SEC Info - Vanguard Index Funds - ‘NSAR-B’ for 12/31/08

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Vanguard Index Funds – ‘NSAR-B’ for 12/31/08

On: Wednesday, 2/25/09, at 12:14pm ET · Effective: 2/25/09 · For: 12/31/08 · Accession #: 932471-9-784 · File #: 811-02652

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 2/25/09  Vanguard Index Funds              NSAR-B     12/31/08    4:139K                                   Vanguard Horizon Funds
          → Vanguard 500 Index Fund ⇒ Admiral Shares (VFIAX) — Investor Shares (VFINX) — Signal Shares (VIFSX)
          → Vanguard Extended Market Index Fund ⇒ Admiral Shares (VEXAX) — ETF Shares (VXF) — Institutional Shares (VIEIX) — Investor Shares (VEXMX) — Signal Shares (VEMSX)
          → Vanguard Growth Index Fund ⇒ Admiral Shares (VIGAX) — ETF Shares (VUG) — Institutional Shares (VIGIX) — Investor Shares (VIGRX) — Signal Shares (VIGSX)
          → Vanguard Large-Cap Index Fund ⇒ Admiral Shares (VLCAX) — ETF Shares (VV) — Institutional Shares (VLISX) — Investor Shares (VLACX) — Signal Shares (VLCSX)
          → Vanguard Mid-Cap Growth Index Fund ⇒ ETF Shares (VOT) — Investor Shares (VMGIX)
          → Vanguard Mid-Cap Index Fund ⇒ Admiral Shares (VIMAX) — ETF Shares (VO) — Institutional Shares (VMCIX) — Investor Shares (VIMSX) — Signal Shares (VMISX)
          → Vanguard Mid-Cap Value Index Fund ⇒ ETF Shares (VOE) — Investor Shares (VMVIX)
          → Vanguard Small-Cap Growth Index Fund ⇒ ETF Shares (VBK) — Institutional Shares (VSGIX) — Investor Shares (VISGX)
          → Vanguard Small-Cap Index Fund ⇒ Admiral Shares (VSMAX) — ETF Shares (VB) — Institutional Shares (VSCIX) — Investor Shares (NAESX) — Signal Shares (VSISX)
          → Vanguard Small-Cap Value Index Fund ⇒ ETF Shares (VBR) — Institutional Shares (VSIIX) — Investor Shares (VISVX)
          → Vanguard Total Stock Market Index Fund ⇒ Admiral Shares (VTSAX) — ETF Shares (VTI) — Institutional Shares (VITSX) — Investor Shares (VTSMX) — Signal Shares (VTSSX)
          → Vanguard Value Index Fund ⇒ Admiral Shares (VVIAX) — ETF Shares (VTV) — Institutional Shares (VIVIX) — Investor Shares (VIVAX) — Signal Shares (VVISX)

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: NSAR-B      Index Trust Nsar                                      48    198K 
 2: EX-99.77B ACCT LTTR  Pwc Opinion                                   2±    10K 
 4: EX-99.77Q3 OTHR EXHB  Declaration of Trust                        23±    84K 
 3: EX-99.77Q3 OTHR EXHB  Supplemental Information                     8±    35K

‘NSAR-B’ — Index Trust Nsar

SEC Info℠ rendering: Data from the Answer File, which may only contain updates to a prior Form N-SAR

Form N-SAR

Annual Report by an Open-End Investment Company

Report
Registrant: Vanguard Index Funds — List all N-SARs

Annual Report for the 2nd-half period ended at fiscal year end: 12/31/08

Were there any Answer File errors in the Filing? None FoundNone Found by SEC InfoNot Checked by the FilerOne or more Found by SEC Info
Was the Answer File completed by the Registrant? Yes

Is this an Amendment to a previous Report? No
Is this a change to a previous Report? No
Registrant
1. SEC CIK: 36405
SEC File #: 811-02652

Telephone #: 610-669-1000
2. Address: 100 Vanguard Boulevard
Malvern, PA 19355
3. Is this the first Form N-SAR filed by the Registrant? No
4. Is this the final Form N-SAR filed by the Registrant? No
Funds/Series ↑Top of Form N-SAR
7. Is the Registrant a Funds/Series (multiple portfolios) company? Yes

The number of separate Funds/Series (portfolios) at period end: 12
The number of separate Funds/Series (portfolios) reported here: 12...

N-SAR S# Fund/Series — Filings for F/S#… ⇒ Symbols
↓Information Common to All
↓ Series 1: Vanguard 500 Index Fund — S#2839 ⇒ VFIAX & 2 more
↓ Series 2: Vanguard Extended Market Index Fund — S#2841 ⇒ VEXAX & 4 more
↓ Series 5: Vanguard Growth Index Fund — S#2842 ⇒ VIGAX & 4 more
↓ Series 10: Vanguard Large-Cap Index Fund — S#2843 ⇒ VLCAX & 4 more
↓ Series 11: Vanguard Mid-Cap Growth Index Fund — S#12756 ⇒ VOT & VMGIX
↓ Series 7: Vanguard Mid-Cap Index Fund — S#2844 ⇒ VIMAX & 4 more
↓ Series 12: Vanguard Mid-Cap Value Index Fund — S#12757 ⇒ VOE & VMVIX
↓ Series 9: Vanguard Small-Cap Growth Index Fund — S#2846 ⇒ VBK & 2 more
↓ Series 6: Vanguard Small-Cap Index Fund — S#2845 ⇒ VSMAX & 4 more
↓ Series 8: Vanguard Small-Cap Value Index Fund — S#2847 ⇒ VBR & 2 more
↓ Series 3: Vanguard Total Stock Market Index Fund — S#2848 ⇒ VTSAX & 4 more
↓ Series 4: Vanguard Value Index Fund — S#2840 ⇒ VVIAX & 4 more
Family of Investment Companies
19. Is the Registrant/Series part of a “family” of investment companies? Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family: 155

