vanguard mega cap index funds · mega cap index fund market value• shares ($000) market value...

See the inside front cover for important information about accessto your fund’s annual and semiannual shareholder reports.

Semiannual Report | February 29, 2020

Vanguard Mega Cap Index Funds

Vanguard Mega Cap Index Fund

Vanguard Mega Cap Growth Index Fund

Vanguard Mega Cap Value Index Fund

Contents

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by theSecurities and Exchange Commission, paper copies of your fund’s annual andsemiannual shareholder reports will no longer be sent to you by mail, unless youspecifically request them. Instead, you will be notified by mail each time a reportis 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 notbe affected by this change and do not need to take any action. You may elect toreceive shareholder reports and other communications from the fund electronicallyby contacting your financial intermediary (such as a broker-dealer or bank) or, if youinvest directly with the fund, by calling Vanguard at one of the phone numbers onthe back cover of this report or by logging on to vanguard.com.

You may elect to receive paper copies of all future shareholder reports freeof charge. If you invest through a financial intermediary, you can contact theintermediary to request that you continue to receive paper copies. If you investdirectly with the fund, you can call Vanguard at one of the phone numbers on theback cover of this report or log on to vanguard.com. Your election to receive papercopies will apply to all the funds you hold through an intermediary or directly withVanguard.

About Your Fund’s Expenses. . . . . . . . . . . . . . . . . . . . . . . . . 1

Mega Cap Index Fund. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Mega Cap Growth Index Fund. . . . . . . . . . . . . . . . . . . . . . . 18

Mega Cap Value Index Fund. . . . . . . . . . . . . . . . . . . . . . . . .32

About Your Fund’s Expenses

1

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 sellingsecurities. Further, the expenses do not include any purchase, redemption, or account servicefees described in the fund prospectus. If such fees were applied to your account, your costswould 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 mayhave been higher or lower, depending on the amount of your investment and the timing of anypurchases or redemptions.

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

2

Six Months Ended February 29, 2020

BeginningAccount Value

8/31/2019

EndingAccount Value

2/29/2020

ExpensesPaid During

Period

Based on Actual Fund Return

Mega Cap Index Fund

ETF Shares $1,000.00 $1,028.06 $0.35

Institutional Shares 1,000.00 1,028.11 0.30

Mega Cap Growth Index Fund

ETF Shares $1,000.00 $1,072.63 $0.36


Mega Cap Value Index Fund

ETF Shares $1,000.00 $985.23 $0.35

Institutional Shares 1,000.00 985.18 0.30

Based on Hypothetical 5% Yearly Return

Mega Cap Index Fund

ETF Shares $1,000.00 $1,024.52 $0.35



ETF Shares $1,000.00 $1,024.52 $0.35



ETF Shares $1,000.00 $1,024.52 $0.35


The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios forthat period are: for the Mega Cap Index Fund, 0.07% for ETF Shares and 0.06% for Institutional Shares; for the Mega Cap Growth IndexFund, 0.07% for ETF Shares and 0.06% for Institutional Shares; and for the Mega Cap Value Index Fund, 0.07% for ETF Shares and 0.06%for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by theaverage account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the numberof days in the most recent 12-month period (182/366).

Sector DiversificationAs of February 29, 2020

Mega Cap Index Fund

3

Basic Materials 1.4%

Consumer Goods 7.9

Consumer Services 14.3

Financials 17.2

Health Care 13.4

Industrials 11.1

Oil & Gas 3.4

Technology 26.2

Telecommunications 2.4

Utilities 2.7

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.

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 their target index as closely as possible.

Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Common Stocks (99.4%)

Basic Materials (1.4%)

Linde plc 58,727 11,217

Air Products & Chemicals

Inc. 24,156 5,305

Ecolab Inc. 28,245 5,097

DuPont de Nemours Inc. 80,856 3,469

Dow Inc. 81,135 3,279

PPG Industries Inc. 25,619 2,676

LyondellBasell Industries

NV 27,843 1,989

33,032

Consumer Goods (7.9%)

Procter & Gamble Co. 272,370 30,840

Coca-Cola Co. 421,195 22,530

PepsiCo Inc. 152,544 20,140

Philip Morris International

Inc. 169,962 13,915

NIKE Inc. 136,149 12,169* Tesla Inc. 15,781 10,542

Mondelez International Inc. 157,718 8,328

Altria Group Inc. 203,722 8,224

Colgate-Palmolive Co. 93,159 6,295

Kimberly-Clark Corp. 37,647 4,939

Activision Blizzard Inc. 83,937 4,879

Estee Lauder Cos. Inc.

Class A 24,329 4,467

General Motors Co. 139,898 4,267

General Mills Inc. 66,425 3,255* Electronic Arts Inc. 31,856 3,229

Ford Motor Co. 425,887 2,964

Constellation Brands Inc.

Class A 16,430 2,832

VF Corp. 37,033 2,666* Monster Beverage Corp. 41,064 2,563

Hershey Co. 16,397 2,361

Archer-Daniels-Midland Co. 61,293 2,308

Brown-Forman Corp. 32,340 1,986

Kraft Heinz Co. 72,991 1,808

Kellogg Co. 28,069 1,697

Aptiv plc 14,220 1,111

Corteva Inc. 40,790 1,109

Tyson Foods Inc. 16,298 1,105* Keurig Dr Pepper Inc. 30,231 843

183,372

Consumer Services (14.2%) * Amazon.com Inc. 46,076 86,796

Home Depot Inc. 119,209 25,968

Walt Disney Co. 196,924 23,168

Comcast Corp. 495,925 20,050* Netflix Inc. 47,869 17,665

Walmart Inc. 155,475 16,742

McDonald’s Corp. 82,293 15,979

Costco Wholesale Corp. 48,002 13,495

Starbucks Corp. 122,539 9,611

Lowe’s Cos. Inc. 84,271 8,981

CVS Health Corp. 142,128 8,411* Charter Communications

Inc. 16,395 8,085* Booking Holdings Inc. 4,541 7,700

TJX Cos. Inc. 119,294 7,134

Target Corp. 55,394 5,706

Ross Stores Inc. 39,389 4,285

Dollar General Corp. 28,275 4,250

Walgreens Boots Alliance

Inc. 82,809 3,789* Uber Technologies Inc. 111,849 3,788

Marriott International Inc. 28,557 3,541

Sysco Corp. 52,698 3,512* O’Reilly Automotive Inc. 8,214 3,029

Hilton Worldwide Holdings

Inc. 30,784 2,992

Yum! Brands Inc. 33,079 2,952

Delta Air Lines Inc. 63,363 2,923

eBay Inc. 84,286 2,920

McKesson Corp. 19,682 2,753

Las Vegas Sands Corp. 42,305 2,467

Kroger Co. 87,529 2,462

Southwest Airlines Co. 51,888 2,397

Carnival Corp. 43,529 1,456* AutoZone Inc. 1,296 1,338

Financial Statements (unaudited)

Schedule of InvestmentsAs of February 29, 2020

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.

