Lattice Strategies Trust NCSR Certified annual shareholder report (management investment company)

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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-23002

LATTICE STRATEGIES TRUST

(Exact name of registrant as specified in charter)

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

(Address of Principal Executive Offices) (Zip Code)

Corporation Service Company

2711 Centerville Road, Suite 400

Wilmington, DE 19808

(Name and Address of Agent for Service)

Copy to:

John V. O’Hanlon, Esq.

Dechert LLP

One International Place, 40^th Floor

100 Oliver Street

Boston, MA 02110-2605

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

Date of fiscal year end: September 30

Date of reporting period: September 30, 2017

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

LOGO

A MESSAGE FROM THE PRESIDENT

Dear Fellow Shareholders:

Thank you for investing in Hartford Multifactor Exchange-Traded Funds. The following is the Funds’ Annual Report, covering the period from October 1, 2016 through September 30, 2017.

Market Review

During the 12 months ended September 30, 2017, U.S. stocks, as measured by the S&P 500 Index,¹ kept an upward trajectory. Overall, the S&P 500 Index has

climbed throughout the year, returning more than 18% through September 30.

The primary drivers of market progress during the period were slow, steady growth, positive corporate earnings, positive job reports, and a growing domestic economy. These market conditions have served as the basis of the U.S. Federal Reserve’s (Fed) interest-rate hike cycle that began in December 2015 and continued through June 2017, when short-term rates rose by 0.25% to a range of 1% to 1.25%. At the time of this writing, consensus expectations were for a continued gradual increase in interest rates by the Fed, which should help markets better digest and account for such changes.

Going forward, politics at home and abroad are likely to continue to help drive market movements. In the U.S., there is uncertainty about potential policy changes by the Trump administration surrounding healthcare and tax reform. Following three major hurricanes affecting the U.S. territory, deadlines for Congress to pass its 2018 budget and debate lifting the debt ceiling have been pushed back in an effort to tie federal funding for disaster relief to the bills. Additionally, concerns about possible nuclear action from North Korea may be contributing to economic uncertainty.

In Europe, while Macron’s victory in France was generally viewed as market-friendly, uncertainty remains, for example, with respect to Britain’s “Brexit” undertaking to leave the European Union. This scenario could influence markets or cause an uptick in volatility.

For this reason, we encourage you to maintain a strong relationship with your financial advisor, who can help guide you through shifting markets confidently. He or she can help you proactively build a portfolio that takes market uncertainty into account, along with your unique investment goals and risk tolerances. Your advisor can help you find a fit within our family of funds as you work toward those goals.

Thank you again for investing in Hartford Multifactor Exchange-Traded Funds. For the most up-to-date information on our Exchange-Traded Funds suite, please take advantage of all the resources available at hartfordfunds.com/ETF.

LOGO

James Davey

President, Hartford Funds

¹	S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance is not indicative of future results.

Multifactor ETFs

Table of Contents


Fund Performance and Manager Discussions (Unaudited)			2
Expense Examples (Unaudited)			16
Financial Statements:
Schedules of Investments:
Hartford Multifactor Developed Markets (ex-US) ETF			19
Hartford Multifactor Emerging Markets ETF			26
Hartford Multifactor Global Small Cap ETF			32
Hartford Multifactor Low Volatility International Equity ETF			39
Hartford Multifactor Low Volatility US Equity ETF			45
Hartford Multifactor REIT ETF			50
Hartford Multifactor US Equity ETF			53
Statements of Assets and Liabilities			59
Statements of Operations			61
Statements of Changes in Net Assets			63
Financial Highlights			66
Notes to Financial Statements			68
Report of Independent Registered Public Accounting Firm			82
Trustees and Officers (Unaudited)			83
Supplemental Information (Unaudited)			87
How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records (Unaudited)			90
Quarterly Portfolio Holdings Information (Unaudited)			90
Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited)			91

The views expressed in each Fund’s Manager Discussion are views of that Fund’s investment manager or sub-adviser, as applicable, and portfolio management team through the end of the period and are subject to change based on market and other conditions. Each Fund’s Manager Discussion is for informational purposes only and does not represent an offer, recommendation or solicitation to buy, hold or sell any security. The specific securities identified and described, if any, do not represent all of the securities purchased or sold and you should not assume that investments in the securities identified and discussed will be profitable.

Hartford Multifactor Developed Markets (ex-US) ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

LOGO

The chart above represents the hypothetical growth of a $10,000 investment in the Fund. 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.

Average Annual Total Returns (as of 9/30/17)


	1 Year		Since Inception¹
Multifactor Developed Markets (ex-US) ETF (NAV Return)		18.18%		7.65%
Multifactor Developed Markets (ex-US) ETF (Market Price Return)		18.17%		7.88%
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index		18.43%		7.91%

¹	Inception: 2/25/2015

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website www.hartfordfunds.com.

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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.

Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (formerly known as Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index) is calculated by Solactive AG and represents the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.39%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2017.

All investments are subject to risk including the possible loss of principal. For a discussion of the Fund’s risks, please see “A Word about Risk” section in this report. For more detailed information on the risks associated with an investment in the Fund, please see the prospectus.


		2

Hartford Multifactor Developed Markets (ex-US) ETF

Manager Discussion

September 30, 2017 (Unaudited)

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

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by providing exposure to the growth potential of international companies while explicitly seeking to reduce volatility and drawdown risk.

2)	Improve Diversification by diversifying exposure across developed market economies and potentially reducing individual country, currency, and individual company risks.

3)	Enhance Return Potential by selecting companies with a favorable combination of low valuation (50%), high momentum (30%), and high quality (20%) investment factors.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 18.18% at net asset value (“NAV”) for the fiscal year ended September 30, 2017 compared to the Index, which returned 18.43% for the same period. 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. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of September 30, 2017


Country	Percentage of Net Assets
Australia		6.6	%
Austria		0.8
Belgium		1.1
Bermuda		0.4
Canada		10.8
China		0.6
Denmark		2.4


Country	Percentage of Net Assets
Finland		0.5	%
France		6.1
Germany		7.1
Hong Kong		5.1
Ireland		1.4
Isle Of Man		0.2
Israel		2.2
Italy		2.3
Japan		19.3
Jersey		0.0
Luxembourg		0.8
Malta		0.1
Netherlands		3.7
New Zealand		2.1
Norway		0.5
Portugal		0.1
Russia		0.0
Singapore		2.8
South Africa		0.1
Spain		1.8
Sweden		1.9
Switzerland		7.3
United Kingdom		10.6
United States		0.8
Short-Term Investments		1.1
Other Assets & Liabilities		(0.6	)

Total		100.0	%

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		10.6	%
Consumer Staples		8.9
Energy		3.5
Financials		21.5
Health Care		11.8
Industrials		15.5
Information Technology		5.8
Materials		6.3
Real Estate		5.7
Telecommunication Services		4.6
Utilities		5.3

Total		99.5	%

Short-Term Investments		1.1
Other Assets & Liabilities		(0.6	)

Total		100.0	%

A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system and these sector classifications are used for financial reporting purposes.


		3

Hartford Multifactor Emerging Markets ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index based upon the emerging markets of the world.

LOGO

Average Annual Total Returns (as of 9/30/17)


	1 Year		Since Inception¹
Multifactor Emerging Markets ETF (NAV Return)		14.63%		0.83%
Multifactor Emerging Markets ETF (Market Price Return)		13.72%		1.15%
Hartford Risk-Optimized Multifactor Emerging Markets Index		15.34%		1.58%

¹	Inception: 2/25/2015

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Risk-Optimized Multifactor Emerging Markets Index (formerly known as Lattice Risk-Optimized Advancing Markets Strategy Index) is calculated by Solactive

AG and is designed to balance risks and opportunities within equity markets of emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.59%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2017.


		4

Hartford Multifactor Emerging Markets ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor Emerging Markets ETF (the “Fund”) seeks 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”), which is based upon the emerging markets of the world.

The Fund seeks to generate returns and reduce volatility by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by expanding the investment opportunity and seeking to harness emerging markets’ growth potential and allocating risk across countries.

2)	Improve Diversification by improving exposure to countries earlier in their growth cycle (beyond the largest emerging countries) as well as to companies tied more closely to local emerging economies.

3)	Enhance Return Potential by selecting companies with a favorable combination of low valuation (50%), high momentum (30%), and high quality (20%) investment factors.

4)	Maintain Consistency by rebalancing the index twice a year in March and September and reconstituting annually in March to maintain intended investment exposures.

The Fund returned 14.63% at net asset value (“NAV”) for the fiscal year ended September 30, 2017 as compared to the Index which returned 15.34% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. These risks are generally greater for investments in emerging markets. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of September 30, 2017


Country	Percentage of Net Assets
Brazil		4.5	%
Chile		4.9
China		7.9
Colombia		3.2
Hong Kong		0.6
India		6.6


Country	Percentage of Net Assets
Indonesia		7.1	%
Malaysia		7.4
Mexico		4.3
Philippines		6.5
Poland		5.6
Russia		2.9
South Africa		5.3
South Korea		9.4
Taiwan		9.4
Thailand		8.6
Turkey		5.1
United States		0.5
Short-Term Investments		0.6
Other Assets & Liabilities		(0.4	)

Total		100.0	%

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		6.7	%
Consumer Staples		10.9
Energy		9.5
Financials		31.1
Health Care		3.0
Industrials		5.6
Information Technology		11.5
Materials		6.6
Real Estate		2.9
Telecommunication Services		7.3
Utilities		4.7

Total		99.8	%

Short-Term Investments		0.6
Other Assets & Liabilities		(0.4	)

Total		100.0	%


		5

Hartford Multifactor Global Small Cap ETF inception 03/23/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of small capitalization exchange traded equity securities.

LOGO

Average Annual Total Returns (as of 9/30/17)


	1 Year		Since Inception¹
Multifactor Global Small Cap ETF (NAV Return)		21.37%		10.19%
Multifactor Global Small Cap ETF (Market Price Return)		21.14%		10.34%
Hartford Risk-Optimized Multifactor Global Small Cap Index		21.95%		10.84%

¹	Inception: 3/23/2015

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Risk-Optimized Multifactor Global Small Cap Index (formerly known as Lattice Risk-Optimized Global Small Cap Strategy Index) is calculated by Solactive AG and 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.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.56%. Actual expenses may be higher. Expenses shown include acquired fund fees and expenses incurred by investing in the securities of investment vehicles. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2017.


		6

Hartford Multifactor Global Small Cap ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor Global Small Cap ETF (the “Fund”) seeks 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”), which tracks the performance of small cap exchange-traded equity securities.

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by addressing risks common to small cap investing such as volatility, drawdown, and valuation risk and taking advantage of lower correlation and valuation opportunities around the world.

2)	Improve Diversification by expanding the opportunity set to include small companies from the US, developed and emerging markets.

3)	Enhance Return Potential by selecting companies with a favorable combination of low valuation (50%), high momentum (30%), and high quality (20%) investment factors.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 21.37% at net asset value (“NAV”) for the fiscal year ended September 30, 2017 as compared to the Index which returned 21.95% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. These risks are generally greater for investments in emerging markets. Small cap securities can have greater risk and volatility than large-cap securities. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of September 30, 2017


Country	Percentage of Net Assets
Australia		4.6	%
Belgium		0.6


Country	Percentage of Net Assets
Bermuda		0.8	%
Brazil		1.4
Canada		5.3
China		9.8
Denmark		0.8
France		0.9
Georgia		0.4
Germany		0.7
Hong Kong		1.8
Ireland		0.1
Israel		0.9
Italy		0.9
Japan		12.4
Luxembourg		0.2
Netherlands		1.0
New Zealand		0.6
Norway		0.3
Singapore		1.2
South Africa		1.5
South Korea		5.3
Spain		0.4
Sweden		0.8
Switzerland		0.9
Taiwan		3.7
Thailand		0.5
United Kingdom		4.4
United States		37.5
Short-Term Investments		3.8
Other Assets & Liabilities		(3.5	)

Total		100.0	%

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		15.2	%
Consumer Staples		5.6
Energy		5.0
Financials		11.8
Health Care		12.1
Industrials		15.5
Information Technology		15.7
Materials		7.7
Real Estate		9.4
Telecommunication Services		1.4
Utilities		0.3

Total		99.7	%

Short-Term Investments		3.8
Other Assets & Liabilities		(3.5	)

Total		100.0	%


		7

Hartford Multifactor Low Volatility International Equity ETF inception 05/10/2017


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in both developed and emerging markets.

LOGO

Cumulative Total Returns (as of 9/30/17)


	Since Inception¹
Multifactor Low Volatility International Equity ETF (NAV Return)		6.84%
Multifactor Low Volatility International Equity ETF (Market Price Return)		8.05%
Hartford Multifactor Low Volatility International Equity Index		7.10%

¹	Inception: 05/10/2017. Cumulative returns not annualized.

Information regarding how often shares of the Fund traded on Bats BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Multifactor Low Volatility International Equity Index is calculated by Solactive AG and seeks to address risks and opportunities within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality, and size factors.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated March 29, 2017, the total annual fund operating expense ratio was 0.39%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2017.


		8

Hartford Multifactor Low Volatility International Equity ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor Low Volatility International Equity ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Multifactor Low Volatility International Equity Index (LLVINX) (the “Index”), which is designed to outperform a capitalization-weighted universe of developed and emerging markets located outside the U.S. with up to one quarter less volatility over a complete market cycle.

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by combining the selection of low volatility companies, favorable intra-portfolio correlations, and sector risk balancing while explicitly seeking to reduce volatility and drawdown risk.

2)	Improve Diversification by diversifying exposure across developed (excluding the US) and emerging economies while seeking to balance risk across sectors.

3)	Enhance Return Potential by selecting companies exhibiting the low volatility factor and seeking to maintain positive exposure to other potentially return-enhancing factors such as value, momentum, and quality.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 6.84% at net asset value (“NAV”) since inception (May 10, 2017) to September 30, 2017 as compared to the Index which returned 7.10% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

The Fund is new and has a limited operating history. All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. The Fund may experience more than a minimum level of volatility as there is no guarantee that the underlying index’s strategy of seeking to lower volatility will be successful. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. These risks are generally greater for investments in emerging markets. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of September 30, 2017


Country	Percentage of Net Assets
Australia		5.4	%
Austria		0.1
Belgium		0.0
Brazil		1.0
Canada		9.7
Chile		0.2
China		4.5
Denmark		1.0
Finland		0.6
France		4.2
Germany		3.3
Hong Kong		5.5
India		2.3
Indonesia		2.7
Ireland		1.1
Israel		1.4
Italy		1.6
Japan		15.7
Malaysia		1.2
Mexico		0.3
Netherlands		1.1
Norway		0.3
Philippines		1.2
Poland		0.2
Russia		0.1
Singapore		2.3
South Africa		0.3
South Korea		5.7
Spain		0.7
Sweden		1.4
Switzerland		4.3
Taiwan		3.9
Thailand		2.8
Turkey		2.2
United Kingdom		10.5
United States		0.9
Short-Term Investments		1.0
Other Assets & Liabilities		(0.7	)

Total		100.0	%

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		14.9	%
Consumer Staples		8.2
Energy		6.2
Financials		8.3
Health Care		10.2
Industrials		17.0
Information Technology		10.4
Materials		9.2
Real Estate		4.7
Telecommunication Services		6.5
Utilities		4.1

Total		99.7	%

Short-Term Investments		1.0
Other Assets & Liabilities		(0.7	)

Total		100.0	%


		9

Hartford Multifactor Low Volatility US Equity ETF inception 05/10/2017


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities.

LOGO

Cumulative Total Returns (as of 9/30/17)


	Since Inception¹
Multifactor Low Volatility US Equity ETF (NAV Return)		3.53%
Multifactor Low Volatility US Equity ETF (Market Price Return)		3.57%
Hartford Multifactor Low Volatility US Equity Index		3.65%

¹	Inception: 05/10/2017. Cumulative returns not annualized.

Information regarding how often shares of the Fund traded on Bats BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Multifactor Low Volatility US Equity Index is calculated by Solactive AG and seeks to address risks and opportunities within U.S. equities across the

capitalization spectrum by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum and quality factors.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated March 29, 2017, the total annual fund operating expense ratio was 0.29%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2017.


		10

Hartford Multifactor Low Volatility US Equity ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor Low Volatility US Equity ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Multifactor Low Volatility US Equity Index (LLVUSX) (the “Index”), which is designed to outperform a U.S. capitalization-weighted universe with up to one quarter less volatility over a complete market cycle.

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by combining the selection of low volatility companies, favorable intra-portfolio correlations, and sector risk balancing while explicitly seeking to reduce volatility and drawdown risk.

2)	Improve Diversification by diversifying exposure across US large-, mid-, and small-cap companies while seeking to balance risk across sectors.

3)	Enhance Return Potential by selecting companies exhibiting the low volatility factor and seeking to maintain positive exposure to other potentially return-enhancing factors such as value, momentum, and quality.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 3.53% at net asset value (“NAV”) since inception (May 10, 2017) to September 30, 2017 as compared to the Index which returned 3.65% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

The Fund is new and has a limited operating history. All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. The Fund may experience more than a minimum level of volatility as there is no guarantee that the underlying index’s strategy of seeking to lower volatility will be successful. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		15.8	%
Consumer Staples		7.2
Energy		5.0
Financials		5.8
Health Care		9.2
Industrials		18.0
Information Technology		11.0
Materials		9.5
Real Estate		6.0
Telecommunication Services		6.8
Utilities		5.5

Total		99.8	%

Short-Term Investments		0.8
Other Assets & Liabilities		(0.6	)

Total		100.0	%


		11

Hartford Multifactor REIT ETF inception 10/03/2016


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of publicly traded real estate investment trusts.

LOGO

Cumulative Total Returns (as of 9/30/17)


	Since Inception¹
Multifactor REIT ETF (NAV Return)		8.47%
Multifactor REIT ETF (Market Price Return)		8.47%
Hartford Risk-Optimized Multifactor REIT Index		9.02%

¹	Inception: 10/03/2016. Cumulative returns not annualized.

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Risk-Optimized Multifactor REIT Index (formerly known as Lattice Risk-Optimized Real Estate Strategy Index) is calculated by Solactive AG and designed to

capture the income and growth potential of investing within the U.S. REIT universe. The Strategy selects equity securities of REITs exhibiting a favorable combination of factor characteristics, including quality, momentum, and value.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.45%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2017.


		12

Hartford Multifactor REIT ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor US REIT ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor US REIT Index (LROREX) (the “Index”), which is designed to capture the income and growth potential of investing in the U.S. REIT universe.

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by balancing risk across property types and selecting US REITs with income and growth potential.

2)	Improve Diversification by reducing concentration at the property type and individual company levels.

3)	Enhance Return Potential by selecting companies with a favorable combination of high quality (50%), high momentum (30%), and low valuation (20%) investment factors.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 8.47% at net asset value (“NAV”) since inception (October 3, 2016) to September 30, 2017 as compared to the Index which returned 9.02% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. A concentration in real estate securities, such as REITs, may subject the Fund to risks associated with the direct ownership of real estate as well as the risks related to the way real estate companies are organized and operated. Real estate is sensitive to changes in interest rates and general and local economic conditions and developments. The fund is non-diversified, so it may be more exposed to the risks associated with single issuers than a diversified fund. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Real Estate		101.5	%
Short-Term Investments		3.8
Other Assets & Liabilities		(5.3	)

Total		100.0	%


		13

Hartford Multifactor US Equity ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities.

LOGO

Average Annual Total Returns (as of 9/30/17)


	1 Year		Since Inception¹
Multifactor US Equity ETF (NAV Return)		19.84%		7.58%
Multifactor US Equity ETF (Market Price Return)		19.71%		7.55%
Hartford Risk-Optimized Multifactor US Equity Index		20.05%		7.76%

¹	Inception: 2/25/2015

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com/ETF.

Hartford Risk-Optimized Multifactor US Equity Index (formerly known as Lattice Risk-Optimized US Equity Strategy Index) is calculated by Solactive AG and 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.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

The chart and table do not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.29%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2017.


		14

Hartford Multifactor US Equity ETF

Manager Discussion

September 30, 2017 (Unaudited)

Hartford Multifactor US Equity ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor US Equity Index (LROUSLX) (the “Index”), which tracks the performance of exchange-traded U.S. equity securities.

The Fund seeks to generate returns by investing in index constituents that are selected and weighted through a rules-based methodology that seeks to:

1)	Deliberately Allocate Risks by allocating capital deeper in the US Large Cap Universe toward companies with more favorable risk/reward potential.

2)	Improve Diversification by providing diversified exposure across the US Large Cap Universe, beyond mega-caps.

3)	Enhance Return Potential by selecting companies with a favorable combination of low valuation (50%), high momentum (30%), and high quality (20%) investment factors.

4)	Maintain Consistency by reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned 19.84% at net asset value (“NAV”) for the fiscal year ended September 30, 2017 as compared to the Index which returned 20.05% for the same period. The difference in returns between the Fund and the Index was primarily the result of the Fund’s transaction costs and operating expenses that are not reflected in the Index’s results. Derivatives were not used in the Fund during the period and did not have an impact on the Fund’s performance during the period.

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Sector

as of September 30, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		10.7	%
Consumer Staples		6.3
Energy		5.2
Financials		17.8
Health Care		15.4
Industrials		11.0
Information Technology		20.6
Materials		5.1
Real Estate		3.8
Telecommunication Services		1.8
Utilities		2.5

Total		100.2	%

Short-Term Investments		0.1
Other Assets & Liabilities		(0.3	)

Total		100.0	%


		15

Multifactor ETFs

Expense Examples (Unaudited)

Your Fund’s Expenses

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 investment management fees and certain other fund expenses. This 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 of April 1, 2017 through September 30, 2017, except as indicated below.

Actual Expenses

The first set of columns of the table below provides information about actual account values and actual expenses. You may use this information, 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, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second set of columns of the table below 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 funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other 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 second set of columns of the table 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 be 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). Expenses are equal to a Fund’s annualized expense ratios multiplied by average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

Hartford Multifactor Developed Markets (ex-US) ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,127.40	$	2.08	$	1,000.00	$	1,023.11	$	1.98		0.39	%		183		365

Hartford Multifactor Emerging Markets ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,093.90	$	3.10	$	1,000.00	$	1,022.11	$	2.99		0.59	%		183		365


		16

Multifactor ETFs

Expense Examples (Unaudited) – (continued)

Hartford Multifactor Global Small Cap ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio⁽¹⁾			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,107.70	$	2.91	$	1,000.00	$	1,022.31	$	2.79		0.55	%		183		365

⁽¹⁾	Ratio does not include acquired fund fees and expenses.

Hartford Multifactor Low Volatility International Equity ETF⁽¹⁾


Actual Return						Hypothetical (5% return before expenses)*
Beginning Account Value May 10, 2017		Ending Account Value September 30, 2017		Expenses paid during the period May 10, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,068.40	$	1.58	$	1,000.00	$	1,023.11	$	1.98		0.39	%		183		365

Please note that while the Fund commenced operations on May 10, 2017, the hypothetical expenses paid during the period reflect projected activity for the full six-month period for purposes of comparability. This projection assumes that annualized expense ratio was in effect during the period April 1, 2017 to September 30, 2017.

⁽¹⁾	Commenced operations on May 10, 2017.

Hartford Multifactor Low Volatility US Equity ETF⁽¹⁾


Actual Return						Hypothetical (5% return before expenses)*
Beginning Account Value May 10, 2017		Ending Account Value September 30, 2017		Expenses paid during the period May 10, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,035.30	$	1.16	$	1,000.00	$	1,023.62	$	1.47		0.29	%		183		365

⁽¹⁾	Commenced operations on May 10, 2017.


		17

Multifactor ETFs

Expense Examples (Unaudited) – (continued)

Hartford Multifactor REIT ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,043.70	$	2.31	$	1,000.00	$	1,022.81	$	2.28		0.45	%		183		365

Hartford Multifactor US Equity ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Beginning Account Value April 1, 2017		Ending Account Value September 30, 2017		Expenses paid during the period April 1, 2017 through September 30, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,081.90	$	1.51	$	1,000.00	$	1,023.62	$	1.47		0.29	%		183		365


		18

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5%
		Australia - 6.6%
	30,202	Adelaide Brighton Ltd.⁽¹⁾	$	138,159
	17,514	AGL Energy Ltd.		321,159
	26,610	Amcor Ltd.		317,578
	22,620	Ansell Ltd.		395,443
	50,591	AusNet Services		67,087
	10,542	Australia & New Zealand Banking Group Ltd.		244,845
	27,420	BlueScope Steel Ltd.		236,021
	29,955	Caltex Australia Ltd.		754,484
	18,458	CIMIC Group Ltd.		640,296
	41,350	Coca-Cola Amatil Ltd.		250,802
	3,137	Cochlear Ltd.		391,887
	686	Commonwealth Bank of Australia		40,505
	3,087	CSL Ltd.		324,480
	31,043	Dexus REIT		231,400
	4,364	Flight Centre Travel Group Ltd.⁽¹⁾		154,124
	55,145	GPT Group REIT		214,617
	25,514	Insurance Australia Group Ltd.		127,524
	2,866	Macquarie Group Ltd.		204,461
	110,392	Mirvac Group REIT⁽¹⁾		198,358
	2,574	National Australia Bank Ltd.		63,620
	72,048	Orora Ltd.		175,251
	156,819	Qantas Airways Ltd.		717,370
	6,359	QBE Insurance Group Ltd.		49,946
	64,732	Scentre Group REIT		199,612
	19,809	Sonic Healthcare Ltd.		325,007
	39,721	Stockland REIT		134,018
	6,961	Suncorp Group Ltd.		71,278
	58,779	Tabcorp Holdings Ltd.		196,936
	165,144	Telstra Corp. Ltd.⁽¹⁾		452,235
	29,174	Vicinity Centres REIT		60,891
	10,127	Wesfarmers Ltd.		328,414
	10,943	Westfield Corp. REIT⁽¹⁾		67,317
	32,321	Woolworths Ltd.⁽¹⁾		639,342

				8,734,467

		Austria - 0.8%
	982	Lenzing AG		142,445
	1,109	Oesterreichische Post AG		51,210
	27,995	Telekom Austria AG*		254,009
	55,506	UNIQA Insurance Group AG		581,648

				1,029,312

		Belgium - 1.1%
	561	Ackermans & van Haaren N.V.		98,388
	9,192	bpost S.A.		273,299
	685	Cie d’Entreprises CFE		102,076
	4,883	Colruyt S.A.⁽¹⁾		250,159
	2,338	Elia System Operator S.A.		135,407
	2,490	KBC Group N.V.		211,062
	5,931	Proximus SADP		204,424
	826	Sofina S.A.		126,945

				1,401,760

		Bermuda - 0.4%
	33,684	Hiscox Ltd.		578,459

		Canada - 10.8%
	2,315	Agnico Eagle Mines Ltd.		104,380
	5,018	Agrium, Inc.		536,527
	21,237	Air Canada*		445,575
	7,872	Alimentation Couche-Tard, Inc. Class B		358,147
	3,230	AltaGas Ltd.⁽¹⁾		74,226


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Canada - 10.8% - (continued)
	11,328	Bank of Montreal⁽¹⁾	$	855,318
	7,719	Bank of Nova Scotia⁽¹⁾		494,994
	11,216	BCE, Inc.⁽¹⁾		524,277
	8,896	Canadian Apartment Properties REIT		239,925
	4,929	Canadian Imperial Bank of Commerce⁽¹⁾		430,255
	1,661	Canadian Tire Corp. Ltd. Class A		206,308
	8,294	CCL Industries, Inc. Class B		400,425
	11,772	CGI Group, Inc. Class A*		609,002
	1,820	Emera, Inc.⁽¹⁾		68,775
	642	Fairfax Financial Holdings Ltd.		333,323
	1,510	First Capital Realty, Inc.⁽¹⁾		23,761
	455	Fortis, Inc.		16,291
	1,082	Franco-Nevada Corp.		83,625
	3,602	Genworth MI Canada, Inc.⁽¹⁾		106,650
	4,444	George Weston Ltd.		386,072
	19,063	Great-West Lifeco, Inc.		547,357
	21,348	Husky Energy, Inc.*⁽¹⁾		266,626
	30,181	Hydro One Ltd.⁽¹⁾⁽²⁾		548,285
	4,538	Imperial Oil Ltd.⁽¹⁾		144,633
	5,411	Industrial Alliance Insurance & Financial Services, Inc.		244,450
	2,522	Intact Financial Corp.		207,846
	4,515	Loblaw Cos. Ltd.		245,849
	7,314	Magna International, Inc.		389,429
	22,810	Manulife Financial Corp.		461,617
	3,089	Metro, Inc.⁽¹⁾		105,984
	3,990	National Bank of Canada⁽¹⁾		191,580
	6,203	Norbord, Inc.		235,641
	2,097	Open Text Corp.		67,505
	1,258	Peyto Exploration & Development Corp.		20,520
	11,160	Power Corp. of Canada		282,960
	16,160	Power Financial Corp.		447,206
	736	RioCan REIT		14,083
	9,107	Rogers Communications, Inc. Class B⁽¹⁾		468,512
	9,525	Royal Bank of Canada⁽¹⁾		735,252
	4,243	Saputo, Inc.⁽¹⁾		146,528
	6,089	Shaw Communications, Inc. Class B⁽¹⁾		139,828
	16,541	Sun Life Financial, Inc.		657,196
	6,665	Suncor Energy, Inc.		233,047
	11,384	TELUS Corp.		408,519
	2,567	Thomson Reuters Corp.		117,659
	2,034	Toromont Industries Ltd.		93,060
	7,194	Toronto-Dominion Bank		404,093
	1,880	West Fraser Timber Co., Ltd.		108,232

				14,231,353

		China - 0.6%
	311,000	China Resources Pharmaceutical Group Ltd.⁽²⁾		369,504
	371,258	Yangzijiang Shipbuilding Holdings Ltd.		390,956

				760,460

		Denmark - 2.4%
	1,914	Coloplast A/S B Shares⁽¹⁾		155,375
	16,150	DONG Energy AS⁽²⁾		924,646
	1,636	GN Store Nord AS		56,086
	2,498	H. Lundbeck A/S		144,170
	8,872	ISS A/S		356,865
	1,361	Nets A/S*⁽²⁾		35,242
	11,857	Novo Nordisk A/S Class B		566,969
	705	Rockwool International A/S B Shares		191,403
	9,280	Topdanmark A/S*		365,167

The accompanying notes are an integral part of these financial statements.


