Contents

Your Fund’s Performance at a Glance	1
About Your Fund’s Expenses	2
Performance Summary	4
Financial Statements	7

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.

Your Fund’s Performance at a Glance

•	For the 12 months ended December 31, 2022, returns for Vanguard 500 Index Fund ranged from –18.23% for Investor Shares to –18.13% for Institutional Select Shares. It closely tracked its target index, the Standard & Poor’s 500 Index. The fund provides exposure to the stocks of the largest U.S. companies.
•	The period was a volatile, challenging one for financial markets. Overall, the economic backdrop deteriorated as inflation soared to multidecade highs, driven by government spending during the pandemic as well as higher energy and food prices in the wake of Russia’s invasion of Ukraine. That prompted aggressive tightening by many central banks to bring inflation back in check, which increased fears of recession.
•	The majority of the 11 sectors recorded negative returns for the 12 months. Information technology, consumer discretionary, communication services, and financial stocks hurt performance the most.
•	For the 10 years ended December 31, 2022, the fund posted average annual returns of 12.41% for Investor Shares and 12.52% for both Admiral and ETF Shares. Institutional Select Shares recorded an annualized return of 12.24% since their 2016 inception.

Market Barometer

	Average Annual Total Returns Periods Ended December 31, 2022
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	-19.13%	7.35%	9.13%
Russell 2000 Index (Small-caps)	-20.44	3.10	4.13
Russell 3000 Index (Broad U.S. market)	-19.21	7.07	8.79
FTSE All-World ex US Index (International)	-15.49	0.61	1.28
Bonds
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market)	-13.07%	-2.67%	0.06%
Bloomberg Municipal Bond Index (Broad tax-exempt market)	-8.53	-0.77	1.25
FTSE Three-Month U.S. Treasury Bill Index	1.50	0.70	1.24
CPI
Consumer Price Index	6.45%	4.92%	3.78%

1

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

2

Six Months Ended December 31, 2022
	Beginning Account Value 6/30/2022	Ending Account Value 12/31/2022	Expenses Paid During Period
Based on Actual Fund Return
500 Index Fund
Investor Shares	$1,000.00	$1,022.40	$0.71
ETF Shares	1,000.00	1,022.80	0.15
Admiral™ Shares	1,000.00	1,022.80	0.20
Institutional Select Shares	1,000.00	1,023.00	0.05
Based on Hypothetical 5% Yearly Return
500 Index Fund
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).

3

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, 2012, Through December 31, 2022

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2022
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
	500 Index Fund Investor Shares	-18.23%	9.28%	12.41%	$32,203
	S&P 500 Index	-18.11	9.42	12.56	32,654
	Dow Jones U.S. Total Stock Market Float Adjusted Index	-19.53	8.65	12.03	31,151

		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
500 Index Fund ETF Shares Net Asset Value		-18.15%	9.38%	12.52%	$32,533
500 Index Fund ETF Shares Market Price		-18.15	9.37	12.52	32,522
S&P 500 Index		-18.11	9.42	12.56	32,654
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	31,151

    

See Financial Highlights for dividend and capital gains information.

4

500 Index Fund

		Average Annual Total Returns Periods Ended December 31, 2022
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
500 Index Fund Admiral Shares		-18.15%	9.39%	12.52%	$32,541
S&P 500 Index		-18.11	9.42	12.56	32,654
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	31,151

		One Year	Five Years	Since Inception (6/24/2016)	Final Value of a $5,000,000,000 Investment
500 Index Fund Institutional Select Shares		-18.13%	9.42%	12.24%	$10,616,603,500
S&P 500 Index		-18.11	9.42	12.25	10,618,877,000
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	11.67	10,270,354,500

"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, 2012, Through December 31, 2022

	One Year	Five Years	Ten Years
500 Index Fund ETF Shares Market Price	-18.15%	56.52%	225.22%
500 Index Fund ETF Shares Net Asset Value	-18.15	56.59	225.33
S&P 500 Index	-18.11	56.88	226.54

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.

5

500 Index Fund

Fund Allocation

As of December 31, 2022

Communication Services	7.3%
Consumer Discretionary	9.8
Consumer Staples	7.2
Energy	5.2
Financials	11.6
Health Care	15.8
Industrials	8.7
Information Technology	25.8
Materials	2.7
Real Estate	2.7
Utilities	3.2

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

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

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.