Mega Cap Index Fund

4

Mega Cap Index Fund

Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Fox Corp. Class A 39,639 1,218^ Sirius XM Holdings Inc. 123,983 786* United Airlines Holdings

Inc. 11,537 711

ViacomCBS Inc. Class B 28,758 708

Fox Corp. Class B 16,977 517

ViacomCBS Inc. Class A 900 27

330,312

Financials (17.1%) * Berkshire Hathaway Inc.

Class B 205,685 42,441

JPMorgan Chase & Co. 325,603 37,806

Visa Inc. 187,207 34,027

Mastercard Inc. 98,127 28,481

Bank of America Corp. 884,685 25,214

Wells Fargo & Co. 415,916 16,990

Citigroup Inc. 238,474 15,134

American Tower Corp. 48,323 10,960

CME Group Inc. 39,201 7,794

Goldman Sachs Group Inc. 36,741 7,377

American Express Co. 67,067 7,373

S&P Global Inc. 26,898 7,152

US Bancorp 153,575 7,132

Prologis Inc. 80,621 6,795

Truist Financial Corp. 146,532 6,761

Crown Castle International

Corp. 45,598 6,534

Chubb Ltd. 42,392 6,148

Morgan Stanley 132,398 5,962

Marsh & McLennan Cos.

Inc. 55,351 5,788

BlackRock Inc. 11,834 5,479

PNC Financial Services

Group Inc. 43,048 5,441

Intercontinental Exchange

Inc. 60,962 5,439

Aon plc 25,486 5,301

Equinix Inc. 9,224 5,284

Charles Schwab Corp. 126,017 5,135

Progressive Corp. 63,633 4,655

Capital One Financial Corp. 50,797 4,483

Moody’s Corp. 17,599 4,224

American International

Group Inc. 95,131 4,011

Simon Property Group Inc. 32,114 3,953

Blackstone Group LP 72,199 3,887

Allstate Corp. 35,216 3,706

Bank of New York Mellon

Corp. 90,557 3,613

Public Storage 16,212 3,390

Prudential Financial Inc. 44,239 3,338

Welltower Inc. 44,446 3,325

Aflac Inc. 75,955 3,255

MetLife Inc. 75,080 3,207

Travelers Cos. Inc. 26,724 3,202

Equity Residential 40,550 3,045

T. Rowe Price Group Inc. 24,082 2,842

State Street Corp. 37,683 2,567

Discover Financial Services 34,173 2,241

Boston Properties Inc. 17,037 2,197

Ventas Inc. 40,823 2,195

Northern Trust Corp. 22,324 1,959

Synchrony Financial 66,948 1,948

Fifth Third Bancorp 77,179 1,883

AvalonBay Communities

Inc. 7,727 1,550* Berkshire Hathaway Inc.

Class A 5 1,545

TD Ameritrade Holding

Corp. 29,735 1,256

Weyerhaeuser Co. 41,520 1,079

Ameriprise Financial Inc. 6,887 973

Interactive Brokers Group

Inc. 3,921 200

397,677

Health Care (13.3%)

Johnson & Johnson 287,517 38,665

UnitedHealth Group Inc. 103,535 26,397

Merck & Co. Inc. 278,137 21,294

Pfizer Inc. 604,589 20,205

Bristol-Myers Squibb Co. 255,716 15,103

Abbott Laboratories 193,097 14,874

Medtronic plc 146,463 14,744

AbbVie Inc. 161,451 13,838

Amgen Inc. 64,868 12,956

Thermo Fisher Scientific

Inc. 43,810 12,740

Eli Lilly & Co. 94,487 11,918

Gilead Sciences Inc. 138,426 9,601

Cigna Corp. 40,794 7,463

Anthem Inc. 27,765 7,138

Becton Dickinson and Co. 29,527 7,022

Zoetis Inc. 52,211 6,956* Intuitive Surgical Inc. 12,609 6,733

Stryker Corp. 34,704 6,614

Allergan plc 34,022 6,487* Vertex Pharmaceuticals

Inc. 28,087 6,292* Biogen Inc. 19,693 6,073* Boston Scientific Corp. 152,175 5,690

Baxter International Inc. 55,967 4,672* Edwards Lifesciences

Corp. 22,755 4,661

Humana Inc. 14,442 4,617* Illumina Inc. 16,083 4,273* Regeneron

Pharmaceuticals Inc. 8,941 3,975

HCA Healthcare Inc. 29,507 3,748

5

Mega Cap Index Fund

Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Zimmer Biomet Holdings

Inc. 22,642 3,083* Alexion Pharmaceuticals

Inc. 23,391 2,200

310,032

Industrials (11.0%)

