Lattice Strategies Trust N-CSRS Certified semi-annual shareholder report (management investment company)

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. Moriarty, Esq. Kaye Scholer LLP 250 West 55th 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: March 31, 2016

Item 1. Reports to Shareholders.

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)

Semiannual Report

March 31, 2016

Table of Contents

Performance Summaries (Unaudited)		1
Lattice Developed Markets (ex-US) Strategy ETF		1
Lattice Emerging Markets Strategy ETF		2
Lattice Global Small Cap Strategy ETF		3
Lattice US Equity Strategy ETF		4
Shareholder Expense Examples		5
Schedules of Investments		7
Lattice Developed Markets (ex-US) Strategy ETF		7
Lattice Emerging Markets Strategy ETF		21
Lattice Global Small Cap Strategy ETF		31
Lattice US Equity Strategy ETF		45
Statements of Assets and Liabilities		54
Statements of Operations		55
Statements of Changes in Net Assets		56
Financial Highlights		58
Notes to Financial Statements		60
Other Information (Unaudited)		79

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

Lattice Developed Markets (ex-US) Strategy ETF (the “Fund”) offers 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 tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

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 by:

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

2. 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.

3. 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 (annualized) -1.48% at net asset value (“NAV”) since inception ending March 31, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance

Annualized for the Period Feb 25, 2015 (Fund Inception Date) Through Mar 31, 2016
Reporting Period Return	1 Year			Inception
Lattice Developed Markets Strategy ETF (NAV Return)		-0.26	%		-1.48	%
Lattice Developed Markets Strategy ETF (Market Price Return)		-0.31	%		-1.41	%
Lattice Risk-Optimized Developed Markets (ex US) Strategy Index		0.05	%		-1.15	%

Top 10 Countries (as of Mar 31, 2016) **
Country	%
Japan		19.15
Britain		11.92
Canada		11.00
Switzerland		7.34
Australia		7.11
France		7.08
Germany		5.18
Hong Kong		5.06
Singapore		2.97
Netherlands		2.96
Total Top 10 Countries		79.77	%

Sectors (as of Mar 31, 2016) *
Sector	%
Financials		27.66
Industrials		13.43
Health Care		11.83
Consumer Discretionary		11.75
Consumer Staples		10.40
Telecommunication Services		6.84
Utilities		5.85
Materials		4.66
Information Technology		4.40
Energy		3.18
Total		100.00

Top 10 Holdings (as of Mar 31, 2016) *
Company	%
Koninklijke Ahold NV		0.82
Hannover Rueck SE		0.79
Air New Zealand Ltd.		0.78
Swiss Life Holding AG		0.76
NN Group NV		0.75
Link REIT		0.74
Otsuka Holdings Co. Ltd.		0.71
Roche Holding AG		0.67
Mizrahi Tefahot Bank Ltd.		0.66
Bank of Montreal		0.64
Total Top 10 Holdings		7.31

* Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

** Country breakdown is based on Bloomberg “Country of Domicile” data field, may not reflect the real economic exposure.

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%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

Performance data quoted represents past performance. Past performance does not guarantee future results. 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.

1

Lattice Emerging Markets Strategy ETF (ROAM)

Lattice Emerging Markets Strategy ETF (the “Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of 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 by:

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

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

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

The Fund returned (annualized) -12.74% at net asset value (“NAV”) since inception ending March 31, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance

Annualized for the Period Feb 25, 2015 (Fund Inception Date) Through Mar 31, 2016
Reporting Period Return	1 Year			Inception
Lattice Emerging Markets ETF (NAV Return)		-11.86	%		-12.74	%
Lattice Emerging Markets ETF (Market Price Return)		-12.08	%		-12.81	%
Lattice Risk-Optimized Advancing Markets Strategy Index		-11.21	%		-12.11	%

Top 10 Countries (as of Mar 31, 2016) **
Country	%
Taiwan		8.48
Malaysia		8.45
China		8.19
Philippines		8.02
Thailand		7.97
South Korea		7.91
Indonesia		6.65
Poland		6.24
Mexico		5.82
India		5.80
Total Top 10 Countries		73.40

Sectors (as of Mar 31, 2016) *
Sector	%
Financials		36.10
Consumer Staples		11.93
Information Technology		8.52
Energy		8.41
Telecommunication Services		7.64
Industrials		7.32
Consumer Discretionary		6.77
Materials		6.43
Utilities		5.66
Health Care		1.22
Total		100.00

Top 10 Holdings (as of Mar 31, 2016) *
Company	%
Malayan Banking Bhd		1.04
Samsung Electronics Co. Ltd.		0.93
Tata Motors Ltd.		0.93
Telekomunikasi Indonesia Per		0.90
Philippine Long Distance Tel		0.89
State Bank of India		0.88
Wal-Mart de Mexico SAB de CV		0.87
Polski Koncern Naftowy Orlen SA		0.82
Grupo Nutresa SA		0.82
Reliance Industries Ltd.		0.81
Total Top 10 Holdings		8.89

* Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

** Country breakdown is based on Bloomberg “Country of Domicile” data field, may not reflect the real economic exposure.

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) 0.65%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

Performance data quoted represents past performance. Past performance does not guarantee future results. 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.

2

Lattice Global Small Cap ETF (ROGS)

Lattice Global Small Cap Strategy ETF (“the Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of 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, the Fund 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 by:

1. 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.

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

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

The Fund returned (annualized) -1.65% at net asset value (“NAV”) since inception ending March 31, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance

Annualized for the Period Mar 24, 2015 (Fund Inception Date) Through Mar 31, 2016
Reporting Period Return	1 Year			Inception
Lattice Global Small Cap ETF (NAV Return)		-1.06	%		-1.65	%
Lattice Global Small Cap ETF (Market Price Return)		-1.47	%		-1.78	%
Lattice Risk-Optimized Global Small Cap Strategy Index		-0.35	%		-0.94	%

Top 10 Countries (as of Mar 31, 2016) **
Country	%
United States		36.99
Japan		13.94
China		7.72
South Korea		7.28
Canada		4.84
Britain		4.34
Taiwan		4.24
Australia		2.60
Hong Kong		2.36
Bermuda		2.10
Total Top 10 Countries		86.41

Sectors (as of Mar 31, 2016) *
Sector	%
Financials		20.70
Consumer Discretionary		18.07
Industrials		15.32
Information Technology		14.79
Health Care		11.73
Consumer Staples		6.70
Materials		5.79
Energy		4.23
Telecommunication Services		2.09
Utilities		0.58
Total		100.00

Top 10 Holdings (as of Mar 31, 2016) *
Company	%
Zall Development Group Ltd.		0.60
Dart Group PLC		0.58
AGFA-Gevaert NV		0.57
KT Skylife Co. Ltd.		0.57
American National Insurance Co.		0.55
Monadelphous Group Ltd.		0.55
Hyundai Marine & Fire Insurance Co. Ltd.		0.55
CIFI Holdings Group Co. Ltd.		0.55
KB Insurance Co. Ltd.		0.54
Jungheinrich AG		0.54
Total Top 10 Holdings		5.60

* Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

** Country breakdown is based on Bloomberg “Country of Domicile” data field, may not reflect the real economic exposure.

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) 0.63%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

Performance data quoted represents past performance. Past performance does not guarantee future results. 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.

3

Lattice US Equity Strategy ETF (ROUS)

Lattice U.S. Equity Strategy ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of 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 by:

1. 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.

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

3. 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 (annualized) -2.81% at net asset value (“NAV”) since inception ending March 31, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance

Annualized for the Period Feb 25, 2015 (Fund Inception Date) Through Mar 31, 2016
Reporting Period Return	1 Year			Inception
Lattice US Equity Strategy ETF (NAV Return)		-2.72	%		-2.81	%
Lattice US Equity Strategy ETF (Market Price Return)		-2.88	%		-2.85	%
Lattice Risk-Optimized US Large Cap Equity Strategy Index		-2.64	%		-2.78	%

Sectors (as of Mar 31, 2016) *
Sector	%
Financials		18.13
Information Technology		16.65
Health Care		16.02
Consumer Discretionary		11.81
Industrials		11.20
Consumer Staples		8.31
Energy		8.29
Materials		5.11
Utilities		2.85
Telecommunication Services		1.63
Total		100.00

Top 10 Holdings (as of Mar 31, 2016) *
Company	%
Valero Energy Corp.		1.52
Phillips 66		1.07
MetLife, Inc.		1.05
Marathon Petroleum Corp.		1.04
Centene Corp.		1.03
Intel Corp.		0.97
LyondellBasell Industries NV		0.97
JPMorgan Chase & Co.		0.91
Kroger Co. (The)		0.90
Anthem, Inc.		0.87
Total Top 10 Holdings		10.33

* Sectors and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

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) 0.35%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

Performance data quoted represents past performance. Past performance does not guarantee future results. 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 50,000 Shares.

4

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, October 1, 2015 through March 31, 2016.

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.

5

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 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	$	1,062.00		0.50	%	$	2.58
Hypothetical 5% Annual Return	$	1,000	$	1,022.50		0.50	%	$	2.53
Lattice Emerging Markets Strategy ETF *
Actual Fund Return	$	1,000	$	1,084.20		0.65	%	$	3.49
Hypothetical 5% Annual Return	$	1,000	$	1,021.65		0.65	%	$	3.39
Lattice Global Small Cap Strategy ETF *
Actual Fund Return	$	1,000	$	1,074.40		0.60	%	$	3.11
Hypothetical 5% Annual Return	$	1,000	$	1,022.00		0.60	%	$	3.03
Lattice US Equity Strategy ETF *
Actual Fund Return	$	1,000	$	1,047.40		0.35	%	$	1.79
Hypothetical 5% Annual Return	$	1,000	$	1,023.25		0.35	%	$	1.77

* 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 (366) to reflect the period.

6

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
COMMON STOCKS — (99.1%)
Australia — (7.1%)
Adelaide Brighton Ltd. (a)		14,927	$	58,217
AGL Energy Ltd.		4,612		65,279
Amcor Ltd.		11,408		125,930
Ansell Ltd.		5,598		74,455
AusNet Services (a)		8,284		9,495
Australia & New Zealand Banking Group Ltd.		2,548		45,983
Brambles Ltd.		7,094		66,140
Caltex Australia Ltd.		1,447		37,868
Coca-Cola Amatil Ltd.		6,384		43,412
Cochlear Ltd.		641		50,443
Commonwealth Bank of Australia		236		13,601
CSL Ltd.		1,219		95,122
Dexus Property Group		7,370		45,015
GPT Group (The)		18,032		69,356
Insurance Australia Group Ltd. (a)		7,462		32,030
Macquarie Group Ltd.		626		31,826
Mirvac Group		20,396		30,359
Qantas Airways Ltd. (b)		20,237		63,359
QBE Insurance Group Ltd.		8,887		74,584
Scentre Group		15,164		51,792
Sonic Healthcare Ltd.		5,105		73,749
Star Entertainment Group Ltd. (The)		8,695		37,991
Stockland		15,917		52,282
Suncorp Group Ltd.		995		9,116
Tabcorp Holdings Ltd. (a)		23,526		77,457
Telstra Corp. Ltd.		32,567		133,528
Wesfarmers Ltd.		3,372		107,518
Woodside Petroleum Ltd.		7,460		148,974
Woolworths Ltd. (a)		8,304		141,171
				1,866,052
Austria — (1.6%)
BUWOG AG (b)		3,723		80,099
Oesterreichische Post AG		2,395		97,515
OMV AG		2,180		61,422
UNIQA Insurance Group AG		20,873		146,925
Vienna Insurance Group AG Wiener Versicherung Gruppe		1,934		40,993
				426,954

See accompanying Notes to Financial Statements.

7

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Belgium — (1.9%)
Ackermans & van Haaren NV		170	$	24,148
Ageas		2,319		92,148
bpost SA		1,976		54,977
Cie d’Entreprises CFE		791		75,022
Colruyt SA		607		35,415
Elia System Operator SA		846		42,144
Groupe Bruxelles Lambert SA		504		41,645
Proximus		3,380		115,685
Sofina SA		153		18,237
				499,421
Bermuda — (0.2%)
Hiscox Ltd.		3,057		42,576
				42,576
Britain — (11.9%)
Admiral Group PLC		462		13,168
Aggreko PLC		399		6,176
AstraZeneca PLC		1,546		86,716
Auto Trader Group PLC (c)		4,920		27,579
BAE Systems PLC		3,740		27,361
Beazley PLC		12,271		63,458
Bellway PLC		45		1,697
Berendsen PLC		5,505		95,185
Berkeley Group Holdings PLC		14		648
BP PLC		12,649		63,659
British American Tobacco PLC		173		10,170
British Land Co. PLC (The)		11,112		111,879
Britvic PLC		3,512		35,865
BT Group PLC		9,141		57,875
Centrica PLC		15,014		49,137
Compass Group PLC		3,217		56,780
Croda International PLC		265		11,575
Daily Mail & General Trust PLC		740		7,403
Derwent London PLC		514		23,286
Direct Line Insurance Group PLC		15,043		80,042
G4S PLC		2,459		6,736
GlaxoSmithKline PLC		8,230		167,025
Great Portland Estates PLC		2,705		28,304
HSBC Holdings PLC		10,821		67,485
Imperial Tobacco Group PLC		1,339		74,345
International Consolidated Airlines Group SA		9,441		75,108
J Sainsbury PLC (a)		21,433		85,116
JD Sports Fashion PLC		7,703		124,665

See accompanying Notes to Financial Statements.

8

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Britain (continued)
John Wood Group PLC		5,505	$	48,661
Kingfisher PLC		19,404		105,059
Land Securities Group PLC		4,660		73,743
Legal & General Group PLC		34,227		115,705
Marks & Spencer Group PLC		9,906		57,834
Micro Focus International PLC		1,100		24,822
National Grid PLC		5,840		82,864
Next PLC		800		62,091
Old Mutual PLC		15,071		41,828
Pennon Group PLC		1,165		13,580
Reckitt Benckiser Group PLC		67		6,481
RELX NV		2,834		49,556
RELX PLC		2,179		40,527
Rentokil Initial PLC		11,781		29,937
Rio Tinto Ltd. (a)		1,013		33,266
Royal Mail PLC		21,468		148,325
RPC Group PLC		2,798		30,544
Saga PLC		18,800		53,556
Sage Group PLC (The)		4,830		43,666
Segro PLC		5,342		31,503
Severn Trent PLC		253		7,902
Shaftesbury PLC		3,215		42,097
Sky PLC		5,203		76,578
Smith & Nephew PLC		1,734		28,611
SSE PLC		5,157		110,589
Stagecoach Group PLC		12,584		45,615
TalkTalk Telecom Group PLC (a)		4,527		15,427
Unilever NV		421		18,895
Unilever PLC		1,459		66,109
Vodafone Group PLC		18,737		59,571
WH Smith PLC		2,694		70,395
William Hill PLC		7,748		36,415
				3,130,195
Canada — (10.9%)
Agrium, Inc. (a)		1,239		109,843
Alimentation Couche-Tard, Inc.		2,828		126,374
Bank of Montreal		2,788		170,002
Bank of Nova Scotia (The)		1,513		74,243
BCE, Inc.		2,052		93,902
Canadian Apartment Properties REIT		1,810		40,414
Canadian Imperial Bank of Commerce (a)		1,486		111,463
Canadian Tire Corp. Ltd. (a)		315		32,923

See accompanying Notes to Financial Statements.

