q850.pdf

Vanguard Total Stock Market Index Fund

Annual Report | December 31, 2014

Contents

Please note: The opinions expressed in this report are just thatinformed opinions. They should not be considered promises or advice.Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, therisks of investing in your fund are spelled out in the prospectus.

See the Glossary for definitions of investment terms used in this report.About the cover: Since our founding, Vanguard has drawn inspiration from the enterprise and valor demonstrated by Britishnaval hero Horatio Nelson and his command at the Battle of the Nile in 1798. The photograph displays a replica of a merchantship from the same era as Nelsons flagship, the HMS Vanguard.

The mission continues

On May 1, 1975, Vanguard began operations, a fledgling company basedon the simple but revolutionary idea that a mutual fund company shouldbe managed solely in the interest of its investors.

Four decades later, that revolutionary spirit continues to animate theenterprise. Vanguard remains on a mission to give investors the bestchance of investment success.

As we mark our 40th anniversary, we thank you for entrusting your assetsto Vanguard and giving us the opportunity to help you reach your financialgoals in the decades to come.

Your Funds Total Returns. . . . . . . . . . . . . . . . . . . . . . . . . . . 1

Chairmans Letter. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Fund Profile. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .9

Performance Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . .11

Financial Statements. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

Your Funds After-Tax Returns. . . . . . . . . . . . . . . . . . . . . . . 32

About Your Funds Expenses. . . . . . . . . . . . . . . . . . . . . . . . 33

Glossary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35

Your Funds Total Returns

1

Fiscal Year Ended December 31, 2014

TotalReturns


Investor Shares 12.43%

Admiral Shares 12.56

Institutional Shares 12.56

ETF Shares

Market Price 12.57

Net Asset Value 12.56

CRSP US Total Market Index 12.58

Multi-Cap Core Funds Average 9.58

Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.

Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares areavailable to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF Sharesshown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSEArca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York StockExchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information abouthow the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Priceand Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price wasabove or below the NAV.

Your Funds Performance at a GlanceDecember 31, 2013, Through December 31, 2014

Distributions Per Share

StartingSharePrice

EndingSharePrice

IncomeDividends

CapitalGains


Investor Shares $46.67 $51.58 $0.851 $0.000

Admiral Shares 46.69 51.60 0.910 0.000

Institutional Shares 46.69 51.60 0.913 0.000

ETF Shares 95.91 106.00 1.869 0.000

Chairmans Letter

2

Dear Shareholder,

The broad U.S. stock market cleared several hurdles on its way to another year of strong gains. Several times during 2014, international conflicts and global economic troubles temporarily halted stocks momentum. Each decline, however, was followed by another surge forward, and the broad market finished the year near an all-time high.

Vanguard Total Stock Market Index Fund, whose mix of growth and value stocks across all market capitalizations provides investors with exposure to the entire U.S. equity market, returned more than 12% for the 12 months ended December 31, 2014. The fund closely tracked the return of its benchmark, the CRSP US Total Market Index, and outpaced the average return of its multi-cap core fund peers by about 3 percentage points.

Please note that the funds Signal Shares were converted to Admiral Shares in October 2014 as part of a year-long plan to streamline Vanguards share-class offerings. If you hold Vanguard Total Stock Market Index Fund in a taxable account, you may wish to review the information about after-tax returns that appears later in this report.

U.S. stocks finished stronglyfor the sixth straight yearU.S. stocks returned nearly 13% for the 12 months ended December 31, 2014, posting gains for the sixth consecutive

3Market Barometer

Average Annual Total ReturnsPeriods Ended December 31, 2014

OneYear

ThreeYears

FiveYears

Stocks

Russell 1000 Index (Large-caps) 13.24% 20.62% 15.64%

Russell 2000 Index (Small-caps) 4.89 19.21 15.55

Russell 3000 Index (Broad U.S. market) 12.56 20.51 15.63

FTSE All-World ex US Index (International) -3.31 9.41 4.75

Bonds

Barclays U.S. Aggregate Bond Index (Broad taxable market) 5.97% 2.66% 4.45%

Barclays Municipal Bond Index (Broad tax-exempt market) 9.05 4.30 5.16

Citigroup Three-Month U.S. Treasury Bill Index 0.03 0.04 0.06

CPI

Consumer Price Index 0.76% 1.33% 1.69%

calendar year. Rising corporate earnings, the growing U.S. economy, and generally accommodative global monetary policies lifted domestic markets even as Europe and China faced economic challenges, tensions flared in the Middle East and Ukraine, and concerns arose over stocks high valuations.

Although the Federal Reserve ended its stimulative bond-buying program in October, investors seemed to be reassured by the Feds stance that it will be patient as it decides when to increase short-term interest rates. Other central banksincluding the Bank of Japan, the European Central Bank, and the Peoples Bank of Chinaalso announced significant stimulus measures.

International stocks didnt fare as well as their U.S. counterparts, returning about 3% in dollar terms. Their performance was hurt as many foreign currencies weakened against the U.S. dollar. Emerging-market stocks rose slightly, while stocks from the developed markets of Europe and the Pacific region retreated.

Defying analysts expectations, bond prices rose during the periodBond prices received a boost from moves by many of the worlds central banks along with various global economic, market, and geopolitical challenges that drew investors to perceived safe havens. In an unexpected rebound from the previous year, the broad U.S. bond market returned 5.97% for the period.

4Expense RatiosYour Fund Compared With Its Peer Group

InvestorShares

AdmiralShares

InstitutionalShares

ETFShares

Peer GroupAverage

Total Stock Market Index Fund 0.17% 0.05% 0.04% 0.05% 1.17%

The fund expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For thefiscal year ended December 31, 2014, the funds expense ratios were: 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.04% forInstitutional Shares, and 0.05% for ETF Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson ReutersCompany, and captures information through year-end 2013.

Peer group: Multi-Cap Core Funds.

Even with the Feds paring back of its bond purchases, prices climbed and yields fell. (Bond prices and yields move in opposite directions.) The yield of the 10-year Treasury note ended December at 2.19%, down from 2.97% at the close of December 2013.

Municipal bonds returned 9.05%, benefiting from increased demand and generally limited supply.

International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.08%.

As for money market funds and savings accounts, their returns remained minuscule, as the Feds target for short-term interest rates remained between 0% and 0.25%.

Returns were generally strong,with some notable exceptionsOverall the funds performance was positive for 2014. While growth and value stocks performed within a tight range, large- and mid-cap stocks surpassed small- caps by a wide margin. Sector returns ranged from as high as about 26% for both health care and utilities to as low as about 10% for the oil and gas sector.

