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, 27th 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: September 30, 2016
Item 1. Reports to Shareholders.
Lattice Strategies Trust
Hartford Multifactor Developed Markets (ex-US) ETF (RODM)
Formerly Lattice Developed Markets (ex-US) Strategy ETF
Hartford Multifactor Emerging Markets ETF (ROAM)
Formerly Lattice Emerging Markets Strategy ETF
Hartford Multifactor Global Small Cap ETF (ROGS)
Formerly Lattice Global Small Cap Strategy ETF
Hartford Multifactor US Equity ETF (ROUS)
Formerly Lattice US Equity Strategy ETF
Annual Report
September 30, 2016
Table of Contents
Shareholder Letter
We are pleased to provide you with the latest Annual Report, which contains information relevant to your investment in Hartford Multifactor exchange-traded funds (ETFs)(1). The Report covers the period from October 1, 2015 through September 30, 2016.
These last 12 months were productive for many equity investors, as most major indexes delivered positive returns during the period. Those returns, however, did not come easily. Investors grappled with an array of concerns, including a contentious US election, a vote in favor of Brexit (the UK’s decision to leave the European Union), and constant attention on the Fed’s next move, among many other issues.
US equities delivered a 9.46% return (as measured by the Hartford Multifactor US Equity Index), emerging markets returned 13.19% (as measured by the Hartford Multifactor Emerging Markets Index), developed market equities (ex-US) delivered a 11.07% return (as measured by the Hartford Multifactor Developed Markets (ex-US) Index) and global small caps, which includes smaller companies from the US, developed, and emerging markets, returned 16.00% (as measured by Hartford Multifactor Global Small Cap Index) during the twelve-month period ending September 30, 2016.
Hartford Multifactor ETFs performed as designed by demonstrating low tracking error versus the indexes to which they are managed and delivering the expected exposures to the risks and opportunities sought by the underlying investment strategies. Additionally, each ETF delivered tax-efficient exposure to these strategies by avoiding long- and short-term capital gains during the full-year period.
In August, Hartford Funds completed the merger of Lattice Strategies, the adviser to the ETFs. The merger brings many potential benefits to shareholders, and we are excited to be part of a strong organization with a trusted brand and long track record of serving investors. In October, we re-named each ETF to reflect this proud relationship.
As we enter 2017, we encourage you to meet with your advisor who can help guide you through shifting markets with confidence. As we have continually witnessed, markets are unpredictable and it’s important to proactively build a portfolio that takes into account your unique investment goals and risk tolerances. Your financial advisor can find you a fit within our family of ETFs and mutual funds as you work toward your goals.
Thank you for investing with Hartford Funds.
Sincerely,
Darek Wojnar
President, Lattice Strategies Trust
(1) | Please note that Hartford Multifactor ETFs and the Indexes to which they are managed were re-named on October 24, 2016 while this report was being compiled and produced. Though the Report covers the fiscal one-year period through September 30, 2016, new fund and index names are reflected in the performance summaries of each fund and its respective index. |
1
Hartford Multifactor Developed Markets (ex-US) ETF (RODM) (Unaudited)
(formerly known as Lattice Developed Markets (ex-US) Strategy ETF)
Hartford Multifactor Developed Markets (ex-US) ETF (the “Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (LRODMX) (the “Index”), (formerly known as Lattice Risk-Optimized Developed Markets (ex-US) Strategy 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) 10.62% at net asset value (“NAV”) for the year ending September 30, 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
![]() | ![]() | ![]() | ||||||
Reporting Period Return | 1 Year | Inception * | ||||||
Hartford Multifactor Developed Markets (ex-US) ETF (NAV Return) | 10.62 | % | 1.54 | % | ||||
Hartford Multifactor Developed Markets (ex-US) ETF (Market Price Return) | 10.61 | % | 1.90 | % | ||||
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | 11.07 | % | 1.81 | % |
* | Inception: February 25, 2015 |
Growth of $10,000 Investment Since Inception
![]() | ![]() | |||
Top 10 Countries (as of Sep 30, 2016) (1)(2) | ||||
Country | % | |||
Japan | 19.76 | |||
Canada | 12.06 | |||
United Kingdom | 11.57 | |||
Australia | 7.77 | |||
France | 7.45 | |||
Switzerland | 6.90 | |||
Germany | 5.82 | |||
Hong Kong | 5.34 | |||
Singapore | 3.11 | |||
Israel | 2.67 | |||
Total | 82.45 | % |
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Sectors (as of Sep 30, 2016) (1) | ||||
Sector | % | |||
Financials | 21.94 | |||
Health Care | 13.41 | |||
Industrials | 12.78 | |||
Consumer Staples | 9.89 | |||
Consumer Discretionary | 9.36 | |||
Telecommunication Services | 6.49 | |||
Real Estate | 5.94 | |||
Utilities | 5.84 | |||
Information Technology | 5.46 | |||
Materials | 5.45 | |||
Energy | 3.44 | |||
Total | 100.00 | % |
![]() | ![]() | |||
Top 10 Holdings (as of Sep 30, 2016) (1) | ||||
Company | % | |||
Link REIT | 0.80 | |||
Celesio AG | 0.76 | |||
Bank of Montreal | 0.74 | |||
Champion REIT | 0.74 | |||
Swiss Life Holding AG | 0.72 | |||
Otsuka Holdings Co. Ltd. | 0.70 | |||
NN Group NV | 0.69 | |||
Indivior PLC | 0.69 | |||
Roche Holding AG | 0.68 | |||
Hannover Rueck SE | 0.66 | |||
Total | 7.18 | % |
(1) | Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change. |
(2) | Country breakdown is based on Bloomberg “Country of Domicile” data field and 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.
2
Hartford Multifactor Emerging Markets ETF (ROAM) (Unaudited)
(formerly known as Lattice Emerging Markets Strategy ETF)
Hartford Multifactor Emerging Markets ETF (the “Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Emerging Markets Index (LROAMX) (the “Index”), (formerly known as Lattice Risk-Optimized Advancing Markets Strategy 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) 12.20% at net asset value (“NAV”) for the year ending September 30, 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
![]() | ![]() | ![]() | ||||||
Reporting Period Return | 1 Year | Inception * | ||||||
Hartford Multifactor Emerging Markets ETF (NAV Return) | 12.20 | % | -6.95 | % | ||||
Hartford Multifactor Emerging Markets ETF (Market Price Return) | 14.08 | % | -6.00 | % | ||||
Hartford Risk-Optimized Multifactor Emerging Markets Index | 13.19 | % | -6.19 | % |
* | Inception: February 25, 2015 |
Growth of $10,000 Investment Since Inception
![]() | ![]() | |||
Top 10 Countries (as of Sep 30, 2016) (1)(2) | ||||
Country | % | |||
Taiwan | 9.52 | |||
Thailand | 8.95 | |||
China | 8.35 | |||
South Korea | 8.10 | |||
Philippines | 7.80 | |||
Malaysia | 7.52 | |||
Indonesia | 7.36 | |||
South Africa | 6.23 | |||
India | 5.28 | |||
Mexico | 5.23 | |||
Total | 74.34 | % |
![]() | ![]() | |||
Sectors (as of Sep 30, 2016) (1) | ||||
Sector | % | |||
Financials | 33.36 | |||
Consumer Staples | 11.95 | |||
Information Technology | 9.91 | |||
Energy | 9.20 | |||
Consumer Discretionary | 7.15 | |||
Industrials | 6.94 | |||
Telecommunication Services | 6.83 | |||
Materials | 5.96 | |||
Utilities | 4.77 | |||
Real Estate | 2.68 | |||
Health Care | 1.25 | |||
Total | 100.00 | % |
![]() | ![]() | |||
Top 10 Holdings (as of Sep 30, 2016) (1) | ||||
Company | % | |||
Bidvest Group Ltd. (The) | 1.04 | |||
Samsung Electronics Co. Ltd. | 1.00 | |||
Telekomunikasi Indonesia Persero Tbk PT | 1.00 | |||
Coca-Cola Femsa SAB de CV | 0.95 | |||
Tata Motors Ltd. | 0.94 | |||
Bank of the Philippine Islands | 0.92 | |||
Wal-Mart de Mexico SAB de CV | 0.79 | |||
Banco Davivienda SA | 0.77 | |||
Malayan Banking Bhd | 0.77 | |||
China Petroleum & Chemical Corp. | 0.74 | |||
Total | 8.92 | % |
(1) | Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change. |
(2) | Country breakdown is based on Bloomberg “Country of Domicile” data field and 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.
3
Hartford Multifactor Global Small Cap ETF (ROGS) (Unaudited)
(formerly known as Lattice Global Small Cap Strategy ETF)
Hartford Multifactor Global Small Cap ETF (“the Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Global Small Cap Index (LROGSX) (the “Index”), (formerly known as Lattice Risk-Optimized Global Small Cap Strategy 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) 15.05% at net asset value (“NAV”) for the year ending September 30, 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
![]() | ![]() | ![]() | ||||||
Reporting Period Return | 1 Year | Inception * | ||||||
Hartford Multifactor Global Small Cap ETF (NAV Return) | 15.05 | % | 3.43 | % | ||||
Hartford Multifactor Global Small Cap ETF (Market Price Return) | 14.92 | % | 3.79 | % | ||||
Hartford Risk-Optimized Multifactor Global Small Cap Index | 16.00 | % | 4.12 | % |
* | Inception: March 23, 2015 |
Growth of $10,000 Investment Since Inception
![]() | ![]() | |||
Top 10 Countries (as of Sep 30, 2016) (1)(2) | ||||
Country | % | |||
United States | 43.22 | |||
Japan | 12.89 | |||
China | 7.96 | |||
South Korea | 6.22 | |||
Canada | 5.47 | |||
Australia | 4.45 | |||
Taiwan | 4.06 | |||
United Kingdom | 4.01 | |||
Brazil | 2.26 | |||
South Africa | 1.54 | |||
Total | 92.08 | % |
![]() | ![]() | |||
Sectors (as of Sep 30, 2016) (1) | ||||
Sector | % | |||
Consumer Discretionary | 16.32 | |||
Industrials | 15.62 | |||
Information Technology | 15.46 | |||
Financials | 12.83 | |||
Health Care | 12.35 | |||
Real Estate | 7.27 | |||
Materials | 7.09 | |||
Consumer Staples | 5.98 | |||
Energy | 4.15 | |||
Telecommunication Services | 2.15 | |||
Utilities | 0.78 | |||
Total | 100.00 | % |
![]() | ![]() | |||
Top 10 Holdings (as of Sep 30, 2016) (1) | ||||
Company | % | |||
American National Insurance Co. | 0.62 | |||
Parkland Fuel Corp. | 0.59 | |||
Hyundai Marine & Fire Insurance Co. Ltd. | 0.59 | |||
Micro-Star International Co. Ltd. | 0.59 | |||
St Barbara Ltd. | 0.56 | |||
Fabrinet | 0.56 | |||
Argan, Inc. | 0.56 | |||
CSR Ltd. | 0.56 | |||
H&E Equipment Services, Inc. | 0.55 | |||
GS Home Shopping, Inc. | 0.55 | |||
Total | 5.73 | % |
(1) | Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change. |
(2) | Country breakdown is based on Bloomberg “Country of Domicile” data field and 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) 0.60%. 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.
4
Hartford Multifactor US Equity ETF (ROUS) (Unaudited)
(formerly known as Lattice US Equity Strategy ETF)
Hartford Multifactor US Equity ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance Hartford Risk-Optimized Multifactor US Equity Index (LROUSX) (the “Index”), (formerly known as Lattice Risk-Optimized US Equity Strategy 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) 9.01% at net asset value (“NAV”) for the year ending September 30, 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
![]() | ![]() | ![]() | ||||||
Reporting Period Return | 1 Year | Inception * | ||||||
Hartford Multifactor US Equity ETF (NAV Return) | 9.01 | % | 0.55 | % | ||||
Hartford Multifactor US Equity ETF (Market Price Return) | 9.15 | % | 0.58 | % | ||||
Hartford Risk-Optimized Multifactor US Equity Index | 9.46 | % | 0.72 | % |
* | Inception: February 25, 2015 |
Growth of $10,000 Investment Since Inception
![]() | ![]() | |||
Sectors (as of Sep 30, 2016) (1) | ||||
Sector | % | |||
Information Technology | 18.86 | |||
Health Care | 16.99 | |||
Financials | 14.39 | |||
Consumer Discretionary | 11.09 | |||
Industrials | 9.92 | |||
Energy | 8.71 | |||
Consumer Staples | 7.61 | |||
Materials | 5.15 | |||
Utilities | 2.67 | |||
Telecommunication Services | 2.37 | |||
Real Estate | 2.24 | |||
Total | 100.00 | % |
![]() | ![]() | |||
Top 10 Holdings (as of Sep 30, 2016) (1) | ||||
Company | % | |||
HP, Inc. | 1.26 | |||
Inter Corp. | 1.12 | |||
Valero Energy Corp. | 1.10 | |||
Herbalife Ltd. | 1.01 | |||
Phillips 66 | 1.01 | |||
JPMorgan Chase & Co. | 1.00 | |||
Hewlett Packard Enterprise Co. | 0.95 | |||
LyondellBasell Industries NV | 0.92 | |||
MetLife, Inc. | 0.91 | |||
Marathon Petroleum Corp. | 0.90 | |||
Total | 10.18 | % |
(1) | 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.
5
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2016 through September 30, 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.
6
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 | $ | 1,041.60 | 0.50 | % | $ | 2.55 | ||||||||
Hypothetical 5% Annual Return | $ | 1,000 | $ | 1,022.50 | 0.50 | % | $ | 2.52 | ||||||||
Lattice Emerging Markets Strategy ETF* | ||||||||||||||||
Actual Fund Return | $ | 1,000 | $ | 1,034.90 | 0.65 | % | $ | 3.30 | ||||||||
Hypothetical 5% Annual Return | $ | 1,000 | $ | 1,021.84 | 0.65 | % | $ | 3.28 | ||||||||
Lattice Global Small Cap Strategy ETF* | ||||||||||||||||
Actual Fund Return | $ | 1,000 | $ | 1,070.90 | 0.60 | % | $ | 3.10 | ||||||||
Hypothetical 5% Annual Return | $ | 1,000 | $ | 1,022.01 | 0.60 | % | $ | 3.03 | ||||||||
Lattice US Equity Strategy ETF* | ||||||||||||||||
Actual Fund Return | $ | 1,000 | $ | 1,040.80 | 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). |
7
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
COMMON STOCKS — (99.1%) | |||||||||
Australia — (7.7%) | |||||||||
Adelaide Brighton Ltd. (a) | 16,750 | $ | 71,011 | ||||||
AGL Energy Ltd. | 5,532 | 80,646 | |||||||
Amcor Ltd. | 14,541 | 168,582 | |||||||
Ansell Ltd. | 7,441 | 130,853 | |||||||
AusNet Services (a) | 7,789 | 9,775 | |||||||
Australia & New Zealand Banking Group Ltd. | 3,247 | 68,654 | |||||||
BlueScope Steel Ltd. | 6,547 | 38,828 | |||||||
Brambles Ltd. | 7,642 | 70,060 | |||||||
Caltex Australia Ltd. | 5,459 | 143,079 | |||||||
CIMIC Group Ltd. | 8,224 | 180,873 | |||||||
Coca-Cola Amatil Ltd. (a) | 8,132 | 63,786 | |||||||
Cochlear Ltd. | 890 | 96,024 | |||||||
Commonwealth Bank of Australia (a) | 302 | 16,732 | |||||||
CSL Ltd. | 1,671 | 136,825 | |||||||
Dexus Property Group | 9,390 | 65,749 | |||||||
Flight Centre Travel Group Ltd. (a) | 1,232 | 34,299 | |||||||
GPT Group (The) | 22,069 | 85,455 | |||||||
Insurance Australia Group Ltd. (a) | 9,506 | 39,791 | |||||||
Macquarie Group Ltd. | 797 | 49,976 | |||||||
Mirvac Group | 25,985 | 44,542 | |||||||
Newcrest Mining Ltd. | 1,762 | 29,920 | |||||||
Orora Ltd. | 13,032 | 31,414 | |||||||
Qantas Airways Ltd. (b) | 25,783 | 61,559 | |||||||
QBE Insurance Group Ltd. | 12,026 | 85,495 | |||||||
Rio Tinto Ltd. (a) | 1,070 | 42,259 | |||||||
Scentre Group | 18,770 | 67,510 | |||||||
Sonic Healthcare Ltd. | 6,193 | 104,310 | |||||||
Stockland | 20,278 | 73,865 | |||||||
Suncorp Group Ltd. | 3,226 | 29,896 | |||||||
Tabcorp Holdings Ltd. | 31,888 | 121,523 | |||||||
Telstra Corp. Ltd. | 36,716 | 145,542 | |||||||
Vicinity Centres | 17,407 | 42,227 | |||||||
Wesfarmers Ltd. | 4,968 | 167,658 | |||||||
Westfield Corp. | 6,333 | 47,155 | |||||||
Woolworths Ltd. | 974 | 17,344 | |||||||
2,663,217 | |||||||||
Austria — (1.1%) | |||||||||
BUWOG AG (b) | 4,886 | 132,276 | |||||||
Lenzing AG | 270 | 31,556 | |||||||
Oesterreichische Post AG (b) | 460 | 16,294 | |||||||
Telekom Austria AG (b) | 3,541 | 19,996 | |||||||
UNIQA Insurance Group AG | 24,805 | 161,262 | |||||||
361,384 |
See accompanying Notes to Financial Statements.
8
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Belgium — (1.6%) | |||||||||
Ackermans & van Haaren NV (a) | 192 | $ | 25,450 | ||||||
Ageas | 3,288 | 119,960 | |||||||
bpost SA | 2,517 | 68,127 | |||||||
Cie d’Entreprises CFE (a) | 367 | 40,357 | |||||||
Colruyt SA | 711 | 39,440 | |||||||
Elia System Operator SA (a) | 939 | 48,003 | |||||||
Groupe Bruxelles Lambert SA | 864 | 76,628 | |||||||
Proximus SADP | 3,791 | 113,261 | |||||||
Sofina SA | 233 | 33,294 | |||||||
564,520 | |||||||||
Canada — (12.0%) | |||||||||
Agnico Eagle Mines Ltd. | 644 | 34,766 | |||||||
Agrium, Inc. (a) | 1,614 | 145,957 | |||||||
Alimentation Couche-Tard, Inc. (a) | 2,292 | 110,881 | |||||||
Bank of Montreal | 3,902 | 255,244 | |||||||
Bank of Nova Scotia (The) | 2,724 | 144,092 | |||||||
BCE, Inc. | 3,141 | 144,807 | |||||||
Canadian Apartment Properties REIT | 2,305 | 53,703 | |||||||
Canadian Imperial Bank of Commerce (a) | 1,894 | 146,606 | |||||||
Canadian Tire Corp. Ltd. | 504 | 50,383 | |||||||
CCL Industries, Inc. | 595 | 114,364 | |||||||
CGI Group, Inc. (b) | 3,527 | 167,702 | |||||||
Cominar Real Estate Investment Trust | 4,298 | 49,905 | |||||||
Dollarama, Inc. (a) | 401 | 31,253 | |||||||
Emera, Inc. | 547 | 19,691 | |||||||
Enbridge, Inc. (a) | 528 | 23,165 | |||||||
Fairfax Financial Holdings Ltd. | 287 | 167,870 | |||||||
First Capital Realty, Inc. | 218 | 3,646 | |||||||
Genworth MI Canada, Inc. (a) | 3,255 | 83,613 | |||||||
George Weston Ltd. | 1,317 | 109,669 | |||||||
Great-West Lifeco, Inc. (a) | 5,433 | 133,484 | |||||||
Hydro One Ltd. (c) | 9,117 | 179,669 | |||||||
Imperial Oil Ltd. | 1,655 | 51,681 | |||||||
Industrial Alliance Insurance & Financial Services, Inc. | 2,947 | 105,906 | |||||||
Intact Financial Corp. | 651 | 46,978 | |||||||
Loblaw Cos. Ltd. (a) | 1,579 | 81,098 | |||||||
Magna International, Inc. | 2,487 | 106,576 | |||||||
Manulife Financial Corp. (a) | 10,715 | 150,911 | |||||||
Metro, Inc. | 843 | 27,626 | |||||||
National Bank of Canada (a) | 1,281 | 45,343 | |||||||
Open Text Corp. (a) | 397 | 25,670 | |||||||
Pembina Pipeline Corp. | 896 | 27,257 | |||||||
Peyto Exploration & Development Corp. (a) | 1,025 | 28,716 |
See accompanying Notes to Financial Statements.
9
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Canada (continued) | |||||||||
Potash Corp. of Saskatchewan, Inc. (a) | 3,040 | $ | 49,385 | ||||||
Power Corp. of Canada | 6,184 | 130,762 | |||||||
Power Financial Corp. (a) | 4,788 | 110,751 | |||||||
Ritchie Bros Auctioneers, Inc. | 129 | 4,512 | |||||||
Rogers Communications, Inc. | 2,871 | 121,590 | |||||||
Royal Bank of Canada | 3,089 | 190,993 | |||||||
Shaw Communications, Inc. (a) | 1,756 | 35,875 | |||||||
Smart Real Estate Investment Trust | 2,076 | 55,839 | |||||||
SNC-Lavalin Group, Inc. | 1,340 | 52,540 | |||||||
Sun Life Financial, Inc. | 5,539 | 179,920 | |||||||
Suncor Energy, Inc. | 1,902 | 52,707 | |||||||
TELUS Corp. | 2,914 | 95,984 | |||||||
Thomson Reuters Corp. | 671 | 27,698 | |||||||
Toronto-Dominion Bank (The) | 2,051 | 90,888 | |||||||
TransCanada Corp. (a) | 1,447 | 68,604 | |||||||
4,136,280 | |||||||||
Denmark — (1.3%) | |||||||||
AP Moeller – Maersk A/S | 11 | 16,137 | |||||||
Coloplast A/S | 703 | 54,534 | |||||||
ISS A/S | 3,115 | 129,330 | |||||||
Novo Nordisk A/S | 2,308 | 95,929 | |||||||
Pandora A/S | 126 | 15,232 | |||||||
Rockwool International A/S | 170 | 30,583 | |||||||
Topdanmark A/S (b) | 310 | 8,679 | |||||||
William Demant Holding A/S (a)(b) | 4,120 | 84,129 | |||||||
434,553 | |||||||||
Finland — (0.4%) | |||||||||
Elisa Oyj | 609 | 22,469 | |||||||
Neste Oyj | 1,974 | 84,165 | |||||||
Orion Oyj | 1,161 | 45,783 | |||||||
152,417 | |||||||||
France — (7.4%) | |||||||||
Aeroports de Paris | 70 | 6,945 | |||||||
Air Liquide SA | 33 | 3,540 | |||||||
Airbus Group SE | 934 | 56,512 | |||||||
Amundi SA (c) | 1,596 | 83,402 | |||||||
Aroundtown Property Holdings PLC (b) | 19,483 | 98,965 | |||||||
Atos SE | 419 | 45,166 | |||||||
AXA SA | 4,229 | 90,013 | |||||||
BioMerieux | 708 | 105,583 | |||||||
Bouygues SA | 4,271 | 141,569 | |||||||
Capgemini SA | 431 | 42,226 |
See accompanying Notes to Financial Statements.
10
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
France (continued) | |||||||||
Christian Dior SE | 487 | $ | 87,320 | ||||||
Cie Generale des Etablissements Michelin | 1,538 | 170,179 | |||||||
CNP Assurances | 13,011 | 218,669 | |||||||
Dassault Systemes | 337 | 29,249 | |||||||
Electricite de France SA (a) | 6,618 | 80,546 | |||||||
Elior Participations SCA (c) | 1,999 | 45,783 | |||||||
Essilor International SA | 187 | 24,125 | |||||||
Euler Hermes Group | 888 | 75,524 | |||||||
Gecina SA | 100 | 15,750 | |||||||
Hermes International | 85 | 34,603 | |||||||
Ipsen SA | 1,296 | 91,013 | |||||||
Orange SA | 2,793 | 43,723 | |||||||
Rubis SCA | 1,223 | 112,152 | |||||||
SCOR SE | 5,501 | 171,057 | |||||||
Societe BIC SA | 361 | 53,409 | |||||||
Sodexo SA | 661 | 78,740 | |||||||
Suez | 4,133 | 68,253 | |||||||
Thales SA | 1,519 | 139,961 | |||||||
TOTAL SA (a) | 1,868 | 88,526 | |||||||
Veolia Environnement SA | 2,639 | 60,797 | |||||||
Worldline SA (b)(c) | 6,319 | 191,344 | |||||||
2,554,644 | |||||||||
Germany — (5.8%) | |||||||||
adidas AG | 45 | 7,813 | |||||||
Allianz SE | 1,045 | 155,134 | |||||||
BASF SE | 610 | 52,175 | |||||||
Carl Zeiss Meditec AG | 1,065 | 40,729 | |||||||
Celesio AG | 8,969 | 259,997 | |||||||
Covestro AG (c) | 2,179 | 128,878 | |||||||
Deutsche Lufthansa AG (a) | 3,206 | 35,687 | |||||||
Deutsche Post AG | 591 | 18,477 | |||||||
Deutsche Telekom AG | 2,418 | 40,543 | |||||||
Deutsche Wohnen AG | 932 | 33,888 | |||||||
Evonik Industries AG | 2,774 | 93,819 | |||||||
Fielmann AG | 95 | 7,746 | |||||||
Fresenius Medical Care AG & Co. KGaA | 689 | 60,209 | |||||||
Fresenius SE & Co. KGaA | 1,147 | 91,532 | |||||||
Grand City Properties SA | 4,021 | 78,627 | |||||||
Hannover Rueck SE | 2,107 | 225,750 | |||||||
Hella KGaA Hueck & Co. | 1,260 | 49,928 | |||||||
HOCHTIEF AG | 104 | 14,674 | |||||||
K+S AG (a) | 1,298 | 24,630 |
See accompanying Notes to Financial Statements.
