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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-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)

690 Lee Road, Wayne, Pennsylvania 19087

(Address of Principal Executive Offices) (Zip Code)

Thomas R. Phillips, Esquire

Hartford Funds Management Company, LLC

690 Lee Road

Wayne, Pennsylvania 19087

(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: (610)386-4068

Date of fiscal year end: September 30

Date of reporting period: September 30, 2019

FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

LOGO

Hartford Multifactor ETFs
Annual Report
September 30, 2019
Hartford Multifactor Developed Markets (ex-US) ETF
Hartford Multifactor Emerging Markets ETF
Hartford Multifactor Global Small Cap ETF1
Hartford Multifactor Low Volatility International Equity ETF2
Hartford Multifactor Low Volatility US Equity ETF
Hartford Multifactor REIT ETF
Hartford Multifactor US Equity ETF
1 Effective November 6, 2019, Hartford Multifactor Global Small Cap ETF’s name changed to Hartford Multifactor Small Cap ETF
2 Effective November 6, 2019, Hartford Multifactor Low Volatility International Equity ETF’s name changed to Hartford Multifactor Diversified International ETF
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Funds’ website (www.hartfordfunds.com). You will be notified by mail each time a report is posted and provided with a website link to access the report. You may at any time elect to receive paper copies of all shareholder reports free of charge by contacting your financial intermediary. Your election to receive reports in paper will apply to all Hartford Funds held in your account.
HARTFORDFUNDS
OUR BENCHMARK IS THE INVESTORS.®

LOGO

A MESSAGE FROM THE PRESIDENT

Dear Fellow Shareholders:

Thank you for investing in Hartford Multifactor ETFs. The following is the Funds’ Annual Report covering the period from October 1, 2018 through September 30, 2019.

Market Review

During the 12 months ended September 30, 2019, U.S. stocks, as measured by the S&P 500 Index (the “Index”),¹ gained 4.25%.

Political uncertainty remained a core driver of increased market volatility throughout the period. Escalating trade tensions between the U.S. and China, continued debate over how the UK will handle its departure from the European Union, and the September announcement of an impeachment inquiry against President Trump all weighed on markets.

Against this backdrop, however, July 1, 2019 marked a significant milestone: The U.S. entered the longest period of economic expansion on record, according to The National Bureau of Economic Research. Strong consumer spending in the U.S. has continued to buoy the domestic economy, helped by an unemployment rate that stayed at or below 4% throughout the 12-month period ended September 30, 2019.

However, signs of a slowing global economy prompted central banks around the world to shift to more accommodating monetary policy. The U.S. Federal Reserve cut interest rates in July and September 2019, to 1.75-2%, while the European Central Bank, which already had established negative interest rates, further cut its rate to -0.5% as of September 18, 2019.

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

Thank you again for investing in Hartford Multifactor 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.

Hartford Multifactor ETFs

Table of Contents



Fund Overview (Unaudited)			2

Benchmark Glossary (Unaudited)			16

Expense Examples (Unaudited)			17

Financial Statements:

Schedules of Investments:

Hartford Multifactor Developed Markets (ex-US) ETF			18

Hartford Multifactor Emerging Markets ETF			24

Hartford Multifactor Global Small Cap ETF*			29

Hartford Multifactor Low Volatility International Equity ETF**			35

Hartford Multifactor Low Volatility US Equity ETF			39

Hartford Multifactor REIT ETF			43

Hartford Multifactor US Equity ETF			45

Glossary			50

Statements of Assets and Liabilities			51

Statements of Operations			53

Statements of Changes in Net Assets			55

Financial Highlights			58

Notes to Financial Statements			60

Report of Independent Registered Public Accounting Firm			74

Trustees and Officers (Unaudited)			75

How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records (Unaudited)			79

Quarterly Portfolio Holdings Information (Unaudited)			79

Approval of Investment Advisory and Investment Sub-Advisory Agreements (Unaudited)			80

*	Effective November 6, 2019, the Fund’s name changed to the Hartford Multifactor Small Cap ETF.

**	Effective November 6, 2019, the Fund’s name changed to the Hartford Multifactor Diversified International ETF.

The views expressed in each Fund’s Manager Discussion contained in the Fund Overview section are views of that Fund’ssub-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.

Hartford Multifactor Developed Markets (ex-US) ETF

Fund Overview

September 30, 2019 (Unaudited)

Inception 2/25/2015

(sub-advised by Mellon Investments 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

for the Periods Ending 9/30/19


	1 Year		Since Inception¹
Multifactor Developed Markets (ex-US) ETF (NAV Return)		-1.78%		4.92%
Multifactor Developed Markets (ex-US) ETF (Market Price Return)		-1.42%		4.99%
Hartford Risk-Optimized Multifactor Developed Markets(ex-US) Index		-1.80%		5.08%
MSCI World ex USA Index (Net)		-0.95%		2.98%

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 or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. 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 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.

