UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-23002

______________________________________________

LATTICE STRATEGIES TRUST

______________________________________________________________________________

(Exact name of registrant as specified in charter)

101 Montgomery Street, 27^th Floor, San Francisco, California 94104

______________________________________________________________________________

(Address of principal executive offices) (zip code)

(Name and Address of Agent for Service)

Copy to:

Corporation Service Company

2711 Centerville Road, Suite 400

Wilmington, DE 19808

Kathleen H. Moriaty, Esq.

Kaye Scholer LLP

250 West 55^th Street

New York, New York 10019

Registrant’s telephone number, including area code: (415) 508-3400

Date of fiscal year end: September 30

Date of reporting period: September 30, 2015

Item 1. Reports to Shareholders.

Lattice Strategies Trust

[GRAPHIC MISSING]

Lattice Developed Markets (ex-US) Strategy ETF (RODM)
Lattice Emerging Markets Strategy ETF (ROAM)
Lattice Global Small Cap Strategy ETF (ROGS)
Lattice US Equity Strategy ETF (ROUS)

Annual Report

September 30, 2015

TABLE OF CONTENTS


Shareholder Letter			1
Performance Summaries (Unaudited)			2
Lattice Developed Markets (ex-US) Strategy ETF			2
Lattice Emerging Markets Strategy ETF			3
Lattice Global Small Cap Strategy ETF			4
Lattice US Equity Strategy ETF			5
Shareholder Expense Examples			6
Schedules of Investments			8
Lattice Developed Markets (ex-US) Strategy ETF			8
Lattice Emerging Markets Strategy ETF			21
Lattice Global Small Cap Strategy ETF			30
Lattice US Equity Strategy ETF			42
Statements of Assets and Liabilities			51
Statements of Operations			52
Statements of Changes in Net Assets			53
Financial Highlights			54
Notes to Financial Statements			55
Report of Independent Registered Public Accounting Firm			75
Summary of Board’s Annual Approval Process and Considerations (Unaudited)			76
Proxy Voting Information (Unaudited)			78
Other Information (Unaudited)			78
Tax Information (Unaudited)			79
Supplemental Information (Unaudited)			80
Disclosure of Information About Fund Trustees and Officers (Unaudited)			82

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Shareholder Letter

Dear Shareholder,

The annual report period ended September 30^th, 2015 concluded the first partial fiscal year for Lattice Strategies’ four ETFs: RODM (Lattice Developed Markets (ex-US) Strategy ETF), ROAM (Lattice Emerging Markets Strategy ETF), ROGS (Lattice Global Small Cap Strategy ETF), and ROUS (Lattice US Equity Strategy ETF).

It was a time period that once again reminded investors how difficult it can be to predict near-term outcomes. In a summer of fits, equities responded negatively to slowing growth from China (the world’s second-largest economy), geopolitical strife in the Middle East, and lingering questions about just when the US Federal Reserve will take action on interest rates. This cacophony of disparate, yet inter-connected events led to a sharp rise in market volatility during the late-summer months and caused many investors to reassess their expectations for growth.

In a macro-driven world, where exogenous events often induce wild price swings, investors would do well to influence the factors within their control. The indexes that drive Lattice ETFs were designed with exactly this in mind. Driven by the belief that the deliberate allocation of risk drives long-term capital growth, Lattice ETFs provide exposure to the risks and fundamental investment characteristics within each asset class that we believe will be rewarded over time.

As we often remind investors, Lattice ETFs do not seek to avoid risks, rather they seek to take better risk† by incorporating a systematic and comprehensive approach to allocating risk for long-term growth. Embedded within each of the Lattice ETFs is an attempt to incorporate the following return drivers:

Deliberate Risk Allocation — Allocate risks toward those more likely to be rewarded over time
Improved Diversification — Invest deeper into the region or asset class for resilience and opportunity
Enhanced Return Potential — Invest in companies that possess a favorable combination of risk/return factors

While Lattice ETFs are positioned for long-term growth potential, they were not immune to market volatility during the period. However, their distinct and deliberate risk-DNA contributed to their resilience relative to their capitalization-weighted counterparts during the more volatile late-summer months and since their inception.⁽¹⁾

We continue encouraging shareholders to take notice of the risk configuration represented by our ETFs and maintain a long-term view when investing. As always, we invite you to visit our website at www.latticeetfs.com to learn more about Lattice ETFs and the company behind them.

Thank you again for your confidence.

Sincerely,

Darek Wojnar, CFA
President, Lattice Strategies Trust

(1)

Inception dates: February 25, 2015 (ROUS, RODM and ROAM) and March 23, 2015 (ROGS).

†

The Index seeks to improve risk and return potential relative to capitalization-weighted benchmarks.

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Lattice Developed Markets (ex-US) Strategy ETF (RODM)

Lattice Developed Markets (ex-US) Strategy ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index (LRODMX) (the “Index”), which is designed to address risks and opportunities within developed international economies outside the U.S. by selecting equity securities of companies domiciled within developed international equity markets exhibiting a favorable combination of factor characteristics, including valuation, momentum, and quality.

By investing in the index constituents, the Fund seeks to generate returns and reduce volatility through the systematic re-allocation of risks in developed international equities through:

Deliberate Risk Allocation: Provides exposure to the growth potential of international companies while explicitly seeking to reduce volatility and drawdown risk.

Improved Diversification: Provides deep and diversified exposure across developed market economies by de-concentrating country, currency, and individual company risks, especially in mega-cap multinationals.

Enhanced Return Potential: Seeks to enhance return potential and reduce risk by selecting companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned -7.36% at net asset value (“NAV”) since inception ending September 30, 2015. The Fund’s position in Japan contributed positively to performance while its position in the Canada detracted the most from performance.

Performance


For the Period February 25, 2015 (Fund Inception Date) Through September 30, 2015
Reporting Period Return
Lattice Developed Markets (ex-US) Strategy ETF (NAV Return)	-7.36	%
Lattice Developed Markets (ex-US) Strategy ETF (Market Price Return) *	-6.84	%
Lattice Risk-Optimized Developed Markets (ex US) Strategy Index	-7.36	%

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2015) **
Country	%
Japan		18.33	%
Britain		12.69	%
Canada		11.39	%
Australia		9.06	%
France		6.25	%
Switzerland		5.58	%
Hong Kong		5.43	%
Germany		4.93	%
Israel		2.85	%
Singapore		2.80	%
Total		79.31	%


Sectors (as of Sep 30, 2015) **
Sector	%
Financials		29.20	%
Consumer Discretionary		14.37	%
Consumer Staples		12.82	%
Industrials		11.35	%
Health Care		9.19	%
Telecommunication Services		6.97	%
Materials		5.31	%
Utilities		4.60	%
Information Technology		3.40	%
Energy		2.79	%
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2015) **
Company	%
Air New Zealand Ltd.		0.79	%
UNIQA Insurance Group AG		0.75	%
Koninklijke Ahold NV		0.74	%
Woodside Petroleum Ltd.		0.72	%
Swiss Life Holding AG		0.71	%
Phoenix Group Holdings		0.70	%
SCOR SE		0.70	%
Swiss Re AG		0.69	%
Bank Leumi Le-Israel BM		0.69	%
Helvetia Holding AG		0.68	%
Total Top 10 Holdings		7.17	%

Top 10 Countries and Top 10 Holdings tables are expressed as a percentage of net assets. Holdings subject to change.

***

Sector table is expressed as a percentage of total investments.

Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.

Total Expense Ratio (per the current prospectus) 0.50%.

Performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be higher or lower than actual data quoted. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance quoted. Call 415-315-6600 for current month-end performance.

Lattice ETF Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unit aggregations only, typically consisting of 100,000 Shares.

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Lattice Emerging Markets Strategy ETF (ROAM)

Lattice Emerging Markets Strategy ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Lattice Risk-Optimized Advancing Markets Strategy Index (LROAMX) (the “Index”), which is designed to balance risks and opportunities within equity markets of emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

By investing in the index constituents, the Fund seeks to generate returns through the systematic re-allocation of risks commonly found in capitalization-weighted emerging markets indexes and similarly benchmarked active approaches. Lattice ROAM seeks to improve risk efficiency and enhance returns in emerging markets through:

Deliberate Risk Allocation: Expands the investment opportunity and seeks to harness emerging markets' growth potential by allocating risk across countries and companies.

Improved Diversification: Improves diversification by providing deeper exposure to emerging economies and companies.

Enhanced Return Potential: Increases exposure to countries earlier in their growth cycle and emphasizes companies with favorable risk/return factors, including value, quality, and momentum.

The Fund returned -20.59% at net asset value (“NAV”) since inception ending September 30, 2015. The Fund’s position in Russia contributed positively to performance while its position in Malaysia detracted the most from performance.

Performance


For the Period February 25, 2015 (Fund Inception Date) Through September 30, 2015
Reporting Period Return
Lattice Emerging Markets Strategy ETF (NAV Return)	-20.59	%
Lattice Emerging Markets Strategy ETF (Market Price Return) *	-20.59	%
Lattice Risk-Optimized Advancing Markets Strategy Index	-20.22	%

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2015) **
Country	%
Taiwan		8.97	%
South Korea		8.37	%
Malaysia		7.59	%
Philippines		7.30	%
Poland		7.30	%
China		6.93	%
Thailand		6.65	%
South Africa		6.37	%
India		6.19	%
Chile		5.89	%
Total Top 10 Countries		71.56	%


Sectors (as of Sep 30, 2015) ***
Sector	%
Financials		33.85	%
Consumer Staples		11.44	%
Information Technology		9.51	%
Energy		9.08	%
Telecommunication Services		8.29	%
Industrials		6.94	%
Consumer Discretionary		6.64	%
Materials		6.46	%
Utilities		6.26	%
Health Care		1.53	%
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2015) **
Company	%
Malayan Banking Bhd		1.06	%
America Movil SAB de CV		1.04	%
China Construction Bank Corp.		1.01	%
Wal-Mart de Mexico SAB de CV		0.96	%
Infosys Ltd.		0.93	%
Enersis SA		0.91	%
Taiwan Semiconductor Manufacturing Co. Ltd.		0.90	%
Reliance Industries Ltd.		0.87	%
Samsung Electronics Co. Ltd.		0.87	%
Telekomunikasi Indonesia Persero Tbk PT		0.86	%
Total Top 10 Holdings		9.41	%

Top 10 Countries and Top 10 Holdings tables are expressed as a percentage of net assets. Holdings subject to change.

***

Sector table is expressed as a percentage of total investments.

Total Expense Ratio (per the current prospectus) 0.65%.

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Lattice Global Small Cap Strategy ETF (ROGS)

Lattice Global Small Cap Strategy ETF (”the Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Lattice Risk-Optimized Global Small Cap Strategy Index (LROGSX) (the “Index”), which is designed to address risks and opportunities within the global small cap universe by selecting equity securities of companies exhibiting a favorable combination of factor characteristics, including valuation, momentum, and quality.

By investing in the Index constituents, ROGS seeks to capture the potential risk and performance benefits of integrating small cap companies across the US, developed and emerging markets universe in a single strategy. The Fund seeks to improve risk efficiency in small cap investing through:

Deliberate Risk Allocation: Seeks to reduce risks common to small cap investing such as volatility, drawdown and valuation risk by taking advantage of lower correlations and valuation opportunities.

Improved Diversification: Expands the opportunity set to include small companies from the US, developed and emerging markets.

Enhanced Return Potential: Selects companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned -8.50% at net asset value (“NAV”) since inception ending September 30, 2015. The Fund’s position in Japan contributed positively to performance while its position in United States detracted the most from performance.

Performance


For the Period March 23, 2015 (Fund Inception Date) Through September 30, 2015
Reporting Period Return
Lattice Global Small Cap Strategy ETF (NAV Return)	-8.50	%
Lattice Global Small Cap Strategy ETF (Market Price Return) *	-7.89	%
Lattice Risk-Optimized Global Small Cap Strategy Index	-8.32	%

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2015) **
Country	%
United States		37.90	%
Japan		12.65	%
South Korea		6.46	%
China		5.66	%
Canada		4.56	%
Hong Kong		3.96	%
Taiwan		3.82	%
South Africa		3.52	%
Britain		3.44	%
Australia		3.44	%
Total Top 10 Countries		85.41	%


Sectors (as of Sep 30, 2015) ***
Sector	%
Financials		23.50	%
Consumer Discretionary		18.93	%
Industrials		17.04	%
Information Technology		13.09	%
Health Care		7.87	%
Consumer Staples		7.60	%
Materials		4.95	%
Energy		2.60	%
Utilities		2.53	%
Telecommunication Services		1.89	%
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2015) **
Company	%
National Western Life Insurance Co.		0.65	%
Geo Holdings Corp.		0.63	%
Ascena Retail Group, Inc.		0.62	%
Skyworth Digital Holdings Ltd.		0.61	%
Mercuries Life Insurance Co. Ltd.		0.60	%
Gigabyte Technology Co. Ltd.		0.60	%
China Chengtong Development Group Ltd.		0.60	%
Dart Group PLC		0.59	%
Aspen Insurance Holdings Ltd.		0.58	%
Juroku Bank Ltd. (The)		0.58	%
Total Top 10 Holdings		6.06	%

Top 10 Countries and Top 10 Holdings tables are expressed as a percentage of net assets. Holdings subject to change.

***

Sector table is expressed as a percentage of total investments.

Total Expense Ratio (per the current prospectus) 0.60%.

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Lattice US Equity Strategy ETF (ROUS)

Lattice US Equity Strategy ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Lattice Risk-Optimized US Large Cap Equity Strategy Index (LROUSLX) (the “Index”), which seeks to improve returns through a market cycle relative to traditional cap-weighted U.S. equity market indices and active U.S. equity market strategies.

By investing in the Index constituents, the Fund seeks to generate returns and capture value in US equities through the systematic re-allocation of risks commonly found in capitalization-weighted indexes and similarly benchmarked active approaches. Lattice ROUS seeks to improve risk efficiency and enhance returns in US large cap companies through:

Deliberate Risk Allocation: Seeks to efficiently allocate capital deeper in the US large cap universe, beyond mega-caps, and toward companies with more favorable risk/reward potential.

Improved Diversification: Improves diversification across the US Large Cap universe, investing deeper into dynamic US companies.

Enhanced Return Potential: Seeks to enhance return potential and reduce risk by selecting companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned -7.46% at net asset value (“NAV”) since inception ending September 30, 2015. The Fund’s positions in Health Care contributed positively to performance while its positions in Information Technology detracted the most from performance.

Performance


For the Period February 25, 2015 (Fund Inception Date) Through September 30, 2015
Reporting Period Return
Lattice US Equity Strategy ETF (NAV Return)	-7.46	%
Lattice US Equity Strategy ETF (Market Price Return) *	-7.54	%
Lattice Risk-Optimized US Large Cap Equity Strategy Index	-7.58	%

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Sectors (as of Sep 30, 2015) **
Sector	%
Financials		19.99	%
Information Technology		17.16	%
Consumer Discretionary		15.28	%
Health Care		13.06	%
Industrials		11.13	%
Consumer Staples		10.30	%
Energy		6.32	%
Materials		3.14	%
Utilities		2.38	%
Telecommunication Services		1.24	%
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2015) ***
Company	%
Valero Energy Corp.		1.43	%
Kroger Co. (The)		1.24	%
Marathon Petroleum Corp.		1.11	%
Centene Corp.		1.04	%
Northern Trust Corp.		1.03	%
MetLife, Inc.		1.03	%
Best Buy Co., Inc.		0.97	%
LyondellBasell Industries NV		0.92	%
Aetna, Inc.		0.86	%
Phillips 66		0.83	%
Total Top 10 Holdings		10.46	%

Sector table is expressed as a percentage of total investments. Holdings subject to change.

***

Top 10 Holdings table is expressed as a percentage of net assets.

Total Expense Ratio (per the current prospectus) 0.35%.

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Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2015 through September 30, 2015.

Actual Expenses

The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $6,800 account value divided by $1,000 = $6.80), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

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Hypothetical Example For Comparison Purposes

The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (including expenses of the independent trustees and their counsel, extraordinary expenses (e.g., acquiring fund fees expenses and litigation fees expenses) and interest expense).


	Beginning Account Value		Ending Account Value		Annualized Expense Ratio			Expenses Paid During Period
Lattice Developed Markets (ex-US) Strategy ETF *
Actual Fund Return	$	1,000	$	939.10		0.50	%	$	2.43
Hypothetical 5% Annual Return	$	1,000	$	1,022.56		0.50	%	$	2.54
Lattice Emerging Markets Strategy ETF *
Actual Fund Return	$	1,000	$	813.00		0.65	%	$	2.95
Hypothetical 5% Annual Return	$	1,000	$	1,021.81		0.65	%	$	3.29
Lattice Global Small Cap Strategy ETF *
Actual Fund Return	$	1,000	$	920.90		0.60	%	$	2.89
Hypothetical 5% Annual Return	$	1,000	$	1,022.06		0.60	%	$	3.04
Lattice US Equity Strategy ETF *
Actual Fund Return	$	1,000	$	928.70		0.35	%	$	1.69
Hypothetical 5% Annual Return	$	1,000	$	1,023.31		0.35	%	$	1.78

Expenses are equal to each Fund's annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days in the period (183), then divided by the number of days in the year (365) to reflect the period.

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LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
COMMON STOCKS — (99.2%)
Australia — (9.1%)
Adelaide Brighton Ltd.		25,364	$	77,482
AGL Energy Ltd. ^(a)		6,126		68,703
Amcor Ltd.		10,090		93,319
Ansell Ltd.		6,103		80,359
AusNet Services ^(a)		23,253		22,290
Australia & New Zealand Banking Group Ltd.		5,930		112,770
BHP Billiton Ltd.		6,043		94,295
BHP Billiton PLC		2,041		31,071
Brambles Ltd.		15,606		106,744
Caltex Australia Ltd.		669		14,696
CIMIC Group Ltd. ^(a)		3,761		62,067
Coca-Cola Amatil Ltd.		9,251		58,534
Cochlear Ltd.		276		16,178
CSL Ltd.		1,112		69,656
Dexus Property Group		15,012		75,377
Echo Entertainment Group Ltd.		13,295		45,188
Federation Centres		80,676		155,234
Fortescue Metals Group Ltd. ^(a)		8,789		11,233
GPT Group (The)		27,318		86,520
Harvey Norman Holdings Ltd. ^(a)		7,209		19,643
Incitec Pivot Ltd.		157		430
Insurance Australia Group Ltd. ^(a)		33,782		114,821
Lend Lease Group		2,063		18,182
Macquarie Group Ltd.		1,182		63,632
Mirvac Group		42,631		51,493
Orica Ltd. ^(a)		11,392		120,320
Primary Health Care Ltd. ^(a)		44,655		118,851
QBE Insurance Group Ltd.		8,866		80,255
Sonic Healthcare Ltd.		6,550		83,945
Stockland		945		2,555
Tabcorp Holdings Ltd.		27,006		88,566
Telstra Corp. Ltd.		15,151		59,689
Wesfarmers Ltd. ^(a)		3,805		104,798
Westfield Corp.		1,344		9,410
Woodside Petroleum Ltd.		9,695		196,965
Woolworths Ltd. ^(a)		3,914		68,275
				2,483,546

See accompanying Notes to Financial Statements.

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LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Austria — (1.6%)
Oesterreichische Post AG		2,858	$	97,876
OMV AG		1,077		26,124
UNIQA Insurance Group AG		23,781		205,728
Vienna Insurance Group AG Wiener Versicherung Gruppe		2,481		72,974
voestalpine AG		677		23,200
				425,902
Belgium — (2.3%)
Ackermans & van Haaren NV		165		24,128
Ageas		2,080		85,222
Cie d'Entreprises CFE		805		101,764
Colruyt SA ^(a)		821		39,434
Delhaize Group		1,289		113,813
Elia System Operator SA		923		44,818
Groupe Bruxelles Lambert SA		769		57,864
Proximus		3,891		134,035
Sofina SA		264		29,331
Umicore SA ^(a)		71		2,730
				633,139
Bermuda — (0.6%)
HAL Trust		600		105,151
Hiscox Ltd.		3,718		53,052
				158,203
Britain — (12.7%)
Aggreko PLC		1,272		18,324
Amlin PLC		12,203		121,351
AstraZeneca PLC		593		37,560
Bellway PLC		131		4,933
Berendsen PLC		6,712		101,975
Berkeley Group Holdings PLC		240		12,142
Betfair Group PLC		2,114		106,344
Booker Group PLC		8,425		23,597
BP PLC		4,585		23,197
British American Tobacco PLC		344		18,983
British Land Co. PLC (The)		3,899		49,522
Britvic PLC		4,417		45,396
BT Group PLC		10,393		66,057
Centrica PLC		48,681		169,011
Compass Group PLC		485		7,736
Croda International PLC		367		15,060
Dunelm Group PLC		5,117		69,759
Fiat Chrysler Automobiles NV ^(b)		10,905		141,325
GlaxoSmithKline PLC		7,297		139,933
Home Retail Group PLC		14,788		30,464

See accompanying Notes to Financial Statements.