6

500 Index Fund

Financial Statements

Schedule of Investments

As of December 31, 2022

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

		Shares	Market Value• ($000)
Common Stocks (99.6%)
Communication Services (7.2%)
*	Alphabet Inc. Class A	138,059,335	12,180,975
*	Alphabet Inc. Class C	122,399,733	10,860,528
*	Meta Platforms Inc. Class A	51,978,775	6,255,126
	Verizon Communications Inc.	97,080,229	3,824,961
*	Walt Disney Co.	42,140,476	3,661,165
	Comcast Corp. Class A	99,718,731	3,487,164
	AT&T Inc.	164,742,817	3,032,915
*	Netflix Inc.	10,186,802	3,003,884
*	T-Mobile US Inc.	13,804,368	1,932,612
	Activision Blizzard Inc.	16,462,486	1,260,203
*	Charter Communications Inc. Class A	2,482,923	841,959
	Electronic Arts Inc.	6,062,636	740,733
*	Warner Bros Discovery Inc.	51,081,268	484,251
	Omnicom Group Inc.	4,716,695	384,741
*	Take-Two Interactive Software Inc.	3,646,406	379,700
	Interpublic Group of Cos. Inc.	8,981,108	299,161
*	Match Group Inc.	6,456,190	267,867
*	Live Nation Entertainment Inc.	3,301,877	230,273
	News Corp. Class A	11,579,000	210,738
	Fox Corp. Class A	6,933,092	210,558
1	Paramount Global Inc. Class B	11,673,649	197,051
	Lumen Technologies Inc.	22,001,174	114,846
	Fox Corp. Class B	3,283,482	93,415
*	DISH Network Corp. Class A	5,809,740	81,569
	News Corp. Class B	1,428	26
			54,036,421
Consumer Discretionary (9.8%)
*	Amazon.com Inc.	205,158,250	17,233,293
*	Tesla Inc.	62,043,547	7,642,524
	Home Depot Inc.	23,663,753	7,474,433
	McDonald's Corp.	16,930,193	4,461,614
	NIKE Inc. Class B	29,118,044	3,407,102
	Lowe's Cos. Inc.	14,347,811	2,858,658
	Starbucks Corp.	26,533,935	2,632,166

		Shares	Market Value• ($000)
	TJX Cos. Inc.	26,838,277	2,136,327
*	Booking Holdings Inc.	896,669	1,807,039
	Target Corp.	10,639,147	1,585,659
	Dollar General Corp.	5,214,194	1,283,995
*	O'Reilly Automotive Inc.	1,446,485	1,220,877
	General Motors Co.	32,839,780	1,104,730
*	AutoZone Inc.	438,745	1,082,024
	Ford Motor Co.	91,297,156	1,061,786
	Ross Stores Inc.	8,022,614	931,185
	Marriott International Inc. Class A	6,219,326	925,995
*	Chipotle Mexican Grill Inc. Class A	640,831	889,147
	Yum! Brands Inc.	6,510,644	833,883
	Hilton Worldwide Holdings Inc.	6,251,499	789,939
*	Dollar Tree Inc.	4,865,811	688,220
	DR Horton Inc.	7,234,542	644,887
*	Aptiv plc	6,263,013	583,274
	Tractor Supply Co.	2,553,439	574,447
	Genuine Parts Co.	3,257,120	565,143
*	Ulta Beauty Inc.	1,183,536	555,161
	Lennar Corp. Class A	5,827,441	527,383
	eBay Inc.	12,544,061	520,202
	Darden Restaurants Inc.	2,828,947	391,328
	Best Buy Co. Inc.	4,631,687	371,508
*	Las Vegas Sands Corp.	7,595,400	365,111
*	Etsy Inc.	2,905,360	348,004
	Garmin Ltd.	3,544,155	327,090
*	NVR Inc.	69,440	320,298
	LKQ Corp.	5,867,657	313,392
*	Expedia Group Inc.	3,480,272	304,872
	Domino's Pizza Inc.	818,221	283,432
	Pool Corp.	902,695	272,912
*	Royal Caribbean Cruises Ltd.	5,072,748	250,746
	MGM Resorts International	7,371,644	247,171
	PulteGroup Inc.	5,264,985	239,715
	Bath & Body Works Inc.	5,278,992	222,457
*	CarMax Inc.	3,652,549	222,404
	BorgWarner Inc. (XNYS)	5,412,111	217,837
	Tapestry Inc.	5,569,831	212,099
	VF Corp.	7,634,461	210,788

7

500 Index Fund

8

500 Index Fund

9

500 Index Fund

10

500 Index Fund

11

500 Index Fund

12

500 Index Fund

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
E-Mini S&P 500 Index	March 2023	11,532	2,226,253	(59,925)

    

