Lattice Strategies Trust NCSR Certified 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

251 Little Falls Drive

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, 2018

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

Dear Shareholders:

Thank you for investing in Hartford Multifactor ETFs. The following is the Funds’ Annual Report covering the year from October 1, 2017 through September 30, 2018.

Market Review

During the twelve months ended September 30, 2018, U.S. stocks, as measured by the S&P 500 Index,¹ saw positive returns. During this period, the S&P 500 Index generated a 10.56% total return.

As of the end of the third calendar quarter 2018, there were more than 35 days when the S&P 500 Index closed 1% higher or lower than the previous day, which is more than triple the number of 1% swings experienced in all of 2017. Rising interest rates, inflation anxiety, and concerns surrounding U.S. tariffs and trade policies have all contributed to the return of market volatility.

Throughout 2018, the U.S. Federal Reserve (Fed) continued its cycle of interest-rate increases. As of the end of September, short-term rates range from 2% to 2.25%. At the time of this writing, expectations were for a continued gradual increase through the end of this calendar year. Central banks overseas are also expected to begin unwinding their accommodative policies by raising interest rates, which may impact global markets.

Going forward, politics both at home and abroad are likely to continue playing a key role in driving market movements. For example, protectionist U.S. trade policies have sparked concern and uncertainty among some investors.

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 financial 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 ETFs. For the most up-to-date information on our funds, please take advantage of all the resources available at hartfordfunds.com.

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.

Hartford Multifactor ETFs

Table of Contents


Fund Performance and Managers Discussion (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			62
Statements of Changes in Net Assets			65
Financial Highlights			69
Notes to Financial Statements			71
Report of Independent Registered Public Accounting Firm			91
Trustees and Officers (Unaudited)			92
How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records (Unaudited)			100
Quarterly Portfolio Holdings Information (Unaudited)			100
Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited)			101

The views expressed in each Fund’s Manager Discussion under “Why did the Fund perform this way?” and “What is the outlook?” are views of that Fund’s sub-adviser 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.

Fund Performance and Summary

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


(sub-advised by BNY Mellon Asset Management North America 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 the Fund’s operating expenses, including transaction costs, that are not reflected in the Index’s results.

Average Annual Total Returns (as of 9/30/18)


	1 Year		Since Inception¹
Multifactor Developed Markets (ex-US) ETF (NAV Return)		4.85%		6.87%
Multifactor Developed Markets (ex-US) ETF (Market Price Return)		4.22%		6.85%
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index		4.95%		7.08%

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.

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 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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		2

Hartford Multifactor Developed Markets (ex-US) ETF

Manager Discussion

September 30, 2018 (Unaudited)

Hartford Multifactor Developed Market (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”), that 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 4.85% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 compared to the Index, which returned 4.95% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. • Diversification does not eliminate the risk of experiencing investment losses. • Due to its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Country⁽¹⁾

as of September 30, 2018


Country	Percentage of Net Assets
Australia		5.8	%
Austria		0.6
Belgium		1.2
Bermuda		0.2
Canada		11.3
Denmark		2.8


Country	Percentage of Net Assets
Finland		1.2	%
France		6.5
Germany		6.5
Hong Kong		5.0
Ireland		1.1
Israel		2.4
Italy		2.0
Japan		20.6
Jersey		0.0	*
Luxembourg		0.5
Malta		0.1
Netherlands		3.5
New Zealand		1.5
Norway		0.1
Russia		0.1
Singapore		3.2
South Africa		0.1
Spain		1.8
Sweden		2.1
Switzerland		7.0
United Arab Emirates		0.5
United Kingdom		10.3
United States		1.5
Short-Term Investments		1.3
Other Assets & Liabilities		(0.8	)

Total		100.0	%

*	Percentage rounds to zero.

⁽¹⁾	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.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		7.0	%
Consumer Discretionary		9.0
Consumer Staples		10.7
Energy		5.2
Financials		19.3
Health Care		11.9
Industrials		15.0
Information Technology		5.0
Materials		6.0
Real Estate		5.1
Utilities		5.3

Total		99.5	%

Short-Term Investments		1.3
Other Assets & Liabilities		(0.8	)

Total		100.0	%

⁽¹⁾	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.


		3

Fund Performance and Summary

Hartford Multifactor Emerging Markets ETF inception 02/25/2015 (Unaudited)


(sub-advised by BNY Mellon Asset Management North America 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 9/30/18)


	1 Year		Since Inception¹
Multifactor Emerging Markets ETF (NAV Return)		-2.64%		-0.14%
Multifactor Emerging Markets ETF (Market Price Return)		-3.88%		-0.28%
Hartford Risk-Optimized Multifactor Emerging Markets Index		-2.29%		0.49%

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.

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 100,000 Shares.

Hartford Risk-Optimized Multifactor Emerging Markets 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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.49%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		4

Hartford Multifactor Emerging Markets ETF

Manager Discussion

September 30, 2018 (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”), that tracks the performance of 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 -2.64% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned -2.29% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets. • Diversification does not eliminate the risk of experiencing investment losses. • Due to its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Country⁽¹⁾

as of September 30, 2018


Country	Percentage of Net Assets
Brazil		4.5	%
Chile		5.4
China		6.7
Colombia		2.9


Country	Percentage of Net Assets
Hong Kong		1.1	%
India		5.7
Indonesia		6.9
Malaysia		8.7
Mexico		4.4
Philippines		4.3
Poland		5.3
Russia		3.4
South Africa		5.3
South Korea		9.4
Taiwan		9.8
Thailand		9.2
Turkey		6.4
United States		0.2
Short-Term Investments		1.1
Other Assets & Liabilities		(0.7	)

Total		100.0	%

⁽¹⁾	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.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		10.5	%
Consumer Discretionary		6.0
Consumer Staples		11.0
Energy		9.3
Financials		30.3
Health Care		3.3
Industrials		5.5
Information Technology		8.6
Materials		6.4
Real Estate		2.5
Utilities		6.2

Total		99.6	%

Short-Term Investments		1.1
Other Assets & Liabilities		(0.7	)

Total		100.0	%

⁽¹⁾	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.


		5

Fund Performance and Summary

Hartford Multifactor Global Small Cap ETF inception 03/23/2015 (Unaudited)


(sub-advised by BNY Mellon Asset Management North America 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 9/30/18)


	1 Year		Since Inception¹
Multifactor Global Small Cap ETF (NAV Return)		7.52%		9.43%
Multifactor Global Small Cap ETF (Market Price Return)		6.73%		9.31%
Hartford Risk-Optimized Multifactor Global Small Cap Index		7.94%		10.01%

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.

Hartford Risk-Optimized Multifactor Global Small Cap 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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.39%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		6

Hartford Multifactor Global Small Cap ETF

Manager Discussion

September 30, 2018 (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”), that 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 7.52% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned 7.94% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be 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 its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Country⁽¹⁾

as of September 30, 2018


Country	Percentage of Net Assets
Australia		4.7	%
Belgium		0.6
Bermuda		0.2


Country		Percentage of Net Assets
Brazil			1.4	%
Canada			5.2
China			8.6
Denmark			0.7
Finland			0.0	*
France			0.8
Georgia			0.2
Germany			1.1
Hong Kong			2.1
Ireland			0.1
Israel			1.2
Italy			1.7
Japan			14.2
Liechtenstein			0.5
Luxembourg			0.2
Netherlands			0.5
New Zealand			0.4
Norway			0.5
Portugal			0.0	*
Puerto Rico			0.4
Singapore			1.1
South Africa			0.7
South Korea	��		5.6
Spain			0.3
Sweden			0.8
Switzerland			1.3
Taiwan			2.8
Thailand			0.4
United Kingdom			4.1
United States			37.0
Short-Term Investments			3.8
Other Assets & Liabilities			(3.2	)

Total			100.0	%

*	Percentage rounds to zero.

⁽¹⁾	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.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		3.7	%
Consumer Discretionary		13.0
Consumer Staples		6.7
Energy		5.0
Financials		13.2
Health Care		12.8
Industrials		15.7
Information Technology		12.4
Materials		8.2
Real Estate		8.1
Utilities		0.6

Total		99.4	%

Short-Term Investments		3.8
Other Assets & Liabilities		(3.2	)

Total		100.0	%

⁽¹⁾	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.


		7

Fund Performance and Summary

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


(sub-advised by BNY Mellon Asset Management North America 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

Average Annual Total Returns (as of 9/30/18)


	1 Year		Since Inception¹
Multifactor Low Volatility International Equity ETF (NAV Return)		5.16%		8.73%
Multifactor Low Volatility International Equity ETF (Market Price Return)		4.20%		8.89%
Hartford Multifactor Low Volatility International Equity Index		5.25%		8.98%

¹	Inception: 5/10/2017

Information regarding how often shares of the Fund traded on Cboe 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.

Hartford Multifactor Low Volatility International Equity Index is calculated by Solactive AG and 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 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 sale of Fund shares.


		8

Hartford Multifactor Low Volatility International Equity ETF

Manager Discussion

September 30, 2018 (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”), that tracks the performance of companies located in both developed and emerging markets.

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 selecting low volatility companies while balancing sector risk and reducing volatility and drawdown risk.

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

3)	Enhance Return Potential by selecting companies exhibiting the low volatility factor while maintaining 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 5.16% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned 5.25% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • 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 investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets. • Diversification does not eliminate the risk of experiencing investment losses. • Due to its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Country⁽¹⁾

as of September 30, 2018


Country	Percentage of Net Assets
Australia		4.6	%
Belgium		0.0	*


Country	Percentage of Net Assets
Brazil		0.7	%
Canada		9.5
Chile		0.2
China		2.6
Denmark		2.0
Finland		0.2
France		4.4
Germany		3.2
Hong Kong		5.8
India		2.3
Indonesia		2.5
Ireland		1.2
Israel		2.2
Italy		1.5
Japan		16.1
Malaysia		2.4
Malta		0.2
Mexico		0.3
Netherlands		0.8
Norway		1.4
Philippines		1.0
Portugal		0.1
Russia		0.1
Singapore		2.0
South Africa		0.0	*
South Korea		5.5
Spain		0.7
Sweden		1.5
Switzerland		3.4
Taiwan		5.3
Thailand		2.9
Turkey		1.9
United Kingdom		10.6
United States		0.4
Short-Term Investments		1.0
Other Assets & Liabilities		(0.5	)

Total		100.0	%

*	Percentage rounds to zero.

⁽¹⁾	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.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		9.5	%
Consumer Discretionary		13.0
Consumer Staples		8.5
Energy		6.3
Financials		7.4
Health Care		10.2
Industrials		17.3
Information Technology		10.4
Materials		8.4
Real Estate		5.0
Utilities		3.5

Total		99.5	%

Short-Term Investments		1.0
Other Assets & Liabilities		(0.5	)

Total		100.0	%

⁽¹⁾	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.


		9

Fund Performance and Summary

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


(sub-advised by BNY Mellon Asset Management North America 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 9/30/18)


	1 Year		Since Inception¹
Multifactor Low Volatility US Equity ETF (NAV Return)		13.73%		12.45%
Multifactor Low Volatility US Equity ETF (Market Price Return)		14.15%		12.78%
Hartford Multifactor Low Volatility US Equity Index		13.97%		12.71%

¹	Inception: 05/10/2017

Information regarding how often shares of the Fund traded on Cboe 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.

Hartford Multifactor Low Volatility US Equity Index is calculated by Solactive AG and is designed to outperform a U.S. capitalization-weighted universe with up to one quarter less volatility over a complete market cycle.

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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.22%. Actual expenses may be higher or lower. Expenses shown include acquired fund fees and expenses incurred by investing in the securities of other investment companies. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		10

Hartford Multifactor Low Volatility US Equity ETF

Manager Discussion

September 30, 2018 (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”), that tracks the performance of exchanged-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 selecting low volatility companies while balancing sector risk and reducing volatility and drawdown risk.

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

3)	Enhance Return Potential by selecting companies exhibiting the low volatility factor while maintaining 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 13.73% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned 13.97% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • 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 its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		7.9	%
Consumer Discretionary		14.7
Consumer Staples		6.6
Energy		6.1
Financials		5.5
Health Care		10.3
Industrials		19.6
Information Technology		11.8
Materials		7.9
Real Estate		5.1
Utilities		4.4

Total		99.9	%

Short-Term Investments		0.2
Other Assets & Liabilities		(0.1	)

Total		100.0	%

⁽¹⁾	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.


		11

Fund Performance and Summary

Hartford Multifactor REIT ETF inception 10/03/2016 (Unaudited)


(sub-advised by BNY Mellon Asset Management North America 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

Average Annual Total Returns (as of 9/30/18)


	1 Year		Since Inception¹
Multifactor REIT ETF (NAV Return)		3.27%		5.86%
Multifactor REIT ETF (Market Price Return)		3.26%		5.86%
Hartford Risk-Optimized Multifactor REIT Index		3.71%		6.35%

¹	Inception: 10/03/2016

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.

Hartford Risk-Optimized Multifactor REIT Index is calculated by Solactive AG and designed to capture the income and growth potential of investing within the U.S. REIT universe.

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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.45%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		12

Hartford Multifactor REIT ETF

Manager Discussion

September 30, 2018 (Unaudited)

Hartford Multifactor 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 REIT Index (LROREX) (“the Index”), that tracks the performance of publicly traded real estate investment trusts.

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 3.27% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned 3.71% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. There is no guarantee a fund will achieve its stated objective. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • A concentration in real estate securities, such as REITs, may subject a 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 may invest in a smaller number of issuers, so it may be more exposed to risks and volatility than a more broadly diversified fund. • Due to its investment strategy, the Fund may make higher capital gain distributions than other ETFs.

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Real Estate		99.3	%
Short-Term Investments		2.1
Other Assets & Liabilities		(1.4	)

Total		100.0	%

⁽¹⁾	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.


		13

Fund Performance and Summary

Hartford Multifactor US Equity ETF inception 02/25/2015 (Unaudited)


(sub-advised by BNY Mellon Asset Management North America 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 9/30/18)


	1 Year		Since Inception¹
Multifactor US Equity ETF (NAV Return)		16.47%		9.98%
Multifactor US Equity ETF (Market Price Return)		16.55%		9.98%
Hartford Risk-Optimized Multifactor US Equity Index		16.71%		10.18%

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.

Hartford Risk-Optimized Multifactor US Equity 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 sale of Fund shares.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus, as supplemented, was 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the year ended September 30, 2018.


		14

Hartford Multifactor US Equity ETF

Manager Discussion

September 30, 2018 (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”), that tracks the performance of large-cap 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 16.47% at net asset value (“NAV”) for the fiscal year ending September 30, 2018 as compared to the Index which returned 16.71% 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 a significant manner in the Fund during the period and did not have an impact on the Fund’s performance during the period.

Important Risks

Composition by Sector⁽¹⁾

as of September 30, 2018


Sector	Percentage of Net Assets
Equity Securities
Communication Services		7.1	%
Consumer Discretionary		11.3
Consumer Staples		6.3
Energy		7.8
Financials		15.3
Health Care		16.3
Industrials		9.6
Information Technology		17.3
Materials		4.3
Real Estate		2.0
Utilities		2.5

Total		99.8	%

Short-Term Investments		0.9
Other Assets & Liabilities		(0.7	)

Total		100.0	%

⁽¹⁾	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.


		15

Hartford 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, 2018 through September 30, 2018. To the extent a Fund was subject to acquired fund fees and expenses during the period, acquired fund fees and expenses are not included in the annualized expense ratio 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 extraordinary expenses and interest expense). Expenses are equal to a Fund’s annualized expense ratio 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, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,011.60	$	1.46	$	1,000.00	$	1,023.62	$	1.47		0.29	%

Hartford Multifactor Emerging Markets ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	911.80	$	2.35	$	1,000.00	$	1,022.61	$	2.48		0.49	%


		16

Hartford Multifactor ETFs

Expense Examples (Unaudited) – (continued)


Hartford Multifactor Global Small Cap ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,018.70	$	1.97	$	1,000.00	$	1,023.11	$	1.98		0.39	%

Hartford Multifactor Low Volatility International Equity ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,007.90	$	1.46	$	1,000.00	$	1,023.62	$	1.47		0.29	%

Hartford Multifactor Low Volatility US Equity ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,109.50	$	1.00	$	1,000.00	$	1,024.12	$	0.96		0.19	%

Hartford Multifactor REIT ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,126.10	$	2.40	$	1,000.00	$	1,022.81	$	2.28		0.45	%


		17

Hartford Multifactor ETFs

Expense Examples (Unaudited) – (continued)


Hartford Multifactor US Equity ETF
	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Beginning Account Value April 1, 2018		Ending Account Value September 30, 2018		Expenses paid during the period April 1, 2018 through September 30, 2018		Annualized expense ratio
	$	1,000.00	$	1,073.40	$	0.99	$	1,000.00	$	1,024.12	$	0.96		0.19	%


		18

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5%
		Australia - 5.8%
	157,309	Adelaide Brighton Ltd.	$	703,414
	114,465	AGL Energy Ltd.		1,615,013
	141,853	Amcor Ltd.		1,404,085
	65,176	Ansell Ltd.		1,190,742
	183,909	AusNet Services		216,235
	14,717	Australia & New Zealand Banking Group Ltd.		300,074
	136,092	BlueScope Steel Ltd.		1,672,010
	207,055	Caltex Australia Ltd.		4,479,459
	72,511	CIMIC Group Ltd.		2,694,621
	144,920	Coca-Cola Amatil Ltd.		1,023,403
	16,754	Cochlear Ltd.		2,432,231
	6,092	Commonwealth Bank of Australia		314,766
	16,417	CSL Ltd.		2,388,890
	920,812	Evolution Mining Ltd.		1,765,572
	319,263	GPT Group REIT		1,203,525
	183,819	Insurance Australia Group Ltd.		973,577
	11,547	Macquarie Group Ltd.		1,053,043
	934,190	Mirvac Group REIT		1,629,000
	392,247	Orora Ltd.		942,251
	518,551	Qantas Airways Ltd.		2,213,666
	466,497	Scentre Group REIT		1,340,010
	99,869	Sonic Healthcare Ltd.		1,800,003
	278,651	Stockland REIT		836,715
	48,783	Suncorp Group Ltd.		510,394
	994,297	Telstra Corp. Ltd.		2,294,962
	394,745	Vicinity Centres REIT		748,319
	132,460	Washington H Soul Pattinson & Co., Ltd.		2,488,044
	74,606	Wesfarmers Ltd.		2,690,962
	80,448	WiseTech Global Ltd.⁽¹⁾		1,285,818
	136,278	Woolworths Ltd		2,768,800

				46,979,604

		Austria - 0.6%
	60,841	BAWAG Group AG⁽²⁾		2,826,672
	6,048	Lenzing AG		632,579
	8,664	Oesterreichische Post AG		362,477
	128,015	Telekom Austria AG*		991,758
	10,724	UNIQA Insurance Group AG		107,183

				4,920,669

		Belgium - 1.2%
	4,636	Ackermans & van Haaren N.V.		807,168
	26,050	Ageas		1,401,205
	50,086	bpost S.A.		813,285
	33,744	Colruyt S.A.⁽¹⁾		1,910,690
	6,231	Elia System Operator S.A.		401,670
	14,063	KBC Group N.V.		1,047,020
	19,742	Proximus SADP		471,906
	8,863	Sofina S.A.		1,768,573
	9,786	UCB S.A.		879,762

				9,501,279

		Bermuda - 0.2%
	73,465	Hiscox Ltd.		1,575,943

		Canada - 11.3%
	12,970	Agnico Eagle Mines Ltd.		442,702
	45,237	Alimentation Couche-Tard, Inc. Class B		2,261,150
	23	AltaGas Ltd.⁽¹⁾		366
	304,746	Aurora Cannabis, Inc.*⁽¹⁾		2,925,807
	8,026	Australis Capital, Inc.*		14,343
	66,282	Bank of Montreal		5,463,163


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Canada - 11.3% - (continued)
	45,774	Bank of Nova Scotia⁽¹⁾	$	2,726,397
	127,806	Barrick Gold Corp.		1,412,926
	65,411	BCE, Inc.		2,648,118
	53,699	Canadian Apartment Properties REIT		1,981,205
	30,840	Canadian Imperial Bank of Commerce⁽¹⁾		2,887,641
	11,852	Canadian Tire Corp. Ltd. Class A⁽¹⁾		1,387,654
	40,075	CCL Industries, Inc. Class B⁽¹⁾		1,805,018
	56,780	CGI Group, Inc. Class A*		3,658,238
	1,357	Constellation Software, Inc.⁽¹⁾		997,194
	12,421	Emera, Inc.⁽¹⁾		385,910
	153,245	Empire Co., Ltd.		2,790,799
	10,842	Fairfax Financial Holdings Ltd.		5,886,017
	36	Fortis, Inc.⁽¹⁾		1,166
	12,977	Franco-Nevada Corp.⁽¹⁾		811,188
	31,321	Genworth MI Canada, Inc.⁽¹⁾		1,031,999
	32,641	George Weston Ltd.		2,468,908
	121,674	Great-West Lifeco, Inc.⁽¹⁾		2,950,072
	61,639	Husky Energy, Inc.		1,081,520
	191,400	Hydro One Ltd.⁽²⁾		2,908,166
	34,661	Imperial Oil Ltd.		1,120,865
	38,410	Industrial Alliance Insurance & Financial Services, Inc.		1,534,795
	22,646	Intact Financial Corp.⁽¹⁾		1,881,619
	199,353	Kinross Gold Corp.*⁽¹⁾		542,877
	82,469	Kirkland Lake Gold Ltd.		1,561,845
	43,451	Loblaw Cos. Ltd.		2,230,704
	9,233	Magna International, Inc.		484,650
	37,449	Manulife Financial Corp.		668,960
	27,604	Metro, Inc.		858,060
	20,267	National Bank of Canada⁽¹⁾		1,011,468
	41,720	Norbord, Inc.⁽¹⁾		1,381,414
	5,675	Open Text Corp.		215,787
	114,981	Power Corp. of Canada		2,496,029
	111,197	Power Financial Corp.		2,545,505
	3,328	RioCan Real Estate Investment Trust REIT		63,543
	55,181	Rogers Communications, Inc. Class B		2,835,892
	57,776	Royal Bank of Canada		4,627,980
	28,490	Saputo, Inc.		846,809
	32,759	Shaw Communications, Inc. Class B		637,896
	102,716	Sun Life Financial, Inc.		4,080,510
	46,928	Suncor Energy, Inc.		1,814,530
	69,539	TELUS Corp.		2,561,312
	17,119	Thomson Reuters Corp.⁽¹⁾		781,906
	15,181	Toromont Industries Ltd.		784,183
	39,745	Toronto-Dominion Bank		2,413,419
	14,328	TransCanada Corp.⁽¹⁾		579,283

				91,489,508

		Denmark - 2.8%
	12,660	Coloplast A/S B Shares		1,295,114
	7,385	GN Store Nord A/S		359,913
	35,036	H. Lundbeck A/S		2,164,801
	58,352	ISS A/S		2,054,024
	89,479	Novo Nordisk A/S Class B		4,214,482
	79,826	Orsted A/S⁽²⁾		5,424,640
	3,853	Rockwool International A/S B Shares		1,650,338
	75,665	Topdanmark A/S		3,457,773
	65,828	William Demant Holding A/S*		2,475,080

				23,096,165

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Finland - 1.2%
	218,352	DNA Oyj	$	4,884,639
	46,700	Neste Oyj		3,862,033
	17,912	Orion Oyj Class B		678,652

				9,425,324

		France - 6.5%
	3,266	Aeroports de Paris		735,551
	9,881	Air Liquide S.A.		1,300,319
	100,206	ALD S.A.⁽¹⁾⁽²⁾		1,833,130
	4,493	Alstom S.A.		200,865
	6,028	Alten S.A.		620,335
	4,253	Amundi S.A.⁽²⁾		318,818
	8,378	Atos SE		997,432
	33,388	AXA S.A.		897,760
	47,353	BioMerieux		3,949,035
	109,576	Bouygues S.A.		4,738,354
	32,700	Cie Generale des Etablissements Michelin SCA		3,910,148
	158,928	CNP Assurances		3,832,188
	5,650	Covivio REIT		588,982
	216	Dassault Aviation S.A.		399,909
	262	Eiffage S.A.		29,263
	46,115	Elior Group S.A.⁽¹⁾⁽²⁾		714,524
	7,546	Essilor International Cie Generale d’Optique S.A.		1,117,058
	5,748	Eurazeo S.A.		452,987
	14,582	Gecina S.A. REIT		2,435,539
	15,414	Ipsen S.A.		2,592,406
	8,382	Klepierre S.A. REIT		297,231
	2,037	L’Oreal S.A.		491,413
	39,189	Lagardere SCA		1,206,682
	10,504	Metropole Television S.A.		211,799
	5,174	Nexity S.A.		285,937
	9,761	Orange S.A.		155,719
	12,381	Peugeot S.A.		334,060
	29,183	Rubis SCA		1,580,233
	5,711	Safran S.A.		800,642
	9,125	Sanofi		811,435
	5,160	Sartorius Stedim Biotech		710,210
	23,229	SCOR SE		1,079,219
	21,792	Societe BIC S.A.		1,995,804
	12,616	Sodexo S.A.		1,338,449
	27,532	Suez		391,416
	9,705	Teleperformance		1,831,757
	12,500	Thales S.A.		1,776,368
	36,014	TOTAL S.A.		2,335,801
	682	Unibail-Rodamco-Westfield*		137,215
	46,057	Worldline S.A.*⁽²⁾		2,950,259

				52,386,252

		Germany - 6.5%
	89,338	1&1 Drillisch AG		4,347,797
	10,544	Allianz SE		2,351,395
	7,201	BASF SE		640,261
	14,293	Carl Zeiss Meditec AG		1,203,595
	45,385	Covestro AG⁽²⁾		3,682,646
	92,996	Delivery Hero SE*⁽²⁾		4,473,973
	9,624	Deutsche Lufthansa AG		236,532
	19,493	Deutsche Wohnen SE		935,531
	53,820	Evonik Industries AG		1,928,492
	11,804	Fresenius Medical Care AG & Co. KGaA		1,214,462
	18,788	Hannover Rueck SE		2,655,768
	3,149	Hochtief AG		522,300


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Germany - 6.5% - (continued)
	4,519	Krones AG	$	474,231
	11,741	LEG Immobilien AG		1,394,400
	28,196	MAN SE		3,067,004
	25,154	Merck KGaA		2,600,256
	372,528	Metro AG		5,841,330
	8,709	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		1,929,532
	124,924	Suedzucker AG		1,660,660
	67,857	Talanx AG*		2,580,432
	290,931	Telefonica Deutschland Holding AG		1,230,353
	14,643	TUI AG		281,565
	190,869	Uniper SE		5,877,115
	31,197	Vonovia SE		1,524,781

				52,654,411

		Hong Kong - 5.0%
	2,261,688	Champion REIT		1,583,924
	684,000	Chinese Estates Holdings Ltd.		790,216
	486,320	Chow Tai Fook Jewellery Group Ltd.		500,310
	117,480	CLP Holdings Ltd.		1,375,997
	462,633	Dairy Farm International Holdings Ltd.⁽¹⁾		4,163,697
	60,510	Hang Seng Bank Ltd.		1,644,037
	1,562,109	HK Electric Investments & HK Electric Investments Ltd.		1,577,101
	35,000	Hong Kong & China Gas Co., Ltd.		69,509
	323,984	Hongkong Land Holdings Ltd.		2,144,774
	533,000	Hopewell Holdings Ltd.		1,753,984
	23,426	Jardine Matheson Holdings Ltd.		1,469,981
	22,685	Jardine Strategic Holdings Ltd.		823,466
	530,500	Johnson Electric Holdings Ltd.		1,498,300
	517,000	Kerry Properties Ltd.		1,754,189
	336,000	Lifestyle International Holdings Ltd.		659,556
	345,688	Link REIT		3,403,911
	4,614,575	PCCW Ltd.		2,689,167
	48,000	Sun Hung Kai Properties Ltd.		699,306
	239,800	Swire Properties Ltd.		908,647
	36,000	Techtronic Industries Co., Ltd.		230,035
	279,235	VTech Holdings Ltd.		3,225,964
	3,046,292	WH Group Ltd.⁽²⁾		2,145,084
	360,000	Wharf Holdings Ltd.		979,949
	534,000	Wharf Real Estate Investment Co., Ltd.		3,446,306
	464,111	Yue Yuen Industrial Holdings Ltd.		1,290,037

				40,827,447

		Ireland - 1.1%
	193,759	AIB Group plc		992,475
	4,450	DCC plc		404,180
	39,896	ICON plc*		6,134,010
	16,315	Kerry Group plc Class A		1,804,975

				9,335,640

		Israel - 2.4%
	131,146	Bank Hapoalim BM		960,819
	447,414	Bank Leumi Le-Israel BM		2,951,835
	2,808,871	Bezeq The Israeli Telecommunication Corp. Ltd.		3,231,260
	322,549	Delek Drilling L.P.		957,126
	10,778	Elbit Systems Ltd.		1,367,035
	922,052	Israel Discount Bank Ltd. Class A		3,075,873
	211,690	Mizrahi Tefahot Bank Ltd.		3,709,611
	30,419	Taro Pharmaceutical Industries Ltd.*		2,990,188

				19,243,747

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Italy - 2.0%
	14,076	DiaSorin S.p.A.	$	1,481,244
	457,833	Hera S.p.A.		1,426,215
	600,615	Italgas S.p.A.		3,260,648
	598,210	Pirelli & C. S.p.A.*⁽²⁾		5,022,164
	231,679	Poste Italiane S.p.A.⁽²⁾		1,851,912
	667,763	PRADA S.p.A.		3,200,183
	3,450	UnipolSai Assicurazioni S.p.A.		8,134