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LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Britain (continued)
HSBC Holdings PLC		16,236	$	122,648
Imperial Tobacco Group PLC		2,555		132,089
International Consolidated Airlines Group SA ^(b)		5,474		48,755
J Sainsbury PLC ^(a)		24,527		96,967
John Wood Group PLC		4,955		46,159
Kingfisher PLC		19,010		103,260
Land Securities Group PLC		3,723		71,000
Legal & General Group PLC		41,039		148,012
Marks & Spencer Group PLC		11,269		85,519
Micro Focus International PLC		4,060		73,983
National Grid PLC		8,064		112,243
Next PLC		968		111,584
Old Mutual PLC		19,398		55,563
Pearson PLC		121		2,066
Petrofac Ltd.		1,235		14,367
Polyus Gold International Ltd. ^(a)		5,647		16,466
Redrow PLC		958		6,620
RELX NV		3,260		53,020
RELX PLC		304		5,213
Rentokil Initial PLC		4,696		10,464
Rexam PLC		1,921		15,233
RPC Group PLC		2,780		26,677
Sage Group PLC (The)		5,730		43,345
Segro PLC		4,617		30,038
Severn Trent PLC		631		20,875
Shaftesbury PLC		5,124		71,174
Sky PLC		6,281		99,328
Smith & Nephew PLC		2,063		36,030
SSE PLC		7,493		169,796
Stagecoach Group PLC		10,923		55,858
Standard Life PLC		5,398		31,709
Subsea 7 SA ^(a)^(b)		2,744		20,588
TalkTalk Telecom Group PLC ^(a)		10,634		50,659
Unilever NV		906		36,296
Vodafone Group PLC		35,710		112,754
WH Smith PLC		433		10,258
William Hill PLC		9,982		53,042
WM Morrison Supermarkets PLC ^(a)		30,435		76,574
				3,478,901
Canada — (11.4%)
Agrium, Inc. ^(a)		537		47,904
Air Canada ^(a)^(b)		15,045		120,409
Alimentation Couche-Tard, Inc.		3,966		181,542

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Canada (continued)
Bank of Montreal		2,916	$	158,295
BCE, Inc.		2,756		112,279
Brookfield Asset Management, Inc.		727		22,769
Canadian Apartment Properties REIT		5,749		121,695
Canadian Imperial Bank of Commerce ^(a)		1,845		131,945
Canadian Tire Corp. Ltd.		600		53,726
CCL Industries, Inc.		626		87,468
CGI Group, Inc. ^(b)		46		1,659
Cineplex, Inc.		1,063		37,606
Cominar Real Estate Investment Trust		1,007		12,115
Dollarama, Inc.		1,203		80,873
Dream Office Real Estate Investment Trust		152		2,404
Emera, Inc.		712		23,510
Empire Co. Ltd.		6,666		136,482
Enbridge Income Fund Holdings, Inc. ^(a)		656		15,325
Fairfax Financial Holdings Ltd.		48		21,758
Finning International, Inc.		800		11,683
Genworth MI Canada, Inc. ^(a)		4,400		94,354
George Weston Ltd.		1,401		112,816
Great-West Lifeco, Inc.		2,373		56,586
Husky Energy, Inc.		356		5,526
Imperial Oil Ltd. ^(a)		1,113		35,099
Industrial Alliance Insurance & Financial Services, Inc.		3,419		101,547
Intact Financial Corp.		786		54,944
Linamar Corp.		30		1,565
Loblaw Cos. Ltd.		1,451		74,363
Magna International, Inc.		3,225		153,974
Manulife Financial Corp.		9,884		152,164
Metro, Inc.		4,659		126,353
National Bank of Canada		1,597		50,744
Potash Corp. of Saskatchewan, Inc.		62		1,269
Power Corp. of Canada		7,893		162,899
Power Financial Corp. ^(a)		1,257		28,690
Progressive Waste Solutions Ltd.		866		22,795
Rogers Communications, Inc.		2,701		92,632
Shaw Communications, Inc. ^(a)		508		9,791
Smart Real Estate Investment Trust		664		15,145
Stantec, Inc.		1,501		32,669
Sun Life Financial, Inc.		3,294		105,746
TELUS Corp.		3,144		98,609
WestJet Airlines Ltd.		2,400		42,605
WestJet Airlines Ltd. – VV		5,986		105,906
				3,120,238

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
China — (0.4%)
FIH Mobile Ltd.		55,000	$	25,193
Yangzijiang Shipbuilding Holdings Ltd. ^(a)		103,500		82,617
				107,810
Denmark — (1.0%)
AP Moeller – Maersk A/S		68		104,494
Carlsberg A/S		572		43,863
Coloplast A/S		67		4,739
Novo Nordisk A/S		1,639		87,845
Pandora A/S		130		15,153
TDC A/S		1,378		7,087
William Demant Holding A/S ^(b)		237		19,681
				282,862
Finland — (0.7%)
Elisa Oyj		3,209		108,250
Fortum Oyj		653		9,644
Kesko Oyj		7		247
Orion Oyj		1,938		73,119
				191,260
France — (6.3%)
Aeroports de Paris ^(a)		141		15,952
Air Liquide SA		246		29,011
Airbus Group SE		757		44,709
Atos SE		463		35,423
AXA SA		3,466		83,704
BioMerieux		620		66,944
Cap Gemini SA		258		22,930
Christian Dior SE		441		82,233
Cie Generale des Etablissements Michelin		1,000		90,885
CNP Assurances		10,444		144,677
Danone SA		270		17,004
Dassault Systemes		225		16,576
Electricite de France SA		1,503		26,449
Essilor International SA		188		22,853
Euler Hermes Group		450		41,692
Eutelsat Communications SA		1,212		37,069
Hermes International		104		37,729
Ipsen SA		1,399		86,515
Legrand SA		369		19,538
Orange SA		954		14,398
Peugeot SA ^(a)^(b)		3,653		54,865
Rexel SA		225		2,758
Rubis SCA		1,008		74,779
SCOR SE		5,337		190,906

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
France (continued)
SEB SA		784	$	72,120
Societe BIC SA		319		49,424
Sodexo SA		725		59,887
Suez Environnement Co.		1,830		32,745
Technicolor SA ^(a)		1,219		8,386
Technip SA		119		5,601
Thales SA		1,318		91,466
TOTAL SA		1,351		60,624
Valeo SA		237		31,945
Veolia Environnement SA		1,807		41,209
				1,713,006
Germany — (4.9%)
Allianz SE		878		137,454
Aurubis AG		1,146		72,788
Brenntag AG		197		10,592
Deutsche Post AG		855		23,645
Deutsche Telekom AG		1,391		24,665
Freenet AG		842		27,759
Fresenius Medical Care AG & Co. KGaA		1,933		150,651
Fresenius SE & Co. KGaA		1,645		110,174
Hannover Rueck SE		1,796		183,518
HUGO BOSS AG		126		14,121
K+S AG		1,775		59,292
Kabel Deutschland Holding AG ^(b)		448		58,259
Krones AG		384		40,335
Linde AG		236		38,185
Merck KGaA		445		39,286
METRO AG		186		5,126
Muenchener Rueckversicherungs-Gesellschaft AG		994		185,018
Rational AG		19		7,581
RWE AG		8,890		100,723
Sartorius AG		88		20,889
Siemens AG		386		34,444
Suedzucker AG ^(a)		319		5,783
				1,350,288
Hong Kong — (5.4%)
Bank of East Asia Ltd. (The)		34,400		115,406
BOC Hong Kong Holdings Ltd.		11,000		32,290
Brightoil Petroleum Holdings Ltd. ^(b)		30,000		10,529
Champion REIT		218,000		108,577
CP Pokphand Co. Ltd.		1,130,000		125,393
Dah Sing Banking Group Ltd.		5,600		10,275
Dah Sing Financial Holdings Ltd.		6,800		37,115

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Hong Kong (continued)
Dairy Farm International Holdings Ltd. ^(a)		500	$	3,035
Haitong International Securities Group Ltd.		138,000		68,198
Hang Lung Properties Ltd.		20,000		44,800
Hang Seng Bank Ltd.		1,800		32,330
Henderson Land Development Co. Ltd.		2,600		15,466
Hong Kong Exchanges and Clearing Ltd.		5,100		116,345
Hongkong Land Holdings Ltd.		8,900		58,829
Hui Xian Real Estate Investment Trust		220,000		109,012
Kerry Properties Ltd.		30,000		82,064
Lifestyle International Holdings Ltd.		16,500		23,590
Link REIT		6,000		32,903
New World Development Co. Ltd.		51,000		49,354
Pacific Textiles Holdings Ltd.		41,000		55,654
PCCW Ltd.		27,000		13,831
SJM Holdings Ltd.		133,000		94,043
SmarTone Telecommunications Holdings Ltd.		26,000		48,846
Swire Pacific Ltd.		1,500		16,732
Television Broadcasts Ltd.		200		666
VTech Holdings Ltd.		7,100		84,146
Wheelock & Co. Ltd.		11,000		47,548
Yue Yuen Industrial Holdings Ltd.		14,000		51,754
				1,488,731
Ireland — (1.7%)
DCC PLC		1,896		143,282
ICON PLC ^(b)		1,242		88,145
Paddy Power PLC		1,111		127,984
Ryanair Holdings PLC		1,088		85,190
Shire PLC		201		13,713
				458,314
Israel — (2.8%)
Bank Hapoalim BM		25,720		129,291
Bank Leumi Le-Israel BM ^(b)		50,772		189,381
Bezeq The Israeli Telecommunication Corp. Ltd.		82,775		158,173
Elbit Systems Ltd.		872		64,408
Mizrahi Tefahot Bank Ltd.		8,791		103,837
Taro Pharmaceutical Industries Ltd. ^(b)		479		68,444
Teva Pharmaceutical Industries Ltd.		825		47,189
				760,723

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Italy — (1.4%)
Assicurazioni Generali SpA		993	$	18,134
Eni SpA		5,581		87,529
EXOR SpA		2,349		102,208
Recordati SpA		5,141		118,388
Snam SpA		5,681		29,132
UnipolSai SpA		17,498		37,990
				393,381
Japan — (18.3%)
Aeon Co. Ltd. ^(a)		8,200		127,007
Aisin Seiki Co. Ltd.		1,300		43,418
Ajinomoto Co., Inc.		2,000		41,999
Alfresa Holdings Corp. ^(a)		1,800		30,585
Asahi Kasei Corp.		16,000		112,220
Bandai Namco Holdings, Inc.		2,100		48,570
Benesse Holdings, Inc. ^(a)		800		21,342
Bic Camera, Inc. ^(a)		13,700		118,852
Canon Marketing Japan, Inc.		6,700		98,795
Canon, Inc. ^(a)		4,000		115,359
Chiba Bank Ltd. (The)		1,000		7,064
COMSYS Holdings Corp. ^(a)		1,100		13,061
CyberAgent, Inc. ^(a)		1,600		62,255
Dai-ichi Life Insurance Co. Ltd. (The) ^(a)		7,500		118,576
Daihatsu Motor Co. Ltd. ^(a)		6,300		72,645
Daiichi Sankyo Co. Ltd. ^(a)		3,900		67,407
FamilyMart Co. Ltd.		3,500		159,269
FANUC Corp.		100		15,292
Fuji Heavy Industries Ltd.		2,100		75,100
FUJIFILM Holdings Corp.		1,200		44,647
Fujitsu Ltd.		14,000		60,610
H2O Retailing Corp.		1,000		18,862
Hakuhodo DY Holdings, Inc.		5,100		48,162
Hikari Tsushin, Inc.		400		27,888
HIS Co. Ltd.		700		22,765
Hitachi High-Technologies Corp.		2,300		49,489
Hitachi Transport System Ltd.		6,000		98,443
Hoya Corp.		600		19,553
Ito En Ltd. ^(a)		2,500		52,165
ITOCHU Corp. ^(a)		3,700		38,849
Itochu Techno-Solutions Corp. ^(a)		4,600		97,750
Izumi Co. Ltd.		700		28,260
Japan Aviation Electronics Industry Ltd. ^(a)		3,000		44,662
Japan Tobacco, Inc. ^(a)		700		21,596
Kaken Pharmaceutical Co. Ltd.		500		46,132

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Japan (continued)
KDDI Corp.		3,000	$	66,806
Kewpie Corp. ^(a)		1,900		37,646
Kinden Corp. ^(a)		1,400		17,698
Konica Minolta, Inc. ^(a)		700		7,329
Kose Corp. ^(a)		1,000		90,594
Lawson, Inc. ^(a)		900		66,205
Lion Corp. ^(a)		2,000		17,518
Mazda Motor Corp. ^(a)		1,900		29,825
Medipal Holdings Corp.		5,000		78,946
MEIJI Holdings Co. Ltd. ^(a)		400		29,191
Mitsubishi Electric Corp.		3,000		27,304
Mitsubishi Motors Corp. ^(a)		5,900		44,928
Mixi, Inc.		700		23,847
MS&AD Insurance Group Holdings, Inc. ^(a)		3,700		98,644
Murata Manufacturing Co. Ltd.		300		38,500
Nichirei Corp.		1,000		6,229
Nippo Corp.		4,000		67,966
Nippon Telegraph & Telephone Corp.		2,900		101,166
Nissan Motor Co. Ltd. ^(a)		4,500		41,106
Nitori Holdings Co. Ltd. ^(a)		500		39,035
Nitto Denko Corp.		700		41,644
NOK Corp.		300		6,445
NS Solutions Corp.		700		29,458
NTT DOCOMO, Inc.		4,400		73,220
Otsuka Corp. ^(a)		1,300		63,174
Otsuka Holdings Co. Ltd. ^(a)		5,200		165,337
Panasonic Corp. ^(a)		11,300		113,552
Pola Orbis Holdings, Inc.		200		12,358
Rohto Pharmaceutical Co. Ltd.		500		7,653
Ryohin Keikaku Co. Ltd. ^(a)		500		101,532
Sekisui House Ltd.		2,400		37,373
Seven & i Holdings Co. Ltd.		400		18,182
Shimamura Co. Ltd. ^(a)		1,100		118,115
Shiseido Co. Ltd. ^(a)		400		8,685
Sompo Japan Nipponkoa Holdings, Inc.		600		17,314
Sony Corp. ^(b)		3,100		75,025
Sugi Holdings Co. Ltd.		1,100		49,230
Sumitomo Forestry Co. Ltd.		4,000		44,554
Sumitomo Heavy Industries Ltd.		5,000		19,664
Sumitomo Mitsui Financial Group, Inc.		3,700		139,393
Sundrug Co. Ltd. ^(a)		1,000		52,436
Suzuken Co. Ltd.		1,400		46,466
T&D Holdings, Inc.		5,500		64,499

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Japan (continued)
Toho Gas Co. Ltd. ^(a)		12,000	$	70,538
Tokai Rika Co. Ltd. ^(a)		2,700		55,391
Tokio Marine Holdings, Inc.		1,700		63,052
Tokyo Gas Co. Ltd.		17,000		82,016
Toyo Suisan Kaisha Ltd.		1,600		60,385
Toyota Boshoku Corp. ^(a)		4,000		67,499
Tsuruha Holdings, Inc.		1,000		85,918
Ube Industries Ltd.		37,000		64,259
West Japan Railway Co.		600		37,478
Yamada Denki Co. Ltd. ^(a)		2,500		10,061
Yamazaki Baking Co. Ltd. ^(a)		8,000		122,640
				5,023,678
Jersey — (0.7%)
Phoenix Group Holdings		15,492		191,839
				191,839
Luxembourg — (0.3%)
Millicom International Cellular SA		599		37,352
SES SA		1,481		46,570
				83,922
Netherlands — (2.4%)
Aegon NV		25,653		147,042
AerCap Holdings NV ^(b)		2,100		80,304
Akzo Nobel NV		174		11,263
Boskalis Westminster		1,141		49,774
Delta Lloyd NV		569		4,766
Heineken Holding NV		931		66,126
Koninklijke Ahold NV		10,362		201,374
Koninklijke DSM NV		99		4,552
Randstad Holding NV		231		13,720
Royal Dutch Shell PLC		2,604		61,651
				640,572
New Zealand — (2.0%)
Air New Zealand Ltd.		138,145		216,952
Contact Energy Ltd.		6,818		21,589
Fisher & Paykel Healthcare Corp. Ltd.		28,508		129,480
Fletcher Building Ltd.		19,409		84,428
Spark New Zealand Ltd.		53,944		102,834
				555,283
Norway — (1.6%)
Leroy Seafood Group ASA		1,569		56,285
Norsk Hydro ASA		4,193		13,941
Salmar ASA		6,197		97,713
Statoil ASA		7,295		106,132

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Norway (continued)
Telenor ASA		2,525	$	47,037
TGS Nopec Geophysical Co. ASA ^(a)		480		8,852
Yara International ASA		2,782		110,726
				440,686
Portugal — (0.3%)
EDP – Energias de Portugal SA		11,194		40,872
Jeronimo Martins SGPS SA		2,783		37,418
Portucel SA		3,539		12,246
				90,536
Singapore — (2.8%)
CapitaLand Commercial Trust Ltd. ^(a)		1,400		1,319
CapitaLand Mall Trust		41,100		54,920
ComfortDelGro Corp. Ltd. ^(a)		43,300		87,398
DBS Group Holdings Ltd.		8,600		98,042
Keppel Corp. Ltd. ^(a)		400		1,907
Keppel REIT ^(a)		14,600		9,806
M1 Ltd.		1,300		2,578
Mapletree Commercial Trust ^(a)		8,600		7,591
Mapletree Industrial Trust		104,900		109,555
Oversea-Chinese Banking Corp. Ltd. ^(a)		14,312		88,475
SATS Ltd.		42,000		113,130
Singapore Airlines Ltd.		15,500		116,640
StarHub Ltd. ^(a)		27,400		66,674
United Overseas Bank Ltd.		700		9,132
				767,167
Spain — (1.3%)
Almirall SA		6,381		113,608
Amadeus IT Holding SA ^(a)		945		40,322
Distribuidora Internacional de Alimentacion SA ^(a)^(b)		10,269		61,933
Ebro Foods SA		855		16,745
Endesa SA		3,389		71,271
Gas Natural SDG SA		126		2,451
Prosegur Cia de Seguridad SA		152		730
Red Electrica Corp. SA		205		16,966
Viscofan SA		555		33,380
				357,406
Sweden — (1.6%)
Axfood AB		6,408		105,437
Electrolux AB		1,153		32,444
Hennes & Mauritz AB		898		32,731
ICA Gruppen AB ^(a)		752		25,375
Investor AB		662		22,661
Securitas AB		2,442		29,728

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Sweden (continued)
Skandinaviska Enskilda Banken AB		2,529	$	26,942
Tele2 AB		6,766		65,707
Telefonaktiebolaget LM Ericsson		643		6,302
TeliaSonera AB		16,910		90,810
				438,137
Switzerland — (5.5%)
ABB Ltd. ^(b)		2,626		46,279
Actelion Ltd. ^(b)		280		35,448
Adecco SA ^(b)		344		25,084
Baloise Holding AG		494		56,473
Banque Cantonale Vaudoise ^(b)		72		42,370
DKSH Holding AG ^(b)		280		17,667
Flughafen Zuerich AG		43		29,837
Givaudan SA ^(b)		26		42,176
Helvetia Holding AG		382		186,973
Julius Baer Group Ltd. ^(b)		988		44,713
Kuehne + Nagel International AG		321		41,131
Nestle SA		1,103		82,688
Novartis AG		768		70,268
Panalpina Welttransport Holding AG		260		28,339
Pargesa Holding SA		37		2,164
Roche Holding AG		218		57,339
Schindler Holding AG		313		44,847
SGS SA		3		5,220
Swiss Life Holding AG ^(b)		878		195,351
Swiss Prime Site AG ^(b)		375		27,326
Swiss Re AG		2,220		189,942
Swisscom AG		227		112,954
Syngenta AG		265		84,645
Wolseley PLC		778		45,466
				1,514,700
United States — (0.1%)
Carnival PLC		338		17,525
Valeant Pharmaceuticals International, Inc. ^(b)		100		17,767
				35,292
TOTAL COMMON STOCKS				27,185,522
LIMITED PARTNERSHIPS — (0.1%)
Israel — (0.1%)
Isramco Negev 2 LP		117,079		20,464
TOTAL LIMITED PARTNERSHIPS				20,464

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
MUTUAL FUNDS — (0.0%) ^(c)
Switzerland — (0.0%) ^(c)
BB Biotech AG Fund ^(b)		50	$	13,279
TOTAL MUTUAL FUNDS				13,279
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.3%) (Cost $28,585,427)				27,219,265
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (11.1%) (Cost $3,031,657)
State Street Navigator Securities Lending Prime Portfolio, 0.20%		3,031,657		3,031,657
TOTAL INVESTMENTS — (110.4%) (Cost $31,617,084)				30,250,922
OTHER ASSETS & LIABILITIES — (-10.4%)				(2,844,733	)
NET ASSETS — (100.0%)			$	27,406,189

(a)

Represents entire or partial securities on loan. See Note 7 for securities lending information.

(b)

Non-income producing security.