5Total ReturnsTen Years Ended December 31, 2014

AverageAnnual Return

Total Stock Market Index Fund Investor Shares 7.99%

Spliced Total Stock Market Index 8.11

Multi-Cap Core Funds Average 6.73

For a benchmark description, see the Glossary.


The figures shown represent past performance, which is not a guarantee of future results. (Current performance may be lower or higher thanthe performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.)Note, too, that both investment returns and principal value can fluctuate widely, so an investors shares, when sold, could be worth more orless than their original cost.

Health care, one of the funds larger sectors, added the most to overall results. The industry generally profited as investors anticipated a rise in spending given the aging population and the expanded number of insured under the Affordable Care Act, although there are still concerns about the effects of regulation on the managed care industry.

New product development, mergers and acquisitions, and strategic alliances have boosted pharmaceutical and biotechnology companies, although the latter endured some turbulence related to high valuations earlier in the year. Innovative new products and therapies helped medical care equip-ment firms, and health care providers with diverse membership bases and business lines thrived.

Technology stocks also powered the funds return. Most segments within the sector appreciated, with hardware and semiconductor companies leading the way as demand for the smartphone, mobile technologies, and cloud-based computing grew in the United States and overseas. Results for internet companies were mixed but still positive as the race for advertising dollars and new products continued to evolve and unfold.

The financial sector, the funds largest, was another key to the funds success this year. Low interest rates and the expanding economy propelled real estate investment trusts (REITs) to returns close to 30%. This favorable environment also lifted financial services firms, banks, and insurance firms.

6Increased consumer spending lifted the economy as well as the consumer services and consumer goods sectors. The utilities sector, often unheralded, was a stalwart over the period as the severe winter led to increased earnings and low interest rates attracted some investors to utility stocks higher yields.

Oil and gas stocks were the funds only losing group, while industrials, basic materials, and telecommunications stocks recorded single-digit returns. The entire oil and gas sector has been hurt by the drop

in oil prices. With their profits cut, producers have scaled back on the projects that are the lifeblood of service firms, drillers, and equipment providers.

The funds broad diversificationdelivered a decade of solid returnsAt Vanguard, we believe in being straight-forward with our investors. That includes truth in labeling, which is why the name of your fund is so appropriate. Its designed to reflect the performance of the entire U.S. stock marketall sectors, styles, and sizes. There will always be areas that

Vanguards outlook for investors: Expect less and stay balanced

In Vanguards recently published market outlook, global chief economist Joe Davis and his team discuss expected returns for various asset classes over the coming years. Although not bearish, our outlook on global stocks and bonds is the most guarded since 2006. The report cautions that, over the next decade, returns for a balanced portfolio are likely to be moderately below long-run historical averages.

Our simulations indicate that the average annualized returns of a 60% equity/40% bond portfolio for the decade ending 2024 are most likely to be centered in the 3%5% range after inflation, below the actual average after-inflation return of 5.6% for the same portfolio since 1926.

Even so, Vanguard firmly believes that the principles for investing successfocusing on clear goals, a suitable asset allocation, low costs, and long-term disciplineremain unchanged.

For more information about our expectations and the probability of various outcomes, see Vanguards Economic and Investment Outlook, available at vanguard.com/research.

IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model (VCMM) regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. Distribution of return outcomes from VCMM, derived from 10,000 simulations for U.S. equity returns and fixed income returns. Simulations as of September 30, 2014. Results from the model may vary with each use and over time. For more information, please see page 7.

7outperform and underperform the broad market, and your funds mandate is to include them all rather than engage in the challenging, and often disappointing, business of trying to predict the standouts.

The funds broad diversification can benefit investors when market returns are relatively balanced across market-capitalization and style segments, and also when theyre not. The likelihood of this dynamic playing out successfully increases over time as market leaders and laggards inevitably shuffle.

Over the past ten years, Investor Shares of Vanguard Total Stock Market Index Fund have produced an average annual return of about 8%, more than 1 percentage point higher than the average return of its peer

group. Consistent with its objective, the fund tightly tracked its benchmark index over that period. The funds success in staying close to its target index is a testament to the skill of its advisor, the Equity Investment Group. The group relies on its proven portfolio management strategies to produce benchmark-tracking returns regardless of external market conditions. At the same time, of course, the funds low costs help you keep more of the markets returns.

To build for the long term,start with a solid foundationAs the leader of a major investment firm, I get asked a lot of questions on all kinds of topics, from the outlook for global markets to the best fund choices for an IRA. But a

IMPORTANT: The projections and other information generated by the Vanguard Capital Markets Model regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results. VCMM results will vary with each use and over time.The VCMM projections are based on a statistical analysis of historical data. Future returns may behave differently from the historical patterns captured in the VCMM. More important, the VCMM may be underestimating extreme negative scenarios unobserved in the historical period on which the model estimation is based. The Vanguard Capital Markets Model is a proprietary financial simulation tool developed and maintained by Vanguards primary investment research and advice teams. The model forecasts distributions of future returns for a wide array of broad asset classes. Those asset classes include U.S. and international equity markets, several maturities of the U.S. Treasury and corporate fixed income markets, international fixed income markets, U.S. money markets, commodities, and certain alternative investment strategies. The theoretical and empirical foundation for the Vanguard Capital Markets Model is that the returns of various asset classes reflect the compensation investors require for bearing different types of systematic risk (beta). At the core of the model are estimates of the dynamic statistical relationship between risk factors and asset returns, obtained from statistical analysis based on available monthly financial and economic data from as early as 1960. Using a system of estimated equations, the model then applies a Monte Carlo simulation method to project the estimated interrelationships among risk factors and asset classes as well as uncertainty and randomness over time. The model generates a large set of simulated outcomes for each asset class over several time horizons. Forecasts are obtained by computing measures of central tendency in these simulations. Results produced by the tool will vary with each use and over time.

8topic that almost never comes upand one that I consider perhaps the most importantis setting investment goals.

At Vanguard, we believe that following four timeless, straightforward principles can help put you on the right track toward investment success:

Goals. Create clear, appropriate investment goals.

Balance. Develop a suitable asset allocation using broadly diversified funds.

Cost. Minimize cost.

Discipline. Maintain perspective and long-term discipline.

All four principles are essential, and the order in which theyre listed is intentional. Every good investment plan begins with a clearly defined goal, which sets the foundation for building your portfolio. (You can read more about our principles in Vanguards Principles for Investing Success, available at vanguard.com/research.)

Setting an investment goal doesnt have to be complicated. It can be as simple as saving for retirement or for a childs college education. Being realistic about your goalsand how to meet themcan help you stick with your investment plan even when times get tough.

