P.O. Box 2600
Valley Forge, PA 19482-2600
610-669-1605
brian_p_murphy@vanguard.com
| February 6, 2018 | |
| Lisa N. Larkin, Esq. | |
| U.S. Securities and Exchange Commission | via electronic filing |
| 100 F Street, N.E. | |
| Washington, DC 20549 | |
| RE: | Vanguard Wellington Fund (the “Trust”) |
| File No. 811-00121 | |
| Post-Effective Amendment No. 109 – Vanguard U.S. Liquidity Factor ETF, Vanguard U.S. | |
| Minimum Volatility ETF, Vanguard U.S. Momentum Factor ETF, Vanguard U.S. | |
| Multifactor ETF, Vanguard U.S. Quality Factor ETF, Vanguard U.S. Value Factor ETF, and | |
| Vanguard U.S. Multifactor Fund (each a “Fund”, collectively, the “Funds”) |
Dear Ms. Larkin,
This letter responds to your comments provided on January 18, 2018, on the above referenced post-effective amendment.
| Comment 1: | Investment Objective and Market Exposure (Vanguard U.S. Multifactor Fund and |
| Vanguard U.S. Multifactor ETF) | |
| Comment: | Please clarify whether or not the Vanguard U.S. Multifactor Fund and the Vanguard U.S. |
| Multifactor ETF seek exposure to a liquidity factor and a volatility factor as part of their | |
| investment objective and strategy. | |
| Response: | The Funds do not attempt to seek exposure to a liquidity factor or a volatility factor. The |
| quantitative model used by the Vanguard U.S. Multifactor Fund and the Vanguard U.S. | |
| Multifactor ETF places emphasis on and seeks exposure to the stocks in the investment | |
| universe with the highest rankings related to momentum, quality, and value factors | |
| subject to a rules-based screen designed to promote diversification and to mitigate | |
| exposure to less liquid and more volatile securities. | |
| Comment 2: | Principal Investment Strategies |
| Comment: | Please clarify what is meant by the phrase “reasonable constraints” in the Principal |
| Investment Strategies. | |
| Response: | Vanguard U.S. Multifactor Fund and Vanguard U.S. Multifactor ETF |
| We will replace the second to the last sentence in the Principal Investment Strategies | |
| section with the following text: | |
Lisa N. Larkin, Esq.
February 6, 2018
Page 2
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve exposure to multiple factors subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid and more volatile stocks.”
Vanguard U.S. Liquidity Factor ETF
We will replace the third to the last sentence in the Principal Investment Strategies section with the following text:
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve exposure to securities with lower measures of trading liquidity subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid stocks.”
Vanguard U.S. Minimum Volatility ETF
We will replace the second to the last sentence in the Principal Investment Strategies section with the following text:
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve the lowest amount of expected volatility subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid stocks.”
Vanguard U.S. Momentum Factor ETF
We will replace the third to the last sentence in the Principal Investment Strategies section with the following text:
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve exposure to securities with relatively strong recent performance subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid stocks.”
Vanguard U.S. Quality Factor ETF
We will replace the third to the last sentence in the Principal Investment Strategies section with the following text:
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve exposure to securities with strong fundamentals subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid stocks.”
Lisa N. Larkin, Esq.
February 6, 2018
Page 3
Vanguard U.S. Value Factor ETF
We will replace the third to the last sentence in the Principal Investment Strategies section with the following text:
“The advisor uses a quantitative model to evaluate all of the securities in an investment universe comprised of U.S. large, mid, and small capitalization stocks and to construct a U.S. equity portfolio that seeks to achieve exposure to securities with lower prices relative to fundamental measures of value subject to a rules-based screen designed to promote diversification and to mitigate exposure to certain less liquid stocks.”
| Comment 3: | Investment Company Act Rule 35d-1: “Names Rule” |
| Comment: | Please add the criteria used by the Funds to determine whether or not a security is a U.S. |
| company consistent with rule 35d-1(a)(3). | |
| Response: | We will add the following sentence to the Security Selection section: |
| “The U.S. equity portfolio will typically include securities of issuers that are organized | |
| under the laws of the U.S., maintain their principal place of business in the U.S., or that | |
| have their primary listing in the U.S.” | |
| Comment 4: | Market Exposure (Vanguard U.S. Multifactor Fund) |
| Comment: | Consider providing more detail about each of the factors in the first sentence under |
| Market Exposure. | |
| Response: | We will replace the first sentence under Market Exposure with the following text: |
| “The Fund invests primarily in U.S. stocks considered by the advisor to have | |
| characteristics representative of multiple factors, including momentum (characterized by | |
| relatively strong recent performance) quality (characterized by strong fundamentals), and | |
| value (characterized by relatively lower share prices relative to fundamentals).” | |
| Comment 5: | Investment Advisor |
| Comment: | Please provide prior investment management experience over the past five years for |
| Antonio Picca, a portfolio manager of the Funds. | |
| Response: | U.S Factor ETFs |
| We will replace the similar text in the Investment Advisor section of the prospectus with | |
| the following text: | |
| “Antonio Picca, Portfolio Manager at Vanguard. He has worked in investment | |
| management since 2015, has been with Vanguard since 2017, and has co-managed the | |
| Funds since their inception in February 2018. Prior to joining Vanguard, he was a | |
| research associate on the strategy research team of Dimensional Fund Advisors. | |
Lisa N. Larkin, Esq.
February 6, 2018
Page 4
Education: B.S., Bocconi University; M.S., London School of Economics; M.B.A. and joint Ph.D., University of Chicago Booth School of Business and Department of Economics.”
U.S Multifactor Fund
We will replace the similar text in the Investment Advisor section of the prospectus with the following text:
“Antonio Picca, Portfolio Manager at Vanguard. He has worked in investment management since 2015, has been with Vanguard since 2017, and has co-managed the Fund since its inception in February 2018. Prior to joining Vanguard, he was a research associate on the strategy research team of Dimensional Fund Advisors. Education: B.S., Bocconi University; M.S., London School of Economics; M.B.A. and joint Ph.D., University of Chicago Booth School of Business and Department of Economics.”
| Comment 6: | Financial Statements |
| Comment: | Please confirm whether the Financial Statements reflected in the 485(a) filing will be |
| updated prior to the 485(b) filing (or if a stub period will be used). Note that the Financial | |
| Statements used in the 485(a) filing were dated November 30, 2016. | |
| Response: | Post-Effective Amendment Number 109 was filed for the express purpose of adding |
| seven new series to the Trust. Consistent with the Commission’s Notice and FAQ’s re: | |
| Mandatory Series and Class (Contract) Identifiers,1the subsequent 485(b) filing will | |
| include only the identifier of the new series and will not substantively update any other | |
| series in the Trust. As such, we have determined that updated financial statements for | |
| other series in the Trust are not required at this time. | |
Please contact me at (610) 669-1605 with any questions or comments regarding the above response.
Thank you.
Sincerely,
/s/ Brian P. Murphy
Brian P. Murphy
Senior Counsel
The Vanguard Group, Inc.
1https://www.sec.gov/info/edgar/ednews/seriesclassfaq063006.htm