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, 2019—December 31, 2019
Item 1:Reports to Shareholders
Annual Report | December 31, 2019 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 Chairman | 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 Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 23, 2020
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2019, Vanguard 500 Index Fund returned 31.33% for Investor Shares and 31.46% for Admiral Shares, closely tracking its target index, the Standard & Poor’s 500 Index. The fund provides exposure to the stocks of the largest U.S. companies.
· The broad U.S. stock market returned about 31%. Growth stocks outperformed value; large-capitalization stocks bested small- and mid-caps.
· All 11 fund sectors posted double-digit returns. Information technology and financials were the best performers; energy posted the smallest return.
· For the ten years ended December 31, 2019, the 500 Index Fund posted an average annual return of more than 13%, in line with its target index.
| Market Barometer | | | | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | One Year | | Three Years | | Five Years | |
| Stocks | | | | | | | | | | |
| Russell 1000 Index (Large-caps) | | | 31.43 | % | | | 15.05 | % | | | 11.48 | % | |
| Russell 2000 Index (Small-caps) | | | 25.53 | | | | 8.59 | | | | 8.23 | | |
| Russell 3000 Index (Broad U.S. market) | | | 31.02 | | | | 14.57 | | | | 11.24 | | |
| FTSE All-World ex US Index (International) | | | 21.81 | | | | 9.96 | | | | 5.83 | | |
| | | | | | | | | | | | | | |
| Bonds | | | | | | | | | | | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | | | 8.72 | % | | | 4.03 | % | | | 3.05 | % | |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | | | 7.54 | | | | 4.72 | | | | 3.53 | | |
| FTSE Three-Month U.S. Treasury Bill Index | | | 2.25 | | | | 1.65 | | | | 1.04 | | |
| | | | | | | | | | | | | | |
| CPI | | | | | | | | | | | | | |
| Consumer Price Index | | | 2.29 | % | | | 2.10 | % | | | 1.82 | % | |
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 compareongoingcosts 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, 2019 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| 500 Index Fund | 6/30/2019 | 12/31/2019 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $1,108.53 | $0.74 |
| ETF Shares | 1,000.00 | 1,109.13 | 0.16 |
| Admiral™ Shares | 1,000.00 | 1,109.09 | 0.21 |
| Institutional Select Shares | 1,000.00 | 1,109.22 | 0.05 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| 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, 0.03% 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | 500 Index Fund Investor Shares | 31.33% | 11.55% | 13.40% | $35,166 |
 | S&P 500 Index | 31.49 | 11.70 | 13.56 | 35,666 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | | |
| | | | | | |
| | | | | Since | Final Value |
| | | One | Five | Inception | of a $10,000 |
| | | Year | Years | (9/7/2010) | Investment |
| 500 Index Fund ETF Shares Net Asset Value | 31.46% | 11.66% | 14.68% | $35,820 |
| 500 Index Fund ETF Shares Market Price | 31.47% | 11.66% | 14.68% | 35,816 |
| S&P 500 Index | 31.49 | 11.70 | 14.72 | 35,929 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 14.46 | 35,193 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
See Financial Highlights for dividend and capital gains information.
500 Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| 500 Index Fund Admiral Shares | 31.46% | 11.66% | 13.52% | $35,555 |
| S&P 500 Index | 31.49 | 11.70 | 13.56 | 35,666 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | Since | Final Value |
| | One | Inception | of a $5,000,000,000 |
| | Year | (6/24/2016) | Investment |
| 500 Index Fund Institutional Select Shares | 31.49% | 16.31% | $8,509,172,500 |
| S&P 500 Index | 31.49 | 16.31 | 8,509,582,500 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 15.92 | 8,408,617,000 |
“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: September 7, 2010, Through December 31, 2019
| | | | Since |
| | One | Five | Inception |
| | Year | Years | (9/7/2010) |
| 500 Index Fund ETF Shares Market Price | 31.47% | 73.56% | 258.16% |
| 500 Index Fund ETF Shares Net Asset Value | 31.46 | 73.59 | 258.20 |
| S&P 500 Index | 31.49 | 73.86 | 259.29 |
“Since Inception” performance is calculated from the ETF Shares’ inception date for both the fund and its comparative standard(s).
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, 2019
| Communication Services | 10.4% |
| Consumer Discretionary | 9.8 |
| Consumer Staples | 7.2 |
| Energy | 4.3 |
| Financials | 12.9 |
| Health Care | 14.2 |
| Industrials | 9.1 |
| Information Technology | 23.2 |
| Materials | 2.7 |
| Real Estate | 2.9 |
| 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, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.6%)1 | | | | |
| Communication Services (10.4%) | | | |
| * | Facebook Inc. Class A | 48,078,340 | | 9,868,079 | |
| * | Alphabet Inc. Class C | 6,002,846 | | 8,025,925 | |
| * | Alphabet Inc. Class A | 5,954,681 | | 7,975,640 | |
| | AT&T Inc. | 145,944,171 | | 5,703,498 | |
| | Walt Disney Co. | 36,009,551 | | 5,208,061 | |
| | Verizon Communications Inc. | 82,627,245 | | 5,073,313 | |
| | Comcast Corp. Class A | 90,698,490 | | 4,078,711 | |
| * | Netflix Inc. | 8,755,704 | | 2,833,083 | |
| * | Charter Communications Inc. Class A | 3,132,400 | | 1,519,465 | |
| | Activision Blizzard Inc. | 15,349,099 | | 912,043 | |
| * | Electronic Arts Inc. | 5,833,495 | | 627,159 | |
| * | Twitter Inc. | 15,511,210 | | 497,134 | |
| * | T-Mobile US Inc. | 6,325,054 | | 496,011 | |
| | ViacomCBS Inc. Class B | 10,796,549 | | 453,131 | |
| | Omnicom Group Inc. | 4,349,920 | | 352,431 | |
| * | Take-Two Interactive Software Inc. | 2,260,550 | | 276,759 | |
| | CenturyLink Inc. | 19,596,460 | | 258,869 | |
| | Fox Corp. Class A | 6,956,001 | | 257,859 | |
| * | Discovery Communications Inc. | 6,697,848 | | 204,217 | |
| * | Live Nation Entertainment Inc. | 2,815,412 | | 201,218 | |
| * | DISH Network Corp. Class A | 5,118,903 | | 181,568 | |
| | Interpublic Group of Cos. Inc. | 7,753,427 | | 179,104 | |
| | News Corp. Class A | 10,224,394 | | 144,573 | |
| | Fox Corp. Class B | 3,374,370 | | 122,827 | |
| *,^ | Discovery Communications Inc. Class A | 3,161,962 | | 103,523 | |
| | News Corp. Class B | 14,719 | | 214 | |
| | | | | 55,554,415 | |
| Consumer Discretionary (9.7%) | | | |
| * | Amazon.com Inc. | 8,320,475 | | 15,374,906 | |
| | Home Depot Inc. | 21,793,574 | | 4,759,281 | |
| | McDonald’s Corp. | 15,045,702 | | 2,973,181 | |
| | NIKE Inc. Class B | 24,893,311 | | 2,521,941 | |
| | Starbucks Corp. | 23,594,837 | | 2,074,458 | |
| | Lowe’s Cos. Inc. | 15,313,181 | | 1,833,906 | |
| * | Booking Holdings Inc. | 836,237 | | 1,717,405 | |
| | TJX Cos. Inc. | 24,228,458 | | 1,479,390 | |
| | Target Corp. | 10,124,048 | | 1,298,004 | |
| | General Motors Co. | 25,121,208 | | 919,436 | |
| | Ross Stores Inc. | 7,227,513 | | 841,427 | |
| | Marriott International Inc. Class A | 5,421,346 | | 820,954 | |
| | Dollar General Corp. | 5,086,811 | | 793,441 | |
| | Ford Motor Co. | 77,800,367 | | 723,543 | |
| * | O’Reilly Automotive Inc. | 1,511,710 | | 662,522 | |
| | VF Corp. | 6,542,153 | | 651,991 | |
| | Hilton Worldwide Holdings Inc. | 5,637,338 | | 625,237 | |
| | Yum! Brands Inc. | 6,042,797 | | 608,691 | |
| * | AutoZone Inc. | 476,063 | | 567,139 | |
| | eBay Inc. | 15,278,590 | | 551,710 | |
| | Aptiv plc | 5,099,159 | | 484,267 | |
| | Las Vegas Sands Corp. | 6,753,588 | | 466,268 | |
| | Royal Caribbean Cruises Ltd. | 3,434,415 | | 458,529 | |
| * | Dollar Tree Inc. | 4,728,312 | | 444,698 | |
| * | Chipotle Mexican Grill Inc. Class A | 510,874 | | 427,658 | |
| | Carnival Corp. | 8,002,640 | | 406,774 | |
| | Best Buy Co. Inc. | 4,549,948 | | 399,485 | |
| | DR Horton Inc. | 6,697,316 | | 353,283 | |
| | MGM Resorts International | 10,288,041 | | 342,283 | |
| | Lennar Corp. Class A | 5,530,504 | | 308,547 | |
| | Genuine Parts Co. | 2,902,533 | | 308,336 | |
| | Expedia Group Inc. | 2,791,452 | | 301,868 | |
| * | Ulta Beauty Inc. | 1,141,735 | | 289,019 | |
| | Tiffany & Co. | 2,156,263 | | 288,184 | |
| * | CarMax Inc. | 3,284,497 | | 287,952 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Garmin Ltd. | 2,885,836 | | 281,542 | |
| | Hasbro Inc. | 2,541,734 | | 268,432 | |
| | Wynn Resorts Ltd. | 1,930,782 | | 268,128 | |
| | Darden Restaurants Inc. | 2,449,460 | | 267,016 | |
| * | NVR Inc. | 69,374 | | 264,205 | |
| * | Norwegian Cruise Line Holdings Ltd. | 4,248,928 | | 248,180 | |
| | Advance Auto Parts Inc. | 1,382,866 | | 221,480 | |
| | Tractor Supply Co. | 2,364,156 | | 220,907 | |
| * | LKQ Corp. | 6,119,519 | | 218,467 | |
| | PulteGroup Inc. | 5,086,438 | | 197,354 | |
| | Whirlpool Corp. | 1,262,505 | | 186,257 | |
| | BorgWarner Inc. | 4,123,225 | | 178,865 | |
| * | Mohawk Industries Inc. | 1,188,594 | | 162,100 | |
| | Kohl’s Corp. | 3,130,772 | | 159,513 | |
| | PVH Corp. | 1,482,806 | | 155,917 | |
| | Tapestry Inc. | 5,518,437 | | 148,832 | |
| | Newell Brands Inc. | 7,619,920 | | 146,455 | |
| | Leggett & Platt Inc. | 2,628,436 | | 133,603 | |
| | Ralph Lauren Corp. Class A | 994,878 | | 116,620 | |
| * | Capri Holdings Ltd. | 3,025,940 | | 115,440 | |
| | Harley-Davidson Inc. | 3,085,691 | | 114,757 | |
| | Hanesbrands Inc. | 7,217,491 | | 107,180 | |
| ^ | Macy’s Inc. | 6,167,042 | | 104,840 | |
| | H&R Block Inc. | 3,904,021 | | 91,666 | |
| ^ | Nordstrom Inc. | 2,140,062 | | 87,593 | |
| | L Brands Inc. | 4,634,924 | | 83,985 | |
| *,^ | Under Armour Inc. Class A | 3,759,499 | | 81,205 | |
| | Gap Inc. | 4,246,698 | | 75,082 | |
| * | Under Armour Inc. Class C | 3,895,616 | | 74,718 | |
| | Lennar Corp. Class B | 76,975 | | 3,441 | |
| | Wyndham Hotels & Resorts Inc. | 216 | | 14 | |
| | | | | 52,149,508 | |
| Consumer Staples (7.2%) | | | | |
| | Procter & Gamble Co. | 49,822,758 | | 6,222,862 | |
| | Coca-Cola Co. | 77,038,774 | | 4,264,096 | |
| | PepsiCo Inc. | 27,859,199 | | 3,807,517 | |
| | Walmart Inc. | 28,341,236 | | 3,368,072 | |
| | Philip Morris International Inc. | 31,084,153 | | 2,644,951 | |
| | Costco Wholesale Corp. | 8,826,305 | | 2,594,227 | |
| | Altria Group Inc. | 37,322,494 | | 1,862,766 | |
| | Mondelez International Inc. Class A | 28,766,454 | | 1,584,456 | |
| | Colgate-Palmolive Co. | 17,122,147 | | 1,178,689 | |
| | Kimberly-Clark Corp. | 6,848,725 | | 942,042 | |
| | Estee Lauder Cos. Inc. Class A | 4,446,217 | | 918,322 | |
| | Walgreens Boots Alliance Inc. | 14,978,870 | | 883,154 | |
| | Sysco Corp. | 10,194,074 | | 872,001 | |
| | General Mills Inc. | 12,075,709 | | 646,775 | |
| | Constellation Brands Inc. Class A | 3,346,471 | | 634,993 | |
| | Tyson Foods Inc. Class A | 5,897,700 | | 536,927 | |
| | Archer-Daniels-Midland Co. | 11,122,109 | | 515,510 | |
| * | Monster Beverage Corp. | 7,627,279 | | 484,714 | |
| | Kroger Co. | 16,023,200 | | 464,512 | |
| | Hershey Co. | 2,963,280 | | 435,543 | |
| | McCormick & Co. Inc. | 2,468,920 | | 419,050 | |
| | Kraft Heinz Co. | 12,441,928 | | 399,759 | |
| | Clorox Co. | 2,508,094 | | 385,093 | |
| | Church & Dwight Co. Inc. | 4,902,615 | | 344,850 | |
| | Kellogg Co. | 4,974,490 | | 344,036 | |
| | Conagra Brands Inc. | 9,721,921 | | 332,879 | |
| | Lamb Weston Holdings Inc. | 2,917,104 | | 250,958 | |
| | Hormel Foods Corp. | 5,553,122 | | 250,501 | |
| | Brown-Forman Corp. Class B | 3,638,510 | | 245,963 | |
| | JM Smucker Co. | 2,277,688 | | 237,176 | |
| | Molson Coors Brewing Co. Class B | 3,750,677 | | 202,161 | |
| | Campbell Soup Co. | 3,377,907 | | 166,936 | |
| | Coty Inc. Class A | 5,917,659 | | 66,574 | |
| | | 38,508,065 | |
| Energy (4.3%) | | | | |
| | Exxon Mobil Corp. | 84,531,321 | | 5,898,595 | |
| | Chevron Corp. | 37,777,089 | | 4,552,517 | |
| | ConocoPhillips | 21,922,200 | | 1,425,601 | |
| | Schlumberger Ltd. | 27,655,010 | | 1,111,731 | |
| | Phillips 66 | 8,877,794 | | 989,075 | |
| | EOG Resources Inc. | 11,623,086 | | 973,550 | |
| | Kinder Morgan Inc. | 38,915,707 | | 823,845 | |
| | Marathon Petroleum Corp. | 12,972,675 | | 781,604 | |
| | Valero Energy Corp. | 8,204,342 | | 768,337 | |
| | Occidental Petroleum Corp. | 17,847,170 | | 735,482 | |
| | ONEOK Inc. | 8,252,965 | | 624,502 | |
| | Williams Cos. Inc. | 24,214,885 | | 574,377 | |
| | Pioneer Natural Resources Co. | 3,309,436 | | 500,949 | |
| | Halliburton Co. | 17,534,720 | | 429,075 | |
| | Concho Resources Inc. | 4,016,132 | | 351,693 | |
| | Hess Corp. | 5,174,215 | | 345,689 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Baker Hughes a GE Co. Class A | 12,982,022 | | 332,729 | |
| | Diamondback Energy Inc. | 3,218,716 | | 298,890 | |
| | Noble Energy Inc. | 9,551,428 | | 237,257 | |
| | Marathon Oil Corp. | 15,987,997 | | 217,117 | |
| | Devon Energy Corp. | 7,726,798 | | 200,665 | |
| | National Oilwell Varco Inc. | 7,714,110 | | 193,238 | |
| | Apache Corp. | 7,507,518 | | 192,117 | |
| | TechnipFMC plc | 8,402,415 | | 180,148 | |
| | HollyFrontier Corp. | 2,968,914 | | 150,554 | |
| | Cabot Oil & Gas Corp. | 8,156,285 | | 142,001 | |
| | Cimarex Energy Co. | 2,035,871 | | 106,863 | |
| | Helmerich & Payne Inc. | 2,168,582 | | 98,519 | |
| | | | | 23,236,720 | |
| Financials (12.9%) | | | | |
| | JPMorgan Chase & Co. | 62,062,679 | | 8,651,537 | |
| * | Berkshire Hathaway Inc. Class B | 37,955,056 | | 8,596,820 | |
| | Bank of America Corp. | 161,738,061 | | 5,696,415 | |
| | Wells Fargo & Co. | 76,891,733 | | 4,136,775 | |
| | Citigroup Inc. | 43,617,178 | | 3,484,576 | |
| | US Bancorp | 28,395,124 | | 1,683,547 | |
| | American Express Co. | 13,405,212 | | 1,668,815 | |
| | Truist Financial Corp. | 26,792,412 | | 1,508,949 | |
| | Goldman Sachs Group Inc. | 6,366,570 | | 1,463,865 | |
| | CME Group Inc. | 7,159,516 | | 1,437,058 | |
| | Chubb Ltd. | 9,054,188 | | 1,409,375 | |
| | PNC Financial Services Group Inc. | 8,753,871 | | 1,397,380 | |
| | S&P Global Inc. | 4,882,724 | | 1,333,228 | |
| | Morgan Stanley | 24,575,939 | | 1,256,322 | |
| | BlackRock Inc. | 2,355,962 | | 1,184,342 | |
| | Marsh & McLennan Cos. Inc. | 10,082,238 | | 1,123,262 | |
| | Charles Schwab Corp. | 22,840,974 | | 1,086,317 | |
| | Intercontinental Exchange Inc. | 11,124,969 | | 1,029,616 | |
| | Aon plc | 4,677,547 | | 974,286 | |
| | Capital One Financial Corp. | 9,304,588 | | 957,535 | |
| | American International Group Inc. | 17,380,000 | | 892,115 | |
| | Progressive Corp. | 11,680,007 | | 845,516 | |
| | Bank of New York Mellon Corp. | 16,765,741 | | 843,820 | |
| | MetLife Inc. | 15,616,511 | | 795,974 | |
| | Aflac Inc. | 14,664,166 | | 775,734 | |
| | Moody’s Corp. | 3,243,782 | | 770,106 | |
| | Prudential Financial Inc. | 8,031,123 | | 752,837 | |
| | Allstate Corp. | 6,472,176 | | 727,796 | |
| | Travelers Cos. Inc. | 5,156,548 | | 706,189 | |
| | State Street Corp. | 7,264,697 | | 574,638 | |
| | T. Rowe Price Group Inc. | 4,668,492 | | 568,809 | |
| | Discover Financial Services | 6,263,015 | | 531,229 | |
| | Willis Towers Watson plc | 2,568,757 | | 518,735 | |
| | Northern Trust Corp. | 4,233,048 | | 449,719 | |
| | M&T Bank Corp. | 2,636,357 | | 447,522 | |
| | Hartford Financial Services Group Inc. | 7,200,813 | | 437,593 | |
| | MSCI Inc. Class A | 1,692,305 | | 436,919 | |
| | Fifth Third Bancorp | 14,178,584 | | 435,850 | |
| | Synchrony Financial | 11,878,359 | | 427,740 | |
| | Ameriprise Financial Inc. | 2,531,190 | | 421,646 | |
| | KeyCorp | 19,678,988 | | 398,303 | |
| | Arthur J Gallagher & Co. | 3,726,037 | | 354,831 | |
| | Citizens Financial Group Inc. | 8,684,917 | | 352,695 | |
| | Regions Financial Corp. | 19,271,032 | | 330,691 | |
| | Cincinnati Financial Corp. | 3,034,800 | | 319,109 | |
| | Huntington Bancshares Inc. | 20,630,469 | | 311,107 | |
| | MarketAxess Holdings Inc. | 757,412 | | 287,142 | |
| | First Republic Bank | 2,441,847 | | 286,795 | |
| | Principal Financial Group Inc. | 5,161,499 | | 283,882 | |
| | Loews Corp. | 5,108,266 | | 268,133 | |
| | Cboe Global Markets Inc. | 2,213,920 | | 265,670 | |
| * | SVB Financial Group | 1,029,946 | | 258,558 | |
| * | Berkshire Hathaway Inc. Class A | 750 | | 254,693 | |
| | Nasdaq Inc. | 2,293,641 | | 245,649 | |
| | Lincoln National Corp. | 3,960,887 | | 233,732 | |
| | Everest Re Group Ltd. | 814,256 | | 225,419 | |
| | Raymond James Financial Inc. | 2,465,641 | | 220,576 | |
| | Globe Life Inc. | 1,991,618 | | 209,618 | |
| | Comerica Inc. | 2,878,202 | | 206,511 | |
| | E*TRADE Financial Corp. | 4,514,247 | | 204,811 | |
| | WR Berkley Corp. | 2,900,796 | | 200,445 | |
| | Zions Bancorp NA | 3,408,403 | | 176,964 | |
| | Assurant Inc. | 1,157,279 | | 151,696 | |
| | People’s United Financial Inc. | 8,880,419 | | 150,079 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000) | |
| | Franklin Resources Inc. | 5,577,285 | | 144,898 | |
| | Invesco Ltd. | 7,442,816 | | 133,822 | |
| | Unum Group | 4,124,785 | | 120,279 | |
| | | | | 69,036,615 | |
| Health Care (14.2%) | | | | |
| | Johnson & Johnson | 52,581,325 | | 7,670,038 | |
| | UnitedHealth Group Inc. | 18,928,043 | | 5,564,466 | |
| | Merck & Co. Inc. | 50,865,256 | | 4,626,195 | |
| | Pfizer Inc. | 110,564,218 | | 4,331,906 | |
| | Abbott Laboratories | 35,310,338 | | 3,067,056 | |
| | Medtronic plc | 26,779,041 | | 3,038,082 | |
| | Bristol-Myers Squibb Co. | 46,833,995 | | 3,006,274 | |
| | Amgen Inc. | 11,871,013 | | 2,861,745 | |
| | AbbVie Inc. | 29,544,830 | | 2,615,899 | |
| | Thermo Fisher Scientific Inc. | 8,011,402 | | 2,602,664 | |
| | Eli Lilly & Co. | 16,880,273 | | 2,218,574 | |
| | Danaher Corp. | 12,772,099 | | 1,960,262 | |
| | CVS Health Corp. | 25,991,686 | | 1,930,922 | |
| | Gilead Sciences Inc. | 25,275,873 | | 1,642,426 | |
| | Anthem Inc. | 5,065,863 | | 1,530,043 | |
| | Cigna Corp. | 7,460,533 | | 1,525,604 | |
| | Becton Dickinson and Co. | 5,403,543 | | 1,469,602 | |
| * | Intuitive Surgical Inc. | 2,309,077 | | 1,365,011 | |
| | Stryker Corp. | 6,432,906 | | 1,350,524 | |
| | Zoetis Inc. | 9,515,984 | | 1,259,440 | |
| * | Boston Scientific Corp. | 27,847,279 | | 1,259,254 | |
| | Allergan plc | 6,558,531 | | 1,253,794 | |
| * | Vertex Pharmaceuticals Inc. | 5,137,531 | | 1,124,862 | |
| * | Biogen Inc. | 3,605,004 | | 1,069,713 | |
| * | Illumina Inc. | 2,936,907 | | 974,290 | |
| * | Edwards Lifesciences Corp. | 4,167,023 | | 972,125 | |
| | Humana Inc. | 2,645,668 | | 969,690 | |
| | Baxter International Inc. | 10,200,448 | | 852,961 | |
| | HCA Healthcare Inc. | 5,285,536 | | 781,255 | |
| | Zimmer Biomet Holdings Inc. | 4,109,441 | | 615,101 | |
| * | Regeneron Pharmaceuticals Inc. | 1,596,013 | | 599,271 | |
| * | IQVIA Holdings Inc. | 3,605,520 | | 557,089 | |
| | Agilent Technologies Inc. | 6,183,456 | | 527,511 | |
| * | Centene Corp. | 8,267,118 | | 519,754 | |
| | McKesson Corp. | 3,600,007 | | 497,953 | |
| * | Alexion Pharmaceuticals Inc. | 4,421,189 | | 478,152 | |
| | Cerner Corp. | 6,275,615 | | 460,567 | |
| * | IDEXX Laboratories Inc. | 1,714,244 | | 447,641 | |
| | ResMed Inc. | 2,872,753 | | 445,191 | |
| * | Align Technology Inc. | 1,432,922 | | 399,843 | |
| * | Mettler-Toledo International Inc. | 486,531 | | 385,955 | |
| | Teleflex Inc. | 924,799 | | 348,131 | |
| * | WellCare Health Plans Inc. | 1,004,998 | | 331,860 | |
| * | Laboratory Corp. of America Holdings | 1,939,683 | | 328,136 | |
| | Cooper Cos. Inc. | 990,271 | | 318,164 | |
| * | Incyte Corp. | 3,571,271 | | 311,843 | |
| * | Waters Corp. | 1,287,014 | | 300,711 | |
| | Cardinal Health Inc. | 5,842,233 | | 295,500 | |
| | Quest Diagnostics Inc. | 2,690,484 | | 287,317 | |
| * | Hologic Inc. | 5,355,658 | | 279,619 | |
| | STERIS plc | 1,694,080 | | 258,212 | |
| * | Varian Medical Systems Inc. | 1,816,144 | | 257,911 | |
| | AmerisourceBergen Corp. Class A | 3,002,223 | | 255,249 | |
| | Dentsply Sirona Inc. | 4,441,560 | | 251,348 | |
| | Universal Health Services Inc. Class B | 1,603,935 | | 230,101 | |
| | PerkinElmer Inc. | 2,218,189 | | 215,386 | |
| * | Mylan NV | 10,305,163 | | 207,134 | |
| * | Henry Schein Inc. | 2,933,891 | | 195,749 | |
| * | ABIOMED Inc. | 902,102 | | 153,890 | |
| | Perrigo Co. plc | 2,721,525 | | 140,594 | |
| * | DaVita Inc. | 1,793,206 | | 134,544 | |
| | | | | 75,930,104 | |
| Industrials (9.0%) | | | | |
| | Boeing Co. | 10,681,679 | | 3,479,664 | |
| | Honeywell International Inc. | 14,275,312 | | 2,526,730 | |
| | Union Pacific Corp. | 13,869,409 | | 2,507,450 | |
| | United Technologies Corp. | 16,209,076 | | 2,427,471 | |
| | 3M Co. | 11,488,640 | | 2,026,826 | |
| | General Electric Co. | 174,484,037 | | 1,947,242 | |
| | Lockheed Martin Corp. | 4,959,295 | | 1,931,050 | |
| | United Parcel Service Inc. Class B | 14,000,240 | | 1,638,868 | |
| | Caterpillar Inc. | 11,041,322 | | 1,630,582 | |
| | Raytheon Co. | 5,563,797 | | 1,222,589 | |
| | CSX Corp. | 15,536,769 | | 1,124,241 | |
| | Deere & Co. | 6,290,765 | | 1,089,938 | |
| | Northrop Grumman Corp. | 3,131,465 | | 1,077,130 | |
| | Illinois Tool Works Inc. | 5,843,308 | | 1,049,633 | |
| | Norfolk Southern Corp. | 5,209,593 | | 1,011,338 | |
| | Emerson Electric Co. | 12,169,626 | | 928,056 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Waste Management Inc. | 7,797,711 | | 888,627 | |
| | L3Harris Technologies Inc. | 4,416,749 | | 873,942 | |
| | General Dynamics Corp. | 4,681,935 | | 825,659 | |
| | Eaton Corp. plc | 8,258,981 | | 782,291 | |
| | Roper Technologies Inc. | 2,079,013 | | 736,449 | |
| | FedEx Corp. | 4,795,637 | | 725,148 | |
| | Delta Air Lines Inc. | 11,500,899 | | 672,573 | |
| | Ingersoll-Rand plc | 4,787,012 | | 636,290 | |
| | Johnson Controls International plc | 15,412,095 | | 627,426 | |
| * | IHS Markit Ltd. | 8,011,278 | | 603,650 | |
| | TransDigm Group Inc. | 995,033 | | 557,219 | |
| | Cummins Inc. | 3,060,943 | | 547,786 | |
| | PACCAR Inc. | 6,910,364 | | 546,610 | |
| | Parker-Hannifin Corp. | 2,566,741 | | 528,287 | |
| | Southwest Airlines Co. | 9,463,679 | | 510,849 | |
| | Stanley Black & Decker Inc. | 3,037,027 | | 503,357 | |
| | Verisk Analytics Inc. Class A | 3,273,636 | | 488,885 | |
| | Rockwell Automation Inc. | 2,308,488 | | 467,861 | |
| | AMETEK Inc. | 4,567,129 | | 455,525 | |
| | Fortive Corp. | 5,903,845 | | 450,995 | |
| | Cintas Corp. | 1,674,943 | | 450,694 | |
| | Fastenal Co. | 11,459,260 | | 423,420 | |
| * | United Airlines Holdings Inc. | 4,347,786 | | 382,996 | |
| | Republic Services Inc. Class A | 4,208,129 | | 377,175 | |
| * | Copart Inc. | 4,086,950 | | 371,667 | |
| | Equifax Inc. | 2,418,759 | | 338,917 | |
| | Dover Corp. | 2,902,337 | | 334,523 | |
| | Kansas City Southern | 1,979,664 | | 303,205 | |
| | WW Grainger Inc. | 871,473 | | 295,011 | |
| | Xylem Inc. | 3,596,676 | | 283,382 | |
| | Wabtec Corp. | 3,637,141 | | 282,970 | |
| | Masco Corp. | 5,675,017 | | 272,344 | |
| | Expeditors International of Washington Inc. | 3,404,026 | | 265,582 | |
| | IDEX Corp. | 1,519,007 | | 261,269 | |
| * | United Rentals Inc. | 1,500,976 | | 250,318 | |
| | Jacobs Engineering Group Inc. | 2,708,526 | | 243,307 | |
| | Old Dominion Freight Line Inc. | 1,275,201 | | 242,008 | |
| | Arconic Inc. | 7,735,544 | | 238,023 | |
| | Allegion plc | 1,857,338 | | 231,313 | |
| | American Airlines Group Inc. | 7,785,643 | | 223,292 | |
| | CH Robinson Worldwide Inc. | 2,701,293 | | 211,241 | |
| | Huntington Ingalls Industries Inc. | 816,616 | | 204,873 | |
| | Textron Inc. | 4,557,334 | | 203,257 | |
| | JB Hunt Transport Services Inc. | 1,703,718 | | 198,960 | |
| | Snap-on Inc. | 1,096,616 | | 185,767 | |
| | Fortune Brands Home & Security Inc. | 2,779,881 | | 181,637 | |
| | Alaska Air Group Inc. | 2,459,355 | | 166,621 | |
| | Pentair plc | 3,360,895 | | 154,164 | |
| | Robert Half International Inc. | 2,350,803 | | 148,453 | |
| | Nielsen Holdings plc | 7,114,778 | | 144,430 | |
| | AO Smith Corp. | 2,741,089 | | 130,586 | |
| | Flowserve Corp. | 2,612,667 | | 130,032 | |
| | Quanta Services Inc. | 2,842,593 | | 115,722 | |
| | Rollins Inc. | 2,811,003 | | 93,213 | |
| | | | | 48,388,609 | |
| Information Technology (23.1%) | | | | |
| | Apple Inc. | 83,444,529 | | 24,503,486 | |
| | Microsoft Corp. | 152,413,277 | | 24,035,574 | |
| | Visa Inc. Class A | 34,200,301 | | 6,426,237 | |
| | Mastercard Inc. Class A | 17,735,739 | | 5,295,714 | |
| | Intel Corp. | 86,907,357 | | 5,201,405 | |
| | Cisco Systems Inc. | 84,754,024 | | 4,064,803 | |
| * | Adobe Inc. | 9,671,459 | | 3,189,744 | |
| * | salesforce.com Inc. | 17,721,170 | | 2,882,171 | |
| | NVIDIA Corp. | 12,227,127 | | 2,877,043 | |
| | Accenture plc Class A | 12,687,899 | | 2,671,691 | |
| * | PayPal Holdings Inc. | 23,459,028 | | 2,537,563 | |
| | Broadcom Inc. | 7,925,106 | | 2,504,492 | |
| | Texas Instruments Inc. | 18,675,611 | | 2,395,894 | |
| | International Business Machines Corp. | 17,693,857 | | 2,371,685 | |
| | Oracle Corp. | 43,283,300 | | 2,293,149 | |
| | QUALCOMM Inc. | 22,812,588 | | 2,012,755 | |
| | Fidelity National Information Services Inc. | 12,279,088 | | 1,707,898 | |
| | Automatic Data Processing Inc. | 8,644,995 | | 1,473,972 | |
| | Intuit Inc. | 5,200,666 | | 1,362,210 | |
| * | Fiserv Inc. | 11,410,193 | | 1,319,361 | |
| * | Micron Technology Inc. | 22,117,778 | | 1,189,494 | |
| | Applied Materials Inc. | 18,455,662 | | 1,126,534 | |
| | Global Payments Inc. | 6,004,903 | | 1,096,255 | |
| * | ServiceNow Inc. | 3,768,063 | | 1,063,800 | |
| * | Advanced Micro Devices Inc. | 22,249,065 | | 1,020,342 | |
| | Analog Devices Inc. | 7,358,313 | | 874,462 | |
| | Lam Research Corp. | 2,898,547 | | 847,535 | |
| * | Autodesk Inc. | 4,396,027 | | 806,495 | |
| | Cognizant Technology Solutions Corp. Class A | 10,939,988 | | 678,498 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Amphenol Corp. Class A | 5,923,638 | | 641,115 | |
| | TE Connectivity Ltd. | 6,682,371 | | 640,438 | |
| | HP Inc. | 29,606,246 | | 608,408 | |
| | KLA Corp. | 3,152,695 | | 561,716 | |
| | Motorola Solutions Inc. | 3,422,977 | | 551,578 | |
| | Paychex Inc. | 6,365,206 | | 541,424 | |
| | Microchip Technology Inc. | 4,774,618 | | 499,998 | |
| * | FleetCor Technologies Inc. | 1,733,876 | | 498,871 | |
| | Xilinx Inc. | 5,024,074 | | 491,204 | |
| | Corning Inc. | 15,365,632 | | 447,294 | |
| * | ANSYS Inc. | 1,710,053 | | 440,185 | |
| * | Synopsys Inc. | 3,003,686 | | 418,113 | |
| | Skyworks Solutions Inc. | 3,404,009 | | 411,477 | |
| | CDW Corp. | 2,870,713 | | 410,053 | |
| | Hewlett Packard Enterprise Co. | 25,852,326 | | 410,018 | |
| * | VeriSign Inc. | 2,064,375 | | 397,764 | |
| * | Cadence Design Systems Inc. | 5,606,275 | | 388,851 | |
| * | Keysight Technologies Inc. | 3,747,660 | | 384,622 | |
| | Western Digital Corp. | 5,941,727 | | 377,121 | |
| | Maxim Integrated Products Inc. | 5,404,872 | | 332,454 | |
| * | Fortinet Inc. | 2,835,643 | | 302,733 | |
| | NortonLifeLock Inc. | 11,453,273 | | 292,287 | |
| | NetApp Inc. | 4,558,296 | | 283,754 | |
| | Broadridge Financial Solutions Inc. | 2,289,994 | | 282,906 | |
| * | Akamai Technologies Inc. | 3,227,625 | | 278,802 | |
| * | Gartner Inc. | 1,786,708 | | 275,332 | |
| | Seagate Technology plc | 4,617,385 | | 274,734 | |
| | Citrix Systems Inc. | 2,444,723 | | 271,120 | |
| * | Qorvo Inc. | 2,320,155 | | 269,672 | |
| * | Zebra Technologies Corp. | 1,043,893 | | 266,652 | |
| | Leidos Holdings Inc. | 2,657,780 | | 260,170 | |
| | Western Union Co. | 8,372,114 | | 224,205 | |
| | Jack Henry & Associates Inc. | 1,536,670 | | 223,847 | |
| * | Arista Networks Inc. | 1,083,298 | | 220,343 | |
| | DXC Technology Co. | 5,118,723 | | 192,413 | |
| * | F5 Networks Inc. | 1,215,415 | | 169,733 | |
| | Juniper Networks Inc. | 6,692,049 | | 164,825 | |
| | FLIR Systems Inc. | 2,681,924 | | 139,648 | |
| | Xerox Holdings Corp. | 3,717,299 | | 137,057 | |
| * | IPG Photonics Corp. | 709,401 | | 102,806 | |
| | Alliance Data Systems Corp. | 818,025 | | 91,782 | |
| | | 124,007,787 | |
| Materials (2.6%) | | | | |
| | Linde plc | 10,732,193 | | 2,284,884 | |
| | Air Products & Chemicals Inc. | 4,404,089 | | 1,034,917 | |
| | Ecolab Inc. | 5,010,193 | | 966,917 | |
| | Sherwin-Williams Co. | 1,641,341 | | 957,788 | |
| | DuPont de Nemours Inc. | 14,800,373 | | 950,184 | |
| | Dow Inc. | 14,812,942 | | 810,712 | |
| | Newmont Goldcorp Corp. | 16,379,559 | | 711,692 | |
| | PPG Industries Inc. | 4,724,444 | | 630,666 | |
| | LyondellBasell Industries NV Class A | 5,129,102 | | 484,598 | |
| | Corteva Inc. | 14,952,539 | | 441,997 | |
| | Ball Corp. | 6,536,521 | | 422,717 | |
| | Vulcan Materials Co. | 2,644,241 | | 380,744 | |
| | Freeport-McMoRan Inc. | 28,987,934 | | 380,322 | |
| | International Paper Co. | 7,834,677 | | 360,787 | |
| | Amcor plc | 32,371,641 | | 350,909 | |
| | Martin Marietta Materials Inc. | 1,248,642 | | 349,170 | |
| | Nucor Corp. | 6,057,644 | | 340,924 | |
| | Celanese Corp. Class A | 2,414,303 | | 297,249 | |
| | International Flavors & Fragrances Inc. | 2,132,448 | | 275,128 | |
| | FMC Corp. | 2,588,464 | | 258,380 | |
| | Westrock Co. | 5,150,677 | | 221,016 | |
| | Avery Dennison Corp. | 1,667,641 | | 218,161 | |
| | Eastman Chemical Co. | 2,715,169 | | 215,204 | |
| | Packaging Corp. of America | 1,890,482 | | 211,715 | |
| | CF Industries Holdings Inc. | 4,344,298 | | 207,397 | |
| ^ | Albemarle Corp. | 2,120,201 | | 154,859 | |
| | Mosaic Co. | 6,991,289 | | 151,292 | |
| | Sealed Air Corp. | 3,084,694 | | 122,863 | |
| | | | | 14,193,192 | |
| Real Estate (2.9%) | | | | |
| | American Tower Corp. | 8,849,378 | | 2,033,764 | |
| | Crown Castle International Corp. | 8,306,601 | | 1,180,783 | |
| | Prologis Inc. | 12,621,768 | | 1,125,104 | |
| | Equinix Inc. | 1,703,795 | | 994,505 | |
| | Simon Property Group Inc. | 6,130,473 | | 913,195 | |
| | Public Storage | 3,001,430 | | 639,184 | |
| | Welltower Inc. | 7,456,689 | | 609,808 | |
| | AvalonBay Communities Inc. | 2,790,462 | | 585,160 | |
| | Equity Residential | 6,974,235 | | 564,355 | |
| | SBA Communications Corp. Class A | 2,249,645 | | 542,142 | |
500 Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000) | |
| | Digital Realty Trust Inc. | 4,170,091 | | 499,327 | |
| | Realty Income Corp. | 6,511,947 | | 479,475 | |
| | Weyerhaeuser Co. | 14,886,986 | | 449,587 | |
| | Ventas Inc. | 7,446,793 | | 429,978 | |
| * | CBRE Group Inc. Class A | 6,688,465 | | 409,936 | |
| | Essex Property Trust Inc. | 1,320,237 | | 397,206 | |
| | Boston Properties Inc. | 2,872,901 | | 396,058 | |
| | Alexandria Real Estate Equities Inc. | 2,300,505 | | 371,716 | |
| | Healthpeak Properties Inc. | 9,887,998 | | 340,839 | |
| | Mid-America Apartment Communities Inc. | 2,278,310 | | 300,418 | |
| | UDR Inc. | 5,852,630 | | 273,318 | |
| | Extra Space Storage Inc. | 2,586,601 | | 273,197 | |
| | Host Hotels & Resorts Inc. | 14,324,170 | | 265,713 | |
| | Duke Realty Corp. | 7,340,141 | | 254,483 | |
| | Regency Centers Corp. | 3,346,945 | | 211,159 | |
| | Vornado Realty Trust | 3,163,272 | | 210,358 | |
| | Iron Mountain Inc. | 5,741,884 | | 182,994 | |
| | Federal Realty Investment Trust | 1,404,328 | | 180,779 | |
| | Kimco Realty Corp. | 8,433,069 | | 174,649 | |
| | Apartment Investment & Management Co. | 2,976,720 | | 153,748 | |
| | SL Green Realty Corp. | 1,629,984 | | 149,763 | |
| ^ | Macerich Co. | 146,920 | | 3,955 | |
| | | | | 15,596,656 | |
| Utilities (3.3%) | | | | |
| | NextEra Energy Inc. | 9,765,090 | | 2,364,714 | |
| | Dominion Energy Inc. | 16,444,016 | | 1,361,893 | |
| | Southern Co. | 20,952,441 | | 1,334,671 | |
| | Duke Energy Corp. | 14,564,753 | | 1,328,451 | |
| | American Electric Power Co. Inc. | 9,868,559 | | 932,678 | |
| | Exelon Corp. | 19,421,334 | | 885,419 | |
| | Sempra Energy | 5,632,086 | | 853,148 | |
| | Xcel Energy Inc. | 10,477,119 | | 665,192 | |
| | Consolidated Edison Inc. | 6,641,553 | | 600,861 | |
| | Public Service Enterprise Group Inc. | 10,103,823 | | 596,631 | |
| | WEC Energy Group Inc. | 6,302,492 | | 581,279 | |
| | Eversource Energy | 6,468,691 | | 550,292 | |
| | Edison International | 7,164,459 | | 540,272 | |
| | FirstEnergy Corp. | 10,795,380 | | 524,655 | |
| | PPL Corp. | 14,445,396 | | 518,301 | |
| | DTE Energy Co. | 3,838,352 | | 498,487 | |
| | Entergy Corp. | 3,978,439 | | 476,617 | |
| | American Water Works Co. Inc. | 3,611,748 | | 443,703 | |
| | Ameren Corp. | 4,915,209 | | 377,488 | |
| | CMS Energy Corp. | 5,670,483 | | 356,333 | |
| | Evergy Inc. | 4,552,037 | | 296,292 | |
| | CenterPoint Energy Inc. | 10,031,489 | | 273,559 | |
| | Atmos Energy Corp. | 2,383,597 | | 266,629 | |
| | AES Corp. | 13,259,552 | | 263,865 | |
| | Alliant Energy Corp. | 4,799,853 | | 262,648 | |
| | NiSource Inc. | 7,458,485 | | 207,644 | |
| | Pinnacle West Capital Corp. | 2,247,652 | | 202,131 | |
| | NRG Energy Inc. | 5,029,915 | | 199,939 | |
| | | | | 17,763,792 | |
| Total Common Stocks | | | | |
| (Cost $322,692,872) | 534,365,463 | |
| Temporary Cash Investments (0.4%)1 | |
| Money Market Fund (0.4%) | |
| 2,3 | Vanguard Market Liquidity Fund, 1.816% | 18,239,321 | | 1,824,114 | |
| | | | | | |
| | | Face | | | |
| | | Amount | | | |
| | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | |
| 4 | United States Treasury Bill, 1.546%, 3/26/20 | 7,250 | | 7,225 | |
| 4 | United States Treasury Bill, 1.566%–1.872%, 2/20/20 | 57,000 | | 56,882 | |
| | | | | 64,107 | |
| Total Temporary Cash Investments | |
| (Cost $1,888,118) | | 1,888,221 | |
| Total Investments (100.0%) | | | |
| (Cost $324,580,990) | 536,253,684 | |
500 Index Fund
| | Amount |
| | ($000) |
| Other Assets and Liabilities (0.0%) | |
| Other Assets | |
| Investment in Vanguard | 23,413 |
| Receivables for Investment Securities Sold | 6,070 |
| Receivables for Accrued Income | 544,728 |
| Receivables for Capital Shares Issued | 251,316 |
| Variation Margin Receivable—Futures Contracts | 4,564 |
| Unrealized Appreciation—OTC Swap Contracts | 7,787 |
| Other Assets4 | 9,323 |
| Total Other Assets | 847,201 |
| Liabilities | |
| Payables for Investment Securities Purchased | (11,461) |
| Collateral for Securities on Loan | (229,321) |
| Payables for Capital Shares Redeemed | (464,823) |
| Payables to Vanguard | (83,071) |
| Variation Margin Payable—FuturesContracts | (144) |
| Other Liabilities | (6,528) |
| Total Liabilities | (795,348) |
| Net Assets (100%) | 536,305,537 |
| | |
| | |
| At December 31, 2019, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 327,610,953 |
| Total Distributable Earnings (Loss) | 208,694,584 |
| Net Assets | 536,305,537 |
| | |
| Investor Shares—Net Assets | |
| Applicable to 15,841,822 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 4,723,408 |
| Net Asset Value Per Share—Investor Shares | $298.16 |
| | |
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 441,837,585 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 130,728,195 |
| Net Asset Value Per Share—ETF Shares | $295.87 |
| | |
| Admiral Shares—Net Assets | |
| Applicable to 1,072,043,990 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 319,624,070 |
| Net Asset Value Per Share—Admiral Shares | $298.14 |
| | |
| Institutional Select Shares—Net Assets | |
| Applicable to 514,168,661 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 81,229,864 |
| Net Asset Value Per Share—Institutional Select Shares | $157.98 |
· 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 $222,259,000.
| 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 0.0%, 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 | Collateral of $229,321,000 was received for securities on loan. |
| 4 | Securities with a value of $64,098,000 and cash of $9,255,000 have been segregated as initial margin for open futures contracts. |
OTC—Over-the-Counter.
500 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 2020 | 11,287 | 1,823,471 | 22,458 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Over-the-Counter Total Return Swaps | | | | | | |
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| First Republic Bank | 2/4/20 | GSI | 107,235 | (2.375) | 1,314 | — |
| JPMorgan Chase & Co. | 9/2/20 | BOANA | 79,056 | (2.147) | 4,452 | — |
| Welltower Inc. | 2/4/20 | GSI | 51,136 | (1.745) | 1,990 | — |
| Assurant Inc. | 2/4/20 | GSI | 7,173 | (1.945) | 31 | — |
| | | | | | 7,787 | — |
1 Payment received/paid monthly.
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.
At December 31, 2019, the counterparties had deposited in segregated accounts securities with a value of $7,268,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
500 Index Fund
Statement of Operations
| | Year Ended |
| | | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 9,547,810 |
| Interest1 | 37,487 |
| Securities Lending—Net | 7,853 |
| Total Income | 9,593,150 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 15,997 |
| Management and Administrative—Investor Shares | 19,995 |
| Management and Administrative—ETF Shares | 22,427 |
| Management and Administrative—Admiral Shares | 86,852 |
| Management and Administrative—Institutional Select Shares | 4,303 |
| Marketing and Distribution—Investor Shares | 1,392 |
| Marketing and Distribution—ETF Shares | 6,203 |
| Marketing and Distribution—Admiral Shares | 12,808 |
| Marketing and Distribution—Institutional Select Shares | 3 |
| Custodian Fees | 1,718 |
| Auditing Fees | 45 |
| Shareholders’ Reports—Investor Shares | 153 |
| Shareholders’ Reports—ETF Shares | 1,246 |
| Shareholders’ Reports—Admiral Shares | 1,295 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 233 |
| Total Expenses | 174,670 |
| Net Investment Income | 9,418,480 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 13,891,349 |
| Futures Contracts | 417,963 |
| Swap Contracts | 30,172 |
| Realized Net Gain (Loss) | 14,339,484 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 103,579,650 |
| Futures Contracts | 87,305 |
| Swap Contracts | 7,787 |
| Change in Unrealized Appreciation (Depreciation) | 103,674,742 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 127,432,706 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $35,313,000, ($11,000), and ($65,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $16,453,255,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 9,418,480 | 8,659,224 |
| Realized Net Gain (Loss) | 14,339,484 | 14,303,086 |
| Change in Unrealized Appreciation (Depreciation) | 103,674,742 | (43,378,031) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 127,432,706 | (20,415,721) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (286,989) | (474,872) |
| ETF Shares | (2,410,313) | (1,812,323) |
| Admiral Shares | (5,781,068) | (4,653,557) |
| Institutional Select Shares | (1,456,288) | (1,066,831) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Select Shares | — | — |
| Total Distributions | (9,934,658) | (8,007,583) |
| Capital Share Transactions | | |
| Investor Shares | (23,241,118) | (3,019,824) |
| ETF Shares | 12,478,774 | 14,094,239 |
| Admiral Shares | 21,177,087 | 10,715,967 |
| Institutional Select Shares | 7,685,397 | 15,905,665 |
| Net Increase (Decrease) from Capital Share Transactions | 18,100,140 | 37,696,047 |
| Total Increase (Decrease) | 135,598,188 | 9,272,743 |
| Net Assets | | |
| Beginning of Period | 400,707,349 | 391,434,606 |
| End of Period | 536,305,537 | 400,707,349 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $231.44 | $246.82 | $206.57 | $188.48 | $189.89 | |
| Investment Operations | | | | | | |
| Net Investment Income | 4.8011 | 4.8961 | 4.2211 | 3.997 | 3.775 | |
| Net Realized and Unrealized Gain (Loss)on Investments | 67.211 | (15.776) | 40.205 | 18.069 | (1.438) | |
| Total from Investment Operations | 72.012 | (10.880) | 44.426 | 22.066 | 2.337 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (5.292) | (4.500) | (4.176) | (3.976) | (3.747) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (5.292) | (4.500) | (4.176) | (3.976) | (3.747) | |
| Net Asset Value, End of Period | $298.16 | $231.44 | $246.82 | $206.57 | $188.48 | |
| | | | | | | |
| Total Return2 | 31.33% | -4.52% | 21.67% | 11.82% | 1.25% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $4,723 | $23,162 | $27,656 | $26,652 | $26,092 | |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14% | 0.14% | 0.16% | |
| Ratio of Net Investment Income toAverage Net Assets | 1.82% | 1.95% | 1.87% | 2.05% | 2.00% | |
| Portfolio Turnover Rate3 | 4% | 4% | 3% | 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.
500 Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | Year Ended December 31, | |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $229.68 | $244.94 | $205.00 | $187.05 | $188.45 | |
| Investment Operations | | | | | | |
| Net Investment Income | 5.2981 | 5.1961 | 4.4341 | 4.155 | 3.958 | |
| Net Realized and Unrealized Gain (Loss)on Investments | 66.463 | (15.719) | 39.874 | 17.933 | (1.427) | |
| Total from Investment Operations | 71.761 | (10.523) | 44.308 | 22.088 | 2.531 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (5.571) | (4.737) | (4.368) | (4.138) | (3.931) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (5.571) | (4.737) | (4.368) | (4.138) | (3.931) | |
| Net Asset Value, End of Period | $295.87 | $229.68 | $244.94 | $205.00 | $187.05 | |
| | | | | | | |
| Total Return | 31.46% | -4.42% | 21.78% | 11.93% | 1.35% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $130,728 | $90,639 | $83,640 | $56,648 | $40,440 | |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.04% | 0.04% | 0.05% | |
| Ratio of Net Investment Income toAverage Net Assets | 1.98% | 2.06% | 1.97% | 2.15% | 2.11% | |
| Portfolio Turnover Rate2 | 4% | 4% | 3% | 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.
500 Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | Year Ended December 31, | |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $231.44 | $246.82 | $206.57 | $188.48 | $189.89 | |
| Investment Operations | | | | | | |
| Net Investment Income | 5.3191 | 5.1811 | 4.4581 | 4.185 | 3.990 | |
| Net Realized and Unrealized Gain (Loss)on Investments | 66.962 | (15.808) | 40.193 | 18.074 | (1.439) | |
| Total from Investment Operations | 72.281 | (10.627) | 44.651 | 22.259 | 2.551 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (5.581) | (4.753) | (4.401) | (4.169) | (3.961) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (5.581) | (4.753) | (4.401) | (4.169) | (3.961) | |
| Net Asset Value, End of Period | $298.14 | $231.44 | $246.82 | $206.57 | $188.48 | |
| | | | | | | |
| Total Return2 | 31.46% | -4.43% | 21.79% | 11.93% | 1.36% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $319,624 | $230,375 | $235,232 | $181,513 | $152,740 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% | |
| Ratio of Net Investment Income toAverage Net Assets | 1.97% | 2.05% | 1.97% | 2.15% | 2.11% | |
| Portfolio Turnover Rate3 | 4% | 4% | 3% | 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.
500 Index Fund
Financial Highlights
Institutional Select Shares
| | | | | June 24, | |
| | | | | 20161to | |
| For a Share Outstanding | Year Ended December 31, | Dec. 31, | |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | |
| Net Asset Value, Beginning of Period | $122.64 | $130.79 | $109.45 | $99.57 | |
| Investment Operations | | | | | |
| Net Investment Income | 2.8572 | 2.8082 | 2.4232 | 1.200 | |
| Net Realized and Unrealized Gain (Loss)on Investments | 35.484 | (8.400) | 21.283 | 9.859 | |
| Total from Investment Operations | 38.341 | (5.592) | 23.706 | 11.059 | |
| Distributions | | | | | |
| Dividends from Net Investment Income | (3.001) | (2.558) | (2.366) | (1.179) | |
| Distributions from Realized Capital Gains | — | — | — | — | |
| Total Distributions | (3.001) | (2.558) | (2.366) | (1.179) | |
| Net Asset Value, End of Period | $157.98 | $122.64 | $130.79 | $109.45 | |
| | | | | | |
| Total Return | 31.49% | -4.40% | 21.83% | 11.12% | |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $81,230 | $56,531 | $44,907 | $17,753 | |
| Ratio of Total Expenses to Average Net Assets | 0.01% | 0.01% | 0.01% | 0.01%3 | |
| Ratio of Net Investment Income toAverage Net Assets | 2.00% | 2.08% | 2.00% | 2.26%3 | |
| Portfolio Turnover Rate4 | 4% | 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.
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, 2019, 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.
500 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, 2019, 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, 2016–2019), and has concluded that no provision for federal income tax is required in the fund’s financial statements.
500 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
500 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, 2019, the fund had contributed to Vanguard capital in the amount of $23,413,000, representing less than 0.01% of the fund’s net assets and 9.36% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 534,365,463 | — | — |
| Temporary Cash Investments | 1,824,114 | 64,107 | — |
| Futures Contracts—Assets1 | 4,564 | — | — |
| Futures Contracts—Liabilities1 | (144) | — | — |
| Swap Contracts—Assets | — | 7,787 | — |
| Total | 536,193,997 | 71,894 | — |
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 and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 16,454,046 |
| Total Distributable Earnings (Loss) | (16,454,046) |
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. 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 | 149,566 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (3,054,001) |
| Net Unrealized Gains (Losses) | 211,672,694 |
As of December 31, 2019, 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 | 324,580,990 |
| Gross Unrealized Appreciation | 223,600,436 |
| Gross Unrealized Depreciation | (11,927,742) |
| Net Unrealized Appreciation (Depreciation) | 211,672,694 |
500 Index Fund
E. During the year ended December 31, 2019, the fund purchased $59,407,351,000 of investment securities and sold $41,055,575,000 of investment securities, other than temporary cash investments. Purchases and sales include $33,628,011,000 and $22,558,387,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| | | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 1,757,661 | 6,462 | | 3,739,073 | 14,707 |
| Issued in Lieu of Cash Distributions | 270,808 | 1,013 | | 444,813 | 1,788 |
| Redeemed1 | (25,269,587) | (91,711) | | (7,203,710) | (28,466) |
| Net Increase (Decrease)—Investor Shares | (23,241,118) | (84,236) | | (3,019,824) | (11,971) |
| ETF Shares | | | | | |
| Issued | 34,750,215 | 129,730 | | 33,022,329 | 130,065 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (22,271,441) | (82,525) | | (18,928,090) | (76,900) |
| Net Increase (Decrease)—ETF Shares | 12,478,774 | 47,205 | | 14,094,239 | 53,165 |
| Admiral Shares | | | | | |
| Issued1 | 52,184,098 | 192,239 | | 40,632,052 | 160,485 |
| Issued in Lieu of Cash Distributions | 5,091,925 | 18,508 | | 4,116,552 | 16,541 |
| Redeemed | (36,098,936) | (134,111) | | (34,032,637) | (134,667) |
| Net Increase (Decrease)—Admiral Shares | 21,177,087 | 76,636 | | 10,715,967 | 42,359 |
| Institutional Select Shares | | | | | |
| Issued | 10,055,398 | 69,422 | | 19,415,700 | 143,348 |
| Issued in Lieu of Cash Distributions | 1,456,288 | 9,987 | | 1,066,831 | 8,093 |
| Redeemed | (3,826,289) | (26,203) | | (4,576,866) | (33,838) |
| Net Increase (Decrease)—Institutional Select Shares | 7,685,397 | 53,206 | | 15,905,665 | 117,603 |
1 In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 79,415,000 and 79,414,000 shares, respectively, in the amount of $21,905,116,000 from the conversion during the year ended December 31, 2019.
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, 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, 2019, 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, 2019 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, 2019 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, 2020 | |
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard 500 Index Fund
This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $9,934,658,000 of qualified dividend income to shareholders during the fiscal year.
For corporate shareholders, 93.0% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“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, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard 500 Index Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard 500 Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard 500 Index Fund particularly or the ability of the S&P 500 Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard 500 Index Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard 500 Index Fund into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of Vanguard 500 Index Fund or the timing of the issuance or sale of Vanguard 500 Index Fund or in the determination or calculation of the equation by which Vanguard 500 Index Fund is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard 500 Index Fund. There is no assurance that investment products based on the S&P 500 Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD 500 INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
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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 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. 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 Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; 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) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
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. 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.
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), and the Lumina Foundation.
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
Director of the V Foundation and Oxfam America. 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) 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 (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
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 (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
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
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
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. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), 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. 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.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
| 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 |
| |  |
| | |
| | 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 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, www.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 www.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 2020, Bloomberg. All rights reserved.
| | © 2020 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 022020 |
Annual Report | December 31, 2019 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 Chairman | 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 | 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 Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 23, 2020
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2019, returns for Vanguard’s three small-capitalization U.S. index funds ranged from more than 22% for Vanguard Small-Cap Value Index Fund to more than 32% for Vanguard Small-Cap Growth Index Fund. Vanguard Small-Cap Index Fund, which contains both growth and value stocks, returned more than 27%. Each fund closely tracked its target index.
· Growth stocks held up notably better than value stocks; large-capitalization stocks led mid- and small-caps.
· By sector, financials contributed most to the Small-Cap Index and Value Index Funds’ results, while technology helped the Growth Index Fund most. For all three funds, telecommunications and oil and gas were the only detractors.
· For the ten years ended December 31, 2019, the Small-Cap Index Fund posted an average annual return of nearly 13%; the Value Index Fund, an average annual return of almost 12%; and the Growth Index Fund, an average annual return of more than 13%.
| Market Barometer | | | | |
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | One Year | | Three Years | | Five Years | |
| Stocks | | | | | | | | | | |
| Russell 1000 Index (Large-caps) | | | 31.43 | % | | | 15.05 | % | | | 11.48 | % | |
| Russell 2000 Index (Small-caps) | | | 25.53 | | | | 8.59 | | | | 8.23 | | |
| Russell 3000 Index (Broad U.S. market) | | | 31.02 | | | | 14.57 | | | | 11.24 | | |
| FTSE All-World ex US Index (International) | | | 21.81 | | | | 9.96 | | | | 5.83 | | |
| | | | | | | | | | | | | | |
| Bonds | | | | | | | | | | | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | | | 8.72 | % | | | 4.03 | % | | | 3.05 | % | |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | | | 7.54 | | | | 4.72 | | | | 3.53 | | |
| FTSE Three-Month U.S. Treasury Bill Index | | | 2.25 | | | | 1.65 | | | | 1.04 | | |
| | | | | | | | | | | | | | |
| CPI | | | | | | | | | | | | | |
| Consumer Price Index | | | 2.29 | % | | | 2.10 | % | | | 1.82 | % | |
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 compareongoingcosts 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, 2019 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2019 | 12/31/2019 | Period |
| Based on Actual Fund Return | | | |
| Small-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,064.97 | $0.88 |
| ETF Shares | 1,000.00 | 1,065.70 | 0.26 |
| Admiral™ Shares | 1,000.00 | 1,065.73 | 0.26 |
| Institutional Shares | 1,000.00 | 1,065.78 | 0.21 |
| Institutional Plus Shares | 1,000.00 | 1,065.82 | 0.16 |
| Small-Cap Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,069.34 | $0.99 |
| ETF Shares | 1,000.00 | 1,069.94 | 0.37 |
| Admiral Shares | 1,000.00 | 1,069.99 | 0.37 |
| Institutional Shares | 1,000.00 | 1,069.98 | 0.31 |
| Small-Cap Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,060.96 | $0.99 |
| ETF Shares | 1,000.00 | 1,061.66 | 0.36 |
| Admiral Shares | 1,000.00 | 1,061.74 | 0.36 |
| Institutional Shares | 1,000.00 | 1,061.77 | 0.31 |
| Six Months Ended December 31, 2019 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2019 | 12/31/2019 | 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Small-Cap Index Fund Investor Shares | 27.22% | 8.75% | 12.66% | $32,935 |
 | Spliced Small-Cap Index | 27.35 | 8.86 | 12.78 | 33,280 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 27.37% | 8.89% | 12.81% | $33,370 |
| Small-Cap Index Fund ETF Shares Market Price | 27.44 | 8.88 | 12.82 | 33,397 |
| Spliced Small-Cap Index | 27.35 | 8.86 | 12.78 | 33,280 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Small-Cap Index Fund Admiral Shares | 27.37% | 8.88% | 12.81% | $33,365 |
| Spliced Small-Cap Index | 27.35 | 8.86 | 12.78 | 33,280 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Small-Cap Index Fund Institutional Shares | 27.40% | 8.90% | 12.83% | $16,711,819 |
| Spliced Small-Cap Index | 27.35 | 8.86 | 12.78 | 16,640,073 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| | | | Since | Final Value |
| | One | Five | Inception | of a $100,000,000 |
| | Year | Years | (12/17/2010) | Investment |
| Small-Cap Index Fund Institutional Plus Shares | 27.40% | 8.91% | 11.33% | $263,719,440 |
| Spliced Small-Cap Index | 27.35 | 8.86 | 11.27 | 262,496,340 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.07 | 303,489,830 |
"Since Inception" performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
| Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019 | |
| | One | Five | Ten |
| | Year | Years | Years |
| Small-Cap Index Fund ETF Shares Market Price | 27.44% | 53.04% | 233.97% |
| Small-Cap Index Fund ETF Shares Net Asset Value | 27.37 | 53.06 | 233.70 |
| Spliced Small-Cap Index | 27.35 | 52.89 | 232.80 |
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, 2019
| Basic Materials | 3.5% |
| Consumer Goods | 7.1 |
| Consumer Services | 11.5 |
| Financials | 25.9 |
| Health Care | 12.4 |
| Industrials | 20.9 |
| Oil & Gas | 2.7 |
| Other | 0.0 |
| Technology | 12.4 |
| Telecommunications | 0.3 |
| 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Small-Cap Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market | | Percentage |
| | | | Value· | | of Net |
| | | Shares | ($000 | ) | Assets |
| Common Stocks |
| Basic Materials | | | | |
| | RPM International Inc. | 3,251,780 | 249,607 | | 0.3% |
| | Basic Materials—Other † | | 3,150,676 | | 3.2% |
| | | | 3,400,283 | | 3.5% |
| Consumer Goods | | | | |
| * | US Foods Holding Corp. | 5,533,703 | 231,807 | | 0.2% |
| | Consumer Goods—Other † | | 6,541,358 | | 6.8% |
| | | | 6,773,165 | | 7.0% |
| Consumer Services | | | | |
| * | Trade Desk Inc. Class A | 996,329 | 258,826 | | 0.3% |
| * | Liberty Media Corp-Liberty Formula One | 4,830,146 | 222,018 | | 0.2% |
| * | Bright Horizons Family Solutions Inc. | 1,450,894 | 218,055 | | 0.2% |
| | Consumer Services—Other † | | 10,277,818 | | 10.6% |
| | | | 10,976,717 | | 11.3% |
| Financials | | | | |
| | Equity LifeStyle Properties Inc. | 4,340,510 | 305,528 | | 0.3% |
| | Medical Properties Trust Inc. | 12,971,191 | 273,822 | | 0.3% |
| | Apollo Global Management LLC | 5,011,819 | 239,114 | | 0.3% |
| | Liberty Property Trust | 3,972,378 | 238,541 | | 0.3% |
| | Brown & Brown Inc. | 6,030,100 | 238,068 | | 0.3% |
| | Omega Healthcare Investors Inc. | 5,496,315 | 232,769 | | 0.2% |
| | National Retail Properties Inc. | 4,324,456 | 231,877 | | 0.2% |
| | Kilroy Realty Corp. | 2,662,725 | 223,403 | | 0.2% |
| | VICI Properties Inc. | 8,608,470 | 219,946 | | 0.2% |
| | Gaming and Leisure Properties Inc. | 5,107,333 | 219,871 | | 0.2% |
| | RenaissanceRe Holdings Ltd. | 1,108,786 | 217,344 | | 0.2% |
| | Financials—Other † | | 22,213,932 | | 23.0% |
| | | | 24,854,215 | | 25.7% |
Small-Cap Index Fund
| | | | Market | | Percentage |
| | | | Value· | | of Net |
| | | Shares | ($000 | ) | Assets |
| Health Care | | | | |
| | STERIS plc | 2,119,010 | 322,979 | | 0.3% |
| | West Pharmaceutical Services Inc. | 1,849,278 | 278,002 | | 0.3% |
| | PerkinElmer Inc. | 2,779,106 | 269,851 | | 0.3% |
| * | Insulet Corp. | 1,546,899 | 264,829 | | 0.3% |
| * | Neurocrine Biosciences Inc. | 2,299,769 | 247,202 | | 0.3% |
| * | Sarepta Therapeutics Inc. | 1,769,259 | 228,305 | | 0.2% |
| * | Molina Healthcare Inc. | 1,567,641 | 212,713 | | 0.2% |
| | Bio-Techne Corp. | 951,288 | 208,817 | | 0.2% |
| § | Health Care—Other † | | 9,849,653 | | 10.2% |
| | | 11,882,351 | | 12.3% |
| Industrials | | | | |
| * | Zebra Technologies Corp. | 1,347,658 | 344,246 | | 0.4% |
| | IDEX Corp. | 1,906,211 | 327,868 | | 0.4% |
| * | Teledyne Technologies Inc. | 914,947 | 317,066 | | 0.3% |
| | Allegion plc | 2,328,901 | 290,041 | | 0.3% |
| * | Fair Isaac Corp. | 687,305 | 257,519 | | 0.3% |
| | Booz Allen Hamilton Holding Corp. Class A | 3,515,076 | 250,027 | | 0.3% |
| | Carlisle Cos. Inc. | 1,412,888 | 228,662 | | 0.2% |
| * | WEX Inc. | 1,077,530 | 225,699 | | 0.2% |
| | Lennox International Inc. | 913,464 | 222,858 | | 0.2% |
| | Universal Display Corp. | 1,062,814 | 219,014 | | 0.2% |
| | Graco Inc. | 4,159,282 | 216,283 | | 0.2% |
| | Toro Co. | 2,672,265 | 212,899 | | 0.2% |
| | Nordson Corp. | 1,287,856 | 209,714 | | 0.2% |
| | Industrials—Other † | | 16,663,526 | | 17.3% |
| | | | 19,985,422 | | 20.7% |
| | | | | | |
| Oil & Gas † | | 2,622,296 | | 2.7% |
| | | | | |
| §,1Other † | | 2,121 | | 0.0% |
| | | | | |
| Technology | | | | |
| | Leidos Holdings Inc. | 3,550,127 | 347,522 | | 0.4% |
| * | Tyler Technologies Inc. | 978,375 | 293,532 | | 0.3% |
| | Teradyne Inc. | 4,206,983 | 286,874 | | 0.3% |
| * | EPAM Systems Inc. | 1,305,005 | 276,870 | | 0.3% |
| * | DocuSign Inc. Class A | 3,532,015 | 261,758 | | 0.3% |
| * | ON Semiconductor Corp. | 10,261,704 | 250,180 | | 0.3% |
| * | Coupa Software Inc. | 1,569,892 | 229,597 | | 0.2% |
| * | Guidewire Software Inc. | 2,081,176 | 228,451 | | 0.2% |
| | Cypress Semiconductor Corp. | 9,300,771 | 216,987 | | 0.2% |
| * | Zendesk Inc. | 2,811,353 | 215,434 | | 0.2% |
| | Technology—Other † | | 9,258,364 | | 9.6% |
| | | | 11,865,569 | | 12.3% |
| | | | | | |
| Telecommunications † | | 326,396 | | 0.3% |
| | | | | |
| Utilities | | | | |
| | Atmos Energy Corp. | 2,987,680 | 334,202 | | 0.4% |
| | Aqua America Inc. | 5,424,275 | 254,615 | | 0.3% |
Small-Cap Index Fund
| | | Market | | Percentage |
| | | Value· | | of Net |
| | | Shares | ($000 | ) | Assets |
| UGI Corp. | 5,200,382 | 234,849 | | 0.2% |
| Utilities—Other† | | 2,340,215 | | 2.4% |
| | | 3,163,881 | | 3.3% |
| Total Common Stocks (Cost $72,730,861) | | 95,852,416 | | 99.1%2 |
| | Coupon | | | |
| Temporary Cash Investments | |
| Money Market Fund | | | | |
| 3,4 Vanguard Market Liquidity Fund | 1.816% | 25,231,738 | 2,523,426 | 2.6% |
| | | | | |
| 5U.S. Government and Agency Obligations † | | | 33,613 | 0.0% |
| Total Temporary Cash Investments (Cost $2,556,776) | | | 2,557,039 | 2.6%2 |
| 6Total Investments (Cost $75,287,637) | | | 98,409,455 | 101.7% |
| | Amount | | |
| | ($000 | ) | |
| Other Assets and Liabilities | | | |
| Other Assets | | | |
| Investment in Vanguard | 4,286 | | |
| Receivables for Investment Securities Sold | 82,434 | | |
| Receivables for Accrued Income | 132,536 | | |
| Receivables for Capital Shares Issued | 58,606 | | |
| Variation Margin Receivable—Futures Contracts | 1,146 | | |
| Unrealized Appreciation—OTC Swap Contracts | 3,694 | | |
| Other Assets4,5 | 15,110 | | |
| Total Other Assets | 297,812 | | 0.3% |
| Liabilities | | | |
| Payables for Investment Securities Purchased | (6,466) | | |
| Collateral for Securities on Loan | (1,651,570) | | |
| Payables for Capital Shares Redeemed | (259,852) | | |
| Payables to Vanguard | (19,094) | | |
| Other Liabilities | (5,608) | | |
| Total Liabilities | (1,942,590) | | (2.0%) |
| Net Assets | 96,764,677 | | 100.0% |
| | | | |
| | | | |
| At December 31, 2019, net assets consisted of: | | | |
| | | | Amount |
| | | | ($000) |
| Paid-in Capital | | | 76,814,418 |
| Total Distributable Earnings (Loss) | | | 19,950,259 |
| Net Assets | | | 96,764,677 |
Small-Cap Index Fund
| | Amount |
| | ($000) |
| Investor Shares—Net Assets | |
| Applicable to 9,496,906 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 753,617 |
| Net Asset Value Per Share—Investor Shares | $79.35 |
| | |
| ETF Shares—Net Assets | |
| Applicable to 165,673,755 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 27,441,753 |
| Net Asset Value Per Share—ETF Shares | $165.64 |
| | |
| Admiral Shares—Net Assets | |
| Applicable to 534,018,888 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 42,386,448 |
| Net Asset Value Per Share—Admiral Shares | $79.37 |
| | |
| Institutional Shares—Net Assets | |
| Applicable to 218,427,513 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 17,336,565 |
| Net Asset Value Per Share—Institutional Shares | $79.37 |
| | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 38,614,833 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,846,294 |
| Net Asset Value Per Share—Institutional Plus Shares | $229.09 |
| • | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Certain of the fund’s securities are valued by 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 1.7%, 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 | Collateral of $1,651,570,000 was received for securities on loan, of which $1,636,764,000 is held in Vanguard Market Liquidity Fund and $14,806,000 is held in cash. |
| 5 | Securities with a value of $33,610,000 and cash of $303,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $1,582,087,000. |
| | OTC—Over-the-Counter. |
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 2020 | 5,850 | 488,651 | 5,767 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 1,847 | 381,369 | 6,619 |
| | | | | 12,386 |
| Over-the-Counter Total Return Swaps | | | | | | | |
| | | | | | Floating | | | | |
| | | | | | Interest | | | | |
| | | | | | Rate | | Value and | | Value and |
| | | | Notional | | Received | | Unrealized | | Unrealized |
| | Termination | | Amount | | (Paid)1 | | Appreciation | | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000 | ) | (%) | | ($000 | ) | ($000) |
| Assurant Inc. | 2/4/20 | GSI | 6,521 | | (1.945) | | 28 | | — |
| VICI Properties Inc. | 2/4/20 | GSI | 73,830 | | (1.745) | | 3,666 | | — |
| | | | | | | | 3,694 | | — |
1 Payment received/paid monthly.
GSI—Goldman Sachs International.
At December 31, 2019, a counterparty had deposited in a segregated account securities with a value of $2,786,000 in connection with open over-the-counter swap contracts. After December 31, 2019, the counterparty posted additional collateral of $1,061,000 in connection with open over-the-counter swap contracts as of December 31, 2019.
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,325,778 |
| Interest1 | 19,680 |
| Securities Lending—Net | 49,080 |
| Total Income | 1,394,538 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 4,918 |
| Management and Administrative—Investor Shares | 3,530 |
| Management and Administrative—ETF Shares | 8,855 |
| Management and Administrative—Admiral Shares | 14,122 |
| Management and Administrative—Institutional Shares | 4,984 |
| Management and Administrative—Institutional Plus Shares | 1,872 |
| Marketing and Distribution—Investor Shares | 216 |
| Marketing and Distribution—ETF Shares | 1,220 |
| Marketing and Distribution—Admiral Shares | 2,196 |
| Marketing and Distribution—Institutional Shares | 553 |
| Marketing and Distribution—Institutional Plus Shares | 106 |
| Custodian Fees | 639 |
| Auditing Fees | 41 |
| Shareholders’ Reports—Investor Shares | 36 |
| Shareholders’ Reports—ETF Shares | 868 |
| Shareholders’ Reports—Admiral Shares | 373 |
| Shareholders’ Reports—Institutional Shares | 212 |
| Shareholders’ Reports—Institutional Plus Shares | 69 |
| Trustees’ Fees and Expenses | 47 |
| Total Expenses | 44,857 |
| Net Investment Income | 1,349,681 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 3,391,973 |
| Futures Contracts | 107,541 |
| Swap Contracts | 15,201 |
| Realized Net Gain (Loss) | 3,514,715 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 16,269,796 |
| Futures Contracts | 39,734 |
| Swap Contracts | 6,200 |
| Change in Unrealized Appreciation (Depreciation) | 16,315,730 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,180,126 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $18,782,000, $45,000, and $138,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $5,586,779,000 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 EndedDecember 31, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 1,349,681 | 1,294,560 |
| Realized Net Gain (Loss) | 3,514,715 | 6,040,556 |
| Change in Unrealized Appreciation (Depreciation) | 16,315,730 | (15,419,365) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 21,180,126 | (8,084,249) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (25,052) | (53,605) |
| ETF Shares | (376,516) | (338,290) |
| Admiral Shares | (573,717) | (513,969) |
| Institutional Shares | (252,735) | (239,319) |
| Institutional Plus Shares | (127,673) | (138,982) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Total Distributions | (1,355,693) | (1,284,165) |
| Capital Share Transactions | | |
| Investor Shares | (3,270,489) | (629,069) |
| ETF Shares | 1,083,803 | 1,850,347 |
| Admiral Shares | 2,881,296 | 1,357,792 |
| Institutional Shares | (806,199) | 895,441 |
| Institutional Plus Shares | (895,629) | (793,473) |
| Net Increase (Decrease) from Capital Share Transactions | (1,007,218) | 2,681,038 |
| Total Increase (Decrease) | 18,817,215 | (6,687,376) |
| Net Assets | | |
| Beginning of Period | 77,947,462 | 84,634,838 |
| End of Period | 96,764,677 | 77,947,462 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $63.21 | $70.76 | $61.75 | $53.03 | $55.86 |
| Investment Operations | | | | | |
| Net Investment Income | .8321 | .9671 | .8761 | .843 | .727 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.319 | (7.552) | 9.011 | 8.734 | (2.840) |
| Total from Investment Operations | 17.151 | (6.585) | 9.887 | 9.577 | (2.113) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.011) | (.965) | (.877) | (.857) | (.717) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.011) | (.965) | (.877) | (.857) | (.717) |
| Net Asset Value, End of Period | $79.35 | $63.21 | $70.76 | $61.75 | $53.03 |
| | | | | | |
| Total Return2 | 27.22% | -9.43% | 16.10% | 18.17% | -3.78% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $754 | $3,332 | $4,345 | $4,401 | $4,058 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 1.14% | 1.34% | 1.36% | 1.55% | 1.33% |
| Portfolio Turnover Rate3 | 16% | 15% | 15% | 14% | 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 provideinformation 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $131.94 | $147.71 | $128.90 | $110.71 | $116.61 |
| Investment Operations | | | | | |
| Net Investment Income | 2.2981 | 2.2391 | 2.0371 | 1.899 | 1.668 |
| Net Realized and Unrealized Gain (Loss) on Investments | 33.707 | (15.808) | 18.768 | 18.221 | (5.931) |
| Total from Investment Operations | 36.005 | (13.569) | 20.805 | 20.120 | (4.263) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.305) | (2.201) | (1.995) | (1.930) | (1.637) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.305) | (2.201) | (1.995) | (1.930) | (1.637) |
| Net Asset Value, End of Period | $165.64 | $131.94 | $147.71 | $128.90 | $110.71 |
| | | | | | |
| Total Return | 27.37% | -9.30% | 16.24% | 18.31% | -3.65% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $27,442 | $20,914 | $21,605 | $16,153 | $11,478 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.46% | 1.48% | 1.67% | 1.45% |
| Portfolio Turnover Rate2 | 16% | 15% | 15% | 14% | 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.
Small-Cap Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $63.23 | $70.78 | $61.77 | $53.05 | $55.87 |
| Investment Operations | | | | | |
| Net Investment Income | 1.1081 | 1.0671 | .9701 | .910 | .797 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.136 | (7.563) | 8.997 | 8.733 | (2.833) |
| Total from Investment Operations | 17.244 | (6.496) | 9.967 | 9.643 | (2.036) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.104) | (1.054) | (.957) | (.923) | (.784) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.104) | (1.054) | (.957) | (.923) | (.784) |
| Net Asset Value, End of Period | $79.37 | $63.23 | $70.78 | $61.77 | $53.05 |
| | | | | | |
| Total Return2 | 27.37% | -9.31% | 16.24% | 18.30% | -3.64% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $42,386 | $31,382 | $33,801 | $27,778 | $21,441 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 1.50% | 1.46% | 1.48% | 1.67% | 1.45% |
| Portfolio Turnover Rate3 | 16% | 15% | 15% | 14% | 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.
Small-Cap Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $63.22 | $70.78 | $61.77 | $53.05 | $55.87 |
| Investment Operations | | | | | |
| Net Investment Income | 1.1011 | 1.0761 | .9751 | .915 | .803 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.161 | (7.575) | 8.998 | 8.734 | (2.834) |
| Total from Investment Operations | 17.262 | (6.499) | 9.973 | 9.649 | (2.031) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.112) | (1.061) | (.963) | (.929) | (.789) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.112) | (1.061) | (.963) | (.929) | (.789) |
| Net Asset Value, End of Period | $79.37 | $63.22 | $70.78 | $61.77 | $53.05 |
| | | | | | |
| Total Return | 27.40% | -9.32% | 16.25% | 18.32% | -3.63% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $17,337 | $14,454 | $15,352 | $13,030 | $10,036 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.47% | 1.49% | 1.68% | 1.46% |
| Portfolio Turnover Rate2 | 16% | 15% | 15% | 14% | 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.
Small-Cap Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $182.49 | $204.30 | $178.28 | $153.11 | $161.27 |
| Investment Operations |
| Net Investment Income | 3.1861 | 3.1021 | 2.8351 | 2.660 | 2.353 |
| Net Realized and Unrealized Gain (Loss) on Investments | 46.645 | (21.825) | 25.980 | 25.213 | (8.203) |
| Total from Investment Operations | 49.831 | (18.723) | 28.815 | 27.873 | (5.850) |
| Distributions |
| Dividends from Net Investment Income | (3.231) | (3.087) | (2.795) | (2.703) | (2.310) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.231) | (3.087) | (2.795) | (2.703) | (2.310) |
| Net Asset Value, End of Period | $229.09 | $182.49 | $204.30 | $178.28 | $153.11 |
| | | | | | |
| Total Return | 27.40% | -9.30% | 16.27% | 18.33% | -3.62% |
| |
| Ratios/Supplemental Data |
| Net Assets, End of Period (Millions) | $8,846 | $7,866 | $9,531 | $8,080 | $6,925 |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.03% | 0.04% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.49% | 1.48% | 1.50% | 1.69% | 1.48% |
| Portfolio Turnover Rate2 | 16% | 15% | 15% | 14% | 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.
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.
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, 2019, 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.
Small-Cap 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, 2019, 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, 2016–2019), 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.
Small-Cap 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
Small-Cap 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, 2019, the fund had contributed to Vanguard capital in the amount of $4,286,000, representing less than 0.01% of the fund’s net assets and 1.71% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | | Level 2 | | Level 3 | |
| Investments | ($000 | ) | ($000 | ) | ($000 | ) |
| Common Stocks | 95,850,282 | | — | | 2,134 | |
| Temporary Cash Investments | 2,523,426 | | 33,613 | | — | |
| Futures Contracts—Assets1 | 1,146 | | — | | — | |
| Swap Contracts—Assets | — | | 3,694 | | — | |
| Total | 98,374,854 | | 37,307 | | 2,134 | |
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, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 5,586,779 | |
| Total Distributable Earnings (Loss) | (5,586,779 | ) |
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 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 | 28,015 | |
| Undistributed Long-Term Gains | — | |
| Capital Loss Carryforwards (Non-expiring) | (3,162,458 | ) |
| Net Unrealized Gains (Losses) | 23,101,411 | |
As of December 31, 2019, 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 | 75,308,045 | |
| Gross Unrealized Appreciation | 30,178,792 | |
| Gross Unrealized Depreciation | (7,077,381 | ) |
| Net Unrealized Appreciation (Depreciation) | 23,101,411 | |
E. During the year ended December 31, 2019, the fund purchased $22,990,490,000 of investment securities and sold $23,887,790,000 of investment securities, other than temporary cash investments. Purchases and sales include $7,983,307,000 and $9,952,229,000, 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, 2019, such purchases and sales were $4,385,501,000 and $1,082,834,000, 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, | |
| | | | | 2019 | | | | | 2018 | |
| | Amount | | Shares | | | Amount | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | |
| Issued | | 137,396 | | | 1,894 | | | 587,503 | | | 8,034 | |
| Issued in Lieu of Cash Distributions | | 23,964 | | | 325 | | | 50,656 | | | 725 | |
| Redeemed1 | | (3,431,849 | ) | | (45,436 | ) | | (1,267,228 | ) | | (17,455 | ) |
| Net Increase (Decrease)—Investor Shares | | (3,270,489 | ) | | (43,217 | ) | | (629,069 | ) | | (8,696 | ) |
| ETF Shares | | | | | | | | | | | | |
| Issued | | 10,788,650 | | | 69,540 | | | 13,439,385 | | | 86,521 | |
| Issued in Lieu of Cash Distributions | | — | | | — | | | — | | | — | |
| Redeemed | | (9,704,847 | ) | | (62,375 | ) | | (11,589,038 | ) | | (74,275 | ) |
| Net Increase (Decrease)—ETF Shares | | 1,083,803 | | | 7,165 | | | 1,850,347 | | | 12,246 | |
| Admiral Shares | | | | | | | | | | | | |
| Issued1 | | 8,928,336 | | | 119,825 | | | 7,056,077 | | | 97,331 | |
| Issued in Lieu of Cash Distributions | | 511,551 | | | 6,752 | | | 460,730 | | | 6,590 | |
| Redeemed | | (6,558,591 | ) | | (88,898 | ) | | (6,159,015 | ) | | (85,107 | ) |
| Net Increase (Decrease)—Admiral Shares | | 2,881,296 | | | 37,679 | | | 1,357,792 | | | 18,814 | |
| Institutional Shares | | | | | | | | | | | | |
| Issued | | 2,619,998 | | | 35,784 | | | 3,820,210 | | | 52,425 | |
| Issued in Lieu of Cash Distributions | | 238,753 | | | 3,158 | | | 227,800 | | | 3,259 | |
| Redeemed | | (3,664,950 | ) | | (49,122 | ) | | (3,152,569 | ) | | (43,975 | ) |
| Net Increase (Decrease)—Institutional Shares | | (806,199 | ) | | (10,180 | ) | | 895,441 | | | 11,709 | |
| Institutional Plus Shares | | | | | | | | | | | | |
| Issued | | 1,280,843 | | | 6,003 | | | 1,060,207 | | | 5,115 | |
| Issued in Lieu of Cash Distributions | | 127,673 | | | 585 | | | 138,407 | | | 682 | |
| Redeemed | | (2,304,145 | ) | | (11,075 | ) | | (1,992,087 | ) | | (9,346 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | (895,629 | ) | | (4,487 | ) | | (793,473 | ) | | (3,549 | ) |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 39,859,000 and 39,843,000 shares, respectively, in the amount of $2,917,816,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Small-Cap Growth Index Fund Investor Shares | 32.60% | 10.37% | 13.50% | $35,492 |
 | Spliced Small-Cap Growth Index | 32.75 | 10.46 | 13.57 | 35,688 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 32.75% | 10.51% | 13.65% | $35,956 |
| Small-Cap Growth Index Fund ETF Shares Market Price | 32.86 | 10.50 | 13.66 | 35,987 |
| Spliced Small-Cap Growth Index | 32.75 | 10.46 | 13.57 | 35,688 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Growth Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Small-Cap Growth Index Fund Admiral Shares | 32.76% | 10.51% | 14.27% | $30,097 |
| Spliced Small-Cap Growth Index | 32.75 | 10.46 | 14.19 | 29,927 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 15.10 | 31,944 |
"Since Inception" performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Small-Cap Growth Index Fund Institutional Shares | 32.77% | 10.51% | 13.67% | $18,007,166 |
| Spliced Small-Cap Growth Index | 32.75 | 10.46 | 13.57 | 17,843,861 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| One | Five | Ten |
| Year | Years | Years |
| Small-Cap Growth Index Fund ETF Shares Market Price | | 32.86% | 64.74% | 259.87% |
| Small-Cap Growth Index Fund ETF Shares Net Asset Value | | 32.75 | 64.79 | 259.56 |
| Spliced Small-Cap Growth Index | | 32.75 | 64.44 | 256.88 |
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.
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Small-Cap Growth Index Fund
Sector Diversification
As of December 31, 2019
| Basic Materials | 1.6% |
| Consumer Goods | 5.6 |
| Consumer Services | 12.7 |
| Financials | 15.2 |
| Health Care | 21.4 |
| Industrials | 19.7 |
| Oil & Gas | 3.3 |
| Other | 0.0 |
| Technology | 19.4 |
| Telecommunications | 0.2 |
| 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Small-Cap Growth Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | | Percentage | |
| | | | | Value· | | of Net | |
| | | Shares | | ($000 | ) | Assets | |
| Common Stocks | | | | | | |
| Basic Materials | | | | | | |
| | Royal Gold Inc. | 984,784 | | 120,390 | | 0.5% | |
| | Basic Materials—Other † | | | 288,355 | | 1.1% | |
| | | | | 408,745 | | 1.6% | |
| Consumer Goods | | | | | | |
| | Pool Corp. | 571,067 | | 121,283 | | 0.5% | |
| | Gentex Corp. | 3,797,809 | | 110,061 | | 0.4% | |
| * | Post Holdings Inc. | 955,418 | | 104,236 | | 0.4% | |
| | Consumer Goods—Other † | | | 1,109,557 | | 4.3% | |
| | | | | 1,445,137 | | 5.6% | |
| Consumer Services | | | | | | |
| * | Trade Desk Inc. Class A | 598,530 | | 155,486 | | 0.6% | |
| * | Liberty Media Corp-Liberty Formula One | 2,902,488 | | 133,413 | | 0.5% | |
| * | Bright Horizons Family Solutions Inc. | 873,504 | | 131,279 | | 0.5% | |
| | Cable One Inc. | 77,159 | | 114,849 | | 0.5% | |
| * | Burlington Stores Inc. | 497,567 | | 113,460 | | 0.5% | |
| * | Caesars Entertainment Corp. | 8,175,122 | | 111,182 | | 0.4% | |
| * | Five Below Inc. | 835,782 | | 106,863 | | 0.4% | |
| | Consumer Services—Other † | | | 2,420,296 | | 9.3% | |
| | | | | 3,286,828 | | 12.7% | |
| Financials | | | | | | |
| | Equity LifeStyle Properties Inc. | 2,596,843 | | 182,792 | | 0.7% | |
| | Apollo Global Management LLC | 3,005,692 | | 143,401 | | 0.6% | |
| | Kilroy Realty Corp. | 1,591,586 | | 133,534 | | 0.5% | |
| | STORE Capital Corp. | 3,172,541 | | 118,145 | | 0.5% | |
| | Lamar Advertising Co. Class A | 1,291,283 | | 115,260 | | 0.4% | |
| | CyrusOne Inc. | 1,699,455 | | 111,195 | | 0.4% | |
| | Douglas Emmett Inc. | 2,500,979 | | 109,793 | | 0.4% | |
| | Financials—Other † | | | 3,016,816 | | 11.6% | |
| | | | | 3,930,936 | | 15.1% | |
Small-Cap Growth Index Fund
| | | | | Market | | Percentage | |
| | | | | Value· | | of Net | |
| | | Shares | | ($000 | ) | Assets | |
| Health Care | | | | | | |
| | West Pharmaceutical Services Inc. | 1,110,888 | | 167,000 | | 0.7% | |
| * | Insulet Corp. | 928,137 | | 158,897 | | 0.6% | |
| * | Neurocrine Biosciences Inc. | 1,382,614 | | 148,617 | | 0.6% | |
| * | Sarepta Therapeutics Inc. | 1,063,192 | | 137,194 | | 0.5% | |
| | Bio-Techne Corp. | 572,180 | | 125,599 | | 0.5% | |
| * | Catalent Inc. | 2,196,855 | | 123,683 | | 0.5% | |
| * | Bio-Rad Laboratories Inc. Class A | 316,942 | | 117,278 | | 0.5% | |
| * | Ionis Pharmaceuticals Inc. | 1,900,648 | | 114,818 | | 0.4% | |
| * | Masimo Corp. | 724,433 | | 114,504 | | 0.4% | |
| | Chemed Corp. | 240,366 | | 105,583 | | 0.4% | |
| * | PRA Health Sciences Inc. | 949,546 | | 105,542 | | 0.4% | |
| | Health Care—Other † | | | 4,121,561 | | 15.9% | |
| | | | | 5,540,276 | | 21.4% | |
| Industrials | | | | | | |
| * | Zebra Technologies Corp. | 809,543 | | 206,790 | | 0.8% | |
| * | Teledyne Technologies Inc. | 547,564 | | 189,753 | | 0.7% | |
| * | Fair Isaac Corp. | 413,047 | | 154,760 | | 0.6% | |
| * | WEX Inc. | 649,897 | | 136,127 | | 0.5% | |
| | Lennox International Inc. | 549,554 | | 134,075 | | 0.5% | |
| | Universal Display Corp. | 636,575 | | 131,179 | | 0.5% | |
| | Graco Inc. | 2,503,971 | | 130,206 | | 0.5% | |
| | Toro Co. | 1,600,454 | | 127,508 | | 0.5% | |
| | Nordson Corp. | 776,795 | | 126,493 | | 0.5% | |
| * | Euronet Worldwide Inc. | 770,552 | | 121,408 | | 0.5% | |
| | Genpact Ltd. | 2,851,791 | | 120,260 | | 0.5% | |
| | Woodward Inc. | 883,770 | | 104,674 | | 0.4% | |
| | Industrials—Other † | | | 3,419,133 | | 13.2% | |
| | | | | 5,102,366 | | 19.7% | |
| | | | | | | | |
| Oil & Gas † | | | 867,245 | | 3.3% | |
| | | | | | | |
| §,1Other † | | | 1,059 | | 0.0% | |
| | | | | | | |
| Technology | | | | | | |
| * | Tyler Technologies Inc. | 585,295 | | 175,600 | | 0.7% | |
| * | EPAM Systems Inc. | 784,175 | | 166,371 | | 0.6% | |
| * | DocuSign Inc. Class A | 2,113,822 | | 156,655 | | 0.6% | |
| * | Coupa Software Inc. | 943,430 | | 137,977 | | 0.5% | |
| * | Guidewire Software Inc. | 1,239,663 | | 136,078 | | 0.5% | |
| * | Zendesk Inc. | 1,684,070 | | 129,050 | | 0.5% | |
| * | Aspen Technology Inc. | 1,024,014 | | 123,834 | | 0.5% | |
| * | PTC Inc. | 1,560,553 | | 116,870 | | 0.5% | |
| | Monolithic Power Systems Inc. | 619,647 | | 110,310 | | 0.4% | |
| | Technology—Other † | | | 3,766,253 | | 14.5% | |
| | | | | 5,018,998 | | 19.3% | |
| | | | | | | |
| Telecommunications † | | | 56,399 | | 0.2% | |
| | | | | | | |
| Utilities † | | | 224,912 | | 0.9% | |
| Total Common Stocks (Cost $19,287,201) | | | 25,882,901 | | 99.8%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 | 1.816% | | 5,490,515 | | 549,107 | | 2.1% | |
| | | | | | | | | |
| 5U.S. Government and Agency Obligations † | | | | | 2,487 | | 0.0% | |
| Total Temporary Cash Investments (Cost $551,543) | | | | | 551,594 | | 2.1%2 | |
| 6Total Investments (Cost $19,838,744) | | | | | 26,434,495 | | 101.9% | |
| | Amount | | | |
| | ($000 | ) | | |
| Other Assets and Liabilities | | | | |
| Other Assets | | | | |
| Investment in Vanguard | 1,148 | | | |
| Receivables for Investment Securities Sold | 37 | | | |
| Receivables for Accrued Income | 19,282 | | | |
| Receivables for Capital Shares Issued | 14,217 | | | |
| Variation Margin Receivable—Futures Contracts | 143 | | | |
| Other Assets4,5 | 10,211 | | | |
| Total Other Assets | 45,038 | | 0.2% | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | (2,348 | ) | | |
| Collateral for Securities on Loan | (477,535 | ) | | |
| Payables for Capital Shares Redeemed | (53,695 | ) | | |
| Payables to Vanguard | (5,877 | ) | | |
| Total Liabilities | (539,455 | ) | (2.1% | ) |
| Net Assets | 25,940,078 | | 100.0% | |
At December 31, 2019, net assets consisted of:
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 21,105,125 | |
| Total Distributable Earnings (Loss) | 4,834,953 | |
| Net Assets | 25,940,078 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 3,063,549 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 171,209 | |
| Net Asset Value Per Share—Investor Shares | $55.89 | |
| | | |
| ETF Shares—Net Assets | | |
| Applicable to 49,491,953 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,833,174 | |
| Net Asset Value Per Share—ETF Shares | $198.68 | |
Small-Cap Growth Index Fund
| | Amount | |
| | ($000 | ) |
| Admiral Shares—Net Assets | | |
| Applicable to 182,025,791 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,717,450 | |
| Net Asset Value Per Share—Admiral Shares | $69.87 | |
| | | |
| Institutional Shares—Net Assets | | |
| Applicable to 57,517,838 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,218,245 | |
| Net Asset Value Per Share—Institutional Shares | $55.95 | |
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Certain of the fund’s securities are valued by 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. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.8%, 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 | Collateral of $477,535,000 was received for securities on loan, of which $475,505,000 is held in Vanguard Market Liquidity Fund and $2,030,000 is held in cash. |
| 5 | Securities with a value of $493,000 and cash of $2,745,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $459,303,000. |
| 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 2020 | | 816 | | 68,160 | | 500 | |
| E-mini S&P Mid-Cap 400 Index | March 2020 | | 40 | | 8,259 | | 143 | |
| | | | | | | | 643 | |
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Growth Index Fund
Statement of Operations
| | Year Ended | |
| | | December 31, 2019 | |
| | | ($000 | ) |
| Investment Income | | | |
| Income | | | |
| Dividends | | 157,904 | |
| Interest1 | | 1,196 | |
| Securities Lending—Net | | 11,826 | |
| Total Income | | 170,926 | |
| Expenses | | | |
| The Vanguard Group—Note B | | | |
| Investment Advisory Services | | 2,970 | |
| Management and Administrative—Investor Shares | | 1,618 | |
| Management and Administrative—ETF Shares | | 4,224 | |
| Management and Administrative—Admiral Shares | | 5,554 | |
| Management and Administrative—Institutional Shares | | 1,289 | |
| Marketing and Distribution—Investor Shares | | 88 | |
| Marketing and Distribution—ETF Shares | | 431 | |
| Marketing and Distribution—Admiral Shares | | 652 | |
| Marketing and Distribution—Institutional Shares | | 108 | |
| Custodian Fees | | 170 | |
| Auditing Fees | | 40 | |
| Shareholders’ Reports—Investor Shares | | 20 | |
| Shareholders’ Reports—ETF Shares | | 392 | |
| Shareholders’ Reports—Admiral Shares | | 106 | |
| Shareholders’ Reports—Institutional Shares | | 72 | |
| Trustees’ Fees and Expenses | | 13 | |
| Total Expenses | | 17,747 | |
| Net Investment Income | | 153,179 | |
| Realized Net Gain (Loss) | | | |
| Investment Securities Sold1,2 | | 1,864,077 | |
| Futures Contracts | | 9,165 | |
| Swap Contracts | | 1,140 | |
| Realized Net Gain (Loss) | | 1,874,382 | |
| Change in Unrealized Appreciation (Depreciation) | | | |
| Investment Securities1 | | 4,482,218 | |
| Futures Contracts | | 718 | |
| Swap Contracts | | 347 | |
| Change in Unrealized Appreciation (Depreciation) | | 4,483,283 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | 6,510,844 | |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,092,000, $35,000, and $26,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,349,926,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 153,179 | 158,396 |
| Realized Net Gain (Loss) | 1,874,382 | 2,295,820 |
| Change in Unrealized Appreciation (Depreciation) | 4,483,283 | (3,711,634) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,510,844 | (1,257,418) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (3,662) | (9,967) |
| ETF Shares | (55,954) | (56,509) |
| Admiral Shares | (70,366) | (66,784) |
| Institutional Shares | (19,599) | (23,981) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (149,581) | (157,241) |
| Capital Share Transactions | | |
| Investor Shares | (1,668,248) | (266,009) |
| ETF Shares | 219,981 | 846,790 |
| Admiral Shares | 1,358,659 | 470,431 |
| Institutional Shares | (496,162) | (687,407) |
| Net Increase (Decrease) from Capital Share Transactions | (585,770) | 363,805 |
| Total Increase (Decrease) | 5,775,493 | (1,050,854) |
| Net Assets | | |
| Beginning of Period | 20,164,585 | 21,215,439 |
| End of Period | 25,940,078 | 20,164,585 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $42.36 | $45.24 | $37.43 | $34.18 | $35.40 | |
| Investment Operations | | | | | | |
| Net Investment Income | .1781 | .2741 | .3151 | .355 | .292 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.617 | (2.879) | 7.814 | 3.257 | (1.225) | |
| Total from Investment Operations | 13.795 | (2.605) | 8.129 | 3.612 | (.933) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.265) | (.275) | (.319) | (.362) | (.287) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.265) | (.275) | (.319) | (.362) | (.287) | |
| Net Asset Value, End of Period | $55.89 | $42.36 | $45.24 | $37.43 | $34.18 | |
| | | | | | | |
| Total Return2 | 32.60% | -5.80% | 21.78% | 10.61% | -2.64% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $171 | $1,461 | $1,816 | $1,850 | $1,986 | |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.20% | |
| Ratio of Net Investment Income to Average Net Assets | 0.35% | 0.58% | 0.78% | 1.03% | 0.82% | |
| Portfolio Turnover Rate3 | 18% | 22% | 19% | 27% | 23% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $150.57 | $160.81 | $133.07 | $121.53 | $125.88 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.1751 | 1.2141 | 1.3201 | 1.416 | 1.202 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 48.077 | (10.263) | 27.731 | 11.563 | (4.362) | |
| Total from Investment Operations | 49.252 | (9.049) | 29.051 | 12.979 | (3.160) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.142) | (1.191) | (1.311) | (1.439) | (1.190) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.142) | (1.191) | (1.311) | (1.439) | (1.190) | |
| Net Asset Value, End of Period | $198.68 | $150.57 | $160.81 | $133.07 | $121.53 | |
| | | | | | | |
| Total Return | 32.75% | -5.68% | 21.90% | 10.74% | -2.51% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $9,833 | $7,286 | $6,981 | $5,328 | $4,422 | |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 0.64% | 0.70% | 0.90% | 1.15% | 0.94% | |
| Portfolio Turnover Rate2 | 18% | 22% | 19% | 27% | 23% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $52.95 | $56.55 | $46.79 | $42.73 | $44.26 |
| Investment Operations | | | | | |
| Net Investment Income | .4191 | .4231 | .4651 | .496 | .421 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.902 | (3.605) | 9.755 | 4.069 | (1.534) |
| Total from Investment Operations | 17.321 | (3.182) | 10.220 | 4.565 | (1.113) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.401) | (.418) | (.460) | (.505) | (.417) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.401) | (.418) | (.460) | (.505) | (.417) |
| Net Asset Value, End of Period | $69.87 | $52.95 | $56.55 | $46.79 | $42.73 |
| | | | | | |
| Total Return2 | 32.76% | -5.68% | 21.92% | 10.73% | -2.52% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $12,717 | $8,560 | $8,729 | $6,648 | $5,933 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 0.65% | 0.70% | 0.90% | 1.15% | 0.94% |
| Portfolio Turnover Rate3 | 18% | 22% | 19% | 27% | 23% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $42.40 | $45.29 | $37.47 | $34.22 | $35.45 |
| Investment Operations | | | | | |
| Net Investment Income | .3271 | .3351 | .3751 | .401 | .341 |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.550 | (2.886) | 7.818 | 3.257 | (1.234) |
| Total from Investment Operations | 13.877 | (2.551) | 8.193 | 3.658 | (.893) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.327) | (.339) | (.373) | (.408) | (.337) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.327) | (.339) | (.373) | (.408) | (.337) |
| Net Asset Value, End of Period | $55.95 | $42.40 | $45.29 | $37.47 | $34.22 |
| | | | | | |
| Total Return | 32.77% | -5.69% | 21.94% | 10.74% | -2.52% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $3,218 | $2,858 | $3,690 | $2,969 | $2,793 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 0.64% | 0.71% | 0.91% | 1.16% | 0.95% |
| Portfolio Turnover Rate2 | 18% | 22% | 19% | 27% | 23% |
| 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.
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 counter-party 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, 2019, 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.
Small-Cap Growth 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, 2019, 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. The fund had no open swap contracts at December 31, 2019.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2016–2019), 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.
Small-Cap Growth 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
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, 2019, the fund had contributed to Vanguard capital in the amount of $1,148,000, representing less than 0.01% of the fund’s net assets and 0.46% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 25,881,842 | — | 1,059 |
| Temporary Cash Investments | 549,107 | 2,487 | — |
| Futures Contracts—Assets1 | 143 | — | — |
| Total | 26,431,092 | 2,487 | 1,059 |
1 Represents variation margin on the last day of the reporting period.
Small-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 swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 2,349,926 |
| Total Distributable Earnings (Loss) | (2,349,926) |
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 | 2,326 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (1,758,188) |
| Net Unrealized Gains (Losses) | 6,595,751 |
As of December 31, 2019, 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 | 19,838,744 |
| Gross Unrealized Appreciation | 8,119,417 |
| Gross Unrealized Depreciation | (1,523,666) |
| Net Unrealized Appreciation (Depreciation) | 6,595,751 |
E. During the year ended December 31, 2019, the fund purchased $7,995,052,000 of investment securities and sold $8,562,118,000 of investment securities, other than temporary cash investments. Purchases and sales include $3,187,481,000 and $4,224,259,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Small-Cap Growth Index Fund
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, 2019, such purchases and sales were $845,642,000 and $1,489,858,000, 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, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 341,286 | 6,457 | | 326,985 | 6,728 |
| Issued in Lieu of Cash Distributions | 3,457 | 68 | | 9,311 | 203 |
| Redeemed1 | (2,012,991) | (37,953) | | (602,305) | (12,592) |
| Net Increase (Decrease)—Investor Shares | (1,668,248) | (31,428) | | (266,009) | (5,661) |
| ETF Shares | | | | | |
| Issued | 4,498,039 | 24,355 | | 5,125,778 | 29,178 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (4,278,058) | (23,250) | | (4,278,988) | (24,200) |
| Net Increase (Decrease)—ETF Shares | 219,981 | 1,105 | | 846,790 | 4,978 |
| Admiral Shares | | | | | |
| Issued1 | 3,425,464 | 52,593 | | 2,387,365 | 39,460 |
| Issued in Lieu of Cash Distributions | 64,077 | 968 | | 61,293 | 1,064 |
| Redeemed | (2,130,882) | (33,212) | | (1,978,227) | (33,209) |
| Net Increase (Decrease)—Admiral Shares | 1,358,659 | 20,349 | | 470,431 | 7,315 |
| Institutional Shares | | | | | |
| Issued | 517,209 | 10,047 | | 764,172 | 15,779 |
| Issued in Lieu of Cash Distributions | 18,501 | 351 | | 22,675 | 490 |
| Redeemed | (1,031,872) | (20,274) | | (1,474,254) | (30,348) |
| Net Increase (Decrease)—Institutional Shares | (496,162) | (9,876) | | (687,407) | (14,079) |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 28,587,000 and 22,871,000 shares, respectively, in the amount of $1,526,396,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Small-Cap Value Index Fund Investor Shares | 22.61% | 7.34% | 11.77% | $30,426 |
 | Spliced Small-Cap Value Index | 22.76 | 7.47 | 11.94 | 30,889 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 22.76% | 7.46% | 11.91% | $30,820 |
| Small-Cap Value Index Fund ETF Shares Market Price | 22.77 | 7.46 | 11.92 | 30,830 |
| Spliced Small-Cap Value Index | 22.76 | 7.47 | 11.94 | 30,889 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Small-Cap Value Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Small-Cap Value Index Fund Admiral Shares | 22.76% | 7.46% | 13.41% | $28,284 |
| Spliced Small-Cap Value Index | 22.76 | 7.47 | 13.44 | 28,341 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 15.10 | 31,944 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Small-Cap Value Index Fund Institutional Shares | 22.81% | 7.47% | 11.93% | $15,432,565 |
| Spliced Small-Cap Value Index | 22.76 | 7.47 | 11.94 | 15,444,718 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | One | Five | Ten |
| | Year | Years | Years |
| Small-Cap Value Index Fund ETF Shares Market Price | 22.77% | 43.30% | 208.30% |
| Small-Cap Value Index Fund ETF Shares Net Asset Value | 22.76 | 43.32 | 208.20 |
| Spliced Small-Cap Value Index | 22.76 | 43.36 | 208.89 |
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.
Small-Cap Value Index Fund
Sector Diversification
As of December 31, 2019
| Basic Materials | 5.2% |
| Consumer Goods | 8.2 |
| Consumer Services | 10.4 |
| Financials | 34.8 |
| Health Care | 5.0 |
| Industrials | 21.8 |
| Oil & Gas | 2.2 |
| Other | 0.0 |
| Technology | 6.7 |
| Telecommunications | 0.4 |
| Utilities | 5.3 |
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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Small-Cap Value Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market | | Percentage |
| | | | Value· | | of Net |
| | | Shares | ($000 | ) | Assets |
| Common Stocks | | | | |
| Basic Materials | | | | |
| | RPM International Inc. | 2,003,020 | 153,752 | | 0.5% |
| | Steel Dynamics Inc. | 3,171,463 | 107,957 | | 0.3% |
| | Basic Materials—Other † | | 1,418,206 | | 4.4% |
| | | | 1,679,915 | | 5.2% |
| Consumer Goods | | | | |
| * | US Foods Holding Corp. | 3,390,265 | 142,018 | | 0.4% |
| | Leggett & Platt Inc. | 2,036,233 | 103,502 | | 0.3% |
| | Consumer Goods—Other † | | 2,432,386 | | 7.5% |
| | | | 2,677,906 | | 8.2% |
| Consumer Services | | | | |
| | Service Corp. International | 2,682,565 | 123,478 | | 0.4% |
| | Consumer Services—Other † | | 3,268,073 | | 10.0% |
| | | | 3,391,551 | | 10.4% |
| Financials | | | | |
| | Medical Properties Trust Inc. | 8,000,709 | 168,895 | | 0.5% |
| | VICI Properties Inc. | 6,119,429 | 156,351 | | 0.5% |
| | Liberty Property Trust | 2,437,917 | 146,397 | | 0.5% |
| | Brown & Brown Inc. | 3,695,911 | 145,915 | | 0.5% |
| | National Retail Properties Inc. | 2,651,662 | 142,182 | | 0.4% |
| | Gaming and Leisure Properties Inc. | 3,148,423 | 135,540 | | 0.4% |
| | RenaissanceRe Holdings Ltd. | 681,680 | 133,623 | | 0.4% |
| | American Financial Group Inc. | 1,113,676 | 122,115 | | 0.4% |
| | Apartment Investment & Management Co. | 2,300,963 | 118,845 | | 0.4% |
| | Assurant Inc. | 891,281 | 116,829 | | 0.4% |
| | LPL Financial Holdings Inc. | 1,244,991 | 114,850 | | 0.4% |
| | TCF Financial Corp. | 2,377,362 | 111,261 | | 0.3% |
| | East West Bancorp Inc. | 2,263,249 | 110,220 | | 0.3% |
| | Signature Bank | 792,227 | 108,226 | | 0.3% |
Small-Cap Value Index Fund
| | | | Market | | Percentage |
| | | | Value· | | of Net |
| | | Shares | ($000 | ) | Assets |
| | Commerce Bancshares Inc. | 1,565,901 | 106,387 | | 0.3% |
| | New Residential Investment Corp. | 6,401,079 | 103,121 | | 0.3% |
| | Starwood Property Trust Inc. | 4,136,468 | 102,833 | | 0.3% |
| | Prosperity Bancshares Inc. | 1,390,525 | 99,965 | | 0.3% |
| | Old Republic International Corp. | 4,455,666 | 99,673 | | 0.3% |
| | Brixmor Property Group Inc. | 4,611,286 | 99,650 | | 0.3% |
| | Financials—Other † | | 8,849,126 | | 27.1% |
| | | | 11,292,004 | | 34.6% |
| Health Care | | | | |
| | PerkinElmer Inc. | 1,718,036 | 166,821 | | 0.5% |
| * | Molina Healthcare Inc. | 965,755 | 131,043 | | 0.4% |
| | Encompass Health Corp. | 1,518,845 | 105,210 | | 0.3% |
| | STERIS plc | 652,927 | 99,519 | | 0.3% |
| § | Health Care—Other † | | 1,124,929 | | 3.5% |
| | | | 1,627,522 | | 5.0% |
| Industrials | | | | |
| | IDEX Corp. | 1,173,849 | 201,902 | | 0.6% |
| | Allegion plc | 1,434,399 | 178,640 | | 0.6% |
| | Booz Allen Hamilton Holding Corp. Class A | 2,170,673 | 154,400 | | 0.5% |
| | Carlisle Cos. Inc. | 875,261 | 141,652 | | 0.4% |
| | Spirit AeroSystems Holdings Inc. Class A | 1,594,701 | 116,222 | | 0.4% |
| | AptarGroup Inc. | 987,227 | 114,143 | | 0.4% |
| | Donaldson Co. Inc. | 1,951,892 | 112,468 | | 0.3% |
| | Owens Corning | 1,683,473 | 109,628 | | 0.3% |
| * | Arrow Electronics Inc. | 1,254,561 | 106,311 | | 0.3% |
| * | HD Supply Holdings Inc. | 2,568,800 | 103,317 | | 0.3% |
| | Flowserve Corp. | 2,015,521 | 100,312 | | 0.3% |
| | ITT Inc. | 1,350,753 | 99,834 | | 0.3% |
| | Oshkosh Corp. | 1,048,204 | 99,213 | | 0.3% |
| * | AECOM | 2,298,630 | 99,140 | | 0.3% |
| * | Generac Holdings Inc. | 963,332 | 96,902 | | 0.3% |
| | Industrials—Other † | | 5,236,161 | | 16.1% |
| | | | 7,070,245 | | 21.7% |
| | | | | | |
| Oil & Gas † | | 722,710 | | 2.2% |
| | | | | |
| §,1Other † | | 182 | | 0.0% |
| | | | | |
| Technology | | | | |
| | Leidos Holdings Inc. | 2,185,821 | 213,970 | | 0.7% |
| * | ON Semiconductor Corp. | 6,349,999 | 154,813 | | 0.5% |
| | Cypress Semiconductor Corp. | 5,720,275 | 133,454 | | 0.4% |
| | Technology—Other † | | 1,665,849 | | 5.1% |
| | | | 2,168,086 | | 6.7% |
| | | | | | |
| Telecommunications † | | 142,643 | | 0.4% |
| | | | | |
| Utilities | | | | |
| | Atmos Energy Corp. | 1,840,751 | 205,906 | | 0.6% |
| | Aqua America Inc. | 3,323,865 | 156,022 | | 0.5% |
| | UGI Corp. | 3,236,318 | 146,152 | | 0.5% |
| | Utilities—Other † | | 1,211,263 | | 3.7% |
| | | | 1,719,343 | | 5.3% |
| Total Common Stocks (Cost $26,823,318) | | 32,492,107 | | 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 | 1.816% | 4,542,170 | 454,262 | | 1.4% |
| | | | | | |
| 5U.S. Government and Agency Obligations † | | | 2,985 | | 0.0% |
| Total Temporary Cash Investments (Cost $457,209) | | | 457,247 | | 1.4%2 |
| 6Total Investments (Cost $27,280,527) | | | 32,949,354 | | 101.1% |
| | Amount | |
| | ($000) | |
| Other Assets and Liabilities | | |
| Other Assets | | |
| Investment in Vanguard | 1,429 | |
| Receivables for Investment Securities Sold | 872 | |
| Receivables for Accrued Income | 61,258 | |
| Receivables for Capital Shares Issued | 19,447 | |
| Variation Margin Receivable—Futures Contracts | 147 | |
| Unrealized Appreciation—OTC Swap Contracts | 1,248 | |
| Other Assets4,5 | 1,410 | |
| Total Other Assets | 85,811 | 0.2% |
| Liabilities | | |
| Payables for Investment Securities Purchased | (1,955) | |
| Collateral for Securities on Loan | (376,609) | |
| Payables for Capital Shares Redeemed | (44,467) | |
| Payables to Vanguard | (7,107) | |
| Variation Margin Payable—Futures Contracts | (8) | |
| Other Liabilities | (3,378) | |
| Total Liabilities | (433,524) | (1.3%) |
| Net Assets | 32,601,641 | 100.0% |
At December 31, 2019, net assets consisted of:
| | Amount |
| | ($000) |
| Paid-in Capital | 28,274,226 |
| Total Distributable Earnings (Loss) | 4,327,415 |
| Net Assets | 32,601,641 |
| |
| Investor Shares—Net Assets |
| Applicable to 7,748,899 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 254,620 |
| Net Asset Value Per Share—Investor Shares | $32.86 |
| |
| ETF Shares—Net Assets |
| Applicable to 108,052,658 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,808,261 |
| Net Asset Value Per Share—ETF Shares | $137.05 |
Small-Cap Value Index Fund
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets |
| Applicable to 236,161,254 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 13,906,972 |
| Net Asset Value Per Share—Admiral Shares | $58.89 |
| |
| Institutional Shares—Net Assets |
| Applicable to 110,337,154 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 3,631,788 |
| Net Asset Value Per Share—Institutional Shares | $32.92 |
| · | 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 1.1%, 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 | Collateral of $376,609,000 was received for securities on loan, of which $375,739,000 is held in Vanguard Market Liquidity Fund and $870,000 is held in cash. |
| 5 | Securities with a value of $2,985,000 and cash of $540,000 have been segregated as initial margin for open futures contracts. |
| 6 | The total value of securities on loan is $359,675,000. |
OTC—Over-the-Counter.
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 2020 | 894 | | 74,676 | 69 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 50 | | 10,324 | 179 |
| | | | | | 248 |
| Over-the-Counter Total Return Swaps |
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| Assurant Inc. | 2/4/20 | GSI | 5,869 | (1.945) | 26 | — |
| VICI Properties Inc. | 2/4/20 | GSI | 24,610 | (1.745) | 1,222 | — |
| | | | | | 1,248 | — |
1 Payment received/paid monthly.
GSI—Goldman Sachs International.
At December 31, 2019, a counterparty had deposited in a segregated account securities with a value of $1,003,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
Small-Cap Value Index Fund
Statement of Operations
| | Year Ended | |
| | December 31, 2019 | |
| | ($000 | ) |
| Investment Income | | |
| Income | | |
| Dividends | 663,159 | |
| Interest1 | 1,996 | |
| Securities Lending—Net | 17,029 | |
| Total Income | 682,184 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 3,158 | |
| Management and Administrative—Investor Shares | 1,669 | |
| Management and Administrative—ETF Shares | 6,346 | |
| Management and Administrative—Admiral Shares | 6,312 | |
| Management and Administrative—Institutional Shares | 1,472 | |
| Marketing and Distribution—Investor Shares | 93 | |
| Marketing and Distribution—ETF Shares | 573 | |
| Marketing and Distribution—Admiral Shares | 747 | |
| Marketing and Distribution—Institutional Shares | 119 | |
| Custodian Fees | 302 | |
| Auditing Fees | 41 | |
| Shareholders’ Reports—Investor Shares | 21 | |
| Shareholders’ Reports—ETF Shares | 894 | |
| Shareholders’ Reports—Admiral Shares | 134 | |
| Shareholders’ Reports—Institutional Shares | 82 | |
| Trustees’ Fees and Expenses | 16 | |
| Total Expenses | 21,979 | |
| Net Investment Income | 660,205 | |
| Realized Net Gain (Loss) | | |
| Investment Securities Sold1,2 | 68,286 | |
| Futures Contracts | 7,899 | |
| Swap Contracts | 3,164 | |
| Realized Net Gain (Loss) | 79,349 | |
| Change in Unrealized Appreciation (Depreciation) | | |
| Investment Securities1 | 5,262,035 | |
| Futures Contracts | 3,343 | |
| Swap Contracts | 1,731 | |
| Change in Unrealized Appreciation (Depreciation) | 5,267,109 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,006,663 | |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,873,000, ($12,000), and $17,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $1,250,629,000 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, |
| |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 660,205 | 614,000 |
| Realized Net Gain (Loss) | 79,349 | 1,646,666 |
| Change in Unrealized Appreciation (Depreciation) | 5,267,109 | (5,946,429) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,006,663 | (3,685,763) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (17,224) | (34,953) |
| ETF Shares | (296,491) | (268,490) |
| Admiral Shares | (272,117) | (232,657) |
| Institutional Shares | (75,237) | (72,499) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (661,069) | (608,599) |
| Capital Share Transactions | | |
| Investor Shares | (1,486,208) | (313,616) |
| ETF Shares | 877,303 | 829,466 |
| Admiral Shares | 1,629,545 | 526,756 |
| Institutional Shares | (69,319) | (79,422) |
| Net Increase (Decrease) from Capital Share Transactions | 951,321 | 963,184 |
| Total Increase (Decrease) | 6,296],915 | (3,331,178) |
| Net Assets | | |
| Beginning of Period | 26,304,726 | 29,635,904 |
| End of Period | 32,601,641 | 26,304,726 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $27.35 | $31.82 | $29.00 | $23.69 | $25.34 |
| Investment Operations | | | | | |
| Net Investment Income | .5431 | .6031 | .5341 | .477 | .431 |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.608 | (4.471) | 2.820 | 5.315 | (1.643) |
| Total from Investment Operations | 6.151 | (3.868) | 3.354 | 5.792 | (1.212) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.641) | (.602) | (.534) | (.482) | (.438) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.641) | (.602) | (.534) | (.482) | (.438) |
| Net Asset Value, End of Period | $32.86 | $27.35 | $31.82 | $29.00 | $23.69 |
| | | | | | |
| Total Return2 | 22.61% | -12.34% | 11.67% | 24.65% | -4.78% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $255 | $1,501 | $2,060 | $2,357 | $1,972 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 1.76% | 1.92% | 1.82% | 1.96% | 1.78% |
| Portfolio Turnover Rate3 | 19% | 18% | 19% | 18% | 16% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $114.05 | $132.71 | $120.95 | $98.81 | $105.71 |
| Investment Operations | | | | | |
| Net Investment Income | 2.8401 | 2.7201 | 2.4271 | 2.119 | 1.933 |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.984 | (18.702) | 11.709 | 22.159 | (6.870) |
| Total from Investment Operations | | 25.824 | (15.982) | 14.136 | 24.278 | (4.937) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.824) | (2.678) | (2.376) | (2.138) | (1.963) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.824) | (2.678) | (2.376) | (2.138) | (1.963) |
| Net Asset Value, End of Period | $137.05 | $114.05 | $132.71 | $120.95 | $98.81 |
| | | | | | |
| Total Return | 22.76% | -12.22% | 11.79% | 24.80% | -4.67% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $14,808 | $11,560 | $12,650 | $10,042 | $5,679 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 2.19% | 2.04% | 1.94% | 2.08% | 1.90% |
| Portfolio Turnover Rate2 | 19% | 18% | 19% | 18% | 16% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $49.01 | $57.02 | $51.97 | $42.46 | $45.42 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.2301 | 1.1651 | 1.0391 | .911 | .830 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.863 | (8.024) | 5.032 | 9.518 | (2.947) | |
| Total from Investment Operations | 11.093 | (6.859) | 6.071 | 10.429 | (2.117) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.213) | (1.151) | (1.021) | (.919) | (.843) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.213) | (1.151) | (1.021) | (.919) | (.843) | |
| Net Asset Value, End of Period | $58.89 | $49.01 | $57.02 | $51.97 | $42.46 | |
| | | | | | | |
| Total Return2 | 22.76% | -12.23% | 11.80% | 24.78% | -4.65% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $13,907 | $10,167 | $11,278 | $9,469 | $6,467 | |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 2.21% | 2.04% | 1.94% | 2.08% | 1.90% | |
| Portfolio Turnover Rate3 | 19% | 18% | 19% | 18% | 16% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $27.39 | $31.87 | $29.05 | $23.73 | $25.39 | |
| Investment Operations | | | | | | |
| Net Investment Income | .6841 | .6511 | .5871 | .510 | .465 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 5.527 | (4.485) | 2.808 | 5.324 | (1.652) | |
| Total from Investment Operations | 6.211 | (3.834) | 3.395 | 5.834 | (1.187) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.681) | (.646) | (.575) | (.514) | (.473) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.681) | (.646) | (.575) | (.514) | (.473) | |
| Net Asset Value, End of Period | $32.92 | $27.39 | $31.87 | $29.05 | $23.73 | |
| | | | | | | |
| Total Return | 22.81% | -12.23% | 11.80% | 24.80% | -4.67% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $3,632 | $3,077 | $3,649 | $2,882 | $2,334 | |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.06% | 0.06% | 0.06% | 0.07% | |
| Ratio of Net Investment Income to Average Net Assets | 2.20% | 2.05% | 1.95% | 2.09% | 1.91% | |
| Portfolio Turnover Rate2 | 19% | 18% | 19% | 18% | 16% | |
| 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.
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, 2019, 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.
Small-Cap Value 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, 2019, 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, 2016–2019), 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.
Small-Cap Value Index Fund
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
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, 2019, the fund had contributed to Vanguard capital in the amount of $1,429,000, representing less then 0.01% of the fund’s net assets and 0.57% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 32,491,918 | — | 189 |
| Temporary Cash Investments | 454,262 | 2,985 | — |
| Futures Contracts—Assets1 | 147 | — | — |
| Futures Contracts—Liabilities1 | (8) | — | — |
| Swap Contracts—Assets | — | 1,248 | — |
| Total | 32,946,319 | 4,233 | 189 |
1 Represents variation margin on the last day of the reporting period.
Small-Cap 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, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 1,250,629 |
| Total Distributable Earnings (Loss) | (1,250,629) |
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 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 | 16,481 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (1,339,428) |
| Net Unrealized Gains (Losses) | 5,656,286 |
As of December 31, 2019, 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 | 27,293,068 |
| Gross Unrealized Appreciation | 8,069,893 |
| Gross Unrealized Depreciation | (2,413,607) |
| Net Unrealized Appreciation (Depreciation) | 5,656,286 |
E. During the year ended December 31, 2019, the fund purchased $9,411,224,000 of investment securities and sold $8,388,151,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,670,766,000 and $2,813,508,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Small-Cap Value Index Fund
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, 2019, such purchases and sales were $3,228,990,000 and $692,284,000, 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, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 301,775 | 9,608 | | 270,333 | 8,448 |
| Issued in Lieu of Cash Distributions | 16,430 | 533 | | 32,995 | 1,078 |
| Redeemed1 | (1,804,413) | (57,280) | | (616,944) | (19,370) |
| Net Increase (Decrease)—Investor Shares | (1,486,208) | (47,139) | | (313,616) | (9,844) |
| ETF Shares | | | | | |
| Issued | 3,694,906 | 28,401 | | 4,136,630 | 30,836 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (2,817,603) | (21,700) | | (3,307,164) | (24,800) |
| Net Increase (Decrease)—ETF Shares | 877,303 | 6,701 | | 829,466 | 6,036 |
| Admiral Shares | | | | | |
| Issued1 | 3,509,475 | 62,730 | | 2,473,497 | 43,932 |
| Issued in Lieu of Cash Distributions | 240,084 | 4,252 | | 206,324 | 3,770 |
| Redeemed | (2,120,014) | (38,287) | | (2,153,065) | (38,003) |
| Net Increase (Decrease)—Admiral Shares | 1,629,545 | 28,695 | | 526,756 | 9,699 |
| Institutional Shares | | | | | |
| Issued | 867,066 | 28,137 | | 781,491 | 24,577 |
| Issued in Lieu of Cash Distributions | 68,539 | 2,175 | | 65,697 | 2,147 |
| Redeemed | (1,004,924) | (32,296) | | (926,610) | (28,887) |
| Net Increase (Decrease)—Institutional Shares | (69,319) | (1,984) | | (79,422) | (2,163) |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 44,669,000 and 24,926,000 shares, respectively, in the amount of $1,357,764,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (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, 2019, 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, 2019 and each of the financial highlights for each of the five years in the period ended December 31, 2019 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, 2019 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 opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Small-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2019, 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 | 940,445 |
| Small-Cap Growth Index Fund | 108,581 |
| Small-Cap Value Index Fund | 460,897 |
The funds distributed qualified business income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Small-Cap Index Fund | 324,553 |
| Small-Cap Growth Index Fund | 41,000 |
| Small-Cap Value Index Fund | 146,956 |
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 | 66.5% |
| Small-Cap Growth Index Fund | 71.1 |
| Small-Cap Value Index Fund | 67.7 |
The CRSP US Small Cap Index, CRSP US Small Cap Growth Index, and CRSP US Small Cap Value Index (the “Indexes”) are products of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and have been licensed for use by Vanguard. CRSP® is a trademark of CRSP and has been licensed by CRSP for use for certain purposes by Vanguard. Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds are not sponsored, endorsed, sold, or promoted by CRSP or the University. Neither CRSP nor the University makes any representation or warranty, express or implied, to the owners of Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds particularly or the ability of the Indexes to track general market performance. The Indexes are determined, composed, and calculated without regard to Vanguard or Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds into consideration in determining, composing, or calculating the Indexes. Neither CRSP nor the University is responsible for or has participated in the determination of the prices and amount of Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds or the timing of the issuance or sale of Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds or in the determination or calculation of the equation by which Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds are to be converted into cash, surrendered, or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Small-Cap Index, Small Cap Growth Index, and Small Cap Value Index Funds. There is no assurance that investment products based on the Indexes will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD SMALL-CAP INDEX, SMALL-CAP GROWTH INDEX, AND SMALL-CAP VALUE INDEX FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, OR LOST TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
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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 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. 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 Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; 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) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
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. 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.
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), and the Lumina Foundation.
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
Director of the V Foundation and Oxfam America. 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) 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 (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
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 (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
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
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
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. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), 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. 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.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
| 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 |
| | |
| | |
| | P.O. Box 2600 |
| | Valley Forge, PA 19482-2600 |
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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, www.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 www.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 2020, Bloomberg. All rights reserved.
| | © 2020 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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| | Q480 022020 |
Annual Report| December 31, 2019 Vanguard U.S. Stock Index Funds
Mid-Capitalization Portfolios |
Vanguard Extended Market Index Fund Vanguard Mid-Cap Index Fund Vanguard Mid-Cap Growth Index Fund Vanguard Mid-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 Chairman | 1 |
| | |
| Your Fund’s Performance at a Glance | 2 |
| | |
| About Your Fund’s Expenses | 3 |
| | |
| Extended Market Index Fund | 6 |
| | |
| Mid-Cap Index Fund | 30 |
| | |
| Mid-Cap Growth Index Fund | 54 |
| | |
| Mid-Cap Value Index Fund | 71 |
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 Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
| | |
| Sincerely, | |
 | |
| Mortimer J. Buckley | |
| Chairman and Chief Executive Officer | |
| January 23, 2020 | |
| | |
Your Fund’s Performance at a Glance
· Returns for the 12 months ended December 31, 2019, ranged from nearly 28% for Vanguard Mid-Cap Value Index Fund to almost 34% for Vanguard Mid-Cap Growth Index Fund. Vanguard Mid-Cap Index Fund, which contains both growth and value stocks, returned nearly 31%. Vanguard Extended Market Index Fund, which includes both small- and mid-capitalization holdings, posted a result of almost 28%. All returns are for Investor Shares. Each fund closely tracked its target index.
· Growth stocks outperformed value, while large-caps led mid- and small-caps over the period.
· Industrials contributed the most to the Mid-Cap Index and Growth Index Funds’ results, financials to the Value Index Fund, and information technology to the Extended Market Index Fund. No sectors in any of the funds detracted from performance.
· 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.
| Market Barometer | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | One Year | Three Years | Five Years | |
| Stocks | |
| Russell 1000 Index (Large-caps) | | 31.43% | 15.05% | 11.48% | |
| Russell 2000 Index (Small-caps) | | 25.53 | 8.59 | 8.23 | |
| Russell 3000 Index (Broad U.S. market) | | 31.02 | 14.57 | 11.24 | |
| FTSE All-World ex US Index (International) | | 21.81 | 9.96 | 5.83 | |
| | |
| Bonds | |
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | | 8.72% | 4.03% | 3.05% | |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | | 7.54 | 4.72 | 3.53 | |
| FTSE Three-Month U.S. Treasury Bill Index | | 2.25 | 1.65 | 1.04 | |
| | |
| CPI | |
| Consumer Price Index | | 2.29% | 2.10% | 1.82% | |
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 compareongoingcosts 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, 2019 | | | |
| Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2019 | 12/31/2019 | Period |
| Based on Actual Fund Return |
| Extended Market Index Fund |
| Investor Shares | $1,000.00 | $1,070.66 | $0.99 |
| ETF Shares | 1,000.00 | 1,071.46 | 0.31 |
| Admiral™ Shares | 1,000.00 | 1,071.48 | 0.26 |
| Institutional Shares | 1,000.00 | 1,071.43 | 0.21 |
| Institutional Plus Shares | 1,000.00 | 1,071.53 | 0.21 |
| Institutional Select Shares | 1,000.00 | 1,071.62 | 0.10 |
| Mid-Cap Index Fund |
| Investor Shares | $1,000.00 | $1,074.50 | $0.89 |
| ETF Shares | 1,000.00 | 1,075.29 | 0.21 |
| Admiral Shares | 1,000.00 | 1,075.24 | 0.26 |
| Institutional Shares | 1,000.00 | 1,075.18 | 0.21 |
| Institutional Plus Shares | 1,000.00 | 1,075.35 | 0.16 |
| Mid-Cap Growth Index Fund |
| Investor Shares | $1,000.00 | $1,067.42 | $0.99 |
| ETF Shares | 1,000.00 | 1,068.15 | 0.36 |
| Admiral Shares | 1,000.00 | 1,068.15 | 0.36 |
| Mid-Cap Value Index Fund |
| Investor Shares | $1,000.00 | $1,082.03 | $1.00 |
| ETF Shares | 1,000.00 | 1,082.62 | 0.37 |
| Admiral Shares | 1,000.00 | 1,082.77 | 0.37 |
| Six Months Ended December 31, 2019 | | | |
| Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2019 | 12/31/2019 | Period |
| Based on Hypothetical 5% Yearly Return | | | |
| Extended Market Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.25 | $0.97 |
| ETF Shares | 1,000.00 | 1,024.90 | 0.31 |
| 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 | 1,025.00 | 0.20 |
| 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 | 1,025.00 | 0.20 |
| Admiral Shares | 1,000.00 | 1,024.95 | 0.26 |
| Institutional Shares | 1,000.00 | 1,024.00 | 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, 0.19% for Investor Shares, 0.06% for ETF Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, 0.04% for Institutional Plus Shares, and 0.02% for Institutional Select Shares; for the Mid-Cap Index Fund, 0.17% for Investor Shares, 0.04% 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Extended Market Index Fund Investor Shares | 27.87% | 8.87% | 12.66% | $32,944 |
 | S&P Completion Index | 27.95 | 8.90 | 12.71 | 33,085 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | | |
| | | | | | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
| Extended Market Index Fund ETF Shares Net Asset Value | 28.04% | 9.02% | 12.81% | $33,382 |
| Extended Market Index Fund ETF Shares Market Price | 28.06 | 9.02 | 12.81 | 33,394 |
| S&P Completion Index | 27.95 | 8.90 | 12.71 | 33,085 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Extended Market Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Extended Market Index Fund Admiral Shares | 28.03% | 9.01% | 12.81% | $33,389 |
| S&P Completion Index | 27.95 | 8.90 | 12.71 | 33,085 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Extended Market Index Fund Institutional Shares | 28.03% | 9.03% | 12.83% | $16,724,954 |
| S&P Completion Index | 27.95 | 8.90 | 12.71 | 16,542,639 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| | | | Since | Final Value |
| | One | Five | Inception | of a $100,000,000 |
| | Year | Years | (1/14/2011) | Investment |
| Extended Market Index Fund Institutional Plus Shares | 28.07% | 9.05% | 10.98% | $254,383,732 |
| S&P Completion Index | 27.95 | 8.90 | 10.84 | 251,472,932 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 12.67 | 291,369,218 |
“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
| | | | Final Value |
| | | Since | of a |
| | One | Inception | $3,000,000,000 |
| | Year | (6/27/2016) | Investment |
| Extended Market Index Fund Institutional Select Shares | 28.09% | 15.22% | $4,933,766,486 |
| S&P Completion Index | 27.95 | 15.04 | 4,906,078,755 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 16.64 | 5,150,006,683 |
“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
Extended Market Index Fund
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | One | Five | Ten |
| | Year | Years | Years |
| Extended Market Index Fund ETF Shares Market Price | 28.06% | 54.02% | 233.94% |
| Extended Market Index Fund ETF Shares Net Asset Value | 28.04 | 54.00 | 233.82 |
| S&P Completion Index | 27.95 | 53.15 | 230.85 |
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, 2019
| Communication Services | 4.8% |
| Consumer Discretionary | 11.3 |
| Consumer Staples | 2.7 |
| Energy | 2.5 |
| Financials | 17.6 |
| Health Care | 13.6 |
| Industrials | 13.6 |
| Information Technology | 17.7 |
| Materials | 4.1 |
| Other | 0.0 |
| Real Estate | 9.4 |
| Utilities | 2.7 |
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 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, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market | Percentage |
| | | | Value· | of Net |
| | | Shares | ($000) | Assets |
| Common Stocks |
| Communication Services | | | |
| * | Liberty Broadband Corp. | 2,146,827 | 269,963 | 0.4% |
| * | IAC/InterActiveCorp | 1,029,186 | 256,381 | 0.3% |
| * | Snap Inc. | 11,146,093 | 182,016 | 0.2% |
| * | Roku Inc. | 1,298,775 | 173,906 | 0.2% |
| § | Communication Services—Other † | | 2,652,739 | 3.6% |
| | | | 3,535,005 | 4.7% |
| Consumer Discretionary | | | |
| *,^ | Tesla Inc. | 2,019,753 | 844,923 | 1.1% |
| * | Lululemon Athletica Inc. | 1,697,783 | 393,325 | 0.5% |
| * | Burlington Stores Inc. | 938,940 | 214,106 | 0.3% |
| | Domino’s Pizza Inc. | 579,627 | 170,283 | 0.2% |
| | Consumer Discretionary—Other † | | 6,737,252 | 9.1% |
| | | | 8,359,889 | 11.2% |
| | | | | |
| Consumer Staples † | | 2,003,541 | 2.7% |
| | | | |
| Energy | | | |
| * | Cheniere Energy Inc. | 3,285,725 | 200,659 | 0.3% |
| § | Energy—Other † | | 1,635,773 | 2.2% |
| | | | 1,836,432 | 2.5% |
| Financials | | | |
| | Blackstone Group LP | 9,374,796 | 524,426 | 0.7% |
| * | Arch Capital Group Ltd. | 5,733,040 | 245,890 | 0.3% |
| | KKR & Co. Inc. Class A | 7,815,931 | 227,991 | 0.3% |
| * | Markel Corp. | 195,913 | 223,962 | 0.3% |
| | Annaly Capital Management Inc. | 20,420,421 | 192,360 | 0.3% |
| | TD Ameritrade Holding Corp. | 3,754,806 | 186,614 | 0.3% |
| | Fidelity National Financial Inc. | 3,900,513 | 176,888 | 0.2% |
| | Ally Financial Inc. | 5,385,068 | 164,568 | 0.2% |
Extended Market Index Fund
| | | | Market | Percentage |
| | | | Value· | of Net |
| | | Shares | ($000) | Assets |
| | | | | |
| * | Alleghany Corp. | 204,319 | 163,367 | 0.2% |
| | Financials—Other † | | 10,854,634 | 14.6% |
| | | | 12,960,700 | 17.4% |
| Health Care | | | |
| * | DexCom Inc. | 1,294,008 | 283,051 | 0.4% |
| * | Veeva Systems Inc. Class A | 1,868,619 | 262,840 | 0.4% |
| * | BioMarin Pharmaceutical Inc. | 2,555,074 | 216,032 | 0.3% |
| * | Seattle Genetics Inc. | 1,631,911 | 186,462 | 0.3% |
| * | Exact Sciences Corp. | 1,984,320 | 183,510 | 0.2% |
| * | Alnylam Pharmaceuticals Inc. | 1,584,597 | 182,498 | 0.2% |
| | West Pharmaceutical Services Inc. | 1,049,923 | 157,835 | 0.2% |
| * | Elanco Animal Health Inc. | 5,314,877 | 156,523 | 0.2% |
| § | Health Care—Other † | | 8,385,904 | 11.2% |
| | | | 10,014,655 | 13.4% |
| | | | | |
| Industrials | | | |
| * | CoStar Group Inc. | 519,476 | 310,802 | 0.4% |
| | TransUnion | 2,669,151 | 228,506 | 0.3% |
| * | Teledyne Technologies Inc. | 519,476 | 180,019 | 0.3% |
| § | Industrials—Other † | | 9,302,870 | 12.5% |
| | | | 10,022,197 | 13.5% |
| | | | | |
| Information Technology | | | |
| * | Workday Inc. Class A | 2,186,873 | 359,631 | 0.5% |
| * | Palo Alto Networks Inc. | 1,389,466 | 321,314 | 0.4% |
| * | Square Inc. | 4,858,576 | 303,953 | 0.4% |
| * | Splunk Inc. | 1,962,908 | 293,985 | 0.4% |
| | Marvell Technology Group Ltd. | 9,459,930 | 251,256 | 0.3% |
| | SS&C Technologies Holdings Inc. | 3,114,853 | 191,252 | 0.3% |
| * | Paycom Software Inc. | 696,050 | 184,286 | 0.3% |
| * | Okta Inc. | 1,596,517 | 184,190 | 0.3% |
| * | RingCentral Inc. Class A | 1,063,934 | 179,454 | 0.2% |
| * | GoDaddy Inc. Class A | 2,510,241 | 170,496 | 0.2% |
| * | VMware Inc. Class A | 1,117,020 | 169,552 | 0.2% |
| * | EPAM Systems Inc. | 781,837 | 165,875 | 0.2% |
| * | Tyler Technologies Inc. | 552,653 | 165,807 | 0.2% |
| | Teradyne Inc. | 2,373,913 | 161,877 | 0.2% |
| * | Fair Isaac Corp. | 411,981 | 154,361 | 0.2% |
| | Information Technology—Other † | | 9,817,194 | 13.2% |
| | | | 13,074,483 | 17.5% |
| | | | | |
| §Materials † | | 2,988,518 | 4.0% |
| | | | |
| §,1Other † | | 2,249 | 0.0% |
| | | | |
| Real Estate | | | |
| | Invitation Homes Inc. | 7,628,054 | 228,613 | 0.3% |
| | Sun Communities Inc. | 1,312,624 | 197,025 | 0.3% |
| | WP Carey Inc. | 2,454,469 | 196,456 | 0.3% |
| | Equity LifeStyle Properties Inc. | 2,594,528 | 182,629 | 0.2% |
| | VICI Properties Inc. | 6,524,563 | 166,703 | 0.2% |
| | Medical Properties Trust Inc. | 7,338,501 | 154,916 | 0.2% |
| | Real Estate—Other † | | 5,823,743 | 7.8% |
| | | | 6,950,085 | 9.3% |
Extended Market Index Fund
| | | Market | Percentage |
| | | Value· | of Net |
| | | ($000) | Assets |
| Utilities † | | 2,003,413 | 2.7% |
| Total Common Stocks (Cost $55,774,347) | | 73,751,167 | 98.9%2 |
| Preferred Stocks (Cost $14) † | | 18 | 0.0% |
| | Coupon | Shares | | |
| Temporary Cash Investments | |
| Money Market Fund | | | | |
| 3,4 Vanguard Market Liquidity Fund | 1.816% | 21,447,682 | 2,144,983 | 2.9% |
| | | | | |
| 5U.S. Government and Agency Obligations † | | | 24,455 | 0.0% |
| Total Temporary Cash Investments (Cost $2,169,137) | | | 2,169,438 | 2.9%2 |
| Total Investments (Cost $57,943,498) | | | 75,920,623 | 101.8% |
| | Amount | |
| | ($000) | |
| Other Assets and Liabilities | | |
| Other Assets | | |
| Investment in Vanguard | 3,295 | |
| Receivables for Investment Securities Sold | 4,527 | |
| Receivables for Accrued Income | 94,530 | |
| Receivables for Capital Shares Issued | 47,076 | |
| Variation Margin Receivable—Futures Contracts | 1,012 | |
| Unrealized Appreciation—OTC Swap Contracts | 771 | |
| Other Assets4,5,6 | 28,174 | |
| Total Other Assets | 179,385 | 0.3% |
| Liabilities | | |
| Payables for Investment Securities Purchased | (26,674) | |
| Collateral for Securities on Loan | (1,370,243) | |
| Payables for Capital Shares Redeemed | (141,143) | |
| Payables to Vanguard | (15,267) | |
| Unrealized Depreciation—OTC Swap Contracts | (3,114) | |
| Total Liabilities | (1,556,441) | (2.1%) |
| Net Assets | 74,543,567 | 100.0% |
At December 31, 2019, net assets consisted of:
| | | Amount |
| | | ($000) |
| Paid-in Capital | | 57,811,135 |
| Total Distributable Earnings (Loss) | | 16,732,432 |
| Net Assets | | 74,543,567 |
| |
| Investor Shares—Net Assets |
| Applicable to 4,756,522 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | 455,025 |
| Net Asset Value Per Share—Investor Shares | | $95.66 |
Extended Market Index Fund
| | Amount |
| | ($000) |
| ETF Shares—Net Assets | |
| Applicable to 64,427,309 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,119,074 |
| Net Asset Value Per Share—ETF Shares | $126.02 |
| | |
| Admiral Shares—Net Assets | |
| Applicable to 234,187,479 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 22,390,611 |
| Net Asset Value Per Share—Admiral Shares | $95.61 |
| | |
| Institutional Shares—Net Assets | |
| Applicable to 156,130,842 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 14,926,824 |
| Net Asset Value Per Share—Institutional Shares | $95.60 |
| | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 40,206,004 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 9,486,140 |
| Net Asset Value Per Share—Institutional Plus Shares | $235.94 |
| | |
| Institutional Select Shares—Net Assets | |
| Applicable to 124,754,449 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 19,165,893 |
| Net Asset Value Per Share—Institutional Select Shares | $153.63 |
| · | See Note A in Notes to Financial Statements. |
| * | Non-income-producing security. |
| § | Certain of the fund’s securities are valued using significant unobservable inputs. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,286,160,000. |
| † | 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 1.8%, 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 | Collateral of $1,370,243,000 was received for securities on loan, of which $1,358,552,000 is held in Vanguard Market Liquidity Fund and $11,691,000 is held in cash. |
| 5 | Securities with a value of $24,453,000 and cash of $1,693,000 have been segregated as initial margin for open futures contracts. |
| 6 | Cash of $2,820,000 has been segregated as collateral for open over-the-counter swap contracts. OTC—Over-the-Counter. |
Extended 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 Russell 2000 Index | March 2020 | 4,470 | 373,379 | 5,821 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 973 | 200,905 | 3,447 |
| E-mini S&P 500 Index | March 2020 | 870 | 140,553 | 299 |
| | | | | 9,567 |
Over-the-Counter Total Return Swaps
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| Splunk Inc. | 9/2/20 | BOANA | 32,828 | (1.697) | 77 | — |
| Twilio Inc. Class A | 9/2/20 | BOANA | 20,656 | (1.697) | — | (1,027) |
| Wayfair Inc. | 9/2/20 | BOANA | 11,040 | (1.697) | 694 | — |
| Workday Inc. Class A | 9/2/20 | BOANA | 25,077 | (1.697) | — | (2,087) |
| | | | | | 771 | (3,114) |
| 1 | Payment received/paid monthly. |
BOANA—Bank of America, N.A.