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.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2019.


		2

Hartford Multifactor Developed Markets (ex-US) ETF

Fund Overview – (continued)

September 30, 2019 (Unaudited)

Hartford Multifactor Developed Markets (ex-US) ETF (“the Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (LRODMX) (“the Index”), which tracks the performance of companies located in major developed markets of Europe, Canada, and the Pacific Region.

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

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

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

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

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

The Fund returned -1.78% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 compared to Hartford Risk-Optimized Multifactor Developed Market (ex-US) Index, which returned-1.80% for the same period. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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.•Investments focused in a sector, industry or group of industries may increase volatility and risk.•The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		6.8	%
Consumer Discretionary		10.1
Consumer Staples		9.5
Energy		4.8
Financials		21.4
Health Care		11.4
Industrials		12.7
Information Technology		5.7
Materials		5.2
Real Estate		6.0
Utilities		5.8

Total		99.4	%

Short-Term Investments		0.0	*
Other Assets & Liabilities		0.6

Total		100.0	%

*	Percentage rounds to zero.

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		3

Hartford Multifactor Emerging Markets ETF

Fund Overview

September 30, 2019 (Unaudited)

Inception 2/25/2015

(sub-advised by Mellon Investments 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

for the Periods Ending 9/30/19


	1 Year		Since Inception
Multifactor Emerging Markets ETF (NAV Return)		-1.90%		-0.53%	¹
Multifactor Emerging Markets ETF (Market Price Return)		-1.83%		-0.62%	¹
Hartford Multifactor Emerging Markets Equity Index		—		-5.72%	²
Hartford Multifactor Emerging Markets Equity Spliced Index³		-1.61%		0.03%	¹
Hartford Risk-Optimized Multifactor Emerging Markets Index		-1.46%		0.06%	¹
MSCI Emerging Markets Index (Net)		-2.02%		2.69%	¹

¹	Inception: 2/25/2015

²	Inception: 6/28/2019

The performance of Hartford Multifactor Emerging Markets Equity Spliced Index reflects the performance of Hartford Risk-Optimized Multifactor Emerging Markets Index through 09/11/2019, and the performance of the Hartford Multifactor Emerging Markets Equity Index for the period from 09/11/2019 though 09/30/2019

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 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.

Effective September 11, 2019, the Fund changed its proprietary custom benchmark index to Hartford Multifactor Emerging Markets Equity Index from Hartford Risk-Optimized Multifactor Emerging Markets Index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s revised investment strategy. Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus as supplemented was 0.44%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2019.


		4

Hartford Multifactor Emerging Markets ETF

Fund Overview – (continued)

September 30, 2019 (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 Multifactor Emerging Markets Equity Index (LROEMX) (“the Index”), which tracks the performance of companies located in 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 while explicitly seeking to reduce volatility and drawdown risk.

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 reapplying the index methodology twice a year in March and September to maintain intended investment exposures.

The Fund returned -1.90% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Multifactor Emerging Markets Equity Spliced Index which returned-1.61% 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.Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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.• Investments focused in a sector, industry or group of industries may increase volatility and risk.• The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		12.8	%
Consumer Discretionary		11.9
Consumer Staples		6.5
Energy		5.4
Financials		25.1
Health Care		4.0
Industrials		6.9
Information Technology		13.2
Materials		7.9
Real Estate		1.2
Utilities		4.6

Total		99.5	%

Short-Term Investments		0.1
Other Assets & Liabilities		0.4

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		5

Hartford Multifactor Global Small Cap ETF*

Fund Overview

September 30, 2019 (Unaudited)

Inception 3/23/2015

(sub-advised by Mellon Investments 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.

*	Effective November 6, 2019, the Fund changed its strategy and proprietary custom benchmark. The information in this report is as of the fiscal year ended September 30, 2019 and reflects the Fund’s prior strategy and benchmark.

LOGO

Average Annual Total Returns

for the Periods Ending 9/30/19


	1 Year		Since Inception¹
Multifactor Global Small Cap ETF (NAV Return)		-7.46%		5.45%
Multifactor Global Small Cap ETF (Market Price Return)		-7.33%		5.39%
Hartford Risk-Optimized Multifactor Global Small Cap Index		-7.27%		5.94%
MSCI ACWI Small Cap Index (Net)		-5.45%		5.27%

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.

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.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.39%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2019.