Boeing Co. 58,473 16,087* PayPal Holdings Inc. 128,326 13,858

Honeywell International

Inc. 78,072 12,661

Accenture plc Class A 69,434 12,539

United Technologies Corp. 94,283 12,312

Union Pacific Corp. 75,843 12,121

General Electric Co. 954,234 10,382

Danaher Corp. 68,358 9,883

Lockheed Martin Corp. 26,225 9,700

Fidelity National

Information Services Inc. 67,178 9,386

3M Co. 62,733 9,362

Caterpillar Inc. 60,297 7,491

United Parcel Service Inc. 76,574 6,929* Fiserv Inc. 63,008 6,891

Automatic Data Processing

Inc. 42,499 6,576

Global Payments Inc. 32,855 6,044

Raytheon Co. 30,426 5,737

CSX Corp. 81,195 5,720

Northrop Grumman Corp. 16,595 5,457

Deere & Co. 34,380 5,380

Illinois Tool Works Inc. 31,831 5,341

Norfolk Southern Corp. 28,499 5,197

Waste Management Inc. 46,445 5,147

Sherwin-Williams Co. 9,057 4,680

General Dynamics Corp. 26,902 4,296

Emerson Electric Co. 66,360 4,254

Eaton Corp. plc 45,001 4,083

Roper Technologies Inc. 11,291 3,971

FedEx Corp. 25,568 3,610

Ingersoll-Rand plc 26,026 3,358

Johnson Controls

International plc 84,161 3,078

TE Connectivity Ltd. 36,820 3,051

Paychex Inc. 34,938 2,707

Agilent Technologies Inc. 33,935 2,615

Parker-Hannifin Corp. 14,050 2,596

PACCAR Inc. 38,045 2,545

Cummins Inc. 16,737 2,532

Stanley Black & Decker

Inc. 16,640 2,391

Fortive Corp. 30,948 2,140

Republic Services Inc. 22,851 2,063* Square Inc. 18,750 1,563

Rockwell Automation Inc. 6,496 1,192

256,926

Oil & Gas (3.4%)

Exxon Mobil Corp. 462,148 23,773

Chevron Corp. 206,551 19,279

ConocoPhillips 119,775 5,800

Schlumberger Ltd. 151,304 4,099

Kinder Morgan Inc. 211,109 4,047

EOG Resources Inc. 63,629 4,025

Phillips 66 48,481 3,629

Marathon Petroleum Corp. 70,872 3,361

Occidental Petroleum

Corp. 98,146 3,213

Valero Energy Corp. 44,846 2,971

Williams Cos. Inc. 132,637 2,527

Pioneer Natural

Resources Co. 18,074 2,219

Baker Hughes Co. 35,235 567

79,510

Technology (26.0%)

Microsoft Corp. 833,694 135,067

Apple Inc. 437,001 119,459* Facebook Inc. 262,970 50,614* Alphabet Inc. Class A 32,619 43,685* Alphabet Inc. Class C 32,042 42,915

Intel Corp. 475,201 26,383

Cisco Systems Inc. 463,466 18,506* Adobe Inc. 53,014 18,296

NVIDIA Corp. 63,559 17,165* salesforce.com Inc. 90,990 15,505

International Business

Machines Corp. 96,776 12,595

Texas Instruments Inc. 101,979 11,640

Oracle Corp. 233,155 11,532

Broadcom Inc. 41,355 11,274

QUALCOMM Inc. 124,745 9,768

Intuit Inc. 27,043 7,189* ServiceNow Inc. 20,600 6,717* Micron Technology Inc. 120,902 6,355

Applied Materials Inc. 100,906 5,865

L3Harris Technologies Inc. 24,134 4,772

Lam Research Corp. 15,877 4,659* Autodesk Inc. 23,923 4,566

Analog Devices Inc. 40,382 4,404

Cognizant Technology

Solutions Corp. 59,814 3,644

HP Inc. 161,946 3,367* Workday Inc. 17,910 3,103* Advanced Micro Devices

Inc. 60,823 2,766

Corning Inc. 83,675 1,997* VMware Inc. 8,299 1,000* Dell Technologies Inc. 22,721 919

Hewlett Packard

Enterprise Co. 69,611 890

606,617

6

Mega Cap Index Fund

Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Telecommunications (2.4%)

AT&T Inc. 797,983 28,105

Verizon Communications

Inc. 451,593 24,458* T-Mobile US Inc. 32,826 2,960* Sprint Corp. 72,141 663

56,186

Utilities (2.7%)

NextEra Energy Inc. 53,297 13,471

Duke Energy Corp. 79,714 7,310

Dominion Energy Inc. 89,790 7,020

Southern Co. 114,202 6,893

American Electric Power

Co. Inc. 54,238 4,841

Exelon Corp. 105,915 4,566

Sempra Energy 30,145 4,214

Xcel Energy Inc. 57,824 3,604

Consolidated Edison Inc. 36,562 2,882

Public Service Enterprise

Group Inc. 55,298 2,837

Edison International 39,160 2,631

PPL Corp. 78,817 2,365

62,634

Total Common Stocks

(Cost $1,622,922) 2,316,298

Temporary Cash Investments (0.4%)

Money Market Fund (0.4%)1,2 Vanguard Market Liquidity

Fund, 1.706% 86,951 8,698

Face

Amount

($000)

U.S. Government and Agency Obligations (0.0%) 3 United States Treasury

Bill, 1.527%, 4/30/20 50 503 United States Treasury

Bill, 1.551%, 5/14/20 600 598

648

Total Temporary Cash Investments

(Cost $9,344) 9,346

Total Investments (99.8%)

(Cost $1,632,266) 2,325,644

Other Assets and Liabilities—

Net (0.2%)2 4,119

Net Assets (100%) 2,329,763

Cost rounded to $000.

• 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 $380,000.

1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

2 Collateral of $420,000 was received for securities on loan.

3 Securities with a value of $601,000 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 89 13,132 (1,243)

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

7

($000s, except shares and per-share amounts) Amount

Assets

Investments in Securities, at Value

Unaffiliated Issuers (Cost $1,623,570) 2,316,946

Affiliated Issuers (Cost $8,696) 8,698

Total Investments in Securities 2,325,644

Investment in Vanguard 109

Cash 2

Receivables for Accrued Income 4,793

Total Assets 2,330,548

Liabilities

Payables for Investment Securities Purchased 13

Collateral for Securities on Loan 420

Payables to Vanguard 326

Variation Margin Payable—Futures Contracts 26

Total Liabilities 785

Net Assets 2,329,763

At February 29, 2020, net assets consisted of:

Paid-in Capital 1,635,348

Total Distributable Earnings (Loss) 694,415


ETF Shares—Net Assets

Applicable to 21,100,000 outstanding $.001 par value shares of

beneficial interest (unlimited authorization) 2,177,731

Net Asset Value Per Share—ETF Shares $103.21

Institutional Shares—Net Assets

Applicable to 747,096 outstanding $.001 par value shares of

beneficial interest (unlimited authorization) 152,032

Net Asset Value Per Share—Institutional Shares $203.50

Statement of Assets and LiabilitiesAs of February 29, 2020

Mega Cap Index Fund


8

9


($000)

Investment Income

Income

Dividends 22,459

Interest1 87

Securities Lending—Net 13

Total Income 22,559

Expenses

The Vanguard Group—Note B

Investment Advisory Services 176

Management and Administrative—ETF Shares 506

Management and Administrative—Institutional Shares 33

Marketing and Distribution—ETF Shares 55

Marketing and Distribution—Institutional Shares 3

Custodian Fees 10

Shareholders’ Reports—ETF Shares 31

Shareholders’ Reports—Institutional Shares —

Trustees’ Fees and Expenses 1

Total Expenses 815

Expenses Paid Indirectly (6)

Net Expenses 809

Net Investment Income 21,750

Realized Net Gain (Loss)

Investment Securities Sold1,2 11,854

Futures Contracts 1,215

Realized Net Gain (Loss) 13,069

Change in Unrealized Appreciation (Depreciation)

Investment Securities1 13,917

Futures Contracts (1,250)

Change in Unrealized Appreciation (Depreciation) 12,667

Net Increase (Decrease) in Net Assets Resulting from Operations 47,486

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $81,000, $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.

2 Includes $10,555,000 of net gain (loss) resulting from in-kind redemptions.

Statement of Operations

Mega Cap Index Fund


Statement of Changes in Net Assets

Mega Cap Index Fund


Six Months Ended Year Ended February 29, August 31, 2020 2019

($000) ($000)

Increase (Decrease) in Net Assets

Operations

Net Investment Income 21,750 37,926

Realized Net Gain (Loss) 13,069 17,415

Change in Unrealized Appreciation (Depreciation) 12,667 21,521

Net Increase (Decrease) in Net Assets Resulting from Operations 47,486 76,862

Distributions1

ETF Shares (20,359) (34,093)

Institutional Shares (1,503) (2,519)

Total Distributions (21,862) (36,612)

Capital Share Transactions

ETF Shares 211,420 364,632

Institutional Shares (679) 25,154

Net Increase (Decrease) from Capital Share Transactions 210,741 389,786

Total Increase (Decrease) 236,365 430,036

Net Assets

Beginning of Period 2,093,398 1,663,362

End of Period 2,329,763 2,093,398

1 Certain prior period numbers have been reclassified to conform with current period presentation.

10

ETF Shares

Six Months

Ended

For a Share Outstanding February 29, Year Ended August 31,

Throughout Each Period 2020 2019 2018 2017 2016 2015

Net Asset Value, Beginning of Period $101.36 $100.26 $85.02 $74.19 $67.35 $68.69

Investment Operations

Net Investment Income 1.0101 2.0451 1.7901 1.6761 1.582 1.399

Net Realized and Unrealized Gain (Loss)

on Investments 1.861 1.052 15.214 10.788 6.793 (1.377)

Total from Investment Operations 2.871 3.097 17.004 12.464 8.375 .022

Distributions

Dividends from Net Investment Income (1.021) (1.997) (1.764) (1.634) (1.535) (1.362)

Distributions from Realized Capital Gains — — — — — —

Total Distributions (1.021) (1.997) (1.764) (1.634) (1.535) (1.362)

Net Asset Value, End of Period $103.21 $101.36 $100.26 $85.02 $74.19 $67.35

Total Return 2.81% 3.26% 20.25% 17.01% 12.61% -0.05%

Ratios/Supplemental Data

Net Assets, End of Period (Millions) $2,178 $1,944 $1,542 $1,233 $1,057 $970

Ratio of Total Expenses to

Average Net Assets 0.07% 0.07% 0.07% 0.07% 0.07% 0.09%

Ratio of Net Investment Income to


Portfolio Turnover Rate2 2% 4% 4% 6% 7% 8%

The expense ratio and net investment income ratio for the current period have been annualized.

1 Calculated based on average shares outstanding.

2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

Financial Highlights


Mega Cap Index Fund

11

Institutional Shares

Six Months

Ended







on Investments 3.685 2.062 30.038 21.220 13.419 (2.717)

Total from Investment Operations 5.683 6.115 33.551 24.582 16.536 .081

Distributions





Total Return 2.81% 3.25% 20.26% 17.02% 12.63% -0.01%


Net Assets, End of Period (Millions) $152 $150 $122 $132 $133 $298











Mega Cap Index Fund

12

Notes to Financial Statements

Mega Cap Index Fund

Vanguard Mega Cap Index Fund is registered under the Investment Company Act of 1940 as an

open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares

and Institutional Shares. Each of the share classes has different eligibility and minimum purchase

requirements, and is designed for different types of investors. ETF Shares are listed for trading on

NYSE Arca; they can be purchased and sold through a broker.

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 clearing-

house 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 Schedule of Investments.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of

the contracts are not recorded in the Schedule of Investments. Fluctuations in the value of the

contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the

Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed,

when they are recorded as realized futures gains (losses).

During the six months ended February 29, 2020, 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.

13

14

Mega 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 (August 31, 2016–2019), and for the period ended February 29, 2020, 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 at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. 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 and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $4.3 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement 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.

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

Mega Cap Index Fund

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

For the six months ended February 29, 2020, the fund did not utilize the credit facility or the Interfund Lending Program.

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 Assets and Liabilities. 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 February 29, 2020, the fund had contributed to Vanguard capital in the amount of $109,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2020, custodian fee offset arrangements reduced the fund’s expenses by $6,000 (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.

15

16

Mega Cap Index Fund

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 Schedule of Investments.