See accompanying Notes, which are an integral part of the Financial Statements.
Extended Market Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 916,627 |
| Interest1 | 14,783 |
| Securities Lending—Net | 71,028 |
| Total Income | 1,002,438 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 4,282 |
| Management and Administrative—Investor Shares | 1,502 |
| Management and Administrative—ETF Shares | 3,125 |
| Management and Administrative—Admiral Shares | 9,607 |
| Management and Administrative—Institutional Shares | 5,483 |
| Management and Administrative—Institutional Plus Shares | 2,612 |
| Management and Administrative—Institutional Select Shares | 2,115 |
| Marketing and Distribution—Investor Shares | 89 |
| Marketing and Distribution—ETF Shares | 423 |
| Marketing and Distribution—Admiral Shares | 1,096 |
| Marketing and Distribution—Institutional Shares | 456 |
| Marketing and Distribution—Institutional Plus Shares | 135 |
| Marketing and Distribution—Institutional Select Shares | 1 |
| Custodian Fees | 825 |
| Auditing Fees | 51 |
| Shareholders’ Reports—Investor Shares | 11 |
| Shareholders’ Reports—ETF Shares | 211 |
| Shareholders’ Reports—Admiral Shares | 158 |
| Shareholders’ Reports—Institutional Shares | 173 |
| Shareholders’ Reports—Institutional Plus Shares | 127 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 34 |
| Total Expenses | 32,516 |
| Net Investment Income | 969,922 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 3,398,924 |
| Futures Contracts | 107,122 |
| Swap Contracts | 21 |
| Realized Net Gain (Loss) | 3,506,067 |
Extended Market Index Fund
Statement of Operations (continued)
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 12,029,048 |
| Futures Contracts | 30,770 |
| Swap Contracts | (1,915) |
| Change in Unrealized Appreciation (Depreciation) | 12,057,903 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,533,892 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $14,113,000, $121,000, and $146,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $3,942,264,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 969,922 | 990,935 |
| Realized Net Gain (Loss) | 3,506,067 | 4,294,578 |
| Change in Unrealized Appreciation (Depreciation) | 12,057,903 | (11,280,180) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 16,533,892 | (5,994,667) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (8,928) | (18,718) |
| ETF Shares | (101,363) | (91,752) |
| Admiral Shares | (291,203) | (290,795) |
| Institutional Shares | (199,592) | (206,007) |
| Institutional Plus Shares | (129,133) | (130,677) |
| Institutional Select Shares | (248,571) | (216,956) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Institutional Plus Shares | — | — |
| Institutional Select Shares | — | — |
| Total Distributions | (978,790) | (954,905) |
| Capital Share Transactions | | |
| Investor Shares | (933,720) | (277,722) |
| ETF Shares | 399,255 | 1,100,016 |
| Admiral Shares | 122,765 | 39,131 |
| Institutional Shares | (740,441) | 624,848 |
| Institutional Plus Shares | (97,548) | (2,181,914) |
| Institutional Select Shares | 1,967,463 | 2,770,352 |
| Net Increase (Decrease) from Capital Share Transactions | 717,774 | 2,074,711 |
| Total Increase (Decrease) | 16,272,876 | (4,874,861) |
| Net Assets | | |
| Beginning of Period | 58,270,691 | 63,145,552 |
| End of Period | 74,543,567 | 58,270,691 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $75.74 | $84.80 | $72.76 | $63.61 | $66.63 |
| Investment Operations | | | | | |
| Net Investment Income | .9621 | 1.1931 | .9161 | .919 | .795 |
| Net Realized and Unrealized Gain (Loss) on Investments | 20.089 | (9.104) | 12.074 | 9.182 | (3.050) |
| Total from Investment Operations | 21.051 | (7.911) | 12.990 | 10.101 | (2.255) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.131) | (1.149) | (.950) | (.951) | (.765) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.131) | (1.149) | (.950) | (.951) | (.765) |
| Net Asset Value, End of Period | $95.66 | $75.74 | $84.80 | $72.76 | $63.61 |
| | | | | | |
| Total Return2 | 27.87% | -9.47% | 17.94% | 15.99% | -3.39% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $455 | $1,139 | $1,548 | $2,021 | $2,040 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.21% | 0.21% | 0.22% |
| Ratio of Net Investment Income to Average Net Assets | 1.09% | 1.38% | 1.24% | 1.48% | 1.20% |
| Portfolio Turnover Rate3 | 13% | 10% | 11% | 12% | 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.
Extended Market Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $99.77 | $111.72 | $95.86 | $83.80 | $87.79 |
| Investment Operations | | | | | |
| Net Investment Income | 1.6361 | 1.7421 | 1.4201 | 1.324 | 1.171 |
| Net Realized and Unrealized Gain (Loss) on Investments | 26.255 | (12.036) | 15.835 | 12.107 | (4.033) |
| Total from Investment Operations | 27.891 | (10.294) | 17.255 | 13.431 | (2.862) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.641) | (1.656) | (1.395) | (1.371) | (1.128) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.641) | (1.656) | (1.395) | (1.371) | (1.128) |
| Net Asset Value, End of Period | $126.02 | $99.77 | $111.72 | $95.86 | $83.80 |
| | | | | | |
| Total Return | 28.04% | -9.37% | 18.10% | 16.16% | -3.26% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $8,119 | $6,095 | $5,711 | $4,387 | $4,272 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 1.40% | 1.50% | 1.37% | 1.61% | 1.33% |
| Portfolio Turnover Rate2 | 13% | 10% | 11% | 12% | 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.
Extended Market Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $75.70 | $84.76 | $72.72 | $63.58 | $66.61 |
| Investment Operations | | | | | |
| Net Investment Income | 1.2361 | 1.3071 | 1.0711 | 1.005 | .887 |
| Net Realized and Unrealized Gain (Loss) on Investments | 19.918 | (9.111) | 12.026 | 9.175 | (3.061) |
| Total from Investment Operations | 21.154 | (7.804) | 13.097 | 10.180 | (2.174) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.244) | (1.256) | (1.057) | (1.040) | (.856) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.244) | (1.256) | (1.057) | (1.040) | (.856) |
| Net Asset Value, End of Period | $95.61 | $75.70 | $84.76 | $72.72 | $63.58 |
| | | | | | |
| Total Return2 | 28.03% | -9.36% | 18.11% | 16.13% | -3.27% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $22,391 | $17,644 | $19,712 | $15,830 | $13,143 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.07% | 0.08% | 0.08% | 0.09% |
| Ratio of Net Investment Income to Average Net Assets | 1.39% | 1.50% | 1.37% | 1.61% | 1.33% |
| Portfolio Turnover Rate3 | 13% | 10% | 11% | 12% | 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.
Extended Market Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $75.69 | $84.75 | $72.72 | $63.58 | $66.60 |
| Investment Operations | | | | | |
| Net Investment Income | 1.2391 | 1.3191 | 1.0851 | 1.018 | .899 |
| Net Realized and Unrealized Gain (Loss) on Investments | 19.925 | (9.113) | 12.018 | 9.175 | (3.050) |
| Total from Investment Operations | 21.164 | (7.794) | 13.103 | 10.193 | (2.151) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.254) | (1.266) | (1.073) | (1.053) | (.869) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.254) | (1.266) | (1.073) | (1.053) | (.869) |
| Net Asset Value, End of Period | $95.60 | $75.69 | $84.75 | $72.72 | $63.58 |
| | | | | | |
| Total Return | 28.05% | -9.35% | 18.12% | 16.15% | -3.24% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $14,927 | $12,443 | $13,359 | $10,554 | $8,621 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.06% | 0.06% | 0.06% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.40% | 1.51% | 1.39% | 1.63% | 1.35% |
| Portfolio Turnover Rate2 | 13% | 10% | 11% | 12% | 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.
Extended Market Index Fund
Financial Highlights
Institutional Plus Shares
| For a Share Outstanding | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $186.80 | $209.16 | $179.47 | $156.89 | $164.36 |
| Investment Operations |
| Net Investment Income | 3.0781 | 3.2081 | 2.6111 | 2.525 | 2.254 |
| Net Realized and Unrealized Gain (Loss) on Investments | 49.178 | (22.426) | 29.741 | 22.668 | (7.549) |
| Total from Investment Operations | 52.256 | (19.218) | 32.352 | 25.193 | (5.295) |
| Distributions |
| Dividends from Net Investment Income | (3.116) | (3.142) | (2.662) | (2.613) | (2.175) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.116) | (3.142) | (2.662) | (2.613) | (2.175) |
| Net Asset Value, End of Period | $235.94 | $186.80 | $209.16 | $179.47 | $156.89 |
| | | | | | |
| Total Return | 28.07% | -9.35% | 18.13% | 16.18% | -3.23% |
| |
| Ratios/Supplemental Data |
| Net Assets, End of Period (Millions) | $9,486 | $7,559 | $10,565 | $13,530 | $14,526 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.05% | 0.05% | 0.05% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.41% | 1.52% | 1.40% | 1.64% | 1.37% |
| Portfolio Turnover Rate2 | 13% | 10% | 11% | 12% | 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.
Extended Market Index Fund
Financial Highlights
Institutional Select Shares
| | | | | June 27, |
| | | | | | 20161to |
| | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $121.63 | $136.19 | $116.85 | $98.43 |
| Investment Operations | | | | |
| Net Investment Income | 2.0592 | 2.1842 | 1.8912 | 1.050 |
| Net Realized and Unrealized Gain (Loss) on Investments | 31.999 | (14.655) | 19.221 | 18.428 |
| Total from Investment Operations | 34.058 | (12.471) | 21.112 | 19.478 |
| Distributions | | | | |
| Dividends from Net Investment Income | (2.058) | (2.089) | (1.772) | (1.058) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (2.058) | (2.089) | (1.772) | (1.058) |
| Net Asset Value, End of Period | $153.63 | $121.63 | $136.19 | $116.85 |
| | | | | |
| Total Return | 28.09% | -9.32% | 18.17% | 19.81% |
| | | | | |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $19,166 | $13,390 | $12,250 | $5,227 |
| 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 | 1.44% | 1.55% | 1.43% | 1.88%3 |
| Portfolio Turnover Rate4 | 13% | 10% | 11% | 12%5 |
| 1 | Inception. |
| 2 | Calculated based on average shares outstanding. |
| 3 | Annualized. |
| 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.
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 counter-party 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, 2019, 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, 2019, 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, 2016–2019), 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
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, 2019, the fund had contributed to Vanguard capital in the amount of $3,295,000, representing less than 0.01% of the fund’s net assets and 1.32% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 73,749,668 | 65 | 1,434 |
| Preferred Stocks | 18 | — | — |
| Temporary Cash Investments | 2,144,983 | 24,455 | — |
| Futures Contracts—Assets1 | 1,012 | — | — |
| Swap Contracts—Assets | — | 771 | — |
| Swap Contracts—Liabilities | — | (3,114) | — |
| Total | 75,895,681 | 22,177 | 1,434 |
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, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 3,942,264 |
| Total Distributable Earnings (Loss) | (3,942,264) |
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 | 32,340 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (1,247,223) |
| Net Unrealized Gains (Losses) | 17,960,848 |
As of December 31, 2019, 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 | 57,959,775 |
| Gross Unrealized Appreciation | 24,219,621 |
| Gross Unrealized Depreciation | (6,258,773) |
| Net Unrealized Appreciation (Depreciation) | 17,960,848 |
E. During the year ended December 31, 2019, the fund purchased $16,631,403,000 of investment securities and sold $15,823,552,000 of investment securities, other than temporary cash investments. Purchases and sales include $7,165,619,000 and $7,177,700,000, 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, | |
| | | | 2019 | | | | 2018 | |
| | Amount | | Shares | | Amount | | Shares | |
| | | ($000 | ) | | (000 | ) | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | |
| Issued | | 238,416 | | | 2,595 | | 199,854 | | | 2,271 | |
| Issued in Lieu of Cash Distributions | | 8,707 | | | 97 | | 17,999 | | | 211 | |
| Redeemed1 | | (1,180,843 | ) | | (12,972 | ) | (495,575 | ) | | (5,703 | ) |
| Net Increase (Decrease)—Investor Shares | | (933,720 | ) | | (10,280 | ) | (277,722 | ) | | (3,221 | ) |
| ETF Shares | | | | | | | | | | | |
| Issued | | 7,615,450 | | | 64,286 | | 7,647,925 | | | 66,519 | |
| Issued in Lieu of Cash Distributions | | — | | | — | | — | | | — | |
| Redeemed | | (7,216,195 | ) | | (60,950 | ) | (6,547,909 | ) | | (56,550 | ) |
| Net Increase (Decrease)—ETF Shares | | 399,255 | | | 3,336 | | 1,100,016 | | | 9,969 | |
| Admiral Shares | | | | | | | | | | | |
| Issued1 | | 3,375,088 | | | 37,971 | | 3,351,183 | | | 38,683 | |
| Issued in Lieu of Cash Distributions | | 246,482 | | | 2,706 | | 249,801 | | | 2,937 | |
| Redeemed | | (3,498,805 | ) | | (39,580 | ) | (3,561,853 | ) | | (41,092 | ) |
| Net Increase (Decrease)—Admiral Shares | | 122,765 | | | 1,097 | | 39,131 | | | 528 | |
| Institutional Shares | | | | | | | | | | | |
| Issued | | 2,265,538 | | | 25,810 | | 3,478,254 | | | 39,801 | |
| Issued in Lieu of Cash Distributions | | 189,780 | | | 2,085 | | 196,518 | | | 2,311 | |
| Redeemed | | (3,195,759 | ) | | (36,156 | ) | (3,049,924 | ) | | (35,344 | ) |
| Net Increase (Decrease)—Institutional Shares | | (740,441 | ) | | (8,261 | ) | 624,848 | | | 6,768 | |
| Institutional Plus Shares | | | | | | | | | | | |
| Issued | | 2,145,116 | | | 9,842 | | 4,078,076 | | | 19,134 | |
| Issued in Lieu of Cash Distributions | | 123,576 | | | 550 | | 124,757 | | | 595 | |
| Redeemed | | (2,366,240 | ) | | (10,652 | ) | (6,384,747 | ) | | (29,774 | ) |
| Net Increase (Decrease)—Institutional Plus Shares | | (97,548 | ) | | (260 | ) | (2,181,914 | ) | | (10,045 | ) |
| Institutional Select Shares | | | | | | | | | | | |
| Issued | | 3,238,408 | | | 23,556 | | 3,470,354 | | | 25,181 | |
| Issued in Lieu of Cash Distributions | | 248,571 | | | 1,696 | | 216,956 | | | 1,590 | |
| Redeemed | | (1,519,516 | ) | | (10,585 | ) | (916,958 | ) | | (6,630 | ) |
| Net Increase (Decrease)—Institutional Select Shares | | 1,967,463 | | | 14,667 | | 2,770,352 | | | 20,141 | |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 8,887,000 and 8,891,000 shares, respectively, in the amount of $806,344,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Mid-Cap Index Fund Investor Shares | 30.86% | 9.12% | 12.93% | $33,736 |
 | Spliced Mid-Cap Index | 31.09 | 9.29 | 13.13 | 34,328 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 31.04% | 9.26% | 13.08% | $34,175 |
| Mid-Cap Index Fund ETF Shares Market Price | 31.07 | 9.25 | 13.07 | 34,150 |
| Spliced Mid-Cap Index | 31.09 | 9.29 | 13.13 | 34,328 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Index Fund Admiral Shares | 31.03% | 9.25% | 13.08% | $34,175 |
| Spliced Mid-Cap Index | 31.09 | 9.29 | 13.13 | 34,328 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Index Fund Institutional Shares | 31.04% | 9.26% | 13.09% | $17,114,232 |
| Spliced Mid-Cap Index | 31.09 | 9.29 | 13.13 | 17,164,114 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| | | | Since | Final Value |
| | One | Five | Inception | of a $100,000,000 |
| | Year | Years | (12/15/2010) | Investment |
| Mid-Cap Index Fund Institutional Plus Shares | 31.06% | 9.28% | 12.00% | $278,727,935 |
| Spliced Mid-Cap Index | 31.09 | 9.29 | 12.02 | 279,052,511 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.17 | 306,098,386 |
“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | | One | Five | Ten |
| | | Year | Years | Years |
| Mid-Cap Index Fund ETF Shares Market Price | | 31.07% | 55.66% | 241.50% |
| Mid-Cap Index Fund ETF Shares Net Asset Value | | 31.04 | 55.69 | 241.75 |
| Spliced Mid-Cap Index | | 31.09 | 55.90 | 243.28 |
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, 2019
| Basic Materials | 4.2% |
| Consumer Goods | 9.4 |
| Consumer Services | 11.5 |
| Financials | 21.6 |
| Health Care | 9.3 |
| Industrials | 16.4 |
| Oil & Gas | 4.5 |
| Other | 0.0 |
| Technology | 15.9 |
| Telecommunications | 0.6 |
| Utilities | 6.6 |
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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Mid-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.7%)1 | |
| Basic Materials (4.2%) | | | | |
| | Newmont Goldcorp Corp. | 20,639,021 | | 896,765 | |
| | Freeport-McMoRan Inc. | 34,664,005 | | 454,792 | |
| | International Paper Co. | 9,863,297 | | 454,205 | |
| | Nucor Corp. | 7,625,644 | | 429,171 | |
| | Celanese Corp. Class A | 3,040,371 | | 374,330 | |
| | International Flavors & Fragrances Inc. | 2,685,657 | | 346,503 | |
| | FMC Corp. | 3,265,286 | | 325,941 | |
| | Avery Dennison Corp. | 2,100,096 | | 274,735 | |
| | CF Industries Holdings Inc. | 5,469,008 | | 261,090 | |
| | Eastman Chemical Co. | 3,077,623 | | 243,932 | |
| | Albemarle Corp. | 2,666,491 | | 194,761 | |
| | Mosaic Co. | 8,570,911 | | 185,475 | |
| | Reliance Steel & Aluminum Co. | 796,028 | | 95,332 | |
| * | Axalta Coating Systems Ltd. | 2,656,899 | | 80,770 | |
| | Westlake Chemical Corp. | 967,122 | | 67,844 | |
| | | | | 4,685,646 | |
| Consumer Goods (9.4%) | | | | |
| * | Lululemon Athletica Inc. | 2,945,022 | | 682,273 | |
| | McCormick & Co. Inc. | 3,111,601 | | 528,132 | |
| | Clorox Co. | 3,160,482 | | 485,260 | |
| | DR Horton Inc. | 8,815,556 | | 465,021 | |
| | Church & Dwight Co. Inc. | 6,172,844 | | 434,198 | |
| | Conagra Brands Inc. | 12,237,247 | | 419,003 | |
| | Lennar Corp. Class A | 7,182,222 | | 400,696 | |
| | Genuine Parts Co. | 3,471,063 | | 368,731 | |
| | Garmin Ltd. | 3,585,445 | | 349,796 | |
| * | Take-Two Interactive Software Inc. | 2,850,911 | | 349,037 | |
| | Hasbro Inc. | 3,236,445 | | 341,801 | |
| | Tyson Foods Inc. Class A | 3,711,920 | | 337,933 | |
| * | NVR Inc. | 88,301 | | 336,286 | |
| | Lamb Weston Holdings Inc. | 3,673,651 | | 316,044 | |
| | Aptiv plc | 3,210,557 | | 304,907 | |
| | JM Smucker Co. | 2,730,577 | | 284,335 | |
| | Hormel Foods Corp. | 6,267,286 | | 282,717 | |
| | Corteva Inc. | 9,419,644 | | 278,445 | |
| | PulteGroup Inc. | 6,474,898 | | 251,226 | |
| * | LKQ Corp. | 6,935,412 | | 247,594 | |
| | Molson Coors Brewing Co. Class B | 4,441,709 | | 239,408 | |
| | Whirlpool Corp. | 1,589,211 | | 234,456 | |
| | Fortune Brands Home & Security Inc. | 3,496,790 | | 228,480 | |
| | BorgWarner Inc. | 5,193,292 | | 225,285 | |
| | Lear Corp. | 1,525,414 | | 209,287 | |
| * | Mohawk Industries Inc. | 1,440,765 | | 196,492 | |
| | PVH Corp. | 1,864,579 | | 196,061 | |
| | Bunge Ltd. | 3,383,859 | | 194,741 | |
| | Tapestry Inc. | 6,939,078 | | 187,147 | |
| | Newell Brands Inc. | 9,580,890 | | 184,145 | |
| * | WABCO Holdings Inc. | 1,291,749 | | 175,032 | |
| | Campbell Soup Co. | 2,923,763 | | 144,492 | |
| *,^ | Wayfair Inc. | 1,570,604 | | 141,936 | |
| | Ralph Lauren Corp. Class A | 1,188,275 | | 139,290 | |
| * | Under Armour Inc. Class A | 4,703,677 | | 101,599 | |
| * | Under Armour Inc. Class C | 4,928,321 | | 94,525 | |
| | Coty Inc. Class A | 7,619,241 | | 85,717 | |
| | Levi Strauss & Co. Class A | 1,115,336 | | 21,515 | |
| | Lennar Corp. Class B | 212,981 | | 9,520 | |
| | | | | 10,472,563 | |
| Consumer Services (11.5%) | |
| * | Chipotle Mexican Grill Inc. Class A | 699,820 | | 585,826 | |
| | Royal Caribbean Cruises Ltd. | 4,222,909 | | 563,801 | |
| * | Dollar Tree Inc. | 5,958,796 | | 560,425 | |
| | Best Buy Co. Inc. | 5,640,873 | | 495,269 | |
Mid-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | Copart Inc. | 5,263,204 | | 478,636 | |
| * | Liberty Broadband Corp. | 3,644,755 | | 458,328 | |
| | Omnicom Group Inc. | 5,486,641 | | 444,528 | |
| | MGM Resorts International | 11,656,228 | | 387,803 | |
| | Tiffany & Co. | 2,870,534 | | 383,647 | |
| | Expedia Group Inc. | 3,506,379 | | 379,180 | |
| * | CarMax Inc. | 4,135,299 | | 362,542 | |
| * | AutoZone Inc. | 299,731 | | 357,072 | |
| * | Ulta Beauty Inc. | 1,406,203 | | 355,966 | |
| | Darden Restaurants Inc. | 3,084,056 | | 336,193 | |
| | Wynn Resorts Ltd. | 2,294,528 | | 318,641 | |
| * | Norwegian Cruise Line Holdings Ltd. | 5,359,718 | | 313,061 | |
| | AmerisourceBergen Corp. Class A | 3,625,148 | | 308,210 | |
| | Domino’s Pizza Inc. | 1,028,685 | | 302,207 | |
| * | Roku Inc. | 2,187,198 | | 292,866 | |
| | American Airlines Group Inc. | 9,938,506 | | 285,036 | |
| | ViacomCBS Inc. Class B | 6,708,626 | | 281,561 | |
| | Tractor Supply Co. | 2,977,760 | | 278,242 | |
| | Aramark | 6,273,867 | | 272,286 | |
| | Advance Auto Parts Inc. | 1,655,068 | | 265,076 | |
| * | Discovery Communications Inc. | 8,631,010 | | 263,159 | |
| | FactSet Research Systems Inc. | 954,581 | | 256,114 | |
| * | Live Nation Entertainment Inc. | 3,492,715 | | 249,624 | |
| * | United Airlines Holdings Inc. | 2,705,739 | | 238,348 | |
| | Interpublic Group of Cos. Inc. | 9,750,035 | | 225,226 | |
| * | Lyft Inc. Class A | 5,042,370 | | 216,923 | |
| * | Altice USA Inc. Class A | 7,931,677 | | 216,852 | |
| * | DISH Network Corp. Class A | 6,012,158 | | 213,251 | |
| | Alaska Air Group Inc. | 3,096,007 | | 209,754 | |
| | Kohl’s Corp. | 4,001,490 | | 203,876 | |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 3,961,522 | | 190,708 | |
| * | Burlington Stores Inc. | 833,359 | | 190,031 | |
| | Nielsen Holdings plc | 8,943,050 | | 181,544 | |
| | News Corp. Class A | 12,508,469 | | 176,870 | |
| | Rollins Inc. | 3,691,770 | | 122,419 | |
| | Vail Resorts Inc. | 507,151 | | 121,630 | |
| *,^ | Discovery Communications Inc. Class A | 3,464,863 | | 113,440 | |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 2,077,005 | | 100,402 | |
| * | Liberty Broadband Corp. Class A | 640,037 | | 79,723 | |
| | Hyatt Hotels Corp. Class A | 873,090 | | 78,325 | |
| *,^ | Carvana Co. Class A | 632,226 | | 58,196 | |
| *,^ | Chewy Inc. | 1,073,353 | | 31,127 | |
| ^ | ViacomCBS Inc. Class A | 148,609 | | 6,668 | |
| | News Corp. Class B | 356,118 | | 5,167 | |
| | | | | 12,815,779 | |
| Financials (21.5%) | | | | |
| * | IHS Markit Ltd. | 9,586,319 | | 722,329 | |
| | SBA Communications Corp. Class A | 2,833,760 | | 682,908 | |
| | Digital Realty Trust Inc. | 5,255,079 | | 629,243 | |
| | Realty Income Corp. | 8,209,110 | | 604,437 | |
| | Hartford Financial Services Group Inc. | 9,078,224 | | 551,684 | |
| | M&T Bank Corp. | 3,156,207 | | 535,766 | |
| | MSCI Inc. Class A | 2,025,640 | | 522,980 | |
| | KeyCorp | 24,802,177 | | 501,996 | |
| | Essex Property Trust Inc. | 1,664,536 | | 500,792 | |
| * | CBRE Group Inc. Class A | 8,008,280 | | 490,827 | |
| | Alexandria Real Estate Equities Inc. | 2,898,999 | | 468,420 | |
| | Arthur J Gallagher & Co. | 4,692,120 | | 446,831 | |
| | Citizens Financial Group Inc. | 10,947,717 | | 444,587 | |
| | Healthpeak Properties Inc. | 12,844,665 | | 442,756 | |
| | Cincinnati Financial Corp. | 4,109,960 | | 432,162 | |
| | Equifax Inc. | 3,044,291 | | 426,566 | |
| | Regions Financial Corp. | 24,306,095 | | 417,093 | |
| * | Arch Capital Group Ltd. | 9,684,587 | | 415,372 | |
| | Invitation Homes Inc. | 13,540,121 | | 405,797 | |
| | Huntington Bancshares Inc. | 25,969,945 | | 391,627 | |
| | Principal Financial Group Inc. | 6,990,192 | | 384,460 | |
| | KKR & Co. Inc. Class A | 13,148,652 | | 383,546 | |
| | Mid-America Apartment Communities Inc. | 2,869,097 | | 378,319 | |
| * | Markel Corp. | 330,522 | | 377,843 | |
| | AvalonBay Communities Inc. | 1,757,399 | | 368,526 | |
| | First Republic Bank | 3,043,264 | | 357,431 | |
| | Sun Communities Inc. | 2,331,093 | | 349,897 | |
| | WP Carey Inc. | 4,331,534 | | 346,696 | |
| | UDR Inc. | 7,373,815 | | 344,357 | |
| | MarketAxess Holdings Inc. | 906,211 | | 343,554 | |
| | | | | | |
Mid-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Annaly Capital Management Inc. | 35,948,210 | | 338,632 | |
| | Host Hotels & Resorts Inc. | 18,076,754 | | 335,324 | |
| | Cboe Global Markets Inc. | 2,789,476 | | 334,737 | |
| | Loews Corp. | 6,357,779 | | 333,720 | |
| | Extra Space Storage Inc. | 3,095,751 | | 326,973 | |
| * | SVB Financial Group | 1,296,291 | | 325,421 | |
| | Duke Realty Corp. | 9,247,783 | | 320,621 | |
| | Nasdaq Inc. | 2,886,312 | | 309,124 | |
| | Fidelity National Financial Inc. | 6,587,874 | | 298,760 | |
| | Lincoln National Corp. | 4,995,306 | | 294,773 | |
| | Ally Financial Inc. | 9,554,360 | | 291,981 | |
| | Vornado Realty Trust | 4,320,912 | | 287,341 | |
| | Everest Re Group Ltd. | 1,026,294 | | 284,119 | |
| | Weyerhaeuser Co. | 9,365,177 | | 282,828 | |
| | Western Union Co. | 10,548,893 | | 282,499 | |
| | Raymond James Financial Inc. | 3,139,792 | | 280,886 | |
| * | Alleghany Corp. | 343,856 | | 274,937 | |
| | Regency Centers Corp. | 4,213,810 | | 265,849 | |
| | Ameriprise Financial Inc. | 1,592,996 | | 265,361 | |
| | AXA Equitable Holdings Inc. | 10,528,485 | | 260,896 | |
| | Comerica Inc. | 3,635,766 | | 260,866 | |
| | E*TRADE Financial Corp. | 5,697,619 | | 258,501 | |
| | Camden Property Trust | 2,436,372 | | 258,499 | |
| | Globe Life Inc. | 2,451,189 | | 257,988 | |
| | Reinsurance Group of America Inc. Class A | 1,574,578 | | 256,751 | |
| | VEREIT Inc. | 26,844,993 | | 248,048 | |
| | Federal Realty Investment Trust | 1,899,803 | | 244,562 | |
| | AGNC Investment Corp. | 13,605,749 | | 240,550 | |
| | WR Berkley Corp. | 3,467,322 | | 239,592 | |
| | Iron Mountain Inc. | 7,218,475 | | 230,053 | |
| | SEI Investments Co. | 3,401,465 | | 222,728 | |
| | Zions Bancorp NA | 4,286,039 | | 222,531 | |
| | Kimco Realty Corp. | 10,087,049 | | 208,903 | |
| | Voya Financial Inc. | 3,391,305 | | 206,802 | |
| | SL Green Realty Corp. | 2,014,495 | | 185,092 | |
| | Franklin Resources Inc. | 6,891,455 | | 179,040 | |
| * | Athene Holding Ltd. Class A | 3,587,571 | | 168,723 | |
| | Invesco Ltd. | 9,128,706 | | 164,134 | |
| | Jones Lang LaSalle Inc. | 647,410 | | 112,708 | |
| | People’s United Financial Inc. | 5,566,692 | | 94,077 | |
| | Interactive Brokers Group Inc. | 915,900 | | 42,699 | |
| | | 23,966,431 | |
| Health Care (9.2%) | |
| * | IQVIA Holdings Inc. | 4,153,559 | | 641,766 | |
| * | Centene Corp. | 9,897,073 | | 622,229 | |
| * | IDEXX Laboratories Inc. | 2,159,497 | | 563,909 | |
| | ResMed Inc. | 3,620,048 | | 560,999 | |
| * | DexCom Inc. | 2,301,828 | | 503,502 | |
| * | Align Technology Inc. | 1,783,911 | | 497,782 | |
| | Teleflex Inc. | 1,166,020 | | 438,937 | |
| * | WellCare Health Plans Inc. | 1,265,985 | | 418,041 | |
| * | Laboratory Corp. of America Holdings | 2,442,393 | | 413,180 | |
| * | Incyte Corp. | 4,604,534 | | 402,068 | |
| | Cooper Cos. Inc. | 1,246,929 | | 400,626 | |
| * | BioMarin Pharmaceutical Inc. | 4,517,164 | | 381,926 | |
| | Cardinal Health Inc. | 7,369,721 | | 372,760 | |
| | Quest Diagnostics Inc. | 3,388,396 | | 361,847 | |
| * | Hologic Inc. | 6,745,116 | | 352,162 | |
| * | Seattle Genetics Inc. | 3,017,105 | | 344,734 | |
| * | Exact Sciences Corp. | 3,702,715 | | 342,427 | |
| * | Varian Medical Systems Inc. | 2,286,267 | | 324,673 | |
| * | Alnylam Pharmaceuticals Inc. | 2,803,499 | | 322,879 | |
| | Dentsply Sirona Inc. | 5,594,338 | | 316,584 | |
| | Universal Health Services Inc. Class B | 1,919,718 | | 275,403 | |
| * | Mylan NV | 12,979,702 | | 260,892 | |
| * | Elanco Animal Health Inc. | 8,680,619 | | 255,644 | |
| * | Henry Schein Inc. | 3,691,018 | | 246,265 | |
| * | Jazz Pharmaceuticals plc | 1,351,866 | | 201,807 | |
| * | ABIOMED Inc. | 1,078,816 | | 184,035 | |
| | Perrigo Co. plc | 3,251,468 | | 167,971 | |
| * | DaVita Inc. | 2,119,640 | | 159,037 | |
| | | | | 10,334,085 | |
| Industrials (16.4%) | | | | |
| | Amphenol Corp. Class A | 7,465,248 | | 807,964 | |
| | TransDigm Group Inc. | 1,280,384 | | 717,015 | |
| | Willis Towers Watson plc | 3,236,660 | | 653,611 | |
| * | FleetCor Technologies Inc. | 2,184,507 | | 628,526 | |
| | Verisk Analytics Inc. Class A | 4,124,700 | | 615,983 | |
| | Waste Connections Inc. | 6,626,121 | | 601,586 | |
| | Cintas Corp. | 2,211,626 | | 595,104 | |
| | AMETEK Inc. | 5,758,034 | | 574,306 | |
Mid-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | CoStar Group Inc. | 922,157 | | 551,727 | |
| | Fastenal Co. | 14,423,622 | | 532,953 | |
| | Ball Corp. | 8,236,586 | | 532,660 | |
| * | Mettler-Toledo International Inc. | 613,357 | | 486,564 | |
| * | Keysight Technologies Inc. | 4,715,301 | | 483,931 | |
| | Vulcan Materials Co. | 3,333,392 | | 479,975 | |
| | Martin Marietta Materials Inc. | 1,574,289 | | 440,234 | |
| | Dover Corp. | 3,652,714 | | 421,012 | |
| | TransUnion | 4,733,219 | | 405,211 | |
| | WW Grainger Inc. | 1,153,576 | | 390,509 | |
| | Kansas City Southern | 2,492,984 | | 381,825 | |
| * | Waters Corp. | 1,621,004 | | 378,748 | |
| | Xylem Inc. | 4,527,935 | | 356,756 | |
| | Broadridge Financial Solutions Inc. | 2,883,424 | | 356,218 | |
| | Wabtec Corp. | 4,578,562 | | 356,212 | |
| | Masco Corp. | 7,192,928 | | 345,189 | |
| | Old Dominion Freight Line Inc. | 1,806,827 | | 342,900 | |
| | Expeditors International of Washington Inc. | 4,284,113 | | 334,246 | |
| * | United Rentals Inc. | 1,889,661 | | 315,139 | |
| | Arconic Inc. | 9,801,444 | | 301,590 | |
| | Jacobs Engineering Group Inc. | 3,339,879 | | 300,021 | |
| | Rockwell Automation Inc. | 1,452,714 | | 294,422 | |
| | Westrock Co. | 6,497,497 | | 278,808 | |
| * | Square Inc. | 4,365,032 | | 273,076 | |
| | Packaging Corp. of America | 2,380,955 | | 266,643 | |
| | CH Robinson Worldwide Inc. | 3,403,215 | | 266,131 | |
| * | Trimble Inc. | 6,264,082 | | 261,150 | |
| | Huntington Ingalls Industries Inc. | 1,028,920 | | 258,135 | |
| | Textron Inc. | 5,740,864 | | 256,043 | |
| | JB Hunt Transport Services Inc. | 2,144,042 | | 250,381 | |
| * | Crown Holdings Inc. | 3,408,306 | | 247,239 | |
| | Snap-on Inc. | 1,379,320 | | 233,657 | |
| * | Sensata Technologies Holding plc | 3,994,064 | | 215,160 | |
| | Hubbell Inc. Class B | 1,366,968 | | 202,065 | |
| | HEICO Corp. Class A | 2,093,238 | | 187,408 | |
| | Xerox Holdings Corp. | 4,621,421 | | 170,392 | |
| | Jack Henry & Associates Inc. | 968,215 | | 141,040 | |
| * | IPG Photonics Corp. | 866,949 | | 125,638 | |
| | Cognex Corp. | 2,039,908 | | 114,316 | |
| | HEICO Corp. | 959,840 | | 109,566 | |
| | Pentair plc | 2,112,184 | | 96,886 | |
| * | XPO Logistics Inc. | 1,159,613 | | 92,421 | |
| | FLIR Systems Inc. | 1,686,702 | | 87,827 | |
| | Robert Half International Inc. | 1,385,231 | | 87,477 | |
| | AO Smith Corp. | 1,722,525 | | 82,061 | |
| | Alliance Data Systems Corp. | 208 | | 23 | |
| | | 18,285,680 | |
| Oil & Gas (4.5%) | |
| | ONEOK Inc. | 10,400,645 | | 787,017 | |
| | Halliburton Co. | 20,977,137 | | 513,311 | |
| | Hess Corp. | 6,905,808 | | 461,377 | |
| | Concho Resources Inc. | 5,062,607 | | 443,332 | |
| | Diamondback Energy Inc. | 4,042,525 | | 375,389 | |
| * | Cheniere Energy Inc. | 5,767,229 | | 352,205 | |
| | Noble Energy Inc. | 12,027,060 | | 298,752 | |
| | Marathon Oil Corp. | 20,116,035 | | 273,176 | |
| | National Oilwell Varco Inc. | 9,700,920 | | 243,008 | |
| | Apache Corp. | 9,455,687 | | 241,971 | |
| | Targa Resources Corp. | 5,852,073 | | 238,940 | |
| | Devon Energy Corp. | 9,176,491 | | 238,313 | |
| | Baker Hughes a GE Co. Class A | 8,171,001 | | 209,423 | |
| | HollyFrontier Corp. | 3,653,273 | | 185,257 | |
| | Cabot Oil & Gas Corp. | 5,131,358 | | 89,337 | |
| | Continental Resources Inc. | 1,866,242 | | 64,012 | |
| | | | | 5,014,820 | |
| Other (0.0%)2 | |
| *,§ | American International Group Inc. Warrants Exp. 01/19/2021 | 8,771 | | — | |
| | | | | | |
| Technology (15.8%) | |
| | KLA Corp. | 3,971,625 | | 707,624 | |
| | Motorola Solutions Inc. | 4,313,194 | | 695,028 | |
| * | Advanced Micro Devices Inc. | 14,013,924 | | 642,679 | |
| | Microchip Technology Inc. | 6,017,251 | | 630,127 | |
| | Xilinx Inc. | 6,331,679 | | 619,048 | |
| * | Twitter Inc. | 18,569,122 | | 595,140 | |
| * | Splunk Inc. | 3,885,324 | | 581,905 | |
| | Cerner Corp. | 7,512,080 | | 551,312 | |
| * | ANSYS Inc. | 2,120,122 | | 545,741 | |
| * | Palo Alto Networks Inc. | 2,340,608 | | 541,266 | |
| * | Synopsys Inc. | 3,784,464 | | 526,797 | |
| | Skyworks Solutions Inc. | 4,285,343 | | 518,012 | |
| | CDW Corp. | 3,617,687 | | 516,750 | |
| * | VeriSign Inc. | 2,661,536 | | 512,825 | |
| * | IAC/InterActiveCorp | 1,982,022 | | 493,742 | |
Mid-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | Cadence Design Systems Inc. | 7,064,193 | | 489,972 | |
| * | Veeva Systems Inc. Class A | 3,307,483 | | 465,231 | |
| | Western Digital Corp. | 7,105,726 | | 451,000 | |
| | Marvell Technology Group Ltd. | 16,775,006 | | 445,544 | |
| | Maxim Integrated Products Inc. | 6,806,945 | | 418,695 | |
| * | Fortinet Inc. | 3,656,251 | | 390,341 | |
| * | Snap Inc. | 23,334,453 | | 381,052 | |
| | NortonLifeLock Inc. | 14,107,021 | | 360,011 | |
| | NetApp Inc. | 5,751,809 | | 358,050 | |
| | Citrix Systems Inc. | 3,114,538 | | 345,402 | |
| * | Qorvo Inc. | 2,921,984 | | 339,622 | |
| | Seagate Technology plc | 5,617,948 | | 334,268 | |
| * | Akamai Technologies Inc. | 3,861,606 | | 333,566 | |
| | SS&C Technologies Holdings Inc. | 5,401,186 | | 331,633 | |
| * | Paycom Software Inc. | 1,248,161 | | 330,463 | |
| * | Gartner Inc. | 2,136,871 | | 329,292 | |
| * | Okta Inc. | 2,680,380 | | 309,235 | |
| * | Twilio Inc. Class A | 3,133,631 | | 307,973 | |
| * | GoDaddy Inc. Class A | 4,293,443 | | 291,611 | |
| * | Arista Networks Inc. | 1,344,832 | | 273,539 | |
| | Hewlett Packard Enterprise Co. | 16,275,030 | | 258,122 | |
| * | Black Knight Inc. | 3,574,285 | | 230,470 | |
| * | F5 Networks Inc. | 1,528,876 | | 213,508 | |
| | Juniper Networks Inc. | 8,414,896 | | 207,259 | |
| * | RingCentral Inc. Class A | 941,013 | | 158,721 | |
| * | Pinterest Inc. Class A | 7,702,000 | | 143,565 | |
| *,^ | Slack Technologies Inc. Class A | 5,874,745 | | 132,064 | |
| | DXC Technology Co. | 3,217,036 | | 120,928 | |
| *,^ | Match Group Inc. | 1,320,649 | | 108,438 | |
| * | Dropbox Inc. Class A | 5,426,630 | | 97,191 | |
| *,^ | Datadog Inc. Class A | 693,856 | | 26,214 | |
| * | Crowdstrike Holdings Inc. Class A | 519,743 | | 25,920 | |
| | | 17,686,896 | |
| Telecommunications (0.6%) | |
| | CenturyLink Inc. | 27,409,745 | | 362,083 | |
| * | Zayo Group Holdings Inc. | 5,961,553 | | 206,568 | |
| *,^ | Zoom Video Communications Inc. Class A | 1,144,490 | | 77,871 | |
| | | | | 646,522 | |
| Utilities (6.6%) | |
| | WEC Energy Group Inc. | 7,937,312 | | 732,058 | |
| | Eversource Energy | 8,146,636 | | 693,034 | |
| | FirstEnergy Corp. | 13,609,155 | | 661,405 | |
| | DTE Energy Co. | 4,820,388 | | 626,024 | |
| | Entergy Corp. | 5,008,965 | | 600,074 | |
| | American Water Works Co. Inc. | 4,548,347 | | 558,764 | |
| | Ameren Corp. | 6,197,066 | | 475,935 | |
| | CMS Energy Corp. | 7,138,662 | | 448,593 | |
| | Evergy Inc. | 5,733,382 | | 373,186 | |
| | CenterPoint Energy Inc. | 12,624,742 | | 344,277 | |
| | Alliant Energy Corp. | 6,139,504 | | 335,954 | |
| | AES Corp. | 16,723,791 | | 332,803 | |
| | NiSource Inc. | 9,393,108 | | 261,504 | |
| | Pinnacle West Capital Corp. | 2,828,219 | | 254,342 | |
| | Vistra Energy Corp. | 9,808,134 | | 225,489 | |
| | OGE Energy Corp. | 5,035,196 | | 223,915 | |
| | NRG Energy Inc. | 3,007,412 | | 119,545 | |
| | Avangrid Inc. | 1,546,534 | | 79,121 | |
| | | | | 7,346,023 | |
| Total Common Stocks | | | | |
| (Cost $77,451,018) | 111,254,445 | |
| Temporary Cash Investments (0.8%)1 | |
| Money Market Fund (0.8%) | |
| 3,4 | Vanguard Market Liquidity Fund, 1.816% | 8,556,715 | | 855,757 | |
| | | | | | |
| | | Face | | | |
| | | Amount | | | |
| | | ($000) | | | |
| U.S. Government and Agency Obligations (0.0%) | |
| | United States Treasury Bill, 1.624%, 1/16/20 | 2,100 | | 2,099 | |
| 5 | United States Treasury Bill, 1.566%, 2/20/20 | 8,000 | | 7,983 | |
| 5 | United States Treasury Bill, 1.541%, 4/30/20 | 7,400 | | 7,363 | |
| | | | | 17,445 | |
Total Temporary Cash Investments
(Cost $873,161) | | 873,202 | |
Total Investments (100.5%)
(Cost $78,324,179) | | 112,127,647 | |
| | | | | | |
Mid-Cap Index Fund
| | Amount | |
| | | ($000 | ) |
| Other Assets and Liabilities (-0.5%) | | | |
| Other Assets | | | |
| Investment in Vanguard | | 4,946 | |
| Receivables for Accrued Income | | 187,605 | |
| Receivables for Capital Shares Issued | | 77,545 | |
| Variation Margin Receivable—Futures Contracts | | 377 | |
| Unrealized Appreciation—OTC Swap Contracts | | 7,387 | |
| Other Assets | | 1,199 | |
| Total Other Assets | | 279,059 | |
| Liabilities | | | |
| Payables for Investment Securities Purchased | | (5,567 | ) |
| Collateral for Securities on Loan | | (331,590 | ) |
| Payables for Capital Shares Redeemed | | (481,112 | ) |
| Payables to Vanguard | | (20,671 | ) |
| Variation Margin Payable—Futures Contracts | | (86 | ) |
| Other Liabilities | | (354 | ) |
| Total Liabilities | | (839,380 | ) |
| Net Assets (100%) | | 111,567,326 | |
At December 31, 2019, net assets consisted of:
| | | Amount | |
| | | ($000 | ) |
| Paid-in Capital | | 81,572,409 | |
| Total Distributable Earnings (Loss) | | 29,994,917 | |
| Net Assets | | 111,567,326 | |
| | | | |
| Investor Shares—Net Assets | | | |
| Applicable to 18,025,641 out standing $.001 par value shares of beneficial interest (unlimited authorization) | | 876,821 | |
| Net Asset Value Per Share—Investor Shares | | $48.64 | |
| | | | |
| ETF Shares—Net Assets | | | |
| Applicable to 162,871,029 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | 29,013,611 | |
| Net Asset Value Per Share—ETF Shares | | $178.14 | |
| | | | |
| Admiral Shares—Net Assets | | | |
| Applicable to 215,898,327 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | 47,639,963 | |
| Net Asset Value Per Share—Admiral Shares | | $220.66 | |
| | | | |
| Institutional Shares—Net Assets | | | |
| Applicable to 419,021,991 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | 20,425,219 | |
| Net Asset Value Per Share—Institutional Shares | | $48.74 | |
| | | | |
| Institutional Plus Shares—Net Assets | | | |
| Applicable to 56,621,122 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | | 13,611,712 | |
| Net Asset Value Per Share—Institutional Plus Shares | | $240.40 | |
| · | 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 $323,146,000. |
| § | 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 | Collateral of $331,590,000 was received for securities on loan. |
| 5 | Securities with a value of $14,166,000 have been segregated as initial margin for open futures contracts. |
| | OTC—Over-the-Counter. |
Mid-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 S&P Mid-Cap 400 Index | | | | | | | | March 2020 | | | 238 | | | 49,142 | | | 853 | |
| Over-the-Counter Total Return Swaps |
| | | | | | | | | | | | Floating | | | | | | | |
| | | | | | | | | | | | Interest | | | | | | | |
| | | | | | | | | | | | Rate | | | Value and | | | Value and | |
| | | | | | | | | Notional | | | Received | | | Unrealized | | | Unrealized | |
| | | Termination | | | | | | Amount | | | (Paid | )1 | | Appreciation | | | (Depreciation | ) |
| Reference Entity | | Date | | | Counterparty | | | ($000 | ) | | (% | ) | | ($000 | ) | | ($000 | ) |
| ADT Inc. | | 2/4/20 | | | GSI | | | 8,040 | | | (1.745 | ) | | 620 | | | — | |
| Campbell Soup Co. | | 2/4/20 | | | GSI | | | 95,920 | | | (1.745 | ) | | 2,859 | | | — | |
| Discovery Communications Inc. Class A | | 2/4/20 | | | GSI | | | 9,770 | | | (1.745 | ) | | 112 | | | — | |
| Elanco Animal Health Inc. | | 2/4/20 | | | GSI | | | 19,817 | | | (1.745 | ) | | 786 | | | — | |
| First Republic Bank | | 2/4/20 | | | GSI | | | 139,116 | | | (2.375 | ) | | 1,705 | | | — | |
| Hormel Foods Corp. | | 2/4/20 | | | GSI | | | 20,192 | | | (1.745 | ) | | 95 | | | — | |
| Snap Inc. | | 2/4/20 | | | GSI | | | 15,110 | | | (1.745 | ) | | 1,210 | | | — | |
| | | | | | | | | | | | | | | 7,387 | | | — | |
1 Payment received/paid monthly.
GSI—Goldman Sachs International.
At December 31, 2019, a counterparty had deposited in a segregated account securities with a value of $6,411,000 in connection with over-the-counter swap contracts. After December 31, 2019, a counterparty posted additional collateral of $1,227,000 in connection with over-the-counter swap contracts as of December 31, 2019.
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Index Fund
Statement of Operations
| | Year Ended | |
| | December 31, 2019 | |
| | ($000 | ) |
| Investment Income | | |
| Income | | |
| Dividends | 1,694,590 | |
| Interest1 | 14,372 | |
| Securities Lending—Net | 8,600 | |
| Total Income | 1,717,562 | |
| Expenses | | |
| The Vanguard Group—Note B | | |
| Investment Advisory Services | 5,255 | |
| Management and Administrative—Investor Shares | 3,418 | |
| Management and Administrative—ETF Shares | 7,187 | |
| Management and Administrative—Admiral Shares | 16,303 | |
| Management and Administrative—Institutional Shares | 6,005 | |
| Management and Administrative—Institutional Plus Shares | 3,023 | |
| Marketing and Distribution—Investor Shares | 209 | |
| Marketing and Distribution—ETF Shares | 1,156 | |
| Marketing and Distribution—Admiral Shares | 2,318 | |
| Marketing and Distribution—Institutional Shares | 569 | |
| Marketing and Distribution—Institutional Plus Shares | 141 | |
| Custodian Fees | 340 | |
| Auditing Fees | 38 | |
| Shareholders’ Reports—Investor Shares | 39 | |
| Shareholders’ Reports—ETF Shares | 745 | |
| Shareholders’ Reports—Admiral Shares | 425 | |
| Shareholders’ Reports—Institutional Shares | 182 | |
| Shareholders’ Reports—Institutional Plus Shares | 67 | |
| Trustees’ Fees and Expenses | 52 | |
| Total Expenses | 47,472 | |
| Expenses Paid Indirectly | (231 | ) |
| Net Expenses | 47,241 | |
| Net Investment Income | 1,670,321 | |
| Realized Net Gain (Loss) | | |
| Investment Securities Sold1,2 | 5,971,728 | |
| Futures Contracts | 92,394 | |
| Swap Contracts | 63,893 | |
| Realized Net Gain (Loss) | 6,128,015 | |
Mid-Cap Index Fund
| Statement of Operations (continued) | | |
| | | |
| | Year Ended | |
| | December 31, 2019 | |
| | ($000 | ) |
| Change in Unrealized Appreciation (Depreciation) | | |
| Investment Securities1 | 19,081,611 | |
| Futures Contracts | 10,298 | |
| Swap Contracts | 7,387 | |
| Change in Unrealized Appreciation (Depreciation) | 19,099,296 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 26,897,632 | |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $13,910,000, $85,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $6,719,631,000 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, | |
| | 2019 | | 2018 | |
| | | ($000 | ) | | ($000 | ) |
| Increase (Decrease) in Net Assets | | | | | | |
| Operations | | | | | | |
| Net Investment Income | | 1,670,321 | | | 1,571,870 | |
| Realized Net Gain (Loss) | | 6,128,015 | | | 2,601,958 | |
| Change in Unrealized Appreciation (Depreciation) | | 19,099,296 | | | (13,063,674 | ) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | 26,897,632 | | | (8,889,846 | ) |
| Distributions | | | | | | |
| Net Investment Income | | | | | | |
| Investor Shares | | (26,988 | ) | | (54,870 | ) |
| ETF Shares | | (422,085 | ) | | (379,651 | ) |
| Admiral Shares | | (686,030 | ) | | (622,912 | ) |
| Institutional Shares | | (310,881 | ) | | (299,399 | ) |
| Institutional Plus Shares | | (209,895 | ) | | (207,758 | ) |
| Realized Capital Gain | | | | | | |
| Investor Shares | | — | | | — | |
| ETF Shares | | — | | | — | |
| Admiral Shares | | — | | | — | |
| Institutional Shares | | — | | | — | |
| Institutional Plus Shares | | — | | | — | |
| Total Distributions | | (1,655,879 | ) | | (1,564,590 | ) |
| Capital Share Transactions | | | | | | |
| Investor Shares | | (2,885,883 | ) | | (637,108 | ) |
| ETF Shares | | 1,384,000 | | | 1,893,336 | |
| Admiral Shares | | 2,653,885 | | | 1,163,012 | |
| Institutional Shares | | (854,895 | ) | | 281,374 | |
| Institutional Plus Shares | | (979,981 | ) | | 29,603 | |
| Net Increase (Decrease) from Capital Share Transactions | | (682,874 | ) | | 2,730,217 | |
| Total Increase (Decrease) | | 24,558,879 | | | (7,724,219 | ) |
| Net Assets | | | | | | |
| Beginning of Period | | 87,008,447 | | | 94,732,666 | |
| End of Period | | 111,567,326 | | | 87,008,447 | |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $37.71 | $42.23 | $35.92 | $32.79 | $33.72 | |
| Investment Operations | | | | | | |
| Net Investment Income | .5771 | .6401 | .5201 | .472 | .444 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 11.018 | (4.528) | 6.313 | 3.138 | (.939) | |
| Total from Investment Operations | 11.595 | (3.888) | 6.833 | 3.610 | (.495) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.665) | (.632) | (.523) | (.480) | (.435) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.665) | (.632) | (.523) | (.480) | (.435) | |
| Net Asset Value, End of Period | $48.64 | $37.71 | $42.23 | $35.92 | $32.79 | |
| | | | | | | |
| Total Return2 | 30.86% | -9.34% | 19.12% | 11.07% | -1.46% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $877 | $3,043 | $4,047 | $4,138 | $4,140 | |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.20% | |
| Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.49% | 1.34% | 1.42% | 1.35% | |
| Portfolio Turnover Rate3 | 15% | 16% | 14% | 15% | 15% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $138.08 | $154.65 | $131.55 | $120.07 | $123.50 | |
| Investment Operations | | | | | | |
| Net Investment Income | 2.6631 | 2.5351 | 2.1121 | 1.877 | 1.793 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 40.043 | (16.584) | 23.076 | 11.510 | (3.457) | |
| Total from Investment Operations | 42.706 | (14.049) | 25.188 | 13.387 | (1.664) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.646) | (2.521) | (2.088) | (1.907) | (1.766) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (2.646) | (2.521) | (2.088) | (1.907) | (1.766) | |
| Net Asset Value, End of Period | $178.14 | $138.08 | $154.65 | $131.55 | $120.07 | |
| | | | | | | |
| Total Return | 31.04% | -9.21% | 19.25% | 11.23% | -1.34% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $29,014 | $21,261 | $21,937 | $16,544 | $12,984 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.06% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.62% | 1.46% | 1.54% | 1.47% | |
| Portfolio Turnover Rate2 | 15% | 16% | 14% | 15% | 15% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $171.04 | $191.55 | $162.94 | $148.72 | $152.97 | |
| Investment Operations | | | | | | |
| Net Investment Income | 3.2961 | 3.1351 | 2.6061 | 2.325 | 2.214 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 49.578 | (20.539) | 28.591 | 14.257 | (4.284) | |
| Total from Investment Operations | 52.874 | (17.404) | 31.197 | 16.582 | (2.070) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (3.254) | (3.106) | (2.587) | (2.362) | (2.180) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (3.254) | (3.106) | (2.587) | (2.362) | (2.180) | |
| Net Asset Value, End of Period | $220.66 | $171.04 | $191.55 | $162.94 | $148.72 | |
| | | | | | | |
| Total Return2 | 31.03% | -9.23% | 19.25% | 11.22% | -1.34% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $47,640 | $34,754 | $37,778 | $29,854 | $25,061 | |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.61% | 1.46% | 1.54% | 1.47% | |
| Portfolio Turnover Rate3 | 15% | 16% | 14% | 15% | 15% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $37.78 | $42.32 | $35.99 | $32.85 | $33.79 | |
| Investment Operations | | | | | | |
| Net Investment Income | .7271 | .6971 | .5801 | .516 | .492 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 10.957 | (4.547) | 6.325 | 3.148 | (.947) | |
| Total from Investment Operations | 11.684 | (3.850) | 6.905 | 3.664 | (.455) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.724) | (.690) | (.575) | (.524) | (.485) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.724) | (.690) | (.575) | (.524) | (.485) | |
| Net Asset Value, End of Period | $48.74 | $37.78 | $42.32 | $35.99 | $32.85 | |
| | | | | | | |
| Total Return | 31.04% | -9.24% | 19.29% | 11.23% | -1.33% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $20,425 | $16,524 | $18,222 | $14,540 | $12,278 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% | |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.62% | 1.47% | 1.55% | 1.48% | |
| Portfolio Turnover Rate2 | 15% | 16% | 14% | 15% | 15% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $186.34 | $208.69 | $177.51 | $162.03 | $166.65 | |
| Investment Operations | | | | | | |
| Net Investment Income | 3.5981 | 3.4641 | 2.8561 | 2.564 | 2.461 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 54.052 | (22.388) | 31.179 | 15.524 | (4.657) | |
| Total from Investment Operations | 57.650 | (18.924) | 34.035 | 18.088 | (2.196) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (3.590) | (3.426) | (2.855) | (2.608) | (2.424) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (3.590) | (3.426) | (2.855) | (2.608) | (2.424) | |
| Net Asset Value, End of Period | $240.40 | $186.34 | $208.69 | $177.51 | $162.03 | |
| | | | | | | |
| Total Return | 31.06% | -9.21% | 19.28% | 11.24% | -1.30% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $13,612 | $11,426 | $12,749 | $11,415 | $11,260 | |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.03% | 0.04% | 0.05% | |
| Ratio of Net Investment Income to Average Net Assets | 1.62% | 1.63% | 1.48% | 1.56% | 1.50% | |
| Portfolio Turnover Rate2 | 15% | 16% | 14% | 15% | 15% | |
| 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.
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, 2019, 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. 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 counter-parties, 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, 2019, 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, 2016–2019), 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.
Mid-Cap 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
Mid-Cap 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, 2019, the fund had contributed to Vanguard capital in the amount of $4,946,000, representing less than 0.01% of the fund’s net assets and 1.98% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $231,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 111,254,445 | — | — |
| Temporary Cash Investments | 855,757 | 17,445 | — |
| Futures Contracts—Assets1 | 377 | — | — |
| Futures Contracts—Liabilities1 | (86) | — | — |
| Swap Contracts—Assets | — | 7,387 | — |
| Total | 112,110,493 | 24,832 | — |
1 Represents variation margin on the last day of the reporting period.
Mid-Cap 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 swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 6,719,631 |
| Total Distributable Earnings (Loss) | (6,719,631) |
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. 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 | 86,481 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (3,876,921) |
| Net Unrealized Gains (Losses) | 33,803,468 |
As of December 31, 2019, 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 | 78,324,179 |
| Gross Unrealized Appreciation | 37,145,944 |
| Gross Unrealized Depreciation | (3,342,476) |
| Net Unrealized Appreciation (Depreciation) | 33,803,468 |
F. During the year ended December 31, 2019, the fund purchased $26,492,152,000 of investment securities and sold $27,042,993,000 of investment securities, other than temporary cash investments. Purchases and sales include $10,925,128,000 and $11,299,183,000, 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, 2019, such purchases and sales were $737,486,000 and $4,853,122,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Mid-Cap Index Fund
G.Capital share transactions for each class of shares were:
| | | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 663,261 | 14,332 | | 460,927 | 10,697 |
| Issued in Lieu of Cash Distributions | 25,880 | 576 | | 51,976 | 1,246 |
| Redeemed1 | (3,575,024) | (77,577) | | (1,150,011) | (27,085) |
| Net Increase (Decrease)—Investor Shares | (2,885,883) | (62,669) | | (637,108) | (15,142) |
| ETF Shares | | | | | |
| Issued | 12,595,802 | 76,273 | | 7,020,300 | 44,451 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (11,211,802) | (67,375) | | (5,126,964) | (32,325) |
| Net Increase (Decrease)—ETF Shares | 1,384,000 | 8,898 | | 1,893,336 | 12,126 |
| Admiral Shares | | | | | |
| Issued1 | 9,353,130 | 45,718 | | 6,872,425 | 35,591 |
| Issued in Lieu of Cash Distributions | 609,089 | 2,913 | | 554,067 | 2,934 |
| Redeemed | (7,308,334) | (35,924) | | (6,263,480) | (32,554) |
| Net Increase (Decrease)—Admiral Shares | 2,653,885 | 12,707 | | 1,163,012 | 5,971 |
| Institutional Shares | | | | | |
| Issued | 2,788,932 | 62,497 | | 3,474,371 | 81,423 |
| Issued in Lieu of Cash Distributions | 290,016 | 6,288 | | 279,478 | 6,699 |
| Redeemed | (3,933,843) | (87,103) | | (3,472,475) | (81,398) |
| Net Increase (Decrease)—Institutional Shares | (854,895) | (18,318) | | 281,374 | 6,724 |
| Institutional Plus Shares | | | | | |
| Issued | 1,606,615 | 7,413 | | 1,225,456 | 5,922 |
| Issued in Lieu of Cash Distributions | 206,480 | 909 | | 204,431 | 993 |
| Redeemed | (2,793,076) | (13,021) | | (1,400,284) | (6,687) |
| Net Increase (Decrease)—Institutional Plus Shares | (979,981) | (4,699) | | 29,603 | 228 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 56,275,000 and 12,406,000 shares, respectively, in the amount of $2,597,186,000 from the conversion during the year ended December 31, 2019. |
H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Mid-Cap Growth Index Fund Investor Shares | 33.72% | 10.09% | 13.26% | $34,746 |
 | Spliced Mid-Cap Growth Index | 33.93 | 10.28 | 13.46 | 35,364 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
Spliced Mid-Cap Growth Index: MSCI US Mid Cap Growth Index through April 16, 2013; CRSP US Mid Cap Growth Index thereafter.
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Mid-Cap Growth Index FundETF Shares Net Asset Value | 33.86% | 10.23% | 13.41% | $35,198 |
| Mid-Cap Growth Index Fund ETF Shares Market Price | 33.89 | 10.23 | 13.41 | 35,187 |
| Spliced Mid-Cap Growth Index | 33.93 | 10.28 | 13.46 | 35,364 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Growth Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Mid-Cap Growth Index Fund Admiral Shares | 33.86% | 10.23% | 13.84% | $29,175 |
| Spliced Mid-Cap Growth Index | 33.93 | 10.28 | 13.88 | 29,269 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 15.10 | 31,944 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | One | Five | Ten |
| | Year | Years | Years |
| Mid-Cap Growth Index Fund ETF Shares Market Price | 33.89% | 62.71% | 251.87% |
| Mid-Cap Growth Index Fund ETF Shares Net Asset Value | 33.86 | 62.72 | 251.98 |
| Spliced Mid-Cap Growth Index | 33.93 | 63.12 | 253.64 |
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, 2019
| Basic Materials | 0.9 | % |
| Consumer Goods | 6.8 | |
| Consumer Services | 9.8 | |
| Financials | 18.5 | |
| Health Care | 12.9 | |
| Industrials | 22.1 | |
| Oil & Gas | 4.7 | |
| Technology | 23.6 | |
| Telecommunications | 0.5 | |
| Utilities | 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Mid-Cap Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.8%)1 | |
| Basic Materials (0.8%) | |
| | CF Industries Holdings Inc. | 1,502,774 | | 71,742 | |
| | FMC Corp. | 446,974 | | 44,617 | |
| * | Axalta Coating Systems Ltd. | 364,130 | | 11,070 | |
| | | | | 127,429 | |
| Consumer Goods (6.8%) | |
| * | Lululemon Athletica Inc. | 807,947 | | 187,177 | |
| | McCormick & Co. Inc. | 853,438 | | 144,854 | |
| | Church & Dwight Co. Inc. | 1,694,845 | | 119,215 | |
| * | Take-Two Interactive Software Inc. | 782,967 | | 95,859 | |
| * | NVR Inc. | 24,249 | | 92,350 | |
| | Lamb Weston Holdings Inc. | 1,009,160 | | 86,818 | |
| * | LKQ Corp. | 1,906,487 | | 68,062 | |
| | Fortune Brands Home & Security Inc. | 962,041 | | 62,860 | |
| * | WABCO Holdings Inc. | 353,501 | | 47,899 | |
| | Hormel Foods Corp. | 920,690 | | 41,532 | |
| *,^ | Wayfair Inc. | 430,851 | | 38,936 | |
| * | Under Armour Inc. Class A | 1,298,080 | | 28,039 | |
| * | Under Armour Inc. Class C | 1,341,894 | | 25,737 | |
| | | | | 1,039,338 | |
| Consumer Services (9.7%) | |
| * | Chipotle Mexican Grill Inc. Class A | 191,940 | | 160,675 | |
| * | Dollar Tree Inc. | 1,634,485 | | 153,723 | |
| * | Copart Inc. | 1,444,679 | | 131,379 | |
| | Expedia Group Inc. | 962,574 | | 104,093 | |
| * | Ulta Beauty Inc. | 386,189 | | 97,760 | |
| | Wynn Resorts Ltd. | 630,441 | | 87,549 | |
| | Domino’s Pizza Inc. | 282,611 | | 83,025 | |
| * | Roku Inc. | 600,824 | | 80,450 | |
| | Tractor Supply Co. | 818,117 | | 76,445 | |
| | FactSet Research Systems Inc. | 262,265 | | 70,366 | |
| * | Live Nation Entertainment Inc. | 960,231 | | 68,628 | |
| * | Lyft Inc. Class A | 1,386,321 | | 59,640 | |
| * | Altice USA Inc. Class A | 2,180,834 | | 59,624 | |
| | Tiffany & Co. | 392,938 | | 52,516 | |
| * | Burlington Stores Inc. | 228,484 | | 52,101 | |
| * | CarMax Inc. | 567,030 | | 49,712 | |
| | Rollins Inc. | 1,016,253 | | 33,699 | |
| | Vail Resorts Inc. | 139,126 | | 33,367 | |
| * | Carvana Co. Class A | 173,481 | | 15,969 | |
| *,^ | Chewy Inc. | 295,045 | | 8,556 | |
| | | | | 1,479,277 | |
| Financials (18.5%) | |
| * | IHS Markit Ltd. | 2,630,733 | | 198,226 | |
| | SBA Communications Corp. Class A | 777,409 | | 187,348 | |
| | Digital Realty Trust Inc. | 1,441,118 | | 172,559 | |
| | Realty Income Corp. | 2,249,939 | | 165,663 | |
| | MSCI Inc. Class A | 555,647 | | 143,457 | |
| | Essex Property Trust Inc. | 456,265 | | 137,272 | |
| | First Republic Bank | 1,163,726 | | 136,680 | |
| * | CBRE Group Inc. Class A | 2,195,812 | | 134,581 | |
| | Alexandria Real Estate Equities Inc. | 795,137 | | 128,478 | |
| | Equifax Inc. | 836,187 | | 117,166 | |
| | Invitation Homes Inc. | 3,718,207 | | 111,435 | |
| | Mid-America Apartment Communities Inc. | 787,882 | | 103,890 | |
| * | Markel Corp. | 90,648 | | 103,626 | |
| | AvalonBay Communities Inc. | 482,346 | | 101,148 | |
| | Sun Communities Inc. | 640,281 | | 96,106 | |
| | MarketAxess Holdings Inc. | 248,895 | | 94,359 | |
| | Cboe Global Markets Inc. | 765,880 | | 91,906 | |
| | Extra Space Storage Inc. | 850,016 | | 89,779 | |
| * | SVB Financial Group | 356,260 | | 89,435 | |
| | Regency Centers Corp. | 1,158,121 | | 73,066 | |
Mid-Cap Growth Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Federal Realty Investment Trust | 522,064 | | 67,205 | |
| | Iron Mountain Inc. | 1,985,174 | | 63,267 | |
| | Arthur J Gallagher & Co. | 643,217 | | 61,254 | |
| | SEI Investments Co. | 932,678 | | 61,072 | |
| | Vornado Realty Trust | 592,315 | | 39,389 | |
| | E*TRADE Financial Corp. | 778,966 | | 35,342 | |
| | Interactive Brokers Group Inc. | 251,463 | | 11,723 | |
| | | | | 2,815,432 | |
| Health Care (12.9%) | |
| * | IQVIA Holdings Inc. | 1,138,876 | | 175,968 | |
| * | Centene Corp. | 2,714,641 | | 170,669 | |
| * | IDEXX Laboratories Inc. | 592,392 | | 154,691 | |
| | ResMed Inc. | 992,977 | | 153,882 | |
| * | DexCom Inc. | 632,058 | | 138,256 | |
| * | Align Technology Inc. | 489,823 | | 136,680 | |
| | Teleflex Inc. | 319,705 | | 120,350 | |
| * | WellCare Health Plans Inc. | 347,550 | | 114,764 | |
| * | Incyte Corp. | 1,264,405 | | 110,408 | |
| | Cooper Cos. Inc. | 342,377 | | 110,002 | |
| * | BioMarin Pharmaceutical Inc. | 1,240,621 | | 104,895 | |
| * | Seattle Genetics Inc. | 828,739 | | 94,692 | |
| * | Exact Sciences Corp. | 1,017,024 | | 94,054 | |
| * | Varian Medical Systems Inc. | 627,974 | | 89,179 | |
| * | Alnylam Pharmaceuticals Inc. | 770,219 | | 88,706 | |
| * | Jazz Pharmaceuticals plc | 370,667 | | 55,333 | |
| * | ABIOMED Inc. | 295,859 | | 50,471 | |
| | | | | 1,963,000 | |
| Industrials (22.1%) | |
| | Amphenol Corp. Class A | 2,047,612 | | 221,613 | |
| | TransDigm Group Inc. | 351,255 | | 196,703 | |
| * | FleetCor Technologies Inc. | 599,242 | | 172,414 | |
| | Verisk Analytics Inc. Class A | 1,131,814 | | 169,025 | |
| | Waste Connections Inc. | 1,820,969 | | 165,326 | |
| | Cintas Corp. | 607,510 | | 163,469 | |
| | AMETEK Inc. | 1,578,235 | | 157,413 | |
| * | CoStar Group Inc. | 252,975 | | 151,355 | |
| | Fastenal Co. | 3,959,901 | | 146,318 | |
| * | Mettler-Toledo International Inc. | 168,169 | | 133,405 | |
| | Vulcan Materials Co. | 913,921 | | 131,595 | |
| | Martin Marietta Materials Inc. | 431,620 | | 120,698 | |
| | TransUnion | 1,300,458 | | 111,332 | |
| | Kansas City Southern | 684,612 | | 104,855 | |
| * | Waters Corp. | 445,053 | | 103,987 | |
| | Xylem Inc. | 1,243,926 | | 98,009 | |
| | Wabtec Corp. | 1,257,869 | | 97,862 | |
| | Broadridge Financial Solutions Inc. | 791,943 | | 97,837 | |
| | Masco Corp. | 1,976,183 | | 94,837 | |
| | Old Dominion Freight Line Inc. | 496,291 | | 94,186 | |
| | Expeditors International of Washington Inc. | 1,176,515 | | 91,792 | |
| * | Square Inc. | 1,199,540 | | 75,043 | |
| | Ball Corp. | 1,130,424 | | 73,105 | |
| * | Trimble Inc. | 1,721,841 | | 71,784 | |
| | JB Hunt Transport Services Inc. | 589,347 | | 68,824 | |
| | HEICO Corp. Class A | 543,373 | | 48,648 | |
| | Jack Henry & Associates Inc. | 265,314 | | 38,648 | |
| * | IPG Photonics Corp. | 237,912 | | 34,478 | |
| | HEICO Corp. | 287,919 | | 32,866 | |
| | Cognex Corp. | 559,862 | | 31,375 | |
| * | XPO Logistics Inc. | 318,293 | | 25,368 | |
| | Robert Half International Inc. | 380,329 | | 24,018 | |
| | AO Smith Corp. | 472,637 | | 22,516 | |
| | | | | 3,370,704 | |
| Oil & Gas (4.7%) | |
| | ONEOK Inc. | 2,851,699 | | 215,788 | |
| | Concho Resources Inc. | 1,388,251 | | 121,569 | |
| | Diamondback Energy Inc. | 1,108,249 | | 102,912 | |
| * | Cheniere Energy Inc. | 1,583,746 | | 96,719 | |
| | Targa Resources Corp. | 1,609,270 | | 65,707 | |
| | Hess Corp. | 947,946 | | 63,332 | |
| | Cabot Oil & Gas Corp. | 1,406,551 | | 24,488 | |
| | Continental Resources Inc. | 512,330 | | 17,573 | |
| | | | | 708,088 | |
| Technology (23.6%) | |
| | KLA Corp. | 1,089,669 | | 194,146 | |
| * | Advanced Micro Devices Inc. | 3,845,124 | | 176,337 | |
| | Microchip Technology Inc. | 1,650,249 | | 172,814 | |
| | Xilinx Inc. | 1,736,613 | | 169,789 | |
| * | Twitter Inc. | 5,093,206 | | 163,237 | |
| * | Splunk Inc. | 1,065,785 | | 159,623 | |
| | Cerner Corp. | 2,060,793 | | 151,242 | |
| * | ANSYS Inc. | 581,357 | | 149,647 | |
| * | Palo Alto Networks Inc. | 642,637 | | 148,610 | |
| * | Synopsys Inc. | 1,037,808 | | 144,463 | |
| | Skyworks Solutions Inc. | 1,176,594 | | 142,227 | |
| * | VeriSign Inc. | 729,643 | | 140,588 | |
| * | IAC/InterActiveCorp | 544,172 | | 135,559 | |
| * | Cadence Design Systems Inc. | 1,937,726 | | 134,401 | |
| * | Veeva Systems Inc. Class A | 908,414 | | 127,778 | |
| | | | | | |
Mid-Cap Growth Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | Snap Inc. | 6,683,178 | | 109,136 | |
| * | Fortinet Inc. | 1,004,070 | | 107,194 | |
| | Citrix Systems Inc. | 854,582 | | 94,773 | |
| * | Akamai Technologies Inc. | 1,060,591 | | 91,614 | |
| | SS&C Technologies Holdings Inc. | 1,483,972 | | 91,116 | |
| * | Paycom Software Inc. | 342,931 | | 90,794 | |
| * | Gartner Inc. | 587,093 | | 90,471 | |
| * | Okta Inc. | 736,452 | | 84,964 | |
| * | Twilio Inc. Class A | 860,881 | | 84,607 | |
| * | GoDaddy Inc. Class A | 1,179,828 | | 80,134 | |
| * | Arista Networks Inc. | 369,584 | | 75,173 | |
| * | Black Knight Inc. | 979,934 | | 63,186 | |
| * | RingCentral Inc. Class A | 258,067 | | 43,528 | |
| * | Pinterest Inc. Class A | 2,112,170 | | 39,371 | |
| *,^ | Slack Technologies Inc. Class A | 1,611,489 | | 36,226 | |
| *,^ | Match Group Inc. | 362,356 | | 29,753 | |
| * | F5 Networks Inc. | 209,650 | | 29,278 | |
| * | Dropbox Inc. Class A | 1,488,694 | | 26,662 | |
| *,^ | Datadog Inc. Class A | 190,361 | | 7,192 | |
| * | Crowdstrike Holdings Inc. Class A | 142,766 | | 7,120 | |
| | | | | 3,592,753 | |
| Telecommunications (0.5%) | |
| * | Zayo Group Holdings Inc. | 1,633,428 | | 56,599 | |
| * | Zoom Video Communications Inc. Class A | 313,892 | | 21,357 | |
| | | | | 77,956 | |
| Utilities (0.2%) | |
| | NRG Energy Inc. | 824,225 | | 32,763 | |
Total Common Stocks
(Cost $11,490,141) | | | 15,206,740 | |
| Temporary Cash Investments (0.4%)1 | |
| Money Market Fund (0.4%) | |
| 2,3 | Vanguard Market Liquidity Fund, 1.816% | 559,846 | | 55,990 | |
| | | | | | |
| | | Face | | | |
| | | Amount | | | |
| | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | |
| 4 | United States Treasury Bill, 1.546%, 3/26/20 | 1,775 | | 1,769 | |
Total Temporary Cash Investments
(Cost $57,754) | | 57,759 | |
Total Investments (100.2%)
(Cost $11,547,895) | | 15,264,499 | |
| | Amount | |
| | ($000 | ) |
| Other Assets and Liabilities (-0.2%) | | |
| Other Assets | | |
| Investment in Vanguard | 672 | |
| Receivables for Investment Securities Sold | 475 | |
| Receivables for Accrued Income | 22,494 | |
| Receivables for Capital Shares Issued | 8,587 | |
| Variation Margin Receivable—Futures Contracts | 54 | |
| Other Assets3 | 2,249 | |
| Total Other Assets | 34,531 | |
| Liabilities | | |
| Payables for Investment Securities Purchased | (54 | ) |
| Collateral for Securities on Loan | (53,773 | ) |
| Payables for Capital Shares Redeemed | (10,741 | ) |
| Payables to Vanguard | (2,133 | ) |
| Total Liabilities | (66,701 | ) |
| Net Assets (100%) | 15,232,329 | |
| | | |
| At December 31, 2019, net assets consisted of: | |
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 12,293,230 | |
| Total Distributable Earnings (Loss) | 2,939,099 | |
| Net Assets | 15,232,329 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 1,017,066 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 63,497 | |
| Net Asset Value Per Share—Investor Shares | $62.43 | |
| | | |
| ETF Shares—Net Assets | | |
| Applicable to 44,062,413 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 6,995,335 | |
| Net Asset Value Per Share—ETF Shares | $158.76 | |
Mid-Cap Growth Index Fund
| | Amount |
| | ($000) |
| Admiral Shares—Net Assets | |
| Applicable to 119,596,182 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 8,173,497 |
| Net Asset Value Per Share—Admiral Shares | $68.34 |
| · | 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 $52,425,000.
| 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 | Collateral of $53,773,000 was received for securities on loan, of which $51,823,000 is held in Vanguard Market Liquidity Fund and $1,950,000 is held in cash. |
| 4 | Securities with a value of $1,020,000 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 2020 | 126 | 20,356 | 187 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 29 | 5,988 | 104 |
| | | | | 291 |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Growth Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 137,417 |
| Interest1 | 907 |
| Securities Lending—Net | 1,628 |
| Total Income | 139,952 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 1,994 |
| Management and Administrative—Investor Shares | 434 |
| Management and Administrative—ETF Shares | 2,961 |
| Management and Administrative—Admiral Shares | 3,378 |
| Marketing and Distribution—Investor Shares | 28 |
| Marketing and Distribution—ETF Shares | 262 |
| Marketing and Distribution—Admiral Shares | 464 |
| Custodian Fees | 101 |
| Auditing Fees | 35 |
| Shareholders’ Reports—Investor Shares | 6 |
| Shareholders’ Reports—ETF Shares | 220 |
| Shareholders’ Reports—Admiral Shares | 99 |
| Trustees’ Fees and Expenses | 7 |
| Total Expenses | 9,989 |
| Expenses Paid Indirectly | (68) |
| Net Expenses | 9,921 |
| Net Investment Income | 130,031 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 1,239,338 |
| Futures Contracts | 6,929 |
| Realized Net Gain (Loss) | 1,246,267 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 2,379,051 |
| Futures Contracts | 1,051 |
| Change in Unrealized Appreciation (Depreciation) | 2,380,102 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,756,400 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $865,000, $9,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $1,313,573,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 130,031 | 92,032 |
| Realized Net Gain (Loss) | 1,246,267 | 391,460 |
| Change in Unrealized Appreciation (Depreciation) | 2,380,102 | (1,155,239) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 3,756,400 | (671,747) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (1,401) | (3,034) |
| ETF Shares | (53,858) | (41,585) |
| Admiral Shares | (62,143) | (46,318) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Total Distributions | (117,402) | (90,937) |
| Capital Share Transactions | | |
| Investor Shares | (446,980) | (65,592) |
| ETF Shares | 373,151 | 175,603 |
| Admiral Shares | 762,501 | 273,260 |
| Net Increase (Decrease) from Capital Share Transactions | 688,672 | 383,271 |
| Total Increase (Decrease) | 4,327,670 | (379,413) |
| Net Assets | | |
| Beginning of Period | 10,904,659 | 11,284,072 |
| End of Period | 15,232,329 | 10,904,659 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $47.02 | $50.21 | $41.52 | $39.22 | $39.94 |
| Investment Operations | | | | | |
| Net Investment Income | .3451 | .3331 | .3041 | .290 | .268 |
| Net Realized and Unrealized Gain (Loss) on Investments | 15.485 | (3.193) | 8.692 | 2.299 | (.719) |
| Total from Investment Operations | 15.830 | (2.860) | 8.996 | 2.589 | (.451) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.420) | (.330) | (.306) | (.289) | (.269) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.420) | (.330) | (.306) | (.289) | (.269) |
| Net Asset Value, End of Period | $62.43 | $47.02 | $50.21 | $41.52 | $39.22 |
| | | | | | |
| Total Return2 | 33.72% | -5.74% | 21.72% | 6.62% | -1.13% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $63 | $405 | $495 | $460 | $542 |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 0.62% | 0.64% | 0.67% | 0.74% | 0.70% |
| Portfolio Turnover Rate3 | 18% | 25% | 23% | 21% | 23% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $119.58 | $127.67 | $105.60 | $99.75 | $101.57 |
| Investment Operations | | | | | |
| Net Investment Income | 1.3861 | 1.0161 | .9321 | .863 | .805 |
| Net Realized and Unrealized Gain (Loss) on Investments | 39.040 | (8.101) | 22.058 | 5.848 | (1.815) |
| Total from Investment Operations | 40.426 | (7.085) | 22.990 | 6.711 | (1.010) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.246) | (1.005) | (.920) | (.861) | (.810) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.246) | (1.005) | (.920) | (.861) | (.810) |
| Net Asset Value, End of Period | $158.76 | $119.58 | $127.67 | $105.60 | $99.75 |
| | | | | | |
| Total Return | 33.86% | -5.60% | 21.83% | 6.75% | -1.00% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $6,995 | $4,956 | $5,130 | $3,576 | $3,302 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 0.95% | 0.76% | 0.79% | 0.86% | 0.82% |
| Portfolio Turnover Rate2 | 18% | 25% | 23% | 21% | 23% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $51.48 | $54.96 | $45.46 | $42.94 | $43.72 |
| Investment Operations | | | | | |
| Net Investment Income | .6031 | .4371 | .4001 | .370 | .349 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.793 | (3.485) | 9.496 | 2.519 | (.777) |
| Total from Investment Operations | 17.396 | (3.048) | 9.896 | 2.889 | (.428) |
| Distributions | | | | | |
| Dividends from Net Investment Income | (.536) | (.432) | (.396) | (.369) | (.352) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (.536) | (.432) | (.396) | (.369) | (.352) |
| Net Asset Value, End of Period | $68.34 | $51.48 | $54.96 | $45.46 | $42.94 |
| | | | | | |
| Total Return2 | 33.86% | -5.60% | 21.83% | 6.75% | -0.98% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $8,173 | $5,544 | $5,659 | $3,923 | $3,319 |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 0.96% | 0.76% | 0.79% | 0.86% | 0.82% |
| Portfolio Turnover Rate3 | 18% | 25% | 23% | 21% | 23% |
| 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.
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, 2019, 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, 2016–2019), 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 $4.3 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, 2019, or at any time during the period then ended.
Mid-Cap Growth 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B.In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. 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, 2019, the fund had contributed to Vanguard capital in the amount of $672,000, representing less than 0.01% of the fund’s net assets and 0.27% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $68,000 (an annual rate of less than 0.01% of average net assets).
D.Various inputs may be used to determine the value of the fund’s investments. 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.
Mid-Cap Growth Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 15,206,740 | — | — |
| Temporary Cash Investments | 55,990 | 1,769 | — |
| Futures Contracts—Assets1 | 54 | — | — |
| Total | 15,262,784 | 1,769 | — |
1 Represents variation margin on the last day of the reporting period.
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 were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 1,313,573 |
| Total Distributable Earnings (Loss) | (1,313,573) |
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 | 12,505 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (788,437) |
| Net Unrealized Gains (Losses) | 3,716,604 |
As of December 31, 2019, 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 | 11,547,895 |
| Gross Unrealized Appreciation | 4,161,381 |
| Gross Unrealized Depreciation | (444,777) |
| Net Unrealized Appreciation (Depreciation) | 3,716,604 |
Mid-Cap Growth Index Fund
F. During the year ended December 31, 2019, the fund purchased $5,603,713,000 of investment securities and sold $4,889,721,000 of investment securities, other than temporary cash investments. Purchases and sales include $2,741,372,000 and $2,496,501,000, 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, 2019, such purchases and sales were $164,234,000 and $957,835,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| | | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 80,774 | 1,386 | | 118,555 | 2,262 |
| Issued in Lieu of Cash Distributions | 1,355 | 24 | | 2,914 | 57 |
| Redeemed1 | (529,109) | (8,995) | | (187,061) | (3,566) |
| Net Increase (Decrease)—Investor Shares | (446,980) | (7,585) | | (65,592) | (1,247) |
| ETF Shares | | | | | |
| Issued | 2,906,844 | 19,715 | | 1,459,320 | 10,767 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (2,533,693) | (17,100) | | (1,283,717) | (9,500) |
| Net Increase (Decrease)—ETF Shares | 373,151 | 2,615 | | 175,603 | 1,267 |
| Admiral Shares | | | | | |
| Issued1 | 2,150,012 | 34,081 | | 1,646,436 | 28,824 |
| Issued in Lieu of Cash Distributions | 56,105 | 868 | | 42,295 | 757 |
| Redeemed | (1,443,616) | (23,049) | | (1,415,471) | (24,858) |
| Net Increase (Decrease)—Admiral Shares | 762,501 | 11,900 | | 273,260 | 4,723 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 7,041,000 and 6,432,000 shares, respectively, in the amount of $417,307,000 from the conversion during the year ended December 31, 2019. |
H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Mid-Cap Value Index Fund*Investor Shares | 27.82% | 8.10% | 12.48% | $32,409 |
 | Spliced Mid-Cap Value Index | 28.05 | 8.27 | 12.69 | 33,025 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 27.98% | 8.23% | 12.63% | $32,837 |
| Mid-Cap Value Index Fund ETF Shares Market Price | 28.00 | 8.23 | 12.62 | 32,807 |
| Spliced Mid-Cap Value Index | 28.05 | 8.27 | 12.69 | 33,025 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Mid-Cap Value Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | Since | Final Value |
| | One | Five | Inception | of a $10,000 |
| | Year | Years | (9/27/2011) | Investment |
| Mid-Cap Value Index Fund Admiral Shares | 27.99% | 8.23% | 14.01% | $29,544 |
| Spliced Mid-Cap Value Index | 28.05 | 8.27 | 14.07 | 29,668 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 15.10 | 31,944 |
“Since Inception” performance is calculated from the Admiral Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | One | Five | Ten |
| | Year | Years | Years |
| Mid-Cap Value Index Fund ETF Shares Market Price | 28.00% | 48.49% | 228.07% |
| Mid-Cap Value Index Fund ETF Shares Net Asset Value | 27.98 | 48.52 | 228.37 |
| Spliced Mid-Cap Value Index | 28.05 | 48.77 | 230.25 |
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, 2019
| Basic Materials | 7.5% |
| Consumer Goods | 12.1 |
| Consumer Services | 13.3 |
| Financials | 24.6 |
| Health Care | 5.7 |
| Industrials | 10.7 |
| Oil & Gas | 4.3 |
| Technology | 8.3 |
| Telecommunications | 0.7 |
| Utilities | 12.8 |
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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Mid-Cap Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market |
| | | | Value· |
| | | Shares | ($000) |
| Common Stocks (99.7%)1 |
| Basic Materials (7.5%) |
| | Newmont Goldcorp Corp. | 7,885,124 | 342,609 |
| | Freeport-McMoRan Inc. | 13,256,816 | 173,929 |
| | International Paper Co. | 3,770,949 | 173,652 |
| | Nucor Corp. | 2,916,405 | 164,135 |
| | Celanese Corp. Class A | 1,162,501 | 143,127 |
| | International Flavors & Fragrances Inc. | 1,026,884 | 132,489 |
| | Avery Dennison Corp. | 803,150 | 105,068 |
| | Eastman Chemical Co. | 1,177,006 | 93,290 |
| | Albemarle Corp. | 1,020,379 | 74,529 |
| | Mosaic Co. | 3,280,934 | 70,999 |
| | FMC Corp. | 623,984 | 62,286 |
| | Reliance Steel & Aluminum Co. | 303,802 | 36,383 |
| | Westlake Chemical Corp. | 369,442 | 25,916 |
| * | Axalta Coating Systems Ltd. | 506,080 | 15,385 |
| | | | 1,613,797 |
| Consumer Goods (12.1%) |
| | Clorox Co. | 1,207,014 | 185,325 |
| | DR Horton Inc. | 3,366,450 | 177,580 |
| | Conagra Brands Inc. | 4,680,170 | 160,249 |
| | Lennar Corp. Class A | 2,709,242 | 151,149 |
| | Genuine Parts Co. | 1,327,207 | 140,989 |
| | Garmin Ltd. | 1,371,027 | 133,758 |
| | Hasbro Inc. | 1,237,687 | 130,712 |
| | Tyson Foods Inc. Class A | 1,419,369 | 129,219 |
| | Aptiv plc | 1,227,454 | 116,571 |
| | JM Smucker Co. | 1,041,815 | 108,484 |
| | Corteva Inc. | 3,600,675 | 106,436 |
| | PulteGroup Inc. | 2,475,793 | 96,061 |
| | Campbell Soup Co. | 1,882,808 | 93,048 |
| | Molson Coors Brewing Co. Class B | 1,698,761 | 91,563 |
| | Whirlpool Corp. | 607,892 | 89,682 |
| | BorgWarner Inc. | 1,986,224 | 86,163 |
| | Lear Corp. | 581,764 | 79,818 |
| * | Mohawk Industries Inc. | 551,373 | 75,196 |
| | PVH Corp. | 713,477 | 75,022 |
| | Bunge Ltd. | 1,295,069 | 74,531 |
| | Tapestry Inc. | 2,655,732 | 71,625 |
| | Newell Brands Inc. | 3,667,385 | 70,487 |
| | Hormel Foods Corp. | 1,285,610 | 57,994 |
| | Ralph Lauren Corp. Class A | 453,369 | 53,144 |
| | Coty Inc. Class A | 2,908,834 | 32,725 |
| | Levi Strauss & Co. Class A | 426,457 | 8,226 |
| | Lennar Corp. Class B | 122,627 | 5,482 |
| | | | 2,601,239 |
| Consumer Services (13.2%) |
| | Royal Caribbean Cruises Ltd. | 1,612,906 | 215,339 |
| | Best Buy Co. Inc. | 2,154,482 | 189,163 |
| * | Liberty Broadband Corp. | 1,395,759 | 175,517 |
| | Omnicom Group Inc. | 2,093,843 | 169,643 |
| | MGM Resorts International | 4,457,783 | 148,310 |
| * | AutoZone Inc. | 114,564 | 136,481 |
| | Darden Restaurants Inc. | 1,179,104 | 128,534 |
| * | Norwegian Cruise Line Holdings Ltd. | 2,046,221 | 119,520 |
| | AmerisourceBergen Corp. Class A | 1,386,191 | 117,854 |
| | American Airlines Group Inc. | 3,791,094 | 108,729 |
| | ViacomCBS Inc. Class B | 2,563,172 | 107,576 |
| | Aramark | 2,398,957 | 104,115 |
| | Advance Auto Parts Inc. | 632,674 | 101,329 |
| * | Discovery Communications Inc. | 3,297,669 | 100,546 |
| * | United Airlines Holdings Inc. | 1,034,319 | 91,113 |
| | Interpublic Group of Cos. Inc. | 3,729,731 | 86,157 |
| * | DISH Network Corp. Class A | 2,300,363 | 81,594 |
| | Alaska Air Group Inc. | 1,184,974 | 80,282 |
| | Kohl’s Corp. | 1,531,077 | 78,008 |
| | Tiffany & Co. | 548,266 | 73,276 |
Mid-Cap Value Index Fund
| | | | Market |
| | | | Value· |
| | | Shares | ($000) |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 1,485,423 | 71,508 |
| | Nielsen Holdings plc | 3,424,713 | 69,522 |
| * | CarMax Inc. | 791,281 | 69,372 |
| | News Corp. Class A | 4,526,319 | 64,002 |
| *,^ | Discovery Communications Inc. Class A | 1,442,433 | 47,225 |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 823,911 | 39,828 |
| * | Liberty Broadband Corp. Class A | 240,664 | 29,977 |
| | Hyatt Hotels Corp. Class A | 333,484 | 29,917 |
| | News Corp. Class B | 378,120 | 5,487 |
| | ViacomCBS Inc. Class A | 58,432 | 2,622 |
| | Macy’s Inc. | 1,083 | 18 |
| | Gap Inc. | 995 | 18 |
| | L Brands Inc. | 823 | 215 |
| | | | 2,842,597 |
| Financials (24.6%) |
| | Hartford Financial | | |
| | Services Group Inc. | 3,466,193 | 210,641 |
| | M&T Bank Corp. | 1,205,684 | 204,665 |
| | KeyCorp | 9,472,499 | 191,723 |
| | Citizens Financial Group Inc. | 4,180,410 | 169,766 |
| | Healthpeak Properties Inc. | 4,903,692 | 169,030 |
| | Cincinnati Financial Corp. | 1,571,269 | 165,219 |
| | Regions Financial Corp. | 9,276,214 | 159,180 |
| * | Arch Capital Group Ltd. | 3,703,553 | 158,845 |
| | Huntington Bancshares Inc. | 9,932,201 | 149,778 |
| | Principal Financial Group Inc. | 2,670,174 | 146,860 |
| | KKR & Co. Inc. Class A | 5,029,345 | 146,706 |
| | WP Carey Inc. | 1,656,589 | 132,593 |
| | UDR Inc. | 2,817,911 | 131,596 |
| | Annaly Capital Management Inc. | 13,753,937 | 129,562 |
| | Host Hotels & Resorts Inc. | 6,896,073 | 127,922 |
| | Loews Corp. | 2,431,211 | 127,614 |
| | Duke Realty Corp. | 3,534,760 | 122,550 |
| | Nasdaq Inc. | 1,103,523 | 118,187 |
| | Fidelity National Financial Inc. | 2,513,272 | 113,977 |
| | Lincoln National Corp. | 1,906,967 | 112,530 |
| | Ally Financial Inc. | 3,654,641 | 111,686 |
| | Everest Re Group Ltd. | 392,162 | 108,566 |
| | Weyerhaeuser Co. | 3,583,019 | 108,207 |
| | Western Union Co. | 4,032,445 | 107,989 |
| | Raymond James Financial Inc. | 1,200,598 | 107,406 |
| * | Alleghany Corp. | 131,501 | 105,144 |
| | Ameriprise Financial Inc. | 609,232 | 101,486 |
| | AXA Equitable Holdings Inc. | 4,027,142 | 99,793 |
| | Comerica Inc. | 1,386,201 | 99,460 |
| | Camden Property Trust | 931,149 | 98,795 |
| | Globe Life Inc. | 937,345 | 98,656 |
| | Reinsurance Group of America Inc. Class A | 602,095 | 98,178 |
| | VEREIT Inc. | 10,267,975 | 94,876 |
| | AGNC Investment Corp. | 5,202,238 | 91,976 |
| | WR Berkley Corp. | 1,324,926 | 91,552 |
| | Arthur J Gallagher & Co. | 897,124 | 85,433 |
| | Zions Bancorp NA | 1,639,838 | 85,140 |
| | Kimco Realty Corp. | 3,859,298 | 79,926 |
| | Voya Financial Inc. | 1,297,010 | 79,092 |
| | SL Green Realty Corp. | 771,023 | 70,842 |
| | Franklin Resources Inc. | 2,636,700 | 68,502 |
| * | Athene Holding Ltd. Class A | 1,373,403 | 64,591 |
| | Invesco Ltd. | 3,496,262 | 62,863 |
| | Vornado Realty Trust | 827,236 | 55,011 |
| | E*TRADE Financial Corp. | 1,087,746 | 49,351 |
| | Jones Lang LaSalle Inc. | 247,247 | 43,043 |
| | People’s United Financial Inc. | 2,126,686 | 35,941 |
| | Unum Group | 659 | 19 |
| | | | 5,292,468 |
| Health Care (5.7%) |
| * | Laboratory Corp. of America Holdings | 933,792 | 157,970 |
| | Cardinal Health Inc. | 2,812,897 | 142,276 |
| | Quest Diagnostics Inc. | 1,295,296 | 138,325 |
| * | Hologic Inc. | 2,579,034 | 134,651 |
| | Dentsply Sirona Inc. | 2,139,185 | 121,057 |
| * | Elanco Animal Health Inc. | 3,587,139 | 105,641 |
| | Universal Health Services Inc. Class B | 733,772 | 105,267 |
| * | Mylan NV | 4,963,497 | 99,766 |
| * | Henry Schein Inc. | 1,411,230 | 94,157 |
| | Perrigo Co. plc | 1,244,699 | 64,301 |
| * | DaVita Inc. | 811,915 | 60,918 |
| | | | 1,224,329 |
| Industrials (10.7%) |
| | Willis Towers Watson plc | 1,236,601 | 249,719 |
| * | Keysight Technologies Inc. | 1,803,387 | 185,082 |
| | Dover Corp. | 1,397,295 | 161,052 |
Mid-Cap Value Index Fund
| | | | Market |
| | | | Value· |
| | | Shares | ($000) |
| | WW Grainger Inc. | 440,345 | 149,066 |
| * | United Rentals Inc. | 722,779 | 120,538 |
| | Arconic Inc. | 3,747,804 | 115,320 |
| | Jacobs Engineering Group Inc. | 1,277,687 | 114,775 |
| | Rockwell Automation Inc. | 555,633 | 112,610 |
| | Westrock Co. | 2,479,943 | 106,414 |
| | Packaging Corp. of America | 910,348 | 101,950 |
| | Ball Corp. | 1,573,151 | 101,736 |
| | CH Robinson Worldwide Inc. | 1,300,568 | 101,704 |
| | Huntington Ingalls Industries Inc. | 393,400 | 98,696 |
| | Textron Inc. | 2,195,248 | 97,908 |
| * | Crown Holdings Inc. | 1,303,483 | 94,555 |
| | Snap-on Inc. | 527,527 | 89,363 |
| * | Sensata Technologies Holding plc | 1,527,791 | 82,302 |
| | Hubbell Inc. Class B | 523,290 | 77,353 |
| | Xerox Holdings Corp. | 1,768,972 | 65,222 |
| | Pentair plc | 806,444 | 36,992 |
| | FLIR Systems Inc. | 643,635 | 33,514 |
| | Sealed Air Corp. | 539 | 21 |
| | Alliance Data Systems Corp. | 146 | 16 |
| | | | 2,295,908 |
| Oil & Gas (4.3%) |
| | Halliburton Co. | 8,019,127 | 196,228 |
| | Noble Energy Inc. | 4,599,687 | 114,256 |
| | Marathon Oil Corp. | 7,691,213 | 104,447 |
| | National Oilwell Varco Inc. | 3,710,724 | 92,954 |
| | Apache Corp. | 3,616,277 | 92,540 |
| | Devon Energy Corp. | 3,509,427 | 91,140 |
| | Hess Corp. | 1,318,853 | 88,113 |
| | Baker Hughes a GE Co. Class A | 3,126,136 | 80,123 |
| | HollyFrontier Corp. | 1,397,874 | 70,886 |
| | | | 930,687 |
| Technology (8.2%) |
| | Motorola Solutions Inc. | 1,647,964 | 265,553 |
| | CDW Corp. | 1,381,967 | 197,400 |
| | Western Digital Corp. | 2,717,259 | 172,464 |
| | Marvell Technology Group Ltd. | 6,414,744 | 170,376 |
| | Maxim Integrated Products Inc. | 2,602,237 | 160,064 |
| | NortonLifeLock Inc. | 5,394,991 | 137,680 |
| | NetApp Inc. | 2,194,885 | 136,632 |
| * | Qorvo Inc. | 1,117,294 | 129,863 |
| | Seagate Technology plc | 2,147,589 | 127,782 |
| | Hewlett Packard Enterprise Co. | 6,221,782 | 98,677 |
| | Juniper Networks Inc. | 3,220,642 | 79,324 |
| | DXC Technology Co. | 1,228,202 | 46,168 |
| * | F5 Networks Inc. | 291,507 | 40,709 |
| * | Dell Technologies Inc. | 9,813 | 504 |
| | KLA Corp. | 556 | 99 |
| | | | 1,763,295 |
| Telecommunications (0.6%) |
| | CenturyLink Inc. | 10,484,856 | 138,505 |
| | | | |
| Utilities (12.8%) |
| | WEC Energy Group Inc. | 3,034,083 | 279,834 |
| | Eversource Energy | 3,113,914 | 264,901 |
| | FirstEnergy Corp. | 5,196,423 | 252,546 |
| | DTE Energy Co. | 1,842,404 | 239,273 |
| | Entergy Corp. | 1,914,979 | 229,415 |
| | American Water Works Co. Inc. | 1,738,738 | 213,604 |
| | Ameren Corp. | 2,366,227 | 181,726 |
| | CMS Energy Corp. | 2,730,002 | 171,553 |
| | Evergy Inc. | 2,191,712 | 142,659 |
| | CenterPoint Energy Inc. | 4,819,634 | 131,431 |
| | Alliant Energy Corp. | 2,347,521 | 128,456 |
| | AES Corp. | 6,384,767 | 127,057 |
| | NiSource Inc. | 3,592,036 | 100,002 |
| | Pinnacle West Capital Corp. | 1,081,014 | 97,216 |
| | Vistra Energy Corp. | 3,750,464 | 86,223 |
| | OGE Energy Corp. | 1,925,619 | 85,632 |
| | Avangrid Inc. | 593,331 | 30,355 |
| * | PG&E Corp. | 1,858 | 20 |
| | | | 2,761,903 |
Total Common Stocks
(Cost $17,336,705) | | 21,464,728 |
| Temporary Cash Investments (0.2%)1 |
| Money Market Fund (0.2%) | | |
| 2,3 | Vanguard Market Liquidity Fund, 1.816% | 420,603 | 42,064 |
| | | | |
| | | | |
| | | Face | |
| | | Amount | |
| | | ($000) | |
| U.S. Government and Agency Obligations (0.0%) |
| 4 | United States Treasury Bill, 1.546%, 3/26/20 | 2,700 | 2,691 |
Total Temporary Cash Investments
(Cost $44,755) | 44,755 |
Total Investments (99.9%)
(Cost $17,381,460) | 21,509,483 |
Mid-Cap Value Index Fund
| | Amount |
| | ($000) |
| Other Assets and Liabilities (0.1%) | |
| Other Assets | |
| Investment in Vanguard | 941 |
| Receivables for Accrued Income | 40,093 |
| Receivables for Capital Shares Issued | 20,976 |
| Variation Margin Receivable—Futures Contracts | 123 |
| Other Assets | 1,895 |
| Total Other Assets | 64,028 |
| Liabilities | |
| Payables for Investment Securities Purchased | (1,834) |
| Collateral for Securities on Loan | (10,180) |
| Payables for Capital Shares Redeemed | (19,361) |
| Payables to Vanguard | (2,585) |
| Total Liabilities | (33,960) |
| Net Assets (100%) | 21,539,551 |
| | |
| At December 31, 2019, net assets consisted of: | |
| | Amount |
| | ($000) |
| Paid-in Capital | 18,682,289 |
| Total Distributable Earnings (Loss) | 2,857,262 |
| Net Assets | 21,539,551 |
| | |
| Investor Shares—Net Assets | |
| Applicable to 1,112,702 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 52,250 |
| Net Asset Value Per Share—Investor Shares | $46.96 |
| | |
| ETF Shares—Net Assets |
| Applicable to 86,688,176 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 10,339,126 |
| Net Asset Value Per Share—ETF Shares | $119.27 |
| | |
| Admiral Shares—Net Assets |
| Applicable to 180,430,181 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 11,148,175 |
| Net Asset Value Per Share—Admiral Shares | $61.79 |
| · | 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 $9,802,000.
| 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 -0.1%, 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 | Collateral of $10,180,000 was received for securities on loan. |
| 4 | Securities with a value of $2,596,000 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 2020 | 255 | 41,197 | 121 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 132 | 27,255 | 473 |
| | | | | 594 |
See accompanying Notes, which are an integral part of the Financial Statements.
Mid-Cap Value Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 442,502 |
| Interest1 | 1,192 |
| Securities Lending—Net | 981 |
| Total Income | 444,675 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,722 |
| Management and Administrative—Investor Shares | 520 |
| Management and Administrative—ETF Shares | 3,942 |
| Management and Administrative—Admiral Shares | 4,507 |
| Marketing and Distribution—Investor Shares | 32 |
| Marketing and Distribution—ETF Shares | 406 |
| Marketing and Distribution—Admiral Shares | 612 |
| Custodian Fees | 130 |
| Auditing Fees | 37 |
| Shareholders’ Reports—Investor Shares | 9 |
| Shareholders’ Reports—ETF Shares | 780 |
| Shareholders’ Reports—Admiral Shares | 128 |
| Trustees’ Fees and Expenses | 10 |
| Total Expenses | 13,835 |
| Expenses Paid Indirectly | (130) |
| Net Expenses | 13,705 |
| Net Investment Income | 430,970 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 196,182 |
| Futures Contracts | 13,652 |
| Realized Net Gain (Loss) | 209,834 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 3,951,819 |
| Futures Contracts | 3,166 |
| Change in Unrealized Appreciation (Depreciation) | 3,954,985 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,595,789 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,119,000, ($10,000), and ($6,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $682,076,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 430,970 | 430,925 |
| Realized Net Gain (Loss) | 209,834 | 564,147 |
| Change in Unrealized Appreciation (Depreciation) | 3,954,985 | (3,290,727) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 4,595,789 | (2,295,655) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (5,474) | (13,788) |
| ETF Shares | (206,559) | (213,583) |
| Admiral Shares | (212,912) | (203,207) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Total Distributions | (424,945) | (430,578) |
| Capital Share Transactions | | |
| Investor Shares | (548,822) | (87,519) |
| ETF Shares | 420,799 | 901,760 |
| Admiral Shares | 1,353,600 | 884,275 |
| Net Increase (Decrease) from Capital Share Transactions | 1,225,577 | 1,698,516 |
| Total Increase (Decrease) | 5,396,421 | (1,027,717) |
| Net Assets | | |
| Beginning of Period | 16,143,130 | 17,170,847 |
| End of Period | 21,539,551 | 16,143,130 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 430,970 | 430,925 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $37.50 | $43.89 | $38.24 | $33.86 | $35.19 | |
| Investment Operations | | | | | | |
| Net Investment Income | .8081 | 1.0011,2 | .7711 | .675 | .658 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 9.566 | (6.415) | 5.646 | 4.396 | (1.341) | |
| Total from Investment Operations | 10.374 | (5.414) | 6.417 | 5.071 | (.683) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.914) | (.976) | (.767) | (.691) | (.647) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.914) | (.976) | (.767) | (.691) | (.647) | |
| Net Asset Value, End of Period | $46.96 | $37.50 | $43.89 | $38.24 | $33.86 | |
| | | | | | | |
| Total Return3 | 27.82% | -12.53% | 16.91% | 15.11% | -1.91% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $52 | $508 | $682 | $666 | $588 | |
| Ratio of Total Expenses to Average Net Assets | 0.19% | 0.19% | 0.19% | 0.19% | 0.20% | |
| Ratio of Net Investment Income to Average Net Assets | 1.90% | 2.29%2 | 1.92% | 2.02% | 2.01% | |
| Portfolio Turnover Rate4 | 17% | 17% | 17% | 20% | 20% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $95.22 | $111.47 | $97.12 | $85.99 | $89.39 | |
| Investment Operations | | | | | | |
| Net Investment Income | 2.4971 | 2.6451,2 | 2.1161 | 1.822 | 1.785 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 23.996 | (16.278) | 14.306 | 11.170 | (3.427) | |
| Total from Investment Operations | 26.493 | (13.633) | 16.422 | 12.992 | (1.642) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (2.443) | (2.617) | (2.072) | (1.862) | (1.758) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (2.443) | (2.617) | (2.072) | (1.862) | (1.758) | |
| Net Asset Value, End of Period | $119.27 | $95.22 | $111.47 | $97.12 | $85.99 | |
| | | | | | | |
| Total Return | 27.98% | -12.41% | 17.05% | 15.26% | -1.80% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $10,339 | $7,898 | $8,355 | $6,383 | $4,351 | |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 2.26% | 2.41%2 | 2.04% | 2.14% | 2.13% | |
| Portfolio Turnover Rate3 | 17% | 17% | 17% | 20% | 20% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $49.33 | $57.74 | $50.31 | $44.54 | $46.30 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.3031 | 1.3851,2 | 1.0961 | .942 | .924 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 12.422 | (8.439) | 7.407 | 5.791 | (1.775) | |
| Total from Investment Operations | 13.725 | (7.054) | 8.503 | 6.733 | (.851) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.265) | (1.356) | (1.073) | (.963) | (.909) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.265) | (1.356) | (1.073) | (.963) | (.909) | |
| Net Asset Value, End of Period | $61.79 | $49.33 | $57.74 | $50.31 | $44.54 | |
| | | | | | | |
| Total Return3 | 27.99% | -12.42% | 17.04% | 15.26% | -1.80% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $11,148 | $7,738 | $8,134 | $5,949 | $3,884 | |
| Ratio of Total Expenses to Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 2.28% | 2.41%2 | 2.04% | 2.14% | 2.13% | |
| Portfolio Turnover Rate4 | 17% | 17% | 17% | 20% | 20% | |
| 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.
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, 2019, 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, 2016–2019), 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are
Mid-Cap Value Index Fund
amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. 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, 2019, the fund had contributed to Vanguard capital in the amount of $941,000, representing less than 0.01% of the fund’s net assets and 0.38% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the fund’s expenses by $130,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments. 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.
Mid-Cap Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 21,464,728 | — | — |
| Temporary Cash Investments | 42,064 | 2,691 | — |
| Futures Contracts—Assets1 | 123 | — | — |
| Total | 21,506,915 | 2,691 | — |
1 Represents variation margin on the last day of the reporting period.
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 were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 682,076 |
| Total Distributable Earnings (Loss) | (682,076) |
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 | 7,483 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (1,276,443) |
| Net Unrealized Gains (Losses) | 4,128,023 |
As of December 31, 2019, 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 | 17,381,460 |
| Gross Unrealized Appreciation | 4,843,234 |
| Gross Unrealized Depreciation | (715,211) |
| Net Unrealized Appreciation (Depreciation) | 4,128,023 |
Mid-Cap Value Index Fund
F. During the year ended December 31, 2019, the fund purchased $6,151,855,000 of investment securities and sold $4,892,437,000 of investment securities, other than temporary cash investments. Purchases and sales include $1,841,090,000 and $1,720,061,000, 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, 2019, such purchases and sales were $748,784,000 and $1,336,039,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
| | | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 108,514 | 2,469 | | 129,028 | 2,954 |
| Issued in Lieu of Cash Distributions | 5,246 | 122 | | 13,124 | 316 |
| Redeemed1 | (662,582) | (15,015) | | (229,671) | (5,279) |
| Net Increase (Decrease)—Investor Shares | (548,822) | (12,424) | | (87,519) | (2,009) |
| ETF Shares | | | | | |
| Issued | 2,203,067 | 19,724 | | 2,940,423 | 26,540 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (1,782,268) | (15,975) | | (2,038,663) | (18,550) |
| Net Increase (Decrease)—ETF Shares | 420,799 | 3,749 | | 901,760 | 7,990 |
| Admiral Shares | | | | | |
| Issued1 | 3,120,071 | 54,634 | | 2,549,096 | 45,288 |
| Issued in Lieu of Cash Distributions | 189,632 | 3,237 | | 182,037 | 3,336 |
| Redeemed | (1,956,103) | (34,301) | | (1,846,858) | (32,623) |
| Net Increase (Decrease)—Admiral Shares | 1,353,600 | 23,570 | | 884,275 | 16,001 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 11,352,000 and 8,629,000 shares, respectively, in the amount of $503,160,000 from the conversion during the year ended December 31, 2019. |
H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, 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, 2019, 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, 2019 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, 2019 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 opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2019, 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 | 653,146 |
| Mid-Cap Index Fund | 1,377,526 |
| Mid-Cap Growth Index Fund | 92,091 |
| Mid-Cap Value Index Fund | 386,106 |
The funds distributed qualified business income to shareholders during the fiscal year as follows:
| Fund | ($000) |
| Extended Market Index Fund | 210,146 |
| Mid-Cap Index Fund | 184,299 |
| Mid-Cap Growth Index Fund | 23,974 |
| Mid-Cap Value Index Fund | 29,024 |
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 | 62.7% |
| Mid-Cap Index Fund | 76.6 |
| Mid-Cap Growth Index Fund | 77.7 |
| Mid-Cap Value Index Fund | 83.1 |
The S&P Completion Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“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, a division of S&P Global (“S&P”) and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard Extended Market Index Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard Extended Market Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard Extended Market Fund particularly or the ability of the S&P Completion Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P Completion Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P Completion Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard Extended Market Fund. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard Extended Market Fund into consideration in determining, composing or calculating the S&P Completion Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of Vanguard Extended Market Fund or the timing of the issuance or sale of Vanguard Extended Market Fund or in the determination or calculation of the equation by which Vanguard Extended Market Fund is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard Extended Market Fund. There is no assurance that investment products based on the S&P Completion Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.
S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P COMPLETION INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD EXTENDED MARKET FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P COMPLETION INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.
The CRSP US Mid Cap Index, CRSP US Mid Cap Growth Index, and CRSP US Mid Cap Value Index (the “Indexes”) are products of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and have been licensed for use by Vanguard. CRSP® is a trademark of CRSP and has been licensed by CRSP for use for certain purposes by Vanguard. Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds are not sponsored, endorsed, sold, or promoted by CRSP or the University. Neither CRSP nor the University makes any representation or warranty, express or implied, to the owners of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds particularly or the ability of the Indexes to track general market performance. The Indexes are determined, composed, and calculated without regard to Vanguard or Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds into consideration in determining, composing, or calculating the Indexes. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices and amount of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or the timing of the issuance or sale of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds or in the determination or calculation of the equation by which Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds are to be converted into cash, surrendered, or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing, or trading of Vanguard Mid-Cap Index, Mid-Cap Growth Index, and Mid-Cap Value Index Funds. There is no assurance that investment products based on the Indexes will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD MID-CAP INDEX, MID-CAP GROWTH INDEX, AND MID-CAP VALUE INDEX FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO LOSS OF PROFITS, TRADING LOSSES, LOST TIME, OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
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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 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. 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 Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019–present) of Vanguard and of each of the investment companies served by Vanguard; 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) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
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. Director of SPX FLOW, Inc. (multi-industry manufac-turing). 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.
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), and the Lumina Foundation.
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
Director of the V Foundation and Oxfam America. 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) 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 (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
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 (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
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
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
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. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), 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. 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.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
| 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 |
| |  |
| | |
| | |
| | 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 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, www.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 www.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 2020, Bloomberg. All rights reserved.
| | © 2020 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. |
| | |
| | Q980 022020 |
Annual Report | December 31, 2019 Vanguard U.S. Stock Index Funds Large-Capitalization Portfolios |
Vanguard Growth Index Fund Vanguard Value Index Fund Vanguard Large-Cap 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 Chairman | 1 |
| | |
| Your Fund’s Performance at a Glance | 2 |
| | |
| About Your Fund’s Expenses | 3 |
| | |
| Growth Index Fund | 5 |
| | |
| Value Index Fund | 26 |
| | |
| Large-Cap Index Fund | 48 |
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 Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 23, 2020
Your Fund’s Performance at a Glance
· For the 12 months ended December 31, 2019, returns ranged from 25.67% for Vanguard Value Index Fund to 37.08% for Vanguard Growth Index Fund. Vanguard Large-Cap Index Fund, which contains both growth and value stocks, returned 31.23%. (All returns are for Investor Shares.) Each fund closely tracked its target index.
· Growth stocks outperformed value stocks for the fund’s fiscal year, while large-capitalization stocks bested mid- and small-caps.
· Technology and financial stocks contributed the most to performance for the Large-Cap Index Fund. The Growth Index Fund benefited most from its technology and consumer services stocks, while financials and industrials were the top contributors to performance in the Value Index Fund.
· For the ten years ended December 31, 2019, annualized returns ranged from 12.33% for the Value Index Fund to 14.44% for the Growth Index Fund. The Large-Cap Index Fund posted an annualized return of 13.36%.
| Market Barometer | | | |
| | Average Annual Total Returns |
| | Periods Ended December 31, 2019 |
| | One Year | Three Years | Five Years |
| Stocks | | | |
| Russell 1000 Index (Large-caps) | 31.43% | 15.05% | 11.48% |
| Russell 2000 Index (Small-caps) | 25.53 | 8.59 | 8.23 |
| Russell 3000 Index (Broad U.S. market) | 31.02 | 14.57 | 11.24 |
| FTSE All-World ex US Index (International) | 21.81 | 9.96 | 5.83 |
| | | | |
| Bonds | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | 8.72% | 4.03% | 3.05% |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | 7.54 | 4.72 | 3.53 |
| FTSE Three-Month U.S. Treasury Bill Index | 2.25 | 1.65 | 1.04 |
| | | | |
| CPI | | | |
| Consumer Price Index | 2.29% | 2.10% | 1.82% |
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 compareongoingcosts 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, 2019 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| | 6/30/2019 | 12/31/2019 | Period |
| Based on Actual Fund Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,120.34 | $0.91 |
| ETF Shares | 1,000.00 | 1,121.00 | 0.21 |
| Admiral™ Shares | 1,000.00 | 1,120.91 | 0.27 |
| Institutional Shares | 1,000.00 | 1,120.95 | 0.21 |
| Value Index Fund | | | |
| Investor Shares | $1,000.00 | $1,093.84 | $0.90 |
| ETF Shares | 1,000.00 | 1,094.66 | 0.21 |
| Admiral Shares | 1,000.00 | 1,094.64 | 0.26 |
| Institutional Shares | 1,000.00 | 1,094.69 | 0.21 |
| Large-Cap Index Fund | | | |
| Investor Shares | $1,000.00 | $1,106.84 | $0.90 |
| ETF Shares | 1,000.00 | 1,107.71 | 0.21 |
| Admiral Shares | 1,000.00 | 1,107.69 | 0.27 |
| Institutional Shares | 1,000.00 | 1,107.69 | 0.21 |
| Based on Hypothetical 5% Yearly Return | | | |
| Growth Index Fund | | | |
| Investor Shares | $1,000.00 | $1,024.35 | $0.87 |
| ETF Shares | 1,000.00 | 1,025.00 | 0.20 |
| 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 | 1,025.00 | 0.20 |
| 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 | 1,025.00 | 0.20 |
| 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, 0.04% for ETF Shares, 0.05% for Admiral Shares, and 0.04% for Institutional Shares; for the Value Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares, and 0.04% for Institutional Shares; and for the Large-Cap Index Fund, 0.17% for Investor Shares, 0.04% for ETF Shares, 0.05% for Admiral Shares, and 0.04% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
 | Growth Index Fund Investor Shares | 37.08% | 13.06% | 14.44% | $38,517 |
 | Spliced Growth Index | 37.31 | 13.24 | 14.66 | 39,274 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 Fund ETF Shares Net Asset Value | 37.26% | 13.21% | 14.59% | $39,049 |
| Growth Index Fund ETF Shares Market Price | 37.26 | 13.20 | 14.59 | 39,038 |
| Spliced Growth Index | 37.31 | 13.24 | 14.66 | 39,274 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Growth Index Fund
| | | | | |
| | | | | |
| | | | | |
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Growth Index Fund Admiral Shares | 37.23% | 13.20% | 14.59% | $39,032 |
| Spliced Growth Index | 37.31 | 13.24 | 14.66 | 39,274 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | |
| | | | | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Growth Index Fund Institutional Shares | 37.26% | 13.21% | 14.61% | $19,547,524 |
| Spliced Growth Index | 37.31 | 13.24 | 14.66 | 19,637,078 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019 | |
| | |
| | One | Five | Ten |
| | Year | Years | Years |
| Growth Index Fund ETF Shares Market Price | 37.26% | 85.86% | 290.38% |
| Growth Index Fund ETF Shares Net Asset Value | 37.26 | 85.95 | 290.49 |
| Spliced Growth Index | 37.31 | 86.24 | 292.74 |
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, 2019 | | |
| | | |
| Basic Materials | 1.5 | % |
| Consumer Goods | 4.5 | |
| Consumer Services | 18.8 | |
| Financials | 13.2 | |
| Health Care | 7.8 | |
| Industrials | 13.2 | |
| Oil & Gas | 1.4 | |
| Technology | 39.3 | |
| Telecommunications | 0.3 | |
| Utilities | 0.0 | |
| 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. |
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Growth Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.8%)1 | | | | |
| Basic Materials (1.5%) | | | | |
| | Linde plc | 4,011,021 | | 853,946 | |
| | Ecolab Inc. | 1,937,127 | | 373,846 | |
| | International Flavors & Fragrances Inc. | 796,756 | | 102,798 | |
| | FMC Corp. | 967,083 | | 96,534 | |
| | CF Industries Holdings Inc. | 1,621,395 | | 77,405 | |
| | Albemarle Corp. | 396,434 | | 28,956 | |
| * | Axalta Coating Systems Ltd. | 791,341 | | 24,057 | |
| | | | | 1,557,542 | |
| Consumer Goods (4.5%) | | | | |
| | NIKE Inc. Class B | 9,303,746 | | 942,562 | |
| ^,* | Tesla Inc. | 1,076,660 | | 450,399 | |
| | Colgate-Palmolive Co. | 6,399,191 | | 440,520 | |
| | Estee Lauder Cos. Inc. Class A | 1,661,759 | | 343,220 | |
| | Activision Blizzard Inc. | 5,736,430 | | 340,859 | |
| * | Electronic Arts Inc. | 2,180,184 | | 234,392 | |
| * | Lululemon Athletica Inc. | 873,550 | | 202,375 | |
| * | Monster Beverage Corp. | 2,810,394 | | 178,601 | |
| | Hershey Co. | 1,107,425 | | 162,769 | |
| | McCormick & Co. Inc. | 922,630 | | 156,598 | |
| | Brown-Forman Corp. Class B | 2,188,341 | | 147,932 | |
| | Church & Dwight Co. Inc. | 1,832,265 | | 128,882 | |
| | Constellation Brands Inc. Class A | 562,662 | | 106,765 | |
| * | Take-Two Interactive Software Inc. | 846,216 | | 103,602 | |
| * | NVR Inc. | 26,182 | | 99,712 | |
| | Lamb Weston Holdings Inc. | 1,091,644 | | 93,914 | |
| * | LKQ Corp. | 2,062,252 | | 73,622 | |
| | Clorox Co. | 468,619 | | 71,952 | |
| | DR Horton Inc. | 1,306,259 | | 68,905 | |
| | Lennar Corp. Class A | 1,048,746 | | 58,510 | |
| * | WABCO Holdings Inc. | 383,353 | | 51,944 | |
| ^,* | Wayfair Inc. | 467,109 | | 42,213 | |
| | Fortune Brands Home & Security Inc. | 518,545 | | 33,882 | |
| ^,* | Under Armour Inc. Class A | 1,404,765 | | 30,343 | |
| * | Under Armour Inc. Class C | 1,452,373 | | 27,856 | |
| | Lennar Corp. Class B | 52,931 | | 2,366 | |
| | Hormel Foods Corp. | 162 | | 7 | |
| | Newell Brands Inc. | 369 | | 7 | |
| | | | | 4,594,709 | |
| Consumer Services (18.8%) | | | | |
| * | Amazon.com Inc. | 3,146,661 | | 5,814,526 | |
| | Home Depot Inc. | 8,144,829 | | 1,778,668 | |
| | Comcast Corp. Class A | 33,897,108 | | 1,524,353 | |
| | McDonald’s Corp. | 5,623,042 | | 1,111,169 | |
| * | Netflix Inc. | 3,272,274 | | 1,058,810 | |
| | Costco Wholesale Corp. | 3,282,800 | | 964,881 | |
| | Starbucks Corp. | 8,377,381 | | 736,539 | |
| | Lowe’s Cos. Inc. | 5,762,722 | | 690,144 | |
| * | Booking Holdings Inc. | 312,522 | | 641,836 | |
| * | Charter Communications Inc. Class A | 1,122,605 | | 544,553 | |
| | TJX Cos. Inc. | 8,124,030 | | 496,053 | |
| | Ross Stores Inc. | 2,700,977 | | 314,448 | |
| | Dollar General Corp. | 1,919,419 | | 299,391 | |
| | Marriott International Inc. Class A | 1,952,939 | | 295,734 | |
| * | O’Reilly Automotive Inc. | 564,905 | | 247,575 | |
| | Hilton Worldwide Holdings Inc. | 2,106,875 | | 233,673 | |
| | Yum! Brands Inc. | 2,258,347 | | 227,483 | |
| * | Uber Technologies Inc. | 7,640,852 | | 227,239 | |
| * | AutoZone Inc. | 177,915 | | 211,952 | |
| * | Chipotle Mexican Grill Inc. Class A | 207,544 | | 173,737 | |
| * | Dollar Tree Inc. | 1,767,061 | | 166,192 | |
| * | Copart Inc. | 1,561,960 | | 142,045 | |
| | Expedia Group Inc. | 1,040,165 | | 112,483 | |
| * | Ulta Beauty Inc. | 417,227 | | 105,617 | |
| | Wynn Resorts Ltd. | 680,880 | | 94,554 | |
| | Domino’s Pizza Inc. | 305,142 | | 89,645 | |
Growth Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | Roku Inc. | 648,783 | | 86,872 | |
| | Tractor Supply Co. | 882,987 | | 82,506 | |
| | FactSet Research Systems Inc. | 282,977 | | 75,923 | |
| * | Live Nation Entertainment Inc. | 1,035,908 | | 74,036 | |
| * | Lyft Inc. Class A | 1,499,370 | | 64,503 | |
| * | Altice USA Inc. Class A | 2,358,374 | | 64,478 | |
| ^ | Sirius XM Holdings Inc. | 8,269,646 | | 59,128 | |
| | MGM Resorts International | 1,732,807 | | 57,650 | |
| | Tiffany & Co. | 425,970 | | 56,931 | |
| * | Burlington Stores Inc. | 247,603 | | 56,461 | |
| | Rollins Inc. | 1,098,097 | | 36,413 | |
| | Vail Resorts Inc. | 150,683 | | 36,138 | |
| * | Carvana Co. Class A | 188,068 | | 17,312 | |
| * | Chewy Inc. | 319,922 | | 9,278 | |
| | | | | 19,080,929 | |
| Financials (13.1%) | | | | |
| | Visa Inc. Class A | 12,513,246 | | 2,351,239 | |
| | Mastercard Inc. Class A | 6,703,053 | | 2,001,465 | |
| | American Tower Corp. | 3,307,394 | | 760,105 | |
| | S&P Global Inc. | 1,824,885 | | 498,285 | |
| | Crown Castle International Corp. | 3,104,535 | | 441,310 | |
| | Prologis Inc. | 4,709,516 | | 419,806 | |
| | Marsh & McLennan Cos. Inc. | 3,768,079 | | 419,802 | |
| | Charles Schwab Corp. | 8,617,032 | | 409,826 | |
| | Intercontinental Exchange Inc. | 4,157,780 | | 384,803 | |
| | Equinix Inc. | 636,815 | | 371,709 | |
| | Aon plc | 1,748,208 | | 364,134 | |
| | Simon Property Group Inc. | 2,176,621 | | 324,229 | |
| | Moody’s Corp. | 1,198,250 | | 284,477 | |
| | Blackstone Group LP | 4,923,145 | | 275,401 | |
| | Public Storage | 1,108,766 | | 236,123 | |
| | AvalonBay Communities Inc. | 1,042,989 | | 218,715 | |
| * | IHS Markit Ltd. | 2,844,759 | | 214,353 | |
| | SBA Communications Corp. Class A | 840,905 | | 202,650 | |
| | T. Rowe Price Group Inc. | 1,657,578 | | 201,959 | |
| | Digital Realty Trust Inc. | 1,558,555 | | 186,621 | |
| | Realty Income Corp. | 2,433,920 | | 179,209 | |
| | Boston Properties Inc. | 1,154,527 | | 159,163 | |
| | MSCI Inc. Class A | 600,885 | | 155,136 | |
| | Essex Property Trust Inc. | 493,514 | | 148,479 | |
| | First Republic Bank | 1,258,228 | | 147,779 | |
| * | CBRE Group Inc. Class A | 2,374,269 | | 145,519 | |
| | Alexandria Real Estate Equities Inc. | 859,653 | | 138,903 | |
| | Arthur J Gallagher & Co. | 1,392,685 | | 132,625 | |
| | Equifax Inc. | 903,924 | | 126,658 | |
| | Invitation Homes Inc. | 4,018,132 | | 120,423 | |
| | Mid-America Apartment Communities Inc. | 851,233 | | 112,244 | |
| * | Markel Corp. | 98,029 | | 112,064 | |
| | Sun Communities Inc. | 691,482 | | 103,791 | |
| | UDR Inc. | 2,187,867 | | 102,173 | |
| | MarketAxess Holdings Inc. | 268,823 | | 101,913 | |
| | Cboe Global Markets Inc. | 827,257 | | 99,271 | |
| | Extra Space Storage Inc. | 917,899 | | 96,948 | |
| * | SVB Financial Group | 385,074 | | 96,669 | |
| | Regency Centers Corp. | 1,250,724 | | 78,908 | |
| | Federal Realty Investment Trust | 564,440 | | 72,660 | |
| | Iron Mountain Inc. | 2,146,847 | | 68,420 | |
| | SEI Investments Co. | 1,011,032 | | 66,202 | |
| | TD Ameritrade Holding Corp. | 1,012,770 | | 50,335 | |
| | Vornado Realty Trust | 640,399 | | 42,587 | |
| | E*TRADE Financial Corp. | 844,717 | | 38,325 | |
| | Camden Property Trust | 360,652 | | 38,265 | |
| | Interactive Brokers Group Inc. | 543,550 | | 25,340 | |
| | Welltower Inc. | 252 | | 21 | |
| | | | | 13,327,042 | |
| Health Care (7.7%) | | | | |
| | Thermo Fisher Scientific Inc. | 2,994,083 | | 972,688 | |
| | Bristol-Myers Squibb Co. | 8,739,754 | | 561,005 | |
| | Becton Dickinson and Co. | 2,019,425 | | 549,223 | |
| * | Intuitive Surgical Inc. | 862,956 | | 510,136 | |
| | Stryker Corp. | 2,375,983 | | 498,814 | |
| | Zoetis Inc. | 3,556,409 | | 470,691 | |
| * | Boston Scientific Corp. | 10,407,312 | | 470,619 | |
| * | VertexPharmaceuticals Inc. | 1,920,131 | | 420,413 | |
| * | Illumina Inc. | 1,097,596 | | 364,116 | |
| * | Edwards Lifesciences Corp. | 1,557,365 | | 363,318 | |
| * | Regeneron Pharmaceuticals Inc. | 604,520 | | 226,985 | |
| * | IQVIA Holdings Inc. | 1,231,524 | | 190,283 | |
| * | Centene Corp. | 2,935,248 | | 184,539 | |
| * | Alexion Pharmaceuticals Inc. | 1,569,765 | | 169,770 | |
| * | IDEXX Laboratories Inc. | 640,536 | | 167,263 | |
| | ResMed Inc. | 1,073,615 | | 166,378 | |
| | Baxter International Inc. | 1,906,041 | | 159,383 | |
| * | DexCom Inc. | 683,438 | | 149,495 | |
| * | Align Technology Inc. | 529,646 | | 147,792 | |
| | Teleflex Inc. | 345,617 | | 130,104 | |
Growth Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | WellCare Health Plans Inc. | 375,552 | | 124,011 | |
| * | Incyte Corp. | 1,366,882 | | 119,356 | |
| | Cooper Cos. Inc. | 370,370 | | 118,996 | |
| * | BioMarin Pharmaceutical Inc. | 1,340,808 | | 113,365 | |
| * | Seattle Genetics Inc. | 895,333 | | 102,301 | |
| * | Exact Sciences Corp. | 1,098,818 | | 101,619 | |
| * | Varian Medical Systems Inc. | 678,243 | | 96,317 | |
| * | Alnylam Pharmaceuticals Inc. | 833,229 | | 95,963 | |
| * | Jazz Pharmaceuticals plc | 401,277 | | 59,903 | |
| * | ABIOMED Inc. | 320,729 | | 54,713 | |
| | | | | 7,859,559 | |
| Industrials (13.2%) | | | | |
| | Boeing Co. | 3,992,082 | | 1,300,461 | |
| | Accenture plc Class A | 4,742,013 | | 998,526 | |
| * | PayPal Holdings Inc. | 8,767,426 | | 948,372 | |
| | Union Pacific Corp. | 5,183,356 | | 937,099 | |
| | Lockheed Martin Corp. | 1,790,332 | | 697,120 | |
| | Fidelity National Information Services Inc. | 4,589,256 | | 638,320 | |
| | United Parcel Service Inc. Class B | 5,232,273 | | 612,490 | |
| * | Fiserv Inc. | 4,315,288 | | 498,977 | |
| | Automatic Data Processing Inc. | 2,907,952 | | 495,806 | |
| | Global Payments Inc. | 2,244,331 | | 409,725 | |
| | Sherwin-Williams Co. | 620,359 | | 362,004 | |
| | Danaher Corp. | 2,336,437 | | 358,596 | |
| | Roper Technologies Inc. | 777,022 | | 275,245 | |
| | Amphenol Corp. Class A | 2,213,881 | | 239,608 | |
| | TransDigm Group Inc. | 379,868 | | 212,726 | |
| | Paychex Inc. | 2,405,965 | | 204,651 | |
| | Agilent Technologies Inc. | 2,307,306 | | 196,836 | |
| | Illinois Tool Works Inc. | 1,079,931 | | 193,988 | |
| * | FleetCor Technologies Inc. | 648,050 | | 186,457 | |
| | Waste Connections Inc. | 2,051,416 | | 186,248 | |
| | Verisk Analytics Inc. Class A | 1,223,662 | | 182,742 | |
| | Cintas Corp. | 657,018 | | 176,790 | |
| | Rockwell Automation Inc. | 862,823 | | 174,868 | |
| | AMETEK Inc. | 1,707,186 | | 170,275 | |
| * | CoStar Group Inc. | 273,569 | | 163,676 | |
| | Fortive Corp. | 2,131,273 | | 162,808 | |
| * | Square Inc. | 2,592,283 | | 162,173 | |
| | Fastenal Co. | 4,282,808 | | 158,250 | |
| * | Mettler-Toledo International Inc. | 181,843 | | 144,252 | |
| * | Keysight Technologies Inc. | 1,400,045 | | 143,687 | |
| | Vulcan Materials Co. | 988,209 | | 142,292 | |
| | Martin Marietta Materials Inc. | 466,598 | | 130,479 | |
| | TransUnion | 1,405,605 | | 120,334 | |
| | Kansas City Southern | 739,801 | | 113,308 | |
| * | Waters Corp. | 480,936 | | 112,371 | |
| | Xylem Inc. | 1,343,580 | | 105,861 | |
| | Wabtec Corp. | 1,358,980 | | 105,729 | |
| | Broadridge Financial Solutions Inc. | 855,587 | | 105,699 | |
| | Masco Corp. | 2,134,589 | | 102,439 | |
| | Old Dominion Freight Line Inc. | 536,537 | | 101,824 | |
| | Expeditors International of Washington Inc. | 1,270,410 | | 99,117 | |
| | Ball Corp. | 1,222,994 | | 79,091 | |
| * | Trimble Inc. | 1,857,732 | | 77,449 | |
| | JB Hunt Transport Services Inc. | 636,522 | | 74,333 | |
| | HEICO Corp. Class A | 597,800 | | 53,521 | |
| | Jack Henry & Associates Inc. | 286,905 | | 41,793 | |
| * | IPG Photonics Corp. | 257,794 | | 37,360 | |
| | HEICO Corp. | 302,380 | | 34,517 | |
| | Cognex Corp. | 607,982 | | 34,071 | |
| | Hubbell Inc. Class B | 202,704 | | 29,964 | |
| * | XPO Logistics Inc. | 345,756 | | 27,557 | |
| | FLIR Systems Inc. | 501,428 | | 26,109 | |
| | Robert Half International Inc. | 412,140 | | 26,027 | |
| | AO Smith Corp. | 511,176 | | 24,352 | |
| | | | | 13,398,373 | |
| Oil & Gas (1.4%) | | | | |
| | EOG Resources Inc. | 4,343,950 | | 363,849 | |
| | ONEOK Inc. | 3,084,442 | | 233,400 | |
| | Pioneer Natural Resources Co. | 1,236,896 | | 187,229 | |
| | Concho Resources Inc. | 1,500,720 | | 131,418 | |
| | Diamondback Energy Inc. | 1,197,403 | | 111,191 | |
| * | Cheniere Energy Inc. | 1,710,757 | | 104,476 | |
| | Targa Resources Corp. | 1,739,850 | | 71,038 | |
| | Hess Corp. | 1,023,992 | | 68,413 | |
| | Noble Energy Inc. | 1,788,810 | | 44,434 | |
| | Cabot Oil & Gas Corp. | 1,525,393 | | 26,557 | |
| | Continental Resources Inc. | 552,011 | | 18,934 | |
| | Apache Corp. | 234 | | 6 | |
| | | | | 1,360,945 | |
| Technology (39.3%) | | | | |
| | Microsoft Corp. | 56,961,829 | | 8,982,880 | |
| | Apple Inc. | 29,858,859 | | 8,768,054 | |
| * | Facebook Inc. Class A | 17,968,310 | | 3,687,996 | |
| * | Alphabet Inc. Class A | 2,236,660 | | 2,995,760 | |
| * | Alphabet Inc. Class C | 2,180,962 | | 2,915,990 | |
| * | Adobe Inc. | 3,614,535 | | 1,192,110 | |
Growth Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | NVIDIA Corp. | 4,341,138 | | 1,021,470 | |
| * | salesforce.com Inc. | 6,220,961 | | 1,011,777 | |
| | Texas Instruments Inc. | 6,979,639 | | 895,418 | |
| | Broadcom Inc. | 2,813,716 | | 889,190 | |
| | Intuit Inc. | 1,846,483 | | 483,649 | |
| * | Micron Technology Inc. | 8,266,068 | | 444,549 | |
| | Applied Materials Inc. | 6,897,487 | | 421,023 | |
| * | ServiceNow Inc. | 1,408,281 | | 397,586 | |
| * | Advanced Micro Devices Inc. | 8,315,191 | | 381,335 | |
| | Analog Devices Inc. | 2,750,009 | | 326,811 | |
| | L3Harris Technologies Inc. | 1,650,712 | | 326,626 | |
| | Lam Research Corp. | 1,083,315 | | 316,761 | |
| * | Autodesk Inc. | 1,639,673 | | 300,814 | |
| | KLA Corp. | 1,178,279 | | 209,934 | |
| * | Workday Inc. Class A | 1,224,586 | | 201,383 | |
| | Microchip Technology Inc. | 1,784,407 | | 186,863 | |
| | Xilinx Inc. | 1,877,655 | | 183,578 | |
| * | Twitter Inc. | 5,507,097 | | 176,502 | |
| * | Splunk Inc. | 1,150,700 | | 172,340 | |
| | Cerner Corp. | 2,228,069 | | 163,518 | |
| * | ANSYS Inc. | 628,728 | | 161,841 | |
| * | Palo Alto Networks Inc. | 694,887 | | 160,693 | |
| * | Synopsys Inc. | 1,122,326 | | 156,228 | |
| | Skyworks Solutions Inc. | 1,272,177 | | 153,781 | |
| * | VeriSign Inc. | 789,030 | | 152,030 | |
| * | IAC/InterActiveCorp | 588,359 | | 146,566 | |
| * | Cadence Design Systems Inc. | 2,095,236 | | 145,326 | |
| * | Veeva Systems Inc. Class A | 982,259 | | 138,165 | |
| | Maxim Integrated Products Inc. | 2,019,988 | | 124,249 | |
| * | Snap Inc. | 7,222,105 | | 117,937 | |
| * | Fortinet Inc. | 1,085,233 | | 115,859 | |
| | Motorola Solutions Inc. | 639,344 | | 103,024 | |
| | Citrix Systems Inc. | 923,188 | | 102,382 | |
| * | Akamai Technologies Inc. | 1,145,499 | | 98,948 | |
| | SS&C Technologies Holdings Inc. | 1,602,866 | | 98,416 | |
| * | Paycom Software Inc. | 370,311 | | 98,044 | |
| * | Gartner Inc. | 634,098 | | 97,714 | |
| * | Okta Inc. | 795,316 | | 91,756 | |
| * | Twilio Inc. Class A | 929,626 | | 91,364 | |
| * | VMware Inc. Class A | 572,968 | | 86,971 | |
| * | GoDaddy Inc. Class A | 1,273,737 | | 86,512 | |
| * | Arista Networks Inc. | 398,882 | | 81,133 | |
| * | Black Knight Inc. | 1,059,585 | | 68,322 | |
| * | RingCentral Inc. Class A | 279,696 | | 47,176 | |
| * | Pinterest Inc. Class A | 2,289,575 | | 42,678 | |
| ^,* | Slack Technologies Inc. Class A | 1,746,930 | | 39,271 | |
| ^,* | Match Group Inc. | 392,889 | | 32,260 | |
| * | Dropbox Inc. Class A | 1,613,875 | | 28,904 | |
| ^,* | Datadog Inc. Class A | 206,370 | | 7,797 | |
| * | Crowdstrike Holdings Inc. Class A | 153,314 | | 7,646 | |
| * | F5 Networks Inc. | 62 | | 9 | |
| | | 39,936,919 | |
| Telecommunications (0.3%) | | | | |
| * | T-Mobile US Inc. | 2,235,617 | | 175,317 | |
| * | Zayo Group Holdings Inc. | 1,770,634 | | 61,352 | |
| * | Zoom Video Communications Inc. Class A | 340,240 | | 23,150 | |
| | | | | 259,819 | |
| Utilities (0.0%) | | | | |
| | NRG Energy Inc. | 890,534 | | 35,399 | |
| Total Common Stocks (Cost $52,643,934) | | | 101,411,236 | |
| Temporary Cash Investments (0.3%)1 | |
| Money Market Fund (0.3%) | | | | |
| 2,3 | Vanguard Market Liquidity Fund, 1.816% | 3,098,728 | | 309,904 | |
| | | | | | |
| | | Face | | | |
| | | Amount | | | |
| | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | |
| 4 | United States Treasury Bill, 1.527%–1.541%, 4/30/20 | 9,750 | | 9,700 | |
| Total Temporary Cash Investments (Cost $319,593) | | | 319,604 | |
| Total Investments (100.1%) (Cost $52,963,527) | 101,730,840 | |
Growth Index Fund
| | Amount | |
| | ($000) | |
| Other Assets and Liabilities (-0.1%) | | |
| Other Assets | | |
| Investment in Vanguard | 4,437 | |
| Receivables for Accrued Income | 44,092 | |
| Receivables for Capital Shares Issued | 59,919 | |
| Variation Margin Receivable—Futures Contracts | 280 | |
| Unrealized Appreciation—Swap Contracts | 952 | |
| Other Assets | 1,900 | |
| Total Other Assets | 111,580 | |
| Liabilities | | |
| Payables for Investment Securities Purchased | (309) | |
| Collateral for Securities on Loan | (172,197) | |
| Payables for Capital Shares Redeemed | (69,369) | |
| Payables to Vanguard | (17,863) | |
| Other Liabilities | (8) | |
| Total Liabilities | (259,746) | |
| Net Assets (100%) | 101,582,674 | |
| | | |
| At December 31, 2019, net assets consisted of: | |
| | Amount | |
| | ($000) | |
| Paid-in Capital | 55,341,896 | |
| Total Distributable Earnings (Loss) | 46,240,778 | |
| Net Assets | 101,582,674 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 6,098,058 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 572,399 | |
| Net Asset Value Per Share—Investor Shares | $93.87 | |
| ETF Shares—Net Assets | | |
| Applicable to 254,960,876 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 46,480,989 | |
| Net Asset Value Per Share—ETF Shares | $182.31 | |
| | | |
| Admiral Shares—Net Assets | | |
| Applicable to 406,034,757 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 38,102,945 | |
| Net Asset Value Per Share—Admiral Shares | $93.84 | |
| | | |
| Institutional Shares—Net Assets | | |
| Applicable to 175,034,069 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,426,341 | |
| Net Asset Value Per Share—Institutional Shares | $93.85 | |
| · | See Note A in Notes to Financial Statements. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $169,165,000. |
| * | Non-income-producing security. |
| 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 0.1%, 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 | Collateral of $172,197,000 was received for securities on loan. |
| 4 | Securities with a value of $4,628,000 have been segregated as initial margin for open futures contracts. |
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 S&P 500 Index | | March 2020 | 726 | 117,289 | 428 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Over-the-Counter Total Return Swaps | | | | | |
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| Visa, Inc. Class A | 9/2/20 | BOANA | 50,740 | (1.597) | 952 | — |
1 Payment received/paid monthly.
BOANA—Bank of America NA.
