 | |
| 5 | | United States Treasury Bill, 2.435%, 4/11/19 | | | 100 | | | | 99 | |
| 5 | | United States Treasury Bill, 2.427%, 4/18/19 | | | 1,500 | | | | 1,489 | |
| 5 | | United States Treasury Bill, 2.474%, 5/9/19 | | | 3,000 | | | | 2,975 | |
| | | United States Treasury Bill, 2.502%, 6/20/19 | | | 9,000 | | | | 8,897 | |
| | | | | | | | | | 21,045 | |
| Total Temporary Cash Investments | | | | | | | | |
| (Cost $246,314) | | | | | | | 246,329 | |
| Total Investments (100.2%) | | | | | | | | |
| (Cost $62,058,635) | | | | | | | 69,343,176 | |
Value Index Fund
| | | Amount | |
| | | ($000 | ) |
| Other Assets and Liabilities (-0.2%) | | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 3,934 | |
| Receivables for Investment Securities Sold | | | 158 | |
| Receivables for Accrued Income | | | 89,362 | |
| Receivables for Capital Shares Issued | | | 58,956 | |
| Variation Margin Receivable—Futures Contracts | | | 750 | |
| Total Other Assets | | | 153,160 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | | (179,180 | ) |
| Collateral for Securities on Loan | | | (47,425 | ) |
| Payables for Capital Shares Redeemed | | | (50,497 | ) |
| Payables to Vanguard | | | (17,143 | ) |
| Other Liabilities | | | (229 | ) |
| Total Liabilities | | | (294,474 | ) |
| Net Assets (100%) | | | 69,201,862 | |
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 62,398,268 | |
| Total Distributable Earnings (Loss) | | | 6,803,594 | |
| Net Assets | | | 69,201,862 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 36,160,358 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 1,380,525 | |
| Net Asset Value Per Share—Investor Shares | | | $38.18 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 424,250,661 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 41,510,291 | |
| Net Asset Value Per Share—ETF Shares | | | $97.84 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 432,881,108 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 16,522,468 | |
| Net Asset Value Per Share—Admiral Shares | | | $38.17 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 256,465,389 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 9,788,578 | |
| Net Asset Value Per Share—Institutional Shares | | | $38.17 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $44,402,000. |
| § | Certain of the fund’s security value determined using significant unobservable inputs. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets. |
| 2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 | Includes $47,425,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $5,161,000 have been segregated as initial margin for open futures contracts. |
Value Index Fund
| Derivative Financial Instruments Outstanding as of Period End |
| | | | | ($000 | ) |
| | | | | Value and | |
| | | Number of | | Unrealized | |
| | | Long (Short) | Notional | Appreciation | |
| | Expiration | Contracts | Amount | (Depreciation | ) |
| Long Futures Contracts | | | | | |
| E-mini S&P 500 Index | March 2019 | 781 | 97,828 | 1,649 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 1,793,760 | |
| Interest1 | | | 2,259 | |
| Securities Lending—Net | | | 439 | |
| Total Income | | | 1,796,458 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 4,576 | |
| Management and Administrative—Investor Shares | | | 2,277 | |
| Management and Administrative—ETF Shares | | | 10,250 | |
| Management and Administrative—Admiral Shares | | | 5,966 | |
| Management and Administrative—Institutional Shares | | | 3,031 | |
| Marketing and Distribution—Investor Shares | | | 256 | |
| Marketing and Distribution—ETF Shares | | | 1,911 | |
| Marketing and Distribution—Admiral Shares | | | 1,221 | |
| Marketing and Distribution—Institutional Shares | | | 210 | |
| Custodian Fees | | | 622 | |
| Auditing Fees | | | 38 | |
| Shareholders’ Reports—Investor Shares | | | 27 | |
| Shareholders’ Reports—ETF Shares | | | 913 | |
| Shareholders’ Reports—Admiral Shares | | | 148 | |
| Shareholders’ Reports—Institutional Shares | | | 88 | |
| Trustees’ Fees and Expenses | | | 43 | |
| Total Expenses | | | 31,577 | |
| Net Investment Income | | | 1,764,881 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 3,165,119 | |
| Futures Contracts | | | (26,344 | ) |
| Realized Net Gain (Loss) | | | 3,138,775 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (9,095,223 | ) |
| Futures Contracts | | | 776 | |
| Change in Unrealized Appreciation (Depreciation) | | | (9,094,447 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (4,190,791 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,050,000, ($22,000), and $9,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $3,025,957,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 1,764,881 | | | | 1,453,302 | |
| Realized Net Gain (Loss) | | | 3,138,775 | | | | 1,593,601 | |
| Change in Unrealized Appreciation (Depreciation) | | | (9,094,447 | ) | | | 6,244,701 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (4,190,791 | ) | | | 9,291,604 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (36,993 | ) | | | (37,322 | ) |
| ETF Shares | | | (1,030,963 | ) | | | (810,631 | ) |
| Admiral Shares | | | (434,831 | ) | | | (373,158 | ) |
| Institutional Shares | | | (258,024 | ) | | | (233,385 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Total Distributions | | | (1,760,811 | ) | | | (1,454,496 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (127,208 | ) | | | (173,183 | ) |
| ETF Shares | | | 8,586,445 | | | | 5,105,313 | |
| Admiral Shares | | | 1,130,589 | | | | 1,318,632 | |
| Institutional Shares | | | 514,891 | | | | 139,503 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 10,104,717 | | | | 6,390,265 | |
| Total Increase (Decrease) | | | 4,153,115 | | | | 14,227,373 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 65,048,747 | | | | 50,821,374 | |
| End of Period | | | 69,201,862 | | | | 65,048,747 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $41.42 | | | | $36.24 | | | | $31.82 | | | | $32.95 | | | | $29.78 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.009 | 1 | | | .918 | 1 | | | .850 | | | | .782 | | | | .691 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (3.261 | ) | | | 5.166 | | | | 4.415 | | | | (1.130 | ) | | | 3.164 | |
| Total from Investment Operations | | | (2.252 | ) | | | 6.084 | | | | 5.265 | | | | (.348 | ) | | | 3.855 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.988 | ) | | | (.904 | ) | | | (.845 | ) | | | (.782 | ) | | | (.685 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.988 | ) | | | (.904 | ) | | | (.845 | ) | | | (.782 | ) | | | (.685 | ) |
| Net Asset Value, End of Period | | | $38.18 | | | | $41.42 | | | | $36.24 | | | | $31.82 | | | | $32.95 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -5.55% | | | | 16.99% | | | | 16.75% | | | | -1.03% | | | | 13.05% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $1,381 | | | | $1,626 | | | | $1,587 | | | | $1,397 | | | | $1,593 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.17% | | | | 0.17% | | | | 0.18% | | | | 0.22% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.43% | | | | 2.40% | | | | 2.64% | | | | 2.44% | | | | 2.25% | |
| Portfolio Turnover Rate3 | | | 8% | | | | 9% | | | | 7% | | | | 8% | | | | 6% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | �� | | 2014 | |
| Net Asset Value, Beginning of Period | | | $106.14 | | | | $92.87 | | | | $81.56 | | | | $84.45 | | | | $76.34 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.722 | 1 | | | 2.473 | 1 | | | 2.282 | | | | 2.123 | | | | 1.888 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (8.352 | ) | | | 13.234 | | | | 11.301 | | | | (2.890 | ) | | | 8.095 | |
| Total from Investment Operations | | | (5.630 | ) | | | 15.707 | | | | 13.583 | | | | (.767 | ) | | | 9.983 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.670 | ) | | | (2.437 | ) | | | (2.273 | ) | | | (2.123 | ) | | | (1.873 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.670 | ) | | | (2.437 | ) | | | (2.273 | ) | | | (2.123 | ) | | | (1.873 | ) |
| Net Asset Value, End of Period | | | $97.84 | | | | $106.14 | | | | $92.87 | | | | $81.56 | | | | $84.45 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -5.39% | | | | 17.12% | | | | 16.88% | | | | -0.89% | | | | 13.19% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $41,510 | | | | $36,560 | | | | $27,126 | | | | $18,648 | | | | $17,277 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.05% | | | | 0.06% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.56% | | | | 2.52% | | | | 2.76% | | | | 2.58% | | | | 2.39% | |
| Portfolio Turnover Rate2 | | | 8% | | | | 9% | | | | 7% | | | | 8% | | | | 6% | |
| 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.
Value Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | |
| Net Asset Value, Beginning of Period | | $41.41 | | $36.23 | | $31.82 | | $32.94 | | $29.78 | |
| Investment Operations | | | | | | | | | | | |
| Net Investment Income | | 1.059 | 1 | .965 | 1 | .890 | | .829 | | .737 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | (3.261 | ) | 5.165 | | 4.407 | | (1.121) | | 3.154 | |
| Total from Investment Operations | | (2.202 | ) | 6.130 | | 5.297 | | (.292) | | 3.891 | |
| Distributions | | | | | | | | | | | |
| Dividends from Net Investment Income | | (1.038 | ) | (.950 | ) | (.887 | ) | (.828 | ) | (.731 | ) |
| Distributions from Realized Capital Gains | | — | | — | | — | | — | | — | |
| Total Distributions | | (1.038 | ) | (.950 | ) | (.887 | ) | (.828 | ) | (.731 | ) |
| Net Asset Value, End of Period | | $38.17 | | $41.41 | | $36.23 | | $31.82 | | $32.94 | |
| | | | | | | | | | | | |
| Total Return2 | | -5.43% | | 17.13% | | 16.86% | | -0.86% | | 13.18% | |
| | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $16,522 | | $16,778 | | $13,424 | | $10,408 | | $9,701 | |
| Ratio of Total Expenses to Average Net Assets | | 0.05% | | 0.05% | | 0.06% | | 0.08% | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | 2.55% | | 2.52% | | 2.76% | | 2.58% | | 2.39% | |
| Portfolio Turnover Rate3 | | 8% | | 9% | | 7% | | 8% | | 6% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | 2017 | | 2016 | | 2015 | | 2014 | |
| Net Asset Value, Beginning of Period | | $41.41 | | $36.23 | | $31.82 | | $32.94 | | $29.78 | |
| Investment Operations | | | | | | | | | | | |
| Net Investment Income | | 1.063 | 1 | .969 | 1 | .893 | | .831 | | .739 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | (3.260 | ) | 5.165 | | 4.407 | | (1.120 | ) | 3.154 | |
| Total from Investment Operations | | (2.197 | ) | 6.134 | | 5.300 | | (.289 | ) | 3.893 | |
| Distributions | | | | | | | | | | | |
| Dividends from Net Investment Income | | (1.043 | ) | (.954 | ) | (.890 | ) | (.831 | ) | (.733 | ) |
| Distributions from Realized Capital Gains | | — | | — | | — | | — | | — | |
| Total Distributions | | (1.043 | ) | (.954 | ) | (.890 | ) | (.831 | ) | (.733 | ) |
| Net Asset Value, End of Period | | $38.17 | | $41.41 | | $36.23 | | $31.82 | | $32.94 | |
| | | | | | | | | | | | |
| Total Return | | -5.42% | | 17.14% | | 16.87% | | -0.85% | | 13.19% | |
| | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | $9,789 | | $10,085 | | $8,684 | | $7,176 | | $7,860 | |
| Ratio of Total Expenses to Average Net Assets | | 0.04% | | 0.04% | | 0.05% | | 0.07% | | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | | 2.56% | | 2.53% | | 2.77% | | 2.59% | | 2.40% | |
| Portfolio Turnover Rate2 | | 8% | | 9% | | 7% | | 8% | | 6% | |
| 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.
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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Value Index Fund
During the year ended December 31, 2018, 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
Value Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $3,934,000, representing 0.01% of the fund’s net assets and 1.57% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | Level 2 | | Level 3 | |
| Investments | | ($000 | ) | ($000 | ) | ($000 | ) |
| Common Stocks | | 69,096,847 | | — | | — | |
| Temporary Cash Investments | | 225,284 | | 21,045 | | — | |
| Futures Contracts—Assets1 | | 750 | | — | | — | |
| Total | | 69,322,881 | | 21,045 | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
Value Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions were reclassified between the following accounts:
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 3,025,957 | |
| Total Distributable Earnings (Loss) | (3,025,957 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | Amount | |
| | ($000 | ) |
| Undistributed Ordinary Income | 9,718 | |
| Undistributed Long-Term Gains | — | |
| Capital Loss Carryforwards (Non-expiring)* | (474,500 | ) |
| Net Unrealized Gains (Losses) | 7,284,541 | |
| * | The fund used capital loss carryforwards of $113,594,000 to offset taxable capital gains realized during the year ended December 31, 2018, reducing the amount of capital gains that would otherwise be available to distribute to shareholders. |
As of December 31, 2018, 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 | 62,058,635 | |
| Gross Unrealized Appreciation | 12,744,173 | |
| Gross Unrealized Depreciation | (5,459,632) | |
| Net Unrealized Appreciation (Depreciation) | 7,284,541 | |
E. During the year ended December 31, 2018, the fund purchased $21,553,356,000 of investment securities and sold $11,274,881,000 of investment securities, other than temporary cash investments. Purchases and sales include $13,580,894,000 and $5,670,454,000, 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 year
Value Index Fund
ended December 31, 2018, such purchases and sales were $2,467,137,000 and $1,194,368,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | 2018 | | 2017 | |
| | | Amount | | Shares | | Amount | | Shares | |
| | | ($000 | ) | (000 | ) | ($000 | ) | (000 | ) |
| Investor Shares | | | | | | | | | |
| Issued | | 285,966 | | 6,836 | | 293,387 | | 7,695 | |
| Issued in Lieu of Cash Distributions | | 33,551 | | 830 | | 33,999 | | 880 | |
| Redeemed | | (446,725 | ) | (10,770 | ) | (500,569 | ) | (13,111 | ) |
| Net Increase (Decrease)—Investor Shares | | (127,208 | ) | (3,104 | ) | (173,183 | ) | (4,536 | ) |
| ETF Shares | | | | | | | | | |
| Issued | | 14,303,249 | | 135,191 | | 9,523,235 | | 97,047 | |
| Issued in Lieu of Cash Distributions | | — | | — | | — | | — | |
| Redeemed | | (5,716,804 | ) | (55,375 | ) | (4,417,922 | ) | (44,700 | ) |
| Net Increase (Decrease)—ETF Shares | | 8,586,445 | | 79,816 | | 5,105,313 | | 52,347 | |
| Admiral Shares | | | | | | | | | |
| Issued | | 3,802,677 | | 92,033 | | 3,563,736 | | 93,479 | |
| Issued in Lieu of Cash Distributions | | 373,799 | | 9,257 | | 322,751 | | 8,337 | |
| Redeemed | | (3,045,887 | ) | (73,617 | ) | (2,567,855 | ) | (67,145 | ) |
| Net Increase (Decrease)—Admiral Shares | | 1,130,589 | | 27,673 | | 1,318,632 | | 34,671 | |
| Institutional Shares | | | | | | | | | |
| Issued | | 1,876,041 | | 45,488 | | 1,608,868 | | 42,223 | |
| Issued in Lieu of Cash Distributions | | 238,672 | | 5,911 | | 220,275 | | 5,697 | |
| Redeemed | | (1,599,822 | ) | (38,496 | ) | (1,689,640 | ) | (44,068 | ) |
| Net Increase (Decrease)—Institutional Shares | | 514,891 | | 12,903 | | 139,503 | | 3,852 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Large-Cap Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
| Large-Cap Index Fund Investor Shares | -4.59% | 8.19% | 13.04% | $34,061 |
| Spliced Large Cap Index | -4.44 | 8.38 | 13.26 | 34,730 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
Spliced Large Cap Index: MSCI US Prime Market 750 Index through January 30, 2013; CRSP US Large Cap Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Large-Cap Index FundETF Shares Net Asset Value | -4.44% | 8.33% | 13.20% | $34,547 |
| Spliced Large Cap Index | -4.44 | 8.38 | 13.26 | 34,730 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
See Financial Highlights for dividend and capital gains information.
Large-Cap Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Large-Cap Index Fund Admiral Shares | -4.47% | 8.32% | 13.19% | $34,529 |
| Spliced Large Cap Index | -4.44 | 8.38 | 13.26 | 34,730 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 34,625 |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Large-Cap Index Fund Institutional Shares | -4.46% | 8.33% | 13.21% | $17,293,275 |
| Spliced Large Cap Index | -4.44 | 8.38 | 13.26 | 17,365,186 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | -5.30 | 7.86 | 13.22 | 17,312,429 |
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Large-Cap Index Fund ETF Shares Market Price | -4.48% | 49.20% | 245.12% |
| Large-Cap Index Fund ETF Shares Net Asset Value | -4.44 | 49.22 | 245.47 |
| Spliced Large Cap Index | -4.44 | 49.55 | 247.30 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Large-Cap Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 2.3% |
| Consumer Goods | 8.1 |
| Consumer Services | 13.8 |
| Financials | 18.3 |
| Health Care | 14.2 |
| Industrials | 12.0 |
| Oil & Gas | 5.3 |
| Technology | 20.6 |
| Telecommunications | 2.2 |
| Utilities | 3.2 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Large-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2018
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov.
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| Common Stocks (99.5%)1 |
| Basic Materials (2.3%) |
| | | DowDuPont Inc. | | | 2,017,790 | | | | 107,911 | |
| | | Linde plc | | | 484,652 | | | | 75,625 | |
| | | Ecolab Inc. | | | 228,185 | | | | 33,623 | |
| | | Air Products & Chemicals Inc. | | | 192,699 | | | | 30,842 | |
| | | LyondellBasell Industries NV Class A | | | 269,732 | | | | 22,431 | |
| | | PPG Industries Inc. | | | 211,191 | | | | 21,590 | |
| | | Newmont Mining Corp. | | | 468,469 | | | | 16,232 | |
| | | International Paper Co. | | | 357,891 | | | | 14,445 | |
| | | Nucor Corp. | | | 275,568 | | | | 14,277 | |
| | | International Flavors & Fragrances Inc. | | | 93,897 | | | | 12,608 | |
| | | Freeport-McMoRan Inc. | | | 1,212,539 | | | | 12,501 | |
| | | Celanese Corp. Class A | | | 117,862 | | | | 10,604 | |
| | | Mosaic Co. | | | 305,032 | | | | 8,910 | |
| | | CF Industries Holdings Inc. | | | 203,069 | | | | 8,836 | |
| | | FMC Corp. | | | 118,946 | | | | 8,797 | |
| | | Eastman Chemical Co. | | | 110,976 | | | | 8,113 | |
| | | Albemarle Corp. | | | 93,943 | | | | 7,240 | |
| | | Avery Dennison Corp. | | | 77,743 | | | | 6,984 | |
| * | | Axalta Coating Systems Ltd. | | | 189,559 | | | | 4,439 | |
| | | Reliance Steel & Aluminum Co. | | | 58,622 | | | | 4,172 | |
| | | Steel Dynamics Inc. | | | 96,658 | | | | 2,904 | |
| | | Westlake Chemical Corp. | | | 34,484 | | | | 2,282 | |
| * | | Alcoa Corp. | | | 83,006 | | | | 2,206 | |
| | | | | | | | | | 437,572 | |
| Consumer Goods (8.1%) |
| | | Procter & Gamble Co. | | | 2,190,600 | | | | 201,360 | |
| | | Coca-Cola Co. | | | 3,366,815 | | | | 159,419 | |
| | | PepsiCo Inc. | | | 1,241,512 | | | | 137,162 | |
| | | Philip Morris International Inc. | | | 1,367,465 | | | | 91,292 | |
| | | NIKE Inc. Class B | | | 1,119,491 | | | | 82,999 | |
| | | Altria Group Inc. | | | 1,652,754 | | | | 81,629 | |
| | | Mondelez International Inc. Class A | | | 1,278,067 | | | | 51,161 | |
| | | Colgate-Palmolive Co. | | | 763,260 | | | | 45,429 | |
| *,^ | | Tesla Inc. | | | 113,283 | | | | 37,701 | |
| | | General Motors Co. | | | 1,117,129 | | | | 37,368 | |
| | | Kimberly-Clark Corp. | | | 304,640 | | | | 34,711 | |
| | | Activision Blizzard Inc. | | | 637,813 | | | | 29,703 | |
| | | Ford Motor Co. | | | 3,437,415 | | | | 26,296 | |
| | | Estee Lauder Cos. Inc. Class A | | | 193,410 | | | | 25,163 | |
| | | Kraft Heinz Co. | | | 537,194 | | | | 23,121 | |
| | | Constellation Brands Inc. Class A | | | 131,799 | | | | 21,196 | |
| * | | Electronic Arts Inc. | | | 266,133 | | | | 21,000 | |
| | | General Mills Inc. | | | 525,542 | | | | 20,465 | |
| | | Archer-Daniels-Midland Co. | | | 492,602 | | | | 20,182 | |
| | | VF Corp. | | | 279,087 | | | | 19,910 | |
| * | | Monster Beverage Corp. | | | 364,786 | | | | 17,955 | |
| | | Clorox Co. | | | 112,291 | | | | 17,308 | |
| | | McCormick & Co. Inc. | | | 106,864 | | | | 14,880 | |
| | | Aptiv plc | | | 231,914 | | | | 14,279 | |
| | | Church & Dwight Co. Inc. | | | 216,252 | | | | 14,221 | |
| | | Kellogg Co. | | | 244,386 | | | | 13,932 | |
| | | Tyson Foods Inc. Class A | | | 259,972 | | | | 13,882 | |
| | | Hershey Co. | | | 124,815 | | | | 13,378 | |
| | | Brown-Forman Corp. Class B | | | 261,336 | | | | 12,434 | |
| | | Genuine Parts Co. | | | 122,987 | | | | 11,809 | |
| * | | Lululemon Athletica Inc. | | | 91,577 | | | | 11,137 | |
| | | DR Horton Inc. | | | 315,111 | | | | 10,922 | |
| * | | Take-Two Interactive Software Inc. | | | 100,468 | | | | 10,342 | |
| | | Lennar Corp. Class A | | | 257,446 | | | | 10,079 | |
| | | Hormel Foods Corp. | | | 233,348 | | | | 9,959 | |
| | | Lamb Weston Holdings Inc. | | | 128,673 | | | | 9,465 | |
| | | Conagra Brands Inc. | | | 428,679 | | | | 9,157 | |
| | | JM Smucker Co. | | | 95,478 | | | | 8,926 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Molson Coors Brewing Co. Class B | | | 155,477 | | | | 8,732 | |
| | | Tapestry Inc. | | | 255,979 | | | | 8,639 | |
| | | Hasbro Inc. | | | 100,286 | | | | 8,148 | |
| * | | NVR Inc. | | | 3,013 | | | | 7,343 | |
| | | Lear Corp. | | | 56,474 | | | | 6,938 | |
| | | Newell Brands Inc. | | | 369,870 | | | | 6,876 | |
| | | Garmin Ltd. | | | 107,442 | | | | 6,803 | |
| * | | LKQ Corp. | | | 269,021 | | | | 6,384 | |
| | | BorgWarner Inc. | | | 183,529 | | | | 6,376 | |
| | | PVH Corp. | | | 68,021 | | | | 6,322 | |
| | | Bunge Ltd. | | | 118,097 | | | | 6,311 | |
| * | | Mohawk Industries Inc. | | | 52,320 | | | | 6,119 | |
| | | Whirlpool Corp. | | | 56,177 | | | | 6,004 | |
| | | PulteGroup Inc. | | | 222,734 | | | | 5,789 | |
| *,^ | | Campbell Soup Co. | | | 172,222 | | | | 5,682 | |
| | | Ralph Lauren Corp. Class A | | | 48,125 | | | | 4,979 | |
| * | | WABCO Holdings Inc. | | | 46,077 | | | | 4,946 | |
| | | Harley-Davidson Inc. | | | 143,764 | | | | 4,905 | |
| * | | Michael Kors Holdings Ltd. | | | 125,831 | | | | 4,771 | |
| | | Fortune Brands Home & Security Inc. | | | 125,271 | | | | 4,759 | |
| | | Keurig Dr Pepper Inc. | | | 182,613 | | | | 4,682 | |
| | | Jefferies Financial Group Inc. | | | 242,178 | | | | 4,204 | |
| | | Polaris Industries Inc. | | | 52,382 | | | | 4,017 | |
| | | Hanesbrands Inc. | | | 319,068 | | | | 3,998 | |
| *,^ | | Under Armour Inc. Class A | | | 167,160 | | | | 2,954 | |
| | | Ingredion Inc. | | | 31,407 | | | | 2,871 | |
| * | | Under Armour Inc. | | | 167,547 | | | | 2,709 | |
| | | Coty Inc. Class A | | | 400,507 | | | | 2,627 | |
| * | | Wayfair Inc. | | | 26,119 | | | | 2,353 | |
| | | Goodyear Tire & Rubber Co. | | | 103,805 | | | | 2,119 | |
| * | | Elanco Animal Health Inc. | | | 65,242 | | | | 2,057 | |
| | | Lennar Corp. Class B | | | 13,970 | | | | 438 | |
| | | | | | | | | | 1,553,187 | |
| Consumer Services (13.8%) |
| * | | Amazon.com Inc. | | | 365,543 | | | | 549,035 | |
| | | Home Depot Inc. | | | 993,625 | | | | 170,725 | |
| | | Walt Disney Co. | | | 1,243,513 | | | | 136,351 | |
| | | Comcast Corp. Class A | | | 3,993,091 | | | | 135,965 | |
| | | McDonald’s Corp. | | | 677,938 | | | | 120,381 | |
| | | Walmart Inc. | | | 1,287,943 | | | | 119,972 | |
| * | | Netflix Inc. | | | 364,385 | | | | 97,531 | |
| | | Costco Wholesale Corp. | | | 385,381 | | | | 78,506 | |
| | | CVS Health Corp. | | | 1,137,535 | | | | 74,531 | |
| * | | Booking Holdings Inc. | | | 40,724 | | | | 70,144 | |
| | | Starbucks Corp. | | | 1,036,145 | | | | 66,728 | |
| | | Lowe’s Cos. Inc. | | | 675,769 | | | | 62,414 | |
| | | Walgreens Boots Alliance Inc. | | | 708,415 | | | | 48,406 | |
| | | TJX Cos. Inc. | | | 1,033,958 | | | | 46,259 | |
| | | Twenty-First Century Fox Inc. Class A | | | 938,737 | | | | 45,172 | |
| * | | Charter Communications Inc. Class A | | | 141,069 | | | | 40,200 | |
| | | Target Corp. | | | 459,186 | | | | 30,348 | |
| | | Ross Stores Inc. | | | 328,806 | | | | 27,357 | |
| | | Sysco Corp. | | | 434,404 | | | | 27,220 | |
| | | Delta Air Lines Inc. | | | 543,606 | | | | 27,126 | |
| | | Dollar General Corp. | | | 233,601 | | | | 25,248 | |
| | | Yum! Brands Inc. | | | 274,269 | | | | 25,211 | |
| | | Marriott International Inc. Class A | | | 225,152 | | | | 24,443 | |
| * | | O’Reilly Automotive Inc. | | | 70,424 | | | | 24,249 | |
| * | | eBay Inc. | | | 805,220 | | | | 22,603 | |
| | | Southwest Airlines Co. | | | 445,541 | | | | 20,709 | |
| | | Twenty-First Century Fox Inc. | | | 411,161 | | | | 19,645 | |
| | | Kroger Co. | | | 701,196 | | | | 19,283 | |
| | | McKesson Corp. | | | 171,968 | | | | 18,997 | |
| * | | Dollar Tree Inc. | | | 209,283 | | | | 18,902 | |
| * | | AutoZone Inc. | | | 22,503 | | | | 18,865 | |
| | | Hilton Worldwide Holdings Inc. | | | 260,825 | | | | 18,727 | |
| | | Las Vegas Sands Corp. | | | 344,563 | | | | 17,935 | |
| | | Carnival Corp. | | | 347,507 | | | | 17,132 | |
| * | | United Continental Holdings Inc. | | | 203,860 | | | | 17,069 | |
| | | Omnicom Group Inc. | | | 197,332 | | | | 14,453 | |
| | | Royal Caribbean Cruises Ltd. | | | 147,279 | | | | 14,402 | |
| | | CBS Corp. Class B | | | 301,203 | | | | 13,169 | |
| * | | Ulta Beauty Inc. | | | 49,968 | | | | 12,234 | |
| | | American Airlines Group Inc. | | | 366,281 | | | | 11,761 | |
| | | Expedia Group Inc. | | | 101,645 | | | | 11,450 | |
| | | Darden Restaurants Inc. | | | 108,983 | | | | 10,883 | |
| | | Best Buy Co. Inc. | | | 203,821 | | | | 10,794 | |
| * | | Chipotle Mexican Grill Inc. Class A | | | 24,455 | | | | 10,559 | |
| | | AmerisourceBergen Corp. Class A | | | 139,711 | | | | 10,395 | |
| | | MGM Resorts International | | | 418,677 | | | | 10,157 | |
| | | Kohl’s Corp. | | | 147,105 | | | | 9,759 | |
| * | | CarMax Inc. | | | 154,215 | | | | 9,674 | |
| | | Advance Auto Parts Inc. | | | 60,846 | | | | 9,581 | |
| | | Domino’s Pizza Inc. | | | 36,608 | | | | 9,078 | |
| | | Tractor Supply Co. | | | 107,820 | | | | 8,997 | |
| * | | Copart Inc. | | | 186,035 | | | | 8,889 | |
| | | Tiffany & Co. | | | 102,427 | | | | 8,246 | |
| * | | Norwegian Cruise Line Holdings Ltd. | | | 193,519 | | | | 8,203 | |
| | | Viacom Inc. Class B | | | 313,870 | | | | 8,066 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Wynn Resorts Ltd. | | | 81,303 | | | | 8,042 | |
| | | Macy’s Inc. | | | 270,016 | | | | 8,041 | |
| | | Nielsen Holdings plc | | | 312,713 | | | | 7,296 | |
| * | | Qurate Retail Group Inc. QVC Group Class A | | | 369,860 | | | | 7,220 | |
| * | | Discovery Communications Inc. | | | 302,941 | | | | 6,992 | |
| | | Interpublic Group of Cos. Inc. | | | 338,460 | | | | 6,982 | |
| * | | Liberty Broadband Corp. | | | 93,186 | | | | 6,712 | |
| | | FactSet Research Systems Inc. | | | 33,412 | | | | 6,687 | |
| | | Alaska Air Group Inc. | | | 109,276 | | | | 6,649 | |
| | | Gap Inc. | | | 255,827 | | | | 6,590 | |
| | | Aramark | | | 217,411 | | | | 6,298 | |
| *,^ | | Sirius XM Holdings Inc. | | | 979,069 | | | | 5,590 | |
| * | | Liberty Media Corp-Liberty SiriusXM Class C | | | 141,816 | | | | 5,244 | |
| | | Altice USA Inc. Class A | | | 310,578 | | | | 5,131 | |
| | | Nordstrom Inc. | | | 104,545 | | | | 4,873 | |
| * | | DISH Network Corp. Class A | | | 192,225 | | | | 4,800 | |
| | | Rollins Inc. | | | 129,007 | | | | 4,657 | |
| | | News Corp. Class A | | | 407,044 | | | | 4,620 | |
| | | L Brands Inc. | | | 174,282 | | | | 4,474 | |
| | | Vail Resorts Inc. | | | 17,760 | | | | 3,744 | |
| * | | Discovery Communications Inc. Class A | | | 130,271 | | | | 3,223 | |
| * | | GrubHub Inc. | | | 40,205 | | | | 3,088 | |
| * | | Live Nation Entertainment Inc. | | | 60,286 | | | | 2,969 | |
| * | | Liberty Media Corp-Liberty SiriusXM Class A | | | 72,402 | | | | 2,664 | |
| * | | TripAdvisor Inc. | | | 46,593 | | | | 2,513 | |
| | | Hyatt Hotels Corp. Class A | | | 35,526 | | | | 2,402 | |
| | | Wyndham Hotels & Resorts Inc. | | | 44,402 | | | | 2,015 | |
| * | | Liberty Broadband Corp. Class A | | | 22,703 | | | | 1,630 | |
| * | | Carvana Co. Class A | | | 15,272 | | | | 500 | |
| | | News Corp. Class B | | | 43,186 | | | | 499 | |
| | | Viacom Inc. Class A | | | 6,857 | | | | 191 | |
| | | CBS Corp. Class A | | | 2,107 | | | | 92 | |
| | | | | | | | | | 2,636,567 | |
| Financials (18.2%) |
| * | | Berkshire Hathaway Inc. | | | | | | | | |
| | | Class B | | | 1,707,293 | | | | 348,595 | |
| | | JPMorgan Chase & Co. | | | 2,923,862 | | | | 285,427 | |
| | | Visa Inc. Class A | | | 1,547,502 | | | | 204,178 | |
| | | Bank of America Corp. | | | 7,767,497 | | | | 191,391 | |
| | Wells Fargo & Co. | | | 3,725,556 | | | | 171,674 | |
| | | Mastercard Inc. Class A | | | 808,058 | | | | 152,440 | |
| | | Citigroup Inc. | | | 2,148,078 | | | | 111,829 | |
| | | American Tower Corp. | | | 387,215 | | | | 61,254 | |
| | | CME Group Inc. | | | 314,280 | | | | 59,122 | |
| | | US Bancorp | | | 1,277,357 | | | | 58,375 | |
| | | American Express Co. | | | 600,945 | | | | 57,282 | |
| | | Chubb Ltd. | | | 384,709 | | | | 49,697 | |
| | | Goldman Sachs Group Inc. | | | 294,537 | | | | 49,202 | |
| | | Simon Property Group Inc. | | | 271,883 | | | | 45,674 | |
| | | Morgan Stanley | | | 1,134,981 | | | | 45,002 | |
| | | Charles Schwab Corp. | | | 1,069,700 | | | | 44,425 | |
| | | PNC Financial Services Group Inc. | | | 365,093 | | | | 42,683 | |
| | | Crown Castle International Corp. | | | 364,938 | | | | 39,643 | |
| | | BlackRock Inc. | | | 97,154 | | | | 38,164 | |
| | | Intercontinental Exchange Inc. | | | 500,133 | | | | 37,675 | |
| | | S&P Global Inc. | | | 220,554 | | | | 37,481 | |
| | | Bank of New York Mellon Corp. | | | 782,511 | | | | 36,833 | |
| | | Marsh & McLennan Cos. Inc. | | | 442,516 | | | | 35,291 | |
| | | Prologis Inc. | | | 553,299 | | | | 32,490 | |
| | | Capital One Financial Corp. | | | 416,696 | | | | 31,498 | |
| | | Progressive Corp. | | | 512,654 | | | | 30,929 | |
| | | Aon plc | | | 211,447 | | | | 30,736 | |
| | | American International Group Inc. | | | 778,492 | | | | 30,680 | |
| | | Aflac Inc. | | | 668,001 | | | | 30,434 | |
| | | Prudential Financial Inc. | | | 363,375 | | | | 29,633 | |
| | | BB&T Corp. | | | 677,317 | | | | 29,341 | |
| | | Travelers Cos. Inc. | | | 232,783 | | | | 27,876 | |
| | | MetLife Inc. | | | 651,133 | | | | 26,736 | |
| | | Public Storage | | | 130,374 | | | | 26,389 | |
| | | Allstate Corp. | | | 302,989 | | | | 25,036 | |
| | | Equinix Inc. | | | 70,816 | | | | 24,967 | |
| | | Welltower Inc. | | | 330,029 | | | | 22,907 | |
| | | Equity Residential | | | 323,191 | | | | 21,334 | |
| | | AvalonBay Communities Inc. | | | 121,191 | | | | 21,093 | |
| | | Moody’s Corp. | | | 143,247 | | | | 20,060 | |
| | | State Street Corp. | | | 317,101 | | | | 20,000 | |
| | | SunTrust Banks Inc. | | | 394,882 | | | | 19,918 | |
| | | Digital Realty Trust Inc. | | | 181,652 | | | | 19,355 | |
| | | T. Rowe Price Group Inc. | | | 201,088 | | | | 18,565 | |
| | | Ventas Inc. | | | 313,345 | | | | 18,359 | |
| | | Discover Financial Services | | | 295,964 | | | | 17,456 | |
| | | Realty Income Corp. | | | 258,979 | | | | 16,326 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| * | | SBA Communications Corp. Class A | | | 99,728 | | | | 16,145 | |
| | | M&T Bank Corp. | | | 110,930 | | | | 15,877 | |
| | | Northern Trust Corp. | | | 185,028 | | | | 15,467 | |
| | | Boston Properties Inc. | | | 135,844 | | | | 15,289 | |
| * | | IHS Markit Ltd. | | | 311,486 | | | | 14,942 | |
| | | Weyerhaeuser Co. | | | 660,266 | | | | 14,434 | |
| | | Essex Property Trust Inc. | | | 58,037 | | | | 14,231 | |
| | | Hartford Financial Services Group Inc. | | | 316,069 | | | | 14,049 | |
| | | Fifth Third Bancorp | | | 578,034 | | | | 13,601 | |
| | | KeyCorp | | | 912,925 | | | | 13,493 | |
| | | Synchrony Financial | | | 570,712 | | | | 13,389 | |
| | | Ameriprise Financial Inc. | | | 122,989 | | | | 12,836 | |
| * | | First Republic Bank | | | 144,649 | | | | 12,570 | |
| | | Citizens Financial Group Inc. | | | 412,655 | | | | 12,268 | |
| | | Regions Financial Corp. | | | 912,158 | | | | 12,205 | |
| | | TD Ameritrade Holding Corp. | | | 246,874 | | | | 12,087 | |
| * | | Markel Corp. | | | 11,624 | | | | 12,066 | |
| | | Arthur J Gallagher & Co. | | | 160,812 | | | | 11,852 | |
| | | HCP Inc. | | | 412,795 | | | | 11,529 | |
| * | | CBRE Group Inc. Class A | | | 285,377 | | | | 11,427 | |
| | | Annaly Capital Management Inc. | | | 1,150,632 | | | | 11,299 | |
| | | Huntington Bancshares Inc. | | | 932,760 | | | | 11,119 | |
| | | Principal Financial Group Inc. | | | 249,686 | | | | 11,029 | |
| | | Alexandria Real Estate Equities Inc. | | | 94,957 | | | | 10,943 | |
| | | Host Hotels & Resorts Inc. | | | 652,689 | | | | 10,880 | |
| | | MSCI Inc. Class A | | | 73,630 | | | | 10,855 | |
| | | Cincinnati Financial Corp. | | | 135,383 | | | | 10,481 | |
| | | Loews Corp. | | | 220,029 | | | | 10,016 | |
| | | Equifax Inc. | | | 106,307 | | | | 9,900 | |
| | | E*TRADE Financial Corp. | | | 224,275 | | | | 9,841 | |
| | | Comerica Inc. | | | 142,951 | | | | 9,819 | |
| | | Lincoln National Corp. | | | 188,702 | | | | 9,682 | |
| | | Cboe Global Markets Inc. | | | 98,663 | | | | 9,652 | |
| | | UDR Inc. | | | 242,185 | | | | 9,595 | |
| | | Mid-America Apartment Communities Inc. | | | 100,068 | | | | 9,577 | |
| | | Extra Space Storage Inc. | | | 105,669 | | | | 9,561 | |
| | | Vornado Realty Trust | | | 151,668 | | | | 9,408 | |
| * | | Arch Capital Group Ltd. | | | 338,074 | | | | 9,033 | |
| * | | SVB Financial Group | | | 47,044 | | | | 8,935 | |
| | | KKR & Co. Inc. Class A | | | 441,937 | | | | 8,675 | |
| | | Raymond James Financial Inc. | | | 113,859 | | | | 8,472 | |
| | | Regency Centers Corp. | | | 142,193 | | | | 8,344 | |
| | | Ally Financial Inc. | | | 365,409 | | | | 8,280 | |
| | | Iron Mountain Inc. | | | 253,560 | | | | 8,218 | |
| | | Nasdaq Inc. | | | 100,432 | | | | 8,192 | |
| | | Duke Realty Corp. | | | 315,188 | | | | 8,163 | |
| | | AGNC Investment Corp. | | | 464,447 | | | | 8,146 | |
| | | Everest Re Group Ltd. | | | 35,712 | | | | 7,777 | |
| | | Reinsurance Group of America Inc. Class A | | | 55,114 | | | | 7,729 | |
| | | Alleghany Corp. | | | 12,391 | | | | 7,724 | |
| | | Federal Realty Investment Trust | | | 65,043 | | | | 7,678 | |
| | | Franklin Resources Inc. | | | 249,601 | | | | 7,403 | |
| | | Fidelity National Financial Inc. | | | 230,266 | | | | 7,240 | |
| | | Camden Property Trust | | | 81,948 | | | | 7,216 | |
| | | Zions Bancorp NA | | | 169,494 | | | | 6,905 | |
| | | Western Union Co. | | | 392,285 | | | | 6,692 | |
| | | Torchmark Corp. | | | 88,408 | | | | 6,589 | |
| | | VEREIT Inc. | | | 858,781 | | | | 6,140 | |
| | | Invesco Ltd. | | | 364,886 | | | | 6,108 | |
| | | SL Green Realty Corp. | | | 75,642 | | | | 5,982 | |
| | | WR Berkley Corp. | | | 80,237 | | | | 5,930 | |
| | | Unum Group | | | 194,279 | | | | 5,708 | |
| | | SEI Investments Co. | | | 123,448 | | | | 5,703 | |
| * | | Black Knight Inc. | | | 125,207 | | | | 5,642 | |
| * | | Athene Holding Ltd. Class A | | | 138,069 | | | | 5,499 | |
| | | Voya Financial Inc. | | | 136,936 | | | | 5,497 | |
| | | Macerich Co. | | | 125,469 | | | | 5,430 | |
| | | Kimco Realty Corp. | | | 353,116 | | | | 5,173 | |
| | | Jones Lang LaSalle Inc. | | | 40,191 | | | | 5,088 | |
| | | Invitation Homes Inc. | | | 252,590 | | | | 5,072 | |
| | | People’s United Financial Inc. | | | 336,781 | | | | 4,860 | |
| | | Affiliated Managers Group Inc. | | | 46,673 | | | | 4,548 | |
| | | Interactive Brokers Group Inc. | | | 63,087 | | | | 3,448 | |
| | | AXA Equitable Holdings Inc. | | | 185,230 | | | | 3,080 | |
| | | Lazard Ltd. Class A | | | 58,017 | | | | 2,141 | |
| * | | Berkshire Hathaway Inc. Class A | | | 6 | | | | 1,836 | |
| | | CIT Group Inc. | | | 46,415 | | | | 1,776 | |
| | | New York Community Bancorp Inc. | | | 427 | | | | 4 | |
| * | | Brighthouse Financial Inc. | | | 130 | | | | 4 | |
| | | | | | | | | | 3,490,949 | |
| Health Care (14.1%) |
| | | Johnson & Johnson | | | 2,359,194 | | | | 304,454 | |
| | | Pfizer Inc. | | | 5,084,789 | | | | 221,951 | |
| | | UnitedHealth Group Inc. | | | 846,008 | | | | 210,758 | |
| | | Merck & Co. Inc. | | | 2,287,411 | | | | 174,781 | |
| | | AbbVie Inc. | | | 1,323,149 | | | | 121,981 | |
| | | Abbott Laboratories | | | 1,544,187 | | | | 111,691 | |
| | | Amgen Inc. | | | 560,484 | | | | 109,109 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Medtronic plc | | | 1,183,332 | | | | 107,636 | |
| | | Eli Lilly & Co. | | | 838,784 | | | | 97,064 | |
| | | Thermo Fisher Scientific Inc. | | | 353,827 | | | | 79,183 | |
| | | Bristol-Myers Squibb Co. | | | 1,436,491 | | | | 74,669 | |
| | | Gilead Sciences Inc. | | | 1,138,017 | | | | 71,183 | |
| * | | Cigna Corp. | | | 335,005 | | | | 63,624 | |
| | | Anthem Inc. | | | 227,402 | | | | 59,723 | |
| * | | Biogen Inc. | | | 177,299 | | | | 53,353 | |
| | | Becton Dickinson and Co. | | | 235,838 | | | | 53,139 | |
| * | | Intuitive Surgical Inc. | | | 100,497 | | | | 48,130 | |
| * | | Boston Scientific Corp. | | | 1,217,349 | | | | 43,021 | |
| | | Stryker Corp. | | | 263,375 | | | | 41,284 | |
| | | Allergan plc | | | 296,790 | | | | 39,669 | |
| * | | Celgene Corp. | | | 615,445 | | | | 39,444 | |
| * | | Illumina Inc. | | | 131,056 | | | | 39,308 | |
| * | | Vertex Pharmaceuticals Inc. | | | 224,820 | | | | 37,255 | |
| | | Zoetis Inc. | | | 422,976 | | | | 36,181 | |
| | | Humana Inc. | | | 120,602 | | | | 34,550 | |
| | | HCA Healthcare Inc. | | | 242,055 | | | | 30,124 | |
| | | Baxter International Inc. | | | 444,790 | | | | 29,276 | |
| * | | Edwards Lifesciences Corp. | | | 183,922 | | | | 28,171 | |
| * | | Regeneron Pharmaceuticals Inc. | | | 70,234 | | | | 26,232 | |
| * | | Centene Corp. | | | 171,634 | | | | 19,789 | |
| | | Zimmer Biomet Holdings Inc. | | | 179,753 | | | | 18,644 | |
| * | | Alexion Pharmaceuticals Inc. | | | 186,521 | | | | 18,160 | |
| * | | IQVIA Holdings Inc. | | | 149,778 | | | | 17,400 | |
| | | ResMed Inc. | | | 125,168 | | | | 14,253 | |
| * | | IDEXX Laboratories Inc. | | | 75,923 | | | | 14,123 | |
| * | | Align Technology Inc. | | | 66,953 | | | | 14,022 | |
| * | | BioMarin Pharmaceutical Inc. | | | 156,961 | | | | 13,365 | |
| * | | ABIOMED Inc. | | | 37,648 | | | | 12,237 | |
| * | | Mylan NV | | | 432,711 | | | | 11,856 | |
| | | Cardinal Health Inc. | | | 262,775 | | | | 11,720 | |
| * | | Laboratory Corp. of America Holdings | | | 88,867 | | | | 11,229 | |
| | | Cooper Cos. Inc. | | | 43,293 | | | | 11,018 | |
| * | | Henry Schein Inc. | | | 134,284 | | | | 10,544 | |
| * | | Hologic Inc. | | | 255,292 | | | | 10,493 | |
| | | Teleflex Inc. | | | 40,531 | | | | 10,476 | |
| * | | WellCare Health Plans Inc. | | | 44,120 | | | | 10,416 | |
| * | | Incyte Corp. | | | 159,689 | | | | 10,155 | |
| | | Quest Diagnostics Inc. | | | 119,923 | | | | 9,986 | |
| * | | Varian Medical Systems Inc. | | | 80,140 | | | | 9,081 | |
| | | Universal Health Services Inc. Class B | | | 74,947 | | | | 8,736 | |
| | | Dentsply Sirona Inc. | | | 197,242 | | | | 7,339 | |
| * | | Jazz Pharmaceuticals plc | | | 50,546 | | | | 6,266 | |
| * | | Alnylam Pharmaceuticals Inc. | | | 80,192 | | | | 5,847 | |
| * | | DaVita Inc. | | | 110,547 | | | | 5,689 | |
| * | | Seattle Genetics Inc. | | | 91,638 | | | | 5,192 | |
| * | | Nektar Therapeutics Class A | | | 152,759 | | | | 5,021 | |
| * | | DexCom Inc. | | | 39,223 | | | | 4,699 | |
| * | | Alkermes plc | | | 137,423 | | | | 4,055 | |
| | | Perrigo Co. plc | | | 86,526 | | | | 3,353 | |
| | | | | | | | | | 2,702,108 | |
| Industrials (11.9%) |
| | | Boeing Co. | | | 474,449 | | | | 153,010 | |
| | | 3M Co. | | | 512,022 | | | | 97,561 | |
| | | Union Pacific Corp. | | | 648,057 | | | | 89,581 | |
| | | Honeywell International Inc. | | | 650,437 | | | | 85,936 | |
| * | | PayPal Holdings Inc. | | | 984,504 | | | | 82,787 | |
| | | Accenture plc Class A | | | 561,205 | | | | 79,135 | |
| | | United Technologies Corp. | | | 720,498 | | | | 76,719 | |
| | | Caterpillar Inc. | | | 519,321 | | | | 65,990 | |
| | | United Parcel Service Inc. Class B | | | 612,120 | | | | 59,700 | |
| | | General Electric Co. | | | 7,653,325 | | | | 57,936 | |
| | | Danaher Corp. | | | 554,372 | | | | 57,167 | |
| | | Lockheed Martin Corp. | | | 212,501 | | | | 55,641 | |
| | | Automatic Data Processing Inc. | | | 365,364 | | | | 47,906 | |
| | | CSX Corp. | | | 705,637 | | | | 43,841 | |
| | | Deere & Co. | | | 283,091 | | | | 42,229 | |
| | | Raytheon Co. | | | 250,289 | | | | 38,382 | |
| | | Northrop Grumman Corp. | | | 152,653 | | | | 37,385 | |
| * | | Norfolk Southern Corp. | | | 239,619 | | | | 35,833 | |
| | | General Dynamics Corp. | | | 221,196 | | | | 34,774 | |
| | | FedEx Corp. | | | 209,225 | | | | 33,754 | |
| | | Waste Management Inc. | | | 374,594 | | | | 33,335 | |
| | | Illinois Tool Works Inc. | | | 262,560 | | | | 33,264 | |
| | | Emerson Electric Co. | | | 550,916 | | | | 32,917 | |
| | | Fidelity National Information Services Inc. | | | 287,577 | | | | 29,491 | |
| | | Sherwin-Williams Co. | | | 74,065 | | | | 29,142 | |
| | | Eaton Corp. plc | | | 380,568 | | | | 26,130 | |
| * | | Fiserv Inc. | | | 350,029 | | | | 25,724 | |
| | | Roper Technologies Inc. | | | 90,894 | | | | 24,225 | |
| | | Johnson Controls International plc | | | 812,833 | | | | 24,100 | |
| | | TE Connectivity Ltd. | | | 302,618 | | | | 22,887 | |
| | | Amphenol Corp. Class A | | | 265,888 | | | | 21,542 | |
| * | | Worldpay Inc. Class A | | | 265,648 | | | | 20,303 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Ingersoll-Rand plc | | | 215,889 | | | | 19,696 | |
| | | Agilent Technologies Inc. | | | 280,296 | | | | 18,909 | |
| | | Paychex Inc. | | | 284,182 | | | | 18,514 | |
| | | Cummins Inc. | | | 134,185 | | | | 17,932 | |
| | | Fortive Corp. | | | 264,329 | | | | 17,884 | |
| | | PACCAR Inc. | | | 307,375 | | | | 17,563 | |
| | | Parker-Hannifin Corp. | | | 116,562 | | | | 17,384 | |
| | | Willis Towers Watson plc | | | 114,254 | | | | 17,351 | |
| | | Waste Connections Inc. | | | 231,762 | | | | 17,208 | |
| | | Rockwell Automation Inc. | | | 106,350 | | | | 16,004 | |
| | | Stanley Black & Decker Inc. | | | 133,094 | | | | 15,937 | |
| * | | Verisk Analytics Inc. Class A | | | 137,030 | | | | 14,942 | |
| * | | FleetCor Technologies Inc. | | | 78,089 | | | | 14,503 | |
| * | | Square Inc. | | | 257,948 | | | | 14,468 | |
| | | Global Payments Inc. | | | 139,495 | | | | 14,386 | |
| * | | TransDigm Group Inc. | | | 41,753 | | | | 14,198 | |
| | | AMETEK Inc. | | | 203,882 | | | | 13,803 | |
| | | Ball Corp. | | | 299,321 | | | | 13,763 | |
| | | Republic Services Inc. Class A | | | 184,777 | | | | 13,321 | |
| | | Fastenal Co. | | | 252,782 | | | | 13,218 | |
| | | Cintas Corp. | | | 75,312 | | | | 12,652 | |
| * | | Mettler-Toledo International Inc. | | | 22,021 | | | | 12,455 | |
| | | L3 Technologies Inc. | | | 69,282 | | | | 12,031 | |
| * | | Waters Corp. | | | 63,304 | | | | 11,942 | |
| | | WW Grainger Inc. | | | 42,002 | | | | 11,860 | |
| | | Total System Services Inc. | | | 144,919 | | | | 11,780 | |
| | | Vulcan Materials Co. | | | 116,355 | | | | 11,496 | |
| * | | CoStar Group Inc. | | | 31,987 | | | | 10,790 | |
| | | Xylem Inc. | | | 158,018 | | | | 10,543 | |
| | | Expeditors International of Washington Inc. | | | 153,107 | | | | 10,425 | |
| | | CH Robinson Worldwide Inc. | | | 121,808 | | | | 10,243 | |
| | | Broadridge Financial Solutions Inc. | | | 102,947 | | | | 9,909 | |
| | | Martin Marietta Materials Inc. | | | 55,086 | | | | 9,468 | |
| | | TransUnion | | | 162,963 | | | | 9,256 | |
| | | Dover Corp. | | | 128,472 | | | | 9,115 | |
| | | Textron Inc. | | | 192,290 | | | | 8,843 | |
| | | Westrock Co. | | | 227,904 | | | | 8,606 | |
| | | Kansas City Southern | | | 90,019 | | | | 8,592 | |
| | | Old Dominion Freight Line Inc. | | | 65,276 | | | | 8,061 | |
| * | | First Data Corp. Class A | | | 471,589 | | | | 7,975 | |
| | | Masco Corp. | | | 270,548 | | | | 7,911 | |
| * | | United Rentals Inc. | | | 71,843 | | | | 7,366 | |
| * | | Trimble Inc. | | | 222,947 | | | �� | 7,337 | |
| | | Jacobs Engineering Group Inc. | | | 125,247 | | | | 7,322 | |
| | | Huntington Ingalls Industries Inc. | | | 37,861 | | | | 7,205 | |
| | | JB Hunt Transport Services Inc. | | | 77,226 | | | | 7,185 | |
| | | Snap-on Inc. | | | 49,404 | | | | 7,178 | |
| | | Arconic Inc. | | | 385,145 | | | | 6,494 | |
| * | | Sensata Technologies Holding plc | | | 144,643 | | | | 6,486 | |
| | | Alliance Data Systems Corp. | | | 41,047 | | | | 6,160 | |
| | | Packaging Corp. of America | | | 73,156 | | | | 6,106 | |
| | | Robert Half International Inc. | | | 101,696 | | | | 5,817 | |
| | | Pentair plc | | | 153,084 | | | | 5,783 | |
| * | | XPO Logistics Inc. | | | 96,346 | | | | 5,496 | |
| | | Wabtec Corp. | | | 76,658 | | | | 5,385 | |
| * | | Arrow Electronics Inc. | | | 77,451 | | | | 5,340 | |
| * | | Keysight Technologies Inc. | | | 82,175 | | | | 5,101 | |
| | | Allison Transmission Holdings Inc. | | | 114,007 | | | | 5,006 | |
| * | | Crown Holdings Inc. | | | 120,216 | | | | 4,997 | |
| | | Sealed Air Corp. | | | 140,834 | | | | 4,907 | |
| | | Hubbell Inc. Class B | | | 48,650 | | | | 4,833 | |
| | | Jack Henry & Associates Inc. | | | 33,849 | | | | 4,283 | |
| | | Owens Corning | | | 96,581 | | | | 4,248 | |
| | | Fluor Corp. | | | 124,345 | | | | 4,004 | |
| | | Xerox Corp. | | | 179,295 | | | | 3,543 | |
| * | | IPG Photonics Corp. | | | 30,806 | | | | 3,490 | |
| | | AO Smith Corp. | | | 63,935 | | | | 2,730 | |
| | | FLIR Systems Inc. | | | 61,635 | | | | 2,684 | |
| | | Flowserve Corp. | | | 58,061 | | | | 2,207 | |
| | | Cognex Corp. | | | 50,230 | | | | 1,942 | |
| | | ManpowerGroup Inc. | | | 27,729 | | | | 1,797 | |
| ^ | | ADT Inc. | | | 105,026 | | | | 631 | |
| | | Acuity Brands Inc. | | | 59 | | | | 7 | |
| | | | | | | | | | 2,286,334 | |
| Oil & Gas (5.2%) |
| | | Exxon Mobil Corp. | | | 3,723,579 | | | | 253,911 | |
| | | Chevron Corp. | | | 1,680,628 | | | | 182,836 | |
| | | ConocoPhillips | | | 1,012,677 | | | | 63,140 | |
| | | EOG Resources Inc. | | | 510,703 | | | | 44,538 | |
| | | Schlumberger Ltd. | | | 1,218,926 | | | | 43,979 | |
| | | Occidental Petroleum Corp. | | | 664,179 | | | | 40,767 | |
| | | Marathon Petroleum Corp. | | | 607,688 | | | | 35,860 | |
| | | Phillips 66 | | | 385,375 | | | | 33,200 | |
| | | Valero Energy Corp. | | | 373,409 | | | | 27,995 | |
| | | Kinder Morgan Inc. | | | 1,651,691 | | | | 25,403 | |
| | | Williams Cos. Inc. | | | 1,066,260 | | | | 23,511 | |
| | | Pioneer Natural Resources Co. | | | 150,211 | | | | 19,756 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | ONEOK Inc. | | | 362,414 | | | | 19,552 | |
| | | Halliburton Co. | | | 733,046 | | | | 19,484 | |
| | | Anadarko Petroleum Corp. | | | 443,956 | | | | 19,463 | |
| * | | Concho Resources Inc. | | | 176,250 | | | | 18,117 | |
| | | Diamondback Energy Inc. | | | 144,732 | | | | 13,417 | |
| * | | Cheniere Energy Inc. | | | 204,025 | | | | 12,076 | |
| | | Marathon Oil Corp. | | | 735,246 | | | | 10,544 | |
| | | Hess Corp. | | | 248,718 | | | | 10,073 | |
| | | Baker Hughes a GE Co. Class A | | | 451,264 | | | | 9,702 | |
| | | Devon Energy Corp. | | | 394,170 | | | | 8,885 | |
| | | Apache Corp. | | | 335,550 | | | | 8,808 | |
| | | National Oilwell Varco Inc. | | | 337,140 | | | | 8,665 | |
| | | Cabot Oil & Gas Corp. | | | 380,712 | | | | 8,509 | |
| | | Noble Energy Inc. | | | 424,849 | | | | 7,970 | |
| | | HollyFrontier Corp. | | | 152,505 | | | | 7,796 | |
| | | Targa Resources Corp. | | | 203,164 | | | | 7,318 | |
| | | OGE Energy Corp. | | | 175,022 | | | | 6,859 | |
| | | Cimarex Energy Co. | | | 84,554 | | | | 5,213 | |
| * | | Continental Resources Inc. | | | 83,332 | | | | 3,349 | |
| | | Helmerich & Payne Inc. | | | 46,104 | | | | 2,210 | |
| * | | Equitrans Midstream Corp. | | | 48,512 | | | | 971 | |
| | | EQT Corp. | | | 225 | | | | 4 | |
| * | | Antero Resources Corp. | | | 225 | | | | 2 | |
| | | | | | | | | | 1,003,883 | |
| Other (0.0%)2 |
| *,§ | | American International Group Inc. Warrants Expire 01/19/2021 | | | 3,568 | | | | — | |
| | | | | | | | | | | |
| Technology (20.5%) |
| | | Microsoft Corp. | | | 6,797,118 | | | | 690,383 | |
| | | Apple Inc. | | | 3,756,437 | | | | 592,540 | |
| * | | Facebook Inc. Class A | | | 2,113,128 | | | | 277,010 | |
| * | | Alphabet Inc. Class A | | | 263,128 | | | | 274,958 | |
| * | | Alphabet Inc. Class C | | | 261,155 | | | | 270,455 | |
| | | Intel Corp. | | | 4,013,646 | | | | 188,360 | |
| | | Cisco Systems Inc. | | | 3,953,650 | | | | 171,312 | |
| | | Oracle Corp. | | | 2,332,006 | | | | 105,290 | |
| * | | Adobe Inc. | | | 429,282 | | | | 97,121 | |
| | | International Business Machines Corp. | | | 799,457 | | | | 90,874 | |
| | | Broadcom Inc. | | | 345,447 | | | | 87,840 | |
| * | | salesforce.com Inc. | | | 639,225 | | | | 87,555 | |
| | | Texas Instruments Inc. | | | 844,470 | | | | 79,802 | |
| | | NVIDIA Corp. | | | 509,809 | | | | 68,059 | |
| | | QUALCOMM Inc. | | | 1,066,158 | | | | 60,675 | |
| | | Intuit Inc. | | | 216,501 | | | | 42,618 | |
| | | Cognizant Technology Solutions Corp. Class A | | | 509,437 | | | | 32,339 | |
| * | | Micron Technology Inc. | | | 997,562 | | | | 31,653 | |
| | | HP Inc. | | | 1,392,207 | | | | 28,485 | |
| | | Applied Materials Inc. | | | 865,257 | | | | 28,329 | |
| * | | ServiceNow Inc. | | | 157,852 | | | | 28,106 | |
| | | Analog Devices Inc. | | | 325,202 | | | | 27,912 | |
| * | | Red Hat Inc. | | | 155,240 | | | | 27,266 | |
| * | | Autodesk Inc. | | | 192,495 | | | | 24,757 | |
| | | Corning Inc. | | | 706,728 | | | | 21,350 | |
| * | | Workday Inc. Class A | | | 131,265 | | | | 20,960 | |
| | | Xilinx Inc. | | | 222,510 | | | | 18,951 | |
| | | Lam Research Corp. | | | 136,571 | | | | 18,597 | |
| * | | Twitter Inc. | | | 602,587 | | | | 17,318 | |
| | | Hewlett Packard Enterprise Co. | | | 1,294,766 | | | | 17,104 | |
| | | Motorola Solutions Inc. | | | 143,584 | | | | 16,518 | |
| * | | Advanced Micro Devices Inc. | | | 835,427 | | | | 15,422 | |
| ^ | | Microchip Technology Inc. | | | 208,226 | | | | 14,976 | |
| * | | Palo Alto Networks Inc. | | | 78,949 | | | | 14,870 | |
| * | | Cerner Corp. | | | 275,837 | | | | 14,465 | |
| * | | VeriSign Inc. | | | 95,769 | | | | 14,202 | |
| | | Harris Corp. | | | 103,648 | | | | 13,956 | |
| * | | Splunk Inc. | | | 129,165 | | | | 13,543 | |
| | | NetApp Inc. | | | 222,118 | | | | 13,254 | |
| | | DXC Technology Co. | | | 247,046 | | | | 13,135 | |
| * | | IAC/InterActiveCorp | | | 68,421 | | | | 12,524 | |
| | | Maxim Integrated Products Inc. | | | 243,455 | | | | 12,380 | |
| | | KLA-Tencor Corp. | | | 134,868 | | | | 12,069 | |
| | | Citrix Systems Inc. | | | 112,130 | | | | 11,489 | |
| * | | Synopsys Inc. | | | 130,613 | | | | 11,003 | |
| * | | Cadence Design Systems Inc. | | | 247,881 | | | | 10,778 | |
| | | CDW Corp. | | | 132,247 | | | | 10,719 | |
| * | | ANSYS Inc. | | | 73,433 | | | | 10,496 | |
| | | Skyworks Solutions Inc. | | | 156,418 | | | | 10,483 | |
| | | Symantec Corp. | | | 535,377 | | | | 10,116 | |
| * | | Arista Networks Inc. | | | 46,628 | | | | 9,825 | |
| * | | Gartner Inc. | | | 76,068 | | | | 9,725 | |
| * | | Veeva Systems Inc. Class A | | | 107,423 | | | | 9,595 | |
| * | | GoDaddy Inc. Class A | | | 140,416 | | | | 9,214 | |
| | | VMware Inc. Class A | | | 66,874 | | | | 9,170 | |
| | | Western Digital Corp. | | | 242,740 | | | | 8,974 | |
| * | | Fortinet Inc. | | | 127,198 | | | | 8,959 | |
| | | Marvell Technology Group Ltd. | | | 552,425 | | | | 8,944 | |
| | | SS&C Technologies Holdings Inc. | | | 198,119 | | | | 8,937 | |
| | | Seagate Technology plc | | | 226,552 | | | | 8,743 | |
| * | | F5 Networks Inc. | | | 53,319 | | | | 8,639 | |
| * | | Akamai Technologies Inc. | | | 136,660 | | | | 8,347 | |
| | | Juniper Networks Inc. | | | 304,212 | | | | 8,186 | |
| * | | Qorvo Inc. | | | 110,165 | | | | 6,690 | |
| * | | Dell Technologies Inc. | | | 119,037 | | | | 5,817 | |
| | | CDK Global Inc. | | | 113,676 | | | | 5,443 | |
| *,^ | | Snap Inc. | | | 521,723 | | | | 2,875 | |
| * | | Dropbox Inc. Class A | | | 134,046 | | | | 2,739 | |
Large-Cap Index Fund
| | | | | | | | Market | |
| | | | | | | | Value• | |
| | | | | Shares | | | ($000) | |
| | | Match Group Inc. | | | 44,846 | | | | 1,918 | |
| | | LogMeIn Inc. | | | 59 | | | | 5 | |
| | | | | | | | | | 3,927,122 | |
| Telecommunications (2.2%) |
| | | Verizon Communications Inc. | | | 3,636,158 | | | | 204,425 | |
| | | AT&T Inc. | | | 6,406,286 | | | | 182,835 | |
| * | | T-Mobile US Inc. | | | 263,423 | | | | 16,756 | |
| | | CenturyLink Inc. | | | 859,412 | | | | 13,020 | |
| * | | Zayo Group Holdings Inc. | | | 139,558 | | | | 3,188 | |
| * | | Sprint Corp. | | | 542,782 | | | | 3,159 | |
| | | | | | | | | | 423,383 | |
| Utilities (3.2%) |
| | | NextEra Energy Inc. | | | 419,789 | | | | 72,968 | |
| | | Duke Energy Corp. | | | 626,786 | | | | 54,092 | |
| | | Dominion Energy Inc. | | | 577,860 | | | | 41,294 | |
| | | Southern Co. | | | 892,625 | | | | 39,204 | |
| | | Exelon Corp. | | | 847,487 | | | | 38,222 | |
| | | American Electric Power Co. Inc. | | | 433,262 | | | | 32,382 | |
| | | Sempra Energy | | | 228,716 | | | | 24,745 | |
| | | Public Service Enterprise Group Inc. | | | 444,026 | | | | 23,111 | |
| | | Xcel Energy Inc. | | | 452,621 | | | | 22,301 | |
| | | Consolidated Edison Inc. | | | 286,774 | | | | 21,927 | |
| | | WEC Energy Group Inc. | | | 276,849 | | | | 19,174 | |
| | | Eversource Energy | | | 278,144 | | | | 18,090 | |
| | | PPL Corp. | | | 634,571 | | | | 17,977 | |
| | | DTE Energy Co. | | | 159,620 | | | | 17,606 | |
| | | FirstEnergy Corp. | | | 450,062 | | | | 16,900 | |
| | | Edison International | | | 287,144 | | | | 16,301 | |
| | | American Water Works Co. Inc. | | | 158,982 | | | | 14,431 | |
| | | Ameren Corp. | | | 213,685 | | | | 13,939 | |
| | | Entergy Corp. | | | 159,692 | | | | 13,745 | |
| | | Evergy Inc. | | | 231,416 | | | | 13,137 | |
| | | CenterPoint Energy Inc. | | | 440,163 | | | | 12,426 | |
| | | CMS Energy Corp. | | | 249,584 | | | | 12,392 | |
| * | | PG&E Corp. | | | 457,321 | | | | 10,861 | |
| * | | Alliant Energy Corp. | | | 208,705 | | | | 8,818 | |
| | | Pinnacle West Capital Corp. | | | 99,080 | | | | 8,442 | |
| | | AES Corp. | | | 582,635 | | | | 8,425 | |
| | | NiSource Inc. | | | 327,459 | | | | 8,301 | |
| * | | Vistra Energy Corp. | | | 356,260 | | | | 8,155 | |
| | | SCANA Corp. | | | 123,767 | | | | 5,913 | |
| | | Avangrid Inc. | | | 53,847 | | | | 2,697 | |
| | | | | | | | | | 617,976 | |
| Total Common Stocks |
| (Cost $14,121,719) | | | | | | | 19,079,081 | |
| Temporary Cash Investments (0.7%)1 | | | | | | | | |
| Money Market Fund (0.7%) | | | | | | | | |
| 3,4 | | Vanguard Market Liquidity Fund, 2.530% | | | 1,285,543 | | | | 128,554 | |
| | | | | | | | | | | |
| | | | | | Face | | | | | |
| | | | | | Amount | | | | | |
| | | | | | ($000 | ) | | | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| | | United States Treasury Bill, 2.284%, 2/21/19 | | | 100 | | | | 100 | |
| 5 | | United States Treasury Bill, 2.480%, 5/9/19 | | | 4,000 | | | | 3,966 | |
| 5 | | United States Treasury Bill, 2.497%, 5/23/19 | | | 2,000 | | | | 1,981 | |
| | | United States Treasury Bill, 2.502%, 6/20/19 | | | 1,200 | | | | 1,186 | |
| | | | | | | | | | 7,233 | |
| Total Temporary Cash Investments | | | | | | | |
| (Cost $135,777) | | | | | | 135,787 | |
| Total Investments (100.2%) | | | | | | | |
| (Cost $14,257,496) | | | | | | 19,214,868 | |
| | | | | | | | | | | |
| | | | | | | | | | Amount | |
| | | | | | | | | | ($000 | ) |
| Other Assets and Liabilities (-0.2%) | | | | | | | |
| Other Assets | | | | | | | |
| Investment in Vanguard | | | | | | 1,071 | |
| Receivables for Accrued Income | | | | | | 21,768 | |
| Receivables for Capital Shares Issued | | | | | | 24,956 | |
| Variation Margin Receivable—Futures Contracts | | | | | | 635 | |
| Other Assets | | | | | | 1,618 | |
| Total Other Assets | | | | | | 50,048 | |
| Liabilities | | | | | | | |
| Payables for Investment Securities Purchased | | | | | | (30,524 | ) |
| Collateral for Securities on Loan | | | | | | (32,480 | ) |
| Payables for Capital Shares Redeemed | | | | | | (11,755 | ) |
| Payables to Vanguard | | | | | | (4,504 | ) |
| Total Liabilities | | | | | | (79,263 | ) |
| Net Assets (100%) | | | | | | 19,185,653 | |
Large-Cap Index Fund
At December 31, 2018, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 14,299,239 | |
| Total Distributable Earnings (Loss) | | | 4,886,414 | |
| Net Assets | | | 19,185,653 | |
| | | | | |
| Investor Shares—Net Assets | | | | |
| Applicable to 7,418,599 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 343,953 | |
| Net Asset Value Per Share—Investor Shares | | | $46.36 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 107,672,761 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 12,357,735 | |
| Net Asset Value Per Share—ETF Shares | | | $114.77 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 91,544,775 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 5,306,251 | |
| Net Asset Value Per Share—Admiral Shares | | | $57.96 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 4,936,605 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | | 1,177,714 | |
| Net Asset Value Per Share— Institutional Shares | | | $238.57 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $31,344,000. |
| § | Security value determined using significant unobservable inputs. |
| 1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets. |
| 2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 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 | Includes $32,480,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $4,559,000 have been segregated as initial margin for open futures contracts. |
| Derivative Financial Instruments Outstanding as of Period End |
| Futures Contracts | |
| | | | | ($000 | ) |
| | | | | Value and | |
| | | Number of | | Unrealized | |
| | | Long (Short) | Notional | Appreciation | |
| | Expiration | Contracts | Amount | (Depreciation | ) |
| Long Futures Contracts | | | | | |
| E-mini S&P 500 Index | March 2019 | 788 | 98,705 | (669 | ) |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 411,223 | |
| Interest1 | | | 1,305 | |
| Securities Lending—Net | | | 655 | |
| Total Income | | | 413,183 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 2,995 | |
| Management and Administrative—Investor Shares | | | 516 | |
| Management and Administrative—ETF Shares | | | 2,150 | |
| Management and Administrative—Admiral Shares | | | 1,461 | |
| Management and Administrative—Institutional Shares | | | 256 | |
| Marketing and Distribution—Investor Shares | | | 79 | |
| Marketing and Distribution—ETF Shares | | | 532 | |
| Marketing and Distribution—Admiral Shares | | | 361 | |
| Marketing and Distribution—Institutional Shares | | | 26 | |
| Custodian Fees | | | 327 | |
| Auditing Fees | | | 37 | |
| Shareholders’ Reports—Investor Shares | | | 8 | |
| Shareholders’ Reports—ETF Shares | | | 263 | |
| Shareholders’ Reports—Admiral Shares | | | 38 | |
| Shareholders’ Reports—Institutional Shares | | | 3 | |
| Trustees’ Fees and Expenses | | | 12 | |
| Total Expenses | | | 9,064 | |
| Net Investment Income | | | 404,119 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 678,994 | |
| Futures Contracts | | | (5,852 | ) |
| Realized Net Gain (Loss) | | | 673,142 | |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (1,953,671 | ) |
| Futures Contracts | | | (797 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (1,954,468 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (877,207 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,223,000, ($8,000), and $8,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $669,728,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 404,119 | | | | 308,673 | |
| Realized Net Gain (Loss) | | | 673,142 | | | | 217,973 | |
| Change in Unrealized Appreciation (Depreciation) | | | (1,954,468 | ) | | | 2,670,826 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (877,207 | ) | | | 3,197,472 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (6,911 | ) | | | (7,172 | ) |
| ETF Shares | | | (243,075 | ) | | | (190,180 | ) |
| Admiral Shares | | | (106,867 | ) | | | (91,116 | ) |
| Institutional Shares | | | (23,370 | ) | | | (20,083 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Total Distributions | | | (380,223 | ) | | | (308,551 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | (19,620 | ) | | | (86,883 | ) |
| ETF Shares | | | 1,551,173 | | | | 1,372,048 | |
| Admiral Shares | | | 279,738 | | | | 392,051 | |
| Institutional Shares | | | 45,100 | | | | 89,869 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 1,856,391 | | | | 1,767,085 | |
| Total Increase (Decrease) | | | 598,961 | | | | 4,656,006 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 18,586,692 | | | | 13,930,686 | |
| End of Period | | | 19,185,653 | | | | 18,586,692 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $49.48 | | | | $41.31 | | | | $37.78 | | | | $38.12 | | | | $34.24 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | .966 | 1 | | | .819 | 1 | | | .768 | | | | .702 | | | | .624 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (3.184 | ) | | | 8.161 | | | | 3.533 | | | | (.348 | ) | | | 3.879 | |
| Total from Investment Operations | | | (2.218 | ) | | | 8.980 | | | | 4.301 | | | | .354 | | | | 4.503 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (.902 | ) | | | (.810 | ) | | | (.771 | ) | | | (.694 | ) | | | (.623 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (.902 | ) | | | (.810 | ) | | | (.771 | ) | | | (.694 | ) | | | (.623 | ) |
| Net Asset Value, End of Period | | | $46.36 | | | | $49.48 | | | | $41.31 | | | | $37.78 | | | | $38.12 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -4.59% | | | | 21.89% | | | | 11.50% | | | | 0.93% | | | | 13.24% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $344 | | | | $387 | | | | $400 | | | | $375 | | | | $399 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.17% | | | | 0.17% | | | | 0.18% | | | | 0.20% | | | | 0.23% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.91% | | | | 1.81% | | | | 2.02% | | | | 1.86% | | | | 1.76% | |
| Portfolio Turnover Rate3 | | | 4% | | | | 3% | | | | 5% | | | | 4% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $122.49 | | | | $102.27 | | | | $93.52 | | | | $94.36 | | | | $84.76 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.572 | 1 | | | 2.168 | 1 | | | 2.018 | | | | 1.850 | | | | 1.672 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (7.896 | ) | | | 20.196 | | | | 8.754 | | | | (.859 | ) | | | 9.599 | |
| Total from Investment Operations | | | (5.324 | ) | | | 22.364 | | | | 10.772 | | | | .991 | | | | 11.271 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.396 | ) | | | (2.144 | ) | | | (2.022 | ) | | | (1.831 | ) | | | (1.671 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.396 | ) | | | (2.144 | ) | | | (2.022 | ) | | | (1.831 | ) | | | (1.671 | ) |
| Net Asset Value, End of Period | | | $114.77 | | | | $122.49 | | | | $102.27 | | | | $93.52 | | | | $94.36 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -4.44% | | | | 22.03% | | | | 11.65% | | | | 1.07% | | | | 13.39% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $12,358 | | | | $11,613 | | | | $8,468 | | | | $6,469 | | | | $5,619 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.05% | | | | 0.06% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.04% | | | | 1.93% | | | | 2.14% | | | | 1.98% | | | | 1.90% | |
| Portfolio Turnover Rate2 | | | 4% | | | | 3% | | | | 5% | | | | 4% | | | | 3% | |
| 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.
Large-Cap Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $61.86 | | | | $51.65 | | | | $47.23 | | | | $47.65 | | | | $42.81 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.288 | 1 | | | 1.094 | 1 | | | 1.019 | | | | .936 | | | | .846 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (3.983 | ) | | | 10.197 | | | | 4.422 | | | | (.430 | ) | | | 4.839 | |
| Total from Investment Operations | | | (2.695 | ) | | | 11.291 | | | | 5.441 | | | | .506 | | | | 5.685 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.205 | ) | | | (1.081 | ) | | | (1.021 | ) | | | (.926 | ) | | | (.845 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.205 | ) | | | (1.081 | ) | | | (1.021 | ) | | | (.926 | ) | | | (.845 | ) |
| Net Asset Value, End of Period | | | $57.96 | | | | $61.86 | | | | $51.65 | | | | $47.23 | | | | $47.65 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -4.47% | | | | 22.03% | | | | 11.65% | | | | 1.07% | | | | 13.38% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $5,306 | | | | $5,375 | | | | $4,130 | | | | $3,527 | | | | $3,085 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.05% | | | | 0.05% | | | | 0.06% | | | | 0.08% | | | | 0.09% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.03% | | | | 1.93% | | | | 2.14% | | | | 1.98% | | | | 1.90% | |
| Portfolio Turnover Rate3 | | | 4% | | | | 3% | | | | 5% | | | | 4% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $254.60 | | | | $212.59 | | | | $194.40 | | | | $196.14 | | | | $176.18 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 5.345 | 1 | | | 4.529 | 1 | | | 4.215 | | | | 3.865 | | | | 3.492 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (16.390 | ) | | | 41.958 | | | | 18.199 | | | | (1.781 | ) | | | 19.957 | |
| Total from Investment Operations | | | (11.045 | ) | | | 46.487 | | | | 22.414 | | | | 2.084 | | | | 23.449 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (4.985 | ) | | | (4.477 | ) | | | (4.224 | ) | | | (3.824 | ) | | | (3.489 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (4.985 | ) | | | (4.477 | ) | | | (4.224 | ) | | | (3.824 | ) | | | (3.489 | ) |
| Net Asset Value, End of Period | | | $238.57 | | | | $254.60 | | | | $212.59 | | | | $194.40 | | | | $196.14 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -4.46% | | | | 22.03% | | | | 11.66% | | | | 1.07% | | | | 13.41% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $1,178 | | | | $1,212 | | | | $932 | | | | $794 | | | | $857 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.07% | | | | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | | | 2.04% | | | | 1.94% | | | | 2.15% | | | | 1.99% | | | | 1.91% | |
| Portfolio Turnover Rate2 | | | 4% | | | | 3% | | | | 5% | | | | 4% | | | | 3% | |
| 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.
Large-Cap Index Fund
Notes to Financial Statements
Vanguard Large-Cap 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.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Large-Cap Index Fund
During the year ended December 31, 2018, 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. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
Large-Cap Index Fund
7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $1,071,000, representing 0.01% of the fund’s net assets and 0.43% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | Level 2 | | Level 3 | |
| Investments | | ($000 | ) | ($000 | ) | ($000 | ) |
| Common Stocks | | 19,079,081 | | — | | — | |
| Temporary Cash Investments | | 128,554 | | 7,233 | | — | |
| Futures Contracts—Assets1 | | 635 | | — | | — | |
| Total | | 19,208,270 | | 7,233 | | — | |
| 1 | Represents variation margin on the last day of the reporting period. |
Large-Cap Index Fund
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for in-kind redemptions, and the expiration of capital loss carryforwards were reclassified between the following accounts:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | | 645,551 | |
| Total Distributable Earnings (Loss) | | | (645,551 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | ($000 | ) |
| Undistributed Ordinary Income | | | 25,143 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-expiring) | | | (91,843 | ) |
| Net Unrealized Gains (Losses) | | | 4,957,372 | |
As of December 31, 2018, 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 | | | 14,257,496 | |
| Gross Unrealized Appreciation | | | 5,697,897 | |
| Gross Unrealized Depreciation | | | (740,525 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 4,957,372 | |
E. During the year ended December 31, 2018, the fund purchased $3,658,672,000 of investment securities and sold $1,871,369,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,524,687,000 and $1,048,337,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Large-Cap Index Fund
F. Capital share transactions for each class of shares were:
| | | Year Ended December 31, | |
| | | | | | 2018 | | | | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 121,934 | | | | 2,382 | | | | 118,135 | | | | 2,621 | |
| Issued in Lieu of Cash Distributions | | | 6,625 | | | | 133 | | | | 6,912 | | | | 150 | |
| Redeemed | | | (148,179 | ) | | | (2,917 | ) | | | (211,930 | ) | | | (4,643 | ) |
| Net Increase (Decrease)—Investor Shares | | | (19,620 | ) | | | (402 | ) | | | (86,883 | ) | | | (1,872 | ) |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 2,602,362 | | | | 21,138 | | | | 1,614,290 | | | | 14,185 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (1,051,189 | ) | | | (8,275 | ) | | | (242,242 | ) | | | (2,175 | ) |
| Net Increase (Decrease)—ETF Shares | | | 1,551,173 | | | | 12,863 | | | | 1,372,048 | | | | 12,010 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 1,357,240 | | | | 21,650 | | | | 1,077,132 | | | | 19,032 | |
| Issued in Lieu of Cash Distributions | | | 87,699 | | | | 1,413 | | | | 74,998 | | | | 1,299 | |
| Redeemed | | | (1,165,201 | ) | | | (18,414 | ) | | | (760,079 | ) | | | (13,403 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 279,738 | | | | 4,649 | | | | 392,051 | | | | 6,928 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 265,348 | | | | 1,014 | | | | 316,743 | | | | 1,353 | |
| Issued in Lieu of Cash Distributions | | | 19,212 | | | | 75 | | | | 16,062 | | | | 67 | |
| Redeemed | | | (239,460 | ) | | | (911 | ) | | | (242,936 | ) | | | (1,043 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 45,100 | | | | 178 | | | | 89,869 | | | | 377 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets of Vanguard Growth Index Fund, Vanguard Value Index Fund and Vanguard Large-Cap Index Fund (three of the funds constituting Vanguard Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard U.S. Stock Index Funds
(Large-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
The funds distributed qualified dividend income to shareholders during the fiscal year as follows:
| Fund | | | ($000 | ) |
| Growth Index Fund | | | 896,615 | |
| Value Index Fund | | | 1,721,134 | |
| Large-Cap Index Fund | | | 380,224 | |
For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows:
| Fund | | Percentage | |
| Growth Index Fund | | | 85.8% | |
| Value Index Fund | | | 95.5 | |
| Large-Cap Index Fund | | | 92.9 | |
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in theStatement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
| 1 | Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds. |
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Joseph Brennan | Chris D. McIsaac |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
| | |
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| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
Connect with Vanguard®> vanguard.com
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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| | © 2019 The Vanguard Group, Inc. |
| | All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. |
| | Vanguard Marketing Corporation, Distributor. |
| | |
| | Q03070 022019 |
Annual Report| December 31, 2018 Vanguard Total Stock Market Index Fund |
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports. |
Important information about access to shareholder reports
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.
Contents
| A Note From Our CEO | 1 |
| | |
| Your Fund’s Performance at a Glance | 2 |
| | |
| About Your Fund’s Expenses | 3 |
| | |
| Performance Summary | 5 |
| | |
| Financial Statements | 8 |
Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
A Note From Our CEO
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Over the years, I’ve found that prudent investors exhibit a common trait: discipline. No matter how the markets move or what new investing fad hits the headlines, those who stay focused on their goals and tune out the noise are set up for long-term success.
The prime gateway to investing is saving, and you don’t usually become a saver without a healthy dose of discipline. Savers make the decision to sock away part of their income, which means spending less and delaying gratification, no matter how difficult that may be.
Of course, disciplined investing extends beyond diligent saving. The financial markets, in the short term especially, are unpredictable; I have yet to meet the investor who can time them perfectly. It takes discipline to resist the urge to go all-in when markets are frothy or to retreat when things look bleak.
Staying put with your investments is one strategy for handling volatility. Another, rebalancing, requires even more discipline because it means steering your money away from strong performers and toward poorer performers.
Patience—a form of discipline—is also the friend of long-term investors. Higher returns are the potential reward for weathering the market’s turbulence and uncertainty.
It’s important to be prepared for that turbulence, whenever it appears. Don’t panic. Don’t chase returns or look for answers outside the asset classes you trust. And be sure to rebalance periodically, even when there’s turmoil.
Whether you’re a master of self-control, get a boost from technology, or work with a professional advisor, know that discipline is necessary to get the most out of your investment portfolio. And know that Vanguard is with you for the entire ride.
Thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 17, 2019
Your Fund’s Performance at a Glance
· The broad U.S. stock market finished 2018 with about a –5% return—its first negative calendar-year result since 2008—as stocks declined sharply over the fourth quarter. Growth stocks outperformed value, while large-capitalization stocks led mid- and small-caps.
· Reflecting this environment, Vanguard Total Stock Market Index Fund returned –5.26% for Investor Shares and –5.17% for Admiral Shares for the 12 months ended December 31, 2018. The fund, which offers investors exposure to every segment, size, and style of the U.S. equity market, closely tracked its target index, the CRSP US Total Market Index, and outpaced its multicapitalization core fund peers.
· Seven of the fund’s ten sectors recorded negative returns, with financials and industrials detracting the most from results. Health care was the top contributor.
· Please note that in November, Vanguard lowered the investment minimum for the fund’s Admiral Shares from $10,000 to $3,000.
Market Barometer
| | Average Annual Total Returns |
| | Periods Ended December 31, 2018 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | -4.78% | 9.09% | 8.21% |
| Russell 2000 Index (Small-caps) | -11.01 | 7.36 | 4.41 |
| Russell 3000 Index (Broad U.S. market) | -5.24 | 8.97 | 7.91 |
| FTSE All-World ex US Index (International) | -14.13 | 4.58 | 1.05 |
| | | | |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index | | | |
| (Broad taxable market) | 0.01% | 2.06% | 2.52% |
| Bloomberg Barclays Municipal Bond Index | | | |
| (Broad tax-exempt market) | 1.28 | 2.30 | 3.82 |
| FTSE Three-Month U.S. Treasury Bill Index | 1.86 | 0.98 | 0.59 |
| | | | |
| CPI | | | |
| Consumer Price Index | 1.91% | 2.03% | 1.51% |
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 compareongoing 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.
Six Months Ended December 31, 2018
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Total Stock Market Index Fund | 6/30/2018 | 12/31/2018 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $917.80 | $0.68 |
| ETF Shares | 1,000.00 | 918.45 | 0.10 |
| Admiral™ Shares | 1,000.00 | 918.17 | 0.19 |
| Institutional Shares | 1,000.00 | 918.24 | 0.15 |
| Institutional Plus Shares | 1,000.00 | 918.28 | 0.10 |
| Institutional Select Shares | 1,000.00 | 918.31 | 0.05 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.10 | 0.10 |
| Admiral Shares | 1,000.00 | 1,025.00 | 0.20 |
| Institutional Shares | 1,000.00 | 1,025.05 | 0.15 |
| Institutional Plus Shares | 1,000.00 | 1,025.10 | 0.10 |
| Institutional Select Shares | 1,000.00 | 1,025.16 | 0.05 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.02% for ETF Shares, 0.04% for Admiral Shares, 0.03% for Institutional Shares, 0.02% for Institutional Plus Shares, and 0.01% for Institutional Select 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 (184/365).
Total Stock Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Cumulative Performance: December 31, 2008, Through December 31, 2018
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2018 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Total Stock Market Index Fund | | | | |
| Investor Shares | -5.26% | 7.79% | 13.13% | $34,325 |
 | Spliced Total Stock Market Index | -5.17 | 7.92 | 13.26 | 34,736 |
Spliced Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 22, 2005; MSCI US Broad Market Index through June 2, 2013; and CRSP US Total Market Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Total Stock Market Index Fund | | | | |
| ETF Shares Net Asset Value | -5.13% | 7.92% | 13.26% | $34,723 |
| Spliced Total Stock Market Index | -5.17 | 7.92 | 13.26 | 34,736 |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Total Stock Market Index Fund Admiral Shares | -5.17% | 7.90% | 13.25% | $34,709 |
| Spliced Total Stock Market Index | -5.17 | 7.92 | 13.26 | 34,736 |
See Financial Highlights for dividend and capital gains information.
Total Stock Market Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2018 | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Total Stock Market Index Fund Institutional Shares | -5.16% | 7.91% | 13.26% | $17,361,590 |
| Spliced Total Stock Market Index | -5.17 | 7.92 | 13.26 | 17,368,142 |
| | | Since | Final Value |
| | One | Inception | of a $100,000,000 |
| | Year | (4/28/2015) | Investment |
| Total Stock Market Index Fund Institutional Plus Shares | -5.15% | 6.33% | $125,298,030 |
| CRSP US Total Market Index | -5.17 | 6.31 | 125,232,230 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standards.
| | | Since | Final Value |
| | One | Inception | of a $5,000,000,000 |
| | Year | (6/27/2016) | Investment |
| Total Stock Market Index Fund Institutional Select Shares | -5.14% | 11.47% | $6,567,400,000 |
| CRSP US Total Market Index | -5.17 | 11.45 | 6,563,911,000 |
"Since Inception" performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standards.
Cumulative Returns of ETF Shares: December 31, 2008, Through December 31, 2018
| | One | Five | Ten |
| | Year | Years | Years |
| Total Stock Market Index Fund ETF Shares Market Price | -5.20% | 46.33% | 246.82% |
| Total Stock Market Index Fund ETF Shares Net Asset Value | -5.13 | 46.36 | 247.23 |
| Spliced Total Stock Market Index | -5.17 | 46.37 | 247.36 |
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Total Stock Market Index Fund
Sector Diversification
As of December 31, 2018
| Basic Materials | 2.5% |
| Consumer Goods | 7.9 |
| Consumer Services | 13.6 |
| Financials | 19.5 |
| Health Care | 13.9 |
| Industrials | 12.9 |
| Oil & Gas | 5.0 |
| Technology | 19.4 |
| Telecommunications | 2.0 |
| Utilities | 3.3 |
The table reflects the fund’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. 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.
Total Stock Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2018
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website.
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000) | | | Assets | |
| Common Stocks | | | | | | | | | | | | |
| Basic Materials | | | | | | | | | | | | |
| | | DowDuPont Inc. | | | 61,298,118 | | | | 3,278,223 | | | | 0.5 | % |
| | | Basic Materials—Other † | | | | | | | 13,214,018 | | | | 1.9 | % |
| | | | | | | | | | 16,492,241 | | | | 2.4 | % |
| Consumer Goods | | | | | | | | | | | | |
| | | Procter & Gamble Co. | | | 66,548,734 | | | | 6,117,160 | | | | 0.9 | % |
| | | Coca-Cola Co. | | | 102,283,588 | | | | 4,843,128 | | | | 0.7 | % |
| | | PepsiCo Inc. | | | 37,706,704 | | | | 4,165,837 | | | | 0.6 | % |
| | | Philip Morris International Inc. | | | 41,505,319 | | | | 2,770,895 | | | | 0.4 | % |
| | | NIKE Inc. Class B | | | 34,010,881 | | | | 2,521,567 | | | | 0.4 | % |
| | | Consumer Goods—Other † | | | | | | | 32,620,974 | | | | 4.9 | % |
| | | | | | | | | | 53,039,561 | | | | 7.9 | % |
| Consumer Services | | | | | | | | | | | | |
| * | | Amazon.com Inc. | | | 11,103,329 | | | | 16,676,867 | | | | 2.5 | % |
| | | Home Depot Inc. | | | 30,177,998 | | | | 5,185,184 | | | | 0.8 | % |
| | | Walt Disney Co. | | | 37,777,614 | | | | 4,142,315 | | | | 0.6 | % |
| | | Comcast Corp. Class A | | | 121,287,849 | | | | 4,129,851 | | | | 0.6 | % |
| | | McDonald’s Corp. | | | 20,593,963 | | | | 3,656,870 | | | | 0.6 | % |
| | | Walmart Inc. | | | 39,123,470 | | | | 3,644,351 | | | | 0.5 | % |
| * | | Netflix Inc. | | | 11,067,658 | | | | 2,962,369 | | | | 0.4 | % |
| § | | Consumer Services—Other † | | | | | | | 50,312,374 | | | | 7.5 | % |
| | | | | | | | | | 90,710,181 | | | | 13.5 | % |
| Financials | | | | | | | | | | | | |
| * | | Berkshire Hathaway Inc. Class B | | | 50,508,373 | | | | 10,312,800 | | | | 1.5 | % |
| | | JPMorgan Chase & Co. | | | 88,872,039 | | | | 8,675,688 | | | | 1.3 | % |
| | | Visa Inc. Class A | | | 47,014,765 | | | | 6,203,128 | | | | 0.9 | % |
| | | Bank of America Corp. | | | 236,065,255 | | | | 5,816,648 | | | | 0.9 | % |
| | | Wells Fargo & Co. | | | 113,207,525 | | | | 5,216,603 | | | | 0.8 | % |
Total Stock Market Index Fund
| | | | | | | | Market | | | Percentage | |
| | | | | | | | Value• | | | of Net | |
| | | | | Shares | | | ($000) | | | Assets | |
| | | Mastercard Inc. Class A | | | 24,548,873 | | | | 4,631,145 | | | | 0.7 | % |
| | | Citigroup Inc. | | | 65,271,677 | | | | 3,398,044 | | | | 0.5 | % |
| * | | Berkshire Hathaway Inc. Class A | | | 1,034 | | | | 316,404 | | | | 0.0 | % |
| § | | Financials—Other † | | | | | | | 85,349,952 | | | | 12.7 | % |
| | | | | | | | | | 129,920,412 | | | | 19.3 | % |
| Health Care | | | | | | | | | | | | |
| | | Johnson & Johnson | | | 71,605,522 | | | | 9,240,693 | | | | 1.4 | % |
| | | Pfizer Inc. | | | 154,420,822 | | | | 6,740,469 | | | | 1.0 | % |
| | | UnitedHealth Group Inc. | | | 25,701,378 | | | | 6,402,727 | | | | 1.0 | % |
| | | Merck & Co. Inc. | | | 69,465,748 | | | | 5,307,878 | | | | 0.8 | % |
| | | AbbVie Inc. | | | 40,166,516 | | | | 3,702,951 | | | | 0.5 | % |
| | | Abbott Laboratories | | | 46,919,307 | | | | 3,393,673 | | | | 0.5 | % |
| | | Amgen Inc. | | | 17,024,650 | | | | 3,314,189 | | | | 0.5 | % |
| | | Medtronic plc | | | 35,956,531 | | | | 3,270,606 | | | | 0.5 | % |
| | | Eli Lilly & Co. | | | 25,470,396 | | | | 2,947,434 | | | | 0.4 | % |
| | | Health Care—Other † | | | | | | | 48,676,076 | | | | 7.2 | % |
| | | | | | | | | | 92,996,696 | | | | 13.8 | % |
| Industrials | | | | | | | | | | | | |
| | | Boeing Co. | | | 14,412,662 | | | | 4,648,083 | | | | 0.7 | % |
| | | 3M Co. | | | 15,557,202 | | | | 2,964,269 | | | | 0.4 | % |
| | | Union Pacific Corp. | | | 19,683,934 | | | | 2,720,910 | | | | 0.4 | % |
| | | Honeywell International Inc. | | | 19,774,557 | | | | 2,612,614 | | | | 0.4 | % |
| * | | PayPal Holdings Inc. | | | 29,900,604 | | | | 2,514,342 | | | | 0.4 | % |
| § | | Industrials—Other † | | | | | | | 70,976,534 | | | | 10.6 | % |
| | | | | | | | | | 86,436,752 | | | | 12.9 | % |
| Oil & Gas | | | | | | | | | | | | |
| | | Exxon Mobil Corp. | | | 113,056,417 | | | | 7,709,317 | | | | 1.2 | % |
| | | Chevron Corp. | | | 51,040,764 | | | | 5,552,725 | | | | 0.8 | % |
| § | | Oil & Gas—Other † | | | | | | | 20,312,180 | | | | 3.0 | % |
| | | | | | | | | | 33,574,222 | | | | 5.0 | % |
| | | | | | | | | | | | | | | |
| §,1 Other † | | | | | | | 5,224 | | | | 0.0 | % |
| | | | | | | | | | | | | | | |
| Technology | | | | | | | | | | | | |
| | | Microsoft Corp. | | | 206,471,453 | | | | 20,971,305 | | | | 3.1 | % |
| | | Apple Inc. | | | 114,093,756 | | | | 17,997,149 | | | | 2.7 | % |
| * | | Facebook Inc. Class A | | | 64,181,484 | | | | 8,413,551 | | | | 1.3 | % |
| * | | Alphabet Inc. Class A | | | 7,987,157 | | | | 8,346,260 | | | | 1.2 | % |
| * | | Alphabet Inc. Class C | | | 7,938,287 | | | | 8,220,969 | | | | 1.2 | % |
| | | Intel Corp. | | | 121,924,450 | | | | 5,721,914 | | | | 0.8 | % |
| | | Cisco Systems Inc. | | | 120,089,777 | | | | 5,203,490 | | | | 0.8 | % |
| | | Oracle Corp. | | | 70,840,246 | | | | 3,198,437 | | | | 0.5 | % |
| * | | Adobe Inc. | | | 13,040,518 | | | | 2,950,287 | | | | 0.4 | % |
| | | International Business Machines Corp. | | | 24,277,551 | | | | 2,759,629 | | | | 0.4 | % |
| | | Broadcom Inc. | | | 10,493,014 | | | | 2,668,164 | | | | 0.4 | % |
| * | | salesforce.com Inc. | | | 19,415,586 | | | | 2,659,353 | | | | 0.4 | % |
| | | Technology—Other † | | | | | | | 40,746,347 | | | | 6.1 | % |
| | | | | | | | | | 129,856,855 | | | | 19.3 | % |
Total Stock Market Index Fund
| | | | | | | | | Market | | | Percentage | |
| | | | | | | | | Value• | | | of Net | |
| | | | | | | | Shares | | | | ($000 | ) | | | Assets | |
| Telecommunications | | | | | | | | | | | | | | | | |
| Verizon Communications Inc. | | | | | | | 110,381,847 | | | | 6,205,667 | | | | 0.9% | |
| AT&T Inc. | | | | | | | 194,426,250 | | | | 5,548,925 | | | | 0.8% | |
| Telecommunications—Other † | | | | | | | | | | | 1,564,998 | | | | 0.3% | |
| | | | | | | | | | | | 13,319,590 | | | | 2.0% | |
| | | | | | | | | | | | | | | | | |
| Utilities † | | | | | | | | | | | 21,923,009 | | | | 3.3% | |
| Total Common Stocks (Cost $473,160,255) | | | | | | | | | | | 668,274,743 | | | | 99.4%2 | |
| | | | | | | | | | | | | | | | | |
| | | | Coupon | | | | | | | | | | | | | |
| Temporary Cash Investments | | | | | | | | | | | | | | | | |
| Money Market Fund | | | | | | | | | | | | | | | | |
| 3,4 Vanguard Market Liquidity Fund | | | 2.530 | % | | | 56,919,051 | | | | 5,691,905 | | | | 0.9% | |
| | | | | | | | | | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | | | | | | | 263,813 | | | | 0.0% | |
| Total Temporary Cash Investments (Cost $5,955,110) | | | | | | | | | | | 5,955,718 | | | | 0.9%2 | |
| 6Total Investments (Cost $479,115,365) | | | | | | | | | | | 674,230,461 | | | | 100.3% | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Amount | | | | | |
| | | | | | | | | | | | ($000 | ) | | | | |
| Other Assets and Liabilities | | | | | | | | | | | | | | | | |
| Other Assets | | | | | | | | | | | | | | | | |
| Investment in Vanguard | | | | | | | | | | | 38,011 | | | | | |
| Receivables for Investment Securities Sold | | | | | | | | | | | 115,408 | | | | | |
| Receivables for Accrued Income | | | | | | | | | | | 816,954 | | | | | |
| Receivables for Capital Shares Issued | | | | | | | | | | | 1,587,383 | | | | | |
| Variation Margin Receivable—Futures Contracts | | | | | | | | | | | 30,362 | | | | | |
| Other Assets7 | | | | | | | | | | | 53,289 | | | | | |
| Total Other Assets | | | | | | | | | | | 2,641,407 | | | | 0.5% | |
| Liabilities | | | | | | | | | | | | | | | | |
| Payables for Investment Securities Purchased | | | | | | | | | | | (1,230,335 | ) | | | | |
| Collateral for Securities on Loan | | | | | | | | | | | (2,633,559 | ) | | | | |
| Payables for Capital Shares Redeemed | | | | | | | | | | | (639,991 | ) | | | | |
| Payables to Vanguard | | | | | | | | | | | (169,788 | ) | | | | |
| Variation Margin Payable—Futures Contracts | | | | | | | | | | | (320 | ) | | | | |
| Unrealized Depreciation—Swap Contracts | | | | | | | | | | | (2,211 | ) | | | | |
| Total Liabilities | | | | | | | | | | | (4,676,204 | ) | | | (0.8% | ) |
| Net Assets | | | | | | | | | | | 672,195,664 | | | | 100.0% | |
| | | | | | | | | | | | | | | | | |
| At December 31, 2018, net assets consisted of: | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | Amount | |
| | | | | | | | | | | | | | | | ($000 | ) |
| Paid-in Capital | | | | | | | | | | | | | | | 478,179,649 | |
| Total Distributable Earnings (Loss) | | | | | | | | | | | | | | | 194,016,015 | |
| Net Assets | | | | | | | | | | | | | | | 672,195,664 | |
Total Stock Market Index Fund
| | | Amount | |
| | | | ($000 | ) |
| Investor Shares—Net Assets | | | | |
| Applicable to 1,953,536,865 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 121,265,869 | |
| Net Asset Value Per Share—Investor Shares | | | $62.08 | |
| | | | | |
| ETF Shares—Net Assets | | | | |
| Applicable to 743,263,419 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 94,809,421 | |
| Net Asset Value Per Share—ETF Shares | | | $127.56 | |
| | | | | |
| Admiral Shares—Net Assets | | | | |
| Applicable to 2,981,054,239 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 185,101,915 | |
| Net Asset Value Per Share—Admiral Shares | | | $62.09 | |
| | | | | |
| Institutional Shares—Net Assets | | | | |
| Applicable to 1,853,585,521 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 115,115,348 | |
| Net Asset Value Per Share—Institutional Shares | | | $62.10 | |
| | | | | |
| Institutional Plus Shares—Net Assets | | | | |
| Applicable to 1,164,655,630 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 135,641,458 | |
| Net Asset Value Per Share—Institutional Plus Shares | | | $116.46 | |
| | | | | |
| Institutional Select Shares—Net Assets | | | | |
| Applicable to 165,800,987 outstanding $.001 par value shares of | | | | |
| beneficial interest (unlimited authorization) | | | 20,261,653 | |
| Net Asset Value Per Share—Institutional Select Shares | | | $122.20 | |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| † | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
| § | Security value determined using significant unobservable inputs. |
| 1 | “Other” represents securities that are not classified by the fund’s benchmark index. |
| 2 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. |
| 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 | Includes $2,633,559,000 of collateral received for securities on loan. |
| 5 | Securities with a value of $186,579,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $2,480,929,000. |
| 7 | Cash with a value of $2,650,000 has been segregated as collateral for open over-the-counter swap contracts. |
Total Stock Market Index Fund
| Derivative Financial Instruments Outstanding as of Period End |
| |
| Futures Contracts | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | ($000 | ) |
| | | | | | | | | | | | | | | | Value and | |
| | | | | | | | Number of | | | | | | | | Unrealized | |
| | | | | | | | Long (Short | ) | | | Notional | | | | Appreciation | |
| | | | Expiration | | | | Contracts | | | | Amount | | | | (Depreciation | ) |
| Long Futures Contracts | | | | | | | | | | | | | | | | |
| E-mini S&P 500 Index | | | March 2019 | | | | 29,625 | | | | 3,710,828 | | | | (106,471 | ) |
| E-mini Russell 2000 Index | | | March 2019 | | | | 1,914 | | | | 129,099 | | | | (6,420 | ) |
| E-mini S&P Mid-Cap 400 Index | | | March 2019 | | | | 240 | | | | 39,893 | | | | (1,764 | ) |
| | | | | | | | | | | | | | | | (114,655 | ) |
| Total Return Swaps | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | Value and | |
| | | | | | | | | | | | | | | | Floating | | | | Unrealized | |
| | | | | | | | | | | | Notional | | | | Interest Rate | | | | Appreciation | |
| | | | Termination | | | | | | | | Amount | | | | Received | | | | (Depreciation | ) |
| Reference Entity | | | Date | | | | Counterparty | | | | ($000 | ) | | | (Paid | )1 | | | ($000 | ) |
| SLM Corp. | | | 2/04/2019 | | | | GSI | | | | 35,318 | | | | 2.870 | % | | | (823 | ) |
| VICI Properties Inc. | | | 2/04/2019 | | | | GSI | | | | 29,610 | | | | 3.270 | % | | | (1,041 | ) |
| VICI Properties Inc. | | | 2/04/2019 | | | | GSI | | | | 9,870 | | | | 3.270 | % | | | (347 | ) |
| | | | | | | | | | | | | | | | | | | | (2,211 | ) |
GSI—Goldman Sachs International.