(c)

Amount shown represents less than 0.05% of net assets.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	3,031,657	$	3,031,657
Total Borrowings	$	3,031,657	$	3,031,657
Gross amount of recognized liabilities for securities lending transactions			$	3,031,657

(1)

Amounts represent the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
COMMON STOCKS — (99.4%)
Brazil — (4.0%)
Ambev SA		21,853	$	106,577
Banco Bradesco SA		12,218		65,724
Banco do Brasil SA		17,549		66,989
BB Seguridade Participacoes SA		87		542
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		12,047		33,521
BRF SA		3,401		60,291
CCR SA		445		1,360
Cielo SA		4,689		43,170
Embraer SA		16,107		103,148
Itau Unibanco Holding SA		9,978		66,429
JBS SA		23,482		99,072
Kroton Educacional SA		2,620		5,073
Petroleo Brasileiro SA ^(a)		20,284		36,880
Tim Participacoes SA		21,286		40,146
Ultrapar Participacoes SA		2,945		49,404
				778,326
Chile — (5.9%)
Aguas Andinas SA		247,097		128,236
Banco de Credito e Inversiones		2,466		99,860
Banco Santander Chile		4,333		78,947
Cencosud SA		44,095		85,666
Cia Cervecerias Unidas SA ^(b)		4,374		96,884
Colbun SA		64,104		16,480
Corpbanca SA		11,486,901		100,945
Empresa Nacional de Electricidad SA		67,077		78,768
Empresas CMPC SA		35,902		92,185
Empresas COPEC SA		5,674		51,364
Enersis SA		14,172		179,134
SACI Falabella		19,960		123,393
Sociedad Matriz del Banco de Chile SA		98,257		27,198
				1,159,060
China — (6.9%)
Agricultural Bank of China Ltd. H-Shares		126,000		47,636
Baidu, Inc. ADR ^(a)		542		74,476
Bank of China Ltd. H-Shares		239,000		102,692
Bank of Communications Co. Ltd. H-Shares		186,000		128,879
China Construction Bank Corp. H-Shares		300,000		199,354
China Everbright Bank Co. Ltd. H-Shares		94,000		40,875
China Life Insurance Co. Ltd. H-Shares		18,000		62,245
China Merchants Bank Co. Ltd. H-Shares		28,500		68,767
China Minsheng Banking Corp. Ltd. H-Shares		59,000		54,356
China Pacific Insurance Group Co. Ltd. H-Shares		15,600		57,669

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
China (continued)
China Petroleum & Chemical Corp. H-Shares		122,000	$	74,144
China Vanke Co. Ltd. H-Shares		22,200		47,379
CITIC Securities Co. Ltd. H-Shares		11,000		19,587
Haitong Securities Co. Ltd. H-Shares		5,600		8,064
Industrial & Commercial Bank of China Ltd. H-Shares		259,000		149,049
PetroChina Co. Ltd. H-Shares		74,000		51,275
Ping An Insurance Group Co. of China Ltd. H-Shares		12,500		61,854
Tencent Holdings Ltd.		6,900		115,118
				1,363,419
Colombia — (4.6%)
Almacenes Exito SA		18,143		77,929
Banco Davivienda SA		15,663		121,666
Bancolombia SA		16,256		124,903
Corp. Financiera Colombiana SA		10,670		131,270
Ecopetrol SA		199,804		86,080
Grupo Argos SA		6,824		39,567
Grupo de Inversiones Suramericana SA		5,068		58,903
Grupo Nutresa SA		23,048		155,140
Isagen SA ESP		122,805		114,566
				910,024
India — (6.2%)
Axis Bank Ltd.		2,587		97,530
HDFC Bank Ltd.		1,899		116,010
ICICI Bank Ltd.		10,414		87,269
Infosys Ltd.		9,552		182,348
Larsen & Toubro Ltd.		1,508		33,704
Mahindra & Mahindra Ltd.		3,614		69,750
Reliance Industries Ltd. ^(c)		6,611		171,886
State Bank of India		4,316		156,887
Tata Motors Ltd. ^(a)		6,746		151,785
Wipro Ltd. ^(b)		12,300		151,167
				1,218,336
Indonesia — (5.1%)
Adaro Energy Tbk PT		69,500		2,538
Astra International Tbk PT		244,200		87,095
Bank Central Asia Tbk PT		95,700		80,185
Bank Mandiri Persero Tbk PT		125,900		68,106
Bank Negara Indonesia Persero Tbk PT		266,400		75,192
Bank Rakyat Indonesia Persero Tbk PT		159,300		94,058
Bumi Serpong Damai Tbk PT		257,900		24,734
Indocement Tunggal Prakarsa Tbk PT		70,500		79,162
Indofood Sukses Makmur Tbk PT		47,100		17,683
Kalbe Farma Tbk PT		389,800		36,585

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Indonesia (continued)
Lippo Karawaci Tbk PT		103,000	$	7,945
Matahari Department Store Tbk PT		33,500		36,816
Media Nusantara Citra Tbk PT		13,300		1,489
Perusahaan Gas Negara Persero Tbk PT		249,600		43,105
Semen Indonesia Persero Tbk PT		96,500		59,613
Surya Citra Media Tbk PT		3,600		673
Telekomunikasi Indonesia Persero Tbk PT		934,600		168,738
United Tractors Tbk PT		94,300		112,484
				996,201
Malaysia — (7.6%)
AMMB Holdings Bhd		95,000		98,550
Axiata Group Bhd		44,700		58,980
British American Tobacco Malaysia Bhd		6,000		82,334
CIMB Group Holdings Bhd		119,200		120,942
DiGi.Com Bhd		46,100		58,205
Gamuda Bhd		2,200		2,197
Genting Bhd		15,700		25,966
Genting Malaysia Bhd		46,600		43,995
IJM Corp. Bhd		73,600		53,914
IOI Corp. Bhd		32,400		29,999
Kuala Lumpur Kepong Bhd		5,300		26,164
Malayan Banking Bhd		106,900		208,170
Maxis Bhd		46,600		69,437
MISC Bhd		23,800		47,646
Petronas Chemicals Group Bhd		65,900		92,049
Public Bank Bhd		34,100		135,911
RHB Capital Bhd		29,800		40,337
Sime Darby Bhd		23,800		42,177
Telekom Malaysia Bhd		26,100		39,663
Tenaga Nasional Bhd		42,100		115,121
UMW Holdings Bhd		41,300		70,654
YTL Corp. Bhd		84,300		30,684
				1,493,095
Mexico — (5.4%)
Alfa SAB de CV ^(b)		36,712		71,423
America Movil SAB de CV ^(b)		248,398		205,499
Arca Continental SAB de CV ^(b)		13,237		74,345
Coca-Cola Femsa SAB de CV		4,004		27,766
Fibra Uno Administracion SA de CV		22,450		46,247
Gruma SAB de CV		7,533		104,371
Grupo Bimbo SAB de CV ^(a)^(b)		21,453		54,193
Grupo Financiero Banorte SAB de CV ^(b)		11,594		56,647
Grupo Mexico SAB de CV ^(b)		45,250		109,262

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Mexico (continued)
Kimberly-Clark de Mexico SAB de CV ^(b)		39,357	$	88,785
Mexichem SAB de CV ^(b)		10,400		25,474
Promotora y Operadora de Infraestructura SAB de CV ^(a)		1,642		18,022
Wal-Mart de Mexico SAB de CV ^(b)		77,092		188,832
				1,070,866
Philippines — (7.3%)
Alliance Global Group, Inc.		48,500		15,897
Ayala Corp.		4,230		69,414
Ayala Land, Inc.		43,900		31,934
Bank of the Philippine Islands		83,610		143,643
BDO Unibank, Inc.		37,680		83,438
DMCI Holdings, Inc.		206,500		56,551
Energy Development Corp.		156,100		18,369
GT Capital Holdings, Inc.		4,135		111,912
International Container Terminal Services, Inc.		46,660		74,922
JG Summit Holdings, Inc.		80,660		122,267
Jollibee Foods Corp.		3,700		15,262
Megaworld Corp.		782,900		73,198
Metro Pacific Investments Corp.		788,500		84,012
Metropolitan Bank & Trust Co.		51,550		89,997
Philippine Long Distance Telephone Co.		3,260		152,747
Security Bank Corp.		45,330		133,061
SM Investments Corp.		3,470		66,111
SM Prime Holdings, Inc.		15,400		6,804
Universal Robina Corp.		21,280		87,415
				1,436,954
Poland — (7.3%)
Alior Bank SA ^(a)		2,249		46,842
Asseco Poland SA		7,867		111,740
Bank Pekao SA		2,665		108,211
Bank Zachodni WBK SA ^(a)		700		54,030
Cyfrowy Polsat SA ^(a)		1,180		7,252
Enea SA		24,798		88,104
Energa SA		17,984		79,739
KGHM Polska Miedz SA		4,248		91,550
LPP SA		11		22,622
Lubelski Wegiel Bogdanka SA		1,048		15,654
mBank SA ^(a)		30		2,738
Orange Polska SA		62,215		118,947
PGE Polska Grupa Energetyczna SA		24,673		87,465
Polski Koncern Naftowy Orlen SA		8,909		155,100
Polskie Gornictwo Naftowe i Gazownictwo SA		73,123		125,380
Powszechna Kasa Oszczednosci Bank Polski SA ^(a)		10,595		82,000

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Poland (continued)
Powszechny Zaklad Ubezpieczen SA		1,267	$	129,847
Tauron Polska Energia SA		126,915		109,474
				1,436,695
Russia — (4.6%)
Gazprom PAO		33,584		135,008
Lukoil PJSC		3,556		120,762
Magnit PJSC		1,260		60,190
MMC Norilsk Nickel PJSC		7,903		113,369
Novatek OAO		492		45,510
Rosneft OAO		20,216		74,597
Sberbank of Russia		16,738		82,610
Surgutneftegas OAO		32,677		166,816
Tatneft PAO		3,791		105,958
				904,820
South Africa — (6.4%)
AngloGold Ashanti Ltd. ^(a)		2,024		16,027
Aspen Pharmacare Holdings Ltd. ^(a)		151		3,211
Barclays Africa Group Ltd.		3,199		39,377
Bidvest Group Ltd. (The) ^(b)		4,112		97,014
FirstRand Ltd.		18,997		67,527
Gold Fields Ltd.		7,951		20,730
Growthpoint Properties Ltd.		30,793		57,123
Mediclinic International Ltd.		9,747		77,845
Mr Price Group Ltd.		790		11,027
MTN Group Ltd.		7,276		93,667
Naspers Ltd.		654		81,858
Nedbank Group Ltd.		1,395		22,165
Netcare Ltd.		27,374		71,865
Redefine Properties Ltd.		78,236		66,201
Remgro Ltd.		1,971		35,939
RMB Holdings Ltd.		6,969		33,225
Sanlam Ltd.		13,216		57,157
Sasol Ltd. ^(b)		3,202		89,759
Shoprite Holdings Ltd.		2,942		33,439
Standard Bank Group Ltd.		8,776		85,685
Steinhoff International Holdings Ltd. ^(b)		14,662		90,027
Tiger Brands Ltd.		1,963		43,271
Woolworths Holdings Ltd.		8,414		58,905
				1,253,044
South Korea — (8.4%)
Amorepacific Corp.		109		35,405
AMOREPACIFIC Group		368		50,607
BNK Financial Group, Inc.		1,885		21,787

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
South Korea (continued)
Coway Co. Ltd.		563	$	39,756
E-Mart Co. Ltd.		38		7,390
Hana Financial Group, Inc.		1,342		29,890
Hankook Tire Co. Ltd.		651		21,749
Hyundai Engineering & Construction Co. Ltd.		430		12,407
Hyundai Glovis Co. Ltd.		189		35,717
Hyundai Mobis Co. Ltd.		213		41,601
Hyundai Motor Co.		424		58,665
Hyundai Steel Co.		200		8,690
Hyundai Wia Corp.		212		23,073
Industrial Bank of Korea		3,595		41,249
Kangwon Land, Inc.		449		16,024
KB Financial Group, Inc.		1,562		46,453
Kia Motors Corp.		2,119		95,822
Korea Aerospace Industries Ltd.		637		36,491
Korea Electric Power Corp.		1,570		64,903
Korea Zinc Co. Ltd.		120		47,127
KT Corp. ^(a)		1,476		38,229
KT&G Corp.		652		61,333
LG Chem Ltd.		353		85,026
LG Display Co. Ltd.		1,904		36,384
LG Electronics, Inc.		724		27,884
LG Household & Health Care Ltd.		85		61,242
LG Uplus Corp.		4,804		49,041
NAVER Corp.		14		6,059
NCSoft Corp.		113		18,018
Orion Corp.		28		22,253
POSCO		188		26,726
Samsung Electronics Co. Ltd.		179		171,253
Samsung Fire & Marine Insurance Co. Ltd.		176		41,576
Samsung Heavy Industries Co. Ltd.		71		737
Samsung Life Insurance Co. Ltd.		613		51,148
Shinhan Financial Group Co. Ltd.		1,328		46,384
SK Hynix, Inc.		2,259		63,941
SK Telecom Co. Ltd.		317		70,337
Woori Bank		4,348		34,445
				1,646,822
Spain — (0.3%)
Cemex Latam Holdings SA ^(a)		16,228		64,657
				64,657

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Taiwan — (9.0%)
Acer, Inc. ^(a)		1,000	$	392
Advanced Semiconductor Engineering, Inc.		44,000		47,170
Advantech Co. Ltd.		1,000		6,833
Asustek Computer, Inc.		4,000		34,318
AU Optronics Corp.		46,000		13,565
Catcher Technology Co. Ltd.		3,000		31,934
Cathay Financial Holding Co. Ltd.		45,000		61,430
Chailease Holding Co. Ltd.		2,080		3,253
Chang Hwa Commercial Bank Ltd.		17,210		8,467
Cheng Shin Rubber Industry Co. Ltd.		4,000		6,560
Chicony Electronics Co. Ltd.		14,050		32,344
China Development Financial Holding Corp.		49,000		13,170
China Life Insurance Co. Ltd.		42,200		32,040
Chunghwa Telecom Co. Ltd.		14,000		42,007
Compal Electronics, Inc.		47,000		26,549
CTBC Financial Holding Co. Ltd.		84,508		43,502
Delta Electronics, Inc.		6,000		28,062
E.Sun Financial Holding Co. Ltd.		28,999		17,041
Eva Airways Corp. ^(a)		57,000		31,852
Far Eastern New Century Corp.		42,540		37,854
Far EasTone Telecommunications Co. Ltd.		29,000		62,531
First Financial Holding Co. Ltd.		64,367		29,322
Foxconn Technology Co. Ltd.		17,130		49,006
Fubon Financial Holding Co. Ltd.		23,000		35,833
Giant Manufacturing Co. Ltd.		1,000		7,258
Hon Hai Precision Industry Co. Ltd.		43,300		112,565
HTC Corp.		8,000		15,428
Hua Nan Financial Holdings Co. Ltd.		92,774		43,108
Innolux Corp.		68,000		21,168
Inotera Memories, Inc. ^(a)		14,000		8,737
Inventec Corp.		6,000		2,843
Lite-On Technology Corp.		36,105		33,114
MediaTek, Inc.		2,000		14,790
Mega Financial Holding Co. Ltd.		48,000		33,237
Nan Ya Plastics Corp.		8,000		13,509
Novatek Microelectronics Corp.		1,000		3,128
Pegatron Corp.		22,000		53,584
Pou Chen Corp.		26,000		38,967
President Chain Store Corp.		6,000		37,355
Quanta Computer, Inc.		16,000		27,746
Radiant Opto-Electronics Corp.		6,000		18,495
Shin Kong Financial Holding Co. Ltd.		66,489		15,750
Siliconware Precision Industries Co. Ltd.		36,000		44,662

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Taiwan (continued)
Simplo Technology Co. Ltd.		11,000	$	35,411
SinoPac Financial Holdings Co. Ltd.		87,900		27,763
Synnex Technology International Corp.		26,000		25,899
Taishin Financial Holding Co. Ltd.		62,000		21,936
Taiwan Cement Corp.		30,000		30,385
Taiwan Cooperative Financial Holding Co. Ltd.		10,550		4,358
Taiwan Mobile Co. Ltd.		29,000		88,513
Taiwan Semiconductor Manufacturing Co. Ltd.		45,000		177,663
Teco Electric and Machinery Co. Ltd.		46,000		36,113
Uni-President Enterprises Corp.		20,800		36,006
United Microelectronics Corp.		22,000		7,216
Vanguard International Semiconductor Corp.		9,000		10,195
Wistron Corp.		7,014		3,653
WPG Holdings Ltd.		1,000		963
Yuanta Financial Holding Co. Ltd.		50,757		18,806
				1,765,359
Thailand — (6.6%)
Advanced Info Service PCL		23,200		144,461
Airports of Thailand PCL		2,900		22,452
Bangkok Bank PCL		26,500		116,090
Bangkok Dusit Medical Services PCL		80,000		40,777
Banpu PCL		14,500		7,990
Big C Supercenter PCL		3,400		18,829
BTS Group Holdings PCL		15,200		4,083
Bumrungrad Hospital PCL		11,600		69,034
Central Pattana PCL		10,200		12,576
Charoen Pokphand Foods PCL		29,900		17,053
CP ALL PCL		17,000		22,365
Intouch Holdings PCL		29,600		59,330
Kasikornbank PCL		16,300		76,796
Krung Thai Bank PCL		91,400		43,062
Land & Houses PCL		163,200		36,197
Minor International PCL		21,860		17,316
PTT Exploration & Production PCL		17,100		32,980
PTT Global Chemical PCL		62,100		91,965
PTT PCL		12,300		81,334
Ratchaburi Electricity Generating Holding PCL		47,500		70,017
Siam Cement PCL (The)		4,050		51,776
Siam Commercial Bank PCL (The)		23,600		87,130
Thai Beverage PCL		207,000		99,722
Thai Union Group PCL		168,600		85,473
				1,308,808

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Turkey — (3.8%)
Akbank TAS		21,991	$	49,244
Anadolu Efes Biracilik Ve Malt Sanayii AS		1,088		7,672
BIM Birlesik Magazalar AS		4,238		75,095
Coca-Cola Icecek AS		58		663
Eregli Demir ve Celik Fabrikalari TAS		85,829		105,736
Haci Omer Sabanci Holding AS		9,755		28,578
TAV Havalimanlari Holding AS		14,610		114,602
Tupras Turkiye Petrol Rafinerileri AS ^(a)		3,939		96,402
Turk Hava Yollari AO ^(a)		40,233		105,906
Turkcell Iletisim Hizmetleri AS		17,379		60,556
Turkiye Garanti Bankasi AS		15,639		36,312
Turkiye Halk Bankasi AS		10,361		34,562
Turkiye Is Bankasi		21,048		32,742
Turkiye Vakiflar Bankasi TAO		6,694		8,468
				756,538
TOTAL COMMON STOCKS				19,563,024
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.4%) (Cost $23,646,124)				19,563,024
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (4.9%) (Cost $967,628)
State Street Navigator Securities Lending Prime Portfolio, 0.20%		967,628		967,628
TOTAL INVESTMENTS — (104.3%) (Cost $24,613,752)				20,530,652
OTHER ASSETS & LIABILITIES — (-4.3%)				(845,856	)
NET ASSETS — (100.0%)			$	19,684,796

(a)

Non-income producing security.

(b)

Represents entire or partial securities on loan. See Note 7 for securities lending information.

(c)

Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors.