		6

Hartford Multifactor Global Small Cap ETF

Fund Overview – (continued)

September 30, 2019 (Unaudited)

Hartford Multifactor Global Small Cap ETF (“the Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Global Small Cap Index (LROGSX) (“the Index”), which tracks the performance of small cap exchange-traded equity securities.

Effective November 6, 2019, Hartford Multifactor Global Small Cap ETF will begin tracking a new underlying index, Hartford Multifactor Small Cap Index (Bloomberg Ticker: LROSCX). This new index, which commenced operations on June 28, 2019, will seek to provide U.S. small cap core equity exposure and will continue to seek a target volatility reduction target of up to 15% over a complete market cycle. In connection with this index change, the Fund’s name will change to the Hartford Multifactor Small Cap ETF. 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 U.S., 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 -7.46% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Risk-Optimized Multifactor Global Small Cap Index which returned-7.27% 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. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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. • Investments focused in a sector, industry or group of industries may increase volatility and risk.• The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		6.2	%
Consumer Discretionary		15.3
Consumer Staples		5.9
Energy		6.1
Financials		10.8
Health Care		10.8
Industrials		15.5
Information Technology		13.5
Materials		5.8
Real Estate		7.9
Utilities		1.2

Total		99.0	%

Short-Term Investments		0.1
Other Assets & Liabilities		0.9

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		7

Hartford Multifactor Low Volatility International Equity ETF*

Fund Overview

September 30, 2019 (Unaudited)

Inception 5/10/2017

(sub-advised by Mellon Investments Corporation)

*	Effective November 6, 2019, the Fund changed its strategy and proprietary custom benchmark. The information in this report is as of the fiscal year ended September 30, 2019 and reflects the Fund’s prior strategy and benchmark.

LOGO

Average Annual Total Returns

for the Periods Ending 9/30/19


	1 Year		Since Inception¹
Multifactor Low Volatility International Equity ETF (NAV Return)		0.81%		5.34%
Multifactor Low Volatility International Equity ETF (Market Price Return)		0.55%		5.32%
Hartford Multifactor Low Volatility International Equity Index		0.83%		5.50%
MSCI ACWI ex USA Index (Net)		-1.23%		3.53%

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.

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.

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.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.


		8

Hartford Multifactor Low Volatility International Equity ETF

Fund Overview – (continued)

September 30, 2019 (Unaudited)

Hartford Multifactor Low Volatility International Equity ETF (“the Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Multifactor Low Volatility International Equity Index (LLVINX) (“the Index”), which tracks the performance of companies located in both developed (ex U.S.) and emerging markets.

Effective November 6, 2019, Hartford Multifactor Low Volatility International ETF will begin tracking a new underlying index, Hartford Multifactor Diversified International Index (Bloomberg Ticker: LRODEX). This new index, which commenced operations on June 28, 2019, will seek to provide exposure to developed market (ex-U.S.) and emerging market companies and will seek to achieve a volatility reduction target of up to 15% over a complete market cycle. In connection with this index change, the Fund’s name will change to Hartford Multifactor Diversified International ETF.

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 U.S.) 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 0.81% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Multifactor Low Volatility International Equity Index which returned 0.83% 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. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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.•Investments focused in a sector, industry or group of industries may increase volatility and risk.•The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		11.6	%
Consumer Discretionary		13.4
Consumer Staples		8.0
Energy		5.5
Financials		6.9
Health Care		10.1
Industrials		16.6
Information Technology		11.2
Materials		6.6
Real Estate		6.5
Utilities		3.2

Total		99.6	%

Other Assets & Liabilities		0.4

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		9

Hartford Multifactor Low Volatility US Equity ETF

Fund Overview

September 30, 2019 (Unaudited)

Inception 5/10/2017

(sub-advised by Mellon Investments Corporation)

LOGO

Average Annual Total Returns

for the Periods Ending 9/30/19


	1 Year		Since Inception¹
Multifactor Low Volatility US Equity ETF (NAV Return)		9.62%		11.26%
Multifactor Low Volatility US Equity ETF (Market Price Return)		9.31%		11.32%
Hartford Multifactor Low Volatility US Equity Index		9.89%		11.53%
MSCI USA IMI (Gross)		3.01%		11.03%

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.

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.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.21%. 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 period ended September 30, 2019.