1 Payment received/paid monthly.
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Statement of Operations
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Investment Income | | | | |
| Income | | | | |
| Dividends | | | 13,933,848 | |
| Interest1 | | | 54,283 | |
| Securities Lending—Net | | | 126,669 | |
| Total Income | | | 14,114,800 | |
| Expenses | | | | |
| The Vanguard Group—Note B | | | | |
| Investment Advisory Services | | | 24,218 | |
| Management and Administrative—Investor Shares | | | 158,387 | |
| Management and Administrative—ETF Shares | | | 21,276 | |
| Management and Administrative—Admiral Shares | | | 60,985 | |
| Management and Administrative—Institutional Shares | | | 27,571 | |
| Management and Administrative—Institutional Plus Shares | | | 20,989 | |
| Management and Administrative—Institutional Select Shares | | | 1,082 | |
| Marketing and Distribution—Investor Shares | | | 17,741 | |
| Marketing and Distribution—ETF Shares | | | 3,627 | |
| Marketing and Distribution—Admiral Shares | | | 10,293 | |
| Marketing and Distribution—Institutional Shares | | | 2,877 | |
| Marketing and Distribution—Institutional Plus Shares | | | 1,500 | |
| Marketing and Distribution—Institutional Select Shares | | | 1 | |
| Custodian Fees | | | 2,430 | |
| Auditing Fees | | | 421 | |
| Shareholders’ Reports—Investor Shares | | | 1,252 | |
| Shareholders’ Reports—ETF Shares | | | 1,097 | |
| Shareholders’ Reports—Admiral Shares | | | 511 | |
| Shareholders’ Reports—Institutional Shares | | | 902 | |
| Shareholders’ Reports—Institutional Plus Shares | | | 31 | |
| Shareholders’ Reports—Institutional Select Shares | | | 1 | |
| Trustees’ Fees and Expenses | | | 437 | |
| Total Expenses | | | 357,629 | |
| Net Investment Income | | | 13,757,171 | |
| Realized Net Gain (Loss) | | | | |
| Investment Securities Sold1,2 | | | 6,732,944 | |
| Futures Contracts | | | (205,348 | ) |
| Swap Contracts | | | (16,547 | ) |
| Realized Net Gain (Loss) | | | 6,511,049 | |
Total Stock Market Index Fund
Statement of Operations (continued)
| | | Year Ended | |
| | | December 31, 2018 | |
| | | | ($000 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | | |
| Investment Securities1 | | | (56,813,515 | ) |
| Futures Contracts | | | (113,904 | ) |
| Swap Contracts | | | (1,888 | ) |
| Change in Unrealized Appreciation (Depreciation) | | | (56,929,307 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (36,661,087 | ) |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $51,265,000, ($296,000), and $364,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $6,485,550,000 of net gain (loss) resulting from in-kind redemptions; such gain (loss) is not taxable to the fund. |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Statement of Changes in Net Assets
| | | Year Ended December 31, | |
| | | 2018 | | | 2017 | |
| | | | ($000 | ) | | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | | | |
| Operations | | | | | | | | |
| Net Investment Income | | | 13,757,171 | | | | 10,874,077 | |
| Realized Net Gain (Loss) | | | 6,511,049 | | | | 4,548,286 | |
| Change in Unrealized Appreciation (Depreciation) | | | (56,929,307 | ) | | | 97,128,679 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | | (36,661,087 | ) | | | 112,551,042 | |
| Distributions | | | | | | | | |
| Net Investment Income | | | | | | | | |
| Investor Shares | | | (2,268,803 | ) | | | (2,050,561 | ) |
| ETF Shares | | | (1,838,334 | ) | | | (1,517,300 | ) |
| Admiral Shares | | | (3,685,244 | ) | | | (3,194,026 | ) |
| Institutional Shares | | | (2,243,070 | ) | | | (1,832,069 | ) |
| Institutional Plus Shares | | | (2,615,192 | ) | | | (2,069,350 | ) |
| Institutional Select Shares | | | (351,965 | ) | | | (220,025 | ) |
| Realized Capital Gain | | | | | | | | |
| Investor Shares | | | — | | | | — | |
| ETF Shares | | | — | | | | — | |
| Admiral Shares | | | — | | | | — | |
| Institutional Shares | | | — | | | | — | |
| Institutional Plus Shares | | | — | | | | — | |
| Institutional Select Shares | | | — | | | | — | |
| Total Distributions | | | (13,002,608 | ) | | | (10,883,331 | ) |
| Capital Share Transactions | | | | | | | | |
| Investor Shares | | | 2,806,888 | | | | 2,531,635 | |
| ETF Shares | | | 10,133,992 | | | | 7,977,735 | |
| Admiral Shares | | | 8,992,303 | | | | 8,806,511 | |
| Institutional Shares | | | 9,953,282 | | | | 17,246,738 | |
| Institutional Plus Shares | | | 19,272,078 | | | | 22,241,001 | |
| Institutional Select Shares | | | 8,123,645 | | | | 3,653,908 | |
| Net Increase (Decrease) from Capital Share Transactions | | | 59,282,188 | | | | 62,457,528 | |
| Total Increase (Decrease) | | | 9,618,493 | | | | 164,125,239 | |
| Net Assets | | | | | | | | |
| Beginning of Period | | | 662,577,171 | | | | 498,451,932 | |
| End of Period | | | 672,195,664 | | | | 662,577,171 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Financial Highlights
Investor Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $66.70 | | | | $56.06 | | | | $50.78 | | | | $51.58 | | | | $46.67 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.275 | 1 | | | 1.086 | 1 | | | 1.022 | | | | .954 | | | | .854 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (4.703 | ) | | | 10.630 | | | | 5.282 | | | | (.807 | ) | | | 4.907 | |
| Total from Investment Operations | | | (3.428 | ) | | | 11.716 | | | | 6.304 | | | | .147 | | | | 5.761 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.192 | ) | | | (1.076 | ) | | | (1.024 | ) | | | (.947 | ) | | | (.851 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.192 | ) | | | (1.076 | ) | | | (1.024 | ) | | | (.947 | ) | | | (.851 | ) |
| Net Asset Value, End of Period | | | $62.08 | | | | $66.70 | | | | $56.06 | | | | $50.78 | | | | $51.58 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -5.26% | | | | 21.05% | | | | 12.53% | | | | 0.29% | | | | 12.43% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $121,266 | | | | $126,766 | | | | $103,932 | | | | $96,323 | | | | $117,966 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.14% | | | | 0.14% | | | | 0.15% | | | | 0.16% | | | | 0.17% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.86% | | | | 1.77% | | | | 1.98% | | | | 1.85% | | | | 1.77% | |
| Portfolio Turnover Rate3 | | | 3% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $137.06 | | | | $115.21 | | | | $104.34 | | | | $106.00 | | | | $95.91 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.781 | 1 | | | 2.361 | 1 | | | 2.214 | | | | 2.082 | | | | 1.874 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (9.676 | ) | | | 21.832 | | | | 10.871 | | | | (1.675 | ) | | | 10.085 | |
| Total from Investment Operations | | | (6.895 | ) | | | 24.193 | | | | 13.085 | | | | .407 | | | | 11.959 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.605 | ) | | | (2.343 | ) | | | (2.215 | ) | | | (2.067 | ) | | | (1.869 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.605 | ) | | | (2.343 | ) | | | (2.215 | ) | | | (2.067 | ) | | | (1.869 | ) |
| Net Asset Value, End of Period | | | $127.56 | | | | $137.06 | | | | $115.21 | | | | $104.34 | | | | $106.00 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -5.13% | | | | 21.16% | | | | 12.68% | | | | 0.40% | | | | 12.56% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $94,809 | | | | $91,862 | | | | $69,889 | | | | $57,434 | | | | $50,886 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.03% | | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.05% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.97% | | | | 1.87% | | | | 2.09% | | | | 1.96% | | | | 1.89% | |
| Portfolio Turnover Rate2 | | | 3% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 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.
Total Stock Market Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $66.72 | | | | $56.08 | | | | $50.79 | | | | $51.60 | | | | $46.69 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.344 | 1 | | | 1.148 | 1 | | | 1.077 | | | | 1.013 | | | | .912 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (4.711 | ) | | | 10.633 | | | | 5.291 | | | | (.818 | ) | | | 4.908 | |
| Total from Investment Operations | | | (3.367 | ) | | | 11.781 | | | | 6.368 | | | | .195 | | | | 5.820 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.263 | ) | | | (1.141 | ) | | | (1.078 | ) | | | (1.005 | ) | | | (.910 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.263 | ) | | | (1.141 | ) | | | (1.078 | ) | | | (1.005 | ) | | | (.910 | ) |
| Net Asset Value, End of Period | | | $62.09 | | | | $66.72 | | | | $56.08 | | | | $50.79 | | | | $51.60 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return2 | | | -5.17% | | | | 21.17% | | | | 12.66% | | | | 0.39% | | | | 12.56% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $185,102 | | | | $190,099 | | | | $151,612 | | | | $126,363 | | | | $117,476 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.04% | | | | 0.04% | | | | 0.04% | | | | 0.05% | | | | 0.05% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.96% | | | | 1.87% | | | | 2.09% | | | | 1.96% | | | | 1.89% | |
| Portfolio Turnover Rate3 | | | 3% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 1 | Calculated based on average shares outstanding. |
| 2 | Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees. |
| 3 | Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | | | | | | Year Ended December 31, | |
| Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | | | 2014 | |
| Net Asset Value, Beginning of Period | | | $66.73 | | | | $56.09 | | | | $50.80 | | | | $51.60 | | | | $46.69 | |
| Investment Operations | | | | | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 1.354 | 1 | | | 1.153 | 1 | | | 1.082 | | | | 1.017 | | | | .915 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (4.715 | ) | | | 10.630 | | | | 5.291 | | | | (.808 | ) | | | 4.908 | |
| Total from Investment Operations | | | (3.361 | ) | | | 11.783 | | | | 6.373 | | | | .209 | | | | 5.823 | |
| Distributions | | | | | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (1.269 | ) | | | (1.143 | ) | | | (1.083 | ) | | | (1.009 | ) | | | (.913 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (1.269 | ) | | | (1.143 | ) | | | (1.083 | ) | | | (1.009 | ) | | | (.913 | ) |
| Net Asset Value, End of Period | | | $62.10 | | | | $66.73 | | | | $56.09 | | | | $50.80 | | | | $51.60 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total Return | | | -5.16% | | | | 21.17% | | | | 12.67% | | | | 0.42% | | | | 12.56% | |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $115,115 | | | | $113,557 | | | | $79,443 | | | | $57,438 | | | | $96,674 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.03% | | | | 0.035% | | | | 0.03% | | | | 0.04% | | | | 0.04% | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.97% | | | | 1.87% | | | | 2.10% | | | | 1.97% | | | | 1.90% | |
| Portfolio Turnover Rate2 | | | 3% | | | | 3% | | | | 4% | | | | 3% | | | | 3% | |
| 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.
Total Stock Market Index Fund
Financial Highlights
Institutional Plus Shares
| | | | | | April 28, | |
| | | | | | 20151to | |
| | | Year Ended December 31, | | | Dec. 31, | |
| For a Share Outstanding Throughout Each Period | | 2018 | | | 2017 | | | 2016 | | | 2015 | |
| Net Asset Value, Beginning of Period | | | $125.14 | | | | $105.18 | | | | $95.26 | | | | $100.00 | |
| Investment Operations | | | | | | | | | | | | | | | | |
| Net Investment Income | | | 2.555 | 2 | | | 2.182 | 2 | | | 2.042 | | | | 1.335 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (8.842 | ) | | | 19.938 | | | | 9.924 | | | | (4.631 | ) |
| Total from Investment Operations | | | (6.287 | ) | | | 22.120 | | | | 11.966 | | | | (3.296 | ) |
| Distributions | | | | | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.393 | ) | | | (2.160 | ) | | | (2.046 | ) | | | (1.444 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.393 | ) | | | (2.160 | ) | | | (2.046 | ) | | | (1.444 | ) |
| Net Asset Value, End of Period | | | $116.46 | | | | $125.14 | | | | $105.18 | | | | $95.26 | |
| | | | | | | | | | | | | | | | | |
| Total Return | | | -5.15% | | | | 21.19% | | | | 12.69% | | | | -3.28% | |
| | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $135,641 | | | | $126,130 | | | | $85,031 | | | | $63,093 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.02% | | | | 0.02% | | | | 0.02% | | | | 0.02%3 | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.98% | | | | 1.89% | | | | 2.11% | | | | 1.99%3 | |
| Portfolio Turnover Rate4 | | | 3% | | | | 3% | | | | 4% | | | | 3%5 | |
| 2 | Calculated based on average shares outstanding. |
| 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. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2015. |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Financial Highlights
Institutional Select Shares
| | | | | | June 27, | |
| | | Year Ended | | | 20161 to | |
| | | December 31, | | | Dec. 31, | |
| For a Share Outstanding Throughout Each Period | | 2018 | | | 2017 | | | 2016 | |
| Net Asset Value, Beginning of Period | | $131.31 | | | $110.37 | | | $97.70 | |
| Investment Operations | | | | | | | | | | | | |
| Net Investment Income | | | 2.704 | 2 | | | 2.311 | 2 | | | 1.181 | |
| Net Realized and Unrealized Gain (Loss) on Investments | | | (9.290 | ) | | | 20.908 | | | | 12.718 | |
| Total from Investment Operations | | | (6.586 | ) | | | 23.219 | | | | 13.899 | |
| Distributions | | | | | | | | | | | | |
| Dividends from Net Investment Income | | | (2.524 | ) | | | (2.279 | ) | | | (1.229 | ) |
| Distributions from Realized Capital Gains | | | — | | | | — | | | | — | |
| Total Distributions | | | (2.524 | ) | | | (2.279 | ) | | | (1.229 | ) |
| Net Asset Value, End of Period | | | $122.20 | | | | $131.31 | | | | $110.37 | |
| | | | | | | | | | | | | |
| Total Return | | | -5.14% | | | | 21.20% | | | | 14.24% | |
| | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net Assets, End of Period (Millions) | | | $20,262 | | | | $14,163 | | | | $8,545 | |
| Ratio of Total Expenses to Average Net Assets | | | 0.01% | | | | 0.01% | | | | 0.01%3 | |
| Ratio of Net Investment Income to Average Net Assets | | | 1.99% | | | | 1.90% | | | | 2.15%3 | |
| Portfolio Turnover Rate4 | | | 3% | | | | 3% | | | | 4%5 | |
| 2 | Calculated based on average shares outstanding. |
| 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. |
| 5 | Reflects the fund’s portfolio turnover for the fiscal year ended December 31, 2016. |
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Notes to Financial Statements
Vanguard Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different type of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
On November 19, 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral Share classes. It is anticipated that all of the outstanding Investor Shares will be automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.
Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).
Total Stock Market Index Fund
During the year ended December 31, 2018, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.
3. Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks in the fund’s target index. Under the terms of the swaps, the fund receives the total return on the referenced stock (i.e., receiving the increase or paying the decrease in value of the selected reference stock and receiving the equivalent of any dividends in respect of the selected referenced stock) over a specified period of time, applied to a notional amount that represents the value of a designated number of shares of the selected reference stock at the beginning of the equity swap contract. The fund also pays a floating rate that is based on short-term interest rates, applied to the notional amount. At the same time, the fund generally invests an amount approximating the notional amount of the swap in high-quality temporary cash investments.
The notional amounts of swap contracts are not recorded in the Statement of Net Assets. 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 Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. 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 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 Statement of Net Assets. 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.
During the year ended December 31, 2018, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2015–2018), and has concluded that no provision for federal 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 and may differ from net investment income and realized capital gains for financial reporting purposes.
Total Stock Market 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 Net Assets for the return of the collateral, during the period the securities are on loan. 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 Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn 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 this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at December 31, 2018, or at any time during the period then ended.
8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. 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), shareholder reporting, and the proxy. 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.
Total Stock Market Index Fund
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. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard 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 December 31, 2018, the fund had contributed to Vanguard capital in the amount of $38,011,000, representing 0.01% of the fund’s net assets and 15.20% of Vanguard’s capitalization. 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. 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 valued with significant unobservable inputs are noted on the Statement of Net Assets.
The following table summarizes the market value of the fund’s investments as of December 31, 2018, based on the inputs used to value them:
| | | Level 1 | | | Level 2 | | | Level 3 | |
| Investments | | | ($000 | ) | | | ($000 | ) | | | ($000 | ) |
| Common Stocks | | | 668,268,616 | | | | 154 | | | | 5,973 | |
| Temporary Cash Investments | | | 5,691,905 | | | | 263,813 | | | | — | |
| Futures Contracts—Assets1 | | | 30,362 | | | | — | | | | — | |
| Futures Contracts—Liabilities1 | | | (320 | ) | | | — | | | | — | |
| Swap Contracts—Liabilities | | | — | | | | (2,211 | ) | | | — | |
| Total | | | 673,990,563 | | | | 261,756 | | | | 5,973 | |
1 Represents variation margin on the last day of the reporting period.
D. Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period
Total Stock Market Index Fund
end, permanent differences primarily attributable to the accounting for in-kind redemptions, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | | Amount | |
| | | | ($000 | ) |
| Paid-in Capital | | | 6,485,473 | |
| Total Distributable Earnings (Loss) | | | (6,485,473 | ) |
Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on certain futures contracts, and swap agreements; and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:
| | | Amount | |
| | | | ($000 | ) |
| Undistributed Ordinary Income | | | 807,370 | |
| Undistributed Long-Term Gains | | | — | |
| Capital Loss Carryforwards (Non-Expiring) | | | (1,732,284 | ) |
| Net Unrealized Gains (Losses) | | | 195,107,884 | |
As of December 31, 2018, 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 | | | 479,122,577 | |
| Gross Unrealized Appreciation | | | 223,890,207 | |
| Gross Unrealized Depreciation | | | (28,782,323 | ) |
| Net Unrealized Appreciation (Depreciation) | | | 195,107,884 | |
E. During the year ended December 31, 2018, the fund purchased $93,038,834,000 of investment securities and sold $35,268,959,000 of investment securities, other than temporary cash investments. Purchases and sales include $21,745,488,000 and $10,979,688,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Total Stock Market Index Fund
F. Capital share transactions for each class of shares were:
| | | | | | | | | Year Ended December 31, | |
| | | | | | 2018 | | | | | | 2017 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | | ($000) | | | | (000) | | | | ($000) | | | | (000) | |
| Investor Shares | | | | | | | | | | | | | | | | |
| Issued | | | 16,009,467 | | | | 241,652 | | | | 12,556,777 | | | | 208,299 | |
| Issued in Lieu of Cash Distributions | | | 2,255,725 | | | | 33,764 | | | | 2,038,790 | | | | 32,768 | |
| Redeemed | | | (15,458,304 | ) | | | (222,427 | ) | | | (12,063,932 | ) | | | (194,415 | ) |
| Net Increase (Decrease)—Investor Shares | | | 2,806,888 | | | | 52,989 | | | | 2,531,635 | | | | 46,652 | |
| ETF Shares | | | | | | | | | | | | | | | | |
| Issued | | | 18,928,131 | | | | 135,252 | | | | 16,459,854 | | | | 130,270 | |
| Issued in Lieu of Cash Distributions | | | — | | | | — | | | | — | | | | — | |
| Redeemed | | | (8,794,139 | ) | | | (62,200 | ) | | | (8,482,119 | ) | | | (66,700 | ) |
| Net Increase (Decrease)—ETF Shares | | | 10,133,992 | | | | 73,052 | | | | 7,977,735 | | | | 63,570 | |
| Admiral Shares | | | | | | | | | | | | | | | | |
| Issued | | | 29,607,545 | | | | 433,536 | | | | 27,046,065 | | | | 443,009 | |
| Issued in Lieu of Cash Distributions | | | 3,114,582 | | | | 46,549 | | | | 2,736,033 | | | | 43,962 | |
| Redeemed | | | (23,729,824 | ) | | | (348,197 | ) | | | (20,975,587 | ) | | | (341,277 | ) |
| Net Increase (Decrease)—Admiral Shares | | | 8,992,303 | | | | 131,888 | | | | 8,806,511 | | | | 145,694 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
| Issued | | | 27,433,744 | | | | 407,227 | | | | 26,728,536 | | | | 439,870 | |
| Issued in Lieu of Cash Distributions | | | 2,093,941 | | | | 31,328 | | | | 1,703,342 | | | | 27,314 | |
| Redeemed | | | (19,574,403 | ) | | | (286,645 | ) | | | (11,185,140 | ) | | | (181,865 | ) |
| Net Increase (Decrease)—Institutional Shares | | | 9,953,282 | | | | 151,910 | | | | 17,246,738 | | | | 285,319 | |
| Institutional Plus Shares | | | | | | | | | | | | | | | | |
| Issued | | | 31,228,823 | | | | 248,199 | | | | 27,613,297 | | | | 245,814 | |
| Issued in Lieu of Cash Distributions | | | 2,582,398 | | | | 20,611 | | | | 2,052,478 | | | | 17,549 | |
| Redeemed | | | (14,539,143 | ) | | | (112,031 | ) | | | (7,424,774 | ) | | | (63,880 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | | 19,272,078 | | | | 156,779 | | | | 22,241,001 | | | | 199,483 | |
| Institutional Select Shares | | | | | | | | | | | | | | | | |
| Issued | | | 9,064,355 | | | | 64,847 | | | | 4,173,338 | | | | 34,645 | |
| Issued in Lieu of Cash Distributions | | | 351,965 | | | | 2,683 | | | | 220,024 | | | | 1,788 | |
| Redeemed | | | (1,292,675 | ) | | | (9,583 | ) | | | (739,454 | ) | | | (6,005 | ) |
| Net Increase (Decrease)—Institutional Select Shares | | | 8,123,645 | | | | 57,947 | | | | 3,653,908 | | | | 30,428 | |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2018, that would require recognition or disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Total Stock Market Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Total Stock Market Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the “Fund”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statement of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2018 tax information (unaudited) for Vanguard Total Stock Market Index Fund
This information for the fiscal year ended December 31, 2018, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $12,223,751,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 90.2% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them.
A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 212 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in theStatement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
Interested Trustees1
F. William McNabb III
Born in 1957. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2010–present) of Vanguard and of each of the investment companies served by Vanguard, trustee (2009–present) of each of the investment companies served by Vanguard, and director (2008–present) of Vanguard. Chief executive officer and president (2008–2017) of Vanguard and each of the investment companies served by Vanguard, managing director (1995–2008) of Vanguard, and director (1997–2018) of Vanguard Marketing Corporation. Director (2018–present) of UnitedHealth Group.
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) of the Children’s Hospital of Philadelphia.
Independent Trustees
Emerson U. Fullwood
Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Lead director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.
Amy Gutmann
Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.
| 1 | Mr. McNabb and Mr. Buckley are considered “interested persons,” as defined in the Investment Company Act of 1940, because they are officers of the Vanguard funds. |
JoAnn Heffernan Heisen
Born in 1950. Trustee since July 1998. Principal occupation(s) during the past five years and other experience: corporate vice president of Johnson & Johnson (pharmaceuticals/medical devices/consumer products) and member of its executive committee (1997–2008). Chief global diversity officer (retired 2008), vice president and chief information officer (1997–2006), controller (1995–1997), treasurer (1991–1995), and assistant treasurer (1989–1991) of Johnson & Johnson. Director of Skytop Lodge Corporation (hotels) and the Robert Wood Johnson Foundation. Member of the advisory board of the Institute for Women’s Leadership at Rutgers University.
F. Joseph Loughrey
Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), Oxfam America, and the Lumina Foundation for Education. Director of the V Foundation for Cancer Research. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.
Mark Loughridge
Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.
Scott C. Malpass
Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of advisors for Spruceview Capital Partners, and the board of superintendence of the Institute for the Works of Religion.
Deanna Mulligan
Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.
André F. Perold
Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies LLC (private investment firm). Overseer of the Museum of Fine Arts Boston.
Sarah Bloom Raskin
Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director of i(x) Investments, LLC.
Peter F. Volanakis
Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the Board of Hypertherm Inc. (industrial cutting systems, software, and consumables).
Executive Officers
Glenn Booraem
Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.
Christine M. Buchanan
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard and global head of Fund Administration at Vanguard. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG LLP (audit, tax, and advisory services).
Brian Dvorak
Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2017–present) of Vanguard and each of the investment companies served by Vanguard. Assistant vice president (2017–present) of Vanguard Marketing Corporation. Vice president and director of Enterprise Risk Management (2011–2013) at Oppenheimer Funds, Inc.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2008–present) and treasurer (1998–2008) of each of the investment companies served by Vanguard.
Peter Mahoney
Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.
Anne E. Robinson
Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Director and senior vice president (2016–2018) of Vanguard Marketing Corporation. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express.
Michael Rollings
Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.
Vanguard Senior Management Team
| Joseph Brennan | Chris D. McIsaac |
| Mortimer J. Buckley | James M. Norris |
| Gregory Davis | Thomas M. Rampulla |
| John James | Karin A. Risi |
| Martha G. King | Anne E. Robinson |
| John T. Marcante | Michael Rollings |
Chairman Emeritus and Senior Advisor
John J. Brennan
Chairman, 1996–2009
Chief Executive Officer and President, 1996–2008
Founder
John C. Bogle
Chairman and Chief Executive Officer, 1974–1996
| | |
| | |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
Connect with Vanguard®> vanguard.com
Fund Information> 800-662-7447
Direct Investor Account Services> 800-662-2739
Institutional Investor Services> 800-523-1036
Text Telephone for People
Who Are Deaf or Hard of Hearing> 800-749-7273
This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
All comparative mutual fund data are from Lipper, a Thomson Reuters Company, or Morningstar, Inc., unless otherwise noted.
You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or sec.gov.
You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to publicinfo@sec.gov.
Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2019, Bloomberg. All rights reserved.
| | © 2019 The Vanguard Group, Inc. All rights reserved. |
| | U.S. Patent Nos. 6,879,964; 7,337,138; |
| | 7,720,749; 7,925,573; 8,090,646; 8,417,623; and 8,626,636. Vanguard Marketing Corporation, Distributor. |
| | |
| | Q850 022019 |
Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.
Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Audit Fees of the Registrant.
Fiscal Year Ended December 31, 2018: $877,000
Fiscal Year Ended December 31, 2017: $917,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2018: $9,734,277
Fiscal Year Ended December 31, 2017: $8,424,459
Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc. and Vanguard Marketing Corporation.
(b) Audit-Related Fees.
Fiscal Year Ended December 31, 2018: $5,581,336
Fiscal Year Ended December 31, 2017: $3,194,093
Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(c) Tax Fees.
Fiscal Year Ended December 31, 2018: $347,985
Fiscal Year Ended December 31, 2017: $274,313
Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(d) All Other Fees.
Fiscal Year Ended December 31, 2018: $0
Fiscal Year Ended December 31, 2017: $0
Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(e) (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.
In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.
(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement were not performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2018: $347,985
Fiscal Year Ended December 31, 2017: $274,313
Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.
(h) For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.
Item 5: Audit Committee of Listed Registrants.
The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: JoAnn Heffernan Heisen, F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
Common Stocks (99.2%)1 | | | | | |
Basic Materials (3.8%) | | | | | |
| RPM International Inc. | | 3,417,008 | | 200,852 | |
| Royal Gold Inc. | | 1,686,081 | | 144,413 | |
| Chemours Co. | | 4,405,158 | | 124,314 | |
| Ashland Global Holdings Inc. | | 1,608,713 | | 114,154 | |
| WR Grace & Co. | | 1,724,805 | | 111,957 | |
| Huntsman Corp. | | 5,235,002 | | 100,983 | |
| NewMarket Corp. | | 220,184 | | 90,736 | |
* | Ingevity Corp. | | 1,080,581 | | 90,434 | |
| Olin Corp. | | 4,295,923 | | 86,391 | |
| Steel Dynamics Inc. | | 2,805,803 | | 84,286 | |
| United States Steel Corp. | | 4,563,435 | | 83,237 | |
| Versum Materials Inc. | | 2,806,454 | | 77,795 | |
| Peabody Energy Corp. | | 2,313,564 | | 70,517 | |
| Balchem Corp. | | 830,529 | | 65,072 | |
* | Alcoa Corp. | | 2,397,834 | | 63,734 | |
| Scotts Miracle-Gro Co. | | 998,221 | | 61,351 | |
| Sensient Technologies Corp. | | 1,087,737 | | 60,750 | |
| Cabot Corp. | | 1,390,980 | | 59,729 | |
*,^ | Cleveland-Cliffs Inc. | | 7,682,859 | | 59,081 | |
| PolyOne Corp. | | 2,055,414 | | 58,785 | |
| Quaker Chemical Corp. | | 325,933 | | 57,922 | |
* | Platform Specialty Products Corp. | | 5,567,431 | | 57,512 | |
| Domtar Corp. | | 1,620,771 | | 56,938 | |
| HB Fuller Co. | | 1,305,322 | | 55,698 | |
* | Univar Inc. | | 2,917,328 | | 51,753 | |
| Minerals Technologies Inc. | | 906,475 | | 46,538 | |
| Commercial Metals Co. | | 2,873,897 | | 46,040 | |
| Carpenter Technology Corp. | | 1,219,834 | | 43,438 | |
* | GCP Applied Technologies Inc. | | 1,669,657 | | 40,990 | |
| Innospec Inc. | | 627,023 | | 38,725 | |
| Stepan Co. | | 520,621 | | 38,526 | |
| Worthington Industries Inc. | | 1,066,218 | | 37,147 | |
| Compass Minerals International Inc. | | 872,452 | | 36,373 | |
| Arch Coal Inc. Class A | | 436,515 | | 36,226 | |
| Kaiser Aluminum Corp. | | 402,986 | | 35,983 | |
* | Ferro Corp. | | 2,142,461 | | 33,594 | |
*,^ | Contura Energy Inc. | | 478,955 | | 31,487 | |
| Warrior Met Coal Inc. | | 1,224,928 | | 29,533 | |
| Hecla Mining Co. | | 12,385,209 | | 29,229 | |
| Materion Corp. | | 520,730 | | 23,428 | |
* | Coeur Mining Inc. | | 5,235,559 | | 23,403 | |
* | CONSOL Energy Inc. | | 640,935 | | 20,324 | |
^ | US Silica Holdings Inc. | | 1,986,198 | | 20,219 | |
| Schweitzer-Mauduit International Inc. | | 793,316 | | 19,873 | |
*,^ | AK Steel Holding Corp. | | 8,157,964 | | 18,355 | |
| Tronox Ltd. Class A | | 2,301,617 | | 17,907 | |
* | Kraton Corp. | | 818,708 | | 17,881 | |
* | PQ Group Holdings Inc. | | 1,047,493 | | 15,513 | |
| Schnitzer Steel Industries Inc. | | 649,564 | | 13,998 | |
| Rayonier Advanced Materials Inc. | | 1,307,499 | | 13,925 | |
| Innophos Holdings Inc. | | 502,547 | | 12,327 | |
| Tredegar Corp. | | 776,319 | | 12,312 | |
| Resolute Forest Products Inc. | | 1,502,034 | | 11,911 | |
| PH Glatfelter Co. | | 1,123,887 | | 10,969 | |
| American Vanguard Corp. | | 716,290 | | 10,880 | |
| FutureFuel Corp. | | 670,534 | | 10,635 | |
* | Clearwater Paper Corp. | | 419,490 | | 10,223 | |
* | Century Aluminum Co. | | 1,245,736 | | 9,106 | |
| Haynes International Inc. | | 320,928 | | 8,473 | |
* | Koppers Holdings Inc. | | 496,899 | | 8,467 | |
* | TimkenSteel Corp. | | 915,274 | | 7,999 | |
1
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | SunCoke Energy Inc. | | 831,535 | | 7,110 | |
| Kronos Worldwide Inc. | | 592,975 | | 6,831 | |
| | | | | 2,944,292 | |
Consumer Goods (6.6%) | | | | | |
* | US Foods Holding Corp. | | 5,594,238 | | 177,002 | |
* | Herbalife Nutrition Ltd. | | 2,612,608 | | 154,013 | |
* | Middleby Corp. | | 1,437,754 | | 147,700 | |
| Pool Corp. | | 984,607 | | 146,362 | |
* | Post Holdings Inc. | | 1,628,439 | | 145,143 | |
| Gentex Corp. | | 6,748,477 | | 136,387 | |
| Leggett & Platt Inc. | | 3,357,683 | | 120,339 | |
| Toll Brothers Inc. | | 3,414,608 | | 112,443 | |
| Brunswick Corp. | | 2,234,306 | | 103,784 | |
| Carter’s Inc. | | 1,180,298 | | 96,336 | |
* | Deckers Outdoor Corp. | | 749,549 | | 95,905 | |
| Valvoline Inc. | | 4,844,162 | | 93,735 | |
* | Helen of Troy Ltd. | | 679,619 | | 89,152 | |
*,^ | Mattel Inc. | | 8,885,170 | | 88,763 | |
| Lancaster Colony Corp. | | 495,379 | | 87,613 | |
| Flowers Foods Inc. | | 4,615,204 | | 85,243 | |
| Nu Skin Enterprises Inc. Class A | | 1,358,552 | | 83,320 | |
| Ingredion Inc. | | 910,286 | | 83,200 | |
* | Darling Ingredients Inc. | | 4,239,276 | | 81,564 | |
* | Skechers U.S.A. Inc. Class A | | 3,447,680 | | 78,917 | |
* | Zynga Inc. Class A | | 19,982,271 | | 78,530 | |
| Wolverine World Wide Inc. | | 2,318,089 | | 73,924 | |
* | TreeHouse Foods Inc. | | 1,441,986 | | 73,123 | |
| Energizer Holdings Inc. | | 1,530,952 | | 69,122 | |
*,^ | Wayfair Inc. | | 756,275 | | 68,125 | |
| Thor Industries Inc. | | 1,292,278 | | 67,198 | |
| WD-40 Co. | | 338,489 | | 62,032 | |
* | Dorman Products Inc. | | 680,990 | | 61,303 | |
| Steven Madden Ltd. | | 2,025,509 | | 61,292 | |
| Goodyear Tire & Rubber Co. | | 3,001,378 | | 61,258 | |
| Columbia Sportswear Co. | | 709,889 | | 59,695 | |
*,^ | iRobot Corp. | | 678,369 | | 56,807 | |
| J&J Snack Foods Corp. | | 386,547 | | 55,891 | |
* | Fox Factory Holding Corp. | | 929,153 | | 54,699 | |
| Sanderson Farms Inc. | | 529,251 | | 52,549 | |
* | Edgewell Personal Care Co. | | 1,391,320 | | 51,966 | |
| Dana Inc. | | 3,724,744 | | 50,768 | |
* | Boston Beer Co. Inc. Class A | | 210,611 | | 50,724 | |
*,^ | Tempur Sealy International Inc. | | 1,188,854 | | 49,219 | |
^ | B&G Foods Inc. | | 1,698,008 | | 49,089 | |
* | Taylor Morrison Home Corp. Class A | | 3,054,883 | | 48,573 | |
| Herman Miller Inc. | | 1,528,087 | | 46,225 | |
* | Visteon Corp. | | 744,838 | | 44,899 | |
| KB Home | | 2,274,080 | | 43,435 | |
| Spectrum Brands Holdings Inc. | | 1,027,645 | | 43,418 | |
* | Crocs Inc. | | 1,635,025 | | 42,478 | |
| Cooper Tire & Rubber Co. | | 1,290,985 | | 41,738 | |
| LCI Industries | | 617,713 | | 41,263 | |
* | Welbilt Inc. | | 3,613,050 | | 40,141 | |
* | USANA Health Sciences Inc. | | 339,753 | | 39,999 | |
* | TRI Pointe Group Inc. | | 3,652,460 | | 39,921 | |
| HNI Corp. | | 1,125,690 | | 39,883 | |
* | Meritor Inc. | | 2,187,123 | | 36,984 | |
| Tenneco Inc. Class A | | 1,324,681 | | 36,283 | |
* | Hain Celestial Group Inc. | | 2,280,278 | | 36,165 | |
* | Meritage Homes Corp. | | 977,276 | | 35,886 | |
* | Gentherm Inc. | | 895,196 | | 35,790 | |
| Universal Corp. | | 641,281 | | 34,725 | |
* | Central Garden & Pet Co. Class A | | 1,077,175 | | 33,662 | |
| Tupperware Brands Corp. | | 1,063,943 | | 33,589 | |
2
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| La-Z-Boy Inc. | | 1,205,695 | | 33,410 | |
| MDC Holdings Inc. | | 1,165,531 | | 32,763 | |
| Delphi Technologies plc | | 2,282,667 | | 32,688 | |
* | American Axle & Manufacturing Holdings Inc. | | 2,867,247 | | 31,826 | |
| Steelcase Inc. Class A | | 2,112,001 | | 31,321 | |
| Cal-Maine Foods Inc. | | 735,143 | | 31,097 | |
* | G-III Apparel Group Ltd. | | 1,078,305 | | 30,074 | |
| Oxford Industries Inc. | | 414,668 | | 29,458 | |
| Inter Parfums Inc. | | 443,349 | | 29,070 | |
* | Cooper-Standard Holdings Inc. | | 456,124 | | 28,334 | |
*,^ | Fitbit Inc. Class A | | 5,600,876 | | 27,836 | |
* | Hostess Brands Inc. Class A | | 2,451,376 | | 26,818 | |
| Seaboard Corp. | | 7,570 | | 26,783 | |
| Vector Group Ltd. | | 2,711,106 | | 26,379 | |
* | Sleep Number Corp. | | 814,385 | | 25,840 | |
* | Garrett Motion Inc. | | 1,897,751 | | 23,418 | |
| Fresh Del Monte Produce Inc. | | 810,055 | | 22,900 | |
| Sturm Ruger & Co. Inc. | | 427,312 | | 22,742 | |
| Interface Inc. Class A | | 1,531,369 | | 21,822 | |
^ | National Beverage Corp. | | 298,671 | | 21,436 | |
| Coca-Cola Bottling Co. Consolidated | | 119,358 | | 21,172 | |
| Knoll Inc. | | 1,202,222 | | 19,813 | |
* | Pilgrim’s Pride Corp. | | 1,276,066 | | 19,792 | |
| Andersons Inc. | | 652,526 | | 19,504 | |
| Callaway Golf Co. | | 1,219,704 | | 18,661 | |
| Medifast Inc. | | 145,649 | | 18,209 | |
| Acushnet Holdings Corp. | | 862,674 | | 18,177 | |
* | Fossil Group Inc. | | 1,144,290 | | 18,000 | |
| ACCO Brands Corp. | | 2,639,261 | | 17,894 | |
* | American Outdoor Brands Corp. | | 1,334,475 | | 17,161 | |
* | Vista Outdoor Inc. | | 1,478,347 | | 16,779 | |
| Phibro Animal Health Corp. Class A | | 517,863 | | 16,654 | |
| National Presto Industries Inc. | | 134,115 | | 15,681 | |
^ | Tootsie Roll Industries Inc. | | 443,867 | | 14,825 | |
* | Cavco Industries Inc. | | 111,098 | | 14,485 | |
* | Modine Manufacturing Co. | | 1,231,590 | | 13,313 | |
| Movado Group Inc. | | 404,705 | | 12,797 | |
*,^ | GoPro Inc. Class A | | 2,958,347 | | 12,543 | |
* | American Woodmark Corp. | | 203,034 | | 11,305 | |
| Ethan Allen Interiors Inc. | | 611,972 | | 10,765 | |
* | Central Garden & Pet Co. | | 261,784 | | 9,018 | |
| Dean Foods Co. | | 2,355,728 | | 8,975 | |
*,^ | YETI Holdings Inc. | | 429,472 | | 6,373 | |
*,^ | elf Beauty Inc. | | 630,395 | | 5,459 | |
*,^ | Revlon Inc. Class A | | 200,844 | | 5,059 | |
*,^ | Sonos Inc. | | 512,038 | | 5,028 | |
| Titan International Inc. | | 670,595 | | 3,125 | |
*,^ | Arlo Technologies Inc. | | 289,876 | | 2,893 | |
| Superior Industries International Inc. | | 281,864 | | 1,356 | |
| | | | | 5,140,123 | |
Consumer Services (12.4%) | | | | | |
* | Burlington Stores Inc. | | 1,735,309 | | 282,283 | |
| Service Corp. International | | 4,424,881 | | 178,146 | |
* | Bright Horizons Family Solutions Inc. | | 1,494,401 | | 166,551 | |
| KAR Auction Services Inc. | | 3,464,303 | | 165,317 | |
| Foot Locker Inc. | | 2,957,774 | | 157,354 | |
| Sabre Corp. | | 7,088,395 | | 153,393 | |
* | Liberty Media Corp-Liberty Formula One | | 4,950,430 | | 151,978 | |
* | Five Below Inc. | | 1,434,583 | | 146,787 | |
* | Etsy Inc. | | 2,945,906 | | 140,137 | |
| Dun & Bradstreet Corp. | | 955,578 | | 136,399 | |
| Dunkin’ Brands Group Inc. | | 2,125,969 | | 136,317 | |
| H&R Block Inc. | | 5,290,554 | | 134,221 | |
* | ServiceMaster Global Holdings Inc. | | 3,492,449 | | 128,313 | |
3
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | JetBlue Airways Corp. | | 7,848,087 | | 126,040 | |
* | Madison Square Garden Co. Class A | | 470,034 | | 125,828 | |
* | Planet Fitness Inc. Class A | | 2,269,707 | | 121,702 | |
| Casey’s General Stores Inc. | | 942,021 | | 120,711 | |
* | Grand Canyon Education Inc. | | 1,238,808 | | 119,099 | |
| Vail Resorts Inc. | | 520,576 | | 109,748 | |
| Texas Roadhouse Inc. Class A | | 1,749,629 | | 104,453 | |
^ | Williams-Sonoma Inc. | | 2,066,483 | | 104,254 | |
* | Trade Desk Inc. Class A | | 886,604 | | 102,899 | |
| Six Flags Entertainment Corp. | | 1,847,155 | | 102,757 | |
| Cable One Inc. | | 124,811 | | 102,358 | |
* | Spirit Airlines Inc. | | 1,757,507 | | 101,795 | |
*,^ | Caesars Entertainment Corp. | | 14,656,141 | | 99,515 | |
| Cracker Barrel Old Country Store Inc. | | 618,579 | | 98,886 | |
| Cinemark Holdings Inc. | | 2,706,256 | | 96,884 | |
| Dolby Laboratories Inc. Class A | | 1,560,605 | | 96,508 | |
| Tribune Media Co. Class A | | 2,030,589 | | 92,148 | |
* | Ollie’s Bargain Outlet Holdings Inc. | | 1,371,582 | | 91,224 | |
* | GrubHub Inc. | | 1,167,457 | | 89,672 | |
| Nexstar Media Group Inc. Class A | | 1,115,557 | | 87,727 | |
* | Live Nation Entertainment Inc. | | 1,752,961 | | 86,333 | |
| Wyndham Destinations Inc. | | 2,383,376 | | 85,420 | |
| New York Times Co. Class A | | 3,794,108 | | 84,571 | |
| American Eagle Outfitters Inc. | | 4,339,707 | | 83,887 | |
* | Performance Food Group Co. | | 2,571,521 | | 82,983 | |
| Marriott Vacations Worldwide Corp. | | 1,090,737 | | 76,908 | |
| Wendy’s Co. | | 4,875,403 | | 76,105 | |
* | Chegg Inc. | | 2,663,298 | | 75,691 | |
| Extended Stay America Inc. | | 4,847,488 | | 75,136 | |
| World Wrestling Entertainment Inc. Class A | | 1,003,145 | | 74,955 | |
| Aaron’s Inc. | | 1,766,642 | | 74,287 | |
* | TripAdvisor Inc. | | 1,362,722 | | 73,505 | |
* | Sprouts Farmers Market Inc. | | 3,122,012 | | 73,399 | |
* | Adtalem Global Education Inc. | | 1,513,264 | | 71,608 | |
* | Yelp Inc. Class A | | 2,031,719 | | 71,090 | |
* | Stamps.com Inc. | | 443,034 | | 68,954 | |
| Churchill Downs Inc. | | 279,650 | | 68,218 | |
| Graham Holdings Co. Class B | | 106,162 | | 68,005 | |
| AMERCO | | 202,080 | | 66,305 | |
* | Hilton Grand Vacations Inc. | | 2,496,634 | | 65,886 | |
* | Urban Outfitters Inc. | | 1,936,783 | | 64,301 | |
*,^ | LiveRamp Holdings Inc. | | 1,658,217 | | 64,057 | |
* | AMC Networks Inc. Class A | | 1,161,645 | | 63,751 | |
| Choice Hotels International Inc. | | 865,010 | | 61,917 | |
*,^ | RH | | 515,621 | | 61,782 | |
* | Murphy USA Inc. | | 789,249 | | 60,488 | |
| TEGNA Inc. | | 5,542,277 | | 60,245 | |
| Strategic Education Inc. | | 530,830 | | 60,207 | |
| Dick’s Sporting Goods Inc. | | 1,874,293 | | 58,478 | |
| Wyndham Hotels & Resorts Inc. | | 1,275,113 | | 57,852 | |
| SkyWest Inc. | | 1,269,819 | | 56,469 | |
* | Belmond Ltd. Class A | | 2,253,075 | | 56,394 | |
| John Wiley & Sons Inc. Class A | | 1,183,305 | | 55,580 | |
| Monro Inc. | | 805,284 | | 55,363 | |
* | Liberty Expedia Holdings Inc. Class A | | 1,401,839 | | 54,826 | |
| Hillenbrand Inc. | | 1,444,166 | | 54,777 | |
* | Penn National Gaming Inc. | | 2,907,552 | | 54,749 | |
| Morningstar Inc. | | 494,667 | | 54,334 | |
* | Eldorado Resorts Inc. | | 1,492,683 | | 54,050 | |
* | AutoNation Inc. | | 1,505,106 | | 53,732 | |
* | Pandora Media Inc. | | 6,607,119 | | 53,452 | |
| Meredith Corp. | | 1,026,365 | | 53,309 | |
* | Sally Beauty Holdings Inc. | | 3,090,662 | | 52,696 | |
*,^ | Roku Inc. | | 1,691,133 | | 51,816 | |
4
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Cargurus Inc. | | 1,496,126 | | 50,464 | |
| Jack in the Box Inc. | | 630,162 | | 48,920 | |
| Wingstop Inc. | | 751,479 | | 48,237 | |
* | National Vision Holdings Inc. | | 1,689,498 | | 47,593 | |
* | Weight Watchers International Inc. | | 1,205,435 | | 46,470 | |
* | frontdoor Inc. | | 1,741,655 | | 46,345 | |
| Sinclair Broadcast Group Inc. Class A | | 1,757,122 | | 46,283 | |
| Cheesecake Factory Inc. | | 1,051,519 | | 45,752 | |
| Dave & Buster’s Entertainment Inc. | | 1,000,886 | | 44,600 | |
| Lithia Motors Inc. Class A | | 579,304 | | 44,218 | |
| DSW Inc. Class A | | 1,775,491 | | 43,855 | |
| Brinker International Inc. | | 995,011 | | 43,761 | |
* | Sotheby’s | | 1,073,160 | | 42,647 | |
| Signet Jewelers Ltd. | | 1,338,634 | | 42,528 | |
* | BJ’s Wholesale Club Holdings Inc. | | 1,918,412 | | 42,512 | |
| Boyd Gaming Corp. | | 2,024,523 | | 42,070 | |
| Lions Gate Entertainment Corp. Class B | | 2,735,250 | | 40,701 | |
| PriceSmart Inc. | | 666,318 | | 39,379 | |
| Bed Bath & Beyond Inc. | | 3,379,388 | | 38,255 | |
| Bloomin’ Brands Inc. | | 2,132,425 | | 38,149 | |
* | Cars.com Inc. | | 1,765,811 | | 37,965 | |
* | Groupon Inc. Class A | | 11,765,324 | | 37,649 | |
| Red Rock Resorts Inc. Class A | | 1,796,469 | | 36,486 | |
| Office Depot Inc. | | 14,114,773 | | 36,416 | |
| Children’s Place Inc. | | 401,641 | | 36,184 | |
* | Avis Budget Group Inc. | | 1,596,435 | | 35,888 | |
* | Floor & Decor Holdings Inc. Class A | | 1,380,616 | | 35,758 | |
| Penske Automotive Group Inc. | | 875,368 | | 35,295 | |
* | MSG Networks Inc. | | 1,497,749 | | 35,287 | |
* | Shutterfly Inc. | | 866,203 | | 34,873 | |
* | Laureate Education Inc. Class A | | 2,277,725 | | 34,713 | |
| Abercrombie & Fitch Co. | | 1,721,802 | | 34,522 | |
* | Asbury Automotive Group Inc. | | 505,626 | | 33,705 | |
* | Michaels Cos. Inc. | | 2,431,972 | | 32,929 | |
| Matthews International Corp. Class A | | 783,161 | | 31,812 | |
| Hawaiian Holdings Inc. | | 1,204,195 | | 31,803 | |
| GameStop Corp. Class A | | 2,497,941 | | 31,524 | |
| Guess? Inc. | | 1,461,420 | | 30,354 | |
* | SeaWorld Entertainment Inc. | | 1,359,630 | | 30,034 | |
| Big Lots Inc. | | 1,026,709 | | 29,692 | |
* | Liberty TripAdvisor Holdings Inc. Class A | | 1,860,110 | | 29,557 | |
*,^ | ANGI Homeservices Inc. Class A | | 1,831,469 | | 29,432 | |
| Dine Brands Global Inc. | | 434,347 | | 29,249 | |
* | Shake Shack Inc. Class A | | 640,377 | | 29,086 | |
| Allegiant Travel Co. Class A | | 290,195 | | 29,083 | |
| Caleres Inc. | | 1,001,585 | | 27,874 | |
| BJ’s Restaurants Inc. | | 548,197 | | 27,722 | |
| Core-Mark Holding Co. Inc. | | 1,171,972 | | 27,248 | |
| International Speedway Corp. Class A | | 598,000 | | 26,228 | |
* | Scientific Games Corp. | | 1,421,271 | | 25,412 | |
| Gannett Co. Inc. | | 2,915,467 | | 24,869 | |
| Group 1 Automotive Inc. | | 470,317 | | 24,795 | |
| Scholastic Corp. | | 602,747 | | 24,267 | |
* | Houghton Mifflin Harcourt Co. | | 2,704,114 | | 23,958 | |
* | K12 Inc. | | 927,812 | | 23,000 | |
* | At Home Group Inc. | | 1,220,645 | | 22,777 | |
| Papa John’s International Inc. | | 566,035 | | 22,534 | |
* | Quotient Technology Inc. | | 2,084,507 | | 22,263 | |
| EW Scripps Co. Class A | | 1,414,085 | | 22,244 | |
^ | Lions Gate Entertainment Corp. Class A | | 1,369,132 | | 22,043 | |
* | Genesco Inc. | | 492,786 | | 21,830 | |
* | Rent-A-Center Inc. | | 1,237,137 | | 20,029 | |
*,^ | Rite Aid Corp. | | 27,301,431 | | 19,338 | |
* | Diplomat Pharmacy Inc. | | 1,430,796 | | 19,259 | |
5
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Hertz Global Holdings Inc. | | 1,403,771 | | 19,162 | |
* | Liberty Media Corp-Liberty Formula One Class A | | 625,913 | | 18,602 | |
| Entercom Communications Corp. Class A | | 3,208,113 | | 18,318 | |
* | TrueCar Inc. | | 2,002,669 | | 18,144 | |
^ | Dillard’s Inc. Class A | | 300,337 | | 18,113 | |
| Weis Markets Inc. | | 378,305 | | 18,075 | |
*,^ | Stitch Fix Inc. Class A | | 1,018,793 | | 17,411 | |
| Chico’s FAS Inc. | | 3,087,419 | | 17,351 | |
| New Media Investment Group Inc. | | 1,468,031 | | 16,985 | |
| Tailored Brands Inc. | | 1,215,086 | | 16,574 | |
| AMC Entertainment Holdings Inc. Class A | | 1,338,181 | | 16,433 | |
* | Herc Holdings Inc. | | 622,312 | | 16,174 | |
* | Party City Holdco Inc. | | 1,507,654 | | 15,046 | |
^ | Buckle Inc. | | 758,082 | | 14,661 | |
*,^ | Carvana Co. Class A | | 447,086 | | 14,624 | |
* | United Natural Foods Inc. | | 1,319,153 | | 13,970 | |
* | Regis Corp. | | 797,672 | | 13,521 | |
* | Ascena Retail Group Inc. | | 4,298,468 | | 10,789 | |
| National CineMedia Inc. | | 1,610,208 | | 10,434 | |
* | Zumiez Inc. | | 492,771 | | 9,446 | |
* | Express Inc. | | 1,777,772 | | 9,084 | |
* | El Pollo Loco Holdings Inc. | | 554,598 | | 8,413 | |
* | Fiesta Restaurant Group Inc. | | 529,695 | | 8,216 | |
| Emerald Expositions Events Inc. | | 658,264 | | 8,123 | |
* | Bojangles’ Inc. | | 479,231 | | 7,706 | |
| Sonic Automotive Inc. Class A | | 548,653 | | 7,549 | |
*,^ | JC Penney Co. Inc. | | 7,249,324 | | 7,539 | |
*,^ | Upwork Inc. | | 413,787 | | 7,494 | |
*,^ | Lumber Liquidators Holdings Inc. | | 736,943 | | 7,016 | |
* | BrightView Holdings Inc. | | 678,089 | | 6,923 | |
* | Biglari Holdings Inc. Class B | | 50,497 | | 5,735 | |
* | American Public Education Inc. | | 200,083 | | 5,694 | |
| Clear Channel Outdoor Holdings Inc. Class A | | 973,442 | | 5,052 | |
| Barnes & Noble Inc. | | 667,594 | | 4,733 | |
| Speedway Motorsports Inc. | | 257,579 | | 4,191 | |
| Cato Corp. Class A | | 284,898 | | 4,066 | |
*,^ | Lands’ End Inc. | | 248,072 | | 3,525 | |
* | Smart & Final Stores Inc. | | 715,669 | | 3,392 | |
* | Biglari Holdings Inc. | | 3,035 | | 1,784 | |
* | Hibbett Sports Inc. | | 334 | | 5 | |
| Tile Shop Holdings Inc. | | 719 | | 4 | |
* | Blue Apron Holdings Inc. Class A | | 1,158 | | 1 | |
| | | | | 9,639,078 | |
Financials (26.1%) | | | | | |
| WP Carey Inc. | | 4,147,085 | | 270,971 | |
| Sun Communities Inc. | | 2,112,094 | | 214,821 | |
| Equity LifeStyle Properties Inc. | | 2,079,514 | | 201,983 | |
| National Retail Properties Inc. | | 4,097,141 | | 198,752 | |
| MarketAxess Holdings Inc. | | 919,471 | | 194,293 | |
| Omega Healthcare Investors Inc. | | 5,166,731 | | 181,611 | |
| Apartment Investment & Management Co. | | 4,008,945 | | 175,912 | |
| Gaming and Leisure Properties Inc. | | 5,236,743 | | 169,199 | |
| Brown & Brown Inc. | | 6,110,079 | | 168,394 | |
| Kilroy Realty Corp. | | 2,593,976 | | 163,109 | |
| East West Bancorp Inc. | | 3,732,254 | | 162,465 | |
| Liberty Property Trust | | 3,805,606 | | 159,379 | |
| American Financial Group Inc. | | 1,723,343 | | 156,014 | |
| Old Republic International Corp. | | 7,401,971 | | 152,259 | |
| Lamar Advertising Co. Class A | | 2,190,663 | | 151,550 | |
| Medical Properties Trust Inc. | | 9,395,969 | | 151,087 | |
| American Campus Communities Inc. | | 3,527,690 | | 146,011 | |
| Commerce Bancshares Inc. | | 2,583,771 | | 145,647 | |
| VICI Properties Inc. | | 7,738,368 | | 145,327 | |
| CyrusOne Inc. | | 2,724,862 | | 144,091 | |
6
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Douglas Emmett Inc. | | 4,156,676 | | 141,867 | |
| STORE Capital Corp. | | 4,931,571 | | 139,613 | |
| RenaissanceRe Holdings Ltd. | | 1,036,597 | | 138,593 | |
| CubeSmart | | 4,796,316 | | 137,606 | |
| Healthcare Trust of America Inc. Class A | | 5,329,405 | | 134,887 | |
| Park Hotels & Resorts Inc. | | 5,180,194 | | 134,581 | |
| Signature Bank | | 1,305,666 | | 134,236 | |
| New Residential Investment Corp. | | 9,407,764 | | 133,684 | |
| Starwood Property Trust Inc. | | 6,734,710 | | 132,741 | |
| Cullen/Frost Bankers Inc. | | 1,481,580 | | 130,290 | |
| LPL Financial Holdings Inc. | | 2,120,796 | | 129,538 | |
| American Homes 4 Rent Class A | | 6,476,055 | | 128,550 | |
| Hanover Insurance Group Inc. | | 1,089,727 | | 127,247 | |
* | Credit Acceptance Corp. | | 323,084 | | 123,341 | |
| EPR Properties | | 1,913,781 | | 122,539 | |
| First American Financial Corp. | | 2,734,283 | | 122,058 | |
| Popular Inc. | | 2,583,211 | | 121,979 | |
| Assurant Inc. | | 1,358,012 | | 121,461 | |
| Hudson Pacific Properties Inc. | | 4,034,542 | | 117,244 | |
| Webster Financial Corp. | | 2,374,355 | | 117,032 | |
| Brixmor Property Group Inc. | | 7,719,338 | | 113,397 | |
| New York Community Bancorp Inc. | | 11,992,544 | | 112,850 | |
| Life Storage Inc. | | 1,199,489 | | 111,540 | |
| First Horizon National Corp. | | 8,341,308 | | 109,772 | |
| Primerica Inc. | | 1,105,448 | | 108,013 | |
| Prosperity Bancshares Inc. | | 1,707,978 | | 106,407 | |
| Axis Capital Holdings Ltd. | | 2,044,052 | | 105,555 | |
| PacWest Bancorp | | 3,138,682 | | 104,455 | |
* | GCI Liberty Inc. Class A | | 2,531,408 | | 104,193 | |
| Highwoods Properties Inc. | | 2,664,373 | | 103,085 | |
* | Howard Hughes Corp. | | 1,052,075 | | 102,704 | |
| Eaton Vance Corp. | | 2,850,657 | | 100,286 | |
| Assured Guaranty Ltd. | | 2,584,022 | | 98,916 | |
| JBG SMITH Properties | | 2,801,319 | | 97,514 | |
* | MGIC Investment Corp. | | 9,309,334 | | 97,376 | |
* | Green Dot Corp. Class A | | 1,220,996 | | 97,094 | |
* | Western Alliance Bancorp | | 2,453,125 | | 96,874 | |
| Wintrust Financial Corp. | | 1,451,691 | | 96,523 | |
| Hospitality Properties Trust | | 4,021,692 | | 96,038 | |
| Pebblebrook Hotel Trust | | 3,384,302 | | 95,810 | |
^ | First Financial Bankshares Inc. | | 1,655,738 | | 95,520 | |
| Sterling Bancorp | | 5,778,971 | | 95,411 | |
| Blackstone Mortgage Trust Inc. Class A | | 2,958,970 | | 94,273 | |
| First Industrial Realty Trust Inc. | | 3,251,493 | | 93,838 | |
* | Brighthouse Financial Inc. | | 3,053,697 | | 93,077 | |
| Selective Insurance Group Inc. | | 1,515,863 | | 92,377 | |
| Rayonier Inc. | | 3,332,969 | | 92,290 | |
| IBERIABANK Corp. | | 1,429,851 | | 91,911 | |
| Healthcare Realty Trust Inc. | | 3,224,646 | | 91,709 | |
| Synovus Financial Corp. | | 2,850,757 | | 91,196 | |
| Umpqua Holdings Corp. | | 5,669,059 | | 90,138 | |
| Janus Henderson Group plc | | 4,346,753 | | 90,065 | |
| Radian Group Inc. | | 5,492,060 | | 89,850 | |
| Equity Commonwealth | | 2,970,428 | | 89,143 | |
*,^ | Zillow Group Inc. | | 2,804,279 | | 88,559 | |
| Kemper Corp. | | 1,333,556 | | 88,521 | |
| Pinnacle Financial Partners Inc. | | 1,904,941 | | 87,818 | |
| Erie Indemnity Co. Class A | | 652,102 | | 86,932 | |
| Glacier Bancorp Inc. | | 2,175,340 | | 86,187 | |
| Cousins Properties Inc. | | 10,823,054 | | 85,502 | |
| Associated Banc-Corp | | 4,267,230 | | 84,448 | |
| United Bankshares Inc. | | 2,655,494 | | 82,612 | |
| CoreSite Realty Corp. | | 944,979 | | 82,431 | |
| FNB Corp. | | 8,348,215 | | 82,146 | |
7
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Essent Group Ltd. | | 2,400,398 | | 82,046 | |
| Two Harbors Investment Corp. | | 6,387,030 | | 82,009 | |
| MB Financial Inc. | | 2,061,265 | | 81,688 | |
| Chimera Investment Corp. | | 4,573,804 | | 81,505 | |
| EastGroup Properties Inc. | | 881,196 | | 80,832 | |
| Apple Hospitality REIT Inc. | | 5,596,045 | | 79,800 | |
| BankUnited Inc. | | 2,653,455 | | 79,444 | |
| Ryman Hospitality Properties Inc. | | 1,189,688 | | 79,340 | |
| Weingarten Realty Investors | | 3,138,558 | | 77,868 | |
| Spirit Realty Capital Inc. | | 2,208,554 | | 77,852 | |
| National Health Investors Inc. | | 1,028,888 | | 77,722 | |
| FirstCash Inc. | | 1,072,186 | | 77,573 | |
| MFA Financial Inc. | | 11,575,360 | | 77,323 | |
| Community Bank System Inc. | | 1,317,618 | | 76,817 | |
| Sunstone Hotel Investors Inc. | | 5,878,825 | | 76,483 | |
| Hancock Whitney Corp. | | 2,193,122 | | 75,992 | |
| Sabra Health Care REIT Inc. | | 4,594,983 | | 75,725 | |
| TCF Financial Corp. | | 3,865,228 | | 75,333 | |
| Physicians Realty Trust | | 4,698,022 | | 75,309 | |
| RLI Corp. | | 1,087,968 | | 75,059 | |
| RLJ Lodging Trust | | 4,514,232 | | 74,033 | |
| Stifel Financial Corp. | | 1,762,054 | | 72,984 | |
| Bank of Hawaii Corp. | | 1,074,408 | | 72,329 | |
| Valley National Bancorp | | 8,111,097 | | 72,027 | |
| Bank OZK | | 3,150,219 | | 71,919 | |
| Senior Housing Properties Trust | | 6,120,226 | | 71,729 | |
| UMB Financial Corp. | | 1,156,586 | | 70,517 | |
| Rexford Industrial Realty Inc. | | 2,390,311 | | 70,442 | |
| Fulton Financial Corp. | | 4,532,777 | | 70,167 | |
| STAG Industrial Inc. | | 2,803,067 | | 69,740 | |
| CVB Financial Corp. | | 3,431,634 | | 69,422 | |
| Paramount Group Inc. | | 5,500,936 | | 69,092 | |
| Columbia Banking System Inc. | | 1,885,193 | | 68,414 | |
| Uniti Group Inc. | | 4,377,391 | | 68,156 | |
| Taubman Centers Inc. | | 1,493,969 | | 67,961 | |
| Chemical Financial Corp. | | 1,840,847 | | 67,393 | |
| White Mountains Insurance Group Ltd. | | 77,792 | | 66,721 | |
| Cathay General Bancorp | | 1,984,421 | | 66,538 | |
* | Texas Capital Bancshares Inc. | | 1,293,768 | | 66,099 | |
| BancorpSouth Bank | | 2,515,562 | | 65,757 | |
| Home BancShares Inc. | | 4,005,435 | | 65,449 | |
| Outfront Media Inc. | | 3,590,312 | | 65,056 | |
| Aspen Insurance Holdings Ltd. | | 1,538,583 | | 64,605 | |
| PS Business Parks Inc. | | 492,675 | | 64,540 | |
| Evercore Inc. Class A | | 886,585 | | 63,444 | |
| Empire State Realty Trust Inc. | | 4,453,813 | | 63,378 | |
| Americold Realty Trust | | 2,476,138 | | 63,241 | |
| CNO Financial Group Inc. | | 4,241,466 | | 63,113 | |
| Investors Bancorp Inc. | | 6,014,254 | | 62,548 | |
| First Hawaiian Inc. | | 2,773,895 | | 62,440 | |
| American Equity Investment Life Holding Co. | | 2,211,997 | | 61,803 | |
| Federated Investors Inc. Class B | | 2,324,527 | | 61,716 | |
| Lazard Ltd. Class A | | 1,670,439 | | 61,656 | |
| Old National Bancorp | | 3,921,498 | | 60,391 | |
| Retail Properties of America Inc. | | 5,546,309 | | 60,177 | |
* | Genworth Financial Inc. Class A | | 12,897,528 | | 60,102 | |
* | SLM Corp. | | 7,145,139 | | 59,376 | |
| Brandywine Realty Trust | | 4,600,412 | | 59,207 | |
| Corporate Office Properties Trust | | 2,802,226 | | 58,931 | |
| Columbia Property Trust Inc. | | 3,036,582 | | 58,758 | |
| GEO Group Inc. | | 2,978,350 | | 58,673 | |
| Navient Corp. | | 6,639,116 | | 58,491 | |
* | Zillow Group Inc. Class A | | 1,837,090 | | 57,740 | |
| Apollo Commercial Real Estate Finance Inc. | | 3,452,862 | | 57,525 | |
8
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Kennedy-Wilson Holdings Inc. | | 3,153,371 | | 57,297 | |
| First Financial Bancorp | | 2,394,184 | | 56,790 | |
| South State Corp. | | 940,885 | | 56,406 | |
| Piedmont Office Realty Trust Inc. Class A | | 3,301,168 | | 56,252 | |
| Legg Mason Inc. | | 2,202,619 | | 56,189 | |
| Washington Federal Inc. | | 2,102,099 | | 56,147 | |
| Colony Capital Inc. | | 11,993,804 | | 56,131 | |
| ProAssurance Corp. | | 1,378,568 | | 55,915 | |
| Argo Group International Holdings Ltd. | | 829,180 | | 55,762 | |
| BOK Financial Corp. | | 747,919 | | 54,845 | |
| CoreCivic Inc. | | 3,055,175 | | 54,474 | |
| First Midwest Bancorp Inc. | | 2,740,537 | | 54,290 | |
| Terreno Realty Corp. | | 1,522,757 | | 53,555 | |
| International Bancshares Corp. | | 1,534,374 | | 52,782 | |
| First Citizens BancShares Inc. Class A | | 139,038 | | 52,424 | |
| PotlatchDeltic Corp. | | 1,653,267 | | 52,309 | |
| CIT Group Inc. | | 1,360,344 | | 52,060 | |
| CenterState Bank Corp. | | 2,463,295 | | 51,828 | |
| Simmons First National Corp. Class A | | 2,138,493 | | 51,602 | |
| Independent Bank Corp. | | 721,774 | | 50,748 | |
| Brookfield Property REIT Inc. Class A | | 3,120,531 | | 50,241 | |
| Acadia Realty Trust | | 2,097,201 | | 49,829 | |
| Xenia Hotels & Resorts Inc. | | 2,896,135 | | 49,814 | |
| Santander Consumer USA Holdings Inc. | | 2,779,935 | | 48,899 | |
^ | Tanger Factory Outlet Centers Inc. | | 2,417,621 | | 48,884 | |
| WesBanco Inc. | | 1,329,557 | | 48,781 | |
| QTS Realty Trust Inc. Class A | | 1,312,954 | | 48,645 | |
| DiamondRock Hospitality Co. | | 5,357,037 | | 48,642 | |
| First BanCorp | | 5,599,596 | | 48,157 | |
| Navigators Group Inc. | | 688,639 | | 47,854 | |
| Washington REIT | | 2,055,984 | | 47,288 | |
* | OneMain Holdings Inc. | | 1,921,751 | | 46,679 | |
| Retail Opportunity Investments Corp. | | 2,934,188 | | 46,595 | |
| Urban Edge Properties | | 2,798,707 | | 46,514 | |
| Great Western Bancorp Inc. | | 1,486,733 | | 46,460 | |
| Banner Corp. | | 865,912 | | 46,309 | |
| Union Bankshares Corp. | | 1,612,507 | | 45,521 | |
| Lexington Realty Trust | | 5,478,171 | | 44,976 | |
^ | Realogy Holdings Corp. | | 3,043,738 | | 44,682 | |
| Trustmark Corp. | | 1,557,071 | | 44,268 | |
| Capitol Federal Financial Inc. | | 3,452,363 | | 44,087 | |
| First Merchants Corp. | | 1,274,546 | | 43,679 | |
*,^ | LendingTree Inc. | | 197,543 | | 43,375 | |
| Renasant Corp. | | 1,433,467 | | 43,262 | |
| Mack-Cali Realty Corp. | | 2,207,180 | | 43,239 | |
* | Enstar Group Ltd. | | 254,318 | | 42,616 | |
| LTC Properties Inc. | | 1,019,889 | | 42,509 | |
| Virtu Financial Inc. Class A | | 1,641,562 | | 42,287 | |
| Invesco Mortgage Capital Inc. | | 2,879,450 | | 41,694 | |
| United Community Banks Inc. | | 1,936,032 | | 41,547 | |
* | Eagle Bancorp Inc. | | 841,494 | | 40,989 | |
| Moelis & Co. Class A | | 1,177,713 | | 40,490 | |
| Northwest Bancshares Inc. | | 2,385,422 | | 40,409 | |
| LegacyTexas Financial Group Inc. | | 1,247,709 | | 40,039 | |
| CareTrust REIT Inc. | | 2,160,178 | | 39,877 | |
| Towne Bank | | 1,664,634 | | 39,868 | |
| SITE Centers Corp. | | 3,569,111 | | 39,510 | |
| Horace Mann Educators Corp. | | 1,053,479 | | 39,453 | |
* | Pacific Premier Bancorp Inc. | | 1,529,388 | | 39,030 | |
| National General Holdings Corp. | | 1,588,978 | | 38,469 | |
* | FCB Financial Holdings Inc. Class A | | 1,141,696 | | 38,338 | |
| Chesapeake Lodging Trust | | 1,552,821 | | 37,811 | |
| Provident Financial Services Inc. | | 1,551,341 | | 37,434 | |
| Hope Bancorp Inc. | | 3,152,761 | | 37,392 | |
9
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Ladder Capital Corp. Class A | | 2,413,325 | | 37,334 | |
| ServisFirst Bancshares Inc. | | 1,163,987 | | 37,096 | |
| Mercury General Corp. | | 713,974 | | 36,920 | |
| Ameris Bancorp | | 1,162,994 | | 36,832 | |
| NBT Bancorp Inc. | | 1,064,396 | | 36,817 | |
* | Axos Financial Inc. | | 1,458,085 | | 36,715 | |
| American Assets Trust Inc. | | 909,944 | | 36,552 | |
| Westamerica Bancorporation | | 652,064 | | 36,307 | |
| BGC Partners Inc. Class A | | 6,964,071 | | 36,004 | |
| Ares Management Corp. | | 1,961,673 | | 34,879 | |
| Waddell & Reed Financial Inc. Class A | | 1,918,452 | | 34,686 | |
| Global Net Lease Inc. | | 1,958,958 | | 34,517 | |
| Cadence BanCorp Class A | | 2,038,531 | | 34,207 | |
| First Interstate BancSystem Inc. Class A | | 928,991 | | 33,964 | |
| Colony Credit Real Estate Inc. | | 2,148,748 | | 33,929 | |
| Employers Holdings Inc. | | 801,293 | | 33,630 | |
* | PennyMac Financial Services Inc. | | 1,560,720 | | 33,181 | |
| Walker & Dunlop Inc. | | 765,258 | | 33,097 | |
^ | Industrial Logistics Properties Trust | | 1,676,820 | | 32,983 | |
| Houlihan Lokey Inc. Class A | | 895,947 | | 32,971 | |
| Hilltop Holdings Inc. | | 1,823,484 | | 32,513 | |
* | Alexander & Baldwin Inc. | | 1,760,335 | | 32,355 | |
| S&T Bancorp Inc. | | 853,089 | | 32,281 | |
| Redwood Trust Inc. | | 2,141,593 | | 32,274 | |
| Clearway Energy Inc. | | 1,838,954 | | 31,722 | |
| HFF Inc. Class A | | 954,878 | | 31,664 | |
| First Commonwealth Financial Corp. | | 2,562,625 | | 30,956 | |
| Newmark Group Inc. Class A | | 3,800,399 | | 30,479 | |
| Safety Insurance Group Inc. | | 372,021 | | 30,435 | |
| United Fire Group Inc. | | 548,280 | | 30,402 | |
| Kite Realty Group Trust | | 2,153,700 | | 30,346 | |
| Artisan Partners Asset Management Inc. Class A | | 1,322,517 | | 29,241 | |
| Park National Corp. | | 342,184 | | 29,069 | |
| Kearny Financial Corp. | | 2,229,291 | | 28,579 | |
* | Cannae Holdings Inc. | | 1,662,191 | | 28,457 | |
| Tompkins Financial Corp. | | 372,658 | | 27,953 | |
| PennyMac Mortgage Investment Trust | | 1,493,136 | | 27,802 | |
* | LendingClub Corp. | | 10,430,728 | | 27,433 | |
| City Holding Co. | | 403,386 | | 27,265 | |
| Brookline Bancorp Inc. | | 1,967,134 | | 27,186 | |
^ | American Finance Trust Inc. | | 2,036,641 | | 27,128 | |
* | PRA Group Inc. | | 1,108,353 | | 27,011 | |
| Berkshire Hills Bancorp Inc. | | 992,944 | | 26,780 | |
^ | Seritage Growth Properties Class A | | 828,102 | | 26,773 | |
| American National Insurance Co. | | 207,182 | | 26,362 | |
| Beneficial Bancorp Inc. | | 1,726,266 | | 24,668 | |
* | FGL Holdings | | 3,696,259 | | 24,617 | |
| Getty Realty Corp. | | 831,507 | | 24,455 | |
| Investment Technology Group Inc. | | 805,218 | | 24,350 | |
| Piper Jaffray Cos. | | 362,890 | | 23,893 | |
| RPT Realty | | 1,964,026 | | 23,470 | |
| Washington Prime Group Inc. | | 4,802,228 | | 23,339 | |
| Agree Realty Corp. | | 394,302 | | 23,311 | |
| TPG RE Finance Trust Inc. | | 1,271,242 | | 23,238 | |
| Independent Bank Group Inc. | | 507,469 | | 23,227 | |
| TFS Financial Corp. | | 1,437,580 | | 23,188 | |
*,^ | Redfin Corp. | | 1,608,051 | | 23,156 | |
| BancFirst Corp. | | 462,027 | | 23,055 | |
| Boston Private Financial Holdings Inc. | | 2,174,581 | | 22,985 | |
* | Cushman & Wakefield plc | | 1,551,040 | | 22,444 | |
| ARMOUR Residential REIT Inc. | | 1,090,014 | | 22,345 | |
| WisdomTree Investments Inc. | | 3,348,952 | | 22,271 | |
| OFG Bancorp | | 1,321,045 | | 21,744 | |
| InfraREIT Inc. | | 1,020,366 | | 21,448 | |
10
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| National Bank Holdings Corp. Class A | | 669,870 | | 20,679 | |
| State Bank Financial Corp. | | 951,535 | | 20,544 | |
* | Ambac Financial Group Inc. | | 1,162,811 | | 20,047 | |
* | Third Point Reinsurance Ltd. | | 2,049,295 | | 19,755 | |
* | Flagstar Bancorp Inc. | | 743,538 | | 19,629 | |
* | World Acceptance Corp. | | 190,705 | | 19,501 | |
| Universal Health Realty Income Trust | | 316,789 | | 19,441 | |
| Granite Point Mortgage Trust Inc. | | 1,063,624 | | 19,177 | |
* | Marcus & Millichap Inc. | | 547,709 | | 18,803 | |
*,^ | MBIA Inc. | | 2,105,951 | | 18,785 | |
| Cohen & Steers Inc. | | 540,090 | | 18,536 | |
* | Columbia Financial Inc. | | 1,188,198 | | 18,168 | |
| Nelnet Inc. Class A | | 339,170 | | 17,752 | |
*,^ | Encore Capital Group Inc. | | 753,717 | | 17,712 | |
^ | Government Properties Income Trust | | 2,562,456 | | 17,604 | |
| Heartland Financial USA Inc. | | 397,982 | | 17,491 | |
| Central Pacific Financial Corp. | | 713,785 | | 17,381 | |
| National Western Life Group Inc. Class A | | 57,095 | | 17,168 | |
| FBL Financial Group Inc. Class A | | 258,757 | | 16,987 | |
| Select Income REIT | | 2,306,384 | | 16,975 | |
| Hersha Hospitality Trust Class A | | 966,810 | | 16,958 | |
| Franklin Street Properties Corp. | | 2,621,550 | | 16,332 | |
| Hamilton Lane Inc. Class A | | 430,573 | | 15,931 | |
| Alexander’s Inc. | | 52,218 | | 15,913 | |
| Clearway Energy Inc. Class A | | 932,179 | | 15,772 | |
| Capstead Mortgage Corp. | | 2,341,211 | | 15,616 | |
| Saul Centers Inc. | | 324,152 | | 15,306 | |
| State Auto Financial Corp. | | 448,930 | | 15,282 | |
| iStar Inc. | | 1,658,752 | | 15,211 | |
| Investors Real Estate Trust | | 306,398 | | 15,035 | |
| Urstadt Biddle Properties Inc. Class A | | 774,929 | | 14,894 | |
| Northfield Bancorp Inc. | | 1,093,068 | | 14,811 | |
| Oritani Financial Corp. | | 986,895 | | 14,557 | |
| Virtus Investment Partners Inc. | | 174,889 | | 13,891 | |
| Dime Community Bancshares Inc. | | 793,102 | | 13,467 | |
| CorePoint Lodging Inc. | | 1,071,733 | | 13,129 | |
| Summit Hotel Properties Inc. | | 1,342,670 | | 13,064 | |
| KKR Real Estate Finance Trust Inc. | | 679,176 | | 13,006 | |
* | Focus Financial Partners Inc. Class A | | 491,923 | | 12,952 | |
| AG Mortgage Investment Trust Inc. | | 738,973 | | 11,772 | |
* | St. Joe Co. | | 859,193 | | 11,316 | |
| Front Yard Residential Corp. | | 1,244,508 | | 10,865 | |
| Anworth Mortgage Asset Corp. | | 2,514,443 | | 10,158 | |
| Retail Value Inc. | | 388,584 | | 9,944 | |
| Ashford Hospitality Trust Inc. | | 2,464,691 | | 9,859 | |
^ | Pennsylvania REIT | | 1,624,230 | | 9,648 | |
| RMR Group Inc. Class A | | 174,327 | | 9,253 | |
| Greenhill & Co. Inc. | | 366,656 | | 8,946 | |
* | Tejon Ranch Co. | | 512,776 | | 8,502 | |
| New Senior Investment Group Inc. | | 1,998,593 | | 8,234 | |
^ | CBL & Associates Properties Inc. | | 4,200,135 | | 8,064 | |
| Spirit MTA REIT | | 1,097,031 | | 7,822 | |
* | Greenlight Capital Re Ltd. Class A | | 729,567 | | 6,289 | |
* | EZCORP Inc. Class A | | 595,080 | | 4,600 | |
* | On Deck Capital Inc. | | 712,004 | | 4,201 | |
* | Forestar Group Inc. | | 284,076 | | 3,934 | |
*,^ | Altisource Portfolio Solutions SA | | 172,015 | | 3,869 | |
| GAMCO Investors Inc. Class A | | 137,815 | | 2,328 | |
* | Ocwen Financial Corp. | | 1,426,402 | | 1,911 | |
| Associated Capital Group Inc. Class A | | 51,463 | | 1,813 | |
| Urstadt Biddle Properties Inc. | | 66,334 | | 1,002 | |
* | MoneyGram International Inc. | | 12,358 | | 25 | |
| Maiden Holdings Ltd. | | 1,220 | | 2 | |
* | Longfin Corp. | | 18 | | — | |
| | | | | 20,373,996 | |
11
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
Health Care (11.1%) | | | | | |
| STERIS plc | | 2,175,639 | | 232,467 | |
* | Exact Sciences Corp. | | 3,164,090 | | 199,654 | |
* | Sarepta Therapeutics Inc. | | 1,727,734 | | 188,548 | |
| West Pharmaceutical Services Inc. | | 1,907,306 | | 186,973 | |
* | Molina Healthcare Inc. | | 1,525,900 | | 177,340 | |
* | Ionis Pharmaceuticals Inc. | | 3,180,326 | | 171,928 | |
* | Neurocrine Biosciences Inc. | | 2,334,629 | | 166,716 | |
| Hill-Rom Holdings Inc. | | 1,732,418 | | 153,406 | |
* | Exelixis Inc. | | 7,697,559 | | 151,411 | |
| Encompass Health Corp. | | 2,419,408 | | 149,277 | |
| Bio-Techne Corp. | | 972,219 | | 140,700 | |
* | Charles River Laboratories International Inc. | | 1,238,200 | | 140,139 | |
*,^ | Bluebird Bio Inc. | | 1,408,109 | | 139,684 | |
* | PRA Health Sciences Inc. | | 1,505,556 | | 138,451 | |
* | DexCom Inc. | | 1,143,706 | | 137,016 | |
* | Haemonetics Corp. | | 1,330,589 | | 133,125 | |
* | Masimo Corp. | | 1,228,066 | | 131,857 | |
* | Bio-Rad Laboratories Inc. Class A | | 544,034 | | 126,336 | |
* | Insulet Corp. | | 1,521,089 | | 120,653 | |
| Chemed Corp. | | 412,179 | | 116,762 | |
* | Catalent Inc. | | 3,742,296 | | 116,685 | |
* | United Therapeutics Corp. | | 1,066,149 | | 116,104 | |
* | ICU Medical Inc. | | 501,208 | | 115,092 | |
* | Sage Therapeutics Inc. | | 1,144,614 | | 109,643 | |
* | Loxo Oncology Inc. | | 709,255 | | 99,345 | |
* | Penumbra Inc. | | 799,473 | | 97,696 | |
* | Amedisys Inc. | | 820,887 | | 96,134 | |
* | FibroGen Inc. | | 1,970,565 | | 91,198 | |
* | HealthEquity Inc. | | 1,522,749 | | 90,832 | |
* | Wright Medical Group NV | | 3,220,279 | | 87,656 | |
*,^ | Teladoc Health Inc. | | 1,715,458 | | 85,035 | |
* | Globus Medical Inc. | | 1,957,323 | | 84,713 | |
* | Horizon Pharma plc | | 4,314,944 | | 84,314 | |
* | Syneos Health Inc. | | 2,125,955 | | 83,656 | |
* | Integra LifeSciences Holdings Corp. | | 1,754,694 | | 79,137 | |
* | Array BioPharma Inc. | | 5,484,948 | | 78,161 | |
| Bruker Corp. | | 2,619,132 | | 77,972 | |
^ | Healthcare Services Group Inc. | | 1,900,420 | | 76,359 | |
* | Merit Medical Systems Inc. | | 1,340,160 | | 74,794 | |
*,^ | TESARO Inc. | | 992,276 | | 73,676 | |
* | MEDNAX Inc. | | 2,188,054 | | 72,206 | |
* | LHC Group Inc. | | 767,350 | | 72,039 | |
* | Neogen Corp. | | 1,262,645 | | 71,971 | |
*,^ | Ligand Pharmaceuticals Inc. | | 519,250 | | 70,462 | |
| Cantel Medical Corp. | | 913,151 | | 67,984 | |
* | Emergent BioSolutions Inc. | | 1,113,966 | | 66,036 | |
* | NuVasive Inc. | | 1,322,144 | | 65,525 | |
* | Novocure Ltd. | | 1,915,689 | | 64,137 | |
* | HMS Holdings Corp. | | 2,157,313 | | 60,685 | |
* | Omnicell Inc. | | 970,811 | | 59,452 | |
* | Immunomedics Inc. | | 4,158,017 | | 59,335 | |
* | Agios Pharmaceuticals Inc. | | 1,272,937 | | 58,695 | |
* | Acadia Healthcare Co. Inc. | | 2,275,128 | | 58,494 | |
*,^ | Inogen Inc. | | 471,039 | | 58,489 | |
* | Blueprint Medicines Corp. | | 1,070,089 | | 57,688 | |
* | Intercept Pharmaceuticals Inc. | | 570,134 | | 57,464 | |
* | Myriad Genetics Inc. | | 1,924,594 | | 55,948 | |
* | Avanos Medical Inc. | | 1,221,066 | | 54,692 | |
* | Repligen Corp. | | 1,016,011 | | 53,584 | |
* | Global Blood Therapeutics Inc. | | 1,289,182 | | 52,921 | |
* | Ultragenyx Pharmaceutical Inc. | | 1,171,776 | | 50,949 | |
12
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Tandem Diabetes Care Inc. | | 1,329,445 | | 50,479 | |
| Ensign Group Inc. | | 1,280,617 | | 49,675 | |
* | Glaukos Corp. | | 881,318 | | 49,504 | |
* | Arena Pharmaceuticals Inc. | | 1,266,682 | | 49,337 | |
* | NxStage Medical Inc. | | 1,718,051 | | 49,171 | |
* | Halozyme Therapeutics Inc. | | 3,350,772 | | 49,022 | |
* | ACADIA Pharmaceuticals Inc. | | 2,910,441 | | 47,062 | |
* | Amicus Therapeutics Inc. | | 4,873,413 | | 46,687 | |
* | Heron Therapeutics Inc. | | 1,799,161 | | 46,670 | |
* | Tenet Healthcare Corp. | | 2,641,037 | | 45,267 | |
* | Xencor Inc. | | 1,229,559 | | 44,461 | |
| CONMED Corp. | | 687,648 | | 44,147 | |
* | Acceleron Pharma Inc. | | 1,011,448 | | 44,049 | |
* | Pacira Pharmaceuticals Inc. | | 1,005,916 | | 43,275 | |
* | MyoKardia Inc. | | 880,738 | | 43,033 | |
* | Supernus Pharmaceuticals Inc. | | 1,279,251 | | 42,497 | |
* | Select Medical Holdings Corp. | | 2,760,784 | | 42,378 | |
* | Aerie Pharmaceuticals Inc. | | 1,169,991 | | 42,237 | |
* | PTC Therapeutics Inc. | | 1,227,716 | | 42,135 | |
* | Quidel Corp. | | 859,455 | | 41,959 | |
* | Prestige Consumer Healthcare Inc. | | 1,332,182 | | 41,138 | |
| Patterson Cos. Inc. | | 2,077,267 | | 40,839 | |
* | Amneal Pharmaceuticals Inc. | | 2,813,937 | | 38,073 | |
* | Endo International plc | | 5,206,167 | | 38,005 | |
* | Ironwood Pharmaceuticals Inc. Class A | | 3,608,973 | | 37,389 | |
* | Medpace Holdings Inc. | | 688,636 | | 36,450 | |
* | Genomic Health Inc. | | 558,410 | | 35,967 | |
*,^ | Corcept Therapeutics Inc. | | 2,680,793 | | 35,815 | |
* | Magellan Health Inc. | | 625,470 | | 35,583 | |
* | REGENXBIO Inc. | | 831,194 | | 34,869 | |
* | Mallinckrodt plc | | 2,150,071 | | 33,971 | |
* | AnaptysBio Inc. | | 516,499 | | 32,947 | |
*,^ | Denali Therapeutics Inc. | | 1,588,006 | | 32,808 | |
* | Medicines Co. | | 1,711,445 | | 32,757 | |
* | Cambrex Corp. | | 863,053 | | 32,589 | |
* | Brookdale Senior Living Inc. | | 4,839,025 | | 32,421 | |
* | Spark Therapeutics Inc. | | 827,170 | | 32,375 | |
*,^ | Portola Pharmaceuticals Inc. | | 1,625,788 | | 31,735 | |
* | Innoviva Inc. | | 1,691,249 | | 29,512 | |
*,^ | Theravance Biopharma Inc. | | 1,134,216 | | 29,025 | |
* | Nevro Corp. | | 738,572 | | 28,723 | |
* | WageWorks Inc. | | 1,022,423 | | 27,769 | |