				16,250,500

		Japan - 20.6%
	16,505	ABC-Mart, Inc.		918,357
	132	Activia Properties, Inc. REIT		571,766
	464	Advance Residence Investment Corp. REIT		1,185,480
	186,859	Aeon Co., Ltd.⁽¹⁾		4,503,469
	55,482	Alfresa Holdings Corp.		1,484,926
	52,441	ANA Holdings, Inc.		1,832,907
	12,258	Aoyama Trading Co., Ltd.⁽¹⁾		376,638
	60,488	Aozora Bank Ltd.		2,162,092
	2,000	Asahi Group Holdings Ltd.		86,719
	257,394	Asahi Kasei Corp.		3,904,476
	167,165	Astellas Pharma, Inc.		2,916,943
	47,000	Azbil Corp.		1,022,882
	47,659	Bandai Namco Holdings, Inc.		1,852,485
	33,587	Benesse Holdings, Inc.		956,587
	77,297	Bic Camera, Inc.		1,075,223
	58,093	Bridgestone Corp.		2,195,653
	59,597	Canon Marketing Japan, Inc.		1,265,554
	103,803	Canon, Inc.		3,299,105
	390,564	Citizen Watch Co., Ltd.⁽¹⁾		2,575,449
	24,500	Cosmo Energy Holdings Co., Ltd.		1,007,307
	46,937	Dai-ichi Life Holdings, Inc.		977,501
	5,236	Daiichi Sankyo Co., Ltd.⁽¹⁾		227,031
	9,400	Daiichikosho Co., Ltd.		453,511
	12,116	Daito Trust Construction Co., Ltd.		1,558,968
	51	Daiwa House REIT Investment Corp. REIT		116,696
	181,417	Daiwa Securities Group, Inc.		1,103,979
	25,700	FamilyMart UNY Holdings Co., Ltd.		2,676,683
	4,200	Fuji Oil Holdings, Inc.		132,377
	42,120	FUJIFILM Holdings Corp.		1,896,763
	7,749	Fujitsu Ltd.		552,318
	8,800	Furukawa Electric Co., Ltd.		292,856
	301	GLP J-REIT		292,825
	661,008	GungHo Online Entertainment, Inc.⁽¹⁾		1,361,763
	4,093	Hikari Tsushin, Inc.		809,339
	3,500	Hisamitsu Pharmaceutical Co., Inc.		268,389
	35,074	Hitachi Ltd.		1,191,919
	16,034	Hitachi Transport System Ltd.		450,310
	11,200	Honda Motor Co., Ltd.		339,101
	48,349	House Foods Group, Inc.		1,451,513
	11,821	Hoya Corp.		702,485
	47,919	Idemitsu Kosan Co., Ltd.		2,535,486
	31,436	Ito En Ltd.⁽¹⁾		1,394,880
	63,071	ITOCHU Corp.⁽¹⁾		1,154,974
	25,102	Itochu Techno-Solutions Corp.⁽¹⁾		545,643
	115,693	Japan Airlines Co., Ltd.		4,159,794
	69,500	Japan Post Bank Co., Ltd.⁽¹⁾		821,750
	160,681	Japan Post Holdings Co., Ltd.		1,912,583
	58,919	Japan Post Insurance Co., Ltd.⁽¹⁾		1,396,917
	99	Japan Prime Realty Investment Corp. REIT		352,996
	447,938	JXTG Holdings, Inc.		3,384,824
	217,048	K’s Holdings Corp.		2,627,468


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 20.6% - (continued)
	3,100	Kagome Co., Ltd.	$	89,519
	50,800	Kajima Corp.		738,397
	3,349	Kaken Pharmaceutical Co., Ltd.		178,087
	11,376	Kaneka Corp.		525,827
	9,081	Kao Corp.		733,452
	73,651	KDDI Corp.		2,035,396
	65,500	Kinden Corp.		1,048,946
	4,957	Kirin Holdings Co., Ltd.		127,040
	202,388	Konica Minolta, Inc.⁽¹⁾		2,152,438
	41,893	Kuraray Co., Ltd.		629,953
	4,300	Kurita Water Industries Ltd.		125,307
	183,700	Kyushu Railway Co.		5,595,827
	25,322	Lawson, Inc.⁽¹⁾		1,542,706
	5,000	LINE Corp.*⁽¹⁾		211,295
	60,000	Marubeni Corp.		549,368
	17,800	Maruichi Steel Tube Ltd.⁽¹⁾		580,614
	11,500	Matsumotokiyoshi Holdings Co., Ltd.		471,805
	67,500	McDonald’s Holdings Co. Japan Ltd.		2,965,400
	467,400	Mebuki Financial Group, Inc.⁽¹⁾		1,617,187
	95,450	Medipal Holdings Corp.		1,992,446
	2,216	MEIJI Holdings Co., Ltd.		148,858
	56,400	Mitsubishi Chemical Holdings Corp.		539,992
	16,092	Mitsubishi Gas Chemical Co., Inc.		342,708
	23,600	Mitsubishi Motors Corp.⁽¹⁾		166,635
	117,427	Mitsubishi Tanabe Pharma Corp.		1,964,267
	50,460	Mixi, Inc.		1,211,022
	24,417	NEC Corp.		674,996
	14,169	NH Foods Ltd.		523,299
	21,194	Nichirei Corp.		561,640
	23,775	Nihon Kohden Corp.		753,533
	66,281	Nippo Corp.		1,216,674
	64,468	Nippon Kayaku Co., Ltd.⁽¹⁾		766,794
	68,853	Nippon Telegraph & Telephone Corp.		3,110,918
	55,870	Nissan Motor Co., Ltd.⁽¹⁾		523,113
	678	Nomura Real Estate Master Fund, Inc. REIT		926,404
	59,260	NTT Data Corp.		820,672
	98,724	NTT DOCOMO, Inc.		2,655,296
	94,800	Obayashi Corp.		898,048
	64,000	Oji Holdings Corp.		464,850
	420	Orix, Inc. J-REIT		655,967
	89,151	Osaka Gas Co., Ltd.		1,739,302
	36,738	Otsuka Corp.		1,371,388
	4,404	Otsuka Holdings Co., Ltd.		222,051
	48,367	Park24 Co., Ltd.		1,462,699
	101,900	Recruit Holdings Co., Ltd.		3,401,900
	122,766	Resona Holdings, Inc.		689,893
	50,169	Ricoh Co., Ltd.⁽¹⁾		538,858
	25,728	Rohto Pharmaceutical Co., Ltd.		903,770
	4,400	Sankyo Co., Ltd.		172,188
	33,068	Sawai Pharmaceutical Co., Ltd.⁽¹⁾		1,784,627
	900	Secom Co., Ltd.		73,388
	24,608	Sega Sammy Holdings, Inc.		362,886
	41,965	Sekisui Chemical Co., Ltd.		774,386
	51,448	Sekisui House Ltd.		784,731
	15,489	Seven & I Holdings Co., Ltd.		690,006
	193,600	SG Holdings Co., Ltd.⁽¹⁾		5,074,149
	16,740	Shimamura Co., Ltd.⁽¹⁾		1,588,741
	132,400	Showa Shell Sekiyu KK		2,805,712
	199,258	Skylark Co., Ltd.⁽¹⁾		2,948,917
	21,800	Square Enix Holdings Co., Ltd.		902,056
	3,493	Subaru Corp.⁽¹⁾		107,018

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 20.6% - (continued)
	23,617	Sugi Holdings Co., Ltd.	$	1,160,214
	132,501	Sumitomo Dainippon Pharma Co., Ltd.⁽¹⁾		3,043,493
	80,929	Sumitomo Forestry Co., Ltd.⁽¹⁾		1,407,182
	5,007	Suntory Beverage & Food Ltd.		212,032
	36,482	Suzuken Co., Ltd.		1,731,197
	23,000	Taisei Corp.		1,048,906
	26,144	Takeda Pharmaceutical Co., Ltd.⁽¹⁾		1,118,862
	15,800	Teijin Ltd.⁽¹⁾		303,105
	1,600	Terumo Corp.⁽¹⁾		94,801
	5,711	Toho Gas Co., Ltd.⁽¹⁾		216,956
	4,614	Tokyo Electron Ltd.⁽¹⁾		634,103
	91,196	Tokyo Gas Co., Ltd.		2,242,064
	10,219	Toyo Suisan Kaisha Ltd.		396,308
	10,800	TS Tech Co., Ltd.		372,725
	54,747	Tsumura & Co.⁽¹⁾		1,889,406
	1,779	Tsuruha Holdings, Inc.		219,115
	19,389	TV Asahi Holdings Corp.		372,639
	85,272	Ube Industries Ltd.		2,319,765
	8,891	Welcia Holdings Co., Ltd.		504,099
	14,749	West Japan Railway Co.		1,028,541
	142,557	Yamada Denki Co., Ltd.⁽¹⁾		721,665
	72,580	Yamazaki Baking Co., Ltd.		1,453,070
	63,753	Zensho Holdings Co., Ltd.⁽¹⁾		1,258,390

				167,321,660

		Jersey - 0.0%
	2,783	Randgold Resources Ltd.		197,790

		Luxembourg - 0.5%
	106,072	Grand City Properties S.A.		2,749,882
	657,451	L’Occitane International S.A.		1,181,326
	9,608	SES S.A.		210,918

				4,142,126

		Malta - 0.1%
	74,690	Kindred Group plc SDR		838,175

		Netherlands - 3.5%
	118,812	Aegon N.V.		771,145
	9,504	Akzo Nobel N.V.		889,072
	127,539	ASR Nederland N.V.		6,082,484
	32,376	GrandVision N.V.⁽²⁾		797,220
	180,642	Koninklijke Ahold Delhaize N.V.		4,143,858
	23,283	Koninklijke DSM N.V.		2,467,421
	100,536	NN Group N.V.		4,487,568
	90,186	Royal Dutch Shell plc Class A		3,100,709
	158,670	Signify N.V. N.V.⁽²⁾		4,109,781
	22,920	Wolters Kluwer N.V.		1,429,046

				28,278,304

		New Zealand - 1.5%
	1,151,000	Air New Zealand Ltd.		2,357,842
	119,102	Contact Energy Ltd.		460,329
	211,072	Fisher & Paykel Healthcare Corp. Ltd.		2,105,950
	134,860	Fletcher Building Ltd.*		584,712
	11,813	Meridian Energy Ltd.		25,726
	943,497	Spark New Zealand Ltd.*⁽¹⁾		2,519,043
	808,296	Z Energy Ltd.⁽¹⁾		3,831,399

				11,885,001

		Norway - 0.1%
	33,719	Entra ASA⁽¹⁾⁽²⁾		484,462


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Russia - 0.1%
	86,829	Polymetal International plc⁽¹⁾	$	695,681

		Singapore - 3.2%
	843,598	ComfortDelGro Corp. Ltd.		1,500,306
	109,704	DBS Group Holdings Ltd.		2,094,761
	724,633	Mapletree Industrial Trust REIT		1,050,077
	1,907,834	Mapletree North Asia Commercial Trust REIT		1,591,782
	348,382	Oversea-Chinese Banking Corp. Ltd.		2,916,888
	346,011	SATS Ltd.		1,321,900
	219,003	Sea Ltd. ADR*⁽¹⁾		3,028,811
	505,088	Singapore Airlines Ltd.		3,600,510
	160,300	Singapore Telecommunications Ltd.		379,007
	1,845,837	StarHub Ltd.⁽¹⁾		2,526,231
	125,253	United Overseas Bank Ltd.		2,482,418
	248,500	Venture Corp. Ltd.		3,206,393

				25,699,084

		South Africa - 0.1%
	39,779	Mondi plc		1,091,425

		Spain - 1.8%
	16,017	Bolsas y Mercados Espanoles SHMSF S.A.		517,928
	63,021	Cia de Distribucion Integral Logista Holdings S.A.		1,619,159
	79,982	Ebro Foods S.A.		1,747,431
	7,211	Enagas S.A.		194,732
	116,836	Endesa S.A.		2,525,469
	636,577	Gestamp Automocion S.A.⁽²⁾		4,820,783
	3,405	Grupo Catalana Occidente S.A.		148,309
	931,674	Prosegur Cash S.A.⁽¹⁾⁽²⁾		2,043,078
	27,180	Red Electrica Corp. S.A.		569,515
	9,883	Viscofan S.A.		720,888

				14,907,292

		Sweden - 2.1%
	733,746	Ahlsell AB⁽²⁾		4,105,519
	140,696	Axfood AB⁽¹⁾		2,632,552
	219,257	Essity AB Class B		5,507,805
	11,239	Hennes & Mauritz AB Class B⁽¹⁾		207,562
	30,635	ICA Gruppen AB⁽¹⁾		971,424
	3,850	Investor AB Class B		177,798
	35,192	Loomis AB Class B		1,132,545
	15,031	Nordea Bank AB		163,710
	68,649	Swedbank AB Class A		1,700,555
	11,190	Swedish Match AB		572,511

				17,171,981

		Switzerland - 7.0%
	15,905	ABB Ltd.		377,597
	30,439	Baloise Holding AG		4,664,945
	3,681	Banque Cantonale Vaudoise		2,743,415
	34,465	BKW AG		2,194,639
	6	Chocoladefabriken Lindt & Spruengli AG		494,472
	1,931	Emmi AG		1,448,052
	1,567	EMS-Chemie Holding AG		938,468
	13,714	Ferguson plc		1,165,125
	639	Givaudan S.A.		1,578,529
	4,202	Helvetia Holding AG		2,572,478
	78,533	Idorsia Ltd.*		1,987,445
	21,301	Kuehne + Nagel International AG		3,390,976
	20,134	Nestle S.A.		1,686,491
	10,574	Novartis AG		913,642
	8,535	Panalpina Welttransport Holding AG⁽¹⁾		1,249,493
	30,206	Pargesa Holding S.A.		2,438,312

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Switzerland - 7.0% - (continued)
	16,291	Roche Holding AG	$	3,965,177
	11,492	SFS Group AG*		1,338,851
	477	SGS S.A.		1,261,843
	18,399	Sika AG		2,691,664
	6,164	Sonova Holding AG		1,232,421
	1,426	Straumann Holding AG		1,077,383
	35,903	Sunrise Communications Group AG*⁽²⁾		3,265,747
	16,721	Swiss Life Holding AG*		6,367,948
	25,124	Swiss Re AG		2,330,297
	2,314	VAT Group AG*⁽²⁾		260,823
	7,234	Vontobel Holding AG		513,223
	7,894	Zurich Insurance Group AG		2,506,878

				56,656,334

		United Arab Emirates - 0.5%
	947,101	Borr Drilling Ltd.*⁽¹⁾		4,349,782

		United Kingdom - 10.3%
	15,806	Abcam plc		295,161
	31,056	Ashtead Group plc		986,950
	61,900	AstraZeneca plc		4,813,374
	39,673	Atlassian Corp. plc Class A*		3,814,162
	163,451	BAE Systems plc		1,342,407
	305,002	Beazley plc		2,271,083
	433,044	BP plc		3,327,841
	7,582	British American Tobacco plc		354,410
	151,550	Britvic plc		1,546,445
	201,424	BT Group plc		591,789
	160,066	BTG plc*		1,151,168
	327,647	Centrica plc		661,838
	36,272	Close Brothers Group plc		748,294
	42,286	Coca-Cola European Partners plc		1,915,492
	139,279	Compass Group plc		3,098,552
	2,114,821	ConvaTec Group plc⁽²⁾		6,409,200
	3,960	Croda International plc		268,633
	179,974	CYBG plc⁽¹⁾		759,943
	22,291	Diageo plc		790,374
	425,285	Direct Line Insurance Group plc		1,796,326
	128,226	GlaxoSmithKline plc		2,569,730
	195,618	HSBC Holdings plc		1,708,630
	168,240	IG Group Holdings plc		1,390,954
	3,469	Imperial Brands plc		120,829
	502,203	Kingfisher plc		1,689,636
	277,387	Legal & General Group plc		948,447
	62,877	Marks & Spencer Group plc⁽¹⁾		236,801
	27,777	Metro Bank plc*⁽¹⁾		1,077,260
	221,985	National Grid plc		2,290,940
	24,319	Next plc		1,742,322
	64,135	Nomad Foods Ltd.*		1,299,375
	80,594	Pearson plc		935,377
	32,279	Pennon Group plc		300,210
	471	Reckitt Benckiser Group plc		43,093
	172,070	RELX plc		3,626,107
	128,807	RELX plc*		2,707,180
	968,385	Rentokil Initial plc		4,020,825
	32,409	Rio Tinto Ltd.⁽¹⁾		1,846,886
	710,304	Royal Mail plc		4,419,242
	152,467	Smith & Nephew plc		2,782,549
	82,862	SSE plc		1,238,324
	36,732	SSP Group plc		347,134
	209,784	Tate & Lyle plc		1,867,927
	4,382	Unilever N.V.		244,127


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		United Kingdom - 10.3% - (continued)
	53,543	Unilever plc	$	2,943,726
	12,699	Victrex plc		553,108
	281,906	Vodafone Group plc		604,734
	65,419	WH Smith plc		1,759,084
	387,028	William Hill plc		1,272,358

				83,530,357

		United States - 1.5%
	45,428	Burford Capital Ltd.		1,151,633
	25,710	Carnival plc		1,597,232
	125,030	International Game Technology plc⁽¹⁾		2,469,342
	609,598	Reliance Worldwide Corp. Ltd.⁽¹⁾		2,280,356
	10,419	Shire plc		628,190
	55,946	Waste Connections, Inc.		4,456,290

				12,583,043


		Total Common Stocks (cost $793,561,094)	$	807,518,986


WARRANTS - 0.0%
		Canada - 0.0%
	8,026	Australis Captial, Inc. Expires 9/19/19*	$	14,592


		Total Warrants (cost $42,931)	$	14,592


		Total Long-Term Investments (cost $793,604,025)	$	807,533,578


SHORT-TERM INVESTMENTS - 1.3%
		Securities Lending Collateral - 1.3%
	10,250,829	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽³⁾	$	10,250,829


		U.S. Treasury Bill - 0.0%
$	125,000	U.S. Treasury Bill 2.09%, 12/06/2018⁽⁴⁾⁽⁵⁾		124,513


		Total Short-Term Investments (cost $10,375,352)	$	10,375,342



Total Investments (cost $803,979,377)	100.8	%	$	817,908,920
Other Assets and Liabilities	(0.8	)%		(6,843,313	)

Total Net Assets	100.0	%	$	811,065,607

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, 2018

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 8 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. At September 30, 2018, the aggregate value of these securities was $60,448,601, which represented 7.5% of total net assets.

⁽³⁾	Current yield as of period end.

⁽⁴⁾	The rate shown represents current yield to maturity.

⁽⁵⁾	This security, or a portion of this security, has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2018
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
MSCI EAFE Index Future		23		12/21/2018	$	2,271,825	$	5,132

Total futures contracts							$	5,132

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


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Index Abbreviations:
MSCI		Morgan Stanley Capital International

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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	46,979,604	$	46,979,604	$	—	$	—
Austria		4,920,669		4,920,669		—		—
Belgium		9,501,279		9,501,279		—		—
Bermuda		1,575,943		1,575,943		—		—
Canada		91,489,508		91,489,508		—		—
Denmark		23,096,165		23,096,165		—		—
Finland		9,425,324		9,425,324		—		—
France		52,386,252		52,386,252		—		—
Germany		52,654,411		52,654,411		—		—
Hong Kong		40,827,447		40,827,447		—		—
Ireland		9,335,640		9,335,640		—		—
Israel		19,243,747		19,243,747		—		—
Italy		16,250,500		16,250,500		—		—
Japan		167,321,660		167,321,660		—		—
Jersey		197,790		197,790		—		—
Luxembourg		4,142,126		4,142,126		—		—
Malta		838,175		838,175		—		—
Netherlands		28,278,304		28,278,304		—		—
New Zealand		11,885,001		11,885,001		—		—
Norway		484,462		484,462		—		—
Russia		695,681		695,681		—		—
Singapore		25,699,084		25,699,084		—		—
South Africa		1,091,425		1,091,425		—		—
Spain		14,907,292		14,907,292		—		—
Sweden		17,171,981		17,171,981		—		—
Switzerland		56,656,334		56,656,334		—		—
United Arab Emirates		4,349,782		4,349,782		—		—
United Kingdom		83,530,357		83,530,357		—		—
United States		12,583,043		12,583,043		—		—
Warrants		14,592		14,592		—		—
Short-Term Investments		10,375,342		10,250,829		124,513		—
Futures Contracts⁽²⁾		5,132		5,132		—		—

Total	$	817,914,052	$	817,789,539	$	124,513	$	—

⁽¹⁾	For the year ended September 30, 2018, there were no transfers between any levels.

⁽²⁾	Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments.

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


		25

Hartford Multifactor Emerging Markets ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7%
		Brazil - 2.0%
	44,956	Banco do Brasil S.A.*	$	331,523
	14,628	BB Seguridade Participacoes S.A.		88,276
	20,047	CCR S.A.		42,468
	24,503	Cielo S.A.		75,162
	69,079	Embraer S.A.		343,012
	19,599	Kroton Educacional S.A.		55,947
	7,537	Lojas Renner S.A.*		58,506
	9,056	Ultrapar Participacoes S.A.		84,652
	15,118	Vale S.A.*		226,455

				1,306,001

		Chile - 5.0%
	645,643	Aguas Andinas S.A. Class A		356,366
	951,619	Banco de Chile		144,517
	5,493	Banco de Credito e Inversiones S.A.		370,503
	1,528,626	Banco Santander Chile		121,970
	125,660	Cencosud S.A.		297,919
	17,741	Cia Cervecerias Unidas S.A.		246,609
	816,728	Colbun S.A.		175,827
	14,744	Empresa Nacional de Telecomunicaciones S.A.		124,998
	12,632	Empresas COPEC S.A.		194,612
	2,644,289	Enel Americas S.A.		406,185
	3,759,735	Enel Chile S.A.		377,569
	10,570	Latam Airlines Group S.A.		100,250
	29,808	SACI Falabella		241,953
	363,155	SMU S.A.*		109,354

				3,268,632

		China - 6.9%
	33,500	Anhui Conch Cement Co., Ltd. Class H		202,287
	1,915	Autohome, Inc. ADR⁽¹⁾		148,240
	296	Baidu, Inc. ADR*		67,689
	1,018,000	Bank of China Ltd. Class H		452,739
	145,000	China Construction Bank Corp. Class H		126,749
	263,000	China Everbright Bank Co., Ltd. Class H		116,629
	20,000	China Merchants Bank Co., Ltd. Class H		81,279
	1,234,000	China Telecom Corp. Ltd. Class H		613,460
	105,000	CNOOC Ltd.		207,990
	54,000	Country Garden Holdings Co., Ltd.		68,113
	78,000	CSPC Pharmaceutical Group Ltd.		165,671
	153,000	Dali Foods Group Co. Ltd.⁽²⁾		110,083
	7,000	Geely Automobile Holdings Ltd.		13,956
	304,000	Lenovo Group Ltd.		222,224
	172,000	Logan Property Holdings Co., Ltd.		194,313
	3,399	Momo, Inc. ADR*		148,876
	288,000	PICC Property & Casualty Co., Ltd. Class H		340,084
	41,000	Ping An Insurance Group Co. of China Ltd. Class H		416,555
	202,000	Postal Savings Bank of China Co., Ltd. Class H⁽²⁾		127,268
	81,872	Semiconductor Manufacturing International Corp.*		88,308
	84,000	Sinopharm Group Co., Ltd. Class H		411,149
	3,994	Yum China Holdings, Inc.		140,229

				4,463,891

		Colombia - 1.9%
	75,647	Almacenes Exito S.A.		371,434
	7,499	Corp. Financiera Colombiana S.A.		55,560
	18,552	Grupo Argos S.A.		101,838
	6,484	Grupo de Inversiones Suramericana S.A.		75,903
	23,234	Grupo Nutresa S.A.		189,353
	96,329	Interconexion Electrica S.A. ESP		434,056

				1,228,144


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7% - (continued)
		Hong Kong - 1.1%
	38,500	China Mobile Ltd.	$	379,593
	38,100	China Resources Land Ltd.		133,413
	211,500	Sino Biopharmaceutical Ltd.		197,312

				710,318

		India - 5.7%
	8,810	Axis Bank Ltd. GDR*		373,103
	16,372	Dr. Reddy’s Laboratories Ltd. ADR⁽¹⁾		566,471
	5,262	HDFC Bank Ltd. ADR		495,154
	49,173	ICICI Bank Ltd. ADR⁽¹⁾		417,479
	59,626	Infosys Ltd. ADR		606,397
	12,958	Reliance Industries Ltd. GDR⁽²⁾		445,107
	9,673	State Bank of India GDR*		357,418
	27,228	Tata Motors Ltd. ADR*⁽¹⁾		418,222

				3,679,351

		Indonesia - 6.9%
	1,205,900	Adaro Energy Tbk PT		148,497
	487,000	Astra International Tbk PT		240,207
	84,000	Bank Central Asia Tbk PT		136,134
	184,100	Bank Danamon Indonesia Tbk PT		88,952
	906,500	Bank Mandiri Persero Tbk PT		409,101
	926,100	Bank Negara Indonesia Persero Tbk PT		459,896
	1,854,000	Bank Rakyat Indonesia Persero Tbk PT		391,914
	1,584,600	Barito Pacific Tbk PT		195,662
	3,416,300	Bumi Serpong Damai Tbk PT*		264,794
	148,200	Chandra Asri Petrochemical Tbk PT		48,931
	290,700	Charoen Pokphand Indonesia Tbk PT		99,004
	20,600	Gudang Garam Tbk PT		102,368
	131,100	Indah Kiat Pulp & Paper Corp. Tbk PT		152,641
	49,100	Indocement Tunggal Prakarsa Tbk PT		60,957
	721,500	Indofood Sukses Makmur Tbk PT		285,666
	1,333,700	Kalbe Farma Tbk PT		123,511
	592,200	Matahari Department Store Tbk PT		275,206
	1,801,200	Perusahaan Gas Negara Persero Tbk PT		271,966
	96,400	Semen Indonesia Persero Tbk PT		64,206
	291,800	Surya Citra Media Tbk PT		36,716
	1,684,900	Telekomunikasi Indonesia Persero Tbk PT		411,572
	96,500	United Tractors Tbk PT		213,703

				4,481,604

		Malaysia - 8.7%
	218,400	AirAsia Group Bhd		166,762
	233,400	AMMB Holdings Bhd		232,921
	191,500	Axiata Group Bhd		211,004
	25,800	British American Tobacco Malaysia Bhd		197,747
	278,600	CIMB Group Holdings Bhd		404,588
	210,300	DiGi.Com Bhd		244,931
	19,000	Fraser & Neave Holdings Bhd		173,174
	19,400	Genting Bhd		36,611
	24,900	Genting Malaysia Bhd		30,023
	50,900	Hartalega Holdings Bhd		81,420
	34,688	Hong Leong Bank Bhd		172,497
	289,800	Inari Amertron Bhd		159,658
	117,600	IOI Corp. Bhd		129,009
	12,200	Kuala Lumpur Kepong Bhd		73,580
	768,100	Malakoff Corp. Bhd		162,399
	251,600	Malayan Banking Bhd		595,183
	133,900	Maxis Bhd		188,951
	75,700	MISC Bhd		110,847
	4,300	Nestle Malaysia Bhd		152,113

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


		26

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7% - (continued)
		Malaysia - 8.7% - (continued)
	179,500	Petronas Chemicals Group Bhd	$	405,973
	21,300	Petronas Dagangan Bhd		135,155
	22,500	Petronas Gas Bhd		102,755
	72,700	Public Bank Bhd		439,169
	303,300	SP Setia Group Bhd		197,876
	108,800	Telekom Malaysia Bhd		84,653
	120,200	Tenaga Nasional Bhd		449,025
	95,300	Top Glove Corp. Bhd		245,475
	23,700	UMW Holdings Bhd		28,748
	220,658	YTL Corp. Bhd		66,648

				5,678,895

		Mexico - 4.4%
	134,911	Alfa S.A.B. de C.V. Class A		173,588
	594,172	America Movil S.A.B. de C.V. Class L		478,216
	4,400	Becle S.A.B. de C.V.		7,109
	48,875	Coca-Cola Femsa S.A.B. de C.V. Class L		299,090
	2,100	El Puerto de Liverpool S.A.B. de C.V. Class C1		15,791
	22,428	Fomento Economico Mexicano S.A.B. de C.V.		222,058
	67,456	Grupo Bimbo S.A.B. de C.V. Class A⁽¹⁾		143,647
	1,128	Grupo Elektra S.A.B. de C.V.⁽¹⁾		51,276
	42,545	Grupo Financiero Banorte S.A.B. de C.V. Class O		308,020
	88,200	Grupo Financiero Inbursa S.A.B. de C.V.		138,767
	42,206	Grupo Mexico S.A.B. de C.V. Class B		121,567
	112,358	Kimberly-Clark de Mexico S.A.B. de C.V. Class A*		199,489
	34,998	Mexichem S.A.B. de C.V.		119,915
	190,637	Wal-Mart de Mexico S.A.B. de C.V.		578,765

				2,857,298

		Philippines - 4.3%
	142,410	Aboitiz Equity Ventures, Inc.		129,152
	11,065	Ayala Corp.		190,049
	163,600	BDO Unibank, Inc.		362,748
	1,871,100	Energy Development Corp.*		245,186
	7,897	GT Capital Holdings, Inc.		119,851
	106,720	JG Summit Holdings, Inc.		106,562
	33,330	Jollibee Foods Corp.		158,538
	1,968,900	Metro Pacific Investments Corp.		173,094
	10,440	PLDT, Inc.		260,855
	312,460	Puregold Price Club, Inc.		260,239
	224,870	Robinsons Retail Holdings, Inc.		331,707
	629,640	Semirara Mining & Power Corp.		311,149
	53,130	Universal Robina Corp.		142,093