Over-the-Counter Total Return Swaps
Reference Entity	Termination Date	Counterparty	Notional Amount ($000)	Floating Interest Rate Received (Paid)1 (%)	Value and Unrealized Appreciation ($000)	Value and Unrealized (Depreciation) ($000)
DXC Technology Co.	8/31/23	BANA	3,975	(4.493)	—	(17)
Global Payments Inc.	8/31/23	BANA	13,905	(4.719)	3	—
Global Payments Inc.	8/31/23	BANA	13,905	(4.744)	4	—
Goldman Sachs Group Inc.	8/30/24	BANA	164,822	(4.693)	476	—
Goldman Sachs Group Inc.	8/30/24	BANA	58,718	(4.693)	170	—
Kroger Co.	1/31/23	GSI	43,490	(4.323)	1,007	—
Lockheed Martin Corp.	8/31/23	BANA	43,784	(4.093)	121	—
Lockheed Martin Corp.	8/31/23	BANA	41,352	(4.093)	115	—
Netflix Inc.	8/31/23	BANA	29,488	(4.093)	—	(104)
State Street Corp.	8/30/24	BANA	159,018	(4.693)	654	—
State Street Corp.	8/30/24	BANA	9,308	(4.693)	38	—
State Street Corp.	8/30/24	BANA	5,818	(4.693)	24	—
VICI Properties Inc.	8/31/23	BANA	85,860	(4.643)	683	—
Visa Inc. Class A	8/31/23	BANA	51,940	(3.993)	—	(68)
					3,295	(189)

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

At December 31, 2022, the counterparties had deposited in segregated accounts securities with a value of $1,121,000 in connection with open over-the-counter swap contracts.

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

13

500 Index Fund

Statement of Assets and Liabilities

As of December 31, 2022

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value1
Unaffiliated Issuers (Cost $517,668,465)	742,034,793
Affiliated Issuers (Cost $2,141,393)	2,142,337
Total Investments in Securities	744,177,130
Investment in Vanguard	28,598
Cash	122,705
Cash Collateral Pledged—Futures Contracts	122,249
Cash Collateral Pledged—Over-the-Counter Swap Contracts	38,680
Receivables for Investment Securities Sold	756
Receivables for Accrued Income	659,770
Receivables for Capital Shares Issued	259,795
Unrealized Appreciation—Over-the-Counter Swap Contracts	3,295
Total Assets	745,412,978
Liabilities
Payables for Investment Securities Purchased	57,272
Collateral for Securities on Loan	48,845
Payables for Capital Shares Redeemed	520,159
Payables to Vanguard	10,592
Variation Margin Payable—Futures Contracts	6,198
Unrealized Depreciation—Over-the-Counter Swap Contracts	189
Total Liabilities	643,255
Net Assets	744,769,723
1 Includes $44,438,000 of securities on loan.

14

500 Index Fund

Statement of Assets and Liabilities (continued)
At December 31, 2022, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	533,657,136
Total Distributable Earnings (Loss)	211,112,587
Net Assets	744,769,723
Investor Shares—Net Assets
Applicable to 8,733,235 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,093,020
Net Asset Value Per Share—Investor Shares	$354.17
ETF Shares—Net Assets
Applicable to 746,176,737 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	262,210,815
Net Asset Value Per Share—ETF Shares	$351.41
Admiral Shares—Net Assets
Applicable to 1,037,804,033 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	367,498,375
Net Asset Value Per Share—Admiral Shares	$354.11
Institutional Select Shares—Net Assets
Applicable to 596,646,826 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	111,967,513
Net Asset Value Per Share—Institutional Select Shares	$187.66

  

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

15

500 Index Fund

Statement of Operations

	Year Ended December 31, 2022
	($000)
Investment Income
Income
Dividends1	12,462,434
Interest2	63,465
Securities Lending—Net	3,063
Total Income	12,528,962
Expenses
The Vanguard Group—Note B
Investment Advisory Services	10,553
Management and Administrative—Investor Shares	4,742
Management and Administrative—ETF Shares	59,393
Management and Administrative—Admiral Shares	134,905
Management and Administrative—Institutional Select Shares	9,013
Marketing and Distribution—Investor Shares	164
Marketing and Distribution—ETF Shares	11,793
Marketing and Distribution—Admiral Shares	13,152
Marketing and Distribution—Institutional Select Shares	12
Custodian Fees	2,959
Auditing Fees	42
Shareholders’ Reports—Investor Shares	7
Shareholders’ Reports—ETF Shares	3,546
Shareholders’ Reports—Admiral Shares	1,921
Shareholders’ Reports—Institutional Select Shares	—
Trustees’ Fees and Expenses	287
Other Expenses	26
Total Expenses	252,515
Expenses Paid Indirectly	(14)
Net Expenses	252,501
Net Investment Income	12,276,461
Realized Net Gain (Loss)
Investment Securities Sold2,3	28,285,683
Futures Contracts	(950,926)
Swap Contracts	(85,464)
Realized Net Gain (Loss)	27,249,293
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	(197,569,713)
Futures Contracts	(150,258)
Swap Contracts	264
Change in Unrealized Appreciation (Depreciation)	(197,719,707)
Net Increase (Decrease) in Net Assets Resulting from Operations	(158,193,953)

1	Dividends are net of foreign withholding taxes of $2,990,000.
2	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $61,491,000, ($139,000), $6,000, and $292,000, respectively. Purchases and sales are for temporary cash investment purposes.
3	Includes $32,364,547,000 of net gain (loss) resulting from in-kind redemptions.