The Identification Code of the family for Form N-SAR Filings: VANGUARDGR
Investment Company Type
27. Is the Registrant an “open-end” investment company? Yes, Open-End
Additional Disclosures
77. Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
↑Exhibits in this Filing — or separately and incorporated by reference)? Yes

EX-99.77B: Accountant’s Report re: Internal Controls? Yes

EX-99.77Q3: Other Info? Yes
Subsidiaries
78. Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report? No
All Series ↑List of 12 Funds/Series Reported Here

Information Common to All Funds/Series
All: Investment Adviser
8.1 Name: The Vanguard Group, Inc.
Role: Adviser
SEC File #: 801-11953
Location: Malvern, PA
All: Administrator
10.1 Name: The Vanguard Group, Inc.
SEC File #: 801-11953
Location: Malvern, PA
All: Principal Underwriter
11.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
Location: Malvern, PA
All: Shareholder Servicing/Transfer Agent
12.1 Name: The Vanguard Group, Inc.
SEC File #: 084-00772
Location: Malvern, PA
All: Independent Public Accountant
13.1 Name: Pricewaterhousecoopers LLP
Location: Philadelphia, PA
All: Affiliated Broker/Dealer
14.1 Name: Vanguard Marketing Corp.
SEC File #: 008-21570
All: Custodian
18. Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4? Yes
All: Brokerage Commissions Paid on Portfolio Transactions
20. The brokers who received the largest amount of gross brokerage
commissions during the period:
20.1 Broker: Itg, Inc.
IRS #: 95-4339369
Commissions paid ($000s): 4,124
20.2 Broker: Citigroup Global Markets Inc.
IRS #: 13-2919773
Commissions paid ($000s): 1,147
20.3 Broker: Morgan Stanley
IRS #: 13-2655998
Commissions paid ($000s): 1,130
20.4 Broker: Banc of America Securities LLC
IRS #: 56-2058405
Commissions paid ($000s): 1,037
20.5 Broker: Goldman, Sachs & Co.
IRS #: 13-5108880
Commissions paid ($000s): 973
20.6 Broker: Credit Suisse Securities (USA) LLC
IRS #: 13-5659485
Commissions paid ($000s): 928
20.7 Broker: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Commissions paid ($000s): 785
20.8 Broker: Liquidnet, Inc.
IRS #: 13-4095933
Commissions paid ($000s): 739
20.9 Broker: UBS Securities LLC
IRS #: 13-3873456
Commissions paid ($000s): 661
20.10 Broker: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Commissions paid ($000s): 643
21. Total brokerage commissions paid by the Registrant during the period:
Aggregate paid ($000s): 14,027
All: Portfolio Transactions with Entities Acting as Principals
22. The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
22.1 Entity: Vanguard Market Liquidity Fund
IRS #: 20-0961056
Registrant’s purchases ($000s): 26,224,402
Registrant’s sales ($000s): 25,947,330
22.2 Entity: Vanguard Growth Index Fund
IRS #: 23-2695174
Registrant’s purchases ($000s): 1,791,906
Registrant’s sales ($000s): 1,066,540
22.3 Entity: Vanguard Value Index Fund
IRS #: 23-2695173
Registrant’s purchases ($000s): 901,335
Registrant’s sales ($000s): 1,804,078
22.4 Entity: Vanguard Mid-Cap Index Fund
IRS #: 23-2952932
Registrant’s purchases ($000s): 603,327
Registrant’s sales ($000s): 527,884
22.5 Entity: Vanguard Small-Cap Value Index Fund
IRS #: 23-2953110
Registrant’s purchases ($000s): 512,941
Registrant’s sales ($000s): 586,939
22.6 Entity: Vanguard Small-Cap Growth Index Fund
IRS #: 23-2953099
Registrant’s purchases ($000s): 653,242
Registrant’s sales ($000s): 437,340
22.7 Entity: Vanguard Total Stock Market Index Fund
IRS #: 23-2671505
Registrant’s purchases ($000s): 184,057
Registrant’s sales ($000s): 549,770
22.8 Entity: Vanguard Small-Cap Index Fund
IRS #: 52-0794097
Registrant’s purchases ($000s): 428,700
Registrant’s sales ($000s): 276,399
22.9 Entity: Goldman, Sachs & Co.
IRS #: 13-5108880
Registrant’s purchases ($000s): 428,096
22.10 Entity: Anheuser-Busch Cos., Inc.
Registrant’s sales ($000s): 1,011,729
23. Total purchase/sale transactions by the Registrant during the period:
Aggregate purchases ($000s): 33,756,112
Aggregate sales ($000s): 37,002,705
All: Considerations which Affected the Participation of Brokers or Dealers
26. Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?
Sales of the Registrant’s/Series’ shares ............................... No
Receipt of investment research and statistical info .................... Yes
Receipt of quotations for portfolio valuations ......................... No
Ability to execute portfolio transactions to obtain the best price
and execution ........................................................ Yes
Receipt of telephone line and wire services ............................ No
Broker or Dealer which is an affiliated person ......................... No
An arrangement to return or credit part or all of commissions or
profits thereon...
To an Investment Adviser or Principal Underwriter, or to an
affiliated person of either ...................................... No
To the Registrant .................................................. No
Other .................................................................. No
All: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
29. Was a front-end sales load deducted from any share sales during the
period? No
34. Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period? No
All: Payment Plan for the Distribution of Fund Shares
42. For the period, the percentage of total dollars paid directly by the
Registrant/Series under the 12b-1 plan for each of the following:

Percentage of Total Amount Paid (%)
Advertising ............................................................ –
Printing & mailing of prospectuses to other than current shareholders .. –
Payments to underwriters ............................................... –
Payments to brokers or dealers ......................................... –
Direct payments to sales personnel ..................................... –
Payments to banks and savings & loans .................................. –
Other uses, including payments to its Investment Adviser separate
from the advisory fee ................................................ –
Unallocated payments made for a combination of such services ........... –
43. Total amount paid directly by the Registrant/Series pursuant to its
12b-1 plan ($000s): 0
44. If an Investment Adviser or other affiliated person of the
Registrant/Series made unreimbursed payments pursuant to the 12b-1 plan,
the total amount of such payments ($000s): 0
All: Advisory Fee
45. Did the Registrant/Series have an advisory contract during the period? No
All: Classification and Asset Allocation
62. Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities? No
All: Fidelity Bond in Effect at Fiscal Year End
80. Insurer: ICI Mutual Insurance Co.
2nd Insurer: N/A

Aggregate face amount of coverage for the Registrant/Series on all bonds
on which it is named as an insured ($000s): 400,000
81. Is the bond part of a joint fidelity bond(s) shared with other
investment companies or other entities? Yes

How many other investment companies or other entities are covered by the
bond (counting each Fund/Series as a separate investment company): 194
82. Does the mandatory coverage of the fidelity bond have a deductible? No
83. Were any claims with respect to this Registrant/Series filed under the
bond during the period? No
84. Were any losses incurred with respect to this Registrant/Series that
could have been filed as a claim under the fidelity bond but were not? No
85. Are the Registrant’s/Series’ Officers and Directors covered as Officers
and Directors of the Registrant/Series under any errors and omissions
insurance policy owned by the Registrant/Series or anyone else? Yes

Were any claims filed under such policy during the period with respect
to the Registrant/Series? No
Series 1 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard 500 Index Fund — S#2839 ⇒ VFIAX & 2 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 1: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 1: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 353,070
25.2 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 1,113,454
25.3 Name: Merrill Lynch, Pierce Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 177,018
25.4 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 161,163
25.5 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 667,735
25.6 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 345,973
S 1: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,066,962
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,389,213
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,099,409
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,093,692
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,551,948
Reinvestment of dividends and distributions ................ 542,361
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,887,723
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,182,343
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,378,930
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,345,350
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,409,591
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,940,650
Reinvestment of dividends and distributions ................ 590,321
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,595,196

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 9,186,662
Reinvestment of dividends and distributions ................ 1,132,682
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 10,754,345

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 1: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 1: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 1: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 1: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Was the Registrant/Series a diversified investment company at the end of
the period? Yes
61. The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity: $3,000
66. Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 1: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 1: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 5,870,798
Sales ($000s): 6,352,184

Monthly average Value of portfolio ($000s): 102,392,046

Percent turnover (lesser of Purchases or Sales, divided by Value): 6%
S 1: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 10,736
Net dividend income .............................................. 2,319,593
Account maintenance fees ......................................... –
Net other income ................................................. 29,353

Expenses ($000s)
Advisory fees .................................................... 2,411
Administrator fees ............................................... 47,750
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 44,975
Custodian fees ................................................... 272
Postage .......................................................... –
Printing expenses ................................................ 1,382
Directors’ fees .................................................. 159
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 27
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 24,508
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 121,484

Expense reimbursements ($000s): 0

Net investment income ($000s): 2,238,198

Realized capital gains ($000s): 1,843,764
Realized capital losses ($000s): 3,874,383

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 44,962,918

Total income dividends for which the record date passed during the
period ($000s): 0

Total capital gains distributions for which the record date passed
during the period ($000s): 0
73. Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 1: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 80,983
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 74,398,370
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 869,775
Receivables from portfolio instruments sold ...................... 311,261
Receivables from affiliated persons .............................. –
Other receivables ................................................ 370,127
All other assets ................................................. –
Total assets ..................................................... 76,030,516

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 107,084
Amounts owed to affiliated persons ............................... 244,671
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 792,731

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 74,886,030

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 2,575,381

Total value of assets in segregated accounts ($000s): 80,983
Series 2 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Extended Market Index Fund — S#2841 ⇒ VEXAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 2: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 2: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S 2: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 414,982
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 375,531
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 347,005
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 309,614
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 410,409
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 376,282
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 510,481
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 410,112
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 455,501
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 290,712
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 494,999
Reinvestment of dividends and distributions ................ 140,829
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 458,308

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,633,377
Reinvestment of dividends and distributions ................ 140,829
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,220,559

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 2: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 2: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 2: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? Yes
S 2: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 2: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 2: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 3,689,060
Sales ($000s): 3,057,236