				2,791,223

		Poland - 5.3%
	8,730	Alior Bank S.A.*		149,206
	30,175	Asseco Poland S.A.		390,152
	122,051	Bank Millennium S.A.*		306,278
	7,520	Bank Polska Kasa Opieki S.A.		216,658
	2,624	CD Projekt S.A.*		133,332
	4,175	Cyfrowy Polsat S.A.*		25,190
	20,701	Grupa Lotos S.A.		421,647
	1,798	ING Bank Slaski S.A.		89,166
	16	LPP S.A.		37,438
	304	mBank S.A.		36,914
	67,693	Orange Polska S.A.*		81,538
	82,325	PGE Polska Grupa Energetyczna S.A.*		212,619
	14,145	Polski Koncern Naftowy ORLEN S.A.		387,576
	81,399	Polskie Gornictwo Naftowe i Gazownictwo S.A.*		142,875
	16,675	Powszechna Kasa Oszczednosci Bank Polski S.A.		194,069
	28,777	Powszechny Zaklad Ubezpieczen S.A.		309,934


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7% - (continued)
		Poland - 5.3% - (continued)
	812	Santander Bank Polska S.A.	$	82,740
	516,883	Tauron Polska Energia S.A.*		248,198

				3,465,530

		Russia - 3.4%
	58,591	Gazprom PJSC ADR		292,955
	5,734	LUKOIL PJSC ADR		439,798
	17,055	Magnit PJSC GDR		242,266
	13,286	MMC Norilsk Nickel PJSC ADR		229,848
	671	Novatek PJSC GDR		123,464
	23,839	Sberbank of Russia PJSC ADR		302,279
	55,910	Surgutneftegas PJSC ADR		231,467
	4,561	Tatneft PJSC ADR		348,916

				2,210,993

		South Africa - 5.3%
	39,939	Absa Group Ltd.		428,650
	808	AngloGold Ashanti Ltd.		6,989
	3,100	Aspen Pharmacare Holdings Ltd.		37,105
	22,691	Bidvest Group Ltd.⁽¹⁾		296,640
	47,251	FirstRand Ltd.		226,618
	9,467	Mr. Price Group Ltd.		152,703
	36,312	MTN Group Ltd.		224,730
	19,948	Nedbank Group Ltd.		373,030
	238,966	Redefine Properties Ltd. REIT		169,203
	18,163	RMB Holdings Ltd.		101,588
	37,882	Sanlam Ltd.		211,772
	37,602	Sappi Ltd.		235,822
	7,427	Sasol Ltd.⁽¹⁾		287,360
	8,507	Shoprite Holdings Ltd.		115,210
	26,596	Standard Bank Group Ltd.		328,897
	2,124	Tiger Brands Ltd.		39,778
	13,441	Vodacom Group Ltd.		119,610
	29,208	Woolworths Holdings Ltd.		102,374

				3,458,079

		South Korea - 9.4%
	121	AmorePacific Group		10,177
	787	BNK Financial Group, Inc.		6,102
	1,039	CJ Corp.		126,450
	1,792	Coway Co., Ltd.		140,226
	2,767	DB Insurance Co., Ltd.		181,598
	144	E-Mart, Inc.		26,937
	4,009	Hana Financial Group, Inc.		161,011
	2,835	Hankook Tire Co., Ltd.		128,045
	3,486	Hyundai Engineering & Construction Co., Ltd.		212,130
	885	Hyundai Glovis Co., Ltd.		103,719
	779	Hyundai Mobis Co., Ltd.		160,119
	769	Hyundai Motor Co.		89,777
	9,971	Industrial Bank of Korea		137,082
	951	Kangwon Land, Inc.		24,605
	944	KB Financial Group, Inc.		46,126
	10,608	Kia Motors Corp.		335,669
	2,892	Korea Electric Power Corp.		76,520
	179	Korea Zinc Co., Ltd.		70,357
	2,190	KT&G Corp.		205,328
	476	LG Chem Ltd.		156,843
	1,882	LG Corp.		123,176
	9,707	LG Display Co., Ltd.		167,143
	3,840	LG Electronics, Inc.		245,788
	107	LG Household & Health Care Ltd.		123,085
	35,323	LG Uplus Corp.		582,746

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


		27

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7% - (continued)
		South Korea - 9.4% - (continued)
	690	Lotte Chemical Corp.	$	172,928
	141	NCSoft Corp.		56,247
	678	POSCO		180,005
	223	S-Oil Corp.		27,542
	12,467	Samsung Electronics Co., Ltd.		522,057
	482	Samsung Fire & Marine Insurance Co., Ltd.		123,406
	1,207	SK Holdings Co., Ltd.		312,291
	4,928	SK Hynix, Inc.		324,757
	1,302	SK Innovation Co., Ltd.		252,360
	1,262	SK Telecom Co., Ltd.		320,833
	11,955	Woori Bank		182,141

				6,115,326

		Taiwan - 9.8%
	31,000	ASE Technology Holding, Co., Ltd.*		75,639
	25,000	Asustek Computer, Inc.		216,160
	647,000	AU Optronics Corp.		273,353
	9,000	Catcher Technology Co., Ltd.		99,040
	280,764	Chang Hwa Commercial Bank Ltd.		173,794
	71,431	Chicony Electronics Co., Ltd.		144,579
	167,000	China Development Financial Holding Corp.		62,352
	267,794	China Life Insurance Co., Ltd.		269,259
	36,000	Chunghwa Telecom Co., Ltd.		129,696
	190,000	Compal Electronics, Inc.		117,922
	225,628	CTBC Financial Holding Co., Ltd.		169,962
	14,105	Delta Electronics, Inc.		60,517
	114,508	E.Sun Financial Holding Co., Ltd.		84,569
	66,540	Far Eastern New Century Corp.		77,800
	63,000	Far EasTone Telecommunications Co., Ltd.		150,211
	330,271	First Financial Holding Co., Ltd.		224,991
	32,301	Foxconn Technology Co., Ltd.		78,814
	57,000	Fubon Financial Holding Co., Ltd.		96,702
	92,030	Hon Hai Precision Industry Co., Ltd.*		238,718
	191,677	Hua Nan Financial Holdings Co., Ltd.		116,137
	398,000	Innolux Corp.		138,172
	208,000	Inventec Corp.		186,657
	69,245	Lite-On Technology Corp.		87,086
	11,000	MediaTek, Inc.		88,806
	171,273	Mega Financial Holding Co., Ltd.		154,260
	17,000	Nan Ya Plastics Corp.		47,215
	26,000	Novatek Microelectronics Corp.		128,582
	82,000	Pegatron Corp.		164,091
	190,000	Pou Chen Corp.		200,685
	33,000	President Chain Store Corp.		387,466
	31,000	Quanta Computer, Inc.		54,014
	138,000	Radiant Opto-Electronics Corp.		311,859
	102,480	Shanghai Commercial & Savings Bank Ltd.		120,561
	833,319	Shin Kong Financial Holding Co., Ltd.		326,144
	170,832	SinoPac Financial Holdings Co., Ltd.		62,384
	24,600	Synnex Technology International Corp.		31,381
	113,125	Taiwan Cooperative Financial Holding Co., Ltd.		68,913
	23,000	Taiwan Mobile Co., Ltd.		82,485
	15,000	Taiwan Semiconductor Manufacturing Co., Ltd.		128,959
	41,000	Teco Electric and Machinery Co., Ltd.		29,743
	130,800	Uni-President Enterprises Corp.		341,426
	260,000	United Microelectronics Corp.		137,523
	24,000	Vanguard International Semiconductor Corp.		53,450
	79,686	Wistron Corp.		51,936
	30,000	WPG Holdings Ltd.*^(3)(4)(5)		37,238
	228,757	Yuanta Financial Holding Co., Ltd.		120,623

				6,401,874


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.7% - (continued)
		Thailand - 9.2%
	60,258	Advanced Info Service plc NVDR	$	374,516
	220,000	Bangkok Dusit Medical Services plc NVDR		173,470
	3,000	Bangkok Life Assurance plc NVDR		3,015
	134,400	Bank of Ayudhya plc NVDR		166,234
	59,667	Banpu plc NVDR		35,239
	24,900	Bumrungrad Hospital plc NVDR		143,210
	216,700	Charoen Pokphand Foods plc NVDR		169,192
	55,900	CP ALL plc NVDR		119,267
	70,100	Delta Electronics Thailand plc NVDR		151,190
	96,800	Glow Energy plc NVDR		263,401
	63,800	Indorama Ventures plc NVDR		116,395
	644,400	IRPC plc NVDR		135,495
	75,500	Kasikornbank plc NVDR		504,267
	776,400	Krung Thai Bank plc NVDR		484,950
	567,500	Land & Houses plc NVDR		201,801
	48,800	MK Restaurants Group plc NVDR		109,400
	287,500	Pruksa Holding plc NVDR		188,466
	61,200	PTT Exploration & Production plc NVDR		293,321
	152,400	PTT Global Chemical plc NVDR		382,885
	305,000	PTT plc NVDR		511,634
	116,300	Ratchaburi Electricity Generating Holding plc NVDR		186,102
	96,100	Siam Commercial Bank plc NVDR		442,761
	66,400	Thai Beverage plc⁽¹⁾		33,046
	95,900	Thai Oil plc NVDR		262,435
	75,600	Thai Union Group plc NVDR		41,844
	3,401,900	TMB Bank plc NVDR		241,941
	173,200	Total Access Communication plc NVDR		251,713

				5,987,190

		Turkey - 6.4%
	121,092	Akbank T.A.S.		139,490
	140,308	Arcelik AS		323,484
	13,466	BIM Birlesik Magazalar AS		182,355
	651,444	Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		194,111
	200,577	Enka Insaat ve Sanayi AS		173,956
	191,735	Eregli Demir ve Celik Fabrikalari T.A.S.		352,045
	52,925	Haci Omer Sabanci Holding AS		67,221
	105,273	KOC Holding AS		298,962
	327,849	Petkim Petrokimya Holding AS		291,977
	63,958	Tofas Turk Otomobil Fabrikasi AS		227,627
	14,392	Tupras Turkiye Petrol Rafinerileri AS		321,510
	74,422	Turk Hava Yollari AO*		236,498
	221,681	Turkcell Iletisim Hizmetleri AS		425,848
	94,606	Turkiye Garanti Bankasi AS		121,421
	231,570	Turkiye Halk Bankasi AS		257,887
	122,837	Turkiye Is Bankasi AS Class C		90,380
	302,393	Turkiye Sise ve Cam Fabrikalari AS		293,972
	245,330	Turkiye Vakiflar Bankasi TAO Class D		154,778

				4,153,522


		Total Common Stocks (cost $60,915,856)	$	62,257,871

PREFERRED STOCKS - 3.9%
		Brazil - 2.5%
	39,059	Banco Bradesco S.A.*		280,407
	44,442	Itau Unibanco Holding S.A.		491,098
	74,448	Itausa - Investimentos Itau S.A.		188,285

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


		28

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
PREFERRED STOCKS - 3.9% - (continued)
		Brazil - 2.5% - (continued)
	28,104	Petroleo Brasileiro S.A.*	$	148,418
	49,412	Telefonica Brasil S.A.*		485,020

				1,593,228

		Chile - 0.4%
	70,723	Embotelladora Andina S.A. Class B		274,518
	264	Sociedad Quimica y Minera de Chile S.A. Class B		12,087

				286,605

		Colombia - 1.0%
	44,583	Banco Davivienda S.A., 3.17%		513,486
	15,640	Bancolombia S.A., 3.18%		164,859

				678,345


		Total Preferred Stocks (cost $2,411,370)	$	2,558,178


		Total Long-Term Investments (cost $63,327,226)	$	64,816,049


SHORT-TERM INVESTMENTS - 1.1%
		Securities Lending Collateral - 1.0%
	680,113	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽⁶⁾	$	680,113

		U.S. Treasury Bill - 0.1%
$	45,000	U.S. Treasury Bill 2.09%, 12/06/2018⁽⁷⁾⁽⁸⁾		44,824

				44,824


		Total Short-Term Investments (cost $724,941)	$	724,937



Total Investments (cost $64,052,167)	100.7	%	$	65,540,986
Other Assets and Liabilities	(0.7	)%		(460,817	)

Total Net Assets	100.0	%	$	65,080,169

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


		29

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2018

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 8 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. At September 30, 2018, the aggregate value of these securities was $682,458, which represented 1.0% of total net assets.

⁽³⁾

This security is valued in good faith at fair value as determined under policies and procedures established by and under the supervision of the Board of Trustees. At September 30, 2018, the aggregate fair value of this security was $37,238, which represented 0.1% of total net assets. This amount excludes securities that are principally traded in certain foreign markets and whose prices are adjusted pursuant to a third party pricing service methodology approved by the Board of Trustees.

⁽⁴⁾	Investment valued using significant unobservable inputs.

⁽⁵⁾

This security has been identified as illiquid. Illiquid securities are often purchased in private placement transactions, are often not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. A security may also be considered illiquid if the security lacks a readily available market or if its valuation has not changed for a certain period of time. The identification of illiquid securities is unaudited. At September 30, 2018, the aggregate value of this security was $37,238, which represented 0.1% of total net assets.

⁽⁶⁾	Current yield as of period end.

⁽⁷⁾	The rate shown represents current yield to maturity.

⁽⁸⁾	This security, or a portion of this security, has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2018
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
MSCI Emerging Market Index Future		5		12/21/2018	$	262,425	$	1,376

Total futures contracts							$	1,376

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


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Index Abbreviation:
MSCI		Morgan Stanley Capital International

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.


		30

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Brazil	$	1,306,001	$	1,306,001	$	—	$	—
Chile		3,268,632		3,268,632		—		—
China		4,323,662		4,323,662		—		—
Colombia		1,228,144		1,228,144		—		—
Hong Kong		710,318		710,318		—		—
India		3,679,351		3,679,351		—		—
Indonesia		4,481,604		4,481,604		—		—
Malaysia		5,678,895		5,678,895		—		—
Mexico		2,857,298		2,857,298		—		—
Philippines		2,791,223		2,791,223		—		—
Poland		3,465,530		3,465,530		—		—
Russia		2,210,993		2,210,993		—		—
South Africa		3,458,079		3,458,079		—		—
South Korea		6,115,326		6,115,326		—		—
Taiwan		6,401,874		6,364,636		—		37,238
Thailand		5,987,190		5,987,190		—		—
Turkey		4,153,522		4,153,522		—		—
United States		140,229		140,229		—		—
Preferred Stocks		2,558,178		2,558,178		—		—
Short-Term Investments		724,937		680,113		44,824		—
Futures Contracts⁽²⁾		1,376		1,376		—		—

Total	$	65,542,362	$	65,460,300	$	44,824	$	37,238

⁽¹⁾	For the year ended September 30, 2018, there were no transfers between Level 1 and Level 2; investments valued at $45,241 were transferred from Level 1 to Level 3 due to the unavailability of active market pricing.

⁽²⁾	Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments.

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 period ended September 30, 2018 is not presented.

Note:

For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.

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


		31

Hartford Multifactor Global Small Cap ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6%
		Australia - 4.7%
	39,485	Abacus Property Group	$	97,422
	64,507	Australian Pharmaceutical Industries Ltd.⁽¹⁾		80,513
	12,857	Automotive Holdings Group Ltd.⁽¹⁾		20,559
	3,367	BWP Trust REIT		8,137
	61,826	Cromwell Property Group REIT⁽¹⁾		47,866
	28,522	CSR Ltd.⁽¹⁾		77,802
	2,131	Downer EDI Ltd.		12,165
	10,832	Elders Ltd.		55,568
	31,306	Genworth Mortgage Insurance Australia Ltd.⁽¹⁾		55,723
	41,674	Inghams Group Ltd.⁽¹⁾		116,995
	16,589	Investa Office Fund		66,256
	2,955	JB Hi-Fi Ltd.⁽¹⁾		53,858
	18,740	Metcash Ltd.⁽¹⁾		40,678
	8,394	Mineral Resources Ltd.		96,568
	3,102	Northern Star Resources Ltd.		18,629
	16,986	Regis Resources Ltd.		45,720
	1,443	Sandfire Resources NL⁽¹⁾		7,757
	5,914	Shopping Centres Australasia Property Group REIT		10,270
	36,402	St. Barbara Ltd.		91,922
	26,051	Viva Energy REIT		41,468

				1,045,876

		Belgium - 0.6%
	24,665	AGFA-Gevaert N.V.*		113,276
	299	Tessenderlo Group S.A.*		11,113

				124,389

		Bermuda - 0.2%
	861	Argo Group International Holdings Ltd.		54,286

		Brazil - 1.4%
	3,100	Cia de Transmissao de Energia Eletrica Paulista		45,380
	838	Cia Hering		3,729
	11,533	EDP - Energias do Brasil S.A.		36,936
	2,552	Grendene S.A.		4,301
	7,500	IRB Brasil Resseguros S.A.		124,795
	23,165	MRV Engenharia e Participacoes S.A.		71,289
	5,684	Odontoprev S.A.		18,232
	1,700	Unipar Carbocloro S.A.		17,351

				322,013

		Canada - 5.2%
	1,694	Aecon Group, Inc.		21,270
	3,319	Aritzia, Inc.*		43,933
	2,049	BRP, Inc.		96,046
	2,283	Canfor Corp.*		42,530
	3,253	Canfor Pulp Products, Inc.		61,557
	7,473	Cascades, Inc.		72,903
	2,171	Celestica, Inc.*		23,497
	998	Colliers International Group, Inc.		77,247
	526	Domtar Corp.		27,441
	455	FirstService Corp.		38,414
	6,097	Intertape Polymer Group, Inc.⁽¹⁾		90,422
	9,491	Just Energy Group, Inc.⁽¹⁾		29,444
	3,762	Killam Apartment Real Estate Investment Trust REIT		46,945
	6,148	Mercer International, Inc.		103,286
	2,400	NFI Group, Inc.		93,338
	2,939	North West Co., Inc.⁽¹⁾		63,937
	387	Parkland Fuel Corp.		12,997


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		Canada - 5.2% - (continued)
	2,541	Spin Master Corp.*⁽²⁾	$	100,689
	4,633	Transcontinental, Inc. Class A⁽¹⁾		82,079
	800	Uni-Select, Inc.⁽¹⁾		13,610
	12,325	Western Forest Products, Inc.		20,119

				1,161,704

		China - 8.6%
	45,522	BAIC Motor Corp. Ltd. Class H⁽²⁾		36,476
	131,435	Chaowei Power Holdings Ltd.		57,782
	42,753	China BlueChemical Ltd. Class H		17,320
	6,000	China Eastern Airlines Corp. Ltd. Class H		3,849
	25,531	China Lesso Group Holdings Ltd.		14,487
	89,025	China Oriental Group Co., Ltd.		71,904
	98,000	China SCE Group Holdings Ltd.		37,823
	103,122	CSC Financial Co., Ltd. Class H*⁽²⁾		59,963
	37,000	Dongyue Group Ltd.		25,534
	78,242	Great Wall Motor Co., Ltd. Class H		49,896
	126,459	Guangshen Railway Co., Ltd. Class H		56,564
	42,766	Guangzhou R&F Properties Co., Ltd. Class H		78,592
	276,696	Jingrui Holdings Ltd.		88,402
	54,600	JNBY Design Ltd.		96,851
	7,000	KWG Group Holdings Ltd.*		6,405
	29,900	Legend Holdings Corp. Class H⁽²⁾		91,707
	160,646	Metallurgical Corp. of China Ltd. Class H		45,166
	43,000	Powerlong Real Estate Holdings Ltd.		18,244
	96,814	Red Star Macalline Group Corp. Ltd. Class H⁽²⁾		92,918
	108,000	Shandong Weigao Group Medical Polymer Co., Ltd. Class H		106,690
	89,082	Shenzhen Expressway Co., Ltd. Class H		89,482
	14,000	Sinopec Shanghai Petrochemical Co., Ltd. Class H		8,552
	65,215	Sinotrans Ltd. Class H		26,586
	108,219	Tianneng Power International Ltd.		95,566
	87,303	Times China Holdings, Ltd.		93,273
	35,402	TravelSky Technology Ltd. Class H		92,069
	101,706	Weichai Power Co., Ltd. Class H		126,078
	149,314	Xtep International Holdings Ltd.		86,441
	46,000	Yadea Group Holdings Ltd.⁽²⁾		15,931
	25,637	Yangtze Optical Fibre and Cable Joint Stock Ltd. Co. Class H*⁽²⁾		79,779
	15,600	YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H⁽²⁾		64,893
	170,705	Yuzhou Properties Co., Ltd.		69,374

				1,904,597

		Denmark - 0.7%
	1,350	Bakkafrost P/F		82,293
	134	Dfds A/S		6,637
	8,311	Spar Nord Bank A/S		77,151

				166,081

		Finland - 0.0%
	1,247	Finnair Oyj		10,385

		France - 0.8%
	211	Fnac Darty S.A.*		16,653
	1,649	Gaztransport Et Technigaz S.A.		125,070
	1,332	Neopost S.A.		40,503

				182,226

		Georgia - 0.2%
	2,197	Bank of Georgia Group plc		49,032

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


		32

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		Germany - 0.3%
	248	Cewe Stiftung & Co. KGaA	$	20,654
	7,611	Heidelberger Druckmaschinen AG*		20,350
	43,884	Sirius Real Estate Ltd.		35,595

				76,599

		Hong Kong - 2.1%
	192,000	Giordano International Ltd.		96,431
	66,000	HKBN Ltd.		113,192
	16,000	Huabao International Holdings Ltd.		8,588
	9,000	K Wah International Holdings Ltd.		4,267
	184,000	Nissin Foods Co., Ltd.		86,064
	35,000	Road King Infrastructure Ltd.		60,116
	76,000	Sa Sa International Holdings Ltd.		42,153
	63,120	Shenzhen Investment Ltd.		20,166
	41,515	Yuexiu Real Estate Investment Trust		27,217

				458,194

		Ireland - 0.1%
	10,343	Green REIT plc		18,140

		Israel - 1.2%
	64,080	Oil Refineries Ltd.		31,933
	517	Paz Oil Co., Ltd.		81,114
	6,445	Phoenix Holdings Ltd.		38,959
	4,374	Plus500 Ltd.		76,033
	1,993	Tower Semiconductor Ltd.*		43,409

				271,448

		Italy - 1.7%
	10,887	Banca Farmafactoring S.p.A.⁽²⁾		65,250
	683	El.En. S.p.A.		16,802
	21,976	Enav S.p.A.⁽²⁾		107,154
	50,193	Juventus Football Club S.p.A.*		85,642
	43,126	Saras S.p.A		92,317

				367,165

		Japan - 14.2%
	415	Adastria Co., Ltd.		5,546
	667	Alpine Electronics, Inc.⁽¹⁾		12,537
	2,681	Amano Corp.⁽¹⁾		56,035
	1,732	AOKI Holdings, Inc.⁽¹⁾		23,681
	3,305	Arcs Co., Ltd.		89,619
	400	Canon Electronics, Inc.		8,402
	3,476	CKD Corp.⁽¹⁾		44,619
	157	cocokara fine, Inc.		10,076
	456	Daishi Bank Ltd.*⁽³⁾		19,973
	1,000	Daiwabo Holdings Co., Ltd.		64,621
	3,549	Doutor Nichires Holdings Co., Ltd.		65,928
	1,600	DTS Corp.		63,741
	1,758	Dydo Group Holdings, Inc.⁽¹⁾		88,066
	100	Enplas Corp.		2,870
	3,867	Fuji Corp.		61,996
	700	Fujitsu General Ltd.		11,752
	5,921	Geo Holdings Corp.		89,609
	10,700	Hazama Ando Corp.⁽¹⁾		81,674
	1,667	Heiwado Co., Ltd.		44,762
	2,147	Inaba Denki Sangyo Co., Ltd.		94,889
	5,300	Itochu Enex Co., Ltd.		53,614
	800	Iwatani Corp.		28,490
	200	JCU Corp.		4,826
	4,300	Kaga Electronics Co., Ltd.⁽¹⁾		89,456
	321	Kanematsu Corp.		4,833
	2,100	KH Neochem Co., Ltd.		81,811


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		Japan - 14.2% - (continued)
	1,768	Kokuyo Co., Ltd.	$	31,847
	2,881	KYORIN Holdings, Inc.⁽¹⁾		59,505
	1,769	Kyowa Exeo Corp.⁽¹⁾		51,784
	1,637	Kyudenko Corp.		64,999
	3,900	Leopalace21 Corp.		21,734
	2,678	Maeda Road Construction Co., Ltd.		54,487
	6,700	Marvelous, Inc.		54,917
	3,968	Maxell Holdings Ltd.		62,183
	7,182	MCJ Co., Ltd.		63,293
	599	Megmilk Snow Brand Co., Ltd.		15,394
	5,160	Ministop Co., Ltd.		99,125
	3,123	Mirait Holdings Corp.⁽¹⁾		53,835
	1,000	Mitsubishi Research Institute, Inc.		38,561
	441	Mochida Pharmaceutical Co., Ltd.		36,457
	2,569	NEC Networks & System Integration Corp.		59,574
	4,729	NET One Systems Co., Ltd.⁽¹⁾		113,578
	1,745	Nichiha Corp.⁽¹⁾		46,166
	873	Nihon Unisys Ltd.		22,535
	4,300	Nishi-Nippon Financial Holdings, Inc.		49,744
	461	Nojima Corp.		10,102
	2,000	Oki Electric Industry Co., Ltd.		26,289
	1,169	PAL GROUP Holdings Co., Ltd.		29,393
	1,461	Paramount Bed Holdings Co., Ltd.⁽¹⁾		72,031
	4,478	Plenus Co., Ltd.⁽¹⁾		73,014
	400	Prima Meat Packers Ltd.		9,441
	500	Senko Group Holdings Co., Ltd.		4,164
	200	Shindengen Electric Manufacturing Co., Ltd.		9,561
	1,800	Solasto Corp.		23,438
	939	St Marc Holdings Co., Ltd.		21,924
	634	Sumitomo Bakelite Co., Ltd.		28,514
	700	Sushiro Global Holdings Ltd.		41,475
	4,019	T-Gaia Corp.		104,876
	374	Taikisha Ltd.		12,216
	3,608	Takuma Co., Ltd.⁽¹⁾		47,933
	613	Toho Holdings Co., Ltd.⁽¹⁾		16,271
	7,100	TOKAI Holdings Corp.		71,259
	818	Token Corp.		53,652
	200	Tokyo Seimitsu Co., Ltd.		5,198
	2,900	Tokyu Construction Co., Ltd.		28,008
	3,230	Toppan Forms Co., Ltd.⁽¹⁾		31,053
	100	Towa Pharmaceutical Co., Ltd.		7,413
	10,200	Toyo Construction Co., Ltd.		41,578
	396	Unipres Corp.		7,701
	7,100	United Super Markets Holdings, Inc.		88,387
	1,528	Valor Holdings Co., Ltd.⁽¹⁾		35,353
	1,700	Wakita & Co., Ltd.		21,043
	3,700	Yamazen Corp.		44,139

				3,168,570

		Liechtenstein - 0.5%
	650	VP Bank AG		101,812

		Luxembourg - 0.2%
	1,101	Altisource Portfolio Solutions S.A.*⁽¹⁾		35,485

		Netherlands - 0.5%
	3,946	ForFarmers N.V.		44,687
	6,955	PostNL N.V.⁽¹⁾		24,881
	184	Sligro Food Group N.V.		7,865
	527	TKH Group N.V.		29,687

				107,120

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


		33

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		New Zealand - 0.4%
	24,548	Chorus Ltd.	$	79,092

		Norway - 0.5%
	9,469	Veidekke ASA		103,373

		Portugal - 0.0%
	1,417	REN - Redes Energeticas Nacionais SGPS S.A.		3,999

		Puerto Rico - 0.4%
	4,700	Triple-S Management Corp. Class B*		88,783

		Singapore - 1.1%
	1,273	China Yuchai International Ltd.		21,985
	10,017	Frasers Centrepoint Trust REIT		16,642
	2,762	Kulicke & Soffa Industries, Inc.		65,846
	67,900	M1 Ltd.⁽¹⁾		104,855
	37,400	Yanlord Land Group Ltd.		40,511

				249,839

		South Africa - 0.7%
	2,689	Mondi Ltd.		73,822
	13,959	Reunert Ltd.		74,968

				148,790

		South Korea - 5.6%
	519	AK Holdings, Inc.		28,634
	3,974	Cheil Worldwide, Inc.		77,563
	125	CJ ENM Co., Ltd.		27,947
	208	Com2uSCorp		27,490
	805	Daesang Corp.		19,050
	4,156	DGB Financial Group, Inc.		38,029
	1,221	Dongbu HiTek Co., Ltd.		17,392
	592	GS Home Shopping, Inc.		108,073
	764	GS Retail Co., Ltd.		26,517
	149	Hanwha Corp.		4,406
	1,586	Harim Holdings Co., Ltd.		15,084
	205	Hyundai Home Shopping Network Corp.		20,514
	3,128	Hyundai Marine & Fire Insurance Co., Ltd.		118,296
	4,587	JB Financial Group Co., Ltd.		24,935
	2,164	Jeju Air Co., Ltd.		73,158
	203	Korea Petrochemical Ind Co., Ltd.		33,765
	8,684	Korean Reinsurance Co.		81,810
	4,258	LF Corp.		99,996
	868	LG Hausys Ltd.		55,011
	1,219	LS Industrial Systems Co., Ltd.		81,981
	244	Mando Corp.		7,589
	5,396	Meritz Fire & Marine Insurance Co., Ltd.		94,129
	105	NongShim Co., Ltd.		23,049
	525	S&T Motiv Co., Ltd.		14,270
	275	S-1 Corp.		22,659
	266	Samsung Card Co., Ltd.		8,825
	1,502	Silicon Works Co., Ltd.		54,907
	627	Soulbrain Co., Ltd.		33,971

				1,239,050

		Spain - 0.3%
	867	Lar Espana Real Estate Socimi S.A. REIT		8,831
	1,991	Tecnicas Reunidas S.A.⁽¹⁾		61,306

				70,137

		Sweden - 0.8%
	5,637	Bilia AB Class A		45,986
	8,144	Nobina AB⁽²⁾		58,242
	29,459	SAS AB*		71,153