11
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Germany (continued) | |||||||||
Krones AG (a) | 295 | $ | 28,710 | ||||||
Linde AG | 96 | 16,323 | |||||||
MAN SE | 139 | 14,659 | |||||||
Merck KGaA | 1,240 | 133,652 | |||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 1,113 | 207,631 | |||||||
OSRAM Licht AG | 639 | 37,528 | |||||||
Suedzucker AG | 373 | 10,368 | |||||||
Talanx AG (b) | 4,117 | 125,591 | |||||||
1,994,698 | |||||||||
Hong Kong — (5.3%) | |||||||||
Champion REIT | 419,944 | 254,480 | |||||||
China Huarong Asset Management Co. Ltd. (b)(c) | 262,630 | 103,617 | |||||||
CLP Holdings Ltd. | 4,328 | 44,726 | |||||||
Dairy Farm International Holdings Ltd. (a) | 25,764 | 182,924 | |||||||
Dali Foods Group Co. Ltd. (c) | 175,728 | 92,668 | |||||||
Hang Seng Bank Ltd. | 2,236 | 39,929 | |||||||
HK Electric Investments & HK Electric Investments Ltd. (c) | 162,743 | 159,471 | |||||||
HKT Trust & HKT Ltd. | 109,423 | 154,062 | |||||||
Hongkong Land Holdings Ltd. | 3,122 | 22,166 | |||||||
Jardine Matheson Holdings Ltd. | 926 | 56,125 | |||||||
Jardine Strategic Holdings Ltd. | 1,192 | 38,978 | |||||||
Link REIT | 37,218 | 273,522 | |||||||
New World Development Co. Ltd. | 33,040 | 42,940 | |||||||
PCCW Ltd. | 67,163 | 41,220 | |||||||
SmarTone Telecommunications Holdings Ltd. | 30,422 | 50,285 | |||||||
Swire Pacific Ltd. | 7,888 | 84,973 | |||||||
VTech Holdings Ltd. | 5,483 | 62,529 | |||||||
WH Group Ltd. (c) | 26,000 | 20,918 | |||||||
Wheelock & Co. Ltd. | 9,401 | 55,454 | |||||||
Yue Yuen Industrial Holdings Ltd. | 12,298 | 50,740 | |||||||
1,831,727 | |||||||||
Ireland — (1.0%) | |||||||||
ICON PLC (b) | 2,545 | 196,907 | |||||||
Kerry Group PLC | 867 | 72,257 | |||||||
Ryanair Holdings PLC | 1,142 | 85,684 | |||||||
354,848 | |||||||||
Israel — (2.2%) | |||||||||
Bank Hapoalim BM | 4,596 | 26,042 | |||||||
Bank Leumi Le-Israel BM (b) | 17,131 | 65,061 | |||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 85,882 | 161,803 | |||||||
Check Point Software Technologies Ltd. (b) | 366 | 28,405 | |||||||
Elbit Systems Ltd. | 927 | 88,448 | |||||||
Mizrahi Tefahot Bank Ltd. | 17,125 | 217,480 |
See accompanying Notes to Financial Statements.
12
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Israel (continued) | |||||||||
Taro Pharmaceutical Industries Ltd. (a)(b) | 1,184 | $ | 130,844 | ||||||
Teva Pharmaceutical Industries Ltd. | 927 | 44,446 | |||||||
762,529 | |||||||||
Italy — (2.5%) | |||||||||
Ansaldo STS SpA | 5,390 | 62,996 | |||||||
Assicurazioni Generali SpA | 3,492 | 42,618 | |||||||
Brembo SpA | 242 | 14,441 | |||||||
DiaSorin SpA | 1,000 | 64,281 | |||||||
Enel SpA | 7,659 | 34,153 | |||||||
Eni SpA | 4,652 | 67,022 | |||||||
FinecoBank Banca Fineco SpA | 2,817 | 16,319 | |||||||
Hera SpA | 20,389 | 54,946 | |||||||
Parmalat SpA (a) | 33,760 | 89,461 | |||||||
Poste Italiane SpA (c) | 8,069 | 55,360 | |||||||
Recordati SpA | 5,414 | 174,071 | |||||||
Snam SpA | 13,827 | 76,699 | |||||||
Terna Rete Elettrica Nazionale SpA | 15,941 | 82,192 | |||||||
UnipolSai SpA | 17,066 | 27,771 | |||||||
862,330 | |||||||||
Japan — (19.7%) | |||||||||
Advance Residence Investment Corp. | 3 | 8,488 | |||||||
Aeon Co. Ltd. (a) | 9,612 | 141,335 | |||||||
Aisin Seiki Co. Ltd. (a) | 1,950 | 88,483 | |||||||
Ajinomoto Co., Inc. | 1,653 | 36,605 | |||||||
Alfresa Holdings Corp. (a) | 1,782 | 37,430 | |||||||
ANA Holdings, Inc. | 1,000 | 2,703 | |||||||
Aoyama Trading Co. Ltd. (a) | 830 | 28,523 | |||||||
Aozora Bank Ltd. | 29,887 | 102,412 | |||||||
Asahi Group Holdings Ltd. (a) | 300 | 10,861 | |||||||
Asahi Kasei Corp. (a) | 13,594 | 107,501 | |||||||
Astellas Pharma, Inc. | 5,686 | 88,352 | |||||||
Azbil Corp. (a) | 1,100 | 33,022 | |||||||
Bandai Namco Holdings, Inc. | 2,422 | 73,546 | |||||||
Benesse Holdings, Inc. (a) | 1,081 | 27,477 | |||||||
Bic Camera, Inc. | 3,683 | 30,442 | |||||||
Bridgestone Corp. | 2,512 | 91,932 | |||||||
Brother Industries Ltd. (a) | 2,300 | 39,997 | |||||||
Canon Marketing Japan, Inc. | 6,375 | 117,849 | |||||||
Canon, Inc. | 5,083 | 146,745 | |||||||
Citizen Holdings Co. Ltd. (a) | 6,681 | 34,703 | |||||||
Coca-Cola East Japan Co. Ltd. | 1,300 | 28,050 | |||||||
COMSYS Holdings Corp. | 760 | 13,412 | |||||||
CyberAgent, Inc. (a) | 1,560 | 46,092 |
See accompanying Notes to Financial Statements.
13
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Japan (continued) | |||||||||
Dai-ichi Life Insurance Co. Ltd. (The) | 2,000 | $ | 27,087 | ||||||
Daiichi Sankyo Co. Ltd. (a) | 4,515 | 107,675 | |||||||
Daito Trust Construction Co. Ltd. | 349 | 55,746 | |||||||
Daiwa House Industry Co. Ltd. | 918 | 24,980 | |||||||
Daiwa Securities Group, Inc. (a) | 8,223 | 45,831 | |||||||
Ebara Corp. (a) | 2,819 | 82,762 | |||||||
FamilyMart Co. Ltd. | 900 | 59,902 | |||||||
Fuji Heavy Industries Ltd. | 1,940 | 71,937 | |||||||
FUJIFILM Holdings Corp. (a) | 1,380 | 50,667 | |||||||
Fujitsu Ltd. | 14,694 | 78,356 | |||||||
GungHo Online Entertainment, Inc. (a) | 6,700 | 16,342 | |||||||
Heiwa Corp. | 997 | 22,054 | |||||||
Hikari Tsushin, Inc. | 561 | 51,854 | |||||||
HIS Co. Ltd. (a) | 1,060 | 27,582 | |||||||
Hisamitsu Pharmaceutical Co., Inc. (a) | 397 | 21,288 | |||||||
Hitachi Chemical Co. Ltd. | 369 | 8,403 | |||||||
Hitachi High-Technologies Corp. | 1,807 | 71,645 | |||||||
Hitachi Ltd. (a) | 14,222 | 65,812 | |||||||
Hitachi Transport System Ltd. | 1,234 | 24,481 | |||||||
House Foods Group, Inc. (a) | 2,300 | 52,466 | |||||||
Hoya Corp. (a) | 2,248 | 89,640 | |||||||
Ito En Ltd. (a) | 2,800 | 98,988 | |||||||
ITOCHU Corp. | 3,243 | 40,415 | |||||||
Itochu Techno-Solutions Corp. | 5,326 | 136,115 | |||||||
Japan Airlines Co. Ltd. | 5,463 | 159,631 | |||||||
Japan Tobacco, Inc. | 521 | 21,192 | |||||||
K’s Holdings Corp. | 5,600 | 92,075 | |||||||
Kaken Pharmaceutical Co. Ltd. | 162 | 9,887 | |||||||
Kaneka Corp. | 3,209 | 25,193 | |||||||
Kao Corp. | 496 | 27,875 | |||||||
KDDI Corp. (a) | 3,300 | 101,511 | |||||||
Kirin Holdings Co. Ltd. | 188 | 3,103 | |||||||
Konica Minolta, Inc. (a) | 638 | 5,355 | |||||||
Kuraray Co. Ltd. | 1,518 | 22,351 | |||||||
Kurita Water Industries Ltd. | 210 | 4,956 | |||||||
Lawson, Inc. (a) | 1,048 | 82,482 | |||||||
Lion Corp. | 2,243 | 36,148 | |||||||
Medipal Holdings Corp. | 5,440 | 93,635 | |||||||
MEIJI Holdings Co. Ltd. | 439 | 43,308 | |||||||
Mitsubishi Electric Corp. | 6,076 | 76,951 | |||||||
Mitsubishi Tanabe Pharma Corp. (a) | 6,100 | 129,813 | |||||||
Mitsubishi UFJ Financial Group, Inc. | 6,693 | 33,384 | |||||||
Mixi, Inc. (a) | 1,970 | 70,715 |
See accompanying Notes to Financial Statements.
14
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Japan (continued) | |||||||||
MS&AD Insurance Group Holdings, Inc. | 595 | $ | 16,390 | ||||||
Nichirei Corp. | 602 | 13,448 | |||||||
Nihon Kohden Corp. | 1,189 | 28,649 | |||||||
Nikon Corp. (a) | 2,527 | 37,531 | |||||||
Nippo Corp. (a) | 3,784 | 71,484 | |||||||
Nippon Telegraph & Telephone Corp. | 3,178 | 144,801 | |||||||
Nipro Corp. | 6,500 | 82,096 | |||||||
Nissan Motor Co. Ltd. (a) | 2,870 | 27,851 | |||||||
NTT DOCOMO, Inc. (a) | 5,574 | 141,022 | |||||||
Osaka Gas Co. Ltd. (a) | 16,918 | 70,519 | |||||||
Otsuka Corp. | 1,078 | 50,831 | |||||||
Otsuka Holdings Co. Ltd. | 5,320 | 241,085 | |||||||
Panasonic Corp. (a) | 9,489 | 93,892 | |||||||
Park24 Co. Ltd. (a) | 1,732 | 56,100 | |||||||
Recruit Holdings Co. Ltd. | 5,518 | 223,957 | |||||||
Ricoh Co. Ltd. (a) | 6,843 | 61,493 | |||||||
Rohto Pharmaceutical Co. Ltd. (a) | 2,728 | 46,740 | |||||||
Sankyo Co. Ltd. (a) | 1,552 | 52,722 | |||||||
Santen Pharmaceutical Co. Ltd. | 501 | 7,337 | |||||||
Sawai Pharmaceutical Co. Ltd. (a) | 455 | 32,261 | |||||||
Seiko Epson Corp. | 4,133 | 78,852 | |||||||
Sekisui Chemical Co. Ltd. | 2,586 | 36,901 | |||||||
Sekisui House Ltd. (a) | 2,646 | 44,708 | |||||||
Seven & i Holdings Co. Ltd. | 900 | 42,278 | |||||||
Shimamura Co. Ltd. | 1,353 | 163,806 | |||||||
Skylark Co. Ltd. | 3,148 | 42,278 | |||||||
Square Enix Holdings Co. Ltd. | 800 | 27,413 | |||||||
Sugi Holdings Co. Ltd. | 1,148 | 62,125 | |||||||
Sumitomo Dainippon Pharma Co. Ltd. (a) | 534 | 10,267 | |||||||
Sumitomo Forestry Co. Ltd. (a) | 2,829 | 37,575 | |||||||
Sumitomo Rubber Industries Ltd. | 1,421 | 21,301 | |||||||
Sundrug Co. Ltd. | 313 | 26,118 | |||||||
Suntory Beverage & Food Ltd. (a) | 1,757 | 75,475 | |||||||
Suzuken Co. Ltd. | 1,424 | 46,686 | |||||||
Terumo Corp. (a) | 200 | 7,633 | |||||||
Toho Gas Co. Ltd. (a) | 13,558 | 126,255 | |||||||
Tokyo Electron Ltd. (a) | 900 | 78,895 | |||||||
Tokyo Gas Co. Ltd. | 15,188 | 67,132 | |||||||
Toyo Suisan Kaisha Ltd. | 291 | 12,270 | |||||||
Tsumura & Co. (a) | 6,060 | 171,450 | |||||||
Tsuruha Holdings, Inc. | 363 | 41,725 | |||||||
TV Asahi Holdings Corp. | 1,097 | 20,063 | |||||||
Ube Industries Ltd. | 44,848 | 85,033 |
See accompanying Notes to Financial Statements.
15
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Japan (continued) | |||||||||
West Japan Railway Co. | 933 | $ | 57,474 | ||||||
Yamada Denki Co. Ltd. (a) | 5,157 | 25,463 | |||||||
Yamazaki Baking Co. Ltd. | 5,557 | 135,818 | |||||||
Zensho Holdings Co. Ltd. (a) | 1,300 | 23,159 | |||||||
6,775,915 | |||||||||
Netherlands — (2.6%) | |||||||||
Aegon NV | 5,863 | 22,475 | |||||||
Akzo Nobel NV | 736 | 49,867 | |||||||
GrandVision NV (c) | 2,995 | 83,303 | |||||||
Heineken Holding NV | 919 | 73,719 | |||||||
Koninklijke Ahold Delhaize NV | 8,125 | 185,265 | |||||||
Koninklijke DSM NV | 586 | 39,618 | |||||||
NN Group NV | 7,685 | 236,206 | |||||||
RELX NV (a) | 6,259 | 112,507 | |||||||
Unilever NV | 701 | 32,358 | |||||||
Wolters Kluwer NV | 1,162 | 49,747 | |||||||
885,065 | |||||||||
New Zealand — (2.1%) | |||||||||
Air New Zealand Ltd. | 116,065 | 156,989 | |||||||
Fisher & Paykel Healthcare Corp. Ltd. | 19,612 | 142,761 | |||||||
Fletcher Building Ltd. | 19,207 | 149,869 | |||||||
Meridian Energy Ltd. | 25,198 | 47,642 | |||||||
Spark New Zealand Ltd. | 58,960 | �� | 154,781 | ||||||
Z Energy Ltd. | 9,851 | 60,175 | |||||||
712,217 | |||||||||
Norway — (0.4%) | |||||||||
Leroy Seafood Group ASA | 430 | 21,731 | |||||||
Salmar ASA | 990 | 30,224 | |||||||
Statoil ASA | 3,099 | 51,919 | |||||||
TGS Nopec Geophysical Co. ASA | 455 | 8,198 | |||||||
Yara International ASA | 1,112 | 36,954 | |||||||
149,026 | |||||||||
Portugal — (0.1%) | |||||||||
Galp Energia SGPS SA | 1,052 | 14,382 | |||||||
Jeronimo Martins SGPS SA | 1,963 | 34,050 | |||||||
48,432 | |||||||||
Singapore — (3.1%) | |||||||||
ComfortDelGro Corp. Ltd. | 23,353 | 48,129 | |||||||
DBS Group Holdings Ltd. | 6,710 | 75,739 | |||||||
Keppel Corp. Ltd. (a) | 1,075 | 4,250 | |||||||
Keppel REIT (a) | 82,243 | 67,257 | |||||||
M1 Ltd. (a) | 84,300 | 148,388 | |||||||
Mapletree Commercial Trust | 26,283 | 30,843 |
See accompanying Notes to Financial Statements.
16
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Singapore (continued) | |||||||||
Mapletree Greater China Commercial Trust | 56,100 | $ | 45,260 | ||||||
Mapletree Industrial Trust | 46,540 | 60,929 | |||||||
Oversea-Chinese Banking Corp. Ltd. (a) | 20,132 | 127,721 | |||||||
SATS Ltd. | 24,534 | 89,610 | |||||||
Singapore Airlines Ltd. | 17,014 | 131,151 | |||||||
StarHub Ltd. (a) | 46,309 | 116,499 | |||||||
United Overseas Bank Ltd. | 2,960 | 40,879 | |||||||
Wilmar International Ltd. | 18,002 | 42,515 | |||||||
Yangzijiang Shipbuilding Holdings Ltd. | 66,658 | 36,667 | |||||||
1,065,837 | |||||||||
Spain — (2.6%) | |||||||||
ACS Actividades de Construccion y Servicios SA | 1,776 | 53,689 | |||||||
Aena SA (c) | 497 | 73,335 | |||||||
Amadeus IT Holding SA | 1,219 | 60,920 | |||||||
Cia de Distribucion Integral Logista Holdings SA | 6,940 | 154,891 | |||||||
Distribuidora Internacional de Alimentacion SA (a) | 11,001 | 68,132 | |||||||
Ebro Foods SA | 2,302 | 53,551 | |||||||
Endesa SA | 6,213 | 133,220 | |||||||
Gas Natural SDG SA | 4,234 | 87,051 | |||||||
Grupo Catalana Occidente SA | 169 | 5,023 | |||||||
Iberdrola SA | 8,599 | 58,484 | |||||||
Prosegur Cia de Seguridad SA | 5,764 | 40,291 | |||||||
Red Electrica Corp. SA | 3,473 | 74,956 | |||||||
Viscofan SA | 378 | 20,458 | |||||||
884,001 | |||||||||
Sweden — (1.8%) | |||||||||
Axfood AB | 8,202 | 144,943 | |||||||
Hennes & Mauritz AB | 1,591 | 44,940 | |||||||
ICA Gruppen AB (a) | 323 | 10,681 | |||||||
Investor AB | 1,321 | 48,369 | |||||||
Securitas AB | 1,615 | 27,107 | |||||||
Skandinaviska Enskilda Banken AB | 846 | 8,512 | |||||||
Swedbank AB | 2,957 | 69,581 | |||||||
Tele2 AB | 11,859 | 102,500 | |||||||
Telefonaktiebolaget LM Ericsson | 16,424 | 118,760 | |||||||
Unibet Group PLC (a) | 4,003 | 37,239 | |||||||
612,632 | |||||||||
Switzerland — (6.9%) | |||||||||
ABB Ltd. (b) | 2,234 | 50,261 | |||||||
Actelion Ltd. (b) | 324 | 56,217 | |||||||
Allreal Holding AG (b) | 103 | 15,672 | |||||||
Baloise Holding AG | 1,171 | 141,936 | |||||||
Banque Cantonale Vaudoise | 155 | 101,852 |
See accompanying Notes to Financial Statements.
17
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Switzerland (continued) | |||||||||
Emmi AG (b) | 179 | $ | 122,700 | ||||||
Galenica AG | 9 | 9,572 | |||||||
Georg Fischer AG | 10 | 8,768 | |||||||
Givaudan SA | 25 | 50,985 | |||||||
Helvetia Holding AG | 198 | 100,031 | |||||||
Kuehne + Nagel International AG | 971 | 141,233 | |||||||
Nestle SA | 1,248 | 98,550 | |||||||
Novartis AG | 671 | 52,883 | |||||||
Panalpina Welttransport Holding AG (a) | 226 | 31,543 | |||||||
Pargesa Holding SA | 2,310 | 158,583 | |||||||
Roche Holding AG | 932 | 231,702 | |||||||
SFS Group AG (b) | 1,167 | 92,214 | |||||||
SGS SA | 20 | 44,873 | |||||||
Sika AG | 23 | 112,082 | |||||||
Swiss Life Holding AG (b) | 959 | 248,802 | |||||||
Swiss Prime Site AG (b) | 149 | 13,095 | |||||||
Swiss Re AG | 1,573 | 142,226 | |||||||
UBS Group AG | 11,278 | 153,918 | |||||||
Zurich Insurance Group AG (b) | 725 | 186,971 | |||||||
2,366,669 | |||||||||
United Kingdom — (11.5%) | |||||||||
Admiral Group PLC | 195 | 5,190 | |||||||
Aggreko PLC | 2,406 | 29,801 | |||||||
AstraZeneca PLC | 2,029 | 131,889 | |||||||
BAE Systems PLC | 4,764 | 32,427 | |||||||
Beazley PLC | 22,370 | 112,486 | |||||||
Berendsen PLC | 6,299 | 101,789 | |||||||
BP PLC | 15,520 | 90,722 | |||||||
British American Tobacco PLC | 166 | 10,631 | |||||||
British Land Co. PLC (The) | 4,929 | 40,498 | |||||||
Britvic PLC | 4,964 | 38,883 | |||||||
BT Group PLC | 15,585 | 78,763 | |||||||
Carnival PLC | 245 | 11,992 | |||||||
Centrica PLC | 2,956 | 8,763 | |||||||
Compass Group PLC | 7,205 | 139,921 | |||||||
Croda International PLC | 226 | 10,228 | |||||||
Daily Mail & General Trust PLC | 2,395 | 23,162 | |||||||
DCC PLC | 783 | 71,452 | |||||||
Direct Line Insurance Group PLC | 16,999 | 80,554 | |||||||
GlaxoSmithKline PLC | 7,213 | 153,944 | |||||||
Great Portland Estates PLC | 1,806 | 14,850 | |||||||
Hiscox Ltd. | 784 | 10,612 | |||||||
HSBC Holdings PLC | 12,908 | 97,033 |
See accompanying Notes to Financial Statements.
18
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United Kingdom (continued) | |||||||||
Imperial Brands PLC | 696 | $ | 35,925 | ||||||
Indivior PLC | 59,076 | 235,207 | |||||||
InterContinental Hotels Group PLC | 351 | 14,499 | |||||||
J Sainsbury PLC (a) | 27,307 | 87,190 | |||||||
JD Sports Fashion PLC | 7,656 | 146,890 | |||||||
John Wood Group PLC | 3,516 | 34,689 | |||||||
Kingfisher PLC | 24,027 | 117,635 | |||||||
Land Securities Group PLC | 6,941 | 95,393 | |||||||
Legal & General Group PLC | 44,805 | 127,287 | |||||||
Marks & Spencer Group PLC | 9,357 | 40,244 | |||||||
Mediclinic International PLC (a) | 4,688 | 56,421 | |||||||
Mondi PLC | 2,071 | 43,662 | |||||||
National Grid PLC | 7,440 | 105,537 | |||||||
Next PLC | 1,065 | 66,073 | |||||||
Old Mutual PLC | 23,967 | 63,013 | |||||||
Pennon Group PLC | 1,484 | 17,195 | |||||||
Polymetal International PLC | 954 | 12,002 | |||||||
Randgold Resources Ltd. | 386 | 39,035 | |||||||
Reckitt Benckiser Group PLC | 85 | 8,022 | |||||||
RELX PLC | 8,507 | 161,670 | |||||||
Rentokil Initial PLC | 26,375 | 76,162 | |||||||
Royal Dutch Shell PLC | 4,966 | 128,823 | |||||||
Royal Mail PLC | 29,262 | 186,066 | |||||||
Saga PLC | 23,951 | 66,332 | |||||||
Sage Group PLC (The) | 5,713 | 54,768 | |||||||
Segro PLC | 8,194 | 48,303 | |||||||
Severn Trent PLC | 510 | 16,595 | |||||||
Shaftesbury PLC | 2,200 | 27,721 | |||||||
Shire PLC | 201 | 13,050 | |||||||
Sky PLC | 2,653 | 30,809 | |||||||
Smith & Nephew PLC | 5,977 | 96,586 | |||||||
SSE PLC | 3,879 | 79,009 | |||||||
TalkTalk Telecom Group PLC (a) | 7,028 | 18,441 | |||||||
Unilever PLC | 2,810 | 133,396 | |||||||
Vodafone Group PLC | 22,709 | 65,414 | |||||||
WH Smith PLC | 3,616 | 72,243 | |||||||
William Hill PLC | 10,388 | 41,049 | |||||||
Wolseley PLC | 207 | 11,710 | |||||||
3,969,656 | |||||||||
TOTAL COMMON STOCKS (Cost $32,537,228) | 34,142,597 |
See accompanying Notes to Financial Statements.