At December 31, 2019, a counterparty had deposited in a segregated account cash of $1,310,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
Growth Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 1,007,027 |
| Interest1 | 3,088 |
| Securities Lending—Net | 3,465 |
| Total Income | 1,013,580 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 4,836 |
| Management and Administrative—Investor Shares | 2,674 |
| Management and Administrative—ETF Shares | 10,430 |
| Management and Administrative—Admiral Shares | 12,093 |
| Management and Administrative—Institutional Shares | 4,447 |
| Marketing and Distribution—Investor Shares | 167 |
| Marketing and Distribution—ETF Shares | 1,605 |
| Marketing and Distribution—Admiral Shares | 1,745 |
| Marketing and Distribution—Institutional Shares | 429 |
| Custodian Fees | 564 |
| Auditing Fees | 35 |
| Shareholders’ Reports—Investor Shares | 60 |
| Shareholders’ Reports—ETF Shares | 1,635 |
| Shareholders’ Reports—Admiral Shares | 422 |
| Shareholders’ Reports—Institutional Shares | 153 |
| Trustees’ Fees and Expenses | 45 |
| Total Expenses | 41,340 |
| Net Investment Income | 972,240 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 2,738,925 |
| Futures Contracts | 38,542 |
| Swap Contracts | 1,718 |
| Realized Net Gain (Loss) | 2,779,185 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 23,714,868 |
| Futures Contracts | 3,982 |
| Swap Contracts | 952 |
| Change in Unrealized Appreciation (Depreciation) | 23,719,802 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 27,471,227 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,869,000, $17,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $3,230,685,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 972,240 | 957,127 |
| Realized Net Gain (Loss) | 2,779,185 | 1,216,889 |
| Change in Unrealized Appreciation (Depreciation) | 23,719,802 | (4,799,031) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 27,471,227 | (2,625,015) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (14,731) | (32,936) |
| ETF Shares | (434,994) | (417,816) |
| Admiral Shares | (346,427) | (332,866) |
| Institutional Shares | (157,719) | (162,179) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (953,871) | (945,797) |
| Capital Share Transactions | | |
| Investor Shares | (2,755,965) | (455,638) |
| ETF Shares | 2,045,412 | 2,670,446 |
| Admiral Shares | 3,011,369 | 859,859 |
| Institutional Shares | (387,427) | 531,420 |
| Net Increase (Decrease) from Capital Share Transactions | 1,913,389 | 3,606,087 |
| Total Increase (Decrease) | 28,430,745 | 35,275 |
| Net Assets | | |
| Beginning of Period | 73,151,929 | 73,116,654 |
| End of Period | 101,582,674 | 73,151,929 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $69.10 | $72.36 | $57.32 | $54.78 | $53.71 | |
| Investment Operations | | | | | | |
| Net Investment Income | .7461 | .8231 | .7501 | .720 | .652 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 24.802 | (3.271) | 15.037 | 2.548 | 1.054 | |
| Total from Investment Operations | 25.548 | (2.448) | 15.787 | 3.268 | 1.706 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.778) | (.812) | (.747) | (.728) | (.636) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.778) | (.812) | (.747) | (.728) | (.636) | |
| Net Asset Value, End of Period | $93.87 | $69.10 | $72.36 | $57.32 | $54.78 | |
| | | | | | | |
| Total Return2 | 37.08% | -3.46% | 27.65% | 5.99% | 3.17% | |
| | | | | | | |
Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $572 | $2,654 | $3,210 | $2,938 | $3,038 | |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.22% | |
Ratio of Net Investment Income to Average Net Assets | 0.92% | 1.08% | 1.15% | 1.31% | 1.20% | |
| Portfolio Turnover Rate3 | 11% | 11% | 8% | 11% | 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $134.21 | $140.55 | $111.33 | $106.40 | $104.33 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.7731 | 1.8071 | 1.6261 | 1.528 | 1.420 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 48.065 | (6.373) | 29.200 | 4.949 | 2.038 | |
| Total from Investment Operations | 49.838 | (4.566) | 30.826 | 6.477 | 3.458 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.738) | (1.774) | (1.606) | (1.547) | (1.388) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.738) | (1.774) | (1.606) | (1.547) | (1.388) | |
| Net Asset Value, End of Period | $182.31 | $134.21 | $140.55 | $111.33 | $106.40 | |
| | | | | | | |
| Total Return | 37.26% | -3.32% | 27.80% | 6.13% | 3.32% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $46,481 | $32,489 | $31,399 | $23,040 | $20,706 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.06% | 0.08% | |
Ratio of Net Investment Income to Average Net Assets | 1.09% | 1.21% | 1.27% | 1.43% | 1.34% | |
| Portfolio Turnover Rate2 | 11% | 11% | 8% | 11% | 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $69.09 | $72.35 | $57.31 | $54.77 | $53.71 | |
| Investment Operations | | | | | | |
| Net Investment Income | .9071 | .9211 | .8361 | .786 | .731 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 24.728 | (3.274) | 15.032 | 2.550 | 1.044 | |
| Total from Investment Operations | 25.635 | (2.353) | 15.868 | 3.336 | 1.775 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.885) | (.907) | (.828) | (.796) | (.715) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.885) | (.907) | (.828) | (.796) | (.715) | |
| Net Asset Value, End of Period | $93.84 | $69.09 | $72.35 | $57.31 | $54.77 | |
| | | | | | | |
| Total Return2 | 37.23% | -3.34% | 27.80% | 6.12% | 3.30% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $38,103 | $25,609 | $26,013 | $18,617 | $16,777 | |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% | |
Ratio of Net Investment Income to Average Net Assets | 1.08% | 1.20% | 1.27% | 1.43% | 1.34% | |
| Portfolio Turnover Rate3 | 11% | 11% | 8% | 11% | 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $69.09 | $72.35 | $57.31 | $54.77 | $53.70 | |
| Investment Operations | | | | | | |
| Net Investment Income | .9121 | .9281 | .8411 | .792 | .737 | |
| Net Realized and Unrealized Gain (Loss) | | | | | | |
| on Investments | 24.742 | (3.274) | 15.032 | 2.549 | 1.053 | |
| Total from Investment Operations | 25.654 | (2.346) | 15.873 | 3.341 | 1.790 | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (.894) | (.914) | (.833) | (.801) | (.720) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (.894) | (.914) | (.833) | (.801) | (.720) | |
| Net Asset Value, End of Period | $93.85 | $69.09 | $72.35 | $57.31 | $54.77 | |
| | | | | | | |
| Total Return | 37.26% | -3.33% | 27.81% | 6.13% | 3.33% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $16,426 | $12,400 | $12,495 | $9,733 | $9,380 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% | |
| Ratio of Net Investment Income to | | | | | | |
| Average Net Assets | 1.09% | 1.21% | 1.28% | 1.44% | 1.35% | |
| Portfolio Turnover Rate2 | 11% | 11% | 8% | 11% | 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.
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, 2019, 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.
Growth 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, 2019, 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, 2016–2019), 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.
Growth 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
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, 2019, the fund had contributed to Vanguard capital in the amount of $4,437,000, representing less than 0.01% of the fund’s net assets and 1.77% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 101,411,236 | — | — |
| Temporary Cash Investments | 309,904 | 9,700 | — |
| Futures Contracts—Assets1 | 280 | — | — |
| Swap Contracts—Assets | — | 952 | — |
| Total | 101,721,420 | 10,652 | — |
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 and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 3,230,685 |
| Total Distributable Earnings (Loss) | (3,230,685) |
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. 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 | 23,626 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (2,534,635) |
| Net Unrealized Gains (Losses) | 48,767,313 |
As of December 31, 2019, 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 | 52,963,527 |
| Gross Unrealized Appreciation | 49,512,619 |
| Gross Unrealized Depreciation | (745,306) |
| Net Unrealized Appreciation (Depreciation) | 48,767,313 |
E. During the year ended December 31, 2019, the fund purchased $18,394,478,000 of investment securities and sold $16,465,804,000 of investment securities, other than temporary cash investments. Purchases and sales include $8,430,613,000 and $7,039,641,000, 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
Growth Index Fund
ended December 31, 2019, such purchases and sales were $1,239,100,000 and $4,457,532,000, 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, |
| | | 2019 | | | | 2018 |
| | Amount | Shares | Amount | Shares |
| | ($000) | (000) | ($000) | (000) |
| Investor Shares | | | | |
| Issued | 115,764 | 1,430 | 510,573 | 6,648 |
| Issued in Lieu of Cash Distributions | 13,997 | 169 | 30,493 | 408 |
| Redeemed1 | (2,885,726) | (33,915) | (996,704) | (12,998) |
| Net Increase (Decrease)—Investor Shares | (2,755,965) | (32,316) | (455,638) | (5,942) |
| ETF Shares | | | | |
| Issued | 9,192,907 | 56,769 | 7,468,161 | 50,640 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (7,147,495) | (43,875) | (4,797,715) | (31,975) |
| Net Increase (Decrease)—ETF Shares | 2,045,412 | 12,894 | 2,670,446 | 18,665 |
| Admiral Shares | | | | |
| Issued1 | 8,091,333 | 96,379 | 5,564,506 | 72,793 |
| Issued in Lieu of Cash Distributions | 307,364 | 3,578 | 296,361 | 3,965 |
| Redeemed | (5,387,328) | (64,609) | (5,001,008) | (65,632) |
| Net Increase (Decrease)—Admiral Shares | 3,011,369 | 35,348 | 859,859 | 11,126 |
| Institutional Shares | | | | |
| Issued | 2,191,615 | 26,273 | 2,470,757 | 32,349 |
| Issued in Lieu of Cash Distributions | 145,866 | 1,702 | 150,845 | 2,018 |
| Redeemed | (2,724,908) | (32,415) | (2,090,182) | (27,597) |
| Net Increase (Decrease)—Institutional Shares | (387,427) | (4,440) | 531,420 | 6,770 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 30,063,000 and 30,069,000 shares, respectively, in the amount of $2,572,238,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
 | Value Index Fund Investor Shares | 25.67% | 9.92% | 12.33% | $31,986 |
 | Spliced Value Index | 25.85 | 10.09 | 12.54 | 32,588 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 | 25.85% | 10.07% | 12.49% | $32,444 |
| Value Index Fund ETF Shares Market Price | 25.83 | 10.06 | 12.48 | 32,432 |
| Spliced Value Index | 25.85 | 10.09 | 12.54 | 32,588 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
| Value Index Fund | | | | |
| | | | | |
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Value Index Fund Admiral Shares | 25.82% | 10.06% | 12.48% | $32,417 |
| Spliced Value Index | 25.85 | 10.09 | 12.54 | 32,588 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Value Index Fund Institutional Shares | 25.83% | 10.07% | 12.50% | $16,232,806 |
| Spliced Value Index | 25.85 | 10.09 | 12.54 | 16,293,962 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019 | |
| | One | Five | Ten |
| | Year | Years | Years |
| Value Index Fund ETF Shares Market Price | 25.83% | 61.48% | 224.29% |
| Value Index Fund ETF Shares Net Asset Value | 25.85 | 61.55 | 224.44 |
| Spliced Value Index | 25.85 | 61.69 | 225.88 |
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, 2019 | |
| | |
| Basic Materials | 2.4% |
| Consumer Goods | 11.5 |
| Consumer Services | 8.5 |
| Financials | 23.5 |
| Health Care | 17.9 |
| Industrials | 11.0 |
| Oil & Gas | 7.1 |
| Other | 0.0 |
| Technology | 7.7 |
| Telecommunications | 4.0 |
| Utilities | 6.4 |
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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Value Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.7%)1 | | | | |
| Basic Materials (2.4%) | | | | |
| | Air Products & Chemicals Inc. | 1,445,526 | | 339,684 | |
| | DuPont de Nemours Inc. | 4,858,096 | | 311,890 | |
| | Dow Inc. | 4,886,245 | | 267,424 | |
| | Newmont Goldcorp Corp. | 5,376,524 | | 233,610 | |
| | PPG Industries Inc. | 1,550,699 | | 207,003 | |
| | LyondellBasell Industries NV Class A | 1,639,691 | | 154,918 | |
| | Freeport-McMoRan Inc. | 9,038,951 | | 118,591 | |
| | International Paper Co. | 2,572,074 | | 118,444 | |
| | Nucor Corp. | 1,988,185 | | 111,895 | |
| | Celanese Corp. Class A | 792,583 | | 97,583 | |
| | Avery Dennison Corp. | 547,204 | | 71,585 | |
| | Eastman Chemical Co. | 801,578 | | 63,533 | |
| | Mosaic Co. | 2,239,895 | | 48,471 | |
| | Albemarle Corp. | 348,405 | | 25,448 | |
| | Reliance Steel & Aluminum Co. | 208,064 | | 24,918 | |
| | Westlake Chemical Corp. | 253,321 | | 17,770 | |
| | | | | 2,212,767 | |
| Consumer Goods (11.5%) | | | | |
| | Procter & Gamble Co. | 16,354,035 | | 2,042,619 | |
| | Coca-Cola Co. | 25,287,347 | | 1,399,655 | |
| | PepsiCo Inc. | 9,144,469 | | 1,249,775 | |
| | Philip Morris International Inc. | 10,203,058 | | 868,178 | |
| | Altria Group Inc. | 12,250,774 | | 611,436 | |
| | Mondelez International Inc. Class A | 9,442,129 | | 520,072 | |
| | Kimberly-Clark Corp. | 2,248,041 | | 309,218 | |
| | General Motors Co. | 8,433,470 | | 308,665 | |
| | Ford Motor Co. | 25,537,371 | | 237,498 | |
| | VF Corp. | 2,226,670 | | 221,910 | |
| | General Mills Inc. | 3,963,132 | | 212,265 | |
| | Tyson Foods Inc. Class A | 1,935,652 | | 176,222 | |
| | Archer-Daniels-Midland Co. | 3,650,549 | | 169,203 | |
| | Aptiv plc | 1,674,583 | | 159,035 | |
| | Corteva Inc. | 4,910,675 | | 145,160 | |
| | Kraft Heinz Co. | 4,404,483 | | 141,516 | |
| | Kellogg Co. | 1,677,434 | | 116,011 | |
| | Conagra Brands Inc. | 3,191,122 | | 109,264 | |
| | Genuine Parts Co. | 905,193 | | 96,159 | |
| | Constellation Brands Inc. Class A | 494,329 | | 93,799 | |
| | Garmin Ltd. | 934,633 | | 91,183 | |
| | Hasbro Inc. | 843,843 | | 89,118 | |
| | Hormel Foods Corp. | 1,750,226 | | 78,953 | |
| | JM Smucker Co. | 711,539 | | 74,093 | |
| | PulteGroup Inc. | 1,687,011 | | 65,456 | |
| | Campbell Soup Co. | 1,283,616 | | 63,436 | |
| | Clorox Co. | 411,571 | | 63,193 | |
| | Molson Coors Brewing Co. Class B | 1,158,408 | | 62,438 | |
| | Whirlpool Corp. | 413,932 | | 61,067 | |
| | DR Horton Inc. | 1,148,990 | | 60,609 | |
| | BorgWarner Inc. | 1,352,603 | | 58,676 | |
| | Lear Corp. | 395,983 | | 54,329 | |
| ^ | Keurig Dr Pepper Inc. | 1,847,998 | | 53,499 | |
| | Lennar Corp. Class A | 943,557 | | 52,641 | |
| * | Mohawk Industries Inc. | 376,601 | | 51,361 | |
| | PVH Corp. | 485,343 | | 51,034 | |
| | Bunge Ltd. | 883,804 | | 50,863 | |
| | Tapestry Inc. | 1,805,532 | | 48,695 | |
| | Newell Brands Inc. | 2,504,268 | | 48,132 | |
| | Ralph Lauren Corp. Class A | 310,474 | | 36,394 | |
| | Fortune Brands Home & Security Inc. | 455,893 | | 29,788 | |
| | Coty Inc. Class A | 1,981,255 | | 22,289 | |
| | Levi Strauss & Co. Class A | 292,012 | | 5,633 | |
| | Lennar Corp. Class B | 14,996 | | 670 | |
| | | | | 10,461,210 | |
| Consumer Services (8.5%) | | | | |
| | Walt Disney Co. | 11,820,293 | | 1,709,569 | |
| | Walmart Inc. | 9,326,153 | | 1,108,320 | |
| | CVS Health Corp. | 8,531,509 | | 633,806 | |
| | Target Corp. | 3,323,154 | | 426,062 | |
Value Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Walgreens Boots Alliance Inc. | 4,975,100 | | 293,332 | |
| | Sysco Corp. | 3,178,587 | | 271,896 | |
| | Delta Air Lines Inc. | 3,817,437 | | 223,244 | |
| | eBay Inc. | 5,068,222 | | 183,013 | |
| | Las Vegas Sands Corp. | 2,518,220 | | 173,858 | |
| | Southwest Airlines Co. | 3,106,422 | | 167,685 | |
| | McKesson Corp. | 1,181,648 | | 163,446 | |
| | Kroger Co. | 5,256,797 | | 152,394 | |
| | ViacomCBS Inc. Class B | 3,534,863 | | 148,358 | |
| | Royal Caribbean Cruises Ltd. | 1,099,805 | | 146,835 | |
| | Carnival Corp. | 2,592,313 | | 131,767 | |
| | Best Buy Co. Inc. | 1,469,208 | | 128,996 | |
| * | United Airlines Holdings Inc. | 1,410,888 | | 124,285 | |
| * | Liberty Broadband Corp. | 949,820 | | 119,440 | |
| | Omnicom Group Inc. | 1,427,826 | | 115,682 | |
| * | CarMax Inc. | 1,078,359 | | 94,540 | |
| | Darden Restaurants Inc. | 804,043 | | 87,649 | |
| | Fox Corp. Class A | 2,334,149 | | 86,527 | |
| * | Norwegian Cruise Line Holdings Ltd. | 1,394,517 | | 81,454 | |
| | AmerisourceBergen Corp. Class A | 944,891 | | 80,335 | |
| | American Airlines Group Inc. | 2,583,457 | | 74,093 | |
| | Aramark | 1,634,590 | | 70,941 | |
| | Advance Auto Parts Inc. | 431,179 | | 69,058 | |
| * | Discovery Communications Inc. | 2,249,063 | | 68,574 | |
| | Interpublic Group of Cos. Inc. | 2,546,501 | | 58,824 | |
| * | DISH Network Corp. Class A | 1,569,998 | | 55,688 | |
| | Alaska Air Group Inc. | 807,874 | | 54,733 | |
| | Kohl’s Corp. | 1,041,719 | | 53,076 | |
| | MGM Resorts International | 1,522,673 | | 50,659 | |
| | Tiffany & Co. | 374,302 | | 50,025 | |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 993,728 | | 47,838 | |
| | Nielsen Holdings plc | 2,328,136 | | 47,261 | |
| | News Corp. Class A | 3,333,753 | | 47,139 | |
| | Fox Corp. Class B | 1,038,402 | | 37,798 | |
| *,^ | Discovery Communications Inc. Class A | 985,711 | | 32,272 | |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 580,322 | | 28,053 | |
| * | Liberty Broadband Corp. Class A | 165,953 | | 20,671 | |
| | Hyatt Hotels Corp. Class A | 228,222 | | 20,474 | |
| | Macy’s Inc. | 188,301 | | 3,201 | |
| | ViacomCBS Inc. Class A | 41,890 | | 1,880 | |
| | News Corp. Class B | 18,801 | | 273 | |
| | | | | 7,745,024 | |
| Financials (23.4%) | | | | |
| * | Berkshire Hathaway Inc. Class B | 12,764,430 | | 2,891,143 | |
| | JPMorgan Chase & Co. | 19,540,464 | | 2,723,941 | |
| | Bank of America Corp. | 53,091,070 | | 1,869,868 | |
| | Wells Fargo & Co. | 24,962,222 | | 1,342,968 | |
| | Citigroup Inc. | 14,317,430 | | 1,143,820 | |
| | US Bancorp | 9,218,874 | | 546,587 | |
| | Goldman Sachs Group Inc. | 2,206,237 | | 507,280 | |
| | American Express Co. | 4,024,987 | | 501,071 | |
| | Truist Financial Corp. | 8,796,898 | | 495,441 | |
| | CME Group Inc. | 2,350,225 | | 471,737 | |
| | PNC Financial Services Group Inc. | 2,586,336 | | 412,857 | |
| | Morgan Stanley | 7,962,901 | | 407,064 | |
| | Chubb Ltd. | 2,526,475 | | 393,271 | |
| | BlackRock Inc. | 708,760 | | 356,294 | |
| | Capital One Financial Corp. | 3,054,393 | | 314,328 | |
| | American International Group Inc. | 5,705,245 | | 292,850 | |
| | Progressive Corp. | 3,833,874 | | 277,534 | |
| | Bank of New York Mellon Corp. | 5,443,688 | | 273,981 | |
| | Prudential Financial Inc. | 2,636,356 | | 247,132 | |
| | Aflac Inc. | 4,573,491 | | 241,938 | |
| | Allstate Corp. | 2,124,725 | | 238,925 | |
| | MetLife Inc. | 4,523,681 | | 230,572 | |
| | Travelers Cos. Inc. | 1,608,311 | | 220,258 | |
| | Welltower Inc. | 2,661,524 | | 217,659 | |
| | Equity Residential | 2,436,264 | | 197,143 | |
| | State Street Corp. | 2,265,514 | | 179,202 | |
| | Discover Financial Services | 2,055,721 | | 174,366 | |
| | Weyerhaeuser Co. | 4,886,291 | | 147,566 | |
| | Synchrony Financial | 4,026,022 | | 144,977 | |
| | Hartford Financial Services Group Inc. | 2,363,855 | | 143,651 | |
| | Fifth Third Bancorp | 4,654,143 | | 143,068 | |
| | Ventas Inc. | 2,444,444 | | 141,142 | |
| | Northern Trust Corp. | 1,320,177 | | 140,256 | |
| | M&T Bank Corp. | 822,180 | | 139,565 | |
| | Ameriprise Financial Inc. | 830,918 | | 138,414 | |
| | KeyCorp | 6,459,320 | | 130,737 | |
| | Citizens Financial Group Inc. | 2,850,976 | | 115,778 | |
| | Healthpeak Properties Inc. | 3,344,416 | | 115,282 | |
Value Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Cincinnati Financial Corp. | 1,071,397 | | 112,657 | |
| | Regions Financial Corp. | 6,326,355 | | 108,560 | |
| * | Arch Capital Group Ltd. | 2,525,236 | | 108,307 | |
| | Huntington Bancshares Inc. | 6,772,839 | | 102,134 | |
| | Principal Financial Group Inc. | 1,820,637 | | 100,135 | |
| | KKR & Co. Inc. Class A | 3,429,496 | | 100,038 | |
| | WP Carey Inc. | 1,129,346 | | 90,393 | |
| | Annaly Capital Management Inc. | 9,375,757 | | 88,320 | |
| | Host Hotels & Resorts Inc. | 4,701,997 | | 87,222 | |
| | Loews Corp. | 1,657,885 | | 87,022 | |
| | Duke Realty Corp. | 2,409,830 | | 83,549 | |
| | Nasdaq Inc. | 753,693 | | 80,721 | |
| | Fidelity National Financial Inc. | 1,713,963 | | 77,728 | |
| | Lincoln National Corp. | 1,299,869 | | 76,705 | |
| | Ally Financial Inc. | 2,491,257 | | 76,133 | |
| | Everest Re Group Ltd. | 267,303 | | 74,000 | |
| | Western Union Co. | 2,747,897 | | 73,589 | |
| | Raymond James Financial Inc. | 818,899 | | 73,259 | |
| * | Alleghany Corp. | 89,655 | | 71,685 | |
| | AXA Equitable Holdings Inc. | 2,745,093 | | 68,023 | |
| | Comerica Inc. | 944,358 | | 67,758 | |
| | Globe Life Inc. | 638,724 | | 67,226 | |
| | Reinsurance Group of America Inc. Class A | 410,716 | | 66,971 | |
| | VEREIT Inc. | 6,992,161 | | 64,608 | |
| | AGNC Investment Corp. | 3,543,207 | | 62,644 | |
| | WR Berkley Corp. | 902,574 | | 62,368 | |
| | Zions Bancorp NA | 1,116,162 | | 57,951 | |
| | Kimco Realty Corp. | 2,630,217 | | 54,472 | |
| | Voya Financial Inc. | 883,396 | | 53,870 | |
| | SL Green Realty Corp. | 526,297 | | 48,356 | |
| | Franklin Resources Inc. | 1,800,662 | | 46,781 | |
| * | Athene Holding Ltd. Class A | 937,530 | | 44,092 | |
| | TD Ameritrade Holding Corp. | 886,212 | | 44,045 | |
| | Invesco Ltd. | 2,386,131 | | 42,903 | |
| | Vornado Realty Trust | 562,546 | | 37,409 | |
| | E*TRADE Financial Corp. | 742,624 | | 33,693 | |
| | Camden Property Trust | 317,070 | | 33,641 | |
| | Jones Lang LaSalle Inc. | 169,430 | | 29,496 | |
| | People’s United Financial Inc. | 1,449,575 | | 24,498 | |
| * | Berkshire Hathaway Inc. Class A | 14 | | 4,754 | |
| | | | | 21,357,382 | |
| Health Care (17.9%) | | | | |
| | Johnson & Johnson | 17,259,291 | | 2,517,613 | |
| | UnitedHealth Group Inc. | 6,212,960 | | 1,826,486 | |
| | Merck & Co. Inc. | 16,696,111 | | 1,518,511 | |
| | Pfizer Inc. | 36,291,809 | | 1,421,913 | |
| | Abbott Laboratories | 11,597,218 | | 1,007,334 | |
| | Medtronic plc | 8,789,934 | | 997,218 | |
| | Amgen Inc. | 3,896,525 | | 939,335 | |
| | AbbVie Inc. | 9,147,688 | | 809,936 | |
| | Eli Lilly & Co. | 5,666,751 | | 744,781 | |
| | Gilead Sciences Inc. | 8,296,527 | | 539,108 | |
| | Anthem Inc. | 1,662,833 | | 502,225 | |
| | Cigna Corp. | 2,448,921 | | 500,780 | |
| | Bristol-Myers Squibb Co. | 7,676,055 | | 492,726 | |
| | Allergan plc | 2,045,215 | | 390,984 | |
| * | Biogen Inc. | 1,183,322 | | 351,127 | |
| | Humana Inc. | 868,426 | | 318,296 | |
| | HCA Healthcare Inc. | 1,779,445 | | 263,020 | |
| | Zimmer Biomet Holdings Inc. | 1,348,807 | | 201,889 | |
| | Baxter International Inc. | 1,674,099 | | 139,988 | |
| * | Laboratory Corp. of America Holdings | 636,812 | | 107,730 | |
| | Cardinal Health Inc. | 1,917,998 | | 97,012 | |
| | Quest Diagnostics Inc. | 883,337 | | 94,332 | |
| * | Hologic Inc. | 1,758,269 | | 91,799 | |
| | Dentsply Sirona Inc. | 1,458,176 | | 82,518 | |
| * | Elanco Animal Health Inc. | 2,446,497 | | 72,049 | |
| | Universal Health Services Inc. Class B | 500,143 | | 71,751 | |
| * | Mylan NV | 3,384,575 | | 68,030 | |
| * | Henry Schein Inc. | 961,495 | | 64,151 | |
| | Perrigo Co. plc | 846,181 | | 43,714 | |
| * | DaVita Inc. | 553,975 | | 41,565 | |
| | | | | 16,317,921 | |
| Industrials (10.9%) | | | | |
| | United Technologies Corp. | 5,661,312 | | 847,838 | |
| | Honeywell International Inc. | 4,685,926 | | 829,409 | |
| | 3M Co. | 3,771,183 | | 665,312 | |
| | General Electric Co. | 57,272,557 | | 639,162 | |
| | Caterpillar Inc. | 3,624,386 | | 535,249 | |
| | Raytheon Co. | 1,826,301 | | 401,311 | |
| | Deere & Co. | 2,064,971 | | 357,777 | |
| | CSX Corp. | 4,874,005 | | 352,683 | |
| | Northrop Grumman Corp. | 994,747 | | 342,163 | |
| | Norfolk Southern Corp. | 1,709,917 | | 331,946 | |
| | Waste Management Inc. | 2,782,422 | | 317,085 | |
| | Danaher Corp. | 2,052,152 | | 314,964 | |
| | Emerson Electric Co. | 3,994,848 | | 304,647 | |
Value Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | General Dynamics Corp. | 1,612,873 | | 284,430 | |
| | Eaton Corp. plc | 2,710,984 | | 256,784 | |
| | FedEx Corp. | 1,540,078 | | 232,875 | |
| | TE Connectivity Ltd. | 2,193,538 | | 210,229 | |
| | Ingersoll-Rand plc | 1,571,318 | | 208,860 | |
| | Johnson Controls International plc | 5,058,921 | | 205,949 | |
| | Cummins Inc. | 1,004,698 | | 179,801 | |
| | PACCAR Inc. | 2,268,224 | | 179,417 | |
| | Parker-Hannifin Corp. | 842,471 | | 173,397 | |
| | Illinois Tool Works Inc. | 948,499 | | 170,379 | |
| | Willis Towers Watson plc | 843,258 | | 170,288 | |
| | Stanley Black & Decker Inc. | 996,882 | | 165,223 | |
| | Republic Services Inc. Class A | 1,360,658 | | 121,956 | |
| | Dover Corp. | 952,592 | | 109,796 | |
| | WW Grainger Inc. | 300,294 | | 101,656 | |
| * | United Rentals Inc. | 492,676 | | 82,164 | |
| | Arconic Inc. | 2,554,362 | | 78,598 | |
| | Jacobs Engineering Group Inc. | 870,969 | | 78,239 | |
| | Westrock Co. | 1,689,727 | | 72,506 | |
| | Packaging Corp. of America | 620,306 | | 69,468 | |
| | Ball Corp. | 1,071,765 | | 69,311 | |
| | CH Robinson Worldwide Inc. | 886,292 | | 69,308 | |
| | Huntington Ingalls Industries Inc. | 267,994 | | 67,234 | |
| | Textron Inc. | 1,495,567 | | 66,702 | |
| * | Crown Holdings Inc. | 889,009 | | 64,489 | |
| | Snap-on Inc. | 359,253 | | 60,857 | |
| * | Sensata Technologies Holding plc | 1,040,309 | | 56,041 | |
| | Xerox Holdings Corp. | 1,207,450 | | 44,519 | |
| | Hubbell Inc. Class B | 178,799 | | 26,430 | |
| | Pentair plc | 552,648 | | 25,350 | |
| | | | | 9,941,802 | |
| Oil & Gas (7.1%) | | | | |
| | Exxon Mobil Corp. | 27,747,022 | | 1,936,187 | |
| | Chevron Corp. | 12,400,055 | | 1,494,331 | |
| | ConocoPhillips | 7,195,943 | | 467,952 | |
| | Schlumberger Ltd. | 9,079,065 | | 364,978 | |
| | Phillips 66 | 2,914,057 | | 324,655 | |
| | Kinder Morgan Inc. | 12,625,883 | | 267,290 | |
| | Marathon Petroleum Corp. | 4,258,186 | | 256,556 | |
| | Valero Energy Corp. | 2,692,985 | | 252,198 | |
| | Occidental Petroleum Corp. | 5,858,340 | | 241,422 | |
| | Williams Cos. Inc. | 7,948,632 | | 188,542 | |
| | Halliburton Co. | 5,469,585 | | 133,841 | |
| | Baker Hughes a GE Co. Class A | 4,262,168 | | 109,239 | |
| | Marathon Oil Corp. | 5,241,315 | | 71,177 | |
| | National Oilwell Varco Inc. | 2,527,360 | | 63,310 | |
| | Apache Corp. | 2,462,528 | | 63,016 | |
| | Devon Energy Corp. | 2,389,741 | | 62,062 | |
| | Hess Corp. | 897,930 | | 59,991 | |
| | HollyFrontier Corp. | 954,546 | | 48,405 | |
| | Noble Energy Inc. | 1,571,742 | | 39,042 | |
| | | | | 6,444,194 | |
| Other (0.0%)2 | | | | |
| *,§ | American International Group Inc. Warrants Exp. 01/19/2021 | 41,903 | | — | |
| | | | | | |
| Technology (7.6%) | | | | |
| | Intel Corp. | 28,526,418 | | 1,707,306 | |
| | Cisco Systems Inc. | 27,820,597 | | 1,334,276 | |
| | International Business Machines Corp. | 5,807,786 | | 778,476 | |
| | Oracle Corp. | 13,992,006 | | 741,296 | |
| | QUALCOMM Inc. | 7,487,871 | | 660,655 | |
| | Cognizant Technology Solutions Corp. Class A | 3,591,043 | | 222,716 | |
| | HP Inc. | 9,719,693 | | 199,740 | |
| | Corning Inc. | 5,043,949 | | 146,829 | |
| | Hewlett Packard Enterprise Co. | 8,486,169 | | 134,591 | |
| | CDW Corp. | 942,218 | | 134,586 | |
| | Western Digital Corp. | 1,852,796 | | 117,597 | |
| | Marvell Technology Group Ltd. | 4,374,023 | | 116,174 | |
| | NortonLifeLock Inc. | 3,678,326 | | 93,871 | |
| | NetApp Inc. | 1,496,805 | | 93,176 | |
| | Motorola Solutions Inc. | 561,815 | | 90,531 | |
| * | Qorvo Inc. | 761,812 | | 88,545 | |
| | Seagate Technology plc | 1,462,924 | | 87,044 | |
| * | Dell Technologies Inc. | 1,365,907 | | 70,194 | |
| * | F5 Networks Inc. | 398,194 | | 55,608 | |
| | Juniper Networks Inc. | 2,191,199 | | 53,969 | |
| | DXC Technology Co. | 840,955 | | 31,612 | |
| | L3Harris Technologies Inc. | 3 | | 1 | |
| | | | | 6,958,793 | |
Value Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Telecommunications (4.0%) | | | |
| | AT&T Inc. | 47,904,575 | | 1,872,111 | |
| | Verizon Communications Inc. | 27,122,050 | | 1,665,294 | |
| | CenturyLink Inc. | 7,148,988 | | 94,438 | |
| * | Sprint Corp. | 4,034,867 | | 21,021 | |
| | | | | 3,652,864 | |
| Utilities (6.4%) | | | | |
| | NextEra Energy Inc. | 3,205,451 | | 776,232 | |
| | Dominion Energy Inc. | 5,397,539 | | 447,024 | |
| | Southern Co. | 6,877,064 | | 438,069 | |
| | Duke Energy Corp. | 4,781,207 | | 436,094 | |
| | American Electric Power Co. Inc. | 3,239,660 | | 306,180 | |
| | Exelon Corp. | 6,361,103 | | 290,003 | |
| | Sempra Energy | 1,799,536 | | 272,594 | |
| | Xcel Energy Inc. | 3,516,997 | | 223,294 | |
| | Consolidated Edison Inc. | 2,179,873 | | 197,213 | |
| | Public Service Enterprise Group Inc. | 3,316,266 | | 195,826 | |
| | WEC Energy Group Inc. | 2,068,182 | | 190,748 | |
| | Eversource Energy | 2,123,404 | | 180,638 | |
| | Edison International | 2,351,603 | | 177,334 | |
| | FirstEnergy Corp. | 3,543,525 | | 172,215 | |
| | PPL Corp. | 4,741,360 | | 170,120 | |
| | DTE Energy Co. | 1,256,474 | | 163,178 | |
| | Entergy Corp. | 1,305,686 | | 156,421 | |
| | American Water Works Co. Inc. | 1,185,296 | | 145,614 | |
| | Ameren Corp. | 1,613,449 | | 123,913 | |
| | CMS Energy Corp. | 1,861,079 | | 116,950 | |
| | Evergy Inc. | 1,494,530 | | 97,279 | |
| | CenterPoint Energy Inc. | 3,286,674 | | 89,628 | |
| | Alliant Energy Corp. | 1,600,301 | | 87,568 | |
| | AES Corp. | 4,352,879 | | 86,622 | |
| | NiSource Inc. | 2,447,185 | | 68,130 | |
| | Pinnacle West Capital Corp. | 736,377 | | 66,222 | |
| | Vistra Energy Corp. | 2,554,488 | | 58,728 | |
| | OGE Energy Corp. | 1,314,771 | | 58,468 | |
| | Avangrid Inc. | 406,598 | | 20,802 | |
| * | PG&E Corp. | 12 | | — | |
| | | | | 5,813,107 | |
| Total Common Stocks (Cost $69,127,733) | | | 90,905,064 | |
| Temporary Cash Investments (0.2%)1 | |
| Money Market Fund (0.2%) | | | |
| 3,4 | Vanguard Market Liquidity Fund, 1.816% | 1,329,729 | | 132,986 | |
| | | | | |
| | Face | | | |
| | Amount | | | |
| | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | |
| 5 | United States Treasury Bill, 1.817%, 1/30/20 | 310 | | 310 | |
| 5 | United States Treasury Bill, 1.566%, 2/20/20 | 7,000 | | 6,986 | |
| 5 | United States Treasury Bill, 1.541%, 4/30/20 | 900 | | 895 | |
| | | | 8,191 | |
| Total Temporary Cash Investments (Cost $141,174) | | 141,177 | |
| Total Investments (99.9%) (Cost $69,268,907) | | 91,046,241 | |
| | | | |
| | | | Amount | |
| | | | ($000 | ) |
| Other Assets and Liabilities (0.1%) | |
| Other Assets | | | |
| Investment in Vanguard | | 4,004 | |
| Receivables for Accrued Income | | 145,907 | |
| Receivables for Capital Shares Issued | | 40,991 | |
| Variation Margin Receivable— Futures Contracts | | 371 | |
| Unrealized Appreciation—Swap Contracts | | 382 | |
| Total Other Assets | | 191,655 | |
| Liabilities | | | |
| Payables for Investment Securities Purchased | | (478 | ) |
| Collateral for Securities on Loan | | (58,530 | ) |
| Payables for Capital Shares Redeemed | | (29,865 | ) |
| Payables to Vanguard | | (13,186 | ) |
| Other Liabilities | | (3,051 | ) |
| Total Liabilities | | (105,110 | ) |
| Net Assets (100%) | | 91,132,786 | |
Value Index Fund
| At December 31, 2019, net assets consisted of: |
| Amount |
| ($000) |
| Paid-in Capital | 70,803,947 |
| Total Distributable Earnings (Loss) | 20,328,839 |
| Net Assets | 91,132,786 |
| |
| Investor Shares—Net Assets |
| Applicable to 7,012,853 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 328,065 |
| Net Asset Value Per Share— Investor Shares | $46.78 |
| |
| ETF Shares—Net Assets |
| Applicable to 466,307,509 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 55,909,128 |
| Net Asset Value Per Share—ETF Shares | $119.90 |
| |
| Admiral Shares—Net Assets | |
| Applicable to 479,219,523 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 22,414,112 |
| Net Asset Value Per Share— Admiral Shares | $46.77 |
| |
| Institutional Shares—Net Assets |
| Applicable to 266,865,141 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 12,481,481 |
| Net Asset Value Per Share— Institutional Shares | $46.77 |
| * | See Note A in Notes to Financial Statements. |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $56,454,000.
| * | Non-income-producing security. |
§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 -0.1%, 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 | Collateral of $58,530,000 was received for securities on loan. |
| 5 | Securities with a value of $6,100,000 have been segregated as initial margin for open futures contracts. |
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 2020 | 1,083 | 174,964 | 742 |
| | | | | | | |
| Over-the-Counter Total Return Swaps | | | | | |
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| AbbVie Inc. | 9/2/20 | BOANA | 48,252 | (1.697) | 382 | — |
1 Payment received/paid monthly.
BOANA—Bank of America NA.
At December 31, 2019, a counterparty had deposited in a segregated account cash of $750,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
Value Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 2,248,852 |
| Interest1 | 3,302 |
| Securities Lending—Net | 2,771 |
| Total Income | 2,254,925 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 4,619 |
| Management and Administrative—Investor Shares | 1,367 |
| Management and Administrative—ETF Shares | 12,302 |
| Management and Administrative—Admiral Shares | 7,242 |
| Management and Administrative—Institutional Shares | 3,380 |
| Marketing and Distribution—Investor Shares | 88 |
| Marketing and Distribution—ETF Shares | 2,412 |
| Marketing and Distribution—Admiral Shares | 1,157 |
| Marketing and Distribution—Institutional Shares | 310 |
| Custodian Fees | 444 |
| Auditing Fees | 36 |
| Shareholders’ Reports—Investor Shares | 15 |
| Shareholders’ Reports—ETF Shares | 1,655 |
| Shareholders’ Reports—Admiral Shares | 162 |
| Shareholders’ Reports—Institutional Shares | 86 |
| Trustees’ Fees and Expenses | 39 |
| Total Expenses | 35,314 |
| Net Investment Income | 2,219,611 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 1,552,820 |
| Futures Contracts | 57,762 |
| Swap Contracts | 5,648 |
| Realized Net Gain (Loss) | 1,616,230 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 14,492,793 |
| Futures Contracts | (907) |
| Swap Contracts | 382 |
| Change in Unrealized Appreciation (Depreciation) | 14,492,268 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 18,328,109 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $2,879,000, $5,000, and ($11,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $2,600,682,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 2,219,611 | 1,764,881 |
| Realized Net Gain (Loss) | 1,616,230 | 3,138,775 |
| Change in Unrealized Appreciation (Depreciation) | 14,492,268 | (9,094,447) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 18,328,109 | (4,190,791) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (20,395) | (36,993) |
| ETF Shares | (1,342,434) | (1,030,963) |
| Admiral Shares | (535,578) | (434,831) |
| Institutional Shares | (303,775) | (258,024) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (2,202,182) | (1,760,811) |
| Capital Share Transactions | | |
| Investor Shares | (1,265,828) | (127,208) |
| ETF Shares | 4,609,618 | 8,586,445 |
| Admiral Shares | 2,004,934 | 1,130,589 |
| Institutional Shares | 456,273 | 514,891 |
| Net Increase (Decrease) from Capital Share Transactions | 5,804,997 | 10,104,717 |
| Total Increase (Decrease) | 21,930,924 | 4,153,115 |
| Net Assets | | |
| Beginning of Period | 69,201,862 | 65,048,747 |
| End of Period | 91,132,786 | 69,201,862 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $38.18 | $41.42 | $36.24 | $31.82 | $32.95 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.0931 | 1.0091 | .9181 | .850 | .782 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 8.623 | (3.261) | 5.166 | 4.415 | (1.130) | |
| Total from Investment Operations | 9.716 | (2.252) | 6.084 | 5.265 | (.348) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.116) | (.988) | (.904) | (.845) | (.782) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.116) | (.988) | (.904) | (.845) | (.782) | |
| Net Asset Value, End of Period | $46.78 | $38.18 | $41.42 | $36.24 | $31.82 | |
| | | | | | | |
| Total Return2 | 25.67% | -5.55% | 16.99% | 16.75% | -1.03% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $328 | $1,381 | $1,626 | $1,587 | $1,397 | |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.22% | |
| Ratio of Net Investment Income to Average Net Assets | 2.58% | 2.43% | 2.40% | 2.64% | 2.44% | |
| Portfolio Turnover Rate3 | 12% | 8% | 9% | 7% | 8% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $97.84 | $106.14 | $92.87 | $81.56 | $84.45 | |
| Investment Operations | | | | | | |
| Net Investment Income | 3.0461 | 2.7221 | 2.4731 | 2.282 | 2.123 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 22.014 | (8.352) | 13.234 | 11.301 | (2.890) | |
| Total from Investment Operations | 25.060 | (5.630) | 15.707 | 13.583 | (.767) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (3.000) | (2.670) | (2.437) | (2.273) | (2.123) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (3.000) | (2.670) | (2.437) | (2.273) | (2.123) | |
| Net Asset Value, End of Period | $119.90 | $97.84 | $106.14 | $92.87 | $81.56 | |
| | | | | | | |
| Total Return | 25.85% | -5.39% | 17.12% | 16.88% | -0.89% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $55,909 | $41,510 | $36,560 | $27,126 | $18,648 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.06% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 2.76% | 2.56% | 2.52% | 2.76% | 2.58% | |
| Portfolio Turnover Rate2 | 12% | 8% | 9% | 7% | 8% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $38.17 | $41.41 | $36.23 | $31.82 | $32.94 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.1851 | 1.0591 | .9651 | .890 | .829 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 8.581 | (3.261) | 5.165 | 4.407 | (1.121) | |
| Total from Investment Operations | 9.766 | (2.202) | 6.130 | 5.297 | (.292) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.166) | (1.038) | (.950) | (.887) | (.828) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.166) | (1.038) | (.950) | (.887) | (.828) | |
| Net Asset Value, End of Period | $46.77 | $38.17 | $41.41 | $36.23 | $31.82 | |
| | | | | | | |
| Total Return2 | 25.82% | -5.43% | 17.13% | 16.86% | -0.86% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $22,414 | $16,522 | $16,778 | $13,424 | $10,408 | |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% | |
| Ratio of Net Investment Income to Average Net Assets | 2.75% | 2.55% | 2.52% | 2.76% | 2.58% | |
| Portfolio Turnover Rate3 | 12% | 8% | 9% | 7% | 8% | |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 | |
| Net Asset Value, Beginning of Period | $38.17 | $41.41 | $36.23 | $31.82 | $32.94 | |
| Investment Operations | | | | | | |
| Net Investment Income | 1.1891 | 1.0631 | .9691 | .893 | .831 | |
| Net Realized and Unrealized Gain (Loss) on Investments | 8.581 | (3.260) | 5.165 | 4.407 | (1.120) | |
| Total from Investment Operations | 9.770 | (2.197) | 6.134 | 5.300 | (.289) | |
| Distributions | | | | | | |
| Dividends from Net Investment Income | (1.170) | (1.043) | (.954) | (.890) | (.831) | |
| Distributions from Realized Capital Gains | — | — | — | — | — | |
| Total Distributions | (1.170) | (1.043) | (.954) | (.890) | (.831) | |
| Net Asset Value, End of Period | $46.77 | $38.17 | $41.41 | $36.23 | $31.82 | |
| | | | | | | |
| Total Return | 25.83% | -5.42% | 17.14% | 16.87% | -0.85% | |
| | | | | | | |
| Ratios/Supplemental Data | | | | | | |
| Net Assets, End of Period (Millions) | $12,481 | $9,789 | $10,085 | $8,684 | $7,176 | |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% | |
| Ratio of Net Investment Income to Average Net Assets | 2.76% | 2.56% | 2.53% | 2.77% | 2.59% | |
| Portfolio Turnover Rate2 | 12% | 8% | 9% | 7% | 8% | |
| 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.
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, 2019, 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.
Value 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, 2019, 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, 2016–2019), 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.
Value Index Fund
6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
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, 2019, the fund had contributed to Vanguard capital in the amount of $4,004,000, representing less than 0.01% of the fund’s net assets and 1.60% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 90,905,064 | — | — |
| Temporary Cash Investments | 132,986 | 8,191 | — |
| Futures Contracts—Assets1 | 371 | — | — |
| Swap Contracts—Assets | — | 382 | — |
| Total | 91,038,421 | 8,573 | — |
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 and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 2,600,682 |
| Total Distributable Earnings (Loss) | (2,600,682) |
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. 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 | 28,164 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (1,465,507) |
| Net Unrealized Gains (Losses) | 21,777,334 |
As of December 31, 2019, 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 | 69,268,907 |
| Gross Unrealized Appreciation | 24,189,907 |
| Gross Unrealized Depreciation | (2,412,573) |
| Net Unrealized Appreciation (Depreciation) | 21,777,334 |
E. During the year ended December 31, 2019, the fund purchased $21,837,069,000 of investment securities and sold $16,052,486,000 of investment securities, other than temporary cash investments. Purchases and sales include $9,895,580,000 and $6,489,626,000, 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, 2019, such purchases and sales were $3,819,121,000 and $1,857,206,000, 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, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares | | | | | |
| Issued | 288,447 | 6,573 | | 285,966 | 6,836 |
| Issued in Lieu of Cash Distributions | 19,467 | 454 | | 33,551 | 830 |
| Redeemed1 | (1,573,742) | (36,175) | | (446,725) | (10,770) |
| Net Increase (Decrease)—Investor Shares | (1,265,828) | (29,148) | | (127,208) | (3,104) |
| ETF Shares | | | | | |
| Issued | 11,138,392 | 101,457 | | 14,303,249 | 135,191 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (6,528,774) | (59,400) | | (5,716,804) | (55,375) |
| Net Increase (Decrease)—ETF Shares | 4,609,618 | 42,057 | | 8,586,445 | 79,816 |
| Admiral Shares | | | | | |
| Issued1 | 4,731,989 | 110,113 | | 3,802,677 | 92,033 |
| Issued in Lieu of Cash Distributions | 457,063 | 10,403 | | 373,799 | 9,257 |
| Redeemed | (3,184,118) | (74,178) | | (3,045,887) | (73,617) |
| Net Increase (Decrease)—Admiral Shares | 2,004,934 | 46,338 | | 1,130,589 | 27,673 |
| Institutional Shares | | | | | |
| Issued | 2,536,818 | 58,769 | | 1,876,041 | 45,488 |
| Issued in Lieu of Cash Distributions | 278,501 | 6,344 | | 238,672 | 5,911 |
| Redeemed | (2,359,046) | (54,713) | | (1,599,822) | (38,496) |
| Net Increase (Decrease)—Institutional Shares | 456,273 | 10,400 | | 514,891 | 12,903 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 26,970,000 and 26,976,000 shares, respectively, in the amount of $1,174,229,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
 | Large-Cap Index Fund Investor Shares | 31.23% | 11.42% | 13.36% | $35,029 |
 | Spliced Large Cap Index | 31.44 | 11.61 | 13.58 | 35,719 |
 | Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
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 Fund ETF Shares Net Asset Value | 31.39% | 11.57% | 13.51% | $35,516 |
| Large-Cap Index Fund ETF Shares Market Price | 31.37 | 11.57 | 13.51 | 35,504 |
| Spliced Large Cap Index | 31.44 | 11.61 | 13.58 | 35,719 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
See Financial Highlights for dividend and capital gains information.
Large-Cap Index Fund
| | Average Annual Total Returns | |
| | Periods Ended December 31, 2019 | |
| | | | | Final Value |
| | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Large-Cap Index Fund Admiral Shares | 31.39% | 11.56% | 13.51% | $35,500 |
| Spliced Large Cap Index | 31.44 | 11.61 | 13.58 | 35,719 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 35,251 |
| | | | | |
| | | | | Final Value |
| | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Large-Cap Index Fund Institutional Shares | 31.39% | 11.57% | 13.52% | $17,772,877 |
| Spliced Large Cap Index | 31.44 | 11.61 | 13.58 | 17,859,453 |
| Dow Jones U.S. Total Stock Market Float Adjusted Index | 30.90 | 11.18 | 13.43 | 17,625,579 |
| Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019 | |
| | | | |
| | One | Five | Ten |
| | Year | Years | Years |
| Large-Cap Index Fund ETF Shares Market Price | 31.37% | 72.84% | 255.04% |
| Large-Cap Index Fund ETF Shares Net Asset Value | 31.39 | 72.90 | 255.16 |
| Spliced Large Cap Index | 31.44 | 73.22 | 257.19 |
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, 2019
| Basic Materials | 2.0% |
| Consumer Goods | 8.1 |
| Consumer Services | 13.6 |
| Financials | 18.4 |
| Health Care | 12.9 |
| Industrials | 12.1 |
| Oil & Gas | 4.2 |
| Other | 0.0 |
| Technology | 23.3 |
| 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Large-Cap Index Fund
Financial Statements
Statement of Net Assets
As of December 31, 2019
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.7%)1 | |
| Basic Materials (2.0%) | | | | |
| | Linde plc | 500,121 | | 106,476 | |
| | Air Products & Chemicals Inc. | 205,214 | | 48,223 | |
| | Ecolab Inc. | 241,528 | | 46,612 | |
| | DuPont de Nemours Inc. | 689,574 | | 44,271 | |
| | Dow Inc. | 691,747 | | 37,859 | |
| | Newmont Goldcorp Corp. | 763,132 | | 33,158 | |
| | PPG Industries Inc. | 220,084 | | 29,379 | |
| | LyondellBasell Industries NV Class A | 232,638 | | 21,980 | |
| | Freeport-McMoRan Inc. | 1,281,728 | | 16,816 | |
| | International Paper Co. | 364,639 | | 16,792 | |
| | Nucor Corp. | 282,554 | | 15,902 | |
| | Celanese Corp. Class A | 112,631 | | 13,867 | |
| | International Flavors & Fragrances Inc. | 99,499 | | 12,837 | |
| | FMC Corp. | 120,775 | | 12,056 | |
| | Avery Dennison Corp. | 77,814 | | 10,180 | |
| | CF Industries Holdings Inc. | 202,609 | | 9,673 | |
| | Eastman Chemical Co. | 114,032 | | 9,038 | |
| | Albemarle Corp. | 98,805 | | 7,217 | |
| | Mosaic Co. | 317,668 | | 6,874 | |
| | Reliance Steel & Aluminum Co. | 29,499 | | 3,533 | |
| * | Axalta Coating Systems Ltd. | 97,941 | | 2,977 | |
| | Westlake Chemical Corp. | 35,875 | | 2,517 | |
| | | | | 508,237 | |
| Consumer Goods (8.0%) | | | | |
| | Procter & Gamble Co. | 2,321,934 | | 290,010 | |
| | Coca-Cola Co. | 3,590,160 | | 198,715 | |
| | PepsiCo Inc. | 1,298,353 | | 177,446 | |
| | Philip Morris International Inc. | 1,448,562 | | 123,258 | |
| | NIKE Inc. Class B | 1,159,998 | | 117,519 | |
| | Altria Group Inc. | 1,739,272 | | 86,807 | |
| | Mondelez International Inc. Class A | 1,340,724 | | 73,847 | |
| * | Tesla Inc. | 134,232 | | 56,153 | |
| | Colgate-Palmolive Co. | 798,028 | | 54,936 | |
| | Kimberly-Clark Corp. | 319,173 | | 43,902 | |
| | General Motors Co. | 1,197,182 | | 43,817 | |
| | Estee Lauder Cos. Inc. Class A | 207,188 | | 42,793 | |
| | Activision Blizzard Inc. | 715,138 | | 42,493 | |
| | Ford Motor Co. | 3,624,795 | | 33,711 | |
| | VF Corp. | 315,869 | | 31,480 | |
| | General Mills Inc. | 562,503 | | 30,128 | |
| * | Electronic Arts Inc. | 271,748 | | 29,216 | |
| | Constellation Brands Inc. Class A | 140,360 | | 26,633 | |
| * | Lululemon Athletica Inc. | 108,852 | | 25,218 | |
| | Tyson Foods Inc. Class A | 274,668 | | 25,006 | |
| | Archer-Daniels-Midland Co. | 517,977 | | 24,008 | |
| | Aptiv plc | 237,511 | | 22,556 | |
| * | Monster Beverage Corp. | 350,183 | | 22,254 | |
| | Corteva Inc. | 696,568 | | 20,591 | |
| | Hershey Co. | 137,953 | | 20,276 | |
| | Kraft Heinz Co. | 624,751 | | 20,073 | |
| | McCormick & Co. Inc. | 114,943 | | 19,509 | |
| | Brown-Forman Corp. Class B | 272,588 | | 18,427 | |
| | Clorox Co. | 116,721 | | 17,921 | |
| | DR Horton Inc. | 325,902 | | 17,191 | |
| | Kellogg Co. | 237,862 | | 16,451 | |
| | Church & Dwight Co. Inc. | 228,189 | | 16,051 | |
| | Conagra Brands Inc. | 453,455 | | 15,526 | |
| | Lennar Corp. Class A | 264,306 | | 14,746 | |
| | Genuine Parts Co. | 128,617 | | 13,663 | |
| | Garmin Ltd. | 132,833 | | 12,959 | |
| * | Take-Two Interactive Software Inc. | 105,569 | | 12,925 | |
| | Hasbro Inc. | 119,909 | | 12,664 | |
| * | NVR Inc. | 3,269 | | 12,450 | |
| | Lamb Weston Holdings Inc. | 136,113 | | 11,710 | |
| | Hormel Foods Corp. | 248,802 | | 11,223 | |
| | JM Smucker Co. | 100,967 | | 10,514 | |
| | PulteGroup Inc. | 238,840 | | 9,267 | |
| * | LKQ Corp. | 256,999 | | 9,175 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Campbell Soup Co. | 182,406 | | 9,015 | |
| | Molson Coors Brewing Co. Class B | 164,595 | | 8,872 | |
| | Whirlpool Corp. | 58,886 | | 8,687 | |
| | Fortune Brands Home & Security Inc. | 129,619 | | 8,469 | |
| | BorgWarner Inc. | 192,405 | | 8,347 | |
| | Lear Corp. | 56,345 | | 7,731 | |
| ^ | Keurig Dr Pepper Inc. | 262,204 | | 7,591 | |
| * | Mohawk Industries Inc. | 53,393 | | 7,282 | |
| | PVH Corp. | 69,080 | | 7,264 | |
| | Bunge Ltd. | 125,394 | | 7,216 | |
| | Tapestry Inc. | 257,073 | | 6,933 | |
| | Newell Brands Inc. | 355,094 | | 6,825 | |
| * | WABCO Holdings Inc. | 47,781 | | 6,474 | |
| * | Wayfair Inc. | 58,206 | | 5,260 | |
| | Ralph Lauren Corp. Class A | 44,012 | | 5,159 | |
| * | Under Armour Inc. Class C | 249,389 | | 4,783 | |
| | Coty Inc. Class A | 282,431 | | 3,177 | |
| * | Under Armour Inc. Class A | 114,169 | | 2,466 | |
| | Levi Strauss & Co. Class A | 41,388 | | 798 | |
| | Lennar Corp. Class B | 9,620 | | 430 | |
| | | | | 2,057,997 | |
| Consumer Services (13.6%) | | | | |
| * | Amazon.com Inc. | 392,341 | | 724,983 | |
| | Walt Disney Co. | 1,677,768 | | 242,656 | |
| | Home Depot Inc. | 1,015,520 | | 221,769 | |
| | Comcast Corp. Class A | 4,226,372 | | 190,060 | |
| | Walmart Inc. | 1,324,213 | | 157,369 | |
| | McDonald’s Corp. | 701,140 | | 138,552 | |
| * | Netflix Inc. | 407,972 | | 132,008 | |
| | Costco Wholesale Corp. | 409,315 | | 120,306 | |
| | Starbucks Corp. | 1,044,527 | | 91,835 | |
| | CVS Health Corp. | 1,211,125 | | 89,974 | |
| | Lowe’s Cos. Inc. | 718,462 | | 86,043 | |
| * | Booking Holdings Inc. | 38,965 | | 80,024 | |
| * | Charter Communications Inc. Class A | 139,953 | | 67,888 | |
| | TJX Cos. Inc. | 1,012,672 | | 61,834 | |
| | Target Corp. | 471,715 | | 60,479 | |
| | Walgreens Boots Alliance Inc. | 706,136 | | 41,634 | |
| | Ross Stores Inc. | 336,617 | | 39,189 | |
| | Sysco Corp. | 451,237 | | 38,599 | |
| | Dollar General Corp. | 239,243 | | 37,317 | |
| | Marriott International Inc. Class A | 243,440 | | 36,864 | |
| | Delta Air Lines Inc. | 541,692 | | 31,678 | |
| * | O’Reilly Automotive Inc. | 70,413 | | 30,859 | |
| | Hilton Worldwide Holdings Inc. | 262,614 | | 29,127 | |
| | Yum! Brands Inc. | 281,703 | | 28,376 | |
| * | Uber Technologies Inc. | 952,552 | | 28,329 | |
| * | AutoZone Inc. | 22,174 | | 26,416 | |
| | eBay Inc. | 719,141 | | 25,968 | |
| | Las Vegas Sands Corp. | 357,334 | | 24,670 | |
| | Southwest Airlines Co. | 440,762 | | 23,792 | |
| | McKesson Corp. | 167,642 | | 23,188 | |
| * | Chipotle Mexican Grill Inc. Class A | 25,859 | | 21,647 | |
| | Kroger Co. | 745,747 | | 21,619 | |
| | ViacomCBS Inc. Class B | 504,146 | | 21,159 | |
| | Royal Caribbean Cruises Ltd. | 156,014 | | 20,829 | |
| * | Dollar Tree Inc. | 220,488 | | 20,737 | |
| | Carnival Corp. | 367,671 | | 18,689 | |
| | Best Buy Co. Inc. | 208,751 | | 18,328 | |
| * | Copart Inc. | 194,931 | | 17,727 | |
| * | United Airlines Holdings Inc. | 200,469 | | 17,659 | |
| * | Liberty Broadband Corp. | 132,112 | | 16,613 | |
| | Omnicom Group Inc. | 202,465 | | 16,404 | |
| | MGM Resorts International | 431,907 | | 14,370 | |
| | Tiffany & Co. | 106,171 | | 14,190 | |
| | Expedia Group Inc. | 129,863 | | 14,043 | |
| | Fox Corp. Class A | 367,615 | | 13,628 | |
| * | CarMax Inc. | 153,215 | | 13,432 | |
| * | Ulta Beauty Inc. | 52,098 | | 13,188 | |
| | Darden Restaurants Inc. | 114,249 | | 12,454 | |
| | Wynn Resorts Ltd. | 85,027 | | 11,808 | |
| * | Norwegian Cruise Line Holdings Ltd. | 198,268 | | 11,581 | |
| | AmerisourceBergen Corp. Class A | 134,297 | | 11,418 | |
| | Domino’s Pizza Inc. | 38,114 | | 11,197 | |
| * | Roku Inc. | 81,033 | | 10,850 | |
| | American Airlines Group Inc. | 367,387 | | 10,537 | |
| | Tractor Supply Co. | 110,317 | | 10,308 | |
| | Aramark | 232,430 | | 10,087 | |
| | Advance Auto Parts Inc. | 61,315 | | 9,820 | |
| * | Discovery Communications Inc. | 318,528 | | 9,712 | |
| | FactSet Research Systems Inc. | 35,264 | | 9,461 | |
| * | Live Nation Entertainment Inc. | 129,448 | | 9,252 | |
| | Interpublic Group of Cos. Inc. | 361,299 | | 8,346 | |
| * | Lyft Inc. Class A | 186,851 | | 8,038 | |
| * | Altice USA Inc. Class A | 293,882 | | 8,035 | |
| * | DISH Network Corp. Class A | 222,815 | | 7,903 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Alaska Air Group Inc. | 114,581 | | 7,763 | |
| | Kohl’s Corp. | 148,271 | | 7,554 | |
| ^ | Sirius XM Holdings Inc. | 1,030,719 | | 7,370 | |
| * | Burlington Stores Inc. | 30,869 | | 7,039 | |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 140,766 | | 6,776 | |
| | Nielsen Holdings plc | 331,212 | | 6,724 | |
| | News Corp. Class A | 364,444 | | 5,153 | |
| ^,* | Discovery Communications Inc. Class A | 140,691 | | 4,606 | |
| | Rollins Inc. | 137,296 | | 4,553 | |
| | Vail Resorts Inc. | 18,799 | | 4,509 | |
| | Fox Corp. Class B | 110,882 | | 4,036 | |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 82,987 | | 4,012 | |
| * | Liberty Broadband Corp. Class A | 26,195 | | 3,263 | |
| | Hyatt Hotels Corp. Class A | 32,400 | | 2,907 | |
| * | Carvana Co. Class A | 23,441 | | 2,158 | |
| | News Corp. Class B | 109,308 | | 1,586 | |
| * | Chewy Inc. | 39,842 | | 1,155 | |
| | ViacomCBS Inc. Class A | 3,422 | | 154 | |
| | | | | 3,478,173 | |
| Financials (18.3%) | | | | |
| * | Berkshire Hathaway Inc. Class B | 1,806,734 | | 409,225 | |
| | JPMorgan Chase & Co. | 2,774,214 | | 386,725 | |
| | Visa Inc. Class A | 1,594,585 | | 299,623 | |
| | Bank of America Corp. | 7,537,083 | | 265,456 | |
| | Mastercard Inc. Class A | 835,798 | | 249,561 | |
| | Wells Fargo & Co. | 3,543,847 | | 190,659 | |
| | Citigroup Inc. | 2,032,511 | | 162,377 | |
| | American Tower Corp. | 412,388 | | 94,775 | |
| | US Bancorp | 1,308,948 | | 77,608 | |
| | Goldman Sachs Group Inc. | 313,154 | | 72,004 | |
| | American Express Co. | 571,429 | | 71,137 | |
| | Truist Financial Corp. | 1,248,645 | | 70,324 | |
| | CME Group Inc. | 333,650 | | 66,970 | |
| | S&P Global Inc. | 227,556 | | 62,134 | |
| | PNC Financial Services Group Inc. | 367,181 | | 58,613 | |
| | Morgan Stanley | 1,130,112 | | 57,771 | |
| | Chubb Ltd. | 358,673 | | 55,831 | |
| | Crown Castle International Corp. | 387,052 | | 55,019 | |
| | Marsh & McLennan Cos. Inc. | 469,866 | | 52,348 | |
| | Prologis Inc. | 587,174 | | 52,341 | |
| | Charles Schwab Corp. | 1,074,315 | | 51,094 | |
| | BlackRock Inc. | 100,617 | | 50,580 | |
| | Intercontinental Exchange Inc. | 518,500 | | 47,987 | |
| | Equinix Inc. | 79,387 | | 46,338 | |
| | Aon plc | 217,988 | | 45,405 | |
| | Capital One Financial Corp. | 433,498 | | 44,611 | |
| | American International Group Inc. | 809,769 | | 41,565 | |
| | Simon Property Group Inc. | 271,375 | | 40,424 | |
| | Progressive Corp. | 544,213 | | 39,396 | |
| | Bank of New York Mellon Corp. | 772,687 | | 38,889 | |
| | Moody’s Corp. | 149,397 | | 35,468 | |
| | Prudential Financial Inc. | 374,136 | | 35,072 | |
| | Aflac Inc. | 649,142 | | 34,340 | |
| | Blackstone Group LP | 613,790 | | 34,335 | |
| | Allstate Corp. | 301,570 | | 33,912 | |
| | MetLife Inc. | 642,025 | | 32,724 | |
| | Travelers Cos. Inc. | 228,285 | | 31,264 | |
| | Welltower Inc. | 377,691 | | 30,888 | |
| | Public Storage | 138,194 | | 29,430 | |
| | Equity Residential | 345,623 | | 27,968 | |
| | AvalonBay Communities Inc. | 129,981 | | 27,257 | |
| * | IHS Markit Ltd. | 354,496 | | 26,711 | |
| | State Street Corp. | 321,525 | | 25,433 | |
| | SBA Communications Corp. Class A | 104,774 | | 25,249 | |
| | T. Rowe Price Group Inc. | 206,585 | | 25,170 | |
| | Discover Financial Services | 291,685 | | 24,741 | |
| | Digital Realty Trust Inc. | 194,192 | | 23,253 | |
| | Realty Income Corp. | 303,215 | | 22,326 | |
| | Weyerhaeuser Co. | 693,110 | | 20,932 | |
| | Synchrony Financial | 571,036 | | 20,563 | |
| | Hartford Financial Services Group Inc. | 335,264 | | 20,374 | |
| | Fifth Third Bancorp | 660,054 | | 20,290 | |
| | Ventas Inc. | 346,905 | | 20,030 | |
| | Northern Trust Corp. | 187,244 | | 19,893 | |
| | Boston Properties Inc. | 143,827 | | 19,828 | |
| | M&T Bank Corp. | 116,610 | | 19,795 | |
| | Ameriprise Financial Inc. | 117,848 | | 19,631 | |
| | MSCI Inc. Class A | 74,983 | | 19,359 | |
| | KeyCorp | 915,707 | | 18,534 | |
| | Essex Property Trust Inc. | 61,460 | | 18,491 | |
| | First Republic Bank | 156,740 | | 18,409 | |
| * | CBRE Group Inc. Class A | 295,765 | | 18,127 | |
| | Alexandria Real Estate Equities Inc. | 107,080 | | 17,302 | |
| | Arthur J Gallagher & Co. | 173,796 | | 16,551 | |
| | Citizens Financial Group Inc. | 405,033 | | 16,448 | |
| | Healthpeak Properties Inc. | 475,147 | | 16,378 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Cincinnati Financial Corp. | 152,219 | | 16,006 | |
| | Equifax Inc. | 112,813 | | 15,807 | |
| | Regions Financial Corp. | 898,741 | | 15,422 | |
| * | Arch Capital Group Ltd. | 358,772 | | 15,388 | |
| | Invitation Homes Inc. | 501,647 | | 15,034 | |
| | Huntington Bancshares Inc. | 962,188 | | 14,510 | |
| | KKR & Co. Inc. Class A | 487,282 | | 14,214 | |
| | Principal Financial Group Inc. | 258,256 | | 14,204 | |
| | Mid-America Apartment Communities Inc. | 106,275 | | 14,013 | |
| * | Markel Corp. | 12,229 | | 13,980 | |
| | Sun Communities Inc. | 86,352 | | 12,961 | |
| | WP Carey Inc. | 160,499 | | 12,846 | |
| | UDR Inc. | 273,058 | | 12,752 | |
| | MarketAxess Holdings Inc. | 33,573 | | 12,728 | |
| | Annaly Capital Management Inc. | 1,332,620 | | 12,553 | |
| | TD Ameritrade Holding Corp. | 252,368 | | 12,543 | |
| | Cboe Global Markets Inc. | 103,313 | | 12,398 | |
| | Loews Corp. | 235,617 | | 12,368 | |
| | Host Hotels & Resorts Inc. | 666,418 | | 12,362 | |
| | Extra Space Storage Inc. | 114,650 | | 12,109 | |
| * | SVB Financial Group | 48,050 | | 12,062 | |
| | Duke Realty Corp. | 342,516 | | 11,875 | |
| | Nasdaq Inc. | 106,930 | | 11,452 | |
| | Fidelity National Financial Inc. | 243,487 | | 11,042 | |
| | Lincoln National Corp. | 184,800 | | 10,905 | |
| | Ally Financial Inc. | 354,148 | | 10,823 | |
| | Vornado Realty Trust | 160,059 | | 10,644 | |
| | Everest Re Group Ltd. | 38,000 | | 10,520 | |
| | Western Union Co. | 389,483 | | 10,430 | |
| | Raymond James Financial Inc. | 116,366 | | 10,410 | |
| * | Alleghany Corp. | 12,742 | | 10,188 | |
| | Regency Centers Corp. | 156,147 | | 9,851 | |
| | AXA Equitable Holdings Inc. | 389,902 | | 9,662 | |
| | Comerica Inc. | 134,310 | | 9,637 | |
| | Camden Property Trust | 90,226 | | 9,573 | |
| | Globe Life Inc. | 90,846 | | 9,562 | |
| | E*TRADE Financial Corp. | 210,531 | | 9,552 | |
| | Reinsurance Group of America Inc. Class A | 58,347 | | 9,514 | |
| | VEREIT Inc. | 994,730 | | 9,191 | |
| | Federal Realty Investment Trust | 70,381 | | 9,060 | |
| | AGNC Investment Corp. | 504,066 | | 8,912 | |
| | WR Berkley Corp. | 128,369 | | 8,870 | |
| | Iron Mountain Inc. | 267,524 | | 8,526 | |
| | SEI Investments Co. | 126,034 | | 8,253 | |
| | Zions Bancorp NA | 158,817 | | 8,246 | |
| | Kimco Realty Corp. | 373,657 | | 7,738 | |
| | Voya Financial Inc. | 125,692 | | 7,665 | |
| | SL Green Realty Corp. | 74,647 | | 6,859 | |
| | Franklin Resources Inc. | 255,304 | | 6,633 | |
| * | Athene Holding Ltd. Class A | 132,942 | | 6,252 | |
| | Invesco Ltd. | 338,348 | | 6,083 | |
| | Jones Lang LaSalle Inc. | 24,009 | | 4,180 | |
| | People’s United Financial Inc. | 203,229 | | 3,435 | |
| | Interactive Brokers Group Inc. | 67,949 | | 3,168 | |
| * | Berkshire Hathaway Inc. Class A | 6 | | 2,038 | |
| | | | | 4,700,275 | |
| Health Care (12.9%) | | | | |
| | Johnson & Johnson | 2,450,272 | | 357,421 | |
| | UnitedHealth Group Inc. | 882,031 | | 259,300 | |
| | Merck & Co. Inc. | 2,370,304 | | 215,579 | |
| | Pfizer Inc. | 5,152,159 | | 201,862 | |
| | Abbott Laboratories | 1,646,433 | | 143,009 | |
| | Medtronic plc | 1,247,934 | | 141,578 | |
| | Bristol-Myers Squibb Co. | 2,179,382 | | 139,895 | |
| | Amgen Inc. | 553,175 | | 133,354 | |
| | AbbVie Inc. | 1,376,710 | | 121,894 | |
| | Thermo Fisher Scientific Inc. | 373,310 | | 121,277 | |
| | Eli Lilly & Co. | 804,473 | | 105,732 | |
| | Gilead Sciences Inc. | 1,177,760 | | 76,531 | |
| | Anthem Inc. | 236,047 | | 71,293 | |
| | Cigna Corp. | 347,609 | | 71,083 | |
| | Becton Dickinson and Co. | 251,765 | | 68,473 | |
| * | Intuitive Surgical Inc. | 107,586 | | 63,600 | |
| | Stryker Corp. | 296,234 | | 62,191 | |
| | Zoetis Inc. | 443,377 | | 58,681 | |
| * | Boston Scientific Corp. | 1,297,445 | | 58,670 | |
| | Allergan plc | 290,324 | | 55,501 | |
| * | Vertex Pharmaceuticals Inc. | 239,373 | | 52,411 | |
| * | Biogen Inc. | 167,969 | | 49,841 | |
| * | Illumina Inc. | 136,839 | | 45,395 | |
| * | Edwards Lifesciences Corp. | 194,146 | | 45,292 | |
| | Humana Inc. | 123,273 | | 45,182 | |
| | Baxter International Inc. | 475,254 | | 39,741 | |
| | HCA Healthcare Inc. | 252,573 | | 37,333 | |
| | Zimmer Biomet Holdings Inc. | 191,420 | | 28,652 | |
| * | Regeneron Pharmaceuticals Inc. | 75,347 | | 28,291 | |
| * | IQVIA Holdings Inc. | 153,460 | | 23,711 | |
| * | Centene Corp. | 365,746 | | 22,994 | |
| * | Alexion Pharmaceuticals Inc. | 195,566 | | 21,150 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | IDEXX Laboratories Inc. | 79,796 | | 20,837 | |
| | ResMed Inc. | 133,972 | | 20,762 | |
| * | DexCom Inc. | 85,284 | | 18,655 | |
| * | Align Technology Inc. | 66,095 | | 18,443 | |
| | Teleflex Inc. | 43,063 | | 16,211 | |
| * | WellCare Health Plans Inc. | 46,826 | | 15,462 | |
| * | Laboratory Corp. of America Holdings | 90,473 | | 15,305 | |
| * | Incyte Corp. | 170,597 | | 14,897 | |
| | Cooper Cos. Inc. | 46,171 | | 14,834 | |
| * | BioMarin Pharmaceutical Inc. | 167,377 | | 14,152 | |
| | Cardinal Health Inc. | 272,507 | | 13,783 | |
| | Quest Diagnostics Inc. | 125,499 | | 13,402 | |
| * | Hologic Inc. | 249,849 | | 13,045 | |
| * | Seattle Genetics Inc. | 111,553 | | 12,746 | |
| * | Exact Sciences Corp. | 137,190 | | 12,687 | |
| * | Varian Medical Systems Inc. | 84,694 | | 12,027 | |
| * | Alnylam Pharmaceuticals Inc. | 103,884 | | 11,964 | |
| | Dentsply Sirona Inc. | 206,842 | | 11,705 | |
| * | Elanco Animal Health Inc. | 347,574 | | 10,236 | |
| | Universal Health Services Inc. Class B | 71,100 | | 10,200 | |
| * | Mylan NV | 480,944 | | 9,667 | |
| * | Henry Schein Inc. | 136,728 | | 9,123 | |
| * | Jazz Pharmaceuticals plc | 50,079 | | 7,476 | |
| * | ABIOMED Inc. | 39,972 | | 6,819 | |
| | Perrigo Co. plc | 120,480 | | 6,224 | |
| * | DaVita Inc. | 78,542 | | 5,893 | |
| | | | | 3,303,472 | |
| Industrials (12.0%) | | | | |
| | Boeing Co. | 497,740 | | 162,144 | |
| | Accenture plc Class A | 591,309 | | 124,512 | |
| | United Technologies Corp. | 803,684 | | 120,360 | |
| * | PayPal Holdings Inc. | 1,093,095 | | 118,240 | |
| | Honeywell International Inc. | 665,313 | | 117,760 | |
| | Union Pacific Corp. | 646,266 | | 116,838 | |
| | 3M Co. | 535,345 | | 94,446 | |
| | General Electric Co. | 8,130,417 | | 90,735 | |
| | Danaher Corp. | 582,559 | | 89,411 | |
| | Lockheed Martin Corp. | 223,267 | | 86,936 | |
| | Fidelity National Information Services Inc. | 572,121 | | 79,576 | |
| | United Parcel Service Inc. Class B | 652,406 | | 76,371 | |
| | Caterpillar Inc. | 514,524 | | 75,985 | |
| * | Fiserv Inc. | 537,982 | | 62,207 | |
| | Automatic Data Processing Inc. | 362,547 | | 61,814 | |
| | Raytheon Co. | 259,242 | | 56,966 | |
| | Global Payments Inc. | 279,726 | | 51,067 | |
| | Deere & Co. | 293,135 | | 50,789 | |
| | CSX Corp. | 691,843 | | 50,062 | |
| | Northrop Grumman Corp. | 141,192 | | 48,566 | |
| | Illinois Tool Works Inc. | 269,351 | | 48,384 | |
| | Norfolk Southern Corp. | 242,700 | | 47,115 | |
| | Sherwin-Williams Co. | 77,335 | | 45,128 | |
| | Waste Management Inc. | 395,014 | | 45,016 | |
| | Emerson Electric Co. | 567,118 | | 43,248 | |
| | General Dynamics Corp. | 228,906 | | 40,368 | |
| | Eaton Corp. plc | 384,818 | | 36,450 | |
| | Roper Technologies Inc. | 96,859 | | 34,310 | |
| | FedEx Corp. | 218,496 | | 33,039 | |
| | Amphenol Corp. Class A | 275,937 | | 29,865 | |
| | TE Connectivity Ltd. | 311,305 | | 29,835 | |
| | Ingersoll-Rand plc | 223,006 | | 29,642 | |
| | Johnson Controls International plc | 717,948 | | 29,228 | |
| | TransDigm Group Inc. | 47,338 | | 26,509 | |
| | Cummins Inc. | 142,562 | | 25,513 | |
| | Paychex Inc. | 299,762 | | 25,498 | |
| | PACCAR Inc. | 321,855 | | 25,459 | |
| | Parker-Hannifin Corp. | 119,533 | | 24,602 | |
| | Agilent Technologies Inc. | 287,522 | | 24,528 | |
| | Willis Towers Watson plc | 119,633 | | 24,159 | |
| | Stanley Black & Decker Inc. | 141,433 | | 23,441 | |
| * | FleetCor Technologies Inc. | 80,739 | | 23,230 | |
| | Verisk Analytics Inc. Class A | 152,463 | | 22,769 | |
| | Waste Connections Inc. | 245,319 | | 22,273 | |
| | Cintas Corp. | 81,840 | | 22,021 | |
| | Rockwell Automation Inc. | 107,496 | | 21,786 | |
| | AMETEK Inc. | 212,670 | | 21,212 | |
| * | CoStar Group Inc. | 34,077 | | 20,388 | |
| | Fortive Corp. | 265,989 | | 20,319 | |
| * | Square Inc. | 322,944 | | 20,203 | |
| | Fastenal Co. | 533,448 | | 19,711 | |
| | Ball Corp. | 304,300 | | 19,679 | |
| * | Mettler-Toledo International Inc. | 22,692 | | 18,001 | |
| * | Keysight Technologies Inc. | 174,708 | | 17,930 | |
| | Vulcan Materials Co. | 123,336 | | 17,759 | |
| | Republic Services Inc. Class A | 193,045 | | 17,303 | |
| | Martin Marietta Materials Inc. | 58,239 | | 16,286 | |
| | Dover Corp. | 135,356 | | 15,601 | |
| | TransUnion | 175,445 | | 15,020 | |
| | WW Grainger Inc. | 42,664 | | 14,443 | |
| | Kansas City Southern | 92,348 | | 14,144 | |
| * | Waters Corp. | 60,042 | | 14,029 | |
| | Xylem Inc. | 167,805 | | 13,221 | |
| | Wabtec Corp. | 169,688 | | 13,202 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| | Broadridge Financial Solutions Inc. | 106,822 | | 13,197 | |
| | Masco Corp. | 266,012 | | 12,766 | |
| | Old Dominion Freight Line Inc. | 66,821 | | 12,681 | |
| | Expeditors International of Washington Inc. | 158,727 | | 12,384 | |
| * | United Rentals Inc. | 69,821 | | 11,644 | |
| | Arconic Inc. | 363,056 | | 11,171 | |
| | Jacobs Engineering Group Inc. | 123,795 | | 11,120 | |
| | Westrock Co. | 240,318 | | 10,312 | |
| | Packaging Corp. of America | 88,140 | | 9,871 | |
| | CH Robinson Worldwide Inc. | 125,833 | | 9,840 | |
| * | Trimble Inc. | 232,144 | | 9,678 | |
| | Huntington Ingalls Industries Inc. | 38,112 | | 9,562 | |
| | Textron Inc. | 212,702 | | 9,486 | |
| | JB Hunt Transport Services Inc. | 79,435 | | 9,276 | |
| * | Crown Holdings Inc. | 126,290 | | 9,161 | |
| | Snap-on Inc. | 51,096 | | 8,656 | |
| * | Sensata Technologies Holding plc | 148,031 | | 7,974 | |
| | Hubbell Inc. Class B | 50,667 | | 7,490 | |
| | HEICO Corp. Class A | 73,955 | | 6,621 | |
| | Xerox Holdings Corp. | 171,212 | | 6,313 | |
| | Jack Henry & Associates Inc. | 35,731 | | 5,205 | |
| * | IPG Photonics Corp. | 32,140 | | 4,658 | |
| | HEICO Corp. | 38,300 | | 4,372 | |
| | Cognex Corp. | 75,628 | | 4,238 | |
| | Pentair plc | 78,318 | | 3,592 | |
| * | XPO Logistics Inc. | 43,000 | | 3,427 | |
| | FLIR Systems Inc. | 62,502 | | 3,254 | |
| | Robert Half International Inc. | 51,500 | | 3,252 | |
| | AO Smith Corp. | 63,828 | | 3,041 | |
| | | | | 3,080,894 | |
| Oil & Gas (4.2%) | | | | |
| | Exxon Mobil Corp. | 3,939,117 | | 274,872 | |
| | Chevron Corp. | 1,760,396 | | 212,145 | |
| | ConocoPhillips | 1,021,397 | | 66,422 | |
| | Schlumberger Ltd. | 1,288,443 | | 51,795 | |
| | Phillips 66 | 413,668 | | 46,087 | |
| | EOG Resources Inc. | 541,429 | | 45,350 | |
| | Kinder Morgan Inc. | 1,792,019 | | 37,937 | |
| | Marathon Petroleum Corp. | 604,389 | | 36,414 | |
| | Valero Energy Corp. | 382,235 | | 35,796 | |
| | Occidental Petroleum Corp. | 831,363 | | 34,261 | |
| | ONEOK Inc. | 384,445 | | 29,091 | |
| | Williams Cos. Inc. | 1,127,750 | | 26,750 | |
| | Pioneer Natural Resources Co. | 154,113 | | 23,328 | |
| | Halliburton Co. | 775,646 | | 18,980 | |
| | Hess Corp. | 255,527 | | 17,072 | |
| | Concho Resources Inc. | 187,325 | | 16,404 | |
| | Baker Hughes a GE Co. Class A | 605,566 | | 15,521 | |
| | Diamondback Energy Inc. | 149,508 | | 13,883 | |
| * | Cheniere Energy Inc. | 213,649 | | 13,048 | |
| | Noble Energy Inc. | 445,670 | | 11,071 | |
| | Marathon Oil Corp. | 745,371 | | 10,122 | |
| | National Oilwell Varco Inc. | 359,536 | | 9,006 | |
| | Apache Corp. | 350,377 | | 8,966 | |
| | Targa Resources Corp. | 216,865 | | 8,855 | |
| | Devon Energy Corp. | 339,995 | | 8,830 | |
| | HollyFrontier Corp. | 135,346 | | 6,863 | |
| | Cabot Oil & Gas Corp. | 190,031 | | 3,308 | |
| | Continental Resources Inc. | 69,213 | | 2,374 | |
| | | | | 1,084,551 | |
| Other (0.0%)2 | | | | |
| *,§ | American International Group Inc. Warrants Expire 01/19/2021 | 3,568 | | — | |
| | | | | | |
| Technology (23.3%) | | | | |
| | Microsoft Corp. | 7,102,376 | | 1,120,045 | |
| | Apple Inc. | 3,722,956 | | 1,093,246 | |
| * | Facebook Inc. Class A | 2,240,382 | | 459,838 | |
| * | Alphabet Inc. Class A | 278,899 | | 373,555 | |
| * | Alphabet Inc. Class C | 271,916 | | 363,557 | |
| | Intel Corp. | 4,049,862 | | 242,384 | |
| | Cisco Systems Inc. | 3,949,338 | | 189,410 | |
| * | Adobe Inc. | 450,646 | | 148,628 | |
| | NVIDIA Corp. | 541,246 | | 127,355 | |
| * | salesforce.com Inc. | 775,604 | | 126,144 | |
| | Texas Instruments Inc. | 870,300 | | 111,651 | |
| | Broadcom Inc. | 350,820 | | 110,866 | |
| | International Business Machines Corp. | 824,526 | | 110,520 | |
| | Oracle Corp. | 1,986,405 | | 105,240 | |
| | QUALCOMM Inc. | 1,063,026 | | 93,791 | |
| | Intuit Inc. | 230,197 | | 60,296 | |
| * | Micron Technology Inc. | 1,030,531 | | 55,422 | |
| | Applied Materials Inc. | 859,916 | | 52,489 | |
| * | ServiceNow Inc. | 175,532 | | 49,556 | |
| * | Advanced Micro Devices Inc. | 1,036,668 | | 47,542 | |
| | Analog Devices Inc. | 342,810 | | 40,740 | |
| | L3Harris Technologies Inc. | 205,773 | | 40,716 | |
| | Lam Research Corp. | 135,045 | | 39,487 | |
Large-Cap Index Fund
| | | | | Market | |
| | | | | Value· | |
| | | Shares | | ($000 | ) |
| * | Autodesk Inc. | 204,364 | | 37,493 | |
| | Cognizant Technology Solutions Corp. Class A | 509,692 | | 31,611 | |
| | HP Inc. | 1,379,288 | | 28,344 | |
| | KLA Corp. | 146,829 | | 26,161 | |
| | Motorola Solutions Inc. | 159,440 | | 25,692 | |
| * | Workday Inc. Class A | 152,607 | | 25,096 | |
| | Microchip Technology Inc. | 222,370 | | 23,287 | |
| | Xilinx Inc. | 233,967 | | 22,875 | |
| * | Twitter Inc. | 686,172 | | 21,992 | |
| * | Splunk Inc. | 143,571 | | 21,503 | |
| | Corning Inc. | 715,471 | | 20,827 | |
| | Cerner Corp. | 277,563 | | 20,370 | |
| * | ANSYS Inc. | 78,307 | | 20,157 | |
| * | Palo Alto Networks Inc. | 86,567 | | 20,019 | |
| * | Synopsys Inc. | 139,782 | | 19,458 | |
| | Skyworks Solutions Inc. | 158,753 | | 19,190 | |
| | CDW Corp. | 133,877 | | 19,123 | |
| | Hewlett Packard Enterprise Co. | 1,203,573 | | 19,089 | |
| * | VeriSign Inc. | 98,303 | | 18,941 | |
| * | IAC/InterActiveCorp | 73,331 | | 18,268 | |
| * | Cadence Design Systems Inc. | 261,451 | | 18,134 | |
| * | Veeva Systems Inc. Class A | 122,577 | | 17,242 | |
| | Western Digital Corp. | 263,263 | | 16,709 | |
| | Marvell Technology Group Ltd. | 621,497 | | 16,507 | |
| | Maxim Integrated Products Inc. | 252,135 | | 15,509 | |
| * | Snap Inc. | 901,593 | | 14,723 | |
| * | Fortinet Inc. | 135,464 | | 14,462 | |
| | NortonLifeLock Inc. | 522,672 | | 13,339 | |
| | NetApp Inc. | 212,663 | | 13,238 | |
| | Citrix Systems Inc. | 115,287 | | 12,785 | |
| * | Qorvo Inc. | 108,249 | | 12,582 | |
| | Seagate Technology plc | 208,057 | | 12,379 | |
| * | Akamai Technologies Inc. | 143,051 | | 12,357 | |
| | SS&C Technologies Holdings Inc. | 200,153 | | 12,289 | |
| * | Paycom Software Inc. | 46,251 | | 12,245 | |
| * | Gartner Inc. | 79,183 | | 12,202 | |
| * | Okta Inc. | 99,320 | | 11,459 | |
| * | Twilio Inc. Class A | 116,106 | | 11,411 | |
| * | VMware Inc. Class A | 71,569 | | 10,863 | |
| * | GoDaddy Inc. Class A | 159,101 | | 10,806 | |
| * | Arista Networks Inc. | 49,789 | | 10,127 | |
| * | Dell Technologies Inc. | 194,221 | | 9,981 | |
| * | Black Knight Inc. | 132,397 | | 8,537 | |
| * | F5 Networks Inc. | 56,657 | | 7,912 | |
| | Juniper Networks Inc. | 311,909 | | 7,682 | |
| * | RingCentral Inc. Class A | 34,862 | | 5,880 | |
| * | Pinterest Inc. Class A | 285,362 | | 5,319 | |
| ^,* | Slack Technologies Inc. Class A | 217,715 | �� | 4,894 | |
| | DXC Technology Co. | 119,266 | | 4,483 | |
| ^,* | Match Group Inc. | 48,939 | | 4,018 | |
| * | Dropbox Inc. Class A | 201,105 | | 3,602 | |
| * | Datadog Inc. Class A | 25,711 | | 971 | |
| * | Crowdstrike Holdings Inc. Class A | 19,283 | | 962 | |
| | | | | 5,967,583 | |
| Telecommunications (2.2%) | | | | |
| | AT&T Inc. | 6,800,781 | | 265,775 | |
| | Verizon Communications Inc. | 3,850,549 | | 236,424 | |
| * | T-Mobile US Inc. | 278,560 | | 21,845 | |
| | CenturyLink Inc. | 1,015,840 | | 13,419 | |
| * | Zayo Group Holdings Inc. | 220,725 | | 7,648 | |
| * | Sprint Corp. | 573,989 | | 2,990 | |
| ^,* | Zoom Video Communications Inc. Class A | 42,405 | | 2,885 | |
| | | | | 550,986 | |
| Utilities (3.2%) | | | | |
| | NextEra Energy Inc. | 455,146 | | 110,218 | |
| | Dominion Energy Inc. | 766,493 | | 63,481 | |
| | Southern Co. | 976,530 | | 62,205 | |
| | Duke Energy Corp. | 678,830 | | 61,916 | |
| | American Electric Power Co. Inc. | 459,921 | | 43,467 | |
| | Exelon Corp. | 902,873 | | 41,162 | |
| | Sempra Energy | 255,469 | | 38,698 | |
| | Xcel Energy Inc. | 499,063 | | 31,685 | |
| | Consolidated Edison Inc. | 309,397 | | 27,991 | |
| | Public Service Enterprise Group Inc. | 470,661 | | 27,792 | |
| | WEC Energy Group Inc. | 293,460 | | 27,066 | |
| | Eversource Energy | 301,281 | | 25,630 | |
| | Edison International | 333,676 | | 25,162 | |
| | FirstEnergy Corp. | 502,730 | | 24,433 | |
| | PPL Corp. | 672,703 | | 24,137 | |
| | DTE Energy Co. | 178,261 | | 23,151 | |
| | Entergy Corp. | 185,210 | | 22,188 | |
| | American Water Works Co. Inc. | 168,163 | | 20,659 | |
| | Ameren Corp. | 229,266 | | 17,608 | |
| | CMS Energy Corp. | 264,467 | | 16,619 | |
| | Evergy Inc. | 212,377 | | 13,824 | |
| | CenterPoint Energy Inc. | 466,992 | | 12,735 | |
| | Alliant Energy Corp. | 227,423 | | 12,445 | |
| | AES Corp. | 618,550 | | 12,309 | |
| | NiSource Inc. | 348,068 | | 9,690 | |
| | Pinnacle West Capital Corp. | 104,747 | | 9,420 | |
| | Vistra Energy Corp. | 362,437 | | 8,332 | |
| | OGE Energy Corp. | 186,531 | | 8,295 | |
| Large-Cap Index Fund | | | | |
| | | | |
| | | | Market | |
| | | | Value· | |
| | Shares | | ($000 | ) |
| | NRG Energy Inc. | 111,365 | | 4,427 | |
| | Avangrid Inc. | 57,642 | | 2,949 | |
| | | | 829,694 | |
| Total Common Stocks (Cost $15,207,395) | | | 25,561,862 | |
| Temporary Cash Investments (0.3%)1 | | | |
| Money Market Fund (0.3%) | | | | |
| 3,4 | Vanguard Market Liquidity Fund, 1.816% | 703,367 | | 70,344 | |
| | | | | |
| | Face | | | |
| | Amount | | | |
| | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | |
| 5 | United States Treasury Bill, 1.817%, 1/30/20 | 150 | | 150 | |
| 5 | United States Treasury Bill, 1.841%, 2/27/20 | 1,000 | | 998 | |
| | United States Treasury Bill, 1.546%, 3/26/20 | 1,325 | | 1,320 | |
| 5 | United States Treasury Bill, 1.527%–1.541%, 4/30/20 | 2,600 | | 2,587 | |
| | | | 5,055 | |
| Total Temporary Cash Investments (Cost $75,393) | | | 75,399 | |
| Total Investments (100.0%) (Cost $15,282,788) | | | 25,637,261 | |
| | | | | |
| | | | Amount | |
| | | | ($000 | ) |
| Other Assets and Liabilities (0.0%) | | | |
| Other Assets | | | | |
| Investment in Vanguard | | | 1,123 | |
| Receivables for Accrued Income | | 26,233 | |
| Receivables for Capital Shares Issued | | 6,766 | |
| Variation Margin Receivable—Futures Contracts | | | 241 | |
| Other Assets | | | 26 | |
| Total Other Assets | | | 34,389 | |
| Liabilities | | | | |
| Payables for Investment Securities Purchased | | (183 | ) |
| Collateral for Securities on Loan | | (6,571 | ) |
| Payables for Capital Shares Redeemed | | (19,353 | ) |
| Payables to Vanguard | | | (3,511 | ) |
| Variation Margin Payable—Futures Contracts | | | (28 | ) |
| Total Liabilities | | | (29,646 | ) |
| Net Assets (100%) | | | 25,642,004 | |
| At December 31, 2019, net assets consisted of: | |
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 15,544,184 | |
| Total Distributable Earnings (Loss) | 10,097,820 | |
| Net Assets | 25,642,004 | |
| | | |
| Investor Shares—Net Assets | | |
| Applicable to 502,108 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 29,986 | |
| Net Asset Value Per Share—Investor Shares | $59.72 | |
| | | |
| ETF Shares—Net Assets | | |
| Applicable to 110,024,171 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 16,270,420 | |
| Net Asset Value Per Share—ETF Shares | $147.88 | |
| | | |
| Admiral Shares—Net Assets | | |
| Applicable to 101,035,629 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 7,545,893 | |
| Net Asset Value Per Share—Admiral Shares | $74.69 | |
| | | |
| Institutional Shares—Net Assets | | |
| Applicable to 5,841,749 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 1,795,705 | |
| Net Asset Value Per Share—Institutional Shares | $307.39 | |
| · | See Note A in Notes to Financial Statements. |
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,378,000.
| * | Non-income-producing security. |
| § | 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 0.0%, 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 | Collateral of $6,571,000 was received for securities on loan. |
| 5 | Securities with a value of $3,563,000 have been segregated as initial margin for open futures contracts. |
Large-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 S&P 500 Index | | | March 2020 | 506 | 81,747 | 796 |
See accompanying Notes, which are an integral part of the Financial Statements.
Large-Cap Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends | 443,211 |
| Interest1 | 2,043 |
| Securities Lending—Net | 793 |
| Total Income | 446,047 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 2,931 |
| Management and Administrative—Investor Shares | 306 |
| Management and Administrative—ETF Shares | 2,802 |
| Management and Administrative—Admiral Shares | 1,909 |
| Management and Administrative—Institutional Shares | 338 |
| Marketing and Distribution—Investor Shares | 22 |
| Marketing and Distribution—ETF Shares | 633 |
| Marketing and Distribution—Admiral Shares | 381 |
| Marketing and Distribution—Institutional Shares | 42 |
| Custodian Fees | 273 |
| Auditing Fees | 36 |
| Shareholders’ Reports—Investor Shares | 3 |
| Shareholders’ Reports—ETF Shares | 259 |
| Shareholders’ Reports—Admiral Shares | 41 |
| Shareholders’ Reports—Institutional Shares | 2 |
| Trustees’ Fees and Expenses | 11 |
| Total Expenses | 9,989 |
| Net Investment Income | 436,058 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold1,2 | 195,140 |
| Futures Contracts | 25,553 |
| Realized Net Gain (Loss) | 220,693 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities1 | 5,397,101 |
| Futures Contracts | 1,465 |
| Change in Unrealized Appreciation (Depreciation) | 5,398,566 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,055,317 |
| 1 | Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,898,000, $17,000, and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes. |
| 2 | Includes $390,342,000 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, |
| | 2019 | 2018 |
| | ($000) | ($000) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net Investment Income | 436,058 | 404,119 |
| Realized Net Gain (Loss) | 220,693 | 673,142 |
| Change in Unrealized Appreciation (Depreciation) | 5,398,566 | (1,954,468) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 6,055,317 | (877,207) |
| Distributions | | |
| Net Investment Income | | |
| Investor Shares | (3,560) | (6,911) |
| ETF Shares | (289,437) | (243,075) |
| Admiral Shares | (130,645) | (106,867) |
| Institutional Shares | (29,927) | (23,370) |
| Realized Capital Gain | | |
| Investor Shares | — | — |
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (453,569) | (380,223) |
| Capital Share Transactions | | |
| Investor Shares | (381,120) | (19,620) |
| ETF Shares | 337,811 | 1,551,173 |
| Admiral Shares | 645,919 | 279,738 |
| Institutional Shares | 251,993 | 45,100 |
| Net Increase (Decrease) from Capital Share Transactions | 854,603 | 1,856,391 |
| Total Increase (Decrease) | 6,456,351 | 598,961 |
| Net Assets | | |
| Beginning of Period | 19,185,653 | 18,586,692 |
| End of Period | 25,642,004 | 19,185,653 |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $46.36 | $49.48 | $41.31 | $37.78 | $38.12 |
| Investment Operations | | | | | |
| Net Investment Income | .9181 | .9661 | .8191 | .768 | .702 |
| Net Realized and Unrealized Gain (Loss) on Investments | 13.466 | (3.184) | 8.161 | 3.533 | (.348) |
| Total from Investment Operations | 14.384 | (2.218) | 8.980 | 4.301 | .354 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.024) | (.902) | (.810) | (.771) | (.694) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.024) | (.902) | (.810) | (.771) | (.694) |
| Net Asset Value, End of Period | $59.72 | $46.36 | $49.48 | $41.31 | $37.78 |
| | | | | | |
| Total Return2 | 31.23% | -4.59% | 21.89% | 11.50% | 0.93% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $30 | $344 | $387 | $400 | $375 |
| Ratio of Total Expenses to Average Net Assets | 0.17% | 0.17% | 0.17% | 0.18% | 0.20% |
| Ratio of Net Investment Income to Average Net Assets | 1.75% | 1.91% | 1.81% | 2.02% | 1.86% |
| Portfolio Turnover Rate3 | 5% | 4% | 3% | 5% | 4% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $114.77 | $122.49 | $102.27 | $93.52 | $94.36 |
| Investment Operations | | | | | |
| Net Investment Income | 2.5811 | 2.5721 | 2.1681 | 2.018 | 1.850 |
| Net Realized and Unrealized Gain (Loss) on Investments | 33.204 | (7.896) | 20.196 | 8.754 | (.859) |
| Total from Investment Operations | 35.785 | (5.324) | 22.364 | 10.772 | .991 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.675) | (2.396) | (2.144) | (2.022) | (1.831) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.675) | (2.396) | (2.144) | (2.022) | (1.831) |
| Net Asset Value, End of Period | $147.88 | $114.77 | $122.49 | $102.27 | $93.52 |
| | | | | | |
| Total Return | 31.39% | -4.44% | 22.03% | 11.65% | 1.07% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $16,270 | $12,358 | $11,613 | $8,468 | $6,469 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.05% | 0.06% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 1.93% | 2.04% | 1.93% | 2.14% | 1.98% |
| Portfolio Turnover Rate2 | 5% | 4% | 3% | 5% | 4% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $57.96 | $61.86 | $51.65 | $47.23 | $47.65 |
| Investment Operations | | | | | |
| Net Investment Income | 1.2991 | 1.2881 | 1.0941 | 1.019 | .936 |
| Net Realized and Unrealized Gain (Loss) on Investments | 16.774 | (3.983) | 10.197 | 4.422 | (.430) |
| Total from Investment Operations | 18.073 | (2.695) | 11.291 | 5.441 | .506 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.343) | (1.205) | (1.081) | (1.021) | (.926) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.343) | (1.205) | (1.081) | (1.021) | (.926) |
| Net Asset Value, End of Period | $74.69 | $57.96 | $61.86 | $51.65 | $47.23 |
| | | | | | |
| Total Return2 | 31.39% | -4.47% | 22.03% | 11.65% | 1.07% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $7,546 | $5,306 | $5,375 | $4,130 | $3,527 |
| Ratio of Total Expenses to Average Net Assets | 0.05% | 0.05% | 0.05% | 0.06% | 0.08% |
| Ratio of Net Investment Income to Average Net Assets | 1.92% | 2.03% | 1.93% | 2.14% | 1.98% |
| Portfolio Turnover Rate3 | 5% | 4% | 3% | 5% | 4% |
| 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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $238.57 | $254.60 | $212.59 | $194.40 | $196.14 |
| Investment Operations | | | | | |
| Net Investment Income | 5.3631 | 5.3451 | 4.5291 | 4.215 | 3.865 |
| Net Realized and Unrealized Gain (Loss) on Investments | 69.016 | (16.390) | 41.958 | 18.199 | (1.781) |
| Total from Investment Operations | 74.379 | (11.045) | 46.487 | 22.414 | 2.084 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (5.559) | (4.985) | (4.477) | (4.224) | (3.824) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (5.559) | (4.985) | (4.477) | (4.224) | (3.824) |
| Net Asset Value, End of Period | $307.39 | $238.57 | $254.60 | $212.59 | $194.40 |
| | | | | | |
| Total Return | 31.39% | -4.46% | 22.03% | 11.66% | 1.07% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $1,796 | $1,178 | $1,212 | $932 | $794 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.05% | 0.07% |
| Ratio of Net Investment Income to Average Net Assets | 1.92% | 2.04% | 1.94% | 2.15% | 1.99% |
| Portfolio Turnover Rate2 | 5% | 4% | 3% | 5% | 4% |
| 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.
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, 2019, 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.
Large-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, 2016–2019), 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are
Large-Cap Index Fund
amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. 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, 2019, the fund had contributed to Vanguard capital in the amount of $1,123,000, representing less than 0.01% of the fund’s net assets and 0.45% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | | Level 2 | | Level 3 | |
| Investments | ($000 | ) | ($000 | ) | ($000 | ) |
| Common Stocks | 25,561,862 | | — | | — | |
| Temporary Cash Investments | 70,344 | | 5,055 | | — | |
| Futures Contracts—Assets1 | 241 | | — | | — | |
| Futures Contracts—Liabilities1 | (28 | ) | — | | — | |
| Total | 25,632,419 | | 5,055 | | — | |
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 were reclassified between the following accounts:
| | Amount | |
| | ($000 | ) |
| Paid-in Capital | 390,342 | |
| Total Distributable Earnings (Loss) | (390,342 | ) |
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 | 6,312 | |
| Undistributed Long-Term Gains | — | |
| Capital Loss Carryforwards (Non-expiring) | (260,027 | ) |
| Net Unrealized Gains (Losses) | 10,354,473 | |
As of December 31, 2019, 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 | 15,282,788 | |
| Gross Unrealized Appreciation | 10,828,790 | |
| Gross Unrealized Depreciation | (474,317 | ) |
| Net Unrealized Appreciation (Depreciation) | 10,354,473 | |
E. During the year ended December 31, 2019, the fund purchased $2,655,742,000 of investment securities and sold $1,758,407,000 of investment securities, other than temporary cash investments. Purchases and sales include $818,507,000 and $599,283,000, 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, 2019, such purchases and sales were $226,421,000 and $213,935,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.
Large-Cap Index Fund
F. Capital share transactions for each class of shares were:
| | | | | | | | | Year Ended December 31, | |
| | | | | | 2019 | | | | | | 2018 | |
| | | Amount | | | Shares | | | Amount | | | Shares | |
| | | ($000 | ) | | (000 | ) | | ($000 | ) | | (000 | ) |
| Investor Shares | | | | | | | | | | | | | | | |
| Issued | | 97,448 | | | | 1,763 | | | | 121,934 | | | | 2,382 | |
| Issued in Lieu of Cash Distributions | | 3,421 | | | | 65 | | | | 6,625 | | | | 133 | |
| Redeemed1 | | (481,989 | ) | | | (8,744 | ) | | | (148,179 | ) | | | (2,917 | ) |
| Net Increase (Decrease)—Investor Shares | | (381,120 | ) | | | (6,916 | ) | | | (19,620 | ) | | | (402 | ) |
| ETF Shares | | | | | | | | | | | | | | | |
| Issued | | 944,327 | | | | 7,026 | | | | 2,602,362 | | | | 21,138 | |
| Issued in Lieu of Cash Distributions | | — | | | | — | | | | — | | | | — | |
| Redeemed | | (606,516 | ) | | | (4,675 | ) | | | (1,051,189 | ) | | | (8,275 | ) |
| Net Increase (Decrease)—ETF Shares | | 337,811 | | | | 2,351 | | | | 1,551,173 | | | | 12,863 | |
| Admiral Shares | | | | | | | | | | | | | | | |
| Issued1 | | 1,683,583 | | | | 24,952 | | | | 1,357,240 | | | | 21,650 | |
| Issued in Lieu of Cash Distributions | | 106,957 | | | | 1,548 | | | | 87,699 | | | | 1,413 | |
| Redeemed | | (1,144,621 | ) | | | (17,009 | ) | | | (1,165,201 | ) | | | (18,414 | ) |
| Net Increase (Decrease)—Admiral Shares | | 645,919 | | | | 9,491 | | | | 279,738 | | | | 4,649 | |
| Institutional Shares | | | | | | | | | | | | | | | |
| Issued | | 498,518 | | | | 1,804 | | | | 265,348 | | | | 1,014 | |
| Issued in Lieu of Cash Distributions | | 26,424 | | | | 93 | | | | 19,212 | | | | 75 | |
| Redeemed | | (272,949 | ) | | | (992 | ) | | | (239,460 | ) | | | (911 | ) |
| Net Increase (Decrease)—Institutional Shares | | 251,993 | | | | 905 | | | | 45,100 | | | | 178 | |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 6,632,000 and 5,304,000 shares, respectively, in the amount of $365,488,000 from the conversion during the year ended December 31, 2019. |
G. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (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, 2019, 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, 2019 and each of the financial highlights for each of the five years in the period ended December 31, 2019 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, 2019 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 opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 13, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard U.S. Stock Index Funds (Large-Capitalization Portfolios)
This information for the fiscal year ended December 31, 2019, 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 | | | 889,008 | |
| Value Index Fund | | | 2,202,183 | |
| Large-Cap Index Fund | | | 440,642 | |
| The funds distributed qualified business income to shareholders during the fiscal year as follows: |
| Fund | | | ($000 | ) |
| Growth Index Fund | | | 64,863 | |
| Value Index Fund | | | — | |
| Large-Cap Index Fund | | | 12,927 | |
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 | | | 89.5% | |
| Value Index Fund | | | 94.5 | |
| Large-Cap Index Fund | | | 93.1 | |
The CRSP US Large Cap Index, CRSP US Large Cap Growth Index, and CRSP US Large Cap Value Index (the “Indexes”) are products of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and have been licensed for use by Vanguard. CRSP® is a trademark of CRSP; and has been licensed by CRSP for use for certain purposes by Vanguard. Vanguard Large-Cap Index, Growth Index, and Value Index Funds are not sponsored, endorsed, sold or promoted by CRSP or the University. Neither CRSP nor the University makes any representation or warranty, express or implied, to the owners of Vanguard Large-Cap Index, Growth Index, and Value Index Funds or any member of the public regarding the advisability of investing in securities generally or in Vanguard Large-Cap Index, Growth Index, and Value Index Funds particularly or the ability of the Indexes to track general market performance. The Indexes are determined, composed and calculated without regard to Vanguard or Vanguard Large-Cap Index, Growth Index, and Value Index Funds. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Large-Cap Index, Growth Index, and Value Index Funds into consideration in determining, composing or calculating the Indexes. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices, and amount of Vanguard Large-Cap Index, Growth Index, and Value Index Funds or the timing of the issuance or sale of Vanguard Large-Cap Index, Growth Index, and Value Index Funds or in the determination or calculation of the equation by which Vanguard Large-Cap Index, Growth Index, and Value Index Funds are to be converted into cash, surrendered or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Large-Cap Index, Growth Index, and Value Index Funds. There is no assurance that investment products based on the Indexes will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEXES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF VANGUARD LARGE-CAP INDEX, GROWTH INDEX, AND VALUE INDEX FUNDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEXES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
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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 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. 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 Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; 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) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
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. 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.
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), and the Lumina Foundation.
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
Director of the V Foundation and Oxfam America. 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) 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 (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
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 (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
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
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
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. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), 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. 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.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
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 |
| | |
| | |
| | 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 PeopleWho 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 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, www.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 www.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 2020, Bloomberg. All rights reserved.
| | © 2020 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 022020 |
Annual Report | December 31, 2019 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 Chairman | 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 Chairman
Tim Buckley
Chairman and Chief Executive Officer
Dear Shareholder,
Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.
It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.
Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.
Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.
Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.
Sincerely,
Mortimer J. Buckley
Chairman and Chief Executive Officer
January 23, 2020
Your Fund’s Performance at a Glance
· The broad U.S. stock market returned about 31% for the 12 months ended December 31, 2019. Growth stocks outperformed value, and large-capitalization stocks bested small- and mid-caps.
· Reflecting this environment, Vanguard Total Stock Market Index Fund returned better than 30% for all share classes.
· 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.
· All ten of the fund’s sectors recorded positive returns, with technology, financials, and industrials contributing most to results.
| Market Barometer | | | | | | | |
| | | | | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | One Year | | Three Years | | Five Years | |
| Stocks | | | | | | | | | | |
| Russell 1000 Index (Large-caps) | | | 31.43 | % | | | 15.05 | % | | | 11.48 | % | |
| Russell 2000 Index (Small-caps) | | | 25.53 | | | | 8.59 | | | | 8.23 | | |
| Russell 3000 Index (Broad U.S. market) | | | 31.02 | | | | 14.57 | | | | 11.24 | | |
| FTSE All-World ex US Index (International) | | | 21.81 | | | | 9.96 | | | | 5.83 | | |
| | | | | | | | | | | | | | |
| Bonds | | | | | | | | | | | | | |
| Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market) | | | 8.72 | % | | | 4.03 | % | | | 3.05 | % | |
| Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market) | | | 7.54 | | | | 4.72 | | | | 3.53 | | |
| FTSE Three-Month U.S. Treasury Bill Index | | | 2.25 | | | | 1.65 | | | | 1.04 | | |
| | | | | | | | | | | | | | |
| CPI | | | | | | | | | | | | | |
| Consumer Price Index | | | 2.29 | % | | | 2.10 | % | | | 1.82 | % | |
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 compareongoingcosts 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, 2019 | | | |
| | Beginning | Ending | Expenses |
| | Account Value | Account Value | Paid During |
| Total Stock Market Index Fund | 6/30/2019 | 12/31/2019 | Period |
| Based on Actual Fund Return | | | |
| Investor Shares | $1,000.00 | $1,101.40 | $0.74 |
| ETF Shares | 1,000.00 | 1,101.99 | 0.16 |
| Admiral™ Shares | 1,000.00 | 1,101.93 | 0.21 |
| Institutional Shares | 1,000.00 | 1,101.97 | 0.16 |
| Institutional Plus Shares | 1,000.00 | 1,102.02 | 0.11 |
| Institutional Select Shares | 1,000.00 | 1,102.11 | 0.05 |
| Based on Hypothetical 5% Yearly Return | | | |
| Investor Shares | $1,000.00 | $1,024.50 | $0.71 |
| ETF Shares | 1,000.00 | 1,025.05 | 0.15 |
| 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, 0.03% 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, 2009, Through December 31, 2019
Initial Investment of $10,000
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | | Year | Years | Years | Investment |
 | Total Stock Market Index Fund Investor Shares | 30.65% | 11.08% | 13.30% | $34,846 |
 | Spliced Total Stock Market Index | 30.84 | 11.21 | 13.44 | 35,295 |
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 | 30.80% | 11.21% | 13.43% | $35,257 |
| Total Stock Market Index Fund ETF Shares Market Price | 30.80% | 11.20% | 13.42% | 34,240 |
| Spliced Total Stock Market Index | 30.84 | 11.21 | 13.44 | 35,295 |
| | | | | | Final Value |
| | | One | Five | Ten | of a $10,000 |
| | Year | Years | Years | Investment |
| Total Stock Market Index Fund Admiral Shares | 30.80% | 11.19% | 13.42% | $35,242 |
| Spliced Total Stock Market Index | 30.84 | 11.21 | 13.44 | 35,295 |
Total Stock Market Index Fund
| | | Average Annual Total Returns | |
| | | Periods Ended December 31, 2019 | |
| | | | | | Final Value |
| | | One | Five | Ten | of a $5,000,000 |
| | Year | Years | Years | Investment |
| Total Stock Market Index Fund Institutional Shares | 30.81% | 11.21% | 13.43% | $17,629,299 |
| Spliced Total Stock Market Index | 30.84 | 11.21 | 13.44 | 17,647,701 |
| | | | Since | Final Value |
| | | One | Inception | of a $100,000,000 |
| | Year | (4/28/2015) | Investment |
| Total Stock Market Index Fund Institutional Shares Plus Shares | 30.82% | 11.15% | $163,915,340 |
| CRSP US Total Market Index | 30.84 | 11.14 | 163,849,430 |
“Since Inception” performance is calculated from the Institutional Plus Shares’ inception date for both the fund and its comparative standard(s).
| | | | Since | Final Value |
| | | One | Inception | of a $5,000,000,000 |
| | Year | (6/27/2016) | Investment |
| Total Stock Market Index Fund Institutional Select Shares | 30.84% | 16.67% | $8,592,519,500 |
| CRSP US Total Market Index | 30.84 | 16.66 | 8,587,990,000 |
“Since Inception” performance is calculated from the Institutional Select Shares’ inception date for both the fund and its comparative standard(s).
Cumulative Returns of ETF Shares: December 31, 2009, Through December 31, 2019
| | | One | Five | Ten |
| | Year | Years | Years |
| Total Stock Market Index Fund ETF Shares Market Price | 30.80% | 70.02% | 252.40% |
| Total Stock Market Index Fund ETF Shares Net Asset Value | 30.80 | 70.08 | 252.57 |
| Spliced Total Stock Market Index | 30.84 | 70.11 | 252.95 |
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, 2019
| Basic Materials | 2.2% |
| Consumer Goods | 7.9 |
| Consumer Services | 13.3 |
| Financials | 19.4 |
| Health Care | 13.0 |
| Industrials | 13.2 |
| Oil & Gas | 4.1 |
| Technology | 21.8 |
| Telecommunications | 1.9 |
| 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.
The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.
Total Stock Market Index Fund
Financial Statements
Statement of Net Assets—Investments Summary
As of December 31, 2019
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) four times in each fiscal year. For the second and fourth quarters the complete list of the fund’s holdings is available on vanguard.com and on Form N-CSR, or you can have it mailed to you without charge by calling 800-662-7447. For the first and third quarters of each fiscal year, the complete list of the fund’s holdings is available as an exhibit to its reports on Form N-PORT. The fund’s Form N-CSR and Form N-PORT reports are available on the SEC’s website at www.sec.gov.
| | | | Market | Percentage |
| | | | Value· | of Net |
| | | Shares | ($000) | Assets |
| Common Stocks | | | |
| Basic Materials † | | 19,444,965 | 2.2% |
| | | | | |
| Consumer Goods | | | |
| | Procter & Gamble Co. | 70,247,910 | 8,773,964 | 1.0% |
| | Coca-Cola Co. | 108,645,223 | 6,013,513 | 0.7% |
| | PepsiCo Inc. | 39,282,426 | 5,368,729 | 0.6% |
| | Philip Morris International Inc. | 43,826,136 | 3,729,166 | 0.4% |
| | NIKE Inc. Class B | 35,096,598 | 3,555,636 | 0.4% |
| | Consumer Goods—Other † | | 43,343,780 | 4.8% |
| | | | 70,784,788 | 7.9% |
| Consumer Services | | | |
| * | Amazon.com Inc. | 11,871,374 | 21,936,400 | 2.4% |
| | Walt Disney Co. | 50,771,905 | 7,343,141 | 0.8% |
| | Home Depot Inc. | 30,725,148 | 6,709,758 | 0.8% |
| | Comcast Corp. Class A | 127,898,595 | 5,751,600 | 0.6% |
| | Walmart Inc. | 40,068,176 | 4,761,702 | 0.5% |
| | McDonald’s Corp. | 21,217,409 | 4,192,772 | 0.5% |
| * | Netflix Inc. | 12,347,098 | 3,995,150 | 0.5% |
| | Costco Wholesale Corp. | 12,386,682 | 3,640,694 | 0.4% |
| § | Consumer Services—Other † | | 60,388,551 | 6.7% |
| | | | 118,719,768 | 13.2% |
| Financials | | | |
| * | Berkshire Hathaway Inc. Class B | 53,368,129 | 12,087,881 | 1.4% |
| | JPMorgan Chase & Co. | 83,026,240 | 11,573,858 | 1.3% |
| | Visa Inc. Class A | 48,235,974 | 9,063,540 | 1.0% |
| | Bank of America Corp. | 228,004,607 | 8,030,322 | 0.9% |
| | Mastercard Inc. Class A | 25,281,635 | 7,548,843 | 0.8% |
| | Wells Fargo & Co. | 107,227,939 | 5,768,863 | 0.6% |
| | Citigroup Inc. | 61,482,908 | 4,911,870 | 0.6% |
Total Stock Market Index Fund
| | | | Market | Percentage |
| | | | Value· | of Net |
| | | Shares | ($000) | Assets |
| * | Berkshire Hathaway Inc. Class A | 1,041 | 353,513 | 0.0% |
| 1 | Great Ajax Corp. | 1,620,172 | 23,995 | 0.0% |
| 1 | Safeguard Scientifics Inc. | 1,047,764 | 11,504 | 0.0% |
| 1 | Spirit MTA REIT | 2,854,330 | 2,191 | 0.0% |
| § | Financials—Other † | | 114,711,344 | 12.8% |
| | | | 174,087,724 | 19.4% |
| Health Care | | | |
| | Johnson & Johnson | 74,147,917 | 10,815,957 | 1.2% |
| | UnitedHealth Group Inc. | 26,689,357 | 7,846,137 | 0.9% |
| | Merck & Co. Inc. | 71,739,055 | 6,524,667 | 0.7% |
| | Pfizer Inc. | 155,931,076 | 6,109,380 | 0.7% |
| | Abbott Laboratories | 49,821,309 | 4,327,479 | 0.5% |
| | Medtronic plc | 37,757,947 | 4,283,639 | 0.5% |
| | Bristol-Myers Squibb Co. | 65,941,862 | 4,232,808 | 0.5% |
| | Amgen Inc. | 16,741,329 | 4,035,832 | 0.4% |
| | AbbVie Inc. | 41,653,636 | 3,688,013 | 0.4% |
| | Thermo Fisher Scientific Inc. | 11,297,406 | 3,670,188 | 0.4% |
| § | Health Care—Other † | | 61,329,572 | 6.8% |
| | | | 116,863,672 | 13.0% |
| Industrials | | | |
| | Boeing Co. | 15,062,314 | 4,906,699 | 0.6% |
| | Accenture plc Class A | 17,886,881 | 3,766,441 | 0.4% |
| | United Technologies Corp. | 24,306,428 | 3,640,131 | 0.4% |
| * | PayPal Holdings Inc. | 33,082,634 | 3,578,549 | 0.4% |
| | Honeywell International Inc. | 20,133,795 | 3,563,682 | 0.4% |
| | Union Pacific Corp. | 19,557,102 | 3,535,728 | 0.4% |
| *,1 | Perma-Pipe International Holdings Inc. | 465,028 | 4,362 | 0.0% |
| § | Industrials—Other † | | 94,589,357 | 10.5% |
| | | | 117,584,949 | 13.1% |
| Oil & Gas | | | |
| | Exxon Mobil Corp. | 119,196,797 | 8,317,553 | 0.9% |
| | Chevron Corp. | 53,266,865 | 6,419,190 | 0.7% |
| § | Oil & Gas—Other † | | 21,524,980 | 2.4% |
| | | | 36,261,723 | 4.0% |
| | | | | |
| §,2Other † | | 4,162 | 0.0% |
| | | | |
| Technology | | | |
| | Microsoft Corp. | 214,894,399 | 33,888,847 | 3.8% |
| | Apple Inc. | 112,647,486 | 33,078,934 | 3.7% |
| * | Facebook Inc. Class A | 67,790,793 | 13,914,060 | 1.6% |
| * | Alphabet Inc. Class A | 8,433,695 | 11,296,007 | 1.3% |
| * | Alphabet Inc. Class C | 8,233,074 | 11,007,785 | 1.2% |
| | Intel Corp. | 122,533,964 | 7,333,658 | 0.8% |
| | Cisco Systems Inc. | 119,505,808 | 5,731,499 | 0.7% |
| * | Adobe Inc. | 13,636,027 | 4,497,298 | 0.5% |
| | NVIDIA Corp. | 16,376,180 | 3,853,315 | 0.4% |
| * | salesforce.com Inc. | 23,468,715 | 3,816,952 | 0.4% |
| *,1 | Computer Task Group Inc. | 746,502 | 3,867 | 0.0% |
| § | Technology—Other † | | 66,720,403 | 7.4% |
| | | | 195,142,625 | 21.8% |
Total Stock Market Index Fund
| | | Market | Percentage |
| | | Value· | of Net |
| | Shares | ($000) | Assets |
| Telecommunications | | | |
| AT&T Inc. | 205,770,728 | 8,041,520 | 0.9% |
| Verizon Communications Inc. | 116,496,859 | 7,152,907 | 0.8% |
| Telecommunications—Other † | | 1,903,334 | 0.2% |
| | | 17,097,761 | 1.9% |
| | | | |
| Utilities † | | 28,902,407 | 3.2% |
| Total Common Stocks (Cost $508,641,348) | | 894,894,544 | 99.7%3 |
| Preferred Stocks (Cost $36) † | | 43 | 0.0% |
| | Coupon | | | |
| Temporary Cash Investments | | | | |
| Money Market Fund | | | | |
| 4,5 Vanguard Market Liquidity Fund | 1.816% | 53,284,330 | 5,328,966 | 0.6% |
| | | | | |
| 6U.S. Government and Agency Obligations † | | | 137,690 | 0.0% |
| Total Temporary Cash Investments (Cost $5,465,831) | | | 5,466,656 | 0.6%3 |
| 7Total Investments (Cost $514,107,215) | | | 900,361,243 | 100.3% |
| | Amount | |
| | ($000) | |
| Other Assets and Liabilities | | |
| Other Assets | | |
| Investment in Vanguard | 39,345 | |
| Receivables for Investment Securities Sold | 12,998 | |
| Receivables for Accrued Income | 954,088 | |
| Receivables for Capital Shares Issued | 1,034,626 | |
| Variation Margin Receivable—Futures Contracts | 8,801 | |
| Unrealized Appreciation—OTC Swap Contracts | 9,669 | |
| Other Assets5 | 8,333 | |
| Total Other Assets | 2,067,860 | 0.2% |
| Liabilities | | |
| Payables for Investment Securities Purchased | (19,003) | |
| Collateral for Securities on Loan | (2,964,698) | |
| Payables for Capital Shares Redeemed | (1,682,184) | |
| Payables to Vanguard | (127,798) | |
| Variation Margin Payable—Futures Contracts | (1,990) | |
| Other Liabilities | (9,561) | |
| Total Liabilities | (4,805,234) | (0.5%) |
| Net Assets | 897,623,869 | 100.0% |
| | | |
| | | |
| | | |
| At December 31, 2019, net assets consisted of: | | |
| | | Amount |
| | | ($000) |
| Paid-in Capital | | 517,405,991 |
| Total Distributable Earnings (Loss) | | 380,217,878 |
| Net Assets | | 897,623,869 |
Total Stock Market Index Fund
| | Amount |
| | ($000) |
| Investor Shares—Net Assets | |
| Applicable to 1,753,462,332 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 139,685,679 |
| Net Asset Value Per Share—Investor Shares | $79.66 |
| | |
| ETF Shares—Net Assets | |
| Applicable to 843,407,682 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 138,067,205 |
| Net Asset Value Per Share—ETF Shares | $163.70 |
| | |
| Admiral Shares—Net Assets | |
| Applicable to 3,169,091,239 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 252,535,692 |
| Net Asset Value Per Share—Admiral Shares | $79.69 |
| | |
| Institutional Shares—Net Assets | |
| Applicable to 1,916,108,581 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 152,716,443 |
| Net Asset Value Per Share—Institutional Shares | $79.70 |
| | |
| Institutional Plus Shares—Net Assets | |
| Applicable to 1,259,067,118 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 188,188,264 |
| Net Asset Value Per Share—Institutional Plus Shares | $149.47 |
| | |
| Institutional Select Shares—Net Assets | |
| Applicable to 168,526,705 outstanding $.001 par value shares of beneficial interest (unlimited authorization) | 26,430,586 |
| Net Asset Value Per Share—Institutional Select Shares | $156.83 |
· 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 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
2 “Other” represents securities that are not classified by the fund’s benchmark index.
| 3 | 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. |
| 4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 5 | Collateral of $2,964,698,000 was received for securities on loan, of which $2,956,365,000 is held in Vanguard Market Liquidity Fund and $8,333,000 is held in cash. |
6 Securities with a value of $122,551,000 have been segregated as initial margin for open futures contracts.
| 7 | The total value of securities on loan is $2,789,582,000.
REIT—Real Estate Investment Trust.
OTC—Over-the-Counter. |
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 2020 | 14,070 | 2,273,079 | 24,712 |
| E-mini Russell 2000 Index | March 2020 | 1,914 | 159,876 | 2,492 |
| E-mini S&P Mid-Cap 400 Index | March 2020 | 240 | 49,555 | 850 |
| | | | | 28,054 |
Over-the-Counter Total Return Swaps
| | | | | Floating | | |
| | | | | Interest | | |
| | | | | Rate | Value and | Value and |
| | | | Notional | Received | Unrealized | Unrealized |
| | Termination | | Amount | (Paid)1 | Appreciation | (Depreciation) |
| Reference Entity | Date | Counterparty | ($000) | (%) | ($000) | ($000) |
| Assurant Inc. | 2/4/2020 | GSI | 6,521 | 1.945 | 29 | — |
| First Republic Bank | 2/4/2020 | GSI | 142,014 | 2.375 | 1,740 | — |
| JPMorgan Chase & Co. | 9/2/2020 | BOANA | 118,584 | 2.147 | 6,678 | — |
| VICI Properties Inc. | 2/4/2020 | GSI | 24,610 | 1.745 | 1,222 | — |
| | | | | | 9,669 | — |
1 Payment received/paid monthly.
BOANA—Bank of America, N.A.
GSI—Goldman Sachs International.
At December 31, 2019, the counterparties had deposited in segregated accounts securities with a value of $9,601,000 in connection with open over-the-counter swap contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
Total Stock Market Index Fund
Statement of Operations
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Investment Income | |
| Income | |
| Dividends—Unaffiliated Issuers | 15,136,266 |
| Dividends—Affiliated Issuers | 6,160 |
| Interest—Unaffiliated Issuers | 4,144 |
| Interest—Affiliated Issuers | 70,056 |
| Securities Lending—Net | 152,182 |
| Total Income | 15,368,808 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 25,447 |
| Management and Administrative—Investor Shares | 169,029 |
| Management and Administrative—ETF Shares | 24,791 |
| Management and Administrative—Admiral Shares | 71,269 |
| Management and Administrative—Institutional Shares | 30,930 |
| Management and Administrative—Institutional Plus Shares | 25,302 |
| Management and Administrative—Institutional Select Shares | 1,569 |
| Marketing and Distribution—Investor Shares | 11,957 |
| Marketing and Distribution—ETF Shares | 4,670 |
| Marketing and Distribution—Admiral Shares | 10,085 |
| Marketing and Distribution—Institutional Shares | 4,198 |
| Marketing and Distribution—Institutional Plus Shares | 2,207 |
| Marketing and Distribution—Institutional Select Shares | 1 |
| Custodian Fees | 1,703 |
| Auditing Fees | 407 |
| Shareholders’ Reports—Investor Shares | 1,423 |
| Shareholders’ Reports—ETF Shares | 1,600 |
| Shareholders’ Reports—Admiral Shares | 691 |
| Shareholders’ Reports—Institutional Shares | 1,173 |
| Shareholders’ Reports—Institutional Plus Shares | 38 |
| Shareholders’ Reports—Institutional Select Shares | — |
| Trustees’ Fees and Expenses | 382 |
| Total Expenses | 388,872 |
| Net Investment Income | 14,979,936 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold—Unaffiliated Issuers1 | 3,017,113 |
| Investment Securities Sold—Affiliated Issuers | (3,906) |
Total Stock Market Index Fund
Statement of Operations (continued)
| | Year Ended |
| | December 31, 2019 |
| | ($000) |
| Futures Contracts | 766,975 |
| Swap Contracts | 50,674 |
| Realized Net Gain (Loss) | 3,830,856 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities—Unaffiliated Issuers | 191,133,025 |
| Investment Securities—Affiliated Issuers | 5,907 |
| Futures Contracts | 142,709 |
| Swap Contracts | 11,880 |
| Change in Unrealized Appreciation (Depreciation) | 191,293,521 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 210,104,313 |
| 1 | Includes $8,345,326,000 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, | |
| | 2019 | 2018 | |
| | ($000) | ($000) | |
| Increase (Decrease) in Net Assets | | | |
| Operations | | | |
| Net Investment Income | 14,979,936 | 13,757,171 | |
| Realized Net Gain (Loss) | 3,830,856 | 6,511,049 | |
| Change in Unrealized Appreciation (Depreciation) | 191,293,521 | (56,929,307) | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 210,104,313 | (36,661,087) | |
| Distributions | | | |
| Net Investment Income | | | |
| Investor Shares | (2,441,205) | (2,268,803) | |
| ETF Shares | (2,314,799) | (1,838,334) | |
| Admiral Shares | (4,371,014) | (3,685,244) | |
| Institutional Shares | (2,694,343) | (2,243,070) | |
| Institutional Plus Shares | (3,268,140) | (2,615,192) | |
| Institutional Select Shares | (467,850) | (351,965) | |
| Realized Capital Gain | | | |
| Investor Shares | — | — | |
| ETF Shares | — | — | |
| Admiral Shares | — | — | |
| Institutional Shares | — | — | |
| Institutional Plus Shares | — | — | |
| Institutional Select Shares | — | — | |
| Total Distributions | (15,557,351) | (13,002,608) | |
| Capital Share Transactions | | | |
| Investor Shares | (14,863,283) | 2,806,888 | |
| ETF Shares | 15,039,487 | 10,133,992 | |
| Admiral Shares | 13,652,300 | 8,992,303 | |
| Institutional Shares | 4,263,716 | 9,953,282 | |
| Institutional Plus Shares | 12,427,894 | 19,272,078 | |
| Institutional Select Shares | 361,129 | 8,123,645 | |
| Net Increase (Decrease) from Capital Share Transactions | 30,881,243 | 59,282,188 | |
| Total Increase (Decrease) | 225,428,205 | 9,618,493 | |
| Net Assets | | | |
| Beginning of Period | 672,195,664 | 662,577,171 | |
| End of Period | 897,623,869 | 672,195,664 | |
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 | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $62.08 | $66.70 | $56.06 | $50.78 | $51.58 |
| Investment Operations | | | | | |
| Net Investment Income | 1.2791 | 1.2751 | 1.0861 | 1.022 | .954 |
| Net Realized and Unrealized Gain (Loss) on Investments | 17.634 | (4.703) | 10.630 | 5.282 | (.807) |
| Total from Investment Operations | 18.913 | (3.428) | 11.716 | 6.304 | .147 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.333) | (1.192) | (1.076) | (1.024) | (.947) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.333) | (1.192) | (1.076) | (1.024) | (.947) |
| Net Asset Value, End of Period | $79.66 | $62.08 | $66.70 | $56.06 | $50.78 |
| | | | | | |
| Total Return2 | 30.65% | -5.26% | 21.05% | 12.53% | 0.29% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $139,686 | $121,266 | $126,766 | $103,932 | $96,323 |
| Ratio of Total Expenses to Average Net Assets | 0.14% | 0.14% | 0.14% | 0.15% | 0.16% |
| Ratio of Net Investment Income to Average Net Assets | 1.78% | 1.86% | 1.77% | 1.98% | 1.85% |
| Portfolio Turnover Rate3 | 4% | 3% | 3% | 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.
Total Stock Market Index Fund
Financial Highlights
ETF Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $127.56 | $137.06 | $115.21 | $104.34 | $106.00 |
| Investment Operations | | | | | |
| Net Investment Income | 2.8091 | 2.7811 | 2.3611 | 2.214 | 2.082 |
| Net Realized and Unrealized Gain (Loss) on Investments | 36.236 | (9.676) | 21.832 | 10.871 | (1.675) |
| Total from Investment Operations | 39.045 | (6.895) | 24.193 | 13.085 | .407 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (2.905) | (2.605) | (2.343) | (2.215) | (2.067) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.905) | (2.605) | (2.343) | (2.215) | (2.067) |
| Net Asset Value, End of Period | $163.70 | $127.56 | $137.06 | $115.21 | $104.34 |
| | | | | | |
| Total Return | 30.80% | - 5.13% | 21.16% | 12.68% | 0.40% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $138,067 | $94,809 | $91,862 | $69,889 | $57,434 |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.04% | 0.04% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.89% | 1.97% | 1.87% | 2.09% | 1.96% |
| Portfolio Turnover Rate2 | 4% | 3% | 3% | 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.
Total Stock Market Index Fund
Financial Highlights
Admiral Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $62.09 | $66.72 | $56.08 | $50.79 | $51.60 |
| Investment Operations | | | | | |
| Net Investment Income | 1.3601 | 1.3441 | 1.1481 | 1.077 | 1.013 |
| Net Realized and Unrealized Gain (Loss) on Investments | 17.646 | (4.711) | 10.633 | 5.291 | (.818) |
| Total from Investment Operations | 19.006 | (3.367) | 11.781 | 6.368 | .195 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.406) | (1.263) | (1.141) | (1.078) | (1.005) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.406) | (1.263) | (1.141) | (1.078) | (1.005) |
| Net Asset Value, End of Period | $79.69 | $62.09 | $66.72 | $56.08 | $50.79 |
| | | | | | |
| Total Return2 | 30.80% | - 5.17% | 21.17% | 12.66% | 0.39% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $252,536 | $185,102 | $190,099 | $151,612 | $126,363 |
| Ratio of Total Expenses to Average Net Assets | 0.04% | 0.04% | 0.04% | 0.04% | 0.05% |
| Ratio of Net Investment Income to Average Net Assets | 1.88% | 1.96% | 1.87% | 2.09% | 1.96% |
| Portfolio Turnover Rate3 | 4% | 3% | 3% | 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.
Total Stock Market Index Fund
Financial Highlights
Institutional Shares
| For a Share Outstanding | | | Year Ended December 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $62.10 | $66.73 | $56.09 | $50.80 | $51.60 |
| Investment Operations | | | | | |
| Net Investment Income | 1.3651 | 1.3541 | 1.1531 | 1.082 | 1.017 |
| Net Realized and Unrealized Gain (Loss) on Investments | 17.649 | (4.715) | 10.630 | 5.291 | (.808) |
| Total from Investment Operations | 19.014 | (3.361) | 11.783 | 6.373 | .209 |
| Distributions | | | | | |
| Dividends from Net Investment Income | (1.414) | (1.269) | (1.143) | (1.083) | (1.009) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (1.414) | (1.269) | (1.143) | (1.083) | (1.009) |
| Net Asset Value, End of Period | $79.70 | $62.10 | $66.73 | $56.09 | $50.80 |
| | | | | | |
| Total Return | 30.81% | -5.16% | 21.17% | 12.67% | 0.42% |
| | | | | | |
| Ratios/Supplemental Data | | | | | |
| Net Assets, End of Period (Millions) | $152,716 | $115,115 | $113,557 | $79,443 | $57,438 |
| Ratio of Total Expenses to Average Net Assets | 0.03% | 0.03% | 0.035% | 0.03% | 0.04% |
| Ratio of Net Investment Income to Average Net Assets | 1.89% | 1.97% | 1.87% | 2.10% | 1.97% |
| Portfolio Turnover Rate2 | 4% | 3% | 3% | 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.
Total Stock Market Index Fund
Financial Highlights
Institutional Plus Shares
| | | | | | | April 28, |
| | | | | | | 20151to |
| For a Share Outstanding | | Year Ended December 31, | Dec. 31, |
| Throughout Each Period | 2019 | 2018 | 2017 | 2016 | 2015 |
| Net Asset Value, Beginning of Period | $116.46 | $125.14 | $105.18 | $95.26 | $100.00 |
| Investment Operations |
| Net Investment Income | 2.5752 | 2.5552 | 2.1822 | 2.042 | 1.335 |
| Net Realized and Unrealized Gain (Loss) on Investments | 33.100 | (8.842) | 19.938 | 9.924 | (4.631) |
| Total from Investment Operations | 35.675 | (6.287) | 22.120 | 11.966 | (3.296) |
| Distributions |
| Dividends from Net Investment Income | (2.665) | (2.393) | (2.160) | (2.046) | (1.444) |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (2.665) | (2.393) | (2.160) | (2.046) | (1.444) |
| Net Asset Value, End of Period | $149.47 | $116.46 | $125.14 | $105.18 | $95.26 |
| | | | | | |
| Total Return | 30.82% | -5.15% | 21.19% | 12. 69% | -3.28% |
| |
| Ratios/Supplemental Data |
| Net Assets, End of Period (Millions) | $188,188 | $135,641 | $126,130 | $85,031 | $63,093 |
| Ratio of Total Expenses to Average Net Assets | 0.02% | 0.02% | 0.02% | 0.02% | 0.02%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.90% | 1.98% | 1.89% | 2.11% | 1.99%3 |
| Portfolio Turnover Rate4 | 4% | 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, |
| | | | | | 20161to |
| | | Year Ended December 31, | Dec. 31, |
| For a Share Outstanding Throughout Each Period | 2019 | 2018 | 2017 | 2016 |
| Net Asset Value, Beginning of Period | $122.20 | $131.31 | $110.37 | $97.70 |
| Investment Operations | | | | |
| Net Investment Income | 2.7092 | 2.7042 | 2.3112 | 1.181 |
| Net Realized and Unrealized Gain (Loss) on Investments | 34.731 | (9.290) | 20.908 | 12.718 |
| Total from Investment Operations | 37.440 | (6.586) | 23.219 | 13.899 |
| Distributions | | | | |
| Dividends from Net Investment Income | (2.810) | (2.524) | (2.279) | (1.229) |
| Distributions from Realized Capital Gains | — | — | — | — |
| Total Distributions | (2.810) | (2.524) | (2.279) | (1.229) |
| Net Asset Value, End of Period | $156.83 | $122.20 | $131.31 | $110.37 |
| | | | | |
| Total Return | 30.84% | -5.14% | 21.20% | 14.24% |
| | | | | |
| Ratios/Supplemental Data | | | | |
| Net Assets, End of Period (Millions) | $26,431 | $20,262 | $14,163 | $8,545 |
| Ratio of Total Expenses to Average Net Assets | 0.01% | 0.01% | 0.01% | 0.01%3 |
| Ratio of Net Investment Income to Average Net Assets | 1.91% | 1.99% | 1.90% | 2.15%3 |
| Portfolio Turnover Rate4 | 4% | 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 types of investors. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been 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, 2019, 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.
Total Stock 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, 2019, 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, 2016–2019), 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 $4.3 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, 2019, 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 are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
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, 2019, the fund had contributed to Vanguard capital in the amount of $39,345,000, representing less than 0.01% of the fund’s net assets and 15.74% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. 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 and derivatives as of December 31, 2019, based on the inputs used to value them:
| | Level 1 | Level 2 | Level 3 |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 894,889,490 | 96 | 4,958 |
| Preferred Stocks | 43 | — | — |
| Temporary Cash Investments | 5,328,966 | 137,690 | — |
| Futures Contracts—Assets1 | 8,801 | — | — |
| Futures Contracts—Liabilities1 | (1,990) | — | — |
| Swap Contracts—Assets | — | 9,669 | — |
| Total | 900,225,310 | 147,455 | 4,958 |
1 Represents variation margin on the last day of the reporting period.
Total Stock 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, passive foreign investment companies, and swap agreements were reclassified between the following accounts:
| | Amount |
| | ($000) |
| Paid-in Capital | 8,345,099 |
| Total Distributable Earnings (Loss) | (8,345,099) |
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 | 255,875 |
| Undistributed Long-Term Gains | — |
| Capital Loss Carryforwards (Non-expiring) | (6,156,034) |
| Net Unrealized Gains (Losses) | 386,223,802 |
As of December 31, 2019, 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 | 514,137,441 |
| Gross Unrealized Appreciation | 410,556,295 |
| Gross Unrealized Depreciation | (24,332,493) |
| Net Unrealized Appreciation (Depreciation) | 386,223,802 |
E. During the year ended December 31, 2019, the fund purchased $77,124,211,000 of investment securities and sold $44,189,839,000 of investment securities, other than temporary cash investments. Purchases and sales include $16,479,628,000 and $11,228,727,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
Total Stock Market Index Fund
F. Certain of the fund’s investments are in companies that are considered to be affiliated companies of the fund because the fund owns more than 5% of the outstanding voting securities of the company or the issuer is another member of The Vanguard Group. Transactions during the period in securities of these companies were as follows:
| | | | | | Current Period Transactions | |
| | Dec. 31, | | Proceeds | Realized | | | | Dec. 31, |
| | 2018 | | from | Net | Change in | | Capital Gain | 2019 |
| | Market | Purchases | Securities | Gain | Unrealized | | Distributions | Market |
| | Value | at Cost | Sold1 | (Loss) | App. (Dep.) | Income | Received | Value |
| | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) | ($000) |
| Acacia Research Corp. | NA2 | 3,424 | 690 | (372) | (565) | — | — | NA3 |
| Computer Task Group Inc. | NA2 | 1,856 | 173 | (58) | 578 | — | — | 3,867 |
| Great Ajax Corp. | NA2 | 20,667 | 3,944 | 388 | 1,259 | 728 | — | 23,995 |
| Moleculin Biotech Inc. | NA2 | 3,224 | 90 | (100) | (1,467) | — | — | NA3 |
| Orchid Island Capital Inc. | NA2 | 14,499 | 8,590 | (4,137) | 1,826 | 1,963 | — | NA3 |
| Perma-Pipe International Holdings Inc. | NA2 | 2,933 | 16 | (10) | 236 | — | — | 4,362 |
| Safeguard Scientifics Inc. | NA2 | 6,067 | 1,500 | (48) | 1,338 | 1,085 | — | 11,504 |
| Spirit MTA REIT | NA2 | 3,988 | 88 | 126 | 2,476 | 2,384 | — | 2,191 |
| Vanguard Market Liquidity Fund | 5,691,905 | NA4 | NA4 | 305 | 226 | 70,056 | — | 5,328,966 |
| Total | 5,691,905 | | | (3,906) | 5,907 | 76,216 | — | 5,374,885 |
1 Does not include adjustments to related return of capital.
2 Not Applicable—at December 31, 2018, the issuer was not an affiliated company of the fund.
3 Not Applicable—at December 31, 2019, the security was still held, but the issuer was no longer an affiliated company of the fund.
4 Not Applicable—purchases and sales are for temporary cash investment purposes.
G. Capital share transactions for each class of shares were:
| | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| Investor Shares |
| Issued | 7,749,732 | 109,431 | 16,009,467 | 241,652 |
| Issued in Lieu of Cash Distributions | 2,435,264 | 33,011 | 2,255,725 | 33,764 |
| Redeemed1 | (25,048,279) | (342,517) | (15,458,304) | (222,427) |
| Net Increase (Decrease)—Investor Shares | (14,863,283) | (200,075) | 2,806,888 | 52,989 |
Total Stock Market Index Fund
| | | | | Year Ended December 31, |
| | | 2019 | | | 2018 |
| | Amount | Shares | | Amount | Shares |
| | ($000) | (000) | | ($000) | (000) |
| ETF Shares | | | | | |
| Issued | 25,747,266 | 171,544 | | 18,928,131 | 135,252 |
| Issued in Lieu of Cash Distributions | — | — | | — | — |
| Redeemed | (10,707,779) | (71,400) | | (8,794,139) | (62,200) |
| Net Increase (Decrease)—ETF Shares | 15,039,487 | 100,144 | | 10,133,992 | 73,052 |
| Admiral Shares | | | | | |
| Issued1 | 37,798,017 | 521,571 | | 29,607,545 | 433,536 |
| Issued in Lieu of Cash Distributions | 3,668,017 | 49,584 | | 3,114,582 | 46,549 |
| Redeemed | (27,813,734) | (383,118) | | (23,729,824) | (348,197) |
| Net Increase (Decrease)—Admiral Shares | 13,652,300 | 188,037 | | 8,992,303 | 131,888 |
| Institutional Shares | | | | | |
| Issued | 18,127,281 | 253,986 | | 27,433,744 | 407,227 |
| Issued in Lieu of Cash Distributions | 2,526,249 | 34,162 | | 2,093,941 | 31,328 |
| Redeemed | (16,389,814) | (225,625) | | (19,574,403) | (286,645) |
| Net Increase (Decrease)—Institutional Shares | 4,263,716 | 62,523 | | 9,953,282 | 151,910 |
| Institutional Plus Shares | | | | | |
| Issued | 23,108,140 | 173,405 | | 31,228,823 | 248,199 |
| Issued in Lieu of Cash Distributions | 3,223,646 | 23,230 | | 2,582,398 | 20,611 |
| Redeemed | (13,903,892) | (102,224) | | (14,539,143) | (112,031) |
| Net Increase (Decrease)—Institutional Plus Shares | 12,427,894 | 94,411 | | 19,272,078 | 156,779 |
| Institutional Select Shares | | | | | |
| Issued | 3,339,486 | 23,224 | | 9,064,355 | 64,847 |
| Issued in Lieu of Cash Distributions | 467,850 | 3,217 | | 351,965 | 2,683 |
| Redeemed | (3,446,207) | (23,715) | | (1,292,675) | (9,583) |
| Net Increase (Decrease)—Institutional Select Shares | 361,129 | 2,726 | | 8,123,645 | 57,947 |
| 1 | In November 2018, the fund announced changes to the availability and minimum investment criteria of the Investor and Admiral share classes. As a result, all of the outstanding Investor Shares automatically converted to Admiral Shares beginning in April 2019, with the exception of those held by Vanguard funds and certain other institutional investors. Investor Shares—Redeemed and Admiral Shares—Issued include 153,030,000 and 152,973,000 shares, respectively, in the amount of $11,326,553,000 from the conversion during the year ended December 31, 2019. |
H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, 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, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, 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, 2019, 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, 2019 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, 2019 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, 2020
We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.
Special 2019 tax information (unaudited) for Vanguard Total Stock Market Index Fund
This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code.
The fund distributed $14,591,240,000 of qualified dividend income to shareholders during the fiscal year.
The fund distributed $910,105,000 of qualified business income to shareholders during the fiscal year.
For corporate shareholders, 89.7% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.