Monthly average Value of portfolio ($000s): 12,042,657

Percent turnover (lesser of Purchases or Sales, divided by Value): 25%
S 2: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 1,142
Net dividend income .............................................. 146,422
Account maintenance fees ......................................... –
Net other income ................................................. 27,680

Expenses ($000s)
Advisory fees .................................................... 352
Administrator fees ............................................... 3,309
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 9,067
Custodian fees ................................................... 600
Postage .......................................................... –
Printing expenses ................................................ 493
Directors’ fees .................................................. 19
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 29
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 3,172
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 17,041

Expense reimbursements ($000s): 0

Net investment income ($000s): 158,203

Realized capital gains ($000s): 971,044
Realized capital losses ($000s): 1,228,470

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 5,332,324

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 2: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 165
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 9,996
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 8,869,714
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 309,634
Receivables from portfolio instruments sold ...................... 157,886
Receivables from affiliated persons .............................. –
Other receivables ................................................ 81,976
All other assets ................................................. –
Total assets ..................................................... 9,429,371

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 76,311
Amounts owed to affiliated persons ............................... 20,710
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 390,663

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 8,941,687

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 336,730

Total value of assets in segregated accounts ($000s): 9,996
75. Monthly average net assets during the period ($000s): 4,405,414
Series 3 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Total Stock Market Index Fund — S#2848 ⇒ VTSAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 3: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 3: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 601,356
25.2 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 982,377
25.3 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 135,420
25.4 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 150,294
25.5 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 279,084
25.6 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 309,027
25.7 Name: Itg, Inc.
IRS #: 95-4339369
Type of security owned: Equity
Value of securities owned at period end ($000s): 8,415
S 3: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,999,045
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,198,486
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,553,234
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,014,502
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,810,604
Reinvestment of dividends and distributions ................ 407,378
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,864,655
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 5,837,098
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 3,679,755
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,347,845
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,597,084
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,816,482
Reinvestment of dividends and distributions ................ 489,336
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,009,944

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 20,364,308
Reinvestment of dividends and distributions ................ 896,714
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 11,364,426

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 3: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 3: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 3: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? Yes
S 3: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 3: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 3: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 27,319,659
Sales ($000s): 6,224,186

Monthly average Value of portfolio ($000s): 98,768,327

Percent turnover (lesser of Purchases or Sales, divided by Value): 6%
S 3: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 17,208
Net dividend income .............................................. 2,071,308
Account maintenance fees ......................................... –
Net other income ................................................. 66,307

Expenses ($000s)
Advisory fees .................................................... 2,142
Administrator fees ............................................... 50,750
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 29,433
Custodian fees ................................................... 1,276
Postage .......................................................... –
Printing expenses ................................................ 597
Directors’ fees .................................................. 133
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 29
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 25,679
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 110,039

Expense reimbursements ($000s): 0

Net investment income ($000s): 2,044,784

Realized capital gains ($000s): 1,324,882
Realized capital losses ($000s): 3,261,985

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 43,532,330

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 3: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 416
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 74,969
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 81,273,172
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 1,126,713
Receivables from portfolio instruments sold ...................... 36,673
Receivables from affiliated persons .............................. –
Other receivables ................................................ 653,927
All other assets ................................................. –
Total assets ..................................................... 83,165,870

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 317,147
Amounts owed to affiliated persons ............................... 125,988
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 803,563

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 81,919,172

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 1,097,476

Total value of assets in segregated accounts ($000s): 74,969
75. Monthly average net assets during the period ($000s): 99,237,450
Series 4 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Value Index Fund — S#2840 ⇒ VVIAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 4: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 4: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 141,768
25.2 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 231,715
25.3 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 31,937
25.4 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 35,587
25.5 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 72,890
25.6 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 32,906
S 4: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 201,382
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 178,131
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 193,540
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 102,588
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 173,779
Reinvestment of dividends and distributions ................ 63,276
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 186,086
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 570,809
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 401,249
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 840,362
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 542,254
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 390,057
Reinvestment of dividends and distributions ................ 60,067
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 376,089

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,369,929
Reinvestment of dividends and distributions ................ 123,343
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,786,397

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 4: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 4: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 4: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 4: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 4: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 4: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 5,391,433
Sales ($000s): 4,013,140

Monthly average Value of portfolio ($000s): 10,646,516

Percent turnover (lesser of Purchases or Sales, divided by Value): 38%
S 4: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 738
Net dividend income .............................................. 347,246
Account maintenance fees ......................................... –
Net other income ................................................. 3,643

Expenses ($000s)
Advisory fees .................................................... 319
Administrator fees ............................................... 5,118
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 4,666
Custodian fees ................................................... 515
Postage .......................................................... –
Printing expenses ................................................ 281
Directors’ fees .................................................. 15
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 25
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 2,906
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 13,845

Expense reimbursements ($000s): 0

Net investment income ($000s): 337,782

Realized capital gains ($000s): 488,401
Realized capital losses ($000s): 1,163,846

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 4,128,281

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 4: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 15
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 8,675,880
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 25,020
Receivables from portfolio instruments sold ...................... 21,188
Receivables from affiliated persons .............................. –
Other receivables ................................................ 46,641
All other assets ................................................. –
Total assets ..................................................... 8,768,744

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 34,068
Amounts owed to affiliated persons ............................... 15,691
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 44,915