* | Momenta Pharmaceuticals Inc. | | 2,475,907 | | 27,334 | |
*,^ | Insmed Inc. | | 1,987,626 | | 26,078 | |
* | Tivity Health Inc. | | 1,034,816 | | 25,674 | |
* | Aimmune Therapeutics Inc. | | 1,061,492 | | 25,391 | |
| Luminex Corp. | | 1,088,723 | | 25,160 | |
* | Editas Medicine Inc. | | 1,100,293 | | 25,032 | |
* | BioTelemetry Inc. | | 408,526 | | 24,397 | |
* | Orthofix Medical Inc. | | 462,944 | | 24,300 | |
*,^ | OPKO Health Inc. | | 7,951,820 | | 23,935 | |
* | Clovis Oncology Inc. | | 1,293,841 | | 23,237 | |
* | Varex Imaging Corp. | | 977,231 | | 23,141 | |
* | Spectrum Pharmaceuticals Inc. | | 2,479,081 | | 21,692 | |
| National HealthCare Corp. | | 254,229 | | 19,944 | |
*,^ | Radius Health Inc. | | 1,185,185 | | 19,544 | |
* | iRhythm Technologies Inc. | | 280,791 | | 19,509 | |
* | Acorda Therapeutics Inc. | | 1,223,901 | | 19,068 | |
* | STAAR Surgical Co. | | 565,253 | | 18,037 | |
| Meridian Bioscience Inc. | | 1,033,288 | | 17,938 | |
* | Atara Biotherapeutics Inc. | | 501,572 | | 17,425 | |
*,^ | Allogene Therapeutics Inc. | | 628,201 | | 16,917 | |
* | Puma Biotechnology Inc. | | 830,929 | | 16,909 | |
| HealthStream Inc. | | 660,265 | | 15,945 | |
13
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Natera Inc. | | 1,105,670 | | 15,435 | |
* | Alder Biopharmaceuticals Inc. | | 1,498,810 | | 15,363 | |
* | Sangamo Therapeutics Inc. | | 1,305,396 | | 14,986 | |
* | CorVel Corp. | | 241,692 | | 14,917 | |
*,^ | Esperion Therapeutics Inc. | | 310,806 | | 14,297 | |
* | Natus Medical Inc. | | 410,369 | | 13,965 | |
* | Reata Pharmaceuticals Inc. Class A | | 231,618 | | 12,994 | |
* | AMAG Pharmaceuticals Inc. | | 846,043 | | 12,851 | |
* | Intra-Cellular Therapies Inc. | | 1,121,183 | | 12,770 | |
* | Guardant Health Inc. | | 329,331 | | 12,380 | |
*,^ | Madrigal Pharmaceuticals Inc. | | 109,293 | | 12,320 | |
*,^ | Intrexon Corp. | | 1,758,752 | | 11,502 | |
* | Allakos Inc. | | 215,796 | | 11,280 | |
* | Intellia Therapeutics Inc. | | 774,826 | | 10,576 | |
*,^ | Akcea Therapeutics Inc. | | 342,426 | | 10,321 | |
| Owens & Minor Inc. | | 1,507,340 | | 9,541 | |
* | Epizyme Inc. | | 1,534,255 | | 9,451 | |
*,^ | TherapeuticsMD Inc. | | 2,458,694 | | 9,368 | |
* | Akorn Inc. | | 2,411,452 | | 8,175 | |
*,^ | Community Health Systems Inc. | | 2,825,109 | | 7,967 | |
* | Kiniksa Pharmaceuticals Ltd. Class A | | 280,201 | | 7,871 | |
* | Tricida Inc. | | 323,366 | | 7,625 | |
*,^ | Lexicon Pharmaceuticals Inc. | | 1,087,081 | | 7,218 | |
* | G1 Therapeutics Inc. | | 355,971 | | 6,817 | |
* | Achillion Pharmaceuticals Inc. | | 3,392,313 | | 5,394 | |
* | PDL BioPharma Inc. | | 1,815,626 | | 5,265 | |
*,^ | Rubius Therapeutics Inc. | | 300,783 | | 4,837 | |
*,^ | Surgery Partners Inc. | | 438,108 | | 4,289 | |
* | American Renal Associates Holdings Inc. | | 345,384 | | 3,979 | |
* | Five Prime Therapeutics Inc. | | 423,571 | | 3,939 | |
* | Accuray Inc. | | 1,039,189 | | 3,544 | |
*,^ | ZIOPHARM Oncology Inc. | | 1,616,100 | | 3,022 | |
*,^ | Insys Therapeutics Inc. | | 754,411 | | 2,640 | |
| Invacare Corp. | | 410,220 | | 1,764 | |
*,^ | Moderna Inc. | | 109,611 | | 1,674 | |
* | Aduro Biotech Inc. | | 612,889 | | 1,618 | |
*,^ | Akebia Therapeutics Inc. | | 227,738 | | 1,259 | |
* | Synergy Pharmaceuticals Inc. | | 154,945 | | 18 | |
* | Assertio Therapeutics Inc. | | 1,129 | | 4 | |
* | WellCare Health Plans Inc. | | 13 | | 3 | |
* | Lannett Co. Inc. | | 617 | | 3 | |
| | | | | 8,663,055 | |
Industrials (19.5%) | | | | | |
| IDEX Corp. | | 1,974,958 | | 249,358 | |
| PerkinElmer Inc. | | 2,863,867 | | 224,957 | |
* | Zebra Technologies Corp. | | 1,385,293 | | 220,580 | |
| Lennox International Inc. | | 985,277 | | 215,638 | |
| Spirit AeroSystems Holdings Inc. Class A | | 2,741,999 | | 197,671 | |
| Allegion plc | | 2,447,328 | | 195,077 | |
* | Teledyne Technologies Inc. | | 882,468 | | 182,733 | |
| Graco Inc. | | 4,285,124 | | 179,332 | |
* | HD Supply Holdings Inc. | | 4,493,445 | | 168,594 | |
* | Berry Global Group Inc. | | 3,378,514 | | 160,581 | |
| Booz Allen Hamilton Holding Corp. Class A | | 3,481,584 | | 156,915 | |
* | WEX Inc. | | 1,109,752 | | 155,432 | |
| Carlisle Cos. Inc. | | 1,532,924 | | 154,090 | |
| AptarGroup Inc. | | 1,617,154 | | 152,126 | |
| Nordson Corp. | | 1,272,476 | | 151,870 | |
* | Keysight Technologies Inc. | | 2,402,053 | | 149,119 | |
| National Instruments Corp. | | 3,238,811 | | 146,977 | |
| Toro Co. | | 2,581,072 | | 144,230 | |
| Donaldson Co. Inc. | | 3,299,764 | | 143,177 | |
| Sonoco Products Co. | | 2,569,524 | | 136,519 | |
* | Fair Isaac Corp. | | 708,145 | | 132,423 | |
14
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Euronet Worldwide Inc. | | 1,261,071 | | 129,108 | |
| Hexcel Corp. | | 2,216,787 | | 127,111 | |
| Jack Henry & Associates Inc. | | 995,139 | | 125,905 | |
| Lincoln Electric Holdings Inc. | | 1,576,231 | | 124,286 | |
| MDU Resources Group Inc. | | 5,050,660 | | 120,408 | |
| Acuity Brands Inc. | | 1,032,223 | | 118,654 | |
| Watsco Inc. | | 826,875 | | 115,051 | |
| Oshkosh Corp. | | 1,850,990 | | 113,484 | |
| Quanta Services Inc. | | 3,759,353 | | 113,157 | |
* | Genesee & Wyoming Inc. Class A | | 1,502,809 | | 111,238 | |
| ITT Inc. | | 2,255,086 | | 108,853 | |
| Bemis Co. Inc. | | 2,343,198 | | 107,553 | |
| MAXIMUS Inc. | | 1,651,040 | | 107,466 | |
* | AECOM | | 4,024,836 | | 106,658 | |
| Woodward Inc. | | 1,431,351 | | 106,335 | |
| Littelfuse Inc. | | 615,255 | | 105,504 | |
| Curtiss-Wright Corp. | | 1,015,380 | | 103,691 | |
| Avnet Inc. | | 2,863,354 | | 103,367 | |
^ | Universal Display Corp. | | 1,091,348 | | 102,117 | |
| Landstar System Inc. | | 1,058,081 | | 101,227 | |
| Genpact Ltd. | | 3,670,178 | | 99,058 | |
| HEICO Corp. | | 1,260,443 | | 97,659 | |
| HEICO Corp. Class A | | 1,546,936 | | 97,457 | |
| BWX Technologies Inc. | | 2,542,247 | | 97,190 | |
| Crane Co. | | 1,297,104 | | 93,625 | |
* | Kirby Corp. | | 1,386,804 | | 93,415 | |
| nVent Electric plc | | 4,157,355 | | 93,374 | |
| Jabil Inc. | | 3,750,872 | | 92,984 | |
* | Esterline Technologies Corp. | | 759,350 | | 92,223 | |
| USG Corp. | | 2,158,824 | | 92,095 | |
| Insperity Inc. | | 968,401 | | 90,410 | |
| MSC Industrial Direct Co. Inc. Class A | | 1,168,902 | | 89,912 | |
* | Trex Co. Inc. | | 1,512,617 | | 89,789 | |
| AGCO Corp. | | 1,612,283 | | 89,756 | |
| EMCOR Group Inc. | | 1,481,410 | | 88,425 | |
* | Stericycle Inc. | | 2,332,628 | | 85,584 | |
| Graphic Packaging Holding Co. | | 7,992,388 | | 85,039 | |
| EnerSys | | 1,085,113 | | 84,216 | |
| MSA Safety Inc. | | 890,878 | | 83,983 | |
* | RBC Bearings Inc. | | 637,619 | | 83,592 | |
| Cognex Corp. | | 2,106,429 | | 81,456 | |
| Louisiana-Pacific Corp. | | 3,636,998 | | 80,814 | |
| Brink’s Co. | | 1,238,418 | | 80,064 | |
* | Generac Holdings Inc. | | 1,597,922 | | 79,417 | |
| Air Lease Corp. Class A | | 2,626,670 | | 79,352 | |
| AO Smith Corp. | | 1,852,412 | | 79,098 | |
| Knight-Swift Transportation Holdings Inc. | | 3,145,563 | | 78,859 | |
| Regal Beloit Corp. | | 1,110,708 | | 77,805 | |
| FLIR Systems Inc. | | 1,780,786 | | 77,535 | |
* | Proto Labs Inc. | | 661,653 | | 74,628 | |
| Tetra Tech Inc. | | 1,425,272 | | 73,786 | |
| Armstrong World Industries Inc. | | 1,212,283 | | 70,567 | |
* | Owens-Illinois Inc. | | 4,085,990 | | 70,442 | |
* | Allegheny Technologies Inc. | | 3,233,636 | | 70,396 | |
| Kennametal Inc. | | 2,113,751 | | 70,346 | |
| Eagle Materials Inc. | | 1,148,858 | | 70,115 | |
* | ASGN Inc. | | 1,284,027 | | 69,979 | |
* | CoreLogic Inc. | | 2,075,668 | | 69,369 | |
| Macquarie Infrastructure Corp. | | 1,875,250 | | 68,559 | |
| GATX Corp. | | 967,985 | | 68,543 | |
* | AMN Healthcare Services Inc. | | 1,207,433 | | 68,413 | |
* | Gardner Denver Holdings Inc. | | 3,322,769 | | 67,951 | |
| Exponent Inc. | | 1,337,736 | | 67,837 | |
| Barnes Group Inc. | | 1,254,288 | | 67,255 | |
15
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Timken Co. | | 1,785,805 | | 66,646 | |
* | Coherent Inc. | | 627,531 | | 66,336 | |
| Trinity Industries Inc. | | 3,203,143 | | 65,953 | |
* | FTI Consulting Inc. | | 988,376 | | 65,865 | |
| Ryder System Inc. | | 1,367,748 | | 65,857 | |
* | MasTec Inc. | | 1,622,035 | | 65,790 | |
* | Resideo Technologies Inc. | | 3,169,943 | | 65,142 | |
| Moog Inc. Class A | | 837,512 | | 64,890 | |
* | Clean Harbors Inc. | | 1,298,690 | | 64,090 | |
| Flowserve Corp. | | 1,685,614 | | 64,087 | |
* | Aerojet Rocketdyne Holdings Inc. | | 1,811,587 | | 63,822 | |
* | Integer Holdings Corp. | | 834,252 | | 63,620 | |
* | Axon Enterprise Inc. | | 1,429,485 | | 62,540 | |
* | Rexnord Corp. | | 2,694,173 | | 61,831 | |
| Vishay Intertechnology Inc. | | 3,401,563 | | 61,262 | |
| Valmont Industries Inc. | | 540,181 | | 59,933 | |
| John Bean Technologies Corp. | | 813,747 | | 58,435 | |
* | SiteOne Landscape Supply Inc. | | 1,049,571 | | 58,010 | |
* | WESCO International Inc. | | 1,202,101 | | 57,701 | |
* | Cimpress NV | | 556,942 | | 57,599 | |
| Simpson Manufacturing Co. Inc. | | 1,063,151 | | 57,548 | |
| UniFirst Corp. | | 397,447 | | 56,863 | |
* | Mercury Systems Inc. | | 1,183,513 | | 55,968 | |
* | Beacon Roofing Supply Inc. | | 1,754,769 | | 55,661 | |
| KBR Inc. | | 3,631,947 | | 55,133 | |
| Korn/Ferry International | | 1,391,906 | | 55,036 | |
| ABM Industries Inc. | | 1,694,771 | | 54,419 | |
* | Novanta Inc. | | 853,670 | | 53,781 | |
| Applied Industrial Technologies Inc. | | 996,473 | | 53,750 | |
| Brady Corp. Class A | | 1,196,617 | | 52,005 | |
| ManpowerGroup Inc. | | 795,779 | | 51,567 | |
* | II-VI Inc. | | 1,562,088 | | 50,705 | |
| Otter Tail Corp. | | 1,020,778 | | 50,671 | |
* | Conduent Inc. | | 4,626,837 | | 49,183 | |
* | Paylocity Holding Corp. | | 815,843 | | 49,122 | |
| Granite Construction Inc. | | 1,207,985 | | 48,658 | |
* | Imperva Inc. | | 861,508 | | 47,977 | |
| Silgan Holdings Inc. | | 1,995,109 | | 47,124 | |
| Terex Corp. | | 1,707,661 | | 47,080 | |
* | Rogers Corp. | | 473,460 | | 46,901 | |
| Albany International Corp. | | 745,624 | | 46,549 | |
| Watts Water Technologies Inc. Class A | | 714,121 | | 46,082 | |
| Deluxe Corp. | | 1,193,103 | | 45,863 | |
* | TriNet Group Inc. | | 1,089,203 | | 45,692 | |
* | ExlService Holdings Inc. | | 837,557 | | 44,072 | |
| Franklin Electric Co. Inc. | | 1,020,994 | | 43,780 | |
* | Advanced Disposal Services Inc. | | 1,826,674 | | 43,731 | |
| Belden Inc. | | 1,038,824 | | 43,392 | |
| EVERTEC Inc. | | 1,500,183 | | 43,055 | |
| Altra Industrial Motion Corp. | | 1,660,067 | | 41,751 | |
| ESCO Technologies Inc. | | 632,754 | | 41,730 | |
| Comfort Systems USA Inc. | | 953,975 | | 41,670 | |
| Triton International Ltd. | | 1,338,469 | | 41,586 | |
* | Dycom Industries Inc. | | 766,342 | | 41,413 | |
* | Plexus Corp. | | 809,179 | | 41,333 | |
| Forward Air Corp. | | 749,970 | | 41,136 | |
* | Harsco Corp. | | 2,069,793 | | 41,106 | |
* | TopBuild Corp. | | 911,273 | | 41,007 | |
* | Colfax Corp. | | 1,962,066 | | 41,007 | |
| Covanta Holding Corp. | | 3,039,933 | | 40,796 | |
* | Itron Inc. | | 861,791 | | 40,754 | |
| Kaman Corp. | | 719,244 | | 40,342 | |
| Cubic Corp. | | 749,529 | | 40,280 | |
* | Sanmina Corp. | | 1,668,296 | | 40,139 | |
16
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Anixter International Inc. | | 732,338 | | 39,773 | |
| Universal Forest Products Inc. | | 1,506,278 | | 39,103 | |
* | Aerovironment Inc. | | 554,781 | | 37,697 | |
| Mueller Water Products Inc. Class A | | 4,059,655 | | 36,943 | |
* | Saia Inc. | | 661,267 | | 36,912 | |
| Badger Meter Inc. | | 749,195 | | 36,868 | |
| Mobile Mini Inc. | | 1,145,264 | | 36,362 | |
| ManTech International Corp. Class A | | 682,775 | | 35,706 | |
* | Summit Materials Inc. Class A | | 2,876,067 | | 35,663 | |
| World Fuel Services Corp. | | 1,646,984 | | 35,262 | |
| Werner Enterprises Inc. | | 1,192,681 | | 35,232 | |
| AAON Inc. | | 1,004,623 | | 35,222 | |
| Matson Inc. | | 1,099,796 | | 35,215 | |
* | Evolent Health Inc. Class A | | 1,710,305 | | 34,121 | |
| Schneider National Inc. Class B | | 1,816,190 | | 33,908 | |
| Raven Industries Inc. | | 925,139 | | 33,481 | |
* | Navistar International Corp. | | 1,274,277 | | 33,068 | |
* | Air Transport Services Group Inc. | | 1,447,465 | | 33,017 | |
| Actuant Corp. Class A | | 1,571,566 | | 32,987 | |
| Greenbrier Cos. Inc. | | 832,132 | | 32,903 | |
| Mueller Industries Inc. | | 1,408,098 | | 32,893 | |
* | Builders FirstSource Inc. | | 2,954,116 | | 32,229 | |
| EnPro Industries Inc. | | 533,866 | | 32,085 | |
* | TriMas Corp. | | 1,174,698 | | 32,058 | |
| AAR Corp. | | 857,578 | | 32,022 | |
* | SPX FLOW Inc. | | 1,039,130 | | 31,610 | |
* | SPX Corp. | | 1,116,380 | | 31,270 | |
* | Knowles Corp. | | 2,325,472 | | 30,952 | |
* | OSI Systems Inc. | | 420,082 | | 30,792 | |
* | Masonite International Corp. | | 682,462 | | 30,595 | |
* | Hub Group Inc. Class A | | 824,154 | | 30,551 | |
| McGrath RentCorp | | 590,586 | | 30,403 | |
* | Huron Consulting Group Inc. | | 579,385 | | 29,728 | |
*,^ | Ambarella Inc. | | 786,276 | | 27,504 | |
| Rush Enterprises Inc. Class A | | 786,035 | | 27,103 | |
| AZZ Inc. | | 668,831 | | 26,994 | |
| Lindsay Corp. | | 276,951 | | 26,657 | |
| Navigant Consulting Inc. | | 1,097,289 | | 26,390 | |
* | Sykes Enterprises Inc. | | 1,046,322 | | 25,876 | |
| Encore Wire Corp. | | 508,976 | | 25,540 | |
*,^ | Inovalon Holdings Inc. Class A | | 1,760,857 | | 24,969 | |
* | Atlas Air Worldwide Holdings Inc. | | 591,181 | | 24,942 | |
* | Pluralsight Inc. Class A | | 1,045,118 | | 24,613 | |
* | Cardtronics plc Class A | | 946,102 | | 24,599 | |
* | JELD-WEN Holding Inc. | | 1,731,037 | | 24,598 | |
| Sun Hydraulics Corp. | | 738,833 | | 24,522 | |
* | Continental Building Products Inc. | | 949,938 | | 24,176 | |
* | Atkore International Group Inc. | | 1,215,252 | | 24,111 | |
| Benchmark Electronics Inc. | | 1,125,346 | | 23,835 | |
| Boise Cascade Co. | | 998,107 | | 23,805 | |
| Aircastle Ltd. | | 1,374,750 | | 23,701 | |
| Greif Inc. Class A | | 635,557 | | 23,586 | |
* | Verra Mobility Corp. | | 2,409,148 | | 23,513 | |
* | TTM Technologies Inc. | | 2,408,993 | | 23,440 | |
* | TrueBlue Inc. | | 1,042,867 | | 23,204 | |
| Advanced Drainage Systems Inc. | | 951,646 | | 23,077 | |
| Tennant Co. | | 441,100 | | 22,986 | |
| Standex International Corp. | | 330,515 | | 22,204 | |
| ArcBest Corp. | | 629,144 | | 21,554 | |
* | Milacron Holdings Corp. | | 1,811,705 | | 21,541 | |
| Primoris Services Corp. | | 1,116,885 | | 21,366 | |
| Heartland Express Inc. | | 1,159,544 | | 21,220 | |
| Methode Electronics Inc. | | 900,450 | | 20,972 | |
| Apogee Enterprises Inc. | | 690,551 | | 20,613 | |
17
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| AVX Corp. | | 1,300,655 | | 19,835 | |
* | Installed Building Products Inc. | | 563,534 | | 18,985 | |
| Kforce Inc. | | 602,546 | | 18,631 | |
| MTS Systems Corp. | | 461,341 | | 18,514 | |
| Maxar Technologies Ltd. | | 1,523,362 | | 18,219 | |
| Wabash National Corp. | | 1,359,862 | | 17,787 | |
* | FARO Technologies Inc. | | 434,927 | | 17,675 | |
| Gorman-Rupp Co. | | 544,506 | | 17,647 | |
* | Thermon Group Holdings Inc. | | 849,538 | | 17,229 | |
| GrafTech International Ltd. | | 1,487,228 | | 17,014 | |
*,^ | MACOM Technology Solutions Holdings Inc. | | 1,169,278 | | 16,966 | |
| H&E Equipment Services Inc. | | 828,353 | | 16,915 | |
| Kelly Services Inc. Class A | | 820,883 | | 16,812 | |
* | Tutor Perini Corp. | | 1,033,711 | | 16,508 | |
| Astec Industries Inc. | | 530,426 | | 16,014 | |
* | SEACOR Holdings Inc. | | 420,678 | | 15,565 | |
* | Evo Payments Inc. Class A | | 621,372 | | 15,329 | |
| Hyster-Yale Materials Handling Inc. | | 243,683 | | 15,099 | |
* | Gates Industrial Corp. plc | | 1,118,590 | | 14,810 | |
| Triumph Group Inc. | | 1,220,130 | | 14,032 | |
| Briggs & Stratton Corp. | | 1,031,747 | | 13,495 | |
* | Manitowoc Co. Inc. | | 911,666 | | 13,465 | |
* | GreenSky Inc. Class A | | 1,403,934 | | 13,436 | |
* | Aegion Corp. Class A | | 790,280 | | 12,897 | |
* | GMS Inc. | | 851,420 | | 12,652 | |
* | Donnelley Financial Solutions Inc. | | 873,647 | | 12,257 | |
| Quanex Building Products Corp. | | 901,216 | | 12,248 | |
*,^ | Team Inc. | | 778,428 | | 11,404 | |
* | Wesco Aircraft Holdings Inc. | | 1,397,706 | | 11,042 | |
| Resources Connection Inc. | | 762,818 | | 10,832 | |
* | CIRCOR International Inc. | | 508,055 | | 10,822 | |
| Griffon Corp. | | 994,658 | | 10,394 | |
| TTEC Holdings Inc. | | 358,305 | | 10,237 | |
| Quad/Graphics Inc. | | 785,781 | | 9,681 | |
* | Veeco Instruments Inc. | | 1,221,151 | | 9,049 | |
* | Vicor Corp. | | 235,711 | | 8,908 | |
* | Astronics Corp. | | 264,555 | | 8,056 | |
*,^ | Livent Corp. | | 565,277 | | 7,801 | |
| RR Donnelley & Sons Co. | | 1,704,903 | | 6,751 | |
* | Mistras Group Inc. | | 449,750 | | 6,467 | |
| Greif Inc. Class B | | 140,594 | | 6,242 | |
| Rush Enterprises Inc. Class B | | 159,016 | | 5,661 | |
^ | REV Group Inc. | | 641,773 | | 4,820 | |
* | International Seaways Inc. | | 280,953 | | 4,731 | |
| Park Electrochemical Corp. | | 252,686 | | 4,566 | |
* | Armstrong Flooring Inc. | | 277,811 | | 3,289 | |
| LSC Communications Inc. | | 399,614 | | 2,797 | |
* | InnerWorkings Inc. | | 534,480 | | 1,999 | |
* | Forterra Inc. | | 372 | | 1 | |
* | Dorian LPG Ltd. | | 20 | | — | |
| | | | | 15,213,199 | |
Oil & Gas (3.5%) | | | | | |
| EQT Corp. | | 6,550,736 | | 123,743 | |
* | WPX Energy Inc. | | 10,822,315 | | 122,833 | |
* | Parsley Energy Inc. Class A | | 6,855,043 | | 109,544 | |
| Murphy Oil Corp. | | 4,233,081 | | 99,012 | |
*,^ | Transocean Ltd. | | 14,123,427 | | 98,017 | |
| PBF Energy Inc. Class A | | 2,931,542 | | 95,773 | |
* | First Solar Inc. | | 1,888,856 | | 80,191 | |
* | Newfield Exploration Co. | | 5,160,876 | | 75,658 | |
| Delek US Holdings Inc. | | 2,110,318 | | 68,606 | |
^ | Core Laboratories NV | | 1,138,969 | | 67,951 | |
| Helmerich & Payne Inc. | | 1,333,919 | | 63,948 | |
| Range Resources Corp. | | 6,429,141 | | 61,527 | |
18
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Antero Resources Corp. | | 6,530,857 | | 61,325 | |
| Patterson-UTI Energy Inc. | | 5,319,128 | | 55,053 | |
* | Apergy Corp. | | 1,991,419 | | 53,928 | |
* | Whiting Petroleum Corp. | | 2,342,883 | | 53,160 | |
* | Centennial Resource Development Inc. Class A | | 4,764,680 | | 52,507 | |
* | Equitrans Midstream Corp. | | 2,618,384 | | 52,420 | |
* | Chart Industries Inc. | | 804,574 | | 52,321 | |
* | Southwestern Energy Co. | | 14,948,663 | | 50,975 | |
* | PDC Energy Inc. | | 1,701,623 | | 50,640 | |
*,^ | Chesapeake Energy Corp. | | 22,369,507 | | 46,976 | |
* | Oasis Petroleum Inc. | | 8,203,859 | | 45,367 | |
| SM Energy Co. | | 2,889,212 | | 44,725 | |
* | Matador Resources Co. | | 2,698,015 | | 41,900 | |
^ | Ensco plc Class A | | 11,264,889 | | 40,103 | |
* | CNX Resources Corp. | | 3,406,178 | | 38,899 | |
* | Callon Petroleum Co. | | 5,865,842 | | 38,069 | |
* | QEP Resources Inc. | | 6,107,656 | | 34,386 | |
* | NOW Inc. | | 2,797,078 | | 32,558 | |
* | Oceaneering International Inc. | | 2,539,306 | | 30,726 | |
* | Arcosa Inc. | | 1,064,102 | | 29,465 | |
* | SRC Energy Inc. | | 6,264,232 | | 29,442 | |
* | Magnolia Oil & Gas Corp. | | 2,621,757 | | 29,390 | |
| McDermott International Inc. | | 4,401,909 | | 28,788 | |
| SemGroup Corp. Class A | | 2,039,862 | | 28,109 | |
* | Dril-Quip Inc. | | 921,174 | | 27,663 | |
* | Rowan Cos. plc Class A | | 3,279,386 | | 27,514 | |
* | MRC Global Inc. | | 2,210,852 | | 27,039 | |
| CVR Energy Inc. | | 778,614 | | 26,847 | |
* | Cactus Inc. Class A | | 971,200 | | 26,621 | |
* | ProPetro Holding Corp. | | 2,158,280 | | 26,590 | |
| Archrock Inc. | | 3,334,514 | | 24,975 | |
* | Gulfport Energy Corp. | | 3,780,284 | | 24,761 | |
* | Carrizo Oil & Gas Inc. | | 2,115,459 | | 23,884 | |
* | C&J Energy Services Inc. | | 1,564,472 | | 21,120 | |
* | Denbury Resources Inc. | | 11,811,892 | | 20,198 | |
* | Oil States International Inc. | | 1,392,110 | | 19,879 | |
* | Helix Energy Solutions Group Inc. | | 3,605,426 | | 19,505 | |
* | Unit Corp. | | 1,320,209 | | 18,853 | |
| Nabors Industries Ltd. | | 8,699,333 | | 17,399 | |
*,^ | Tellurian Inc. | | 2,461,369 | | 17,107 | |
* | Noble Corp. plc | | 6,320,151 | | 16,559 | |
* | Laredo Petroleum Inc. | | 4,496,661 | | 16,278 | |
* | Newpark Resources Inc. | | 2,209,041 | | 15,176 | |
*,^ | Diamond Offshore Drilling Inc. | | 1,600,475 | | 15,108 | |
*,^ | Weatherford International plc | | 25,703,011 | | 14,368 | |
* | Exterran Corp. | | 795,031 | | 14,072 | |
| RPC Inc. | | 1,386,073 | | 13,681 | |
* | Superior Energy Services Inc. | | 3,949,659 | | 13,231 | |
* | WildHorse Resource Development Corp. | | 918,488 | | 12,960 | |
* | Extraction Oil & Gas Inc. | | 2,933,387 | | 12,584 | |
*,^ | Jagged Peak Energy Inc. | | 1,367,542 | | 12,472 | |
^ | Liberty Oilfield Services Inc. Class A | | 896,755 | | 11,613 | |
* | KLX Energy Services Holdings Inc. | | 467,401 | | 10,961 | |
* | Keane Group Inc. | | 1,074,683 | | 8,791 | |
* | Forum Energy Technologies Inc. | | 2,096,633 | | 8,659 | |
* | Roan Resources Inc. | | 970,631 | | 8,134 | |
*,^ | SunPower Corp. Class A | | 1,626,424 | | 8,083 | |
| Green Plains Inc. | | 504,555 | | 6,615 | |
* | FTS International Inc. | | 839,341 | | 5,968 | |
*,^ | Covia Holdings Corp. | | 1,029,030 | | 3,519 | |
| Berry Petroleum Corp. | | 323,505 | | 2,831 | |
*,^ | Alta Mesa Resources Inc. Class A | | 1,090,661 | | 1,091 | |
* | NCS Multistage Holdings Inc. | | 134,065 | | 682 | |
*,^ | EP Energy Corp. Class A | | 667,624 | | 467 | |
19
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
*,^ | Eclipse Resources Corp. | | 10,808 | | 11 | |
| Diamondback Energy Inc. | | 50 | | 5 | |
* | TETRA Technologies Inc. | | 2,209 | | 4 | |
| | | | | 2,691,913 | |
Other (0.0%)2 | | | | | |
*,§ | Herbalife Ltd. CVR | | 228,911 | | 2,221 | |
*,§ | A Schulman Inc. CVR | | 670,110 | | 1,280 | |
*,§ | NewStar Financial Inc. CVR | | 651,238 | | 169 | |
*,§ | Media General Inc. CVR | | 2,475,062 | | 96 | |
*,§ | Clinical Data CVR | | 297,875 | | — | |
| | | | | 3,766 | |
Technology (12.0%) | | | | | |
* | PTC Inc. | | 2,749,843 | | 227,962 | |
* | Tableau Software Inc. Class A | | 1,842,057 | | 221,047 | |
| Leidos Holdings Inc. | | 3,855,779 | | 203,277 | |
* | Ultimate Software Group Inc. | | 764,780 | | 187,272 | |
* | ON Semiconductor Corp. | | 10,837,107 | | 178,921 | |
* | Tyler Technologies Inc. | | 949,513 | | 176,438 | |
*,^ | Twilio Inc. Class A | | 1,936,853 | | 172,961 | |
* | Guidewire Software Inc. | | 2,081,266 | | 166,980 | |
* | Integrated Device Technology Inc. | | 3,321,390 | | 160,855 | |
* | Paycom Software Inc. | | 1,282,752 | | 157,073 | |
* | EPAM Systems Inc. | | 1,320,970 | | 153,246 | |
* | Zendesk Inc. | | 2,617,799 | | 152,801 | |
* | Okta Inc. | | 2,375,938 | | 151,585 | |
* | Aspen Technology Inc. | | 1,821,860 | | 149,720 | |
| Teradyne Inc. | | 4,614,103 | | 144,791 | |
* | Nutanix Inc. | | 3,449,496 | | 143,465 | |
* | RingCentral Inc. Class A | | 1,677,210 | | 138,269 | |
* | athenahealth Inc. | | 1,045,579 | | 137,943 | |
* | ARRIS International plc | | 4,251,630 | | 129,972 | |
* | Ciena Corp. | | 3,670,519 | | 124,467 | |
* | HubSpot Inc. | | 959,520 | | 120,640 | |
| Monolithic Power Systems Inc. | | 1,037,151 | | 120,569 | |
| Cypress Semiconductor Corp. | | 9,317,506 | | 118,519 | |
* | Proofpoint Inc. | | 1,406,796 | | 117,904 | |
* | Teradata Corp. | | 3,042,884 | | 116,725 | |
* | Cree Inc. | | 2,640,134 | | 112,932 | |
| LogMeIn Inc. | | 1,317,245 | | 107,448 | |
| Entegris Inc. | | 3,638,045 | | 101,483 | |
* | Medidata Solutions Inc. | | 1,493,546 | | 100,695 | |
* | Nuance Communications Inc. | | 7,403,214 | | 97,945 | |
* | RealPage Inc. | | 1,933,987 | | 93,199 | |
* | CACI International Inc. Class A | | 639,662 | | 92,131 | |
| MKS Instruments Inc. | | 1,389,974 | | 89,806 | |
* | Coupa Software Inc. | | 1,419,976 | | 89,260 | |
* | New Relic Inc. | | 1,099,803 | | 89,051 | |
* | DocuSign Inc. Class A | | 2,220,488 | | 88,997 | |
* | Silicon Laboratories Inc. | | 1,110,302 | | 87,503 | |
*,^ | ViaSat Inc. | | 1,459,102 | | 86,014 | |
| SYNNEX Corp. | | 1,053,751 | | 85,185 | |
* | Pure Storage Inc. Class A | | 5,286,452 | | 85,006 | |
| j2 Global Inc. | | 1,202,193 | | 83,408 | |
* | CommScope Holding Co. Inc. | | 4,952,291 | | 81,168 | |
* | Tech Data Corp. | | 987,508 | | 80,788 | |
* | Lumentum Holdings Inc. | | 1,913,310 | | 80,378 | |
| Blackbaud Inc. | | 1,249,965 | | 78,623 | |
* | ACI Worldwide Inc. | | 2,836,105 | | 78,475 | |
* | FireEye Inc. | | 4,820,407 | | 78,139 | |
* | Semtech Corp. | | 1,694,011 | | 77,704 | |
* | Manhattan Associates Inc. | | 1,683,552 | | 71,332 | |
* | Verint Systems Inc. | | 1,668,964 | | 70,614 | |
* | 2U Inc. | | 1,418,058 | | 70,506 | |
* | NCR Corp. | | 3,046,212 | | 70,307 | |
20
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Science Applications International Corp. | | 1,094,662 | | 69,730 | |
* | Cornerstone OnDemand Inc. | | 1,357,525 | | 68,460 | |
| Cabot Microelectronics Corp. | | 700,286 | | 66,772 | |
* | Finisar Corp. | | 3,018,414 | | 65,198 | |
* | Qualys Inc. | | 862,598 | | 64,471 | |
* | CommVault Systems Inc. | | 1,072,298 | | 63,362 | |
* | Five9 Inc. | | 1,438,694 | | 62,900 | |
| Perspecta Inc. | | 3,596,938 | | 61,939 | |
* | Premier Inc. Class A | | 1,642,168 | | 61,335 | |
| InterDigital Inc. | | 895,562 | | 59,492 | |
* | Viavi Solutions Inc. | | 5,869,286 | | 58,986 | |
*,^ | MongoDB Inc. | | 686,908 | | 57,522 | |
* | Ellie Mae Inc. | | 895,521 | | 56,266 | |
* | Box Inc. | | 3,280,755 | | 55,379 | |
* | Envestnet Inc. | | 1,118,094 | | 54,999 | |
*,^ | Alteryx Inc. Class A | | 920,573 | | 54,746 | |
* | Bottomline Technologies DE Inc. | | 1,109,412 | | 53,252 | |
* | Cirrus Logic Inc. | | 1,541,613 | | 51,151 | |
*,^ | Zscaler Inc. | | 1,257,335 | | 49,300 | |
| Cogent Communications Holdings Inc. | | 1,075,321 | | 48,615 | |
| Pegasystems Inc. | | 1,009,122 | | 48,266 | |
* | Alarm.com Holdings Inc. | | 927,363 | | 48,102 | |
| Brooks Automation Inc. | | 1,821,375 | | 47,684 | |
* | Q2 Holdings Inc. | | 948,149 | | 46,981 | |
* | EchoStar Corp. Class A | | 1,249,483 | | 45,881 | |
* | SailPoint Technologies Holding Inc. | | 1,922,196 | | 45,152 | |
* | NetScout Systems Inc. | | 1,900,792 | | 44,916 | |
| Power Integrations Inc. | | 717,448 | | 43,750 | |
* | Allscripts Healthcare Solutions Inc. | | 4,498,757 | | 43,368 | |
* | Advanced Energy Industries Inc. | | 991,375 | | 42,560 | |
* | Avaya Holdings Corp. | | 2,834,877 | | 41,276 | |
| Progress Software Corp. | | 1,155,354 | | 41,004 | |
* | NETGEAR Inc. | | 772,810 | | 40,209 | |
* | Varonis Systems Inc. | | 720,419 | | 38,110 | |
* | Blackline Inc. | | 913,333 | | 37,401 | |
* | Insight Enterprises Inc. | | 914,189 | | 37,253 | |
*,^ | Ceridian HCM Holding Inc. | | 1,068,083 | | 36,838 | |
^ | Ubiquiti Networks Inc. | | 365,543 | | 36,339 | |
* | Cloudera Inc. | | 3,164,997 | | 35,005 | |
*,^ | Inphi Corp. | | 1,080,842 | | 34,749 | |
* | Diodes Inc. | | 1,030,078 | | 33,230 | |
* | Synaptics Inc. | | 892,539 | | 33,211 | |
* | SendGrid Inc. | | 733,618 | | 31,670 | |
* | Blucora Inc. | | 1,170,848 | | 31,191 | |
* | Rapid7 Inc. | | 975,185 | | 30,387 | |
* | Acacia Communications Inc. | | 782,066 | | 29,719 | |
* | MicroStrategy Inc. Class A | | 230,770 | | 29,481 | |
| Plantronics Inc. | | 872,433 | | 28,878 | |
| Pitney Bowes Inc. | | 4,843,214 | | 28,623 | |
| TiVo Corp. | | 3,036,391 | | 28,572 | |
*,^ | 3D Systems Corp. | | 2,801,718 | | 28,493 | |
* | MaxLinear Inc. | | 1,600,890 | | 28,176 | |
* | Electronics For Imaging Inc. | | 1,126,580 | | 27,939 | |
* | LivePerson Inc. | | 1,465,990 | | 27,649 | |
| CSG Systems International Inc. | | 857,200 | | 27,233 | |
* | FormFactor Inc. | | 1,906,207 | | 26,858 | |
* | Hortonworks Inc. | | 1,847,742 | | 26,644 | |
*,^ | Zuora Inc. Class A | | 1,419,212 | | 25,745 | |
* | Pivotal Software Inc. Class A | | 1,480,486 | | 24,206 | |
| Ebix Inc. | | 565,058 | | 24,049 | |
* | Appfolio Inc. | | 394,414 | | 23,357 | |
| Xperi Corp. | | 1,248,459 | | 22,959 | |
* | Cray Inc. | | 1,050,355 | | 22,677 | |
* | ScanSource Inc. | | 657,721 | | 22,612 | |
21
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
*,^ | Benefitfocus Inc. | | 491,594 | | 22,476 | |
* | Cision Ltd. | | 1,876,247 | | 21,952 | |
* | Lattice Semiconductor Corp. | | 3,171,811 | | 21,949 | |
* | Altair Engineering Inc. Class A | | 781,946 | | 21,566 | |
* | Rambus Inc. | | 2,794,286 | | 21,432 | |
* | Yext Inc. | | 1,400,968 | | 20,804 | |
| NIC Inc. | | 1,624,762 | | 20,277 | |
* | NextGen Healthcare Inc. | | 1,333,146 | | 20,197 | |
* | Infinera Corp. | | 4,515,421 | | 18,017 | |
| Shutterstock Inc. | | 497,208 | | 17,904 | |
*,^ | Appian Corp. Class A | | 655,280 | | 17,503 | |
| Monotype Imaging Holdings Inc. | | 1,018,267 | | 15,803 | |
* | Unisys Corp. | | 1,315,238 | | 15,296 | |
* | Virtusa Corp. | | 344,117 | | 14,656 | |
* | Amkor Technology Inc. | | 2,144,038 | | 14,065 | |
| ADTRAN Inc. | | 1,219,443 | | 13,097 | |
*,^ | Elastic NV | | 180,113 | | 12,874 | |
* | Anaplan Inc. | | 478,169 | | 12,691 | |
* | CEVA Inc. | | 563,034 | | 12,437 | |
| Presidio Inc. | | 950,599 | | 12,405 | |
* | Loral Space & Communications Inc. | | 331,332 | | 12,342 | |
| Forrester Research Inc. | | 261,099 | | 11,671 | |
* | Endurance International Group Holdings Inc. | | 1,664,622 | | 11,070 | |
* | nLight Inc. | | 607,585 | | 10,803 | |
* | Carbon Black Inc. | | 778,979 | | 10,454 | |
| Switch Inc. | | 1,196,813 | | 8,378 | |
* | Casa Systems Inc. | | 633,941 | | 8,324 | |
*,^ | Eventbrite Inc. Class A | | 293,424 | | 8,160 | |
* | Smartsheet Inc. Class A | | 323,482 | | 8,042 | |
*,^ | Avalara Inc. | | 255,393 | | 7,955 | |
* | Tenable Holdings Inc. | | 356,517 | | 7,911 | |
*,^ | SVMK Inc. | | 477,264 | | 5,856 | |
* | Castlight Health Inc. Class B | | 2,184,104 | | 4,740 | |
* | WideOpenWest Inc. | | 635,693 | | 4,532 | |
| Systemax Inc. | | 188,372 | | 4,500 | |
*,^ | Gogo Inc. | | 1,450,493 | | 4,337 | |
| Computer Programs & Systems Inc. | | 171,250 | | 4,298 | |
* | MobileIron Inc. | | 876,660 | | 4,024 | |
* | SecureWorks Corp. Class A | | 210,670 | | 3,558 | |
* | Ribbon Communications Inc. | | 729,869 | | 3,518 | |
| Diebold Nixdorf Inc. | | 962,103 | | 2,396 | |
* | Veeva Systems Inc. Class A | | 22 | | 2 | |
*,§ | Piksel Inc. | | 241 | | — | |
| | | | | 9,378,049 | |
Telecommunications (0.5%) | | | | | |
| Telephone & Data Systems Inc. | | 2,447,276 | | 79,634 | |
| Shenandoah Telecommunications Co. | | 1,211,047 | | 53,589 | |
* | Vonage Holdings Corp. | | 5,550,068 | | 48,452 | |
* | Intelsat SA | | 2,117,547 | | 45,294 | |
* | Iridium Communications Inc. | | 2,438,265 | | 44,986 | |
*,^ | GTT Communications Inc. | | 1,129,520 | | 26,724 | |
* | United States Cellular Corp. | | 408,890 | | 21,250 | |
* | 8x8 Inc. | | 1,168,541 | | 21,081 | |
| ATN International Inc. | | 267,730 | | 19,151 | |
| Consolidated Communications Holdings Inc. | | 1,747,934 | | 17,270 | |
* | Cincinnati Bell Inc. | | 1,301,091 | | 10,123 | |
*,^ | Globalstar Inc. | | 14,647,750 | | 9,370 | |
*,^ | Frontier Communications Corp. | | 2,722,432 | | 6,479 | |
| | | | | 403,403 | |
Utilities (3.7%) | | | | | |
| NRG Energy Inc. | | 7,092,100 | | 280,847 | |
| Atmos Energy Corp. | | 2,877,890 | | 266,838 | |
| UGI Corp. | | 4,488,985 | | 239,487 | |
| Aqua America Inc. | | 4,584,840 | | 156,756 | |
22
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Vectren Corp. | | 2,139,791 | | 154,022 | |
| IDACORP Inc. | | 1,298,652 | | 120,852 | |
| ONE Gas Inc. | | 1,361,645 | | 108,387 | |
| National Fuel Gas Co. | | 2,096,173 | | 107,282 | |
| Portland General Electric Co. | | 2,300,514 | | 105,479 | |
| New Jersey Resources Corp. | | 2,291,146 | | 104,637 | |
| Hawaiian Electric Industries Inc. | | 2,806,028 | | 102,757 | |
| ALLETE Inc. | | 1,325,125 | | 101,001 | |
| Southwest Gas Holdings Inc. | | 1,282,293 | | 98,095 | |
| Black Hills Corp. | | 1,545,951 | | 97,055 | |
| Spire Inc. | | 1,245,855 | | 92,293 | |
| PNM Resources Inc. | | 2,052,356 | | 84,331 | |
| NorthWestern Corp. | | 1,297,263 | | 77,109 | |
| Avista Corp. | | 1,692,105 | | 71,881 | |
| American States Water Co. | | 947,029 | | 63,489 | |
| South Jersey Industries Inc. | | 2,209,704 | | 61,430 | |
| California Water Service Group | | 1,238,598 | | 59,032 | |
| Ormat Technologies Inc. | | 1,042,257 | | 54,510 | |
| MGE Energy Inc. | | 891,090 | | 53,430 | |
| El Paso Electric Co. | | 1,048,614 | | 52,567 | |
| Pattern Energy Group Inc. Class A | | 2,523,714 | | 46,991 | |
| Northwest Natural Holding Co. | | 748,488 | | 45,254 | |
*,^ | Sunrun Inc. | | 2,449,583 | | 26,676 | |
| TerraForm Power Inc. Class A | | 1,613,624 | | 18,105 | |
* | Evoqua Water Technologies Corp. | | 1,758,859 | | 16,885 | |
*,^ | Bloom Energy Corp. Class A | | 447,322 | | 4,464 | |
*,^ | Vivint Solar Inc. | | 534,391 | | 2,036 | |
| SCANA Corp. | | 1,036 | | 49 | |
| | | | 2,874,027 | |
Total Common Stocks (Cost $70,472,989) | | | | 77,324,901 | |
| | | | | | |
| | | Coupon | | | | | | | |
Temporary Cash Investments (2.3%)1 | | | | | | | | | |
Money Market Fund (2.2%) | | | | | | | | | |
3,4 | Vanguard Market Liquidity Fund | | 2.530% | | | | 17,173,921 | | 1,717,392 | |
| | | | | | | | | | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
U.S. Government and Agency Obligations (0.1%) | | | | | | | |
5 | United States Treasury Bill | | 2.194% | | 1/24/19 | | 30,000 | | 29,958 | |
| United States Treasury Bill | | 2.280% | | 2/7/19 | | 5,000 | | 4,988 | |
5 | United States Treasury Bill | | 2.294% | | 2/21/19 | | 40,000 | | 39,869 | |
| | | | | | | | 74,815 | |
Total Temporary Cash Investments (Cost $1,792,097) | | | | | | 1,792,207 | |
Total Investments (101.5%) (Cost $72,265,086) | | | | | | | | 79,117,108 | |
Other Assets and Liabilities—Net (-1.5%)4,6 | | | | | | | | (1,169,646 | ) |
Net Assets (100%) | | | | | | | | 77,947,462 | |
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $992,396,000. |
§ | Security value determined using significant unobservable inputs. |
1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
23
Vanguard® Small-Cap Index Fund
Schedule of Investments
December 31, 2018
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 | Includes $1,062,476,000 of collateral received for securities on loan. |
5 | Securities with a value of $32,375,000 have been segregated as initial margin for open futures contracts. |
6 | Cash of $3,180,000 has been segregated as collateral for open over-the-counter swap contracts. |
| CVR—Contingent Value Rights. |
| REIT—Real Estate Investment Trust. |
24
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
Common Stocks (99.9%)1 | �� | | | | |
Basic Materials (1.8%) | | | | | |
| Royal Gold Inc. | | 951,473 | | 81,494 | |
| NewMarket Corp. | | 124,224 | | 51,192 | |
* | Ingevity Corp. | | 609,550 | | 51,013 | |
| Versum Materials Inc. | | 1,583,557 | | 43,896 | |
| Balchem Corp. | | 468,415 | | 36,700 | |
* | Platform Specialty Products Corp. | | 3,140,753 | | 32,444 | |
* | Univar Inc. | | 822,852 | | 14,597 | |
| US Silica Holdings Inc. | | 1,125,886 | | 11,462 | |
* | Ferro Corp. | | 604,669 | | 9,481 | |
* | PQ Group Holdings Inc. | | 589,317 | | 8,728 | |
* | Coeur Mining Inc. | | 1,476,148 | | 6,598 | |
| American Vanguard Corp. | | 396,340 | | 6,021 | |
| | | | | 353,626 | |
Consumer Goods (5.9%) | | | | | |
* | Middleby Corp. | | 811,113 | | 83,326 | |
| Pool Corp. | | 555,563 | | 82,584 | |
* | Post Holdings Inc. | | 918,596 | | 81,874 | |
| Gentex Corp. | | 3,807,249 | | 76,945 | |
| Toll Brothers Inc. | | 1,926,483 | | 63,439 | |
| Brunswick Corp. | | 1,259,826 | | 58,519 | |
| Carter’s Inc. | | 665,875 | | 54,349 | |
* | Skechers U.S.A. Inc. Class A | | 1,944,600 | | 44,512 | |
* | Zynga Inc. Class A | | 11,266,433 | | 44,277 | |
* | Wayfair Inc. | | 426,358 | | 38,406 | |
| WD-40 Co. | | 190,970 | | 34,997 | |
| Steven Madden Ltd. | | 1,143,875 | | 34,614 | |
* | Dorman Products Inc. | | 383,985 | | 34,566 | |
*,^ | iRobot Corp. | | 382,029 | | 31,991 | |
| J&J Snack Foods Corp. | | 218,142 | | 31,541 | |
* | Fox Factory Holding Corp. | | 523,707 | | 30,831 | |
* | Boston Beer Co. Inc. Class A | | 118,701 | | 28,588 | |
*,^ | Tempur Sealy International Inc. | | 672,849 | | 27,856 | |
| Lancaster Colony Corp. | | 139,748 | | 24,716 | |
* | Crocs Inc. | | 920,949 | | 23,926 | |
| LCI Industries | | 347,965 | | 23,244 | |
* | Welbilt Inc. | | 2,036,579 | | 22,626 | |
* | USANA Health Sciences Inc. | | 191,537 | | 22,550 | |
* | Gentherm Inc. | | 506,775 | | 20,261 | |
| Columbia Sportswear Co. | | 200,538 | | 16,863 | |
* | Fitbit Inc. Class A | | 3,147,520 | | 15,643 | |
| Vector Group Ltd. | | 1,535,144 | | 14,937 | |
* | Sleep Number Corp. | | 458,391 | | 14,545 | |
| Interface Inc. Class A | | 865,584 | | 12,335 | |
| National Beverage Corp. | | 169,309 | | 12,151 | |
| Coca-Cola Bottling Co. Consolidated | | 67,428 | | 11,960 | |
| Callaway Golf Co. | | 686,243 | | 10,500 | |
| Medifast Inc. | | 82,550 | | 10,320 | |
* | Meritage Homes Corp. | | 276,291 | | 10,145 | |
| Oxford Industries Inc. | | 116,829 | | 8,300 | |
* | Cavco Industries Inc. | | 62,780 | | 8,185 | |
* | American Woodmark Corp. | | 115,007 | | 6,404 | |
| Phibro Animal Health Corp. Class A | | 146,230 | | 4,703 | |
*,^ | GoPro Inc. Class A | | 823,208 | | 3,490 | |
* | elf Beauty Inc. | | 350,285 | | 3,034 | |
*,^ | Revlon Inc. Class A | | 115,120 | | 2,900 | |
* | YETI Holdings Inc. | | 123,448 | | 1,832 | |
*,^ | Arlo Technologies Inc. | | 163,963 | | 1,636 | |
*,^ | Sonos Inc. | | 146,627 | | 1,440 | |
| Cal-Maine Foods Inc. | | 349 | | 15 | |
| | | | | 1,191,876 | |
25
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
Consumer Services (13.1%) | | | | | |
* | Burlington Stores Inc. | | 979,054 | | 159,263 | |
* | Bright Horizons Family Solutions Inc. | | 843,391 | | 93,996 | |
* | Liberty Media Corp-Liberty Formula One | | 2,798,393 | | 85,911 | |
* | Five Below Inc. | | 809,388 | | 82,817 | |
* | Etsy Inc. | | 1,661,926 | | 79,058 | |
| Dunkin’ Brands Group Inc. | | 1,199,671 | | 76,923 | |
* | Madison Square Garden Co. Class A | | 265,218 | | 70,999 | |
* | Planet Fitness Inc. Class A | | 1,280,572 | | 68,664 | |
| Casey’s General Stores Inc. | | 531,525 | | 68,110 | |
* | Grand Canyon Education Inc. | | 699,091 | | 67,211 | |
| Vail Resorts Inc. | | 293,734 | | 61,925 | |
| Texas Roadhouse Inc. Class A | | 987,243 | | 58,938 | |
* | Trade Desk Inc. Class A | | 500,170 | | 58,050 | |
| Six Flags Entertainment Corp. | | 1,042,197 | | 57,977 | |
| Cable One Inc. | | 70,407 | | 57,741 | |
*,^ | Caesars Entertainment Corp. | | 8,269,630 | | 56,151 | |
| Dolby Laboratories Inc. Class A | | 883,107 | | 54,611 | |
* | Ollie’s Bargain Outlet Holdings Inc. | | 774,063 | | 51,483 | |
* | GrubHub Inc. | | 658,675 | | 50,593 | |
| Nexstar Media Group Inc. Class A | | 629,343 | | 49,492 | |
* | Live Nation Entertainment Inc. | | 990,770 | | 48,795 | |
| Marriott Vacations Worldwide Corp. | | 614,751 | | 43,346 | |
| Sabre Corp. | | 1,999,334 | | 43,266 | |
* | Chegg Inc. | | 1,501,881 | | 42,683 | |
| World Wrestling Entertainment Inc. Class A | | 567,493 | | 42,403 | |
* | Sprouts Farmers Market Inc. | | 1,760,683 | | 41,394 | |
* | Yelp Inc. Class A | | 1,146,420 | | 40,113 | |
* | Stamps.com Inc. | | 249,769 | | 38,874 | |
| Churchill Downs Inc. | | 157,697 | | 38,469 | |
* | Hilton Grand Vacations Inc. | | 1,407,571 | | 37,146 | |
* | ServiceMaster Global Holdings Inc. | | 985,245 | | 36,198 | |
| Choice Hotels International Inc. | | 487,851 | | 34,920 | |
*,^ | RH | | 290,626 | | 34,823 | |
* | Belmond Ltd. Class A | | 1,271,449 | | 31,824 | |
| Monro Inc. | | 455,167 | | 31,293 | |
* | Liberty Expedia Holdings Inc. Class A | | 791,626 | | 30,960 | |
| Morningstar Inc. | | 278,897 | | 30,634 | |
* | Eldorado Resorts Inc. | | 843,029 | | 30,526 | |
* | Pandora Media Inc. | | 3,722,281 | | 30,113 | |
* | Roku Inc. | | 952,474 | | 29,184 | |
* | Cargurus Inc. | | 843,654 | | 28,456 | |
| Jack in the Box Inc. | | 355,231 | | 27,577 | |
| Wingstop Inc. | | 425,488 | | 27,312 | |
* | National Vision Holdings Inc. | | 952,671 | | 26,837 | |
* | Weight Watchers International Inc. | | 678,948 | | 26,173 | |
| Dave & Buster’s Entertainment Inc. | | 564,003 | | 25,132 | |
* | Sotheby’s | | 605,227 | | 24,052 | |
| Boyd Gaming Corp. | | 1,140,805 | | 23,706 | |
| PriceSmart Inc. | | 376,408 | | 22,246 | |
* | Groupon Inc. Class A | | 6,632,187 | | 21,223 | |
| Red Rock Resorts Inc. Class A | | 1,011,872 | | 20,551 | |
* | Floor & Decor Holdings Inc. Class A | | 777,512 | | 20,138 | |
* | Shutterfly Inc. | | 488,070 | | 19,650 | |
*,^ | ANGI Homeservices Inc. Class A | | 1,032,875 | | 16,598 | |
| Allegiant Travel Co. Class A | | 164,378 | | 16,474 | |
* | Shake Shack Inc. Class A | | 362,569 | | 16,468 | |
| BJ’s Restaurants Inc. | | 309,236 | | 15,638 | |
* | Scientific Games Corp. | | 799,200 | | 14,290 | |
* | frontdoor Inc. | | 491,519 | | 13,079 | |
* | At Home Group Inc. | | 691,541 | | 12,904 | |
* | Quotient Technology Inc. | | 1,175,196 | | 12,551 | |
* | Liberty Media Corp-Liberty Formula One Class A | | 353,976 | | 10,520 | |
* | TrueCar Inc. | | 1,131,924 | | 10,255 | |
26
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | SeaWorld Entertainment Inc. | | 381,809 | | 8,434 | |
*,^ | Carvana Co. Class A | | 253,395 | | 8,289 | |
| Papa John’s International Inc. | | 160,340 | | 6,383 | |
| EW Scripps Co. Class A | | 399,331 | | 6,281 | |
* | Diplomat Pharmacy Inc. | | 406,352 | | 5,469 | |
*,^ | Stitch Fix Inc. Class A | | 288,102 | | 4,924 | |
* | Herc Holdings Inc. | | 175,927 | | 4,572 | |
*,^ | Upwork Inc. | | 231,336 | | 4,189 | |
*,^ | Lumber Liquidators Holdings Inc. | | 413,992 | | 3,941 | |
| Cheesecake Factory Inc. | | 509 | | 22 | |
| Lions Gate Entertainment Corp. Class B | | 1,306 | | 19 | |
| Lions Gate Entertainment Corp. Class A | | 661 | | 11 | |
| New Media Investment Group Inc. | | 707 | | 8 | |
| Tile Shop Holdings Inc. | | 484 | | 3 | |
* | Blue Apron Holdings Inc. Class A | | 766 | | 1 | |
| | | | | 2,651,253 | |
Financials (17.3%) | | | | | |
| Sun Communities Inc. | | 1,191,551 | | 121,193 | |
| Equity LifeStyle Properties Inc. | | 1,173,126 | | 113,946 | |
| MarketAxess Holdings Inc. | | 518,698 | | 109,606 | |
| VICI Properties Inc. | | 5,301,957 | | 99,571 | |
| Kilroy Realty Corp. | | 1,463,407 | | 92,019 | |
| Lamar Advertising Co. Class A | | 1,235,795 | | 85,492 | |
| Medical Properties Trust Inc. | | 5,300,350 | | 85,230 | |
| American Campus Communities Inc. | | 1,990,292 | | 82,378 | |
| CyrusOne Inc. | | 1,537,136 | | 81,284 | |
| Douglas Emmett Inc. | | 2,344,895 | | 80,031 | |
| STORE Capital Corp. | | 2,781,948 | | 78,757 | |
| CubeSmart | | 2,705,941 | | 77,633 | |
| Healthcare Trust of America Inc. Class A | | 3,005,692 | | 76,074 | |
| Signature Bank | | 736,599 | | 75,730 | |
| American Homes 4 Rent Class A | | 3,652,971 | | 72,511 | |
* | Credit Acceptance Corp. | | 182,290 | | 69,591 | |
| Hudson Pacific Properties Inc. | | 2,276,018 | | 66,141 | |
| Life Storage Inc. | | 676,921 | | 62,947 | |
* | GCI Liberty Inc. Class A | | 1,428,341 | | 58,791 | |
* | Howard Hughes Corp. | | 593,649 | | 57,952 | |
* | Zillow Group Inc. | | 1,817,479 | | 57,396 | |
* | Green Dot Corp. Class A | | 688,903 | | 54,782 | |
* | Western Alliance Bancorp | | 1,383,773 | | 54,645 | |
| Pebblebrook Hotel Trust | | 1,909,059 | | 54,045 | |
| Healthcare Realty Trust Inc. | | 1,819,038 | | 51,733 | |
| Omega Healthcare Investors Inc. | | 1,457,440 | | 51,229 | |
| Pinnacle Financial Partners Inc. | | 1,074,706 | | 49,544 | |
| CoreSite Realty Corp. | | 533,030 | | 46,496 | |
* | Essent Group Ltd. | | 1,354,100 | | 46,283 | |
| Ryman Hospitality Properties Inc. | | 671,027 | | 44,751 | |
| Spirit Realty Capital Inc. | | 1,244,678 | | 43,875 | |
| FirstCash Inc. | | 605,047 | | 43,775 | |
| Physicians Realty Trust | | 2,648,105 | | 42,449 | |
| Bank OZK | | 1,774,679 | | 40,516 | |
| Rexford Industrial Realty Inc. | | 1,347,711 | | 39,717 | |
| STAG Industrial Inc. | | 1,581,572 | | 39,350 | |
| Paramount Group Inc. | | 3,101,585 | | 38,956 | |
| Uniti Group Inc. | | 2,468,390 | | 38,433 | |
* | Texas Capital Bancshares Inc. | | 728,864 | | 37,238 | |
| Home BancShares Inc. | | 2,260,598 | | 36,938 | |
| PS Business Parks Inc. | | 278,053 | | 36,425 | |
| Evercore Inc. Class A | | 499,655 | | 35,755 | |
| Americold Realty Trust | | 1,395,847 | | 35,650 | |
| Kennedy-Wilson Holdings Inc. | | 1,779,962 | | 32,342 | |
| Colony Capital Inc. | | 6,770,247 | | 31,685 | |
| Terreno Realty Corp. | | 858,850 | | 30,206 | |
| CenterState Bank Corp. | | 1,389,184 | | 29,228 | |
27
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Simmons First National Corp. Class A | | 1,206,545 | | 29,114 | |
| QTS Realty Trust Inc. Class A | | 740,760 | | 27,445 | |
| Sterling Bancorp | | 1,629,868 | | 26,909 | |
| Retail Opportunity Investments Corp. | | 1,655,622 | | 26,291 | |
* | Zillow Group Inc. Class A | | 800,139 | | 25,148 | |
*,^ | LendingTree Inc. | | 111,786 | | 24,545 | |
| Virtu Financial Inc. Class A | | 924,999 | | 23,828 | |
* | Eagle Bancorp Inc. | | 473,952 | | 23,086 | |
| Moelis & Co. Class A | | 664,378 | | 22,841 | |
| LegacyTexas Financial Group Inc. | | 704,184 | | 22,597 | |
| Towne Bank | | 941,992 | | 22,561 | |
| CareTrust REIT Inc. | | 1,218,299 | | 22,490 | |
* | Pacific Premier Bancorp Inc. | | 862,018 | | 21,999 | |
| Sabra Health Care REIT Inc. | | 1,294,722 | | 21,337 | |
| ServisFirst Bancshares Inc. | | 658,373 | | 20,982 | |
| Ameris Bancorp | | 655,433 | | 20,758 | |
* | Axos Financial Inc. | | 821,227 | | 20,679 | |
| HFF Inc. Class A | | 539,722 | | 17,897 | |
| Newmark Group Inc. Class A | | 2,141,722 | | 17,177 | |
| Kite Realty Group Trust | | 1,216,038 | | 17,134 | |
| Corporate Office Properties Trust | | 791,788 | | 16,651 | |
| Kearny Financial Corp. | | 1,259,226 | | 16,143 | |
* | LendingClub Corp. | | 5,880,910 | | 15,467 | |
| Investment Technology Group Inc. | | 455,914 | | 13,787 | |
| Independent Bank Group Inc. | | 287,733 | | 13,170 | |
| Urban Edge Properties | | 790,080 | | 13,131 | |
| TFS Financial Corp. | | 813,818 | | 13,127 | |
*,^ | Redfin Corp. | | 910,888 | | 13,117 | |
| WisdomTree Investments Inc. | | 1,889,461 | | 12,565 | |
| National Bank Holdings Corp. Class A | | 380,242 | | 11,738 | |
* | Marcus & Millichap Inc. | | 308,709 | | 10,598 | |
| Cohen & Steers Inc. | | 305,694 | | 10,491 | |
| American Assets Trust Inc. | | 256,911 | | 10,320 | |
| Houlihan Lokey Inc. Class A | | 251,844 | | 9,268 | |
| Hamilton Lane Inc. Class A | | 244,715 | | 9,054 | |
| Alexander’s Inc. | | 29,683 | | 9,046 | |
* | Focus Financial Partners Inc. Class A | | 277,751 | | 7,313 | |
* | St. Joe Co. | | 485,496 | | 6,394 | |
| Front Yard Residential Corp. | | 700,800 | | 6,118 | |
* | Third Point Reinsurance Ltd. | | 581,470 | | 5,605 | |
| RMR Group Inc. Class A | | 99,173 | | 5,264 | |
| New Senior Investment Group Inc. | | 1,133,828 | | 4,671 | |
* | On Deck Capital Inc. | | 408,190 | | 2,408 | |
| GAMCO Investors Inc. Class A | | 80,259 | | 1,356 | |
* | Forestar Group Inc. | | 76,023 | | 1,053 | |
* | PennyMac Financial Services Inc. | | 281 | | 6 | |
| Spirit MTA REIT | | 527 | | 4 | |
* | Cushman & Wakefield plc | | 95 | | 1 | |
| | | | | 3,483,003 | |
Health Care (19.2%) | | | | | |
* | Exact Sciences Corp. | | 1,785,007 | | 112,634 | |
* | Sarepta Therapeutics Inc. | | 974,682 | | 106,367 | |
| West Pharmaceutical Services Inc. | | 1,075,938 | | 105,474 | |
* | Ionis Pharmaceuticals Inc. | | 1,798,282 | | 97,215 | |
* | Neurocrine Biosciences Inc. | | 1,317,060 | | 94,051 | |
* | Exelixis Inc. | | 4,342,442 | | 85,416 | |
| Bio-Techne Corp. | | 548,511 | | 79,380 | |
* | Bluebird Bio Inc. | | 794,374 | | 78,802 | |
* | PRA Health Sciences Inc. | | 849,317 | | 78,103 | |
* | DexCom Inc. | | 645,184 | | 77,293 | |
* | Masimo Corp. | | 692,725 | | 74,378 | |
* | Bio-Rad Laboratories Inc. Class A | | 306,904 | | 71,269 | |
* | Insulet Corp. | | 858,047 | | 68,060 | |
* | Catalent Inc. | | 2,111,437 | | 65,835 | |
28
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Chemed Corp. | | 232,370 | | 65,826 | |
| STERIS plc | | 613,635 | | 65,567 | |
* | ICU Medical Inc. | | 282,636 | | 64,902 | |
* | Penumbra Inc. | | 451,014 | | 55,114 | |
* | Amedisys Inc. | | 463,076 | | 54,231 | |
* | FibroGen Inc. | | 1,110,782 | | 51,407 | |
* | HealthEquity Inc. | | 859,069 | | 51,243 | |
* | Molina Healthcare Inc. | | 430,414 | | 50,023 | |
* | Wright Medical Group NV | | 1,816,708 | | 49,451 | |
*,^ | Teladoc Health Inc. | | 967,320 | | 47,950 | |
* | Globus Medical Inc. | | 1,104,087 | | 47,785 | |
* | Horizon Pharma plc | | 2,434,636 | | 47,573 | |
* | Syneos Health Inc. | | 1,199,404 | | 47,197 | |
* | Integra LifeSciences Holdings Corp. | | 989,732 | | 44,637 | |
* | Array BioPharma Inc. | | 3,094,627 | | 44,098 | |
| Bruker Corp. | | 1,478,117 | | 44,004 | |
| Healthcare Services Group Inc. | | 1,071,792 | | 43,065 | |
* | Merit Medical Systems Inc. | | 756,592 | | 42,225 | |
*,^ | TESARO Inc. | | 559,656 | | 41,554 | |
* | Neogen Corp. | | 715,210 | | 40,767 | |
* | LHC Group Inc. | | 432,855 | | 40,636 | |
*,^ | Ligand Pharmaceuticals Inc. | | 293,244 | | 39,793 | |
| Cantel Medical Corp. | | 515,079 | | 38,348 | |
* | Haemonetics Corp. | | 375,327 | | 37,551 | |
* | Emergent BioSolutions Inc. | | 629,045 | | 37,290 | |
* | NuVasive Inc. | | 746,873 | | 37,015 | |
* | Novocure Ltd. | | 1,080,751 | | 36,184 | |
* | HMS Holdings Corp. | | 1,218,656 | | 34,281 | |
* | Immunomedics Inc. | | 2,347,669 | | 33,501 | |
* | Omnicell Inc. | | 546,765 | | 33,484 | |
* | Agios Pharmaceuticals Inc. | | 718,233 | | 33,118 | |
*,^ | Inogen Inc. | | 265,707 | | 32,993 | |
* | Acadia Healthcare Co. Inc. | | 1,281,746 | | 32,954 | |
* | Intercept Pharmaceuticals Inc. | | 323,021 | | 32,557 | |
* | Repligen Corp. | | 573,279 | | 30,235 | |
* | Global Blood Therapeutics Inc. | | 727,329 | | 29,857 | |
* | Ultragenyx Pharmaceutical Inc. | | 661,140 | | 28,746 | |
* | Tandem Diabetes Care Inc. | | 749,266 | | 28,450 | |
* | Loxo Oncology Inc. | | 199,747 | | 27,979 | |
| Ensign Group Inc. | | 721,270 | | 27,978 | |
* | Arena Pharmaceuticals Inc. | | 717,578 | | 27,950 | |
* | Glaukos Corp. | | 497,052 | | 27,919 | |
* | NxStage Medical Inc. | | 968,251 | | 27,711 | |
* | Halozyme Therapeutics Inc. | | 1,890,589 | | 27,659 | |
* | ACADIA Pharmaceuticals Inc. | | 1,641,240 | | 26,539 | |
* | Heron Therapeutics Inc. | | 1,019,805 | | 26,454 | |
* | Amicus Therapeutics Inc. | | 2,749,227 | | 26,338 | |
* | Xencor Inc. | | 694,213 | | 25,103 | |
* | Acceleron Pharma Inc. | | 570,222 | | 24,833 | |
* | Pacira Pharmaceuticals Inc. | | 567,304 | | 24,405 | |
* | MyoKardia Inc. | | 497,175 | | 24,292 | |
* | Supernus Pharmaceuticals Inc. | | 721,054 | | 23,953 | |
* | PTC Therapeutics Inc. | | 696,139 | | 23,891 | |
* | Quidel Corp. | | 485,628 | | 23,708 | |
* | Amneal Pharmaceuticals Inc. | | 1,585,139 | | 21,447 | |
* | Ironwood Pharmaceuticals Inc. Class A | | 2,034,514 | | 21,078 | |
* | Medpace Holdings Inc. | | 387,842 | | 20,528 | |
* | Genomic Health Inc. | | 314,763 | | 20,274 | |
*,^ | Corcept Therapeutics Inc. | | 1,509,476 | | 20,167 | |
* | REGENXBIO Inc. | | 468,082 | | 19,636 | |
* | Medicines Co. | | 965,569 | | 18,481 | |
* | Cambrex Corp. | | 487,429 | | 18,405 | |
* | Spark Therapeutics Inc. | | 465,993 | | 18,239 | |
*,^ | Portola Pharmaceuticals Inc. | | 916,647 | | 17,893 | |
29
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Innoviva Inc. | | 953,926 | | 16,646 | |
*,^ | Theravance Biopharma Inc. | | 643,803 | | 16,475 | |
* | Blueprint Medicines Corp. | | 302,691 | | 16,318 | |
* | Nevro Corp. | | 416,105 | | 16,182 | |
* | WageWorks Inc. | | 575,730 | | 15,637 | |
* | Momenta Pharmaceuticals Inc. | | 1,394,976 | | 15,400 | |
* | Insmed Inc. | | 1,119,662 | | 14,690 | |
* | Tivity Health Inc. | | 584,626 | | 14,505 | |
* | Aimmune Therapeutics Inc. | | 597,093 | | 14,282 | |
* | Editas Medicine Inc. | | 624,940 | | 14,217 | |
| Luminex Corp. | | 615,111 | | 14,215 | |
* | Orthofix Medical Inc. | | 261,080 | | 13,704 | |
* | BioTelemetry Inc. | | 229,364 | | 13,698 | |
*,^ | OPKO Health Inc. | | 4,472,725 | | 13,463 | |
* | Clovis Oncology Inc. | | 727,309 | | 13,062 | |
* | Spectrum Pharmaceuticals Inc. | | 1,397,517 | | 12,228 | |
* | iRhythm Technologies Inc. | | 158,055 | | 10,982 | |
* | Radius Health Inc. | | 661,298 | | 10,905 | |
* | Acorda Therapeutics Inc. | | 690,730 | | 10,762 | |
* | STAAR Surgical Co. | | 320,333 | | 10,222 | |
| Meridian Bioscience Inc. | | 584,988 | | 10,155 | |
* | Atara Biotherapeutics Inc. | | 281,696 | | 9,786 | |
* | Puma Biotechnology Inc. | | 470,791 | | 9,581 | |
| HealthStream Inc. | | 375,657 | | 9,072 | |
* | Natera Inc. | | 628,440 | | 8,773 | |
* | Alder Biopharmaceuticals Inc. | | 843,509 | | 8,646 | |
* | Sangamo Therapeutics Inc. | | 741,391 | | 8,511 | |
* | CorVel Corp. | | 136,174 | | 8,405 | |
*,^ | Esperion Therapeutics Inc. | | 175,229 | | 8,060 | |
* | Natus Medical Inc. | | 233,083 | | 7,932 | |
* | AMAG Pharmaceuticals Inc. | | 476,496 | | 7,238 | |
* | Guardant Health Inc. | | 186,667 | | 7,017 | |
* | Varex Imaging Corp. | | 277,355 | | 6,568 | |
*,^ | Intrexon Corp. | | 996,488 | | 6,517 | |
*,^ | Allakos Inc. | | 122,213 | | 6,388 | |
* | Intellia Therapeutics Inc. | | 441,423 | | 6,025 | |
*,^ | Akcea Therapeutics Inc. | | 194,352 | | 5,858 | |
* | Epizyme Inc. | | 860,463 | | 5,300 | |
*,^ | TherapeuticsMD Inc. | | 1,370,598 | | 5,222 | |
*,^ | Allogene Therapeutics Inc. | | 176,265 | | 4,747 | |
* | Tricida Inc. | | 183,330 | | 4,323 | |
* | Lexicon Pharmaceuticals Inc. | | 621,362 | | 4,126 | |
* | Achillion Pharmaceuticals Inc. | | 1,903,558 | | 3,027 | |
*,^ | Rubius Therapeutics Inc. | | 172,053 | | 2,767 | |
* | Five Prime Therapeutics Inc. | | 242,265 | | 2,253 | |
* | Accuray Inc. | | 597,970 | | 2,039 | |
*,^ | ZIOPHARM Oncology Inc. | | 930,572 | | 1,740 | |
*,^ | Insys Therapeutics Inc. | | 441,588 | | 1,546 | |
*,^ | Surgery Partners Inc. | | 124,504 | | 1,219 | |
* | Aduro Biotech Inc. | | 359,750 | | 950 | |
* | Akebia Therapeutics Inc. | | 130,274 | | 720 | |
*,^ | Moderna Inc. | | 30,805 | | 470 | |
* | Denali Therapeutics Inc. | | 765 | | 16 | |
* | Kiniksa Pharmaceuticals Ltd. Class A | | 77 | | 2 | |
| Wright Medical Group Inc. | | 165,303 | | 2 | |
| | | | | 3,875,343 | |
Industrials (19.3%) | | | | | |
* | Zebra Technologies Corp. | | 781,459 | | 124,432 | |
| Lennox International Inc. | | 555,818 | | 121,646 | |
* | Teledyne Technologies Inc. | | 497,819 | | 103,083 | |
| Graco Inc. | | 2,417,337 | | 101,166 | |
* | HD Supply Holdings Inc. | | 2,534,876 | | 95,109 | |
* | Berry Global Group Inc. | | 1,905,535 | | 90,570 | |
* | WEX Inc. | | 626,037 | | 87,683 | |
30
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Nordson Corp. | | 717,935 | | 85,686 | |
| National Instruments Corp. | | 1,827,301 | | 82,923 | |
| Toro Co. | | 1,456,075 | | 81,365 | |
* | Fair Isaac Corp. | | 399,528 | | 74,712 | |
* | Euronet Worldwide Inc. | | 711,411 | | 72,834 | |
| Hexcel Corp. | | 1,250,534 | | 71,706 | |
| Jack Henry & Associates Inc. | | 561,345 | | 71,021 | |
| Watsco Inc. | | 466,490 | | 64,907 | |
| HEICO Corp. Class A | | 1,006,402 | | 63,403 | |
| MAXIMUS Inc. | | 931,815 | | 60,652 | |
| Woodward Inc. | | 807,580 | | 59,995 | |
| Littelfuse Inc. | | 347,116 | | 59,523 | |
^ | Universal Display Corp. | | 615,688 | | 57,610 | |
| Landstar System Inc. | | 597,146 | | 57,129 | |
| Genpact Ltd. | | 2,070,699 | | 55,888 | |
| BWX Technologies Inc. | | 1,433,981 | | 54,821 | |
| USG Corp. | | 1,217,858 | | 51,954 | |
| Insperity Inc. | | 546,525 | | 51,024 | |
* | Trex Co. Inc. | | 853,348 | | 50,655 | |
* | RBC Bearings Inc. | | 359,699 | | 47,157 | |
| HEICO Corp. | | 608,084 | | 47,114 | |
| Cognex Corp. | | 1,187,970 | | 45,939 | |
| Air Lease Corp. Class A | | 1,481,597 | | 44,759 | |
| AO Smith Corp. | | 1,044,959 | | 44,620 | |
| Knight-Swift Transportation Holdings Inc. | | 1,774,571 | | 44,489 | |
| FLIR Systems Inc. | | 1,004,706 | | 43,745 | |
* | Proto Labs Inc. | | 373,510 | | 42,128 | |
* | Keysight Technologies Inc. | | 677,548 | | 42,062 | |
* | Allegheny Technologies Inc. | | 1,825,481 | | 39,741 | |
| Eagle Materials Inc. | | 646,975 | | 39,485 | |
* | ASGN Inc. | | 724,087 | | 39,463 | |
* | AMN Healthcare Services Inc. | | 680,737 | | 38,571 | |
* | Gardner Denver Holdings Inc. | | 1,876,452 | | 38,373 | |
| Exponent Inc. | | 755,440 | | 38,308 | |
* | Coherent Inc. | | 354,095 | | 37,431 | |
* | Clean Harbors Inc. | | 732,106 | | 36,129 | |
* | Aerojet Rocketdyne Holdings Inc. | | 1,023,471 | | 36,057 | |
* | Axon Enterprise Inc. | | 806,461 | | 35,283 | |
| John Bean Technologies Corp. | | 459,076 | | 32,966 | |
* | SiteOne Landscape Supply Inc. | | 593,091 | | 32,780 | |
| Simpson Manufacturing Co. Inc. | | 600,875 | | 32,525 | |
* | Cimpress NV | | 314,252 | | 32,500 | |
* | Mercury Systems Inc. | | 667,848 | | 31,583 | |
* | Novanta Inc. | | 481,615 | | 30,342 | |
* | II-VI Inc. | | 879,800 | | 28,558 | |
* | Paylocity Holding Corp. | | 460,119 | | 27,704 | |
* | Imperva Inc. | | 485,645 | | 27,046 | |
* | Rogers Corp. | | 267,103 | | 26,459 | |
* | Kirby Corp. | | 391,262 | | 26,355 | |
| Albany International Corp. | | 421,181 | | 26,294 | |
* | TriNet Group Inc. | | 613,914 | | 25,754 | |
* | ExlService Holdings Inc. | | 472,697 | | 24,873 | |
| Franklin Electric Co. Inc. | | 577,089 | | 24,746 | |
* | Advanced Disposal Services Inc. | | 1,030,205 | | 24,663 | |
* | Dycom Industries Inc. | | 431,835 | | 23,336 | |
| Forward Air Corp. | | 424,588 | | 23,289 | |
* | TopBuild Corp. | | 513,983 | | 23,129 | |
* | Itron Inc. | | 486,634 | | 23,013 | |
| Covanta Holding Corp. | | 1,713,179 | | 22,991 | |
| Cubic Corp. | | 422,870 | | 22,725 | |
* | Aerovironment Inc. | | 312,814 | | 21,256 | |
| Mueller Water Products Inc. Class A | | 2,291,529 | | 20,853 | |
* | Saia Inc. | | 373,181 | | 20,831 | |
| Badger Meter Inc. | | 422,819 | | 20,807 | |
31
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Summit Materials Inc. Class A | | 1,621,668 | | 20,109 | |
| Armstrong World Industries Inc. | | 341,933 | | 19,904 | |
| AAON Inc. | | 567,474 | | 19,896 | |
* | Evolent Health Inc. Class A | | 967,156 | | 19,295 | |
| Schneider National Inc. Class B | | 1,023,637 | | 19,111 | |
| Raven Industries Inc. | | 522,225 | | 18,899 | |
* | Air Transport Services Group Inc. | | 815,202 | | 18,595 | |
* | Builders FirstSource Inc. | | 1,666,298 | | 18,179 | |
| EnPro Industries Inc. | | 301,218 | | 18,103 | |
* | Masonite International Corp. | | 385,209 | | 17,269 | |
* | Ambarella Inc. | | 442,348 | | 15,473 | |
| AZZ Inc. | | 378,281 | | 15,267 | |
| Lindsay Corp. | | 156,240 | | 15,038 | |
*,^ | Inovalon Holdings Inc. Class A | | 990,827 | | 14,050 | |
| Sun Hydraulics Corp. | | 417,878 | | 13,869 | |
| Granite Construction Inc. | | 340,552 | | 13,717 | |
* | Continental Building Products Inc. | | 535,100 | | 13,618 | |
| Advanced Drainage Systems Inc. | | 539,400 | | 13,080 | |
| Tennant Co. | | 250,084 | | 13,032 | |
| Heartland Express Inc. | | 654,471 | | 11,977 | |
| Comfort Systems USA Inc. | | 269,955 | | 11,792 | |
| Apogee Enterprises Inc. | | 388,921 | | 11,609 | |
* | Installed Building Products Inc. | | 317,515 | | 10,697 | |
* | FARO Technologies Inc. | | 246,625 | | 10,023 | |
| Gorman-Rupp Co. | | 303,449 | | 9,835 | |
| GrafTech International Ltd. | | 843,830 | | 9,653 | |
* | Thermon Group Holdings Inc. | | 473,224 | | 9,597 | |
* | SEACOR Holdings Inc. | | 238,564 | | 8,827 | |
* | Evo Payments Inc. Class A | | 350,114 | | 8,637 | |
* | GreenSky Inc. Class A | | 797,236 | | 7,630 | |
* | JELD-WEN Holding Inc. | | 487,509 | | 6,928 | |
| Quanex Building Products Corp. | | 509,581 | | 6,925 | |
* | Verra Mobility Corp. | | 678,904 | | 6,626 | |
| Methode Electronics Inc. | | 255,667 | | 5,954 | |
* | Veeco Instruments Inc. | | 695,379 | | 5,153 | |
* | Vicor Corp. | | 134,389 | | 5,079 | |
* | MACOM Technology Solutions Holdings Inc. | | 331,401 | | 4,809 | |
* | Astronics Corp. | | 152,473 | | 4,643 | |
*,^ | Livent Corp. | | 317,813 | | 4,386 | |
* | Mistras Group Inc. | | 246,320 | | 3,542 | |
| REV Group Inc. | | 367,261 | | 2,758 | |
* | InnerWorkings Inc. | | 320,869 | | 1,200 | |
* | Armstrong Flooring Inc. | | 77,286 | | 915 | |
| | | | | 3,895,428 | |
Oil & Gas (3.5%) | | | | | |
* | WPX Energy Inc. | | 6,104,437 | | 69,285 | |
* | Parsley Energy Inc. Class A | | 3,866,594 | | 61,788 | |
* | Transocean Ltd. | | 7,963,875 | | 55,269 | |
* | Newfield Exploration Co. | | 2,909,796 | | 42,658 | |
| Core Laboratories NV | | 642,313 | | 38,320 | |
| Helmerich & Payne Inc. | | 751,659 | | 36,035 | |
* | Antero Resources Corp. | | 3,681,527 | | 34,570 | |
| Patterson-UTI Energy Inc. | | 3,001,261 | | 31,063 | |
* | Apergy Corp. | | 1,123,358 | | 30,421 | |
* | Centennial Resource Development Inc. Class A | | 2,686,685 | | 29,607 | |
* | Chart Industries Inc. | | 453,195 | | 29,471 | |
* | PDC Energy Inc. | | 959,783 | | 28,563 | |
* | Matador Resources Co. | | 1,520,715 | | 23,617 | |
* | Callon Petroleum Co. | | 3,305,458 | | 21,452 | |
* | SRC Energy Inc. | | 3,523,641 | | 16,561 | |
* | Magnolia Oil & Gas Corp. | | 1,474,556 | | 16,530 | |
* | Cactus Inc. Class A | | 546,817 | | 14,988 | |
* | Carrizo Oil & Gas Inc. | | 1,197,742 | | 13,523 | |
* | Oasis Petroleum Inc. | | 2,312,553 | | 12,788 | |
32
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
*,^ | Tellurian Inc. | | 1,397,355 | | 9,712 | |
* | Laredo Petroleum Inc. | | 2,547,244 | | 9,221 | |
* | Newpark Resources Inc. | | 1,251,614 | | 8,599 | |
*,^ | Weatherford International plc | | 14,539,115 | | 8,127 | |
| RPC Inc. | | 780,120 | | 7,700 | |
* | ProPetro Holding Corp. | | 606,937 | | 7,477 | |
* | WildHorse Resource Development Corp. | | 518,482 | | 7,316 | |
* | Extraction Oil & Gas Inc. | | 1,662,744 | | 7,133 | |
*,^ | Jagged Peak Energy Inc. | | 774,135 | | 7,060 | |
* | Gulfport Energy Corp. | | 1,071,581 | | 7,019 | |
| Liberty Oilfield Services Inc. Class A | | 509,115 | | 6,593 | |
* | Keane Group Inc. | | 610,999 | | 4,998 | |
* | Forum Energy Technologies Inc. | | 1,189,511 | | 4,913 | |
* | Exterran Corp. | | 223,681 | | 3,959 | |
* | FTS International Inc. | | 470,666 | | 3,346 | |
* | Roan Resources Inc. | | 276,507 | | 2,317 | |
*,^ | Covia Holdings Corp. | | 290,813 | | 995 | |
* | NCS Multistage Holdings Inc. | | 81,990 | | 417 | |
* | Eclipse Resources Corp. | | 6,383 | | 7 | |
| | | | | 713,418 | |
Other (0.0%)2 | | | | | |
*,§ | NewStar Financial Inc | | 323,987 | | 84 | |
*,§ | Media General Inc. CVR | | 1,362,047 | | 53 | |
*,§ | Clinical Data CVR | | 132,154 | | — | |
| | | | | 137 | |
Technology (18.6%) | | | | | |
* | PTC Inc. | | 1,551,275 | | 128,601 | |
* | Tableau Software Inc. Class A | | 1,039,186 | | 124,702 | |
* | Ultimate Software Group Inc. | | 431,450 | | 105,649 | |
* | Tyler Technologies Inc. | | 535,683 | | 99,541 | |
* | Twilio Inc. Class A | | 1,092,609 | | 97,570 | |
* | Guidewire Software Inc. | | 1,176,558 | | 94,395 | |
* | Integrated Device Technology Inc. | | 1,873,868 | | 90,751 | |
* | Paycom Software Inc. | | 723,616 | | 88,607 | |
* | EPAM Systems Inc. | | 745,220 | | 86,453 | |
* | Zendesk Inc. | | 1,476,926 | | 86,208 | |
* | Okta Inc. | | 1,339,170 | | 85,439 | |
* | Aspen Technology Inc. | | 1,027,886 | | 84,472 | |
* | Nutanix Inc. | | 1,945,841 | | 80,927 | |
* | RingCentral Inc. Class A | | 946,221 | | 78,006 | |
* | athenahealth Inc. | | 589,801 | | 77,812 | |
* | Ciena Corp. | | 2,071,149 | | 70,233 | |
* | HubSpot Inc. | | 541,265 | | 68,053 | |
| Monolithic Power Systems Inc. | | 585,164 | | 68,025 | |
* | Proofpoint Inc. | | 793,642 | | 66,515 | |
* | Cree Inc. | | 1,489,542 | | 63,715 | |
| LogMeIn Inc. | | 742,474 | | 60,564 | |
| Entegris Inc. | | 2,052,643 | | 57,258 | |
* | Medidata Solutions Inc. | | 844,285 | | 56,922 | |
* | RealPage Inc. | | 1,091,193 | | 52,585 | |
| MKS Instruments Inc. | | 784,903 | | 50,713 | |
* | Coupa Software Inc. | | 801,044 | | 50,354 | |
* | New Relic Inc. | | 620,442 | | 50,237 | |
* | DocuSign Inc. Class A | | 1,250,905 | | 50,136 | |
* | Silicon Laboratories Inc. | | 626,649 | | 49,386 | |
*,^ | ViaSat Inc. | | 823,070 | | 48,520 | |
* | Pure Storage Inc. Class A | | 2,980,589 | | 47,928 | |
| j2 Global Inc. | | 680,097 | | 47,185 | |
* | Lumentum Holdings Inc. | | 1,079,363 | | 45,344 | |
| Blackbaud Inc. | | 705,443 | | 44,372 | |
* | ACI Worldwide Inc. | | 1,600,297 | | 44,280 | |
* | FireEye Inc. | | 2,718,371 | | 44,065 | |
* | Manhattan Associates Inc. | | 949,608 | | 40,235 | |
* | 2U Inc. | | 799,215 | | 39,737 | |
33
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Cornerstone OnDemand Inc. | | 766,387 | | 38,649 | |
* | Qualys Inc. | | 486,152 | | 36,335 | |
* | CommVault Systems Inc. | | 605,077 | | 35,754 | |
* | Five9 Inc. | | 810,913 | | 35,453 | |
| InterDigital Inc. | | 505,634 | | 33,589 | |
* | Ellie Mae Inc. | | 506,053 | | 31,795 | |
* | Box Inc. | | 1,851,148 | �� | 31,247 | |
* | Envestnet Inc. | | 630,876 | | 31,033 | |
* | Alteryx Inc. Class A | | 519,045 | | 30,868 | |
* | Bottomline Technologies DE Inc. | | 625,803 | | 30,039 | |
* | Zscaler Inc. | | 708,430 | | 27,778 | |
| Cogent Communications Holdings Inc. | | 607,644 | | 27,472 | |
| Pegasystems Inc. | | 571,562 | | 27,338 | |
* | Alarm.com Holdings Inc. | | 522,842 | | 27,120 | |
| Brooks Automation Inc. | | 1,026,862 | | 26,883 | |
* | Q2 Holdings Inc. | | 535,477 | | 26,533 | |
* | SailPoint Technologies Holding Inc. | | 1,083,612 | | 25,454 | |
| Power Integrations Inc. | | 404,672 | | 24,677 | |
* | Allscripts Healthcare Solutions Inc. | | 2,537,720 | | 24,464 | |
* | Advanced Energy Industries Inc. | | 559,014 | | 23,998 | |
* | Varonis Systems Inc. | | 406,554 | | 21,507 | |
* | Blackline Inc. | | 515,891 | | 21,126 | |
*,^ | Ceridian HCM Holding Inc. | | 601,522 | | 20,746 | |
^ | Ubiquiti Networks Inc. | | 205,864 | | 20,465 | |
* | Cloudera Inc. | | 1,782,160 | | 19,711 | |
* | Inphi Corp. | | 608,627 | | 19,567 | |
* | Diodes Inc. | | 583,963 | | 18,839 | |
* | SendGrid Inc. | | 412,733 | | 17,818 | |
* | Rapid7 Inc. | | 549,813 | | 17,132 | |
* | Acacia Communications Inc. | | 440,252 | | 16,730 | |
* | MicroStrategy Inc. Class A | | 130,166 | | 16,629 | |
*,^ | MongoDB Inc. | | 194,326 | | 16,273 | |
| Plantronics Inc. | | 490,974 | | 16,251 | |
*,^ | 3D Systems Corp. | | 1,575,487 | | 16,023 | |
* | MaxLinear Inc. | | 901,455 | | 15,866 | |
* | LivePerson Inc. | | 830,774 | | 15,668 | |
* | Hortonworks Inc. | | 1,039,731 | | 14,993 | |
| Ebix Inc. | | 317,938 | | 13,531 | |
* | Appfolio Inc. | | 222,292 | | 13,164 | |
* | Cray Inc. | | 593,178 | | 12,807 | |
* | Benefitfocus Inc. | | 278,520 | | 12,734 | |
* | Lattice Semiconductor Corp. | | 1,790,807 | | 12,392 | |
* | Cision Ltd. | | 1,058,743 | | 12,387 | |
* | Altair Engineering Inc. Class A | | 443,342 | | 12,227 | |
| NIC Inc. | | 918,638 | | 11,465 | |
* | Infinera Corp. | | 2,541,112 | | 10,139 | |
| Shutterstock Inc. | | 279,859 | | 10,078 | |
* | Virtusa Corp. | | 195,516 | | 8,327 | |
* | FormFactor Inc. | | 538,091 | | 7,582 | |
* | Anaplan Inc. | | 269,868 | | 7,162 | |
* | CEVA Inc. | | 318,103 | | 7,027 | |
* | Loral Space & Communications Inc. | | 187,084 | | 6,969 | |
| Forrester Research Inc. | | 146,537 | | 6,550 | |
* | Endurance International Group Holdings Inc. | | 940,255 | | 6,253 | |
* | nLight Inc. | | 344,956 | | 6,133 | |
* | Carbon Black Inc. | | 443,264 | | 5,949 | |
| Switch Inc. | | 680,843 | | 4,766 | |
*,^ | Eventbrite Inc. Class A | | 166,885 | | 4,641 | |
* | Smartsheet Inc. Class A | | 184,445 | | 4,585 | |
* | Tenable Holdings Inc. | | 202,132 | | 4,485 | |
* | Elastic NV | | 51,667 | | 3,693 | |
* | Castlight Health Inc. Class B | | 1,254,870 | | 2,723 | |
* | WideOpenWest Inc. | | 365,049 | | 2,603 | |
*,^ | Gogo Inc. | | 817,567 | | 2,444 | |
34
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | MobileIron Inc. | | 487,985 | | 2,240 | |
* | SecureWorks Corp. Class A | | 119,097 | | 2,012 | |
* | Veeva Systems Inc. Class A | | 1,493 | | 133 | |
* | Fortinet Inc. | | 1,777 | | 125 | |
* | Cirrus Logic Inc. | | 752 | | 25 | |
* | Rambus Inc. | | 1,327 | | 10 | |
| Monotype Imaging Holdings Inc. | | 495 | | 8 | |
* | SVMK Inc. | | 149 | | 2 | |
| | | | | 3,744,689 | |
Telecommunications (0.3%) | | | | | |
| Shenandoah Telecommunications Co. | | 683,934 | | 30,264 | |
*,^ | GTT Communications Inc. | | 635,605 | | 15,038 | |
| ATN International Inc. | | 150,776 | | 10,785 | |
* | Cincinnati Bell Inc. | | 726,571 | | 5,653 | |
*,^ | Globalstar Inc. | | 8,197,712 | | 5,244 | |
| | | | | 66,984 | |
Utilities (0.9%) | | | | | |
| NRG Energy Inc. | | 1,996,809 | | 79,074 | |
| Ormat Technologies Inc. | | 588,792 | | 30,794 | |
| Pattern Energy Group Inc. Class A | | 1,424,681 | | 26,527 | |
* | Sunrun Inc. | | 1,380,748 | | 15,036 | |
| TerraForm Power Inc. Class A | | 911,332 | | 10,225 | |
* | Evoqua Water Technologies Corp. | | 993,533 | | 9,538 | |
*,^ | Bloom Energy Corp. Class A | | 259,304 | | 2,588 | |
*,^ | Vivint Solar Inc. | | 309,718 | | 1,180 | |
| | | | | 174,962 | |
Total Common Stocks (Cost $18,037,211) | | | | 20,150,719 | |
| | | | | | |
| | | Coupon | | | | | | | |
Temporary Cash Investments (1.6%)1 | | | | | | | | | |
Money Market Fund (1.6%) | | | | | | | | | |
3,4 | Vanguard Market Liquidity Fund | | 2.530% | | | | 3,103,237 | | 310,324 | |
| | | | | | | | | | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
U.S. Government and Agency Obligations (0.0%) | | | | | | | |
5 | United States Treasury Bill | | 2.479% | | 5/9/19 | | 3,000 | | 2,974 | |
Total Temporary Cash Investments (Cost $313,273) | | | | | | 313,298 | |
Total Investments (101.5%) (Cost $18,350,484) | | | | | | | | 20,464,017 | |
Other Assets and Liabilities—Net (-1.5%)4,6 | | | | | | | | (299,432 | ) |
Net Assets (100%) | | | | | | | | 20,164,585 | |
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $285,856,000. |
§ | Security value determined using significant unobservable inputs. |
1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
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 | Includes $298,687,000 of collateral received for securities on loan. |
5 | Securities with a value of $1,239,000 have been segregated as initial margin for open futures contracts. |
6 | Cash of $870,000 has been segregated as collateral for open over-the-counter swap contracts. |
35
Vanguard® Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2018
| CVR—Contingent Value Rights. |
| REIT—Real Estate Investment Trust. |
36
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
Common Stocks (99.7%)1 | | | | | |
Basic Materials (5.5%) | | | | | |
| RPM International Inc. | | 2,152,204 | | 126,507 | |
| Chemours Co. | | 2,773,316 | | 78,263 | |
| Ashland Global Holdings Inc. | | 1,013,272 | | 71,902 | |
| WR Grace & Co. | | 1,085,979 | | 70,491 | |
| Huntsman Corp. | | 3,294,905 | | 63,559 | |
| Olin Corp. | | 2,704,300 | | 54,383 | |
| Steel Dynamics Inc. | | 1,767,306 | | 53,090 | |
| United States Steel Corp. | | 2,873,120 | | 52,406 | |
| Peabody Energy Corp. | | 1,456,248 | | 44,386 | |
* | Alcoa Corp. | | 1,510,750 | | 40,156 | |
| Scotts Miracle-Gro Co. | | 628,716 | | 38,641 | |
| Sensient Technologies Corp. | | 685,196 | | 38,268 | |
| Cabot Corp. | | 874,475 | | 37,550 | |
* | Cleveland-Cliffs Inc. | | 4,827,314 | | 37,122 | |
| PolyOne Corp. | | 1,292,836 | | 36,975 | |
| Quaker Chemical Corp. | | 205,136 | | 36,455 | |
| Domtar Corp. | | 1,015,729 | | 35,683 | |
| HB Fuller Co. | | 821,464 | | 35,052 | |
| Minerals Technologies Inc. | | 569,668 | | 29,247 | |
| Commercial Metals Co. | | 1,811,866 | | 29,026 | |
| Carpenter Technology Corp. | | 766,784 | | 27,305 | |
* | GCP Applied Technologies Inc. | | 1,050,836 | | 25,798 | |
| Innospec Inc. | | 394,649 | | 24,373 | |
| Stepan Co. | | 328,114 | | 24,280 | |
| Worthington Industries Inc. | | 670,142 | | 23,348 | |
| Compass Minerals International Inc. | | 548,129 | | 22,851 | |
| Arch Coal Inc. Class A | | 274,171 | | 22,753 | |
| Kaiser Aluminum Corp. | | 253,230 | | 22,611 | |
* | Contura Energy Inc. | | 301,218 | | 19,802 | |
| Warrior Met Coal Inc. | | 768,899 | | 18,538 | |
| Hecla Mining Co. | | 7,788,612 | | 18,381 | |
* | Univar Inc. | | 915,558 | | 16,242 | |
| Materion Corp. | | 327,585 | | 14,738 | |
* | CONSOL Energy Inc. | | 404,351 | | 12,822 | |
| Schweitzer-Mauduit International Inc. | | 503,719 | | 12,618 | |
*,^ | AK Steel Holding Corp. | | 5,174,881 | | 11,643 | |
* | Kraton Corp. | | 522,815 | | 11,418 | |
| Tronox Ltd. Class A | | 1,463,750 | | 11,388 | |
* | Ferro Corp. | | 672,063 | | 10,538 | |
| Rayonier Advanced Materials Inc. | | 825,218 | | 8,789 | |
| Schnitzer Steel Industries Inc. | | 405,225 | | 8,733 | |
| Innophos Holdings Inc. | | 322,129 | | 7,902 | |
| Tredegar Corp. | | 489,919 | | 7,770 | |
| Resolute Forest Products Inc. | | 968,115 | | 7,677 | |
* | Coeur Mining Inc. | | 1,640,649 | | 7,334 | |
| PH Glatfelter Co. | | 720,208 | | 7,029 | |
| FutureFuel Corp. | | 434,426 | | 6,890 | |
* | Clearwater Paper Corp. | | 270,237 | | 6,586 | |
* | Century Aluminum Co. | | 791,651 | | 5,787 | |
| Haynes International Inc. | | 206,331 | | 5,447 | |
* | Koppers Holdings Inc. | | 313,809 | | 5,347 | |
* | TimkenSteel Corp. | | 590,869 | | 5,164 | |
* | SunCoke Energy Inc. | | 535,764 | | 4,581 | |
| Kronos Worldwide Inc. | | 381,938 | | 4,400 | |
| | | | | 1,460,045 | |
Consumer Goods (7.3%) | | | | | |
* | US Foods Holding Corp. | | 3,521,623 | | 111,424 | |
* | Herbalife Nutrition Ltd. | | 1,645,970 | | 97,030 | |
| Leggett & Platt Inc. | | 2,114,721 | | 75,792 | |
* | Deckers Outdoor Corp. | | 471,823 | | 60,370 | |
| Valvoline Inc. | | 3,049,459 | | 59,007 | |
37
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Helen of Troy Ltd. | | 428,122 | | 56,161 | |
*,^ | Mattel Inc. | | 5,590,231 | | 55,846 | |
| Flowers Foods Inc. | | 2,904,918 | | 53,654 | |
| Nu Skin Enterprises Inc. Class A | | 855,453 | | 52,465 | |
| Ingredion Inc. | | 573,119 | | 52,383 | |
* | Darling Ingredients Inc. | | 2,669,028 | | 51,352 | |
| Wolverine World Wide Inc. | | 1,458,500 | | 46,511 | |
* | TreeHouse Foods Inc. | | 907,644 | | 46,027 | |
| Energizer Holdings Inc. | | 966,148 | | 43,622 | |
| Thor Industries Inc. | | 813,054 | | 42,279 | |
| Goodyear Tire & Rubber Co. | | 1,889,198 | | 38,558 | |
| Sanderson Farms Inc. | | 332,859 | | 33,049 | |
* | Edgewell Personal Care Co. | | 875,658 | | 32,706 | |
| Dana Inc. | | 2,343,124 | | 31,937 | |
^ | B&G Foods Inc. | | 1,067,862 | | 30,872 | |
* | Taylor Morrison Home Corp. Class A | | 1,922,392 | | 30,566 | |
| Herman Miller Inc. | | 960,093 | | 29,043 | |
* | Visteon Corp. | | 468,409 | | 28,236 | |