				175,381


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		Switzerland - 1.3%
	161	Autoneum Holding AG⁽¹⁾	$	32,635
	5	dormakaba Holding AG*⁽¹⁾		3,785
	561	Galenica AG*⁽²⁾		32,105
	669	Implenia AG		42,566
	29	Schweiter Technologies AG		35,270
	18	Schweizerische Nationalbank		103,194
	83	Valiant Holding AG		9,449
	142	Valora Holding AG*		38,306

				297,310

		Taiwan - 2.8%
	11,211	Accton Technology Corp.		31,210
	8,000	Cleanaway Co., Ltd.		45,721
	18,000	Coretronic Corp.		31,717
	19,496	Elite Material Co., Ltd.		54,913
	9,199	Everlight Electronics Co., Ltd.		9,400
	2,208	FLEXium Interconnect, Inc.		6,263
	44,563	Gigabyte Technology Co., Ltd.		70,348
	128,000	HannStar Display Corp.		31,567
	31,000	Micro-Star International Co., Ltd.		83,762
	17,469	Powertech Technology, Inc.		47,659
	36,637	Primax Electronics Ltd.		58,616
	18,548	Realtek Semiconductor Corp.		82,616
	10,871	Tripod Technology Corp.		29,658
	5,562	Wistron NeWeb Corp.		13,498
	13,083	WT Microelectronics Co., Ltd.		18,275

				615,223

		Thailand - 0.4%
	2,153	Fabrinet*		99,598

		United Kingdom - 4.1%
	9,997	Biffa plc⁽²⁾		32,852
	775	Big Yellow Group plc REIT		9,278
	24,381	Charter Court Financial Services Group plc⁽²⁾		106,446
	32,223	Coats Group plc		34,625
	8,537	Dart Group plc		103,812
	14,700	Draper Esprit plc*⁽¹⁾		115,017
	2,186	Go-Ahead Group plc		45,810
	5,547	Greggs plc		76,314
	1,068	Halfords Group plc		4,407
	35,420	Hansteen Holdings plc REIT		44,804
	36,665	Just Group plc		42,267
	7,504	Moneysupermarket.com Group plc		27,292
	17,817	OneSavings Bank plc		94,377
	5,385	Safestore Holdings plc REIT		36,586
	6,394	Sports Direct International plc*⁽¹⁾		28,450
	9,742	UNITE Group plc		113,447

				915,784

		United States - 37.0%
	1,829	Aaron’s, Inc.		99,607
	2,123	Abercrombie & Fitch Co. Class A		44,838
	480	ACCO Brands Corp.		5,424
	310	Acushnet Holdings Corp.		8,503
	870	Amedisys, Inc.*		108,715
	846	American National Insurance Co.		109,379
	167	American Woodmark Corp.*		13,101
	3,814	Amkor Technology, Inc.*		28,185
	1,871	AMN Healthcare Services, Inc.*		102,344
	1,123	ANGI Homeservices, Inc. Class A*		26,368
	1,373	Anika Therapeutics, Inc.*		57,913
	4,059	Apollo Medical Holdings, Inc.*⁽¹⁾		89,582

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


		34

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		United States - 37.0% - (continued)
	1,144	Arch Coal, Inc. Class A⁽¹⁾	$	102,274
	1,390	Argan, Inc.		59,770
	56	Atrion Corp.		38,909
	4,889	Avaya Holdings Corp.*		108,242
	1,283	Banc of California, Inc.⁽¹⁾		24,249
	1,380	Big Lots, Inc.		57,670
	1,165	BioTelemetry, Inc.*		75,084
	273	Blackstone Mortgage Trust, Inc. Class A REIT⁽¹⁾		9,148
	2,453	Bluegreen Vacations Corp.⁽¹⁾		43,884
	1,814	Boise Cascade Co.		66,755
	136	Boston Beer Co., Inc. Class A*⁽¹⁾		39,100
	274	Briggs & Stratton Corp.		5,269
	2,883	Buckle, Inc.⁽¹⁾		66,453
	2,395	Byline Bancorp, Inc.*⁽¹⁾		54,366
	583	Cambrex Corp.*		39,877
	240	Cars.com, Inc.*		6,626
	49	Chesapeake Utilities Corp.		4,111
	1,253	Chico’s FAS, Inc.		10,864
	758	Children’s Place, Inc.⁽¹⁾		96,872
	163	Coca-Cola Bottling Co. Consolidated⁽¹⁾		29,712
	387	Compass Minerals International, Inc.⁽¹⁾		26,006
	425	CONMED Corp.		33,669
	2,499	CONSOL Energy, Inc.*		101,984
	1,854	Convergys Corp.		44,014
	792	Cooper-Standard Holdings, Inc.*		95,024
	1,836	Corvel Corp.*		110,619
	969	CSG Systems International, Inc.		38,896
	3,509	Curo Group Holdings Corp.*		106,077
	2,693	CVR Energy, Inc.		108,312
	2,327	Dean Foods Co.⁽¹⁾		16,522
	750	Dolby Laboratories, Inc. Class A		52,477
	224	Douglas Dynamics, Inc.		9,834
	962	DSW, Inc. Class A		32,593
	1,532	Eagle Pharmaceuticals, Inc.*⁽¹⁾		106,214
	790	EchoStar Corp. Class A*		36,632
	1,784	Emergent BioSolutions, Inc.*		117,441
	1,400	Employers Holdings, Inc.		63,420
	1,938	Ensign Group, Inc.		73,489
	1,059	ePlus, Inc.*		98,169
	1,922	Express, Inc.*		21,257
	149	Farmer Brothers Co.*		3,934
	1,143	FB Financial Corp.		44,783
	982	FBL Financial Group, Inc. Class A		73,895
	2,338	First Interstate BancSystem, Inc. Class A		104,742
	7,031	Five Point Holdings LLC Class A*⁽¹⁾		66,162
	7,682	Foundation Building Materials, Inc.*		95,795
	1,390	Genesco, Inc.*		65,469
	2,818	Geo Group, Inc. REIT		70,901
	796	Getty Realty Corp. REIT		22,734
	2,038	Globus Medical, Inc. Class A*		115,677
	286	GMS, Inc.*		6,635
	351	Greenbrier Cos., Inc.		21,095
	623	Greif, Inc. Class A		33,430
	786	Guess?, Inc.		17,764
	1,981	H&E Equipment Services, Inc.		74,842
	2,262	Hawaiian Holdings, Inc.		90,706
	2,357	Heritage Financial Corp.⁽¹⁾		82,849
	1,082	Horace Mann Educators Corp.		48,582
	109	Hub Group, Inc. Class A*		4,970
	70	ICF International, Inc.		5,282
	471	Ichor Holdings Ltd.*⁽¹⁾		9,618
	154	II-VI, Inc.*⁽¹⁾		7,284


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		United States - 37.0% - (continued)
	1,470	Ingles Markets, Inc. Class A	$	50,347
	1,426	Innospec, Inc.		109,445
	4,507	Inovalon Holdings, Inc. Class A*⁽¹⁾		45,295
	1,982	Insight Enterprises, Inc.*		107,206
	894	Insperity, Inc.		105,447
	318	John B Sanfilippo & Son, Inc.		22,699
	566	Kaman Corp.		37,797
	225	Kelly Services, Inc. Class A		5,407
	1,852	KEMET Corp.*		34,355
	1,085	LHC Group, Inc.*		111,744
	1,523	LifePoint Health, Inc.*		98,081
	822	LSC Communications, Inc.		9,091
	3,791	Luminex Corp.		114,905
	1,077	Magellan Health, Inc.*		77,598
	2,458	Mammoth Energy Services, Inc.		71,528
	732	ManTech International Corp. Class A		46,336
	2,381	Marcus & Millichap, Inc. REIT*		82,645
	2,081	Match Group, Inc.*⁽¹⁾		120,511
	67	Meredith Corp.⁽¹⁾		3,420
	2,580	Meridian Bioscience, Inc.		38,442
	2,377	Meritor, Inc.*		46,019
	1,967	MFA Financial, Inc. REIT		14,457
	72	MicroStrategy, Inc. Class A*		10,125
	116	MSG Networks, Inc. Class A*		2,993
	2,159	Myriad Genetics, Inc.*		99,314
	801	National Presto Industries, Inc.		103,850
	306	National Western Life Group, Inc. Class A		97,675
	105	Neenah, Inc.		9,062
	1,563	Nexeo Solutions, Inc.*⁽¹⁾		19,147
	4,718	NextGen Healthcare, Inc.*		94,737
	106	Northwest Natural Holding Co.		7,091
	292	NorthWestern Corp.		17,129
	296	NuVasive, Inc.*		21,010
	916	Oritani Financial Corp.		14,244
	2,372	Owens & Minor, Inc.⁽¹⁾		39,185
	2,780	Par Pacific Holdings, Inc.*		56,712
	1,410	PennyMac Financial Services, Inc. Class A		29,469
	1,951	Philbro Animal Health Corp. Class A*		83,698
	1,230	Photronics, Inc.*		12,116
	2,316	ProPetro Holding Corp.*⁽¹⁾		38,191
	2,285	Renewable Energy Group, Inc.*⁽¹⁾		65,808
	1,156	REX American Resources Corp.*		87,336
	1,152	RMR Group, Inc. REIT		106,906
	111	Safety Insurance Group, Inc.		9,946
	710	Sanderson Farms, Inc.⁽¹⁾		73,393
	1,992	Schneider National, Inc. Class B		49,760
	147	Scholastic Corp.		6,863
	1,974	Schweitzer-Mauduit International, Inc.		75,624
	1,004	Select Income REIT		22,028
	542	Select Medical Holdings Corp.*		9,973
	1,544	Selective Insurance Group, Inc.		98,044
	868	Sleep Number Corp.*		31,925
	1,628	SMART Global Holdings, Inc.*⁽¹⁾		46,789
	3,551	Steelcase, Inc. Class A		65,693
	855	Stepan Co.		74,394
	75	Sturm Ruger & Co., Inc.		5,179
	3,001	Summit Hotel Properties, Inc. REIT		40,604
	1,399	Sunstone Hotel Investors, Inc. REIT		22,888
	530	Supernus Pharmaceuticals, Inc.*		26,686
	2,877	Sykes Enterprises, Inc.*		87,720
	2,402	Syntel, Inc.*		98,434
	3,190	TPG RE Finance Trust, Inc. REIT		63,864

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


		35

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.6% - (continued)
		United States - 37.0% - (continued)
	1,607	TriCo Bancshares	$	62,062
	457	Trinseo S.A.		35,783
	9,937	TrustCo Bank Corp.		84,464
	1,227	TTEC Holdings, Inc.		31,779
	220	TTM Technologies, Inc.*		3,500
	341	U.S. Physical Therapy, Inc.		40,443
	1,476	Ultra Clean Holdings, Inc.*⁽¹⁾		18,524
	49	UniFirst Corp.		8,509
	2,026	United States Cellular Corp.*		90,724
	66	Unitil Corp.		3,359
	873	Universal Corp.⁽¹⁾		56,745
	87	USANA Health Sciences, Inc.*		10,488
	2,996	Varex Imaging Corp.*		85,865
	1,301	Verso Corp. Class A*		43,805
	384	Viad Corp.		22,752
	5,031	Virtu Financial, Inc. Class A⁽¹⁾		102,884
	318	Vishay Intertechnology, Inc.		6,471
	2,861	Vonage Holdings Corp.*		40,512
	1,086	Walker & Dunlop, Inc.		57,428
	4,534	Warrior Met Coal, Inc.		122,599
	878	Weis Markets, Inc.⁽¹⁾		38,105

				8,238,173


		Total Common Stocks (cost $19,443,539)	$	21,949,654


PREFERRED STOCKS - 0.8%
		Germany - 0.8%
	2,341	Jungheinrich AG, 1.38%	$	89,185
	6,688	Schaeffler AG, 4.39%		85,527

				174,712


		Total Preferred Stocks (cost $188,039)	$	174,712


		Total Long-Term Investments (cost $19,631,578)	$	22,124,366


SHORT-TERM INVESTMENTS - 3.8%
		Securities Lending Collateral - 3.6%
	799,606	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽⁴⁾	$	799,606


		U.S. Treasury Bill - 0.2%
$	40,000	U.S. Treasury Bill 2.09%, 12/06/2018⁽⁵⁾⁽⁶⁾		39,844

				39,844


		Total Short-Term Investments (cost $839,453)	$	839,450



Total Investments (cost $20,471,031)	103.2	%	$	22,963,816
Other Assets and Liabilities	(3.2	)%		(720,709	)

Total Net Assets	100.0	%	$	22,243,107

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


		36

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2018

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 8 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. At September 30, 2018, the aggregate value of these securities was $944,405, which represented 4.2% of total net assets.

⁽³⁾	Investment valued using significant unobservable inputs.

⁽⁴⁾	Current yield as of period end.

⁽⁵⁾	The rate shown represents current yield to maturity.

⁽⁶⁾	This security, or a portion of this security, has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2018
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
E-Mini Russell 2000		1		12/21/2018	$	85,040	$	(854	)

Total futures contracts							$	(854	)

^†	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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total			Level 1⁽¹⁾			Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	1,045,876		$	1,045,876		$	—	$	—
Belgium		124,389			124,389			—		—
Bermuda		54,286			54,286			—		—
Brazil		322,013			322,013			—		—
Canada		1,161,704			1,161,704			—		—
China		1,904,597			1,904,597			—		—
Denmark		166,081			166,081			—		—
Finland		10,385			10,385			—		—
France		182,226			182,226			—		—
Georgia		49,032			49,032			—		—
Germany		76,599			76,599			—		—
Hong Kong		458,194			458,194			—		—
Ireland		18,140			18,140			—		—
Israel		271,448			271,448			—		—
Italy		367,165			367,165			—		—
Japan		3,168,570			3,148,597			—		19,973
Liechtenstein		101,812			101,812			—		—
Luxembourg		35,485			35,485			—		—
Netherlands		107,120			107,120			—		—
New Zealand		79,092			79,092			—		—
Norway		103,373			103,373			—		—
Portugal		3,999			3,999			—		—
Puerto Rico		88,783			88,783			—		—
Singapore		249,839			249,839			—		—
South Africa		148,790			148,790			—		—
South Korea		1,239,050			1,239,050			—		—
Spain		70,137			70,137			—		—
Sweden		175,381			175,381			—		—
Switzerland		297,310			297,310			—		—
Taiwan		615,223			615,223			—		—
Thailand		99,598			99,598			—		—
United Kingdom		915,784			915,784			—		—
United States		8,238,173			8,238,173			—		—
Preferred Stocks		174,712			174,712			—		—
Short-Term Investments		839,450			799,606			39,844		—

Total	$	22,963,816		$	22,903,999		$	39,844	$	19,973

Liabilities
Futures Contracts⁽²⁾	$	(854	)	$	(854	)	$	—	$	—

Total	$	(854	)	$	(854	)	$	—	$	—

⁽¹⁾

For the year ended September 30, 2018, investments valued at $87,562 were transferred from Level 3 to Level 1 due to the expiration of trading restrictions, investments valued at $16,795 were transferred from Level 1 to Level 3 due to the unavailability of active market pricing, and there were no transfers in and out of Level 2.

⁽²⁾	Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments.

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, 2018 is not presented.

Note:

For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.

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


		38

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4%
		Australia - 4.6%
	3,115	Adelaide Brighton Ltd.	$	13,929
	442	AGL Energy Ltd.		6,236
	2,309	Amcor Ltd.		22,855
	987	Aristocrat Leisure Ltd.		20,310
	1,176	Australia & New Zealand Banking Group Ltd.		23,978
	832	Caltex Australia Ltd.		18,000
	76	Cochlear Ltd.		11,033
	165	Commonwealth Bank of Australia		8,525
	212	CSL Ltd.		30,849
	4,923	DuluxGroup Ltd.		27,321
	1,349	GPT Group REIT		5,085
	1,254	National Australia Bank Ltd.		25,233
	1,168	Sonic Healthcare Ltd.		21,052
	199	Stockland REIT		597
	708	Tabcorp Holdings Ltd.⁽¹⁾		2,495
	154	Wesfarmers Ltd.		5,555
	555	Westpac Banking Corp.⁽¹⁾		11,216

				254,269

		Belgium - 0.0%
	12	Cofinimmo S.A. REIT		1,497

		Brazil - 0.7%
	2,009	Ambev S.A.		9,226
	1,500	Fibria Celulose S.A.		28,366

				37,592

		Canada - 9.5%
	205	Alimentation Couche-Tard, Inc. Class B		10,247
	12	AltaGas Ltd.⁽¹⁾		191
	259	Bank of Montreal		21,348
	187	Bank of Nova Scotia		11,138
	815	BCE, Inc.		32,995
	1,510	CAE, Inc.		30,630
	200	Canadian Imperial Bank of Commerce⁽¹⁾		18,727
	303	Canadian National Railway Co.		27,168
	216	Canadian Tire Corp. Ltd. Class A		25,290
	394	CCL Industries, Inc. Class B⁽¹⁾		17,746
	65	CGI Group, Inc. Class A*		4,188
	762	Dollarama, Inc.		23,987
	665	Enbridge, Inc.⁽¹⁾		21,443
	71	George Weston Ltd.		5,370
	128	Imperial Oil Ltd.		4,139
	27	Keyera Corp.		723
	48	Loblaw Cos. Ltd.		2,464
	24	Onex Corp.		1,640
	1,020	Parkland Fuel Corp.		34,255
	137	Pembina Pipeline Corp.		4,652
	135	Quebecor, Inc. Class B		2,705
	1,030	RioCan Real Estate Investment Trust REIT		19,666
	62	Ritchie Bros Auctioneers, Inc.		2,236
	495	Rogers Communications, Inc. Class B		25,439
	265	Royal Bank of Canada		21,227
	303	Shaw Communications, Inc. Class B		5,900
	874	Suncor Energy, Inc.		33,794
	776	TELUS Corp.		28,582
	191	Thomson Reuters Corp.		8,725
	316	Toronto-Dominion Bank		19,189
	607	TransCanada Corp.⁽¹⁾		24,541
	500	WSP Global, Inc.		27,344

				517,689


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Chile - 0.2%
	4,310	Quinenco S.A.	$	13,068

		China - 2.6%
	500	AAC Technologies Holdings, Inc.		5,195
	6,000	China Construction Bank Corp. Class H		5,245
	1,500	China Merchants Bank Co., Ltd. Class H		6,096
	6,000	CSPC Pharmaceutical Group Ltd.		12,744
	6,000	Fuyao Glass Industry Group Co., Ltd. Class H⁽²⁾		21,815
	9,000	Golden Eagle Retail Group Ltd.		9,788
	3,000	Shenzhou International Group Holdings Ltd.		38,492
	500	Tencent Holdings Ltd.		20,652
	28,000	Zall Smart Commerce Group Ltd.		21,076

				141,103

		Denmark - 2.0%
	47	Bakkafrost P/F		2,865
	266	Danske Bank A/S		6,989
	334	DSV A/S		30,381
	470	GN Store Nord A/S		22,906
	356	H. Lundbeck A/S		21,997
	540	Novo Nordisk A/S Class B		25,434

				110,572

		Finland - 0.2%
	195	Kone Oyj Class B		10,423

		France - 4.4%
	232	Air Liquide S.A.		30,531
	8	Essilor International Cie Generale d’Optique S.A.		1,184
	46	Hermes International		30,487
	74	L’Oreal S.A.		17,852
	99	LVMH Moet Hennessy Louis Vuitton SE		35,025
	549	Orange S.A.		8,758
	259	Safran S.A.		36,310
	316	Sanofi		28,100
	101	Sodexo S.A.		10,715
	41	Thales S.A.		5,827
	495	TOTAL S.A.		32,105
	34	Vinci S.A.		3,239

				240,133

		Germany - 3.1%
	120	adidas AG		29,395
	77	Allianz SE		17,172
	327	BASF SE		29,074
	1,648	Deutsche Telekom AG		26,578
	148	Fresenius Medical Care AG & Co. KGaA		15,227
	13	Merck KGaA		1,344
	265	SAP SE		32,627
	115	Siemens AG		14,738
	33	United Internet AG		1,562

				167,717

		Hong Kong - 5.8%
	2,500	China Mobile Ltd.		24,649
	12,000	CITIC Ltd.		17,881
	2,000	CK Hutchison Holdings Ltd.		23,055
	3,000	CK Infrastructure Holdings Ltd.		23,770
	2,500	CLP Holdings Ltd.		29,282
	1,300	Dairy Farm International Holdings Ltd.		11,700
	44,000	Goldin Financial Holdings Ltd.*		16,251
	8,000	Guangdong Investment Ltd.		14,211
	600	Hang Seng Bank Ltd.		16,302

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Hong Kong - 5.8% - (continued)
	10,560	Hong Kong & China Gas Co., Ltd.	$	20,972
	100	Jardine Strategic Holdings Ltd.		3,630
	3,000	Link REIT		29,540
	5,000	MTR Corp. Ltd.		26,326
	13,000	PCCW Ltd.		7,576
	2,000	Swire Pacific Ltd. Class A		21,917
	600	Swire Properties Ltd.		2,274
	1,400	VTech Holdings Ltd.		16,174
	10,000	Zhongyu Gas Holdings Ltd.		9,022

				314,532

		India - 2.3%
	112	HDFC Bank Ltd. ADR		10,539
	3,312	Infosys Ltd. ADR		33,683
	385	Mahindra & Mahindra Ltd. GDR		4,504
	554	Reliance Industries Ltd. GDR⁽²⁾		19,030
	4,762	Wipro Ltd. ADR⁽¹⁾		24,810
	629	WNS Holdings Ltd. ADR*		31,922

				124,488

		Indonesia - 2.5%
	54,100	Astra International Tbk PT		26,684
	500	Bank Central Asia Tbk PT		810
	148,300	Bumi Resources Tbk PT*		2,150
	70,285	Chandra Asri Petrochemical Tbk PT		23,206
	1,766,600	Hanson International Tbk PT*		15,412
	14,600	Indofood CBP Sukses Makmur Tbk PT		8,646
	250,000	Kresna Graha Investama Tbk PT*		11,744
	43,000	Telekomunikasi Indonesia Persero Tbk PT		10,504
	736,800	Trada Alam Minera Tbk PT*		11,075
	8,700	Unilever Indonesia Tbk PT		27,455

				137,686

		Ireland - 1.2%
	810	CRH plc		26,512
	1,242	Experian plc		31,915
	104	Paddy Power Betfair plc		8,879

				67,306

		Israel - 2.2%
	315	Alony Hetz Properties & Investments Ltd.		3,312
	180	Azrieli Group Ltd.		9,247
	104	Elbit Systems Ltd.		13,191
	269	Nice Ltd.*		30,442
	124	Paz Oil Co., Ltd.		19,455
	857	Radware Ltd.*		22,685
	216	Taro Pharmaceutical Industries Ltd.*		21,233

				119,565

		Italy - 1.5%
	1,428	Ansaldo STS S.p.A.*		20,302
	1,693	Eni S.p.A.⁽¹⁾		32,017
	398	Luxottica Group S.p.A.		27,052
	9	Recordati S.p.A.		305

				79,676

		Japan - 16.1%
	100	Asahi Group Holdings Ltd.		4,336
	1,600	Astellas Pharma, Inc.		27,919
	1,200	Azbil Corp.		26,116
	700	Bridgestone Corp.		26,457
	900	Canon, Inc.		28,604
	200	Daikin Industries Ltd.		26,632


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Japan - 16.1% - (continued)
	700	Daiwa House Industry Co., Ltd.	$	20,756
	500	Denso Corp.		26,408
	200	East Japan Railway Co.		18,585
	600	FUJIFILM Holdings Corp.		27,019
	100	Hikari Tsushin, Inc.		19,774
	500	Hoya Corp.		29,713
	200	Ito En Ltd.⁽¹⁾		8,874
	1,700	ITOCHU Corp.		31,131
	600	Japan Airlines Co., Ltd.		21,573
	2	Japan Logistics Fund, Inc. REIT		3,935
	1	Japan Real Estate Investment Corp. REIT		5,247
	1	Japan Retail Fund Investment Corp. REIT		1,815
	700	Kagome Co., Ltd.		20,214
	500	Kaken Pharmaceutical Co., Ltd.		26,588
	1,000	KDDI Corp.		27,636
	400	Kuraray Co., Ltd.		6,015
	600	McDonald’s Holdings Co. Japan Ltd.		26,359
	900	Mitsubishi Electric Corp.		12,333
	100	Mitsubishi Tanabe Pharma Corp.		1,673
	700	Mitsui & Co., Ltd.		12,452
	5,600	Mizuho Financial Group, Inc.		9,772
	300	Nagoya Railroad Co., Ltd.		7,432
	100	NEC Corp.		2,765
	100	Nikon Corp.		1,880
	1,100	Nippon Kayaku Co., Ltd.		13,084
	600	Nippon Telegraph & Telephone Corp.		27,109
	300	Nissan Chemical Corp.		15,847
	400	Nissan Motor Co., Ltd.⁽¹⁾		3,745
	2,000	NTT Data Corp.		27,697
	1,000	NTT DOCOMO, Inc.		26,896
	200	Oriental Land Co., Ltd.		20,918
	500	Osaka Gas Co., Ltd.		9,755
	500	Otsuka Holdings Co., Ltd.		25,210
	100	Rinnai Corp.		7,624
	300	Secom Co., Ltd.		24,463
	200	Seven & i Holdings Co., Ltd.		8,910
	800	Shimadzu Corp.		25,074
	400	Subaru Corp.		12,255
	1,700	Sumitomo Rubber Industries Ltd.⁽¹⁾		25,518
	100	Taisho Pharmaceutical Holdings Co., Ltd.		12,229
	100	Takeda Pharmaceutical Co., Ltd.		4,280
	600	Terumo Corp.		35,551
	100	Tobu Railway Co., Ltd.		2,958
	100	Tokio Marine Holdings, Inc.		4,963
	500	Toyota Motor Corp.		31,232
	1,400	Yamada Denki Co., Ltd.⁽¹⁾		7,087

				882,418

		Malaysia - 2.4%
	18,900	DiGi.Com Bhd		22,012
	500	Genting Malaysia Bhd		603
	7,400	HAP Seng Consolidated Bhd		17,702
	16,200	IHH Healthcare Bhd		20,394
	2,200	Kuala Lumpur Kepong Bhd		13,269
	6,700	Maxis Bhd		9,455
	10,400	Petronas Chemicals Group Bhd		23,522
	30,700	Sunway Bhd		11,201
	4,200	Tenaga Nasional Bhd		15,690

				133,848

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Malta - 0.2%
	775	Kindred Group plc SDR	$	8,697

		Mexico - 0.3%
	1,704	Fomento Economico Mexicano S.A.B. de C.V.		16,871
	85	Grupo Aeroportuario del Sureste S.A.B. de C.V. Class B		1,738

				18,609

		Netherlands - 0.8%
	74	Koninklijke DSM N.V.		7,842
	119	Koninklijke Philips N.V.		5,423
	913	Royal Dutch Shell plc Class A		31,390

				44,655

		Norway - 1.4%
	1,148	Equinor ASA		32,354
	793	Marine Harvest ASA		18,361
	1,300	Telenor ASA		25,399

				76,114

		Philippines - 1.0%
	880	Aboitiz Equity Ventures, Inc.		798
	390	Ayala Corp.		6,698
	9,400	Ayala Land, Inc.		6,968
	3,400	Manila Electric Co.		21,396
	640	SM Investments Corp.		10,708
	9,600	SM Prime Holdings, Inc.		6,423

				52,991

		Portugal - 0.1%
	236	Galp Energia SGPS S.A.		4,685

		Russia - 0.1%
	284	MMC Norilsk Nickel PJSC ADR		4,913

		Singapore - 2.0%
	200	Ascendas Real Estate Investment Trust REIT		386
	1,500	DBS Group Holdings Ltd.		28,642
	1,800	Frasers Centrepoint Trust REIT		2,991
	2,900	Mapletree Industrial Trust REIT		4,202
	2,700	Mapletree Logistics Trust REIT⁽¹⁾		2,431
	600	Oversea-Chinese Banking Corp. Ltd.		5,024
	3,600	SATS Ltd.		13,753
	9,200	Singapore Telecommunications Ltd.		21,782
	700	Suntec Real Estate Investment Trust REIT		989
	900	United Overseas Bank Ltd.		17,837
	500	UOL Group Ltd.		2,521
	700	Venture Corp. Ltd.		9,032

				109,590

		South Africa - 0.0%
	122	AVI Ltd.		916

		South Korea - 5.5%
	55	Chong Kun Dang Pharmaceutical Corp.		5,851
	42	CJ Corp.		5,112
	9	CJ ENM Co., Ltd.		2,012
	1,137	Feelux Co., Ltd.		17,938
	170	Fila Korea Ltd.		6,881
	74	GS Home Shopping, Inc.		13,509
	150	HS Industries Co., Ltd.		1,141
	28	Hyundai Home Shopping Network Corp.		2,802
	212	Hyundai Motor Co.		24,750
	420	Kangwon Land, Inc.		10,867
	135	KB Financial Group, Inc.		6,596


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		South Korea - 5.5% - (continued)
	568	Kia Motors Corp.	$	17,973
	2	LG Chem Ltd.		659
	61	LG Corp.		3,992
	29	LG Display Co., Ltd.		499
	1,055	LG Uplus Corp.		17,405
	1	NAVER Corp.		646
	460	NICE Total Cash Management Co., Ltd.		5,702
	88	NongShim Co., Ltd.		19,318
	15	Ottogi Corp.		10,101
	285	S-1 Corp.		23,483
	565	Samsung Electronics Co., Ltd.		23,660
	334	Shinhan Financial Group Co., Ltd.		13,550
	45	SK Holdings Co., Ltd.		11,643
	365	SK Hynix, Inc.		24,054
	121	SK Telecom Co., Ltd.		30,761

				300,905

		Spain - 0.7%
	318	Amadeus IT Group S.A.		29,556
	254	Industria de Diseno Textil S.A.		7,703