		19

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Denmark - 2.4% - (continued)
	12,993	William Demant Holding A/S*	$	343,051

				3,138,974

		Finland - 0.5%
	9,369	Neste Oyj		409,259
	4,638	Orion Oyj Class B		215,264

				624,523

		France - 6.1%
	287	Aeroports de Paris		46,415
	9,459	Air France-KLM*		149,174
	439	Air Liquide S.A.		58,568
	4,843	Amundi S.A.⁽²⁾		402,610
	1,216	Atos SE		188,679
	5,691	AXA S.A.		172,167
	7,440	BioMerieux		605,751
	15,751	Bouygues S.A.		747,626
	5,113	Cie Generale des Etablissements Michelin		746,506
	35,970	CNP Assurances		843,245
	6,132	Elior Group S.A.⁽²⁾		162,383
	2,995	Euler Hermes Group		354,069
	1,114	Gecina S.A. REIT		180,688
	3,722	Ipsen S.A.		494,797
	6,398	Lagardere SCA		214,242
	6,390	Peugeot S.A.		152,218
	5,343	Rubis SCA		340,648
	1,084	Safran S.A.		110,773
	11,018	SCOR SE		462,079
	854	Societe BIC S.A.		102,373
	2,012	Sodexo S.A.		250,941
	4,701	Suez		85,836
	2,537	Thales S.A.		287,267
	6,378	TOTAL S.A.		342,658
	10,497	Worldline S.A.*⁽²⁾		445,006

				7,946,719

		Germany - 7.1%
	2,963	Allianz SE		665,368
	151,276	Aroundtown S.A.		1,081,972
	3,794	Aurubis AG		307,420
	1,500	BASF SE		159,668
	532	Bayer AG		72,516
	3,261	Carl Zeiss Meditec AG		170,263
	870	CECONOMY AG		10,247
	8,184	Covestro AG⁽²⁾		703,865
	15,173	Deutsche Lufthansa AG		421,711
	2,473	Deutsche Post AG		110,117
	2,994	Deutsche Wohnen SE		127,139
	1,960	DMG Mori AG		121,648
	9,116	Evonik Industries AG		325,679
	286	Fielmann AG		24,787
	1,819	Fresenius Medical Care AG & Co. KGaA		177,990
	3,626	Hannover Rueck SE		437,024
	3,995	Hella KGaA Hueck & Co.		235,554
	388	HOCHTIEF AG		65,478
	21,609	Innogy SE⁽²⁾		961,940
	761	Krones AG⁽¹⁾		105,754
	566	Linde AG		118,067
	992	MAN SE		111,985
	4,296	Merck KGaA		478,010
	3,468	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		741,666


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Germany - 7.1% - (continued)
	1,130	OSRAM Licht AG	$	90,186
	2,054	Suedzucker AG		44,133
	14,640	Talanx AG*		592,000
	48,521	Telefonica Deutschland Holding AG		272,352
	11,928	Uniper SE		327,150
	6,526	Vonovia SE		277,741

				9,339,430

		Hong Kong - 5.1%
	15,945	BOC Hong Kong Holdings Ltd.		77,472
	547,688	Champion REIT		377,948
	373,000	Chinese Estates Holdings Ltd.		644,692
	77,920	Chow Tai Fook Jewellery Group Ltd.		93,476
	6,980	CLP Holdings Ltd.		71,536
	80,433	Dairy Farm International Holdings Ltd.⁽¹⁾		618,530
	9,110	Hang Seng Bank Ltd.		222,073
	158,609	HK Electric Investments & HK Electric Investments Ltd.⁽²⁾		144,583
	65,084	Hongkong Land Holdings Ltd.		468,605
	106,000	Hopewell Holdings Ltd.		412,562
	3,229	I-CABLE Communications Ltd.*		105
	2,026	Jardine Matheson Holdings Ltd.		128,367
	7,285	Jardine Strategic Holdings Ltd.		314,712
	85,500	Johnson Electric Holdings Ltd.		326,754
	82,000	Kerry Properties Ltd.		339,624
	77,188	Link REIT		625,552
	192,575	PCCW Ltd.		104,292
	94,000	SJM Holdings Ltd.		86,049
	46,335	VTech Holdings Ltd.		675,090
	506,292	WH Group Ltd.⁽²⁾		538,009
	12,761	Wheelock & Co., Ltd.		89,776
	81,611	Yue Yuen Industrial Holdings Ltd.		310,324

				6,670,131

		Ireland - 1.4%
	7,756	Allied Irish Banks plc		46,625
	1,028	DCC plc		99,924
	9,066	ICON plc*		1,032,436
	2,994	Kerry Group plc Class A		287,727
	2,841	Ryanair Holdings plc ADR*		299,498
	2,600	Smurfit Kappa Group plc		81,454

				1,847,664

		Isle Of Man - 0.2%
	19,022	Playtech plc		234,409

		Israel - 2.2%
	11,566	Bank Hapoalim BM		80,968
	61,482	Bank Leumi Le-Israel BM		326,328
	373,794	Bezeq The Israeli Telecommunication Corp. Ltd.		534,460
	2,187	Elbit Systems Ltd.		321,494
	166,530	Israel Discount Bank Ltd. Class A*		420,025
	37,600	Mizrahi Tefahot Bank Ltd.		674,067
	4,568	Taro Pharmaceutical Industries Ltd.*⁽¹⁾		514,768
	1,335	Teva Pharmaceutical Industries Ltd.		23,340

				2,895,450

		Italy - 2.3%
	2,966	ACEA S.p.A.		46,004
	4,660	Assicurazioni Generali S.p.A.		86,822
	3,335	DiaSorin S.p.A.		297,472
	9,479	Enel S.p.A.		57,095
	2,608	Ferrari N.V.		288,277

The accompanying notes are an integral part of these financial statements.


		20

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Italy - 2.3% - (continued)
	215	GEDI Gruppo Editoriale S.p.A.*	$	191
	72,898	Hera S.p.A.		229,239
	10,494	Italgas S.p.A.		58,928
	135,190	Parmalat S.p.A.		495,447
	35,684	Poste Italiane S.p.A.⁽¹⁾⁽²⁾		262,816
	156,763	PRADA S.p.A.		545,912
	10,814	Recordati S.p.A.		498,588
	51,137	UnipolSai Assicurazioni S.p.A.⁽¹⁾		119,457

				2,986,248

		Japan - 19.3%
	205	ABC-Mart, Inc.		10,818
	30,859	Aeon Co., Ltd.		455,764
	2,237	Aisin Seiki Co., Ltd.		117,847
	2,078	Ajinomoto Co., Inc.		40,539
	5,382	Alfresa Holdings Corp.		98,446
	5,342	ANA Holdings, Inc.		202,108
	2,458	Aoyama Trading Co., Ltd.⁽¹⁾		87,891
	8,689	Aozora Bank Ltd.		330,366
	500	Asahi Group Holdings Ltd.		20,237
	52,094	Asahi Kasei Corp.		640,965
	20,265	Astellas Pharma, Inc.		257,712
	3,900	Azbil Corp.		167,170
	7,859	Bandai Namco Holdings, Inc.		269,495
	5,287	Benesse Holdings, Inc.		190,692
	11,397	Bic Camera, Inc.⁽¹⁾		126,661
	9,693	Bridgestone Corp.		439,679
	7,485	Brother Industries Ltd.		174,084
	15,797	Canon Marketing Japan, Inc.		377,365
	17,403	Canon, Inc.		594,452
	59,664	Citizen Watch Co., Ltd.		410,781
	1,060	COMSYS Holdings Corp.		25,322
	5,137	Dai-ichi Life Holdings, Inc.		92,139
	8,836	Daiichi Sankyo Co., Ltd.		199,225
	1,300	Daiichikosho Co., Ltd.		62,133
	1,216	Daito Trust Construction Co., Ltd.		221,454
	19,817	Daiwa Securities Group, Inc.⁽¹⁾		112,196
	2,700	FamilyMart UNY Holdings Co., Ltd.⁽¹⁾		142,238
	6,820	FUJIFILM Holdings Corp.		264,584
	58,489	Fujitsu Ltd.		434,335
	1,400	Furukawa Electric Co., Ltd.		76,862
	112,208	GungHo Online Entertainment, Inc.⁽¹⁾		303,036
	7,421	Heiwa Corp.⁽¹⁾		147,082
	1,593	Hikari Tsushin, Inc.		199,541
	400	Hisamitsu Pharmaceutical Co., Inc.		19,189
	1,937	Hitachi Chemical Co., Ltd.		53,086
	5,107	Hitachi High-Technologies Corp.		185,107
	51,368	Hitachi Ltd.		361,833
	2,434	Hitachi Transport System Ltd.		56,306
	8,249	House Foods Group, Inc.		245,129
	6,621	Hoya Corp.		357,328
	8,719	Idemitsu Kosan Co., Ltd.		245,927
	6,136	Ito En Ltd.		206,868
	10,771	ITOCHU Corp.⁽¹⁾		176,351
	17,951	Itochu Techno-Solutions Corp.		669,784
	17,693	Japan Airlines Co., Ltd.		598,543
	12,281	Japan Post Holdings Co., Ltd.⁽¹⁾		144,996
	7,519	Japan Post Insurance Co., Ltd.		161,047
	1,275	Japan Tobacco, Inc.		41,773
	49,938	JXTG Holdings, Inc.		256,821
	19,374	K’s Holdings Corp.⁽¹⁾		429,080


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 19.3% - (continued)
	400	Kagome Co., Ltd.	$	12,544
	6,000	Kajima Corp.		59,592
	949	Kaken Pharmaceutical Co., Ltd.		48,224
	10,882	Kaneka Corp.		84,492
	1,870	Kansai Electric Power Co., Inc.		23,914
	1,581	Kao Corp.		92,979
	11,551	KDDI Corp.		304,462
	10,600	Kinden Corp.		170,632
	957	Kirin Holdings Co., Ltd.		22,513
	15,988	Konica Minolta, Inc.⁽¹⁾		131,239
	5,493	Kuraray Co., Ltd.		102,672
	1,200	Kurita Water Industries Ltd.		34,647
	22,800	Kyushu Railway Co.		677,529
	2,922	Lawson, Inc.⁽¹⁾		193,390
	5,631	Lion Corp.		102,750
	17,050	Medipal Holdings Corp.		295,969
	516	MEIJI Holdings Co., Ltd.		40,889
	2,892	Mitsubishi Gas Chemical Co., Inc.		67,749
	24,327	Mitsubishi Tanabe Pharma Corp.		557,577
	8,060	Mixi, Inc.⁽¹⁾		388,805
	3,445	MS&AD Insurance Group Holdings, Inc.		110,880
	2,517	NEC Corp.		68,210
	5,738	NH Foods Ltd.		157,768
	3,694	Nichirei Corp.		92,707
	2,875	Nihon Kohden Corp.		62,115
	15,281	Nippo Corp.		326,757
	9,768	Nippon Kayaku Co., Ltd.		150,384
	10,553	Nippon Telegraph & Telephone Corp.		483,470
	15,600	Nipro Corp.⁽¹⁾		214,809
	10,570	Nissan Motor Co., Ltd.⁽¹⁾		104,653
	1,760	NTT Data Corp.		18,825
	15,524	NTT DOCOMO, Inc.		354,501
	8,600	Obayashi Corp.		103,064
	13,451	Osaka Gas Co., Ltd.⁽¹⁾		249,984
	2,869	Otsuka Corp.		183,765
	1,804	Otsuka Holdings Co., Ltd.		71,654
	21,369	Panasonic Corp.		309,529
	3,867	Park24 Co., Ltd.⁽¹⁾		94,129
	30,400	Recruit Holdings Co., Ltd.⁽¹⁾		658,151
	9,266	Resona Holdings, Inc.		47,579
	12,269	Ricoh Co., Ltd.⁽¹⁾		119,240
	9,228	Rohto Pharmaceutical Co., Ltd.		207,818
	1,600	Sankyo Co., Ltd.		51,028
	5,668	Sawai Pharmaceutical Co., Ltd.⁽¹⁾		321,756
	9,508	Sega Sammy Holdings, Inc.		132,782
	11,574	Seiko Epson Corp.⁽¹⁾		279,980
	9,365	Sekisui Chemical Co., Ltd.		184,197
	5,948	Sekisui House Ltd.		100,212
	3,689	Seven & I Holdings Co., Ltd.		142,395
	2,640	Shimamura Co., Ltd.		316,617
	34,058	Skylark Co., Ltd.		503,162
	800	Square Enix Holdings Co., Ltd.		30,063
	3,093	Subaru Corp.		111,558
	4,417	Sugi Holdings Co., Ltd.		234,653
	1,501	Sumitomo Dainippon Pharma Co., Ltd.⁽¹⁾		19,522
	10,229	Sumitomo Forestry Co., Ltd.		159,935
	8,889	Sumitomo Rubber Industries Ltd.		162,831
	3,807	Suntory Beverage & Food Ltd.		169,441
	5,682	Suzuken Co., Ltd.		201,910
	1,400	Taisei Corp.		73,380
	5,444	Takeda Pharmaceutical Co., Ltd.		300,529

The accompanying notes are an integral part of these financial statements.


		21

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 19.3% - (continued)
	2,312	Toho Gas Co., Ltd.	$	67,665
	2,414	Tokyo Electron Ltd.		370,576
	15,697	Tokyo Gas Co., Ltd.		384,589
	2,119	Toyo Suisan Kaisha Ltd.		77,840
	16,847	Tsumura & Co.		606,142
	379	Tsuruha Holdings, Inc.		45,285
	3,689	TV Asahi Holdings Corp.		73,442
	12,773	Ube Industries Ltd.		368,770
	1,691	Welcia Holdings Co., Ltd.		63,620
	2,749	West Japan Railway Co.		191,025
	19,257	Yamada Denki Co., Ltd.⁽¹⁾		105,211
	9,980	Yamazaki Baking Co., Ltd.		180,157
	2,835	Yokohama Rubber Co., Ltd.		58,430
	7,053	Zensho Holdings Co., Ltd.⁽¹⁾		127,257

				25,320,907

		Jersey - 0.0%
	518	Randgold Resources Ltd.		50,837

		Luxembourg - 0.8%
	23,927	Grand City Properties S.A.		504,914
	279,701	L’Occitane International S.A.		607,337

				1,112,251

		Malta - 0.1%
	17,044	Kindred Group plc SDR		195,657

		Netherlands - 3.7%
	13,460	Aegon N.V.		78,416
	2,591	Akzo Nobel N.V.		239,288
	25,122	ASR Nederland N.V.		1,005,170
	5,345	GrandVision N.V.⁽²⁾		135,192
	474	Heineken Holding N.V.		44,549
	22,235	Koninklijke Ahold Delhaize N.V.		415,848
	2,933	Koninklijke DSM N.V.		240,152
	23,798	NN Group N.V.		996,224
	25,786	Philips Lighting N.V.⁽²⁾		1,041,035
	15,188	Royal Dutch Shell plc Class A		458,176
	4,339	Wolters Kluwer N.V.		200,540

				4,854,590

		New Zealand - 2.1%
	366,767	Air New Zealand Ltd.		893,508
	39,810	Fisher & Paykel Healthcare Corp. Ltd.		367,791
	54,374	Fletcher Building Ltd.		314,063
	47,376	Meridian Energy Ltd.		97,436
	166,452	Spark New Zealand Ltd.		434,920
	110,326	Z Energy Ltd.⁽¹⁾		586,994

				2,694,712

		Norway - 0.5%
	14,261	Entra ASA⁽²⁾		195,275
	12,401	Leroy Seafood Group ASA		79,373
	38	Statoil ASA		760
	7,248	Yara International ASA		324,782

				600,190

		Portugal - 0.1%
	6,086	Jeronimo Martins SGPS S.A.		120,082

		Russia - 0.0%
	2,204	Polymetal International plc		24,898

		Singapore - 2.8%
	73,904	BOC Aviation Ltd.⁽²⁾		401,184
	53,198	ComfortDelGro Corp. Ltd.⁽¹⁾		81,485


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Singapore - 2.8% - (continued)
	33,104	DBS Group Holdings Ltd.	$	507,548
	85,987	Keppel REIT⁽¹⁾		74,719
	344,534	Mapletree Greater China Commercial Trust REIT		293,042
	109,033	Mapletree Industrial Trust REIT		150,548
	67,382	Oversea-Chinese Banking Corp. Ltd.		553,764
	81,711	SATS Ltd.		277,394
	56,288	Singapore Airlines Ltd.		416,165
	253,037	StarHub Ltd.⁽¹⁾		484,478
	25,353	United Overseas Bank Ltd.		438,746

				3,679,073

		South Africa - 0.1%
	6,411	Mondi plc		172,457

		Spain - 1.8%
	4,558	ACS Actividades de Construccion y Servicios S.A.		168,955
	1,126	Aena SME S.A.⁽²⁾		203,334
	1,861	Amadeus IT Group S.A.		120,982
	2,055	Bolsas y Mercados Espanoles SHMSF S.A.		70,939
	19,318	Cia de Distribucion Integral Logista Holdings S.A.		464,634
	7,959	Distribuidora Internacional de Alimentacion S.A.⁽¹⁾		46,434
	10,101	Ebro Foods S.A.⁽¹⁾		239,425
	22,904	Endesa S.A.		516,496
	11,561	Gas Natural SDG S.A.		255,990
	254	Grupo Catalana Occidente S.A.		10,699
	7,712	Iberdrola S.A.		59,918
	4,745	Red Electrica Corp. S.A.		99,737
	1,883	Viscofan S.A.		115,378

				2,372,921

		Sweden - 1.9%
	40,339	Ahlsell AB⁽²⁾		261,436
	25,636	Axfood AB⁽¹⁾		438,764
	30,004	Dometic Group AB⁽²⁾		254,556
	2,944	Hennes & Mauritz AB B Shares		76,104
	4,137	ICA Gruppen AB⁽¹⁾		155,144
	2,094	Investor AB B Shares		103,208
	1,308	L E Lundbergforetagen AB B Shares		104,321
	6,559	Loomis AB Class B		260,115
	4,454	Nordea Bank AB		60,243
	5,178	Skandinaviska Enskilda Banken AB Class A		68,069
	37,215	Svenska Cellulosa AB SCA Class B		314,595
	11,231	Swedbank AB Class A		309,864
	1,457	Swedish Match AB		50,998
	8,428	Tele2 AB B Shares		96,233

				2,553,650

		Switzerland - 7.3%
	6,696	ABB Ltd.		165,670
	953	Allreal Holding AG*		167,139
	5,267	Baloise Holding AG		833,924
	650	Banque Cantonale Vaudoise		483,671
	663	Emmi AG*		434,760
	130	EMS-Chemie Holding AG		86,523
	2,416	Ferguson plc		158,700
	57	Georg Fischer AG		70,337
	101	Givaudan S.A.		219,933
	614	Helvetia Holding AG		333,778
	3,335	Kuehne + Nagel International AG		617,988
	399	Logitech International S.A.		14,561
	3,341	Nestle S.A.		280,028

The accompanying notes are an integral part of these financial statements.


		22

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Switzerland - 7.3% - (continued)
	1,722	Novartis AG	$	147,534
	1,265	Panalpina Welttransport Holding AG⁽¹⁾		185,514
	2,838	Roche Holding AG		725,045
	3,957	SFS Group AG*		482,561
	95	SGS S.A.		228,075
	77	Sika AG		573,362
	611	Sonova Holding AG		103,749
	2,501	STMicroelectronics N.V.		48,342
	186	Straumann Holding AG		119,566
	5,801	Sunrise Communications Group AG*⁽²⁾		478,421
	2,617	Swiss Life Holding AG*		922,549
	4,711	Swiss Re AG		426,989
	41,607	UBS Group AG*		711,653
	185	Vifor Pharma AG⁽¹⁾		21,796
	1,402	Vontobel Holding AG		90,197
	1,359	Zurich Insurance Group AG		414,891

				9,547,256

		United Kingdom - 10.6%
	8,964	Ashtead Group plc		216,358
	10,083	AstraZeneca plc		670,305
	8,747	Atlassian Corp. plc Class A*⁽¹⁾		307,457
	17,584	BAE Systems plc		148,981
	66,170	Beazley plc		425,686
	78,210	BP plc		500,833
	23,594	Britvic plc		239,153
	36,343	BT Group plc		138,428
	57,693	Centrica plc		144,745
	6,125	Close Brothers Group plc		121,210
	14,603	Coca-Cola European Partners plc		612,428
	21,794	Compass Group plc		462,868
	231,740	ConvaTec Group plc⁽²⁾		851,593
	1,272	Croda International plc		64,731
	16,048	Daily Mail & General Trust plc		139,627
	1,116	Diageo plc		36,728
	71,088	Direct Line Insurance Group plc		346,784
	7,124	easyJet plc		116,320
	12,494	Fiat Chrysler Automobiles N.V.*		223,919
	19,560	G4S plc		73,033
	17,873	GlaxoSmithKline plc		356,932
	44,479	HSBC Holdings plc		439,866
	2,539	InterContinental Hotels Group plc		134,487
	72,558	J Sainsbury plc⁽¹⁾		231,590
	73,656	JD Sports Fashion plc		370,083
	90,661	Kingfisher plc		363,081
	71,791	Legal & General Group plc		250,331
	49,390	Marks & Spencer Group plc⁽¹⁾		234,177
	7,406	Metro Bank plc*⁽¹⁾		335,846
	14,926	National Grid plc		185,155
	10,677	NEX Group plc		94,830
	3,828	Next plc		270,145
	2,676	Pennon Group plc		28,614
	646	Reckitt Benckiser Group plc		59,049
	22,891	RELX N.V.		487,382
	29,871	RELX plc		656,051
	78,347	Rentokil Initial plc		315,973
	5,290	Rio Tinto Ltd.⁽¹⁾		276,153
	116,210	Royal Mail plc		599,018
	70,515	Saga plc		187,699
	13,561	Segro plc REIT		97,520
	5,981	Sky plc		73,423


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		United Kingdom - 10.6% - (continued)
	26,400	Smith & Nephew plc	$	477,456
	11,407	SSE plc		213,800
	5,197	SSP Group plc		37,478
	5,733	Subsea 7 S.A.		94,130
	13,374	Tate & Lyle plc		116,362
	8,958	Unilever plc		519,079
	41,424	Vodafone Group plc		116,044
	10,304	WH Smith plc		279,390
	64,723	William Hill plc		219,173

				13,961,504

		United States - 0.8%
	4,507	Carnival plc		286,801
	29,493	International Game Technology plc⁽¹⁾		724,053

				1,010,854


		Total Common Stocks (cost $118,870,106)	$	130,691,198


		Total Long-Term Investments (cost $118,870,106)	$	130,691,198


SHORT-TERM INVESTMENTS - 1.1%
		Securities Lending Collateral - 1.1%
	1,432,620	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽³⁾		1,432,620


		Total Short-Term Investments (cost $1,432,620)	$	1,432,620



Total Investments (cost $120,302,726)	100.6	%	$	132,123,818
Other Assets and Liabilities	(0.6	)%		(796,790	)

Total Net Assets	100.0	%	$	131,327,028

The accompanying notes are an integral part of these financial statements.


		23

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2017, the aggregate value of these securities was $9,320,915, which represented 7.1% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		24

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	8,734,467	$	8,734,467	$	—	$	—
Austria		1,029,312		1,029,312		—		—
Belgium		1,401,760		1,401,760		—		—
Bermuda		578,459		578,459		—		—
Canada		14,231,353		14,231,353		—		—
China		760,460		760,460		—		—
Denmark		3,138,974		3,138,974		—		—
Finland		624,523		624,523		—		—
France		7,946,719		7,946,719		—		—
Germany		9,339,430		9,339,430		—		—
Hong Kong		6,670,131		6,670,131		—		—
Ireland		1,847,664		1,847,664		—		—
Isle Of Man		234,409		234,409		—		—
Israel		2,895,450		2,895,450		—		—
Italy		2,986,248		2,986,248		—		—
Japan		25,320,907		25,320,907		—		—
Jersey		50,837		50,837		—		—
Luxembourg		1,112,251		1,112,251		—		—
Malta		195,657		195,657		—		—
Netherlands		4,854,590		4,854,590		—		—
New Zealand		2,694,712		2,694,712		—		—
Norway		600,190		600,190		—		—
Portugal		120,082		120,082		—		—
Russia		24,898		24,898		—		—
Singapore		3,679,073		3,679,073		—		—
South Africa		172,457		172,457		—		—
Spain		2,372,921		2,372,921		—		—
Sweden		2,553,650		2,553,650		—		—
Switzerland		9,547,256		9,547,256		—		—
United Kingdom		13,961,504		13,961,504		—		—
United States		1,010,854		1,010,854		—		—
Short-Term Investments		1,432,620		1,432,620		—		—

Total	$	132,123,818	$	132,123,818	$	—	$	—

⁽¹⁾	For the year ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		25

Hartford Multifactor Emerging Markets ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5%
		Brazil - 4.2%
	21,603	Ambev S.A.	$	143,695
	20,358	Banco Bradesco S.A. (Preference Shares)		225,581
	28,358	Banco do Brasil S.A.		312,882
	2,722	BB Seguridade Participacoes S.A.		24,637
	9,813	BM&FBovespa S.A. - Bolsa de Valores Mercadorias e Futuros		74,300
	8,303	CCR S.A.		46,487
	13,998	Cielo S.A.		97,269
	21,777	Embraer S.A.		123,165
	26,818	Itau Unibanco Holding S.A. (Preference Shares)		367,533
	16,075	Kroton Educacional S.A.		101,893
	4,548	Lojas Renner S.A.		51,847
	31,461	Petroleo Brasileiro S.A. (Preference Shares)*		152,175
	1,454	Telefonica Brasil S.A. (Preference Shares)		23,200
	4,329	Ultrapar Participacoes S.A.		103,067
	8,000	Vale S.A. (Preference Shares)		74,710

				1,922,441

		Chile - 4.9%
	429,341	Aguas Andinas S.A. Class A		273,560
	494,746	Banco de Chile		75,575
	4,924	Banco de Credito e Inversiones		311,859
	866,933	Banco Santander Chile		64,552
	79,340	Cencosud S.A.		242,887
	6,217	Cia Cervecerias Unidas S.A.		83,820
	60,678	Colbun S.A.		14,692
	2,905	Empresa Nacional de Telecomunicaciones S.A.		30,089
	6,123	Empresas CMPC S.A.		16,141
	13,127	Empresas COPEC S.A.		172,122
	149,549	Enel Generacion Chile S.A.		130,762
	883,356	Enersis Americas S.A.		181,127
	2,093,178	Enersis Chile S.A.		255,584
	7,576,479	Itau CorpBanca		71,411
	5,648	Latam Airlines Group S.A.		74,443
	25,141	SACI Falabella		245,533
	299	Sociedad Quimica y Minera de Chile S.A. Class B, (Preference Shares)		16,612

				2,260,769

		China - 7.9%
	36,500	Anhui Conch Cement Co., Ltd. Class H		145,566
	2,578	Autohome, Inc. ADR*		154,886
	280	Baidu, Inc. ADR*		69,353
	699,000	Bank of China Ltd. Class H		344,547
	285,000	China Construction Bank Corp. Class H		236,445
	87,000	China Everbright Bank Co., Ltd. Class H		40,210
	1,804	China Lodging Group Ltd. ADR*		214,351
	55,000	China Merchants Bank Co., Ltd. Class H		193,293
	414,000	China Petroleum & Chemical Corp. Class H		310,075
	43,000	China Railway Construction Corp. Ltd. Class H		54,502
	570,000	China Telecom Corp. Ltd. Class H		291,907
	48,700	China Vanke Co., Ltd. H Shares		160,240
	78,000	CNOOC Ltd.		100,662
	62,000	CSPC Pharmaceutical Group Ltd.		103,827
	4,000	Geely Automobile Holdings Ltd.		11,267
	392,000	Lenovo Group Ltd.		216,308
	2,559	Momo, Inc. ADR*		80,199
	364	NetEase, Inc. ADR		96,027
	102,000	PICC Property & Casualty Co., Ltd. Class H		179,953
	27,500	Ping An Insurance Group Co. of China Ltd. Class H		211,073
	80,000	Semiconductor Manufacturing International Corp.*		90,338


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		China - 7.9% - (continued)
	289	SINA Corp.*	$	33,134
	61,200	Sinopharm Group Co., Ltd. Class H		269,538
	1,000	Tencent Holdings Ltd.		43,043

				3,650,744

		Colombia - 3.2%
	60,570	Almacenes Exito S.A.		318,862
	31,478	Banco Davivienda S.A. (Preference Shares)		356,504
	11,011	Bancolombia S.A. (Preference Shares)		126,655
	2,944	Corp. Financiera Colombiana S.A.		28,751
	10,013	Grupo Argos S.A.		72,010
	4,537	Grupo de Inversiones Suramericana S.A.		63,156
	20,522	Grupo Nutresa S.A.		187,559
	65,685	Interconexion Electrica S.A. ESP		305,976

				1,459,473

		Hong Kong - 0.6%
	36,000	China Resources Land Ltd.		110,157
	18,000	China Unicom Hong Kong Ltd.*		25,027
	132,000	Sino Biopharmaceutical Ltd.		139,593

				274,777

		India - 6.6%
	7,911	Axis Bank Ltd. GDR		305,364
	12,083	Dr. Reddy’s Laboratories Ltd. ADR		431,121
	3,726	HDFC Bank Ltd. ADR		359,075
	51,034	ICICI Bank Ltd. ADR		436,851
	32,250	Infosys Ltd. ADR⁽¹⁾		470,528
	14,526	Reliance Industries Ltd. GDR⁽²⁾		346,445
	7,475	State Bank of India GDR		287,040
	13,729	Tata Motors Ltd. ADR*		429,306

				3,065,730

		Indonesia - 7.1%
	823,900	Adaro Energy Tbk PT		111,635
	395,700	Astra International Tbk PT		232,091
	166,800	Bank Central Asia Tbk PT		251,395
	643,800	Bank Mandiri Persero Tbk PT		321,446
	577,000	Bank Negara Indonesia Persero Tbk PT		317,009
	272,400	Bank Rakyat Indonesia Persero Tbk PT		308,925
	334,100	Bumi Serpong Damai Tbk PT		43,905
	19,700	Chandra Asri Petrochemical Tbk PT		34,847
	12,500	Gudang Garam Tbk PT		61,066
	140,200	Indocement Tunggal Prakarsa Tbk PT		196,732
	187,800	Indofood Sukses Makmur Tbk PT		117,471
	757,800	Kalbe Farma Tbk PT		93,677
	40,200	Matahari Department Store Tbk PT		27,683
	994,100	Perusahaan Gas Negara Persero Tbk		116,245
	272,700	Semen Indonesia Persero Tbk PT		204,996
	217,200	Surya Citra Media Tbk PT		35,316
	1,136,700	Telekomunikasi Indonesia Persero Tbk PT		394,963
	172,900	United Tractors Tbk PT		410,780

				3,280,182

		Malaysia - 7.4%
	163,700	AMMB Holdings Bhd		169,031
	98,900	Axiata Group Bhd		122,732
	11,700	British American Tobacco Malaysia Bhd		121,198
	189,400	CIMB Group Holdings Bhd		282,586
	138,500	DiGi.Com Bhd		160,722
	15,700	Fraser & Neave Holdings Bhd		91,690
	10,200	Genting Bhd		23,069

The accompanying notes are an integral part of these financial statements.