The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2020, based on the inputs used to value them:

Level 1 Level 2 Level 3 Total ($000) ($000) ($000) ($000)

Investments

Assets

Common Stocks 2,316,298 — — 2,316,298

Temporary Cash Investments 8,698 648 — 9,346

Total 2,324,996 648 — 2,325,644

Derivative Financial Instruments

Liabilities

Futures Contracts1 26 — — 26

1 Represents variation margin on the last day of the reporting period.

E. As of February 29, 2020, 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 1,632,266

Gross Unrealized Appreciation 790,496

Gross Unrealized Depreciation (98,361)

Net Unrealized Appreciation (Depreciation) 692,135

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2019, the fund had available capital losses totaling $18,267,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2020; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F. During the six months ended February 29, 2020, the fund purchased $260,285,000 of investment securities and sold $53,816,000 of investment securities, other than temporary cash investments. Purchases and sales include $213,399,000 and $17,581,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.

Mega Cap 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 six months ended February 29, 2020, such purchases and sales were $15,748,000 and $11,721,000, 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:

Six Months Ended Year Ended February 29, 2020 August 31, 2019

Amount Shares Amount Shares ($000) (000) ($000) (000)

ETF Shares

Issued 229,354 2,100 389,257 4,050

Issued in Lieu of Cash Distributions — — — —

Redeemed (17,934) (175) (24,625) (250)

Net Increase (Decrease)—ETF Shares 211,420 1,925 364,632 3,800


Issued 11,234 53 38,620 203

Issued in Lieu of Cash Distributions 664 3 753 4

Redeemed (12,577) (59) (14,219) (73)

Net Increase (Decrease)—Institutional Shares (679) (3) 25,154 134

H. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.

Management has determined that no other events or transactions occurred subsequent to February 29, 2020, that would require recognition or disclosure in these financial statements.

17



18


Consumer Goods 4.2


Financials 12.1

Health Care 6.4

Industrials 11.0

Oil & Gas 0.6

Technology 43.2





Market

Value•

Shares ($000)

Market

Value•

Shares ($000)



Linde plc 256,969 49,084

Ecolab Inc. 124,058 22,386

71,470


NIKE Inc. 595,997 53,270* Tesla Inc. 69,012 46,099

Colgate-Palmolive Co. 409,927 27,699

Activision Blizzard Inc. 367,541 21,365

Estee Lauder Cos. Inc.

Class A 106,440 19,542* Electronic Arts Inc. 139,714 14,163* Monster Beverage Corp. 179,970 11,232

Hershey Co. 71,066 10,233

Brown-Forman Corp. 140,179 8,608


Class A 36,169 6,235* Keurig Dr Pepper Inc. 134,308 3,745

222,191

Consumer Services (20.7%) * Amazon.com Inc. 201,566 379,700

Home Depot Inc. 521,765 113,661

Comcast Corp. 2,171,348 87,788* Netflix Inc. 209,570 77,338

McDonald’s Corp. 360,142 69,929

Costco Wholesale Corp. 210,349 59,137

Starbucks Corp. 536,683 42,092

Lowe’s Cos. Inc. 369,117 39,337* Charter Communications

Inc. 71,909 35,463* Booking Holdings Inc. 20,001 33,915

TJX Cos. Inc. 520,260 31,111

Ross Stores Inc. 172,925 18,811

Dollar General Corp. 122,875 18,468* Uber Technologies Inc. 489,410 16,576

Marriott International Inc. 125,013 15,502* O’Reilly Automotive Inc. 36,147 13,328

Hilton Worldwide

Holdings Inc. 134,899 13,112

Yum! Brands Inc. 144,523 12,899

* AutoZone Inc. 5,747 5,934

Sirius XM Holdings Inc. 531,166 3,368

1,087,469

Financials (12.1%)

Visa Inc. 819,199 148,898

Mastercard Inc. 429,404 124,634

American Tower Corp. 211,904 48,060

S&P Global Inc. 116,862 31,075

Prologis Inc. 352,735 29,728

Crown Castle International

Corp. 198,794 28,485

Marsh & McLennan Cos.

Inc. 241,276 25,228

Intercontinental Exchange

Inc. 266,410 23,769

Equinix Inc. 40,808 23,375

Aon plc 111,974 23,291

Charles Schwab Corp. 552,064 22,497

Moody’s Corp. 76,787 18,431

Simon Property Group Inc. 139,477 17,167

Blackstone Group LP 315,441 16,983

Public Storage 70,997 14,847

T. Rowe Price Group Inc. 106,072 12,518

Boston Properties Inc. 73,994 9,541


AvalonBay Communities

Inc. 33,251 6,670


Corp. 64,963 2,743

Interactive Brokers Group

Inc. 17,458 892

636,105

Health Care (6.4%)

Thermo Fisher Scientific

Inc. 191,798 55,775


Becton Dickinson and Co. 129,345 30,761

Zoetis Inc. 227,790 30,348* Intuitive Surgical Inc. 55,240 29,496

Stryker Corp. 152,171 29,002* Vertex Pharmaceuticals

Inc. 123,033 27,563






www.sec.gov.


19


Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

* Boston Scientific Corp. 666,769 24,931* Edwards Lifesciences

Corp. 99,801 20,443* Illumina Inc. 70,357 18,692* Regeneron

Pharmaceuticals Inc. 38,770 17,236

Baxter International Inc. 122,110 10,193* Alexion Pharmaceuticals

Inc. 100,462 9,446

336,953

Industrials (11.0%)

Boeing Co. 255,768 70,364* PayPal Holdings Inc. 561,645 60,652

Accenture plc Class A 303,737 54,852

Union Pacific Corp. 331,994 53,056

Lockheed Martin Corp. 114,653 42,407

Fidelity National

Information Services Inc. 293,953 41,071

United Parcel Service Inc. 335,204 30,333* Fiserv Inc. 276,444 30,232

Automatic Data

Processing Inc. 186,231 28,817

Global Payments Inc. 143,771 26,449

Illinois Tool Works Inc. 138,208 23,188

Danaher Corp. 149,760 21,652

Sherwin-Williams Co. 39,798 20,566

Roper Technologies Inc. 49,793 17,512

Raytheon Co. 66,560 12,551

Paychex Inc. 154,235 11,950

Agilent Technologies Inc. 147,770 11,389

Fortive Corp. 136,760 9,458* Square Inc. 83,003 6,917

Rockwell Automation Inc. 27,640 5,072

578,488

Oil & Gas (0.6%)

EOG Resources Inc. 278,081 17,591

Pioneer Natural

Resources Co. 79,130 9,716

Baker Hughes Co. 155,287 2,498

29,805

Technology (43.1%)