				37,259

		Sweden - 1.5%
	612	Assa Abloy AB Class B		12,294
	665	Atlas Copco AB Class A		19,158
	2,401	Svenska Cellulosa AB SCA Class B		27,187
	1,035	Swedbank AB Class A		25,639

				84,278

		Switzerland - 3.4%
	371	Ferguson plc		31,520
	12	Givaudan S.A.		29,644
	306	Nestle S.A.		25,631
	303	Novartis AG		26,180
	104	Roche Holding AG		25,313
	169	Sika AG		24,724
	259	Swiss Re AG		24,023

				187,035

		Taiwan - 5.3%
	11,000	Chong Hong Construction Co., Ltd.		27,993
	7,000	Chunghwa Telecom Co., Ltd.		25,219
	4,000	Clevo Co.*		3,799
	29,000	Everlight Electronics Co., Ltd.		29,633
	1,000	Far EasTone Telecommunications Co., Ltd.		2,384
	3,000	Formosa Plastics Corp.		11,496
	1,000	Greatek Electronics, Inc.		1,651
	9,000	HannStar Display Corp.		2,219
	1,000	Hon Hai Precision Industry Co., Ltd.*		2,594
	2,000	King Slide Works Co., Ltd.		26,267
	2,000	Nan Ya Plastics Corp.		5,555
	8,000	Pou Chen Corp.		8,450
	2,000	Powertech Technology, Inc.		5,456
	1,000	President Chain Store Corp.		11,741
	13,600	Ruentex Development Co., Ltd.⁽³⁾		15,924
	2,000	Ruentex Industries Ltd.		3,976
	17,000	Sercomm Corp.		27,839
	4,000	Sinbon Electronics Co., Ltd.		11,162
	1,000	Supreme Electronics Co., Ltd.		982
	2,000	Taiwan Mobile Co., Ltd.		7,172
	3,000	Taiwan Semiconductor Manufacturing Co., Ltd.		25,792

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Taiwan - 5.3% - (continued)
	13,000	Uni-President Enterprises Corp.	$	33,934

				291,238

		Thailand - 2.9%
	800	Advanced Info Service plc NVDR		4,972
	14,300	Airports of Thailand plc NVDR		28,963
	7,600	Bangkok Dusit Medical Services plc NVDR		5,993
	216,500	Bangkok Land plc NVDR		11,983
	1,500	Bumrungrad Hospital plc NVDR		8,627
	900	Central Pattana plc NVDR		2,310
	10,900	CP ALL plc NVDR		23,256
	1,000	Electricity Generating plc NVDR		7,297
	900	Glow Energy plc NVDR		2,449
	2,900	Ratchaburi Electricity Generating Holding plc NVDR		4,641
	1,704	Siam Cement plc NVDR		23,500
	11,400	Supalai plc NVDR		8,566
	18,900	Thai Beverage plc⁽¹⁾		9,406
	3,500	Thai Union Group plc NVDR		1,937
	15,700	Thai Vegetable Oil plc NVDR		14,078

				157,978

		Turkey - 1.9%
	2,400	Aselsan Elektronik Sanayi Ve Ticaret A.S.		11,018
	1,370	BIM Birlesik Magazalar A.S.		18,552
	35,081	Enka Insaat ve Sanayi A.S.		30,425
	14,221	Kerevitas Gida Sanayi ve Ticaret A.S.*		4,900
	2,731	KOC Holding A.S.		7,756
	22,362	Soda Sanayi A.S.		25,797
	232	Tupras Turkiye Petrol Rafinerileri A.S.		5,183

				103,631

		United Kingdom - 10.6%
	925	Ashtead Group plc		29,396
	388	AstraZeneca plc		30,171
	2,533	BAE Systems plc		20,803
	4,426	BP plc		34,013
	80	British American Tobacco plc		3,740
	1,168	Compass Group plc		25,985
	493	Croda International plc		33,444
	804	Diageo plc		28,508
	872	GlaxoSmithKline plc		17,475
	1,514	Halma plc		28,529
	1,933	HSBC Holdings plc		16,884
	2,274	Informa plc		22,602
	423	InterContinental Hotels Group plc		26,367
	413	Intertek Group plc		26,886
	1,175	Meggitt plc		8,679
	2,212	National Grid plc		22,828
	2,166	Pearson plc		25,139
	1,243	RELX plc		26,194
	1,102	RELX plc*		23,161
	6,813	Rentokil Initial plc		28,288
	207	Rightmove plc		1,271
	1,061	Sage Group plc		8,113
	1,415	Smith & Nephew plc		25,824
	347	Smiths Group plc		6,767
	347	Unilever N.V.		19,332
	436	Unilever plc		23,971
	7,930	Vodafone Group plc		17,011

				581,381


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		United States - 0.4%
	465	Bausch Health Cos., Inc.*	$	11,932
	29	Carnival plc		1,802
	1,500	Samsonite International S.A.*⁽²⁾		5,559

				19,293

		Total Common Stocks (cost $5,039,715)	$	5,437,750


PREFERRED STOCKS - 0.1%
		Germany - 0.1%
	103	Fuchs Petrolub SE, 2.01%	$	5,757


		Total Preferred Stocks (cost $5,625)	$	5,757


		Total Long-Term Investments (cost $5,045,340)	$	5,443,507



SHORT-TERM INVESTMENTS - 1.0%
		Securities Lending Collateral - 1.0%
	53,191	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽⁴⁾	$	53,191


		Total Short-Term Investments (cost $53,191)	$	53,191



Total Investments (cost $5,098,531)	100.5	%	$	5,496,698
Other Assets and Liabilities	(0.5	)%		(26,623	)

Total Net Assets	100.0	%	$	5,470,075

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, 2018

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 8 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. At September 30, 2018, the aggregate value of these securities was $46,404, which represented 0.8% of total net assets.

⁽³⁾	Investment valued using significant unobservable inputs.

⁽⁴⁾	Current yield as of 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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	254,269	$	254,269	$	—	$	—
Belgium		1,497		1,497		—		—
Brazil		37,592		37,592		—		—
Canada		517,689		517,689		—		—
Chile		13,068		13,068		—		—
China		141,103		141,103		—		—
Denmark		110,572		110,572		—		—
Finland		10,423		10,423		—		—
France		240,133		240,133		—		—
Germany		167,717		167,717		—		—
Hong Kong		314,532		314,532		—		—
India		124,488		124,488		—		—
Indonesia		137,686		137,686		—		—
Ireland		67,306		67,306		—		—
Israel		119,565		119,565		—		—
Italy		79,676		79,676		—		—
Japan		882,418		882,418		—		—
Malaysia		133,848		133,848		—		—
Malta		8,697		8,697		—		—
Mexico		18,609		18,609		—		—
Netherlands		44,655		44,655		—		—
Norway		76,114		76,114		—		—
Philippines		52,991		52,991		—		—
Portugal		4,685		4,685		—		—
Russia		4,913		4,913		—		—
Singapore		109,590		109,590		—		—
South Africa		916		916		—		—
South Korea		300,905		300,905		—		—
Spain		37,259		37,259		—		—
Sweden		84,278		84,278		—		—
Switzerland		187,035		187,035		—		—
Taiwan		291,238		275,314		—		15,924
Thailand		157,978		157,978		—		—
Turkey		103,631		103,631		—		—
United Kingdom		581,381		581,381		—		—
United States		19,293		19,293		—		—
Preferred Stocks		5,757		5,757		—		—
Short-Term Investments		53,191		53,191		—		—

Total	$	5,496,698	$	5,480,774	$	—	$	15,924

⁽¹⁾	For the year ended September 30, 2018, there were no transfers between Level 1 and Level 2; investments valued at $6,967 were transferred from Level 1 to Level 3 due to the unavailability of active market pricing.

Note:

For purposes of reporting transfers between different hierarchy levels, both transfers in and out of each level, as applicable, are shown as if they occurred at the beginning of the period.

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


		44

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9%
		Automobiles & Components - 0.9%
	452	Fox Factory Holding Corp.*	$	31,663
	231	Visteon Corp.*		21,460

				53,123

		Banks - 1.5%
	1,237	Beneficial Bancorp, Inc.		20,905
	171	Capitol Federal Financial, Inc.		2,178
	560	CenterState Bank Corp.		15,708
	39	Commerce Bancshares, Inc.		2,575
	611	Investors Bancorp, Inc.		7,497
	88	JP Morgan Chase & Co.		9,930
	544	US Bancorp		28,729

				87,522

		Capital Goods - 10.9%
	239	3M Co.		50,360
	183	Boeing Co.		68,058
	477	BWX Technologies, Inc.		29,832
	28	ESCO Technologies, Inc.		1,905
	110	General Dynamics Corp.		22,519
	37	Harris Corp.		6,261
	490	Honeywell International, Inc.		81,536
	48	IDEX Corp.		7,232
	431	Kaman Corp.		28,782
	148	Lincoln Electric Holdings, Inc.		13,829
	157	Lockheed Martin Corp.		54,316
	244	MSC Industrial Direct Co., Inc. Class A		21,499
	154	Northrop Grumman Corp.		48,875
	251	Raytheon Co.		51,872
	305	Rockwell Collins, Inc.		42,843
	12	Roper Technologies, Inc.		3,554
	406	Toro Co.		24,348
	44	TransDigm Group, Inc.*		16,381
	351	United Technologies Corp.		49,073

				623,075

		Commercial & Professional Services - 6.0%
	1,188	CBIZ, Inc.*		28,156
	46	Cintas Corp.		9,099
	632	Copart, Inc.*		32,567
	543	Exponent, Inc.		29,105
	148	FTI Consulting, Inc.*		10,832
	348	ICF International, Inc.		26,257
	115	IHS Markit Ltd.*		6,205
	92	Insperity, Inc.		10,851
	77	Matthews International Corp. Class A		3,862
	466	McGrath Rent Corp.		25,383
	602	Republic Services, Inc.		43,741
	499	Rollins, Inc.		30,284
	432	Tetra Tech, Inc.		29,506
	639	Waste Management, Inc.		57,740

				343,588

		Consumer Durables & Apparel - 0.4%
	229	Columbia Sportswear Co.		21,313

		Consumer Services - 10.4%
	568	Aramark		24,435
	253	Bright Horizons Family Solutions, Inc.*		29,814
	402	Carnival Corp.		25,636
	421	Cheesecake Factory, Inc.⁽¹⁾		22,540
	102	Churchill Downs, Inc.		28,325
	93	Cracker Barrel Old Country Store, Inc.⁽¹⁾		13,683


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Consumer Services - 10.4% - (continued)
	379	Darden Restaurants, Inc.	$	42,141
	150	Domino’s Pizza, Inc.		44,220
	397	Dunkin’ Brands Group, Inc.⁽¹⁾		29,267
	44	Graham Holdings Co. Class B		25,489
	153	Hilton Worldwide Holdings, Inc.		12,359
	46	Jack in the Box, Inc.		3,856
	527	McDonald’s Corp.		88,162
	842	Pinnacle Entertainment, Inc.*		28,367
	177	Service Corp. International/US		7,823
	125	ServiceMaster Global Holdings, Inc.*		7,754
	636	Starbucks Corp.		36,150
	197	Strategic Education, Inc.		26,995
	109	Vail Resorts, Inc.		29,912
	1,626	Wendy’s Co.⁽¹⁾		27,870
	489	Yum! Brands, Inc.		44,455

				599,253

		Diversified Financials - 2.7%
	93	American Express Co.		9,904
	514	Apollo Commercial Real Estate Finance, Inc. REIT⁽¹⁾		9,699
	246	Berkshire Hathaway, Inc. Class B*		52,671
	494	Blackstone Mortgage Trust, Inc. Class A REIT⁽¹⁾		16,554
	851	Blucora, Inc.*		34,253
	176	Capstead Mortgage Corp. REIT		1,392
	183	Chimera Investment Corp. REIT		3,318
	13	CME Group, Inc.		2,213
	232	MFA Financial, Inc. REIT		1,705
	97	Morningstar, Inc.		12,212
	20	Nasdaq, Inc.		1,716
	392	Starwood Property Trust, Inc. REIT		8,436

				154,073

		Energy - 6.1%
	691	Chevron Corp.		84,495
	997	Exxon Mobil Corp.		84,765
	512	Occidental Petroleum Corp.		42,071
	420	ONEOK, Inc.		28,472
	494	Phillips 66		55,684
	556	Schlumberger Ltd.		33,872
	204	Valero Energy Corp.		23,205

				352,564

		Food & Staples Retailing - 1.6%
	122	Costco Wholesale Corp.		28,655
	347	Sysco Corp.		25,418
	396	Walmart, Inc.		37,189

				91,262

		Food, Beverage & Tobacco - 2.7%
	83	Altria Group, Inc.		5,006
	131	Archer-Daniels-Midland Co.		6,585
	39	Brown-Forman Corp. Class B		1,972
	700	Coca-Cola Co.		32,333
	1,097	Conagra Brands, Inc.		37,265
	196	Kellogg Co.		13,724
	1,014	Keurig Dr Pepper, Inc.		23,494
	332	PepsiCo., Inc.		37,118

				157,497

		Health Care Equipment & Services - 5.5%
	253	Abbott Laboratories		18,560
	582	Baxter International, Inc.		44,866

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Health Care Equipment & Services - 5.5% - (continued)
	278	Danaher Corp.	$	30,208
	177	IDEXX Laboratories, Inc.*		44,190
	17	Intuitive Surgical, Inc.*		9,758
	12	Laboratory Corp. of America Holdings*		2,084
	174	Quest Diagnostics, Inc.		18,776
	162	STERIS plc		18,533
	149	Stryker Corp.		26,474
	325	UnitedHealth Group, Inc.		86,463
	75	Varian Medical Systems, Inc.*		8,395
	29	WellCare Health Plans, Inc.*		9,294

				317,601

		Household & Personal Products - 2.3%
	275	Church & Dwight Co., Inc.		16,327
	176	Clorox Co.		26,472
	268	Colgate-Palmolive Co.		17,942
	509	Herbalife Nutrition Ltd.*		27,766
	62	Kimberly-Clark Corp.		7,046
	285	Procter & Gamble Co.		23,720
	86	WD-40 Co.⁽¹⁾		14,801

				134,074

		Insurance - 1.3%
	25	American Financial Group, Inc.		2,774
	21	Aon plc		3,230
	25	Argo Group International Holdings Ltd.		1,576
	167	Arthur J Gallagher & Co.		12,432
	414	Axis Capital Holdings Ltd.		23,892
	169	Brown & Brown, Inc.		4,997
	44	Erie Indemnity Co. Class A		5,611
	2	Everest Re Group Ltd.		457
	109	Loews Corp.		5,475
	118	Torchmark Corp.		10,230
	6	White Mountains Insurance Group Ltd.		5,615

				76,289

		Materials - 7.9%
	256	Air Products & Chemicals, Inc.		42,765
	275	AptarGroup, Inc.		29,629
	243	Ashland Global Holdings, Inc.		20,378
	260	Balchem Corp.		29,143
	320	Ball Corp.		14,077
	340	Compass Minerals International, Inc.⁽¹⁾		22,848
	389	Ecolab, Inc.		60,987
	286	KapStone Paper & Packaging Corp.		9,698
	59	NewMarket Corp.⁽¹⁾		23,925
	353	Praxair, Inc.		56,738
	118	Quaker Chemical Corp.		23,861
	527	RPM International, Inc.		34,223
	6	Sensient Technologies Corp.⁽¹⁾		459
	42	Sherwin-Williams Co.		19,119
	860	Silgan Holdings, Inc.		23,908
	535	Sonoco Products Co.		29,693
	177	WR Grace & Co.		12,648

				454,099

		Media & Entertainment - 2.5%
	6	Alphabet, Inc. Class A*		7,242
	581	Comcast Corp. Class A		20,573
	23	Facebook, Inc. Class A*		3,782
	236	John Wiley & Sons, Inc. Class A		14,302
	150	Omnicom Group, Inc.		10,203


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Media & Entertainment - 2.5% - (continued)
	1,063	Twenty-First Century Fox, Inc. Class A	$	49,249
	305	Walt Disney Co.		35,667

				141,018

		Pharmaceuticals, Biotechnology & Life Sciences - 4.8%
	17	Amgen, Inc.		3,524
	51	Bio-Rad Laboratories, Inc. Class A*		15,962
	110	Bio-Techne Corp.		22,452
	645	Johnson & Johnson		89,120
	623	Merck & Co., Inc.		44,196
	287	PerkinElmer, Inc.⁽¹⁾		27,916
	1,240	Pfizer, Inc.		54,647
	168	Zoetis, Inc.		15,382

				273,199

		Real Estate - 5.1%
	294	American Campus Communities, Inc. REIT		12,101
	175	American Tower Corp. REIT		25,428
	273	Apartment Investment & Management Co. Class A, REIT		12,048
	37	AvalonBay Communities, Inc. REIT		6,703
	81	Camden Property Trust REIT		7,579
	201	Crown Castle International Corp. REIT		22,377
	215	Digital Realty Trust, Inc. REIT		24,183
	189	Douglas Emmett, Inc. REIT		7,129
	12	EastGroup Properties, Inc. REIT		1,147
	94	EPR Properties REIT		6,431
	619	Equity Commonwealth REIT*		19,864
	241	Equity LifeStyle Properties, Inc. REIT		23,244
	16	Essex Property Trust, Inc. REIT		3,947
	49	Life Storage, Inc. REIT		4,663
	243	LTC Properties, Inc. REIT		10,719
	90	Mid-America Apartment Communities, Inc. REIT		9,016
	1,651	Monmouth Real Estate Investment Corp. REIT		27,605
	112	PS Business Parks, Inc. REIT		14,234
	31	Public Storage REIT		6,251
	393	Rayonier, Inc. REIT		13,287
	1,003	Retail Opportunity Investments Corp. REIT⁽¹⁾		18,726
	259	UDR, Inc. REIT		10,471
	67	Ventas, Inc. REIT		3,643
	74	Washington Real Estate Investment Trust REIT⁽¹⁾		2,268

				293,064

		Retailing - 3.0%
	3	Amazon.com, Inc.*		6,009
	35	AutoZone, Inc.*		27,149
	279	Home Depot, Inc.		57,795
	135	Pool Corp.		22,529
	503	TJX Cos., Inc.		56,346

				169,828

		Semiconductors & Semiconductor Equipment - 0.2%
	291	Intel Corp.		13,761

		Software & Services - 9.8%
	16	Adobe Systems, Inc.*		4,319
	556	Amdocs Ltd.		36,685
	261	Aspen Technology, Inc.*		29,731
	283	Automatic Data Processing, Inc.		42,637
	284	Broadridge Financial Solutions, Inc.		37,474
	7	Cognizant Technology Solutions Corp. Class A		540
	44	ExlService Holdings, Inc.*		2,913
	285	Fidelity National Information Services, Inc.		31,085

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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Software & Services - 9.8% - (continued)
	399	Fiserv, Inc.*	$	32,870
	75	Gartner, Inc.*⁽¹⁾		11,887
	361	Genpact Ltd.		11,050
	448	International Business Machines Corp.		67,742
	245	Jack Henry & Associates, Inc.		39,220
	231	Mastercard, Inc. Class A		51,423
	393	Microsoft Corp.		44,947
	570	Paychex, Inc.		41,980
	129	Synopsys, Inc.*		12,721
	219	VeriSign, Inc.*		35,066
	194	Visa, Inc. Class A		29,117

				563,407

		Technology Hardware & Equipment - 1.8%
	382	Amphenol Corp. Class A		35,916
	72	Apple, Inc.		16,253
	325	Cisco Systems, Inc.		15,811
	45	Dolby Laboratories, Inc. Class A		3,149
	211	Motorola Solutions, Inc.		27,459
	31	TE Connectivity Ltd.		2,726

				101,314

		Telecommunication Services - 5.4%
	2,629	AT&T, Inc.		88,282
	1,731	CenturyLink, Inc.		36,697
	561	Cogent Communications Holdings, Inc.		31,303
	566	T-Mobile US, Inc.*		39,722
	1,638	Verizon Communications, Inc.		87,453
	474	Vonage Holdings Corp.*		6,712
	500	Zayo Group Holdings, Inc.*		17,360

				307,529

		Transportation - 2.7%
	135	CH Robinson Worldwide, Inc.		13,219
	61	Expeditors International of Washington, Inc.		4,485
	184	J.B. Hunt Transport Services, Inc.		21,885
	172	Landstar System, Inc.		20,984
	337	Union Pacific Corp.		54,874
	336	United Parcel Service, Inc. Class B		39,228

				154,675

		Utilities - 4.4%
	340	Alliant Energy Corp.		14,474
	57	American Electric Power Co., Inc.		4,040
	116	American Water Works Co., Inc.		10,205
	99	Atmos Energy Corp.		9,297
	117	CenterPoint Energy, Inc.		3,235
	203	CMS Energy Corp.		9,947
	175	Consolidated Edison, Inc.		13,333
	55	Dominion Energy, Inc.		3,866
	95	DTE Energy Co.		10,367
	147	Duke Energy Corp.		11,763
	190	El Paso Electric Co.		10,868
	78	Entergy Corp.		6,328
	103	Evergy, Inc.		5,657
	61	IDACORP, Inc.		6,053
	983	MDU Resources Group, Inc.		25,253
	31	MGE Energy, Inc.		1,979
	28	NextEra Energy, Inc.		4,693
	718	NiSource, Inc.		17,893
	101	Portland General Electric Co.		4,607
	108	Public Service Enterprise Group, Inc.		5,701


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Utilities - 4.4% - (continued)
	300	Southern Co.	$	13,080
	218	Spire, Inc.		16,034
	55	UGI Corp.		3,051
	147	Vectren Corp.		10,509
	245	WEC Energy Group, Inc.		16,356
	293	Xcel Energy, Inc.		13,833

				252,422


		Total Common Stocks (cost $4,995,286)	$	5,735,550


		Total Long-Term Investments (cost $4,995,286)	$	5,735,550


SHORT-TERM INVESTMENTS - 0.2%
		Securities Lending Collateral - 0.2%
	11,269	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽²⁾	$	11,269


		Total Short-Term Investments (cost $11,269)	$	11,269



Total Investments (cost $5,006,555)	100.1	%	$	5,746,819

Other Assets and Liabilities	(0.1	)%		(3,540	)

Total Net Assets	100.0	%	$	5,743,279

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, 2018

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 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of 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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	53,123	$	53,123	$	—	$	—
Banks		87,522		87,522		—		—
Capital Goods		623,075		623,075		—		—
Commercial & Professional Services		343,588		343,588		—		—
Consumer Durables & Apparel		21,313		21,313		—		—
Consumer Services		599,253		599,253		—		—
Diversified Financials		154,073		154,073		—		—
Energy		352,564		352,564		—		—
Food & Staples Retailing		91,262		91,262		—		—
Food, Beverage & Tobacco		157,497		157,497		—		—
Health Care Equipment & Services		317,601		317,601		—		—
Household & Personal Products		134,074		134,074		—		—
Insurance		76,289		76,289		—		—
Materials		454,099		454,099		—		—
Media & Entertainment		141,018		141,018		—		—
Pharmaceuticals, Biotechnology & Life Sciences		273,199		273,199		—		—
Real Estate		293,064		293,064		—		—
Retailing		169,828		169,828		—		—
Semiconductors & Semiconductor Equipment		13,761		13,761		—		—
Software & Services		563,407		563,407		—		—
Technology Hardware & Equipment		101,314		101,314		—		—
Telecommunication Services		307,529		307,529		—		—
Transportation		154,675		154,675		—		—
Utilities		252,422		252,422		—		—
Short-Term Investments		11,269		11,269		—		—

Total	$	5,746,819	$	5,746,819	$	—	$	—

⁽¹⁾	For the year ended September 30, 2018, 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, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.3%
		Diversified REITs - 7.7%
	36,880	Armada Hoffler Properties, Inc. REIT	$	557,257
	32,766	Empire State Realty Trust, Inc. Class A, REIT		544,243
	11,801	Liberty Property Trust REIT		498,592
	8,449	WP Carey, Inc. REIT		543,355

				2,143,447

		Health Care REITs - 9.5%
	12,240	LTC Properties, Inc. REIT		539,906
	30,395	MedEquities Realty Trust, Inc. REIT		295,439
	37,913	Medical Properties Trust, Inc. REIT		565,283
	7,160	National Health Investors, Inc. REIT		541,225
	17,392	Omega Healthcare Investors, Inc. REIT		569,936
	4,650	Sabra Healthcare, Inc. REIT		107,508

				2,619,297

		Hotel & Resort REITs - 9.9%
	26,235	Host Hotels & Resorts, Inc. REIT		553,559
	18,641	MGM Growth Properties LLC Class A, REIT⁽¹⁾		549,723
	6,590	Ryman Hospitality Properties, Inc. REIT		567,860
	38,012	Summit Hotel Properties, Inc. REIT		514,303
	23,769	Xenia Hotels & Resorts, Inc. REIT		563,325

				2,748,770

		Industrial REITs - 6.1%
	20,362	Duke Realty Corp. REIT		577,670
	5,933	EastGroup Properties, Inc. REIT		567,313
	17,490	First Industrial Realty Trust, Inc. REIT		549,186

				1,694,169

		Office REITs - 11.2%
	44,276	City Office, Inc. REIT		558,763
	16,604	Corporate Office Properties Trust REIT		495,297
	61,398	Cousins Properties, Inc. REIT		545,828
	11,475	Highwoods Properties, Inc. REIT		542,309
	28,633	Piedmont Office Realty Trust, Inc. Class A, REIT		542,023
	18,722	Select Income REIT		410,761

				3,094,981

		Residential REITs - 12.2%
	12,804	Apartment Investment & Management Co. Class A, REIT		565,040
	9,997	BRT Apartments Corp. REIT		120,364
	5,903	Camden Property Trust REIT		552,344
	5,915	Equity LifeStyle Properties, Inc. REIT		570,502
	2,308	Essex Property Trust, Inc. REIT		569,407
	12,728	NexPoint Residential Trust, Inc. REIT		422,569
	2,660	Sun Communities, Inc. REIT		270,096
	7,539	UDR, Inc. REIT		304,802

				3,375,124

		Retail REITs - 23.9%
	9,964	Agree Realty Corp. REIT		529,288
	1,580	Alexander’s, Inc. REIT		542,414
	31,427	Brixmor Property Group, Inc. REIT		550,287
	130,284	CBL & Associates Properties, Inc. REIT⁽¹⁾		519,833
	1,591	Federal Realty Investment Trust REIT		201,214
	19,559	Getty Realty Corp. REIT		558,605
	41,578	Ramco-Gershenson Properties Trust REIT⁽¹⁾		565,461
	5,828	Saul Centers, Inc. REIT		326,368
	3,133	Simon Property Group, Inc. REIT		553,758
	24,058	Tanger Factory Outlet Centers, Inc. REIT⁽¹⁾		550,447
	8,859	Taubman Centers, Inc. REIT		530,034
	75,317	Washington Prime Group, Inc. REIT⁽¹⁾		549,814


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.3% - (continued)
		Retail REITs - 23.9% - (continued)
	18,453	Weingarten Realty Investors REIT	$	549,161
	20,576	Wheeler Real Estate Investment Trust, Inc. REIT⁽¹⁾		88,065

				6,614,749

		Specialized REITs - 18.8%
	4,935	Coresite Realty Corp. REIT		548,476
	18,502	CubeSmart REIT		527,862
	8,639	CyrusOne, Inc. REIT		547,713
	4,508	Digital Realty Trust, Inc. REIT		507,060
	6,055	Extra Space Storage, Inc. REIT		524,605
	15,633	Gaming and Leisure Properties, Inc. REIT		551,063
	22,421	Geo Group, Inc. REIT		564,112
	6,953	Iron Mountain, Inc. REIT		240,017
	20,195	National Storage Affiliates Trust REIT		513,761
	2,611	Public Storage REIT		526,456
	6,635	VICI Properties, Inc. REIT⁽¹⁾		143,449

				5,194,574


		Total Common Stocks (cost $27,030,312)	$	27,485,111


		Total Long-Term Investments (cost $27,030,312)	$	27,485,111


SHORT-TERM INVESTMENTS - 2.1%
		Securities Lending Collateral - 2.1%
	575,575	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽²⁾	$	575,575


		U.S. Treasury Bill - 0.0%
$	5,000	U.S. Treasury Bill 2.09%, 12/06/2018⁽³⁾⁽⁴⁾		4,981


		Total Short-Term Investments (cost $580,556)	$	580,556



Total Investments (cost $27,610,868)	101.4	%	$	28,065,667
Other Assets and Liabilities	(1.4	)%		(377,641	)

Total Net Assets	100.0	%	$	27,688,026

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


		50

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

September 30, 2018

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 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

⁽³⁾	The rate shown represents current yield to maturity.

⁽⁴⁾	This security, or a portion of this security, has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2018
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P Real Estate Sector (E-Mini) Future		5		12/21/2018	$	197,250	$	(409	)

Total futures contracts							$	(409	)

^†	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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total			Level 1⁽¹⁾			Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Diversified REITs	$	2,143,447		$	2,143,447		$	—	$	—
Health Care REITs		2,619,297			2,619,297			—		—
Hotel & Resort REITs		2,748,770			2,748,770			—		—
Industrial REITs		1,694,169			1,694,169			—		—
Office REITs		3,094,981			3,094,981			—		—
Residential REITs		3,375,124			3,375,124			—		—
Retail REITs		6,614,749			6,614,749			—		—
Specialized REITs		5,194,574			5,194,574			—		—
Short-Term Investments		580,556			575,575			4,981		—

Total	$	28,065,667		$	28,060,686		$	4,981	$	—

Liabilities
Futures Contracts⁽²⁾	$	(409	)	$	(409	)	$	—	$	—

Total	$	(409	)	$	(409	)	$	—	$	—

⁽¹⁾	For the year ended September 30, 2018, there were no transfers between any levels.

⁽²⁾	Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/ (depreciation) on the investments.