		26

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Malaysia - 7.4% - (continued)
	111,700	Genting Malaysia Bhd	$	142,320
	23,288	Hong Leong Bank Bhd		87,471
	138,000	IJM Corp. Bhd		107,851
	79,000	IOI Corp. Bhd		84,940
	71,000	KLCCP Stapled Group		134,517
	6,900	Kuala Lumpur Kepong Bhd		40,134
	187,100	Malayan Banking Bhd		422,277
	91,000	Maxis Bhd		124,997
	40,300	MISC Bhd		69,672
	129,500	Petronas Chemicals Group Bhd		223,577
	58,100	Public Bank Bhd		281,247
	70,900	Sime Darby Bhd		151,455
	103,200	SP Setia Bhd Group		88,963
	66,100	Telekom Malaysia Bhd		101,753
	86,100	Tenaga Nasional Bhd		291,996
	26,500	UMW Holdings Bhd*		34,831
	197,500	YTL Corp. Bhd		63,612

				3,422,641

		Mexico - 4.3%
	40,564	Alfa S.A.B. de C.V. Class A		51,266
	374,758	America Movil S.A.B. de C.V. Series L		333,705
	54,140	Coca-Cola Femsa S.A.B. de C.V. Series L		419,274
	11,401	Gruma S.A.B. de C.V. Class B		167,902
	41,132	Grupo Bimbo S.A.B. de C.V. Series A		99,822
	29,724	Grupo Financiero Banorte S.A.B. de C.V. Series O		205,212
	31,469	Grupo Mexico S.A.B. de C.V. Series B		96,646
	70,007	Kimberly-Clark de Mexico S.A.B. de C.V. Class A		143,065
	14,678	Mexichem S.A.B. de C.V.		38,806
	99,403	Nemak S.A.B. de C.V.⁽²⁾		85,668
	2,330	Promotora y Operadora de Infraestructura S.A.B. de C.V.		24,669
	146,436	Wal-Mart de Mexico S.A.B. de C.V.		336,268

				2,002,303

		Philippines - 6.5%
	184,600	Aboitiz Equity Ventures, Inc.		266,364
	9,500	Ayala Corp.		181,399
	110,600	Ayala Land, Inc.		94,708
	149,270	BDO Unibank, Inc.		384,051
	1,525,300	Energy Development Corp.		168,745
	5,945	GT Capital Holdings, Inc.		135,870
	137,470	JG Summit Holdings, Inc.		202,960
	25,580	Jollibee Foods Corp.		122,765
	1,593,500	Metro Pacific Investments Corp.		210,168
	5,190	PLDT, Inc.		170,414
	226,900	Puregold Price Club, Inc.		232,932
	162,130	Robinsons Retail Holdings, Inc.		315,965
	388,000	Semirara Mining & Power Corp.		356,689
	109,200	SM Prime Holdings, Inc.		74,055
	36,760	Universal Robina Corp.		110,571

				3,027,656

		Poland - 5.6%
	7,800	Alior Bank S.A.*		146,605
	13,661	Asseco Poland S.A.		173,539
	89,634	Bank Millennium S.A.*		172,432
	4,830	Bank Pekao S.A.		169,662
	1,471	Bank Zachodni WBK S.A.		141,007
	4,309	CD Projekt S.A.		137,467
	1,835	Cyfrowy Polsat S.A.		13,068
	6,997	Eurocash S.A.		74,157


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Poland - 5.6% - (continued)
	1,385	ING Bank Slaski S.A.*	$	77,727
	12	LPP S.A.		26,912
	130	mBank S.A.*		14,948
	52,160	Orange Polska S.A.*		75,722
	25,282	PGE Polska Grupa Energetyczna S.A.*		92,276
	14,369	Polski Koncern Naftowy Orlen S.A.		479,893
	110,011	Polskie Gornictwo Naftowe i Gazownictwo S.A.		204,990
	20,527	Powszechna Kasa Oszczednosci Bank Polski S.A.*		199,020
	21,440	Powszechny Zaklad Ubezpieczen S.A.		270,651
	115,936	Tauron Polska Energia S.A.*		119,310

				2,589,386

		Russia - 2.9%
	44,506	Gazprom PJSC ADR		186,480
	4,009	Lukoil PJSC ADR		212,196
	6,446	Magnit PJSC GDR		263,964
	9,226	MMC Norilsk Nickel PJSC ADR		158,826
	272	Novatek PJSC GDR		31,906
	6,655	Novolipetsk Steel PJSC GDR		151,401
	4,292	Sberbank of Russia PJSC ADR		61,097
	30,956	Surgutneftegas OJSC ADR		156,637
	3,353	Tatneft PJSC ADR		143,173

				1,365,680

		South Africa - 5.3%
	2,033	AngloGold Ashanti Ltd.		19,167
	1,753	Aspen Pharmacare Holdings Ltd.		39,414
	17,797	Barclays Africa Group Ltd.		183,209
	11,662	Bidvest Group Ltd.⁽¹⁾		149,125
	39,750	FirstRand Ltd.⁽¹⁾		153,171
	13,156	Kumba Iron Ore Ltd.		214,754
	5,612	Mr. Price Group Ltd.		74,830
	13,579	MTN Group Ltd.		125,085
	11,262	Nedbank Group Ltd.		169,024
	57,738	Netcare Ltd.		101,771
	164,471	Redefine Properties Ltd. REIT		130,213
	14,886	RMB Holdings Ltd.⁽¹⁾		70,006
	23,837	Sanlam Ltd.		119,445
	28,316	Sappi Ltd.		193,058
	5,624	Sasol Ltd.		154,527
	6,732	Shoprite Holdings Ltd.		103,150
	17,527	Standard Bank Group Ltd.		204,846
	3,921	Tiger Brands Ltd.		109,579
	6,739	Vodacom Group Ltd.		80,424
	9,063	Woolworths Holdings Ltd.		40,199

				2,434,997

		South Korea - 9.4%
	213	AmorePacific Group		22,967
	1,327	BNK Financial Group, Inc.		11,586
	101	CJ Corp.		15,035
	1,258	Coway Co., Ltd.		103,245
	2,055	Dongbu Insurance Co., Ltd.		130,977
	72	E-Mart, Inc.		13,107
	2,397	Hana Financial Group, Inc.		99,094
	1,820	Hankook Tire Co., Ltd.		95,660
	2,138	Hyundai Engineering & Construction Co., Ltd.		71,587
	370	Hyundai Glovis Co., Ltd.		47,811
	831	Hyundai Heavy Industries Co., Ltd.*		105,204
	501	Hyundai Mobis Co., Ltd.		104,981
	756	Hyundai Motor Co.		99,339
	6,867	Industrial Bank of Korea		86,336

The accompanying notes are an integral part of these financial statements.


		27

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		South Korea - 9.4% - (continued)
	936	Kangwon Land, Inc.	$	28,603
	1,272	KB Financial Group, Inc.		62,303
	3,735	Kia Motors Corp.		103,211
	2,994	Korea Electric Power Corp.		101,948
	163	Korea Zinc Co., Ltd.		70,517
	1,343	KT&G Corp.		123,706
	679	LG Chem Ltd.		232,390
	6,026	LG Display Co., Ltd.		160,732
	1,639	LG Electronics, Inc.		117,915
	79	LG Household & Health Care Ltd.		64,560
	20,805	LG Uplus Corp.		242,499
	220	Lotte Chemical Corp.		72,607
	70	NAVER Corp.		45,532
	119	NCSoft Corp.		48,261
	393	POSCO		108,771
	110	S-Oil Corp.		12,245
	203	Samsung Electronics Co., Ltd.		454,439
	387	Samsung Fire & Marine Insurance Co., Ltd.		94,609
	1,024	Samsung Life Insurance Co., Ltd.		101,028
	2,464	Shinhan Financial Group Co., Ltd.		108,211
	1,426	SK Holdings Co., Ltd.		358,570
	3,891	SK Hynix, Inc.		281,629
	363	SK Innovation Co., Ltd.		63,070
	679	SK Telecom Co., Ltd.		151,172
	9,675	Woori Bank		150,782

				4,366,239

		Taiwan - 9.4%
	12,000	Asustek Computer, Inc.		98,734
	175,000	AU Optronics Corp.		70,118
	7,000	Catcher Technology Co., Ltd.		65,212
	74,000	Cathay Financial Holding Co., Ltd.		117,623
	5,080	Chailease Holding Co., Ltd.		12,246
	28,004	Chang Hwa Commercial Bank Ltd.		15,145
	28,000	Cheng Shin Rubber Industry Co., Ltd.		56,048
	26,230	Chicony Electronics Co., Ltd.		62,279
	163,000	China Development Financial Holding Corp.		48,915
	162,636	China Life Insurance Co., Ltd.		153,122
	29,000	China Steel Corp.		23,287
	22,000	Chunghwa Telecom Co., Ltd.		75,815
	119,000	Compal Electronics, Inc.		84,568
	154,628	CTBC Financial Holding Co., Ltd.		96,885
	7,105	Delta Electronics, Inc.		36,551
	59,418	E.Sun Financial Holding Co., Ltd.		35,466
	97,029	Eva Airways Corp.		47,356
	68,540	Far Eastern New Century Corp.		54,246
	46,000	Far EasTone Telecommunications Co., Ltd.		109,372
	136,091	First Financial Holding Co., Ltd.		87,290
	29,301	Foxconn Technology Co., Ltd.		84,548
	54,000	Fubon Financial Holding Co., Ltd.		84,230
	2,000	Giant Manufacturing Co., Ltd.		9,399
	91,030	Hon Hai Precision Industry Co., Ltd.		315,201
	2,000	Hotai Motor Co., Ltd.		23,051
	167,452	Hua Nan Financial Holdings Co., Ltd.		90,838
	543,000	Innolux Corp.		253,379
	157,000	Inventec Corp.		115,974
	100,245	Lite-On Technology Corp.		143,141
	8,000	MediaTek, Inc.		75,056
	91,273	Mega Financial Holding Co., Ltd.		71,335
	9,000	Nan Ya Plastics Corp.		22,171
	20,000	Novatek Microelectronics Corp.		75,188


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Taiwan - 9.4% - (continued)
	55,000	Pegatron Corp.	$	142,742
	44,000	Pou Chen Corp.		55,210
	10,000	President Chain Store Corp.		84,257
	16,000	Quanta Computer, Inc.		36,829
	75,000	Radiant Opto-Electronics Corp.		175,603
	27,600	Ruentex Development Co., Ltd.*		25,303
	263,489	Shin Kong Financial Holding Co., Ltd.		78,897
	18,000	Simplo Technology Co., Ltd.		95,568
	124,091	SinoPac Financial Holdings Co., Ltd.		37,157
	30,600	Synnex Technology International Corp.		36,731
	25,000	Taiwan Cement Corp.		27,866
	74,151	Taiwan Cooperative Financial Holding Co., Ltd.		38,269
	29,000	Taiwan Mobile Co., Ltd.		103,285
	36,000	Taiwan Semiconductor Manufacturing Co., Ltd.		257,024
	59,000	Teco Electric and Machinery Co., Ltd.		52,824
	38,800	Uni-President Enterprises Corp.		81,249
	133,000	United Microelectronics Corp.		66,447
	38,000	Vanguard International Semiconductor Corp.		65,539
	63,871	Wistron Corp.		51,077
	34,000	WPG Holdings Ltd.		45,241
	127,757	Yuanta Financial Holding Co., Ltd.		54,981

				4,325,888

		Thailand - 8.6%
	40,000	Advanced Info Service PCL NVDR		229,086
	143,800	Bangkok Dusit Medical Services PCL NVDR		88,393
	8,600	Bangkok Life Assurance PCL NVDR		11,540
	59,767	Banpu PCL NVDR		31,541
	22,200	Bumrungrad Hospital PCL NVDR		143,119
	13,500	Central Pattana PCL NVDR		31,574
	149,200	Charoen Pokphand Foods PCL NVDR		119,673
	27,300	CP ALL PCL NVDR		54,641
	45,700	Delta Electronics Thailand PCL NVDR		119,560
	7,000	Glow Energy PCL NVDR		18,733
	43,000	Indorama Ventures PCL NVDR		54,475
	528,700	IRPC PCL NVDR		99,874
	49,700	Kasikornbank PCL NVDR		308,483
	554,500	Krung Thai Bank PCL NVDR		312,582
	428,700	Land & Houses PCL NVDR		127,260
	30,660	Minor International PCL NVDR		37,463
	218,100	Pruksa Holding PCL NVDR		153,684
	42,100	PTT Exploration & Production PCL NVDR		112,982
	111,700	PTT Global Chemical PCL NVDR		257,898
	23,700	PTT PCL NVDR		289,943
	76,300	Ratchaburi Electricity Generating Holding PCL NVDR		122,972
	66,100	Siam Commercial Bank PCL NVDR		303,247
	286,200	Thai Beverage PCL⁽¹⁾		189,683
	69,300	Thai Oil PCL NVDR		192,211
	289,600	Thai Union Group PCL NVDR		173,673
	2,641,700	TMB Bank PCL NVDR		199,613
	123,000	Total Access Communication PCL NVDR*		210,225

				3,994,128

		Turkey - 5.1%
	39,195	Akbank TAS		103,606
	21,604	Arcelik AS		138,028
	6,841	BIM Birlesik Magazalar AS		142,837
	221,098	Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT*		166,627
	82,323	Enka Insaat ve Sanayi AS		119,916

The accompanying notes are an integral part of these financial statements.


		28

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Turkey - 5.1% - (continued)
	101,852	Eregli Demir ve Celik Fabrikalari T.A.S.	$	221,399
	25,921	Haci Omer Sabanci Holding AS		73,037
	23,980	KOC Holding AS		110,254
	5,815	Tupras Turkiye Petrol Rafinerileri AS		198,843
	55,160	Turk Hava Yollari AO*		135,724
	7,120	Turk Traktor ve Ziraat Makineleri AS		155,470
	35,555	Turkcell Iletisim Hizmetleri AS		126,879
	48,973	Turkiye Garanti Bankasi AS		133,309
	47,747	Turkiye Halk Bankasi AS		162,733
	62,178	Turkiye Is Bankasi		118,547
	134,978	Turkiye Vakiflar Bankasi TAO		237,989

				2,345,198

		United States - 0.5%
	5,427	Yum China Holdings, Inc.*		216,917


		Total Common Stocks (cost $40,673,900)	$	46,005,149


PREFERRED STOCKS - 0.3%
		Brazil - 0.3%
	42,147	Itausa - Investimentos Itau S.A.	$	146,968


		Total Preferred Stocks (cost $107,510)	$	146,968


		Total Long-Term Investments (cost $40,781,410)	$	46,152,117


SHORT-TERM INVESTMENTS - 0.6%
		Securities Lending Collateral - 0.6%
	253,799	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽³⁾		253,799


		Total Short-Term Investments (cost $253,799)	$	253,799



Total Investments (cost $41,035,209)	100.4	%	$	46,405,916
Other Assets and Liabilities	(0.4	)%		(166,511	)

Total Net Assets	100.0	%	$	46,239,405

The accompanying notes are an integral part of these financial statements.


		29

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2017, the aggregate value of these securities was $432,113, which represented 0.9% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
ADR		American Depositary Receipt
GDR		Global Depositary Receipt
NVDR		Non-Voting Depositary Receipt
OJSC		Open Joint Stock Company
PJSC		Private Joint Stock Company
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		30

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Brazil	$	1,922,441	$	1,922,441	$	—	$	—
Chile		2,260,769		2,260,769		—		—
China		3,650,744		3,650,744		—		—
Colombia		1,459,473		1,459,473		—		—
Hong Kong		274,777		274,777		—		—
India		3,065,730		3,065,730		—		—
Indonesia		3,280,182		3,280,182		—		—
Malaysia		3,422,641		3,422,641		—		—
Mexico		2,002,303		2,002,303		—		—
Philippines		3,027,656		3,027,656		—		—
Poland		2,589,386		2,589,386		—		—
Russia		1,365,680		1,365,680		—		—
South Africa		2,434,997		2,434,997		—		—
South Korea		4,366,239		4,366,239		—		—
Taiwan		4,325,888		4,325,888		—		—
Thailand		3,994,128		3,994,128		—		—
Turkey		2,345,198		2,345,198		—		—
United States		216,917		216,917		—		—
Preferred Stocks		146,968		146,968		—		—
Short-Term Investments		253,799		253,799		—		—

Total	$	46,405,916	$	46,405,916	$	—	$	—

⁽¹⁾	For the year ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		31

Hartford Multifactor Global Small Cap ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7%
		Australia - 4.6%
	5,789	Abacus Property Group⁽¹⁾	$	17,170
	18,235	Australian Pharmaceutical Industries Ltd.		21,319
	12,255	Automotive Holdings Group Ltd.⁽¹⁾		31,925
	5,090	BWP Trust REIT⁽¹⁾		11,782
	12,058	Charter Hall Retail REIT⁽¹⁾		37,372
	56,672	Cromwell Property Group REIT		42,467
	27,893	CSR Ltd.⁽¹⁾		103,522
	14,893	Downer EDI Ltd.⁽¹⁾		79,113
	24,208	Genworth Mortgage Insurance Australia Ltd.⁽¹⁾		52,995
	12,650	Investa Office Fund		44,666
	3,946	JB Hi-Fi Ltd.⁽¹⁾		70,966
	17,231	Metcash Ltd.⁽¹⁾		34,612
	6,068	Mineral Resources Ltd.		77,418
	6,867	Monadelphous Group Ltd.⁽¹⁾		84,595
	1,706	Northern Star Resources Ltd.⁽¹⁾		6,613
	2,336	OZ Minerals Ltd.		13,600
	13,868	Regis Resources Ltd.⁽¹⁾		39,173
	35,244	St. Barbara Ltd.		72,730

				842,038

		Belgium - 0.6%
	20,434	AGFA-Gevaert N.V.*		97,498
	138	Tessenderlo Chemie N.V.*		6,715

				104,213

		Bermuda - 0.8%
	542	Argo Group International Holdings Ltd.		33,333
	11,158	DHT Holdings, Inc.⁽¹⁾		44,409
	324	Enstar Group Ltd.*		72,041

				149,783

		Brazil - 1.4%
	6,577	Banco do Estado do Rio Grande do Sul S.A. Class B, (Preference Shares)		36,678
	2,812	Cia de Saneamento do Parana (Preference Shares)*		9,619
	4	Cia Hering		36
	6,970	EDP - Energias do Brasil S.A.*		33,361
	4,549	Ez Tec Empreendimentos e Participacoes S.A.		32,358
	6,600	Gol Linhas Aereas Inteligentes S.A. (Preference Shares)*		27,855
	1,300	Grendene S.A.		10,986
	18,853	MRV Engenharia e Participacoes S.A.		82,012
	3,400	Odontoprev S.A.*		16,585

				249,490

		Canada - 5.3%
	1,636	Aecon Group, Inc.		22,984
	2,548	BRP, Inc.		82,227
	1,995	Canfor Corp.*		37,391
	5,392	Cascades, Inc.		64,498
	1,849	Celestica, Inc.*		22,827
	1,606	Colliers International Group, Inc.		79,488
	1,145	Domtar Corp.		49,682
	2,411	Ensign Energy Services, Inc.⁽¹⁾		13,591
	4,715	Extendicare, Inc.⁽¹⁾		35,174
	445	FirstService Corp.		29,173
	4,963	Intertape Polymer Group, Inc.⁽¹⁾		72,224
	2,332	Killam Apartment Real Estate Investment Trust REIT		24,594
	5,758	Mercer International, Inc.		68,232
	2,172	New Flyer Industries, Inc.		89,457


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Canada - 5.3% - (continued)
	2,162	North West Co., Inc.⁽¹⁾	$	51,705
	916	Paramount Resources Ltd. Class A*		18,091
	3,267	Parkland Fuel Corp.		66,299
	4,187	Transcontinental, Inc. Class A		86,341
	1,000	Uni-Select, Inc.		21,557
	11,542	Western Forest Products, Inc.		24,641

				960,176

		China - 9.8%
	42,522	BAIC Motor Corp. Ltd. Class H⁽²⁾		40,341
	102,435	Chaowei Power Holdings Ltd.		59,278
	42,753	China BlueChemical Ltd. Class H		13,903
	14,000	China Eastern Airlines Corp. Ltd. Class H		6,919
	50,216	China Galaxy Securities Co., Ltd. Class H		44,040
	12,531	China Lesso Group Holdings Ltd.		8,551
	29,025	China Oriental Group Co., Ltd.		20,773
	96,000	China SCE Property Holdings Ltd.		46,828
	138,232	CIFI Holdings Group Co., Ltd.		76,985
	89,622	CSC Financial Co., Ltd. Class H⁽²⁾		82,615
	36,356	Dongfeng Motor Group Co., Ltd. Class H		48,036
	45,000	Dongyue Group Ltd.		28,000
	71,242	Great Wall Motor Co., Ltd. Class H⁽³⁾		87,562
	70,459	Guangshen Railway Co., Ltd. H Shares		41,315
	33,966	Guangzhou R&F Properties Co., Ltd. Class H		78,711
	78,000	Hisense Kelon Electrical Holdings Co., Ltd. Class H		85,383
	24,400	Legend Holdings Corp. Class H⁽²⁾		60,791
	10,000	Logan Property Holdings Co., Ltd.		10,319
	146,646	Metallurgical Corp. of China Ltd. Class H		48,252
	43,000	Powerlong Real Estate Holdings Ltd.		21,911
	73,814	Red Star Macalline Group Corp. Ltd. Class H⁽²⁾		91,669
	116,000	Shandong Weigao Group Medical Polymer Co., Ltd. Class H		82,128
	83,082	Shenzhen Expressway Co., Ltd. Class H		80,628
	18,000	Sinopec Shanghai Petrochemical Co., Ltd. Class H		10,716
	45,215	Sinotrans Ltd. Class H		22,982
	82,219	Tianneng Power International Ltd.		84,948
	97,303	Times Property Holdings Ltd.		99,910
	30,402	TravelSky Technology Ltd. Class H		79,209
	72,706	Weichai Power Co., Ltd. Class H		79,681
	15,885	Xingda International Holdings Ltd.		5,959
	143,314	Xtep International Holdings Ltd.		49,357
	29,137	Yangtze Optical Fibre and Cable Joint Stock Ltd. Co. Class H⁽²⁾		111,166
	129,705	Yuzhou Properties Co., Ltd.		70,078

				1,778,944

		Denmark - 0.8%
	1,016	Bakkafrost P/F⁽¹⁾		46,701
	7,352	Spar Nord Bank A/S		91,567

				138,268

		France - 0.9%
	166	Alten S.A.		15,015
	1,571	Gaztransport Et Technigaz S.A.⁽¹⁾		85,433
	219	Groupe Fnac S.A.*		21,082
	1,031	Neopost S.A.		40,076

				161,606

		Georgia - 0.4%
	1,829	BGEO Group plc		79,996

The accompanying notes are an integral part of these financial statements.


		32

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Germany - 0.7%
	248	Cewe Stiftung & Co. KGAA	$	23,575
	5,131	Heidelberger Druckmaschinen AG*⁽¹⁾		20,927
	1,844	Jungheinrich AG (Preference Shares)		84,856

				129,358

		Hong Kong - 1.8%
	570,000	Global Brands Group Holding Ltd.*		54,733
	22,000	Huabao International Holdings Ltd.		13,604
	9,000	K Wah International Holdings Ltd.		5,416
	1,844	Kingboard Chemical Holdings Ltd.		9,762
	33,000	Road King Infrastructure Ltd.		53,150
	59,120	Shenzhen Investment Ltd.		26,795
	58,940	Skyworth Digital Holdings Ltd.		30,109
	14,000	SmarTone Telecommunications Holdings Ltd.		16,795
	128,736	Texwinca Holdings Ltd.		77,300
	47,246	Tongda Group Holdings Ltd.		12,642
	27,515	Yuexiu Real Estate Investment Trust		17,332

				317,638

		Ireland - 0.1%
	8,511	Green REIT plc REIT		15,163

		Israel - 0.9%
	66,672	Oil Refineries Ltd.		33,387
	435	Paz Oil Co., Ltd.		71,679
	1,547	Plus500 Ltd.		18,617
	1,522	Tower Semiconductor Ltd.*		46,790

				170,473

		Italy - 0.9%
	11	Banca IFIS S.p.A		602
	744	El.En. S.p.A.		20,889
	60,102	Juventus Football Club S.p.A.*⁽¹⁾		56,203
	33,146	Saras S.p.A		88,872

				166,566

		Japan - 12.4%
	215	Adastria Co., Ltd.		4,851
	167	Alpine Electronics, Inc.		3,037
	1,981	Amano Corp.		46,865
	932	AOKI Holdings, Inc.		12,221
	2,305	Arcs Co., Ltd.		51,971
	2,657	Avex Group Holdings, Inc.		36,044
	700	Canon Electronics, Inc.		14,116
	2,876	CKD Corp.		56,465
	157	cocokara fine, Inc.		8,954
	357	Daishi Bank Ltd.		16,795
	1,100	Daiwabo Holdings Co., Ltd.		46,369
	3,149	Doutor Nichires Holdings Co., Ltd.		67,560
	1,700	DTS Corp.		46,591
	1,358	Dydo Drinco, Inc.		64,664
	457	Foster Electric Co., Ltd.		9,220
	3,767	Fuji Machine Manufacturing Co., Ltd.		70,143
	900	Fujitsu General Ltd.		18,197
	4,121	Geo Holdings Corp.⁽¹⁾		59,491
	1,667	Heiwado Co., Ltd.		36,475
	2,868	Hitachi Maxell Ltd.		64,359
	1,647	Inaba Denki Sangyo Co., Ltd.		68,329
	200	JCU Corp.		8,919
	1,376	Juroku Bank Ltd.		45,236
	22	Kanematsu Corp.		278
	2,300	KH Neochem Co., Ltd.		56,374
	1,168	Kokuyo Co., Ltd.		19,767


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Japan - 12.4% - (continued)
	2,202	Kuroda Electric Co., Ltd.	$	38,381
	2,681	KYORIN Holdings, Inc.		53,946
	1,169	Kyowa Exeo Corp.		23,211
	1,237	Kyudenko Corp.		47,913
	1,400	Leopalace21 Corp.		9,751
	1,778	Maeda Road Construction Co., Ltd.		38,240
	6,500	Marvelous, Inc.⁽¹⁾		55,146
	158	Matsumotokiyoshi Holdings Co., Ltd.		10,569
	3,791	MCJ Co., Ltd.		41,020
	699	Megmilk Snow Brand Co., Ltd.		19,002
	4,460	Ministop Co., Ltd.		86,573
	2,223	Mirait Holdings Corp.⁽¹⁾		26,720
	441	Mochida Pharmaceutical Co., Ltd.		32,400
	429	Morinaga & Co., Ltd.		23,858
	1,969	NEC Networks & System Integration Corp.		46,966
	8,229	NET One Systems Co., Ltd.		86,994
	1,245	Nichiha Corp.		46,674
	373	Nihon Unisys Ltd.		5,961
	161	Nojima Corp.		3,258
	2,360	Noritz Corp.		42,393
	769	PAL GROUP Holdings Co., Ltd.		23,842
	1,061	Paramount Bed Holdings Co., Ltd.		45,573
	6,531	Pioneer Corp.*		12,126
	4,178	Plenus Co., Ltd.		92,308
	2,000	Prima Meat Packers Ltd.		13,521
	7,175	Senshu Ikeda Holdings, Inc.		27,600
	300	Shindengen Electric Manufacturing Co., Ltd.		19,189
	539	St Marc Holdings Co., Ltd.		15,849
	1,169	Sumitomo Bakelite Co., Ltd.		8,609
	4,219	T-Gaia Corp.		81,970
	474	Taikisha Ltd.		13,054
	3,308	Takuma Co., Ltd.		40,202
	813	Toho Holdings Co., Ltd.⁽¹⁾		15,536
	618	Token Corp.		73,513
	3,130	Toppan Forms Co., Ltd.		33,201
	96	Unipres Corp.		2,669
	1,528	Valor Holdings Co., Ltd.		32,633
	1,900	Wakita & Co., Ltd.		22,939

				2,246,601

		Luxembourg - 0.2%
	1,104	Altisource Portfolio Solutions S.A.*⁽¹⁾		28,560

		Netherlands - 1.0%
	402	BE Semiconductor Industries N.V.		27,968
	244	Cimpress N.V.*⁽¹⁾		23,829
	3,139	ForFarmers N.V.		40,820
	6,141	PostNL N.V.		26,455
	1,047	TKH Group N.V.		68,028

				187,100

		New Zealand - 0.6%
	28,867	Chorus Ltd.⁽¹⁾		81,802
	20,759	Kiwi Property Group Ltd.		20,259

				102,061

		Norway - 0.3%
	6,919	Storebrand ASA		58,757

		Singapore - 1.2%
	1,252	China Yuchai International Ltd.		27,870
	28,300	Croesus Retail Trust UNIT		24,279
	3,717	Frasers Centrepoint Trust⁽¹⁾		5,776

The accompanying notes are an integral part of these financial statements.


		33

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Singapore - 1.2% - (continued)
	1,197	Kulicke & Soffa Industries, Inc.*	$	25,819
	6,200	M1 Ltd.⁽¹⁾		8,127
	7,075	Venture Corp. Ltd.		91,905
	28,200	Yanlord Land Group Ltd.		38,418

				222,194

		South Africa - 1.5%
	5,976	Barloworld Ltd.		55,106
	5,784	DataTec Ltd.⁽¹⁾		24,533
	26,697	MMI Holdings Ltd.⁽¹⁾		34,304
	2,577	Mondi Ltd.		68,990
	9,731	Reunert Ltd.		48,805
	9,381	Telkom S.A. SOC Ltd.		41,192

				272,930

		South Korea - 5.3%
	440	AK Holdings, Inc.		24,932
	2,963	Cheil Worldwide, Inc.		47,083
	73	CJ O Shopping Co., Ltd.		12,613
	252	Com2uSCorp		27,503
	849	Daesang Corp.		16,456
	3,767	DGB Financial Group, Inc.		34,534
	1,413	Dongbu HiTek Co., Ltd.*		18,875
	434	GS Home Shopping, Inc.		82,302
	411	GS Retail Co., Ltd.		12,398
	262	Hanwha Corp.		10,065
	2,421	Hyundai Marine & Fire Insurance Co., Ltd.		95,754
	4,035	JB Financial Group Co., Ltd.		21,138
	108	Korea Petrochemical Ind Co., Ltd.		23,385
	7,355	Korean Reinsurance Co.		72,885
	3,624	LF Corp.		81,159
	486	LG Hausys Ltd.		37,850
	1,113	LS Industrial Systems Co., Ltd.		52,572
	3,916	Meritz Fire & Marine Insurance Co., Ltd.		84,280
	66	NongShim Co., Ltd.		19,765
	4,169	Orion Holdings Corp.		82,627
	359	S&T Motiv Co., Ltd.		15,045
	83	S-1 Corp.		6,464
	134	Samsung Card Co., Ltd.		4,311
	1,388	Silicon Works Co., Ltd.		53,564
	446	Soulbrain Co., Ltd.		26,479
	1,966	Tongyang, Inc.		3,150

				967,189

		Spain - 0.4%
	1,251	Lar Espana Real Estate Socimi S.A. REIT		12,157
	1,981	Tecnicas Reunidas S.A.⁽¹⁾		62,635

				74,792

		Sweden - 0.8%
	3,913	Bilia AB Class A		43,146
	34,311	SAS AB*⁽¹⁾		109,713

				152,859

		Switzerland - 0.9%
	159	Autoneum Holding AG		44,491
	391	Implenia AG		25,882
	32	Schweiter Technologies AG		41,075
	78	Valiant Holding AG		8,480
	109	Valora Holding AG		38,188

				158,116


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Taiwan - 3.7%
	11,211	Accton Technology Corp.	$	36,046
	13,000	Chicony Power Technology Co., Ltd.		24,307
	23,000	Coretronic Corp.		26,888
	17,496	Elite Material Co., Ltd.		83,084
	11,199	Everlight Electronics Co., Ltd.		17,690
	3,208	FLEXium Interconnect, Inc.		12,272
	62,563	Gigabyte Technology Co., Ltd.		78,916
	52,000	HannStar Display Corp.		20,149
	31,000	Micro-Star International Co., Ltd.		66,653
	12,469	Powertech Technology, Inc.		35,938
	26,637	Primax Electronics Ltd.		65,881
	15,548	Realtek Semiconductor Corp.		53,580
	12,871	Tripod Technology Corp.		44,567
	49,400	Wan Hai Lines Ltd.		30,138
	6,966	Win Semiconductors Corp.		44,566
	3,434	Wistron NeWeb Corp.		9,852
	13,493	WT Microelectronics Co., Ltd.		21,336

				671,863

		Thailand - 0.5%
	2,232	Fabrinet*⁽¹⁾		82,718

		United Kingdom - 4.4%
	6,705	Aldermore Group plc*		20,726
	1,155	Big Yellow Group plc REIT		11,730
	34,996	Coats Group plc		36,717
	7,546	Dart Group plc		54,316
	25,926	Debenhams plc		17,218
	306	Electrocomponents plc		2,549
	51,689	Firstgroup plc*		81,138
	733	Galliford Try plc		13,306
	2,145	Go-Ahead Group plc⁽¹⁾		49,010
	4,613	Greggs plc		77,177
	1,039	Halfords Group plc		4,886
	24,418	Hansteen Holdings plc REIT*		45,209
	25,722	JRP Group plc		50,695
	7,375	Moneysupermarket.com Group plc		31,465
	15,083	OneSavings Bank plc⁽¹⁾		81,572
	10,574	Safestore Holdings plc REIT		61,953
	3,897	Sports Direct International plc*		21,463
	9,126	UNITE Group plc		84,177
	21,168	Watkin Jones plc		62,196

				807,503

		United States - 37.5%
	1,811	Aaron’s, Inc.		79,014
	1,614	Abercrombie & Fitch Co. Class A⁽¹⁾		23,306
	152	ACCO Brands Corp.*		1,809
	391	Almost Family, Inc.*		20,997
	957	Amedisys, Inc.*		53,554
	2,940	American Eagle Outfitters, Inc.		42,042
	700	American National Insurance Co.⁽¹⁾		82,656
	448	American Outdoor Brands Corp.*		6,832
	161	American Woodmark Corp.*		15,496
	3,680	Amkor Technology, Inc.*		38,824
	2,279	AMN Healthcare Services, Inc.*		104,150
	1,530	Anika Therapeutics, Inc.*		88,740
	117	Arch Coal, Inc. Class A		8,394
	1,078	Argan, Inc.⁽¹⁾		72,495
	42	Atrion Corp.		28,224
	985	AVX Corp.		17,957
	1,885	Banc of California, Inc.⁽¹⁾		39,114

The accompanying notes are an integral part of these financial statements.