Microsoft Corp. 3,649,132 591,196

Apple Inc. 1,912,816 522,887* Facebook Inc. 1,151,123 221,557* Alphabet Inc. Class A 143,136 191,695* Alphabet Inc. Class C 139,886 187,354* Adobe Inc. 231,592 79,927

NVIDIA Corp. 278,102 75,107* salesforce.com Inc. 398,487 67,902

Texas Instruments Inc. 447,106 51,033

Broadcom Inc. 180,231 49,135

Intuit Inc. 118,338 31,460* ServiceNow Inc. 90,192 29,411* Micron Technology Inc. 529,592 27,835

Applied Materials Inc. 441,788 25,677

L3Harris Technologies Inc. 105,774 20,915

Lam Research Corp. 69,462 20,382* Autodesk Inc. 105,058 20,053

Analog Devices Inc. 176,208 19,215* Workday Inc. 78,435 13,589* Advanced Micro Devices

Inc. 266,281 12,110* VMware Inc. 36,814 4,437

2,262,877

Telecommunications (0.3%) * T-Mobile US Inc. 143,347 12,924

Total Common Stocks

(Cost $3,647,453) 5,238,282


Money Market Fund (0.1%)1 Vanguard Market Liquidity

Fund , 1.706% 73,633 7,365

Face

Amount

($000)


Bill, 1.543%, 4/16/20 475 474


(Cost $7,838) 7,839


(Cost $3,655,291) 5,246,121


Net (0.1%)2 5,061

Net Assets (100%) 5,251,182




1 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

2 Securities with a value of $474,000 and cash of $68,000 have been segregated as initial margin for open futures contracts.

20



Futures Contracts

($000)

Value and Number of Unrealized Long (Short) Notional Appreciation Expiration Contracts Amount (Depreciation)


E-mini NASDAQ 100 Index March 2020 42 7,101 (385)

E-mini S&P 500 Index March 2020 33 4,869 (478)

(863)


21


Assets



Affiliated Issuers (Cost $7,364) 7,365



Cash Collateral Pledged—Futures Contracts 68


Variation Margin Receivable—Futures Contracts 60


Liabilities


Payables for Capital Shares Redeemed 25



Total Liabilities 613




Total Distributable Earnings (Loss) 1,608,239













22

23


($000)

Investment Income

Income

Dividends 26,351

Interest1 101


Total Income 26,500

Expenses



Management and Administrative—ETF Shares 1,140




Custodian Fees 9


Shareholders’ Reports—Institutional Shares —


Total Expenses 1,758




Futures Contracts 1,625



Investment Securities1 120,840

Futures Contracts (846)

Change in Unrealized Appreciation (Depreciation) 119,994

Net Increase (Decrease) in Net Assets Resulting from Operations 301,290










($000) ($000)


Operations



Change in Unrealized Appreciation (Depreciation) 119,994 (20,819)

Net Increase (Decrease) in Net Assets Resulting from Operations 301,290 182,695

Distributions1

ETF Shares (25,323) (33,904)

Institutional Shares (239) (331)



ETF Shares 546,447 89,447




Net Assets


End of Period 5,251,182 4,431,603


24

ETF Shares

Six Months

Ended





Net Investment Income .7001 1.5881 1.4851 1.3511 1.269 1.148


on Investments 8.883 3.860 23.677 16.920 6.897 1.013

Total from Investment Operations 9.583 5.448 25.162 18.271 8.166 2.161

Distributions

Dividends from Net Investment Income (.733) (1.018) (1.462) (1.331) (1.236) (1.101)


Total Distributions (.733) (1.018) (1.462) (1.331) (1.236) (1.101)


Total Return 7.26% 4.32% 24.38% 21.17% 10.28% 2.70%


Net Assets, End of Period (Millions) $5,208 $4,388 $4,152 $3,135 $2,247 $1,928












25


Six Months

Ended







on Investments 17.658 7.684 47.023 33.622 13.693 2.011

Total from Investment Operations 19.048 10.868 49.986 36.321 16.221 4.304

Distributions





Total Return 7.26% 4.34% 24.39% 21.20% 10.28% 2.71%














26



Vanguard Mega 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 two classes of shares: ETF

Shares and Institutional Shares. Each of the share classes has different eligibility and minimum

purchase requirements, and is designed for different types of investors. ETF Shares are listed for

trading on NYSE Arca; they can be purchased and sold through a broker.





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











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 Schedule of Investments.







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.

27

28






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


may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.






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.


29

30




Investments

Assets

Common Stocks 5,238,282 — — 5,238,282

Temporary Cash Investments 7,365 474 — 7,839

Total 5,245,647 474 — 5,246,121


Assets


Liabilities



D. As of February 29, 2020, 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 3,655,291

Gross Unrealized Appreciation 1,683,294


Net Unrealized Appreciation (Depreciation) 1,589,967


E. During the six months ended February 29, 2020, the fund purchased $1,081,959,000 of investment securities and sold $540,028,000 of investment securities, other than temporary cash investments. Purchases and sales include $870,656,000 and $351,312,000, 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:



ETF Shares

Issued 905,216 6,300 602,968 4,900


Redeemed (358,769) (2,575) (513,521) (4,200)

Net Increase (Decrease)—ETF Shares 546,447 3,725 89,447 700


Issued 470 1 21,064 89

Issued in Lieu of Cash Distributions 239 1 290 1

Redeemed (3,305) (11) (22,721) (97)

Net Increase (Decrease)—Institutional Shares (2,596) (9) (1,367) (7)

G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.