The CRSP US Total Market Index (the “Index”) is a product of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and has been licensed for use by Vanguard. CRSP®is a trademark of CRSP; and has been licensed by CRSP for use for certain purposes by Vanguard. The Vanguard Total Stock Market Index Fund is not sponsored, endorsed, sold or promoted by CRSP or University. Neither CRSP nor University makes any representation or warranty, express or implied, to the owners of the Vanguard Total Stock Market Index Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard Total Stock Market Index Fund particularly or the ability of the Index to track general market performance. The Index is determined, composed and calculated without regard to Vanguard or the Vanguard Total Stock Market Index Fund. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Total Stock Market Index Fund into consideration in determining, composing or calculating the Index. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices and amount of Vanguard Total Stock Market Index Fund or the timing of the issuance or sale of Vanguard Total Stock Market Index Fund or in the determination or calculation of the equation by which Vanguard Total Stock Market Index Fund is to be converted into cash, surrendered or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Total Stock Market Index Fund. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.
NEITHER CRSP NOR THE UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD TOTAL STOCK MARKET INDEX FUND, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.
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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 213 Vanguard funds.
Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. 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 Trustee1
Mortimer J. Buckley
Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; 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) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.
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. 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.
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), and the Lumina Foundation.
| 1 | Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds. |
Director of the V Foundation and Oxfam America. 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) 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 (private investment firm). Board of advisors and investment committee member of the Museum of Fine Arts Boston. Board member (2018–present) of RIT Capital Partners (investment firm); investment committee member of Partners Health Care System.
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 (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.
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
John Bendl
Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).
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. Treasurer (2017–present) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).
David Cermak
Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.
Thomas J. Higgins
Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), 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. 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.
John E. Schadl
Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.
| 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 |
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 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, www.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 www.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 2020, Bloomberg. All rights reserved.
© 2020 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 022020
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: 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, 2019: $842,000
Fiscal Year Ended December 31, 2018: $877,000
Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.
Fiscal Year Ended December 31, 2019: $9,568,215
Fiscal Year Ended December 31, 2018: $9,734,277
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, 2019: $3,012,031
Fiscal Year Ended December 31, 2018: $5,581,336
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, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985
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, 2019: $0
Fiscal Year Ended December 31, 2018: $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 werenot performed by persons other than full-time, permanent employees of the principal accountant.
(g) Aggregate Non-Audit Fees.
Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985
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: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.
Item 6: Investments.
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.1%)1 | | | | |
| Basic Materials (3.5%) | | | | |
| | RPM International Inc. | 3,251,780 | | 249,607 | |
| | Royal Gold Inc. | 1,638,398 | | 200,294 | |
| | Steel Dynamics Inc. | 5,101,951 | | 173,670 | |
| | Huntsman Corp. | 5,129,881 | | 123,938 | |
| | WR Grace & Co. | 1,668,719 | | 116,560 | |
| | NewMarket Corp. | 238,940 | | 116,249 | |
| | Ashland Global Holdings Inc. | 1,508,624 | | 115,455 | |
| | Scotts Miracle-Gro Co. | 984,474 | | 104,531 | |
| * | Univar Solutions Inc. | 4,161,335 | | 100,871 | |
| * | Alcoa Corp. | 4,561,276 | | 98,113 | |
| | Reliance Steel & Aluminum Co. | 807,716 | | 96,732 | |
| * | Ingevity Corp. | 1,033,837 | | 90,337 | |
| * | Axalta Coating Systems Ltd. | 2,683,495 | | 81,578 | |
| | Balchem Corp. | 790,319 | | 80,320 | |
| | Chemours Co. | 4,148,585 | | 75,048 | |
| | Sensient Technologies Corp. | 1,087,365 | | 71,864 | |
| | PolyOne Corp. | 1,857,250 | | 68,328 | |
| | Commercial Metals Co. | 3,039,094 | | 67,681 | |
| | HB Fuller Co. | 1,305,216 | | 67,310 | |
| | Olin Corp. | 3,885,271 | | 67,021 | |
| | Innospec Inc. | 622,081 | | 64,348 | |
| * | Element Solutions Inc. | 5,208,474 | | 60,835 | |
| | Cabot Corp. | 1,233,840 | | 58,632 | |
| | Carpenter Technology Corp. | 1,158,206 | | 57,655 | |
| ^ | Cleveland-Cliffs Inc. | 6,674,238 | | 56,064 | |
| | Domtar Corp. | 1,398,641 | | 53,484 | |
| | Compass Minerals International Inc. | 872,485 | | 53,187 | |
| | Quaker Chemical Corp. | 319,153 | | 52,507 | |
| | Minerals Technologies Inc. | 901,590 | | 51,959 | |
| | Stepan Co. | 481,842 | | 49,360 | |
| ^ | United States Steel Corp. | 4,308,792 | | 49,163 | |
| | Kaiser Aluminum Corp. | 392,297 | | 43,502 | |
| * | Coeur Mining Inc. | 5,359,461 | | 43,304 | |
| | Hecla Mining Co. | 12,512,014 | | 42,416 | |
| | Worthington Industries Inc. | 945,463 | | 39,880 | |
| * | GCP Applied Technologies Inc. | 1,511,192 | | 34,319 | |
| | Materion Corp. | 531,025 | | 31,569 | |
| | Schweitzer-Mauduit International Inc. | 750,573 | | 31,517 | |
| * | Ferro Corp. | 2,124,595 | | 31,508 | |
| ^ | Arch Coal Inc. Class A | 381,968 | | 27,402 | |
| | Warrior Met Coal Inc. | 1,257,764 | | 26,576 | |
| * | AK Steel Holding Corp. | 7,820,931 | | 25,731 | |
| | Tronox Holdings plc Class A | 2,203,234 | | 25,161 | |
| * | Kraton Corp. | 839,452 | | 21,255 | |
| | PH Glatfelter Co. | 1,159,579 | | 21,220 | |
| | GrafTech International Ltd. | 1,763,146 | | 20,488 | |
| * | Koppers Holdings Inc. | 505,279 | | 19,312 | |
| * | PQ Group Holdings Inc. | 1,091,273 | | 18,748 | |
| | Innophos Holdings Inc. | 522,452 | | 16,708 | |
| | Tredegar Corp. | 673,884 | | 15,061 | |
| | Peabody Energy Corp. | 1,616,598 | | 14,743 | |
| | American Vanguard Corp. | 706,966 | | 13,765 | |
| | Schnitzer Steel Industries Inc. | 544,253 | | 11,799 | |
| * | Century Aluminum Co. | 1,354,863 | | 10,182 | |
| | Haynes International Inc. | 253,405 | | 9,067 | |
| | Kronos Worldwide Inc. | 653,085 | | 8,751 | |
| | SunCoke Energy Inc. | 1,277,941 | | 7,962 | |
| | FutureFuel Corp. | 465,996 | | 5,774 | |
| | US Silica Holdings Inc. | 741,426 | | 4,560 | |
| * | Resolute Forest Products Inc. | 472,165 | | 1,983 | |
| * | CONSOL Energy Inc. | 136,046 | | 1,974 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | Market | |
| | | | Value | |
| | Shares | | ($000 | ) |
| * | Contura Energy Inc. | 148,647 | | 1,345 | |
| | | | 3,400,283 | |
| Consumer Goods (7.0%) | | | | |
| * | US Foods Holding Corp. | 5,533,703 | | 231,807 | |
| | Pool Corp. | 949,411 | | 201,636 | |
| | Gentex Corp. | 6,366,062 | | 184,488 | |
| * | Post Holdings Inc. | 1,587,324 | | 173,177 | |
| | Leggett & Platt Inc. | 3,277,616 | | 166,601 | |
| * | Middleby Corp. | 1,418,081 | | 155,308 | |
| | Ingredion Inc. | 1,661,292 | | 154,417 | |
| | Polaris Inc. | 1,445,521 | | 147,009 | |
| * | Skechers U.S.A. Inc. Class A | 3,360,543 | | 145,142 | |
| ^ | Harley-Davidson Inc. | 3,831,217 | | 142,483 | |
| * | Capri Holdings Ltd. | 3,596,003 | | 137,188 | |
| | Hanesbrands Inc. | 9,041,399 | | 134,265 | |
| * | Zynga Inc. Class A | 21,514,921 | | 131,671 | |
| | Toll Brothers Inc. | 3,122,864 | | 123,384 | |
| | Brunswick Corp. | 2,023,851 | | 121,391 | |
| | Carter’s Inc. | 1,104,451 | | 120,761 | |
| * | Deckers Outdoor Corp. | 701,781 | | 118,503 | |
| *,^ | Mattel Inc. | 8,630,708 | | 116,946 | |
| * | Darling Ingredients Inc. | 4,068,659 | | 114,248 | |
| * | Helen of Troy Ltd. | 632,767 | | 113,765 | |
| * | Herbalife Nutrition Ltd. | 2,385,519 | | 113,718 | |
| * | Tempur Sealy International Inc. | 1,210,064 | | 105,348 | |
| | Valvoline Inc. | 4,775,520 | | 102,244 | |
| ^ | Thor Industries Inc. | 1,330,305 | | 98,828 | |
| | Flowers Foods Inc. | 4,485,615 | | 97,517 | |
| | Goodyear Tire & Rubber Co. | 5,950,947 | | 92,567 | |
| | Sanderson Farms Inc. | 503,554 | | 88,736 | |
| | Steven Madden Ltd. | 1,881,327 | | 80,916 | |
| ^ | Energizer Holdings Inc. | 1,577,865 | | 79,240 | |
| * | Boston Beer Co. Inc. Class A | 208,493 | | 78,779 | |
| | Lancaster Colony Corp. | 490,080 | | 78,462 | |
| | KB Home | 2,252,950 | | 77,209 | |
| | Columbia Sportswear Co. | 767,002 | | 76,846 | |
| *,^ | Beyond Meat Inc. | 999,493 | | 75,562 | |
| | Spectrum Brands Holdings Inc. | 1,146,191 | | 73,689 | |
| | J&J Snack Foods Corp. | 382,947 | | 70,566 | |
| * | TreeHouse Foods Inc. | 1,437,010 | | 69,695 | |
| * | Crocs Inc. | 1,622,276 | | 67,957 | |
| | Dana Inc. | 3,698,377 | | 67,310 | |
| | WD-40 Co. | 346,112 | | 67,194 | |
| * | Fox Factory Holding Corp. | 930,835 | | 64,758 | |
| | Wolverine World Wide Inc. | 1,889,388 | | 63,748 | |
| | Herman Miller Inc. | 1,509,704 | | 62,879 | |
| | LCI Industries | 586,168 | | 62,796 | |
| * | Visteon Corp. | 709,573 | | 61,442 | |
| | Kontoor Brands Inc. | 1,445,495 | | 60,696 | |
| | Nu Skin Enterprises Inc. Class A | 1,423,925 | | 58,352 | |
| * | Meritage Homes Corp. | 934,039 | | 57,079 | |
| * | Taylor Morrison Home Corp. Class A | 2,573,583 | | 56,259 | |
| * | TRI Pointe Group Inc. | 3,356,891 | | 52,300 | |
| * | Dorman Products Inc. | 687,027 | | 52,022 | |
| * | Welbilt Inc. | 3,269,311 | | 51,034 | |
| * | Hain Celestial Group Inc. | 1,926,558 | | 50,004 | |
| | MDC Holdings Inc. | 1,276,425 | | 48,708 | |
| * | Meritor Inc. | 1,794,089 | | 46,987 | |
| | Steelcase Inc. Class A | 2,166,842 | | 44,334 | |
| | HNI Corp. | 1,113,258 | | 41,703 | |
| * | Pilgrim’s Pride Corp. | 1,260,158 | | 41,226 | |
| * | Edgewell Personal Care Co. | 1,311,900 | | 40,616 | |
| * | Hostess Brands Inc. Class A | 2,792,118 | | 40,597 | |
| | Vector Group Ltd. | 2,980,832 | | 39,913 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Fitbit Inc. Class A | 5,825,279 | | 38,272 | |
| | La-Z-Boy Inc. | 1,184,576 | | 37,290 | |
| *,^ | iRobot Corp. | 694,326 | | 35,154 | |
| * | G-III Apparel Group Ltd. | 1,044,660 | | 34,996 | |
| | Cooper Tire & Rubber Co. | 1,203,846 | | 34,611 | |
| | Universal Corp. | 603,565 | | 34,439 | |
| * | Gentherm Inc. | 773,390 | | 34,331 | |
| *.^ | YETI Holdings Inc. | 983,270 | | 34,198 | |
| | Coca-Cola Consolidated Inc. | 116,875 | | 33,198 | |
| * | Sleep Number Corp. | 661,506 | | 32,573 | |
| | Oxford Industries Inc. | 421,254 | | 31,771 | |
| | Cal-Maine Foods Inc. | 742,586 | | 31,746 | |
| * | American Axle & Manufacturing Holdings Inc. | 2,918,070 | | 31,398 | |
| | Knoll Inc. | 1,229,146 | | 31,048 | |
| | Inter Parfums Inc. | 417,812 | | 30,379 | |
| ^ | B&G Foods Inc. | 1,647,084 | | 29,532 | |
| * | Central Garden & Pet Co. Class A | 993,565 | | 29,171 | |
| * | Delphi Technologies plc | 2,254,923 | | 28,931 | |
| | Acushnet Holdings Corp. | 886,379 | | 28,807 | |
| | Fresh Del Monte Produce Inc. | 760,691 | | 26,609 | |
| | Callaway Golf Co. | 1,233,286 | | 26,146 | |
| | Seaboard Corp. | 5,973 | | 25,389 | |
| | Interface Inc. Class A | 1,529,042 | | 25,367 | |
| * | Sonos Inc. | 1,574,438 | | 24,593 | |
| | ACCO Brands Corp. | 2,436,156 | | 22,802 | |
| * | USANA Health Sciences Inc. | 285,315 | | 22,412 | |
| * | Cavco Industries Inc. | 111,654 | | 21,815 | |
| * | American Woodmark Corp. | 200,573 | | 20,962 | |
| * | BellRing Brands Inc. Class A | 973,633 | | 20,729 | |
| | Andersons Inc. | 780,055 | | 19,720 | |
| | Sturm Ruger & Co. Inc. | 380,856 | | 17,912 | |
| | Tenneco Inc. Class A | 1,361,533 | | 17,836 | |
| ^ | Medifast Inc. | 144,308 | | 15,813 | |
| *,^ | National Beverage Corp. | 301,476 | | 15,381 | |
| *,^ | GoPro Inc. Class A | 3,116,550 | | 13,526 | |
| * | elf Beauty Inc. | 820,232 | | 13,230 | |
| | National Presto Industries Inc. | 141,813 | | 12,535 | |
| | Ethan Allen Interiors Inc. | 651,797 | | 12,423 | |
| * | Cooper-Standard Holdings Inc. | 363,601 | | 12,057 | |
| ^ | Tootsie Roll Industries Inc. | 320,328 | | 10,936 | |
| | Phibro Animal Health Corp. Class A | 424,475 | | 10,540 | |
| | Movado Group Inc. | 439,751 | | 9,560 | |
| * | Central Garden & Pet Co. | 292,002 | | 9,073 | |
| * | American Outdoor Brands Corp. | 759,599 | | 7,049 | |
| * | Vista Outdoor Inc. | 813,316 | | 6,084 | |
| | Tupperware Brands Corp. | 513,675 | | 4,407 | |
| * | Modine Manufacturing Co. | 540,907 | | 4,165 | |
| * | Fossil Group Inc. | 491,112 | | 3,870 | |
| *,^ | Revlon Inc. Class A | 157,594 | | 3,376 | |
| * | Garrett Motion Inc. | 97,749 | | 977 | |
| | | | | 6,773,165 | |
| Consumer Services (11.3%) | | | | |
| * | Trade Desk Inc. Class A | 996,329 | | 258,826 | |
| * | Liberty Media Corp-Liberty Formula One | 4,830,146 | | 222,018 | |
| * | Bright Horizons Family Solutions Inc. | 1,450,894 | | 218,055 | |
| | Service Corp. International | 4,380,255 | | 201,623 | |
| | Cable One Inc. | 127,961 | | 190,466 | |
| * | Burlington Stores Inc. | 827,142 | | 188,613 | |
| * | Caesars Entertainment Corp. | 13,725,626 | | 186,669 | |
| * | Five Below Inc. | 1,388,554 | | 177,541 | |
| * | IAA Inc. | 3,326,498 | | 156,545 | |
| | Dunkin’ Brands Group Inc. | 2,066,865 | | 156,131 | |
| | Sabre Corp. | 6,827,049 | | 153,199 | |
| * | Planet Fitness Inc. Class A | 2,039,405 | | 152,303 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Performance Food Group Co. | 2,917,641 | | 150,200 | |
| | Wyndham Hotels & Resorts Inc. | 2,367,369 | | 148,694 | |
| | Casey’s General Stores Inc. | 914,150 | | 145,341 | |
| | Williams-Sonoma Inc. | 1,937,118 | | 142,262 | |
| * | JetBlue Airways Corp. | 7,228,141 | | 135,311 | |
| * | Madison Square Garden Co. Class A | 453,419 | | 133,391 | |
| * | ServiceMaster Global Holdings Inc. | 3,378,094 | | 130,597 | |
| ^ | Macy’s Inc. | 7,680,763 | | 130,573 | |
| * | Etsy Inc. | 2,947,232 | | 130,562 | |
| | Nexstar Media Group Inc. Class A | 1,084,860 | | 127,200 | |
| | Vail Resorts Inc. | 511,700 | | 122,721 | |
| | Gap Inc. | 6,935,401 | | 122,618 | |
| | H&R Block Inc. | 5,006,693 | | 117,557 | |
| | Wyndham Destinations Inc. | 2,249,709 | | 116,287 | |
| | Churchill Downs Inc. | 844,800 | | 115,907 | |
| * | Grand Canyon Education Inc. | 1,201,148 | | 115,058 | |
| | Marriott Vacations Worldwide Corp. | 886,531 | | 114,150 | |
| *,^ | GrubHub Inc. | 2,309,571 | | 112,338 | |
| | New York Times Co. Class A | 3,481,639 | | 112,004 | |
| ^ | Nordstrom Inc. | 2,690,869 | | 110,137 | |
| * | Chegg Inc. | 2,901,546 | | 109,998 | |
| | L Brands Inc. | 5,837,345 | | 105,773 | |
| | Foot Locker Inc. | 2,663,749 | | 103,860 | |
| | Dolby Laboratories Inc. Class A | 1,508,623 | | 103,793 | |
| * | Floor & Decor Holdings Inc. Class A | 2,014,948 | | 102,380 | |
| | Wendy’s Co. | 4,581,603 | | 101,757 | |
| * | frontdoor Inc. | 2,110,283 | | 100,070 | |
| * | AutoNation Inc. | 2,040,211 | | 99,215 | |
| | Aaron’s Inc. | 1,674,076 | | 95,606 | |
| | Choice Hotels International Inc. | 923,941 | | 95,563 | |
| *,^ | Eldorado Resorts Inc. | 1,582,946 | | 94,407 | |
| | Texas Roadhouse Inc. Class A | 1,640,751 | | 92,407 | |
| | Cracker Barrel Old Country Store Inc. | 599,163 | | 92,115 | |
| | Six Flags Entertainment Corp. | 2,033,578 | | 91,735 | |
| | TEGNA Inc. | 5,485,270 | | 91,549 | |
| * | Ollie’s Bargain Outlet Holdings Inc. | 1,370,153 | | 89,485 | |
| | Cinemark Holdings Inc. | 2,564,412 | | 86,805 | |
| * | Murphy USA Inc. | 730,778 | | 85,501 | |
| | Strategic Education Inc. | 527,280 | | 83,785 | |
| | TripAdvisor Inc. | 2,754,623 | | 83,685 | |
| | AMERCO | 218,441 | | 82,095 | |
| | Morningstar Inc. | 540,122 | | 81,726 | |
| *,^ | RH | 377,148 | | 80,521 | |
| * | Qurate Retail Group Inc. QVC Group Class A | 9,480,549 | | 79,921 | |
| | Lithia Motors Inc. Class A | 543,554 | | 79,902 | |
| * | LiveRamp Holdings Inc. | 1,626,355 | | 78,179 | |
| * | BJ’s Wholesale Club Holdings Inc. | 3,392,616 | | 77,148 | |
| ^ | World Wrestling Entertainment Inc. Class A | 1,170,936 | | 75,959 | |
| | SkyWest Inc. | 1,156,636 | | 74,753 | |
| | Dick’s Sporting Goods Inc. | 1,502,698 | | 74,369 | |
| * | Hilton Grand Vacations Inc. | 2,119,606 | | 72,893 | |
| * | Spirit Airlines Inc. | 1,759,962 | | 70,944 | |
| * | Penn National Gaming Inc. | 2,696,106 | | 68,912 | |
| | KAR Auction Services Inc. | 3,142,890 | | 68,484 | |
| * | Cargurus Inc. | 1,915,159 | | 67,375 | |
| | Extended Stay America Inc. | 4,431,539 | | 65,853 | |
| | Graham Holdings Co. Class B | 102,638 | | 65,585 | |
| | Wingstop Inc. | 748,779 | | 64,567 | |
| * | National Vision Holdings Inc. | 1,985,373 | | 64,386 | |
| | Monro Inc. | 802,141 | | 62,727 | |
| * | Simply Good Foods Co. | 2,108,721 | | 60,183 | |
| | Boyd Gaming Corp. | 1,997,152 | | 59,795 | |
| | John Wiley & Sons Inc. Class A | 1,220,354 | | 59,212 | |
| *,^ | Carvana Co. Class A | 632,616 | | 58,232 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Hillenbrand Inc. | 1,717,559 | | 57,212 | |
| * | Yelp Inc. Class A | 1,633,694 | | 56,902 | |
| | Allegiant Travel Co. Class A | 323,257 | | 56,260 | |
| * | Sprouts Farmers Market Inc. | 2,880,521 | | 55,738 | |
| | American Eagle Outfitters Inc. | 3,720,139 | | 54,686 | |
| | Sinclair Broadcast Group Inc. Class A | 1,623,266 | | 54,120 | |
| * | Asbury Automotive Group Inc. | 475,776 | | 53,187 | |
| ^ | Bed Bath & Beyond Inc. | 3,047,750 | | 52,726 | |
| * | Sally Beauty Holdings Inc. | 2,876,517 | | 52,496 | |
| * | Laureate Education Inc. Class A | 2,807,258 | | 49,436 | |
| | Bloomin’ Brands Inc. | 2,140,633 | | 47,244 | |
| * | WW International Inc. | 1,189,617 | | 45,455 | |
| | Group 1 Automotive Inc. | 454,098 | | 45,410 | |
| * | Adtalem Global Education Inc. | 1,297,386 | | 45,370 | |
| | Jack in the Box Inc. | 576,979 | | 45,022 | |
| * | Avis Budget Group Inc. | 1,351,774 | | 43,581 | |
| * | AMC Networks Inc. Class A | 1,089,931 | | 43,052 | |
| * | Shake Shack Inc. Class A | 711,066 | | 42,358 | |
| * | Urban Outfitters Inc. | 1,521,256 | | 42,245 | |
| | Red Rock Resorts Inc. Class A | 1,727,765 | | 41,380 | |
| * | SeaWorld Entertainment Inc. | 1,298,626 | | 41,179 | |
| | Brinker International Inc. | 963,235 | | 40,456 | |
| ^ | Cheesecake Factory Inc. | 1,038,439 | | 40,354 | |
| * | Hertz Global Holdings Inc. | 2,542,157 | | 40,039 | |
| | Penske Automotive Group Inc. | 785,525 | | 39,449 | |
| | PriceSmart Inc. | 547,388 | | 38,876 | |
| | Office Depot Inc. | 13,989,484 | | 38,331 | |
| ^ | Papa John’s International Inc. | 589,173 | | 37,206 | |
| * | 2U Inc. | 1,547,359 | | 37,121 | |
| * | Scientific Games Corp. | 1,376,499 | | 36,863 | |
| | Rent-A-Center Inc. | 1,252,596 | | 36,125 | |
| * | Stamps.com Inc. | 414,922 | | 34,654 | |
| | Hawaiian Holdings Inc. | 1,166,504 | | 34,167 | |
| *,^ | Stitch Fix Inc. Class A | 1,279,069 | | 32,821 | |
| | Meredith Corp. | 987,823 | | 32,075 | |
| | Dine Brands Global Inc. | 383,053 | | 31,993 | |
| | Core-Mark Holding Co. Inc. | 1,175,338 | | 31,957 | |
| * | Herc Holdings Inc. | 634,317 | | 31,043 | |
| | Dave & Buster’s Entertainment Inc. | 745,715 | | 29,955 | |
| * | Groupon Inc. Class A | 12,373,152 | | 29,572 | |
| | Matthews International Corp. Class A | 768,507 | | 29,334 | |
| | Signet Jewelers Ltd. | 1,336,058 | | 29,046 | |
| | Big Lots Inc. | 998,729 | | 28,684 | |
| * | Liberty Media Corp-Liberty Formula One Class A | 639,820 | | 28,011 | |
| *,^ | Peloton Interactive Inc. Class A | 961,434 | | 27,305 | |
| * | Lions Gate Entertainment Corp. Class B | 2,742,976 | | 27,238 | |
| | Abercrombie & Fitch Co. | 1,520,729 | | 26,293 | |
| * | Grocery Outlet Holding Corp. | 796,777 | | 25,855 | |
| * | Clear Channel Outdoor Holdings Inc. | 8,817,417 | | 25,218 | |
| | Designer Brands Inc. Class A | 1,466,583 | | 23,084 | |
| ^ | Children’s Place Inc. | 355,881 | | 22,250 | |
| | Caleres Inc. | 913,401 | | 21,693 | |
| | EW Scripps Co. Class A | 1,370,341 | | 21,528 | |
| | Scholastic Corp. | 552,141 | | 21,230 | |
| | Guess? Inc. | 941,900 | | 21,080 | |
| * | K12 Inc. | 1,014,117 | | 20,637 | |
| ^ | Buckle Inc. | 757,503 | | 20,483 | |
| ^ | Rite Aid Corp. | 1,319,738 | | 20,416 | |
| * | Upwork Inc. | 1,910,900 | | 20,389 | |
| * | MSG Networks Inc. | 1,154,894 | | 20,095 | |
| * | Cars.com Inc. | 1,598,908 | | 19,539 | |
| | Gannett Co. Inc. | 2,955,596 | | 18,857 | |
| * | Zumiez Inc. | 536,002 | | 18,514 | |
| ^ | Dillard’s Inc. Class A | 245,783 | | 18,060 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Weis Markets Inc. | 431,655 | | 17,478 | |
| | Sonic Automotive Inc. Class A | 558,045 | | 17,299 | |
| * | Houghton Mifflin Harcourt Co. | 2,710,829 | | 16,943 | |
| * | Quotient Technology Inc. | 1,717,734 | | 16,937 | |
| | BJ’s Restaurants Inc. | 443,448 | | 16,833 | |
| *,^ | Lions Gate Entertainment Corp. Class A | 1,527,416 | | 16,282 | |
| * | Genesco Inc. | 337,889 | | 16,192 | |
| * | Michaels Cos. Inc. | 1,985,206 | | 16,060 | |
| * | ANGI Homeservices Inc. Class A | 1,808,583 | | 15,319 | |
| | National CineMedia Inc. | 1,929,744 | | 14,068 | |
| | Entercom Communications Corp. Class A | 3,029,290 | | 14,056 | |
| * | BrightView Holdings Inc. | 814,771 | | 13,745 | |
| ^ | GameStop Corp. Class A | 2,258,740 | | 13,733 | |
| * | United Natural Foods Inc. | 1,417,055 | | 12,413 | |
| * | TrueCar Inc. | 2,472,088 | | 11,742 | |
| | Chico’s FAS Inc. | 2,969,033 | | 11,312 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 1,511,416 | | 11,109 | |
| * | Regis Corp. | 620,949 | | 11,096 | |
| ^ | AMC Entertainment Holdings Inc. Class A | 1,433,161 | | 10,376 | |
| *,^ | RealReal Inc. | 454,785 | | 8,573 | |
| | Emerald Expositions Events Inc. | 732,133 | | 7,724 | |
| *,^ | Revolve Group Inc. | 367,391 | | 6,745 | |
| * | Diplomat Pharmacy Inc. | 1,592,211 | | 6,369 | |
| * | American Public Education Inc. | 215,346 | | 5,898 | |
| *,^ | Lands’ End Inc. | 312,510 | | 5,250 | |
| * | El Pollo Loco Holdings Inc. | 342,748 | | 5,189 | |
| * | At Home Group Inc. | 560,628 | | 3,083 | |
| *,^ | Party City Holdco Inc. | 1,240,787 | | 2,903 | |
| * | Biglari Holdings Inc. | 1,547 | | 928 | |
| | | | | 10,976,717 | |
| Financials (25.7%) | | | | |
| | Equity LifeStyle Properties Inc. | 4,340,510 | | 305,528 | |
| | Medical Properties Trust Inc. | 12,971,191 | | 273,822 | |
| | Apollo Global Management LLC | 5,011,819 | | 239,114 | |
| | Liberty Property Trust | 3,972,378 | | 238,541 | |
| | Brown & Brown Inc. | 6,030,100 | | 238,068 | |
| | Omega Healthcare Investors Inc. | 5,496,315 | | 232,769 | |
| | National Retail Properties Inc. | 4,324,456 | | 231,877 | |
| | Kilroy Realty Corp. | 2,662,725 | | 223,403 | |
| | VICI Properties Inc. | 8,608,470 | | 219,946 | |
| | Gaming and Leisure Properties Inc. | 5,107,333 | | 219,871 | |
| | RenaissanceRe Holdings Ltd. | 1,108,786 | | 217,344 | |
| | American Financial Group Inc. | 1,823,701 | | 199,969 | |
| | STORE Capital Corp. | 5,332,879 | | 198,596 | |
| | Assurant Inc. | 1,473,264 | | 193,115 | |
| | Apartment Investment & Management Co. | 3,735,808 | | 192,954 | |
| | Lamar Advertising Co. Class A | 2,149,064 | | 191,825 | |
| | LPL Financial Holdings Inc. | 2,024,309 | | 186,743 | |
| | CyrusOne Inc. | 2,825,876 | | 184,897 | |
| | Douglas Emmett Inc. | 4,176,633 | | 183,354 | |
| | TCF Financial Corp. | 3,832,587 | | 179,365 | |
| | Signature Bank | 1,292,029 | | 176,504 | |
| | East West Bancorp Inc. | 3,622,376 | | 176,410 | |
| | Commerce Bancshares Inc. | 2,586,174 | | 175,705 | |
| | Starwood Property Trust Inc. | 6,910,769 | | 171,802 | |
| | American Homes 4 Rent Class A | 6,485,694 | | 169,990 | |
| * | GCI Liberty Inc. Class A | 2,387,546 | | 169,158 | |
| | Americold Realty Trust | 4,795,786 | | 168,140 | |
| | New Residential Investment Corp. | 10,335,763 | | 166,509 | |
| | Prosperity Bancshares Inc. | 2,277,009 | | 163,694 | |
| | Old Republic International Corp. | 7,232,756 | | 161,797 | |
| | Brixmor Property Group Inc. | 7,464,332 | | 161,304 | |
| | American Campus Communities Inc. | 3,429,313 | | 161,281 | |
| | Healthcare Trust of America Inc. Class A | 5,224,116 | | 158,186 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | First American Financial Corp. | 2,685,931 | | 156,643 | |
| | CubeSmart | 4,900,480 | | 154,267 | |
| | Park Hotels & Resorts Inc. | 5,941,422 | | 153,705 | |
| | Cousins Properties Inc. | 3,655,169 | | 150,593 | |
| | Hudson Pacific Properties Inc. | 3,848,782 | | 144,907 | |
| | Popular Inc. | 2,462,214 | | 144,655 | |
| | EPR Properties | 1,976,366 | | 139,610 | |
| | Cullen/Frost Bankers Inc. | 1,406,385 | | 137,516 | |
| | Hanover Insurance Group Inc. | 996,556 | | 136,199 | |
| | Synovus Financial Corp. | 3,468,745 | | 135,975 | |
| | Unum Group | 4,597,780 | | 134,071 | |
| | New York Community Bancorp Inc. | 11,120,706 | | 133,671 | |
| | Primerica Inc. | 1,023,747 | | 133,660 | |
| | First Industrial Realty Trust Inc. | 3,218,962 | | 133,619 | |
| * | Howard Hughes Corp. | 1,043,284 | | 132,288 | |
| | Western Alliance Bancorp | 2,312,462 | | 131,810 | |
| | First Horizon National Corp. | 7,848,912 | | 129,978 | |
| *,^ | Zillow Group Inc. | 2,784,147 | | 127,904 | |
| | Rexford Industrial Realty Inc. | 2,799,009 | | 127,831 | |
| | EastGroup Properties Inc. | 963,229 | | 127,792 | |
| | Eaton Vance Corp. | 2,735,097 | | 127,702 | |
| | Jefferies Financial Group Inc. | 5,960,947 | | 127,385 | |
| | Radian Group Inc. | 5,056,680 | | 127,226 | |
| | JBG SMITH Properties | 3,172,299 | | 126,543 | |
| | Life Storage Inc. | 1,165,805 | | 126,233 | |
| | Highwoods Properties Inc. | 2,573,373 | | 125,864 | |
| ^ | Blackstone Mortgage Trust Inc. Class A | 3,367,911 | | 125,354 | |
| | MGIC Investment Corp. | 8,763,179 | | 124,174 | |
| | Spirit Realty Capital Inc. | 2,505,255 | | 123,208 | |
| | Kemper Corp. | 1,570,362 | | 121,703 | |
| | Webster Financial Corp. | 2,280,119 | | 121,667 | |
| | Essent Group Ltd. | 2,333,618 | | 121,325 | |
| | Axis Capital Holdings Ltd. | 1,995,207 | | 118,595 | |
| | Pinnacle Financial Partners Inc. | 1,821,390 | | 116,569 | |
| | PacWest Bancorp | 3,010,998 | | 115,231 | |
| | Jones Lang LaSalle Inc. | 656,372 | | 114,268 | |
| * | Credit Acceptance Corp. | 256,019 | | 113,245 | |
| | First Financial Bankshares Inc. | 3,209,299 | | 112,646 | |
| | Assured Guaranty Ltd. | 2,278,175 | | 111,676 | |
| | CIT Group Inc. | 2,417,624 | | 110,316 | |
| | Healthcare Realty Trust Inc. | 3,298,855 | | 110,083 | |
| | Valley National Bancorp | 9,602,487 | | 109,948 | |
| | Sterling Bancorp | 5,068,303 | | 106,840 | |
| * | Brighthouse Financial Inc. | 2,714,345 | | 106,484 | |
| | Lazard Ltd. Class A | 2,662,587 | | 106,397 | |
| | Glacier Bancorp Inc. | 2,303,292 | | 105,928 | |
| | CoreSite Realty Corp. | 942,568 | | 105,681 | |
| | FNB Corp. | 8,299,065 | | 105,398 | |
| | Ryman Hospitality Properties Inc. | 1,213,906 | | 105,197 | |
| | Rayonier Inc. | 3,199,126 | | 104,803 | |
| | Erie Indemnity Co. Class A | 630,055 | | 104,589 | |
| | STAG Industrial Inc. | 3,305,156 | | 104,344 | |
| | Sabra Health Care REIT Inc. | 4,847,633 | | 103,448 | |
| | Wintrust Financial Corp. | 1,446,139 | | 102,531 | |
| | Umpqua Holdings Corp. | 5,617,583 | | 99,431 | |
| | Bank of Hawaii Corp. | 1,036,170 | | 98,602 | |
| | Service Properties Trust | 4,043,905 | | 98,388 | |
| | Chimera Investment Corp. | 4,774,591 | | 98,166 | |
| | United Bankshares Inc. | 2,536,252 | | 98,052 | |
| | Affiliated Managers Group Inc. | 1,156,458 | | 97,998 | |
| | Stifel Financial Corp. | 1,612,335 | | 97,788 | |
| | Equity Commonwealth | 2,975,095 | | 97,672 | |
| | IBERIABANK Corp. | 1,304,938 | | 97,649 | |
| | Outfront Media Inc. | 3,630,018 | | 97,357 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| ^ | Macerich Co. | 3,607,971 | | 97,127 | |
| | Janus Henderson Group plc | 3,964,894 | | 96,942 | |
| | Selective Insurance Group Inc. | 1,481,447 | | 96,576 | |
| | RLI Corp. | 1,071,146 | | 96,425 | |
| | Two Harbors Investment Corp. | 6,568,868 | | 96,037 | |
| | People’s United Financial Inc. | 5,676,718 | | 95,937 | |
| | First Hawaiian Inc. | 3,295,002 | | 95,061 | |
| | Weingarten Realty Investors | 3,036,059 | | 94,846 | |
| | Hancock Whitney Corp. | 2,157,502 | | 94,671 | |
| | Community Bank System Inc. | 1,320,807 | | 93,698 | |
| | SLM Corp. | 10,412,262 | | 92,773 | |
| | Bank OZK | 3,035,844 | | 92,608 | |
| | Terreno Realty Corp. | 1,678,653 | | 90,882 | |
| | MFA Financial Inc. | 11,755,461 | | 89,929 | |
| | White Mountains Insurance Group Ltd. | 80,461 | | 89,755 | |
| | Pebblebrook Hotel Trust | 3,345,207 | | 89,685 | |
| | Physicians Realty Trust | 4,733,722 | | 89,657 | |
| | Associated Banc-Corp | 4,020,463 | | 88,611 | |
| | Apple Hospitality REIT Inc. | 5,433,339 | | 88,292 | |
| | BankUnited Inc. | 2,335,166 | | 85,374 | |
| | National Health Investors Inc. | 1,046,196 | | 85,244 | |
| | FirstCash Inc. | 1,002,371 | | 80,821 | |
| | OneMain Holdings Inc. | 1,914,824 | | 80,710 | |
| | Corporate Office Properties Trust | 2,732,679 | | 80,286 | |
| | Sunstone Hotel Investors Inc. | 5,763,397 | | 80,226 | |
| | PS Business Parks Inc. | 484,993 | | 79,961 | |
| | Federated Investors Inc. Class B | 2,433,301 | | 79,301 | |
| | CenterState Bank Corp. | 3,142,728 | | 78,505 | |
| | UMB Financial Corp. | 1,129,222 | | 77,510 | |
| | QTS Realty Trust Inc. Class A | 1,420,016 | | 77,064 | |
| | Old National Bancorp | 4,182,725 | | 76,502 | |
| | Cathay General Bancorp | 1,947,007 | | 74,084 | |
| | Navient Corp. | 5,392,891 | | 73,775 | |
| | CVB Financial Corp. | 3,417,798 | | 73,756 | |
| | Retail Properties of America Inc. | 5,483,986 | | 73,485 | |
| | Independent Bank Corp. | 882,376 | | 73,458 | |
| * | Texas Capital Bancshares Inc. | 1,288,882 | | 73,170 | |
| | Legg Mason Inc. | 2,035,870 | | 73,108 | |
| | Atlantic Union Bankshares Corp. | 1,943,836 | | 72,991 | |
| | BancorpSouth Bank | 2,319,068 | | 72,842 | |
| | Agree Realty Corp. | 1,025,752 | | 71,977 | |
| | RLJ Lodging Trust | 4,033,993 | | 71,482 | |
| | Brandywine Realty Trust | 4,516,102 | | 71,129 | |
| | South State Corp. | 818,055 | | 70,966 | |
| | Columbia Banking System Inc. | 1,739,698 | | 70,780 | |
| | PotlatchDeltic Corp. | 1,628,629 | | 70,471 | |
| | Simmons First National Corp. Class A | 2,623,614 | | 70,287 | |
| | American Equity Investment Life Holding Co. | 2,339,609 | | 70,024 | |
| | Home BancShares Inc. | 3,561,330 | | 70,016 | |
| | Washington Federal Inc. | 1,901,278 | | 69,682 | |
| * | Cannae Holdings Inc. | 1,871,081 | | 69,586 | |
| | Apollo Commercial Real Estate Finance Inc. | 3,803,072 | | 69,558 | |
| | Fulton Financial Corp. | 3,927,931 | | 68,464 | |
| | Ameris Bancorp | 1,608,566 | | 68,428 | |
| | Paramount Group Inc. | 4,884,793 | | 67,996 | |
| | Ares Management Corp. Class A | 1,889,620 | | 67,441 | |
| | Piedmont Office Realty Trust Inc. Class A | 2,990,642 | | 66,512 | |
| | Investors Bancorp Inc. | 5,504,008 | | 65,580 | |
| | CNO Financial Group Inc. | 3,577,090 | | 64,853 | |
| | First Midwest Bancorp Inc. | 2,810,434 | | 64,809 | |
| | Kennedy-Wilson Holdings Inc. | 2,878,822 | | 64,198 | |
| | Lexington Realty Trust Class B | 6,042,164 | | 64,168 | |
| | Empire State Realty Trust Inc. | 4,591,924 | | 64,103 | |
| | BOK Financial Corp. | 730,383 | | 63,835 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | United Community Banks Inc. | 2,039,139 | | 62,969 | |
| | WesBanco Inc. | 1,662,579 | | 62,829 | |
| * | Enstar Group Ltd. | 301,003 | | 62,265 | |
| | First Financial Bancorp | 2,409,613 | | 61,301 | |
| | Evercore Inc. Class A | 817,552 | | 61,120 | |
| | Invesco Mortgage Capital Inc. | 3,663,013 | | 60,989 | |
| | International Bancshares Corp. | 1,401,983 | | 60,383 | |
| | Washington REIT | 2,061,512 | | 60,155 | |
| *,^ | LendingTree Inc. | 197,354 | | 59,885 | |
| | First BanCorp | 5,602,785 | | 59,333 | |
| | Colony Capital Inc. | 12,480,317 | | 59,282 | |
| * | Zillow Group Inc. Class A | 1,294,415 | | 59,207 | |
| | Xenia Hotels & Resorts Inc. | 2,697,945 | | 58,303 | |
| | Columbia Property Trust Inc. | 2,744,331 | | 57,384 | |
| | First Merchants Corp. | 1,367,864 | | 56,889 | |
| * | Genworth Financial Inc. Class A | 12,761,876 | | 56,152 | |
| | Acadia Realty Trust | 2,147,979 | | 55,697 | |
| | SITE Centers Corp. | 3,964,742 | | 55,586 | |
| * | Cushman & Wakefield plc | 2,711,397 | | 55,421 | |
| | First Citizens BancShares Inc. Class A | 103,062 | | 54,851 | |
| | Argo Group International Holdings Ltd. | 831,766 | | 54,689 | |
| | WSFS Financial Corp. | 1,237,727 | | 54,448 | |
| | PennyMac Mortgage Investment Trust | 2,426,239 | | 54,081 | |
| | Cadence BanCorp Class A | 2,935,058 | | 53,213 | |
| | CoreCivic Inc. | 3,038,556 | | 52,810 | |
| | DiamondRock Hospitality Co. | 4,747,140 | | 52,598 | |
| | Urban Edge Properties | 2,711,485 | | 52,006 | |
| | American Assets Trust Inc. | 1,129,232 | | 51,832 | |
| | Houlihan Lokey Inc. Class A | 1,053,758 | | 51,497 | |
| | Newmark Group Inc. Class A | 3,823,870 | | 51,450 | |
| | Senior Housing Properties Trust | 6,061,385 | | 51,158 | |
| | ProAssurance Corp. | 1,378,600 | | 49,823 | |
| | Santander Consumer USA Holdings Inc. | 2,101,518 | | 49,112 | |
| | GEO Group Inc. | 2,946,179 | | 48,936 | |
| | Walker & Dunlop Inc. | 751,598 | | 48,613 | |
| | Banner Corp. | 851,754 | | 48,201 | |
| | Trustmark Corp. | 1,381,095 | | 47,662 | |
| | CareTrust REIT Inc. | 2,285,370 | | 47,147 | |
| | Towne Bank | 1,692,927 | | 47,097 | |
| | Redwood Trust Inc. | 2,843,264 | | 47,028 | |
| | Great Western Bancorp Inc. | 1,349,435 | | 46,879 | |
| | Taubman Centers Inc. | 1,500,789 | | 46,660 | |
| | First Interstate BancSystem Inc. Class A | 1,112,071 | | 46,618 | |
| | Horace Mann Educators Corp. | 1,054,913 | | 46,058 | |
| | Renasant Corp. | 1,287,096 | | 45,589 | |
| | Independent Bank Group Inc. | 821,879 | | 45,565 | |
| | LTC Properties Inc. | 1,016,946 | | 45,529 | |
| | Westamerica Bancorporation | 665,509 | | 45,102 | |
| | Mack-Cali Realty Corp. | 1,944,193 | | 44,969 | |
| | Retail Opportunity Investments Corp. | 2,540,677 | | 44,868 | |
| | ServisFirst Bancshares Inc. | 1,174,847 | | 44,268 | |
| | Global Net Lease Inc. | 2,182,272 | | 44,256 | |
| | Artisan Partners Asset Management Inc. Class A | 1,365,305 | | 44,127 | |
| | Northwest Bancshares Inc. | 2,645,769 | | 43,999 | |
| | BGC Partners Inc. Class A | 7,379,023 | | 43,831 | |
| | NBT Bancorp Inc. | 1,080,288 | | 43,816 | |
| | Pacific Premier Bancorp Inc. | 1,340,196 | | 43,697 | |
| | FGL Holdings | 3,994,345 | | 42,540 | |
| | Kite Realty Group Trust | 2,173,814 | | 42,455 | |
| | Capitol Federal Financial Inc. | 3,068,988 | | 42,137 | |
| | Hope Bancorp Inc. | 2,797,042 | | 41,564 | |
| | Hilltop Holdings Inc. | 1,664,073 | | 41,485 | |
| | Ladder Capital Corp. Class A | 2,280,479 | | 41,140 | |
| * | Axos Financial Inc. | 1,347,584 | | 40,805 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| *,^ | Redfin Corp. | 1,921,050 | | 40,611 | |
| * | PRA Group Inc. | 1,115,285 | | 40,485 | |
| ^ | Broadmark Realty Capital Inc. | 3,172,159 | | 40,445 | |
| | Moelis & Co. Class A | 1,266,333 | | 40,421 | |
| | Office Properties Income Trust | 1,244,333 | | 39,993 | |
| | Clearway Energy Inc. | 1,996,942 | | 39,839 | |
| | S&T Bancorp Inc. | 975,123 | | 39,288 | |
| | National General Holdings Corp. | 1,753,334 | | 38,749 | |
| | Provident Financial Services Inc. | 1,552,944 | | 38,280 | |
| | Industrial Logistics Properties Trust | 1,676,764 | | 37,593 | |
| | Uniti Group Inc. | 4,546,753 | | 37,329 | |
| | Alexander & Baldwin Inc. | 1,779,303 | | 37,294 | |
| | Cohen & Steers Inc. | 589,216 | | 36,979 | |
| ^ | American Finance Trust Inc. | 2,751,854 | | 36,490 | |
| | Universal Health Realty Income Trust | 309,413 | | 36,313 | |
| | Hamilton Lane Inc. Class A | 581,315 | | 34,646 | |
| | Eagle Bancorp Inc. | 710,823 | | 34,567 | |
| ^ | Seritage Growth Properties Class A | 858,024 | | 34,390 | |
| | Safety Insurance Group Inc. | 370,832 | | 34,313 | |
| | Flagstar Bancorp Inc. | 884,572 | | 33,835 | |
| | Berkshire Hills Bancorp Inc. | 1,026,798 | | 33,761 | |
| | Park National Corp. | 323,085 | | 33,077 | |
| | Brookline Bancorp Inc. | 1,974,124 | | 32,494 | |
| | Employers Holdings Inc. | 774,898 | | 32,352 | |
| ^ | Tanger Factory Outlet Centers Inc. | 2,177,105 | | 32,069 | |
| | First Commonwealth Financial Corp. | 2,208,903 | | 32,051 | |
| ^ | Virtu Financial Inc. Class A | 1,975,024 | | 31,581 | |
| | OFG Bancorp | 1,333,113 | | 31,475 | |
| | Mercury General Corp. | 643,895 | | 31,377 | |
| | BancFirst Corp. | 502,036 | | 31,347 | |
| | TPG RE Finance Trust Inc. | 1,532,298 | | 31,060 | |
| | Tompkins Financial Corp. | 334,717 | | 30,627 | |
| | RPT Realty | 1,994,208 | | 29,993 | |
| | Nelnet Inc. Class A | 498,460 | | 29,030 | |
| * | LendingClub Corp. | 2,275,004 | | 28,711 | |
| | Colony Credit Real Estate Inc. | 2,181,183 | | 28,704 | |
| | Kearny Financial Corp. | 2,063,760 | | 28,542 | |
| | City Holding Co. | 346,968 | | 28,434 | |
| | Brookfield Property REIT Inc. Class A | 1,535,004 | | 28,313 | |
| ^ | Realogy Holdings Corp. | 2,911,955 | | 28,188 | |
| | Piper Jaffray Cos. | 352,576 | | 28,185 | |
| * | Green Dot Corp. Class A | 1,195,134 | | 27,847 | |
| | Getty Realty Corp. | 842,653 | | 27,698 | |
| * | Encore Capital Group Inc. | 762,809 | | 26,973 | |
| | Boston Private Financial Holdings Inc. | 2,174,404 | | 26,158 | |
| | Kinsale Capital Group Inc. | 256,872 | | 26,114 | |
| * | Ambac Financial Group Inc. | 1,198,513 | | 25,852 | |
| | TFS Financial Corp. | 1,312,532 | | 25,831 | |
| | Waddell & Reed Financial Inc. Class A | 1,519,827 | | 25,412 | |
| | Granite Point Mortgage Trust Inc. | 1,377,963 | | 25,327 | |
| | American National Insurance Co. | 213,454 | | 25,119 | |
| | National Bank Holdings Corp. Class A | 694,388 | | 24,456 | |
| | United Fire Group Inc. | 554,617 | | 24,253 | |
| | PennyMac Financial Services Inc. | 707,814 | | 24,094 | |
| | Heartland Financial USA Inc. | 460,000 | | 22,880 | |
| | Franklin Street Properties Corp. | 2,646,975 | | 22,658 | |
| | National Storage Affiliates Trust | 655,868 | | 22,050 | |
| | iStar Inc. | 1,517,420 | | 22,018 | |
| | Investors Real Estate Trust | 301,697 | | 21,873 | |
| * | Focus Financial Partners Inc. Class A | 740,039 | | 21,809 | |
| | Central Pacific Financial Corp. | 717,189 | | 21,214 | |
| | Virtus Investment Partners Inc. | 173,338 | | 21,099 | |
| * | Third Point Reinsurance Ltd. | 1,953,546 | | 20,551 | |
| * | Columbia Financial Inc. | 1,207,871 | | 20,461 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market
Value | |
| | | Shares | | ($000 | ) |
| * | Marcus & Millichap Inc. | 542,083 | | 20,193 | |
| | Northfield Bancorp Inc. | 1,122,632 | | 19,040 | |
| | Urstadt Biddle Properties Inc. Class A | 758,374 | | 18,838 | |
| | RMR Group Inc. Class A | 403,615 | | 18,421 | |
| ^ | Washington Prime Group Inc. | 4,940,732 | | 17,984 | |
| | ARMOUR Residential REIT Inc. | 1,000,116 | | 17,872 | |
| | Alexander’s Inc. | 53,373 | | 17,632 | |
| | Saul Centers Inc. | 332,663 | | 17,558 | |
| | National Western Life Group Inc. Class A | 60,056 | | 17,469 | |
| *,^ | St. Joe Co. | 870,356 | | 17,259 | |
| | Dime Community Bancshares Inc. | 818,941 | | 17,108 | |
| | WisdomTree Investments Inc. | 3,517,741 | | 17,026 | |
| | Clearway Energy Inc. Class A | 872,625 | | 16,685 | |
| | New Senior Investment Group Inc. | 2,117,839 | | 16,201 | |
| | FBL Financial Group Inc. Class A | 265,260 | | 15,632 | |
| | Hersha Hospitality Trust Class A | 1,009,277 | | 14,685 | |
| | Capstead Mortgage Corp. | 1,839,934 | | 14,572 | |
| | State Auto Financial Corp. | 469,153 | | 14,553 | |
| * | MBIA Inc. | 1,558,468 | | 14,494 | |
| | Front Yard Residential Corp. | 1,174,526 | | 14,494 | |
| | Retail Value Inc. | 387,378 | | 14,256 | |
| | AG Mortgage Investment Trust Inc. | 887,581 | | 13,687 | |
| | Summit Hotel Properties Inc. | 1,078,268 | | 13,306 | |
| | CorePoint Lodging Inc. | 1,039,859 | | 11,106 | |
| * | Assetmark Financial Holdings Inc. | 381,048 | | 11,058 | |
| *,^ | World Acceptance Corp. | 122,446 | | 10,579 | |
| * | Forestar Group Inc. | 464,432 | | 9,683 | |
| | KKR Real Estate Finance Trust Inc. | 472,125 | | 9,641 | |
| * | Tejon Ranch Co. | 550,314 | | 8,794 | |
| ^ | Pennsylvania REIT | 1,577,822 | | 8,410 | |
| | GAMCO Investors Inc. Class A | 178,316 | | 3,475 | |
| | Associated Capital Group Inc. Class A | 63,799 | | 2,501 | |
| * | Greenlight Capital Re Ltd. Class A | 203,996 | | 2,062 | |
| | Urstadt Biddle Properties Inc. | 58,793 | | 1,168 | |
| | Spirit MTA REIT | 529,410 | | 406 | |
| * | Altisource Portfolio Solutions SA | 1,023 | | 20 | |
| * | Ashford Inc. | 26 | | 1 | |
| | | | | 24,854,215 | |
| Health Care (12.3%) | | | | |
| | STERIS plc | 2,119,010 | | 322,979 | |
| | West Pharmaceutical Services Inc. | 1,849,278 | | 278,002 | |
| | PerkinElmer Inc. | 2,779,106 | | 269,851 | |
| * | Insulet Corp. | 1,546,899 | | 264,829 | |
| * | Neurocrine Biosciences Inc. | 2,299,769 | | 247,202 | |
| * | Sarepta Therapeutics Inc. | 1,769,259 | | 228,305 | |
| * | Molina Healthcare Inc. | 1,567,641 | | 212,713 | |
| | Bio-Techne Corp. | 951,288 | | 208,817 | |
| * | Catalent Inc. | 3,627,751 | | 204,242 | |
| * | Bio-Rad Laboratories Inc. Class A | 532,973 | | 197,216 | |
| * | Ionis Pharmaceuticals Inc. | 3,159,690 | | 190,877 | |
| * | Masimo Corp. | 1,199,999 | | 189,672 | |
| | Hill-Rom Holdings Inc. | 1,658,507 | | 188,290 | |
| * | Charles River Laboratories International Inc. | 1,218,715 | | 186,171 | |
| | Chemed Corp. | 401,037 | | 176,160 | |
| * | PRA Health Sciences Inc. | 1,578,634 | | 175,465 | |
| | Encompass Health Corp. | 2,456,244 | | 170,144 | |
| * | Horizon Therapeutics plc | 4,665,436 | | 168,889 | |
| * | Novocure Ltd. | 1,987,344 | | 167,473 | |
| * | Avantor Inc. | 8,549,856 | | 155,180 | |
| *,^ | Teladoc Health Inc. | 1,826,082 | | 152,880 | |
| * | Medicines Co. | 1,799,159 | | 152,821 | |
| *,^ | Arrowhead Pharmaceuticals Inc. | 2,368,466 | | 150,232 | |
| * | Haemonetics Corp. | 1,257,250 | | 144,458 | |
| * | Amedisys Inc. | 803,339 | | 134,093 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Exelixis Inc. | 7,563,523 | | 133,269 | |
| * | HealthEquity Inc. | 1,754,612 | | 129,964 | |
| * | Penumbra Inc. | 790,824 | | 129,909 | |
| | Bruker Corp. | 2,499,430 | | 127,396 | |
| * | Syneos Health Inc. | 2,100,923 | | 124,952 | |
| * | ACADIA Pharmaceuticals Inc. | 2,885,175 | | 123,428 | |
| * | Reata Pharmaceuticals Inc. Class A | 586,459 | | 119,890 | |
| * | Envista Holdings Corp. | 3,982,502 | | 118,041 | |
| * | Globus Medical Inc. | 1,940,393 | | 114,250 | |
| * | Global Blood Therapeutics Inc. | 1,421,082 | | 112,962 | |
| * | Repligen Corp. | 1,182,336 | | 109,366 | |
| * | Mirati Therapeutics Inc. | 842,320 | | 108,541 | |
| * | Integra LifeSciences Holdings Corp. | 1,800,177 | | 104,914 | |
| * | NuVasive Inc. | 1,295,907 | | 100,225 | |
| * | Tenet Healthcare Corp. | 2,617,121 | | 99,529 | |
| *,^ | Moderna Inc. | 5,026,525 | | 98,319 | |
| * | LHC Group Inc. | 703,226 | | 96,876 | |
| * | Wright Medical Group NV | 3,143,375 | | 95,810 | |
| * | Nektar Therapeutics Class A | 4,429,304 | | 95,607 | |
| * | Sage Therapeutics Inc. | 1,312,037 | | 94,716 | |
| * | Blueprint Medicines Corp. | 1,180,916 | | 94,603 | |
| * | ICU Medical Inc. | 501,199 | | 93,784 | |
| * | United Therapeutics Corp. | 1,062,508 | | 93,586 | |
| * | Immunomedics Inc. | 4,375,902 | | 92,594 | |
| * | Guardant Health Inc. | 1,171,705 | | 91,557 | |
| * | Nevro Corp. | 737,927 | | 86,736 | |
| * | Neogen Corp. | 1,328,134 | | 86,674 | |
| * | Omnicell Inc. | 1,059,371 | | 86,572 | |
| * | Tandem Diabetes Care Inc. | 1,413,165 | | 84,239 | |
| * | Bluebird Bio Inc. | 955,550 | | 83,850 | |
| * | Alkermes plc | 4,014,730 | | 81,900 | |
| | CONMED Corp. | 715,565 | | 80,022 | |
| * | Iovance Biotherapeutics Inc. | 2,846,462 | | 78,790 | |
| * | FibroGen Inc. | 1,829,807 | | 78,480 | |
| * | Intercept Pharmaceuticals Inc. | 621,480 | | 77,014 | |
| * | MyoKardia Inc. | 1,050,828 | | 76,590 | |
| * | Acadia Healthcare Co. Inc. | 2,272,742 | | 75,500 | |
| * | Agios Pharmaceuticals Inc. | 1,553,043 | | 74,158 | |
| * | NeoGenomics Inc. | 2,459,129 | | 71,930 | |
| * | Quidel Corp. | 946,904 | | 71,046 | |
| * | PTC Therapeutics Inc. | 1,437,914 | | 69,063 | |
| * | HMS Holdings Corp. | 2,235,144 | | 66,160 | |
| * | Select Medical Holdings Corp. | 2,776,034 | | 64,793 | |
| | Cantel Medical Corp. | 909,677 | | 64,496 | |
| *,^ | Allakos Inc. | 670,777 | | 63,965 | |
| * | Amicus Therapeutics Inc. | 6,534,481 | | 63,646 | |
| * | Halozyme Therapeutics Inc. | 3,586,530 | | 63,589 | |
| * | Emergent BioSolutions Inc. | 1,113,111 | | 60,052 | |
| | Ensign Group Inc. | 1,299,710 | | 58,968 | |
| * | Natera Inc. | 1,732,238 | | 58,359 | |
| * | Acceleron Pharma Inc. | 1,096,939 | | 58,160 | |
| * | Medpace Holdings Inc. | 688,777 | | 57,899 | |
| * | Momenta Pharmaceuticals Inc. | 2,873,868 | | 56,701 | |
| * | Arena Pharmaceuticals Inc. | 1,225,136 | | 55,646 | |
| * | Glaukos Corp. | 1,009,814 | | 55,005 | |
| * | Ultragenyx Pharmaceutical Inc. | 1,263,791 | | 53,977 | |
| * | MEDNAX Inc. | 1,927,952 | | 53,578 | |
| * | Prestige Consumer Healthcare Inc. | 1,285,200 | | 52,051 | |
| * | Insmed Inc. | 2,177,288 | | 51,994 | |
| * | Heron Therapeutics Inc. | 2,168,671 | | 50,964 | |
| * | Ironwood Pharmaceuticals Inc. Class A | 3,801,014 | | 50,591 | |
| * | Myriad Genetics Inc. | 1,746,849 | | 47,567 | |
| | Healthcare Services Group Inc. | 1,904,966 | | 46,329 | |
| * | iRhythm Technologies Inc. | 674,106 | | 45,900 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Patterson Cos. Inc. | 2,214,013 | | 45,343 | |
| * | Portola Pharmaceuticals Inc. | 1,868,112 | | 44,611 | |
| * | Xencor Inc. | 1,296,373 | | 44,582 | |
| * | Magellan Health Inc. | 567,053 | | 44,372 | |
| * | Epizyme Inc. | 1,783,788 | | 43,881 | |
| * | Pacira BioSciences Inc. | 960,455 | | 43,509 | |
| *,^ | Ligand Pharmaceuticals Inc. | 409,029 | | 42,658 | |
| * | Merit Medical Systems Inc. | 1,338,153 | | 41,777 | |
| * | Avanos Medical Inc. | 1,229,465 | | 41,433 | |
| *,^ | Intra-Cellular Therapies Inc. | 1,186,518 | | 40,709 | |
| * | Editas Medicine Inc. | 1,219,904 | | 36,121 | |
| * | Aimmune Therapeutics Inc. | 1,074,013 | | 35,947 | |
| * | BioTelemetry Inc. | 773,842 | | 35,829 | |
| * | Turning Point Therapeutics Inc. | 558,847 | | 34,811 | |
| * | REGENXBIO Inc. | 808,466 | | 33,123 | |
| * | Inogen Inc. | 477,314 | | 32,615 | |
| * | Brookdale Senior Living Inc. | 4,415,362 | | 32,100 | |
| * | Audentes Therapeutics Inc. | 527,901 | | 31,590 | |
| * | Corcept Therapeutics Inc. | 2,582,766 | | 31,251 | |
| * | Supernus Pharmaceuticals Inc. | 1,301,070 | | 30,861 | |
| *,^ | Denali Therapeutics Inc. | 1,738,390 | | 30,283 | |
| * | Varex Imaging Corp. | 990,479 | | 29,526 | |
| * | Zogenix Inc. | 557,047 | | 29,039 | |
| *,^ | Aerie Pharmaceuticals Inc. | 1,186,041 | | 28,667 | |
| *,^ | Theravance Biopharma Inc. | 1,097,952 | | 28,426 | |
| *,^ | Allogene Therapeutics Inc. | 1,031,797 | | 26,806 | |
| * | Deciphera Pharmaceuticals Inc. | 406,563 | | 25,304 | |
| * | Endo International plc | 5,176,786 | | 24,279 | |
| * | Radius Health Inc. | 1,197,730 | | 24,146 | |
| | National HealthCare Corp. | 279,242 | | 24,135 | |
| * | Tricida Inc. | 623,766 | | 23,541 | |
| * | 10X Genomics Inc. Class A | 303,041 | | 23,107 | |
| * | Kodiak Sciences Inc. | 319,682 | | 23,001 | |
| * | Innoviva Inc. | 1,604,597 | | 22,721 | |
| | Luminex Corp. | 953,914 | | 22,093 | |
| * | Orthofix Medical Inc. | 474,456 | | 21,910 | |
| * | CorVel Corp. | 244,767 | | 21,383 | |
| *,^ | Change Healthcare Inc. | 1,297,961 | | 21,274 | |
| * | Shockwave Medical Inc. | 483,927 | | 21,254 | |
| * | Pennant Group Inc. | 638,976 | | 21,131 | |
| *,^ | Bridgebio Pharma Inc. | 602,005 | | 21,100 | |
| * | Tivity Health Inc. | 1,030,992 | | 20,976 | |
| * | Achillion Pharmaceuticals Inc. | 3,363,268 | | 20,280 | |
| *,^ | Esperion Therapeutics Inc. | 337,671 | | 20,135 | |
| * | STAAR Surgical Co. | 538,049 | | 18,923 | |
| * | HealthStream Inc. | 688,152 | | 18,718 | |
| * | Madrigal Pharmaceuticals Inc. | 200,787 | | 18,294 | |
| * | Silk Road Medical Inc. | 438,020 | | 17,687 | |
| * | Gossamer Bio Inc. | 1,041,390 | | 16,277 | |
| *,^ | OPKO Health Inc. | 10,537,778 | | 15,491 | |
| *,^ | Adaptive Biotechnologies Corp. | 482,100 | | 14,424 | |
| *,^ | Intellia Therapeutics Inc. | 982,747 | | 14,417 | |
| * | Amneal Pharmaceuticals Inc. | 2,763,030 | | 13,318 | |
| *,^ | SmileDirectClub Inc. | 1,482,669 | | 12,959 | |
| * | Sangamo Therapeutics Inc. | 1,537,724 | | 12,871 | |
| *,^ | Alector Inc. | 734,985 | | 12,664 | |
| | Meridian Bioscience Inc. | 1,146,568 | | 11,202 | |
| * | Natus Medical Inc. | 337,839 | | 11,145 | |
| * | Atara Biotherapeutics Inc. | 661,221 | | 10,890 | |
| *,^ | ZIOPHARM Oncology Inc. | 2,176,355 | | 10,272 | |
| * | Spectrum Pharmaceuticals Inc. | 2,790,563 | | 10,158 | |
| * | G1 Therapeutics Inc. | 359,850 | | 9,511 | |
| *,^ | Intrexon Corp. | 1,705,823 | | 9,348 | |
| * | AnaptysBio Inc. | 543,082 | | 8,825 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| *,^ | Rubius Therapeutics Inc. | 878,345 | | 8,344 | |
| * | Progyny Inc. | 279,362 | | 7,668 | |
| *,^ | TherapeuticsMD Inc. | 3,009,704 | | 7,283 | |
| * | Option Care Health Inc. | 1,934,161 | | 7,214 | |
| *,^ | Clovis Oncology Inc. | 672,479 | | 7,011 | |
| * | Stoke Therapeutics Inc. | 216,809 | | 6,140 | |
| *,^ | Akcea Therapeutics Inc. | 307,414 | | 5,208 | |
| | Owens & Minor Inc. | 824,497 | | 4,263 | |
| * | Kiniksa Pharmaceuticals Ltd. Class A | 368,377 | | 4,074 | |
| * | Surgery Partners Inc. | 259,555 | | 4,063 | |
| * | Puma Biotechnology Inc. | 349,822 | | 3,061 | |
| *,^ | Lexicon Pharmaceuticals Inc. | 602,452 | | 2,500 | |
| * | Akorn Inc. | 1,282,250 | | 1,923 | |
| *,^ | Vir Biotechnology Inc. | 43,666 | | 549 | |
| ^,§ | Synergy Pharmaceuticals Inc. | 2,001,166 | | 13 | |
| | | | | 11,882,351 | |
| Industrials (20.7%) | | | | |
| * | Zebra Technologies Corp. | 1,347,658 | | 344,246 | |
| | IDEX Corp. | 1,906,211 | | 327,868 | |
| * | Teledyne Technologies Inc. | 914,947 | | 317,066 | |
| | Allegion plc | 2,328,901 | | 290,041 | |
| * | Fair Isaac Corp. | 687,305 | | 257,519 | |
| | Booz Allen Hamilton Holding Corp. Class A | 3,515,076 | | 250,027 | |
| | Carlisle Cos. Inc. | 1,412,888 | | 228,662 | |
| * | WEX Inc. | 1,077,530 | | 225,699 | |
| | Lennox International Inc. | 913,464 | | 222,858 | |
| | Universal Display Corp. | 1,062,814 | | 219,014 | |
| | Graco Inc. | 4,159,282 | | 216,283 | |
| | Toro Co. | 2,672,265 | | 212,899 | |
| | Nordson Corp. | 1,287,856 | | 209,714 | |
| * | Euronet Worldwide Inc. | 1,282,519 | | 202,074 | |
| | Genpact Ltd. | 4,748,364 | | 200,238 | |
| | Spirit AeroSystems Holdings Inc. Class A | 2,585,256 | | 188,413 | |
| | AptarGroup Inc. | 1,607,413 | | 185,849 | |
| | Donaldson Co. Inc. | 3,134,465 | | 180,608 | |
| | Owens Corning | 2,716,156 | | 176,876 | |
| | Woodward Inc. | 1,469,982 | | 174,105 | |
| * | Arrow Electronics Inc. | 2,014,983 | | 170,750 | |
| * | HD Supply Holdings Inc. | 4,157,635 | | 167,220 | |
| | ITT Inc. | 2,177,144 | | 160,913 | |
| | Flowserve Corp. | 3,233,063 | | 160,910 | |
| | Oshkosh Corp. | 1,695,815 | | 160,509 | |
| * | AECOM | 3,706,766 | | 159,873 | |
| * | Generac Holdings Inc. | 1,563,469 | | 157,269 | |
| * | Berry Global Group Inc. | 3,295,210 | | 156,489 | |
| | Sonoco Products Co. | 2,504,522 | | 154,579 | |
| | Hexcel Corp. | 2,103,785 | | 154,228 | |
| | Sealed Air Corp. | 3,856,831 | | 153,618 | |
| | MDU Resources Group Inc. | 5,070,233 | | 150,637 | |
| | Curtiss-Wright Corp. | 1,063,210 | | 149,796 | |
| | BWX Technologies Inc. | 2,376,417 | | 147,528 | |
| | Watsco Inc. | 817,436 | | 147,261 | |
| | Lincoln Electric Holdings Inc. | 1,512,124 | | 146,268 | |
| * | Stericycle Inc. | 2,266,805 | | 144,645 | |
| | Quanta Services Inc. | 3,551,046 | | 144,563 | |
| | ManpowerGroup Inc. | 1,478,162 | | 143,530 | |
| | Jack Henry & Associates Inc. | 978,444 | | 142,530 | |
| | Jabil Inc. | 3,423,616 | | 141,498 | |
| | Allison Transmission Holdings Inc. | 2,815,590 | | 136,049 | |
| | Acuity Brands Inc. | 985,448 | | 135,992 | |
| * | Trex Co. Inc. | 1,452,461 | | 130,547 | |
| | National Instruments Corp. | 3,080,882 | | 130,445 | |
| | Air Lease Corp. Class A | 2,687,211 | | 127,696 | |
| * | Kirby Corp. | 1,417,930 | | 126,947 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Gardner Denver Holdings Inc. | 3,359,506 | | 123,227 | |
| | Alliance Data Systems Corp. | 1,089,874 | | 122,284 | |
| | MAXIMUS Inc. | 1,627,904 | | 121,100 | |
| | Graphic Packaging Holding Co. | 7,266,205 | | 120,982 | |
| | EMCOR Group Inc. | 1,392,960 | | 120,212 | |
| | Tetra Tech Inc. | 1,354,065 | | 116,666 | |
| | AGCO Corp. | 1,497,992 | | 115,720 | |
| | Armstrong World Industries Inc. | 1,206,553 | | 113,380 | |
| | Cognex Corp. | 2,002,323 | | 112,210 | |
| | Brink’s Co. | 1,234,200 | | 111,917 | |
| | Landstar System Inc. | 976,503 | | 111,194 | |
| | MSA Safety Inc. | 860,911 | | 108,785 | |
| | Littelfuse Inc. | 567,774 | | 108,615 | |
| | Crane Co. | 1,255,675 | | 108,465 | |
| * | Axon Enterprise Inc. | 1,479,546 | | 108,421 | |
| | KBR Inc. | 3,527,608 | | 107,592 | |
| * | Clean Harbors Inc. | 1,246,049 | | 106,849 | |
| | Knight-Swift Transportation Holdings Inc. | 2,961,373 | | 106,136 | |
| | Avnet Inc. | 2,497,116 | | 105,978 | |
| * | FTI Consulting Inc. | 950,874 | | 105,224 | |
| * | Paylocity Holding Corp. | 864,105 | | 104,401 | |
| * | Coherent Inc. | 611,318 | | 101,693 | |
| * | MasTec Inc. | 1,521,673 | | 97,631 | |
| | Pentair plc | 2,127,360 | | 97,582 | |
| | nVent Electric plc | 3,775,482 | | 96,577 | |
| * | Mercury Systems Inc. | 1,381,828 | | 95,498 | |
| * | RBC Bearings Inc. | 601,299 | | 95,210 | |
| * | SiteOne Landscape Supply Inc. | 1,041,915 | | 94,450 | |
| | Timken Co. | 1,666,080 | | 93,817 | |
| | Eagle Materials Inc. | 1,034,580 | | 93,795 | |
| * | XPO Logistics Inc. | 1,143,171 | | 91,111 | |
| | MSC Industrial Direct Co. Inc. Class A | 1,151,217 | | 90,336 | |
| | Exponent Inc. | 1,289,311 | | 88,975 | |
| | Robert Half International Inc. | 1,395,783 | | 88,144 | |
| * | ASGN Inc. | 1,240,916 | | 88,068 | |
| | John Bean Technologies Corp. | 779,625 | | 87,833 | |
| * | TopBuild Corp. | 846,811 | | 87,289 | |
| | Louisiana-Pacific Corp. | 2,920,916 | | 86,664 | |
| | FLIR Systems Inc. | 1,662,892 | | 86,587 | |
| | Regal Beloit Corp. | 1,002,260 | | 85,803 | |
| * | CoreLogic Inc. | 1,957,613 | | 85,567 | |
| * | Rexnord Corp. | 2,578,283 | | 84,104 | |
| * | Colfax Corp. | 2,253,330 | | 81,976 | |
| * | Aerojet Rocketdyne Holdings Inc. | 1,791,667 | | 81,807 | |
| | Insperity Inc. | 944,536 | | 81,268 | |
| | AO Smith Corp. | 1,690,073 | | 80,515 | |
| | Macquarie Infrastructure Corp. | 1,875,016 | | 80,326 | |
| * | Itron Inc. | 949,310 | | 79,695 | |
| | Simpson Manufacturing Co. Inc. | 985,902 | | 79,099 | |
| | Valmont Industries Inc. | 526,455 | | 78,852 | |
| | EnerSys | 1,031,500 | | 77,187 | |
| | UniFirst Corp. | 379,670 | | 76,686 | |
| | Barnes Group Inc. | 1,234,786 | | 76,507 | |
| | Tradeweb Markets Inc. Class A | 1,633,322 | | 75,704 | |
| | Kennametal Inc. | 2,049,989 | | 75,624 | |
| | Ryder System Inc. | 1,369,879 | | 74,398 | |
| * | Builders FirstSource Inc. | 2,925,902 | | 74,347 | |
| * | II-VI Inc. | 2,203,100 | | 74,178 | |
| * | Novanta Inc. | 816,599 | | 72,220 | |
| | Vishay Intertechnology Inc. | 3,389,948 | | 72,172 | |
| * | AMN Healthcare Services Inc. | 1,141,963 | | 71,156 | |
| | Watts Water Technologies Inc. Class A | 707,956 | | 70,626 | |
| | Universal Forest Products Inc. | 1,480,604 | | 70,625 | |
| | GATX Corp. | 840,628 | | 69,646 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | World Fuel Services Corp. | 1,586,559 | | 68,888 | |
| * | Anixter International Inc. | 734,841 | | 67,679 | |
| * | Summit Materials Inc. Class A | 2,831,505 | | 67,673 | |
| * | Integer Holdings Corp. | 836,672 | | 67,293 | |
| | Moog Inc. Class A | 786,654 | | 67,125 | |
| | Applied Industrial Technologies Inc. | 993,290 | | 66,242 | |
| | Brady Corp. Class A | 1,144,955 | | 65,560 | |
| | ABM Industries Inc. | 1,707,848 | | 64,403 | |
| * | Allegheny Technologies Inc. | 3,101,689 | | 64,081 | |
| | Belden Inc. | 1,162,192 | | 63,921 | |
| | Fluor Corp. | 3,379,298 | | 63,801 | |
| * | Proto Labs Inc. | 612,738 | | 62,224 | |
| | Silgan Holdings Inc. | 1,990,887 | | 61,877 | |
| | Altra Industrial Motion Corp. | 1,656,466 | | 59,981 | |
| * | Saia Inc. | 639,438 | | 59,544 | |
| * | WESCO International Inc. | 995,907 | | 59,147 | |
| | Albany International Corp. Class A | 779,020 | | 59,143 | |
| * | Advanced Disposal Services Inc. | 1,796,683 | | 59,057 | |
| * | TriNet Group Inc. | 1,039,646 | | 58,854 | |
| * | Rogers Corp. | 470,553 | | 58,692 | |
| | ESCO Technologies Inc. | 632,654 | | 58,520 | |
| * | Sanmina Corp. | 1,706,396 | | 58,427 | |
| | Franklin Electric Co. Inc. | 1,008,260 | | 57,793 | |
| * | Plexus Corp. | 749,645 | | 57,678 | |
| * | ExlService Holdings Inc. | 828,964 | | 57,580 | |
| | Korn Ferry | 1,347,768 | | 57,145 | |
| * | Beacon Roofing Supply Inc. | 1,751,822 | | 56,023 | |
| * | SPX Corp. | 1,077,472 | | 54,822 | |
| | ManTech International Corp. Class A | 683,732 | | 54,616 | |
| * | SPX FLOW Inc. | 1,085,320 | | 53,040 | |
| * | Cimpress NV | 413,570 | | 52,015 | |
| | Otter Tail Corp. | 1,013,497 | | 51,982 | |
| | Terex Corp. | 1,740,222 | | 51,824 | |
| | Deluxe Corp. | 1,015,663 | | 50,702 | |
| | Forward Air Corp. | 723,433 | | 50,604 | |
| | AAON Inc. | 1,019,790 | | 50,388 | |
| | EVERTEC Inc. | 1,458,203 | | 49,637 | |
| | Cubic Corp. | 762,812 | | 48,492 | |
| * | Ambarella Inc. | 800,654 | | 48,488 | |
| | Trinity Industries Inc. | 2,185,365 | | 48,406 | |
| * | Atkore International Group Inc. | 1,196,151 | | 48,396 | |
| | Mueller Water Products Inc. Class A | 4,028,450 | | 48,261 | |
| | Badger Meter Inc. | 739,751 | | 48,032 | |
| | O-I Glass Inc. | 4,026,019 | | 48,030 | |
| | Triton International Ltd. | 1,192,652 | | 47,945 | |
| | Kaman Corp. | 721,086 | | 47,534 | |
| | McGrath RentCorp | 616,426 | | 47,181 | |
| * | Knowles Corp. | 2,221,474 | | 46,984 | |
| * | Masonite International Corp. | 644,990 | | 46,575 | |
| | Covanta Holding Corp. | 3,054,964 | | 45,336 | |
| *,^ | Verra Mobility Corp. Class A | 3,223,969 | | 45,103 | |
| | Comfort Systems USA Inc. | 903,564 | | 45,043 | |
| * | OSI Systems Inc. | 445,349 | | 44,864 | |
| | Matson Inc. | 1,099,217 | | 44,848 | |
| | Mueller Industries Inc. | 1,391,947 | | 44,194 | |
| * | Harsco Corp. | 1,900,591 | | 43,733 | |
| | Mobile Mini Inc. | 1,138,971 | | 43,178 | |
| | Aircastle Ltd. | 1,330,608 | | 42,593 | |
| | Werner Enterprises Inc. | 1,162,981 | | 42,321 | |
| * | Hub Group Inc. Class A | 816,085 | | 41,857 | |
| | Advanced Drainage Systems Inc. | 1,062,656 | | 41,274 | |
| * | Cardtronics plc Class A | 900,314 | | 40,199 | |
| * | Huron Consulting Group Inc. | 580,685 | | 39,905 | |
| * | JELD-WEN Holding Inc. | 1,672,642 | | 39,157 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | AAR Corp. | 855,991 | | 38,605 | |
| * | Resideo Technologies Inc. | 3,158,095 | | 37,676 | |
| * | Sykes Enterprises Inc. | 998,375 | | 36,930 | |
| * | TTM Technologies Inc. | 2,447,599 | | 36,836 | |
| * | Navistar International Corp. | 1,264,838 | | 36,604 | |
| | Actuant Corp. Class A | 1,405,609 | | 36,588 | |
| * | Dycom Industries Inc. | 775,916 | | 36,584 | |
| | Boise Cascade Co. | 995,847 | | 36,378 | |
| * | Pluralsight Inc. Class A | 2,094,866 | | 36,053 | |
| | EnPro Industries Inc. | 534,478 | | 35,746 | |
| | Methode Electronics Inc. | 903,460 | | 35,551 | |
| * | Installed Building Products Inc. | 507,580 | | 34,957 | |
| | Rush Enterprises Inc. Class A | 741,034 | | 34,458 | |
| | Helios Technologies Inc. | 742,541 | | 34,328 | |
| | Tennant Co. | 440,057 | | 34,289 | |
| * | Inovalon Holdings Inc. Class A | 1,818,265 | | 34,220 | |
| * | AeroVironment Inc. | 552,382 | | 34,104 | |
| * | Air Transport Services Group Inc. | 1,451,026 | | 34,041 | |
| ^ | Granite Construction Inc. | 1,217,916 | | 33,700 | |
| | Benchmark Electronics Inc. | 964,318 | | 33,134 | |
| * | TriMas Corp. | 1,034,329 | | 32,488 | |
| | Raven Industries Inc. | 934,883 | | 32,216 | |
| * | Livent Corp. | 3,727,352 | | 31,869 | |
| * | MACOM Technology Solutions Holdings Inc. | 1,179,637 | | 31,378 | |
| | AZZ Inc. | 681,940 | | 31,335 | |
| * | Fabrinet | 478,422 | | 31,021 | |
| * | Continental Building Products Inc. | 840,513 | | 30,620 | |
| | Triumph Group Inc. | 1,197,224 | | 30,254 | |
| | Encore Wire Corp. | 517,950 | | 29,730 | |
| | Greif Inc. Class A | 651,125 | | 28,780 | |
| | Schneider National Inc. Class B | 1,309,429 | | 28,572 | |
| | H&E Equipment Services Inc. | 841,827 | | 28,142 | |
| | Greenbrier Cos. Inc. | 852,102 | | 27,634 | |
| * | GMS Inc. | 1,010,323 | | 27,360 | |
| * | Conduent Inc. | 4,377,047 | | 27,138 | |
| | AVX Corp. | 1,320,464 | | 27,030 | |
| | Lindsay Corp. | 279,162 | | 26,797 | |
| | Primoris Services Corp. | 1,169,366 | | 26,007 | |
| | Standex International Corp. | 326,535 | | 25,911 | |
| | Heartland Express Inc. | 1,184,195 | | 24,927 | |
| | MTS Systems Corp. | 502,859 | | 24,152 | |
| ^ | Maxar Technologies Inc. | 1,513,671 | | 23,719 | |
| * | CIRCOR International Inc. | 506,337 | | 23,413 | |
| * | Kratos Defense & Security Solutions Inc. | 1,290,625 | | 23,244 | |
| * | Evo Payments Inc. Class A | 877,234 | | 23,168 | |
| * | Thermon Group Holdings Inc. | 862,535 | | 23,116 | |
| ^ | ADT Inc. | 2,876,265 | | 22,809 | |
| | Apogee Enterprises Inc. | 660,276 | | 21,459 | |
| * | TrueBlue Inc. | 889,587 | | 21,403 | |
| * | Parsons Corp. | 511,995 | | 21,135 | |
| | Griffon Corp. | 1,029,943 | | 20,939 | |
| | Astec Industries Inc. | 485,911 | | 20,408 | |
| | Wabash National Corp. | 1,366,171 | | 20,069 | |
| * | FARO Technologies Inc. | 386,470 | | 19,459 | |
| | Kforce Inc. | 482,047 | | 19,137 | |
| * | SEACOR Holdings Inc. | 443,148 | | 19,122 | |
| * | Atlas Air Worldwide Holdings Inc. | 686,789 | | 18,935 | |
| | TTEC Holdings Inc. | 474,887 | | 18,815 | |
| * | Veeco Instruments Inc. | 1,236,675 | | 18,161 | |
| | ArcBest Corp. | 645,861 | | 17,826 | |
| * | Aegion Corp. Class A | 784,896 | | 17,558 | |
| * | Evolent Health Inc. Class A | 1,937,500 | | 17,534 | |
| * | Wesco Aircraft Holdings Inc. | 1,532,667 | | 16,890 | |
| | Gorman-Rupp Co. | 450,017 | | 16,876 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Manitowoc Co. Inc. | 947,922 | | 16,589 | |
| | Kelly Services Inc. Class A | 733,375 | | 16,560 | |
| *,^ | Virgin Galactic Holdings Inc. | 1,369,800 | | 15,821 | |
| * | Gates Industrial Corp. plc | 1,140,209 | | 15,689 | |
| | Hyster-Yale Materials Handling Inc. | 256,873 | | 15,145 | |
| * | Tutor Perini Corp. | 1,076,094 | | 13,839 | |
| | Resources Connection Inc. | 824,702 | | 13,467 | |
| * | Team Inc. | 781,182 | | 12,475 | |
| *,^ | GreenSky Inc. Class A | 1,380,493 | | 12,286 | |
| | Quanex Building Products Corp. | 685,459 | | 11,708 | |
| * | Vicor Corp. | 246,624 | | 11,522 | |
| * | International Seaways Inc. | 343,785 | | 10,231 | |
| * | Bill.Com Holdings Inc. | 266,439 | | 10,138 | |
| * | Astronics Corp. | 313,083 | | 8,751 | |
| | Greif Inc. Class B | 167,034 | | 8,647 | |
| | REV Group Inc. | 646,944 | | 7,912 | |
| * | Mistras Group Inc. | 502,914 | | 7,177 | |
| | Rush Enterprises Inc. Class B | 115,255 | | 5,267 | |
| * | Donnelley Financial Solutions Inc. | 287,161 | | 3,007 | |
| | Quad/Graphics Inc. | 190,189 | | 888 | |
| * | Dorian LPG Ltd. | 20 | | — | |
| | | | | 19,985,422 | |
| Oil & Gas (2.7%) | | | | |
| * | WPX Energy Inc. | 10,327,071 | | 141,894 | |
| | Cimarex Energy Co. | 2,511,520 | | 131,830 | |
| | Parsley Energy Inc. Class A | 6,623,611 | | 125,252 | |
| | Helmerich & Payne Inc. | 2,540,093 | | 115,396 | |
| * | First Solar Inc. | 1,844,041 | | 103,193 | |
| * | Transocean Ltd. | 14,631,126 | | 100,662 | |
| | Murphy Oil Corp. | 3,689,398 | | 98,876 | |
| | Cabot Oil & Gas Corp. | 5,061,685 | | 88,124 | |
| | PBF Energy Inc. Class A | 2,592,066 | | 81,313 | |
| | EQT Corp. | 6,579,351 | | 71,715 | |
| | Equitrans Midstream Corp. | 5,232,938 | | 69,912 | |
| * | Apergy Corp. | 1,997,396 | | 67,472 | |
| * | Chart Industries Inc. | 916,122 | | 61,829 | |
| | Delek US Holdings Inc. | 1,829,796 | | 61,353 | |
| *,^ | Enphase Energy Inc. | 2,141,687 | | 55,962 | |
| | Arcosa Inc. | 1,233,558 | | 54,955 | |
| ^ | Antero Midstream Corp. | 7,094,554 | | 53,848 | |
| * | Matador Resources Co. | 2,887,977 | | 51,897 | |
| * | Callon Petroleum Co. | 9,820,916 | | 47,435 | |
| | Patterson-UTI Energy Inc. | 4,424,517 | | 46,457 | |
| * | Dril-Quip Inc. | 939,575 | | 44,075 | |
| | Core Laboratories NV | 1,146,348 | | 43,183 | |
| *,^ | Chesapeake Energy Corp. | 48,417,628 | | 39,974 | |
| * | PDC Energy Inc. | 1,499,533 | | 39,243 | |
| | Cactus Inc. Class A | 1,127,958 | | 38,712 | |
| * | Magnolia Oil & Gas Corp. Class A | 3,040,282 | | 38,247 | |
| | Archrock Inc. | 3,542,088 | | 35,563 | |
| * | Oceaneering International Inc. | 2,367,413 | | 35,298 | |
| *,^ | Valaris plc Class A | 5,081,975 | | 33,338 | |
| * | Helix Energy Solutions Group Inc. | 3,379,350 | | 32,543 | |
| * | NOW Inc. | 2,831,752 | | 31,829 | |
| | CVR Energy Inc. | 784,862 | | 31,732 | |
| * | Southwestern Energy Co. | 13,002,611 | | 31,466 | |
| | SM Energy Co. | 2,724,422 | | 30,623 | |
| * | MRC Global Inc. | 2,063,650 | | 28,148 | |
| * | CNX Resources Corp. | 3,157,065 | | 27,940 | |
| | NexTier Oilfield Solutions Inc. | 4,135,276 | | 27,706 | |
| * | SRC Energy Inc. | 6,384,817 | | 26,305 | |
| | Nabors Industries Ltd. | 8,944,282 | | 25,760 | |
| ^ | Range Resources Corp. | 5,284,998 | | 25,632 | |
| | QEP Resources Inc. | 5,674,796 | | 25,537 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | ProPetro Holding Corp. | 2,251,725 | | 25,332 | |
| * | Oasis Petroleum Inc. | 7,354,950 | | 23,977 | |
| * | Oil States International Inc. | 1,429,778 | | 23,320 | |
| * | Centennial Resource Development Inc. Class A | 4,943,773 | | 22,840 | |
| * | Antero Resources Corp. | 6,806,601 | | 19,399 | |
| *,^ | Tellurian Inc. | 2,516,558 | | 18,321 | |
| *,^ | Whiting Petroleum Corp. | 2,456,035 | | 18,027 | |
| * | Denbury Resources Inc. | 12,631,423 | | 17,810 | |
| *,^ | SunPower Corp. Class A | 2,087,202 | | 16,280 | |
| | Berry Petroleum Corp. | 1,640,281 | | 15,468 | |
| * | Newpark Resources Inc. | 2,325,365 | | 14,580 | |
| | Liberty Oilfield Services Inc. Class A | 1,310,820 | | 14,576 | |
| * | Laredo Petroleum Inc. | 4,839,839 | | 13,890 | |
| *,^ | Jagged Peak Energy Inc. | 1,515,363 | | 12,865 | |
| *,^ | Diamond Offshore Drilling Inc. | 1,721,268 | | 12,376 | |
| * | Gulfport Energy Corp. | 3,235,736 | | 9,837 | |
| ^ | RPC Inc. | 1,614,692 | | 8,461 | |
| | Green Plains Inc. | 344,512 | | 5,316 | |
| * | Noble Corp. plc | 2,143,010 | | 2,614 | |
| * | Exterran Corp. | 245,192 | | 1,920 | |
| *,^ | Extraction Oil & Gas Inc. | 692,485 | | 1,468 | |
| *,^ | McDermott International Inc. | 1,869,707 | | 1,265 | |
| * | FTS International Inc. | 74,802 | | 78 | |
| * | Unit Corp. | 68,181 | | 47 | |
| | | | | 2,622,296 | |
| Other (0.0%)2 | | | | |
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 1,792,706 | | 1,578 | |
| *,§ | A Schulman Inc. CVR | 670,110 | | 290 | |
| *,§ | NewStar Financial Inc. CVR | 651,238 | | 157 | |
| *,§ | Media General Inc. CVR | 2,475,062 | | 96 | |
| *,§ | Clinical Data CVR | 297,875 | | — | |
| | | | | 2,121 | |
| Technology (12.3%) | | | | |
| | Leidos Holdings Inc. | 3,550,127 | | 347,522 | |
| * | Tyler Technologies Inc. | 978,375 | | 293,532 | |
| | Teradyne Inc. | 4,206,983 | | 286,874 | |
| * | EPAM Systems Inc. | 1,305,005 | | 276,870 | |
| * | DocuSign Inc. Class A | 3,532,015 | | 261,758 | |
| * | ON Semiconductor Corp. | 10,261,704 | | 250,180 | |
| * | Coupa Software Inc. | 1,569,892 | | 229,597 | |
| * | Guidewire Software Inc. | 2,081,176 | | 228,451 | |
| | Cypress Semiconductor Corp. | 9,300,771 | | 216,987 | |
| * | Zendesk Inc. | 2,811,353 | | 215,434 | |
| * | Aspen Technology Inc. | 1,695,465 | | 205,033 | |
| * | PTC Inc. | 2,591,828 | | 194,102 | |
| | Monolithic Power Systems Inc. | 1,031,180 | | 183,571 | |
| * | Ceridian HCM Holding Inc. | 2,512,024 | | 170,516 | |
| | Entegris Inc. | 3,373,425 | | 168,975 | |
| | CDK Global Inc. | 3,016,347 | | 164,934 | |
| * | Ciena Corp. | 3,859,531 | | 164,763 | |
| * | Proofpoint Inc. | 1,404,502 | | 161,209 | |
| * | HubSpot Inc. | 1,011,248 | | 160,283 | |
| * | CACI International Inc. Class A | 632,357 | | 158,083 | |
| * | RingCentral Inc. Class A | 933,852 | | 157,513 | |
| * | MongoDB Inc. | 1,175,633 | | 154,725 | |
| | MKS Instruments Inc. | 1,357,251 | | 149,311 | |
| * | Lumentum Holdings Inc. | 1,847,435 | | 146,502 | |
| * | Nutanix Inc. | 4,326,723 | | 135,253 | |
| | SYNNEX Corp. | 1,012,803 | | 130,449 | |
| * | Anaplan Inc. | 2,464,238 | | 129,126 | |
| * | Manhattan Associates Inc. | 1,596,385 | | 127,312 | |
| * | Tech Data Corp. | 884,298 | | 126,985 | |
| * | Nuance Communications Inc. | 7,030,056 | | 125,346 | |
| | Science Applications International Corp. | 1,434,575 | | 124,837 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Silicon Laboratories Inc. | 1,075,870 | | 124,779 | |
| * | Cree Inc. | 2,681,388 | | 123,746 | |
| * | Avalara Inc. | 1,629,331 | | 119,348 | |
| | DXC Technology Co. | 3,169,810 | | 119,153 | |
| * | Cirrus Logic Inc. | 1,443,400 | | 118,951 | |
| * | Alteryx Inc. Class A | 1,162,869 | | 116,368 | |
| * | NCR Corp. | 3,168,924 | | 111,419 | |
| * | Smartsheet Inc. Class A | 2,465,618 | | 110,756 | |
| | j2 Global Inc. | 1,151,742 | | 107,930 | |
| * | RealPage Inc. | 2,002,287 | | 107,623 | |
| | Cabot Microelectronics Corp. | 742,292 | | 107,128 | |
| * | ViaSat Inc. | 1,444,420 | | 105,724 | |
| | LogMeIn Inc. | 1,211,513 | | 103,875 | |
| * | ACI Worldwide Inc. | 2,723,028 | | 103,162 | |
| * | Pure Storage Inc. Class A | 5,812,618 | | 99,454 | |
| | Blackbaud Inc. | 1,212,700 | | 96,531 | |
| * | Five9 Inc. | 1,462,326 | | 95,899 | |
| * | Verint Systems Inc. | 1,685,147 | | 93,290 | |
| | Perspecta Inc. | 3,422,639 | | 90,495 | |
| * | Q2 Holdings Inc. | 1,093,771 | | 88,683 | |
| * | Envestnet Inc. | 1,264,248 | | 88,030 | |
| * | Semtech Corp. | 1,638,617 | | 86,683 | |
| * | FireEye Inc. | 5,214,485 | | 86,195 | |
| * | New Relic Inc. | 1,306,299 | | 85,837 | |
| * | Viavi Solutions Inc. | 5,673,175 | | 85,098 | |
| * | Inphi Corp. | 1,136,534 | | 84,126 | |
| * | Cornerstone OnDemand Inc. | 1,417,444 | | 82,991 | |
| | Pegasystems Inc. | 1,009,478 | | 80,405 | |
| * | Teradata Corp. | 2,760,000 | | 73,885 | |
| *,^ | Zscaler Inc. | 1,586,003 | | 73,749 | |
| | Brooks Automation Inc. | 1,696,472 | | 71,184 | |
| * | CommScope Holding Co. Inc. | 4,955,677 | | 70,321 | |
| | Cogent Communications Holdings Inc. | 1,066,355 | | 70,177 | |
| * | Advanced Energy Industries Inc. | 981,379 | | 69,874 | |
| * | Qualys Inc. | 807,607 | | 67,330 | |
| | Power Integrations Inc. | 679,636 | | 67,223 | |
| * | Everbridge Inc. | 852,571 | | 66,569 | |
| * | Lattice Semiconductor Corp. | 3,351,809 | | 64,154 | |
| * | Acacia Communications Inc. | 937,183 | | 63,550 | |
| * | Rapid7 Inc. | 1,128,849 | | 63,238 | |
| * | Elastic NV | 982,768 | | 63,192 | |
| * | Premier Inc. Class A | 1,649,244 | | 62,473 | |
| * | Insight Enterprises Inc. | 858,219 | | 60,324 | |
| * | Box Inc. | 3,574,264 | | 59,976 | |
| * | Diodes Inc. | 1,044,630 | | 58,886 | |
| * | Bottomline Technologies DE Inc. | 1,074,160 | | 57,575 | |
| * | Blackline Inc. | 1,087,759 | | 56,085 | |
| * | PROS Holdings Inc. | 931,364 | | 55,807 | |
| * | LivePerson Inc. | 1,501,271 | | 55,547 | |
| * | Varonis Systems Inc. | 712,724 | | 55,386 | |
| *,^ | Cloudera Inc. | 4,474,759 | | 52,041 | |
| * | Synaptics Inc. | 787,537 | | 51,796 | |
| * | SailPoint Technologies Holding Inc. | 2,166,548 | | 51,131 | |
| * | EchoStar Corp. Class A | 1,164,772 | | 50,446 | |
| * | SVMK Inc. | 2,715,373 | | 48,524 | |
| | Progress Software Corp. | 1,149,199 | | 47,749 | |
| * | FormFactor Inc. | 1,832,998 | | 47,603 | |
| * | CommVault Systems Inc. | 1,047,942 | | 46,780 | |
| * | Dynatrace Inc. | 1,777,890 | | 44,981 | |
| * | Appfolio Inc. | 401,570 | | 44,153 | |
| | InterDigital Inc. | 803,747 | | 43,796 | |
| | CSG Systems International Inc. | 836,864 | | 43,333 | |
| * | NetScout Systems Inc. | 1,690,165 | | 40,682 | |
| * | Alarm.com Holdings Inc. | 936,262 | | 40,231 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Rambus Inc. | 2,879,630 | | 39,667 | |
| * | Avaya Holdings Corp. | 2,813,528 | | 37,983 | |
| * | Allscripts Healthcare Solutions Inc. | 3,783,722 | | 37,137 | |
| *,^ | Infinera Corp. | 4,461,156 | | 35,422 | |
| * | Workiva Inc. Class A | 824,460 | | 34,669 | |
| | NIC Inc. | 1,518,130 | | 33,930 | |
| * | Altair Engineering Inc. Class A | 924,026 | | 33,182 | |
| * | MaxLinear Inc. | 1,530,477 | | 32,477 | |
| * | Covetrus Inc. | 2,435,470 | | 32,148 | |
| * | Blucora Inc. | 1,211,096 | | 31,658 | |
| * | Yext Inc. | 2,162,719 | | 31,186 | |
| ^ | Ubiquiti Inc. | 164,301 | | 31,050 | |
| *,^ | Appian Corp. Class A | 797,261 | | 30,463 | |
| * | MicroStrategy Inc. Class A | 211,954 | | 30,231 | |
| * | Eventbrite Inc. Class A | 1,396,005 | | 28,157 | |
| | TiVo Corp. | 3,112,512 | | 26,394 | |
| *,^ | 3D Systems Corp. | 2,942,378 | | 25,746 | |
| * | Zuora Inc. Class A | 1,758,346 | | 25,197 | |
| * | ScanSource Inc. | 662,718 | | 24,487 | |
| | Xperi Corp. | 1,294,402 | | 23,946 | |
| | Switch Inc. | 1,608,209 | | 23,834 | |
| * | Cision Ltd. | 2,329,628 | | 23,226 | |
| | Plantronics Inc. | 839,150 | | 22,942 | |
| *,^ | SolarWinds Corp. | 1,221,755 | | 22,664 | |
| * | Tenable Holdings Inc. | 940,142 | | 22,526 | |
| * | Shutterstock Inc. | 512,803 | | 21,989 | |
| * | Amkor Technology Inc. | 1,569,603 | | 20,405 | |
| * | Cerence Inc. | 897,672 | | 20,314 | |
| ^ | Ebix Inc. | 600,223 | | 20,053 | |
| * | Unisys Corp. | 1,578,695 | | 18,723 | |
| * | NETGEAR Inc. | 754,992 | | 18,505 | |
| * | NextGen Healthcare Inc. | 1,108,516 | | 17,814 | |
| | Pitney Bowes Inc. | 4,413,625 | | 17,787 | |
| *,^ | Pagerduty Inc. | 732,045 | | 17,123 | |
| * | Cloudflare Inc. Class A | 992,371 | | 16,930 | |
| * | Virtusa Corp. | 359,897 | | 16,314 | |
| *,^ | Medallia Inc. | 492,487 | | 15,321 | |
| * | Benefitfocus Inc. | 687,704 | | 15,088 | |
| * | nLight Inc. | 691,626 | | 14,026 | |
| *,^ | Livongo Health Inc. | 556,406 | | 13,944 | |
| * | CEVA Inc. | 467,326 | | 12,599 | |
| * | Forrester Research Inc. | 280,250 | | 11,686 | |
| * | Fastly Inc. Class A | 568,360 | | 11,407 | |
| * | Diebold Nixdorf Inc. | 934,184 | | 9,865 | |
| | ADTRAN Inc. | 995,772 | | 9,848 | |
| * | Endurance International Group Holdings Inc. | 2,070,025 | | 9,729 | |
| * | WideOpenWest Inc. | 1,275,811 | | 9,467 | |
| *,^ | Gogo Inc. | 1,468,249 | | 9,397 | |
| *,^ | Ping Identity Holding Corp. | 359,519 | | 8,736 | |
| * | Health Catalyst Inc. | 242,047 | | 8,399 | |
| * | Loral Space & Communications Inc. | 238,399 | | 7,705 | |
| * | Sciplay Corp. Class A | 597,739 | | 7,346 | |
| * | MobileIron Inc. | 1,357,150 | | 6,596 | |
| | Systemax Inc. | 202,038 | | 5,083 | |
| * | SecureWorks Corp. Class A | 184,369 | | 3,072 | |
| * | Castlight Health Inc. Class B | 196,752 | | 262 | |
| * | Casa Systems Inc. | 36,440 | | 149 | |
| * | Ribbon Communications Inc. | 33,022 | | 102 | |
| | | | | 11,865,569 | |
| Telecommunications (0.3%) | | | | |
| * | Iridium Communications Inc. | 2,729,109 | | 67,245 | |
| | Telephone & Data Systems Inc. | 2,287,870 | | 58,180 | |
| | Shenandoah Telecommunications Co. | 1,221,504 | | 50,827 | |
| * | 8x8 Inc. | 2,434,630 | | 44,554 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Vonage Holdings Corp. | 5,857,035 | | 43,401 | |
| * | United States Cellular Corp. | 434,510 | | 15,742 | |
| | ATN International Inc. | 277,226 | | 15,356 | |
| *,^ | Intelsat SA | 1,953,630 | | 13,734 | |
| *,^ | GTT Communications Inc. | 802,638 | | 9,110 | |
| *,^ | Globalstar Inc. | 15,899,897 | | 8,247 | |
| | | | | 326,396 | |
| Utilities (3.3%) | | | | |
| | Atmos Energy Corp. | 2,987,680 | | 334,202 | |
| | Aqua America Inc. | 5,424,275 | | 254,615 | |
| | UGI Corp. | 5,200,382 | | 234,849 | |
| * | PG&E Corp. | 13,241,405 | | 143,934 | |
| | IDACORP Inc. | 1,259,191 | | 134,482 | |
| | Portland General Electric Co. | 2,279,375 | | 127,166 | |
| | Hawaiian Electric Industries Inc. | 2,708,120 | | 126,903 | |
| | Black Hills Corp. | 1,554,981 | | 122,128 | |
| | ONE Gas Inc. | 1,300,446 | | 121,683 | |
| | NRG Energy Inc. | 2,989,115 | | 118,817 | |
| | New Jersey Resources Corp. | 2,348,465 | | 104,671 | |
| | ALLETE Inc. | 1,283,954 | | 104,219 | |
| | PNM Resources Inc. | 1,956,709 | | 99,225 | |
| | Spire Inc. | 1,190,346 | | 99,168 | |
| | National Fuel Gas Co. | 2,124,508 | | 98,875 | |
| | Southwest Gas Holdings Inc. | 1,242,140 | | 94,365 | |
| | NorthWestern Corp. | 1,252,949 | | 89,799 | |
| | Avista Corp. | 1,696,352 | | 81,578 | |
| | American States Water Co. | | | 927,985 | | 80,401 | |
| | South Jersey Industries Inc. | | | 2,371,468 | | 78,211 | |
| | Ormat Technologies Inc. | | | 1,025,703 | | 76,435 | |
| | El Paso Electric Co. | | | 1,028,753 | | 69,842 | |
| | MGE Energy Inc. | | | 873,297 | | 68,833 | |
| | Pattern Energy Group Inc. Class A | | | 2,485,305 | | 66,494 | |
| | California Water Service Group | | | 1,222,638 | | 63,039 | |
| | Northwest Natural Holding Co. | | | 771,913 | | 56,913 | |
| | TerraForm Power Inc. Class A | | | 2,309,081 | | 35,537 | |
| * | Evoqua Water Technologies Corp. | | | 1,801,948 | | 34,147 | |
| * | Sunrun Inc. | | | 2,007,344 | | 27,721 | |
| *,^ | Bloom Energy Corp. Class A | | | 1,545,108 | | 11,542 | |
| *,^ | Vivint Solar Inc. | | | 562,995 | | 4,087 | |
| | | | | | | 3,163,881 | |
| Total Common Stocks (Cost $72,730,861) | | | | | 95,852,416 | |
| | | | | | | | |
| | | Coupon | | | | | | |
| Temporary Cash Investments (2.6%)1 | | | | | | | |
| Money Market Fund (2.6%) | | | | | | | |
| 3,4 | Vanguard Market Liquidity Fund | 1.816% | | | 25,231,738 | | 2,523,426 | |
| | | | | Face | | | |
| | | Maturity | | Amount | | | |
| | | Date | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | |
| 5 | United States Treasury Bill | 1.817% | 1/30/20 | | 33,650 | | 33,613 | |
| Total Temporary Cash Investments (Cost $2,556,776) | | | | | | 2,557,039 | |
| Total Investments (101.7%) (Cost $75,287,637) | | | | | | 98,409,455 | |
| Other Assets and Liabilities—Net (-1.7%)4,5 | | | | | | (1,644,778 | ) |
| Net Assets (100%) | | | | | | 96,764,677 | |
Vanguard®Small-Cap Index Fund
Schedule of Investments
December 31, 2019
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,582,087,000. |
| § | 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 1.7%, 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 | Collateral of $1,651,570,000 was received for securities on loan, of which $1,636,764,000 is held in Vanguard Market Liquidity Fund and $14,806,000 is held in cash. |
| 5 | Securities with a value of $33,610,000 and cash of $303,000 have been segregated as initial margin for recently closed futures contracts. |
| CVR—Contingent Value Rights. |
| REIT—Real Estate Investment Trust. |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.8%)1 | |
| Basic Materials (1.6%) | | | | |
| | Royal Gold Inc. | 984,784 | | 120,390 | |
| | NewMarket Corp. | 142,796 | | 69,473 | |
| * | Ingevity Corp. | 627,925 | | 54,868 | |
| | Balchem Corp. | 482,990 | | 49,086 | |
| * | Element Solutions Inc. | 3,205,264 | | 37,437 | |
| * | Univar Solutions Inc. | 1,265,717 | | 30,681 | |
| * | Coeur Mining Inc. | 1,625,195 | | 13,132 | |
| | GrafTech International Ltd. | 1,015,821 | | 11,804 | |
| * | PQ Group Holdings Inc. | 609,178 | | 10,466 | |
| | American Vanguard Corp. | 411,225 | | 8,006 | |
| | US Silica Holdings Inc. | 553,161 | | 3,402 | |
| | | | | 408,745 | |
| Consumer Goods (5.6%) | |
| | Pool Corp. | 571,067 | | 121,283 | |
| | Gentex Corp. | 3,797,809 | | 110,061 | |
| * | Post Holdings Inc. | 955,418 | | 104,236 | |
| * | Middleby Corp. | 842,894 | | 92,314 | |
| * | Skechers U.S.A. Inc. Class A | 2,010,519 | | 86,834 | |
| * | Zynga Inc. Class A | 12,780,793 | | 78,218 | |
| | Carter’s Inc. | 662,857 | | 72,477 | |
| * | Tempur Sealy International Inc. | 730,824 | | 63,626 | |
| | Steven Madden Ltd. | 1,136,494 | | 48,881 | |
| * | Boston Beer Co. Inc. Class A | 124,526 | | 47,052 | |
| | Columbia Sportswear Co. | 456,331 | | 45,720 | |
| | J&J Snack Foods Corp. | 226,976 | | 41,825 | |
| * | Crocs Inc. | 978,580 | | 40,993 | |
| | WD-40 Co. | 205,684 | | 39,931 | |
| | LCI Industries | 356,938 | | 38,239 | |
| * | Fox Factory Holding Corp. | 549,464 | | 38,226 | |
| * | Dorman Products Inc. | 418,350 | | 31,677 | |
| * | Welbilt Inc. | 1,907,165 | | 29,771 | |
| | Lancaster Colony Corp. | 144,461 | | 23,128 | |
| *,^ | Beyond Meat Inc. | 300,099 | | 22,687 | |
| * | Fitbit Inc. Class A | 3,429,830 | | 22,534 | |
| * | Gentherm Inc. | 490,523 | | 21,774 | |
| *,^ | iRobot Corp. | 424,487 | | 21,492 | |
| *,^ | YETI Holdings Inc. | 579,780 | | 20,165 | |
| * | Sleep Number Corp. | 405,518 | | 19,968 | |
| | Coca-Cola Consolidated Inc. | 69,694 | | 19,797 | |
| * | Sonos Inc. | 976,551 | | 15,254 | |
| | Callaway Golf Co. | 706,518 | | 14,978 | |
| | Interface Inc. Class A | 877,168 | | 14,552 | |
| * | USANA Health Sciences Inc. | 178,687 | | 14,036 | |
| * | Cavco Industries Inc. | 65,157 | | 12,730 | |
| * | BellRing Brands Inc. Class A | 591,728 | | 12,598 | |
| * | American Woodmark Corp. | 114,262 | | 11,942 | |
| | Inter Parfums Inc. | 131,221 | | 9,541 | |
| | Oxford Industries Inc. | 120,315 | | 9,074 | |
| | Medifast Inc. | 82,553 | | 9,046 | |
| *,^ | National Beverage Corp. | 174,050 | | 8,880 | |
| * | elf Beauty Inc. | 245,586 | | 3,961 | |
| *,^ | GoPro Inc. Class A | 892,611 | | 3,874 | |
| *,^ | Revlon Inc. Class A | 81,507 | | 1,746 | |
| | Brunswick Corp. | 271 | | 16 | |
| | | | | 1,445,137 | |
| Consumer Services (12.7%) | | | | |
| * | Trade Desk Inc. Class A | 598,530 | | 155,486 | |
| * | Liberty Media Corp-Liberty Formula One | 2,902,488 | | 133,413 | |
| * | Bright Horizons Family Solutions Inc. | 873,504 | | 131,279 | |
| | Cable One Inc. | 77,159 | | 114,849 | |
| * | Burlington Stores Inc. | 497,567 | | 113,460 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Caesars Entertainment Corp. | 8,175,122 | | 111,182 | |
| * | Five Below Inc. | 835,782 | | 106,863 | |
| * | IAA Inc. | 2,004,029 | | 94,310 | |
| | Dunkin’ Brands Group Inc. | 1,243,796 | | 93,956 | |
| * | Planet Fitness Inc. Class A | 1,227,987 | | 91,706 | |
| | Casey’s General Stores Inc. | 552,273 | | 87,806 | |
| * | Madison Square Garden Co. Class A | 276,020 | | 81,202 | |
| * | Etsy Inc. | 1,778,891 | | 78,805 | |
| | Nexstar Media Group Inc. Class A | 657,997 | | 77,150 | |
| | Vail Resorts Inc. | 302,847 | | 72,632 | |
| | Churchill Downs Inc. | 508,300 | | 69,739 | |
| * | Grand Canyon Education Inc. | 724,049 | | 69,357 | |
| | Marriott Vacations Worldwide Corp. | 536,492 | | 69,079 | |
| * | GrubHub Inc. | 1,373,018 | | 66,784 | |
| * | Chegg Inc. | 1,725,472 | | 65,413 | |
| | Dolby Laboratories Inc. Class A | 912,581 | | 62,786 | |
| * | Floor & Decor Holdings Inc. Class A | 1,213,748 | | 61,670 | |
| * | frontdoor Inc. | 1,271,419 | | 60,291 | |
| | Choice Hotels International Inc. | 543,863 | | 56,252 | |
| | Texas Roadhouse Inc. Class A | 989,992 | | 55,756 | |
| *,^ | Eldorado Resorts Inc. | 934,038 | | 55,706 | |
| | Six Flags Entertainment Corp. | 1,205,536 | | 54,382 | |
| * | Ollie’s Bargain Outlet Holdings Inc. | 811,547 | | 53,002 | |
| | Strategic Education Inc. | 313,279 | | 49,780 | |
| | Morningstar Inc. | 321,359 | | 48,625 | |
| *,^ | RH | 224,324 | | 47,893 | |
| ^ | World Wrestling Entertainment Inc. Class A | 712,435 | | 46,216 | |
| * | Hilton Grand Vacations Inc. | 1,283,246 | | 44,131 | |
| * | Cargurus Inc. | 1,166,943 | | 41,053 | |
| * | ServiceMaster Global Holdings Inc. | 1,018,158 | | 39,362 | |
| * | National Vision Holdings Inc. | 1,185,902 | | 38,459 | |
| | Wingstop Inc. | 442,242 | | 38,134 | |
| | Monro Inc. | 474,645 | | 37,117 | |
| * | Simply Good Foods Co. | 1,287,314 | | 36,740 | |
| | Boyd Gaming Corp. | 1,168,391 | | 34,982 | |
| * | Yelp Inc. Class A | 1,001,343 | | 34,877 | |
| *,^ | Carvana Co. Class A | 377,355 | | 34,735 | |
| | Allegiant Travel Co. Class A | 195,621 | | 34,046 | |
| | Jack in the Box Inc. | 355,170 | | 27,714 | |
| * | WW International Inc. | 707,521 | | 27,034 | |
| * | Shake Shack Inc. Class A | 430,696 | | 25,657 | |
| * | SeaWorld Entertainment Inc. | 768,303 | | 24,363 | |
| | Red Rock Resorts Inc. Class A | 1,003,177 | | 24,026 | |
| | Papa John’s International Inc. | 359,647 | | 22,712 | |
| * | Scientific Games Corp. | 839,987 | | 22,495 | |
| * | 2U Inc. | 905,528 | | 21,724 | |
| * | Stamps.com Inc. | 243,552 | | 20,341 | |
| *,^ | Stitch Fix Inc. Class A | 785,891 | | 20,166 | |
| | Dave & Buster’s Entertainment Inc. | 463,008 | | 18,599 | |
| * | Liberty Media Corp-Liberty Formula One Class A | 359,873 | | 15,755 | |
| * | Upwork Inc. | 1,177,447 | | 12,563 | |
| | EW Scripps Co. Class A | 772,235 | | 12,132 | |
| * | Quotient Technology Inc. | 1,059,670 | | 10,448 | |
| * | ANGI Homeservices Inc. Class A | 1,159,447 | | 9,820 | |
| * | Herc Holdings Inc. | 184,630 | | 9,036 | |
| * | TrueCar Inc. | 1,441,104 | | 6,845 | |
| *,^ | Revolve Group Inc. | 206,470 | | 3,791 | |
| * | At Home Group Inc. | 205,323 | | 1,129 | |
| * | Sprouts Farmers Market Inc. | 356 | | 7 | |
| *,^ | Peloton Interactive Inc. Class A | 124 | | 3 | |
| | BJ’s Restaurants Inc. | 65 | | 2 | |
| | | | | 3,286,828 | |
| Financials (15.1%) | |
| | Equity LifeStyle Properties Inc. | 2,596,843 | | 182,792 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Apollo Global Management LLC | 3,005,692 | | 143,401 | |
| | Kilroy Realty Corp. | 1,591,586 | | 133,534 | |
| | STORE Capital Corp. | 3,172,541 | | 118,145 | |
| | Lamar Advertising Co. Class A | 1,291,283 | | 115,260 | |
| | CyrusOne Inc. | 1,699,455 | | 111,195 | |
| | Douglas Emmett Inc. | 2,500,979 | | 109,793 | |
| * | GCI Liberty Inc. Class A | 1,443,356 | | 102,262 | |
| | Americold Realty Trust | 2,878,844 | | 100,932 | |
| | American Homes 4 Rent Class A | 3,829,673 | | 100,376 | |
| | American Campus Communities Inc. | 2,063,256 | | 97,035 | |
| | Healthcare Trust of America Inc. Class A | 3,110,732 | | 94,193 | |
| | CubeSmart | 2,906,032 | | 91,482 | |
| | Hudson Pacific Properties Inc. | 2,326,657 | | 87,599 | |
| *,^ | Zillow Group Inc. | 1,821,313 | | 83,671 | |
| | Western Alliance Bancorp | 1,386,585 | | 79,035 | |
| * | Howard Hughes Corp. | 616,280 | | 78,144 | |
| | Rexford Industrial Realty Inc. | 1,665,115 | | 76,046 | |
| | Spirit Realty Capital Inc. | 1,497,184 | | 73,631 | |
| | Essent Group Ltd. | 1,403,120 | | 72,948 | |
| | Pinnacle Financial Partners Inc. | 1,091,969 | | 69,886 | |
| | Omega Healthcare Investors Inc. | 1,640,205 | | 69,463 | |
| * | Credit Acceptance Corp. | 155,225 | | 68,661 | |
| | Healthcare Realty Trust Inc. | 2,008,152 | | 67,012 | |
| | Ryman Hospitality Properties Inc. | 735,659 | | 63,752 | |
| | CoreSite Realty Corp. | 565,066 | | 63,355 | |
| | Erie Indemnity Co. Class A | 381,377 | | 63,309 | |
| | STAG Industrial Inc. | 1,995,988 | | 63,013 | |
| | Terreno Realty Corp. | 1,005,959 | | 54,463 | |
| | Physicians Realty Trust | 2,827,907 | | 53,560 | |
| | FirstCash Inc. | 608,711 | | 49,080 | |
| | PS Business Parks Inc. | 288,310 | | 47,534 | |
| | QTS Realty Trust Inc. Class A | 872,468 | | 47,349 | |
| | CenterState Bank Corp. | 1,880,487 | | 46,974 | |
| * | Texas Capital Bancshares Inc. | 755,574 | | 42,894 | |
| | Paramount Group Inc. | 3,075,824 | | 42,815 | |
| | Ameris Bancorp | 993,631 | | 42,269 | |
| | JBG SMITH Properties | 956,809 | | 38,167 | |
| | Evercore Inc. Class A | 498,781 | | 37,289 | |
| * | LendingTree Inc. | 117,083 | | 35,528 | |
| | Colony Capital Inc. | 7,314,518 | | 34,744 | |
| | Sterling Bancorp | 1,516,504 | | 31,968 | |
| | Sabra Health Care REIT Inc. | 1,458,451 | | 31,123 | |
| | Newmark Group Inc. Class A | 2,268,188 | | 30,518 | |
| | CareTrust REIT Inc. | 1,434,998 | | 29,604 | |
| | Independent Bank Group Inc. | 516,016 | | 28,608 | |
| * | Zillow Group Inc. Class A | 614,932 | | 28,127 | |
| | Bank OZK | 919,898 | | 28,061 | |
| | Pacific Premier Bancorp Inc. | 846,883 | | 27,613 | |
| | Towne Bank | 982,444 | | 27,332 | |
| | Pebblebrook Hotel Trust | 980,988 | | 26,300 | |
| | ServisFirst Bancshares Inc. | 684,027 | | 25,774 | |
| *,^ | Redfin Corp. | 1,177,310 | | 24,888 | |
| | Kite Realty Group Trust | 1,261,586 | | 24,639 | |
| * | Axos Financial Inc. | 782,955 | | 23,708 | |
| | Cohen & Steers Inc. | 354,634 | | 22,257 | |
| | Universal Health Realty Income Trust | 185,888 | | 21,816 | |
| | Simmons First National Corp. Class A | 813,207 | | 21,786 | |
| | Hamilton Lane Inc. Class A | 358,222 | | 21,350 | |
| * | Cannae Holdings Inc. | 559,905 | | 20,823 | |
| | Kennedy-Wilson Holdings Inc. | 908,923 | | 20,269 | |
| | Virtu Financial Inc. Class A | 1,149,339 | | 18,378 | |
| | TFS Financial Corp. | 841,499 | | 16,561 | |
| | American Assets Trust Inc. | 360,565 | | 16,550 | |
| | Kearny Financial Corp. | 1,165,239 | | 16,115 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Kinsale Capital Group Inc. | 158,013 | | 16,064 | |
| | National Bank Holdings Corp. Class A | 444,675 | | 15,661 | |
| | Houlihan Lokey Inc. Class A | 311,619 | | 15,229 | |
| | National Storage Affiliates Trust | 445,475 | | 14,977 | |
| | Retail Opportunity Investments Corp. | 828,839 | | 14,637 | |
| * | Marcus & Millichap Inc. | 351,461 | | 13,092 | |
| * | Focus Financial Partners Inc. Class A | 422,645 | | 12,455 | |
| ^ | Broadmark Realty Capital Inc. | 941,393 | | 12,003 | |
| | Uniti Group Inc. | 1,378,200 | | 11,315 | |
| | Alexander & Baldwin Inc. | 515,874 | | 10,813 | |
| | RMR Group Inc. Class A | 231,458 | | 10,564 | |
| | Alexander’s Inc. | 30,418 | | 10,049 | |
| * | St. Joe Co. | 490,521 | | 9,727 | |
| | New Senior Investment Group Inc. | 1,240,511 | | 9,490 | |
| | Front Yard Residential Corp. | 677,966 | | 8,366 | |
| * | Green Dot Corp. Class A | 348,222 | | 8,114 | |
| | GAMCO Investors Inc. Class A | 78,986 | | 1,539 | |
| | MarketAxess Holdings Inc. | 94 | | 36 | |
| | Sun Communities Inc. | 224 | | 34 | |
| | Eagle Bancorp Inc. | 103 | | 5 | |
| | Moelis & Co. Class A | 155 | | 5 | |
| | WisdomTree Investments Inc. | 418 | | 2 | |
| | | | | 3,930,936 | |
| Health Care (21.4%) | |
| | West Pharmaceutical Services Inc. | 1,110,888 | | 167,000 | |
| * | Insulet Corp. | 928,137 | | 158,897 | |
| * | Neurocrine Biosciences Inc. | 1,382,614 | | 148,617 | |
| * | Sarepta Therapeutics Inc. | 1,063,192 | | 137,194 | |
| | Bio-Techne Corp. | 572,180 | | 125,599 | |
| * | Catalent Inc. | 2,196,855 | | 123,683 | |
| * | Bio-Rad Laboratories Inc. Class A | 316,942 | | 117,278 | |
| * | Ionis Pharmaceuticals Inc. | 1,900,648 | | 114,818 | |
| * | Masimo Corp. | 724,433 | | 114,504 | |
| | Chemed Corp. | 240,366 | | 105,583 | |
| * | PRA Health Sciences Inc. | 949,546 | | 105,542 | |
| * | Horizon Therapeutics plc | 2,812,170 | | 101,801 | |
| * | Novocure Ltd. | 1,188,642 | | 100,167 | |
| | STERIS plc | 636,510 | | 97,017 | |
| * | Avantor Inc. | 5,149,496 | | 93,463 | |
| * | Medicines Co. | 1,076,870 | | 91,469 | |
| *,^ | Teladoc Health Inc. | 1,086,599 | | 90,970 | |
| * | Arrowhead Pharmaceuticals Inc. | 1,422,039 | | 90,200 | |
| * | Haemonetics Corp. | 760,980 | | 87,437 | |
| * | Amedisys Inc. | 484,279 | | 80,836 | |
| * | Exelixis Inc. | 4,561,766 | | 80,378 | |
| * | HealthEquity Inc. | 1,060,306 | | 78,537 | |
| * | Penumbra Inc. | 471,774 | | 77,498 | |
| | Bruker Corp. | 1,502,659 | | 76,591 | |
| * | ACADIA Pharmaceuticals Inc. | 1,736,170 | | 74,273 | |
| * | Syneos Health Inc. | 1,246,672 | | 74,146 | |
| * | Global Blood Therapeutics Inc. | 859,094 | | 68,289 | |
| * | Globus Medical Inc. | 1,155,775 | | 68,052 | |
| * | Repligen Corp. | 703,379 | | 65,063 | |
| * | Integra LifeSciences Holdings Corp. | 1,095,897 | | 63,869 | |
| * | NuVasive Inc. | 781,856 | | 60,469 | |
| *,^ | Moderna Inc. | 3,001,952 | | 58,718 | |
| * | LHC Group Inc. | 425,825 | | 58,662 | |
| * | Wright Medical Group NV | 1,905,435 | | 58,078 | |
| * | Nektar Therapeutics Class A | 2,641,379 | | 57,014 | |
| | Hill-Rom Holdings Inc. | 501,279 | | 56,910 | |
| * | Blueprint Medicines Corp. | 701,760 | | 56,218 | |
| * | Immunomedics Inc. | 2,649,894 | | 56,072 | |
| * | Charles River Laboratories International Inc. | 366,604 | | 56,002 | |
| * | ICU Medical Inc. | 294,922 | | 55,186 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Guardant Health Inc. | 704,854 | | 55,077 | |
| * | Nevro Corp. | 442,232 | | 51,980 | |
| * | Omnicell Inc. | 629,604 | | 51,451 | |
| * | Neogen Corp. | 787,141 | | 51,369 | |
| * | Bluebird Bio Inc. | 581,527 | | 51,029 | |
| * | Tandem Diabetes Care Inc. | 842,809 | | 50,240 | |
| * | Alkermes plc | 2,365,127 | | 48,249 | |
| * | FibroGen Inc. | 1,113,489 | | 47,758 | |
| * | Intercept Pharmaceuticals Inc. | 368,605 | | 45,678 | |
| * | MyoKardia Inc. | 624,716 | | 45,532 | |
| * | Agios Pharmaceuticals Inc. | 925,464 | | 44,191 | |
| * | NeoGenomics Inc. | 1,489,065 | | 43,555 | |
| * | Quidel Corp. | 562,855 | | 42,231 | |
| * | PTC Therapeutics Inc. | 879,058 | | 42,221 | |
| * | HMS Holdings Corp. | 1,322,581 | | 39,148 | |
| * | Halozyme Therapeutics Inc. | 2,200,207 | | 39,010 | |
| | Cantel Medical Corp. | 541,831 | | 38,416 | |
| *,^ | Allakos Inc. | 401,605 | | 38,297 | |
| * | Amicus Therapeutics Inc. | 3,825,909 | | 37,264 | |
| * | Acceleron Pharma Inc. | 677,492 | | 35,921 | |
| * | Emergent BioSolutions Inc. | 658,844 | | 35,545 | |
| * | Natera Inc. | 1,047,519 | | 35,291 | |
| | Ensign Group Inc. | 761,144 | | 34,533 | |
| * | Arena Pharmaceuticals Inc. | 752,329 | | 34,171 | |
| * | Medpace Holdings Inc. | 405,703 | | 34,103 | |
| * | Glaukos Corp. | 617,938 | | 33,659 | |
| * | Momenta Pharmaceuticals Inc. | 1,703,920 | | 33,618 | |
| * | Ultragenyx Pharmaceutical Inc. | 780,719 | | 33,345 | |
| * | Insmed Inc. | 1,341,429 | | 32,033 | |
| * | Heron Therapeutics Inc. | 1,280,480 | | 30,091 | |
| * | Ironwood Pharmaceuticals Inc. Class A | 2,236,849 | | 29,772 | |
| * | iRhythm Technologies Inc. | 396,482 | | 26,996 | |
| * | Pacira BioSciences Inc. | 595,377 | | 26,971 | |
| * | Epizyme Inc. | 1,093,892 | | 26,910 | |
| * | Portola Pharmaceuticals Inc. | 1,107,352 | | 26,444 | |
| * | Xencor Inc. | 766,498 | | 26,360 | |
| * | Ligand Pharmaceuticals Inc. | 250,531 | | 26,128 | |
| * | Merit Medical Systems Inc. | 787,618 | | 24,589 | |
| | CONMED Corp. | 213,029 | | 23,823 | |
| * | BioTelemetry Inc. | 484,972 | | 22,454 | |
| * | Aimmune Therapeutics Inc. | 665,334 | | 22,269 | |
| * | Editas Medicine Inc. | 731,771 | | 21,668 | |
| * | REGENXBIO Inc. | 498,284 | | 20,415 | |
| * | Audentes Therapeutics Inc. | 326,409 | | 19,532 | |
| * | Inogen Inc. | 280,779 | | 19,186 | |
| * | Corcept Therapeutics Inc. | 1,543,126 | | 18,672 | |
| * | Supernus Pharmaceuticals Inc. | 748,749 | | 17,760 | |
| *,^ | Allogene Therapeutics Inc. | 640,625 | | 16,643 | |
| * | Theravance Biopharma Inc. | 634,097 | | 16,417 | |
| * | Deciphera Pharmaceuticals Inc. | 248,980 | | 15,497 | |
| | Luminex Corp. | 609,046 | | 14,106 | |
| * | Tricida Inc. | 371,345 | | 14,015 | |
| * | Radius Health Inc. | 692,894 | | 13,969 | |
| | Healthcare Services Group Inc. | 556,739 | | 13,540 | |
| * | Tivity Health Inc. | 644,537 | | 13,113 | |
| * | Shockwave Medical Inc. | 297,659 | | 13,073 | |
| * | Innoviva Inc. | 909,222 | | 12,875 | |
| * | Orthofix Medical Inc. | 271,988 | | 12,560 | |
| * | Pennant Group Inc. | 376,380 | | 12,447 | |
| * | Achillion Pharmaceuticals Inc. | 1,997,409 | | 12,044 | |
| * | CorVel Corp. | 137,368 | | 12,001 | |
| *,^ | Esperion Therapeutics Inc. | 196,216 | | 11,700 | |
| * | STAAR Surgical Co. | 331,699 | | 11,666 | |
| * | HealthStream Inc. | 387,272 | | 10,534 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Gossamer Bio Inc. | 644,558 | | 10,074 | |
| *,^ | OPKO Health Inc. | 5,948,474 | | 8,744 | |
| * | Varex Imaging Corp. | 288,316 | | 8,595 | |
| * | Alector Inc. | 465,707 | | 8,024 | |
| *,^ | Intellia Therapeutics Inc. | 544,685 | | 7,991 | |
| * | Natus Medical Inc. | 241,993 | | 7,983 | |
| *,^ | SmileDirectClub Inc. | 849,068 | | 7,421 | |
| * | Sangamo Therapeutics Inc. | 884,867 | | 7,406 | |
| * | Bridgebio Pharma Inc. | 185,543 | | 6,503 | |
| *,^ | ZIOPHARM Oncology Inc. | 1,358,932 | | 6,414 | |
| * | Atara Biotherapeutics Inc. | 369,294 | | 6,082 | |
| * | Spectrum Pharmaceuticals Inc. | 1,607,676 | | 5,852 | |
| *,^ | Intrexon Corp. | 989,559 | | 5,423 | |
| *,^ | Rubius Therapeutics Inc. | 471,114 | | 4,476 | |
| *,^ | Adaptive Biotechnologies Corp. | 142,287 | | 4,257 | |
| *,^ | TherapeuticsMD Inc. | 1,738,081 | | 4,206 | |
| *,^ | Clovis Oncology Inc. | 388,055 | | 4,046 | |
| *,^ | Akcea Therapeutics Inc. | 211,591 | | 3,584 | |
| * | Progyny Inc. | 92,680 | | 2,544 | |
| * | Puma Biotechnology Inc. | 248,842 | | 2,177 | |
| * | Option Care Health Inc. | 523,619 | | 1,953 | |
| * | Stoke Therapeutics Inc. | 62,404 | | 1,767 | |
| *,^ | Lexicon Pharmaceuticals Inc. | 324,430 | | 1,346 | |
| *,^ | Vir Biotechnology Inc. | 11,837 | | 149 | |
| * | 10X Genomics Inc. Class A | 32 | | 2 | |
| * | AMAG Pharmaceuticals Inc. | 84 | | 1 | |
| * | Envista Holdings Corp. | 26 | | 1 | |
| * | Acorda Therapeutics Inc. | 125 | | — | |
| | | | | 5,540,276 | |
| Industrials (19.7%) | | | | |
| * | Zebra Technologies Corp. | 809,543 | | 206,790 | |
| * | Teledyne Technologies Inc. | 547,564 | | 189,753 | |
| * | Fair Isaac Corp. | 413,047 | | 154,760 | |
| * | WEX Inc. | 649,897 | | 136,127 | |
| | Lennox International Inc. | 549,554 | | 134,075 | |
| | Universal Display Corp. | 636,575 | | 131,179 | |
| | Graco Inc. | 2,503,971 | | 130,206 | |
| | Toro Co. | 1,600,454 | | 127,508 | |
| | Nordson Corp. | 776,795 | | 126,493 | |
| * | Euronet Worldwide Inc. | 770,552 | | 121,408 | |
| | Genpact Ltd. | 2,851,791 | | 120,260 | |
| | Woodward Inc. | 883,770 | | 104,674 | |
| * | Berry Global Group Inc. | 1,986,337 | | 94,331 | |
| | Hexcel Corp. | 1,266,992 | | 92,883 | |
| | BWX Technologies Inc. | 1,430,171 | | 88,785 | |
| | Watsco Inc. | 490,131 | | 88,297 | |
| | Jack Henry & Associates Inc. | 577,508 | | 84,126 | |
| | National Instruments Corp. | 1,869,546 | | 79,157 | |
| * | Trex Co. Inc. | 875,792 | | 78,716 | |
| | Air Lease Corp. Class A | 1,607,580 | | 76,392 | |
| * | Gardner Denver Holdings Inc. | 1,996,905 | | 73,246 | |
| | MAXIMUS Inc. | 960,504 | | 71,452 | |
| | Cognex Corp. | 1,218,782 | | 68,301 | |
| | Landstar System Inc. | 592,369 | | 67,453 | |
| | Littelfuse Inc. | 347,455 | | 66,468 | |
| * | Axon Enterprise Inc. | 890,920 | | 65,287 | |
| * | Clean Harbors Inc. | 754,041 | | 64,659 | |
| * | Paylocity Holding Corp. | 522,123 | | 63,083 | |
| * | Coherent Inc. | 362,607 | | 60,320 | |
| * | Mercury Systems Inc. | 833,812 | | 57,625 | |
| | Eagle Materials Inc. | 625,081 | | 56,670 | |
| * | RBC Bearings Inc. | 356,865 | | 56,506 | |
| * | SiteOne Landscape Supply Inc. | 621,223 | | 56,314 | |
| | Exponent Inc. | 778,062 | | 53,694 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | John Bean Technologies Corp. | 475,394 | | 53,558 | |
| * | ASGN Inc. | 753,013 | | 53,441 | |
| * | TopBuild Corp. | 509,659 | | 52,536 | |
| | FLIR Systems Inc. | 1,007,199 | | 52,445 | |
| | Insperity Inc. | 570,446 | | 49,081 | |
| | AO Smith Corp. | 1,028,818 | | 49,013 | |
| * | Aerojet Rocketdyne Holdings Inc. | 1,063,435 | | 48,556 | |
| | Simpson Manufacturing Co. Inc. | 598,927 | | 48,052 | |
| * | Itron Inc. | 564,445 | | 47,385 | |
| | Tradeweb Markets Inc. Class A | 989,113 | | 45,845 | |
| * | Novanta Inc. | 500,314 | | 44,248 | |
| * | AMN Healthcare Services Inc. | 701,521 | | 43,712 | |
| * | II-VI Inc. | 1,295,971 | | 43,635 | |
| * | Summit Materials Inc. Class A | 1,685,789 | | 40,290 | |
| * | Allegheny Technologies Inc. | 1,893,200 | | 39,114 | |
| * | Proto Labs Inc. | 381,719 | | 38,764 | |
| * | Kirby Corp. | 427,478 | | 38,272 | |
| * | Saia Inc. | 389,366 | | 36,258 | |
| * | TriNet Group Inc. | 629,050 | | 35,611 | |
| * | Advanced Disposal Services Inc. | 1,071,193 | | 35,210 | |
| | Albany International Corp. Class A | 460,961 | | 34,996 | |
| * | Rogers Corp. | 278,860 | | 34,782 | |
| | Armstrong World Industries Inc. | 364,008 | | 34,206 | |
| | Franklin Electric Co. Inc. | 591,824 | | 33,923 | |
| * | ExlService Holdings Inc. | 486,373 | | 33,783 | |
| * | Cimpress NV | 251,335 | | 31,610 | |
| | AAON Inc. | 625,716 | | 30,917 | |
| | Cubic Corp. | 469,652 | | 29,856 | |
| | Forward Air Corp. | 422,924 | | 29,584 | |
| * | Ambarella Inc. | 470,255 | | 28,479 | |
| | Badger Meter Inc. | 437,198 | | 28,387 | |
| | Mueller Water Products Inc. Class A | 2,366,957 | | 28,356 | |
| * | Masonite International Corp. | 373,629 | | 26,980 | |
| *,^ | Verra Mobility Corp. Class A | 1,911,250 | | 26,738 | |
| | Covanta Holding Corp. | 1,776,232 | | 26,359 | |
| | Advanced Drainage Systems Inc. | 666,422 | | 25,884 | |
| * | Installed Building Products Inc. | 315,481 | | 21,727 | |
| * | Dycom Industries Inc. | 449,730 | | 21,205 | |
| | EnPro Industries Inc. | 310,601 | | 20,773 | |
| * | Inovalon Holdings Inc. Class A | 1,085,198 | | 20,423 | |
| | Tennant Co. | 260,588 | | 20,305 | |
| | Helios Technologies Inc. | 433,058 | | 20,020 | |
| * | AeroVironment Inc. | 324,139 | | 20,012 | |
| * | Air Transport Services Group Inc. | 846,858 | | 19,867 | |
| * | Continental Building Products Inc. | 520,812 | | 18,973 | |
| * | Livent Corp. | 2,191,873 | | 18,741 | |
| | Raven Industries Inc. | 537,171 | | 18,511 | |
| * | Fabrinet | 277,851 | | 18,016 | |
| | Lindsay Corp. | 161,964 | | 15,547 | |
| * | Evo Payments Inc. Class A | 556,813 | | 14,705 | |
| | Heartland Express Inc. | 677,552 | | 14,262 | |
| * | Kratos Defense & Security Solutions Inc. | 755,867 | | 13,613 | |
| * | Thermon Group Holdings Inc. | 492,073 | | 13,188 | |
| * | FARO Technologies Inc. | 259,873 | | 13,085 | |
| | Comfort Systems USA Inc. | 261,741 | | 13,048 | |
| * | SEACOR Holdings Inc. | 290,396 | | 12,531 | |
| | Apogee Enterprises Inc. | 378,535 | | 12,302 | |
| * | Parsons Corp. | 296,432 | | 12,237 | |
| * | JELD-WEN Holding Inc. | 488,481 | | 11,435 | |
| * | Veeco Instruments Inc. | 727,838 | | 10,688 | |
| | Methode Electronics Inc. | 262,568 | | 10,332 | |
| * | Evolent Health Inc. Class A | 1,122,735 | | 10,161 | |
| * | MACOM Technology Solutions Holdings Inc. | 345,183 | | 9,182 | |
| | AZZ Inc. | 194,088 | | 8,918 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Quanex Building Products Corp. | 504,194 | | 8,612 | |
| *,^ | GreenSky Inc. Class A | 844,706 | | 7,518 | |
| * | Vicor Corp. | 139,127 | | 6,500 | |
| *,^ | Virgin Galactic Holdings Inc. | 442,077 | | 5,106 | |
| | Gorman-Rupp Co. | 129,582 | | 4,859 | |
| * | Astronics Corp. | 173,697 | | 4,855 | |
| * | Mistras Group Inc. | 262,623 | | 3,748 | |
| * | Bill.Com Holdings Inc. | 12,098 | | 460 | |
| * | HD Supply Holdings Inc. | 542 | | 22 | |
| | Knight-Swift Transportation Holdings Inc. | 378 | | 14 | |
| | REV Group Inc. | 78 | | 1 | |
| | | | | 5,102,366 | |
| Oil & Gas (3.3%) | | | | |
| * | WPX Energy Inc. | 6,257,970 | | 85,985 | |
| | Cimarex Energy Co. | 1,528,756 | | 80,244 | |
| | Parsley Energy Inc. Class A | 4,011,815 | | 75,864 | |
| | Helmerich & Payne Inc. | 1,546,676 | | 70,266 | |
| * | Transocean Ltd. | 8,727,936 | | 60,048 | |
| | Cabot Oil & Gas Corp. | 3,061,510 | | 53,301 | |
| * | Apergy Corp. | 1,162,859 | | 39,281 | |
| * | Chart Industries Inc. | 537,565 | | 36,280 | |
| *,^ | Enphase Energy Inc. | 1,286,001 | | 33,603 | |
| ^ | Antero Midstream Corp. | 4,157,921 | | 31,559 | |
| * | First Solar Inc. | 554,159 | | 31,011 | |
| * | Matador Resources Co. | 1,664,332 | | 29,908 | |
| | Patterson-UTI Energy Inc. | 2,775,276 | | 29,140 | |
| * | Callon Petroleum Co. | 5,850,992 | | 28,260 | |
| | Core Laboratories NV | 666,133 | | 25,093 | |
| | Cactus Inc. Class A | 707,020 | | 24,265 | |
| * | PDC Energy Inc. | 925,458 | | 24,219 | |
| * | SRC Energy Inc. | 3,649,293 | | 15,035 | |
| * | Oasis Petroleum Inc. | 4,583,648 | | 14,943 | |
| * | Centennial Resource Development Inc. Class A | 3,104,851 | | 14,344 | |
| * | Oceaneering International Inc. | 742,452 | | 11,070 | |
| *,^ | Tellurian Inc. | 1,441,975 | | 10,498 | |
| | Liberty Oilfield Services Inc. Class A | 854,146 | | 9,498 | |
| *,^ | Jagged Peak Energy Inc. | 962,467 | | 8,171 | |
| | NexTier Oilfield Solutions Inc. | 1,182,995 | | 7,926 | |
| * | Newpark Resources Inc. | 1,260,690 | | 7,905 | |
| * | ProPetro Holding Corp. | 650,863 | | 7,322 | |
| *,^ | Extraction Oil & Gas Inc. | 620,794 | | 1,316 | |
| * | Exterran Corp. | 109,820 | | 860 | |
| * | FTS International Inc. | 28,361 | | 30 | |
| * | Forum Energy Technologies Inc. | 108 | | — | |
| | | | | 867,245 | |
| Other (0.0%)2 | | | | |
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 1,054,451 | | 928 | |
| *,§ | NewStar Financial Inc. CVR | 323,987 | | 78 | |
| *,§ | Media General Inc. CVR | 1,362,047 | | 53 | |
| *,§ | Clinical Data CVR | 132,154 | | — | |
| | | | | 1,059 | |
| Technology (19.3%) | | | | |
| * | Tyler Technologies Inc. | 585,295 | | 175,600 | |
| * | EPAM Systems Inc. | 784,175 | | 166,371 | |
| * | DocuSign Inc. Class A | 2,113,822 | | 156,655 | |
| * | Coupa Software Inc. | 943,430 | | 137,977 | |
| * | Guidewire Software Inc. | 1,239,663 | | 136,078 | |
| * | Zendesk Inc. | 1,684,070 | | 129,050 | |
| * | Aspen Technology Inc. | 1,024,014 | | 123,834 | |
| * | PTC Inc. | 1,560,553 | | 116,870 | |
| | Monolithic Power Systems Inc. | 619,647 | | 110,310 | |
| * | Ceridian HCM Holding Inc. | 1,512,039 | | 102,637 | |
| | Entegris Inc. | 2,025,279 | | 101,446 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | CDK Global Inc. | 1,822,601 | | 99,660 | |
| * | Ciena Corp. | 2,322,449 | | 99,145 | |
| * | Proofpoint Inc. | 847,551 | | 97,282 | |
| * | HubSpot Inc. | 610,731 | | 96,801 | |
| * | RingCentral Inc. Class A | 561,895 | | 94,775 | |
| *,^ | MongoDB Inc. | 707,053 | | 93,055 | |
| | MKS Instruments Inc. | 818,490 | | 90,042 | |
| * | Lumentum Holdings Inc. | 1,101,025 | | 87,311 | |
| | Teradyne Inc. | 1,257,576 | | 85,754 | |
| * | Nutanix Inc. | 2,608,000 | | 81,526 | |
| * | Anaplan Inc. | 1,484,272 | | 77,776 | |
| * | Manhattan Associates Inc. | 959,271 | | 76,502 | |
| * | Silicon Laboratories Inc. | 651,387 | | 75,548 | |
| * | Cree Inc. | 1,617,277 | | 74,637 | |
| * | Alteryx Inc. Class A | 700,142 | | 70,063 | |
| * | Smartsheet Inc. Class A | 1,487,530 | | 66,820 | |
| | j2 Global Inc. | 695,006 | | 65,129 | |
| * | RealPage Inc. | 1,210,450 | | 65,062 | |
| * | ViaSat Inc. | 875,103 | | 64,053 | |
| | Cabot Microelectronics Corp. | 437,061 | | 63,077 | |
| | LogMeIn Inc. | 732,898 | | 62,839 | |
| * | ACI Worldwide Inc. | 1,648,765 | | 62,463 | |
| * | Pure Storage Inc. Class A | 3,461,900 | | 59,233 | |
| | Blackbaud Inc. | 738,448 | | 58,780 | |
| * | Five9 Inc. | 871,114 | | 57,128 | |
| * | Semtech Corp. | 999,210 | | 52,858 | |
| * | Q2 Holdings Inc. | 650,652 | | 52,755 | |
| * | New Relic Inc. | 794,346 | | 52,197 | |
| * | Envestnet Inc. | 748,437 | | 52,114 | |
| * | FireEye Inc. | 3,091,540 | | 51,103 | |
| * | Inphi Corp. | 685,777 | | 50,761 | |
| * | Cornerstone OnDemand Inc. | 865,972 | | 50,703 | |
| | Pegasystems Inc. | 595,483 | | 47,430 | |
| *,^ | Zscaler Inc. | 960,333 | | 44,656 | |
| | Brooks Automation Inc. | 1,031,374 | | 43,276 | |
| | Cogent Communications Holdings Inc. | 632,621 | | 41,633 | |
| | Power Integrations Inc. | 419,903 | | 41,533 | |
| * | Qualys Inc. | 494,690 | | 41,242 | |
| * | Advanced Energy Industries Inc. | 575,676 | | 40,988 | |
| * | Everbridge Inc. | 507,312 | | 39,611 | |
| * | Lattice Semiconductor Corp. | 2,005,315 | | 38,382 | |
| * | Acacia Communications Inc. | 557,607 | | 37,811 | |
| * | Rapid7 Inc. | 667,267 | | 37,380 | |
| * | Bottomline Technologies DE Inc. | 660,119 | | 35,382 | |
| * | Box Inc. | 2,107,976 | | 35,372 | |
| * | Diodes Inc. | 613,343 | | 34,574 | |
| * | Blackline Inc. | 668,302 | | 34,458 | |
| * | PROS Holdings Inc. | 568,533 | | 34,067 | |
| * | Varonis Systems Inc. | 434,814 | | 33,789 | |
| * | LivePerson Inc. | 894,469 | | 33,095 | |
| *,^ | Cloudera Inc. | 2,729,580 | | 31,745 | |
| * | SailPoint Technologies Holding Inc. | 1,272,439 | | 30,030 | |
| * | FormFactor Inc. | 1,137,305 | | 29,536 | |
| * | CommVault Systems Inc. | 615,210 | | 27,463 | |
| * | Appfolio Inc. | 246,219 | | 27,072 | |
| | InterDigital Inc. | 467,501 | | 25,474 | |
| * | Alarm.com Holdings Inc. | 547,002 | | 23,505 | |
| * | Infinera Corp. | 2,714,582 | | 21,554 | |
| | NIC Inc. | 955,038 | | 21,345 | |
| * | MaxLinear Inc. | 966,925 | | 20,518 | |
| * | Altair Engineering Inc. Class A | 545,890 | | 19,603 | |
| * | Elastic NV | 298,049 | | 19,165 | |
| ^ | Ubiquiti Inc. | 97,709 | | 18,465 | |
| * | Yext Inc. | 1,272,005 | | 18,342 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | MicroStrategy Inc. Class A | 123,570 | | 17,625 | |
| * | Eventbrite Inc. Class A | 861,990 | | 17,386 | |
| *,^ | 3D Systems Corp. | 1,679,887 | | 14,699 | |
| | Switch Inc. | 977,112 | | 14,481 | |
| * | Tenable Holdings Inc. | 589,642 | | 14,128 | |
| * | Dynatrace Inc. | 526,321 | | 13,316 | |
| * | Cision Ltd. | 1,333,615 | | 13,296 | |
| * | SolarWinds Corp. | 699,320 | | 12,972 | |
| ^ | Ebix Inc. | 341,475 | | 11,409 | |
| *,^ | Pagerduty Inc. | 458,044 | | 10,714 | |
| * | Cloudflare Inc. Class A | 586,892 | | 10,012 | |
| * | Virtusa Corp. | 201,705 | | 9,143 | |
| *,^ | Livongo Health Inc. | 358,595 | | 8,986 | |
| * | Benefitfocus Inc. | 399,676 | | 8,769 | |
| * | CEVA Inc. | 312,253 | | 8,418 | |
| * | nLight Inc. | 403,217 | | 8,177 | |
| * | Fastly Inc. Class A | 354,614 | | 7,117 | |
| | Plantronics Inc. | 254,895 | | 6,969 | |
| * | Forrester Research Inc. | 152,227 | | 6,348 | |
| * | Loral Space & Communications Inc. | 195,488 | | 6,318 | |
| * | WideOpenWest Inc. | 773,835 | | 5,742 | |
| *,^ | Gogo Inc. | 874,286 | | 5,595 | |
| * | Endurance International Group Holdings Inc. | 1,099,815 | | 5,169 | |
| * | Sciplay Corp. Class A | 334,942 | | 4,116 | |
| * | MobileIron Inc. | 712,221 | | 3,461 | |
| * | SecureWorks Corp. Class A | 108,192 | | 1,803 | |
| * | Casa Systems Inc. | 95,496 | | 391 | |
| * | Castlight Health Inc. Class B | 118,842 | | 158 | |
| * | Shutterstock Inc. | 62 | | 3 | |
| * | Ping Identity Holding Corp. | 37 | | 1 | |
| | | | | 5,018,998 | |
| Telecommunications (0.2%) | | | | |
| | Shenandoah Telecommunications Co. | 710,799 | | 29,576 | |
| | ATN International Inc. | 154,436 | | 8,554 | |
| * | Intelsat SA | 1,181,388 | | 8,305 | |
| *,^ | GTT Communications Inc. | 473,176 | | 5,371 | |
| *,^ | Globalstar Inc. | 8,854,730 | | 4,593 | |
| | | | | 56,399 | |
| Utilities (0.9%) | | | | |
| | NRG Energy Inc. | 1,794,022 | | 71,312 | |
| | Ormat Technologies Inc. | 612,491 | | 45,643 | |
| | Pattern Energy Group Inc. Class A | 1,474,930 | | 39,462 | |
| * | Evoqua Water Technologies Corp. | 1,116,339 | | 21,154 | |
| | TerraForm Power Inc. Class A | 1,366,872 | | 21,036 | |
| * | Sunrun Inc. | 1,241,114 | | 17,140 | |
| *,^ | Bloom Energy Corp. Class A | 908,018 | | 6,783 | |
| *,^ | Vivint Solar Inc. | 328,066 | | 2,382 | |
| | | | | 224,912 | |
| Total Common Stocks (Cost $19,287,201) | | | 25,882,901 | |
| | Coupon | | | | | | | |
| Temporary Cash Investments (2.1%)1 | | | | | | | | |
| Money Market Fund (2.1%) | | | | | | | | |
| 3,4 | Vanguard Market Liquidity Fund | 1.816% | | | | 5,490,515 | | 549,107 | |
| | | | | | Face | | | |
| | | | Maturity | | Amount | | | |
| | | | Date | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| 5 | United States Treasury Bill | 1.541% | | 4/30/20 | | 2,500 | | 2,487 | |
Vanguard®Small-Cap Growth Index Fund
Schedule of Investments
December 31, 2019
| | Market | |
| | Value | |
| | ($000 | ) |
| Total Temporary Cash Investments (Cost $551,543) | 551,594 | |
| Total Investments (101.9%) (Cost $19,838,744) | 26,434,495 | |
| Other Assets and Liabilities—Net (-1.9%)4,5 | (494,417 | ) |
| Net Assets (100%) | 25,940,078 | |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $459,303,000. |
| § | 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 1.8%, 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 | Collateral of $477,535,000 was received for securities on loan, of which $475,505,000 is held in Vanguard Market Liquidity Fund and $2,030,000 is held in cash. |
| 5 | Securities with a value of $493,000 and cash of $2,745,000 have been segregated as initial margin for open futures contracts. |
CVR—Contingent Value Rights.