		34

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		United States - 37.5% - (continued)
	1,841	Barnes & Noble, Inc.⁽¹⁾	$	13,992
	2,267	Benchmark Electronics, Inc.*		77,418
	1,114	Big Lots, Inc.⁽¹⁾		59,677
	2,164	BioTelemetry, Inc.*		71,412
	378	Blackstone Mortgage Trust, Inc. Class A REIT⁽¹⁾		11,726
	1,267	Boise Cascade Co.*		44,218
	346	Briggs & Stratton Corp.		8,131
	775	Buckle, Inc.⁽¹⁾		13,059
	300	CACI International, Inc. Class A*		41,805
	605	Cambrex Corp.*		33,275
	22	Capella Education Co.		1,543
	1,382	Cato Corp. Class A		18,284
	475	Chemed Corp.⁽¹⁾		95,974
	48	Chesapeake Utilities Corp.		3,756
	1,171	Chico’s FAS, Inc.⁽¹⁾		10,480
	749	Children’s Place, Inc.⁽¹⁾		88,494
	14	Cincinnati Bell, Inc.*		278
	1,054	Clearwater Paper Corp.*		51,910
	111	Coca-Cola Bottling Co. Consolidated		23,948
	612	Commercial Metals Co.		11,646
	386	Compass Minerals International, Inc.⁽¹⁾		25,051
	481	CONMED Corp.		25,238
	1,234	Convergys Corp.		31,948
	1,142	Cooper Tire & Rubber Co.⁽¹⁾		42,711
	706	Cooper-Standard Holdings, Inc.*		81,875
	1,804	Corvel Corp.*		98,138
	944	CSG Systems International, Inc.		37,854
	2,349	CVR Energy, Inc.⁽¹⁾		60,839
	2,123	Dean Foods Co.⁽¹⁾		23,098
	2,602	Delek U.S. Holdings, Inc.		69,551
	766	Dolby Laboratories, Inc. Class A		44,060
	816	Douglas Dynamics, Inc.⁽¹⁾		32,150
	965	Dril-Quip, Inc.*		42,605
	1,136	DSW, Inc. Class A		24,401
	1,609	Eagle Pharmaceuticals, Inc.*⁽¹⁾		95,961
	699	EchoStar Corp. Class A*		40,004
	1,707	Emergent Biosolutions, Inc.*		69,048
	1,028	Employers Holdings, Inc.		46,723
	1,957	Ensign Group, Inc.		44,209
	2,358	Enzo Biochem, Inc.*		24,688
	985	ePlus, Inc.*		91,063
	1,893	Express, Inc.*		12,797
	81	Farmer Brothers Co.*		2,661
	1,038	FB Financial Corp.*⁽¹⁾		39,153
	835	FBL Financial Group, Inc. Class A		62,208
	943	Fidelity & Guaranty Life		29,280
	46	First Busey Corp.		1,443
	1,866	First Interstate BancSystem, Inc. Class A		71,374
	4,592	Forestar Group, Inc.*⁽³⁾		78,982
	487	Fresh Del Monte Produce, Inc.⁽¹⁾		22,139
	1,076	FutureFuel Corp.		16,936
	1,440	Genesco, Inc.*		38,304
	2,187	Geo Group, Inc. REIT⁽¹⁾		58,830
	446	Getty Realty Corp. REIT⁽¹⁾		12,760
	2,468	Globus Medical, Inc. Class A*⁽¹⁾		73,349
	391	Greenbrier Cos., Inc.⁽¹⁾		18,827
	367	Greif, Inc. Class A⁽¹⁾		21,484
	461	Guess?, Inc.⁽¹⁾		7,851
	2,449	H&E Equipment Services, Inc.		71,511
	1,604	Hawaiian Holdings, Inc.*⁽¹⁾		60,230


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		United States - 37.5% - (continued)
	2,197	Heritage Financial Corp.	$	64,811
	513	HFF, Inc. Class A REIT		20,294
	1,018	Horace Mann Educators Corp.		40,058
	218	Hub Group, Inc. Class A*		9,363
	160	ICU Medical, Inc.*⁽¹⁾		29,736
	576	II-VI, Inc.*		23,702
	218	Infinity Property & Casualty Corp.		20,536
	1,190	Ingles Markets, Inc. Class A		30,583
	1,154	Innospec, Inc.		71,144
	1,398	Inovalon Holdings, Inc. Class A*⁽¹⁾		23,836
	2,117	Insight Enterprises, Inc.*		97,213
	1,019	Insperity, Inc.		89,672
	2,838	International Seaways, Inc.*		55,909
	340	John B Sanfilippo & Son, Inc.		22,885
	337	Kaman Corp.		18,798
	1,858	KEMET Corp.*		39,260
	1,128	Kimball Electronics, Inc.*		24,421
	758	Kraton Corp.*		30,654
	57	Landstar System, Inc.		5,680
	2,129	Lantheus Holdings, Inc.*		37,896
	1,233	LHC Group, Inc.*		87,444
	1,510	LifePoint Health, Inc.*		87,429
	698	LSC Communications, Inc.		11,524
	3,320	Luminex Corp.		67,496
	1,021	Magellan Health, Inc.*		88,112
	475	ManTech International Corp. Class A		20,971
	3,570	Marcus & Millichap, Inc. REIT*		96,354
	1,048	Match Group, Inc.*⁽¹⁾		24,303
	8,437	McDermott International, Inc.*		61,337
	139	Meredith Corp.⁽¹⁾		7,715
	2,625	Meridian Bioscience, Inc.		37,538
	1,478	Meritor, Inc.*		38,443
	1,055	MFA Financial, Inc. REIT		9,242
	101	MicroStrategy, Inc. Class A*		12,899
	1,277	MoneyGram International, Inc.*		20,572
	2,106	MSG Networks, Inc. Class A*		44,647
	544	National Presto Industries, Inc.		57,909
	252	National Western Life Group, Inc. Class A		87,948
	351	Navigators Group, Inc.		20,481
	8	Neenah Paper, Inc.		684
	189	NETGEAR, Inc.*		8,996
	350	NuVasive, Inc.*		19,411
	8,557	Office Depot, Inc.		38,849
	668	Oritani Financial Corp.⁽¹⁾		11,222
	2,292	Owens & Minor, Inc.		66,926
	671	PBF Energy, Inc. Class A⁽¹⁾		18,526
	556	PharMerica Corp.*		16,291
	1,690	Philbro Animal Health Corp. Class A		62,614
	7,994	Photronics, Inc.*		70,747
	110	Plexus Corp.*		6,169
	4,544	Quality Systems, Inc.*		71,477
	1,082	REX American Resources Corp.*		101,524
	1,568	RMR Group, Inc. REIT		80,517
	6,094	RPX Corp.*		80,928
	2	Safety Insurance Group, Inc.		153
	546	Sanderson Farms, Inc.⁽¹⁾		88,190
	2,416	Sanmina Corp.*		89,754
	179	Scholastic Corp.		6,659
	1,458	Schweitzer-Mauduit International, Inc.		60,449
	8,278	Sciclone Pharmaceuticals, Inc.*		92,714

The accompanying notes are an integral part of these financial statements.


		35

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		United States - 37.5% - (continued)
	1,563	Select Comfort Corp.*	$	48,531
	952	Select Income REIT		22,296
	109	Select Medical Holdings Corp.*		2,093
	1,275	Selective Insurance Group, Inc.		68,659
	1,188	SpartanNash Co.		31,328
	3,368	Steelcase, Inc. Class A		51,867
	1,213	Stepan Co.		101,480
	147	Sturm Ruger & Co., Inc.⁽¹⁾		7,600
	2,578	Summit Hotel Properties, Inc. REIT		41,222
	2,320	Sunstone Hotel Investors, Inc. REIT		37,282
	338	Supernus Pharmaceuticals, Inc.*		13,520
	2,611	Sykes Enterprises, Inc.*		76,137
	857	TeleTech Holdings, Inc.		35,780
	1,532	TriCo Bancshares		62,429
	461	Trinseo S.A.		30,933
	7,432	TrustCo Bank Corp.		66,145
	548	TTM Technologies, Inc.*		8,423
	409	U.S. Physical Therapy, Inc.		25,133
	986	United Fire Group, Inc.		45,179
	2,088	United States Cellular Corp.*		73,915
	619	Universal Corp.⁽¹⁾		35,469
	162	Usana Health Sciences, Inc.*		9,347
	218	Viad Corp.		13,276
	1,607	Vonage Holdings Corp.*		13,081
	455	Wabash National Corp.		10,383
	886	Walker & Dunlop, Inc.*		46,364
	715	Weis Markets, Inc.		31,103

				6,796,554


		Total Common Stocks (cost $15,683,513)	$	18,093,509


		Total Long-Term Investments (cost $15,683,513)	$	18,093,509


SHORT-TERM INVESTMENTS - 3.8%
		Securities Lending Collateral - 3.8%
	685,831	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽⁴⁾		685,831


		Total Short-Term Investments (cost $685,831)	$	685,831



Total Investments (cost $16,369,344)	103.5	%	$	18,779,340
Other Assets and Liabilities	(3.5	)%		(631,265	)

Total Net Assets	100.0	%	$	18,148,075

The accompanying notes are an integral part of these financial statements.


		36

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2017, the aggregate value of these securities was $386,582, which represented 2.1% of total net assets.

⁽³⁾	Investment valued using significant unobservable inputs.

⁽⁴⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		37

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	842,038	$	842,038	$	—	$	—
Belgium		104,213		104,213		—		—
Bermuda		149,783		149,783		—		—
Brazil		249,490		249,490		—		—
Canada		960,176		960,176		—		—
China		1,778,944		1,691,382		—		87,562
Denmark		138,268		138,268		—		—
France		161,606		161,606		—		—
Georgia		79,996		79,996		—		—
Germany		129,358		129,358		—		—
Hong Kong		317,638		317,638		—		—
Ireland		15,163		15,163		—		—
Israel		170,473		170,473		—		—
Italy		166,566		166,566		—		—
Japan		2,246,601		2,246,601		—		—
Luxembourg		28,560		28,560		—		—
Netherlands		187,100		187,100		—		—
New Zealand		102,061		102,061		—		—
Norway		58,757		58,757		—		—
Singapore		222,194		222,194		—		—
South Africa		272,930		272,930		—		—
South Korea		967,189		967,189		—		—
Spain		74,792		74,792		—		—
Sweden		152,859		152,859		—		—
Switzerland		158,116		158,116		—		—
Taiwan		671,863		671,863		—		—
Thailand		82,718		82,718		—		—
United Kingdom		807,503		807,503		—		—
United States		6,796,554		6,717,572		—		78,982
Short-Term Investments		685,831		685,831		—		—

Total	$	18,779,340	$	18,612,796	$	—	$	166,544

⁽¹⁾	For the year ended September 30, 2017, there were no transfers between any levels.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2017 is not presented.

The accompanying notes are an integral part of these financial statements.


		38

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7%
		Australia - 5.4%
	1,346	AGL Energy Ltd.	$	24,682
	1,931	Amcor Ltd.		23,046
	1,612	Aristocrat Leisure Ltd.		26,562
	1,041	Australia & New Zealand Banking Group Ltd.		24,178
	999	Caltex Australia Ltd.		25,162
	76	Cochlear Ltd.		9,494
	104	Commonwealth Bank of Australia		6,141
	246	CSL Ltd.		25,857
	5,067	DuluxGroup Ltd.		27,831
	1,086	GPT Group REIT		4,227
	993	National Australia Bank Ltd.		24,543
	1,173	Sonic Healthcare Ltd.		19,245
	1,013	Stockland REIT		3,418
	773	Tabcorp Holdings Ltd.		2,590
	3,160	Telstra Corp. Ltd.⁽¹⁾		8,653
	1,544	Washington H Soul Pattinson & Co., Ltd.		19,299
	57	Wesfarmers Ltd.		1,849
	349	Westpac Banking Corp.		8,741

				285,518

		Austria - 0.1%
	798	Telekom Austria AG*		7,241

		Belgium - 0.0%
	12	Cofinimmo S.A. REIT		1,541

		Brazil - 1.0%
	3,909	Ambev S.A.		26,001
	1,800	Fibria Celulose S.A.		24,384
	400	WEG S.A.		2,706

				53,091

		Canada - 9.7%
	246	Agrium, Inc.		26,302
	192	Alimentation Couche-Tard, Inc. Class B		8,735
	42	AltaGas Ltd.⁽¹⁾		965
	226	Bank of Montreal		17,064
	270	Bank of Nova Scotia		17,314
	514	BCE, Inc.		24,026
	1,510	CAE, Inc.		26,357
	180	Canadian Imperial Bank of Commerce⁽¹⁾		15,712
	302	Canadian National Railway Co.		24,964
	76	Canadian Tire Corp. Ltd. Class A		9,440
	400	CCL Industries, Inc. Class B		19,312
	824	Cineplex, Inc.		25,722
	308	Dollarama, Inc.		33,624
	567	Enbridge, Inc.⁽¹⁾		23,629
	48	George Weston Ltd.		4,170
	84	Imperial Oil Ltd.⁽¹⁾		2,677
	258	Inter Pipeline Ltd.		5,333
	128	Keyera Corp.⁽¹⁾		3,904
	74	Loblaw Cos. Ltd.		4,029
	58	Onex Corp.		4,466
	1,180	Parkland Fuel Corp.		23,946
	182	Pembina Pipeline Corp.⁽¹⁾		6,371
	553	RioCan REIT		10,581
	478	Rogers Communications, Inc. Class B⁽¹⁾		24,591
	220	Royal Bank of Canada		16,982
	485	Shaw Communications, Inc. Class B		11,138
	665	Suncor Energy, Inc.		23,252
	721	TELUS Corp.		25,873
	192	Thomson Reuters Corp.		8,809
	316	Toronto-Dominion Bank		17,750


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Canada - 9.7% - (continued)
	519	TransCanada Corp.	$	25,592
	500	WSP Global, Inc.		20,753

				513,383

		Chile - 0.2%
	53,426	Enersis Americas S.A.		10,955

		China - 4.5%
	1,000	AAC Technologies Holdings, Inc.		16,798
	36,000	Agricultural Bank of China Ltd. Class H		16,132
	13,000	China Construction Bank Corp. Class H		10,785
	7,000	China Merchants Bank Co., Ltd. Class H		24,601
	20,000	Country Garden Holdings Co., Ltd.		31,803
	16,000	CSPC Pharmaceutical Group Ltd.		26,794
	8,000	Fuyao Glass Industry Group Co., Ltd. Class H⁽²⁾		29,037
	18,000	Jiangsu Expressway Co., Ltd. Class H		27,562
	3,000	Shenzhou International Group Holdings Ltd.		23,506
	700	Tencent Holdings Ltd.		30,130

				237,148

		Denmark - 1.0%
	749	Danske Bank A/S		29,961
	743	GN Store Nord AS		25,472

				55,433

		Finland - 0.6%
	161	Kone Oyj Class B		8,527
	482	Orion Oyj Class B		22,371

				30,898

		France - 4.2%
	213	Air Liquide S.A.		28,417
	324	BioMerieux		26,379
	26	Cie Generale des Etablissements Michelin		3,796
	46	Hermes International		23,196
	65	L’Oreal S.A.		13,824
	104	LVMH Moet Hennessy Louis Vuitton SE		28,702
	259	Safran S.A.		26,467
	138	Sanofi		13,706
	210	Sodexo S.A.		26,192
	49	Thales S.A.		5,548
	491	Total S.A.		26,379

				222,606

		Germany - 3.3%
	120	adidas AG		27,153
	84	Allianz SE		18,863
	261	BASF SE		27,782
	1,424	Deutsche Telekom AG		26,573
	84	Fresenius Medical Care AG & Co. KGaA		8,219
	175	Fresenius SE & Co. KGaA		14,120
	139	FUCHS PETROLUB SE (Preference Shares)		8,231
	42	Merck KGaA		4,673
	230	SAP SE		25,203
	92	Siemens AG		12,965

				173,782

		Hong Kong - 5.5%
	2,000	China Mobile Ltd.		20,267
	13,000	CITIC Ltd.		19,207
	2,000	CK Hutchison Holdings Ltd.		25,567
	2,000	CK Infrastructure Holdings Ltd.		17,207
	2,500	CLP Holdings Ltd.		25,622

The accompanying notes are an integral part of these financial statements.


		39

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Hong Kong - 5.5% - (continued)
	1,100	Dairy Farm International Holdings Ltd.	$	8,459
	8,000	Guangdong Investment Ltd.		11,410
	7,600	Hong Kong & China Gas Co., Ltd.		14,284
	200	Jardine Matheson Holdings Ltd.		12,672
	600	Jardine Strategic Holdings Ltd.		25,920
	3,500	Link REIT		28,365
	4,500	MTR Corp. Ltd.		26,272
	1,000	Power Assets Holdings Ltd.		8,661
	2,000	Swire Pacific Ltd. Class A		19,409
	400	Swire Properties Ltd.		1,357
	2,000	VTech Holdings Ltd.		29,140

				293,819

		India - 2.3%
	541	Dr. Reddy’s Laboratories Ltd. ADR		19,303
	125	HDFC Bank Ltd. ADR		12,046
	1,905	Infosys Ltd. ADR⁽¹⁾		27,794
	598	Reliance Industries Ltd. GDR⁽²⁾		14,262
	4,062	Wipro Ltd. ADR⁽¹⁾		23,072
	729	WNS Holdings Ltd. ADR*		26,609

				123,086

		Indonesia - 2.7%
	43,400	Astra International Tbk PT		25,455
	17,457	Chandra Asri Petrochemical Tbk PT		30,879
	9,100	Indofood CBP Sukses Makmur Tbk PT		5,895
	115,700	Kalbe Farma Tbk PT		14,303
	76,700	Telekomunikasi Indonesia Persero Tbk PT		26,651
	6,700	Unilever Indonesia Tbk PT		24,362
	108,200	Waskita Karya Persero Tbk PT		14,259

				141,804

		Ireland - 1.1%
	690	CRH plc		26,327
	1,242	Experian plc		24,978
	84	Paddy Power Betfair plc		8,384

				59,689

		Israel - 1.4%
	168	Alony Hetz Properties & Investments Ltd.		1,783
	186	Azrieli Group Ltd.		10,330
	6,271	Bezeq The Israeli Telecommunication Corp. Ltd.		8,967
	104	Elbit Systems Ltd.		15,288
	154	Nice Ltd.		12,285
	155	Paz Oil Co., Ltd.		25,541

				74,194

		Italy - 1.6%
	1,421	Eni S.p.A.		23,519
	87	Luxottica Group S.p.A.		4,864
	7,177	Parmalat S.p.A.		26,302
	652	Recordati S.p.A.		30,061

				84,746

		Japan - 15.7%
	100	Aoyama Trading Co., Ltd.		3,576
	100	Asahi Group Holdings Ltd.		4,047
	1,600	Astellas Pharma, Inc.		20,347
	600	Azbil Corp.		25,719
	600	Bridgestone Corp.		27,216
	700	Canon, Inc.		23,911
	300	Daikin Industries Ltd.		30,369
	75	Daito Trust Construction Co., Ltd.		13,659


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Japan - 15.7% - (continued)
	600	Daiwa House Industry Co., Ltd.	$	20,708
	100	East Japan Railway Co.		9,226
	500	FUJIFILM Holdings Corp.		19,398
	200	Hikari Tsushin, Inc.		25,052
	500	Hoya Corp.		26,984
	300	Ito En Ltd.		10,114
	1,800	ITOCHU Corp.		29,471
	2	Japan Logistics Fund, Inc. REIT⁽¹⁾		3,722
	1	Japan Retail Fund Investment Corp. REIT		1,794
	900	Kagome Co., Ltd.		28,224
	500	Keikyu Corp.		10,132
	50	Keyence Corp.		26,540
	300	Kuraray Co., Ltd.		5,607
	400	Kyocera Corp.		24,811
	600	McDonald’s Holdings Co. Japan Ltd.		26,545
	1,600	Mitsubishi Electric Corp.		24,988
	300	Mitsubishi Tanabe Pharma Corp.		6,876
	600	Mitsui & Co., Ltd.		8,864
	5,800	Mizuho Financial Group, Inc.		10,156
	200	Nagoya Railroad Co., Ltd.		4,305
	200	Nikon Corp.⁽¹⁾		3,466
	2,000	Nippon Kayaku Co., Ltd.		30,791
	500	Nippon Telegraph & Telephone Corp.		22,907
	300	Nissan Chemical Industries Ltd.		10,554
	900	Nissan Motor Co., Ltd.⁽¹⁾		8,911
	2,100	NTT Data Corp.		22,462
	400	Osaka Gas Co., Ltd.		7,434
	500	Otsuka Holdings Co., Ltd.		19,860
	200	Sankyo Co., Ltd.		6,379
	300	Secom Co., Ltd.		21,859
	800	Shimadzu Corp.		15,749
	100	Shin-Etsu Chemical Co., Ltd.		8,937
	300	SoftBank Group Corp.		24,210
	400	Subaru Corp.		14,427
	1,500	Sumitomo Rubber Industries Ltd.		27,477
	500	Takeda Pharmaceutical Co., Ltd.		27,602
	600	Terumo Corp.		23,586
	100	Tokio Marine Holdings, Inc.		3,911
	400	Toyota Motor Corp.		23,844
	500	Wacoal Holdings Corp.		14,258
	1,400	Zensho Holdings Co., Ltd.⁽¹⁾		25,260

				836,245

		Malaysia - 1.2%
	7,900	DiGi.Com Bhd		9,168
	4,700	Genting Malaysia Bhd		5,988
	1,000	HAP Seng Consolidated Bhd		2,155
	10,200	KLCCP Stapled Group		19,325
	5,600	Maxis Bhd		7,692
	4,900	Petronas Chemicals Group Bhd		8,460
	3,400	Tenaga Nasional Bhd		11,531

				64,319

		Mexico - 0.3%
	1,404	Fomento Economico Mexicano S.A.B. de C.V.		13,444
	40	Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B		765

				14,209

		Netherlands - 1.1%
	74	Koninklijke DSM N.V.		6,059
	117	Koninklijke Philips N.V.		4,831

The accompanying notes are an integral part of these financial statements.


		40

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Netherlands - 1.1% - (continued)
	200	NXP Semiconductors N.V.*	$	22,618
	913	Royal Dutch Shell plc Class A		27,543

				61,051

		Norway - 0.3%
	1,037	Borregaard ASA		11,627
	212	Telenor ASA		4,485

				16,112

		Philippines - 1.2%
	3,410	Aboitiz Equity Ventures, Inc.		4,921
	10,900	Aboitiz Power Corp.		9,194
	340	Ayala Corp.		6,492
	10,300	Ayala Land, Inc.		8,820
	3,400	Manila Electric Co.		18,941
	640	SM Investments Corp.		11,125
	9,600	SM Prime Holdings, Inc.		6,510

				66,003

		Poland - 0.2%
	353	Polski Koncern Naftowy Orlen S.A.		11,789

		Russia - 0.1%
	351	MMC Norilsk Nickel PJSC ADR		6,042

		Singapore - 2.3%
	700	Ascendas REIT		1,371
	1,900	DBS Group Holdings Ltd.		29,131
	1,800	Frasers Centrepoint Trust		2,797
	3,200	Mapletree Industrial Trust REIT		4,418
	4,500	Mapletree Logistics Trust REIT		4,109
	200	Oversea-Chinese Banking Corp. Ltd.		1,644
	3,500	SATS Ltd.		11,882
	1,500	Singapore Press Holdings Ltd.⁽¹⁾		3,005
	3,300	Singapore Telecommunications Ltd.		8,943
	900	United Overseas Bank Ltd.		15,575
	1,200	UOL Group Ltd.		7,175
	2,400	Venture Corp. Ltd.		31,176

				121,226

		South Africa - 0.3%
	238	AVI Ltd.		1,726
	950	Bidvest Group Ltd.		12,148

				13,874

		South Korea - 5.7%
	9	CJ O Shopping Co., Ltd.		1,555
	225	Fila Korea Ltd.		13,457
	70	GS Home Shopping, Inc.		13,275
	19	Hyundai Mobis Co., Ltd.		3,981
	193	Hyundai Motor Co.		25,360
	543	Kangwon Land, Inc.		16,593
	174	KB Financial Group, Inc.		8,523
	532	Kia Motors Corp.		14,701
	1,096	LF Corp.		24,545
	49	LG Corp.		3,448
	141	LG Display Co., Ltd.		3,761
	1,180	LG Uplus Corp.		13,754
	355	Loen Entertainment, Inc.		27,089
	163	Nexen Tire Corp.		1,886
	259	S-1 Corp.		20,171
	13	Samsung Electronics Co., Ltd.		29,102
	223	Shinhan Financial Group Co., Ltd.		9,793
	40	SK Holdings Co., Ltd.		10,058


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		South Korea - 5.7% - (continued)
	445	SK Hynix, Inc.	$	32,209
	127	SK Telecom Co., Ltd.		28,275

				301,536

		Spain - 0.7%
	88	Amadeus IT Group S.A.		5,721
	1,122	Endesa S.A.		25,301
	145	Industria de Diseno Textil S.A.		5,466

				36,488

		Sweden - 1.4%
	434	Atlas Copco AB Class A		18,339
	552	Holmen AB Class B		25,786
	1,049	Swedbank AB Class A		28,942

				73,067

		Switzerland - 4.3%
	1,031	ABB Ltd.		25,509
	382	Ferguson plc		25,092
	38	Geberit AG		17,991
	12	Givaudan S.A.		26,131
	280	Nestle S.A.		23,468
	282	Novartis AG		24,160
	96	Roche Holding AG		24,526
	3	Sika AG		22,339
	260	Swiss Re AG		23,565
	54	Zurich Insurance Group AG		16,486

				229,267

		Taiwan - 3.9%
	11,000	Chong Hong Construction Co., Ltd.		25,320
	6,000	Chunghwa Telecom Co., Ltd.		20,677
	1,000	Far EasTone Telecommunications Co., Ltd.		2,378
	2,000	Formosa Plastics Corp.		6,054
	1,000	Foxconn Technology Co., Ltd.		2,885
	5,000	Fulgent Sun International Holding Co., Ltd.		12,201
	1,000	Greatek Electronics, Inc.		1,659
	6,000	Hon Hai Precision Industry Co., Ltd.		20,775
	2,000	Nan Ya Plastics Corp.		4,927
	3,000	Pou Chen Corp.		3,764
	3,000	Powertech Technology, Inc.		8,647
	1,000	President Chain Store Corp.		8,426
	7,600	Ruentex Development Co., Ltd.*		6,967
	11,000	Syncmold Enterprise Corp.		25,175
	2,000	Taiwan Mobile Co., Ltd.		7,123
	3,000	Taiwan Semiconductor Manufacturing Co., Ltd.		21,419
	13,000	Uni-President Enterprises Corp.		27,223

				205,620

		Thailand - 2.8%
	800	Advanced Info Service PCL NVDR		4,582
	16,400	Airports of Thailand PCL NVDR		29,013
	7,600	Bangkok Dusit Medical Services PCL NVDR		4,672
	1,500	Bumrungrad Hospital PCL NVDR		9,670
	1,000	Central Pattana PCL NVDR		2,339
	9,000	CP ALL PCL NVDR		18,013
	800	Electricity Generating PCL NVDR		5,637
	900	Glow Energy PCL NVDR		2,409
	3,000	Ratchaburi Electricity Generating Holding PCL NVDR		4,835
	1,404	Siam Cement PCL NVDR		21,049
	11,900	Supalai PCL NVDR		8,278

The accompanying notes are an integral part of these financial statements.


		41

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Thailand - 2.8% - (continued)
	33,600	Thai Beverage PCL	$	22,269
	4,700	Thai Union Group PCL NVDR		2,819
	16,200	Thai Vegetable Oil PCL NVDR		13,966

				149,551

		Turkey - 2.2%
	214	Afyon Cimento Sanayi TAS*		475
	3,465	Aselsan Elektronik Sanayi Ve Ticaret AS		25,626
	631	BIM Birlesik Magazalar AS		13,175
	15,637	Enka Insaat ve Sanayi AS		22,778
	1,010	KOC Holding AS		4,644
	18,115	Soda Sanayii AS		25,929
	442	Tupras Turkiye Petrol Rafinerileri AS		15,114
	106	Turk Traktor ve Ziraat Makineleri AS		2,314
	2,161	Turkcell Iletisim Hizmetleri AS		7,711

				117,766

		United Kingdom - 10.5%
	925	Ashtead Group plc		22,326
	362	AstraZeneca plc		24,065
	2,645	BAE Systems plc		22,410
	4,401	BP plc		28,183
	371	British American Tobacco plc		23,255
	1,107	Compass Group plc		23,511
	514	Croda International plc		26,157
	780	Diageo plc		25,670
	1,144	GlaxoSmithKline plc		22,846
	1,049	Halma plc		15,763
	2,665	HSBC Holdings plc		26,355
	474	InterContinental Hotels Group plc		25,107
	413	Intertek Group plc		27,605
	1,835	National Grid plc		22,763
	246	Reckitt Benckiser Group plc		22,486
	1,296	RELX N.V.		27,594
	1,282	RELX plc		28,156
	6,892	Rentokil Initial plc		27,796
	1,007	Sage Group plc		9,437
	1,415	Smith & Nephew plc		25,591
	431	Smiths Group plc		9,119
	141	Spectris plc		4,559
	371	Unilever N.V.		21,947
	451	Unilever plc		26,134
	6,147	Vodafone Group plc		17,220
	200	WPP plc		3,716

				559,771

		United States - 0.9%
	390	Carnival plc		24,818
	4,800	Samsonite International S.A.		20,587

				45,405


		Total Common Stocks (cost $5,084,430)	$	5,298,275


WARRANTS - 0.0%
		Thailand - 0.0%
	2,975	Supalai PCL Expires 10/19/18*	$	1,713


		Total Warrants (cost $1,497)	$	1,713


Shares or Principal Amount			Market Value^†
RIGHTS - 0.0%
		Singapore - 0.0%
	450	Mapletree Logistics Trust Expires 10/04/17*	$	32


		Total Rights (cost $—)	$	32


		Total Long-Term Investments (cost $5,085,927)	$	5,300,020


SHORT-TERM INVESTMENTS - 1.0%
		Securities Lending Collateral - 1.0%
	55,936	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽³⁾		55,936


		Total Short-Term Investments (cost $55,936)	$	55,936



Total Investments (cost $5,141,863)	100.7	%	$	5,355,956
Other Assets and Liabilities	(0.7	)%		(39,175	)

Total Net Assets	100.0	%	$	5,316,781

The accompanying notes are an integral part of these financial statements.