19
LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
LIMITED PARTNERSHIP — (0.5%) | |||||||||
Israel — (0.5%) | |||||||||
Isramco Negev 2 LP | 848,226 | $ | 154,856 | ||||||
TOTAL LIMITED PARTNERSHIPS (Cost $144,215) | 154,856 | ||||||||
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.6%) (Cost $32,681,443) | 34,297,453 | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (8.3%) (Cost $2,879,848) | |||||||||
State Street Navigator Securities Lending Prime Portfolio, 0.30% * | 2,879,848 | 2,879,848 | |||||||
TOTAL INVESTMENTS — (107.9%) (Cost $35,561,291) | 37,177,301 | ||||||||
OTHER ASSETS & LIABILITIES — (-7.9%) | (2,737,591 | ) | |||||||
NET ASSETS — (100.0%) | $ | 34,439,710 |
* | Represents the current daily yield at period end |
(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. |
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 | $ | 2,879,848 | $ | 2,879,848 | ||||
Total Borrowings | $ | 2,879,848 | $ | 2,879,848 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ | 2,879,848 |
(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
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
COMMON STOCKS — (99.8%) | |||||||||
Brazil — (4.7%) | |||||||||
Ambev SA | 17,413 | $ | 106,230 | ||||||
Banco Bradesco SA | 11,697 | 106,822 | |||||||
Banco do Brasil SA | 16,533 | 116,026 | |||||||
BB Seguridade Participacoes SA | 1,522 | 13,998 | |||||||
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros | 8,289 | 42,889 | |||||||
BRF SA | 3,624 | 61,708 | |||||||
CCR SA | 4,338 | 22,619 | |||||||
Cielo SA | 8,031 | 80,363 | |||||||
Embraer SA | 13,299 | 57,349 | |||||||
Itau Unibanco Holding SA | 14,121 | 154,386 | |||||||
Itausa – Investimentos Itau SA | 19,534 | 50,145 | |||||||
JBS SA | 28,562 | 103,915 | |||||||
Kroton Educacional SA | 9,078 | 41,327 | |||||||
Lojas Renner SA | 1,541 | 11,607 | |||||||
Petroleo Brasileiro SA (a) | 23,941 | 99,998 | |||||||
Ultrapar Participacoes SA | 2,541 | 55,578 | |||||||
1,124,960 | |||||||||
Chile — (4.6%) | |||||||||
Aguas Andinas SA | 253,798 | 162,715 | |||||||
Banco de Credito e Inversiones | 3,129 | 141,370 | |||||||
Cencosud SA | 45,346 | 135,946 | |||||||
Cia Cervecerias Unidas SA | 3,599 | 72,664 | |||||||
Colbun SA | 21,823 | 4,342 | |||||||
Empresa Nacional de Electricidad SA | 102,263 | 67,672 | |||||||
Empresas CMPC SA | 1,185 | 2,354 | |||||||
Empresas COPEC SA | 8,881 | 82,894 | |||||||
Enersis Americas SA (b) | 13,815 | 113,145 | |||||||
Itau CorpBanca | 12,582,501 | 110,661 | |||||||
Latam Airlines Group SA (a)(b) | 2,091 | 16,979 | |||||||
SACI Falabella | 20,451 | 149,657 | |||||||
Sociedad Quimica y Minera de Chile SA | 1,211 | 32,576 | |||||||
1,092,975 | |||||||||
China — (8.3%) | |||||||||
Agricultural Bank of China Ltd. H Shares | 90,000 | 38,525 | |||||||
Baidu, Inc. ADR (a) | 447 | 81,385 | |||||||
Bank of China Ltd. H Shares | 291,000 | 132,819 | |||||||
Bank of Communications Co. Ltd. H Shares | 151,000 | 115,062 | |||||||
China Construction Bank Corp. H Shares | 161,000 | 119,360 | |||||||
China Life Insurance Co. Ltd. H Shares | 34,000 | 87,675 | |||||||
China Merchants Bank Co. Ltd. H Shares | 26,500 | 66,763 | |||||||
China Minsheng Banking Corp. Ltd. H Shares | 48,500 | 55,904 | |||||||
China Pacific Insurance Group Co. Ltd. H Shares | 12,200 | 45,066 |
See accompanying Notes to Financial Statements.
21
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
China (continued) | |||||||||
China Petroleum & Chemical Corp. H Shares | 242,000 | $ | 176,291 | ||||||
China Shenhua Energy Co. Ltd. | 81,500 | 159,302 | |||||||
China Telecom Corp. Ltd. H Shares | 242,000 | 121,999 | |||||||
China Vanke Co. Ltd. H Shares | 47,000 | 121,803 | |||||||
CITIC Securities Co. Ltd. H Shares | 20,500 | 43,506 | |||||||
CNOOC Ltd. | 69,000 | 85,584 | |||||||
Haitong Securities Co. Ltd. H Shares | 15,600 | 26,389 | |||||||
Industrial & Commercial Bank of China Ltd. H Shares | 261,000 | 163,210 | |||||||
NetEase, Inc. ADR | 240 | 57,787 | |||||||
PetroChina Co. Ltd. H Shares | 138,000 | 90,565 | |||||||
PICC Property & Casualty Co. Ltd. H Shares | 48,000 | 79,464 | |||||||
Ping An Insurance Group Co. of China Ltd. H Shares | 16,000 | 82,930 | |||||||
Tencent Holdings Ltd. | 1,100 | 30,209 | |||||||
1,981,598 | |||||||||
Colombia — (4.0%) | |||||||||
Almacenes Exito SA | 33,853 | 172,791 | |||||||
Banco Davivienda SA | 17,888 | 183,228 | |||||||
Bancolombia SA | 15,777 | 142,979 | |||||||
Corp. Financiera Colombiana SA | 7,225 | 94,979 | |||||||
Ecopetrol SA (a) | 134,517 | 58,384 | |||||||
Grupo Argos SA | 6,169 | 39,884 | |||||||
Grupo de Inversiones Suramericana SA | 2,584 | 33,754 | |||||||
Grupo Nutresa SA | 18,493 | 162,713 | |||||||
Isagen SA ESP (a) | 60,178 | 66,655 | |||||||
955,367 | |||||||||
India — (5.3%) | |||||||||
Axis Bank Ltd. | 3,063 | 123,133 | |||||||
HDFC Bank Ltd. | 1,124 | 80,804 | |||||||
ICICI Bank Ltd. | 13,915 | 103,945 | |||||||
Infosys Ltd. | 10,435 | 164,664 | |||||||
Larsen & Toubro Ltd. | 2,359 | 50,483 | |||||||
Mahindra & Mahindra Ltd. | 5,552 | 117,703 | |||||||
Reliance Industries Ltd. (c) | 2,108 | 69,142 | |||||||
State Bank of India | 4,086 | 152,204 | |||||||
Tata Motors Ltd. | 5,592 | 223,568 | |||||||
Tata Steel Ltd. | 30,608 | 168,650 | |||||||
1,254,296 | |||||||||
Indonesia — (7.4%) | |||||||||
Astra International Tbk PT | 233,200 | 147,414 | |||||||
Bank Central Asia Tbk PT | 121,100 | 145,680 | |||||||
Bank Mandiri Persero Tbk PT | 196,600 | 168,717 | |||||||
Bank Negara Indonesia Persero Tbk PT | 328,400 | 139,654 | |||||||
Bank Rakyat Indonesia Persero Tbk PT | 157,100 | 146,856 |
See accompanying Notes to Financial Statements.
22
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Indonesia (continued) | |||||||||
Bumi Serpong Damai Tbk PT | 213,000 | $ | 35,905 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 70,000 | 93,058 | |||||||
Indofood Sukses Makmur Tbk PT | 100,400 | 66,928 | |||||||
Kalbe Farma Tbk PT | 399,300 | 52,471 | |||||||
Lippo Karawaci Tbk PT | 923,600 | 70,061 | |||||||
Matahari Department Store Tbk PT | 28,500 | 40,345 | |||||||
Perusahaan Gas Negara Persero Tbk PT | 525,300 | 115,517 | |||||||
Semen Indonesia Persero Tbk PT | 151,900 | 117,553 | |||||||
Surya Citra Media Tbk PT | 145,100 | 31,130 | |||||||
Telekomunikasi Indonesia Persero Tbk PT | 716,700 | 236,685 | |||||||
United Tractors Tbk PT | 102,500 | 139,012 | |||||||
1,746,986 | |||||||||
Malaysia — (7.5%) | |||||||||
AMMB Holdings Bhd | 94,500 | 93,460 | |||||||
Axiata Group Bhd | 70,200 | 88,609 | |||||||
British American Tobacco Malaysia Bhd | 8,500 | 101,001 | |||||||
CIMB Group Holdings Bhd | 112,600 | 128,242 | |||||||
DiGi.Com Bhd | 86,000 | 103,562 | |||||||
Genting Bhd | 8,000 | 15,340 | |||||||
Genting Malaysia Bhd | 64,500 | 70,965 | |||||||
Hong Leong Bank Bhd | 9,488 | 30,101 | |||||||
IJM Corp. Bhd | 77,400 | 60,078 | |||||||
IOI Corp. Bhd | 52,500 | 56,492 | |||||||
Kuala Lumpur Kepong Bhd | 2,400 | 13,917 | |||||||
Malayan Banking Bhd | 100,600 | 182,445 | |||||||
Maxis Bhd | 54,600 | 81,329 | |||||||
MISC Bhd | 22,600 | 41,260 | |||||||
Petronas Chemicals Group Bhd | 73,200 | 117,708 | |||||||
Public Bank Bhd | 32,500 | 155,761 | |||||||
RHB Bank Bhd | 49,839 | 56,039 | |||||||
Sime Darby Bhd | 45,300 | 83,798 | |||||||
Telekom Malaysia Bhd | 30,500 | 50,004 | |||||||
Tenaga Nasional Bhd | 48,900 | 169,090 | |||||||
UMW Holdings Bhd | 35,600 | 50,187 | |||||||
YTL Corp. Bhd | 81,100 | 35,103 | |||||||
1,784,491 | |||||||||
Mexico — (5.2%) | |||||||||
Alfa SAB de CV | 32,425 | 50,698 | |||||||
America Movil SAB de CV | 210,870 | 120,615 | |||||||
Arca Continental SAB de CV | 15,983 | 95,278 | |||||||
Coca-Cola Femsa SAB de CV | 29,938 | 225,306 | |||||||
Fibra Uno Administracion SA de CV | 24,670 | 45,150 | |||||||
Gruma SAB de CV | 8,592 | 113,181 |
See accompanying Notes to Financial Statements.
23
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Mexico (continued) | |||||||||
Grupo Bimbo SAB de CV | 24,788 | $ | 65,462 | ||||||
Grupo Financiero Banorte SAB de CV | 16,851 | 88,532 | |||||||
Grupo Mexico SAB de CV | 44,856 | 109,814 | |||||||
Kimberly-Clark de Mexico SAB de CV (b) | 40,030 | 90,718 | |||||||
Mexichem SAB de CV (b) | 7,361 | 16,507 | |||||||
Nemak SAB de CV (b)(c) | 19,372 | 21,440 | |||||||
Promotora y Operadora de Infraestructura SAB de CV | 1,093 | 11,750 | |||||||
Wal-Mart de Mexico SAB de CV | 85,059 | 187,140 | |||||||
1,241,591 | |||||||||
Philippines — (7.8%) | |||||||||
Aboitiz Equity Ventures, Inc. | 99,100 | 154,796 | |||||||
Alliance Global Group, Inc. | 469,000 | 153,770 | |||||||
Ayala Corp. | 5,490 | 97,019 | |||||||
Ayala Land, Inc. | 69,500 | 56,251 | |||||||
Bank of the Philippine Islands | 100,380 | 217,340 | |||||||
BDO Unibank, Inc. | 74,690 | 169,109 | |||||||
Energy Development Corp. | 758,700 | 92,461 | |||||||
GT Capital Holdings, Inc. | 3,425 | 101,701 | |||||||
International Container Terminal Services, Inc. | 43,660 | 69,323 | |||||||
JG Summit Holdings, Inc. | 98,240 | 150,920 | |||||||
Jollibee Foods Corp. | 12,110 | 61,680 | |||||||
Metro Pacific Investments Corp. | 851,200 | 124,621 | |||||||
Metropolitan Bank & Trust Co. | 83,210 | 146,362 | |||||||
PLDT, Inc. | 2,530 | 89,316 | |||||||
SM Investments Corp. | 6,595 | 91,592 | |||||||
Universal Robina Corp. | 20,370 | 74,768 | |||||||
1,851,029 | |||||||||
Poland — (4.8%) | |||||||||
Alior Bank SA (a) | 4,277 | 51,862 | |||||||
Asseco Poland SA | 8,144 | 118,542 | |||||||
Bank Pekao SA | 3,477 | 112,377 | |||||||
Bank Zachodni WBK SA | 886 | 72,006 | |||||||
Cyfrowy Polsat SA (a) | 2,744 | 17,565 | |||||||
Energa SA | 32,993 | 64,653 | |||||||
Eurocash SA | 4,012 | 44,550 | |||||||
KGHM Polska Miedz SA | 914 | 17,791 | |||||||
LPP SA | 6 | 6,168 | |||||||
mBank SA (a) | 128 | 11,429 | |||||||
Orange Polska SA | 51,291 | 80,407 | |||||||
PGE Polska Grupa Energetyczna SA | 13,739 | 36,435 | |||||||
Polski Koncern Naftowy Orlen SA | 9,337 | 158,595 | |||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 76,004 | 100,284 | |||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 13,721 | 93,604 |
See accompanying Notes to Financial Statements.
24
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Poland (continued) | |||||||||
Powszechny Zaklad Ubezpieczen SA | 15,136 | $ | 96,416 | ||||||
Tauron Polska Energia SA (a) | 80,338 | 54,575 | |||||||
1,137,259 | |||||||||
Russia — (3.0%) | |||||||||
Gazprom PAO | 6,132 | 25,816 | |||||||
Lukoil PJSC | 1,386 | 67,485 | |||||||
Magnit PJSC | 393 | 16,384 | |||||||
Mail.Ru Group Ltd. (a) | 582 | 10,208 | |||||||
MMC Norilsk Nickel PJSC | 3,555 | 56,809 | |||||||
Rosneft OAO | 28,107 | 153,464 | |||||||
Sberbank of Russia | 9,350 | 87,684 | |||||||
Surgutneftegas OAO | 16,526 | 79,490 | |||||||
Tatneft PAO | 3,967 | 122,104 | |||||||
Yandex NV (a) | 4,659 | 98,072 | |||||||
717,516 | |||||||||
South Africa — (6.2%) | |||||||||
AngloGold Ashanti Ltd. (a) | 1,047 | 16,883 | |||||||
Aspen Pharmacare Holdings Ltd. (a) | 1,140 | 25,699 | |||||||
Barclays Africa Group Ltd. | 8,692 | 95,445 | |||||||
Bidvest Group Ltd. (The) | 21,061 | 247,471 | |||||||
FirstRand Ltd. (b) | 23,234 | 80,256 | |||||||
Gold Fields Ltd. | 12,562 | 61,206 | |||||||
Growthpoint Properties Ltd. | 32,920 | 60,591 | |||||||
Mr Price Group Ltd. | 3,035 | 33,492 | |||||||
MTN Group Ltd. | 9,127 | 77,961 | |||||||
Nedbank Group Ltd. | 5,989 | 96,839 | |||||||
Netcare Ltd. | 41,674 | 101,918 | |||||||
Redefine Properties Ltd. | 75,179 | 62,489 | |||||||
Remgro Ltd. | 2,264 | 37,795 | |||||||
RMB Holdings Ltd. (b) | 9,192 | 39,258 | |||||||
Sanlam Ltd. | 15,277 | 70,879 | |||||||
Sasol Ltd. (b) | 3,121 | 85,337 | |||||||
Shoprite Holdings Ltd. | 3,894 | 54,197 | |||||||
Standard Bank Group Ltd. | 9,080 | 92,885 | |||||||
Tiger Brands Ltd. | 1,857 | 51,348 | |||||||
Vodacom Group Ltd. | 3,481 | 39,019 | |||||||
Woolworths Holdings Ltd. | 8,368 | 47,033 | |||||||
1,478,001 | |||||||||
South Korea — (8.1%) | |||||||||
Amorepacific Corp. | 72 | 25,431 | |||||||
AMOREPACIFIC Group | 146 | 21,939 | |||||||
BNK Financial Group, Inc. | 1,292 | 10,065 | |||||||
CJ Corp. | 63 | 10,640 |
See accompanying Notes to Financial Statements.
25
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
South Korea (continued) | |||||||||
Coway Co. Ltd. | 690 | $ | 59,768 | ||||||
Dongbu Insurance Co. Ltd. | 942 | 58,332 | |||||||
E-MART, Inc. | 17 | 2,431 | |||||||
Hana Financial Group, Inc. | 1,259 | 31,837 | |||||||
Hankook Tire Co. Ltd. | 1,010 | 54,473 | |||||||
Hyundai Engineering & Construction Co. Ltd. | 831 | 29,615 | |||||||
Hyundai Glovis Co. Ltd. | 278 | 45,688 | |||||||
Hyundai Mobis Co. Ltd. | 261 | 65,170 | |||||||
Hyundai Motor Co. | 378 | 46,506 | |||||||
Hyundai Wia Corp. | 207 | 16,277 | |||||||
Industrial Bank of Korea | 3,050 | 33,093 | |||||||
Kangwon Land, Inc. | 402 | 14,345 | |||||||
KB Financial Group, Inc. | 774 | 26,600 | |||||||
Kia Motors Corp. | 2,787 | 106,662 | |||||||
Korea Electric Power Corp. | 1,491 | 73,105 | |||||||
Korea Zinc Co. Ltd. | 132 | 57,649 | |||||||
KT&G Corp. | 718 | 81,491 | |||||||
LG Chem Ltd. | 416 | 91,219 | �� | ||||||
LG Display Co. Ltd. | 2,393 | 61,055 | |||||||
LG Electronics, Inc. | 1,031 | 44,840 | |||||||
LG Household & Health Care Ltd. | 92 | 79,775 | |||||||
LG Uplus Corp. | 7,327 | 78,170 | |||||||
NAVER Corp. | 45 | 36,078 | |||||||
NCSoft Corp. | 77 | 20,660 | |||||||
POSCO | 92 | 18,962 | |||||||
Samsung Electronics Co. Ltd. | 164 | 237,955 | |||||||
Samsung Fire & Marine Insurance Co. Ltd. | 212 | 53,801 | |||||||
Samsung Life Insurance Co. Ltd. | 656 | 62,839 | |||||||
Shinhan Financial Group Co. Ltd. | 1,472 | 53,662 | |||||||
SK Holdings Co. Ltd. | 274 | 52,743 | |||||||
SK Hynix, Inc. | 2,360 | 86,142 | |||||||
SK Telecom Co. Ltd. | 356 | 73,052 | |||||||
1,922,070 | |||||||||
Taiwan — (9.5%) | |||||||||
Acer, Inc. (a) | 26,000 | 12,069 | |||||||
Advanced Semiconductor Engineering, Inc. | 12,000 | 14,394 | |||||||
Asustek Computer, Inc. | 4,000 | 35,667 | |||||||
AU Optronics Corp. | 86,000 | 31,552 | |||||||
Catcher Technology Co. Ltd. | 3,000 | 24,358 | |||||||
Cathay Financial Holding Co. Ltd. | 50,000 | 63,965 | |||||||
Chailease Holding Co. Ltd. | 8,080 | 14,332 | |||||||
Chang Hwa Commercial Bank Ltd. | 14,242 | 7,292 | |||||||
Cheng Shin Rubber Industry Co. Ltd. | 19,000 | 39,945 |
See accompanying Notes to Financial Statements.
26
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Taiwan (continued) | |||||||||
Chicony Electronics Co. Ltd. | 13,115 | $ | 33,179 | ||||||
China Development Financial Holding Corp. | 70,000 | 17,865 | |||||||
China Life Insurance Co. Ltd. | 86,208 | 78,795 | |||||||
China Steel Corp. | 43,000 | 30,317 | |||||||
Chunghwa Telecom Co. Ltd. | 17,000 | 59,929 | |||||||
Compal Electronics, Inc. | 74,000 | 45,681 | |||||||
CTBC Financial Holding Co. Ltd. | 76,508 | 44,422 | |||||||
Delta Electronics, Inc. | 6,105 | 32,526 | |||||||
E.Sun Financial Holding Co. Ltd. | 28,898 | 16,456 | |||||||
Eva Airways Corp. | 61,650 | 28,125 | |||||||
Far Eastern New Century Corp. | 35,540 | 26,588 | |||||||
Far EasTone Telecommunications Co. Ltd. | 28,000 | 66,102 | |||||||
First Financial Holding Co. Ltd. | 48,443 | 25,732 | |||||||
Foxconn Technology Co. Ltd. | 18,301 | 53,597 | |||||||
Fubon Financial Holding Co. Ltd. | 31,000 | 45,790 | |||||||
Giant Manufacturing Co. Ltd. | 3,000 | 21,151 | |||||||
Hon Hai Precision Industry Co. Ltd. | 58,030 | 146,253 | |||||||
Hotai Motor Co. Ltd. | 1,000 | 11,692 | |||||||
HTC Corp. (a) | 1,000 | 2,779 | |||||||
Hua Nan Financial Holdings Co. Ltd. | 95,526 | 48,913 | |||||||
Innolux Corp. | 343,000 | 115,991 | |||||||
Inventec Corp. | 94,000 | 76,770 | |||||||
Lite-On Technology Corp. | 55,245 | 79,487 | |||||||
MediaTek, Inc. | 6,000 | 45,844 | |||||||
Mega Financial Holding Co. Ltd. | 32,273 | 22,702 | |||||||
Nan Ya Plastics Corp. | 13,000 | 25,713 | |||||||
Novatek Microelectronics Corp. | 12,000 | 42,303 | |||||||
Pegatron Corp. | 22,000 | 56,570 | |||||||
Pou Chen Corp. | 22,000 | 30,952 | |||||||
President Chain Store Corp. | 6,000 | 47,662 | |||||||
Quanta Computer, Inc. | 12,000 | 25,037 | |||||||
Radiant Opto-Electronics Corp. | 2,000 | 3,248 | |||||||
Ruentex Development Co. Ltd. (a) | 15,000 | 18,256 | |||||||
Shin Kong Financial Holding Co. Ltd. (a) | 161,489 | 35,497 | |||||||
Simplo Technology Co. Ltd. | 18,000 | 59,147 | |||||||
SinoPac Financial Holdings Co. Ltd. | 61,895 | 18,265 | |||||||
Synnex Technology International Corp. | 18,600 | 20,591 | |||||||
Taiwan Cement Corp. | 33,000 | 37,532 | |||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 48,108 | 21,256 | |||||||
Taiwan Mobile Co. Ltd. | 15,000 | 53,835 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 23,000 | 133,911 | |||||||
Teco Electric and Machinery Co. Ltd. | 35,000 | 30,148 | |||||||
Uni-President Enterprises Corp. | 22,800 | 42,770 |
See accompanying Notes to Financial Statements.
27
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Taiwan (continued) | |||||||||
United Microelectronics Corp. | 41,000 | $ | 15,107 | ||||||
Vanguard International Semiconductor Corp. | 22,000 | 41,129 | |||||||
Wistron Corp. | 39,121 | 29,080 | |||||||
WPG Holdings Ltd. | 18,000 | 21,304 | |||||||
Yuanta Financial Holding Co. Ltd. | 86,757 | 30,999 | |||||||
2,260,572 | |||||||||
Thailand — (8.9%) | |||||||||
Advanced Info Service PCL | 25,800 | 119,134 | |||||||
Bangkok Bank PCL | 28,700 | 134,596 | |||||||
Bangkok Dusit Medical Services PCL | 78,900 | 49,640 | |||||||
Banpu PCL | 56,767 | 25,721 | |||||||
BTS Group Holdings PCL | 85,000 | 21,219 | |||||||
Bumrungrad Hospital PCL | 13,200 | 66,476 | |||||||
Central Pattana PCL | 13,100 | 22,022 | |||||||
Charoen Pokphand Foods PCL | 91,700 | 84,025 | |||||||
CP ALL PCL | 22,100 | 39,225 | |||||||
Delta Electronics Thailand PCL | 30,800 | 70,445 | |||||||
IRPC PCL | 257,600 | 36,280 | |||||||
Kasikornbank PCL | 30,300 | 163,961 | |||||||
Krung Thai Bank PCL | 307,600 | 156,241 | |||||||
Land & Houses PCL | 252,500 | 65,220 | |||||||
Minor International PCL | 20,860 | 23,479 | |||||||
PTT Exploration & Production PCL | 23,900 | 55,870 | |||||||
PTT Global Chemical PCL | 65,700 | 111,396 | |||||||
PTT PCL | 15,600 | 152,624 | |||||||
Ratchaburi Electricity Generating Holding PCL | 51,700 | 75,722 | |||||||
Siam Cement PCL (The) | 5,400 | 80,416 | |||||||
Siam Commercial Bank PCL (The) | 39,600 | 169,143 | |||||||
Thai Beverage PCL (b) | 237,200 | 168,751 | |||||||
Thai Oil PCL | 20,400 | 40,329 | |||||||
Thai Union Group PCL | 161,700 | 99,867 | |||||||
TMB Bank PCL | 1,475,300 | 90,264 | |||||||
2,122,066 | |||||||||
Turkey — (4.5%) | |||||||||
Akbank TAS | 24,169 | 64,758 | |||||||
Anadolu Efes Biracilik Ve Malt Sanayii AS | 1,198 | 7,254 | |||||||
Arcelik AS | 10,817 | 76,134 | |||||||
BIM Birlesik Magazalar AS | 3,787 | 63,165 | |||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 78,109 | 79,132 | |||||||
Eregli Demir ve Celik Fabrikalari TAS | 79,878 | 109,940 | |||||||
Haci Omer Sabanci Holding AS | 14,813 | 45,860 | |||||||
TAV Havalimanlari Holding AS | 14,543 | 59,952 | |||||||
Tupras Turkiye Petrol Rafinerileri AS | 3,244 | 61,405 |
See accompanying Notes to Financial Statements.
28
LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Turkey (continued) | |||||||||
Turk Hava Yollari AO (a) | 46,243 | $ | 79,211 | ||||||
Turkcell Iletisim Hizmetleri AS (a) | 24,945 | 80,720 | |||||||
Turkiye Garanti Bankasi AS | 28,426 | 75,311 | |||||||
Turkiye Halk Bankasi AS | 24,659 | 74,946 | |||||||
Turkiye Is Bankasi | 42,983 | 68,041 | |||||||
Turkiye Vakiflar Bankasi TAO | 76,912 | 117,648 | |||||||
1,063,477 | |||||||||
TOTAL COMMON STOCKS (Cost $23,030,314) | 23,734,254 | ||||||||
RIGHTS — (0.0%) (d) | |||||||||
Thailand — (0.0%) (d) | |||||||||
Banpu PCL Exp 09/30/16 (a) | 2,958 | 1,186 | |||||||
TOTAL RIGHTS (Cost $ —) | 1,186 | ||||||||
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.8%) (Cost $23,030,314) | 23,735,440 | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (1.4%) (Cost $327,748) | |||||||||
State Street Navigator Securities Lending Prime Portfolio, 0.30% * | 327,748 | 327,748 | |||||||
TOTAL INVESTMENTS — (101.2%) (Cost $23,358,062) | 24,063,188 | ||||||||
OTHER ASSETS & LIABILITIES — (-1.2%) | (276,792 | ) | |||||||
NET ASSETS — (100.0%) | $ | 23,786,396 |
* | Represents the current daily yield at period end |
(a) | Non-income producing security. |
(b) | Represents entire or partial securities on loan. See Note 7 for securities lending information. |
(c) | Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors. |
(d) | Amount shown represents less than 0.05% of net assets. |
PCL = Public Company Limited
CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS
Remaining Contractual Maturity of the Agreements
![]() | ![]() | ![]() | ||||||
Overnight and Continuous | Total | |||||||
Securities Lending Transactions (1) | ||||||||
Equity Securities | $ | 327,748 | $ | 327,748 | ||||
Total Borrowings | $ | 327,748 | $ | 327,748 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ | 327,748 |
(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.