REIT—Real Estate Investment Trust.
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| Common Stocks (99.7%)1 | | | | |
| Basic Materials (5.2%) | | | | |
| | RPM International Inc. | 2,003,020 | | 153,752 | |
| | Steel Dynamics Inc. | 3,171,463 | | 107,957 | |
| | Huntsman Corp. | 3,181,148 | | 76,856 | |
| | WR Grace & Co. | 1,027,863 | | 71,796 | |
| | Ashland Global Holdings Inc. | 927,066 | | 70,948 | |
| | Scotts Miracle-Gro Co. | 601,842 | | 63,904 | |
| * | Alcoa Corp. | 2,858,776 | | 61,492 | |
| | Reliance Steel & Aluminum Co. | 487,530 | | 58,387 | |
| * | Axalta Coating Systems Ltd. | 1,625,918 | | 49,428 | |
| | Chemours Co. | 2,518,602 | | 45,561 | |
| | PolyOne Corp. | 1,185,253 | | 43,605 | |
| | Sensient Technologies Corp. | 651,968 | | 43,089 | |
| | Olin Corp. | 2,460,309 | | 42,440 | |
| | Commercial Metals Co. | 1,827,618 | | 40,701 | |
| | HB Fuller Co. | 785,730 | | 40,520 | |
| | Innospec Inc. | 377,424 | | 39,041 | |
| | Cabot Corp. | 790,353 | | 37,558 | |
| | Carpenter Technology Corp. | 740,767 | | 36,875 | |
| ^ | Cleveland-Cliffs Inc. | 4,159,966 | | 34,944 | |
| | Domtar Corp. | 882,674 | | 33,753 | |
| | Quaker Chemical Corp. | 204,544 | | 33,652 | |
| | Stepan Co. | 312,210 | | 31,983 | |
| | Compass Minerals International Inc. | 521,950 | | 31,818 | |
| * | Univar Solutions Inc. | 1,299,090 | | 31,490 | |
| | Minerals Technologies Inc. | 537,236 | | 30,961 | |
| ^ | United States Steel Corp. | 2,619,503 | | 29,888 | |
| | Kaiser Aluminum Corp. | 244,575 | | 27,121 | |
| | Hecla Mining Co. | 7,640,611 | | 25,902 | |
| | Worthington Industries Inc. | 559,962 | | 23,619 | |
| * | GCP Applied Technologies Inc. | 894,294 | | 20,309 | |
| | Schweitzer-Mauduit International Inc. | 476,100 | | 19,991 | |
| * | Ferro Corp. | 1,262,484 | | 18,723 | |
| | Materion Corp. | 312,955 | | 18,605 | |
| | Warrior Met Coal Inc. | 786,663 | | 16,622 | |
| | Arch Coal Inc. Class A | 220,200 | | 15,797 | |
| * | AK Steel Holding Corp. | 4,631,846 | | 15,239 | |
| | Tronox Holdings plc Class A | 1,312,245 | | 14,986 | |
| * | Coeur Mining Inc. | 1,667,551 | | 13,474 | |
| * | Kraton Corp. | 510,222 | | 12,919 | |
| | PH Glatfelter Co. | 680,057 | | 12,445 | |
| * | Koppers Holdings Inc. | 302,323 | | 11,555 | |
| | Tredegar Corp. | 458,816 | | 10,254 | |
| | Innophos Holdings Inc. | 300,872 | | 9,622 | |
| | Peabody Energy Corp. | 1,044,715 | | 9,528 | |
| | Schnitzer Steel Industries Inc. | 389,355 | | 8,441 | |
| | Haynes International Inc. | 192,928 | | 6,903 | |
| * | Century Aluminum Co. | 765,272 | | 5,751 | |
| | FutureFuel Corp. | 419,744 | | 5,201 | |
| | Kronos Worldwide Inc. | 357,526 | | 4,791 | |
| | SunCoke Energy Inc. | 670,235 | | 4,176 | |
| * | CONSOL Energy Inc. | 161,038 | | 2,337 | |
| * | Resolute Forest Products Inc. | 451,637 | | 1,897 | |
| * | Contura Energy Inc. | 144,539 | | 1,308 | |
| | | | | 1,679,915 | |
| Consumer Goods (8.2%) | | | | |
| * | US Foods Holding Corp. | 3,390,265 | | 142,018 | |
| | Leggett & Platt Inc. | 2,036,233 | | 103,502 | |
| | Ingredion Inc. | 1,034,235 | | 96,132 | |
| | Polaris Inc. | 895,171 | | 91,039 | |
| | Harley-Davidson Inc. | 2,376,429 | | 88,379 | |
| * | Capri Holdings Ltd. | 2,218,803 | | 84,647 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Hanesbrands Inc. | 5,570,889 | | 82,728 | |
| | Toll Brothers Inc. | 1,946,847 | | 76,920 | |
| | Brunswick Corp. | 1,256,386 | | 75,358 | |
| * | Deckers Outdoor Corp. | 430,892 | | 72,760 | |
| *,^ | Mattel Inc. | 5,340,621 | | 72,365 | |
| * | Darling Ingredients Inc. | 2,521,821 | | 70,813 | |
| * | Herbalife Nutrition Ltd. | 1,474,758 | | 70,302 | |
| * | Helen of Troy Ltd. | 387,606 | | 69,688 | |
| | Valvoline Inc. | 2,901,523 | | 62,122 | |
| | Flowers Foods Inc. | 2,768,702 | | 60,192 | |
| | Thor Industries Inc. | 807,757 | | 60,008 | |
| | Goodyear Tire & Rubber Co. | 3,588,896 | | 55,825 | |
| | Sanderson Farms Inc. | 307,105 | | 54,118 | |
| ^ | Energizer Holdings Inc. | 959,139 | | 48,168 | |
| | KB Home | 1,361,907 | | 46,673 | |
| | Spectrum Brands Holdings Inc. | 714,513 | | 45,936 | |
| * | TreeHouse Foods Inc. | 866,142 | | 42,008 | |
| | Dana Inc. | 2,217,336 | | 40,356 | |
| | Wolverine World Wide Inc. | 1,183,648 | | 39,936 | |
| | Herman Miller Inc. | 909,965 | | 37,900 | |
| * | Visteon Corp. | 430,770 | | 37,300 | |
| | Kontoor Brands Inc. | 877,253 | | 36,836 | |
| * | Taylor Morrison Home Corp. Class A | 1,629,191 | | 35,614 | |
| | Nu Skin Enterprises Inc. Class A | 855,763 | | 35,069 | |
| * | Meritage Homes Corp. | 560,663 | | 34,262 | |
| * | TRI Pointe Group Inc. | 2,145,676 | | 33,430 | |
| * | Hain Celestial Group Inc. | 1,205,596 | | 31,291 | |
| * | Meritor Inc. | 1,143,517 | | 29,949 | |
| | MDC Holdings Inc. | 771,600 | | 29,444 | |
| | Steelcase Inc. Class A | 1,300,164 | | 26,601 | |
| * | Edgewell Personal Care Co. | 835,452 | | 25,866 | |
| * | Hostess Brands Inc. Class A | 1,770,864 | | 25,748 | |
| * | Pilgrim’s Pride Corp. | 769,038 | | 25,159 | |
| | HNI Corp. | 659,996 | | 24,723 | |
| | Vector Group Ltd. | 1,820,072 | | 24,371 | |
| | Lancaster Colony Corp. | 148,234 | | 23,732 | |
| *,^ | Beyond Meat Inc. | 307,908 | | 23,278 | |
| | La-Z-Boy Inc. | 714,642 | | 22,497 | |
| | Cooper Tire & Rubber Co. | 771,903 | | 22,192 | |
| * | G-III Apparel Group Ltd. | 662,217 | | 22,184 | |
| | Universal Corp. | 363,062 | | 20,716 | |
| | Knoll Inc. | 767,489 | | 19,387 | |
| | Cal-Maine Foods Inc. | 437,870 | | 18,719 | |
| * | American Axle & Manufacturing Holdings Inc. | 1,733,680 | | 18,654 | |
| * | Central Garden & Pet Co. Class A | 624,425 | | 18,333 | |
| ^ | B&G Foods Inc. | 986,810 | | 17,693 | |
| * | Delphi Technologies plc | 1,326,088 | | 17,014 | |
| | Acushnet Holdings Corp. | 521,119 | | 16,936 | |
| | Fresh Del Monte Produce Inc. | 481,686 | | 16,849 | |
| | Seaboard Corp. | 3,573 | | 15,187 | |
| | ACCO Brands Corp. | 1,420,874 | | 13,299 | |
| | Sturm Ruger & Co. Inc. | 254,594 | | 11,974 | |
| | Andersons Inc. | 450,564 | | 11,390 | |
| | Tenneco Inc. Class A | 793,346 | | 10,393 | |
| | Inter Parfums Inc. | 132,109 | | 9,606 | |
| | Oxford Industries Inc. | 124,669 | | 9,403 | |
| ^ | Tootsie Roll Industries Inc. | 240,970 | | 8,227 | |
| * | Cooper-Standard Holdings Inc. | 243,822 | | 8,085 | |
| | Phibro Animal Health Corp. Class A | 311,041 | | 7,723 | |
| | National Presto Industries Inc. | 79,858 | | 7,059 | |
| | Ethan Allen Interiors Inc. | 369,181 | | 7,037 | |
| | Movado Group Inc. | 240,677 | | 5,232 | |
| * | Central Garden & Pet Co. | 152,369 | | 4,734 | |
| * | elf Beauty Inc. | 250,764 | | 4,045 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| *,^ | GoPro Inc. Class A | 925,745 | | 4,018 | |
| * | American Outdoor Brands Corp. | 401,362 | | 3,725 | |
| * | Vista Outdoor Inc. | 444,888 | | 3,328 | |
| | Tupperware Brands Corp. | 376,815 | | 3,233 | |
| * | Modine Manufacturing Co. | 401,388 | | 3,091 | |
| * | Fossil Group Inc. | 350,922 | | 2,765 | |
| * | Garrett Motion Inc. | 61,043 | | 610 | |
| * | BellRing Brands Inc. Class A | 96 | | 2 | |
| | | | | 2,677,906 | |
| Consumer Services (10.4%) | | | | |
| | Service Corp. International | 2,682,565 | | 123,478 | |
| | Sabre Corp. | 4,218,058 | | 94,653 | |
| * | Performance Food Group Co. | 1,804,833 | | 92,913 | |
| | Wyndham Hotels & Resorts Inc. | 1,465,714 | | 92,061 | |
| | Williams-Sonoma Inc. | 1,195,626 | | 87,807 | |
| * | JetBlue Airways Corp. | 4,446,712 | | 83,242 | |
| | Macy’s Inc. | 4,759,129 | | 80,905 | |
| | Gap Inc. | 4,312,405 | | 76,243 | |
| | H&R Block Inc. | 3,091,417 | | 72,586 | |
| | Wyndham Destinations Inc. | 1,396,889 | | 72,205 | |
| | New York Times Co. Class A | 2,163,153 | | 69,589 | |
| ^ | Nordstrom Inc. | 1,673,644 | | 68,502 | |
| | L Brands Inc. | 3,618,157 | | 65,561 | |
| | Foot Locker Inc. | 1,648,918 | | 64,291 | |
| | Wendy’s Co. | 2,834,537 | | 62,955 | |
| * | AutoNation Inc. | 1,237,021 | | 60,156 | |
| | Aaron’s Inc. | 1,034,475 | | 59,079 | |
| ^ | Cracker Barrel Old Country Store Inc. | 369,286 | | 56,774 | |
| | TEGNA Inc. | 3,340,893 | | 55,760 | |
| | Cinemark Holdings Inc. | 1,623,761 | | 54,964 | |
| * | Murphy USA Inc. | 450,210 | | 52,675 | |
| | AMERCO | 135,878 | | 51,066 | |
| | TripAdvisor Inc. | 1,657,796 | | 50,364 | |
| * | Qurate Retail Group Inc. QVC Group Class A | 5,955,513 | | 50,205 | |
| | Lithia Motors Inc. Class A | 331,043 | | 48,663 | |
| * | BJ’s Wholesale Club Holdings Inc. | 2,114,754 | | 48,090 | |
| | SkyWest Inc. | 738,200 | | 47,710 | |
| * | LiveRamp Holdings Inc. | 990,648 | | 47,620 | |
| | Dick’s Sporting Goods Inc. | 930,867 | | 46,069 | |
| * | Penn National Gaming Inc. | 1,696,634 | | 43,366 | |
| | KAR Auction Services Inc. | 1,983,621 | | 43,223 | |
| * | Spirit Airlines Inc. | 1,054,607 | | 42,511 | |
| | Extended Stay America Inc. | 2,815,963 | | 41,845 | |
| | Graham Holdings Co. Class B | 63,677 | | 40,689 | |
| * | ServiceMaster Global Holdings Inc. | 1,044,520 | | 40,381 | |
| | John Wiley & Sons Inc. Class A | 729,278 | | 35,385 | |
| * | Sprouts Farmers Market Inc. | 1,821,594 | | 35,248 | |
| | Hillenbrand Inc. | 1,055,449 | | 35,157 | |
| | American Eagle Outfitters Inc. | 2,343,390 | | 34,448 | |
| * | Asbury Automotive Group Inc. | 297,480 | | 33,255 | |
| | Sinclair Broadcast Group Inc. Class A | 981,855 | | 32,735 | |
| * | Sally Beauty Holdings Inc. | 1,792,364 | | 32,711 | |
| ^ | Bed Bath & Beyond Inc. | 1,852,654 | | 32,051 | |
| * | Laureate Education Inc. Class A | 1,772,094 | | 31,207 | |
| | Bloomin’ Brands Inc. | 1,338,277 | | 29,536 | |
| * | Adtalem Global Education Inc. | 832,071 | | 29,098 | |
| * | Avis Budget Group Inc. | 853,071 | | 27,503 | |
| | Group 1 Automotive Inc. | 272,677 | | 27,268 | |
| * | AMC Networks Inc. Class A | 645,000 | | 25,478 | |
| * | Urban Outfitters Inc. | 906,045 | | 25,161 | |
| | Penske Automotive Group Inc. | 500,003 | | 25,110 | |
| | PriceSmart Inc. | 353,128 | | 25,079 | |
| | Brinker International Inc. | 575,736 | | 24,181 | |
| * | Hertz Global Holdings Inc. | 1,532,186 | | 24,132 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| ^ | Cheesecake Factory Inc. | 618,886 | | 24,050 | |
| | Office Depot Inc. | 8,397,829 | | 23,010 | |
| | Rent-A-Center Inc. | 756,648 | | 21,822 | |
| | Hawaiian Holdings Inc. | 717,929 | | 21,028 | |
| | Dine Brands Global Inc. | 245,784 | | 20,528 | |
| | Core-Mark Holding Co. Inc. | 702,506 | | 19,101 | |
| | Meredith Corp. | 585,821 | | 19,022 | |
| * | Groupon Inc. Class A | 7,399,316 | | 17,684 | |
| | Matthews International Corp. Class A | 459,006 | | 17,520 | |
| | Signet Jewelers Ltd. | 803,149 | | 17,460 | |
| | Big Lots Inc. | 600,208 | | 17,238 | |
| *,^ | Peloton Interactive Inc. Class A | 605,982 | | 17,210 | |
| * | Lions Gate Entertainment Corp. Class B | 1,713,181 | | 17,012 | |
| | Abercrombie & Fitch Co. | 969,008 | | 16,754 | |
| * | Grocery Outlet Holding Corp. | 487,299 | | 15,813 | |
| * | Clear Channel Outdoor Holdings Inc. | 5,341,855 | | 15,278 | |
| | Designer Brands Inc. Class A | 950,869 | | 14,967 | |
| | Caleres Inc. | 596,643 | | 14,170 | |
| ^ | Children’s Place Inc. | 225,998 | | 14,129 | |
| | Guess? Inc. | 607,145 | | 13,588 | |
| | Scholastic Corp. | 331,333 | | 12,740 | |
| * | Cars.com Inc. | 1,025,526 | | 12,532 | |
| ^ | Rite Aid Corp. | 808,239 | | 12,503 | |
| ^ | Buckle Inc. | 454,202 | | 12,282 | |
| * | K12 Inc. | 595,771 | | 12,124 | |
| * | MSG Networks Inc. | 681,590 | | 11,860 | |
| | Gannett Co. Inc. | 1,809,421 | | 11,544 | |
| | BJ’s Restaurants Inc. | 295,393 | | 11,213 | |
| * | Zumiez Inc. | 315,340 | | 10,892 | |
| ^ | Dillard’s Inc. Class A | 145,552 | | 10,695 | |
| * | Genesco Inc. | 219,760 | | 10,531 | |
| | Sonic Automotive Inc. Class A | 333,941 | | 10,352 | |
| | Weis Markets Inc. | 252,001 | | 10,204 | |
| * | Houghton Mifflin Harcourt Co. | 1,615,967 | | 10,100 | |
| * | Michaels Cos. Inc. | 1,196,471 | | 9,679 | |
| *,^ | Lions Gate Entertainment Corp. Class A | 903,293 | | 9,629 | |
| * | Herc Holdings Inc. | 188,193 | | 9,210 | |
| | National CineMedia Inc. | 1,176,288 | | 8,575 | |
| | Entercom Communications Corp. Class A | 1,755,855 | | 8,147 | |
| * | BrightView Holdings Inc. | 478,673 | | 8,075 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 1,095,813 | | 8,054 | |
| ^ | GameStop Corp. Class A | 1,314,767 | | 7,994 | |
| * | United Natural Foods Inc. | 814,759 | | 7,137 | |
| | Chico’s FAS Inc. | 1,728,169 | | 6,584 | |
| * | Regis Corp. | 360,765 | | 6,447 | |
| ^ | AMC Entertainment Holdings Inc. Class A | 803,646 | | 5,818 | |
| *,^ | RealReal Inc. | 263,554 | | 4,968 | |
| | Emerald Expositions Events Inc. | 388,867 | | 4,103 | |
| * | El Pollo Loco Holdings Inc. | 269,379 | | 4,078 | |
| * | Diplomat Pharmacy Inc. | 877,712 | | 3,511 | |
| * | American Public Education Inc. | 112,533 | | 3,082 | |
| * | Lands’ End Inc. | 174,876 | | 2,938 | |
| *,^ | Party City Holdco Inc. | 685,712 | | 1,605 | |
| * | At Home Group Inc. | 211,249 | | 1,162 | |
| * | Biglari Holdings Inc. | 1,267 | | 760 | |
| * | frontdoor Inc. | 1,534 | | 73 | |
| * | IAA Inc. | 372 | | 18 | |
| | Papa John’s International Inc. | 64 | | 4 | |
| * | Fiesta Restaurant Group Inc. | 42 | | — | |
| | | | | 3,391,551 | |
| Financials (34.6%) | | | | |
| | Medical Properties Trust Inc. | 8,000,709 | | 168,895 | |
| | VICI Properties Inc. | 6,119,429 | | 156,351 | |
| | Liberty Property Trust | 2,437,917 | | 146,397 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Brown & Brown Inc. | 3,695,911 | | 145,915 | |
| | National Retail Properties Inc. | 2,651,662 | | 142,182 | |
| | Gaming and Leisure Properties Inc. | 3,148,423 | | 135,540 | |
| | RenaissanceRe Holdings Ltd. | 681,680 | | 133,623 | |
| | American Financial Group Inc. | 1,113,676 | | 122,115 | |
| | Apartment Investment & Management Co. | 2,300,963 | | 118,845 | |
| | Assurant Inc. | 891,281 | | 116,829 | |
| | LPL Financial Holdings Inc. | 1,244,991 | | 114,850 | |
| | TCF Financial Corp. | 2,377,362 | | 111,261 | |
| | East West Bancorp Inc. | 2,263,249 | | 110,220 | |
| | Signature Bank | 792,227 | | 108,226 | |
| | Commerce Bancshares Inc. | 1,565,901 | | 106,387 | |
| | New Residential Investment Corp. | 6,401,079 | | 103,121 | |
| | Starwood Property Trust Inc. | 4,136,468 | | 102,833 | |
| | Prosperity Bancshares Inc. | 1,390,525 | | 99,965 | |
| | Old Republic International Corp. | 4,455,666 | | 99,673 | |
| | Brixmor Property Group Inc. | 4,611,286 | | 99,650 | |
| | First American Financial Corp. | 1,643,363 | | 95,841 | |
| | Park Hotels & Resorts Inc. | 3,686,932 | | 95,381 | |
| | Cousins Properties Inc. | 2,260,678 | | 93,140 | |
| | Popular Inc. | 1,498,413 | | 88,032 | |
| | EPR Properties | 1,216,251 | | 85,916 | |
| | Cullen/Frost Bankers Inc. | 876,861 | | 85,739 | |
| | Synovus Financial Corp. | 2,167,653 | | 84,972 | |
| | Unum Group | 2,859,114 | | 83,372 | |
| | Hanover Insurance Group Inc. | 608,803 | | 83,205 | |
| | Primerica Inc. | 637,029 | | 83,171 | |
| | New York Community Bancorp Inc. | 6,837,604 | | 82,188 | |
| | First Industrial Realty Trust Inc. | 1,954,963 | | 81,151 | |
| | First Horizon National Corp. | 4,822,340 | | 79,858 | |
| | Jefferies Financial Group Inc. | 3,696,040 | | 78,984 | |
| | EastGroup Properties Inc. | 591,461 | | 78,469 | |
| | Radian Group Inc. | 3,111,114 | | 78,276 | |
| | Highwoods Properties Inc. | 1,597,807 | | 78,149 | |
| | Life Storage Inc. | 718,547 | | 77,804 | |
| | Eaton Vance Corp. | 1,655,600 | | 77,300 | |
| | MGIC Investment Corp. | 5,401,320 | | 76,537 | |
| | Webster Financial Corp. | 1,417,537 | | 75,640 | |
| | Kemper Corp. | 975,316 | | 75,587 | |
| | Blackstone Mortgage Trust Inc. Class A | 1,964,524 | | 73,120 | |
| | Axis Capital Holdings Ltd. | 1,228,171 | | 73,003 | |
| | Omega Healthcare Investors Inc. | 1,684,522 | | 71,340 | |
| | First Financial Bankshares Inc. | 1,987,513 | | 69,762 | |
| | PacWest Bancorp | 1,820,503 | | 69,671 | |
| | Jones Lang LaSalle Inc. | 396,943 | | 69,104 | |
| | Assured Guaranty Ltd. | 1,395,677 | | 68,416 | |
| | Valley National Bancorp | 5,911,168 | | 67,683 | |
| | CIT Group Inc. | 1,458,936 | | 66,571 | |
| | Lazard Ltd. Class A | 1,650,030 | | 65,935 | |
| | Glacier Bancorp Inc. | 1,419,532 | | 65,284 | |
| | Rayonier Inc. | 1,991,737 | | 65,249 | |
| * | Brighthouse Financial Inc. | 1,663,043 | | 65,241 | |
| | FNB Corp. | 5,004,582 | | 63,558 | |
| | Wintrust Financial Corp. | 879,078 | | 62,327 | |
| | Service Properties Trust | 2,534,383 | | 61,662 | |
| | Two Harbors Investment Corp. | 4,206,360 | | 61,497 | |
| | Affiliated Managers Group Inc. | 721,064 | | 61,103 | |
| | Stifel Financial Corp. | 1,000,777 | | 60,697 | |
| | United Bankshares Inc. | 1,563,815 | | 60,457 | |
| | IBERIABANK Corp. | 805,061 | | 60,243 | |
| | Umpqua Holdings Corp. | 3,391,515 | | 60,030 | |
| | Janus Henderson Group plc | 2,454,741 | | 60,018 | |
| | Selective Insurance Group Inc. | 914,739 | | 59,632 | |
| | Bank of Hawaii Corp. | 623,181 | | 59,302 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Outfront Media Inc. | 2,210,749 | | 59,292 | |
| | Chimera Investment Corp. | 2,883,484 | | 59,284 | |
| | RLI Corp. | 655,957 | | 59,049 | |
| | Hancock Whitney Corp. | 1,343,548 | | 58,955 | |
| | Weingarten Realty Investors | 1,882,027 | | 58,795 | |
| ^ | Macerich Co. | 2,176,008 | | 58,578 | |
| | Equity Commonwealth | 1,783,256 | | 58,544 | |
| | First Hawaiian Inc. | 2,016,598 | | 58,179 | |
| | SLM Corp. | 6,502,853 | | 57,940 | |
| | People’s United Financial Inc. | 3,412,096 | | 57,664 | |
| | Community Bank System Inc. | 795,957 | | 56,465 | |
| | White Mountains Insurance Group Ltd. | 49,052 | | 54,718 | |
| | Associated Banc-Corp | 2,454,047 | | 54,087 | |
| | BankUnited Inc. | 1,462,569 | | 53,472 | |
| | Apple Hospitality REIT Inc. | 3,274,760 | | 53,215 | |
| | MFA Financial Inc. | 6,956,013 | | 53,214 | |
| | National Health Investors Inc. | 643,573 | | 52,438 | |
| | Corporate Office Properties Trust | 1,726,310 | | 50,719 | |
| | UMB Financial Corp. | 718,496 | | 49,318 | |
| | OneMain Holdings Inc. | 1,153,411 | | 48,616 | |
| | Federated Investors Inc. Class B | 1,479,707 | | 48,224 | |
| | Sunstone Hotel Investors Inc. | 3,463,890 | | 48,217 | |
| | Old National Bancorp | 2,619,350 | | 47,908 | |
| | Atlantic Union Bankshares Corp. | 1,242,832 | | 46,668 | |
| | Navient Corp. | 3,405,800 | | 46,591 | |
| | RLJ Lodging Trust | 2,627,281 | | 46,555 | |
| | BancorpSouth Bank | 1,473,275 | | 46,276 | |
| | Legg Mason Inc. | 1,270,563 | | 45,626 | |
| | Home BancShares Inc. | 2,313,777 | | 45,489 | |
| | Columbia Banking System Inc. | 1,111,447 | | 45,219 | |
| | South State Corp. | 519,855 | | 45,097 | |
| | Cathay General Bancorp | 1,168,331 | | 44,455 | |
| | Washington Federal Inc. | 1,208,361 | | 44,286 | |
| | CVB Financial Corp. | 2,049,773 | | 44,234 | |
| | Retail Properties of America Inc. | 3,291,017 | | 44,100 | |
| | Independent Bank Corp. | 529,537 | | 44,084 | |
| | Fulton Financial Corp. | 2,528,300 | | 44,068 | |
| | Agree Realty Corp. | 620,581 | | 43,546 | |
| | Apollo Commercial Real Estate Finance Inc. | 2,365,455 | | 43,264 | |
| | Piedmont Office Realty Trust Inc. Class A | 1,938,110 | | 43,104 | |
| | Brandywine Realty Trust | 2,714,723 | | 42,757 | |
| | PotlatchDeltic Corp. | 983,872 | | 42,572 | |
| | CNO Financial Group Inc. | 2,330,058 | | 42,244 | |
| | American Equity Investment Life Holding Co. | 1,403,243 | | 41,999 | |
| | Ares Management Corp. Class A | 1,149,150 | | 41,013 | |
| | Lexington Realty Trust Class B | 3,817,687 | | 40,544 | |
| | Investors Bancorp Inc. | 3,384,741 | | 40,329 | |
| | JBG SMITH Properties | 981,603 | | 39,156 | |
| | First Midwest Bancorp Inc. | 1,694,760 | | 39,081 | |
| | International Bancshares Corp. | 904,089 | | 38,939 | |
| | Empire State Realty Trust Inc. | 2,766,287 | | 38,617 | |
| | BOK Financial Corp. | 436,568 | | 38,156 | |
| | Columbia Property Trust Inc. | 1,801,977 | | 37,679 | |
| | WesBanco Inc. | 995,607 | | 37,624 | |
| | United Community Banks Inc. | 1,216,844 | | 37,576 | |
| | Xenia Hotels & Resorts Inc. | 1,735,795 | | 37,511 | |
| * | Enstar Group Ltd. | 180,184 | | 37,273 | |
| | First Financial Bancorp | 1,457,926 | | 37,090 | |
| | Invesco Mortgage Capital Inc. | 2,203,522 | | 36,689 | |
| | Washington REIT | 1,245,125 | | 36,333 | |
| | First Merchants Corp. | 858,341 | | 35,698 | |
| | First BanCorp | 3,348,672 | | 35,462 | |
| | WSFS Financial Corp. | 803,753 | | 35,357 | |
| * | Cushman & Wakefield plc | 1,705,868 | | 34,868 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Acadia Realty Trust | 1,339,651 | | 34,737 | |
| | DiamondRock Hospitality Co. | 3,085,026 | | 34,182 | |
| * | Genworth Financial Inc. Class A | 7,757,591 | | 34,133 | |
| | Urban Edge Properties | 1,774,171 | | 34,029 | |
| | PennyMac Mortgage Investment Trust | 1,525,819 | | 34,011 | |
| | Cadence BanCorp Class A | 1,873,969 | | 33,975 | |
| | SITE Centers Corp. | 2,392,451 | | 33,542 | |
| | Argo Group International Holdings Ltd. | 502,377 | | 33,031 | |
| | Sterling Bancorp | 1,556,588 | | 32,813 | |
| | First Citizens BancShares Inc. Class A | 59,931 | | 31,896 | |
| | CoreCivic Inc. | 1,835,085 | | 31,894 | |
| | Sabra Health Care REIT Inc. | 1,492,077 | | 31,841 | |
| | Senior Housing Properties Trust | 3,665,912 | | 30,940 | |
| | Trustmark Corp. | 890,924 | | 30,746 | |
| | Santander Consumer USA Holdings Inc. | 1,309,578 | | 30,605 | |
| | Great Western Bancorp Inc. | 870,034 | | 30,225 | |
| | ProAssurance Corp. | 828,812 | | 29,953 | |
| | Renasant Corp. | 838,281 | | 29,692 | |
| | Banner Corp. | 523,275 | | 29,612 | |
| | GEO Group Inc. | 1,775,300 | | 29,488 | |
| | Walker & Dunlop Inc. | 451,117 | | 29,178 | |
| | Mack-Cali Realty Corp. | 1,255,778 | | 29,046 | |
| | Bank OZK | 943,414 | | 28,779 | |
| | Redwood Trust Inc. | 1,738,442 | | 28,754 | |
| | Capitol Federal Financial Inc. | 2,071,769 | | 28,445 | |
| | Global Net Lease Inc. | 1,378,705 | | 27,960 | |
| | Taubman Centers Inc. | 895,834 | | 27,852 | |
| | First Interstate BancSystem Inc. Class A | 663,019 | | 27,794 | |
| | Horace Mann Educators Corp. | 635,155 | | 27,731 | |
| | Hope Bancorp Inc. | 1,855,339 | | 27,570 | |
| | LTC Properties Inc. | 612,519 | | 27,422 | |
| | Pebblebrook Hotel Trust | 1,006,777 | | 26,992 | |
| | Ladder Capital Corp. Class A | 1,492,771 | | 26,930 | |
| | Westamerica Bancorporation | 395,772 | | 26,821 | |
| | Artisan Partners Asset Management Inc. Class A | 820,883 | | 26,531 | |
| | BGC Partners Inc. Class A | 4,420,094 | | 26,255 | |
| | Hilltop Holdings Inc. | 1,047,107 | | 26,104 | |
| | NBT Bancorp Inc. | 640,910 | | 25,995 | |
| | Northwest Bancshares Inc. | 1,560,768 | | 25,956 | |
| | FGL Holdings | 2,388,908 | | 25,442 | |
| * | PRA Group Inc. | 699,811 | | 25,403 | |
| | Clearway Energy Inc. | 1,216,526 | | 24,270 | |
| | Moelis & Co. Class A | 760,155 | | 24,264 | |
| | Office Properties Income Trust | 740,676 | | 23,805 | |
| | S&T Bancorp Inc. | 578,732 | | 23,317 | |
| | National General Holdings Corp. | 1,047,201 | | 23,143 | |
| | Berkshire Hills Bancorp Inc. | 693,095 | | 22,789 | |
| | Eagle Bancorp Inc. | 465,697 | | 22,647 | |
| | Provident Financial Services Inc. | 915,266 | | 22,561 | |
| | Industrial Logistics Properties Trust | 999,806 | | 22,416 | |
| | Simmons First National Corp. Class A | 834,821 | | 22,365 | |
| | First Commonwealth Financial Corp. | 1,515,369 | | 21,988 | |
| | Park National Corp. | 214,243 | | 21,934 | |
| ^ | American Finance Trust Inc. | 1,639,151 | | 21,735 | |
| * | Cannae Holdings Inc. | 575,150 | | 21,390 | |
| ^ | Tanger Factory Outlet Centers Inc. | 1,430,876 | | 21,077 | |
| | Safety Insurance Group Inc. | 225,232 | | 20,841 | |
| | Kennedy-Wilson Holdings Inc. | 932,932 | | 20,804 | |
| | Mercury General Corp. | 426,438 | | 20,780 | |
| ^ | Seritage Growth Properties Class A | 509,036 | | 20,402 | |
| | Flagstar Bancorp Inc. | 521,128 | | 19,933 | |
| | City Holding Co. | 238,513 | | 19,546 | |
| | Employers Holdings Inc. | 465,810 | | 19,448 | |
| | Brookline Bancorp Inc. | 1,165,177 | | 19,179 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | BancFirst Corp. | 305,961 | | 19,104 | |
| | OFG Bancorp | 787,982 | | 18,604 | |
| | TPG RE Finance Trust Inc. | 896,520 | | 18,172 | |
| | Tompkins Financial Corp. | 195,631 | | 17,900 | |
| | Nelnet Inc. Class A | 307,020 | | 17,881 | |
| | Brookfield Property REIT Inc. Class A | 958,200 | | 17,674 | |
| | RPT Realty | 1,172,205 | | 17,630 | |
| | Waddell & Reed Financial Inc. Class A | 1,029,672 | | 17,216 | |
| * | LendingClub Corp. | 1,358,393 | | 17,143 | |
| ^ | Realogy Holdings Corp. | 1,759,877 | | 17,036 | |
| | American National Insurance Co. | 144,344 | | 16,986 | |
| | American Assets Trust Inc. | 369,943 | | 16,980 | |
| | Getty Realty Corp. | 514,640 | | 16,916 | |
| | Colony Credit Real Estate Inc. | 1,283,635 | | 16,893 | |
| | Piper Jaffray Cos. | 210,321 | | 16,813 | |
| | ARMOUR Residential REIT Inc. | 908,448 | | 16,234 | |
| | Houlihan Lokey Inc. Class A | 328,892 | | 16,073 | |
| * | Encore Capital Group Inc. | 453,389 | | 16,032 | |
| | Granite Point Mortgage Trust Inc. | 846,967 | | 15,567 | |
| | Boston Private Financial Holdings Inc. | 1,283,088 | | 15,436 | |
| * | Ambac Financial Group Inc. | 699,977 | | 15,099 | |
| | Retail Opportunity Investments Corp. | 849,235 | | 14,998 | |
| | PennyMac Financial Services Inc. | 422,392 | | 14,378 | |
| | United Fire Group Inc. | 328,122 | | 14,349 | |
| | Franklin Street Properties Corp. | 1,558,999 | | 13,345 | |
| | Heartland Financial USA Inc. | 267,307 | | 13,296 | |
| | iStar Inc. | 904,581 | | 13,125 | |
| | Investors Real Estate Trust | 177,940 | | 12,901 | |
| | Broadmark Realty Capital Inc. | 965,509 | | 12,310 | |
| | Central Pacific Financial Corp. | 415,233 | | 12,283 | |
| | Virtus Investment Partners Inc. | 99,758 | | 12,143 | |
| * | Third Point Reinsurance Ltd. | 1,149,929 | | 12,097 | |
| * | Columbia Financial Inc. | 704,239 | | 11,930 | |
| | Urstadt Biddle Properties Inc. Class A | 472,069 | | 11,726 | |
| | Uniti Group Inc. | 1,414,028 | | 11,609 | |
| | Northfield Bancorp Inc. | 683,385 | | 11,590 | |
| | Capstead Mortgage Corp. | 1,449,130 | | 11,477 | |
| | Alexander & Baldwin Inc. | 529,912 | | 11,107 | |
| ^ | Washington Prime Group Inc. | 2,866,225 | | 10,433 | |
| * | MBIA Inc. | 1,111,813 | | 10,340 | |
| | Saul Centers Inc. | 195,248 | | 10,305 | |
| | National Western Life Group Inc. Class A | 34,834 | | 10,133 | |
| | Clearway Energy Inc. Class A | 524,887 | | 10,036 | |
| | Summit Hotel Properties Inc. | 811,110 | | 10,009 | |
| | Dime Community Bancshares Inc. | 470,121 | | 9,821 | |
| | WisdomTree Investments Inc. | 2,018,347 | | 9,769 | |
| | FBL Financial Group Inc. Class A | 150,014 | | 8,840 | |
| | Retail Value Inc. | 235,298 | | 8,659 | |
| | AG Mortgage Investment Trust Inc. | 550,932 | | 8,495 | |
| | State Auto Financial Corp. | 271,163 | | 8,412 | |
| * | Green Dot Corp. Class A | 357,101 | | 8,320 | |
| | Hersha Hospitality Trust Class A | 558,219 | | 8,122 | |
| * | World Acceptance Corp. | 85,454 | | 7,383 | |
| | KKR Real Estate Finance Trust Inc. | 349,359 | | 7,134 | |
| | CorePoint Lodging Inc. | 609,919 | | 6,514 | |
| * | Assetmark Financial Holdings Inc. | 223,764 | | 6,494 | |
| * | Forestar Group Inc. | 255,732 | | 5,332 | |
| * | Tejon Ranch Co. | 300,439 | | 4,801 | |
| ^ | Pennsylvania REIT | 890,707 | | 4,747 | |
| * | Greenlight Capital Re Ltd. Class A | 226,449 | | 2,289 | |
| ^ | Associated Capital Group Inc. Class A | 28,669 | | 1,124 | |
| | Urstadt Biddle Properties Inc. | 30,861 | | 613 | |
| | Spirit MTA REIT | 334,911 | | 257 | |
| * | Altisource Portfolio Solutions SA | 667 | | 13 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Anworth Mortgage Asset Corp. | 194 | | 1 | |
| * | EZCORP Inc. Class A | 92 | | 1 | |
| | | | | 11,292,004 | |
| Health Care (5.0%) | | | | |
| | PerkinElmer Inc. | 1,718,036 | | 166,821 | |
| * | Molina Healthcare Inc. | 965,755 | | 131,043 | |
| | Encompass Health Corp. | 1,518,845 | | 105,210 | |
| | STERIS plc | 652,927 | | 99,519 | |
| * | Reata Pharmaceuticals Inc. Class A | 360,830 | | 73,764 | |
| * | Envista Holdings Corp. | 2,444,920 | | 72,467 | |
| * | Mirati Therapeutics Inc. | 516,295 | | 66,530 | |
| * | Tenet Healthcare Corp. | 1,600,434 | | 60,865 | |
| | Hill-Rom Holdings Inc. | 514,182 | | 58,375 | |
| * | Sage Therapeutics Inc. | 798,120 | | 57,616 | |
| * | Charles River Laboratories International Inc. | 376,151 | | 57,461 | |
| * | United Therapeutics Corp. | 642,119 | | 56,558 | |
| * | Iovance Biotherapeutics Inc. | 1,749,387 | | 48,423 | |
| * | Acadia Healthcare Co. Inc. | 1,364,978 | | 45,345 | |
| * | Select Medical Holdings Corp. | 1,656,356 | | 38,659 | |
| * | MEDNAX Inc. | 1,234,260 | | 34,300 | |
| * | Prestige Consumer Healthcare Inc. | 774,164 | | 31,354 | |
| * | Myriad Genetics Inc. | 1,088,640 | | 29,644 | |
| | Patterson Cos. Inc. | 1,325,236 | | 27,141 | |
| * | Magellan Health Inc. | 338,040 | | 26,452 | |
| * | Intra-Cellular Therapies Inc. | 724,073 | | 24,843 | |
| * | Avanos Medical Inc. | 736,535 | | 24,821 | |
| | CONMED Corp. | 218,729 | | 24,460 | |
| * | Turning Point Therapeutics Inc. | 349,853 | | 21,792 | |
| * | Brookdale Senior Living Inc. | 2,852,611 | | 20,738 | |
| *,^ | Denali Therapeutics Inc. | 1,032,005 | | 17,978 | |
| * | Zogenix Inc. | 340,939 | | 17,773 | |
| *,^ | Aerie Pharmaceuticals Inc. | 717,138 | | 17,333 | |
| | National HealthCare Corp. | 188,059 | | 16,254 | |
| * | Endo International plc | 3,131,453 | | 14,687 | |
| * | 10X Genomics Inc. Class A | 191,834 | | 14,627 | |
| * | Kodiak Sciences Inc. | 198,912 | | 14,312 | |
| | Healthcare Services Group Inc. | 570,969 | | 13,886 | |
| * | Change Healthcare Inc. | 765,924 | | 12,553 | |
| * | Madrigal Pharmaceuticals Inc. | 130,765 | | 11,914 | |
| * | Silk Road Medical Inc. | 285,438 | | 11,526 | |
| * | Varex Imaging Corp. | 295,220 | | 8,801 | |
| * | Amneal Pharmaceuticals Inc. | 1,632,598 | | 7,869 | |
| * | Bridgebio Pharma Inc. | 190,518 | | 6,678 | |
| | Meridian Bioscience Inc. | 659,859 | | 6,447 | |
| * | AnaptysBio Inc. | 375,702 | | 6,105 | |
| * | G1 Therapeutics Inc. | 217,092 | | 5,738 | |
| *,^ | Adaptive Biotechnologies Corp. | 143,867 | | 4,305 | |
| * | Progyny Inc. | 95,200 | | 2,613 | |
| | Owens & Minor Inc. | 455,676 | | 2,356 | |
| * | Kiniksa Pharmaceuticals Ltd. Class A | 211,152 | | 2,335 | |
| * | Surgery Partners Inc. | 144,801 | | 2,267 | |
| * | Option Care Health Inc. | 530,519 | | 1,979 | |
| * | Stoke Therapeutics Inc. | 63,221 | | 1,790 | |
| * | Akorn Inc. | 679,784 | | 1,020 | |
| *,^ | Vir Biotechnology Inc. | 13,168 | | 166 | |
| ^,§ | Synergy Pharmaceuticals Inc. | 1,169,882 | | 7 | |
| * | SmileDirectClub Inc. | 159 | | 1 | |
| *,^ | Mallinckrodt plc | 164 | | 1 | |
| | | | | 1,627,522 | |
| Industrials (21.7%) | | | | |
| | IDEX Corp. | 1,173,849 | | 201,902 | |
| | Allegion plc | 1,434,399 | | 178,640 | |
| | Booz Allen Hamilton Holding Corp. Class A | 2,170,673 | | 154,400 | |
| | Carlisle Cos. Inc. | 875,261 | | 141,652 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Spirit AeroSystems Holdings Inc. Class A | 1,594,701 | | 116,222 | |
| | AptarGroup Inc. | 987,227 | | 114,143 | |
| | Donaldson Co. Inc. | 1,951,892 | | 112,468 | |
| | Owens Corning | 1,683,473 | | 109,628 | |
| * | Arrow Electronics Inc. | 1,254,561 | | 106,311 | |
| * | HD Supply Holdings Inc. | 2,568,800 | | 103,317 | |
| | Flowserve Corp. | 2,015,521 | | 100,312 | |
| | ITT Inc. | 1,350,753 | | 99,834 | |
| | Oshkosh Corp. | 1,048,204 | | 99,213 | |
| * | AECOM | 2,298,630 | | 99,140 | |
| * | Generac Holdings Inc. | 963,332 | | 96,902 | |
| | Sonoco Products Co. | 1,546,725 | | 95,464 | |
| | Sealed Air Corp. | 2,379,228 | | 94,765 | |
| | Curtiss-Wright Corp. | 657,900 | | 92,692 | |
| | MDU Resources Group Inc. | 3,096,880 | | 92,008 | |
| | Lincoln Electric Holdings Inc. | 947,809 | | 91,682 | |
| | Quanta Services Inc. | 2,208,955 | | 89,927 | |
| * | Stericycle Inc. | 1,403,665 | | 89,568 | |
| | ManpowerGroup Inc. | 913,938 | | 88,743 | |
| | Jabil Inc. | 2,116,095 | | 87,458 | |
| | Allison Transmission Holdings Inc. | 1,744,559 | | 84,297 | |
| | Acuity Brands Inc. | 610,333 | | 84,226 | |
| | Alliance Data Systems Corp. | 673,784 | | 75,599 | |
| | EMCOR Group Inc. | 864,888 | | 74,640 | |
| | Graphic Packaging Holding Co. | 4,469,805 | | 74,422 | |
| | Tetra Tech Inc. | 840,503 | | 72,418 | |
| | AGCO Corp. | 930,603 | | 71,889 | |
| | Brink’s Co. | 770,647 | | 69,882 | |
| | MSA Safety Inc. | 537,027 | | 67,859 | |
| | Crane Co. | 785,183 | | 67,824 | |
| | KBR Inc. | 2,182,815 | | 66,576 | |
| | Avnet Inc. | 1,555,356 | | 66,009 | |
| | Knight-Swift Transportation Holdings Inc. | 1,839,695 | | 65,935 | |
| * | FTI Consulting Inc. | 579,643 | | 64,143 | |
| * | MasTec Inc. | 940,572 | | 60,347 | |
| | nVent Electric plc | 2,344,952 | | 59,984 | |
| | Pentair plc | 1,294,184 | | 59,364 | |
| | Timken Co. | 1,044,210 | | 58,799 | |
| * | XPO Logistics Inc. | 710,841 | | 56,654 | |
| | MSC Industrial Direct Co. Inc. Class A | 693,807 | | 54,443 | |
| | Regal Beloit Corp. | 630,849 | | 54,007 | |
| | Louisiana-Pacific Corp. | 1,809,246 | | 53,680 | |
| | Robert Half International Inc. | 849,295 | | 53,633 | |
| * | CoreLogic Inc. | 1,224,893 | | 53,540 | |
| * | Rexnord Corp. | 1,550,673 | | 50,583 | |
| | Valmont Industries Inc. | 331,647 | | 49,674 | |
| * | Colfax Corp. | 1,360,549 | | 49,497 | |
| | EnerSys | 651,488 | | 48,751 | |
| | Macquarie Infrastructure Corp. | 1,131,677 | | 48,481 | |
| | UniFirst Corp. | 235,602 | | 47,587 | |
| | Kennametal Inc. | 1,276,609 | | 47,094 | |
| | Barnes Group Inc. | 742,332 | | 45,995 | |
| * | Builders FirstSource Inc. | 1,784,117 | | 45,334 | |
| | GATX Corp. | 540,880 | | 44,812 | |
| | Ryder System Inc. | 821,038 | | 44,591 | |
| | Vishay Intertechnology Inc. | 2,038,983 | | 43,410 | |
| | Universal Forest Products Inc. | 898,754 | | 42,871 | |
| | Watts Water Technologies Inc. Class A | 425,187 | | 42,417 | |
| | Moog Inc. Class A | 496,915 | | 42,402 | |
| | Brady Corp. Class A | 729,487 | | 41,770 | |
| | World Fuel Services Corp. | 957,160 | | 41,560 | |
| * | Anixter International Inc. | 443,017 | | 40,802 | |
| | Fluor Corp. | 2,159,821 | | 40,777 | |
| * | Integer Holdings Corp. | 503,529 | | 40,499 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | Applied Industrial Technologies Inc. | 595,594 | | 39,720 | |
| * | Kirby Corp. | 438,522 | | 39,261 | |
| | ABM Industries Inc. | 1,023,364 | | 38,591 | |
| | Belden Inc. | 700,394 | | 38,522 | |
| * | WESCO International Inc. | 644,273 | | 38,263 | |
| | Silgan Holdings Inc. | 1,193,611 | | 37,097 | |
| | Korn Ferry | 862,750 | | 36,581 | |
| | Altra Industrial Motion Corp. | 995,169 | | 36,035 | |
| * | Sanmina Corp. | 1,038,700 | | 35,565 | |
| | ESCO Technologies Inc. | 380,302 | | 35,178 | |
| | Armstrong World Industries Inc. | 373,667 | | 35,113 | |
| * | SPX Corp. | 680,078 | | 34,602 | |
| * | Plexus Corp. | 449,569 | | 34,590 | |
| * | Beacon Roofing Supply Inc. | 1,056,798 | | 33,796 | |
| | ManTech International Corp. Class A | 414,700 | | 33,126 | |
| | Deluxe Corp. | 648,694 | | 32,383 | |
| * | SPX FLOW Inc. | 655,890 | | 32,053 | |
| | Otter Tail Corp. | 613,053 | | 31,443 | |
| | Trinity Industries Inc. | 1,417,882 | | 31,406 | |
| | Triton International Ltd. | 779,475 | | 31,335 | |
| | Terex Corp. | 1,043,685 | | 31,081 | |
| | EVERTEC Inc. | 886,612 | | 30,180 | |
| * | Knowles Corp. | 1,408,911 | | 29,798 | |
| * | Atkore International Group Inc. | 723,992 | | 29,293 | |
| | McGrath RentCorp | 374,192 | | 28,641 | |
| | O-I Glass Inc. | 2,397,981 | | 28,608 | |
| | Kaman Corp. | 429,317 | | 28,301 | |
| * | Harsco Corp. | 1,211,290 | | 27,872 | |
| * | OSI Systems Inc. | 270,643 | | 27,265 | |
| | Matson Inc. | 660,425 | | 26,945 | |
| | Mueller Industries Inc. | 833,639 | | 26,468 | |
| | Mobile Mini Inc. | 679,971 | | 25,778 | |
| | Aircastle Ltd. | 804,988 | | 25,768 | |
| | Werner Enterprises Inc. | 692,926 | | 25,216 | |
| * | Hub Group Inc. Class A | 488,486 | | 25,054 | |
| * | Cardtronics plc Class A | 549,735 | | 24,546 | |
| | Actuant Corp. Class A | 934,297 | | 24,320 | |
| * | Huron Consulting Group Inc. | 353,099 | | 24,265 | |
| | AAR Corp. | 511,920 | | 23,088 | |
| * | Resideo Technologies Inc. | 1,892,716 | | 22,580 | |
| * | Sykes Enterprises Inc. | 605,952 | | 22,414 | |
| * | Navistar International Corp. | 762,677 | | 22,072 | |
| * | Pluralsight Inc. Class A | 1,278,504 | | 22,003 | |
| * | TTM Technologies Inc. | 1,459,759 | | 21,969 | |
| | Boise Cascade Co. | 599,519 | | 21,900 | |
| * | TriMas Corp. | 694,545 | | 21,816 | |
| ^ | Granite Construction Inc. | 720,221 | | 19,929 | |
| | Rush Enterprises Inc. Class A | 421,439 | | 19,597 | |
| | Benchmark Electronics Inc. | 569,048 | | 19,552 | |
| | Schneider National Inc. Class B | 870,269 | | 18,989 | |
| | Triumph Group Inc. | 732,664 | | 18,514 | |
| | Encore Wire Corp. | 309,961 | | 17,792 | |
| | Greif Inc. Class A | 401,331 | | 17,739 | |
| | H&E Equipment Services Inc. | 494,836 | | 16,542 | |
| | Greenbrier Cos. Inc. | 509,940 | | 16,537 | |
| * | GMS Inc. | 607,124 | | 16,441 | |
| * | Conduent Inc. | 2,597,662 | | 16,105 | |
| | AVX Corp. | 781,924 | | 16,006 | |
| | Primoris Services Corp. | 707,551 | | 15,736 | |
| | Standex International Corp. | 191,141 | | 15,167 | |
| ^ | Maxar Technologies Inc. | 932,126 | | 14,606 | |
| | Astec Industries Inc. | 346,730 | | 14,563 | |
| * | TrueBlue Inc. | 601,111 | | 14,463 | |
| | MTS Systems Corp. | 295,010 | | 14,169 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | CIRCOR International Inc. | 305,756 | | 14,138 | |
| ^ | ADT Inc. | 1,708,509 | | 13,548 | |
| | Comfort Systems USA Inc. | 268,599 | | 13,390 | |
| | Kforce Inc. | 315,690 | | 12,533 | |
| | Griffon Corp. | 608,975 | | 12,380 | |
| * | JELD-WEN Holding Inc. | 501,838 | | 11,748 | |
| | Wabash National Corp. | 792,457 | | 11,641 | |
| | TTEC Holdings Inc. | 283,387 | | 11,228 | |
| | Kelly Services Inc. Class A | 490,715 | | 11,080 | |
| * | Atlas Air Worldwide Holdings Inc. | 398,869 | | 10,997 | |
| | Methode Electronics Inc. | 271,561 | | 10,686 | |
| | ArcBest Corp. | 370,787 | | 10,234 | |
| * | Wesco Aircraft Holdings Inc. | 919,050 | | 10,128 | |
| * | Aegion Corp. Class A | 449,462 | | 10,054 | |
| * | Manitowoc Co. Inc. | 545,442 | | 9,545 | |
| * | MACOM Technology Solutions Holdings Inc. | 353,742 | | 9,410 | |
| | Hyster-Yale Materials Handling Inc. | 157,929 | | 9,311 | |
| | AZZ Inc. | 202,096 | | 9,286 | |
| * | Gates Industrial Corp. plc | 671,406 | | 9,239 | |
| * | Tutor Perini Corp. | 616,765 | | 7,932 | |
| | Resources Connection Inc. | 467,161 | | 7,629 | |
| * | Team Inc. | 437,412 | | 6,985 | |
| * | International Seaways Inc. | 192,016 | | 5,714 | |
| | Greif Inc. Class B | 104,281 | | 5,399 | |
| *,^ | Virgin Galactic Holdings Inc. | 454,175 | | 5,246 | |
| | Gorman-Rupp Co. | 129,404 | | 4,853 | |
| | REV Group Inc. | 383,948 | | 4,696 | |
| | Rush Enterprises Inc. Class B | 97,916 | | 4,475 | |
| * | Bill.Com Holdings Inc. | 81,945 | | 3,118 | |
| * | Donnelley Financial Solutions Inc. | 238,739 | | 2,500 | |
| | Quad/Graphics Inc. | 278,446 | | 1,300 | |
| * | Verra Mobility Corp. Class A | 355 | | 5 | |
| | Briggs & Stratton Corp. | 84 | | 1 | |
| | | | | 7,070,245 | |
| Oil & Gas (2.2%) | | | | |
| | Murphy Oil Corp. | 2,301,370 | | 61,677 | |
| | PBF Energy Inc. Class A | 1,569,283 | | 49,228 | |
| | EQT Corp. | 3,939,990 | | 42,946 | |
| ^ | Equitrans Midstream Corp. | 3,139,684 | | 41,946 | |
| | Delek US Holdings Inc. | 1,143,685 | | 38,348 | |
| | Arcosa Inc. | 745,548 | | 33,214 | |
| * | First Solar Inc. | 568,250 | | 31,799 | |
| * | Dril-Quip Inc. | 557,615 | | 26,158 | |
| *,^ | Chesapeake Energy Corp. | 30,102,437 | | 24,853 | |
| | Archrock Inc. | 2,337,692 | | 23,470 | |
| * | Magnolia Oil & Gas Corp. Class A | 1,806,125 | | 22,721 | |
| * | Helix Energy Solutions Group Inc. | 2,174,542 | | 20,941 | |
| * | Southwestern Energy Co. | 8,319,723 | | 20,134 | |
| *,^ | Valaris plc Class A | 3,038,327 | | 19,931 | |
| | SM Energy Co. | 1,732,965 | | 19,479 | |
| * | NOW Inc. | 1,672,844 | | 18,803 | |
| | CVR Energy Inc. | 464,712 | | 18,788 | |
| * | CNX Resources Corp. | 2,013,398 | | 17,819 | |
| | QEP Resources Inc. | 3,653,830 | | 16,442 | |
| * | MRC Global Inc. | 1,203,658 | | 16,418 | |
| ^ | Range Resources Corp. | 3,295,557 | | 15,983 | |
| | Nabors Industries Ltd. | 5,328,648 | | 15,347 | |
| * | Oil States International Inc. | 840,028 | | 13,701 | |
| * | Oceaneering International Inc. | 763,128 | | 11,378 | |
| * | Antero Resources Corp. | 3,987,615 | | 11,365 | |
| * | Denbury Resources Inc. | 7,454,046 | | 10,510 | |
| *,^ | Whiting Petroleum Corp. | 1,391,033 | | 10,210 | |
| * | SunPower Corp. Class A | 1,282,682 | | 10,005 | |
| | Berry Petroleum Corp. | 998,928 | | 9,420 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| | NexTier Oilfield Solutions Inc. | 1,216,664 | | 8,152 | |
| * | Laredo Petroleum Inc. | 2,750,840 | | 7,895 | |
| * | ProPetro Holding Corp. | 657,468 | | 7,397 | |
| *,^ | Diamond Offshore Drilling Inc. | 956,853 | | 6,880 | |
| * | Gulfport Energy Corp. | 2,213,857 | | 6,730 | |
| ^ | RPC Inc. | 818,786 | | 4,290 | |
| | Green Plains Inc. | 263,596 | | 4,067 | |
| * | Noble Corp. plc | 1,931,560 | | 2,356 | |
| *,^ | McDermott International Inc. | 1,406,100 | | 951 | |
| * | Exterran Corp. | 113,808 | | 891 | |
| * | FTS International Inc. | 30,790 | | 32 | |
| * | Unit Corp. | 45,371 | | 32 | |
| * | Oasis Petroleum Inc. | 788 | | 3 | |
| * | KLX Energy Services Holdings Inc. | 42 | | — | |
| * | Forum Energy Technologies Inc. | 82 | | — | |
| | | | | 722,710 | |
| Other (0.0%)2 | | | | |
| *,§ | A Schulman Inc. CVR | 419,331 | | 182 | |
| *,§ | Clinical Data CVR | 62,138 | | — | |
| | | | | 182 | |
| Technology (6.7%) | | | | |
| | Leidos Holdings Inc. | 2,185,821 | | 213,970 | |
| * | ON Semiconductor Corp. | 6,349,999 | | 154,813 | |
| | Cypress Semiconductor Corp. | 5,720,275 | | 133,454 | |
| * | CACI International Inc. Class A | 385,718 | | 96,426 | |
| | Teradyne Inc. | 1,290,987 | | 88,032 | |
| | SYNNEX Corp. | 629,412 | | 81,068 | |
| * | Tech Data Corp. | 546,000 | | 78,406 | |
| * | Nuance Communications Inc. | 4,353,036 | | 77,615 | |
| | Science Applications International Corp. | 888,749 | | 77,339 | |
| | DXC Technology Co. | 1,971,713 | | 74,117 | |
| * | Avalara Inc. | 1,007,291 | | 73,784 | |
| * | Cirrus Logic Inc. | 890,288 | | 73,369 | |
| * | NCR Corp. | 1,965,444 | | 69,105 | |
| * | Verint Systems Inc. | 1,028,637 | | 56,945 | |
| | Perspecta Inc. | 2,118,169 | | 56,004 | |
| * | Viavi Solutions Inc. | 3,539,617 | | 53,094 | |
| * | Teradata Corp. | 1,732,731 | | 46,385 | |
| * | CommScope Holding Co. Inc. | 2,992,609 | | 42,465 | |
| * | Premier Inc. Class A | 1,023,378 | | 38,765 | |
| * | Insight Enterprises Inc. | 543,222 | | 38,183 | |
| * | Synaptics Inc. | 489,734 | | 32,210 | |
| * | EchoStar Corp. Class A | 728,477 | | 31,550 | |
| * | SVMK Inc. | 1,659,981 | | 29,664 | |
| | Progress Software Corp. | 689,931 | | 28,667 | |
| * | NetScout Systems Inc. | 1,096,167 | | 26,385 | |
| | CSG Systems International Inc. | 507,590 | | 26,283 | |
| * | Allscripts Healthcare Solutions Inc. | 2,503,750 | | 24,574 | |
| * | Rambus Inc. | 1,732,523 | | 23,865 | |
| * | Avaya Holdings Corp. | 1,706,571 | | 23,039 | |
| * | Workiva Inc. Class A | 495,444 | | 20,833 | |
| * | Blucora Inc. | 754,284 | | 19,717 | |
| * | Elastic NV | 306,012 | | 19,677 | |
| * | Covetrus Inc. | 1,463,842 | | 19,323 | |
| *,^ | Appian Corp. Class A | 500,682 | | 19,131 | |
| * | Zuora Inc. Class A | 1,152,420 | | 16,514 | |
| | TiVo Corp. | 1,863,940 | | 15,806 | |
| * | ScanSource Inc. | 389,521 | | 14,393 | |
| | Xperi Corp. | 768,849 | | 14,224 | |
| * | Dynatrace Inc. | 540,598 | | 13,677 | |
| * | Shutterstock Inc. | 300,754 | | 12,896 | |
| * | NextGen Healthcare Inc. | 757,327 | | 12,170 | |
| * | Cerence Inc. | 532,735 | | 12,056 | |
| * | Amkor Technology Inc. | 921,131 | | 11,975 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | | | | Market | |
| | | | | Value | |
| | | Shares | | ($000 | ) |
| * | Unisys Corp. | 955,453 | | 11,332 | |
| * | NETGEAR Inc. | 441,407 | | 10,819 | |
| | Pitney Bowes Inc. | 2,621,510 | | 10,565 | |
| *,^ | Medallia Inc. | 295,304 | | 9,187 | |
| | ADTRAN Inc. | 737,712 | | 7,296 | |
| | Plantronics Inc. | 261,635 | | 7,153 | |
| *,^ | Ping Identity Holding Corp. | 245,441 | | 5,964 | |
| * | Diebold Nixdorf Inc. | 562,040 | | 5,935 | |
| * | Health Catalyst Inc. | 140,955 | | 4,891 | |
| | Systemax Inc. | 99,678 | | 2,508 | |
| * | Casa Systems Inc. | 98,871 | | 404 | |
| * | Ribbon Communications Inc. | 19,970 | | 62 | |
| * | Cloudflare Inc. Class A | 102 | | 2 | |
| | | | | 2,168,086 | |
| Telecommunications (0.4%) | | | | |
| * | Iridium Communications Inc. | 1,716,750 | | 42,301 | |
| | Telephone & Data Systems Inc. | 1,490,933 | | 37,914 | |
| * | 8x8 Inc. | 1,487,670 | | 27,224 | |
| * | Vonage Holdings Corp. | 3,547,877 | | 26,290 | |
| * | United States Cellular Corp. | 246,045 | | 8,914 | |
| | | | | 142,643 | |
| Utilities (5.3%) | | | | |
| | Atmos Energy Corp. | 1,840,751 | | 205,906 | |
| | Aqua America Inc. | 3,323,865 | | 156,022 | |
| | UGI Corp. | 3,236,318 | | 146,152 | |
| * | PG&E Corp. | 8,146,471 | | 88,552 | |
| | IDACORP Inc. | 776,114 | | 82,889 | |
| | Hawaiian Electric Industries Inc. | 1,678,032 | | 78,633 | |
| | Portland General Electric Co. | 1,376,195 | | 76,778 | |
| | ONE Gas Inc. | 812,322 | | 76,009 | |
| | Black Hills Corp. | 946,550 | | 74,342 | |
| | New Jersey Resources Corp. | 1,468,366 | | 65,445 | |
| | ALLETE Inc. | 795,702 | | 64,587 | |
| | PNM Resources Inc. | 1,227,114 | | 62,227 | |
| | Spire Inc. | 745,948 | | 62,145 | |
| | National Fuel Gas Co. | 1,329,734 | | 61,886 | |
| | Southwest Gas Holdings Inc. | 777,161 | | 59,041 | |
| | NorthWestern Corp. | 776,782 | | 55,672 | |
| | Avista Corp. | 1,027,528 | | 49,414 | |
| | American States Water Co. | 567,246 | | 49,146 | |
| | South Jersey Industries Inc. | 1,424,054 | | 46,965 | |
| | El Paso Electric Co. | 627,077 | | 42,572 | |
| | MGE Energy Inc. | 534,697 | | 42,145 | |
| | California Water Service Group | 741,837 | | 38,249 | |
| | Northwest Natural Holding Co. | 468,812 | | 34,566 | |
| | | | | 1,719,343 | |
| Total Common Stocks (Cost $26,823,318) | | | 32,492,107 | |
| | Coupon | | | | | | | |
| Temporary Cash Investments (1.4%)1 | | | | | | | | |
| Money Market Fund (1.4%) | | | | | | | | |
| 3,4 | Vanguard Market Liquidity Fund | 1.816% | | | | 4,542,170 | | 454,262 | |
| | | | | | | | | |
| | | | | | Face | | | |
| | | | Maturity | | Amount | | | |
| | | | Date | | ($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| 5 | United States Treasury Bill | 1.541% | | 4/30/20 | | 3,000 | | 2,985 | |
| Total Temporary Cash Investments (Cost $457,209) | | | | | | | 457,247 | |
Vanguard®Small-Cap Value Index Fund
Schedule of Investments
December 31, 2019
| | Market | |
| | Value | |
| | ($000 | ) |
| Total Investments (101.1%) (Cost $27,280,527) | 32,949,354 | |
| Other Assets and Liabilities — Net (-1.1%)4,5 | (347,713 | ) |
| Net Assets (100%) | 32,601,641 | |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $359,675,000. |
| § | 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 1.1%, 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 | Collateral of $376,609,000 was received for securities on loan, of which $375,739,000 is held in Vanguard Market Liquidity Fund and $870,000 is held in cash. |
| 5 | Securities with a value of $2,985,000 and cash of $540,000 have been segregated as initial margin for open futures contracts. |
| | CVR—Contingent Value Rights. |
| | REIT—Real Estate Investment Trust. |
| © 2020 The Vanguard Group, Inc. |
| All rights reserved. |
| Vanguard Marketing Corporation, Distributor. |
| | |
| SNA480 022020 |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| Common Stocks (98.9%)1 | |
| Communication Services (4.7%) | |
| * | Liberty Broadband Corp. | 2,146,827 | | 269,963 | |
| * | IAC/InterActiveCorp | 1,029,186 | | 256,381 | |
| * | Snap Inc. | 11,146,093 | | 182,016 | |
| * | Roku Inc. | 1,298,775 | | 173,906 | |
| ^ | Sirius XM Holdings Inc. | 19,449,686 | | 139,065 | |
| * | Liberty Media Corp-Liberty Formula One | 2,914,675 | | 133,973 | |
| * | Liberty Global plc | 5,868,584 | | 127,906 | |
| * | Altice USA Inc. Class A | 4,374,839 | | 119,608 | |
| * | Zayo Group Holdings Inc. | 3,350,311 | | 116,088 | |
| | Cable One Inc. | 71,444 | | 106,342 | |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 2,149,619 | | 103,483 | |
| * | GCI Liberty Inc. Class A | 1,345,959 | | 95,361 | |
| * | Zynga Inc. Class A | 13,389,748 | | 81,945 | |
| *,^ | Zillow Group Inc. | 1,710,467 | | 78,579 | |
| | Nexstar Media Group Inc. Class A | 653,870 | | 76,666 | |
| * | Madison Square Garden Co. Class A | 243,079 | | 71,511 | |
| | New York Times Co. Class A | 2,036,775 | | 65,523 | |
| *,^ | Match Group Inc. | 767,723 | | 63,038 | |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 1,117,234 | | 54,007 | |
| * | Liberty Global plc Class A | 2,332,594 | | 53,043 | |
| | Cinemark Holdings Inc. | 1,511,763 | | 51,173 | |
| | TEGNA Inc. | 3,044,187 | | 50,807 | |
| * | Sprint Corp. | 8,863,191 | | 46,177 | |
| * | Liberty Broadband Corp. Class A | 364,957 | | 45,459 | |
| | TripAdvisor Inc. | 1,483,354 | | 45,064 | |
| ^ | World Wrestling Entertainment Inc. Class A | 665,126 | | 43,147 | |
| | Cogent Communications Holdings Inc. | 599,879 | | 39,478 | |
| * | Cargurus Inc. | 1,012,442 | | 35,618 | |
| | Telephone & Data Systems Inc. | 1,385,741 | | 35,239 | |
| * | Iridium Communications Inc. | 1,398,128 | | 34,450 | |
| | Sinclair Broadcast Group Inc. Class A | 961,211 | | 32,047 | |
| * | Yelp Inc. Class A | 906,622 | | 31,578 | |
| * | Liberty Latin America Ltd. | 1,617,224 | | 31,471 | |
| | John Wiley & Sons Inc. Class A | 619,425 | | 30,054 | |
| | Shenandoah Telecommunications Co. | 654,092 | | 27,217 | |
| * | Gray Television Inc. | 1,236,483 | | 26,510 | |
| * | Zillow Group Inc. Class A | 557,056 | | 25,480 | |
| * | AMC Networks Inc. Class A | 636,268 | | 25,133 | |
| * | Vonage Holdings Corp. | 3,302,923 | | 24,475 | |
| * | Pinterest Inc. Class A | 1,236,031 | | 23,040 | |
| | Meredith Corp. | 550,572 | | 17,877 | |
| * | Cardlytics Inc. | 282,968 | | 17,787 | |
| * | Lions Gate Entertainment Corp. Class B | 1,666,019 | | 16,544 | |
| * | Liberty Media Corp-Liberty Braves Class C | 552,705 | | 16,327 | |
| | Scholastic Corp. | 422,258 | | 16,236 | |
| * | Liberty Media Corp-Liberty Formula One Class A | 341,036 | | 14,931 | |
| * | Bandwidth Inc. Class A | 231,427 | | 14,823 | |
| * | Clear Channel Outdoor Holdings Inc. | 4,745,901 | | 13,573 | |
| * | Liberty Latin America Ltd. Class A | 642,770 | | 12,405 | |
| | EW Scripps Co. Class A | 744,371 | | 11,694 | |
| * | MSG Networks Inc. | 670,731 | | 11,671 | |
| * | Cars.com Inc. | 935,380 | | 11,430 | |
| *,^ | iHeartMedia Inc. Class A | 673,327 | | 11,379 | |
| | Gannett Co. Inc. | 1,771,603 | | 11,303 | |
| | Marcus Corp. | 337,316 | | 10,717 | |
| * | QuinStreet Inc. | 691,088 | | 10,581 | |
| * | Glu Mobile Inc. | 1,662,978 | | 10,061 | |
| * | Eventbrite Inc. Class A | 491,492 | | 9,913 | |
| * | TechTarget Inc. | 333,714 | | 8,710 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 1,082,118 | | 7,954 | |
| * | United States Cellular Corp. | 218,762 | | 7,926 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | ATN International Inc. | 142,891 | | 7,915 | |
| * | ANGI Homeservices Inc. Class A | 916,993 | | 7,767 | |
| * | Cincinnati Bell Inc. | 732,891 | | 7,673 | |
| | Entercom Communications Corp. Class A | 1,647,617 | | 7,645 | |
| *,^ | Lions Gate Entertainment Corp. Class A | 709,575 | | 7,564 | |
| * | Anterix Inc. | 165,281 | | 7,142 | |
| * | Boingo Wireless Inc. | 646,078 | | 7,075 | |
| | National CineMedia Inc. | 919,741 | | 6,705 | |
| * | Central European Media Enterprises Ltd. Class A | 1,416,902 | | 6,419 | |
| * | TrueCar Inc. | 1,345,401 | | 6,391 | |
| * | Loral Space & Communications Inc. | 195,034 | | 6,303 | |
| * | Care.com Inc. | 410,020 | | 6,163 | |
| * | Rosetta Stone Inc. | 337,044 | | 6,114 | |
| ^ | AMC Entertainment Holdings Inc. Class A | 782,587 | | 5,666 | |
| *,^ | Globalstar Inc. | 10,053,533 | | 5,215 | |
| *,^ | Gogo Inc. | 804,396 | | 5,148 | |
| * | ORBCOMM Inc. | 1,203,782 | | 5,068 | |
| * | EverQuote Inc. Class A | 144,872 | | 4,976 | |
| * | Meet Group Inc. | 953,053 | | 4,775 | |
| | Consolidated Communications Holdings Inc. | 1,093,940 | | 4,244 | |
| * | Sciplay Corp. Class A | 341,949 | | 4,203 | |
| | Emerald Expositions Events Inc. | 380,346 | | 4,013 | |
| *,^ | Daily Journal Corp. | 13,381 | | 3,886 | |
| | Tribune Publishing Co. | 288,250 | | 3,793 | |
| * | Hemisphere Media Group Inc. Class A | 254,770 | | 3,783 | |
| * | comScore Inc. | 725,330 | | 3,583 | |
| * | Cumulus Media Inc. Class A | 202,948 | | 3,566 | |
| * | Ooma Inc. | 268,321 | | 3,550 | |
| * | Liberty Media Corp-Liberty Braves Class A | 114,492 | | 3,395 | |
| | Spok Holdings Inc. | 270,024 | | 3,302 | |
| *,^ | NII Holdings Inc. | 1,297,367 | | 2,815 | |
| * | WideOpenWest Inc. | 372,883 | | 2,767 | |
| * | Boston Omaha Corp. Class A | 126,656 | | 2,665 | |
| * | Reading International Inc. Class A | 213,227 | | 2,386 | |
| | Entravision Communications Corp. Class A | 871,053 | | 2,282 | |
| * | DHI Group Inc. | 725,260 | | 2,183 | |
| | Saga Communications Inc. Class A | 60,105 | | 1,827 | |
| * | MDC Partners Inc. Class A | 607,963 | | 1,690 | |
| * | Marchex Inc. Class B | 399,306 | | 1,509 | |
| * | IDT Corp. Class B | 209,246 | | 1,509 | |
| *,^ | Gaia Inc. Class A | 178,719 | | 1,428 | |
| *,^ | Frontier Communications Corp. | 1,548,576 | | 1,378 | |
| | Townsquare Media Inc. Class A | 132,690 | | 1,323 | |
| * | Fluent Inc. | 524,848 | | 1,312 | |
| * | Lee Enterprises Inc. | 710,819 | | 1,009 | |
| * | Alaska Communications Systems Group Inc. | 539,199 | | 954 | |
| * | Travelzoo | 80,394 | | 860 | |
| *,^ | Pareteum Corp. | 1,850,955 | | 809 | |
| *,^ | LiveXLive Media Inc. | 447,854 | | 692 | |
| * | Ballantyne Strong Inc. | 208,983 | | 677 | |
| | AH Belo Corp. Class A | 209,330 | | 590 | |
| * | Urban One Inc. | 239,794 | | 456 | |
| *,^ | Chicken Soup For The Soul Entertainment Inc. | 50,268 | | 402 | |
| * | Global Eagle Entertainment Inc. | 782,551 | | 391 | |
| * | AutoWeb Inc. | 151,988 | | 375 | |
| | Beasley Broadcast Group Inc. Class A | 93,910 | | 290 | |
| *,^ | SRAX Inc. Class A | 89,052 | | 222 | |
| | Salem Media Group Inc. Class A | 117,723 | | 169 | |
| * | Emmis Communications Corp. Class A | 40,535 | | 163 | |
| * | Otelco Inc. Class A | 14,646 | | 147 | |
| * | Zedge Inc. Class B | 78,380 | | 121 | |
| * | Harte-Hanks Inc. | 32,072 | | 115 | |
| * | SPAR Group Inc. | 80,427 | | 105 | |
| * | Insignia Systems Inc. | 125,777 | | 92 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Cinedigm Corp. Class A | 112,137 | | 78 | |
| | John Wiley & Sons Inc. Class B | 1,480 | | 73 | |
| * | Dolphin Entertainment Inc. | 99,800 | | 70 | |
| * | NTN Buzztime Inc. | 16,227 | | 36 | |
| * | Live Nation Entertainment Inc. | 338 | | 24 | |
| *,^ | McClatchy Co. Class A | 50,275 | | 24 | |
| * | IZEA Worldwide Inc. | 92,728 | | 22 | |
| *,^,§ | Professional Diversity Network Inc. | 20,497 | | 19 | |
| * | Xcel Brands Inc. | 12,396 | | 19 | |
| * | Glowpoint Inc. | 8,920 | | 12 | |
| * | Creative Realities Inc. | 3,400 | | 5 | |
| * | Urban One Inc. Class A | 2,500 | | 5 | |
| | | 3,535,005 | |
| Consumer Discretionary (11.2%) | |
| *,^ | Tesla Inc. | 2,019,753 | | 844,923 | |
| * | Lululemon Athletica Inc. | 1,697,783 | | 393,325 | |
| * | Burlington Stores Inc. | 938,940 | | 214,106 | |
| | Domino's Pizza Inc. | 579,627 | | 170,283 | |
| | Aramark | 3,538,820 | | 153,585 | |
| | Vail Resorts Inc. | 575,943 | | 138,128 | |
| * | Bright Horizons Family Solutions Inc. | 828,429 | | 124,505 | |
| | Pool Corp. | 568,919 | | 120,827 | |
| | Service Corp. International | 2,601,659 | | 119,754 | |
| * | Caesars Entertainment Corp. | 7,902,441 | | 107,473 | |
| | Lear Corp. | 780,677 | | 107,109 | |
| | Gentex Corp. | 3,574,102 | | 103,577 | |
| * | Five Below Inc. | 786,347 | | 100,542 | |
| | Autoliv Inc. | 1,111,261 | | 93,802 | |
| | Dunkin' Brands Group Inc. | 1,179,268 | | 89,082 | |
| * | Planet Fitness Inc. Class A | 1,164,320 | | 86,951 | |
| | Wyndham Hotels & Resorts Inc. | 1,353,716 | | 85,027 | |
| | Polaris Inc. | 815,807 | | 82,968 | |
| * | Skechers U.S.A. Inc. Class A | 1,901,325 | | 82,118 | |
| | Williams-Sonoma Inc. | 1,100,241 | | 80,802 | |
| * | Etsy Inc. | 1,684,390 | | 74,618 | |
| * | ServiceMaster Global Holdings Inc. | 1,919,537 | | 74,209 | |
| *,^ | Wayfair Inc. | 803,604 | | 72,622 | |
| | Toll Brothers Inc. | 1,821,628 | | 71,973 | |
| | Churchill Downs Inc. | 500,589 | | 68,681 | |
| | Brunswick Corp. | 1,145,054 | | 68,680 | |
| | Carter's Inc. | 624,980 | | 68,335 | |
| | Marriott Vacations Worldwide Corp. | 528,318 | | 68,026 | |
| * | Deckers Outdoor Corp. | 396,859 | | 67,014 | |
| *,^ | Mattel Inc. | 4,930,326 | | 66,806 | |
| | Wyndham Destinations Inc. | 1,283,608 | | 66,350 | |
| *,^ | Carvana Co. Class A | 710,005 | | 65,356 | |
| * | Grand Canyon Education Inc. | 680,873 | | 65,221 | |
| * | Helen of Troy Ltd. | 354,354 | | 63,709 | |
| * | GrubHub Inc. | 1,288,913 | | 62,693 | |
| * | Chegg Inc. | 1,633,859 | | 61,940 | |
| | Foot Locker Inc. | 1,515,333 | | 59,083 | |
| | Thor Industries Inc. | 777,591 | | 57,767 | |
| | Wendy's Co. | 2,584,519 | | 57,402 | |
| * | frontdoor Inc. | 1,204,283 | | 57,107 | |
| * | Tempur Sealy International Inc. | 641,619 | | 55,859 | |
| *,^ | Eldorado Resorts Inc. | 935,717 | | 55,806 | |
| | Aaron's Inc. | 946,425 | | 54,050 | |
| | Cracker Barrel Old Country Store Inc. | 342,046 | | 52,586 | |
| | Texas Roadhouse Inc. Class A | 917,471 | | 51,672 | |
| | Goodyear Tire & Rubber Co. | 3,284,075 | | 51,084 | |
| * | Floor & Decor Holdings Inc. Class A | 992,664 | | 50,437 | |
| * | Ollie's Bargain Outlet Holdings Inc. | 771,471 | | 50,385 | |
| | Six Flags Entertainment Corp. | 1,116,827 | | 50,380 | |
| * | TopBuild Corp. | 484,219 | | 49,913 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Strategic Education Inc. | 312,721 | | 49,691 | |
| *,^ | RH | 228,836 | | 48,856 | |
| * | Murphy USA Inc. | 410,668 | | 48,048 | |
| | Lithia Motors Inc. Class A | 321,729 | | 47,294 | |
| | Hyatt Hotels Corp. Class A | 523,299 | | 46,945 | |
| | Steven Madden Ltd. | 1,086,642 | | 46,736 | |
| | Choice Hotels International Inc. | 449,919 | | 46,535 | |
| * | Qurate Retail Group Inc. QVC Group Class A | 5,472,139 | | 46,130 | |
| | Dick's Sporting Goods Inc. | 900,838 | | 44,582 | |
| | KB Home | 1,225,875 | | 42,011 | |
| * | Hilton Grand Vacations Inc. | 1,212,149 | | 41,686 | |
| | Columbia Sportswear Co. | 412,847 | | 41,363 | |
| * | AutoNation Inc. | 836,790 | | 40,693 | |
| * | Crocs Inc. | 963,754 | | 40,372 | |
| | Graham Holdings Co. Class B | 62,466 | | 39,915 | |
| * | Penn National Gaming Inc. | 1,557,864 | | 39,819 | |
| | Wolverine World Wide Inc. | 1,155,435 | | 38,984 | |
| | LCI Industries | 357,847 | | 38,336 | |
| * | Fox Factory Holding Corp. | 550,414 | | 38,292 | |
| | Extended Stay America Inc. | 2,568,890 | | 38,174 | |
| | Monro Inc. | 479,147 | | 37,469 | |
| | Dana Inc. | 2,036,920 | | 37,072 | |
| | Wingstop Inc. | 423,039 | | 36,479 | |
| * | National Vision Holdings Inc. | 1,121,956 | | 36,385 | |
| * | Visteon Corp. | 400,490 | | 34,678 | |
| | Boyd Gaming Corp. | 1,142,008 | | 34,192 | |
| | American Eagle Outfitters Inc. | 2,268,519 | | 33,347 | |
| * | Taylor Morrison Home Corp. Class A | 1,473,955 | | 32,221 | |
| * | Dorman Products Inc. | 417,375 | | 31,604 | |
| * | Asbury Automotive Group Inc. | 275,978 | | 30,852 | |
| * | TRI Pointe Group Inc. | 1,956,724 | | 30,486 | |
| * | Meritage Homes Corp. | 498,779 | | 30,480 | |
| ^ | Bed Bath & Beyond Inc. | 1,745,361 | | 30,195 | |
| * | Sally Beauty Holdings Inc. | 1,643,723 | | 29,998 | |
| * | Urban Outfitters Inc. | 1,008,875 | | 28,016 | |
| | Kontoor Brands Inc. | 661,657 | | 27,783 | |
| | MDC Holdings Inc. | 726,018 | | 27,705 | |
| | Callaway Golf Co. | 1,306,533 | | 27,699 | |
| * | Laureate Education Inc. Class A | 1,565,291 | | 27,565 | |
| | Bloomin' Brands Inc. | 1,241,321 | | 27,396 | |
| * | Adient plc | 1,245,946 | | 26,476 | |
| * | Shake Shack Inc. Class A | 443,166 | | 26,399 | |
| | Jack in the Box Inc. | 338,229 | | 26,392 | |
| * | Adtalem Global Education Inc. | 752,612 | | 26,319 | |
| | Winnebago Industries Inc. | 480,303 | | 25,446 | |
| | Group 1 Automotive Inc. | 250,229 | | 25,023 | |
| * | WW International Inc. | 651,550 | | 24,896 | |
| | Red Rock Resorts Inc. Class A | 1,014,037 | | 24,286 | |
| | Penske Automotive Group Inc. | 481,299 | | 24,171 | |
| * | Cavco Industries Inc. | 118,784 | | 23,208 | |
| ^ | Cheesecake Factory Inc. | 590,302 | | 22,939 | |
| * | Skyline Champion Corp. | 721,224 | | 22,863 | |
| *,^ | Veoneer Inc. | 1,453,833 | | 22,709 | |
| | Brinker International Inc. | 534,171 | | 22,435 | |
| * | Chewy Inc. | 761,871 | | 22,094 | |
| * | Installed Building Products Inc. | 311,403 | | 21,446 | |
| | Office Depot Inc. | 7,819,259 | | 21,425 | |
| | La-Z-Boy Inc. | 665,060 | | 20,936 | |
| * | Scientific Games Corp. | 780,305 | | 20,897 | |
| * | G-III Apparel Group Ltd. | 616,825 | | 20,664 | |
| | Cooper Tire & Rubber Co. | 711,818 | | 20,465 | |
| *,^ | iRobot Corp. | 398,680 | | 20,185 | |
| ^ | Papa John's International Inc. | 315,407 | | 19,918 | |
| * | LGI Homes Inc. | 281,158 | | 19,864 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Stamps.com Inc. | 236,957 | | 19,791 | |
| | Rent-A-Center Inc. | 675,466 | | 19,480 | |
| * | Gentherm Inc. | 436,975 | | 19,397 | |
| * | Sleep Number Corp. | 391,832 | | 19,294 | |
| | Dine Brands Global Inc. | 228,662 | | 19,098 | |
| * | Career Education Corp. | 1,015,928 | | 18,683 | |
| | Oxford Industries Inc. | 247,477 | | 18,665 | |
| * | SeaWorld Entertainment Inc. | 575,499 | | 18,249 | |
| * | Boot Barn Holdings Inc. | 409,756 | | 18,246 | |
| | Core-Mark Holding Co. Inc. | 655,246 | | 17,816 | |
| | Dave & Buster's Entertainment Inc. | 441,889 | | 17,751 | |
| * | American Axle & Manufacturing Holdings Inc. | 1,614,772 | | 17,375 | |
| | Signet Jewelers Ltd. | 751,885 | | 16,346 | |
| * | M/I Homes Inc. | 410,948 | | 16,171 | |
| *,^ | Peloton Interactive Inc. Class A | 563,570 | | 16,005 | |
| * | Denny's Corp. | 803,289 | | 15,969 | |
| * | Everi Holdings Inc. | 1,179,810 | | 15,845 | |
| * | Delphi Technologies plc | 1,234,545 | | 15,839 | |
| | Big Lots Inc. | 545,497 | | 15,667 | |
| | Abercrombie & Fitch Co. | 902,087 | | 15,597 | |
| | Standard Motor Products Inc. | 290,391 | | 15,455 | |
| | Acushnet Holdings Corp. | 469,528 | | 15,260 | |
| *,^ | YETI Holdings Inc. | 437,387 | | 15,212 | |
| * | Groupon Inc. Class A | 6,202,995 | | 14,825 | |
| * | Sonos Inc. | 919,582 | | 14,364 | |
| ^ | Children's Place Inc. | 223,554 | | 13,977 | |
| | Guess? Inc. | 611,957 | | 13,696 | |
| | Caleres Inc. | 550,621 | | 13,077 | |
| | Designer Brands Inc. Class A | 794,240 | | 12,501 | |
| * | Shutterstock Inc. | 284,812 | | 12,213 | |
| * | Malibu Boats Inc. Class A | 296,534 | | 12,143 | |
| | Levi Strauss & Co. Class A | 610,100 | | 11,769 | |
| * | K12 Inc. | 563,208 | | 11,461 | |
| * | Stoneridge Inc. | 390,883 | | 11,461 | |
| ^ | Buckle Inc. | 414,347 | | 11,204 | |
| | Sturm Ruger & Co. Inc. | 237,276 | | 11,159 | |
| * | Century Communities Inc. | 401,580 | | 10,983 | |
| | Sonic Automotive Inc. Class A | 348,893 | | 10,816 | |
| * | Garrett Motion Inc. | 1,081,389 | | 10,803 | |
| * | Quotient Technology Inc. | 1,092,951 | | 10,777 | |
| ^ | Dillard's Inc. Class A | 146,511 | | 10,766 | |
| * | Universal Electronics Inc. | 204,119 | | 10,667 | |
| | BJ's Restaurants Inc. | 277,198 | | 10,522 | |
| | Tenneco Inc. Class A | 767,088 | | 10,049 | |
| * | Zumiez Inc. | 289,459 | | 9,998 | |
| * | America's Car-Mart Inc. | 90,482 | | 9,922 | |
| * | Genesco Inc. | 206,918 | | 9,916 | |
| * | William Lyon Homes Class A | 484,752 | | 9,685 | |
| * | Houghton Mifflin Harcourt Co. | 1,515,797 | | 9,474 | |
| *,^ | Stitch Fix Inc. Class A | 350,075 | | 8,983 | |
| * | Michaels Cos. Inc. | 1,104,704 | | 8,937 | |
| *,^ | OneSpaWorld Holdings Ltd. | 509,568 | | 8,581 | |
| ^ | Twin River Worldwide Holdings Inc. | 321,260 | | 8,240 | |
| * | Cooper-Standard Holdings Inc. | 244,391 | | 8,104 | |
| *,^ | GoPro Inc. Class A | 1,809,206 | | 7,852 | |
| * | Monarch Casino & Resort Inc. | 156,952 | | 7,620 | |
| | Ruth's Hospitality Group Inc. | 349,849 | | 7,614 | |
| * | American Outdoor Brands Corp. | 806,475 | | 7,484 | |
| * | Hibbett Sports Inc. | 263,689 | | 7,394 | |
| ^ | Camping World Holdings Inc. Class A | 483,625 | | 7,129 | |
| ^ | PetMed Express Inc. | 297,407 | | 6,995 | |
| | Ethan Allen Interiors Inc. | 357,989 | | 6,823 | |
| | Johnson Outdoors Inc. Class A | 87,974 | | 6,748 | |
| * | Chuy's Holdings Inc. | 257,031 | | 6,662 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Chico's FAS Inc. | 1,741,648 | | 6,636 | |
| * | Vista Outdoor Inc. | 872,436 | | 6,526 | |
| * | Regis Corp. | 364,302 | | 6,510 | |
| * | Lindblad Expeditions Holdings Inc. | 397,567 | | 6,500 | |
| | Carriage Services Inc. Class A | 249,075 | | 6,376 | |
| * | Red Robin Gourmet Burgers Inc. | 190,174 | | 6,280 | |
| * | Motorcar Parts of America Inc. | 283,653 | | 6,249 | |
| | Winmark Corp. | 30,370 | | 6,022 | |
| * | Beazer Homes USA Inc. | 415,003 | | 5,864 | |
| * | Modine Manufacturing Co. | 743,907 | | 5,728 | |
| | Tupperware Brands Corp. | 666,116 | | 5,715 | |
| ^ | GameStop Corp. Class A | 939,235 | | 5,711 | |
| * | Rubicon Project Inc. | 691,977 | | 5,647 | |
| * | Unifi Inc. | 222,740 | | 5,626 | |
| * | Playa Hotels & Resorts NV | 668,096 | | 5,612 | |
| * | MarineMax Inc. | 327,435 | | 5,465 | |
| * | American Public Education Inc. | 199,312 | | 5,459 | |
| * | Golden Entertainment Inc. | 281,585 | | 5,412 | |
| | Movado Group Inc. | 246,540 | | 5,360 | |
| * | 1-800-Flowers.com Inc. Class A | 365,619 | | 5,301 | |
| * | Fossil Group Inc. | 670,856 | | 5,286 | |
| | Cato Corp. Class A | 294,678 | | 5,127 | |
| | Haverty Furniture Cos. Inc. | 250,036 | | 5,041 | |
| ^ | Shoe Carnival Inc. | 132,803 | | 4,951 | |
| * | PlayAGS Inc. | 407,620 | | 4,944 | |
| *,^ | JC Penney Co. Inc. | 4,397,617 | | 4,925 | |
| * | Express Inc. | 988,856 | | 4,816 | |
| | BBX Capital Corp. Class A | 980,710 | | 4,678 | |
| | Clarus Corp. | 344,784 | | 4,675 | |
| | Hooker Furniture Corp. | 176,140 | | 4,525 | |
| *,^ | Funko Inc. Class A | 257,432 | | 4,418 | |
| *,^ | RealReal Inc. | 233,918 | | 4,409 | |
| * | Sportsman's Warehouse Holdings Inc. | 545,022 | | 4,377 | |
| * | MasterCraft Boat Holdings Inc. | 276,717 | | 4,358 | |
| * | El Pollo Loco Holdings Inc. | 280,972 | | 4,254 | |
| *,^ | Lumber Liquidators Holdings Inc. | 429,282 | | 4,194 | |
| * | Del Taco Restaurants Inc. | 522,118 | | 4,127 | |
| * | Carrols Restaurant Group Inc. | 584,762 | | 4,123 | |
| * | Lands' End Inc. | 238,373 | | 4,005 | |
| | Tilly's Inc. Class A | 323,580 | | 3,964 | |
| | Citi Trends Inc. | 168,327 | | 3,892 | |
| * | Green Brick Partners Inc. | 330,414 | | 3,793 | |
| * | Vera Bradley Inc. | 310,417 | | 3,663 | |
| * | XPEL Inc. | 246,462 | | 3,611 | |
| * | Conn's Inc. | 283,663 | | 3,515 | |
| * | ZAGG Inc. | 421,612 | | 3,419 | |
| * | Drive Shack Inc. | 931,410 | | 3,409 | |
| * | At Home Group Inc. | 614,076 | | 3,377 | |
| *,^ | GNC Holdings Inc. Class A | 1,241,077 | | 3,351 | |
| * | Habit Restaurants Inc. Class A | 312,028 | | 3,254 | |
| * | Century Casinos Inc. | 408,393 | | 3,234 | |
| ^ | Tailored Brands Inc. | 749,005 | | 3,101 | |
| | Rocky Brands Inc. | 103,317 | | 3,041 | |
| *,^ | Overstock.com Inc. | 419,376 | | 2,957 | |
| | Nathan's Famous Inc. | 39,865 | | 2,826 | |
| | RCI Hospitality Holdings Inc. | 137,612 | | 2,821 | |
| *,^ | Revolve Group Inc. | 150,658 | | 2,766 | |
| | Collectors Universe Inc. | 115,006 | | 2,651 | |
| * | Franchise Group Inc. | 112,271 | | 2,605 | |
| * | Noodles & Co. Class A | 455,461 | | 2,523 | |
| * | Target Hospitality Corp. | 498,211 | | 2,491 | |
| * | Delta Apparel Inc. | 79,196 | | 2,463 | |
| | Bassett Furniture Industries Inc. | 144,743 | | 2,414 | |
| *,^ | Workhorse Group Inc. | 782,836 | | 2,380 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,^ | Stage Stores Inc. | 290,264 | | 2,357 | |
| * | Liquidity Services Inc. | 379,983 | | 2,265 | |
| * | Barnes & Noble Education Inc. | 525,649 | | 2,245 | |
| * | Fiesta Restaurant Group Inc. | 221,309 | | 2,189 | |
| *,^ | Lovesac Co. | 129,805 | | 2,083 | |
| | Flexsteel Industries Inc. | 103,832 | | 2,068 | |
| | Weyco Group Inc. | 77,311 | | 2,045 | |
| | Culp Inc. | 148,464 | | 2,022 | |
| * | Universal Technical Institute Inc. | 261,118 | | 2,013 | |
| *,^ | Party City Holdco Inc. | 786,838 | | 1,841 | |
| * | Biglari Holdings Inc. Class B | 15,877 | | 1,817 | |
| | Marine Products Corp. | 122,103 | | 1,758 | |
| * | Select Interior Concepts Inc. Class A | 192,500 | | 1,731 | |
| * | J Alexander's Holdings Inc. | 179,472 | | 1,716 | |
| * | Potbelly Corp. | 378,112 | | 1,596 | |
| | Superior Group of Cos. Inc. | 116,940 | | 1,583 | |
| *,^ | Duluth Holdings Inc. | 145,998 | | 1,537 | |
| * | Aspen Group Inc. | 187,581 | | 1,501 | |
| | Hamilton Beach Brands Holding Co. Class A | 76,216 | | 1,456 | |
| * | ONE Group Hospitality Inc. | 399,760 | | 1,455 | |
| * | VOXX International Corp. Class A | 331,345 | | 1,451 | |
| * | Hovnanian Enterprises Inc. Class A | 67,552 | | 1,410 | |
| * | Purple Innovation Inc. | 160,004 | | 1,394 | |
| * | Inspired Entertainment Inc. | 195,412 | | 1,319 | |
| * | Tuesday Morning Corp. | 701,525 | | 1,298 | |
| | Escalade Inc. | 128,577 | | 1,264 | |
| * | Red Lion Hotels Corp. | 327,789 | | 1,223 | |
| | Superior Industries International Inc. | 326,845 | | 1,206 | |
| ^ | Bluegreen Vacations Corp. | 110,468 | | 1,142 | |
| *,^ | Turtle Beach Corp. | 117,200 | | 1,108 | |
| *,^ | Horizon Global Corp. | 308,335 | | 1,076 | |
| | Lifetime Brands Inc. | 154,073 | | 1,071 | |
| ^ | Big 5 Sporting Goods Corp. | 348,749 | | 1,046 | |
| * | Full House Resorts Inc. | 302,969 | | 1,015 | |
| * | Lakeland Industries Inc. | 93,447 | | 1,009 | |
| *,^ | Container Store Group Inc. | 233,508 | | 985 | |
| * | Ascena Retail Group Inc. | 124,113 | | 951 | |
| | Strattec Security Corp. | 41,856 | | 930 | |
| * | New Home Co. Inc. | 194,068 | | 904 | |
| *,^ | Vuzix Corp. | 438,724 | | 882 | |
| * | Legacy Housing Corp. | 52,717 | | 877 | |
| | Ark Restaurants Corp. | 38,576 | | 856 | |
| * | Leaf Group Ltd. | 213,647 | | 855 | |
| * | Zovio Inc. Class A | 399,526 | | 823 | |
| * | Nautilus Inc. | 423,732 | | 742 | |
| * | Shiloh Industries Inc. | 207,670 | | 739 | |
| * | Vince Holding Corp. | 39,451 | | 683 | |
| * | Destination XL Group Inc. | 512,322 | | 656 | |
| * | Build-A-Bear Workshop Inc. | 196,911 | | 638 | |
| *,^ | Blue Apron Holdings Inc. Class A | 85,950 | | 566 | |
| | CSS Industries Inc. | 126,546 | | 558 | |
| * | Libbey Inc. | 354,169 | | 514 | |
| | Crown Crafts Inc. | 80,356 | | 494 | |
| * | Tandy Leather Factory Inc. | 82,294 | | 470 | |
| * | BBQ Holdings Inc. | 115,967 | | 456 | |
| * | Biglari Holdings Inc. | 733 | | 440 | |
| *,^ | Francesca's Holdings Corp. | 42,358 | | 440 | |
| *,^ | JAKKS Pacific Inc. | 412,051 | | 424 | |
| * | US Auto Parts Network Inc. | 177,435 | | 390 | |
| ^ | Pier 1 Imports Inc. | 59,386 | | 380 | |
| * | Kura Sushi USA Inc. Class A | 14,279 | | 363 | |
| | Educational Development Corp. | 57,944 | | 358 | |
| * | Town Sports International Holdings Inc. | 205,987 | | 352 | |
| * | HyreCar Inc. | 129,780 | | 341 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Dover Motorsports Inc. | 181,111 | | 337 | |
| * | RTW RetailWinds Inc. | 404,818 | | 324 | |
| * | Luby's Inc. | 146,561 | | 322 | |
| *,^ | Blink Charging Co. | 173,297 | | 322 | |
| * | TravelCenters of America Inc. | 18,112 | | 311 | |
| * | Centric Brands Inc. | 142,689 | | 310 | |
| * | Greenlane Holdings Inc. Class A | 94,720 | | 308 | |
| *,^ | Waitr Holdings Inc. | 941,292 | | 303 | |
| * | Lincoln Educational Services Corp. | 107,689 | | 291 | |
| *,^ | Kirkland's Inc. | 228,692 | | 284 | |
| *,^ | Stein Mart Inc. | 402,522 | | 269 | |
| * | iMedia Brands Inc. | 62,800 | | 251 | |
| ^ | J. Jill Inc. | 211,775 | | 239 | |
| * | Charles & Colvard Ltd. | 160,570 | | 228 | |
| * | Dixie Group Inc. | 168,576 | | 192 | |
| *,^ | Remark Holdings Inc. | 342,927 | | 177 | |
| | Unique Fabricating Inc. | 45,041 | | 174 | |
| *,^ | Sequential Brands Group Inc. | 507,312 | | 174 | |
| * | Rave Restaurant Group Inc. | 103,389 | | 171 | |
| *,^ | Monaker Group Inc. | 78,800 | | 170 | |
| * | Emerson Radio Corp. | 205,039 | | 168 | |
| * | Good Times Restaurants Inc. | 96,730 | | 154 | |
| | AMCON Distributing Co. | 2,126 | | 153 | |
| * | Iconix Brand Group Inc. | 105,013 | | 142 | |
| | Flanigan's Enterprises Inc. | 6,352 | | 141 | |
| *,^ | FAT Brands Inc. | 30,842 | | 140 | |
| *,^ | Forward Industries Inc. | 115,757 | | 115 | |
| *,^ | RumbleON Inc. Class B | 134,300 | | 111 | |
| * | Diversified Restaurant Holdings Inc. | 101,747 | | 106 | |
| * | Arcimoto Inc. | 52,107 | | 84 | |
| * | Nova Lifestyle Inc. | 42,072 | | 78 | |
| * | Sypris Solutions Inc. | 86,639 | | 68 | |
| * | Lazydays Holdings Inc. | 12,000 | | 52 | |
| * | Edison Nation Inc. | 20,400 | | 41 | |
| * | Live Ventures Inc. | 5,291 | | 40 | |
| | Canterbury Park Holding Corp. | 2,730 | | 34 | |
| | Lennar Corp. Class A | 471 | | 26 | |
| | Trans World Entertainment Corp. | 12,368 | | 25 | |
| * | Genius Brands International Inc. | 88,809 | | 24 | |
| * | Summer Infant Inc. | 85,344 | | 22 | |
| | Apex Global Brands Inc. | 26,110 | | 20 | |
| * | DropCar Inc. | 14,134 | | 12 | |
| * | Chanticleer Holdings Inc. | 19,975 | | 12 | |
| * | Toughbuilt Industries Inc. | 51,800 | | 10 | |
| * | Koss Corp. | 4,492 | | 7 | |
| | Bowl America Inc. Class A | 405 | | 6 | |
| * | Comstock Holding Cos. Inc. Class A | 2,809 | | 5 | |
| | P&F Industries Inc. Class A | 574 | | 4 | |
| * | XpresSpa Group Inc. | 5,426 | | 4 | |
| * | CTI Industries Corp. | 1,768 | | 1 | |
| * | Nephros Inc. | 100 | | 1 | |
| | | 8,359,889 | |
| Consumer Staples (2.7%) | |
| * | US Foods Holding Corp. | 3,111,514 | | 130,341 | |
| | Bunge Ltd. | 2,002,986 | | 115,272 | |
| ^ | Keurig Dr Pepper Inc. | 3,794,374 | | 109,847 | |
| * | Post Holdings Inc. | 943,849 | | 102,974 | |
| | Ingredion Inc. | 948,052 | | 88,121 | |
| | Casey's General Stores Inc. | 526,892 | | 83,771 | |
| * | Performance Food Group Co. | 1,500,693 | | 77,256 | |
| * | Darling Ingredients Inc. | 2,296,090 | | 64,474 | |
| * | Herbalife Nutrition Ltd. | 1,318,270 | | 62,842 | |
| | Flowers Foods Inc. | 2,727,326 | | 59,292 | |
| | Sanderson Farms Inc. | 280,534 | | 49,436 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Boston Beer Co. Inc. Class A | 130,214 | | 49,201 | |
| ^ | Energizer Holdings Inc. | 916,484 | | 46,026 | |
| | Lancaster Colony Corp. | 283,487 | | 45,386 | |
| | Spectrum Brands Holdings Inc. | 661,367 | | 42,519 | |
| * | BJ's Wholesale Club Holdings Inc. | 1,745,820 | | 39,700 | |
| | J&J Snack Foods Corp. | 214,445 | | 39,516 | |
| * | TreeHouse Foods Inc. | 804,296 | | 39,008 | |
| | WD-40 Co. | 196,434 | | 38,136 | |
| | Avon Products Inc. | 6,291,623 | | 35,485 | |
| * | Simply Good Foods Co. | 1,176,906 | | 33,589 | |
| | Nu Skin Enterprises Inc. Class A | 791,604 | | 32,440 | |
| * | Sprouts Farmers Market Inc. | 1,663,599 | | 32,191 | |
| * | Hain Celestial Group Inc. | 1,153,433 | | 29,937 | |
| * | Freshpet Inc. | 446,848 | | 26,404 | |
| * | Hostess Brands Inc. Class A | 1,696,201 | | 24,663 | |
| * | Pilgrim's Pride Corp. | 749,161 | | 24,509 | |
| * | Edgewell Personal Care Co. | 747,671 | | 23,148 | |
| | Vector Group Ltd. | 1,650,023 | | 22,094 | |
| | PriceSmart Inc. | 305,353 | | 21,686 | |
| | Calavo Growers Inc. | 230,612 | | 20,891 | |
| | Universal Corp. | 357,731 | | 20,412 | |
| | Coca-Cola Consolidated Inc. | 67,848 | | 19,272 | |
| | Cal-Maine Foods Inc. | 438,908 | | 18,763 | |
| | Inter Parfums Inc. | 256,846 | | 18,675 | |
| ^ | Medifast Inc. | 168,157 | | 18,427 | |
| * | Central Garden & Pet Co. Class A | 608,439 | | 17,864 | |
| ^ | B&G Foods Inc. | 866,413 | | 15,535 | |
| | Fresh Del Monte Produce Inc. | 440,026 | | 15,392 | |
| | Seaboard Corp. | 3,620 | | 15,387 | |
| * | Grocery Outlet Holding Corp. | 447,302 | | 14,515 | |
| * | USANA Health Sciences Inc. | 182,238 | | 14,315 | |
| * | Chefs' Warehouse Inc. | 345,353 | | 13,161 | |
| ^ | Rite Aid Corp. | 784,003 | | 12,128 | |
| | Andersons Inc. | 470,362 | | 11,891 | |
| * | BellRing Brands Inc. Class A | 558,478 | | 11,890 | |
| | John B Sanfilippo & Son Inc. | 129,245 | | 11,797 | |
| *,^ | Beyond Meat Inc. | 149,500 | | 11,302 | |
| ^ | MGP Ingredients Inc. | 191,875 | | 9,296 | |
| *,^ | HF Foods Group Inc. | 472,601 | | 9,216 | |
| | Ingles Markets Inc. Class A | 187,084 | | 8,888 | |
| | Weis Markets Inc. | 219,075 | | 8,870 | |
| *,^ | National Beverage Corp. | 170,179 | | 8,683 | |
| | SpartanNash Co. | 544,984 | | 7,761 | |
| ^ | Tootsie Roll Industries Inc. | 214,214 | | 7,313 | |
| * | United Natural Foods Inc. | 786,731 | | 6,892 | |
| * | elf Beauty Inc. | 351,696 | | 5,673 | |
| * | Primo Water Corp. | 498,967 | | 5,601 | |
| * | Landec Corp. | 451,817 | | 5,110 | |
| | Limoneira Co. | 232,750 | | 4,476 | |
| * | Seneca Foods Corp. Class A | 91,928 | | 3,750 | |
| ^ | Turning Point Brands Inc. | 129,588 | | 3,706 | |
| * | Central Garden & Pet Co. | 91,514 | | 2,843 | |
| * | Lifevantage Corp. | 181,156 | | 2,828 | |
| * | Craft Brew Alliance Inc. | 162,584 | | 2,683 | |
| | Village Super Market Inc. Class A | 108,534 | | 2,518 | |
| * | Farmer Brothers Co. | 164,319 | | 2,475 | |
| *,^ | Revlon Inc. Class A | 111,153 | | 2,381 | |
| | Oil-Dri Corp. of America | 65,419 | | 2,371 | |
| *,^ | Celsius Holdings Inc. | 400,721 | | 1,935 | |
| * | Veru Inc. | 556,002 | | 1,863 | |
| *,^ | 22nd Century Group Inc. | 1,664,138 | | 1,831 | |
| *,^ | New Age Beverages Corp. | 973,593 | | 1,772 | |
| | Alico Inc. | 46,718 | | 1,674 | |
| | Natural Grocers by Vitamin Cottage Inc. | 121,761 | | 1,202 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | United-Guardian Inc. | 56,697 | | 1,114 | |
| *,^ | Pyxus International Inc. | 118,118 | | 1,056 | |
| | Rocky Mountain Chocolate Factory Inc. | 96,131 | | 887 | |
| * | Nature's Sunshine Products Inc. | 93,878 | | 838 | |
| *,^ | Alkaline Water Co. Inc. | 505,193 | | 642 | |
| | Natural Health Trends Corp. | 116,955 | | 629 | |
| * | Natural Alternatives International Inc. | 73,591 | | 587 | |
| * | RiceBran Technologies | 378,072 | | 556 | |
| * | S&W Seed Co. | 246,506 | | 518 | |
| *,^ | Arcadia Biosciences Inc. | 90,707 | | 497 | |
| *,^ | Youngevity International Inc. | 99,629 | | 325 | |
| * | Reed's Inc. | 303,758 | | 276 | |
| * | Coffee Holding Co. Inc. | 55,673 | | 256 | |
| *,^ | Eastside Distilling Inc. | 86,197 | | 254 | |
| * | Lifeway Foods Inc. | 87,868 | | 175 | |
| | Mannatech Inc. | 7,785 | | 122 | |
| * | Bridgford Foods Corp. | 4,554 | | 113 | |
| | Ocean Bio-Chem Inc. | 19,130 | | 63 | |
| *,^ | MYOS RENS Technology Inc. | 48,910 | | 59 | |
| * | Standard Diversified Inc. | 1,829 | | 27 | |
| * | Reliv International Inc. | 4,459 | | 17 | |
| * | Ifresh Inc. | 36,399 | | 15 | |
| *,^ | Guardion Health Sciences Inc. | 41,925 | | 9 | |
| * | Willamette Valley Vineyards Inc. | 1,134 | | 8 | |
| * | Cyanotech Corp. | 2,701 | | 6 | |
| | | 2,003,541 | |
| Energy (2.5%) | |
| * | Cheniere Energy Inc. | 3,285,725 | | 200,659 | |
| | Targa Resources Corp. | 3,292,553 | | 134,435 | |
| * | WPX Energy Inc. | 5,916,874 | | 81,298 | |
| | Parsley Energy Inc. Class A | 4,010,013 | | 75,829 | |
| | Murphy Oil Corp. | 2,105,432 | | 56,426 | |
| * | Transocean Ltd. | 8,094,160 | | 55,688 | |
| | PBF Energy Inc. Class A | 1,451,349 | | 45,529 | |
| | Continental Resources Inc. | 1,196,861 | | 41,052 | |
| | World Fuel Services Corp. | 938,352 | | 40,743 | |
| | EQT Corp. | 3,574,441 | | 38,961 | |
| ^ | Equitrans Midstream Corp. | 2,838,482 | | 37,922 | |
| * | Apergy Corp. | 1,073,947 | | 36,278 | |
| | Delek US Holdings Inc. | 1,051,977 | | 35,273 | |
| ^ | Antero Midstream Corp. | 4,249,817 | | 32,256 | |
| | Kosmos Energy Ltd. | 5,051,323 | | 28,793 | |
| | Patterson-UTI Energy Inc. | 2,718,573 | | 28,545 | |
| * | Matador Resources Co. | 1,544,625 | | 27,757 | |
| * | Callon Petroleum Co. | 5,534,100 | | 26,730 | |
| | Core Laboratories NV | 631,654 | | 23,794 | |
| * | Dril-Quip Inc. | 498,684 | | 23,393 | |
| * | CNX Resources Corp. | 2,558,190 | | 22,640 | |
| | Cactus Inc. Class A | 653,933 | | 22,443 | |
| * | PDC Energy Inc. | 847,042 | | 22,167 | |
| * | Oceaneering International Inc. | 1,437,164 | | 21,428 | |
| * | Helix Energy Solutions Group Inc. | 2,055,249 | | 19,792 | |
| * | Southwestern Energy Co. | 7,790,281 | | 18,852 | |
| *,^ | Valaris plc Class A | 2,839,797 | | 18,629 | |
| | Archrock Inc. | 1,831,784 | | 18,391 | |
| * | Magnolia Oil & Gas Corp. Class A | 1,406,756 | | 17,697 | |
| | SM Energy Co. | 1,531,901 | | 17,219 | |
| | CVR Energy Inc. | 423,167 | | 17,109 | |
| | QEP Resources Inc. | 3,462,447 | | 15,581 | |
| | Arch Coal Inc. Class A | 216,897 | | 15,560 | |
| | NexTier Oilfield Solutions Inc. | 2,280,238 | | 15,278 | |
| *,^ | Renewable Energy Group Inc. | 561,280 | | 15,126 | |
| * | SRC Energy Inc. | 3,524,617 | | 14,521 | |
| | Nabors Industries Ltd. | 4,861,203 | | 14,000 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| ^ | Range Resources Corp. | 2,800,181 | | 13,581 | |
| * | Oil States International Inc. | 812,944 | | 13,259 | |
| *,^ | Chesapeake Energy Corp. | 15,962,958 | | 13,179 | |
| * | Centennial Resource Development Inc. Class A | 2,839,123 | | 13,117 | |
| * | Oasis Petroleum Inc. | 3,991,538 | | 13,012 | |
| * | ProPetro Holding Corp. | 1,115,181 | | 12,546 | |
| * | Par Pacific Holdings Inc. | 530,641 | | 12,332 | |
| * | SEACOR Holdings Inc. | 264,755 | | 11,424 | |
| * | International Seaways Inc. | 372,800 | | 11,094 | |
| * | Tidewater Inc. | 550,538 | | 10,614 | |
| *,^ | Tellurian Inc. | 1,359,460 | | 9,897 | |
| * | Denbury Resources Inc. | 6,874,192 | | 9,693 | |
| *,^ | Whiting Petroleum Corp. | 1,313,796 | | 9,643 | |
| ^ | DMC Global Inc. | 212,749 | | 9,561 | |
| | Peabody Energy Corp. | 1,032,065 | | 9,412 | |
| * | Matrix Service Co. | 399,771 | | 9,147 | |
| * | Antero Resources Corp. | 3,163,793 | | 9,017 | |
| * | Talos Energy Inc. | 295,214 | | 8,901 | |
| * | Newpark Resources Inc. | 1,377,605 | | 8,638 | |
| * | Select Energy Services Inc. Class A | 909,797 | | 8,443 | |
| | Liberty Oilfield Services Inc. Class A | 756,372 | | 8,411 | |
| | Brigham Minerals Inc. | 379,893 | | 8,145 | |
| * | Northern Oil and Gas Inc. | 3,274,795 | | 7,663 | |
| * | W&T Offshore Inc. | 1,369,717 | | 7,616 | |
| | Green Plains Inc. | 490,465 | | 7,568 | |
| * | Frank's International NV | 1,406,589 | | 7,272 | |
| *,^ | Diamond Offshore Drilling Inc. | 970,797 | | 6,980 | |
| * | Dorian LPG Ltd. | 438,559 | | 6,789 | |
| | US Silica Holdings Inc. | 1,100,737 | | 6,769 | |
| * | Bonanza Creek Energy Inc. | 284,690 | | 6,645 | |
| | Solaris Oilfield Infrastructure Inc. Class A | 474,258 | | 6,640 | |
| * | Laredo Petroleum Inc. | 2,311,023 | | 6,633 | |
| * | Gulfport Energy Corp. | 2,175,972 | | 6,615 | |
| * | Jagged Peak Energy Inc. | 765,822 | | 6,502 | |
| *,^ | California Resources Corp. | 717,925 | | 6,483 | |
| * | Penn Virginia Corp. | 202,274 | | 6,139 | |
| * | REX American Resources Corp. | 71,481 | | 5,859 | |
| | Berry Petroleum Corp. | 583,629 | | 5,504 | |
| * | CONSOL Energy Inc. | 376,772 | | 5,467 | |
| * | Diamond S Shipping Inc. | 309,681 | | 5,184 | |
| * | Clean Energy Fuels Corp. | 2,128,303 | | 4,980 | |
| * | Noble Corp. plc | 3,738,216 | | 4,561 | |
| ^ | RPC Inc. | 804,926 | | 4,218 | |
| | Falcon Minerals Corp. | 587,838 | | 4,150 | |
| * | Contango Oil & Gas Co. | 1,089,845 | | 4,000 | |
| * | SEACOR Marine Holdings Inc. | 282,610 | | 3,897 | |
| * | TETRA Technologies Inc. | 1,796,542 | | 3,521 | |
| * | Exterran Corp. | 415,579 | | 3,254 | |
| * | Era Group Inc. | 302,554 | | 3,077 | |
| * | Geospace Technologies Corp. | 175,438 | | 2,942 | |
| | NACCO Industries Inc. Class A | 60,211 | | 2,820 | |
| * | HighPoint Resources Corp. | 1,658,527 | | 2,803 | |
| | Evolution Petroleum Corp. | 465,204 | | 2,545 | |
| | Panhandle Oil and Gas Inc. Class A | 223,317 | | 2,503 | |
| *,^ | Altus Midstream Co. Class A | 844,953 | | 2,417 | |
| * | Ring Energy Inc. | 912,398 | | 2,409 | |
| *,^ | Extraction Oil & Gas Inc. | 1,128,751 | | 2,393 | |
| *,^ | Uranium Energy Corp. | 2,409,184 | | 2,214 | |
| * | KLX Energy Services Holdings Inc. | 343,817 | | 2,214 | |
| * | Natural Gas Services Group Inc. | 179,377 | | 2,199 | |
| * | Contura Energy Inc. | 227,853 | | 2,062 | |
| * | Overseas Shipholding Group Inc. Class A | 895,213 | | 2,059 | |
| * | Forum Energy Technologies Inc. | 1,199,939 | | 2,016 | |
| | Amplify Energy Corp. | 294,559 | | 1,947 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Earthstone Energy Inc. Class A | 295,017 | | 1,867 | |
| *,^ | Comstock Resources Inc. | 226,527 | | 1,864 | |
| * | SandRidge Energy Inc. | 435,952 | | 1,848 | |
| * | Aspen Aerogels Inc. | 236,539 | | 1,836 | |
| *,^ | McDermott International Inc. | 2,645,002 | | 1,790 | |
| * | VAALCO Energy Inc. | 745,157 | | 1,654 | |
| * | Nine Energy Service Inc. | 168,829 | | 1,320 | |
| * | ION Geophysical Corp. | 146,956 | | 1,276 | |
| * | RigNet Inc. | 184,815 | | 1,220 | |
| * | Gulf Island Fabrication Inc. | 228,031 | | 1,156 | |
| * | Goodrich Petroleum Corp. | 113,962 | | 1,144 | |
| | Adams Resources & Energy Inc. | 26,556 | | 1,011 | |
| *,^ | Hi-Crush Inc. | 1,103,200 | | 974 | |
| *,^ | Covia Holdings Corp. | 464,175 | | 947 | |
| * | Montage Resources Corp. | 110,776 | | 880 | |
| * | Lonestar Resources US Inc. Class A | 327,678 | | 855 | |
| * | Abraxas Petroleum Corp. | 2,401,966 | | 843 | |
| *,^ | Chaparral Energy Inc. Class A | 457,658 | | 805 | |
| | Hallador Energy Co. | 269,977 | | 802 | |
| *,^ | Smart Sand Inc. | 317,809 | | 801 | |
| * | SilverBow Resources Inc. | 77,094 | | 763 | |
| * | Centrus Energy Corp. Class A | 94,105 | | 647 | |
| * | US Well Services Inc. | 342,236 | | 647 | |
| * | Profire Energy Inc. | 441,797 | | 641 | |
| * | PrimeEnergy Resources Corp. | 4,191 | | 634 | |
| * | Dawson Geophysical Co. | 260,463 | | 625 | |
| * | Unit Corp. | 825,409 | | 574 | |
| * | FTS International Inc. | 476,742 | | 496 | |
| *,^ | Vertex Energy Inc. | 318,653 | | 491 | |
| * | Independence Contract Drilling Inc. | 487,669 | | 486 | |
| *,^ | Torchlight Energy Resources Inc. | 631,684 | | 480 | |
| * | NextDecade Corp. | 74,778 | | 459 | |
| * | NCS Multistage Holdings Inc. | 202,955 | | 426 | |
| * | Ranger Energy Services Inc. | 66,043 | | 425 | |
| | Mammoth Energy Services Inc. | 180,337 | | 397 | |
| *,^ | Pacific Ethanol Inc. | 606,815 | | 394 | |
| * | Mitcham Industries Inc. | 137,162 | | 394 | |
| * | Quintana Energy Services Inc. | 114,748 | | 322 | |
| *,^ | Lilis Energy Inc. | 683,760 | | 260 | |
| * | Gevo Inc. | 107,879 | | 249 | |
| * | TransAtlantic Petroleum Ltd. | 337,879 | | 165 | |
| * | Rosehill Resources Inc. Class A | 125,800 | | 161 | |
| *,^ | Zion Oil & Gas Inc. | 789,909 | | 136 | |
| *,^ | PEDEVCO Corp. | 60,609 | | 101 | |
| *,^ | Synthesis Energy Systems Inc. | 17,323 | | 99 | |
| * | Aemetis Inc. | 113,906 | | 95 | |
| *,^ | SAExploration Holdings Inc. | 30,043 | | 91 | |
| *,^ | Enservco Corp. | 450,210 | | 84 | |
| * | Superior Drilling Products Inc. | 91,783 | | 75 | |
| | Cimarex Energy Co. | 1,068 | | 56 | |
| * | Barnwell Industries Inc. | 44,204 | | 45 | |
| * | ENGlobal Corp. | 44,862 | | 44 | |
| *,^ | New Concept Energy Inc. | 29,463 | | 36 | |
| | Euronav NV | 2,293 | | 29 | |
| * | Alta Mesa Resources Inc. Class A | 1,665,337 | | 26 | |
| * | Tengasco Inc. | 47,328 | | 23 | |
| *,^ | Yuma Energy Inc. | 6,544 | | 20 | |
| * | Hornbeck Offshore Services Inc. | 176,714 | | 19 | |
| *,^ | Houston American Energy Corp. | 93,484 | | 14 | |
| *,^ | Westwater Resources Inc. | 4,747 | | 10 | |
| * | US Energy Corp. Wyoming | 28,339 | | 9 | |
| * | Mexco Energy Corp. | 600 | | 2 | |
| * | Bonanza Creek Energy Inc. Warrants Exp. 04/28/2020 | 19,019 | | — | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,^,§ | Harvest Natural Resources Inc. | 133,886 | | — | |
| | | 1,836,432 | |
| Financials (17.4%) | |
| | Blackstone Group LP | 9,374,796 | | 524,426 | |
| * | Arch Capital Group Ltd. | 5,733,040 | | 245,890 | |
| | KKR & Co. Inc. Class A | 7,815,931 | | 227,991 | |
| * | Markel Corp. | 195,913 | | 223,962 | |
| | Annaly Capital Management Inc. | 20,420,421 | | 192,360 | |
| | TD Ameritrade Holding Corp. | 3,754,806 | | 186,614 | |
| | Fidelity National Financial Inc. | 3,900,513 | | 176,888 | |
| | Ally Financial Inc. | 5,385,068 | | 164,568 | |
| * | Alleghany Corp. | 204,319 | | 163,367 | |
| | AXA Equitable Holdings Inc. | 6,227,871 | | 154,327 | |
| | Reinsurance Group of America Inc. Class A | 892,815 | | 145,582 | |
| | FactSet Research Systems Inc. | 537,418 | | 144,189 | |
| | AGNC Investment Corp. | 7,689,547 | | 135,951 | |
| | Apollo Global Management LLC | 2,836,742 | | 135,341 | |
| | Brown & Brown Inc. | 3,303,770 | | 130,433 | |
| | RenaissanceRe Holdings Ltd. | 625,054 | | 122,523 | |
| | American Financial Group Inc. | 1,072,909 | | 117,644 | |
| | SEI Investments Co. | 1,785,820 | | 116,936 | |
| | Voya Financial Inc. | 1,902,416 | | 116,009 | |
| | LPL Financial Holdings Inc. | 1,146,673 | | 105,781 | |
| | Signature Bank | 764,042 | | 104,376 | |
| | TCF Financial Corp. | 2,176,514 | | 101,861 | |
| | East West Bancorp Inc. | 2,061,644 | | 100,402 | |
| | Commerce Bancshares Inc. | 1,468,531 | | 99,772 | |
| | Starwood Property Trust Inc. | 4,001,242 | | 99,471 | |
| | Prosperity Bancshares Inc. | 1,336,352 | | 96,070 | |
| | New Residential Investment Corp. | 5,869,512 | | 94,558 | |
| | First American Financial Corp. | 1,590,006 | | 92,729 | |
| | Old Republic International Corp. | 4,051,783 | | 90,638 | |
| * | Credit Acceptance Corp. | 197,250 | | 87,250 | |
| | Synovus Financial Corp. | 2,067,564 | | 81,049 | |
| | Popular Inc. | 1,366,544 | | 80,284 | |
| | New York Community Bancorp Inc. | 6,632,356 | | 79,721 | |
| | Cullen/Frost Bankers Inc. | 807,622 | | 78,969 | |
| * | Athene Holding Ltd. Class A | 1,668,008 | | 78,446 | |
| | Jefferies Financial Group Inc. | 3,591,606 | | 76,753 | |
| | Primerica Inc. | 587,541 | | 76,709 | |
| | Western Alliance Bancorp | 1,337,229 | | 76,222 | |
| | Hanover Insurance Group Inc. | 556,458 | | 76,051 | |
| | Eaton Vance Corp. | 1,601,969 | | 74,796 | |
| | First Horizon National Corp. | 4,399,079 | | 72,849 | |
| | Essent Group Ltd. | 1,396,911 | | 72,625 | |
| | Radian Group Inc. | 2,852,286 | | 71,764 | |
| | Axis Capital Holdings Ltd. | 1,195,279 | | 71,047 | |
| | Blackstone Mortgage Trust Inc. Class A | 1,901,034 | | 70,757 | |
| | MGIC Investment Corp. | 4,931,981 | | 69,886 | |
| | Webster Financial Corp. | 1,308,775 | | 69,836 | |
| | Kemper Corp. | 882,323 | | 68,380 | |
| | First Financial Bankshares Inc. | 1,945,762 | | 68,296 | |
| | First Citizens BancShares Inc. Class A | 124,256 | | 66,130 | |
| | Assured Guaranty Ltd. | 1,345,245 | | 65,944 | |
| | Pinnacle Financial Partners Inc. | 1,023,502 | | 65,504 | |
| | PacWest Bancorp | 1,690,140 | | 64,682 | |
| | Lazard Ltd. Class A | 1,600,122 | | 63,941 | |
| | Valley National Bancorp | 5,583,275 | | 63,929 | |
| | CIT Group Inc. | 1,338,162 | | 61,060 | |
| | Sterling Bancorp | 2,851,825 | | 60,116 | |
| * | Brighthouse Financial Inc. | 1,531,539 | | 60,082 | |
| | Affiliated Managers Group Inc. | 695,431 | | 58,931 | |
| | Stifel Financial Corp. | 970,933 | | 58,887 | |
| | FNB Corp. | 4,632,241 | | 58,829 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Wintrust Financial Corp. | 805,597 | | 57,117 | |
| | Two Harbors Investment Corp. | 3,904,990 | | 57,091 | |
| | Glacier Bancorp Inc. | 1,222,121 | | 56,205 | |
| | United Bankshares Inc. | 1,447,389 | | 55,956 | |
| | Selective Insurance Group Inc. | 854,411 | | 55,699 | |
| | IBERIABANK Corp. | 741,055 | | 55,453 | |
| | Umpqua Holdings Corp. | 3,119,780 | | 55,220 | |
| | Bank of Hawaii Corp. | 579,054 | | 55,103 | |
| | Chimera Investment Corp. | 2,661,419 | | 54,719 | |
| | Janus Henderson Group plc | 2,210,342 | | 54,043 | |
| | Hancock Whitney Corp. | 1,229,057 | | 53,931 | |
| | First Hawaiian Inc. | 1,866,054 | | 53,836 | |
| | SLM Corp. | 6,009,553 | | 53,545 | |
| | Community Bank System Inc. | 734,619 | | 52,114 | |
| | Bank OZK | 1,705,252 | | 52,019 | |
| | Interactive Brokers Group Inc. | 1,099,240 | | 51,247 | |
| | RLI Corp. | 564,759 | | 50,840 | |
| | Associated Banc-Corp | 2,246,951 | | 49,523 | |
| | BankUnited Inc. | 1,349,767 | | 49,347 | |
| | MFA Financial Inc. | 6,437,364 | | 49,246 | |
| | FirstCash Inc. | 607,748 | | 49,003 | |
| | White Mountains Insurance Group Ltd. | 43,371 | | 48,381 | |
| | OneMain Holdings Inc. | 1,074,024 | | 45,270 | |
| | Morningstar Inc. | 294,669 | | 44,586 | |
| | Federated Investors Inc. Class B | 1,360,372 | | 44,335 | |
| | Old National Bancorp | 2,413,996 | | 44,152 | |
| | CenterState Bank Corp. | 1,766,345 | | 44,123 | |
| | Simmons First National Corp. Class A | 1,630,760 | | 43,688 | |
| | Erie Indemnity Co. Class A | 259,629 | | 43,098 | |
| * | Enstar Group Ltd. | 208,301 | | 43,089 | |
| | Home BancShares Inc. | 2,190,080 | | 43,057 | |
| | Atlantic Union Bankshares Corp. | 1,144,200 | | 42,965 | |
| | BancorpSouth Bank | 1,367,084 | | 42,940 | |
| | Tradeweb Markets Inc. Class A | 913,068 | | 42,321 | |
| | UMB Financial Corp. | 615,840 | | 42,271 | |
| | Columbia Banking System Inc. | 1,023,907 | | 41,658 | |
| | South State Corp. | 478,703 | | 41,527 | |
| | CVB Financial Corp. | 1,910,999 | | 41,239 | |
| | Legg Mason Inc. | 1,144,629 | | 41,104 | |
| | Cathay General Bancorp | 1,078,947 | | 41,054 | |
| | Evercore Inc. Class A | 548,067 | | 40,974 | |
| | Washington Federal Inc. | 1,116,105 | | 40,905 | |
| | Independent Bank Corp. | 488,579 | | 40,674 | |
| | Fulton Financial Corp. | 2,318,368 | | 40,409 | |
| * | Texas Capital Bancshares Inc. | 711,545 | | 40,394 | |
| | BOK Financial Corp. | 456,663 | | 39,912 | |
| | Ameris Bancorp | 927,285 | | 39,447 | |
| | American Equity Investment Life Holding Co. | 1,310,947 | | 39,237 | |
| | CNO Financial Group Inc. | 2,133,351 | | 38,678 | |
| | Ares Management Corp. Class A | 1,074,926 | | 38,364 | |
| * | Cannae Holdings Inc. | 1,028,680 | | 38,257 | |
| | Investors Bancorp Inc. | 3,148,804 | | 37,518 | |
| | Navient Corp. | 2,737,347 | | 37,447 | |
| | Apollo Commercial Real Estate Finance Inc. | 2,005,733 | | 36,685 | |
| | WesBanco Inc. | 950,756 | | 35,929 | |
| | First Financial Bancorp | 1,396,912 | | 35,537 | |
| | First Midwest Bancorp Inc. | 1,535,862 | | 35,417 | |
| | International Bancshares Corp. | 819,687 | | 35,304 | |
| | United Community Banks Inc. | 1,122,197 | | 34,653 | |
| | Santander Consumer USA Holdings Inc. | 1,461,753 | | 34,161 | |
| | First BanCorp | 3,133,657 | | 33,185 | |
| * | LendingTree Inc. | 109,315 | | 33,171 | |
| | Invesco Mortgage Capital Inc. | 1,988,210 | | 33,104 | |
| | First Merchants Corp. | 791,715 | | 32,927 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| Shares | | Market
Value
($000 | ) |
| | WSFS Financial Corp. | 746,194 | | 32,825 | |
| | Cadence BanCorp Class A | 1,799,503 | | 32,625 | |
| | Argo Group International Holdings Ltd. | 493,196 | | 32,428 | |
| * | Genworth Financial Inc. Class A | 7,246,670 | | 31,885 | |
| | PennyMac Mortgage Investment Trust | 1,426,339 | | 31,793 | |
| * | NMI Holdings Inc. Class A | 955,527 | | 31,704 | |
| | Trustmark Corp. | 915,586 | | 31,597 | |
| | Banner Corp. | 530,414 | | 30,016 | |
| | Kinsale Capital Group Inc. | 290,538 | | 29,536 | |
| | Houlihan Lokey Inc. Class A | 594,153 | | 29,036 | |
| | Renasant Corp. | 805,919 | | 28,546 | |
| | ProAssurance Corp. | 780,067 | | 28,192 | |
| | Independent Bank Group Inc. | 507,501 | | 28,136 | |
| | Capitol Federal Financial Inc. | 1,995,193 | | 27,394 | |
| | Hope Bancorp Inc. | 1,833,091 | | 27,240 | |
| | Great Western Bancorp Inc. | 782,743 | | 27,193 | |
| * | eHealth Inc. | 282,771 | | 27,169 | |
| | Pacific Premier Bancorp Inc. | 826,703 | | 26,955 | |
| | Redwood Trust Inc. | 1,621,276 | | 26,816 | |
| | Walker & Dunlop Inc. | 414,561 | | 26,814 | |
| | Westamerica Bancorporation | 388,594 | | 26,335 | |
| | Horace Mann Educators Corp. | 598,719 | | 26,140 | |
| | New York Mortgage Trust Inc. | 4,131,297 | | 25,738 | |
| | Ladder Capital Corp. Class A | 1,422,247 | | 25,657 | |
| | Towne Bank | 919,308 | | 25,575 | |
| | NBT Bancorp Inc. | 616,505 | | 25,005 | |
| | Hilltop Holdings Inc. | 982,860 | | 24,503 | |
| | Artisan Partners Asset Management Inc. Class A | 753,672 | | 24,359 | |
| | ServisFirst Bancshares Inc. | 645,043 | | 24,305 | |
| | Northwest Bancshares Inc. | 1,433,450 | | 23,838 | |
| | BGC Partners Inc. Class A | 3,994,985 | | 23,730 | |
| | Eagle Bancorp Inc. | 477,156 | | 23,204 | |
| | Heartland Financial USA Inc. | 463,801 | | 23,069 | |
| * | Axos Financial Inc. | 760,259 | | 23,021 | |
| * | PRA Group Inc. | 633,363 | | 22,991 | |
| | Moelis & Co. Class A | 703,669 | | 22,461 | |
| | S&T Bancorp Inc. | 554,921 | | 22,358 | |
| * | Seacoast Banking Corp. of Florida | 721,887 | | 22,068 | |
| | Hamilton Lane Inc. Class A | 370,150 | | 22,061 | |
| | National General Holdings Corp. | 961,016 | | 21,238 | |
| | First Interstate BancSystem Inc. Class A | 505,716 | | 21,200 | |
| | Provident Financial Services Inc. | 850,465 | | 20,964 | |
| | Park National Corp. | 200,485 | | 20,526 | |
| | First Commonwealth Financial Corp. | 1,388,456 | | 20,147 | |
| | First Busey Corp. | 731,878 | | 20,127 | |
| | Veritex Holdings Inc. | 686,613 | | 20,001 | |
| | PennyMac Financial Services Inc. | 583,327 | | 19,856 | |
| | Berkshire Hills Bancorp Inc. | 601,837 | | 19,788 | |
| | FGL Holdings | 1,856,041 | | 19,767 | |
| | Sandy Spring Bancorp Inc. | 517,568 | | 19,605 | |
| ^ | Arbor Realty Trust Inc. | 1,357,694 | | 19,483 | |
| | Safety Insurance Group Inc. | 207,048 | | 19,158 | |
| | OceanFirst Financial Corp. | 745,863 | | 19,049 | |
| | Flagstar Bancorp Inc. | 497,390 | | 19,025 | |
| | Cohen & Steers Inc. | 302,662 | | 18,995 | |
| | Mercury General Corp. | 389,612 | | 18,986 | |
| | City Holding Co. | 230,289 | | 18,872 | |
| | AMERISAFE Inc. | 281,434 | | 18,583 | |
| * | Blucora Inc. | 705,536 | | 18,443 | |
| | James River Group Holdings Ltd. | 446,732 | | 18,410 | |
| | Employers Holdings Inc. | 436,825 | | 18,237 | |
| | Meta Financial Group Inc. | 495,286 | | 18,083 | |
| | Enterprise Financial Services Corp. | 375,049 | | 18,081 | |
| | Brookline Bancorp Inc. | 1,092,954 | | 17,990 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| Shares | | Market
Value
($000 | ) |
| | Lakeland Financial Corp. | 362,516 | | 17,738 | |
| | First Bancorp | 435,494 | | 17,381 | |
| | OFG Bancorp | 732,795 | | 17,301 | |
| | Virtu Financial Inc. Class A | 1,080,304 | | 17,274 | |
| | Southside Bancshares Inc. | 464,028 | | 17,234 | |
| | Nelnet Inc. Class A | 293,106 | | 17,071 | |
| | Piper Jaffray Cos. | 212,189 | | 16,962 | |
| | CNA Financial Corp. | 373,747 | | 16,748 | |
| | BancFirst Corp. | 262,594 | | 16,396 | |
| * | LendingClub Corp. | 1,289,187 | | 16,270 | |
| | Waddell & Reed Financial Inc. Class A | 965,078 | | 16,136 | |
| *,^ | Trupanion Inc. | 426,248 | | 15,967 | |
| | Kearny Financial Corp. | 1,143,843 | | 15,819 | |
| | National Bank Holdings Corp. Class A | 446,150 | | 15,713 | |
| | Colony Credit Real Estate Inc. | 1,191,369 | | 15,678 | |
| | TriCo Bancshares | 379,980 | | 15,507 | |
| | American National Insurance Co. | 131,627 | | 15,490 | |
| | Heritage Financial Corp. | 544,104 | | 15,398 | |
| | TPG RE Finance Trust Inc. | 758,871 | | 15,382 | |
| | Tompkins Financial Corp. | 167,048 | | 15,285 | |
| * | Green Dot Corp. Class A | 647,362 | | 15,084 | |
| | Meridian Bancorp Inc. | 742,307 | | 14,913 | |
| | Granite Point Mortgage Trust Inc. | 802,214 | | 14,745 | |
| * | Ambac Financial Group Inc. | 678,759 | | 14,641 | |
| | ARMOUR Residential REIT Inc. | 810,391 | | 14,482 | |
| | TFS Financial Corp. | 717,210 | | 14,115 | |
| | United Fire Group Inc. | 314,756 | | 13,764 | |
| * | Encore Capital Group Inc. | 387,399 | | 13,698 | |
| | Stewart Information Services Corp. | 329,908 | | 13,457 | |
| | Boston Private Financial Holdings Inc. | 1,114,379 | | 13,406 | |
| * | Mr Cooper Group Inc. | 1,038,608 | | 12,993 | |
| | Carolina Financial Corp. | 298,509 | | 12,905 | |
| * | Focus Financial Partners Inc. Class A | 430,185 | | 12,678 | |
| * | Triumph Bancorp Inc. | 331,074 | | 12,587 | |
| | Stock Yards Bancorp Inc. | 303,168 | | 12,448 | |
| | Lakeland Bancorp Inc. | 710,801 | | 12,354 | |
| | German American Bancorp Inc. | 344,616 | | 12,275 | |
| * | HomeStreet Inc. | 360,276 | | 12,249 | |
| | PJT Partners Inc. | 270,672 | | 12,215 | |
| * | Third Point Reinsurance Ltd. | 1,134,866 | | 11,939 | |
| * | Enova International Inc. | 493,718 | | 11,879 | |
| | Central Pacific Financial Corp. | 399,881 | | 11,828 | |
| | Universal Insurance Holdings Inc. | 421,988 | | 11,811 | |
| | TrustCo Bank Corp. NY | 1,360,157 | | 11,793 | |
| | 1st Source Corp. | 225,166 | | 11,682 | |
| | ConnectOne Bancorp Inc. | 451,034 | | 11,601 | |
| * | INTL. FCStone Inc. | 236,198 | | 11,534 | |
| | Univest Financial Corp. | 429,965 | | 11,514 | |
| | Bryn Mawr Bank Corp. | 278,945 | | 11,504 | |
| | Capstead Mortgage Corp. | 1,442,674 | | 11,426 | |
| | Preferred Bank | 189,629 | | 11,395 | |
| | Banc of California Inc. | 649,900 | | 11,165 | |
| * | Columbia Financial Inc. | 656,074 | | 11,114 | |
| | Washington Trust Bancorp Inc. | 206,109 | | 11,087 | |
| | Heritage Commerce Corp. | 860,267 | | 11,037 | |
| * | MBIA Inc. | 1,169,635 | | 10,878 | |
| | Community Trust Bancorp Inc. | 230,688 | | 10,759 | |
| | Camden National Corp. | 230,445 | | 10,614 | |
| | Virtus Investment Partners Inc. | 87,119 | | 10,604 | |
| | Horizon Bancorp Inc. | 555,535 | | 10,555 | |
| | Great Southern Bancorp Inc. | 165,282 | | 10,466 | |
| | Northfield Bancorp Inc. | 614,867 | | 10,428 | |
| | Federal Agricultural Mortgage Corp. | 124,201 | | 10,371 | |
| * | Customers Bancorp Inc. | 430,884 | | 10,259 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | National Western Life Group Inc. Class A | 34,881 | | 10,146 | |
| * | Allegiance Bancshares Inc. | 269,012 | | 10,115 | |
| | Peoples Bancorp Inc. | 284,402 | | 9,857 | |
| | Brightsphere Investment Group Inc. | 953,787 | | 9,748 | |
| * | TriState Capital Holdings Inc. | 367,578 | | 9,601 | |
| | FB Financial Corp. | 241,955 | | 9,579 | |
| | First Bancshares Inc. | 269,321 | | 9,566 | |
| * | Nicolet Bankshares Inc. | 129,516 | | 9,565 | |
| * | HarborOne Bancorp Inc. | 860,345 | | 9,455 | |
| | Ellington Financial Inc. | 515,518 | | 9,449 | |
| | Dime Community Bancshares Inc. | 448,393 | | 9,367 | |
| | First Defiance Financial Corp. | 295,531 | | 9,306 | |
| | QCR Holdings Inc. | 211,856 | | 9,292 | |
| * | Palomar Holdings Inc. Class A | 183,946 | | 9,287 | |
| | First Foundation Inc. | 525,462 | | 9,143 | |
| * | Bancorp Inc. | 703,731 | | 9,127 | |
| | United Community Financial Corp. | 776,680 | | 9,056 | |
| | Mercantile Bank Corp. | 244,704 | | 8,924 | |
| | First of Long Island Corp. | 352,499 | | 8,841 | |
| | Opus Bank | 334,445 | | 8,652 | |
| | Midland States Bancorp Inc. | 298,182 | | 8,635 | |
| | WisdomTree Investments Inc. | 1,777,914 | | 8,605 | |
| | Western Asset Mortgage Capital Corp. | 813,254 | | 8,401 | |
| | Origin Bancorp Inc. | 221,606 | | 8,386 | |
| | Arrow Financial Corp. | 221,283 | | 8,365 | |
| | Hanmi Financial Corp. | 417,915 | | 8,356 | |
| | Flushing Financial Corp. | 385,908 | | 8,338 | |
| | Bank of Marin Bancorp | 185,056 | | 8,337 | |
| | Bridge Bancorp Inc. | 244,863 | | 8,210 | |
| | First Financial Corp. | 179,090 | | 8,188 | |
| * | Carter Bank & Trust | 335,685 | | 7,962 | |
| | State Auto Financial Corp. | 256,571 | | 7,959 | |
| | Waterstone Financial Inc. | 417,326 | | 7,942 | |
| | Financial Institutions Inc. | 244,444 | | 7,847 | |
| | Independent Bank Corp. | 343,290 | | 7,776 | |
| | FBL Financial Group Inc. Class A | 130,650 | | 7,699 | |
| | AG Mortgage Investment Trust Inc. | 499,192 | | 7,698 | |
| | People's Utah Bancorp | 255,093 | | 7,683 | |
| | Live Oak Bancshares Inc. | 391,753 | | 7,447 | |
| | Peapack Gladstone Financial Corp. | 235,868 | | 7,288 | |
| | Ready Capital Corp. | 461,864 | | 7,122 | |
| * | Equity Bancshares Inc. Class A | 227,947 | | 7,037 | |
| | CBTX Inc. | 225,019 | | 7,003 | |
| * | Amerant Bancorp Inc. | 321,061 | | 6,996 | |
| | Diamond Hill Investment Group Inc. | 49,571 | | 6,963 | |