  

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

16

500 Index Fund

Statement of Changes in Net Assets

	Year Ended December 31,
	2022 ($000)	2021 ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	12,276,461	10,217,597
Realized Net Gain (Loss)	27,249,293	30,970,270
Change in Unrealized Appreciation (Depreciation)	(197,719,707)	147,215,737
Net Increase (Decrease) in Net Assets Resulting from Operations	(158,193,953)	188,403,604
Distributions
Investor Shares	(51,118)	(59,162)
ETF Shares	(4,305,991)	(3,296,146)
Admiral Shares	(6,152,722)	(5,602,317)
Institutional Select Shares	(1,760,089)	(1,515,092)
Total Distributions	(12,269,920)	(10,472,717)
Capital Share Transactions
Investor Shares	(599,158)	(1,095,734)
ETF Shares	39,905,931	47,041,730
Admiral Shares	2,645,315	(2,715,238)
Institutional Select Shares	17,199,992	(1,997,365)
Net Increase (Decrease) from Capital Share Transactions	59,152,080	41,233,393
Total Increase (Decrease)	(111,311,793)	219,164,280
Net Assets
Beginning of Period	856,081,516	636,917,236
End of Period	744,769,723	856,081,516

  

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

17

500 Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$439.86	$346.60	$298.16	$231.44	$246.82
Investment Operations
Net Investment Income1	5.605	4.910	5.128	4.801	4.896
Net Realized and Unrealized Gain (Loss) on Investments	(85.733)	93.389	48.323	67.211	(15.776)
Total from Investment Operations	(80.128)	98.299	53.451	72.012	(10.880)
Distributions
Dividends from Net Investment Income	(5.562)	(5.039)	(5.011)	(5.292)	(4.500)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(5.562)	(5.039)	(5.011)	(5.292)	(4.500)
Net Asset Value, End of Period	$354.17	$439.86	$346.60	$298.16	$231.44
Total Return2	-18.23%	28.53%	18.25%	31.33%	-4.52%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,093	$4,512	$4,504	$4,723	$23,162
Ratio of Total Expenses to Average Net Assets	0.14%3	0.14%	0.14%	0.14%	0.14%
Ratio of Net Investment Income to Average Net Assets	1.47%	1.25%	1.73%	1.82%	1.95%
Portfolio Turnover Rate4	2%	2%	4%	4%	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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.14%.
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.

18

500 Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$436.47	$343.93	$295.87	$229.68	$244.94
Investment Operations
Net Investment Income1	6.012	5.353	5.413	5.298	5.196
Net Realized and Unrealized Gain (Loss) on Investments	(85.125)	92.624	47.950	66.463	(15.719)
Total from Investment Operations	(79.113)	97.977	53.363	71.761	(10.523)
Distributions
Dividends from Net Investment Income	(5.947)	(5.437)	(5.303)	(5.571)	(4.737)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(5.947)	(5.437)	(5.303)	(5.571)	(4.737)
Net Asset Value, End of Period	$351.41	$436.47	$343.93	$295.87	$229.68
Total Return	-18.15%	28.66%	18.35%	31.46%	-4.42%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$262,211	$279,850	$177,991	$130,728	$90,639
Ratio of Total Expenses to Average Net Assets	0.03%2	0.03%	0.03%	0.03%	0.03%
Ratio of Net Investment Income to Average Net Assets	1.60%	1.36%	1.83%	1.98%	2.06%
Portfolio Turnover Rate3	2%	2%	4%	4%	4%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.03%.
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.

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500 Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$439.83	$346.57	$298.14	$231.44	$246.82
Investment Operations
Net Investment Income1	6.000	5.326	5.427	5.319	5.181
Net Realized and Unrealized Gain (Loss) on Investments	(85.767)	93.371	48.314	66.962	(15.808)
Total from Investment Operations	(79.767)	98.697	53.741	72.281	(10.627)
Distributions
Dividends from Net Investment Income	(5.953)	(5.437)	(5.311)	(5.581)	(4.753)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(5.953)	(5.437)	(5.311)	(5.581)	(4.753)
Net Asset Value, End of Period	$354.11	$439.83	$346.57	$298.14	$231.44
Total Return2	-18.15%	28.66%	18.37%	31.46%	-4.43%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$367,498	$453,239	$359,553	$319,624	$230,375
Ratio of Total Expenses to Average Net Assets	0.04%3	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	1.58%	1.35%	1.83%	1.97%	2.05%
Portfolio Turnover Rate4	2%	2%	4%	4%	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	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.