| Lancaster Colony Corp. | | 155,920 | | 27,576 | |
| Spectrum Brands Holdings Inc. | | 649,091 | | 27,424 | |
| KB Home | | 1,431,237 | | 27,337 | |
| Cooper Tire & Rubber Co. | | 811,662 | | 26,241 | |
* | TRI Pointe Group Inc. | | 2,302,580 | | 25,167 | |
| HNI Corp. | | 708,960 | | 25,118 | |
* | Meritor Inc. | | 1,374,743 | | 23,247 | |
| Tenneco Inc. Class A | | 832,251 | | 22,795 | |
* | Hain Celestial Group Inc. | | 1,432,429 | | 22,718 | |
| Universal Corp. | | 404,404 | | 21,898 | |
| La-Z-Boy Inc. | | 761,264 | | 21,095 | |
| Tupperware Brands Corp. | | 667,863 | | 21,084 | |
* | Central Garden & Pet Co. Class A | | 673,246 | | 21,039 | |
| MDC Holdings Inc. | | 732,468 | | 20,590 | |
| Delphi Technologies plc | | 1,434,005 | | 20,535 | |
* | American Axle & Manufacturing Holdings Inc. | | 1,810,889 | | 20,101 | |
| Steelcase Inc. Class A | | 1,336,075 | | 19,814 | |
| Cal-Maine Foods Inc. | | 461,411 | | 19,518 | |
* | G-III Apparel Group Ltd. | | 676,524 | | 18,868 | |
| Columbia Sportswear Co. | | 222,537 | | 18,713 | |
| Inter Parfums Inc. | | 279,411 | | 18,321 | |
* | Cooper-Standard Holdings Inc. | | 288,534 | | 17,924 | |
* | Hostess Brands Inc. Class A | | 1,532,527 | | 16,766 | |
| Seaboard Corp. | | 4,736 | | 16,756 | |
* | Garrett Motion Inc. | | 1,197,959 | | 14,783 | |
| Fresh Del Monte Produce Inc. | | 507,611 | | 14,350 | |
| Sturm Ruger & Co. Inc. | | 267,737 | | 14,249 | |
| Knoll Inc. | | 766,392 | | 12,630 | |
* | Pilgrim’s Pride Corp. | | 813,651 | | 12,620 | |
| Andersons Inc. | | 417,263 | | 12,472 | |
* | Fossil Group Inc. | | 726,554 | | 11,429 | |
| Acushnet Holdings Corp. | | 540,369 | | 11,386 | |
| ACCO Brands Corp. | | 1,661,095 | | 11,262 | |
* | Meritage Homes Corp. | | 306,361 | | 11,250 | |
* | American Outdoor Brands Corp. | | 848,442 | | 10,911 | |
* | Vista Outdoor Inc. | | 941,298 | | 10,684 | |
| National Presto Industries Inc. | | 85,711 | | 10,021 | |
^ | Tootsie Roll Industries Inc. | | 285,172 | | 9,525 | |
| Oxford Industries Inc. | | 131,869 | | 9,368 | |
* | Modine Manufacturing Co. | | 788,675 | | 8,526 | |
| Movado Group Inc. | | 258,603 | | 8,177 | |
| Ethan Allen Interiors Inc. | | 394,150 | | 6,933 | |
* | Central Garden & Pet Co. | | 171,844 | | 5,920 | |
| Dean Foods Co. | | 1,504,733 | | 5,733 | |
| Phibro Animal Health Corp. Class A | | 166,520 | | 5,355 | |
*,^ | GoPro Inc. Class A | | 938,037 | | 3,977 | |
38
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | YETI Holdings Inc. | | 142,071 | | 2,108 | |
| Titan International Inc. | | 435,857 | | 2,031 | |
*,^ | Sonos Inc. | | 158,406 | | 1,555 | |
| Superior Industries International Inc. | | 175,439 | | 844 | |
* | Crocs Inc. | | 1,724 | | 45 | |
* | Arlo Technologies Inc. | | 3,664 | | 36 | |
| | | | | 1,907,715 | |
Consumer Services (11.8%) | | | | | |
| Service Corp. International | | 2,785,564 | | 112,147 | |
| KAR Auction Services Inc. | | 2,180,279 | | 104,043 | |
| Foot Locker Inc. | | 1,862,371 | | 99,078 | |
| Dun & Bradstreet Corp. | | 602,508 | | 86,002 | |
| H&R Block Inc. | | 3,331,525 | | 84,521 | |
* | JetBlue Airways Corp. | | 4,942,101 | | 79,370 | |
^ | Williams-Sonoma Inc. | | 1,301,007 | | 65,636 | |
* | Spirit Airlines Inc. | | 1,106,714 | | 64,101 | |
| Cracker Barrel Old Country Store Inc. | | 389,644 | | 62,289 | |
| Cinemark Holdings Inc. | | 1,703,735 | | 60,994 | |
| Tribune Media Co. Class A | | 1,278,524 | | 58,019 | |
| Wyndham Destinations Inc. | | 1,500,580 | | 53,781 | |
| New York Times Co. Class A | | 2,393,851 | | 53,359 | |
| American Eagle Outfitters Inc. | | 2,730,187 | | 52,775 | |
* | Performance Food Group Co. | | 1,618,074 | | 52,215 | |
| Sabre Corp. | | 2,232,199 | | 48,305 | |
| Wendy’s Co. | | 3,071,632 | | 47,948 | |
| Extended Stay America Inc. | | 3,051,416 | | 47,297 | |
| Aaron’s Inc. | | 1,111,201 | | 46,726 | |
* | TripAdvisor Inc. | | 860,178 | | 46,398 | |
* | Adtalem Global Education Inc. | | 951,425 | | 45,021 | |
| Graham Holdings Co. Class B | | 66,779 | | 42,777 | |
| AMERCO | | 127,218 | | 41,742 | |
* | Urban Outfitters Inc. | | 1,220,121 | | 40,508 | |
* | ServiceMaster Global Holdings Inc. | | 1,100,021 | | 40,415 | |
*,^ | LiveRamp Holdings Inc. | | 1,045,925 | | 40,404 | |
* | AMC Networks Inc. Class A | | 729,947 | | 40,060 | |
* | Murphy USA Inc. | | 496,198 | | 38,029 | |
| TEGNA Inc. | | 3,486,508 | | 37,898 | |
| Strategic Education Inc. | | 333,953 | | 37,877 | |
| Dick’s Sporting Goods Inc. | | 1,177,671 | | 36,743 | |
| Wyndham Hotels & Resorts Inc. | | 803,315 | | 36,446 | |
| SkyWest Inc. | | 798,539 | | 35,511 | |
| John Wiley & Sons Inc. Class A | | 744,477 | | 34,968 | |
| Hillenbrand Inc. | | 909,245 | | 34,488 | |
* | Penn National Gaming Inc. | | 1,828,770 | | 34,436 | |
* | AutoNation Inc. | | 946,549 | | 33,792 | |
| Meredith Corp. | | 645,232 | | 33,513 | |
* | Sally Beauty Holdings Inc. | | 1,945,760 | | 33,175 | |
| Sinclair Broadcast Group Inc. Class A | | 1,104,457 | | 29,091 | |
| Cheesecake Factory Inc. | | 660,997 | | 28,760 | |
| Lithia Motors Inc. Class A | | 364,199 | | 27,799 | |
| DSW Inc. Class A | | 1,116,049 | | 27,566 | |
| Brinker International Inc. | | 625,140 | | 27,494 | |
| Signet Jewelers Ltd. | | 840,937 | | 26,717 | |
* | BJ’s Wholesale Club Holdings Inc. | | 1,204,954 | | 26,702 | |
| Lions Gate Entertainment Corp. Class B | | 1,757,837 | | 26,157 | |
| Bed Bath & Beyond Inc. | | 2,123,216 | | 24,035 | |
| Bloomin’ Brands Inc. | | 1,339,554 | | 23,965 | |
* | Cars.com Inc. | | 1,110,114 | | 23,868 | |
| Office Depot Inc. | | 8,865,739 | | 22,874 | |
| Children’s Place Inc. | | 252,287 | | 22,729 | |
* | Avis Budget Group Inc. | | 1,002,549 | | 22,537 | |
* | MSG Networks Inc. | | 944,350 | | 22,249 | |
| Penske Automotive Group Inc. | | 549,577 | | 22,159 | |
* | Laureate Education Inc. Class A | | 1,430,688 | | 21,804 | |
39
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Abercrombie & Fitch Co. | | 1,081,368 | | 21,681 | |
* | Asbury Automotive Group Inc. | | 317,369 | | 21,156 | |
* | Michaels Cos. Inc. | | 1,525,738 | | 20,659 | |
| Hawaiian Holdings Inc. | | 760,902 | | 20,095 | |
| Matthews International Corp. Class A | | 492,869 | | 20,020 | |
| GameStop Corp. Class A | | 1,569,209 | | 19,803 | |
| Guess? Inc. | | 916,892 | | 19,044 | |
| Big Lots Inc. | | 647,521 | | 18,726 | |
* | Liberty TripAdvisor Holdings Inc. Class A | | 1,164,879 | | 18,510 | |
| Dine Brands Global Inc. | | 272,279 | | 18,335 | |
| Caleres Inc. | | 627,969 | | 17,476 | |
| Core-Mark Holding Co. Inc. | | 738,334 | | 17,166 | |
| International Speedway Corp. Class A | | 374,907 | | 16,443 | |
| Gannett Co. Inc. | | 1,843,955 | | 15,729 | |
| Group 1 Automotive Inc. | | 295,258 | | 15,566 | |
| Scholastic Corp. | | 380,559 | | 15,321 | |
* | Houghton Mifflin Harcourt Co. | | 1,718,294 | | 15,224 | |
* | frontdoor Inc. | | 549,725 | | 14,628 | |
* | K12 Inc. | | 585,985 | | 14,527 | |
* | Genesco Inc. | | 310,146 | | 13,740 | |
| Lions Gate Entertainment Corp. Class A | | 819,116 | | 13,188 | |
* | Rent-A-Center Inc. | | 789,767 | | 12,786 | |
*,^ | Rite Aid Corp. | | 17,453,768 | | 12,363 | |
* | Hertz Global Holdings Inc. | | 895,037 | | 12,217 | |
| Entercom Communications Corp. Class A | | 2,036,500 | | 11,628 | |
| Weis Markets Inc. | | 242,416 | | 11,583 | |
| Dillard’s Inc. Class A | | 189,505 | | 11,429 | |
| Chico’s FAS Inc. | | 1,928,359 | | 10,837 | |
| New Media Investment Group Inc. | | 918,740 | | 10,630 | |
| Tailored Brands Inc. | | 766,075 | | 10,449 | |
| AMC Entertainment Holdings Inc. Class A | | 844,782 | | 10,374 | |
* | Party City Holdco Inc. | | 953,334 | | 9,514 | |
* | SeaWorld Entertainment Inc. | | 425,663 | | 9,403 | |
^ | Buckle Inc. | | 482,153 | | 9,325 | |
* | United Natural Foods Inc. | | 831,009 | | 8,800 | |
* | Regis Corp. | | 500,439 | | 8,482 | |
| Papa John’s International Inc. | | 181,286 | | 7,217 | |
| EW Scripps Co. Class A | | 441,974 | | 6,952 | |
* | Ascena Retail Group Inc. | | 2,739,043 | | 6,875 | |
| National CineMedia Inc. | | 1,016,917 | | 6,590 | |
* | Zumiez Inc. | | 316,615 | | 6,070 | |
* | Diplomat Pharmacy Inc. | | 450,599 | | 6,065 | |
* | Express Inc. | | 1,123,469 | | 5,741 | |
*,^ | Stitch Fix Inc. Class A | | 322,715 | | 5,515 | |
* | El Pollo Loco Holdings Inc. | | 351,423 | | 5,331 | |
* | Fiesta Restaurant Group Inc. | | 339,598 | | 5,267 | |
| Emerald Expositions Events Inc. | | 424,649 | | 5,240 | |
* | Herc Holdings Inc. | | 199,679 | | 5,190 | |
| Sonic Automotive Inc. Class A | | 354,215 | | 4,874 | |
* | Bojangles’ Inc. | | 302,495 | | 4,864 | |
*,^ | JC Penney Co. Inc. | | 4,480,015 | | 4,659 | |
* | BrightView Holdings Inc. | | 423,430 | | 4,323 | |
* | American Public Education Inc. | | 131,441 | | 3,741 | |
* | Biglari Holdings Inc. Class B | | 30,897 | | 3,509 | |
| Clear Channel Outdoor Holdings Inc. Class A | | 626,399 | | 3,251 | |
| Barnes & Noble Inc. | | 431,661 | | 3,061 | |
| Cato Corp. Class A | | 186,008 | | 2,654 | |
| Speedway Motorsports Inc. | | 162,335 | | 2,641 | |
* | Lands’ End Inc. | | 162,942 | | 2,315 | |
* | Smart & Final Stores Inc. | | 458,597 | | 2,174 | |
* | Biglari Holdings Inc. | | 2,192 | | 1,288 | |
* | Weight Watchers International Inc. | | 319 | | 12 | |
* | Roku Inc. | | 380 | | 12 | |
* | Hibbett Sports Inc. | | 122 | | 2 | |
40
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Upwork Inc. | | 58 | | 1 | |
| | | | | 3,111,604 | |
Financials (34.1%) | | | | | |
| WP Carey Inc. | | 2,613,827 | | 170,787 | |
| National Retail Properties Inc. | | 2,582,676 | | 125,286 | |
| Apartment Investment & Management Co. | | 2,527,686 | | 110,915 | |
| Gaming and Leisure Properties Inc. | | 3,299,774 | | 106,616 | |
| Brown & Brown Inc. | | 3,854,827 | | 106,239 | |
| East West Bancorp Inc. | | 2,351,965 | | 102,381 | |
| Liberty Property Trust | | 2,397,534 | | 100,409 | |
| American Financial Group Inc. | | 1,086,869 | | 98,394 | |
| Old Republic International Corp. | | 4,663,752 | | 95,933 | |
| Commerce Bancshares Inc. | | 1,631,759 | | 91,982 | |
| RenaissanceRe Holdings Ltd. | | 652,978 | | 87,303 | |
| Park Hotels & Resorts Inc. | | 3,262,558 | | 84,761 | |
| New Residential Investment Corp. | | 5,927,513 | | 84,230 | |
| Starwood Property Trust Inc. | | 4,245,099 | | 83,671 | |
| Cullen/Frost Bankers Inc. | | 934,325 | | 82,165 | |
| Synovus Financial Corp. | | 2,553,220 | | 81,677 | |
| LPL Financial Holdings Inc. | | 1,334,574 | | 81,516 | |
| Hanover Insurance Group Inc. | | 686,620 | | 80,177 | |
| EPR Properties | | 1,205,687 | | 77,200 | |
| First American Financial Corp. | | 1,722,336 | | 76,885 | |
| Popular Inc. | | 1,627,719 | | 76,861 | |
| Assurant Inc. | | 855,637 | | 76,528 | |
| Webster Financial Corp. | | 1,494,243 | | 73,651 | |
| Brixmor Property Group Inc. | | 4,859,086 | | 71,380 | |
| New York Community Bancorp Inc. | | 7,554,478 | | 71,088 | |
| First Horizon National Corp. | | 5,256,626 | | 69,177 | |
| Primerica Inc. | | 696,206 | | 68,026 | |
| Prosperity Bancshares Inc. | | 1,076,838 | | 67,087 | |
| Axis Capital Holdings Ltd. | | 1,287,859 | | 66,505 | |
| PacWest Bancorp | | 1,975,403 | | 65,741 | |
| Highwoods Properties Inc. | | 1,678,227 | | 64,931 | |
| Eaton Vance Corp. | | 1,796,765 | | 63,210 | |
| Assured Guaranty Ltd. | | 1,628,567 | | 62,342 | |
| JBG SMITH Properties | | 1,764,175 | | 61,411 | |
* | MGIC Investment Corp. | | 5,863,690 | | 61,334 | |
| Wintrust Financial Corp. | | 915,003 | | 60,839 | |
| Hospitality Properties Trust | | 2,532,316 | | 60,472 | |
^ | First Financial Bankshares Inc. | | 1,043,218 | | 60,183 | |
| Blackstone Mortgage Trust Inc. Class A | | 1,867,205 | | 59,489 | |
| First Industrial Realty Trust Inc. | | 2,046,982 | | 59,076 | |
* | Brighthouse Financial Inc. | | 1,922,499 | | 58,598 | |
| Selective Insurance Group Inc. | | 954,921 | | 58,193 | |
| Rayonier Inc. | | 2,095,627 | | 58,028 | |
| IBERIABANK Corp. | | 901,419 | | 57,943 | |
| Omega Healthcare Investors Inc. | | 1,627,423 | | 57,204 | |
| Umpqua Holdings Corp. | | 3,571,571 | | 56,788 | |
| Janus Henderson Group plc | | 2,737,936 | | 56,730 | |
| Radian Group Inc. | | 3,459,094 | | 56,591 | |
| Equity Commonwealth | | 1,872,871 | | 56,205 | |
| Kemper Corp. | | 840,165 | | 55,770 | |
| Erie Indemnity Co. Class A | | 412,052 | | 54,931 | |
| Glacier Bancorp Inc. | | 1,370,575 | | 54,302 | |
| Cousins Properties Inc. | | 6,818,182 | | 53,864 | |
| Associated Banc-Corp | | 2,689,913 | | 53,233 | |
| United Bankshares Inc. | | 1,672,859 | | 52,043 | |
| FNB Corp. | | 5,263,940 | | 51,797 | |
| Two Harbors Investment Corp. | | 4,024,328 | | 51,672 | |
| MB Financial Inc. | | 1,299,099 | | 51,483 | |
| Chimera Investment Corp. | | 2,882,730 | | 51,370 | |
| EastGroup Properties Inc. | | 554,574 | | 50,871 | |
| Apple Hospitality REIT Inc. | | 3,525,390 | | 50,272 | |
41
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| BankUnited Inc. | | 1,671,801 | | 50,054 | |
| National Health Investors Inc. | | 650,100 | | 49,109 | |
| Weingarten Realty Investors | | 1,973,406 | | 48,960 | |
| MFA Financial Inc. | | 7,293,361 | | 48,720 | |
| Community Bank System Inc. | | 830,045 | | 48,392 | |
| Sunstone Hotel Investors Inc. | | 3,699,517 | | 48,131 | |
| Hancock Whitney Corp. | | 1,380,672 | | 47,840 | |
| TCF Financial Corp. | | 2,434,162 | | 47,442 | |
| RLI Corp. | | 685,584 | | 47,298 | |
| RLJ Lodging Trust | | 2,839,315 | | 46,565 | |
| Stifel Financial Corp. | | 1,109,255 | | 45,945 | |
| Bank of Hawaii Corp. | | 678,095 | | 45,649 | |
| Valley National Bancorp | | 5,104,869 | | 45,331 | |
| Senior Housing Properties Trust | | 3,851,190 | | 45,136 | |
| UMB Financial Corp. | | 727,107 | | 44,332 | |
| Fulton Financial Corp. | | 2,854,887 | | 44,194 | |
| CVB Financial Corp. | | 2,161,984 | | 43,737 | |
| Columbia Banking System Inc. | | 1,186,969 | | 43,075 | |
| Taubman Centers Inc. | | 939,919 | | 42,757 | |
| Chemical Financial Corp. | | 1,158,073 | | 42,397 | |
| White Mountains Insurance Group Ltd. | | 49,068 | | 42,085 | |
| Cathay General Bancorp | | 1,248,811 | | 41,873 | |
| BancorpSouth Bank | | 1,583,394 | | 41,390 | |
| Outfront Media Inc. | | 2,255,493 | | 40,870 | |
| Aspen Insurance Holdings Ltd. | | 968,438 | | 40,665 | |
| Empire State Realty Trust Inc. | | 2,797,328 | | 39,806 | |
| CNO Financial Group Inc. | | 2,668,137 | | 39,702 | |
| First Hawaiian Inc. | | 1,750,395 | | 39,401 | |
| Investors Bancorp Inc. | | 3,784,666 | | 39,361 | |
| Federated Investors Inc. Class B | | 1,465,787 | | 38,917 | |
| American Equity Investment Life Holding Co. | | 1,391,553 | | 38,880 | |
| Lazard Ltd. Class A | | 1,051,566 | | 38,813 | |
| Old National Bancorp | | 2,468,121 | | 38,009 | |
* | SLM Corp. | | 4,560,742 | | 37,900 | |
| Retail Properties of America Inc. | | 3,488,359 | | 37,849 | |
* | Genworth Financial Inc. Class A | | 8,116,981 | | 37,825 | |
| Brandywine Realty Trust | | 2,889,930 | | 37,193 | |
| Columbia Property Trust Inc. | | 1,907,333 | | 36,907 | |
| GEO Group Inc. | | 1,873,275 | | 36,904 | |
| Navient Corp. | | 4,175,406 | | 36,785 | |
| Apollo Commercial Real Estate Finance Inc. | | 2,172,002 | | 36,186 | |
| First Financial Bancorp | | 1,506,656 | | 35,738 | |
| South State Corp. | | 591,174 | | 35,441 | |
| Piedmont Office Realty Trust Inc. Class A | | 2,076,960 | | 35,391 | |
| Legg Mason Inc. | | 1,385,686 | | 35,349 | |
| Washington Federal Inc. | | 1,322,582 | | 35,326 | |
| ProAssurance Corp. | | 868,912 | | 35,243 | |
| Argo Group International Holdings Ltd. | | 522,107 | | 35,112 | |
| BOK Financial Corp. | | 472,278 | | 34,632 | |
| CoreCivic Inc. | | 1,922,115 | | 34,271 | |
| First Midwest Bancorp Inc. | | 1,723,698 | | 34,146 | |
| International Bancshares Corp. | | 963,914 | | 33,159 | |
| First Citizens BancShares Inc. Class A | | 87,743 | | 33,083 | |
| PotlatchDeltic Corp. | | 1,039,288 | | 32,883 | |
| CIT Group Inc. | | 858,126 | | 32,840 | |
| Independent Bank Corp. | | 454,881 | | 31,983 | |
| Brookfield Property REIT Inc. Class A | | 1,960,576 | | 31,565 | |
| Acadia Realty Trust | | 1,319,941 | | 31,362 | |
| Xenia Hotels & Resorts Inc. | | 1,822,390 | | 31,345 | |
| Tanger Factory Outlet Centers Inc. | | 1,519,846 | | 30,731 | |
| Santander Consumer USA Holdings Inc. | | 1,746,685 | | 30,724 | |
| WesBanco Inc. | | 836,692 | | 30,698 | |
| DiamondRock Hospitality Co. | | 3,367,266 | | 30,575 | |
| First BanCorp | | 3,519,753 | | 30,270 | |
42
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Navigators Group Inc. | | 435,066 | | 30,233 | |
| Sterling Bancorp | | 1,821,607 | | 30,075 | |
| Washington REIT | | 1,290,232 | | 29,675 | |
* | OneMain Holdings Inc. | | 1,206,200 | | 29,299 | |
| Great Western Bancorp Inc. | | 934,320 | | 29,197 | |
| Banner Corp. | | 544,620 | | 29,126 | |
| Union Bankshares Corp. | | 1,012,710 | | 28,589 | |
| Lexington Realty Trust | | 3,436,067 | | 28,210 | |
^ | Realogy Holdings Corp. | | 1,913,851 | | 28,095 | |
| Trustmark Corp. | | 978,565 | | 27,821 | |
| Capitol Federal Financial Inc. | | 2,172,595 | | 27,744 | |
| First Merchants Corp. | | 801,280 | | 27,460 | |
| Renasant Corp. | | 902,163 | | 27,227 | |
| Mack-Cali Realty Corp. | | 1,388,212 | | 27,195 | |
* | Enstar Group Ltd. | | 160,145 | | 26,835 | |
| LTC Properties Inc. | | 641,530 | | 26,739 | |
| Invesco Mortgage Capital Inc. | | 1,808,361 | | 26,185 | |
| United Community Banks Inc. | | 1,217,628 | | 26,130 | |
| Northwest Bancshares Inc. | | 1,512,226 | | 25,617 | |
| Horace Mann Educators Corp. | | 662,178 | | 24,799 | |
| SITE Centers Corp. | | 2,239,203 | | 24,788 | |
| National General Holdings Corp. | | 997,697 | | 24,154 | |
| Sabra Health Care REIT Inc. | | 1,443,149 | | 23,783 | |
| Chesapeake Lodging Trust | | 974,211 | | 23,722 | |
| Provident Financial Services Inc. | | 977,690 | | 23,592 | |
| Hope Bancorp Inc. | | 1,980,311 | | 23,486 | |
| Ladder Capital Corp. Class A | | 1,514,798 | | 23,434 | |
| Mercury General Corp. | | 448,554 | | 23,195 | |
| NBT Bancorp Inc. | | 669,313 | | 23,152 | |
| Westamerica Bancorporation | | 410,393 | | 22,851 | |
| BGC Partners Inc. Class A | | 4,375,859 | | 22,623 | |
| Ares Management Corp. | | 1,234,343 | | 21,947 | |
| Waddell & Reed Financial Inc. Class A | | 1,205,186 | | 21,790 | |
| Cadence BanCorp Class A | | 1,297,323 | | 21,769 | |
| Global Net Lease Inc. | | 1,230,204 | | 21,676 | |
| First Interstate BancSystem Inc. Class A | | 585,671 | | 21,412 | |
| Colony Credit Real Estate Inc. | | 1,351,150 | | 21,335 | |
| Employers Holdings Inc. | | 504,613 | | 21,179 | |
| Walker & Dunlop Inc. | | 480,835 | | 20,796 | |
^ | Industrial Logistics Properties Trust | | 1,053,302 | | 20,718 | |
* | PennyMac Financial Services Inc. | | 974,468 | | 20,717 | |
| Hilltop Holdings Inc. | | 1,148,324 | | 20,475 | |
| S&T Bancorp Inc. | | 537,997 | | 20,358 | |
* | Alexander & Baldwin Inc. | | 1,105,912 | | 20,327 | |
| Redwood Trust Inc. | | 1,344,210 | | 20,257 | |
| Clearway Energy Inc. | | 1,170,110 | | 20,184 | |
| First Commonwealth Financial Corp. | | 1,600,301 | | 19,332 | |
| Safety Insurance Group Inc. | | 233,841 | | 19,131 | |
| United Fire Group Inc. | | 344,772 | | 19,118 | |
| Corporate Office Properties Trust | | 880,779 | | 18,523 | |
| Artisan Partners Asset Management Inc. Class A | | 830,977 | | 18,373 | |
| Park National Corp. | | 214,977 | | 18,262 | |
* | Cannae Holdings Inc. | | 1,047,679 | | 17,936 | |
| Tompkins Financial Corp. | | 233,977 | | 17,551 | |
| PennyMac Mortgage Investment Trust | | 936,920 | | 17,445 | |
| City Holding Co. | | 256,853 | | 17,361 | |
* | PRA Group Inc. | | 703,143 | | 17,136 | |
| Brookline Bancorp Inc. | | 1,237,171 | | 17,098 | |
| American Finance Trust Inc. | | 1,280,240 | | 17,053 | |
| Berkshire Hills Bancorp Inc. | | 622,137 | | 16,779 | |
^ | Seritage Growth Properties Class A | | 518,509 | | 16,763 | |
| American National Insurance Co. | | 131,567 | | 16,741 | |
* | FGL Holdings | | 2,329,476 | | 15,514 | |
| Getty Realty Corp. | | 527,014 | | 15,499 | |
43
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Beneficial Bancorp Inc. | | 1,083,196 | | 15,479 | |
| Piper Jaffray Cos. | | 227,060 | | 14,950 | |
| TPG RE Finance Trust Inc. | | 810,780 | | 14,821 | |
| BancFirst Corp. | | 294,217 | | 14,681 | |
| RPT Realty | | 1,227,902 | | 14,673 | |
| Agree Realty Corp. | | 247,809 | | 14,650 | |
| Washington Prime Group Inc. | | 3,007,381 | | 14,616 | |
| Urban Edge Properties | | 875,668 | | 14,554 | |
| Boston Private Financial Holdings Inc. | | 1,359,832 | | 14,373 | |
* | Cushman & Wakefield plc | | 973,849 | | 14,092 | |
| ARMOUR Residential REIT Inc. | | 685,476 | | 14,052 | |
| OFG Bancorp | | 829,515 | | 13,654 | |
| InfraREIT Inc. | | 646,787 | | 13,595 | |
| State Bank Financial Corp. | | 589,334 | | 12,724 | |
* | Ambac Financial Group Inc. | | 733,530 | | 12,646 | |
* | Flagstar Bancorp Inc. | | 472,394 | | 12,471 | |
| Universal Health Realty Income Trust | | 202,501 | | 12,427 | |
* | World Acceptance Corp. | | 119,316 | | 12,201 | |
| Granite Point Mortgage Trust Inc. | | 668,269 | | 12,049 | |
* | MBIA Inc. | | 1,316,062 | | 11,739 | |
* | Columbia Financial Inc. | | 750,390 | | 11,473 | |
| American Assets Trust Inc. | | 284,285 | | 11,420 | |
*,^ | Encore Capital Group Inc. | | 480,952 | | 11,302 | |
^ | Government Properties Income Trust | | 1,615,193 | | 11,096 | |
| Nelnet Inc. Class A | | 211,570 | | 11,074 | |
| Heartland Financial USA Inc. | | 250,572 | | 11,013 | |
| Central Pacific Financial Corp. | | 445,200 | | 10,841 | |
| National Western Life Group Inc. Class A | | 35,963 | | 10,814 | |
| Hersha Hospitality Trust Class A | | 614,589 | | 10,780 | |
| Select Income REIT | | 1,441,063 | | 10,606 | |
| FBL Financial Group Inc. Class A | | 159,790 | | 10,490 | |
| Houlihan Lokey Inc. Class A | | 282,106 | | 10,381 | |
| Franklin Street Properties Corp. | | 1,664,144 | | 10,368 | |
| Capstead Mortgage Corp. | | 1,467,093 | | 9,786 | |
| Clearway Energy Inc. Class A | | 576,625 | | 9,756 | |
| iStar Inc. | | 1,059,728 | | 9,718 | |
| Saul Centers Inc. | | 202,793 | | 9,576 | |
| Investors Real Estate Trust | | 194,963 | | 9,567 | |
| State Auto Financial Corp. | | 277,648 | | 9,451 | |
| Urstadt Biddle Properties Inc. Class A | | 481,808 | | 9,260 | |
| Oritani Financial Corp. | | 619,055 | | 9,131 | |
| Northfield Bancorp Inc. | | 669,789 | | 9,076 | |
| Virtus Investment Partners Inc. | | 111,586 | | 8,863 | |
| Dime Community Bancshares Inc. | | 497,387 | | 8,446 | |
| CorePoint Lodging Inc. | | 683,666 | | 8,375 | |
| Summit Hotel Properties Inc. | | 859,968 | | 8,367 | |
| KKR Real Estate Finance Trust Inc. | | 423,651 | | 8,113 | |
| AG Mortgage Investment Trust Inc. | | 468,357 | | 7,461 | |
| Anworth Mortgage Asset Corp. | | 1,563,271 | | 6,316 | |
| Retail Value Inc. | | 243,496 | | 6,231 | |
* | Third Point Reinsurance Ltd. | | 645,263 | | 6,220 | |
^ | Pennsylvania REIT | | 1,042,717 | | 6,194 | |
| Ashford Hospitality Trust Inc. | | 1,545,578 | | 6,182 | |
| Greenhill & Co. Inc. | | 231,945 | | 5,659 | |
* | Tejon Ranch Co. | | 319,055 | | 5,290 | |
^ | CBL & Associates Properties Inc. | | 2,698,383 | | 5,181 | |
| Spirit MTA REIT | | 686,716 | | 4,896 | |
* | Greenlight Capital Re Ltd. Class A | | 456,570 | | 3,936 | |
* | EZCORP Inc. Class A | | 385,242 | | 2,978 | |
*,^ | Altisource Portfolio Solutions SA | | 116,985 | | 2,631 | |
* | Ocwen Financial Corp. | | 890,762 | | 1,194 | |
| Associated Capital Group Inc. Class A | | 32,457 | | 1,143 | |
* | Forestar Group Inc. | | 80,464 | | 1,114 | |
| Urstadt Biddle Properties Inc. | | 45,559 | | 688 | |
44
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Focus Financial Partners Inc. Class A | | 3,358 | | 88 | |
| Investment Technology Group Inc. | | 2,419 | | 73 | |
* | MoneyGram International Inc. | | 7,288 | | 15 | |
| Maiden Holdings Ltd. | | 456 | | 1 | |
| Annaly Capital Management Inc. | | 1 | | — | |
| | | | | 8,962,665 | |
Health Care (4.3%) | | | | | |
| Hill-Rom Holdings Inc. | | 1,090,684 | | 96,580 | |
| Encompass Health Corp. | | 1,523,563 | | 94,004 | |
* | Charles River Laboratories International Inc. | | 779,841 | | 88,262 | |
| STERIS plc | | 685,313 | | 73,226 | |
* | United Therapeutics Corp. | | 671,014 | | 73,073 | |
* | Sage Therapeutics Inc. | | 721,111 | | 69,075 | |
* | Molina Healthcare Inc. | | 480,421 | | 55,835 | |
* | MEDNAX Inc. | | 1,376,326 | | 45,419 | |
* | Haemonetics Corp. | | 418,773 | | 41,898 | |
* | Myriad Genetics Inc. | | 1,211,068 | | 35,206 | |
* | Avanos Medical Inc. | | 767,884 | | 34,393 | |
* | Loxo Oncology Inc. | | 223,109 | | 31,251 | |
* | Tenet Healthcare Corp. | | 1,659,697 | | 28,447 | |
| CONMED Corp. | | 432,298 | | 27,754 | |
* | Select Medical Holdings Corp. | | 1,736,147 | | 26,650 | |
* | Aerie Pharmaceuticals Inc. | | 737,784 | | 26,634 | |
* | Prestige Consumer Healthcare Inc. | | 837,649 | | 25,867 | |
| Patterson Cos. Inc. | | 1,304,966 | | 25,656 | |
* | Endo International plc | | 3,270,195 | | 23,872 | |
* | Magellan Health Inc. | | 392,828 | | 22,348 | |
* | Mallinckrodt plc | | 1,350,352 | | 21,336 | |
* | AnaptysBio Inc. | | 324,785 | | 20,718 | |
*,^ | Denali Therapeutics Inc. | | 999,660 | | 20,653 | |
* | Brookdale Senior Living Inc. | | 3,035,960 | | 20,341 | |
* | Blueprint Medicines Corp. | | 337,937 | | 18,218 | |
| National HealthCare Corp. | | 162,235 | | 12,727 | |
* | Reata Pharmaceuticals Inc. Class A | | 146,035 | | 8,193 | |
* | Intra-Cellular Therapies Inc. | | 715,374 | | 8,148 | |
* | Madrigal Pharmaceuticals Inc. | | 69,784 | | 7,866 | |
* | Varex Imaging Corp. | | 305,999 | | 7,246 | |
| Owens & Minor Inc. | | 954,479 | | 6,042 | |
* | Allogene Therapeutics Inc. | | 196,366 | | 5,288 | |
* | Akorn Inc. | | 1,545,793 | | 5,240 | |
*,^ | Community Health Systems Inc. | | 1,789,595 | | 5,047 | |
* | Kiniksa Pharmaceuticals Ltd. Class A | | 178,279 | | 5,008 | |
* | G1 Therapeutics Inc. | | 223,540 | | 4,281 | |
* | PDL BioPharma Inc. | | 1,158,372 | | 3,359 | |
* | American Renal Associates Holdings Inc. | | 216,530 | | 2,494 | |
* | Surgery Partners Inc. | | 133,986 | | 1,312 | |
| Invacare Corp. | | 257,472 | | 1,107 | |
*,^ | Moderna Inc. | | 35,452 | | 541 | |
* | WellCare Health Plans Inc. | | 753 | | 178 | |
* | Synergy Pharmaceuticals Inc. | | 1,280,183 | | 146 | |
| Ensign Group Inc. | | 1,875 | | 73 | |
* | Amneal Pharmaceuticals Inc. | | 5,007 | | 68 | |
| Chemed Corp. | | 96 | | 27 | |
* | Guardant Health Inc. | | 91 | | 3 | |
* | Allakos Inc. | | 56 | | 3 | |
* | Tricida Inc. | | 91 | | 2 | |
* | Assertio Therapeutics Inc. | | 418 | | 1 | |
* | Rubius Therapeutics Inc. | | 76 | | 1 | |
* | Lannett Co. Inc. | | 210 | | 1 | |
| Wright Medical Group Inc. CVR | | 71,097 | | 1 | |
| | | | | 1,131,119 | |
Industrials (19.9%) | | | | | |
| IDEX Corp. | | 1,243,013 | | 156,943 | |
| PerkinElmer Inc. | | 1,802,013 | | 141,548 | |
45
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Spirit AeroSystems Holdings Inc. Class A | | 1,726,145 | | 124,438 | |
| Allegion plc | | 1,541,747 | | 122,893 | |
| Booz Allen Hamilton Holding Corp. Class A | | 2,193,237 | | 98,849 | |
| Carlisle Cos. Inc. | | 964,559 | | 96,957 | |
| AptarGroup Inc. | | 1,018,318 | | 95,793 | |
| Donaldson Co. Inc. | | 2,076,410 | | 90,095 | |
| Sonoco Products Co. | | 1,617,769 | | 85,952 | |
| Lincoln Electric Holdings Inc. | | 991,498 | | 78,180 | |
| MDU Resources Group Inc. | | 3,179,559 | | 75,801 | |
| Acuity Brands Inc. | | 649,897 | | 74,706 | |
| Oshkosh Corp. | | 1,165,326 | | 71,446 | |
| Quanta Services Inc. | | 2,367,994 | | 71,277 | |
* | Genesee & Wyoming Inc. Class A | | 946,933 | | 70,092 | |
| ITT Inc. | | 1,420,094 | | 68,548 | |
| Bemis Co. Inc. | | 1,476,641 | | 67,778 | |
* | AECOM | | 2,534,835 | | 67,173 | |
| Curtiss-Wright Corp. | | 638,106 | | 65,163 | |
| Avnet Inc. | | 1,803,572 | | 65,109 | |
| Crane Co. | | 819,360 | | 59,141 | |
| nVent Electric plc | | 2,614,999 | | 58,733 | |
| Jabil Inc. | | 2,362,128 | | 58,557 | |
* | Esterline Technologies Corp. | | 477,997 | | 58,053 | |
| MSC Industrial Direct Co. Inc. Class A | | 735,755 | | 56,594 | |
| AGCO Corp. | | 1,015,139 | | 56,513 | |
| EMCOR Group Inc. | | 933,308 | | 55,709 | |
* | Stericycle Inc. | | 1,468,586 | | 53,882 | |
| Graphic Packaging Holding Co. | | 5,033,371 | | 53,555 | |
| EnerSys | | 683,372 | | 53,037 | |
| MSA Safety Inc. | | 560,874 | | 52,874 | |
| Louisiana-Pacific Corp. | | 2,285,824 | | 50,791 | |
| Brink’s Co. | | 779,250 | | 50,379 | |
* | Generac Holdings Inc. | | 1,005,507 | | 49,974 | |
| Regal Beloit Corp. | | 699,473 | | 48,998 | |
* | Keysight Technologies Inc. | | 756,945 | | 46,991 | |
| Tetra Tech Inc. | | 897,079 | | 46,442 | |
* | Owens-Illinois Inc. | | 2,571,692 | | 44,336 | |
| Kennametal Inc. | | 1,330,099 | | 44,266 | |
* | CoreLogic Inc. | | 1,303,933 | | 43,577 | |
| Macquarie Infrastructure Corp. | | 1,180,606 | | 43,163 | |
| GATX Corp. | | 609,287 | | 43,144 | |
| Barnes Group Inc. | | 789,465 | | 42,331 | |
| Timken Co. | | 1,120,563 | | 41,819 | |
| Trinity Industries Inc. | | 2,015,150 | | 41,492 | |
* | FTI Consulting Inc. | | 622,001 | | 41,450 | |
| Ryder System Inc. | | 860,383 | | 41,427 | |
* | MasTec Inc. | | 1,019,924 | | 41,368 | |
* | Resideo Technologies Inc. | | 1,992,248 | | 40,941 | |
| Moog Inc. Class A | | 526,059 | | 40,759 | |
| Flowserve Corp. | | 1,060,068 | | 40,304 | |
* | Integer Holdings Corp. | | 524,825 | | 40,023 | |
* | Rexnord Corp. | | 1,693,367 | | 38,863 | |
| Vishay Intertechnology Inc. | | 2,140,341 | | 38,548 | |
| Valmont Industries Inc. | | 339,371 | | 37,653 | |
* | WESCO International Inc. | | 755,906 | | 36,284 | |
| UniFirst Corp. | | 250,045 | | 35,774 | |
* | Beacon Roofing Supply Inc. | | 1,104,076 | | 35,021 | |
| KBR Inc. | | 2,283,200 | | 34,659 | |
| Korn/Ferry International | | 875,239 | | 34,607 | |
| ABM Industries Inc. | | 1,066,325 | | 34,240 | |
| Applied Industrial Technologies Inc. | | 626,159 | | 33,775 | |
| Brady Corp. Class A | | 752,484 | | 32,703 | |
| ManpowerGroup Inc. | | 500,795 | | 32,452 | |
| Otter Tail Corp. | | 640,350 | | 31,787 | |
* | Conduent Inc. | | 2,909,294 | | 30,926 | |
46
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Silgan Holdings Inc. | | 1,256,934 | | 29,689 | |
| Terex Corp. | | 1,073,729 | | 29,603 | |
* | Kirby Corp. | | 436,494 | | 29,402 | |
| Watts Water Technologies Inc. Class A | | 448,790 | | 28,960 | |
| Deluxe Corp. | | 749,718 | | 28,819 | |
| Belden Inc. | | 652,990 | | 27,275 | |
| EVERTEC Inc. | | 942,743 | | 27,057 | |
| ESCO Technologies Inc. | | 398,558 | | 26,285 | |
| Altra Industrial Motion Corp. | | 1,043,325 | | 26,240 | |
| Triton International Ltd. | | 840,972 | | 26,129 | |
* | Plexus Corp. | | 509,618 | | 26,031 | |
* | Harsco Corp. | | 1,300,600 | | 25,830 | |
* | Colfax Corp. | | 1,233,516 | | 25,780 | |
| Kaman Corp. | | 452,153 | | 25,361 | |
* | Sanmina Corp. | | 1,051,512 | | 25,299 | |
* | Anixter International Inc. | | 460,751 | | 25,023 | |
| Universal Forest Products Inc. | | 947,281 | | 24,591 | |
| Mobile Mini Inc. | | 723,465 | | 22,970 | |
| ManTech International Corp. Class A | | 430,093 | | 22,492 | |
| Armstrong World Industries Inc. | | 381,401 | | 22,201 | |
| Matson Inc. | | 692,061 | | 22,160 | |
| World Fuel Services Corp. | | 1,034,417 | | 22,147 | |
| Werner Enterprises Inc. | | 749,410 | | 22,138 | |
* | Navistar International Corp. | | 806,526 | | 20,929 | |
| Greenbrier Cos. Inc. | | 524,694 | | 20,746 | |
| Actuant Corp. Class A | | 987,859 | | 20,735 | |
| Mueller Industries Inc. | | 886,958 | | 20,719 | |
* | TriMas Corp. | | 741,005 | | 20,222 | |
| AAR Corp. | | 537,965 | | 20,088 | |
* | SPX FLOW Inc. | | 654,159 | | 19,900 | |
* | SPX Corp. | | 702,020 | | 19,664 | |
* | OSI Systems Inc. | | 266,019 | | 19,499 | |
* | Knowles Corp. | | 1,461,071 | | 19,447 | |
* | Hub Group Inc. Class A | | 517,621 | | 19,188 | |
| McGrath RentCorp | | 371,496 | | 19,125 | |
* | Huron Consulting Group Inc. | | 366,723 | | 18,817 | |
| Rush Enterprises Inc. Class A | | 494,902 | | 17,064 | |
| Navigant Consulting Inc. | | 688,783 | | 16,565 | |
* | Sykes Enterprises Inc. | | 653,661 | | 16,165 | |
| Encore Wire Corp. | | 321,355 | | 16,126 | |
| Greif Inc. Class A | | 425,088 | | 15,775 | |
* | Atlas Air Worldwide Holdings Inc. | | 372,735 | | 15,726 | |
* | Cardtronics plc Class A | | 596,963 | | 15,521 | |
* | Pluralsight Inc. Class A | | 654,777 | | 15,420 | |
| Granite Construction Inc. | | 379,674 | | 15,293 | |
* | Atkore International Group Inc. | | 760,300 | | 15,084 | |
| Benchmark Electronics Inc. | | 706,559 | | 14,965 | |
| Boise Cascade Co. | | 626,552 | | 14,943 | |
| Aircastle Ltd. | | 863,149 | | 14,881 | |
* | TTM Technologies Inc. | | 1,508,658 | | 14,679 | |
* | TrueBlue Inc. | | 651,745 | | 14,501 | |
| Standex International Corp. | | 206,090 | | 13,845 | |
* | Milacron Holdings Corp. | | 1,154,521 | | 13,727 | |
| ArcBest Corp. | | 393,499 | | 13,481 | |
| Primoris Services Corp. | | 702,981 | | 13,448 | |
| Comfort Systems USA Inc. | | 300,282 | | 13,116 | |
| AVX Corp. | | 815,996 | | 12,444 | |
| Kforce Inc. | | 385,750 | | 11,927 | |
| MTS Systems Corp. | | 287,566 | | 11,540 | |
| Maxar Technologies Ltd. | | 952,847 | | 11,396 | |
| Wabash National Corp. | | 857,124 | | 11,211 | |
| H&E Equipment Services Inc. | | 525,018 | | 10,721 | |
| Kelly Services Inc. Class A | | 520,553 | | 10,661 | |
* | Tutor Perini Corp. | | 656,829 | | 10,490 | |
47
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Astec Industries Inc. | | 329,840 | | 9,958 | |
| Hyster-Yale Materials Handling Inc. | | 155,913 | | 9,660 | |
* | Gates Industrial Corp. plc | | 714,736 | | 9,463 | |
| Triumph Group Inc. | | 776,860 | | 8,934 | |
| Briggs & Stratton Corp. | | 662,750 | | 8,669 | |
* | Manitowoc Co. Inc. | | 585,149 | | 8,643 | |
* | Aegion Corp. Class A | | 502,084 | | 8,194 | |
* | GMS Inc. | | 541,271 | | 8,043 | |
* | Donnelley Financial Solutions Inc. | | 556,819 | | 7,812 | |
* | JELD-WEN Holding Inc. | | 541,472 | | 7,694 | |
* | Verra Mobility Corp. | | 757,057 | | 7,389 | |
* | Team Inc. | | 492,159 | | 7,210 | |
* | Wesco Aircraft Holdings Inc. | | 899,137 | | 7,103 | |
* | CIRCOR International Inc. | | 324,714 | | 6,916 | |
| Resources Connection Inc. | | 477,686 | | 6,783 | |
| Methode Electronics Inc. | | 283,530 | | 6,603 | |
| TTEC Holdings Inc. | | 228,327 | | 6,523 | |
| Griffon Corp. | | 620,495 | | 6,484 | |
| Quad/Graphics Inc. | | 504,291 | | 6,213 | |
* | MACOM Technology Solutions Holdings Inc. | | 378,058 | | 5,486 | |
| RR Donnelley & Sons Co. | | 1,105,425 | | 4,377 | |
| Rush Enterprises Inc. Class B | | 108,219 | | 3,853 | |
* | International Seaways Inc. | | 182,995 | | 3,082 | |
| Park Electrochemical Corp. | | 163,268 | | 2,950 | |
| Greif Inc. Class B | | 64,652 | | 2,871 | |
| LSC Communications Inc. | | 249,522 | | 1,747 | |
* | Armstrong Flooring Inc. | | 91,659 | | 1,085 | |
* | Livent Corp. | | 137 | | 2 | |
* | Forterra Inc. | | 132 | | 1 | |
| | | | | 5,231,680 | |
Oil & Gas (3.4%) | | | | | |
| EQT Corp. | | 4,124,665 | | 77,915 | |
| Murphy Oil Corp. | | 2,662,807 | | 62,283 | |
| PBF Energy Inc. Class A | | 1,845,426 | | 60,290 | |
* | First Solar Inc. | | 1,189,592 | | 50,504 | |
| Delek US Holdings Inc. | | 1,327,968 | | 43,172 | |
| Range Resources Corp. | | 4,043,616 | | 38,697 | |
* | Whiting Petroleum Corp. | | 1,473,753 | | 33,439 | |
* | Equitrans Midstream Corp. | | 1,647,321 | | 32,979 | |
* | Southwestern Energy Co. | | 9,417,187 | | 32,113 | |
*,^ | Chesapeake Energy Corp. | | 14,061,390 | | 29,529 | |
| SM Energy Co. | | 1,815,399 | | 28,102 | |
| Ensco plc Class A | | 7,075,976 | | 25,191 | |
* | CNX Resources Corp. | | 2,143,922 | | 24,484 | |
* | QEP Resources Inc. | | 3,832,980 | | 21,580 | |
* | NOW Inc. | | 1,756,192 | | 20,442 | |
* | Oceaneering International Inc. | | 1,594,069 | | 19,288 | |
* | Arcosa Inc. | | 671,525 | | 18,595 | |
| McDermott International Inc. | | 2,783,250 | | 18,202 | |
| SemGroup Corp. Class A | | 1,280,543 | | 17,646 | |
* | Dril-Quip Inc. | | 578,230 | | 17,364 | |
* | Rowan Cos. plc Class A | | 2,058,846 | | 17,274 | |
* | MRC Global Inc. | | 1,387,686 | | 16,971 | |
| CVR Energy Inc. | | 487,734 | | 16,817 | |
| Archrock Inc. | | 2,094,013 | | 15,684 | |
* | Oasis Petroleum Inc. | | 2,571,939 | | 14,223 | |
* | C&J Energy Services Inc. | | 977,334 | | 13,194 | |
* | Denbury Resources Inc. | | 7,540,048 | | 12,894 | |
* | Helix Energy Solutions Group Inc. | | 2,303,449 | | 12,462 | |
* | Oil States International Inc. | | 869,385 | | 12,415 | |
* | Unit Corp. | | 828,605 | | 11,833 | |
| Nabors Industries Ltd. | | 5,560,051 | | 11,120 | |
* | Noble Corp. plc | | 4,044,722 | | 10,597 | |
*,^ | Diamond Offshore Drilling Inc. | | 996,931 | | 9,411 | |
48
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
* | Superior Energy Services Inc. | | 2,538,056 | | 8,503 | |
* | ProPetro Holding Corp. | | 684,179 | | 8,429 | |
* | Gulfport Energy Corp. | | 1,190,675 | | 7,799 | |
* | KLX Energy Services Holdings Inc. | | 295,074 | | 6,920 | |
*,^ | SunPower Corp. Class A | | 1,048,470 | | 5,211 | |
* | Exterran Corp. | | 246,557 | | 4,364 | |
| Green Plains Inc. | | 325,510 | | 4,267 | |
* | Roan Resources Inc. | | 302,191 | | 2,532 | |
| Berry Petroleum Corp. | | 207,730 | | 1,818 | |
*,^ | Covia Holdings Corp. | | 335,567 | | 1,148 | |
* | Alta Mesa Resources Inc. Class A | | 680,944 | | 681 | |
* | EP Energy Corp. Class A | | 409,061 | | 286 | |
* | Magnolia Oil & Gas Corp. | | 6,784 | | 76 | |
| Helmerich & Payne Inc. | | 360 | | 17 | |
* | TETRA Technologies Inc. | | 798 | | 1 | |
| | | | | 898,762 | |
Other (0.0%)2 | | | | | |
*,§ | Herbalife Ltd. CVR | | 147,396 | | 1,430 | |
*,§ | A Schulman Inc. CVR | | 420,351 | | 803 | |
*,§ | Clinical Data CVR | | 62,138 | | — | |
| | | | | 2,233 | |
Technology (6.6%) | | | | | |
| Leidos Holdings Inc. | | 2,428,295 | | 128,020 | |
* | ON Semiconductor Corp. | | 6,824,504 | | 112,673 | |
| Teradyne Inc. | | 2,906,118 | | 91,194 | |
* | ARRIS International plc | | 2,677,486 | | 81,851 | |
| Cypress Semiconductor Corp. | | 5,866,893 | | 74,627 | |
* | Teradata Corp. | | 1,915,780 | | 73,489 | |
* | Nuance Communications Inc. | | 4,661,653 | | 61,674 | |
* | CACI International Inc. Class A | | 402,996 | | 58,044 | |
| SYNNEX Corp. | | 663,497 | | 53,637 | |
* | CommScope Holding Co. Inc. | | 3,114,180 | | 51,041 | |
* | Tech Data Corp. | | 621,597 | | 50,853 | |
* | Semtech Corp. | | 1,066,843 | | 48,936 | |
* | Verint Systems Inc. | | 1,050,460 | | 44,445 | |
* | NCR Corp. | | 1,915,267 | | 44,204 | |
| Science Applications International Corp. | | 688,357 | | 43,848 | |
| Cabot Microelectronics Corp. | | 440,575 | | 42,009 | |
* | Finisar Corp. | | 1,901,563 | | 41,074 | |
| Perspecta Inc. | | 2,264,853 | | 39,001 | |
* | Premier Inc. Class A | | 1,032,111 | | 38,549 | |
* | Viavi Solutions Inc. | | 3,700,787 | | 37,193 | |
* | Cirrus Logic Inc. | | 969,654 | | 32,173 | |
* | EchoStar Corp. Class A | | 785,802 | | 28,855 | |
* | NetScout Systems Inc. | | 1,194,922 | | 28,236 | |
* | Avaya Holdings Corp. | | 1,781,337 | | 25,936 | |
| Progress Software Corp. | | 726,674 | | 25,790 | |
* | NETGEAR Inc. | | 485,824 | | 25,277 | |
* | Insight Enterprises Inc. | | 573,578 | | 23,373 | |
* | Synaptics Inc. | | 560,762 | | 20,866 | |
* | Blucora Inc. | | 738,392 | | 19,671 | |
*,^ | MongoDB Inc. | | 216,636 | | 18,141 | |
| TiVo Corp. | | 1,917,571 | | 18,044 | |
| Pitney Bowes Inc. | | 3,039,083 | | 17,961 | |
* | Electronics For Imaging Inc. | | 710,178 | | 17,612 | |
| CSG Systems International Inc. | | 537,718 | | 17,083 | |
* | Zuora Inc. Class A | | 892,031 | | 16,182 | |
* | Pivotal Software Inc. Class A | | 928,379 | | 15,179 | |
| Xperi Corp. | | 781,122 | | 14,365 | |
* | ScanSource Inc. | | 412,804 | | 14,192 | |
* | Rambus Inc. | | 1,749,170 | | 13,416 | |
* | Yext Inc. | | 876,571 | | 13,017 | |
* | NextGen Healthcare Inc. | | 836,139 | | 12,668 | |
*,^ | Appian Corp. Class A | | 411,008 | | 10,978 | |
49
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Shares | | Market
Value
($000 | ) |
| Monotype Imaging Holdings Inc. | | 637,360 | | 9,892 | |
*,^ | Unisys Corp. | | 835,197 | | 9,713 | |
* | Amkor Technology Inc. | | 1,354,436 | | 8,885 | |
* | FormFactor Inc. | | 608,539 | | 8,574 | |
| ADTRAN Inc. | | 781,119 | | 8,389 | |
| Presidio Inc. | | 609,183 | | 7,950 | |
* | Casa Systems Inc. | | 402,115 | | 5,280 | |
*,^ | Avalara Inc. | | 164,579 | | 5,127 | |
*,^ | Elastic NV | | 57,755 | | 4,128 | |
* | SVMK Inc. | | 303,450 | | 3,723 | |
| Systemax Inc. | | 124,804 | | 2,982 | |
| Computer Programs & Systems Inc. | | 113,557 | | 2,850 | |
* | Ribbon Communications Inc. | | 465,109 | | 2,242 | |
^ | Diebold Nixdorf Inc. | | 601,302 | | 1,497 | |
* | Okta Inc. | | 1,674 | | 107 | |
* | Anaplan Inc. | | 2,745 | | 73 | |
*,^ | Eventbrite Inc. Class A | | 2,269 | | 63 | |
* | Cloudera Inc. | | 742 | | 8 | |
| Plantronics Inc. | | 210 | | 7 | |
* | Carbon Black Inc. | | 53 | | 1 | |
* | salesforce.com Inc. | | 2 | | — | |
| | | | | 1,726,868 | |
Telecommunications (0.7%) | | | | | |
| Telephone & Data Systems Inc. | | 1,539,528 | | 50,096 | |
* | Vonage Holdings Corp. | | 3,488,803 | | 30,457 | |
* | Intelsat SA | | 1,331,122 | | 28,473 | |
* | Iridium Communications Inc. | | 1,534,589 | | 28,313 | |
* | United States Cellular Corp. | | 257,927 | | 13,404 | |
* | 8x8 Inc. | | 731,520 | | 13,197 | |
| Consolidated Communications Holdings Inc. | | 1,107,070 | | 10,938 | |
*,^ | Frontier Communications Corp. | | 1,755,370 | | 4,178 | |
| | | | | 179,056 | |
Utilities (6.1%) | | | | | |
| Atmos Energy Corp. | | 1,809,845 | | 167,809 | |
| UGI Corp. | | 2,824,315 | | 150,677 | |
| Aqua America Inc. | | 2,884,073 | | 98,607 | |
| Vectren Corp. | | 1,349,070 | | 97,106 | |
| NRG Energy Inc. | | 2,232,733 | | 88,416 | |
| IDACORP Inc. | | 817,550 | | 76,081 | |
| National Fuel Gas Co. | | 1,367,247 | | 69,976 | |
| ONE Gas Inc. | | 853,839 | | 67,966 | |
| Portland General Electric Co. | | 1,447,711 | | 66,378 | |
| New Jersey Resources Corp. | | 1,435,320 | | 65,551 | |
| Hawaiian Electric Industries Inc. | | 1,766,727 | | 64,698 | |
| ALLETE Inc. | | 833,734 | | 63,547 | |
| Southwest Gas Holdings Inc. | | 805,311 | | 61,606 | |
| Black Hills Corp. | | 972,887 | | 61,078 | |
| Spire Inc. | | 781,794 | | 57,915 | |
| PNM Resources Inc. | | 1,291,079 | | 53,050 | |
| NorthWestern Corp. | | 816,153 | | 48,512 | |
| Avista Corp. | | 1,066,065 | | 45,286 | |
| American States Water Co. | | 595,543 | | 39,925 | |
| South Jersey Industries Inc. | | 1,386,234 | | 38,537 | |
| California Water Service Group | | 777,499 | | 37,056 | |
| MGE Energy Inc. | | 560,374 | | 33,600 | |
| El Paso Electric Co. | | 659,185 | | 33,045 | |
| Northwest Natural Holding Co. | | 467,014 | | 28,236 | |
* | Vistra Energy Corp. | | 5,810 | | 133 | |
| SCANA Corp. | | 2,618 | | 125 | |
| | | | | 1,614,916 | |
Total Common Stocks (Cost $25,819,893) | | | | 26,226,663 | |
50
Vanguard® Small-Cap Value Index Fund
Schedule of Investments
December 31, 2018
| | | Coupon | | | | Shares | | Market
Value
($000 | ) |
Temporary Cash Investments (0.8%)1 | | | | | | | | | |
Money Market Fund (0.8%) | | | | | | | | | |
3,4 | Vanguard Market Liquidity Fund | | 2.530% | | | | 2,057,210 | | 205,721 | |
| | | | | | | | | | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
U.S. Government and Agency Obligations (0.0%) | | | | | | | |
5 | United States Treasury Bill | | 2.439% | | 4/11/19 | | 1,500 | | 1,490 | |
5 | United States Treasury Bill | | 2.497% | | 5/23/19 | | 3,000 | | 2,972 | |
| | | | | | | | | 4,462 | |
Total Temporary Cash Investments (Cost $210,161) | | | | | | 210,183 | |
Total Investments (100.5%) (Cost $26,030,054) | | | | | | | | 26,436,846 | |
Other Assets and Liabilities—Net (-0.5%)4,6 | | | | | | | | (132,120 | ) |
Net Assets (100%) | | | | | | | | 26,304,726 | |
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $119,085,000. |
§ | Security value determined using significant unobservable inputs. |
1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.5%, respectively, of net assets. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
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 | Includes $136,133,000 of collateral received for securities on loan. |
5 | Securities with a value of $3,617,000 have been segregated as initial margin for open futures contracts. |
6 | Cash of $190,000 has been segregated as collateral for open over-the-counter swap contracts. |
| CVR—Contingent Value Rights. |
| REIT—Real Estate Investment Trust. |
51
| © 2019 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. SNA480 022019 |
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
Common Stocks (99.0%)1 | | |
Communication Services (4.9%) | | |
* | T-Mobile US Inc. | 4,306,485 | 273,936 |
* | IAC/InterActiveCorp | 1,067,330 | 195,364 |
* | Liberty Global plc | 8,381,998 | 173,004 |
* | Liberty Broadband Corp. | 2,056,014 | 148,095 |
*,^ | Sirius XM Holdings Inc. | 17,623,348 | 100,629 |
* | Live Nation Entertainment Inc. | 1,893,909 | 93,275 |
* | Liberty Media Corp-Liberty Formula One | 2,796,548 | 85,854 |
* | Liberty Media Corp-Liberty SiriusXM Class C | 2,256,126 | 83,432 |
* | Zayo Group Holdings Inc. | 2,784,812 | 63,605 |
* | Madison Square Garden Co. Class A | 237,539 | 63,589 |
* | Liberty Global plc Class A | 2,619,993 | 55,911 |
* | GCI Liberty Inc. Class A | 1,351,849 | 55,642 |
| Cable One Inc. | 66,936 | 54,894 |
*,^ | Zillow Group Inc. | 1,685,016 | 53,213 |
*,^ | Snap Inc. | 9,557,754 | 52,663 |
| Cinemark Holdings Inc. | 1,455,963 | 52,124 |
| Tribune Media Co. Class A | 1,106,238 | 50,201 |
| Nexstar Media Group Inc. Class A | 624,164 | 49,084 |
* | Sprint Corp. | 7,809,159 | 45,449 |
| World Wrestling Entertainment Inc. Class A | 594,077 | 44,389 |
| New York Times Co. Class A | 1,934,121 | 43,112 |
* | Zynga Inc. Class A | 10,655,193 | 41,875 |
| Telephone & Data Systems Inc. | 1,276,501 | 41,537 |
* | Liberty Media Corp-Liberty SiriusXM Class A | 1,061,693 | 39,070 |
* | Yelp Inc. Class A | 1,048,335 | 36,681 |
* | AMC Networks Inc. Class A | 615,813 | 33,796 |
| TEGNA Inc. | 2,952,692 | 32,096 |
^ | Match Group Inc. | 721,581 | 30,862 |
| John Wiley & Sons Inc. Class A | 634,776 | 29,815 |
* | Pandora Media Inc. | 3,684,026 | 29,804 |
| Meredith Corp. | 546,412 | 28,381 |
| Shenandoah Telecommunications Co. | 633,678 | 28,040 |
* | Liberty Broadband Corp. Class A | 387,939 | 27,858 |
| Altice USA Inc. Class A | 1,647,769 | 27,221 |
* | Vonage Holdings Corp. | 3,020,760 | 26,371 |
| Cogent Communications Holdings Inc. | 574,136 | 25,957 |
| Sinclair Broadcast Group Inc. Class A | 984,182 | 25,923 |
* | Iridium Communications Inc. | 1,327,364 | 24,490 |
* | Liberty Latin America Ltd. | 1,634,966 | 23,822 |
| Lions Gate Entertainment Corp. Class B | 1,555,956 | 23,153 |
* | MSG Networks Inc. | 845,833 | 19,928 |
* | Cars.com Inc. | 873,884 | 18,789 |
* | Zillow Group Inc. Class A | 577,116 | 18,139 |
* | Liberty TripAdvisor Holdings Inc. Class A | 990,656 | 15,742 |
* | Gray Television Inc. | 1,060,299 | 15,629 |
| Scholastic Corp. | 387,292 | 15,592 |
* | Cargurus Inc. | 454,057 | 15,315 |
| Gannett Co. Inc. | 1,557,783 | 13,288 |
* | Liberty Media Corp-Liberty Braves | 516,489 | 12,855 |
| EW Scripps Co. Class A | 784,640 | 12,342 |
* | ANGI Homeservices Inc. Class A | 765,948 | 12,309 |
* | Glu Mobile Inc. | 1,515,839 | 12,233 |
* | Boingo Wireless Inc. | 587,422 | 12,083 |
| Marcus Corp. | 274,059 | 10,825 |
| ATN International Inc. | 151,056 | 10,805 |
| Lions Gate Entertainment Corp. Class A | 661,497 | 10,650 |
* | TrueCar Inc. | 1,152,569 | 10,442 |
* | United States Cellular Corp. | 199,638 | 10,375 |
* | Liberty Media Corp-Liberty Formula One Class A | 338,833 | 10,070 |
| Entercom Communications Corp. Class A | 1,694,698 | 9,677 |
| Consolidated Communications Holdings Inc. | 973,715 | 9,620 |
1
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | ORBCOMM Inc. | 1,081,978 | 8,937 |
* | comScore Inc. | 614,130 | 8,862 |
| AMC Entertainment Holdings Inc. Class A | 718,165 | 8,819 |
* | Liberty Latin America Ltd. Class A | 604,224 | 8,749 |
| New Media Investment Group Inc. | 750,122 | 8,679 |
* | QuinStreet Inc. | 524,700 | 8,516 |
* | Care.com Inc. | 359,806 | 6,948 |
* | Loral Space & Communications Inc. | 177,237 | 6,602 |
*,^ | NII Holdings Inc. | 1,368,334 | 6,034 |
*,^ | Globalstar Inc. | 8,736,125 | 5,589 |
| National CineMedia Inc. | 860,593 | 5,577 |
* | Cincinnati Bell Inc. | 691,024 | 5,376 |
* | pdvWireless Inc. | 129,264 | 4,833 |
* | Meet Group Inc. | 1,012,259 | 4,687 |
* | Rosetta Stone Inc. | 271,887 | 4,459 |
*,^ | Eventbrite Inc. Class A | 156,605 | 4,355 |
| Emerald Expositions Events Inc. | 352,733 | 4,353 |
* | Central European Media Enterprises Ltd. Class A | 1,431,135 | 3,979 |
* | TechTarget Inc. | 310,707 | 3,794 |
*,^ | Frontier Communications Corp. | 1,419,570 | 3,379 |
* | Tribune Publishing Co. | 296,173 | 3,359 |
| Spok Holdings Inc. | 250,903 | 3,327 |
* | Bandwidth Inc. Class A | 78,091 | 3,182 |
* | Ooma Inc. | 229,018 | 3,179 |
*,^ | Daily Journal Corp. | 13,381 | 3,131 |
* | Reading International Inc. Class A | 213,227 | 3,100 |
| Entravision Communications Corp. Class A | 981,092 | 2,855 |
| Clear Channel Outdoor Holdings Inc. Class A | 547,129 | 2,840 |
* | Liberty Media Corp-Liberty Braves Class A | 111,679 | 2,785 |
* | WideOpenWest Inc. | 387,481 | 2,763 |
*,^ | Boston Omaha Corp. Class A | 114,897 | 2,689 |
* | Hemisphere Media Group Inc. Class A | 192,859 | 2,341 |
*,^ | Gogo Inc. | 740,937 | 2,215 |
| Saga Communications Inc. Class A | 60,105 | 1,997 |
* | Fluent Inc. | 517,705 | 1,864 |
*,^ | Global Eagle Entertainment Inc. | 811,036 | 1,809 |
| IDT Corp. Class B | 290,746 | 1,800 |
* | Lee Enterprises Inc. | 650,569 | 1,373 |
* | Cardlytics Inc. | 125,919 | 1,364 |
*,^ | Pareteum Corp. | 774,194 | 1,308 |
*,^ | LiveXLive Media Inc. | 255,400 | 1,264 |
| Windstream Holdings Inc. | 575,665 | 1,203 |
* | DHI Group Inc. | 658,744 | 1,001 |
| Marchex Inc. Class B | 361,485 | 958 |
* | Alaska Communications Systems Group Inc. | 539,199 | 776 |
* | Travelzoo | 75,549 | 743 |
| AH Belo Corp. Class A | 209,330 | 705 |
| Townsquare Media Inc. Class A | 132,690 | 541 |
* | AutoWeb Inc. | 151,988 | 464 |
| Beasley Broadcast Group Inc. Class A | 110,510 | 414 |
* | Urban One Inc. | 239,794 | 386 |
^ | Chicken Soup For The Soul Entertainment Inc. | 49,094 | 369 |
* | Level Brands Inc. | 111,910 | 346 |
| Salem Media Group Inc. Class A | 117,723 | 246 |
* | Ballantyne Strong Inc. | 208,983 | 240 |
* | Otelco Inc. Class A | 13,014 | 210 |
*,^ | EverQuote Inc. Class A | 50,045 | 209 |
* | Zedge Inc. Class B | 78,380 | 192 |
* | Insignia Systems Inc. | 125,777 | 187 |
*,^ | Social Reality Inc. | 74,416 | 152 |
* | Emmis Communications Corp. Class A | 39,266 | 125 |
* | McClatchy Co. Class A | 12,230 | 94 |
*,^ | IZEA Worldwide Inc. | 92,728 | 91 |
| Harte-Hanks Inc. | 32,072 | 78 |
2
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Dolphin Entertainment Inc. | 99,800 | 77 |
| John Wiley & Sons Inc. Class B | 1,480 | 69 |
* | Cinedigm Corp. Class A | 112,137 | 61 |
*,^ | One Horizon Group Inc. | 576,312 | 52 |
* | SPAR Group Inc. | 80,427 | 40 |
* | NTN Buzztime Inc. | 16,227 | 32 |
*,^ | Professional Diversity Network Inc. | 21,000 | 21 |
*,^ | Glowpoint Inc. | 89,200 | 11 |
* | Xcel Brands Inc. | 6,863 | 8 |
*,^ | Urban One Inc. Class A | 2,500 | 5 |
*,^ | Alliance MMA Inc. | 29,830 | 5 |
| | | 2,874,108 |
Consumer Discretionary (11.9%) | | |
*,^ | Tesla Inc. | 1,858,936 | 618,654 |
| Las Vegas Sands Corp. | 5,056,260 | 263,178 |
* | Lululemon Athletica Inc. | 1,447,182 | 175,992 |
* | Burlington Stores Inc. | 924,714 | 150,423 |
| Domino’s Pizza Inc. | 570,934 | 141,586 |
| Vail Resorts Inc. | 553,456 | 116,680 |
* | NVR Inc. | 46,618 | 113,608 |
* | Qurate Retail Group Inc. QVC Group Class A | 5,770,641 | 112,643 |
| Lear Corp. | 880,255 | 108,148 |
| Service Corp. International | 2,479,239 | 99,814 |
| Aramark | 3,373,705 | 97,736 |
* | GrubHub Inc. | 1,245,109 | 95,637 |
* | Bright Horizons Family Solutions Inc. | 801,739 | 89,354 |
^ | Autoliv Inc. | 1,193,469 | 83,817 |
| Pool Corp. | 550,478 | 81,829 |
* | Etsy Inc. | 1,654,338 | 78,697 |
* | Five Below Inc. | 765,079 | 78,283 |
*,^ | Wayfair Inc. | 848,767 | 76,457 |
| Gentex Corp. | 3,597,653 | 72,709 |
| Dunkin’ Brands Group Inc. | 1,132,312 | 72,604 |
* | ServiceMaster Global Holdings Inc. | 1,859,661 | 68,324 |
* | Planet Fitness Inc. Class A | 1,206,892 | 64,714 |
* | Grand Canyon Education Inc. | 658,644 | 63,322 |
| Wyndham Hotels & Resorts Inc. | 1,357,155 | 61,574 |
| Toll Brothers Inc. | 1,856,358 | 61,130 |
| Polaris Industries Inc. | 793,755 | 60,865 |
^ | Williams-Sonoma Inc. | 1,096,619 | 55,324 |
| Brunswick Corp. | 1,183,160 | 54,958 |
| Six Flags Entertainment Corp. | 983,948 | 54,737 |
| Texas Roadhouse Inc. Class A | 913,245 | 54,521 |
*,^ | Caesars Entertainment Corp. | 7,977,352 | 54,166 |
| Cracker Barrel Old Country Store Inc. | 329,106 | 52,611 |
| Carter’s Inc. | 627,904 | 51,250 |
* | Deckers Outdoor Corp. | 398,512 | 50,990 |
| Wyndham Destinations Inc. | 1,332,226 | 47,747 |
* | Helen of Troy Ltd. | 361,506 | 47,422 |
* | Ollie’s Bargain Outlet Holdings Inc. | 705,575 | 46,928 |
| American Eagle Outfitters Inc. | 2,309,007 | 44,633 |
* | Skechers U.S.A. Inc. Class A | 1,836,876 | 42,046 |
| Wolverine World Wide Inc. | 1,297,735 | 41,385 |
* | Chegg Inc. | 1,418,673 | 40,319 |
| Churchill Downs Inc. | 164,165 | 40,046 |
| Wendy’s Co. | 2,560,434 | 39,968 |
| Extended Stay America Inc. | 2,575,364 | 39,918 |
| Aaron’s Inc. | 941,127 | 39,574 |
| Hyatt Hotels Corp. Class A | 584,644 | 39,522 |
| Marriott Vacations Worldwide Corp. | 560,096 | 39,492 |
| Graham Holdings Co. Class B | 59,777 | 38,292 |
* | Adtalem Global Education Inc. | 805,202 | 38,102 |
* | Stamps.com Inc. | 233,827 | 36,393 |
* | Dorman Products Inc. | 400,016 | 36,009 |
3
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Thor Industries Inc. | 686,768 | 35,712 |
* | Hilton Grand Vacations Inc. | 1,331,520 | 35,139 |
* | Urban Outfitters Inc. | 1,032,363 | 34,274 |
| Columbia Sportswear Co. | 407,129 | 34,235 |
| Choice Hotels International Inc. | 470,824 | 33,702 |
| Strategic Education Inc. | 295,834 | 33,553 |
| Steven Madden Ltd. | 1,089,556 | 32,970 |
* | Eldorado Resorts Inc. | 892,742 | 32,326 |
*,^ | iRobot Corp. | 379,445 | 31,775 |
| Dick’s Sporting Goods Inc. | 1,011,389 | 31,555 |
* | Murphy USA Inc. | 410,112 | 31,431 |
| Monro Inc. | 453,166 | 31,155 |
*,^ | RH | 256,703 | 30,758 |
* | Belmond Ltd. Class A | 1,227,906 | 30,734 |
* | Fox Factory Holding Corp. | 520,664 | 30,651 |
* | Liberty Expedia Holdings Inc. Class A | 747,127 | 29,220 |
*,^ | Veoneer Inc. | 1,198,880 | 28,258 |
* | AutoNation Inc. | 789,279 | 28,177 |
* | Sally Beauty Holdings Inc. | 1,647,867 | 28,096 |
* | Penn National Gaming Inc. | 1,484,996 | 27,962 |
| Jack in the Box Inc. | 351,507 | 27,287 |
| Dana Inc. | 1,984,251 | 27,045 |
*,^ | Tempur Sealy International Inc. | 628,032 | 26,001 |
| Wingstop Inc. | 400,648 | 25,718 |
* | Taylor Morrison Home Corp. Class A | 1,604,984 | 25,519 |
* | National Vision Holdings Inc. | 888,592 | 25,032 |
| Cheesecake Factory Inc. | 571,599 | 24,870 |
* | frontdoor Inc. | 928,270 | 24,701 |
* | Visteon Corp. | 406,608 | 24,510 |
* | Crocs Inc. | 914,503 | 23,759 |
| Dave & Buster’s Entertainment Inc. | 529,094 | 23,576 |
| Lithia Motors Inc. Class A | 307,753 | 23,491 |
| LCI Industries | 347,797 | 23,233 |
| Brinker International Inc. | 527,631 | 23,205 |
| DSW Inc. Class A | 931,644 | 23,012 |
| Boyd Gaming Corp. | 1,106,561 | 22,994 |
| Bloomin’ Brands Inc. | 1,262,663 | 22,589 |
| Signet Jewelers Ltd. | 710,224 | 22,564 |
| KB Home | 1,179,800 | 22,534 |
| Cooper Tire & Rubber Co. | 686,132 | 22,183 |
* | TopBuild Corp. | 486,671 | 21,900 |
| Bed Bath & Beyond Inc. | 1,892,298 | 21,421 |
* | TRI Pointe Group Inc. | 1,937,395 | 21,176 |
* | Roku Inc. | 686,564 | 21,036 |
| Tupperware Brands Corp. | 665,336 | 21,005 |
* | Weight Watchers International Inc. | 529,807 | 20,424 |
* | SeaWorld Entertainment Inc. | 923,467 | 20,399 |
* | Floor & Decor Holdings Inc. Class A | 786,631 | 20,374 |
| Penske Automotive Group Inc. | 499,776 | 20,151 |
| Children’s Place Inc. | 221,713 | 19,974 |
| Red Rock Resorts Inc. Class A | 958,835 | 19,474 |
| Office Depot Inc. | 7,521,621 | 19,406 |
* | Gentherm Inc. | 480,928 | 19,228 |
| Tenneco Inc. Class A | 692,006 | 18,954 |
* | Sotheby’s | 476,444 | 18,934 |
* | Meritage Homes Corp. | 513,828 | 18,868 |
| Callaway Golf Co. | 1,215,490 | 18,597 |
* | Shutterfly Inc. | 460,340 | 18,533 |
| Abercrombie & Fitch Co. | 902,901 | 18,103 |
| Adient plc | 1,197,239 | 18,030 |
* | Groupon Inc. Class A | 5,631,762 | 18,022 |
| La-Z-Boy Inc. | 647,215 | 17,934 |
* | Asbury Automotive Group Inc. | 269,034 | 17,934 |
| Nutrisystem Inc. | 402,878 | 17,678 |
4
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| GameStop Corp. Class A | 1,400,206 | 17,671 |
| MDC Holdings Inc. | 618,837 | 17,396 |
| Delphi Technologies plc | 1,212,873 | 17,368 |
* | American Axle & Manufacturing Holdings Inc. | 1,537,743 | 17,069 |
| Oxford Industries Inc. | 236,200 | 16,780 |
| Caleres Inc. | 599,217 | 16,676 |
* | Michaels Cos. Inc. | 1,231,188 | 16,670 |
| Dine Brands Global Inc. | 243,875 | 16,423 |
| Guess? Inc. | 784,491 | 16,294 |
* | G-III Apparel Group Ltd. | 574,440 | 16,021 |
* | Shake Shack Inc. Class A | 352,725 | 16,021 |
| Big Lots Inc. | 548,998 | 15,877 |
^ | Dillard’s Inc. Class A | 254,233 | 15,333 |
* | Cavco Industries Inc. | 117,492 | 15,319 |
| International Speedway Corp. Class A | 340,900 | 14,952 |
| BJ’s Restaurants Inc. | 290,621 | 14,697 |
| Core-Mark Holding Co. Inc. | 628,947 | 14,623 |
*,^ | Carvana Co. Class A | 446,053 | 14,590 |
* | Sleep Number Corp. | 453,673 | 14,395 |
* | Cooper-Standard Holdings Inc. | 226,610 | 14,077 |
* | Denny’s Corp. | 867,930 | 14,069 |
* | Laureate Education Inc. Class A | 915,313 | 13,949 |
* | Scientific Games Corp. | 752,637 | 13,457 |
| Standard Motor Products Inc. | 275,121 | 13,324 |
| Group 1 Automotive Inc. | 249,030 | 13,129 |
| Sturm Ruger & Co. Inc. | 239,861 | 12,765 |
* | K12 Inc. | 514,435 | 12,753 |
* | Houghton Mifflin Harcourt Co. | 1,420,826 | 12,589 |
* | Garrett Motion Inc. | 1,016,227 | 12,540 |
| Papa John’s International Inc. | 307,868 | 12,256 |
* | Genesco Inc. | 275,914 | 12,223 |
* | Quotient Technology Inc. | 1,094,886 | 11,693 |
*,^ | LGI Homes Inc. | 255,031 | 11,533 |
* | Career Education Corp. | 961,657 | 10,982 |
* | Installed Building Products Inc. | 303,841 | 10,236 |
| Acushnet Holdings Corp. | 475,509 | 10,019 |
* | Malibu Boats Inc. Class A | 284,883 | 9,914 |
* | Fossil Group Inc. | 625,158 | 9,834 |
| Chico’s FAS Inc. | 1,745,240 | 9,808 |
* | Rent-A-Center Inc. | 604,358 | 9,785 |
| Winnebago Industries Inc. | 397,505 | 9,624 |
* | American Outdoor Brands Corp. | 743,465 | 9,561 |
| Tailored Brands Inc. | 685,227 | 9,346 |
| Shutterstock Inc. | 256,683 | 9,243 |
* | Stoneridge Inc. | 373,188 | 9,199 |
| Ruth’s Hospitality Group Inc. | 403,791 | 9,178 |
* | Vista Outdoor Inc. | 796,367 | 9,039 |
* | M/I Homes Inc. | 394,450 | 8,291 |
* | Regis Corp. | 471,233 | 7,987 |
* | Party City Holdco Inc. | 786,545 | 7,850 |
| Skyline Champion Corp. | 529,153 | 7,773 |
* | Modine Manufacturing Co. | 704,745 | 7,618 |
^ | Buckle Inc. | 392,745 | 7,596 |
* | PlayAGS Inc. | 317,641 | 7,306 |
| Movado Group Inc. | 226,728 | 7,169 |
| Tower International Inc. | 290,472 | 6,913 |
* | At Home Group Inc. | 370,222 | 6,908 |
*,^ | GoPro Inc. Class A | 1,551,220 | 6,577 |
^ | PetMed Express Inc. | 282,238 | 6,565 |
* | Boot Barn Holdings Inc. | 385,123 | 6,559 |
* | Century Communities Inc. | 371,958 | 6,420 |
* | America’s Car-Mart Inc. | 88,380 | 6,403 |
* | Conn’s Inc. | 338,101 | 6,377 |
* | Monarch Casino & Resort Inc. | 165,656 | 6,318 |
5
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | American Public Education Inc. | 220,798 | 6,284 |
| Ethan Allen Interiors Inc. | 344,541 | 6,060 |
* | Ascena Retail Group Inc. | 2,377,298 | 5,967 |
* | MarineMax Inc. | 311,304 | 5,700 |
* | Playa Hotels & Resorts NV | 775,802 | 5,578 |
| Barnes & Noble Inc. | 782,001 | 5,544 |
| BBX Capital Corp. Class A | 944,079 | 5,410 |
*,^ | Stitch Fix Inc. Class A | 307,582 | 5,257 |
| Winmark Corp. | 33,028 | 5,251 |
* | Lindblad Expeditions Holdings Inc. | 388,043 | 5,223 |
^ | Camping World Holdings Inc. Class A | 450,196 | 5,164 |
* | Del Taco Restaurants Inc. | 515,439 | 5,149 |
* | Express Inc. | 997,578 | 5,098 |
* | Fiesta Restaurant Group Inc. | 325,225 | 5,044 |
| Haverty Furniture Cos. Inc. | 267,613 | 5,026 |
* | Universal Electronics Inc. | 195,913 | 4,953 |
* | Zumiez Inc. | 257,205 | 4,931 |
| Johnson Outdoors Inc. Class A | 82,982 | 4,874 |
* | El Pollo Loco Holdings Inc. | 321,059 | 4,870 |
* | William Lyon Homes Class A | 451,268 | 4,824 |
| Shoe Carnival Inc. | 142,827 | 4,786 |
* | MasterCraft Boat Holdings Inc. | 255,111 | 4,771 |
* | Carrols Restaurant Group Inc. | 482,487 | 4,748 |
* | Red Robin Gourmet Burgers Inc. | 177,477 | 4,742 |
| Cato Corp. Class A | 326,876 | 4,665 |
*,^ | JC Penney Co. Inc. | 4,403,145 | 4,579 |
| Sonic Automotive Inc. Class A | 331,232 | 4,558 |
* | Beazer Homes USA Inc. | 480,381 | 4,554 |
* | Unifi Inc. | 198,437 | 4,532 |
* | Nautilus Inc. | 409,593 | 4,465 |
| Hooker Furniture Corp. | 166,500 | 4,386 |
* | Motorcar Parts of America Inc. | 262,276 | 4,364 |
* | Golden Entertainment Inc. | 267,267 | 4,282 |
* | Chuy’s Holdings Inc. | 240,057 | 4,259 |
* | 1-800-Flowers.com Inc. Class A | 344,158 | 4,209 |
*,^ | Overstock.com Inc. | 308,947 | 4,196 |
* | Bojangles’ Inc. | 249,124 | 4,006 |
* | ZAGG Inc. | 405,667 | 3,967 |
*,^ | Noodles & Co. Class A | 554,867 | 3,879 |
* | Hibbett Sports Inc. | 264,843 | 3,787 |
* | Lumber Liquidators Holdings Inc. | 388,982 | 3,703 |
| Speedway Motorsports Inc. | 218,818 | 3,560 |
| Citi Trends Inc. | 171,007 | 3,487 |
*,^ | Duluth Holdings Inc. | 135,821 | 3,427 |
| Clarus Corp. | 331,237 | 3,352 |
* | Drive Shack Inc. | 851,296 | 3,337 |
*,^ | Lands’ End Inc. | 227,801 | 3,237 |
| Carriage Services Inc. Class A | 207,940 | 3,223 |
| Tilly’s Inc. Class A | 290,537 | 3,155 |
* | Habit Restaurants Inc. Class A | 299,701 | 3,147 |
* | YETI Holdings Inc. | 206,000 | 3,057 |
| Tile Shop Holdings Inc. | 550,922 | 3,019 |
* | Potbelly Corp. | 365,281 | 2,941 |
| Bassett Furniture Industries Inc. | 144,743 | 2,901 |
* | Century Casinos Inc. | 389,890 | 2,881 |
* | Del Frisco’s Restaurant Group Inc. | 396,219 | 2,833 |
| RCI Hospitality Holdings Inc. | 121,812 | 2,720 |
*,^ | GNC Holdings Inc. Class A | 1,140,072 | 2,702 |
| Culp Inc. | 142,664 | 2,696 |
| Nathan’s Famous Inc. | 39,865 | 2,649 |
* | Liquidity Services Inc. | 426,019 | 2,629 |
* | Vera Bradley Inc. | 305,246 | 2,616 |
* | Bridgepoint Education Inc. Class A | 371,079 | 2,601 |
| Rocky Brands Inc. | 99,344 | 2,583 |
6
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Flexsteel Industries Inc. | 116,192 | 2,566 |
* | Red Lion Hotels Corp. | 305,689 | 2,507 |
* | Green Brick Partners Inc. | 329,614 | 2,386 |
* | Sportsman’s Warehouse Holdings Inc. | 529,933 | 2,321 |
* | Town Sports International Holdings Inc. | 362,119 | 2,318 |
* | Barnes & Noble Education Inc. | 534,546 | 2,144 |
* | Kirkland’s Inc. | 222,422 | 2,120 |
| Weyco Group Inc. | 71,804 | 2,095 |
| Marine Products Corp. | 122,505 | 2,072 |
| Superior Group of Cos. Inc. | 116,940 | 2,064 |
* | Funko Inc. Class A | 145,658 | 1,915 |
*,^ | Sonos Inc. | 190,780 | 1,873 |
* | Lovesac Co. | 80,380 | 1,844 |
| Hamilton Beach Brands Holding Co. Class A | 75,416 | 1,769 |
* | Biglari Holdings Inc. Class B | 15,491 | 1,759 |
*,^ | Gaia Inc. Class A | 168,153 | 1,742 |
| Superior Industries International Inc. | 326,845 | 1,572 |
| Lifetime Brands Inc. | 154,073 | 1,545 |
| Escalade Inc. | 128,577 | 1,472 |
*,^ | Vuzix Corp. | 305,008 | 1,467 |
* | Leaf Group Ltd. | 213,647 | 1,463 |
* | J Alexander’s Holdings Inc. | 174,977 | 1,440 |
*,^ | Turtle Beach Corp. | 100,041 | 1,428 |
* | VOXX International Corp. Class A | 344,908 | 1,366 |
* | Delta Apparel Inc. | 79,196 | 1,365 |
| Libbey Inc. | 350,433 | 1,360 |
| Collectors Universe Inc. | 117,632 | 1,336 |
* | Hovnanian Enterprises Inc. Class A | 1,930,021 | 1,320 |
* | Shiloh Industries Inc. | 207,670 | 1,211 |
| Strattec Security Corp. | 41,856 | 1,205 |
* | Container Store Group Inc. | 244,308 | 1,165 |
*,^ | Tuesday Morning Corp. | 679,825 | 1,156 |
* | RTW RetailWinds Inc. | 404,818 | 1,146 |
* | Vitamin Shoppe Inc. | 241,233 | 1,143 |
| CSS Industries Inc. | 126,546 | 1,135 |
| Bluegreen Vacations Corp. | 87,757 | 1,135 |
* | Destination XL Group Inc. | 512,322 | 1,112 |
* | J. Jill Inc. | 198,400 | 1,057 |
* | Aspen Group Inc. | 187,581 | 1,028 |
* | New Home Co. Inc. | 194,068 | 1,015 |
* | Lakeland Industries Inc. | 93,447 | 976 |
*,^ | Fred’s Inc. Class A | 499,688 | 944 |
*,^ | Inspired Entertainment Inc. | 195,412 | 938 |
| Big 5 Sporting Goods Corp. | 360,704 | 934 |
* | JAKKS Pacific Inc. | 595,776 | 876 |
*,^ | Blue Apron Holdings Inc. Class A | 835,474 | 852 |
* | Universal Technical Institute Inc. | 216,907 | 792 |
* | Build-A-Bear Workshop Inc. | 184,011 | 727 |
| Ark Restaurants Corp. | 38,576 | 708 |
*,^ | Dover Downs Gaming & Entertainment Inc. | 226,028 | 626 |
* | Full House Resorts Inc. | 302,969 | 612 |
*,^ | Famous Dave’s of America Inc. | 115,967 | 532 |
| Educational Development Corp. | 57,944 | 494 |
*,^ | Centric Brands Inc. | 142,689 | 489 |
*,^ | Francesca’s Holdings Corp. | 489,821 | 476 |
* | Tandy Leather Factory Inc. | 82,294 | 467 |
*,^ | Horizon Global Corp. | 326,001 | 466 |
*,^ | Empire Resorts Inc. | 45,517 | 461 |
| Crown Crafts Inc. | 80,356 | 434 |
*,^ | Stein Mart Inc. | 402,522 | 431 |
* | Biglari Holdings Inc. | 723 | 425 |
* | Destination Maternity Corp. | 147,492 | 419 |
*,^ | Remark Holdings Inc. | 342,927 | 415 |
*,^ | Sequential Brands Group Inc. | 498,107 | 399 |
7
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Pier 1 Imports Inc. | 1,257,734 | 385 |
| Peak Resorts Inc. | 80,901 | 379 |
* | Vince Holding Corp. | 39,451 | 368 |
| Gaming Partners International Corp. | 27,699 | 360 |
* | FTD Cos. Inc. | 237,504 | 352 |
| Dover Motorsports Inc. | 181,111 | 340 |
* | Lincoln Educational Services Corp. | 105,855 | 339 |
* | RumbleON Inc. Class B | 57,200 | 308 |
* | Papa Murphy’s Holdings Inc. | 64,363 | 306 |
* | Emerson Radio Corp. | 206,739 | 298 |
*,^ | UQM Technologies Inc. | 340,089 | 289 |
* | ONE Group Hospitality Inc. | 81,906 | 251 |
* | EVINE Live Inc. | 627,996 | 251 |
^ | Stage Stores Inc. | 338,237 | 250 |
* | Good Times Restaurants Inc. | 96,730 | 242 |
*,^ | Blink Charging Co. | 138,197 | 238 |
*,^ | Workhorse Group Inc. | 443,667 | 234 |
| AMCON Distributing Co. | 2,126 | 212 |
* | Christopher & Banks Corp. | 414,199 | 193 |
* | Genius Brands International Inc. | 88,809 | 191 |
* | Luby’s Inc. | 146,561 | 176 |
| Flanigan’s Enterprises Inc. | 6,352 | 163 |
* | US Auto Parts Network Inc. | 177,435 | 161 |
* | Trans World Entertainment Corp. | 247,358 | 156 |
* | Forward Industries Inc. | 115,757 | 150 |
^ | FAT Brands Inc. | 30,200 | 142 |
| Unique Fabricating Inc. | 33,139 | 140 |
*,^ | Sears Hometown and Outlet Stores Inc. | 65,252 | 139 |
* | Charles & Colvard Ltd. | 150,610 | 128 |
* | Dixie Group Inc. | 168,576 | 118 |
* | Nevada Gold & Casinos Inc. | 42,560 | 101 |
* | Diversified Restaurant Holdings Inc. | 101,747 | 99 |
*,^ | Arcimoto Inc. | 36,630 | 98 |
*,^ | Nova Lifestyle Inc. | 210,360 | 97 |
* | Edison Nation Inc. | 20,400 | 95 |
*,^ | Kona Grill Inc. | 86,359 | 91 |
* | Rave Restaurant Group Inc. | 103,389 | 90 |
* | Summer Infant Inc. | 85,344 | 90 |
*,^ | Cool Holdings Inc. | 43,500 | 84 |
*,^ | Iconix Brand Group Inc. | 840,129 | 70 |
* | Ascent Capital Group Inc. Class A | 176,914 | 69 |
* | Sypris Solutions Inc. | 85,553 | 67 |
* | Live Ventures Inc. | 9,510 | 64 |
* | Cherokee Inc. | 78,331 | 40 |
| Canterbury Park Holding Corp. | 2,730 | 38 |
*,^ | Chanticleer Holdings Inc. | 19,975 | 26 |
| Lennar Corp. Class A | 471 | 18 |
* | Lazydays Holdings Inc. | 3,200 | 17 |
* | Naked Brand Group Ltd. | 20,715 | 17 |
* | YogaWorks Inc. | 33,800 | 17 |
*,^ | XpresSpa Group Inc. | 108,535 | 17 |
* | Koss Corp. | 4,492 | 8 |
| Bowl America Inc. Class A | 400 | 6 |
* | CTI Industries Corp. | 1,768 | 5 |
* | Monaker Group Inc. | 4,200 | 5 |
*,^ | Comstock Holding Cos. Inc. Class A | 2,809 | 5 |
*,^ | iPic Entertainment Inc. Class A | 1,500 | 5 |
| P&F Industries Inc. Class A | 574 | 4 |
* | DGSE Cos. Inc. | 1,900 | 1 |
*,^ | ADOMANI Inc. | 1,900 | 1 |
| Lennar Corp. Class B | 6 | — |
* | CDTi Advanced Materials Inc. | 1 | — |
| | | 6,912,154 |
8
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
Consumer Staples (2.7%) | | |
| Bunge Ltd. | 1,931,572 | 103,223 |
* | US Foods Holding Corp. | 2,979,328 | 94,266 |
| Ingredion Inc. | 969,708 | 88,631 |
* | Herbalife Nutrition Ltd. | 1,432,118 | 84,423 |
* | Post Holdings Inc. | 912,572 | 81,338 |
| Casey’s General Stores Inc. | 502,077 | 64,336 |
| Keurig Dr Pepper Inc. | 2,480,543 | 63,601 |
| Lancaster Colony Corp. | 267,677 | 47,341 |
| Nu Skin Enterprises Inc. Class A | 761,770 | 46,719 |
| Flowers Foods Inc. | 2,517,051 | 46,490 |
* | Performance Food Group Co. | 1,436,752 | 46,364 |
* | Darling Ingredients Inc. | 2,249,881 | 43,288 |
* | Sprouts Farmers Market Inc. | 1,748,207 | 41,100 |
* | TreeHouse Foods Inc. | 765,686 | 38,828 |
| Energizer Holdings Inc. | 818,692 | 36,964 |
| WD-40 Co. | 189,829 | 34,788 |
| J&J Snack Foods Corp. | 206,036 | 29,791 |
* | Boston Beer Co. Inc. Class A | 118,051 | 28,431 |
* | Edgewell Personal Care Co. | 738,428 | 27,580 |
| Sanderson Farms Inc. | 275,754 | 27,380 |
| Spectrum Brands Holdings Inc. | 622,322 | 26,293 |
^ | B&G Foods Inc. | 901,794 | 26,071 |
* | USANA Health Sciences Inc. | 187,118 | 22,029 |
* | BJ’s Wholesale Club Holdings Inc. | 929,642 | 20,601 |
| Medifast Inc. | 163,409 | 20,429 |
* | Hain Celestial Group Inc. | 1,220,960 | 19,364 |
* | Central Garden & Pet Co. Class A | 616,405 | 19,263 |
| Universal Corp. | 343,216 | 18,585 |
| PriceSmart Inc. | 311,931 | 18,435 |
| Cal-Maine Foods Inc. | 412,931 | 17,467 |
| Inter Parfums Inc. | 240,546 | 15,773 |
^ | Calavo Growers Inc. | 214,100 | 15,621 |
* | Hostess Brands Inc. Class A | 1,376,448 | 15,058 |
| Vector Group Ltd. | 1,481,179 | 14,412 |
| Seaboard Corp. | 3,773 | 13,349 |
* | Simply Good Foods Co. | 683,591 | 12,920 |
| National Beverage Corp. | 166,857 | 11,975 |
| Fresh Del Monte Produce Inc. | 410,345 | 11,600 |
| Coca-Cola Bottling Co. Consolidated | 64,555 | 11,451 |
* | Freshpet Inc. | 350,798 | 11,282 |
* | Pilgrim’s Pride Corp. | 714,541 | 11,083 |
| Andersons Inc. | 370,629 | 11,078 |
| Weis Markets Inc. | 224,805 | 10,741 |
*,^ | Rite Aid Corp. | 14,643,599 | 10,372 |
* | Chefs’ Warehouse Inc. | 314,166 | 10,047 |
| MGP Ingredients Inc. | 174,582 | 9,960 |
* | Avon Products Inc. | 6,085,873 | 9,251 |
^ | Tootsie Roll Industries Inc. | 264,093 | 8,821 |
| SpartanNash Co. | 499,692 | 8,585 |
* | United Natural Foods Inc. | 690,761 | 7,315 |
| John B Sanfilippo & Son Inc. | 122,082 | 6,795 |
* | Primo Water Corp. | 464,663 | 6,510 |
| Ingles Markets Inc. Class A | 208,837 | 5,685 |
* | Landec Corp. | 459,603 | 5,442 |
| Dean Foods Co. | 1,243,344 | 4,737 |
*,^ | New Age Beverages Corp. | 820,364 | 4,266 |
| Limoneira Co. | 202,873 | 3,966 |
*,^ | 22nd Century Group Inc. | 1,567,796 | 3,904 |
* | Seneca Foods Corp. Class A | 135,462 | 3,823 |
* | Farmer Brothers Co. | 157,933 | 3,685 |
* | Central Garden & Pet Co. | 96,975 | 3,341 |
*,^ | Revlon Inc. Class A | 127,302 | 3,207 |
| Turning Point Brands Inc. | 116,559 | 3,173 |
9
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Village Super Market Inc. Class A | 107,734 | 2,881 |
* | elf Beauty Inc. | 308,412 | 2,671 |
* | Lifevantage Corp. | 173,830 | 2,293 |
* | Craft Brew Alliance Inc. | 147,482 | 2,111 |
| Natural Health Trends Corp. | 103,055 | 1,906 |
* | Smart & Final Stores Inc. | 400,506 | 1,898 |
| Oil-Dri Corp. of America | 65,419 | 1,734 |
* | Natural Grocers by Vitamin Cottage Inc. | 112,526 | 1,725 |
*,^ | Pyxus International Inc. | 119,170 | 1,413 |
| Alico Inc. | 46,719 | 1,378 |
| United-Guardian Inc. | 57,149 | 1,048 |
*,^ | Castle Brands Inc. | 1,107,894 | 942 |
*,^ | Celsius Holdings Inc. | 243,733 | 846 |
| Rocky Mountain Chocolate Factory Inc. | 96,131 | 808 |
* | Veru Inc. | 556,002 | 778 |
* | Nature’s Sunshine Products Inc. | 91,053 | 742 |
* | Natural Alternatives International Inc. | 73,591 | 723 |
* | RiceBran Technologies | 235,485 | 706 |
* | Eastside Distilling Inc. | 86,197 | 533 |
* | S&W Seed Co. | 228,965 | 414 |
*,^ | Youngevity International Inc. | 60,367 | 345 |
* | Reed’s Inc. | 139,267 | 288 |
* | Lifeway Foods Inc. | 87,868 | 165 |
| Mannatech Inc. | 7,785 | 146 |
*,^ | Orchids Paper Products Co. | 132,485 | 125 |
* | Coffee Holding Co. Inc. | 34,760 | 123 |
*,^ | MYOS RENS Technology Inc. | 48,575 | 69 |
| Ocean Bio-Chem Inc. | 19,130 | 63 |
* | Bridgford Foods Corp. | 2,984 | 59 |
* | Arcadia Biosciences Inc. | 18,655 | 59 |
* | HF Foods Group Inc. | 3,866 | 51 |
* | Truett-Hurst Inc. | 16,664 | 32 |
* | Ifresh Inc. | 26,239 | 23 |
* | CCA Industries Inc. | 9,900 | 22 |
* | Reliv International Inc. | 4,459 | 17 |
* | Cyanotech Corp. | 2,701 | 8 |
* | Willamette Valley Vineyards Inc. | 533 | 4 |
| | | 1,601,796 |
Energy (3.3%) | | |
* | Cheniere Energy Inc. | 3,025,832 | 179,099 |
| Targa Resources Corp. | 3,142,284 | 113,185 |
| EQT Corp. | 3,492,662 | 65,976 |
* | WPX Energy Inc. | 5,404,892 | 61,346 |
* | Parsley Energy Inc. Class A | 3,605,262 | 57,612 |
* | Equitrans Midstream Corp. | 2,784,570 | 55,747 |
| PBF Energy Inc. Class A | 1,645,158 | 53,747 |
| Murphy Oil Corp. | 2,231,385 | 52,192 |
* | Transocean Ltd. | 6,912,713 | 47,974 |
* | Continental Resources Inc. | 1,184,805 | 47,617 |
| Core Laboratories NV | 604,904 | 36,089 |
| Delek US Holdings Inc. | 1,035,169 | 33,653 |
| Peabody Energy Corp. | 1,068,111 | 32,556 |
* | CNX Resources Corp. | 2,798,352 | 31,957 |
| Patterson-UTI Energy Inc. | 2,976,576 | 30,808 |
* | Centennial Resource Development Inc. Class A | 2,614,679 | 28,814 |
* | Apergy Corp. | 1,062,855 | 28,782 |
* | Antero Resources Corp. | 3,038,275 | 28,529 |
* | Whiting Petroleum Corp. | 1,245,378 | 28,258 |
* | Southwestern Energy Co. | 7,977,440 | 27,203 |
| Range Resources Corp. | 2,833,935 | 27,121 |
* | PDC Energy Inc. | 906,158 | 26,967 |
*,^ | Chesapeake Energy Corp. | 12,547,664 | 26,350 |
* | Matador Resources Co. | 1,422,082 | 22,085 |
| SM Energy Co. | 1,416,028 | 21,920 |
10
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Arch Coal Inc. Class A | 258,807 | 21,478 |
^ | Ensco plc Class A | 5,968,907 | 21,249 |