9

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Canada (continued)
CCL Industries, Inc.		483	$	92,048
CGI Group, Inc. (b)		2,770		132,927
Cominar Real Estate Investment Trust		2,596		34,521
Dollarama, Inc.		350		24,730
Emera, Inc.		430		15,804
Empire Co. Ltd. (a)		4,448		77,375
Fairfax Financial Holdings Ltd.		239		134,346
Finning International, Inc.		288		4,246
First Capital Realty, Inc.		170		2,710
Genworth MI Canada, Inc. (a)		647		15,312
George Weston Ltd. (a)		1,002		90,079
Great-West Lifeco, Inc.		3,774		104,281
Imperial Oil Ltd. (a)		1,298		43,543
Industrial Alliance Insurance & Financial Services, Inc.		2,699		81,797
Intact Financial Corp.		510		35,853
Loblaw Cos. Ltd.		1,163		65,386
Magna International, Inc.		2,456		106,010
Manulife Financial Corp.		7,568		107,542
Metro, Inc.		771		26,859
National Bank of Canada (a)		139		4,566
Peyto Exploration & Development Corp. (a)		430		9,604
Potash Corp. of Saskatchewan, Inc.		2,899		49,555
Power Corp. of Canada		4,643		107,545
Power Financial Corp. (a)		3,877		97,326
Progressive Waste Solutions Ltd.		794		24,788
Rogers Communications, Inc.		2,542		102,195
Royal Bank of Canada		2,155		124,673
Shaw Communications, Inc. (a)		1,168		22,657
Smart Real Estate Investment Trust		850		22,297
SNC-Lavalin Group, Inc.		1,052		38,592
Stantec, Inc. (a)		1,936		49,394
Sun Life Financial, Inc.		3,251		105,313
Suncor Energy, Inc.		172		4,810
TELUS Corp.		2,395		78,287
Toronto-Dominion Bank (The)		1,116		48,369
TransCanada Corp. (a)		1,135		44,805
				2,889,309
China — (0.2%)
Yangzijiang Shipbuilding Holdings Ltd.		76,158		55,425
				55,425

See accompanying Notes to Financial Statements.

10

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Denmark — (1.6%)
AP Moeller – Maersk A/S		40	$	52,555
Carlsberg A/S (a)		288		27,487
Coloplast A/S		464		35,215
ISS A/S		2,379		95,663
Novo Nordisk A/S		1,458		79,212
Pandora A/S		99		12,985
Rockwool International A/S		134		21,315
TDC A/S		4,642		22,756
Topdanmark A/S (b)		244		6,221
William Demant Holding A/S (b)		647		65,166
				418,575
Finland — (0.3%)
Elisa Oyj (a)		565		22,000
Fortum Oyj (a)		2,708		41,073
Orion Oyj		912		30,191
				93,264
France — (7.0%)
Aeroports de Paris		78		9,657
Airbus Group SE		733		48,739
Atos SE		356		29,038
AXA SA		3,067		72,312
BioMerieux (a)		602		69,047
Bouygues SA		1,863		76,109
Cap Gemini SA		206		19,385
Christian Dior SE		418		75,927
Cie Generale des Etablissements Michelin		910		93,257
CNP Assurances		7,163		111,868
Dassault Systemes		381		30,275
Electricite de France SA		5,890		66,207
Elior (c)		1,686		37,023
Essilor International SA		147		18,184
Euler Hermes Group		368		33,397
Eutelsat Communications SA		727		23,520
Hermes International (a)		72		25,390
Ipsen SA		1,017		58,491
Korian SA		2,676		78,950
Legrand SA		338		18,968
Orange SA		1,258		22,069
Rubis SCA		891		71,652
SCOR SE		4,705		167,281
SEB SA		123		12,777
Societe BIC SA		371		55,891

See accompanying Notes to Financial Statements.

11

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
France (continued)
Societe Generale SA		724	$	26,797
Sodexo SA		595		64,237
Suez Environnement Co.		3,081		56,597
Technicolor SA		4,477		28,009
Thales SA		1,176		103,189
TOTAL SA		1,427		65,143
Veolia Environnement SA		2,072		49,985
Worldline SA (b)(c)		5,422		139,823
				1,859,194
Germany — (5.1%)
adidas AG		36		4,225
Allianz SE		739		120,382
Aurubis AG		227		11,312
Celesio AG		1,793		51,591
Deutsche Lufthansa AG (a)(b)		2,516		40,727
Deutsche Post AG		364		10,129
Deutsche Telekom AG		1,125		20,224
Evonik Industries AG		2,177		65,406
Fielmann AG		156		11,857
Freenet AG		690		20,672
Fresenius Medical Care AG & Co. KGaA		1,511		134,030
Fresenius SE & Co. KGaA		1,139		83,341
Hannover Rueck SE		1,787		208,525
Hella KGaA Hueck & Co.		1,716		72,929
HUGO BOSS AG		5		328
K+S AG (a)		809		18,959
Kabel Deutschland Holding AG		336		37,715
Krones AG		256		30,879
Linde AG		93		13,571
MAN SE		109		11,815
Merck KGaA		973		81,285
Muenchener Rueckversicherungs-Gesellschaft AG		831		169,270
RWE AG		2,546		33,002
Sartorius AG		18		4,594
Siemens AG		180		19,107
Suedzucker AG		292		5,156
Talanx AG (b)		2,274		77,766
				1,358,797
Hong Kong — (5.0%)
Champion REIT		314,944		160,384
CLP Holdings Ltd.		2,328		21,054
Dairy Farm International Holdings Ltd.		20,619		124,539

See accompanying Notes to Financial Statements.

12

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Hong Kong (continued)
Hang Lung Group Ltd.		21,899	$	62,818
Hang Seng Bank Ltd.		2,036		35,987
HK Electric Investments & HK Electric Investments Ltd. (c)		128,243		112,924
HKT Trust & HKT Ltd.		85,423		117,619
Hongkong Land Holdings Ltd.		1,422		8,518
Jardine Matheson Holdings Ltd.		426		24,316
Jardine Strategic Holdings Ltd.		592		17,671
Kerry Properties Ltd.		15,992		43,915
Link REIT		32,718		194,033
New World Development Co. Ltd.		27,040		25,762
Pacific Textiles Holdings Ltd.		35,141		50,742
PCCW Ltd.		60,163		38,937
SJM Holdings Ltd.		65,240		46,597
SmarTone Telecommunications Holdings Ltd.		22,422		37,290
Sun Hung Kai Properties Ltd.		1,000		12,229
Swire Pacific Ltd.		5,388		58,002
VTech Holdings Ltd.		6,083		72,229
Wheelock & Co. Ltd.		6,401		28,595
Yue Yuen Industrial Holdings Ltd.		10,298		35,382
				1,329,543
Ireland — (1.7%)
DCC PLC		662		58,517
ICON PLC (b)		1,669		125,342
Kerry Group PLC		681		63,541
Paddy Power PLC		873		121,966
Ryanair Holdings PLC		971		83,331
Shire PLC		137		7,796
				460,493
Israel — (2.4%)
Bank Hapoalim BM		3,608		18,714
Bank Leumi Le-Israel BM (b)		12,104		43,432
Bezeq The Israeli Telecommunication Corp. Ltd.		67,410		151,962
Elbit Systems Ltd.		769		72,349
Mizrahi Tefahot Bank Ltd.		14,768		173,115
Taro Pharmaceutical Industries Ltd. (b)		826		118,325
Teva Pharmaceutical Industries Ltd.		801		43,187
				621,084
Italy — (2.0%)
Assicurazioni Generali SpA		2,741		40,699
Eni SpA		3,141		47,605
FinecoBank Banca Fineco SpA		2,211		18,645
Hera SpA		17,271		51,683

See accompanying Notes to Financial Statements.

13

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Italy (continued)
Parmalat SpA		26,499	$	73,439
Recordati SpA		4,605		115,448
Snam SpA		10,853		68,083
Terna Rete Elettrica Nazionale SpA		12,076		69,012
UnipolSai SpA		13,395		31,048
				515,662
Japan — (19.1%)
Advance Residence Investment Corp.		2		5,070
Aeon Co. Ltd.		7,312		105,782
Air Water, Inc. (a)		1,501		22,249
Aisin Seiki Co. Ltd. (a)		1,550		58,472
Ajinomoto Co., Inc. (a)		1,553		35,089
Alfresa Holdings Corp. (a)		1,732		33,270
ANA Holdings, Inc.		1,000		2,821
Aoyama Trading Co. Ltd.		530		20,395
Aozora Bank Ltd. (a)		23,887		83,523
Asahi Glass Co. Ltd.		761		4,171
Asahi Group Holdings Ltd.		100		3,120
Asahi Kasei Corp. (a)		10,594		71,720
Astellas Pharma, Inc.		1,786		23,780
Bandai Namco Holdings, Inc.		2,022		44,148
Benesse Holdings, Inc. (a)		1,181		34,045
Bic Camera, Inc.		3,383		30,761
Bridgestone Corp.		1,912		71,533
Canon Marketing Japan, Inc.		5,075		88,771
Canon, Inc.		3,883		115,908
Citizen Holdings Co. Ltd. (a)		5,181		29,410
COMSYS Holdings Corp. (a)		660		10,206
CyberAgent, Inc. (a)		580		26,989
Dai-ichi Life Insurance Co. Ltd. (The)		3,000		36,367
Daiichi Sankyo Co. Ltd. (a)		3,715		82,715
Daito Trust Construction Co. Ltd.		299		42,511
Daiwa House Industry Co. Ltd.		1,018		28,676
Daiwa Securities Group, Inc. (a)		7,223		44,490
Ebara Corp.		12,095		50,577
Fuji Heavy Industries Ltd.		1,640		58,001
FUJIFILM Holdings Corp.		580		22,969
Fujitsu Ltd.		12,694		47,051
Heiwa Corp.		697		14,468
Hikari Tsushin, Inc. (a)		321		24,476
HIS Co. Ltd. (a)		760		21,266
Hisamitsu Pharmaceutical Co., Inc.		397		17,767

See accompanying Notes to Financial Statements.

14

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Japan (continued)
Hitachi Chemical Co. Ltd.		369	$	6,648
Hitachi High-Technologies Corp.		1,707		48,144
Hitachi Ltd. (a)		11,222		52,578
Hitachi Transport System Ltd.		5,334		89,315
Hoya Corp. (a)		1,648		62,771
Ito En Ltd. (a)		2,400		75,911
ITOCHU Corp. (a)		2,743		33,825
Itochu Techno-Solutions Corp. (a)		4,326		81,751
Japan Airlines Co. Ltd.		4,163		152,675
Japan Tobacco, Inc. (a)		521		21,740
K’s Holdings Corp.		2,058		68,298
Kaken Pharmaceutical Co. Ltd.		162		9,816
Kaneka Corp.		5,609		48,108
Kao Corp.		396		21,150
KDDI Corp.		2,800		74,886
Kinden Corp.		1,017		12,487
Kirin Holdings Co. Ltd.		188		2,640
Konica Minolta, Inc.		1,038		8,829
Kuraray Co. Ltd.		1,218		14,911
Kurita Water Industries Ltd.		210		4,796
Lawson, Inc.		748		62,691
Lion Corp.		2,043		23,067
Medipal Holdings Corp. (a)		4,440		70,395
MEIJI Holdings Co. Ltd.		339		27,296
Miraca Holdings, Inc.		748		30,780
Mitsubishi Electric Corp.		1,076		11,292
Mitsubishi Motors Corp. (a)		8,133		61,000
Mitsubishi UFJ Financial Group, Inc.		5,193		24,095
Mitsui & Co. Ltd. (a)		844		9,724
Mixi, Inc. (a)		270		10,041
Mizuho Financial Group, Inc.		64,150		95,944
MS&AD Insurance Group Holdings, Inc. (a)		395		11,021
Murata Manufacturing Co. Ltd.		78		9,417
Nichirei Corp.		1,203		9,804
Nihon Kohden Corp.		989		24,621
Nikon Corp. (a)		1,627		24,927
Nippo Corp.		3,284		55,310
Nippon Telegraph & Telephone Corp.		2,578		111,198
Nissan Motor Co. Ltd. (a)		2,270		21,035
NS Solutions Corp.		1,166		22,916
NTT DOCOMO, Inc. (a)		3,774		85,708
Osaka Gas Co. Ltd. (a)		11,918		45,850

See accompanying Notes to Financial Statements.

15

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Japan (continued)
Otsuka Corp.		978	$	51,687
Otsuka Holdings Co. Ltd.		5,120		186,223
Panasonic Corp.		8,739		80,357
Park24 Co. Ltd. (a)		1,432		40,134
Recruit Holdings Co. Ltd.		4,418		135,022
Ricoh Co. Ltd. (a)		5,743		58,557
Rohto Pharmaceutical Co. Ltd.		4,228		77,116
Sankyo Co. Ltd. (a)		1,252		46,674
Santen Pharmaceutical Co. Ltd.		501		7,547
Sawai Pharmaceutical Co. Ltd. (a)		355		22,267
Seiko Epson Corp.		1,833		29,649
Sekisui Chemical Co. Ltd. (a)		1,986		24,490
Sekisui House Ltd.		2,046		34,578
Seven & i Holdings Co. Ltd.		600		25,581
Shimamura Co. Ltd.		1,053		131,631
Skylark Co. Ltd.		248		3,279
Sugi Holdings Co. Ltd.		848		44,816
Sumitomo Dainippon Pharma Co. Ltd. (a)		534		6,157
Sumitomo Forestry Co. Ltd.		3,029		34,846
Sumitomo Rubber Industries Ltd. (a)		1,121		17,344
Sundrug Co. Ltd.		313		23,448
Suntory Beverage & Food Ltd.		1,657		74,745
Suzuken Co. Ltd.		1,124		38,252
T&D Holdings, Inc.		1,217		11,364
Toho Gas Co. Ltd. (a)		10,558		75,055
Tokai Rika Co. Ltd.		929		17,506
Tokio Marine Holdings, Inc.		1,404		47,468
Tokyo Gas Co. Ltd.		15,188		70,903
Toyo Suisan Kaisha Ltd.		291		10,460
Toyoda Gosei Co. Ltd.		1,237		23,905
Toyota Boshoku Corp.		2,449		39,961
Tsumura & Co. (a)		4,960		119,240
Tsuruha Holdings, Inc. (a)		333		32,798
TV Asahi Holdings Corp.		797		14,317
Ube Industries Ltd.		37,848		67,012
West Japan Railway Co.		633		39,136
Yamada Denki Co. Ltd. (a)		3,957		18,730
Yamazaki Baking Co. Ltd.		4,457		94,022
				5,028,255
Jersey — (0.0%) (d)
Phoenix Group Holdings		819		11,106
				11,106

See accompanying Notes to Financial Statements.