		10

Hartford Multifactor Low Volatility US Equity ETF

Fund Overview – (continued)

September 30, 2019 (Unaudited)

Hartford Multifactor Low Volatility US Equity ETF (“the Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Multifactor Low Volatility US Equity Index (LLVUSX) (“the Index”), which tracks the performance of exchange-traded large-cap 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 U.S.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 9.62% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Multifactor Low Volatility US Equity Index which returned 9.89% 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. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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.• Investments focused in a sector, industry or group of industries may increase volatility and risk.• The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		8.3	%
Consumer Discretionary		15.9
Consumer Staples		9.0
Energy		5.3
Financials		7.7
Health Care		8.8
Industrials		15.5
Information Technology		11.3
Materials		9.0
Real Estate		6.0
Utilities		3.0

Total		99.8	%

Other Assets & Liabilities		0.2

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		11

Hartford Multifactor REIT ETF

Fund Overview

September 30, 2019 (Unaudited)

Inception 10/03/2016

(sub-advised by Mellon Investments Corporation)

LOGO

Average Annual Total Returns

for the Periods Ending 9/30/19


	1 Year		Since Inception¹
Multifactor REIT ETF (NAV Return)		11.75%		7.80%
Multifactor REIT ETF (Market Price Return)		11.68%		7.77%
Hartford Risk-Optimized Multifactor REIT Index		12.25%		8.29%
MSCI US REIT Index (Gross)		18.31%		7.94%

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.

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.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

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 period ended September 30, 2019.


		12

Hartford Multifactor REIT ETF

Fund Overview – (continued)

September 30, 2019 (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”), which is designed to capture the income and growth potential of investing in the U.S. REIT universe.

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

1)	Deliberately Allocate Risks by balancing risk across property types and selecting U.S. 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 11.75% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Risk-Optimized Multifactor US REIT Index which returned 12.25% 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. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. 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.• The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Real Estate		99.4	%
Short-Term Investments		0.1
Other Assets & Liabilities		0.5

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		13

Hartford Multifactor US Equity ETF

Fund Overview

September 30, 2019 (Unaudited)

Inception 2/25/2015

(sub-advised by Mellon Investments Corporation)

LOGO

Average Annual Total Returns

for the Periods Ending 09/30/2019


	1 Year		Since Inception
Multifactor US Equity ETF (NAV Return)		-0.31%		7.66%	¹
Multifactor US Equity ETF (Market Price Return)		-0.31%		7.66%	¹
Hartford Multifactor Large Cap Index		—		2.42%	²
Hartford Multifactor Large Cap Spliced Index³		-0.26%		7.82%	¹
Hartford Risk-Optimized Multifactor US Equity Index		-1.07%		7.63%	¹
Russell 1000 Index (Gross)		3.87%		9.67%	¹
MSCI USA Index (Gross)		4.14%		9.81%	¹

¹	Inception: 2/25/2015

²	Inception: 6/28/2019

³	The performance of the Hartford Multifactor Large Cap Spliced Index reflects the performance of the Hartford Risk-Optimized Multifactor US Equity Index through 09/11/2019, and the performance of the Hartford Multifactor Large Cap Index for the period from 09/11/2019 through 09/30/2019.

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 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.

Effective September 11, 2019, the Fund changed its proprietary custom benchmark index from Hartford Risk-Optimized Multifactor US Equity Index to Hartford Multifactor Large Cap Index and its underlying reference index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s revised investment strategy. Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended September 30, 2019.


		14

Hartford Multifactor US Equity ETF

Fund Overview – (continued)

September 30, 2019 (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 Multifactor Large Cap Index (LROUSLX) (“the Index”), which 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 U.S. large cap universe toward companies with more favorable risk/reward potential while explicitly seeking to reduce volatility and drawdown risk.

2)	Improve Diversification by providing diversified exposure across the U.S. 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 -0.31% at net asset value (“NAV”) for the fiscal year ending September 30, 2019 as compared to Hartford Multifactor Large Cap Spliced Index which returned-0.26% 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. Futures contracts are used to equitize dividend receivables and cash during Fund rebalancing. The use of derivatives did not have a material impact on performance during the period.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies.•Investments focused in a sector, industry or group of industries may increase volatility and risk.•The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector⁽¹⁾

as of September 30, 2019


Sector	Percentage of Net Assets
Equity Securities
Communication Services		7.4	%
Consumer Discretionary		8.3
Consumer Staples		8.6
Energy		2.4
Financials		15.6
Health Care		15.1
Industrials		7.6
Information Technology		19.9
Materials		3.1
Real Estate		5.6
Utilities		5.2

Total		98.8	%

Short-Term Investments		0.1
Other Assets & Liabilities		1.1

Total		100.0	%

⁽¹⁾	A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes.


		15

Hartford Multifactor ETFs

Benchmark Glossary (Unaudited)

Below are descriptions of each Index referenced in this report.

Hartford Multifactor Emerging Markets Equity Index seeks to enhance return potential available from investment in emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.