* | Callon Petroleum Co. | 3,113,615 | 20,207 |
* | Oasis Petroleum Inc. | 3,645,770 | 20,161 |
| World Fuel Services Corp. | 924,845 | 19,801 |
* | QEP Resources Inc. | 3,240,157 | 18,242 |
* | Oceaneering International Inc. | 1,345,934 | 16,286 |
| McDermott International Inc. | 2,471,797 | 16,166 |
* | SRC Energy Inc. | 3,321,264 | 15,610 |
* | Dril-Quip Inc. | 489,892 | 14,711 |
* | Rowan Cos. plc Class A | 1,744,707 | 14,638 |
* | Gulfport Energy Corp. | 2,155,448 | 14,118 |
* | Cactus Inc. Class A | 514,580 | 14,105 |
| CVR Energy Inc. | 401,883 | 13,857 |
| Archrock Inc. | 1,789,124 | 13,401 |
* | Magnolia Oil & Gas Corp. | 1,192,339 | 13,366 |
* | Kosmos Energy Ltd. | 3,238,363 | 13,180 |
* | Renewable Energy Group Inc. | 512,071 | 13,160 |
* | Carrizo Oil & Gas Inc. | 1,162,335 | 13,123 |
| SemGroup Corp. Class A | 906,716 | 12,495 |
* | ProPetro Holding Corp. | 1,011,719 | 12,464 |
* | CONSOL Energy Inc. | 384,789 | 12,202 |
* | Oil States International Inc. | 824,945 | 11,780 |
* | C&J Energy Services Inc. | 867,711 | 11,714 |
* | California Resources Corp. | 664,160 | 11,317 |
* | Denbury Resources Inc. | 6,309,114 | 10,789 |
^ | US Silica Holdings Inc. | 1,058,245 | 10,773 |
* | Unit Corp. | 746,178 | 10,655 |
* | Helix Energy Solutions Group Inc. | 1,919,530 | 10,385 |
* | Penn Virginia Corp. | 186,571 | 10,086 |
*,^ | Tellurian Inc. | 1,301,173 | 9,043 |
| Nabors Industries Ltd. | 4,431,311 | 8,863 |
* | Noble Corp. plc | 3,355,094 | 8,790 |
* | SEACOR Holdings Inc. | 236,928 | 8,766 |
* | Newpark Resources Inc. | 1,261,782 | 8,668 |
* | Diamond Offshore Drilling Inc. | 879,994 | 8,307 |
* | Tidewater Inc. | 428,870 | 8,204 |
*,^ | Resolute Energy Corp. | 278,952 | 8,084 |
* | Exterran Corp. | 446,318 | 7,900 |
| RPC Inc. | 794,646 | 7,843 |
*,^ | Jagged Peak Energy Inc. | 852,000 | 7,770 |
*,^ | Weatherford International plc | 13,666,696 | 7,640 |
* | Laredo Petroleum Inc. | 2,095,554 | 7,586 |
* | KLX Energy Services Holdings Inc. | 305,422 | 7,162 |
* | Superior Energy Services Inc. | 2,098,158 | 7,029 |
| Green Plains Inc. | 532,805 | 6,985 |
* | International Seaways Inc. | 408,122 | 6,873 |
* | Extraction Oil & Gas Inc. | 1,589,825 | 6,820 |
| Liberty Oilfield Services Inc. Class A | 524,854 | 6,797 |
* | Northern Oil and Gas Inc. | 3,005,101 | 6,792 |
* | Matrix Service Co. | 376,607 | 6,756 |
* | Par Pacific Holdings Inc. | 398,596 | 5,652 |
* | Bonanza Creek Energy Inc. | 265,712 | 5,492 |
* | REX American Resources Corp. | 79,554 | 5,418 |
* | Frank’s International NV | 1,013,075 | 5,288 |
* | Select Energy Services Inc. Class A | 825,033 | 5,214 |
* | W&T Offshore Inc. | 1,254,483 | 5,169 |
* | WildHorse Resource Development Corp. | 353,673 | 4,990 |
* | Talos Energy Inc. | 303,595 | 4,955 |
* | Keane Group Inc. | 591,323 | 4,837 |
* | Forum Energy Technologies Inc. | 1,080,616 | 4,463 |
* | Contura Energy Inc. | 66,900 | 4,398 |
^ | Solaris Oilfield Infrastructure Inc. Class A | 356,140 | 4,306 |
| Falcon Minerals Corp. | 485,700 | 4,128 |
11
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Ring Energy Inc. | 791,167 | 4,019 |
* | Roan Resources Inc. | 468,200 | 3,924 |
* | HighPoint Resources Corp. | 1,520,975 | 3,787 |
| Panhandle Oil and Gas Inc. Class A | 223,317 | 3,461 |
* | SEACOR Marine Holdings Inc. | 288,901 | 3,398 |
* | Clean Energy Fuels Corp. | 1,970,555 | 3,389 |
*,^ | Halcon Resources Corp. | 1,986,305 | 3,377 |
* | SandRidge Energy Inc. | 433,747 | 3,301 |
* | Nine Energy Service Inc. | 143,974 | 3,245 |
* | FTS International Inc. | 455,805 | 3,241 |
| Evolution Petroleum Corp. | 446,329 | 3,044 |
| Mammoth Energy Services Inc. | 167,399 | 3,010 |
* | TETRA Technologies Inc. | 1,740,794 | 2,925 |
* | Natural Gas Services Group Inc. | 177,302 | 2,915 |
| NACCO Industries Inc. Class A | 82,575 | 2,799 |
*,^ | Uranium Energy Corp. | 2,168,249 | 2,710 |
* | Midstates Petroleum Co. Inc. | 354,585 | 2,663 |
* | Abraxas Petroleum Corp. | 2,425,500 | 2,644 |
* | Geospace Technologies Corp. | 246,892 | 2,545 |
* | Dorian LPG Ltd. | 434,321 | 2,532 |
* | RigNet Inc. | 184,815 | 2,336 |
* | Era Group Inc. | 257,984 | 2,255 |
* | Chaparral Energy Inc. Class A | 452,558 | 2,227 |
| Berry Petroleum Corp. | 244,010 | 2,135 |
* | US Well Services Inc. | 328,000 | 2,132 |
* | Ultra Petroleum Corp. | 2,679,494 | 2,037 |
* | SilverBow Resources Inc. | 77,094 | 1,823 |
* | Gulf Island Fabrication Inc. | 232,607 | 1,679 |
*,^ | Alta Mesa Resources Inc. Class A | 1,642,576 | 1,643 |
* | Independence Contract Drilling Inc. | 481,384 | 1,502 |
* | Basic Energy Services Inc. | 371,553 | 1,427 |
*,^ | Covia Holdings Corp. | 405,931 | 1,388 |
| Hallador Energy Co. | 269,977 | 1,369 |
*,^ | Bristow Group Inc. | 560,275 | 1,362 |
*,^ | CARBO Ceramics Inc. | 389,301 | 1,355 |
* | Earthstone Energy Inc. Class A | 292,795 | 1,323 |
* | Overseas Shipholding Group Inc. Class A | 783,985 | 1,301 |
* | Pioneer Energy Services Corp. | 1,048,456 | 1,290 |
* | Contango Oil & Gas Co. | 371,864 | 1,209 |
* | Lonestar Resources US Inc. Class A | 327,678 | 1,196 |
* | VAALCO Energy Inc. | 745,157 | 1,095 |
*,^ | Eclipse Resources Corp. | 1,017,190 | 1,068 |
| Adams Resources & Energy Inc. | 26,556 | 1,028 |
* | Isramco Inc. | 7,853 | 931 |
*,^ | Comstock Resources Inc. | 195,841 | 887 |
* | Dawson Geophysical Co. | 260,463 | 880 |
*,^ | Lilis Energy Inc. | 640,918 | 878 |
* | NCS Multistage Holdings Inc. | 163,868 | 834 |
*,^ | NextDecade Corp. | 137,751 | 744 |
* | Hornbeck Offshore Services Inc. | 507,761 | 731 |
* | ION Geophysical Corp. | 135,646 | 703 |
* | Smart Sand Inc. | 290,825 | 646 |
* | Profire Energy Inc. | 441,797 | 641 |
* | Goodrich Petroleum Corp. | 44,539 | 601 |
*,^ | Approach Resources Inc. | 688,201 | 600 |
* | Pacific Ethanol Inc. | 606,815 | 522 |
* | Aspen Aerogels Inc. | 229,377 | 489 |
* | EP Energy Corp. Class A | 640,486 | 448 |
* | Quintana Energy Services Inc. | 114,748 | 397 |
* | Cloud Peak Energy Inc. | 1,058,818 | 388 |
* | TransAtlantic Petroleum Ltd. | 337,879 | 351 |
* | Mitcham Industries Inc. | 137,162 | 351 |
* | Ranger Energy Services Inc. | 66,043 | 341 |
*,^ | Sanchez Energy Corp. | 1,221,336 | 330 |
12
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Vertex Energy Inc. | 318,653 | 325 |
*,^ | Torchlight Energy Resources Inc. | 573,989 | 324 |
*,^ | Zion Oil & Gas Inc. | 765,109 | 319 |
* | Rosehill Resources Inc. Class A | 125,800 | 281 |
* | PrimeEnergy Corp. | 3,877 | 269 |
* | Key Energy Services Inc. | 122,043 | 253 |
*,^ | PHI Inc. NV | 108,712 | 201 |
*,^ | Gevo Inc. | 88,953 | 174 |
*,^ | Enservco Corp. | 450,210 | 167 |
* | Centrus Energy Corp. Class A | 94,105 | 159 |
* | Superior Drilling Products Inc. | 91,783 | 107 |
* | Synthesis Energy Systems Inc. | 138,584 | 100 |
* | Aemetis Inc. | 113,906 | 69 |
*,^ | PHI Inc. | 30,581 | 69 |
* | Barnwell Industries Inc. | 44,204 | 59 |
*,^ | PEDEVCO Corp. | 60,609 | 46 |
* | Tengasco Inc. | 47,328 | 45 |
*,^ | New Concept Energy Inc. | 29,463 | 41 |
*,^ | Westwater Resources Inc. | 237,435 | 33 |
*,^ | SAExploration Holdings Inc. | 14,744 | 28 |
* | ENGlobal Corp. | 44,862 | 26 |
* | US Energy Corp. Wyoming | 28,339 | 19 |
*,^ | Houston American Energy Corp. | 93,484 | 18 |
| Euronav NV | 2,292 | 16 |
*,^ | Camber Energy Inc. | 7,826 | 9 |
* | Eco-Stim Energy Solutions Inc. | 126,517 | 8 |
*,^ | Yuma Energy Inc. | 27,755 | 4 |
* | Mexco Energy Corp. | 600 | 2 |
* | Bonanza Creek Energy Inc. Warrants Exp. 04/28/2020 | 19,019 | 1 |
*,^,§ | Harvest Natural Resources Inc. | 133,886 | — |
| | | 1,939,068 |
Financials (16.6%) | | |
* | Markel Corp. | 190,498 | 197,746 |
| TD Ameritrade Holding Corp. | 3,693,535 | 180,835 |
| Annaly Capital Management Inc. | 17,867,352 | 175,457 |
* | Arch Capital Group Ltd. | 5,542,015 | 148,083 |
| KKR & Co. Inc. Class A | 7,262,667 | 142,566 |
| Ally Financial Inc. | 5,644,491 | 127,904 |
| Alleghany Corp. | 203,406 | 126,787 |
| AGNC Investment Corp. | 7,157,850 | 125,549 |
| Reinsurance Group of America Inc. Class A | 857,688 | 120,274 |
| Fidelity National Financial Inc. | 3,765,518 | 118,388 |
| MarketAxess Holdings Inc. | 515,185 | 108,864 |
| FactSet Research Systems Inc. | 519,827 | 104,033 |
| WR Berkley Corp. | 1,317,169 | 97,352 |
| Brown & Brown Inc. | 3,204,400 | 88,313 |
| American Financial Group Inc. | 962,641 | 87,148 |
| East West Bancorp Inc. | 1,979,730 | 86,178 |
| Voya Financial Inc. | 2,121,607 | 85,161 |
| SEI Investments Co. | 1,790,788 | 82,734 |
| Old Republic International Corp. | 3,897,251 | 80,166 |
| Commerce Bancshares Inc. | 1,365,736 | 76,987 |
| Cullen/Frost Bankers Inc. | 870,672 | 76,567 |
| Signature Bank | 732,495 | 75,308 |
| RenaissanceRe Holdings Ltd. | 552,473 | 73,866 |
| Starwood Property Trust Inc. | 3,735,033 | 73,618 |
| LPL Financial Holdings Inc. | 1,185,760 | 72,426 |
| New Residential Investment Corp. | 4,968,569 | 70,603 |
* | Athene Holding Ltd. Class A | 1,737,818 | 69,217 |
| First American Financial Corp. | 1,526,378 | 68,138 |
| Hanover Insurance Group Inc. | 580,433 | 67,777 |
| Lazard Ltd. Class A | 1,774,340 | 65,491 |
| Popular Inc. | 1,375,002 | 64,928 |
* | Credit Acceptance Corp. | 169,860 | 64,846 |
13
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| New York Community Bancorp Inc. | 6,685,567 | 62,911 |
| Webster Financial Corp. | 1,262,776 | 62,242 |
| Axis Capital Holdings Ltd. | 1,141,791 | 58,962 |
| First Horizon National Corp. | 4,429,389 | 58,291 |
| Primerica Inc. | 588,821 | 57,534 |
| Prosperity Bancshares Inc. | 905,872 | 56,436 |
| Interactive Brokers Group Inc. | 1,030,734 | 56,330 |
| Eaton Vance Corp. | 1,586,770 | 55,823 |
| Kemper Corp. | 835,564 | 55,465 |
| Assured Guaranty Ltd. | 1,448,669 | 55,455 |
| PacWest Bancorp | 1,661,523 | 55,295 |
| CIT Group Inc. | 1,434,181 | 54,886 |
^ | First Financial Bankshares Inc. | 929,757 | 53,638 |
* | Western Alliance Bancorp | 1,330,536 | 52,543 |
| Blackstone Mortgage Trust Inc. Class A | 1,639,843 | 52,245 |
* | MGIC Investment Corp. | 4,962,513 | 51,908 |
* | Green Dot Corp. Class A | 649,617 | 51,658 |
| Wintrust Financial Corp. | 770,911 | 51,258 |
| Synovus Financial Corp. | 1,599,331 | 51,163 |
| Sterling Bancorp | 3,064,962 | 50,603 |
| Selective Insurance Group Inc. | 810,926 | 49,418 |
| IBERIABANK Corp. | 759,866 | 48,844 |
| Radian Group Inc. | 2,932,751 | 47,980 |
| Umpqua Holdings Corp. | 3,013,693 | 47,918 |
| Janus Henderson Group plc | 2,292,995 | 47,511 |
| First Citizens BancShares Inc. Class A | 123,443 | 46,544 |
| Pinnacle Financial Partners Inc. | 1,002,728 | 46,226 |
* | Essent Group Ltd. | 1,348,486 | 46,091 |
| Glacier Bancorp Inc. | 1,160,273 | 45,970 |
| MB Financial Inc. | 1,151,206 | 45,622 |
| Chimera Investment Corp. | 2,537,842 | 45,224 |
| Associated Banc-Corp | 2,266,312 | 44,850 |
| TCF Financial Corp. | 2,279,753 | 44,432 |
| United Bankshares Inc. | 1,414,683 | 44,011 |
| FirstCash Inc. | 601,040 | 43,485 |
| FNB Corp. | 4,412,394 | 43,418 |
| Two Harbors Investment Corp. | 3,375,402 | 43,340 |
| BankUnited Inc. | 1,407,059 | 42,127 |
| Community Bank System Inc. | 711,810 | 41,499 |
| MFA Financial Inc. | 6,127,309 | 40,930 |
| Hancock Whitney Corp. | 1,167,154 | 40,442 |
| Stifel Financial Corp. | 973,616 | 40,327 |
| Valley National Bancorp | 4,523,728 | 40,171 |
| Evercore Inc. Class A | 553,238 | 39,590 |
| Bank of Hawaii Corp. | 570,294 | 38,392 |
| Bank OZK | 1,653,771 | 37,756 |
| Fulton Financial Corp. | 2,438,788 | 37,752 |
| UMB Financial Corp. | 617,267 | 37,635 |
| RLI Corp. | 543,482 | 37,495 |
| Columbia Banking System Inc. | 1,012,016 | 36,726 |
| White Mountains Insurance Group Ltd. | 42,670 | 36,598 |
| Home BancShares Inc. | 2,211,806 | 36,141 |
| Chemical Financial Corp. | 981,423 | 35,930 |
| Cathay General Bancorp | 1,058,288 | 35,484 |
* | Texas Capital Bancshares Inc. | 688,334 | 35,167 |
| Erie Indemnity Co. Class A | 263,727 | 35,157 |
| Federated Investors Inc. Class B | 1,313,041 | 34,861 |
* | Enstar Group Ltd. | 207,910 | 34,839 |
| American Equity Investment Life Holding Co. | 1,234,455 | 34,491 |
| Aspen Insurance Holdings Ltd. | 813,819 | 34,172 |
| Investors Bancorp Inc. | 3,256,862 | 33,871 |
| CNO Financial Group Inc. | 2,246,178 | 33,423 |
| BancorpSouth Bank | 1,240,760 | 32,433 |
| BOK Financial Corp. | 441,693 | 32,389 |
14
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| First Financial Bancorp | 1,349,817 | 32,018 |
* | Genworth Financial Inc. Class A | 6,860,692 | 31,971 |
| Old National Bancorp | 2,071,378 | 31,899 |
* | SLM Corp. | 3,803,604 | 31,608 |
| Argo Group International Holdings Ltd. | 466,126 | 31,347 |
| AXA Equitable Holdings Inc. | 1,822,911 | 30,315 |
| South State Corp. | 501,563 | 30,069 |
| Simmons First National Corp. Class A | 1,241,212 | 29,950 |
| Washington Federal Inc. | 1,119,682 | 29,907 |
| ProAssurance Corp. | 736,877 | 29,888 |
| Legg Mason Inc. | 1,162,694 | 29,660 |
| CVB Financial Corp. | 1,423,061 | 28,789 |
| First Midwest Bancorp Inc. | 1,439,411 | 28,515 |
| WesBanco Inc. | 767,749 | 28,169 |
| Navient Corp. | 3,156,337 | 27,807 |
| Morningstar Inc. | 252,658 | 27,752 |
| First Hawaiian Inc. | 1,231,499 | 27,721 |
| Santander Consumer USA Holdings Inc. | 1,573,937 | 27,686 |
| Independent Bank Corp. | 388,384 | 27,307 |
| International Bancshares Corp. | 761,881 | 26,209 |
| Trustmark Corp. | 916,104 | 26,045 |
| First BanCorp | 2,976,780 | 25,600 |
| Apollo Commercial Real Estate Finance Inc. | 1,527,100 | 25,442 |
* | OneMain Holdings Inc. | 1,029,751 | 25,013 |
| Northwest Bancshares Inc. | 1,476,134 | 25,006 |
| Capitol Federal Financial Inc. | 1,955,244 | 24,968 |
| Great Western Bancorp Inc. | 787,232 | 24,601 |
| United Community Banks Inc. | 1,094,882 | 23,496 |
| Union Bankshares Corp. | 826,205 | 23,324 |
| Banner Corp. | 435,759 | 23,304 |
| First Merchants Corp. | 666,675 | 22,847 |
| Virtu Financial Inc. Class A | 870,606 | 22,427 |
*,^ | LendingTree Inc. | 101,960 | 22,387 |
| Navigators Group Inc. | 320,898 | 22,299 |
| Invesco Mortgage Capital Inc. | 1,527,720 | 22,121 |
| Towne Bank | 921,533 | 22,071 |
* | FCB Financial Holdings Inc. Class A | 638,433 | 21,439 |
| Moelis & Co. Class A | 623,010 | 21,419 |
| Horace Mann Educators Corp. | 570,177 | 21,353 |
| National General Holdings Corp. | 880,805 | 21,324 |
| NBT Bancorp Inc. | 614,981 | 21,272 |
* | Eagle Bancorp Inc. | 432,452 | 21,065 |
| Provident Financial Services Inc. | 872,585 | 21,055 |
| CenterState Bank Corp. | 993,618 | 20,906 |
| Westamerica Bancorporation | 374,658 | 20,861 |
| ServisFirst Bancshares Inc. | 640,283 | 20,406 |
| Renasant Corp. | 665,226 | 20,077 |
| LegacyTexas Financial Group Inc. | 620,415 | 19,909 |
| Hope Bancorp Inc. | 1,670,766 | 19,815 |
| Waddell & Reed Financial Inc. Class A | 1,075,696 | 19,449 |
| Mercury General Corp. | 372,209 | 19,247 |
| Employers Holdings Inc. | 458,431 | 19,240 |
| BGC Partners Inc. Class A | 3,715,069 | 19,207 |
* | Axos Financial Inc. | 761,518 | 19,175 |
| S&T Bancorp Inc. | 492,526 | 18,637 |
| Ladder Capital Corp. Class A | 1,193,895 | 18,470 |
* | Seacoast Banking Corp. of Florida | 708,191 | 18,427 |
| Colony Credit Real Estate Inc. | 1,150,940 | 18,173 |
| Hilltop Holdings Inc. | 1,003,609 | 17,894 |
| Heartland Financial USA Inc. | 403,267 | 17,724 |
| Ameris Bancorp | 557,947 | 17,670 |
| Houlihan Lokey Inc. Class A | 476,775 | 17,545 |
* | Blucora Inc. | 656,899 | 17,500 |
* | PennyMac Financial Services Inc. | 814,049 | 17,307 |
15
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Kearny Financial Corp. | 1,349,516 | 17,301 |
| Walker & Dunlop Inc. | 398,626 | 17,241 |
| Redwood Trust Inc. | 1,133,258 | 17,078 |
| Cadence BanCorp Class A | 1,009,058 | 16,932 |
| First Interstate BancSystem Inc. Class A | 462,284 | 16,901 |
| Universal Insurance Holdings Inc. | 444,649 | 16,861 |
| CNA Financial Corp. | 377,586 | 16,670 |
| First Commonwealth Financial Corp. | 1,378,992 | 16,658 |
| Safety Insurance Group Inc. | 203,466 | 16,646 |
| United Fire Group Inc. | 296,155 | 16,422 |
| WSFS Financial Corp. | 431,783 | 16,369 |
* | NMI Holdings Inc. Class A | 911,361 | 16,268 |
* | FGL Holdings | 2,425,562 | 16,154 |
* | Cannae Holdings Inc. | 930,370 | 15,928 |
| City Holding Co. | 234,575 | 15,855 |
| Nelnet Inc. Class A | 302,907 | 15,854 |
* | Pacific Premier Bancorp Inc. | 619,869 | 15,819 |
| PennyMac Mortgage Investment Trust | 844,803 | 15,730 |
| Brookline Bancorp Inc. | 1,135,088 | 15,687 |
| Park National Corp. | 183,476 | 15,586 |
| AMERISAFE Inc. | 272,438 | 15,445 |
* | LendingClub Corp. | 5,851,347 | 15,389 |
| American National Insurance Co. | 120,936 | 15,388 |
| Sandy Spring Bancorp Inc. | 489,510 | 15,341 |
| Artisan Partners Asset Management Inc. Class A | 692,897 | 15,320 |
| James River Group Holdings Ltd. | 419,027 | 15,311 |
| Berkshire Hills Bancorp Inc. | 567,482 | 15,305 |
| Beneficial Bancorp Inc. | 1,068,342 | 15,267 |
* | PRA Group Inc. | 625,539 | 15,244 |
| First Busey Corp. | 612,606 | 15,033 |
| Independent Bank Group Inc. | 322,104 | 14,743 |
| Kinsale Capital Group Inc. | 264,932 | 14,720 |
| Lakeland Financial Corp. | 361,440 | 14,515 |
| First Bancorp | 426,224 | 13,920 |
| Investment Technology Group Inc. | 458,662 | 13,870 |
| Southside Bancshares Inc. | 434,523 | 13,796 |
| Stewart Information Services Corp. | 333,126 | 13,791 |
| Piper Jaffray Cos. | 206,976 | 13,627 |
| Heritage Financial Corp. | 458,501 | 13,627 |
| Tompkins Financial Corp. | 174,952 | 13,123 |
| OceanFirst Financial Corp. | 573,665 | 12,913 |
| TriCo Bancshares | 382,035 | 12,909 |
| Boston Private Financial Holdings Inc. | 1,187,894 | 12,556 |
| BancFirst Corp. | 249,977 | 12,474 |
| Enterprise Financial Services Corp. | 328,169 | 12,349 |
| New York Mortgage Trust Inc. | 2,081,353 | 12,259 |
| TFS Financial Corp. | 759,499 | 12,251 |
| State Bank Financial Corp. | 540,594 | 11,671 |
| ARMOUR Residential REIT Inc. | 568,307 | 11,650 |
| Meridian Bancorp Inc. | 788,552 | 11,292 |
| National Bank Holdings Corp. Class A | 362,577 | 11,193 |
* | MBIA Inc. | 1,251,227 | 11,161 |
| Granite Point Mortgage Trust Inc. | 600,600 | 10,829 |
* | Ambac Financial Group Inc. | 626,182 | 10,795 |
| TPG RE Finance Trust Inc. | 590,315 | 10,791 |
| WisdomTree Investments Inc. | 1,604,047 | 10,667 |
* | Flagstar Bancorp Inc. | 403,456 | 10,651 |
| United Financial Bancorp Inc. | 716,859 | 10,538 |
| Central Pacific Financial Corp. | 430,482 | 10,482 |
* | Columbia Financial Inc. | 684,941 | 10,473 |
| PJT Partners Inc. | 265,167 | 10,278 |
| Cohen & Steers Inc. | 297,085 | 10,196 |
| OFG Bancorp | 603,225 | 9,929 |
* | Triumph Bancorp Inc. | 334,188 | 9,925 |
16
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Washington Trust Bancorp Inc. | 208,174 | 9,895 |
* | Third Point Reinsurance Ltd. | 1,021,434 | 9,847 |
| Community Trust Bancorp Inc. | 245,221 | 9,713 |
| Bryn Mawr Bank Corp. | 282,298 | 9,711 |
| Arbor Realty Trust Inc. | 963,544 | 9,703 |
| TrustCo Bank Corp. NY | 1,408,379 | 9,661 |
| Stock Yards Bancorp Inc. | 293,377 | 9,623 |
| 1st Source Corp. | 237,755 | 9,591 |
| Lakeland Bancorp Inc. | 642,343 | 9,513 |
| FBL Financial Group Inc. Class A | 144,125 | 9,462 |
* | World Acceptance Corp. | 92,436 | 9,453 |
| Northfield Bancorp Inc. | 695,812 | 9,428 |
| National Western Life Group Inc. Class A | 31,299 | 9,412 |
* | Enova International Inc. | 474,980 | 9,243 |
| Univest Corp. of Pennsylvania | 419,724 | 9,053 |
* | eHealth Inc. | 233,980 | 8,990 |
| Hamilton Lane Inc. Class A | 242,080 | 8,957 |
*,^ | Trupanion Inc. | 350,353 | 8,920 |
| Carolina Financial Corp. | 294,500 | 8,714 |
| Hanmi Financial Corp. | 438,188 | 8,632 |
| Preferred Bank | 194,328 | 8,424 |
| Capstead Mortgage Corp. | 1,259,117 | 8,398 |
*,^ | Encore Capital Group Inc. | 355,990 | 8,366 |
| Flushing Financial Corp. | 387,367 | 8,340 |
| FB Financial Corp. | 237,628 | 8,322 |
| Horizon Bancorp Inc. | 519,780 | 8,202 |
| Blue Hills Bancorp Inc. | 381,767 | 8,147 |
| German American Bancorp Inc. | 292,479 | 8,122 |
| Fidelity Southern Corp. | 311,451 | 8,104 |
* | HomeStreet Inc. | 380,383 | 8,076 |
* | INTL. FCStone Inc. | 219,455 | 8,028 |
| Virtus Investment Partners Inc. | 100,848 | 8,010 |
| Oritani Financial Corp. | 540,469 | 7,972 |
| Camden National Corp. | 219,944 | 7,911 |
| Peoples Bancorp Inc. | 262,039 | 7,887 |
| ConnectOne Bancorp Inc. | 426,353 | 7,875 |
* | National Commerce Corp. | 216,912 | 7,809 |
| Federal Agricultural Mortgage Corp. | 128,655 | 7,776 |
| State Auto Financial Corp. | 227,720 | 7,752 |
| KKR Real Estate Finance Trust Inc. | 404,405 | 7,744 |
| Banc of California Inc. | 578,711 | 7,703 |
| Great Southern Bancorp Inc. | 163,342 | 7,519 |
| Dime Community Bancshares Inc. | 442,776 | 7,518 |
| Guaranty Bancorp | 361,433 | 7,500 |
* | Customers Bancorp Inc. | 410,795 | 7,476 |
| Meta Financial Group Inc. | 382,108 | 7,409 |
* | HarborOne Bancorp Inc. | 457,767 | 7,274 |
| First Defiance Financial Corp. | 295,653 | 7,246 |
| People’s Utah Bancorp | 238,457 | 7,189 |
| Bank of Marin Bancorp | 173,184 | 7,142 |
* | First Foundation Inc. | 555,123 | 7,139 |
* | Focus Financial Partners Inc. Class A | 267,754 | 7,050 |
| Diamond Hill Investment Group Inc. | 47,090 | 7,038 |
| CBTX Inc. | 237,225 | 6,974 |
| Bridge Bancorp Inc. | 270,819 | 6,903 |
* | Equity Bancshares Inc. Class A | 195,381 | 6,887 |
| Independent Bank Corp. | 323,805 | 6,806 |
* | Veritex Holdings Inc. | 318,343 | 6,806 |
| Mercantile Bank Corp. | 237,801 | 6,720 |
* | Donnelley Financial Solutions Inc. | 468,056 | 6,567 |
| Green Bancorp Inc. | 382,499 | 6,556 |
| First of Long Island Corp. | 325,942 | 6,503 |
* | TriState Capital Holdings Inc. | 331,443 | 6,450 |
| HomeTrust Bancshares Inc. | 245,052 | 6,415 |
17
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Bancorp Inc. | 805,435 | 6,411 |
| Heritage Commerce Corp. | 559,592 | 6,346 |
| AG Mortgage Investment Trust Inc. | 394,214 | 6,280 |
| Waterstone Financial Inc. | 368,596 | 6,178 |
| Arrow Financial Corp. | 192,181 | 6,154 |
| United Community Financial Corp. | 692,168 | 6,126 |
| First Community Bankshares Inc. | 192,709 | 6,066 |
* | Atlantic Capital Bancshares Inc. | 370,097 | 6,059 |
| First Financial Corp. | 149,957 | 6,021 |
| QCR Holdings Inc. | 185,012 | 5,937 |
| Opus Bank | 302,903 | 5,934 |
| Peapack Gladstone Financial Corp. | 230,953 | 5,815 |
| Greenhill & Co. Inc. | 236,144 | 5,762 |
| Anworth Mortgage Asset Corp. | 1,423,529 | 5,751 |
| Financial Institutions Inc. | 222,633 | 5,722 |
| Ares Commercial Real Estate Corp. | 437,138 | 5,700 |
* | EZCORP Inc. Class A | 728,003 | 5,627 |
| Midland States Bancorp Inc. | 251,183 | 5,611 |
* | Allegiance Bancshares Inc. | 169,836 | 5,498 |
| Western Asset Mortgage Capital Corp. | 643,890 | 5,370 |
| Live Oak Bancshares Inc. | 359,039 | 5,317 |
* | Nicolet Bankshares Inc. | 107,365 | 5,239 |
| First Bancshares Inc. | 172,627 | 5,222 |
| Old Second Bancorp Inc. | 397,003 | 5,161 |
| United Insurance Holdings Corp. | 304,974 | 5,069 |
| Farmers National Banc Corp. | 396,178 | 5,047 |
* | Cowen Inc. Class A | 372,673 | 4,971 |
| HCI Group Inc. | 95,748 | 4,865 |
| Access National Corp. | 227,327 | 4,849 |
| Bar Harbor Bankshares | 214,769 | 4,817 |
| Republic Bancorp Inc. Class A | 121,849 | 4,718 |
| Macatawa Bank Corp. | 487,287 | 4,688 |
| Farmers & Merchants Bancorp Inc. | 121,741 | 4,686 |
| Exantas Capital Corp. | 467,585 | 4,685 |
| Heritage Insurance Holdings Inc. | 317,704 | 4,677 |
| PCSB Financial Corp. | 238,073 | 4,657 |
| Orchid Island Capital Inc. | 725,961 | 4,639 |
* | Franklin Financial Network Inc. | 175,095 | 4,617 |
| Dynex Capital Inc. | 795,789 | 4,552 |
| Old Line Bancshares Inc. | 172,626 | 4,544 |
| Citizens & Northern Corp. | 171,850 | 4,542 |
*,^ | Citizens Inc. Class A | 603,522 | 4,538 |
*,^ | Health Insurance Innovations Inc. Class A | 165,461 | 4,423 |
* | Republic First Bancorp Inc. | 740,369 | 4,420 |
* | Mr Cooper Group Inc. | 376,332 | 4,392 |
| First Mid-Illinois Bancshares Inc. | 137,503 | 4,389 |
^ | Cambridge Bancorp | 51,299 | 4,271 |
* | On Deck Capital Inc. | 702,904 | 4,147 |
| Capital City Bank Group Inc. | 174,134 | 4,042 |
| EMC Insurance Group Inc. | 125,763 | 4,006 |
| CNB Financial Corp. | 174,403 | 4,003 |
| Merchants Bancorp | 197,866 | 3,949 |
| West Bancorporation Inc. | 206,778 | 3,947 |
| Sierra Bancorp | 163,708 | 3,934 |
| Westwood Holdings Group Inc. | 113,147 | 3,847 |
| Southern National Bancorp of Virginia Inc. | 289,042 | 3,821 |
| Hingham Institution for Savings | 19,268 | 3,810 |
* | BSB Bancorp Inc. | 133,413 | 3,744 |
* | Byline Bancorp Inc. | 224,520 | 3,741 |
| Oppenheimer Holdings Inc. Class A | 145,550 | 3,719 |
| Cherry Hill Mortgage Investment Corp. | 210,840 | 3,698 |
| Home Bancorp Inc. | 103,208 | 3,654 |
| Western New England Bancorp Inc. | 359,198 | 3,606 |
| Global Indemnity Ltd. | 98,677 | 3,575 |
18
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| BankFinancial Corp. | 238,827 | 3,570 |
| Investors Title Co. | 20,149 | 3,560 |
| ACNB Corp. | 90,575 | 3,555 |
| First Bancorp Inc. | 132,979 | 3,497 |
* | Goosehead Insurance Inc. Class A | 132,049 | 3,472 |
| Ready Capital Corp. | 249,482 | 3,450 |
| Investar Holding Corp. | 138,409 | 3,433 |
| Ladenburg Thalmann Financial Services Inc. | 1,461,822 | 3,406 |
| Enterprise Bancorp Inc. | 105,588 | 3,396 |
* | Greenlight Capital Re Ltd. Class A | 391,796 | 3,377 |
| Northrim BanCorp Inc. | 101,950 | 3,351 |
* | Southern First Bancshares Inc. | 103,221 | 3,310 |
| MidWestOne Financial Group Inc. | 132,737 | 3,296 |
| Southern Missouri Bancorp Inc. | 96,799 | 3,282 |
| Territorial Bancorp Inc. | 125,627 | 3,264 |
* | Regional Management Corp. | 134,869 | 3,244 |
| Civista Bancshares Inc. | 180,312 | 3,141 |
| B. Riley Financial Inc. | 219,189 | 3,112 |
| American National Bankshares Inc. | 106,066 | 3,109 |
| Century Bancorp Inc. Class A | 45,509 | 3,082 |
| Reliant Bancorp Inc. | 130,657 | 3,010 |
| Arlington Asset Investment Corp. Class A | 409,790 | 2,967 |
| FedNat Holding Co. | 148,849 | 2,965 |
| National Bankshares Inc. | 81,147 | 2,956 |
| Peoples Financial Services Corp. | 66,499 | 2,930 |
* | Safeguard Scientifics Inc. | 329,458 | 2,840 |
* | Select Bancorp Inc. | 225,202 | 2,788 |
| Ames National Corp. | 109,242 | 2,777 |
| Origin Bancorp Inc. | 80,629 | 2,748 |
| Business First Bancshares Inc. | 112,655 | 2,730 |
| First Northwest Bancorp | 182,367 | 2,705 |
| First Choice Bancorp | 119,600 | 2,703 |
| First Guaranty Bancshares Inc. | 115,429 | 2,679 |
| Protective Insurance Corp. Class B | 160,081 | 2,665 |
| Marlin Business Services Corp. | 119,039 | 2,658 |
| First Internet Bancorp | 129,251 | 2,642 |
| Great Ajax Corp. | 216,053 | 2,603 |
| Ares Management Corp. | 145,361 | 2,585 |
| Amalgamated Bank Class A | 131,487 | 2,564 |
* | Metropolitan Bank Holding Corp. | 80,811 | 2,493 |
* | Spirit of Texas Bancshares Inc. | 108,987 | 2,483 |
| MBT Financial Corp. | 265,189 | 2,466 |
| Independence Holding Co. | 70,062 | 2,466 |
| FS Bancorp Inc. | 57,505 | 2,466 |
| Crawford & Co. Class B | 269,080 | 2,422 |
| Owens Realty Mortgage Inc. | 128,204 | 2,409 |
| Codorus Valley Bancorp Inc. | 112,873 | 2,399 |
| Central Valley Community Bancorp | 125,409 | 2,366 |
* | Provident Bancorp Inc. | 106,583 | 2,311 |
| First Business Financial Services Inc. | 117,655 | 2,295 |
| Bank of Commerce Holdings | 206,558 | 2,264 |
| SI Financial Group Inc. | 176,685 | 2,249 |
| Shore Bancshares Inc. | 154,409 | 2,245 |
| MutualFirst Financial Inc. | 83,335 | 2,214 |
* | Entegra Financial Corp. | 105,724 | 2,194 |
| Kingstone Cos. Inc. | 123,003 | 2,176 |
| Fidelity D&D Bancorp Inc. | 33,664 | 2,161 |
| Bankwell Financial Group Inc. | 75,189 | 2,159 |
| Associated Capital Group Inc. Class A | 60,888 | 2,145 |
* | Ocwen Financial Corp. | 1,594,250 | 2,136 |
| Bank of Princeton | 75,810 | 2,115 |
| Orrstown Financial Services Inc. | 115,965 | 2,112 |
| First Bank | 171,522 | 2,079 |
| ESSA Bancorp Inc. | 133,034 | 2,077 |
19
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Victory Capital Holdings Inc. Class A | 202,375 | 2,068 |
| Premier Financial Bancorp Inc. | 137,424 | 2,049 |
* | Malvern Bancorp Inc. | 102,938 | 2,031 |
| Summit Financial Group Inc. | 103,787 | 2,004 |
| LCNB Corp. | 131,702 | 1,995 |
| Middlefield Banc Corp. | 47,024 | 1,995 |
| Parke Bancorp Inc. | 106,511 | 1,993 |
* | Community Bankers Trust Corp. | 275,595 | 1,990 |
| Penns Woods Bancorp Inc. | 49,358 | 1,986 |
| Pzena Investment Management Inc. Class A | 224,114 | 1,939 |
| Norwood Financial Corp. | 58,227 | 1,922 |
| Chemung Financial Corp. | 46,289 | 1,912 |
| MidSouth Bancorp Inc. | 178,551 | 1,893 |
* | SmartFinancial Inc. | 103,390 | 1,889 |
| Donegal Group Inc. Class A | 138,033 | 1,883 |
| Riverview Bancorp Inc. | 256,932 | 1,870 |
| RBB Bancorp | 105,544 | 1,854 |
* | NI Holdings Inc. | 117,411 | 1,847 |
* | Howard Bancorp Inc. | 127,818 | 1,828 |
| Peoples Bancorp of North Carolina Inc. | 74,425 | 1,820 |
| Unity Bancorp Inc. | 87,065 | 1,807 |
| Maiden Holdings Ltd. | 1,068,583 | 1,763 |
| CB Financial Services Inc. | 71,072 | 1,761 |
| Mackinac Financial Corp. | 128,400 | 1,753 |
* | Curo Group Holdings Corp. | 183,881 | 1,745 |
| Provident Financial Holdings Inc. | 111,991 | 1,736 |
| C&F Financial Corp. | 32,575 | 1,733 |
*,^ | Siebert Financial Corp. | 119,039 | 1,721 |
| Northeast Bancorp | 102,005 | 1,707 |
| Ellington Residential Mortgage REIT | 165,120 | 1,689 |
| BCB Bancorp Inc. | 160,168 | 1,677 |
| Timberland Bancorp Inc. | 74,717 | 1,666 |
| Evans Bancorp Inc. | 50,787 | 1,651 |
| Guaranty Bancshares Inc. | 55,075 | 1,642 |
| Standard AVB Financial Corp. | 54,796 | 1,637 |
| GAIN Capital Holdings Inc. | 265,337 | 1,634 |
| Ohio Valley Banc Corp. | 45,934 | 1,626 |
| First United Corp. | 101,549 | 1,617 |
| First Community Corp. | 82,890 | 1,611 |
| First Financial Northwest Inc. | 103,776 | 1,605 |
* | Hallmark Financial Services Inc. | 147,517 | 1,577 |
| Luther Burbank Corp. | 174,022 | 1,570 |
| Sterling Bancorp Inc. | 224,631 | 1,561 |
| Community Financial Corp. | 52,253 | 1,528 |
| United Security Bancshares | 157,636 | 1,510 |
| Union Bankshares Inc. | 31,073 | 1,484 |
| FNCB Bancorp Inc. | 174,900 | 1,476 |
| Oak Valley Bancorp | 80,206 | 1,468 |
| Mid Penn Bancorp Inc. | 63,079 | 1,452 |
| Capstar Financial Holdings Inc. | 97,496 | 1,436 |
| SB One Bancorp | 69,383 | 1,418 |
* | Bridgewater Bancshares Inc. | 130,834 | 1,380 |
| Hawthorn Bancshares Inc. | 65,555 | 1,379 |
* | Meridian Corp. | 82,000 | 1,366 |
* | Pacific Mercantile Bancorp | 190,482 | 1,362 |
* | Atlas Financial Holdings Inc. | 163,656 | 1,324 |
| 1st Constitution Bancorp | 65,486 | 1,305 |
| Tiptree Inc. | 228,345 | 1,276 |
| Two River Bancorp | 83,507 | 1,274 |
* | Security National Financial Corp. Class A | 243,754 | 1,258 |
| GAMCO Investors Inc. Class A | 73,819 | 1,247 |
| County Bancorp Inc. | 70,459 | 1,224 |
| SB Financial Group Inc. | 71,886 | 1,183 |
| Colony Bankcorp Inc. | 79,031 | 1,154 |
20
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Prudential Bancorp Inc. | 65,134 | 1,146 |
* | PDL Community Bancorp | 89,499 | 1,140 |
* | Nicholas Financial Inc. | 107,396 | 1,117 |
| American River Bankshares | 77,554 | 1,070 |
| MVB Financial Corp. | 59,215 | 1,068 |
| Silvercrest Asset Management Group Inc. Class A | 78,526 | 1,039 |
| DNB Financial Corp. | 38,424 | 1,037 |
| AmeriServ Financial Inc. | 243,264 | 980 |
* | Esquire Financial Holdings Inc. | 44,958 | 976 |
* | Baycom Corp. | 41,368 | 955 |
| Citizens Community Bancorp Inc. | 86,970 | 948 |
* | HMN Financial Inc. | 47,410 | 930 |
* | Elevate Credit Inc. | 207,122 | 928 |
| Old Point Financial Corp. | 42,408 | 926 |
* | Great Elm Capital Group Inc. | 268,787 | 909 |
| Guaranty Federal Bancshares Inc. | 38,891 | 849 |
* | Ashford Inc. | 15,135 | 786 |
| Eagle Bancorp Montana Inc. | 48,474 | 784 |
| Citizens Holding Co. | 37,547 | 781 |
| MSB Financial Corp. | 42,744 | 763 |
| Plumas Bancorp | 33,088 | 751 |
| United Bancorp Inc. | 67,245 | 750 |
| Donegal Group Inc. Class B | 63,192 | 746 |
| Sound Financial Bancorp Inc. | 22,640 | 737 |
| IF Bancorp Inc. | 36,116 | 727 |
| Federal Agricultural Mortgage Corp. Class A | 12,586 | 717 |
| Crawford & Co. Class A | 78,437 | 698 |
| Greene County Bancorp Inc. | 22,100 | 688 |
* | Impac Mortgage Holdings Inc. | 181,158 | 685 |
| PB Bancorp Inc. | 59,458 | 648 |
* | Consumer Portfolio Services Inc. | 209,871 | 632 |
* | TheStreet Inc. | 305,119 | 619 |
| First US Bancshares Inc. | 77,118 | 613 |
| Hunt Cos. Finance Trust Inc. | 203,294 | 581 |
| Hennessy Advisors Inc. | 57,467 | 575 |
| HopFed Bancorp Inc. | 42,516 | 565 |
| Sachem Capital Corp. | 143,397 | 561 |
* | Bancorp of New Jersey Inc. | 42,401 | 552 |
| First Savings Financial Group Inc. | 10,547 | 548 |
| Salisbury Bancorp Inc. | 14,978 | 542 |
| Summit State Bank | 43,170 | 508 |
| Severn Bancorp Inc. | 62,961 | 502 |
| Auburn National Bancorporation Inc. | 15,758 | 499 |
| Emclaire Financial Corp. | 14,818 | 450 |
| A-Mark Precious Metals Inc. | 37,995 | 448 |
| Community West Bancshares | 43,814 | 439 |
| Manhattan Bridge Capital Inc. | 76,762 | 432 |
* | Bank7 Corp. | 30,100 | 402 |
| First Capital Inc. | 10,028 | 398 |
| Elmira Savings Bank | 19,734 | 344 |
| Central Federal Corp. | 28,310 | 331 |
| Blue Capital Reinsurance Holdings Ltd. | 59,014 | 325 |
* | Atlanticus Holdings Corp. | 87,924 | 320 |
| Bank of South Carolina Corp. | 15,406 | 281 |
* | Carolina Trust Bancshares Inc. | 32,192 | 244 |
| Wellesley Bank | 8,528 | 237 |
| United Bancshares Inc. | 11,989 | 233 |
| Stewardship Financial Corp. | 25,341 | 231 |
* | Limestone Bancorp Inc. | 15,237 | 210 |
| Medley Management Inc. Class A | 53,857 | 208 |
| Oconee Federal Financial Corp. | 8,131 | 202 |
* | Randolph Bancorp Inc. | 14,039 | 199 |
| Manning & Napier Inc. | 107,926 | 190 |
^ | US Global Investors Inc. Class A | 159,768 | 176 |
21
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | First Western Financial Inc. | 14,862 | 174 |
| Landmark Bancorp Inc. | 7,053 | 162 |
* | First Republic Bank | 1,782 | 155 |
| Southwest Georgia Financial Corp. | 7,535 | 153 |
* | Coastal Financial Corp. | 9,753 | 149 |
*,^ | FlexShopper Inc. | 181,219 | 138 |
| HomeTown Bankshares Corp. | 11,101 | 131 |
* | Magyar Bancorp Inc. | 10,465 | 128 |
* | Tremont Mortgage Trust | 13,800 | 125 |
| Fauquier Bankshares Inc. | 6,382 | 119 |
* | Hamilton Bancorp Inc. | 8,570 | 119 |
| Bank of the James Financial Group Inc. | 9,047 | 118 |
* | Mid-Southern Bancorp Inc. | 10,017 | 116 |
* | Capital Bancorp Inc. | 9,076 | 104 |
| Pacific City Financial Corp. | 6,400 | 100 |
| Glen Burnie Bancorp | 9,237 | 96 |
* | Conifer Holdings Inc. | 24,973 | 87 |
* | FFBW Inc. | 8,563 | 86 |
| Asta Funding Inc. | 18,311 | 78 |
* | CBM Bancorp Inc. | 5,748 | 72 |
| Kentucky First Federal Bancorp | 9,399 | 65 |
| Bancorp 34 Inc. | 4,124 | 59 |
| Citizens First Corp. | 2,642 | 57 |
* | OP Bancorp | 5,800 | 51 |
| Pathfinder Bancorp Inc. | 3,621 | 51 |
| Level One Bancorp Inc. | 2,196 | 49 |
* | Community First Bancshares Inc. | 3,743 | 44 |
* | Village Bank and Trust Financial Corp. | 1,338 | 42 |
* | 1347 Property Insurance Holdings Inc. | 10,409 | 42 |
* | National Holdings Corp. | 13,459 | 36 |
* | ICC Holdings Inc. | 2,593 | 35 |
| Melrose Bancorp Inc. | 1,700 | 31 |
* | Broadway Financial Corp. | 22,638 | 24 |
| Patriot National Bancorp Inc. | 1,479 | 21 |
| Value Line Inc. | 586 | 15 |
| GWG Holdings Inc. | 900 | 8 |
| Ottawa Bancorp Inc. | 500 | 7 |
| Atlantic American Corp. | 2,591 | 6 |
| HV Bancorp Inc. | 400 | 6 |
| Lake Shore Bancorp Inc. | 300 | 4 |
* | National Holdings Corp. Warrants Exp. 01/18/2022 | 7,766 | 4 |
* | FSB Bancorp Inc. | 229 | 4 |
*,^ | LM Funding America Inc. | 2,693 | 3 |
| Home Federal Bancorp Inc. | 106 | 3 |
* | Carver Bancorp Inc. | 445 | 1 |
| Cohen & Co. Inc. | 64 | 1 |
| WCF Bancorp Inc. | 21 | — |
| | | 9,645,931 |
Health Care (12.3%) | | |
* | BioMarin Pharmaceutical Inc. | 2,444,960 | 208,188 |
| Teleflex Inc. | 631,311 | 163,181 |
* | Veeva Systems Inc. Class A | 1,672,131 | 149,355 |
* | DexCom Inc. | 1,219,973 | 146,153 |
| STERIS plc | 1,158,593 | 123,796 |
* | Exact Sciences Corp. | 1,687,944 | 106,509 |
* | Jazz Pharmaceuticals plc | 825,980 | 102,388 |
* | Ionis Pharmaceuticals Inc. | 1,889,935 | 102,170 |
| West Pharmaceutical Services Inc. | 1,016,744 | 99,671 |
* | Sarepta Therapeutics Inc. | 910,041 | 99,313 |
* | Molina Healthcare Inc. | 853,740 | 99,222 |
* | Alnylam Pharmaceuticals Inc. | 1,231,484 | 89,788 |
* | Neurocrine Biosciences Inc. | 1,245,649 | 88,952 |
| Encompass Health Corp. | 1,353,155 | 83,490 |
* | Seattle Genetics Inc. | 1,473,048 | 83,463 |
22
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Hill-Rom Holdings Inc. | 922,920 | 81,725 |
* | Exelixis Inc. | 4,097,424 | 80,596 |
| Bio-Techne Corp. | 517,256 | 74,857 |
* | Bluebird Bio Inc. | 750,891 | 74,488 |
* | Charles River Laboratories International Inc. | 657,049 | 74,365 |
* | PRA Health Sciences Inc. | 801,808 | 73,734 |
* | athenahealth Inc. | 557,451 | 73,545 |
* | Masimo Corp. | 665,622 | 71,468 |
* | Haemonetics Corp. | 707,562 | 70,792 |
* | United Therapeutics Corp. | 598,704 | 65,199 |
* | Insulet Corp. | 810,877 | 64,319 |
* | Bio-Rad Laboratories Inc. Class A | 275,351 | 63,942 |
* | Alkermes plc | 2,134,700 | 62,995 |
| Chemed Corp. | 219,497 | 62,179 |
* | Catalent Inc. | 1,991,637 | 62,099 |
* | Sage Therapeutics Inc. | 643,831 | 61,673 |
* | LivaNova plc | 668,028 | 61,105 |
* | Medidata Solutions Inc. | 839,782 | 56,618 |
* | Loxo Oncology Inc. | 386,012 | 54,069 |
* | ICU Medical Inc. | 227,057 | 52,139 |
* | Penumbra Inc. | 426,627 | 52,134 |
* | FibroGen Inc. | 1,039,164 | 48,093 |
*,^ | Teladoc Health Inc. | 960,237 | 47,599 |
* | Amedisys Inc. | 398,061 | 46,617 |
* | Globus Medical Inc. | 1,040,476 | 45,032 |
* | Horizon Pharma plc | 2,294,670 | 44,838 |
* | HealthEquity Inc. | 742,845 | 44,311 |
* | Integra LifeSciences Holdings Corp. | 972,588 | 43,864 |
*,^ | TESARO Inc. | 590,053 | 43,811 |
* | Wright Medical Group NV | 1,596,652 | 43,461 |
* | Merit Medical Systems Inc. | 752,369 | 41,990 |
* | Array BioPharma Inc. | 2,926,345 | 41,700 |
| Bruker Corp. | 1,372,057 | 40,846 |
* | Neogen Corp. | 713,037 | 40,643 |
* | MEDNAX Inc. | 1,225,103 | 40,428 |
*,^ | Ligand Pharmaceuticals Inc. | 291,414 | 39,545 |
* | LHC Group Inc. | 400,592 | 37,608 |
| Cantel Medical Corp. | 497,635 | 37,049 |
* | Emergent BioSolutions Inc. | 616,472 | 36,544 |
* | AMN Healthcare Services Inc. | 644,071 | 36,493 |
* | NuVasive Inc. | 704,637 | 34,922 |
* | Immunomedics Inc. | 2,351,320 | 33,553 |
* | Omnicell Inc. | 543,399 | 33,278 |
* | Syneos Health Inc. | 833,338 | 32,792 |
* | Blueprint Medicines Corp. | 603,031 | 32,509 |
* | HMS Holdings Corp. | 1,149,285 | 32,329 |
* | Agios Pharmaceuticals Inc. | 693,710 | 31,987 |
* | Global Blood Therapeutics Inc. | 763,981 | 31,361 |
* | Acadia Healthcare Co. Inc. | 1,211,539 | 31,149 |
* | Integer Holdings Corp. | 407,424 | 31,070 |
* | Intercept Pharmaceuticals Inc. | 300,925 | 30,330 |
*,^ | Inogen Inc. | 242,037 | 30,054 |
* | Tandem Diabetes Care Inc. | 788,665 | 29,946 |
* | Myriad Genetics Inc. | 1,026,804 | 29,849 |
* | Avanos Medical Inc. | 650,485 | 29,135 |
* | Elanco Animal Health Inc. | 904,489 | 28,519 |
* | Ultragenyx Pharmaceutical Inc. | 652,984 | 28,392 |
* | Repligen Corp. | 534,810 | 28,206 |
* | Premier Inc. Class A | 734,207 | 27,423 |
* | BioTelemetry Inc. | 458,890 | 27,405 |
* | Arena Pharmaceuticals Inc. | 678,624 | 26,432 |
| Ensign Group Inc. | 676,114 | 26,226 |
* | NxStage Medical Inc. | 911,040 | 26,074 |
* | Glaukos Corp. | 459,197 | 25,793 |
23
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Halozyme Therapeutics Inc. | 1,735,326 | 25,388 |
* | Amicus Therapeutics Inc. | 2,603,596 | 24,942 |
* | ACADIA Pharmaceuticals Inc. | 1,536,505 | 24,845 |
* | Heron Therapeutics Inc. | 943,953 | 24,486 |
* | Pacira Pharmaceuticals Inc. | 563,379 | 24,237 |
* | Xencor Inc. | 657,234 | 23,766 |
* | Supernus Pharmaceuticals Inc. | 715,084 | 23,755 |
* | Quidel Corp. | 481,999 | 23,531 |
* | Acceleron Pharma Inc. | 532,271 | 23,180 |
* | Allscripts Healthcare Solutions Inc. | 2,386,900 | 23,010 |
* | Select Medical Holdings Corp. | 1,487,916 | 22,840 |
| CONMED Corp. | 355,747 | 22,839 |
* | MyoKardia Inc. | 461,387 | 22,543 |
| Patterson Cos. Inc. | 1,129,433 | 22,205 |
* | PTC Therapeutics Inc. | 645,743 | 22,162 |
* | Prestige Consumer Healthcare Inc. | 709,483 | 21,909 |
* | Atara Biotherapeutics Inc. | 624,653 | 21,700 |
*,^ | Zogenix Inc. | 575,619 | 20,987 |
* | iRhythm Technologies Inc. | 301,395 | 20,941 |
* | AnaptysBio Inc. | 314,879 | 20,086 |
* | Endo International plc | 2,736,773 | 19,978 |
* | Ironwood Pharmaceuticals Inc. Class A | 1,923,520 | 19,928 |
* | Evolent Health Inc. Class A | 980,915 | 19,569 |
* | Tenet Healthcare Corp. | 1,134,583 | 19,447 |
* | Aerie Pharmaceuticals Inc. | 536,951 | 19,384 |
* | Corcept Therapeutics Inc. | 1,447,609 | 19,340 |
* | Magellan Health Inc. | 336,430 | 19,140 |
* | Mirati Therapeutics Inc. | 445,760 | 18,909 |
*,^ | Denali Therapeutics Inc. | 913,257 | 18,868 |
* | Vanda Pharmaceuticals Inc. | 719,301 | 18,795 |
* | Medpace Holdings Inc. | 355,068 | 18,794 |
* | Genomic Health Inc. | 288,525 | 18,584 |
* | Mallinckrodt plc | 1,140,483 | 18,020 |
| US Physical Therapy Inc. | 174,562 | 17,866 |
*,^ | Portola Pharmaceuticals Inc. | 908,418 | 17,732 |
* | Spark Therapeutics Inc. | 445,423 | 17,434 |
* | REGENXBIO Inc. | 415,053 | 17,411 |
* | Cambrex Corp. | 459,692 | 17,358 |
* | Brookdale Senior Living Inc. | 2,585,965 | 17,326 |
* | Medicines Co. | 901,451 | 17,254 |
* | Vocera Communications Inc. | 420,336 | 16,540 |
* | Innoviva Inc. | 930,629 | 16,239 |
* | Nevro Corp. | 414,525 | 16,121 |
* | Sangamo Therapeutics Inc. | 1,402,226 | 16,098 |
* | Natus Medical Inc. | 466,892 | 15,888 |
* | Biohaven Pharmaceutical Holding Co. Ltd. | 424,789 | 15,709 |
*,^ | Esperion Therapeutics Inc. | 337,396 | 15,520 |
* | Enanta Pharmaceuticals Inc. | 216,989 | 15,369 |
*,^ | OPKO Health Inc. | 4,995,745 | 15,037 |
*,^ | Theravance Biopharma Inc. | 587,002 | 15,021 |
* | Iovance Biotherapeutics Inc. | 1,689,716 | 14,954 |
*,^ | Arrowhead Pharmaceuticals Inc. | 1,203,039 | 14,942 |
* | Tabula Rasa HealthCare Inc. | 232,667 | 14,835 |
| Atrion Corp. | 19,971 | 14,800 |
* | AtriCure Inc. | 481,306 | 14,728 |
* | Amneal Pharmaceuticals Inc. | 1,087,777 | 14,718 |
* | Momenta Pharmaceuticals Inc. | 1,318,985 | 14,562 |
*,^ | Inovalon Holdings Inc. Class A | 989,892 | 14,037 |
* | Insmed Inc. | 1,059,417 | 13,900 |
* | Pacific Biosciences of California Inc. | 1,872,436 | 13,856 |
* | Tivity Health Inc. | 556,897 | 13,817 |
* | Orthofix Medical Inc. | 263,199 | 13,815 |
* | Cardiovascular Systems Inc. | 477,126 | 13,593 |
* | CryoLife Inc. | 476,559 | 13,525 |
24
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Editas Medicine Inc. | 591,180 | 13,449 |
| Luminex Corp. | 573,432 | 13,252 |
* | Clovis Oncology Inc. | 726,440 | 13,047 |
* | NeoGenomics Inc. | 1,023,242 | 12,903 |
* | Retrophin Inc. | 567,097 | 12,833 |
* | CareDx Inc. | 509,448 | 12,808 |
* | Madrigal Pharmaceuticals Inc. | 113,597 | 12,805 |
* | Varex Imaging Corp. | 528,199 | 12,508 |
* | Aimmune Therapeutics Inc. | 520,861 | 12,459 |
* | STAAR Surgical Co. | 386,965 | 12,348 |
* | BioCryst Pharmaceuticals Inc. | 1,509,606 | 12,183 |
* | Spectrum Pharmaceuticals Inc. | 1,383,365 | 12,104 |
* | Reata Pharmaceuticals Inc. Class A | 213,919 | 12,001 |
* | Intersect ENT Inc. | 420,005 | 11,836 |
* | Codexis Inc. | 658,681 | 11,000 |
* | R1 RCM Inc. | 1,347,074 | 10,709 |
* | Fate Therapeutics Inc. | 827,365 | 10,615 |
| National HealthCare Corp. | 135,081 | 10,597 |
* | Diplomat Pharmacy Inc. | 781,670 | 10,521 |
* | Tactile Systems Technology Inc. | 229,404 | 10,449 |
*,^ | TherapeuticsMD Inc. | 2,731,882 | 10,408 |
* | AngioDynamics Inc. | 516,596 | 10,399 |
| Meridian Bioscience Inc. | 594,491 | 10,320 |
* | Vericel Corp. | 591,020 | 10,284 |
* | Audentes Therapeutics Inc. | 476,962 | 10,169 |
* | NextGen Healthcare Inc. | 658,267 | 9,973 |
* | Invitae Corp. | 900,205 | 9,956 |
* | OraSure Technologies Inc. | 844,452 | 9,863 |
* | ImmunoGen Inc. | 2,054,357 | 9,861 |
*,^ | Novavax Inc. | 5,254,891 | 9,669 |
* | Hanger Inc. | 502,100 | 9,515 |
* | Cerus Corp. | 1,866,211 | 9,462 |
* | AxoGen Inc. | 461,499 | 9,428 |
* | Amphastar Pharmaceuticals Inc. | 470,895 | 9,371 |
* | CytomX Therapeutics Inc. | 619,074 | 9,348 |
* | Addus HomeCare Corp. | 137,435 | 9,329 |
* | Radius Health Inc. | 565,265 | 9,321 |
* | Providence Service Corp. | 154,225 | 9,257 |
| Phibro Animal Health Corp. Class A | 282,889 | 9,098 |
* | WaVe Life Sciences Ltd. | 214,604 | 9,022 |
* | Surmodics Inc. | 189,723 | 8,966 |
* | Revance Therapeutics Inc. | 445,162 | 8,961 |
| HealthStream Inc. | 355,199 | 8,578 |
* | Acorda Therapeutics Inc. | 550,096 | 8,570 |
* | Puma Biotechnology Inc. | 420,713 | 8,562 |
* | Lantheus Holdings Inc. | 531,718 | 8,321 |
* | Alder Biopharmaceuticals Inc. | 808,085 | 8,283 |
* | Heska Corp. | 93,120 | 8,018 |
* | CorVel Corp. | 129,886 | 8,017 |
* | Rhythm Pharmaceuticals Inc. | 292,865 | 7,872 |
* | Intra-Cellular Therapies Inc. | 657,180 | 7,485 |
* | Athenex Inc. | 581,243 | 7,376 |
* | Coherus Biosciences Inc. | 798,586 | 7,227 |
* | Natera Inc. | 515,387 | 7,195 |
* | Dynavax Technologies Corp. | 785,384 | 7,186 |
* | AMAG Pharmaceuticals Inc. | 470,873 | 7,153 |
*,^ | Omeros Corp. | 636,186 | 7,087 |
* | Allogene Therapeutics Inc. | 262,300 | 7,064 |
* | Inspire Medical Systems Inc. | 166,704 | 7,043 |
* | Dicerna Pharmaceuticals Inc. | 658,534 | 7,040 |
* | Anika Therapeutics Inc. | 204,729 | 6,881 |
* | G1 Therapeutics Inc. | 354,147 | 6,782 |
* | Collegium Pharmaceutical Inc. | 393,988 | 6,765 |
*,^ | Akcea Therapeutics Inc. | 219,998 | 6,631 |
25
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Guardant Health Inc. | 175,427 | 6,594 |
* | MacroGenics Inc. | 519,087 | 6,592 |
*,^ | Akebia Therapeutics Inc. | 1,186,329 | 6,560 |
* | Karyopharm Therapeutics Inc. | 686,679 | 6,434 |
* | Assembly Biosciences Inc. | 283,651 | 6,416 |
* | Cymabay Therapeutics Inc. | 813,660 | 6,404 |
*,^ | Intrexon Corp. | 976,170 | 6,384 |
* | BioScrip Inc. | 1,776,680 | 6,343 |
* | Apellis Pharmaceuticals Inc. | 465,983 | 6,146 |
* | Eagle Pharmaceuticals Inc. | 149,942 | 6,041 |
*,^ | Cara Therapeutics Inc. | 463,077 | 6,020 |
*,^ | Apollo Medical Holdings Inc. | 302,932 | 6,013 |
* | PDL BioPharma Inc. | 2,036,714 | 5,906 |
* | Kura Oncology Inc. | 420,356 | 5,902 |
*,^ | TransEnterix Inc. | 2,589,717 | 5,853 |
* | Intellia Therapeutics Inc. | 422,322 | 5,765 |
* | Prothena Corp. plc | 543,859 | 5,602 |
* | Allakos Inc. | 106,938 | 5,590 |
*,^ | Viking Therapeutics Inc. | 728,802 | 5,575 |
* | RadNet Inc. | 546,142 | 5,554 |
* | Antares Pharma Inc. | 2,040,243 | 5,549 |
| Owens & Minor Inc. | 860,603 | 5,448 |
* | Triple-S Management Corp. Class B | 309,502 | 5,382 |
| National Research Corp. | 140,486 | 5,358 |
*,^ | Solid Biosciences Inc. | 198,787 | 5,327 |
* | Flexion Therapeutics Inc. | 470,086 | 5,321 |
* | Epizyme Inc. | 861,234 | 5,305 |
* | NanoString Technologies Inc. | 355,008 | 5,265 |
*,^ | Rocket Pharmaceuticals Inc. | 354,879 | 5,259 |
* | PetIQ Inc. Class A | 222,903 | 5,232 |
| LeMaitre Vascular Inc. | 220,172 | 5,205 |
* | Tricida Inc. | 219,977 | 5,187 |
* | Fluidigm Corp. | 594,107 | 5,121 |
* | ANI Pharmaceuticals Inc. | 113,645 | 5,116 |
* | Rigel Pharmaceuticals Inc. | 2,223,331 | 5,114 |
* | Veracyte Inc. | 396,495 | 4,988 |
* | Inovio Pharmaceuticals Inc. | 1,237,063 | 4,948 |
* | SIGA Technologies Inc. | 621,300 | 4,908 |
* | Progenics Pharmaceuticals Inc. | 1,157,536 | 4,862 |
* | Cytokinetics Inc. | 761,204 | 4,811 |
*,^ | ViewRay Inc. | 787,164 | 4,778 |
* | Ra Pharmaceuticals Inc. | 258,193 | 4,699 |
*,^ | Community Health Systems Inc. | 1,618,226 | 4,563 |
| Computer Programs & Systems Inc. | 181,527 | 4,556 |
* | Five Prime Therapeutics Inc. | 484,849 | 4,509 |
*,^ | CryoPort Inc. | 407,495 | 4,495 |
* | Kindred Biosciences Inc. | 409,360 | 4,482 |
*,^ | Lexicon Pharmaceuticals Inc. | 674,802 | 4,481 |
* | Akorn Inc. | 1,291,500 | 4,378 |
*,^ | MediciNova Inc. | 535,480 | 4,375 |
* | Accuray Inc. | 1,269,536 | 4,329 |
* | Deciphera Pharmaceuticals Inc. | 203,527 | 4,272 |
* | GlycoMimetics Inc. | 450,995 | 4,271 |
*,^ | Accelerate Diagnostics Inc. | 364,004 | 4,186 |
* | Aratana Therapeutics Inc. | 678,990 | 4,162 |
* | BioSpecifics Technologies Corp. | 68,334 | 4,141 |
* | Sientra Inc. | 320,152 | 4,069 |
* | SeaSpine Holdings Corp. | 218,519 | 3,986 |
* | GenMark Diagnostics Inc. | 805,957 | 3,917 |
* | Nuvectra Corp. | 238,006 | 3,889 |
*,^ | Corbus Pharmaceuticals Holdings Inc. | 665,693 | 3,888 |
* | Civitas Solutions Inc. | 217,517 | 3,809 |
*,^ | Eloxx Pharmaceuticals Inc. | 315,762 | 3,792 |
*,^ | TG Therapeutics Inc. | 919,526 | 3,770 |
26
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Stemline Therapeutics Inc. | 393,520 | 3,738 |
* | ArQule Inc. | 1,345,475 | 3,727 |
* | Cross Country Healthcare Inc. | 502,797 | 3,686 |
* | Aclaris Therapeutics Inc. | 487,440 | 3,602 |
*,^ | ZIOPHARM Oncology Inc. | 1,920,485 | 3,591 |
| Utah Medical Products Inc. | 42,493 | 3,530 |
* | ChemoCentryx Inc. | 319,317 | 3,484 |
*,^ | Verastem Inc. | 1,003,441 | 3,372 |
* | Dermira Inc. | 466,224 | 3,352 |
* | OrthoPediatrics Corp. | 95,228 | 3,322 |
*,^ | Senseonics Holdings Inc. | 1,273,867 | 3,299 |
* | Kiniksa Pharmaceuticals Ltd. Class A | 116,974 | 3,286 |
* | Cutera Inc. | 191,222 | 3,255 |
* | Assertio Therapeutics Inc. | 886,664 | 3,201 |
*,^ | PolarityTE Inc. | 234,891 | 3,169 |
* | Albireo Pharma Inc. | 129,109 | 3,167 |
* | Kadmon Holdings Inc. | 1,512,207 | 3,145 |
* | Voyager Therapeutics Inc. | 334,319 | 3,143 |
*,^ | Abeona Therapeutics Inc. | 436,549 | 3,117 |
*,^ | Agenus Inc. | 1,303,023 | 3,101 |
*,^ | Sorrento Therapeutics Inc. | 1,273,038 | 3,055 |
* | Achillion Pharmaceuticals Inc. | 1,915,426 | 3,046 |
* | Concert Pharmaceuticals Inc. | 239,490 | 3,006 |
* | Savara Inc. | 393,472 | 2,979 |
*,^ | Osiris Therapeutics Inc. | 218,523 | 2,950 |
| Simulations Plus Inc. | 145,238 | 2,890 |
* | RTI Surgical Inc. | 779,635 | 2,885 |
* | BioDelivery Sciences International Inc. | 778,334 | 2,880 |
* | Avid Bioservices Inc. | 702,354 | 2,880 |
* | Catalyst Pharmaceuticals Inc. | 1,489,675 | 2,860 |
*,^ | CASI Pharmaceuticals Inc. | 711,485 | 2,860 |
* | CytoSorbents Corp. | 353,897 | 2,859 |
* | Minerva Neurosciences Inc. | 421,522 | 2,841 |
*,^ | La Jolla Pharmaceutical Co. | 292,229 | 2,756 |
* | Capital Senior Living Corp. | 401,621 | 2,731 |
* | Homology Medicines Inc. | 121,771 | 2,723 |
* | IntriCon Corp. | 101,916 | 2,689 |
*,^ | Athersys Inc. | 1,839,055 | 2,648 |
* | KalVista Pharmaceuticals Inc. | 134,012 | 2,647 |
*,^ | Cellular Biomedicine Group Inc. | 149,303 | 2,637 |
*,^ | Crinetics Pharmaceuticals Inc. | 87,687 | 2,630 |
* | American Renal Associates Holdings Inc. | 226,579 | 2,610 |
*,^ | Geron Corp. | 2,552,248 | 2,552 |
* | Aldeyra Therapeutics Inc. | 303,544 | 2,519 |
*,^ | Surgery Partners Inc. | 248,129 | 2,429 |
* | Krystal Biotech Inc. | 116,573 | 2,422 |
* | Bovie Medical Corp. | 365,205 | 2,367 |
*,^ | Lannett Co. Inc. | 476,770 | 2,365 |
* | Adamas Pharmaceuticals Inc. | 275,507 | 2,353 |
*,^ | MannKind Corp. | 2,216,798 | 2,350 |
* | Zafgen Inc. | 471,085 | 2,332 |
* | Tocagen Inc. | 283,520 | 2,328 |
* | Adverum Biotechnologies Inc. | 734,456 | 2,314 |
* | Castlight Health Inc. Class B | 1,063,129 | 2,307 |
*,^ | Quanterix Corp. | 124,335 | 2,277 |
*,^ | AVEO Pharmaceuticals Inc. | 1,414,384 | 2,263 |
* | Calithera Biosciences Inc. | 561,595 | 2,252 |
*,^ | Rubius Therapeutics Inc. | 139,349 | 2,241 |
*,^ | Helius Medical Technologies Inc. Class A | 234,490 | 2,148 |
* | Enzo Biochem Inc. | 771,587 | 2,145 |
* | Eiger BioPharmaceuticals Inc. | 208,134 | 2,115 |
*,^ | Odonate Therapeutics Inc. | 147,123 | 2,071 |
*,^ | AcelRx Pharmaceuticals Inc. | 892,568 | 2,062 |
*,^ | XBiotech Inc. | 397,433 | 2,019 |
27
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Paratek Pharmaceuticals Inc. | 389,195 | 1,997 |
| Invacare Corp. | 455,774 | 1,960 |
* | Ocular Therapeutix Inc. | 487,041 | 1,938 |
* | BioLife Solutions Inc. | 159,639 | 1,920 |
* | Principia Biopharma Inc. | 69,547 | 1,905 |
*,^ | Marinus Pharmaceuticals Inc. | 641,650 | 1,842 |
* | Celcuity Inc. | 76,715 | 1,840 |
* | FONAR Corp. | 90,717 | 1,836 |
*,^ | CorMedix Inc. | 1,421,479 | 1,834 |
* | Aduro Biotech Inc. | 694,492 | 1,833 |
* | Harvard Bioscience Inc. | 568,057 | 1,806 |
* | Proteostasis Therapeutics Inc. | 549,062 | 1,779 |
*,^ | Scholar Rock Holding Corp. | 77,010 | 1,769 |
* | Y-mAbs Therapeutics Inc. | 86,110 | 1,751 |
* | Axonics Modulation Technologies Inc. | 114,378 | 1,728 |
*,^ | Marker Therapeutics Inc. | 309,957 | 1,720 |
* | Bellicum Pharmaceuticals Inc. | 585,862 | 1,711 |
* | Spring Bank Pharmaceuticals Inc. | 163,351 | 1,697 |
*,^ | Dova Pharmaceuticals Inc. | 223,127 | 1,691 |
* | Chimerix Inc. | 643,484 | 1,654 |
* | Twist Bioscience Corp. | 70,987 | 1,639 |
*,^ | Tyme Technologies Inc. | 442,028 | 1,631 |
* | Aeglea BioTherapeutics Inc. | 213,619 | 1,600 |
* | Palatin Technologies Inc. | 2,246,944 | 1,592 |
*,^ | iRadimed Corp. | 64,570 | 1,579 |
* | Neuronetics Inc. | 81,618 | 1,579 |
* | Forty Seven Inc. | 99,197 | 1,559 |
* | T2 Biosystems Inc. | 514,760 | 1,549 |
* | Recro Pharma Inc. | 218,028 | 1,548 |
* | Syros Pharmaceuticals Inc. | 277,221 | 1,544 |
*,^ | Rockwell Medical Inc. | 676,909 | 1,530 |
*,^ | Evolus Inc. | 127,176 | 1,513 |
* | Imprimis Pharmaceuticals Inc. | 264,836 | 1,507 |
* | ContraFect Corp. | 958,686 | 1,467 |
*,^ | Galectin Therapeutics Inc. | 425,355 | 1,459 |
* | Kezar Life Sciences Inc. | 60,499 | 1,428 |
* | Kala Pharmaceuticals Inc. | 291,628 | 1,426 |
*,^ | BioTime Inc. | 1,559,489 | 1,424 |
* | Gritstone Oncology Inc. | 91,924 | 1,420 |
*,^ | Organovo Holdings Inc. | 1,436,035 | 1,374 |
* | Aptinyx Inc. | 82,449 | 1,364 |
*,^ | Arcus Biosciences Inc. | 125,779 | 1,355 |
* | Avrobio Inc. | 80,435 | 1,339 |
*,^ | Seres Therapeutics Inc. | 295,653 | 1,336 |
* | Arvinas Inc. | 103,565 | 1,331 |
*,^ | EyePoint Pharmaceuticals Inc. | 701,402 | 1,326 |
* | Acer Therapeutics Inc. | 65,711 | 1,322 |
* | Catalyst Biosciences Inc. | 166,714 | 1,315 |
* | Synlogic Inc. | 186,329 | 1,306 |
*,^ | Insys Therapeutics Inc. | 370,328 | 1,296 |
* | Protagonist Therapeutics Inc. | 190,330 | 1,281 |
* | SI-BONE Inc. | 61,263 | 1,280 |
*,^ | Xeris Pharmaceuticals Inc. | 75,082 | 1,276 |
| Psychemedics Corp. | 78,603 | 1,247 |
* | Optinose Inc. | 201,111 | 1,247 |
*,^ | Adamis Pharmaceuticals Corp. | 550,638 | 1,239 |
*,^ | XOMA Corp. | 96,353 | 1,219 |
* | OptimizeRx Corp. | 109,854 | 1,205 |
* | Syndax Pharmaceuticals Inc. | 270,598 | 1,204 |
*,^ | Calyxt Inc. | 114,374 | 1,185 |
* | Sesen Bio Inc. | 831,849 | 1,181 |
*,^ | Pulse Biosciences Inc. | 102,763 | 1,178 |
*,^ | Cohbar Inc. | 378,132 | 1,176 |
*,^ | ChromaDex Corp. | 342,026 | 1,173 |
28
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Pfenex Inc. | 359,735 | 1,148 |
*,^ | UNITY Biotechnology Inc. | 68,492 | 1,114 |
* | Chembio Diagnostics Inc. | 196,738 | 1,114 |
* | Vapotherm Inc. | 55,649 | 1,110 |
* | Quorum Health Corp. | 379,043 | 1,095 |
* | LogicBio Therapeutics Inc. | 103,600 | 1,077 |
* | Durect Corp. | 2,198,383 | 1,062 |
* | MEI Pharma Inc. | 397,761 | 1,050 |
*,^ | Corindus Vascular Robotics Inc. | 1,221,096 | 1,026 |
* | Endologix Inc. | 1,359,221 | 973 |
* | Sensus Healthcare Inc. | 130,738 | 969 |
*,^ | Replimune Group Inc. | 96,365 | 964 |
*,^ | HTG Molecular Diagnostics Inc. | 376,997 | 958 |
*,^ | Cue Biopharma Inc. | 202,666 | 953 |
* | Liquidia Technologies Inc. | 42,737 | 926 |
* | Ardelyx Inc. | 515,419 | 923 |
*,^ | Eidos Therapeutics Inc. | 64,948 | 894 |
* | Idera Pharmaceuticals Inc. | 321,071 | 889 |
* | Catasys Inc. | 94,687 | 887 |
*,^ | Anavex Life Sciences Corp. | 566,620 | 884 |
*,^ | Teligent Inc. | 642,232 | 880 |
* | Neos Therapeutics Inc. | 530,752 | 876 |
* | Miragen Therapeutics Inc. | 288,427 | 874 |
* | Infinity Pharmaceuticals Inc. | 727,899 | 859 |
* | ElectroCore Inc. | 135,647 | 849 |
*,^ | CEL-SCI Corp. | 295,212 | 847 |
*,^ | BrainStorm Cell Therapeutics Inc. | 238,368 | 846 |
*,^ | Ekso Bionics Holdings Inc. | 659,947 | 818 |
* | Tetraphase Pharmaceuticals Inc. | 723,299 | 817 |
*,^ | Anixa Biosciences Inc. | 205,784 | 811 |
*,^ | Evelo Biosciences Inc. | 61,795 | 804 |
* | Jounce Therapeutics Inc. | 237,499 | 800 |
* | Mersana Therapeutics Inc. | 196,096 | 800 |
* | ADMA Biologics Inc. | 333,451 | 797 |
* | Molecular Templates Inc. | 195,021 | 788 |
* | IRIDEX Corp. | 164,887 | 775 |
* | Spero Therapeutics Inc. | 121,258 | 746 |
* | Aerpio Pharmaceuticals Inc. | 426,100 | 724 |
* | Axsome Therapeutics Inc. | 256,514 | 723 |
* | Aquinox Pharmaceuticals Inc. | 331,503 | 716 |
*,^ | Genesis Healthcare Inc. | 605,622 | 715 |
* | Merrimack Pharmaceuticals Inc. | 185,083 | 714 |
*,^ | resTORbio Inc. | 81,878 | 706 |
* | Misonix Inc. | 43,884 | 703 |
* | Otonomy Inc. | 377,846 | 699 |
*,^ | Matinas BioPharma Holdings Inc. | 1,171,741 | 697 |
*,^ | Achaogen Inc. | 561,451 | 691 |
*,^ | Zynerba Pharmaceuticals Inc. | 231,681 | 688 |
* | Osmotica Pharmaceuticals plc | 83,106 | 644 |
*,^ | Magenta Therapeutics Inc. | 111,476 | 635 |
* | InfuSystem Holdings Inc. | 183,833 | 632 |
*,^ | Checkpoint Therapeutics Inc. | 346,400 | 630 |
*,^ | Conatus Pharmaceuticals Inc. | 362,868 | 628 |
* | RA Medical Systems Inc. | 78,850 | 627 |
| Kewaunee Scientific Corp. | 18,804 | 625 |
* | Verrica Pharmaceuticals Inc. | 76,530 | 624 |
* | Ophthotech Corp. | 516,091 | 619 |
* | Immune Design Corp. | 461,740 | 600 |
*,^ | Viveve Medical Inc. | 570,640 | 599 |
* | Orgenesis Inc. | 127,319 | 596 |
* | Icad Inc. | 157,862 | 584 |
* | Urovant Sciences Ltd. | 88,497 | 583 |
* | Kodiak Sciences Inc. | 82,086 | 583 |
* | NewLink Genetics Corp. | 382,170 | 581 |
29
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Corvus Pharmaceuticals Inc. | 155,146 | 569 |
*,^ | VBI Vaccines Inc. | 353,698 | 566 |
* | Surface Oncology Inc. | 132,306 | 561 |
*,^ | VistaGen Therapeutics Inc. | 371,814 | 558 |
*,^ | VolitionRX Ltd. | 307,270 | 556 |
*,^ | Opiant Pharmaceuticals Inc. | 38,303 | 553 |
* | Allena Pharmaceuticals Inc. | 101,373 | 552 |
* | Translate Bio Inc. | 73,522 | 551 |
* | KemPharm Inc. | 309,384 | 551 |
* | Mustang Bio Inc. | 184,807 | 543 |
* | Cumberland Pharmaceuticals Inc. | 83,401 | 525 |
*,^ | Ampio Pharmaceuticals Inc. | 1,311,656 | 518 |
* | Applied Genetic Technologies Corp. | 207,936 | 518 |
*,^ | OncoSec Medical Inc. | 804,959 | 515 |
* | CTI BioPharma Corp. | 690,723 | 507 |
* | Cidara Therapeutics Inc. | 209,686 | 493 |
* | Apollo Endosurgery Inc. | 142,486 | 492 |
* | Cerecor Inc. | 148,509 | 480 |
* | Sharps Compliance Corp. | 144,455 | 474 |
* | Champions Oncology Inc. | 59,932 | 468 |
* | AgeX Therapeutics Inc. | 155,948 | 466 |
*,^ | Sophiris Bio Inc. | 559,915 | 465 |
* | Selecta Biosciences Inc. | 171,425 | 456 |
*,^ | Evoke Pharma Inc. | 182,231 | 452 |
* | Aevi Genomic Medicine Inc. | 631,947 | 442 |
* | NantKwest Inc. | 379,861 | 441 |
*,^ | Innovate Biopharmaceuticals Inc. | 189,900 | 439 |
* | Provention Bio Inc. | 245,215 | 434 |
* | Melinta Therapeutics Inc. | 539,416 | 428 |
* | Celldex Therapeutics Inc. | 2,141,825 | 424 |
* | Menlo Therapeutics Inc. | 101,515 | 418 |
*,^ | Trevena Inc. | 966,358 | 416 |
* | Clearside Biomedical Inc. | 387,364 | 414 |
*,^ | Heat Biologics Inc. | 416,742 | 408 |
* | Ovid therapeutics Inc. | 167,892 | 406 |
| Aceto Corp. | 481,966 | 405 |
*,^ | Rexahn Pharmaceuticals Inc. | 427,517 | 398 |
* | Unum Therapeutics Inc. | 90,293 | 397 |
* | Alphatec Holdings Inc. | 163,944 | 375 |
* | Alimera Sciences Inc. | 518,727 | 372 |
* | Catabasis Pharmaceuticals Inc. | 85,112 | 372 |
*,^ | Evofem Biosciences Inc. | 87,622 | 367 |
* | Aquestive Therapeutics Inc. | 58,176 | 367 |
* | Electromed Inc. | 71,985 | 366 |
* | Sienna Biopharmaceuticals Inc. | 155,246 | 360 |
*,^ | Obalon Therapeutics Inc. | 173,018 | 358 |
*,^ | Millendo Therapeutics Inc. | 44,973 | 358 |
*,^ | Medical Transcription Billing Corp. | 89,380 | 340 |
*,^ | Fortress Biotech Inc. | 386,717 | 333 |
*,^ | Aethlon Medical Inc. | 198,054 | 329 |
*,^ | Zosano Pharma Corp. | 153,459 | 325 |
* | Actinium Pharmaceuticals Inc. | 809,392 | 313 |
* | Vical Inc. | 261,746 | 309 |
* | Aravive Inc. | 87,683 | 309 |
*,^ | Moderna Inc. | 19,997 | 305 |
* | scPharmaceuticals Inc. | 80,058 | 301 |
* | Aptevo Therapeutics Inc. | 232,945 | 296 |
* | Caladrius Biosciences Inc. | 83,015 | 296 |
*,^ | Second Sight Medical Products Inc. | 327,947 | 290 |
*,^ | NantHealth Inc. | 530,430 | 289 |
* | Lipocine Inc. | 208,893 | 272 |
*,^ | Riot Blockchain Inc. | 179,749 | 271 |
* | SCYNEXIS Inc. | 562,798 | 271 |
* | Chiasma Inc. | 86,888 | 270 |
30
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Conformis Inc. | 720,234 | 258 |
*,^ | SELLAS Life Sciences Group Inc. | 206,991 | 255 |
*,^ | vTv Therapeutics Inc. Class A | 94,591 | 251 |
*,^ | Curis Inc. | 363,068 | 250 |
*,^ | Equillium Inc. | 30,027 | 245 |
* | IsoRay Inc. | 801,772 | 241 |
* | Celsion Corp. | 170,528 | 240 |
* | Neurotrope Inc. | 67,260 | 240 |
*,^ | Moleculin Biotech Inc. | 229,179 | 238 |
* | Sutro Biopharma Inc. | 26,125 | 236 |
*,^ | Bellerophon Therapeutics Inc. | 291,993 | 234 |
*,^ | PAVmed Inc. | 240,525 | 231 |
* | AAC Holdings Inc. | 163,646 | 229 |
* | BioSig Technologies Inc. | 52,572 | 224 |
* | CAS Medical Systems Inc. | 139,814 | 224 |
* | Strata Skin Sciences Inc. | 83,712 | 218 |
*,^ | Genocea Biosciences Inc. | 751,470 | 216 |
* | OncoMed Pharmaceuticals Inc. | 287,555 | 215 |
* | Novan Inc. | 255,311 | 212 |
* | Leap Therapeutics Inc. | 105,558 | 211 |
| Digirad Corp. | 363,958 | 207 |
* | Asterias Biotherapeutics Inc. Class A | 326,770 | 203 |
* | Entasis Therapeutics Holdings Inc. | 49,097 | 200 |
* | VIVUS Inc. | 89,439 | 199 |
* | Interpace Diagnostics Group Inc. | 248,372 | 199 |
* | Joint Corp. | 22,735 | 189 |
* | Proteon Therapeutics Inc. | 81,784 | 186 |
*,^ | Arsanis Inc. | 79,499 | 184 |
*,^ | BioPharmX Corp. | 1,693,738 | 183 |
*,^ | Valeritas Holdings Inc. | 561,026 | 183 |
* | PhaseBio Pharmaceuticals Inc. | 56,307 | 174 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,694,430 | 174 |
* | Neon Therapeutics Inc. | 33,544 | 169 |
* | Vermillion Inc. | 552,188 | 166 |
* | Bioxcel Therapeutics Inc. | 42,822 | 165 |
*,^ | Akers Biosciences Inc. | 143,770 | 162 |
*,^ | Adial Pharmaceuticals Inc. | 30,832 | 158 |
* | Pro-Dex Inc. | 12,685 | 153 |
* | Soleno Therapeutics Inc. | 88,996 | 152 |
* | Sunesis Pharmaceuticals Inc. | 363,659 | 151 |
*,^ | Avenue Therapeutics Inc. | 27,252 | 147 |
*,^ | Myomo Inc. | 101,985 | 147 |
* | ENDRA Life Sciences Inc. | 97,900 | 147 |
* | Advaxis Inc. | 748,188 | 142 |
* | Bioanalytical Systems Inc. | 111,396 | 141 |
*,^ | Agile Therapeutics Inc. | 241,958 | 139 |
*,^ | Oragenics Inc. | 160,117 | 138 |
*,^ | Soligenix Inc. | 158,107 | 136 |
*,^ | InVivo Therapeutics Holdings Corp. | 85,892 | 130 |
* | Outlook Therapeutics Inc. | 258,846 | 129 |
* | Fibrocell Science Inc. | 80,875 | 121 |
*,^ | Capricor Therapeutics Inc. | 294,197 | 121 |
* | CytRx Corp. | 261,880 | 118 |
*,^ | Trovagene Inc. | 217,675 | 114 |
*,^ | Titan Pharmaceuticals Inc. | 493,805 | 110 |
*,^ | GTx Inc. | 141,091 | 110 |
* | Five Star Senior Living Inc. | 235,990 | 110 |
*,^ | Gemphire Therapeutics Inc. | 129,871 | 101 |
*,^ | Oncocyte Corp. | 72,850 | 101 |
* | Alpine Immune Sciences Inc. | 27,198 | 100 |
*,^ | Pulmatrix Inc. | 415,907 | 100 |
^ | Biolase Inc. | 97,373 | 96 |
*,^ | Senestech Inc. | 162,808 | 95 |
*,^ | Edge Therapeutics Inc. | 294,157 | 94 |
31
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Restoration Robotics Inc. | 211,907 | 92 |
* | Tracon Pharmaceuticals Inc. | 145,455 | 92 |
*,^ | aTyr Pharma Inc. | 177,445 | 88 |
*,^ | AquaBounty Technologies Inc. | 41,893 | 86 |
*,^ | Yield10 Bioscience Inc. | 103,390 | 86 |
* | Vital Therapies Inc. | 453,231 | 84 |
*,^ | DarioHealth Corp. | 107,299 | 83 |
*,^ | Alliqua BioMedical Inc. | 41,300 | 77 |
* | NanoViricides Inc. | 380,907 | 76 |
*,^ | Aytu BioScience Inc. | 95,268 | 75 |
*,^ | Pain Therapeutics Inc. | 87,959 | 75 |
* | ImmuCell Corp. | 10,955 | 75 |
* | Cocrystal Pharma Inc. | 20,149 | 73 |
*,^ | Xtant Medical Holdings Inc. | 44,170 | 71 |
*,^ | Atossa Genetics Inc. | 68,917 | 70 |
*,^ | Co-Diagnostics Inc. | 45,845 | 67 |
*,^ | iBio Inc. | 87,761 | 66 |
^ | Altimmune Inc. | 32,082 | 66 |
* | SunLink Health Systems Inc. | 57,952 | 66 |
*,^ | Hemispherx Biopharma Inc. | 361,415 | 65 |
* | Retractable Technologies Inc. | 109,240 | 65 |
* | Cyclacel Pharmaceuticals Inc. | 106,172 | 64 |
* | Streamline Health Solutions Inc. | 83,275 | 64 |
*,^ | Precision Therapeutics Inc. | 101,040 | 62 |
| Vaxart Inc. | 33,222 | 61 |
* | EyeGate Pharmaceuticals Inc. | 131,610 | 61 |
* | Novus Therapeutics Inc. | 37,690 | 60 |
* | CynergisTek Inc. | 12,239 | 58 |
* | Fulgent Genetics Inc. | 18,060 | 57 |
*,^ | Xenetic Biosciences Inc. | 35,393 | 57 |
*,^ | Histogenics Corp. | 633,789 | 56 |
* | Jaguar Health Inc. | 244,300 | 56 |
* | Ligand Pharmaceuticals Inc. Rights Beta CVR | 395,811 | 55 |
*,^ | OpGen Inc. | 41,396 | 54 |
* | Synthorx Inc. | 3,072 | 53 |
*,^ | Neuralstem Inc. | 165,532 | 52 |
* | BioNano Genomics Inc. | 9,790 | 51 |
* | AzurRx BioPharma Inc. | 40,665 | 49 |
* | Constellation Pharmaceuticals Inc. | 12,040 | 48 |
*,^ | Onconova Therapeutics Inc. | 22,579 | 48 |
* | Ohr Pharmaceutical Inc. | 531,931 | 46 |
*,^ | AmpliPhi Biosciences Corp. | 212,113 | 44 |
*,^ | Cancer Genetics Inc. | 179,351 | 43 |
* | Diffusion Pharmaceuticals Inc. | 21,803 | 43 |
*,^ | Sonoma Pharmaceuticals Inc. | 57,676 | 41 |
| ProPhase Labs Inc. | 12,637 | 40 |
* | Flex Pharma Inc. | 119,407 | 39 |
*,^ | Aradigm Corp. | 120,486 | 39 |
*,^ | Pernix Therapeutics Holdings Inc. | 90,003 | 38 |
*,^ | Ritter Pharmaceuticals Inc. | 56,210 | 34 |
*,^ | Apricus Biosciences Inc. | 172,054 | 33 |
*,^ | Regulus Therapeutics Inc. | 32,504 | 30 |
* | Citius Pharmaceuticals Inc. | 28,963 | 30 |
*,^ | Dare Bioscience Inc. | 41,359 | 29 |
*,^ | ContraVir Pharmaceuticals Inc. | 101,131 | 29 |
* | Cellectar Biosciences Inc. | 16,755 | 26 |
| Ligand Pharmaceuticals Inc. Rights Glucagon CVR | 395,811 | 24 |
* | Allied Healthcare Products Inc. | 11,560 | 23 |
*,^ | Tonix Pharmaceuticals Holding Corp. | 9,762 | 21 |
* | Aileron Therapeutics Inc. | 24,778 | 21 |
* | NanoVibronix Inc. | 5,700 | 20 |
*,^ | Achieve Life Sciences Inc. | 15,555 | 19 |
* | Regional Health Properties Inc. | 139,122 | 18 |
*,^ | Precipio Inc. | 116,462 | 18 |
32
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | ARCA biopharma Inc. | 50,481 | 17 |
* | Presbia plc | 54,190 | 16 |
*,^ | CHF Solutions Inc. | 33,048 | 16 |
* | Cesca Therapeutics Inc. | 58,940 | 16 |
* | Eyenovia Inc. | 5,416 | 15 |
| Diversicare Healthcare Services Inc. | 6,253 | 15 |
*,^ | Tenax Therapeutics Inc. | 12,200 | 15 |
*,^ | Attis Industries Inc. | 82,465 | 15 |
* | Bio-Path Holdings Inc. | 78,343 | 14 |
*,^ | Cleveland BioLabs Inc. | 13,546 | 14 |
*,^ | Microbot Medical Inc. | 7,871 | 14 |
* | American Shared Hospital Services | 5,681 | 14 |
*,^ | Biocept Inc. | 13,911 | 12 |
* | NovaBay Pharmaceuticals Inc. | 15,439 | 12 |
*,^ | Synthetic Biologics Inc. | 18,147 | 10 |
* | SiNtx Technologies Inc. | 52,791 | 10 |
| Daxor Corp. | 1,105 | 9 |
* | NeuroMetrix Inc. | 11,900 | 9 |
*,^ | Phio Pharmaceuticals Corp. | 26,460 | 9 |
*,^ | MYnd Analytics Inc. | 11,697 | 9 |
* | Biomerica Inc. | 4,818 | 8 |
* | PLx Pharma Inc. | 5,122 | 8 |
*,^ | InspireMD Inc. | 43,504 | 7 |
*,^ | Nobilis Health Corp. | 10,255 | 4 |
* | Micron Solutions Inc. | 1,204 | 3 |
* | Cytori Therapeutics Inc. | 9,598 | 3 |
* | Milestone Scientific Inc. | 7,165 | 2 |
* | Ligand Pharmaceuticals Inc. Rights Roche CVR | 395,811 | 2 |
* | Ligand Pharmaceuticals Inc. Rights General CVR | 395,811 | 2 |
*,^ | Avinger Inc. | 2,800 | 1 |
| Wright Medical Group Inc. CVR | 52,493 | 1 |
* | ReShape Lifesciences Inc. | 177 | — |
* | MabVax Therapeutics Holdings Inc. | 2 | — |
| | | 7,161,347 |
Industrials (13.4%) | | |
* | CoStar Group Inc. | 498,344 | 168,111 |
| TransUnion | 2,541,059 | 144,332 |
| IDEX Corp. | 1,051,665 | 132,783 |
| Old Dominion Freight Line Inc. | 895,164 | 110,544 |
| Lennox International Inc. | 494,875 | 108,308 |
| Spirit AeroSystems Holdings Inc. Class A | 1,450,684 | 104,580 |
* | Teledyne Technologies Inc. | 495,465 | 102,596 |
* | Sensata Technologies Holding plc | 2,247,671 | 100,786 |
* | XPO Logistics Inc. | 1,742,046 | 99,366 |
| Graco Inc. | 2,282,488 | 95,522 |
* | HD Supply Holdings Inc. | 2,510,784 | 94,205 |
| KAR Auction Services Inc. | 1,846,751 | 88,127 |
| Nordson Corp. | 719,069 | 85,821 |
| Wabtec Corp. | 1,175,891 | 82,606 |
| Carlisle Cos. Inc. | 816,851 | 82,110 |
| Toro Co. | 1,444,308 | 80,708 |
* | Middleby Corp. | 766,548 | 78,747 |
* | WABCO Holdings Inc. | 715,824 | 76,837 |
| Donaldson Co. Inc. | 1,749,570 | 75,914 |
| Hubbell Inc. Class B | 749,977 | 74,503 |
| Dun & Bradstreet Corp. | 505,684 | 72,181 |
| Allison Transmission Holdings Inc. | 1,631,274 | 71,629 |
| Lincoln Electric Holdings Inc. | 881,983 | 69,544 |
| Hexcel Corp. | 1,178,934 | 67,600 |
* | JetBlue Airways Corp. | 4,179,937 | 67,130 |
| Owens Corning | 1,499,349 | 65,941 |
| Acuity Brands Inc. | 550,238 | 63,250 |
| Curtiss-Wright Corp. | 601,338 | 61,409 |
| Watsco Inc. | 440,590 | 61,304 |
33
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| HEICO Corp. Class A | 971,650 | 61,214 |
| Oshkosh Corp. | 984,294 | 60,347 |
* | Genesee & Wyoming Inc. Class A | 798,795 | 59,127 |
| ITT Inc. | 1,196,647 | 57,762 |
* | AECOM | 2,140,569 | 56,725 |
| Woodward Inc. | 762,203 | 56,624 |
| ManpowerGroup Inc. | 843,836 | 54,681 |
* | Spirit Airlines Inc. | 937,569 | 54,304 |
| Landstar System Inc. | 562,227 | 53,788 |
| BWX Technologies Inc. | 1,352,358 | 51,701 |
| nVent Electric plc | 2,242,492 | 50,366 |
| AGCO Corp. | 901,639 | 50,194 |
| Crane Co. | 691,883 | 49,940 |
* | Kirby Corp. | 739,740 | 49,829 |
| USG Corp. | 1,159,791 | 49,477 |
| Insperity Inc. | 519,826 | 48,531 |
| MSC Industrial Direct Co. Inc. Class A | 622,768 | 47,903 |
* | Trex Co. Inc. | 804,181 | 47,736 |
| EMCOR Group Inc. | 788,936 | 47,092 |
| MSA Safety Inc. | 480,036 | 45,253 |
| Brink’s Co. | 695,241 | 44,947 |
| EnerSys | 578,361 | 44,887 |
* | RBC Bearings Inc. | 339,863 | 44,556 |
* | Esterline Technologies Corp. | 365,098 | 44,341 |
| HEICO Corp. | 571,569 | 44,285 |
| Knight-Swift Transportation Holdings Inc. | 1,721,744 | 43,164 |
* | Stericycle Inc. | 1,165,699 | 42,770 |
* | Generac Holdings Inc. | 850,237 | 42,257 |
* | Proto Labs Inc. | 371,896 | 41,946 |
| Trinity Industries Inc. | 2,021,191 | 41,616 |
| Regal Beloit Corp. | 591,278 | 41,419 |
| Air Lease Corp. Class A | 1,369,011 | 41,358 |
^ | Healthcare Services Group Inc. | 1,012,719 | 40,691 |
| Tetra Tech Inc. | 758,973 | 39,292 |
| Armstrong World Industries Inc. | 674,755 | 39,277 |
* | ASGN Inc. | 716,882 | 39,070 |
| Macquarie Infrastructure Corp. | 1,053,978 | 38,533 |
| Kennametal Inc. | 1,120,337 | 37,285 |
| GATX Corp. | 515,659 | 36,514 |
| Exponent Inc. | 715,308 | 36,273 |
* | Gardner Denver Holdings Inc. | 1,747,597 | 35,738 |
| Timken Co. | 946,676 | 35,330 |
* | MasTec Inc. | 870,379 | 35,303 |
* | Axon Enterprise Inc. | 803,593 | 35,157 |
* | FTI Consulting Inc. | 526,151 | 35,063 |
| Ryder System Inc. | 723,594 | 34,841 |
* | Aerojet Rocketdyne Holdings Inc. | 985,294 | 34,712 |
* | Resideo Technologies Inc. | 1,688,652 | 34,702 |
| Barnes Group Inc. | 646,543 | 34,668 |
* | Clean Harbors Inc. | 699,117 | 34,501 |
| Moog Inc. Class A | 444,454 | 34,436 |
| AMERCO | 104,852 | 34,403 |
| Valmont Industries Inc. | 304,553 | 33,790 |
* | Rexnord Corp. | 1,432,798 | 32,883 |
| Hillenbrand Inc. | 856,265 | 32,478 |
| SkyWest Inc. | 714,633 | 31,780 |
* | Mercury Systems Inc. | 665,308 | 31,462 |
| John Bean Technologies Corp. | 435,207 | 31,252 |
* | SiteOne Landscape Supply Inc. | 561,278 | 31,022 |
| Korn/Ferry International | 780,217 | 30,850 |
| Simpson Manufacturing Co. Inc. | 568,219 | 30,758 |
* | WESCO International Inc. | 637,789 | 30,614 |
| UniFirst Corp. | 211,933 | 30,321 |
* | Beacon Roofing Supply Inc. | 936,279 | 29,699 |
34
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Brady Corp. Class A | 671,429 | 29,180 |
| KBR Inc. | 1,919,197 | 29,133 |
| ABM Industries Inc. | 902,576 | 28,982 |
| Applied Industrial Technologies Inc. | 537,072 | 28,970 |
* | Univar Inc. | 1,573,565 | 27,915 |
* | Chart Industries Inc. | 426,300 | 27,722 |
* | Colfax Corp. | 1,299,463 | 27,159 |
| Granite Construction Inc. | 643,178 | 25,907 |
* | TriNet Group Inc. | 601,101 | 25,216 |
| Albany International Corp. | 400,986 | 25,034 |
| Herman Miller Inc. | 818,008 | 24,745 |
| Watts Water Technologies Inc. Class A | 381,733 | 24,633 |
| Terex Corp. | 889,559 | 24,525 |
| Deluxe Corp. | 633,776 | 24,362 |
| ESCO Technologies Inc. | 357,790 | 23,596 |
* | Advanced Disposal Services Inc. | 981,324 | 23,493 |
* | Navistar International Corp. | 895,452 | 23,237 |
* | Dycom Industries Inc. | 427,916 | 23,125 |
| Franklin Electric Co. Inc. | 531,679 | 22,798 |
| Comfort Systems USA Inc. | 512,719 | 22,396 |
| Universal Forest Products Inc. | 850,360 | 22,075 |
| Altra Industrial Motion Corp. | 877,028 | 22,057 |
| Forward Air Corp. | 400,894 | 21,989 |
| Triton International Ltd. | 705,303 | 21,914 |
* | Harsco Corp. | 1,100,694 | 21,860 |
| Covanta Holding Corp. | 1,607,727 | 21,576 |
| HNI Corp. | 607,054 | 21,508 |
| Kaman Corp. | 383,450 | 21,508 |
| Cubic Corp. | 393,319 | 21,137 |
* | Avis Budget Group Inc. | 889,521 | 19,996 |
* | Welbilt Inc. | 1,794,176 | 19,933 |
* | Aerovironment Inc. | 291,920 | 19,836 |
* | Saia Inc. | 353,997 | 19,760 |
* | Meritor Inc. | 1,168,299 | 19,756 |
| Mueller Water Products Inc. Class A | 2,166,350 | 19,714 |
| Mobile Mini Inc. | 615,735 | 19,550 |
| AAON Inc. | 556,893 | 19,525 |
| US Ecology Inc. | 304,323 | 19,166 |
| Matson Inc. | 588,407 | 18,841 |
* | Air Transport Services Group Inc. | 813,673 | 18,560 |
| Mueller Industries Inc. | 792,629 | 18,516 |
* | Arcosa Inc. | 666,906 | 18,467 |
| Werner Enterprises Inc. | 609,467 | 18,004 |
| Matthews International Corp. Class A | 442,139 | 17,960 |
| Hawaiian Holdings Inc. | 677,548 | 17,894 |
* | SPX FLOW Inc. | 586,421 | 17,839 |
| Raven Industries Inc. | 488,529 | 17,680 |
| Allegiant Travel Co. Class A | 176,197 | 17,658 |
| Actuant Corp. Class A | 839,999 | 17,632 |
| Steelcase Inc. Class A | 1,188,669 | 17,628 |
| Greenbrier Cos. Inc. | 445,118 | 17,600 |
| McGrath RentCorp | 336,443 | 17,320 |
* | NOW Inc. | 1,486,956 | 17,308 |
* | Builders FirstSource Inc. | 1,584,941 | 17,292 |
* | TriMas Corp. | 632,308 | 17,256 |
| EnPro Industries Inc. | 285,589 | 17,164 |