16

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Luxembourg — (0.3%)
Grand City Properties SA		3,285	$	75,617
				75,617
Malta — (0.2%)
Unibet Group PLC		3,572		40,603
				40,603
Netherlands — (2.9%)
Aegon NV		3,431		18,900
Akzo Nobel NV		567		38,703
Boskalis Westminster		434		17,085
Euronext NV (c)		641		26,654
GrandVision NV (c)		3,201		91,375
Heineken Holding NV		721		56,346
Koninklijke Ahold NV		9,610		216,503
NN Group NV		6,025		197,426
Royal Dutch Shell PLC		4,215		102,990
Wolters Kluwer NV		302		12,072
				778,054
New Zealand — (2.3%)
Air New Zealand Ltd.		103,363		205,248
Fisher & Paykel Healthcare Corp. Ltd.		22,713		154,542
Fletcher Building Ltd.		14,149		77,509
Meridian Energy Ltd.		28,207		51,310
Spark New Zealand Ltd.		46,279		117,280
				605,889
Norway — (0.8%)
Leroy Seafood Group ASA		399		18,861
Salmar ASA		2,643		64,867
Statoil ASA		2,288		36,044
TGS Nopec Geophysical Co. ASA		919		14,033
Yara International ASA		2,119		79,777
				213,582
Portugal — (0.2%)
EDP – Energias de Portugal SA		11,093		39,516
Jeronimo Martins SGPS SA		480		7,866
				47,382
Singapore — (3.0%)
CapitaLand Commercial Trust Ltd. (a)		9,928		10,838
CapitaLand Mall Trust		12,162		18,876
ComfortDelGro Corp. Ltd.		18,253		39,580
DBS Group Holdings Ltd. (a)		6,710		76,637
Keppel Corp. Ltd. (a)		5,075		21,972
Keppel REIT (a)		70,043		51,755

See accompanying Notes to Financial Statements.

17

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Singapore (continued)
M1 Ltd. (a)		27,800	$	53,676
Mapletree Commercial Trust		46,683		48,881
Mapletree Industrial Trust		73,340		86,868
Oversea-Chinese Banking Corp. Ltd. (a)		7,232		47,476
SATS Ltd.		32,834		96,312
Singapore Airlines Ltd.		12,914		109,519
StarHub Ltd.		25,109		62,465
United Overseas Bank Ltd.		1,710		23,962
Wilmar International Ltd.		12,502		31,195
				780,012
Spain — (2.6%)
Aena SA (b)(c)		409		52,876
Almirall SA		6,551		110,261
Amadeus IT Holding SA		1,037		44,539
Cellnex Telecom SAU (c)		625		10,007
Cia de Distribucion Integral Logista Holdings SA		6,074		137,464
Distribuidora Internacional de Alimentacion SA (a)(b)		8,113		42,213
Ebro Foods SA (a)		953		20,835
Endesa SA		2,192		42,140
Gas Natural SDG SA		3,324		67,310
Grupo Catalana Occidente SA		133		3,781
Iberdrola SA		6,603		44,101
Mapfre SA		3,646		7,890
Prosegur Cia de Seguridad SA (a)		1,645		9,279
Red Electrica Corp. SA		712		61,907
Viscofan SA (a)		358		21,479
				676,082
Sweden — (1.4%)
Axfood AB (a)		5,436		100,583
Hennes & Mauritz AB		1,249		41,707
ICA Gruppen AB (a)		254		8,416
Investor AB		1,234		43,748
Securitas AB		1,424		23,626
Skandinaviska Enskilda Banken AB (a)		663		6,342
Tele2 AB		8,311		77,198
Telefonaktiebolaget LM Ericsson		317		3,179
TeliaSonera AB		11,648		60,591
				365,390

See accompanying Notes to Financial Statements.

18

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Switzerland — (7.3%)
ABB Ltd. (b)		1,754	$	34,324
Actelion Ltd. (b)		239		35,863
Allreal Holding AG (b)		82		11,919
Baloise Holding AG		825		105,273
Banque Cantonale Vaudoise		122		85,355
Credit Suisse Group AG (b)		1,131		16,074
DKSH Holding AG (a)		114		7,827
Emmi AG (b)		143		78,470
Galenica AG		7		10,570
Givaudan SA		21		41,357
Helvetia Holding AG		150		86,148
Kuehne + Nagel International AG		726		103,633
Nestle SA		843		63,248
Novartis AG		380		27,657
Panalpina Welttransport Holding AG (a)		239		26,804
Pargesa Holding SA		1,050		67,157
Roche Holding AG		720		177,961
Schindler Holding AG		108		19,995
SFS Group AG (b)		956		71,377
SGS SA		17		36,072
Sika AG		9		35,769
Swiss Life Holding AG (b)		752		200,790
Swiss Prime Site AG (b)		116		10,272
Swiss Re AG		1,676		155,585
Swisscom AG (a)		60		32,736
Syngenta AG		237		98,992
UBS Group AG		8,853		143,197
Wolseley PLC		162		9,172
Zurich Insurance Group AG (b)		569		132,676
				1,926,273
United States — (0.1%)
Carnival PLC		258		13,913
Thomson Reuters Corp.		527		21,440
				35,353
TOTAL COMMON STOCKS				26,150,142

See accompanying Notes to Financial Statements.

19

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
LIMITED PARTNERSHIP — (0.4%)
Israel — (0.4%)
Isramco Negev 2 LP		619,761	$	106,164
				106,164
TOTAL LIMITED PARTNERSHIPS				106,164
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.5%) (Cost $25,640,392)				26,256,306
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (6.2%) (Cost $1,624,719)
State Street Navigator Securities Lending Prime Portfolio, 0.49%		1,624,719		1,624,719
TOTAL INVESTMENTS — (105.7%) (Cost $27,265,111)				27,881,025
OTHER ASSETS & LIABILITIES — (-5.7%)				(1,496,232	)
NET ASSETS — (100.0%)			$	26,384,793

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

(b) Non-income producing security.

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

(d) 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	$	1,624,719	$	1,624,719
Total Borrowings	$	1,624,719	$	1,624,719
Gross amount of recognized liabilities for securities lending transactions			$	1,624,719

(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.

20

LATTICE EMERGING MARKETS STRATEGY ETF
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
COMMON STOCKS — (99.7%)
Brazil — (4.0%)
Ambev SA		15,921	$	84,547
Banco Bradesco SA		10,570		80,736
Banco do Brasil SA		16,321		91,046
BB Seguridade Participacoes SA		1,783		14,942
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		7,531		32,682
BRF SA		2,993		43,333
CCR SA		3,941		15,602
Cielo SA		5,581		55,070
Embraer SA		12,983		87,371
Itau Unibanco Holding SA		12,830		112,986
Itausa – Investimentos Itau SA		11,300		26,050
JBS SA		21,050		65,039
Kroton Educacional SA		8,748		28,337
Lojas Renner SA		1,100		6,453
Petroleo Brasileiro SA (a)		24,552		57,847
Ultrapar Participacoes SA		2,209		43,501
				845,542
Chile — (4.3%)
Aguas Andinas SA		230,588		131,962
Banco de Credito e Inversiones		2,462		99,697
Cencosud SA		41,199		104,072
Cia Cervecerias Unidas SA		3,370		75,656
Colbun SA		43,688		12,191
Corpbanca SA		11,082,114		101,500
Empresa Nacional de Electricidad SA		81,066		112,938
Empresas CMPC SA		14,578		34,068
Empresas COPEC SA		5,684		54,499
Enersis SA		4,152		57,713
SACI Falabella		19,053		133,271
				917,567
China — (8.2%)
Agricultural Bank of China Ltd. H Shares		98,000		35,250
Baidu, Inc. ADR (a)		432		82,460
Bank of China Ltd. H Shares		293,000		121,634
Bank of Communications Co. Ltd. H Shares		182,000		119,667
China Construction Bank Corp. H Shares		180,000		114,871
China Life Insurance Co. Ltd. H Shares		28,000		69,093
China Merchants Bank Co. Ltd. H Shares		26,500		55,688
China Minsheng Banking Corp. Ltd. H Shares		74,500		69,539
China Pacific Insurance Group Co. Ltd. H Shares		12,800		47,856
China Petroleum & Chemical Corp. H Shares		166,000		108,932

See accompanying Notes to Financial Statements.

21

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
China (continued)
China Shenhua Energy Co. Ltd. H Shares		75,000	$	117,965
China Telecom Corp. Ltd. H Shares		198,000		104,660
China Vanke Co. Ltd. H Shares		41,900		102,744
CITIC Securities Co. Ltd. H Shares		17,000		39,845
CNOOC Ltd.		61,000		72,037
Haitong Securities Co. Ltd. H Shares		11,200		19,147
Industrial & Commercial Bank of China Ltd. H Shares		248,000		138,763
NetEase, Inc. ADR		182		26,131
PetroChina Co. Ltd. H Shares		116,000		77,168
PICC Property & Casualty Co. Ltd. H Shares		48,000		87,998
Ping An Insurance Group Co. of China Ltd. H Shares		14,000		66,963
Tencent Holdings Ltd.		2,200		44,927
				1,723,338
Colombia — (4.8%)
Almacenes Exito SA		27,455		143,342
Banco Davivienda SA		15,364		140,581
Bancolombia SA		14,565		119,788
Corp. Financiera Colombiana SA		59		764
Corp. Financiera Colombiana SA		10,658		135,706
Ecopetrol SA		143,201		62,463
Grupo Argos SA		4,973		33,216
Grupo de Inversiones Suramericana SA		3,146		41,796
Grupo Nutresa SA		20,312		172,464
Isagen SA ESP		122,633		165,987
				1,016,107
India — (5.8%)
Axis Bank Ltd.		2,383		80,665
HDFC Bank Ltd.		1,580		97,375
ICICI Bank Ltd.		17,449		124,935
Infosys Ltd.		7,569		143,962
Larsen & Toubro Ltd.		1,234		22,274
Mahindra & Mahindra Ltd.		4,586		82,318
Reliance Industries Ltd. (b)		5,573		170,812
State Bank of India		6,312		184,942
Tata Motors Ltd. (a)(c)		6,734		195,623
Tata Steel Ltd.		25,543		113,922
				1,216,828
Indonesia — (6.6%)
Astra International Tbk PT		207,500		113,452
Bank Central Asia Tbk PT		108,100		108,426
Bank Mandiri Persero Tbk PT		156,000		121,177
Bank Negara Indonesia Persero Tbk PT		265,800		104,235

See accompanying Notes to Financial Statements.

22

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Indonesia (continued)
Bank Rakyat Indonesia Persero Tbk PT		149,200	$	128,553
Bumi Serpong Damai Tbk PT		217,200		30,057
Indocement Tunggal Prakarsa Tbk PT		66,600		99,071
Indofood Sukses Makmur Tbk PT		92,100		50,183
Kalbe Farma Tbk PT		297,300		32,398
Lippo Karawaci Tbk PT		948,600		74,758
Matahari Department Store Tbk PT		31,600		43,730
Perusahaan Gas Negara Persero Tbk PT		389,900		76,892
Semen Indonesia Persero Tbk PT		133,100		102,134
Surya Citra Media Tbk PT		15,900		3,765
Telekomunikasi Indonesia Persero Tbk PT		756,200		189,620
United Tractors Tbk PT		99,800		115,154
				1,393,605
Malaysia — (8.4%)
AMMB Holdings Bhd		78,400		92,436
Axiata Group Bhd		62,200		93,902
British American Tobacco Malaysia Bhd		7,300		101,113
CIMB Group Holdings Bhd		99,500		123,690
DiGi.Com Bhd		63,200		80,023
Genting Bhd		7,300		18,336
Genting Malaysia Bhd		51,800		60,277
Hong Leong Bank Bhd		9,288		32,138
IJM Corp. Bhd		83,900		75,911
IOI Corp. Bhd		51,100		59,856
Kuala Lumpur Kepong Bhd		2,200		13,533
Malayan Banking Bhd		95,100		219,865
Maxis Bhd		46,200		75,194
MISC Bhd		26,600		60,679
Petronas Chemicals Group Bhd		62,900		108,179
Public Bank Bhd		29,100		140,074
RHB Capital Bhd (a)		33,000		49,904
Sime Darby Bhd		36,600		74,579
Telekom Malaysia Bhd		26,100		44,152
Tenaga Nasional Bhd		47,000		167,930
UMW Holdings Bhd		29,500		51,945
YTL Corp. Bhd		84,300		35,436
				1,779,152
Mexico — (5.8%)
Alfa SAB de CV		33,260		67,324
America Movil SAB de CV (c)		179,886		140,968
Arca Continental SAB de CV		15,221		106,073
Coca-Cola Femsa SAB de CV		17,100		143,244

See accompanying Notes to Financial Statements.

23

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Mexico (continued)
Fibra Uno Administracion SA de CV		29,914	$	70,099
Gruma SAB de CV		7,521		120,119
Grupo Bimbo SAB de CV (a)		21,421		63,834
Grupo Financiero Banorte SAB de CV		14,910		84,765
Grupo Mexico SAB de CV		36,754		89,324
Kimberly-Clark de Mexico SAB de CV		31,469		76,333
Mexichem SAB de CV		10,388		25,658
Nemak SAB de CV (b)(c)		19,600		28,363
Promotora y Operadora de Infraestructura SAB de CV		1,638		21,956
Wal-Mart de Mexico SAB de CV		76,880		183,926
				1,221,986
Philippines — (8.0%)
Aboitiz Equity Ventures, Inc.		83,250		117,521
Alliance Global Group, Inc.		439,100		157,349
Ayala Corp.		4,870		79,325
Ayala Land, Inc.		52,600		40,268
Bank of the Philippine Islands		85,150		160,887
BDO Unibank, Inc.		60,460		134,327
Energy Development Corp.		656,700		83,861
GT Capital Holdings, Inc.		4,115		124,223
International Container Terminal Services, Inc.		42,110		61,914
JG Summit Holdings, Inc.		89,260		153,823
Jollibee Foods Corp.		9,680		47,722
Metro Pacific Investments Corp.		742,900		94,708
Metropolitan Bank & Trust Co.		48,240		86,381
Philippine Long Distance Telephone Co.		4,365		187,701
SM Investments Corp.		3,430		70,731
Universal Robina Corp.		18,510		87,153
				1,687,894
Poland — (6.2%)
Alior Bank SA (a)		2,375		41,452
Asseco Poland SA		7,859		127,939
Bank Pekao SA		3,026		133,905
Bank Zachodni WBK SA (a)		727		59,947
Cyfrowy Polsat SA (a)		1,180		7,695
Energa SA		19,817		69,803
Eurocash SA		3,406		48,822
KGHM Polska Miedz SA		5,019		102,621
LPP SA		8		11,822
mBank SA (a)		53		4,841
Orange Polska SA		48,764		88,307
PGE Polska Grupa Energetyczna SA		15,935		59,854

See accompanying Notes to Financial Statements.