Weve recently welcomed a new year, which for many means a new beginning. Now is a perfect time to revisit your investment plan and make any necessary adjustments to help you reach your long-term financial goals.

As always, thank you for investing with Vanguard.

Sincerely,

F. William McNabb III Chairman and Chief Executive Officer January 15, 2015

Fund ProfileAs of December 31, 2014

Total Stock Market Index Fund

1 The expense ratios shown are from the prospectus dated April 28, 2014, and represent estimated costs for the current fiscal year. For the fiscal year ended December 31, 2014, the expense ratios were 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares.

Share-Class Characteristics

InvestorShares

AdmiralShares

InstitutionalShares ETF Shares

Ticker Symbol VTSMX VTSAX VITSX VTI

Expense Ratio1 0.17% 0.05% 0.04% 0.05%

30-Day SEC Yield 1.69% 1.80% 1.80% 1.80%

9

Volatility Measures

Spliced TotalStock Market

Index

R-Squared 1.00

Beta 1.00

These measures show the degree and timing of the fundsfluctuations compared with the index over 36 months.

Ten Largest Holdings (% of total net assets)

Apple Inc. Computer Hardware 2.8%

Exxon Mobil Corp. Integrated Oil & Gas 1.7

Microsoft Corp. Software 1.5

Google Inc. Internet 1.3

Johnson & Johnson Pharmaceuticals 1.3

Wells Fargo & Co. Banks 1.3

Berkshire Hathaway Inc. Reinsurance 1.2

General Electric Co. Diversified Industrials 1.1

Procter & Gamble Co. NondurableHousehold Products 1.1

JPMorgan Chase & Co. Banks 1.0

Top Ten 14.3%

The holdings listed exclude any temporary cash investments andequity index products.

Portfolio Characteristics

Fund

CRSP USTotal Market

Index

Number of Stocks 3,796 3,805

Median Market Cap $48.1B $47.9B

Price/Earnings Ratio 20.5x 20.5x

Price/Book Ratio 2.7x 2.8x

Return on Equity 18.0% 17.8%

Earnings GrowthRate 15.4% 15.2%

Dividend Yield 1.9% 1.9%

Foreign Holdings 0.0% 0.0%

Turnover Rate 3%

Short-Term Reserves 0.0%

Sector Diversification (% of equity exposure)

Fund

CRSP USTotal Market

Index

Basic Materials 2.7% 2.8%

Consumer Goods 9.9 9.9

Consumer Services 13.6 13.6

Financials 19.2 19.2

Health Care 13.2 13.2

Industrials 12.6 12.6

Oil & Gas 7.5 7.5

Technology 15.9 15.8

Telecommunications 2.0 2.0

Utilities 3.4 3.4


10

Investment Focus

Market Cap

Value

Large

Medium

Small

Blend Growth Style

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher thanthe performance data cited. For performance data current to the most recent month-end, visitour website at vanguard.com/performance.) Note, too, that both investment returns and principalvalue can fluctuate widely, so an investors shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Performance Summary

Cumulative Performance: December 31, 2004, Through December 31, 2014Initial Investment of $10,000

2014201320122011201020092008200720062005

$26,000

4,000

21,561

See Financial Highlights for dividend and capital gains information.


11


OneYear

FiveYears

TenYears

Final Valueof a $10,000Investment

Total Stock Market Index FundInvestor Shares 12.43% 15.56% 7.99% $21,561

Spliced Total Stock Market Index 12.58 15.72 8.11 21,801

Multi-Cap Core Funds Average 9.58 13.35 6.73 19,173



OneYear

FiveYears

TenYears


Total Stock Market Index Fund Admiral Shares 12.56% 15.70% 8.10% $21,793



12


OneYear

FiveYears

TenYears

Final Valueof a $5,000,000

Investment

Total Stock Market Index Fund InstitutionalShares 12.56% 15.70% 8.12% $10,913,274

Spliced Total Stock Market Index 12.58 15.72 8.11 10,900,693

OneYear

FiveYears

TenYears


Total Stock Market Index FundETF Shares Net Asset Value 12.56% 15.70% 8.11% $21,802


Cumulative Returns of ETF Shares: December 31, 2004, Through December 31, 2014

OneYear

FiveYears

TenYears

Total Stock Market Index Fund ETF Shares MarketPrice 12.57% 107.26% 118.17%

Total Stock Market Index Fund ETF Shares NetAsset Value 12.56 107.29 118.02

Spliced Total Stock Market Index 12.58 107.49 118.01

Fiscal-Year Total Returns (%): December 31, 2004, Through December 31, 2014

5.98 6.08

2005

15.51 15.72

2006

5.49 5.59

2007

37.04 37.04

2008

28.70 28.76

2009

17.09 17.28

2010

0.96 1.08

2011

16.25 16.44

2012

33.35 33.51

2013

12.43 12.58

2014

Total Stock Market Index Fund Investor Shares

Spliced Total Stock Market Index


Financial Statements

Statement of Net AssetsInvestments SummaryAs of December 31, 2014

This Statement summarizes the funds holdings by asset type. Details are reported for each of the funds 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the funds net assets. The total value of smaller holdings is reported as a single amount within each category.

The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the funds holdings is available electronically on vanguard.com and on the Securities and Exchange Commissions website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the funds Forms N-Q on the SECs website. Forms N-Q may also be reviewed and copied at the SECs Public Reference Room (see the back cover of this report for further information).


Market Percentage Value of Net Shares ($000) Assets

Common Stocks

Basic Materials 10,494,464 2.7%

Consumer Goods Procter & Gamble Co. 45,564,549 4,150,475 1.1% Coca-Cola Co. 66,452,452 2,805,622 0.7% PepsiCo Inc. 25,238,328 2,386,536 0.6% Philip Morris International Inc. 26,196,500 2,133,705 0.6% Altria Group Inc. 33,336,366 1,642,483 0.4% Consumer GoodsOther 24,407,526 6.4%

37,526,347 9.8% Consumer Services Walt Disney Co. 25,726,136 2,423,145 0.6% Wal-Mart Stores Inc. 27,173,604 2,333,669 0.6% Home Depot Inc. 22,209,011 2,331,280 0.6% Comcast Corp. Class A 38,463,284 2,231,255 0.6% * Amazon.com Inc. 6,242,382 1,937,323 0.5% CVS Health Corp. 19,321,716 1,860,874 0.5% McDonalds Corp. 16,390,489 1,535,789 0.4% Consumer ServicesOther 37,188,375 9.7%