* | Hub Group Inc. Class A | 461,347 | 17,102 |
| ICF International Inc. | 262,457 | 17,002 |
* | Kratos Defense & Security Solutions Inc. | 1,199,947 | 16,907 |
| AAR Corp. | 452,252 | 16,887 |
* | SPX Corp. | 600,310 | 16,815 |
| Federal Signal Corp. | 833,358 | 16,584 |
* | Masonite International Corp. | 365,789 | 16,398 |
| Rush Enterprises Inc. Class A | 465,316 | 16,044 |
35
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Huron Consulting Group Inc. | 311,886 | 16,003 |
* | Gibraltar Industries Inc. | 439,581 | 15,645 |
* | Casella Waste Systems Inc. Class A | 540,579 | 15,401 |
* | CBIZ Inc. | 772,370 | 15,216 |
| Pitney Bowes Inc. | 2,565,517 | 15,162 |
* | MRC Global Inc. | 1,239,392 | 15,158 |
*,^ | Upwork Inc. | 822,543 | 14,896 |
* | WageWorks Inc. | 545,919 | 14,827 |
| Encore Wire Corp. | 293,079 | 14,707 |
* | Atlas Air Worldwide Holdings Inc. | 348,499 | 14,703 |
| AZZ Inc. | 361,571 | 14,593 |
* | BMC Stock Holdings Inc. | 932,683 | 14,438 |
| Lindsay Corp. | 148,983 | 14,340 |
| Navigant Consulting Inc. | 584,872 | 14,066 |
| Viad Corp. | 280,749 | 14,063 |
| Advanced Drainage Systems Inc. | 568,860 | 13,795 |
* | JELD-WEN Holding Inc. | 945,829 | 13,440 |
| Sun Hydraulics Corp. | 397,578 | 13,196 |
| Aircastle Ltd. | 763,404 | 13,161 |
| Tennant Co. | 249,953 | 13,025 |
* | Continental Building Products Inc. | 506,620 | 12,893 |
* | PGT Innovations Inc. | 796,205 | 12,620 |
* | TrueBlue Inc. | 565,686 | 12,587 |
* | Atkore International Group Inc. | 634,156 | 12,582 |
| Kadant Inc. | 151,152 | 12,313 |
| ArcBest Corp. | 353,792 | 12,121 |
| Heartland Express Inc. | 658,153 | 12,044 |
* | American Woodmark Corp. | 213,778 | 11,903 |
| Interface Inc. Class A | 832,868 | 11,868 |
| Standex International Corp. | 175,906 | 11,817 |
| Apogee Enterprises Inc. | 389,026 | 11,612 |
* | Milacron Holdings Corp. | 976,271 | 11,608 |
* | Sunrun Inc. | 1,034,110 | 11,261 |
| Knoll Inc. | 676,948 | 11,156 |
| Douglas Dynamics Inc. | 310,514 | 11,144 |
| Primoris Services Corp. | 579,862 | 11,093 |
* | Astronics Corp. | 348,545 | 10,613 |
| Alamo Group Inc. | 133,400 | 10,314 |
* | Hertz Global Holdings Inc. | 750,481 | 10,244 |
| Wabash National Corp. | 781,444 | 10,221 |
* | CSW Industrials Inc. | 209,866 | 10,147 |
^ | ADT Inc. | 1,665,301 | 10,008 |
| Kforce Inc. | 323,434 | 10,001 |
| GrafTech International Ltd. | 838,986 | 9,598 |
* | SP Plus Corp. | 321,179 | 9,488 |
| ACCO Brands Corp. | 1,398,570 | 9,482 |
| Astec Industries Inc. | 313,386 | 9,461 |
* | Thermon Group Holdings Inc. | 452,148 | 9,170 |
* | Patrick Industries Inc. | 302,530 | 8,958 |
| Kelly Services Inc. Class A | 435,871 | 8,927 |
| H&E Equipment Services Inc. | 435,794 | 8,899 |
| Marten Transport Ltd. | 548,019 | 8,872 |
* | Tutor Perini Corp. | 541,517 | 8,648 |
| Columbus McKinnon Corp. | 286,923 | 8,648 |
* | Gates Industrial Corp. plc | 651,387 | 8,624 |
* | Herc Holdings Inc. | 329,918 | 8,575 |
* | Vicor Corp. | 220,891 | 8,347 |
| Gorman-Rupp Co. | 257,288 | 8,339 |
| National Presto Industries Inc. | 71,189 | 8,323 |
| Hyster-Yale Materials Handling Inc. | 134,112 | 8,310 |
| Heidrick & Struggles International Inc. | 265,723 | 8,288 |
* | Echo Global Logistics Inc. | 393,478 | 7,999 |
| Triumph Group Inc. | 688,785 | 7,921 |
| Global Brass & Copper Holdings Inc. | 310,858 | 7,818 |
36
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | NV5 Global Inc. | 128,494 | 7,780 |
| Briggs & Stratton Corp. | 584,981 | 7,652 |
* | Evoqua Water Technologies Corp. | 796,780 | 7,649 |
| Argan Inc. | 200,048 | 7,570 |
| Kimball International Inc. Class B | 531,978 | 7,549 |
| Schneider National Inc. Class B | 388,136 | 7,247 |
* | Manitowoc Co. Inc. | 490,102 | 7,239 |
* | Aegion Corp. Class A | 441,623 | 7,207 |
* | Engility Holdings Inc. | 253,098 | 7,203 |
| Ennis Inc. | 371,635 | 7,154 |
* | Wesco Aircraft Holdings Inc. | 904,127 | 7,143 |
| DMC Global Inc. | 194,678 | 6,837 |
* | Nexeo Solutions Inc. | 793,528 | 6,816 |
| Multi-Color Corp. | 193,384 | 6,786 |
* | GMS Inc. | 453,702 | 6,742 |
| Quanex Building Products Corp. | 487,198 | 6,621 |
| Essendant Inc. | 519,044 | 6,530 |
* | MYR Group Inc. | 230,355 | 6,489 |
| Insteel Industries Inc. | 254,548 | 6,180 |
* | TPI Composites Inc. | 250,137 | 6,148 |
* | DXP Enterprises Inc. | 220,567 | 6,141 |
| Resources Connection Inc. | 431,216 | 6,123 |
| Forrester Research Inc. | 135,371 | 6,051 |
*,^ | Team Inc. | 412,293 | 6,040 |
* | Great Lakes Dredge & Dock Corp. | 887,915 | 5,878 |
* | CIRCOR International Inc. | 273,513 | 5,826 |
| Barrett Business Services Inc. | 101,097 | 5,788 |
* | Ducommun Inc. | 156,025 | 5,667 |
* | CAI International Inc. | 232,518 | 5,401 |
| Quad/Graphics Inc. | 418,123 | 5,151 |
* | Willscot Corp. Class A | 534,315 | 5,033 |
*,^ | Enphase Energy Inc. | 1,063,165 | 5,029 |
* | Lydall Inc. | 245,731 | 4,991 |
| Griffon Corp. | 472,223 | 4,935 |
| Systemax Inc. | 203,959 | 4,873 |
*,^ | KeyW Holding Corp. | 726,230 | 4,858 |
| CRA International Inc. | 112,912 | 4,804 |
| Allied Motion Technologies Inc. | 103,943 | 4,645 |
* | Eagle Bulk Shipping Inc. | 975,540 | 4,497 |
* | Heritage-Crystal Clean Inc. | 194,270 | 4,470 |
* | Willdan Group Inc. | 126,427 | 4,422 |
* | Veritiv Corp. | 174,068 | 4,346 |
* | NCI Building Systems Inc. | 583,040 | 4,227 |
* | Armstrong Flooring Inc. | 355,801 | 4,213 |
*,^ | Plug Power Inc. | 3,346,592 | 4,150 |
| Miller Industries Inc. | 153,592 | 4,147 |
* | Sterling Construction Co. Inc. | 360,203 | 3,923 |
* | Titan Machinery Inc. | 295,874 | 3,891 |
* | Mistras Group Inc. | 265,176 | 3,813 |
| RR Donnelley & Sons Co. | 959,265 | 3,799 |
| NN Inc. | 559,110 | 3,752 |
* | Franklin Covey Co. | 167,632 | 3,743 |
| Park-Ohio Holdings Corp. | 121,486 | 3,728 |
*,^ | Blue Bird Corp. | 196,969 | 3,583 |
* | Vectrus Inc. | 165,334 | 3,568 |
| Titan International Inc. | 764,034 | 3,560 |
* | Ameresco Inc. Class A | 250,805 | 3,536 |
* | Covenant Transportation Group Inc. Class A | 183,373 | 3,521 |
| VSE Corp. | 115,614 | 3,458 |
* | Northwest Pipe Co. | 148,203 | 3,452 |
| Spartan Motors Inc. | 457,965 | 3,311 |
| Powell Industries Inc. | 127,424 | 3,187 |
| LSC Communications Inc. | 453,906 | 3,177 |
* | BlueLinx Holdings Inc. | 126,289 | 3,121 |
37
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | BrightView Holdings Inc. | 304,328 | 3,107 |
*,^ | Energy Recovery Inc. | 460,117 | 3,097 |
^ | REV Group Inc. | 404,454 | 3,037 |
| Hurco Cos. Inc. | 83,303 | 2,974 |
* | Daseke Inc. | 785,932 | 2,892 |
* | GP Strategies Corp. | 229,215 | 2,890 |
* | PICO Holdings Inc. | 315,396 | 2,883 |
*,^ | Bloom Energy Corp. Class A | 287,004 | 2,864 |
*,^ | American Superconductor Corp. | 248,232 | 2,768 |
* | Lawson Products Inc. | 86,461 | 2,732 |
* | LB Foster Co. Class A | 171,765 | 2,731 |
| Graham Corp. | 118,067 | 2,697 |
* | Sparton Corp. | 147,991 | 2,692 |
* | CECO Environmental Corp. | 397,613 | 2,684 |
| Omega Flex Inc. | 48,216 | 2,607 |
* | Acacia Research Corp. | 814,332 | 2,427 |
* | General Finance Corp. | 238,390 | 2,410 |
| BG Staffing Inc. | 113,482 | 2,343 |
* | Willis Lease Finance Corp. | 64,374 | 2,227 |
*,^ | Vivint Solar Inc. | 576,325 | 2,196 |
| Universal Logistics Holdings Inc. | 118,095 | 2,136 |
^ | EVI Industries Inc. | 63,665 | 2,123 |
* | Radiant Logistics Inc. | 494,010 | 2,100 |
* | InnerWorkings Inc. | 558,737 | 2,090 |
* | Commercial Vehicle Group Inc. | 362,533 | 2,066 |
| Eastern Co. | 83,819 | 2,027 |
* | Orion Group Holdings Inc. | 458,187 | 1,966 |
* | Twin Disc Inc. | 130,235 | 1,921 |
* | Hill International Inc. | 609,300 | 1,877 |
| Preformed Line Products Co. | 33,864 | 1,837 |
* | IES Holdings Inc. | 107,279 | 1,668 |
* | Genco Shipping & Trading Ltd. | 207,090 | 1,634 |
* | Foundation Building Materials Inc. | 195,305 | 1,623 |
* | USA Truck Inc. | 104,877 | 1,570 |
* | YRC Worldwide Inc. | 462,764 | 1,458 |
*,^ | Energous Corp. | 249,653 | 1,446 |
* | PAM Transportation Services Inc. | 36,413 | 1,435 |
* | Transcat Inc. | 74,035 | 1,408 |
* | HC2 Holdings Inc. | 533,069 | 1,407 |
* | FreightCar America Inc. | 204,206 | 1,366 |
* | Construction Partners Inc. Class A | 153,303 | 1,354 |
| Rush Enterprises Inc. Class B | 37,656 | 1,341 |
* | Infrastructure and Energy Alternatives Inc. | 157,400 | 1,289 |
* | US Xpress Enterprises Inc. Class A | 229,409 | 1,287 |
* | Gencor Industries Inc. | 115,798 | 1,270 |
* | ARC Document Solutions Inc. | 549,008 | 1,125 |
* | Manitex International Inc. | 197,034 | 1,119 |
| LSI Industries Inc. | 349,060 | 1,107 |
*,^ | LiqTech International Inc. | 781,265 | 1,070 |
* | NRC Group Holdings Corp. | 134,300 | 1,027 |
* | CPI Aerostructures Inc. | 150,962 | 962 |
*,^ | ExOne Co. | 141,424 | 936 |
*,^ | Babcock & Wilcox Enterprises Inc. | 2,376,150 | 928 |
* | Tecogen Inc. | 235,717 | 856 |
* | Arotech Corp. | 307,745 | 806 |
* | Houston Wire & Cable Co. | 159,120 | 805 |
*,^ | Aqua Metals Inc. | 434,030 | 790 |
* | Performant Financial Corp. | 350,863 | 789 |
* | Mesa Air Group Inc. | 102,044 | 787 |
| Virco Manufacturing Corp. | 163,028 | 699 |
* | Goldfield Corp. | 302,912 | 685 |
*,^ | FuelCell Energy Inc. | 1,153,819 | 635 |
* | Alpha Pro Tech Ltd. | 166,676 | 618 |
* | Ultralife Corp. | 89,938 | 607 |
38
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Intersections Inc. | 157,289 | 580 |
* | Charah Solutions Inc. | 68,591 | 573 |
* | Perma-Pipe International Holdings Inc. | 63,262 | 554 |
*,^ | Capstone Turbine Corp. | 910,478 | 545 |
* | NL Industries Inc. | 135,037 | 474 |
| Ecology and Environment Inc. | 40,958 | 464 |
*,^ | Red Violet Inc. | 68,272 | 460 |
*,^ | Hudson Technologies Inc. | 511,921 | 456 |
* | Huttig Building Products Inc. | 247,746 | 446 |
* | Taylor Devices Inc. | 36,095 | 433 |
* | Mastech Digital Inc. | 60,874 | 384 |
* | Jewett-Cameron Trading Co. Ltd. | 47,428 | 337 |
| Acme United Corp. | 22,707 | 324 |
*,^ | Odyssey Marine Exploration Inc. | 84,811 | 282 |
*,^ | Astrotech Corp. | 58,922 | 281 |
* | RCM Technologies Inc. | 90,641 | 281 |
* | Patriot Transportation Holding Inc. | 13,915 | 271 |
* | Innovative Solutions & Support Inc. | 110,868 | 244 |
* | Air T Inc. | 8,896 | 218 |
* | Volt Information Sciences Inc. | 98,513 | 212 |
* | Orion Energy Systems Inc. | 364,891 | 208 |
* | Roadrunner Transportation Systems Inc. | 411,715 | 204 |
* | Hudson Global Inc. | 150,751 | 204 |
* | Perma-Fix Environmental Services | 86,290 | 203 |
* | Fuel Tech Inc. | 169,040 | 201 |
| Servotronics Inc. | 19,902 | 198 |
* | FTE Networks Inc. | 82,837 | 194 |
* | LS Starrett Co. Class A | 34,978 | 183 |
* | Broadwind Energy Inc. | 137,005 | 178 |
* | Pangaea Logistics Solutions Ltd. | 58,133 | 176 |
* | Jason Industries Inc. | 124,202 | 170 |
*,^ | Lightbridge Corp. | 296,381 | 162 |
* | Polar Power Inc. | 26,498 | 128 |
* | SIFCO Industries Inc. | 33,067 | 114 |
*,^ | Sigma Labs Inc. | 70,539 | 106 |
* | DLH Holdings Corp. | 20,850 | 99 |
| Espey Manufacturing & Electronics Corp. | 3,829 | 95 |
* | Pioneer Power Solutions Inc. | 17,498 | 92 |
| Chicago Rivet & Machine Co. | 2,905 | 92 |
*,^ | ShiftPixy Inc. | 46,515 | 83 |
* | Document Security Systems Inc. | 111,407 | 82 |
* | Air Industries Group | 98,500 | 70 |
*,^ | American Electric Technologies Inc. | 80,860 | 69 |
* | Avalon Holdings Corp. Class A | 25,600 | 68 |
*,^ | Revolution Lighting Technologies Inc. | 157,430 | 62 |
*,^ | Marathon Patent Group Inc. | 161,721 | 59 |
*,^ | DPW Holdings Inc. | 569,964 | 58 |
* | Sunworks Inc. | 219,815 | 58 |
*,^ | Real Goods Solar Inc. Class A | 109,768 | 58 |
*,^ | Spherix Inc. | 88,138 | 57 |
* | ASV Holdings Inc. | 27,820 | 56 |
*,^ | Ocean Power Technologies Inc. | 159,260 | 54 |
* | Industrial Services of America Inc. | 43,054 | 48 |
* | Limbach Holdings Inc. | 12,049 | 44 |
* | Cemtrex Inc. | 72,541 | 42 |
* | Energy Focus Inc. | 63,555 | 39 |
*,^ | EnSync Inc. | 211,783 | 38 |
| CompX International Inc. | 2,807 | 38 |
*,^ | Staffing 360 Solutions Inc. | 22,073 | 33 |
* | AMREP Corp. | 5,318 | 32 |
* | SG Blocks Inc. | 11,720 | 31 |
* | MICT Inc. | 36,900 | 24 |
*,^ | Ideal Power Inc. | 95,702 | 23 |
^ | AgEagle Aerial Systems Inc. | 37,367 | 21 |
39
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | GEE Group Inc. | 27,339 | 19 |
*,^ | Tel-Instrument Electronics Corp. | 4,968 | 19 |
* | Command Security Corp. | 5,565 | 16 |
* | Continental Materials Corp. | 1,122 | 12 |
* | Art’s-Way Manufacturing Co. Inc. | 4,243 | 8 |
* | AeroCentury Corp. | 800 | 8 |
* | Quest Resource Holding Corp. | 3,589 | 5 |
* | ARC Group Worldwide Inc. | 4,700 | 5 |
| | | 7,794,222 |
Information Technology (17.7%) | | |
* | ServiceNow Inc. | 2,461,296 | 438,234 |
* | Workday Inc. Class A | 2,000,932 | 319,509 |
* | Worldpay Inc. Class A | 4,141,739 | 316,553 |
* | Palo Alto Networks Inc. | 1,295,015 | 243,916 |
* | Square Inc. | 4,232,818 | 237,419 |
* | Splunk Inc. | 2,013,268 | 211,091 |
| CDW Corp. | 2,058,434 | 166,836 |
* | GoDaddy Inc. Class A | 2,287,256 | 150,090 |
| VMware Inc. Class A | 1,037,246 | 142,238 |
| SS&C Technologies Holdings Inc. | 2,956,138 | 133,351 |
| Marvell Technology Group Ltd. | 8,131,106 | 131,643 |
* | First Data Corp. Class A | 7,777,463 | 131,517 |
* | PTC Inc. | 1,464,999 | 121,448 |
* | Zebra Technologies Corp. | 738,547 | 117,599 |
* | Tableau Software Inc. Class A | 978,855 | 117,463 |
* | Trimble Inc. | 3,448,199 | 113,480 |
| Leidos Holdings Inc. | 2,053,973 | 108,285 |
* | Ultimate Software Group Inc. | 427,768 | 104,748 |
* | Tyler Technologies Inc. | 532,829 | 99,010 |
* | Twilio Inc. Class A | 1,086,776 | 97,049 |
* | ON Semiconductor Corp. | 5,775,550 | 95,354 |
| Cognex Corp. | 2,364,626 | 91,440 |
* | Guidewire Software Inc. | 1,110,749 | 89,115 |
| Booz Allen Hamilton Holding Corp. Class A | 1,945,787 | 87,697 |
* | Black Knight Inc. | 1,943,110 | 87,557 |
* | Dell Technologies Inc. | 1,762,666 | 86,141 |
* | Integrated Device Technology Inc. | 1,770,244 | 85,733 |
* | Zendesk Inc. | 1,465,434 | 85,537 |
| CDK Global Inc. | 1,763,005 | 84,413 |
* | WEX Inc. | 590,255 | 82,671 |
* | Arrow Electronics Inc. | 1,195,965 | 82,462 |
| Sabre Corp. | 3,774,218 | 81,674 |
* | EPAM Systems Inc. | 703,487 | 81,612 |
* | Paycom Software Inc. | 665,579 | 81,500 |
* | Aspen Technology Inc. | 968,272 | 79,573 |
* | RingCentral Inc. Class A | 940,937 | 77,571 |
| Teradyne Inc. | 2,455,465 | 77,052 |
* | Fair Isaac Corp. | 396,926 | 74,225 |
* | Euronet Worldwide Inc. | 706,958 | 72,378 |
| National Instruments Corp. | 1,546,739 | 70,191 |
* | ARRIS International plc | 2,237,989 | 68,415 |
* | Okta Inc. | 1,064,025 | 67,885 |
* | Ciena Corp. | 1,936,436 | 65,665 |
| Cypress Semiconductor Corp. | 4,965,694 | 63,164 |
* | HubSpot Inc. | 500,580 | 62,938 |
* | Proofpoint Inc. | 748,137 | 62,701 |
* | Teradata Corp. | 1,621,968 | 62,219 |
| Monolithic Power Systems Inc. | 533,239 | 61,989 |
* | Cree Inc. | 1,408,663 | 60,256 |
| Littelfuse Inc. | 344,380 | 59,054 |
* | Trade Desk Inc. Class A | 497,104 | 57,694 |
| LogMeIn Inc. | 701,906 | 57,254 |
| MAXIMUS Inc. | 879,585 | 57,252 |
| Avnet Inc. | 1,521,527 | 54,927 |
40
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
^ | Universal Display Corp. | 581,979 | 54,456 |
| Dolby Laboratories Inc. Class A | 880,406 | 54,444 |
| Entegris Inc. | 1,941,805 | 54,167 |
* | Nuance Communications Inc. | 3,936,150 | 52,075 |
| Genpact Ltd. | 1,903,357 | 51,372 |
* | New Relic Inc. | 623,206 | 50,461 |
* | CACI International Inc. Class A | 340,363 | 49,022 |
| Jabil Inc. | 1,975,709 | 48,978 |
* | RealPage Inc. | 1,003,511 | 48,359 |
| MKS Instruments Inc. | 740,185 | 47,823 |
* | Silicon Laboratories Inc. | 590,341 | 46,525 |
| SYNNEX Corp. | 569,153 | 46,010 |
*,^ | ViaSat Inc. | 770,696 | 45,433 |
* | Coupa Software Inc. | 709,248 | 44,583 |
| j2 Global Inc. | 640,355 | 44,428 |
* | ACI Worldwide Inc. | 1,592,604 | 44,067 |
* | First Solar Inc. | 1,036,803 | 44,017 |
* | FireEye Inc. | 2,695,017 | 43,686 |
* | CommScope Holding Co. Inc. | 2,635,169 | 43,190 |
* | Nutanix Inc. | 1,024,399 | 42,605 |
* | Lumentum Holdings Inc. | 1,009,106 | 42,393 |
* | Tech Data Corp. | 511,919 | 41,880 |
| Blackbaud Inc. | 665,277 | 41,846 |
* | Semtech Corp. | 904,554 | 41,492 |
| Versum Materials Inc. | 1,496,802 | 41,491 |
* | 2U Inc. | 792,170 | 39,387 |
* | LiveRamp Holdings Inc. | 995,211 | 38,445 |
* | Pure Storage Inc. Class A | 2,362,671 | 37,992 |
* | Manhattan Associates Inc. | 895,567 | 37,945 |
* | Verint Systems Inc. | 892,128 | 37,746 |
* | NCR Corp. | 1,629,263 | 37,603 |
| Cabot Microelectronics Corp. | 393,454 | 37,516 |
| Science Applications International Corp. | 582,896 | 37,130 |
* | Cornerstone OnDemand Inc. | 731,598 | 36,894 |
* | CoreLogic Inc. | 1,102,850 | 36,857 |
* | Coherent Inc. | 334,421 | 35,352 |
* | Five9 Inc. | 804,019 | 35,152 |
* | Finisar Corp. | 1,606,251 | 34,695 |
* | Qualys Inc. | 463,172 | 34,617 |
| Perspecta Inc. | 1,937,224 | 33,359 |
* | Box Inc. | 1,958,849 | 33,065 |
| Vishay Intertechnology Inc. | 1,808,157 | 32,565 |
* | Viavi Solutions Inc. | 3,140,848 | 31,565 |
*,^ | MongoDB Inc. | 376,464 | 31,525 |
* | CommVault Systems Inc. | 531,753 | 31,421 |
| InterDigital Inc. | 465,534 | 30,925 |
* | Envestnet Inc. | 627,062 | 30,845 |
* | Ellie Mae Inc. | 476,515 | 29,939 |
* | Novanta Inc. | 450,272 | 28,367 |
| Travelport Worldwide Ltd. | 1,794,745 | 28,034 |
* | Cirrus Logic Inc. | 821,783 | 27,267 |
* | Conduent Inc. | 2,517,565 | 26,762 |
* | II-VI Inc. | 816,508 | 26,504 |
* | Paylocity Holding Corp. | 434,909 | 26,186 |
^ | Ubiquiti Networks Inc. | 263,176 | 26,162 |
* | Fabrinet | 506,025 | 25,964 |
* | Dropbox Inc. Class A | 1,270,142 | 25,949 |
| Brooks Automation Inc. | 978,281 | 25,611 |
* | Imperva Inc. | 451,624 | 25,151 |
* | Q2 Holdings Inc. | 506,524 | 25,098 |
* | Rogers Corp. | 252,606 | 25,023 |
* | Alarm.com Holdings Inc. | 480,872 | 24,943 |
* | ExlService Holdings Inc. | 471,209 | 24,795 |
* | EchoStar Corp. Class A | 670,043 | 24,604 |
41
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Alteryx Inc. Class A | 413,689 | 24,602 |
| Power Integrations Inc. | 402,097 | 24,520 |
| Pegasystems Inc. | 506,279 | 24,215 |
* | Bottomline Technologies DE Inc. | 503,672 | 24,176 |
| EVERTEC Inc. | 828,350 | 23,774 |
* | 8x8 Inc. | 1,308,725 | 23,609 |
| Belden Inc. | 551,807 | 23,049 |
* | Advanced Energy Industries Inc. | 529,444 | 22,729 |
* | NetScout Systems Inc. | 960,853 | 22,705 |
* | Sanmina Corp. | 940,256 | 22,623 |
* | NETGEAR Inc. | 434,762 | 22,621 |
* | Plexus Corp. | 439,779 | 22,464 |
| Progress Software Corp. | 625,832 | 22,211 |
* | Itron Inc. | 460,970 | 21,799 |
* | Varonis Systems Inc. | 403,271 | 21,333 |
* | Anixter International Inc. | 392,720 | 21,329 |
* | SailPoint Technologies Holding Inc. | 891,188 | 20,934 |
*,^ | SolarEdge Technologies Inc. | 592,918 | 20,811 |
* | Avaya Holdings Corp. | 1,421,208 | 20,693 |
* | Everbridge Inc. | 362,473 | 20,574 |
* | Blackline Inc. | 501,871 | 20,552 |
* | Insight Enterprises Inc. | 491,057 | 20,011 |
* | SPS Commerce Inc. | 242,378 | 19,967 |
| Badger Meter Inc. | 401,624 | 19,764 |
*,^ | Inphi Corp. | 603,205 | 19,393 |
| ManTech International Corp. Class A | 365,431 | 19,110 |
| Kulicke & Soffa Industries Inc. | 936,598 | 18,985 |
* | Apptio Inc. Class A | 497,430 | 18,882 |
* | Cloudera Inc. | 1,657,648 | 18,334 |
* | SendGrid Inc. | 409,237 | 17,667 |
* | Diodes Inc. | 546,454 | 17,629 |
* | Synaptics Inc. | 473,155 | 17,606 |
* | Rapid7 Inc. | 564,456 | 17,588 |
* | OSI Systems Inc. | 233,875 | 17,143 |
*,^ | Ceridian HCM Holding Inc. | 493,576 | 17,023 |
* | MicroStrategy Inc. Class A | 130,749 | 16,703 |
* | Knowles Corp. | 1,236,799 | 16,462 |
* | Instructure Inc. | 435,200 | 16,324 |
* | Virtusa Corp. | 382,517 | 16,291 |
* | MINDBODY Inc. Class A | 443,148 | 16,131 |
| TiVo Corp. | 1,703,382 | 16,029 |
*,^ | 3D Systems Corp. | 1,566,447 | 15,931 |
* | MaxLinear Inc. | 861,564 | 15,164 |
* | LivePerson Inc. | 803,910 | 15,162 |
| Plantronics Inc. | 452,575 | 14,980 |
* | Hortonworks Inc. | 1,035,667 | 14,934 |
* | PROS Holdings Inc. | 475,500 | 14,931 |
| CSG Systems International Inc. | 466,351 | 14,816 |
* | Acacia Communications Inc. | 389,746 | 14,810 |
* | Electronics For Imaging Inc. | 595,327 | 14,764 |
* | Benefitfocus Inc. | 321,408 | 14,695 |
* | FormFactor Inc. | 1,017,460 | 14,336 |
* | Electro Scientific Industries Inc. | 470,273 | 14,089 |
* | Fitbit Inc. Class A | 2,833,383 | 14,082 |
* | Sykes Enterprises Inc. | 561,897 | 13,896 |
| KEMET Corp. | 790,794 | 13,871 |
* | ePlus Inc. | 189,563 | 13,491 |
* | Cardtronics plc Class A | 511,354 | 13,295 |
| Ebix Inc. | 311,969 | 13,277 |
| Benchmark Electronics Inc. | 604,415 | 12,801 |
* | DocuSign Inc. Class A | 315,384 | 12,641 |
* | Workiva Inc. | 347,776 | 12,482 |
* | TTM Technologies Inc. | 1,279,448 | 12,449 |
* | Yext Inc. | 837,024 | 12,430 |
42
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Xperi Corp. | 668,423 | 12,292 |
* | Cray Inc. | 563,144 | 12,158 |
* | Lattice Semiconductor Corp. | 1,753,401 | 12,134 |
* | ScanSource Inc. | 350,796 | 12,060 |
| Methode Electronics Inc. | 514,508 | 11,983 |
| CTS Corp. | 462,218 | 11,967 |
* | Amkor Technology Inc. | 1,784,606 | 11,707 |
| NIC Inc. | 921,659 | 11,502 |
* | Rambus Inc. | 1,497,167 | 11,483 |
* | Carbonite Inc. | 451,554 | 11,406 |
* | Verra Mobility Corp. | 1,167,436 | 11,394 |
*,^ | GTT Communications Inc. | 460,644 | 10,899 |
* | Cision Ltd. | 930,928 | 10,892 |
* | Perficient Inc. | 465,085 | 10,353 |
*,^ | Appian Corp. Class A | 384,546 | 10,271 |
| AVX Corp. | 665,969 | 10,156 |
* | Altair Engineering Inc. Class A | 367,186 | 10,127 |
| Mesa Laboratories Inc. | 48,546 | 10,116 |
| MTS Systems Corp. | 249,749 | 10,022 |
* | Extreme Networks Inc. | 1,612,930 | 9,839 |
* | FARO Technologies Inc. | 241,743 | 9,824 |
* | Appfolio Inc. | 159,830 | 9,465 |
* | Nanometrics Inc. | 339,713 | 9,284 |
| Monotype Imaging Holdings Inc. | 587,087 | 9,112 |
* | Pivotal Software Inc. Class A | 555,242 | 9,078 |
* | Rudolph Technologies Inc. | 442,240 | 9,053 |
* | MACOM Technology Solutions Holdings Inc. | 619,145 | 8,984 |
* | Photronics Inc. | 924,088 | 8,945 |
| Cohu Inc. | 556,510 | 8,943 |
| Cass Information Systems Inc. | 167,678 | 8,873 |
* | ForeScout Technologies Inc. | 318,083 | 8,267 |
* | Infinera Corp. | 2,068,166 | 8,252 |
*,^ | Unisys Corp. | 705,233 | 8,202 |
| Comtech Telecommunications Corp. | 332,578 | 8,095 |
* | Evo Payments Inc. Class A | 323,131 | 7,972 |
* | Axcelis Technologies Inc. | 447,348 | 7,963 |
* | Zscaler Inc. | 197,533 | 7,745 |
* | Endurance International Group Holdings Inc. | 1,093,570 | 7,272 |
| ADTRAN Inc. | 672,923 | 7,227 |
* | Pluralsight Inc. Class A | 296,534 | 6,983 |
* | CEVA Inc. | 308,069 | 6,805 |
*,^ | Elastic NV | 95,105 | 6,798 |
* | CalAmp Corp. | 501,657 | 6,527 |
* | Control4 Corp. | 352,725 | 6,208 |
* | Calix Inc. | 632,410 | 6,166 |
| Hackett Group Inc. | 378,779 | 6,064 |
* | Kimball Electronics Inc. | 380,798 | 5,899 |
* | Upland Software Inc. | 216,600 | 5,887 |
* | Harmonic Inc. | 1,224,959 | 5,782 |
* | Anaplan Inc. | 217,756 | 5,779 |
| NVE Corp. | 63,772 | 5,583 |
* | OneSpan Inc. | 431,086 | 5,583 |
| Presidio Inc. | 423,872 | 5,532 |
| QAD Inc. Class A | 140,518 | 5,527 |
* | GreenSky Inc. Class A | 575,669 | 5,509 |
* | Quantenna Communications Inc. | 382,080 | 5,483 |
| TTEC Holdings Inc. | 191,543 | 5,472 |
* | Vishay Precision Group Inc. | 173,300 | 5,239 |
| Park Electrochemical Corp. | 283,665 | 5,126 |
*,^ | Ichor Holdings Ltd. | 311,722 | 5,081 |
* | Mitek Systems Inc. | 469,163 | 5,072 |
* | SMART Global Holdings Inc. | 168,781 | 5,013 |
* | Casa Systems Inc. | 378,440 | 4,969 |
* | Veeco Instruments Inc. | 669,283 | 4,959 |
43
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Everi Holdings Inc. | 954,565 | 4,916 |
* | Model N Inc. | 362,229 | 4,792 |
| PC Connection Inc. | 160,770 | 4,780 |
| Daktronics Inc. | 645,627 | 4,778 |
* | MobileIron Inc. | 1,025,781 | 4,708 |
* | A10 Networks Inc. | 741,654 | 4,628 |
* | Smartsheet Inc. Class A | 185,544 | 4,613 |
* | Zix Corp. | 793,710 | 4,548 |
* | Ultra Clean Holdings Inc. | 534,480 | 4,527 |
*,^ | SunPower Corp. Class A | 871,559 | 4,332 |
* | ChannelAdvisor Corp. | 366,987 | 4,165 |
*,^ | Applied Optoelectronics Inc. | 262,365 | 4,048 |
* | Digi International Inc. | 392,191 | 3,957 |
| American Software Inc. Class A | 376,631 | 3,936 |
* | Immersion Corp. | 428,411 | 3,839 |
| Switch Inc. | 525,264 | 3,677 |
^ | ConvergeOne Holdings Inc. | 295,800 | 3,662 |
* | Limelight Networks Inc. | 1,549,480 | 3,626 |
* | Brightcove Inc. | 504,380 | 3,551 |
* | Ribbon Communications Inc. | 711,079 | 3,427 |
* | PRGX Global Inc. | 351,647 | 3,330 |
* | Synchronoss Technologies Inc. | 541,100 | 3,322 |
* | DSP Group Inc. | 293,092 | 3,283 |
* | Zuora Inc. Class A | 180,029 | 3,266 |
* | Agilysys Inc. | 227,407 | 3,261 |
* | ShotSpotter Inc. | 104,442 | 3,256 |
* | PDF Solutions Inc. | 382,661 | 3,226 |
*,^ | Avalara Inc. | 102,801 | 3,202 |
* | Tenable Holdings Inc. | 141,766 | 3,146 |
* | USA Technologies Inc. | 804,424 | 3,129 |
* | NeoPhotonics Corp. | 479,694 | 3,108 |
* | PAR Technology Corp. | 142,852 | 3,107 |
* | Aquantia Corp. | 340,461 | 2,986 |
* | Alpha & Omega Semiconductor Ltd. | 286,736 | 2,922 |
*,^ | Impinj Inc. | 199,541 | 2,903 |
*,^ | Inseego Corp. | 695,091 | 2,885 |
* | Digimarc Corp. | 188,693 | 2,736 |
* | Domo Inc. | 137,810 | 2,705 |
^ | Diebold Nixdorf Inc. | 1,074,317 | 2,675 |
* | Amber Road Inc. | 324,075 | 2,667 |
* | SVMK Inc. | 204,704 | 2,512 |
| Bel Fuse Inc. Class B | 133,135 | 2,452 |
* | I3 Verticals Inc. Class A | 100,673 | 2,426 |
* | SecureWorks Corp. Class A | 142,492 | 2,407 |
* | Rubicon Project Inc. | 642,757 | 2,397 |
* | Telenav Inc. | 577,942 | 2,346 |
* | AXT Inc. | 537,208 | 2,337 |
* | Avid Technology Inc. | 484,842 | 2,303 |
* | PCM Inc. | 125,713 | 2,214 |
* | Exela Technologies Inc. | 552,146 | 2,148 |
* | EMCORE Corp. | 504,630 | 2,119 |
* | KVH Industries Inc. | 203,900 | 2,098 |
* | Napco Security Technologies Inc. | 131,365 | 2,069 |
* | CyberOptics Corp. | 114,160 | 2,013 |
*,^ | VirnetX Holding Corp. | 766,607 | 1,840 |
* | Information Services Group Inc. | 416,590 | 1,766 |
* | Carbon Black Inc. | 129,246 | 1,734 |
*,^ | Akoustis Technologies Inc. | 336,935 | 1,675 |
*,^ | Maxwell Technologies Inc. | 782,531 | 1,620 |
* | eGain Corp. | 245,960 | 1,616 |
* | nLight Inc. | 87,265 | 1,552 |
* | Adesto Technologies Corp. | 351,727 | 1,548 |
* | Aerohive Networks Inc. | 460,683 | 1,502 |
*,^ | Arlo Technologies Inc. | 150,025 | 1,497 |
44
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Intevac Inc. | 282,964 | 1,480 |
* | ServiceSource International Inc. | 1,330,483 | 1,437 |
*,^ | Digital Turbine Inc. | 758,930 | 1,389 |
* | Clearfield Inc. | 139,964 | 1,388 |
* | Iteris Inc. | 370,320 | 1,381 |
* | International Money Express Inc. | 113,968 | 1,363 |
*,^ | Eastman Kodak Co. | 495,475 | 1,263 |
| AstroNova Inc. | 66,674 | 1,250 |
* | Pixelworks Inc. | 412,184 | 1,195 |
*,^ | Park City Group Inc. | 194,170 | 1,159 |
* | MoneyGram International Inc. | 559,593 | 1,119 |
* | GSI Technology Inc. | 213,551 | 1,098 |
* | StarTek Inc. | 161,312 | 1,073 |
| TransAct Technologies Inc. | 118,987 | 1,068 |
* | PFSweb Inc. | 204,650 | 1,050 |
* | Telaria Inc. | 384,402 | 1,049 |
*,^ | Internap Corp. | 249,859 | 1,037 |
*,^ | Rimini Street Inc. | 200,558 | 1,033 |
| Richardson Electronics Ltd. | 116,609 | 1,013 |
* | Kopin Corp. | 957,651 | 957 |
* | Frequency Electronics Inc. | 90,022 | 954 |
| Steel Connect Inc. | 529,960 | 917 |
* | Airgain Inc. | 91,373 | 905 |
* | Quantum Corp. | 450,944 | 902 |
* | ID Systems Inc. | 160,161 | 895 |
*,^ | Asure Software Inc. | 172,506 | 876 |
* | Key Tronic Corp. | 153,764 | 869 |
* | Seachange International Inc. | 679,830 | 857 |
* | SharpSpring Inc. | 64,854 | 826 |
* | LRAD Corp. | 324,483 | 818 |
* | NetSol Technologies Inc. | 126,277 | 777 |
*,^ | MicroVision Inc. | 1,259,801 | 761 |
* | Amtech Systems Inc. | 166,221 | 753 |
| PC-Tel Inc. | 172,629 | 741 |
| TESSCO Technologies Inc. | 57,890 | 695 |
*,^ | QuickLogic Corp. | 925,794 | 680 |
* | Aware Inc. | 183,320 | 662 |
* | Data I/O Corp. | 131,998 | 660 |
* | Everspin Technologies Inc. | 115,537 | 648 |
* | RealNetworks Inc. | 280,491 | 648 |
* | Computer Task Group Inc. | 154,714 | 631 |
| CSP Inc. | 63,390 | 619 |
| RF Industries Ltd. | 83,949 | 609 |
* | Luna Innovations Inc. | 178,386 | 598 |
* | DASAN Zhone Solutions Inc. | 42,918 | 597 |
* | Finjan Holdings Inc. | 230,934 | 580 |
* | Aviat Networks Inc. | 41,586 | 551 |
*,^ | Fusion Connect Inc. | 320,791 | 539 |
* | Synacor Inc. | 363,282 | 538 |
* | Identiv Inc. | 146,990 | 529 |
* | Perceptron Inc. | 63,502 | 512 |
* | ACM Research Inc. Class A | 45,286 | 493 |
* | Lantronix Inc. | 166,237 | 489 |
*,^ | Veritone Inc. | 123,479 | 469 |
* | IEC Electronics Corp. | 77,581 | 444 |
*,^ | Smith Micro Software Inc. | 246,413 | 444 |
* | SolarWinds Corp. | 31,998 | 443 |
| GlobalSCAPE Inc. | 95,942 | 430 |
* | eMagin Corp. | 416,604 | 429 |
*,^ | Research Frontiers Inc. | 268,960 | 420 |
* | Wireless Telecom Group Inc. | 233,098 | 413 |
* | 3PEA International Inc. | 114,876 | 404 |
* | LightPath Technologies Inc. Class A | 267,231 | 398 |
| QAD Inc. Class B | 13,406 | 396 |
45
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Issuer Direct Corp. | 34,425 | 391 |
* | CUI Global Inc. | 317,250 | 390 |
* | LGL Group Inc. | 63,393 | 387 |
* | Optical Cable Corp. | 101,490 | 387 |
* | inTEST Corp. | 62,522 | 383 |
* | GSE Systems Inc. | 180,096 | 378 |
* | Support.com Inc. | 145,787 | 359 |
*,^ | Resonant Inc. | 262,249 | 349 |
*,^ | ClearSign Combustion Corp. | 337,298 | 344 |
* | Atomera Inc. | 115,195 | 331 |
* | Innodata Inc. | 215,507 | 323 |
* | Alithya Group Inc. Class A | 131,335 | 311 |
* | WidePoint Corp. | 702,924 | 293 |
* | Inuvo Inc. | 273,520 | 293 |
* | BSQUARE Corp. | 186,526 | 289 |
*,^ | Digital Ally Inc. | 105,689 | 283 |
*,^ | Net Element Inc. | 44,862 | 257 |
* | Aehr Test Systems | 176,801 | 249 |
* | CVD Equipment Corp. | 68,981 | 245 |
* | Black Box Corp. | 223,347 | 241 |
*,^ | SITO Mobile Ltd. | 247,815 | 223 |
*,^ | Marin Software Inc. | 39,568 | 210 |
*,^ | Intellicheck Inc. | 97,885 | 209 |
| Network-1 Technologies Inc. | 93,241 | 208 |
* | Westell Technologies Inc. Class A | 109,328 | 207 |
^ | Helios & Matheson Analytics Inc. | 12,704,661 | 203 |
* | Image Sensing Systems Inc. | 44,750 | 201 |
*,^ | NXT-ID Inc. | 270,096 | 184 |
| Communications Systems Inc. | 84,005 | 171 |
| Wayside Technology Group Inc. | 15,858 | 159 |
* | Majesco | 22,128 | 157 |
| BK Technologies Inc. | 40,918 | 153 |
* | Qumu Corp. | 80,502 | 153 |
| ClearOne Inc. | 111,210 | 139 |
| Bel Fuse Inc. Class A | 8,959 | 123 |
* | Evolving Systems Inc. | 93,207 | 110 |
* | TSR Inc. | 23,470 | 109 |
* | AudioEye Inc. | 12,750 | 109 |
* | Intelligent Systems Corp. | 7,544 | 97 |
* | Qualstar Corp. | 18,492 | 97 |
*,^ | Neonode Inc. | 44,970 | 75 |
* | Schmitt Industries Inc. | 25,576 | 72 |
* | Intermolecular Inc. | 68,535 | 69 |
* | ALJ Regional Holdings Inc. | 51,829 | 68 |
*,^ | Applied DNA Sciences Inc. | 164,238 | 66 |
* | Bio-key International Inc. | 78,056 | 59 |
*,^ | Payment Data Systems Inc. | 34,576 | 57 |
* | MAM Software Group Inc. | 7,513 | 56 |
*,^ | Technical Communications Corp. | 20,218 | 54 |
* | One Stop Systems Inc. | 27,213 | 53 |
*,^ | Boxlight Corp. Class A | 41,124 | 49 |
* | Socket Mobile Inc. | 27,598 | 41 |
* | BroadVision Inc. | 33,951 | 39 |
* | SigmaTron International Inc. | 16,060 | 38 |
*,^ | CPI Card Group Inc. | 15,906 | 37 |
*,^ | xG Technology Inc. | 114,444 | 36 |
*,^ | MoSys Inc. | 201,721 | 34 |
* | Nortech Systems Inc. | 9,269 | 33 |
* | Dynasil Corp. of America | 33,699 | 30 |
*,^ | Inpixon | 6,776 | 22 |
*,^ | Blonder Tongue Laboratories Inc. | 16,400 | 18 |
* | ADDvantage Technologies Group Inc. | 9,900 | 14 |
*,^ | Superconductor Technologies Inc. | 10,085 | 13 |
* | Bridgeline Digital Inc. | 55,633 | 13 |
46
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Trio-Tech International | 4,900 | 12 |
* | CPS Technologies Corp. | 4,074 | 5 |
* | Rubicon Technology Inc. | 361 | 3 |
* | Summit Wireless Technologies Inc. | 24 | — |
| | | 10,336,814 |
Materials (4.3%) | | |
| RPM International Inc. | 1,820,642 | 107,017 |
| Steel Dynamics Inc. | 3,144,678 | 94,466 |
* | Berry Global Group Inc. | 1,793,128 | 85,227 |
| AptarGroup Inc. | 854,947 | 80,425 |
* | Crown Holdings Inc. | 1,854,438 | 77,089 |
| Royal Gold Inc. | 899,140 | 77,011 |
| Sonoco Products Co. | 1,367,083 | 72,633 |
| Reliance Steel & Aluminum Co. | 962,564 | 68,506 |
* | Axalta Coating Systems Ltd. | 2,913,415 | 68,232 |
* | Alcoa Corp. | 2,554,654 | 67,903 |
| Chemours Co. | 2,341,983 | 66,091 |
| Ashland Global Holdings Inc. | 852,930 | 60,524 |
| WR Grace & Co. | 915,187 | 59,405 |
| Bemis Co. Inc. | 1,248,597 | 57,311 |
| Huntsman Corp. | 2,942,126 | 56,754 |
| NewMarket Corp. | 122,338 | 50,414 |
| Valvoline Inc. | 2,579,153 | 49,907 |
* | Ingevity Corp. | 575,147 | 48,134 |
| Olin Corp. | 2,288,067 | 46,013 |
| Graphic Packaging Holding Co. | 4,233,127 | 45,040 |
| United States Steel Corp. | 2,425,428 | 44,240 |
| Louisiana-Pacific Corp. | 1,927,844 | 42,837 |
| Eagle Materials Inc. | 641,414 | 39,146 |
* | Owens-Illinois Inc. | 2,181,031 | 37,601 |
* | Allegheny Technologies Inc. | 1,720,207 | 37,449 |
| Cabot Corp. | 821,456 | 35,273 |
| Balchem Corp. | 444,570 | 34,832 |
| Scotts Miracle-Gro Co. | 538,522 | 33,098 |
* | Platform Specialty Products Corp. | 3,196,517 | 33,020 |
| Westlake Chemical Corp. | 496,752 | 32,870 |
| Quaker Chemical Corp. | 183,959 | 32,691 |
| Sensient Technologies Corp. | 577,900 | 32,276 |
* | Cleveland-Cliffs Inc. | 4,086,774 | 31,427 |
| PolyOne Corp. | 1,090,921 | 31,200 |
| Domtar Corp. | 854,136 | 30,006 |
| HB Fuller Co. | 695,546 | 29,679 |
| Trinseo SA | 579,607 | 26,534 |
| Commercial Metals Co. | 1,610,150 | 25,795 |
| Silgan Holdings Inc. | 1,073,084 | 25,346 |
| Minerals Technologies Inc. | 486,729 | 24,989 |
* | GCP Applied Technologies Inc. | 992,549 | 24,367 |
| Carpenter Technology Corp. | 651,073 | 23,185 |
| Innospec Inc. | 337,721 | 20,858 |
| Stepan Co. | 281,032 | 20,796 |
| Kaiser Aluminum Corp. | 227,617 | 20,324 |
| Compass Minerals International Inc. | 464,716 | 19,374 |
| Worthington Industries Inc. | 555,571 | 19,356 |
* | Summit Materials Inc. Class A | 1,534,436 | 19,027 |
* | Ferro Corp. | 1,134,478 | 17,789 |
| Greif Inc. Class A | 437,041 | 16,219 |
| Hecla Mining Co. | 6,625,998 | 15,637 |
| Warrior Met Coal Inc. | 603,843 | 14,559 |
| Neenah Inc. | 232,876 | 13,721 |
| Boise Cascade Co. | 539,425 | 12,865 |
| Materion Corp. | 283,665 | 12,762 |
* | Coeur Mining Inc. | 2,810,594 | 12,563 |
| Schweitzer-Mauduit International Inc. | 434,234 | 10,878 |
* | Verso Corp. | 476,750 | 10,679 |
47
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Tronox Ltd. Class A | 1,295,768 | 10,081 |
| Chase Corp. | 100,052 | 10,010 |
| Resolute Forest Products Inc. | 1,254,293 | 9,947 |
* | AdvanSix Inc. | 400,890 | 9,758 |
*,^ | AK Steel Holding Corp. | 4,314,137 | 9,707 |
* | Kraton Corp. | 441,420 | 9,641 |
| Schnitzer Steel Industries Inc. | 365,088 | 7,868 |
*,^ | US Concrete Inc. | 219,531 | 7,745 |
* | SunCoke Energy Inc. | 897,696 | 7,675 |
| Rayonier Advanced Materials Inc. | 704,226 | 7,500 |
* | PQ Group Holdings Inc. | 491,627 | 7,281 |
| Myers Industries Inc. | 460,840 | 6,963 |
| Innophos Holdings Inc. | 272,134 | 6,675 |
^ | McEwen Mining Inc. | 3,640,920 | 6,626 |
| Mercer International Inc. | 599,161 | 6,255 |
| PH Glatfelter Co. | 623,986 | 6,090 |
| Tredegar Corp. | 365,191 | 5,792 |
| FutureFuel Corp. | 359,677 | 5,705 |
* | Clearwater Paper Corp. | 230,461 | 5,616 |
| American Vanguard Corp. | 361,393 | 5,490 |
| Hawkins Inc. | 133,329 | 5,460 |
* | Koppers Holdings Inc. | 291,255 | 4,963 |
* | Century Aluminum Co. | 672,188 | 4,914 |
* | TimkenSteel Corp. | 541,002 | 4,728 |
| Haynes International Inc. | 175,420 | 4,631 |
* | OMNOVA Solutions Inc. | 626,933 | 4,595 |
*,^ | Livent Corp. | 277,400 | 3,828 |
* | Intrepid Potash Inc. | 1,367,241 | 3,555 |
| Kronos Worldwide Inc. | 308,254 | 3,551 |
| Gold Resource Corp. | 791,605 | 3,166 |
| Advanced Emissions Solutions Inc. | 297,996 | 3,144 |
* | Venator Materials plc | 691,833 | 2,899 |
* | UFP Technologies Inc. | 79,832 | 2,398 |
*,^ | Amyris Inc. | 593,645 | 1,983 |
| United States Lime & Minerals Inc. | 27,379 | 1,944 |
| Olympic Steel Inc. | 135,481 | 1,933 |
* | Trecora Resources | 242,390 | 1,891 |
* | Universal Stainless & Alloy Products Inc. | 113,815 | 1,845 |
| Synalloy Corp. | 100,662 | 1,670 |
* | LSB Industries Inc. | 280,238 | 1,547 |
* | AgroFresh Solutions Inc. | 396,351 | 1,502 |
* | Ryerson Holding Corp. | 210,112 | 1,332 |
| Northern Technologies International Corp. | 39,445 | 1,167 |
^ | Tecnoglass Inc. | 122,097 | 985 |
*,^ | Forterra Inc. | 257,073 | 967 |
*,^ | Loop Industries Inc. | 113,375 | 881 |
* | Flotek Industries Inc. | 770,239 | 840 |
*,§ | A Schulman Inc. CVR | 392,279 | 749 |
| Core Molding Technologies Inc. | 98,285 | 699 |
* | Ampco-Pittsburgh Corp. | 194,616 | 603 |
* | Marrone Bio Innovations Inc. | 404,260 | 594 |
| Friedman Industries Inc. | 64,580 | 455 |
*,^ | Ramaco Resources Inc. | 91,534 | 453 |
*,^ | MagneGas Applied Technology Solutions Inc. | 1,119,748 | 276 |
* | Pershing Gold Corp. | 240,768 | 255 |
* | General Moly Inc. | 683,377 | 154 |
*,^ | Golden Minerals Co. | 648,415 | 142 |
* | Paramount Gold Nevada Corp. | 131,789 | 109 |
*,^ | US Gold Corp. | 117,799 | 105 |
* | Solitario Zinc Corp. | 258,205 | 60 |
* | US Antimony Corp. | 93,796 | 54 |
| Greif Inc. Class B | 999 | 44 |
*,^ | Reto Eco-solutions Inc. | 22,453 | 29 |
*,^ | Comstock Mining Inc. | 138,196 | 18 |
48
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Ikonics Corp. | 926 | 8 |
| | | 2,532,921 |
Other (0.0%)2 | | |
*,§ | Herbalife Ltd. CVR | 83,162 | 807 |
*,§ | Tobira Therapeutics CVR Exp. 12/31/2028 | 87,894 | 398 |
* | Corium CVR | 370,501 | 67 |
*,§ | NewStar Financial Inc. CVR | 225,787 | 59 |
*,§ | Media General Inc. CVR | 1,202,098 | 47 |
*,§ | Ambit Biosciences Corp. CVR | 22,388 | 13 |
*,^,§ | Social Reality Inc. Rights Exp. 12/31/2019 | 74,416 | 13 |
*,§ | Ocera Therapeutics CVR Line | 48,417 | 13 |
*,§ | GenVec Inc. CPR Exp. 06/19/2020 | 26,612 | 12 |
*,§ | Alexza Pharmaceuticals Inc. CVR | 128,704 | 4 |
*,§ | Seventy Seven Energy Inc. Escrow Line | 3,457 | — |
*,§ | Clinical Data CVR | 131,308 | — |
*,§ | Adolor Corp. Rights Exp. 07/01/2019 | 596,841 | — |
* | Kadmon Warrants Exp. 09/29/2022 | 105,015 | — |
* | Advaxis Inc. Warrants Exp. 09/11/2024 | 47,130 | — |
*,^,§ | Biosante Pharmaceutical Inc. CVR | 44,795 | — |
| | | 1,433 |
Real Estate (8.7%) | | |
| WP Carey Inc. | 2,194,140 | 143,365 |
| Sun Communities Inc. | 1,181,095 | 120,129 |
| Equity LifeStyle Properties Inc. | 1,227,667 | 119,243 |
| Camden Property Trust | 1,273,754 | 112,154 |
| National Retail Properties Inc. | 2,172,697 | 105,398 |
| Omega Healthcare Investors Inc. | 2,740,200 | 96,318 |
| VEREIT Inc. | 13,169,232 | 94,160 |
| Gaming and Leisure Properties Inc. | 2,753,751 | 88,974 |
| VICI Properties Inc. | 4,693,878 | 88,151 |
| Kilroy Realty Corp. | 1,379,084 | 86,717 |
| Liberty Property Trust | 2,015,833 | 84,423 |
| Invitation Homes Inc. | 4,060,795 | 81,541 |
| Lamar Advertising Co. Class A | 1,163,827 | 80,514 |
| Medical Properties Trust Inc. | 4,980,936 | 80,093 |
| Jones Lang LaSalle Inc. | 623,883 | 78,984 |
| American Campus Communities Inc. | 1,879,083 | 77,775 |
| CyrusOne Inc. | 1,452,149 | 76,790 |
| Douglas Emmett Inc. | 2,199,382 | 75,065 |
| STORE Capital Corp. | 2,581,704 | 73,088 |
| CubeSmart | 2,546,787 | 73,067 |
| Healthcare Trust of America Inc. Class A | 2,836,664 | 71,796 |
| Park Hotels & Resorts Inc. | 2,751,673 | 71,488 |
| American Homes 4 Rent Class A | 3,525,778 | 69,987 |
| EPR Properties | 1,015,325 | 65,011 |
| Hudson Pacific Properties Inc. | 2,137,199 | 62,107 |
| Brixmor Property Group Inc. | 4,110,229 | 60,379 |
| Life Storage Inc. | 641,357 | 59,640 |
| Highwoods Properties Inc. | 1,411,859 | 54,625 |
| Hospitality Properties Trust | 2,252,742 | 53,795 |
* | Howard Hughes Corp. | 537,542 | 52,475 |
| JBG SMITH Properties | 1,491,335 | 51,913 |
| First Industrial Realty Trust Inc. | 1,732,903 | 50,012 |
| Pebblebrook Hotel Trust | 1,753,313 | 49,636 |
| Equity Commonwealth | 1,651,420 | 49,559 |
| Rayonier Inc. | 1,787,957 | 49,509 |
| Healthcare Realty Trust Inc. | 1,729,249 | 49,180 |
| Ryman Hospitality Properties Inc. | 704,104 | 46,957 |
| EastGroup Properties Inc. | 494,329 | 45,345 |
| Cousins Properties Inc. | 5,720,562 | 45,192 |
| National Health Investors Inc. | 583,967 | 44,113 |
| CoreSite Realty Corp. | 501,202 | 43,720 |
| Apple Hospitality REIT Inc. | 2,934,142 | 41,841 |
| Spirit Realty Capital Inc. | 1,165,837 | 41,096 |
49
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Sunstone Hotel Investors Inc. | 3,121,717 | 40,614 |
| Physicians Realty Trust | 2,519,915 | 40,394 |
| Weingarten Realty Investors | 1,628,089 | 40,393 |
| Sabra Health Care REIT Inc. | 2,433,012 | 40,096 |
| RLJ Lodging Trust | 2,390,149 | 39,198 |
| Taubman Centers Inc. | 837,883 | 38,115 |
| Uniti Group Inc. | 2,447,779 | 38,112 |
| Senior Housing Properties Trust | 3,247,288 | 38,058 |
| Rexford Industrial Realty Inc. | 1,264,655 | 37,269 |
| STAG Industrial Inc. | 1,485,270 | 36,954 |
| PS Business Parks Inc. | 280,742 | 36,777 |
| Outfront Media Inc. | 1,914,776 | 34,696 |
| Paramount Group Inc. | 2,761,703 | 34,687 |
| GEO Group Inc. | 1,676,021 | 33,018 |
| Retail Properties of America Inc. | 3,013,956 | 32,701 |
| Brandywine Realty Trust | 2,451,165 | 31,547 |
| Kennedy-Wilson Holdings Inc. | 1,734,218 | 31,511 |
| Colony Capital Inc. | 6,718,781 | 31,444 |
| Corporate Office Properties Trust | 1,491,962 | 31,376 |
| Columbia Property Trust Inc. | 1,615,293 | 31,256 |
| Piedmont Office Realty Trust Inc. Class A | 1,768,581 | 30,137 |
| PotlatchDeltic Corp. | 929,839 | 29,420 |
| CoreCivic Inc. | 1,627,391 | 29,016 |
| Terreno Realty Corp. | 799,865 | 28,131 |
| Agree Realty Corp. | 474,769 | 28,068 |
| Empire State Realty Trust Inc. | 1,920,935 | 27,335 |
| Acadia Realty Trust | 1,132,501 | 26,908 |
| Xenia Hotels & Resorts Inc. | 1,533,020 | 26,368 |
| Tanger Factory Outlet Centers Inc. | 1,293,919 | 26,163 |
| Urban Edge Properties | 1,561,971 | 25,960 |
| QTS Realty Trust Inc. Class A | 699,512 | 25,917 |
| DiamondRock Hospitality Co. | 2,825,664 | 25,657 |
| Washington REIT | 1,100,755 | 25,317 |
| Retail Opportunity Investments Corp. | 1,559,517 | 24,765 |
| Four Corners Property Trust Inc. | 944,252 | 24,739 |
| Mack-Cali Realty Corp. | 1,255,309 | 24,592 |
| Lexington Realty Trust | 2,988,469 | 24,535 |
^ | Realogy Holdings Corp. | 1,617,478 | 23,745 |
| LTC Properties Inc. | 555,905 | 23,170 |
| American Assets Trust Inc. | 562,417 | 22,592 |
| SITE Centers Corp. | 2,007,730 | 22,226 |
| CareTrust REIT Inc. | 1,143,840 | 21,115 |
| National Storage Affiliates Trust | 788,524 | 20,864 |
| Americold Realty Trust | 812,191 | 20,743 |
| Chesapeake Lodging Trust | 844,628 | 20,567 |
| Global Net Lease Inc. | 1,039,185 | 18,310 |
| HFF Inc. Class A | 540,797 | 17,933 |
^ | Industrial Logistics Properties Trust | 892,556 | 17,557 |
* | Alexander & Baldwin Inc. | 946,125 | 17,390 |
| Kite Realty Group Trust | 1,170,428 | 16,491 |
| Newmark Group Inc. Class A | 2,047,578 | 16,422 |
| Alexander’s Inc. | 53,828 | 16,404 |
| Monmouth Real Estate Investment Corp. | 1,252,884 | 15,536 |
| Tier REIT Inc. | 745,123 | 15,372 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 793,446 | 15,115 |
| Summit Hotel Properties Inc. | 1,458,999 | 14,196 |
| Getty Realty Corp. | 478,343 | 14,068 |
| RPT Realty | 1,138,673 | 13,607 |
*,^ | Redfin Corp. | 935,721 | 13,474 |
| Easterly Government Properties Inc. | 841,966 | 13,202 |
| Washington Prime Group Inc. | 2,579,944 | 12,539 |
^ | Seritage Growth Properties Class A | 378,889 | 12,249 |
| InfraREIT Inc. | 553,831 | 11,642 |
| Chatham Lodging Trust | 649,906 | 11,490 |
50
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Independence Realty Trust Inc. | 1,216,408 | 11,167 |
| Universal Health Realty Income Trust | 181,136 | 11,116 |
* | St. Joe Co. | 839,487 | 11,056 |
| Armada Hoffler Properties Inc. | 784,650 | 11,032 |
| NorthStar Realty Europe Corp. | 711,820 | 10,350 |
| NexPoint Residential Trust Inc. | 291,769 | 10,227 |
* | Marcus & Millichap Inc. | 290,065 | 9,958 |
^ | American Finance Trust Inc. | 715,940 | 9,536 |
| Franklin Street Properties Corp. | 1,525,070 | 9,501 |
^ | Government Properties Income Trust | 1,358,758 | 9,335 |
| Hersha Hospitality Trust Class A | 522,027 | 9,156 |
| Select Income REIT | 1,221,618 | 8,991 |
| iStar Inc. | 947,996 | 8,693 |
| Investors Real Estate Trust | 168,795 | 8,283 |
| Urstadt Biddle Properties Inc. Class A | 424,720 | 8,163 |
| Saul Centers Inc. | 165,315 | 7,806 |
| Preferred Apartment Communities Inc. Class A | 550,451 | 7,739 |
| Gladstone Commercial Corp. | 421,761 | 7,558 |
| RE/MAX Holdings Inc. Class A | 243,762 | 7,496 |
| Community Healthcare Trust Inc. | 249,369 | 7,189 |
| Whitestone REIT | 554,497 | 6,798 |
| CorePoint Lodging Inc. | 550,920 | 6,749 |
| Essential Properties Realty Trust Inc. | 471,670 | 6,528 |
| Innovative Industrial Properties Inc. | 135,083 | 6,131 |
| Front Yard Residential Corp. | 697,743 | 6,091 |
| City Office REIT Inc. | 565,349 | 5,795 |
| UMH Properties Inc. | 481,680 | 5,703 |
| CorEnergy Infrastructure Trust Inc. | 171,459 | 5,672 |
^ | Pennsylvania REIT | 922,780 | 5,481 |
| Retail Value Inc. | 213,005 | 5,451 |
| One Liberty Properties Inc. | 224,071 | 5,427 |
| Jernigan Capital Inc. | 268,211 | 5,316 |
| RMR Group Inc. Class A | 99,690 | 5,292 |
| Ashford Hospitality Trust Inc. | 1,240,693 | 4,963 |
| CatchMark Timber Trust Inc. Class A | 676,700 | 4,805 |
| New Senior Investment Group Inc. | 1,159,237 | 4,776 |
* | Tejon Ranch Co. | 276,873 | 4,591 |
^ | CBL & Associates Properties Inc. | 2,369,150 | 4,549 |
| Spirit MTA REIT | 619,219 | 4,415 |
* | FRP Holdings Inc. | 94,284 | 4,338 |
| Braemar Hotels & Resorts Inc. | 450,088 | 4,019 |
| Consolidated-Tomoka Land Co. | 76,098 | 3,995 |
| Cedar Realty Trust Inc. | 1,189,910 | 3,736 |
*,^ | Altisource Portfolio Solutions SA | 151,951 | 3,417 |
| Bluerock Residential Growth REIT Inc. Class A | 371,633 | 3,352 |
*,^ | eXp World Holdings Inc. | 469,319 | 3,323 |
| MedEquities Realty Trust Inc. | 471,240 | 3,223 |
| Global Medical REIT Inc. | 314,872 | 2,799 |
| Safety Income & Growth Inc. | 138,097 | 2,598 |
| Clipper Realty Inc. | 180,421 | 2,358 |
| Gladstone Land Corp. | 196,588 | 2,257 |
* | Forestar Group Inc. | 162,520 | 2,251 |
| CIM Commercial Trust Corp. | 140,123 | 2,127 |
^ | Farmland Partners Inc. | 423,511 | 1,923 |
* | Stratus Properties Inc. | 77,340 | 1,855 |
| BRT Apartments Corp. | 157,548 | 1,802 |
* | Rafael Holdings Inc. Class B | 140,615 | 1,115 |
| Sotherly Hotels Inc. | 166,788 | 936 |
* | Maui Land & Pineapple Co. Inc. | 87,932 | 872 |
| Griffin Industrial Realty Inc. | 26,728 | 853 |
* | Trinity Place Holdings Inc. | 192,410 | 835 |
* | Transcontinental Realty Investors Inc. | 22,564 | 639 |
| Plymouth Industrial REIT Inc. | 45,280 | 571 |
| Condor Hospitality Trust Inc. | 63,420 | 437 |
51
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | InterGroup Corp. | 6,800 | 219 |
* | JW Mays Inc. | 4,600 | 178 |
| Global Self Storage Inc. | 43,032 | 169 |
* | Wheeler REIT Inc. | 136,025 | 121 |
* | Altisource Asset Management Corp. | 2,628 | 78 |
* | American Realty Investors Inc. | 5,426 | 65 |
| HMG/Courtland Properties Inc. | 1,000 | 14 |
| Reven Housing REIT Inc. | 3,347 | 11 |
| CKX Lands Inc. | 1,000 | 10 |
* | Power REIT | 200 | 1 |
* | InnSuites Hospitality Trust | 108 | — |
| | | 5,039,970 |
Utilities (3.2%) | | |
| Atmos Energy Corp. | 1,604,204 | 148,742 |
| UGI Corp. | 2,379,016 | 126,920 |
* | Vistra Energy Corp. | 5,398,884 | 123,580 |
| OGE Energy Corp. | 2,720,220 | 106,605 |
| Aqua America Inc. | 2,435,385 | 83,266 |
| Vectren Corp. | 1,137,161 | 81,853 |
| IDACORP Inc. | 691,776 | 64,377 |
| MDU Resources Group Inc. | 2,690,006 | 64,130 |
| ONE Gas Inc. | 724,499 | 57,670 |
| National Fuel Gas Co. | 1,112,807 | 56,953 |
| Portland General Electric Co. | 1,216,158 | 55,761 |
| New Jersey Resources Corp. | 1,209,562 | 55,241 |
| Southwest Gas Holdings Inc. | 718,781 | 54,987 |
| Hawaiian Electric Industries Inc. | 1,492,519 | 54,656 |
| ALLETE Inc. | 710,338 | 54,142 |
| Spire Inc. | 700,642 | 51,904 |
| Black Hills Corp. | 736,514 | 46,238 |
| PNM Resources Inc. | 1,095,975 | 45,034 |
| NorthWestern Corp. | 688,097 | 40,900 |
| Avangrid Inc. | 770,905 | 38,615 |
| Avista Corp. | 895,134 | 38,025 |
| Ormat Technologies Inc. | 697,894 | 36,500 |
| American States Water Co. | 507,784 | 34,042 |
| South Jersey Industries Inc. | 1,174,991 | 32,665 |
| California Water Service Group | 665,382 | 31,712 |
| MGE Energy Inc. | 481,319 | 28,860 |
| El Paso Electric Co. | 561,462 | 28,146 |
| Otter Tail Corp. | 549,327 | 27,269 |
| Northwest Natural Holding Co. | 409,494 | 24,758 |
| Pattern Energy Group Inc. Class A | 1,252,137 | 23,315 |
| Chesapeake Utilities Corp. | 228,369 | 18,566 |
| Clearway Energy Inc. | 1,066,270 | 18,393 |
| SJW Group | 313,623 | 17,444 |
| TerraForm Power Inc. Class A | 1,094,858 | 12,284 |
| Middlesex Water Co. | 228,948 | 12,214 |
| Connecticut Water Service Inc. | 169,194 | 11,314 |
| Unitil Corp. | 217,700 | 11,024 |
| Clearway Energy Inc. Class A | 412,726 | 6,983 |
| York Water Co. | 186,396 | 5,976 |
*,^ | Cadiz Inc. | 385,619 | 3,972 |
| Artesian Resources Corp. Class A | 110,234 | 3,844 |
* | AquaVenture Holdings Ltd. | 177,931 | 3,361 |
| RGC Resources Inc. | 88,536 | 2,653 |
* | Pure Cycle Corp. | 195,551 | 1,942 |
| Genie Energy Ltd. Class B | 246,631 | 1,487 |
| Spark Energy Inc. Class A | 187,650 | 1,394 |
| Global Water Resources Inc. | 120,540 | 1,222 |
| | | 1,850,939 |
Total Common Stocks (Cost $51,742,781) | | 57,690,703 |
52
Vanguard® Extended Market Index Fund
Schedule of Investments
December 31, 2018
| | | Coupon | | Shares | Market Value ($000) |
Temporary Cash Investments (3.3%)1 | | | | | |
Money Market Fund (3.2%) | | | | | |
3,4 | Vanguard Market Liquidity Fund | | 2.530% | | 18,977,993 | 1,897,799 |
| | | | | | |
| | | | | | |
| | | | Maturity
Date | Face Amount ($000) | |
U.S. Government and Agency Obligations (0.1%) | | | | | |
| United States Treasury Bill | | 2.199% | 1/24/19 | 2,000 | 1,997 |
| United States Treasury Bill | | 2.294% | 2/21/19 | 1,000 | 997 |
5 | United States Treasury Bill | | 2.313% | 2/28/19 | 2,000 | 1,992 |
5 | United States Treasury Bill | | 2.349% | 3/21/19 | 10,000 | 9,950 |
5 | United States Treasury Bill | | 2.429% | 4/11/19 | 20,000 | 19,869 |
| | | | | | 34,805 |
Total Temporary Cash Investments (Cost $1,932,449) | | | 1,932,604 |
Total Investments (102.3%) (Cost $53,675,230) | | | 59,623,307 |
Other Assets and Liabilities—Net (-2.3%)4,6 | | | (1,352,616) |
Net Assets (100%) | | | 58,270,691 |
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,140,213,000.
§ Security value determined using significant unobservable inputs.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 2.3%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $1,243,719,000 of collateral received for securities on loan.
5 Securities with a value of $30,865,000 have been segregated as initial margin for open futures contracts.
6 Cash of $170,000 has been segregated as collateral for open over-the-counter swap contracts.
CPR—Contingent Payments Rights.
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
53
| © 2019 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA980 022019 |
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
Common Stocks (99.4%)1 | | |
Basic Materials (2.4%) | | |
| DowDuPont Inc. | 61,298,118 | 3,278,223 |
| Linde plc | 14,721,784 | 2,297,187 |
| Ecolab Inc. | 6,944,048 | 1,023,205 |
| Air Products & Chemicals Inc. | 5,864,451 | 938,605 |
| LyondellBasell Industries NV Class A | 8,200,223 | 681,931 |
| PPG Industries Inc. | 6,409,288 | 655,222 |
| Newmont Mining Corp. | 14,232,898 | 493,170 |
| International Paper Co. | 10,824,039 | 436,858 |
| Nucor Corp. | 8,387,958 | 434,580 |
| International Flavors & Fragrances Inc. | 2,849,172 | 382,558 |
| Freeport-McMoRan Inc. | 36,741,874 | 378,809 |
| Celanese Corp. Class A | 3,567,741 | 320,990 |
| Mosaic Co. | 9,237,661 | 269,832 |
| CF Industries Holdings Inc. | 6,145,506 | 267,391 |
| FMC Corp. | 3,586,719 | 265,274 |
| Eastman Chemical Co. | 3,351,873 | 245,055 |
| Albemarle Corp. | 2,829,069 | 218,036 |
| Avery Dennison Corp. | 2,311,806 | 207,670 |
| RPM International Inc. | 3,531,561 | 207,585 |
| Steel Dynamics Inc. | 5,816,449 | 174,726 |
| Royal Gold Inc. | 1,747,958 | 149,713 |
* | Axalta Coating Systems Ltd. | 5,739,583 | 134,421 |
* | Alcoa Corp. | 4,967,764 | 132,043 |
| Chemours Co. | 4,556,845 | 128,594 |
| Reliance Steel & Aluminum Co. | 1,791,293 | 127,486 |
| Ashland Global Holdings Inc. | 1,659,711 | 117,773 |
| WR Grace & Co. | 1,778,425 | 115,438 |
| Huntsman Corp. | 5,442,880 | 104,993 |
| NewMarket Corp. | 227,548 | 93,770 |
* | Ingevity Corp. | 1,118,268 | 93,588 |
| Olin Corp. | 4,434,033 | 89,168 |
| United States Steel Corp. | 4,697,466 | 85,682 |
| Versum Materials Inc. | 2,908,154 | 80,614 |
| Peabody Energy Corp. | 2,373,351 | 72,340 |
| Westlake Chemical Corp. | 1,035,050 | 68,489 |
| Balchem Corp. | 835,018 | 65,424 |
| Scotts Miracle-Gro Co. | 1,033,027 | 63,490 |
| Sensient Technologies Corp. | 1,123,438 | 62,744 |
| Cabot Corp. | 1,442,065 | 61,922 |
* | Cleveland-Cliffs Inc. | 7,969,060 | 61,282 |
| PolyOne Corp. | 2,106,964 | 60,259 |
* | Platform Specialty Products Corp. | 5,771,478 | 59,619 |
| Domtar Corp. | 1,686,688 | 59,253 |
| Quaker Chemical Corp. | 330,469 | 58,728 |
| HB Fuller Co. | 1,352,226 | 57,700 |
* | Univar Inc. | 3,026,608 | 53,692 |
| Minerals Technologies Inc. | 912,356 | 46,840 |
| Commercial Metals Co. | 2,902,687 | 46,501 |
| Carpenter Technology Corp. | 1,241,169 | 44,198 |
* | GCP Applied Technologies Inc. | 1,773,379 | 43,536 |
| Innospec Inc. | 633,075 | 39,099 |
| Worthington Industries Inc. | 1,101,564 | 38,379 |
| Stepan Co. | 514,484 | 38,072 |
| Arch Coal Inc. Class A | 455,279 | 37,784 |
| Compass Minerals International Inc. | 899,338 | 37,493 |
| Kaiser Aluminum Corp. | 407,069 | 36,347 |
* | Ferro Corp. | 2,192,650 | 34,381 |
* | Contura Energy Inc. | 488,188 | 32,093 |
| Warrior Met Coal Inc. | 1,257,944 | 30,329 |
| Hecla Mining Co. | 12,652,227 | 29,859 |
| Neenah Inc. | 434,910 | 25,625 |
1
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Coeur Mining Inc. | 5,342,201 | 23,880 |
| Materion Corp. | 520,873 | 23,434 |
* | Codexis Inc. | 1,351,787 | 22,575 |
| US Silica Holdings Inc. | 2,068,768 | 21,060 |
* | CONSOL Energy Inc. | 661,195 | 20,967 |
* | Verso Corp. | 897,447 | 20,103 |
* | CSW Industrials Inc. | 409,872 | 19,817 |
| Schweitzer-Mauduit International Inc. | 779,149 | 19,518 |
| Tronox Ltd. Class A | 2,418,494 | 18,816 |
*,^ | AK Steel Holding Corp. | 8,323,817 | 18,729 |
* | AdvanSix Inc. | 739,939 | 18,010 |
| Chase Corp. | 179,600 | 17,969 |
* | Kraton Corp. | 817,855 | 17,862 |
* | PQ Group Holdings Inc. | 1,030,089 | 15,256 |
| Rayonier Advanced Materials Inc. | 1,319,642 | 14,054 |
| Schnitzer Steel Industries Inc. | 651,464 | 14,039 |
* | SunCoke Energy Inc. | 1,601,558 | 13,693 |
| Tredegar Corp. | 766,806 | 12,162 |
| Innophos Holdings Inc. | 494,050 | 12,119 |
| Resolute Forest Products Inc. | 1,492,846 | 11,838 |
| Hawkins Inc. | 270,451 | 11,075 |
| American Vanguard Corp. | 718,769 | 10,918 |
| FutureFuel Corp. | 686,758 | 10,892 |
* | Clearwater Paper Corp. | 439,873 | 10,720 |
* | OMNOVA Solutions Inc. | 1,143,302 | 8,380 |
* | TimkenSteel Corp. | 904,096 | 7,902 |
* | Nexeo Solutions Inc. | 811,968 | 6,975 |
| Gold Resource Corp. | 1,591,636 | 6,367 |
* | Energy Fuels Inc. | 2,145,316 | 6,114 |
* | Intrepid Potash Inc. | 2,297,802 | 5,974 |
| Olympic Steel Inc. | 365,116 | 5,210 |
*,^ | Uranium Energy Corp. | 4,045,072 | 5,056 |
| Synalloy Corp. | 264,123 | 4,382 |
* | Universal Stainless & Alloy Products Inc. | 266,099 | 4,313 |
* | Century Aluminum Co. | 504,112 | 3,685 |
* | AgroFresh Solutions Inc. | 957,008 | 3,627 |
* | LSB Industries Inc. | 643,806 | 3,554 |
*,^ | ChromaDex Corp. | 1,023,365 | 3,510 |
* | Ryerson Holding Corp. | 491,768 | 3,118 |
| Northern Technologies International Corp. | 101,863 | 3,014 |
*,^ | Marrone Bio Innovations Inc. | 1,867,466 | 2,745 |
*,^ | Ur-Energy Inc. | 4,085,598 | 2,656 |
| PH Glatfelter Co. | 213,622 | 2,085 |
* | Veritiv Corp. | 82,814 | 2,068 |
*,^ | Ramaco Resources Inc. | 243,225 | 1,204 |
| United-Guardian Inc. | 52,121 | 956 |
| Hallador Energy Co. | 179,929 | 912 |
| Friedman Industries Inc. | 125,449 | 884 |
| Haynes International Inc. | 30,937 | 817 |
| Kronos Worldwide Inc. | 38,291 | 441 |
* | General Moly Inc. | 1,379,582 | 310 |
* | US Antimony Corp. | 359,147 | 208 |
* | Koppers Holdings Inc. | 9,399 | 160 |
* | Dynasil Corp. of America | 158,073 | 141 |
* | Ampco-Pittsburgh Corp. | 39,711 | 123 |
* | Pershing Gold Corp. | 100,868 | 107 |
* | Solitario Zinc Corp. | 101,668 | 24 |
* | Ikonics Corp. | 1,996 | 16 |
*,^ | Golden Minerals Co. | 67,011 | 15 |
*,^ | Paramount Gold Nevada Corp. | 9,731 | 8 |
* | Centrus Energy Corp. Class A | 2,700 | 5 |
*,^ | US Gold Corp. | 900 | 1 |
| | | 16,492,241 |
2
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
Consumer Goods (7.9%) | | |
| Procter & Gamble Co. | 66,548,734 | 6,117,160 |
| Coca-Cola Co. | 102,283,588 | 4,843,128 |
| PepsiCo Inc. | 37,706,704 | 4,165,837 |
| Philip Morris International Inc. | 41,505,319 | 2,770,895 |
| NIKE Inc. Class B | 34,010,881 | 2,521,567 |
| Altria Group Inc. | 50,197,580 | 2,479,258 |
| Mondelez International Inc. Class A | 38,817,875 | 1,553,880 |
| Colgate-Palmolive Co. | 23,166,319 | 1,378,859 |
*,^ | Tesla Inc. | 3,441,048 | 1,145,181 |
| General Motors Co. | 33,937,358 | 1,135,205 |
| Kimberly-Clark Corp. | 9,251,133 | 1,054,074 |
| Activision Blizzard Inc. | 19,366,240 | 901,886 |
| Ford Motor Co. | 104,331,772 | 798,138 |
| Estee Lauder Cos. Inc. Class A | 5,874,211 | 764,235 |
| Kraft Heinz Co. | 16,283,887 | 700,858 |
| Constellation Brands Inc. Class A | 3,994,245 | 642,354 |
* | Electronic Arts Inc. | 8,071,336 | 636,909 |
| General Mills Inc. | 15,927,141 | 620,203 |
| Archer-Daniels-Midland Co. | 14,963,128 | 613,039 |
| VF Corp. | 8,478,880 | 604,883 |
* | Monster Beverage Corp. | 11,077,420 | 545,231 |
| Clorox Co. | 3,409,743 | 525,578 |
| McCormick & Co. Inc. | 3,251,015 | 452,671 |
| Aptiv plc | 7,042,045 | 433,579 |
| Church & Dwight Co. Inc. | 6,578,546 | 432,605 |
| Kellogg Co. | 7,416,654 | 422,823 |
| Tyson Foods Inc. Class A | 7,886,385 | 421,133 |
| Hershey Co. | 3,786,100 | 405,794 |
| Brown-Forman Corp. Class B | 7,925,403 | 377,091 |
| Genuine Parts Co. | 3,727,739 | 357,937 |
* | Lululemon Athletica Inc. | 2,780,186 | 338,098 |
| DR Horton Inc. | 9,532,736 | 330,405 |
* | Take-Two Interactive Software Inc. | 3,038,685 | 312,802 |
| Lennar Corp. Class A | 7,795,507 | 305,194 |
| Hormel Foods Corp. | 7,106,806 | 303,318 |
| Lamb Weston Holdings Inc. | 3,903,224 | 287,121 |
| Conagra Brands Inc. | 12,925,923 | 276,098 |
| JM Smucker Co. | 2,875,806 | 268,859 |
| Molson Coors Brewing Co. Class B | 4,687,002 | 263,222 |
| Tapestry Inc. | 7,710,012 | 260,213 |
| Hasbro Inc. | 3,036,543 | 246,719 |
* | NVR Inc. | 91,712 | 223,501 |
| Lear Corp. | 1,711,878 | 210,321 |
| Newell Brands Inc. | 11,199,976 | 208,208 |
| Garmin Ltd. | 3,274,791 | 207,360 |
| BorgWarner Inc. | 5,547,494 | 192,720 |
* | LKQ Corp. | 8,052,341 | 191,082 |
| Bunge Ltd. | 3,565,490 | 190,540 |
| PVH Corp. | 2,039,024 | 189,527 |
* | Mohawk Industries Inc. | 1,579,566 | 184,746 |
* | US Foods Holding Corp. | 5,787,005 | 183,101 |
| Whirlpool Corp. | 1,700,131 | 181,693 |
| PulteGroup Inc. | 6,740,557 | 175,187 |
| Ingredion Inc. | 1,883,111 | 172,116 |
* | Campbell Soup Co. | 5,201,587 | 171,600 |
* | Herbalife Nutrition Ltd. | 2,702,303 | 159,301 |
* | Middleby Corp. | 1,492,130 | 153,287 |
| Pool Corp. | 1,017,798 | 151,296 |
| Ralph Lauren Corp. Class A | 1,454,289 | 150,461 |
* | Post Holdings Inc. | 1,678,504 | 149,605 |
* | WABCO Holdings Inc. | 1,388,770 | 149,071 |
| Harley-Davidson Inc. | 4,339,617 | 148,068 |
* | Michael Kors Holdings Ltd. | 3,804,897 | 144,282 |
3
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Fortune Brands Home & Security Inc. | 3,774,736 | 143,402 |
| Keurig Dr Pepper Inc. | 5,562,050 | 142,611 |
*,^ | Wayfair Inc. | 1,567,649 | 141,214 |
| Gentex Corp. | 6,978,007 | 141,026 |
| Goodyear Tire & Rubber Co. | 6,213,291 | 126,813 |
| Jefferies Financial Group Inc. | 7,299,741 | 126,724 |
| Leggett & Platt Inc. | 3,471,823 | 124,430 |
| Hanesbrands Inc. | 9,623,025 | 120,576 |
| Polaris Industries Inc. | 1,563,689 | 119,904 |
| Toll Brothers Inc. | 3,541,830 | 116,632 |
| Brunswick Corp. | 2,314,531 | 107,510 |
| Carter’s Inc. | 1,220,873 | 99,648 |
* | Deckers Outdoor Corp. | 772,689 | 98,866 |
| Valvoline Inc. | 5,007,734 | 96,900 |
* | Helen of Troy Ltd. | 701,710 | 92,050 |
*,^ | Mattel Inc. | 9,188,524 | 91,793 |
| Lancaster Colony Corp. | 512,735 | 90,682 |
| Flowers Foods Inc. | 4,775,678 | 88,207 |
*,^ | Under Armour Inc. Class A | 4,874,058 | 86,125 |
| Nu Skin Enterprises Inc. Class A | 1,403,196 | 86,058 |
*,^ | Under Armour Inc. | 5,263,730 | 85,115 |
* | Darling Ingredients Inc. | 4,375,939 | 84,193 |
* | Skechers U.S.A. Inc. Class A | 3,581,501 | 81,981 |
* | Zynga Inc. Class A | 20,744,299 | 81,525 |
| Coty Inc. Class A | 12,024,349 | 78,880 |
| Wolverine World Wide Inc. | 2,390,761 | 76,241 |
* | TreeHouse Foods Inc. | 1,495,578 | 75,841 |
| Energizer Holdings Inc. | 1,581,999 | 71,427 |
| Thor Industries Inc. | 1,334,416 | 69,390 |
| Columbia Sportswear Co. | 778,700 | 65,481 |
| WD-40 Co. | 349,024 | 63,962 |
| Steven Madden Ltd. | 2,094,308 | 63,374 |
* | Dorman Products Inc. | 703,655 | 63,343 |
* | Elanco Animal Health Inc. | 1,951,866 | 61,542 |
*,^ | iRobot Corp. | 705,705 | 59,096 |
| J&J Snack Foods Corp. | 395,829 | 57,233 |
* | Fox Factory Holding Corp. | 956,740 | 56,323 |
| Sanderson Farms Inc. | 549,158 | 54,526 |
* | Edgewell Personal Care Co. | 1,438,537 | 53,729 |
| Dana Inc. | 3,847,002 | 52,435 |
* | Boston Beer Co. Inc. Class A | 216,747 | 52,201 |
*,^ | Tempur Sealy International Inc. | 1,233,824 | 51,080 |
^ | B&G Foods Inc. | 1,753,456 | 50,692 |
* | Taylor Morrison Home Corp. Class A | 3,141,082 | 49,943 |
| Herman Miller Inc. | 1,569,324 | 47,472 |
* | Visteon Corp. | 771,429 | 46,502 |
| Spectrum Brands Holdings Inc. | 1,064,106 | 44,958 |
| KB Home | 2,348,046 | 44,848 |
* | Crocs Inc. | 1,691,279 | 43,939 |
| LCI Industries | 642,576 | 42,924 |
* | TRI Pointe Group Inc. | 3,926,408 | 42,916 |
| Cooper Tire & Rubber Co. | 1,327,294 | 42,911 |
* | Welbilt Inc. | 3,740,241 | 41,554 |
* | USANA Health Sciences Inc. | 348,598 | 41,040 |
| HNI Corp. | 1,139,316 | 40,366 |
| Callaway Golf Co. | 2,520,504 | 38,564 |
* | Meritor Inc. | 2,271,086 | 38,404 |
* | Gentherm Inc. | 953,036 | 38,102 |
| Tenneco Inc. Class A | 1,386,284 | 37,970 |
| Medifast Inc. | 300,837 | 37,611 |
* | Hain Celestial Group Inc. | 2,357,450 | 37,389 |
* | Meritage Homes Corp. | 1,001,565 | 36,777 |
| Universal Corp. | 656,874 | 35,570 |
| Tupperware Brands Corp. | 1,108,469 | 34,994 |
4
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Nutrisystem Inc. | 782,259 | 34,326 |
| La-Z-Boy Inc. | 1,234,923 | 34,220 |
| Delphi Technologies plc | 2,352,442 | 33,687 |
| MDC Holdings Inc. | 1,192,698 | 33,527 |
* | American Axle & Manufacturing Holdings Inc. | 2,938,349 | 32,616 |
| Cal-Maine Foods Inc. | 759,204 | 32,114 |
| Steelcase Inc. Class A | 2,125,501 | 31,521 |
* | G-III Apparel Group Ltd. | 1,108,785 | 30,924 |
| Calavo Growers Inc. | 417,628 | 30,470 |
| Oxford Industries Inc. | 422,954 | 30,047 |
* | Cooper-Standard Holdings Inc. | 474,865 | 29,499 |
* | Central Garden & Pet Co. Class A | 943,089 | 29,472 |
* | Cavco Industries Inc. | 224,107 | 29,219 |
| Inter Parfums Inc. | 444,469 | 29,144 |
*,^ | Fitbit Inc. Class A | 5,759,027 | 28,622 |
* | Hostess Brands Inc. Class A | 2,589,432 | 28,328 |
| Vector Group Ltd. | 2,790,836 | 27,155 |
| Seaboard Corp. | 7,661 | 27,105 |
* | Sleep Number Corp. | 842,759 | 26,741 |
* | Glu Mobile Inc. | 3,032,347 | 24,471 |
* | Garrett Motion Inc. | 1,947,220 | 24,029 |
| Standard Motor Products Inc. | 481,114 | 23,300 |
* | American Woodmark Corp. | 417,487 | 23,246 |
| Fresh Del Monte Produce Inc. | 817,358 | 23,107 |
| Sturm Ruger & Co. Inc. | 432,701 | 23,028 |
^ | National Beverage Corp. | 309,004 | 22,177 |
| Interface Inc. Class A | 1,540,156 | 21,947 |
| Coca-Cola Bottling Co. Consolidated | 123,089 | 21,834 |
*,^ | LGI Homes Inc. | 477,605 | 21,597 |
* | Freshpet Inc. | 658,351 | 21,173 |
* | Pilgrim’s Pride Corp. | 1,343,655 | 20,840 |
| Knoll Inc. | 1,232,030 | 20,304 |
| MGP Ingredients Inc. | 352,191 | 20,092 |
* | Malibu Boats Inc. Class A | 549,619 | 19,127 |
| Andersons Inc. | 632,989 | 18,920 |
* | Fossil Group Inc. | 1,183,893 | 18,623 |
| Winnebago Industries Inc. | 759,002 | 18,375 |
| Acushnet Holdings Corp. | 868,389 | 18,297 |
| ACCO Brands Corp. | 2,675,099 | 18,137 |
* | American Outdoor Brands Corp. | 1,351,099 | 17,375 |
* | Stoneridge Inc. | 703,841 | 17,350 |
| Phibro Animal Health Corp. Class A | 525,784 | 16,909 |
* | Vista Outdoor Inc. | 1,462,740 | 16,602 |
| National Presto Industries Inc. | 137,240 | 16,046 |
^ | Tootsie Roll Industries Inc. | 461,425 | 15,412 |
* | M/I Homes Inc. | 716,313 | 15,057 |
* | Central Garden & Pet Co. | 409,355 | 14,102 |
| Skyline Champion Corp. | 954,421 | 14,020 |
* | Modine Manufacturing Co. | 1,209,255 | 13,072 |
| Lennar Corp. Class B | 415,047 | 13,003 |
* | Primo Water Corp. | 919,049 | 12,876 |
| Movado Group Inc. | 404,066 | 12,777 |
*,^ | GoPro Inc. Class A | 2,991,568 | 12,684 |
| John B Sanfilippo & Son Inc. | 218,710 | 12,173 |
| Tower International Inc. | 488,432 | 11,625 |
* | Century Communities Inc. | 657,636 | 11,351 |
^ | Camping World Holdings Inc. Class A | 825,272 | 9,466 |
| Dean Foods Co. | 2,360,833 | 8,995 |
* | Beazer Homes USA Inc. | 936,420 | 8,877 |
* | Motorcar Parts of America Inc. | 525,930 | 8,751 |
* | Unifi Inc. | 382,109 | 8,727 |
* | MasterCraft Boat Holdings Inc. | 451,609 | 8,445 |
* | Nautilus Inc. | 749,720 | 8,172 |
| Limoneira Co. | 406,752 | 7,952 |
5
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Hooker Furniture Corp. | 292,319 | 7,700 |
*,^ | 22nd Century Group Inc. | 3,034,920 | 7,557 |
* | ZAGG Inc. | 769,717 | 7,528 |
*,^ | New Age Beverages Corp. | 1,331,052 | 6,921 |
* | Farmer Brothers Co. | 292,855 | 6,832 |
| Johnson Outdoors Inc. Class A | 110,155 | 6,471 |
| Clarus Corp. | 638,712 | 6,464 |
* | YETI Holdings Inc. | 429,469 | 6,373 |
* | Seneca Foods Corp. Class A | 218,253 | 6,159 |
| Bassett Furniture Industries Inc. | 295,682 | 5,925 |
| Turning Point Brands Inc. | 210,429 | 5,728 |
| Culp Inc. | 302,422 | 5,716 |
* | Craft Brew Alliance Inc. | 394,664 | 5,648 |
| Hamilton Beach Brands Holding Co. Class A | 226,804 | 5,321 |
*,^ | Revlon Inc. Class A | 209,831 | 5,286 |
*,^ | elf Beauty Inc. | 604,205 | 5,232 |
*,^ | Sonos Inc. | 518,489 | 5,092 |
| Rocky Brands Inc. | 193,275 | 5,025 |
| Weyco Group Inc. | 169,895 | 4,956 |
* | Lifevantage Corp. | 374,459 | 4,939 |
* | Universal Electronics Inc. | 194,573 | 4,919 |
| Oil-Dri Corp. of America | 161,061 | 4,268 |
| Superior Group of Cos. Inc. | 240,917 | 4,252 |
* | Lovesac Co. | 165,142 | 3,788 |
| Lifetime Brands Inc. | 338,870 | 3,399 |
| Marine Products Corp. | 194,459 | 3,288 |
*,^ | Vuzix Corp. | 625,024 | 3,006 |
| Strattec Security Corp. | 101,820 | 2,932 |
| Flexsteel Industries Inc. | 130,005 | 2,871 |
*,^ | Pyxus International Inc. | 238,753 | 2,832 |
*,^ | Akoustis Technologies Inc. | 561,823 | 2,792 |
* | Shiloh Industries Inc. | 434,285 | 2,532 |
*,^ | Funko Inc. Class A | 192,360 | 2,530 |
| Alico Inc. | 82,474 | 2,433 |
* | Delta Apparel Inc. | 139,331 | 2,401 |
| Escalade Inc. | 203,028 | 2,325 |
*,^ | Castle Brands Inc. | 2,715,417 | 2,309 |
* | RiceBran Technologies | 767,288 | 2,302 |
| Titan International Inc. | 484,549 | 2,258 |
*,^ | Eastman Kodak Co. | 882,600 | 2,251 |
* | Lakeland Industries Inc. | 201,320 | 2,102 |
| Kewaunee Scientific Corp. | 57,081 | 1,897 |
* | Nature’s Sunshine Products Inc. | 224,632 | 1,831 |
* | Natural Alternatives International Inc. | 181,845 | 1,788 |
| Core Molding Technologies Inc. | 228,649 | 1,626 |
*,^ | Celsius Holdings Inc. | 447,606 | 1,553 |
| Crown Crafts Inc. | 274,576 | 1,483 |
| Rocky Mountain Chocolate Factory Inc. | 173,764 | 1,461 |
| Ethan Allen Interiors Inc. | 69,679 | 1,226 |
* | Centric Brands Inc. | 348,293 | 1,195 |
*,^ | Veru Inc. | 812,319 | 1,137 |
* | Alpha Pro Tech Ltd. | 293,460 | 1,089 |
* | New Home Co. Inc. | 181,777 | 951 |
| Acme United Corp. | 60,785 | 866 |
*,^ | Blink Charging Co. | 470,258 | 809 |
* | Vera Bradley Inc. | 94,028 | 806 |
* | Reed’s Inc. | 375,034 | 776 |
*,^ | S&W Seed Co. | 403,039 | 729 |
*,^ | Level Brands Inc. | 231,989 | 717 |
*,^ | Innovate Biopharmaceuticals Inc. | 251,340 | 581 |
* | Tandy Leather Factory Inc. | 93,919 | 533 |
| Mannatech Inc. | 25,551 | 480 |
* | Willamette Valley Vineyards Inc. | 66,647 | 459 |
*,^ | JAKKS Pacific Inc. | 306,686 | 451 |
6
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | LS Starrett Co. Class A | 75,368 | 394 |
* | Coffee Holding Co. Inc. | 105,416 | 372 |
| Virco Manufacturing Corp. | 54,872 | 235 |
* | Bridgford Foods Corp. | 10,626 | 211 |
* | Zedge Inc. Class B | 85,340 | 209 |
| Jerash Holdings US Inc. | 34,954 | 204 |
| P&F Industries Inc. Class A | 19,303 | 149 |
* | Summer Infant Inc. | 133,100 | 140 |
*,^ | Nova Lifestyle Inc. | 298,918 | 138 |
| CompX International Inc. | 7,411 | 101 |
* | Dixie Group Inc. | 141,943 | 100 |
| Ocean Bio-Chem Inc. | 24,282 | 80 |
* | William Lyon Homes Class A | 5,416 | 58 |
*,^ | CTI Industries Corp. | 14,046 | 42 |
* | Lifeway Foods Inc. | 22,423 | 42 |
* | Cherokee Inc. | 73,246 | 37 |
* | Koss Corp. | 17,633 | 33 |
* | Emerson Radio Corp. | 17,781 | 26 |
* | US Auto Parts Network Inc. | 21,627 | 20 |
* | Charles & Colvard Ltd. | 20,203 | 17 |
* | Hovnanian Enterprises Inc. Class B | 19,300 | 13 |
* | Iconix Brand Group Inc. | 53,800 | 4 |
*,^ | Orchids Paper Products Co. | 766 | 1 |
* | CCA Industries Inc. | 147 | — |
| | | 53,039,561 |
Consumer Services (13.5%) | | |
* | Amazon.com Inc. | 11,103,329 | 16,676,867 |
| Home Depot Inc. | 30,177,998 | 5,185,184 |
| Walt Disney Co. | 37,777,614 | 4,142,315 |
| Comcast Corp. Class A | 121,287,849 | 4,129,851 |
| McDonald’s Corp. | 20,593,963 | 3,656,870 |
| Walmart Inc. | 39,123,470 | 3,644,351 |
* | Netflix Inc. | 11,067,658 | 2,962,369 |
| Costco Wholesale Corp. | 11,708,026 | 2,385,042 |
| CVS Health Corp. | 34,546,444 | 2,263,483 |
* | Booking Holdings Inc. | 1,237,488 | 2,131,474 |
| Starbucks Corp. | 31,484,054 | 2,027,573 |
| Lowe’s Cos. Inc. | 20,517,406 | 1,894,988 |
| Walgreens Boots Alliance Inc. | 21,511,605 | 1,469,888 |
| TJX Cos. Inc. | 31,414,950 | 1,405,505 |
| Twenty-First Century Fox Inc. Class A | 27,700,428 | 1,332,945 |
* | Charter Communications Inc. Class A | 4,281,483 | 1,220,094 |
| Target Corp. | 13,940,612 | 921,335 |
| Ross Stores Inc. | 9,979,765 | 830,316 |
| Sysco Corp. | 13,195,902 | 826,855 |
| Delta Air Lines Inc. | 16,485,992 | 822,651 |
| Dollar General Corp. | 7,093,022 | 766,614 |
| Yum! Brands Inc. | 8,335,272 | 766,178 |
| Marriott International Inc. Class A | 6,838,201 | 742,355 |
* | O’Reilly Automotive Inc. | 2,140,708 | 737,110 |
* | eBay Inc. | 24,429,683 | 685,741 |
| Twenty-First Century Fox Inc. | 13,324,343 | 636,637 |
| Southwest Airlines Co. | 13,522,093 | 628,507 |
| Kroger Co. | 21,311,126 | 586,056 |
| McKesson Corp. | 5,220,751 | 576,736 |
* | Dollar Tree Inc. | 6,357,061 | 574,170 |
* | AutoZone Inc. | 682,918 | 572,517 |
| Hilton Worldwide Holdings Inc. | 7,923,665 | 568,919 |
| Las Vegas Sands Corp. | 10,472,601 | 545,099 |
| Carnival Corp. | 10,558,853 | 520,551 |
* | United Continental Holdings Inc. | 6,190,343 | 518,317 |
| Omnicom Group Inc. | 5,988,453 | 438,594 |
| Royal Caribbean Cruises Ltd. | 4,470,215 | 437,142 |
| CBS Corp. Class B | 9,186,710 | 401,643 |
7
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Ulta Beauty Inc. | 1,515,610 | 371,082 |
| American Airlines Group Inc. | 11,067,129 | 355,366 |
| Expedia Group Inc. | 3,094,179 | 348,559 |
| Darden Restaurants Inc. | 3,318,365 | 331,372 |
| Best Buy Co. Inc. | 6,161,771 | 326,327 |
* | Chipotle Mexican Grill Inc. Class A | 741,270 | 320,073 |
| AmerisourceBergen Corp. Class A | 4,243,361 | 315,706 |
| MGM Resorts International | 12,636,082 | 306,551 |
| Kohl’s Corp. | 4,448,571 | 295,118 |
* | Burlington Stores Inc. | 1,799,111 | 292,661 |
* | CarMax Inc. | 4,660,320 | 292,342 |
| Advance Auto Parts Inc. | 1,847,635 | 290,929 |
| Domino’s Pizza Inc. | 1,106,998 | 274,524 |
| Tractor Supply Co. | 3,252,579 | 271,395 |
* | Copart Inc. | 5,626,440 | 268,831 |
| Viacom Inc. Class B | 9,711,280 | 249,580 |
| Tiffany & Co. | 3,086,197 | 248,470 |
* | Norwegian Cruise Line Holdings Ltd. | 5,857,004 | 248,278 |
| Wynn Resorts Ltd. | 2,462,903 | 243,606 |
| Macy’s Inc. | 8,179,692 | 243,591 |
* | Liberty Broadband Corp. | 3,287,371 | 236,789 |
| Vail Resorts Inc. | 1,077,257 | 227,107 |
| Nielsen Holdings plc | 9,463,119 | 220,775 |
* | Qurate Retail Group Inc. QVC Group Class A | 11,210,596 | 218,831 |
| Interpublic Group of Cos. Inc. | 10,230,355 | 211,052 |
| FactSet Research Systems Inc. | 1,012,656 | 202,663 |
| Alaska Air Group Inc. | 3,283,615 | 199,808 |
| Gap Inc. | 7,690,398 | 198,105 |
| Aramark | 6,566,441 | 190,230 |
* | GrubHub Inc. | 2,415,298 | 185,519 |
* | Discovery Communications Inc. | 7,994,340 | 184,509 |
| Service Corp. International | 4,575,498 | 184,210 |
* | Live Nation Entertainment Inc. | 3,628,692 | 178,713 |
* | Bright Horizons Family Solutions Inc. | 1,542,416 | 171,902 |
| KAR Auction Services Inc. | 3,592,320 | 171,426 |
*,^ | Sirius XM Holdings Inc. | 29,650,220 | 169,303 |
| Foot Locker Inc. | 3,067,237 | 163,177 |
| L Brands Inc. | 6,229,315 | 159,907 |
| Sabre Corp. | 7,325,928 | 158,533 |
| Altice USA Inc. Class A | 9,374,075 | 154,860 |
* | Liberty Media Corp-Liberty Formula One | 4,995,296 | 153,356 |
* | TripAdvisor Inc. | 2,830,721 | 152,689 |
* | Liberty Media Corp-Liberty SiriusXM Class C | 4,111,706 | 152,051 |
* | Five Below Inc. | 1,485,067 | 151,952 |
| Nordstrom Inc. | 3,158,156 | 147,202 |
| News Corp. Class A | 12,938,905 | 146,857 |
* | Etsy Inc. | 3,055,402 | 145,345 |
* | DISH Network Corp. Class A | 5,819,132 | 145,304 |
| Rollins Inc. | 3,934,056 | 142,019 |
| Dunkin’ Brands Group Inc. | 2,192,313 | 140,571 |