24

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Poland (continued)
Polski Koncern Naftowy Orlen SA		8,690	$	172,544
Polskie Gornictwo Naftowe i Gazownictwo SA		64,078		91,592
Powszechna Kasa Oszczednosci Bank Polski SA (a)		11,312		84,493
Powszechny Zaklad Ubezpieczen SA		13,428		128,439
Tauron Polska Energia SA		95,885		77,545
				1,311,621
Russia — (3.0%)
Lukoil PJSC		621		23,856
Magnit PJSC		1,579		63,081
Mail.Ru Group Ltd. (a)		359		7,790
MMC Norilsk Nickel PJSC		5,380		69,456
Rosneft OAO		27,269		123,856
Sberbank of Russia		9,483		66,001
Surgutneftegas OAO		17,407		101,483
Tatneft PAO		3,845		122,425
Yandex NV (a)		3,765		57,680
				635,628
South Africa — (5.4%)
AngloGold Ashanti Ltd. (a)		1,305		18,145
Aspen Pharmacare Holdings Ltd. (a)		928		20,202
Barclays Africa Group Ltd. (c)		8,753		89,024
Bidvest Group Ltd. (The) (c)		3,872		98,195
FirstRand Ltd. (c)		17,796		58,525
Gold Fields Ltd.		10,084		40,074
Growthpoint Properties Ltd. (c)		25,431		42,483
Mr Price Group Ltd.		2,124		25,623
MTN Group Ltd. (c)		7,523		69,154
Nedbank Group Ltd. (c)		5,684		75,069
Netcare Ltd.		34,056		83,589
Redefine Properties Ltd.		81,930		66,734
Remgro Ltd.		2,083		35,431
RMB Holdings Ltd. (c)		5,333		22,212
Sanlam Ltd. (c)		12,765		59,442
Sasol Ltd. (c)		3,056		91,742
Shoprite Holdings Ltd. (c)		3,124		36,877
Standard Bank Group Ltd. (c)		8,969		80,787
Tiger Brands Ltd.		1,533		33,898
Vodacom Group Ltd.		3,076		33,573
Woolworths Holdings Ltd.		8,553		52,145
				1,132,924

See accompanying Notes to Financial Statements.

25

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
South Korea — (7.9%)
Amorepacific Corp.		76	$	25,686
AMOREPACIFIC Group		149		19,088
BNK Financial Group, Inc.		1,442		12,231
CJ Corp.		61		10,428
Coway Co. Ltd.		563		47,507
Dongbu Insurance Co. Ltd.		837		55,551
E-Mart Co. Ltd.		38		5,832
Hana Financial Group, Inc.		1,063		23,052
Hankook Tire Co. Ltd.		918		43,668
Hyundai Engineering & Construction Co. Ltd.		660		24,326
Hyundai Glovis Co. Ltd.		226		37,252
Hyundai Mobis Co. Ltd.		228		49,643
Hyundai Motor Co.		383		51,073
Hyundai Wia Corp.		234		21,485
Industrial Bank of Korea		3,591		38,466
Kangwon Land, Inc.		449		16,058
KB Financial Group, Inc.		1,025		28,547
Kia Motors Corp.		2,048		86,497
Korea Electric Power Corp.		1,574		82,857
Korea Zinc Co. Ltd.		120		50,525
KT Corp.		1,152		30,019
KT&G Corp.		652		62,714
LG Chem Ltd.		353		101,091
LG Display Co. Ltd.		1,410		32,796
LG Electronics, Inc.		937		50,472
LG Household & Health Care Ltd.		88		72,718
LG Uplus Corp.		4,192		40,505
NAVER Corp.		34		18,938
NCSoft Corp.		121		26,822
Orion Corp.		28		22,378
POSCO		133		25,528
Samsung Electronics Co. Ltd.		172		197,328
Samsung Fire & Marine Insurance Co. Ltd.		172		44,369
Samsung Life Insurance Co. Ltd.		613		62,983
Shinhan Financial Group Co. Ltd.		1,231		43,595
SK Hynix, Inc.		1,785		43,938
SK Telecom Co. Ltd.		295		53,784
				1,659,750
Taiwan — (8.4%)
Acer, Inc. (a)		6,000		2,302
Advanced Semiconductor Engineering, Inc.		32,000		37,236
Asustek Computer, Inc.		4,000		35,918

See accompanying Notes to Financial Statements.

26

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Taiwan (continued)
AU Optronics Corp.		59,000	$	17,727
Catcher Technology Co. Ltd.		3,000		24,609
Cathay Financial Holding Co. Ltd.		41,000		49,110
Chailease Holding Co. Ltd.		3,080		5,369
Chang Hwa Commercial Bank Ltd.		17,210		8,823
Cheng Shin Rubber Industry Co. Ltd.		17,000		34,175
Chicony Electronics Co. Ltd.		13,050		33,574
China Development Financial Holding Corp.		88,000		23,515
China Life Insurance Co. Ltd.		75,200		57,830
China Steel Corp.		30,000		20,880
Chunghwa Telecom Co. Ltd.		17,000		57,839
Compal Electronics, Inc.		46,000		28,872
CTBC Financial Holding Co. Ltd.		88,508		46,751
Delta Electronics, Inc.		4,105		18,112
E.Sun Financial Holding Co. Ltd.		28,999		16,219
Eva Airways Corp. (a)		53,000		29,642
Far Eastern New Century Corp.		20,540		16,785
Far EasTone Telecommunications Co. Ltd.		24,000		53,766
First Financial Holding Co. Ltd.		68,367		33,776
Foxconn Technology Co. Ltd.		17,130		38,429
Fubon Financial Holding Co. Ltd.		27,000		34,396
Giant Manufacturing Co. Ltd.		1,000		5,779
Hon Hai Precision Industry Co. Ltd.		47,300		124,628
Hotai Motor Co. Ltd.		1,000		10,999
HTC Corp.		1,000		2,865
Hua Nan Financial Holdings Co. Ltd.		92,774		46,122
Innolux Corp.		75,000		26,216
Inventec Corp.		82,000		51,976
Lite-On Technology Corp.		27,105		33,098
MediaTek, Inc.		3,000		23,024
Mega Financial Holding Co. Ltd.		50,273		35,771
Nan Ya Plastics Corp.		8,000		16,803
Novatek Microelectronics Corp.		8,000		32,190
Pegatron Corp.		21,000		49,003
Pou Chen Corp.		22,000		28,026
President Chain Store Corp.		4,000		29,145
Quanta Computer, Inc.		13,000		22,701
Radiant Opto-Electronics Corp.		4,000		7,755
Ruentex Development Co. Ltd.		11,000		13,928
Shin Kong Financial Holding Co. Ltd.		156,489		31,411
Simplo Technology Co. Ltd.		8,000		28,710
SinoPac Financial Holdings Co. Ltd.		79,900		24,702

See accompanying Notes to Financial Statements.

27

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Taiwan (continued)
Synnex Technology International Corp.		12,000	$	12,360
Taiwan Cement Corp.		20,000		19,575
Taiwan Cooperative Financial Holding Co. Ltd.		36,550		16,353
Taiwan Mobile Co. Ltd.		18,000		58,445
Taiwan Semiconductor Manufacturing Co. Ltd.		24,000		120,805
Teco Electric and Machinery Co. Ltd.		35,000		28,547
Uni-President Enterprises Corp.		20,800		36,515
United Microelectronics Corp.		66,000		27,274
Vanguard International Semiconductor Corp.		18,000		28,132
Wistron Corp.		37,014		22,887
WPG Holdings Ltd.		18,000		19,183
Yuanta Financial Holding Co. Ltd.		67,757		24,211
				1,784,794
Thailand — (7.9%)
Advanced Info Service PCL		20,000		103,468
Bangkok Bank PCL		26,100		135,026
Bangkok Dusit Medical Services PCL		80,000		53,212
Banpu PCL		45,300		21,504
BTS Group Holdings PCL		15,200		3,867
Bumrungrad Hospital PCL		11,200		67,493
Central Pattana PCL		10,200		14,932
Charoen Pokphand Foods PCL		78,400		54,376
CP ALL PCL		17,000		22,108
Delta Electronics Thailand PCL		23,800		58,857
Intouch Holdings PCL		10,000		18,121
Kasikornbank PCL		24,500		120,480
Krung Thai Bank PCL		254,400		135,227
Land & Houses PCL		189,500		48,210
Minor International PCL		15,260		16,049
PTT Exploration & Production PCL		24,600		49,123
PTT Global Chemical PCL		59,700		102,668
PTT PCL		14,500		115,407
Ratchaburi Electricity Generating Holding PCL		39,200		56,549
Siam Cement PCL (The)		5,400		71,529
Siam Commercial Bank PCL (The)		30,200		121,040
Thai Beverage PCL		207,000		109,910
Thai Union Group PCL		150,600		89,470
TMB Bank PCL		1,149,900		82,369
				1,670,995
Turkey — (5.0%)
Akbank TAS		21,959		62,546
Anadolu Efes Biracilik Ve Malt Sanayii AS		1,088		8,285

See accompanying Notes to Financial Statements.

28

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Turkey (continued)
Arcelik AS		7,674	$	52,219
BIM Birlesik Magazalar AS		3,501		75,909
Emlak Konut Gayrimenkul Yatirim Ortakligi AS		2,247		2,290
Eregli Demir ve Celik Fabrikalari TAS		72,573		109,284
Haci Omer Sabanci Holding AS		15,882		54,939
TAV Havalimanlari Holding AS		13,405		80,029
Tupras Turkiye Petrol Rafinerileri AS (a)		3,278		92,378
Turk Hava Yollari AO (a)		39,835		110,209
Turkcell Iletisim Hizmetleri AS		20,183		84,941
Turkiye Garanti Bankasi AS		25,826		75,578
Turkiye Halk Bankasi AS		24,321		90,436
Turkiye Is Bankasi		31,319		51,833
Turkiye Vakiflar Bankasi TAO		60,552		101,289
				1,052,165
TOTAL COMMON STOCKS				21,049,896
RIGHTS — (0.0%)(d)
Chile — (0.0%)(d)
Banco de Credito e Inversiones Exp 04/16/19(a)		238		512
				512
TOTAL RIGHTS				512
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.7%) (Cost $20,938,006)				21,050,408
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (2.1%) (Cost $432,363)
State Street Navigator Securities Lending Prime Portfolio, 0.49%		432,363		432,363
TOTAL INVESTMENTS — (101.8%) (Cost $21,370,369)				21,482,771
OTHER ASSETS & LIABILITIES — (-1.8%)				(369,693	)
NET ASSETS — (100.0%)			$	21,113,078

(a) Non-income producing security.

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

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

(d) Amount shown represents less than 0.05% of net assets.

PCL = Public Company Limited

See accompanying Notes to Financial Statements.

29

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

	Overnight and Continuous		Total
Securities Lending Transactions (1)
Equity Securities	$	432,363	$	432,363
Total Borrowings	$	432,363	$	432,363
Gross amount of recognized liabilities for securities lending transactions			$	432,363

(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.

30

LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
COMMON STOCKS — (99.5%)
Australia — (2.6%)
Abacus Property Group		1,094	$	2,508
Automotive Holdings Group Ltd.		4,254		13,384
Charter Hall Retail REIT (a)		4,797		16,937
Cromwell Property Group		17,954		14,364
CSR Ltd.		572		1,452
Downer EDI Ltd.		10,283		30,375
Investa Office Fund		309		996
JB Hi-Fi Ltd. (a)		2,122		38,491
Mineral Resources Ltd. (a)		1,698		7,850
Monadelphous Group Ltd. (a)		7,260		39,763
Northern Star Resources Ltd.		1,334		3,520
Regis Resources Ltd.		7,349		13,794
Sandfire Resources NL		734		3,224
				186,658
Belgium — (0.6%)
AGFA-Gevaert NV (b)		9,128		40,796
Tessenderlo Chemie NV (b)		129		4,910
				45,706
Bermuda — (2.1%)
Argo Group International Holdings Ltd.		359		20,603
Aspen Insurance Holdings Ltd.		741		35,346
DHT Holdings, Inc.		4,265		24,567
Enstar Group Ltd. (b)		207		33,654
Maiden Holdings Ltd.		2,577		33,346
Teekay Tankers Ltd.		839		3,079
				150,595
Brazil — (1.4%)
Braskem SA		4,296		28,377
Cia Energetica de Minas Gerais		2,567		5,860
Cia Hering		400		1,660
EDP – Energias do Brasil SA		3,201		11,380
Equatorial Energia SA		968		11,188
MRV Engenharia e Participacoes SA		10,385		34,695
Natura Cosmeticos SA		358		2,681
Odontoprev SA		979		3,149
				98,990
Britain — (4.3%)
Assura PLC		6,667		5,088
BGEO Group PLC		500		14,574
Big Yellow Group PLC		302		3,362
CVS Group PLC		1,090		12,048

See accompanying Notes to Financial Statements.