51,841,710 13.5% Financials Wells Fargo & Co. 87,444,075 4,793,684 1.2% * Berkshire Hathaway Inc. Class B 29,719,646 4,462,405 1.2% JPMorgan Chase & Co. 63,001,253 3,942,618 1.0% Bank of America Corp. 177,180,419 3,169,758 0.8% Citigroup Inc. 48,500,022 2,624,336 0.7% Visa Inc. Class A 8,312,581 2,179,559 0.6% American Express Co. 17,429,747 1,621,664 0.4% MasterCard Inc. Class A 16,884,919 1,454,805 0.4% * Berkshire Hathaway Inc. Class A 863 195,038 0.1%

13


* Synchrony Financial 2,122,187 63,135 0.0% FinancialsOther 48,487,921 12.7%

72,994,923 19.1% Health Care Johnson & Johnson 47,186,784 4,934,322 1.3% Pfizer Inc. 106,180,361 3,307,518 0.9% Merck & Co. Inc. 48,061,630 2,729,420 0.7% * Gilead Sciences Inc. 25,424,252 2,396,490 0.6% Amgen Inc. 12,821,029 2,042,262 0.5% AbbVie Inc. 25,518,092 1,669,904 0.5% Bristol-Myers Squibb Co. 27,958,894 1,650,414 0.4% UnitedHealth Group Inc. 16,171,369 1,634,764 0.4% * Celgene Corp. 13,457,711 1,505,380 0.4% Health CareOther 28,481,193 7.5%

50,351,667 13.2% Industrials General Electric Co. 169,289,675 4,277,950 1.1% Union Pacific Corp. 14,984,370 1,785,088 0.5% 3M Co. 10,797,021 1,774,166 0.4% United Technologies Corp. 14,588,251 1,677,649 0.4% Boeing Co. 10,812,724 1,405,438 0.4% IndustrialsOther 37,127,306 9.7%

48,047,597 12.5% Oil & Gas Exxon Mobil Corp. 71,373,124 6,598,445 1.7% Chevron Corp. 31,861,948 3,574,273 0.9% Schlumberger Ltd. 21,671,059 1,850,925 0.5% ConocoPhillips 20,737,680 1,432,144 0.4% Oil & GasOther 15,083,867 4.0%

28,539,654 7.5%

1Other 22,673 0.0%

Technology Apple Inc. 98,848,739 10,910,924 2.9% Microsoft Corp. 125,034,776 5,807,865 1.5% Intel Corp. 81,504,192 2,957,787 0.8% * Facebook Inc. Class A 35,601,695 2,777,644 0.7% International Business Machines Corp. 16,680,965 2,676,294 0.7% * Google Inc. Class C 4,852,399 2,554,303 0.7% * Google Inc. Class A 4,808,012 2,551,420 0.7% Oracle Corp. 56,002,661 2,518,440 0.7% Cisco Systems Inc. 86,155,102 2,396,404 0.6% QUALCOMM Inc. 28,017,980 2,082,576 0.5% TechnologyOther 23,132,203 6.0%

60,365,860 15.8% Telecommunications Verizon Communications Inc. 69,950,457 3,272,282 0.8% AT&T Inc. 87,417,219 2,936,344 0.8% TelecommunicationsOther 1,459,878 0.4%

7,668,504 2.0%

Market Percentage Value of Net Shares ($000) Assets

14

15


Utilities 12,781,983 3.3%

Total Common Stocks (Cost $249,586,385) 380,635,382 99.4%2

Coupon Shares

Temporary Cash Investments

Money Market Fund3,4 Vanguard Market Liquidity Fund 0.126% 3,072,893,415 3,072,894 0.8% 5U.S. Government and Agency Obligations 132,977 0.0%

Total Temporary Cash Investments (Cost $3,205,870) 3,205,871 0.8%2

6Total Investments (Cost $252,792,255) 383,841,253 100.2%

Other Assets and Liabilities

Other Assets 2,040,910 0.5% Liabilities4 (2,879,273) (0.7%)

(838,363) (0.2%)

Net Assets 383,002,890 100.0%

At December 31, 2014, net assets consisted of: Amount ($000)

Paid-in Capital 254,455,241Overdistributed Net Investment Income (120,172)Accumulated Net Realized Losses (2,437,034)Unrealized Appreciation (Depreciation) Investment Securities 131,048,998 Futures Contracts 53,634 Swap Contracts 2,223

Net Assets 383,002,890

Investor SharesNet Assets

Applicable to 2,287,016,198 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 117,966,185

Net Asset Value Per ShareInvestor Shares $51.58

Admiral SharesNet Assets


Net Asset Value Per ShareAdmiral Shares $51.60

Institutional SharesNet Assets


Net Asset Value Per ShareInstitutional Shares $51.60

Market Percentage Value of Net ($000) Assets


ETF SharesNet Assets

Applicable to 480,059,748 outstanding $.001 par value shares of beneficial interest (unlimited authorization) 50,885,950

Net Asset Value Per ShareETF Shares $106.00

Amount ($000)

See Note A in Notes to Financial Statements.* Non-income-producing security. Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.

1 Other represents securities that are not classified by the funds benchmark index.2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts and equity swap contracts.

After giving effect to futures and swap investments, the funds effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.

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

4 Includes $875,010,000 of collateral received for securities on loan.5 Securities with a value of $103,980,000 have been segregated as initial margin for open futures contracts.6 The total value of securities on loan is $803,366,000. See accompanying Notes, which are an integral part of the Financial Statements.

16

17

Year Ended December 31, 2014

($000)

Investment Income

Income

Dividends 6,561,984

Interest1 1,933

Securities Lending 76,099

Total Income 6,640,016

Expenses

The Vanguard GroupNote B

Investment Advisory Services 13,826

Management and AdministrativeInvestor Shares 164,172

Management and AdministrativeAdmiral Shares 30,983

Management and AdministrativeSignal Shares 1,129

Management and AdministrativeInstitutional Shares 14,995

Management and AdministrativeETF Shares 10,106

Marketing and DistributionInvestor Shares 20,554

Marketing and DistributionAdmiral Shares 13,164

Marketing and DistributionSignal Shares 2,245

Marketing and DistributionInstitutional Shares 17,000

Marketing and DistributionETF Shares 9,231

Custodian Fees 3,010

Auditing Fees 39

Shareholders ReportsInvestor Shares 149

Shareholders ReportsAdmiral Shares 181

Shareholders ReportsSignal Shares 28

Shareholders ReportsInstitutional Shares 39

Shareholders ReportsETF Shares 583

Trustees Fees and Expenses 239

Total Expenses 301,673

Net Investment Income 6,338,343

Realized Net Gain (Loss)

Investment Securities Sold 5,353,281

Futures Contracts 187,290

Swap Contracts (4,133)

Realized Net Gain (Loss) 5,536,438

Change in Unrealized Appreciation (Depreciation)

Investment Securities 29,547,269

Futures Contracts 18,705

Swap Contracts 256

Change in Unrealized Appreciation (Depreciation) 29,566,230

Net Increase (Decrease) in Net Assets Resulting from Operations 41,441,011

1 Interest income from an affiliated company of the fund was $1,869,000. See accompanying Notes, which are an integral part of the Financial Statements.