29
LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
COMMON STOCKS — (99.5%) | |||||||||
Australia — (4.4%) | |||||||||
Abacus Property Group | 3,100 | $ | 6,856 | ||||||
Automotive Holdings Group Ltd. (a) | 6,582 | 21,558 | |||||||
BWP Trust | 2,999 | 7,367 | |||||||
Charter Hall Retail REIT (a) | 7,716 | 24,977 | |||||||
Cromwell Property Group | 15,910 | 11,445 | |||||||
CSR Ltd. | 20,334 | 56,329 | |||||||
Downer EDI Ltd. | 12,828 | 52,912 | |||||||
Investa Office Fund | 7,324 | 25,613 | |||||||
JB Hi-Fi Ltd. | 2,357 | 52,253 | |||||||
Mineral Resources Ltd. | 4,052 | 34,326 | |||||||
Monadelphous Group Ltd. (a) | 7,364 | 51,168 | |||||||
Northern Star Resources Ltd. (a) | 1,627 | 5,802 | |||||||
OZ Minerals Ltd. | 2,380 | 11,073 | |||||||
Regis Resources Ltd. | 9,804 | 28,960 | |||||||
Sandfire Resources NL (a) | 853 | 3,290 | |||||||
St Barbara Ltd. (b) | 23,310 | 56,903 | |||||||
450,832 | |||||||||
Belgium — (0.1%) | |||||||||
Tessenderlo Chemie NV (b) | 148 | 4,947 | |||||||
4,947 | |||||||||
Brazil — (2.2%) | |||||||||
Banco do Estado do Rio Grande do Sul SA | 4,900 | 15,776 | |||||||
Braskem SA | 5,231 | 40,430 | |||||||
Cia Energetica de Minas Gerais | 3,425 | 9,045 | |||||||
Cia Hering | 534 | 2,955 | |||||||
EDP – Energias do Brasil SA | 5,161 | 22,844 | |||||||
Equatorial Energia SA | 1,158 | 17,936 | |||||||
Ez Tec Empreendimentos e Participacoes SA | 10,200 | 47,784 | |||||||
MRV Engenharia e Participacoes SA | 13,855 | 50,919 | |||||||
Natura Cosmeticos SA | 478 | 4,595 | |||||||
Odontoprev SA | 4,174 | 16,612 | |||||||
228,896 | |||||||||
Canada — (5.4%) | |||||||||
Aecon Group, Inc. (a) | 823 | 11,347 | |||||||
Air Canada (b) | 1,519 | 12,251 | |||||||
BRP, Inc. (b) | 1,384 | 27,032 | |||||||
Dream Global Real Estate Investment Trust | 4,689 | 32,146 | |||||||
Ensign Energy Services, Inc. (a) | 1,573 | 8,977 | |||||||
Exchange Income Corp. | 950 | 25,444 | |||||||
Extendicare, Inc. (a) | 3,609 | 25,978 | |||||||
Intertape Polymer Group, Inc. | 2,732 | 47,063 | |||||||
Killam Apartment Real Estate Investment Trust | 1,852 | 17,037 |
See accompanying Notes to Financial Statements.
30
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Canada (continued) | |||||||||
Lucara Diamond Corp. | 2,549 | $ | 7,583 | ||||||
Manitoba Telecom Services, Inc. (a) | 1,213 | 34,796 | |||||||
Milestone Apartments Real Estate Investment Trust | 3,278 | 48,138 | |||||||
New Flyer Industries, Inc. (a) | 1,259 | 37,772 | |||||||
North West Co., Inc. (The) (a) | 1,297 | 25,501 | |||||||
Parkland Fuel Corp. (a) | 2,556 | 60,154 | |||||||
Pason Systems, Inc. | 95 | 1,214 | |||||||
Pure Industrial Real Estate Trust | 7,545 | 31,632 | |||||||
Superior Plus Corp. (a) | 2,564 | 23,021 | |||||||
Transcontinental, Inc. | 3,004 | 40,274 | |||||||
Uni-Select, Inc. | 1,527 | 37,157 | |||||||
554,517 | |||||||||
China — (7.9%) | |||||||||
Agile Property Holdings Ltd. | 34,670 | 19,713 | |||||||
China Communications Services Corp. Ltd. H Shares | 83,445 | 52,180 | |||||||
China Lesso Group Holdings Ltd. | 10,539 | 7,147 | |||||||
CIFI Holdings Group Co. Ltd. | 164,232 | 51,455 | |||||||
Dongfeng Motor Group Co. Ltd. H Shares | 19,146 | 19,131 | |||||||
Guangshen Railway Co. Ltd. H Shares | 42,459 | 21,952 | |||||||
Guangzhou R&F Properties Co. Ltd. | 27,486 | 43,235 | |||||||
Huabao International Holdings Ltd. (b) | 8,060 | 3,097 | |||||||
Kingboard Chemical Holdings Ltd. | 6,606 | 20,016 | |||||||
KWG Property Holding Ltd. | 4,492 | 2,948 | |||||||
Peak Sport Products Co. Ltd. | 17,000 | 5,502 | |||||||
Shanghai Jin Jiang International Hotels Group Co. Ltd. H Shares | 79,585 | 24,524 | |||||||
Shenzhen Expressway Co. Ltd. H Shares | 46,360 | 48,656 | |||||||
Shenzhen Investment Ltd. | 47,120 | 22,418 | |||||||
Shimao Property Holdings Ltd. | 12,760 | 17,275 | |||||||
Sinopec Engineering Group Co. Ltd. H Shares | 62,000 | 53,319 | |||||||
Sinotrans Ltd. H Shares | 31,228 | 15,139 | |||||||
Skyworth Digital Holdings Ltd. | 61,194 | 44,026 | |||||||
Sunac China Holdings Ltd. | 14,452 | 10,397 | |||||||
Tianneng Power International Ltd. | 48,000 | 40,908 | |||||||
Tongda Group Holdings Ltd. | 162,767 | 39,664 | |||||||
TravelSky Technology Ltd. H Shares | 19,649 | 46,615 | |||||||
Weichai Power Co. Ltd. H Shares | 37,727 | 50,588 | |||||||
XTEP International Holdings Ltd. | 92,588 | 43,095 | |||||||
Yuexiu Real Estate Investment Trust | 83,453 | 50,787 | |||||||
Yuzhou Properties Co. Ltd. | 142,000 | 52,545 | |||||||
806,332 |
See accompanying Notes to Financial Statements.
31
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Denmark — (0.0%) (c) | |||||||||
Dfds A/S | 53 | $ | 2,680 | ||||||
SimCorp A/S | 37 | 2,150 | |||||||
4,830 | |||||||||
France — (0.4%) | |||||||||
Alten SA | 361 | 25,250 | |||||||
Groupe Fnac SA (b) | 119 | 8,735 | |||||||
Neopost SA | 359 | 9,695 | |||||||
43,680 | |||||||||
Germany — (0.6%) | |||||||||
Heidelberger Druckmaschinen AG (a)(b) | 4,817 | 11,655 | |||||||
Jungheinrich AG | 1,370 | 46,350 | |||||||
58,005 | |||||||||
Hong Kong — (0.5%) | |||||||||
Texwinca Holdings Ltd. | 72,418 | 50,047 | |||||||
50,047 | |||||||||
Ireland — (0.1%) | |||||||||
Origin Enterprises PLC | 1,232 | 7,787 | |||||||
7,787 | |||||||||
Israel — (0.5%) | |||||||||
Orbotech Ltd. (b) | 133 | 3,938 | |||||||
Paz Oil Co. Ltd. | 290 | 45,323 | |||||||
49,261 | |||||||||
Italy — (1.1%) | |||||||||
Banca IFIS SpA | 1,076 | 24,269 | |||||||
Saras SpA | 33,962 | 54,005 | |||||||
Societa Cattolica di Assicurazioni SCRL (a) | 5,173 | 28,951 | |||||||
107,225 | |||||||||
Japan — (12.8%) | |||||||||
Adastria Co. Ltd. | 178 | 4,066 | |||||||
Alpine Electronics, Inc. | 430 | 5,631 | |||||||
Amano Corp. | 1,481 | 23,517 | |||||||
Anritsu Corp. (a) | 1,255 | 7,139 | |||||||
AOKI Holdings, Inc. (a) | 932 | 10,483 | |||||||
Arcs Co. Ltd. | 1,281 | 31,840 | |||||||
Asahi Holdings, Inc. | 532 | 9,041 | |||||||
Avex Group Holdings, Inc. | 98 | 1,325 | |||||||
Calsonic Kansei Corp. | 2,711 | 24,924 | |||||||
CKD Corp. | 1,676 | 20,043 | |||||||
Coca-Cola West Co. Ltd. (a) | 300 | 8,351 | |||||||
cocokara fine, Inc. | 200 | 7,653 | |||||||
Create Restaurants Holdings, Inc. | 1,272 | 12,888 | |||||||
Daiichikosho Co. Ltd. | 119 | 4,836 | |||||||
Daishi Bank Ltd. (The) | 2,767 | 10,547 |
See accompanying Notes to Financial Statements.
32
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Japan (continued) | |||||||||
Doutor Nichires Holdings Co. Ltd. (a) | 1,694 | $ | 31,014 | ||||||
Dydo Drinco, Inc. | 940 | 52,168 | |||||||
Enplas Corp. | 148 | 4,472 | |||||||
FCC Co. Ltd. | 513 | 10,947 | |||||||
Foster Electric Co. Ltd. | 500 | 9,065 | |||||||
Fuji Machine Manufacturing Co. Ltd. (a) | 2,067 | 23,718 | |||||||
Fujitsu General Ltd. | 439 | 9,451 | |||||||
Geo Holdings Corp. (a) | 2,730 | 35,101 | |||||||
Heiwado Co. Ltd. (a) | 715 | 13,867 | |||||||
Hitachi Kokusai Electric, Inc. | 2,380 | 43,550 | |||||||
Hitachi Maxell Ltd. | 2,948 | 45,123 | |||||||
Inaba Denki Sangyo Co. Ltd. | 825 | 29,573 | |||||||
Juroku Bank Ltd. (The) | 8,178 | 23,178 | |||||||
Kanematsu Corp. | 1,109 | 1,708 | |||||||
Kokuyo Co. Ltd. | 1,468 | 21,223 | |||||||
Komori Corp. | 534 | 6,687 | |||||||
Kura Corp. | 595 | 28,908 | |||||||
Kuroda Electric Co. Ltd. (a) | 1,202 | 22,921 | |||||||
KYORIN Holdings, Inc. | 1,581 | 35,581 | |||||||
Kyowa Exeo Corp. (a) | 1,069 | 15,127 | |||||||
Kyudenko Corp. | 1,129 | 41,251 | |||||||
Leopalace21 Corp. (a) | 347 | 2,275 | |||||||
Maeda Road Construction Co. Ltd. | 1,378 | 24,508 | |||||||
Matsumotokiyoshi Holdings Co. Ltd. | 200 | 10,270 | |||||||
Megmilk Snow Brand Co. Ltd. | 549 | 19,978 | |||||||
Ministop Co. Ltd. | 2,600 | 44,803 | |||||||
Mirait Holdings Corp. (a) | 1,205 | 10,210 | |||||||
Mochida Pharmaceutical Co. Ltd. | 277 | 21,610 | |||||||
Morinaga & Co. Ltd. (a) | 329 | 15,790 | |||||||
NEC Networks & System Integration Corp. | 1,494 | 25,302 | |||||||
NET One Systems Co. Ltd. (a) | 6,560 | 45,476 | |||||||
Nichiha Corp. | 875 | 19,398 | |||||||
Nihon Unisys Ltd. | 473 | 6,035 | |||||||
Nippon Signal Co. Ltd. (a) | 720 | 6,015 | |||||||
Nitto Kogyo Corp. | 1,222 | 15,905 | |||||||
Nojima Corp. | 200 | 2,469 | |||||||
Noritz Corp. | 1,252 | 25,692 | |||||||
Pal Co. Ltd. | 326 | 7,520 | |||||||
Paramount Bed Holdings Co. Ltd. (a) | 637 | 23,967 | |||||||
Pioneer Corp. (b) | 14,321 | 30,830 | |||||||
Plenus Co. Ltd. (a) | 2,578 | 46,995 | |||||||
St Marc Holdings Co. Ltd. (a) | 193 | 5,268 | |||||||
Sumitomo Bakelite Co. Ltd. | 986 | 5,122 |
See accompanying Notes to Financial Statements.
33
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Japan (continued) | |||||||||
T-Gaia Corp. | 2,978 | $ | 42,347 | ||||||
Taikisha Ltd. (a) | 137 | 3,371 | |||||||
Takuma Co. Ltd. | 1,718 | 16,151 | |||||||
Toho Holdings Co. Ltd. (a) | 1,321 | 27,851 | |||||||
Token Corp. | 595 | 44,126 | |||||||
Tokyo Seimitsu Co. Ltd. | 100 | 2,648 | |||||||
Toppan Forms Co. Ltd. | 1,971 | 20,554 | |||||||
Transcosmos, Inc. (a) | 501 | 13,160 | |||||||
Unipres Corp. | 296 | 5,180 | |||||||
Valor Holdings Co., Ltd. (a) | 785 | 22,000 | |||||||
Zojirushi Corp. | 385 | 6,243 | |||||||
1,305,986 | |||||||||
Netherlands — (0.6%) | |||||||||
BE Semiconductor Industries NV | 335 | 11,445 | |||||||
PostNL NV (b) | 2,867 | 13,020 | |||||||
TKH Group NV | 816 | 31,898 | |||||||
56,363 | |||||||||
New Zealand — (0.6%) | |||||||||
Chorus Ltd. | 17,492 | 49,736 | |||||||
Kiwi Property Group Ltd. | 7,005 | 7,641 | |||||||
57,377 | |||||||||
Norway — (0.5%) | |||||||||
Bakkafrost P/F | 766 | 31,983 | |||||||
Storebrand ASA (b) | 3,996 | 19,749 | |||||||
51,732 | |||||||||
Portugal — (0.0%) (c) | |||||||||
REN – Redes Energeticas Nacionais SGPS SA (a) | 885 | 2,589 | |||||||
2,589 | |||||||||
Singapore — (0.7%) | |||||||||
Frasers Centrepoint Trust | 6,417 | 10,354 | |||||||
Venture Corp. Ltd. | 5,975 | 39,528 | |||||||
Yanlord Land Group Ltd. (a) | 17,600 | 18,072 | |||||||
67,954 | |||||||||
South Africa — (1.5%) | |||||||||
Barloworld Ltd. | 1,946 | 11,784 | |||||||
DataTec Ltd. (a) | 7,457 | 26,301 | |||||||
MMI Holdings Ltd. | 10,191 | 16,601 | |||||||
Mondi Ltd. | 1,179 | 24,741 | |||||||
Reunert Ltd. | 8,542 | 37,954 | |||||||
Sappi Ltd. (b) | 2,935 | 15,154 | |||||||
Telkom SA SOC Ltd. | 5,371 | 23,626 | |||||||
156,161 |
See accompanying Notes to Financial Statements.
34
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
South Korea — (6.2%) | |||||||||
Bukwang Pharmaceutical Co. Ltd. | 355 | $ | 9,332 | ||||||
Cheil Worldwide, Inc. | 2,487 | 36,130 | |||||||
CJ O Shopping Co. Ltd. | 103 | 15,057 | |||||||
Daesang Corp. | 359 | 9,616 | |||||||
Daewoong Pharmaceutical Co. Ltd. | 334 | 24,595 | |||||||
DGB Financial Group, Inc. | 1,853 | 15,193 | |||||||
Dongbu HiTek Co. Ltd. (b) | 725 | 11,717 | |||||||
Green Cross Holdings Corp. | 481 | 12,513 | |||||||
GS Home Shopping, Inc. | 370 | 55,331 | |||||||
GS Retail Co. Ltd. | 395 | 17,646 | |||||||
Hanil Cement Co. Ltd. | 181 | 12,441 | |||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 1,825 | 60,068 | |||||||
JB Financial Group Co. Ltd. | 2,608 | 14,042 | |||||||
KB Insurance Co. Ltd. | 1,675 | 41,443 | |||||||
Korea Petrochemical Ind Co., Ltd. | 85 | 16,477 | |||||||
Korean Reinsurance Co. | 4,198 | 44,406 | |||||||
KT Skylife Co. Ltd. | 3,515 | 51,065 | |||||||
Kwang Dong Pharmaceutical Co. Ltd. | 738 | 6,058 | |||||||
LF Corp. | 1,750 | 35,195 | |||||||
LG Hausys Ltd. | 104 | 9,915 | |||||||
LS Industrial Systems Co. Ltd. | 681 | 25,970 | |||||||
Meritz Fire & Marine Insurance Co. Ltd. | 3,642 | 50,925 | |||||||
NongShim Co. Ltd. | 56 | 15,966 | |||||||
S&T Motiv Co. Ltd. | 69 | 2,982 | |||||||
S-1 Corp. | 13 | 1,198 | |||||||
Samsung Card Co. Ltd. | 147 | 6,687 | |||||||
Soulbrain Co. Ltd. | 296 | 16,368 | |||||||
Tongyang, Inc. | 4,588 | 12,060 | |||||||
630,396 | |||||||||
Spain — (0.5%) | |||||||||
Tecnicas Reunidas SA | 1,312 | 51,155 | |||||||
51,155 | |||||||||
Sweden — (0.5%) | |||||||||
Bilia AB | 1,447 | 35,721 | |||||||
Mycronic AB | 1,269 | 15,849 | |||||||
51,570 | |||||||||
Switzerland — (1.4%) | |||||||||
Autoneum Holding AG | 84 | 23,656 | |||||||
dorma+kaba Holding AG (b) | 3 | 2,225 | |||||||
Implenia AG | 306 | 21,686 | |||||||
Rieter Holding AG (b) | 234 | 47,626 | |||||||
Schweiter Technologies AG | 16 | 18,568 |
See accompanying Notes to Financial Statements.
35
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Switzerland (continued) | |||||||||
Valiant Holding AG | 85 | $ | 7,834 | ||||||
Valora Holding AG | 57 | 16,287 | |||||||
137,882 | |||||||||
Taiwan — (4.0%) | |||||||||
Accton Technology Corp. | 8,211 | 12,783 | |||||||
Coretronic Corp. | 22,791 | 24,757 | |||||||
Elite Material Co. Ltd. | 11,450 | 31,232 | |||||||
Everlight Electronics Co. Ltd. | 5,199 | 8,326 | |||||||
FLEXium Interconnect, Inc. | 199 | 592 | |||||||
Gigabyte Technology Co. Ltd. | 39,563 | 52,506 | |||||||
Mercuries Life Insurance Co. Ltd. | 2,141 | 1,014 | |||||||
Micro-Star International Co. Ltd. | 23,000 | 59,801 | |||||||
Powertech Technology, Inc. | 9,469 | 24,560 | |||||||
Primax Electronics Ltd. | 18,637 | 27,320 | |||||||
Realtek Semiconductor Corp. | 11,000 | 36,146 | |||||||
Shin Zu Shing Co. Ltd. | 8,238 | 27,201 | |||||||
Transcend Information, Inc. | 10,905 | 31,833 | |||||||
Tripod Technology Corp. | 5,465 | 12,152 | |||||||
Wan Hai Lines Ltd. | 40,691 | 20,641 | |||||||
Win Semiconductors Corp. | 4,966 | 14,575 | |||||||
Wistron NeWeb Corp. | 3,278 | 10,343 | |||||||
WT Microelectronics Co. Ltd. | 11,291 | 15,507 | |||||||
411,289 | |||||||||
United Kingdom — (4.0%) | |||||||||
BGEO Group PLC | 1,281 | 48,323 | |||||||
Big Yellow Group PLC | 811 | 8,217 | |||||||
Dart Group PLC | 4,364 | 23,752 | |||||||
Debenhams PLC | 7,846 | 5,682 | |||||||
Electrocomponents PLC | 667 | 2,942 | |||||||
Firstgroup PLC (b) | 5,850 | 8,032 | |||||||
Galliford Try PLC | 103 | 1,774 | |||||||
Go-Ahead Group PLC | 693 | 18,283 | |||||||
Greggs PLC | 2,823 | 37,184 | |||||||
Halfords Group PLC (a) | 1,050 | 4,782 | |||||||
Hansteen Holdings PLC (a) | 18,221 | 27,527 | |||||||
Interserve PLC | 858 | 4,102 | |||||||
LondonMetric Property PLC | 11,605 | 24,120 | |||||||
Lookers PLC | 3,215 | 4,782 | |||||||
Mitie Group PLC (a) | 968 | 2,412 | |||||||
Moneysupermarket.com Group PLC | 3,849 | 15,005 | |||||||
Plus500 Ltd. | 2,393 | 20,594 | |||||||
Safestore Holdings PLC | 7,211 | 36,063 | |||||||
Sports Direct International PLC (a)(b) | 3,634 | 13,562 |
See accompanying Notes to Financial Statements.
36
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United Kingdom (continued) | |||||||||
SVG Capital PLC (b) | 4,149 | $ | 36,568 | ||||||
UNITE Group PLC (The) | 3,640 | 30,002 | |||||||
WS Atkins PLC | 1,562 | 32,241 | |||||||
405,949 | |||||||||
United States — (43.0%) | |||||||||
Aaron’s, Inc. | 1,120 | 28,470 | |||||||
Abercrombie & Fitch Co. | 1,059 | 16,828 | |||||||
ACCO Brands Corp. (b) | 300 | 2,892 | |||||||
Aceto Corp. | 606 | 11,508 | |||||||
Air Methods Corp. (a)(b) | 1,102 | 34,702 | |||||||
Alon USA Energy, Inc. | 1,503 | 12,114 | |||||||
Altisource Portfolio Solutions SA (a)(b) | 312 | 10,109 | |||||||
Amedisys, Inc. (b) | 582 | 27,610 | |||||||
American Eagle Outfitters, Inc. (a) | 1,624 | 29,005 | |||||||
American Equity Investment Life Holding Co. | 551 | 9,769 | |||||||
American National Insurance Co. | 511 | 62,322 | |||||||
American Woodmark Corp. (b) | 101 | 8,138 | |||||||
Amkor Technology, Inc. (b) | 390 | 3,791 | |||||||
AMN Healthcare Services, Inc. (b) | 1,398 | 44,554 | |||||||
Anika Therapeutics, Inc. (b) | 1,027 | 49,142 | |||||||
Apollo Commercial Real Estate Finance, Inc. (a) | 2,247 | 36,783 | |||||||
Argan, Inc. (a) | 953 | 56,408 | |||||||
Argo Group International Holdings Ltd. | 526 | 29,677 | |||||||
Aspen Insurance Holdings Ltd. | 489 | 22,783 | |||||||
Atrion Corp. | 35 | 14,931 | |||||||
Atwood Oceanics, Inc. (a) | 3,871 | 33,639 | |||||||
AVX Corp. | 682 | 9,405 | |||||||
Banc of California, Inc. | 2,244 | 39,180 | |||||||
Barnes & Noble, Inc. | 991 | 11,198 | |||||||
Benchmark Electronics, Inc. (b) | 1,230 | 30,688 | |||||||
Big Lots, Inc. (a) | 571 | 27,265 | |||||||
BioTelemetry, Inc. (b) | 2,784 | 51,699 | |||||||
Blackstone Mortgage Trust, Inc. | 400 | 11,780 | |||||||
Boise Cascade Co. (b) | 867 | 22,022 | |||||||
Briggs & Stratton Corp. | 151 | 2,816 | |||||||
Buckle, Inc. (The) (a) | 187 | 4,494 | |||||||
CACI International, Inc. (b) | 165 | 16,649 | |||||||
Cal-Maine Foods, Inc. (a) | 817 | 31,487 | |||||||
Cambrex Corp. (b) | 353 | 15,694 | |||||||
Capella Education Co. | 43 | 2,496 | |||||||
Capstead Mortgage Corp. | 1,569 | 14,796 | |||||||
Cato Corp. (The) | 861 | 28,318 | |||||||
Chemed Corp. | 350 | 49,374 |
See accompanying Notes to Financial Statements.