31

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Britain (continued)
Dart Group PLC		4,364	$	41,648
Debenhams PLC		11,768		12,719
Electrocomponents PLC		500		1,735
EMIS Group PLC		40		583
Firstgroup PLC (b)		1,933		2,687
Galliford Try PLC		307		6,332
Go-Ahead Group PLC		858		32,680
Greggs PLC		2,035		31,794
Halfords Group PLC		320		1,822
Hansteen Holdings PLC (a)		13,373		20,451
Interserve PLC		511		3,186
LondonMetric Property PLC		6,339		14,450
Lookers PLC		5,444		12,394
Mitie Group PLC (a)		154		569
Moneysupermarket.com Group PLC		2,882		13,160
Pendragon PLC		34,114		17,897
Premier Farnell PLC		1,541		2,497
SVG Capital PLC (b)		2,612		18,827
UNITE Group PLC (The)		1,952		17,858
WS Atkins PLC		1,153		22,704
				311,065
Canada — (4.8%)
Aecon Group, Inc.		617		7,694
Cascades, Inc. (a)		1,322		8,759
Dominion Diamond Corp.		1,416		15,764
Domtar Corp.		632		25,596
Dream Global Real Estate Investment Trust		3,925		26,431
Ensign Energy Services, Inc. (a)		553		2,557
Extendicare, Inc. (a)		2,548		18,537
Intertape Polymer Group, Inc.		2,409		34,660
Manitoba Telecom Services, Inc. (a)		909		22,693
Mercer International, Inc.		2,305		21,782
New Flyer Industries, Inc. (a)		944		24,376
North West Co., Inc. (The) (a)		1,102		24,639
Parkland Fuel Corp. (a)		1,838		30,395
Pason Systems, Inc.		618		7,884
Pure Industrial Real Estate Trust		2,416		8,891
Superior Plus Corp. (a)		972		6,944
Transcontinental, Inc. (a)		2,252		35,832
Uni-Select, Inc. (a)		533		23,056
				346,490

See accompanying Notes to Financial Statements.

32

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
China — (7.7%)
Agile Property Holdings Ltd.		34,670	$	19,354
China Biologic Products, Inc. (a)(b)		59		6,754
China Communications Services Corp. Ltd. H Shares		81,445		37,171
China Dongxiang Group Co. Ltd.		15,127		3,062
China Hongqiao Group Ltd.		40,543		28,173
China Lesso Group Holdings Ltd.		7,539		4,043
China Zhongwang Holdings Ltd.		22,649		11,184
Chongqing Rural Commercial Bank Co. Ltd. H Shares		18,097		9,566
CIFI Holdings Group Co. Ltd.		164,232		39,382
Dongfeng Motor Group Co. Ltd. H Shares		15,146		18,902
Fufeng Group Ltd.		12,346		3,931
GOME Electrical Appliances Holding Ltd.		4,589		663
Guangshen Railway Co. Ltd. H Shares		32,459		13,935
Guangzhou R&F Properties Co. Ltd. H Shares		17,086		24,495
Jiangnan Group Ltd.		176,110		31,105
KWG Property Holding Ltd.		3,492		2,296
Shanghai Jin Jiang International Hotels Group Co. Ltd. H Shares		55,585		22,645
Shenzhen Expressway Co. Ltd. H Shares		44,360		38,718
Sinopharm Group Co. Ltd. H Shares		1,047		4,731
Sinotrans Ltd. H Shares		23,228		10,152
Sunac China Holdings Ltd.		11,452		7,707
TCL Communication Technology Holdings Ltd.		49,582		32,601
Tong Ren Tang Technologies Co. Ltd. H Shares		22,113		35,522
TravelSky Technology Ltd. H Shares		18,649		30,534
Weichai Power Co. Ltd. H Shares		31,727		35,545
XTEP International Holdings Ltd.		70,588		38,040
Zall Development Group Ltd.		140,240		43,031
				553,242
Denmark — (0.1%)
Dfds A/S		40		1,456
SimCorp A/S		127		5,870
				7,326
Faroe Islands — (0.3%)
Bakkafrost P/F		574		22,242
				22,242
France — (0.9%)
Alten SA		283		17,395
Cegereal SA		940		35,745
Neopost SA		269		5,662
Sopra Steria Group		63		7,456
				66,258

See accompanying Notes to Financial Statements.

33

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Germany — (0.5%)
Jungheinrich AG		427	$	39,010
				39,010
Hong Kong — (2.4%)
Huabao International Holdings Ltd. (b)		6,060		2,281
Kingboard Chemical Holdings Ltd.		5,106		8,808
Shenzhen Investment Ltd.		35,120		13,946
Shimao Property Holdings Ltd.		10,760		15,925
Skyworth Digital Holdings Ltd.		57,194		35,393
Texwinca Holdings Ltd.		34,418		33,590
Tongda Group Holdings Ltd.		122,767		24,533
Yuexiu Real Estate Investment Trust		62,453		34,703
				169,179
Ireland — (0.1%)
Origin Enterprises PLC		581		4,449
				4,449
Israel — (1.0%)
Oil Refineries Ltd. (b)		86,404		33,095
Orbotech Ltd. (b)		100		2,378
Paz Oil Co. Ltd.		217		34,454
				69,927
Italy — (1.0%)
Banca IFIS SpA		720		23,884
DiaSorin SpA		142		8,212
Saras SpA (b)		5,222		8,397
Societa Cattolica di Assicurazioni SCRL		4,818		32,942
				73,435
Japan — (13.9%)
Adastria Co. Ltd.		178		5,408
Aeon Delight Co. Ltd. (a)		490		15,760
Alpine Electronics, Inc.		330		3,702
Amano Corp.		481		7,605
Anritsu Corp. (a)		955		5,259
AOKI Holdings, Inc.		732		8,857
Arcs Co. Ltd.		881		19,761
Asahi Holdings, Inc. (a)		382		5,152
Avex Group Holdings, Inc.		98		1,279
Bank of the Ryukyus Ltd. (a)		1,272		14,305
Calsonic Kansei Corp.		1,711		12,742
CKD Corp. (a)		1,276		10,547
Coca-Cola West Co. Ltd.		200		4,957
Create Restaurants Holdings, Inc.		972		9,124
Daiichikosho Co. Ltd.		19		828

See accompanying Notes to Financial Statements.

34

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Japan (continued)
Daishi Bank Ltd. (The) (a)		1,767	$	6,084
Doutor Nichires Holdings Co. Ltd.		1,294		20,931
Dydo Drinco, Inc.		740		34,566
Enplas Corp.		48		1,781
FCC Co. Ltd.		413		6,989
Foster Electric Co. Ltd. (a)		500		10,561
Fuji Machine Manufacturing Co. Ltd.		1,567		16,019
Fujitsu General Ltd.		239		3,694
Geo Holdings Corp. (a)		2,330		38,787
Heiwado Co. Ltd.		715		14,860
Hitachi Kokusai Electric, Inc.		1,780		21,427
Hitachi Maxell Ltd.		2,048		31,213
Hyakugo Bank Ltd. (The) (a)		1,312		4,926
Inaba Denki Sangyo Co. Ltd. (a)		725		22,867
Jeol Ltd.		751		3,809
Juroku Bank Ltd. (The) (a)		8,178		24,448
Kanematsu Corp.		1,109		1,618
Kokuyo Co. Ltd.		968		11,343
Komori Corp.		434		5,058
Kura Corp.		445		21,538
Kuroda Electric Co. Ltd.		902		13,523
KYORIN Holdings, Inc.		1,181		22,528
Kyowa Exeo Corp.		769		8,552
Kyudenko Corp.		829		19,760
Leopalace21 Corp.		247		1,494
Maeda Road Construction Co. Ltd.		978		16,150
Matsumotokiyoshi Holdings Co. Ltd.		100		5,240
Megmilk Snow Brand Co. Ltd.		399		10,043
Ministop Co. Ltd. (a)		1,800		32,815
Mirait Holdings Corp. (a)		1,405		11,200
Mochida Pharmaceutical Co. Ltd.		177		13,165
Morinaga & Co. Ltd.		1,145		5,837
NEC Networks & System Integration Corp.		994		15,477
NET One Systems Co. Ltd.		5,260		28,454
Nichiha Corp.		675		10,228
Nihon Unisys Ltd. (a)		373		4,948
Nippon Signal Co. Ltd. (a)		1,820		15,076
Nippon Synthetic Chemical Industry Co. Ltd. (The)		1,105		7,010
Nitto Kogyo Corp.		522		8,332
Nojima Corp. (a)		200		2,185
Noritz Corp.		952		15,534
Pal Co. Ltd.		426		10,685

See accompanying Notes to Financial Statements.

35

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Japan (continued)
Paramount Bed Holdings Co. Ltd.		537	$	19,661
Pioneer Corp. (a)(b)		14,421		38,235
Plenus Co. Ltd. (a)		1,878		33,919
Ryosan Co. Ltd.		187		4,679
Saizeriya Co. Ltd.		544		11,214
Showa Corp.		2,688		23,485
St Marc Holdings Co. Ltd.		193		5,332
Sumitomo Bakelite Co. Ltd.		986		3,869
T-Gaia Corp. (a)		2,078		24,090
Taikisha Ltd.		137		3,308
Takuma Co. Ltd.		1,418		12,704
Toa Corp.		397		940
Toho Holdings Co. Ltd. (a)		921		19,732
Token Corp. (a)		445		36,425
Tokyo Seimitsu Co. Ltd.		100		1,964
Toppan Forms Co. Ltd. (a)		1,071		11,940
Transcosmos, Inc. (a)		301		7,831
Unipres Corp.		196		3,420
Valor Co. Ltd. (a)		585		14,777
Yaoko Co. Ltd.		70		3,098
Yoshinoya Holdings Co. Ltd. (a)		623		7,633
Zojirushi Corp.		285		4,544
				998,841
Luxembourg — (0.1%)
Altisource Portfolio Solutions SA (a)(b)		234		5,651
				5,651
Netherlands — (0.6%)
BE Semiconductor Industries NV		197		5,408
Cimpress NV (a)(b)		77		6,983
PostNL NV (b)		1,240		5,059
TKH Group NV		524		22,470
				39,920
New Zealand — (0.5%)
Chorus Ltd.		13,111		36,503
				36,503
Norway — (0.5%)
Nordic American Tankers Ltd. (a)		124		1,747
Storebrand ASA (b)		2,995		11,707
Veidekke ASA		1,851		25,176
				38,630

See accompanying Notes to Financial Statements.

36

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Portugal — (0.0%) (c)
REN – Redes Energeticas Nacionais SGPS SA		663	$	2,177
				2,177
Puerto Rico — (0.5%)
Triple-S Management Corp. (b)		1,284		31,920
				31,920
Singapore — (1.0%)
Frasers Centrepoint Trust		3,717		5,521
Kulicke & Soffa Industries, Inc. (b)		699		7,913
Sheng Siong Group Ltd.		33,252		20,742
Venture Corp. Ltd.		4,375		27,161
Yanlord Land Group Ltd. (a)		13,200		11,959
				73,296
South Africa — (1.5%)
Barloworld Ltd. (a)		1,459		7,499
DataTec Ltd. (a)		6,840		21,378
MMI Holdings Ltd. (a)		10,700		18,115
Mondi Ltd.		884		17,064
Net 1 UEPS Technologies, Inc. (b)		461		4,216
Reunert Ltd.		4,459		21,004
Sappi Ltd. (b)		2,200		9,778
Telkom SA SOC Ltd.		2,758		10,795
				109,849
South Korea — (7.2%)
Bukwang Pharmaceutical Co. Ltd.		280		7,003
Cheil Worldwide, Inc.		1,665		24,751
CJ O Shopping Co. Ltd.		49		8,484
Crown Confectionery Co. Ltd.		14		6,464
Daesang Corp.		269		6,833
Daewoong Pharmaceutical Co. Ltd.		227		19,353
DGB Financial Group, Inc.		1,389		10,810
Green Cross Holdings Corp.		310		9,867
GS Home Shopping, Inc.		223		36,211
GS Retail Co. Ltd.		259		10,678
Hanil Cement Co. Ltd.		133		10,804
Hanon Systems		2,755		22,163
Hyundai Marine & Fire Insurance Co. Ltd.		1,368		39,715
JB Financial Group Co. Ltd.		1,955		9,915
KB Insurance Co. Ltd.		1,313		39,094
Korea Electric Terminal Co. Ltd.		236		19,584
Korea Petro Chemical Ind		60		13,431
Korean Reinsurance Co.		3,147		38,388
KT Skylife Co. Ltd.		2,805		40,716

See accompanying Notes to Financial Statements.

37

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
South Korea (continued)
Kwang Dong Pharmaceutical Co. Ltd.		742	$	7,235
LF Corp.		1,681		38,071
LS Industrial Systems Co. Ltd.		65		2,708
Meritz Fire & Marine Insurance Co. Ltd.		2,730		38,195
NongShim Co. Ltd.		36		12,592
S&T Motiv Co. Ltd.		149		9,003
S-1 Corp.		10		773
Samsung Card Co. Ltd.		110		3,622
SK Gas Ltd.		2		140
Soulbrain Co. Ltd.		222		8,056
Tongyang Life Insurance Co. Ltd.		1,584		16,344
Tongyang, Inc.		3,439		10,495
				521,498
Spain — (0.5%)
Tecnicas Reunidas SA (a)		1,236		34,825
				34,825
Sweden — (1.1%)
Bilia AB		1,101		24,718
Clas Ohlson AB		741		14,168
Mycronic AB		951		8,593
SAS AB (a)(b)		12,098		34,473
				81,952
Switzerland — (1.3%)
Autoneum Holding AG (b)		63		16,249
dorma+kaba Holding AG		2		1,283
Implenia AG		229		14,419
Kuoni Reisen Holding AG (b)		22		8,288
Rieter Holding AG (b)		169		36,636
Schweiter Technologies AG		12		11,115
Valiant Holding AG		36		3,849
				91,839
Taiwan — (4.2%)
Accton Technology Corp.		6,211		6,793
Cheng Uei Precision Industry Co. Ltd.		4,170		5,520
Coretronic Corp.		31,989		32,651
Elite Material Co. Ltd.		8,450		16,094
Everlight Electronics Co. Ltd.		3,199		5,328
FLEXium Interconnect, Inc.		190		490
Gigabyte Technology Co. Ltd.		29,563		32,609
Mercuries Life Insurance Co. Ltd.		31,823		15,623
Micro-Star International Co. Ltd.		25,000		38,490
Powertech Technology, Inc.		7,469		16,941

See accompanying Notes to Financial Statements.