Statement of Operations


18

Statement of Changes in Net Assets


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

Year Ended December 31,

2014 2013 ($000) ($000)

Increase (Decrease) in Net Assets

Operations

Net Investment Income 6,338,343 4,980,596

Realized Net Gain (Loss) 5,536,438 1,818,521

Change in Unrealized Appreciation (Depreciation) 29,566,230 67,277,064

Net Increase (Decrease) in Net Assets Resulting from Operations 41,441,011 74,076,181

Distributions

Net Investment Income

Investor Shares (1,960,851) (1,729,931)

Admiral Shares (1,880,181) (1,453,044)

Signal Shares (121,148) (196,060)

Institutional Shares (1,532,803) (1,027,734)

ETF Shares (840,367) (639,967)

Realized Capital Gain

Investor Shares

Admiral Shares

Signal Shares

Institutional Shares

ETF Shares

Total Distributions (6,335,350) (5,046,736)

Capital Share Transactions

Investor Shares 1,473,741 1,154,267

Admiral Shares 20,691,802 7,305,262

Signal Shares (11,447,555) 242,207

Institutional Shares 22,615,084 12,750,062

ETF Shares 7,232,036 6,481,221

Net Increase (Decrease) from Capital Share Transactions 40,565,108 27,933,019

Total Increase (Decrease) 75,670,769 96,962,464

Net Assets

Beginning of Period 307,332,121 210,369,657

End of Period1 383,002,890 307,332,121

1 Net AssetsEnd of Period includes undistributed (overdistributed) net investment income of ($120,172,000) and ($119,086,000).

Investor Shares

For a Share Outstanding Year Ended December 31,

Throughout Each Period 2014 2013 2012 2011 2010

Net Asset Value, Beginning of Period $46.67 $35.64 $31.29 $31.56 $27.45

Investment Operations

Net Investment Income .854 .757 .720 .565 .523

Net Realized and Unrealized Gain (Loss) on Investments 4.907 11.038 4.350 (.273) 4.117

Total from Investment Operations 5.761 11.795 5.070 .292 4.640

Distributions

Dividends from Net Investment Income (.851) (.765) (.720) (.562) (.530)

Distributions from Realized Capital Gains

Total Distributions (.851) (.765) (.720) (.562) (.530)

Net Asset Value, End of Period $51.58 $46.67 $35.64 $31.29 $31.56

Total Return1 12.43% 33.35% 16.25% 0.96% 17.09%

Ratios/Supplemental Data

Net Assets, End of Period (Millions) $117,966 $105,008 $78,936 $62,668 $56,063

Ratio of Total Expenses to Average Net Assets 0.17% 0.17% 0.17% 0.17% 0.17%

Ratio of Net Investment Income to Average Net Assets 1.77% 1.84% 2.11% 1.79% 1.85%

Portfolio Turnover Rate2 3% 4% 3% 5% 5%

1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.

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

Financial Highlights



19

Admiral Shares








Distributions





Total Return1 12.56% 33.52% 16.38% 1.08% 17.26%






1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.





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Signal Shares Jan. 1, 2014, to Oct. 24, Year Ended December 31,

For a Share Outstanding Throughout Each Period 20141 2013 2012 2011 2010






Distributions





Total Return 6.82% 33.51% 16.39% 1.09% 17.23%


Net Assets, End of Period (Millions) $ $10,879 $8,025 $6,133 $5,471

Ratio of Total Expenses to Average Net Assets 0.05%2 0.05% 0.05% 0.05% 0.06%

Ratio of Net Investment Income to Average Net Assets 1.80%2 1.96% 2.23% 1.91% 1.96%


1 Net asset value as of October 24, 2014, on which date the Signal Shares were converted to Admiral Shares.2 Annualized.3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,

including ETF Creation Units.




21









Distributions





Total Return 12.56% 33.49% 16.42% 1.09% 17.23%










22

ETF Shares





Net Investment Income 1.874 1.657 1.564 1.238 1.133



Distributions

Dividends from Net Investment Income (1.869) (1.673) (1.563) (1.233) (1.148)


Total Distributions (1.869) (1.673) (1.563) (1.233) (1.148)


Total Return 12.56% 33.51% 16.41% 1.06% 17.26%










23

Notes to Financial Statements


Vanguard Total Stock Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and ETF Shares. Investor Shares are available to any investor who meets the funds minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Prior to October 24, 2014, the fund offered Signal Shares. Effective at the close of business on October 24, 2014, the Signal Shares were converted to Admiral Shares.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the funds pricing time but after the close of the securities primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that funds net asset value. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value.

2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the funds performance and requires daily settlement of variation margin representing changes in the market value of each contract.

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

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During the year ended December 31, 2014, the funds average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.

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

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until termination of the swap, at which time realized gain (loss) is recorded. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the fund. The funds maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The fund mitigates its counterparty risk by entering into swaps only with a diverse group of pre-qualified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the event of a counterpartys default (including bankruptcy), the fund may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the fund net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

During the year ended December 31, 2014, the funds average amounts of total return swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the funds tax positions taken for all open federal income tax years (December 31, 20112014), and has concluded that no provision for federal income tax is required in the funds financial statements.

5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.

6. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the

25


collateral is adjusted and settled on the next business day. The fund further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counter-parties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterpartys default (including bankruptcy), the fund may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the fund; however, such actions may be subject to legal proceedings. While collateral mitigates counter-party risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan.

7. Credit Facility: The fund and certain other funds managed by The Vanguard Group participate in a $2.89 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the funds regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the funds board of trustees and included in Management and Administrative expenses on the funds Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.

The fund had no borrowings outstanding at December 31, 2014, or at any time during the period then ended.

8. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund based on methods approved by the board of trustees. The fund has committed to invest up to 0.40% of its net assets in Vanguard. At December 31, 2014, the fund had contributed capital of $36,117,000 to Vanguard (included in Other Assets), representing 0.01% of the funds net assets and 14.44% of Vanguards capitalization. The funds trustees and officers are also directors and officers of Vanguard.