37
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United States (continued) | |||||||||
Chemtura Corp. (b) | 267 | $ | 8,760 | ||||||
Chesapeake Utilities Corp. | 25 | 1,527 | |||||||
Chico’s FAS, Inc. | 880 | 10,472 | |||||||
Children’s Place, Inc. (The) (a) | 614 | 49,040 | |||||||
Cimpress NV (a)(b) | 108 | 10,927 | |||||||
Cincinnati Bell, Inc. (b) | 1,198 | 4,888 | |||||||
Cirrus Logic, Inc. (b) | 29 | 1,541 | |||||||
Clearwater Paper Corp. (b) | 598 | 38,673 | |||||||
Coca-Cola Bottling Co. Consolidated (a) | 93 | 13,779 | |||||||
Commercial Metals Co. | 553 | 8,953 | |||||||
Compass Diversified Holdings | 2,425 | 42,146 | |||||||
Compass Minerals International, Inc. (a) | 239 | 17,614 | |||||||
CONMED Corp. | 104 | 4,166 | |||||||
Convergys Corp. (a) | 922 | 28,047 | |||||||
Cooper Tire & Rubber Co. | 524 | 19,922 | |||||||
Cooper-Standard Holding, Inc. (b) | 534 | 52,759 | |||||||
Core-Mark Holding Co., Inc. | 958 | 34,296 | |||||||
Corporate Office Properties Trust | 123 | 3,487 | |||||||
CorVel Corp. (b) | 1,111 | 42,662 | |||||||
CSG Systems International, Inc. | 479 | 19,797 | |||||||
Cynosure, Inc. (b) | 584 | 29,749 | |||||||
CYS Investments, Inc. | 1,852 | 16,149 | |||||||
Dean Foods Co. | 818 | 13,415 | |||||||
Delek US Holdings, Inc. | 452 | 7,815 | |||||||
DHT Holdings, Inc. (a) | 5,090 | 21,327 | |||||||
Dolby Laboratories, Inc. | 482 | 26,168 | |||||||
Domtar Corp. | 471 | 17,488 | |||||||
Douglas Dynamics, Inc. | 587 | 18,749 | |||||||
Dril-Quip, Inc. (b) | 684 | 38,126 | |||||||
DSW, Inc. | 556 | 11,387 | |||||||
EarthLink Holdings Corp. | 4,725 | 29,295 | |||||||
Emergent BioSolutions, Inc. (b) | 1,116 | 35,187 | |||||||
Employers Holdings, Inc. | 748 | 22,313 | |||||||
Ensign Group, Inc. (The) (a) | 1,059 | 21,318 | |||||||
Enstar Group Ltd. (b) | 223 | 36,677 | |||||||
ePlus, Inc. (b) | 401 | 37,858 | |||||||
Essendant, Inc. | 439 | 9,008 | |||||||
Express, Inc. (b) | 276 | 3,254 | |||||||
Fabrinet (b) | 1,273 | 56,763 | |||||||
FBL Financial Group, Inc. | 520 | 33,264 | |||||||
Finish Line, Inc. (The) | 399 | 9,209 | |||||||
First Busey Corp. | 92 | 2,079 | |||||||
First Interstate BancSystem, Inc. | 1,657 | 52,212 |
See accompanying Notes to Financial Statements.
38
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United States (continued) | |||||||||
Forum Energy Technologies, Inc. (a)(b) | 567 | $ | 11,261 | ||||||
Francesca’s Holdings Corp. (b) | 110 | 1,697 | |||||||
Fresh Del Monte Produce, Inc. | 390 | 23,361 | |||||||
FutureFuel Corp. | 431 | 4,862 | |||||||
Genesco, Inc. (b) | 837 | 45,583 | |||||||
GEO Group, Inc. (The) (a) | 1,190 | 28,298 | |||||||
Getty Realty Corp. | 232 | 5,552 | |||||||
Globus Medical, Inc. (b) | 1,655 | 37,353 | |||||||
Green Dot Corp. (b) | 975 | 22,483 | |||||||
Greif, Inc. | 295 | 14,629 | |||||||
Guess?, Inc. | 664 | 9,701 | |||||||
H&E Equipment Services, Inc. | 3,351 | 56,163 | |||||||
Haemonetics Corp. (b) | 47 | 1,702 | |||||||
Hawaiian Holdings, Inc. (b) | 1,021 | 49,621 | |||||||
Heritage Financial Corp. | 1,243 | 22,312 | |||||||
Hibbett Sports, Inc. (a)(b) | 88 | 3,511 | |||||||
Horace Mann Educators Corp. | 595 | 21,807 | |||||||
Hub Group, Inc. (b) | 114 | 4,647 | |||||||
ICF International, Inc. (b) | 57 | 2,526 | |||||||
ICU Medical, Inc. (b) | 129 | 16,303 | |||||||
II-VI, Inc. (b) | 414 | 10,073 | |||||||
Infinity Property & Casualty Corp. | 257 | 21,236 | |||||||
Ingles Markets, Inc. | 650 | 25,701 | |||||||
Innospec, Inc. | 714 | 43,418 | |||||||
Insight Enterprises, Inc. (b) | 1,235 | 40,199 | |||||||
Insperity, Inc. | 691 | 50,194 | |||||||
Integra LifeSciences Holdings Corp. (b) | 390 | 32,194 | |||||||
Investment Technology Group, Inc. | 528 | 9,050 | |||||||
Kaman Corp. (a) | 281 | 12,342 | |||||||
Kelly Services, Inc. | 103 | 1,980 | |||||||
Kindred Healthcare, Inc. | 1,910 | 19,520 | |||||||
Kraton Corp. (b) | 601 | 21,059 | |||||||
Kulicke & Soffa Industries, Inc. (b) | 933 | 12,064 | |||||||
Landstar System, Inc. | 165 | 11,233 | |||||||
Lexington Realty Trust | 1,513 | 15,584 | |||||||
Lexmark International, Inc. | 542 | 21,658 | |||||||
LHC Group, Inc. (b) | 1,337 | 49,309 | |||||||
LifePoint Health, Inc. (b) | 553 | 32,754 | |||||||
Luminex Corp. (b) | 2,375 | 53,960 | |||||||
Magellan Health, Inc. (b) | 782 | 42,017 | |||||||
ManTech International Corp. | 367 | 13,832 | |||||||
Masimo Corp. (b) | 382 | 22,725 | |||||||
McDermott International, Inc. (b) | 5,841 | 29,263 |
See accompanying Notes to Financial Statements.
39
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United States (continued) | |||||||||
Mercer International, Inc. | 1,662 | $ | 14,077 | ||||||
Meredith Corp. | 23 | 1,196 | |||||||
Meridian Bioscience, Inc. | 1,030 | 19,869 | |||||||
MFA Financial, Inc. | 4,523 | 33,832 | |||||||
MicroStrategy, Inc. (b) | 61 | 10,214 | |||||||
MRC Global, Inc. (b) | 1,381 | 22,690 | |||||||
MSG Networks, Inc. (b) | 1,214 | 22,593 | |||||||
Myriad Genetics, Inc. (b) | 171 | 3,519 | |||||||
National Presto Industries, Inc. (a) | 283 | 24,845 | |||||||
National Western Life Group, Inc. | 235 | 48,262 | |||||||
Navigators Group, Inc. (The) | 539 | 52,240 | |||||||
Neenah Paper, Inc. | 55 | 4,346 | |||||||
Net 1 UEPS Technologies, Inc. (b) | 1,039 | 8,894 | |||||||
NETGEAR, Inc. (b) | 20 | 1,210 | |||||||
NeuStar, Inc. (b) | 785 | 20,873 | |||||||
Northwest Natural Gas Co. | 33 | 1,984 | |||||||
NuVasive, Inc. (b) | 175 | 11,666 | |||||||
Oil States International, Inc. (b) | 888 | 28,034 | |||||||
Oritani Financial Corp. | 174 | 2,735 | |||||||
Owens & Minor, Inc. | 1,550 | 53,831 | |||||||
Par Pacific Holdings, Inc. (b) | 220 | 2,878 | |||||||
PDL BioPharma, Inc. | 16,242 | 54,411 | |||||||
PharMerica Corp. (b) | 479 | 13,446 | |||||||
Photronics, Inc. (b) | 4,308 | 44,415 | |||||||
Plexus Corp. (b) | 135 | 6,315 | |||||||
Quality Systems, Inc. | 1,903 | 21,542 | |||||||
Rofin-Sinar Technologies, Inc. (b) | 1,017 | 32,727 | |||||||
RPC, Inc. (a)(b) | 840 | 14,112 | |||||||
RPX Corp. (b) | 3,551 | 37,960 | |||||||
Safety Insurance Group, Inc. | 60 | 4,033 | |||||||
Sanderson Farms, Inc. | 487 | 46,913 | |||||||
Sanmina Corp. (b) | 1,885 | 53,666 | |||||||
Scholastic Corp. | 119 | 4,684 | |||||||
Schweitzer-Mauduit International, Inc. | 987 | 38,059 | |||||||
SciClone Pharmaceuticals, Inc. (b) | 5,062 | 51,885 | |||||||
Select Comfort Corp. (b) | 916 | 19,786 | |||||||
Select Income REIT | 624 | 16,786 | |||||||
Select Medical Holdings Corp. (b) | 447 | 6,035 | |||||||
Selective Insurance Group, Inc. | 866 | 34,519 | |||||||
Shoe Carnival, Inc. (a) | 1,708 | 45,535 | |||||||
Smith & Wesson Holding Corp. (a)(b) | 116 | 3,084 | |||||||
SpartanNash Co. | 652 | 18,856 | |||||||
Steelcase, Inc. | 959 | 13,321 |
See accompanying Notes to Financial Statements.
40
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
United States (continued) | |||||||||
Stepan Co. | 739 | $ | 53,696 | ||||||
Sturm Ruger & Co., Inc. | 40 | 2,310 | |||||||
Summit Hotel Properties, Inc. | 1,236 | 16,266 | |||||||
Supernus Pharmaceuticals, Inc. (b) | 291 | 7,196 | |||||||
Sykes Enterprises, Inc. (b) | 1,543 | 43,405 | |||||||
Tech Data Corp. (b) | 652 | 55,231 | |||||||
Teekay Tankers Ltd. | 319 | 807 | |||||||
TeleTech Holdings, Inc. | 628 | 18,206 | |||||||
Tessera Technologies, Inc. | 680 | 26,139 | |||||||
TriCo Bancshares | 1,097 | 29,367 | |||||||
Triple-S Management Corp. (a)(b) | 2,313 | 50,724 | |||||||
TrustCo Bank Corp. | 4,947 | 35,074 | |||||||
UniFirst Corp. | 62 | 8,175 | |||||||
United Fire Group, Inc. | 715 | 30,259 | |||||||
United States Cellular Corp. (b) | 1,187 | 43,136 | |||||||
Universal Corp. | 455 | 26,490 | |||||||
US Physical Therapy, Inc. | 213 | 13,355 | |||||||
USANA Health Sciences, Inc. (b) | 28 | 3,874 | |||||||
VASCO Data Security International, Inc. (b) | 937 | 16,501 | |||||||
Viad Corp. | 346 | 12,757 | |||||||
Vishay Intertechnology, Inc. (a) | 347 | 4,889 | |||||||
Vonage Holdings Corp. (b) | 1,492 | 9,862 | |||||||
Wabash National Corp. (b) | 617 | 8,786 | |||||||
Walker & Dunlop, Inc. (b) | 576 | 14,550 | |||||||
Weis Markets, Inc. | 475 | 25,175 | |||||||
4,379,647 | |||||||||
TOTAL COMMON STOCKS (Cost $9,248,735) | 10,132,409 | ||||||||
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.5%) (Cost $9,248,735) | 10,132,409 | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (8.4%) (Cost $855,737) | |||||||||
State Street Navigator Securities Lending Prime Portfolio, 0.30% * | 855,737 | 855,737 | |||||||
TOTAL INVESTMENTS — (107.9%) (Cost $10,104,472) | 10,988,146 | ||||||||
OTHER ASSETS & LIABILITIES — (-7.9%) | (803,539 | ) | |||||||
NET ASSETS — (100.0%) | $ | 10,184,607 |
* | Represents the current daily yield at period end |
(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. |
See accompanying Notes to Financial Statements.
41
LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
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 | $ | 855,737 | $ | 855,737 | ||||
Total Borrowings | $ | 855,737 | $ | 855,737 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ | 855,737 |
(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.
42
LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
COMMON STOCKS — (99.9%) | |||||||||
Consumer Discretionary — (11.1%) | |||||||||
AutoZone, Inc. (a) | 79 | $ | 60,699 | ||||||
Bed Bath & Beyond, Inc. | 612 | 26,383 | |||||||
Best Buy Co., Inc. (b) | 5,057 | 193,076 | |||||||
Burlington Stores, Inc. (a) | 528 | 42,779 | |||||||
Coach, Inc. | 797 | 29,138 | |||||||
Comcast Corp. | 694 | 46,040 | |||||||
Cracker Barrel Old Country Store, Inc. (b) | 118 | 15,602 | |||||||
Delphi Automotive PLC | 467 | 33,306 | |||||||
Dick’s Sporting Goods, Inc. | 437 | 24,787 | |||||||
Dollar General Corp. | 1,032 | 72,230 | |||||||
Foot Locker, Inc. | 603 | 40,835 | |||||||
Ford Motor Co. | 7,548 | 91,104 | |||||||
GameStop Corp. (b) | 3,784 | 104,401 | |||||||
Gap, Inc. (The) (b) | 4,728 | 105,151 | |||||||
General Motors Co. | 7,098 | 225,503 | |||||||
Genuine Parts Co. | 266 | 26,720 | |||||||
Hasbro, Inc. | 78 | 6,188 | |||||||
Home Depot, Inc. (The) | 848 | 109,121 | |||||||
Johnson Controls International PLC | 1,489 | 69,283 | |||||||
Kohl’s Corp. | 1,388 | 60,725 | |||||||
L Brands, Inc. | 1,812 | 128,235 | |||||||
Lowe’s Cos., Inc. | 1,740 | 125,645 | |||||||
Macy’s, Inc. | 1,465 | 54,278 | |||||||
McDonald’s Corp. | 328 | 37,838 | |||||||
Michael Kors Holdings Ltd. (a) | 5,216 | 244,057 | |||||||
Michaels Cos., Inc. (The) (a) | 1,326 | 32,049 | |||||||
Murphy USA, Inc. (a) | 1,630 | 116,317 | |||||||
NIKE, Inc. | 808 | 42,541 | |||||||
Nordstrom, Inc. (b) | 334 | 17,328 | |||||||
O’Reilly Automotive, Inc. (a) | 131 | 36,694 | |||||||
Omnicom Group, Inc. | 118 | 10,030 | |||||||
Ralph Lauren Corp. | 682 | 68,978 | |||||||
Ross Stores, Inc. | 1,345 | 86,484 | |||||||
Skechers U.S.A., Inc. (a) | 1,671 | 38,266 | |||||||
Staples, Inc. | 5,016 | 42,887 | |||||||
Target Corp. (b) | 2,258 | 155,079 | |||||||
Tenneco, Inc. (a) | 1,841 | 107,275 | |||||||
Thor Industries, Inc. | 297 | 25,156 | |||||||
TJX Cos., Inc. (The) | 1,470 | 109,927 | |||||||
Tupperware Brands Corp. | 1,248 | 81,582 | |||||||
Urban Outfitters, Inc. (a)(b) | 2,418 | 83,469 | |||||||
VF Corp. | 108 | 6,053 |
See accompanying Notes to Financial Statements.
43
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Consumer Discretionary (continued) | |||||||||
Viacom, Inc. | 1,619 | $ | 61,684 | ||||||
Yum! Brands, Inc. | 201 | 18,253 | |||||||
3,113,176 | |||||||||
Consumer Staples — (7.6%) | |||||||||
Altria Group, Inc. | 1,182 | 74,738 | |||||||
Archer-Daniels-Midland Co. | 3,253 | 137,179 | |||||||
Campbell Soup Co. | 721 | 39,439 | |||||||
Casey’s General Stores, Inc. | 420 | 50,463 | |||||||
Clorox Co. (The) (b) | 110 | 13,770 | |||||||
Costco Wholesale Corp. | 448 | 68,325 | |||||||
CVS Health Corp. | 212 | 18,866 | |||||||
Dr Pepper Snapple Group, Inc. | 459 | 41,911 | |||||||
Estee Lauder Cos., Inc. (The) | 1,368 | 121,150 | |||||||
General Mills, Inc. | 329 | 21,017 | |||||||
Herbalife Ltd. (a)(b) | 4,595 | 284,844 | |||||||
Hershey Co. (The) | 750 | 71,700 | |||||||
Ingredion, Inc. | 66 | 8,782 | |||||||
Kellogg Co. | 318 | 24,635 | |||||||
Kimberly-Clark Corp. | 353 | 44,527 | |||||||
Kroger Co. (The) | 5,402 | 160,331 | |||||||
Mead Johnson Nutrition Co. | 93 | 7,348 | |||||||
Nu Skin Enterprises, Inc. | 1,300 | 84,214 | |||||||
PepsiCo, Inc. | 577 | 62,760 | |||||||
Philip Morris International, Inc. | 955 | 92,845 | |||||||
Pilgrim’s Pride Corp. | 8,868 | 187,292 | |||||||
Procter & Gamble Co. (The) | 241 | 21,630 | |||||||
Reynolds American, Inc. | 325 | 15,324 | |||||||
Sysco Corp. | 3,332 | 163,301 | |||||||
Tyson Foods, Inc. | 1,064 | 79,449 | |||||||
Wal-Mart Stores, Inc. | 2,568 | 185,204 | |||||||
Walgreens Boots Alliance, Inc. | 597 | 48,130 | |||||||
Whole Foods Market, Inc. | 257 | 7,286 | |||||||
2,136,460 | |||||||||
Energy — (8.7%) | |||||||||
Antero Resources Corp. (a) | 5,247 | 141,407 | |||||||
Chevron Corp. | 1,783 | 183,506 | |||||||
Continental Resources, Inc. (a)(b) | 2,774 | 144,137 | |||||||
Exxon Mobil Corp. | 2,220 | 193,762 | |||||||
FMC Technologies, Inc. (a) | 3,874 | 114,942 | |||||||
Halliburton Co. | 660 | 29,621 | |||||||
Helmerich & Payne, Inc. (b) | 1,771 | 119,188 | |||||||
HollyFrontier Corp. | 1,966 | 48,167 | |||||||
Marathon Petroleum Corp. | 6,223 | 252,592 |
See accompanying Notes to Financial Statements.
44
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Energy (continued) | |||||||||
Oceaneering International, Inc. | 2,781 | $ | 76,505 | ||||||
ONEOK, Inc. | 2,051 | 105,401 | |||||||
Phillips 66 | 3,506 | 282,408 | |||||||
Schlumberger Ltd. | 326 | 25,637 | |||||||
Spectra Energy Corp. (b) | 1,215 | 51,941 | |||||||
Tesoro Corp. | 1,858 | 147,822 | |||||||
Valero Energy Corp. | 5,805 | 307,665 | |||||||
Western Refining, Inc. | 4,116 | 108,909 | |||||||
World Fuel Services Corp. | 2,405 | 111,255 | |||||||
2,444,865 | |||||||||
Financials — (14.4%) | |||||||||
Aflac, Inc. | 3,153 | 226,606 | |||||||
Alleghany Corp. (a) | 212 | 111,304 | |||||||
Allstate Corp. (The) | 2,986 | 206,572 | |||||||
American Financial Group, Inc. | 2,258 | 169,350 | |||||||
American International Group, Inc. | 529 | 31,391 | |||||||
Ameriprise Financial, Inc. | 778 | 77,621 | |||||||
Aon PLC | 517 | 58,157 | |||||||
Assurant, Inc. | 1,062 | 97,970 | |||||||
Bank of America Corp. | 4,570 | 71,521 | |||||||
BB&T Corp. | 2,114 | 79,740 | |||||||
Berkshire Hathaway, Inc. (a) | 771 | 111,386 | |||||||
BlackRock, Inc. | 66 | 23,922 | |||||||
Capital One Financial Corp. | 808 | 58,039 | |||||||
Chubb Ltd. | 757 | 95,117 | |||||||
Cincinnati Financial Corp. | 303 | 22,852 | |||||||
Citigroup, Inc. | 1,554 | 73,395 | |||||||
CME Group, Inc. | 572 | 59,785 | |||||||
CNA Financial Corp. | 1,085 | 37,335 | |||||||
CNO Financial Group, Inc. | 2,158 | 32,953 | |||||||
Cullen/Frost Bankers, Inc. (b) | 1,315 | 94,601 | |||||||
Discover Financial Services | 1,355 | 76,625 | |||||||
Erie Indemnity Co. | 700 | 71,449 | |||||||
Fifth Third Bancorp | 790 | 16,163 | |||||||
First American Financial Corp. | 2,412 | 94,743 | |||||||
First Citizens BancShares, Inc. | 181 | 53,194 | |||||||
Hanover Insurance Group, Inc. (The) | 940 | 70,895 | |||||||
JPMorgan Chase & Co. | 4,228 | 281,543 | |||||||
Lincoln National Corp. | 1,167 | 54,826 | |||||||
Marsh & McLennan Cos., Inc. | 430 | 28,918 | |||||||
MetLife, Inc. | 5,779 | 256,761 | |||||||
Old Republic International Corp. | 10,926 | 192,516 | |||||||
PNC Financial Services Group, Inc. (The) | 913 | 82,252 |
See accompanying Notes to Financial Statements.
45
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Financials (continued) | |||||||||
Popular, Inc. | 1,309 | $ | 50,030 | ||||||
Principal Financial Group, Inc. | 3,059 | 157,569 | |||||||
Progressive Corp. (The) | 4,670 | 147,105 | |||||||
Regions Financial Corp. | 5,292 | 52,232 | |||||||
Reinsurance Group of America, Inc. | 890 | 96,067 | |||||||
SunTrust Banks, Inc. (b) | 2,515 | 110,157 | |||||||
Synchrony Financial | 880 | 24,640 | |||||||
Travelers Cos., Inc. (The) | 1,831 | 209,741 | |||||||
Unum Group | 1,204 | 42,513 | |||||||
US Bancorp | 342 | 14,668 | |||||||
Wells Fargo & Co. | 2,588 | 114,597 | |||||||
4,038,821 | |||||||||
Health Care — (17.0%) | |||||||||
Abbott Laboratories | 1,159 | 49,014 | |||||||
AbbVie, Inc. (b) | 1,441 | 90,884 | |||||||
Aetna, Inc. | 2,049 | 236,557 | |||||||
Amgen, Inc. | 803 | 133,948 | |||||||
Anthem, Inc. | 1,836 | 230,069 | |||||||
Baxter International, Inc. | 2,490 | 118,524 | |||||||
Becton Dickinson and Co. | 60 | 10,784 | |||||||
Bio-Rad Laboratories, Inc. (a) | 260 | 42,591 | |||||||
Biogen, Inc. (a) | 362 | 113,317 | |||||||
Boston Scientific Corp. (a) | 3,331 | 79,278 | |||||||
Bristol-Myers Squibb Co. | 485 | 26,151 | |||||||
Cardinal Health, Inc. | 2,074 | 161,150 | |||||||
Centene Corp. (a) | 1,339 | 89,659 | |||||||
Cerner Corp. (a) | 159 | 9,818 | |||||||
Cigna Corp. | 323 | 42,093 | |||||||
CR Bard, Inc. | 239 | 53,603 | |||||||
Danaher Corp. | 962 | 75,411 | |||||||
DaVita HealthCare Partners, Inc. (a) | 1,939 | 128,110 | |||||||
Edwards Lifesciences Corp. (a) | 1,089 | 131,290 | |||||||
Eli Lilly & Co. | 1,419 | 113,889 | |||||||
Express Scripts Holding Co. (a) | 2,992 | 211,026 | |||||||
Gilead Sciences, Inc. | 1,987 | 157,212 | |||||||
HCA Holdings, Inc. (a) | 3,284 | 248,369 | |||||||
Henry Schein, Inc. (a) | 312 | 50,850 | |||||||
Humana, Inc. | 1,180 | 208,730 | |||||||
IDEXX Laboratories, Inc. (a)(b) | 73 | 8,229 | |||||||
Intuitive Surgical, Inc. (a) | 62 | 44,940 | |||||||
Johnson & Johnson | 1,831 | 216,296 | |||||||
Laboratory Corp. of America Holdings (a) | 154 | 21,172 | |||||||
McKesson Corp. | 512 | 85,376 |
See accompanying Notes to Financial Statements.
46
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Health Care (continued) | |||||||||
Merck & Co., Inc. | 3,270 | $ | 204,081 | ||||||
Molina Healthcare, Inc. (a)(b) | 1,873 | 109,233 | |||||||
PAREXEL International Corp. (a) | 1,593 | 110,634 | |||||||
Patterson Cos., Inc. | 399 | 18,330 | |||||||
Pfizer, Inc. | 3,843 | 130,162 | |||||||
Quest Diagnostics, Inc. | 1,426 | 120,682 | |||||||
Quintiles Transnational Holdings, Inc. (a) | 403 | 32,667 | |||||||
St Jude Medical, Inc. | 1,330 | 106,081 | |||||||
Stryker Corp. | 899 | 104,653 | |||||||
United Therapeutics Corp. (a) | 464 | 54,789 | |||||||
UnitedHealth Group, Inc. | 1,654 | 231,560 | |||||||
Varian Medical Systems, Inc. (a) | 497 | 49,466 | |||||||
VCA, Inc. (a) | 53 | 3,709 | |||||||
WellCare Health Plans, Inc. (a) | 2,096 | 245,421 | |||||||
Zoetis, Inc. | 1,133 | 58,927 | |||||||
4,768,735 | |||||||||
Industrials — (9.9%) | |||||||||
3M Co. | 569 | 100,275 | |||||||
American Airlines Group, Inc. | 363 | 13,289 | |||||||
Boeing Co. (The) (b) | 518 | 68,241 | |||||||
Caterpillar, Inc. | 821 | 72,880 | |||||||
CH Robinson Worldwide, Inc. | 311 | 21,913 | |||||||
CSX Corp. | 1,113 | 33,947 | |||||||
Cummins, Inc. | 1,607 | 205,937 | |||||||
Deere & Co. (b) | 240 | 20,484 | |||||||
Delta Air Lines, Inc. | 2,437 | 95,920 | |||||||
Deluxe Corp. | 463 | 30,938 | |||||||
Eaton Corp. PLC | 2,163 | 142,131 | |||||||
Emerson Electric Co. | 2,585 | 140,908 | |||||||
FedEx Corp. | 241 | 42,098 | |||||||
Fluor Corp. | 476 | 24,428 | |||||||
General Dynamics Corp. | 559 | 86,734 | |||||||
HD Supply Holdings, Inc. (a) | 179 | 5,724 | |||||||
Honeywell International, Inc. | 329 | 38,358 | |||||||
Huntington Ingalls Industries, Inc. | 484 | 74,255 | |||||||
Illinois Tool Works, Inc. | 710 | 85,086 | |||||||
Ingersoll-Rand PLC | 1,282 | 87,099 | |||||||
Jacobs Engineering Group, Inc. (a) | 345 | 17,843 | |||||||
JetBlue Airways Corp. (a) | 2,098 | 36,170 | |||||||
Lockheed Martin Corp. | 407 | 97,566 | |||||||
ManpowerGroup, Inc. | 623 | 45,018 | |||||||
MSC Industrial Direct Co., Inc. | 369 | 27,088 | |||||||
Norfolk Southern Corp. | 229 | 22,227 |
See accompanying Notes to Financial Statements.