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 8,674,070

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 228,517

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 10,648,089
Series 5 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Growth Index Fund — S#2842 ⇒ VIGAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 5: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 5: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 43,868
S 5: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 286,422
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 157,752
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 221,830
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 131,983
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 287,265
Reinvestment of dividends and distributions ................ 26,048
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 285,038
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 411,975
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 381,675
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 201,211
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 181,628
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 323,721
Reinvestment of dividends and distributions ................ 31,599
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 277,830

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,732,424
Reinvestment of dividends and distributions ................ 57,647
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 1,415,906

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 5: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 5: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 5: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 5: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 5: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes No
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 5: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 5,613,489
Sales ($000s): 4,380,893

Monthly average Value of portfolio ($000s): 15,198,297

Percent turnover (lesser of Purchases or Sales, divided by Value): 29%
S 5: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 559
Net dividend income .............................................. 169,325
Account maintenance fees ......................................... –
Net other income ................................................. 5,044

Expenses ($000s)
Advisory fees .................................................... 406
Administrator fees ............................................... 7,810
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 8,895
Custodian fees ................................................... 414
Postage .......................................................... –
Printing expenses ................................................ 512
Directors’ fees .................................................. 23
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 25
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 4,028
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 22,113

Expense reimbursements ($000s): 0

Net investment income ($000s): 152,815

Realized capital gains ($000s): 902,826
Realized capital losses ($000s): 1,413,956

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 6,513,214

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 5: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 11,264,529
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 29,340
Receivables from portfolio instruments sold ...................... 28,373
Receivables from affiliated persons .............................. –
Other receivables ................................................ 36,664
All other assets ................................................. –
Total assets ..................................................... 11,358,906

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 7,602
Amounts owed to affiliated persons ............................... 27,608
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 55,554

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 11,268,142

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 441,408

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 15,198,830
Series 6 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Small-Cap Index Fund — S#2845 ⇒ VSMAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 6: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 6: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Itg, Inc.
IRS #: 95-4339369
Type of security owned: Equity
Value of securities owned at period end ($000s): 10,552
S 6: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 376,086
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 222,739
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 624,183
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 401,789
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 318,060
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 229,991
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 400,464
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 421,979
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 630,202
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 499,064
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 422,436
Reinvestment of dividends and distributions ................ 168,649
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 244,079

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 2,771,431
Reinvestment of dividends and distributions ................ 168,649
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,019,641

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 6: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 6: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 6: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 6: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? Yes
Growth? No
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 6: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 6: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 5,603,316
Sales ($000s): 4,271,368

Monthly average Value of portfolio ($000s): 13,349,456

Percent turnover (lesser of Purchases or Sales, divided by Value): 32%
S 6: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 2,002
Net dividend income .............................................. 188,224
Account maintenance fees ......................................... –
Net other income ................................................. 37,057

Expenses ($000s)
Advisory fees .................................................... 373
Administrator fees ............................................... 5,791
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 8,815
Custodian fees ................................................... 595
Postage .......................................................... –
Printing expenses ................................................ 362
Directors’ fees .................................................. 21
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 29
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 3,717
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 19,703

Expense reimbursements ($000s): 0

Net investment income ($000s): 207,580

Realized capital gains ($000s): 1,517,822
Realized capital losses ($000s): 987,110

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 6,344,995

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 6: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 3,642
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 13,996
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 10,310,648
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 427,443
Receivables from portfolio instruments sold ...................... 140
Receivables from affiliated persons .............................. –
Other receivables ................................................ 69,628
All other assets ................................................. –
Total assets ..................................................... 10,825,497

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 39,169
Amounts owed to affiliated persons ............................... 20,595
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 330,345

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 10,435,388

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 379,716

Total value of assets in segregated accounts ($000s): 13,996
75. Monthly average net assets during the period ($000s): 13,408,845
Series 7 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Mid-Cap Index Fund — S#2844 ⇒ VIMAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 7: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 7: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S 7: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 391,474
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 297,585
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 625,232
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 380,065
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 458,202
Reinvestment of dividends and distributions ................ 1
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 432,048
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 534,647
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 499,590
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 745,949
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 730,403
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 548,517
Reinvestment of dividends and distributions ................ 214,024
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 422,513

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 3,304,021
Reinvestment of dividends and distributions ................ 214,025
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 2,762,204

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 7: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 7: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 7: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 7: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 7: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 7: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 7,697,005
Sales ($000s): 6,431,445

Monthly average Value of portfolio ($000s): 17,799,892

Percent turnover (lesser of Purchases or Sales, divided by Value): 36%
S 7: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 909
Net dividend income .............................................. 259,773
Account maintenance fees ......................................... –
Net other income ................................................. 16,828

Expenses ($000s)
Advisory fees .................................................... 482
Administrator fees ............................................... 7,242
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 10,617
Custodian fees ................................................... 436
Postage .......................................................... –
Printing expenses ................................................ 628
Directors’ fees .................................................. 27
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 27
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 5,032
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 24,491

Expense reimbursements ($000s): 0

Net investment income ($000s): 253,019

Realized capital gains ($000s): 1,154,585
Realized capital losses ($000s): 1,533,359

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 8,785,676

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 7: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 4,998
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 12,773,506
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 181,534
Receivables from portfolio instruments sold ...................... 47,144
Receivables from affiliated persons .............................. –
Other receivables ................................................ 62,665
All other assets ................................................. –
Total assets ..................................................... 13,069,847

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 28,728
Amounts owed to affiliated persons ............................... 21,576
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 224,739