31



32


Consumer Goods 11.8


Financials 22.5

Health Care 20.8

Industrials 11.2

Oil & Gas 6.5

Technology 8.1


Utilities 5.6




Market

Value•

Shares ($000)

Market

Value•

Shares ($000)



Air Products & Chemicals

Inc. 55,809 12,256

DuPont de Nemours Inc. 187,734 8,054

Dow Inc. 188,283 7,609

PPG Industries Inc. 59,781 6,244

LyondellBasell Industries

NV 63,548 4,541

38,704


Procter & Gamble Co. 631,729 71,531

Coca-Cola Co. 976,676 52,242

PepsiCo Inc. 353,227 46,636

Philip Morris International

Inc. 394,076 32,263

Mondelez International

Inc. 364,674 19,255

Altria Group Inc. 473,236 19,104

Kimberly-Clark Corp. 86,826 11,391

General Motors Co. 325,799 9,937

General Mills Inc. 153,266 7,510

Ford Motor Co. 987,464 6,873

VF Corp. 85,793 6,177

Archer-Daniels-Midland

Co. 140,744 5,299

Kraft Heinz Co. 169,556 4,200

Kellogg Co. 64,790 3,918


Class A 19,043 3,283

Corteva Inc. 94,734 2,577

Tyson Foods Inc. 37,573 2,548

Aptiv plc 32,417 2,532

307,276

Consumer Services (7.3%)

Walt Disney Co. 456,585 53,717

Walmart Inc. 360,278 38,795

CVS Health Corp. 329,533 19,502

Target Corp. 128,331 13,218

Walgreens Boots Alliance

Inc. 192,247 8,797

Sysco Corp. 122,830 8,187

Delta Air Lines Inc. 147,503 6,804

eBay Inc. 196,083 6,792

McKesson Corp. 45,750 6,399

Kroger Co. 202,483 5,696

Las Vegas Sands Corp. 97,277 5,672

Southwest Airlines Co. 120,175 5,551

Carnival Corp. 100,118 3,350

Fox Corp. Class A 89,929 2,764* United Airlines Holdings

Inc. 27,195 1,675

ViacomCBS Inc. Class B 68,059 1,675

Fox Corp. Class B 40,442 1,232

ViacomCBS Inc. Class A 710 21

189,847

Financials (22.5%) * Berkshire Hathaway Inc.

Class B 492,458 101,614

JPMorgan Chase & Co. 754,729 87,632

Bank of America Corp. 2,050,524 58,440

Wells Fargo & Co. 964,180 39,387

Citigroup Inc. 553,001 35,093

CME Group Inc. 90,736 18,040

Goldman Sachs Group

Inc. 85,228 17,111

American Express Co. 155,487 17,093

US Bancorp 356,074 16,536

Truist Financial Corp. 339,721 15,675

Chubb Ltd. 97,557 14,149

Morgan Stanley 307,435 13,844

BlackRock Inc. 27,384 12,679

PNC Financial Services

Group Inc. 99,832 12,619

Progressive Corp. 148,247 10,846

Capital One Financial

Corp. 118,009 10,415

American International

Group Inc. 220,039 9,277

Allstate Corp. 82,024 8,633

Bank of New York Mellon

Corp. 210,316 8,392

Prudential Financial Inc. 101,856 7,685






www.sec.gov.


33


Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Aflac Inc. 176,774 7,575

MetLife Inc. 174,823 7,468

Travelers Cos. Inc. 62,093 7,439

Equity Residential 94,155 7,071

State Street Corp. 87,322 5,947

Discover Financial

Services 79,555 5,217

Ventas Inc. 94,563 5,085

Synchrony Financial 155,087 4,513

Northern Trust Corp. 51,112 4,486

Fifth Third Bancorp 180,213 4,397


Weyerhaeuser Co. 94,105 2,445

Ameriprise Financial Inc. 16,011 2,262


Corp. 34,155 1,442* Berkshire Hathaway Inc.

Class A 1 309

584,661

Health Care (20.8%)

Johnson & Johnson 666,620 89,647

UnitedHealth Group Inc. 239,966 61,182

Merck & Co. Inc. 644,922 49,375

Pfizer Inc. 1,401,776 46,847

Abbott Laboratories 447,964 34,507

Medtronic plc 339,503 34,178

AbbVie Inc. 374,560 32,103

Amgen Inc. 150,458 30,051

Eli Lilly & Co. 218,906 27,611

Gilead Sciences Inc. 320,490 22,229


Cigna Corp. 94,571 17,301

Anthem Inc. 64,239 16,515

Allergan plc 79,039 15,070* Biogen Inc. 45,702 14,094

Humana Inc. 33,546 10,724

HCA Healthcare Inc. 68,741 8,731

Zimmer Biomet Holdings

Inc. 52,192 7,106

Baxter International Inc. 64,558 5,389

540,170

Industrials (11.1%)

Honeywell International

Inc. 181,030 29,358

United Technologies

Corp. 218,632 28,551

General Electric Co. 2,212,099 24,068

3M Co. 145,699 21,744

Caterpillar Inc. 139,989 17,392

CSX Corp. 188,200 13,259

Northrop Grumman

Corp. 38,393 12,625

Deere & Co. 79,731 12,476

Norfolk Southern Corp. 66,010 12,037

Waste Management Inc. 107,413 11,902

Danaher Corp. 79,273 11,461

General Dynamics Corp. 62,337 9,955

Emerson Electric Co. 154,287 9,891

Eaton Corp. plc 104,699 9,498

FedEx Corp. 59,530 8,404

Ingersoll-Rand plc 60,689 7,831

Johnson Controls

International plc 195,599 7,153

TE Connectivity Ltd. 84,765 7,025

Raytheon Co. 35,308 6,658

Parker-Hannifin Corp. 32,569 6,018

Cummins Inc. 38,854 5,878

PACCAR Inc. 87,492 5,853

Stanley Black & Decker

Inc. 38,418 5,521

Republic Services Inc. 52,484 4,737

289,295

Oil & Gas (6.5%)

Exxon Mobil Corp. 1,071,615 55,124

Chevron Corp. 478,883 44,699

ConocoPhillips 277,891 13,456

Schlumberger Ltd. 350,578 9,497

Kinder Morgan Inc. 487,451 9,344

Phillips 66 112,599 8,429

Marathon Petroleum

Corp. 164,568 7,804

Occidental Petroleum

Corp. 226,511 7,416

Valero Energy Corp. 104,146 6,900

Williams Cos. Inc. 307,108 5,850

168,519

Technology (8.0%)