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


		52

Hartford Multifactor US Equity ETF

Schedule of Investments

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8%
		Automobiles & Components - 0.5%
	28,344	Ford Motor Co.	$	262,182
	13,767	General Motors Co.		463,535
	1,760	Thor Industries, Inc.		147,312

				873,029

		Banks - 4.9%
	31,231	Bank of America Corp.		920,065
	7,888	BB&T Corp.⁽¹⁾		382,884
	9,550	Citizens Financial Group, Inc.		368,343
	2,012	Cullen/Frost Bankers, Inc.		210,133
	1,254	East West Bancorp, Inc.		75,704
	22,328	Fifth Third Bancorp		623,398
	648	First Citizens BancShares, Inc. Class A		293,077
	11,488	JP Morgan Chase & Co.		1,296,306
	7,018	KeyCorp.		139,588
	1,371	M&T Bank Corp.		225,584
	4,536	PNC Financial Services Group, Inc.		617,758
	2,218	Popular, Inc.		113,672
	44,574	Regions Financial Corp.		817,933
	12,028	SunTrust Banks, Inc.		803,350
	23,296	TCF Financial Corp.		554,678
	1,846	Umpqua Holdings Corp.		38,397
	1,574	US Bancorp		83,123
	15,653	Wells Fargo & Co.		822,722
	3,618	Zions Bancorporation		181,443

				8,568,158

		Capital Goods - 4.7%
	2,103	3M Co.		443,123
	1,398	Boeing Co.		519,916
	614	Caterpillar, Inc.		93,629
	5,756	Cummins, Inc.		840,779
	326	Deere & Co.		49,008
	8,760	Eaton Corp. plc		759,755
	4,463	Emerson Electric Co.		341,777
	131	General Dynamics Corp.		26,818
	360	Honeywell International, Inc.		59,904
	2,601	Illinois Tool Works, Inc.		367,053
	5,223	Ingersoll-Rand plc		534,313
	10,933	MasTec, Inc.^*(1)		488,158
	5,201	MSC Industrial Direct Co., Inc. Class A		458,260
	1,166	Northrop Grumman Corp.		370,053
	5,641	PACCAR, Inc.		384,660
	759	Parker-Hannifin Corp.		139,603
	1,774	Quanta Services, Inc.^*		59,216
	851	Raytheon Co.		175,868
	533	Rockwell Automation, Inc.		99,948
	2,506	Stanley Black & Decker, Inc.		366,979
	2,114	United Rentals, Inc.^*		345,850
	2,424	United Technologies Corp.		338,899
	2,333	WW Grainger, Inc.		833,838

				8,097,407

		Commercial & Professional Services - 1.2%
	6,020	ManpowerGroup, Inc.		517,479
	740	Republic Services, Inc.		53,768
	10,333	Robert Half International, Inc.		727,237
	6,718	TriNet Group, Inc.^*		378,358
	4,340	Waste Management, Inc.		392,162

				2,069,004


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Consumer Durables & Apparel - 1.2%
	231	Carter’s, Inc.	$	22,777
	11,596	Michael Kors Holdings Ltd.^*		795,022
	4,015	NIKE, Inc. Class B		340,151
	414	Ralph Lauren Corp.		56,946
	22,035	Skechers USA, Inc. Class A^*		615,437
	1,790	VF Corp.		167,275

				1,997,608

		Consumer Services - 0.8%
	5,025	Carnival Corp.		320,444
	222	Cracker Barrel Old Country Store, Inc.⁽¹⁾		32,663
	2,424	Darden Restaurants, Inc.		269,524
	1,026	Grand Canyon Education, Inc.^*		115,733
	5,893	H&R Block, Inc.⁽¹⁾		151,745
	1,262	Hyatt Hotels Corp. Class A		100,443
	2,196	Las Vegas Sands Corp.		130,289
	614	McDonald’s Corp.		102,716
	940	Yum! Brands, Inc.		85,455

				1,309,012

		Diversified Financials - 3.5%
	3,164	American Express Co.		336,934
	7,555	Ameriprise Financial, Inc.		1,115,571
	2,655	Berkshire Hathaway, Inc. Class B^*		568,462
	385	BlackRock, Inc.		181,462
	5,070	Capital One Financial Corp.		481,295
	978	Charles Schwab Corp.		48,069
	2,478	CME Group, Inc.		421,780
	7,662	Discover Financial Services		585,760
	1,799	ETRADE Financial Corp.^		94,250
	7,338	Morgan Stanley		341,731
	6,751	New Residential Investment Corp. REIT⁽¹⁾		120,303
	29,725	Santander Consumer USA Holdings, Inc.		595,689
	24,705	Synchrony Financial		767,831
	3,676	T Rowe Price Group, Inc.		401,346

				6,060,483

		Energy - 7.8%
	1,645	Anadarko Petroleum Corp.		110,889
	8,238	Andeavor		1,264,533
	90,203	Chesapeake Energy Corp.^*(1)		405,011
	7,215	Chevron Corp.		882,250
	119	Concho Resources, Inc.^*		18,177
	3,024	ConocoPhillips		234,058
	9,278	Continental Resources, Inc.^*		633,502
	5,764	Delek U.S. Holdings, Inc.		244,566
	13,789	Devon Energy Corp.		550,733
	404	Energen Corp.^*		34,813
	1,301	EOG Resources, Inc.		165,968
	9,484	Exxon Mobil Corp.		806,330
	20,310	HollyFrontier Corp.		1,419,669
	20,079	Marathon Petroleum Corp.		1,605,718
	1,704	Oasis Petroleum, Inc.^*		24,163
	4,693	Occidental Petroleum Corp.		385,624
	17,956	PBF Energy, Inc. Class A		896,184
	15,601	Peabody Energy Corp.		556,020
	11,147	Phillips 66		1,256,490
	6,802	RPC, Inc.⁽¹⁾		105,295
	16,311	Valero Energy Corp.		1,855,376

				13,455,369

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


		53

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Food & Staples Retailing - 2.8%
	433	Casey’s General Stores, Inc.	$	55,905
	1,527	Costco Wholesale Corp.		358,662
	37,186	Kroger Co.		1,082,484
	6,821	Performance Food Group Co.^*		227,139
	12,590	Sysco Corp.		922,218
	20,601	US Foods Holding Corp.^*		634,923
	4,491	Walgreens Boots Alliance, Inc.		327,394
	12,420	Walmart, Inc.		1,166,362

				4,775,087

		Food, Beverage & Tobacco - 2.0%
	5,446	Altria Group, Inc.		328,448
	13,214	Archer-Daniels-Midland Co.		664,268
	6,842	Flowers Foods, Inc.		127,672
	1,426	General Mills, Inc.		61,204
	639	Hershey Co.		65,178
	3,256	Kellogg Co.⁽¹⁾		227,985
	2,895	PepsiCo., Inc.		323,661
	2,469	Philip Morris International, Inc.		201,322
	49,120	Pilgrim’s Pride Corp.^*(1)		888,581
	9,276	Tyson Foods, Inc. Class A		552,200

				3,440,519

		Health Care Equipment & Services - 10.9%
	3,561	Abbott Laboratories		261,235
	5,077	Aetna, Inc.		1,029,869
	1,260	Align Technology, Inc.^*		492,937
	1,180	AmerisourceBergen Corp.		108,820
	3,264	Anthem, Inc.		894,499
	9,418	Baxter International, Inc.		726,034
	3,956	Boston Scientific Corp.^*		152,306
	10,215	Cardinal Health, Inc.		551,610
	14,717	Centene Corp.^*		2,130,727
	8,591	Cerner Corp.^*		553,346
	327	Cigna Corp.		68,098
	10,880	CVS Health Corp.		856,474
	8,809	DaVita, Inc.^*		630,989
	1,269	Edwards Lifesciences Corp.^*		220,933
	5,770	Encompass Health Corp.		449,771
	22,545	Express Scripts Holding Co.^*		2,142,000
	9,835	HCA Healthcare, Inc.		1,368,245
	3,288	Henry Schein, Inc.^*		279,579
	835	Hill-Rom Holdings, Inc.		78,824
	4,025	Humana, Inc.		1,362,543
	56	IDEXX Laboratories, Inc.^*		13,981
	2,851	Laboratory Corp. of America Holdings^*		495,162
	809	Masimo Corp.^*		100,753
	3,681	MEDNAX, Inc.^*		171,755
	2,705	Quest Diagnostics, Inc.		291,896
	2,922	Stryker Corp.		519,181
	5,041	UnitedHealth Group, Inc.		1,341,108
	5,010	WellCare Health Plans, Inc.^*		1,605,655

				18,898,330

		Household & Personal Products - 1.5%
	417	Clorox Co.⁽¹⁾		62,721
	308	Colgate-Palmolive Co.		20,621
	6,836	Estee Lauder Cos., Inc. Class A		993,408
	10,788	Herbalife Nutrition Ltd.^*		588,485
	2,771	Kimberly-Clark Corp.		314,896
	7,645	Nu Skin Enterprises, Inc. Class A		630,101


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Household & Personal Products - 1.5% - (continued)
	341	Procter & Gamble Co.	$	28,381

				2,638,613

		Insurance - 6.9%
	24,500	Aflac, Inc.		1,153,215
	10,048	Allstate Corp.		991,738
	6,802	American Financial Group, Inc.		754,818
	2,631	Assurant, Inc.		284,016
	2,314	Chubb Ltd.		309,243
	19,526	CNA Financial Corp.		891,362
	4,023	CNO Financial Group, Inc.		85,368
	5,980	Fidelity National Financial, Inc.		235,313
	3,796	First American Financial Corp.		195,836
	7,093	Lincoln National Corp.		479,912
	24,834	MetLife, Inc.		1,160,245
	16,672	Old Republic International Corp.		373,119
	17,821	Principal Financial Group, Inc.		1,044,132
	10,204	Progressive Corp.		724,892
	14,479	Prudential Financial, Inc.		1,467,012
	3,973	Reinsurance Group of America, Inc.		574,337
	6,829	Travelers Cos., Inc.		885,790
	9,520	Unum Group		371,946

				11,982,294

		Materials - 4.3%
	852	Air Products & Chemicals, Inc.		142,327
	8,760	Alcoa Corp.^*		353,904
	1,252	Eastman Chemical Co.		119,842
	30,451	Freeport-McMoRan, Inc.		423,878
	18,741	Huntsman Corp.		510,317
	10,536	International Paper Co.		517,844
	23,968	Louisiana-Pacific Corp.		634,912
	14,951	LyondellBasell Industries N.V. Class A		1,532,627
	9,745	Nucor Corp.		618,320
	4,489	Packaging Corp. of America		492,398
	4,010	PPG Industries, Inc.		437,611
	1,054	Praxair, Inc.		169,409
	7,109	Reliance Steel & Aluminum Co.		606,327
	571	Sherwin-Williams Co.		259,925
	6,831	Sonoco Products Co.		379,121
	6,848	Steel Dynamics, Inc.		309,461
	474	WestRock Co.		25,331

				7,533,554

		Media & Entertainment - 3.4%
	1,363	Activision Blizzard, Inc.		113,388
	168	Alphabet, Inc. Class A^*		202,789
	1,271	Altice USA, Inc. Class A		23,056
	6,242	CBS Corp. Class B		358,603
	930	Charter Communications, Inc. Class A^*		303,068
	4,152	Cinemark Holdings, Inc.⁽¹⁾		166,910
	5,821	Comcast Corp. Class A		206,122
	4,733	DISH Network Corp. Class A^*		169,252
	3,988	Electronic Arts, Inc.^*		480,514
	4,271	Facebook, Inc. Class A^*		702,409
	1,003	IAC/InterActiveCorp.^*		217,370
	27,788	Interpublic Group of Cos., Inc.		635,512
	7,308	Omnicom Group, Inc.⁽¹⁾		497,090
	17,602	Sirius XM Holdings, Inc.⁽¹⁾		111,245
	14,887	Twenty-First Century Fox, Inc. Class A		689,715
	9,304	Twitter, Inc.^*		264,792

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


		54

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Media & Entertainment - 3.4% - (continued)
	12,561	Viacom, Inc. Class B	$	424,059
	3,483	Walt Disney Co.		407,302

				5,973,196

		Pharmaceuticals, Biotechnology & Life Sciences - 5.4%
	9,454	AbbVie, Inc.		894,159
	3,466	Amgen, Inc.		718,467
	1,715	Bio-Rad Laboratories, Inc. Class A^*		536,778
	2,899	Biogen, Inc.^*		1,024,246
	7,691	Bristol-Myers Squibb Co.		477,457
	2,820	Charles River Laboratories International, Inc.^*		379,403
	4,673	Eli Lilly & Co.		501,460
	8,559	Gilead Sciences, Inc.		660,840
	479	Illumina, Inc.^*		175,822
	1,440	IQVIA Holdings, Inc.^*		186,826
	2,849	Johnson & Johnson		393,646
	8,591	Merck & Co., Inc.		609,445
	15,979	Mylan N.V.^*		584,831
	21,971	Pfizer, Inc.		968,262
	6,661	United Therapeutics Corp.^*		851,809
	4,021	Zoetis, Inc.		368,163

				9,331,614

		Real Estate - 2.0%
	17,749	CBRE Group, Inc. Class A^*		782,731
	732	Crown Castle International Corp. REIT		81,494
	846	Hospitality Properties Trust REIT		24,399
	6,875	Host Hotels & Resorts, Inc. REIT		145,062
	4,406	Iron Mountain, Inc. REIT⁽¹⁾		152,095
	3,032	Jones Lang LaSalle, Inc.		437,578
	1,097	Lamar Advertising Co. Class A, REIT		85,347
	4,695	LaSalle Hotel Properties REIT		162,400
	15,743	Park Hotels & Resorts, Inc. REIT		516,685
	4,393	Prologis, Inc. REIT		297,801
	97	Public Storage REIT		19,558
	11,273	Rayonier, Inc. REIT⁽¹⁾		381,140
	1,062	Senior Housing Properties Trust REIT		18,649
	984	Ventas, Inc. REIT		53,510
	2,005	Welltower, Inc. REIT		128,962
	7,199	Weyerhaeuser Co. REIT		232,312

				3,519,723

		Retailing - 8.8%
	24,304	American Eagle Outfitters, Inc.		603,468
	709	AutoZone, Inc.^*		549,971
	21,976	Best Buy Co., Inc.		1,744,015
	2,131	Burlington Stores, Inc.^*		347,183
	6,514	Dollar General Corp.		711,980
	4,844	Dollar Tree, Inc.^*		395,028
	12,734	eBay, Inc.^*		420,477
	4,420	Etsy, Inc.^*		227,100
	8,632	Foot Locker, Inc.		440,059
	32,536	Gap, Inc.		938,664
	706	Genuine Parts Co.		70,177
	2,769	Home Depot, Inc.		573,598
	16,309	Kohl’s Corp.⁽¹⁾		1,215,836
	14,847	L Brands, Inc.⁽¹⁾		449,864
	5,362	Lowe’s Cos., Inc.		615,665
	36,567	Macy’s, Inc.		1,269,972
	1,823	Michaels Cos., Inc.^*(1)		29,587
	9,496	Nordstrom, Inc.⁽¹⁾		567,956
	278	O’Reilly Automotive, Inc.^*		96,555


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Retailing - 8.8% - (continued)
	5,033	Ross Stores, Inc.	$	498,770
	1,156	Stamps.com, Inc.^*(1)		261,487
	14,623	Target Corp.		1,289,895
	5,696	TJX Cos., Inc.		638,066
	17,692	Urban Outfitters, Inc.^*		723,603
	9,642	Williams-Sonoma, Inc.⁽¹⁾		633,672

				15,312,648

		Semiconductors & Semiconductor Equipment - 4.4%
	2,496	Analog Devices, Inc.		230,780
	20,521	Applied Materials, Inc.		793,137
	724	Broadcom, Inc.		178,632
	27,875	Intel Corp.		1,318,209
	2,895	KLA-Tencor Corp.		294,450
	5,248	Lam Research Corp.		796,122
	1,168	Microchip Technology, Inc.⁽¹⁾		92,167
	40,011	Micron Technology, Inc.^*		1,809,698
	1,799	MKS Instruments, Inc.		144,190
	908	NVIDIA Corp.		255,166
	28,944	ON Semiconductor Corp.^*		533,438
	1,912	Skyworks Solutions, Inc.		173,438
	9,681	Texas Instruments, Inc.		1,038,674

				7,658,101

		Software & Services - 4.8%
	1,082	Akamai Technologies, Inc.^*		79,148
	427	Automatic Data Processing, Inc.		64,332
	8,374	Booz Allen Hamilton Holding Corp.		415,602
	6,826	CA, Inc.		301,368
	3,793	CACI International, Inc. Class A^*		698,481
	6,273	Cognizant Technology Solutions Corp. Class A		483,962
	4,961	DXC Technology Co.		463,953
	21,782	First Data Corp. Class A^*		533,005
	483	Fiserv, Inc.^*		39,790
	7,491	International Business Machines Corp.		1,132,714
	1,911	Intuit, Inc.		434,561
	984	j2 Global, Inc.		81,524
	610	Leidos Holdings, Inc.		42,188
	5,534	MAXIMUS, Inc.		360,042
	5,402	Microsoft Corp.		617,827
	4,505	Paychex, Inc.		331,793
	524	Science Applications International Corp.		42,234
	13,778	VMware, Inc. Class A^*		2,150,195

				8,272,719

		Technology Hardware & Equipment - 8.1%
	446	Amphenol Corp. Class A		41,933
	5,346	Apple, Inc.		1,206,806
	1,009	Arista Networks, Inc.^*		268,253
	10,932	Arrow Electronics, Inc.^*		805,907
	1,149	Avnet, Inc.		51,441
	5,042	CDW Corp.		448,335
	29,853	Ciena Corp.^*		932,608
	14,914	Cisco Systems, Inc.		725,566
	1,290	F5 Networks, Inc.^*		257,252
	44,265	Flex Ltd.^*		580,757
	53,098	Hewlett Packard Enterprise Co.		866,028
	83,445	HP, Inc.		2,150,378
	5,229	Jabil, Inc.		141,601
	24,033	Juniper Networks, Inc.		720,269
	903	Motorola Solutions, Inc.		117,516
	6,970	NCR Corp.^*(1)		198,018

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


		55

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2018


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Technology Hardware & Equipment - 8.1% - (continued)
	12,384	NetApp, Inc.	$	1,063,662
	27,118	Seagate Technology plc		1,284,037
	3,543	SYNNEX Corp.		300,092
	8,918	TE Connectivity Ltd.		784,160
	2,941	Tech Data Corp.^*		210,487
	1,346	Ubiquiti Networks, Inc.		133,065
	9,628	Western Digital Corp.		563,623
	9,827	Xerox Corp.		265,132

				14,116,926

		Telecommunication Services - 3.7%
	31,406	AT&T, Inc.		1,054,613
	61,305	CenturyLink, Inc.⁽¹⁾		1,299,666
	258,238	Sprint Corp.^*		1,688,877
	11,390	T-Mobile US, Inc.^*		799,350
	28,084	Verizon Communications, Inc.		1,499,405

				6,341,911

		Transportation - 3.7%
	354	Alaska Air Group, Inc.		24,376
	2,200	American Airlines Group, Inc.		90,926
	949	CH Robinson Worldwide, Inc.		92,926
	341	CSX Corp.		25,251
	20,577	Delta Air Lines, Inc.		1,189,968
	2,509	FedEx Corp.		604,142
	33,616	JetBlue Airways Corp.^*		650,806
	1,049	Norfolk Southern Corp.		189,345
	1,989	Ryder System, Inc.		145,336
	15,590	Southwest Airlines Co.		973,596
	2,077	Union Pacific Corp.		338,198
	19,154	United Continental Holdings, Inc.^*		1,705,855
	3,673	United Parcel Service, Inc. Class B		428,823

				6,459,548

		Utilities - 2.5%
	4,311	American Electric Power Co., Inc.		305,564
	5,856	CenterPoint Energy, Inc.		161,918
	5,353	Consolidated Edison, Inc.		407,845
	3,696	DTE Energy Co.		403,345
	5,650	Edison International		382,392
	942	Eversource Energy		57,876
	17,324	Exelon Corp.		756,366
	1,483	NextEra Energy, Inc.		248,551
	7,289	PG&E Corp.		335,367
	7,687	PPL Corp.⁽¹⁾		224,922
	9,798	Public Service Enterprise Group, Inc.		517,236
	937	Southern Co.		40,853
	1,671	WEC Energy Group, Inc.		111,556
	8,038	Xcel Energy, Inc.		379,474

				4,333,265


		Total Common Stocks (cost $160,787,644)	$	173,018,118


		Total Long-Term Investments (cost $160,787,644)	$	173,018,118


Shares or Principal Amount			Market Value^†
SHORT-TERM INVESTMENTS - 0.9%
		Securities Lending Collateral - 0.9%
	1,501,468	State Street Navigator Securities Lending Government Money Market Portfolio, 2.16%⁽²⁾	$	1,501,468


		U.S. Treasury Bill - 0.0%
$	25,000	U.S. Treasury Bill 2.09%, 12/06/2018⁽³⁾⁽⁴⁾		24,902

				24,902


		Total Short-Term Investments (cost $1,526,372)	$	1,526,370




Total Investments (cost $162,314,016)	100.7	%	$	174,544,488
Other Assets and Liabilities	(0.7	)%		(1,240,887	)

Total Net Assets	100.0	%	$	173,303,601

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


		56

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2018

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 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

⁽³⁾	The rate shown represents current yield to maturity.

⁽⁴⁾	This security, or a portion of this security, has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2018
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P 500 (E-Mini) Future		2		12/21/2018	$	291,900	$	725

Total futures contracts							$	725

^†	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, 2018

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2018 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	873,029	$	873,029	$	—	$	—
Banks		8,568,158		8,568,158		—		—
Capital Goods		8,097,407		8,097,407		—		—
Commercial & Professional Services		2,069,004		2,069,004		—		—
Consumer Durables & Apparel		1,997,608		1,997,608		—		—
Consumer Services		1,309,012		1,309,012		—		—
Diversified Financials		6,060,483		6,060,483		—		—
Energy		13,455,369		13,455,369		—		—
Food & Staples Retailing		4,775,087		4,775,087		—		—
Food, Beverage & Tobacco		3,440,519		3,440,519		—		—
Health Care Equipment & Services		18,898,330		18,898,330		—		—
Household & Personal Products		2,638,613		2,638,613		—		—
Insurance		11,982,294		11,982,294		—		—
Materials		7,533,554		7,533,554		—		—
Media & Entertainment		5,973,196		5,973,196		—		—
Pharmaceuticals, Biotechnology & Life Sciences		9,331,614		9,331,614		—		—
Real Estate		3,519,723		3,519,723		—		—
Retailing		15,312,648		15,312,648		—		—
Semiconductors & Semiconductor Equipment		7,658,101		7,658,101		—		—
Software & Services		8,272,719		8,272,719		—		—
Technology Hardware & Equipment		14,116,926		14,116,926		—		—
Telecommunication Services		6,341,911		6,341,911		—		—
Transportation		6,459,548		6,459,548		—		—
Utilities		4,333,265		4,333,265		—		—
Short-Term Investments		1,526,370		1,501,468		24,902		—
Futures Contracts⁽²⁾		725		725		—		—

Total	$	174,545,213	$	174,520,311	$	24,902	$	—

⁽¹⁾	For the year ended September 30, 2018, there were no transfers between any levels.

⁽²⁾	Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments.

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


		58

Hartford Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2018


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	817,908,920		$	65,540,986		$	22,963,816
Cash		1,462,078			71,587			2,930
Foreign currency		—			63,172			22,727
Receivables:
Investment securities sold		703,968			—			—
Fund shares sold		11,614,836			—			—
Dividends and interest		2,296,021			109,992			57,454
Securities lending income		21,548			550			1,750
Tax reclaims		323,628			421			3,212
Variation margin on futures contracts		—			—			215
Other assets		—			1,038			—

Total assets		834,330,999			65,787,746			23,052,104

Liabilities:
Bank overdraft - foreign cash		233,689			—			—
Obligation to return securities lending collateral		10,250,829			680,113			799,606
Payables:
Investment securities purchased		12,578,053			—			2,248
Investment management fees		182,466			25,738			7,143
Variation margin on futures contracts		20,355			1,726			—

Total liabilities		23,265,392			707,577			808,997

Net assets	$	811,065,607		$	65,080,169		$	22,243,107

Summary of Net Assets:
Paid-in-capital	$	813,854,354		$	68,470,337		$	20,469,934
Distributable earnings (loss)		(2,788,747	)		(3,390,168	)		1,773,173

Net assets	$	811,065,607		$	65,080,169		$	22,243,107

Net asset value per share	$	28.97		$	23.24		$	31.78

Shares issued and outstanding		28,000,000			2,800,000			700,000

Cost of investments	$	803,979,377		$	64,052,167		$	20,471,031
Cost of foreign currency	$	—		$	61,919		$	22,649
Cost of bank overdraft - foreign cash	$	235,331		$	—		$	—
⁽¹⁾ Includes Investment in securities on loan, at market value	$	57,629,995		$	1,363,537		$	2,628,183

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


		59

Hartford Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2018


	Hartford Multifactor Low Volatility International Equity ETF		Hartford Multifactor Low Volatility US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	5,496,698	$	5,746,819
Cash		4,037		2,922
Foreign currency		6,338		—
Receivables:
Dividends and interest		15,162		5,672
Securities lending income		33		33
Tax reclaims		2,288		—

Total assets		5,524,556		5,755,446

Liabilities:
Obligation to return securities lending collateral		53,191		11,269
Payables:
Investment management fees		1,290		898

Total liabilities		54,481		12,167

Net assets	$	5,470,075	$	5,743,279

Summary of Net Assets:
Paid-in-capital	$	5,136,723	$	5,112,980
Distributable earnings (loss)		333,352		630,299

Net assets	$	5,470,075	$	5,743,279

Net asset value per share	$	27.35	$	28.72

Shares issued and outstanding		200,000		200,000

Cost of investments	$	5,098,531	$	5,006,555
Cost of foreign currency	$	6,331	$	—
⁽¹⁾ Includes Investment in securities on loan, at market value	$	157,536	$	152,738

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


		60

Hartford Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2018


	Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	28,065,667		$	174,544,488
Cash		43,686			172,903
Receivables:
Dividends and interest		162,180			162,014
Securities lending income		537			813
Variation margin on futures contracts		1,998			—
Other assets		—			840

Total assets		28,274,068			174,881,058

Liabilities:
Obligation to return securities lending collateral		575,575			1,501,468
Payables:
Investment securities purchased		—			49,983
Investment management fees		10,467			25,916
Variation margin on futures contracts		—			90

Total liabilities		586,042			1,577,457

Net assets	$	27,688,026		$	173,303,601

Summary of Net Assets:
Paid-in-capital	$	27,821,937		$	164,769,765
Distributable earnings (loss)		(133,911	)		8,533,836

Net assets	$	27,688,026		$	173,303,601

Net asset value per share	$	15.38		$	33.01

Shares issued and outstanding		1,800,000			5,250,000

Cost of investments	$	27,610,868		$	162,314,016
⁽¹⁾ Includes Investment in securities on loan, at market value	$	1,939,725		$	3,362,288

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


		61

Hartford Multifactor ETFs

Statements of Operations

For the Year Ended September 30, 2018


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF
Investment Income:
Dividends	$	14,300,471		$	2,072,381		$	601,192
Interest		679			207			—
Securities lending		209,386			4,938			17,630
Less: Foreign tax withheld		(1,263,263	)		(273,179	)		(49,208	)

Total investment income, net		13,247,273			1,804,347			569,614

Expenses:
Investment management fees		1,167,111			320,477			93,401

Total expenses (before waivers)		1,167,111			320,477			93,401

Total expenses, net		1,167,111			320,477			93,401

Net Investment Income (Loss)		12,080,162			1,483,870			476,213

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions:
Net realized gain (loss) on investments		(5,884,137	)⁽¹⁾		(817,611	)⁽¹⁾		850,754	⁽¹⁾
Net realized gain (loss) on futures contracts		(41,627	)		(21,427	)		10,898
Net realized gain (loss) on other foreign currency transactions		(61,688	)		(20,393	)		(3,306	)

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(5,987,452	)		(859,431	)		858,346

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		2,108,451			(3,881,888	)		82,789
Net unrealized appreciation (depreciation) of futures contracts		5,132			1,376			(854	)
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		(208	)		2,423			320

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions		2,113,375			(3,878,089	)		82,255

Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(3,874,077	)		(4,737,520	)		940,601

Net Increase (Decrease) in Net Assets Resulting from Operations	$	8,206,085		$	(3,253,650	)	$	1,416,814

⁽¹⁾	Includes realized gains/(losses) as a result of in-kind redemptions (See Note 10 in Notes to Financial Statements).

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


		62

Hartford Multifactor ETFs

Statements of Operations

For the Year Ended September 30, 2018


	Hartford Multifactor Low Volatility International Equity ETF			Hartford Multifactor Low Volatility US Equity ETF
Investment Income:
Dividends	$	164,821		$	105,039
Securities lending		676			621
Less: Foreign tax withheld		(17,213	)		—

Total investment income, net		148,284			105,660

Expenses:
Investment management fees		18,007			10,544

Total expenses (before waivers)		18,007			10,544

Total expenses, net		18,007			10,544

Net Investment Income (Loss)		130,277			95,116

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions:
Net realized gain (loss) on investments		(41,792	)		(50,947	)
Net realized gain (loss) on foreign currency contracts		3			—
Net realized gain (loss) on other foreign currency transactions		(737	)		—

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions		(42,526	)		(50,947	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		184,074			604,114
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		(20	)		—

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions		184,054			604,114

Net Gain (Loss) on Investments and Foreign Currency Transactions		141,528			553,167

Net Increase (Decrease) in Net Assets Resulting from Operations	$	271,805		$	648,283

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


		63

Hartford Multifactor ETFs

Statements of Operations

For the Year Ended September 30, 2018


	Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Investment Income:
Dividends	$	717,702		$	1,678,515
Interest		55			124
Securities lending		6,918			10,632
Less: Foreign tax withheld		—			(183	)

Total investment income, net		724,675			1,689,088

Expenses:
Investment management fees		75,106			173,859

Total expenses (before waivers)		75,106			173,859

Total expenses, net		75,106			173,859

Net Investment Income (Loss)		649,569			1,515,229

Net Realized Gain (Loss) on Investments and Other Financial Instruments:
Net realized gain (loss) on investments		823,890	⁽¹⁾		1,317,723	⁽¹⁾
Net realized gain (loss) on futures contracts		4,464			13,123

Net Realized Gain (Loss) on Investments and Other Financial Instruments		828,354			1,330,846

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments:
Net unrealized appreciation (depreciation) of investments		257,553			8,291,839
Net unrealized appreciation (depreciation) of futures contracts		(409	)		725

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments		257,144			8,292,564

Net Gain (Loss) on Investments and Other Financial Instruments		1,085,498			9,623,410

Net Increase (Decrease) in Net Assets Resulting from Operations	$	1,735,067		$	11,138,639

⁽¹⁾	Includes realized gains/(losses) as a result of in-kind redemptions (See Note 10 in Notes to Financial Statements).