		42

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At September 30, 2017, the aggregate value of these securities was $43,299, which represented 0.8% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
ADR		American Depositary Receipt
GDR		Global Depositary Receipt
NVDR		Non-Voting Depositary Receipt
PJSC		Private Joint Stock Company
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		43

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	285,518	$	285,518	$	—	$	—
Austria		7,241		7,241		—		—
Belgium		1,541		1,541		—		—
Brazil		53,091		53,091		—		—
Canada		513,383		513,383		—		—
Chile		10,955		10,955		—		—
China		237,148		237,148		—		—
Denmark		55,433		55,433		—		—
Finland		30,898		30,898		—		—
France		222,606		222,606		—		—
Germany		173,782		173,782		—		—
Hong Kong		293,819		293,819		—		—
India		123,086		123,086		—		—
Indonesia		141,804		141,804		—		—
Ireland		59,689		59,689		—		—
Israel		74,194		74,194		—		—
Italy		84,746		84,746		—		—
Japan		836,245		836,245		—		—
Malaysia		64,319		64,319		—		—
Mexico		14,209		14,209		—		—
Netherlands		61,051		61,051		—		—
Norway		16,112		16,112		—		—
Philippines		66,003		66,003		—		—
Poland		11,789		11,789		—		—
Russia		6,042		6,042		—		—
Singapore		121,226		121,226		—		—
South Africa		13,874		13,874		—		—
South Korea		301,536		301,536		—		—
Spain		36,488		36,488		—		—
Sweden		73,067		73,067		—		—
Switzerland		229,267		229,267		—		—
Taiwan		205,620		205,620		—		—
Thailand		149,551		149,551		—		—
Turkey		117,766		117,766		—		—
United Kingdom		559,771		559,771		—		—
United States		45,405		45,405		—		—
Warrants		1,713		—		1,713		—
Rights		32		—		32		—
Short-Term Investments		55,936		55,936		—		—

Total	$	5,355,956	$	5,354,211	$	1,745	$	—

⁽¹⁾	For the period ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		44

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8%
		Automobiles & Components - 1.3%
	218	Cooper Tire & Rubber Co.⁽¹⁾	$	8,153
	492	Fox Factory Holding Corp.*		21,206
	169	Visteon Corp.*		20,917

				50,276

		Banks - 2.1%
	108	BancFirst Corp.		6,129
	883	Beneficial Bancorp, Inc.		14,658
	207	Capitol Federal Financial, Inc.		3,043
	420	CenterState Bank Corp.		11,256
	28	Commerce Bancshares, Inc.		1,618
	557	Investors Bancorp, Inc.⁽¹⁾		7,597
	22	JP Morgan Chase & Co.		2,101
	585	Meridian Bancorp, Inc.		10,910
	463	US Bancorp		24,812

				82,124

		Capital Goods - 12.3%
	180	3M Co.		37,782
	125	Boeing Co.		31,776
	355	BWX Technologies, Inc.		19,887
	21	ESCO Technologies, Inc.		1,259
	86	General Dynamics Corp.		17,680
	644	General Electric Co.		15,572
	342	Honeywell International, Inc.		48,475
	167	Hubbell, Inc. Class B		19,375
	33	IDEX Corp.		4,008
	200	Illinois Tool Works, Inc.		29,592
	371	Kaman Corp.		20,694
	118	Lincoln Electric Holdings, Inc.		10,818
	127	Lockheed Martin Corp.		39,407
	187	MSC Industrial Direct Co., Inc. Class A		14,132
	133	Northrop Grumman Corp.		38,267
	209	Raytheon Co.		38,995
	210	Rockwell Collins, Inc.		27,449
	9	Roper Technologies, Inc.		2,191
	7	Stanley Black & Decker, Inc.		1,057
	485	Toro Co.		30,099
	235	United Technologies Corp.		27,279

				475,794

		Commercial & Professional Services - 3.1%
	33	Cintas Corp.		4,761
	86	IHS Markit Ltd.*		3,791
	78	Matthews International Corp. Class A		4,855
	446	Republic Services, Inc.		29,463
	377	Rollins, Inc.		17,395
	442	Tetra Tech, Inc.		20,575
	484	Waste Management, Inc.		37,883

				118,723

		Consumer Durables & Apparel - 0.2%
	27	Mohawk Industries, Inc.*		6,683

		Consumer Services - 9.5%
	416	Aramark		16,894
	237	Bright Horizons Family Solutions, Inc.*		20,432
	302	Carnival Corp.		19,500
	336	Cheesecake Factory, Inc.⁽¹⁾		14,152
	99	Churchill Downs, Inc.		20,414
	75	Cracker Barrel Old Country Store, Inc.⁽¹⁾		11,371
	350	Darden Restaurants, Inc.		27,573


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Consumer Services - 9.5% - (continued)
	151	Domino’s Pizza, Inc.	$	29,981
	362	Dunkin’ Brands Group, Inc.		19,215
	34	Graham Holdings Co. Class B		19,893
	119	Hilton Worldwide Holdings, Inc.		8,265
	49	Jack in the Box, Inc.		4,994
	362	McDonald’s Corp.		56,718
	265	Papa John’s International, Inc.⁽¹⁾		19,364
	106	Service Corp. International/US		3,657
	474	Starbucks Corp.		25,458
	23	Vail Resorts, Inc.		5,247
	1,039	Wendy’s Co.⁽¹⁾		16,136
	360	Yum! Brands, Inc.		26,500

				365,764

		Diversified Financials - 2.2%
	109	Ares Capital Corp.		1,786
	179	Berkshire Hathaway, Inc. Class B*		32,814
	330	Blackstone Mortgage Trust, Inc. Class A REIT⁽¹⁾		10,237
	261	Capstead Mortgage Corp. REIT		2,519
	108	Chimera Investment Corp. REIT		2,043
	354	MFA Financial, Inc. REIT		3,101
	15	Nasdaq, Inc.		1,163
	1,051	New Mountain Finance Corp.		14,977
	563	Solar Capital Ltd.		12,183
	262	Starwood Property Trust, Inc. REIT		5,691
	31	TPG Specialty Lending, Inc.		650

				87,164

		Energy - 5.0%
	520	Chevron Corp.		61,100
	732	Exxon Mobil Corp.		60,009
	451	Phillips 66		41,316
	413	Schlumberger Ltd.		28,811
	22	Valero Energy Corp.		1,693

				192,929

		Food & Staples Retailing - 1.3%
	86	Costco Wholesale Corp.		14,129
	256	Sysco Corp.		13,811
	266	Wal-Mart Stores, Inc.		20,785

				48,725

		Food, Beverage & Tobacco - 3.8%
	620	Altria Group, Inc.		39,320
	15	Brown-Forman Corp. Class B		815
	503	Coca-Cola Co.		22,640
	842	ConAgra Foods, Inc.		28,409
	325	Fresh Del Monte Produce, Inc.		14,775
	144	Kellogg Co.⁽¹⁾		8,981
	224	PepsiCo, Inc.		24,960
	66	Philip Morris International, Inc.		7,327

				147,227

		Health Care Equipment & Services - 5.0%
	423	Baxter International, Inc.		26,543
	65	Cooper Cos., Inc.		15,412
	33	CR Bard, Inc.		10,576
	57	Danaher Corp.		4,889
	146	IDEXX Laboratories, Inc.*		22,702
	4	Intuitive Surgical, Inc.*		4,184
	48	Masimo Corp.*		4,155
	131	Medtronic plc		10,188

The accompanying notes are an integral part of these financial statements.


		45

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Health Care Equipment & Services - 5.0% - (continued)
	130	Quest Diagnostics, Inc.	$	12,173
	111	Stryker Corp.		15,764
	288	UnitedHealth Group, Inc.		56,405
	68	Varian Medical Systems, Inc.*		6,804
	21	WellCare Health Plans, Inc.*		3,607

				193,402

		Household & Personal Products - 2.1%
	177	Church & Dwight Co., Inc.		8,576
	123	Clorox Co.		16,225
	203	Colgate-Palmolive Co.		14,788
	55	Kimberly-Clark Corp.		6,472
	218	Procter & Gamble Co.		19,834
	148	Spectrum Brands Holdings, Inc.⁽¹⁾		15,676

				81,571

		Insurance - 1.5%
	15	American Financial Group, Inc.		1,552
	16	Aon plc		2,338
	189	Arch Capital Group Ltd.*		18,616
	17	Argo Group International Holdings Ltd.		1,045
	108	Arthur J Gallagher & Co.		6,647
	334	Axis Capital Holdings Ltd.		19,142
	33	Erie Indemnity Co. Class A		3,979
	8	Everest Re Group Ltd.		1,827
	21	Loews Corp.		1,005
	2	White Mountains Insurance Group Ltd.		1,714

				57,865

		Materials - 9.5%
	188	Air Products & Chemicals, Inc.		28,429
	199	AptarGroup, Inc.		17,176
	153	Ashland Global Holdings, Inc.		10,005
	157	Balchem Corp.		12,763
	207	Ball Corp.		8,549
	264	Compass Minerals International, Inc.⁽¹⁾		17,134
	446	Crown Holdings, Inc.*		26,635
	279	Ecolab, Inc.		35,882
	327	Monsanto Co.		39,181
	46	NewMarket Corp.		19,584
	293	Praxair, Inc.		40,944
	87	Quaker Chemical Corp.		12,872
	385	RPM International, Inc.		19,766
	206	Scotts Miracle-Gro Co. Class A		20,052
	12	Sensient Technologies Corp.		923
	31	Sherwin-Williams Co.		11,099
	624	Silgan Holdings, Inc.		18,364
	380	Sonoco Products Co.		19,171
	146	WR Grace & Co.		10,534

				369,063

		Media - 3.0%
	1,030	Comcast Corp. Class A		39,634
	126	John Wiley & Sons, Inc. Class A		6,741
	122	Omnicom Group, Inc.		9,037
	378	Time Warner, Inc.		38,726
	204	Walt Disney Co.		20,108

				114,246

		Pharmaceuticals, Biotechnology & Life Sciences - 4.2%
	14	AbbVie, Inc.		1,244
	88	Bio-Rad Laboratories, Inc. Class A*		19,555


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Pharmaceuticals, Biotechnology & Life Sciences - 4.2% - (continued)
	81	Bio-Techne Corp.	$	9,792
	437	Johnson & Johnson		56,814
	423	Merck & Co., Inc.		27,085
	210	PerkinElmer, Inc.		14,484
	887	Pfizer, Inc.		31,666

				160,640

		Real Estate - 6.0%
	237	American Campus Communities, Inc. REIT		10,464
	123	American Tower Corp. REIT		16,812
	167	Apartment Investment & Management Co. Class A, REIT		7,325
	33	AvalonBay Communities, Inc. REIT		5,888
	45	Camden Property Trust REIT		4,115
	130	Crown Castle International Corp.		12,997
	241	Digital Realty Trust, Inc. REIT		28,518
	111	Douglas Emmett, Inc. REIT		4,376
	9	EastGroup Properties, Inc. REIT		793
	81	EPR Properties		5,649
	408	Equity Commonwealth REIT*		12,403
	170	Equity LifeStyle Properties, Inc. REIT		14,464
	17	Essex Property Trust, Inc. REIT		4,318
	203	LTC Properties, Inc. REIT		9,537
	64	Mid-America Apartment Communities, Inc. REIT		6,840
	1,197	Monmouth Real Estate Investment Corp. REIT		19,379
	81	PS Business Parks, Inc. REIT		10,813
	24	Public Storage REIT		5,136
	313	RE/MAX Holdings, Inc. Class A		19,891
	784	Retail Opportunity Investments Corp. REIT		14,904
	205	Tanger Factory Outlet Centers, Inc. REIT⁽¹⁾		5,006
	159	UDR, Inc. REIT		6,047
	48	Urstadt Biddle Properties, Inc. Class A, REIT		1,042
	69	Ventas, Inc. REIT		4,494
	27	Washington Real Estate Investment Trust REIT⁽¹⁾		884

				232,095

		Retailing - 1.8%
	24	AutoZone, Inc.*		14,283
	196	Home Depot, Inc.		32,058
	99	Pool Corp.		10,709
	161	TJX Cos., Inc.		11,870

				68,920

		Semiconductors & Semiconductor Equipment - 0.3%
	264	Intel Corp.		10,053

		Software & Services - 8.4%
	8	Adobe Systems, Inc.*		1,194
	425	Amdocs Ltd.		27,336
	302	Aspen Technology, Inc.*		18,969
	201	Automatic Data Processing, Inc.		21,973
	843	Blucora, Inc.*		21,328
	199	Broadridge Financial Solutions, Inc.		16,083
	20	Facebook, Inc. Class A*		3,417
	195	Fidelity National Information Services, Inc.		18,211
	144	Fiserv, Inc.*		18,570
	52	Gartner, Inc. Class A*		6,469
	278	Genpact Ltd.		7,993
	329	IBM Corp.		47,731
	188	Jack Henry & Associates, Inc.		19,325
	84	Mastercard, Inc. Class A		11,861

The accompanying notes are an integral part of these financial statements.


		46

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Software & Services - 8.4% - (continued)
	286	Microsoft Corp.	$	21,304
	384	Paychex, Inc.		23,025
	118	Progress Software Corp.		4,504
	97	Synopsys, Inc.*		7,811
	137	VeriSign, Inc.*		14,575
	137	Visa, Inc. Class A		14,418

				326,097

		Technology Hardware & Equipment - 2.3%
	260	Amphenol Corp. Class A		22,006
	228	AVX Corp.		4,157
	585	Benchmark Electronics, Inc.*		19,978
	1,563	Brocade Communications Systems, Inc.		18,678
	232	Cisco Systems, Inc.		7,802
	33	Dolby Laboratories, Inc. Class A		1,898
	19	Harris Corp.		2,502
	139	Motorola Solutions, Inc.		11,797

				88,818

		Telecommunication Services - 6.8%
	1,555	AT&T, Inc.		60,910
	1,420	CenturyLink, Inc.		26,838
	418	Cogent Communications Holdings, Inc.		20,440
	673	Consolidated Communications Holdings, Inc.		12,841
	532	Level 3 Communications, Inc.*		28,350
	2,315	Sprint Corp.*⁽¹⁾		18,011
	441	T-Mobile USA, Inc.*		27,192
	131	Telephone & Data Systems, Inc.		3,654
	1,217	Verizon Communications, Inc.		60,229
	316	Vonage Holdings Corp.*		2,572

				261,037

		Transportation - 2.6%
	84	CH Robinson Worldwide, Inc.		6,392
	40	Expeditors International of Washington, Inc.		2,394
	365	Heartland Express, Inc.		9,154
	132	J.B. Hunt Transport Services, Inc.		14,663
	120	Landstar System, Inc.		11,958
	150	Union Pacific Corp.		17,396
	335	United Parcel Service, Inc. Class B		40,230

				102,187

		Utilities - 5.5%
	246	Alliant Energy Corp.		10,226
	39	American Electric Power Co., Inc.		2,739
	85	American Water Works Co., Inc.		6,877
	72	Atmos Energy Corp.		6,037
	78	CenterPoint Energy, Inc.		2,278
	145	CMS Energy Corp.		6,716
	125	Consolidated Edison, Inc.		10,085
	292	Dominion Energy, Inc.		22,464
	69	DTE Energy Co.		7,408
	112	Duke Energy Corp.		9,399
	86	Edison International		6,637
	136	El Paso Electric Co.		7,514
	49	Entergy Corp.		3,742
	42	IDACORP, Inc.		3,693
	679	MDU Resources Group, Inc.		17,620
	21	MGE Energy, Inc.		1,357
	18	NextEra Energy, Inc.		2,638
	504	NiSource, Inc.		12,897
	90	PG&E Corp.		6,128


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Utilities - 5.5% - (continued)
	66	Portland General Electric Co.	$	3,012
	129	PPL Corp.		4,896
	69	Public Service Enterprise Group, Inc.		3,191
	30	SCANA Corp.		1,455
	228	Southern Co.		11,204
	158	Spire, Inc.		11,795
	27	UGI Corp.		1,265
	95	Vectren Corp.		6,248
	174	WEC Energy Group, Inc.		10,924
	77	Westar Energy, Inc.		3,819
	201	Xcel Energy, Inc.		9,511

				213,775


		Total Common Stocks (cost $3,719,028)	$	3,855,178


		Total Long-Term Investments (cost $3,719,028)	$	3,855,178


SHORT-TERM INVESTMENTS - 0.8%
		Securities Lending Collateral - 0.8%
	29,024	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽²⁾		29,024


		Total Short-Term Investments (cost $29,024)	$	29,024



Total Investments (cost $3,748,052)	100.6	%	$	3,884,202
Other Assets and Liabilities	(0.6	)%		(22,774	)

Total Net Assets	100.0	%	$	3,861,428

The accompanying notes are an integral part of these financial statements.


		47

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		48

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	50,276	$	50,276	$	—	$	—
Banks		82,124		82,124		—		—
Capital Goods		475,794		475,794		—		—
Commercial & Professional Services		118,723		118,723		—		—
Consumer Durables & Apparel		6,683		6,683		—		—
Consumer Services		365,764		365,764		—		—
Diversified Financials		87,164		87,164		—		—
Energy		192,929		192,929		—		—
Food & Staples Retailing		48,725		48,725		—		—
Food, Beverage & Tobacco		147,227		147,227		—		—
Health Care Equipment & Services		193,402		193,402		—		—
Household & Personal Products		81,571		81,571		—		—
Insurance		57,865		57,865		—		—
Materials		369,063		369,063		—		—
Media		114,246		114,246		—		—
Pharmaceuticals, Biotechnology & Life Sciences		160,640		160,640		—		—
Real Estate		232,095		232,095		—		—
Retailing		68,920		68,920		—		—
Semiconductors & Semiconductor Equipment		10,053		10,053		—		—
Software & Services		326,097		326,097		—		—
Technology Hardware & Equipment		88,818		88,818		—		—
Telecommunication Services		261,037		261,037		—		—
Transportation		102,187		102,187		—		—
Utilities		213,775		213,775		—		—
Short-Term Investments		29,024		29,024		—		—

Total	$	3,884,202	$	3,884,202	$	—	$	—

⁽¹⁾	For the period ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		49

Hartford Multifactor REIT ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 101.5%
		Diversified REITs - 10.4%
	14,689	Armada Hoffler Properties, Inc. REIT	$	202,855
	9,516	Empire State Realty Trust, Inc. Class A, REIT		195,459
	17,025	First Potomac Realty Trust REIT		189,659
	8,400	Select Income REIT		196,728
	2,816	WP Carey, Inc. REIT⁽¹⁾		189,770

				974,471

		Health Care REITs - 9.8%
	10,098	CareTrust, Inc. REIT⁽¹⁾		192,266
	4,018	LTC Properties, Inc. REIT		188,766
	2,330	National Health Investors, Inc. REIT		180,086
	5,866	Omega Healthcare Investors, Inc. REIT		187,184
	7,440	Sabra Healthcare, Inc. REIT		163,233

				911,535

		Hotel & Resort REITs - 7.3%
	1,619	MGM Growth Properties LLC Class A		48,910
	3,357	Ryman Hospitality Properties, Inc. REIT		209,779
	13,283	Summit Hotel Properties, Inc. REIT		212,395
	9,978	Xenia Hotels & Resorts, Inc. REIT		210,037

				681,121

		Industrial REITs - 6.1%
	6,614	Duke Realty Corp. REIT		190,615
	2,191	EastGroup Properties, Inc. REIT		193,071
	6,276	First Industrial Realty Trust, Inc. REIT		188,845

				572,531

		Office REITs - 7.6%
	9,444	City Office, Inc. REIT		130,044
	5,836	Corporate Office Properties Trust REIT		191,596
	20,423	Cousins Properties, Inc. REIT		190,751
	3,746	Highwoods Properties, Inc. REIT		195,129

				707,520

		Residential REITs - 13.2%
	4,303	Apartment Investment & Management Co. Class A, REIT		188,730
	2,131	Camden Property Trust REIT		194,880
	2,165	Equity LifeStyle Properties, Inc. REIT		184,198
	733	Essex Property Trust, Inc. REIT		186,204
	5,034	NexPoint Residential Trust, Inc. REIT		119,457
	4,779	UDR, Inc. REIT		181,745
	11,602	UMH Properties, Inc. REIT		180,411

				1,235,625

		Retail REITs - 29.6%
	3,739	Agree Realty Corp. REIT		183,510
	465	Alexander’s, Inc. REIT		197,202
	10,338	Brixmor Property Group, Inc. REIT		194,354
	23,912	CBL & Associates Properties, Inc. REIT⁽¹⁾		200,622
	1,528	Federal Realty Investment Trust REIT		189,793
	7,044	Getty Realty Corp. REIT		201,529
	14,738	Ramco-Gershenson Properties Trust REIT		191,741
	2,192	Saul Centers, Inc. REIT		135,707
	3,955	Seritage Growth Properties REIT⁽¹⁾		182,207
	1,243	Simon Property Group, Inc. REIT		200,135
	8,234	Tanger Factory Outlet Centers, Inc. REIT⁽¹⁾		201,074
	2,269	Taubman Centers, Inc. REIT		112,769
	7,669	Urban Edge Properties REIT⁽¹⁾		184,976
	23,459	Washington Prime Group, Inc. REIT⁽¹⁾		195,414
	6,048	Weingarten Realty Investors REIT		191,964

				2,762,997


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 101.5% - (continued)
		Specialized REITs - 17.5%
	1,640	Coresite Realty Corp. REIT⁽¹⁾	$	183,516
	7,834	CubeSmart REIT		203,371
	3,055	CyrusOne, Inc. REIT		180,031
	3,169	Digital Realty Trust, Inc. REIT		375,021
	4,834	Gaming and Leisure Properties, Inc. REIT		178,326
	8,567	National Storage Affiliates Trust REIT		207,664
	943	Public Storage REIT		201,793
	1,886	QTS Realty Trust, Inc. Class A, REIT		98,751

				1,628,473


		Total Common Stocks (cost $9,277,027)	$	9,474,273


		Total Long-Term Investments (cost $9,277,027)	$	9,474,273


SHORT-TERM INVESTMENTS - 3.8%
		Securities Lending Collateral - 3.8%
	355,521	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%,⁽²⁾		355,521


		Total Short-Term Investments (cost $355,521)	$	355,521



Total Investments (cost $9,632,548)	105.3	%	$	9,829,794
Other Assets and Liabilities	(5.3	)%		(492,316	)

Total Net Assets	100.0	%	$	9,337,478

The accompanying notes are an integral part of these financial statements.


		50

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		51

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Diversified REITs	$	974,471	$	974,471	$	—	$	—
Health Care REITs		911,535		911,535		—		—
Hotel & Resort REITs		681,121		681,121		—		—
Industrial REITs		572,531		572,531		—		—
Office REITs		707,520		707,520		—		—
Residential REITs		1,235,625		1,235,625		—		—
Retail REITs		2,762,997		2,762,997		—		—
Specialized REITs		1,628,473		1,628,473		—		—
Short-Term Investments		355,521		355,521		—		—

Total	$	9,829,794	$	9,829,794	$	—	$	—

⁽¹⁾	For the period ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		52

Hartford Multifactor US Equity ETF

Schedule of Investments

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2%
		Automobiles & Components - 1.8%
	1,323	Dana Holding Corp.	$	36,991
	1,146	Delphi Automotive plc		112,766
	3,808	Ford Motor Co.		45,582
	6,546	General Motors Co.		264,327
	733	Goodyear Tire & Rubber Co.		24,372
	1,176	Tenneco, Inc.		71,348
	425	Thor Industries, Inc.		53,512
	250	Visteon Corp.*		30,943

				639,841

		Banks - 6.8%
	7,430	Bank of America Corp.		188,276
	2,341	BB&T Corp.		109,887
	2,707	Citigroup, Inc.		196,907
	2,178	Citizens Financial Group, Inc.		82,481
	1,531	Cullen/Frost Bankers, Inc.		145,322
	489	East West Bancorp, Inc.		29,232
	5,007	Fifth Third Bancorp		140,096
	194	First Citizens BancShares, Inc. Class A		72,535
	3,772	JP Morgan Chase & Co.		360,264
	1,730	KeyCorp		32,559
	350	M&T Bank Corp.		56,364
	3,148	MGIC Investment Corp.*		39,444
	1,244	PNC Financial Services Group, Inc.		167,654
	2,756	Popular, Inc.		99,051
	12,461	Regions Financial Corp.		189,781
	2,668	SunTrust Banks, Inc.		159,466
	332	US Bancorp		17,792
	3,374	Wells Fargo & Co.		186,076
	1,509	Zions Bancorp		71,195

				2,344,382

		Capital Goods - 5.5%
	547	3M Co.		114,815
	671	Boeing Co.		170,575
	142	Caterpillar, Inc.		17,709
	1,692	Cummins, Inc.		284,307
	123	Deere & Co.		15,448
	2,189	Eaton Corp. plc		168,093
	311	Emerson Electric Co.		19,543
	496	General Dynamics Corp.		101,968
	335	Honeywell International, Inc.		47,483
	665	Illinois Tool Works, Inc.		98,393
	1,529	Ingersoll-Rand plc		136,341
	44	Lockheed Martin Corp.		13,653
	2,270	MasTec, Inc.*		105,328
	1,000	MSC Industrial Direct Co., Inc. Class A		75,570
	316	Northrop Grumman Corp.		90,920
	857	PACCAR, Inc.		61,995
	175	Parker-Hannifin Corp.		30,629
	187	Raytheon Co.		34,890
	193	Rockwell Automation, Inc.		34,395
	309	Spirit Aerosystems Holdings, Inc. Class A		24,015
	523	Stanley Black & Decker, Inc.		78,957
	510	United Rentals, Inc.*		70,757
	528	United Technologies Corp.		61,290
	186	WW Grainger, Inc.⁽¹⁾		33,434

				1,890,508

		Commercial & Professional Services - 1.3%
	263	Brink’s Co.		22,158
	554	Deluxe Corp.		40,420


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Commercial & Professional Services - 1.3% - (continued)
	1,371	ManpowerGroup, Inc.	$	161,531
	173	Republic Services, Inc.		11,428
	2,670	Robert Half International, Inc.		134,408
	957	Waste Management, Inc.		74,904

				444,849

		Consumer Durables & Apparel - 1.5%
	106	Hasbro, Inc.		10,353
	2,372	Michael Kors Holdings Ltd.*		113,500
	95	Mohawk Industries, Inc.*		23,514
	815	NIKE, Inc. Class B		42,258
	6,149	Skechers USA, Inc. Class A*		154,278
	2,272	Tupperware Brands Corp.		140,455
	413	VF Corp.		26,254

				510,612

		Consumer Services - 1.4%
	1,710	Carnival Corp.		110,415
	144	Cracker Barrel Old Country Store, Inc.⁽¹⁾		21,833
	821	Darden Restaurants, Inc.		64,678
	630	Grand Canyon Education, Inc.*		57,217
	4,079	H&R Block, Inc.		108,012
	1,076	ILG, Inc.		28,761
	469	Las Vegas Sands Corp.		30,091
	272	McDonald’s Corp.		42,617
	234	Yum! Brands, Inc.		17,225

				480,849

		Diversified Financials - 2.7%
	696	American Express Co.		62,960
	1,452	Ameriprise Financial, Inc.		215,637
	816	Berkshire Hathaway, Inc. Class B*		149,589
	87	BlackRock, Inc.		38,897
	1,128	Capital One Financial Corp.		95,496
	220	Charles Schwab Corp.		9,623
	186	CME Group, Inc.		25,236
	1,702	Discover Financial Services		109,745
	474	ETRADE Financial Corp.		20,671
	984	Franklin Resources, Inc.		43,798
	1,920	Morgan Stanley		92,486
	2,135	Synchrony Financial		66,292

				930,430

		Energy - 5.2%
	2,710	Andeavor		279,537
	1,666	Chevron Corp.		195,755
	546	ConocoPhillips		27,327
	2,057	Exxon Mobil Corp.		168,633
	417	HollyFrontier Corp.		14,999
	7,429	Marathon Petroleum Corp.		416,618
	2,621	Phillips 66		240,110
	6,107	Valero Energy Corp.		469,812

				1,812,791

		Food & Staples Retailing - 2.6%
	124	Casey’s General Stores, Inc.⁽¹⁾		13,572
	345	Costco Wholesale Corp.		56,680
	1,389	CVS Health Corp.		112,953
	6,770	Kroger Co.⁽¹⁾		135,806
	996	Sprouts Farmers Market, Inc.*		18,695
	2,919	Sysco Corp.		157,480
	1,283	US Foods Holding Corp.*		34,256

The accompanying notes are an integral part of these financial statements.