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 12,794,804

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 437,848

Total value of assets in segregated accounts ($000s): 4,998
75. Monthly average net assets during the period ($000s): 17,822,503
Series 8 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Small-Cap Value Index Fund — S#2847 ⇒ VBR & 2 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 8: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 8: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S 8: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 219,393
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 116,326
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 173,856
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 58,901
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 119,626
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 129,191
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 238,620
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 125,829
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 257,019
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 226,472
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 160,822
Reinvestment of dividends and distributions ................ 70,619
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 123,989

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,169,336
Reinvestment of dividends and distributions ................ 70,619
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 780,708

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 8: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 8: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 8: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? Yes
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 8: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? Yes
Growth? No
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 8: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 8: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 2,947,827
Sales ($000s): 2,389,501

Monthly average Value of portfolio ($000s): 4,489,195

Percent turnover (lesser of Purchases or Sales, divided by Value): 53%
S 8: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 670
Net dividend income .............................................. 103,454
Account maintenance fees ......................................... –
Net other income ................................................. 9,656

Expenses ($000s)
Advisory fees .................................................... 164
Administrator fees ............................................... 2,732
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 3,731
Custodian fees ................................................... 376
Postage .......................................................... –
Printing expenses ................................................ 157
Directors’ fees .................................................. 8
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 29
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 1,268
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 8,465

Expense reimbursements ($000s): 0

Net investment income ($000s): 105,315

Realized capital gains ($000s): 450,034
Realized capital losses ($000s): 609,350

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 1,598,768

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 8: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 4,999
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 3,712,440
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 57,011
Receivables from portfolio instruments sold ...................... 1,859
Receivables from affiliated persons .............................. –
Other receivables ................................................ 20,943
All other assets ................................................. –
Total assets ..................................................... 3,797,252

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 4,962
Amounts owed to affiliated persons ............................... 8,136
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 72,222

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 3,711,932

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 181,432

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 4,507,177
Series 9 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Small-Cap Growth Index Fund — S#2846 ⇒ VBK & 2 more

Is this the final Form N-SAR filed for this Fund/Series? No
S 9: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S 9: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: Itg, Inc.
IRS #: 95-4339369
Type of security owned: Equity
Value of securities owned at period end ($000s): 6,229
S 9: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 172,848
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 87,453
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 305,986
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 153,938
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 183,902
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 122,676
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 166,931
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 116,763
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 151,156
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 188,324
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 108,965
Reinvestment of dividends and distributions ................ 18,712
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 73,040

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,089,788
Reinvestment of dividends and distributions ................ 18,712
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 742,194

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S 9: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S 9: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S 9: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S 9: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? Yes
Growth? No
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S 9: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S 9: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 3,227,645
Sales ($000s): 2,596,243

Monthly average Value of portfolio ($000s): 3,998,604

Percent turnover (lesser of Purchases or Sales, divided by Value): 65%
S 9: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 498
Net dividend income .............................................. 20,567
Account maintenance fees ......................................... –
Net other income ................................................. 11,734

Expenses ($000s)
Advisory fees .................................................... 148
Administrator fees ............................................... 2,056
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 3,069
Custodian fees ................................................... 390
Postage .......................................................... –
Printing expenses ................................................ 190
Directors’ fees .................................................. 6
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 28
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 1,144
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 7,031

Expense reimbursements ($000s): 0

Net investment income ($000s): 25,768

Realized capital gains ($000s): 499,559
Realized capital losses ($000s): 874,151

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 1,579,920

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S 9: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. –
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 4,499
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 3,046,048
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 119,827
Receivables from portfolio instruments sold ...................... 29
Receivables from affiliated persons .............................. –
Other receivables ................................................ 33,103
All other assets ................................................. –
Total assets ..................................................... 3,203,506

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 19,569
Amounts owed to affiliated persons ............................... 5,112
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 117,330

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 3,061,495

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 129,246

Total value of assets in segregated accounts ($000s): 4,499
75. Monthly average net assets during the period ($000s): 4,013,476
Series 10 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Large-Cap Index Fund — S#2843 ⇒ VLCAX & 4 more

Is this the final Form N-SAR filed for this Fund/Series? No
S10: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S10: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? Yes

25.
The brokers or dealers, or their parents (issuers):
25.1 Name: (See a prior Form N-SAR for who was...) Deleted
25.2 Name: Banc of America Securities LLC
IRS #: 56-2058405
Type of security owned: Equity
Value of securities owned at period end ($000s): 23,912
25.3 Name: J.P. Morgan Securities Inc.
IRS #: 13-3224016
Type of security owned: Equity
Value of securities owned at period end ($000s): 39,038
25.4 Name: Morgan Stanley
IRS #: 13-2655998
Type of security owned: Equity
Value of securities owned at period end ($000s): 5,382
25.5 Name: Goldman, Sachs & Co.
IRS #: 13-5108880
Type of security owned: Equity
Value of securities owned at period end ($000s): 11,096
25.6 Name: Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #: 13-5674085
Type of security owned: Equity
Value of securities owned at period end ($000s): 5,965
25.7 Name: Citigroup Global Markets Inc.
IRS #: 13-2919773
Type of security owned: Equity
Value of securities owned at period end ($000s): 12,280
S10: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 91,369
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 35,025
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 147,243
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 23,552
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 94,913
Reinvestment of dividends and distributions ................ 3,343
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 54,222
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 319,765
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 48,432
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 770,229
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 454,145
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 536,345
Reinvestment of dividends and distributions ................ 4,694
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 49,181