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


		64

Hartford 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, 2018			For the Year Ended September 30, 2017			For the Year Ended September 30, 2018			For the Year Ended September 30, 2017
Operations:
Net investment income (loss)	$	12,080,162		$	1,949,086		$	1,483,870		$	740,348
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		(5,987,452	)		157,190			(859,431	)		(147,090	)
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		2,113,375			10,204,543			(3,878,089	)		4,665,940

Net Increase (Decrease) in Net Assets Resulting from Operations		8,206,085			12,310,819			(3,253,650	)		5,259,198

Distributions to Shareholders⁽¹⁾		(8,013,824	)		(1,474,420	)		(1,141,715	)		(592,581	)

Fund Share Transactions:
Sold		738,684,038			94,471,911			25,448,866			17,786,392
Redeemed		(59,138,041	)		(8,420,992	)		(2,229,949	)		—
Other Capital		321			—			17,212			—

Net increase from capital share transactions		679,546,318			86,050,919			23,236,129			17,786,392

Net Increase (Decrease) in Net Assets		679,738,579			96,887,318			18,840,764			22,453,009

Net Assets:
Beginning of period		131,327,028			34,439,710			46,239,405			23,786,396

End of period	$	811,065,607		$	131,327,028		$	65,080,169		$	46,239,405

⁽¹⁾

Per the Securities Exchange Commission Release #33-10532 “Disclosure Update and Simplification” it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose the Funds undistributed net investment income within the Funds’ Statement of Changes. The presentation for the year ended September 30, 2017 has been modified accordingly. At September 30, 2017, all fund distributions were characterized as distributions from net investment income and the Fund’s undistributed net investment income was as follows:


Fund		Undistributed Net Investment Income
Hartford Multifactor Developed Markets (ex-US) ETF		$ 1,005,366
Hartford Multifactor Emerging Markets ETF		347,950

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


		65

Hartford Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Global Small Cap ETF						Hartford Multifactor Low Volatility International Equity ETF
	For the Year Ended September 30, 2018			For the Year Ended September 30, 2017			For the Year Ended September 30, 2018			For the Period Ended September 30, 2017⁽¹⁾
Operations:
Net investment income (loss)	$	476,213		$	268,553		$	130,277		$	46,919
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		858,346			850,129			(42,526	)		(11,348	)
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		82,255			1,525,835			184,054			214,079

Net Increase (Decrease) in Net Assets Resulting from Operations		1,416,814			2,644,517			271,805			249,650

Distributions to Shareholders⁽²⁾		(470,072	)		(251,783	)		(118,511	)		(14,211	)

Fund Share Transactions:
Sold		6,275,566			8,539,305			—			7,743,372
Redeemed		(3,128,922	)		(2,968,571	)		—			(2,662,030	)
Other Capital		1,646			—			—			—

Net increase from capital share transactions		3,148,290			5,570,734			—			5,081,342

Net Increase (Decrease) in Net Assets		4,095,032			7,963,468			153,294			5,316,781

Net Assets:
Beginning of period		18,148,075			10,184,607			5,316,781			—

End of period	$	22,243,107		$	18,148,075		$	5,470,075		$	5,316,781

⁽¹⁾	Commenced operations on May 10, 2017.

⁽²⁾

Per the Securities Exchange Commission Release #33-10532 “Disclosure Update and Simplification” it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose the Funds undistributed net investment income within the Funds’ Statement of Changes. The presentation for the year/period ended September 30, 2017 has been modified accordingly. At September 30, 2017, all fund distributions were characterized as distributions from net investment income and the Fund’s undistributed net investment income was as follows:


Fund		Undistributed Net Investment Income
Hartford Multifactor Global Small Cap ETF		$ 136,574
Hartford Multifactor Low Volatility International Equity ETF		28,530
Hartford Multifactor Low Volatility US Equity ETF		4,042

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


		66

Hartford Multifactor ETFs

Statements of Changes in Net Assets – (continued)


Hartford Multifactor Low Volatility US Equity ETF
For the Year Ended September 30, 2018			For the Period Ended September 30, 2017⁽¹⁾

$	95,116		$	30,508
	(50,947	)		(36,047	)
	604,114			136,150

	648,283			130,611

	(96,129	)		(25,561	)


	1,329,697			5,033,332
	—			(1,276,954	)
	—			—

	1,329,697			3,756,378

	1,881,851			3,861,428


	3,861,428			—

$	5,743,279		$	3,861,428

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


		67

Hartford Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor REIT ETF						Hartford Multifactor US Equity ETF
	For the Year Ended September 30, 2018			For the Period Ended September 30, 2017⁽¹⁾			For the Year Ended September 30, 2018			For the Year Ended September 30, 2017
Operations:
Net investment income (loss)	$	649,569		$	218,318		$	1,515,229		$	522,633
Net realized gain (loss) on investments and other financial instruments		828,354			113,713			1,330,846			2,469,755
Net changes in unrealized appreciation (depreciation) of investments and other financial instruments		257,144			197,246			8,292,564			2,146,848

Net Increase (Decrease) in Net Assets Resulting from Operations		1,735,067			529,277			11,138,639			5,139,236

Distributions to Shareholders ⁽²⁾:
From distributable earnings		(677,992	)		(189,895	)		(1,496,009	)		(500,859	)
From tax return of capital		(41,564	)		—			—			—

Total distributions		(719,556	)		(189,895	)		(1,496,009	)		(500,859	)

Fund Share Transactions:
Sold		26,773,879			13,571,282			142,311,556			15,231,487
Redeemed		(9,438,842	)		(4,573,186	)		(13,174,555	)		(13,456,609	)

Net increase from capital share transactions		17,335,037			8,998,096			129,137,001			1,774,878

Net Increase (Decrease) in Net Assets		18,350,548			9,337,478			138,779,631			6,413,255

Net Assets:
Beginning of period		9,337,478			—			34,523,970			28,110,715

End of period	$	27,688,026		$	9,337,478		$	173,303,601		$	34,523,970

⁽¹⁾	Commenced operations on October 3, 2016.

⁽²⁾

Per the Securities Exchange Commission Release #33-10532 “Disclosure Update and Simplification” it is no longer required to differentiate distributions from earnings as either net investment income or net realized capital gains or disclose the Funds undistributed net investment income within the Funds’ Statement of Changes. The presentation for the year/period ended September 30, 2017 has been modified accordingly. At September 30, 2017, Hartford Multifactor REIT ETF distributed $184,839 from net investment income and $5,056 from net realized gain on investments and Hartford Multifactor US Equity ETF distributions were all characterized as distributions from net investment income. The Fund’s undistributed net investment income was as follows:


Fund		Undistributed Net Investment Income
Hartford Multifactor REIT ETF		$ 28,423
Hartford Multifactor US Equity ETF		8,981

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


		68

Hartford 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 Investments			Total from Investment Operations			Other Capital			Dividends from Net Investment Income			Distributions from Capital Gains		Return of Capital		Total Dividends and Distributions			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 Investment Income (Loss) to Average Net Assets			Portfolio Turnover⁽⁴⁾
Hartford Multifactor Developed Markets (ex-US) ETF
For the Year Ended September 30, 2018
$ 28.24	$	0.91	$	0.45	⁽¹²⁾	$	1.36		$	—	⁽⁵⁾	$	(0.63	)	$	—	$	—	$	(0.63	)	$	28.97		4.85	%	$	811,066		0.31	%		0.31	%		3.17	%		47	%

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⁽⁶⁾
$ 25.00	$	0.55	$	(2.35	)	$	(1.80	)	$	—		$	(0.36	)	$	—	$	—	$	(0.36	)	$	22.84		(7.36	)%	$	27,406		0.50	%⁽⁷⁾		0.50	%⁽⁷⁾		3.75	%⁽⁷⁾		42	%

Hartford Multifactor Emerging Markets ETF
For the Year Ended September 30, 2018
$ 24.34	$	0.60	$	(1.24	)	$	(0.64	)	$	0.01		$	(0.47	)	$	—	$	—	$	(0.47	)	$	23.24		(2.64	)%	$	65,080		0.52	%		0.52	%		2.42	%		25	%

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⁽⁶⁾
$ 25.00	$	0.44	$	(5.55	)	$	(5.11	)	$	—		$	(0.21	)	$	—	$	—	$	(0.21	)	$	19.68		(20.59	)%	$	19,685		0.65	%⁽⁷⁾		0.65	%⁽⁷⁾		3.23	%⁽⁷⁾		17	%

Hartford Multifactor Global Small Cap ETF
For the Year Ended September 30, 2018
$ 30.25	$	0.72	$	1.54		$	2.26		$	—	⁽⁵⁾	$	(0.73	)	$	—	$	—	$	(0.73	)	$	31.78		7.52	%	$	22,243		0.44	%		0.44	%		2.26	%		41	%

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⁽⁸⁾
$ 25.00	$	0.44	$	(2.54	)	$	(2.10	)	$	—		$	(0.21	)	$	—	$	—	$	(0.21	)	$	22.69		(8.50	)%	$	6,807		0.60	%⁽⁷⁾		0.60	%⁽⁷⁾		3.44	%⁽⁷⁾		44	%

Hartford Multifactor Low Volatility International Equity ETF
For the Year Ended September 30, 2018
$ 26.58	$	0.65	$	0.71		$	1.36		$	—		$	(0.59	)	$	—	$	—	$	(0.59	)	$	27.35		5.16	%	$	5,470		0.33	%		0.33	%		2.37	%		35	%

For the Period Ended September 30, 2017⁽⁹⁾
$ 25.02	$	0.30	$	1.40		$	1.70		$	—		$	(0.14	)	$	—	$	—	$	(0.14	)	$	26.58		6.84	%⁽¹⁰⁾	$	5,317		0.39	%⁽⁷⁾		0.39	%⁽⁷⁾		3.01	%⁽⁷⁾		48	%

Hartford Multifactor Low Volatility US Equity ETF
For the Year Ended September 30, 2018
$ 25.74	$	0.54	$	2.96		$	3.50		$	—		$	(0.52	)	$	—	$	—	$	(0.52	)	$	28.72		13.73	%	$	5,743		0.22	%		0.22	%		2.00	%		26	%

For the Period Ended September 30, 2017⁽⁹⁾
$ 25.03	$	0.20	$	0.68		$	0.88		$	—		$	(0.17	)	$	—	$	—	$	(0.17	)	$	25.74		3.53	%⁽¹⁰⁾	$	3,861		0.29	%⁽⁷⁾		0.29	%⁽⁷⁾		2.05	%⁽⁷⁾		16	%

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


		69

Hartford 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 Investments			Total from Investment Operations			Other Capital		Dividends from Net Investment Income			Distributions from Capital Gains			Return of Capital			Total Dividends and Distributions			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 Investment Income (Loss) to Average Net Assets			Portfolio Turnover⁽⁴⁾
Hartford Multifactor REIT ETF
For the Year Ended September 30, 2018
$ 15.56	$	0.59	$	(0.12	)⁽¹²⁾	$	0.47		$	—	$	(0.61	)	$	—		$	(0.04	)	$	(0.65	)	$	15.38		3.27	%	$	27,688		0.45	%		0.45	%		3.89	%		35	%

For the Period Ended September 30, 2017⁽¹¹⁾
$ 14.79	$	0.50	$	0.74		$	1.24		$	—	$	(0.45	)	$	(0.02	)	$	—		$	(0.47	)	$	15.56		8.47	%⁽¹⁰⁾	$	9,337		0.50	%⁽⁷⁾		0.45	%⁽⁷⁾		3.29	%⁽⁷⁾		43	%

Hartford Multifactor US Equity ETF
For the Year Ended September 30, 2018
$ 28.77	$	0.57	$	4.15		$	4.72		$	—	$	(0.48	)	$	—		$	—		$	(0.48	)	$	33.01		16.47	%	$	173,304		0.21	%		0.21	%		1.80	%		36	%

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⁽⁶⁾
$ 25.00	$	0.26	$	(2.11	)	$	(1.85	)	$	—	$	(0.25	)	$	—		$	—		$	(0.25	)	$	22.90		(7.46	)%⁽¹⁰⁾	$	22,900		0.35	%⁽⁷⁾		0.35	%⁽⁷⁾		1.82	%⁽⁷⁾		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⁾	Per share amount is less than $0.005.

⁽⁶⁾	Commenced operations on February 25, 2015.

⁽⁷⁾	Annualized.

⁽⁸⁾	Commenced operations on March 23, 2015.

⁽⁹⁾	Commenced operations on May 10, 2017.

⁽¹⁰⁾	Not annualized.

⁽¹¹⁾	Commenced operations on October 3, 2016.

⁽¹²⁾	Per share amount was not in accord with the net realized and unrealized gain (loss) for the period because of the timing of transactions in shares of the Fund and the amount and timing of per-share net realized and unrealized gain (loss) on such shares.

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


		70

Hartford Multifactor ETFs

Notes to Financial Statements

September 30, 2018

1.	Organization:

Lattice Strategies Trust (the “Trust”) is an open-end registered management investment company comprised of seven series as of September 30, 2018. 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 Cboe BZX Exchange, Inc. (“Cboe BZX”). Each share of a Fund represents a partial ownership in the Fund’s assets and liabilities, including securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund only in Creation Units at net asset value (“NAV”) 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 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. Multifactor Global Small Cap ETF commenced operations on March 23, 2015. Each of the other Funds commenced operations on February 25, 2015.

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 the New York Stock Exchange (ordinarily 4:00 p.m. Eastern time) (“NYSE Close”) 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 as set forth in the Funds’ prospectus or statement of additional information or 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.


		71

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV of each Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions.

If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of the Trustees of the Trust (the “Board of Trustees”) (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.

Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase or redeem shares of the Fund.

Fixed income investments (other than short-term obligations) held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. 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 derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange. If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the NYSE Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the NYSE Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency 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 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.

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, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies 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 the Valuation Procedures.

U.S. Generally Accepted Accounting Principles (“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


		72

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; 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.

The Board of Trustees has approved procedures that govern the valuation of portfolio investments, including in circumstances where market quotes are not readily available. The Board of Trustees has delegated the day-to-day responsibility for implementing these procedures to the Valuation Committee. 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 of Trustees.

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 ETF 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. Please refer to Note 8 for Securities Lending Information.

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 may also be subject to taxes withheld on foreign dividends from securities in which the Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or 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.


		73

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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 amounts may vary significantly from period to period and realized gains, if any, are paid at least once a year. Dividends may be declared and paid more frequently or at any other times 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, 2018.

4.	Financial Derivative Instruments:

Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant (“FCM”) an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value (“variation margin”) is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.

During the year ended September 30, 2018, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF, Multifactor REIT ETF and Multifactor US Equity ETF used Futures Contracts.

Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the


		74

Hartford Multifactor ETFs

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September 30, 2018

value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder.

During the year ended September 30, 2018, Multifactor Low Volatility International Equity ETF used Foreign Currency Contracts.

Additional Derivative Instrument Information:

Multifactor Developed Markets (ex-US) ETF

Fair Value of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2018:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:
Unrealized appreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	5,132	$	—	$	—	$	5,132

Total	$	—	$	—	$	—	$	5,132	$	—	$	—	$	5,132

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts			Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	(41,627	)	$	—	$	—	$	(41,627	)

Total	$	—	$	—	$	—	$	(41,627	)	$	—	$	—	$	(41,627	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	5,132		$	—	$	—	$	5,132

Total	$	—	$	—	$	—	$	5,132		$	—	$	—	$	5,132

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Futures Contracts Long at Number of Contracts		15

Multifactor Emerging Markets ETF

Fair Value of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2018:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:
Unrealized appreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	1,376	$	—	$	—	$	1,376

Total	$	—	$	—	$	—	$	1,376	$	—	$	—	$	1,376


		75

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Multifactor Emerging Markets ETF – (continued)

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts			Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	(21,427	)	$	—	$	—	$	(21,427	)

Total	$	—	$	—	$	—	$	(21,427	)	$	—	$	—	$	(21,427	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	1,376		$	—	$	—	$	1,376

Total	$	—	$	—	$	—	$	1,376		$	—	$	—	$	1,376

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Futures Contracts Long at Number of Contracts		5

Multifactor Global Small Cap ETF

Fair Value of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2018:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Liabilities:
Unrealized depreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	854	$	—	$	—	$	854

Total	$	—	$	—	$	—	$	854	$	—	$	—	$	854

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts			Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	10,898		$	—	$	—	$	10,898

Total	$	—	$	—	$	—	$	10,898		$	—	$	—	$	10,898


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(854	)	$	—	$	—	$	(854	)

Total	$	—	$	—	$	—	$	(854	)	$	—	$	—	$	(854	)

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Futures Contracts Long at Number of Contracts		1


		76

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Multifactor Low Volatility International Equity ETF

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on foreign currency contracts	$	—	$	3	$	—	$	—	$	—	$	—	$	3

Total	$	—	$	3	$	—	$	—	$	—	$	—	$	3

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Foreign Currency Contracts Purchase at Contract Amount	$	43
Foreign Currency Contracts Sold at Contract Amount	$	117

Multifactor REIT ETF

Fair Value of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2018:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Liabilities:
Unrealized depreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	409	$	—	$	—	$	409

Total	$	—	$	—	$	—	$	409	$	—	$	—	$	409

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts			Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	4,464		$	—	$	—	$	4,464

Total	$	—	$	—	$	—	$	4,464		$	—	$	—	$	4,464

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(409	)	$	—	$	—	$	(409	)

Total	$	—	$	—	$	—	$	(409	)	$	—	$	—	$	(409	)

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Futures Contracts Long at Number of Contracts		2


		77

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Multifactor US Equity ETF

Fair Value of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2018:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:
Unrealized appreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	725	$	—	$	—	$	725

Total	$	—	$	—	$	—	$	725	$	—	$	—	$	725

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2018


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	13,123	$	—	$	—	$	13,123

Total	$	—	$	—	$	—	$	13,123	$	—	$	—	$	13,123


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	725	$	—	$	—	$	725

Total	$	—	$	—	$	—	$	725	$	—	$	—	$	725

For the year ended September 30, 2018, the average amount or number per contract outstanding for each derivative type was as follows:


Derivative Description	Average Notional Par, Contracts or Face Amount
Futures Contracts Long at Number of Contracts		2

⁽¹⁾

Amount represents the cumulative appreciation (depreciation) on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities.

Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund’s custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at a Fund’s custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy.

The following tables present a Fund’s derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement (“MNA”) and net of the related collateral received/pledged by a Fund as of September 30, 2018:

Multifactor Developed Markets (ex-US) ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	5,132		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		5,132			—

Derivatives not subject to a MNA		(5,132	)		—

Total gross amount of assets and liabilities subject to MNA or similar agreements		—			—


		78

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Multifactor Emerging Markets ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	1,376		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		1,376			—

Derivatives not subject to a MNA		(1,376	)		—

Total gross amount of assets and liabilities subject to MNA or similar agreements		—			—

Multifactor Global Small Cap ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(854	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(854	)

Derivatives not subject to a MNA		—		854

Total gross amount of assets and liabilities subject to MNA or similar agreements		—		—

Multifactor REIT ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(409	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(409	)

Derivatives not subject to a MNA		—		409

Total gross amount of assets and liabilities subject to MNA or similar agreements		—		—

Multifactor US Equity ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	725		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		725			—

Derivatives not subject to a MNA		(725	)		—

Total gross amount of assets and liabilities subject to MNA or similar agreements		—			—

5.	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.

The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments.

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;


		79

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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.

6.	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 distribute substantially all of its income and capital gains during the calendar year ending December 31, 2018. 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, 2018 and September 30, 2017 are as follows (as adjusted for dividends payable, if applicable):


	For the Year Ended September 30, 2018				For the Year Ended September 30, 2017
Fund	Ordinary Income		Tax Return of Capital		Ordinary Income
Multifactor Developed Markets (ex-US) ETF	$	8,013,824	$	—		1,474,420
Multifactor Emerging Markets ETF		1,141,715		—		592,581
Multifactor Global Small Cap ETF		470,072		—		251,783
Multifactor Low Volatility International Equity ETF		118,511		—		14,211	⁽¹⁾
Multifactor Low Volatility US Equity ETF		96,129		—		25,561	⁽¹⁾
Multifactor REIT ETF		677,992		41,564		189,895
Multifactor US Equity ETF		1,496,009		—		500,859

⁽¹⁾

For the period ended September 30, 2017.


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Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

As of September 30, 2018, 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			Unrealized Appreciation (Depreciation) on Investments		Total Accumulated Earnings (Deficit)
Multifactor Developed Markets (ex-US) ETF	$	6,542,666	$	(19,848,889	)	$	10,517,476	$	(2,788,747	)
Multifactor Emerging Markets ETF		701,908		(5,327,962	)		1,235,886		(3,390,168	)
Multifactor Global Small Cap ETF		249,010		(811,714	)		2,335,877		1,773,173
Multifactor Low Volatility International Equity ETF		55,369		(89,251	)		367,234		333,352
Multifactor Low Volatility US Equity ETF		1,717		(107,204	)		735,786		630,299
Multifactor REIT ETF		—		(378,237	)		244,326		(133,911	)
Multifactor US Equity ETF		11,129		(3,260,183	)		11,782,890		8,533,836

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 expiration of capital loss carryforwards and write-off of net operating losses and accounting for in-kind redemptions. 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 on the type of book and tax differences that exist. For the year ended September 30, 2018, the Funds recorded reclassifications to increase (decrease) the accounts listed below:


Fund	Paid-in-Capital			Distributable earnings (loss)
Multifactor Developed Markets (ex-US) ETF	$	11,867,504		$	(11,867,504	)
Multifactor Emerging Markets ETF		867,084		$	(867,084	)
Multifactor Global Small Cap ETF		984,106		$	(984,106	)
Multifactor Low Volatility International Equity ETF		(15	)	$	15
Multifactor Low Volatility US Equity ETF		6		$	(6	)
Multifactor REIT ETF		1,170,086		$	(1,170,086	)
Multifactor US Equity ETF		3,024,628		$	(3,024,628	)

Tax Basis of Investments – GAAP/tax differences in cost and unrealized gain/loss are primarily attributed to wash sale loss deferrals and PFIC mark-to-market adjustments. 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	$	807,390,612	$	32,955,387	$	(22,435,836	)	$	10,519,551
Multifactor Emerging Markets ETF		64,307,040		5,800,762		(4,566,816	)		1,233,946
Multifactor Global Small Cap ETF		20,627,834		3,230,009		(894,027	)		2,335,982
Multifactor Low Volatility International Equity ETF		5,129,430		527,567		(160,299	)		367,268
Multifactor Low Volatility US Equity ETF		5,011,033		782,830		(47,044	)		735,786
Multifactor REIT ETF		27,821,341		714,236		(469,910	)		244,326
Multifactor US Equity ETF		162,761,598		14,376,069		(2,593,179	)		11,782,890


		81

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period.

At September 30, 2018 (tax year end), each Fund’s capital loss carryforwards for U.S. federal income tax purposes were as follows:


Fund	Perpetual Short-Term Capital Loss Carryforward		Perpetual Long-Term Capital Loss Carryforward
Multifactor Developed Markets (ex-US) ETF	$	18,678,259	$	1,170,630
Multifactor Emerging Markets ETF		3,908,203		1,419,759
Multifactor Global Small Cap ETF		767,736		43,978
Multifactor Low Volatility International Equity ETF		78,336		10,915
Multifactor Low Volatility US Equity ETF		81,867		25,337
Multifactor REIT ETF		288,430		89,807
Multifactor US Equity ETF		2,851,196		408,987

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, 2018, 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 three years, no examination is currently in progress. Management 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.

7.	Expenses:

Investment Advisory Agreement – Lattice Strategies LLC (“the Adviser”) serves as each Fund’s investment adviser pursuant to an Investment Advisory 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 BNY Mellon Asset Management North America Corporation (“BNY Mellon AMNA”) under a sub-advisory agreement pursuant to which BNY Mellon AMNA performs the daily investment of the assets of each Fund in accordance with each Fund’s investment objective and policies. Each Fund pays a fee to Lattice, a portion of which may be used to compensate BNY Mellon AMNA.

The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of September 30, 2018; 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		0.29%
Multifactor Emerging Markets ETF		0.49%
Multifactor Global Small Cap ETF		0.39%
Multifactor Low Volatility International Equity ETF		0.29%
Multifactor Low Volatility US Equity ETF		0.19%
Multifactor REIT ETF		0.45%
Multifactor US Equity ETF		0.19%

Prior to February 15, 2018, the Funds listed below paid the following rates to Lattice for investment advisory services rendered:


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%


		82

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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) 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 Adviser also does not pay any acquired fund fees and expenses. 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.

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

For the year ended September 30, 2018, the Funds did not pay any Rule 12b-1 fees.

8.	Securities Lending:

Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. and non-U.S. markets in an amount not to exceed one third (33¹⁄₃%) 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 interest or cash or non-cash distributions paid on the loaned securities. A Fund cannot vote proxies for securities on loan, but may recall loans to vote proxies if a material issue affecting the Fund’s economic interest in the investment is to be voted upon. Interest earned on securities out on loan is 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 seek to 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 who administer the lending program for the Funds in accordance with guidelines approved by the Board. In such capacity, the lending agent causes the delivery of loaned securities from a Fund to borrowers, arranges for the return of loaned securities to the Fund at the termination of a loan, requests deposit of collateral, monitors the daily value of the loaned securities and collateral, requests that borrowers add to the collateral when required by the loan agreements, and provides recordkeeping and accounting services necessary for the operation of the program. State Street has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. 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 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 securities loaned may cause a Fund to lose the opportunity to sell the securities at a desirable price.


		83

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

At September 30, 2018, 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⁽¹⁾
Multifactor Developed Markets (ex-US) ETF	$	57,629,995	$	10,250,829	$	50,293,006
Multifactor Emerging Markets ETF		1,363,537		680,113		735,639
Multifactor Global Small Cap ETF		2,628,183		799,606		1,937,375
Multifactor Low Volatility International Equity ETF		157,536		53,191		112,940
Multifactor Low Volatility US Equity ETF		152,738		11,269		144,894
Multifactor REIT ETF		1,939,725		575,575		1,432,817
Multifactor US Equity ETF		3,362,288		1,501,468		1,960,897

⁽¹⁾

These securities are held for the benefit of the Fund at the Fund’s custodian. The Fund cannot repledge or resell this collateral. As such, non-cash collateral is excluded from the Statement of Assets and Liabilities.

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, 2018.

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	$	10,250,829	$	—	$	—	$	—	$	10,250,829

Total Borrowings	$	10,250,829	$	—	$	—	$	—	$	10,250,829

Gross amount of recognized liabilities for securities lending transactions									$	10,250,829

⁽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	$	680,113	$	—	$	—	$	—	$	680,113

Total Borrowings	$	680,113	$	—	$	—	$	—	$	680,113

Gross amount of recognized liabilities for securities lending transactions									$	680,113

⁽¹⁾


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Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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	$	799,606	$	—	$	—	$	—	$	799,606

Total Borrowings	$	799,606	$	—	$	—	$	—	$	799,606

Gross amount of recognized liabilities for securities lending transactions									$	799,606

⁽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	$	53,191	$	—	$	—	$	—	$	53,191

Total Borrowings	$	53,191	$	—	$	—	$	—	$	53,191

Gross amount of recognized liabilities for securities lending transactions									$	53,191

⁽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	$	11,269	$	—	$	—	$	—	$	11,269

Total Borrowings	$	11,269	$	—	$	—	$	—	$	11,269

Gross amount of recognized liabilities for securities lending transactions									$	11,269

⁽¹⁾


		85

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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	$	575,575	$	—	$	—	$	—	$	575,575

Total Borrowings	$	575,575	$	—	$	—	$	—	$	575,575

Gross amount of recognized liabilities for securities lending transactions									$	575,575

⁽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	$	1,501,468	$	—	$	—	$	—	$	1,501,468

Total Borrowings	$	1,501,468	$	—	$	—	$	—	$	1,501,468

Gross amount of recognized liabilities for securities lending transactions									$	1,501,468

⁽¹⁾

9.	Custodian and Transfer Agent:

State Street serves as Custodian for the Funds pursuant to a custodian agreement (“Custodian Agreement”) dated December 31, 2014, as amended November 21, 2017. 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 serves as Transfer Agent of each Fund pursuant to a transfer agency agreement (“Transfer Agency Agreement”) dated February 13, 2018. 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 Custodian Agreement and Transfer Agency Agreement, the Adviser, and not the Funds, compensates State Street pursuant to the Funds’ unitary management fee structure.

10.