| Dun & Bradstreet Corp. | 984,118 | 140,473 |
| H&R Block Inc. | 5,461,870 | 138,568 |
* | ServiceMaster Global Holdings Inc. | 3,611,695 | 132,694 |
* | JetBlue Airways Corp. | 8,139,003 | 130,712 |
* | Madison Square Garden Co. Class A | 486,335 | 130,192 |
* | Planet Fitness Inc. Class A | 2,351,401 | 126,082 |
| Casey’s General Stores Inc. | 975,422 | 124,991 |
*,^ | Discovery Communications Inc. Class A | 4,993,438 | 123,538 |
* | Grand Canyon Education Inc. | 1,281,556 | 123,209 |
| Wyndham Hotels & Resorts Inc. | 2,640,153 | 119,784 |
| Texas Roadhouse Inc. Class A | 1,808,518 | 107,969 |
^ | Williams-Sonoma Inc. | 2,139,769 | 107,951 |
| Six Flags Entertainment Corp. | 1,912,308 | 106,382 |
*,^ | Trade Desk Inc. Class A | 916,222 | 106,337 |
8
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Cable One Inc. | 128,983 | 105,779 |
* | Spirit Airlines Inc. | 1,815,166 | 105,134 |
*,^ | Caesars Entertainment Corp. | 15,225,195 | 103,379 |
^ | Cracker Barrel Old Country Store Inc. | 638,435 | 102,060 |
| Cinemark Holdings Inc. | 2,806,120 | 100,459 |
| Dolby Laboratories Inc. Class A | 1,619,838 | 100,171 |
| Tribune Media Co. Class A | 2,097,287 | 95,175 |
* | Ollie’s Bargain Outlet Holdings Inc. | 1,418,020 | 94,313 |
| Nexstar Media Group Inc. Class A | 1,156,081 | 90,914 |
| Wyndham Destinations Inc. | 2,466,076 | 88,384 |
| New York Times Co. Class A | 3,946,686 | 87,972 |
* | Liberty Media Corp-Liberty SiriusXM Class A | 2,385,676 | 87,793 |
| American Eagle Outfitters Inc. | 4,495,215 | 86,893 |
* | Performance Food Group Co. | 2,665,941 | 86,030 |
| Marriott Vacations Worldwide Corp. | 1,126,556 | 79,433 |
| Wendy’s Co. | 5,058,642 | 78,965 |
* | Chegg Inc. | 2,747,924 | 78,096 |
| Extended Stay America Inc. | 5,009,948 | 77,654 |
| World Wrestling Entertainment Inc. Class A | 1,037,572 | 77,527 |
| Aaron’s Inc. | 1,830,031 | 76,953 |
* | Sprouts Farmers Market Inc. | 3,233,318 | 76,015 |
* | Adtalem Global Education Inc. | 1,558,522 | 73,749 |
| Hyatt Hotels Corp. Class A | 1,089,151 | 73,627 |
* | Yelp Inc. Class A | 2,094,429 | 73,284 |
* | Stamps.com Inc. | 460,070 | 71,605 |
| Churchill Downs Inc. | 289,262 | 70,563 |
| Graham Holdings Co. Class B | 110,097 | 70,526 |
| AMERCO | 208,958 | 68,561 |
* | Hilton Grand Vacations Inc. | 2,582,217 | 68,145 |
* | Urban Outfitters Inc. | 2,019,687 | 67,054 |
* | LiveRamp Holdings Inc. | 1,718,727 | 66,394 |
* | AMC Networks Inc. Class A | 1,198,004 | 65,746 |
*,^ | RH | 534,618 | 64,058 |
| Choice Hotels International Inc. | 893,194 | 63,935 |
| Strategic Education Inc. | 553,757 | 62,807 |
* | Murphy USA Inc. | 815,264 | 62,482 |
| TEGNA Inc. | 5,739,825 | 62,392 |
| Dick’s Sporting Goods Inc. | 1,927,461 | 60,137 |
* | Belmond Ltd. Class A | 2,323,456 | 58,156 |
| Monro Inc. | 833,983 | 57,336 |
| SkyWest Inc. | 1,283,865 | 57,093 |
| John Wiley & Sons Inc. Class A | 1,208,249 | 56,751 |
* | Liberty Expedia Holdings Inc. Class A | 1,440,525 | 56,339 |
* | Penn National Gaming Inc. | 2,990,434 | 56,310 |
* | Eldorado Resorts Inc. | 1,548,774 | 56,081 |
| Hillenbrand Inc. | 1,476,198 | 55,992 |
* | AutoNation Inc. | 1,554,479 | 55,495 |
| Meredith Corp. | 1,064,526 | 55,292 |
| Morningstar Inc. | 503,212 | 55,273 |
* | Pandora Media Inc. | 6,811,876 | 55,108 |
* | Sally Beauty Holdings Inc. | 3,197,197 | 54,512 |
*,^ | Roku Inc. | 1,741,310 | 53,354 |
* | Cargurus Inc. | 1,537,995 | 51,877 |
| Jack in the Box Inc. | 654,882 | 50,839 |
| Wingstop Inc. | 774,512 | 49,716 |
* | National Vision Holdings Inc. | 1,751,963 | 49,353 |
| Sinclair Broadcast Group Inc. Class A | 1,841,009 | 48,492 |
* | Weight Watchers International Inc. | 1,252,881 | 48,299 |
* | frontdoor Inc. | 1,787,587 | 47,568 |
| Cheesecake Factory Inc. | 1,087,050 | 47,298 |
| Dave & Buster’s Entertainment Inc. | 1,038,269 | 46,265 |
| Lithia Motors Inc. Class A | 601,944 | 45,946 |
| DSW Inc. Class A | 1,850,632 | 45,711 |
| Brinker International Inc. | 1,028,198 | 45,220 |
9
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Sotheby’s | 1,122,248 | 44,598 |
| Signet Jewelers Ltd. | 1,390,867 | 44,188 |
* | BJ’s Wholesale Club Holdings Inc. | 1,989,779 | 44,094 |
| Boyd Gaming Corp. | 2,090,967 | 43,450 |
| PriceSmart Inc. | 682,602 | 40,342 |
| Bed Bath & Beyond Inc. | 3,503,791 | 39,663 |
| Bloomin’ Brands Inc. | 2,208,607 | 39,512 |
| Lions Gate Entertainment Corp. Class B | 2,628,832 | 39,117 |
* | Cars.com Inc. | 1,816,090 | 39,046 |
* | Groupon Inc. Class A | 12,153,820 | 38,892 |
| Red Rock Resorts Inc. Class A | 1,856,466 | 37,705 |
| Children’s Place Inc. | 412,006 | 37,118 |
* | Avis Budget Group Inc. | 1,640,668 | 36,882 |
| Penske Automotive Group Inc. | 911,647 | 36,758 |
* | Floor & Decor Holdings Inc. Class A | 1,416,356 | 36,684 |
* | Laureate Education Inc. Class A | 2,373,145 | 36,167 |
| Abercrombie & Fitch Co. | 1,793,668 | 35,963 |
* | Shutterfly Inc. | 889,076 | 35,794 |
* | MSG Networks Inc. | 1,516,164 | 35,721 |
* | Asbury Automotive Group Inc. | 529,978 | 35,328 |
*,^ | Michaels Cos. Inc. | 2,509,182 | 33,974 |
* | Simply Good Foods Co. | 1,771,453 | 33,480 |
| Hawaiian Holdings Inc. | 1,254,177 | 33,123 |
| GameStop Corp. Class A | 2,572,313 | 32,463 |
| Matthews International Corp. Class A | 797,260 | 32,385 |
| Guess? Inc. | 1,505,344 | 31,266 |
| Big Lots Inc. | 1,079,952 | 31,232 |
* | SeaWorld Entertainment Inc. | 1,390,837 | 30,724 |
*,^ | ANGI Homeservices Inc. Class A | 1,910,688 | 30,705 |
| Dine Brands Global Inc. | 450,645 | 30,346 |
| Allegiant Travel Co. Class A | 302,417 | 30,308 |
*,^ | Carvana Co. Class A | 926,227 | 30,297 |
* | Gray Television Inc. | 2,048,915 | 30,201 |
* | Liberty TripAdvisor Holdings Inc. Class A | 1,891,202 | 30,051 |
* | Shake Shack Inc. Class A | 658,252 | 29,898 |
| Caleres Inc. | 1,025,935 | 28,552 |
| BJ’s Restaurants Inc. | 558,391 | 28,238 |
| Core-Mark Holding Co. Inc. | 1,198,553 | 27,866 |
| Viad Corp. | 525,662 | 26,330 |
* | Scientific Games Corp. | 1,469,503 | 26,275 |
| International Speedway Corp. Class A | 598,281 | 26,241 |
| Gannett Co. Inc. | 3,039,013 | 25,923 |
| Lions Gate Entertainment Corp. Class A | 1,602,116 | 25,794 |
| Group 1 Automotive Inc. | 488,023 | 25,729 |
* | Denny’s Corp. | 1,566,924 | 25,400 |
| Scholastic Corp. | 630,074 | 25,367 |
* | Houghton Mifflin Harcourt Co. | 2,780,142 | 24,632 |
* | K12 Inc. | 967,512 | 23,985 |
* | Liberty Media Corp-Liberty Formula One Class A | 799,896 | 23,773 |
| Papa John’s International Inc. | 587,653 | 23,394 |
* | Liberty Media Corp-Liberty Braves Class C | 925,452 | 23,035 |
| EW Scripps Co. Class A | 1,445,947 | 22,745 |
* | Quotient Technology Inc. | 2,110,916 | 22,545 |
* | Genesco Inc. | 505,442 | 22,391 |
* | Chefs’ Warehouse Inc. | 675,534 | 21,604 |
* | Rent-A-Center Inc. | 1,267,156 | 20,515 |
* | Diplomat Pharmacy Inc. | 1,474,123 | 19,842 |
* | Hertz Global Holdings Inc. | 1,437,010 | 19,615 |
| Marcus Corp. | 493,344 | 19,487 |
^ | Dillard’s Inc. Class A | 316,672 | 19,099 |
* | TrueCar Inc. | 2,075,397 | 18,803 |
| Entercom Communications Corp. Class A | 3,243,547 | 18,521 |
*,^ | Stitch Fix Inc. Class A | 1,073,618 | 18,348 |
| Weis Markets Inc. | 379,503 | 18,133 |
10
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Chico’s FAS Inc. | 3,203,805 | 18,005 |
*,^ | Trupanion Inc. | 703,730 | 17,917 |
* | comScore Inc. | 1,240,830 | 17,905 |
* | QuinStreet Inc. | 1,100,702 | 17,864 |
* | Providence Service Corp. | 297,254 | 17,841 |
* | SP Plus Corp. | 574,305 | 16,965 |
| Tailored Brands Inc. | 1,243,081 | 16,956 |
| New Media Investment Group Inc. | 1,458,199 | 16,871 |
| Ruth’s Hospitality Group Inc. | 741,814 | 16,861 |
| AMC Entertainment Holdings Inc. Class A | 1,359,183 | 16,691 |
* | Herc Holdings Inc. | 641,053 | 16,661 |
* | Liberty Broadband Corp. Class A | 223,832 | 16,073 |
* | Party City Holdco Inc. | 1,533,160 | 15,301 |
* | Regis Corp. | 880,203 | 14,919 |
| SpartanNash Co. | 867,814 | 14,909 |
^ | Buckle Inc. | 769,911 | 14,890 |
* | United Natural Foods Inc. | 1,369,355 | 14,501 |
* | Care.com Inc. | 716,002 | 13,826 |
* | PlayAGS Inc. | 595,468 | 13,696 |
* | MarineMax Inc. | 700,995 | 12,835 |
* | America’s Car-Mart Inc. | 175,489 | 12,714 |
* | Boot Barn Holdings Inc. | 746,272 | 12,709 |
^ | PetMed Express Inc. | 506,482 | 11,781 |
| National CineMedia Inc. | 1,803,937 | 11,690 |
* | American Public Education Inc. | 390,828 | 11,123 |
* | Monarch Casino & Resort Inc. | 284,298 | 10,843 |
* | Ascena Retail Group Inc. | 4,295,186 | 10,781 |
| Shoe Carnival Inc. | 312,690 | 10,478 |
| Winmark Corp. | 63,833 | 10,149 |
* | Career Education Corp. | 859,636 | 9,817 |
* | Zumiez Inc. | 496,232 | 9,513 |
| Ingles Markets Inc. Class A | 348,858 | 9,496 |
* | Express Inc. | 1,818,554 | 9,293 |
*,^ | Conn’s Inc. | 489,045 | 9,223 |
* | Lindblad Expeditions Holdings Inc. | 683,537 | 9,200 |
| Carriage Services Inc. Class A | 560,718 | 8,691 |
* | Carrols Restaurant Group Inc. | 853,161 | 8,395 |
* | Fiesta Restaurant Group Inc. | 532,247 | 8,255 |
| Haverty Furniture Cos. Inc. | 437,988 | 8,225 |
* | El Pollo Loco Holdings Inc. | 540,963 | 8,206 |
| Cato Corp. Class A | 561,140 | 8,007 |
*,^ | Lumber Liquidators Holdings Inc. | 797,105 | 7,588 |
* | Upwork Inc. | 412,105 | 7,463 |
* | Hibbett Sports Inc. | 516,617 | 7,388 |
* | Titan Machinery Inc. | 560,175 | 7,366 |
*,^ | Duluth Holdings Inc. | 291,583 | 7,357 |
* | 1-800-Flowers.com Inc. Class A | 600,047 | 7,339 |
* | Golden Entertainment Inc. | 455,869 | 7,303 |
* | Del Taco Restaurants Inc. | 726,097 | 7,254 |
* | Bojangles’ Inc. | 435,698 | 7,006 |
* | Del Frisco’s Restaurant Group Inc. | 950,191 | 6,794 |
| Citi Trends Inc. | 333,045 | 6,791 |
* | Liberty Media Corp-Liberty Braves Class A | 266,340 | 6,643 |
| RCI Hospitality Holdings Inc. | 295,309 | 6,594 |
* | Habit Restaurants Inc. Class A | 620,402 | 6,514 |
| News Corp. Class B | 558,819 | 6,454 |
| Office Depot Inc. | 2,481,203 | 6,402 |
* | Drive Shack Inc. | 1,629,434 | 6,387 |
* | Century Casinos Inc. | 847,042 | 6,260 |
* | Clean Energy Fuels Corp. | 3,446,186 | 5,927 |
| Nathan’s Famous Inc. | 88,568 | 5,885 |
*,^ | Daily Journal Corp. | 24,964 | 5,842 |
* | Potbelly Corp. | 702,516 | 5,655 |
* | Reading International Inc. Class A | 386,999 | 5,627 |
11
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Tile Shop Holdings Inc. | 1,013,318 | 5,553 |
| Tilly’s Inc. Class A | 510,057 | 5,539 |
* | TechTarget Inc. | 450,373 | 5,499 |
| Clear Channel Outdoor Holdings Inc. Class A | 1,056,412 | 5,483 |
* | Bridgepoint Education Inc. Class A | 776,825 | 5,446 |
| Entravision Communications Corp. Class A | 1,828,760 | 5,322 |
* | Red Lion Hotels Corp. | 640,254 | 5,250 |
* | Avid Technology Inc. | 1,085,188 | 5,155 |
*,^ | Boston Omaha Corp. Class A | 218,549 | 5,114 |
| Village Super Market Inc. Class A | 187,961 | 5,026 |
*,^ | GNC Holdings Inc. Class A | 2,114,623 | 5,012 |
* | Hemisphere Media Group Inc. Class A | 410,074 | 4,978 |
* | Tribune Publishing Co. | 436,424 | 4,949 |
* | PCM Inc. | 278,137 | 4,898 |
| Sonic Automotive Inc. Class A | 344,780 | 4,744 |
* | Sportsman’s Warehouse Holdings Inc. | 1,019,460 | 4,465 |
| Speedway Motorsports Inc. | 271,158 | 4,412 |
^ | Natural Health Trends Corp. | 238,051 | 4,402 |
* | At Home Group Inc. | 231,762 | 4,325 |
*,^ | Noodles & Co. Class A | 608,247 | 4,252 |
* | Natural Grocers by Vitamin Cottage Inc. | 276,338 | 4,236 |
* | MDC Partners Inc. Class A | 1,600,204 | 4,177 |
* | Kirkland’s Inc. | 420,434 | 4,007 |
| Saga Communications Inc. Class A | 117,114 | 3,892 |
* | Red Robin Gourmet Burgers Inc. | 136,465 | 3,646 |
*,^ | Digital Turbine Inc. | 1,961,674 | 3,590 |
*,^ | Overstock.com Inc. | 258,584 | 3,512 |
*,^ | Lands’ End Inc. | 239,935 | 3,409 |
* | J Alexander’s Holdings Inc. | 404,654 | 3,330 |
* | Gaia Inc. Class A | 318,477 | 3,299 |
*,^ | HF Foods Group Inc. | 245,871 | 3,270 |
* | Leaf Group Ltd. | 470,537 | 3,223 |
* | Rubicon Project Inc. | 832,277 | 3,104 |
*,^ | Fluent Inc. | 851,887 | 3,067 |
* | Lee Enterprises Inc. | 1,404,374 | 2,963 |
*,^ | Global Eagle Entertainment Inc. | 1,236,770 | 2,758 |
* | Liquidity Services Inc. | 418,992 | 2,585 |
* | TheStreet Inc. | 1,209,974 | 2,456 |
* | Mesa Air Group Inc. | 314,455 | 2,424 |
* | Biglari Holdings Inc. | 3,736 | 2,196 |
* | Container Store Group Inc. | 459,557 | 2,192 |
* | RTW RetailWinds Inc. | 742,939 | 2,103 |
* | Town Sports International Holdings Inc. | 297,132 | 1,902 |
* | Destination XL Group Inc. | 789,746 | 1,714 |
* | Biglari Holdings Inc. Class B | 15,063 | 1,711 |
| A-Mark Precious Metals Inc. | 140,198 | 1,653 |
| Peak Resorts Inc. | 339,567 | 1,589 |
* | RealNetworks Inc. | 662,352 | 1,530 |
* | Vitamin Shoppe Inc. | 316,832 | 1,502 |
* | Full House Resorts Inc. | 633,724 | 1,280 |
*,^ | Papa Murphy’s Holdings Inc. | 266,958 | 1,268 |
*,^ | Dover Downs Gaming & Entertainment Inc. | 434,538 | 1,204 |
* | J. Jill Inc. | 197,755 | 1,054 |
| Educational Development Corp. | 121,378 | 1,035 |
* | Eastside Distilling Inc. | 167,117 | 1,033 |
*,^ | Fred’s Inc. Class A | 536,413 | 1,014 |
* | Travelzoo | 100,611 | 989 |
| Gaming Partners International Corp. | 74,546 | 969 |
* | Urban One Inc. | 584,263 | 941 |
^ | Chicken Soup For The Soul Entertainment Inc. | 117,602 | 884 |
* | Good Times Restaurants Inc. | 350,979 | 877 |
* | ONE Group Hospitality Inc. | 280,313 | 861 |
| Dover Motorsports Inc. | 442,500 | 832 |
| Marchex Inc. Class B | 301,676 | 799 |
12
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Select Interior Concepts Inc. Class A | 105,442 | 793 |
*,^ | McClatchy Co. Class A | 101,542 | 777 |
| Ark Restaurants Corp. | 42,303 | 777 |
| AH Belo Corp. Class A | 227,017 | 765 |
*,^ | Remark Holdings Inc. | 625,505 | 757 |
* | Nevada Gold & Casinos Inc. | 316,555 | 753 |
| CSS Industries Inc. | 77,281 | 693 |
*,^ | VistaGen Therapeutics Inc. | 382,270 | 573 |
* | Smart & Final Stores Inc. | 117,503 | 557 |
*,^ | JC Penney Co. Inc. | 524,500 | 545 |
*,^ | Famous Dave’s of America Inc. | 117,953 | 541 |
*,^ | Interpace Diagnostics Group Inc. | 622,538 | 498 |
* | Waitr Holdings Inc. | 43,849 | 489 |
*,^ | Net Element Inc. | 84,460 | 483 |
* | Chuy’s Holdings Inc. | 25,839 | 458 |
| Salem Media Group Inc. Class A | 215,388 | 450 |
*,^ | Valeritas Holdings Inc. | 1,380,580 | 449 |
* | Emmis Communications Corp. Class A | 139,651 | 446 |
| Canterbury Park Holding Corp. | 31,705 | 441 |
* | Destination Maternity Corp. | 135,486 | 385 |
| Barnes & Noble Inc. | 54,038 | 383 |
| Collectors Universe Inc. | 30,516 | 347 |
*,^ | Youngevity International Inc. | 59,632 | 341 |
* | Build-A-Bear Workshop Inc. | 82,050 | 324 |
*,^ | Tuesday Morning Corp. | 190,533 | 324 |
| Townsquare Media Inc. Class A | 78,884 | 322 |
*,^ | Sears Hometown and Outlet Stores Inc. | 143,195 | 305 |
*,^ | Social Reality Inc. | 148,260 | 302 |
| Value Line Inc. | 9,238 | 240 |
*,^ | Stein Mart Inc. | 193,531 | 207 |
* | Diversified Restaurant Holdings Inc. | 188,200 | 183 |
*,^ | Purple Innovation Inc. | 27,138 | 160 |
*,^ | Genius Brands International Inc. | 68,896 | 148 |
* | Cumulus Media Inc. Class A | 12,241 | 132 |
* | Profire Energy Inc. | 80,670 | 117 |
^ | Stage Stores Inc. | 130,030 | 96 |
* | BioHiTech Global Inc. | 41,922 | 68 |
*,^ | Kona Grill Inc. | 61,343 | 64 |
^ | FAT Brands Inc. | 12,218 | 57 |
* | EVINE Live Inc. | 136,245 | 54 |
| Harte-Hanks Inc. | 12,046 | 29 |
* | Dolphin Entertainment Inc. | 37,619 | 29 |
| Haverty Furniture Cos. Inc. Class A | 1,375 | 26 |
* | SG Blocks Inc. | 8,584 | 23 |
* | Inspired Entertainment Inc. | 4,644 | 22 |
*,^ | LiveXLive Media Inc. | 4,009 | 20 |
* | Insignia Systems Inc. | 9,210 | 14 |
*,^ | National American University Holdings Inc. | 69,425 | 13 |
*,^ | Spark Networks SE ADR | 1,099 | 9 |
| Viacom Inc. Class A | 300 | 8 |
*,§ | Universal Travel Group | 42,843 | 7 |
* | Live Ventures Inc. | 812 | 5 |
* | Urban One Inc. Class A | 950 | 2 |
* | YogaWorks Inc. | 3,300 | 2 |
* | DGSE Cos. Inc. | 2,900 | 1 |
* | Ascent Capital Group Inc. Class A | 2,801 | 1 |
| | | 90,710,181 |
Financials (19.3%) | | |
* | Berkshire Hathaway Inc. Class B | 50,508,373 | 10,312,800 |
| JPMorgan Chase & Co. | 88,872,039 | 8,675,688 |
| Visa Inc. Class A | 47,014,765 | 6,203,128 |
| Bank of America Corp. | 236,065,255 | 5,816,648 |
| Wells Fargo & Co. | 113,207,525 | 5,216,603 |
| Mastercard Inc. Class A | 24,548,873 | 4,631,145 |
13
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Citigroup Inc. | 65,271,677 | 3,398,044 |
| American Tower Corp. | 11,767,132 | 1,861,443 |
| CME Group Inc. | 9,556,227 | 1,797,717 |
| US Bancorp | 38,911,037 | 1,778,234 |
| American Express Co. | 18,261,147 | 1,740,653 |
| Chubb Ltd. | 11,698,938 | 1,511,269 |
| Goldman Sachs Group Inc. | 8,942,253 | 1,493,803 |
| Simon Property Group Inc. | 8,262,497 | 1,388,017 |
| Morgan Stanley | 34,464,743 | 1,366,527 |
| Charles Schwab Corp. | 32,482,855 | 1,349,013 |
| PNC Financial Services Group Inc. | 11,116,783 | 1,299,663 |
| Crown Castle International Corp. | 11,081,733 | 1,203,809 |
| BlackRock Inc. | 2,950,064 | 1,158,844 |
| Intercontinental Exchange Inc. | 15,214,805 | 1,146,131 |
| S&P Global Inc. | 6,703,499 | 1,139,193 |
| Bank of New York Mellon Corp. | 23,771,507 | 1,118,925 |
| Marsh & McLennan Cos. Inc. | 13,460,764 | 1,073,496 |
| Prologis Inc. | 16,825,574 | 987,998 |
| Capital One Financial Corp. | 12,655,544 | 956,633 |
| Progressive Corp. | 15,585,809 | 940,292 |
| Aon plc | 6,437,938 | 935,819 |
| American International Group Inc. | 23,638,813 | 931,606 |
| Aflac Inc. | 20,342,560 | 926,807 |
| Prudential Financial Inc. | 11,040,115 | 900,321 |
| BB&T Corp. | 20,643,623 | 894,282 |
| Travelers Cos. Inc. | 7,076,477 | 847,408 |
| MetLife Inc. | 19,780,238 | 812,177 |
| Public Storage | 3,959,722 | 801,487 |
| Allstate Corp. | 9,204,293 | 760,551 |
| Equinix Inc. | 2,147,782 | 757,222 |
| Welltower Inc. | 10,035,012 | 696,530 |
| Equity Residential | 9,838,544 | 649,442 |
| AvalonBay Communities Inc. | 3,691,741 | 642,548 |
| Moody’s Corp. | 4,352,054 | 609,462 |
| State Street Corp. | 9,634,615 | 607,655 |
| SunTrust Banks Inc. | 12,042,206 | 607,409 |
| Digital Realty Trust Inc. | 5,511,180 | 587,216 |
| T. Rowe Price Group Inc. | 6,113,127 | 564,364 |
| Ventas Inc. | 9,521,907 | 557,889 |
| Discover Financial Services | 8,981,964 | 529,756 |
| Realty Income Corp. | 7,873,536 | 496,348 |
* | SBA Communications Corp. Class A | 3,026,443 | 489,951 |
| M&T Bank Corp. | 3,394,585 | 485,867 |
| Northern Trust Corp. | 5,623,070 | 470,032 |
| Boston Properties Inc. | 4,128,446 | 464,657 |
* | IHS Markit Ltd. | 9,472,664 | 454,404 |
| Weyerhaeuser Co. | 20,028,509 | 437,823 |
| Essex Property Trust Inc. | 1,764,407 | 432,650 |
| Hartford Financial Services Group Inc. | 9,594,955 | 426,496 |
| Fifth Third Bancorp | 17,622,562 | 414,659 |
| KeyCorp | 27,736,874 | 409,951 |
| Synchrony Financial | 17,296,864 | 405,784 |
| Ameriprise Financial Inc. | 3,722,859 | 388,555 |
* | First Republic Bank | 4,419,133 | 384,023 |
| Citizens Financial Group Inc. | 12,566,128 | 373,591 |
| Regions Financial Corp. | 27,719,617 | 370,888 |
| TD Ameritrade Holding Corp. | 7,527,371 | 368,540 |
* | Markel Corp. | 352,708 | 366,129 |
| Arthur J Gallagher & Co. | 4,909,929 | 361,862 |
| HCP Inc. | 12,555,001 | 350,661 |
* | CBRE Group Inc. Class A | 8,634,713 | 345,734 |
| Annaly Capital Management Inc. | 34,966,461 | 343,371 |
| Huntington Bancshares Inc. | 28,533,672 | 340,121 |
| Principal Financial Group Inc. | 7,560,379 | 333,942 |
14
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Alexandria Real Estate Equities Inc. | 2,874,902 | 331,304 |
| Host Hotels & Resorts Inc. | 19,795,220 | 329,986 |
| MSCI Inc. Class A | 2,231,938 | 329,055 |
| Cincinnati Financial Corp. | 4,138,669 | 320,416 |
* | Berkshire Hathaway Inc. Class A | 1,034 | 316,404 |
| Loews Corp. | 6,733,676 | 306,517 |
| Equifax Inc. | 3,223,623 | 300,216 |
| Comerica Inc. | 4,355,109 | 299,152 |
| E*TRADE Financial Corp. | 6,786,071 | 297,773 |
| Cboe Global Markets Inc. | 2,993,922 | 292,895 |
| Lincoln National Corp. | 5,706,649 | 292,808 |
| Mid-America Apartment Communities Inc. | 3,039,549 | 290,885 |
| UDR Inc. | 7,338,767 | 290,762 |
| Extra Space Storage Inc. | 3,203,870 | 289,886 |
| Vornado Realty Trust | 4,583,164 | 284,294 |
| WP Carey Inc. | 4,282,862 | 279,842 |
* | Arch Capital Group Ltd. | 10,274,873 | 274,545 |
* | SVB Financial Group | 1,422,106 | 270,086 |
| KKR & Co. Inc. Class A | 13,394,309 | 262,930 |
| Raymond James Financial Inc. | 3,435,383 | 255,627 |
| Regency Centers Corp. | 4,294,881 | 252,024 |
| Nasdaq Inc. | 3,062,951 | 249,845 |
| Ally Financial Inc. | 10,988,664 | 249,003 |
| Duke Realty Corp. | 9,553,632 | 247,439 |
| Iron Mountain Inc. | 7,623,179 | 247,067 |
| AGNC Investment Corp. | 13,997,697 | 245,520 |
| Everest Re Group Ltd. | 1,082,637 | 235,755 |
| Alleghany Corp. | 376,736 | 234,827 |
| Reinsurance Group of America Inc. Class A | 1,674,537 | 234,820 |
| Federal Realty Investment Trust | 1,971,226 | 232,684 |
| Franklin Resources Inc. | 7,519,550 | 223,030 |
| Sun Communities Inc. | 2,185,010 | 222,237 |
| Fidelity National Financial Inc. | 6,975,126 | 219,298 |
| Camden Property Trust | 2,474,396 | 217,871 |
| Zions Bancorp NA | 5,162,224 | 210,309 |
| Equity LifeStyle Properties Inc. | 2,155,119 | 209,327 |
| National Retail Properties Inc. | 4,220,276 | 204,726 |
| MarketAxess Holdings Inc. | 953,862 | 201,561 |
| Western Union Co. | 11,772,763 | 200,843 |
| Torchmark Corp. | 2,690,220 | 200,502 |
| Omega Healthcare Investors Inc. | 5,331,748 | 187,411 |
| VEREIT Inc. | 25,647,463 | 183,379 |
| Invesco Ltd. | 10,949,349 | 183,292 |
| SL Green Realty Corp. | 2,315,568 | 183,115 |
| WR Berkley Corp. | 2,451,565 | 181,195 |
| Apartment Investment & Management Co. | 4,128,767 | 181,170 |
| Brown & Brown Inc. | 6,343,043 | 174,814 |
| Gaming and Leisure Properties Inc. | 5,405,229 | 174,643 |
| Kilroy Realty Corp. | 2,749,841 | 172,910 |
| SEI Investments Co. | 3,738,465 | 172,717 |
| Unum Group | 5,831,434 | 171,328 |
| East West Bancorp Inc. | 3,924,260 | 170,823 |
* | Black Knight Inc. | 3,788,035 | 170,689 |
| Voya Financial Inc. | 4,145,388 | 166,396 |
* | Athene Holding Ltd. Class A | 4,174,883 | 166,286 |
| Liberty Property Trust | 3,928,282 | 164,516 |
| Macerich Co. | 3,756,259 | 162,571 |
| American Financial Group Inc. | 1,790,027 | 162,051 |
| Old Republic International Corp. | 7,679,716 | 157,972 |
| Lamar Advertising Co. Class A | 2,265,390 | 156,720 |
| Kimco Realty Corp. | 10,659,151 | 156,157 |
| Medical Properties Trust Inc. | 9,674,348 | 155,564 |
| Invitation Homes Inc. | 7,656,328 | 153,739 |
| Jones Lang LaSalle Inc. | 1,212,308 | 153,478 |
15
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Commerce Bancshares Inc. | 2,705,003 | 152,481 |
| American Campus Communities Inc. | 3,651,196 | 151,123 |
| CyrusOne Inc. | 2,820,968 | 149,173 |
| People’s United Financial Inc. | 10,294,052 | 148,543 |
| Douglas Emmett Inc. | 4,311,756 | 147,160 |
| VICI Properties Inc. | 7,820,577 | 146,870 |
| RenaissanceRe Holdings Ltd. | 1,076,431 | 143,919 |
| STORE Capital Corp. | 5,071,543 | 143,575 |
| CubeSmart | 4,958,530 | 142,260 |
| Signature Bank | 1,363,407 | 140,172 |
| Healthcare Trust of America Inc. Class A | 5,518,689 | 139,678 |
| Park Hotels & Resorts Inc. | 5,348,655 | 138,958 |
| Cullen/Frost Bankers Inc. | 1,567,127 | 137,813 |
| New Residential Investment Corp. | 9,687,978 | 137,666 |
| Affiliated Managers Group Inc. | 1,406,739 | 137,073 |
| Starwood Property Trust Inc. | 6,940,996 | 136,807 |
| LPL Financial Holdings Inc. | 2,197,158 | 134,202 |
| American Homes 4 Rent Class A | 6,677,704 | 132,552 |
| Hanover Insurance Group Inc. | 1,131,738 | 132,153 |
* | Credit Acceptance Corp. | 335,533 | 128,093 |
| Lazard Ltd. Class A | 3,452,586 | 127,435 |
| Popular Inc. | 2,695,858 | 127,298 |
| First American Financial Corp. | 2,828,918 | 126,283 |
| EPR Properties | 1,968,188 | 126,023 |
| Assurant Inc. | 1,406,416 | 125,790 |
| Webster Financial Corp. | 2,497,931 | 123,123 |
| Hudson Pacific Properties Inc. | 4,167,705 | 121,114 |
| Brixmor Property Group Inc. | 7,986,589 | 117,323 |
| New York Community Bancorp Inc. | 12,439,089 | 117,052 |
| First Horizon National Corp. | 8,799,075 | 115,796 |
| Life Storage Inc. | 1,238,394 | 115,158 |
| Prosperity Bancshares Inc. | 1,821,700 | 113,492 |
| Primerica Inc. | 1,146,902 | 112,064 |
| PacWest Bancorp | 3,293,140 | 109,596 |
| CIT Group Inc. | 2,856,739 | 109,327 |
| Axis Capital Holdings Ltd. | 2,113,911 | 109,162 |
* | GCI Liberty Inc. Class A | 2,615,041 | 107,635 |
| Highwoods Properties Inc. | 2,742,684 | 106,114 |
* | Howard Hughes Corp. | 1,078,901 | 105,322 |
| Interactive Brokers Group Inc. | 1,907,551 | 104,248 |
| Eaton Vance Corp. | 2,956,508 | 104,010 |
| Assured Guaranty Ltd. | 2,693,231 | 103,097 |
| Wintrust Financial Corp. | 1,544,673 | 102,705 |
* | Western Alliance Bancorp | 2,588,074 | 102,203 |
* | MGIC Investment Corp. | 9,694,361 | 101,403 |
^ | First Financial Bankshares Inc. | 1,753,151 | 101,139 |
| JBG SMITH Properties | 2,896,303 | 100,820 |
* | Green Dot Corp. Class A | 1,261,550 | 100,318 |
| Sterling Bancorp | 6,041,480 | 99,745 |
| Hospitality Properties Trust | 4,157,694 | 99,286 |
| Pebblebrook Hotel Trust | 3,503,683 | 99,189 |
* | Brighthouse Financial Inc. | 3,173,589 | 96,731 |
| Blackstone Mortgage Trust Inc. Class A | 3,012,233 | 95,970 |
| First Industrial Realty Trust Inc. | 3,316,269 | 95,708 |
| Umpqua Holdings Corp. | 5,989,758 | 95,237 |
| Healthcare Realty Trust Inc. | 3,335,446 | 94,860 |
| Rayonier Inc. | 3,403,494 | 94,243 |
| Selective Insurance Group Inc. | 1,536,887 | 93,658 |
| IBERIABANK Corp. | 1,456,092 | 93,598 |
| Radian Group Inc. | 5,717,991 | 93,546 |
| AXA Equitable Holdings Inc. | 5,616,247 | 93,398 |
| Janus Henderson Group plc | 4,496,295 | 93,163 |
| Synovus Financial Corp. | 2,890,102 | 92,454 |
| Equity Commonwealth | 3,055,359 | 91,691 |
16
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Kemper Corp. | 1,379,100 | 91,545 |
| Pinnacle Financial Partners Inc. | 1,964,539 | 90,565 |
| Associated Banc-Corp | 4,528,389 | 89,617 |
| FNB Corp. | 8,963,502 | 88,201 |
| Cousins Properties Inc. | 11,090,943 | 87,618 |
| Erie Indemnity Co. Class A | 643,555 | 85,792 |
* | Essent Group Ltd. | 2,496,961 | 85,346 |
| CoreSite Realty Corp. | 975,731 | 85,113 |
| Glacier Bancorp Inc. | 2,147,769 | 85,095 |
| Two Harbors Investment Corp. | 6,568,457 | 84,339 |
| EastGroup Properties Inc. | 916,200 | 84,043 |
| MB Financial Inc. | 2,115,187 | 83,825 |
*,^ | Zillow Group Inc. | 2,653,133 | 83,786 |
| BankUnited Inc. | 2,791,482 | 83,577 |
| Chimera Investment Corp. | 4,680,216 | 83,401 |
| United Bankshares Inc. | 2,654,042 | 82,567 |
| Apple Hospitality REIT Inc. | 5,766,668 | 82,233 |
| Ryman Hospitality Properties Inc. | 1,228,598 | 81,935 |
| National Health Investors Inc. | 1,066,541 | 80,567 |
| Weingarten Realty Investors | 3,234,714 | 80,253 |
| Spirit Realty Capital Inc. | 2,273,985 | 80,158 |
| FirstCash Inc. | 1,107,896 | 80,156 |
| TCF Financial Corp. | 4,090,535 | 79,725 |
| Community Bank System Inc. | 1,359,878 | 79,281 |
| MFA Financial Inc. | 11,863,564 | 79,249 |
| Hancock Whitney Corp. | 2,282,968 | 79,105 |
| Sunstone Hotel Investors Inc. | 6,064,451 | 78,899 |
| Sabra Health Care REIT Inc. | 4,726,543 | 77,893 |
| Physicians Realty Trust | 4,835,677 | 77,516 |
| Bank of Hawaii Corp. | 1,140,504 | 76,779 |
| RLJ Lodging Trust | 4,658,890 | 76,406 |
| Valley National Bancorp | 8,569,268 | 76,095 |
| Bank OZK | 3,287,283 | 75,049 |
| RLI Corp. | 1,087,121 | 75,000 |
| Fulton Financial Corp. | 4,829,812 | 74,765 |
| UMB Financial Corp. | 1,215,226 | 74,092 |
| Senior Housing Properties Trust | 6,304,534 | 73,889 |
| Stifel Financial Corp. | 1,777,851 | 73,639 |
| Rexford Industrial Realty Inc. | 2,461,319 | 72,535 |
| STAG Industrial Inc. | 2,878,977 | 71,629 |
| Cathay General Bancorp | 2,116,004 | 70,950 |
| Paramount Group Inc. | 5,611,958 | 70,486 |
| Columbia Banking System Inc. | 1,940,264 | 70,412 |
| Uniti Group Inc. | 4,516,529 | 70,322 |
| Taubman Centers Inc. | 1,541,219 | 70,110 |
| Chemical Financial Corp. | 1,910,059 | 69,927 |
* | Texas Capital Bancshares Inc. | 1,354,364 | 69,194 |
| Home BancShares Inc. | 4,220,120 | 68,957 |
| Investors Bancorp Inc. | 6,569,047 | 68,318 |
| BancorpSouth Bank | 2,594,962 | 67,832 |
* | Zillow Group Inc. Class A | 2,149,800 | 67,568 |
| Outfront Media Inc. | 3,720,999 | 67,425 |
| First Hawaiian Inc. | 2,973,726 | 66,939 |
| Aspen Insurance Holdings Ltd. | 1,583,410 | 66,487 |
| PS Business Parks Inc. | 506,727 | 66,381 |
| CNO Financial Group Inc. | 4,398,178 | 65,445 |
| Evercore Inc. Class A | 913,987 | 65,405 |
| Empire State Realty Trust Inc. | 4,590,678 | 65,325 |
| White Mountains Insurance Group Ltd. | 75,921 | 65,117 |
| Americold Realty Trust | 2,541,984 | 64,922 |
| Federated Investors Inc. Class B | 2,402,666 | 63,791 |
| American Equity Investment Life Holding Co. | 2,276,532 | 63,606 |
| Old National Bancorp | 4,051,838 | 62,398 |
* | SLM Corp. | 7,490,119 | 62,243 |
17
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| CVB Financial Corp. | 3,068,595 | 62,078 |
* | Genworth Financial Inc. Class A | 13,316,927 | 62,057 |
| Retail Properties of America Inc. | 5,718,205 | 62,043 |
| Corporate Office Properties Trust | 2,896,215 | 60,907 |
| GEO Group Inc. | 3,088,094 | 60,835 |
| Brandywine Realty Trust | 4,707,895 | 60,591 |
| BOK Financial Corp. | 826,095 | 60,578 |
| Piedmont Office Realty Trust Inc. Class A | 3,548,577 | 60,468 |
| Navient Corp. | 6,846,902 | 60,321 |
| Washington Federal Inc. | 2,252,960 | 60,177 |
| Kennedy-Wilson Holdings Inc. | 3,298,677 | 59,937 |
| First Citizens BancShares Inc. Class A | 158,917 | 59,920 |
| Columbia Property Trust Inc. | 3,079,602 | 59,590 |
| South State Corp. | 986,294 | 59,128 |
| Apollo Commercial Real Estate Finance Inc. | 3,523,469 | 58,701 |
| First Financial Bancorp | 2,456,549 | 58,269 |
| Legg Mason Inc. | 2,277,568 | 58,101 |
| Colony Capital Inc. | 12,368,946 | 57,887 |
| Brookfield Property REIT Inc. Class A | 3,503,648 | 56,409 |
| Argo Group International Holdings Ltd. | 838,709 | 56,403 |
| ProAssurance Corp. | 1,388,892 | 56,333 |
| CoreCivic Inc. | 3,155,625 | 56,265 |
| Terreno Realty Corp. | 1,571,005 | 55,252 |
| First Midwest Bancorp Inc. | 2,767,871 | 54,832 |
| PotlatchDeltic Corp. | 1,711,986 | 54,167 |
| Simmons First National Corp. Class A | 2,244,504 | 54,160 |
| Acadia Realty Trust | 2,168,556 | 51,525 |
| CenterState Bank Corp. | 2,435,121 | 51,235 |
| International Bancshares Corp. | 1,486,462 | 51,134 |
| Xenia Hotels & Resorts Inc. | 2,966,857 | 51,030 |
| Agree Realty Corp. | 862,302 | 50,979 |
| Santander Consumer USA Holdings Inc. | 2,896,954 | 50,957 |
| First BanCorp | 5,871,087 | 50,491 |
| QTS Realty Trust Inc. Class A | 1,356,968 | 50,276 |
| Tanger Factory Outlet Centers Inc. | 2,476,338 | 50,072 |
| DiamondRock Hospitality Co. | 5,464,242 | 49,615 |
| Great Western Bancorp Inc. | 1,583,239 | 49,476 |
| Independent Bank Corp. | 701,594 | 49,329 |
* | OneMain Holdings Inc. | 2,006,609 | 48,741 |
| Trustmark Corp. | 1,711,688 | 48,663 |
| WesBanco Inc. | 1,324,828 | 48,608 |
| Washington REIT | 2,105,002 | 48,415 |
| Urban Edge Properties | 2,896,238 | 48,135 |
| Four Corners Property Trust Inc. | 1,823,570 | 47,778 |
| Union Bankshares Corp. | 1,690,089 | 47,711 |
| Retail Opportunity Investments Corp. | 2,994,187 | 47,548 |
| Navigators Group Inc. | 679,411 | 47,212 |
| Lexington Realty Trust | 5,666,525 | 46,522 |
^ | Realogy Holdings Corp. | 3,156,803 | 46,342 |
| Banner Corp. | 864,965 | 46,258 |
*,^ | LendingTree Inc. | 206,515 | 45,345 |
| Mack-Cali Realty Corp. | 2,270,447 | 44,478 |
* | Eagle Bancorp Inc. | 898,518 | 43,767 |
| United Community Banks Inc. | 2,023,002 | 43,414 |
| Virtu Financial Inc. Class A | 1,684,529 | 43,393 |
| LTC Properties Inc. | 1,040,001 | 43,347 |
| First Merchants Corp. | 1,258,999 | 43,146 |
| Invesco Mortgage Capital Inc. | 2,905,926 | 42,078 |
| Moelis & Co. Class A | 1,214,021 | 41,738 |
* | Enstar Group Ltd. | 247,912 | 41,543 |
| SITE Centers Corp. | 3,751,130 | 41,525 |
* | FCB Financial Holdings Inc. Class A | 1,230,864 | 41,332 |
| Northwest Bancshares Inc. | 2,433,551 | 41,224 |
| CareTrust REIT Inc. | 2,218,950 | 40,962 |
18
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Capitol Federal Financial Inc. | 3,180,231 | 40,612 |
| Hope Bancorp Inc. | 3,394,979 | 40,264 |
| National Storage Affiliates Trust | 1,502,218 | 39,749 |
| National General Holdings Corp. | 1,638,542 | 39,669 |
* | Pacific Premier Bancorp Inc. | 1,554,159 | 39,662 |
| LegacyTexas Financial Group Inc. | 1,232,263 | 39,543 |
| Chesapeake Lodging Trust | 1,607,829 | 39,151 |
| Towne Bank | 1,625,892 | 38,940 |
| American Assets Trust Inc. | 963,867 | 38,719 |
| Horace Mann Educators Corp. | 1,024,132 | 38,354 |
| Mercury General Corp. | 737,736 | 38,148 |
| Renasant Corp. | 1,257,880 | 37,963 |
| Ladder Capital Corp. Class A | 2,450,821 | 37,914 |
| ServisFirst Bancshares Inc. | 1,174,768 | 37,440 |
| Westamerica Bancorporation | 672,288 | 37,433 |
| BGC Partners Inc. Class A | 7,156,912 | 37,001 |
* | Axos Financial Inc. | 1,467,554 | 36,953 |
| NBT Bancorp Inc. | 1,047,300 | 36,226 |
| Ameris Bancorp | 1,132,497 | 35,866 |
| Provident Financial Services Inc. | 1,486,039 | 35,858 |
| Waddell & Reed Financial Inc. Class A | 1,980,960 | 35,816 |
| Heartland Financial USA Inc. | 804,597 | 35,362 |
| Global Net Lease Inc. | 1,999,516 | 35,231 |
| Cadence BanCorp Class A | 2,091,215 | 35,091 |
| Ares Management Corp. | 1,951,115 | 34,691 |
| Colony Credit Real Estate Inc. | 2,147,454 | 33,908 |
^ | Industrial Logistics Properties Trust | 1,714,265 | 33,720 |
| Employers Holdings Inc. | 799,874 | 33,571 |
| Walker & Dunlop Inc. | 774,072 | 33,479 |
| Hilltop Holdings Inc. | 1,877,119 | 33,469 |
* | PennyMac Financial Services Inc. | 1,542,073 | 32,784 |
* | Alexander & Baldwin Inc. | 1,775,193 | 32,628 |
| First Commonwealth Financial Corp. | 2,699,557 | 32,611 |
| Redwood Trust Inc. | 2,144,819 | 32,322 |
| Houlihan Lokey Inc. Class A | 869,858 | 32,011 |
| S&T Bancorp Inc. | 841,135 | 31,829 |
| First Interstate BancSystem Inc. Class A | 866,707 | 31,687 |
| HFF Inc. Class A | 946,781 | 31,395 |
| WSFS Financial Corp. | 827,969 | 31,388 |
* | Seacoast Banking Corp. of Florida | 1,204,699 | 31,346 |
| Newmark Group Inc. Class A | 3,896,210 | 31,248 |
| Clearway Energy Inc. | 1,793,789 | 30,943 |
* | NMI Holdings Inc. Class A | 1,729,880 | 30,878 |
| Universal Insurance Holdings Inc. | 808,354 | 30,653 |
| Kite Realty Group Trust | 2,162,014 | 30,463 |
| Kearny Financial Corp. | 2,372,114 | 30,411 |
| United Fire Group Inc. | 538,827 | 29,878 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 1,564,396 | 29,802 |
* | Cannae Holdings Inc. | 1,729,439 | 29,608 |
| Artisan Partners Asset Management Inc. Class A | 1,327,743 | 29,356 |
| Tier REIT Inc. | 1,422,108 | 29,338 |
| Safety Insurance Group Inc. | 356,620 | 29,175 |
| Park National Corp. | 337,344 | 28,657 |
| PennyMac Mortgage Investment Trust | 1,527,296 | 28,438 |
| Monmouth Real Estate Investment Corp. | 2,290,363 | 28,401 |
| City Holding Co. | 410,240 | 27,728 |
* | LendingClub Corp. | 10,506,764 | 27,633 |
| American National Insurance Co. | 217,119 | 27,626 |
* | PRA Group Inc. | 1,129,523 | 27,526 |
^ | American Finance Trust Inc. | 2,064,094 | 27,494 |
| AMERISAFE Inc. | 481,971 | 27,323 |
| Tompkins Financial Corp. | 364,055 | 27,308 |
^ | Seritage Growth Properties Class A | 837,465 | 27,075 |
| Kinsale Capital Group Inc. | 486,748 | 27,044 |
19
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Berkshire Hills Bancorp Inc. | 995,476 | 26,848 |
| First Busey Corp. | 1,082,806 | 26,572 |
| James River Group Holdings Ltd. | 714,694 | 26,115 |
| Summit Hotel Properties Inc. | 2,674,055 | 26,019 |
| Heritage Financial Corp. | 868,083 | 25,799 |
| Getty Realty Corp. | 873,351 | 25,685 |
| Sandy Spring Bancorp Inc. | 818,984 | 25,667 |
| Easterly Government Properties Inc. | 1,629,223 | 25,546 |
| Brookline Bancorp Inc. | 1,837,756 | 25,398 |
* | Cushman & Wakefield plc | 1,740,911 | 25,191 |
| Investment Technology Group Inc. | 825,024 | 24,949 |
| Beneficial Bancorp Inc. | 1,711,563 | 24,458 |
| TFS Financial Corp. | 1,510,619 | 24,366 |
| Southside Bancshares Inc. | 766,872 | 24,348 |
| Lakeland Financial Corp. | 604,133 | 24,262 |
| First Bancorp | 741,741 | 24,225 |
| Piper Jaffray Cos. | 365,127 | 24,040 |
*,^ | Redfin Corp. | 1,647,740 | 23,727 |
* | FGL Holdings | 3,558,951 | 23,703 |
| RPT Realty | 1,981,988 | 23,685 |
| Washington Prime Group Inc. | 4,868,688 | 23,662 |
| Stewart Information Services Corp. | 566,785 | 23,465 |
| New York Mortgage Trust Inc. | 3,964,674 | 23,352 |
| TPG RE Finance Trust Inc. | 1,262,700 | 23,082 |
| Boston Private Financial Holdings Inc. | 2,163,262 | 22,866 |
| TriCo Bancshares | 673,886 | 22,771 |
| OceanFirst Financial Corp. | 988,702 | 22,256 |
| WisdomTree Investments Inc. | 3,345,205 | 22,246 |
| Independent Bank Group Inc. | 485,735 | 22,232 |
* | Mr Cooper Group Inc. | 1,899,690 | 22,169 |
| National Bank Holdings Corp. Class A | 714,991 | 22,072 |
| BancFirst Corp. | 438,680 | 21,890 |
| Independence Realty Trust Inc. | 2,363,367 | 21,696 |
| Chatham Lodging Trust | 1,217,811 | 21,531 |
| State Bank Financial Corp. | 997,262 | 21,531 |
| OFG Bancorp | 1,306,532 | 21,506 |
| InfraREIT Inc. | 1,022,899 | 21,501 |
* | Third Point Reinsurance Ltd. | 2,220,374 | 21,404 |
| ARMOUR Residential REIT Inc. | 1,032,618 | 21,169 |
| Enterprise Financial Services Corp. | 544,461 | 20,488 |
* | Ambac Financial Group Inc. | 1,184,413 | 20,419 |
* | Flagstar Bancorp Inc. | 770,112 | 20,331 |
*,^ | MBIA Inc. | 2,272,557 | 20,271 |
| Universal Health Realty Income Trust | 324,715 | 19,928 |
| Granite Point Mortgage Trust Inc. | 1,079,663 | 19,466 |
| PJT Partners Inc. | 487,972 | 18,914 |
| Armada Hoffler Properties Inc. | 1,339,711 | 18,836 |
| Arbor Realty Trust Inc. | 1,866,357 | 18,794 |
* | World Acceptance Corp. | 182,351 | 18,647 |
* | Marcus & Millichap Inc. | 540,305 | 18,549 |
| United Financial Bancorp Inc. | 1,256,563 | 18,471 |
* | eHealth Inc. | 480,153 | 18,447 |
*,^ | Encore Capital Group Inc. | 770,303 | 18,102 |
| Cohen & Steers Inc. | 526,316 | 18,063 |
| Nelnet Inc. Class A | 337,635 | 17,672 |
| Central Pacific Financial Corp. | 724,000 | 17,629 |
| NexPoint Residential Trust Inc. | 502,471 | 17,612 |
| Meta Financial Group Inc. | 901,297 | 17,476 |
* | Triumph Bancorp Inc. | 586,990 | 17,434 |
| Meridian Bancorp Inc. | 1,211,930 | 17,355 |
| Select Income REIT | 2,357,859 | 17,354 |
| Hersha Hospitality Trust Class A | 979,960 | 17,189 |
| Alexander’s Inc. | 55,943 | 17,048 |
| Lakeland Bancorp Inc. | 1,148,531 | 17,010 |
20
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Clearway Energy Inc. Class A | 997,692 | 16,881 |
| Stock Yards Bancorp Inc. | 511,307 | 16,771 |
| Washington Trust Bancorp Inc. | 352,140 | 16,737 |
| National Western Life Group Inc. Class A | 55,028 | 16,547 |
| Bryn Mawr Bank Corp. | 478,581 | 16,463 |
| FBL Financial Group Inc. Class A | 249,643 | 16,389 |
| Carolina Financial Corp. | 545,284 | 16,135 |
* | Columbia Financial Inc. | 1,054,952 | 16,130 |
| Amalgamated Bank Class A | 826,909 | 16,125 |
| Hamilton Lane Inc. Class A | 430,049 | 15,912 |
| Capstead Mortgage Corp. | 2,385,028 | 15,908 |
| TrustCo Bank Corp. NY | 2,303,079 | 15,799 |
| Investors Real Estate Trust | 319,112 | 15,659 |
* | National Commerce Corp. | 431,113 | 15,520 |
| Saul Centers Inc. | 325,533 | 15,372 |
| Urstadt Biddle Properties Inc. Class A | 796,328 | 15,305 |
| Banc of California Inc. | 1,144,952 | 15,239 |
* | Enova International Inc. | 782,084 | 15,219 |
| Hanmi Financial Corp. | 766,901 | 15,108 |
| Preferred Apartment Communities Inc. Class A | 1,054,708 | 14,829 |
| Univest Corp. of Pennsylvania | 686,652 | 14,811 |
| Community Trust Bancorp Inc. | 373,578 | 14,797 |
* | Allegiance Bancshares Inc. | 456,248 | 14,769 |
| iStar Inc. | 1,609,964 | 14,763 |
| State Auto Financial Corp. | 430,615 | 14,658 |
| Gladstone Commercial Corp. | 809,849 | 14,513 |
| Oritani Financial Corp. | 982,982 | 14,499 |
| Community Healthcare Trust Inc. | 500,584 | 14,432 |
| Fidelity Southern Corp. | 552,164 | 14,367 |
| Flushing Financial Corp. | 658,776 | 14,183 |
| Virtus Investment Partners Inc. | 177,557 | 14,103 |
| Dynex Capital Inc. | 2,462,819 | 14,087 |
| ConnectOne Bancorp Inc. | 762,036 | 14,075 |
| Northfield Bancorp Inc. | 1,036,121 | 14,039 |
| Horizon Bancorp Inc. | 888,504 | 14,021 |
| German American Bancorp Inc. | 492,994 | 13,690 |
| KKR Real Estate Finance Trust Inc. | 712,122 | 13,637 |
| Cherry Hill Mortgage Investment Corp. | 776,802 | 13,625 |
| RE/MAX Holdings Inc. Class A | 442,364 | 13,603 |
* | Customers Bancorp Inc. | 744,019 | 13,541 |
| FB Financial Corp. | 385,596 | 13,504 |
* | INTL. FCStone Inc. | 368,484 | 13,479 |
* | HomeStreet Inc. | 634,778 | 13,476 |
* | Focus Financial Partners Inc. Class A | 507,971 | 13,375 |
| Camden National Corp. | 368,066 | 13,239 |
* | St. Joe Co. | 972,227 | 12,804 |
| Bank of Marin Bancorp | 308,750 | 12,733 |
| Blue Hills Bancorp Inc. | 590,770 | 12,607 |
| Great Southern Bancorp Inc. | 273,528 | 12,591 |
| Dime Community Bancshares Inc. | 739,946 | 12,564 |
| Whitestone REIT | 1,020,362 | 12,510 |
| Peoples Bancorp Inc. | 412,804 | 12,425 |
* | TriState Capital Holdings Inc. | 637,142 | 12,399 |
* | Veritex Holdings Inc. | 575,911 | 12,313 |
| Essential Properties Realty Trust Inc. | 881,248 | 12,196 |
| Jernigan Capital Inc. | 611,049 | 12,111 |
| People’s Utah Bancorp | 400,875 | 12,086 |
| Diamond Hill Investment Group Inc. | 80,537 | 12,036 |
^ | CBTX Inc. | 408,356 | 12,006 |
* | Willscot Corp. Class A | 1,270,417 | 11,967 |
| Guaranty Bancorp | 573,556 | 11,901 |
* | Equity Bancshares Inc. Class A | 336,170 | 11,850 |
| First Community Bankshares Inc. | 368,033 | 11,586 |
| Exantas Capital Corp. | 1,141,934 | 11,442 |
21
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
^ | Innovative Industrial Properties Inc. | 251,136 | 11,399 |
| Federal Agricultural Mortgage Corp. | 188,345 | 11,384 |
* | First Foundation Inc. | 876,479 | 11,272 |
| Western New England Bancorp Inc. | 1,112,193 | 11,166 |
| Bridge Bancorp Inc. | 436,514 | 11,127 |
| RMR Group Inc. Class A | 207,064 | 10,991 |
| AG Mortgage Investment Trust Inc. | 687,937 | 10,959 |
| Green Bancorp Inc. | 638,053 | 10,936 |
| First Defiance Financial Corp. | 442,359 | 10,842 |
| Opus Bank | 553,005 | 10,833 |
| Independent Bank Corp. | 512,551 | 10,774 |
| First of Long Island Corp. | 538,407 | 10,741 |
| Heritage Commerce Corp. | 942,902 | 10,693 |
| Mercantile Bank Corp. | 378,059 | 10,684 |
| HomeTrust Bancshares Inc. | 406,983 | 10,655 |
| HCI Group Inc. | 208,584 | 10,598 |
| CorEnergy Infrastructure Trust Inc. | 320,047 | 10,587 |
| City Office REIT Inc. | 1,031,536 | 10,573 |
| First Financial Corp. | 261,780 | 10,510 |
| QCR Holdings Inc. | 327,012 | 10,494 |
| UMH Properties Inc. | 886,061 | 10,491 |
| Waterstone Financial Inc. | 624,171 | 10,461 |
| Retail Value Inc. | 405,762 | 10,383 |
| Ashford Hospitality Trust Inc. | 2,534,507 | 10,138 |
| Arrow Financial Corp. | 316,211 | 10,125 |
| Preferred Bank | 231,072 | 10,017 |
* | Bancorp Inc. | 1,252,482 | 9,970 |
| United Community Financial Corp. | 1,125,899 | 9,964 |
* | BSB Bancorp Inc. | 351,369 | 9,859 |
| Anworth Mortgage Asset Corp. | 2,436,383 | 9,843 |
^ | Orchid Island Capital Inc. | 1,539,246 | 9,836 |
| Peapack Gladstone Financial Corp. | 389,882 | 9,817 |
| Midland States Bancorp Inc. | 437,049 | 9,764 |
| One Liberty Properties Inc. | 401,408 | 9,722 |
| United Insurance Holdings Corp. | 584,456 | 9,714 |
^ | Cambridge Bancorp | 115,395 | 9,607 |
* | Southern First Bancshares Inc. | 296,967 | 9,524 |
| Republic Bancorp Inc. Class A | 245,355 | 9,500 |
* | Nicolet Bankshares Inc. | 192,766 | 9,407 |
| First Mid-Illinois Bancshares Inc. | 294,415 | 9,398 |
| PCSB Financial Corp. | 480,397 | 9,397 |
* | Atlantic Capital Bancshares Inc. | 573,091 | 9,382 |
* | EZCORP Inc. Class A | 1,197,858 | 9,259 |
| Ares Commercial Real Estate Corp. | 708,994 | 9,245 |
| Live Oak Bancshares Inc. | 623,479 | 9,234 |
| Old Second Bancorp Inc. | 709,190 | 9,219 |
| Braemar Hotels & Resorts Inc. | 1,015,681 | 9,070 |
| CatchMark Timber Trust Inc. Class A | 1,269,530 | 9,014 |
| Financial Institutions Inc. | 347,800 | 8,938 |
| Territorial Bancorp Inc. | 341,380 | 8,869 |
| Southern Missouri Bancorp Inc. | 258,149 | 8,751 |
* | Cowen Inc. Class A | 655,726 | 8,747 |
| First Bancshares Inc. | 286,724 | 8,673 |
| BBX Capital Corp. Class A | 1,513,491 | 8,672 |
| BankFinancial Corp. | 575,378 | 8,602 |
| Old Line Bancshares Inc. | 326,703 | 8,599 |
| Spirit MTA REIT | 1,197,115 | 8,535 |
| Consolidated-Tomoka Land Co. | 162,227 | 8,517 |
*,^ | Citizens Inc. Class A | 1,116,397 | 8,395 |
* | On Deck Capital Inc. | 1,413,073 | 8,337 |
| Farmers & Merchants Bancorp Inc. | 216,124 | 8,319 |
| Heritage Insurance Holdings Inc. | 553,840 | 8,153 |
^ | CBL & Associates Properties Inc. | 4,212,984 | 8,089 |
* | Franklin Financial Network Inc. | 306,056 | 8,071 |
22
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Byline Bancorp Inc. | 483,477 | 8,055 |
* | Baycom Corp. | 348,485 | 8,047 |
| Global Indemnity Ltd. | 220,630 | 7,993 |
| Merchants Bancorp | 399,396 | 7,972 |
| CNB Financial Corp. | 346,111 | 7,943 |
* | FRP Holdings Inc. | 171,184 | 7,876 |
| Bar Harbor Bankshares | 346,732 | 7,777 |
| Farmers National Banc Corp. | 597,818 | 7,616 |
| Oppenheimer Holdings Inc. Class A | 297,174 | 7,593 |
| EMC Insurance Group Inc. | 233,713 | 7,444 |
| FedNat Holding Co. | 373,411 | 7,438 |
| Civista Bancshares Inc. | 418,560 | 7,291 |
* | Republic First Bancorp Inc. | 1,211,736 | 7,234 |
| Bluerock Residential Growth REIT Inc. Class A | 799,024 | 7,207 |
| Northrim BanCorp Inc. | 218,280 | 7,175 |
| 1st Source Corp. | 175,467 | 7,078 |
| Access National Corp. | 331,100 | 7,062 |
*,^ | Health Insurance Innovations Inc. Class A | 264,035 | 7,058 |
| Sierra Bancorp | 293,688 | 7,057 |
| Peoples Financial Services Corp. | 159,880 | 7,044 |
| Citizens & Northern Corp. | 264,000 | 6,978 |
| MedEquities Realty Trust Inc. | 1,019,784 | 6,975 |
*,^ | Goosehead Insurance Inc. Class A | 262,558 | 6,903 |
| Arlington Asset Investment Corp. Class A | 952,620 | 6,897 |
| Shore Bancshares Inc. | 465,697 | 6,771 |
| Gladstone Land Corp. | 588,497 | 6,756 |
| Bankwell Financial Group Inc. | 234,973 | 6,746 |
| MidWestOne Financial Group Inc. | 270,149 | 6,708 |
| Hingham Institution for Savings | 33,805 | 6,685 |
| Westwood Holdings Group Inc. | 194,695 | 6,620 |
| First Internet Bancorp | 320,945 | 6,560 |
| SB One Bancorp | 319,900 | 6,539 |
* | Select Bancorp Inc. | 522,733 | 6,471 |
| Enterprise Bancorp Inc. | 200,848 | 6,459 |
| Business First Bancshares Inc. | 264,332 | 6,405 |
* | SmartFinancial Inc. | 349,521 | 6,386 |
* | Regional Management Corp. | 264,565 | 6,363 |
| Home Bancorp Inc. | 179,670 | 6,360 |
| ACNB Corp. | 161,936 | 6,356 |
| Ready Capital Corp. | 454,902 | 6,291 |
| First Bancorp Inc. | 238,426 | 6,271 |
| Global Medical REIT Inc. | 705,290 | 6,270 |
| Marlin Business Services Corp. | 280,788 | 6,270 |
| West Bancorporation Inc. | 328,083 | 6,263 |
| Investar Holding Corp. | 251,947 | 6,248 |
| Guaranty Bancshares Inc. | 208,525 | 6,218 |
| Great Ajax Corp. | 514,449 | 6,199 |
| Reliant Bancorp Inc. | 268,083 | 6,177 |
| Origin Bancorp Inc. | 179,690 | 6,124 |
* | Howard Bancorp Inc. | 427,766 | 6,117 |
| American National Bankshares Inc. | 208,585 | 6,114 |
| Capital City Bank Group Inc. | 261,754 | 6,075 |
| Safety Income & Growth Inc. | 317,882 | 5,979 |
| First Choice Bancorp | 264,120 | 5,969 |
| Protective Insurance Corp. Class B | 345,870 | 5,759 |
| National Bankshares Inc. | 157,368 | 5,733 |
| Southern National Bancorp of Virginia Inc. | 433,287 | 5,728 |
| Ladenburg Thalmann Financial Services Inc. | 2,456,137 | 5,723 |
| SI Financial Group Inc. | 448,844 | 5,714 |
* | HarborOne Bancorp Inc. | 357,784 | 5,685 |
* | Safeguard Scientifics Inc. | 655,108 | 5,647 |
*,^ | Spirit of Texas Bancshares Inc. | 245,117 | 5,584 |
| First Bank | 459,654 | 5,571 |
| Clipper Realty Inc. | 425,846 | 5,566 |
23
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Bridgewater Bancshares Inc. | 524,934 | 5,538 |
| Macatawa Bank Corp. | 573,928 | 5,521 |
| Investors Title Co. | 31,018 | 5,480 |
| Kingstone Cos. Inc. | 309,465 | 5,474 |
| FS Bancorp Inc. | 125,760 | 5,393 |
| Central Valley Community Bancorp | 284,721 | 5,373 |
*,^ | National Energy Services Reunited Corp. | 612,134 | 5,301 |
| Bank of Commerce Holdings | 459,361 | 5,035 |
| MidSouth Bancorp Inc. | 472,475 | 5,008 |
| First Business Financial Services Inc. | 256,678 | 5,008 |
| Ellington Residential Mortgage REIT | 489,405 | 5,007 |
| Bank of Princeton | 177,186 | 4,943 |
| Owens Realty Mortgage Inc. | 260,122 | 4,888 |
| Tiptree Inc. | 870,801 | 4,868 |
| Codorus Valley Bancorp Inc. | 227,696 | 4,839 |
| Century Bancorp Inc. Class A | 70,240 | 4,757 |
| Riverview Bancorp Inc. | 646,850 | 4,709 |
| Summit Financial Group Inc. | 242,956 | 4,691 |
| Penns Woods Bancorp Inc. | 113,486 | 4,567 |
| RBB Bancorp | 258,037 | 4,534 |
| MBT Financial Corp. | 486,591 | 4,525 |
| First Northwest Bancorp | 305,012 | 4,523 |
* | Metropolitan Bank Holding Corp. | 143,434 | 4,425 |
| Independence Holding Co. | 123,853 | 4,360 |
*,^ | Altisource Portfolio Solutions SA | 193,772 | 4,358 |
| Unity Bancorp Inc. | 207,745 | 4,313 |
| MutualFirst Financial Inc. | 161,725 | 4,297 |
| LCNB Corp. | 282,576 | 4,281 |
* | Ocwen Financial Corp. | 3,166,342 | 4,243 |
* | NI Holdings Inc. | 268,788 | 4,228 |
| C&F Financial Corp. | 79,292 | 4,219 |
* | Hallmark Financial Services Inc. | 391,289 | 4,183 |
* | Elevate Credit Inc. | 930,380 | 4,168 |
| Timberland Bancorp Inc. | 184,382 | 4,112 |
| ESSA Bancorp Inc. | 262,351 | 4,095 |
* | Entegra Financial Corp. | 194,247 | 4,031 |
^ | GAIN Capital Holdings Inc. | 651,798 | 4,015 |
* | Community Bankers Trust Corp. | 550,711 | 3,976 |
| Orrstown Financial Services Inc. | 218,245 | 3,974 |
| Norwood Financial Corp. | 118,780 | 3,920 |
| MVB Financial Corp. | 216,592 | 3,907 |
| Evans Bancorp Inc. | 119,309 | 3,879 |
* | Stratus Properties Inc. | 160,875 | 3,858 |
| Premier Financial Bancorp Inc. | 257,163 | 3,834 |
| Capstar Financial Holdings Inc. | 254,210 | 3,745 |
| Parke Bancorp Inc. | 199,568 | 3,735 |
^ | CB Financial Services Inc. | 149,258 | 3,699 |
| Fidelity D&D Bancorp Inc. | 57,373 | 3,682 |
* | Malvern Bancorp Inc. | 183,699 | 3,624 |
| Chemung Financial Corp. | 87,097 | 3,598 |
| Community Financial Corp. | 123,044 | 3,598 |
* | Forestar Group Inc. | 259,719 | 3,597 |
| BCB Bancorp Inc. | 341,862 | 3,579 |
| Pzena Investment Management Inc. Class A | 408,696 | 3,535 |
| Northeast Bancorp | 210,446 | 3,521 |
| Donegal Group Inc. Class A | 257,465 | 3,513 |
| First Community Corp. | 178,613 | 3,470 |
* | PICO Holdings Inc. | 373,096 | 3,410 |
* | Pacific Mercantile Bancorp | 474,007 | 3,389 |
| Silvercrest Asset Management Group Inc. Class A | 255,027 | 3,374 |
| First Financial Northwest Inc. | 212,473 | 3,287 |
| Prudential Bancorp Inc. | 185,091 | 3,258 |
| Western Asset Mortgage Capital Corp. | 389,847 | 3,251 |
| Union Bankshares Inc. | 66,943 | 3,197 |
24
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Mackinac Financial Corp. | 230,769 | 3,150 |
* | Victory Capital Holdings Inc. Class A | 297,907 | 3,045 |
| Standard AVB Financial Corp. | 101,063 | 3,020 |
| 1st Constitution Bancorp | 149,612 | 2,982 |
| Middlefield Banc Corp. | 68,882 | 2,923 |
| First Guaranty Bancshares Inc. | 124,659 | 2,893 |
| Ohio Valley Banc Corp. | 78,843 | 2,790 |
| United Security Bancshares | 290,105 | 2,779 |
* | Esquire Financial Holdings Inc. | 127,152 | 2,759 |
| Peoples Bancorp of North Carolina Inc. | 108,980 | 2,666 |
| BRT Apartments Corp. | 232,769 | 2,663 |
^ | Greene County Bancorp Inc. | 84,740 | 2,637 |
| Griffin Industrial Realty Inc. | 82,237 | 2,623 |
* | Trinity Place Holdings Inc. | 588,293 | 2,553 |
| Provident Financial Holdings Inc. | 161,855 | 2,509 |
| GAMCO Investors Inc. Class A | 142,988 | 2,415 |
| Federal Agricultural Mortgage Corp. Class A | 41,769 | 2,380 |
* | Ashford Inc. | 45,407 | 2,357 |
* | International Money Express Inc. | 194,144 | 2,322 |
| First United Corp. | 145,173 | 2,311 |
* | Provident Bancorp Inc. | 106,602 | 2,311 |
| Hawthorn Bancshares Inc. | 109,873 | 2,311 |
| SB Financial Group Inc. | 137,713 | 2,265 |
* | MoneyGram International Inc. | 1,115,485 | 2,231 |
| Sotherly Hotels Inc. | 395,197 | 2,217 |
| Two River Bancorp | 140,881 | 2,150 |
| Associated Capital Group Inc. Class A | 60,841 | 2,143 |
* | Aspen Group Inc. | 380,422 | 2,085 |
| DNB Financial Corp. | 75,391 | 2,036 |
| Luther Burbank Corp. | 221,229 | 1,995 |
* | Rafael Holdings Inc. Class B | 251,529 | 1,995 |
* | PDL Community Bancorp | 156,180 | 1,990 |
| Old Point Financial Corp. | 91,136 | 1,990 |
| Plumas Bancorp | 85,785 | 1,948 |
* | Tejon Ranch Co. | 117,405 | 1,947 |
* | Maui Land & Pineapple Co. Inc. | 192,941 | 1,914 |
* | Randolph Bancorp Inc. | 134,594 | 1,905 |
| Level One Bancorp Inc. | 84,245 | 1,890 |
| Greenhill & Co. Inc. | 74,717 | 1,823 |
| American River Bankshares | 131,277 | 1,812 |
* | OP Bancorp | 198,037 | 1,757 |
| MSB Financial Corp. | 96,420 | 1,721 |
* | Coastal Financial Corp. | 111,724 | 1,702 |
| AmeriServ Financial Inc. | 417,649 | 1,683 |
* | Greenlight Capital Re Ltd. Class A | 193,563 | 1,669 |
| First Savings Financial Group Inc. | 29,281 | 1,521 |
* | Atlas Financial Holdings Inc. | 179,526 | 1,452 |
| PB Bancorp Inc. | 131,822 | 1,437 |
| Global Self Storage Inc. | 353,584 | 1,386 |
| Plymouth Industrial REIT Inc. | 107,097 | 1,351 |
* | Nicholas Financial Inc. | 124,786 | 1,298 |
| Pacific City Financial Corp. | 82,828 | 1,296 |
| Hunt Cos. Finance Trust Inc. | 444,984 | 1,273 |
* | Intersections Inc. | 341,144 | 1,259 |
| Severn Bancorp Inc. | 154,641 | 1,234 |
| IF Bancorp Inc. | 60,847 | 1,224 |
| Sterling Bancorp Inc. | 173,902 | 1,209 |
| Hennessy Advisors Inc. | 116,940 | 1,171 |
| Manhattan Bridge Capital Inc. | 203,559 | 1,146 |
* | Consumer Portfolio Services Inc. | 380,395 | 1,145 |
| County Bancorp Inc. | 64,508 | 1,121 |
*,^ | Siebert Financial Corp. | 74,860 | 1,082 |
| Sound Financial Bancorp Inc. | 32,075 | 1,044 |
| Condor Hospitality Trust Inc. | 142,071 | 979 |
25
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Urstadt Biddle Properties Inc. | 64,362 | 972 |
| Summit State Bank | 78,215 | 921 |
| Elmira Savings Bank | 51,975 | 907 |
* | Transcontinental Realty Investors Inc. | 30,783 | 872 |
^ | Manning & Napier Inc. | 483,786 | 851 |
* | Security National Financial Corp. Class A | 161,655 | 834 |
| Cedar Realty Trust Inc. | 255,503 | 802 |
| Bank of South Carolina Corp. | 42,728 | 778 |
| United Bancorp Inc. | 68,932 | 769 |
| Eagle Bancorp Montana Inc. | 47,123 | 762 |
* | Bank7 Corp. | 56,400 | 753 |
* | FVCBankcorp Inc. | 41,458 | 730 |
* | Limestone Bancorp Inc. | 52,082 | 717 |
*,^ | Tremont Mortgage Trust | 78,746 | 713 |
* | Meridian Corp. | 42,029 | 700 |
| Sachem Capital Corp. | 174,987 | 684 |
| Pathfinder Bancorp Inc. | 48,152 | 681 |
^ | Pennsylvania REIT | 112,447 | 668 |
| Bancorp 34 Inc. | 44,556 | 642 |
* | Jason Industries Inc. | 457,558 | 627 |
§ | Winthrop Realty Trust | 562,609 | 613 |
| Citizens Community Bancorp Inc. | 53,090 | 579 |
| Ames National Corp. | 22,078 | 561 |
* | FFBW Inc. | 55,772 | 559 |
| Bank of the James Financial Group Inc. | 39,730 | 516 |
| Citizens First Corp. | 23,929 | 513 |
| Central Federal Corp. | 39,191 | 458 |
* | Community First Bancshares Inc. | 38,486 | 448 |
^ | HV Bancorp Inc. | 25,024 | 375 |
| Ottawa Bancorp Inc. | 27,075 | 361 |
| Blue Capital Reinsurance Holdings Ltd. | 59,170 | 325 |
* | Altisource Asset Management Corp. | 10,419 | 309 |
* | Broadway Financial Corp. | 291,623 | 306 |
* | Eagle Financial Bancorp Inc. | 19,339 | 293 |
§ | New York REIT Liquidating LLC | 19,100 | 267 |
* | National Holdings Corp. | 94,636 | 256 |
* | Carolina Trust Bancshares Inc. | 33,555 | 254 |
* | First Western Financial Inc. | 20,324 | 238 |
| First US Bancshares Inc. | 28,987 | 230 |
* | Capital Bancorp Inc. | 16,948 | 193 |
| WVS Financial Corp. | 11,313 | 167 |
| HopFed Bancorp Inc. | 12,079 | 161 |
* | HMN Financial Inc. | 8,012 | 157 |
| Front Yard Residential Corp. | 16,487 | 144 |
* | JW Mays Inc. | 3,714 | 144 |
* | Income Opportunity Realty Investors Inc. | 12,550 | 134 |
* | InterGroup Corp. | 4,086 | 131 |
* | 1347 Property Insurance Holdings Inc. | 32,428 | 130 |
| Southwest Georgia Financial Corp. | 6,366 | 129 |
| HomeTown Bankshares Corp. | 10,388 | 123 |
* | ICC Holdings Inc. | 8,802 | 120 |
* | FSB Bancorp Inc. | 3,139 | 53 |
* | CBM Bancorp Inc. | 3,789 | 47 |
* | National Holdings Corp. Warrants Exp. 01/18/2022 | 92,151 | 46 |
| Asta Funding Inc. | 9,729 | 41 |
*,^ | CPI Card Group Inc. | 16,009 | 37 |
* | FlexShopper Inc. | 41,840 | 32 |
| Reven Housing REIT Inc. | 8,896 | 29 |
| Glen Burnie Bancorp | 857 | 9 |
* | Novume Solutions Inc. | 5,300 | 3 |
| GWG Holdings Inc. | 300 | 3 |
* | Unico American Corp. | 2 | — |
*,^ | Ditech Holding Corp. Warrants 01/31/2028 | 43,103 | — |
*,^,§ | Ditech Holding Corp. Series B Warrants 01/31/2028 | 34,201 | — |
| | | 129,920,412 |
26
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
Health Care (13.8%) | | |
| Johnson & Johnson | 71,605,522 | 9,240,693 |
| Pfizer Inc. | 154,420,822 | 6,740,469 |
| UnitedHealth Group Inc. | 25,701,378 | 6,402,727 |
| Merck & Co. Inc. | 69,465,748 | 5,307,878 |
| AbbVie Inc. | 40,166,516 | 3,702,951 |
| Abbott Laboratories | 46,919,307 | 3,393,673 |
| Amgen Inc. | 17,024,650 | 3,314,189 |
| Medtronic plc | 35,956,531 | 3,270,606 |
| Eli Lilly & Co. | 25,470,396 | 2,947,434 |
| Thermo Fisher Scientific Inc. | 10,751,926 | 2,406,174 |
| Bristol-Myers Squibb Co. | 43,606,623 | 2,266,672 |
| Gilead Sciences Inc. | 34,562,485 | 2,161,883 |
* | Cigna Corp. | 10,172,353 | 1,931,933 |
| Anthem Inc. | 6,908,853 | 1,814,472 |
* | Biogen Inc. | 5,383,717 | 1,620,068 |
| Becton Dickinson and Co. | 7,164,357 | 1,614,273 |
* | Intuitive Surgical Inc. | 3,051,625 | 1,461,484 |
* | Boston Scientific Corp. | 36,970,544 | 1,306,539 |
| Stryker Corp. | 7,997,316 | 1,253,579 |
| Allergan plc | 9,010,592 | 1,204,356 |
* | Celgene Corp. | 18,686,460 | 1,197,615 |
* | Illumina Inc. | 3,978,369 | 1,193,232 |
* | Vertex Pharmaceuticals Inc. | 6,830,221 | 1,131,836 |
| Zoetis Inc. | 12,837,361 | 1,098,108 |
| Humana Inc. | 3,664,849 | 1,049,906 |
| HCA Healthcare Inc. | 7,354,905 | 915,318 |
| Baxter International Inc. | 13,501,401 | 888,662 |
* | Edwards Lifesciences Corp. | 5,585,591 | 855,545 |
* | Regeneron Pharmaceuticals Inc. | 2,131,171 | 795,992 |
* | Centene Corp. | 5,212,611 | 601,014 |
| Zimmer Biomet Holdings Inc. | 5,447,613 | 565,026 |
* | Alexion Pharmaceuticals Inc. | 5,666,022 | 551,644 |
* | IQVIA Holdings Inc. | 4,546,838 | 528,206 |
| ResMed Inc. | 3,800,873 | 432,805 |
* | IDEXX Laboratories Inc. | 2,304,463 | 428,676 |
* | Align Technology Inc. | 2,028,317 | 424,790 |
* | BioMarin Pharmaceutical Inc. | 4,762,145 | 405,497 |
* | ABIOMED Inc. | 1,142,019 | 371,202 |
* | Mylan NV | 13,073,647 | 358,218 |
| Cardinal Health Inc. | 7,956,181 | 354,846 |
* | Laboratory Corp. of America Holdings | 2,696,555 | 340,737 |
| Cooper Cos. Inc. | 1,310,589 | 333,545 |
* | Henry Schein Inc. | 4,066,395 | 319,293 |
| Teleflex Inc. | 1,228,601 | 317,569 |
* | Hologic Inc. | 7,712,857 | 316,998 |
* | WellCare Health Plans Inc. | 1,333,573 | 314,843 |
* | Incyte Corp. | 4,831,281 | 307,221 |
| Quest Diagnostics Inc. | 3,636,150 | 302,782 |
* | DexCom Inc. | 2,370,916 | 284,036 |
* | Varian Medical Systems Inc. | 2,425,028 | 274,780 |
| Universal Health Services Inc. Class B | 2,268,892 | 264,462 |
| STERIS plc | 2,250,941 | 240,513 |
| Dentsply Sirona Inc. | 5,925,357 | 220,483 |
* | Exact Sciences Corp. | 3,280,796 | 207,018 |
* | Sarepta Therapeutics Inc. | 1,787,400 | 195,059 |
| West Pharmaceutical Services Inc. | 1,973,102 | 193,423 |
* | Jazz Pharmaceuticals plc | 1,525,406 | 189,089 |
* | Molina Healthcare Inc. | 1,582,038 | 183,864 |
* | Ionis Pharmaceuticals Inc. | 3,295,568 | 178,158 |
* | Alnylam Pharmaceuticals Inc. | 2,421,355 | 176,541 |
* | Neurocrine Biosciences Inc. | 2,417,791 | 172,654 |
27
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | DaVita Inc. | 3,316,773 | 170,681 |
| Hill-Rom Holdings Inc. | 1,790,045 | 158,508 |
* | Seattle Genetics Inc. | 2,774,935 | 157,228 |
* | Exelixis Inc. | 7,983,594 | 157,037 |
| Encompass Health Corp. | 2,500,834 | 154,301 |
* | Nektar Therapeutics Class A | 4,615,075 | 151,698 |
| Bio-Techne Corp. | 1,003,939 | 145,290 |
* | Charles River Laboratories International Inc. | 1,282,751 | 145,182 |
* | Bluebird Bio Inc. | 1,460,355 | 144,867 |
* | PRA Health Sciences Inc. | 1,558,010 | 143,275 |
* | Haemonetics Corp. | 1,376,653 | 137,734 |
* | Masimo Corp. | 1,269,076 | 136,261 |
* | Bio-Rad Laboratories Inc. Class A | 563,021 | 130,745 |
| Perrigo Co. plc | 3,261,057 | 126,366 |
* | Insulet Corp. | 1,577,098 | 125,095 |
* | Alkermes plc | 4,145,299 | 122,328 |
| Chemed Corp. | 426,039 | 120,688 |
* | United Therapeutics Corp. | 1,107,490 | 120,606 |
* | Catalent Inc. | 3,867,110 | 120,576 |
* | ICU Medical Inc. | 519,622 | 119,321 |
* | Sage Therapeutics Inc. | 1,187,102 | 113,712 |
* | Loxo Oncology Inc. | 733,031 | 102,676 |
* | Penumbra Inc. | 825,478 | 100,873 |
* | Amedisys Inc. | 852,491 | 99,835 |
* | FibroGen Inc. | 2,033,470 | 94,109 |
* | HealthEquity Inc. | 1,577,603 | 94,104 |
* | Wright Medical Group NV | 3,335,471 | 90,792 |
*,^ | Teladoc Health Inc. | 1,775,225 | 87,998 |
* | Globus Medical Inc. | 2,017,623 | 87,323 |
* | Horizon Pharma plc | 4,465,780 | 87,261 |
* | Syneos Health Inc. | 2,194,211 | 86,342 |
* | Integra LifeSciences Holdings Corp. | 1,813,280 | 81,779 |
* | Array BioPharma Inc. | 5,676,501 | 80,890 |
| Bruker Corp. | 2,713,121 | 80,770 |
^ | Healthcare Services Group Inc. | 1,965,716 | 78,982 |
* | Merit Medical Systems Inc. | 1,385,806 | 77,342 |
*,^ | TESARO Inc. | 1,023,522 | 75,997 |
* | MEDNAX Inc. | 2,274,266 | 75,051 |
* | LHC Group Inc. | 790,662 | 74,227 |
* | Neogen Corp. | 1,298,761 | 74,029 |
*,^ | Ligand Pharmaceuticals Inc. | 539,705 | 73,238 |
| Cantel Medical Corp. | 946,748 | 70,485 |
* | Emergent BioSolutions Inc. | 1,153,015 | 68,351 |
* | NuVasive Inc. | 1,363,090 | 67,555 |
* | Novocure Ltd. | 1,980,786 | 66,317 |
* | HMS Holdings Corp. | 2,229,576 | 62,718 |
* | Immunomedics Inc. | 4,300,482 | 61,368 |
* | Omnicell Inc. | 999,239 | 61,193 |
* | Agios Pharmaceuticals Inc. | 1,319,458 | 60,840 |
*,^ | Inogen Inc. | 484,765 | 60,193 |
* | Acadia Healthcare Co. Inc. | 2,337,952 | 60,109 |
* | Blueprint Medicines Corp. | 1,112,494 | 59,975 |
* | Intercept Pharmaceuticals Inc. | 590,185 | 59,485 |
* | Myriad Genetics Inc. | 1,993,178 | 57,942 |
* | Avanos Medical Inc. | 1,258,848 | 56,384 |
* | Repligen Corp. | 1,046,206 | 55,177 |
* | Global Blood Therapeutics Inc. | 1,335,655 | 54,829 |
* | Ultragenyx Pharmaceutical Inc. | 1,215,699 | 52,859 |
* | Tandem Diabetes Care Inc. | 1,376,852 | 52,279 |
* | Glaukos Corp. | 911,108 | 51,177 |
* | Arena Pharmaceuticals Inc. | 1,312,509 | 51,122 |
| Ensign Group Inc. | 1,312,664 | 50,918 |
* | Halozyme Therapeutics Inc. | 3,439,206 | 50,316 |
* | NxStage Medical Inc. | 1,752,275 | 50,150 |
28
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | BioTelemetry Inc. | 838,416 | 50,070 |
* | Heron Therapeutics Inc. | 1,877,691 | 48,707 |
* | ACADIA Pharmaceuticals Inc. | 3,006,124 | 48,609 |
* | Amicus Therapeutics Inc. | 5,054,788 | 48,425 |
* | Tenet Healthcare Corp. | 2,731,936 | 46,825 |
* | Acceleron Pharma Inc. | 1,045,281 | 45,522 |
* | Xencor Inc. | 1,253,822 | 45,338 |
* | Pacira Pharmaceuticals Inc. | 1,046,125 | 45,004 |
| CONMED Corp. | 699,434 | 44,904 |
* | Aerie Pharmaceuticals Inc. | 1,213,794 | 43,818 |
* | Supernus Pharmaceuticals Inc. | 1,314,378 | 43,664 |
* | MyoKardia Inc. | 892,480 | 43,607 |
* | PTC Therapeutics Inc. | 1,270,262 | 43,595 |
* | Quidel Corp. | 885,117 | 43,211 |
* | Select Medical Holdings Corp. | 2,799,775 | 42,977 |
| Patterson Cos. Inc. | 2,153,418 | 42,336 |
* | Prestige Consumer Healthcare Inc. | 1,365,134 | 42,155 |
* | iRhythm Technologies Inc. | 575,688 | 39,999 |
* | Endo International plc | 5,393,029 | 39,369 |
* | Ironwood Pharmaceuticals Inc. Class A | 3,755,123 | 38,903 |
*,^ | Zogenix Inc. | 1,064,486 | 38,811 |
* | Amneal Pharmaceuticals Inc. | 2,851,013 | 38,574 |
* | Medpace Holdings Inc. | 704,306 | 37,279 |
* | STAAR Surgical Co. | 1,161,134 | 37,052 |
* | Genomic Health Inc. | 574,945 | 37,032 |
*,^ | Corcept Therapeutics Inc. | 2,766,950 | 36,966 |
* | Magellan Health Inc. | 646,685 | 36,790 |
* | REGENXBIO Inc. | 863,173 | 36,210 |
* | Atara Biotherapeutics Inc. | 1,032,865 | 35,882 |
* | Mallinckrodt plc | 2,221,839 | 35,105 |
* | Vanda Pharmaceuticals Inc. | 1,319,418 | 34,476 |
* | Medicines Co. | 1,775,874 | 33,990 |
* | AnaptysBio Inc. | 532,673 | 33,979 |
| US Physical Therapy Inc. | 330,515 | 33,828 |
*,^ | Denali Therapeutics Inc. | 1,637,147 | 33,823 |
* | Cambrex Corp. | 892,400 | 33,697 |
* | Spark Therapeutics Inc. | 854,648 | 33,451 |
* | Brookdale Senior Living Inc. | 4,973,654 | 33,323 |
*,^ | Portola Pharmaceuticals Inc. | 1,695,900 | 33,104 |
* | Mirati Therapeutics Inc. | 775,681 | 32,904 |
* | Sangamo Therapeutics Inc. | 2,694,131 | 30,929 |
* | Innoviva Inc. | 1,771,272 | 30,909 |
*,^ | Theravance Biopharma Inc. | 1,172,832 | 30,013 |
* | NeoGenomics Inc. | 2,338,951 | 29,494 |
* | AtriCure Inc. | 963,248 | 29,475 |
* | Nevro Corp. | 757,908 | 29,475 |
*,^ | Esperion Therapeutics Inc. | 639,839 | 29,433 |
* | Natus Medical Inc. | 842,426 | 28,668 |
* | WageWorks Inc. | 1,044,706 | 28,374 |
* | Momenta Pharmaceuticals Inc. | 2,517,257 | 27,791 |
* | Pacific Biosciences of California Inc. | 3,723,343 | 27,553 |
* | Enanta Pharmaceuticals Inc. | 383,667 | 27,175 |
* | Iovance Biotherapeutics Inc. | 3,062,190 | 27,100 |
| Atrion Corp. | 36,501 | 27,050 |
* | Insmed Inc. | 2,016,978 | 26,463 |
* | Tivity Health Inc. | 1,063,706 | 26,391 |
* | Reata Pharmaceuticals Inc. Class A | 467,977 | 26,254 |
*,^ | Arrowhead Pharmaceuticals Inc. | 2,097,105 | 26,046 |
* | Aimmune Therapeutics Inc. | 1,087,990 | 26,025 |
* | Editas Medicine Inc. | 1,134,307 | 25,805 |
| Luminex Corp. | 1,115,973 | 25,790 |
* | Madrigal Pharmaceuticals Inc. | 226,838 | 25,569 |
* | Orthofix Medical Inc. | 474,284 | 24,895 |
* | Cardiovascular Systems Inc. | 868,081 | 24,732 |
29
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | OPKO Health Inc. | 8,166,325 | 24,581 |
* | Retrophin Inc. | 1,082,347 | 24,494 |
* | CryoLife Inc. | 861,936 | 24,462 |
*,^ | Clovis Oncology Inc. | 1,340,670 | 24,078 |
* | Varex Imaging Corp. | 994,260 | 23,544 |
* | BioCryst Pharmaceuticals Inc. | 2,865,749 | 23,127 |
* | Spectrum Pharmaceuticals Inc. | 2,508,536 | 21,950 |
* | CareDx Inc. | 868,091 | 21,824 |
* | Intersect ENT Inc. | 760,126 | 21,420 |
* | Invitae Corp. | 1,853,293 | 20,497 |
* | Vericel Corp. | 1,136,862 | 19,781 |
*,^ | Radius Health Inc. | 1,198,216 | 19,759 |
| National HealthCare Corp. | 249,103 | 19,542 |
* | AngioDynamics Inc. | 968,801 | 19,502 |
* | Revance Therapeutics Inc. | 966,975 | 19,465 |
* | Acorda Therapeutics Inc. | 1,247,713 | 19,439 |
* | Audentes Therapeutics Inc. | 907,372 | 19,345 |
* | OraSure Technologies Inc. | 1,605,501 | 18,752 |
* | ImmunoGen Inc. | 3,896,604 | 18,704 |
* | Tactile Systems Technology Inc. | 409,526 | 18,654 |
| Meridian Bioscience Inc. | 1,067,715 | 18,536 |
*,^ | TherapeuticsMD Inc. | 4,856,609 | 18,504 |
*,^ | Novavax Inc. | 10,014,525 | 18,427 |
* | R1 RCM Inc. | 2,307,869 | 18,348 |
* | Cerus Corp. | 3,567,573 | 18,088 |
* | Amphastar Pharmaceuticals Inc. | 905,151 | 18,013 |
* | Puma Biotechnology Inc. | 875,767 | 17,822 |
* | AxoGen Inc. | 861,207 | 17,594 |
* | Addus HomeCare Corp. | 258,595 | 17,553 |
*,^ | Allogene Therapeutics Inc. | 636,393 | 17,138 |
* | Hanger Inc. | 878,938 | 16,656 |
* | Rhythm Pharmaceuticals Inc. | 615,839 | 16,554 |
* | Inspire Medical Systems Inc. | 388,653 | 16,421 |
| HealthStream Inc. | 666,662 | 16,100 |
* | Natera Inc. | 1,145,560 | 15,992 |
* | Surmodics Inc. | 336,417 | 15,899 |
* | Heska Corp. | 180,506 | 15,542 |
* | Fate Therapeutics Inc. | 1,201,647 | 15,417 |
* | Alder Biopharmaceuticals Inc. | 1,501,172 | 15,387 |
*,^ | Dynavax Technologies Corp. | 1,659,735 | 15,187 |
* | Lantheus Holdings Inc. | 962,664 | 15,066 |
* | CorVel Corp. | 238,067 | 14,693 |
* | Dicerna Pharmaceuticals Inc. | 1,317,647 | 14,086 |
*,^ | Omeros Corp. | 1,251,908 | 13,946 |
* | MacroGenics Inc. | 1,072,034 | 13,615 |
*,^ | Athenex Inc. | 1,069,068 | 13,566 |
* | Coherus Biosciences Inc. | 1,486,189 | 13,450 |
* | Guardant Health Inc. | 354,325 | 13,319 |
* | Intra-Cellular Therapies Inc. | 1,152,383 | 13,126 |
* | AMAG Pharmaceuticals Inc. | 842,524 | 12,798 |
* | BioScrip Inc. | 3,537,123 | 12,628 |
* | Collegium Pharmaceutical Inc. | 728,760 | 12,513 |
* | Cymabay Therapeutics Inc. | 1,584,195 | 12,468 |
* | Eagle Pharmaceuticals Inc. | 308,516 | 12,430 |
*,^ | ViewRay Inc. | 2,008,559 | 12,192 |
*,^ | Akebia Therapeutics Inc. | 2,203,476 | 12,185 |
* | Anika Therapeutics Inc. | 361,395 | 12,146 |
* | Kura Oncology Inc. | 855,015 | 12,004 |
*,^ | Intrexon Corp. | 1,806,499 | 11,815 |
* | Ra Pharmaceuticals Inc. | 636,790 | 11,590 |
*,^ | Apollo Medical Holdings Inc. | 581,536 | 11,543 |
* | Veracyte Inc. | 913,280 | 11,489 |
*,^ | Allakos Inc. | 219,089 | 11,452 |
*,^ | Cara Therapeutics Inc. | 871,372 | 11,328 |
30
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | PDL BioPharma Inc. | 3,859,491 | 11,193 |
* | Intellia Therapeutics Inc. | 802,918 | 10,960 |
*,^ | SIGA Technologies Inc. | 1,381,634 | 10,915 |
*,^ | Akcea Therapeutics Inc. | 350,053 | 10,551 |
* | G1 Therapeutics Inc. | 542,256 | 10,384 |
* | PetIQ Inc. Class A | 442,206 | 10,379 |
* | RadNet Inc. | 1,008,011 | 10,251 |
* | NanoString Technologies Inc. | 688,635 | 10,212 |
| Owens & Minor Inc. | 1,592,040 | 10,078 |
* | Triple-S Management Corp. Class B | 573,946 | 9,981 |
* | Antares Pharma Inc. | 3,624,936 | 9,860 |
| LeMaitre Vascular Inc. | 412,954 | 9,762 |
* | BioSpecifics Technologies Corp. | 160,625 | 9,734 |
| Utah Medical Products Inc. | 116,705 | 9,696 |
* | ANI Pharmaceuticals Inc. | 211,204 | 9,508 |
*,^ | Flexion Therapeutics Inc. | 837,678 | 9,483 |
* | ChemoCentryx Inc. | 859,605 | 9,378 |
*,^ | Rocket Pharmaceuticals Inc. | 631,991 | 9,366 |
* | Inovio Pharmaceuticals Inc. | 2,333,947 | 9,336 |
* | OrthoPediatrics Corp. | 259,351 | 9,046 |
* | Kindred Biosciences Inc. | 815,382 | 8,928 |
*,^ | Viking Therapeutics Inc. | 1,157,904 | 8,858 |
* | GlycoMimetics Inc. | 921,551 | 8,727 |
* | Apellis Pharmaceuticals Inc. | 648,906 | 8,559 |
* | Fluidigm Corp. | 991,696 | 8,548 |
*,^ | Accelerate Diagnostics Inc. | 729,004 | 8,384 |
* | Akorn Inc. | 2,447,255 | 8,296 |
* | Cytokinetics Inc. | 1,295,539 | 8,188 |
* | Aratana Therapeutics Inc. | 1,335,173 | 8,185 |
* | Deciphera Pharmaceuticals Inc. | 389,636 | 8,178 |
* | Kiniksa Pharmaceuticals Ltd. Class A | 289,216 | 8,124 |
*,^ | UNITY Biotechnology Inc. | 499,394 | 8,120 |
* | Tricida Inc. | 339,342 | 8,002 |
*,^ | Corbus Pharmaceuticals Holdings Inc. | 1,326,754 | 7,748 |
*,^ | Senseonics Holdings Inc. | 2,979,621 | 7,717 |
* | Assembly Biosciences Inc. | 338,933 | 7,667 |
* | GenMark Diagnostics Inc. | 1,562,781 | 7,595 |
*,^ | Arcus Biosciences Inc. | 704,031 | 7,582 |
* | Sientra Inc. | 586,573 | 7,455 |
* | Civitas Solutions Inc. | 418,033 | 7,320 |
* | SeaSpine Holdings Corp. | 398,127 | 7,262 |
* | Concert Pharmaceuticals Inc. | 575,573 | 7,223 |
*,^ | Osiris Therapeutics Inc. | 528,043 | 7,129 |
* | Stemline Therapeutics Inc. | 739,542 | 7,026 |
* | Cutera Inc. | 408,450 | 6,952 |
* | RTI Surgical Inc. | 1,867,810 | 6,911 |
*,^ | MediciNova Inc. | 831,085 | 6,790 |
*,^ | Homology Medicines Inc. | 296,849 | 6,638 |
* | Assertio Therapeutics Inc. | 1,762,414 | 6,362 |
*,^ | CytoSorbents Corp. | 763,056 | 6,165 |
* | Kadmon Holdings Inc. | 2,916,260 | 6,066 |
* | Voyager Therapeutics Inc. | 643,742 | 6,051 |
*,^ | Verastem Inc. | 1,768,068 | 5,941 |
* | BioDelivery Sciences International Inc. | 1,599,854 | 5,919 |
* | Minerva Neurosciences Inc. | 877,166 | 5,912 |
*,^ | Eloxx Pharmaceuticals Inc. | 483,525 | 5,807 |
* | ArQule Inc. | 2,091,210 | 5,793 |
* | Avid Bioservices Inc. | 1,407,602 | 5,771 |
*,^ | Scholar Rock Holding Corp. | 245,953 | 5,650 |
* | Bovie Medical Corp. | 847,416 | 5,491 |
* | Aldeyra Therapeutics Inc. | 659,883 | 5,477 |
*,^ | Adamas Pharmaceuticals Inc. | 630,847 | 5,387 |
* | Catalyst Pharmaceuticals Inc. | 2,759,205 | 5,298 |
* | Capital Senior Living Corp. | 778,459 | 5,294 |
31
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Savara Inc. | 699,205 | 5,293 |
*,^ | Surgery Partners Inc. | 527,837 | 5,168 |
*,^ | AVEO Pharmaceuticals Inc. | 3,173,033 | 5,077 |
* | MEI Pharma Inc. | 1,882,379 | 4,969 |
* | Eiger BioPharmaceuticals Inc. | 479,978 | 4,877 |
*,^ | Rubius Therapeutics Inc. | 302,654 | 4,867 |
*,^ | MannKind Corp. | 4,576,191 | 4,851 |
*,^ | CASI Pharmaceuticals Inc. | 1,169,325 | 4,701 |
*,^ | Athersys Inc. | 3,197,519 | 4,604 |
* | Karyopharm Therapeutics Inc. | 490,070 | 4,592 |
*,^ | Quanterix Corp. | 247,992 | 4,541 |
*,^ | Solid Biosciences Inc. | 167,543 | 4,490 |
*,^ | Crinetics Pharmaceuticals Inc. | 146,505 | 4,394 |
* | Zafgen Inc. | 870,696 | 4,310 |
* | Tocagen Inc. | 522,588 | 4,290 |
| Invacare Corp. | 997,707 | 4,290 |
* | BioLife Solutions Inc. | 355,892 | 4,281 |
*,^ | iRadimed Corp. | 172,166 | 4,211 |
* | Krystal Biotech Inc. | 201,532 | 4,188 |
*,^ | AcelRx Pharmaceuticals Inc. | 1,810,242 | 4,182 |
*,^ | Tyme Technologies Inc. | 1,132,311 | 4,178 |
*,^ | Abeona Therapeutics Inc. | 578,165 | 4,128 |
* | American Renal Associates Holdings Inc. | 352,593 | 4,062 |
*,^ | Helius Medical Technologies Inc. Class A | 424,314 | 3,887 |
*,^ | Palatin Technologies Inc. | 5,467,412 | 3,873 |
*,^ | Marinus Pharmaceuticals Inc. | 1,298,222 | 3,726 |
* | KalVista Pharmaceuticals Inc. | 186,785 | 3,689 |
* | FONAR Corp. | 175,855 | 3,559 |
* | Harvard Bioscience Inc. | 1,111,685 | 3,535 |
* | Ocular Therapeutix Inc. | 885,023 | 3,522 |
* | Celcuity Inc. | 145,249 | 3,485 |
* | Aeglea BioTherapeutics Inc. | 462,631 | 3,465 |
* | Acer Therapeutics Inc. | 171,875 | 3,458 |
* | Principia Biopharma Inc. | 123,505 | 3,383 |
* | Imprimis Pharmaceuticals Inc. | 588,605 | 3,349 |
* | Neuronetics Inc. | 172,213 | 3,332 |
*,^ | Xeris Pharmaceuticals Inc. | 194,322 | 3,303 |
* | SI-BONE Inc. | 157,259 | 3,285 |
* | Aduro Biotech Inc. | 1,241,088 | 3,276 |