PCL = Public Company Limited

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	967,628	$	967,628
Total Borrowings	$	967,628	$	967,628
Gross amount of recognized liabilities for securities lending transactions			$	967,628

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
COMMON STOCKS — (98.1%)
Australia — (3.4%)
Abacus Property Group		1,252	$	2,787
Automotive Holdings Group Ltd. ^(a)		5,175		14,355
Blackmores Ltd. ^(a)		300		30,748
Charter Hall Retail REIT ^(a)		1,682		4,807
Cromwell Property Group		28,379		19,132
Downer EDI Ltd.		3,878		9,096
Investa Office Fund ^(a)		1,929		5,337
JB Hi-Fi Ltd. ^(a)		2,720		36,483
M2 Group Ltd.		936		6,238
Mineral Resources Ltd. ^(a)		8,596		24,871
Monadelphous Group Ltd. ^(a)		6,843		29,506
Myer Holdings Ltd. ^(a)		34,399		21,258
Northern Star Resources Ltd. ^(a)		754		1,414
Nufarm Ltd.		2,305		13,176
Sandfire Resources NL		820		3,104
WorleyParsons Ltd. ^(a)		2,807		11,650
				233,962
Belgium — (0.2%)
Tessenderlo Chemie NV ^(b)		576		16,855
				16,855
Bermuda — (1.3%)
Argo Group International Holdings Ltd.		300		16,977
Aspen Insurance Holdings Ltd.		850		39,500
Maiden Holdings Ltd.		2,350		32,618
				89,095
Brazil — (2.2%)
Alpargatas SA		3,100		5,232
Cia Energetica de Minas Gerais		10,400		18,256
Cia Energetica de Sao Paulo		3,500		13,369
Cia Paranaense de Energia		2,600		21,312
EDP – Energias do Brasil SA		3,300		9,514
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA ^(b)		11,100		30,524
Equatorial Energia SA		900		7,653
Grendene SA		4,000		17,710
Light SA		7,300		21,174
Natura Cosmeticos SA		400		1,959
				146,703
Britain — (3.4%)
CVS Group PLC		1,000		10,467
Dart Group PLC		5,477		40,154
Debenhams PLC		11,089		13,270
Galliford Try PLC		345		8,288

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Britain (continued)
Go-Ahead Group PLC		867	$	32,254
Greggs PLC		2,014		33,100
Interserve PLC		1,113		9,677
JD Sports Fashion PLC		1,111		16,072
Kier Group PLC		353		7,219
Lookers PLC		6,211		15,683
Mitie Group PLC		658		3,042
Moneysupermarket.com Group PLC		3,330		17,049
Quindell PLC ^(a)^(b)		3,211		4,937
Workspace Group PLC		145		2,060
WS Atkins PLC		993		20,878
				234,150
Canada — (4.6%)
Artis Real Estate Investment Trust		2,000		18,915
Chorus Aviation, Inc.		9,000		36,720
Domtar Corp.		546		19,519
Dream Global Real Estate Investment Trust		4,384		28,906
Ensign Energy Services, Inc.		1,400		8,573
Intertape Polymer Group, Inc.		942		10,026
Manitoba Telecom Services, Inc. ^(a)		963		20,184
Mercer International, Inc.		2,800		28,084
North West Co., Inc. (The) ^(a)		989		20,773
Parkland Fuel Corp. ^(a)		1,943		33,130
Pason Systems, Inc.		600		8,396
Pure Industrial Real Estate Trust		2,206		7,306
Superior Plus Corp. ^(a)		1,501		12,304
Transcontinental, Inc.		2,474		35,061
Uni-Select, Inc. ^(a)		500		22,525
				310,422
China — (5.7%)
Agile Property Holdings Ltd.		34,000		17,680
Anhui Expressway Co. Ltd. H-Shares		46,000		37,393
Beijing Capital Land Ltd. H-Shares		72,000		28,428
China Biologic Products, Inc. ^(b)		135		12,126
China Communications Services Corp. Ltd. H-Shares		98,000		37,682
China Hongqiao Group Ltd.		49,100		22,998
China Lesso Group Holdings Ltd.		7,000		5,636
China Lilang Ltd.		5,000		4,264
China Shineway Pharmaceutical Group Ltd.		7,000		8,093
China Zhongwang Holdings Ltd.		83,200		31,562
Chongqing Rural Commercial Bank Co. Ltd. H-Shares		34,000		19,171
Coolpad Group Ltd. ^(b)		32,000		5,987
Fufeng Group Ltd.		11,000		4,457

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
China (continued)
GOME Electrical Appliances Holding Ltd.		10,000	$	1,523
HOSA International Ltd.		14,000		5,492
Jiangnan Group Ltd.		156,000		32,005
KWG Property Holding Ltd.		4,000		2,622
Shenzhen Expressway Co. Ltd. H-Shares		54,000		35,187
Sichuan Expressway Co. Ltd. H-Shares		38,000		11,915
Sinopharm Group Co. Ltd. H-Shares		1,600		5,595
TCL Communication Technology Holdings Ltd.		33,000		23,717
Tong Ren Tang Technologies Co. Ltd. H-Shares		11,000		14,988
Yuzhou Properties Co. Ltd.		71,000		16,490
				385,011
Denmark — (0.4%)
Bavarian Nordic A/S ^(b)		128		5,056
Dfds A/S		190		6,041
SimCorp A/S		327		16,440
				27,537
Faroe Islands — (0.3%)
Bakkafrost P/F		633		20,185
				20,185
France — (0.5%)
Neopost SA		3		78
Norbert Dentressangle SA		79		17,906
Sopra Steria Group		70		7,750
UBISOFT Entertainment ^(b)		574		11,603
				37,337
Germany — (0.1%)
ADLER Real Estate AG ^(b)		80		1,093
Draegerwerk AG & Co. KGaA		71		5,966
				7,059
Hong Kong — (4.0%)
Allied Properties HK Ltd.		163,000		33,651
China Chengtong Development Group Ltd. ^(b)		314,000		40,516
Digital China Holdings Ltd.		24,000		22,204
G-Resources Group Ltd.		567,000		14,705
Giordano International Ltd.		66,000		31,850
Huabao International Holdings Ltd.		8,000		2,529
Kingboard Laminates Holdings Ltd.		15,000		6,077
ReOrient Group Ltd. ^(b)		6,000		7,742
Sa Sa International Holdings Ltd.		10,000		3,858
Shenzhen Investment Ltd.		36,000		12,681
Shougang Fushan Resources Group Ltd.		34,000		4,212
Shun Tak Holdings Ltd.		26,000		9,830
Skyworth Digital Holdings Ltd.		62,000		41,760

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Hong Kong (continued)
Texwinca Holdings Ltd.		10,000	$	8,980
Truly International Holdings Ltd.		34,000		8,599
Yuexiu Real Estate Investment Trust		40,000		20,284
				269,478
Ireland — (0.4%)
UDG Healthcare PLC		3,237		24,663
				24,663
Israel — (0.2%)
Orbotech Ltd. ^(b)		100		1,545
Paz Oil Co. Ltd.		90		13,387
				14,932
Italy — (0.5%)
Societa Cattolica di Assicurazioni SCRL		5,202		36,582
				36,582
Japan — (12.7%)
Adastria Co. Ltd.		100		5,970
Aeon Delight Co. Ltd.		800		23,045
Alpine Electronics, Inc.		200		2,179
Arcs Co. Ltd.		300		5,636
Asahi Holdings, Inc. ^(a)		300		4,491
Avex Group Holdings, Inc. ^(a)		200		2,269
Bank of the Ryukyus Ltd.		2,200		32,220
Calsonic Kansei Corp. ^(a)		2,000		14,913
Canon Electronics, Inc.		700		11,257
Coca-Cola West Co. Ltd.		200		3,883
Create Restaurants Holdings, Inc.		300		6,195
Doutor Nichires Holdings Co. Ltd.		1,300		19,896
Dydo Drinco, Inc.		800		34,000
Enplas Corp.		100		3,448
Foster Electric Co. Ltd.		400		7,952
Fuji Machine Manufacturing Co. Ltd. ^(a)		1,600		14,001
Geo Holdings Corp. ^(a)		2,700		43,037
Hazama Ando Corp.		500		3,185
Heiwado Co. Ltd.		400		8,760
Hitachi Maxell Ltd. ^(a)		1,800		25,926
Hyakugo Bank Ltd. (The)		1,000		4,801
Inaba Denki Sangyo Co. Ltd. ^(a)		800		24,047
Juroku Bank Ltd. (The) ^(a)		9,000		39,227
Kokuyo Co. Ltd.		1,000		10,562
Komori Corp.		100		1,024
Kura Corp. ^(a)		500		15,802
Kuroda Electric Co. Ltd. ^(a)		1,000		18,486
Kyowa Exeo Corp. ^(a)		800		7,702

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Japan (continued)
Kyudenko Corp.		1,000	$	16,591
Maeda Road Construction Co. Ltd.		1,000		17,468
Matsumotokiyoshi Holdings Co. Ltd.		100		4,417
Ministop Co. Ltd. ^(a)		1,700		38,595
Mirait Holdings Corp. ^(a)		600		5,421
Morinaga & Co. Ltd. ^(a)		2,000		9,803
NEC Networks & System Integration Corp. ^(a)		1,200		21,372
NET One Systems Co. Ltd. ^(a)		5,600		31,609
Nichiha Corp.		300		4,133
Nihon Unisys Ltd. ^(a)		400		4,118
Nishimatsuya Chain Co. Ltd.		4,000		36,972
Nitto Kogyo Corp.		600		10,455
Nojima Corp. ^(a)		200		2,204
Noritz Corp. ^(a)		1,000		14,988
Pal Co. Ltd.		400		11,556
PALTAC Corp.		100		1,799
Plenus Co. Ltd.		1,800		27,759
Ryosan Co. Ltd.		200		4,661
Saizeriya Co. Ltd. ^(a)		1,100		24,854
St Marc Holdings Co. Ltd. ^(a)		300		9,143
T-Gaia Corp. ^(a)		2,200		34,149
Takuma Co. Ltd.		2,000		15,046
Toho Holdings Co. Ltd.		900		18,697
Token Corp.		500		37,490
Toppan Forms Co. Ltd.		1,200		14,188
Valor Co. Ltd. ^(a)		700		17,528
Yaoko Co. Ltd.		200		9,018
Yoshinoya Holdings Co. Ltd. ^(a)		700		9,083
Zojirushi Corp.		1,000		14,328
				861,359
Netherlands — (1.2%)
BE Semiconductor Industries NV ^(a)		1,829		28,276
Brunel International NV ^(a)		871		14,735
Cimpress NV ^(a)^(b)		200		15,222
PostNL NV ^(b)		1,311		4,768
TKH Group NV		533		19,250
				82,251
New Zealand — (0.9%)
Chorus Ltd. ^(b)		13,519		23,090
Nuplex Industries Ltd.		14,796		36,819
				59,909

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Norway — (0.3%)
Atea ASA		1,107	$	10,155
Nordic American Tankers Ltd.		100		1,520
Prosafe SE ^(a)		2,438		6,774
				18,449
Puerto Rico — (0.4%)
Triple-S Management Corp. ^(b)		1,700		30,277
				30,277
Singapore — (1.1%)
CDL Hospitality Trusts ^(a)		6,400		5,851
CWT Ltd.		5,600		7,798
Sheng Siong Group Ltd.		31,000		17,987
Venture Corp. Ltd.		4,400		25,653
Wing Tai Holdings Ltd. ^(a)		4,500		5,285
Yanlord Land Group Ltd.		14,300		10,208
				72,782
South Africa — (3.5%)
Astral Foods Ltd.		1,103		13,891
Barloworld Ltd. ^(a)		1,722		9,390
Cashbuild Ltd.		920		20,294
DataTec Ltd.		6,916		31,011
Emira Property Fund Ltd.		21,539		27,510
Lewis Group Ltd. ^(a)		6,002		26,913
Liberty Holdings Ltd.		1,164		10,628
MMI Holdings Ltd. ^(a)		11,077		19,058
Net 1 UEPS Technologies, Inc. ^(b)		642		10,756
Peregrine Holdings Ltd.		11,857		24,791
Reunert Ltd.		5,122		22,597
Telkom SA SOC Ltd.		4,723		22,729
				239,568
South Korea — (6.5%)
Bukwang Pharmaceutical Co. Ltd.		100		1,894
CJ O Shopping Co. Ltd.		20		3,127
Crown Confectionery Co. Ltd.		12		8,048
Daewoong Pharmaceutical Co. Ltd.		222		15,171
DGB Financial Group, Inc.		1,538		13,624
Green Cross Holdings Corp.		300		10,137
GS Home Shopping, Inc.		211		33,823
GS Retail Co. Ltd.		230		11,837
Hanil Cement Co. Ltd.		163		18,290
Hanmi Pharm Co. Ltd. ^(b)		17		5,328
Hyundai Home Shopping Network Corp.		169		18,535
Hyundai Marine & Fire Insurance Co. Ltd.		1,476		37,669
JB Financial Group Co. Ltd.		2,207		11,265

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
South Korea (continued)
KB Insurance Co. Ltd.		1,651	$	32,872
Kolon Industries, Inc.		517		27,305
Korea Electric Terminal Co. Ltd.		220		18,932
Korea Petro Chemical Ind		60		8,403
Korean Reinsurance Co.		3,178		38,207
KT Skylife Co. Ltd.		202		3,468
Kwang Dong Pharmaceutical Co. Ltd.		581		6,348
LF Corp.		641		17,711
Meritz Fire & Marine Insurance Co. Ltd.		2,892		38,794
Seah Besteel Corp.		53		1,346
SK Gas Ltd.		231		16,604
Soulbrain Co. Ltd.		239		8,650
Tongyang Life Insurance Co. Ltd.		2,712		32,490
				439,878
Spain — (0.2%)
Duro Felguera SA ^(a)		1,805		4,171
Tecnicas Reunidas SA ^(a)		242		10,679
				14,850
Sweden — (1.0%)
Bilia AB		1,101		21,988
Clas Ohlson AB		847		12,927
Mycronic AB		6,166		33,818
				68,733
Switzerland — (1.4%)
Conzzeta AG		52		34,246
dorma+kaba Holding AG		3		1,836
Gategroup Holding AG ^(b)		240		8,069
Implenia AG		267		13,171
Mobilezone Holding AG		2,102		28,719
Schweiter Technologies AG		14		11,255
				97,296
Taiwan — (3.8%)
Cheng Uei Precision Industry Co. Ltd.		1,000		1,396
Coretronic Corp.		34,000		30,719
Elite Material Co. Ltd.		10,000		21,988
Everlight Electronics Co. Ltd.		5,000		7,532
Feng TAY Enterprise Co. Ltd.		30		186
FLEXium Interconnect, Inc.		1,000		2,733
Gigabyte Technology Co. Ltd.		43,000		40,744
Mercuries Life Insurance Co. Ltd.		71,000		40,969
Micro-Star International Co. Ltd.		19,000		16,099
Powertech Technology, Inc.		9,000		16,208
Primax Electronics Ltd.		14,000		18,155

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Taiwan (continued)
Realtek Semiconductor Corp.		10,000	$	16,946
Taiwan Business Bank ^(b)		6,716		1,666
Transcend Information, Inc.		10,000		25,207
Wan Hai Lines Ltd.		11,000		6,915
Wistron NeWeb Corp.		3,020		6,283
WT Microelectronics Co. Ltd.		6,200		6,204
				259,950
United States — (37.9%)
Aaron's, Inc.		845		30,513
Abercrombie & Fitch Co. ^(a)		500		10,595
ABM Industries, Inc.		673		18,380
AG Mortgage Investment Trust, Inc. ^(a)		1,318		20,060
Alon USA Energy, Inc.		1,569		28,352
American Eagle Outfitters, Inc. ^(a)		1,260		19,694
American Equity Investment Life Holding Co.		730		17,016
American National Insurance Co.		375		36,615
American Public Education, Inc. ^(b)		361		8,465
American Woodmark Corp. ^(b)		81		5,254
AMN Healthcare Services, Inc. ^(b)		707		21,217
Anworth Mortgage Asset Corp.		5,751		28,410
Apollo Commercial Real Estate Finance, Inc.		2,369		37,217
Apollo Residential Mortgage, Inc.		1,303		16,496
Argan, Inc.		900		31,212
Ascena Retail Group, Inc. ^(b)		3,018		41,980
Atlas Air Worldwide Holdings, Inc. ^(b)		100		3,456
Avid Technology, Inc. ^(a)^(b)		3,583		28,521
AVX Corp.		321		4,202
Barnes & Noble, Inc.		1,425		17,257
Benchmark Electronics, Inc. ^(b)		193		4,200
Big Lots, Inc.		407		19,503
Blackstone Mortgage Trust, Inc.		507		13,912
BP Prudhoe Bay Royalty Trust		337		13,847
Buckle, Inc. (The) ^(a)		306		11,313
BWX Technologies, Inc .		342		9,015
Cal-Maine Foods, Inc. ^(a)		429		23,428
Cambrex Corp. ^(b)		71		2,817
Capstead Mortgage Corp.		2,908		28,760
Cash America International, Inc.		1,257		35,158
Cato Corp. (The)		443		15,075
Chemed Corp.		144		19,220
Chico's FAS, Inc.		1,248		19,631
Children's Place, Inc. (The)		431		24,856
Cincinnati Bell, Inc. ^(b)		3,000		9,360

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
United States (continued)
Coca-Cola Bottling Co. Consolidated		89	$	17,211
Compass Diversified Holdings		2,247		36,222
Compass Minerals International, Inc.		160		12,539
Computer Programs & Systems, Inc. ^(a)		593		24,983
CONMED Corp.		130		6,206
Convergys Corp.		757		17,494
Cooper Tire & Rubber Co.		472		18,649
Cooper-Standard Holding, Inc. ^(b)		656		38,048
Core-Mark Holding Co., Inc.		296		19,373
Cowen Group, Inc. ^(a)^(b)		6,700		30,552
CSG Systems International, Inc.		368		11,334
Cyberonics, Inc. ^(b)		273		16,593
CYS Investments, Inc.		2,187		15,878
Dean Foods Co.		852		14,075
Delek US Holdings, Inc.		187		5,180
Douglas Dynamics, Inc.		456		9,056
DSW, Inc.		445		11,263
EarthLink Holdings Corp.		3,700		28,786
Echo Global Logistics, Inc. ^(b)		877		17,189
Employers Holdings, Inc.		370		8,247
Ensign Group, Inc. (The)		435		18,544
ePlus, Inc. ^(b)		133		10,516
Essendant, Inc.		436		14,139
FBL Financial Group, Inc.		270		16,610
Finish Line, Inc. (The)		282		5,443
Forum Energy Technologies, Inc. ^(b)		600		7,326
Fresh Del Monte Produce, Inc.		300		11,853
Green Dot Corp. ^(b)		1,400		24,640
Greif, Inc.		341		10,881
Guess?, Inc.		357		7,626
Hanover Insurance Group, Inc. (The)		375		29,138
Hatteras Financial Corp.		1,609		24,376
Hawaiian Holdings, Inc. ^(a)^(b)		1,382		34,108
Hill-Rom Holdings, Inc.		234		12,166
Horace Mann Educators Corp.		398		13,222
ICU Medical, Inc. ^(b)		150		16,425
Infinity Property & Casualty Corp.		167		13,450
Ingles Markets, Inc.		619		29,607
Insight Enterprises, Inc. ^(b)		931		24,066
Insperity, Inc.		662		29,082
Integra LifeSciences Holdings Corp. ^(b)		297		17,686
INTL. FCStone, Inc. ^(b)		1,300		32,097
Investment Technology Group, Inc.		1,000		13,340

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
United States (continued)
K12, Inc. ^(b)		178	$	2,214
Landstar System, Inc.		63		3,999
LHC Group, Inc. ^(b)		853		38,189
Magellan Health, Inc. ^(b)		636		35,254
Marten Transport Ltd.		642		10,381
Masimo Corp. ^(b)		100		3,856
Meridian Bioscience, Inc.		602		10,294
MFA Financial, Inc.		5,461		37,189
MRC Global, Inc. ^(b)		2,300		25,645
MYR Group, Inc. ^(b)		467		12,235
National Presto Industries, Inc.		300		25,278
National Western Life Insurance Co.		200		44,540
Navigators Group, Inc. (The) ^(b)		314		24,486
NeuStar, Inc. ^(a)^(b)		734		19,972
New York Mortgage Trust, Inc. ^(a)		4,079		22,394
Outerwall, Inc. ^(a)		614		34,955
Overstock.com, Inc. ^(b)		534		9,163
Owens & Minor, Inc. ^(a)		1,108		35,390
Papa John's International, Inc.		141		9,656
PDL BioPharma, Inc. ^(a)		6,590		33,148
Portland General Electric Co.		495		18,300
QLogic Corp. ^(b)		2,500		25,625
Quality Systems, Inc.		966		12,056
Rent-A-Center, Inc.		539		13,071
RPC, Inc. ^(a)		653		5,779
RPX Corp. ^(b)		2,754		37,785
San Juan Basin Royalty Trust		342		3,235
Sanderson Farms, Inc. ^(a)		550		37,714
Scholastic Corp.		773		30,116
Schweitzer-Mauduit International, Inc.		159		5,466
Select Comfort Corp. ^(b)		739		16,169
Select Income REIT		1,397		26,557
Selective Insurance Group, Inc.		659		20,469
Shoe Carnival, Inc.		1,400		33,320
Smith & Wesson Holding Corp. ^(b)		100		1,687
Solar Capital Ltd.		1,999		31,624
SpartanNash Co.		1,300		33,605
Stage Stores, Inc. ^(a)		1,391		13,687
Stepan Co.		600		24,966
Sturm Ruger & Co., Inc. ^(a)		159		9,332
Supernus Pharmaceuticals, Inc. ^(b)		700		9,821
Sykes Enterprises, Inc. ^(b)		1,019		25,985
Symetra Financial Corp.		987		31,229

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
United States (continued)
SYNNEX Corp.		47	$	3,998
Tech Data Corp. ^(b)		348		23,838
TeleTech Holdings, Inc.		600		16,074
Tessera Technologies, Inc.		821		26,609
Universal American Corp. ^(b)		2,700		18,468
Universal Corp. ^(a)		300		14,871
VASCO Data Security International, Inc. ^(b)		700		11,928
Vector Group Ltd. ^(a)		512		11,585
Viad Corp.		271		7,856
Vonage Holdings Corp. ^(b)		1,210		7,115
Weis Markets, Inc.		600		25,050
Werner Enterprises, Inc.		671		16,842
Western Asset Mortgage Capital Corp. ^(a)		1,784		22,496
WGL Holdings, Inc.		294		16,955
				2,579,747
TOTAL COMMON STOCKS				6,679,020
MUTUAL FUNDS — (0.3%)
Switzerland — (0.3%)
HBM Healthcare Investments AG Fund ^(b)		200		18,831
TOTAL MUTUAL FUNDS				18,831
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (98.4%) (Cost $7,067,427)				6,697,851
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (12.6%) (Cost $854,471)
State Street Navigator Securities Lending Prime Portfolio, 0.20%		854,471		854,471
TOTAL INVESTMENTS — (111.0%) (Cost $7,921,898)				7,552,322
OTHER ASSETS & LIABILITIES — (-11.0%)				(745,524	)
NET ASSETS — (100.0%)			$	6,806,798

(a)

Represents entire or partial securities on loan. See Note 7 for securities lending information.