26

27


C. Various inputs may be used to determine the value of the funds investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1Quoted prices in active markets for identical securities. Level 2Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3Significant unobservable inputs (including the funds own assumptions used to determine the fair value of investments).

The following table summarizes the market value of the funds investments as of December 31, 2014, based on the inputs used to value them:

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

Common Stocks 380,612,597 18,551 4,234

Temporary Cash Investments 3,072,894 132,977

Futures ContractsLiabilities1 (26,965)

Swap ContractsAssets 2,243

Swap ContractsLiabilities (20)

Total 383,658,526 153,751 4,234

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

D. At December 31, 2014, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:

($000)

Aggregate Number of Settlement Unrealized Long (Short) Value Appreciation Futures Contracts Expiration Contracts Long (Short) (Depreciation)

S&P 500 Index March 2015 2,787 1,430,010 24,800

E-mini S&P 500 Index March 2015 7,130 731,681 21,445

E-mini Russell 2000 Index March 2015 957 114,907 6,215

E-mini S&P MidCap Index March 2015 240 34,766 1,174

53,634

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.

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At December 31, 2014, the fund had the following open total return swap contracts:

Floating Unrealized Notional Interest Rate Appreciation Termination Amount Received (Depreciation) Reference Entity Date Counterparty1 ($000) (Paid) ($000)

Empire State Realty Trust Inc. 2/10/15 GSI 6,738 (0.512%) 198

Empire State Realty Trust Inc. 2/10/15 GSI 601 (0.514%) (3)





SLM Corp. 3/16/15 GSI 41,588 (0.562%) 2,045

2,223

1 GSIGoldman Sachs International.

At December 31, 2014, the counterparty had deposited in segregated accounts securities with a value of $2,608,000 in connection with amounts due to the fund for open swap contracts.

E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.

Certain of the funds investments are in securities considered to be passive foreign investment companies, for which any unrealized appreciation and/or realized gains are required to be included in distributable net investment income for tax purposes. During the year ended December 31, 2014, the fund realized gains on the sale of passive foreign investment companies of $54,000, which have been included in current and prior periods taxable income; accordingly, such gains have been reclassified from accumulated net realized losses to overdistributed net investment income. Passive foreign investment companies had unrealized appreciation of $9,477,000 at December 31, 2014, of which $7,117,000 has been distributed and is reflected in the balance of undistributed net investment income.

During the year ended December 31, 2014, the fund realized $4,323,687,000 of net capital gains resulting from in-kind redemptionsin which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.

Realized and unrealized gains (losses) on certain of the funds swap contracts are treated as ordinary income (loss) for tax purposes. Realized losses of $4,133,000 on swap contracts have been reclassified from accumulated net realized losses to overdistributed net investment income.

29


For tax purposes, at December 31, 2014, the fund had $75,263,000 of ordinary income available for distribution. The fund used capital loss carryforwards of $701,289,000 to offset taxable capital gains realized during the year ended December 31, 2014. At December 31, 2014, the fund had available capital losses totaling $2,188,503,000 to offset future net capital gains. Of this amount, $2,155,179,000 is subject to expiration on December 31, 2016. Capital losses of $33,324,000 realized beginning in fiscal 2011 may be carried forward indefinitely under the Regulated Investment Company Modernization Act of 2010, but must be used before any expiring loss carryforwards.

At December 31, 2014, the cost of investment securities for tax purposes was $252,992,910,000. Net unrealized appreciation of investment securities for tax purposes was $130,848,343,000, consisting of unrealized gains of $138,781,679,000 on securities that had risen in value since their purchase and $7,933,336,000 in unrealized losses on securities that had fallen in value since their purchase.

F. During the year ended December 31, 2014, the fund purchased $56,679,136,000 of investment securities and sold $16,663,026,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,446,706,000 and $6,643,732,000, respectively, in connection with in-kind purchases and redemptions of the funds capital shares.

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


2014 2013

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

Investor Shares

Issued 13,269,562 278,821 12,266,763 300,373

Issued in Lieu of Cash Distributions 1,951,687 39,347 1,721,975 41,022

Redeemed (13,747,508) (281,022) (12,834,471) (306,111)

Net Increase (Decrease)Investor Shares 1,473,741 37,146 1,154,267 35,284

Admiral Shares

Issued1 28,300,043 579,782 13,336,091 322,900

Issued in Lieu of Cash Distributions 1,654,483 33,282 1,287,181 30,594

Redeemed (9,262,724) (189,917) (7,318,010) (176,330)

Net Increase (Decrease)Admiral Shares 20,691,802 423,147 7,305,262 177,164

Signal Shares

Issued 1,941,106 42,389 3,462,726 87,006

Issued in Lieu of Cash Distributions 105,979 2,263 172,682 4,261

Redeemed1 (13,494,640) (286,099) (3,393,201) (83,052)

Net Increase (Decrease)Signal Shares (11,447,555) (241,447) 242,207 8,215


Issued 27,653,328 568,377 16,902,913 404,366

Issued in Lieu of Cash Distributions 1,457,656 29,311 965,838 22,878

Redeemed (6,495,900) (132,169) (5,118,689) (123,389)

Net Increase (Decrease)Institutional Shares 22,615,084 465,519 12,750,062 303,855



2014 2013

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

ETF Shares

Issued 13,809,740 137,515 9,888,388 115,881

Issued in Lieu of Cash Distributions

Redeemed (6,577,704) (65,800) (3,407,167) (38,900)

Net Increase (Decrease)ETF Shares 7,232,036 71,715 6,481,221 76,981

1 Admiral Shares Issued and Signal Shares Redeemed include $9,780,011,000 from the conversion of Signal Shares to Admiral Shares during the 2014 fiscal year.

H. Management has determined that no material events or transactions occurred subsequent to December 31, 2014, that would require recognition or disclosure in these financial statements.

30

To the Board of Trustees of Vanguard Index Funds and the Shareholders of Vanguard Total Stock Market Index Fund:

In our opinion, the accompanying statement of net assetsinvestments summary and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Total Stock Market Index Fund (constituting a separate portfolio of Vanguard Index Funds, hereafter referred to as the Fund) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2014 by correspondence with the custodian and brokers, by agreement to the underlying ownership records of the transfer agent and the application of alternative auditing procedures where securities purchased had not been received, provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 10, 2015

Report of Independent Registered Public Accounting Firm

Special 2014 tax information (unaudited) for Vanguard Total Stock Market Index Fund

This information for the fiscal year ended December 31, 2014, is included pursuant to provisions of the Internal Revenue Code.