Intel Corp. 1,101,840 61,174

Cisco Systems Inc. 1,074,534 42,906

International Business

Machines Corp. 224,305 29,193

Oracle Corp. 540,414 26,729

QUALCOMM Inc. 289,259 22,649

Cognizant Technology

Solutions Corp. 138,739 8,453

HP Inc. 375,703 7,811

Corning Inc. 194,374 4,638* Dell Technologies Inc. 52,653 2,130

Hewlett Packard

Enterprise Co. 163,468 2,091

207,774

Telecommunications (4.7%)

AT&T Inc. 1,850,267 65,166

Verizon Communications

Inc. 1,047,562 56,736* Sprint Corp. 156,249 1,436

123,338

34


Market

Value•

Shares ($000)

Market

Value•

Shares ($000)

Utilities (5.6%)

NextEra Energy Inc. 123,817 31,296

Duke Energy Corp. 184,691 16,936

Dominion Energy Inc. 208,530 16,303

Southern Co. 265,599 16,032

American Electric Power

Co. Inc. 125,055 11,162

Exelon Corp. 245,657 10,590

Sempra Energy 69,547 9,721

Xcel Energy Inc. 135,918 8,471

Consolidated Edison Inc. 84,038 6,624

Public Service Enterprise

Group Inc. 127,896 6,562

Edison International 91,022 6,116

PPL Corp. 182,919 5,489

145,302

Total Common Stocks

(Cost $2,316,301) 2,594,886


Money Market Fund (0.0%)1 Vanguard Market Liquidity

Fund, 1.706% 38 4

Face

Amount

($000)


Bill, 1.551%, 5/14/20 450 449


(Cost $452) 453


(Cost $2,316,753) 2,595,339


Net (0.2%) 4,079

Net Assets (100%) 2,599,418




1 Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield.

2 Securities with a value of $201,000 have been segregated as initial margin for open futures contracts.



Futures Contracts

($000)

Value and

Number of Unrealized

Long (Short) Notional Appreciation

Expiration Contracts Amount (Depreciation)


E-mini S&P 500 Index March 2020 30 4,427 (476)

35


Assets



Affiliated Issuers (Cost $4) 4




Receivables for Capital Shares Issued 89


Liabilities

Due to Custodian 3,745


Payables for Capital Shares Redeemed 381



Total Liabilities 4,484




Total Distributable Earnings (Loss) 281,063













36

37


($000)

Investment Income

Income

Dividends 39,200

Interest1 33


Total Income 39,237

Expenses



Management and Administrative—ETF Shares 607




Custodian Fees 18


Shareholders’ Reports—Institutional Shares 1


Total Expenses 972




Futures Contracts 941



Investment Securities1 (103,993)

Futures Contracts (557)

Change in Unrealized Appreciation (Depreciation) (104,550)

Net Increase (Decrease) in Net Assets Resulting from Operations (44,302)










($000) ($000)


Operations



Change in Unrealized Appreciation (Depreciation) (104,550) (221,389)

Net Increase (Decrease) in Net Assets Resulting from Operations (44,302) 43,136

Distributions1

ETF Shares (37,144) (64,527)




ETF Shares 108,477 351,597

Institutional Shares (7,950) 5,455



Net Assets


End of Period 2,599,418 2,582,335


38

ETF Shares

Six Months

Ended







on Investments (2.226) (1.027) 9.668 6.557 6.583 (2.733)

Total from Investment Operations (1.076) 1.234 11.561 8.400 8.221 (1.249)

Distributions





Total Return -1.48% 1.69% 16.71% 13.40% 14.71% -2.22%


Net Assets, End of Period (Millions) $2,476 $2,448 $2,120 $1,717 $1,322 $957












39


Six Months

Ended







on Investments (4.409) (2.002) 19.188 13.077 13.063 (5.427)

Total from Investment Operations (2.125) 2.465 22.931 16.673 16.322 (2.451)

Distributions





Total Return -1.48% 1.68% 16.71% 13.41% 14.72% -2.19%














40



Vanguard Mega 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 two classes of shares: ETF

Shares and Institutional Shares. Each of the share classes has different eligibility and minimum

purchase requirements, and is designed for different types of investors. ETF Shares are listed

for trading on NYSE Arca; they can be purchased and sold through a broker.





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











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 Schedule of Investments.







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.

41

42






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


may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.






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.


43

44




Investments

Assets

Common Stocks 2,594,886 — — 2,594,886

Temporary Cash Investments 4 449 — 453

Total 2,594,890 449 — 2,595,339


Liabilities



D. As of February 29, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

Amount ($000)

Tax Cost 2,316,753

Gross Unrealized Appreciation 452,352


Net Unrealized Appreciation (Depreciation) 278,110


E. During the six months ended February 29, 2020, the fund purchased $301,964,000 of investment securities and sold $200,552,000 of investment securities, other than temporary cash investments. Purchases and sales include $145,864,000 and $78,532,000, 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:



ETF Shares

Issued 189,935 2,250 828,137 10,705


Redeemed (81,458) (975) (476,540) (6,225)

Net Increase (Decrease)—ETF Shares 108,477 1,275 351,597 4,480


Issued 2,667 16 24,632 157

Issued in Lieu of Cash Distributions 1,255 8 1,944 13

Redeemed (11,872) (70) (21,121) (136)

Net Increase (Decrease)—Institutional Shares (7,950) (46) 5,455 34

At February 29, 2020, one shareholder was the record or beneficial owner of 27% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.

G. Market disruptions associated with the COVID-19 pandemic have had a global impact, and uncertainty exists as to the long-term implications. Such disruptions can adversely affect assets of the fund and thus fund performance. Management is continuing to monitor this development and evaluate its impact on the fund.


45

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 conjunctionwith the offering of shares of any Vanguardfund only if preceded or accompanied bythe fund’s current prospectus.

You can obtain a free copy of Vanguard’s proxy votingguidelines by visiting vanguard.com/proxyreporting or bycalling Vanguard at 800-662-2739. The guidelines arealso available from the SEC’s website, www.sec.gov. Inaddition, you may obtain a free report on how your fundvoted the proxies for securities it owned during the 12months ended June 30. To get the report, visit eithervanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on theSEC’s website, and you can receive copies of thisinformation, for a fee, by sending a request via emailaddressed to [email protected].

© 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.

Q8282 042020

vanguard mega cap index funds · mega cap index fund market value• shares ($000) market value...

Documents