(b)

Non-income producing security.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	854,471	$	854,471
Total Borrowings	$	854,471	$	854,471
Gross amount of recognized liabilities for securities lending transactions			$	854,471

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
COMMON STOCKS — (99.7%)
Consumer Discretionary — (15.2%)
AMC Networks, Inc. ^(a)		90	$	6,585
AutoZone, Inc. ^(a)		101		73,107
Bed Bath & Beyond, Inc. ^(a)		654		37,291
Best Buy Co., Inc.		5,975		221,792
Burlington Stores, Inc. ^(a)		839		42,823
Cablevision Systems Corp.		2,390		77,603
Coach, Inc.		759		21,958
Comcast Corp.		1,276		72,579
Cracker Barrel Old Country Store, Inc. ^(b)		484		71,283
Dana Holding Corp.		51		810
Darden Restaurants, Inc.		479		32,831
Delphi Automotive PLC		864		65,699
Dick's Sporting Goods, Inc.		401		19,894
Dillard's, Inc. ^(b)		379		33,121
Dollar General Corp.		1,182		85,624
Dollar Tree, Inc. ^(a)		606		40,396
Foot Locker, Inc.		1,365		98,239
Ford Motor Co.		1,955		26,529
GameStop Corp. ^(b)		4,130		170,197
Gap, Inc. (The)		2,998		85,443
General Motors Co.		5,159		154,873
Genuine Parts Co.		37		3,067
Goodyear Tire & Rubber Co. (The)		3,282		96,261
Graham Holdings Co.		139		80,203
Hasbro, Inc.		208		15,005
Home Depot, Inc. (The)		1,120		129,349
HSN, Inc.		262		14,997
Johnson Controls, Inc.		719		29,738
Kohl's Corp.		1,231		57,008
L Brands, Inc.		1,791		161,423
Lear Corp.		534		58,089
Lowe's Cos., Inc.		1,568		108,067
Macy's, Inc.		2,080		106,746
Michaels Cos., Inc. (The) ^(a)		1,021		23,585
NIKE, Inc.		591		72,675
O'Reilly Automotive, Inc. ^(a)		297		74,250
Office Depot, Inc. ^(a)		9,159		58,801
Ross Stores, Inc.		2,481		120,254
Royal Caribbean Cruises Ltd.		334		29,756
Skechers U.S.A., Inc. ^(a)		156		20,916
Staples, Inc.		8,644		101,394
Starz ^(a)		1,857		69,340
Target Corp.		1,720		135,295

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Consumer Discretionary (continued)
TEGNA, Inc.		2,617	$	58,595
Time Warner Cable, Inc.		340		60,986
TJX Cos., Inc. (The)		1,559		111,344
VF Corp.		178		12,141
Viacom, Inc.		743		32,060
Visteon Corp. ^(a)		1,509		152,771
Walt Disney Co. (The)		281		28,718
Williams-Sonoma, Inc.		284		21,683
Yum! Brands, Inc.		50		3,997
				3,487,191
Consumer Staples — (10.3%)
Altria Group, Inc.		1,774		96,506
Archer-Daniels-Midland Co.		4,400		182,380
Bunge Ltd.		334		24,482
Campbell Soup Co.		1,038		52,606
Casey's General Stores, Inc.		1,071		110,227
Colgate-Palmolive Co.		62		3,934
ConAgra Foods, Inc.		1,278		51,772
Costco Wholesale Corp.		840		121,439
CVS Health Corp.		1,168		112,689
Dr Pepper Snapple Group, Inc.		559		44,189
Estee Lauder Cos., Inc. (The)		1,239		99,962
General Mills, Inc.		463		25,988
Herbalife Ltd. ^(a)^(b)		2,537		138,266
Hormel Foods Corp.		739		46,786
Ingredion, Inc.		178		15,541
Kellogg Co.		653		43,457
Kimberly-Clark Corp.		390		42,526
Kroger Co. (The)		7,896		284,809
Mead Johnson Nutrition Co.		70		4,928
Monster Beverage Corp. ^(a)		532		71,894
PepsiCo, Inc.		329		31,025
Philip Morris International, Inc.		654		51,882
Pilgrim's Pride Corp. ^(b)		2,961		61,530
Procter & Gamble Co. (The)		119		8,561
Reynolds American, Inc.		1,583		70,079
Rite Aid Corp. ^(a)		18,366		111,482
Seaboard Corp. ^(a)		6		18,474
Sysco Corp.		3,304		128,757
Tyson Foods, Inc.		632		27,239
Wal-Mart Stores, Inc.		2,124		137,720

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Consumer Staples (continued)
Walgreens Boots Alliance, Inc.		1,221	$	101,465
Whole Foods Market, Inc.		886		28,042
				2,350,637
Energy — (6.3%)
Baker Hughes, Inc.		284		14,780
Chevron Corp.		883		69,651
ConocoPhillips		1,495		71,700
CVR Energy, Inc. ^(b)		907		37,233
EOG Resources, Inc.		30		2,184
Exxon Mobil Corp.		872		64,833
Halliburton Co.		672		23,755
Helmerich & Payne, Inc. ^(b)		1,430		67,582
Hess Corp.		18		901
HollyFrontier Corp.		1,055		51,526
Marathon Petroleum Corp.		5,470		253,425
National Oilwell Varco, Inc.		331		12,462
Phillips 66		2,475		190,179
Tesoro Corp.		1,423		138,373
Valero Energy Corp.		5,463		328,326
Western Refining, Inc.		2,619		115,550
				1,442,460
Financials — (19.9%)
ACE Ltd.		999		103,297
Aflac, Inc.		2,518		146,371
Allied World Assurance Co. Holdings AG		1,415		54,011
Allstate Corp. (The)		2,503		145,775
American Financial Group, Inc.		2,008		138,371
American International Group, Inc.		2,691		152,903
AmTrust Financial Services, Inc.		2,196		138,304
Assurant, Inc.		1,065		84,146
Assured Guaranty Ltd.		664		16,600
Axis Capital Holdings Ltd.		1,949		104,700
Bank of New York Mellon Corp. (The)		1,112		43,535
BB&T Corp.		1,288		45,853
Berkshire Hathaway, Inc. ^(a)		306		39,902
Capital One Financial Corp.		1,799		130,464
Chimera Investment Corp.		349		4,666
Chubb Corp. (The)		558		68,439
Cincinnati Financial Corp.		460		24,748
Citigroup, Inc.		1,617		80,219
CME Group, Inc.		879		81,518
CNA Financial Corp.		109		3,807
CNO Financial Group, Inc.		3,217		60,512

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Financials (continued)
Discover Financial Services		55	$	2,859
Endurance Specialty Holdings Ltd.		944		57,612
Everest Re Group Ltd.		495		85,803
Fifth Third Bancorp		3,765		71,196
First American Financial Corp.		3,486		136,198
Goldman Sachs Group, Inc. (The)		442		76,802
Hartford Financial Services Group, Inc. (The)		3,885		177,855
HCC Insurance Holdings, Inc.		538		41,679
JPMorgan Chase & Co.		1,622		98,893
Lincoln National Corp.		1,516		71,949
Mercury General Corp.		40		2,020
MetLife, Inc.		4,998		235,656
Morgan Stanley		2,113		66,560
New Residential Investment Corp.		7,540		98,774
Northern Trust Corp.		3,466		236,243
Old Republic International Corp.		1,674		26,181
PartnerRe Ltd. ^(b)		1,276		177,211
PNC Financial Services Group, Inc. (The)		650		57,980
Principal Financial Group, Inc.		2,811		133,073
Progressive Corp. (The)		3,182		97,497
Prudential Financial, Inc.		2,196		167,357
Regions Financial Corp.		4,870		43,879
Reinsurance Group of America, Inc.		1,628		147,481
Santander Consumer USA Holdings, Inc. ^(a)		2,911		59,443
Springleaf Holdings, Inc. ^(a)		1,140		49,841
SunTrust Banks, Inc.		1,626		62,178
Synchrony Financial ^(a)^(b)		2,481		77,655
Travelers Cos., Inc. (The)		1,121		111,573
Unum Group		1,303		41,800
Validus Holdings Ltd.		751		33,848
Voya Financial, Inc.		3,730		144,612
				4,559,849
Health Care — (13.0%)
Abbott Laboratories		111		4,464
AbbVie, Inc.		749		40,753
Aetna, Inc.		1,808		197,813
Allergan PLC ^(a)		1		272
AmerisourceBergen Corp.		1,652		156,924
Amgen, Inc.		328		45,369
Anthem, Inc.		1,169		163,660
Baxalta, Inc.		974		30,691
Baxter International, Inc.		3,566		117,143
Biogen, Inc. ^(a)		66		19,259

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Health Care (continued)
Cardinal Health, Inc.		1,800	$	138,276
Centene Corp. ^(a)		4,392		238,178
Cerner Corp. ^(a)		376		22,545
Cigna Corp.		981		132,455
Community Health Systems, Inc. ^(a)		152		6,501
DaVita HealthCare Partners, Inc. ^(a)		135		9,765
Eli Lilly & Co.		1,231		103,022
Express Scripts Holding Co. ^(a)		1,134		91,809
Gilead Sciences, Inc.		1,487		146,009
HCA Holdings, Inc. ^(a)		1,554		120,217
Health Net, Inc. ^(a)		3,079		185,417
Humana, Inc.		1,056		189,024
Incyte Corp. ^(a)		162		17,873
Johnson & Johnson		749		69,919
LifePoint Health, Inc. ^(a)		527		37,364
McKesson Corp.		445		82,338
Molina Healthcare, Inc. ^(a)		1,942		133,707
Mylan NV ^(a)^(b)		498		20,049
Pfizer, Inc.		1,570		49,314
Regeneron Pharmaceuticals, Inc. ^(a)		100		46,514
St Jude Medical, Inc.		341		21,514
Stryker Corp.		367		34,535
United Therapeutics Corp. ^(a)		109		14,305
UnitedHealth Group, Inc.		1,249		144,897
WellCare Health Plans, Inc. ^(a)		1,381		119,015
Zoetis, Inc.		734		30,226
				2,981,136
Industrials — (11.1%)
3M Co.		380		53,873
ADT Corp. (The) ^(b)		14		419
AGCO Corp. ^(b)		1,230		57,355
Alaska Air Group, Inc.		1,065		84,614
American Airlines Group, Inc.		3,352		130,158
Boeing Co. (The)		315		41,249
Caterpillar, Inc.		727		47,517
Chicago Bridge & Iron Co. NV ^(b)		1,403		55,643
CSX Corp.		1,354		36,423
Cummins, Inc.		414		44,952
Deere & Co.		517		38,258
Delta Air Lines, Inc.		3,207		143,898
Eaton Corp. PLC		1,049		53,814
Emerson Electric Co.		1,533		67,713
FedEx Corp.		468		67,383

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Industrials (continued)
Fluor Corp.		685	$	29,010
General Dynamics Corp.		860		118,637
Honeywell International, Inc.		47		4,450
Huntington Ingalls Industries, Inc.		383		41,038
Illinois Tool Works, Inc.		406		33,418
Ingersoll-Rand PLC		411		20,866
Jacobs Engineering Group, Inc. ^(a)		503		18,827
JetBlue Airways Corp. ^(a)		6,414		165,289
Lockheed Martin Corp.		390		80,851
ManpowerGroup, Inc.		1,121		91,799
Masco Corp.		1,812		45,626
Norfolk Southern Corp.		26		1,986
Northrop Grumman Corp.		734		121,807
PACCAR, Inc.		678		35,371
Quanta Services, Inc. ^(a)		762		18,448
Raytheon Co.		602		65,775
Robert Half International, Inc.		557		28,496
RR Donnelley & Sons Co. ^(b)		6,300		91,728
Ryder System, Inc.		313		23,175
Southwest Airlines Co.		2,759		104,952
Spirit AeroSystems Holdings, Inc. ^(a)		1,707		82,516
Stanley Black & Decker, Inc.		755		73,220
Union Pacific Corp.		250		22,102
United Continental Holdings, Inc. ^(a)		3,323		176,285
United Parcel Service, Inc.		446		44,016
United Technologies Corp.		468		41,647
Waste Management, Inc.		317		15,790
WW Grainger, Inc. ^(b)		89		19,136
				2,539,530
Information Technology — (17.1%)
Accenture PLC		1,493		146,702
Activision Blizzard, Inc.		1,172		36,203
Amphenol Corp.		316		16,103
Analog Devices, Inc.		1,179		66,507
Apple, Inc.		1,247		137,544
Applied Materials, Inc.		1,845		27,103
ARRIS Group, Inc. ^(a)		627		16,283
Arrow Electronics, Inc. ^(a)		1,293		71,477
Aspen Technology, Inc. ^(a)		491		18,614
Automatic Data Processing, Inc.		396		31,823
Avago Technologies Ltd.		769		96,133
Avnet, Inc.		2,171		92,658
Booz Allen Hamilton Holding Corp.		573		15,018

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Information Technology (continued)
Broadcom Corp.		1,567	$	80,591
Broadridge Financial Solutions, Inc.		294		16,273
Brocade Communications Systems, Inc.		7,017		72,836
CDW Corp.		483		19,735
Cisco Systems, Inc.		5,458		143,272
Cognizant Technology Solutions Corp. ^(a)		242		15,152
Computer Sciences Corp.		717		44,009
Corning, Inc.		5,089		87,124
DST Systems, Inc.		555		58,353
eBay, Inc. ^(a)		6,408		156,611
Electronic Arts, Inc. ^(a)		2,060		139,565
EMC Corp.		2,833		68,445
FactSet Research Systems, Inc.		149		23,812
Fiserv, Inc. ^(a)		177		15,330
Flextronics International Ltd. ^(a)		13,110		138,179
Google, Inc.		129		82,350
Harris Corp.		442		32,332
Hewlett-Packard Co.		5,798		148,487
IAC/InterActiveCorp		679		44,318
Ingram Micro, Inc.		3,264		88,911
Intel Corp.		5,105		153,865
International Business Machines Corp.		722		104,668
Intuit, Inc.		781		69,314
Jabil Circuit, Inc.		7,038		157,440
Keysight Technologies, Inc. ^(a)		714		22,020
King Digital Entertainment PLC ^(b)		12,703		171,999
Lam Research Corp.		172		11,237
MAXIMUS, Inc.		346		20,608
Micron Technology, Inc. ^(a)		5,853		87,678
Microsoft Corp.		2,546		112,686
NetApp, Inc.		727		21,519
NVIDIA Corp.		2,334		57,533
NXP Semiconductors NV ^(a)		1,008		87,767
Oracle Corp.		1,172		42,333
Paychex, Inc.		500		23,815
QUALCOMM, Inc.		367		19,719
Rackspace Hosting, Inc. ^(a)		399		9,847
Seagate Technology PLC ^(b)		1,287		57,658
Skyworks Solutions, Inc.		1,322		111,326
Symantec Corp.		1,604		31,230
TE Connectivity Ltd.		696		41,683
Teradyne, Inc.		894		16,101
Texas Instruments, Inc.		1,544		76,459

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
Information Technology (continued)
Western Digital Corp.		1,407	$	111,772
Western Union Co. (The)		2,610		47,920
				3,916,050
Materials — (3.1%)
Avery Dennison Corp.		958		54,194
Celanese Corp.		599		35,443
Dow Chemical Co. (The)		2,591		109,858
EI du Pont de Nemours & Co.		473		22,799
International Paper Co.		1,526		57,668
LyondellBasell Industries NV		2,538		211,568
PPG Industries, Inc.		304		26,658
Reliance Steel & Aluminum Co.		1,027		55,468
Sherwin-Williams Co. (The)		275		61,264
Steel Dynamics, Inc.		891		15,307
Westlake Chemical Corp.		432		22,416
WestRock Co.		870		44,753
				717,396
Telecommunication Services — (1.3%)
AT&T, Inc.		3,902		127,127
T-Mobile US, Inc. ^(a)		1,802		71,738
Verizon Communications, Inc.		1,921		83,583
				282,448
Utilities — (2.4%)
American Electric Power Co., Inc.		720		40,939
Consolidated Edison, Inc.		1,095		73,201
Edison International		811		51,150
Exelon Corp.		2,162		64,211
NextEra Energy, Inc.		187		18,242
NiSource, Inc.		2,685		49,807
PG&E Corp.		310		16,368
PPL Corp.		1,484		48,809
Public Service Enterprise Group, Inc.		2,232		94,101
Southern Co. (The)		337		15,064
UGI Corp.		1,057		36,805
Xcel Energy, Inc.		989		35,020
				543,717
TOTAL COMMON STOCKS				22,820,414

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015


	Shares		Value
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.7%) (Cost $24,165,282)			$	22,820,414
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (4.1%) (Cost $940,701)
State Street Navigator Securities Lending Prime Portfolio, 0.20%		940,701		940,701
TOTAL INVESTMENTS — (103.8%) (Cost $25,105,983)				23,761,115
OTHER ASSETS & LIABILITIES — (-3.8%)				(861,003	)
NET ASSETS — (100.0%)			$	22,900,112

(a)

Non-income producing security.

(b)

Represents entire or partial securities on loan. See Note 7 for securities lending information.

PLC = Public Limited Company

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	940,701	$	940,701
Total Borrowings	$	940,701	$	940,701
Gross amount of recognized liabilities for securities lending transactions			$	940,701

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2015


	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
Assets:
Investments, at value *	$	30,250,922		$	20,530,652		$	7,552,322		$	23,761,115
Foreign currency, at value		81,709			22,945			2,707			—
Cash		69,297			63,955			78,502			171,349
Receivables:
Investment securities sold		—			10,789			4,035			—
Dividends		100,085			34,590			26,475			24,735
Securities Lending Income		1,387			236			633			1,427
Total Assets		30,503,400			20,663,167			7,664,674			23,958,626
Liabilities:
Payables:
Upon return of securities loaned		3,031,657			967,628			854,471			940,701
Investment securities purchased		54,124			—			—			—
Distributions		—			—			—			111,086
Accrued management fees		11,430			10,743			3,405			6,727
Total Liabilities		3,097,211			978,371			857,876			1,058,514
Net Assets	$	27,406,189		$	19,684,796		$	6,806,798		$	22,900,112
Net Assets Consist of:
Paid in capital	$	29,953,388		$	24,742,438		$	7,465,273		$	25,077,599
Undistributed net investment income		196,782			176,554			66,469			7,892
Accumulated net realized gain (loss)		(1,376,984	)		(1,150,760	)		(355,350	)		(840,511	)
Net unrealized depreciation		(1,366,997	)		(4,083,436	)		(369,594	)		(1,344,868	)
Net Assets	$	27,406,189		$	19,684,796		$	6,806,798		$	22,900,112
Shares Issued and Outstanding:		1,200,000			1,000,000			300,000			1,000,000
Net Asset Value Per Share:	$	22.84		$	19.68		$	22.69		$	22.90
Investments, at cost *	$	31,617,084		$	24,613,752		$	7,921,898		$	25,105,983
Foreign currency, at cost	$	82,261		$	23,022		$	2,720		$	—
* Includes investment in securities on loan, at value	$	3,015,882		$	914,481		$	951,943		$	1,046,081

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the period ended September 30, 2015


	Lattice Developed Markets (ex-US) Strategy ETF (a)			Lattice Emerging Markets Strategy ETF (a)			Lattice Global Small Cap Strategy ETF (b)			Lattice US Equity Strategy ETF (a)
Investment Income:
Dividends *	$	653,087		$	493,216		$	151,774		$	306,921
Interest		—			1			2			—
Securities lending income		12,142			1,052			2,949			12,726
Total Investment Income		665,229			494,269			154,725			319,647
Expenses:
Management fees		78,313			82,857			22,991			51,481
Other		107			—			—			—
Total Expenses		78,420			82,857			22,991			51,481
Net Investment Income		586,809			411,412			131,734			268,166
Realized and Unrealized Gain (Loss):
Net Realized Gain (Loss) on:
Investments		(1,375,428	)		(1,150,745	)		(357,321	)		(772,996	)
Foreign currency transactions		(520	)		(24,514	)		(1,164	)		—
Change in Unrealized Appreciation (Depreciation) of:
Investments		(1,366,162	)		(4,083,100	)		(369,576	)		(1,344,868	)
Translation of foreign currency denominated amounts		(835	)		(336	)		(18	)		—
Net Realized and Unrealized Loss		(2,742,945	)		(5,258,695	)		(728,079	)		(2,117,864	)
Net Decrease in Net Assets Resulting from Operations	$	(2,156,136	)	$	(4,847,283	)	$	(596,345	)	$	(1,849,698	)
* Net of foreign withholding taxes of	$	62,419		$	77,575		$	11,931		$	15

(a)

For the period February 25, 2015 (commencement of operations) through September 30, 2015.

(b)

For the period March 23, 2015 (commencement of operations) through September 30, 2015.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS


	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
	Period Ended September 30, 2015 (a)			Period Ended September 30, 2015 (a)			Period Ended September 30, 2015 (b)			Period Ended September 30, 2015 (a)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	586,809		$	411,412		$	131,734		$	268,166
Net realized loss		(1,375,948	)		(1,175,259	)		(358,485	)		(772,996	)
Net change in unrealized depreciation		(1,366,997	)		(4,083,436	)		(369,594	)		(1,344,868	)
Net decrease in net assets resulting from operations		(2,156,136	)		(4,847,283	)		(596,345	)		(1,849,698	)
Distributions:
From net investment income		(391,063	)		(210,359	)		(62,130	)		(260,026	)
Total Distributions		(391,063	)		(210,359	)		(62,130	)		(260,026	)
Fund Share Transactions:
Proceeds from shares sold		30,053,388	^(c)		24,742,538			7,465,373			27,484,119
Cost of shares redeemed		(100,000	)		(100	)		(100	)		(2,474,283	)
Net increase from Fund share transactions		29,953,388			24,742,438			7,465,273			25,009,836
Total Increase in Net Assets		27,406,189			19,684,796			6,806,798			22,900,112
Net Assets:
Beginning of period		—			—			—			—
End of period *	$	27,406,189		$	19,684,796		$	6,806,798		$	22,900,112
* Including undistributed net investment income of:	$	196,782		$	176,554		$	66,469		$	7,892
Shares of Beneficial Interest:
Shares Sold		1,204,000	^(c)		1,000,004			300,004			1,100,004
Shares Redeemed		(4,000	)		(4	)		(4	)		(100,004	)
Net Increase from Shares Issued and Redeemed		1,200,000			1,000,000			300,000			1,000,000

(a)

For the period February 25, 2015 (commencement of operations) through September 30, 2015.