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 1,959,864
Reinvestment of dividends and distributions ................ 8,037
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 664,557

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S10: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S10: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S10: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? No
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S10: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? No
Growth and income? Yes
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S10: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S10: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 2,662,215
Sales ($000s): 673,648

Monthly average Value of portfolio ($000s): 2,273,586

Percent turnover (lesser of Purchases or Sales, divided by Value): 30%
S10: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 520
Net dividend income .............................................. 51,183
Account maintenance fees ......................................... –
Net other income ................................................. 447

Expenses ($000s)
Advisory fees .................................................... 111
Administrator fees ............................................... 1,019
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. –
Custodian fees ................................................... 307
Postage .......................................................... –
Printing expenses ................................................ 73
Directors’ fees .................................................. 3
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 27
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 571
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 2,111

Expense reimbursements ($000s): 0

Net investment income ($000s): 50,039

Realized capital gains ($000s): 79,745
Realized capital losses ($000s): 65,854

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 979,263

Total income dividends for which the record date passed during the
period ($000s): 0

Dividends from net investment income: $0.0000

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S10: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 160
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 1,999
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 2,885,781
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 23,783
Receivables from portfolio instruments sold ...................... 593
Receivables from affiliated persons .............................. –
Other receivables ................................................ 25,092
All other assets ................................................. –
Total assets ..................................................... 2,937,408

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 34,182
Amounts owed to affiliated persons ............................... 1,496
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 4,727

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 2,897,003

Number of shares outstanding (000s): 0

Net Asset Value (NAV) per share (to nearest cent): $0.00

Total number of shareholder accounts: 53,221

Total value of assets in segregated accounts ($000s): 1,999
75. Monthly average net assets during the period ($000s): 2,276,773
Series 11 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Mid-Cap Growth Index Fund — S#12756 ⇒ VOT & VMGIX

Is this the final Form N-SAR filed for this Fund/Series? No
S11: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S11: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S11: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 97,438
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 54,991
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 83,425
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 62,309
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 88,991
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 25,506
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 78,483
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 38,868
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 58,007
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 58,167
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 69,232
Reinvestment of dividends and distributions ................ 1,144
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 36,331

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 475,576
Reinvestment of dividends and distributions ................ 1,144
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 276,172

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S11: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S11: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S11: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? Yes
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S11: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S11: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S11: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 1,302,840
Sales ($000s): 878,230

Monthly average Value of portfolio ($000s): 838,237

Percent turnover (lesser of Purchases or Sales, divided by Value): 105%
S11: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 49
Net dividend income .............................................. 4,490
Account maintenance fees ......................................... –
Net other income ................................................. 642

Expenses ($000s)
Advisory fees .................................................... 60
Administrator fees ............................................... 425
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 520
Custodian fees ................................................... 183
Postage .......................................................... –
Printing expenses ................................................ 52
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 23
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 232
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 1,496

Expense reimbursements ($000s): 0

Net investment income ($000s): 3,685

Realized capital gains ($000s): 78,514
Realized capital losses ($000s): 219,869

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 357,531

Total income dividends for which the record date passed during the
period ($000s): 1,267
Dividends for a second class of shares ($000s): 2,723

Dividends from net investment income: $0.0640
Dividends for a second class of shares: $0.2270

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S11: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 34
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... –
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 690,005
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 17,439
Receivables from portfolio instruments sold ...................... 1,157
Receivables from affiliated persons .............................. –
Other receivables ................................................ 1,156
All other assets ................................................. –
Total assets ..................................................... 709,791

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 14,355
Amounts owed to affiliated persons ............................... 459
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 6,973

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 688,004

Number of shares outstanding (000s): 20,458
Number of shares outstanding of a second class of shares (000s): 12,114

Net Asset Value (NAV) per share (to nearest cent): $13.43
NAV per share of a second class of shares (to nearest cent): $34.12

Total number of shareholder accounts: 29,394

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 837,717
Series 12 ↑Information Common to All Funds/Series ↑List of 12 Funds/Series
7. Name: Vanguard Mid-Cap Value Index Fund — S#12757 ⇒ VOE & VMVIX

Is this the final Form N-SAR filed for this Fund/Series? No
S12: Custodian
15.1 Name: JP Morgan Chase Bank
Role: Custodian
Location: New York, NY

Type of custody: Section 17(f)(1) — Bank
S12: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers
24. At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities? No
S12: Sales and Repurchases
28. Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
1st Month of period: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 34,915
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 47,560
2nd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 79,157
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 41,822
3rd Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 26,476
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,315
4th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 60,822
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 16,069
5th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 89,023
Reinvestment of dividends and distributions ................ –
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 40,839
6th Month:
Total NAV of shares sold:
New sales (including exchanges) ............................ 69,246
Reinvestment of dividends and distributions ................ 4,584
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 24,889

Total of all months: ($000s)
Total NAV of shares sold:
New sales (including exchanges) ............................ 359,639
Reinvestment of dividends and distributions ................ 4,584
Other ...................................................... –
Total NAV of shares redeemed & repurchased (inc. exchanges) .. 179,494

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s): 0
S12: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance)
37. Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period? No
39. Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period? Yes
S12: Payment Plan for the Distribution of Fund Shares
40. During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1? No
S12: Miscellaneous Info
55. Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
Overdrafts? Yes
Bank loans? No
56. During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies? Yes
57. Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend? No
S12: Classification and Asset Allocation
58. Is the Registrant/Series a Separate Account of an insurance company? No
59. Is the Registrant/Series a management investment company? Yes
60. Was the Registrant/Series a diversified investment company at any time
during the period? Yes