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500 Index Fund

Financial Highlights

Institutional Select Shares
For a Share Outstanding Throughout Each Period	Year Ended December 31,
	2022	2021	2020	2019	2018
Net Asset Value, Beginning of Period	$233.06	$183.64	$157.98	$122.64	$130.79
Investment Operations
Net Investment Income1	3.249	2.885	2.924	2.857	2.808
Net Realized and Unrealized Gain (Loss) on Investments	(45.458)	49.478	25.597	35.484	(8.400)
Total from Investment Operations	(42.209)	52.363	28.521	38.341	(5.592)
Distributions
Dividends from Net Investment Income	(3.191)	(2.943)	(2.861)	(3.001)	(2.558)
Distributions from Realized Capital Gains	—	—	—	—	—
Total Distributions	(3.191)	(2.943)	(2.861)	(3.001)	(2.558)
Net Asset Value, End of Period	$187.66	$233.06	$183.64	$157.98	$122.64
Total Return	-18.13%	28.70%	18.40%	31.49%	-4.40%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$111,968	$118,481	$94,870	$81,230	$56,531
Ratio of Total Expenses to Average Net Assets	0.01%2	0.01%	0.01%	0.01%	0.01%
Ratio of Net Investment Income to Average Net Assets	1.62%	1.38%	1.86%	2.00%	2.08%
Portfolio Turnover Rate3	2%	2%	4%	4%	4%

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.01%.
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.

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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 Cboe BZK Exchange, Inc; they can be purchased and sold through a broker.

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

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

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

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

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500 Index Fund

During the year ended December 31, 2022, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

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

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

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

During the year ended December 31, 2022, the fund’s average amounts of investments in total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

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

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500 Index Fund

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

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

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

7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

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

24

500 Index Fund

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

For the year ended December 31, 2022 the fund did not utilize the credit facilities, but it did make one borrowing from Vanguard Total Stock Market Index Fund in the amount of $1,000,000 to test the operational readiness of the Interfund Lending Program process. The borrowing was outstanding for one business day at an annualized interest rate of 2.72%, and the related interest expense of less than $500 is recorded in the Statement of Operations. At December 31, 2022, the fund had no borrowings outstanding.

8. Other: Dividend income is recorded on the ex-dividend date. Non-cash dividends included in income, if any, are recorded at the fair value of the securities received. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. 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 and are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2022, the fund had contributed to Vanguard capital in the amount of $28,598,000, representing less than 0.01% of the fund’s net assets and 11.44% 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, 2022, custodian fee offset arrangements reduced the fund’s expenses by $14,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

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500 Index Fund

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

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

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2022, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Common Stocks	742,034,793	—	—	742,034,793
Temporary Cash Investments	2,142,337	—	—	2,142,337
Total	744,177,130	—	—	744,177,130
Derivative Financial Instruments
Assets
Swap Contracts	—	3,295	—	3,295
Liabilities
Futures Contracts1	59,925	—	—	59,925
Swap Contracts	—	189	—	189
Total	59,925	189	—	60,114

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

E.

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 applicable in-kind redemptions and swap agreements were reclassified between the following accounts:

	Amount ($000)
Paid-in Capital	32,366,807
Total Distributable Earnings (Loss)	(32,366,807)

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 deferral of losses from wash sales; and the recognition

26

500 Index Fund

of unrealized gains or losses from certain derivative 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	79,889
Undistributed Long-Term Gains	—
Capital Loss Carryforwards	(12,957,675)
Qualified Late-Year Losses	—
Net Unrealized Gains (Losses)	223,990,373

The tax character of distributions paid was as follows:

	Year Ended December 31,
	2022 Amount ($000)	2021 Amount ($000)
Ordinary Income*	12,269,920	10,472,717
Long-Term Capital Gains	—	—
Total	12,269,920	10,472,717

*	Includes short-term capital gains, if any.

As of December 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	520,186,757
Gross Unrealized Appreciation	273,972,223
Gross Unrealized Depreciation	(49,981,850)
Net Unrealized Appreciation (Depreciation)	223,990,373

F.