(b)

For the period March 23, 2015 (commencement of operations) through September 30, 2015.

(c)

On January 30, 2015, the Lattice Developed Markets (ex-US) Strategy ETF purchased 4,000 shares for a total of $100,000 to act as initial seed capital for the Trust.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)


	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
	Period Ended September 30, 2015 (a)			Period Ended September 30, 2015 (a)			Period Ended September 30, 2015 (b)			Period Ended September 30, 2015 (a)
Net Asset Value, beginning of period	$	25.00		$	25.00		$	25.00		$	25.00
Income from Investment Operations:
Net investment income (c)		0.55			0.44			0.44			0.26
Net realized and unrealized loss		(2.35	)		(5.55	)		(2.54	)		(2.11	)
Total from Investment Operations		(1.80	)		(5.11	)		(2.10	)		(1.85	)
Less Distributions:
Net investment income		(0.36	)		(0.21	)		(0.21	)		(0.25	)
Net Asset Value, end of period	$	22.84		$	19.68		$	22.69		$	22.90
Total Return (d)		(7.36	)%		(20.59	)%		(8.50	)%		(7.46	)%
Market Price Return		(6.84	)%		(20.59	)%		(7.89	)%		(7.54	)%
Ratios/Supplemental Data:
Net Assets, end of period (000’s omitted)	$	27,406		$	19,685		$	6,807		$	22,900
Ratio to average net assets of:
Expenses (e)		0.50	%		0.65	%		0.60	%		0.35	%
Net investment income (e)		3.75	%		3.23	%		3.44	%		1.82	%
Portfolio turnover rate (f)(g)		41.81	%		17.28	%		43.87	%		37.92	%

(a)

The Fund commenced operations on February 25, 2015.

(b)

The Fund commenced operations on March 23, 2015.

(c)

Based on average shares outstanding during the period.

(d)

Total return is calculated assuming a purchase of beneficial shares on the opening of the first day and a sale on the closing of the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day. Total return calculated for a period of less than one year is not annualized.

(e)

Annualized.

(f)

Not annualized.

(g)

Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2015

1. Organization

Lattice Strategies Trust (the “Trust”) is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”), consisting of multiple investment series (each a “Fund” and, collectively, “Funds”). The Trust was organized as a Delaware statutory trust on April 15, 2014. The Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF and Lattice US Equity Strategy ETF commenced operations on February 25, 2015. The Lattice Global Small Cap Strategy ETF commenced operations on March 23, 2015. The shares (“Shares”) of the Funds are registered under the Securities Act of 1933, as amended (“Securities Act”). The investment objective of each Fund is to provide investment results that, before fees and expenses, correspond to the total return, of a specified market index (each an “Index” and together the “Indexes”). Lattice Strategies LLC (“Lattice” or the “Adviser”) serves as the investment adviser for each Fund. Mellon Capital Management Corporation (“Mellon Capital” or the “Sub-Adviser,” and together with the Adviser, “Advisers”) serves as the investment sub-adviser for each Fund.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly traded securities. Each Fund is designed to track an index. Shares of the Funds are listed and traded on NYSE Arca. Each share of a Fund represents a partial ownership in securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund at NAV only by certain large institutional investors who have entered into agreements with ALPS Distributors, Inc. (“ALPS” or the “Distributor”), the Funds’ Distributor (“Authorized Participants”).

All organizational and offering expenses of the Trust will be borne by Lattice Strategies and will not be subject to future recoupment. As a result, organizational and offering expenses are not reflected in the Statements of Assets and Liabilities or Statement of Operations.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.

2. Significant Accounting Policies

The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Funds in the preparation of its financial statements. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results may differ from those estimates.

Cash and Foreign Currency: Cash and cash equivalents consist of highly liquid investments, with maturities of three months or less when acquired, and are disclosed as Short-Term Investments in each Fund’s Schedules of Investments, as applicable.

The books and records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

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LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Although the net assets of the Fund are presented at the foreign exchange rates and market values at the close of the period, the Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign currency gains and losses arise from changes (due to changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.

Dividends and Distributions: Dividends from net investment income, if any, are generally declared and paid periodically but may vary significantly from period to period. Distributions of net realized securities gains, if any, generally are declared and paid once a year, but the Trust may make distributions on a more frequent basis for a Fund to improve index tracking or to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with the provisions of the 1940 Act. Management of the Trust reserves the right to declare special dividends if, in its reasonable discretion, such action is necessary or advisable to preserve a Fund’s eligibility for treatment as a regulated investment company (“RIC”) under the Internal Revenue Code or to avoid imposition of income or excise taxes at the Fund level.

Investment Transactions: Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the specifically identified cost basis.

Investment Income: Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend.

Expenses: Expenses directly attributable to a Fund are charged directly to the Fund, while the expenses attributable to more than one Fund of the Trust are allocated among the respective Funds.

Other: In the normal course of business, the Funds enter into contracts that may include agreements to indemnify another party under given circumstances. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the Funds. However, based on experience, the risk of material loss from such claims is considered to be remote.

New Accounting Pronouncements: In April 2015, FASB issued Accounting Standards Update (“ASU”) 2015-7, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), modifying ASC 946 Financial Services – Investment Companies. Under the modifications, investments in affiliated and private investment funds valued at NAV are no longer included in the fair value hierarchy. ASU 2015-7 is effective for fiscal years beginning on or after December 15, 2015, and interim periods within those annual periods. Early application is permitted. Management is currently evaluating the implications of ASU 2015-7 and its impact on financial statements disclosures.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

3. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: Net asset value per Share for each Fund is computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets less total liabilities) by the total number of Shares outstanding. Expenses and fees, including the management fees, are accrued daily and taken into account for purposes of determining net asset value. The net asset value of a Fund is calculated by the Custodian and determined as of the close of the regular trading session on the NYSE Arca (ordinarily 4:00 p.m. Eastern time) on each day that such exchange is open. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Fixed-income assets are generally valued as of the announced closing time for trading in fixed-income instruments in a particular market or exchange. Creation/redemption order cut-off times may be earlier on any day that the Securities Industry and Financial Markets Association (or applicable exchange or market on which a Fund’s investments are traded) announces an early closing time. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at market rates on the date of valuation (generally as of 4:00 p.m. London time) as quoted by one or more sources.

In calculating a Fund’s net asset value per Share, the Fund’s investments are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of other funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The Adviser may use various pricing services, or discontinue the use of any pricing service, as approved by the Board from time to time. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation.

In the event that current market valuations are not readily available or such valuations do not reflect current market value, the Trust’s Board has delegated to the Adviser the responsibility to determine a security’s fair value. In determining such value the Adviser’s Valuation Committee may consider, among other things, (i) price comparisons among multiple sources, (ii) a review of corporate actions and news events, and (iii) a review of relevant financial indicators (e.g., movement in interest rates, market indices, and prices from each Fund’s Index Provider). In these cases, the Fund’s net asset value may reflect certain Fund securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be realized upon the sale of the security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s benchmark Index. This may result in a difference between the Fund’s performance and the performance of the applicable Fund’s benchmark Index. With respect to securities that are primarily listed on foreign exchanges, the value of Fund securities may change on days when you will not be able to purchase or sell your Shares.

The Trust’s accounting services provider will obtain market prices for the Fund securities and exchange rates, if applicable, from independent pricing services approved or ratified by the Board of Trustees (“Pricing Services”). The Pricing Services shall determine such prices and rates in a manner consistent with the procedures below.

A. Equity Securities: The accounting services provider obtains readily available market quotations from the Pricing Services approved by the Board. Equity securities shall be valued: (a) by using readily available market quotations provided by a primary pricing service; (b) by using a secondary pricing service; or (c) by obtaining direct written broker-dealer quotations.

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LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Equity securities will be valued in the following order:

1. If a security is traded on the date, then the last quoted sale price on the exchange on which the security is principally traded, up to the time of valuation, is used. If the security is not traded on the date, the security will be valued at the mean between the last available bid and asked price. If the security is listed on more than one exchange, the price on the exchange that is generally considered the principal exchange will be used.

2. Securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”) will be valued at the NASDAQ Official Closing Price (“NOCP”), which may not necessarily represent the last sale price. If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the last available bid and asked prices.

B. Fixed Income Securities: Fixed income securities shall be valued in the following order: (a) by using readily available market quotations provided by a pricing service; (b) by using a market value from a pricing service generated by a pricing matrix based upon yield data for securities with similar characteristics; or (c) by obtaining direct written broker-dealer quotations. Fixed income securities are valued at the quoted bid for such securities. Interest-bearing commercial paper which is purchased at par will be priced at par.

C. Options and Futures Contracts: Options, futures contracts and options thereon, which are traded on exchanges, are valued at their bid price as of the close of such exchanges or, if no sales are reported, at the mean between the last available bid and asked prices on such day as reported by the pricing service shall be used. If an options or futures exchange closes later than 3:00 p.m. Central Time, the options or futures traded on it are valued based on the mean between the most recent bid and asked prices as of 3:00 p.m. central time.

D. Short-Term Obligations: Short-term debt obligations with remaining maturities in excess of 60 days are valued at current market prices, as discussed above. Short-term debt obligations with 60 days or less remaining to maturity are, unless conditions indicate otherwise, amortized to maturity based on their cost to the applicable Fund if acquired within 60 days of maturity or, if already held by the Fund on the 60th day, based on the value determined on the 61st day.

E. Over-the-Counter (“OTC”) Securities: OTC securities that are not traded on NASDAQ shall be valued at the most recent trade price.

The Funds adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in accordance with generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Fund would receive upon selling an investment in an ordinary transaction to an independent buyer in the principal or most advantageous market of the investment.

The Funds categorize their fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Funds’ assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

Fair value inputs are summarized in the three broad levels listed below:

•

Level 1 – Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.

•

Level 2 – Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).

•

Level 3 – Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Funds’ net assets are computed and that may materially affect the value of the Fund’s investments). The valuation of fixed income securities held by the Funds are obtained from an independent pricing service and categorized as Level 2 based on the use of other significant observable market based inputs (including quoted prices for similar securities, interest rates, prepayment speed, credit risk, etc.). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by such Fund’s benchmark Index, which, in turn, could result in a difference between a Fund’s performance and the performance of such Fund’s benchmark Index.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Summary of Lattice Developed Markets (ex-US) Strategy ETF investments as of September 30, 2015, based on their valuation inputs, is as follows (See Investment Valuation Note):


	Investments in Securities (Market Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	2,483,546	$	—	$	—	$	2,483,546
Austria		425,902		—		—		425,902
Belgium		633,139		—		—		633,139
Bermuda		158,203		—		—		158,203
Britain		3,478,901		—		—		3,478,901
Canada		3,120,238		—		—		3,120,238
China		107,810		—		—		107,810
Denmark		282,862		—		—		282,862
Finland		191,260		—		—		191,260
France		1,713,006		—		—		1,713,006
Germany		1,350,288		—		—		1,350,288
Hong Kong		1,488,731		—		—		1,488,731
Ireland		458,314		—		—		458,314
Israel		760,723		—		—		760,723
Italy		393,381		—		—		393,381
Japan		5,023,678		—		—		5,023,678
Jersey		191,839		—		—		191,839
Luxembourg		83,922		—		—		83,922
Netherlands		640,572		—		—		640,572
New Zealand		555,283		—		—		555,283
Norway		440,686		—		—		440,686
Portugal		90,536		—		—		90,536
Singapore		767,167		—		—		767,167
Spain		357,406		—		—		357,406
Sweden		438,137		—		—		438,137
Switzerland		1,514,700		—		—		1,514,700
United States		35,292		—		—		35,292
Limited Partnerships
Israel		20,464		—		—		20,464
Mutual Funds
Switzerland		13,279		—		—		13,279
Investments of Cash Collateral for Securities Loaned		3,031,657		—		—		3,031,657
TOTAL	$	30,250,922	$	—	$	—	$	30,250,922

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Summary of Lattice Emerging Markets Strategy ETF investments as of September 30, 2015, based on their valuation inputs, is as follows (See Investment Valuation Note):


	Investments in Securities (Market Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Brazil	$	778,326	$	—	$	—	$	778,326
Chile		1,159,060		—		—		1,159,060
China		1,363,419		—		—		1,363,419
Colombia		910,024		—		—		910,024
India		1,218,336		—		—		1,218,336
Indonesia		996,201		—		—		996,201
Malaysia		1,493,095		—		—		1,493,095
Mexico		1,070,866		—		—		1,070,866
Philippines		1,436,954		—		—		1,436,954
Poland		1,436,695		—		—		1,436,695
Russia		904,820		—		—		904,820
South Africa		1,253,044		—		—		1,253,044
South Korea		1,646,822		—		—		1,646,822
Spain		64,657		—		—		64,657
Taiwan		1,765,359		—		—		1,765,359
Thailand		1,308,808		—		—		1,308,808
Turkey		756,538		—		—		756,538
Investments of Cash Collateral for Securities Loaned		967,628		—		—		967,628
TOTAL	$	20,530,652	$	—	$	—	$	20,530,652

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Summary of Lattice Global Small Cap Strategy ETF investments as of September 30, 2015, based on their valuation inputs, is as follows (See Investment Valuation Note):


	Investments in Securities (Market Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	233,962	$	—	$	—	$	233,962
Belgium		16,855		—		—		16,855
Bermuda		89,095		—		—		89,095
Brazil		146,703		—		—		146,703
Britain		234,150		—		—		234,150
Canada		310,422		—		—		310,422
China		385,011		—		—		385,011
Denmark		27,537		—		—		27,537
Faroe Islands		20,185		—		—		20,185
France		37,337		—		—		37,337
Germany		7,059		—		—		7,059
Hong Kong		269,478		—		—		269,478
Ireland		24,663		—		—		24,663
Israel		14,932		—		—		14,932
Italy		36,582		—		—		36,582
Japan		861,359		—		—		861,359
Netherlands		82,251		—		—		82,251
New Zealand		59,909		—		—		59,909
Norway		18,449		—		—		18,449
Puerto Rico		30,277		—		—		30,277
Singapore		72,782		—		—		72,782
South Africa		239,568		—		—		239,568
South Korea		439,878		—		—		439,878
Spain		14,850		—		—		14,850
Sweden		68,733		—		—		68,733
Switzerland		97,296		—		—		97,296
Taiwan		259,950		—		—		259,950
United States		2,579,747		—		—		2,579,747
Mutual Funds
Switzerland		18,831		—		—		18,831
Investments of Cash Collateral for Securities Loaned		854,471		—		—		854,471
TOTAL	$	7,552,322	$	—	$	—	$	7,552,322

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Summary of Lattice US Equity Strategy ETF investments as of September 30, 2015, based on their valuation inputs, is as follows (See Investment Valuation Note):


	Investments in Securities (Market Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	3,487,191	$	—	$	—	$	3,487,191
Consumer Staples		2,350,637		—		—		2,350,637
Energy		1,442,460		—		—		1,442,460
Financials		4,559,849		—		—		4,559,849
Health Care		2,981,136		—		—		2,981,136
Industrials		2,539,530		—		—		2,539,530
Information Technology		3,916,050		—		—		3,916,050
Materials		717,396		—		—		717,396
Telecommunication Services		282,448		—		—		282,448
Utilities		543,717		—		—		543,717
Investments of Cash Collateral for Securities Loaned		940,701		—		—		940,701
TOTAL	$	23,761,115	$	—	$	—	$	23,761,115

4. Investment Advisory Fee, Service and Distribution Fees

Lattice Strategies LLC acts as investment adviser to the Trust and, subject to the supervision of the Board, is responsible for the investment management of each Fund. The Adviser serves as investment adviser to each Fund pursuant to an investment advisory agreement (“Investment Advisory Agreement”) between the Trust and the Adviser dated December 30, 2014. The Adviser is responsible for placing purchase and sale orders and providing continuous supervision of each Fund.

For the services provided to the Funds under the Investment Advisory Agreement, each Fund expects to pay the Adviser the annual fee set forth below, which is based on a percentage of the respective Fund’s average daily net assets.


Lattice Developed Markets (ex-US) Strategy ETF	0.50	%
Lattice Emerging Markets Strategy ETF	0.65	%
Lattice Global Small Cap Strategy ETF	0.60	%
Lattice US Equity Strategy ETF	0.35	%

Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust and each Fund, except (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of the Independent Trustees; the Trust who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”); (iv) compensation and expenses of the Trust’s chief compliance officer; (v) extraordinary expenses; (vi) distribution fees and expenses paid by each Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (vii) the advisory fee payable to the Adviser under the Investment Advisory Agreement.

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September 30, 2015

Mellon Capital Management Corporation serves as the investment sub-adviser for each Fund pursuant to an Investment Sub-Advisory Agreement dated December 31, 2014 between the Adviser and Mellon Capital. The Sub-Adviser is responsible for placing purchase and sale orders and shall make investment decisions for each Fund, subject to the supervision by the Adviser. For its services, the Sub-Adviser is compensated by the Adviser.

Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its Shares. Effective December 12, 2014, the Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees will increase the cost of your investment and they may cost you more than certain other types of sales charges.

For the period ended September 30, 2015, the Funds did not pay any Rule 12b-1 fees.

5. Share Transactions

Each Fund will issue and redeem Shares at Net Asset Value (NAV) only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to the Fund and redemption proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.

Purchase or redemption of Creation Units is only available to an authorized participant (“Authorized Participant”) through a broker, dealer, bank or other entity that is an Authorized Participant. An Authorized Participant is either (1) a “Participating Party,” (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (“Clearing Process”), or (2) a participant of DTC (“DTC Participant”), and, in each case, must have executed an agreement (“Participation Agreement”) with the distributor with respect to creations and redemptions of Creation Units.

Shares are listed on the NYSE Arca and are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than NAV upon sale of shares.

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September 30, 2015

6. Administrator, Custodian and Transfer Agent

State Street Bank serves as Administrator for the Trust pursuant to an administration agreement (“Administration Agreement”) dated December 12, 2014. Under the Administration Agreement, State Street is responsible for certain administrative services associated with the day-to-day operations of each Fund. State Street also serves as Custodian for the Funds pursuant to a custodian agreement dated December 12, 2014. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the Shares and calculates net income and realized capital gains or losses. State Street also serves as Transfer Agent of each Fund pursuant to a transfer agency agreement dated December 12, 2014. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units.

7. Securities Lending

Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. and non-U.S. markets in an amount not to exceed one third (33 1/3 percent) of the value of its total assets. The borrowers provide collateral that is marked to market daily, in an amount at least equal to the current market value of the securities loaned. A Fund may terminate a loan at any time and obtain the securities loaned. A Fund receives the value of any interest or cash or non-cash distributions paid on the loaned securities. A Fund cannot vote proxies for securities on loan, but may recall loans to vote proxies if a material issue affecting the Fund’s economic interest in the investment is to be voted upon. Distributions received on loaned securities in lieu of dividend payments (i.e., substitute payments) would not be considered qualified dividend income. Should the borrower of the securities fail financially, a Fund may experience delays in recovering the securities or exercising its rights in the collateral. Loans are made only to borrowers that are deemed by the securities lending agent to be of good financial standing. In a loan transaction, a Fund will also bear the risk of any decline in value of securities acquired with cash collateral. Each Fund will minimize this risk by limiting the investment of cash collateral to high quality instruments of short maturity. This strategy is not used to leverage a Fund.

With respect to loans that are collateralized by cash, the borrower will be entitled to receive a fee based on the amount of cash collateral. A Fund is compensated by the difference between the amount earned on the reinvestment of cash collateral and the fee paid to the borrower. In the case of collateral other than cash, a Fund is compensated by a fee paid by the borrower equal to a percentage of the market value of the loaned securities. Any cash collateral may be reinvested in certain short-term instruments either directly on behalf of the lending Fund or through one or more joint accounts or money market funds, which may include those managed by the Adviser.

A Fund may pay a portion of the interest or fees earned from securities lending to a borrower as described above, and to one or more securities lending agents approved by the Board of Trustees of the Trust (the “Board”) who administer the lending program for the Funds in accordance with guidelines approved by the Board. In such capacity, the lending agent causes the delivery of loaned securities from a Fund to borrowers, arranges for the return of loaned securities to the Fund at the termination of a loan, requests deposit of collateral, monitors the daily value of the loaned securities and collateral, requests that borrowers add to the collateral when required by the loan agreements, and provides recordkeeping and accounting services necessary for the operation of the program. State Street Bank and Trust Company (“State Street”) has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. The Funds’ securities lending income that appears on the Statements of Operations is net of any fees paid to State Street for serving as the securities lending agent.

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September 30, 2015

Securities lending involves exposure to certain risks, including operational risk (i.e., the risk of losses resulting from problems in the settlement and accounting process – especially so in certain international markets such as Taiwan), “gap” risk (i.e., the risk of a mismatch between the return on cash collateral reinvestments and the fees a Fund has agreed to pay a borrower), risk of loss of collateral, credit, legal, counterparty and market risk. Although State Street has agreed to provide a Fund with indemnification in the event of a borrower default, a Fund is still exposed to the risk of losses in the event a borrower does not return a Fund’s securities as agreed. For example, delays in recovery of lent securities may cause a Fund to lose the opportunity to sell the securities at a desirable price.