| * | World Acceptance Corp. | 80,414 | | 6,948 | |
| | CNB Financial Corp. | 211,786 | | 6,921 | |
| | Ares Commercial Real Estate Corp. | 427,549 | | 6,772 | |
| | Franklin Financial Network Inc. | 194,254 | | 6,669 | |
| ^ | Goosehead Insurance Inc. Class A | 156,773 | | 6,647 | |
| * | Cowen Inc. Class A | 421,004 | | 6,631 | |
| | KKR Real Estate Finance Trust Inc. | 313,860 | | 6,409 | |
| | HomeTrust Bancshares Inc. | 237,318 | | 6,367 | |
| | Byline Bancorp Inc. | 313,135 | | 6,128 | |
| | First Community Bankshares Inc. | 197,196 | | 6,117 | |
| | Sierra Bancorp | 209,625 | | 6,104 | |
| | Bar Harbor Bankshares | 237,373 | | 6,027 | |
| | Farmers National Banc Corp. | 367,847 | | 6,003 | |
| | Ladenburg Thalmann Financial Services Inc. | 1,723,191 | | 5,997 | |
| | West Bancorporation Inc. | 232,853 | | 5,968 | |
| | MidWestOne Financial Group Inc. | 162,214 | | 5,877 | |
| | Capital City Bank Group Inc. | 191,995 | | 5,856 | |
| | Exantas Capital Corp. | 495,098 | | 5,847 | |
| * | Atlantic Capital Bancshares Inc. | 317,561 | | 5,827 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | First Mid Bancshares Inc. | 163,291 | | 5,756 | |
| | Republic Bancorp Inc.Class A | 121,430 | | 5,683 | |
| | Dynex Capital Inc. | 335,466 | | 5,683 | |
| ^ | Orchid Island Capital Inc. | 963,109 | | 5,634 | |
| | Old Second Bancorp Inc. | 417,205 | | 5,620 | |
| | B. Riley Financial Inc. | 221,379 | | 5,574 | |
| * | EZCORP Inc. Class A | 807,721 | | 5,509 | |
| | American National Bankshares Inc. | 138,845 | | 5,494 | |
| | Citizens & Northern Corp. | 192,595 | | 5,441 | |
| | Civista Bancshares Inc. | 223,449 | | 5,363 | |
| | PCSB Financial Corp. | 253,112 | | 5,126 | |
| | Heritage Insurance Holdings Inc. | 377,019 | | 4,996 | |
| * | Spirit of Texas Bancshares Inc. | 214,198 | | 4,927 | |
| | HCI Group Inc. | 106,361 | | 4,855 | |
| | Southern National Bancorp of Virginia Inc. | 296,548 | | 4,849 | |
| * | Donnelley Financial Solutions Inc. | 460,921 | | 4,826 | |
| * | Citizens Inc. Class A | 710,407 | | 4,795 | |
| | Hingham Institution for Savings | 22,809 | | 4,794 | |
| | Sculptor Capital Management Inc. Class A | 215,294 | | 4,758 | |
| | Cambridge Bancorp | 58,556 | | 4,693 | |
| | Peoples Financial Services Corp. | 92,436 | | 4,654 | |
| ^ | Victory Capital Holdings Inc. Class A | 220,296 | | 4,620 | |
| * | Metropolitan Bank Holding Corp. | 95,562 | | 4,609 | |
| | MutualFirst Financial Inc. | 112,580 | | 4,466 | |
| | Business First Bancshares Inc. | 178,897 | | 4,460 | |
| ^ | Bank First Corp. | 63,616 | | 4,454 | |
| | Anworth Mortgage Asset Corp. | 1,263,280 | | 4,447 | |
| | United Insurance Holdings Corp. | 351,335 | | 4,430 | |
| * | Southern First Bancshares Inc. | 104,217 | | 4,428 | |
| | Amalgamated Bank Class A | 223,947 | | 4,356 | |
| | Farmers & Merchants Bancorp Inc. | 142,433 | | 4,294 | |
| * | Regional Management Corp. | 142,709 | | 4,286 | |
| * | Greenlight Capital Re Ltd. Class A | 417,905 | | 4,225 | |
| * | BRP Group Inc. Class A | 262,727 | | 4,217 | |
| | Merchants Bancorp | 208,918 | | 4,118 | |
| | First Bancorp Inc. | 136,159 | | 4,116 | |
| | Home Bancorp Inc. | 103,208 | | 4,045 | |
| | National Bankshares Inc. | 88,924 | | 3,995 | |
| | RBB Bancorp | 187,762 | | 3,975 | |
| | Oppenheimer Holdings Inc. Class A | 144,218 | | 3,963 | |
| | Northrim BanCorp Inc. | 102,156 | | 3,913 | |
| | Territorial Bancorp Inc. | 125,627 | | 3,887 | |
| | SmartFinancial Inc. | 162,204 | | 3,836 | |
| * | Baycom Corp. | 166,049 | | 3,776 | |
| | Southern Missouri Bancorp Inc. | 96,799 | | 3,713 | |
| | Cherry Hill Mortgage Investment Corp. | 254,322 | | 3,711 | |
| | Macatawa Bank Corp. | 333,037 | | 3,707 | |
| | FS Bancorp Inc. | 57,505 | | 3,668 | |
| | Enterprise Bancorp Inc. | 105,588 | | 3,576 | |
| | Greenhill & Co. Inc. | 209,221 | | 3,574 | |
| * | Howard Bancorp Inc. | 209,553 | | 3,537 | |
| | Westwood Holdings Group Inc. | 118,862 | | 3,521 | |
| * | Bridgewater Bancshares Inc. | 255,465 | | 3,520 | |
| | Century Bancorp Inc. Class A | 39,130 | | 3,520 | |
| | Safeguard Scientifics Inc. | 317,551 | | 3,487 | |
| ^ | Arlington Asset Investment Corp. Class A | 616,544 | | 3,434 | |
| | ACNB Corp. | 90,575 | | 3,426 | |
| | Guaranty Bancshares Inc. | 102,111 | | 3,357 | |
| | First Internet Bancorp | 140,291 | | 3,326 | |
| | Mid Penn Bancorp Inc. | 115,488 | | 3,326 | |
| | Ames National Corp. | 118,092 | | 3,314 | |
| | Great Ajax Corp. | 219,885 | | 3,257 | |
| * | Assetmark Financial Holdings Inc. | 112,135 | | 3,254 | |
| | Summit Financial Group Inc. | 119,570 | | 3,239 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | First Choice Bancorp | 119,990 | | 3,235 | |
| | Investors Title Co. | 20,149 | | 3,208 | |
| | Investar Holding Corp. | 132,768 | | 3,186 | |
| | Western New England Bancorp Inc. | 330,798 | | 3,186 | |
| * | Entegra Financial Corp. | 105,112 | | 3,170 | |
| * | Republic First Bancorp Inc. | 756,181 | | 3,161 | |
| *,^ | Health Insurance Innovations Inc. Class A | 163,359 | | 3,151 | |
| | Capstar Financial Holdings Inc. | 188,394 | | 3,137 | |
| * | On Deck Capital Inc. | 756,961 | | 3,134 | |
| | LCNB Corp. | 160,966 | | 3,107 | |
| | Orrstown Financial Services Inc. | 137,192 | | 3,103 | |
| | First Business Financial Services Inc. | 116,955 | | 3,079 | |
| | Penns Woods Bancorp Inc. | 85,255 | | 3,032 | |
| | Norwood Financial Corp. | 76,967 | | 2,994 | |
| | Independence Holding Co. | 70,062 | | 2,948 | |
| | MVB Financial Corp. | 117,811 | | 2,936 | |
| | Reliant Bancorp Inc. | 130,657 | | 2,906 | |
| | PCB Bancorp | 166,444 | | 2,876 | |
| | Tiptree Inc. | 347,173 | | 2,826 | |
| * | Hallmark Financial Services Inc. | 160,836 | | 2,826 | |
| | First Northwest Bancorp | 154,578 | | 2,803 | |
| * | Select Bancorp Inc. | 225,202 | | 2,770 | |
| | Luther Burbank Corp. | 239,638 | | 2,763 | |
| | Crawford & Co. Class B | 269,380 | | 2,734 | |
| | Codorus Valley Bancorp Inc. | 118,516 | | 2,729 | |
| | Central Valley Community Bancorp | 125,718 | | 2,724 | |
| * | Esquire Financial Holdings Inc. | 104,052 | | 2,713 | |
| | Parke Bancorp Inc. | 106,511 | | 2,704 | |
| | Shore Bancshares Inc. | 154,409 | | 2,681 | |
| | BankFinancial Corp. | 204,346 | | 2,673 | |
| | Evans Bancorp Inc. | 66,458 | | 2,665 | |
| | Marlin Business Services Corp. | 119,039 | | 2,616 | |
| | Timberland Bancorp Inc. | 87,696 | | 2,608 | |
| | Community Financial Corp. | 73,134 | | 2,601 | |
| | Protective Insurance Corp. Class B | 160,081 | | 2,576 | |
| ^ | Fidelity D&D Bancorp Inc. | 41,088 | | 2,556 | |
| | Citizens Community Bancorp Inc. | 208,166 | | 2,544 | |
| | Premier Financial Bancorp Inc. | 137,424 | | 2,493 | |
| | Bank of Commerce Holdings | 214,448 | | 2,481 | |
| | FedNat Holding Co. | 148,849 | | 2,475 | |
| | Middlefield Banc Corp. | 94,048 | | 2,454 | |
| | Global Indemnity Ltd. | 82,731 | | 2,451 | |
| * | Oportun Financial Corp. | 102,982 | | 2,451 | |
| | Community Bankers Trust Corp. | 275,595 | | 2,447 | |
| | First United Corp. | 101,549 | | 2,446 | |
| | Peoples Bancorp of North Carolina Inc. | 74,425 | | 2,445 | |
| | First Bank | 221,122 | | 2,443 | |
| | 1st Constitution Bancorp | 110,376 | | 2,443 | |
| * | Curo Group Holdings Corp. | 199,879 | | 2,435 | |
| | Bank of Princeton | 75,810 | | 2,387 | |
| | First Guaranty Bancshares Inc. | 109,278 | | 2,379 | |
| * | Malvern Bancorp Inc. | 102,938 | | 2,377 | |
| * | HBT Financial Inc. | 122,400 | | 2,324 | |
| | Northeast Bank | 102,577 | | 2,256 | |
| | ESSA Bancorp Inc. | 133,034 | | 2,255 | |
| | Mackinac Financial Corp. | 128,400 | | 2,242 | |
| | BCB Bancorp Inc. | 160,168 | | 2,209 | |
| * | Ocwen Financial Corp. | 1,609,688 | | 2,205 | |
| | Unity Bancorp Inc. | 96,925 | | 2,188 | |
| | Bankwell Financial Group Inc. | 75,757 | | 2,185 | |
| | CB Financial Services Inc. | 71,072 | | 2,142 | |
| | United Security Bancshares | 196,870 | | 2,112 | |
| | Riverview Bancorp Inc. | 256,932 | | 2,109 | |
| * | Richmond Mutual Bancorporation Inc. | 130,939 | | 2,090 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Coastal Financial Corp. | 126,394 | | 2,082 | |
| | SB One Bancorp | 82,108 | | 2,046 | |
| | Donegal Group Inc. Class A | 138,033 | | 2,046 | |
| | Sterling Bancorp Inc. | 251,548 | | 2,038 | |
| | Associated Capital Group Inc. Class A | 51,604 | | 2,023 | |
| * | NI Holdings Inc. | 117,411 | | 2,019 | |
| | C&F Financial Corp. | 36,486 | | 2,019 | |
| * | MainStreet Bancshares Inc. | 87,486 | | 2,012 | |
| * | FVCBankcorp Inc. | 113,665 | | 1,986 | |
| | Chemung Financial Corp. | 46,289 | | 1,967 | |
| | Provident Financial Holdings Inc. | 89,437 | | 1,959 | |
| | Pzena Investment Management Inc. Class A | 224,114 | | 1,932 | |
| | Two River Bancorp | 84,120 | | 1,884 | |
| | Ellington Residential Mortgage REIT | 173,140 | | 1,879 | |
| | First Community Corp. | 86,350 | | 1,866 | |
| | Ohio Valley Banc Corp. | 45,934 | | 1,820 | |
| * | MMA Capital Holdings Inc. | 56,912 | | 1,810 | |
| | County Bancorp Inc. | 70,459 | | 1,806 | |
| | Franklin Financial Services Corp. | 46,185 | | 1,787 | |
| * | ProSight Global Inc. | 109,726 | | 1,770 | |
| | Hawthorn Bancshares Inc. | 68,177 | | 1,739 | |
| | FNCB Bancorp Inc. | 204,000 | | 1,724 | |
| * | Pacific Mercantile Bancorp | 212,182 | | 1,723 | |
| | First Capital Inc. | 22,806 | | 1,665 | |
| * | Meridian Corp. | 82,000 | | 1,656 | |
| | Standard AVB Financial Corp. | 54,796 | | 1,642 | |
| * | Provident Bancorp Inc. | 128,185 | | 1,596 | |
| | Oak Valley Bancorp | 80,206 | | 1,561 | |
| | Eagle Bancorp Montana Inc. | 72,809 | | 1,557 | |
| | First Financial Northwest Inc. | 103,776 | | 1,550 | |
| | Alerus Financial Corp. | 65,300 | | 1,492 | |
| | First Savings Financial Group Inc. | 21,830 | | 1,465 | |
| * | Silvergate Capital Corp. Class A | 92,000 | | 1,464 | |
| | Prudential Bancorp Inc. | 78,523 | | 1,455 | |
| * | Medallion Financial Corp. | 198,514 | | 1,443 | |
| | GAMCO Investors Inc. Class A | 73,907 | | 1,440 | |
| | SB Financial Group Inc. | 71,886 | | 1,415 | |
| | Union Bankshares Inc. | 38,465 | | 1,395 | |
| | First National Corp. | 64,822 | | 1,387 | |
| * | Carolina Trust Bancshares Inc. | 106,092 | | 1,385 | |
| * | Security National Financial Corp. Class A | 233,561 | | 1,366 | |
| * | PDL Community Bancorp | 92,505 | | 1,360 | |
| * | Watford Holdings Ltd. | 53,134 | | 1,337 | |
| | Colony Bankcorp Inc. | 79,731 | | 1,316 | |
| | Severn Bancorp Inc. | 139,320 | | 1,297 | |
| | Salisbury Bancorp Inc. | 26,498 | | 1,210 | |
| | Citizens Holding Co. | 54,367 | | 1,190 | |
| | South Plains Financial Inc. | 56,000 | | 1,169 | |
| | Old Point Financial Corp. | 42,408 | | 1,166 | |
| | American River Bankshares | 77,554 | | 1,153 | |
| | Sachem Capital Corp. | 264,111 | | 1,146 | |
| | GAIN Capital Holdings Inc. | 285,494 | | 1,128 | |
| | Level One Bancorp Inc. | 44,589 | | 1,122 | |
| | AmeriServ Financial Inc. | 243,264 | | 1,022 | |
| | Summit State Bank | 78,386 | | 1,016 | |
| * | Elevate Credit Inc. | 228,293 | | 1,016 | |
| * | HMN Financial Inc. | 47,410 | | 996 | |
| | Plumas Bancorp | 37,646 | | 993 | |
| | Silvercrest Asset Management Group Inc. Class A | 78,526 | | 988 | |
| | Guaranty Federal Bancshares Inc. | 38,891 | | 980 | |
| | United Bancorp Inc. | 67,245 | | 962 | |
| | Kingstone Cos. Inc. | 123,825 | | 960 | |
| *,^ | Impac Mortgage Holdings Inc. | 181,158 | | 953 | |
| * | Capital Bancorp Inc. | 63,563 | | 946 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Federal Agricultural Mortgage Corp. Class A | 12,586 | | 937 | |
| * | Great Elm Capital Group Inc. | 276,253 | | 923 | |
| | Crawford & Co. Class A | 78,780 | | 904 | |
| ^ | Auburn National Bancorporation Inc. | 17,043 | | 903 | |
| | PB Bancorp Inc. | 59,458 | | 901 | |
| | First US Bancshares Inc. | 77,118 | | 895 | |
| *,^ | Bancorp of New Jersey Inc. | 49,915 | | 893 | |
| * | Central Federal Corp. | 63,590 | | 887 | |
| * | Nicholas Financial Inc. | 107,396 | | 885 | |
| * | CrossFirst Bankshares Inc. | 58,003 | | 836 | |
| | IF Bancorp Inc. | 36,116 | | 831 | |
| | Sound Financial Bancorp Inc. | 22,640 | | 815 | |
| * | Atlanticus Holdings Corp. | 87,883 | | 792 | |
| | MSB Financial Corp. | 42,744 | | 769 | |
| | Donegal Group Inc. Class B | 63,192 | | 762 | |
| * | Maiden Holdings Ltd. | 986,848 | | 740 | |
| | Greene County Bancorp Inc. | 25,256 | | 727 | |
| | Bancorp 34 Inc. | 46,824 | | 715 | |
| * | Consumer Portfolio Services Inc. | 209,871 | | 707 | |
| * | Siebert Financial Corp. | 80,324 | | 695 | |
| | Bank7 Corp. | 35,700 | | 677 | |
| | Hunt Cos. Finance Trust Inc. | 203,294 | | 657 | |
| * | Randolph Bancorp Inc. | 36,223 | | 639 | |
| | Community West Bancshares | 54,114 | | 601 | |
| | Wellesley Bank | 13,247 | | 596 | |
| ^ | Hennessy Advisors Inc. | 57,467 | | 579 | |
| | OP Bancorp | 54,798 | | 568 | |
| | Landmark Bancorp Inc. | 19,539 | | 489 | |
| | Manhattan Bridge Capital Inc. | 76,762 | | 488 | |
| | Emclaire Financial Corp. | 14,818 | | 482 | |
| | Manning & Napier Inc. | 271,519 | | 472 | |
| * | Limestone Bancorp Inc. | 26,219 | | 472 | |
| | Tremont Mortgage Trust | 94,591 | | 469 | |
| * | Ashford Inc. | 19,599 | | 463 | |
| * | FlexShopper Inc. | 181,219 | | 458 | |
| * | Pioneer Bancorp Inc. | 29,739 | | 455 | |
| | Bank of South Carolina Corp. | 23,821 | | 447 | |
| | Pathfinder Bancorp Inc. | 31,500 | | 438 | |
| | Blue Capital Reinsurance Holdings Ltd. | 59,014 | | 405 | |
| | Oconee Federal Financial Corp. | 13,333 | | 348 | |
| * | A-Mark Precious Metals Inc. | 38,995 | | 323 | |
| * | First Western Financial Inc. | 19,296 | | 318 | |
| | United Bancshares Inc. | 13,889 | | 315 | |
| | Elmira Savings Bank | 20,034 | | 303 | |
| | Southwest Georgia Financial Corp. | 7,875 | | 276 | |
| | Fauquier Bankshares Inc. | 12,871 | | 273 | |
| * | Rhinebeck Bancorp Inc. | 21,520 | | 243 | |
| | US Global Investors Inc. Class A | 159,768 | | 230 | |
| * | Asta Funding Inc. | 18,311 | | 189 | |
| | Bank of the James Financial Group Inc. | 12,209 | | 186 | |
| | Medley Management Inc. Class A | 53,857 | | 159 | |
| * | CBM Bancorp Inc. | 10,538 | | 149 | |
| | Mid-Southern Bancorp Inc. | 10,233 | | 137 | |
| * | Magyar Bancorp Inc. | 10,465 | | 128 | |
| | Riverview Financial Corp. | 10,048 | | 126 | |
| | Glen Burnie Bancorp | 9,237 | | 106 | |
| * | Conifer Holdings Inc. | 24,973 | | 100 | |
| * | FFBW Inc. | 8,563 | | 99 | |
| * | Community First Bancshares Inc. | 7,805 | | 89 | |
| | Home Federal Bancorp Inc. | 2,217 | | 79 | |
| | Kentucky First Federal Bancorp | 9,399 | | 73 | |
| * | Kingsway Financial Services Inc. | 39,077 | | 73 | |
| * | Atlas Financial Holdings Inc. | 163,656 | | 71 | |
| * | 1347 Property Insurance Holdings Inc. | 10,409 | | 57 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| | Value Line Inc. | 1,919 | | 55 | |
| * | Village Bank and Trust Financial Corp. | 1,338 | | 50 | |
| | Ottawa Bancorp Inc. | 3,322 | | 46 | |
| | Patriot National Bancorp Inc. | 3,079 | | 39 | |
| * | FSB Bancorp Inc. | 2,176 | | 37 | |
| * | ICC Holdings Inc. | 2,593 | | 36 | |
| * | Broadway Financial Corp. | 22,638 | | 35 | |
| * | National Holdings Corp. | 13,459 | | 34 | |
| * | GWG Holdings Inc. | 2,941 | | 29 | |
| | National Security Group Inc. | 1,272 | | 19 | |
| *,^ | LM Funding America Inc. | 19,336 | | 15 | |
| * | HV Bancorp Inc. | 525 | | 9 | |
| * | Unico American Corp. | 1,377 | | 9 | |
| | Atlantic American Corp. | 2,591 | | 5 | |
| | Lake Shore Bancorp Inc. | 300 | | 5 | |
| | WVS Financial Corp. | 100 | | 2 | |
| * | Carver Bancorp Inc. | 445 | | 1 | |
| * | National Holdings Corp. Warrants Exp. 01/18/2022 | 7,766 | | 1 | |
| | Cohen & Co. Inc. | 64 | | — | |
| | | 12,960,700 | |
| Health Care (13.4%) | |
| * | DexCom Inc. | 1,294,008 | | 283,051 | |
| * | Veeva Systems Inc. Class A | 1,868,619 | | 262,840 | |
| * | BioMarin Pharmaceutical Inc. | 2,555,074 | | 216,032 | |
| * | Seattle Genetics Inc. | 1,631,911 | | 186,462 | |
| * | Exact Sciences Corp. | 1,984,320 | | 183,510 | |
| * | Alnylam Pharmaceuticals Inc. | 1,584,597 | | 182,498 | |
| | West Pharmaceutical Services Inc. | 1,049,923 | | 157,835 | |
| * | Elanco Animal Health Inc. | 5,314,877 | | 156,523 | |
| * | Insulet Corp. | 877,777 | | 150,275 | |
| * | Neurocrine Biosciences Inc. | 1,311,065 | | 140,926 | |
| * | Sarepta Therapeutics Inc. | 1,006,687 | | 129,903 | |
| * | Molina Healthcare Inc. | 890,192 | | 120,790 | |
| * | Jazz Pharmaceuticals plc | 805,807 | | 120,291 | |
| | Bio-Techne Corp. | 542,087 | | 118,994 | |
| * | Catalent Inc. | 2,082,239 | | 117,230 | |
| * | Bio-Rad Laboratories Inc. Class A | 307,106 | | 113,638 | |
| * | Masimo Corp. | 696,852 | | 110,144 | |
| * | Ionis Pharmaceuticals Inc. | 1,822,214 | | 110,080 | |
| | Hill-Rom Holdings Inc. | 949,014 | | 107,742 | |
| * | Charles River Laboratories International Inc. | 692,921 | | 105,851 | |
| | Chemed Corp. | 228,444 | | 100,346 | |
| * | PRA Health Sciences Inc. | 898,240 | | 99,839 | |
| | Encompass Health Corp. | 1,398,899 | | 96,902 | |
| * | Horizon Therapeutics plc | 2,646,608 | | 95,807 | |
| * | Arrowhead Pharmaceuticals Inc. | 1,421,908 | | 90,192 | |
| * | Medicines Co. | 1,056,739 | | 89,759 | |
| *,^ | Teladoc Health Inc. | 1,021,822 | | 85,547 | |
| * | Haemonetics Corp. | 722,656 | | 83,033 | |
| * | Amedisys Inc. | 457,763 | | 76,410 | |
| * | Exelixis Inc. | 4,305,521 | | 75,863 | |
| * | Penumbra Inc. | 452,962 | | 74,408 | |
| * | HealthEquity Inc. | 1,004,298 | | 74,388 | |
| * | Reata Pharmaceuticals Inc. Class A | 359,948 | | 73,584 | |
| | Bruker Corp. | 1,436,785 | | 73,233 | |
| * | Bluebird Bio Inc. | 787,307 | | 69,086 | |
| * | ACADIA Pharmaceuticals Inc. | 1,587,938 | | 67,932 | |
| * | Global Blood Therapeutics Inc. | 851,105 | | 67,654 | |
| * | Envista Holdings Corp. | 2,255,963 | | 66,867 | |
| * | Globus Medical Inc. | 1,091,136 | | 64,246 | |
| * | Mirati Therapeutics Inc. | 483,279 | | 62,275 | |
| * | Repligen Corp. | 664,685 | | 61,483 | |
| * | Integra LifeSciences Holdings Corp. | 1,009,890 | | 58,856 | |
| * | LHC Group Inc. | 419,864 | | 57,840 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| *,^ | Moderna Inc. | 2,919,789 | | 57,111 | |
| * | Avantor Inc. | 3,142,387 | | 57,034 | |
| * | NuVasive Inc. | 735,450 | | 56,880 | |
| * | Tenet Healthcare Corp. | 1,482,746 | | 56,389 | |
| * | Immunomedics Inc. | 2,619,820 | | 55,435 | |
| * | Blueprint Medicines Corp. | 691,647 | | 55,408 | |
| * | Wright Medical Group NV | 1,807,454 | | 55,091 | |
| * | United Therapeutics Corp. | 620,688 | | 54,670 | |
| * | Nektar Therapeutics Class A | 2,511,577 | | 54,212 | |
| * | Sage Therapeutics Inc. | 742,410 | | 53,595 | |
| * | Syneos Health Inc. | 887,429 | | 52,780 | |
| * | Nevro Corp. | 441,207 | | 51,859 | |
| * | LivaNova plc | 686,095 | | 51,752 | |
| * | ICU Medical Inc. | 274,170 | | 51,303 | |
| * | Omnicell Inc. | 592,655 | | 48,432 | |
| * | Neogen Corp. | 741,070 | | 48,362 | |
| * | MyoKardia Inc. | 661,348 | | 48,202 | |
| * | Tandem Diabetes Care Inc. | 800,500 | | 47,718 | |
| * | FibroGen Inc. | 1,106,653 | | 47,464 | |
| * | Iovance Biotherapeutics Inc. | 1,651,960 | | 45,726 | |
| | CONMED Corp. | 404,523 | | 45,238 | |
| * | Alkermes plc | 2,215,430 | | 45,195 | |
| * | Guardant Health Inc. | 573,498 | | 44,813 | |
| * | Intercept Pharmaceuticals Inc. | 353,959 | | 43,863 | |
| * | NeoGenomics Inc. | 1,498,822 | | 43,841 | |
| * | PTC Therapeutics Inc. | 879,724 | | 42,253 | |
| * | Acadia Healthcare Co. Inc. | 1,263,003 | | 41,957 | |
| * | AMN Healthcare Services Inc. | 665,323 | | 41,456 | |
| * | Quidel Corp. | 547,524 | | 41,081 | |
| * | Agios Pharmaceuticals Inc. | 850,728 | | 40,622 | |
| *,^ | Axsome Therapeutics Inc. | 379,075 | | 39,181 | |
| * | Audentes Therapeutics Inc. | 654,296 | | 39,153 | |
| | Cantel Medical Corp. | 536,144 | | 38,013 | |
| * | Integer Holdings Corp. | 465,606 | | 37,449 | |
| * | HMS Holdings Corp. | 1,231,982 | | 36,467 | |
| * | Amicus Therapeutics Inc. | 3,689,999 | | 35,941 | |
| * | Premier Inc. Class A | 947,300 | | 35,884 | |
| * | Select Medical Holdings Corp. | 1,524,559 | | 35,583 | |
| * | Acceleron Pharma Inc. | 662,061 | | 35,103 | |
| *,^ | Allakos Inc. | 346,909 | | 33,081 | |
| * | Emergent BioSolutions Inc. | 611,399 | | 32,985 | |
| * | MEDNAX Inc. | 1,184,440 | | 32,916 | |
| * | Ultragenyx Pharmaceutical Inc. | 768,740 | | 32,833 | |
| * | Medpace Holdings Inc. | 387,720 | | 32,592 | |
| | Ensign Group Inc. | 717,580 | | 32,557 | |
| * | ArQule Inc. | 1,604,508 | | 32,026 | |
| * | Momenta Pharmaceuticals Inc. | 1,616,628 | | 31,896 | |
| * | Arena Pharmaceuticals Inc. | 701,441 | | 31,859 | |
| * | Biohaven Pharmaceutical Holding Co. Ltd. | 573,384 | | 31,215 | |
| * | Halozyme Therapeutics Inc. | 1,754,619 | | 31,109 | |
| * | Natera Inc. | 918,859 | | 30,956 | |
| * | Zogenix Inc. | 591,976 | | 30,860 | |
| * | Insmed Inc. | 1,288,633 | | 30,773 | |
| * | Glaukos Corp. | 558,190 | | 30,405 | |
| * | Ironwood Pharmaceuticals Inc. Class A | 2,188,358 | | 29,127 | |
| * | Myriad Genetics Inc. | 1,062,919 | | 28,943 | |
| * | Prestige Consumer Healthcare Inc. | 706,208 | | 28,601 | |
| * | Epizyme Inc. | 1,073,211 | | 26,401 | |
| * | Heron Therapeutics Inc. | 1,121,953 | | 26,366 | |
| * | Pacira BioSciences Inc. | 579,607 | | 26,256 | |
| * | Ligand Pharmaceuticals Inc. | 251,409 | | 26,219 | |
| * | Merit Medical Systems Inc. | 805,356 | | 25,143 | |
| | Patterson Cos. Inc. | 1,223,509 | | 25,057 | |
| * | iRhythm Technologies Inc. | 364,950 | | 24,849 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| * | Kodiak Sciences Inc. | 343,609 | | 24,723 | |
| * | Cardiovascular Systems Inc. | 504,285 | | 24,503 | |
| * | Xencor Inc. | 712,088 | | 24,489 | |
| * | Magellan Health Inc. | 303,044 | | 23,713 | |
| * | Ra Pharmaceuticals Inc. | 500,952 | | 23,510 | |
| * | Portola Pharmaceuticals Inc. | 983,688 | | 23,490 | |
| * | Avanos Medical Inc. | 687,928 | | 23,183 | |
| * | Allscripts Healthcare Solutions Inc. | 2,317,728 | | 22,749 | |
| * | BioTelemetry Inc. | 489,641 | | 22,670 | |
| * | ChemoCentryx Inc. | 560,781 | | 22,179 | |
| *,^ | Esperion Therapeutics Inc. | 365,790 | | 21,812 | |
| * | Editas Medicine Inc. | 734,243 | | 21,741 | |
| * | Inovalon Holdings Inc. Class A | 1,100,252 | | 20,707 | |
| * | Intra-Cellular Therapies Inc. | 601,113 | | 20,624 | |
| *,^ | Invitae Corp. | 1,257,259 | | 20,280 | |
| * | Aimmune Therapeutics Inc. | 602,180 | | 20,155 | |
| | US Physical Therapy Inc. | 174,754 | | 19,983 | |
| * | R1 RCM Inc. | 1,468,743 | | 19,064 | |
| * | AtriCure Inc. | 579,010 | | 18,824 | |
| * | Addus HomeCare Corp. | 192,441 | | 18,709 | |
| * | Covetrus Inc. | 1,412,706 | | 18,648 | |
| * | REGENXBIO Inc. | 453,596 | | 18,584 | |
| * | Tactile Systems Technology Inc. | 273,709 | | 18,478 | |
| * | Brookdale Senior Living Inc. | 2,533,263 | | 18,417 | |
| *,^ | Allogene Therapeutics Inc. | 702,724 | | 18,257 | |
| * | Inogen Inc. | 263,248 | | 17,988 | |
| * | Corcept Therapeutics Inc. | 1,479,032 | | 17,896 | |
| * | Apellis Pharmaceuticals Inc. | 566,499 | | 17,346 | |
| *,^ | Denali Therapeutics Inc. | 993,697 | | 17,310 | |
| * | Fate Therapeutics Inc. | 878,512 | | 17,193 | |
| * | Veracyte Inc. | 613,566 | | 17,131 | |
| * | Dicerna Pharmaceuticals Inc. | 772,026 | | 17,008 | |
| * | Supernus Pharmaceuticals Inc. | 712,036 | | 16,890 | |
| * | Deciphera Pharmaceuticals Inc. | 264,333 | | 16,452 | |
| * | Forty Seven Inc. | 416,057 | | 16,380 | |
| | Atrion Corp. | 21,231 | | 15,955 | |
| * | Coherus Biosciences Inc. | 870,348 | | 15,671 | |
| * | Inspire Medical Systems Inc. | 210,721 | | 15,638 | |
| * | Varex Imaging Corp. | 522,599 | | 15,579 | |
| * | Natus Medical Inc. | 465,901 | | 15,370 | |
| * | Theravance Biopharma Inc. | 587,003 | | 15,198 | |
| * | Hanger Inc. | 545,474 | | 15,061 | |
| * | Tricida Inc. | 391,351 | | 14,770 | |
| * | STAAR Surgical Co. | 415,996 | | 14,631 | |
| * | Enanta Pharmaceuticals Inc. | 236,453 | | 14,608 | |
| * | Karyopharm Therapeutics Inc. | 761,328 | | 14,595 | |
| *,^ | Aerie Pharmaceuticals Inc. | 598,972 | | 14,477 | |
| | Mesa Laboratories Inc. | 57,609 | | 14,368 | |
| * | Sangamo Therapeutics Inc. | 1,699,649 | | 14,226 | |
| * | Principia Biopharma Inc. | 259,563 | | 14,219 | |
| | National HealthCare Corp. | 163,839 | | 14,161 | |
| | Luminex Corp. | 610,898 | | 14,148 | |
| * | CryoLife Inc. | 516,967 | | 14,005 | |
| * | Innoviva Inc. | 972,771 | | 13,774 | |
| * | NanoString Technologies Inc. | 488,963 | | 13,603 | |
| * | Endo International plc | 2,897,002 | | 13,587 | |
| *,^ | Tabula Rasa HealthCare Inc. | 269,650 | | 13,127 | |
| * | Atara Biotherapeutics Inc. | 792,824 | | 13,058 | |
| * | Vanda Pharmaceuticals Inc. | 787,920 | | 12,930 | |
| * | TG Therapeutics Inc. | 1,160,965 | | 12,887 | |
| * | Tivity Health Inc. | 626,062 | | 12,737 | |
| * | Radius Health Inc. | 624,956 | | 12,599 | |
| * | RadNet Inc. | 614,969 | | 12,484 | |
| * | Achillion Pharmaceuticals Inc. | 2,027,292 | | 12,225 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| * | Madrigal Pharmaceuticals Inc. | 134,021 | | 12,211 | |
| * | Pennant Group Inc. | 364,750 | | 12,062 | |
| * | Turning Point Therapeutics Inc. | 192,370 | | 11,983 | |
| * | CareDx Inc. | 554,803 | | 11,967 | |
| * | Lantheus Holdings Inc. | 573,677 | | 11,766 | |
| * | 10X Genomics Inc. Class A | 154,248 | | 11,761 | |
| * | Orthofix Medical Inc. | 253,766 | | 11,719 | |
| * | Codexis Inc. | 724,910 | | 11,591 | |
| * | Intersect ENT Inc. | 464,389 | | 11,563 | |
| * | NextGen Healthcare Inc. | 714,695 | | 11,485 | |
| * | Vericel Corp. | 657,205 | | 11,435 | |
| * | Rocket Pharmaceuticals Inc. | 493,701 | | 11,237 | |
| * | ImmunoGen Inc. | 2,200,696 | | 11,235 | |
| *,^ | ZIOPHARM Oncology Inc. | 2,337,506 | | 11,033 | |
| * | Anika Therapeutics Inc. | 210,267 | | 10,902 | |
| * | Athenex Inc. | 712,927 | | 10,886 | |
| * | Pacific Biosciences of California Inc. | 2,076,189 | | 10,672 | |
| | National Research Corp. | 161,617 | | 10,657 | |
| *,^ | Bridgebio Pharma Inc. | 302,885 | | 10,616 | |
| * | Antares Pharma Inc. | 2,249,061 | | 10,571 | |
| * | Change Healthcare Inc. | 644,871 | | 10,569 | |
| * | Constellation Pharmaceuticals Inc. | 222,229 | | 10,469 | |
| * | Durect Corp. | 2,743,577 | | 10,426 | |
| * | CorVel Corp. | 118,531 | | 10,355 | |
| * | Flexion Therapeutics Inc. | 500,004 | | 10,350 | |
| * | Revance Therapeutics Inc. | 635,020 | | 10,306 | |
| *,^ | Omeros Corp. | 725,487 | | 10,222 | |
| * | G1 Therapeutics Inc. | 385,200 | | 10,181 | |
| * | Akebia Therapeutics Inc. | 1,606,070 | | 10,150 | |
| * | Dermira Inc. | 666,182 | | 10,099 | |
| * | Heska Corp. | 105,077 | | 10,081 | |
| * | Evolent Health Inc. Class A | 1,103,060 | | 9,983 | |
| * | Providence Service Corp. | 167,375 | | 9,905 | |
| *,^ | Cara Therapeutics Inc. | 608,834 | | 9,808 | |
| * | Rhythm Pharmaceuticals Inc. | 424,713 | | 9,751 | |
| * | Vocera Communications Inc. | 467,839 | | 9,712 | |
| * | HealthStream Inc. | 348,237 | | 9,472 | |
| * | Kadmon Holdings Inc. | 2,057,377 | | 9,320 | |
| * | Cytokinetics Inc. | 869,010 | | 9,220 | |
| * | Eagle Pharmaceuticals Inc. | 152,520 | | 9,163 | |
| * | Axogen Inc. | 507,355 | | 9,077 | |
| *,^ | OPKO Health Inc. | 6,156,568 | | 9,050 | |
| *,^ | Karuna Therapeutics Inc. | 119,792 | | 9,025 | |
| * | Adverum Biotechnologies Inc. | 781,048 | | 8,998 | |
| * | AngioDynamics Inc. | 560,630 | | 8,976 | |
| * | Collegium Pharmaceutical Inc. | 433,327 | | 8,918 | |
| * | Krystal Biotech Inc. | 160,957 | | 8,914 | |
| | LeMaitre Vascular Inc. | 246,680 | | 8,868 | |
| * | Retrophin Inc. | 624,458 | | 8,867 | |
| * | Amphastar Pharmaceuticals Inc. | 458,237 | | 8,839 | |
| * | Cerus Corp. | 2,083,847 | | 8,794 | |
| * | Arvinas Inc. | 211,715 | | 8,699 | |
| *,^ | CryoPort Inc. | 523,276 | | 8,613 | |
| *,^ | Intellia Therapeutics Inc. | 581,375 | | 8,529 | |
| * | Synthorx Inc. | 121,265 | | 8,475 | |
| * | Surmodics Inc. | 201,306 | | 8,340 | |
| * | Prothena Corp. plc | 521,114 | | 8,249 | |
| * | Kura Oncology Inc. | 590,204 | | 8,115 | |
| * | Assembly Biosciences Inc. | 393,233 | | 8,046 | |
| * | Gossamer Bio Inc. | 508,154 | | 7,942 | |
| *,^ | TherapeuticsMD Inc. | 3,243,908 | | 7,850 | |
| *,^ | Clovis Oncology Inc. | 748,392 | | 7,802 | |
| | Phibro Animal Health Corp. Class A | 310,151 | | 7,701 | |
| * | ANI Pharmaceuticals Inc. | 124,643 | | 7,687 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| * | NextCure Inc. | 135,285 | | 7,621 | |
| * | Y-mAbs Therapeutics Inc. | 243,558 | | 7,611 | |
| * | Cutera Inc. | 211,828 | | 7,586 | |
| * | Amneal Pharmaceuticals Inc. | 1,566,531 | | 7,551 | |
| * | OraSure Technologies Inc. | 937,148 | | 7,525 | |
| * | Homology Medicines Inc. | 360,239 | | 7,457 | |
| * | Option Care Health Inc. | 1,962,058 | | 7,319 | |
| *,^ | SmileDirectClub Inc. | 823,752 | | 7,200 | |
| * | MacroGenics Inc. | 657,740 | | 7,156 | |
| * | Twist Bioscience Corp. | 335,578 | | 7,047 | |
| * | Stemline Therapeutics Inc. | 661,466 | | 7,031 | |
| *,^ | Relmada Therapeutics Inc. | 176,662 | | 6,890 | |
| * | Alector Inc. | 398,813 | | 6,872 | |
| * | BioDelivery Sciences International Inc. | 1,079,373 | | 6,822 | |
| *,^ | Provention Bio Inc. | 457,498 | | 6,817 | |
| *,^ | Adaptive Biotechnologies Corp. | 220,471 | | 6,597 | |
| *,^ | Viking Therapeutics Inc. | 821,128 | | 6,585 | |
| * | IGM Biosciences Inc. | 172,222 | | 6,572 | |
| * | Progenics Pharmaceuticals Inc. | 1,287,694 | | 6,554 | |
| * | Cross Country Healthcare Inc. | 562,339 | | 6,534 | |
| *,^ | Accelerate Diagnostics Inc. | 386,616 | | 6,534 | |
| * | OrthoPediatrics Corp. | 138,520 | | 6,509 | |
| * | Triple-S Management Corp. Class B | 351,805 | | 6,505 | |
| * | Ardelyx Inc. | 866,267 | | 6,501 | |
| | Meridian Bioscience Inc. | 658,033 | | 6,429 | |
| * | Apollo Medical Holdings Inc. | 348,813 | | 6,422 | |
| * | PetIQ Inc. Class A | 255,876 | | 6,410 | |
| * | Agenus Inc. | 1,561,424 | | 6,355 | |
| * | Avrobio Inc. | 315,036 | | 6,342 | |
| *,^ | Sorrento Therapeutics Inc. | 1,847,010 | | 6,243 | |
| *,^ | Dynavax Technologies Corp. Class A | 1,090,159 | | 6,236 | |
| * | Neoleukin Therapeutics Inc. | 504,508 | | 6,216 | |
| * | ViewRay Inc. | 1,472,006 | | 6,212 | |
| * | AMAG Pharmaceuticals Inc. | 508,601 | | 6,190 | |
| *,^ | XBiotech Inc. | 330,546 | | 6,170 | |
| * | Phreesia Inc. | 228,801 | | 6,095 | |
| * | BioCryst Pharmaceuticals Inc. | 1,745,771 | | 6,023 | |
| * | Axonics Modulation Technologies Inc. | 215,770 | | 5,979 | |
| *,^ | Intrexon Corp. | 1,065,571 | | 5,839 | |
| * | Spectrum Pharmaceuticals Inc. | 1,603,207 | | 5,836 | |
| * | Sientra Inc. | 651,838 | | 5,827 | |
| * | CytomX Therapeutics Inc. | 690,345 | | 5,737 | |
| | Utah Medical Products Inc. | 52,991 | | 5,718 | |
| * | Odonate Therapeutics Inc. | 174,993 | | 5,679 | |
| * | AnaptysBio Inc. | 348,643 | | 5,665 | |
| * | PDL BioPharma Inc. | 1,742,959 | | 5,656 | |
| * | Shockwave Medical Inc. | 124,099 | | 5,450 | |
| * | Rigel Pharmaceuticals Inc. | 2,526,771 | | 5,407 | |
| | Simulations Plus Inc. | 185,161 | | 5,383 | |
| * | Translate Bio Inc. | 645,765 | | 5,257 | |
| * | Catalyst Pharmaceuticals Inc. | 1,396,974 | | 5,239 | |
| * | Voyager Therapeutics Inc. | 370,462 | | 5,168 | |
| * | SpringWorks Therapeutics Inc. | 133,246 | | 5,129 | |
| * | Phathom Pharmaceuticals Inc. | 163,584 | | 5,094 | |
| * | Community Health Systems Inc. | 1,753,817 | | 5,086 | |
| | Computer Programs & Systems Inc. | 192,206 | | 5,074 | |
| * | Avid Bioservices Inc. | 654,644 | | 5,021 | |
| *,^ | Livongo Health Inc. | 197,270 | | 4,944 | |
| * | Quanterix Corp. | 206,219 | | 4,873 | |
| | Owens & Minor Inc. | 916,648 | | 4,739 | |
| * | BioSpecifics Technologies Corp. | 82,487 | | 4,697 | |
| * | IVERIC bio Inc. | 538,851 | | 4,623 | |
| * | Kindred Biosciences Inc. | 545,054 | | 4,622 | |
| | Invacare Corp. | 495,537 | | 4,470 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| *,^ | Corbus Pharmaceuticals Holdings Inc. | 808,857 | | 4,416 | |
| * | Molecular Templates Inc. | 315,782 | | 4,416 | |
| * | Cue Biopharma Inc. | 277,697 | | 4,408 | |
| * | Recro Pharma Inc. | 240,243 | | 4,404 | |
| *,^ | Inovio Pharmaceuticals Inc. | 1,321,221 | | 4,360 | |
| * | Pfenex Inc. | 392,431 | | 4,309 | |
| *,^ | Mallinckrodt plc | 1,231,246 | | 4,297 | |
| *,^ | Akcea Therapeutics Inc. | 252,405 | | 4,276 | |
| * | Eiger BioPharmaceuticals Inc. | 286,077 | | 4,263 | |
| *,^ | Lannett Co. Inc. | 481,892 | | 4,250 | |
| * | Albireo Pharma Inc. | 166,559 | | 4,234 | |
| * | Surgery Partners Inc. | 268,411 | | 4,202 | |
| * | Puma Biotechnology Inc. | 472,032 | | 4,130 | |
| *,^ | Rubius Therapeutics Inc. | 430,522 | | 4,090 | |
| * | SI-BONE Inc. | 189,774 | | 4,080 | |
| *,^ | Eidos Therapeutics Inc. | 70,732 | | 4,059 | |
| * | GenMark Diagnostics Inc. | 841,069 | | 4,046 | |
| * | MediciNova Inc. | 595,170 | | 4,011 | |
| * | Health Catalyst Inc. | 115,454 | | 4,006 | |
| * | Stoke Therapeutics Inc. | 141,442 | | 4,006 | |
| * | Alphatec Holdings Inc. | 558,733 | | 3,964 | |
| * | Aprea Therapeutics Inc. | 85,473 | | 3,922 | |
| *,^ | CEL-SCI Corp. | 424,396 | | 3,883 | |
| * | Accuray Inc. | 1,369,292 | | 3,861 | |
| *,^ | Geron Corp. | 2,837,498 | | 3,859 | |
| * | Progyny Inc. | 140,226 | | 3,849 | |
| *,^ | Evolus Inc. | 311,583 | | 3,792 | |
| * | Calithera Biosciences Inc. | 660,428 | | 3,771 | |
| * | Arcus Biosciences Inc. | 373,024 | | 3,768 | |
| *,^ | Cortexyme Inc. | 67,059 | | 3,765 | |
| * | Matinas BioPharma Holdings Inc. | 1,555,674 | | 3,531 | |
| * | Misonix Inc. | 189,363 | | 3,524 | |
| * | Diplomat Pharmacy Inc. | 876,355 | | 3,505 | |
| * | Syros Pharmaceuticals Inc. | 499,924 | | 3,455 | |
| * | Magenta Therapeutics Inc. | 226,973 | | 3,441 | |
| * | Apyx Medical Corp. | 405,359 | | 3,429 | |
| *,^ | Viela Bio Inc. | 122,539 | | 3,327 | |
| *,^ | MannKind Corp. | 2,549,585 | | 3,289 | |
| * | VBI Vaccines Inc. | 2,354,786 | | 3,250 | |
| * | Scholar Rock Holding Corp. | 245,257 | | 3,233 | |
| * | Fluidigm Corp. | 928,017 | | 3,230 | |
| * | Minerva Neurosciences Inc. | 453,544 | | 3,225 | |
| *,^ | Optinose Inc. | 349,656 | | 3,224 | |
| * | SIGA Technologies Inc. | 623,410 | | 2,974 | |
| *,^ | XOMA Corp. | 102,805 | | 2,807 | |
| * | Mersana Therapeutics Inc. | 482,654 | | 2,766 | |
| * | Silk Road Medical Inc. | 67,986 | | 2,745 | |
| * | GlycoMimetics Inc. | 517,431 | | 2,737 | |
| * | Cabaletta Bio Inc. | 194,798 | | 2,721 | |
| * | Replimune Group Inc. | 187,388 | | 2,689 | |
| * | Cellular Biomedicine Group Inc. | 164,834 | | 2,677 | |
| *,^ | Vapotherm Inc. | 218,670 | | 2,659 | |
| * | KalVista Pharmaceuticals Inc. | 148,528 | | 2,645 | |
| * | Xeris Pharmaceuticals Inc. | 369,087 | | 2,602 | |
| * | RTI Surgical Holdings Inc. | 944,605 | | 2,588 | |
| * | MEI Pharma Inc. | 1,041,533 | | 2,583 | |
| *,^ | Lexicon Pharmaceuticals Inc. | 619,839 | | 2,572 | |
| * | BioLife Solutions Inc. | 158,822 | | 2,570 | |
| *,^ | Ocular Therapeutix Inc. | 648,918 | | 2,563 | |
| * | TCR2 Therapeutics Inc. | 178,758 | | 2,553 | |
| * | Syndax Pharmaceuticals Inc. | 288,831 | | 2,536 | |
| *,^ | CorMedix Inc. | 345,256 | | 2,513 | |
| * | Eloxx Pharmaceuticals Inc. | 340,571 | | 2,507 | |
| * | ChromaDex Corp. | 575,027 | | 2,478 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | | Market
Value | |
| | Shares | | ($000 | ) |
| * | SeaSpine Holdings Corp. | 206,264 | | 2,477 | |
| * | Aeglea BioTherapeutics Inc. | 322,564 | | 2,464 | |
| * | Stereotaxis Inc. | 464,200 | | 2,456 | |
| * | Chiasma Inc. | 489,077 | | 2,426 | |
| * | Five Prime Therapeutics Inc. | 527,770 | | 2,422 | |
| * | Satsuma Pharmaceuticals Inc. | 122,994 | | 2,421 | |
| * | Gritstone Oncology Inc. | 269,387 | | 2,416 | |
| * | Castle Biosciences Inc. | 69,991 | | 2,406 | |
| * | Harrow Health Inc. | 308,305 | | 2,399 | |
| * | Concert Pharmaceuticals Inc. | 259,111 | | 2,390 | |
| * | Oyster Point Pharma Inc. | 97,722 | | 2,388 | |
| * | Seres Therapeutics Inc. | 689,403 | | 2,378 | |
| *,^ | Crinetics Pharmaceuticals Inc. | 93,195 | | 2,338 | |
| *,^ | Athersys Inc. | 1,884,528 | | 2,318 | |
| * | Verrica Pharmaceuticals Inc. | 144,030 | | 2,289 | |
| * | Exagen Inc. | 89,827 | | 2,282 | |
| * | CASI Pharmaceuticals Inc. | 736,255 | | 2,275 | |
| * | Marinus Pharmaceuticals Inc. | 1,052,723 | | 2,274 | |
| * | American Renal Associates Holdings Inc. | 216,904 | | 2,249 | |
| * | Palatin Technologies Inc. | 2,873,298 | | 2,248 | |
| * | X4 Pharmaceuticals Inc. | 209,006 | | 2,236 | |
| *,^ | Akero Therapeutics Inc. | 100,640 | | 2,234 | |
| * | Protagonist Therapeutics Inc. | 311,592 | | 2,197 | |
| * | ADMA Biologics Inc. | 544,007 | | 2,176 | |
| * | Akorn Inc. | 1,432,556 | | 2,149 | |
| * | Pieris Pharmaceuticals Inc. | 589,900 | | 2,135 | |
| * | Abeona Therapeutics Inc. | 650,692 | | 2,128 | |
| *,^ | WaVe Life Sciences Ltd. | 265,362 | | 2,127 | |
| *,^ | AcelRx Pharmaceuticals Inc. | 996,648 | | 2,103 | |
| *,^ | 89bio Inc. | 79,700 | | 2,095 | |
| * | Jounce Therapeutics Inc. | 237,499 | | 2,073 | |
| * | Joint Corp. | 126,725 | | 2,045 | |
| * | Exicure Inc. | 714,793 | | 2,044 | |
| * | IntriCon Corp. | 111,252 | | 2,003 | |
| * | Cymabay Therapeutics Inc. | 1,012,540 | | 1,985 | |
| *,^ | Urovant Sciences Ltd. | 125,487 | | 1,946 | |
| * | UNITY Biotechnology Inc. | 269,092 | | 1,940 | |
| * | Pulse Biosciences Inc. | 143,863 | | 1,929 | |
| * | Rockwell Medical Inc. | 787,471 | | 1,921 | |
| * | NGM Biopharmaceuticals Inc. | 102,682 | | 1,899 | |
| * | Aldeyra Therapeutics Inc. | 326,118 | | 1,895 | |
| * | Fulgent Genetics Inc. | 145,929 | | 1,883 | |
| *,^ | Senseonics Holdings Inc. | 2,050,235 | | 1,878 | |
| * | Frequency Therapeutics Inc. | 105,516 | | 1,850 | |
| *,^ | Anavex Life Sciences Corp. | 710,136 | | 1,839 | |
| * | FONAR Corp. | 92,762 | | 1,827 | |
| * | Agile Therapeutics Inc. | 728,448 | | 1,821 | |
| * | Precision BioSciences Inc. | 129,081 | | 1,793 | |
| *,^ | Zynerba Pharmaceuticals Inc. | 294,492 | | 1,779 | |
| *,^ | Zynex Inc. | 222,843 | | 1,754 | |
| *,^ | Paratek Pharmaceuticals Inc. | 430,771 | | 1,736 | |
| * | Kiniksa Pharmaceuticals Ltd. Class A | 155,473 | | 1,720 | |
| * | TransMedics Group Inc. | 89,378 | | 1,699 | |
| *,^ | Savara Inc. | 376,982 | | 1,689 | |
| * | OptimizeRx Corp. | 164,373 | | 1,688 | |
| * | iRadimed Corp. | 72,149 | | 1,687 | |
| * | Mustang Bio Inc. | 408,642 | | 1,667 | |
| * | Ovid therapeutics Inc. | 396,542 | | 1,646 | |
| *,^ | Catasys Inc. | 100,403 | | 1,638 | |
| * | Icad Inc. | 207,843 | | 1,615 | |
| * | Repro-Med Systems Inc. | 244,900 | | 1,599 | |
| * | Harvard Bioscience Inc. | 518,619 | | 1,582 | |
| * | InfuSystem Holdings Inc. | 183,833 | | 1,568 | |
| *,^ | Galectin Therapeutics Inc. | 543,615 | | 1,555 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | CytoSorbents Corp. | 390,970 | | 1,505 | |
| *,^ | RAPT Therapeutics Inc. | 54,408 | | 1,502 | |
| * | Enzo Biochem Inc. | 565,801 | | 1,488 | |
| * | Conformis Inc. | 991,093 | | 1,487 | |
| * | VolitionRX Ltd. | 309,556 | | 1,467 | |
| * | Castlight Health Inc. Class B | 1,102,720 | | 1,467 | |
| * | Otonomy Inc. | 377,846 | | 1,447 | |
| *,^ | NantKwest Inc. | 379,861 | | 1,440 | |
| *,^ | Verastem Inc. | 1,062,174 | | 1,423 | |
| * | Chimerix Inc. | 693,525 | | 1,408 | |
| * | Dyadic International Inc. | 269,600 | | 1,397 | |
| *,^ | Novavax Inc. | 341,943 | | 1,361 | |
| * | Lineage Cell Therapeutics Inc. | 1,526,332 | | 1,358 | |
| *,^ | Sesen Bio Inc. | 1,292,283 | | 1,344 | |
| *,^ | Enochian Biosciences Inc. | 265,200 | | 1,331 | |
| * | Capital Senior Living Corp. | 426,946 | | 1,319 | |
| * | Aquestive Therapeutics Inc. | 223,425 | | 1,300 | |
| *,^ | BioSig Technologies Inc. | 219,567 | | 1,300 | |
| *,^ | Clearside Biomedical Inc. | 448,064 | | 1,299 | |
| *,^ | Bioxcel Therapeutics Inc. | 88,847 | | 1,298 | |
| * | Arcturus Therapeutics Holdings Inc. | 118,900 | | 1,292 | |
| * | Prevail Therapeutics Inc. | 81,488 | | 1,290 | |
| * | Cerecor Inc. | 239,096 | | 1,289 | |
| *,^ | Morphic Holding Inc. | 74,390 | | 1,277 | |
| * | PhaseBio Pharmaceuticals Inc. | 208,913 | | 1,276 | |
| * | La Jolla Pharmaceutical Co. | 310,421 | | 1,220 | |
| * | Assertio Therapeutics Inc. | 968,008 | | 1,210 | |
| * | Aravive Inc. | 87,682 | | 1,199 | |
| * | Selecta Biosciences Inc. | 502,904 | | 1,197 | |
| * | Acorda Therapeutics Inc. | 585,591 | | 1,195 | |
| * | Catalyst Biosciences Inc. | 175,014 | | 1,192 | |
| * | Spero Therapeutics Inc. | 123,658 | | 1,189 | |
| *,^ | EyePoint Pharmaceuticals Inc. | 759,618 | | 1,177 | |
| *,^ | Proteostasis Therapeutics Inc. | 507,408 | | 1,157 | |
| *,^ | Kala Pharmaceuticals Inc. | 313,060 | | 1,155 | |
| * | Fortress Biotech Inc. | 444,960 | | 1,144 | |
| * | Adamas Pharmaceuticals Inc. | 295,621 | | 1,120 | |
| *,^ | Venus Concept Inc. | 236,896 | | 1,113 | |
| *,^ | Marker Therapeutics Inc. | 384,300 | | 1,107 | |
| *,^ | AVEO Pharmaceuticals Inc. | 1,751,993 | | 1,094 | |
| * | Harpoon Therapeutics Inc. | 73,037 | | 1,080 | |
| * | CTI BioPharma Corp. | 679,123 | | 1,073 | |
| *,^ | Tyme Technologies Inc. | 763,112 | | 1,068 | |
| * | Checkpoint Therapeutics Inc. | 606,328 | | 1,043 | |
| * | Aclaris Therapeutics Inc. | 543,376 | | 1,027 | |
| *,^ | BrainStorm Cell Therapeutics Inc. | 238,368 | | 1,020 | |
| *,^ | Organogenesis Holdings Inc. | 211,241 | | 1,016 | |
| *,^ | Ampio Pharmaceuticals Inc. | 1,727,758 | | 1,007 | |
| * | Genesis Healthcare Inc. | 605,622 | | 993 | |
| *,^ | NewLink Genetics Corp. | 382,170 | | 967 | |
| * | Fulcrum Therapeutics Inc. | 57,051 | | 949 | |
| * | Solid Biosciences Inc. | 213,039 | | 948 | |
| * | Evofem Biosciences Inc. | 153,512 | | 947 | |
| * | Atreca Inc. | 61,222 | | 947 | |
| *,^ | Trevena Inc. | 1,115,403 | | 938 | |
| * | Applied Genetic Technologies Corp. | 206,035 | | 931 | |
| * | ContraFect Corp. | 1,479,814 | | 919 | |
| * | Millendo Therapeutics Inc. | 135,657 | | 914 | |
| *,^ | Soliton Inc. | 82,090 | | 901 | |
| * | Chembio Diagnostics Inc. | 196,738 | | 897 | |
| *,^ | Corvus Pharmaceuticals Inc. | 162,701 | | 885 | |
| *,^ | Neos Therapeutics Inc. | 585,390 | | 884 | |
| * | Aduro Biotech Inc. | 737,604 | | 870 | |
| * | Oncocyte Corp. | 368,592 | | 829 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Calyxt Inc. | 117,974 | | 827 | |
| * | Novan Inc. | 260,201 | | 822 | |
| * | Celcuity Inc. | 76,715 | | 816 | |
| * | Cidara Therapeutics Inc. | 209,686 | | 805 | |
| * | Motus GI Holdings Inc. | 343,367 | | 786 | |
| *,^ | Bellicum Pharmaceuticals Inc. | 602,673 | | 777 | |
| * | Catabasis Pharmaceuticals Inc. | 130,437 | | 771 | |
| * | LogicBio Therapeutics Inc. | 103,600 | | 746 | |
| * | Strongbridge Biopharma plc | 353,400 | | 739 | |
| *,^ | PolarityTE Inc. | 276,660 | | 719 | |
| | Psychemedics Corp. | 78,603 | | 719 | |
| * | Infinity Pharmaceuticals Inc. | 727,899 | | 699 | |
| * | Sutro Biopharma Inc. | 62,213 | | 684 | |
| * | Anixa Biosciences Inc. | 205,784 | | 675 | |
| * | Soleno Therapeutics Inc. | 223,913 | | 658 | |
| * | Applied Therapeutics Inc. | 23,800 | | 649 | |
| *,^ | T2 Biosystems Inc. | 541,868 | | 634 | |
| * | Liquidia Technologies Inc. | 147,990 | | 633 | |
| * | Vermillion Inc. | 776,686 | | 629 | |
| *,^ | Idera Pharmaceuticals Inc. | 343,475 | | 625 | |
| * | Cyclerion Therapeutics Inc. | 229,038 | | 623 | |
| * | Electromed Inc. | 71,985 | | 623 | |
| * | Curis Inc. | 363,068 | | 617 | |
| * | Sharps Compliance Corp. | 144,455 | | 610 | |
| *,^ | Cohbar Inc. | 378,132 | | 605 | |
| *,^ | Osmotica Pharmaceuticals plc | 86,306 | | 603 | |
| * | Orgenesis Inc. | 127,319 | | 593 | |
| * | SCYNEXIS Inc. | 650,348 | | 592 | |
| *,^ | Adamis Pharmaceuticals Corp. | 839,238 | | 588 | |
| * | Synlogic Inc. | 226,766 | | 585 | |
| | Merrimack Pharmaceuticals Inc. | 185,083 | | 583 | |
| * | Personalis Inc. | 52,861 | | 576 | |
| * | Opiant Pharmaceuticals Inc. | 38,303 | | 552 | |
| * | Bioanalytical Systems Inc. | 111,396 | | 551 | |
| *,^ | Mirum Pharmaceuticals Inc. | 22,433 | | 550 | |
| * | Zafgen Inc. | 492,116 | | 546 | |
| *,^ | Organovo Holdings Inc. | 1,448,899 | | 515 | |
| * | Genocea Biosciences Inc. | 243,451 | | 504 | |
| * | IsoRay Inc. | 801,772 | | 501 | |
| * | Champions Oncology Inc. | 59,932 | | 499 | |
| * | Menlo Therapeutics Inc. | 105,938 | | 492 | |
| * | NantHealth Inc. | 477,142 | | 491 | |
| * | Avenue Therapeutics Inc. | 50,589 | | 486 | |
| *,^ | Microbot Medical Inc. | 46,177 | | 470 | |
| * | PLx Pharma Inc. | 106,697 | | 466 | |
| * | Neuronetics Inc. | 103,347 | | 464 | |
| * | Sensus Healthcare Inc. | 130,738 | | 463 | |
| *,^ | HTG Molecular Diagnostics Inc. | 656,897 | | 461 | |
| *,^ | Cassava Sciences Inc. | 87,959 | | 457 | |
| * | Allena Pharmaceuticals Inc. | 166,781 | | 455 | |
| * | scPharmaceuticals Inc. | 80,058 | | 453 | |
| * | Trevi Therapeutics Inc. | 118,091 | | 443 | |
| * | Cumberland Pharmaceuticals Inc. | 83,401 | | 430 | |
| * | Celsion Corp. | 247,628 | | 423 | |
| *,^ | Kaleido Biosciences Inc. | 84,000 | | 422 | |
| *,^ | cbdMD Inc. | 180,297 | | 408 | |
| * | Apollo Endosurgery Inc. | 142,486 | | 406 | |
| * | AgeX Therapeutics Inc. | 213,656 | | 389 | |
| * | Endologix Inc. | 245,938 | | 389 | |
| * | Sunesis Pharmaceuticals Inc. | 1,126,076 | | 380 | |
| * | Hookipa Pharma Inc. | 30,961 | | 379 | |
| * | Aptinyx Inc. | 108,410 | | 371 | |
| * | IRIDEX Corp. | 164,887 | | 369 | |
| * | Eton Pharmaceuticals Inc. | 50,540 | | 364 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | MTBC Inc. | 89,380 | | 363 | |
| *,^ | Quorum Health Corp. | 379,043 | | 362 | |
| * | Celldex Therapeutics Inc. | 155,908 | | 348 | |
| * | Evoke Pharma Inc. | 213,137 | | 345 | |
| *,^ | Second Sight Medical Products Inc. | 460,447 | | 342 | |
| * | Alimera Sciences Inc. | 44,102 | | 334 | |
| * | Aridis Pharmaceuticals Inc. | 74,302 | | 331 | |
| *,^ | TransEnterix Inc. | 222,943 | | 328 | |
| * | resTORbio Inc. | 218,384 | | 325 | |
| *,^ | Moleculin Biotech Inc. | 355,308 | | 325 | |
| * | Seelos Therapeutics Inc. | 239,222 | | 321 | |
| *,^ | Aptevo Therapeutics Inc. | 487,651 | | 319 | |
| * | Pro-Dex Inc. | 17,890 | | 314 | |
| *,^ | Actinium Pharmaceuticals Inc. | 1,395,872 | | 304 | |
| *,^ | Vir Biotechnology Inc. | 23,900 | | 301 | |
| * | NeuBase Therapeutics Inc. | 41,097 | | 296 | |
| *,^ | Evelo Biosciences Inc. | 72,515 | | 294 | |
| * | Kezar Life Sciences Inc. | 73,341 | | 294 | |
| *,^ | Bio-Path Holdings Inc. | 36,520 | | 292 | |
| * | Galera Therapeutics Inc. | 21,999 | | 290 | |
| | Kewaunee Scientific Corp. | 21,515 | | 289 | |
| * | PAVmed Inc. | 240,525 | | 289 | |
| * | MRI Interventions Inc. | 59,879 | | 287 | |
| * | Altimmune Inc. | 151,304 | | 286 | |
| *,^ | Zosano Pharma Corp. | 185,445 | | 282 | |
| *,^ | VistaGen Therapeutics Inc. | 403,384 | | 278 | |
| * | VIVUS Inc. | 101,340 | | 276 | |
| * | Acer Therapeutics Inc. | 68,311 | | 274 | |
| *,^ | Teligent Inc. | 642,232 | | 274 | |
| *,^ | SELLAS Life Sciences Group Inc. | 63,604 | | 274 | |
| * | Spring Bank Pharmaceuticals Inc. | 163,351 | | 258 | |
| *,^ | Ekso Bionics Holdings Inc. | 659,947 | | 258 | |
| * | Adial Pharmaceuticals Inc. | 106,632 | | 257 | |
| *,^ | Oncternal Therapeutics Inc. | 64,176 | | 254 | |
| * | Surface Oncology Inc. | 132,306 | | 249 | |
| * | Helius Medical Technologies Inc. Class A | 252,890 | | 245 | |
| * | Entasis Therapeutics Holdings Inc. | 49,097 | | 244 | |
| * | Equillium Inc. | 69,754 | | 236 | |
| * | Soligenix Inc. | 158,107 | | 229 | |
| * | Aerpio Pharmaceuticals Inc. | 339,608 | | 212 | |
| * | Caladrius Biosciences Inc. | 83,015 | | 208 | |
| * | Sophiris Bio Inc. | 558,135 | | 207 | |
| *,^ | vTv Therapeutics Inc. Class A | 118,216 | | 201 | |
| * | Beyond Air Inc. | 38,218 | | 200 | |
| *,^ | Heat Biologics Inc. | 416,742 | | 198 | |
| * | AzurRx BioPharma Inc. | 185,715 | | 193 | |
| * | Tela Bio Inc. | 14,664 | | 190 | |
| *,^ | Atossa Genetics Inc. | 120,689 | | 190 | |
| *,^ | Leap Therapeutics Inc. | 168,963 | | 189 | |
| * | Eyenovia Inc. | 41,215 | | 185 | |
| * | AquaBounty Technologies Inc. | 82,972 | | 180 | |
| * | Advaxis Inc. | 209,882 | | 180 | |
| * | Strata Skin Sciences Inc. | 83,712 | | 174 | |
| *,^ | ENDRA Life Sciences Inc. | 97,900 | | 165 | |
| * | Retractable Technologies Inc. | 109,240 | | 164 | |
| *,^ | Precipio Inc. | 78,152 | | 160 | |
| * | Interpace Diagnostics Group Inc. | 318,338 | | 159 | |
| * | Tocagen Inc. | 298,320 | | 159 | |
| * | Miragen Therapeutics Inc. | 306,960 | | 147 | |
| *,^ | OncoSec Medical Inc. | 80,495 | | 146 | |
| *,^ | Conatus Pharmaceuticals Inc. | 362,868 | | 145 | |
| * | ElectroCore Inc. | 90,665 | | 144 | |
| * | Hoth Therapeutics Inc. | 22,579 | | 140 | |
| * | Bellerophon Therapeutics Inc. | 392,624 | | 137 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | ImmuCell Corp. | 26,496 | | 136 | |
| *,^ | Co-Diagnostics Inc. | 152,195 | | 136 | |
| * | Neon Therapeutics Inc. | 111,339 | | 131 | |
| * | Streamline Health Solutions Inc. | 92,404 | | 128 | |
| * | KemPharm Inc. | 309,384 | | 117 | |
| *,^ | Innovate Biopharmaceuticals Inc. | 200,245 | | 112 | |
| * | Tetraphase Pharmaceuticals Inc. | 39,507 | | 111 | |
| *,^ | Immunic Inc. | 11,330 | | 110 | |
| * | Alpine Immune Sciences Inc. | 28,198 | | 108 | |
| *,^ | Navidea Biopharmaceuticals Inc. | 84,721 | | 107 | |
| * | Senestech Inc. | 190,911 | | 105 | |
| * | Rexahn Pharmaceuticals Inc. | 54,692 | | 104 | |
| *,^ | Oragenics Inc. | 189,666 | | 99 | |
| *,^ | Avinger Inc. | 83,574 | | 95 | |
| | Digirad Corp. | 36,396 | | 94 | |
| * | Aytu BioScience Inc. | 95,269 | | 93 | |
| * | Aevi Genomic Medicine Inc. | 631,947 | | 92 | |
| * | Pulmatrix Inc. | 105,591 | | 91 | |
| * | Lipocine Inc. | 232,426 | | 89 | |
| * | RA Medical Systems Inc. | 78,850 | | 89 | |
| * | EyeGate Pharmaceuticals Inc. | 8,773 | | 88 | |
| * | Five Star Senior Living Inc. | 23,599 | | 88 | |
| * | CynergisTek Inc. | 25,990 | | 86 | |
| * | DiaMedica Therapeutics Inc. | 17,400 | | 84 | |
| *,^ | Ocugen Inc. | 162,104 | | 84 | |
| | ProPhase Labs Inc. | 41,556 | | 82 | |
| *,^ | Obalon Therapeutics Inc. | 43,043 | | 82 | |
| * | Ligand Pharmaceuticals Beta CVR | 395,811 | | 79 | |
| * | Ideaya Biosciences Inc. | 10,017 | | 75 | |
| *,^ | Biolase Inc. | 133,881 | | 74 | |
| * | Unum Therapeutics Inc. | 101,693 | | 73 | |
| * | Cyclacel Pharmaceuticals Inc. | 106,172 | | 71 | |
| * | Xtant Medical Holdings Inc. | 44,170 | | 71 | |
| *,^ | Trovagene Inc. | 53,991 | | 67 | |
| * | Neurotrope Inc. | 67,260 | | 66 | |
| *,^ | Cancer Genetics Inc. | 10,519 | | 63 | |
| * | SunLink Health Systems Inc. | 57,952 | | 62 | |
| * | Axcella Health Inc. | 14,311 | | 57 | |
| * | Brickell Biotech Inc. | 37,392 | | 56 | |
| *,^ | SCWorx Corp | 19,340 | | 55 | |
| * | aTyr Pharma Inc. | 12,675 | | 53 | |
| *,^ | Outlook Therapeutics Inc. | 88,035 | | 52 | |
| *,^ | Armata Pharmaceuticals Inc. | 15,150 | | 49 | |
| *,^ | NanoViricides Inc. | 19,046 | | 48 | |
| * | Dare Bioscience Inc. | 56,579 | | 46 | |
| *,^ | Biocept Inc. | 155,963 | | 45 | |
| * | NeuroBo Pharmaceuticals Inc. | 5,195 | | 44 | |
| *,^ | Valeritas Holdings Inc. | 76,584 | | 44 | |
| *,^,§ | Oncternal Therapeutics Inc. CVR | 20,153 | | 41 | |
| * | PDS Biotechnology Corp. | 14,707 | | 39 | |
| * | Cellectar Biosciences Inc. | 16,755 | | 38 | |
| *,^ | Capricor Therapeutics Inc. | 29,419 | | 38 | |
| * | Proteon Therapeutics Inc. | 88,184 | | 36 | |
| *,^ | DarioHealth Corp. | 5,460 | | 36 | |
| * | Biomerica Inc. | 11,723 | | 35 | |
| * | Tracon Pharmaceuticals Inc. | 14,546 | | 34 | |
| * | Vaccinex Inc. | 6,700 | | 33 | |
| * | Myomo Inc. | 106,685 | | 32 | |
| * | ARCA biopharma Inc. | 5,604 | | 32 | |
| *,^ | BioPharmX Corp. | 74,852 | | 32 | |
| * | Citius Pharmaceuticals Inc. | 28,963 | | 30 | |
| * | Regulus Therapeutics Inc. | 32,503 | | 29 | |
| *,^ | Sonoma Pharmaceuticals Inc. | 6,407 | | 28 | |
| *,^ | iBio Inc. | 108,024 | | 27 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,^ | Predictive Oncology Inc. | 10,104 | | 26 | |
| * | ThermoGenesis Holdings Inc. | 5,894 | | 26 | |
| *,^ | Jaguar Health Inc. | 30,283 | | 24 | |
| *,^ | Titan Pharmaceuticals Inc. | 121,280 | | 24 | |
| * | Cocrystal Pharma Inc. | 45,640 | | 23 | |
| * | Novus Therapeutics Inc. | 37,690 | | 22 | |
| * | NovaBay Pharmaceuticals Inc. | 31,726 | | 20 | |
| * | InVivo Therapeutics Holdings Corp. | 85,892 | | 19 | |
| * | Akers Biosciences Inc. | 5,991 | | 19 | |
| *,^ | Milestone Scientific Inc. | 13,169 | | 18 | |
| * | Salarius Pharmaceuticals Inc. | 4,776 | | 18 | |
| *,^ | Yield10 Bioscience Inc. | 103,390 | | 18 | |
| * | Tenax Therapeutics Inc. | 12,200 | | 17 | |
| * | NanoVibronix Inc. | 5,700 | | 16 | |
| ^ | Regional Health Properties Inc. | 11,594 | | 16 | |
| * | Achieve Life Sciences Inc. | 29,110 | | 15 | |
| *,^ | Ritter Pharmaceuticals Inc. | 91,096 | | 15 | |
| * | Flex Pharma Inc. Rights | 119,407 | | 15 | |
| * | Aileron Therapeutics Inc. | 24,778 | | 14 | |
| * | Allied Healthcare Products Inc. | 11,560 | | 14 | |
| * | American Shared Hospital Services | 5,681 | | 14 | |
| *,§ | Ligand Pharmaceuticals Glucagon CVR | 395,811 | | 14 | |
| *,§ | Ambit Biosciences Corp. CVR | 22,388 | | 13 | |
| * | Onconova Therapeutics Inc. | 34,682 | | 13 | |
| *,^ | Aethlon Medical Inc. | 13,204 | | 13 | |
| *,^ | Diffusion Pharmaceuticals Inc. | 27,343 | | 13 | |
| *,^ | BioNano Genomics Inc. | 9,790 | | 12 | |
| * | Vaxart Inc. | 33,222 | | 12 | |
| *,^ | Edesa Biotech Inc. | 2,900 | | 12 | |
| *,^ | Tonix Pharmaceuticals Holding Corp. | 8,504 | | 10 | |
| * | SiNtx Technologies Inc. | 6,221 | | 9 | |
| * | Synthetic Biologics Inc. | 18,146 | | 9 | |
| * | Seneca Biopharma Inc. | 8,277 | | 8 | |
| * | Cleveland BioLabs Inc. | 13,546 | | 8 | |
| * | InspireMD Inc. | 7,471 | | 8 | |
| * | Hepion Pharmaceuticals Inc. | 1,446 | | 8 | |
| * | Viveve Medical Inc. | 5,706 | | 7 | |
| *,^,§ | Nobilis Health Corp. | 49,611 | | 6 | |
| * | NeuroMetrix Inc. | 1,190 | | 5 | |
| * | Plus Therapeutics Inc. | 2,089 | | 5 | |
| * | Phio Pharmaceuticals Corp. | 26,460 | | 5 | |
| * | AIM ImmunoTech Inc. | 8,216 | | 4 | |
| * | Xenetic Biosciences Inc. | 2,950 | | 4 | |
| * | Micron Solutions Inc. | 1,204 | | 3 | |
| *,^ | OpGen Inc. | 2,069 | | 2 | |
| *,^ | CHF Solutions Inc. | 2,359 | | 2 | |
| * | Ligand Pharmaceuticals General CVR | 395,811 | | 1 | |
| * | Gemphire Therapeutics Inc. CVR | 129,871 | | 1 | |
| *,§ | Ligand Pharmaceuticals Roche CVR | 395,811 | | 1 | |
| *,§ | Clinical Data CVR | 131,308 | | — | |
| * | Advaxis Inc. Warrants Exp. 09/11/2024 | 47,130 | | — | |
| | | 10,014,655 | |
| Industrials (13.5%) | |
| * | CoStar Group Inc. | 519,476 | | 310,802 | |
| | TransUnion | 2,669,151 | | 228,506 | |
| * | Teledyne Technologies Inc. | 519,476 | | 180,019 | |
| | Carlisle Cos. Inc. | 804,464 | | 130,194 | |
| * | Lyft Inc. Class A | 2,895,682 | | 124,572 | |
| | Graco Inc. | 2,367,794 | | 123,125 | |
| | Lennox International Inc. | 496,903 | | 121,229 | |
| * | Sensata Technologies Holding plc | 2,247,852 | | 121,092 | |
| | Toro Co. | 1,512,602 | | 120,509 | |
| | Nordson Corp. | 726,000 | | 118,222 | |
| | Hubbell Inc. Class B | 776,368 | | 114,763 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Spirit AeroSystems Holdings Inc. Class A | 1,466,572 | | 106,884 | |
| * | XPO Logistics Inc. | 1,307,715 | | 104,225 | |
| | Donaldson Co. Inc. | 1,797,923 | | 103,596 | |
| | Owens Corning | 1,534,698 | | 99,940 | |
| * | WABCO Holdings Inc. | 726,234 | | 98,405 | |
| * | AECOM | 2,210,926 | | 95,357 | |
| | Woodward Inc. | 803,664 | | 95,186 | |
| * | HD Supply Holdings Inc. | 2,336,582 | | 93,977 | |
| | ITT Inc. | 1,246,576 | | 92,134 | |
| | HEICO Corp. Class A | 1,026,057 | | 91,863 | |
| | Oshkosh Corp. | 964,771 | | 91,316 | |
| * | IAA Inc. | 1,893,250 | | 89,096 | |
| * | Generac Holdings Inc. | 882,477 | | 88,768 | |
| * | Middleby Corp. | 799,258 | | 87,535 | |
| | Hexcel Corp. | 1,191,367 | | 87,339 | |
| * | Uber Technologies Inc. | 2,906,605 | | 86,442 | |
| | Curtiss-Wright Corp. | 609,692 | | 85,899 | |
| | Lincoln Electric Holdings Inc. | 874,887 | | 84,628 | |
| | BWX Technologies Inc. | 1,353,216 | | 84,008 | |
| | Watsco Inc. | 463,291 | | 83,462 | |
| * | Stericycle Inc. | 1,300,615 | | 82,992 | |
| | Allison Transmission Holdings Inc. | 1,672,804 | | 80,830 | |
| | ManpowerGroup Inc. | 831,587 | | 80,747 | |
| | Acuity Brands Inc. | 560,704 | | 77,377 | |
| * | JetBlue Airways Corp. | 4,089,501 | | 76,555 | |
| * | Kirby Corp. | 850,400 | | 76,136 | |
| * | Trex Co. Inc. | 824,013 | | 74,062 | |
| | Air Lease Corp. Class A | 1,476,632 | | 70,170 | |
| | EMCOR Group Inc. | 802,068 | | 69,218 | |
| * | Gardner Denver Holdings Inc. | 1,867,245 | | 68,491 | |
| | AGCO Corp. | 878,177 | | 67,839 | |
| | Tetra Tech Inc. | 772,046 | | 66,519 | |
| | HEICO Corp. | 572,095 | | 65,305 | |
| | Armstrong World Industries Inc. | 694,404 | | 65,253 | |
| | Brink's Co. | 715,490 | | 64,881 | |
| | MSA Safety Inc. | 510,078 | | 64,453 | |
| | Landstar System Inc. | 563,399 | | 64,154 | |
| | Crane Co. | 721,763 | | 62,346 | |
| * | Clean Harbors Inc. | 724,726 | | 62,145 | |
| | Knight-Swift Transportation Holdings Inc. | 1,728,806 | | 61,960 | |
| * | Axon Enterprise Inc. | 843,968 | | 61,846 | |
| * | FTI Consulting Inc. | 538,675 | | 59,610 | |
| * | RBC Bearings Inc. | 358,010 | | 56,687 | |
| | nVent Electric plc | 2,213,845 | | 56,630 | |
| * | Rexnord Corp. | 1,734,183 | | 56,569 | |
| * | Mercury Systems Inc. | 799,209 | | 55,233 | |
| * | MasTec Inc. | 858,009 | | 55,050 | |
| | Timken Co. | 967,834 | | 54,499 | |
| * | SiteOne Landscape Supply Inc. | 592,159 | | 53,679 | |
| * | ASGN Inc. | 752,227 | | 53,386 | |
| | MSC Industrial Direct Co. Inc. Class A | 642,073 | | 50,383 | |
| | Exponent Inc. | 726,062 | | 50,106 | |
| | John Bean Technologies Corp. | 442,520 | | 49,854 | |
| | Regal Beloit Corp. | 573,090 | | 49,062 | |
| * | Univar Solutions Inc. | 1,977,406 | | 47,932 | |
| | Macquarie Infrastructure Corp. | 1,113,884 | | 47,719 | |
| * | Aerojet Rocketdyne Holdings Inc. | 1,019,258 | | 46,539 | |
| * | Cimpress NV | 369,288 | | 46,445 | |
| | Simpson Manufacturing Co. Inc. | 575,211 | | 46,149 | |
| | SkyWest Inc. | 704,956 | | 45,561 | |
| | Insperity Inc. | 529,492 | | 45,557 | |
| | Valmont Industries Inc. | 298,434 | | 44,699 | |
| | EnerSys | 591,908 | | 44,292 | |
| | UniFirst Corp. | 215,461 | | 43,519 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Kennametal Inc. | 1,179,484 | | 43,511 | |
| * | Colfax Corp. | 1,189,786 | | 43,284 | |
| | AMERCO | 114,035 | | 42,857 | |
| | Barnes Group Inc. | 681,411 | | 42,220 | |
| * | Builders FirstSource Inc. | 1,647,250 | | 41,857 | |
| | Ryder System Inc. | 758,214 | | 41,179 | |
| | Brady Corp. Class A | 716,131 | | 41,006 | |
| | Universal Forest Products Inc. | 853,705 | | 40,722 | |
| | GATX Corp. | 484,633 | | 40,152 | |
| | KAR Auction Services Inc. | 1,826,885 | | 39,808 | |
| | Watts Water Technologies Inc. Class A | 396,775 | | 39,582 | |
| * | Spirit Airlines Inc. | 976,536 | | 39,364 | |
| | Moog Inc. Class A | 452,258 | | 38,591 | |
| * | Proto Labs Inc. | 373,370 | | 37,916 | |
| | Fluor Corp. | 2,002,355 | | 37,804 | |
| | Applied Industrial Technologies Inc. | 553,841 | | 36,936 | |
| | ABM Industries Inc. | 952,545 | | 35,920 | |
| * | WESCO International Inc. | 598,760 | | 35,560 | |
| | Hillenbrand Inc. | 1,067,112 | | 35,545 | |
| * | TriNet Group Inc. | 627,100 | | 35,500 | |
| | Herman Miller Inc. | 843,629 | | 35,137 | |
| * | Chart Industries Inc. | 513,110 | | 34,630 | |
| * | Saia Inc. | 369,895 | | 34,445 | |
| | Albany International Corp. Class A | 438,959 | | 33,326 | |
| | ESCO Technologies Inc. | 359,145 | | 33,221 | |
| * | Advanced Disposal Services Inc. | 999,157 | | 32,842 | |
| | Korn Ferry | 772,025 | | 32,734 | |
| | Allegiant Travel Co. Class A | 186,699 | | 32,493 | |
| * | SPX Corp. | 635,033 | | 32,310 | |
| | Altra Industrial Motion Corp. | 890,581 | | 32,248 | |
| | Franklin Electric Co. Inc. | 558,255 | | 31,999 | |
| * | Beacon Roofing Supply Inc. | 982,327 | | 31,415 | |
| | Arcosa Inc. | 689,643 | | 30,724 | |
| | Trinity Industries Inc. | 1,355,273 | | 30,019 | |
| * | SPX FLOW Inc. | 608,815 | | 29,753 | |
| * | Welbilt Inc. | 1,887,545 | | 29,465 | |
| * | Casella Waste Systems Inc. Class A | 639,707 | | 29,446 | |
| | Deluxe Corp. | 588,541 | | 29,380 | |
| | Triton International Ltd. | 725,300 | | 29,157 | |
| * | Meritor Inc. | 1,111,749 | | 29,117 | |
| | AAON Inc. | 586,482 | | 28,978 | |
| | Cubic Corp. | 449,584 | | 28,580 | |
| | Advanced Drainage Systems Inc. | 731,985 | | 28,430 | |
| | Forward Air Corp. | 401,720 | | 28,100 | |
| | Federal Signal Corp. | 870,420 | | 28,071 | |
| | Terex Corp. | 922,942 | | 27,485 | |
| * | Navistar International Corp. | 939,738 | | 27,196 | |
| | Mueller Water Products Inc. Class A | 2,267,955 | | 27,170 | |
| * | Atkore International Group Inc. | 669,311 | | 27,080 | |
| | McGrath RentCorp | 353,299 | | 27,041 | |
| * | BMC Stock Holdings Inc. | 922,961 | | 26,480 | |
| | Kaman Corp. | 401,643 | | 26,476 | |
| | Steelcase Inc. Class A | 1,277,839 | | 26,145 | |
| * | Harsco Corp. | 1,135,315 | | 26,124 | |
| | Healthcare Services Group Inc. | 1,064,956 | | 25,900 | |
| | Mueller Industries Inc. | 810,353 | | 25,729 | |
| * | Avis Budget Group Inc. | 790,091 | | 25,473 | |
| | Comfort Systems USA Inc. | 507,590 | | 25,303 | |
| | ICF International Inc. | 273,856 | | 25,091 | |
| | Covanta Holding Corp. | 1,686,037 | | 25,021 | |
| * | Masonite International Corp. | 342,814 | | 24,755 | |
| * | Hub Group Inc. Class A | 477,232 | | 24,477 | |
| | Matson Inc. | 597,983 | | 24,398 | |
| | Aircastle Ltd. | 735,318 | | 23,538 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Werner Enterprises Inc. | 642,393 | | 23,377 | |
| * | Kratos Defense & Security Solutions Inc. | 1,296,511 | | 23,350 | |
| * | American Woodmark Corp. | 222,063 | | 23,208 | |
| | Mobile Mini Inc. | 608,862 | | 23,082 | |
| * | Huron Consulting Group Inc. | 335,634 | | 23,065 | |
| | HNI Corp. | 614,731 | | 23,028 | |
| * | JELD-WEN Holding Inc. | 972,521 | | 22,767 | |
| * | Hertz Global Holdings Inc. | 1,437,219 | | 22,636 | |
| * | Gibraltar Industries Inc. | 441,789 | | 22,284 | |
| * | Dycom Industries Inc. | 452,456 | | 21,333 | |
| | US Ecology Inc. | 366,615 | | 21,231 | |
| * | Resideo Technologies Inc. | 1,758,117 | | 20,974 | |
| * | TriMas Corp. | 654,174 | | 20,548 | |
| * | CBIZ Inc. | 760,643 | | 20,507 | |
| | AAR Corp. | 450,592 | | 20,322 | |
| | EnPro Industries Inc. | 303,334 | | 20,287 | |
| | Rush Enterprises Inc. Class A | 433,006 | | 20,135 | |
| * | Air Transport Services Group Inc. | 849,936 | | 19,939 | |
| | Hawaiian Holdings Inc. | 674,387 | | 19,753 | |
| * | AeroVironment Inc. | 315,875 | | 19,502 | |
| | Tennant Co. | 249,614 | | 19,450 | |
| | Actuant Corp. Class A | 737,369 | | 19,194 | |
| * | Evoqua Water Technologies Corp. | 1,001,781 | | 18,984 | |
| | Viad Corp. | 278,639 | | 18,808 | |
| ^ | Granite Construction Inc. | 674,178 | | 18,654 | |
| | Helios Technologies Inc. | 399,171 | | 18,454 | |
| | Triumph Group Inc. | 723,698 | | 18,288 | |
| * | Continental Building Products Inc. | 500,368 | | 18,228 | |
| * | NOW Inc. | 1,602,140 | | 18,008 | |
| | AZZ Inc. | 381,402 | | 17,525 | |
| | Kadant Inc. | 164,916 | | 17,372 | |
| | Patrick Industries Inc. | 330,660 | | 17,336 | |
| | Knoll Inc. | 682,878 | | 17,249 | |
| | Douglas Dynamics Inc. | 310,553 | | 17,080 | |
| | CSW Industrials Inc. | 221,234 | | 17,035 | |
| * | Herc Holdings Inc. | 347,452 | | 17,004 | |
| | Raven Industries Inc. | 487,758 | | 16,808 | |
| | Alamo Group Inc. | 132,482 | | 16,633 | |
| | Encore Wire Corp. | 287,914 | | 16,526 | |
| | Matthews International Corp. Class A | 429,727 | | 16,403 | |
| * | GMS Inc. | 599,504 | | 16,235 | |
| * | Sunrun Inc. | 1,126,624 | | 15,559 | |
| | Greenbrier Cos. Inc. | 475,824 | | 15,431 | |
| * | MRC Global Inc. | 1,118,514 | | 15,257 | |
| | H&E Equipment Services Inc. | 451,461 | | 15,092 | |
| | Standex International Corp. | 178,591 | | 14,171 | |
| | Primoris Services Corp. | 631,678 | | 14,049 | |
| | Lindsay Corp. | 145,920 | | 14,007 | |
| * | WillScot Corp. Class A | 755,111 | | 13,962 | |
| | Columbus McKinnon Corp. | 348,419 | | 13,947 | |
| | Interface Inc. Class A | 832,877 | | 13,817 | |
| * | CIRCOR International Inc. | 290,548 | | 13,435 | |
| | ACCO Brands Corp. | 1,427,624 | | 13,363 | |
| | Heartland Express Inc. | 634,099 | | 13,348 | |
| *,^ | Virgin Galactic Holdings Inc. | 1,145,055 | | 13,225 | |
| * | SP Plus Corp. | 310,512 | | 13,175 | |
| ^ | Maxar Technologies Inc. | 840,285 | | 13,167 | |
| * | Vicor Corp. | 274,958 | | 12,846 | |
| * | PGT Innovations Inc. | 861,018 | | 12,838 | |
| | Apogee Enterprises Inc. | 391,746 | | 12,732 | |
| * | TrueBlue Inc. | 522,238 | | 12,565 | |
| | Astec Industries Inc. | 298,909 | | 12,554 | |
| | Griffon Corp. | 610,551 | | 12,412 | |
| | Marten Transport Ltd. | 568,336 | | 12,214 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| ^ | ADT Inc. | 1,535,703 | | 12,178 | |
| *,^ | Plug Power Inc. | 3,792,406 | | 11,984 | |
| * | Thermon Group Holdings Inc. | 442,344 | | 11,855 | |
| * | Parsons Corp. | 281,270 | | 11,611 | |
| | Wabash National Corp. | 766,468 | | 11,259 | |
| | Kforce Inc. | 279,770 | | 11,107 | |
| | Kimball International Inc. Class B | 526,562 | | 10,884 | |
| | Schneider National Inc. Class B | 489,965 | | 10,691 | |
| * | Great Lakes Dredge & Dock Corp. | 941,559 | | 10,668 | |
| | Kelly Services Inc. Class A | 466,730 | | 10,539 | |
| * | Wesco Aircraft Holdings Inc. | 938,192 | | 10,339 | |
| | Barrett Business Services Inc. | 113,161 | | 10,237 | |
| | GrafTech International Ltd. | 868,073 | | 10,087 | |
| * | Atlas Air Worldwide Holdings Inc. | 361,208 | | 9,958 | |
| | Pitney Bowes Inc. | 2,453,422 | | 9,887 | |
| * | Upwork Inc. | 917,194 | | 9,786 | |
| * | Aegion Corp. Class A | 431,993 | | 9,664 | |
| * | DXP Enterprises Inc. | 240,104 | | 9,559 | |
| * | Gates Industrial Corp. plc | 676,502 | | 9,309 | |
| * | Astronics Corp. | 332,977 | | 9,307 | |
| * | Manitowoc Co. Inc. | 524,572 | | 9,180 | |
| | ArcBest Corp. | 332,477 | | 9,176 | |
| | Heidrick & Struggles International Inc. | 278,073 | | 9,037 | |
| | Gorman-Rupp Co. | 240,477 | | 9,018 | |
| * | Vectrus Inc. | 168,946 | | 8,660 | |
| | Hyster-Yale Materials Handling Inc. | 144,616 | | 8,527 | |
| | Quanex Building Products Corp. | 497,265 | | 8,493 | |
| * | Construction Partners Inc. Class A | 497,084 | | 8,386 | |
| * | Echo Global Logistics Inc. | 402,406 | | 8,330 | |
| * | MYR Group Inc. | 254,314 | | 8,288 | |
| * | TPI Composites Inc. | 442,630 | | 8,193 | |
| | Spartan Motors Inc. | 451,472 | | 8,163 | |
| | Argan Inc. | 202,090 | | 8,112 | |
| * | Ducommun Inc. | 159,763 | | 8,073 | |
| | Ennis Inc. | 361,155 | | 7,819 | |
| * | Tutor Perini Corp. | 594,770 | | 7,649 | |
| * | Team Inc. | 467,604 | | 7,468 | |
| | Resources Connection Inc. | 446,299 | | 7,288 | |
| * | NV5 Global Inc. | 141,082 | | 7,118 | |
| * | BrightView Holdings Inc. | 416,423 | | 7,025 | |
| * | CAI International Inc. | 239,960 | | 6,954 | |
| *,^ | FuelCell Energy Inc. | 2,722,386 | | 6,833 | |
| | National Presto Industries Inc. | 77,257 | | 6,829 | |
| * | Forrester Research Inc. | 160,304 | | 6,685 | |
| | Powell Industries Inc. | 132,540 | | 6,493 | |
| | Miller Industries Inc. | 171,933 | | 6,384 | |
| | Insteel Industries Inc. | 278,936 | | 5,994 | |
| | NN Inc. | 633,805 | | 5,863 | |
| | Allied Motion Technologies Inc. | 119,979 | | 5,819 | |
| * | Heritage-Crystal Clean Inc. | 185,357 | | 5,815 | |
| | Systemax Inc. | 227,694 | | 5,729 | |
| * | Lydall Inc. | 269,112 | | 5,522 | |
| * | Sterling Construction Co. Inc. | 390,051 | | 5,492 | |
| * | Lawson Products Inc. | 105,021 | | 5,472 | |
| | CRA International Inc. | 99,344 | | 5,411 | |
| * | Blue Bird Corp. | 232,576 | | 5,331 | |
| * | Cornerstone Building Brands Inc. | 626,245 | | 5,329 | |
| * | Eagle Bulk Shipping Inc. | 1,138,967 | | 5,239 | |
| * | Foundation Building Materials Inc. | 266,806 | | 5,163 | |
| * | Franklin Covey Co. | 158,251 | | 5,100 | |
| | REV Group Inc. | 412,401 | | 5,044 | |
| | Park Aerospace Corp. | 309,847 | | 5,041 | |
| * | Northwest Pipe Co. | 148,825 | | 4,957 | |
| *,^ | Energy Recovery Inc. | 500,679 | | 4,902 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Ameresco Inc. Class A | 275,280 | | 4,817 | |
| * | Willdan Group Inc. | 149,197 | | 4,741 | |
| | VSE Corp. | 124,290 | | 4,728 | |
| *,^ | Vivint Solar Inc. | 641,895 | | 4,660 | |
| | Park-Ohio Holdings Corp. | 133,223 | | 4,483 | |
| | Briggs & Stratton Corp. | 650,074 | | 4,329 | |
| | RR Donnelley & Sons Co. | 1,046,134 | | 4,132 | |
| * | Titan Machinery Inc. | 279,231 | | 4,127 | |
| | Omega Flex Inc. | 36,799 | | 3,948 | |
| * | Mistras Group Inc. | 261,576 | | 3,733 | |
| * | Veritiv Corp. | 189,376 | | 3,725 | |
| * | CECO Environmental Corp. | 457,959 | | 3,508 | |
| | Hurco Cos. Inc. | 85,093 | | 3,264 | |
| * | InnerWorkings Inc. | 580,895 | | 3,201 | |
| * | PICO Holdings Inc. | 275,713 | | 3,066 | |
| | Graham Corp. | 137,367 | | 3,006 | |
| * | Mesa Air Group Inc. | 330,958 | | 2,959 | |
| * | Radiant Logistics Inc. | 526,477 | | 2,932 | |
| * | GP Strategies Corp. | 217,807 | | 2,882 | |
| * | IES Holdings Inc. | 107,279 | | 2,753 | |
| | BG Staffing Inc. | 121,563 | | 2,661 | |
| | Titan International Inc. | 732,490 | | 2,652 | |
| * | Daseke Inc. | 837,062 | | 2,645 | |
| * | General Finance Corp. | 238,390 | | 2,639 | |
| * | Commercial Vehicle Group Inc. | 414,106 | | 2,630 | |
| | Eastern Co. | 83,819 | | 2,559 | |
| * | Transcat Inc. | 78,204 | | 2,492 | |
| * | LB Foster Co. Class A | 128,097 | | 2,483 | |
| * | Willis Lease Finance Corp. | 41,290 | | 2,432 | |
| * | Covenant Transportation Group Inc. Class A | 187,559 | | 2,424 | |
| *,^ | Bloom Energy Corp. Class A | 322,503 | | 2,409 | |
| * | Orion Group Holdings Inc. | 462,831 | | 2,402 | |
| | Universal Logistics Holdings Inc. | 126,422 | | 2,397 | |
| | Genco Shipping & Trading Ltd. | 220,990 | | 2,347 | |
| * | Concrete Pumping Holdings Inc. | 414,814 | | 2,269 | |
| * | Acacia Research Corp. | 832,773 | | 2,215 | |
| | Quad/Graphics Inc. | 456,675 | | 2,133 | |
| * | American Superconductor Corp. | 271,325 | | 2,130 | |
| | LSI Industries Inc. | 349,060 | | 2,112 | |
| | Preformed Line Products Co. | 33,964 | | 2,050 | |
| *,^ | BlueLinx Holdings Inc. | 136,061 | | 1,939 | |
| * | Hill International Inc. | 611,000 | | 1,931 | |
| * | PAM Transportation Services Inc. | 33,178 | | 1,915 | |
| *,^ | EVI Industries Inc. | 66,865 | | 1,808 | |
| | Rush Enterprises Inc. Class B | 38,209 | | 1,746 | |
| *,^ | Babcock & Wilcox Enterprises Inc. | 471,200 | | 1,715 | |
| *,^ | Red Violet Inc. | 82,596 | | 1,529 | |
| * | Twin Disc Inc. | 130,235 | | 1,435 | |
| *,^ | LiqTech International Inc. | 244,091 | | 1,428 | |
| * | Gencor Industries Inc. | 115,798 | | 1,351 | |
| * | US Xpress Enterprises Inc. Class A | 260,523 | | 1,310 | |
| *,^ | YRC Worldwide Inc. | 500,151 | | 1,275 | |
| * | Orion Energy Systems Inc. | 377,033 | | 1,263 | |
| *,^ | HC2 Holdings Inc. | 560,094 | | 1,215 | |
| * | Manitex International Inc. | 197,034 | | 1,172 | |
| *,^ | ExOne Co. | 146,250 | | 1,091 | |
| * | Armstrong Flooring Inc. | 252,356 | | 1,078 | |
| * | Goldfield Corp. | 302,912 | | 1,075 | |
| * | Houston Wire & Cable Co. | 241,458 | | 1,065 | |
| * | Ultralife Corp. | 137,561 | | 1,017 | |
| * | CPI Aerostructures Inc. | 150,962 | | 1,016 | |
| * | USA Truck Inc. | 113,813 | | 848 | |
| * | Nesco Holdings Inc. | 197,546 | | 812 | |
| * | Perma-Fix Environmental Services | 86,926 | | 791 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | ARC Document Solutions Inc. | 549,008 | | 763 | |
| * | Virco Manufacturing Corp. | 163,028 | | 691 | |
| * | Innovative Solutions & Support Inc. | 116,655 | | 681 | |
| * | Mastech Digital Inc. | 60,874 | | 674 | |
| | Ecology and Environment Inc. | 40,958 | | 635 | |
| | Acme United Corp. | 25,248 | | 601 | |
| *,^ | Aqua Metals Inc. | 792,756 | | 599 | |
| * | Perma-Pipe International Holdings Inc. | 63,262 | | 593 | |
| | Pangaea Logistics Solutions Ltd. | 198,063 | | 584 | |
| * | Alpha Pro Tech Ltd. | 166,676 | | 572 | |
| *,^ | Energous Corp. | 321,608 | | 569 | |
| * | NL Industries Inc. | 135,037 | | 528 | |
| *,^ | Hudson Technologies Inc. | 511,921 | | 500 | |
| * | Tecogen Inc. | 235,717 | | 500 | |
| *,^ | Infrastructure and Energy Alternatives Inc. | 144,791 | | 466 | |
| *,^ | Roadrunner Transportation Systems Inc. | 50,179 | | 462 | |
| * | FreightCar America Inc. | 208,190 | | 431 | |
| * | DLH Holdings Corp. | 98,035 | | 411 | |
| * | Rekor Systems Inc. | 102,383 | | 391 | |
| * | Huttig Building Products Inc. | 247,746 | | 382 | |
| * | Taylor Devices Inc. | 36,095 | | 379 | |
| * | Jewett-Cameron Trading Co. Ltd. | 47,428 | | 366 | |
| * | Performant Financial Corp. | 352,668 | | 360 | |
| * | AMREP Corp. | 56,720 | | 339 | |
| * | Air T Inc. | 14,989 | | 302 | |
| *,^ | India Globalization Capital Inc. | 454,110 | | 286 | |
| *,^ | Capstone Turbine Corp. | 91,048 | | 279 | |
| * | RCM Technologies Inc. | 90,641 | | 272 | |
| * | Patriot Transportation Holding Inc. | 13,915 | | 271 | |
| *,^ | Odyssey Marine Exploration Inc. | 84,811 | | 271 | |
| * | LS Starrett Co. Class A | 44,550 | | 255 | |
| * | Volt Information Sciences Inc. | 99,718 | | 247 | |
| * | Air Industries Group | 102,589 | | 236 | |
| * | Broadwind Energy Inc. | 137,005 | | 227 | |
| | Hudson Global Inc. | 18,306 | | 219 | |
| * | Charah Solutions Inc. | 86,291 | | 211 | |
| | Servotronics Inc. | 19,902 | | 200 | |
| * | Fuel Tech Inc. | 210,035 | | 196 | |
| * | SIFCO Industries Inc. | 33,067 | | 131 | |
| *,§ | FTE Networks Inc. | 82,837 | | 124 | |
| | Espey Manufacturing & Electronics Corp. | 5,392 | | 116 | |
| * | Lightbridge Corp. | 24,698 | | 111 | |
| *,^ | Astrotech Corp. | 58,922 | | 106 | |
| * | Jason Industries Inc. | 213,911 | | 80 | |
| | Chicago Rivet & Machine Co. | 2,905 | | 75 | |
| * | Sigma Labs Inc. | 70,539 | | 69 | |
| * | Polar Power Inc. | 26,498 | | 63 | |
| * | Limbach Holdings Inc. | 13,289 | | 50 | |
| * | Avalon Holdings Corp. Class A | 25,600 | | 49 | |
| * | Industrial Services of America Inc. | 43,054 | | 48 | |
| * | Sunworks Inc. | 35,817 | | 45 | |
| * | MICT Inc. | 48,420 | | 43 | |
| | CompX International Inc. | 2,808 | | 41 | |
| * | Pioneer Power Solutions Inc. | 17,498 | | 40 | |
| * | BioHiTech Global Inc. | 19,881 | | 34 | |
| * | Document Security Systems Inc. | 111,407 | | 34 | |
| * | Energy Focus Inc. | 63,555 | | 30 | |
| *,^ | Spherix Inc. | 20,740 | | 27 | |
| * | HireQuest Inc. | 3,536 | | 25 | |
| | Staffing 360 Solutions Inc. | 31,036 | | 25 | |
| *,^ | Ideal Power Inc. | 9,571 | | 22 | |
| * | VirTra Inc. | 3,900 | | 19 | |
| * | AgEagle Aerial Systems Inc. | 37,367 | | 17 | |
| * | Ocean Power Technologies Inc. | 18,163 | | 16 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,§ | DPW Holdings Inc. | 12,261 | | 15 | |
| * | GEE Group Inc. | 27,339 | | 11 | |
| * | Quest Resource Holding Corp. | 4,835 | | 11 | |
| * | ShiftPixy Inc. | 1,163 | | 10 | |
| * | Continental Materials Corp. | 1,122 | | 9 | |
| * | Art's-Way Manufacturing Co. Inc. | 4,243 | | 8 | |
| * | JanOne Inc. | 2,300 | | 7 | |
| * | AeroCentury Corp. | 800 | | 4 | |
| * | Air T Inc. Warrants Exp. 06/07/2020 | 36,997 | | 2 | |
| * | SG Blocks Inc. | 11,820 | | 2 | |
| | | 10,022,197 | |
| Information Technology (17.5%) | |
| * | Workday Inc. Class A | 2,186,873 | | 359,631 | |
| * | Palo Alto Networks Inc. | 1,389,466 | | 321,314 | |
| * | Square Inc. | 4,858,576 | | 303,953 | |
| * | Splunk Inc. | 1,962,908 | | 293,985 | |
| | Marvell Technology Group Ltd. | 9,459,930 | | 251,256 | |
| | SS&C Technologies Holdings Inc. | 3,114,853 | | 191,252 | |
| * | Paycom Software Inc. | 696,050 | | 184,286 | |
| * | Okta Inc. | 1,596,517 | | 184,190 | |
| * | RingCentral Inc. Class A | 1,063,934 | | 179,454 | |
| * | GoDaddy Inc. Class A | 2,510,241 | | 170,496 | |
| * | VMware Inc. Class A | 1,117,020 | | 169,552 | |
| * | EPAM Systems Inc. | 781,837 | | 165,875 | |
| * | Tyler Technologies Inc. | 552,653 | | 165,807 | |
| | Teradyne Inc. | 2,373,913 | | 161,877 | |
| * | Fair Isaac Corp. | 411,981 | | 154,361 | |
| * | Twilio Inc. Class A | 1,568,294 | | 154,132 | |
| * | Trimble Inc. | 3,536,683 | | 147,444 | |
| * | Trade Desk Inc. Class A | 565,049 | | 146,788 | |
| * | ON Semiconductor Corp. | 5,810,862 | | 141,669 | |
| | Booz Allen Hamilton Holding Corp. Class A | 1,987,122 | | 141,344 | |
| * | Black Knight Inc. | 2,118,214 | | 136,582 | |
| | Cognex Corp. | 2,426,415 | | 135,976 | |
| * | DocuSign Inc. Class A | 1,773,650 | | 131,445 | |
| * | Coupa Software Inc. | 892,127 | | 130,474 | |
| * | WEX Inc. | 614,354 | | 128,683 | |
| * | Guidewire Software Inc. | 1,171,436 | | 128,589 | |
| | Universal Display Corp. | 600,666 | | 123,779 | |
| * | Zendesk Inc. | 1,599,129 | | 122,541 | |
| | Cypress Semiconductor Corp. | 5,221,751 | | 121,823 | |
| * | Euronet Worldwide Inc. | 766,573 | | 120,781 | |
| * | Aspen Technology Inc. | 968,975 | | 117,178 | |
| * | Dell Technologies Inc. | 2,195,218 | | 112,812 | |
| * | PTC Inc. | 1,473,197 | | 110,328 | |
| | Monolithic Power Systems Inc. | 575,353 | | 102,424 | |
| * | Arrow Electronics Inc. | 1,149,877 | | 97,441 | |
| * | Ceridian HCM Holding Inc. | 1,426,653 | | 96,841 | |
| | Entegris Inc. | 1,908,158 | | 95,580 | |
| | CDK Global Inc. | 1,722,442 | | 94,183 | |
| * | Ciena Corp. | 2,195,235 | | 93,715 | |
| * | Proofpoint Inc. | 802,119 | | 92,067 | |
| | Genpact Ltd. | 2,179,349 | | 91,903 | |
| * | HubSpot Inc. | 569,028 | | 90,191 | |
| * | CACI International Inc. Class A | 354,856 | | 88,710 | |
| | Sabre Corp. | 3,887,353 | | 87,232 | |
| * | Lumentum Holdings Inc. | 1,096,038 | | 86,916 | |
| | MKS Instruments Inc. | 778,434 | | 85,636 | |
| | Jabil Inc. | 1,977,754 | | 81,741 | |
| | SYNNEX Corp. | 577,411 | | 74,371 | |
| * | Manhattan Associates Inc. | 905,464 | | 72,211 | |
| * | Nuance Communications Inc. | 4,017,019 | | 71,623 | |
| * | Tech Data Corp. | 498,484 | | 71,582 | |
| * | Silicon Laboratories Inc. | 611,136 | | 70,880 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Cree Inc. | 1,531,812 | | 70,693 | |
| | National Instruments Corp. | 1,665,842 | | 70,532 | |
| * | Alteryx Inc. Class A | 692,370 | | 69,285 | |
| * | Avalara Inc. | 932,126 | | 68,278 | |
| * | Cirrus Logic Inc. | 818,335 | | 67,439 | |
| | MAXIMUS Inc. | 904,674 | | 67,299 | |
| | Littelfuse Inc. | 343,914 | | 65,791 | |
| * | SolarEdge Technologies Inc. | 684,653 | | 65,104 | |
| *,^ | MongoDB Inc. | 491,244 | | 64,653 | |
| * | Nutanix Inc. | 2,066,323 | | 64,593 | |
| * | NCR Corp. | 1,819,330 | | 63,968 | |
| * | Anaplan Inc. | 1,219,787 | | 63,917 | |
| * | ACI Worldwide Inc. | 1,642,788 | | 62,237 | |
| | Dolby Laboratories Inc. Class A | 900,180 | | 61,932 | |
| * | Paylocity Holding Corp. | 510,304 | | 61,655 | |
| | j2 Global Inc. | 655,337 | | 61,412 | |
| | KBR Inc. | 1,998,701 | | 60,960 | |
| * | RealPage Inc. | 1,127,798 | | 60,619 | |
| * | First Solar Inc. | 1,078,803 | | 60,370 | |
| | Science Applications International Corp. | 690,324 | | 60,072 | |
| * | ViaSat Inc. | 816,621 | | 59,773 | |
| | Cabot Microelectronics Corp. | 413,827 | | 59,724 | |
| | Avnet Inc. | 1,404,867 | | 59,623 | |
| | LogMeIn Inc. | 693,529 | | 59,463 | |
| * | Smartsheet Inc. Class A | 1,288,360 | | 57,873 | |
| * | Coherent Inc. | 345,174 | | 57,420 | |
| * | Five9 Inc. | 863,606 | | 56,635 | |
| | Blackbaud Inc. | 701,422 | | 55,833 | |
| * | Dropbox Inc. Class A | 3,065,196 | | 54,898 | |
| * | Pure Storage Inc. Class A | 3,193,347 | | 54,638 | |
| * | Verint Systems Inc. | 949,309 | | 52,554 | |
| * | Envestnet Inc. | 743,462 | | 51,767 | |
| | Perspecta Inc. | 1,940,671 | | 51,311 | |
| * | FireEye Inc. | 3,060,195 | | 50,585 | |
| * | Q2 Holdings Inc. | 615,594 | | 49,912 | |
| * | CoreLogic Inc. | 1,131,464 | | 49,456 | |
| * | Semtech Corp. | 926,366 | | 49,005 | |
| * | Viavi Solutions Inc. | 3,236,326 | | 48,545 | |
| * | Inphi Corp. | 652,738 | | 48,316 | |
| * | New Relic Inc. | 714,052 | | 46,920 | |
| * | LiveRamp Holdings Inc. | 947,394 | | 45,541 | |
| * | Novanta Inc. | 505,522 | | 44,708 | |
| * | Cornerstone OnDemand Inc. | 753,835 | | 44,137 | |
| | Brooks Automation Inc. | 1,037,555 | | 43,536 | |
| * | Zscaler Inc. | 930,369 | | 43,262 | |
| | Pegasystems Inc. | 542,059 | | 43,175 | |
| * | Teradata Corp. | 1,596,949 | | 42,750 | |
| * | Itron Inc. | 499,637 | | 41,945 | |
| * | II-VI Inc. | 1,240,211 | | 41,758 | |
| | Power Integrations Inc. | 420,454 | | 41,587 | |
| *,^ | Cloudera Inc. | 3,509,938 | | 40,821 | |
| | Vishay Intertechnology Inc. | 1,891,146 | | 40,263 | |
| * | Qualys Inc. | 474,129 | | 39,528 | |
| * | Anixter International Inc. | 428,658 | | 39,479 | |
| * | Advanced Energy Industries Inc. | 547,085 | | 38,952 | |
| * | CommScope Holding Co. Inc. | 2,718,248 | | 38,572 | |
| * | Everbridge Inc. | 484,987 | | 37,868 | |
| * | Lattice Semiconductor Corp. | 1,913,011 | | 36,615 | |
| * | Insight Enterprises Inc. | 511,951 | | 35,985 | |
| * | Box Inc. | 2,140,130 | | 35,911 | |
| * | Acacia Communications Inc. | 522,370 | | 35,422 | |
| * | Rapid7 Inc. | 624,875 | | 35,006 | |
| * | Fabrinet | 531,780 | | 34,481 | |
| * | Sanmina Corp. | 1,002,210 | | 34,316 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | ExlService Holdings Inc. | 482,697 | | 33,528 | |
| * | Rogers Corp. | 267,249 | | 33,334 | |
| * | Varonis Systems Inc. | 427,914 | | 33,253 | |
| * | Diodes Inc. | 588,348 | | 33,165 | |
| ^ | Ubiquiti Inc. | 174,464 | | 32,970 | |
| * | PROS Holdings Inc. | 546,580 | | 32,751 | |
| * | LivePerson Inc. | 883,401 | | 32,686 | |
| * | Plexus Corp. | 406,430 | | 31,271 | |
| * | Blackline Inc. | 606,124 | | 31,252 | |
| * | Synaptics Inc. | 474,710 | | 31,222 | |
| | Belden Inc. | 554,636 | | 30,505 | |
| | ManTech International Corp. Class A | 375,755 | | 30,015 | |
| * | Elastic NV | 464,051 | | 29,838 | |
| *,^ | Enphase Energy Inc. | 1,131,446 | | 29,565 | |
| * | EchoStar Corp. Class A | 666,669 | | 28,873 | |
| * | Bottomline Technologies DE Inc. | 534,616 | | 28,655 | |
| | EVERTEC Inc. | 836,248 | | 28,466 | |
| * | SailPoint Technologies Holding Inc. | 1,199,667 | | 28,312 | |
| * | SPS Commerce Inc. | 496,331 | | 27,507 | |
| * | FormFactor Inc. | 1,051,112 | | 27,297 | |
| | Badger Meter Inc. | 419,062 | | 27,210 | |
| * | Ambarella Inc. | 445,443 | | 26,976 | |
| * | CommVault Systems Inc. | 599,840 | | 26,777 | |
| * | 8x8 Inc. | 1,436,289 | | 26,284 | |
| | Progress Software Corp. | 628,553 | | 26,116 | |
| *,^ | Verra Mobility Corp. Class A | 1,864,240 | | 26,081 | |
| * | Knowles Corp. | 1,232,877 | | 26,075 | |
| * | Onto Innovation Inc. | 702,803 | | 25,680 | |
| *,^ | Zoom Video Communications Inc. Class A | 366,213 | | 24,917 | |
| | Kulicke & Soffa Industries Inc. | 914,440 | | 24,873 | |
| | InterDigital Inc. | 451,710 | | 24,614 | |
| * | OSI Systems Inc. | 243,894 | | 24,570 | |
| * | Dynatrace Inc. | 932,575 | | 23,594 | |
| | CSG Systems International Inc. | 455,651 | | 23,594 | |
| * | SVMK Inc. | 1,312,088 | | 23,447 | |
| * | Instructure Inc. | 484,898 | | 23,377 | |
| * | Cardtronics plc Class A | 518,334 | | 23,144 | |
| * | Appfolio Inc. | 205,510 | | 22,596 | |
| * | Alarm.com Holdings Inc. | 523,054 | | 22,476 | |
| | KEMET Corp. | 829,115 | | 22,428 | |
| * | Workiva Inc. Class A | 532,782 | | 22,403 | |
| * | Rambus Inc. | 1,609,582 | | 22,172 | |
| * | 2U Inc. | 920,763 | | 22,089 | |
| * | NetScout Systems Inc. | 914,916 | | 22,022 | |
| | Methode Electronics Inc. | 540,740 | | 21,278 | |
| * | TTM Technologies Inc. | 1,413,182 | | 21,268 | |
| * | Avaya Holdings Corp. | 1,566,689 | | 21,150 | |
| * | Sykes Enterprises Inc. | 566,017 | | 20,937 | |
| * | Perficient Inc. | 454,400 | | 20,934 | |
| * | Fitbit Inc. Class A | 3,176,668 | | 20,871 | |
| | NIC Inc. | 932,980 | | 20,852 | |
| * | Pluralsight Inc. Class A | 1,186,015 | | 20,411 | |
| * | MaxLinear Inc. | 947,344 | | 20,103 | |
| * | Amkor Technology Inc. | 1,526,511 | | 19,845 | |
| * | Altair Engineering Inc. Class A | 548,608 | | 19,701 | |
| * | Yext Inc. | 1,360,168 | | 19,614 | |
| * | Virtusa Corp. | 415,879 | | 18,852 | |
| | Benchmark Electronics Inc. | 545,136 | | 18,731 | |
| *,^ | Appian Corp. Class A | 472,543 | | 18,056 | |
| * | Infinera Corp. | 2,242,610 | | 17,806 | |
| * | MACOM Technology Solutions Holdings Inc. | 665,384 | | 17,699 | |
| * | ForeScout Technologies Inc. | 534,833 | | 17,543 | |
| * | SolarWinds Corp. | 938,498 | | 17,409 | |
| * | ePlus Inc. | 200,489 | | 16,899 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | MicroStrategy Inc. Class A | 112,877 | | 16,100 | |
| * | Evo Payments Inc. Class A | 594,053 | | 15,689 | |
| | TiVo Corp. | 1,839,732 | | 15,601 | |
| * | Photronics Inc. | 986,715 | | 15,551 | |
| *,^ | 3D Systems Corp. | 1,725,398 | | 15,097 | |
| * | Crowdstrike Holdings Inc. Class A | 296,884 | | 14,806 | |
| * | Datadog Inc. Class A | 390,249 | | 14,744 | |
| * | Tenable Holdings Inc. | 604,207 | | 14,477 | |
| * | Zuora Inc. Class A | 993,586 | | 14,238 | |
| *,^ | Slack Technologies Inc. Class A | 622,405 | | 13,992 | |
| * | Conduent Inc. | 2,227,047 | | 13,808 | |
| | AVX Corp. | 672,403 | | 13,764 | |
| | Cohu Inc. | 593,671 | | 13,565 | |
| * | Ultra Clean Holdings Inc. | 574,716 | | 13,489 | |
| | CTS Corp. | 445,015 | | 13,355 | |
| | Xperi Corp. | 715,941 | | 13,245 | |
| * | FARO Technologies Inc. | 259,935 | | 13,088 | |
| * | Model N Inc. | 372,851 | | 13,076 | |
| * | Extreme Networks Inc. | 1,773,002 | | 13,067 | |
| | Plantronics Inc. | 475,024 | | 12,987 | |
| * | Cision Ltd. | 1,302,486 | | 12,986 | |
| | MTS Systems Corp. | 266,021 | | 12,777 | |
| | Comtech Telecommunications Corp. | 356,219 | | 12,642 | |
| * | ScanSource Inc. | 338,902 | | 12,522 | |
| | Switch Inc. | 801,101 | | 11,872 | |
| * | Cerence Inc. | 521,678 | | 11,806 | |
| * | Diebold Nixdorf Inc. | 1,110,401 | | 11,726 | |
| * | Axcelis Technologies Inc. | 474,605 | | 11,436 | |
| * | Upland Software Inc. | 313,971 | | 11,212 | |
| ^ | Ebix Inc. | 323,735 | | 10,816 | |
| * | Ichor Holdings Ltd. | 323,969 | | 10,778 | |
| * | Veeco Instruments Inc. | 724,462 | | 10,639 | |
| | Cass Information Systems Inc. | 183,046 | | 10,569 | |
| * | Harmonic Inc. | 1,338,923 | | 10,444 | |
| | TTEC Holdings Inc. | 254,650 | | 10,089 | |
| * | NETGEAR Inc. | 401,076 | | 9,830 | |
| * | SunPower Corp. Class A | 1,224,928 | | 9,554 | |
| * | nLight Inc. | 459,978 | | 9,328 | |
| * | Cloudflare Inc. Class A | 528,924 | | 9,023 | |
| * | Unisys Corp. | 757,781 | | 8,987 | |
| * | CEVA Inc. | 327,670 | | 8,834 | |
| * | Benefitfocus Inc. | 395,075 | | 8,668 | |
| | PC Connection Inc. | 170,979 | | 8,491 | |
| * | OneSpan Inc. | 475,392 | | 8,139 | |
| | QAD Inc. Class A | 157,652 | | 8,029 | |
| * | Digi International Inc. | 428,212 | | 7,588 | |
| *,^ | Medallia Inc. | 240,596 | | 7,485 | |
| | ADTRAN Inc. | 727,039 | | 7,190 | |
| * | Agilysys Inc. | 280,497 | | 7,127 | |
| * | SMART Global Holdings Inc. | 185,482 | | 7,037 | |
| * | PDF Solutions Inc. | 413,604 | | 6,986 | |
| * | Limelight Networks Inc. | 1,701,955 | | 6,944 | |
| | Hackett Group Inc. | 412,862 | | 6,664 | |
| * | Vishay Precision Group Inc. | 194,525 | | 6,614 | |
| * | Digital Turbine Inc. | 916,217 | | 6,533 | |
| | American Software Inc. Class A | 424,482 | | 6,316 | |
| * | Repay Holdings Corp. | 429,712 | | 6,295 | |
| *,^ | Digimarc Corp. | 182,006 | | 6,108 | |
| * | I3 Verticals Inc. Class A | 215,311 | | 6,083 | |
| * | Domo Inc. | 273,301 | | 5,936 | |
| * | A10 Networks Inc. | 855,455 | | 5,877 | |
| * | Calix Inc. | 730,427 | | 5,843 | |
| * | Impinj Inc. | 222,776 | | 5,761 | |
| * | MobileIron Inc. | 1,181,890 | | 5,744 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,^ | Inseego Corp. | 777,659 | | 5,700 | |
| * | Zix Corp. | 838,076 | | 5,682 | |
| * | Endurance International Group Holdings Inc. | 1,207,391 | | 5,675 | |
| * | Kimball Electronics Inc. | 315,392 | | 5,535 | |
| *,^ | GreenSky Inc. Class A | 604,128 | | 5,377 | |
| | NVE Corp. | 74,261 | | 5,302 | |
| * | Napco Security Technologies Inc. | 174,779 | | 5,137 | |
| * | DSP Group Inc. | 318,630 | | 5,015 | |
| * | CalAmp Corp. | 511,450 | | 4,900 | |
| *,^ | PAR Technology Corp. | 158,860 | | 4,883 | |
| * | NeoPhotonics Corp. | 540,035 | | 4,763 | |
| * | Arlo Technologies Inc. | 1,125,668 | | 4,739 | |
| * | Brightcove Inc. | 542,176 | | 4,712 | |
| * | Telaria Inc. | 529,243 | | 4,663 | |
| *,^ | GTT Communications Inc. | 397,564 | | 4,512 | |
| * | International Money Express Inc. | 365,320 | | 4,398 | |
| * | Avid Technology Inc. | 511,360 | | 4,387 | |
| * | Ping Identity Holding Corp. | 178,897 | | 4,347 | |
| * | Mitek Systems Inc. | 560,914 | | 4,291 | |
| *,^ | Paysign Inc. | 406,133 | | 4,122 | |
| * | Alpha & Omega Semiconductor Ltd. | 291,442 | | 3,969 | |
| * | Fastly Inc. Class A | 190,098 | | 3,815 | |
| | Daktronics Inc. | 578,920 | | 3,526 | |
| * | Immersion Corp. | 460,506 | | 3,422 | |
| *,^ | VirnetX Holding Corp. | 899,010 | | 3,416 | |
| * | ChannelAdvisor Corp. | 370,477 | | 3,349 | |
| *,^ | Applied Optoelectronics Inc. | 278,449 | | 3,308 | |
| * | Pagerduty Inc. | 139,531 | | 3,264 | |
| * | Adesto Technologies Corp. | 377,889 | | 3,212 | |
| | Bel Fuse Inc. Class B | 153,335 | | 3,143 | |
| * | GTY Technology Holdings Inc. | 515,700 | | 3,037 | |
| *,^ | Akoustis Technologies Inc. | 377,274 | | 3,018 | |
| * | ShotSpotter Inc. | 115,745 | | 2,951 | |
| * | Telenav Inc. | 577,172 | | 2,805 | |
| * | Iteris Inc. | 547,555 | | 2,732 | |
| *,^ | Intelligent Systems Corp. | 66,648 | | 2,662 | |
| * | Synchronoss Technologies Inc. | 555,246 | | 2,637 | |
| * | Ribbon Communications Inc. | 787,375 | | 2,441 | |
| * | SecureWorks Corp. Class A | 144,423 | | 2,406 | |
| | PC-Tel Inc. | 276,829 | | 2,345 | |
| * | ACM Research Inc. Class A | 123,155 | | 2,272 | |
| * | KVH Industries Inc. | 203,900 | | 2,269 | |
| * | AXT Inc. | 520,222 | | 2,263 | |
| * | Eastman Kodak Co. | 458,775 | | 2,133 | |
| * | Powerfleet Inc. | 321,461 | | 2,093 | |
| * | eGain Corp. | 261,930 | | 2,074 | |
| * | ServiceSource International Inc. | 1,240,245 | | 2,071 | |
| * | CyberOptics Corp. | 112,360 | | 2,065 | |
| * | Intevac Inc. | 282,964 | | 1,998 | |
| * | Clearfield Inc. | 139,964 | | 1,951 | |
| * | Casa Systems Inc. | 444,441 | | 1,818 | |
| * | Luna Innovations Inc. | 244,573 | | 1,783 | |
| * | PRGX Global Inc. | 353,952 | | 1,741 | |
| * | Pixelworks Inc. | 442,513 | | 1,735 | |
| *,^ | SharpSpring Inc. | 137,815 | | 1,581 | |
| * | GSI Technology Inc. | 220,551 | | 1,564 | |
| *,^ | Asure Software Inc. | 182,092 | | 1,490 | |
| * | EMCORE Corp. | 439,935 | | 1,337 | |
| * | Smith Micro Software Inc. | 329,282 | | 1,311 | |
| | TransAct Technologies Inc. | 118,987 | | 1,305 | |
| | GlobalSCAPE Inc. | 131,567 | | 1,293 | |
| * | StarTek Inc. | 161,812 | | 1,291 | |
| * | Seachange International Inc. | 304,309 | | 1,275 | |
| * | Amtech Systems Inc. | 166,221 | | 1,190 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | AstroNova Inc. | 81,755 | | 1,122 | |
| * | Airgain Inc. | 103,786 | | 1,109 | |
| * | LRAD Corp. | 329,911 | | 1,079 | |
| *,^ | MicroVision Inc. | 1,472,459 | | 1,060 | |
| * | Information Services Group Inc. | 416,590 | | 1,054 | |
| * | Park City Group Inc. | 194,170 | | 983 | |
| *,^ | MoneyGram International Inc. | 466,181 | | 979 | |
| * | LGL Group Inc. | 63,393 | | 951 | |
| | TESSCO Technologies Inc. | 83,660 | | 939 | |
| * | Frequency Electronics Inc. | 90,022 | | 919 | |
| *,^ | Research Frontiers Inc. | 290,116 | | 873 | |
| * | Identiv Inc. | 154,044 | | 869 | |
| * | Intellicheck Inc. | 115,814 | | 867 | |
| * | Key Tronic Corp. | 153,764 | | 836 | |
| | CSP Inc. | 63,390 | | 827 | |
| * | Computer Task Group Inc. | 154,714 | | 801 | |
| * | DASAN Zhone Solutions Inc. | 90,450 | | 801 | |
| * | PFSweb Inc. | 204,650 | | 782 | |
| * | Steel Connect Inc. | 529,960 | | 774 | |
| * | IEC Electronics Corp. | 84,880 | | 772 | |
| * | Rimini Street Inc. | 192,247 | | 746 | |
| *,^ | Resonant Inc. | 277,891 | | 672 | |
| * | Everspin Technologies Inc. | 126,537 | | 666 | |
| *,^ | Veritone Inc. | 265,283 | | 661 | |
| *,^ | Wrap Technologies Inc. | 102,897 | | 658 | |
| | Richardson Electronics Ltd. | 116,609 | | 657 | |
| *,^ | Phunware Inc. | 532,279 | | 633 | |
| *,^ | QuickLogic Corp. | 105,000 | | 630 | |
| * | Aware Inc. | 183,320 | | 616 | |
| *,^ | Lantronix Inc. | 166,237 | | 590 | |
| * | Aviat Networks Inc. | 41,586 | | 584 | |
| | RF Industries Ltd. | 83,949 | | 567 | |
| * | Data I/O Corp. | 131,998 | | 553 | |
| * | Synacor Inc. | 363,282 | | 552 | |
| | Communications Systems Inc. | 84,005 | | 518 | |
| * | NetSol Technologies Inc. | 126,277 | | 505 | |
| * | Finjan Holdings Inc. | 230,934 | | 464 | |
| * | inTEST Corp. | 75,524 | | 449 | |
| | QAD Inc. Class B | 11,899 | | 439 | |
| * | Issuer Direct Corp. | 34,425 | | 402 | |
| * | Kopin Corp. | 979,351 | | 393 | |
| * | Perceptron Inc. | 70,502 | | 388 | |
| * | Coda Octopus Group Inc. | 45,539 | | 381 | |
| *,^ | Atomera Inc. | 123,595 | | 381 | |
| * | Aehr Test Systems | 176,801 | | 354 | |
| * | CUI Global Inc. | 317,250 | | 349 | |
| * | RealNetworks Inc. | 280,491 | | 337 | |
| * | Wireless Telecom Group Inc. | 233,098 | | 333 | |
| * | Optical Cable Corp. | 101,490 | | 330 | |
| * | Majesco | 38,482 | | 317 | |
| | Wayside Technology Group Inc. | 18,491 | | 300 | |
| * | GSE Systems Inc. | 180,096 | | 297 | |
| *,^ | Internap Corp. | 268,567 | | 295 | |
| * | WidePoint Corp. | 702,924 | | 280 | |
| * | Exela Technologies Inc. | 684,046 | | 279 | |
| * | BSQUARE Corp. | 186,526 | | 259 | |
| *,^ | ClearSign Combustion Corp. | 337,298 | | 257 | |
| *,^ | Riot Blockchain Inc. | 225,094 | | 252 | |
| * | Innodata Inc. | 215,507 | | 246 | |
| * | CVD Equipment Corp. | 68,981 | | 222 | |
| * | Sonim Technologies Inc. | 59,459 | | 216 | |
| * | Qumu Corp. | 80,502 | | 210 | |
| | Network-1 Technologies Inc. | 93,241 | | 203 | |
| * | Image Sensing Systems Inc. | 44,750 | | 200 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | LightPath Technologies Inc. Class A | 267,231 | | 194 | |
| * | ClearOne Inc. | 114,463 | | 190 | |
| | Support.com Inc. | 145,787 | | 159 | |
| *,^ | AudioEye Inc. | 31,131 | | 146 | |
| *,^ | Net Element Inc. | 44,862 | | 144 | |
| | Bel Fuse Inc. Class A | 8,959 | | 143 | |
| * | eMagin Corp. | 416,604 | | 143 | |
| | BK Technologies Corp. | 40,918 | | 127 | |
| * | Bill.Com Holdings Inc. | 3,211 | | 122 | |
| *,^ | NXT-ID Inc. | 270,096 | | 122 | |
| *,^ | Digital Ally Inc. | 109,792 | | 112 | |
| * | Technical Communications Corp. | 20,218 | | 102 | |
| * | Qualstar Corp. | 18,492 | | 100 | |
| * | Schmitt Industries Inc. | 25,576 | | 99 | |
| * | Westell Technologies Inc. Class A | 109,328 | | 98 | |
| * | BroadVision Inc. | 33,951 | | 89 | |
| *,^ | Neonode Inc. | 44,970 | | 87 | |
| * | TSR Inc. | 23,470 | | 84 | |
| * | Evolving Systems Inc. | 93,207 | | 83 | |
| * | Inuvo Inc. | 273,520 | | 81 | |
| * | One Stop Systems Inc. | 38,877 | | 79 | |
| *,^ | Boxlight Corp. Class A | 69,543 | | 77 | |
| * | ALJ Regional Holdings Inc. | 64,383 | | 74 | |
| * | Usio Inc. | 46,196 | | 72 | |
| * | SITO Mobile Ltd. | 247,815 | | 69 | |
| * | SigmaTron International Inc. | 16,060 | | 65 | |
| * | Marin Software Inc. | 41,968 | | 58 | |
| * | Marathon Patent Group Inc. | 57,647 | | 51 | |
| * | Nortech Systems Inc. | 9,269 | | 45 | |
| * | Socket Mobile Inc. | 27,598 | | 44 | |
| * | Bio-key International Inc. | 78,056 | | 39 | |
| * | Zebra Technologies Corp. | 132 | | 34 | |
| | Cemtrex Inc. | 22,059 | | 29 | |
| * | ADDvantage Technologies Group Inc. | 9,900 | | 24 | |
| *,^ | Applied DNA Sciences Inc. | 4,910 | | 21 | |
| * | Verb Technology Co. Inc. | 13,063 | | 20 | |
| * | Trio-Tech International | 4,900 | | 20 | |
| * | Vislink Technologies Inc. | 71,046 | | 18 | |
| * | MoSys Inc. | 10,086 | | 18 | |
| | AMERI Holdings Inc. | 7,332 | | 17 | |
| * | CPI Card Group Inc. | 15,906 | | 14 | |
| * | Blonder Tongue Laboratories Inc. | 16,400 | | 12 | |
| | Taitron Components Inc. | 2,300 | | 7 | |
| * | Envision Solar International Inc. | 1,100 | | 5 | |
| * | Bridgeline Digital Inc. | 2,753 | | 4 | |
| * | CPS Technologies Corp. | 4,074 | | 4 | |
| * | Summit Wireless Technologies Inc. | 5,755 | | 4 | |
| * | Rubicon Technology Inc. | 361 | | 3 | |
| * | Superconductor Technologies Inc. | 10,085 | | 2 | |
| *,^ | Inpixon | 16,676 | | 2 | |
| * | Priority Technology Holdings Inc. | 106 | | — | |
| | | 13,074,483 | |
| Materials (4.0%) | |
| | RPM International Inc. | 1,845,277 | | 141,643 | |
| * | Crown Holdings Inc. | 1,920,198 | | 139,291 | |
| | Royal Gold Inc. | 933,648 | | 114,138 | |
| | Reliance Steel & Aluminum Co. | 947,025 | | 113,416 | |
| | AptarGroup Inc. | 913,411 | | 105,609 | |
| | Steel Dynamics Inc. | 3,031,148 | | 103,180 | |
| * | Axalta Coating Systems Ltd. | 2,953,782 | | 89,795 | |
| * | Berry Global Group Inc. | 1,869,530 | | 88,784 | |
| | Sonoco Products Co. | 1,423,872 | | 87,881 | |
| | Graphic Packaging Holding Co. | 4,108,560 | | 68,408 | |
| | Huntsman Corp. | 2,816,479 | | 68,046 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Ashland Global Holdings Inc. | 855,371 | | 65,462 | |
| | Scotts Miracle-Gro Co. | 563,230 | | 59,804 | |
| | Valvoline Inc. | 2,680,777 | | 57,395 | |
| * | Alcoa Corp. | 2,602,032 | | 55,970 | |
| | WR Grace & Co. | 795,515 | | 55,567 | |
| | Eagle Materials Inc. | 587,437 | | 53,257 | |
| * | Ingevity Corp. | 600,021 | | 52,430 | |
| | NewMarket Corp. | 105,175 | | 51,170 | |
| | Louisiana-Pacific Corp. | 1,653,477 | | 49,059 | |
| | Balchem Corp. | 451,626 | | 45,899 | |
| | Chemours Co. | 2,322,730 | | 42,018 | |
| | PolyOne Corp. | 1,097,050 | | 40,361 | |
| | Sensient Technologies Corp. | 602,871 | | 39,844 | |
| | Cabot Corp. | 815,424 | | 38,749 | |
| * | Summit Materials Inc. Class A | 1,607,665 | | 38,423 | |
| | Olin Corp. | 2,223,347 | | 38,353 | |
| | Commercial Metals Co. | 1,688,098 | | 37,594 | |
| | HB Fuller Co. | 726,380 | | 37,459 | |
| * | Allegheny Technologies Inc. | 1,805,382 | | 37,299 | |
| | Innospec Inc. | 349,894 | | 36,193 | |
| * | Element Solutions Inc. | 3,085,504 | | 36,039 | |
| | Westlake Chemical Corp. | 494,332 | | 34,677 | |
| | Carpenter Technology Corp. | 687,316 | | 34,215 | |
| | Silgan Holdings Inc. | 1,098,844 | | 34,152 | |
| ^ | Cleveland-Cliffs Inc. | 3,817,756 | | 32,069 | |
| | Domtar Corp. | 800,487 | | 30,611 | |
| | Quaker Chemical Corp. | 185,141 | | 30,459 | |
| | Stepan Co. | 288,921 | | 29,597 | |
| | Compass Minerals International Inc. | 482,401 | | 29,407 | |
| * | Coeur Mining Inc. | 3,437,144 | | 27,772 | |
| | Minerals Technologies Inc. | 479,357 | | 27,625 | |
| ^ | United States Steel Corp. | 2,412,651 | | 27,528 | |
| | O-I Glass Inc. | 2,214,331 | | 26,417 | |
| | Kaiser Aluminum Corp. | 227,413 | | 25,218 | |
| | Hecla Mining Co. | 7,090,143 | | 24,036 | |
| | Worthington Industries Inc. | 531,770 | | 22,430 | |
| | Greif Inc. Class A | 478,149 | | 21,134 | |
| | Boise Cascade Co. | 564,028 | | 20,604 | |
| | Trinseo SA | 534,091 | | 19,874 | |
| | Schweitzer-Mauduit International Inc. | 448,531 | | 18,834 | |
| * | Livent Corp. | 2,091,713 | | 17,884 | |
| * | GCP Applied Technologies Inc. | 777,241 | | 17,651 | |
| | Materion Corp. | 294,367 | | 17,500 | |
| * | Ferro Corp. | 1,176,935 | | 17,454 | |
| | Neenah Inc. | 229,744 | | 16,181 | |
| * | AK Steel Holding Corp. | 4,558,420 | | 14,997 | |
| | Tronox Holdings plc Class A | 1,311,299 | | 14,975 | |
| | Warrior Met Coal Inc. | 686,213 | | 14,500 | |
| | Chase Corp. | 109,072 | | 12,923 | |
| * | Kraton Corp. | 459,760 | | 11,641 | |
| * | Koppers Holdings Inc. | 303,935 | | 11,616 | |
| | PH Glatfelter Co. | 619,792 | | 11,342 | |
| * | PQ Group Holdings Inc. | 574,669 | | 9,873 | |
| * | US Concrete Inc. | 232,739 | | 9,696 | |
| * | Verso Corp. | 511,502 | | 9,222 | |
| | Myers Industries Inc. | 533,908 | | 8,906 | |
| | Innophos Holdings Inc. | 272,677 | | 8,720 | |
| | Schnitzer Steel Industries Inc. | 385,680 | | 8,362 | |
| * | AdvanSix Inc. | 414,349 | | 8,270 | |
| | American Vanguard Corp. | 399,741 | | 7,783 | |
| | Tredegar Corp. | 346,579 | | 7,746 | |
| | Mercer International Inc. | 578,053 | | 7,110 | |
| | Haynes International Inc. | 192,430 | | 6,885 | |
| | SunCoke Energy Inc. | 1,095,052 | | 6,822 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Hawkins Inc. | 145,062 | | 6,645 | |
| * | OMNOVA Solutions Inc. | 654,081 | | 6,613 | |
| * | Resolute Forest Products Inc. | 1,376,957 | | 5,783 | |
| *,^ | McEwen Mining Inc. | 4,501,253 | | 5,717 | |
| * | Century Aluminum Co. | 750,639 | | 5,641 | |
| * | Clearwater Paper Corp. | 257,266 | | 5,495 | |
| | Gold Resource Corp. | 991,431 | | 5,493 | |
| | FutureFuel Corp. | 405,282 | | 5,021 | |
| * | TimkenSteel Corp. | 621,498 | | 4,885 | |
| * | UFP Technologies Inc. | 94,032 | | 4,665 | |
| | Kronos Worldwide Inc. | 337,265 | | 4,519 | |
| * | Intrepid Potash Inc. | 1,460,721 | | 3,959 | |
| * | Forterra Inc. | 274,549 | | 3,174 | |
| * | Ryerson Holding Corp. | 243,758 | | 2,884 | |
| | Rayonier Advanced Materials Inc. | 732,636 | | 2,813 | |
| * | Venator Materials plc | 730,367 | | 2,797 | |
| ^ | Advanced Emissions Solutions Inc. | 254,307 | | 2,670 | |
| | Olympic Steel Inc. | 138,199 | | 2,477 | |
| | United States Lime & Minerals Inc. | 27,379 | | 2,472 | |
| ^ | Tecnoglass Inc. | 274,478 | | 2,264 | |
| * | Trecora Resources | 261,514 | | 1,870 | |
| *,^ | Loop Industries Inc. | 185,640 | | 1,838 | |
| *,^ | Amyris Inc. | 561,150 | | 1,734 | |
| * | Universal Stainless & Alloy Products Inc. | 114,415 | | 1,705 | |
| * | Flotek Industries Inc. | 776,697 | | 1,553 | |
| * | Synalloy Corp. | 106,210 | | 1,371 | |
| * | LSB Industries Inc. | 291,929 | | 1,226 | |
| | Northern Technologies International Corp. | 84,376 | | 1,186 | |
| * | AgroFresh Solutions Inc. | 396,351 | | 1,023 | |
| * | Ranpak Holdings Corp. | 125,163 | | 1,020 | |
| * | Marrone Bio Innovations Inc. | 967,209 | | 977 | |
| * | Mayville Engineering Co. Inc. | 94,477 | | 886 | |
| * | Ampco-Pittsburgh Corp. | 186,083 | | 560 | |
| | Friedman Industries Inc. | 71,623 | | 431 | |
| * | Ramaco Resources Inc. | 91,534 | | 328 | |
| *,^ | Taronis Technologies Inc. | 356,071 | | 323 | |
| * | Core Molding Technologies Inc. | 98,285 | | 319 | |
| *,^ | Golden Minerals Co. | 648,415 | | 201 | |
| *,§ | A Schulman Inc. CVR | 392,279 | | 170 | |
| * | General Moly Inc. | 684,877 | | 156 | |
| * | Paramount Gold Nevada Corp. | 131,789 | | 102 | |
| *,^ | US Gold Corp. | 117,799 | | 95 | |
| * | Solitario Zinc Corp. | 258,205 | | 78 | |
| * | US Antimony Corp. | 177,515 | | 68 | |
| | Greif Inc. Class B | 596 | | 31 | |
| * | Comstock Mining Inc. | 47,870 | | 21 | |
| * | Ikonics Corp. | 926 | | 5 | |
| | | 2,988,518 | |
| Other (0.0%)2 | |
| * | Baudax Bio Inc. | 104,376 | | 722 | |
| * | Sprout Social Inc. Class A | 27,778 | | 446 | |
| *,§ | Tobira Therapeutics CVR Exp. 12/31/2028 | 87,894 | | 398 | |
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 355,460 | | 313 | |
| *,^,§ | Taronis Fuels Inc. | 1,152,975 | | 85 | |
| *,§ | Corium CVR | 370,501 | | 67 | |
| *,§ | NewStar Financial Inc. CVR | 225,787 | | 55 | |
| * | Kadmon Warrants Exp. 09/29/2022 | 105,015 | | 50 | |
| *,§ | Media General Inc. CVR | 1,202,098 | | 47 | |
| *,§ | Aratana Therapeutics Inc. CVR | 701,074 | | 18 | |
| *,^,§ | 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 | |
| *,^,§ | Apricus Biosciences Inc. CVR | 5,736 | | 3 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| *,§ | OncoMed Pharmaceuticals Inc. CVR | 287,555 | | 3 | |
| *,§ | Seventy Seven Energy Inc. Escrow Line | 3,457 | | — | |
| *,§ | TheStreet CVR | 40,470 | | — | |
| *,^,§ | Biosante Pharmaceutical Inc. CVR | 44,795 | | — | |
| | | 2,249 | |
| Real Estate (9.3%) | |
| | Invitation Homes Inc. | 7,628,054 | | 228,613 | |
| | Sun Communities Inc. | 1,312,624 | | 197,025 | |
| | WP Carey Inc. | 2,454,469 | | 196,456 | |
| | Equity LifeStyle Properties Inc. | 2,594,528 | | 182,629 | |
| | VICI Properties Inc. | 6,524,563 | | 166,703 | |
| | Medical Properties Trust Inc. | 7,338,501 | | 154,916 | |
| | Camden Property Trust | 1,371,054 | | 145,469 | |
| | VEREIT Inc. | 15,159,187 | | 140,071 | |
| | Liberty Property Trust | 2,234,515 | | 134,183 | |
| | National Retail Properties Inc. | 2,446,015 | | 131,155 | |
| | Omega Healthcare Investors Inc. | 3,096,923 | | 131,155 | |
| | Jones Lang LaSalle Inc. | 736,002 | | 128,131 | |
| | Gaming and Leisure Properties Inc. | 2,888,079 | | 124,332 | |
| | Kilroy Realty Corp. | 1,380,241 | | 115,802 | |
| | STORE Capital Corp. | 3,038,499 | | 113,154 | |
| | Lamar Advertising Co. Class A | 1,218,392 | | 108,754 | |
| | CyrusOne Inc. | 1,608,548 | | 105,247 | |
| | Douglas Emmett Inc. | 2,335,672 | | 102,536 | |
| | Americold Realty Trust | 2,722,949 | | 95,467 | |
| | American Homes 4 Rent Class A | 3,615,251 | | 94,756 | |
| | American Campus Communities Inc. | 1,963,392 | | 92,338 | |
| | Brixmor Property Group Inc. | 4,205,486 | | 90,881 | |
| | Healthcare Trust of America Inc. Class A | 2,961,113 | | 89,662 | |