47
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Industrials (continued) | |||||||||
Northrop Grumman Corp. | 741 | $ | 158,537 | ||||||
PACCAR, Inc. | 889 | 52,255 | |||||||
Parker-Hannifin Corp. | 168 | 21,089 | |||||||
Pitney Bowes, Inc. | 2,742 | 49,795 | |||||||
Raytheon Co. | 529 | 72,013 | |||||||
Republic Services, Inc. | 215 | 10,847 | |||||||
Robert Half International, Inc. | 1,123 | 42,517 | |||||||
Rockwell Automation, Inc. | 140 | 17,128 | |||||||
RR Donnelley & Sons Co. | 5,786 | 90,956 | |||||||
Southwest Airlines Co. | 3,080 | 119,781 | |||||||
Spirit AeroSystems Holdings, Inc. (a) | 576 | 25,655 | |||||||
Stanley Black & Decker, Inc. | 761 | 93,588 | |||||||
United Continental Holdings, Inc. (a) | 1,733 | 90,931 | |||||||
United Parcel Service, Inc. | 1,182 | 129,264 | |||||||
United Rentals, Inc. (a) | 337 | 26,451 | |||||||
United Technologies Corp. | 393 | 39,929 | |||||||
Waste Management, Inc. | 868 | 55,344 | |||||||
WW Grainger, Inc. (b) | 238 | 53,512 | |||||||
2,786,149 | |||||||||
Information Technology — (18.8%) | |||||||||
Accenture PLC | 777 | 94,926 | |||||||
Activision Blizzard, Inc. | 937 | 41,509 | |||||||
Alphabet, Inc. (a) | 51 | 41,007 | |||||||
Amphenol Corp. | 133 | 8,634 | |||||||
Analog Devices, Inc. | 1,261 | 81,271 | |||||||
Apple, Inc. | 1,442 | 163,018 | |||||||
Applied Materials, Inc. | 4,871 | 146,861 | |||||||
Arrow Electronics, Inc. (a) | 2,363 | 151,161 | |||||||
Automatic Data Processing, Inc. | 161 | 14,200 | |||||||
Avnet, Inc. | 1,865 | 76,577 | |||||||
Booz Allen Hamilton Holding Corp. | 1,105 | 34,929 | |||||||
Broadcom Ltd. | 134 | 23,118 | |||||||
Broadridge Financial Solutions, Inc. | 177 | 11,999 | |||||||
Brocade Communications Systems, Inc. | 9,639 | 88,968 | |||||||
CA, Inc. | 820 | 27,126 | |||||||
CDW Corp. | 255 | 11,661 | |||||||
Cisco Systems, Inc. | 6,657 | 211,160 | |||||||
Cognizant Technology Solutions Corp. (a) | 538 | 25,668 | |||||||
Computer Sciences Corp. | 1,187 | 61,973 | |||||||
Corning, Inc. | 4,290 | 101,458 | |||||||
DST Systems, Inc. | 165 | 19,457 | |||||||
eBay, Inc. (a) | 2,885 | 94,916 | |||||||
Electronic Arts, Inc. (a) | 2,200 | 187,880 |
See accompanying Notes to Financial Statements.
48
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Information Technology (continued) | |||||||||
First Solar, Inc. (a)(b) | 3,388 | $ | 133,792 | ||||||
Fiserv, Inc. (a) | 19 | 1,890 | |||||||
Flextronics International Ltd. (a) | 14,266 | 194,303 | |||||||
Genpact Ltd. (a) | 3,705 | 88,735 | |||||||
Hewlett Packard Enterprise Co. | 11,745 | 267,199 | |||||||
HP, Inc. | 22,692 | 352,407 | |||||||
IAC/InterActiveCorp | 248 | 15,493 | |||||||
Ingram Micro, Inc. | 1,534 | 54,702 | |||||||
Integrated Device Technology, Inc. (a) | 1,168 | 26,981 | |||||||
Intel Corp. | 8,305 | 313,514 | |||||||
International Business Machines Corp. | 1,424 | 226,202 | |||||||
Intuit, Inc. | 685 | 75,357 | |||||||
Jabil Circuit, Inc. | 3,770 | 82,261 | |||||||
Keysight Technologies, Inc. (a) | 5,382 | 170,556 | |||||||
Lam Research Corp. (b) | 119 | 11,270 | |||||||
Leidos Holdings, Inc. | 742 | 32,114 | |||||||
Micron Technology, Inc. (a) | 6,029 | 107,196 | |||||||
Microsoft Corp. | 1,409 | 81,158 | |||||||
NetApp, Inc. | 3,580 | 128,236 | |||||||
NVIDIA Corp. (b) | 3,154 | 216,112 | |||||||
ON Semiconductor Corp. (a) | 403 | 4,965 | |||||||
Oracle Corp. | 1,428 | 56,092 | |||||||
Paychex, Inc. | 993 | 57,465 | |||||||
QUALCOMM, Inc. | 1,048 | 71,788 | |||||||
Rackspace Hosting, Inc. (a) | 1,866 | 59,134 | |||||||
Seagate Technology PLC | 2,463 | 94,949 | |||||||
SYNNEX Corp. | 132 | 15,062 | |||||||
Syntel, Inc. (a) | 55 | 2,305 | |||||||
TE Connectivity Ltd. | 680 | 43,778 | |||||||
Teradyne, Inc. | 364 | 7,855 | |||||||
Texas Instruments, Inc. | 2,088 | 146,536 | |||||||
VMware, Inc. (a)(b) | 3,408 | 249,977 | |||||||
Western Digital Corp. (b) | 1,660 | 97,060 | |||||||
Western Union Co. (The) | 3,769 | 78,471 | |||||||
Xerox Corp. | 1,073 | 10,869 | |||||||
5,295,261 | |||||||||
Materials — (5.1%) | |||||||||
Air Products & Chemicals, Inc. | 65 | 9,772 | |||||||
AptarGroup, Inc. | 173 | 13,392 | |||||||
Avery Dennison Corp. | 1,281 | 99,649 | |||||||
Bemis Co., Inc. | 714 | 36,421 | |||||||
Dow Chemical Co. (The) | 3,924 | 203,381 | |||||||
EI du Pont de Nemours & Co. | 652 | 43,664 |
See accompanying Notes to Financial Statements.
49
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Materials (continued) | |||||||||
International Paper Co. | 3,264 | $ | 156,607 | ||||||
LyondellBasell Industries NV | 3,210 | 258,919 | |||||||
Monsanto Co. | 684 | 69,905 | |||||||
Newmont Mining Corp. | 313 | 12,298 | |||||||
Nucor Corp. | 1,329 | 65,719 | |||||||
Packaging Corp. of America | 915 | 74,353 | |||||||
PPG Industries, Inc. | 361 | 37,313 | |||||||
Reliance Steel & Aluminum Co. | 1,856 | 133,688 | |||||||
Scotts Miracle-Gro Co. (The) | 569 | 47,381 | |||||||
Sherwin-Williams Co. (The) | 316 | 87,424 | |||||||
Sonoco Products Co. | 1,398 | 73,856 | |||||||
Valspar Corp. (The) | 48 | 5,091 | |||||||
WestRock Co. | 335 | 16,241 | |||||||
1,445,074 | |||||||||
Real Estate — (2.2%) | |||||||||
Chimera Investment Corp. | 3,191 | 50,897 | |||||||
Corrections Corp. of America | 8,648 | 119,948 | |||||||
Crown Castle International Corp. | 150 | 14,131 | |||||||
EPR Properties | 36 | 2,835 | |||||||
Equity Residential | 918 | 59,055 | |||||||
Hospitality Properties Trust | 1,032 | 30,671 | |||||||
Howard Hughes Corp. (The) (a) | 246 | 28,167 | |||||||
Lamar Advertising Co. | 397 | 25,928 | |||||||
Liberty Property Trust | 656 | 26,470 | |||||||
Medical Properties Trust, Inc. | 3,425 | 50,587 | |||||||
Piedmont Office Realty Trust, Inc. | 799 | 17,394 | |||||||
Prologis, Inc. | 762 | 40,797 | |||||||
Realty Income Corp. | 43 | 2,878 | |||||||
Senior Housing Properties Trust | 1,962 | 44,557 | |||||||
Ventas, Inc. | 795 | 56,151 | |||||||
Welltower, Inc. | 770 | 57,573 | |||||||
628,039 | |||||||||
Telecommunication Services — (2.4%) | |||||||||
AT&T, Inc. | 4,400 | 178,684 | |||||||
CenturyLink, Inc. | 5,028 | 137,918 | |||||||
Sprint Corp. (a)(b) | 13,551 | 89,843 | |||||||
T-Mobile US, Inc. (a) | 2,176 | 101,663 | |||||||
Verizon Communications, Inc. | 3,007 | 156,304 | |||||||
664,412 | |||||||||
Utilities — (2.7%) | |||||||||
American Electric Power Co., Inc. | 928 | 59,587 | |||||||
Consolidated Edison, Inc. | 1,096 | 82,529 | |||||||
DTE Energy Co. | 707 | 66,225 |
See accompanying Notes to Financial Statements.
50
LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016
![]() | ![]() | ![]() | |||||||
Shares | Value | ||||||||
Utilities (continued) | |||||||||
Edison International | 1,099 | $ | 79,403 | ||||||
Exelon Corp. | 3,418 | 113,785 | |||||||
NextEra Energy, Inc. | 141 | 17,247 | |||||||
PG&E Corp. | 709 | 43,369 | |||||||
PPL Corp. | 1,964 | 67,895 | |||||||
Public Service Enterprise Group, Inc. | 2,683 | 112,337 | |||||||
Southern Co. (The) | 761 | 39,039 | |||||||
Xcel Energy, Inc. | 1,633 | 67,182 | |||||||
748,598 | |||||||||
TOTAL COMMON STOCKS (Cost $26,277,805) | 28,069,590 | ||||||||
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.9%) (Cost $26,277,805) | 28,069,590 | ||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (2.6%) (Cost $745,940) | |||||||||
State Street Navigator Securities Lending Prime Portfolio, 0.30% * | 745,940 | 745,940 | |||||||
TOTAL INVESTMENTS — (102.5%) (Cost $27,023,745) | 28,815,530 | ||||||||
OTHER ASSETS & LIABILITIES — (-2.5%) | (704,815 | ) | |||||||
NET ASSETS — (100.0%) | $ | 28,110,715 |
* | Represents the current daily yield at period end |
(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 | $ | 745,940 | $ | 745,940 | ||||
Total Borrowings | $ | 745,940 | $ | 745,940 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ | 745,940 |
(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.
51
LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2016
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
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 * | $ | 37,177,301 | $ | 24,063,188 | $ | 10,988,146 | $ | 28,815,530 | ||||||||
Foreign currency, at value | 55,500 | 415,182 | 5,002 | — | ||||||||||||
Cash | 28,898 | — | 12,999 | 8,428 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 52 | 13,222 | — | — | ||||||||||||
Dividends | 127,212 | 37,650 | 34,372 | 35,944 | ||||||||||||
Securities lending income | 1,028 | 252 | 737 | 533 | ||||||||||||
Fund shares sold | — | 2,178,534 | — | — | ||||||||||||
Prepaid expenses and other assets | — | 4,001 | — | — | ||||||||||||
Total Assets | 37,389,991 | 26,712,029 | 11,041,256 | 28,860,435 | ||||||||||||
Liabilities: | ||||||||||||||||
Payables: | ||||||||||||||||
Overdraft | — | 1,002,332 | — | — | ||||||||||||
Upon return of securities loaned | 2,879,848 | 327,748 | 855,737 | 745,940 | ||||||||||||
Investment securities purchased | 61,286 | 1,588,125 | — | — | ||||||||||||
Accrued management fees | 9,147 | 7,428 | 912 | 3,780 | ||||||||||||
Total Liabilities | 2,950,281 | 2,925,633 | 856,649 | 749,720 | ||||||||||||
Net Assets | $ | 34,439,710 | $ | 23,786,396 | $ | 10,184,607 | $ | 28,110,715 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid in capital | $ | 34,958,046 | $ | 26,580,731 | $ | 9,879,308 | $ | 28,007,734 | ||||||||
Undistributed net investment income | 318,268 | 200,062 | 83,675 | 9,142 | ||||||||||||
Accumulated net realized (loss) | (2,452,466 | ) | (3,698,681 | ) | (662,112 | ) | (1,697,946 | ) | ||||||||
Net unrealized appreciation (depreciation) | 1,615,862 | 704,284 | 883,736 | 1,791,785 | ||||||||||||
Net Assets | $ | 34,439,710 | $ | 23,786,396 | $ | 10,184,607 | $ | 28,110,715 | ||||||||
Shares Issued and Outstanding: | 1,400,000 | 1,100,000 | 400,000 | 1,150,000 | ||||||||||||
Net Asset Value Per Share: | $ | 24.60 | $ | 21.62 | $ | 25.46 | $ | 24.44 | ||||||||
Investments, at cost | $ | 35,561,291 | $ | 23,358,062 | $ | 10,104,472 | $ | 27,023,745 | ||||||||
Foreign currency, at cost | $ | 55,405 | $ | 415,095 | $ | 5,003 | $ | — | ||||||||
* Includes investment in securities on loan, at value | $ | 4,157,765 | $ | 311,939 | $ | 1,116,660 | $ | 2,045,807 |
See accompanying Notes to Financial Statements.
52
LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the Year Ended September 30, 2016
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
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 * | $ | 962,845 | $ | 558,263 | $ | 232,641 | $ | 605,381 | ||||||||
Interest | — | 11 | 2 | — | ||||||||||||
Securities lending income | 20,383 | 1,938 | 10,660 | 7,711 | ||||||||||||
Total Investment Income | 983,228 | 560,212 | 243,303 | 613,092 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 141,838 | 127,098 | 46,457 | 83,401 | ||||||||||||
Trustees expenses | 22,725 | 20,728 | 17,628 | 22,248 | ||||||||||||
Other | 36 | — | — | — | ||||||||||||
Total Gross Expenses | 164,599 | 147,826 | 64,085 | 105,649 | ||||||||||||
Adviser reimbursement of trustees expenses (Note 4) | (22,725 | ) | (20,728 | ) | (17,628 | ) | (22,248 | ) | ||||||||
Total Net Expenses | 141,874 | 127,098 | 46,457 | 83,401 | ||||||||||||
Net Investment Income | 841,354 | 433,114 | 196,846 | 529,691 | ||||||||||||
Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net Realized Gain (Loss) on: | ||||||||||||||||
Investments | (970,621 | )(a) | (2,541,390 | ) | (309,519 | ) | (1,206,311 | )(a) | ||||||||
Foreign currency transactions | 4,307 | 8,064 | 311 | — | ||||||||||||
Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||
Investments | 2,982,172 | 4,788,226 | 1,253,250 | 3,136,653 | ||||||||||||
Translation of foreign currency denominated amounts | 687 | (506 | ) | 80 | — | |||||||||||
Net Realized and Unrealized Gain | 2,016,545 | 2,254,394 | 944,122 | 1,930,342 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,857,899 | $ | 2,687,508 | $ | 1,140,968 | $ | 2,460,033 | ||||||||
* Net of foreign withholding taxes of | $ | 96,652 | $ | 81,139 | $ | 16,265 | $ | — |
(a) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 9 in Notes to Financial Statements). |
See accompanying Notes to Financial Statements.
53
LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | Lattice Emerging Markets Strategy ETF | |||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | |||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 841,354 | $ | 586,809 | $ | 433,114 | $ | 411,412 | ||||||||
Net realized loss | (966,314 | ) | (1,375,948 | ) | (2,533,326 | ) | (1,175,259 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 2,982,859 | (1,366,997 | ) | 4,787,720 | (4,083,436 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 2,857,899 | (2,156,136 | ) | 2,687,508 | (4,847,283 | ) | ||||||||||
Distributions: | ||||||||||||||||
From net investment income | (766,330 | ) | (391,063 | ) | (424,201 | ) | (210,359 | ) | ||||||||
Total Distributions | (766,330 | ) | (391,063 | ) | (424,201 | ) | (210,359 | ) | ||||||||
Fund Share Transactions: | ||||||||||||||||
Proceeds from shares sold | 7,252,803 | 30,053,388 | (b) | 10,265,662 | 24,742,538 | |||||||||||
Cost of shares redeemed | (2,310,851 | ) | (100,000 | )(c) | (8,427,369 | ) | (100 | )(c) | ||||||||
Net increase from Fund share transactions | 4,941,952 | 29,953,388 | 1,838,293 | 24,742,438 | ||||||||||||
Total Increase in Net Assets | 7,033,521 | 27,406,189 | 4,101,600 | 19,684,796 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 27,406,189 | — | 19,684,796 | — | ||||||||||||
End of period * | $ | 34,439,710 | $ | 27,406,189 | $ | 23,786,396 | $ | 19,684,796 | ||||||||
* Including undistributed net investment income of: | $ | 318,268 | $ | 196,782 | $ | 200,062 | $ | 176,554 | ||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Shares Sold | 300,000 | 1,204,000 | (b) | 500,000 | 1,000,004 | |||||||||||
Shares Redeemed | (100,000 | ) | (4,000 | )(c) | (400,000 | ) | (4 | )(c) | ||||||||
Net Increase from Shares Issued and Redeemed | 200,000 | 1,200,000 | 100,000 | 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. |
See accompanying Notes to Financial Statements.
54
LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Lattice Global Small Cap Strategy ETF | Lattice US Equity Strategy ETF | |||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | Year Ended September 30, 2016 | Period Ended September 30, 2015 (b) | |||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 196,846 | $ | 131,734 | $ | 529,691 | $ | 268,166 | ||||||||
Net realized loss | (309,208 | ) | (358,485 | ) | (1,206,311 | ) | (772,996 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 1,253,330 | (369,594 | ) | 3,136,653 | (1,344,868 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 1,140,968 | (596,345 | ) | 2,460,033 | (1,849,698 | ) | ||||||||||
Distributions: | ||||||||||||||||
From net investment income | (177,194 | ) | (62,130 | ) | (520,459 | ) | (260,026 | ) | ||||||||
Total Distributions | (177,194 | ) | (62,130 | ) | (520,459 | ) | (260,026 | ) | ||||||||
Fund Share Transactions: | ||||||||||||||||
Proceeds from shares sold | 2,414,035 | 7,465,373 | 12,720,535 | 27,484,119 | ||||||||||||
Cost of shares redeemed | — | (100 | )(c) | (9,449,506 | ) | (2,474,283 | )(c) | |||||||||
Net increase from Fund share transactions | 2,414,035 | 7,465,273 | 3,271,029 | 25,009,836 | ||||||||||||
Total Increase in Net Assets | 3,377,809 | 6,806,798 | 5,210,603 | 22,900,112 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 6,806,798 | — | 22,900,112 | — | ||||||||||||
End of period * | $ | 10,184,607 | $ | 6,806,798 | $ | 28,110,715 | $ | 22,900,112 | ||||||||
* Including undistributed net investment income of: | $ | 83,675 | $ | 66,469 | $ | 9,142 | $ | 7,892 | ||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Shares Sold | 100,000 | 300,004 | 550,000 | 1,100,004 | ||||||||||||
Shares Redeemed | — | (4 | )(c) | (400,000 | ) | (100,004 | )(c) | |||||||||
Net Increase from Shares Issued and Redeemed | 100,000 | 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. |
See accompanying Notes to Financial Statements.
55
LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | Lattice Emerging Markets Strategy ETF | |||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | |||||||||||||
Net Asset Value, beginning of year | $ | 22.84 | $ | 25.00 | $ | 19.68 | $ | 25.00 | ||||||||
Income from Investment Operations: | ||||||||||||||||
Net investment income (b) | 0.70 | 0.55 | 0.45 | 0.44 | ||||||||||||
Net realized and unrealized gain (loss) | 1.70 | (2.35 | ) | 1.91 | (5.55 | ) | ||||||||||
Total from Investment Operations | 2.40 | (1.80 | ) | 2.36 | (5.11 | ) | ||||||||||
Less Distributions: | ||||||||||||||||
Net investment income | (0.64 | ) | (0.36 | ) | (0.42 | ) | (0.21 | ) | ||||||||
Net Asset Value, end of year | $ | 24.60 | $ | 22.84 | $ | 21.62 | $ | 19.68 | ||||||||
Total Return (c) | 10.62 | % | (7.36 | )% | 12.20 | % | (20.59 | )% | ||||||||
Market Price Return | 10.61 | % | (6.84 | )% | 14.08 | % | (20.59 | )% | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, end of year (000’s omitted) | $ | 34,440 | $ | 27,406 | $ | 23,786 | $ | 19,685 | ||||||||
Ratio to average net assets of: | ||||||||||||||||
Gross expenses | 0.58 | % | 0.50 | %(d) | 0.76 | % | 0.65 | %(d) | ||||||||
Net expenses | 0.50 | % | 0.50 | %(d) | 0.65 | % | 0.65 | %(d) | ||||||||
Net investment income | 2.97 | % | 3.75 | %(d) | 2.22 | % | 3.23 | %(d) | ||||||||
Portfolio turnover rate (e) | 54.37 | % | 41.81 | %(f) | 49.48 | % | 17.28 | %(f) |
(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 hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value 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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f) | Not annualized. |
See accompanying Notes to Financial Statements.
56
LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Lattice Global Small Cap Strategy ETF | Lattice US Equity Strategy ETF | |||||||||||||||
Year Ended September 30, 2016 | Period Ended September 30, 2015 (a) | Year Ended September 30, 2016 | Period Ended September 30, 2015 (b) | |||||||||||||
Net Asset Value, beginning of year | $ | 22.69 | $ | 25.00 | $ | 22.90 | $ | 25.00 | ||||||||
Income from Investment Operations: | ||||||||||||||||
Net investment income (c) | 0.60 | 0.44 | 0.52 | 0.26 | ||||||||||||
Net realized and unrealized gain (loss) | 2.76 | (2.54 | ) | 1.53 | (2.11 | ) | ||||||||||
Total from Investment Operations | 3.36 | (2.10 | ) | 2.05 | (1.85 | ) | ||||||||||
Less Distributions: | ||||||||||||||||
Net investment income | (0.59 | ) | (0.21 | ) | (0.51 | ) | (0.25 | ) | ||||||||
Net Asset Value, end of year | $ | 25.46 | $ | 22.69 | $ | 24.44 | $ | 22.90 | ||||||||
Total Return (d) | 15.05 | % | (8.50 | )% | 9.01 | % | (7.46 | )% | ||||||||
Market Price Return | 14.92 | % | (7.89 | )% | 9.15 | % | (7.54 | )% | ||||||||
Ratios/Supplemental Data: | ||||||||||||||||
Net Assets, end of year (000’s omitted) | $ | 10,185 | $ | 6,807 | $ | 28,111 | $ | 22,900 | ||||||||
Ratio to average net assets of: | ||||||||||||||||
Gross expenses | 0.83 | % | 0.60 | %(e) | 0.44 | % | 0.35 | %(e) | ||||||||
Net expenses | 0.60 | % | 0.60 | %(e) | 0.35 | % | 0.35 | %(e) | ||||||||
Net investment income | 2.54 | % | 3.44 | %(e) | 2.22 | % | 1.82 | %(e) | ||||||||
Portfolio turnover rate (f) | 62.19 | % | 43.87 | %(g) | 50.68 | % | 37.92 | %(g) |
(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 hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value 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) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(g) | Not annualized. |
See accompanying Notes to Financial Statements.
57
LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2016
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 share of a Fund represents a partial ownership in securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund at NAV only by certain large institutional investors (“Authorized Participants”) who have entered into agreements with ALPS Distributors, Inc. (“ALPS” or the “Distributor”), the Funds’ Distributor.
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.
On July 25, 2016, Shareholders of the Funds approved an amended Declaration of Trust of the Trust (the “Amended Declaration of Trust”), which: (a) removed the limitation on reclassifying or changing outstanding shares; (b) expanded the mandatory redemption provisions; and (c) adjusted procedural matters regarding shareholder disputes. The Amended Declaration of Trust, as it appeared in the proxy statement filed with the Securities and Exchange Commission (“SEC”) via EDGAR on June 27, 2016, be, and hereby is, incorporated by reference into this shareholder report.
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, GAAP, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results may differ from those estimates.
Cash, cash equivalents and Foreign Currency: 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 Schedule of Investments, as applicable.
The books and records of the Funds 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
58
LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016
date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do 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, in the case of certain dividends on foreign issuers.
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
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4:00 p.m. Eastern time) on each day that such exchange is open. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Fixed-income assets are generally valued as of the announced closing time for trading in fixed-income instruments in a particular market or exchange. Creation/redemption order cut-off times may be earlier on any day that the Securities Industry and Financial Markets Association (or applicable exchange or market on which a Fund’s investments are traded) announces an early closing time. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at market rates on the date of valuation (generally as of 4:00 p.m. London time) as quoted by one or more sources.
In calculating a Fund’s net asset value per Share, the Fund’s investments are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of other funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The Adviser may use various pricing services, or discontinue the use of any pricing service, as approved by the Board 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 60th day, based on the value determined on the 61st day.
E. Over-the-Counter (“OTC”) Securities: OTC securities that are not traded on NASDAQ shall be valued at the most recent trade price.