Fund	Market Value of Securities on Loan		Cash Collateral		Non-Cash Collateral (1)
Lattice Developed Markets (ex-US) Strategy ETF	$	3,015,882	$	3,031,657	$	144,504
Lattice Emerging Markets Strategy ETF		914,481		967,628		—
Lattice Global Small Cap Strategy ETF		951,943		854,471		139,684
Lattice US Equity Strategy ETF		1,046,081		940,701		130,949

(1)

Amount consists of domestic and foreign equity securities.

8. Principal Risks

CURRENCY RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Because each Fund’s NAV is determined on the basis of the U.S. dollar, investors may lose money if the currency of a non-U.S. market in which a Fund invests depreciates against the U.S. dollar, even if the local currency value of a Fund’s holdings in that market increases.

CUSTODY RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Custody risk refers to the risks inherent in the process of clearing and settling trades and the holding of securities by local banks, agents and depositories. Low trading volumes and volatile prices in less developed markets may make trades harder to complete and settle, and governments or trade groups may compel local agents to hold securities in designated depositories that may not be subject to independent evaluation. Local agents are held only to the standards of care of their local markets. In general, the less developed a country’s securities market is, the greater the likelihood of custody problems.

DERIVATIVE RISK: A derivative is a financial contract the value of which depends on, or is derived from, the value of a financial asset (such as stock, bond or currency), a physical asset (such as gold) or a market index (such as the S&P 500 Index). Each Fund may invest in futures contracts and other derivatives. Derivatives can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices and thus a Fund’s losses may be greater if it invests in derivatives than if it invests only in conventional securities. Derivatives are also subject to credit risk because a Fund could lose money when a contracting party is unable to meet its contractual obligations in a timely manner or negative perceptions of a contracting party’s ability to meet its obligations cause the derivative to decline in value.

EMERGING MARKETS RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Some foreign markets in which the Fund may invest are considered to be emerging markets. Investment in these emerging markets subjects the Fund to a greater risk of loss than investments in

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September 30, 2015

a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. These economies are less developed and can be overly reliant on particular industries and more vulnerable to changes in international trade, trade barriers and other protectionist or retaliatory measures. High levels of debt tend to make emerging economies heavily reliant on foreign capital and vulnerable to capital flight and the volatility of emerging markets may be heightened by the actions of a few major investors. Some governments exercise substantial influence over the private economic sector and the social and political uncertainties that exist for many developing countries is significant. In adverse social and political circumstances, governments have been involved in policies of expropriation, confiscatory taxation, nationalism, intervention in the securities markets and trade settlement, and imposition of foreign investment restrictions and exchange controls, and these could be repeated in the future. In certain emerging markets, investments may be subject to heightened risks with regard to ownership and custody of securities. For example, security ownership may be evidenced by entries in the books of a company or its registrar, which may not be independent of the issuer, instead of through a central registration system and without effective government supervision. Particularly with respect to a Fund’s investment in actual foreign securities, the possibility of fraud, negligence, undue influence being exerted by the issuer or refusal to recognize ownership exists could, along with other factors, result in the registration of the Fund’s shareholding being completely lost and cause the Fund to suffer an investment loss. For these and other reasons, investments in emerging markets are often considered speculative.

EQUITY SECURITIES RISK: Each Fund invests in equity securities, which are subject to changes in value that may be attributable to market perception of a particular issuer or to general stock market fluctuations that affect all issuers. Investments in equity securities may be more volatile than investments in other asset classes.

EQUITY INVESTING RISK: An investment in each Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices.

FUND OF FUNDS RISK: [Lattice Emerging Markets Strategy ETF only]: To the extent that a Fund invests in other investment companies such as closed-end funds or ETFs, it bears its pro rata share of these investment companies’ expense, and is subject to the effects of the business and regulatory developments that affect these investment companies and the investment company industry generally.

FOREIGN INVESTMENT RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities.

FOREIGN SECURITIES: A Fund may invest in foreign securities, including non-U.S. dollar-denominated securities traded outside of the United States and U.S. dollar-denominated securities of foreign issuers traded in the United States. Foreign securities also include ADRs, which are U.S. dollar-denominated receipts representing shares of foreign-based corporations. ADRs are issued by U.S. banks or trust companies, and entitle the holder to all dividends and capital gains that are paid out on the underlying foreign shares. Investment in ADRs may be less liquid than the liquidity of the underlying shares in their primary trading market. Foreign securities also include GDRs, which are similar to ADRs, but are shares of foreign-based corporations generally issued by international banks in

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

one or more markets around the world. Many GDRs are issued by companies in emerging markets. Investment in ADRs, GDRs and EDRs may be less liquid and more volatile than the underlying shares in their primary trading market.

DEPOSITARY RECEIPTS MAY BE “SPONSORED” OR “UNSPONSORED”: Sponsored depositary receipts are established jointly by a depositary and the underlying issuer, whereas unsponsored depositary receipts may be established by a depositary without participation by the underlying issuer. Holders of an unsponsored depositary receipt generally bear all the costs associated with establishing the unsponsored depositary receipt. In addition, the issuers of the securities underlying unsponsored depositary receipts are not obligated to disclose material information in the United States and, therefore, there may be less information available regarding such issuers and there may not be a correlation between such information and the market value of the depositary receipts.

DEPOSITARY RECEIPTS MAY BE UNREGISTERED AND UNLISTED: A Fund’s investments may also include ADRs, GDRs and EDRs that are not purchased in the public markets and are restricted securities that can be offered and sold only to “qualified institutional buyers” under Rule 144A of the Securities Act. The Adviser will determine the liquidity of such investments pursuant to guidelines established by the Board. If a particular investment in such ADRs or GDRs is deemed illiquid, that investment will be included within a Fund’s limitation on investment in illiquid securities. Moreover, if adverse market conditions were to develop during the period between a Fund’s decision to sell these types of ADRs or GDRs and the point at which a Fund is permitted or able to sell such security, a Fund might obtain a price less favorable than the price that prevailed when it decided to sell.

FOREIGN SECURITIES INVOLVE SPECIAL RISKS AND COSTS: Investment in foreign securities may involve higher costs than investment in U.S. securities, including higher transaction and custody costs as well as the imposition of additional taxes by foreign governments. Foreign investments may also involve risks associated with the level of currency exchange rates, less complete financial information about the issuers, less market liquidity, more market volatility and political instability. Future political and economic developments, the possible imposition of withholding taxes on income, the possible seizure or nationalization of foreign holdings, the possible establishment of exchange controls or freezes on the convertibility of currency, or the adoption of other governmental restrictions might adversely affect an investment in securities of foreign issuers. Changes to the financial condition or credit rating of foreign issuers may also adversely affect the value of a Fund’s securities. Additionally, foreign issuers may be subject to less stringent regulation, and to different accounting, auditing and recordkeeping requirements.

POLITICAL AND ECONOMIC RISK: The Funds are subject to foreign political and economic risk not associated with investments in securities of U.S. issuers, meaning that political events (civil unrest, national elections, changes in political conditions and foreign relations, imposition of exchange controls and repatriation restrictions), social and economic events (labor strikes, rising inflation) and natural disasters occurring in a foreign country could cause a Fund’s investments to experience gains or losses. A Fund also could be unable to enforce its ownership rights or pursue legal remedies in countries where it invests.

FOREIGN MARKET AND TRADING RISK: The trading markets for many foreign securities are not as active as U.S. markets and may have less governmental regulation and oversight. Foreign markets also may have clearance and settlement procedures that make it difficult for a Fund to buy and sell

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September 30, 2015

securities. These factors could result in a loss to a Fund by causing the Fund to be unable to dispose of an investment or to miss an attractive investment opportunity, or by causing Fund assets to be uninvested for some period of time.

GEOGRAPHIC RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Some of the markets in which the Funds invest are located in parts of the world that have historically been prone to natural disasters, such as earthquakes, volcanoes, droughts, hurricanes or tsunamis, and are economically sensitive to environmental events. Any such event may adversely impact the economies of these geographic areas, causing an adverse impact on the value of a Fund.

INDEX TRACKING RISK: There is a risk that the performance of each Fund may diverge from performance of the respective Index as a result of tracking error. Tracking error may occur because of differences between the securities held in a Fund and those included in the Index. Tracking error may also occur because of pricing differences, transaction costs, a Fund holding uninvested cash, differences in the timing of the accrual of dividends, changes to the Index or the costs of complying with various new or existing regulatory requirements. Additionally, tracking error may result because a Fund incurs fees and expenses, while the Index does not.

ISSUER RISK: The performance of each Fund depends on the performance of individual securities to which a Fund has exposure. Any issuer of these securities may perform poorly, causing the value of its securities to decline. Poor performance may be caused by poor management decisions, competitive pressures, changes in technology, expiration of patent protection, disruptions in supply, labor problems or shortages, corporate restructurings, fraudulent disclosures or other factors. Issuers may, in times of distress or at their own discretion, decide to reduce or eliminate dividends, which may also cause their stock prices to decline.

LARGE CAP RISK: [Lattice US Equity Strategy ETF only]: The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.

MARKET RISK: Each Fund could lose money due to short-term market movements and over longer periods during market downturns. Securities may decline in value due to factors affecting securities markets generally or particular asset classes or industries represented in the markets. The value of a security may decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or to factors that affect a particular industry or group of industries. During a general downturn in the securities markets, multiple asset classes may be negatively affected.

MARKET TRADING RISK

ABSENCE OF ACTIVE MARKET: Although Shares of each Fund are listed for trading on one or more stock exchanges, each Fund is a new fund and there can be no assurance that an active trading market for such Shares will develop or be maintained by market makers or Authorized Participants.

RISK OF SECONDARY LISTINGS: Each Fund’s Shares may be listed or traded on U.S. and non-U.S. stock exchanges other than the U.S. stock exchange where the Fund’s primary listing is maintained. There can be no assurance that a Fund’s Shares will continue to trade on any such stock exchange or in any market or that a Fund’s Shares will continue to meet the requirements for listing or trading on any exchange or in any market. Each Fund’s Shares may be less actively traded in certain

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

markets than in others, and investors are subject to the execution and settlement risks and market standards of the market where they or their broker direct their trades for execution. Certain information available to investors who trade Fund Shares on a U.S. stock exchange during regular U.S. market hours may not be available to investors who trade in other markets, which may result in secondary market prices in such markets being less efficient.

SECONDARY MARKET TRADING RISK: Shares of each Fund may trade in the secondary market at times when a Fund does not accept orders to purchase or redeem Shares. At such times, Shares may trade in the secondary market with more significant premiums or discounts than might be experienced at times when a Fund accepts purchase and redemption orders. Secondary market trading in Fund Shares may be halted by a stock exchange because of market conditions or for other reasons. In addition, trading in Fund Shares on a stock exchange or in any market may be subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules on the stock exchange or market. There can be no assurance that the requirements necessary to maintain the listing or trading of Fund Shares will continue to be met or will remain unchanged. Shares of each Fund, similar to shares of other issuers listed on a stock exchange, may be sold short and are therefore subject to the risk of increased volatility associated with short selling.

SHARES OF THE FUND MAY TRADE AT PRICES OTHER THAN NAV: Shares of each Fund trade on stock exchanges at prices at, above or below a Fund’s most recent NAV. The NAV of each Fund is calculated at the end of each business day and fluctuates with changes in the market value of a Fund’s holdings. The trading price of a Fund’s Shares fluctuates continuously throughout trading hours based on both market supply of and demand for Fund Shares and the underlying value of Fund holdings or NAV. As a result, the trading prices of a Fund’s Shares may deviate significantly from NAV during periods of market volatility. Any of these factors, among others, may lead to Shares trading at premium or discount to NAV. However, because Shares can be created and redeemed in Creation Units at NAV (unlike shares of many closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their NAVs), Lattice believes that large discounts or premiums to the NAV of a Fund are not likely to be sustained over the long term. While the creation/redemption feature is designed to make it more likely that a Fund’s Shares normally will trade on stock exchanges at prices close to a Fund’s next calculated NAV, exchange prices are not expected to correlate exactly with a Fund’s NAV due to timing reasons, supply and demand imbalances and other factors. In addition, disruptions to creations and redemptions, including disruptions at market makers or Authorized Participants, or to market participants or during periods of significant market volatility, may result in trading prices for Shares of a Fund that differ significantly from its NAV.

COSTS OF BUYING OR SELLING FUND SHARES: Buying or selling Fund Shares on an exchange involves two types of costs that apply to all securities transactions. When buying or selling Shares of a Fund through a broker, you will likely incur a brokerage commission or other charges imposed by brokers as determined by that broker. In addition, you may incur the cost of the “spread,” that is, the difference between what investors are willing to pay for Fund Shares (the “bid” price) and the price at which they are willing to sell Fund Shares (the “ask” price). Because of the costs inherent in buying or selling Fund Shares, frequent trading may detract significantly from investment results and an investment in Fund Shares may not be advisable for investors who anticipate regularly making small investments.

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

PASSIVE STRATEGY/INDEX RISK: The Funds are not actively managed and may be affected by a general decline in market segments related to their respective Index. Each Fund invests in securities included, in, or representative of, the Index, regardless of their investment merits. Additionally, Lattice generally does not attempt to take defensive positions under any market conditions, including declining markets.

SECURITIES LENDING RISK: Each Fund may engage in securities lending. Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings.

SMALL CAP RISK: [Lattice US Equity Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Investing in small capitalization companies involves greater risk than is customarily associated with more established companies. The prices of securities of small capitalization companies generally are more volatile than those of large capitalization companies and are more likely to be adversely affected than larger capitalization companies by changes in earnings results and investor expectations or poor economic or market conditions. Securities of small capitalization companies may underperform larger capitalization companies. Small capitalization companies often have limited product lines, markets, or financial resources and their management may lack depth and experience. Such companies usually do not pay significant dividends that could cushion returns in a falling market.

VALUATION RISK: The sale price each Fund could receive for a security may differ from a Fund’s valuation of the security and may differ from the value used by the Index, particularly for securities that trade in low volume or volatile markets, or that are valued using a fair value methodology. Because non-U.S. exchanges may be open on days when the Funds do not price its Shares, the value of the securities in a Fund may change on days when shareholders will not be able to purchase or sell the Fund’s Shares. In addition, for purposes of calculating each Fund’s NAV, the value of assets denominated in non-U.S. currencies is converted into U.S. dollars using exchange rates deemed appropriate by Lattice. This conversion may result in a difference between the prices used to calculate each Fund’s NAV and the prices used by the Index, which, in turn, could result in a difference between a Fund’s performance and the performance of the Index.

9. Purchases and Sales

As an ETF, individual Fund Shares may only be purchased and sold on the NYSE Arca through a broker-dealer. The price of Fund Shares is based on market price, and because ETF shares trade at market prices rather than at NAV, Shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF will only issue or redeem Shares that have been aggregated into blocks of 100,000 Shares or multiples thereof (“Creation Units”) to authorized participants who have entered into agreements with the Fund’s distributor. Lattice US Equity Strategy ETF will only issue or redeem Shares that have been aggregated into blocks of 50,000 Shares or multiples thereof (“Creation Units”) to authorized participants who have entered into agreements with the Fund’s distributor. The Funds generally will issue or redeem Creation Units in return for a designated Fund of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.

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LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

The NYSE Arca will disseminate, every fifteen seconds during the regular trading day, an indicative optimized Fund value (“IOPV”) relating to the Funds. The IOPV calculations are estimates of the value of the Funds’ net asset value per Share using market data converted into U.S. dollars at the current currency rates. The IOPV price is based on quotes and closing prices from the securities’ local market and may not reflect events that occur subsequent to the local market’s close. Premiums and discounts between the IOPV and the market price may occur. This should not be viewed as a “real-time” update of the net asset value per Share of the Funds, which is calculated only once a day. Neither the Funds, nor the Adviser or any of their affiliates are involved in, or responsible for, the calculation or dissemination of such IOPVs and make no warranty as to their accuracy.

For the period ended September 30, 2015, the Trust had purchases and sales of investment securities as follows:


	Purchases		Sales
Lattice Developed Markets (ex-US) Strategy ETF	$	40,970,847	$	11,012,499
Lattice Emerging Markets Strategy ETF		28,501,737		3,685,998
Lattice Global Small Cap Strategy ETF		10,628,241		3,195,133
Lattice US Equity Strategy ETF		34,339,566		9,292,038

10. Federal Income Taxes

Each Fund intends to qualify and elect to be treated as a separate “regulated investment company” under Subchapter M of the Internal Revenue Code. To qualify and maintain its tax status as a regulated investment company, each Fund must meet annually certain income and asset diversification requirements and must distribute annually at least 90 percent of its “investment company taxable income” (which includes dividends, interest and net short-term capital gains).

If the Fund fails to qualify as a regulated investment company for any year, (subject to certain curative measures allowed by the Internal Revenue Code) the Fund is subject to regular corporate-level income tax in that year on all of its taxable income, regardless of whether the Fund makes any distributions to its shareholders. In addition, distributions will be taxable to the Funds’ shareholders generally as ordinary dividends to the extent of the Funds’ current and accumulated earnings and profits.

Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

The tax character of distributions paid during the period ended September 30, 2015 is as follows:


Fund	Ordinary Income
Lattice Developed Markets (ex-US) Strategy ETF	$	391,063
Lattice Emerging Markets Strategy ETF		210,359
Lattice Global Small Cap Strategy ETF		62,130
Lattice US Equity Strategy ETF		260,026

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LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

As of September 30, 2015, the components of distributable earnings on a tax basis were as follows.


Fund	Ordinary Income
Lattice Developed Markets (ex-US) Strategy ETF	$	196,782
Lattice Emerging Markets Strategy ETF		176,554
Lattice Global Small Cap Strategy ETF		66,469
Lattice US Equity Strategy ETF		118,978

For federal income tax purposes, the Funds listed below have capital loss carryforwards as of September 30, 2015, which are available to offset future capital gains, if any, realized through the fiscal year listed:


Fund	No Expiration Date Short-Term
Lattice Developed Markets (ex-US) Strategy ETF	$	1,370,429
Lattice Emerging Markets Strategy ETF		1,140,297
Lattice Global Small Cap Strategy ETF		353,266
Lattice US Equity Strategy ETF		836,402

For the period ended September 30, 2015, there were no capital losses utilized.

The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:


	Cost		Gross Unrealized					Net Unrealized (Depreciation)
Fund	Cost		Appreciation		(Depreciation)			Net Unrealized (Depreciation)
Lattice Developed Markets (ex-US) Strategy ETF	$	31,632,471	$	779,096	$	(2,160,645	)	$	(1,381,549	)
Lattice Emerging Markets Strategy ETF		24,624,988		209,676		(4,304,012	)		(4,094,336	)
Lattice Global Small Cap Strategy ETF		7,930,660		242,596		(620,934	)		(378,338	)
Lattice US Equity Strategy ETF		25,110,091		507,866		(1,856,842	)		(1,348,976	)

The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to the foreign currency gains and losses, tax deferral of losses on wash sales, and adjustments for real estate investment trusts.

A. Distributions To Shareholders: The Funds will normally distribute substantially all of their net investment income at least annually. Any realized net capital gains will be distributed annually. The Funds may also pay a special distribution at any time to comply with U.S federal tax requirements. All distributions are recorded on the ex-dividend date. The amount and character of income and capital gain distributions to be paid are determined in accordance with Federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.

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LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

Permanent book and tax differences resulted in reclassifications for the fiscal year ended September 30, 2015 as follows:


Fund	Increase (Decrease) to Paid-in Capital		Increase (Decrease) to Accumulated Net Investment Income (Loss)			Increase (Decrease) to Accumulated Net Realized Gain (Loss)
Lattice Developed Markets (ex-US) Strategy ETF	$	—	$	1,036		$	(1,036	)
Lattice Emerging Markets Strategy ETF		—		(24,499	)		24,499
Lattice Global Small Cap Strategy ETF		—		(3,135	)		3,135
Lattice US Equity Strategy ETF		67,763		(248	)		(67,515	)

11. Subsequent Events

Management has evaluated all subsequent transactions and events through the date on which this statement was issued and has determined that no additional items require adjustment to or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of Lattice Strategies Trust:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, 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 Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, Lattice US Equity Strategy ETF and Lattice Global Small Cap Strategy ETF (constituting Lattice Strategies Trust, hereafter referred to as the “Funds”) at September 30, 2015, and the results of their operations, the changes in their net assets and the financial highlights for the periods presented, 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 audit. We conducted our audit 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 audit, which included confirmation of securities at September 30, 2015 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
November 24, 2015

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

SUMMARY OF BOARD’S ANNUAL APPROVAL PROCESS AND CONSIDERATIONS

The Board (the members of which are referred to as “Trustees”) of the Trust met in person on December 12, 2014, to consider the approval of (1) the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of the Funds, and Lattice Strategies, LLC (the “Adviser”) and (2) the investment sub-advisory agreement (the “Sub-Advisory Agreement”) between the Adviser and Mellon Capital Management (the “Sub-Adviser”). The Board considered the Advisory Agreement and the Sub-Advisory Agreement and the engagement of the Adviser and the Sub-Adviser separately, although the factors for consideration were similar.