The fund distributed $6,335,350,000 of qualified dividend income to shareholders during the fiscal year.

For corporate shareholders, 91.7% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

31

Your Funds After-Tax Returns

This table presents returns for your fund both before and after taxes. The after-tax returns are shownin two ways: (1) assuming that an investor owned the fund during the entire period and paid taxeson the funds distributions, and (2) assuming that an investor paid taxes on the funds distributions and sold all shares at the end of each period.

Calculations are based on the highest individual federal income tax and capital gains tax rates ineffect at the times of the distributions and the hypothetical sales. State and local taxes were notconsidered. After-tax returns reflect any qualified dividend income. (In the example, returns after thesale of fund shares may be higher than those assuming no sale. This occurs when the sale wouldhave produced a capital loss. The calculation assumes that the investor received a tax deduction forthe loss.)

The table shows returns for Investor Shares only; returns for other share classes will differ. Pleasenote that your actual after-tax returns will depend on your tax situation and may differ from thoseshown. Also note that if you own the fund in a tax-deferred account, such as an individual retirementaccount or a 401(k) plan, this information does not apply to you. Such accounts are not subject tocurrent taxes.

Finally, keep in mind that a funds performancewhether before or after taxesdoes not guaranteefuture results.

Average Annual Total Returns: Total Stock Market Index Fund Investor Shares Periods Ended December 31, 2014

32

OneYear

FiveYears

TenYears

Returns Before Taxes 12.43% 15.56% 7.99%

Returns After Taxes on Distributions 11.97 15.16 7.65

Returns After Taxes on Distributions and Sale of Fund Shares 7.38 12.55 6.49

About Your Funds Expenses

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

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

The accompanying table illustrates your funds costs in two ways:

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

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

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

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

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

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

33

34

Six Months Ended December 31, 2014


BeginningAccount Value

6/30/2014

EndingAccount Value

12/31/2014

ExpensesPaid During

Period

Based on Actual Fund Return

Investor Shares $1,000.00 $1,051.46 $0.88

Admiral Shares 1,000.00 1,052.06 0.26

Institutional Shares 1,000.00 1,052.10 0.21

ETF Shares 1,000.00 1,052.09 0.26

Based on Hypothetical 5% Yearly Return

Investor Shares $1,000.00 $1,024.35 $0.87

Admiral Shares 1,000.00 1,024.95 0.26

Institutional Shares 1,000.00 1,025.00 0.20

ETF Shares 1,000.00 1,024.95 0.26

The calculations are based on expenses incurred in the most recent six-month period. The funds annualized six-month expense ratios for thatperiod are 0.17% for Investor Shares, 0.05% for Admiral Shares, 0.04% for Institutional Shares, and 0.05% for ETF Shares. The dollaramounts shown as Expenses Paid are equal to the annualized expense ratio multiplied by the average account value over the period,multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period.

Glossary

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30-Day SEC Yield. A funds 30-day SEC yield is derived using a formula specified by the U.S.Securities and Exchange Commission. Under the formula, data related to the funds securityholdings in the previous 30 days are used to calculate the funds hypothetical net income for thatperiod, which is then annualized and divided by the funds estimated average net assets over thecalculation period. For the purposes of this calculation, a securitys income is based on its currentmarket yield to maturity (for bonds), its actual income (for asset-backed securities), or its projecteddividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it willdifferat times significantlyfrom the funds actual experience. As a result, the funds incomedistributions may be higher or lower than implied by the SEC yield.

Beta. A measure of the magnitude of a funds past share-price fluctuations in relation to the ups anddowns of a given market index. The index is assigned a beta of 1.00. Compared with a given index,a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when theindex rose or fell by 10%. For this report, beta is based on returns over the past 36 months for boththe fund and the index. Note that a funds beta should be reviewed in conjunction with its R-squared(see definition). The lower the R-squared, the less correlation there is between the fund and theindex, and the less reliable beta is as an indicator of volatility.

Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregatemarket value (or of net asset value, for a fund). The yield is determined by dividing the amount of theannual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, thedividend yield is based solely on stock holdings and does not include any income produced by otherinvestments.

Earnings Growth Rate. The average annual rate of growth in earnings over the past five years forthe stocks now in a fund.

Equity Exposure. A measure that reflects a funds investments in stocks and stock futures. Anyholdings in short-term reserves are excluded.

Expense Ratio. A funds total annual operating expenses expressed as a percentage of the fundsaverage net assets. The expense ratio includes management and administrative expenses, but doesnot include the transaction costs of buying and selling portfolio securities.

Foreign Holdings. The percentage of a fund represented by securities or depositary receipts ofcompanies based outside the United States.

Inception Date. The date on which the assets of a fund (or one of its share classes) are firstinvested in accordance with the funds investment objective. For funds with a subscription period,the inception date is the day after that period ends. Investment performance is measured from theinception date.

Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint ofmarket capitalization (market price x shares outstanding) of a funds stocks, weighted by theproportion of the funds assets invested in each stock. Stocks representing half of the funds assetshave market capitalizations above the median, and the rest are below it.

Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For afund, the weighted average price/book ratio of the stocks it holds.

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Price/Earnings Ratio. The ratio of a stocks current price to its per-share earnings over the pastyear. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of marketexpectations about corporate prospects; the higher the P/E, the greater the expectations for acompanys future growth.

R-Squared. A measure of how much of a funds past returns can be explained by the returns fromthe market in general, as measured by a given index. If a funds total returns were preciselysynchronized with an indexs returns, its R-squared would be 1.00. If the funds returns bore norelationship to the indexs returns, its R-squared would be 0. For this report, R-squared is based onreturns over the past 36 months for both the fund and the index.

Return on Equity. The annual average rate of return generated by a company during the past fiveyears for each dollar of shareholders equity (net income divided by shareholders equity). For a fund,the weighted average return on equity for the companies whose stocks it holds.

Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities thatcan be readily converted to cash.

Turnover Rate. An indication of the funds trading activity. Funds with high turnover rates incurhigher transaction costs and may be more likely to distribute capital gains (which may be taxable toinvestors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.

Benchmark Information

Spliced Total Stock Market Index: Dow Jones U.S. Total Stock Market Index (formerly known as the Dow Jones Wilshire 5000 Index) through April 22, 2005; MSCI US Broad Market Index through June 2, 2013; and CRSP US Total Market Index thereafter.

The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your funds trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.

A majority of Vanguards board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 177 Vanguard funds.