The Funds apply the provisions of GAAP surrounding fair value measurements that define fair value, establish a framework for measuring fair value and expand disclosures about fair value measurements. 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 Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,
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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 Fund’s net assets are computed and that may materially affect the value of the Fund’s investments).
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 September 30, 2016, based on their valuation inputs, is as follows:
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Investments in Securities (At Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 2,663,217 | $ | — | $ | — | $ | 2,663,217 | ||||||||
Austria | 361,384 | — | — | 361,384 | ||||||||||||
Belgium | 564,520 | — | — | 564,520 | ||||||||||||
Canada | 4,136,280 | — | — | 4,136,280 | ||||||||||||
Denmark | 434,553 | — | — | 434,553 | ||||||||||||
Finland | 152,417 | — | — | 152,417 | ||||||||||||
France | 2,554,644 | — | — | 2,554,644 | ||||||||||||
Germany | 1,994,698 | — | — | 1,994,698 | ||||||||||||
Hong Kong | 1,831,727 | — | — | 1,831,727 | ||||||||||||
Ireland | 354,848 | — | — | 354,848 | ||||||||||||
Israel | 762,529 | — | — | 762,529 | ||||||||||||
Italy | 862,330 | — | — | 862,330 | ||||||||||||
Japan | 6,775,915 | — | — | 6,775,915 | ||||||||||||
Netherlands | 885,065 | — | — | 885,065 | ||||||||||||
New Zealand | 712,217 | — | — | 712,217 | ||||||||||||
Norway | 149,026 | — | — | 149,026 | ||||||||||||
Portugal | 48,432 | — | — | 48,432 | ||||||||||||
Singapore | 1,065,837 | — | — | 1,065,837 | ||||||||||||
Spain | 884,001 | — | — | 884,001 | ||||||||||||
Sweden | 612,632 | — | — | 612,632 | ||||||||||||
Switzerland | 2,366,669 | — | — | 2,366,669 | ||||||||||||
United Kingdom | 3,969,656 | — | — | 3,969,656 | ||||||||||||
Limited Partnerships | ||||||||||||||||
Israel | 154,856 | — | — | 154,856 | ||||||||||||
Investments of Cash Collateral for Securities Loaned | 2,879,848 | — | — | 2,879,848 | ||||||||||||
Total | $ | 37,177,301 | $ | — | $ | — | $ | 37,177,301 |
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September 30, 2016
Summary of Lattice Emerging Markets Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Investments in Securities (At Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 1,124,960 | $ | — | $ | — | $ | 1,124,960 | ||||||||
Chile | 1,092,975 | — | — | 1,092,975 | ||||||||||||
China | 1,981,598 | — | — | 1,981,598 | ||||||||||||
Colombia | 955,367 | — | — | 955,367 | ||||||||||||
India | 1,254,296 | — | — | 1,254,296 | ||||||||||||
Indonesia | 1,746,986 | — | — | 1,746,986 | ||||||||||||
Malaysia | 1,784,491 | — | — | 1,784,491 | ||||||||||||
Mexico | 1,241,591 | — | — | 1,241,591 | ||||||||||||
Philippines | 1,851,029 | — | — | 1,851,029 | ||||||||||||
Poland | 1,137,259 | — | — | 1,137,259 | ||||||||||||
Russia | 717,516 | — | — | 717,516 | ||||||||||||
South Africa | 1,478,001 | — | — | 1,478,001 | ||||||||||||
South Korea | 1,922,070 | — | — | 1,922,070 | ||||||||||||
Taiwan | 2,260,572 | — | — | 2,260,572 | ||||||||||||
Thailand | 2,122,066 | — | — | 2,122,066 | ||||||||||||
Turkey | 1,063,477 | — | — | 1,063,477 | ||||||||||||
Rights | ||||||||||||||||
Thailand | 1,186 | — | — | 1,186 | ||||||||||||
Investments of Cash Collateral for Securities Loaned | 327,748 | — | — | 327,748 | ||||||||||||
Total | $ | 24,063,188 | $ | — | $ | — | $ | 24,063,188 |
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Summary of Lattice Global Small Cap Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Investments in Securities (At Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 450,832 | $ | — | $ | — | $ | 450,832 | ||||||||
Belgium | 4,947 | — | — | 4,947 | ||||||||||||
Brazil | 228,896 | — | — | 228,896 | ||||||||||||
Canada | 554,517 | — | — | 554,517 | ||||||||||||
China | 806,332 | — | — | 806,332 | ||||||||||||
Denmark | 4,830 | — | — | 4,830 | ||||||||||||
France | 43,680 | — | — | 43,680 | ||||||||||||
Germany | 58,005 | — | — | 58,005 | ||||||||||||
Hong Kong | 50,047 | — | — | 50,047 | ||||||||||||
Ireland | 7,787 | — | — | 7,787 | ||||||||||||
Israel | 49,261 | — | — | 49,261 | ||||||||||||
Italy | 107,225 | — | — | 107,225 | ||||||||||||
Japan | 1,305,986 | — | — | 1,305,986 | ||||||||||||
Netherlands | 56,363 | — | — | 56,363 | ||||||||||||
New Zealand | 57,377 | — | — | 57,377 | ||||||||||||
Norway | 51,732 | — | — | 51,732 | ||||||||||||
Portugal | 2,589 | — | — | 2,589 | ||||||||||||
Singapore | 67,954 | — | — | 67,954 | ||||||||||||
South Africa | 156,161 | — | — | 156,161 | ||||||||||||
South Korea | 630,396 | — | — | 630,396 | ||||||||||||
Spain | 51,155 | — | — | 51,155 | ||||||||||||
Sweden | 51,570 | — | — | 51,570 | ||||||||||||
Switzerland | 137,882 | — | — | 137,882 | ||||||||||||
Taiwan | 411,289 | — | — | 411,289 | ||||||||||||
United Kingdom | 405,949 | — | — | 405,949 | ||||||||||||
United States | 4,379,647 | — | — | 4,379,647 | ||||||||||||
Investments of Cash Collateral for Securities Loaned | 855,737 | — | — | 855,737 | ||||||||||||
Total | $ | 10,988,146 | $ | — | $ | — | $ | 10,988,146 |
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September 30, 2016
Summary of Lattice US Equity Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Investments in Securities (At Value) | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 3,113,176 | $ | — | $ | — | $ | 3,113,176 | ||||||||
Consumer Staples | 2,136,460 | — | — | 2,136,460 | ||||||||||||
Energy | 2,444,865 | — | — | 2,444,865 | ||||||||||||
Financials | 4,038,821 | — | — | 4,038,821 | ||||||||||||
Health Care | 4,768,735 | — | — | 4,768,735 | ||||||||||||
Industrials | 2,786,149 | — | — | 2,786,149 | ||||||||||||
Information Technology | 5,295,261 | — | — | 5,295,261 | ||||||||||||
Materials | 1,445,074 | — | — | 1,445,074 | ||||||||||||
Real Estate | 628,039 | — | — | 628,039 | ||||||||||||
Telecommunication Services | 664,412 | — | — | 664,412 | ||||||||||||
Utilities | 748,598 | — | — | 748,598 | ||||||||||||
Investments of Cash Collateral for Securities Loaned | 745,940 | — | — | 745,940 | �� | |||||||||||
Total | $ | 28,815,530 | $ | — | $ | — | $ | 28,815,530 |
As of September 30, 2016, there were no transfers between levels of the fair value hierarchy.
4. Investment Advisory Fee, Service and Distribution Fees and Trustees Expenses
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 of 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 more than certain other types of sales charges.
For the year ended September 30, 2016, the Funds did not pay any Rule 12b-1 fees.
Effective March 1, 2016, the Adviser has contractually agreed to reimburse the fees and expenses of the Trustees of 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 Trust’s Board of Trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Funds and their shareholders. For the year ended September 30, 2016, the Trustees’ expenses were $22,725, $20,728, $17,628, and $22,248, for the Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, Lattice Global Small Cap Strategy ETF, and Lattice US Equity Strategy ETF, respectively.
On July 29, 2016, Hartford Funds Management Company, LLC (“Hartford”) acquired Lattice and said acquisition terminated the existing advisory agreement with Lattice and sub-advisory agreement with Mellon Capital. On July 25, 2016, the Shareholders of the Funds approved a new advisory agreement with Lattice and a new sub-advisory agreement with Mellon Capital.
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 through a broker, dealer, bank or other entity that is an Authorized Participant. An Authorized Participant is either (1) a
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“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.
If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown:
![]() | ![]() | ![]() | ![]() | ![]() | ||||||||||||
Creation Unit Shares | Creation Fee | Value at September 30, 2016 | Redemption Fee | |||||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | 100,000 | $ | 4,000 | $ | 2,460,000 | $ | 4,000 | |||||||||
Lattice Emerging Markets Strategy ETF | 100,000 | 2,500 | 2,162,000 | 2,500 | ||||||||||||
Lattice Global Small Cap Strategy ETF | 100,000 | 3,000 | 2,546,000 | 3,000 | ||||||||||||
Lattice US Equity Strategy ETF | 50,000 | 1,000 | 1,222,000 | 1,000 |
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.
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 Creation Units (100,000 shares) to Authorized Participants who have entered into agreements with the Fund’s distributor. Lattice US Equity Strategy ETF will only issue or redeem Creation Units (50,000 shares) 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.
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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 Bank 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 for federal income tax purposes. 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 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 Fund’s securities lending income that appears on the Statements of Operations is net of any fees paid to State Street for serving as the securities lending agent.
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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.
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Fund | Market Value of Securities on Loan | Cash Collateral | Non-Cash Collateral (1) | |||||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 4,157,765 | $ | 2,879,848 | $ | 1,491,501 | ||||||
Lattice Emerging Markets Strategy ETF | 311,939 | 327,748 | — | |||||||||
Lattice Global Small Cap Strategy ETF | 1,116,660 | 855,737 | 307,293 | |||||||||
Lattice US Equity Strategy ETF | 2,045,807 | 745,940 | 1,348,193 |
(1) | Amount consists of domestic and foreign equity securities. |
8. Principal Risks
CURRENCY RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Because each Fund’s NAV is determined on the basis of the U.S. dollar, investors may lose money if the currency of a non-U.S. market in which a Fund invests depreciates against the U.S. dollar, even if the local currency value of a Fund’s holdings in that market increases.
CUSTODY RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Custody risk refers to the risks inherent in the process of clearing and settling trades and the holding of securities by local banks, agents and depositories. Low trading volumes and volatile prices in less developed markets may make trades harder to complete and settle, and governments or trade groups may compel local agents to hold securities in designated depositories that may not be subject to independent evaluation. Local agents are held only to the standards of care of their local markets. In general, the less developed a country’s securities market is, the greater the likelihood of custody problems.
DERIVATIVE RISK: A derivative is a financial contract the value of which depends on, or is derived from, the value of a financial asset (such as stock, bond or currency), a physical asset (such as gold) or a market index (such as the S&P 500 Index). Each Fund may invest in futures contracts and other derivatives. Derivatives can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices and thus a Fund’s losses may be greater if it invests in derivatives than if it invests only in conventional securities. Derivatives are also subject to credit risk because a Fund could lose money when a contracting party is unable to meet its contractual obligations in a timely manner or negative perceptions of a contracting party’s ability to meet its obligations cause the derivative to decline in value.
EMERGING MARKETS RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Some foreign markets in which the Fund may invest are considered to be emerging markets. Investment in these emerging markets subjects the Fund to a greater risk of loss than investments in
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September 30, 2016
a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. These economies are less developed and can be overly reliant on particular industries and more vulnerable to changes in international trade, trade barriers and other protectionist or retaliatory measures. High levels of debt tend to make emerging economies heavily reliant on foreign capital and vulnerable to capital flight and the volatility of emerging markets may be heightened by the actions of a few major investors. Some governments exercise substantial influence over the private economic sector and the social and political uncertainties that exist for many developing countries is significant. In adverse social and political circumstances, governments have been involved in policies of expropriation, confiscatory taxation, nationalism, intervention in the securities markets and trade settlement, and imposition of foreign investment restrictions and exchange controls, and these could be repeated in the future. In certain emerging markets, investments may be subject to heightened risks with regard to ownership and custody of securities. For example, security ownership may be evidenced by entries in the books of a company or its registrar, which may not be independent of the issuer, instead of through a central registration system and without effective government supervision. Particularly with respect to a Fund’s investment in actual foreign securities, the possibility of fraud, negligence, undue influence being exerted by the issuer or refusal to recognize ownership exists could, along with other factors, result in the registration of the Fund’s shareholding being completely lost and cause the Fund to suffer an investment loss. For these and other reasons, investments in emerging markets are often considered speculative.
EQUITY SECURITIES RISK: Each Fund invests in equity securities, which are subject to changes in value that may be attributable to market perception of a particular issuer or to general stock market fluctuations that affect all issuers. Investments in equity securities may be more volatile than investments in other asset classes.
EQUITY INVESTING RISK: An investment in each Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices.
FUND OF FUNDS RISK: [Lattice Emerging Markets Strategy ETF only]: To the extent that a Fund invests in other investment companies such as closed-end funds or ETFs, it bears its pro rata share of these investment companies’ expense, and is subject to the effects of the business and regulatory developments that affect these investment companies and the investment company industry generally.
FOREIGN INVESTMENT RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities.
FOREIGN SECURITIES: A Fund may invest in foreign securities, including non-U.S. dollar-denominated securities traded outside of the United States and U.S. dollar-denominated securities of foreign issuers traded in the United States. Foreign securities also include ADRs, which are U.S. dollar-denominated receipts representing shares of foreign-based corporations. ADRs are issued by U.S. banks or trust companies, and entitle the holder to all dividends and capital gains that are paid out on the underlying foreign shares. Investment in ADRs may be less liquid than the liquidity of the underlying shares in their primary trading market. Foreign securities also include GDRs, which are similar to ADRs, but are shares of foreign-based corporations generally issued by international banks
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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.
POLITICAL AND ECONOMIC RISK: The Funds are subject to foreign political and economic risk not associated with investments in securities of U.S. issuers, meaning that political events (civil unrest, national elections, changes in political conditions and foreign relations, imposition of exchange controls and repatriation restrictions), social and economic events (labor strikes, rising inflation) and natural disasters occurring in a foreign country could cause a Fund’s investments to experience gains or losses. A Fund also could be unable to enforce its ownership rights or pursue legal remedies in countries where it invests.
FOREIGN MARKET AND TRADING RISK: The trading markets for many foreign securities are not as active as U.S. markets and may have less governmental regulation and oversight. Foreign markets also may have clearance and settlement procedures that make it difficult for a Fund to buy and sell
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September 30, 2016
securities. These factors could result in a loss to a Fund by causing the Fund to be unable to dispose of an investment or to miss an attractive investment opportunity, or by causing Fund assets to be uninvested for some period of time.
GEOGRAPHIC RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Some of the markets in which the Funds invest are located in parts of the world that have historically been prone to natural disasters, such as earthquakes, volcanoes, droughts, hurricanes or tsunamis, and are economically sensitive to environmental events. Any such event may adversely impact the economies of these geographic areas, causing an adverse impact on the value of a Fund.
INDEX TRACKING RISK: There is a risk that the performance of each Fund may diverge from performance of the respective Index as a result of tracking error. Tracking error may occur because of differences between the securities held in a Fund and those included in the Index. Tracking error may also occur because of pricing differences, transaction costs, a Fund holding uninvested cash, differences in the timing of the accrual of dividends, changes to the Index or the costs of complying with various new or existing regulatory requirements. Additionally, tracking error may result because a Fund incurs fees and expenses, while the Index does not.
ISSUER RISK: The performance of each Fund depends on the performance of individual securities to which a Fund has exposure. Any issuer of these securities may perform poorly, causing the value of its securities to decline. Poor performance may be caused by poor management decisions, competitive pressures, changes in technology, expiration of patent protection, disruptions in supply, labor problems or shortages, corporate restructurings, fraudulent disclosures or other factors. Issuers may, in times of distress or at their own discretion, decide to reduce or eliminate dividends, which may also cause their stock prices to decline.
LARGE CAP RISK: [Lattice US Equity Strategy ETF only]: The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.
MARKET RISK: Each Fund could lose money due to short-term market movements and over longer periods during market downturns. Securities may decline in value due to factors affecting securities markets generally or particular asset classes or industries represented in the markets. The value of a security may decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or to factors that affect a particular industry or group of industries. During a general downturn in the securities markets, multiple asset classes may be negatively affected.
MARKET TRADING RISK
ABSENCE OF ACTIVE MARKET: Although Shares of each Fund are listed for trading on one or more stock exchanges, each Fund is a relatively 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
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September 30, 2016
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.
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,
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September 30, 2016
in, or representative of, the Index, regardless of their investment merits. Additionally, Lattice generally does not attempt to take defensive positions under any market conditions, including declining markets.
SECURITIES LENDING RISK: Each Fund may engage in securities lending. Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings.
SMALL CAP RISK: [Lattice US Equity Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Investing in small capitalization companies involves greater risk than is customarily associated with more established companies. The prices of securities of small capitalization companies generally are more volatile than those of large capitalization companies and are more likely to be adversely affected than larger capitalization companies by changes in earnings results and investor expectations or poor economic or market conditions. Securities of small capitalization companies may underperform larger capitalization companies. Small capitalization companies often have limited product lines, markets, or financial resources and their management may lack depth and experience. Such companies usually do not pay significant dividends that could cushion returns in a falling market.
VALUATION RISK: The sale price each Fund could receive for a security may differ from a Fund’s valuation of the security and may differ from the value used by the Index, particularly for securities that trade in low volume or volatile markets, or that are valued using a fair value methodology. Because non-U.S. exchanges may be open on days when the Funds do not price its Shares, the value of the securities in a Fund may change on days when shareholders will not be able to purchase or sell the Fund’s Shares. In addition, for purposes of calculating each Fund’s NAV, the value of assets denominated in non-U.S. currencies is converted into U.S. dollars using exchange rates deemed appropriate by Lattice. This conversion may result in a difference between the prices used to calculate each Fund’s NAV and the prices used by the Index, which, in turn, could result in a difference between a Fund’s performance and the performance of the Index.
9. Purchases and Sales
The cost of purchases and the proceeds from sales of investments, for the year ended September 30, 2016, were as follows:
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Purchases | Sales | |||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 15,729,161 | $ | 15,542,417 | ||||
Lattice Emerging Markets Strategy ETF | 9,819,789 | 14,206,193 | ||||||
Lattice Global Small Cap Strategy ETF | 5,282,294 | 4,879,466 | ||||||
Lattice US Equity Strategy ETF | 12,343,981 | 12,260,810 |
For the year ended September 30, 2016, in-kind transactions, which are not included in the table above, associated with Creation Units were:
![]() | ![]() | ![]() | ![]() | |||||||||
Purchases | Sales | Realized Gain/(Loss) | ||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 7,171,489 | $ | 2,289,630 | $ | 70,959 | ||||||
Lattice Emerging Markets Strategy ETF | 6,389,021 | — | — | |||||||||
Lattice Global Small Cap Strategy ETF | 2,088,790 | — | — | |||||||||
Lattice US Equity Strategy ETF | 12,715,992 | 9,445,914 | (337,757 | ) |
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10. Federal Income Taxes
Each Fund intends to qualify and elect to be treated as a separate “regulated investment company” under Subchapter M of the Internal Revenue Code. To qualify and maintain its tax status as a regulated investment company, each Fund must meet annually certain income and asset diversification requirements and must distribute annually at least 90 percent of its “investment company taxable income” (which includes dividends, interest and net short-term capital gains).
If the Fund fails to qualify as a regulated investment company for any year (subject to certain curative measures allowed by the Internal Revenue Code), the Fund is subject to regular corporate-level income tax in that year on all of its taxable income, regardless of whether the Fund makes any distributions to its shareholders. In addition, distributions will be taxable to the Funds’ shareholders generally as ordinary dividends to the extent of the Funds’ current and accumulated earnings and profits.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
The tax character of distributions paid during the years ended September 30, 2016 and 2015 is as follows:
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Fund | Ordinary Income 2016 | Ordinary Income 2015 | ||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 766,330 | $ | 391,063 | ||||
Lattice Emerging Markets Strategy ETF | 424,201 | 210,359 | ||||||
Lattice Global Small Cap Strategy ETF | 177,194 | 62,130 | ||||||
Lattice US Equity Strategy ETF | 520,459 | 260,026 |
As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:
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Fund | Ordinary Income | Accumulated Capital and Other Losses | Unrealized Appreciation | Total Accumulated Earnings (Deficit) | ||||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 511,605 | $ | (2,438,858 | ) | $ | 1,408,917 | $ | (518,336 | ) | ||||||
Lattice Emerging Markets Strategy ETF | 210,195 | (3,561,514 | ) | 556,984 | (2,794,335 | ) | ||||||||||
Lattice Global Small Cap Strategy ETF | 118,262 | (641,685 | ) | 828,722 | 305,299 | |||||||||||
Lattice US Equity Strategy ETF | 9,142 | (1,649,754 | ) | 1,743,593 | 102,981 |
For federal income tax purposes, the Funds listed below have capital loss carryforwards as of September 30, 2016, which are available to offset future capital gains, if any, realized through the fiscal year listed:
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Fund | No Expiration Date Short-Term | No Expiration Date Long-Term | ||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 1,978,358 | $ | 460,500 | ||||
Lattice Emerging Markets Strategy ETF | 3,089,147 | 472,367 | ||||||
Lattice Global Small Cap Strategy ETF | 541,751 | 99,934 | ||||||
Lattice US Equity Strategy ETF | 1,164,513 | 485,241 |
For the year ended September 30, 2016, there were no capital losses utilized.
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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016
As of September 30, 2016, the cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
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Gross Unrealized | Net Unrealized Appreciation | |||||||||||||||
Fund | Cost | Appreciation | (Depreciation) | |||||||||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 35,768,193 | $ | 2,462,577 | $ | (1,053,469 | ) | $ | 1,409,108 | |||||||
Lattice Emerging Markets Strategy ETF | 23,505,362 | 1,920,284 | (1,362,458 | ) | 557,826 | |||||||||||
Lattice Global Small Cap Strategy ETF | 10,159,486 | 1,105,453 | (276,793 | ) | 828,660 | |||||||||||
Lattice US Equity Strategy ETF | 27,071,937 | 2,371,050 | (627,457 | ) | 1,743,593 |
The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to foreign currency gains and losses, tax deferral of losses on wash sales, and adjustments for real estate investment trusts.
A. Distributions To Shareholders: The Funds will normally distribute substantially all of their net investment income at least annually. Any realized net capital gains will be distributed annually. The Funds may also pay a special distribution at any time to comply with U.S federal tax requirements. All distributions are recorded on the ex-dividend date. The amount and character of income and capital gain distributions to be paid are determined in accordance with Federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.
Permanent book and tax differences, primarily related to foreign currency gains and losses, passive foreign investment, partnership basis adjustments, return of capital distributions from real estate investments trusts, and capital gain distributions, resulted in reclassification for the fiscal year ended September 30, 2016 as follows:
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Fund | Increase (Decrease) to Paid-in Capital | Increase (Decrease) to Accumulated Net Investment Income (Loss) | Increase (Decrease) to Accumulated Net Realized Gain (Loss) | |||||||||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 62,706 | $ | 46,462 | $ | (109,168 | ) | |||||
Lattice Emerging Markets Strategy ETF | — | 14,595 | (14,595 | ) | ||||||||
Lattice Global Small Cap Strategy ETF | — | (2,446 | ) | 2,446 | ||||||||
Lattice US Equity Strategy ETF | (340,894 | ) | (7,982 | ) | 348,876 |
11. Subsequent Events
Management has evaluated all subsequent transactions and events through the date on which this statement was issued and has determined that no additional items require adjustment to or disclosure in these financial statements other than those disclosed on the following page.
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On October 4, 2016, Lattice Strategies Trust launched the Lattice Real Estate Strategy ETF. Additionally, effective October 24, 2016, each Fund changed its name as follows:
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Current Fund Name | New Fund Name | |
Lattice Developed Markets (ex-US) Strategy ETF | Hartford Multifactor Developed Markets (ex-US) ETF | |
Lattice Emerging Markets Strategy ETF | Hartford Multifactor Emerging Markets ETF | |
Lattice US Equity Strategy ETF | Hartford Multifactor US Equity ETF | |
Lattice Global Small Cap Strategy ETF | Hartford Multifactor Global Small Cap ETF | |
Lattice Real Estate Strategy ETF | Hartford Multifactor REIT ETF |
Additionally, effective October 24, 2016, each index changed its name as follows:
![]() | ![]() | ![]() | ||
New Fund Name | Old Index Name | New Index Name | ||
Hartford Multifactor Developed Markets (ex-US) ETF | Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index | Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | ||
Hartford Multifactor Emerging Markets ETF | Lattice Risk-Optimized Advancing Markets Strategy Index | Hartford Risk-Optimized Multifactor Emerging Markets Index | ||
Hartford Multifactor US Equity ETF | Lattice Risk-Optimized US Equity Strategy Index | Hartford Risk-Optimized Multifactor US Equity Index | ||
Hartford Multifactor Global Small Cap ETF | Lattice Risk-Optimized Global Small Cap Strategy Index | Hartford Risk-Optimized Multifactor Global Small Cap Index | ||
Hartford Multifactor REIT ETF | Lattice Risk-Optimized Real Estate Strategy Index | Hartford Risk-Optimized Multifactor REIT Index |
78
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders of Lattice Strategies Trust,
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Lattice Strategies Trust (comprising, respectively, Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, Lattice Global Small Cap Strategy ETF and Lattice US Equity Strategy ETF) (the Trust) as of September 30, 2016, and the related statements of operations, and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and financial highlights of the Trust for the periods presented through September 30, 2015, were audited by other auditors whose report dated November 24, 2015, expressed an unqualified opinion on those statements of changes in net assets and financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform audits of the Trust’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting Lattice Strategies Trust at September 30, 2016, and the results of their operations, the changes in their net assets and the financial highlights for the year then ended in conformity with U.S. generally accepted accounting principles.