In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (“1940 Act”), the Board requested, reviewed and considered materials furnished by the Adviser and the Sub-Adviser relevant to the Board’s consideration of whether to approve each of the Advisory Agreement and Sub-Advisory Agreement. In connection with considering approval of the Advisory Agreement and Sub-Advisory Agreement, the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), met in executive session with counsel to the Trust, who provided assistance and advice. The consideration of the Advisory Agreement and Sub-Advisory Agreement was conducted by both the full Board and the Independent Trustees, who also voted separately.

During their review and consideration, the Board and the Independent Trustees focused on and analyzed the factors they deemed relevant, including: (1) the nature, extent and quality of the services provided by each of the Adviser and the Sub-Adviser; (2) the investment performance of each of the Adviser and the Sub-Adviser; (3) the costs of the services to be provided and profits to be realized by each of the Adviser and the Sub-Adviser and their affiliates from the relationship with the Trust; (4) the extent to which economies of scale would be realized as the Funds grow; (5) any benefits derived or to be derived by each of the Adviser and the Sub-Adviser from the relationship with the Trust; and (6) potential conflicts of interest.

In reviewing such factors, the Board relied on certain information, including (1) copies of the Advisory Agreement and the Sub-Advisory Agreement; (2) information describing the Adviser, the Sub-Adviser and the services provided thereby; (3) information regarding the compliance programs of the Adviser and the Sub-Adviser; (4) copies of the Forms ADV for the Adviser and the Sub-Adviser; and (5) memoranda and guidance from Katten Muchin Rosenman LLP on the fiduciary responsibilities of trustees, including Independent Trustees, in considering advisory and distribution agreements under the 1940 Act. In addition, the Board was provided data comparing the advisory fees and expected expenses of the Funds with expenses and performance of other exchange-traded funds (“ETFs”) and mutual funds with similar investment objectives and policies. The Trustees also considered their personal experiences as Trustees and participants in the ETF and mutual fund industry, as applicable.

In particular, the Trustees including the Independent Trustees, considered and discussed the following with respect to the Funds:

The nature, extent and quality of the facilities and services proposed to be provided by each of the Adviser and the Sub-Adviser. The Board received information on and considered the division of responsibility of services to be provided by the Adviser and the Sub-Adviser, including the fact that portfolio management would be conducted by the Sub-Adviser. The Board reviewed the experience and resources that the Adviser and Sub-Adviser had in managing strategies similar to those proposed for the Funds, including information regarding the education and experience of management and investment personnel.

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

The Board determined that the Funds would likely benefit from the services and resources available from the Adviser and the Sub-Adviser, in respect of their responsibilities. In particular, they noted the extensive experience of the Adviser’s management personnel in developing and administering strategies that would be utilized by the Funds.

The advisory fee paid by and overall expenses of the Funds. The Board considered comprehensive data and information comparing the advisory fees and expected expense ratios of the Funds. The Board considered that the fee payable to the Sub-Adviser would be paid by the Adviser out of its management fee. The Board determined that the advisory fees charged and overall expenses of the Funds were competitive and in line with the related universe of funds. In light of the nature, quality, and extent of services provided by the Adviser and Sub-Adviser and the costs incurred by the Adviser and Sub-Adviser in rendering those services, the Board concluded that the level of fees paid to the Adviser and Sub-Adviser with respect to each Fund were fair and reasonable.

Financial condition of each of the Adviser and the Sub-Adviser. After considering information relating to the financial condition of the Adviser and Sub-Adviser, as well as the expected fees and operating costs relating to the management of the Funds, the Board determined that each of the Adviser and Sub-Adviser would be capable of providing services to the Funds.

Possible conflicts of interest. The Board considered the experience and ability of the advisory personnel assigned to the Funds, soft-dollar arrangements and the brokerage policies of the Adviser and Sub-Adviser, and the substance and administration of the Codes of Ethics of the Trust, the Adviser and the Sub-Adviser. The Board determined that the personnel and compliance policies of the Trust, Adviser and Sub-Adviser were each well designed to monitor and address conflicts of interest.

Effect of the Funds’ growth and size on its investment performance and expenses, The Board considered information relating to the seeding and expected initial trading of the Funds. It determined that the expense ratios of the Funds were well suited in light of expectations for asset accumulation and projected growth there from.

Based on the foregoing and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and the benefits gained by the Adviser in providing such services. The Board also found the investment advisory fees paid to the Adviser to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar anticipated size. As a result, all of the Board members, including the Independent Trustees, approved the Advisory Agreement.

With respect to the Sub-Adviser and based on the foregoing analysis and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the sub-advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Sub-Adviser to the Funds, as well as the costs incurred and the benefits gained by the Sub-Adviser in providing such services. As a result, all of the Trustees, including the Independent Trustees, approved the Sub-Advisory Agreement.

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

PROXY VOTING INFORMATION

A description of Lattice Strategies Trust’s (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how Lattice Strategies Trust voted any proxies related to portfolio securities is attached to the Fund’s Statement of Additional Information, which is available, without charge by visiting the Fund’s website at www.latticeetfs.com or the SEC’s website at www.sec.gov or by calling 1-415-315-6600.

OTHER INFORMATION

The Funds are not sponsored, endorsed, sold or promoted by the NYSE Arca, Inc. The NYSE Arca makes no representation or warranty, express or implied, to the owners of Shares or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the Funds to achieve their objectives. The NYSE Arca has no obligation or liability in connection with the administration, marketing or trading of the Funds.

For purposes of the 1940 Act, the Funds are registered investment companies, and the acquisition of Shares by other registered investment companies and companies relying on exemption from registration as investment companies under Section 3(c)(1) or 3(c)(7) of the 1940 Act is subject to the restrictions of Section 12(d)(1) of the 1940 Act, except as permitted by an exemptive order that permits registered investment companies to invest in the Funds beyond those limitations.

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

TAX INFORMATION

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2015.

Percentage of distributions which qualify for the corporate dividends received deduction:


Fund	Percentage
Lattice Developed Markets (ex-US) Strategy ETF		0.00	%
Lattice Emerging Markets Strategy ETF		0.00	%
Lattice Global Small Cap Strategy ETF		13.25	%
Lattice US Equity Strategy ETF		97.38	%

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2015, are considered qualified dividend income, and are eligible for reduced tax rates. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	465,398
Lattice Emerging Markets Strategy ETF		353,592
Lattice Global Small Cap Strategy ETF		81,857
Lattice US Equity Strategy ETF		291,420

At September 30, 2015, the Funds had foreign tax credits. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	45,400
Lattice Emerging Markets Strategy ETF		66,147
Lattice Global Small Cap Strategy ETF		9,978

At September 30, 2015, the Funds had foreign source income. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	683,817
Lattice Emerging Markets Strategy ETF		458,150
Lattice Global Small Cap Strategy ETF		97,987

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

SUPPLEMENTAL INFORMATION

Premium/Discount Information

The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund’s net asset value. Net asset value, or “NAV,” is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of such Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Each Fund’s Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the fair value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand. Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV. The following information shows the frequency distributions of premiums and discounts for each of the Funds included in this report. The information shown for each Fund is for the fund listing date through the date of the fiscal year end. The specific periods covered for each Fund are disclosed in the table for such Fund.

Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.

Lattice Developed Markets (ex-US) Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		12		7.95	%
Greater than 1.5% and Less than 2.0%		6		3.97	%
Greater than 1.0% and Less than 1.5%		27		17.88	%
Greater than 0.5% and Less than 1.0%		29		19.20	%
Between 0.5% and -0.5%		50		33.11	%
Less than -0.5% and Greater than -1.0%		18		11.92	%
Less than -1.0% and Greater than -1.5%		3		1.99	%
Less than -1.5% and Greater than -2.0%		3		1.99	%
Less than -2.0%		3		1.99	%
		151		100.00	%

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

Lattice Emerging Markets Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		9		5.96	%
Greater than 1.5% and Less than 2.0%		10		6.62	%
Greater than 1.0% and Less than 1.5%		19		12.58	%
Greater than 0.5% and Less than 1.0%		25		16.56	%
Between 0.5% and -0.5%		50		33.11	%
Less than -0.5% and Greater than -1.0%		14		9.27	%
Less than -1.0% and Greater than -1.5%		8		5.30	%
Less than -1.5% and Greater than -2.0%		7		4.64	%
Less than -2.0%		9		5.96	%
		151		100.00	%

Lattice Global Small Cap Strategy ETF
Period Covered: March 23rd, 2015 through September 30th, 2015


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		6		4.51	%
Greater than 1.5% and Less than 2.0%		5		3.76	%
Greater than 1.0% and Less than 1.5%		15		11.28	%
Greater than 0.5% and Less than 1.0%		34		25.56	%
Between 0.5% and -0.5%		52		39.09	%
Less than -0.5% and Greater than -1.0%		11		8.27	%
Less than -1.0% and Greater than -1.5%		3		2.26	%
Less than -1.5% and Greater than -2.0%		4		3.01	%
Less than -2.0%		3		2.26	%
		133		100.00	%

Lattice US Equity Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		3		1.99	%
Greater than 1.5% and Less than 2.0%		3		1.99	%
Greater than 1.0% and Less than 1.5%		12		7.95	%
Greater than 0.5% and Less than 1.0%		22		14.57	%
Between 0.5% and -0.5%		80		52.97	%
Less than -0.5% and Greater than -1.0%		13		8.61	%
Less than -1.0% and Greater than -1.5%		9		5.96	%
Less than -1.5% and Greater than -2.0%		4		2.65	%
Less than -2.0%		5		3.31	%
		151		100.00	%

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS

The following table provides information with respect to each Trustee, including those Trustees who are not considered to be “interested” as that term is defined in the 1940 Act (the “Independent Trustees”), and officer of the Trust.


Name, Address and Year of Birth (a)	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES
Robin Christine Beery (1967)	Trustee and Chairperson of the Nominating and Governance Committee	Term: Unlimited Served as Trustee: since December 2014	Executive Vice President of U.S. Distribution, Janus Capital Group (1994 to 2014)	5	Director, Like-a-Pro LLC (sports marketing) (2014 to present); Director, UMB (banking) (2015 to present)
Naozer Dadachanji (1962)	Trustee and Lead Independent Trustee	Term: Unlimited Served as Trustee: since December 2014	Partner and Board Member, CamberView Partners (2012 to present) (investment adviser); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2003 to 2012)	5	Board Member, Bridge Athletic (information technology) (2014 to present)
David Sung (1953)	Trustee and Chairman of the Audit Committee	Term: Unlimited Served as Trustee: since December 2014	Retired (2014); Asset Management Market Leader for the West – United States, Ernst & Young LLP (2010 to 2014); Asset Management Practice Co-Leader for the Asia Pacific Region, Ernst & Young LLP (2007 to 2010); Partner, Alternative Asset Management Practice, Ernst & Young LLP (1995 to 2007); Audit Partner, Coopers and Lybrand (1990 to 1995); Partner, Spice and Oppenheimer (1979 to 1990)	5	Director, Hayman Offshore Management, Inc. (private investment funds) (2014 to present); Advisory Board Member, ValueAct (private investment funds) (2014 to present); Advisory Board Member Bull Capital (investment funds) (2014 to present); and Independent Non-Executive Director, Nippon Wealth Bank (banking) (2014 to present)
INTERESTED TRUSTEE
Theodore James Lucas (1966)	Trustee and Chairman	Term: Unlimited Served as Trustee: since December 2014	Managing Partner, Lattice Strategies LLC (2003 to present)	5	None

(a)

The address of each Trustee is c/o Lattice Strategies Trust, 101 Montgomery Street, 27th Floor, San Francisco, CA 94104.

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LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS (Continued)


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
OFFICERS
Darek Wojnar, CFA 101 Montgomery Street, 27th Floor, San Francisco, CA 94104 (1965)	President	Term: Unlimited Served: since December 2014	Managing Director, Lattice Strategies LLC (2014 – present); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2005 – 2013).
Cory J. Gossard ALPS Fund Services, Inc. 1290 Broadway, Suite 1100 Denver, CO 80203 (1972)	Chief Compliance Officer	Term: Unlimited Served: since December 2014	Vice President and Deputy Chief Compliance Officer, ALPS Fund Services, Inc. (February 2014 to Present). Senior Vice President, Citibank (1995 to 2014). Served in various leadership roles at Citibank, in Compliance, Relationship Management and Fund Administration.
David James 4 Copley Place, CPH 0326 Boston, MA 02116 (1970)	Secretary	Term: Unlimited Served: since December 2014	Vice President and Managing Counsel, State Street Bank and Trust Company (2009 to present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 to 2009).
Albert Lee 101 Montgomery Street, 27th Floor, San Francisco, CA 94104 (1979)	Treasurer	Term: Unlimited Served: since December 2014	Managing Director & Chief Operating Officer, Lattice Strategies LLC (2009 – present); Chief Operating Officer, Avicenna Capital Management (2007 – 2009); Chief Financial Officer, Steeple Capital LP (2005 – 2007).

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[GRAPHIC MISSING]

Trustees
Robin Christine Beery
Naozer Dadachanji
David Sung
Theodore James Lucas

Officers
Darek Wojnar, CFA, President
Cory J. Gossard, Chief Compliance Officer
David James, Secretary
Albert Lee, Treasurer

Investment manager
Lattice Strategies LLC
101 Montgomery Street
San Francisco, CA 94104

Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203

Custodian, administrator and transfer agent
State Street Bank and Trust Company
1 Iron Street
Boston, MA 02110

Legal counsel
Katten Muchin Rosenman LLP
575 Madison Avenue
New York, NY 10022

Independent registered public accounting firm
PwC
125 High Street
Boston, MA 02110

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-415-315-6600 or visiting www.latticeetfs.com. Please read the prospectus carefully before you invest.

Item 2. Code of Ethics.

(a)	Lattice Strategies Trust (the “Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer.

(b)	No disclosures are required by this Item 2(b).

(c)	There have been no amendments to the Registrant’s Code of Ethics during the reporting period for this form N-CSR.

(d)	There have been no waivers granted by the Registrant to individuals covered by the Registrant’s Code of Ethics during the reporting period for this Form N-CSR.

(e)	Not applicable.

(f)	A copy of the Registrant’s Code of Ethics is attached as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

(a)	(1)	The Board of Trustees of the Registrant has determined that the Registrant has at least one member serving on the Registrant’s Audit Committee that possesses the attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as “audit committee financial expert.”

	(2)	The name of the audit committee financial expert is David Sung. Mr. Sung is deemed to be “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a)

Audit Fees - The aggregate fees billed for professional services rendered by the independent registered public accounting firm for the audit of the Registrant’s annual financial statements or services normally provided in connection with statutory and regulatory filings or engagements for the fiscal year ended September 30, 2015 was $60,000.

(b)	Audit Related Fees - During the fiscal year ended September 30, 2015, the Registrant was not billed any fees by the independent registered public accounting firm for assurance and related services rendered by the independent registered public accounting firm to the Registrant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item 4.

	During the fiscal year ended September 30, 2015, no fees for assurance and related services that relate directly to the operations and financial reporting of the Registrant were billed by the independent registered public accounting firm to the Registrant’s investment adviser (the “Adviser”) or any other entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant.

(c)	Tax Fees - The aggregate fees billed for professional services rendered by the independent registered public accounting firm to the Registrant for tax compliance, tax advice, tax planning and tax return preparation for the fiscal year ended September 30, 2015 was $30,000. These services consisted of the independent registered public accounting firm reviewing the Registrant’s excise tax returns, distribution requirements and RIC tax returns, as well as consultations regarding the tax consequences of specific investments.

During the fiscal year ended September 30, 2015, no fees for tax compliance, tax advice or tax planning services that relate directly to the operations and financial reporting of the Registrant were billed by the independent registered public accounting firm to the Adviser or any other entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant.

(d)	All Other Fees - The aggregate fees billed for products and services provided by the independent registered public accounting firm to the Registrant, other than the services reported in paragraph (a) – (c) of this Item 4, for the fiscal year ended September 30, 2015 was $0.

	During the fiscal years ended September 30, 2015, no fees for other services that relate directly to the operations and financial reporting of the Registrant were billed by the independent registered public accounting firm to the Adviser or any other entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant.

(e)

Pre-Approval Policies and Procedures

(1) Pursuant to the Registrant’s Audit Committee Charter, the Audit Committee shall evaluate the independence of the independent public accountants, including evaluating whether the independent public accountants provide audit services or consulting services to the Registrant or consulting services to the Adviser, and to receive the specific representations of the independent registered public accounting firm as to their independence. Specifically, the Audit Committee will be responsible for evaluating the provision of non-audit services to the Registrant as required by Section 201 of the Sarbanes-Oxley Act, any pre-approval requests submitted by the independent registered public accounting firm as required by Section 202 of the Sarbanes-Oxley Act or as otherwise required under Section 2-01 of Regulation S-X, and shall monitor the conflict of interest requirements in Section 206 of the Sarbanes-Oxley Act, and the prohibitions on improper influence on the conduct of audits in Section 303 of the Sarbanes-Oxley Act. The Audit Committee shall pre-approve any engagement of the independent registered public accounting firm to provide any services (other than prohibited non-audit services) including the fees and other compensation to be paid to the independent registered public accounting firm.

The independent registered public accounting firm is authorized by the Audit Committee to provide non-audit services to the extent allowable under the Sarbanes-Oxley Act of 2002 for the Registrant provided that (i) the fees payable with respect to such services do not exceed $5,000 in any calendar quarter and (ii) such fees are ratified by the Audit Committee at its next meeting. The fees payable with respect to non-audit services may be increased by the affirmative vote of a majority of the members of the Audit Committee.

(2) There were no pre-approval requirements waived for the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (the “De Minimis Rule”). There were no fees billed for services provided to the Adviser described in paragraphs (b)-(d) of Item 4 that were required to be pre-approved by the Audit Committee as described in paragraph (e)(1) of Item 4.

(f)	No disclosures are required by this Item 4(f).

(g)

For the fiscal year ended September 30, 2015, the aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant was $0.

(h)	No disclosures are required by this Item 4(h).

Item 5. Disclosure of Audit Committees for Listed Companies.

The Registrant has an audit committee which was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are David Sung, Robin Beery and Naozer Dadachanji.

Item 6. Schedule of Investments.

(a)

The schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

(b)

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Darek Wojnar, the Registrant’s President and Principal Executive Officer, and Albert Lee, the Registrant’s Treasurer and Principal Financial Officer, reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Mr. Wojnar and Mr. Lee determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the Registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of Ethics referred to in Item 2 is attached.

(a)(2) Separate certifications required by Rule 30a-2 under the 1940 Act for each principal executive officer and principal financial officer of the Registrant are attached.

(a)(3) Not applicable

(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the Registrant is attached.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Lattice Strategies Trust

By: /s/ Darek Wojnar

Darek Wojnar

President and Principal Executive Officer

Date: December 3, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Darek Wojnar

Darek Wojnar

President and Principal Executive Officer

Date: December 3, 2015

By: Albert Lee

Albert Lee

Treasurer and Principal Financial Officer

Date: December 3, 2015

Lattice Strategies Trust N-CSRCertified annual shareholder report (management investment company)

Lattice Strategies Trust

Lattice Developed Markets (ex-US) Strategy ETF (RODM)Lattice Emerging Markets Strategy ETF (ROAM)Lattice Global Small Cap Strategy ETF (ROGS)Lattice US Equity Strategy ETF (ROUS)

Annual Report

Table of Contents

Shareholder Letter

Lattice Developed Markets (ex-US) Strategy ETF (RODM)

Performance

Growth of $10,000 Investment Since Inception

Lattice Emerging Markets Strategy ETF (ROAM)

Performance

Growth of $10,000 Investment Since Inception

Lattice Global Small Cap Strategy ETF (ROGS)

Performance

Growth of $10,000 Investment Since Inception

Lattice US Equity Strategy ETF (ROUS)

Performance

Growth of $10,000 Investment Since Inception

Expense Example

Actual Expenses

Hypothetical Example For Comparison Purposes

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETFSCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE EMERGING MARKETS STRATEGY ETFSCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE GLOBAL SMALL CAP STRATEGY ETFSCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE US EQUITY STRATEGY ETFSCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)SCHEDULE OF INVESTMENTSSeptember 30, 2015

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE STRATEGIES TRUSTSTATEMENTS OF ASSETS AND LIABILITIESSeptember 30, 2015

LATTICE STRATEGIES TRUSTSTATEMENTS OF OPERATIONSFor the period ended September 30, 2015

LATTICE STRATEGIES TRUSTSTATEMENTS OF CHANGES IN NET ASSETS

LATTICE STRATEGIES TRUSTFINANCIAL HIGHLIGHTS(for a share outstanding throughout each period)

LATTICE STRATEGIES TRUSTNOTES TO FINANCIAL STATEMENTSSeptember 30, 2015

1. Organization

2. Significant Accounting Policies

LATTICE STRATEGIES TRUSTNOTES TO FINANCIAL STATEMENTS (Continued)September 30, 2015

Lattice Developed Markets (ex-US) Strategy ETF (RODM)
Lattice Emerging Markets Strategy ETF (ROAM)
Lattice Global Small Cap Strategy ETF (ROGS)
Lattice US Equity Strategy ETF (ROUS)

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2015

LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2015

LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the period ended September 30, 2015

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2015

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

Lattice Developed Markets (ex-US) Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

Lattice Emerging Markets Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015

Lattice Global Small Cap Strategy ETF
Period Covered: March 23rd, 2015 through September 30th, 2015

Lattice US Equity Strategy ETF
Period Covered: February 25th, 2015 through September 30th, 2015

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)

LATTICE STRATEGIES TRUST
September 30, 2015
(Unaudited)