38

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Taiwan (continued)
Primax Electronics Ltd.		14,637	$	17,168
Realtek Semiconductor Corp.		8,000		21,998
Shin Zu Shing Co. Ltd.		6,238		22,290
Transcend Information, Inc.		7,905		24,439
Tripod Technology Corp.		4,465		8,102
Wan Hai Lines Ltd.		26,691		15,384
Win Semiconductors Corp.		5,147		10,203
Wistron NeWeb Corp.		2,183		5,847
WT Microelectronics Co. Ltd.		6,754		8,079
				304,049
United States — (36.8%)
Aaron’s, Inc.		722		18,122
Abercrombie & Fitch Co. (a)		513		16,180
Aceto Corp.		435		10,249
Air Methods Corp. (a)(b)		622		22,529
Alon USA Energy, Inc. (a)		2,170		22,394
American Eagle Outfitters, Inc. (a)		1,137		18,954
American Equity Investment Life Holding Co.		29		487
American National Insurance Co.		346		39,963
American Woodmark Corp. (b)		76		5,669
Amkor Technology, Inc. (b)		292		1,720
AMN Healthcare Services, Inc. (b)		725		24,367
Apollo Commercial Real Estate Finance, Inc. (a)		1,935		31,541
Argan, Inc.		653		22,960
Atrion Corp.		26		10,279
AVX Corp.		640		8,045
Banc of California, Inc.		1,827		31,973
Barnes & Noble, Inc.		929		11,482
Benchmark Electronics, Inc. (b)		922		21,252
Big Lots, Inc.		428		19,384
Blackstone Mortgage Trust, Inc.		300		8,058
Boise Cascade Co. (b)		650		13,468
Briggs & Stratton Corp.		93		2,225
Buckle, Inc. (The) (a)		321		10,872
CACI International, Inc. (b)		124		13,231
Cal-Maine Foods, Inc. (a)		578		30,004
Cambrex Corp. (b)		49		2,156
Capella Education Co.		32		1,684
Capstead Mortgage Corp.		1,921		18,999
Cash America International, Inc.		890		34,390
Cato Corp. (The)		557		21,472
Chemed Corp.		262		35,488

See accompanying Notes to Financial Statements.

39

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
United States (continued)
Chemtura Corp. (b)		200	$	5,280
Chesapeake Utilities Corp.		19		1,196
Chico’s FAS, Inc.		683		9,063
Children’s Place, Inc. (The)		431		35,976
Cincinnati Bell, Inc. (b)		898		3,475
Cirrus Logic, Inc. (b)		22		801
Coca-Cola Bottling Co. Consolidated		128		20,449
Commercial Metals Co.		240		4,073
Compass Diversified Holdings		1,649		25,807
Compass Minerals International, Inc.		113		8,007
Computer Programs & Systems, Inc. (a)		563		29,344
CONMED Corp.		196		8,220
Convergys Corp.		691		19,189
Cooper Tire & Rubber Co.		481		17,807
Cooper-Standard Holding, Inc. (b)		474		34,052
Core-Mark Holding Co., Inc.		296		24,142
CorVel Corp. (b)		784		30,905
CSG Systems International, Inc.		359		16,212
Cynosure, Inc. (b)		438		19,325
CYS Investments, Inc.		1,782		14,505
Dean Foods Co. (a)		818		14,168
Delek US Holdings, Inc.		304		4,633
Dolby Laboratories, Inc.		288		12,516
Douglas Dynamics, Inc.		440		10,080
Dril-Quip, Inc. (b)		427		25,859
DSW, Inc.		260		7,186
EarthLink Holdings Corp.		3,375		19,136
Emergent BioSolutions, Inc. (b)		918		33,369
Employers Holdings, Inc.		561		15,787
Ensign Group, Inc. (The)		932		21,100
ePlus, Inc. (b)		311		25,039
Essendant, Inc.		329		10,505
Express, Inc. (b)		825		17,663
FBL Financial Group, Inc.		343		21,101
Finish Line, Inc. (The)		217		4,579
First Busey Corp.		69		1,413
First Interstate BancSystem, Inc.		1,242		34,937
Forum Energy Technologies, Inc. (b)		425		5,610
Francesca’s Holdings Corp. (b)		156		2,989
Fred’s, Inc.		161		2,401
Fresh Del Monte Produce, Inc.		292		12,284
FutureFuel Corp.		323		3,808

See accompanying Notes to Financial Statements.

40

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
United States (continued)
Genesco, Inc. (b)		388	$	28,033
Globus Medical, Inc. (b)		1,359		32,276
Green Dot Corp. (b)		731		16,791
Greif, Inc.		221		7,238
Guess?, Inc.		338		6,344
Haemonetics Corp. (b)		35		1,224
Hawaiian Holdings, Inc. (b)		765		36,100
Heritage Financial Corp.		932		16,375
Hibbett Sports, Inc. (a)(b)		66		2,369
Horace Mann Educators Corp.		387		12,264
Hub Group, Inc. (b)		45		1,836
ICF International, Inc. (b)		43		1,478
ICU Medical, Inc. (b)		97		10,098
II-VI, Inc. (b)		310		6,730
Infinity Property & Casualty Corp.		162		13,041
Ingles Markets, Inc.		543		20,363
Innospec, Inc.		535		23,198
Insight Enterprises, Inc. (b)		820		23,485
Insperity, Inc.		691		35,745
Integra LifeSciences Holdings Corp. (b)		292		19,669
INTL. FCStone, Inc. (b)		49		1,310
Investment Technology Group, Inc.		396		8,752
Kaman Corp.		211		9,008
Kemper Corp.		594		17,565
Landstar System, Inc.		68		4,393
Lexmark International, Inc.		387		12,937
LHC Group, Inc. (b)		936		33,284
Luminex Corp. (b)		1,709		33,155
Magellan Health, Inc. (b)		521		35,392
ManTech International Corp.		275		8,797
Masimo Corp. (b)		286		11,966
Meredith Corp.		25		1,188
Meridian Bioscience, Inc.		975		20,095
MFA Financial, Inc.		3,341		22,886
MicroStrategy, Inc. (b)		29		5,212
MRC Global, Inc. (b)		881		11,576
MSG Networks, Inc. (b)		910		15,734
National Presto Industries, Inc. (a)		243		20,349
National Western Life Group, Inc.		156		35,978
Navigators Group, Inc. (The) (b)		404		33,884
Neenah Paper, Inc.		41		2,610
NeuStar, Inc. (a)(b)		629		15,473

See accompanying Notes to Financial Statements.

41

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
United States (continued)
Northwest Natural Gas Co.		33	$	1,777
NuVasive, Inc. (b)		131		6,373
Oil States International, Inc. (b)		735		23,167
Oritani Financial Corp.		338		5,736
Outerwall, Inc. (a)		449		16,609
Owens & Minor, Inc.		884		35,731
Par Pacific Holdings, Inc. (b)		1,669		31,310
PDL BioPharma, Inc.		5,142		17,123
PharMerica Corp. (b)		359		7,938
Photronics, Inc. (b)		3,229		33,614
Plexus Corp. (b)		101		3,992
Polycom, Inc. (b)		1,680		18,732
QLogic Corp. (b)		2,327		31,275
Quality Systems, Inc.		1,931		29,428
Rent-A-Center, Inc.		486		7,703
Rofin-Sinar Technologies, Inc. (a)(b)		671		21,620
RPC, Inc. (a)		630		8,933
RPX Corp. (b)		2,345		26,405
Safety Insurance Group, Inc.		45		2,568
Sanderson Farms, Inc. (a)		365		32,916
Sanmina Corp. (b)		247		5,775
Scholastic Corp.		9		336
Schweitzer-Mauduit International, Inc.		740		23,295
Select Comfort Corp. (b)		489		9,482
Select Income REIT		396		9,128
Select Medical Holdings Corp. (b)		335		3,956
Selective Insurance Group, Inc.		649		23,760
Shoe Carnival, Inc.		1,161		31,301
Smith & Wesson Holding Corp. (b)		87		2,316
Southwest Gas Corp.		11		724
SpartanNash Co.		489		14,822
Steelcase, Inc.		325		4,849
Stepan Co.		554		30,631
Sturm Ruger & Co., Inc. (a)		40		2,735
Supernus Pharmaceuticals, Inc. (b)		191		2,913
Sykes Enterprises, Inc. (b)		1,007		30,391
Tech Data Corp. (b)		378		29,019
TeleTech Holdings, Inc.		612		16,989
Tessera Technologies, Inc.		525		16,275
TriCo Bancshares		757		19,167
TrustCo Bank Corp.		3,708		22,471
UniFirst Corp.		18		1,964

See accompanying Notes to Financial Statements.

42

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
United States (continued)
United Fire Group, Inc.		515	$	22,567
United States Cellular Corp. (b)		752		34,359
Universal Corp. (a)		341		19,372
US Physical Therapy, Inc.		160		7,957
USANA Health Sciences, Inc. (a)(b)		11		1,336
VASCO Data Security International, Inc. (a)(b)		656		10,102
Vector Group Ltd. (a)		411		9,387
Viad Corp.		259		7,552
Vishay Intertechnology, Inc. (a)		114		1,392
Vonage Holdings Corp. (b)		1,118		5,109
Walker & Dunlop, Inc. (b)		432		10,485
Weis Markets, Inc.		356		16,041
				2,650,697
TOTAL COMMON STOCKS				7,166,219
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.5%) (Cost $6,856,868)				7,166,219
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (11.9%) (Cost $857,022)
State Street Navigator Securities Lending Prime Portfolio, 0.49%		857,022		857,022
TOTAL INVESTMENTS — (111.4%) (Cost $7,713,890)				8,023,241
OTHER ASSETS & LIABILITIES — (-11.4%)				(822,092	)
NET ASSETS — (100.0%)			$	7,201,149

(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

See accompanying Notes to Financial Statements.

43

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

	Overnight and Continuous		Total
Securities Lending Transactions (1)
Equity Securities	$	857,022	$	857,022
Total Borrowings	$	857,022	$	857,022
Gross amount of recognized liabilities for securities lending transactions			$	857,022

(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.

44

LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares			Value
COMMON STOCKS — (99.9%)
Consumer Discretionary — (11.8%)
AMC Networks, Inc. (a)		141		$	9,157
AutoZone, Inc. (a)		93			74,092
Bed Bath & Beyond, Inc. (a)		919			45,619
Best Buy Co., Inc.		4,650			150,846
Burlington Stores, Inc. (a)		528			29,695
Coach, Inc.		1,221			48,950
Comcast Corp.		694			42,390
Darden Restaurants, Inc.		137			9,083
Delphi Automotive PLC		766			57,465
Dick’s Sporting Goods, Inc.		193			9,023
Dillard’s, Inc. (b)		202			17,152
Dollar General Corp.		1,195			102,292
Foot Locker, Inc.		1,581			101,975
Ford Motor Co.		1,546			20,871
GameStop Corp. (b)		4,184			132,758
Gap, Inc. (The)		3,970			116,718
General Motors Co.		6,643			208,789
Genuine Parts Co.		266			26,430
Goodyear Tire & Rubber Co. (The)		3,426			112,989
Hasbro, Inc.		21			1,682
Home Depot, Inc. (The)		1,169			155,980
HSN, Inc.		454	��		23,749
Johnson Controls, Inc.		590			22,992
Kohl’s Corp.		1,574			73,364
L Brands, Inc.		1,900			166,839
Lear Corp.		567			63,033
Lowe’s Cos., Inc.		2,138			161,953
Macy’s, Inc.		1,703			75,085
McDonald’s Corp.		409			51,403
Murphy USA, Inc. (a)		741			45,534
NIKE, Inc.		1,155			70,998
Nordstrom, Inc. (b)		208			11,900
O’Reilly Automotive, Inc. (a)		279			76,351
Omnicom Group, Inc.		118			9,821
Ralph Lauren Corp.		984			94,720
Ross Stores, Inc.		2,982			172,658
Skechers U.S.A., Inc. (a)		157			4,781
Starz (a)		1,428			37,599
Target Corp.		2,097			172,541
TJX Cos., Inc. (The)		1,656			129,748
Tupperware Brands Corp. (b)		87			5,044
VF Corp.		302			19,558

See accompanying Notes to Financial Statements.

45

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Consumer Discretionary (continued)
Viacom, Inc.		2,732	$	112,777
Visteon Corp.		1,546		123,046
Yum! Brands, Inc.		201		16,452
				3,215,902
Consumer Staples — (8.3%)
Altria Group, Inc.		1,182		74,064
Archer-Daniels-Midland Co.		3,750		136,163
Campbell Soup Co.		992		63,280
Casey’s General Stores, Inc.		1,108		125,559
Clorox Co. (The)		146		18,405
Colgate-Palmolive Co.		275		19,429
Costco Wholesale Corp.		706		111,251
CVS Health Corp.		688		71,366
Dr Pepper Snapple Group, Inc.		513		45,872
Estee Lauder Cos., Inc. (The)		1,337		126,092
General Mills, Inc.		329		20,842
Herbalife Ltd. (a)(b)		1,237		76,150
Hormel Foods Corp.		1,108		47,910
Ingredion, Inc.		66		7,048
Kellogg Co.		318		24,343
Kimberly-Clark Corp.		503		67,659
Kroger Co. (The)		6,386		244,264
Mead Johnson Nutrition Co.		93		7,902
PepsiCo, Inc.		530		54,314
Philip Morris International, Inc.		1,011		99,189
Pilgrim’s Pride Corp. (a)(b)		5,273		133,934
Procter & Gamble Co. (The)		312		25,681
Reynolds American, Inc.		393		19,772
Rite Aid Corp. (a)		20,012		163,098
Sysco Corp.		3,332		155,704
Tyson Foods, Inc.		762		50,795
Wal-Mart Stores, Inc.		2,530		173,280
Walgreens Boots Alliance, Inc.		958		80,702
Whole Foods Market, Inc.		583		18,137
				2,262,205
Energy — (8.3%)
Antero Resources Corp. (a)		5,305		131,935
Chevron Corp.		1,460		139,284
CVR Energy, Inc. (b)		6,493		169,467
Exxon Mobil Corp.		1,963		164,087
FMC Technologies, Inc. (a)		2,847		77,894
Halliburton Co.		660		23,575

See accompanying Notes to Financial Statements.

46

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Energy (continued)
Helmerich & Payne, Inc. (b)		1,476	$	86,671
HollyFrontier Corp.		1,328		46,905
Marathon Petroleum Corp.		7,595		282,382
National Oilwell Varco, Inc. (b)		2,009		62,480
Oceaneering International, Inc.		1,004		33,373
PBF Energy, Inc.		558		18,526
Phillips 66		3,355		290,510
Schlumberger Ltd.		326		24,043
Tesoro Corp.		1,743		149,915
Valero Energy Corp.		6,452		413,831
Western Refining, Inc.		4,880		141,959
				2,256,837
Financials — (18.1%)
Aflac, Inc.		3,105		196,050
Alleghany Corp. (a)		212		105,194
Allied World Assurance Co. Holdings AG		1,929		67,399
Allstate Corp. (The)		3,278		220,839
American Financial Group, Inc.		2,185		153,758
American International Group, Inc.		3,621		195,715
Ameriprise Financial, Inc.		983		92,412
AmTrust Financial Services, Inc.		4,713		121,972
Assurant, Inc.		1,062		81,933
Assured Guaranty Ltd.		1,304		32,991
Axis Capital Holdings Ltd.		1,628		90,289
Bank of America Corp.		3,816		51,592
BB&T Corp.		2,114		70,333
Berkshire Hathaway, Inc. (a)		849		120,456
BlackRock, Inc.		66		22,478
Capital One Financial Corp.		1,307		90,588
Chubb Ltd.		757		90,197
Cincinnati Financial Corp.		303		19,804
Citigroup, Inc.		1,389		57,991
CME Group, Inc.		776		74,535
CNA Financial Corp.		2,181		70,185
CNO Financial Group, Inc.		3,401		60,946
Cullen/Frost Bankers, Inc. (b)		260		14,329
Discover Financial Services		442		22,507
Erie Indemnity Co.		1,009		93,827
Everest Re Group Ltd.		599		118,261
Fifth Third Bancorp		528		8,812
First American Financial Corp.		2,345		89,368
First Citizens BancShares, Inc.		170		42,682

See accompanying Notes to Financial Statements.