New York, New York
November 29, 2016
79
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
SUMMARY OF BOARD’S ADVISORY AND SUB-ADVISORY AGREEMENT APPROVAL PROCESS AND CONSIDERATIONS
The Board (the members of which are referred to as “Trustees”) of the Trust met in person on June 10, 2016, to consider the approval of (1) a new investment advisory agreement (the “New Advisory Agreement”) between the Trust, on behalf of the Funds, and Lattice Strategies LLC (the “Adviser”), and (2) a new investment sub-advisory agreement (the “New Sub-Advisory Agreement,” and, together with the New Advisory Agreement, the “New Agreements”) between the Adviser and Mellon Capital Management Corporation (the “Sub-Adviser”). The Board considered the New Agreements because of a proposed transaction wherein Hartford Funds Management Company, LLC (“Hartford”) would acquire the Adviser, effective on or about July 29, 2016 (the “Transaction”). Under the Investment Company Act of 1940, as amended (“1940 Act”), consummation of the Transaction would result in the automatic “assignment” (i.e., termination) of the existing advisory agreement with the Adviser and the existing sub-advisory agreement with the Sub-Adviser. In order to avoid a disruption of services to the Funds, the Board considered the New Advisory Agreement and New Sub-Advisory Agreement and, as detailed below, approved the New Agreements subject to approval of such New Agreements by the shareholders of the Funds. The Board considered the then current draft of the preliminary proxy statement prepared to seek shareholder approval of the New Agreements. The Board considered the New Advisory Agreement and the New Sub-Advisory Agreement and the engagement of the Adviser and the Sub-Adviser separately, although the factors for consideration were similar.
In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by the Adviser and the Sub-Adviser relevant to the Board’s consideration of whether to approve each of the New Advisory Agreement and New Sub-Advisory Agreement. In connection with considering approval of the New Advisory Agreement and New Sub-Advisory Agreement, the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), met with counsel to the Trust, and separately in executive session with counsel to the Independent Trustees, who provided assistance and advice. The Board considered the impact of the Transaction on the Funds and shareholders, and received information and assurances from the Adviser, Sub-Adviser and Hartford regarding the nature and quality of services to be provided after the Transaction, as well as that the level of fees to be charged would be unchanged. The Board noted that there were several proposed changes to New Advisory Agreement, including that several additional services would be performed by Lattice, although the other terms of the New Advisory Agreement were substantially similar to the existing advisory agreement. The consideration of the New Advisory Agreement and New Sub-Advisory Agreement was conducted by both the full Board and the Independent Trustees, who also voted separately.
During their review and consideration, the Board and the Independent Trustees focused on and analyzed the factors they deemed relevant, including: (1) the nature, extent and quality of the services provided by each of the Adviser and the Sub-Adviser; (2) the investment performance of each of the Adviser and the Sub-Adviser; (3) the costs of the services to be provided and profits to be realized by each of the Adviser and the Sub-Adviser and their affiliates from the relationship with the Trust; (4) the extent to which economies of scale would be realized as the Funds grow; (5) any benefits derived or to be derived by each of the Adviser and the Sub-Adviser from the relationship with the Trust; (6) potential conflicts of interest; (7) the fees paid to and services provided by the Funds’ administrator and transfer agent; and (8) the Adviser’s representations concerning its staffing, capabilities and methodologies applied in managing the Funds, including the importance of retention of personnel with relevant portfolio management experience.
In reviewing such factors, the Board relied on certain information, including (1) copies of the New Advisory Agreement and the New Sub-Advisory Agreement and comparisons to the existing advisory and sub-advisory agreements; (2) information from the Adviser, the Sub-Adviser, Hartford and the services provided thereby,
80
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
including key personnel, investment process, research department, and securities portfolio execution process; (3) information regarding the compliance programs of the Adviser and the Sub-Adviser; (4) copies of the Forms ADV for the Adviser and the Sub-Adviser; and (5) memoranda and guidance from Kaye Scholer on the fiduciary responsibilities of trustees, including Independent Trustees, in considering advisory and distribution agreements under the 1940 Act. In addition, the Board was provided data from Broadridge dated June 2016 comparing the advisory fees and total expenses of the Funds with expenses and performance of other exchange-traded funds (“ETFs”) and mutual funds with similar investment objectives and policies. The Trustees also considered their personal experiences as Trustees and participants in the ETF and mutual fund industry, as applicable.
In particular, the Trustees including the Independent Trustees, considered and discussed the following with respect to the Funds:
1. | The nature, extent and quality of the facilities and services proposed to be provided by each of the Adviser and the Sub-Adviser. The Board received information on and considered the division of responsibility of services to be provided by the Adviser and the Sub-Adviser, including the fact that day-to-day portfolio management would be conducted by the Sub-Adviser. The Board reviewed the experience and resources that the Adviser and Sub-Adviser had in managing strategies similar to those proposed for the Funds, including information regarding the education and experience of management and investment personnel and the anticipated role of senior management in the day-to-day operations of the Funds and on the quality of the compliance and administrative staff at the Adviser and Hartford. |
The Board determined that the Funds would likely benefit from the services and resources available from the Adviser, the Sub-Adviser and Hartford, in respect of their responsibilities. In particular, they noted the extensive experience of the Adviser’s management personnel in developing and administering strategies that would be utilized by the Funds and the past performance of the Adviser and Sub-Adviser in providing services to the Funds.
2. | The advisory fee paid by and overall expenses of the Funds. The Board considered comprehensive data and information comparing the advisory fees and total expense ratios of the Funds. The Board considered that the fee payable to the Sub-Adviser would be paid by the Adviser out of its management fee. The Board determined that the advisory fees charged and overall expenses of the Funds were competitive and in line with the related universe of funds. In light of the nature, quality, and extent of services provided by the Adviser and Sub-Adviser and the costs incurred by the Adviser and Sub-Adviser in rendering those services, the Board concluded that the level of fees paid to the Adviser and Sub-Adviser with respect to each Fund were fair and reasonable. |
3. | Financial condition of each of the Adviser, the Sub-Adviser and Hartford. After considering information relating to the financial condition of the Adviser, Sub-Adviser and Hartford, as well as the expected fees and operating costs relating to the management of the Funds, the Board determined that each of the Adviser and Sub-Adviser would be capable of providing services to the Funds. |
4. | Possible conflicts of interest. The Board considered the experience and ability of the advisory personnel assigned to the Funds, soft-dollar arrangements and the brokerage policies of the Adviser and Sub-Adviser, and the substance and administration of the Codes of Ethics of the Trust, the Adviser and the Sub-Adviser. The Board determined that the personnel and compliance policies of the Trust, Adviser and Sub-Adviser were each well designed to monitor and address conflicts of interest. |
81
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
5. | Effect of the Funds’ growth and size on its investment performance and expenses, The Board considered information relating to the trading of the Funds. It determined that the expense ratios of the Funds were well suited in light of expectations for future asset accumulation and projected growth after the Transaction. |
Based on the foregoing and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and the benefits gained by the Adviser in providing such services. The Board also found the investment advisory fees paid to the Adviser to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar anticipated size. As a result, all of the Board members, including the Independent Trustees, approved the New Advisory Agreement and the submission of the New Advisory Agreement to shareholders for approval.
With respect to the Sub-Adviser and based on the foregoing analysis and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the sub-advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Sub-Adviser to the Funds, as well as the costs incurred and the benefits gained by the Sub-Adviser in providing such services. As a result, all of the Trustees, including the Independent Trustees, approved the New Sub-Advisory Agreement and the submission of the New Sub-Advisory Agreement to shareholders for approval.
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.
82
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
SHAREHOLDER MEETING RESULTS
Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on July 25, 2016 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.
Lattice Developed Market (ex-US) Strategy ETF
Proposal 1: Approval of Advisory Agreement
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For | Against | Abstentions | Total | |||
934,886.689 | 0 | 53,037.999 | 987,924.688 |
Proposal 2: Approval of Sub-Advisory Agreement
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For | Against | Abstentions | Total | |||
934,886.689 | 0 | 53,037.999 | 987,924.688 |
Proposal 4: Approval of “Manager of Managers” Structure
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For | Against | Abstentions | Total | |||
929,560.689 | 0 | 53,037.999 | 987,924.688 |
Lattice Emerging Markets Strategy ETF
Proposal 1: Approval of Advisory Agreement
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For | Against | Abstentions | Total | |||
720,677.537 | 0 | 17,382.999 | 738,060.536 |
Proposal 2: Approval of Sub-Advisory Agreement
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For | Against | Abstentions | Total | |||
720,677.537 | 0 | 17,382.999 | 738,060.536 |
Proposal 4: Approval of “Manager of Managers” Structure
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For | Against | Abstentions | Total | |||
718,873.537 | 1,804 | 17,382.999 | 738,060.536 |
Lattice Global Small Cap Strategy ETF
Proposal 1: Approval of Advisory Agreement
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For | Against | Abstentions | Total | |||
183,387.355 | 0 | 10,794.999 | 194,182.354 |
83
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
Proposal 2: Approval of Sub-Advisory Agreement
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For | Against | Abstentions | Total | |||
183,387.355 | 0 | 10,794.999 | 194,182.354 |
Proposal 4: Approval of “Manager of Managers” Structure
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For | Against | Abstentions | Total | |||
182,461.355 | 926 | 10,794.999 | 194,182.354 |
Lattice US Equity Strategy ETF
Proposal 1: Approval of Advisory Agreement
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For | Against | Abstentions | Total | |||
798,851.598 | 0 | 44,090.999 | 842,942.597 |
Proposal 2: Approval of Sub-Advisory Agreement
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For | Against | Abstentions | Total | |||
798,851.598 | 0 | 44,090.999 | 842,942.597 |
Proposal 4: Approval of “Manager of Managers” Structure
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For | Against | Abstentions | Total | |||
794,171.598 | 4,680 | 44,090.999 | 842,942.597 |
All Funds
Proposal 3(a): Approval of an Amendment to the Trust’s Declaration of Trust that Removes a Limitation on Reclassifying or Changing Outstanding Shares
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For | Against | Abstentions | Total | |||
2,599,630.178 | 12,736 | 150,743.998 | 2,763,110.176 |
Proposal 3(b): Approval of an Amendment to the Trust’s Declaration of Trust that Expands the Mandatory Redemption Provisions
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For | Against | Abstentions | Total | |||
2,599,630.178 | 12,736 | 150,743.998 | 2,763,110.176 |
Proposal 3(c): Approval of an Amendment to the Trust’s Declaration of Trust Regarding Jurisdiction and Waiver of Jury Trials for Shareholder Disputes
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For | Against | Abstentions | Total | |||
2,599,630.178 | 12,736 | 150,743.998 | 2,763,110.176 |
84
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
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.
TAX INFORMATION
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
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Fund | Percentage | |||
Lattice Developed Markets (ex-US) Strategy ETF | 0.00 | % | ||
Lattice Emerging Markets Strategy ETF | 0.00 | % | ||
Lattice Global Small Cap Strategy ETF | 14.37 | % | ||
Lattice US Equity Strategy ETF | 95.42 | % |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2016, are considered qualified dividend income, and are eligible for reduced tax rates. These amounts are noted below:
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Fund | Amount | |||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 667,458 | ||
Lattice Emerging Markets Strategy ETF | 382,962 | |||
Lattice Global Small Cap Strategy ETF | 125,586 | |||
Lattice US Equity Strategy ETF | 532,540 |
At September 30, 2016, the Funds had foreign tax credits. These amounts are noted below:
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Fund | Amount | |||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 54,795 | ||
Lattice Emerging Markets Strategy ETF | 73,870 | |||
Lattice Global Small Cap Strategy ETF | 14,318 |
At September 30, 2016, the Funds had foreign source income. These amounts are noted below:
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Fund | Amount | |||
Lattice Developed Markets (ex-US) Strategy ETF | $ | 1,051,859 | ||
Lattice Emerging Markets Strategy ETF | 641,473 | |||
Lattice Global Small Cap Strategy ETF | 180,300 |
85
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
SUPPLEMENTAL INFORMATION
Premium/Discount Information
The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund’s net asset value. Net asset value, or “NAV,” is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of such Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Each Fund’s Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the fair value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand. Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV. The following information shows the frequency distributions of premiums and discounts for each of the Funds included in this report. The information shown for each Fund is for the fund listing date through the date of the fiscal year end. The specific periods covered for each Fund are disclosed in the table for such Fund.
Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.
Lattice Developed Markets (ex-US) Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016
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Premium/Discount Range | Number of Days | Percentage of Total Days | ||||||
Greater than 2.0% | 0 | 0.00 | % | |||||
Greater than 1.5% and Less than 2.0% | 2 | 0.79 | % | |||||
Greater than 1.0% and Less than 1.5% | 24 | 9.49 | % | |||||
Greater than 0.5% and Less than 1.0% | 73 | 28.85 | % | |||||
Between 0.5% and -0.5% | 139 | 54.93 | % | |||||
Less than -0.5% and Greater than -1.0% | 11 | 4.35 | % | |||||
Less than -1.0% and Greater than -1.5% | 3 | 1.19 | % | |||||
Less than -1.5% and Greater than -2.0% | 1 | 0.40 | % | |||||
Less than -2.0% | 0 | 0.00 | % | |||||
253 | 100.00 | % |
86
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
Lattice Emerging Markets Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016
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Premium/Discount Range | Number of Days | Percentage of Total Days | ||||||
Greater than 2.0% | 4 | 1.58 | % | |||||
Greater than 1.5% and Less than 2.0% | 7 | 2.77 | % | |||||
Greater than 1.0% and Less than 1.5% | 19 | 7.51 | % | |||||
Greater than 0.5% and Less than 1.0% | 45 | 17.79 | % | |||||
Between 0.5% and -0.5% | 132 | 52.16 | % | |||||
Less than -0.5% and Greater than -1.0% | 30 | 11.86 | % | |||||
Less than -1.0% and Greater than -1.5% | 15 | 5.93 | % | |||||
Less than -1.5% and Greater than -2.0% | 0 | 0.00 | % | |||||
Less than -2.0% | 1 | 0.40 | % | |||||
253 | 100.00 | % |
Lattice Global Small Cap Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016
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Premium/Discount Range | Number of Days | Percentage of Total Days | ||||||
Greater than 2.0% | 0 | 0.00 | % | |||||
Greater than 1.5% and Less than 2.0% | 0 | 0.00 | % | |||||
Greater than 1.0% and Less than 1.5% | 5 | 1.98 | % | |||||
Greater than 0.5% and Less than 1.0% | 43 | 17.00 | % | |||||
Between 0.5% and -0.5% | 183 | 72.33 | % | |||||
Less than -0.5% and Greater than -1.0% | 18 | 7.11 | % | |||||
Less than -1.0% and Greater than -1.5% | 4 | 1.58 | % | |||||
Less than -1.5% and Greater than -2.0% | 0 | 0.00 | % | |||||
Less than -2.0% | 0 | 0.00 | % | |||||
253 | 100.00 | % |
Lattice US Equity Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016
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Premium/Discount Range | Number of Days | Percentage of Total Days | ||||||
Greater than 2.0% | 0 | 0.00 | % | |||||
Greater than 1.5% and Less than 2.0% | 0 | 0.00 | % | |||||
Greater than 1.0% and Less than 1.5% | 1 | 0.40 | % | |||||
Greater than 0.5% and Less than 1.0% | 0 | 0.00 | % | |||||
Between 0.5% and -0.5% | 252 | 99.60 | % | |||||
Less than -0.5% and Greater than -1.0% | 0 | 0.00 | % | |||||
Less than -1.0% and Greater than -1.5% | 0 | 0.00 | % | |||||
Less than -1.5% and Greater than -2.0% | 0 | 0.00 | % | |||||
Less than -2.0% | 0 | 0.00 | % | |||||
253 | 100.00 | % |
87
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS
The following table provides information with respect to each Trustee, including those Trustees who are not considered to be “interested” as that term is defined in the 1940 Act (the “Independent Trustees”), and officer of the Trust.
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Name, Address and Year of Birth (a) | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||
INDEPENDENT TRUSTEES | ||||||||||
Robin Christine Beery (1967) | Trustee and Chairperson of the Nominating and Governance Committee | Term: Unlimited Served as Trustee: since December 2014 | Executive Vice President of U.S. Distribution, Janus Capital Group (1994 to 2014) | 5 | Director, Like-a-Pro LLC (sports marketing) (2014 to present); Director, UMB (banking) (2015 to present) | |||||
Naozer Dadachanji (1962) | Trustee and Lead Independent Trustee | Term: Unlimited Served as Trustee: since December 2014 | Partner and Board Member, CamberView Partners (2012 to present) (investment adviser); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2003 to 2012) | 5 | Board Member, Bridge Athletic (information technology) (2014 to present) | |||||
David Sung (1953) | Trustee and Chairman of the Audit Committee | Term: Unlimited Served as Trustee: since December 2014 | Retired (2014); Asset Management Market Leader for the West – United States, Ernst & Young LLP (2010 to 2014); Asset Management Practice Co-Leader for the Asia Pacific Region, Ernst & Young LLP (2007 to 2010); Partner, Alternative Asset Management Practice, Ernst & Young LLP (1995 to 2007); Audit Partner, Coopers and Lybrand (1990 to 1995); Partner, Spice and Oppenheimer (1979 to 1990) | 5 | Director, Hayman Offshore Management, Inc. (private investment funds) (2014 to present); Advisory Board Member, ValueAct (private investment funds) (2014 to present); Advisory Board Member Bull Capital (investment funds) (2014 to present); and Independent Non-Executive Director, Nippon Wealth Bank (banking) (2014 to present) | |||||
INTERESTED TRUSTEE | ||||||||||
Theodore James Lucas (1966) | Trustee and Chairman | Term: Unlimited Served as Trustee: since December 2014 | Managing Partner, Lattice Strategies LLC (2003 to present) | 5 | None |
(a) | The address of each Trustee is c/o Lattice Strategies Trust, 101 Montgomery Street, 27th Floor, San Francisco, CA 94104. |
88
LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)
DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS (Continued)
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Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | |||
OFFICERS | ||||||
Darek Wojnar, CFA 101 Montgomery Street, 27th Floor, San Francisco, CA 94104 (1965) | President | Term: Unlimited Served: since December 2014 | Managing Director, Lattice Strategies LLC (2014 to present); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2005 to 2013). | |||
Cory J. Gossard ALPS Fund Services, Inc. 1290 Broadway, Suite 1100 Denver, CO 80203 (1972) | Chief Compliance Officer | Term: Unlimited Served: since December 2014 | Vice President and Deputy Chief Compliance Officer, ALPS Fund Services, Inc. (February 2014 to present). Senior Vice President, Citibank (1995 to 2014). Served in various leadership roles at Citibank, in Compliance, Relationship Management and Fund Administration. | |||
David James 4 Copley Place, CPH 0326 Boston, MA 02116 (1970) | Secretary | Term: Unlimited Served: since December 2014 | Vice President and Managing Counsel, State Street Bank and Trust Company (2009 to present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 to 2009). | |||
Albert Lee 101 Montgomery Street, 27th Floor, San Francisco, CA 94104 (1979) | Treasurer | Term: Unlimited Served: since December 2014 | Managing Director & Chief Operating Officer, Lattice Strategies LLC (2009 to present); Chief Operating Officer, Avicenna Capital Management (2007 to 2009); Chief Financial Officer, Steeple Capital LP (2005 to 2007). |
89
Trustees
Robin Christine Beery
Naozer Dadachanji
David Sung
Theodore James Lucas
Officers
Darek Wojnar, CFA, President
Cory J. Gossard, Chief Compliance Officer
David James, Secretary
Albert Lee, Treasurer
Investment manager
Lattice Strategies LLC
101 Montgomery Street
San Francisco, CA 94104
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian, administrator and transfer agent
State Street Bank and Trust Company
1 Iron Street
Boston, MA 02110
Legal counsel
Kaye Scholer LLP
250 West 55th Street
New York, NY 10019
Independent registered public accounting firm
Ernst & Young LLP
5 Times Square
New York, NY 10036
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-415-315-6600 or visiting www.latticeetfs.com. Please read the prospectus carefully before you invest.
Item 2. Code of Ethics.
(a) | Lattice Strategies Trust (the “Registrant”) has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. |
(b) | No disclosures are required by this Item 2(b). |
(c) | There have been no amendments to the Registrant’s Code of Ethics during the reporting period for this form N-CSR. |
(d) | There have been no waivers granted by the Registrant to individuals covered by the Registrant’s Code of Ethics during the reporting period for this Form N-CSR. |
(e) | Not applicable. |
(f) | A copy of the Registrant’s Code of Ethics is attached as an exhibit to this Form N-CSR. |
Item 3. Audit Committee Financial Expert.
(a) | (1) | The Board of Trustees of the Registrant has determined that the Registrant has at least one member serving on the Registrant’s Audit Committee that possesses the attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as “audit committee financial expert.” | ||
(2) | The name of the audit committee financial expert is David Sung. Mr. Sung is deemed to be ��independent” as that term is defined in Item 3(a)(2) of Form N-CSR. |
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees – For the fiscal year ended September 30, 2016, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“EY”), the Registrant’s principal accountant, for the audit of the Registrant’s annual financial statements, or services that are normally provided by EY in connection with the Registrant’s statutory and regulatory filings and engagements were $60,000. For the fiscal year ended September 30, 2015, the aggregate audit fees billed for professional services rendered by the Registrant’s predecessor accountant (the “Predecessor Accountant”), for the audit of the Registrant’s annual financial statements, or services that are normally provided in connection with the Registrant’s statutory and regulatory filings and engagements were $60,000. |
(b) | Audit Related Fees For the fiscal year ended September 30, 2016, the aggregate fees billed for assurance and related services rendered by the EY were $0. For the fiscal year ended September 30, 2015, the aggregate fees billed for assurance and related services rendered by the Predecessor Accountant were $3,500. |
(c) | Tax Fees – The aggregate fees billed for professional services rendered by EY to the Registrant for tax compliance, tax advice, tax planning and tax return preparation for the fiscal year ended September 30, 2016 were $0. The aggregate fees billed for professional services rendered by the Predecessor Accountant to the Registrant for tax compliance, tax advice, tax planning and tax return preparation for the fiscal year ended September 30, 2015 were $30,000. These services consisted of the Predecessor Accountant reviewing the Registrant’s excise tax returns, distribution requirements and RIC tax returns, as well as consultations regarding the tax consequences of specific investments. |
(d) | All Other Fees - For the fiscal year ended September 30, 2016, there were no fees billed for professional services rendered by EY for products and services provided by EY to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item. For the fiscal year ended September 30, 2015, there were no fees billed for products and services provided by the Predecessor Accountant to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item. |
(e) | Pre-Approval Policies and Procedures |
(1) Pursuant to the Registrant’s Audit Committee Charter, the Audit Committee shall evaluate the independence of the independent public accountants, including evaluating whether the independent public accountants provide audit services or consulting services to the Registrant or consulting services to the Adviser, and to receive the specific representations of the independent registered public accounting firm as to their independence. Specifically, the Audit Committee will be responsible for evaluating the provision of non-audit services to the Registrant as required by Section 201 of the Sarbanes-Oxley Act, any pre-approval requests submitted by the independent registered public accounting firm as required by Section 202 of the Sarbanes-Oxley Act or as otherwise required under Section 2-01 of Regulation S-X, and shall monitor the conflict of interest requirements in Section 206 of the Sarbanes-Oxley Act, and the prohibitions on improper influence on the conduct of audits in Section 303 of the Sarbanes-Oxley Act. The Audit Committee shall pre-approve any engagement of the independent registered public accounting firm to provide any services (other than prohibited non-audit services) including the fees and other compensation to be paid to the independent registered public accounting firm.
The independent registered public accounting firm is authorized by the Audit Committee to provide non-audit services to the extent allowable under the Sarbanes-Oxley Act of 2002 for the Registrant provided that (i) the fees payable with respect to such services do not exceed $5,000 in any calendar quarter and (ii) such fees are ratified by the Audit Committee at its next meeting. The fees payable with respect to non-audit services may be increased by the affirmative vote of a majority of the members of the Audit Committee.
(2) There were no pre-approval requirements waived for the services provided to the Registrant described in paragraphs (b)-(d) of Item 4 by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (the “De Minimis Rule”). There were no fees billed for services provided to the Adviser described in paragraphs (b)-(d) of Item 4 that were required to be pre-approved by the Audit Committee as described in paragraph (e)(1) of Item 4.
(f) | No disclosures are required by this Item 4(f). |
(g) | For the fiscal year ended September 30, 2016, the aggregate non-audit fees billed by EY for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant was $0. For the fiscal year ended September 30, 2015, the aggregate non-audit fees billed by the Predecessor Accountant for services rendered to the Registrant and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant were $33,500. |
(h) | No disclosures are required by this Item 4(h). |
Item 5. Disclosure of Audit Committees for Listed Companies.
The Registrant has an audit committee which was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are David Sung, Robin Beery and Naozer Dadachanji.
Item 6. Schedule of Investments.
(a) | The schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.
Item 11. Controls and Procedures.
(a) Within 90 days of the filing date of this Form N-CSR, Darek Wojnar, the Registrant’s President and Principal Executive Officer, and Albert Lee, the Registrant’s Treasurer and Principal Financial Officer, reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Mr. Wojnar and Mr. Lee determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the Registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the U.S. Securities and Exchange Commission.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics referred to in Item 2 is attached.
(a)(2) Separate certifications required by Rule 30a-2 under the 1940 Act for each principal executive officer and principal financial officer of the Registrant are attached.
(a)(3) Not applicable
(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the Registrant is attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Lattice Strategies Trust
By: | /s/ Darek Wojnar Darek Wojnar President and Principal Executive Officer |
Date: | December 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: | December 2, 2016 |
By: | /s/ Albert Lee Albert Lee Treasurer and Principal Financial Officer |
Date: | December 2, 2016 |