| | Park Hotels & Resorts Inc. | 3,404,381 | | 88,071 | |
| | CubeSmart | 2,756,103 | | 86,762 | |
| | Cousins Properties Inc. | 2,075,698 | | 85,519 | |
| | Hudson Pacific Properties Inc. | 2,189,904 | | 82,450 | |
| | EPR Properties | 1,118,684 | | 79,024 | |
| * | Howard Hughes Corp. | 612,187 | | 77,625 | |
| | First Industrial Realty Trust Inc. | 1,801,679 | | 74,788 | |
| | EastGroup Properties Inc. | 549,554 | | 72,909 | |
| | Highwoods Properties Inc. | 1,477,736 | | 72,276 | |
| | Life Storage Inc. | 666,735 | | 72,194 | |
| | Rexford Industrial Realty Inc. | 1,571,501 | | 71,770 | |
| | Spirit Realty Capital Inc. | 1,412,596 | | 69,471 | |
| | JBG SMITH Properties | 1,691,357 | | 67,468 | |
| | Ryman Hospitality Properties Inc. | 772,545 | | 66,949 | |
| | Healthcare Realty Trust Inc. | 1,914,869 | | 63,899 | |
| | Rayonier Inc. | 1,823,237 | | 59,729 | |
| | CoreSite Realty Corp. | 532,021 | | 59,650 | |
| | STAG Industrial Inc. | 1,872,142 | | 59,103 | |
| | Sabra Health Care REIT Inc. | 2,726,857 | | 58,191 | |
| | Service Properties Trust | 2,362,018 | | 57,468 | |
| | Equity Commonwealth | 1,728,421 | | 56,744 | |
| | Outfront Media Inc. | 2,054,563 | | 55,103 | |
| | Weingarten Realty Investors | 1,715,802 | | 53,602 | |
| | Terreno Realty Corp. | 956,964 | | 51,810 | |
| | National Health Investors Inc. | 628,173 | | 51,184 | |
| | Pebblebrook Hotel Trust | 1,864,095 | | 49,976 | |
| | Physicians Realty Trust | 2,613,102 | | 49,492 | |
| | Apple Hospitality REIT Inc. | 2,978,544 | | 48,401 | |
| | Corporate Office Properties Trust | 1,608,639 | | 47,262 | |
| | PS Business Parks Inc. | 283,579 | | 46,754 | |
| | QTS Realty Trust Inc. Class A | 832,960 | | 45,205 | |
| | Sunstone Hotel Investors Inc. | 3,196,535 | | 44,496 | |
| | RLJ Lodging Trust | 2,393,177 | | 42,407 | |
| | Agree Realty Corp. | 601,683 | | 42,220 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | PotlatchDeltic Corp. | 963,060 | | 41,672 | |
| ^ | Macerich Co. | 1,544,617 | | 41,581 | |
| | Retail Properties of America Inc. | 3,028,085 | | 40,576 | |
| | Piedmont Office Realty Trust Inc. Class A | 1,803,231 | | 40,104 | |
| | Paramount Group Inc. | 2,858,055 | | 39,784 | |
| | Brandywine Realty Trust | 2,516,609 | | 39,637 | |
| | Kennedy-Wilson Holdings Inc. | 1,749,448 | | 39,013 | |
| | Lexington Realty Trust Class B | 3,464,952 | | 36,798 | |
| | Xenia Hotels & Resorts Inc. | 1,625,604 | | 35,129 | |
| | Columbia Property Trust Inc. | 1,668,149 | | 34,881 | |
| | Colony Capital Inc. | 7,017,778 | | 33,334 | |
| | Washington REIT | 1,131,423 | | 33,015 | |
| | Acadia Realty Trust | 1,248,820 | | 32,382 | |
| | Urban Edge Properties | 1,651,908 | | 31,684 | |
| | American Assets Trust Inc. | 689,554 | | 31,651 | |
| | DiamondRock Hospitality Co. | 2,822,546 | | 31,274 | |
| | Newmark Group Inc. Class A | 2,285,014 | | 30,745 | |
| | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 940,067 | | 30,251 | |
| | Mack-Cali Realty Corp. | 1,301,573 | | 30,105 | |
| | CoreCivic Inc. | 1,706,634 | | 29,661 | |
| | SITE Centers Corp. | 2,110,709 | | 29,592 | |
| | Empire State Realty Trust Inc. | 2,105,985 | | 29,400 | |
| | Retail Opportunity Investments Corp. | 1,638,640 | | 28,938 | |
| | Essential Properties Realty Trust Inc. | 1,163,028 | | 28,855 | |
| | GEO Group Inc. | 1,735,284 | | 28,823 | |
| | Senior Housing Properties Trust | 3,414,501 | | 28,818 | |
| | National Storage Affiliates Trust | 856,444 | | 28,794 | |
| | CareTrust REIT Inc. | 1,347,617 | | 27,801 | |
| | Four Corners Property Trust Inc. | 965,278 | | 27,211 | |
| | Taubman Centers Inc. | 867,366 | | 26,966 | |
| | LTC Properties Inc. | 574,058 | | 25,701 | |
| | Easterly Government Properties Inc. | 1,071,198 | | 25,420 | |
| *,^ | Redfin Corp. | 1,193,694 | | 25,235 | |
| | Global Net Lease Inc. | 1,239,046 | | 25,128 | |
| | Kite Realty Group Trust | 1,193,380 | | 23,307 | |
| | Uniti Group Inc. | 2,745,227 | | 22,538 | |
| | Office Properties Income Trust | 697,435 | | 22,416 | |
| | Industrial Logistics Properties Trust | 936,260 | | 20,991 | |
| | Universal Health Realty Income Trust | 178,455 | | 20,943 | |
| | American Finance Trust Inc. | 1,506,913 | | 19,982 | |
| | Alexander & Baldwin Inc. | 947,070 | | 19,851 | |
| ^ | Tanger Factory Outlet Centers Inc. | 1,324,329 | | 19,507 | |
| | Monmouth Real Estate Investment Corp. | 1,336,817 | | 19,357 | |
| ^ | Seritage Growth Properties Class A | 473,018 | | 18,959 | |
| | Summit Hotel Properties Inc. | 1,503,362 | | 18,551 | |
| | Independence Realty Trust Inc. | 1,280,992 | | 18,036 | |
| | RPT Realty | 1,149,651 | | 17,291 | |
| ^ | Realogy Holdings Corp. | 1,649,279 | | 15,965 | |
| | Getty Realty Corp. | 476,806 | | 15,673 | |
| | NexPoint Residential Trust Inc. | 317,821 | | 14,302 | |
| | Armada Hoffler Properties Inc. | 773,138 | | 14,187 | |
| | Franklin Street Properties Corp. | 1,475,345 | | 12,629 | |
| ^ | Innovative Industrial Properties Inc. | 164,447 | | 12,477 | |
| | iStar Inc. | 838,976 | | 12,174 | |
| | Chatham Lodging Trust | 660,753 | | 12,118 | |
| * | Marcus & Millichap Inc. | 324,708 | | 12,095 | |
| | Community Healthcare Trust Inc. | 280,817 | | 12,036 | |
| | Urstadt Biddle Properties Inc. Class A | 478,749 | | 11,892 | |
| | Investors Real Estate Trust | 163,482 | | 11,852 | |
| | City Office REIT Inc. | 778,337 | | 10,523 | |
| | Alexander's Inc. | 31,333 | | 10,351 | |
| | RMR Group Inc. Class A | 222,763 | | 10,167 | |
| ^ | Washington Prime Group Inc. | 2,737,978 | | 9,966 | |
| | Gladstone Commercial Corp. | 452,943 | | 9,901 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Front Yard Residential Corp. | 747,569 | | 9,225 | |
| | RE/MAX Holdings Inc. Class A | 231,300 | | 8,903 | |
| | Preferred Apartment Communities Inc. Class A | 668,142 | | 8,900 | |
| | New Senior Investment Group Inc. | 1,157,472 | | 8,855 | |
| * | St. Joe Co. | 435,088 | | 8,628 | |
| | CorEnergy Infrastructure Trust Inc. | 186,544 | | 8,340 | |
| | Saul Centers Inc. | 157,682 | | 8,322 | |
| | Whitestone REIT | 602,130 | | 8,201 | |
| | CatchMark Timber Trust Inc. Class A | 699,383 | | 8,022 | |
| | UMH Properties Inc. | 500,275 | | 7,869 | |
| | Hersha Hospitality Trust Class A | 540,602 | | 7,866 | |
| | Retail Value Inc. | 199,665 | | 7,348 | |
| | Global Medical REIT Inc. | 542,891 | | 7,182 | |
| ^ | Safehold Inc. | 177,628 | | 7,158 | |
| | One Liberty Properties Inc. | 240,239 | | 6,532 | |
| | CorePoint Lodging Inc. | 604,126 | | 6,452 | |
| | Jernigan Capital Inc. | 318,226 | | 6,091 | |
| * | FRP Holdings Inc. | 104,709 | | 5,216 | |
| * | Tejon Ranch Co. | 320,167 | | 5,116 | |
| ^ | Pennsylvania REIT | 910,555 | | 4,853 | |
| | Consolidated-Tomoka Land Co. | 76,820 | | 4,634 | |
| * | Forestar Group Inc. | 216,878 | | 4,522 | |
| | Braemar Hotels & Resorts Inc. | 470,292 | | 4,200 | |
| *,^ | eXp World Holdings Inc. | 357,295 | | 4,048 | |
| | Ashford Hospitality Trust Inc. | 1,373,231 | | 3,831 | |
| | Cedar Realty Trust Inc. | 1,205,686 | | 3,557 | |
| | Bluerock Residential Growth REIT Inc. Class A | 284,836 | | 3,432 | |
| | Plymouth Industrial REIT Inc. | 180,988 | | 3,328 | |
| | Gladstone Land Corp. | 254,782 | | 3,304 | |
| * | Altisource Portfolio Solutions SA | 152,774 | | 2,953 | |
| ^ | Farmland Partners Inc. | 432,882 | | 2,935 | |
| * | Stratus Properties Inc. | 87,388 | | 2,707 | |
| ^ | CBL & Associates Properties Inc. | 2,570,027 | | 2,699 | |
| * | Rafael Holdings Inc. Class B | 148,313 | | 2,646 | |
| | BRT Apartments Corp. | 146,907 | | 2,493 | |
| | Clipper Realty Inc. | 191,332 | | 2,028 | |
| | Griffin Industrial Realty Inc. | 33,575 | | 1,328 | |
| | Sotherly Hotels Inc. | 166,788 | | 1,131 | |
| * | Maui Land & Pineapple Co. Inc. | 87,932 | | 989 | |
| * | Transcontinental Realty Investors Inc. | 22,564 | | 900 | |
| * | Trinity Place Holdings Inc. | 293,641 | | 884 | |
| | Condor Hospitality Trust Inc. | 70,224 | | 775 | |
| | Postal Realty Trust Inc. Class A | 36,302 | | 615 | |
| | Spirit MTA REIT | 653,668 | | 502 | |
| * | InterGroup Corp. | 6,800 | | 253 | |
| *,^ | Wheeler REIT Inc. | 136,025 | | 223 | |
| | CIM Commercial Trust Corp. | 13,043 | | 189 | |
| | Global Self Storage Inc. | 43,032 | | 185 | |
| * | JW Mays Inc. | 4,600 | | 139 | |
| * | American Realty Investors Inc. | 6,484 | | 111 | |
| * | Altisource Asset Management Corp. | 2,628 | | 32 | |
| | HMG/Courtland Properties Inc. | 1,000 | | 13 | |
| * | CKX Lands Inc. | 1,000 | | 9 | |
| | Urstadt Biddle Properties Inc. | 308 | | 6 | |
| * | Power REIT | 200 | | 2 | |
| | InnSuites Hospitality Trust | 108 | | — | |
| | | 6,950,085 | |
| Utilities (2.7%) | |
| | Vistra Energy Corp. | 6,350,570 | | 146,000 | |
| | Aqua America Inc. | 3,076,575 | | 144,415 | |
| | UGI Corp. | 2,961,228 | | 133,729 | |
| | OGE Energy Corp. | 2,828,049 | | 125,763 | |
| | MDU Resources Group Inc. | 2,852,659 | | 84,753 | |
| | IDACORP Inc. | 721,951 | | 77,104 | |
| | | | | | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Hawaiian Electric Industries Inc. | 1,537,161 | | 72,031 | |
| | Portland General Electric Co. | 1,274,006 | | 71,077 | |
| | ONE Gas Inc. | 750,765 | | 70,249 | |
| | Black Hills Corp. | 882,673 | | 69,325 | |
| | New Jersey Resources Corp. | 1,364,062 | | 60,796 | |
| | Spire Inc. | 725,305 | | 60,425 | |
| | ALLETE Inc. | 741,048 | | 60,151 | |
| | Southwest Gas Holdings Inc. | 777,836 | | 59,092 | |
| | PNM Resources Inc. | 1,132,822 | | 57,445 | |
| | National Fuel Gas Co. | 1,213,867 | | 56,493 | |
| | Ormat Technologies Inc. | 720,508 | | 53,692 | |
| | NorthWestern Corp. | 711,038 | | 50,960 | |
| | American States Water Co. | 529,908 | | 45,911 | |
| | Avista Corp. | 951,198 | | 45,743 | |
| | South Jersey Industries Inc. | 1,313,445 | | 43,317 | |
| | Avangrid Inc. | 780,876 | | 39,950 | |
| | MGE Energy Inc. | 503,748 | | 39,705 | |
| | El Paso Electric Co. | 567,963 | | 38,559 | |
| | Pattern Energy Group Inc. Class A | 1,321,245 | | 35,350 | |
| | California Water Service Group | 677,252 | | 34,919 | |
| | Northwest Natural Holding Co. | 432,668 | | 31,901 | |
| | Otter Tail Corp. | 566,949 | | 29,079 | |
| | SJW Group | 376,924 | | 26,784 | |
| | Chesapeake Utilities Corp. | 239,682 | | 22,969 | |
| | Clearway Energy Inc. | 1,122,498 | | 22,394 | |
| | TerraForm Power Inc. Class A | 1,148,126 | | 17,670 | |
| | Middlesex Water Co. | 250,734 | | 15,939 | |
| | Unitil Corp. | 201,225 | | 12,440 | |
| | Clearway Energy Inc. Class A | 458,202 | | 8,761 | |
| | York Water Co. | 187,360 | | 8,639 | |
| * | AquaVenture Holdings Ltd. | 297,674 | | 8,073 | |
| | Artesian Resources Corp. Class A | 123,138 | | 4,582 | |
| *,^ | Cadiz Inc. | 405,152 | | 4,465 | |
| * | Sunnova Energy International Inc. | 229,710 | | 2,564 | |
| | RGC Resources Inc. | 88,840 | | 2,539 | |
| * | Pure Cycle Corp. | 198,874 | | 2,504 | |
| | Genie Energy Ltd. Class B | 286,048 | | 2,211 | |
| | Global Water Resources Inc. | 120,540 | | 1,585 | |
| | Spark Energy Inc. Class A | 147,300 | | 1,360 | |
| | | 2,003,413 | |
| Total Common Stocks (Cost $55,774,347) | | 73,751,167 | |
| | | Coupon | | | | | | | |
| Preferred Stocks (0.0%) | | | | | | | | |
| | Air T Funding Pfd., 8.000%, 6/7/24(Cost $14) | | | | | 7,047 | | 18 | |
| Temporary Cash Investments (2.9%)1 | | | | | | | | |
| Money Market Fund (2.9%) | | | | | | | | |
| 3,4 | Vanguard Market Liquidity Fund | 1.816% | | | | 21,447,682 | | 2,144,983 | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| 5 | United States Treasury Bill | 1.669% | | 1/9/20 | | 6,000 | | 5,998 | |
| 5 | United States Treasury Bill | 1.566% | | 2/20/20 | | 17,000 | | 16,965 | |
Vanguard®Extended Market Index Fund
Schedule of Investments
December 31, 2019
| | | Coupon | | Maturity
Date | | Face
Amount
($000 | ) | Market
Value
($000 | ) |
| 5 | United States Treasury Bill | 1.527% | | 4/30/20 | | 1,500 | | 1,492 | |
| | | | | | | | | 24,455 | |
| Total Temporary Cash Investments (Cost $2,169,137) | 2,169,438 | |
| Total Investments (101.8%) (Cost $57,943,498) | 75,920,623 | |
| Other Assets and Liabilities – Net (-1.8%)4,5,6 | (1,377,056 | ) |
| Net Assets (100%) | 74,543,567 | |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,286,160,000. |
| § | 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 1.8%, 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 | Collateral of $1,370,243,000 was received for securities on loan, of which $1,358,552,000 is held in Vanguard Market Liquidity Fund and $11,691,000 is held in cash. |
| 5 | Securities with a value of $24,453,000 and cash of $1,693,000 have been segregated as initial margin for open futures contracts. |
| 6 | Cash of $2,820,000 has been segregated as collateral for open over-the-counter swap contracts. |
| | CPR—Contingent Payment Rights. |
| | CVR—Contingent Value Rights. |
| | REIT—Real Estate Investment Trust. |
| | © 2020 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| | |
| | SNA980 022020 |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| Common Stocks (99.7%)1 | |
| Basic Materials (2.2%) | |
| | Linde plc | 15,134,929 | | 3,222,226 | |
| | Air Products & Chemicals Inc. | 6,202,815 | | 1,457,599 | |
| | Ecolab Inc. | 7,305,117 | | 1,409,815 | |
| | DuPont de Nemours Inc. | 20,873,003 | | 1,340,047 | |
| | Dow Inc. | 20,929,539 | | 1,145,474 | |
| | Newmont Goldcorp Corp. | 23,107,807 | | 1,004,034 | |
| | PPG Industries Inc. | 6,646,159 | | 887,196 | |
| | LyondellBasell Industries NV Class A | 7,047,120 | | 665,812 | |
| | Freeport-McMoRan Inc. | 38,833,880 | | 509,501 | |
| | International Paper Co. | 11,058,509 | | 509,244 | |
| | Nucor Corp. | 8,537,296 | | 480,479 | |
| | Celanese Corp. Class A | 3,406,597 | | 419,420 | |
| | International Flavors & Fragrances Inc. | 3,004,135 | | 387,593 | |
| | FMC Corp. | 3,655,457 | | 364,888 | |
| | Avery Dennison Corp. | 2,355,232 | | 308,111 | |
| | CF Industries Holdings Inc. | 6,130,780 | | 292,683 | |
| | RPM International Inc. | 3,648,559 | | 280,063 | |
| | Eastman Chemical Co. | 3,457,498 | | 274,041 | |
| | Royal Gold Inc. | 1,842,944 | | 225,300 | |
| | Albemarle Corp. | 2,984,304 | | 217,974 | |
| | Reliance Steel & Aluminum Co. | 1,777,724 | | 212,900 | |
| | Mosaic Co. | 9,628,626 | | 208,363 | |
| | Steel Dynamics Inc. | 5,791,420 | | 197,140 | |
| * | Axalta Coating Systems Ltd. | 5,902,140 | | 179,425 | |
| | Huntsman Corp. | 5,801,106 | | 140,155 | |
| | WR Grace & Co. | 1,865,484 | | 130,304 | |
| | Ashland Global Holdings Inc. | 1,702,064 | | 130,259 | |
| | NewMarket Corp. | 266,961 | | 129,882 | |
| | Scotts Miracle-Gro Co. | 1,107,569 | | 117,602 | |
| * | Univar Solutions Inc. | 4,745,763 | | 115,037 | |
| * | Alcoa Corp. | 5,232,726 | | 112,556 | |
| * | Ingevity Corp. | 1,181,170 | | 103,211 | |
| | Balchem Corp. | 913,136 | | 92,802 | |
| | Chemours Co. | 4,591,159 | | 83,054 | |
| | PolyOne Corp. | 2,178,343 | | 80,141 | |
| | Sensient Technologies Corp. | 1,187,405 | | 78,476 | |
| | Olin Corp. | 4,476,055 | | 77,212 | |
| | Westlake Chemical Corp. | 1,084,804 | | 76,099 | |
| | HB Fuller Co. | 1,437,003 | | 74,106 | |
| | Commercial Metals Co. | 3,321,882 | | 73,978 | |
| | Innospec Inc. | 685,977 | | 70,957 | |
| * | Element Solutions Inc. | 6,062,971 | | 70,815 | |
| | Cabot Corp. | 1,448,198 | | 68,818 | |
| | Carpenter Technology Corp. | 1,357,669 | | 67,585 | |
| ^ | Cleveland-Cliffs Inc. | 7,536,994 | | 63,311 | |
| | Quaker Chemical Corp. | 378,340 | | 62,244 | |
| | Domtar Corp. | 1,610,013 | | 61,567 | |
| | Compass Minerals International Inc. | 955,846 | | 58,268 | |
| | Stepan Co. | 565,290 | | 57,908 | |
| | Minerals Technologies Inc. | 978,061 | | 56,366 | |
| ^ | United States Steel Corp. | 4,764,758 | | 54,366 | |
| * | Coeur Mining Inc. | 6,144,234 | | 49,645 | |
| | Kaiser Aluminum Corp. | 447,290 | | 49,600 | |
| | Hecla Mining Co. | 13,977,833 | | 47,385 | |
| | Worthington Industries Inc. | 1,044,716 | | 44,066 | |
| * | GCP Applied Technologies Inc. | 1,689,907 | | 38,378 | |
| | Schweitzer-Mauduit International Inc. | 874,408 | | 36,716 | |
| * | Ferro Corp. | 2,332,299 | | 34,588 | |
| | Materion Corp. | 558,542 | | 33,205 | |
| | Neenah Inc. | 462,801 | | 32,595 | |
| | Warrior Met Coal Inc. | 1,413,990 | | 29,878 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Arch Coal Inc. Class A | 411,588 | | 29,527 | |
| * | AK Steel Holding Corp. | 8,240,587 | | 27,112 | |
| | Tronox Holdings plc Class A | 2,358,953 | | 26,939 | |
| | Chase Corp. | 194,326 | | 23,024 | |
| * | Kraton Corp. | 905,710 | | 22,933 | |
| | PH Glatfelter Co. | 1,228,250 | | 22,477 | |
| | GrafTech International Ltd. | 1,901,307 | | 22,093 | |
| * | Koppers Holdings Inc. | 534,736 | | 20,438 | |
| * | PQ Group Holdings Inc. | 1,175,974 | | 20,203 | |
| | Tredegar Corp. | 846,265 | | 18,914 | |
| | Innophos Holdings Inc. | 560,944 | | 17,939 | |
| | Peabody Energy Corp. | 1,846,360 | | 16,839 | |
| * | Verso Corp. | 896,052 | | 16,156 | |
| * | AdvanSix Inc. | 804,471 | | 16,057 | |
| | SunCoke Energy Inc. | 2,568,204 | | 16,000 | |
| | Schnitzer Steel Industries Inc. | 710,227 | | 15,398 | |
| | American Vanguard Corp. | 778,580 | | 15,159 | |
| * | OMNOVA Solutions Inc. | 1,285,015 | | 12,992 | |
| | Haynes International Inc. | 362,822 | | 12,982 | |
| | US Silica Holdings Inc. | 2,090,691 | | 12,858 | |
| | Hawkins Inc. | 280,320 | | 12,841 | |
| * | Century Aluminum Co. | 1,417,898 | | 10,656 | |
| | Gold Resource Corp. | 1,877,491 | | 10,401 | |
| * | Clearwater Paper Corp. | 465,239 | | 9,938 | |
| | Kronos Worldwide Inc. | 739,566 | | 9,910 | |
| | FutureFuel Corp. | 731,582 | | 9,064 | |
| * | TimkenSteel Corp. | 1,000,122 | | 7,861 | |
| * | Resolute Forest Products Inc. | 1,670,830 | | 7,017 | |
| * | CONSOL Energy Inc. | 473,551 | | 6,871 | |
| * | Intrepid Potash Inc. | 2,429,814 | | 6,585 | |
| | Rayonier Advanced Materials Inc. | 1,616,669 | | 6,208 | |
| *,^ | ChromaDex Corp. | 1,265,117 | | 5,453 | |
| | Olympic Steel Inc. | 298,044 | | 5,341 | |
| *,^ | Energy Fuels Inc. | 2,667,456 | | 5,095 | |
| * | Ryerson Holding Corp. | 410,113 | | 4,852 | |
| * | Contura Energy Inc. | 526,551 | | 4,765 | |
| *,^ | Uranium Energy Corp. | 4,831,743 | | 4,441 | |
| * | Universal Stainless & Alloy Products Inc. | 275,820 | | 4,110 | |
| * | Synalloy Corp. | 280,770 | | 3,625 | |
| * | LSB Industries Inc. | 681,035 | | 2,860 | |
| *,^ | Ur-Energy Inc. | 4,610,759 | | 2,713 | |
| *,^ | AgroFresh Solutions Inc. | 1,033,962 | | 2,668 | |
| | Northern Technologies International Corp. | 159,019 | | 2,236 | |
| *,^ | Hi-Crush Inc. | 2,164,803 | | 1,911 | |
| * | Marrone Bio Innovations Inc. | 1,883,507 | | 1,902 | |
| | Hallador Energy Co. | 471,119 | | 1,399 | |
| * | Ampco-Pittsburgh Corp. | 420,452 | | 1,266 | |
| | United-Guardian Inc. | 52,756 | | 1,037 | |
| * | Ramaco Resources Inc. | 231,486 | | 829 | |
| | Friedman Industries Inc. | 125,686 | | 757 | |
| * | Centrus Energy Corp. Class A | 95,059 | | 654 | |
| * | General Moly Inc. | 1,633,202 | | 371 | |
| * | Senestech Inc. | 325,961 | | 179 | |
| * | US Antimony Corp. | 409,122 | | 158 | |
| | Flexible Solutions International Inc. | 54,447 | | 140 | |
| *,^ | US Gold Corp. | 133,257 | | 108 | |
| * | NL Industries Inc. | 26,976 | | 105 | |
| * | Paramount Gold Nevada Corp. | 65,976 | | 51 | |
| * | Golden Minerals Co. | 130,813 | | 41 | |
| * | Solitario Zinc Corp. | 107,374 | | 32 | |
| * | Ikonics Corp. | 2,096 | | 11 | |
| | | | | 19,444,965 | |
| Consumer Goods (7.9%) | |
| | Procter & Gamble Co. | 70,247,910 | | 8,773,964 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Coca-Cola Co. | 108,645,223 | | 6,013,513 | |
| | PepsiCo Inc. | 39,282,426 | | 5,368,729 | |
| | Philip Morris International Inc. | 43,826,136 | | 3,729,166 | |
| | NIKE Inc. Class B | 35,096,598 | | 3,555,636 | |
| | Altria Group Inc. | 52,623,126 | | 2,626,420 | |
| | Mondelez International Inc. Class A | 40,570,077 | | 2,234,600 | |
| *,^ | Tesla Inc. | 4,061,017 | | 1,698,845 | |
| | Colgate-Palmolive Co. | 24,144,877 | | 1,662,133 | |
| | Kimberly-Clark Corp. | 9,666,055 | | 1,329,566 | |
| | General Motors Co. | 36,177,178 | | 1,324,085 | |
| | Estee Lauder Cos. Inc. Class A | 6,261,287 | | 1,293,206 | |
| | Activision Blizzard Inc. | 21,645,599 | | 1,286,182 | |
| | Ford Motor Co. | 109,743,140 | | 1,020,611 | |
| | VF Corp. | 9,554,534 | | 952,205 | |
| | General Mills Inc. | 17,007,425 | | 910,918 | |
| * | Electronic Arts Inc. | 8,230,572 | | 884,869 | |
| | Constellation Brands Inc. Class A | 4,250,806 | | 806,590 | |
| * | Lululemon Athletica Inc. | 3,291,813 | | 762,614 | |
| | Tyson Foods Inc. Class A | 8,317,746 | | 757,248 | |
| | Archer-Daniels-Midland Co. | 15,666,228 | | 726,130 | |
| | Aptiv plc | 7,190,659 | | 682,897 | |
| * | Monster Beverage Corp. | 10,616,245 | | 674,662 | |
| | Corteva Inc. | 21,074,302 | | 622,956 | |
| | Hershey Co. | 4,181,939 | | 614,661 | |
| | Kraft Heinz Co. | 18,935,664 | | 608,403 | |
| | McCormick & Co. Inc. | 3,480,731 | | 590,784 | |
| | Brown-Forman Corp. Class B | 8,230,479 | | 556,380 | |
| | Clorox Co. | 3,538,701 | | 543,332 | |
| | DR Horton Inc. | 9,881,146 | | 521,230 | |
| | Kellogg Co. | 7,211,280 | | 498,732 | |
| | Church & Dwight Co. Inc. | 6,932,191 | | 487,610 | |
| | Conagra Brands Inc. | 13,688,139 | | 468,682 | |
| | Lennar Corp. Class A | 7,887,210 | | 440,027 | |
| | Genuine Parts Co. | 3,894,236 | | 413,685 | |
| | Garmin Ltd. | 4,014,916 | | 391,695 | |
| * | Take-Two Interactive Software Inc. | 3,198,333 | | 391,572 | |
| | Hasbro Inc. | 3,622,409 | | 382,563 | |
| * | NVR Inc. | 98,911 | | 376,694 | |
| | Lamb Weston Holdings Inc. | 4,100,190 | | 352,739 | |
| | Hormel Foods Corp. | 7,508,017 | | 338,687 | |
| | JM Smucker Co. | 3,046,937 | | 317,278 | |
| | PulteGroup Inc. | 7,280,355 | | 282,478 | |
| * | LKQ Corp. | 7,784,363 | | 277,902 | |
| | Campbell Soup Co. | 5,484,164 | | 271,027 | |
| | Molson Coors Brewing Co. Class B | 4,964,569 | | 267,590 | |
| | Whirlpool Corp. | 1,783,732 | | 263,154 | |
| * | US Foods Holding Corp. | 6,160,319 | | 258,056 | |
| | Fortune Brands Home & Security Inc. | 3,924,027 | | 256,396 | |
| | BorgWarner Inc. | 5,818,734 | | 252,417 | |
| | Lear Corp. | 1,701,759 | | 233,481 | |
| ^ | Keurig Dr Pepper Inc. | 7,934,550 | | 229,705 | |
| | Pool Corp. | 1,067,699 | | 226,758 | |
| * | Mohawk Industries Inc. | 1,615,537 | | 220,327 | |
| | PVH Corp. | 2,085,691 | | 219,310 | |
| | Bunge Ltd. | 3,791,455 | | 218,198 | |
| | Tapestry Inc. | 7,785,989 | | 209,988 | |
| | Newell Brands Inc. | 10,756,552 | | 206,741 | |
| | Gentex Corp. | 7,131,260 | | 206,664 | |
| * | Post Holdings Inc. | 1,799,775 | | 196,355 | |
| * | WABCO Holdings Inc. | 1,436,623 | | 194,662 | |
| | Leggett & Platt Inc. | 3,684,117 | | 187,264 | |
| | Ingredion Inc. | 1,877,205 | | 174,486 | |
| * | Middleby Corp. | 1,566,526 | | 171,566 | |
| | Polaris Inc. | 1,637,223 | | 166,506 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Harley-Davidson Inc. | 4,357,801 | | 162,067 | |
| * | Skechers U.S.A. Inc. Class A | 3,745,337 | | 161,761 | |
| *,^ | Wayfair Inc. | 1,761,430 | | 159,180 | |
| | Ralph Lauren Corp. Class A | 1,334,207 | | 156,396 | |
| * | Capri Holdings Ltd. | 4,057,555 | | 154,796 | |
| | Hanesbrands Inc. | 10,144,260 | | 150,642 | |
| * | Zynga Inc. Class A | 24,014,936 | | 146,971 | |
| | Toll Brothers Inc. | 3,590,882 | | 141,876 | |
| | Brunswick Corp. | 2,304,070 | | 138,198 | |
| | Carter's Inc. | 1,246,513 | | 136,294 | |
| * | Deckers Outdoor Corp. | 789,599 | | 133,332 | |
| *,^ | Mattel Inc. | 9,706,289 | | 131,520 | |
| * | Darling Ingredients Inc. | 4,621,428 | | 129,770 | |
| * | Herbalife Nutrition Ltd. | 2,702,156 | | 128,812 | |
| * | Helen of Troy Ltd. | 705,039 | | 126,759 | |
| * | Tempur Sealy International Inc. | 1,368,424 | | 119,135 | |
| *,^ | Under Armour Inc. Class A | 5,481,887 | | 118,409 | |
| | Valvoline Inc. | 5,304,627 | | 113,572 | |
| | Flowers Foods Inc. | 5,108,089 | | 111,050 | |
| | Thor Industries Inc. | 1,472,493 | | 109,392 | |
| | Goodyear Tire & Rubber Co. | 6,531,268 | | 101,594 | |
| * | Under Armour Inc. Class C | 5,281,232 | | 101,294 | |
| | Sanderson Farms Inc. | 559,343 | | 98,567 | |
| | Coty Inc. Class A | 8,492,762 | | 95,544 | |
| | Steven Madden Ltd. | 2,159,509 | | 92,880 | |
| * | Boston Beer Co. Inc. Class A | 231,968 | | 87,649 | |
| ^ | Energizer Holdings Inc. | 1,743,502 | | 87,559 | |
| | Lancaster Colony Corp. | 539,254 | | 86,335 | |
| | KB Home | 2,489,883 | | 85,328 | |
| | Columbia Sportswear Co. | 851,529 | | 85,315 | |
| *,^ | Beyond Meat Inc. | 1,127,143 | | 85,212 | |
| | Spectrum Brands Holdings Inc. | 1,308,758 | | 84,140 | |
| | J&J Snack Foods Corp. | 420,985 | | 77,575 | |
| * | Crocs Inc. | 1,851,517 | | 77,560 | |
| * | TreeHouse Foods Inc. | 1,582,810 | | 76,766 | |
| | WD-40 Co. | 387,137 | | 75,159 | |
| | Wolverine World Wide Inc. | 2,185,137 | | 73,727 | |
| | Dana Inc. | 4,032,119 | | 73,385 | |
| | LCI Industries | 668,213 | | 71,586 | |
| * | Fox Factory Holding Corp. | 1,012,342 | | 70,429 | |
| | Herman Miller Inc. | 1,659,985 | | 69,138 | |
| * | Visteon Corp. | 785,865 | | 68,048 | |
| | Kontoor Brands Inc. | 1,580,205 | | 66,353 | |
| * | Taylor Morrison Home Corp. Class A | 2,989,071 | | 65,341 | |
| | Nu Skin Enterprises Inc. Class A | 1,562,218 | | 64,020 | |
| * | Meritage Homes Corp. | 1,024,336 | | 62,597 | |
| * | TRI Pointe Group Inc. | 3,942,953 | | 61,431 | |
| * | Dorman Products Inc. | 790,259 | | 59,838 | |
| * | Hain Celestial Group Inc. | 2,193,727 | | 56,938 | |
| * | Freshpet Inc. | 960,760 | | 56,771 | |
| | Callaway Golf Co. | 2,673,810 | | 56,685 | |
| * | Welbilt Inc. | 3,588,544 | | 56,017 | |
| * | Meritor Inc. | 2,098,924 | | 54,971 | |
| | MDC Holdings Inc. | 1,405,561 | | 53,636 | |
| | Steelcase Inc. Class A | 2,413,679 | | 49,384 | |
| * | Cavco Industries Inc. | 248,889 | | 48,628 | |
| | Winnebago Industries Inc. | 899,276 | | 47,644 | |
| * | Edgewell Personal Care Co. | 1,535,442 | | 47,537 | |
| * | Hostess Brands Inc. Class A | 3,223,157 | | 46,865 | |
| * | Pilgrim's Pride Corp. | 1,393,176 | | 45,578 | |
| | HNI Corp. | 1,203,710 | | 45,091 | |
| * | Skyline Champion Corp. | 1,419,706 | | 45,005 | |
| * | American Woodmark Corp. | 429,369 | | 44,873 | |
| | Vector Group Ltd. | 3,264,524 | | 43,712 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | La-Z-Boy Inc. | 1,340,093 | | 42,186 | |
| * | Fitbit Inc. Class A | 6,330,754 | | 41,593 | |
| * | G-III Apparel Group Ltd. | 1,238,480 | | 41,489 | |
| * | Gentherm Inc. | 928,252 | | 41,205 | |
| | Calavo Growers Inc. | 453,747 | | 41,105 | |
| | Cooper Tire & Rubber Co. | 1,426,937 | | 41,024 | |
| *,^ | iRobot Corp. | 795,961 | | 40,300 | |
| * | LGI Homes Inc. | 551,390 | | 38,956 | |
| *,^ | YETI Holdings Inc. | 1,084,148 | | 37,707 | |
| | Universal Corp. | 657,191 | | 37,499 | |
| | Coca-Cola Consolidated Inc. | 130,883 | | 37,177 | |
| * | Sleep Number Corp. | 744,054 | | 36,637 | |
| | Inter Parfums Inc. | 493,736 | | 35,900 | |
| | Oxford Industries Inc. | 470,129 | | 35,457 | |
| | Cal-Maine Foods Inc. | 817,054 | | 34,929 | |
| | Knoll Inc. | 1,345,340 | | 33,983 | |
| ^ | Medifast Inc. | 309,565 | | 33,922 | |
| * | American Axle & Manufacturing Holdings Inc. | 3,137,752 | | 33,762 | |
| ^ | B&G Foods Inc. | 1,845,779 | | 33,095 | |
| | Acushnet Holdings Corp. | 966,503 | | 31,411 | |
| * | Delphi Technologies plc | 2,445,472 | | 31,375 | |
| * | M/I Homes Inc. | 796,923 | | 31,359 | |
| | Fresh Del Monte Produce Inc. | 881,466 | | 30,834 | |
| * | Central Garden & Pet Co. Class A | 1,022,445 | | 30,019 | |
| | Seaboard Corp. | 6,874 | | 29,218 | |
| * | Sonos Inc. | 1,838,860 | | 28,723 | |
| | Standard Motor Products Inc. | 531,214 | | 28,271 | |
| | Interface Inc. Class A | 1,682,177 | | 27,907 | |
| * | USANA Health Sciences Inc. | 345,962 | | 27,175 | |
| | ACCO Brands Corp. | 2,744,110 | | 25,685 | |
| | Levi Strauss & Co. Class A | 1,267,526 | | 24,451 | |
| * | Malibu Boats Inc. Class A | 585,658 | | 23,983 | |
| * | BellRing Brands Inc. Class A | 1,098,256 | | 23,382 | |
| * | Stoneridge Inc. | 740,741 | | 21,719 | |
| | Sturm Ruger & Co. Inc. | 461,151 | | 21,688 | |
| | Andersons Inc. | 836,620 | | 21,150 | |
| | Kimball International Inc. Class B | 1,008,330 | | 20,842 | |
| * | Century Communities Inc. | 759,958 | | 20,785 | |
| * | Glu Mobile Inc. | 3,422,460 | | 20,706 | |
| | John B Sanfilippo & Son Inc. | 224,805 | | 20,520 | |
| | Lennar Corp. Class B | 453,325 | | 20,264 | |
| | Tenneco Inc. Class A | 1,456,659 | | 19,082 | |
| | MGP Ingredients Inc. | 391,724 | | 18,979 | |
| * | William Lyon Homes Class A | 930,802 | | 18,597 | |
| * | Universal Electronics Inc. | 351,326 | | 18,360 | |
| *,^ | National Beverage Corp. | 334,076 | | 17,045 | |
| * | elf Beauty Inc. | 940,340 | | 15,168 | |
| ^ | Tootsie Roll Industries Inc. | 439,699 | | 15,011 | |
| | Phibro Animal Health Corp. Class A | 600,312 | | 14,906 | |
| * | Cooper-Standard Holdings Inc. | 448,965 | | 14,888 | |
| | National Presto Industries Inc. | 164,379 | | 14,529 | |
| *,^ | GoPro Inc. Class A | 3,241,645 | | 14,069 | |
| * | American Outdoor Brands Corp. | 1,496,453 | | 13,887 | |
| | Ethan Allen Interiors Inc. | 717,456 | | 13,675 | |
| ^ | Camping World Holdings Inc. Class A | 911,815 | | 13,440 | |
| * | Central Garden & Pet Co. | 380,527 | | 11,823 | |
| * | Primo Water Corp. | 1,038,170 | | 11,653 | |
| * | Motorcar Parts of America Inc. | 517,117 | | 11,392 | |
| | Tupperware Brands Corp. | 1,318,193 | | 11,310 | |
| * | Vista Outdoor Inc. | 1,476,522 | | 11,044 | |
| | Johnson Outdoors Inc. Class A | 143,760 | | 11,026 | |
| * | Beazer Homes USA Inc. | 770,090 | | 10,881 | |
| * | Fossil Group Inc. | 1,283,633 | | 10,115 | |
| | Clarus Corp. | 714,557 | | 9,689 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Movado Group Inc. | 443,817 | | 9,649 | |
| * | Unifi Inc. | 359,769 | | 9,088 | |
| * | Modine Manufacturing Co. | 1,178,722 | | 9,076 | |
| * | MasterCraft Boat Holdings Inc. | 553,293 | | 8,714 | |
| * | Seneca Foods Corp. Class A | 206,433 | | 8,420 | |
| | Alico Inc. | 234,274 | | 8,394 | |
| *,^ | Funko Inc. Class A | 483,902 | | 8,304 | |
| * | Arlo Technologies Inc. | 1,927,657 | | 8,115 | |
| | Limoneira Co. | 420,319 | | 8,083 | |
| * | Green Brick Partners Inc. | 661,222 | | 7,591 | |
| * | Vera Bradley Inc. | 642,798 | | 7,585 | |
| | Hooker Furniture Corp. | 273,488 | | 7,026 | |
| * | Farmer Brothers Co. | 424,072 | | 6,387 | |
| * | Lifevantage Corp. | 407,875 | | 6,367 | |
| | Turning Point Brands Inc. | 222,195 | | 6,355 | |
| | Oil-Dri Corp. of America | 173,554 | | 6,291 | |
| | Rocky Brands Inc. | 213,146 | | 6,273 | |
| * | Delta Apparel Inc. | 197,895 | | 6,155 | |
| * | ZAGG Inc. | 756,831 | | 6,138 | |
| *,^ | Akoustis Technologies Inc. | 751,230 | | 6,010 | |
| * | Craft Brew Alliance Inc. | 331,080 | | 5,463 | |
| | Titan International Inc. | 1,419,716 | | 5,139 | |
| | Culp Inc. | 376,330 | | 5,126 | |
| * | Veru Inc. | 1,418,778 | | 4,753 | |
| | Weyco Group Inc. | 175,151 | | 4,633 | |
| | Bassett Furniture Industries Inc. | 259,296 | | 4,325 | |
| | Flexsteel Industries Inc. | 205,657 | | 4,097 | |
| *,^ | 22nd Century Group Inc. | 3,650,521 | | 4,016 | |
| * | XPEL Inc. | 269,519 | | 3,948 | |
| *,^ | Celsius Holdings Inc. | 794,634 | | 3,838 | |
| *,^ | Revlon Inc. Class A | 177,875 | | 3,810 | |
| | Superior Group of Cos. Inc. | 281,058 | | 3,806 | |
| *,^ | Lovesac Co. | 229,480 | | 3,683 | |
| | Hamilton Beach Brands Holding Co. Class A | 192,248 | | 3,672 | |
| *,^ | Eastman Kodak Co. | 742,241 | | 3,451 | |
| | Strattec Security Corp. | 154,397 | | 3,429 | |
| *,^ | New Age Beverages Corp. | 1,696,362 | | 3,087 | |
| | Marine Products Corp. | 201,101 | | 2,896 | |
| * | Lakeland Industries Inc. | 256,793 | | 2,773 | |
| * | Legacy Housing Corp. | 163,128 | | 2,714 | |
| *,^ | Hovnanian Enterprises Inc. Class A | 107,089 | | 2,235 | |
| * | Nature's Sunshine Products Inc. | 242,920 | | 2,169 | |
| | Lifetime Brands Inc. | 304,548 | | 2,117 | |
| *,^ | Pyxus International Inc. | 225,769 | | 2,018 | |
| | Escalade Inc. | 203,212 | | 1,998 | |
| * | Shiloh Industries Inc. | 465,350 | | 1,657 | |
| | Acme United Corp. | 67,139 | | 1,597 | |
| | Rocky Mountain Chocolate Factory Inc. | 162,523 | | 1,500 | |
| * | Natural Alternatives International Inc. | 185,746 | | 1,482 | |
| | Superior Industries International Inc. | 392,385 | | 1,448 | |
| *,^ | Vuzix Corp. | 699,898 | | 1,407 | |
| | Kewaunee Scientific Corp. | 97,556 | | 1,312 | |
| * | Core Molding Technologies Inc. | 379,867 | | 1,235 | |
| * | Garrett Motion Inc. | 108,767 | | 1,087 | |
| * | Coffee Holding Co. Inc. | 230,234 | | 1,059 | |
| * | Vince Holding Corp. | 60,190 | | 1,042 | |
| * | RiceBran Technologies | 695,111 | | 1,022 | |
| * | Centric Brands Inc. | 424,318 | | 921 | |
| * | S&W Seed Co. | 431,256 | | 906 | |
| * | US Auto Parts Network Inc. | 410,256 | | 903 | |
| * | Bridgford Foods Corp. | 34,961 | | 867 | |
| * | Charles & Colvard Ltd. | 609,632 | | 866 | |
| *,^ | cbdMD Inc. | 353,500 | | 799 | |
| | Crown Crafts Inc. | 113,860 | | 700 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | New Home Co. Inc. | 136,011 | | 634 | |
| * | Reed's Inc. | 681,674 | | 620 | |
| | Mannatech Inc. | 37,357 | | 585 | |
| * | Libbey Inc. | 385,864 | | 560 | |
| * | Tandy Leather Factory Inc. | 93,624 | | 535 | |
| * | LS Starrett Co. Class A | 85,681 | | 490 | |
| * | Willamette Valley Vineyards Inc. | 66,863 | | 463 | |
| * | Nautilus Inc. | 225,288 | | 394 | |
| *,^ | Sequential Brands Group Inc. | 860,887 | | 295 | |
| *,^ | Innovate Biopharmaceuticals Inc. | 514,938 | | 287 | |
| *,^ | JAKKS Pacific Inc. | 260,169 | | 268 | |
| | Jerash Holdings US Inc. | 41,854 | | 245 | |
| * | Lipocine Inc. | 618,404 | | 238 | |
| | CompX International Inc. | 12,502 | | 182 | |
| * | Greenlane Holdings Inc. Class A | 56,000 | | 182 | |
| | P&F Industries Inc. Class A | 19,462 | | 134 | |
| * | Zedge Inc. Class B | 81,694 | | 126 | |
| | Unique Fabricating Inc. | 25,425 | | 98 | |
| * | Lifeway Foods Inc. | 43,222 | | 86 | |
| *,^ | Nova Lifestyle Inc. | 45,062 | | 83 | |
| | Ocean Bio-Chem Inc. | 24,882 | | 82 | |
| * | Koss Corp. | 17,870 | | 28 | |
| * | Hovnanian Enterprises Inc. Class B | 772 | | 16 | |
| * | Cyanotech Corp. | 600 | | 1 | |
| * | Emerson Radio Corp. | 432 | | — | |
| | | 70,784,788 | |
| Consumer Services (13.2%) | |
| * | Amazon.com Inc. | 11,871,374 | | 21,936,400 | |
| | Walt Disney Co. | 50,771,905 | | 7,343,141 | |
| | Home Depot Inc. | 30,725,148 | | 6,709,758 | |
| | Comcast Corp. Class A | 127,898,595 | | 5,751,600 | |
| | Walmart Inc. | 40,068,176 | | 4,761,702 | |
| | McDonald's Corp. | 21,217,409 | | 4,192,772 | |
| * | Netflix Inc. | 12,347,098 | | 3,995,150 | |
| | Costco Wholesale Corp. | 12,386,682 | | 3,640,694 | |
| | Starbucks Corp. | 31,609,975 | | 2,779,149 | |
| | CVS Health Corp. | 36,634,757 | | 2,721,596 | |
| | Lowe's Cos. Inc. | 21,739,946 | | 2,603,576 | |
| * | Booking Holdings Inc. | 1,179,201 | | 2,421,760 | |
| * | Charter Communications Inc. Class A | 4,235,727 | | 2,054,666 | |
| | TJX Cos. Inc. | 30,660,288 | | 1,872,117 | |
| | Target Corp. | 14,275,583 | | 1,830,272 | |
| | Walgreens Boots Alliance Inc. | 21,390,905 | | 1,261,208 | |
| | Ross Stores Inc. | 10,195,715 | | 1,186,985 | |
| | Sysco Corp. | 13,666,686 | | 1,169,048 | |
| | Dollar General Corp. | 7,247,345 | | 1,130,441 | |
| | Marriott International Inc. Class A | 7,370,676 | | 1,116,141 | |
| | Delta Air Lines Inc. | 16,395,146 | | 958,788 | |
| * | O'Reilly Automotive Inc. | 2,132,320 | | 934,511 | |
| | Hilton Worldwide Holdings Inc. | 7,948,107 | | 881,525 | |
| | Yum! Brands Inc. | 8,528,835 | | 859,110 | |
| * | Uber Technologies Inc. | 28,840,617 | | 857,720 | |
| * | AutoZone Inc. | 671,407 | | 799,854 | |
| | eBay Inc. | 21,788,419 | | 786,780 | |
| | Las Vegas Sands Corp. | 10,822,395 | | 747,178 | |
| | Southwest Airlines Co. | 13,344,157 | | 720,318 | |
| | McKesson Corp. | 5,078,274 | | 702,427 | |
| * | Chipotle Mexican Grill Inc. Class A | 782,580 | | 655,106 | |
| | Kroger Co. | 22,585,591 | | 654,756 | |
| | ViacomCBS Inc. Class B | 15,384,339 | | 645,681 | |
| | Royal Caribbean Cruises Ltd. | 4,718,677 | | 629,991 | |
| * | Dollar Tree Inc. | 6,663,816 | | 626,732 | |
| * | Liberty Broadband Corp. | 4,550,701 | | 572,251 | |
| | Carnival Corp. | 11,119,249 | | 565,191 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Best Buy Co. Inc. | 6,315,011 | | 554,458 | |
| * | Copart Inc. | 5,882,191 | | 534,926 | |
| * | United Airlines Holdings Inc. | 6,055,305 | | 533,412 | |
| | Omnicom Group Inc. | 6,118,427 | | 495,715 | |
| | MGM Resorts International | 13,038,878 | | 433,803 | |
| | Tiffany & Co. | 3,212,118 | | 429,300 | |
| * | Burlington Stores Inc. | 1,866,332 | | 425,580 | |
| | Expedia Group Inc. | 3,925,090 | | 424,459 | |
| * | CarMax Inc. | 4,635,371 | | 406,383 | |
| * | Ulta Beauty Inc. | 1,574,650 | | 398,607 | |
| | Darden Restaurants Inc. | 3,454,243 | | 376,547 | |
| | Fox Corp. Class A | 9,785,229 | | 362,738 | |
| | Wynn Resorts Ltd. | 2,570,243 | | 356,930 | |
| * | Norwegian Cruise Line Holdings Ltd. | 6,004,062 | | 350,697 | |
| | AmerisourceBergen Corp. Class A | 4,066,100 | | 345,700 | |
| | Domino's Pizza Inc. | 1,152,286 | | 338,519 | |
| * | Roku Inc. | 2,449,406 | | 327,975 | |
| | American Airlines Group Inc. | 11,115,509 | | 318,793 | |
| | Tractor Supply Co. | 3,338,429 | | 311,943 | |
| | Aramark | 7,016,113 | | 304,499 | |
| | Advance Auto Parts Inc. | 1,856,949 | | 297,409 | |
| * | Trade Desk Inc. Class A | 1,121,728 | | 291,402 | |
| | FactSet Research Systems Inc. | 1,069,290 | | 286,891 | |
| * | Live Nation Entertainment Inc. | 3,896,810 | | 278,505 | |
| * | Discovery Inc. Series C | 9,032,085 | | 275,388 | |
| | Vail Resorts Inc. | 1,131,853 | | 271,452 | |
| | Interpublic Group of Cos. Inc. | 10,866,228 | | 251,010 | |
| * | Bright Horizons Family Solutions Inc. | 1,637,320 | | 246,073 | |
| * | Liberty Media Corp-Liberty Formula One | 5,313,118 | | 244,217 | |
| * | Altice USA Inc. Class A | 8,905,128 | | 243,466 | |
| * | Lyft Inc. Class A | 5,658,550 | | 243,431 | |
| * | DISH Network Corp. Class A | 6,752,869 | | 239,524 | |
| | Alaska Air Group Inc. | 3,480,301 | | 235,790 | |
| | Kohl's Corp. | 4,491,114 | | 228,822 | |
| ^ | Sirius XM Holdings Inc. | 31,259,886 | | 223,508 | |
| | Service Corp. International | 4,853,434 | | 223,404 | |
| | Cable One Inc. | 144,837 | | 215,586 | |
| * | Caesars Entertainment Corp. | 15,217,209 | | 206,954 | |
| | Nielsen Holdings plc | 10,019,981 | | 203,406 | |
| * | Five Below Inc. | 1,568,973 | | 200,609 | |
| * | Liberty Media Corp-Liberty SiriusXM Class C | 4,146,713 | | 199,623 | |
| | News Corp. Class A | 13,801,624 | | 195,155 | |
| * | IAA Inc. | 3,755,409 | | 176,730 | |
| | Dunkin' Brands Group Inc. | 2,325,778 | | 175,689 | |
| | Sabre Corp. | 7,727,133 | | 173,397 | |
| * | Planet Fitness Inc. Class A | 2,313,551 | | 172,776 | |
| | Fox Corp. Class B | 4,694,987 | | 170,898 | |
| * | Performance Food Group Co. | 3,291,900 | | 169,467 | |
| | Wyndham Hotels & Resorts Inc. | 2,692,968 | | 169,145 | |
| | Casey's General Stores Inc. | 1,029,572 | | 163,692 | |
| ^ | Williams-Sonoma Inc. | 2,178,915 | | 160,020 | |
| *,^ | Discovery Inc. Series A | 4,823,340 | | 157,916 | |
| * | JetBlue Airways Corp. | 8,151,936 | | 152,604 | |
| * | Madison Square Garden Co. Class A | 516,109 | | 151,834 | |
| * | ServiceMaster Global Holdings Inc. | 3,830,786 | | 148,098 | |
| * | Etsy Inc. | 3,341,016 | | 148,007 | |
| | Macy's Inc. | 8,677,875 | | 147,524 | |
| | Nexstar Media Group Inc. Class A | 1,225,259 | | 143,662 | |
| | Gap Inc. | 7,855,961 | | 138,893 | |
| | Rollins Inc. | 4,186,178 | | 138,814 | |
| | H&R Block Inc. | 5,652,542 | | 132,722 | |
| | Wyndham Destinations Inc. | 2,546,903 | | 131,649 | |
| | Churchill Downs Inc. | 956,863 | | 131,282 | |
| *,^ | Carvana Co. Class A | 1,422,556 | | 130,946 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Grand Canyon Education Inc. | 1,359,164 | | 130,194 | |
| | Marriott Vacations Worldwide Corp. | 1,010,047 | | 130,054 | |
| | New York Times Co. Class A | 3,962,669 | | 127,479 | |
| * | GrubHub Inc. | 2,569,600 | | 124,985 | |
| ^ | Nordstrom Inc. | 3,050,761 | | 124,868 | |
| * | Liberty Media Corp-Liberty SiriusXM Class A | 2,578,049 | | 124,623 | |
| * | Chegg Inc. | 3,244,092 | | 122,984 | |
| | L Brands Inc. | 6,603,789 | | 119,661 | |
| | Dolby Laboratories Inc. Class A | 1,717,780 | | 118,183 | |
| | Foot Locker Inc. | 3,020,365 | | 117,764 | |
| * | Floor & Decor Holdings Inc. Class A | 2,276,675 | | 115,678 | |
| | Wendy's Co. | 5,175,892 | | 114,957 | |
| * | frontdoor Inc. | 2,371,337 | | 112,449 | |
| * | AutoNation Inc. | 2,252,895 | | 109,558 | |
| | Aaron's Inc. | 1,898,105 | | 108,401 | |
| | Texas Roadhouse Inc. Class A | 1,865,456 | | 105,062 | |
| | Choice Hotels International Inc. | 1,009,443 | | 104,407 | |
| *,^ | Eldorado Resorts Inc. | 1,737,193 | | 103,606 | |
| ^ | Cracker Barrel Old Country Store Inc. | 670,476 | | 103,079 | |
| | TEGNA Inc. | 6,091,391 | | 101,665 | |
| | Six Flags Entertainment Corp. | 2,246,343 | | 101,333 | |
| | Cinemark Holdings Inc. | 2,989,667 | | 101,200 | |
| * | Ollie's Bargain Outlet Holdings Inc. | 1,514,283 | | 98,898 | |
| * | Murphy USA Inc. | 824,488 | | 96,465 | |
| | AMERCO | 247,196 | | 92,901 | |
| * | Qurate Retail Group Inc. QVC Group Class A | 11,003,782 | | 92,762 | |
| | Strategic Education Inc. | 581,630 | | 92,421 | |
| | TripAdvisor Inc. | 3,024,365 | | 91,880 | |
| | Morningstar Inc. | 600,381 | | 90,844 | |
| *,^ | RH | 420,946 | | 89,872 | |
| | Lithia Motors Inc. Class A | 609,966 | | 89,665 | |
| | Hyatt Hotels Corp. Class A | 998,255 | | 89,553 | |
| * | BJ's Wholesale Club Holdings Inc. | 3,867,212 | | 87,940 | |
| * | LiveRamp Holdings Inc. | 1,817,524 | | 87,368 | |
| | SkyWest Inc. | 1,348,608 | | 87,161 | |
| ^ | World Wrestling Entertainment Inc. Class A | 1,338,806 | | 86,848 | |
| | Dick's Sporting Goods Inc. | 1,708,485 | | 84,553 | |
| * | Hilton Grand Vacations Inc. | 2,409,284 | | 82,855 | |
| * | Penn National Gaming Inc. | 3,116,455 | | 79,657 | |
| | KAR Auction Services Inc. | 3,640,234 | | 79,321 | |
| * | Spirit Airlines Inc. | 1,936,542 | | 78,062 | |
| * | Cargurus Inc. | 2,190,803 | | 77,072 | |
| | Extended Stay America Inc. | 5,161,078 | | 76,694 | |
| | Graham Holdings Co. Class B | 115,792 | | 73,990 | |
| | Wingstop Inc. | 826,925 | | 71,306 | |
| * | National Vision Holdings Inc. | 2,197,486 | | 71,264 | |
| | Monro Inc. | 894,669 | | 69,963 | |
| * | Simply Good Foods Co. | 2,401,388 | | 68,536 | |
| * | Yelp Inc. Class A | 1,895,200 | | 66,010 | |
| | Boyd Gaming Corp. | 2,191,712 | | 65,620 | |
| | John Wiley & Sons Inc. Class A | 1,346,781 | | 65,346 | |
| * | Sprouts Farmers Market Inc. | 3,338,689 | | 64,604 | |
| | Allegiant Travel Co. Class A | 365,445 | | 63,602 | |
| | American Eagle Outfitters Inc. | 4,305,376 | | 63,289 | |
| | Hillenbrand Inc. | 1,851,769 | | 61,682 | |
| * | Asbury Automotive Group Inc. | 538,214 | | 60,167 | |
| * | Sally Beauty Holdings Inc. | 3,282,607 | | 59,908 | |
| | Sinclair Broadcast Group Inc. Class A | 1,790,781 | | 59,705 | |
| ^ | Bed Bath & Beyond Inc. | 3,379,594 | | 58,467 | |
| * | Laureate Education Inc. Class A | 3,249,528 | | 57,224 | |
| * | Adtalem Global Education Inc. | 1,558,503 | | 54,501 | |
| | Bloomin' Brands Inc. | 2,449,200 | | 54,054 | |
| * | Gray Television Inc. | 2,479,178 | | 53,154 | |
| | Jack in the Box Inc. | 663,708 | | 51,789 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | WW International Inc. | 1,320,604 | | 50,460 | |
| * | Avis Budget Group Inc. | 1,537,057 | | 49,555 | |
| | Group 1 Automotive Inc. | 494,697 | | 49,470 | |
| * | Shake Shack Inc. Class A | 807,999 | | 48,132 | |
| * | AMC Networks Inc. Class A | 1,194,360 | | 47,177 | |
| | PriceSmart Inc. | 657,878 | | 46,722 | |
| * | Urban Outfitters Inc. | 1,652,154 | | 45,880 | |
| * | SeaWorld Entertainment Inc. | 1,443,859 | | 45,785 | |
| | Red Rock Resorts Inc. Class A | 1,903,807 | | 45,596 | |
| | Penske Automotive Group Inc. | 902,068 | | 45,302 | |
| | Brinker International Inc. | 1,062,550 | | 44,627 | |
| | Cheesecake Factory Inc. | 1,139,835 | | 44,294 | |
| * | Hertz Global Holdings Inc. | 2,803,117 | | 44,149 | |
| | Papa John's International Inc. | 675,134 | | 42,635 | |
| | Office Depot Inc. | 15,349,532 | | 42,058 | |
| * | Scientific Games Corp. | 1,569,435 | | 42,029 | |
| * | 2U Inc. | 1,702,372 | | 40,840 | |
| | Viad Corp. | 588,048 | | 39,693 | |
| | Rent-A-Center Inc. | 1,365,097 | | 39,369 | |
| | Dine Brands Global Inc. | 462,475 | | 38,626 | |
| * | Stamps.com Inc. | 459,126 | | 38,346 | |
| *,^ | Stitch Fix Inc. Class A | 1,479,844 | | 37,973 | |
| | Hawaiian Holdings Inc. | 1,273,863 | | 37,311 | |
| * | Career Education Corp. | 2,014,485 | | 37,046 | |
| * | Liberty Media Corp-Liberty Formula One Class A | 817,228 | | 35,778 | |
| * | Boot Barn Holdings Inc. | 798,229 | | 35,545 | |
| * | Chewy Inc. | 1,223,246 | | 35,474 | |
| | Dave & Buster's Entertainment Inc. | 875,757 | | 35,179 | |
| | Meredith Corp. | 1,074,843 | | 34,900 | |
| | Core-Mark Holding Co. Inc. | 1,265,344 | | 34,405 | |
| * | Herc Holdings Inc. | 683,570 | | 33,454 | |
| | Matthews International Corp. Class A | 869,499 | | 33,189 | |
| * | Groupon Inc. Class A | 13,775,955 | | 32,925 | |
| *,^ | Trupanion Inc. | 857,148 | | 32,109 | |
| * | Denny's Corp. | 1,611,851 | | 32,044 | |
| | Signet Jewelers Ltd. | 1,454,412 | | 31,619 | |
| | Big Lots Inc. | 1,096,533 | | 31,492 | |
| *,^ | Peloton Interactive Inc. Class A | 1,091,899 | | 31,010 | |
| * | Liberty Media Corp-Liberty Braves Class C | 1,048,151 | | 30,962 | |
| | Abercrombie & Fitch Co. | 1,712,497 | | 29,609 | |
| * | Clear Channel Outdoor Holdings Inc. | 10,044,097 | | 28,726 | |
| * | Grocery Outlet Holding Corp. | 880,523 | | 28,573 | |
| * | Liberty Broadband Corp. Class A | 228,766 | | 28,495 | |
| | Designer Brands Inc. Class A | 1,777,282 | | 27,974 | |
| * | Chefs' Warehouse Inc. | 712,966 | | 27,171 | |
| *,^ | Accel Entertainment Inc. | 2,138,642 | | 26,733 | |
| * | SP Plus Corp. | 628,299 | | 26,659 | |
| | Caleres Inc. | 1,113,964 | | 26,457 | |
| ^ | Children's Place Inc. | 415,704 | | 25,990 | |
| * | Lions Gate Entertainment Corp. Class B | 2,575,081 | | 25,571 | |
| | Guess? Inc. | 1,121,622 | | 25,102 | |
| *,^ | iHeartMedia Inc. Class A | 1,470,187 | | 24,846 | |
| * | Upwork Inc. | 2,225,071 | | 23,742 | |
| | Scholastic Corp. | 617,255 | | 23,733 | |
| *,^ | Lions Gate Entertainment Corp. Class A | 2,220,255 | | 23,668 | |
| | EW Scripps Co. Class A | 1,477,545 | | 23,212 | |
| * | Cars.com Inc. | 1,886,436 | | 23,052 | |
| ^ | Buckle Inc. | 844,423 | | 22,833 | |
| ^ | Rite Aid Corp. | 1,450,387 | | 22,437 | |
| * | K12 Inc. | 1,073,754 | | 21,851 | |
| * | MSG Networks Inc. | 1,233,107 | | 21,456 | |
| | Marcus Corp. | 658,587 | | 20,923 | |
| * | QuinStreet Inc. | 1,356,201 | | 20,763 | |
| | Gannett Co. Inc. | 3,150,801 | | 20,102 | |
Vanguard® Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Zumiez Inc. | 576,061 | | 19,897 | |
| | BJ's Restaurants Inc. | 521,034 | | 19,778 | |
| ^ | Dillard's Inc. Class A | 267,614 | | 19,664 | |
| * | Quotient Technology Inc. | 1,971,330 | | 19,437 | |
| * | America's Car-Mart Inc. | 175,260 | | 19,219 | |
| * | Genesco Inc. | 398,620 | | 19,102 | |
| | Ingles Markets Inc. Class A | 396,996 | | 18,861 | |
| | Sonic Automotive Inc. Class A | 607,737 | | 18,840 | |
| * | ANGI Homeservices Inc. Class A | 2,204,341 | | 18,671 | |
| * | Michaels Cos. Inc. | 2,249,893 | | 18,202 | |
| * | Providence Service Corp. | 304,886 | | 18,043 | |
| * | Houghton Mifflin Harcourt Co. | 2,845,268 | | 17,783 | |
| * | TechTarget Inc. | 680,862 | | 17,770 | |
| | Weis Markets Inc. | 429,300 | | 17,382 | |
| | Ruth's Hospitality Group Inc. | 749,333 | | 16,309 | |
| * | Monarch Casino & Resort Inc. | 326,726 | | 15,863 | |
| | National CineMedia Inc. | 2,134,955 | | 15,564 | |
| | Entercom Communications Corp. Class A | 3,353,791 | | 15,562 | |
| * | Digital Turbine Inc. | 2,120,315 | | 15,118 | |
| ^ | GameStop Corp. Class A | 2,403,724 | | 14,615 | |
| * | BrightView Holdings Inc. | 857,548 | | 14,467 | |
| *,^ | HF Foods Group Inc. | 741,848 | | 14,466 | |
| * | Hibbett Sports Inc. | 505,798 | | 14,183 | |
| | SpartanNash Co. | 987,351 | | 14,060 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 1,850,423 | | 13,601 | |
| * | Lindblad Expeditions Holdings Inc. | 817,923 | | 13,373 | |
| * | TrueCar Inc. | 2,753,015 | | 13,077 | |
| | Carriage Services Inc. Class A | 501,308 | | 12,833 | |
| * | Regis Corp. | 710,261 | | 12,692 | |
| | Winmark Corp. | 64,003 | | 12,692 | |
| | Chico's FAS Inc. | 3,327,478 | | 12,678 | |
| ^ | PetMed Express Inc. | 537,791 | | 12,649 | |
| * | United Natural Foods Inc. | 1,395,922 | | 12,228 | |
| * | Red Robin Gourmet Burgers Inc. | 368,581 | | 12,171 | |
| * | American Public Education Inc. | 432,743 | | 11,853 | |
| * | MarineMax Inc. | 674,689 | | 11,261 | |
| * | Rubicon Project Inc. | 1,373,422 | | 11,207 | |
| * | Chuy's Holdings Inc. | 425,455 | | 11,028 | |
| * | Care.com Inc. | 704,764 | | 10,593 | |
| ^ | AMC Entertainment Holdings Inc. Class A | 1,458,982 | | 10,563 | |
| ^ | Twin River Worldwide Holdings Inc. | 411,519 | | 10,555 | |
| * | Avid Technology Inc. | 1,218,377 | | 10,454 | |
| | Cato Corp. Class A | 595,368 | | 10,359 | |
| * | 1-800-Flowers.com Inc. Class A | 684,361 | | 9,923 | |
| | Haverty Furniture Cos. Inc. | 491,867 | | 9,916 | |
| * | Sportsman's Warehouse Holdings Inc. | 1,220,098 | | 9,797 | |
| ^ | Shoe Carnival Inc. | 251,857 | | 9,389 | |
| * | Express Inc. | 1,921,945 | | 9,360 | |
| * | PlayAGS Inc. | 769,543 | | 9,335 | |
| * | Clean Energy Fuels Corp. | 3,934,637 | | 9,207 | |
| *,^ | RealReal Inc. | 485,761 | | 9,157 | |
| * | Golden Entertainment Inc. | 474,703 | | 9,124 | |
| *,^ | JC Penney Co. Inc. | 7,959,422 | | 8,915 | |
| | Tilly's Inc. Class A | 703,310 | | 8,616 | |
| | Tribune Publishing Co. | 646,469 | | 8,508 | |
| * | comScore Inc. | 1,720,013 | | 8,497 | |
| * | At Home Group Inc. | 1,523,248 | | 8,378 | |
| | News Corp. Class B | 574,954 | | 8,343 | |
| * | Liberty Media Corp-Liberty Braves Class A | 270,973 | | 8,034 | |
| * | Cumulus Media Inc. Class A | 451,713 | | 7,937 | |
| * | El Pollo Loco Holdings Inc. | 516,852 | | 7,825 | |
| | Citi Trends Inc. | 334,520 | | 7,734 | |
| * | Titan Machinery Inc. | 522,316 | | 7,720 | |
| * | Century Casinos Inc. | 948,499 | | 7,512 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^ | Daily Journal Corp. | 25,274 | | 7,340 | |
| | Collectors Universe Inc. | 315,174 | | 7,265 | |
| * | Mesa Air Group Inc. | 808,445 | | 7,227 | |
| *,^ | Lumber Liquidators Holdings Inc. | 738,755 | | 7,218 | |
| | Nathan's Famous Inc. | 101,682 | | 7,207 | |
| *,^ | Revolve Group Inc. | 383,941 | | 7,049 | |
| * | Hemisphere Media Group Inc. Class A | 472,660 | | 7,019 | |
| * | Carrols Restaurant Group Inc. | 980,852 | | 6,915 | |
| | Emerald Expositions Events Inc. | 654,750 | | 6,908 | |
| * | EverQuote Inc. Class A | 200,482 | | 6,887 | |
| * | Drive Shack Inc. | 1,811,355 | | 6,630 | |
| * | Del Taco Restaurants Inc. | 831,624 | | 6,574 | |
| * | Reading International Inc. Class A | 532,243 | | 5,956 | |
| * | Fiesta Restaurant Group Inc. | 593,875 | | 5,873 | |
| * | J Alexander's Holdings Inc. | 613,284 | | 5,863 | |
| | Village Super Market Inc. Class A | 247,358 | | 5,739 | |
| * | Habit Restaurants Inc. Class A | 548,441 | | 5,720 | |
| *,^ | GNC Holdings Inc. Class A | 2,097,789 | | 5,664 | |
| * | Diplomat Pharmacy Inc. | 1,412,060 | | 5,648 | |
| ^ | Tailored Brands Inc. | 1,333,636 | | 5,521 | |
| *,^ | Overstock.com Inc. | 780,934 | | 5,506 | |
| * | Liquidity Services Inc. | 869,451 | | 5,182 | |
| | RCI Hospitality Holdings Inc. | 251,776 | | 5,161 | |
| *,^ | Party City Holdco Inc. | 2,204,048 | | 5,157 | |
| * | Noodles & Co. Class A | 924,586 | | 5,122 | |
| * | Boston Omaha Corp. Class A | 232,603 | | 4,894 | |
| * | MDC Partners Inc. Class A | 1,684,122 | | 4,682 | |
| * | Conn's Inc. | 374,719 | | 4,643 | |
| * | Lands' End Inc. | 263,846 | | 4,433 | |
| * | Barnes & Noble Education Inc. | 954,599 | | 4,076 | |
| *,^ | Stage Stores Inc. | 491,015 | | 3,987 | |
| * | Marchex Inc. Class B | 968,568 | | 3,661 | |
| | Entravision Communications Corp. Class A | 1,329,451 | | 3,483 | |
| | Saga Communications Inc. Class A | 114,200 | | 3,472 | |
| * | Kura Sushi USA Inc. Class A | 136,273 | | 3,468 | |
| *,^ | Duluth Holdings Inc. | 311,560 | | 3,281 | |
| * | Purple Innovation Inc. | 361,373 | | 3,148 | |
| * | Tuesday Morning Corp. | 1,611,057 | | 2,980 | |
| * | Fluent Inc. | 1,032,518 | | 2,581 | |
| * | Biglari Holdings Inc. | 4,283 | | 2,570 | |
| * | Container Store Group Inc. | 563,280 | | 2,377 | |
| | Natural Grocers by Vitamin Cottage Inc. | 229,137 | | 2,262 | |
| * | Emmis Communications Corp. Class A | 534,159 | | 2,153 | |
| * | Potbelly Corp. | 502,785 | | 2,122 | |
| * | Full House Resorts Inc. | 626,835 | | 2,100 | |
| * | Red Lion Hotels Corp. | 544,100 | | 2,029 | |
| *,^ | Gaia Inc. Class A | 241,937 | | 1,933 | |
| | Big 5 Sporting Goods Corp. | 576,882 | | 1,731 | |
| * | Leaf Group Ltd. | 432,519 | | 1,730 | |
| * | Zovio Inc. Class A | 809,284 | | 1,667 | |
| * | Travelzoo | 153,651 | | 1,644 | |
| * | RealNetworks Inc. | 1,309,357 | | 1,571 | |
| * | Lee Enterprises Inc. | 1,095,334 | | 1,555 | |
| * | Biglari Holdings Inc. Class B | 12,371 | | 1,415 | |
| * | Destination XL Group Inc. | 1,098,835 | | 1,407 | |
| *,^ | Alkaline Water Co. Inc. | 1,103,203 | | 1,401 | |
| * | A-Mark Precious Metals Inc. | 166,780 | | 1,379 | |
| *,^ | Ascena Retail Group Inc. | 179,431 | | 1,375 | |
| | CSS Industries Inc. | 306,943 | | 1,354 | |
| * | ONE Group Hospitality Inc. | 348,465 | | 1,268 | |
| * | Build-A-Bear Workshop Inc. | 380,602 | | 1,233 | |
| *,^ | Youngevity International Inc. | 363,755 | | 1,186 | |
| * | Urban One Inc. | 614,875 | | 1,168 | |
| | Townsquare Media Inc. Class A | 110,100 | | 1,098 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^ | Chicken Soup For The Soul Entertainment Inc. | 131,647 | | 1,053 | |
| *,^ | Blink Charging Co. | 521,114 | | 969 | |
| | Value Line Inc. | 32,972 | | 953 | |
| | Ark Restaurants Corp. | 42,422 | | 942 | |
| | Beasley Broadcast Group Inc. Class A | 297,756 | | 920 | |
| *,^ | iMedia Brands Inc. | 229,676 | | 916 | |
| *,^ | LiveXLive Media Inc. | 585,301 | | 904 | |
| *,^ | Francesca's Holdings Corp. | 81,140 | | 842 | |
| ^ | Pier 1 Imports Inc. | 124,870 | | 799 | |
| *,^ | Blue Apron Holdings Inc. Class A | 120,849 | | 795 | |
| | AH Belo Corp. Class A | 270,109 | | 762 | |
| | Educational Development Corp. | 122,697 | | 758 | |
| *,^ | HyreCar Inc. | 238,994 | | 629 | |
| * | Profire Energy Inc. | 396,273 | | 575 | |
| * | Good Times Restaurants Inc. | 350,735 | | 558 | |
| *,^ | SRAX Inc. Class A | 204,105 | | 508 | |
| *,^ | VistaGen Therapeutics Inc. | 735,612 | | 507 | |
| * | BBQ Holdings Inc. | 118,073 | | 464 | |
| | Canterbury Park Holding Corp. | 35,605 | | 442 | |
| *,^ | Net Element Inc. | 135,845 | | 436 | |
| *,^ | Eastside Distilling Inc. | 144,325 | | 426 | |
| *,^ | Interpace Diagnostics Group Inc. | 846,133 | | 423 | |
| * | Harte-Hanks Inc. | 104,139 | | 373 | |
| * | Global Eagle Entertainment Inc. | 720,013 | | 360 | |
| *,^ | Stein Mart Inc. | 499,303 | | 334 | |
| | Salem Media Group Inc. Class A | 220,213 | | 317 | |
| *,^ | Remark Holdings Inc. | 612,365 | | 315 | |
| *,^ | Waitr Holdings Inc. | 972,900 | | 313 | |
| * | RTW RetailWinds Inc. | 377,613 | | 302 | |
| *,^ | Dolphin Entertainment Inc. | 427,208 | | 299 | |
| *,^ | Monaker Group Inc. | 129,486 | | 280 | |
| ^ | J. Jill Inc. | 217,239 | | 245 | |
| * | Diversified Restaurant Holdings Inc. | 227,068 | | 236 | |
| | ViacomCBS Inc. Class A | 5,113 | | 229 | |
| * | AutoWeb Inc. | 91,156 | | 225 | |
| * | Rave Restaurant Group Inc. | 135,922 | | 224 | |
| *,^ | Kirkland's Inc. | 153,618 | | 190 | |
| * | Luby's Inc. | 66,837 | | 147 | |
| * | Town Sports International Holdings Inc. | 73,378 | | 125 | |
| * | Lazydays Holdings Inc. | 21,194 | | 91 | |
| *,^ | BioHiTech Global Inc. | 50,469 | | 86 | |
| * | SPAR Group Inc. | 51,600 | | 67 | |
| *,^ | FAT Brands Inc. | 13,323 | | 61 | |
| * | Live Ventures Inc. | 3,993 | | 30 | |
| | Haverty Furniture Cos. Inc. Class A | 1,375 | | 28 | |
| * | Insignia Systems Inc. | 17,627 | | 13 | |
| * | Envela Corp. | 5,030 | | 7 | |
| * | Urban One Inc. Class A | 1,053 | | 2 | |
| * | iPic Entertainment Inc. Class A | 2,600 | | — | |
| *,§ | Universal Travel Group | 42,843 | | — | |
| | | | | 118,719,768 | |
| |
| Financials (19.4%) | |
| * | Berkshire Hathaway Inc. Class B | 53,368,129 | | 12,087,881 | |
| | JPMorgan Chase & Co. | 83,026,240 | | 11,573,858 | |
| | Visa Inc. Class A | 48,235,974 | | 9,063,540 | |
| | Bank of America Corp. | 228,004,607 | | 8,030,322 | |
| | Mastercard Inc. Class A | 25,281,635 | | 7,548,843 | |
| | Wells Fargo & Co. | 107,227,939 | | 5,768,863 | |
| | Citigroup Inc. | 61,482,908 | | 4,911,870 | |
| | American Tower Corp. | 12,484,411 | | 2,869,167 | |
| | US Bancorp | 39,595,924 | | 2,347,642 | |
| | Goldman Sachs Group Inc. | 9,474,783 | | 2,178,537 | |
| | American Express Co. | 17,296,820 | | 2,153,281 | |
| | Truist Financial Corp. | 37,799,204 | | 2,128,851 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | CME Group Inc. | 10,094,539 | | 2,026,176 | |
| | S&P Global Inc. | 6,882,117 | | 1,879,162 | |
| | PNC Financial Services Group Inc. | 11,110,209 | | 1,773,523 | |
| | Morgan Stanley | 34,192,250 | | 1,747,908 | |
| | Chubb Ltd. | 10,862,406 | | 1,690,842 | |
| | Crown Castle International Corp. | 11,706,793 | | 1,664,121 | |
| | Marsh & McLennan Cos. Inc. | 14,224,768 | | 1,584,781 | |
| | Prologis Inc. | 17,749,166 | | 1,582,161 | |
| | Charles Schwab Corp. | 32,517,058 | | 1,546,511 | |
| | BlackRock Inc. | 3,044,473 | | 1,530,457 | |
| | Intercontinental Exchange Inc. | 15,698,205 | | 1,452,869 | |
| | Equinix Inc. | 2,402,827 | | 1,402,530 | |
| | Aon plc | 6,602,848 | | 1,375,307 | |
| | Capital One Financial Corp. | 13,127,500 | | 1,350,951 | |
| | American International Group Inc. | 24,502,456 | | 1,257,711 | |
| | Simon Property Group Inc. | 8,217,728 | | 1,224,113 | |
| | Progressive Corp. | 16,469,177 | | 1,192,204 | |
| | Bank of New York Mellon Corp. | 23,399,764 | | 1,177,710 | |
| | Moody's Corp. | 4,520,726 | | 1,073,266 | |
| | Prudential Financial Inc. | 11,319,728 | | 1,061,111 | |
| | Aflac Inc. | 19,676,397 | | 1,040,881 | |
| | Blackstone Group LP | 18,565,943 | | 1,038,579 | |
| | Allstate Corp. | 9,096,702 | | 1,022,924 | |
| | MetLife Inc. | 19,419,041 | | 989,789 | |
| | Travelers Cos. Inc. | 6,920,701 | | 947,790 | |
| | Welltower Inc. | 11,436,887 | | 935,309 | |
| | Public Storage | 4,175,599 | | 889,236 | |
| | Equity Residential | 10,416,262 | | 842,884 | |
| | AvalonBay Communities Inc. | 3,921,817 | | 822,405 | |
| * | IHS Markit Ltd. | 10,718,561 | | 807,644 | |
| | State Street Corp. | 9,739,530 | | 770,397 | |
| | SBA Communications Corp. Class A | 3,175,530 | | 765,271 | |
| | T. Rowe Price Group Inc. | 6,258,147 | | 762,493 | |
| | Discover Financial Services | 8,839,586 | | 749,774 | |
| | Digital Realty Trust Inc. | 5,879,999 | | 704,071 | |
| | Realty Income Corp. | 9,172,060 | | 675,339 | |
| | Weyerhaeuser Co. | 20,963,730 | | 633,105 | |
| | Synchrony Financial | 17,292,967 | | 622,720 | |
| | Hartford Financial Services Group Inc. | 10,144,403 | | 616,475 | |
| | Fifth Third Bancorp | 19,997,362 | | 614,719 | |
| | Ventas Inc. | 10,484,785 | | 605,391 | |
| | Northern Trust Corp. | 5,680,283 | | 603,473 | |
| | M&T Bank Corp. | 3,534,469 | | 599,976 | |
| | Boston Properties Inc. | 4,345,025 | | 599,005 | |
| | Ameriprise Financial Inc. | 3,573,214 | | 595,226 | |
| | MSCI Inc. Class A | 2,264,413 | | 584,626 | |
| | KeyCorp | 27,759,487 | | 561,852 | |
| | Essex Property Trust Inc. | 1,858,730 | | 559,217 | |
| * | CBRE Group Inc. Class A | 8,952,887 | | 548,722 | |
| | Alexandria Real Estate Equities Inc. | 3,237,506 | | 523,116 | |
| | Arthur J Gallagher & Co. | 5,233,799 | | 498,415 | |
| | Citizens Financial Group Inc. | 12,250,445 | | 497,491 | |
| | Healthpeak Properties Inc. | 14,376,860 | | 495,570 | |
| | Cincinnati Financial Corp. | 4,585,961 | | 482,214 | |
| | Equifax Inc. | 3,399,392 | | 476,323 | |
| | Regions Financial Corp. | 27,174,867 | | 466,321 | |
| * | Arch Capital Group Ltd. | 10,801,120 | | 463,260 | |
| | Invitation Homes Inc. | 15,136,422 | | 453,639 | |
| | Huntington Bancshares Inc. | 29,104,025 | | 438,889 | |
| | Principal Financial Group Inc. | 7,849,143 | | 431,703 | |
| | KKR & Co. Inc. Class A | 14,732,492 | | 429,747 | |
| * | Markel Corp. | 370,856 | | 423,951 | |
| | Mid-America Apartment Communities Inc. | 3,209,152 | | 423,159 | |
| | First Republic Bank | 3,508,560 | | 412,080 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Sun Communities Inc. | 2,606,223 | | 391,194 | |
| | WP Carey Inc. | 4,847,240 | | 387,973 | |
| | MarketAxess Holdings Inc. | 1,015,174 | | 384,863 | |
| | UDR Inc. | 8,226,501 | | 384,178 | |
| | Annaly Capital Management Inc. | 40,687,377 | | 383,275 | |
| | TD Ameritrade Holding Corp. | 7,635,768 | | 379,498 | |
| | Loews Corp. | 7,156,276 | | 375,633 | |
| | Cboe Global Markets Inc. | 3,127,672 | | 375,321 | |
| | Host Hotels & Resorts Inc. | 20,206,626 | | 374,833 | |
| | Extra Space Storage Inc. | 3,461,371 | | 365,590 | |
| * | SVB Financial Group | 1,454,579 | | 365,158 | |
| | Duke Realty Corp. | 10,298,922 | | 357,064 | |
| * | Berkshire Hathaway Inc. Class A | 1,041 | | 353,513 | |
| | Nasdaq Inc. | 3,242,363 | | 347,257 | |
| | Equity LifeStyle Properties Inc. | 4,864,950 | | 342,444 | |
| | Fidelity National Financial Inc. | 7,335,493 | | 332,665 | |
| | Lincoln National Corp. | 5,598,331 | | 330,358 | |
| | Ally Financial Inc. | 10,704,738 | | 327,137 | |
| | Vornado Realty Trust | 4,805,900 | | 319,592 | |
| | Everest Re Group Ltd. | 1,149,925 | | 318,345 | |
| | Western Union Co. | 11,810,817 | | 316,294 | |
| | Raymond James Financial Inc. | 3,530,127 | | 315,805 | |
| * | Alleghany Corp. | 386,611 | | 309,123 | |
| | Medical Properties Trust Inc. | 14,559,970 | | 307,361 | |
| | VICI Properties Inc. | 11,985,671 | | 306,234 | |
| | Regency Centers Corp. | 4,690,065 | | 295,896 | |
| | AXA Equitable Holdings Inc. | 11,794,818 | | 292,276 | |
| | Comerica Inc. | 4,066,342 | | 291,760 | |
| | Globe Life Inc. | 2,763,521 | | 290,861 | |
| | E*TRADE Financial Corp. | 6,373,389 | | 289,161 | |
| | Reinsurance Group of America Inc. Class A | 1,766,451 | | 288,037 | |
| | Camden Property Trust | 2,706,646 | | 287,175 | |
| | VEREIT Inc. | 30,028,604 | | 277,464 | |
| | Federal Realty Investment Trust | 2,116,560 | | 272,465 | |
| | AGNC Investment Corp. | 15,364,472 | | 271,644 | |
| | WR Berkley Corp. | 3,913,142 | | 270,398 | |
| | Apollo Global Management LLC | 5,628,222 | | 268,522 | |
| | Brown & Brown Inc. | 6,744,712 | | 266,281 | |
| | Liberty Property Trust | 4,426,700 | | 265,823 | |
| | Omega Healthcare Investors Inc. | 6,141,374 | | 260,087 | |
| | National Retail Properties Inc. | 4,832,158 | | 259,100 | |
| | Iron Mountain Inc. | 8,078,247 | | 257,454 | |
| | Jones Lang LaSalle Inc. | 1,443,149 | | 251,238 | |
| | Zions Bancorp NA | 4,808,423 | | 249,653 | |
| | Kilroy Realty Corp. | 2,971,998 | | 249,351 | |
| | SEI Investments Co. | 3,766,782 | | 246,649 | |
| | Gaming and Leisure Properties Inc. | 5,727,401 | | 246,565 | |
| | RenaissanceRe Holdings Ltd. | 1,239,361 | | 242,940 | |
| | Kimco Realty Corp. | 11,302,147 | | 234,067 | |
| | Voya Financial Inc. | 3,781,334 | | 230,586 | |
| | STORE Capital Corp. | 5,925,880 | | 220,680 | |
| | American Financial Group Inc. | 2,004,242 | | 219,765 | |
| | Assurant Inc. | 1,666,287 | | 218,417 | |
| | Lamar Advertising Co. Class A | 2,423,973 | | 216,364 | |
| | Apartment Investment & Management Co. | 4,165,848 | | 215,166 | |
| | People's United Financial Inc. | 12,544,892 | | 212,009 | |
| | LPL Financial Holdings Inc. | 2,267,543 | | 209,181 | |
| | SL Green Realty Corp. | 2,269,433 | | 208,515 | |
| | CyrusOne Inc. | 3,183,535 | | 208,299 | |
| | Douglas Emmett Inc. | 4,667,679 | | 204,911 | |
| | TCF Financial Corp. | 4,295,641 | | 201,036 | |
| | Franklin Resources Inc. | 7,733,886 | | 200,926 | |
| | East West Bancorp Inc. | 4,102,967 | | 199,814 | |
| | Signature Bank | 1,444,788 | | 197,372 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Commerce Bancshares Inc. | 2,870,875 | | 195,047 | |
| * | GCI Liberty Inc. Class A | 2,716,856 | | 192,489 | |
| | Americold Realty Trust | 5,424,396 | | 190,179 | |
| * | Athene Holding Ltd. Class A | 4,012,748 | | 188,720 | |
| | American Homes 4 Rent Class A | 7,197,882 | | 188,656 | |
| | New Residential Investment Corp. | 11,638,663 | | 187,499 | |
| | Invesco Ltd. | 10,261,582 | | 184,503 | |
| | Starwood Property Trust Inc. | 7,403,948 | | 184,062 | |
| | Brixmor Property Group Inc. | 8,400,366 | | 181,532 | |
| | Prosperity Bancshares Inc. | 2,523,347 | | 181,403 | |
| | Old Republic International Corp. | 8,108,341 | | 181,384 | |
| | American Campus Communities Inc. | 3,845,055 | | 180,833 | |
| | Healthcare Trust of America Inc. Class A | 5,829,205 | | 176,508 | |
| | First American Financial Corp. | 2,986,938 | | 174,198 | |
| | Park Hotels & Resorts Inc. | 6,711,741 | | 173,633 | |
| | CubeSmart | 5,439,620 | | 171,239 | |
| | Cousins Properties Inc. | 4,134,986 | | 170,361 | |
| | Hudson Pacific Properties Inc. | 4,348,702 | | 163,729 | |
| | Popular Inc. | 2,742,588 | | 161,127 | |
| | Cullen/Frost Bankers Inc. | 1,595,557 | | 156,014 | |
| | EPR Properties | 2,192,166 | | 154,855 | |
| | Synovus Financial Corp. | 3,937,053 | | 154,332 | |
| | Primerica Inc. | 1,175,626 | | 153,490 | |
| | Unum Group | 5,246,971 | | 153,002 | |
| | Hanover Insurance Group Inc. | 1,114,817 | | 152,362 | |
| | New York Community Bancorp Inc. | 12,503,613 | | 150,293 | |
| | Western Alliance Bancorp | 2,608,278 | | 148,672 | |
| | First Industrial Realty Trust Inc. | 3,550,695 | | 147,389 | |
| | First Horizon National Corp. | 8,816,010 | | 145,993 | |
| * | Howard Hughes Corp. | 1,147,337 | | 145,482 | |
| | Jefferies Financial Group Inc. | 6,754,113 | | 144,335 | |
| | Rexford Industrial Realty Inc. | 3,137,764 | | 143,302 | |
| | Radian Group Inc. | 5,677,635 | | 142,849 | |
| | JBG SMITH Properties | 3,572,115 | | 142,492 | |
| | Highwoods Properties Inc. | 2,911,348 | | 142,394 | |
| | EastGroup Properties Inc. | 1,073,051 | | 142,362 | |
| | Life Storage Inc. | 1,313,712 | | 142,249 | |
| | Eaton Vance Corp. | 3,037,187 | | 141,806 | |
| | MGIC Investment Corp. | 9,826,600 | | 139,243 | |
| | Webster Financial Corp. | 2,596,430 | | 138,545 | |
| | Kemper Corp. | 1,778,391 | | 137,825 | |
| | Spirit Realty Capital Inc. | 2,789,316 | | 137,179 | |
| | Essent Group Ltd. | 2,596,876 | | 135,012 | |
| | Axis Capital Holdings Ltd. | 2,240,776 | | 133,192 | |
| | Blackstone Mortgage Trust Inc. Class A | 3,560,021 | | 132,504 | |
| | Pinnacle Financial Partners Inc. | 2,060,264 | | 131,857 | |
| * | Credit Acceptance Corp. | 293,331 | | 129,749 | |
| | First Financial Bankshares Inc. | 3,688,075 | | 129,451 | |
| | PacWest Bancorp | 3,330,168 | | 127,446 | |
| | Healthcare Realty Trust Inc. | 3,758,580 | | 125,424 | |
| | Assured Guaranty Ltd. | 2,552,745 | | 125,136 | |
| | Valley National Bancorp | 10,804,590 | | 123,713 | |
| | CIT Group Inc. | 2,691,865 | | 122,830 | |
| *,^ | Zillow Group Inc. | 2,673,443 | | 122,818 | |
| | Lazard Ltd. Class A | 3,025,667 | | 120,906 | |
| | Rayonier Inc. | 3,679,285 | | 120,533 | |
| | Sterling Bancorp | 5,706,002 | | 120,283 | |
| | Ryman Hospitality Properties Inc. | 1,380,007 | | 119,591 | |
| | CoreSite Realty Corp. | 1,062,923 | | 119,175 | |
| | Erie Indemnity Co. Class A | 717,666 | | 119,133 | |
| * | Brighthouse Financial Inc. | 3,024,692 | | 118,659 | |
| | Glacier Bancorp Inc. | 2,567,917 | | 118,098 | |
| | STAG Industrial Inc. | 3,701,775 | | 116,865 | |
| | FNB Corp. | 9,174,526 | | 116,516 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Sabra Health Care REIT Inc. | 5,454,966 | | 116,409 | |
| | Wintrust Financial Corp. | 1,631,747 | | 115,691 | |
| | Two Harbors Investment Corp. | 7,841,525 | | 114,643 | |
| | United Bankshares Inc. | 2,927,970 | | 113,195 | |
| | Service Properties Trust | 4,634,141 | | 112,749 | |
| | Affiliated Managers Group Inc. | 1,322,279 | | 112,050 | |
| | Stifel Financial Corp. | 1,835,676 | | 111,334 | |
| | IBERIABANK Corp. | 1,480,012 | | 110,749 | |
| | Janus Henderson Group plc | 4,503,301 | | 110,106 | |
| | Umpqua Holdings Corp. | 6,215,051 | | 110,006 | |
| | Bank of Hawaii Corp. | 1,145,375 | | 108,994 | |
| | Hancock Whitney Corp. | 2,469,944 | | 108,381 | |
| | Selective Insurance Group Inc. | 1,662,011 | | 108,346 | |
| | Weingarten Realty Investors | 3,454,055 | | 107,905 | |
| ^ | Macerich Co. | 4,005,424 | | 107,826 | |
| | Outfront Media Inc. | 4,004,425 | | 107,399 | |
| | First Hawaiian Inc. | 3,718,615 | | 107,282 | |
| | Bank OZK | 3,494,195 | | 106,590 | |
| | SLM Corp. | 11,925,818 | | 106,259 | |
| | RLI Corp. | 1,179,005 | | 106,134 | |
| | Equity Commonwealth | 3,215,333 | | 105,559 | |
| | Chimera Investment Corp. | 5,119,302 | | 105,253 | |
| | Community Bank System Inc. | 1,465,641 | | 103,973 | |
| | Terreno Realty Corp. | 1,891,583 | | 102,410 | |
| | Physicians Realty Trust | 5,261,252 | | 99,648 | |
| | Pebblebrook Hotel Trust | 3,708,297 | | 99,419 | |
| | Associated Banc-Corp | 4,492,443 | | 99,013 | |
| | White Mountains Insurance Group Ltd. | 88,708 | | 98,955 | |
| | BankUnited Inc. | 2,703,466 | | 98,839 | |
| | Apple Hospitality REIT Inc. | 6,004,146 | | 97,567 | |
| | Interactive Brokers Group Inc. | 2,053,839 | | 95,750 | |
| | National Health Investors Inc. | 1,171,458 | | 95,450 | |
| | MFA Financial Inc. | 12,356,377 | | 94,526 | |
| | FirstCash Inc. | 1,155,899 | | 93,200 | |
| | Corporate Office Properties Trust | 3,159,891 | | 92,838 | |
| | UMB Financial Corp. | 1,331,926 | | 91,423 | |
| | CenterState Bank Corp. | 3,599,594 | | 89,918 | |
| | OneMain Holdings Inc. | 2,125,028 | | 89,570 | |
| | PS Business Parks Inc. | 542,103 | | 89,377 | |
| | QTS Realty Trust Inc. Class A | 1,642,200 | | 89,122 | |
| | Sunstone Hotel Investors Inc. | 6,368,489 | | 88,649 | |
| | Federated Investors Inc. Class B | 2,714,520 | | 88,466 | |
| | Old National Bancorp | 4,822,497 | | 88,203 | |
| | RLJ Lodging Trust | 4,860,269 | | 86,124 | |
| * | Zillow Group Inc. Class A | 1,880,318 | | 86,006 | |
| | BancorpSouth Bank | 2,728,540 | | 85,703 | |
| | Navient Corp. | 6,244,029 | | 85,418 | |
| | Home BancShares Inc. | 4,304,823 | | 84,633 | |
| | Columbia Banking System Inc. | 2,058,780 | | 83,761 | |
| | Cathay General Bancorp | 2,196,445 | | 83,575 | |
| | South State Corp. | 961,753 | | 83,432 | |
| | Legg Mason Inc. | 2,318,148 | | 83,245 | |
| | Atlantic Union Bankshares Corp. | 2,215,640 | | 83,197 | |
| | Retail Properties of America Inc. | 6,143,531 | | 82,323 | |
| | Washington Federal Inc. | 2,235,910 | | 81,946 | |
| | Fulton Financial Corp. | 4,689,494 | | 81,738 | |
| | Paramount Group Inc. | 5,868,631 | | 81,691 | |
| | CVB Financial Corp. | 3,767,828 | | 81,310 | |
| | Simmons First National Corp. Class A | 3,034,204 | | 81,286 | |
| | Ameris Bancorp | 1,910,687 | | 81,281 | |
| ^ | Piedmont Office Realty Trust Inc. Class A | 3,621,568 | | 80,544 | |
| | Independent Bank Corp. | 962,771 | | 80,151 | |
| | Brandywine Realty Trust | 5,088,899 | | 80,150 | |
| * | Texas Capital Bancshares Inc. | 1,407,790 | | 79,920 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Agree Realty Corp. | 1,130,008 | | 79,293 | |
| | PotlatchDeltic Corp. | 1,820,779 | | 78,785 | |
| | CNO Financial Group Inc. | 4,340,524 | | 78,694 | |
| * | Cannae Holdings Inc. | 2,102,625 | | 78,197 | |
| | Kennedy-Wilson Holdings Inc. | 3,487,312 | | 77,767 | |
| | Apollo Commercial Real Estate Finance Inc. | 4,248,041 | | 77,697 | |
| | American Equity Investment Life Holding Co. | 2,546,649 | | 76,221 | |
| | Ares Management Corp. Class A | 2,095,914 | | 74,803 | |
| | Investors Bancorp Inc. | 6,181,415 | | 73,652 | |
| | Lexington Realty Trust Class B | 6,911,052 | | 73,395 | |
| | First Midwest Bancorp Inc. | 3,176,886 | | 73,259 | |
| | BOK Financial Corp. | 818,663 | | 71,551 | |
| | Empire State Realty Trust Inc. | 5,094,209 | | 71,115 | |
| | Columbia Property Trust Inc. | 3,378,971 | | 70,654 | |
| | United Community Banks Inc. | 2,287,977 | | 70,653 | |
| | Xenia Hotels & Resorts Inc. | 3,237,245 | | 69,957 | |
| | International Bancshares Corp. | 1,622,610 | | 69,886 | |
| | Evercore Inc. Class A | 927,534 | | 69,342 | |
| | First Financial Bancorp | 2,689,196 | | 68,413 | |
| | WesBanco Inc. | 1,792,172 | | 67,726 | |
| | Washington REIT | 2,318,644 | | 67,658 | |
| * | Enstar Group Ltd. | 325,844 | | 67,404 | |
| | WSFS Financial Corp. | 1,519,893 | | 66,860 | |
| *,^ | LendingTree Inc. | 218,588 | | 66,328 | |
| | Invesco Mortgage Capital Inc. | 3,973,444 | | 66,158 | |
| | First BanCorp | 6,213,020 | | 65,796 | |
| | Colony Capital Inc. | 13,763,198 | | 65,375 | |
| * | Cushman & Wakefield plc | 3,146,995 | | 64,325 | |
| | American Assets Trust Inc. | 1,400,596 | | 64,287 | |
| | Urban Edge Properties | 3,340,623 | | 64,073 | |
| * | NMI Holdings Inc. Class A | 1,917,694 | | 63,629 | |
| | DiamondRock Hospitality Co. | 5,733,393 | | 63,526 | |
| | Cadence BanCorp Class A | 3,477,658 | | 63,050 | |
| | First Merchants Corp. | 1,507,513 | | 62,697 | |
| * | Genworth Financial Inc. Class A | 14,235,998 | | 62,638 | |
| | Acadia Realty Trust | 2,403,283 | | 62,317 | |
| | PennyMac Mortgage Investment Trust | 2,784,287 | | 62,062 | |
| | SITE Centers Corp. | 4,335,071 | | 60,778 | |
| | Argo Group International Holdings Ltd. | 922,684 | | 60,666 | |
| | Kinsale Capital Group Inc. | 586,069 | | 59,580 | |
| | First Citizens BancShares Inc. Class A | 110,710 | | 58,921 | |
| * | eHealth Inc. | 609,120 | | 58,524 | |
| | CoreCivic Inc. | 3,325,663 | | 57,800 | |
| | Newmark Group Inc. Class A | 4,290,825 | | 57,733 | |
| | Retail Opportunity Investments Corp. | 3,250,606 | | 57,406 | |
| | Trustmark Corp. | 1,658,514 | | 57,235 | |
| | Houlihan Lokey Inc. Class A | 1,169,950 | | 57,175 | |
| | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 1,774,573 | | 57,106 | |
| | CareTrust REIT Inc. | 2,758,099 | | 56,900 | |
| | Four Corners Property Trust Inc. | 2,016,398 | | 56,842 | |
| | Essential Properties Realty Trust Inc. | 2,286,800 | | 56,736 | |
| | National Storage Affiliates Trust | 1,681,886 | | 56,545 | |
| | Santander Consumer USA Holdings Inc. | 2,416,616 | | 56,476 | |
| | Senior Housing Properties Trust | 6,681,106 | | 56,389 | |
| | ProAssurance Corp. | 1,550,920 | | 56,050 | |
| | Great Western Bancorp Inc. | 1,613,004 | | 56,036 | |
| | Independent Bank Group Inc. | 990,948 | | 54,938 | |
| | Renasant Corp. | 1,540,719 | | 54,572 | |
| | GEO Group Inc. | 3,285,257 | | 54,568 | |
| | Walker & Dunlop Inc. | 832,225 | | 53,828 | |
| | Banner Corp. | 948,643 | | 53,684 | |
| | Mack-Cali Realty Corp. | 2,317,521 | | 53,604 | |
| | Pacific Premier Bancorp Inc. | 1,611,479 | | 52,542 | |
| | Capitol Federal Financial Inc. | 3,776,683 | | 51,854 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Hope Bancorp Inc. | 3,465,334 | | 51,495 | |
| | Redwood Trust Inc. | 3,090,579 | | 51,118 | |
| | Taubman Centers Inc. | 1,631,098 | | 50,711 | |
| | Global Net Lease Inc. | 2,498,266 | | 50,665 | |
| | Horace Mann Educators Corp. | 1,152,355 | | 50,312 | |
| | New York Mortgage Trust Inc. | 8,069,609 | | 50,274 | |
| | Towne Bank | 1,805,288 | | 50,223 | |
| | First Interstate BancSystem Inc. Class A | 1,179,299 | | 49,436 | |
| | Easterly Government Properties Inc. | 2,080,210 | | 49,363 | |
| | LTC Properties Inc. | 1,102,160 | | 49,344 | |
| | Heartland Financial USA Inc. | 971,669 | | 48,331 | |
| | BGC Partners Inc. Class A | 8,132,512 | | 48,307 | |
| | Ladder Capital Corp. Class A | 2,673,082 | | 48,222 | |
| | Hilltop Holdings Inc. | 1,931,254 | | 48,146 | |
| | Westamerica Bancorporation | 708,555 | | 48,019 | |
| | ServisFirst Bancshares Inc. | 1,273,982 | | 48,004 | |
| | FGL Holdings | 4,416,646 | | 47,037 | |
| | Northwest Bancshares Inc. | 2,803,990 | | 46,630 | |
| | Kite Realty Group Trust | 2,380,269 | | 46,487 | |
| *,^ | Redfin Corp. | 2,195,459 | | 46,412 | |
| | NBT Bancorp Inc. | 1,142,053 | | 46,322 | |
| | Artisan Partners Asset Management Inc. Class A | 1,420,464 | | 45,909 | |
| * | PRA Group Inc. | 1,239,136 | | 44,981 | |
| | Broadmark Realty Capital Inc. | 3,499,902 | | 44,624 | |
| | Moelis & Co. Class A | 1,393,451 | | 44,479 | |
| * | Axos Financial Inc. | 1,457,887 | | 44,145 | |
| | Office Properties Income Trust | 1,365,617 | | 43,891 | |
| | Uniti Group Inc. | 5,243,715 | | 43,051 | |
| | S&T Bancorp Inc. | 1,060,643 | | 42,733 | |
| | Berkshire Hills Bancorp Inc. | 1,292,773 | | 42,506 | |
| | Clearway Energy Inc. | 2,128,617 | | 42,466 | |
| | National General Holdings Corp. | 1,911,450 | | 42,243 | |
| | Eagle Bancorp Inc. | 865,865 | | 42,107 | |
| | Industrial Logistics Properties Trust | 1,869,761 | | 41,920 | |
| | First Commonwealth Financial Corp. | 2,838,194 | | 41,182 | |
| | Cohen & Steers Inc. | 653,257 | | 40,998 | |
| | Alexander & Baldwin Inc. | 1,946,123 | | 40,791 | |
| * | Seacoast Banking Corp. of Florida | 1,333,315 | | 40,759 | |
| | Universal Health Realty Income Trust | 342,966 | | 40,250 | |
| | Veritex Holdings Inc. | 1,380,762 | | 40,222 | |
| ^ | American Finance Trust Inc. | 3,031,013 | | 40,191 | |
| | Hamilton Lane Inc. Class A | 670,589 | | 39,967 | |
| ^ | Arbor Realty Trust Inc. | 2,749,629 | | 39,457 | |
| | Park National Corp. | 385,117 | | 39,428 | |
| | Provident Financial Services Inc. | 1,584,760 | | 39,064 | |
| | Mercury General Corp. | 792,967 | | 38,641 | |
| ^ | Seritage Growth Properties Class A | 962,199 | | 38,565 | |
| ^ | Tanger Factory Outlet Centers Inc. | 2,616,520 | | 38,541 | |
| | Safety Insurance Group Inc. | 409,986 | | 37,936 | |
| | Summit Hotel Properties Inc. | 3,048,687 | | 37,621 | |
| | Monmouth Real Estate Investment Corp. | 2,548,903 | | 36,908 | |
| | Flagstar Bancorp Inc. | 952,658 | | 36,439 | |
| | OceanFirst Financial Corp. | 1,392,461 | | 35,563 | |
| | Independence Realty Trust Inc. | 2,522,945 | | 35,523 | |
| | Employers Holdings Inc. | 839,167 | | 35,035 | |
| | Virtu Financial Inc. Class A | 2,188,061 | | 34,987 | |
| | Meta Financial Group Inc. | 957,557 | | 34,960 | |
| | First Busey Corp. | 1,270,891 | | 34,949 | |
| | AMERISAFE Inc. | 527,298 | | 34,817 | |
| | City Holding Co. | 424,463 | | 34,785 | |
| | Brookline Bancorp Inc. | 2,093,269 | | 34,455 | |
| | Tompkins Financial Corp. | 370,474 | | 33,898 | |
| | OFG Bancorp | 1,434,441 | | 33,867 | |
| | RPT Realty | 2,242,400 | | 33,726 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Sandy Spring Bancorp Inc. | 888,788 | | 33,667 | |
| | Kearny Financial Corp. | 2,380,799 | | 32,926 | |
| | Nelnet Inc. Class A | 564,578 | | 32,881 | |
| | Southside Bancshares Inc. | 884,646 | | 32,856 | |
| | First Bancorp | 817,374 | | 32,621 | |
| | James River Group Holdings Ltd. | 791,198 | | 32,605 | |
| | Lakeland Financial Corp. | 661,551 | | 32,370 | |
| | TPG RE Finance Trust Inc. | 1,589,340 | | 32,216 | |
| | Piper Jaffray Cos. | 397,500 | | 31,776 | |
| | Brookfield Property REIT Inc. Class A | 1,713,136 | | 31,599 | |
| | Colony Credit Real Estate Inc. | 2,395,228 | | 31,521 | |
| | TFS Financial Corp. | 1,596,848 | | 31,426 | |
| | BancFirst Corp. | 497,964 | | 31,093 | |
| | American National Insurance Co. | 263,996 | | 31,067 | |
| | Enterprise Financial Services Corp. | 637,300 | | 30,724 | |
| ^ | Waddell & Reed Financial Inc. Class A | 1,837,531 | | 30,724 | |
| ^ | Realogy Holdings Corp. | 3,170,952 | | 30,695 | |
| * | Green Dot Corp. Class A | 1,316,167 | | 30,667 | |
| | ARMOUR Residential REIT Inc. | 1,708,889 | | 30,538 | |
| | Getty Realty Corp. | 924,558 | | 30,390 | |
| * | LendingClub Corp. | 2,381,425 | | 30,054 | |
| * | WillScot Corp. Class A | 1,602,030 | | 29,622 | |
| * | Encore Capital Group Inc. | 837,105 | | 29,600 | |
| | TriCo Bancshares | 715,582 | | 29,203 | |
| | National Bank Holdings Corp. Class A | 826,194 | | 29,099 | |
| | Armada Hoffler Properties Inc. | 1,496,377 | | 27,459 | |
| | Heritage Financial Corp. | 969,183 | | 27,428 | |
| | Stewart Information Services Corp. | 669,511 | | 27,309 | |
| | Meridian Bancorp Inc. | 1,355,334 | | 27,229 | |
| | NexPoint Residential Trust Inc. | 599,487 | | 26,977 | |
| | Granite Point Mortgage Trust Inc. | 1,454,702 | | 26,737 | |
| * | Ambac Financial Group Inc. | 1,224,637 | | 26,415 | |
| | PennyMac Financial Services Inc. | 773,364 | | 26,325 | |
| * | Triumph Bancorp Inc. | 683,986 | | 26,005 | |
| * | Mr Cooper Group Inc. | 2,078,305 | | 26,000 | |
| | Boston Private Financial Holdings Inc. | 2,113,538 | | 25,426 | |
| | Carolina Financial Corp. | 585,782 | | 25,323 | |
| | Investors Real Estate Trust | 349,282 | | 25,323 | |
| | Community Healthcare Trust Inc. | 580,544 | | 24,882 | |
| | Chatham Lodging Trust | 1,351,504 | | 24,787 | |
| | United Fire Group Inc. | 566,755 | | 24,784 | |
| * | Focus Financial Partners Inc. Class A | 834,448 | | 24,591 | |
| | PJT Partners Inc. | 539,897 | | 24,366 | |
| | iStar Inc. | 1,674,618 | | 24,299 | |
| ^ | Innovative Industrial Properties Inc. | 320,133 | | 24,288 | |
| * | Marcus & Millichap Inc. | 649,690 | | 24,201 | |
| 2 | Great Ajax Corp. | 1,620,172 | | 23,995 | |
| | Virtus Investment Partners Inc. | 193,247 | | 23,522 | |
| | German American Bancorp Inc. | 657,799 | | 23,431 | |
| | TrustCo Bank Corp. NY | 2,689,149 | | 23,315 | |
| | Franklin Street Properties Corp. | 2,721,372 | | 23,295 | |
| | Banc of California Inc. | 1,342,256 | | 23,060 | |
| | ConnectOne Bancorp Inc. | 894,275 | | 23,001 | |
| * | HomeStreet Inc. | 668,195 | | 22,719 | |
| | Central Pacific Financial Corp. | 765,854 | | 22,654 | |
| | Capstead Mortgage Corp. | 2,846,248 | | 22,542 | |
| * | Enova International Inc. | 933,414 | | 22,458 | |
| * | Third Point Reinsurance Ltd. | 2,132,962 | | 22,439 | |
| | Universal Insurance Holdings Inc. | 797,889 | | 22,333 | |
| | Stock Yards Bancorp Inc. | 542,763 | | 22,286 | |
| | Bryn Mawr Bank Corp. | 534,627 | | 22,048 | |
| | Lakeland Bancorp Inc. | 1,266,862 | | 22,018 | |
| * | Columbia Financial Inc. | 1,276,271 | | 21,620 | |
| | Preferred Bank | 347,454 | | 20,879 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Northfield Bancorp Inc. | 1,225,035 | | 20,777 | |
| | Univest Financial Corp. | 774,963 | | 20,754 | |
| | Urstadt Biddle Properties Inc. Class A | 823,862 | | 20,465 | |
| | City Office REIT Inc. | 1,502,609 | | 20,315 | |
| | Clearway Energy Inc. Class A | 1,048,262 | | 20,043 | |
| | Washington Trust Bancorp Inc. | 371,507 | | 19,983 | |
| * | INTL. FCStone Inc. | 405,344 | | 19,793 | |
| | Great Southern Bancorp Inc. | 310,323 | | 19,650 | |
| * | St. Joe Co. | 990,382 | | 19,639 | |
| * | Allegiance Bancshares Inc. | 521,500 | | 19,608 | |
| | Heritage Commerce Corp. | 1,525,706 | | 19,575 | |
| * | MBIA Inc. | 2,087,440 | | 19,413 | |
| | Opus Bank | 743,873 | | 19,244 | |
| | Alexander's Inc. | 57,701 | | 19,062 | |
| | RMR Group Inc. Class A | 414,900 | | 18,936 | |
| | New Senior Investment Group Inc. | 2,464,865 | | 18,856 | |
| * | Palomar Holdings Inc. Class A | 372,067 | | 18,786 | |
| | Federal Agricultural Mortgage Corp. | 224,286 | | 18,728 | |
| | Gladstone Commercial Corp. | 856,169 | | 18,716 | |
| | National Western Life Group Inc. Class A | 64,119 | | 18,651 | |
| | Brightsphere Investment Group Inc. | 1,819,391 | | 18,594 | |
| ^ | Washington Prime Group Inc. | 5,071,132 | | 18,459 | |
| | Community Trust Bancorp Inc. | 392,974 | | 18,328 | |
| * | Nicolet Bankshares Inc. | 247,866 | | 18,305 | |
| | WisdomTree Investments Inc. | 3,767,054 | | 18,233 | |
| | Horizon Bancorp Inc. | 956,562 | | 18,175 | |
| | Dime Community Bancshares Inc. | 866,849 | | 18,108 | |
| * | TriState Capital Holdings Inc. | 689,005 | | 17,997 | |
| | Hanmi Financial Corp. | 892,940 | | 17,854 | |
| | First Foundation Inc. | 1,023,035 | | 17,801 | |
| | FB Financial Corp. | 449,503 | | 17,796 | |
| | Camden National Corp. | 385,338 | | 17,749 | |
| | Saul Centers Inc. | 333,485 | | 17,601 | |
| | Ellington Financial Inc. | 959,630 | | 17,590 | |
| * | Bancorp Inc. | 1,350,948 | | 17,522 | |
| | Origin Bancorp Inc. | 462,346 | | 17,495 | |
| | First Bancshares Inc. | 485,781 | | 17,255 | |
| | UMH Properties Inc. | 1,089,848 | | 17,143 | |
| | First Defiance Financial Corp. | 539,964 | | 17,003 | |
| | CorEnergy Infrastructure Trust Inc. | 379,037 | | 16,947 | |
| | Front Yard Residential Corp. | 1,372,707 | | 16,939 | |
| * | Customers Bancorp Inc. | 704,227 | | 16,768 | |
| | Midland States Bancorp Inc. | 570,478 | | 16,521 | |
| | Safehold Inc. | 409,540 | | 16,504 | |
| | Peoples Bancorp Inc. | 471,617 | | 16,346 | |
| | Retail Value Inc. | 439,531 | | 16,175 | |
| | Preferred Apartment Communities Inc. Class A | 1,208,985 | | 16,104 | |
| | CatchMark Timber Trust Inc. Class A | 1,398,014 | | 16,035 | |
| ^ | Goosehead Insurance Inc. Class A | 374,830 | | 15,893 | |
| | Global Medical REIT Inc. | 1,170,533 | | 15,486 | |
| | Hersha Hospitality Trust Class A | 1,061,404 | | 15,443 | |
| | Flushing Financial Corp. | 710,364 | | 15,347 | |
| | RE/MAX Holdings Inc. Class A | 398,009 | | 15,319 | |
| | CBTX Inc. | 489,071 | | 15,220 | |
| | State Auto Financial Corp. | 488,283 | | 15,147 | |
| | Bridge Bancorp Inc. | 449,069 | | 15,057 | |
| | Whitestone REIT | 1,104,614 | | 15,045 | |
| | Mercantile Bank Corp. | 411,095 | | 14,993 | |
| | FBL Financial Group Inc. Class A | 250,022 | | 14,734 | |
| | First of Long Island Corp. | 580,215 | | 14,552 | |
| | Ready Capital Corp. | 936,890 | | 14,447 | |
| | Peapack Gladstone Financial Corp. | 465,585 | | 14,387 | |
| * | Watford Holdings Ltd. | 571,403 | | 14,376 | |
| | Western Asset Mortgage Capital Corp. | 1,388,646 | | 14,345 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | KKR Real Estate Finance Trust Inc. | 700,032 | | 14,295 | |
| | MidWestOne Financial Group Inc. | 394,072 | | 14,277 | |
| | Bank of Marin Bancorp | 316,070 | | 14,239 | |
| | Republic Bancorp Inc.Class A | 302,552 | | 14,159 | |
| | QCR Holdings Inc. | 316,914 | | 13,900 | |
| | AG Mortgage Investment Trust Inc. | 897,643 | | 13,842 | |
| * | World Acceptance Corp. | 159,389 | | 13,771 | |
| | United Community Financial Corp. | 1,157,599 | | 13,498 | |
| | First Financial Corp. | 292,865 | | 13,390 | |
| | Independent Bank Corp. | 583,890 | | 13,225 | |
| | Arrow Financial Corp. | 347,712 | | 13,144 | |
| | Live Oak Bancshares Inc. | 687,713 | | 13,073 | |
| * | Equity Bancshares Inc. Class A | 423,247 | | 13,066 | |
| | Orchid Island Capital Inc. | 2,224,790 | | 13,015 | |
| | First Community Bankshares Inc. | 414,894 | | 12,870 | |
| | Franklin Financial Network Inc. | 371,529 | | 12,755 | |
| | HomeTrust Bancshares Inc. | 472,620 | | 12,680 | |
| | Ares Commercial Real Estate Corp. | 766,980 | | 12,149 | |
| | People's Utah Bancorp | 402,090 | | 12,111 | |
| | 1st Source Corp. | 232,265 | | 12,050 | |
| | CNB Financial Corp. | 366,289 | | 11,970 | |
| * | Atlantic Capital Bancshares Inc. | 651,803 | | 11,961 | |
| | Waterstone Financial Inc. | 624,917 | | 11,892 | |
| * | Cowen Inc. Class A | 749,220 | | 11,800 | |
| | Financial Institutions Inc. | 365,655 | | 11,738 | |
| * | Carter Bank & Trust | 492,232 | | 11,676 | |
| | Jernigan Capital Inc. | 608,815 | | 11,653 | |
| | Dynex Capital Inc. | 687,236 | | 11,642 | |
| 2 | Safeguard Scientifics Inc. | 1,047,764 | | 11,504 | |
| | Exantas Capital Corp. | 969,094 | | 11,445 | |
| | Territorial Bancorp Inc. | 366,975 | | 11,354 | |
| * | Assetmark Financial Holdings Inc. | 388,789 | | 11,283 | |
| | American National Bankshares Inc. | 284,338 | | 11,251 | |
| | Cherry Hill Mortgage Investment Corp. | 766,732 | | 11,187 | |
| | Diamond Hill Investment Group Inc. | 78,958 | | 11,090 | |
| | One Liberty Properties Inc. | 407,809 | | 11,088 | |
| | First Mid Bancshares Inc. | 313,354 | | 11,046 | |
| | CorePoint Lodging Inc. | 995,106 | | 10,628 | |
| | Anworth Mortgage Asset Corp. | 3,000,488 | | 10,562 | |
| * | Hallmark Financial Services Inc. | 600,189 | | 10,545 | |
| | Byline Bancorp Inc. | 537,303 | | 10,515 | |
| | Bank First Corp. | 149,945 | | 10,498 | |
| | Gladstone Land Corp. | 803,277 | | 10,418 | |
| * | Bridgewater Bancshares Inc. | 746,361 | | 10,285 | |
| | Consolidated-Tomoka Land Co. | 170,147 | | 10,263 | |
| | Civista Bancshares Inc. | 426,141 | | 10,227 | |
| | Old Second Bancorp Inc. | 759,012 | | 10,224 | |
| *,^ | Amerant Bancorp Inc. | 465,692 | | 10,147 | |
| ^ | Cambridge Bancorp | 124,988 | | 10,018 | |
| * | Southern First Bancshares Inc. | 235,384 | | 10,001 | |
| | Southern Missouri Bancorp Inc. | 258,554 | | 9,918 | |
| | PCSB Financial Corp. | 485,940 | | 9,840 | |
| | Bar Harbor Bankshares | 387,356 | | 9,835 | |
| | Farmers National Banc Corp. | 601,079 | | 9,810 | |
| | SmartFinancial Inc. | 414,374 | | 9,800 | |
| | Sierra Bancorp | 335,418 | | 9,767 | |
| | Sculptor Capital Management Inc. Class A | 440,752 | | 9,741 | |
| * | EZCORP Inc. Class A | 1,423,009 | | 9,705 | |
| * | Forestar Group Inc. | 464,800 | | 9,691 | |
| | Amalgamated Bank Class A | 495,431 | | 9,636 | |
| | West Bancorporation Inc. | 375,002 | | 9,611 | |
| | Bluerock Residential Growth REIT Inc. Class A | 767,638 | | 9,250 | |
| ^ | Pennsylvania REIT | 1,697,244 | | 9,046 | |
| * | Spirit of Texas Bancshares Inc. | 393,304 | | 9,046 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | FRP Holdings Inc. | 180,748 | | 9,003 | |
| | Ladenburg Thalmann Financial Services Inc. | 2,576,754 | | 8,967 | |
| * | Entegra Financial Corp. | 295,918 | | 8,925 | |
| | Summit Financial Group Inc. | 329,154 | | 8,917 | |
| | First Bancorp Inc. | 291,125 | | 8,801 | |
| | Home Bancorp Inc. | 220,260 | | 8,632 | |
| * | Greenlight Capital Re Ltd. Class A | 847,496 | | 8,568 | |
| | Guaranty Bancshares Inc. | 260,285 | | 8,558 | |
| | Merchants Bancorp | 430,428 | | 8,484 | |
| | Northrim BanCorp Inc. | 221,302 | | 8,476 | |
| | Business First Bancshares Inc. | 338,148 | | 8,430 | |
| | Plymouth Industrial REIT Inc. | 458,102 | | 8,424 | |
| | Oppenheimer Holdings Inc. Class A | 303,198 | | 8,332 | |
| | RBB Bancorp | 392,341 | | 8,306 | |
| | HCI Group Inc. | 181,763 | | 8,297 | |
| *,^ | Citizens Inc. Class A | 1,229,204 | | 8,297 | |
| | Central Valley Community Bancorp | 380,201 | | 8,239 | |
| | Citizens & Northern Corp. | 290,410 | | 8,204 | |
| ^ | Victory Capital Holdings Inc. Class A | 391,010 | | 8,199 | |
| | MutualFirst Financial Inc. | 206,400 | | 8,188 | |
| * | Baycom Corp. | 359,031 | | 8,164 | |
| | Peoples Financial Services Corp. | 161,962 | | 8,155 | |
| | Westwood Holdings Group Inc. | 275,303 | | 8,154 | |
| | Heritage Insurance Holdings Inc. | 611,888 | | 8,108 | |
| | Shore Bancshares Inc. | 464,219 | | 8,059 | |
| | Capital City Bank Group Inc. | 263,324 | | 8,031 | |
| * | BRP Group Inc. Class A | 498,090 | | 7,994 | |
| | Western New England Bancorp Inc. | 829,917 | | 7,992 | |
| | FS Bancorp Inc. | 125,271 | | 7,991 | |
| | Braemar Hotels & Resorts Inc. | 876,108 | | 7,824 | |
| * | Regional Management Corp. | 258,969 | | 7,777 | |
| | MVB Financial Corp. | 311,990 | | 7,775 | |
| | National Bankshares Inc. | 171,243 | | 7,694 | |
| * | Tejon Ranch Co. | 475,908 | | 7,605 | |
| | BankFinancial Corp. | 577,720 | | 7,557 | |
| | United Insurance Holdings Corp. | 598,408 | | 7,546 | |
| * | PICO Holdings Inc. | 677,021 | | 7,528 | |
| | Southern National Bancorp of Virginia Inc. | 460,226 | | 7,525 | |
| | SB One Bancorp | 301,060 | | 7,502 | |
| | Hingham Institution for Savings | 35,603 | | 7,484 | |
| | Farmers & Merchants Bancorp Inc. | 247,557 | | 7,464 | |
| * | Metropolitan Bank Holding Corp. | 154,227 | | 7,438 | |
| | Capstar Financial Holdings Inc. | 444,971 | | 7,409 | |
| | BRT Apartments Corp. | 434,371 | | 7,371 | |
| * | Howard Bancorp Inc. | 436,263 | | 7,364 | |
| | Marlin Business Services Corp. | 332,744 | | 7,314 | |
| | First Bank | 659,837 | | 7,291 | |
| | PCB Bancorp | 419,108 | | 7,242 | |
| | LCNB Corp. | 374,001 | | 7,218 | |
| * | HarborOne Bancorp Inc. | 653,951 | | 7,187 | |
| | BBX Capital Corp. Class A | 1,504,034 | | 7,174 | |
| | Macatawa Bank Corp. | 639,766 | | 7,121 | |
| | First Choice Bancorp | 263,992 | | 7,117 | |
| | Ashford Hospitality Trust Inc. | 2,537,647 | | 7,080 | |
| | First Internet Bancorp | 295,014 | | 6,995 | |
| | Cedar Realty Trust Inc. | 2,365,218 | | 6,977 | |
| * | Select Bancorp Inc. | 566,085 | | 6,963 | |
| | Enterprise Bancorp Inc. | 204,665 | | 6,932 | |
| | Investar Holding Corp. | 288,733 | | 6,930 | |
| | Greenhill & Co. Inc. | 399,961 | | 6,831 | |
| | First Business Financial Services Inc. | 257,056 | | 6,768 | |
| * | FVCBankcorp Inc. | 386,956 | | 6,760 | |
| * | On Deck Capital Inc. | 1,618,968 | | 6,703 | |
| | Parke Bancorp Inc. | 260,806 | | 6,622 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | First Northwest Bancorp | 365,157 | | 6,620 | |
| | ACNB Corp. | 173,596 | | 6,565 | |
| | Century Bancorp Inc. Class A | 72,167 | | 6,492 | |
| * | Stratus Properties Inc. | 207,296 | | 6,422 | |
| * | Richmond Mutual Bancorporation Inc. | 401,313 | | 6,405 | |
| * | International Money Express Inc. | 531,850 | | 6,403 | |
| *,^ | eXp World Holdings Inc. | 561,770 | | 6,365 | |
| | Global Indemnity Ltd. | 214,746 | | 6,363 | |
| | Penns Woods Bancorp Inc. | 178,812 | | 6,359 | |
| | Bankwell Financial Group Inc. | 219,929 | | 6,343 | |
| | Investors Title Co. | 39,001 | | 6,209 | |
| | Orrstown Financial Services Inc. | 272,978 | | 6,175 | |
| *,^ | Health Insurance Innovations Inc. Class A | 319,738 | | 6,168 | |
| | Ellington Residential Mortgage REIT | 568,308 | | 6,166 | |
| | Codorus Valley Bancorp Inc. | 265,725 | | 6,120 | |
| | Arlington Asset Investment Corp. Class A | 1,078,978 | | 6,010 | |
| | Reliant Bancorp Inc. | 269,772 | | 6,000 | |
| ^ | Farmland Partners Inc. | 864,500 | | 5,861 | |
| | Timberland Bancorp Inc. | 190,063 | | 5,652 | |
| | Clipper Realty Inc. | 530,809 | | 5,627 | |
| | Protective Insurance Corp. Class B | 349,174 | | 5,618 | |
| | Bank of Princeton | 177,561 | | 5,591 | |
| | Tiptree Inc. | 673,979 | | 5,486 | |
| | Premier Financial Bancorp Inc. | 296,554 | | 5,379 | |
| | ESSA Bancorp Inc. | 315,730 | | 5,352 | |
| | Bank of Commerce Holdings | 461,783 | | 5,343 | |
| | Riverview Bancorp Inc. | 650,394 | | 5,340 | |
| | BCB Bancorp Inc. | 386,500 | | 5,330 | |
| | Norwood Financial Corp. | 135,538 | | 5,272 | |
| | Independence Holding Co. | 123,889 | | 5,213 | |
| * | Republic First Bancorp Inc. | 1,233,160 | | 5,155 | |
| | Community Bankers Trust Corp. | 579,381 | | 5,145 | |
| | Northeast Bank | 228,936 | | 5,034 | |
| * | Malvern Bancorp Inc. | 217,730 | | 5,027 | |
| | Evans Bancorp Inc. | 124,332 | | 4,986 | |
| | Silvercrest Asset Management Group Inc. Class A | 395,459 | | 4,975 | |
| | First United Corp. | 201,916 | | 4,864 | |
| * | Randolph Bancorp Inc. | 272,216 | | 4,805 | |
| * | HBT Financial Inc. | 252,396 | | 4,793 | |
| ^ | CBL & Associates Properties Inc. | 4,481,209 | | 4,705 | |
| * | Curo Group Holdings Corp. | 385,794 | | 4,699 | |
| | Unity Bancorp Inc. | 208,089 | | 4,697 | |
| | FedNat Holding Co. | 281,905 | | 4,688 | |
| | C&F Financial Corp. | 83,746 | | 4,634 | |
| * | NI Holdings Inc. | 268,861 | | 4,624 | |
| | Community Financial Corp. | 129,569 | | 4,609 | |
| | Chemung Financial Corp. | 105,532 | | 4,485 | |
| * | Rafael Holdings Inc. Class B | 247,734 | | 4,420 | |
| | South Plains Financial Inc. | 209,866 | | 4,380 | |
| | Alerus Financial Corp. | 191,324 | | 4,372 | |
| * | Provident Bancorp Inc. | 344,790 | | 4,293 | |
| * | Carolina Trust Bancshares Inc. | 328,780 | | 4,291 | |
| * | Esquire Financial Holdings Inc. | 163,283 | | 4,257 | |
| | Crawford & Co. Class A | 367,705 | | 4,218 | |
| | Mackinac Financial Corp. | 237,842 | | 4,153 | |
| * | ProSight Global Inc. | 254,996 | | 4,113 | |
| * | Medallion Financial Corp. | 552,377 | | 4,016 | |
| | 1st Constitution Bancorp | 179,404 | | 3,970 | |
| | First Community Corp. | 183,681 | | 3,969 | |
| * | Pacific Mercantile Bancorp | 482,797 | | 3,920 | |
| | FNCB Bancorp Inc. | 459,377 | | 3,882 | |
| | Donegal Group Inc. Class A | 257,647 | | 3,818 | |
| | Provident Financial Holdings Inc. | 173,786 | | 3,806 | |
| * | Meridian Corp. | 187,838 | | 3,792 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | OP Bancorp | 364,245 | | 3,777 | |
| * | Pioneer Bancorp Inc. | 244,745 | | 3,747 | |
| | Two River Bancorp | 166,206 | | 3,723 | |
| | Middlefield Banc Corp. | 140,636 | | 3,669 | |
| | Peoples Bancorp of North Carolina Inc. | 111,619 | | 3,667 | |
| | Pzena Investment Management Inc. Class A | 422,399 | | 3,641 | |
| ^ | Fidelity D&D Bancorp Inc. | 58,152 | | 3,618 | |
| * | Ocwen Financial Corp. | 2,627,421 | | 3,600 | |
| | Crawford & Co. Class B | 350,392 | | 3,556 | |
| | Prudential Bancorp Inc. | 191,884 | | 3,556 | |
| * | PDL Community Bancorp | 240,811 | | 3,540 | |
| * | Elevate Credit Inc. | 789,118 | | 3,512 | |
| | Ohio Valley Banc Corp. | 87,025 | | 3,448 | |
| * | MMA Capital Holdings Inc. | 108,138 | | 3,439 | |
| * | Aspen Group Inc. | 429,005 | | 3,432 | |
| | Hawthorn Bancshares Inc. | 134,425 | | 3,428 | |
| | United Security Bancshares | 314,496 | | 3,375 | |
| * | MainStreet Bancshares Inc. | 146,516 | | 3,370 | |
| | First Financial Northwest Inc. | 220,880 | | 3,300 | |
| ^ | Federal Agricultural Mortgage Corp. Class A | 43,002 | | 3,203 | |
| | Mid Penn Bancorp Inc. | 107,737 | | 3,103 | |
| | Standard AVB Financial Corp. | 103,063 | | 3,089 | |
| | Luther Burbank Corp. | 267,578 | | 3,085 | |
| | First Guaranty Bancshares Inc. | 139,318 | | 3,033 | |
| | First Savings Financial Group Inc. | 43,991 | | 2,952 | |
| * | Coastal Financial Corp. | 178,029 | | 2,932 | |
| | Sotherly Hotels Inc. | 425,491 | | 2,885 | |
| | GAMCO Investors Inc. Class A | 146,252 | | 2,850 | |
| | Sterling Bancorp Inc. | 348,264 | | 2,821 | |
| | Level One Bancorp Inc. | 111,633 | | 2,809 | |
| | SB Financial Group Inc. | 141,145 | | 2,779 | |
| | CB Financial Services Inc. | 89,151 | | 2,687 | |
| * | Capital Bancorp Inc. | 179,330 | | 2,670 | |
| | Bank7 Corp. | 137,640 | | 2,610 | |
| | Postal Realty Trust Inc. Class A | 152,391 | | 2,583 | |
| | Old Point Financial Corp. | 92,255 | | 2,536 | |
| | Griffin Industrial Realty Inc. | 63,382 | | 2,507 | |
| | Condor Hospitality Trust Inc. | 226,675 | | 2,502 | |
| ^ | Associated Capital Group Inc. Class A | 63,741 | | 2,499 | |
| | Greene County Bancorp Inc. | 85,272 | | 2,455 | |
| * | Maui Land & Pineapple Co. Inc. | 210,022 | | 2,363 | |
| * | Atlanticus Holdings Corp. | 262,005 | | 2,361 | |
| *,^ | GWG Holdings Inc. | 234,099 | | 2,299 | |
| ^ | Oak Valley Bancorp | 118,071 | | 2,298 | |
| *,^ | Siebert Financial Corp. | 263,926 | | 2,283 | |
| | Plumas Bancorp | 86,202 | | 2,274 | |
| * | CrossFirst Bankshares Inc. | 157,646 | | 2,273 | |
| | Hunt Cos. Finance Trust Inc. | 683,836 | | 2,209 | |
| 2 | Spirit MTA REIT | 2,854,330 | | 2,191 | |
| * | First Western Financial Inc. | 132,755 | | 2,186 | |
| ^ | Auburn National Bancorporation Inc. | 40,857 | | 2,165 | |
| * | MoneyGram International Inc. | 1,025,165 | | 2,153 | |
| | Union Bankshares Inc. | 59,239 | | 2,148 | |
| * | Altisource Portfolio Solutions SA | 109,207 | | 2,111 | |
| * | Silvergate Capital Corp. Class A | 129,856 | | 2,066 | |
| ^ | GAIN Capital Holdings Inc. | 461,584 | | 1,823 | |
| | AmeriServ Financial Inc. | 418,188 | | 1,756 | |
| | Franklin Financial Services Corp. | 42,348 | | 1,638 | |
| | Sachem Capital Corp. | 369,704 | | 1,605 | |
| | Severn Bancorp Inc. | 172,293 | | 1,604 | |
| | Eagle Bancorp Montana Inc. | 74,805 | | 1,600 | |
| | Kingstone Cos. Inc. | 198,941 | | 1,542 | |
| | Global Self Storage Inc. | 354,937 | | 1,526 | |
| | Manhattan Bridge Capital Inc. | 238,332 | | 1,516 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Blue Capital Reinsurance Holdings Ltd. | 217,080 | | 1,489 | |
| | IF Bancorp Inc. | 61,247 | | 1,410 | |
| *,^ | Oportun Financial Corp. | 58,828 | | 1,400 | |
| * | Consumer Portfolio Services Inc. | 401,461 | | 1,353 | |
| | Hennessy Advisors Inc. | 131,059 | | 1,321 | |
| | Urstadt Biddle Properties Inc. | 65,711 | | 1,306 | |
| *,^ | Impac Mortgage Holdings Inc. | 244,016 | | 1,284 | |
| *,^ | Rekor Systems Inc. | 312,786 | | 1,195 | |
| * | Transcontinental Realty Investors Inc. | 29,823 | | 1,189 | |
| | Sound Financial Bancorp Inc. | 32,178 | | 1,158 | |
| * | Rhinebeck Bancorp Inc. | 94,826 | | 1,072 | |
| | Manning & Napier Inc. | 591,269 | | 1,029 | |
| * | Nicholas Financial Inc. | 124,481 | | 1,026 | |
| * | Limestone Bancorp Inc. | 56,772 | | 1,022 | |
| * | Ashford Inc. | 42,457 | | 1,002 | |
| | Bank of South Carolina Corp. | 52,968 | | 995 | |
| * | Security National Financial Corp. Class A | 170,038 | | 995 | |
| * | Central Federal Corp. | 69,550 | | 970 | |
| *,^ | Avalon GloboCare Corp. | 470,565 | | 908 | |
| * | Maiden Holdings Ltd. | 1,193,606 | | 895 | |
| ^ | Elmira Savings Bank | 52,075 | | 786 | |
| * | FFBW Inc. | 57,872 | | 668 | |
| *,^ | Riot Blockchain Inc. | 575,200 | | 644 | |
| * | CBM Bancorp Inc. | 37,145 | | 524 | |
| | County Bancorp Inc. | 19,769 | | 507 | |
| *,§ | Winthrop Realty Trust | 562,609 | | 486 | |
| | Bank of the James Financial Group Inc. | 31,555 | | 482 | |
| * | Broadway Financial Corp. | 291,631 | | 449 | |
| * | HV Bancorp Inc. | 26,133 | | 444 | |
| * | Community First Bancshares Inc. | 38,693 | | 443 | |
| | Ottawa Bancorp Inc. | 27,877 | | 386 | |
| | MSB Financial Corp. | 19,644 | | 354 | |
| | United Bancorp Inc. | 23,427 | | 335 | |
| * | Power REIT | 29,103 | | 262 | |
| * | National Holdings Corp. | 96,260 | | 245 | |
| * | InterGroup Corp. | 6,286 | | 234 | |
| * | FlexShopper Inc. | 86,281 | | 218 | |
| *,^ | Wheeler REIT Inc. | 128,812 | | 211 | |
| | US Global Investors Inc. Class A | 143,575 | | 207 | |
| *,^ | Altisource Asset Management Corp. | 15,364 | | 190 | |
| * | 1347 Property Insurance Holdings Inc. | 34,257 | | 189 | |
| | WVS Financial Corp. | 11,419 | | 188 | |
| | Medley Management Inc. Class A | 55,034 | | 163 | |
| * | Income Opportunity Realty Investors Inc. | 12,050 | | 159 | |
| | Landmark Bancorp Inc. | 5,815 | | 146 | |
| | Riverview Financial Corp. | 10,060 | | 126 | |
| * | JW Mays Inc. | 4,010 | | 121 | |
| * | Asta Funding Inc. | 11,264 | | 116 | |
| | Mid-Southern Bancorp Inc. | 6,447 | | 87 | |
| * | Trinity Place Holdings Inc. | 27,417 | | 83 | |
| | Medalist Diversified REIT Inc. | 22,234 | | 77 | |
| | Guaranty Federal Bancshares Inc. | 3,011 | | 76 | |
| * | FSB Bancorp Inc. | 3,139 | | 54 | |
| | Oconee Federal Financial Corp. | 1,919 | | 50 | |
| | Lake Shore Bancorp Inc. | 2,800 | | 43 | |
| | Home Federal Bancorp Inc. | 601 | | 21 | |
| * | CPI Card Group Inc. | 23,067 | | 21 | |
| | Protective Insurance Corp. Class A | 1,100 | | 17 | |
| | Tremont Mortgage Trust | 2,458 | | 12 | |
| * | National Holdings Corp. Warrants Exp. 01/18/2022 | 92,151 | | 9 | |
| * | Envision Solar International Inc. | 1,800 | | 8 | |
| * | Village Bank and Trust Financial Corp. | 200 | | 7 | |
| | Patriot National Bancorp Inc. | 100 | | 1 | |
| * | Conifer Holdings Inc. | 300 | | 1 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^,§ | Ditech Holding Corp. Warrants Exp. 02/09/2028 | 34,201 | | — | |
| | | | | 174,087,724 | |
| Health Care (13.0%) | | | | |
| | Johnson & Johnson | 74,147,917 | | 10,815,957 | |
| | UnitedHealth Group Inc. | 26,689,357 | | 7,846,137 | |
| | Merck & Co. Inc. | 71,739,055 | | 6,524,667 | |
| | Pfizer Inc. | 155,931,076 | | 6,109,380 | |
| | Abbott Laboratories | 49,821,309 | | 4,327,479 | |
| | Medtronic plc | 37,757,947 | | 4,283,639 | |
| | Bristol-Myers Squibb Co. | 65,941,862 | | 4,232,808 | |
| | Amgen Inc. | 16,741,329 | | 4,035,832 | |
| | AbbVie Inc. | 41,653,636 | | 3,688,013 | |
| | Thermo Fisher Scientific Inc. | 11,297,406 | | 3,670,188 | |
| | Eli Lilly & Co. | 24,355,427 | | 3,201,034 | |
| | Gilead Sciences Inc. | 35,654,732 | | 2,316,844 | |
| | Anthem Inc. | 7,144,478 | | 2,157,847 | |
| | Cigna Corp. | 10,522,464 | | 2,151,739 | |
| | Becton Dickinson and Co. | 7,620,489 | | 2,072,544 | |
| * | Intuitive Surgical Inc. | 3,255,802 | | 1,924,667 | |
| | Stryker Corp. | 8,962,658 | | 1,881,620 | |
| | Zoetis Inc. | 13,425,665 | | 1,776,887 | |
| * | Boston Scientific Corp. | 39,278,030 | | 1,776,153 | |
| | Allergan plc | 8,788,488 | | 1,680,095 | |
| * | Vertex Pharmaceuticals Inc. | 7,240,328 | | 1,585,270 | |
| * | Biogen Inc. | 5,084,654 | | 1,508,769 | |
| * | Illumina Inc. | 4,142,312 | | 1,374,171 | |
| * | Edwards Lifesciences Corp. | 5,876,280 | | 1,370,877 | |
| | Humana Inc. | 3,731,117 | | 1,367,529 | |
| | Baxter International Inc. | 14,365,712 | | 1,201,261 | |
| | HCA Healthcare Inc. | 7,643,617 | | 1,129,803 | |
| | Zimmer Biomet Holdings Inc. | 5,795,890 | | 867,529 | |