Investment Transactions:

For the year ended September 30, 2018, 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	$	214,500,796	$	184,532,738
Multifactor Emerging Markets ETF		26,624,269		15,303,746
Multifactor Global Small Cap ETF		11,541,259		8,541,280
Multifactor Low Volatility International Equity ETF		1,942,951		1,941,741
Multifactor Low Volatility US Equity ETF		1,292,840		1,257,241
Multifactor REIT ETF		6,092,359		6,272,802
Multifactor US Equity ETF		30,793,513		31,063,665


		86

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

For the year ended September 30, 2018, 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	$	710,025,881	$	59,307,795	$	12,438,966
Multifactor Emerging Markets ETF		14,245,454		2,200,462		811,997
Multifactor Global Small Cap ETF		2,748,966		2,606,544		999,621
Multifactor Low Volatility International Equity ETF		—		—		—
Multifactor Low Volatility US Equity ETF		1,328,878		—		—
Multifactor REIT ETF		26,771,374		9,453,274		1,205,515
Multifactor US Equity ETF		142,255,491		13,091,671		3,039,013

11.

Share Transactions:

The 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 a 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. Each 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. 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 or outside of the Clearing Process, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown for each Fund:


Fund	Standard Creation Unit Shares		Standard In-Kind Creation Fee		Value at September 30, 2018		Standard In-Kind Redemption Fee
Multifactor Developed Markets (ex-US) ETF		50,000	$	3,000	$	1,448,500	$	3,000
Multifactor Emerging Markets ETF		100,000	$	2,000		2,324,000	$	2,000
Multifactor Global Small Cap ETF		100,000	$	2,000		3,178,000	$	2,000
Multifactor Low Volatility International Equity ETF		100,000	$	2,200		2,735,000	$	2,200
Multifactor Low Volatility US Equity ETF		50,000	$	650		1,436,000	$	650
Multifactor REIT ETF		100,000	$	250		1,538,000	$	250
Multifactor US Equity ETF		50,000	$	800		1,650,500	$	800

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 on the NYSE Arca and shares of Multifactor Low Volatility International Equity ETF and Multifactor Low Volatility US Equity ETF are listed on the Cboe BZX. Shares of each Fund 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. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares.

Because each Fund is structured as an ETF, individual Shares may only be purchased and sold on the listing exchange through a broker-dealer. The price of Shares is based on market price, and because ETF shares trade at market prices rather than at NAV, Shares may


		87

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

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 year ended September 30, 2018, and the year/period ended September 30, 2017:


Multifactor Developed Markets (ex-US) ETF
	For the Year Ended September 30, 2018						For the Year Ended September 30, 2017
	Shares			Amount			Shares			Amount
Shares Sold		25,400,000		$	738,684,038			3,550,000		$	94,471,911
Shares Redeemed		(2,050,000	)		(59,138,041	)		(300,000	)		(8,420,992	)
Other Capital		—			321			—			—

Net Increase (Decrease)		23,350,000			679,546,318			3,250,000			86,050,919


Multifactor Emerging Markets ETF
	For the Year Ended September 30, 2018						For the Year Ended September 30, 2017
	Shares			Amount			Shares			Amount
Shares Sold		1,000,000		$	25,448,866			800,000		$	17,786,392
Shares Redeemed		(100,000	)		(2,229,949	)		—			—
Other Capital		—			17,212			—			—

Net Increase (Decrease)		900,000			23,236,129			800,000			17,786,392


Multifactor Global Small Cap ETF
	For the Year Ended September 30, 2018						For the Year Ended September 30, 2017
	Shares			Amount			Shares			Amount
Shares Sold		200,000		$	6,275,566			300,000		$	8,539,305
Shares Redeemed		(100,000	)		(3,128,922	)		(100,000	)		(2,968,571	)
Other Capital		—			1,646			—			—

Net Increase (Decrease)		100,000			3,148,290			200,000			5,570,734


Multifactor Low Volatility International Equity ETF
	For the Year Ended September 30, 2018						For the Period Ended September 30, 2017⁽¹⁾
	Shares			Amount			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.


		88

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018


Multifactor Low Volatility US Equity ETF
	For the Year Ended September 30, 2018				For the Period Ended September 30, 2017⁽¹⁾
	Shares		Amount		Shares			Amount
Shares Sold		50,000	$	1,329,697		200,004		$	5,033,332
Shares Redeemed		—		—		(50,004	)		(1,276,954	)

Net Increase (Decrease)		50,000		1,329,697		150,000			3,756,378

⁽¹⁾

Commenced operations on May 10, 2017.


Multifactor REIT ETF
	For the Year Ended September 30, 2018						For the Period Ended September 30, 2017⁽¹⁾
	Shares			Amount			Shares			Amount
Shares Sold		1,800,000		$	26,773,879			900,000		$	13,571,282
Shares Redeemed		(600,000	)		(9,438,842	)		(300,000	)		(4,573,186	)

Net Increase (Decrease)		1,200,000			17,335,037			600,000			8,998,096

⁽¹⁾

Commenced operations on October 3, 2016.


Multifactor US Equity ETF
	For the Year Ended September 30, 2018						For the Year Ended September 30, 2017
	Shares			Amount			Shares			Amount
Shares Sold		4,450,000		$	142,311,556			550,000		$	15,231,487
Shares Redeemed		(400,000	)		(13,174,555	)		(500,000	)		(13,456,609	)

Net Increase (Decrease)		4,050,000			129,137,001			50,000			1,774,878

12.

Affiliate Holdings:

As of September 30, 2018, affiliates of The Hartford had ownership of shares in each Fund as follows:


Fund	Percentage of Fund
Multifactor Low Volatility International Equity ETF		45	%
Multifactor Low Volatility US Equity ETF		68	%

As of September 30, 2018, affiliated funds of funds in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of its shares from these affiliated funds of funds. Affiliated funds of funds owned shares in each Fund listed below as follows:


Fund	Percentage of Fund
Multifactor Developed Markets (ex-US) ETF		5	%
Multifactor US Equity ETF		44	%

13.

Indemnifications:

Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.


		89

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2018

14.

Recent Accounting Pronouncements:

The FASB recently issued ASU 2017-08[1] (the “ASU” or “Update”) to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. The ASU is available here, and becomes effective for public entities for fiscal years beginning after December 15, 2018, and for private entities one year later. Management is currently evaluating the implication, if any, of additional disclosure and its impact on the Funds’ financial statements.

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019, including interim periods within those fiscal years. Management is currently evaluating the implication, if any, of additional disclosure and its impact on the Funds’ financial statements.

15.

Subsequent Events:

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


		90

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of

Trustees of Lattice Strategies Trust,

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of Lattice Strategies Trust (the “Trust”) (comprising 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) (collectively referred to as the “Funds”)), including the schedules of investments, as of September 30, 2018, and the related statements of operations, changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Lattice Strategies Trust at September 30, 2018, the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.


Funds comprising Lattice Strategies Trust	Statement of operations	Statements of changes in net assets	Financial highlights
Hartford Multifactor Developed Markets (ex-US) ETF Hartford Multifactor Emerging Markets ETF Hartford Multifactor Global Small Cap ETF Hartford Multifactor US Equity ETF	For the year ended September 30, 2018	For each of the two years in the period ended September 30, 2018	For each of the three years in the period ended September 30, 2018
Hartford Multifactor REIT ETF	For the year ended September 30, 2018	For the year ended September 30, 2018 and the period from October 3, 2016 (commencement of operations) through September 30, 2017
Hartford Multifactor Low Volatility International Equity ETF Hartford Multifactor Low Volatility US Equity ETF	For the year ended September 30, 2018	For the year ended September 30, 2018 and the period from May 10, 2017 (commencement of operations) through September 30, 2017

The financial highlights of the Hartford Multifactor Developed Markets (ex-US) ETF, Hartford Multifactor Emerging Markets ETF, Hartford Multifactor Global Small Cap ETF and Hartford Multifactor US Equity ETF, for the period presented through September 30, 2015, were audited by other auditors whose report dated November 24, 2015, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting 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.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

LOGO

We have served as the auditor of one or more Hartford investment companies since 2002.

Philadelphia, Pennsylvania

November 28, 2018


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Hartford Multifactor ETFs

Trustees and Officers of the Trust (Unaudited)

Lattice Strategies Trust (the “Trust”) is governed by a Board of Trustees (the “Trustees”). The following tables present certain information regarding the Trustees and officers of the Trust as of September 30, 2018. For more information regarding the Trustees and officers, please refer to the Statement of Additional Information, which is available, without charge, upon request by calling 1-415-315-6600.


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
NON-INTERESTED TRUSTEES

HILARY E. ACKERMANN⁽⁴⁾ (1956)	Trustee and Chair of the Compliance and Risk Oversight Committee	Trustee since October 2017; Chair of the Compliance and Risk Oversight Committee since November 2017	Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. Ms. Ackermann has served as a Director of Vistra Energy Corporation, formerly known as Dynergy (an independent power company) from October 2012 to present and as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to present.	85	Ms. Ackermann serves as a Director of Vistra Energy Corporation (October 2012 to present) and as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to present.

ROBIN C. BEERY (1967)	Trustee	Since December 2014	Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March of 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014.	85	Ms. Beery serves as a Director of UMB Financial Corporation (January 2015 to present).


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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
LYNN S. BIRDSONG⁽⁴⁾ (1946)	Trustee and Chairman of the Investment Committee	Trustee since October 2017; Chair of the Investment Committee since November 2017	Mr. Birdsong currently serves as a Director of Aberdeen Global and Aberdeen Global II (investment funds) (September 2014 to present), Aberdeen Islamic SICAV and Aberdeen Liquidity Fund (investment funds) (2016 to present) and Aberdeen Alpha Fund (December 2017 to present). Mr. Birdsong served as an Independent Director of Nomura Partners Funds, Inc. (formerly, The Japan Fund) (April 2003 to February 2015) and as a Director of the Sovereign High Yield Investment Company (April 2010 to June 2014). From 2003 to March 2005, Mr. Birdsong was an Independent Director of the Atlantic Whitehall Funds. From 1979 to 2002, Mr. Birdsong was a Managing Director of Zurich Scudder Investments, an investment management firm. During his employment with Scudder, Mr. Birdsong was an Interested Director of The Japan Fund. From January 1981 through December 2013, Mr. Birdsong was a partner in Birdsong Company, an advertising specialty firm.	85	None

CHRISTINE R. DETRICK⁽⁴⁾ (1958)	Trustee	Since October 2017	Ms. Detrick has served as a Director of Reinsurance Group of America since January 2014. Previously, she was a Director of Forest City Realty Trust (a real estate company) from November 2014 to March 2018, a Director of Forethought Financial Group, Inc. (a financial services company) from January 2012 to January 2014 and a Senior Partner/Advisor at Bain & Company (a management consulting firm) from September 2002 to December 2012.	85	Ms. Detrick serves as a Director of Reinsurance Group of America (January 2014 to present).


		93

Hartford Multifactor ETFs

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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
DUANE E. HILL⁽⁴⁾ (1945)	Trustee and Chairman of the Nominating and Governance Committee	Trustee since October 2017; and Chairman of the Nominating and Governance Committee since November 2017	Mr. Hill is a Partner of TSG Ventures L.P., a private equity investment company. Mr. Hill is a former partner of TSG Capital Group, a private equity investment firm that served as sponsor and lead investor in leveraged buyouts of middle market companies.	85	None

WILLIAM P. JOHNSTON⁽⁴⁾ (1944)	Trustee and Chairman of the Board of Trustees and the Contracts Committee	Trustee since October 2017; and Chairman of the Board of Trustees and the Contracts Committee since November 2017	In June 2006, Mr. Johnston was appointed as Senior Advisor to The Carlyle Group, a global private equity and other alternative asset investment firm and currently serves as an Operating Executive. In August 2007, Mr. Johnston was elected to the Board of Directors of LifeCare Holdings, Inc. and served until June 2013. In February 2008, Mr. Johnston was elected to the Board of Directors of HCR-ManorCare, Inc. and served until July 2018. In July 2006, Mr. Johnston was elected to the Board of Directors of MultiPlan, Inc. and served as a Director until August 2010. In May 2006, Mr. Johnston was elected to the Supervisory Board of Fresenius Medical Care AG & Co. KGaA, after its acquisition of Renal Care Group, Inc. in March 2006. Mr. Johnston joined Renal Care Group in November 2002 as a member of the Board of Directors and served as Chairman of the Board from March 2003 through March 2006. From 2002 through 2013, Mr. Johnston served as a Board member of the Georgia O’Keefe Museum. From September 1987 to December 2002, Mr. Johnston was with Equitable Securities Corporation (and its successors, SunTrust Equitable Securities and SunTrust Robinson Humphrey) serving in various investment banking and managerial positions, including Managing Director and Head of Investment Banking, Chief Executive Officer and Vice Chairman.	85	None


		94

Hartford Multifactor ETFs

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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
PHILLIP O. PETERSON⁽⁴⁾ (1944)	Trustee and Chairman of the Audit Committee	Trustee since October 2017; and Chairman of the Audit Committee since November 2017	Mr. Peterson is a mutual fund industry consultant. He was a partner of KPMG LLP (an accounting firm) until July 1999. From February 2007 to February 2018, Mr. Peterson served as a member of the Board of Trustees of the William Blair Funds. From February 2012 to February 2014, Mr. Peterson served as a Trustee of Symetra Variable Mutual Funds. From January 2004 to April 2005, Mr. Peterson served as Independent President of the Strong Mutual Funds.	85	None

LEMMA W. SENBET⁽⁴⁾ (1946)	Trustee	Since October 2017	Dr. Senbet currently serves as the William E. Mayer Chair Professor of Finance, and previously was the Founding Director, Center for Financial Policy, in the Robert H. Smith School of Business at the University of Maryland. He was chair of the Finance Department Robert H. Smith School of Business at the University of Maryland from 1998 to 2006. In June 2013, he began a sabbatical from the University to serve as Executive Director of the African Economic Research Consortium which focuses on economic policy research and training, which he completed in 2018. Previously, he was a chaired professor of finance at the University of Wisconsin-Madison. Also, he was a Director of the Fortis Funds from March 2000 to July 2002. Dr. Senbet served as Director of the American Finance Association and President of the Western Finance Association. In 2006, Dr. Senbet was inducted Fellow of Financial Management Association International for his career-long distinguished scholarship and professional service.	85	None


		95

Hartford Multifactor ETFs

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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
DAVID SUNG (1953)	Trustee	Since December 2014	Mr. Sung has served as a Director of Nippon Wealth Bank since April 2015 and CITIC-Prudential Fund Management Company, Inc. since January 2016. Mr. Sung is an Independent Director of seven investment funds, including two closed-end registered investment companies, sponsored by Ironwood Capital Management. Previously, he was a Partner at Ernst & Young LLP from October 1995 to July 2014.	85	Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present) (2 portfolios).
OFFICERS AND INTERESTED TRUSTEES

JAMES E. DAVEY⁽⁵⁾ (1964)	Trustee, President and Chief Executive Officer	Trustee since October 2017; President and Chief Executive Officer since November 2017	Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Additionally, Mr. Davey serves as Chairman of the Board, Manager and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”). He also currently serves as Director, Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”). Mr. Davey also serves as President, Manager, Chairman of the Board and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”) and Director, Chairman of the Board and Senior Managing Director for Hartford Funds Management Group, Inc. (“HFMG”). Mr. Davey also serves as Chairman of the Board, President and Manager of Lattice Strategies LLC effective July 30, 2016. Mr. Davey has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Davey joined The Hartford in 2002.	85	None

ANDREW S. DECKER (1963)	AML Compliance Officer	Since December 2016	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


		96

Hartford Multifactor ETFs

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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
AMY N. FURLONG (1979)	Vice President and Treasurer	Since May 2018	Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. Prior to joining The Hartford, Ms. Furlong worked at KPMG LLP in audit services.	N/A	N/A

WALTER F. GARGER (1965)	Chief Legal Officer and Vice President	Since December 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

ALBERT Y. LEE (1979)	Vice President and Assistant Treasurer	Since December 2016	Mr. Lee serves as Head of Systemic Strategies and ETF Operations and Senior Vice President at HFMG since 2016. Mr. Lee also serves as Senior Vice President of Lattice Strategies LLC since 2017 and served as Managing Director & Chief Operating Officer, Lattice Strategies LLC (2009-2016); Chief Operating Officer, Avicenna Capital Management (2007-2009); Chief Financial Officer, Steeple Capital LP (2005-2007).	N/A	N/A

THEODORE J. LUCAS (1966)	Vice President	Since November 2017	Mr. Lucas serves as Executive Vice President of HFMG since 2016 and as Executive Vice President of Lattice Strategies LLC since 2017. Mr. Lucas served as Managing Partner, Lattice Strategies LLC (2003 to 2016).	N/A	N/A


		97

Hartford Multifactor ETFs

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


NAME, YEAR OF BIRTH AND ADDRESS⁽¹⁾	POSITION HELD WITH THE TRUST	TERM OF OFFICE⁽²⁾ AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF PORTFOLIOS IN FUND COMPLEX⁽³⁾ OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES HELD BY TRUSTEE
JOSEPH G. MELCHER (1973)	Chief Compliance Officer and Vice President	Since June 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 and Lattice Strategies, LLC. 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

VERNON J. MEYER (1964)	Vice President	Since December 2016	Mr. Meyer 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

ALICE A. PELLEGRINO (1960)	Vice President	Since December 2016	Ms. Pellegrino currently serves as Vice President of HFMG. Ms. Pellegrino is a Senior Counsel and 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

THOMAS R. PHILLIPS (1960)	Vice President and Secretary	Since November 2017	Mr. Phillips currently serves as Vice President and Senior Counsel for HFMG. Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014-2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC.	N/A	N/A


		98

Hartford Multifactor ETFs

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

NAME, YEAR OF BIRTH
AND ADDRESS⁽¹⁾

POSITION
HELD WITH
THE TRUST

TERM OF
OFFICE⁽²⁾ AND
LENGTH OF
TIME SERVED

PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS

NUMBER OF
PORTFOLIOS
IN FUND
COMPLEX⁽³⁾
OVERSEEN
BY TRUSTEE

OTHER DIRECTORSHIPS
FOR PUBLIC COMPANIES
AND OTHER REGISTERED
INVESTMENT COMPANIES
HELD BY TRUSTEE

LAURA S. QUADE

(1969)

Vice President

Since December 2016

Ms. Quade currently serves as Vice President of HASCO, HFD and HFMG. She is the Head of Operations of HASCO and formerly served as Director, Enterprise Operations of Hartford Life Insurance Company (“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

⁽¹⁾	The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, PA 19087.

⁽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.

⁽³⁾

The portfolios of the “Fund Complex” are series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Hartford Funds Master Fund, Lattice Strategies Trust, Hartford Funds Exchange-Traded Trust, and Hartford Funds NextShares Trust.

⁽⁴⁾	Became a Trustee of the Board effective October 3, 2017.

⁽⁵⁾

“Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of HFMC or affiliated companies. Mr. Davey became a Trustee of the Board effective October 3, 2017. Mr. Davey also serves as Director of Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., The Hartford Mutual Funds, Inc. and The Hartford Mutual Funds II, Inc. and as Trustee of Hartford Funds Exchange-Traded Trust, Hartford Funds Master Fund and Hartford Funds NextShares Trust.


		99

Hartford Multifactor ETFs

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.


		100

Hartford Multifactor ETFs

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 Global Small Cap ETF

Hartford Multifactor Low Volatility International Equity ETF

Hartford Multifactor Low Volatility US Equity ETF

Hartford Multifactor REIT ETF

Hartford Multifactor 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”), annually review and consider the continuation of the investment company’s investment advisory and sub-advisory agreements. At its meeting held on August 7-8, 2018, the Board of Trustees (the “Board”) of Lattice Strategies Trust (the “Trust”), including each of the Independent Trustees, unanimously voted to approve (i) the continuation of an investment advisory agreement (the “Investment Advisory Agreement”) by and between the Trust, on behalf of each of its funds listed above (each a “Fund” and collectively, the “Funds”) and Lattice Strategies LLC (“Lattice Strategies”), a wholly owned subsidiary of Hartford Funds Management Company, LLC; and (ii) a separate investment sub-advisory agreement (the “Sub-Advisory Agreement” and collectively with the Investment Advisory Agreement, the “Agreements”) between Lattice Strategies and the Funds’ sub-adviser, BNY Mellon Asset Management North America Corporation (the “Sub-adviser,” and together with Lattice Strategies, the “Advisers”).

In the months preceding the August 7-8, 2018 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. 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 meetings held on June 19-20, 2018 and August 7-8, 2018. Information provided to the Board at its meetings throughout the year included, among other things, reports on Fund performance, including tracking difference, legal, compliance and risk management matters, sales and marketing activity, 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 meetings on June 19-20, 2018 and August 7-8, 2018 concerning the Agreements.

The Independent Trustees, advised by independent legal counsel, engaged service providers to assist them with evaluating the Agreements with respect to each Fund, as applicable. Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, was retained to provide the Board with reports on how each Fund’s contractual advisory fees and overall expense ratio compared to those of comparable investment companies with similar investment objectives. The Independent Trustees also engaged an independent financial services consultant (the “Consultant”) to assist them in evaluating the Funds’ respective advisory fees, overall expense ratios and investment performance. In addition, the Consultant reviewed the profitability methodologies used by Lattice Strategies in connection with the continuation of the Investment Advisory Agreement.

In determining whether to continue 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 continue the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation 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,


		101

Hartford Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

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 any 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 Investment Advisory 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 index. 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 investment 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. The Board also considered the entrepreneurial and other risks assumed by Lattice Strategies in connection with sponsoring and providing ongoing services to each Fund.

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 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 index. 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 difference as it relates to tracking the performance of its custom proprietary benchmark index, various statistics concerning the Fund’s portfolio, and a narrative summary of various factors affecting Fund performance. In reviewing the tracking difference reports, the Board considered Lattice Strategies’ assessment of each Fund’s tracking difference, including information with respect to general tracking difference ranges and explanations for any tracking difference. The Board noted that each Fund’s tracking difference relative to its custom proprietary benchmark index was within an acceptable range given that Fund’s particular circumstances. The Board considered the Advisers’ cooperation with the Investment Committee, which assists the Board in evaluating the performance of each Fund at periodic meetings throughout the year and specifically with respect to the approval of the Agreements. The Board also considered the analysis provided by the Consultant relating to each Fund’s performance track record.


		102

Hartford Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

The Board reviewed the performance of each Fund relative to its custom proprietary benchmark index as well as the performance of both the Fund and it custom proprietary benchmark index relative to an unaffiliated broad-based securities market index. While the Board primarily evaluated each Fund’s performance by reviewing the Fund’s tracking difference relative to its custom proprietary benchmark index, the Board found the comparison of the performance of each Fund and its custom proprietary benchmark index relative to an unaffiliated broad-based securities market index useful in evaluating the performance of the Fund and its custom proprietary benchmark index. The Board also considered that Lattice Strategies believes that each Fund’s custom proprietary benchmark index was continuing to function as intended.

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, both overall and for each Fund, 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 concluded that the profitability of the Sub-adviser is a less relevant factor with respect to the Board’s consideration of the Sub-Advisory Agreement.

The Board considered the Consultant’s review of the methodologies and estimates used by Lattice Strategies in calculating profitability in connection with the continuation of the Investment Advisory Agreement, noting the Consultant’s view that Lattice Strategies’ process for calculating and reporting Fund profitability is reasonable and consistent with the process previously reviewed by the Consultant. In this regard, the Board noted that the Consultant had previously performed a full review of this process and reported that such process is sound and consistent with common industry practice.

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 meetings on June 19-20, 2018 and August 7-8, 2018 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 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 an appropriate group of funds selected by Broadridge (“Peer Group”). 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 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. In addition, the Board considered the analysis and recommendations of the Consultant relating to 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


		103

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Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

by a Fund would benefit Lattice Strategies due to the unitary fee structure of the 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, as well as additional investments in Lattice Strategies’ business and the provision of improved or additional infrastructure and services to the Funds and their shareholders, 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. 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

With respect to the following Fund-by-Fund discussion, the Board noted that Fund performance was considered “in line with” a Fund’s custom proprietary benchmark index where its gross performance was 0.5% above or below the custom proprietary benchmark index return.

Hartford Multifactor Developed Markets (ex-US) ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark index for the 1- and 3-year periods, 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 index.

•

The Board noted that the Fund’s contractual management fee and total expenses were in the 1st quintile of its expense group, while its actual management fee was in the 2nd quintile. In considering the Fund’s expenses, the Board noted the shareholder savings resulting from a permanent fee reduction implemented in 2018.

Hartford Multifactor Emerging Markets ETF

•

The Board noted that the Fund’s contractual management fee was in the 2nd quintile of its expense group, while its actual management fee and 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 2018.

Hartford Multifactor Global Small Cap ETF

•

The Board noted that the Fund’s contractual management fee was in the 2nd quintile of its expense group, while its actual management fee was in the 4th quintile and 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 2018.

Hartford Multifactor Low Volatility International Equity ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark index since the Fund’s inception, 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 index.


		104

Hartford Multifactor ETFs

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited) – (continued)

•

The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 1st 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 2018.

Hartford Multifactor Low Volatility US Equity ETF

•

Hartford Multifactor REIT ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark index for the 1-year period, 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 index.

•

The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile.

Hartford Multifactor US Equity ETF

•

* * * *

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 continue 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 on several occasions, with independent legal counsel and the Consultant, to review the relevant materials and consider their responsibilities under relevant laws and regulations.


		105

THIS PRIVACY POLICY IS NOT PART OF THIS REPORT

CUSTOMER PRIVACY NOTICE

The Hartford Financial Services Group, Inc. and Affiliates*

(herein called “we, our, and us”)

This Privacy Policy applies to our United States Operations

We value your trust. We are committed to the responsible:

a) management;

b) use; and

c) protection;

of Personal Information.

This notice describes how we collect, disclose, and protect Personal Information.

We collect Personal Information to:

a) service your Transactions with us; and

b) support our business functions.

We may obtain Personal Information from:

a) You;

b) your Transactions with us; and

c) third parties such as a consumer-reporting agency.

Based on the type of product or service You apply for or get from us, Personal Information such as:

a) your name;

b) your address;

c) your income;

d) your payment; or

e) your credit history;

may be gathered from sources such as applications, Transactions, and consumer reports.

To serve You and service our business, we may share certain Personal Information. We will share Personal Information, only as allowed by law, with affiliates such as:

a) our insurance companies;

b) our employee agents;

c) our brokerage firms; and

d) our administrators.

As allowed by law, we may share Personal Financial Information with our affiliates to:

a) market our products; or

b) market our services;

to You without providing You with an option to prevent these disclosures.

We may also share Personal Information, only as allowed by law, with unaffiliated third parties including:

a) independent agents;

b) brokerage firms;

c) insurance companies;

d) administrators; and

e) service providers;

who help us serve You and service our business.

When allowed by law, we may share certain Personal Financial Information with other unaffiliated third parties who assist us by performing services or functions such as:

a) taking surveys;

b) marketing our products or services; or

c) offering financial products or services under a joint agreement between us and one or more financial institutions.

We, and third parties we partner with, may track some of the pages You visit through the use of:

a) cookies;

b) pixel tagging; or

c) other technologies;

and currently do not process or comply with any web browser’s “do not track” signal or other similar mechanism that indicates a request to disable online tracking of individual users who visit our websites or use our services.

For more information, our Online Privacy Policy, which governs information we collect on our website and our affiliate websites, is available at https://www.thehartford.com/online-privacy-policy.

We will not sell or share your Personal Financial Information with anyone for purposes unrelated to our business functions without offering You the opportunity to:

a) “opt-out;” or

b) “opt-in;”

as required by law.

We only disclose Personal Health Information with:

a) your 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.

If you have any questions or comments about this privacy notice, please feel free to contact us at The Hartford – Law Department, Privacy Law, One Hartford Plaza, Hartford, CT 06155, or at CorporatePrivacyOffice@thehartford.com.

This Customer Privacy Notice is being provided on behalf of The Hartford Financial Services Group, Inc. and its affiliates (including the following as of March 2018), 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; Business Management Group, Inc.; Cervus Claim Solutions, LLC; First State Insurance Company; Fountain Investors I LLC; Fountain Investors II LLC; Fountain Investors III LLC; Fountain Investors IV LLC; FP R, LLC; 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 Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the Southeast; Hartford Insurance, Ltd.; 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, Ltd.; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford Management, Ltd.; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Securities Distribution Company, 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; Heritage Holdings, Inc.; Heritage Reinsurance Company, Ltd.; HIMCO Distribution Services Company; HLA LLC; HL Investment Advisors, LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lanidex R, LLC; 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; New Ocean Insurance Co., Ltd.; 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.; The Hartford International Asset Management Company Limited; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company.

Revised March 2018

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, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.

Exchange-traded products are distributed by ALPS Distributors, Inc. (ALPS). Advisory services are provided by Hartford Funds Management Company, LLC (HFMC) and its wholly owned subsidiary, Lattice Strategies, LLC (Lattice). Hartford Funds refers to Hartford Funds Distributors, LLC, Member FINRA, HFMC, and Lattice, which are not affiliated with ALPS.

ETFAR-MLT18 11/18 208471 LAT001231_11/2019 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: $112,000 for the fiscal year ended September 30, 2018; $105,000 for the fiscal year ended September 30, 2017.

		(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, 2018; $0 for the fiscal year ended September 30, 2017. Audit-related services principally in connection with Rule 17Ad-13 under the Securities Exchange Act of 1934.

		(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: $69,713 for the fiscal year ended September 30, 2018; $24,522 for the fiscal year ended September 30, 2017. 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, 2018; $0 for the fiscal year ended September 30, 2017.

		(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. 1. The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund. 2. 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. 3. 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.

				4. 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.

5. 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, 2018, 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, 2018, 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: $69,713 for the fiscal year ended September 30, 2018; $24,522 for the fiscal year ended September 30, 2017.

		(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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. 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.


	LATTICE STRATEGIES TRUST

Date: December 10, 2018	By:	/s/ James E. Davey
		James E. Davey
		President and
		Chief Executive Officer

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.


Date: December 10, 2018	By:	/s/ James E. Davey
		James E. Davey
		President and
		Chief Executive Officer

Date: December 10, 2018	By:	/s/ Amy N. Furlong
		Amy N. Furlong
		Treasurer (Principal Financial Officer and Principal Accounting Officer)

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