		53

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Food & Staples Retailing - 2.6% - (continued)
	3,555	Wal-Mart Stores, Inc.	$	277,788
	1,012	Walgreens Boots Alliance, Inc.		78,147

				885,377

		Food, Beverage & Tobacco - 2.3%
	1,193	Altria Group, Inc.		75,660
	3,395	Archer-Daniels-Midland Co.		144,321
	472	Bunge Ltd.		32,785
	1,615	Flowers Foods, Inc.⁽¹⁾		30,378
	359	General Mills, Inc.		18,582
	153	Hershey Co.		16,703
	123	Kellogg Co.⁽¹⁾		7,672
	577	PepsiCo, Inc.		64,295
	640	Philip Morris International, Inc.		71,046
	7,080	Pilgrim’s Pride Corp.*⁽¹⁾		201,143
	11	Seaboard Corp.		49,555
	1,342	Tyson Foods, Inc. Class A		94,544

				806,684

		Health Care Equipment & Services - 10.6%
	807	Abbott Laboratories		43,061
	1,160	Aetna, Inc.		184,452
	737	AmerisourceBergen Corp.		60,987
	1,558	Anthem, Inc.		295,833
	2,626	Baxter International, Inc.		164,781
	80	Becton Dickinson and Co.		15,676
	905	Boston Scientific Corp.*		26,399
	2,291	Cardinal Health, Inc.		153,314
	2,583	Centene Corp.*		249,957
	1,257	Cerner Corp.*		89,649
	261	Cigna Corp.		48,791
	279	CR Bard, Inc.		89,419
	1,819	DaVita, Inc.*		108,030
	307	Edwards Lifesciences Corp.*		33,558
	3,110	Express Scripts Holding Co.*		196,925
	3,574	HCA Healthcare, Inc.*		284,455
	1,407	HealthSouth Corp.		65,214
	708	Henry Schein, Inc.*		58,049
	166	Hill-Rom Holdings, Inc.		12,284
	1,074	Humana, Inc.		261,659
	126	IDEXX Laboratories, Inc.*⁽¹⁾		19,592
	349	Laboratory Corp. of America Holdings*		52,689
	578	Masimo Corp.*		50,032
	496	McKesson Corp.		76,191
	2,248	Molina Healthcare, Inc.*⁽¹⁾		154,572
	315	Patterson Cos., Inc.⁽¹⁾		12,175
	1,279	Quest Diagnostics, Inc.		119,766
	668	Stryker Corp.		94,869
	1,188	UnitedHealth Group, Inc.		232,670
	987	Varian Medical Systems, Inc.*⁽¹⁾		98,759
	1,735	WellCare Health Plans, Inc.*		297,969

				3,651,777

		Household & Personal Products - 1.4%
	117	Clorox Co.		15,434
	93	Colgate-Palmolive Co.		6,775
	1,502	Estee Lauder Cos., Inc. Class A		161,976
	1,386	Herbalife Ltd.*⁽¹⁾		94,012
	603	Kimberly-Clark Corp.		70,961
	1,992	Nu Skin Enterprises, Inc. Class A		122,468
	55	Procter & Gamble Co.		5,004

				476,630


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Insurance - 8.3%
	2,721	Aflac, Inc.	$	221,462
	23	Alleghany Corp.*		12,742
	1,848	Allstate Corp.		169,850
	1,503	American Financial Group, Inc.		155,485
	257	American International Group, Inc.		15,777
	1,213	Assurant, Inc.		115,866
	1,157	Assured Guaranty Ltd.		43,677
	371	Axis Capital Holdings Ltd.		21,262
	532	Chubb Ltd.		75,837
	4,470	CNA Financial Corp.⁽¹⁾		224,618
	2,710	CNO Financial Group, Inc.		63,251
	311	Everest Re Group Ltd.		71,029
	791	First American Financial Corp.⁽¹⁾		39,526
	2,514	Lincoln National Corp.		184,729
	2,103	MetLife, Inc.		109,251
	2,418	Old Republic International Corp.		47,610
	4,538	Principal Financial Group, Inc.		291,975
	541	ProAssurance Corp.		29,566
	1,831	Progressive Corp.		88,657
	3,426	Prudential Financial, Inc.		364,252
	888	Reinsurance Group of America, Inc.		123,903
	1,696	Travelers Cos., Inc.		207,794
	2,132	Unum Group		109,009
	1,762	XL Group Ltd.		69,511

				2,856,639

		Materials - 5.1%
	168	Air Products & Chemicals, Inc.		25,405
	670	Avery Dennison Corp.		65,888
	213	Bemis Co., Inc.		9,706
	3,202	DowDuPont, Inc.		221,674
	265	Eastman Chemical Co.		23,980
	5,729	Huntsman Corp.		157,089
	2,784	International Paper Co.		158,187
	2,795	Louisiana-Pacific Corp.*		75,689
	3,235	LyondellBasell Industries N.V. Class A		320,427
	335	Monsanto Co.		40,140
	2,099	Nucor Corp.		117,628
	2,777	Owens-Illinois, Inc.*		69,869
	1,135	Packaging Corp. of America		130,162
	495	PPG Industries, Inc.		53,787
	68	Praxair, Inc.		9,502
	1,178	Reliance Steel & Aluminum Co.		89,728
	128	Sherwin-Williams Co.		45,829
	1,522	Sonoco Products Co.⁽¹⁾		76,785
	1,489	Steel Dynamics, Inc.		51,326
	152	WestRock Co.		8,623

				1,751,424

		Media - 0.1%
	102	CBS Corp. Class B		5,916
	1,095	Comcast Corp. Class A		42,136
	89	Omnicom Group, Inc.⁽¹⁾		6,592

				54,644

		Pharmaceuticals, Biotechnology & Life Sciences - 4.8%
	2,009	AbbVie, Inc.		178,520
	671	Akorn, Inc.*		22,270
	788	Amgen, Inc.		146,923
	117	Bio-Rad Laboratories, Inc. Class A*		26,000
	431	Biogen, Inc.*		134,955

The accompanying notes are an integral part of these financial statements.


		54

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Pharmaceuticals, Biotechnology & Life Sciences - 4.8% - (continued)
	1,277	Bristol-Myers Squibb Co.	$	81,396
	1,021	Eli Lilly & Co.		87,336
	1,898	Gilead Sciences, Inc.		153,776
	1,599	Johnson & Johnson		207,886
	2,239	Merck & Co., Inc.		143,363
	1,510	PAREXEL International Corp.*		133,001
	4,161	Pfizer, Inc.		148,548
	141	Quintiles IMS Holdings, Inc.*⁽¹⁾		13,405
	1,080	United Therapeutics Corp.*		126,565
	845	Zoetis, Inc.		53,877

				1,657,821

		Real Estate - 3.8%
	366	American Tower Corp. REIT		50,025
	7,304	CBRE Group, Inc. Class A, REIT*		276,676
	4,980	CoreCivic, Inc. REIT		133,315
	217	Crown Castle International Corp.		21,696
	40	Equinix, Inc. REIT		17,852
	769	Equity Residential REIT		50,700
	119	Hospitality Properties Trust REIT		3,390
	3,084	Host Hotels & Resorts, Inc. REIT⁽¹⁾		57,023
	793	Jones Lang LaSalle, Inc.		97,935
	1,579	Lamar Advertising Co. Class A, REIT⁽¹⁾		108,209
	4,701	LaSalle Hotel Properties REIT⁽¹⁾		136,423
	477	Park Hotels & Resorts, Inc. REIT		13,146
	966	Prologis, Inc.		61,302
	3,083	Rayonier, Inc. REIT		89,068
	2,855	Realogy Holdings Corp.⁽¹⁾		94,072
	167	Ventas, Inc. REIT		10,877
	472	Welltower, Inc.		33,172
	1,537	Weyerhaeuser Co. REIT		52,304

				1,307,185

		Retailing - 5.9%
	1,191	Bed Bath & Beyond, Inc.⁽¹⁾		27,953
	7,817	Best Buy Co., Inc.⁽¹⁾		445,256
	504	Burlington Stores, Inc.*		48,112
	1,395	Dick’s Sporting Goods, Inc.⁽¹⁾		37,679
	1,463	Dollar General Corp.		118,576
	534	Foot Locker, Inc.		18,808
	4,813	Gap, Inc.⁽¹⁾		142,128
	222	Genuine Parts Co.⁽¹⁾		21,234
	614	Home Depot, Inc.		100,426
	3,776	Kohl’s Corp.⁽¹⁾		172,374
	2,497	L Brands, Inc.⁽¹⁾		103,900
	1,152	Lowe’s Cos., Inc.		92,091
	2,738	Macy’s, Inc.⁽¹⁾		59,743
	188	Netflix, Inc.*		34,094
	2,212	Nordstrom, Inc.		104,296
	68	O’Reilly Automotive, Inc.*		14,645
	511	Penske Automotive Group, Inc.⁽¹⁾		24,308
	1,206	Ross Stores, Inc.		77,871
	3,291	Target Corp.		194,202
	1,475	TJX Cos., Inc.		108,752
	1,797	Williams-Sonoma, Inc.⁽¹⁾		89,599

				2,036,047

		Semiconductors & Semiconductor Equipment - 5.7%
	988	Analog Devices, Inc.		85,136
	4,792	Applied Materials, Inc.		249,615
	2,673	Cirrus Logic, Inc.*		142,524
	6,935	Intel Corp.		264,085


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Semiconductors & Semiconductor Equipment - 5.7% - (continued)
	556	KLA-Tencor Corp.	$	58,936
	1,047	Lam Research Corp.		193,737
	7,662	Micron Technology, Inc.*		301,346
	663	NVIDIA Corp.		118,525
	1,943	ON Semiconductor Corp.*		35,887
	4,034	QUALCOMM, Inc.		209,123
	977	Skyworks Solutions, Inc.		99,556
	2,307	Texas Instruments, Inc.		206,800

				1,965,270

		Software & Services - 5.2%
	336	Activision Blizzard, Inc.		21,675
	37	Alphabet, Inc. Class A*		36,028
	103	Automatic Data Processing, Inc.		11,260
	1,966	Booz Allen Hamilton Holding Corp.		73,509
	1,560	CA, Inc.		52,073
	1,460	Cognizant Technology Solutions Corp. Class A		105,908
	745	DXC Technology Co.		63,981
	3,632	eBay, Inc.*		139,687
	1,244	Electronic Arts, Inc.*		146,867
	4,724	First Data Corp. Class A*⁽¹⁾		85,221
	40	Fiserv, Inc.*		5,158
	1,642	IBM Corp.		238,221
	451	Intuit, Inc.		64,105
	806	Leidos Holdings, Inc.		47,731
	379	MAXIMUS, Inc.		24,445
	1,175	Microsoft Corp.		87,526
	1,562	Oracle Corp.		75,523
	872	Paychex, Inc.		52,285
	94	Science Applications International Corp.		6,284
	2,422	Teradata Corp.*⁽¹⁾		81,839
	3,495	VMware, Inc. Class A*⁽¹⁾		381,619

				1,800,945

		Technology Hardware & Equipment - 9.7%
	118	Amphenol Corp. Class A		9,987
	1,598	Apple, Inc.		246,284
	2,657	Arrow Electronics, Inc.*		213,649
	4,407	Brocade Communications Systems, Inc.		52,664
	1,180	CDW Corp.		77,880
	417	Ciena Corp.*⁽¹⁾		9,161
	7,447	Cisco Systems, Inc.		250,443
	7,067	Corning, Inc.		211,445
	303	F5 Networks, Inc.*		36,530
	10,237	Flex Ltd.*		169,627
	14,901	Hewlett Packard Enterprise Co.		219,194
	22,733	HP, Inc.		453,751
	3,566	Jabil, Inc.		101,809
	2,293	Juniper Networks, Inc.		63,814
	3,895	Keysight Technologies, Inc.*		162,266
	158	Motorola Solutions, Inc.		13,409
	1,277	NCR Corp.*⁽¹⁾		47,913
	3,866	NetApp, Inc.		169,176
	6,855	Seagate Technology plc⁽¹⁾		227,380
	213	SYNNEX Corp.		26,947
	2,010	TE Connectivity Ltd.		166,951
	1,884	Tech Data Corp.*		167,393
	392	Ubiquiti Networks, Inc.*⁽¹⁾		21,960
	2,181	Western Digital Corp.		188,438
	1,559	Xerox Corp.		51,899

				3,359,970

The accompanying notes are an integral part of these financial statements.


		55

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2017


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 100.2% - (continued)
		Telecommunication Services - 1.8%
	3,713	AT&T, Inc.	$	145,438
	715	CenturyLink, Inc.⁽¹⁾		13,513
	456	Level 3 Communications, Inc.*		24,300
	15,265	Sprint Corp.*⁽¹⁾		118,762
	2,054	T-Mobile USA, Inc.*		126,650
	3,665	Verizon Communications, Inc.		181,381

				610,044

		Transportation - 4.2%
	139	Alaska Air Group, Inc.		10,602
	4,186	American Airlines Group, Inc.⁽¹⁾		198,793
	220	CH Robinson Worldwide, Inc.		16,742
	961	CSX Corp.		52,144
	4,756	Delta Air Lines, Inc.		229,334
	482	FedEx Corp.		108,730
	7,522	JetBlue Airways Corp.*		139,383
	239	Norfolk Southern Corp.		31,605
	450	Ryder System, Inc.		38,047
	4,030	Southwest Airlines Co.		225,599
	5,125	United Continental Holdings, Inc.*		312,010
	890	United Parcel Service, Inc. Class B		106,880

				1,469,869

		Utilities - 2.5%
	715	American Electric Power Co., Inc.		50,222
	1,144	Consolidated Edison, Inc.⁽¹⁾		92,298
	788	DTE Energy Co.		84,600
	1,220	Edison International		94,147
	213	Eversource Energy		12,874
	3,412	Exelon Corp.		128,530
	137	NextEra Energy, Inc.		20,077
	1,213	PG&E Corp.		82,593
	1,839	PPL Corp.		69,790
	470	Public Service Enterprise Group, Inc.		21,738
	753	Southern Co.		37,002
	4,112	Vistra Energy Corp.		76,853
	1,706	Xcel Energy, Inc.		80,728

				851,452


		Total Common Stocks (cost $30,657,407)	$	34,596,040


		Total Long-Term Investments (cost $30,657,407)	$	34,596,040


SHORT-TERM INVESTMENTS - 0.1%
		Securities Lending Collateral - 0.1%
	25,627	State Street Navigator Securities Lending Government Money Market Portfolio 1.00%⁽²⁾		25,627


		Total Short-Term Investments (cost $25,627)	$	25,627



Total Investments (cost $30,683,034)	100.3	%	$	34,621,667
Other Assets and Liabilities	(0.3	)%		(97,697	)

Total Net Assets	100.0	%	$	34,523,970

The accompanying notes are an integral part of these financial statements.


		56

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: *(abbreviations used in preceding Schedule of Investments)*

Other Abbreviations:
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		57

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2017

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾			Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	639,841	$	639,841	$	—		$	—
Banks		2,344,382		2,344,382		—			—
Capital Goods		1,890,508		1,890,508		—			—
Commercial & Professional Services		444,849		444,849		—			—
Consumer Durables & Apparel		510,612		510,612		—			—
Consumer Services		480,849		480,849		—			—
Diversified Financials		930,430		930,430		—			—
Energy		1,812,791		1,812,791		—			—
Food & Staples Retailing		885,377		885,377		—			—
Food, Beverage & Tobacco		806,684		806,684		—	��		—
Health Care Equipment & Services		3,651,777		3,651,777		—			—
Household & Personal Products		476,630		476,630		—			—
Insurance		2,856,639		2,856,639		—			—
Materials		1,751,424		1,751,424		—			—
Media		54,644		54,644		—			—
Pharmaceuticals, Biotechnology & Life Sciences		1,657,821		1,657,821		—			—
Real Estate		1,307,185		1,307,185		—			—
Retailing		2,036,047		2,036,047		—			—
Semiconductors & Semiconductor Equipment		1,965,270		1,965,270		—			—
Software & Services		1,800,945		1,800,945		—			—
Technology Hardware & Equipment		3,359,970		3,359,970		—			—
Telecommunication Services		610,044		610,044		—			—
Transportation		1,469,869		1,469,869		—			—
Utilities		851,452		851,452		—			—
Short-Term Investments		25,627		25,627		—			—

Total	$	34,621,667	$	34,621,667	$	—		$	—

⁽¹⁾	For the year ended September 30, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		58

Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2017


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF			Hartford Multifactor Low Volatility International Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	132,123,818		$	46,405,916		$	18,779,340		$	5,355,956
Cash		340,684			4,737			14,574			331
Foreign currency		147,732			64,088			30,891			6,154
Receivables:
Investment securities sold		—			—			4,564			—
Fund shares sold		1,405,133			—			—			—
Dividends and interest		389,587			40,279			48,430			11,420
Securities lending income		2,802			560			774			46
Tax reclaims		51,169			366			1,106			541

Total assets		134,460,925			46,515,946			18,879,679			5,374,448

Liabilities:
Obligation to return securities lending collateral		1,432,620			253,799			685,831			55,936
Payables:
Investment securities purchased		1,662,887			—			37,685			—
Investment management fees		38,390			22,728			8,088			1,729
Accrued expenses		—			14			—			2

Total liabilities		3,133,897			276,541			731,604			57,667

Net assets	$	131,327,028		$	46,239,405		$	18,148,075		$	5,316,781

Summary of Net Assets:
Paid-in-capital	$	122,440,532		$	44,367,124		$	16,337,538		$	5,136,738
Undistributed (distributions in excess of) net investment income		1,005,366			347,950			136,574			28,530
Accumulated net realized gain (loss)		(3,939,275	)		(3,845,893	)		(735,608	)		(62,566	)
Unrealized appreciation (depreciation) of investments and the translation of assets and liabilities denominated in foreign currency		11,820,405			5,370,224			2,409,571			214,079

Net assets	$	131,327,028		$	46,239,405		$	18,148,075		$	5,316,781

Net asset value per share	$	28.24		$	24.34		$	30.25		$	26.58

Shares issued and outstanding		4,650,000			1,900,000			600,000			200,000

Cost of investments	$	120,302,726		$	41,035,209		$	16,369,344		$	5,141,863
Cost of foreign currency	$	148,214		$	64,508		$	31,173		$	6,165

⁽¹⁾ Includes Investment in securities on loan, at value	$	8,693,331		$	670,698		$	1,901,162		$	116,865

The accompanying notes are an integral part of these financial statements.


		59

Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2017


	Hartford Multifactor Low Volatility US Equity ETF			Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	3,884,202		$	9,829,794		$	34,621,667
Cash		2,561			14,112			14,648
Receivables:
Dividends and interest		4,571			47,879			38,274
Securities lending income		42			576			486
Tax reclaims		—			—			—

Total assets		3,891,376			9,892,361			34,675,075

Liabilities:
Obligation to return securities lending collateral		29,024			355,521			25,627
Payables:
Investment management fees		924			195,871			117,813
Accrued expenses		—			3,491			7,665

Total liabilities		29,948			554,883			151,105

Net assets	$	3,861,428		$	9,337,478		$	34,523,970

Summary of Net Assets:
Paid-in-capital	$	3,783,277		$	9,316,814		$	32,608,136
Undistributed (distributions in excess of) net investment income		4,042			28,423			8,981
Accumulated net realized gain (loss)		(62,041	)		(205,005	)		(2,031,780	)
Unrealized appreciation (depreciation) of investments and the translation of assets and liabilities denominated in foreign currency		136,150			197,246			3,938,633

Net assets	$	3,861,428		$	9,337,478		$	34,523,970

Net asset value per share	$	25.74		$	15.56		$	28.77

Shares issued and outstanding		150,000			600,000			1,200,000

Cost of investments	$	3,748,052		$	9,632,548		$	30,683,034
Cost of foreign currency	$	—		$	—		$	—

⁽¹⁾ Includes Investment in securities on loan, at value	$	142,458		$	1,264,793		$	2,023,678

The accompanying notes are an integral part of these financial statements.


		60

Multifactor ETFs

Statements of Operations

For the Year or Period Ended September 30, 2017


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF			Hartford Multifactor Low Volatility International Equity ETF⁽¹⁾
Investment Income:
Dividends	$	2,306,268		$	1,087,232		$	361,985		$	57,559
Interest		59			3			—			—
Securities lending		29,471			2,760			8,204			68
Non-cash dividends		63,604			1,644			1,220			720
Less: Foreign tax withheld		(197,947	)		(146,387	)		(30,702	)		(5,345	)

Total investment income, net		2,201,455			945,252			340,707			53,002

Expenses:
Investment management fees		252,369			204,904			72,154			6,083
Trustees expenses		9,686			7,567			5,162			—

Total expenses (before waivers)		262,055			212,471			77,316			6,083

Trustees expenses waiver		(9,686	)		(7,567	)		(5,162	)		—

Total waivers		(9,686	)		(7,567	)		(5,162	)		—

Total expenses, net		252,369			204,904			72,154			6,083

Net Investment Income (Loss)		1,949,086			740,348			268,553			46,919

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions:
Net realized gain (loss) on investments		158,586	⁽²⁾		(146,198	)		853,011	⁽²⁾		(8,213	)⁽²⁾
Net realized gain (loss) on other foreign currency transactions		(1,396	)		(892	)		(2,882	)		(3,135	)

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions		157,190			(147,090	)		850,129			(11,348	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		10,205,082			4,665,581			1,526,322			214,093
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		(539	)		359			(487	)		(14	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions		10,204,543			4,665,940			1,525,835			214,079

Net Gain (Loss) on Investments and Foreign Currency Transactions		10,361,733			4,518,850			2,375,964			202,731

Net Increase (Decrease) in Net Assets Resulting from Operations	$	12,310,819		$	5,259,198		$	2,644,517		$	249,650

⁽¹⁾	Commenced operations on May 10, 2017.

⁽²⁾	Includes realized gains/(losses) as a result of in-kind redemptions (See Note 9 in Notes to Financial Statements).

The accompanying notes are an integral part of these financial statements.


		61

Multifactor ETFs

Statements of Operations

For the Year or Period Ended September 30, 2017


	Hartford Multifactor Low Volatility US Equity ETF⁽¹⁾			Hartford Multifactor REIT ETF⁽²⁾			Hartford Multifactor US Equity ETF
Investment Income:
Dividends	$	34,676		$	230,461		$	592,413
Securities lending		157			1,751			6,904
Non-cash dividends		—			15,971			6,674
Less: Foreign tax withheld		—			—			(225	)

Total investment income, net		34,833			248,183			605,766

Expenses:
Investment management fees		4,325			29,865			83,133
Trustees expenses		—			3,278			8,717

Total expenses (before waivers)		4,325			33,143			91,850

Trustees expenses waiver		—			(3,278	)		(8,717	)

Total waivers		—			(3,278	)		(8,717	)

Total expenses, net		4,325			29,865			83,133

Net Investment Income (Loss)		30,508			218,318			522,633

Net Realized Gain (Loss) on Investments:
Net realized gain (loss) on investments		(36,047	)⁽³⁾		113,713	⁽³⁾		2,469,755	⁽³⁾

Net Realized Gain (Loss) on Investments		(36,047	)		113,713			2,469,755

Net Changes in Unrealized Appreciation (Depreciation) of Investments:
Net unrealized appreciation (depreciation) of investments		136,150			197,246			2,146,848

Net Changes in Unrealized Appreciation (Depreciation) of Investments		136,150			197,246			2,146,848

Net Gain (Loss) on Investments		100,103			310,959			4,616,603

Net Increase (Decrease) in Net Assets Resulting from Operations	$	130,611		$	529,277		$	5,139,236

⁽¹⁾	Commenced operations on May 10, 2017.

⁽²⁾	Commenced operations on October 3, 2016.

⁽³⁾	Includes realized gains/(losses) as a result of in-kind redemptions (See Note 9 in Notes to Financial Statements).

The accompanying notes are an integral part of these financial statements.


		62

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Developed Markets (ex-US) ETF						Hartford Multifactor Emerging Markets ETF
	For the Year Ended September 30, 2017			For the Year Ended September 30, 2016			For the Year Ended September 30, 2017			For the Year Ended September 30, 2016
Operations:
Net investment income (loss)	$	1,949,086		$	841,354		$	740,348		$	433,114
Net realized gain (loss) on investments and foreign currency transactions		157,190			(966,314	)		(147,090	)		(2,533,326	)
Net changes in unrealized appreciation (depreciation) of investments and foreign currency transactions		10,204,543			2,982,859			4,665,940			4,787,720

Net Increase (Decrease) in Net Assets Resulting from Operations		12,310,819			2,857,899			5,259,198			2,687,508

Distributions to Shareholders:
From net investment income		(1,474,420	)		(766,330	)		(592,581	)		(424,201	)

Total distributions		(1,474,420	)		(766,330	)		(592,581	)		(424,201	)

Fund Share Transactions:
Sold		94,471,911			7,252,803			17,786,392			10,265,662
Redeemed		(8,420,992	)		(2,310,851	)		—			(8,427,369	)

Net increase from capital share transactions		86,050,919			4,941,952			17,786,392			1,838,293

Net Increase (Decrease) in Net Assets		96,887,318			7,033,521			22,453,009			4,101,600

Net Assets:
Beginning of period		34,439,710			27,406,189			23,786,396			19,684,796

End of period	$	131,327,028		$	34,439,710		$	46,239,405		$	23,786,396

Undistributed (distributions in excess of) net investment income	$	1,005,366		$	318,268		$	347,950		$	200,062

The accompanying notes are an integral part of these financial statements.


		63

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Global Small Cap ETF						Hartford Multifactor Low Volatility International Equity ETF			Hartford Multifactor Low Volatility US Equity ETF
	For the Year Ended September 30, 2017			For the Year Ended September 30, 2016			For the Period Ended September 30, 2017⁽¹⁾			For the Period Ended September 30, 2017⁽¹⁾
Operations:
Net investment income (loss)	$	268,553		$	196,846		$	46,919		$	30,508
Net realized gain (loss) on investments and foreign currency transactions		850,129			(309,208	)		(11,348	)		(36,047	)
Net changes in unrealized appreciation (depreciation) of investments and foreign currency transactions		1,525,835			1,253,330			214,079			136,150

Net Increase (Decrease) in Net Assets Resulting from Operations		2,644,517			1,140,968			249,650			130,611

Distributions to Shareholders:
From net investment income		(251,783	)		(177,194	)		(14,211	)		(25,561	)

Total distributions		(251,783	)		(177,194	)		(14,211	)		(25,561	)

Fund Share Transactions:
Sold		8,539,305			2,414,035			7,743,372			5,033,332
Redeemed		(2,968,571	)		—			(2,662,030	)		(1,276,954	)

Net increase from capital share transactions		5,570,734			2,414,035			5,081,342			3,756,378

Net Increase (Decrease) in Net Assets		7,963,468			3,377,809			5,316,781			3,861,428

Net Assets:
Beginning of period		10,184,607			6,806,798			—			—

End of period	$	18,148,075		$	10,184,607		$	5,316,781		$	3,861,428

Undistributed (distributions in excess of) net investment income	$	136,574		$	83,675		$	28,530		$	4,042

⁽¹⁾	Commenced operations on May 10, 2017.

The accompanying notes are an integral part of these financial statements.


		64

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
	For the Period Ended September 30, 2017⁽¹⁾			For the Year Ended September 30, 2017			For the Year Ended September 30, 2016
Operations:
Net investment income (loss)	$	218,318		$	522,633		$	529,691
Net realized gain (loss) on investments		113,713			2,469,755			(1,206,311	)
Net changes in unrealized appreciation (depreciation) of investments		197,246			2,146,848			3,136,653

Net Increase (Decrease) in Net Assets Resulting from Operations		529,277			5,139,236			2,460,033

Distributions to Shareholders:
From net investment income		(184,839	)		(500,859	)		(520,459	)
From net realized gain on investments		(5,056	)		—			—

Total distributions		(189,895	)		(500,859	)		(520,459	)

Fund Share Transactions:
Sold		13,571,282			15,231,487			12,720,535
Redeemed		(4,573,186	)		(13,456,609	)		(9,449,506	)

Net increase from capital share transactions		8,998,096			1,774,878			3,271,029

Net Increase (Decrease) in Net Assets		9,337,478			6,413,255			5,210,603

Net Assets:
Beginning of period		—			28,110,715			22,900,112

End of period	$	9,337,478		$	34,523,970		$	28,110,715

Undistributed (distributions in excess of) net investment income	$	28,423		$	8,981		$	9,142

⁽¹⁾	Commenced operations on October 3, 2016.

The accompanying notes are an integral part of these financial statements.


		65

Multifactor ETFs

Financial Highlights


*— Selected Per-Share Data⁽¹⁾ —*																							*— Ratios and Supplemental Data —*
Net Asset Value at Beginning of Period	Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss) on Invest- ments			Total from Investment Operations			Dividends from Net Invest- ment Income			Distri- butions from Capital Gains			Total Dividends and Distri- butions			Net Asset Value at End of Period		Total Return⁽²⁾			Net Assets at End of Period (000s)		Ratio of Expenses to Average Net Assets Before Adjust- ments⁽³⁾			Ratio of Expenses to Average Net Assets After Adjust- ments			Ratio of Net Invest- ment Income (Loss) to Average Net Assets			Portfolio Turnover⁽⁴⁾
Hartford Multifactor Developed Markets (ex-US) ETF
For the Year Ended September 30, 2017
$ 24.60	$	0.82	$	3.55		$	4.37		$	(0.73	)	$	—		$	(0.73	)	$	28.24		18.18	%	$	131,327		0.42	%		0.40	%		3.13	%		46	%

For the Year Ended September 30, 2016
$ 22.84	$	0.70	$	1.70		$	2.40		$	(0.64	)	$	—		$	(0.64	)	$	24.60		10.62	%	$	34,440		0.58	%		0.50	%		2.97	%		54	%

For the Period Ended September 30, 2015⁽⁵⁾
$ 25.00	$	0.55	$	(2.35	)	$	(1.80	)	$	(0.36	)	$	—		$	(0.36	)	$	22.84		(7.36	)%	$	27,406		0.50	%⁽⁶⁾		0.50	%⁽⁶⁾		3.75	%⁽⁶⁾		42	%

Hartford Multifactor Emerging Markets ETF
For the Year Ended September 30, 2017
$ 21.62	$	0.49	$	2.63		$	3.12		$	(0.40	)	$	—		$	(0.40	)	$	24.34		14.63	%	$	46,239		0.62	%		0.60	%		2.17	%		30	%

For the Year Ended September 30, 2016
$ 19.68	$	0.45	$	1.91		$	2.36		$	(0.42	)	$	—		$	(0.42	)	$	21.62		12.20	%	$	23,786		0.76	%		0.65	%		2.22	%		49	%

For the Period Ended September 30, 2015⁽⁵⁾
$ 25.00	$	0.44	$	(5.55	)	$	(5.11	)	$	(0.21	)	$	—		$	(0.21	)	$	19.68		(20.59	)%	$	19,685		0.65	%⁽⁶⁾		0.65	%⁽⁶⁾		3.23	%⁽⁶⁾		17	%

Hartford Multifactor Global Small Cap ETF
For the Year Ended September 30, 2017
$ 25.46	$	0.57	$	4.79		$	5.36		$	(0.57	)	$	—		$	(0.57	)	$	30.25		21.37	%	$	18,148		0.60	%		0.56	%		2.08	%		48	%

For the Year Ended September 30, 2016
$ 22.69	$	0.60	$	2.76		$	3.36		$	(0.59	)	$	—		$	(0.59	)	$	25.46		15.05	%	$	10,185		0.83	%		0.60	%		2.54	%		62	%

For the Period Ended September 30, 2015⁽⁷⁾
$ 25.00	$	0.44	$	(2.54	)	$	(2.10	)	$	(0.21	)	$	—		$	(0.21	)	$	22.69		(8.50	)%	$	6,807		0.60	%⁽⁶⁾		0.60	%⁽⁶⁾		3.44	%⁽⁶⁾		44	%

Hartford Multifactor Low Volatility International Equity ETF
For the Period Ended September 30, 2017⁽⁸⁾
$ 25.02	$	0.30	$	1.40		$	1.70		$	(0.14	)	$	—		$	(0.14	)	$	26.58		6.84	%⁽⁹⁾	$	5,317		0.39	%⁽⁶⁾		0.39	%⁽⁶⁾		3.01	%⁽⁶⁾		48	%

Hartford Multifactor Low Volatility US Equity ETF
For the Period Ended September 30, 2017⁽⁸⁾
$ 25.03	$	0.20	$	0.68		$	0.88		$	(0.17	)	$	—		$	(0.17	)	$	25.74		3.53	%⁽⁹⁾	$	3,861		0.29	%⁽⁶⁾		0.29	%⁽⁶⁾		2.05	%⁽⁶⁾		16	%

Hartford Multifactor REIT ETF
For the Period Ended September 30, 2017⁽¹⁰⁾
$ 14.79	$	0.50	$	0.74		$	1.24		$	(0.45	)	$	(0.02	)	$	(0.47	)	$	15.56		8.47	%⁽⁹⁾	$	9,337		0.50	%⁽⁶⁾		0.45	%⁽⁶⁾		3.29	%⁽⁶⁾		43	%

The accompanying notes are an integral part of these financial statements.


		66

Multifactor ETFs

Financial Highlights – (continued)


*— Selected Per-Share Data⁽¹⁾ —*																						*— Ratios and Supplemental Data —*
Net Asset Value at Beginning of Period	Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss) on Invest- ments			Total from Investment Operations			Dividends from Net Invest- ment Income			Distri- butions from Capital Gains		Total Dividends and Distri- butions			Net Asset Value at End of Period		Total Return⁽²⁾			Net Assets at End of Period (000s)		Ratio of Expenses to Average Net Assets Before Adjust- ments⁽³⁾			Ratio of Expenses to Average Net Assets After Adjust- ments			Ratio of Net Invest- ment Income (Loss) to Average Net Assets			Portfolio Turnover⁽⁴⁾
Hartford Multifactor US Equity ETF
For the Year Ended September 30, 2017
$ 24.44	$	0.51	$	4.30		$	4.81		$	(0.48	)	$	—	$	(0.48	)	$	28.77		19.84	%	$	34,524		0.34	%		0.31	%		1.92	%		36	%

For the Year Ended September 30, 2016
$ 22.90	$	0.52	$	1.53		$	2.05		$	(0.51	)	$	—	$	(0.51	)	$	24.44		9.01	%	$	28,111		0.44	%		0.35	%		2.22	%		51	%

For the Period Ended September 30, 2015⁽⁵⁾
$ 25.00	$	0.26	$	(2.11	)	$	(1.85	)	$	(0.25	)	$	—	$	(0.25	)	$	22.90		(7.46	)%⁽⁹⁾	$	22,900		0.35	%⁽⁶⁾		0.35	%⁽⁶⁾		1.82	%⁽⁶⁾		38	%

⁽¹⁾	Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted.