47

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Financials (continued)
FirstMerit Corp.		850	$	17,892
Goldman Sachs Group, Inc. (The)		75		11,774
Hanover Insurance Group, Inc. (The)		1,102		99,422
Hartford Financial Services Group, Inc. (The)		4,350		200,448
JPMorgan Chase & Co.		4,189		248,073
Lincoln National Corp.		2,203		86,358
Loews Corp.		188		7,193
MetLife, Inc.		6,543		287,499
Old Republic International Corp.		10,926		199,727
PNC Financial Services Group, Inc. (The)		1,051		88,883
Principal Financial Group, Inc.		2,893		114,129
ProAssurance Corp.		637		32,232
Progressive Corp. (The)		5,042		177,176
Prudential Financial, Inc.		375		27,082
Regions Financial Corp.		4,692		36,832
Reinsurance Group of America, Inc.		890		85,662
SunTrust Banks, Inc.		2,515		90,741
SVB Financial Group (a)		71		7,246
Synchrony Financial (a)		3,104		88,961
Travelers Cos., Inc. (The)		1,833		213,929
Unum Group		549		16,975
US Bancorp		342		13,882
Validus Holdings Ltd.		821		38,743
Wells Fargo & Co.		2,874		138,987
XL Group PLC		3,548		130,566
				4,937,855
Health Care — (16.0%)
Abbott Laboratories		1,074		44,925
AbbVie, Inc.		1,293		73,856
Aetna, Inc.		2,049		230,205
Amgen, Inc.		803		120,394
Anthem, Inc.		1,716		238,507
Baxter International, Inc.		1,441		59,196
Bio-Rad Laboratories, Inc. (a)		220		30,078
Biogen, Inc. (a)		362		94,236
Boston Scientific Corp. (a)		549		10,327
Bristol-Myers Squibb Co.		809		51,679
Bruker Corp.		619		17,332
Cardinal Health, Inc.		2,345		192,173
Centene Corp. (a)		4,543		279,713
Cerner Corp. (a)		138		7,309
Cigna Corp.		1,056		144,925

See accompanying Notes to Financial Statements.

48

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Health Care (continued)
DaVita HealthCare Partners, Inc. (a)		1,097	$	80,498
Edwards Lifesciences Corp. (a)		1,045		92,179
Eli Lilly & Co.		1,419		102,182
Express Scripts Holding Co. (a)		2,188		150,294
Gilead Sciences, Inc.		1,698		155,978
HCA Holdings, Inc. (a)		1,911		149,154
Henry Schein, Inc. (a)		389		67,153
Humana, Inc.		1,155		211,307
Intuitive Surgical, Inc. (a)		62		37,265
Johnson & Johnson		1,880		203,416
LifePoint Health, Inc. (a)		1,651		114,332
McKesson Corp.	��	564		88,689
Merck & Co., Inc.		3,197		169,153
Molina Healthcare, Inc. (a)		2,116		136,461
Myriad Genetics, Inc. (a)		2,117		79,239
PAREXEL International Corp. (a)		1,471		92,276
Patterson Cos., Inc.		321		14,936
Pfizer, Inc.		3,715		110,113
Quest Diagnostics, Inc.		1,308		93,457
Quintiles Transnational Holdings, Inc. (a)		343		22,329
St Jude Medical, Inc.		1,220		67,100
Stryker Corp.		673		72,206
United Therapeutics Corp. (a)		410		45,686
UnitedHealth Group, Inc.		1,654		213,201
Varian Medical Systems, Inc. (a)		443		35,449
WellCare Health Plans, Inc. (a)		1,127		104,529
Zoetis, Inc.		1,337		59,269
				4,362,706
Industrials — (11.2%)
3M Co.		569		94,812
AGCO Corp.		1,165		57,900
Alaska Air Group, Inc.		1,098		90,058
American Airlines Group, Inc.		3,654		149,851
Boeing Co. (The)		604		76,672
Caterpillar, Inc.		992		75,928
CSX Corp.		800		20,600
Cummins, Inc.		1,055		115,987
Deere & Co. (b)		363		27,947
Delta Air Lines, Inc.		3,372		164,149
Deluxe Corp.		97		6,062
Eaton Corp. PLC		1,056		66,063
Emerson Electric Co.		2,875		156,342

See accompanying Notes to Financial Statements.

49

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Industrials (continued)
FedEx Corp.		205	$	33,358
Fluor Corp.		576		30,931
General Dynamics Corp.		875		114,949
Honeywell International, Inc.		329		36,864
Huntington Ingalls Industries, Inc.		508		69,566
Illinois Tool Works, Inc.		710		72,732
Ingersoll-Rand PLC		277		17,177
Jacobs Engineering Group, Inc. (a)		345		15,025
JetBlue Airways Corp. (a)		6,066		128,114
Lockheed Martin Corp.		407		90,150
ManpowerGroup, Inc.		1,189		96,808
MSC Industrial Direct Co., Inc.		222		16,941
Norfolk Southern Corp.		168		13,986
Northrop Grumman Corp.		789		156,143
PACCAR, Inc.		1,235		67,542
Parker-Hannifin Corp.		168		18,661
Pitney Bowes, Inc.		2,143		46,160
Raytheon Co.		823		100,924
Robert Half International, Inc.		875		40,758
Rockwell Automation, Inc.		140		15,925
RR Donnelley & Sons Co. (b)		4,511		73,980
Southwest Airlines Co.		3,576		160,205
Spirit AeroSystems Holdings, Inc. (a)		1,060		48,082
Stanley Black & Decker, Inc.		761		80,065
Tyco International PLC		276		10,132
United Continental Holdings, Inc. (a)		3,588		214,778
United Parcel Service, Inc.		416		43,876
United Technologies Corp.		393		39,339
Waste Management, Inc.		460		27,140
WW Grainger, Inc. (b)		290		67,695
				3,050,377
Information Technology — (16.6%)
Accenture PLC		1,408		162,483
Activision Blizzard, Inc.		1,351		45,718
Amphenol Corp.		133		7,690
Analog Devices, Inc.		1,261		74,639
Apple, Inc.		1,623		176,891
Applied Materials, Inc.		3,773		79,912
ARRIS International PLC (a)		1,018		23,333
Arrow Electronics, Inc. (a)		1,308		84,248
Automatic Data Processing, Inc.		193		17,314
Avnet, Inc.		2,183		96,707

See accompanying Notes to Financial Statements.

50

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Information Technology (continued)
Booz Allen Hamilton Holding Corp.		1,105	$	33,459
Broadcom Ltd.		134		20,703
Broadridge Financial Solutions, Inc.		177		10,498
Brocade Communications Systems, Inc.		3,126		33,073
CA, Inc.		820		25,248
CDW Corp.		255		10,582
Cisco Systems, Inc.		6,149		175,062
Cognizant Technology Solutions Corp. (a)		872		54,674
Computer Sciences Corp.		1,107		38,070
Corning, Inc.		6,998		146,188
DST Systems, Inc.		546		61,572
eBay, Inc. (a)		6,165		147,097
Electronic Arts, Inc. (a)		2,200		145,442
EMC Corp.		3,978		106,014
First Solar, Inc. (a)		2,367		162,068
Fiserv, Inc. (a)		19		1,949
Flextronics International Ltd. (a)		16,321		196,831
Google, Inc. (a)		136		103,754
Harris Corp.		382		29,743
HP, Inc.		18,746		230,951
IAC/InterActiveCorp		521		24,529
Ingram Micro, Inc.		1,858		66,721
Integrated Device Technology, Inc. (a)		4,872		99,584
Intel Corp.		8,182		264,688
International Business Machines Corp.		1,235		187,041
Intuit, Inc.		685		71,247
Jabil Circuit, Inc.		6,304		121,478
Keysight Technologies, Inc. (a)		233		6,463
Lam Research Corp.		119		9,829
Micron Technology, Inc. (a)		6,801		71,206
Microsoft Corp.		3,424		189,108
NetApp, Inc.		1,380		37,660
NVIDIA Corp.		3,746		133,470
Oracle Corp.		1,927		78,834
Paychex, Inc.		944		50,985
QUALCOMM, Inc.		1,108		56,663
Rackspace Hosting, Inc. (a)		117		2,526
Seagate Technology PLC (b)		2,349		80,923
SYNNEX Corp.		132		12,222
Syntel, Inc. (a)		55		2,746
TE Connectivity Ltd.		568		35,171
Teradyne, Inc.		364		7,859

See accompanying Notes to Financial Statements.

51

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Information Technology (continued)
Texas Instruments, Inc.		2,088	$	119,893
VMware, Inc. (a)(b)		2,185		114,297
Western Digital Corp.		1,855		87,630
Western Union Co. (The)		3,769		72,704
Xerox Corp.		2,385		26,617
				4,534,007
Materials — (5.1%)
Air Products & Chemicals, Inc.		22		3,169
Airgas, Inc.		566		80,168
AptarGroup, Inc.		119		9,331
Avery Dennison Corp.		1,281		92,373
Bemis Co., Inc.		766		39,663
Celanese Corp.		547		35,828
Dow Chemical Co. (The)		3,746		190,522
EI du Pont de Nemours & Co.		913		57,811
International Paper Co.		2,690		110,398
LyondellBasell Industries NV		3,087		264,185
Monsanto Co.		658		57,733
Packaging Corp. of America		537		32,435
PPG Industries, Inc.		489		54,519
Reliance Steel & Aluminum Co.		1,856		128,417
Scotts Miracle-Gro Co. (The)		491		35,730
Sherwin-Williams Co. (The)		363		103,335
Sonoco Products Co.		705		34,242
Steel Dynamics, Inc.		1,471		33,112
Valspar Corp. (The)		50		5,351
Westlake Chemical Corp.		293		13,566
WestRock Co.		229		8,938
				1,390,826
Telecommunication Services — (1.6%)
AT&T, Inc.		4,400		172,348
CenturyLink, Inc.		686		21,925
T-Mobile US, Inc. (a)		2,667		102,146
Verizon Communications, Inc.		2,708		146,449
				442,868
Utilities — (2.9%)
American Electric Power Co., Inc.		965		64,076
Consolidated Edison, Inc.		1,058		81,064
DTE Energy Co.		707		64,097
Edison International		1,099		79,007
Exelon Corp.		3,211		115,146
NextEra Energy, Inc.		141		16,686

See accompanying Notes to Financial Statements.

52

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
March 31, 2016
(Unaudited)

	Shares		Value
Utilities (continued)
PG&E Corp.		709	$	42,342
PPL Corp.		1,655		63,006
Public Service Enterprise Group, Inc.		3,095		145,898
Southern Co. (The)		707		36,573
Xcel Energy, Inc.		1,633		68,292
				776,187
TOTAL COMMON STOCKS				27,229,770
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.9%) (Cost $26,599,574)				27,229,770
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (1.7%) (Cost $468,780)
State Street Navigator Securities Lending Prime Portfolio, 0.49%		468,780		468,780
TOTAL INVESTMENTS — (101.6%) (Cost $27,068,354)				27,698,550
OTHER ASSETS & LIABILITIES — (-1.6%)				(433,732	)
NET ASSETS — (100.0%)			$	27,264,818

(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	$	468,780	$	468,780
Total Borrowings	$	468,780	$	468,780
Gross amount of recognized liabilities for securities lending transactions			$	468,780

(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.

53

LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
March 31, 2016
(Unaudited)

	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 *	$	27,881,025		$	21,482,771		$	8,023,241		$	27,698,550
Foreign currency, at value		47,547			20,379			2,547			—
Cash		11,645			21,059			2,899			9,070
Receivables:
Investment securities sold		47			130			—			—
Dividends		122,796			67,913			27,990			28,231
Securities Lending Income		1,314			283			1,097			833
Prepaid expenses and other assets		—			—			397			—
Total Assets		28,064,374			21,592,535			8,058,171			27,736,684
Liabilities:
Payables:
Upon return of securities loaned		1,624,719			432,363			857,022			468,780
Investment securities purchased		47,667			39,895			—			—
Accrued management fees		7,195			7,199			—			3,086
Total Liabilities		1,679,581			479,457			857,022			471,866
Net Assets	$	26,384,793		$	21,113,078		$	7,201,149		$	27,264,818
Net Assets Consist of:
Paid in capital	$	27,642,537		$	24,402,197		$	7,465,273		$	28,348,628
Undistributed net investment income		138,240			65,334			30,066			9,128
Accumulated net realized gain (loss)		(2,013,906	)		(3,468,045	)		(603,986	)		(1,723,134	)
Net unrealized appreciation		617,922			113,592			309,796			630,196
Net Assets	$	26,384,793		$	21,113,078		$	7,201,149		$	27,264,818
Shares Issued and Outstanding:		1,100,000			1,000,000			300,000			1,150,000
Net Asset Value Per Share:	$	23.99		$	21.11		$	24.00		$	23.71
Investments, at cost *	$	27,265,111		$	21,370,369		$	7,713,890		$	27,068,354
Foreign currency, at cost	$	47,215		$	20,117		$	2,518		$	—
* Includes investment in securities on loan, at value	$	2,425,390		$	716,965		$	924,741		$	660,144

See accompanying Notes to Financial Statements.

54

LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the Six Months Ended March 31, 2016
(Unaudited)

	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
Investment Income:
Dividends *	$	313,903		$	166,829		$	88,539		$	285,216
Securities lending income		9,965			905			4,867			5,268
Total Investment Income		323,868			167,734			93,406			290,484
Expenses:
Management fees		69,009			58,661			20,531			35,361
Other		35			1,878			—			—
Total Expenses		69,044			60,539			20,531			35,361
Net Investment Income		254,824			107,195			72,875			255,123
Realized and Unrealized Gain (Loss):
Net Realized Gain (Loss) on:
Investments		(638,004	)		(2,323,098	)		(248,489	)		(882,623	)
Foreign currency transactions		1,082			5,813			(147	)		—
Change in Unrealized Appreciation (Depreciation) of:
Investments		1,982,076			4,195,502			678,927			1,975,064
Translation of foreign currency denominated amounts		2,843			1,526			463			—
Net Realized and Unrealized Gain		1,347,997			1,879,743			430,754			1,092,441
Net Increase in Net Assets Resulting from Operations	$	1,602,821		$	1,986,938		$	503,629		$	1,347,564
* Net of foreign withholding taxes of	$	28,453		$	23,243		$	5,407		$	10

See accompanying Notes to Financial Statements.