During the year ended December 31, 2022, the fund purchased $121,368,277,000 of investment securities and sold $61,434,884,000 of investment securities, other than temporary cash investments. Purchases and sales include $91,052,974,000 and $44,971,314,000, 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, 2022, such purchases were $2,310,377,000 and sales were $1,224,413,000, resulting in net realized loss of $496,221,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

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500 Index Fund

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

    

	Year Ended December 31,
	2022			2021
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	156,806	409		172,587	443
Issued in Lieu of Cash Distributions	51,111	142		59,155	150
Redeemed	(807,075)	(2,076)		(1,327,476)	(3,329)
Net Increase (Decrease)—Investor Shares	(599,158)	(1,525)		(1,095,734)	(2,736)
ETF Shares
Issued	85,049,475	222,763		79,932,127	204,970
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(45,143,544)	(117,750)		(32,890,397)	(81,325)
Net Increase (Decrease)—ETF Shares	39,905,931	105,013		47,041,730	123,645
Admiral Shares
Issued	39,120,573	102,648		40,334,657	103,425
Issued in Lieu of Cash Distributions	5,367,387	14,913		4,903,407	12,411
Redeemed	(41,842,645)	(110,248)		(47,953,302)	(122,796)
Net Increase (Decrease)—Admiral Shares	2,645,315	7,313		(2,715,238)	(6,960)
Institutional Select Shares
Issued	19,836,476	100,749		10,078,153	48,403
Issued in Lieu of Cash Distributions	1,760,089	9,243		1,515,092	7,237
Redeemed	(4,396,573)	(21,716)		(13,590,610)	(63,866)
Net Increase (Decrease)—Institutional Select Shares	17,199,992	88,276		(1,997,365)	(8,226)

H.	Management has determined that no events or transactions occurred subsequent to December 31, 2022, that would require recognition or disclosure in these financial statements.

28

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 assets and liabilities, including the schedule of investments, of Vanguard 500 Index Fund (one of the funds constituting Vanguard Index Funds, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022, the statement of changes in net assets for each of the two years in the period ended December 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2022 (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, 2022, 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, 2022 and the financial highlights for each of the five years in the period ended December 31, 2022 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, 2022 by correspondence with the custodian, transfer agent and brokers; 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 15, 2023

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

29

Tax information (unaudited)

For corporate shareholders, 93.9%, or if subsequently determined to be different, the maximum percentage allowable by law, of ordinary income (dividend income plus short-term gains, if any) for the fiscal year qualified for the dividends-received deduction.

The fund hereby designates $12,269,920,000, or if subsequently determined to be different, the maximum amount allowable by law, as qualified dividend income for individual shareholders for the fiscal year.

The fund hereby designates $17,878,000, or if subsequently determined to be different, the maximum amount allowable by law, of interest earned from obligations of the U.S. government which is generally exempt from state income tax.

30

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 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 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 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.

31

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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 206 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 the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

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: adjunct professor of finance at the University of Notre Dame (2020–present). Chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Assistant professor (retired June 2020) of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of superintendence of the Institute for the Works of Religion, and the board of directors of Paxos Trust Company (finance).

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) 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 Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.

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). Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee 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. Colin W. Brown Distinguished Professor of the Practice of Law (2021–present), professor (2020–present), Distinguished Fellow of the Global Financial Markets Center (2020–present), and Rubenstein Fellow (2017–2020) at Duke University. Trustee (2017–present) of Amherst College and member of Amherst College Investment Committee (2019–present). Member of the Regenerative Crisis Response Committee (2020–present).

David A. Thomas

Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company (2013–present). Trustee of Common Fund (2019–present).

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). Member of the BMW Group Mobility Council.

Executive Officers

Jacqueline Angell

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) and deputy chief compliance officer (2017–2019) of State Street Corporation.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

John Galloway

Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).

Ashley Grim

Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).

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. Nonexecutive director of the board of National Grid (energy).

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

Vanguard Senior Management Team

Matthew Benchener	Thomas M. Rampulla
Joseph Brennan	Karin A. Risi
Mortimer J. Buckley	Anne E. Robinson
Gregory Davis	Michael Rollings
John James	Nitin Tandon
Chris D. Mclsaac	Lauren Valente

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 indexes: Bloomberg Index Services Limited. Copyright 2023, Bloomberg. All rights reserved.

© 2023 The Vanguard Group, Inc.
All rights reserved.
U.S. Patent Nos. 6,879,964
Vanguard Marketing Corporation, Distributor.

Q400 022023

Contents

Your Fund’s Performance at a Glance	1
AboutYour Fund's Expenses	2
Small-Cap Index Fund	4
Small-Cap Growth Index Fund	46
Small-Cap Value Index Fund	75

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.