⁽²⁾

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.

⁽³⁾	Adjustments include waivers and reimbursements, if applicable.

⁽⁴⁾	Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

⁽⁵⁾	Commenced operations on February 25, 2015.

⁽⁶⁾	Annualized.

⁽⁷⁾	Commenced operations on March 23, 2015.

⁽⁸⁾	Commenced operations on May 10, 2017.

⁽⁹⁾	Not annualized.

⁽¹⁰⁾	Commenced operations on October 3, 2016.

The accompanying notes are an integral part of these financial statements.


		67

Multifactor ETFs

Notes to Financial Statements

September 30, 2017

1.	Organization:

Lattice Strategies Trust (the “Trust”) is an open-end registered management investment company comprised of seven series as of September 30, 2017. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report.

Lattice Strategies Trust:

Hartford Multifactor Developed Markets (ex-US) ETF (the “Multifactor Developed Markets (ex-US) ETF”)

Hartford Multifactor Emerging Markets ETF (the “Multifactor Emerging Markets ETF”)

Hartford Multifactor Global Small Cap ETF (the “Multifactor Global Small Cap ETF”)

Hartford Multifactor Low Volatility International Equity ETF (the “Multifactor Low Volatility International Equity ETF”)

Hartford Multifactor Low Volatility US Equity ETF (the “Multifactor Low Volatility US Equity ETF”)

Hartford Multifactor REIT ETF (the “Multifactor REIT ETF”)

Hartford Multifactor US Equity ETF (the “Multifactor US Equity ETF”)

Each Fund is an exchange-traded fund (‘‘ETF’’). ETFs are funds that trade on an exchange like other publicly traded securities. Each Fund is designed to track an index. Shares of Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF, Multifactor REIT ETF and Multifactor US Equity ETF are listed and traded on NYSE Arca, Inc. (“NYSE ARCA”). Shares of Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF are listed and traded on Bats BZX Exchange, Inc. (“Bats BZX”). Each share of a Fund represents a partial ownership in assets and liabilities including securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund in Creation Units at net asset value (“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.

The assets of each Fund are separate, and a shareholder’s interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on April 15, 2014 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The shares (‘‘Shares’’) of the Funds are registered under the Securities Act of 1933, as amended (the ‘‘Securities Act’’). Each Fund, except Multifactor REIT ETF, is a diversified open-end management investment company. Multifactor REIT ETF is a non-diversified open-end management investment company. Each Fund applies specialized accounting and reporting standards under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”.

Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF commenced operations on May 10, 2017. Multifactor REIT ETF commenced operations on October 3, 2016.

2.	Significant Accounting Policies:

The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles (“U.S. GAAP”). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Determination of Net Asset Value – The NAV of each Fund’s shares 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 State Street Bank and Trust Company (“State Street”) and determined as of the close of the regular trading session on which it is traded (i.e., NYSE Arca or Bats BZX) (ordinarily 4:00 p.m. Eastern time) on each day that such exchange is open (“Valuation Date”). 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.


		68

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV of each Fund, 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. Lattice Strategies LLC (“Lattice” or the “Adviser”) may use various pricing services, or discontinue the use of any pricing service, as approved by the Board of Trustees (the “Board”) from time to time. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation.

The Board generally reviews and approves the “Procedures for Valuation of Portfolio Investments” at least once a year. These procedures define how investments are to be valued, including the formation and activities of the Valuation Committee. The Trust’s Valuation Committee, which is chaired by the Trust’s Treasurer, is responsible for determining in good faith the fair value of investments when the value cannot be obtained from primary pricing services or alternative sources or if the valuation of an investment as provided by the primary pricing service or alternative source is believed not to reflect the investment’s fair value as of the Valuation Date. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of such Fund’s sub-adviser, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board. The Audit Committee receives quarterly written reports that include details of all fair-valued investments, including the reason for the fair valuation, and an indication, when possible, of the accuracy of the valuation by disclosing the next available reliable public price quotation or the disposition price of such investments (the “lookback” test). The Board then must consider for ratification all of the fair value determinations made during the previous quarter.

In the event that current market valuations are not readily available or such valuations do not reflect current market value, the Trust’s procedures require the Valuation Committee to determine a security’s fair value. In determining such value the 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 and market indices and prices from each Fund’s Index Provider). In these cases, the Fund’s net asset value may reflect certain portfolio 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 may be materially different from 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 a Fund’s portfolio securities may change on days when you will not be able to purchase or sell your Shares.

Fixed income investments (other than short-term obligations), non-exchange traded derivatives and centrally cleared swaps held by a Fund are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services in accordance with procedures established by the Board. Prices obtained from independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Short-term investments maturing in 60 days or less are generally valued at amortized cost if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.

Exchange traded options, futures and options on futures are valued at the settlement price or last trade price determined by the relevant exchange as of the close of such exchange. If a last trade price is not available, the value will be the mean of the bid and ask prices as of the close of such exchange. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the bid price as of the close of such exchange. In the case of options privately negotiated in the OTC market (“OTC options”) and such instruments that do not trade on an exchange, values may be supplied by a pricing service using a formula or other objective method that may take into consideration the style, direction, expiration, strike price, notional value and volatility or other special adjustments.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the exchange on which a Fund is listed is closed and the market value may change on days when an investor is not able to purchase, redeem or exchange shares of a Fund.


		69

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date.

Investments in open-end mutual funds are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Such open-end mutual funds may use fair value pricing as disclosed in their prospectuses.

Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with procedures established by the Board.

U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are:

•

Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange traded funds, rights and warrants.

•

Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract.

•

Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price.

Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.

Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Realized gains and losses are determined on the basis of identified cost.

Dividend income from domestic securities is accrued on the ex-dividend date. The Multifactor REIT Fund dividend income and capital gain loss amounts include estimates based on prior year REIT allocations. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis.

Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund many also be subject to taxes withheld on foreign dividends from securities in which the invests. The amount of foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net realized gain on investments in these securities, if applicable.

Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions.

A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements.


		70

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.

Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF and Multifactor Low Volatility International Equity ETF is to pay dividends from net investment income and realized gains, if any, semi-annually. The policy of Multifactor Low Volatility US Equity ETF, Multifactor REIT ETF and Multifactor US Equity ETF is to pay dividends from net investment income, if any, quarterly, but may vary significantly from period to period and realized gains, if any, at least once a year. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or to comply with the distribution requirements of the Internal Revenue Code.

Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes).

3.	Securities and Other Investments:

Illiquid and Restricted Investments – Each Fund is permitted to invest up to 15% of its net assets in illiquid investments. Illiquid investments are those that may not be sold or disposed of in the ordinary course of business within seven days, at approximately the price used to determine a Fund’s NAV. A Fund may not be able to sell illiquid investments when its sub-adviser considers it desirable to do so or may have to sell such investments at a price that is lower than the price that could be obtained if the investments were more liquid. A sale of illiquid investments may require more time and may result in higher dealer discounts and other selling expenses than does the sale of those that are liquid. Illiquid investments also may be more difficult to value due to the unavailability of reliable market quotations for such investments, and an investment in them may have an adverse impact on a Fund’s NAV. Each Fund may also purchase certain investments that can only be resold to certain qualified investors and may be determined to be liquid pursuant to policies and guidelines established by the Board. See each Fund’s Schedule of Investments, if applicable, for illiquid or restricted investments as of September 30, 2017.

4.	Principal Risks:

A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund’s prospectus provides details of its principal risks.

Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. These risks are heightened for investments in issuers from countries with less developed markets.

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.

5.	Federal Income Taxes:

Each Fund intends to continue to qualify as a Regulated Investment Company (“RIC”) under Subchapter M of the Internal Revenue Code (“IRC”) by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to


		71

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

distribute substantially all of its income and capital gains during the calendar year ending December 31, 2017. Accordingly, no provision for federal income or excise taxes has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes.

Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to Passive Foreign Investment Companies (“PFICs”), Real Estate Investment Trusts (“REITs”), RICs, certain derivatives and partnerships. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund.

Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the years ended September 30, 2017 and September 30, 2016 are as follows (as adjusted for dividends payable, if applicable):


	For the Year Ended September 30, 2017		For the Year Ended September 30, 2016
Fund	Ordinary Income		Ordinary Income
Multifactor Developed Markets (ex-US) ETF	$	1,474,420	$	766,330
Multifactor Emerging Markets ETF		592,581		424,201
Multifactor Global Small Cap ETF		251,783		177,194
Multifactor Low Volatility International Equity ETF⁽¹⁾		14,211		—
Multifactor Low Volatility US Equity ETF⁽¹⁾		25,561		—
Multifactor REIT ETF⁽²⁾		189,895		—
Multifactor US Equity ETF		500,859		520,459

⁽¹⁾

For the period beginning May 10, 2017.

⁽²⁾

For the period beginning October 3, 2016.

As of September 30, 2017, the components of distributable earnings (deficit) for each Fund on a tax basis are as follows:


Fund	Undistributed Ordinary Income		Accumulated Capital and Other Losses⁽¹⁾			Unrealized Appreciation (Depreciation) on Investments⁽²⁾		Total Accumulated Earnings (Deficit)
Multifactor Developed Markets (ex-US) ETF	$	1,285,935	$	(3,712,947	)	$	11,313,508	$	8,886,496
Multifactor Emerging Markets ETF		385,886		(3,606,021	)		5,092,416		1,872,281
Multifactor Global Small Cap ETF		209,857		(633,993	)		2,234,673		1,810,537
Multifactor Low Volatility International Equity ETF		32,233		(39,166	)		186,976		180,043
Multifactor Low Volatility US Equity ETF		4,042		(58,189	)		132,298		78,151
Multifactor REIT ETF		28,423		(90,353	)		82,594		20,664
Multifactor US Equity ETF		8,981		(1,913,436	)		3,820,289		1,915,834

⁽¹⁾

The Funds have capital loss carryforwards that are identified in the Capital Loss Carryforward note that follows.

⁽²⁾

Differences between book-basis and tax-basis unrealized appreciation (depreciation) may be attributable to the losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to PFICs, REITs, RICs, certain derivatives and partnerships.

Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as foreign currency, Passive Foreign Investment Companies, expiration or utilization of capital loss carryforwards or net operating losses. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the Funds’ distributions may be shown in the accompanying Statements of Changes in Net Assets as from undistributed net investment income, from accumulated net realized gains on investments or from capital depending


		72

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

on the type of book and tax differences that exist. For the period ended September 30, 2017, the Funds recorded reclassifications to increase (decrease) the accounts listed below:


Fund	Capital Stock and Paid-in-Capital		Undistributed Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss)
Multifactor Developed Markets (ex-US) ETF	$	1,431,567	$	212,432		$	(1,643,999	)
Multifactor Emerging Markets ETF		1		121			(122	)
Multifactor Global Small Cap ETF		887,496		36,129			(923,625	)
Multifactor Low Volatility International Equity ETF		55,396		(4,178	)		(51,218	)
Multifactor Low Volatility US Equity ETF		26,899		(905	)		(25,994	)
Multifactor REIT ETF		318,718		(5,056	)		(313,662	)
Multifactor US Equity ETF		2,825,524		(21,935	)		(2,803,589	)

Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2017 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which consists of gross unrealized appreciation and depreciation, is disclosed below:


Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation
Multifactor Developed Markets (ex-US) ETF	$	120,809,657	$	11,858,130	$	(544,000	)	$	11,314,130
Multifactor Emerging Markets ETF		41,313,017		5,747,410		(654,511	)		5,092,899
Multifactor Global Small Cap ETF		16,544,243		2,502,105		(267,018	)		2,235,087
Multifactor Low Volatility International Equity ETF		5,168,967		233,890		(46,903	)		186,987
Multifactor Low Volatility US Equity ETF		3,751,904		184,205		(51,907	)		132,298
Multifactor REIT ETF		9,747,200		285,268		(202,674	)		82,594
Multifactor US Equity ETF		30,801,378		4,273,952		(453,663	)		3,820,289

Capital Loss Carryforward – On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which made changes to the capital loss carryforward rules. The changes are effective for taxable years beginning after the date of enactment. Under the Act, funds are permitted to carry forward capital losses for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under prior regulation.

At September 30, 2017 (tax year end), the capital loss carryforwards for U.S. federal income tax purposes were as follows:


Fund	Unlimited Short-Term Capital Loss Carryforward		Unlimited Long-Term Capital Loss Carryforward
Multifactor Developed Markets (ex-US) ETF	$	2,762,515	$	950,432
Multifactor Emerging Markets ETF		2,768,759		837,262
Multifactor Global Small Cap ETF		495,573		138,420
Multifactor Low Volatility International Equity ETF		39,166		—
Multifactor Low Volatility US Equity ETF		58,189		—
Multifactor REIT ETF		90,353		—
Multifactor US Equity ETF		1,355,456		557,980

During the year ended September 30, 2017, Multifactor Global Small Cap ETF utilized $6,849 of prior year capital loss carryforwards.


		73

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, management reviews each Fund’s tax positions for all open tax years. As of September 30, 2017, management had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for 3 years, no examination is currently in progress. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months.

6.	Expenses:

Investment Management Agreement – Lattice Strategies LLC (“Lattice” or “Adviser”) serves as each Fund’s investment manager pursuant to an Investment Management Agreement with the Trust. Lattice is a wholly owned subsidiary of Hartford Funds Management Company, LLC (“HFMC”), which is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). Lattice has overall investment supervisory responsibility for each Fund. In addition, Lattice provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. Lattice has contracted with Mellon Capital Management Corporation (“Mellon Capital”) under a sub-advisory agreement and Mellon Capital performs the daily investment of the assets of each Fund in accordance with the Fund’s investment objective and policies. Each Fund pays a fee to Lattice, a portion of which may be used to compensate Mellon Capital.

The schedule below reflects the rates of compensation paid to Lattice for investment management services rendered as of September 30, 2017; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates:


Fund		Management Fee Rates
Multifactor Developed Markets (ex-US) ETF		0.39%
Multifactor Emerging Markets ETF		0.59%
Multifactor Global Small Cap ETF		0.55%
Multifactor Low Volatility International Equity ETF		0.39%
Multifactor Low Volatility US Equity ETF		0.29%
Multifactor REIT ETF		0.45%
Multifactor US Equity ETF		0.29%

Prior to January 1, 2017, the Funds listed below paid the following rates to Lattice for investment management services rendered:


Fund		Management Fee Rates
Multifactor Developed Markets (ex-US) ETF		0.50%
Multifactor Emerging Markets ETF		0.65%
Multifactor Global Small Cap ETF		0.60%
Multifactor REIT ETF		0.45%
Multifactor US Equity ETF		0.35%

From time to time, the Adviser may waive all or a portion of its fee. Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust, except (i) brokerage expenses and other expenses (such as stamp taxes and acquired fund fees and expenses) 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) extraordinary expenses; (iv) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the advisory fee payable to the Adviser hereunder. The payment or assumption by the Adviser of any expense of the Trust that the Adviser is not required by the Investment Advisory Agreement to pay or assume shall not obligate the Adviser to pay or assume the same or any similar expense of the Trust on any subsequent occasion.

On December 8, 2016, the Board of the Trust approved an Amendment to the Advisory Agreement that resulted in the Advisor being contractually obligated to pay for the expenses of each of the Funds (with the exception of Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF) that were previously reimbursed pursuant to the Expense Reimbursement


		74

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Agreement. This Amendment was effective January 1, 2017. As a result of the Amendment, the Expense Reimbursement Agreement was no longer necessary and was terminated by the Board effective January 1, 2017.

Prior to January 1, 2017, the Adviser had 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. For the year ended September 30, 2017, the Trustees’ expenses for the applicable funds were as follows:


Fund	Trustee Expense
Multifactor Developed Markets (ex-US) ETF	$	9,686
Multifactor Emerging Markets ETF		7,567
Multifactor Global Small Cap ETF		5,162
Multifactor REIT ETF		3,278
Multifactor US Equity ETF		8,717

Distribution Plans – 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 percent 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 each of the Funds (with the exception of Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF for which the Board made this determination as of December 8, 2016) 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 currently no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they would be paid out of the respective Fund’s assets, and over time, these fees increase the cost of your investment and they may cost you more than certain other types of sales charges.

For the period ended September 30, 2017, the Funds did not pay any Rule 12b-1 fees.

7.	Securities Lending:

Each Fund may lend Fund securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one third (33¹⁄₃ 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 recall the securities loaned. A Fund receives the value of any dividends 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. Interest earned on securities out on loan are not eligible for qualified interest income for federal 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 received by the Fund. 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. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default.

A Fund may pay a portion of the interest or fees earned from securities lending to a borrower as described above, and to one or more securities lending agents approved by the Board of Trustees who administer the lending program for the Funds in accordance with guidelines approved by the Board of Trustees. 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


		75

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. Any securities lending income earned by a Fund appears on the Statements of Operations net of any fees paid to State Street for serving as the securities lending agent.

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

At September 30, 2017, the following Funds had securities on loan at value, cash collateral and non-cash collateral as follows:


Fund	Market Value of Securities on Loan		Cash Collateral		Non-Cash Collateral
Multifactor Developed Markets (ex-US) ETF	$	8,693,331	$	1,432,620	$	7,740,956
Multifactor Emerging Markets ETF		670,698		253,799		434,457
Multifactor Global Small Cap ETF		1,901,162		685,831		1,290,202
Multifactor Low Volatility International Equity ETF		116,865		55,936		66,998
Multifactor Low Volatility US Equity ETF		142,458		29,024		117,766
Multifactor REIT ETF		1,264,793		355,521		954,493
Multifactor US Equity ETF		2,023,678		25,627		2,049,171

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2017.

Multifactor Developed Markets (ex-US) ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	1,432,620	$	—	$	—	$	—	$	1,432,620

Total Borrowings	$	1,432,620	$	—	$	—	$	—	$	1,432,620

Gross amount of recognized liabilities for securities lending transactions									$	1,432,620

⁽¹⁾

Amount represents 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.

Multifactor Emerging Markets ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	253,799	$	—	$	—	$	—	$	253,799

Total Borrowings	$	253,799	$	—	$	—	$	—	$	253,799

Gross amount of recognized liabilities for securities lending transactions									$	253,799

⁽¹⁾


		76

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Multifactor Global Small Cap ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	685,831	$	—	$	—	$	—	$	685,831

Total Borrowings	$	685,831	$	—	$	—	$	—	$	685,831

Gross amount of recognized liabilities for securities lending transactions									$	685,831

⁽¹⁾

Multifactor Low Volatility International Equity ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	55,936	$	—	$	—	$	—	$	55,936

Total Borrowings	$	55,936	$	—	$	—	$	—	$	55,936

Gross amount of recognized liabilities for securities lending transactions									$	55,936

⁽¹⁾

Multifactor Low Volatility US Equity ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	29,024	$	—	$	—	$	—	$	29,024

Total Borrowings	$	29,024	$	—	$	—	$	—	$	29,024

Gross amount of recognized liabilities for securities lending transactions									$	29,024

⁽¹⁾


		77

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Multifactor REIT ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	355,521	$	—	$	—	$	—	$	355,521

Total Borrowings	$	355,521	$	—	$	—	$	—	$	355,521

Gross amount of recognized liabilities for securities lending transactions									$	355,521

⁽¹⁾

Multifactor US Equity ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	25,627	$	—	$	—	$	—	$	25,627

Total Borrowings	$	25,627	$	—	$	—	$	—	$	25,627

Gross amount of recognized liabilities for securities lending transactions									$	25,627

⁽¹⁾

8.	Administrator, Custodian and Transfer Agent:

State Street serves as Administrator for the Trust pursuant to an administration agreement (‘‘Administration Agreement’’) dated December 12, 2014. Under the Administration Agreement, State Street is responsible for certain administrative services associated with the day-to-day operations of each Fund. State Street also serves as Custodian for the Funds pursuant to a custodian agreement (“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 (“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.

For the services provided under the Administration Agreement, Custodian Agreement, and Transfer Agency Agreement, Lattice, and not the Funds, compensates State Street.

9.	Investment Transactions:

For the period/year ended September 30, 2017, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:


Fund	Cost of Purchases		Sales Proceeds
Multifactor Developed Markets (ex-US) ETF	$	30,676,063	$	29,659,482
Multifactor Emerging Markets ETF		17,405,088		10,393,941
Multifactor Global Small Cap ETF		7,175,057		6,262,142
Multifactor Low Volatility International Equity ETF		2,009,202		2,921,584
Multifactor Low Volatility US Equity ETF		621,707		1,562,025
Multifactor REIT ETF		2,968,477		3,982,241
Multifactor US Equity ETF		9,977,947		9,952,969


		78

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

For the period/year ended September 30, 2017 in-kind transactions, which are not included in the table above, associated with Creation Units were:


Fund	Cost of Purchases		Sales Proceeds		Realized Gain/(Loss)
Multifactor Developed Markets (ex-US) ETF	$	93,233,716	$	8,274,488	$	1,690,184
Multifactor Emerging Markets ETF		10,900,712		—		—
Multifactor Global Small Cap ETF		7,632,854		2,918,647		924,530
Multifactor Low Volatility International Equity ETF		6,514,377		504,089		56,908
Multifactor Low Volatility US Equity ETF		5,029,300		333,907		26,879
Multifactor REIT ETF		13,566,741		3,317,000		316,665
Multifactor US Equity ETF		15,245,608		13,279,179		2,883,623

10.

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 may be required to pay a transaction fee 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. An Authorized Participant is either (1) a ‘‘Participating Party,’’ (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) (‘‘Clearing Process’’), or (2) a participant of DTC (‘‘DTC Participant’’), and, in each case, must have executed an agreement (‘‘Participation Agreement’’) with the Distributor with respect to creations and redemptions of Creation Units.

If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown:


Fund	Creation Unit Shares		Standard Creation Fee		Value at September 30, 2017		Standard Redemption Fee
Multifactor Developed Markets (ex-US) ETF		50,000	$	3,000	$	1,412,000	$	3,000
Multifactor Emerging Markets ETF		100,000		2,000		2,434,000		2,000
Multifactor Global Small Cap ETF		100,000		2,000		3,025,000		2,000
Multifactor Low Volatility International Equity ETF		100,000		2,200		2,658,000		2,200
Multifactor Low Volatility US Equity ETF		50,000		650		1,287,000		650
Multifactor REIT ETF		100,000		250		1,556,000		250
Multifactor US Equity ETF		50,000		800		1,438,500		800

Shares are listed on the NYSE Arca for Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF, Multifactor REIT ETF and Multifactor US Equity ETF and Bats BZX for Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF 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 amount upon purchase and no minimum number of shares that must be purchased in the secondary market.


		79

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017

Each Fund is structured as an ETF, individual Fund Shares may only be purchased and sold on the listing exchange 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). Multifactor Developed Markets (ex-US) ETF, Multifactor Low Volatility US Equity ETF and Multifactor US Equity ETF will only issue or redeem Creation Units of 50,000 shares to Authorized Participants who have entered into agreements with the Distributor. Multifactor Emerging Markets ETF, Multifactor Low Volatility International Equity ETF, Multifactor Global Small Cap ETF and Multifactor REIT ETF will only issue or redeem Creation Units of 100,000 shares to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or redeem Creation Units in return for a designated basket 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 following information is for the years or periods ended September 30, 2017 and September 30, 2016:


Multifactor Developed Markets (ex-US) ETF
	For the Year Ended September 30, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		3,550,000		$	94,471,911			300,000		$	7,252,803
Shares Redeemed		(300,000	)		(8,420,992	)		(100,000	)		(2,310,851	)

Net Increase (Decrease)		3,250,000			86,050,919			200,000			4,941,952


Multifactor Emerging Markets ETF
	For the Year Ended September 30, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		800,000		$	17,786,392			500,000		$	10,265,662
Shares Redeemed		—			—			(400,000	)		(8,427,369	)

Net Increase (Decrease)		800,000			17,786,392			100,000			1,838,293


Multifactor Global Small Cap ETF
	For the Year Ended September 30, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		300,000		$	8,539,305			100,000		$	2,414,035
Shares Redeemed		(100,000	)		(2,968,571	)		—			—

Net Increase (Decrease)		200,000			5,570,734			100,000			2,414,035


Multifactor Low Volatility International Equity ETF
	For the Period Ended September 30, 2017⁽¹⁾
	Shares			Amount
Shares Sold		300,004		$	7,743,372
Shares Redeemed		(100,004	)		(2,662,030	)

Net Increase (Decrease)		200,000			5,081,342

⁽¹⁾

Commenced operations on May 10, 2017.


		80

Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2017


Multifactor Low Volatility US Equity ETF
	For the Period Ended September 30, 2017⁽¹⁾
	Shares			Amount
Shares Sold		200,004		$	5,033,332
Shares Redeemed		(50,004	)		(1,276,954	)

Net Increase (Decrease)		150,000			3,756,378

⁽¹⁾

Commenced operations on May 10, 2017.



Multifactor REIT ETF
	For the Period Ended September 30, 2017⁽¹⁾
	Shares			Amount
Shares Sold		900,000		$	13,571,282
Shares Redeemed		(300,000	)		(4,573,186	)

Net Increase (Decrease)		600,000			8,998,096

⁽¹⁾

Commenced operations on October 3, 2016.



Multifactor US Equity ETF
	For the Year Ended September 30, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		550,000		$	15,231,487			550,000		$	12,720,535
Shares Redeemed		(500,000	)		(13,456,609	)		(400,000	)		(9,449,506	)

Net Increase (Decrease)		50,000			1,774,878			150,000			3,271,029

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.


		81

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, Hartford Multifactor Developed Markets (ex-US) ETF, Hartford Multifactor Emerging Markets ETF, Hartford Multifactor Global Small Cap ETF, Hartford Multifactor Low Volatility International Equity ETF, Hartford Multifactor Low Volatility US Equity ETF, Hartford Multifactor REIT ETF, and Hartford Multifactor US Equity ETF) (the “Trust”) as of September 30, 2017, and the related statements of operations for the year or period then ended and the statements of changes in net assets and the financial highlights for each of the two years or period 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 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 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, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. 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 series constituting Lattice Strategies Trust at September 30, 2017, and the results of their operations for the year or period then ended and the changes in their net assets and the financial highlights for each of the two years or period then ended, in conformity with U.S. generally accepted accounting principles.

LOGO

Philadelphia, Pennsylvania

November 28, 2017


		82

Multifactor ETFs

Trustees and Officers of the Companies (Unaudited)


Name, Year of Birth and Address⁽¹⁾	Position Held with the Companies	Term of Office⁽²⁾ and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships for Public Companies and Other Registered Investment Companies Held by Trustee
NON-INTERESTED TRUSTEES

ROBIN CHRISTINE BEERY (1967)	Trustee and Chairperson of the Nominating and Governance Committee	Term: Unlimited Served as Trustee: since December 2014	Consultant, Arrowpoint Partners (2015 to present); Executive Vice President of U.S. Distribution, Janus Capital Group (1994 to 2014)	89	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)	12	Board Member, Hounds Labs (technology start-up) (2015 to present) 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)	89	Mr Sung serves as a Trustee of Ironwood International Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present) (2 portfolios).


		83

Multifactor ETFs

Trustees and Officers of the Companies (Unaudited) – (continued)


Name, Year of Birth and Address⁽¹⁾	Position Held with the Companies	Term of Office⁽²⁾ and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships for Public Companies and Other Registered Investment Companies Held by Trustee
INTERESTED TRUSTEE AND OFFICERS

THEODORE JAMES LUCAS (1966)	Trustee and Chairman	Term: Unlimited Served as Trustee: since December 2014	Managing Partner, Lattice Strategies LLC (2003 to present)	12	None
DAREK WOJNAR, CFA (1965)	President	Term: Unlimited Served: since December 2014	Head of Exchange-Traded Funds, Hartford Funds (2016 to present); Managing Director, Lattice Strategies LLC (2014 to present); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2005 to 2013).	N/A	N/A
ANDREW S. DECKER (1963)	AML Compliance Officer	Term: Unlimited Served: Since 2007	Mr. Decker currently serves as Chief Compliance Officer and AML Compliance Officer of HASCO and as AML Officer of HFD. Prior to joining The Hartford, Mr. Decker served as Vice President and AML Officer at Janney Montgomery Scott (a broker dealer) from April 2011 to January 2015. Mr. Decker served as AML Compliance and Sanctions Enforcement Officer at SEI Investments from December 2007 to April 2011.	N/A	N/A
ALBERT LEE (1979)	Treasurer	Term: Unlimited Served: since December 2014	Head of Systemic Strategies and ETF Operations (2016 to present); 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).	N/A	N/A


		84

Multifactor ETFs

Trustees and Officers of the Companies (Unaudited) – (continued)


Name, Year of Birth and Address⁽¹⁾	Position Held with the Companies	Term of Office⁽²⁾ and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships for Public Companies and Other Registered Investment Companies Held by Trustee
WALTER F. GARGER (1965)	Vice President and Chief Legal Officer	Term: Unlimited Served: Since 2016	Mr. Garger currently serves as Secretary, Managing Director and General Counsel of HFD, HASCO, HFMC and HFMG. Mr. Garger also serves as Secretary and General Counsel of Lattice Strategies LLC effective July 30, 2016. Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995.	N/A	N/A
JOSEPH G. MELCHER (1973)	Vice President and Chief Compliance Officer	Term: Unlimited Served: Since 2017	Mr. Melcher currently serves as Executive Vice President of HFD, HFMG and HASCO. Mr. Melcher also currently serves as Executive Vice President and Chief Compliance Officer of HFMC. He also serves as Chief Compliance Officer and Executive Vice President of Lattice Strategies LLC effective July 30, 2016. Mr. Melcher has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds since joining The Hartford in 2012. Prior to joining The Hartford, Mr. Melcher worked at Touchstone Investments, a member of the Western & Southern Financial Group, where he held the position of Vice President and Chief Compliance Officer from 2010 through 2012 and Assistant Vice President, Compliance from 2005 to 2010.	N/A	N/A


		85

Multifactor ETFs

Trustees and Officers of the Companies (Unaudited) – (continued)


Name, Year of Birth and Address⁽¹⁾	Position Held with the Companies	Term of Office⁽²⁾ and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships for Public Companies and Other Registered Investment Companies Held by Trustee
VERNON J. MEYER (1964)	Vice President	Term: Unlimited Served: Since 2016	Mr. Meyer currently serves as Senior Vice President of Hartford Life Insurance Company (“HLIC”). He also currently serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG. Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004.	N/A	N/A
LAURA S. QUADE (1969)	Vice President	Term: Unlimited Served: Since 2016	Ms. Quade currently serves as Senior Vice President of HLIC and Vice President of HASCO, HFD and HFMG. She is the Head of Operations of HASCO and formerly served as Director, Enterprise Operations of HLIC. Ms. Quade has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Quade joined The Hartford in 2001.	N/A	N/A
ALICE A. PELLEGRINO (1960)	Vice President and Secretary	Term: Unlimited Served: Since 2016	Ms. Pellegrino currently serves as Vice President of HLIC and HFMG. Ms. Pellegrino has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007.	N/A	N/A

⁽¹⁾	The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087, except for the address for Messrs. Wojnar, Lucas, and Lee, which is c/o Hartford Funds, 101 Montgomery Street, 27th Floor, San Francisco, California 94104.