55

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS

	Lattice Developed Markets (ex-US) Strategy ETF						Lattice Emerging Markets Strategy ETF
	Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)			Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)
	(Unaudited)						(Unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	254,824		$	586,809		$	107,195		$	411,412
Net realized loss		(636,922	)		(1,375,948	)		(2,317,285	)		(1,175,259	)
Net change in unrealized appreciation (depreciation)		1,984,919			(1,366,997	)		4,197,028			(4,083,436	)
Net increase (decrease) in net assets resulting from operations		1,602,821			(2,156,136	)		1,986,938			(4,847,283	)
Distributions:
From net investment income		(313,366	)		(391,063	)		(218,415	)		(210,359	)
Total Distributions		(313,366	)		(391,063	)		(218,415	)		(210,359	)
Fund Share Transactions:
Proceeds from shares sold		—			30,053,388	(b)		8,087,128			24,742,538
Cost of shares redeemed		(2,310,851	)(d)		(100,000	)(c)		(8,427,369	)(d)		(100	)(c)
Net increase (decrease) from Fund share transactions		(2,310,851	)		29,953,388			(340,241	)		24,742,438
Total Increase (Decrease) in Net Assets		(1,021,396	)		27,406,189			1,428,282			19,684,796
Net Assets:
Beginning of period		27,406,189			—			19,684,796			—
End of period *	$	26,384,793		$	27,406,189		$	21,113,078		$	19,684,796
* Including undistributed net investment income of:	$	138,240		$	196,782		$	65,334		$	176,554
Shares of Beneficial Interest:
Shares Sold		—			1,204,000	(b)		400,000			1,000,004
Shares Redeemed		(100,000	)(d)		(4,000	)(c)		(400,000	)(d)		(4	)(c)
Net Increase (Decrease) from Shares Issued and Redeemed		(100,000	)		1,200,000			—			1,000,000

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

(b) 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.

(c) Cash redemption relating to initial seed capital.

(d) Paid-in-kind redemption.

See accompanying Notes to Financial Statements.

56

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Lattice Global Small Cap Strategy ETF						Lattice US Equity Strategy ETF
	Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)			Six Months Ended March 31, 2016			Period Ended September 30, 2015 (b)
	(Unaudited)						(Unaudited)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	72,875		$	131,734		$	255,123		$	268,166
Net realized loss		(248,636	)		(358,485	)		(882,623	)		(772,996	)
Net change in unrealized appreciation (depreciation)		679,390			(369,594	)		1,975,064			(1,344,868	)
Net increase (decrease) in net assets resulting from operations		503,629			(596,345	)		1,347,564			(1,849,698	)
Distributions:
From net investment income		(109,278	)		(62,130	)		(253,887	)		(260,026	)
Total Distributions		(109,278	)		(62,130	)		(253,887	)		(260,026	)
Fund Share Transactions:
Proceeds from shares sold		—			7,465,373			12,720,535			27,484,119
Cost of shares redeemed		—			(100	)(c)		(9,449,506	)(d)		(2,474,283	)(c)
Net increase from Fund share transactions		—			7,465,273			3,271,029			25,009,836
Total Increase in Net Assets		394,351			6,806,798			4,364,706			22,900,112
Net Assets:
Beginning of period		6,806,798			—			22,900,112			—
End of period *	$	7,201,149		$	6,806,798		$	27,264,818		$	22,900,112
* Including undistributed net investment income of:	$	30,066		$	66,469		$	9,128		$	7,892
Shares of Beneficial Interest:
Shares Sold		—			300,004			550,000			1,100,004
Shares Redeemed		—			(4	)(c)		(400,000	)(d)		(100,004	)(c)
Net Increase from Shares Issued and Redeemed		—			300,000			150,000			1,000,000

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

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

(c) Cash redemption relating to initial seed capital.

(d) Paid-in-kind redemption.

See accompanying Notes to Financial Statements.

57

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

	Lattice Developed Markets (ex-US) Strategy ETF						Lattice Emerging Markets Strategy ETF
	Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)			Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)
	(Unaudited)						(Unaudited)
Net Asset Value, beginning of period	$	22.84		$	25.00		$	19.68		$	25.00
Income from Investment Operations:
Net investment income (b)		0.21			0.55			0.12			0.44
Net realized and unrealized gain (loss)		1.20			(2.35	)		1.53			(5.55	)
Total from Investment Operations		1.41			(1.80	)		1.65			(5.11	)
Less Distributions:
Net investment income		(0.26	)		(0.36	)		(0.22	)		(0.21	)
Net Asset Value, end of period	$	23.99		$	22.84		$	21.11		$	19.68
Total Return (c)		6.20	%		(7.36	)%		8.42	%		(20.59	)%
Market Price Return		5.68	%		(6.84	)%		8.37	%		(20.59	)%
Ratios/Supplemental Data:
Net Assets, end of period (000’s omitted)	$	26,385		$	27,406		$	21,113		$	19,685
Ratio to average net assets of:
Expenses (d)		0.50	%		0.50	%		0.67	%		0.65	%
Net investment income (d)		1.85	%		3.75	%		1.19	%		3.23	%
Portfolio turnover rate (e)(f)		35.38	%		41.81	%		63.70	%		17.28	%

(a) The Fund commenced operations on February 25, 2015.

(b) Based on average shares outstanding during the period.

(c) 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.

(d) Annualized.

(e) Not annualized.

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

See accompanying Notes to Financial Statements.

58

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

	Lattice Global Small Cap Strategy ETF						Lattice US Equity Strategy ETF
	Six Months Ended March 31, 2016			Period Ended September 30, 2015 (a)			Six Months Ended March 31, 2016			Period Ended September 30, 2015 (b)
	(Unaudited)						(Unaudited)
Net Asset Value, beginning of period	$	22.69		$	25.00		$	22.90		$	25.00
Income from Investment Operations:
Net investment income (c)		0.24			0.44			0.29			0.26
Net realized and unrealized gain (loss)		1.43			(2.54	)		0.79			(2.11	)
Total from Investment Operations		1.67			(2.10	)		1.08			(1.85	)
Less Distributions:
Net investment income		(0.36	)		(0.21	)		(0.27	)		(0.25	)
Net Asset Value, end of period	$	24.00		$	22.69		$	23.71		$	22.90
Total Return (d)		7.44	%		(8.50	)%		4.74	%		(7.46	)%
Market Price Return		6.59	%		(7.89	)%		4.79	%		(7.54	)%
Ratios/Supplemental Data:
Net Assets, end of period (000’s omitted)	$	7,201		$	6,807		$	27,265		$	22,900
Ratio to average net assets of:
Expenses (e)		0.60	%		0.60	%		0.35	%		0.35	%
Net investment income (e)		2.13	%		3.44	%		2.52	%		1.82	%
Portfolio turnover rate (f)(g)		41.97	%		43.87	%		73.72	%		37.92	%

(a) The Fund commenced operations on March 23, 2015.

(b) The Fund commenced operations on February 25, 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.

59

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
March 31, 2016
(Unaudited)

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 offering 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 Shares 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 (“Authorized Participants”) who have entered into agreements with ALPS Distributors, Inc. (“ALPS” or the “Distributor”), the Funds’ Distributor.

All organizational and offering expenses of the Trust will be borne by Lattice 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.

60

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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.

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

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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 of Trustees of the Trust (the “Board” or the “Trust's 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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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 60^th day, based on the value determined on the 61^st 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

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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 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 conflicts, 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.

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Summary of Lattice Developed Markets (ex-US) Strategy ETF investments as of March 31, 2016, 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	$	1,866,052	$	—	$	—	$	1,866,052
Austria		426,954		—		—		426,954
Belgium		499,421		—		—		499,421
Bermuda		42,576		—		—		42,576
Britain		3,130,195		—		—		3,130,195
Canada		2,889,309		—		—		2,889,309
China		55,425		—		—		55,425
Denmark		418,575		—		—		418,575
Finland		93,264		—		—		93,264
France		1,859,194		—		—		1,859,194
Germany		1,358,797		—		—		1,358,797
Hong Kong		1,329,543		—		—		1,329,543
Ireland		460,493		—		—		460,493
Israel		621,084		—		—		621,084
Italy		515,662		—		—		515,662
Japan		5,028,255		—		—		5,028,255
Jersey		11,106		—		—		11,106
Luxembourg		75,617		—		—		75,617
Malta		40,603		—		—		40,603
Netherlands		778,054		—		—		778,054
New Zealand		605,889		—		—		605,889
Norway		213,582		—		—		213,582
Portugal		47,382		—		—		47,382
Singapore		780,012		—		—		780,012
Spain		676,082		—		—		676,082
Sweden		365,390		—		—		365,390
Switzerland		1,926,273		—		—		1,926,273
United States		35,353		—		—		35,353
Limited Partnerships
Israel		106,164		—		—		106,164
Investments of Cash Collateral for Securities Loaned		1,624,719		—		—		1,624,719
TOTAL	$	27,881,025	$	—	$	—	$	27,881,025

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Summary of Lattice Emerging Markets Strategy ETF investments as of March 31, 2016, 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	$	845,542	$	—	$	—	$	845,542
Chile		917,567		—		—		917,567
China		1,723,338		—		—		1,723,338
Colombia		1,016,107		—		—		1,016,107
India		1,216,828		—		—		1,216,828
Indonesia		1,393,605		—		—		1,393,605
Malaysia		1,779,152		—		—		1,779,152
Mexico		1,221,986		—		—		1,221,986
Philippines		1,687,894		—		—		1,687,894
Poland		1,311,621		—		—		1,311,621
Russia		635,628		—		—		635,628
South Africa		1,132,924		—		—		1,132,924
South Korea		1,659,750		—		—		1,659,750
Taiwan		1,784,794		—		—		1,784,794
Thailand		1,670,995		—		—		1,670,995
Turkey		1,052,165		—		—		1,052,165
Rights
Chile		512		—		—		512
Investments of Cash Collateral for Securities Loaned		432,363		—		—		432,363
TOTAL	$	21,482,771	$	—	$	—	$	21,482,771

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Summary of Lattice Global Small Cap Strategy ETF investments as of March 31, 2016, 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	$	186,658	$	—	$	—	$	186,658
Belgium		45,706		—		—		45,706
Bermuda		150,595		—		—		150,595
Brazil		98,990		—		—		98,990
Britain		311,065		—		—		311,065
Canada		346,490		—		—		346,490
China		553,242		—		—		553,242
Denmark		7,326		—		—		7,326
Faroe Islands		22,242		—		—		22,242
France		66,258		—		—		66,258
Germany		39,010		—		—		39,010
Hong Kong		169,179		—		—		169,179
Ireland		4,449		—		—		4,449
Israel		69,927		—		—		69,927
Italy		73,435		—		—		73,435
Japan		998,841		—		—		998,841
Luxembourg		5,651		—		—		5,651
Netherlands		39,920		—		—		39,920
New Zealand		36,503		—		—		36,503
Norway		38,630		—		—		38,630
Portugal		2,177		—		—		2,177
Puerto Rico		31,920		—		—		31,920
Singapore		73,296		—		—		73,296
South Africa		109,849		—		—		109,849
South Korea		521,498		—		—		521,498
Spain		34,825		—		—		34,825
Sweden		81,952		—		—		81,952
Switzerland		91,839		—		—		91,839
Taiwan		304,049		—		—		304,049
United States		2,650,697		—		—		2,650,697
Investments of Cash Collateral for Securities Loaned		857,022		—		—		857,022
TOTAL	$	8,023,241	$	—	$	—	$	8,023,241

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(Unaudited)

Summary of Lattice US Equity Strategy ETF investments as of March 31, 2016, based on their valuation inputs, is as follows (See Security Investment Note):

	Investments in Securities (Market Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	3,215,902	$	—	$	—	$	3,215,902
Consumer Staples		2,262,205		—		—		2,262,205
Energy		2,256,837		—		—		2,256,837
Financials		4,937,855		—		—		4,937,855
Health Care		4,362,706		—		—		4,362,706
Industrials		3,050,377		—		—		3,050,377
Information Technology		4,534,007		—		—		4,534,007
Materials		1,390,826		—		—		1,390,826
Telecommunication Services		442,868		—		—		442,868
Utilities		776,187		—		—		776,187
Investments of Cash Collateral for Securities Loaned		468,780		—		—		468,780
TOTAL	$	27,698,550	$	—	$	—	$	27,698,550

4. Investment Advisory Fee, Service and Distribution Fees

The Adviser 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;

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(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.

Mellon Capital 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 March 31, 2016, the Funds did not pay any Rule 12b-1 fees.

5. Share Transactions

Each Fund will issue and redeem Shares at 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.

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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.

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 who administer the lending

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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.

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	$	2,425,390	$	1,624,719	$	927,844
Lattice Emerging Markets Strategy ETF		716,965		432,363		322,580
Lattice Global Small Cap Strategy ETF		924,741		857,022		108,701
Lattice US Equity Strategy ETF		660,144		468,780		206,511

(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

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(Unaudited)

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 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.

72

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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 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.

73

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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 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.

74

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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 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.

75

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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.

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.

76

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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.

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 March 31, 2016, the Trust had purchases and sales of investment securities as follows:

	Purchases		Sales
Lattice Developed Markets (ex-US) Strategy ETF	$	9,765,377	$	12,069,732
Lattice Emerging Markets Strategy ETF		11,798,877		12,181,664
Lattice Global Small Cap Strategy ETF		2,920,960		2,883,000
Lattice US Equity Strategy ETF		19,059,074		15,716,482

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.

77

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
March 31, 2016
(Unaudited)

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 cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:

	Gross Unrealized					Net Unrealized (Appreciation)
Fund	Appreciation		(Depreciation)
Lattice Developed Markets (ex-US) Strategy ETF	$	1,689,071	$	(1,073,157	)	$	615,914
Lattice Emerging Markets Strategy ETF		1,162,178		(1,049,776	)		112,402
Lattice Global Small Cap Strategy ETF		615,005		(305,654	)		309,351
Lattice US Equity Strategy ETF		1,166,041		(535,845	)		630,196

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.

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 this financial statement.

78

LATTICE STRATEGIES TRUST
March 31, 2016
(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.

79

 

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, 27th Floor
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
Kaye Scholer LLP
250 West 55th Street
New York, NY 10019

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.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Disclosure of Audit Committees for Listed Companies.

Not applicable for semi-annual reports.

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 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) Not applicable.

(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: June 2, 2016

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: June 2, 2016

By: Albert Lee                        

Albert Lee

Treasurer and Principal Financial Officer

Date: June 2, 2016