Your Fund’s Performance at a Glance

•	Despite some relief in midsummer and late fall, the 12 months ended December 31, 2022, were a volatile, challenging period for financial markets. Returns for the three Vanguard Small-Cap Index Funds ranged from –9.29% for ETF Shares of Vanguard Small-Cap Value Index Fund to –28.49% for Investor Shares of Vanguard Small-Cap Growth Index Fund. Each fund closely tracked its target index.
•	Overall, the economic backdrop deteriorated as inflation soared to multidecade highs, driven by government spending during the pandemic as well as higher energy and food prices in the wake of Russia’s invasion of Ukraine. That prompted aggressive tightening by many central banks to bring inflation back in check, which increased fears of recession.
•	Stock price declines, many of them severe, were widespread. Consumer discretionary stocks plunged, weighing most heavily on the Small-Cap Index and Small-Cap Value Index Funds, while losses in technology weighed heaviest on the Small-Cap Growth Index Fund.
•	Energy was one sector that soared. The effect on the funds was slight, however, as energy accounted for only about 6% of each fund's benchmark index even after double-digit gains.
•	For the 10 years ended December 31, 2022, the funds’ annualized returns ranged from 9.13% for Investor Shares of the Small-Cap Growth Index Fund to 10.29% for Institutional Shares of the Small-Cap Value Index Fund.

	Average Annual Total Returns Periods Ended December 31, 2022
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	-19.13%	7.35%	9.13%
Russell 2000 Index (Small-caps)	-20.44	3.10	4.13
Russell 3000 Index (Broad U.S. market)	-19.21	7.07	8.79
FTSE All-World ex US Index (International)	-15.49	0.61	1.28
Bonds
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market)	-13.07%	-2.67%	0.06%
Bloomberg Municipal Bond Index (Broad tax-exempt market)	-8.53	-0.77	1.25
FTSE Three-Month U.S. Treasury Bill Index	1.50	0.70	1.24
CPI
Consumer Price Index	6.45%	4.92%	3.78%

1

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

2

Six Months Ended December 31, 2022
	Beginning Account Value 6/30/2022	Ending Account Value 12/31/2022	Expenses Paid During Period
Based on Actual Fund Return
Small-Cap Index Fund
Investor Shares	$1,000.00	$1,050.90	$0.88
ETF Shares	1,000.00	1,051.70	0.26
Admiral™ Shares	1,000.00	1,051.60	0.26
Institutional Shares	1,000.00	1,051.60	0.21
Institutional Plus Shares	1,000.00	1,051.70	0.16
Small-Cap Growth Index Fund
Investor Shares	$1,000.00	$1,021.40	$0.97
ETF Shares	1,000.00	1,022.10	0.36
Admiral Shares	1,000.00	1,022.10	0.36
Institutional Shares	1,000.00	1,022.10	0.31
Small-Cap Value Index Fund
Investor Shares	$1,000.00	$1,072.40	$0.99
ETF Shares	1,000.00	1,073.30	0.37
Admiral Shares	1,000.00	1,073.00	0.37
Institutional Shares	1,000.00	1,073.00	0.31
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).

3

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, 2012, Through December 31, 2022

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2022
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
	Small-Cap Index Fund Investor Shares	-17.71%	5.81%	9.97%	$25,873
	Spliced Small-Cap Index	-17.64	5.92	10.09	26,149
	Dow Jones U.S. Total Stock Market Float Adjusted Index	-19.53	8.65	12.03	31,151

Spliced Small-Cap Index: MSCI US Small Cap 1750 Index through January 30, 2013; CRSP US Small Cap Index thereafter.

		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Small-Cap Index Fund ETF Shares Net Asset Value		-17.60%	5.94%	10.11%	$26,194
Small-Cap Index Fund ETF Shares Market Price		-17.63	5.93	10.10	26,178
Spliced Small-Cap Index		-17.64	5.92	10.09	26,149
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	31,151

    

See Financial Highlights for dividend and capital gains information.

4

Small-Cap Index Fund

		Average Annual Total Returns Periods Ended December 31, 2022
		One Year	Five Years	Ten Years	Final Value of a $10,000 Investment
Small-Cap Index Fund Admiral Shares		-17.61%	5.94%	10.11%	$26,196
Spliced Small-Cap Index		-17.64	5.92	10.09	26,149
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	31,151

		One Year	Five Years	Ten Years	Final Value of a $5,000,000 Investment
Small-Cap Index Fund Institutional Shares		-17.60%	5.95%	10.12%	$13,109,168
Spliced Small-Cap Index		-17.64	5.92	10.09	13,074,420
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	15,575,514

		One Year	Five Years	Ten Years	Final Value of a $100,000,000 Investment
Small-Cap Index Fund Institutional Plus Shares		-17.60%	5.96%	10.13%	$262,561,530
Spliced Small-Cap Index		-17.64	5.92	10.09	261,488,390
Dow Jones U.S. Total Stock Market Float Adjusted Index		-19.53	8.65	12.03	311,510,280

Cumulative Returns of ETF Shares: December 31, 2012, Through December 31, 2022
	One Year	Five Years	Ten Years
Small-Cap Index Fund ETF Shares Market Price	-17.63%	33.38%	161.78%
Small-Cap Index Fund ETF Shares Net Asset Value	-17.60	33.44	161.94
Spliced Small-Cap Index	-17.64	33.30	161.49

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.