⁽²⁾	Each Trustee holds an indefinite term until the earlier of (i) the election and qualification of his or her successor or (ii) when the Trustee turns 75 years of age. Each officer shall serve until his or her successor is elected and qualifies.

Effective October 3, 2017, shareholders of the funds elected a new Board of Trustees.

For more information regarding the Trustees and Officers, please refer to the Statement of Additional Information, as supplemented, which is available, without charge, upon request by calling 1-415-315-6600.


		86

Multifactor ETFs

Supplemental Information

September 30, 2017 (Unaudited)

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.

Hartford Multifactor Developed Markets (ex-US) ETF

Period Covered: October 1, 2016 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	Number of Days			Percentage of Total Days
Greater than 2.0%		0			0.00	%
Greater than 1.5% and Less than 2.0%		3			1.20	%
Greater than 1.0% and Less than 1.5%		23			9.16	%
Greater than 0.5% and Less than 1.0%		130			51.79	%
Between 0.5% and -0.5%		94	��		37.45	%
Less than -0.5% and Greater than -1.0%		0			0.00	%
Less than -1.0% and Greater than -1.5%		1			0.40	%
Less than -1.5% and Greater than -2.0%		0			0.00	%
Less than -2.0%		0			0.00	%

Total		251			100.00	%

Hartford Multifactor Emerging Markets ETF

Period Covered: October 1, 2016 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	Number of Days		Percentage of Total Days
Greater than 2.0%		12		4.78	%
Greater than 1.5% and Less than 2.0%		36		14.34	%
Greater than 1.0% and Less than 1.5%		45		17.93	%
Greater than 0.5% and Less than 1.0%		76		30.28	%
Between 0.5% and -0.5%		80		31.87	%
Less than -0.5% and Greater than -1.0%		2		0.80	%
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	%

Total		251		100.00	%


		87

Multifactor ETFs

Supplemental Information – (continued)

September 30, 2017 (Unaudited)

Hartford Multifactor Global Small Cap ETF

Period Covered: October 1, 2016 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	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%		13		5.18	%
Between 0.5% and -0.5%		235		93.62	%
Less than -0.5% and Greater than -1.0%		1		0.40	%
Less than -1.0% and Greater than -1.5%		1		0.40	%
Less than -1.5% and Greater than -2.0%		0		0.00	%
Less than -2.0%		0		0.00	%

Total		251		100.00	%

Hartford Multifactor Low Volatility International Equity ETF

Period Covered: May 10, 2017 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	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%		33		33.33	%
Greater than 0.5% and Less than 1.0%		40		40.40	%
Between 0.5% and -0.5%		26		26.26	%
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	%

Total		99		100.00	%

Hartford Multifactor Low Volatility US Equity ETF

Period Covered: May 10, 2017 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	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%		0		0.00	%
Greater than 0.5% and Less than 1.0%		0		0.00	%
Between 0.5% and -0.5%		99		100.00	%
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	%

Total		99		100.00	%


		88

Multifactor ETFs

Supplemental Information – (continued)

September 30, 2017 (Unaudited)

Hartford Multifactor REIT ETF

Period Covered: October 3, 2016 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	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%		0		0.00	%
Greater than 0.5% and Less than 1.0%		0		0.00	%
Between 0.5% and -0.5%		250		100.00	%
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	%

Total		250		100.00	%

Hartford Multifactor US Equity ETF

Period Covered: October 1, 2016 through September 30, 2017


Premium/Discount Range (based on MidQuote-to-NAV)	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%		0		0.00	%
Greater than 0.5% and Less than 1.0%		0		0.00	%
Between 0.5% and -0.5%		251		100.00	%
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	%

Total		251		100.00	%


		89

Multifactor ETFs

General Information (Unaudited)

HOW TO OBTAIN A COPY OF EACH FUND’S PROXY VOTING POLICIES AND VOTING RECORDS (UNAUDITED)

A description of the policies and procedures that each Fund uses to determine how to vote proxies relating to portfolio securities and information about how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 are available (1) without charge, upon request, by calling 415-315-6600 and (2) on the SEC’s website at http://www.sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)

Each Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Forms N-Q are available (1) without charge, upon request, by calling 415-315-6600 and (2) on the SEC’s website at http://www.sec.gov. The Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


		90

Multifactor ETFs

Approval of Investment Management and Investment Sub-Advisory Agreements

Lattice Strategies Trust

Hartford Multifactor Low Volatility International Equity ETF

Hartford Multifactor Low Volatility US Equity ETF

Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), requires that each investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the investment company, as defined in the 1940 Act (the “Independent Trustees”), initially approve, and annually review and consider the continuation of, the investment company’s investment advisory and sub-advisory agreements. At its meeting held on December 8, 2016, the Board of Trustees (the “Board”) of the Lattice Strategies Trust (the “Trust”), including each of the Independent Trustees, unanimously voted to approve for an initial two-year period (i) an investment advisory agreement for the Hartford Multifactor Low Volatility International Equity ETF and the Hartford Multifactor Low Volatility US Equity ETF (each, a “Fund” and collectively, the “Funds”) with Lattice Strategies LLC (“Lattice Strategies”), a wholly owned subsidiary of Hartford Funds Management Company, LLC, and (ii) a separate investment sub-advisory agreement between Lattice Strategies and the Funds’ sub-adviser, Mellon Capital Management Corporation (the “Sub-adviser,” and together with Lattice Strategies, the “Advisers”) (collectively, the “Agreements”).

Prior to approving the Agreements, the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses (the “Adviser Materials”). In addition, the Board received presentations from representatives of the Advisers regarding each Fund and its investment strategy.

In determining whether to approve the Agreements for each Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate in light of the information that the Board deemed necessary and appropriate through the exercise of its reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board with respect to the approval of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements and, throughout the evaluation process, the Board was assisted by counsel for the Funds. The Independent Trustees were also separately assisted by independent legal counsel. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the Agreements is provided below.

Nature, Extent and Quality of Services to be Provided by the Advisers

The Board requested and considered information concerning the nature, extent and quality of the services to be provided to each Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services to be provided by the Advisers. The Board considered the Advisers’ organizational structure, systems and personnel. The Board also considered each Adviser’s reputation and overall financial strength and the Board’s past experience with the Advisers with respect to the services they provide to other series of the Trust. The Board also considered that Lattice Strategies had experience advising other “strategic beta” ETFs.

With respect to Lattice Strategies, the Board noted that, under the Agreements, Lattice Strategies would be responsible for the management of each Fund, including oversight of fund operations and service providers. The Board also noted that Lattice Strategies would provide administrative services to each Fund as well as investment advisory services in connection with selecting, monitoring and supervising the Funds’ sub-adviser, and that Lattice Strategies had recommended to the Board that the Sub-adviser be appointed as the sub-adviser to each Fund. The Board considered that Lattice Strategies is responsible for the creation and maintenance of each Fund’s custom proprietary benchmark. The Board considered the proposed services to be provided by Lattice Strategies and, in its consideration of these services, the Board noted Lattice Strategies’ ongoing monitoring of people, process and performance and oversight of the portfolio managers to the Funds. The Board considered that Lattice Strategies would oversee the Sub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by the Sub-adviser and approach to risk management with respect to each Fund and the service providers to the Funds. The Board also considered that Lattice Strategies would oversee each Fund’s compliance with its objective and policies as well as with applicable laws and regulations. Moreover, the Board considered that Lattice Strategies would oversee potential conflicts of interest between each Fund’s investments and those of other funds or accounts managed by each Fund’s portfolio management personnel. In addition, the Board considered that Lattice Strategies or its affiliates would be responsible for providing the Funds’ officers.

With respect to the Sub-adviser, which would be responsible for the daily investment of the Funds’ assets, subject to oversight by Lattice Strategies, among the other services set forth in the sub-advisory agreement, the Board considered the Sub-adviser’s investment process, its investment research capabilities and resources, its performance record, its trade execution capabilities and its experience.


		91

Multifactor ETFs

Approval of Investment Management and Investment Sub-Advisory Agreements – (continued)

The Board also considered information provided by the Advisers regarding their compliance policies and procedures and compliance history, and received a representation from Lattice Strategies that the written compliance policies and procedures of each of Lattice Strategies and the Sub-adviser are reasonably designed to prevent violations of the federal securities laws.

Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services to be provided to each Fund by Lattice Strategies and the Sub-adviser.

Performance of the Sub-adviser

The Board considered the investment performance of the Sub-adviser and its portfolio management team, including, for purposes of considering the investment skill and experience of the Sub-adviser, performance data showing the Sub-adviser’s capabilities in managing other funds with investment strategies similar to those proposed for each Fund. Lattice Strategies also provided additional information about the broad range of the portfolio management team’s investment experience and their investment process.

Based on these considerations, the Board concluded that it was satisfied that Lattice Strategies and the Sub-adviser have the capability of providing satisfactory investment performance for each Fund.

Costs of the Services and Profitability of the Advisers

In considering the proposed advisory and sub-advisory fee schedules for each Fund, the Board reviewed information regarding Lattice Strategies’ estimated costs to provide investment management and related services to each Fund and the estimated profitability to Lattice Strategies and its affiliates from all services to be provided to each Fund and all aspects of their relationships with the Funds. The Board considered that Lattice Strategies would pay all expenses of the Trust, except for: (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) extraordinary expenses; (iv) any distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the advisory fees payable to Lattice Strategies. In evaluating Lattice Strategies’ estimated profitability, the Board considered Lattice Strategies’ representation that the level of estimated profitability was fair and reasonable based on the nature and quality of the services to be provided to shareholders. The Board also noted that the actual profitability of each Fund to Lattice Strategies would depend on the growth of the Fund’s assets. The Board also received information relating to the operations and profitability of the Sub-adviser as they relate to certain other series of the Trust. The Board considered representations from Lattice Strategies that the Sub-adviser’s fees were negotiated at arm’s length on a fund-by-fund basis and that the sub-advisory fees would be paid by Lattice Strategies and not the Funds. Accordingly, the Board determined that the profitability of the Sub-adviser is a less relevant factor with respect to the Board’s consideration of the Sub-Advisory Agreement.

Based on these considerations, the Board concluded that the profits anticipated to be realized by the Advisers and their affiliates from their relationships with each Fund would not be excessive.

Comparison of Fees and Services to be Provided by the Advisers

The Board considered comparative information with respect to the management fees to be paid by each Fund to Lattice Strategies and the expected total expense ratio of each Fund. The Board also considered the proposed sub-advisory fees to be paid by Lattice Strategies to the Sub-adviser with respect to each Fund. In this regard, the Board requested and reviewed information from Lattice Strategies and the Sub-adviser relating to the proposed management and sub-advisory fees and total operating expenses for each Fund. The Board also reviewed information comparing each Fund’s proposed management fees and expected total expenses relative to a peer universe of funds derived from information provided by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data. The Board considered the inherent limitations of such comparisons in light of uncertainty as to how the fees of such similar funds are set and potentially material differences between each Fund and its comparable funds. In connection with these considerations, the Board took account of the fact that each Fund would pay a monthly management fee to Lattice Strategies in return for providing investment advisory and administrative services under an all-in “unitary” fee structure.

In considering the reasonableness of each Fund’s proposed fees and projected total expense ratio, the Board considered that, according to the information provided by Broadridge, each Fund’s proposed management fees and estimated total expense ratio were below the average and median of an appropriate group of peer funds (“Peer Group”) identified by Broadridge. The Board further considered that the Hartford Multifactor Low Volatility International Equity ETF’s proposed management fees and estimated total expenses fell within the 1st quintile of its Peer Group.


		92

Multifactor ETFs

Approval of Investment Management and Investment Sub-Advisory Agreements – (continued)

The Board also considered that the Hartford Multifactor Low Volatility US Equity ETF’s proposed management fees and estimated total expenses fell within the 2nd quintile of its Peer Group.

Based on these considerations, the Board concluded that each Fund’s proposed fees and projected total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters discussed, were reasonable in light of the services to be provided.

Economies of Scale

The Board considered information regarding the extent to which economies of scale may be realized as each Fund grows and whether the Fund’s corresponding fee levels reflect these economies of scale for the benefit of the Fund’s future shareholders. The Board also considered that any economies of scale achieved by either Fund would benefit Lattice Strategies due to the unitary fee structure of each Fund. The Board considered Lattice Strategies’ representation that each Fund could be expected to achieve some economies of scale as assets in the Fund grow. The Board considered that the Funds would not have management fee breakpoints. In addition, the Board considered that initially setting competitive fee rates and pricing each Fund to scale at inception are other means of sharing potential economies of scale with shareholders.

The Board also considered how any benefits from economies of scale would be realized by the various parties. The Board reviewed relevant information included in the Adviser Materials regarding comparative breakpoint information for other funds in each Fund’s Peer Group. Based on these considerations, the Board concluded that it was satisfied with the extent to which economies of scale would be shared for the benefit of each Fund’s future shareholders. The Board noted, however, that it would review future growth in each Fund’s assets and the appropriateness of any potential future breakpoints as part of its future annual review of the Agreements.

Other Benefits

The Board considered other benefits to the Advisers and their affiliates from their relationships with the Funds.

* * * *

Based upon its review of these various factors, among others, the Board concluded that it is in the best interests of each Fund and its shareholders for the Board to approve the Agreements. In reaching this decision, the Board did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves. In connection with their deliberations, the Independent Trustees met separately in executive session with independent legal counsel to review the relevant materials and consider their responsibilities under relevant laws and regulations.

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited)

Lattice Strategies Trust

Hartford Multifactor Developed Markets (ex-US) ETF

Hartford Multifactor Emerging Markets ETF

Hartford Multifactor US Equity ETF

Hartford Multifactor Global Small Cap ETF

Hartford Multifactor REIT ETF

Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), requires that each investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the investment company, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the continuation of the investment company’s investment advisory and sub-advisory agreements. At its meeting held on September 21, 2017, the Board of Trustees (the “Board”) of the Lattice Strategies Trust (the “Trust”), including each of the Independent Trustees, unanimously voted to approve (i) the continuation of an investment advisory agreement (the “Management Agreement”) by and between the Trust, on behalf of each of its funds listed above (each a “Fund” and collectively, the “Funds”) with Lattice Strategies LLC (“Lattice Strategies”), a wholly owned subsidiary of Hartford Funds Management Company, LLC; and (ii) a separate investment sub-advisory agreement between Lattice Strategies and the Funds’ sub-adviser, Mellon Capital Management Corporation (the “Sub-adviser,” and together with Lattice Strategies, the “Advisers”) (collectively, the “Agreements”).

In the months preceding the September 21, 2017 meeting, the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses (the “Adviser


		93

Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

Materials”). In addition, the Board considered such additional information as it deemed reasonably necessary to evaluate the Agreements, as applicable, with respect to each Fund, which included information furnished to the Board at its meetings throughout the year, as well as information specifically prepared in connection with the approval of the Agreements that was presented at the Board’s meeting held on September 21, 2017. Information provided to the Board at its meetings throughout the year included, among other things, reports on Fund performance, legal and compliance matters, sales and marketing activity, shareholder services, and the other services provided to each Fund by the Advisers and their affiliates. The Board also considered the materials and in-person presentations by Fund officers and representatives of Lattice Strategies received at the Board’s meeting on September 21, 2017 concerning the Agreements.

Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, was retained to assist the Independent Trustees with evaluating the Agreements with respect to each Fund, as applicable. Broadridge was retained to provide the Board with reports on how each Fund’s contractual management fees and overall expense ratio compared to those of comparable investment companies with similar investment objectives.

In determining whether to approve the Agreements for a Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate in light of the information that the Board deemed necessary and appropriate through the exercise of its reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the approval of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements and, throughout the evaluation process, the Board was assisted by counsel for the Funds. The Independent Trustees were also separately assisted by independent legal counsel. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the Agreements is provided below.

Nature, Extent and Quality of Services Provided by the Advisers

The Board requested and considered information concerning the nature, extent and quality of the services provided to each Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services provided by the Advisers. The Board considered the Advisers’ professional personnel who provide services to the Funds, including each Adviser’s ability and experience in attracting and retaining qualified personnel to service the Funds. The Board considered each Adviser’s reputation and overall financial strength, as well as its willingness to consider and implement organizational and operational changes designed to enhance services to the Funds. In addition, the Board considered the quality of each Adviser’s communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Funds.

The Board also requested and evaluated information concerning each Adviser’s regulatory and compliance environment. In this regard, the Board requested and reviewed information about each Adviser’s compliance policies and procedures, compliance history, and a report from the Funds’ Chief Compliance Officer about each Adviser’s compliance with applicable laws and regulations, including responses to regulatory developments and compliance issues raised by regulators. The Board also noted the Advisers’ support of the Funds’ compliance control structure, as applicable, and, in particular, the resources devoted by the Advisers in support of the Funds’ obligations pursuant to Rule 38a-1 under the 1940 Act, as well as the efforts of the Advisers to combat cybersecurity risks and invest in business continuity planning.

With respect to Lattice Strategies, the Board noted that, under the Management Agreement, Lattice Strategies is responsible for the management of the Funds, including oversight of fund operations and service providers, and the provision of administrative and investment advisory services in connection with selecting, monitoring and supervising the Sub-adviser. The Board considered that Lattice Strategies is responsible for the creation and maintenance of each Fund’s custom proprietary benchmark. The Board considered Lattice Strategies’ ongoing monitoring of people, process and performance and oversight of the Funds’ portfolio managers. The Board considered Lattice Strategies’ periodic due diligence reviews of the Sub-adviser and ongoing oversight of the Sub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by the Sub-adviser, and approach to risk management with respect to the Funds and the service providers to the Funds. The Board also considered Lattice Strategies’ day-to-day oversight of each Fund’s compliance with its objective and policies as well as with applicable laws and regulations. Moreover, the Board considered Lattice Strategies’ oversight of potential conflicts of interest between the Funds’ investments and those of other funds or accounts managed by the Funds’ portfolio management personnel.

The Board considered that Lattice Strategies or its affiliates are responsible for providing the Funds’ officers.

With respect to the Sub-adviser, which is responsible for the daily investment of the Funds’ assets, subject to oversight by Lattice Strategies, the Board considered, among other things, the quality of each Fund’s portfolio manager(s), the Sub-adviser’s other investment personnel, its


		94

Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

investment process, its investment research capabilities and resources, its performance record, its trade execution capabilities and its experience. The Board considered the experience of each Fund’s portfolio manager(s), the number of accounts managed by the portfolio manager(s), and the Sub-adviser’s method for compensating the portfolio manager(s).

Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided to each Fund by Lattice Strategies and the Sub-adviser.

Performance of each Fund and the Advisers

The Board considered the investment performance of each Fund. In this regard, the Board reviewed the performance of each Fund over different time periods presented in the materials and evaluated Lattice Strategies’ analysis of the Fund’s performance for these time periods. The Board considered information and materials provided to the Board by the Advisers concerning Fund performance, including information comparing each Fund’s investment performance to the performance of its custom proprietary benchmark. For details regarding each Fund’s performance, see the fund-by-fund synopsis below.

The Board considered the detailed investment analytics reports provided by each Adviser throughout the year, including in connection with the approval of the Agreements. These reports include, among other things, information on each Fund’s gross returns and net returns, each Fund’s tracking error as it relates to tracking the performance of its custom proprietary benchmark, various statistics concerning the Fund’s portfolio, and a narrative summary of various factors affecting Fund performance. In reviewing the tracking error reports, the Board considered Lattice Strategies’ assessment of each Fund’s tracking error, including information with respect to general tracking error ranges and explanations for any tracking error

In light of all the considerations noted above, the Board concluded that it had continued confidence in Lattice Strategies’ and the Sub-adviser’s overall capabilities to manage the Funds.

Costs of the Services and Profitability of the Advisers

The Board reviewed information regarding Lattice Strategies’ cost to provide investment management and related services to each Fund and Lattice Strategies’ estimated profitability, for each Fund at various projected asset levels, on a pre-tax basis without regard to distribution expenses. The Board also requested and received information relating to the operations and profitability of the Sub-adviser. The Board considered representations from Lattice Strategies and the Sub-adviser that the Sub-adviser’s fees were negotiated at arm’s length on a fund-by-fund basis and that the sub-advisory fees would be paid by Lattice Strategies and not the Funds. Accordingly, the Board determined that the profitability of the Sub-adviser is a less relevant factor with respect to the Board’s consideration of the Sub-Advisory Agreements.

Based on these considerations, the Board concluded that the profits anticipated to be realized by the Advisers from their relationships with the Funds would not be excessive.

Comparison of Fees and Services Provided by the Advisers

The Board considered the comparative information that had been provided at a meeting on September 21, 2017 with respect to the services rendered to and the management fees to be paid by each Fund to Lattice Strategies and the total expense ratio of the Fund. The Board considered that Lattice Strategies would pay all expenses of the Trust, except for (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) extraordinary expenses; (iv) any distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the advisory fee payable to Lattice Strategies. The Board also considered comparative information with respect to the sub-advisory fees to be paid by Lattice Strategies to the Sub-adviser with respect to each Fund. In this regard, the Board requested and reviewed information from Lattice Strategies and the Sub-adviser relating to the management and sub-advisory fees, including the sub-advisory fee schedule for each Fund, and total operating expenses for each Fund. The Board also reviewed information from Broadridge comparing each Fund’s contractual management fees and overall expense ratio relative to a group of funds selected by Broadridge (“Peer Group”) and a broader universe of funds selected by Broadridge. For details regarding each Fund’s expenses, see the fund-by-fund synopsis below.

The Board considered the methodology used by Broadridge to select the applicable Peer Groups. While the Board recognized that comparisons between a Fund and its Peer Group may be imprecise given the different service levels and characteristics of the investment companies and the


		95

Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

different business models and cost structures of the Advisers, the comparative information provided by Broadridge assisted the Board in evaluating the reasonableness of each Fund’s fees and total operating expenses.

Based on these considerations, the Board concluded that each Fund’s fees and total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters discussed, were reasonable in light of the services provided.

Economies of Scale

The Board considered information regarding the extent to which economies of scale may be realized as a Fund grows and whether fee levels reflect these economies of scale for the benefit of shareholders of the Fund. The Board also considered that any economies of scale achieved by a Fund would benefit Lattice Strategies due to the unitary fee structure of each Fund. The Board considered that each Fund could achieve some economies of scale as assets in the Fund grow. The Board considered that the Funds do not have management fee breakpoints. In addition, the Board considered that initially setting competitive fee rates and pricing each Fund to scale at inception are other means of sharing potential economies of scale with shareholders.

The Board also considered how any benefits from economies of scale would be realized by the various parties. The Board reviewed relevant information included in the Adviser Materials regarding comparative breakpoint information in the Peer Groups for certain Funds. Based on these considerations, the Board concluded that it was satisfied with the extent to which economies of scale would be shared for the benefit of each Fund’s shareholders. The Board noted, however, that it would review future growth in each Fund’s assets and the appropriateness of any potential future breakpoints as part of its future annual review of the Agreements.

Other Benefits

The Board considered other benefits to the Advisers and their affiliates from their relationships with the Funds.

Fund-by-Fund factors

Hartford Multifactor Developed Markets (ex-US) ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark.

•

The Board noted that the Fund’s contractual management fee was in the 2nd quintile of its expense group, while its total expenses were in the 1st quintile. In considering the Fund’s expenses, the Board noted the shareholder savings resulting from a permanent fee reduction implemented in 2017.

Hartford Multifactor Emerging Markets ETF

•

The Board noted that the Fund’s contractual management fee and total expenses were in the 4th quintile of its expense group. In considering the Fund’s expenses, the Board noted the shareholder savings resulting from a permanent fee reduction implemented in 2017.

Hartford Multifactor US Equity ETF

•

The Board noted that the Fund’s contractual management fee was in the 3rd quintile of its expense group, while its total expenses were in the 4th quintile. In considering the Fund’s expenses, the Board noted the shareholder savings resulting from a permanent fee reduction implemented in 2017.

Hartford Multifactor REIT ETF

•


		96

Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

•

The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group.

Hartford Multifactor Global Small Cap ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark, noting that the Fund seeks to provide seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark.

•

The Board noted that the Fund’s contractual management fee was in the 4th quintile of its expense group, while its total expenses were in the 3rd quintile. In considering the Fund’s expenses, the Board noted the shareholder savings resulting from a permanent fee reduction implemented in 2017.

* * * *

Based upon its review of these various factors, among others, the Board concluded that it is in the best interests of each Fund and its shareholders for the Board to approve the Agreements for an additional year. In reaching this decision, the Board did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves. In connection with their deliberations, the Independent Trustees met separately in executive session, with independent legal counsel, to review the relevant materials and consider their responsibilities under relevant laws and regulations.


		97

THIS PRIVACY POLICY IS NOT PART OF THIS REPORT

Privacy Policy and Practices of The Hartford Financial Services Group, Inc. and its Affiliates

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a) “opt-out;” or

b) “opt-in;”

as required by law.

We only disclose Personal Health Information with:

a) your proper written authorization; or

b) as otherwise allowed or required by law.

Our employees have access to Personal Information in the course of doing their jobs, such as:

a) underwriting policies;

b) paying claims;

c) developing new products; or

d) advising customers of our products and services.

We use manual and electronic security procedures to maintain:

a) the confidentiality; and

b) the integrity of;

Personal Information that we have. We use these procedures to guard against unauthorized access.

Some techniques we use to protect Personal Information include:

a) secured files;

b) user authentication;

c) encryption;

d) firewall technology; and

e) the use of detection software.

We are responsible for and must:

a) identify information to be protected;

b) provide an adequate level of protection for that data;

c) grant access to protected data only to those people who must use it in the performance of their job-related duties.

Employees who violate our privacy policies and procedures may be subject to discipline, which may include termination of their employment with us.

We will continue to follow our Privacy Policy regarding Personal Information even when a business relationship no longer exists between us.

As used in this Privacy Notice:

Application means your request for our product or service.

Personal Financial Information means financial information such as:

a) credit history;

b) income;

c) financial benefits; or

d) policy or claim information.

Personal Financial Information may include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.

Personal Health Information means health information such as:

a) your medical records; or

b) information about your illness, disability or injury.

Personal Information means information that identifies You personally and is not otherwise available to the public. It includes:

a) Personal Financial Information; and

b) Personal Health Information.

Transaction means your business dealings with us, such as:

a) your Application;

b) your request for us to pay a claim; and

c) your request for us to take an action on your account.

You means an individual who has given us Personal Information in conjunction with:

a) asking about;

b) applying for; or

c) obtaining;

a financial product or service from us if the product or service is used mainly for personal, family, or household purposes.

This Customer Privacy Notice is being provided on behalf of The Hartford Financial Services Group, Inc. and its affiliates, to the extent required by the Gramm-Leach-Bliley Act and implementing regulations.

1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; American Maturity Life Insurance Company; Archway 60 R, LLC; Business Management Group, Inc.; DMS R, LLC; First State Insurance Company; Fountain Investors I LLC; Fountain Investors II LLC; Fountain Investors III LLC; Fountain Investors IV LLC; FP R, LLC (Delaware); FTC Resolution Company LLC; Hart Re Group L.L.C.; Hartford Accident and Indemnity Company; Hartford Administrative Services Company; Hartford Casualty General Agency, Inc.; Hartford Casualty Insurance Company; Hartford Financial Services, LLC; Hartford Fire General Agency, Inc.; Hartford Fire Insurance Company; Hartford Funds Distributors, LLC; Hartford Funds Management Company, LLC; Hartford Funds Management Group, Inc.; Hartford Group Benefits Holding Company; Hartford Holdings, Inc.; Hartford HLS Series Fund II, Inc.; Hartford Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the Southeast; Hartford Integrated Technologies, Inc.; Hartford International Life Reassurance Corporation; Hartford Investment Management Company; Hartford Life and Accident Insurance Company; Hartford Life and Annuity Insurance Company; Hartford Life Insurance Company; Hartford Life, Inc.; Hartford Life International Holding Company; Hartford Life Private Placement, LLC; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Securities Distribution Company, Inc.; Hartford Series Fund, Inc.; Hartford Specialty Insurance Services of Texas, LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance Company; Hartford-Comprehensive Employee Benefit Service Company; HDC R, LLC .; Heritage Holdings, Inc.; HIMCO Distribution Services Company; HIMCO Variable Insurance Trust; HLA LLC; HL Investment Advisors, LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lanidex Class B, LLC; ; Lanidex R, LLC (Delaware); Lattice Strategies LLC; Maxum Casualty Insurance Company; Maxum Indemnity Company; Maxum Specialty Services Corporation; MPC Resolution Company LLC; New England Insurance Company; New England Reinsurance Corporation; Northern Homelands Company; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Sentinel Insurance Company, Ltd.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company.

Revised March 2017

This report is submitted for the general information of the shareholders of the Funds referenced in this report. It is not authorized for distribution to persons who are not shareholders of one or more Funds referenced in this report unless preceded or accompanied by a current prospectus for the relevant Funds. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of any Fund listed in this report. Such offering is only made by prospectus, which includes details as to the offering price and other material information.

The information cannot be used or relied upon for the purpose of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.

Investors should carefully consider a fund’s investment objectives, risks, charges and expenses. This and other important information is contained in the fund’s prospectus and summary prospectus (if available), which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.

Lattice Strategies LLC (Lattice), a wholly owned subsidiary of Hartford Funds Management Company, LLC (HFMC), serves as the investment adviser to multifactor exchange-traded funds (ETFs). The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Lattice or HFMC.

ETFAR-MLT17 11/17 203618 LAT000810_11/2018 Printed in U.S.A.

LOGO

Item 2. Code of Ethics.

(a)

The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c)

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

(d)

The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

(e)

Not applicable

(f)

A copy of the code of ethics is filed herewith.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant (the “Board”) has designated Phillip O. Peterson as an Audit Committee Financial Expert. Mr. Peterson is considered by the Board to be an independent trustee.

Item 4. Principal Accountant Fees and Services.

(a)

Audit Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were:

$105,000 for the fiscal year ended September 30, 2017; $60,000 for the fiscal year ended September 30, 2016.

(b)

Audit Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and

are not reported under paragraph (a) of this Item were:

$0 for the fiscal year ended September 30, 2017; $0 for the fiscal year ended September 30, 2016.

(c)

Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were:

$24,522 for the fiscal year ended September 30, 2017; $0 for the fiscal year ended September 30, 2016. Tax-related services are principally in connection with, but not limited to, general tax services, excise tax and Passive Foreign Investment Company (PFIC) analysis.

(d)

All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were:

$0 for the fiscal year ended September 30, 2017; $0 for the fiscal year ended September 30, 2016.

(e)

Pre-Approval Policies and Procedures

(1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the Registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the Registrant may be pre-approved. The following are some main provisions from the Policy.

The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund.

The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting.

The Audit Committee shall pre-approve certain non-audit services to the Fund and its Service Affiliates pursuant to procedures set forth in the Policy.

The Audit Committee, from time to time, may designate one or more of its members who are Independent Trustees (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or

extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services.

The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex.

(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)

None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the year ended September 30, 2017, were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g)

For the fiscal year ended September 30, 2017, the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s Adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Registrant for each of the last two fiscal years of the Registrant were:

Non-Audit fees: $24,522 for the fiscal year ended September 30, 2017; $0 for the fiscal year ended September 30, 2016.

(h)

The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

The Registrant has an audit committee that 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 Hilary E. Ackermann, William P. Johnston, Phillip O. Peterson and David Sung.

Item 6. Investments.

(a)

The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the annual report 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.

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

Not applicable.

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

Not applicable.

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

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees during the period covered by this report.

Item 11. Controls and Procedures.

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(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 (17 CFR 270.30a-3(d)) that occurred during the registrant’s 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 for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)		Not applicable


(b)		Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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.

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.

LATTICE STRATEGIES TRUST

Date: December 8, 2017

/s/ James E. Davey

James E. Davey, President and
Chief Executive Officer