* | Synlogic Inc. | 465,764 | 3,265 |
* | Proteostasis Therapeutics Inc. | 994,884 | 3,223 |
* | Recro Pharma Inc. | 452,913 | 3,216 |
*,^ | PolarityTE Inc. | 238,053 | 3,211 |
*,^ | EyePoint Pharmaceuticals Inc. | 1,692,820 | 3,199 |
* | Spring Bank Pharmaceuticals Inc. | 307,487 | 3,195 |
*,^ | CorMedix Inc. | 2,470,211 | 3,187 |
* | Bellicum Pharmaceuticals Inc. | 1,088,148 | 3,177 |
*,^ | Galectin Therapeutics Inc. | 915,093 | 3,139 |
*,^ | Optinose Inc. | 492,665 | 3,055 |
*,^ | Marker Therapeutics Inc. | 549,528 | 3,050 |
* | Calithera Biosciences Inc. | 749,087 | 3,004 |
*,^ | Amyris Inc. | 894,783 | 2,989 |
*,^ | Gritstone Oncology Inc. | 192,414 | 2,973 |
* | Kala Pharmaceuticals Inc. | 605,169 | 2,959 |
* | Protagonist Therapeutics Inc. | 434,340 | 2,923 |
*,^ | Aptinyx Inc. | 172,817 | 2,858 |
* | Misonix Inc. | 173,618 | 2,780 |
* | Y-mAbs Therapeutics Inc. | 135,814 | 2,762 |
*,^ | Evelo Biosciences Inc. | 211,239 | 2,748 |
*,^ | XOMA Corp. | 216,177 | 2,735 |
* | Arvinas Inc. | 209,205 | 2,688 |
* | Liquidia Technologies Inc. | 123,671 | 2,679 |
* | ContraFect Corp. | 1,678,529 | 2,568 |
*,^ | Organovo Holdings Inc. | 2,645,999 | 2,532 |
32
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Twist Bioscience Corp. | 108,304 | 2,501 |
*,^ | Sesen Bio Inc. | 1,729,774 | 2,456 |
* | Chembio Diagnostics Inc. | 429,204 | 2,429 |
* | Verrica Pharmaceuticals Inc. | 289,364 | 2,358 |
* | Axonics Modulation Technologies Inc. | 152,300 | 2,301 |
*,^ | Pulse Biosciences Inc. | 195,729 | 2,243 |
* | Syndax Pharmaceuticals Inc. | 496,673 | 2,210 |
* | Sensus Healthcare Inc. | 291,443 | 2,160 |
*,^ | Eidos Therapeutics Inc. | 154,566 | 2,127 |
| Psychemedics Corp. | 133,274 | 2,115 |
* | Ardelyx Inc. | 1,166,408 | 2,088 |
* | Translate Bio Inc. | 272,842 | 2,046 |
* | Joint Corp. | 245,068 | 2,039 |
*,^ | ADMA Biologics Inc. | 841,538 | 2,011 |
*,^ | Replimune Group Inc. | 195,662 | 1,957 |
* | Forty Seven Inc. | 122,975 | 1,933 |
* | Adverum Biotechnologies Inc. | 613,546 | 1,933 |
* | Endologix Inc. | 2,671,901 | 1,913 |
* | Rigel Pharmaceuticals Inc. | 808,634 | 1,860 |
* | CytomX Therapeutics Inc. | 120,727 | 1,823 |
* | Progenics Pharmaceuticals Inc. | 427,645 | 1,796 |
*,^ | Kezar Life Sciences Inc. | 76,019 | 1,794 |
*,^ | Sorrento Therapeutics Inc. | 743,332 | 1,784 |
*,^ | Community Health Systems Inc. | 630,643 | 1,778 |
*,^ | Seres Therapeutics Inc. | 386,810 | 1,748 |
*,^ | HTG Molecular Diagnostics Inc. | 684,696 | 1,739 |
*,^ | La Jolla Pharmaceutical Co. | 183,499 | 1,730 |
*,^ | Moderna Inc. | 112,563 | 1,719 |
*,^ | Cohbar Inc. | 528,170 | 1,643 |
*,^ | CEL-SCI Corp. | 571,200 | 1,639 |
* | Molecular Templates Inc. | 396,021 | 1,600 |
* | Aquestive Therapeutics Inc. | 253,890 | 1,600 |
*,^ | Anixa Biosciences Inc. | 395,301 | 1,557 |
*,^ | Infinity Pharmaceuticals Inc. | 1,310,605 | 1,547 |
*,^ | resTORbio Inc. | 178,693 | 1,540 |
* | Pfenex Inc. | 481,944 | 1,537 |
* | Cidara Therapeutics Inc. | 638,301 | 1,500 |
* | Durect Corp. | 3,064,822 | 1,481 |
*,^ | BrainStorm Cell Therapeutics Inc. | 415,593 | 1,475 |
*,^ | TG Therapeutics Inc. | 351,572 | 1,441 |
* | Allena Pharmaceuticals Inc. | 261,352 | 1,424 |
* | Champions Oncology Inc. | 175,385 | 1,370 |
*,^ | Genesis Healthcare Inc. | 1,133,847 | 1,338 |
*,^ | Rockwell Medical Inc. | 587,579 | 1,328 |
* | Alphatec Holdings Inc. | 578,466 | 1,325 |
* | InfuSystem Holdings Inc. | 378,907 | 1,303 |
* | Strata Skin Sciences Inc. | 484,735 | 1,260 |
* | Cumberland Pharmaceuticals Inc. | 198,124 | 1,248 |
*,^ | Catasys Inc. | 132,873 | 1,245 |
*,^ | RA Medical Systems Inc. | 141,588 | 1,126 |
*,^ | Lexicon Pharmaceuticals Inc. | 166,208 | 1,104 |
*,^ | Opiant Pharmaceuticals Inc. | 76,262 | 1,102 |
*,^ | Viveve Medical Inc. | 1,048,461 | 1,101 |
* | Achillion Pharmaceuticals Inc. | 685,471 | 1,090 |
* | Dermira Inc. | 145,810 | 1,048 |
* | Chiasma Inc. | 327,524 | 1,019 |
* | Kodiak Sciences Inc. | 142,615 | 1,013 |
* | Electromed Inc. | 191,336 | 974 |
*,^ | Ampio Pharmaceuticals Inc. | 2,382,232 | 941 |
*,^ | Adamis Pharmaceuticals Corp. | 410,505 | 924 |
*,^ | Actinium Pharmaceuticals Inc. | 2,318,153 | 897 |
*,^ | Rexahn Pharmaceuticals Inc. | 954,334 | 888 |
* | Cocrystal Pharma Inc. | 246,168 | 886 |
* | NantKwest Inc. | 745,549 | 865 |
33
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Equillium Inc. | 104,447 | 852 |
*,^ | Matinas BioPharma Holdings Inc. | 1,428,048 | 850 |
* | Syros Pharmaceuticals Inc. | 150,406 | 838 |
* | LogicBio Therapeutics Inc. | 78,230 | 814 |
* | AgeX Therapeutics Inc. | 271,093 | 811 |
*,^ | Evoke Pharma Inc. | 324,399 | 805 |
*,^ | Insys Therapeutics Inc. | 227,514 | 796 |
* | Applied Genetic Technologies Corp. | 310,344 | 773 |
* | Celldex Therapeutics Inc. | 3,866,873 | 765 |
*,^ | Evofem Biosciences Inc. | 181,644 | 761 |
*,^ | Ekso Bionics Holdings Inc. | 574,330 | 712 |
*,^ | Alimera Sciences Inc. | 984,969 | 707 |
*,^ | Second Sight Medical Products Inc. | 796,734 | 706 |
* | Catabasis Pharmaceuticals Inc. | 157,546 | 688 |
* | Enzo Biochem Inc. | 246,742 | 686 |
* | Sutro Biopharma Inc. | 75,677 | 683 |
* | CAS Medical Systems Inc. | 424,399 | 679 |
* | Orgenesis Inc. | 143,507 | 672 |
* | Pro-Dex Inc. | 53,314 | 644 |
* | Evolus Inc. | 52,845 | 629 |
*,^ | VIVUS Inc. | 281,422 | 628 |
*,^ | Heat Biologics Inc. | 628,229 | 616 |
*,^ | Sophiris Bio Inc. | 725,699 | 602 |
* | BioSig Technologies Inc. | 140,393 | 599 |
* | Aptevo Therapeutics Inc. | 451,771 | 574 |
*,^ | Corindus Vascular Robotics Inc. | 604,138 | 507 |
* | Vapotherm Inc. | 25,409 | 507 |
* | Aerpio Pharmaceuticals Inc. | 296,248 | 504 |
* | Tracon Pharmaceuticals Inc. | 779,786 | 491 |
* | Avrobio Inc. | 29,363 | 489 |
*,^ | Arsanis Inc. | 204,842 | 475 |
*,^ | SELLAS Life Sciences Group Inc. | 376,042 | 463 |
* | Cerecor Inc. | 140,306 | 453 |
*,^ | Moleculin Biotech Inc. | 431,314 | 449 |
* | ImmuCell Corp. | 65,054 | 444 |
*,^ | BioPharmX Corp. | 4,086,853 | 441 |
*,^ | Xtant Medical Holdings Inc. | 271,844 | 438 |
* | Fortress Biotech Inc. | 496,613 | 427 |
*,^ | ZIOPHARM Oncology Inc. | 223,238 | 417 |
*,^ | Curis Inc. | 576,377 | 398 |
*,^ | Celsion Corp. | 274,103 | 386 |
* | CTI BioPharma Corp. | 512,182 | 376 |
*,^ | KemPharm Inc. | 207,600 | 370 |
*,^ | Titan Pharmaceuticals Inc. | 1,614,133 | 360 |
* | PhaseBio Pharmaceuticals Inc. | 114,517 | 354 |
* | Caladrius Biosciences Inc. | 97,507 | 347 |
* | Vical Inc. | 292,178 | 345 |
*,^ | Oncocyte Corp. | 247,018 | 341 |
*,^ | Fulgent Genetics Inc. | 107,237 | 340 |
*,^ | SCYNEXIS Inc. | 705,187 | 340 |
* | Provention Bio Inc. | 189,923 | 336 |
*,^ | Lannett Co. Inc. | 65,361 | 324 |
* | Quorum Health Corp. | 108,392 | 313 |
* | Bellerophon Therapeutics Inc. | 387,969 | 311 |
* | Accuray Inc. | 90,051 | 307 |
* | Mustang Bio Inc. | 104,424 | 307 |
*,^ | Aethlon Medical Inc. | 184,467 | 306 |
*,^ | T2 Biosystems Inc. | 99,177 | 299 |
* | Proteon Therapeutics Inc. | 127,689 | 290 |
* | Alpine Immune Sciences Inc. | 72,695 | 268 |
* | Agile Therapeutics Inc. | 362,750 | 209 |
*,^ | scPharmaceuticals Inc. | 55,200 | 208 |
*,^ | Hancock Jaffe Laboratories Inc. | 143,398 | 202 |
* | Avenue Therapeutics Inc. | 36,127 | 195 |
34
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Vaccinex Inc. | 51,814 | 195 |
* | IsoRay Inc. | 597,951 | 179 |
*,^ | Navidea Biopharmaceuticals Inc. | 1,699,516 | 174 |
* | ENDRA Life Sciences Inc. | 114,676 | 172 |
*,^ | Checkpoint Therapeutics Inc. | 94,345 | 172 |
* | Advaxis Inc. | 887,326 | 169 |
* | Soleno Therapeutics Inc. | 94,777 | 162 |
*,^ | Regulus Therapeutics Inc. | 173,709 | 162 |
* | Standard Diversified Inc. | 10,576 | 157 |
^ | Altimmune Inc. | 73,246 | 151 |
*,^ | PAVmed Inc. | 151,390 | 146 |
* | Catalyst Biosciences Inc. | 18,087 | 143 |
* | Ovid therapeutics Inc. | 53,281 | 129 |
* | Constellation Pharmaceuticals Inc. | 31,790 | 127 |
* | PLx Pharma Inc. | 80,502 | 123 |
* | Soligenix Inc. | 140,021 | 120 |
*,^ | Genocea Biosciences Inc. | 412,724 | 118 |
* | Eyenovia Inc. | 38,852 | 111 |
*,^ | Myomo Inc. | 76,279 | 110 |
* | Synthorx Inc. | 5,764 | 100 |
*,^ | Histogenics Corp. | 1,113,347 | 98 |
* | Aravive Inc. | 26,500 | 93 |
*,^ | Cleveland BioLabs Inc. | 91,596 | 93 |
* | Axsome Therapeutics Inc. | 30,500 | 86 |
| ProPhase Labs Inc. | 25,381 | 80 |
* | Dynatronics Corp. | 27,747 | 76 |
* | Fibrocell Science Inc. | 47,901 | 72 |
*,^ | Akers Biosciences Inc. | 59,629 | 67 |
* | aTyr Pharma Inc. | 119,600 | 59 |
*,^ | Trovagene Inc. | 112,756 | 59 |
* | Outlook Therapeutics Inc. | 117,453 | 59 |
* | Retractable Technologies Inc. | 98,504 | 59 |
* | Idera Pharmaceuticals Inc. | 19,628 | 54 |
* | Agenus Inc. | 22,449 | 53 |
*,^ | Vermillion Inc. | 177,741 | 53 |
* | NanoViricides Inc. | 254,789 | 51 |
* | Bioanalytical Systems Inc. | 36,675 | 47 |
* | Aridis Pharmaceuticals Inc. | 4,070 | 45 |
* | Millendo Therapeutics Inc. | 5,676 | 45 |
* | Aileron Therapeutics Inc. | 53,500 | 45 |
* | Diffusion Pharmaceuticals Inc. | 21,707 | 43 |
*,^ | Pulmatrix Inc. | 178,611 | 43 |
* | Adial Pharmaceuticals Inc. | 8,150 | 42 |
* | Leap Therapeutics Inc. | 15,286 | 31 |
*,^ | Cue Biopharma Inc. | 6,352 | 30 |
* | NanoVibronix Inc. | 7,510 | 26 |
*,^ | XBiotech Inc. | 4,768 | 24 |
*,^ | Selecta Biosciences Inc. | 8,686 | 23 |
* | Citius Pharmaceuticals Inc. | 22,052 | 23 |
* | Precision Therapeutics Inc. | 37,306 | 23 |
* | Milestone Scientific Inc. | 69,031 | 23 |
* | AquaBounty Technologies Inc. | 8,850 | 18 |
* | Biomerica Inc. | 10,523 | 18 |
* | Pain Therapeutics Inc. | 20,219 | 17 |
* | Xenetic Biosciences Inc. | 10,312 | 17 |
*,^ | Teligent Inc. | 11,824 | 16 |
* | Genprex Inc. | 14,698 | 16 |
* | Gemphire Therapeutics Inc. | 18,400 | 14 |
*,^ | Achieve Life Sciences Inc. | 11,135 | 13 |
* | Hemispherx Biopharma Inc. | 68,925 | 12 |
* | American Shared Hospital Services | 4,591 | 11 |
* | Synergy Pharmaceuticals Inc. | 86,515 | 10 |
* | NovaBay Pharmaceuticals Inc. | 11,471 | 9 |
* | Synthetic Biologics Inc. | 13,386 | 7 |
35
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Novan Inc. | 8,672 | 7 |
*,^ | Neuralstem Inc. | 18,234 | 6 |
* | Geron Corp. | 5,685 | 6 |
| Vaxart Inc. | 2,300 | 4 |
| Diversicare Healthcare Services Inc. | 1,605 | 4 |
^ | Wright Medical Group Inc. CVR | 288,011 | 4 |
* | Bio-Path Holdings Inc. | 19,033 | 3 |
| Biolase Inc. | 45 | — |
* | Onconova Therapeutics Inc. | 14 | — |
*,^ | Microbot Medical Inc. | 2 | — |
* | Galena Biopharma Inc Warrants Exp. 03/18/2020 | 157,500 | — |
* | Sunesis Pharmaceuticals Inc. | 2 | — |
* | CytRx Corp. | 1 | — |
| | | 92,996,696 |
Industrials (12.9%) | | |
| Boeing Co. | 14,412,662 | 4,648,083 |
| 3M Co. | 15,557,202 | 2,964,269 |
| Union Pacific Corp. | 19,683,934 | 2,720,910 |
| Honeywell International Inc. | 19,774,557 | 2,612,614 |
* | PayPal Holdings Inc. | 29,900,604 | 2,514,342 |
| Accenture plc Class A | 17,053,344 | 2,404,692 |
| United Technologies Corp. | 21,889,917 | 2,330,838 |
| Caterpillar Inc. | 15,767,358 | 2,003,558 |
| United Parcel Service Inc. Class B | 18,574,212 | 1,811,543 |
| General Electric Co. | 232,375,831 | 1,759,085 |
| Danaher Corp. | 16,847,463 | 1,737,310 |
| Lockheed Martin Corp. | 6,458,184 | 1,691,011 |
| Automatic Data Processing Inc. | 11,109,023 | 1,456,615 |
| CSX Corp. | 21,430,832 | 1,331,498 |
| Deere & Co. | 8,594,443 | 1,282,033 |
| Raytheon Co. | 7,600,390 | 1,165,520 |
| Northrop Grumman Corp. | 4,637,571 | 1,135,741 |
* | Norfolk Southern Corp. | 7,275,842 | 1,088,029 |
| General Dynamics Corp. | 6,723,468 | 1,056,996 |
| FedEx Corp. | 6,336,498 | 1,022,267 |
| Waste Management Inc. | 11,388,584 | 1,013,470 |
| Illinois Tool Works Inc. | 7,979,144 | 1,010,878 |
| Emerson Electric Co. | 16,724,825 | 999,308 |
| Fidelity National Information Services Inc. | 8,744,822 | 896,781 |
| Sherwin-Williams Co. | 2,250,887 | 885,634 |
| Eaton Corp. plc | 11,570,475 | 794,429 |
* | Fiserv Inc. | 10,641,615 | 782,052 |
| Roper Technologies Inc. | 2,763,673 | 736,574 |
| Johnson Controls International plc | 24,709,735 | 732,644 |
| TE Connectivity Ltd. | 9,161,876 | 692,913 |
| Amphenol Corp. Class A | 8,048,560 | 652,094 |
* | Worldpay Inc. Class A | 8,064,710 | 616,386 |
| Ingersoll-Rand plc | 6,562,921 | 598,735 |
| Agilent Technologies Inc. | 8,490,865 | 572,794 |
| Paychex Inc. | 8,634,549 | 562,541 |
| Cummins Inc. | 4,075,989 | 544,715 |
| Fortive Corp. | 8,028,485 | 543,207 |
| PACCAR Inc. | 9,338,173 | 533,583 |
| Parker-Hannifin Corp. | 3,537,283 | 527,550 |
| Willis Towers Watson plc | 3,473,568 | 527,496 |
| Waste Connections Inc. | 7,044,101 | 523,024 |
| Rockwell Automation Inc. | 3,226,016 | 485,451 |
| Stanley Black & Decker Inc. | 4,038,439 | 483,563 |
* | Verisk Analytics Inc. Class A | 4,174,899 | 455,231 |
* | FleetCor Technologies Inc. | 2,370,245 | 440,202 |
* | Square Inc. | 7,818,971 | 438,566 |
| Global Payments Inc. | 4,228,031 | 436,037 |
* | TransDigm Group Inc. | 1,265,716 | 430,419 |
| AMETEK Inc. | 6,203,481 | 419,976 |
36
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Ball Corp. | 9,057,387 | 416,459 |
| Republic Services Inc. Class A | 5,638,801 | 406,501 |
| Fastenal Co. | 7,663,568 | 400,728 |
| Cintas Corp. | 2,284,107 | 383,707 |
* | Mettler-Toledo International Inc. | 669,357 | 378,575 |
| L3 Technologies Inc. | 2,098,968 | 364,507 |
* | Waters Corp. | 1,921,642 | 362,518 |
| WW Grainger Inc. | 1,277,442 | 360,699 |
| Total System Services Inc. | 4,387,381 | 356,650 |
| Vulcan Materials Co. | 3,524,950 | 348,265 |
* | CoStar Group Inc. | 972,140 | 327,942 |
| Xylem Inc. | 4,797,042 | 320,059 |
| Expeditors International of Washington Inc. | 4,616,823 | 314,359 |
| CH Robinson Worldwide Inc. | 3,675,570 | 309,079 |
* | Keysight Technologies Inc. | 4,974,712 | 308,830 |
| Broadridge Financial Solutions Inc. | 3,114,266 | 299,748 |
| Martin Marietta Materials Inc. | 1,672,959 | 287,531 |
| TransUnion | 4,933,847 | 280,243 |
| Dover Corp. | 3,891,920 | 276,132 |
| Textron Inc. | 5,829,068 | 268,079 |
| Jack Henry & Associates Inc. | 2,059,746 | 260,599 |
| IDEX Corp. | 2,045,942 | 258,321 |
| Kansas City Southern | 2,706,019 | 258,290 |
| Westrock Co. | 6,828,915 | 257,860 |
| Old Dominion Freight Line Inc. | 1,965,687 | 242,743 |
* | First Data Corp. Class A | 14,280,131 | 241,477 |
| Masco Corp. | 8,141,551 | 238,059 |
| PerkinElmer Inc. | 2,966,960 | 233,055 |
* | Zebra Technologies Corp. | 1,432,521 | 228,100 |
| Lennox International Inc. | 1,021,975 | 223,669 |
* | United Rentals Inc. | 2,164,074 | 221,882 |
| Jacobs Engineering Group Inc. | 3,787,769 | 221,433 |
* | Trimble Inc. | 6,696,129 | 220,370 |
| Huntington Ingalls Industries Inc. | 1,144,117 | 217,737 |
| Snap-on Inc. | 1,496,539 | 217,432 |
| JB Hunt Transport Services Inc. | 2,325,677 | 216,381 |
| Packaging Corp. of America | 2,515,838 | 209,972 |
| Spirit AeroSystems Holdings Inc. Class A | 2,836,259 | 204,466 |
| Allegion plc | 2,539,492 | 202,423 |
* | Sensata Technologies Holding plc | 4,376,624 | 196,248 |
| Arconic Inc. | 11,599,507 | 195,568 |
* | XPO Logistics Inc. | 3,383,451 | 192,992 |
* | Teledyne Technologies Inc. | 912,887 | 189,032 |
| Graco Inc. | 4,445,938 | 186,062 |
| Alliance Data Systems Corp. | 1,232,840 | 185,025 |
| Robert Half International Inc. | 3,071,672 | 175,700 |
| Pentair plc | 4,623,753 | 174,685 |
* | HD Supply Holdings Inc. | 4,654,585 | 174,640 |
| Cognex Corp. | 4,363,178 | 168,724 |
* | Berry Global Group Inc. | 3,486,272 | 165,702 |
| AO Smith Corp. | 3,846,557 | 164,248 |
| Wabtec Corp. | 2,319,434 | 162,940 |
| Booz Allen Hamilton Holding Corp. Class A | 3,599,810 | 162,243 |
* | WEX Inc. | 1,147,751 | 160,754 |
| HEICO Corp. Class A | 2,548,378 | 160,548 |
| FLIR Systems Inc. | 3,683,637 | 160,386 |
* | Arrow Electronics Inc. | 2,320,385 | 159,991 |
| Carlisle Cos. Inc. | 1,588,465 | 159,672 |
| Nordson Corp. | 1,325,418 | 158,189 |
| AptarGroup Inc. | 1,673,612 | 157,437 |
| National Instruments Corp. | 3,352,887 | 152,154 |
| Allison Transmission Holdings Inc. | 3,458,355 | 151,856 |
* | Crown Holdings Inc. | 3,604,595 | 149,843 |
| Toro Co. | 2,674,007 | 149,424 |
37
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Donaldson Co. Inc. | 3,414,666 | 148,162 |
| Sealed Air Corp. | 4,175,857 | 145,487 |
| Hubbell Inc. Class B | 1,456,543 | 144,693 |
| Sonoco Products Co. | 2,659,002 | 141,273 |
* | Fair Isaac Corp. | 732,930 | 137,058 |
* | Euronet Worldwide Inc. | 1,305,639 | 133,671 |
| Flowserve Corp. | 3,498,466 | 133,012 |
| Hexcel Corp. | 2,293,822 | 131,528 |
| Lincoln Electric Holdings Inc. | 1,632,586 | 128,729 |
| Owens Corning | 2,925,079 | 128,645 |
| MDU Resources Group Inc. | 5,227,316 | 124,619 |
| Acuity Brands Inc. | 1,069,518 | 122,941 |
| Fluor Corp. | 3,755,152 | 120,916 |
| Watsco Inc. | 854,894 | 118,950 |
| Oshkosh Corp. | 1,914,228 | 117,361 |
| Quanta Services Inc. | 3,894,232 | 117,216 |
* | Genesee & Wyoming Inc. Class A | 1,552,846 | 114,942 |
| ITT Inc. | 2,334,894 | 112,705 |
* | AECOM | 4,207,608 | 111,502 |
| MAXIMUS Inc. | 1,708,524 | 111,208 |
| Bemis Co. Inc. | 2,417,588 | 110,967 |
| Woodward Inc. | 1,484,055 | 110,250 |
| Littelfuse Inc. | 636,508 | 109,148 |
| Avnet Inc. | 2,988,487 | 107,884 |
| ManpowerGroup Inc. | 1,661,308 | 107,653 |
| Curtiss-Wright Corp. | 1,050,381 | 107,265 |
| Xerox Corp. | 5,394,124 | 106,588 |
^ | Universal Display Corp. | 1,131,465 | 105,871 |
* | IPG Photonics Corp. | 926,630 | 104,978 |
| Landstar System Inc. | 1,095,122 | 104,770 |
| Genpact Ltd. | 3,804,037 | 102,671 |
| BWX Technologies Inc. | 2,641,570 | 100,987 |
| Jabil Inc. | 3,948,398 | 97,881 |
| Crane Co. | 1,345,917 | 97,148 |
| nVent Electric plc | 4,301,823 | 96,619 |
* | Kirby Corp. | 1,430,657 | 96,369 |
| USG Corp. | 2,235,637 | 95,372 |
* | Esterline Technologies Corp. | 780,192 | 94,754 |
| AGCO Corp. | 1,683,863 | 93,741 |
| Insperity Inc. | 1,003,200 | 93,659 |
| MSC Industrial Direct Co. Inc. Class A | 1,209,050 | 93,000 |
* | Trex Co. Inc. | 1,565,194 | 92,910 |
| EMCOR Group Inc. | 1,531,960 | 91,443 |
* | Stericycle Inc. | 2,407,180 | 88,319 |
| Graphic Packaging Holding Co. | 8,263,233 | 87,921 |
| EnerSys | 1,124,484 | 87,271 |
| MSA Safety Inc. | 915,899 | 86,342 |
* | RBC Bearings Inc. | 644,004 | 84,429 |
| Louisiana-Pacific Corp. | 3,750,175 | 83,329 |
| Brink’s Co. | 1,283,602 | 82,985 |
* | Generac Holdings Inc. | 1,653,604 | 82,184 |
| Knight-Swift Transportation Holdings Inc. | 3,244,643 | 81,343 |
| Regal Beloit Corp. | 1,151,058 | 80,632 |
| Air Lease Corp. Class A | 2,625,886 | 79,328 |
* | Proto Labs Inc. | 688,072 | 77,608 |
| Tetra Tech Inc. | 1,477,683 | 76,500 |
| Armstrong World Industries Inc. | 1,260,753 | 73,388 |
| Kennametal Inc. | 2,187,554 | 72,802 |
* | Owens-Illinois Inc. | 4,217,043 | 72,702 |
* | Allegheny Technologies Inc. | 3,338,446 | 72,678 |
| Eagle Materials Inc. | 1,188,238 | 72,518 |
* | ASGN Inc. | 1,323,591 | 72,136 |
* | CoreLogic Inc. | 2,141,928 | 71,583 |
| Macquarie Infrastructure Corp. | 1,930,900 | 70,594 |
38
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Gardner Denver Holdings Inc. | 3,446,468 | 70,480 |
* | AMN Healthcare Services Inc. | 1,243,372 | 70,449 |
| GATX Corp. | 984,848 | 69,737 |
| Barnes Group Inc. | 1,288,232 | 69,075 |
| Exponent Inc. | 1,361,329 | 69,033 |
* | Coherent Inc. | 649,462 | 68,655 |
| Timken Co. | 1,838,217 | 68,602 |
* | FTI Consulting Inc. | 1,020,998 | 68,039 |
| Trinity Industries Inc. | 3,301,933 | 67,987 |
* | MasTec Inc. | 1,673,546 | 67,879 |
| Ryder System Inc. | 1,404,880 | 67,645 |
* | Resideo Technologies Inc. | 3,276,926 | 67,341 |
* | Clean Harbors Inc. | 1,347,226 | 66,486 |
* | Aerojet Rocketdyne Holdings Inc. | 1,874,459 | 66,037 |
| Moog Inc. Class A | 850,530 | 65,899 |
* | Integer Holdings Corp. | 861,931 | 65,731 |
* | Axon Enterprise Inc. | 1,472,652 | 64,429 |
| Vishay Intertechnology Inc. | 3,528,357 | 63,546 |
* | Rexnord Corp. | 2,764,897 | 63,454 |
| Valmont Industries Inc. | 559,021 | 62,023 |
| John Bean Technologies Corp. | 843,772 | 60,591 |
| Simpson Manufacturing Co. Inc. | 1,118,608 | 60,550 |
* | Cimpress NV | 579,523 | 59,934 |
* | SiteOne Landscape Supply Inc. | 1,083,744 | 59,899 |
* | WESCO International Inc. | 1,241,222 | 59,579 |
| UniFirst Corp. | 403,530 | 57,733 |
* | Beacon Roofing Supply Inc. | 1,814,837 | 57,567 |
* | Mercury Systems Inc. | 1,209,898 | 57,216 |
| Korn/Ferry International | 1,441,890 | 57,012 |
| KBR Inc. | 3,730,178 | 56,624 |
| ABM Industries Inc. | 1,751,145 | 56,229 |
* | Novanta Inc. | 867,011 | 54,622 |
| Applied Industrial Technologies Inc. | 1,009,736 | 54,465 |
| Brady Corp. Class A | 1,234,554 | 53,654 |
| Otter Tail Corp. | 1,060,380 | 52,637 |
* | II-VI Inc. | 1,619,273 | 52,562 |
* | Paylocity Holding Corp. | 851,065 | 51,243 |
* | Conduent Inc. | 4,818,160 | 51,217 |
| Granite Construction Inc. | 1,253,224 | 50,480 |
* | Imperva Inc. | 888,960 | 49,506 |
| Terex Corp. | 1,792,334 | 49,415 |
| Silgan Holdings Inc. | 2,037,204 | 48,119 |
| Deluxe Corp. | 1,244,482 | 47,838 |
* | TriNet Group Inc. | 1,138,217 | 47,748 |
* | Rogers Corp. | 479,477 | 47,497 |
* | Fabrinet | 923,989 | 47,410 |
| Watts Water Technologies Inc. Class A | 731,188 | 47,184 |
| Albany International Corp. | 752,815 | 46,998 |
* | Advanced Disposal Services Inc. | 1,883,239 | 45,085 |
| Belden Inc. | 1,074,293 | 44,873 |
* | ExlService Holdings Inc. | 852,221 | 44,844 |
| EVERTEC Inc. | 1,552,357 | 44,553 |
* | Plexus Corp. | 855,183 | 43,683 |
| Franklin Electric Co. Inc. | 1,011,717 | 43,382 |
| Altra Industrial Motion Corp. | 1,717,530 | 43,196 |
| Triton International Ltd. | 1,385,415 | 43,045 |
| Comfort Systems USA Inc. | 975,502 | 42,610 |
* | Dycom Industries Inc. | 787,929 | 42,580 |
* | Harsco Corp. | 2,139,270 | 42,486 |
* | Colfax Corp. | 2,026,939 | 42,363 |
* | TopBuild Corp. | 933,250 | 41,996 |
| Covanta Holding Corp. | 3,127,482 | 41,971 |
| ESCO Technologies Inc. | 632,884 | 41,739 |
| Forward Air Corp. | 759,820 | 41,676 |
39
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Cubic Corp. | 774,637 | 41,629 |
* | Itron Inc. | 877,045 | 41,475 |
* | Sanmina Corp. | 1,715,022 | 41,263 |
| Kaman Corp. | 724,085 | 40,614 |
| Universal Forest Products Inc. | 1,558,440 | 40,457 |
* | Anixter International Inc. | 732,146 | 39,763 |
| HEICO Corp. | 508,953 | 39,434 |
* | MINDBODY Inc. Class A | 1,083,292 | 39,432 |
* | Aerovironment Inc. | 569,090 | 38,670 |
| Mueller Water Products Inc. Class A | 4,186,606 | 38,098 |
* | Saia Inc. | 675,834 | 37,725 |
| Badger Meter Inc. | 753,717 | 37,090 |
| Mobile Mini Inc. | 1,164,443 | 36,971 |
* | Summit Materials Inc. Class A | 2,977,386 | 36,920 |
| Werner Enterprises Inc. | 1,242,265 | 36,696 |
| World Fuel Services Corp. | 1,694,212 | 36,273 |
| US Ecology Inc. | 574,402 | 36,176 |
| AAON Inc. | 1,025,331 | 35,948 |
| Matson Inc. | 1,107,225 | 35,453 |
| Schneider National Inc. Class B | 1,893,676 | 35,355 |
| ManTech International Corp. Class A | 675,356 | 35,318 |
* | Evolent Health Inc. Class A | 1,753,398 | 34,980 |
* | Navistar International Corp. | 1,324,129 | 34,361 |
| Greenbrier Cos. Inc. | 865,938 | 34,239 |
| Raven Industries Inc. | 939,653 | 34,006 |
| Mueller Industries Inc. | 1,432,745 | 33,469 |
* | Builders FirstSource Inc. | 3,060,768 | 33,393 |
* | Air Transport Services Group Inc. | 1,457,990 | 33,257 |
| Actuant Corp. Class A | 1,577,741 | 33,117 |
| Rush Enterprises Inc. Class A | 955,821 | 32,957 |
* | Masonite International Corp. | 731,057 | 32,773 |
| EnPro Industries Inc. | 543,251 | 32,649 |
* | SPX FLOW Inc. | 1,069,507 | 32,534 |
| AAR Corp. | 868,649 | 32,435 |
* | Knowles Corp. | 2,414,681 | 32,139 |
* | TriMas Corp. | 1,166,900 | 31,845 |
* | OSI Systems Inc. | 433,541 | 31,779 |
* | Hub Group Inc. Class A | 839,822 | 31,132 |
| McGrath RentCorp | 604,383 | 31,114 |
| Federal Signal Corp. | 1,533,613 | 30,519 |
| ICF International Inc. | 470,548 | 30,482 |
* | Kratos Defense & Security Solutions Inc. | 2,155,316 | 30,368 |
* | SPX Corp. | 1,082,250 | 30,314 |
* | Huron Consulting Group Inc. | 586,973 | 30,118 |
* | Gibraltar Industries Inc. | 843,143 | 30,007 |
* | Casella Waste Systems Inc. Class A | 1,048,009 | 29,858 |
| Greif Inc. Class A | 789,980 | 29,316 |
*,^ | Ambarella Inc. | 823,403 | 28,803 |
| Navigant Consulting Inc. | 1,167,886 | 28,088 |
| AZZ Inc. | 671,303 | 27,094 |
| Lindsay Corp. | 281,044 | 27,050 |
* | CBIZ Inc. | 1,370,127 | 26,991 |
| Benchmark Electronics Inc. | 1,231,518 | 26,084 |
* | BMC Stock Holdings Inc. | 1,683,867 | 26,066 |
* | Pluralsight Inc. Class A | 1,091,991 | 25,716 |
* | Electro Scientific Industries Inc. | 858,248 | 25,713 |
* | Sykes Enterprises Inc. | 1,035,291 | 25,603 |
* | Atlas Air Worldwide Holdings Inc. | 604,951 | 25,523 |
* | JELD-WEN Holding Inc. | 1,793,480 | 25,485 |
*,^ | Inovalon Holdings Inc. Class A | 1,796,859 | 25,479 |
* | Cardtronics plc Class A | 977,419 | 25,413 |
| Encore Wire Corp. | 504,762 | 25,329 |
| Boise Cascade Co. | 1,042,310 | 24,859 |
* | Continental Building Products Inc. | 976,578 | 24,854 |
40
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Sun Hydraulics Corp. | 737,075 | 24,464 |
* | Atkore International Group Inc. | 1,228,299 | 24,369 |
| Aircastle Ltd. | 1,400,193 | 24,139 |
| KEMET Corp. | 1,371,997 | 24,065 |
* | Verra Mobility Corp. | 2,439,800 | 23,812 |
| Advanced Drainage Systems Inc. | 978,901 | 23,738 |
* | TTM Technologies Inc. | 2,414,417 | 23,492 |
* | PGT Innovations Inc. | 1,457,305 | 23,098 |
* | TrueBlue Inc. | 1,030,124 | 22,920 |
| Kadant Inc. | 280,234 | 22,828 |
| Tennant Co. | 431,615 | 22,491 |
| Heartland Express Inc. | 1,200,076 | 21,961 |
| ArcBest Corp. | 640,406 | 21,940 |
| Apogee Enterprises Inc. | 725,282 | 21,650 |
* | Milacron Holdings Corp. | 1,819,072 | 21,629 |
| Standex International Corp. | 318,261 | 21,381 |
| Methode Electronics Inc. | 916,338 | 21,342 |
| Primoris Services Corp. | 1,065,872 | 20,390 |
| AVX Corp. | 1,325,010 | 20,206 |
* | Installed Building Products Inc. | 580,126 | 19,544 |
| Douglas Dynamics Inc. | 533,862 | 19,160 |
| Kforce Inc. | 615,060 | 19,018 |
| CTS Corp. | 718,354 | 18,598 |
| Wabash National Corp. | 1,420,648 | 18,582 |
| Maxar Technologies Ltd. | 1,547,928 | 18,513 |
| GrafTech International Ltd. | 1,610,669 | 18,426 |
| Mesa Laboratories Inc. | 87,324 | 18,197 |
* | Astronics Corp. | 597,165 | 18,184 |
* | Vicor Corp. | 480,517 | 18,159 |
| MTS Systems Corp. | 452,070 | 18,142 |
* | FARO Technologies Inc. | 439,263 | 17,852 |
| Alamo Group Inc. | 230,635 | 17,833 |
| Cass Information Systems Inc. | 335,547 | 17,757 |
*,^ | MACOM Technology Solutions Holdings Inc. | 1,204,795 | 17,482 |
| Gorman-Rupp Co. | 528,589 | 17,132 |
| H&E Equipment Services Inc. | 837,846 | 17,109 |
* | Patrick Industries Inc. | 572,818 | 16,961 |
* | Tutor Perini Corp. | 1,052,195 | 16,804 |
| Columbus McKinnon Corp. | 552,359 | 16,648 |
| Astec Industries Inc. | 551,052 | 16,636 |
* | Thermon Group Holdings Inc. | 817,108 | 16,571 |
| Kelly Services Inc. Class A | 804,273 | 16,472 |
* | SEACOR Holdings Inc. | 420,248 | 15,549 |
* | NV5 Global Inc. | 256,442 | 15,528 |
* | Gates Industrial Corp. plc | 1,169,306 | 15,482 |
| Marten Transport Ltd. | 950,214 | 15,384 |
* | Evo Payments Inc. Class A | 623,366 | 15,378 |
| Hyster-Yale Materials Handling Inc. | 244,576 | 15,154 |
*,^ | US Concrete Inc. | 419,838 | 14,812 |
| Argan Inc. | 388,590 | 14,704 |
| Heidrick & Struggles International Inc. | 470,577 | 14,677 |
| Triumph Group Inc. | 1,236,161 | 14,216 |
* | Echo Global Logistics Inc. | 694,980 | 14,129 |
* | Engility Holdings Inc. | 485,605 | 13,820 |
* | Manitowoc Co. Inc. | 923,440 | 13,639 |
| Briggs & Stratton Corp. | 1,023,156 | 13,383 |
| Global Brass & Copper Holdings Inc. | 526,608 | 13,244 |
| DMC Global Inc. | 370,109 | 12,998 |
| Kimball International Inc. Class B | 915,360 | 12,989 |
* | Aegion Corp. Class A | 772,491 | 12,607 |
| Quanex Building Products Corp. | 925,744 | 12,581 |
| Ennis Inc. | 651,478 | 12,541 |
| Myers Industries Inc. | 804,543 | 12,157 |
* | Control4 Corp. | 677,747 | 11,928 |
41
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Insteel Industries Inc. | 490,926 | 11,920 |
* | Donnelley Financial Solutions Inc. | 841,113 | 11,801 |
*,^ | Team Inc. | 792,619 | 11,612 |
* | DXP Enterprises Inc. | 401,573 | 11,180 |
| National Research Corp. | 289,778 | 11,052 |
* | CAI International Inc. | 474,091 | 11,013 |
* | Ducommun Inc. | 303,154 | 11,011 |
* | MYR Group Inc. | 390,071 | 10,988 |
| Resources Connection Inc. | 761,653 | 10,815 |
| Essendant Inc. | 851,883 | 10,717 |
| Park Electrochemical Corp. | 586,069 | 10,590 |
| NVE Corp. | 119,611 | 10,471 |
* | Great Lakes Dredge & Dock Corp. | 1,577,589 | 10,444 |
| Barrett Business Services Inc. | 182,268 | 10,435 |
| TTEC Holdings Inc. | 359,368 | 10,267 |
| Quad/Graphics Inc. | 808,240 | 9,958 |
* | Heritage-Crystal Clean Inc. | 423,201 | 9,738 |
* | Kimball Electronics Inc. | 626,636 | 9,707 |
* | Willdan Group Inc. | 273,086 | 9,553 |
* | International Seaways Inc. | 541,935 | 9,126 |
| Miller Industries Inc. | 336,376 | 9,082 |
| Daktronics Inc. | 1,216,874 | 9,005 |
* | Veeco Instruments Inc. | 1,213,128 | 8,989 |
*,^ | CryoPort Inc. | 807,045 | 8,902 |
| Allied Motion Technologies Inc. | 199,138 | 8,899 |
* | Sterling Construction Co. Inc. | 797,204 | 8,682 |
* | Landec Corp. | 719,371 | 8,517 |
| CRA International Inc. | 195,182 | 8,305 |
| Graham Corp. | 351,213 | 8,022 |
* | UFP Technologies Inc. | 261,648 | 7,860 |
*,^ | Livent Corp. | 567,839 | 7,836 |
* | Vishay Precision Group Inc. | 258,080 | 7,802 |
| NN Inc. | 1,152,697 | 7,735 |
* | Cross Country Healthcare Inc. | 1,036,334 | 7,596 |
* | Nuvectra Corp. | 445,301 | 7,276 |
| B. Riley Financial Inc. | 508,674 | 7,223 |
* | Armstrong Flooring Inc. | 606,011 | 7,175 |
| Multi-Color Corp. | 200,788 | 7,046 |
| Hurco Cos. Inc. | 194,786 | 6,954 |
* | Franklin Covey Co. | 303,613 | 6,780 |
| Powell Industries Inc. | 269,908 | 6,750 |
*,^ | Energy Recovery Inc. | 999,797 | 6,729 |
| VSE Corp. | 222,438 | 6,653 |
* | Blue Bird Corp. | 364,293 | 6,626 |
* | Eagle Bulk Shipping Inc. | 1,428,322 | 6,585 |
| Advanced Emissions Solutions Inc. | 622,187 | 6,564 |
* | PRGX Global Inc. | 685,615 | 6,493 |
* | Northwest Pipe Co. | 273,289 | 6,365 |
| Park-Ohio Holdings Corp. | 206,719 | 6,344 |
* | IntriCon Corp. | 239,580 | 6,320 |
*,^ | BlueLinx Holdings Inc. | 253,321 | 6,260 |
| Spartan Motors Inc. | 857,118 | 6,197 |
* | Information Services Group Inc. | 1,427,047 | 6,051 |
* | Mistras Group Inc. | 420,304 | 6,044 |
* | Covenant Transportation Group Inc. Class A | 302,080 | 5,800 |
* | CECO Environmental Corp. | 840,101 | 5,671 |
* | Twin Disc Inc. | 380,026 | 5,605 |
* | Era Group Inc. | 632,959 | 5,532 |
| BG Staffing Inc. | 267,691 | 5,528 |
* | InnerWorkings Inc. | 1,431,173 | 5,353 |
* | GP Strategies Corp. | 421,245 | 5,312 |
* | Napco Security Technologies Inc. | 336,052 | 5,293 |
* | Sparton Corp. | 280,551 | 5,103 |
* | Lydall Inc. | 243,505 | 4,946 |
42
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Omega Flex Inc. | 91,330 | 4,938 |
| Bel Fuse Inc. Class B | 266,476 | 4,908 |
* | ShotSpotter Inc. | 154,978 | 4,832 |
* | Commercial Vehicle Group Inc. | 817,175 | 4,658 |
* | Everi Holdings Inc. | 893,033 | 4,599 |
| Griffon Corp. | 439,398 | 4,592 |
* | Radiant Logistics Inc. | 1,061,854 | 4,513 |
| EVI Industries Inc. | 134,817 | 4,496 |
* | Willis Lease Finance Corp. | 128,860 | 4,459 |
* | LB Foster Co. Class A | 278,605 | 4,430 |
* | Daseke Inc. | 1,202,357 | 4,425 |
| Eastern Co. | 180,832 | 4,373 |
* | Acacia Research Corp. | 1,435,005 | 4,276 |
* | Intevac Inc. | 751,302 | 3,929 |
* | Lawson Products Inc. | 120,622 | 3,812 |
*,^ | Energous Corp. | 652,950 | 3,781 |
* | CyberOptics Corp. | 212,407 | 3,745 |
* | USA Truck Inc. | 249,697 | 3,738 |
* | Gencor Industries Inc. | 332,187 | 3,644 |
* | Orion Group Holdings Inc. | 841,239 | 3,609 |
*,^ | Turtle Beach Corp. | 248,034 | 3,539 |
| NACCO Industries Inc. Class A | 101,152 | 3,429 |
| Universal Logistics Holdings Inc. | 187,298 | 3,388 |
* | Transcat Inc. | 176,375 | 3,355 |
*,^ | Cardlytics Inc. | 309,483 | 3,352 |
| United States Lime & Minerals Inc. | 47,159 | 3,348 |
| Crawford & Co. Class A | 367,479 | 3,271 |
* | IES Holdings Inc. | 209,645 | 3,260 |
* | Foundation Building Materials Inc. | 381,771 | 3,173 |
| Crawford & Co. Class B | 350,182 | 3,152 |
* | General Finance Corp. | 305,932 | 3,093 |
| Global Water Resources Inc. | 295,043 | 2,992 |
* | Iteris Inc. | 792,279 | 2,955 |
| Richardson Electronics Ltd. | 339,072 | 2,947 |
* | ServiceSource International Inc. | 2,650,656 | 2,863 |
* | OptimizeRx Corp. | 258,343 | 2,834 |
* | PAM Transportation Services Inc. | 65,281 | 2,573 |
*,^ | Maxwell Technologies Inc. | 1,219,253 | 2,524 |
* | Houston Wire & Cable Co. | 465,712 | 2,356 |
*,^ | Asure Software Inc. | 452,640 | 2,299 |
* | StarTek Inc. | 338,150 | 2,249 |
* | Luna Innovations Inc. | 659,902 | 2,211 |
* | Ultralife Corp. | 324,252 | 2,189 |
*,^ | Forterra Inc. | 565,451 | 2,126 |
* | Universal Technical Institute Inc. | 564,724 | 2,061 |
* | Frequency Electronics Inc. | 191,069 | 2,025 |
*,^ | ExOne Co. | 303,438 | 2,009 |
* | 3PEA International Inc. | 564,546 | 1,987 |
* | DHI Group Inc. | 1,254,116 | 1,906 |
* | Arotech Corp. | 717,564 | 1,880 |
* | Perceptron Inc. | 207,487 | 1,672 |
* | CIRCOR International Inc. | 73,933 | 1,575 |
* | Patriot Transportation Holding Inc. | 80,602 | 1,571 |
*,^ | Aqua Metals Inc. | 841,348 | 1,531 |
*,^ | MicroVision Inc. | 2,514,638 | 1,519 |
| RF Industries Ltd. | 201,049 | 1,460 |
| Steel Connect Inc. | 822,121 | 1,422 |
* | CPI Aerostructures Inc. | 222,135 | 1,415 |
* | NCI Building Systems Inc. | 191,859 | 1,391 |
* | Goldfield Corp. | 599,302 | 1,354 |
* | Lincoln Educational Services Corp. | 420,738 | 1,346 |
* | Wesco Aircraft Holdings Inc. | 156,685 | 1,238 |
* | Perma-Pipe International Holdings Inc. | 139,330 | 1,219 |
* | Sharps Compliance Corp. | 345,073 | 1,132 |
43
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | IEC Electronics Corp. | 195,868 | 1,120 |
| LSI Industries Inc. | 337,386 | 1,070 |
*,^ | Horizon Global Corp. | 692,184 | 990 |
*,^ | eMagin Corp. | 941,638 | 970 |
* | FreightCar America Inc. | 136,294 | 912 |
| Espey Manufacturing & Electronics Corp. | 36,513 | 910 |
* | NRC Group Holdings Corp. | 115,588 | 884 |
* | Hudson Global Inc. | 612,530 | 827 |
* | Taylor Devices Inc. | 67,427 | 809 |
| Issuer Direct Corp. | 68,008 | 772 |
* | Charah Solutions Inc. | 91,860 | 767 |
| RR Donnelley & Sons Co. | 189,623 | 751 |
*,^ | LightPath Technologies Inc. Class A | 479,513 | 714 |
* | Tecogen Inc. | 168,227 | 611 |
| AMCON Distributing Co. | 6,102 | 609 |
*,^ | Medical Transcription Billing Corp. | 158,438 | 602 |
^ | ADT Inc. | 100,100 | 602 |
* | PFSweb Inc. | 110,737 | 568 |
* | Wireless Telecom Group Inc. | 316,572 | 560 |
*,^ | Odyssey Marine Exploration Inc. | 166,648 | 555 |
* | Air T Inc. | 21,726 | 532 |
* | SIFCO Industries Inc. | 152,452 | 526 |
| Greif Inc. Class B | 11,156 | 495 |
*,^ | Lightbridge Corp. | 754,234 | 411 |
* | ARC Document Solutions Inc. | 193,400 | 396 |
| Ecology and Environment Inc. | 34,432 | 390 |
* | ALJ Regional Holdings Inc. | 287,886 | 377 |
| Chicago Rivet & Machine Co. | 11,328 | 357 |
* | Image Sensing Systems Inc. | 78,888 | 355 |
* | UQM Technologies Inc. | 411,473 | 350 |
* | Manitex International Inc. | 60,530 | 344 |
* | Perma-Fix Environmental Services | 140,143 | 329 |
* | CUI Global Inc. | 250,700 | 308 |
| Rush Enterprises Inc. Class B | 7,149 | 254 |
* | DLH Holdings Corp. | 52,984 | 251 |
*,^ | Digital Ally Inc. | 92,198 | 247 |
* | AMREP Corp. | 41,229 | 245 |
* | Fuel Tech Inc. | 195,916 | 233 |
* | Ballantyne Strong Inc. | 174,184 | 200 |
*,^ | Workhorse Group Inc. | 376,786 | 199 |
* | Rubicon Technology Inc. | 24,849 | 196 |
* | Command Security Corp. | 69,851 | 196 |
*,^ | Capstone Turbine Corp. | 312,203 | 187 |
* | Vertex Energy Inc. | 175,910 | 179 |
* | Broadwind Energy Inc. | 134,882 | 175 |
* | Black Box Corp. | 161,725 | 175 |
*,^ | Applied DNA Sciences Inc. | 423,983 | 170 |
* | Coda Octopus Group Inc. | 28,445 | 166 |
* | Jewett-Cameron Trading Co. Ltd. | 21,200 | 151 |
* | Summit Wireless Technologies Inc. | 40,430 | 138 |
| LSC Communications Inc. | 17,799 | 125 |
*,^ | Revolution Lighting Technologies Inc. | 294,100 | 116 |
* | Pioneer Power Solutions Inc. | 19,717 | 104 |
* | Continental Materials Corp. | 8,941 | 97 |
* | US Xpress Enterprises Inc. Class A | 15,500 | 87 |
*,^ | DPW Holdings Inc. | 643,967 | 66 |
*,^ | Research Frontiers Inc. | 41,627 | 65 |
* | AeroCentury Corp. | 6,716 | 64 |
*,^ | Marathon Patent Group Inc. | 165,563 | 60 |
* | Huttig Building Products Inc. | 32,919 | 59 |
* | Volt Information Sciences Inc. | 27,105 | 58 |
* | Payment Data Systems Inc. | 30,184 | 50 |
| Servotronics Inc. | 4,914 | 49 |
* | LGL Group Inc. | 7,908 | 48 |
44
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | ENGlobal Corp. | 79,627 | 45 |
* | Bio-key International Inc. | 54,321 | 41 |
| Bel Fuse Inc. Class A | 2,773 | 38 |
* | ASV Holdings Inc. | 15,986 | 32 |
* | Energy Focus Inc. | 40,994 | 25 |
* | Industrial Services of America Inc. | 22,612 | 25 |
* | Sypris Solutions Inc. | 31,729 | 25 |
* | Air Industries Group | 30,824 | 22 |
* | EnSync Inc. | 102,372 | 18 |
* | Professional Diversity Network Inc. | 17,285 | 17 |
*,^ | Boxlight Corp. Class A | 12,500 | 15 |
*,^ | Hudson Technologies Inc. | 8,677 | 8 |
* | Quest Resource Holding Corp. | 2,760 | 4 |
* | Polar Power Inc. | 700 | 3 |
*,§ | Patriot National Inc. | 129,819 | 3 |
* | Cemtrex Inc. | 820 | — |
* | Dorian LPG Ltd. | 20 | — |
| | | 86,436,752 |
Oil & Gas (5.0%) | | |
| Exxon Mobil Corp. | 113,056,417 | 7,709,317 |
| Chevron Corp. | 51,040,764 | 5,552,725 |
| ConocoPhillips | 30,760,203 | 1,917,899 |
| EOG Resources Inc. | 15,497,769 | 1,351,560 |
| Schlumberger Ltd. | 36,975,353 | 1,334,071 |
| Occidental Petroleum Corp. | 20,171,504 | 1,238,127 |
| Marathon Petroleum Corp. | 18,457,340 | 1,089,168 |
| Phillips 66 | 11,703,920 | 1,008,293 |
| Valero Energy Corp. | 11,335,926 | 849,854 |
| Kinder Morgan Inc. | 50,105,568 | 770,624 |
| Williams Cos. Inc. | 32,337,588 | 713,044 |
| Pioneer Natural Resources Co. | 4,556,092 | 599,217 |
| ONEOK Inc. | 10,991,047 | 592,967 |
| Anadarko Petroleum Corp. | 13,476,858 | 590,825 |
| Halliburton Co. | 22,199,445 | 590,061 |
* | Concho Resources Inc. | 5,352,480 | 550,181 |
| Diamondback Energy Inc. | 4,378,462 | 405,883 |
* | Cheniere Energy Inc. | 6,170,562 | 365,236 |
| Marathon Oil Corp. | 22,197,527 | 318,313 |
| Hess Corp. | 7,519,580 | 304,543 |
| Baker Hughes a GE Co. Class A | 13,693,897 | 294,419 |
| Devon Energy Corp. | 11,848,957 | 267,075 |
| Apache Corp. | 10,109,289 | 265,369 |
| National Oilwell Varco Inc. | 10,202,203 | 262,197 |
| Cabot Oil & Gas Corp. | 11,481,265 | 256,606 |
| Noble Energy Inc. | 12,791,605 | 239,971 |
| HollyFrontier Corp. | 4,617,898 | 236,067 |
| Targa Resources Corp. | 6,105,872 | 219,934 |
| OGE Energy Corp. | 5,318,413 | 208,429 |
| Cimarex Energy Co. | 2,547,695 | 157,065 |
| Helmerich & Payne Inc. | 2,760,341 | 132,331 |
| EQT Corp. | 6,787,163 | 128,210 |
* | WPX Energy Inc. | 11,203,775 | 127,163 |
* | Parsley Energy Inc. Class A | 7,071,139 | 112,997 |
* | Equitrans Midstream Corp. | 5,440,902 | 108,927 |
| Murphy Oil Corp. | 4,387,074 | 102,614 |
*,^ | Transocean Ltd. | 14,642,727 | 101,621 |
* | Continental Resources Inc. | 2,514,265 | 101,048 |
| PBF Energy Inc. Class A | 3,042,241 | 99,390 |
* | First Solar Inc. | 1,948,143 | 82,708 |
* | Newfield Exploration Co. | 5,324,204 | 78,053 |
| Delek US Holdings Inc. | 2,177,124 | 70,778 |
^ | Core Laboratories NV | 1,179,549 | 70,372 |
| Range Resources Corp. | 6,658,366 | 63,721 |
* | Antero Resources Corp. | 6,736,496 | 63,256 |
45
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Patterson-UTI Energy Inc. | 5,507,827 | 57,006 |
* | Apergy Corp. | 2,057,251 | 55,710 |
* | Whiting Petroleum Corp. | 2,438,185 | 55,322 |
* | Centennial Resource Development Inc. Class A | 4,922,809 | 54,249 |
* | Chart Industries Inc. | 830,226 | 53,990 |
* | Southwestern Energy Co. | 15,412,202 | 52,556 |
* | PDC Energy Inc. | 1,750,731 | 52,102 |
*,^ | Chesapeake Energy Corp. | 23,229,804 | 48,783 |
* | Oasis Petroleum Inc. | 8,455,703 | 46,760 |
| SM Energy Co. | 2,982,827 | 46,174 |
* | Matador Resources Co. | 2,804,401 | 43,552 |
^ | Ensco plc Class A | 11,629,243 | 41,400 |
* | CNX Resources Corp. | 3,547,881 | 40,517 |
* | Callon Petroleum Co. | 6,009,298 | 39,000 |
* | QEP Resources Inc. | 6,246,965 | 35,170 |
* | NOW Inc. | 2,883,349 | 33,562 |
* | Oceaneering International Inc. | 2,597,896 | 31,435 |
* | Arcosa Inc. | 1,116,144 | 30,906 |
* | SRC Energy Inc. | 6,445,257 | 30,293 |
| McDermott International Inc. | 4,578,887 | 29,946 |
* | Magnolia Oil & Gas Corp. | 2,648,968 | 29,695 |
* | Dril-Quip Inc. | 983,182 | 29,525 |
| SemGroup Corp. Class A | 2,082,876 | 28,702 |
* | Rowan Cos. plc Class A | 3,369,041 | 28,266 |
| CVR Energy Inc. | 808,421 | 27,874 |
* | MRC Global Inc. | 2,274,688 | 27,819 |
* | ProPetro Holding Corp. | 2,203,673 | 27,149 |
* | Cactus Inc. Class A | 989,173 | 27,113 |
* | Gulfport Energy Corp. | 3,916,155 | 25,651 |
| Archrock Inc. | 3,419,375 | 25,611 |
* | Carrizo Oil & Gas Inc. | 2,213,803 | 24,994 |
* | Renewable Energy Group Inc. | 899,589 | 23,119 |
* | C&J Energy Services Inc. | 1,596,149 | 21,548 |
* | Denbury Resources Inc. | 12,273,735 | 20,988 |
* | Oil States International Inc. | 1,422,310 | 20,311 |
* | Helix Energy Solutions Group Inc. | 3,694,700 | 19,988 |
* | Unit Corp. | 1,319,209 | 18,838 |
* | Penn Virginia Corp. | 338,966 | 18,325 |
* | Northern Oil and Gas Inc. | 8,059,585 | 18,215 |
| Nabors Industries Ltd. | 8,967,801 | 17,936 |
*,^ | Tellurian Inc. | 2,544,628 | 17,685 |
* | California Resources Corp. | 1,003,419 | 17,098 |
* | Laredo Petroleum Inc. | 4,689,527 | 16,976 |
* | Noble Corp. plc | 6,424,982 | 16,833 |
* | TPI Composites Inc. | 639,958 | 15,730 |
* | Tidewater Inc. | 813,318 | 15,559 |
* | Newpark Resources Inc. | 2,242,222 | 15,404 |
*,^ | Diamond Offshore Drilling Inc. | 1,618,029 | 15,274 |
* | Exterran Corp. | 850,875 | 15,060 |
| RPC Inc. | 1,430,113 | 14,115 |
* | Superior Energy Services Inc. | 4,184,455 | 14,018 |
| Green Plains Inc. | 1,032,886 | 13,541 |
* | WildHorse Resource Development Corp. | 945,861 | 13,346 |
*,^ | Resolute Energy Corp. | 457,673 | 13,263 |
*,^ | Jagged Peak Energy Inc. | 1,429,558 | 13,038 |
* | Par Pacific Holdings Inc. | 845,220 | 11,985 |
* | KLX Energy Services Holdings Inc. | 509,580 | 11,950 |
* | Matrix Service Co. | 658,160 | 11,807 |
| Liberty Oilfield Services Inc. Class A | 908,424 | 11,764 |
*,^ | Enphase Energy Inc. | 2,166,590 | 10,248 |
* | REX American Resources Corp. | 145,927 | 9,939 |
* | Keane Group Inc. | 1,203,078 | 9,841 |
* | Bonanza Creek Energy Inc. | 469,584 | 9,706 |
* | W&T Offshore Inc. | 2,333,453 | 9,614 |
46
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Nine Energy Service Inc. | 392,059 | 8,837 |
* | Forum Energy Technologies Inc. | 2,128,461 | 8,791 |
*,^ | SunPower Corp. Class A | 1,633,340 | 8,118 |
* | Roan Resources Inc. | 954,515 | 7,999 |
* | Talos Energy Inc. | 487,490 | 7,956 |
^ | Solaris Oilfield Infrastructure Inc. Class A | 655,269 | 7,922 |
* | HighPoint Resources Corp. | 2,836,688 | 7,063 |
* | Natural Gas Services Group Inc. | 408,122 | 6,710 |
* | Ameresco Inc. Class A | 472,549 | 6,663 |
| Panhandle Oil and Gas Inc. Class A | 420,425 | 6,517 |
| Mammoth Energy Services Inc. | 341,448 | 6,139 |
* | TETRA Technologies Inc. | 3,516,988 | 5,909 |
* | FTS International Inc. | 828,010 | 5,887 |
| Evolution Petroleum Corp. | 850,210 | 5,798 |
* | Abraxas Petroleum Corp. | 4,689,560 | 5,112 |
*,^ | American Superconductor Corp. | 424,134 | 4,729 |
* | Trecora Resources | 598,320 | 4,667 |
* | SilverBow Resources Inc. | 195,058 | 4,611 |
* | Green Brick Partners Inc. | 624,917 | 4,524 |
* | Independence Contract Drilling Inc. | 1,382,906 | 4,315 |
* | SEACOR Marine Holdings Inc. | 336,561 | 3,958 |
*,^ | Legacy Reserves Inc. | 2,558,847 | 3,941 |
* | Chaparral Energy Inc. Class A | 763,888 | 3,758 |
* | Goodrich Petroleum Corp. | 265,176 | 3,580 |
*,^ | Plug Power Inc. | 2,389,426 | 2,963 |
* | Geospace Technologies Corp. | 271,004 | 2,794 |
| Berry Petroleum Corp. | 319,148 | 2,793 |
*,^ | Bristow Group Inc. | 1,026,587 | 2,495 |
* | Gulf Island Fabrication Inc. | 342,749 | 2,475 |
* | Infrastructure and Energy Alternatives Inc. | 296,274 | 2,426 |
* | Contango Oil & Gas Co. | 694,493 | 2,257 |
*,^ | Comstock Resources Inc. | 469,715 | 2,128 |
| Adams Resources & Energy Inc. | 52,702 | 2,040 |
* | Isramco Inc. | 17,203 | 2,039 |
* | Earthstone Energy Inc. Class A | 446,981 | 2,020 |
* | Dawson Geophysical Co. | 580,779 | 1,963 |
* | Altus Midstream Co. Class A | 240,505 | 1,859 |
* | NCS Multistage Holdings Inc. | 323,026 | 1,644 |
* | Lonestar Resources US Inc. Class A | 442,746 | 1,616 |
*,^ | FuelCell Energy Inc. | 2,644,061 | 1,456 |
*,^ | EP Energy Corp. Class A | 1,635,435 | 1,145 |
* | Ring Energy Inc. | 188,279 | 956 |
*,^ | US Well Services Inc. | 139,200 | 905 |
* | Ranger Energy Services Inc. | 174,110 | 900 |
* | Quintana Energy Services Inc. | 240,859 | 833 |
* | SandRidge Energy Inc. | 107,291 | 816 |
* | VAALCO Energy Inc. | 518,252 | 762 |
*,^ | Approach Resources Inc. | 543,177 | 474 |
* | Hornbeck Offshore Services Inc. | 304,438 | 438 |
* | Superior Drilling Products Inc. | 341,897 | 400 |
* | Pioneer Energy Services Corp. | 322,269 | 396 |
* | ION Geophysical Corp. | 71,876 | 372 |
*,^ | Torchlight Energy Resources Inc. | 496,202 | 280 |
* | Mitcham Industries Inc. | 103,443 | 265 |
* | Rosehill Resources Inc. Class A | 83,245 | 186 |
*,^ | Talos Energy Inc. Warrants Exp. 02/28/2021 | 116,107 | 131 |
*,^ | Zion Oil & Gas Inc. | 264,857 | 111 |
*,^ | Enservco Corp. | 243,940 | 90 |
*,^ | PHI Inc. | 38,724 | 87 |
*,^ | Ideal Power Inc. | 94,214 | 23 |
* | Flotek Industries Inc. | 16,578 | 18 |
* | Tidewater Inc. Warrants Series A | 8,839 | 15 |
* | Tidewater Inc. Warrants Series B | 9,555 | 13 |
* | PEDEVCO Corp. | 8,400 | 6 |
47
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | SAExploration Holdings Inc. | 1,505 | 3 |
* | PrimeEnergy Corp. | 17 | 1 |
*,^ | Bonanza Creek Energy Inc. Warrants Exp. 04/28/2020 | 33,839 | 1 |
* | Jones Energy Inc. Class A | 782 | — |
* | Basic Energy Services Inc. Warrants Exp. 12/23/2023 | 4,640 | — |
*,§ | Rex Energy Corp. | 302 | — |
*,^ | Covia Holdings Corp. | 1 | — |
*,^,§ | Harvest Natural Resources Inc. | 51,829 | — |
| | | 33,574,222 |
Other (0.0%)2 | | |
*,§ | Herbalife Ltd. CVR | 234,057 | 2,270 |
*,§ | A Schulman Inc. CVR | 659,182 | 1,259 |
*,^,§ | Tobira Therapeutics CVR Exp. 12/31/2028 | 201,001 | 911 |
*,^,§ | Ocera Therapeutics CVR Line | 653,477 | 176 |
*,§ | NewStar Financial Inc. CVR | 551,185 | 143 |
* | Corium CVR | 782,067 | 141 |
*,§ | Ambit Biosciences Corp. CVR | 201,330 | 121 |
*,§ | Media General Inc. CVR | 2,351,934 | 91 |
*,§ | Omthera Pharmaceuticals Inc. CVR | 121,311 | 73 |
*,§ | Social Reality Inc. Rights Exp. 12/31/2019 | 148,260 | 27 |
*,§ | Alexza Pharmaceuticals Inc. CVR | 327,391 | 11 |
*,§ | Seventy Seven Energy Inc. Escrow Line | 7,222 | 1 |
*,§ | Clinical Data CVR | 216,285 | — |
*,§ | Adolor Corp. Rights Exp. 07/01/2019 | 592,629 | — |
*,^,§ | Biosante Pharmaceutical Inc. CVR | 253,823 | — |
* | Kadmon Warrants Exp. 09/29/2022 | 169,257 | — |
*,§ | NuPathe Inc. CVR | 158,681 | — |
* | Advaxis Inc. Warrants Exp. 09/11/2024 | 157,659 | — |
| | | 5,224 |
Technology (19.3%) | | |
| Microsoft Corp. | 206,471,453 | 20,971,305 |
| Apple Inc. | 114,093,756 | 17,997,149 |
* | Facebook Inc. Class A | 64,181,484 | 8,413,551 |
* | Alphabet Inc. Class A | 7,987,157 | 8,346,260 |
* | Alphabet Inc. Class C | 7,938,287 | 8,220,969 |
| Intel Corp. | 121,924,450 | 5,721,914 |
| Cisco Systems Inc. | 120,089,777 | 5,203,490 |
| Oracle Corp. | 70,840,246 | 3,198,437 |
* | Adobe Inc. | 13,040,518 | 2,950,287 |
| International Business Machines Corp. | 24,277,551 | 2,759,629 |
| Broadcom Inc. | 10,493,014 | 2,668,164 |
* | salesforce.com Inc. | 19,415,586 | 2,659,353 |
| Texas Instruments Inc. | 25,658,297 | 2,424,709 |
| NVIDIA Corp. | 15,482,119 | 2,066,863 |
| QUALCOMM Inc. | 32,379,778 | 1,842,733 |
| Intuit Inc. | 6,585,915 | 1,296,437 |
| Cognizant Technology Solutions Corp. Class A | 15,470,283 | 982,054 |
* | Micron Technology Inc. | 30,300,271 | 961,428 |
| HP Inc. | 42,246,996 | 864,374 |
| Applied Materials Inc. | 26,262,362 | 859,830 |
* | ServiceNow Inc. | 4,790,815 | 853,005 |
| Analog Devices Inc. | 9,883,224 | 848,277 |
* | Red Hat Inc. | 4,715,235 | 828,184 |
* | Autodesk Inc. | 5,840,730 | 751,176 |
| Corning Inc. | 21,388,016 | 646,132 |
* | Workday Inc. Class A | 3,981,782 | 635,811 |
| Xilinx Inc. | 6,760,219 | 575,768 |
| Lam Research Corp. | 4,145,768 | 564,529 |
* | Twitter Inc. | 18,308,384 | 526,183 |
| Hewlett Packard Enterprise Co. | 39,301,372 | 519,171 |
| Motorola Solutions Inc. | 4,363,663 | 501,996 |
* | Advanced Micro Devices Inc. | 25,377,737 | 468,473 |
^ | Microchip Technology Inc. | 6,319,140 | 454,473 |
* | Palo Alto Networks Inc. | 2,394,181 | 450,944 |
48
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Cerner Corp. | 8,366,529 | 438,741 |
* | VeriSign Inc. | 2,907,099 | 431,094 |
| Harris Corp. | 3,138,824 | 422,643 |
* | Splunk Inc. | 3,913,358 | 410,316 |
| NetApp Inc. | 6,716,627 | 400,781 |
| DXC Technology Co. | 7,486,678 | 398,067 |
* | IAC/InterActiveCorp | 2,073,642 | 379,559 |
| Maxim Integrated Products Inc. | 7,400,696 | 376,325 |
| KLA-Tencor Corp. | 4,084,860 | 365,554 |
| Citrix Systems Inc. | 3,415,481 | 349,950 |
* | Synopsys Inc. | 3,971,071 | 334,523 |
* | Cadence Design Systems Inc. | 7,546,303 | 328,113 |
| CDW Corp. | 4,011,628 | 325,142 |
* | ANSYS Inc. | 2,230,098 | 318,770 |
| Skyworks Solutions Inc. | 4,747,702 | 318,191 |
| Symantec Corp. | 16,196,458 | 306,032 |
* | Arista Networks Inc. | 1,409,656 | 297,014 |
* | Gartner Inc. | 2,302,312 | 294,328 |
* | Veeva Systems Inc. Class A | 3,253,391 | 290,593 |
| VMware Inc. Class A | 2,027,441 | 278,023 |
* | GoDaddy Inc. Class A | 4,231,820 | 277,692 |
* | Fortinet Inc. | 3,854,252 | 271,455 |
| SS&C Technologies Holdings Inc. | 5,999,489 | 270,637 |
| Western Digital Corp. | 7,317,660 | 270,534 |
| Marvell Technology Group Ltd. | 16,647,560 | 269,524 |
| Seagate Technology plc | 6,854,022 | 264,497 |
* | F5 Networks Inc. | 1,612,967 | 261,349 |
* | Akamai Technologies Inc. | 4,119,734 | 251,633 |
| Juniper Networks Inc. | 9,182,752 | 247,108 |
* | PTC Inc. | 2,842,753 | 235,664 |
* | Tableau Software Inc. Class A | 1,905,859 | 228,703 |
| Leidos Holdings Inc. | 3,995,734 | 210,655 |
* | Qorvo Inc. | 3,326,026 | 201,990 |
* | Ultimate Software Group Inc. | 790,269 | 193,513 |
* | ON Semiconductor Corp. | 11,208,426 | 185,051 |
* | Tyler Technologies Inc. | 980,923 | 182,275 |
*,^ | Twilio Inc. Class A | 2,003,301 | 178,895 |
* | Guidewire Software Inc. | 2,157,588 | 173,103 |
* | Dell Technologies Inc. | 3,409,565 | 166,625 |
* | Integrated Device Technology Inc. | 3,438,371 | 166,520 |
| CDK Global Inc. | 3,428,010 | 164,133 |
* | Paycom Software Inc. | 1,329,799 | 162,834 |
* | EPAM Systems Inc. | 1,369,194 | 158,840 |
* | Zendesk Inc. | 2,714,375 | 158,438 |
* | Okta Inc. | 2,463,128 | 157,148 |
* | Aspen Technology Inc. | 1,882,954 | 154,741 |
| Teradyne Inc. | 4,764,000 | 149,494 |
* | Nutanix Inc. | 3,580,677 | 148,920 |
* | RingCentral Inc. Class A | 1,735,872 | 143,105 |
* | athenahealth Inc. | 1,079,610 | 142,433 |
* | ARRIS International plc | 4,390,261 | 134,210 |
* | Ciena Corp. | 3,798,120 | 128,794 |
* | HubSpot Inc. | 993,712 | 124,939 |
| Monolithic Power Systems Inc. | 1,073,106 | 124,749 |
| Cypress Semiconductor Corp. | 9,655,741 | 122,821 |
* | Proofpoint Inc. | 1,454,947 | 121,939 |
* | Teradata Corp. | 3,160,109 | 121,222 |
* | Cree Inc. | 2,737,593 | 117,101 |
| LogMeIn Inc. | 1,363,275 | 111,202 |
| Entegris Inc. | 3,763,959 | 104,996 |
* | Medidata Solutions Inc. | 1,548,084 | 104,372 |
* | Nuance Communications Inc. | 7,672,139 | 101,502 |
* | RealPage Inc. | 1,998,908 | 96,327 |
* | CACI International Inc. Class A | 658,939 | 94,907 |
49
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| MKS Instruments Inc. | 1,438,555 | 92,945 |
* | Coupa Software Inc. | 1,470,969 | 92,465 |
* | New Relic Inc. | 1,138,300 | 92,168 |
* | DocuSign Inc. Class A | 2,292,219 | 91,872 |
* | Silicon Laboratories Inc. | 1,148,594 | 90,521 |
*,^ | ViaSat Inc. | 1,509,327 | 88,975 |
| SYNNEX Corp. | 1,090,506 | 88,156 |
* | Pure Storage Inc. Class A | 5,478,283 | 88,091 |
*,^ | Snap Inc. | 15,675,511 | 86,372 |
| j2 Global Inc. | 1,243,142 | 86,249 |
* | CommScope Holding Co. Inc. | 5,123,208 | 83,969 |
* | Lumentum Holdings Inc. | 1,987,966 | 83,514 |
* | Tech Data Corp. | 1,019,712 | 83,423 |
* | Dropbox Inc. Class A | 4,032,912 | 82,392 |
| Blackbaud Inc. | 1,296,397 | 81,543 |
* | ACI Worldwide Inc. | 2,926,934 | 80,988 |
* | FireEye Inc. | 4,988,070 | 80,857 |
* | Semtech Corp. | 1,752,484 | 80,386 |
* | Manhattan Associates Inc. | 1,742,409 | 73,826 |
* | Verint Systems Inc. | 1,728,595 | 73,137 |
* | 2U Inc. | 1,464,509 | 72,815 |
* | NCR Corp. | 3,140,685 | 72,487 |
| Science Applications International Corp. | 1,129,585 | 71,955 |
* | Cornerstone OnDemand Inc. | 1,399,426 | 70,573 |
| Cabot Microelectronics Corp. | 724,725 | 69,103 |
* | Finisar Corp. | 3,135,149 | 67,719 |
* | Qualys Inc. | 894,855 | 66,881 |
* | CommVault Systems Inc. | 1,113,345 | 65,788 |
* | Five9 Inc. | 1,482,752 | 64,826 |
| Perspecta Inc. | 3,726,073 | 64,163 |
* | Premier Inc. Class A | 1,696,211 | 63,353 |
| InterDigital Inc. | 925,169 | 61,459 |
* | Viavi Solutions Inc. | 6,053,510 | 60,838 |
*,^ | MongoDB Inc. | 709,395 | 59,405 |
* | Ellie Mae Inc. | 929,898 | 58,425 |
^ | Match Group Inc. | 1,355,756 | 57,986 |
* | Box Inc. | 3,403,874 | 57,457 |
* | Envestnet Inc. | 1,158,002 | 56,962 |
* | Alteryx Inc. Class A | 949,855 | 56,488 |
* | Bottomline Technologies DE Inc. | 1,144,216 | 54,922 |
* | Cirrus Logic Inc. | 1,603,790 | 53,214 |
* | Zscaler Inc. | 1,295,250 | 50,787 |
| Cogent Communications Holdings Inc. | 1,112,411 | 50,292 |
| Pegasystems Inc. | 1,047,138 | 50,085 |
* | Alarm.com Holdings Inc. | 955,378 | 49,555 |
| Brooks Automation Inc. | 1,880,571 | 49,233 |
* | Q2 Holdings Inc. | 972,269 | 48,176 |
* | EchoStar Corp. Class A | 1,297,555 | 47,646 |
* | NetScout Systems Inc. | 1,985,633 | 46,920 |
* | SailPoint Technologies Holding Inc. | 1,985,698 | 46,644 |
| Power Integrations Inc. | 737,494 | 44,972 |
* | Allscripts Healthcare Solutions Inc. | 4,643,594 | 44,764 |
* | Advanced Energy Industries Inc. | 1,028,729 | 44,163 |
* | Avaya Holdings Corp. | 2,911,682 | 42,394 |
| Progress Software Corp. | 1,182,936 | 41,982 |
* | NETGEAR Inc. | 796,714 | 41,453 |
* | Everbridge Inc. | 710,477 | 40,327 |
* | Varonis Systems Inc. | 747,796 | 39,558 |
* | Apptio Inc. Class A | 1,022,286 | 38,806 |
* | Blackline Inc. | 941,136 | 38,540 |
* | SPS Commerce Inc. | 465,388 | 38,339 |
^ | Ubiquiti Networks Inc. | 384,083 | 38,182 |
*,^ | Ceridian HCM Holding Inc. | 1,106,454 | 38,162 |
* | Insight Enterprises Inc. | 935,948 | 38,140 |
50
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Cloudera Inc. | 3,279,391 | 36,270 |
*,^ | Inphi Corp. | 1,104,989 | 35,525 |
* | Synaptics Inc. | 915,242 | 34,056 |
* | Diodes Inc. | 1,034,307 | 33,367 |
* | SendGrid Inc. | 761,723 | 32,884 |
* | Rapid7 Inc. | 1,027,744 | 32,024 |
* | Instructure Inc. | 838,016 | 31,434 |
* | Blucora Inc. | 1,172,050 | 31,223 |
* | MicroStrategy Inc. Class A | 240,400 | 30,711 |
* | Acacia Communications Inc. | 799,153 | 30,368 |
* | Vocera Communications Inc. | 766,727 | 30,171 |
* | Virtusa Corp. | 707,449 | 30,130 |
| Plantronics Inc. | 900,208 | 29,797 |
*,^ | 3D Systems Corp. | 2,903,549 | 29,529 |
| Pitney Bowes Inc. | 4,964,771 | 29,342 |
| TiVo Corp. | 3,084,039 | 29,021 |
* | Electronics For Imaging Inc. | 1,159,795 | 28,763 |
* | LivePerson Inc. | 1,503,108 | 28,349 |
* | MaxLinear Inc. | 1,601,262 | 28,182 |
* | FormFactor Inc. | 1,960,792 | 27,628 |
* | Hortonworks Inc. | 1,895,500 | 27,333 |
* | Tabula Rasa HealthCare Inc. | 428,501 | 27,321 |
| CSG Systems International Inc. | 847,606 | 26,928 |
* | Zuora Inc. Class A | 1,460,971 | 26,502 |
* | PROS Holdings Inc. | 838,957 | 26,343 |
* | Workiva Inc. | 718,304 | 25,780 |
| Ebix Inc. | 586,970 | 24,981 |
* | ePlus Inc. | 349,545 | 24,877 |
* | Pivotal Software Inc. Class A | 1,521,496 | 24,876 |
* | Appfolio Inc. | 404,016 | 23,926 |
*,^ | Benefitfocus Inc. | 518,045 | 23,685 |
| Xperi Corp. | 1,273,879 | 23,427 |
* | Cray Inc. | 1,068,029 | 23,059 |
* | Boingo Wireless Inc. | 1,115,106 | 22,938 |
* | Cision Ltd. | 1,927,388 | 22,550 |
* | ScanSource Inc. | 655,509 | 22,536 |
* | Altair Engineering Inc. Class A | 801,848 | 22,115 |
* | Lattice Semiconductor Corp. | 3,185,055 | 22,041 |
* | Carbonite Inc. | 853,682 | 21,564 |
* | Yext Inc. | 1,435,784 | 21,321 |
* | NextGen Healthcare Inc. | 1,368,007 | 20,725 |
| NIC Inc. | 1,637,460 | 20,435 |
* | ForeScout Technologies Inc. | 780,249 | 20,279 |
* | Infinera Corp. | 4,725,157 | 18,853 |
* | Extreme Networks Inc. | 3,059,283 | 18,662 |
* | Perficient Inc. | 827,035 | 18,410 |
*,^ | Appian Corp. Class A | 677,843 | 18,105 |
| Shutterstock Inc. | 500,507 | 18,023 |
* | Photronics Inc. | 1,748,545 | 16,926 |
* | Nanometrics Inc. | 617,655 | 16,880 |
| Monotype Imaging Holdings Inc. | 1,039,885 | 16,139 |
| Cohu Inc. | 1,001,961 | 16,101 |
* | Unisys Corp. | 1,331,348 | 15,484 |
* | Rudolph Technologies Inc. | 754,852 | 15,452 |
* | Amkor Technology Inc. | 2,353,828 | 15,441 |
* | Axcelis Technologies Inc. | 799,789 | 14,236 |
| Comtech Telecommunications Corp. | 563,804 | 13,723 |
*,^ | Elastic NV | 188,937 | 13,505 |
| ADTRAN Inc. | 1,238,362 | 13,300 |
* | Anaplan Inc. | 495,938 | 13,162 |
* | Calix Inc. | 1,276,368 | 12,445 |
| Presidio Inc. | 952,452 | 12,429 |
* | Upland Software Inc. | 454,865 | 12,363 |
* | CEVA Inc. | 545,479 | 12,050 |
51
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | Loral Space & Communications Inc. | 322,342 | 12,007 |
| Forrester Research Inc. | 265,275 | 11,858 |
* | Bandwidth Inc. Class A | 287,780 | 11,727 |
* | Endurance International Group Holdings Inc. | 1,692,086 | 11,252 |
* | Mitek Systems Inc. | 1,023,377 | 11,063 |
* | CalAmp Corp. | 844,747 | 10,990 |
* | OneSpan Inc. | 842,468 | 10,910 |
* | Rosetta Stone Inc. | 640,427 | 10,503 |
* | Harmonic Inc. | 2,173,682 | 10,260 |
| Computer Programs & Systems Inc. | 401,466 | 10,077 |
| QAD Inc. Class A | 255,442 | 10,047 |
*,^ | Ichor Holdings Ltd. | 607,864 | 9,908 |
| Hackett Group Inc. | 614,538 | 9,839 |
^ | ConvergeOne Holdings Inc. | 783,126 | 9,695 |
| Systemax Inc. | 392,738 | 9,382 |
* | ChannelAdvisor Corp. | 816,737 | 9,270 |
* | Quantenna Communications Inc. | 634,332 | 9,103 |
| PC Connection Inc. | 302,975 | 9,007 |
* | Casa Systems Inc. | 684,167 | 8,983 |
* | Zix Corp. | 1,526,903 | 8,749 |
* | Meet Group Inc. | 1,845,370 | 8,544 |
* | KeyW Holding Corp. | 1,268,967 | 8,489 |
| Switch Inc. | 1,212,436 | 8,487 |
* | Smartsheet Inc. Class A | 334,021 | 8,304 |
*,^ | Eventbrite Inc. Class A | 298,372 | 8,298 |
* | Agilysys Inc. | 578,517 | 8,296 |
* | Digi International Inc. | 816,590 | 8,239 |
* | Tenable Holdings Inc. | 363,299 | 8,062 |
* | Vectrus Inc. | 369,581 | 7,976 |
* | Brightcove Inc. | 1,127,529 | 7,938 |
*,^ | TransEnterix Inc. | 3,435,475 | 7,764 |
| American Software Inc. Class A | 734,558 | 7,676 |
* | DSP Group Inc. | 658,069 | 7,370 |
* | Ooma Inc. | 523,409 | 7,265 |
* | NeoPhotonics Corp. | 1,102,569 | 7,145 |
* | Immersion Corp. | 780,419 | 6,993 |
| Simulations Plus Inc. | 344,555 | 6,857 |
* | Amber Road Inc. | 828,513 | 6,819 |
* | PDF Solutions Inc. | 796,508 | 6,715 |
* | Alpha & Omega Semiconductor Ltd. | 647,896 | 6,602 |
* | Ribbon Communications Inc. | 1,344,720 | 6,482 |
* | Limelight Networks Inc. | 2,677,555 | 6,265 |
* | USA Technologies Inc. | 1,583,185 | 6,159 |
*,^ | SVMK Inc. | 491,275 | 6,028 |
* | PAR Technology Corp. | 271,140 | 5,897 |
* | Model N Inc. | 445,201 | 5,890 |
* | KVH Industries Inc. | 533,364 | 5,488 |
^ | Diebold Nixdorf Inc. | 2,174,945 | 5,416 |
* | I3 Verticals Inc. Class A | 224,048 | 5,400 |
*,^ | Inseego Corp. | 1,281,857 | 5,320 |
*,^ | Domo Inc. | 259,987 | 5,104 |
* | Aquantia Corp. | 537,227 | 4,711 |
* | AXT Inc. | 1,021,165 | 4,442 |
* | Telenav Inc. | 1,064,501 | 4,322 |
* | Aerohive Networks Inc. | 1,301,751 | 4,244 |
| Preformed Line Products Co. | 77,646 | 4,212 |
| AstroNova Inc. | 221,491 | 4,153 |
* | SecureWorks Corp. Class A | 236,021 | 3,986 |
* | MobileIron Inc. | 856,575 | 3,932 |
* | A10 Networks Inc. | 606,164 | 3,782 |
*,^ | VirnetX Holding Corp. | 1,536,400 | 3,687 |
* | Ultra Clean Holdings Inc. | 422,797 | 3,581 |
* | RigNet Inc. | 260,354 | 3,291 |
* | eGain Corp. | 486,960 | 3,199 |
52
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Adesto Technologies Corp. | 716,531 | 3,153 |
* | EMCORE Corp. | 727,792 | 3,057 |
* | Clearfield Inc. | 305,057 | 3,026 |
* | Telaria Inc. | 1,104,370 | 3,015 |
* | Tucows Inc. Class A | 49,142 | 2,951 |
*,^ | Internap Corp. | 679,210 | 2,819 |
* | VOXX International Corp. Class A | 703,399 | 2,785 |
* | Rambus Inc. | 362,634 | 2,781 |
* | Pixelworks Inc. | 954,893 | 2,769 |
* | Exela Technologies Inc. | 711,591 | 2,768 |
* | DASAN Zhone Solutions Inc. | 188,838 | 2,627 |
* | GSI Technology Inc. | 465,560 | 2,393 |
* | SharpSpring Inc. | 185,762 | 2,365 |
* | ID Systems Inc. | 417,726 | 2,335 |
*,^ | Airgain Inc. | 223,147 | 2,211 |
*,^ | Park City Group Inc. | 368,561 | 2,200 |
* | Great Elm Capital Group Inc. | 624,106 | 2,109 |
* | ACM Research Inc. Class A | 193,846 | 2,109 |
*,^ | Applied Optoelectronics Inc. | 132,326 | 2,042 |
| TESSCO Technologies Inc. | 159,219 | 1,911 |
| TransAct Technologies Inc. | 211,460 | 1,899 |
*,^ | Everspin Technologies Inc. | 322,450 | 1,809 |
*,^ | Fusion Connect Inc. | 1,071,837 | 1,801 |
* | Amtech Systems Inc. | 385,770 | 1,748 |
* | Key Tronic Corp. | 304,070 | 1,718 |
* | NetSol Technologies Inc. | 277,534 | 1,707 |
| GlobalSCAPE Inc. | 378,890 | 1,697 |
* | Rimini Street Inc. | 325,063 | 1,674 |
* | Computer Task Group Inc. | 407,746 | 1,664 |
* | LRAD Corp. | 644,065 | 1,623 |
* | Aviat Networks Inc. | 122,447 | 1,622 |
* | Finjan Holdings Inc. | 639,801 | 1,606 |
* | RumbleON Inc. Class B | 295,778 | 1,591 |
* | inTEST Corp. | 241,044 | 1,478 |
* | Aware Inc. | 406,847 | 1,469 |
* | Support.com Inc. | 561,252 | 1,381 |
*,^ | Impinj Inc. | 90,225 | 1,313 |
* | Seachange International Inc. | 1,040,931 | 1,312 |
* | Synacor Inc. | 885,396 | 1,310 |
*,^ | QuickLogic Corp. | 1,644,442 | 1,207 |
| QAD Inc. Class B | 39,531 | 1,167 |
* | Majesco | 157,868 | 1,119 |
* | Identiv Inc. | 308,510 | 1,111 |
*,^ | Veritone Inc. | 270,146 | 1,027 |
* | Innodata Inc. | 643,214 | 965 |
* | Lantronix Inc. | 311,918 | 917 |
* | WideOpenWest Inc. | 125,680 | 896 |
* | Data I/O Corp. | 173,820 | 869 |
*,^ | Smith Micro Software Inc. | 471,123 | 848 |
| Wayside Technology Group Inc. | 83,158 | 832 |
*,^ | Atomera Inc. | 284,266 | 816 |
* | Alithya Group Inc. Class A | 326,419 | 774 |
*,^ | nLight Inc. | 41,105 | 731 |
* | Intelligent Systems Corp. | 52,948 | 684 |
* | Aehr Test Systems | 428,242 | 604 |
*,^ | Red Violet Inc. | 87,451 | 589 |
* | CynergisTek Inc. | 110,248 | 523 |
* | Mastech Digital Inc. | 82,130 | 517 |
* | RCM Technologies Inc. | 159,911 | 496 |
| BK Technologies Inc. | 131,368 | 493 |
* | WidePoint Corp. | 1,141,609 | 476 |
* | Kopin Corp. | 475,143 | 475 |
* | Neurotrope Inc. | 132,689 | 474 |
| CSP Inc. | 46,940 | 459 |
53
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
* | GSE Systems Inc. | 209,878 | 441 |
*,^ | Intellicheck Inc. | 196,842 | 421 |
*,^ | SITO Mobile Ltd. | 442,391 | 398 |
* | Icad Inc. | 102,068 | 378 |
* | Avalara Inc. | 11,995 | 374 |
| Network-1 Technologies Inc. | 160,430 | 358 |
* | BSQUARE Corp. | 220,173 | 341 |
* | Inuvo Inc. | 275,566 | 295 |
* | Intermolecular Inc. | 237,326 | 240 |
| ClearOne Inc. | 190,824 | 239 |
* | Optical Cable Corp. | 54,796 | 209 |
* | Castlight Health Inc. Class B | 94,575 | 205 |
*,^ | Ominto Inc. | 265,206 | 183 |
* | FTE Networks Inc. | 76,480 | 179 |
*,^ | Gogo Inc. | 53,600 | 160 |
* | One Stop Systems Inc. | 82,010 | 159 |
* | Digimarc Corp. | 9,978 | 145 |
* | AudioEye Inc. | 14,532 | 124 |
*,^ | NXT-ID Inc. | 175,954 | 120 |
* | CVD Equipment Corp. | 21,000 | 75 |
* | Xcel Brands Inc. | 38,685 | 44 |
* | ADDvantage Technologies Group Inc. | 29,519 | 41 |
* | Trio-Tech International | 15,252 | 38 |
* | Qumu Corp. | 15,217 | 29 |
* | BroadVision Inc. | 20,868 | 24 |
* | Qualstar Corp. | 4,300 | 23 |
* | Quantum Corp. | 6,550 | 13 |
* | Streamline Health Solutions Inc. | 16,133 | 12 |
* | SilverSun Technologies Inc. | 2,301 | 5 |
| Sigma Designs Inc. | 33,890 | 5 |
*,^ | Neonode Inc. | 1 | — |
| | | 129,856,855 |
Telecommunications (2.0%) | | |
| Verizon Communications Inc. | 110,381,847 | 6,205,667 |
| AT&T Inc. | 194,426,250 | 5,548,925 |
* | T-Mobile US Inc. | 7,923,046 | 503,985 |
| CenturyLink Inc. | 25,951,362 | 393,163 |
* | Zayo Group Holdings Inc. | 5,364,348 | 122,522 |
*,^ | Sprint Corp. | 16,251,487 | 94,584 |
| Telephone & Data Systems Inc. | 2,527,027 | 82,229 |
| Shenandoah Telecommunications Co. | 1,240,394 | 54,887 |
* | Vonage Holdings Corp. | 5,774,774 | 50,414 |
* | Intelsat SA | 2,197,609 | 47,007 |
* | Iridium Communications Inc. | 2,518,809 | 46,472 |
* | 8x8 Inc. | 2,427,820 | 43,798 |
*,^ | GTT Communications Inc. | 1,169,509 | 27,671 |
* | United States Cellular Corp. | 418,682 | 21,759 |
| ATN International Inc. | 273,281 | 19,548 |
* | ORBCOMM Inc. | 1,999,068 | 16,512 |
* | pdvWireless Inc. | 336,231 | 12,572 |
| Spok Holdings Inc. | 648,636 | 8,601 |
*,^ | Pareteum Corp. | 2,327,685 | 3,934 |
| Consolidated Communications Holdings Inc. | 387,885 | 3,832 |
* | HC2 Holdings Inc. | 1,293,005 | 3,414 |
| IDT Corp. Class B | 458,358 | 2,837 |
^ | Windstream Holdings Inc. | 1,198,699 | 2,505 |
* | Alaska Communications Systems Group Inc. | 1,208,737 | 1,741 |
* | Otelco Inc. Class A | 54,117 | 875 |
* | CPS Technologies Corp. | 97,017 | 115 |
* | Cincinnati Bell Inc. | 2,660 | 21 |
| | | 13,319,590 |
Utilities (3.3%) | | |
| NextEra Energy Inc. | 12,766,495 | 2,219,072 |
| Duke Energy Corp. | 19,038,397 | 1,643,014 |
54
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
| Dominion Energy Inc. | 17,543,347 | 1,253,648 |
| Southern Co. | 27,095,393 | 1,190,030 |
| Exelon Corp. | 25,778,869 | 1,162,627 |
| American Electric Power Co. Inc. | 13,165,344 | 983,978 |
| Sempra Energy | 6,944,944 | 751,373 |
| Public Service Enterprise Group Inc. | 13,503,550 | 702,860 |
| Xcel Energy Inc. | 13,709,331 | 675,459 |
| Consolidated Edison Inc. | 8,685,562 | 664,098 |
| WEC Energy Group Inc. | 8,426,412 | 583,613 |
| Eversource Energy | 8,463,740 | 550,482 |
| PPL Corp. | 19,227,679 | 544,720 |
| DTE Energy Co. | 4,855,381 | 535,548 |
| FirstEnergy Corp. | 13,657,268 | 512,830 |
| Edison International | 8,708,798 | 494,398 |
| American Water Works Co. Inc. | 4,823,296 | 437,811 |
| Ameren Corp. | 6,515,787 | 425,025 |
| Entergy Corp. | 4,824,531 | 415,247 |
| Evergy Inc. | 7,100,082 | 403,072 |
| CenterPoint Energy Inc. | 13,389,768 | 377,993 |
| CMS Energy Corp. | 7,555,427 | 375,127 |
* | PG&E Corp. | 13,844,520 | 328,807 |
| NRG Energy Inc. | 7,341,722 | 290,732 |
| Atmos Energy Corp. | 2,991,182 | 277,342 |
* | Alliant Energy Corp. | 6,280,486 | 265,351 |
| AES Corp. | 17,613,693 | 254,694 |
| Pinnacle West Capital Corp. | 2,977,580 | 253,690 |
| NiSource Inc. | 9,849,815 | 249,693 |
| UGI Corp. | 4,662,022 | 248,719 |
* | Vistra Energy Corp. | 10,751,315 | 246,098 |
| SCANA Corp. | 3,735,180 | 178,467 |
| Aqua America Inc. | 4,742,100 | 162,132 |
| Vectren Corp. | 2,207,935 | 158,927 |
| IDACORP Inc. | 1,346,799 | 125,333 |
| ONE Gas Inc. | 1,399,718 | 111,418 |
| New Jersey Resources Corp. | 2,388,996 | 109,105 |
| Portland General Electric Co. | 2,373,720 | 108,835 |
| Hawaiian Electric Industries Inc. | 2,908,845 | 106,522 |
| ALLETE Inc. | 1,370,566 | 104,465 |
| National Fuel Gas Co. | 2,010,727 | 102,909 |
| Southwest Gas Holdings Inc. | 1,331,482 | 101,858 |
| Black Hills Corp. | 1,596,779 | 100,246 |
| Spire Inc. | 1,301,899 | 96,445 |
| PNM Resources Inc. | 2,126,465 | 87,376 |
| Avangrid Inc. | 1,683,599 | 84,331 |
| NorthWestern Corp. | 1,339,214 | 79,603 |
| Avista Corp. | 1,747,366 | 74,228 |
| American States Water Co. | 966,006 | 64,761 |
| South Jersey Industries Inc. | 2,288,870 | 63,631 |
| California Water Service Group | 1,270,275 | 60,541 |
| Ormat Technologies Inc. | 1,077,708 | 56,364 |
| MGE Energy Inc. | 932,888 | 55,936 |
| El Paso Electric Co. | 1,088,153 | 54,549 |
| Pattern Energy Group Inc. Class A | 2,615,141 | 48,694 |
| Northwest Natural Holding Co. | 773,167 | 46,746 |
| SJW Group | 650,990 | 36,208 |
| Chesapeake Utilities Corp. | 417,582 | 33,949 |
* | Sunrun Inc. | 2,510,364 | 27,338 |
| Middlesex Water Co. | 412,408 | 22,002 |
| Connecticut Water Service Inc. | 322,275 | 21,550 |
| Unitil Corp. | 390,136 | 19,756 |
| TerraForm Power Inc. Class A | 1,676,182 | 18,807 |
* | Evoqua Water Technologies Corp. | 1,810,184 | 17,378 |
| York Water Co. | 349,426 | 11,203 |
| Artesian Resources Corp. Class A | 240,336 | 8,380 |
55
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2018
| | Shares | Market Value ($000) |
*,^ | Cadiz Inc. | 799,055 | 8,230 |
* | Atlantic Power Corp. | 3,317,157 | 7,198 |
* | AquaVenture Holdings Ltd. | 354,799 | 6,702 |
| RGC Resources Inc. | 176,687 | 5,294 |
* | Pure Cycle Corp. | 497,626 | 4,941 |
*,^ | Bloom Energy Corp. Class A | 458,981 | 4,581 |
*,^ | Vivint Solar Inc. | 1,081,504 | 4,121 |
| Spark Energy Inc. Class A | 334,801 | 2,488 |
| Genie Energy Ltd. Class B | 383,069 | 2,310 |
| | | 21,923,009 |
Total Common Stocks (Cost $473,160,255) | | 668,274,743 |
| | | | | |
| | Coupon | | | |
Temporary Cash Investments (0.9%)1 | | | | |
Money Market Fund (0.9%) | | | | |
3,4 | Vanguard Market Liquidity Fund | 2.530% | | 56,919,051 | 5,691,905 |
| | | | | |
| | | Maturity
Date | Face Amount ($000) | |
U.S. Government and Agency Obligations (0.0%) | | | |
5 | United States Treasury Bill | 2.350%-2.361% | 3/21/19 | 80,000 | 79,598 |
5 | United States Treasury Bill | 2.432%-2.451% | 4/18/19 | 70,000 | 69,509 |
| United States Treasury Bill | 2.077% | 1/3/19 | 40,000 | 39,998 |
| United States Treasury Bill | 2.374% | 3/7/19 | 35,000 | 34,853 |
5 | United States Treasury Bill | 2.292% | 2/28/19 | 30,000 | 29,888 |
5 | United States Treasury Bill | 2.292% | 2/21/19 | 10,000 | 9,967 |
| | | | | 263,813 |
Total Temporary Cash Investments (Cost $5,955,110) | | | 5,955,718 |
Total Investments (100.3%) (Cost $479,115,365) | | | | 674,230,461 |
Other Assets and Liabilities—Net (-0.3%)4,6 | | | | (2,034,797) |
Net Assets (100%) | | | | 672,195,664 |
* | Non-income-producing security. |
^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,480,929,000. |
§ | Security value determined using significant unobservable inputs. |
1 | The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and swap contracts. After giving effect to futures and swap investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. |
2 | “Other” represents securities that are not classified by the fund’s benchmark index. |
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 | Includes $2,633,559,000 of collateral received for securities on loan. |
5 | Securities with a value of $186,579,000 have been segregated as initial margin for open futures contracts. |
6 | Cash with a value of $2,650,000 has been segregated as collateral for open over-the-counter swap contracts. |
| ADR—American Depositary Receipt. |
| CVR—Contingent Value Rights. |
| REIT—Real Estate Investment Trust. |
56
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| © 2018 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| |
| SNA850 022019 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of net assets—investments summary of Vanguard Small-Cap Index Fund, Vanguard Small-Cap Growth Index Fund and Vanguard Small-Cap Value Index Fund (three of the funds constituting Vanguard Index Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2018, the related statements of operations for the year ended December 31, 2018, the statements of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2018 (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) as of December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2018 and each of the financial highlights for each of the five years in the period ended December 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
February 14, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Extended Market Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Extended Market Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the “Fund”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statement of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Vanguard Index Funds and Shareholders of Vanguard Total Stock Market Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of net assets—investments summary of Vanguard Total Stock Market Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the “Fund”) as of December 31, 2018, the related statement of operations for the year ended December 31, 2018, the statement of changes in net assets for each of the two years in the period ended December 31, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (included in Item 1 of this Form N-CSR) and the schedule of investments (included in Item 6 of this Form N-CSR) as of December 31, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2018 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2018 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
February 13, 2019
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
PricewaterhouseCoopers LLP, Two Commerce Square, Suite 1800, 2001 Market Street, Philadelphia, PA 19103-7042 T: (267) 330 3000, F: (267) 330 3300, www.pwc.com/us |
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not Applicable.
Item 13: Exhibits.
(a) Code of Ethics.
(b) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| VANGUARD INDEX FUNDS |
| |
BY: | /s/ MORTIMER J. BUCKLEY* | |
| | |
| MORTIMER J. BUCKLEY | |
| CHIEF EXECUTIVE OFFICER | |
Date: February 19, 2019
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| VANGUARD INDEX FUNDS |
| |
BY: | /s/ MORTIMER J. BUCKLEY * | |
| | |
| MORTIMER J. BUCKLEY | |
| CHIEF EXECUTIVE OFFICER | |
|
Date: February 19, 2019 |
|
| VANGUARD INDEX FUNDS |
| |
BY: | /s/ THOMAS J. HIGGINS* | |
| | |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| |
Date: February 19, 2019 | |
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 see file Number 33-32216, Incorporated by Reference.