| * | Regeneron Pharmaceuticals Inc. | 2,281,758 | | 856,754 | |
| * | IQVIA Holdings Inc. | 4,651,009 | | 718,627 | |
| * | Centene Corp. | 11,065,329 | | 695,677 | |
| * | Alexion Pharmaceuticals Inc. | 5,933,708 | | 641,731 | |
| * | IDEXX Laboratories Inc. | 2,416,096 | | 630,915 | |
| | ResMed Inc. | 4,053,368 | | 628,150 | |
| * | DexCom Inc. | 2,578,662 | | 564,057 | |
| * | Align Technology Inc. | 1,999,775 | | 558,017 | |
| | Teleflex Inc. | 1,305,090 | | 491,288 | |
| * | WellCare Health Plans Inc. | 1,413,003 | | 466,588 | |
| * | Laboratory Corp. of America Holdings | 2,736,674 | | 462,963 | |
| * | Incyte Corp. | 5,168,791 | | 451,339 | |
| | Cooper Cos. Inc. | 1,397,517 | | 449,008 | |
| * | BioMarin Pharmaceutical Inc. | 5,051,152 | | 427,075 | |
| | Cardinal Health Inc. | 8,260,056 | | 417,794 | |
| | Quest Diagnostics Inc. | 3,783,925 | | 404,085 | |
| * | Hologic Inc. | 7,560,838 | | 394,751 | |
| * | Seattle Genetics Inc. | 3,383,951 | | 386,650 | |
| * | Exact Sciences Corp. | 4,152,833 | | 384,054 | |
| | STERIS plc | 2,387,221 | | 363,860 | |
| * | Varian Medical Systems Inc. | 2,562,187 | | 363,856 | |
| * | Alnylam Pharmaceuticals Inc. | 3,148,889 | | 362,658 | |
| | Dentsply Sirona Inc. | 6,279,146 | | 355,337 | |
| | West Pharmaceutical Services Inc. | 2,086,604 | | 313,679 | |
| * | Elanco Animal Health Inc. | 10,510,862 | | 309,545 | |
| | Universal Health Services Inc. Class B | 2,153,271 | | 308,908 | |
| | PerkinElmer Inc. | 3,135,130 | | 304,421 | |
| * | Insulet Corp. | 1,742,049 | | 298,239 | |
| * | Mylan NV | 14,518,973 | | 291,831 | |
| * | Neurocrine Biosciences Inc. | 2,601,008 | | 279,582 | |
| * | Henry Schein Inc. | 4,140,003 | | 276,221 | |
| * | Sarepta Therapeutics Inc. | 1,988,386 | | 256,581 | |
| * | Molina Healthcare Inc. | 1,764,941 | | 239,485 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Bio-Techne Corp. | 1,072,563 | | 235,438 | |
| * | Catalent Inc. | 4,115,680 | | 231,713 | |
| * | Jazz Pharmaceuticals plc | 1,514,590 | | 226,098 | |
| * | Bio-Rad Laboratories Inc. Class A | 596,434 | | 220,698 | |
| * | Ionis Pharmaceuticals Inc. | 3,554,734 | | 214,741 | |
| * | Masimo Corp. | 1,357,552 | | 214,575 | |
| | Hill-Rom Holdings Inc. | 1,885,688 | | 214,082 | |
| * | Charles River Laboratories International Inc. | 1,374,457 | | 209,962 | |
| * | ABIOMED Inc. | 1,208,943 | | 206,234 | |
| * | PRA Health Sciences Inc. | 1,768,366 | | 196,554 | |
| | Chemed Corp. | 447,001 | | 196,350 | |
| | Encompass Health Corp. | 2,773,163 | | 192,097 | |
| * | Horizon Therapeutics plc | 5,240,941 | | 189,722 | |
| * | Novocure Ltd. | 2,233,522 | | 188,219 | |
| | Perrigo Co. plc | 3,634,872 | | 187,777 | |
| * | DaVita Inc. | 2,381,556 | | 178,688 | |
| * | Avantor Inc. | 9,683,778 | | 175,761 | |
| * | Medicines Co. | 2,007,673 | | 170,532 | |
| * | Arrowhead Pharmaceuticals Inc. | 2,670,284 | | 169,376 | |
| *,^ | Teladoc Health Inc. | 2,020,705 | | 169,173 | |
| * | Haemonetics Corp. | 1,427,395 | | 164,008 | |
| * | Amedisys Inc. | 900,594 | | 150,327 | |
| * | Exelixis Inc. | 8,498,487 | | 149,743 | |
| * | HealthEquity Inc. | 1,978,023 | | 146,512 | |
| * | Penumbra Inc. | 880,291 | | 144,605 | |
| | Bruker Corp. | 2,823,768 | | 143,927 | |
| * | ACADIA Pharmaceuticals Inc. | 3,263,622 | | 139,618 | |
| * | Syneos Health Inc. | 2,333,286 | | 138,772 | |
| * | Reata Pharmaceuticals Inc. Class A | 660,171 | | 134,959 | |
| *,^ | Envista Holdings Corp. | 4,467,754 | | 132,424 | |
| * | Global Blood Therapeutics Inc. | 1,605,782 | | 127,644 | |
| * | Globus Medical Inc. | 2,155,566 | | 126,920 | |
| * | Repligen Corp. | 1,321,352 | | 122,225 | |
| * | Mirati Therapeutics Inc. | 938,573 | | 120,945 | |
| * | Integra LifeSciences Holdings Corp. | 2,043,511 | | 119,096 | |
| * | NuVasive Inc. | 1,467,381 | | 113,487 | |
| * | LHC Group Inc. | 804,843 | | 110,875 | |
| * | Tenet Healthcare Corp. | 2,908,950 | | 110,627 | |
| *,^ | Moderna Inc. | 5,585,195 | | 109,246 | |
| * | Wright Medical Group NV | 3,559,215 | | 108,485 | |
| * | Nektar Therapeutics Class A | 4,936,909 | | 106,563 | |
| * | Blueprint Medicines Corp. | 1,316,521 | | 105,466 | |
| * | Immunomedics Inc. | 4,970,815 | | 105,182 | |
| * | Sage Therapeutics Inc. | 1,453,845 | | 104,953 | |
| * | United Therapeutics Corp. | 1,182,480 | | 104,153 | |
| * | Guardant Health Inc. | 1,323,273 | | 103,401 | |
| * | ICU Medical Inc. | 551,551 | | 103,206 | |
| * | Omnicell Inc. | 1,185,290 | | 96,862 | |
| * | Neogen Corp. | 1,482,169 | | 96,726 | |
| * | Nevro Corp. | 820,536 | | 96,446 | |
| * | Bluebird Bio Inc. | 1,095,213 | | 96,105 | |
| * | Tandem Diabetes Care Inc. | 1,586,978 | | 94,600 | |
| * | Alkermes plc | 4,450,663 | | 90,794 | |
| * | FibroGen Inc. | 2,109,035 | | 90,457 | |
| * | Iovance Biotherapeutics Inc. | 3,223,469 | | 89,226 | |
| | CONMED Corp. | 792,680 | | 88,645 | |
| * | Intercept Pharmaceuticals Inc. | 696,072 | | 86,257 | |
| * | MyoKardia Inc. | 1,173,532 | | 85,533 | |
| * | Agios Pharmaceuticals Inc. | 1,756,338 | | 83,865 | |
| * | Acadia Healthcare Co. Inc. | 2,482,633 | | 82,473 | |
| * | NeoGenomics Inc. | 2,771,052 | | 81,053 | |
| * | PTC Therapeutics Inc. | 1,665,199 | | 79,980 | |
| * | Quidel Corp. | 1,052,038 | | 78,934 | |
| *,^ | Axsome Therapeutics Inc. | 737,657 | | 76,244 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market Value ($000 | ) |
| * | Audentes Therapeutics Inc. | 1,224,526 | | 73,276 | |
| * | HMS Holdings Corp. | 2,469,055 | | 73,084 | |
| * | Halozyme Therapeutics Inc. | 4,073,285 | | 72,219 | |
| *,^ | Allakos Inc. | 756,232 | | 72,114 | |
| * | Select Medical Holdings Corp. | 3,056,856 | | 71,347 | |
| | Cantel Medical Corp. | 1,005,184 | | 71,268 | |
| * | Amicus Therapeutics Inc. | 7,151,539 | | 69,656 | |
| * | Acceleron Pharma Inc. | 1,291,185 | | 68,459 | |
| * | Emergent BioSolutions Inc. | 1,238,630 | | 66,824 | |
| * | Natera Inc. | 1,977,533 | | 66,623 | |
| * | Zogenix Inc. | 1,267,123 | | 66,055 | |
| * | ArQule Inc. | 3,216,030 | | 64,192 | |
| | Ensign Group Inc. | 1,409,969 | | 63,970 | |
| * | Ultragenyx Pharmaceutical Inc. | 1,495,401 | | 63,869 | |
| * | Medpace Holdings Inc. | 753,626 | | 63,350 | |
| * | Glaukos Corp. | 1,162,332 | | 63,312 | |
| * | MEDNAX Inc. | 2,267,250 | | 63,007 | |
| * | Arena Pharmaceuticals Inc. | 1,387,150 | | 63,004 | |
| * | Momenta Pharmaceuticals Inc. | 3,192,196 | | 62,982 | |
| * | Insmed Inc. | 2,492,851 | | 59,529 | |
| * | Prestige Consumer Healthcare Inc. | 1,450,238 | | 58,735 | |
| * | Deciphera Pharmaceuticals Inc. | 943,064 | | 58,696 | |
| * | Heron Therapeutics Inc. | 2,450,005 | | 57,575 | |
| * | Ironwood Pharmaceuticals Inc. Class A | 4,202,579 | | 55,936 | |
| * | Myriad Genetics Inc. | 2,001,023 | | 54,488 | |
| * | Kodiak Sciences Inc. | 726,944 | | 52,304 | |
| | Healthcare Services Group Inc. | 2,116,125 | | 51,464 | |
| * | Pacira BioSciences Inc. | 1,121,928 | | 50,823 | |
| * | Epizyme Inc. | 2,062,143 | | 50,729 | |
| * | iRhythm Technologies Inc. | 740,141 | | 50,396 | |
| * | Xencor Inc. | 1,442,713 | | 49,615 | |
| * | Magellan Health Inc. | 630,873 | | 49,366 | |
| * | Portola Pharmaceuticals Inc. | 2,042,645 | | 48,778 | |
| | Patterson Cos. Inc. | 2,378,378 | | 48,709 | |
| * | Ligand Pharmaceuticals Inc. | 463,388 | | 48,327 | |
| * | Merit Medical Systems Inc. | 1,480,732 | | 46,228 | |
| * | Avanos Medical Inc. | 1,370,555 | | 46,188 | |
| * | Cardiovascular Systems Inc. | 934,553 | | 45,410 | |
| * | ChemoCentryx Inc. | 1,132,250 | | 44,780 | |
| * | STAAR Surgical Co. | 1,266,101 | | 44,529 | |
| * | Intra-Cellular Therapies Inc. | 1,286,780 | | 44,149 | |
| *,^ | Esperion Therapeutics Inc. | 738,864 | | 44,058 | |
| * | Ra Pharmaceuticals Inc. | 925,729 | | 43,444 | |
| * | Aimmune Therapeutics Inc. | 1,274,076 | | 42,643 | |
| * | BioTelemetry Inc. | 910,036 | | 42,135 | |
| * | Apellis Pharmaceuticals Inc. | 1,366,345 | | 41,837 | |
| * | Editas Medicine Inc. | 1,395,879 | | 41,332 | |
| | US Physical Therapy Inc. | 359,768 | | 41,139 | |
| *,^ | Invitae Corp. | 2,528,961 | | 40,792 | |
| * | Turning Point Therapeutics Inc. | 647,880 | | 40,356 | |
| * | Brookdale Senior Living Inc. | 5,305,459 | | 38,571 | |
| * | REGENXBIO Inc. | 937,724 | | 38,419 | |
| * | Addus HomeCare Corp. | 393,732 | | 38,279 | |
| * | Inspire Medical Systems Inc. | 507,453 | | 37,658 | |
| * | Principia Biopharma Inc. | 663,998 | | 36,374 | |
| * | Veracyte Inc. | 1,290,773 | | 36,038 | |
| * | Inogen Inc. | 524,274 | | 35,824 | |
| * | Corcept Therapeutics Inc. | 2,889,200 | | 34,959 | |
| * | Dicerna Pharmaceuticals Inc. | 1,561,936 | | 34,409 | |
| * | Forty Seven Inc. | 860,808 | | 33,890 | |
| * | Tactile Systems Technology Inc. | 500,207 | | 33,769 | |
| * | AtriCure Inc. | 1,035,040 | | 33,649 | |
| * | Supernus Pharmaceuticals Inc. | 1,416,745 | | 33,605 | |
| * | Varex Imaging Corp. | 1,099,198 | | 32,767 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market Value ($000 | ) |
| * | Fate Therapeutics Inc. | 1,671,670 | | 32,715 | |
| * | R1 RCM Inc. | 2,513,490 | | 32,625 | |
| *,^ | Denali Therapeutics Inc. | 1,866,725 | | 32,518 | |
| * | Theravance Biopharma Inc. | 1,244,015 | | 32,208 | |
| *,^ | Aerie Pharmaceuticals Inc. | 1,299,007 | | 31,397 | |
| *,^ | Allogene Therapeutics Inc. | 1,207,657 | | 31,375 | |
| * | Natus Medical Inc. | 938,942 | | 30,976 | |
| * | Enanta Pharmaceuticals Inc. | 498,243 | | 30,781 | |
| * | Coherus Biosciences Inc. | 1,701,617 | | 30,638 | |
| | National HealthCare Corp. | 344,137 | | 29,744 | |
| | Atrion Corp. | 39,264 | | 29,507 | |
| * | Constellation Pharmaceuticals Inc. | 618,688 | | 29,146 | |
| * | Karyopharm Therapeutics Inc. | 1,482,485 | | 28,419 | |
| * | Hanger Inc. | 1,005,835 | | 27,771 | |
| * | Sangamo Therapeutics Inc. | 3,312,218 | | 27,723 | |
| * | NanoString Technologies Inc. | 983,655 | | 27,365 | |
| * | 10X Genomics Inc. Class A | 357,179 | | 27,235 | |
| * | Tricida Inc. | 713,796 | | 26,939 | |
| * | CryoLife Inc. | 991,127 | | 26,850 | |
| * | Endo International plc | 5,680,116 | | 26,640 | |
| * | Radius Health Inc. | 1,298,616 | | 26,180 | |
| | Luminex Corp. | 1,119,094 | | 25,918 | |
| *,^ | TG Therapeutics Inc. | 2,294,664 | | 25,471 | |
| * | Athenex Inc. | 1,666,172 | | 25,442 | |
| | National Research Corp. | 384,351 | | 25,344 | |
| * | CareDx Inc. | 1,167,901 | | 25,192 | |
| *,^ | Bridgebio Pharma Inc. | 711,248 | | 24,929 | |
| * | Tivity Health Inc. | 1,225,191 | | 24,927 | |
| * | Shockwave Medical Inc. | 563,526 | | 24,750 | |
| * | Innoviva Inc. | 1,745,000 | | 24,709 | |
| *,^ | ZIOPHARM Oncology Inc. | 5,183,914 | | 24,468 | |
| * | Codexis Inc. | 1,512,302 | | 24,182 | |
| * | Vanda Pharmaceuticals Inc. | 1,460,304 | | 23,964 | |
| * | Orthofix Medical Inc. | 514,075 | | 23,740 | |
| * | CorVel Corp. | 270,812 | | 23,658 | |
| * | Revance Therapeutics Inc. | 1,450,212 | | 23,537 | |
| * | Pennant Group Inc. | 700,363 | | 23,161 | |
| *,^ | Change Healthcare Inc. | 1,411,121 | | 23,128 | |
| * | RadNet Inc. | 1,111,623 | | 22,566 | |
| *,^ | Rocket Pharmaceuticals Inc. | 989,744 | | 22,527 | |
| * | Achillion Pharmaceuticals Inc. | 3,727,896 | | 22,479 | |
| * | Atara Biotherapeutics Inc. | 1,360,944 | | 22,415 | |
| * | Rhythm Pharmaceuticals Inc. | 958,392 | | 22,005 | |
| * | Madrigal Pharmaceuticals Inc. | 236,491 | | 21,547 | |
| * | Intersect ENT Inc. | 863,220 | | 21,494 | |
| * | Silk Road Medical Inc. | 532,263 | | 21,493 | |
| * | Vericel Corp. | 1,227,821 | | 21,364 | |
| * | ImmunoGen Inc. | 4,094,337 | | 20,902 | |
| * | G1 Therapeutics Inc. | 790,723 | | 20,899 | |
| * | Lantheus Holdings Inc. | 1,018,694 | | 20,893 | |
| * | HealthStream Inc. | 752,263 | | 20,462 | |
| *,^ | Omeros Corp. | 1,429,761 | | 20,145 | |
| * | Pacific Biosciences of California Inc. | 3,912,251 | | 20,109 | |
| * | Anika Therapeutics Inc. | 387,703 | | 20,102 | |
| * | Arvinas Inc. | 486,573 | | 19,993 | |
| *,^ | Dermira Inc. | 1,317,610 | | 19,975 | |
| * | Eagle Pharmaceuticals Inc. | 331,937 | | 19,943 | |
| * | Kadmon Holdings Inc. | 4,370,620 | | 19,799 | |
| * | Flexion Therapeutics Inc. | 941,811 | | 19,495 | |
| * | Collegium Pharmaceutical Inc. | 941,938 | | 19,385 | |
| * | Antares Pharma Inc. | 4,124,118 | | 19,383 | |
| * | Akebia Therapeutics Inc. | 3,062,538 | | 19,355 | |
| * | Heska Corp. | 201,254 | | 19,308 | |
| *,^ | Karuna Therapeutics Inc. | 255,747 | | 19,268 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Gossamer Bio Inc. | 1,231,336 | | 19,246 | |
| * | NextCure Inc. | 339,019 | | 19,097 | |
| * | Amphastar Pharmaceuticals Inc. | 989,237 | | 19,082 | |
| * | Durect Corp. | 5,013,032 | | 19,050 | |
| *,^ | Cara Therapeutics Inc. | 1,179,613 | | 19,004 | |
| * | Y-mAbs Therapeutics Inc. | 603,874 | | 18,871 | |
| * | Retrophin Inc. | 1,283,312 | | 18,223 | |
| * | Axogen Inc. | 1,018,358 | | 18,218 | |
| * | Adverum Biotechnologies Inc. | 1,538,817 | | 17,727 | |
| * | Krystal Biotech Inc. | 313,524 | | 17,363 | |
| * | Cytokinetics Inc. | 1,623,037 | | 17,220 | |
| | LeMaitre Vascular Inc. | 478,977 | | 17,219 | |
| * | Assembly Biosciences Inc. | 834,166 | | 17,067 | |
| * | Cerus Corp. | 3,967,073 | | 16,741 | |
| * | Kura Oncology Inc. | 1,209,831 | | 16,635 | |
| *,^ | OPKO Health Inc. | 11,229,587 | | 16,507 | |
| *,^ | Intellia Therapeutics Inc. | 1,079,042 | | 15,830 | |
| * | Adaptive Biotechnologies Corp. | 528,019 | | 15,798 | |
| * | AngioDynamics Inc. | 985,569 | | 15,779 | |
| *,^ | Cortexyme Inc. | 276,822 | | 15,541 | |
| *,^ | TherapeuticsMD Inc. | 6,386,860 | | 15,456 | |
| *,^ | Alector Inc. | 895,951 | | 15,437 | |
| *,^ | Clovis Oncology Inc. | 1,462,934 | | 15,251 | |
| * | MacroGenics Inc. | 1,372,358 | | 14,931 | |
| * | Option Care Health Inc. | 3,951,026 | | 14,737 | |
| *,^ | Viking Therapeutics Inc. | 1,822,328 | | 14,615 | |
| * | ANI Pharmaceuticals Inc. | 236,566 | | 14,589 | |
| * | Surmodics Inc. | 351,651 | | 14,569 | |
| * | BioCryst Pharmaceuticals Inc. | 4,165,478 | | 14,371 | |
| *,^ | SmileDirectClub Inc. | 1,616,844 | | 14,131 | |
| * | OrthoPediatrics Corp. | 297,707 | | 13,989 | |
| * | Ardelyx Inc. | 1,863,627 | | 13,987 | |
| * | OraSure Technologies Inc. | 1,739,375 | | 13,967 | |
| *,^ | Relmada Therapeutics Inc. | 354,100 | | 13,810 | |
| * | BioDelivery Sciences International Inc. | 2,167,338 | | 13,698 | |
| *,^ | PetIQ Inc. Class A | 543,975 | | 13,627 | |
| * | Cutera Inc. | 379,492 | | 13,590 | |
| * | Amneal Pharmaceuticals Inc. | 2,811,815 | | 13,553 | |
| * | Stemline Therapeutics Inc. | 1,267,932 | | 13,478 | |
| *,^ | Quanterix Corp. | 567,826 | | 13,418 | |
| *,^ | ViewRay Inc. | 3,168,703 | | 13,372 | |
| * | Avrobio Inc. | 654,001 | | 13,165 | |
| *,^ | Dynavax Technologies Corp. Class A | 2,269,045 | | 12,979 | |
| * | Synthorx Inc. | 185,143 | | 12,940 | |
| *,^ | Accelerate Diagnostics Inc. | 755,926 | | 12,775 | |
| * | Agenus Inc. | 3,109,343 | | 12,655 | |
| * | Twist Bioscience Corp. | 594,000 | | 12,474 | |
| * | Sientra Inc. | 1,374,928 | | 12,292 | |
| *,^ | Provention Bio Inc. | 820,347 | | 12,223 | |
| * | Avid Bioservices Inc. | 1,591,048 | | 12,203 | |
| * | Voyager Therapeutics Inc. | 871,872 | | 12,163 | |
| * | Triple-S Management Corp. Class B | 655,778 | | 12,125 | |
| * | Odonate Therapeutics Inc. | 370,406 | | 12,020 | |
| *,^ | Sorrento Therapeutics Inc. | 3,528,234 | | 11,925 | |
| * | Homology Medicines Inc. | 568,781 | | 11,774 | |
| * | Progenics Pharmaceuticals Inc. | 2,306,141 | | 11,738 | |
| * | Axonics Modulation Technologies Inc. | 419,114 | | 11,614 | |
| * | CytomX Therapeutics Inc. | 1,367,661 | | 11,365 | |
| * | Eiger BioPharmaceuticals Inc. | 759,974 | | 11,324 | |
| * | AnaptysBio Inc. | 688,681 | | 11,191 | |
| *,^ | IGM Biosciences Inc. | 285,947 | | 10,912 | |
| | Utah Medical Products Inc. | 100,221 | | 10,814 | |
| | Meridian Bioscience Inc. | 1,100,229 | | 10,749 | |
| * | AMAG Pharmaceuticals Inc. | 883,207 | | 10,749 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Spectrum Pharmaceuticals Inc. | 2,948,132 | | 10,731 | |
| * | Recro Pharma Inc. | 569,794 | | 10,444 | |
| *,^ | Intrexon Corp. | 1,867,600 | | 10,234 | |
| *,^ | Corbus Pharmaceuticals Holdings Inc. | 1,871,125 | | 10,216 | |
| * | Catalyst Pharmaceuticals Inc. | 2,724,057 | | 10,215 | |
| * | Rigel Pharmaceuticals Inc. | 4,673,184 | | 10,001 | |
| *,^ | XBiotech Inc. | 528,503 | | 9,865 | |
| * | IVERIC bio Inc. | 1,132,897 | | 9,720 | |
| *,^ | Progyny Inc. | 351,610 | | 9,652 | |
| * | Kindred Biosciences Inc. | 1,127,689 | | 9,563 | |
| * | Pfenex Inc. | 869,080 | | 9,543 | |
| *,^ | Eidos Therapeutics Inc. | 165,198 | | 9,481 | |
| * | SI-BONE Inc. | 437,574 | | 9,408 | |
| * | Precision BioSciences Inc. | 674,353 | | 9,367 | |
| * | Community Health Systems Inc. | 3,198,313 | | 9,275 | |
| * | BioSpecifics Technologies Corp. | 160,830 | | 9,158 | |
| *,^ | Inovio Pharmaceuticals Inc. | 2,754,474 | | 9,090 | |
| * | PDL BioPharma Inc. | 2,754,978 | | 8,940 | |
| *,^ | TransMedics Group Inc. | 465,566 | | 8,850 | |
| *,^ | CEL-SCI Corp. | 966,960 | | 8,848 | |
| | Owens & Minor Inc. | 1,704,907 | | 8,814 | |
| * | GenMark Diagnostics Inc. | 1,822,600 | | 8,767 | |
| | Invacare Corp. | 962,641 | | 8,683 | |
| *,^ | Rubius Therapeutics Inc. | 896,003 | | 8,512 | |
| *,^ | Mallinckrodt plc | 2,343,282 | | 8,178 | |
| *,^ | Puma Biotechnology Inc. | 926,832 | | 8,110 | |
| * | Calithera Biosciences Inc. | 1,409,585 | | 8,049 | |
| * | Magenta Therapeutics Inc. | 526,943 | | 7,988 | |
| * | Arcus Biosciences Inc. | 790,720 | | 7,986 | |
| *,^ | Lannett Co. Inc. | 894,888 | | 7,893 | |
| * | Cue Biopharma Inc. | 487,285 | | 7,736 | |
| *,^ | Geron Corp. | 5,673,622 | | 7,716 | |
| * | SIGA Technologies Inc. | 1,615,615 | | 7,706 | |
| *,^ | Crinetics Pharmaceuticals Inc. | 306,721 | | 7,696 | |
| *,^ | Matinas BioPharma Holdings Inc. | 3,386,671 | | 7,688 | |
| * | Apyx Medical Corp. | 894,837 | | 7,570 | |
| * | SpringWorks Therapeutics Inc. | 196,608 | | 7,567 | |
| * | Alphatec Holdings Inc. | 1,057,633 | | 7,504 | |
| * | Molecular Templates Inc. | 532,005 | | 7,440 | |
| *,^ | MannKind Corp. | 5,703,261 | | 7,357 | |
| * | Accuray Inc. | 2,603,270 | | 7,341 | |
| *,^ | Akcea Therapeutics Inc. | 431,460 | | 7,309 | |
| *,^ | Evolus Inc. | 595,634 | | 7,249 | |
| * | Replimune Group Inc. | 500,980 | | 7,189 | |
| * | MEI Pharma Inc. | 2,865,177 | | 7,106 | |
| * | Fluidigm Corp. | 2,034,877 | | 7,081 | |
| * | Applied Therapeutics Inc. | 257,884 | | 7,035 | |
| * | Mersana Therapeutics Inc. | 1,213,031 | | 6,951 | |
| * | Syros Pharmaceuticals Inc. | 1,003,963 | | 6,937 | |
| * | Scholar Rock Holding Corp. | 523,922 | | 6,905 | |
| *,^ | Apollo Medical Holdings Inc. | 374,359 | | 6,892 | |
| * | Minerva Neurosciences Inc. | 952,916 | | 6,775 | |
| * | Aprea Therapeutics Inc. | 145,487 | | 6,676 | |
| * | Misonix Inc. | 357,374 | | 6,651 | |
| * | Surgery Partners Inc. | 418,719 | | 6,555 | |
| * | BioLife Solutions Inc. | 404,489 | | 6,545 | |
| *,^ | Optinose Inc. | 708,073 | | 6,528 | |
| * | Translate Bio Inc. | 800,026 | | 6,512 | |
| * | SeaSpine Holdings Corp. | 509,938 | | 6,124 | |
| * | Stoke Therapeutics Inc. | 212,600 | | 6,021 | |
| *,^ | MediciNova Inc. | 891,718 | | 6,010 | |
| * | Joint Corp. | 370,808 | | 5,985 | |
| * | Harrow Health Inc. | 763,120 | | 5,937 | |
| * | Concert Pharmaceuticals Inc. | 638,360 | | 5,889 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market Value ($000 | ) |
| * | ADMA Biologics Inc. | 1,452,248 | | 5,809 | |
| * | Syndax Pharmaceuticals Inc. | 657,918 | | 5,777 | |
| * | Abeona Therapeutics Inc. | 1,760,180 | | 5,756 | |
| * | RTI Surgical Holdings Inc. | 2,098,963 | | 5,751 | |
| * | Vapotherm Inc. | 463,490 | | 5,636 | |
| * | Aeglea BioTherapeutics Inc. | 730,780 | | 5,583 | |
| * | Gritstone Oncology Inc. | 598,855 | | 5,372 | |
| * | KalVista Pharmaceuticals Inc. | 291,774 | | 5,196 | |
| * | Verrica Pharmaceuticals Inc. | 325,091 | | 5,166 | |
| * | Xeris Pharmaceuticals Inc. | 719,094 | | 5,070 | |
| * | Chiasma Inc. | 984,427 | | 4,883 | |
| * | GlycoMimetics Inc. | 910,116 | | 4,815 | |
| * | X4 Pharmaceuticals Inc. | 430,247 | | 4,604 | |
| *,^ | Athersys Inc. | 3,726,182 | | 4,583 | |
| * | Palatin Technologies Inc. | 5,849,095 | | 4,575 | |
| * | Hookipa Pharma Inc. | 372,890 | | 4,560 | |
| *,^ | CorMedix Inc. | 625,748 | | 4,555 | |
| *,^ | NGM Biopharmaceuticals Inc. | 245,251 | | 4,535 | |
| *,^ | AcelRx Pharmaceuticals Inc. | 2,142,380 | | 4,520 | |
| * | Eloxx Pharmaceuticals Inc. | 608,308 | | 4,477 | |
| * | Marinus Pharmaceuticals Inc. | 2,067,953 | | 4,467 | |
| *,^ | Catasys Inc. | 271,875 | | 4,434 | |
| *,^ | Senseonics Holdings Inc. | 4,827,947 | | 4,422 | |
| * | Fulgent Genetics Inc. | 341,824 | | 4,410 | |
| *,^ | XOMA Corp. | 160,945 | | 4,394 | |
| * | InfuSystem Holdings Inc. | 511,238 | | 4,361 | |
| *,^ | Amyris Inc. | 1,409,918 | | 4,357 | |
| * | iRadimed Corp. | 185,109 | | 4,328 | |
| *,^ | Zynex Inc. | 542,733 | | 4,271 | |
| * | Jounce Therapeutics Inc. | 487,199 | | 4,253 | |
| * | Agile Therapeutics Inc. | 1,689,440 | | 4,224 | |
| *,^ | Ocular Therapeutix Inc. | 1,066,121 | | 4,211 | |
| * | Ovid therapeutics Inc. | 1,002,310 | | 4,160 | |
| * | Atreca Inc. | 266,417 | | 4,121 | |
| * | UNITY Biotechnology Inc. | 568,733 | | 4,101 | |
| *,^ | Lexicon Pharmaceuticals Inc. | 978,318 | | 4,060 | |
| * | Seres Therapeutics Inc. | 1,175,813 | | 4,057 | |
| * | Protagonist Therapeutics Inc. | 573,903 | | 4,046 | |
| * | Cymabay Therapeutics Inc. | 2,048,278 | | 4,015 | |
| * | CASI Pharmaceuticals Inc. | 1,298,963 | | 4,014 | |
| * | Rockwell Medical Inc. | 1,638,452 | | 3,998 | |
| * | Exicure Inc. | 1,397,521 | | 3,997 | |
| * | Aravive Inc. | 288,008 | | 3,937 | |
| * | American Renal Associates Holdings Inc. | 379,646 | | 3,937 | |
| * | FONAR Corp. | 199,168 | | 3,922 | |
| * | Harpoon Therapeutics Inc. | 264,272 | | 3,909 | |
| * | Aldeyra Therapeutics Inc. | 667,217 | | 3,877 | |
| * | Kiniksa Pharmaceuticals Ltd. Class A | 348,492 | | 3,854 | |
| *,^ | Zynerba Pharmaceuticals Inc. | 630,140 | | 3,806 | |
| * | Five Prime Therapeutics Inc. | 824,351 | | 3,784 | |
| * | Akorn Inc. | 2,492,697 | | 3,739 | |
| *,^ | Anavex Life Sciences Corp. | 1,425,049 | | 3,691 | |
| * | Castle Biosciences Inc. | 107,186 | | 3,684 | |
| *,^ | Bioxcel Therapeutics Inc. | 249,603 | | 3,647 | |
| * | Enzo Biochem Inc. | 1,366,399 | | 3,594 | |
| * | Pulse Biosciences Inc. | 262,310 | | 3,518 | |
| * | Exagen Inc. | 137,795 | | 3,500 | |
| * | Repro-Med Systems Inc. | 535,117 | | 3,494 | |
| * | Personalis Inc. | 315,739 | | 3,442 | |
| * | Mustang Bio Inc. | 808,613 | | 3,299 | |
| * | Dyadic International Inc. | 621,809 | | 3,221 | |
| * | Genesis Healthcare Inc. | 1,960,136 | | 3,215 | |
| *,^ | CytoSorbents Corp. | 832,151 | | 3,204 | |
| * | Chimerix Inc. | 1,522,300 | | 3,090 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^ | Paratek Pharmaceuticals Inc. | 766,225 | | 3,088 | |
| *,^ | Akero Therapeutics Inc. | 139,079 | | 3,087 | |
| * | TCR2 Therapeutics Inc. | 215,242 | | 3,074 | |
| * | Lineage Cell Therapeutics Inc. | 3,430,046 | | 3,053 | |
| *,^ | BioSig Technologies Inc. | 514,013 | | 3,043 | |
| * | Satsuma Pharmaceuticals Inc. | 154,604 | | 3,043 | |
| *,^ | Galectin Therapeutics Inc. | 1,051,163 | | 3,006 | |
| * | Stereotaxis Inc. | 563,138 | | 2,979 | |
| * | Spero Therapeutics Inc. | 307,402 | | 2,956 | |
| *,^ | EyePoint Pharmaceuticals Inc. | 1,904,792 | | 2,952 | |
| *,^ | Fortress Biotech Inc. | 1,134,317 | | 2,915 | |
| * | Conformis Inc. | 1,903,523 | | 2,855 | |
| * | Otonomy Inc. | 737,046 | | 2,823 | |
| * | Acorda Therapeutics Inc. | 1,366,942 | | 2,789 | |
| *,^ | Proteostasis Therapeutics Inc. | 1,195,732 | | 2,726 | |
| *,^ | AVEO Pharmaceuticals Inc. | 4,364,829 | | 2,725 | |
| *,^ | Catalyst Biosciences Inc. | 398,149 | | 2,711 | |
| * | Prevail Therapeutics Inc. | 170,499 | | 2,699 | |
| * | Millendo Therapeutics Inc. | 396,400 | | 2,672 | |
| * | Harvard Bioscience Inc. | 863,911 | | 2,635 | |
| *,^ | Venus Concept Inc. | 557,175 | | 2,619 | |
| *,^ | Marker Therapeutics Inc. | 904,972 | | 2,606 | |
| *,^ | DermTech Inc. | 209,350 | | 2,596 | |
| *,^ | Savara Inc. | 578,945 | | 2,594 | |
| * | Sutro Biopharma Inc. | 234,251 | | 2,577 | |
| *,^ | Sesen Bio Inc. | 2,475,212 | | 2,574 | |
| *,^ | Novavax Inc. | 643,291 | | 2,560 | |
| * | PhaseBio Pharmaceuticals Inc. | 412,403 | | 2,520 | |
| * | Assertio Therapeutics Inc. | 1,986,395 | | 2,483 | |
| *,^ | NantKwest Inc. | 646,858 | | 2,452 | |
| *,^ | Viela Bio Inc. | 87,933 | | 2,387 | |
| * | Capital Senior Living Corp. | 740,585 | | 2,288 | |
| *,^ | La Jolla Pharmaceutical Co. | 582,183 | | 2,288 | |
| *,^ | RAPT Therapeutics Inc. | 82,673 | | 2,283 | |
| *,^ | Soliton Inc. | 204,101 | | 2,241 | |
| *,^ | Trevena Inc. | 2,656,331 | | 2,234 | |
| *,^ | Verastem Inc. | 1,655,459 | | 2,218 | |
| *,^ | Solid Biosciences Inc. | 489,748 | | 2,179 | |
| *,^ | Kala Pharmaceuticals Inc. | 590,072 | | 2,177 | |
| *,^ | NewLink Genetics Corp. | 859,970 | | 2,176 | |
| *,^ | BrainStorm Cell Therapeutics Inc. | 499,658 | | 2,139 | |
| *,^ | Corvus Pharmaceuticals Inc. | 382,848 | | 2,083 | |
| * | Adamas Pharmaceuticals Inc. | 549,413 | | 2,082 | |
| * | Strongbridge Biopharma plc | 994,459 | | 2,078 | |
| * | Cerecor Inc. | 383,569 | | 2,067 | |
| * | Chembio Diagnostics Inc. | 447,516 | | 2,041 | |
| * | Cyclerion Therapeutics Inc. | 744,193 | | 2,024 | |
| *,^ | Ampio Pharmaceuticals Inc. | 3,462,732 | | 2,019 | |
| *,^ | Moleculin Biotech Inc. | 2,203,334 | | 2,016 | |
| * | Applied Genetic Technologies Corp. | 438,277 | | 1,981 | |
| *,^ | Tyme Technologies Inc. | 1,410,436 | | 1,975 | |
| * | Aquestive Therapeutics Inc. | 339,183 | | 1,974 | |
| *,^ | SCYNEXIS Inc. | 2,036,941 | | 1,854 | |
| * | Selecta Biosciences Inc. | 772,990 | | 1,840 | |
| * | Orgenesis Inc. | 390,018 | | 1,817 | |
| *,^ | Enochian Biosciences Inc. | 351,591 | | 1,765 | |
| *,^ | Cidara Therapeutics Inc. | 451,652 | | 1,734 | |
| * | Oncocyte Corp. | 766,650 | | 1,725 | |
| * | Arbutus Biopharma Corp. | 616,293 | | 1,713 | |
| *,^ | Neos Therapeutics Inc. | 1,121,410 | | 1,693 | |
| * | Electromed Inc. | 191,641 | | 1,658 | |
| * | Menlo Therapeutics Inc. | 353,454 | | 1,640 | |
| * | Aptinyx Inc. | 471,915 | | 1,614 | |
| * | Clearside Biomedical Inc. | 554,321 | | 1,608 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Champions Oncology Inc. | 189,449 | | 1,578 | |
| * | Baudax Bio Inc. | 227,917 | | 1,577 | |
| *,^ | Catabasis Pharmaceuticals Inc. | 263,608 | | 1,558 | |
| * | Celcuity Inc. | 146,048 | | 1,554 | |
| *,^ | Eton Pharmaceuticals Inc. | 213,277 | | 1,536 | |
| * | Synlogic Inc. | 586,414 | | 1,513 | |
| | Psychemedics Corp. | 165,302 | | 1,513 | |
| *,^ | Frequency Therapeutics Inc. | 84,408 | | 1,480 | |
| * | Infinity Pharmaceuticals Inc. | 1,491,350 | | 1,432 | |
| * | Cumberland Pharmaceuticals Inc. | 275,632 | | 1,420 | |
| * | Curis Inc. | 822,614 | | 1,398 | |
| *,^ | Anixa Biosciences Inc. | 424,878 | | 1,394 | |
| *,^ | Bellicum Pharmaceuticals Inc. | 1,037,236 | | 1,338 | |
| * | PAVmed Inc. | 1,093,405 | | 1,312 | |
| *,^ | Aclaris Therapeutics Inc. | 694,097 | | 1,312 | |
| * | Neuronetics Inc. | 290,135 | | 1,303 | |
| * | Pro-Dex Inc. | 72,849 | | 1,279 | |
| * | IRIDEX Corp. | 563,826 | | 1,263 | |
| * | Evofem Biosciences Inc. | 203,801 | | 1,257 | |
| * | MRI Interventions Inc. | 260,350 | | 1,250 | |
| * | Checkpoint Therapeutics Inc. | 724,862 | | 1,247 | |
| * | Aduro Biotech Inc. | 1,032,336 | | 1,218 | |
| * | LogicBio Therapeutics Inc. | 167,462 | | 1,206 | |
| *,^ | Evelo Biosciences Inc. | 287,124 | | 1,166 | |
| * | CTI BioPharma Corp. | 722,814 | | 1,142 | |
| *,^ | Zosano Pharma Corp. | 745,534 | | 1,133 | |
| *,^ | Vermillion Inc. | 1,379,576 | | 1,117 | |
| *,^ | Idera Pharmaceuticals Inc. | 613,295 | | 1,116 | |
| *,^ | ElectroCore Inc. | 700,682 | | 1,114 | |
| * | Calyxt Inc. | 157,904 | | 1,107 | |
| *,^ | Mirum Pharmaceuticals Inc. | 44,378 | | 1,088 | |
| * | Strata Skin Sciences Inc. | 517,774 | | 1,077 | |
| *,^ | Quorum Health Corp. | 1,125,183 | | 1,076 | |
| * | Sensus Healthcare Inc. | 297,376 | | 1,053 | |
| * | Avenue Therapeutics Inc. | 109,407 | | 1,050 | |
| * | Cabaletta Bio Inc. | 74,221 | | 1,037 | |
| *,^ | T2 Biosystems Inc. | 885,873 | | 1,036 | |
| *,^ | Genocea Biosciences Inc. | 498,354 | | 1,032 | |
| * | Soleno Therapeutics Inc. | 350,339 | | 1,030 | |
| *,^ | Kaleido Biosciences Inc. | 195,648 | | 982 | |
| *,^ | Sunesis Pharmaceuticals Inc. | 2,860,014 | | 966 | |
| * | Apollo Endosurgery Inc. | 338,627 | | 965 | |
| * | Novan Inc. | 300,561 | | 950 | |
| * | scPharmaceuticals Inc. | 167,208 | | 946 | |
| * | Liquidia Technologies Inc. | 217,927 | | 932 | |
| *,^ | Organovo Holdings Inc. | 2,598,783 | | 924 | |
| | Merrimack Pharmaceuticals Inc. | 285,294 | | 899 | |
| * | Kezar Life Sciences Inc. | 223,678 | | 897 | |
| * | Standard Diversified Inc. | 60,649 | | 889 | |
| * | Soligenix Inc. | 598,911 | | 868 | |
| * | Opiant Pharmaceuticals Inc. | 59,635 | | 859 | |
| *,^ | Oncternal Therapeutics Inc. | 214,040 | | 845 | |
| * | PLx Pharma Inc. | 178,053 | | 778 | |
| *,^ | Arcadia Biosciences Inc. | 141,438 | | 775 | |
| * | Celldex Therapeutics Inc. | 344,839 | | 769 | |
| * | AgeX Therapeutics Inc. | 415,268 | | 756 | |
| * | AquaBounty Technologies Inc. | 347,989 | | 755 | |
| * | Celsion Corp. | 437,596 | | 748 | |
| *,^ | VIVUS Inc. | 271,618 | | 739 | |
| *,^ | resTORbio Inc. | 491,365 | | 732 | |
| * | Endologix Inc. | 458,529 | | 724 | |
| *,^ | Milestone Scientific Inc. | 519,552 | | 722 | |
| *,^ | Adamis Pharmaceuticals Corp. | 1,029,133 | | 721 | |
| * | Eyenovia Inc. | 160,888 | | 721 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Oyster Point Pharma Inc. | 29,290 | | 716 | |
| * | Altimmune Inc. | 377,900 | | 714 | |
| *,^ | Cohbar Inc. | 442,624 | | 708 | |
| * | Equillium Inc. | 203,300 | | 687 | |
| * | Allena Pharmaceuticals Inc. | 245,176 | | 669 | |
| *,^ | Actinium Pharmaceuticals Inc. | 3,033,390 | | 660 | |
| *,^ | HTG Molecular Diagnostics Inc. | 936,812 | | 658 | |
| * | aTyr Pharma Inc. | 152,825 | | 637 | |
| * | Neon Therapeutics Inc. | 536,388 | | 633 | |
| * | Bioanalytical Systems Inc. | 126,596 | | 627 | |
| *,^ | NantHealth Inc. | 604,166 | | 622 | |
| * | Surface Oncology Inc. | 323,119 | | 607 | |
| *,^ | Axcella Health Inc. | 151,058 | | 606 | |
| *,^ | Vir Biotechnology Inc. | 47,376 | | 596 | |
| *,^ | Vaccinex Inc. | 120,430 | | 584 | |
| *,^ | Teligent Inc. | 1,357,779 | | 578 | |
| *,^ | Galera Therapeutics Inc. | 43,920 | | 578 | |
| *,^ | Ekso Bionics Holdings Inc. | 1,398,803 | | 547 | |
| *,^ | Leap Therapeutics Inc. | 477,317 | | 535 | |
| * | Alpine Immune Sciences Inc. | 139,028 | | 534 | |
| * | AzurRx BioPharma Inc. | 490,181 | | 510 | |
| *,^ | PolarityTE Inc. | 194,180 | | 505 | |
| * | Aerpio Pharmaceuticals Inc. | 802,614 | | 500 | |
| * | Ideaya Biosciences Inc. | 66,615 | | 500 | |
| * | Zafgen Inc. | 444,733 | | 494 | |
| *,^ | Second Sight Medical Products Inc. | 656,944 | | 487 | |
| * | IsoRay Inc. | 766,512 | | 479 | |
| * | Alimera Sciences Inc. | 62,517 | | 474 | |
| * | KemPharm Inc. | 1,194,467 | | 453 | |
| *,^ | Cassava Sciences Inc. | 86,716 | | 451 | |
| *,^ | Biolase Inc. | 815,191 | | 451 | |
| *,^ | Citius Pharmaceuticals Inc. | 435,356 | | 444 | |
| *,^ | Oragenics Inc. | 844,227 | | 442 | |
| * | Adial Pharmaceuticals Inc. | 176,277 | | 425 | |
| *,^ | SELLAS Life Sciences Group Inc. | 95,483 | | 411 | |
| * | Spring Bank Pharmaceuticals Inc. | 255,362 | | 403 | |
| *,^ | Co-Diagnostics Inc. | 438,601 | | 393 | |
| *,^ | Evoke Pharma Inc. | 241,002 | | 390 | |
| * | ContraFect Corp. | 624,454 | | 388 | |
| * | Caladrius Biosciences Inc. | 153,833 | | 386 | |
| * | Tela Bio Inc. | 29,229 | | 379 | |
| *,^ | Conatus Pharmaceuticals Inc. | 936,834 | | 375 | |
| * | Xtant Medical Holdings Inc. | 221,928 | | 355 | |
| * | AdaptHealth Corp. | 32,212 | | 354 | |
| * | ImmuCell Corp. | 66,289 | | 341 | |
| * | Biomerica Inc. | 113,198 | | 336 | |
| * | Tocagen Inc. | 584,325 | | 312 | |
| * | DiaMedica Therapeutics Inc. | 63,532 | | 308 | |
| *,^ | Helius Medical Technologies Inc. Class A | 314,754 | | 305 | |
| *,^ | Unum Therapeutics Inc. | 400,874 | | 289 | |
| * | Acer Therapeutics Inc. | 70,268 | | 282 | |
| *,^ | Trovagene Inc. | 216,695 | | 269 | |
| * | TFF Pharmaceuticals Inc. | 49,161 | | 263 | |
| *,^ | Obalon Therapeutics Inc. | 137,023 | | 260 | |
| *,^ | Heat Biologics Inc. | 534,924 | | 254 | |
| * | Bellerophon Therapeutics Inc. | 681,990 | | 238 | |
| * | Sophiris Bio Inc. | 618,362 | | 229 | |
| * | Aptevo Therapeutics Inc. | 335,112 | | 219 | |
| *,^ | vTv Therapeutics Inc. Class A | 116,755 | | 198 | |
| * | Miragen Therapeutics Inc. | 292,449 | | 140 | |
| *,^ | Navidea Biopharmaceuticals Inc. | 109,561 | | 138 | |
| * | Cocrystal Pharma Inc. | 268,535 | | 133 | |
| *,^ | Outlook Therapeutics Inc. | 223,704 | | 132 | |
| * | Trevi Therapeutics Inc. | 32,341 | | 121 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| * | Aileron Therapeutics Inc. | 199,290 | | 114 | |
| * | Retractable Technologies Inc. | 65,800 | | 99 | |
| * | Zomedica Pharmaceuticals Corp. | 294,779 | | 98 | |
| * | American Shared Hospital Services | 36,338 | | 89 | |
| * | RA Medical Systems Inc. | 65,700 | | 74 | |
| *,^ | OncoSec Medical Inc. | 38,594 | | 70 | |
| * | Aevi Genomic Medicine Inc. | 425,218 | | 62 | |
| *,^ | Imac Holdings Inc. | 38,906 | | 58 | |
| * | PDS Biotechnology Corp. | 20,105 | | 53 | |
| * | Inmune Bio Inc. | 8,450 | | 49 | |
| * | Daxor Corp. | 5,067 | | 48 | |
| * | Five Star Senior Living Inc. | 9,610 | | 36 | |
| ^,§ | Synergy Pharmaceuticals Inc. | 5,148,145 | | 33 | |
| *,^ | Predictive Oncology Inc. | 11,228 | | 29 | |
| * | Dynatronics Corp. | 32,976 | | 27 | |
| * | Entasis Therapeutics Holdings Inc. | 5,429 | | 27 | |
| * | Brickell Biotech Inc. | 15,297 | | 23 | |
| *,^,§ | Oncternal Therapeutics Inc. CVR | 8,933 | | 18 | |
| *,^ | Onconova Therapeutics Inc. | 33,111 | | 13 | |
| * | Cleveland BioLabs Inc. | 19,875 | | 12 | |
| * | NanoViricides Inc. | 967 | | 2 | |
| * | Galena Biopharma Inc Warrants Exp. 03/18/2020 | 157,500 | | — | |
| | | 116,863,672 | |
| Industrials (13.1%) | |
| | Boeing Co. | 15,062,314 | | 4,906,699 | |
| | Accenture plc Class A | 17,886,881 | | 3,766,441 | |
| | United Technologies Corp. | 24,306,428 | | 3,640,131 | |
| * | PayPal Holdings Inc. | 33,082,634 | | 3,578,549 | |
| | Honeywell International Inc. | 20,133,795 | | 3,563,682 | |
| | Union Pacific Corp. | 19,557,102 | | 3,535,728 | |
| | 3M Co. | 16,202,829 | | 2,858,503 | |
| | General Electric Co. | 246,031,669 | | 2,745,713 | |
| | Danaher Corp. | 17,624,443 | | 2,705,000 | |
| | Lockheed Martin Corp. | 6,750,918 | | 2,628,672 | |
| | Fidelity National Information Services Inc. | 17,313,071 | | 2,408,075 | |
| | United Parcel Service Inc. Class B | 19,729,577 | | 2,309,544 | |
| | Caterpillar Inc. | 15,569,314 | | 2,299,276 | |
| * | Fiserv Inc. | 16,267,820 | | 1,881,048 | |
| | Automatic Data Processing Inc. | 10,972,753 | | 1,870,854 | |
| | Raytheon Co. | 7,843,388 | | 1,723,506 | |
| | Global Payments Inc. | 8,460,242 | | 1,544,502 | |
| | Deere & Co. | 8,870,796 | | 1,536,954 | |
| | CSX Corp. | 20,940,117 | | 1,515,227 | |
| | Northrop Grumman Corp. | 4,274,261 | | 1,470,218 | |
| | Illinois Tool Works Inc. | 8,147,437 | | 1,463,524 | |
| | Norfolk Southern Corp. | 7,347,299 | | 1,426,331 | |
| | Sherwin-Williams Co. | 2,337,827 | | 1,364,216 | |
| | Waste Management Inc. | 11,939,971 | | 1,360,679 | |
| | Emerson Electric Co. | 17,160,626 | | 1,308,669 | |
| | General Dynamics Corp. | 6,914,439 | | 1,219,361 | |
| | Eaton Corp. plc | 11,650,429 | | 1,103,529 | |
| | Roper Technologies Inc. | 2,925,810 | | 1,036,410 | |
| | FedEx Corp. | 6,620,144 | | 1,001,032 | |
| | Amphenol Corp. Class A | 8,363,400 | | 905,171 | |
| | TE Connectivity Ltd. | 9,429,331 | | 903,707 | |
| | Ingersoll-Rand plc | 6,753,674 | | 897,698 | |
| | Johnson Controls International plc | 21,759,805 | | 885,842 | |
| | TransDigm Group Inc. | 1,432,914 | | 802,432 | |
| | Paychex Inc. | 9,086,455 | | 772,894 | |
| | Cummins Inc. | 4,315,013 | | 772,215 | |
| | PACCAR Inc. | 9,741,392 | | 770,544 | |
| | Parker-Hannifin Corp. | 3,613,679 | | 743,767 | |
| | Agilent Technologies Inc. | 8,716,091 | | 743,570 | |
| | Willis Towers Watson plc | 3,629,383 | | 732,918 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Stanley Black & Decker Inc. | 4,269,928 | | 707,698 | |
| * | FleetCor Technologies Inc. | 2,442,853 | | 702,858 | |
| | Verisk Analytics Inc. Class A | 4,604,338 | | 687,612 | |
| | Waste Connections Inc. | 7,427,122 | | 674,308 | |
| | Cintas Corp. | 2,474,991 | | 665,971 | |
| | Rockwell Automation Inc. | 3,257,536 | | 660,205 | |
| | AMETEK Inc. | 6,411,498 | | 639,483 | |
| * | CoStar Group Inc. | 1,031,229 | | 616,984 | |
| | Fortive Corp. | 8,037,182 | | 613,960 | |
| * | Square Inc. | 9,773,462 | | 611,428 | |
| | Ball Corp. | 9,232,916 | | 597,093 | |
| | Fastenal Co. | 16,105,669 | | 595,104 | |
| * | Mettler-Toledo International Inc. | 686,153 | | 544,311 | |
| * | Keysight Technologies Inc. | 5,273,315 | | 541,200 | |
| | Vulcan Materials Co. | 3,718,789 | | 535,468 | |
| | Republic Services Inc. Class A | 5,876,096 | | 526,674 | |
| | Martin Marietta Materials Inc. | 1,755,087 | | 490,793 | |
| | Dover Corp. | 4,089,537 | | 471,360 | |
| | TransUnion | 5,301,130 | | 453,830 | |
| | WW Grainger Inc. | 1,291,005 | | 437,031 | |
| | Kansas City Southern | 2,791,815 | | 427,594 | |
| * | Waters Corp. | 1,813,544 | | 423,735 | |
| | Xylem Inc. | 5,071,313 | | 399,569 | |
| | Wabtec Corp. | 5,124,682 | | 398,700 | |
| | Broadridge Financial Solutions Inc. | 3,211,735 | | 396,778 | |
| * | Zebra Technologies Corp. | 1,520,344 | | 388,357 | |
| | Masco Corp. | 8,069,900 | | 387,275 | |
| | Old Dominion Freight Line Inc. | 2,024,609 | | 384,230 | |
| | Expeditors International of Washington Inc. | 4,794,618 | | 374,076 | |
| | IDEX Corp. | 2,136,048 | | 367,400 | |
| * | Teledyne Technologies Inc. | 1,025,602 | | 355,412 | |
| * | United Rentals Inc. | 2,117,638 | | 353,158 | |
| | Arconic Inc. | 10,989,080 | | 338,134 | |
| | Jacobs Engineering Group Inc. | 3,755,321 | | 337,340 | |
| | Allegion plc | 2,620,716 | | 326,384 | |
| | Jack Henry & Associates Inc. | 2,172,778 | | 316,509 | |
| | Westrock Co. | 7,254,159 | | 311,276 | |
| | Packaging Corp. of America | 2,663,578 | | 298,294 | |
| | CH Robinson Worldwide Inc. | 3,812,881 | | 298,167 | |
| * | Trimble Inc. | 7,034,202 | | 293,256 | |
| * | Fair Isaac Corp. | 775,889 | | 290,710 | |
| | Huntington Ingalls Industries Inc. | 1,147,843 | | 287,971 | |
| | Textron Inc. | 6,437,139 | | 287,096 | |
| | JB Hunt Transport Services Inc. | 2,404,710 | | 280,822 | |
| | Booz Allen Hamilton Holding Corp. Class A | 3,927,748 | | 279,381 | |
| * | Crown Holdings Inc. | 3,815,024 | | 276,742 | |
| | HEICO Corp. Class A | 3,049,670 | | 273,037 | |
| | Snap-on Inc. | 1,548,376 | | 262,295 | |
| | Carlisle Cos. Inc. | 1,592,575 | | 257,742 | |
| | Cognex Corp. | 4,570,768 | | 256,146 | |
| * | WEX Inc. | 1,215,623 | | 254,624 | |
| | Lennox International Inc. | 1,028,529 | | 250,930 | |
| | Universal Display Corp. | 1,191,065 | | 245,443 | |
| | Graco Inc. | 4,689,227 | | 243,840 | |
| * | Sensata Technologies Holding plc | 4,481,613 | | 241,424 | |
| | Toro Co. | 2,986,390 | | 237,926 | |
| | Nordson Corp. | 1,457,766 | | 237,383 | |
| * | Euronet Worldwide Inc. | 1,450,816 | | 228,591 | |
| | Hubbell Inc. Class B | 1,527,356 | | 225,774 | |
| | Genpact Ltd. | 5,344,180 | | 225,364 | |
| | Pentair plc | 4,751,969 | | 217,973 | |
| | Spirit AeroSystems Holdings Inc. Class A | 2,911,781 | | 212,211 | |
| | AptarGroup Inc. | 1,790,394 | | 207,005 | |
| * | XPO Logistics Inc. | 2,593,353 | | 206,690 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Donaldson Co. Inc. | 3,563,105 | | 205,306 | |
| | Owens Corning | 3,055,871 | | 198,998 | |
| | FLIR Systems Inc. | 3,784,381 | | 197,053 | |
| | Robert Half International Inc. | 3,108,925 | | 196,329 | |
| | Woodward Inc. | 1,652,105 | | 195,675 | |
| * | Arrow Electronics Inc. | 2,304,652 | | 195,296 | |
| | Xerox Holdings Corp. | 5,176,930 | | 190,873 | |
| * | HD Supply Holdings Inc. | 4,674,690 | | 188,016 | |
| | AO Smith Corp. | 3,865,252 | | 184,141 | |
| | Flowserve Corp. | 3,683,180 | | 183,312 | |
| * | AECOM | 4,226,973 | | 182,309 | |
| | ITT Inc. | 2,463,209 | | 182,056 | |
| | Oshkosh Corp. | 1,917,703 | | 181,511 | |
| * | Generac Holdings Inc. | 1,766,911 | | 177,734 | |
| * | Berry Global Group Inc. | 3,722,405 | | 176,777 | |
| | Hexcel Corp. | 2,376,694 | | 174,235 | |
| | Sealed Air Corp. | 4,366,023 | | 173,899 | |
| | Sonoco Products Co. | 2,806,392 | | 173,211 | |
| | Curtiss-Wright Corp. | 1,197,147 | | 168,666 | |
| | BWX Technologies Inc. | 2,698,961 | | 167,551 | |
| | Lincoln Electric Holdings Inc. | 1,731,165 | | 167,456 | |
| | MDU Resources Group Inc. | 5,590,152 | | 166,083 | |
| | Watsco Inc. | 914,183 | | 164,690 | |
| * | Stericycle Inc. | 2,569,815 | | 163,980 | |
| | Quanta Services Inc. | 3,987,345 | | 162,325 | |
| | ManpowerGroup Inc. | 1,665,334 | | 161,704 | |
| | Jabil Inc. | 3,862,331 | | 159,630 | |
| | Acuity Brands Inc. | 1,117,985 | | 154,282 | |
| | Allison Transmission Holdings Inc. | 3,187,105 | | 154,001 | |
| | National Instruments Corp. | 3,525,962 | | 149,289 | |
| * | Trex Co. Inc. | 1,647,184 | | 148,049 | |
| * | Kirby Corp. | 1,607,908 | | 143,956 | |
| | Air Lease Corp. Class A | 3,002,279 | | 142,668 | |
| * | IPG Photonics Corp. | 975,668 | | 141,394 | |
| | Alliance Data Systems Corp. | 1,230,157 | | 138,024 | |
| * | Gardner Denver Holdings Inc. | 3,731,667 | | 136,878 | |
| | Graphic Packaging Holding Co. | 8,185,519 | | 136,289 | |
| | EMCOR Group Inc. | 1,568,399 | | 135,353 | |
| | MAXIMUS Inc. | 1,792,574 | | 133,350 | |
| | Tetra Tech Inc. | 1,539,016 | | 132,602 | |
| | AGCO Corp. | 1,707,644 | | 131,916 | |
| | Landstar System Inc. | 1,114,973 | | 126,962 | |
| | Armstrong World Industries Inc. | 1,348,488 | | 126,717 | |
| | Brink's Co. | 1,394,761 | | 126,477 | |
| | MSA Safety Inc. | 987,225 | | 124,746 | |
| | Littelfuse Inc. | 649,297 | | 124,211 | |
| | Crane Co. | 1,422,858 | | 122,906 | |
| * | Axon Enterprise Inc. | 1,665,123 | | 122,020 | |
| * | Clean Harbors Inc. | 1,413,113 | | 121,174 | |
| | KBR Inc. | 3,957,648 | | 120,708 | |
| | Knight-Swift Transportation Holdings Inc. | 3,361,921 | | 120,491 | |
| | Avnet Inc. | 2,836,229 | | 120,370 | |
| * | Paylocity Holding Corp. | 980,865 | | 118,508 | |
| * | FTI Consulting Inc. | 1,049,343 | | 116,120 | |
| * | Coherent Inc. | 676,200 | | 112,486 | |
| * | MasTec Inc. | 1,722,309 | | 110,503 | |
| | nVent Electric plc | 4,285,096 | | 109,613 | |
| | Timken Co. | 1,928,445 | | 108,591 | |
| * | Mercury Systems Inc. | 1,564,837 | | 108,146 | |
| | Eagle Materials Inc. | 1,177,535 | | 106,755 | |
| * | RBC Bearings Inc. | 672,541 | | 106,490 | |
| * | SiteOne Landscape Supply Inc. | 1,159,082 | | 105,071 | |
| * | ASGN Inc. | 1,418,284 | | 100,656 | |
| | Exponent Inc. | 1,452,514 | | 100,238 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | John Bean Technologies Corp. | 889,352 | | 100,194 | |
| * | TopBuild Corp. | 966,941 | | 99,672 | |
| | Regal Beloit Corp. | 1,158,228 | | 99,156 | |
| * | CoreLogic Inc. | 2,266,670 | | 99,076 | |
| | Louisiana-Pacific Corp. | 3,322,191 | | 98,569 | |
| | MSC Industrial Direct Co. Inc. Class A | 1,254,207 | | 98,418 | |
| * | Rexnord Corp. | 2,845,848 | | 92,832 | |
| | Insperity Inc. | 1,069,506 | | 92,020 | |
| | Simpson Manufacturing Co. Inc. | 1,131,147 | | 90,752 | |
| * | Colfax Corp. | 2,479,890 | | 90,218 | |
| * | Aerojet Rocketdyne Holdings Inc. | 1,974,309 | | 90,147 | |
| | EnerSys | 1,188,605 | | 88,943 | |
| | Valmont Industries Inc. | 593,357 | | 88,873 | |
| * | Itron Inc. | 1,054,312 | | 88,509 | |
| | Macquarie Infrastructure Corp. | 2,051,792 | | 87,899 | |
| | UniFirst Corp. | 434,798 | | 87,821 | |
| | Tradeweb Markets Inc. Class A | 1,864,429 | | 86,416 | |
| | Kennametal Inc. | 2,340,709 | | 86,349 | |
| | Barnes Group Inc. | 1,369,361 | | 84,846 | |
| * | Novanta Inc. | 946,731 | | 83,729 | |
| * | Builders FirstSource Inc. | 3,240,867 | | 82,350 | |
| | GATX Corp. | 990,452 | | 82,059 | |
| * | AMN Healthcare Services Inc. | 1,311,941 | | 81,747 | |
| | Ryder System Inc. | 1,502,380 | | 81,594 | |
| * | II-VI Inc. | 2,388,467 | | 80,420 | |
| | Vishay Intertechnology Inc. | 3,749,783 | | 79,833 | |
| | Watts Water Technologies Inc. Class A | 787,259 | | 78,537 | |
| | Moog Inc. Class A | 917,865 | | 78,321 | |
| | Universal Forest Products Inc. | 1,637,539 | | 78,111 | |
| | Brady Corp. Class A | 1,332,413 | | 76,294 | |
| | World Fuel Services Corp. | 1,744,961 | | 75,766 | |
| * | Summit Materials Inc. Class A | 3,142,216 | | 75,099 | |
| * | Anixter International Inc. | 808,620 | | 74,474 | |
| | Fluor Corp. | 3,927,579 | | 74,153 | |
| * | Integer Holdings Corp. | 920,930 | | 74,070 | |
| * | Proto Labs Inc. | 726,734 | | 73,800 | |
| * | Allegheny Technologies Inc. | 3,567,445 | | 73,703 | |
| | Applied Industrial Technologies Inc. | 1,099,940 | | 73,355 | |
| | ABM Industries Inc. | 1,886,672 | | 71,146 | |
| | Belden Inc. | 1,282,992 | | 70,565 | |
| * | WESCO International Inc. | 1,170,038 | | 69,489 | |
| * | Saia Inc. | 727,153 | | 67,712 | |
| * | Fabrinet | 1,040,350 | | 67,456 | |
| * | TriNet Group Inc. | 1,189,133 | | 67,317 | |
| | Silgan Holdings Inc. | 2,160,342 | | 67,143 | |
| | Korn Ferry | 1,569,426 | | 66,544 | |
| | Altra Industrial Motion Corp. | 1,831,025 | | 66,301 | |
| | Albany International Corp. Class A | 866,534 | | 65,787 | |
| | Franklin Electric Co. Inc. | 1,139,055 | | 65,291 | |
| * | Rogers Corp. | 521,076 | | 64,994 | |
| | ESCO Technologies Inc. | 701,344 | | 64,874 | |
| * | ExlService Holdings Inc. | 928,943 | | 64,524 | |
| * | Sanmina Corp. | 1,880,642 | | 64,393 | |
| * | Advanced Disposal Services Inc. | 1,956,788 | | 64,320 | |
| * | Plexus Corp. | 824,961 | | 63,473 | |
| * | SPX Corp. | 1,238,553 | | 63,018 | |
| * | Beacon Roofing Supply Inc. | 1,939,177 | | 62,015 | |
| | ManTech International Corp. Class A | 758,680 | | 60,603 | |
| | HEICO Corp. | 526,014 | | 60,044 | |
| | Otter Tail Corp. | 1,166,281 | | 59,819 | |
| * | Cimpress plc | 474,612 | | 59,692 | |
| | Deluxe Corp. | 1,182,578 | | 59,034 | |
| * | SPX FLOW Inc. | 1,202,670 | | 58,774 | |
| | AAON Inc. | 1,177,065 | | 58,159 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | Shares | | Market
Value
($000 | ) |
| | Trinity Industries Inc. | 2,622,573 | | 58,090 | |
| * | Casella Waste Systems Inc. Class A | 1,256,851 | | 57,853 | |
| | Triton International Ltd. | 1,438,689 | | 57,835 | |
| | Forward Air Corp. | 810,171 | | 56,671 | |
| | Terex Corp. | 1,902,876 | | 56,668 | |
| | EVERTEC Inc. | 1,651,042 | | 56,201 | |
| | Cubic Corp. | 881,234 | | 56,020 | |
| | Federal Signal Corp. | 1,697,709 | | 54,751 | |
| * | BMC Stock Holdings Inc. | 1,895,128 | | 54,371 | |
| * | Knowles Corp. | 2,552,817 | | 53,992 | |
| * | Atkore International Group Inc. | 1,325,534 | | 53,631 | |
| | Badger Meter Inc. | 825,839 | | 53,622 | |
| | Mueller Water Products Inc. Class A | 4,442,882 | | 53,226 | |
| * | Ambarella Inc. | 874,434 | | 52,956 | |
| | O-I Glass Inc. | 4,424,303 | | 52,782 | |
| | McGrath RentCorp | 685,341 | | 52,456 | |
| | Kaman Corp. | 785,414 | | 51,774 | |
| * | Masonite International Corp. | 704,642 | | 50,882 | |
| * | Kratos Defense & Security Solutions Inc. | 2,819,400 | | 50,777 | |
| * | Harsco Corp. | 2,183,641 | | 50,246 | |
| *,^ | Verra Mobility Corp. Class A | 3,581,802 | | 50,109 | |
| | Comfort Systems USA Inc. | 1,004,687 | | 50,084 | |
| | Covanta Holding Corp. | 3,371,015 | | 50,026 | |
| | Advanced Drainage Systems Inc. | 1,256,226 | | 48,792 | |
| * | OSI Systems Inc. | 480,919 | | 48,448 | |
| | Matson Inc. | 1,177,568 | | 48,045 | |
| | Mueller Industries Inc. | 1,509,869 | | 47,938 | |
| | Aircastle Ltd. | 1,474,038 | | 47,184 | |
| | Werner Enterprises Inc. | 1,291,427 | | 46,995 | |
| | Mobile Mini Inc. | 1,237,481 | | 46,913 | |
| * | Hub Group Inc. Class A | 912,371 | | 46,796 | |
| | ICF International Inc. | 506,935 | | 46,445 | |
| * | Gibraltar Industries Inc. | 916,853 | | 46,246 | |
| * | Cardtronics plc Class A | 1,020,637 | | 45,571 | |
| * | Huron Consulting Group Inc. | 653,393 | | 44,901 | |
| | Actuant Corp. Class A | 1,694,688 | | 44,113 | |
| | AAR Corp. | 967,549 | | 43,636 | |
| * | JELD-WEN Holding Inc. | 1,825,759 | | 42,741 | |
| | Rush Enterprises Inc. Class A | 918,626 | | 42,716 | |
| | Greif Inc. Class A | 934,534 | | 41,306 | |
| * | Resideo Technologies Inc. | 3,447,005 | | 41,123 | |
| | Boise Cascade Co. | 1,122,893 | | 41,019 | |
| * | Navistar International Corp. | 1,412,286 | | 40,872 | |
| * | TTM Technologies Inc. | 2,681,516 | | 40,357 | |
| * | Installed Building Products Inc. | 585,725 | | 40,339 | |
| * | Dycom Industries Inc. | 854,031 | | 40,268 | |
| | Methode Electronics Inc. | 1,012,689 | | 39,849 | |
| | Alamo Group Inc. | 315,356 | | 39,593 | |
| * | Sykes Enterprises Inc. | 1,070,293 | | 39,590 | |
| | KEMET Corp. | 1,457,096 | | 39,414 | |
| | US Ecology Inc. | 679,515 | | 39,351 | |
| * | TriMas Corp. | 1,252,470 | | 39,340 | |
| * | Pluralsight Inc. Class A | 2,264,398 | | 38,970 | |
| | EnPro Industries Inc. | 579,749 | | 38,774 | |
| | Helios Technologies Inc. | 834,935 | | 38,599 | |
| * | CBIZ Inc. | 1,424,224 | | 38,397 | |
| * | AeroVironment Inc. | 618,412 | | 38,181 | |
| * | Air Transport Services Group Inc. | 1,604,411 | | 37,639 | |
| | Tennant Co. | 481,117 | | 37,489 | |
| | Granite Construction Inc. | 1,344,763 | | 37,210 | |
| * | Inovalon Holdings Inc. Class A | 1,973,332 | | 37,138 | |
| * | Cardlytics Inc. | 583,879 | | 36,703 | |
| | Benchmark Electronics Inc. | 1,053,585 | | 36,201 | |
| * | Continental Building Products Inc. | 987,208 | | 35,964 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Schneider National Inc. Class B | 1,622,288 | | 35,398 | |
| | Douglas Dynamics Inc. | 642,136 | | 35,317 | |
| * | Livent Corp. | 4,095,053 | | 35,013 | |
| * | MACOM Technology Solutions Holdings Inc. | 1,313,868 | | 34,949 | |
| | AZZ Inc. | 755,247 | | 34,704 | |
| | Raven Industries Inc. | 994,597 | | 34,274 | |
| | Triumph Group Inc. | 1,348,067 | | 34,066 | |
| | Encore Wire Corp. | 566,014 | | 32,489 | |
| | Patrick Industries Inc. | 611,425 | | 32,057 | |
| | CSW Industrials Inc. | 413,588 | | 31,846 | |
| * | Everi Holdings Inc. | 2,312,230 | | 31,053 | |
| | H&E Equipment Services Inc. | 916,733 | | 30,646 | |
| | Kadant Inc. | 288,498 | | 30,390 | |
| | AVX Corp. | 1,478,940 | | 30,274 | |
| | Lindsay Corp. | 312,525 | | 29,999 | |
| * | Conduent Inc. | 4,828,233 | | 29,935 | |
| * | GMS Inc. | 1,102,604 | | 29,859 | |
| | Greenbrier Cos. Inc. | 902,095 | | 29,255 | |
| | Standex International Corp. | 360,860 | | 28,634 | |
| | Primoris Services Corp. | 1,254,157 | | 27,892 | |
| * | Evo Payments Inc. Class A | 1,041,915 | | 27,517 | |
| * | TrueBlue Inc. | 1,138,467 | | 27,392 | |
| | Mesa Laboratories Inc. | 109,675 | | 27,353 | |
| | Astec Industries Inc. | 634,135 | | 26,634 | |
| ^ | Maxar Technologies Inc. | 1,691,423 | | 26,505 | |
| | MTS Systems Corp. | 550,352 | | 26,433 | |
| * | CIRCOR International Inc. | 568,503 | | 26,288 | |
| | Heartland Express Inc. | 1,232,880 | | 25,952 | |
| ^ | ADT Inc. | 3,185,034 | | 25,257 | |
| | Columbus McKinnon Corp. | 628,649 | | 25,165 | |
| * | FARO Technologies Inc. | 495,738 | | 24,960 | |
| | CTS Corp. | 828,636 | | 24,867 | |
| * | Vicor Corp. | 523,087 | | 24,439 | |
| | Apogee Enterprises Inc. | 742,275 | | 24,124 | |
| * | SEACOR Holdings Inc. | 556,587 | | 24,017 | |
| * | Thermon Group Holdings Inc. | 886,509 | | 23,758 | |
| * | PGT Innovations Inc. | 1,576,403 | | 23,504 | |
| | Griffon Corp. | 1,153,151 | | 23,444 | |
| * | Parsons Corp. | 565,417 | | 23,340 | |
| | Kforce Inc. | 582,497 | | 23,125 | |
| | Marten Transport Ltd. | 1,059,019 | | 22,758 | |
| | Wabash National Corp. | 1,524,938 | | 22,401 | |
| | Cass Information Systems Inc. | 378,071 | | 21,830 | |
| | TTEC Holdings Inc. | 522,427 | | 20,699 | |
| * | International Seaways Inc. | 687,748 | | 20,467 | |
| * | Aegion Corp. Class A | 908,626 | | 20,326 | |
| *,^ | Virgin Galactic Holdings Inc. | 1,674,100 | | 19,336 | |
| * | Atlas Air Worldwide Holdings Inc. | 695,506 | | 19,175 | |
| | Kelly Services Inc. Class A | 838,394 | | 18,931 | |
| * | US Concrete Inc. | 451,577 | | 18,813 | |
| | ArcBest Corp. | 678,178 | | 18,718 | |
| | Barrett Business Services Inc. | 206,369 | | 18,668 | |
| * | Evolent Health Inc. Class A | 2,049,375 | | 18,547 | |
| * | Great Lakes Dredge & Dock Corp. | 1,619,500 | | 18,349 | |
| * | Manitowoc Co. Inc. | 1,034,785 | | 18,109 | |
| | Gorman-Rupp Co. | 480,627 | | 18,024 | |
| * | Wesco Aircraft Holdings Inc. | 1,634,361 | | 18,011 | |
| * | DXP Enterprises Inc. | 448,764 | | 17,865 | |
| * | Veeco Instruments Inc. | 1,213,236 | | 17,816 | |
| * | Astronics Corp. | 637,040 | | 17,805 | |
| | Argan Inc. | 430,345 | | 17,274 | |
| | Hyster-Yale Materials Handling Inc. | 288,192 | | 16,992 | |
| * | Gates Industrial Corp. plc | 1,234,376 | | 16,985 | |
| * | Vectrus Inc. | 328,846 | | 16,857 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | Heidrick & Struggles International Inc. | 513,870 | | 16,701 | |
| *,^ | CryoPort Inc. | 1,011,640 | | 16,652 | |
| | Spartan Motors Inc. | 910,040 | | 16,454 | |
| | Quanex Building Products Corp. | 928,382 | | 15,857 | |
| * | Ducommun Inc. | 313,160 | | 15,824 | |
| * | Cornerstone Building Brands Inc. | 1,806,247 | | 15,371 | |
| *,^ | GreenSky Inc. Class A | 1,693,914 | | 15,076 | |
| * | Tutor Perini Corp. | 1,154,271 | | 14,844 | |
| | Ennis Inc. | 676,968 | | 14,656 | |
| * | Echo Global Logistics Inc. | 695,419 | | 14,395 | |
| * | Heritage-Crystal Clean Inc. | 457,145 | | 14,341 | |
| * | CAI International Inc. | 490,004 | | 14,200 | |
| *,^ | Repay Holdings Corp. | 958,843 | | 14,047 | |
| | Myers Industries Inc. | 838,958 | | 13,994 | |
| * | NV5 Global Inc. | 276,198 | | 13,934 | |
| | Resources Connection Inc. | 845,605 | | 13,809 | |
| * | MYR Group Inc. | 415,211 | | 13,532 | |
| * | Team Inc. | 824,899 | | 13,174 | |
| * | Cross Country Healthcare Inc. | 1,090,176 | | 12,668 | |
| | B. Riley Financial Inc. | 494,995 | | 12,464 | |
| * | Kimball Electronics Inc. | 698,298 | | 12,255 | |
| | Allied Motion Technologies Inc. | 239,777 | | 11,629 | |
| | Powell Industries Inc. | 234,582 | | 11,492 | |
| | CRA International Inc. | 208,309 | | 11,347 | |
| * | Bill.Com Holdings Inc. | 297,958 | | 11,337 | |
| | Miller Industries Inc. | 303,546 | | 11,271 | |
| * | Willdan Group Inc. | 351,669 | | 11,176 | |
| | Insteel Industries Inc. | 507,056 | | 10,897 | |
| | Hurco Cos. Inc. | 281,456 | | 10,797 | |
| *,^ | Energy Recovery Inc. | 1,102,027 | | 10,789 | |
| * | Foundation Building Materials Inc. | 542,185 | | 10,491 | |
| | Omega Flex Inc. | 97,647 | | 10,477 | |
| * | Sterling Construction Co. Inc. | 741,365 | | 10,438 | |
| * | UFP Technologies Inc. | 207,664 | | 10,302 | |
| | NN Inc. | 1,072,899 | | 9,924 | |
| * | Franklin Covey Co. | 306,004 | | 9,863 | |
| * | Napco Security Technologies Inc. | 335,202 | | 9,852 | |
| * | Northwest Pipe Co. | 295,473 | | 9,842 | |
| * | Lydall Inc. | 469,184 | | 9,628 | |
| | NVE Corp. | 134,044 | | 9,571 | |
| | Park Aerospace Corp. | 582,510 | | 9,477 | |
| * | Vishay Precision Group Inc. | 271,246 | | 9,222 | |
| * | Transcat Inc. | 280,927 | | 8,950 | |
| * | Blue Bird Corp. | 389,361 | | 8,924 | |
| | REV Group Inc. | 711,086 | | 8,697 | |
| * | Veritiv Corp. | 434,094 | | 8,539 | |
| * | Construction Partners Inc. Class A | 502,180 | | 8,472 | |
| | VSE Corp. | 222,668 | | 8,470 | |
| * | I3 Verticals Inc. Class A | 298,571 | | 8,435 | |
| * | Donnelley Financial Solutions Inc. | 772,993 | | 8,093 | |
| | Briggs & Stratton Corp. | 1,178,569 | | 7,849 | |
| * | Commercial Vehicle Group Inc. | 1,228,695 | | 7,802 | |
| | Park-Ohio Holdings Corp. | 228,966 | | 7,705 | |
| * | Landec Corp. | 679,061 | | 7,680 | |
| | RR Donnelley & Sons Co. | 1,908,393 | | 7,538 | |
| * | InnerWorkings Inc. | 1,340,335 | | 7,385 | |
| * | Mistras Group Inc. | 512,655 | | 7,316 | |
| | Daktronics Inc. | 1,196,773 | | 7,288 | |
| ^ | Advanced Emissions Solutions Inc. | 692,063 | | 7,267 | |
| * | Ranpak Holdings Corp. | 881,479 | | 7,184 | |
| * | Lawson Products Inc. | 136,932 | | 7,134 | |
| *,^ | Eagle Bulk Shipping Inc. | 1,549,972 | | 7,130 | |
| * | Forterra Inc. | 595,526 | | 6,884 | |
| * | CECO Environmental Corp. | 897,446 | | 6,874 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Iteris Inc. | 1,352,725 | | 6,750 | |
| | BG Staffing Inc. | 291,465 | | 6,380 | |
| * | Luna Innovations Inc. | 873,060 | | 6,365 | |
| * | Era Group Inc. | 612,810 | | 6,232 | |
| * | LB Foster Co. Class A | 316,915 | | 6,142 | |
| *,^ | Paysign Inc. | 602,949 | | 6,120 | |
| * | Acacia Research Corp. | 2,283,057 | | 6,073 | |
| * | ShotSpotter Inc. | 236,445 | | 6,029 | |
| | Graham Corp. | 266,330 | | 5,827 | |
| * | DHI Group Inc. | 1,906,626 | | 5,739 | |
| * | Willis Lease Finance Corp. | 97,208 | | 5,727 | |
| * | Radiant Logistics Inc. | 1,027,749 | | 5,725 | |
| | Global Water Resources Inc. | 433,201 | | 5,697 | |
| * | Select Interior Concepts Inc. Class A | 632,053 | | 5,682 | |
| * | GP Strategies Corp. | 419,902 | | 5,555 | |
| * | IES Holdings Inc. | 212,930 | | 5,464 | |
| * | Overseas Shipholding Group Inc. Class A | 2,354,690 | | 5,416 | |
| * | Universal Technical Institute Inc. | 690,275 | | 5,322 | |
| | Preformed Line Products Co. | 87,151 | | 5,260 | |
| | LSI Industries Inc. | 848,427 | | 5,133 | |
| | Eastern Co. | 166,029 | | 5,069 | |
| *,^ | Workhorse Group Inc. | 1,634,280 | | 4,968 | |
| | NACCO Industries Inc. Class A | 106,061 | | 4,967 | |
| * | Gencor Industries Inc. | 419,044 | | 4,890 | |
| * | Covenant Transportation Group Inc. Class A | 364,019 | | 4,705 | |
| * | Concrete Pumping Holdings Inc. | 857,449 | | 4,690 | |
| * | Aspen Aerogels Inc. | 602,795 | | 4,678 | |
| *,^ | BlueLinx Holdings Inc. | 321,145 | | 4,576 | |
| * | Intevac Inc. | 637,977 | | 4,504 | |
| | Bel Fuse Inc. Class B | 214,012 | | 4,387 | |
| *,2 | Perma-Pipe International Holdings Inc. | 465,028 | | 4,362 | |
| * | IntriCon Corp. | 237,882 | | 4,282 | |
| | United States Lime & Minerals Inc. | 47,177 | | 4,260 | |
| * | OptimizeRx Corp. | 412,615 | | 4,238 | |
| * | Target Hospitality Corp. | 841,041 | | 4,205 | |
| * | ServiceSource International Inc. | 2,510,464 | | 4,192 | |
| * | PRGX Global Inc. | 837,093 | | 4,118 | |
| * | Orion Group Holdings Inc. | 781,265 | | 4,055 | |
| * | Twin Disc Inc. | 358,205 | | 3,947 | |
| * | CyberOptics Corp. | 213,328 | | 3,921 | |
| | Universal Logistics Holdings Inc. | 205,109 | | 3,889 | |
| * | Information Services Group Inc. | 1,484,288 | | 3,755 | |
| * | Daseke Inc. | 1,166,261 | | 3,685 | |
| * | General Finance Corp. | 329,977 | | 3,653 | |
| * | Orion Energy Systems Inc. | 1,024,668 | | 3,433 | |
| * | Babcock & Wilcox Enterprises Inc. | 918,791 | | 3,344 | |
| * | PAM Transportation Services Inc. | 56,554 | | 3,264 | |
| * | StarTek Inc. | 400,479 | | 3,196 | |
| | Quad/Graphics Inc. | 683,715 | | 3,193 | |
| * | Ultralife Corp. | 430,397 | | 3,181 | |
| * | Manitex International Inc. | 512,122 | | 3,047 | |
| *,^ | Turtle Beach Corp. | 315,828 | | 2,985 | |
| * | CPI Aerostructures Inc. | 436,504 | | 2,938 | |
| * | Goldfield Corp. | 812,034 | | 2,883 | |
| * | Hill International Inc. | 901,699 | | 2,849 | |
| * | US Xpress Enterprises Inc. Class A | 536,547 | | 2,699 | |
| *,^ | EVI Industries Inc. | 98,274 | | 2,657 | |
| *,^ | YRC Worldwide Inc. | 1,017,816 | | 2,595 | |
| *,^ | Asure Software Inc. | 316,621 | | 2,590 | |
| * | Armstrong Flooring Inc. | 582,389 | | 2,487 | |
| *,^ | Research Frontiers Inc. | 808,942 | | 2,435 | |
| *,^ | ExOne Co. | 324,278 | | 2,419 | |
| * | Frequency Electronics Inc. | 192,502 | | 1,965 | |
| * | Horizon Global Corp. | 556,734 | | 1,943 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Perma-Fix Environmental Services | 211,854 | | 1,928 | |
| * | Houston Wire & Cable Co. | 433,061 | | 1,910 | |
| * | Mayville Engineering Co. Inc. | 188,878 | | 1,772 | |
| *,^ | MicroVision Inc. | 2,382,933 | | 1,716 | |
| * | IEC Electronics Corp. | 187,870 | | 1,708 | |
| * | Vertex Energy Inc. | 1,091,322 | | 1,681 | |
| | RF Industries Ltd. | 245,831 | | 1,662 | |
| | Richardson Electronics Ltd. | 294,196 | | 1,656 | |
| *,^ | Wrap Technologies Inc. | 248,688 | | 1,589 | |
| *,^ | Coda Octopus Group Inc. | 183,468 | | 1,536 | |
| * | Sharps Compliance Corp. | 345,533 | | 1,458 | |
| * | Patriot Transportation Holding Inc. | 73,583 | | 1,433 | |
| * | Volt Information Sciences Inc. | 572,256 | | 1,419 | |
| * | ARC Document Solutions Inc. | 997,830 | | 1,387 | |
| * | PFSweb Inc. | 350,145 | | 1,338 | |
| *,^ | Energous Corp. | 704,229 | | 1,246 | |
| * | Nesco Holdings Inc. | 298,528 | | 1,227 | |
| * | USA Truck Inc. | 139,872 | | 1,042 | |
| *,^ | Aqua Metals Inc. | 1,348,801 | | 1,019 | |
| * | Alpha Pro Tech Ltd. | 293,929 | | 1,008 | |
| * | Issuer Direct Corp. | 81,722 | | 955 | |
| * | DLH Holdings Corp. | 210,584 | | 882 | |
| | Greif Inc. Class B | 16,527 | | 856 | |
| *,^ | Hudson Technologies Inc. | 872,556 | | 853 | |
| * | Innovative Solutions & Support Inc. | 137,843 | | 805 | |
| | Espey Manufacturing & Electronics Corp. | 36,520 | | 789 | |
| * | Perceptron Inc. | 139,462 | | 767 | |
| *,^ | CUI Global Inc. | 688,520 | | 757 | |
| | Hudson Global Inc. | 63,373 | | 757 | |
| * | MTBC Inc. | 177,257 | | 720 | |
| * | Charah Solutions Inc. | 286,337 | | 699 | |
| * | Air T Inc. | 32,804 | | 661 | |
| * | Broadwind Energy Inc. | 380,668 | | 632 | |
| * | HireQuest Inc. | 88,206 | | 625 | |
| * | Huttig Building Products Inc. | 400,145 | | 616 | |
| *,^ | Verb Technology Co. Inc. | 383,334 | | 594 | |
| * | FreightCar America Inc. | 276,496 | | 572 | |
| * | LGL Group Inc. | 37,858 | | 568 | |
| * | Limbach Holdings Inc. | 149,531 | | 565 | |
| | Ecology and Environment Inc. | 36,249 | | 562 | |
| * | SIFCO Industries Inc. | 138,297 | | 546 | |
| *,^ | Odyssey Marine Exploration Inc. | 167,947 | | 536 | |
| *,^ | Capstone Turbine Corp. | 164,075 | | 502 | |
| * | Steel Connect Inc. | 322,523 | | 471 | |
| | AMCON Distributing Co. | 6,102 | | 439 | |
| * | Wireless Telecom Group Inc. | 305,882 | | 437 | |
| * | Ballantyne Strong Inc. | 124,748 | | 404 | |
| *,^ | Applied DNA Sciences Inc. | 88,084 | | 369 | |
| | Rush Enterprises Inc. Class B | 7,769 | | 355 | |
| * | Image Sensing Systems Inc. | 79,211 | | 355 | |
| * | eMagin Corp. | 915,968 | | 315 | |
| * | Tecogen Inc. | 145,349 | | 308 | |
| * | ALJ Regional Holdings Inc. | 266,005 | | 306 | |
| *,^ | Boxlight Corp. Class A | 268,979 | | 299 | |
| | Chicago Rivet & Machine Co. | 11,238 | | 290 | |
| * | Lightbridge Corp. | 59,325 | | 267 | |
| * | Jewett-Cameron Trading Co. Ltd. | 32,900 | | 254 | |
| | Amcor plc | 23,377 | | 253 | |
| * | Usio Inc. | 142,603 | | 222 | |
| * | LightPath Technologies Inc. Class A | 292,810 | | 212 | |
| * | Rubicon Technology Inc. | 25,149 | | 209 | |
| * | Pioneer Power Solutions Inc. | 90,658 | | 206 | |
| * | Taylor Devices Inc. | 18,441 | | 194 | |
| * | ClearSign Combustion Corp. | 240,083 | | 183 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Fuel Tech Inc. | 189,010 | | 176 | |
| * | ENGlobal Corp. | 172,651 | | 169 | |
| *,^ | Digital Ally Inc. | 151,478 | | 155 | |
| * | Air Industries Group | 52,742 | | 121 | |
| * | Document Security Systems Inc. | 263,284 | | 79 | |
| * | Continental Materials Corp. | 9,241 | | 73 | |
| * | Marathon Patent Group Inc. | 72,661 | | 64 | |
| * | Quest Resource Holding Corp. | 25,955 | | 57 | |
| * | Hoth Therapeutics Inc. | 8,642 | | 53 | |
| | Servotronics Inc. | 5,014 | | 50 | |
| | Bel Fuse Inc. Class A | 2,976 | | 48 | |
| * | Summit Wireless Technologies Inc. | 67,677 | | 41 | |
| * | Sypris Solutions Inc. | 35,375 | | 28 | |
| * | AeroCentury Corp. | 3,579 | | 16 | |
| * | Polar Power Inc. | 5,108 | | 12 | |
| * | Air T Inc. Warrants Exp. 06/07/2020 | 90,675 | | 5 | |
| *,§ | Patriot National Inc. | 129,819 | | 3 | |
| * | Electro-Sensors Inc. | 200 | | 1 | |
| * | Dorian LPG Ltd. | 20 | | — | |
| | | | | 117,584,949 | |
| Oil & Gas (4.0%) | |
| | Exxon Mobil Corp. | 119,196,797 | | 8,317,553 | |
| | Chevron Corp. | 53,266,865 | | 6,419,190 | |
| | ConocoPhillips | 30,924,238 | | 2,011,003 | |
| | Schlumberger Ltd. | 38,993,015 | | 1,567,519 | |
| | Phillips 66 | 12,514,996 | | 1,394,296 | |
| | EOG Resources Inc. | 16,375,183 | | 1,371,585 | |
| | Kinder Morgan Inc. | 54,188,472 | | 1,147,170 | |
| | Marathon Petroleum Corp. | 18,302,057 | | 1,102,699 | |
| | Valero Energy Corp. | 11,574,788 | | 1,083,979 | |
| | Occidental Petroleum Corp. | 25,183,612 | | 1,037,817 | |
| | ONEOK Inc. | 11,628,292 | | 879,913 | |
| | Williams Cos. Inc. | 34,141,403 | | 809,834 | |
| | Pioneer Natural Resources Co. | 4,673,247 | | 707,389 | |
| | Halliburton Co. | 23,485,795 | | 574,697 | |
| | Hess Corp. | 7,712,456 | | 515,269 | |
| | Concho Resources Inc. | 5,665,510 | | 496,129 | |
| | Baker Hughes a GE Co. Class A | 18,307,207 | | 469,214 | |
| | Diamondback Energy Inc. | 4,528,562 | | 420,522 | |
| * | Cheniere Energy Inc. | 6,464,517 | | 394,788 | |
| | Noble Energy Inc. | 13,471,568 | | 334,634 | |
| | Marathon Oil Corp. | 22,495,157 | | 305,484 | |
| | National Oilwell Varco Inc. | 10,906,698 | | 273,213 | |
| | Apache Corp. | 10,605,355 | | 271,391 | |
| | Devon Energy Corp. | 10,302,264 | | 267,550 | |
| | Targa Resources Corp. | 6,551,333 | | 267,491 | |
| | HollyFrontier Corp. | 4,097,535 | | 207,786 | |
| | Cabot Oil & Gas Corp. | 11,508,217 | | 200,358 | |
| * | WPX Energy Inc. | 11,729,350 | | 161,161 | |
| | Cimarex Energy Co. | 2,868,393 | | 150,562 | |
| | Parsley Energy Inc. Class A | 7,534,988 | | 142,487 | |
| | Helmerich & Payne Inc. | 2,887,757 | | 131,191 | |
| * | First Solar Inc. | 2,083,040 | | 116,567 | |
| | Murphy Oil Corp. | 4,219,857 | | 113,092 | |
| * | Transocean Ltd. | 16,376,614 | | 112,671 | |
| | PBF Energy Inc. Class A | 2,866,367 | | 89,918 | |
| | EQT Corp. | 7,208,083 | | 78,568 | |
| | Equitrans Midstream Corp. | 5,776,873 | | 77,179 | |
| * | Apergy Corp. | 2,206,910 | | 74,549 | |
| | Continental Resources Inc. | 2,124,498 | | 72,870 | |
| | Delek US Holdings Inc. | 2,091,128 | | 70,116 | |
| * | Chart Industries Inc. | 1,012,794 | | 68,354 | |
| *,^ | Enphase Energy Inc. | 2,419,116 | | 63,212 | |
| | Arcosa Inc. | 1,370,728 | | 61,066 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| ^ | Antero Midstream Corp. | 7,787,074 | | 59,104 | |
| * | Matador Resources Co. | 3,148,940 | | 56,586 | |
| | Patterson-UTI Energy Inc. | 5,277,085 | | 55,409 | |
| * | Callon Petroleum Co. | 10,996,753 | | 53,114 | |
| * | Dril-Quip Inc. | 1,026,848 | | 48,169 | |
| | Core Laboratories NV | 1,258,385 | | 47,403 | |
| | Cactus Inc. Class A | 1,340,036 | | 45,990 | |
| * | PDC Energy Inc. | 1,747,549 | | 45,733 | |
| *,^ | Chesapeake Energy Corp. | 55,025,332 | | 45,429 | |
| | Archrock Inc. | 4,268,890 | | 42,860 | |
| * | Oceaneering International Inc. | 2,818,943 | | 42,030 | |
| * | Magnolia Oil & Gas Corp. Class A | 3,251,616 | | 40,905 | |
| * | Helix Energy Solutions Group Inc. | 4,039,251 | | 38,898 | |
| * | Southwestern Energy Co. | 15,347,255 | | 37,140 | |
| *,^ | Valaris plc Class A | 5,539,692 | | 36,340 | |
| | SM Energy Co. | 3,165,498 | | 35,580 | |
| * | NOW Inc. | 3,112,337 | | 34,983 | |
| | CVR Energy Inc. | 853,356 | | 34,501 | |
| * | CNX Resources Corp. | 3,680,669 | | 32,574 | |
| * | MRC Global Inc. | 2,272,136 | | 30,992 | |
| | QEP Resources Inc. | 6,731,320 | | 30,291 | |
| | NexTier Oilfield Solutions Inc. | 4,462,507 | | 29,899 | |
| ^ | Range Resources Corp. | 6,106,465 | | 29,616 | |
| * | SRC Energy Inc. | 6,901,198 | | 28,433 | |
| * | Renewable Energy Group Inc. | 1,054,732 | | 28,425 | |
| | Nabors Industries Ltd. | 9,677,647 | | 27,872 | |
| * | Centennial Resource Development Inc. Class A | 5,853,635 | | 27,044 | |
| * | ProPetro Holding Corp. | 2,401,449 | | 27,016 | |
| * | Oasis Petroleum Inc. | 8,224,751 | | 26,813 | |
| *,^ | Plug Power Inc. | 8,459,177 | | 26,731 | |
| * | Oil States International Inc. | 1,562,829 | | 25,490 | |
| * | Par Pacific Holdings Inc. | 1,086,791 | | 25,257 | |
| * | Antero Resources Corp. | 7,426,844 | | 21,167 | |
| *,^ | Tellurian Inc. | 2,764,646 | | 20,127 | |
| * | Northern Oil and Gas Inc. | 8,063,300 | | 18,868 | |
| *,^ | Whiting Petroleum Corp. | 2,516,380 | | 18,470 | |
| * | Denbury Resources Inc. | 12,999,073 | | 18,329 | |
| * | Tidewater Inc. | 941,697 | | 18,156 | |
| * | SunPower Corp. Class A | 2,311,973 | | 18,033 | |
| | Liberty Oilfield Services Inc. Class A | 1,615,114 | | 17,960 | |
| ^ | DMC Global Inc. | 395,641 | | 17,780 | |
| | Brigham Minerals Inc. | 770,431 | | 16,518 | |
| | Berry Petroleum Corp. | 1,724,247 | | 16,260 | |
| * | Talos Energy Inc. | 534,530 | | 16,116 | |
| * | Matrix Service Co. | 691,752 | | 15,827 | |
| * | TPI Composites Inc. | 853,153 | | 15,792 | |
| | Green Plains Inc. | 1,020,562 | | 15,747 | |
| *,^ | FuelCell Energy Inc. | 6,198,287 | | 15,558 | |
| *,^ | Jagged Peak Energy Inc. | 1,823,880 | | 15,485 | |
| * | Select Energy Services Inc. Class A | 1,636,129 | | 15,183 | |
| * | Newpark Resources Inc. | 2,408,585 | | 15,102 | |
| * | Laredo Petroleum Inc. | 5,058,250 | | 14,517 | |
| * | W&T Offshore Inc. | 2,527,654 | | 14,054 | |
| * | Penn Virginia Corp. | 439,491 | | 13,339 | |
| * | REX American Resources Corp. | 162,073 | | 13,284 | |
| *,^ | Diamond Offshore Drilling Inc. | 1,757,345 | | 12,635 | |
| * | Bonanza Creek Energy Inc. | 519,376 | | 12,122 | |
| | Solaris Oilfield Infrastructure Inc. Class A | 859,497 | | 12,033 | |
| * | Gulfport Energy Corp. | 3,931,369 | | 11,951 | |
| *,^ | California Resources Corp. | 1,309,658 | | 11,826 | |
| ^ | RPC Inc. | 1,678,674 | | 8,796 | |
| * | Noble Corp. plc | 7,133,017 | | 8,702 | |
| * | Trecora Resources | 1,213,626 | | 8,677 | |
| * | Ameresco Inc. Class A | 472,745 | | 8,273 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | SEACOR Marine Holdings Inc. | 530,041 | | 7,309 | |
| * | Exterran Corp. | 905,914 | | 7,093 | |
| * | TETRA Technologies Inc. | 3,415,280 | | 6,694 | |
| | Falcon Minerals Corp. | 918,900 | | 6,487 | |
| * | Parker Drilling Co. | 279,913 | | 6,298 | |
| * | Contango Oil & Gas Co. | 1,698,422 | | 6,233 | |
| * | Geospace Technologies Corp. | 370,223 | | 6,209 | |
| *,^ | Altus Midstream Co. Class A | 2,047,083 | | 5,855 | |
| * | HighPoint Resources Corp. | 3,029,949 | | 5,121 | |
| | Amplify Energy Corp. | 772,672 | | 5,107 | |
| * | American Superconductor Corp. | 611,757 | | 4,802 | |
| * | Natural Gas Services Group Inc. | 365,316 | | 4,479 | |
| *,^ | Extraction Oil & Gas Inc. | 2,112,129 | | 4,478 | |
| * | SandRidge Energy Inc. | 959,542 | | 4,068 | |
| | Panhandle Oil and Gas Inc. Class A | 352,515 | | 3,952 | |
| * | Montage Resources Corp. | 492,406 | | 3,910 | |
| * | KLX Energy Services Holdings Inc. | 588,372 | | 3,789 | |
| * | Flotek Industries Inc. | 1,892,315 | | 3,785 | |
| | Evolution Petroleum Corp. | 633,497 | | 3,465 | |
| * | Forum Energy Technologies Inc. | 2,020,961 | | 3,395 | |
| *,^ | McDermott International Inc. | 4,871,030 | | 3,296 | |
| * | PrimeEnergy Resources Corp. | 21,616 | | 3,270 | |
| *,^ | Ring Energy Inc. | 1,214,955 | | 3,208 | |
| * | VAALCO Energy Inc. | 1,411,904 | | 3,134 | |
| * | Gulf Island Fabrication Inc. | 540,255 | | 2,739 | |
| * | ION Geophysical Corp. | 314,750 | | 2,732 | |
| * | Goodrich Petroleum Corp. | 265,810 | | 2,669 | |
| | Adams Resources & Energy Inc. | 61,593 | | 2,345 | |
| * | Earthstone Energy Inc. Class A | 361,929 | | 2,291 | |
| * | Nine Energy Service Inc. | 289,270 | | 2,262 | |
| * | National Energy Services Reunited Corp. | 224,364 | | 2,046 | |
| *,^ | Covia Holdings Corp. | 944,310 | | 1,926 | |
| * | SilverBow Resources Inc. | 191,149 | | 1,892 | |
| * | Chaparral Energy Inc. Class A | 1,059,360 | | 1,865 | |
| * | Abraxas Petroleum Corp. | 4,759,228 | | 1,671 | |
| * | US Well Services Inc. | 739,453 | | 1,398 | |
| *,^ | Smart Sand Inc. | 511,406 | | 1,289 | |
| * | Lonestar Resources US Inc. Class A | 458,790 | | 1,197 | |
| * | Dawson Geophysical Co. | 476,758 | | 1,144 | |
| * | Ranger Energy Services Inc. | 167,815 | | 1,081 | |
| * | Independence Contract Drilling Inc. | 1,051,282 | | 1,048 | |
| *,^ | Torchlight Energy Resources Inc. | 1,284,189 | | 976 | |
| * | Mitcham Industries Inc. | 333,773 | | 958 | |
| * | FTS International Inc. | 869,610 | | 904 | |
| * | Unit Corp. | 1,280,836 | | 891 | |
| *,^ | Pacific Ethanol Inc. | 980,570 | | 637 | |
| * | Quintana Energy Services Inc. | 221,242 | | 622 | |
| *,^ | Infrastructure and Energy Alternatives Inc. | 187,458 | | 604 | |
| * | Gevo Inc. | 192,158 | | 444 | |
| * | Epsilon Energy Ltd. | 133,469 | | 440 | |
| | Mammoth Energy Services Inc. | 194,314 | | 428 | |
| * | NCS Multistage Holdings Inc. | 178,351 | | 375 | |
| *,^ | Taronis Technologies Inc. | 351,640 | | 319 | |
| *,^ | Lilis Energy Inc. | 690,800 | | 263 | |
| *,^ | American Resources Corp. Class A | 296,782 | | 187 | |
| *,^ | Talos Energy Inc. Warrants Exp. 02/28/2021 | 116,107 | | 187 | |
| * | Superior Drilling Products Inc. | 187,537 | | 154 | |
| *,^ | Zion Oil & Gas Inc. | 831,368 | | 144 | |
| * | Rosehill Resources Inc. Class A | 103,433 | | 132 | |
| *,^,§ | Taronis Fuels Inc. | 1,758,200 | | 130 | |
| | TechnipFMC plc | 5,981 | | 128 | |
| *,^ | Enservco Corp. | 529,212 | | 99 | |
| * | Aemetis Inc. | 104,265 | | 87 | |
| *,^ | PEDEVCO Corp. | 42,749 | | 71 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^ | Alta Mesa Resources Inc. Class A | 2,645,853 | | 41 | |
| § | SemGroup Corp. Class A | 2,560 | | 39 | |
| *,^ | Hornbeck Offshore Services Inc. | 334,485 | | 35 | |
| * | Tidewater Inc. Class A | 8,839 | | 14 | |
| * | Tidewater Inc. Class B | 9,555 | | 11 | |
| * | Pioneer Energy Services Corp. | 320,008 | | 10 | |
| *,^ | Houston American Energy Corp. | 38,447 | | 6 | |
| | Energy Transfer Equity LP | 345 | | 4 | |
| *,^ | Bonanza Creek Energy Inc. Warrants Exp. 04/28/2020 | 33,839 | | 1 | |
| *,§ | Jones Energy Inc. Class A | 782 | | — | |
| *,^,§ | Harvest Natural Resources Inc. | 51,829 | | — | |
| *,§ | Rex Energy Corp. | 302 | | — | |
| | | 36,261,723 | |
| Other (0.0%)3 | |
| *,§ | Alder BioPharmaceuticals CVR Exp. 12/31/2024 | 2,021,007 | | 1,779 | |
| *,^,§ | Tobira Therapeutics CVR Exp. 12/31/2028 | 201,001 | | 911 | |
| *,§ | A Schulman Inc. CVR | 659,182 | | 285 | |
| *,§ | New York REIT Liquidating LLC | 19,100 | | 248 | |
| *,^,§ | Ocera Therapeutics CVR Line | 653,477 | | 176 | |
| *,§ | Corium CVR | 782,067 | | 141 | |
| *,§ | NewStar Financial Inc. CVR | 551,185 | | 133 | |
| *,§ | Ambit Biosciences Corp. CVR | 201,330 | | 121 | |
| *,§ | Media General Inc. CVR | 2,351,934 | | 91 | |
| * | Kadmon Warrants Exp. 09/29/2022 | 169,257 | | 80 | |
| *,§ | Omthera Pharmaceuticals Inc. CVR | 121,311 | | 73 | |
| *,§ | OncoMed Pharmaceuticals Inc. CVR | 255,777 | | 70 | |
| *,§ | Social Reality Inc. Rights | 148,260 | | 27 | |
| *,§ | Aratana Therapeutics Inc. CVR | 575,457 | | 15 | |
| *,§ | Alexza Pharmaceuticals Inc. CVR | 327,391 | | 11 | |
| *,§ | Seventy Seven Energy Inc. Escrow Line | 7,222 | | 1 | |
| *,§ | OncoMed Pharmaceuticals Inc. CVR (XNGS) | 40,724 | | — | |
| *,§ | Clinical Data CVR | 216,285 | | — | |
| *,^,§ | Biosante Pharmaceutical Inc. CVR | 253,823 | | — | |
| *,§ | TheStreet CVR | 118,721 | | — | |
| *,§ | NuPathe Inc. CVR | 158,681 | | — | |
| * | Advaxis Inc. Warrants Exp. 09/11/2024 | 157,660 | | — | |
| | | 4,162 | |
| Technology (21.8%) | |
| | Microsoft Corp. | 214,894,399 | | 33,888,847 | |
| | Apple Inc. | 112,647,486 | | 33,078,934 | |
| * | Facebook Inc. Class A | 67,790,793 | | 13,914,060 | |
| * | Alphabet Inc. Class A | 8,433,695 | | 11,296,007 | |
| * | Alphabet Inc. Class C | 8,233,074 | | 11,007,785 | |
| | Intel Corp. | 122,533,964 | | 7,333,658 | |
| | Cisco Systems Inc. | 119,505,808 | | 5,731,499 | |
| * | Adobe Inc. | 13,636,027 | | 4,497,298 | |
| | NVIDIA Corp. | 16,376,180 | | 3,853,315 | |
| * | salesforce.com Inc. | 23,468,715 | | 3,816,952 | |
| | Texas Instruments Inc. | 26,327,998 | | 3,377,619 | |
| | Broadcom Inc. | 10,616,046 | | 3,354,883 | |
| | International Business Machines Corp. | 24,946,286 | | 3,343,800 | |
| | Oracle Corp. | 60,104,577 | | 3,184,340 | |
| | QUALCOMM Inc. | 32,166,321 | | 2,838,035 | |
| | Intuit Inc. | 6,963,214 | | 1,823,875 | |
| * | Micron Technology Inc. | 31,184,716 | | 1,677,114 | |
| | Applied Materials Inc. | 26,017,483 | | 1,588,107 | |
| * | ServiceNow Inc. | 5,313,797 | | 1,500,191 | |
| * | Advanced Micro Devices Inc. | 31,372,301 | | 1,438,734 | |
| | Analog Devices Inc. | 10,376,442 | | 1,233,136 | |
| | L3Harris Technologies Inc. | 6,231,979 | | 1,233,122 | |
| | Lam Research Corp. | 4,084,022 | | 1,194,168 | |
| * | Autodesk Inc. | 6,181,929 | | 1,134,137 | |
| | Cognizant Technology Solutions Corp. Class A | 15,434,809 | | 957,267 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | HP Inc. | 41,752,652 | | 858,017 | |
| | KLA Corp. | 4,448,375 | | 792,567 | |
| | Motorola Solutions Inc. | 4,826,137 | | 777,684 | |
| * | Workday Inc. Class A | 4,620,392 | | 759,823 | |
| | Microchip Technology Inc. | 6,724,114 | | 704,149 | |
| | Xilinx Inc. | 7,087,249 | | 692,920 | |
| * | Twitter Inc. | 20,777,810 | | 665,929 | |
| * | Splunk Inc. | 4,338,081 | | 649,714 | |
| | Corning Inc. | 21,677,884 | | 631,043 | |
| | Cerner Corp. | 8,415,910 | | 617,644 | |
| * | ANSYS Inc. | 2,369,763 | | 610,001 | |
| * | Palo Alto Networks Inc. | 2,620,834 | | 606,068 | |
| * | Synopsys Inc. | 4,231,878 | | 589,077 | |
| | Skyworks Solutions Inc. | 4,800,558 | | 580,291 | |
| | Hewlett Packard Enterprise Co. | 36,472,723 | | 578,457 | |
| | CDW Corp. | 4,049,435 | | 578,421 | |
| * | VeriSign Inc. | 2,980,427 | | 574,269 | |
| * | IAC/InterActiveCorp | 2,219,354 | | 552,863 | |
| * | Cadence Design Systems Inc. | 7,898,620 | | 547,848 | |
| * | Veeva Systems Inc. Class A | 3,705,590 | | 521,228 | |
| | Western Digital Corp. | 7,961,077 | | 505,290 | |
| | Marvell Technology Group Ltd. | 18,769,533 | | 498,519 | |
| | Maxim Integrated Products Inc. | 7,629,263 | | 469,276 | |
| * | Snap Inc. | 27,260,325 | | 445,161 | |
| * | Fortinet Inc. | 4,084,922 | | 436,106 | |
| | NortonLifeLock Inc. | 15,801,617 | | 403,257 | |
| | NetApp Inc. | 6,429,374 | | 400,229 | |
| | Leidos Holdings Inc. | 3,994,378 | | 391,010 | |
| | Citrix Systems Inc. | 3,482,724 | | 386,234 | |
| * | Qorvo Inc. | 3,272,490 | | 380,362 | |
| | Seagate Technology plc | 6,285,103 | | 373,964 | |
| * | Akamai Technologies Inc. | 4,328,371 | | 373,885 | |
| | SS&C Technologies Holdings Inc. | 6,055,730 | | 371,822 | |
| * | Gartner Inc. | 2,396,952 | | 369,370 | |
| * | Paycom Software Inc. | 1,393,352 | | 368,904 | |
| * | RingCentral Inc. Class A | 2,107,552 | | 355,481 | |
| * | Okta Inc. | 3,004,361 | | 346,613 | |
| * | Twilio Inc. Class A | 3,508,592 | | 344,824 | |
| * | Tyler Technologies Inc. | 1,096,184 | | 328,877 | |
| * | VMware Inc. Class A | 2,155,239 | | 327,144 | |
| * | GoDaddy Inc. Class A | 4,816,397 | | 327,130 | |
| | Teradyne Inc. | 4,719,871 | | 321,848 | |
| * | EPAM Systems Inc. | 1,472,320 | | 312,367 | |
| * | Arista Networks Inc. | 1,509,069 | | 306,945 | |
| * | Dell Technologies Inc. | 5,858,398 | | 301,063 | |
| * | DocuSign Inc. Class A | 3,966,166 | | 293,933 | |
| * | ON Semiconductor Corp. | 11,560,134 | | 281,836 | |
| | DXC Technology Co. | 7,228,256 | | 271,710 | |
| * | Coupa Software Inc. | 1,770,349 | | 258,914 | |
| * | Black Knight Inc. | 3,991,959 | | 257,402 | |
| * | Guidewire Software Inc. | 2,323,534 | | 255,054 | |
| | Cypress Semiconductor Corp. | 10,391,866 | | 242,442 | |
| * | Zendesk Inc. | 3,159,692 | | 242,127 | |
| * | F5 Networks Inc. | 1,707,295 | | 238,424 | |
| * | Aspen Technology Inc. | 1,928,191 | | 233,176 | |
| | Juniper Networks Inc. | 9,464,161 | | 233,102 | |
| * | PTC Inc. | 2,917,031 | | 218,456 | |
| | Monolithic Power Systems Inc. | 1,158,269 | | 206,195 | |
| * | Ceridian HCM Holding Inc. | 2,832,065 | | 192,241 | |
| | Entegris Inc. | 3,808,304 | | 190,758 | |
| | CDK Global Inc. | 3,413,867 | | 186,670 | |
| * | Ciena Corp. | 4,348,961 | | 185,657 | |
| * | Proofpoint Inc. | 1,592,627 | | 182,802 | |
| * | HubSpot Inc. | 1,147,698 | | 181,910 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | CACI International Inc. Class A | 700,370 | | 175,085 | |
| * | MongoDB Inc. | 1,327,893 | | 174,764 | |
| | MKS Instruments Inc. | 1,534,448 | | 168,805 | |
| * | Lumentum Holdings Inc. | 2,066,523 | | 163,875 | |
| * | Pinterest Inc. Class A | 8,649,940 | | 161,235 | |
| * | Nutanix Inc. | 4,900,122 | | 153,178 | |
| *,^ | Slack Technologies Inc. Class A | 6,610,884 | | 148,613 | |
| | SYNNEX Corp. | 1,147,639 | | 147,816 | |
| * | Anaplan Inc. | 2,789,253 | | 146,157 | |
| * | Tech Data Corp. | 998,007 | | 143,314 | |
| * | Manhattan Associates Inc. | 1,796,617 | | 143,280 | |
| * | Silicon Laboratories Inc. | 1,231,826 | | 142,867 | |
| * | Nuance Communications Inc. | 7,992,585 | | 142,508 | |
| | Science Applications International Corp. | 1,632,102 | | 142,026 | |
| * | Cree Inc. | 3,016,639 | | 139,218 | |
| * | Avalara Inc. | 1,844,550 | | 135,113 | |
| * | Cirrus Logic Inc. | 1,629,015 | | 134,247 | |
| * | Alteryx Inc. Class A | 1,314,396 | | 131,532 | |
| * | NCR Corp. | 3,603,648 | | 126,704 | |
| * | Smartsheet Inc. Class A | 2,795,586 | | 125,578 | |
| | j2 Global Inc. | 1,299,461 | | 121,772 | |
| *,^ | Match Group Inc. | 1,482,112 | | 121,696 | |
| * | RealPage Inc. | 2,256,965 | | 121,312 | |
| * | ViaSat Inc. | 1,625,611 | | 118,987 | |
| | Cabot Microelectronics Corp. | 819,510 | | 118,272 | |
| | LogMeIn Inc. | 1,379,113 | | 118,245 | |
| * | ACI Worldwide Inc. | 3,096,747 | | 117,320 | |
| | Blackbaud Inc. | 1,396,846 | | 111,189 | |
| * | Pure Storage Inc. Class A | 6,404,513 | | 109,581 | |
| * | Five9 Inc. | 1,648,945 | | 108,138 | |
| * | Dropbox Inc. Class A | 5,999,164 | | 107,445 | |
| * | Verint Systems Inc. | 1,892,425 | | 104,765 | |
| | Perspecta Inc. | 3,887,005 | | 102,772 | |
| * | Semtech Corp. | 1,889,129 | | 99,935 | |
| * | Q2 Holdings Inc. | 1,226,275 | | 99,426 | |
| * | New Relic Inc. | 1,501,016 | | 98,632 | |
| * | Envestnet Inc. | 1,392,598 | | 96,967 | |
| * | Viavi Solutions Inc. | 6,434,687 | | 96,520 | |
| * | Inphi Corp. | 1,287,132 | | 95,274 | |
| * | Cornerstone OnDemand Inc. | 1,623,420 | | 95,051 | |
| * | FireEye Inc. | 5,727,849 | | 94,681 | |
| | Pegasystems Inc. | 1,115,155 | | 88,822 | |
| * | Zscaler Inc. | 1,806,498 | | 84,002 | |
| * | Teradata Corp. | 3,137,762 | | 83,998 | |
| | Brooks Automation Inc. | 1,941,539 | | 81,467 | |
| | Cogent Communications Holdings Inc. | 1,200,715 | | 79,019 | |
| | Power Integrations Inc. | 792,936 | | 78,429 | |
| * | Qualys Inc. | 938,007 | | 78,202 | |
| * | Advanced Energy Industries Inc. | 1,084,524 | | 77,218 | |
| * | CommScope Holding Co. Inc. | 5,435,223 | | 77,126 | |
| * | Everbridge Inc. | 938,837 | | 73,304 | |
| * | Elastic NV | 1,121,526 | | 72,114 | |
| * | Lattice Semiconductor Corp. | 3,728,241 | | 71,359 | |
| * | Rapid7 Inc. | 1,267,840 | | 71,024 | |
| * | Premier Inc. Class A | 1,870,353 | | 70,849 | |
| * | Acacia Communications Inc. | 1,033,000 | | 70,048 | |
| * | Insight Enterprises Inc. | 988,827 | | 69,505 | |
| * | Box Inc. | 3,916,557 | | 65,720 | |
| * | Diodes Inc. | 1,156,012 | | 65,164 | |
| * | Bottomline Technologies de Inc. | 1,214,398 | | 65,092 | |
| * | Blackline Inc. | 1,260,077 | | 64,970 | |
| * | PROS Holdings Inc. | 1,074,488 | | 64,383 | |
| * | Varonis Systems Inc. | 822,755 | | 63,936 | |
| * | LivePerson Inc. | 1,648,173 | | 60,982 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| *,^ | Cloudera Inc. | 5,163,048 | | 60,046 | |
| * | Synaptics Inc. | 894,194 | | 58,811 | |
| * | EchoStar Corp. Class A | 1,333,656 | | 57,761 | |
| * | SailPoint Technologies Holding Inc. | 2,381,898 | | 56,213 | |
| * | FormFactor Inc. | 2,127,216 | | 55,244 | |
| * | SPS Commerce Inc. | 981,314 | | 54,384 | |
| * | SVMK Inc. | 2,987,282 | | 53,383 | |
| | Progress Software Corp. | 1,281,359 | | 53,240 | |
| * | CommVault Systems Inc. | 1,182,407 | | 52,783 | |
| * | Appfolio Inc. | 462,865 | | 50,892 | |
| * | Dynatrace Inc. | 1,974,719 | | 49,960 | |
| | CSG Systems International Inc. | 941,178 | | 48,734 | |
| * | NetScout Systems Inc. | 2,012,934 | | 48,451 | |
| | InterDigital Inc. | 884,235 | | 48,182 | |
| * | Instructure Inc. | 939,078 | | 45,273 | |
| * | Allscripts Healthcare Solutions Inc. | 4,578,041 | | 44,933 | |
| * | Alarm.com Holdings Inc. | 1,023,938 | | 43,999 | |
| * | Rambus Inc. | 3,152,798 | | 43,430 | |
| * | Avaya Holdings Corp. | 3,123,495 | | 42,167 | |
| * | Onto Innovation Inc. | 1,140,381 | | 41,670 | |
| | NIC Inc. | 1,834,163 | | 40,994 | |
| * | Perficient Inc. | 888,442 | | 40,931 | |
| * | Infinera Corp. | 5,138,765 | | 40,802 | |
| * | MaxLinear Inc. | 1,821,968 | | 38,662 | |
| * | Altair Engineering Inc. Class A | 1,047,473 | | 37,615 | |
| * | Workiva Inc. Class A | 891,599 | | 37,492 | |
| * | Blucora Inc. | 1,407,967 | | 36,804 | |
| *,^ | Appian Corp. Class A | 937,159 | | 35,809 | |
| * | Covetrus Inc. | 2,692,646 | | 35,543 | |
| ^ | Ubiquiti Inc. | 183,513 | | 34,680 | |
| *,^ | Yext Inc. | 2,362,936 | | 34,074 | |
| * | ForeScout Technologies Inc. | 1,037,318 | | 34,024 | |
| * | Virtusa Corp. | 738,059 | | 33,456 | |
| * | Eventbrite Inc. Class A | 1,628,475 | | 32,846 | |
| * | MicroStrategy Inc. Class A | 228,635 | | 32,610 | |
| * | Bandwidth Inc. Class A | 507,298 | | 32,492 | |
| * | ePlus Inc. | 374,139 | | 31,536 | |
| * | Zuora Inc. Class A | 2,167,428 | | 31,059 | |
| *,^ | Datadog Inc. Class A | 778,274 | | 29,403 | |
| | TiVo Corp. | 3,431,674 | | 29,101 | |
| * | Crowdstrike Holdings Inc. Class A | 579,156 | | 28,883 | |
| * | Model N Inc. | 821,116 | | 28,797 | |
| * | Photronics Inc. | 1,820,840 | | 28,696 | |
| *,^ | 3D Systems Corp. | 3,198,222 | | 27,984 | |
| | Switch Inc. | 1,878,163 | | 27,834 | |
| *,^ | Tabula Rasa HealthCare Inc. | 567,146 | | 27,609 | |
| | Plantronics Inc. | 982,313 | | 26,856 | |
| * | Tenable Holdings Inc. | 1,112,471 | | 26,655 | |
| * | ScanSource Inc. | 718,116 | | 26,534 | |
| | Xperi Corp. | 1,399,663 | | 25,894 | |
| * | Extreme Networks Inc. | 3,475,631 | | 25,615 | |
| * | Cision Ltd. | 2,512,222 | | 25,047 | |
| * | SolarWinds Corp. | 1,345,207 | | 24,954 | |
| * | Ultra Clean Holdings Inc. | 1,045,527 | | 24,539 | |
| * | Shutterstock Inc. | 560,041 | | 24,015 | |
| * | NextGen Healthcare Inc. | 1,437,853 | | 23,106 | |
| | Comtech Telecommunications Corp. | 650,185 | | 23,075 | |
| * | Amkor Technology Inc. | 1,757,933 | | 22,853 | |
| * | Cerence Inc. | 1,001,844 | | 22,672 | |
| | Cohu Inc. | 990,241 | | 22,627 | |
| * | Diebold Nixdorf Inc. | 2,139,493 | | 22,593 | |
| | Ebix Inc. | 642,381 | | 21,462 | |
| * | Ichor Holdings Ltd. | 638,839 | | 21,254 | |
| * | Unisys Corp. | 1,783,513 | | 21,152 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | NETGEAR Inc. | 842,554 | | 20,651 | |
| *,^ | Pagerduty Inc. | 870,131 | | 20,352 | |
| * | Upland Software Inc. | 565,075 | | 20,179 | |
| | Pitney Bowes Inc. | 4,822,345 | | 19,434 | |
| * | Cloudflare Inc. Class A | 1,131,294 | | 19,300 | |
| * | Axcelis Technologies Inc. | 790,987 | | 19,059 | |
| * | Harmonic Inc. | 2,359,510 | | 18,404 | |
| * | Vocera Communications Inc. | 866,427 | | 17,987 | |
| * | CEVA Inc. | 618,426 | | 16,673 | |
| *,^ | Livongo Health Inc. | 663,641 | | 16,631 | |
| *,^ | Tucows Inc. Class A | 261,160 | | 16,134 | |
| | QAD Inc. Class A | 315,230 | | 16,055 | |
| *,^ | Medallia Inc. | 512,374 | | 15,940 | |
| * | OneSpan Inc. | 902,387 | | 15,449 | |
| * | Benefitfocus Inc. | 695,903 | | 15,268 | |
| * | nLight Inc. | 752,323 | | 15,257 | |
| * | Agilysys Inc. | 579,262 | | 14,719 | |
| | PC Connection Inc. | 294,070 | | 14,604 | |
| * | Domo Inc. | 660,931 | | 14,355 | |
| * | Digi International Inc. | 783,237 | | 13,879 | |
| * | PDF Solutions Inc. | 819,979 | | 13,849 | |
| | ADTRAN Inc. | 1,380,223 | | 13,650 | |
| * | Fastly Inc. Class A | 675,045 | | 13,548 | |
| * | Boingo Wireless Inc. | 1,210,732 | | 13,258 | |
| * | Limelight Networks Inc. | 3,213,089 | | 13,109 | |
| * | Forrester Research Inc. | 306,093 | | 12,764 | |
| * | Loral Space & Communications Inc. | 394,427 | | 12,748 | |
| * | NeoPhotonics Corp. | 1,404,730 | | 12,390 | |
| * | MobileIron Inc. | 2,542,677 | | 12,357 | |
| * | Rosetta Stone Inc. | 671,325 | | 12,178 | |
| * | Phreesia Inc. | 454,438 | | 12,106 | |
| | American Software Inc. Class A | 762,683 | | 11,349 | |
| * | Ping Identity Holding Corp. | 451,270 | | 10,966 | |
| *,^ | Impinj Inc. | 423,507 | | 10,952 | |
| * | ChannelAdvisor Corp. | 1,203,831 | | 10,883 | |
| * | DSP Group Inc. | 690,737 | | 10,872 | |
| * | Calix Inc. | 1,350,651 | | 10,805 | |
| * | Mitek Systems Inc. | 1,407,469 | | 10,767 | |
| * | Immersion Corp. | 1,423,999 | | 10,580 | |
| *,^ | Gogo Inc. | 1,634,682 | | 10,462 | |
| | Simulations Plus Inc. | 356,987 | | 10,378 | |
| *,^ | Digimarc Corp. | 308,724 | | 10,361 | |
| * | Zix Corp. | 1,516,117 | | 10,279 | |
| | Systemax Inc. | 402,152 | | 10,118 | |
| | Hackett Group Inc. | 619,693 | | 10,002 | |
| | Computer Programs & Systems Inc. | 377,475 | | 9,965 | |
| * | WideOpenWest Inc. | 1,324,192 | | 9,826 | |
| *,^ | Inseego Corp. | 1,328,518 | | 9,738 | |
| * | Telaria Inc. | 1,089,812 | | 9,601 | |
| * | Endurance International Group Holdings Inc. | 1,961,956 | | 9,221 | |
| * | Brightcove Inc. | 1,024,210 | | 8,900 | |
| * | CalAmp Corp. | 921,267 | | 8,826 | |
| * | A10 Networks Inc. | 1,270,818 | | 8,731 | |
| *,^ | PAR Technology Corp. | 281,971 | | 8,668 | |
| * | Meet Group Inc. | 1,713,929 | | 8,587 | |
| *,^ | Health Catalyst Inc. | 238,187 | | 8,265 | |
| * | eGain Corp. | 1,006,987 | | 7,975 | |
| * | Sciplay Corp. Class A | 614,419 | | 7,551 | |
| * | Ooma Inc. | 560,175 | | 7,411 | |
| * | Alpha & Omega Semiconductor Ltd. | 506,384 | | 6,897 | |
| *,^ | VirnetX Holding Corp. | 1,760,709 | | 6,691 | |
| * | Synchronoss Technologies Inc. | 1,386,822 | | 6,587 | |
| *,^ | Applied Optoelectronics Inc. | 543,768 | | 6,460 | |
| * | Adesto Technologies Corp. | 758,115 | | 6,444 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Telenav Inc. | 1,241,422 | | 6,033 | |
| * | Smith Micro Software Inc. | 1,496,075 | | 5,954 | |
| * | ACM Research Inc. Class A | 312,880 | | 5,773 | |
| * | KVH Industries Inc. | 497,940 | | 5,542 | |
| * | AXT Inc. | 1,240,497 | | 5,396 | |
| | PC-Tel Inc. | 630,730 | | 5,342 | |
| * | GSI Technology Inc. | 745,664 | | 5,287 | |
| * | Clearfield Inc. | 359,810 | | 5,016 | |
| * | Icad Inc. | 602,206 | | 4,679 | |
| * | Pixelworks Inc. | 1,184,741 | | 4,644 | |
| * | Ribbon Communications Inc. | 1,481,280 | | 4,592 | |
| * | Castlight Health Inc. Class B | 3,132,276 | | 4,166 | �� |
| * | SharpSpring Inc. | 362,676 | | 4,160 | |
| * | Casa Systems Inc. | 958,408 | | 3,920 | |
| *,2 | Computer Task Group Inc. | 746,502 | | 3,867 | |
| * | Rimini Street Inc. | 993,567 | | 3,855 | |
| | AstroNova Inc. | 278,254 | | 3,818 | |
| * | Seachange International Inc. | 910,106 | | 3,813 | |
| *,^ | Intelligent Systems Corp. | 93,431 | | 3,732 | |
| * | Powerfleet Inc. | 557,668 | | 3,630 | |
| * | DASAN Zhone Solutions Inc. | 390,702 | | 3,462 | |
| | GlobalSCAPE Inc. | 343,775 | | 3,379 | |
| * | LRAD Corp. | 1,009,473 | | 3,301 | |
| * | SecureWorks Corp. Class A | 193,975 | | 3,232 | |
| *,^ | Red Violet Inc. | 172,101 | | 3,186 | |
| * | Airgain Inc. | 285,067 | | 3,047 | |
| * | VOXX International Corp. Class A | 669,837 | | 2,934 | |
| * | Great Elm Capital Group Inc. | 825,118 | | 2,756 | |
| * | Synacor Inc. | 1,651,360 | | 2,510 | |
| | TransAct Technologies Inc. | 222,314 | | 2,439 | |
| *,^ | Everspin Technologies Inc. | 444,486 | | 2,338 | |
| | TESSCO Technologies Inc. | 206,522 | | 2,317 | |
| * | RigNet Inc. | 338,521 | | 2,234 | |
| * | GTY Technology Holdings Inc. | 374,827 | | 2,208 | |
| *,^ | Park City Group Inc. | 411,713 | | 2,083 | |
| * | Identiv Inc. | 350,250 | | 1,975 | |
| * | Amtech Systems Inc. | 275,195 | | 1,970 | |
| * | Majesco | 232,770 | | 1,920 | |
| * | Cambium Networks Corp. | 219,183 | | 1,916 | |
| * | Intellicheck Inc. | 236,720 | | 1,773 | |
| * | Aviat Networks Inc. | 118,360 | | 1,663 | |
| | QAD Inc. Class B | 44,450 | | 1,640 | |
| * | Beyond Air Inc. | 297,828 | | 1,558 | |
| * | EMCORE Corp. | 474,814 | | 1,443 | |
| | Wayside Technology Group Inc. | 84,276 | | 1,365 | |
| * | Key Tronic Corp. | 240,560 | | 1,309 | |
| * | NetSol Technologies Inc. | 324,689 | | 1,299 | |
| *,^ | Resonant Inc. | 524,589 | | 1,270 | |
| * | inTEST Corp. | 208,654 | | 1,241 | |
| *,^ | QuickLogic Corp. | 205,951 | | 1,236 | |
| *,^ | Lantronix Inc. | 339,677 | | 1,206 | |
| *,^ | Veritone Inc. | 433,625 | | 1,080 | |
| *,^ | Atomera Inc. | 338,487 | | 1,043 | |
| * | Sprout Social Inc. Class A | 58,379 | | 937 | |
| *,^ | Mohawk Group Holdings Inc. | 156,574 | | 922 | |
| * | Mastech Digital Inc. | 81,534 | | 903 | |
| * | GSE Systems Inc. | 541,861 | | 894 | |
| *,^ | Akerna Corp. | 100,350 | | 846 | |
| | Support.com Inc. | 713,671 | | 778 | |
| * | Data I/O Corp. | 179,297 | | 751 | |
| *,^ | Kopin Corp. | 1,867,120 | | 749 | |
| * | Innodata Inc. | 649,340 | | 740 | |
| * | Qumu Corp. | 269,483 | | 703 | |
| * | Finjan Holdings Inc. | 345,955 | | 695 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| | CSP Inc. | 47,389 | | 618 | |
| * | CynergisTek Inc. | 186,745 | | 616 | |
| *,^ | TransEnterix Inc. | 413,266 | | 608 | |
| * | Aehr Test Systems | 292,832 | | 586 | |
| * | Sonim Technologies Inc. | 159,497 | | 579 | |
| | Communications Systems Inc. | 93,730 | | 578 | |
| *,^ | Internap Corp. | 498,914 | | 549 | |
| | BK Technologies Corp. | 173,782 | | 539 | |
| * | CVD Equipment Corp. | 162,311 | | 523 | |
| * | Exela Technologies Inc. | 1,212,328 | | 494 | |
| * | RCM Technologies Inc. | 158,525 | | 476 | |
| *,^ | Super League Gaming Inc. | 158,855 | | 375 | |
| * | ClearOne Inc. | 220,013 | | 365 | |
| * | WidePoint Corp. | 843,774 | | 336 | |
| *,^ | RumbleON Inc. Class B | 347,425 | | 287 | |
| | Network-1 Technologies Inc. | 129,664 | | 283 | |
| *,^ | Neurotrope Inc. | 259,399 | | 255 | |
| * | BSQUARE Corp. | 180,438 | | 251 | |
| * | Streamline Health Solutions Inc. | 171,772 | | 239 | |
| * | Xcel Brands Inc. | 151,456 | | 227 | |
| *,^ | Sigma Labs Inc. | 224,155 | | 220 | |
| * | Optical Cable Corp. | 62,844 | | 204 | |
| * | AudioEye Inc. | 40,564 | | 190 | |
| * | One Stop Systems Inc. | 73,474 | | 148 | |
| * | Cinedigm Corp. Class A | 183,006 | | 128 | |
| *,^,§ | FTE Networks Inc. | 84,180 | | 126 | |
| * | Inuvo Inc. | 400,436 | | 118 | |
| *,^ | NXT-ID Inc. | 239,113 | | 108 | |
| * | Creative Realities Inc. | 68,684 | | 105 | |
| * | ADDvantage Technologies Group Inc. | 40,203 | | 99 | |
| * | Marin Software Inc. | 61,925 | | 85 | |
| * | Trio-Tech International | 15,180 | | 61 | |
| * | SITO Mobile Ltd. | 181,331 | | 50 | |
| *,^,§ | Ominto Inc. | 101,171 | | 41 | |
| * | Qualstar Corp. | 4,806 | | 26 | |
| * | Evolving Systems Inc. | 27,962 | | 25 | |
| | SilverSun Technologies Inc. | 3,301 | | 14 | |
| * | Westell Technologies Inc. Class A | 10,355 | | 9 | |
| | | | | 195,142,625 | |
| Telecommunications (1.9%) | | | | |
| | AT&T Inc. | 205,770,728 | | 8,041,520 | |
| | Verizon Communications Inc. | 116,496,859 | | 7,152,907 | |
| * | T-Mobile US Inc. | 8,428,028 | | 660,926 | |
| | CenturyLink Inc. | 30,700,767 | | 405,557 | |
| * | Zayo Group Holdings Inc. | 6,624,718 | | 229,546 | |
| * | Sprint Corp. | 17,216,634 | | 89,699 | |
| *,^ | Zoom Video Communications Inc. Class A | 1,281,939 | | 87,223 | |
| * | Iridium Communications Inc. | 3,116,525 | | 76,791 | |
| | Telephone & Data Systems Inc. | 2,715,196 | | 69,047 | |
| | Shenandoah Telecommunications Co. | 1,357,285 | | 56,477 | |
| * | 8x8 Inc. | 2,633,516 | | 48,193 | |
| * | Vonage Holdings Corp. | 6,467,501 | | 47,924 | |
| | ATN International Inc. | 297,584 | | 16,483 | |
| * | United States Cellular Corp. | 429,188 | | 15,550 | |
| *,^ | Intelsat SA | 2,193,035 | | 15,417 | |
| * | Anterix Inc. | 355,758 | | 15,372 | |
| * | Cincinnati Bell Inc. | 1,253,412 | | 13,123 | |
| *,^ | GTT Communications Inc. | 872,867 | | 9,907 | |
| * | ORBCOMM Inc. | 2,349,918 | | 9,893 | |
| *,^ | Globalstar Inc. | 15,574,538 | | 8,079 | |
| | Consolidated Communications Holdings Inc. | 1,980,545 | | 7,685 | |
| | Spok Holdings Inc. | 595,202 | | 7,279 | |
| * | IDT Corp. Class B | 542,884 | | 3,914 | |
| *,^ | Frontier Communications Corp. | 3,110,382 | | 2,767 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Alaska Communications Systems Group Inc. | 1,464,757 | | 2,593 | |
| *,^ | HC2 Holdings Inc. | 899,952 | | 1,953 | |
| *,^ | Pareteum Corp. | 2,926,761 | | 1,280 | |
| * | Otelco Inc. Class A | 54,417 | | 545 | |
| * | CPS Technologies Corp. | 109,990 | | 111 | |
| | | | | 17,097,761 | |
| Utilities (3.2%) | | | | |
| | NextEra Energy Inc. | 13,771,294 | | 3,334,857 | |
| | Dominion Energy Inc. | 23,201,887 | | 1,921,580 | |
| | Southern Co. | 29,571,715 | | 1,883,718 | |
| | Duke Energy Corp. | 20,523,318 | | 1,871,932 | |
| | American Electric Power Co. Inc. | 13,888,523 | | 1,312,604 | |
| | Exelon Corp. | 27,299,560 | | 1,244,587 | |
| | Sempra Energy | 7,721,523 | | 1,169,656 | |
| | Xcel Energy Inc. | 15,066,539 | | 956,575 | |
| | Consolidated Edison Inc. | 9,348,513 | | 845,760 | |
| | Public Service Enterprise Group Inc. | 14,238,825 | | 840,803 | |
| | WEC Energy Group Inc. | 8,864,487 | | 817,572 | |
| | Eversource Energy | 9,100,612 | | 774,189 | |
| | Edison International | 10,104,969 | | 762,016 | |
| | FirstEnergy Corp. | 15,182,635 | | 737,876 | |
| | PPL Corp. | 20,344,897 | | 729,975 | |
| | DTE Energy Co. | 5,390,613 | | 700,079 | |
| | Entergy Corp. | 5,592,467 | | 669,978 | |
| | American Water Works Co. Inc. | 5,061,908 | | 621,855 | |
| | Ameren Corp. | 6,969,206 | | 535,235 | |
| | CMS Energy Corp. | 8,008,458 | | 503,251 | |
| | Evergy Inc. | 6,453,205 | | 420,039 | |
| | CenterPoint Energy Inc. | 14,094,472 | | 384,356 | |
| | Alliant Energy Corp. | 6,851,769 | | 374,929 | |
| | Atmos Energy Corp. | 3,342,896 | | 373,936 | |
| | AES Corp. | 18,667,089 | | 371,475 | |
| | NiSource Inc. | 10,474,824 | | 291,619 | |
| | Aqua America Inc. | 6,061,458 | | 284,525 | |
| | Pinnacle West Capital Corp. | 3,143,232 | | 282,671 | |
| | NRG Energy Inc. | 6,763,336 | | 268,843 | |
| | UGI Corp. | 5,856,811 | | 264,494 | |
| | Vistra Energy Corp. | 10,995,825 | | 252,794 | |
| OGE Energy Corp. | 5,609,823 | | 249,469 | |
| * | PG&E Corp. | 14,891,081 | | 161,866 | |
| | IDACORP Inc. | 1,421,276 | | 151,792 | |
| | Hawaiian Electric Industries Inc. | 3,143,896 | | 147,323 | |
| | ONE Gas Inc. | 1,496,190 | | 139,998 | |
| | Portland General Electric Co. | 2,490,815 | | 138,963 | |
| | Black Hills Corp. | 1,729,178 | | 135,810 | |
| | New Jersey Resources Corp. | 2,685,032 | | 119,672 | |
| | ALLETE Inc. | 1,445,980 | | 117,370 | |
| | PNM Resources Inc. | 2,266,002 | | 114,909 | |
| | Spire Inc. | 1,361,163 | | 113,398 | |
| | National Fuel Gas Co. | 2,433,738 | | 113,266 | |
| | Southwest Gas Holdings Inc. | 1,425,565 | | 108,300 | |
| | NorthWestern Corp. | 1,420,193 | | 101,785 | |
| | Avangrid Inc. | 1,816,022 | | 92,908 | |
| | Avista Corp. | 1,891,668 | | 90,970 | |
| | American States Water Co. | 1,029,208 | | 89,171 | |
| | South Jersey Industries Inc. | 2,652,746 | | 87,488 | |
| | Ormat Technologies Inc. | 1,134,189 | | 84,520 | |
| | MGE Energy Inc. | 989,192 | | 77,968 | |
| | El Paso Electric Co. | 1,140,602 | | 77,435 | |
| | Pattern Energy Group Inc. Class A | 2,737,483 | | 73,241 | |
| | California Water Service Group | 1,367,725 | | 70,520 | |
| | Northwest Natural Holding Co. | 859,382 | | 63,362 | |
| | SJW Group | 791,961 | | 56,277 | |
| | Chesapeake Utilities Corp. | 474,728 | | 45,493 | |
Vanguard®Total Stock Market Index Fund
Schedule of Investments
December 31, 2019
| | | Shares | | Market
Value
($000 | ) |
| * | Evoqua Water Technologies Corp. | 2,093,609 | | 39,674 | |
| | TerraForm Power Inc. Class A | 2,527,143 | | 38,893 | |
| * | Sunrun Inc. | 2,351,886 | | 32,479 | |
| | Middlesex Water Co. | 460,385 | | 29,267 | |
| | Unitil Corp. | 465,779 | | 28,794 | |
| | York Water Co. | 379,048 | | 17,478 | |
| * | AquaVenture Holdings Ltd. | 498,836 | | 13,528 | |
| *,^ | Bloom Energy Corp. Class A | 1,553,305 | | 11,603 | |
| *,^ | Atlantic Power Corp. | 4,311,546 | | 10,046 | |
| * | Pure Cycle Corp. | 715,159 | | 9,004 | |
| | Artesian Resources Corp. Class A | 240,624 | | 8,954 | |
| *,^ | Vivint Solar Inc. | 1,217,502 | | 8,839 | |
| *,^ | Cadiz Inc. | 798,705 | | 8,802 | |
| | RGC Resources Inc. | 218,471 | | 6,244 | |
| | Genie Energy Ltd. Class B | 577,349 | | 4,463 | |
| | Spark Energy Inc. Class A | 405,351 | | 3,741 | |
| * | Sunnova Energy International Inc. | 317,676 | | 3,545 | |
| | | | | 28,902,407 | |
| Total Common Stocks (Cost $508,641,348) | 894,894,544 | |
| Preferred Stocks (0.0%) | | | | | | | | |
| | Air T Funding Pfd., 8.00%, 6/7/24(Cost $36) | | | | | 17,271 | | 43 | |
| Temporary Cash Investments (0.6%)1 | | | | | | | | |
| | | | | | | | | | |
| | | Coupon | | | | | | | |
| Money Market Fund (0.6%) | | | | | | | | |
| 4,5 | Vanguard Market Liquidity Fund | 1.816% | | | | 53,284,330 | | 5,328,966 | |
| | | | | | | | | | |
| | | | | Maturity
Date | | Face
Amount
($000 | ) | | |
| U.S. Government and Agency Obligations (0.0%) | | | | | | | | |
| | | | | | | | | | |
| 6 | United States Treasury Bill | 1.566% | | 2/20/20 | | 130,000 | | 129,731 | |
| 6 | United States Treasury Bill | 1.527%-1.541% | | 4/30/20 | | 8,000 | | 7,959 | |
| | | 137,690 | |
| Total Temporary Cash Investments (Cost $5,465,831) | | 5,466,656 | |
| Total Investments (100.3%) (Cost $514,107,215) | | 900,361,243 | |
| Other Assets and Liabilities—Net (-0.3%)5 | | (2,737,374 | ) |
| Net Assets (100%) | | 897,623,869 | |
| * | Non-income-producing security. |
| ^ | Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,789,582,000. |
| § | 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 | Considered an affiliated company of the fund as the fund owns more than 5% of the outstanding voting securities of such company. |
| 3 | “Other” represents securities that are not classified by the fund's benchmark index. |
| 4 | Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield. |
| 5 | Collateral of $2,964,698,000 was received for securities on loan, of which $2,956,365,000 is held in Vanguard Market Liquidity Fund and $8,333,000 is held in cash. |
| 6 | Securities with a value of $122,551,000 have been segregated as initial margin for open futures contracts. |
| | CVR—Contingent Value Rights. |
| | REIT—Real Estate Investment Trust. |
| | © 2020 The Vanguard Group, Inc. |
| | All rights reserved. |
| | Vanguard Marketing Corporation, Distributor. |
| | |
| | SNA850 022020 |
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, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (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, 2019, 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, 2019 and each of the financial highlights for each of the five years in the period ended December 31, 2019 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 proceduresincluded confirmation of securities owned as of December 31, 2019 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 opinions.
February 13, 2020
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, 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, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, 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, 2019, 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, 2019 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 proceduresincluded confirmation of securities owned as of December 31, 2019 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 opinions.
February 13, 2020
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, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, 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, 2019, 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, 2019 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 proceduresincluded confirmation of securities owned as of December 31, 2019 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, 2020
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.
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, 2020
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, 2020
VANGUARD INDEX FUNDS
| BY: | /s/ JOHN BENDL* |
| | ________________________ |
| | JOHN BENDL |
| | CHIEF FINANCIAL OFFICER |
Date: February 19, 2020
* By: /s/ Anne E. Robinson
Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.