Which best describes its primary investment objective:

Aggressive capital appreciation? No
Capital appreciation? No
Growth? Yes
Growth and income? No
Income? No
Total return? No
67. Is the Registrant/Series a “balanced” Fund? No
68. Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
Engaged primarily in production or distribution of precious metals? No
Located primarily in countries other than the United States? No
69. Is the Registrant/Series an index Fund? Yes
S12: Investment Practices
70. Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity Permitted Engaged In
Writing or investing in repurchase agreements? Yes No
Writing or investing in options on equities? Yes No
Writing or investing in options on debt securities? No –
Writing or investing in options on stock indices? Yes No
Writing or investing in interest rate futures? No –
Writing or investing in stock index futures? Yes to both
Writing or investing in options on futures? Yes No
Writing or investing in options on stock index futures? Yes No
Writing or investing in other commodity futures? No –
Investments in restricted securities? Yes No
Investments in shares of other investment companies? Yes to both
Investments in securities of foreign issuers? Yes No
Currency exchange transactions? Yes No
Loaning portfolio securities? Yes to both
Borrowing of money? Yes No
Purchases/sales by certain exempted affiliated persons? Yes to both
Margin purchases? No –
Short selling? No –
S12: Portfolio Turnover
71. Portfolio turnover rate for the period:
Purchases ($000s): 826,557
Sales ($000s): 417,134

Monthly average Value of portfolio ($000s): 528,992

Percent turnover (lesser of Purchases or Sales, divided by Value): 79%
S12: Financial Info — Income and Expenses
72. The number of months covered by the values in Items 72 and 73: 12

Income ($000s)
Net interest income .............................................. 27
Net dividend income .............................................. 15,268
Account maintenance fees ......................................... –
Net other income ................................................. 288

Expenses ($000s)
Advisory fees .................................................... 52
Administrator fees ............................................... 277
Salaries and other compensation .................................. –
Shareholder Servicing Agent fees ................................. 225
Custodian fees ................................................... 136
Postage .......................................................... –
Printing expenses ................................................ 38
Directors’ fees .................................................. 1
Registration fees ................................................ –
Taxes ............................................................ –
Interest ......................................................... –
Bookkeeping fees paid to anyone performing this service .......... –
Auditing fees .................................................... 26
Legal fees ....................................................... –
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 139
Amortization of organization expenses ............................ –
Shareholder meeting expenses ..................................... –
Other expenses ................................................... –
Total expenses ................................................... 894

Expense reimbursements ($000s): 0

Net investment income ($000s): 14,689

Realized capital gains ($000s): 29,260
Realized capital losses ($000s): 95,924

Net unrealized appreciation during the period ($000s): 0
Net unrealized depreciation during the period ($000s): 173,111

Total income dividends for which the record date passed during the
period ($000s): 5,334
Dividends for a second class of shares ($000s): 9,346

Dividends from net investment income: $0.3400
Dividends for a second class of shares: $0.9050

Distribution of capital gains: $0.0000
Other distributions: $0.0000
S12: Financial Info — Condensed Balance Sheet Data
74. Assets ($000s)
Cash ............................................................. 6
Repurchase agreements ............................................ –
Short-term debt securities, other than repurchase agreements ..... 100
Long-term debt securities, including convertible debt ............ –
Preferred, conv. preferred and adjustable-rate preferred stock ... –
Common stock ..................................................... 577,528
Options on equities .............................................. –
Options on all futures ........................................... –
Other investments ................................................ 1,180
Receivables from portfolio instruments sold ...................... 1,116
Receivables from affiliated persons .............................. –
Other receivables ................................................ 3,747
All other assets ................................................. –
Total assets ..................................................... 583,677

Liabilities ($000s)
Payables for portfolio instruments purchased ..................... 6,401
Amounts owed to affiliated persons ............................... –
Senior long-term debt ............................................ –
Other liabilities:
Reverse repurchase agreements .................................. –
Short sales .................................................... –
Written options ................................................ –
All other liabilities .......................................... 1,437

Equity ($000s)
Senior equity .................................................... –
Net assets of common shareholders ................................ 575,839

Number of shares outstanding (000s): 16,769
Number of shares outstanding of a second class of shares (000s): 10,950

Net Asset Value (NAV) per share (to nearest cent): $12.92
NAV per share of a second class of shares (to nearest cent): $32.80

Total number of shareholder accounts: 19,250

Total value of assets in segregated accounts ($000s): 0
75. Monthly average net assets during the period ($000s): 528,641
Signature ↑Top of Form N-SAR
/s/ Chuck Simpkins
Name: Chuck Simpkins
Title: Manager

↑Top

Filing Submission 0000932471-09-000784 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Vanguard Index Funds – ‘NSAR-B’ for 12/31/08

On: Wednesday, 2/25/09, at 12:14pm ET · Effective: 2/25/09 · For: 12/31/08 · Accession #: 932471-9-784 · File #: 811-02652

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Annual Report by an Investment Company — Form N-SAR — ICA’40Filing Table of Contents

‘NSAR-B’ — Index Trust Nsar

Annual Report by an Investment Company — Form N-SAR — ICA’40
Filing Table of Contents