The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

Interested Trustee1

F. William McNabb IIIBorn 1957. Trustee Since July 2009. Chairman of the Board. Principal Occupation(s) During the Past Five Years: Chairman of the Board of The Vanguard Group, Inc., and of each of the investment companies served by The Vanguard Group, since January 2010; Director of The Vanguard Group since 2008; Chief Executive Officer and President of The Vanguard Group, and of each of the investment companies served by The Vanguard Group, since 2008; Director of Vanguard Marketing Corporation; Managing Director of The Vanguard Group (19952008).

Independent Trustees

Emerson U. Fullwood Born 1948. Trustee Since January 2008. Principal Occupation(s) During the Past Five Years: Executive Chief Staff and Marketing Officer for North America and Corporate Vice President (retired 2008) of Xerox Corporation (document management products and services); Executive in Residence and 20092010 Distinguished Minett Professor at the Rochester Institute of Technology; Director of SPX Corporation (multi-industry manufacturing), the United Way of Rochester, Amerigroup Corporation (managed health care), the University of Rochester Medical Center, Monroe Community College Foundation, and North Carolina A&T University.

Rajiv L. Gupta Born 1945. Trustee Since December 2001.2 Principal Occupation(s) During the Past Five Years: Chairman and Chief Executive Officer (retired 2009) and President (20062008) of Rohm and Haas Co. (chemicals); Director of Tyco International, Ltd. (diversified manufacturing and services), Hewlett-Packard Co. (electronic computer manufacturing),

and Delphi Automotive LLP (automotive components); Senior Advisor at New Mountain Capital.

Amy GutmannBorn 1949. Trustee Since June 2006. Principal Occupation(s) During the Past Five Years: President of the University of Pennsylvania; Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and Professor of Communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania; Trustee of the National Constitution Center; Chair of the Presidential Commission for the Study of Bioethical Issues.

JoAnn Heffernan HeisenBorn 1950. Trustee Since July 1998. Principal Occupation(s) During the Past Five Years: Corporate Vice President and Chief Global Diversity Officer (retired 2008) and Member of the Executive Committee (19972008) of Johnson & Johnson (pharmaceuticals/medical devices/consumer products); Director of Skytop Lodge Corporation (hotels), the University Medical Center at Princeton, the Robert Wood Johnson Foundation, and the Center for Talent Innovation; Member of the Advisory Board of the Maxwell School of Citizenship and Public Affairs at Syracuse University.

F. Joseph LoughreyBorn 1949. Trustee Since October 2009. Principal Occupation(s) During the Past Five Years: President and Chief Operating Officer (retired 2009) of Cummins Inc. (industrial machinery); Chairman of the Board of Hillenbrand, Inc. (specialized consumer services), and of Oxfam America; Director of SKF AB (industrial machinery), Hyster-Yale Materials Handling, Inc. (forklift trucks), the Lumina Foundation for Education,

and the V Foundation for Cancer Research; Member of the Advisory Council for the College of Arts and Letters and of the Advisory Board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark LoughridgeBorn 1953. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years: Senior Vice President and Chief Financial Officer (retired 2013) at IBM (information technology services); Fiduciary Member of IBMs Retirement Plan Committee (20042013); Member of the Council on Chicago Booth.

Scott C. MalpassBorn 1962. Trustee Since March 2012. Principal Occupation(s) During the Past Five Years: Chief Investment Officer and Vice President at the University of Notre Dame; Assistant Professor of Finance at the Mendoza College of Business at Notre Dame; Memberof the Notre Dame 403(b) Investment Committee; Board Member of TIFF Advisory Services, Inc. (investment advisor); Member of the Investment Advisory Committees of the Financial Industry Regulatory Authority (FINRA) and of Major League Baseball.

Andr F. PeroldBorn 1952. Trustee Since December 2004. Principal Occupation(s) During the Past Five Years: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011); Chief Investment Officer and Managing Partner of HighVista Strategies LLC (private investment firm); Director of Rand Merchant Bank; Overseer of the Museum of Fine Arts Boston.

Alfred M. Rankin, Jr. Born 1941. Trustee Since January 1993. Principal Occupation(s) During the Past Five Years: Chairman, President, and Chief Executive Officer of NACCO Industries, Inc. (housewares/lignite), and of Hyster-Yale Materials Handling, Inc. (forklift trucks); Chairman of the Board of University Hospitals of Cleveland.

Peter F. VolanakisBorn 1955. Trustee Since July 2009. Principal Occupation(s) During the Past Five Years: President and Chief Operating Officer (retired 2010) of Corning Incorporated (communications equipment); Trustee of Colby-Sawyer College; Member of the Advisory Board of the Norris Cotton Cancer Center and of the Advisory Board of the Parthenon Group (strategy consulting).

Executive Officers

Glenn BooraemBorn 1967. Controller Since July 2010. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Controller of each of the investment companies served by The Vanguard Group; Assistant Controller of each of the investment companies served by The Vanguard Group (20012010).

Thomas J. HigginsBorn 1957. Chief Financial Officer Since September 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Chief Financial Officer of each of the investment companies served by The Vanguard Group; Treasurer of each of the investment companies served by The Vanguard Group (19982008).

Kathryn J. HyattBorn 1955. Treasurer Since November 2008. Principal Occupation(s) During the Past Five Years: Principal of The Vanguard Group, Inc.; Treasurer of each of the investment companies served by The Vanguard Group; Assistant Treasurer of each of the investment companies served by The Vanguard Group (19882008).

Heidi StamBorn 1956. Secretary Since July 2005. Principal Occupation(s) During the Past Five Years: Managing Director of The Vanguard Group, Inc.; General Counsel of The Vanguard Group; Secretary of The Vanguard Group and of each of the investment companies served by The Vanguard Group; Director and Senior Vice President of Vanguard Marketing Corporation.

Vanguard Senior Management Team

Mortimer J. Buckley Chris D. McIsaac Kathleen C. Gubanich Michael S. Miller Paul A. Heller James M. Norris Martha G. King Glenn W. Reed John T. Marcante

Chairman Emeritus and Senior Advisor

John J. BrennanChairman, 19962009Chief Executive Officer and President, 19962008

Founder

John C. BogleChairman and Chief Executive Officer, 19741996

1 Mr. McNabb is considered an interested person, as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.

P.O. Box 2600Valley Forge, PA 19482-2600

Connect with Vanguard > vanguard.com

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for PeopleWho Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunctionwith the offering of shares of any Vanguardfund only if preceded or accompanied bythe funds current prospectus.

All comparative mutual fund data are from Lipper, aThomson Reuters Company, or Morningstar, Inc., unlessotherwise noted.

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

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