5

Small-Cap Index Fund

Fund Allocation

As of December 31, 2022

Basic Materials	4.2%
Consumer Discretionary	14.3
Consumer Staples	3.5
Energy	6.1
Financials	15.0
Health Care	12.0
Industrials	20.7
Real Estate	8.1
Technology	10.9
Telecommunications	1.4
Utilities	3.8

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

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

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

6

Small-Cap Index Fund

Financial Statements

Schedule of Investments

As of December 31, 2022

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

					Shares	Market Value• ($000)
Common Stocks (99.5%)
Basic Materials (4.2%)
	Steel Dynamics Inc.				4,297,544	419,870
	Reliance Steel & Aluminum Co.				1,512,194	306,129
*	Cleveland-Cliffs Inc.				13,278,097	213,910
	Alcoa Corp.				4,558,964	207,296
	Royal Gold Inc.				1,691,411	190,656
	Olin Corp.				3,529,002	186,825
*	RBC Bearings Inc.				747,829	156,558
	Valvoline Inc.				4,499,237	146,900
	Commercial Metals Co.				3,023,816	146,050
	United States Steel Corp.				5,432,583	136,086
	Ashland Inc.				1,255,639	135,019
*	Univar Solutions Inc.				4,204,288	133,696
	Hexcel Corp.				2,168,842	127,636
	Huntsman Corp.				4,454,756	122,417
	UFP Industries Inc.				1,508,738	119,568
	Timken Co.				1,686,877	119,212
	Chemours Co.				3,888,480	119,065
	Element Solutions Inc.				5,613,718	102,114
	Balchem Corp.				827,986	101,105
	Cabot Corp.				1,451,343	97,008
*	Livent Corp.				4,621,796	91,835
	Hecla Mining Co.				14,840,932	82,516
	Mueller Industries Inc.				1,391,965	82,126
	Avient Corp.				2,343,288	79,109
	Sensient Technologies Corp.				1,083,149	78,983
	Boise Cascade Co.				1,016,507	69,804
*	MP Materials Corp.				2,744,859	66,645
	Innospec Inc.				638,126	65,638
*	Ingevity Corp.				914,739	64,434
	NewMarket Corp.				190,711	59,332
	Stepan Co.				544,115	57,926
	Quaker Chemical Corp.				346,523	57,835
*	Arconic Corp.				2,614,835	55,330
	Scotts Miracle-Gro Co.				1,070,803	52,030

					Shares	Market Value• ($000)
	Minerals Technologies Inc.				836,092	50,768
	Materion Corp.				528,965	46,290
	Carpenter Technology Corp.				1,248,287	46,112
	Westlake Corp.				410,751	42,118
	Tronox Holdings plc				2,985,002	40,924
	Worthington Industries Inc.				768,512	38,203
	Compass Minerals International Inc.				880,503	36,101
	Kaiser Aluminum Corp.				410,727	31,199
	Mativ Holdings Inc.				1,415,738	29,589
	GrafTech International Ltd.				4,958,685	23,603
*	Coeur Mining Inc.				6,515,072	21,891
*	Ecovyst Inc.				2,181,636	19,329
	Schnitzer Steel Industries Inc. Class A				620,320	19,013
	Koppers Holdings Inc.				511,593	14,427
*	Century Aluminum Co.				1,294,542	10,589
*,1	Amyris Inc.				5,872,689	8,985
						4,729,804
Consumer Discretionary (14.3%)
*	Liberty Media Corp.-Liberty Formula One Class C				5,071,367	303,166
	Aramark				6,666,943	275,611
*	Deckers Outdoor Corp.				681,935	272,201
	Service Corp. International				3,764,731	260,293
*	Five Below Inc.				1,358,674	240,309
	Tapestry Inc.				6,208,606	236,424
*	BJ's Wholesale Club Holdings Inc.				3,463,833	229,167
*	Wynn Resorts Ltd.				2,481,647	204,661
	Williams-Sonoma Inc.				1,714,922	197,079
*	Capri Holdings Ltd.				3,377,489	193,598
	Churchill Downs Inc.				867,377	183,390

7

Small-Cap Index Fund

8

Small-Cap Index Fund