Hartford Multifactor Large Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete market cycle.

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

Hartford Multifactor Low Volatility US Equity Indexseeks to address risks and opportunities within U.S. equities across the capitalization spectrum by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum and quality factors.

Hartford Risk-Optimized Multifactor Developed Markets(ex-US) Indexseeks to address risks and opportunities within developed market stocks located outside the United States by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality.

Hartford Risk-Optimized Multifactor Emerging Markets Index seeks to balance risks within and across the equity markets of emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

Hartford Risk-Optimized Multifactor Global Small Cap Index seeks to address risks and opportunities within global small cap stocks by selecting equity securities of companies domiciled within the global small cap equity universe and exhibiting a favorable combination of factors, including value, momentum, and quality.

Hartford Risk-Optimized Multifactor REIT Indexseeks to address risks and opportunities withinU.S.-focused equity Real Estate Investment Trusts (REITs) by selecting securities with a favorable combination of factors, including quality, momentum, and value.

Hartford Risk-Optimized Multifactor US Equity Index seeks to improve returns through a market cycle relative to traditionalcap-weighted U.S. large cap market indices and active U.S. large cap market strategies.

These indices are unmanaged, and their results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

MSCI ACWI ex USA Index (Net)(reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across developed markets (excluding the United States) and emerging market countries.

MSCI ACWI Small Cap Index (Net)(reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other

taxes) is designed to capture small cap representation across developed markets and emerging markets countries.

MSCI Emerging Markets Index (Net)(reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across emerging market countries.

MSCI USA Index (Gross) (reflects no deduction for fees, expenses or taxes) is a free float-adjusted market capitalization index that is designed to measure the performance of the large and mid cap segments of the U.S. market.

MSCI US REIT Index (Gross) (reflects no deduction for fees, expenses or taxes) is a free float-adjusted market capitalization weighted index that is comprised of equity REITs.

MSCI USA IMI (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the large, mid and small cap segments of the U.S. market.

MSCI World ex USA Index (Net)(reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is a free float-adjusted market capitalization index that is designed to capture large and mid cap representation across developed markets countries – excluding the United States.

Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

Russell 1000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalizations.


		16

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, 2019 through September 30, 2019. 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 the 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).


	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value April 1, 2019		Ending Account Value September 30, 2019		Expenses paid during the period April 1, 2019 through September 30, 2019		Beginning Account Value April 1, 2019		Ending Account Value September 30, 2019		Expenses paid during the period April 1, 2019 through September 30, 2019		Annualized expense ratio
Hartford Multifactor Developed Markets (ex-US) ETF

	$	1,000.00	$	1,005.40	$	1.46	$	1,000.00	$	1,023.62	$	1.47		0.29	%

Hartford Multifactor Emerging Markets ETF

	$	1,000.00	$	962.20	$	2.41	$	1,000.00	$	1,022.61	$	2.48		0.49	%

Hartford Multifactor Global Small Cap ETF

	$	1,000.00	$	978.30	$	1.93	$	1,000.00	$	1,023.11	$	1.98		0.39	%

Hartford Multifactor Low Volatility International Equity ETF

	$	1,000.00	$	1,023.60	$	1.47	$	1,000.00	$	1,023.62	$	1.47		0.29	%

Hartford Multifactor Low Volatility US Equity ETF

	$	1,000.00	$	1,086.10	$	0.99	$	1,000.00	$	1,024.12	$	0.96		0.19	%

Hartford Multifactor REIT ETF

	$	1,000.00	$	1,065.80	$	2.33	$	1,000.00	$	1,022.81	$	2.28		0.45	%

Hartford Multifactor US Equity ETF

	$	1,000.00	$	1,053.40	$	0.98	$	1,000.00	$	1,024.12	$	0.96		0.19	%


		17

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4%
		Australia - 8.4%
	741,274	AGL Energy Ltd.	$	9,579,083
	460,274	Amcor plc		4,423,652
	183,420	Ansell Ltd.		3,390,825
	450,631	Aurizon Holdings Ltd.		1,793,175
	337,938	AusNet Services		413,679
	284,248	Australia & New Zealand Banking Group Ltd.		5,467,598
	856,822	Bendigo & Adelaide Bank Ltd.		6,639,881
	368,525	BHP Group Ltd.		9,126,816
	812,518	Caltex Australia Ltd.		14,423,429
	416,250	CIMIC Group Ltd.		8,829,265
	870,412	Coca-Cola Amatil Ltd.		6,252,074
	42,532	Cochlear Ltd.		5,970,928
	170,453	Coles Group Ltd.		1,770,415
	109,917	Commonwealth Bank of Australia		5,992,211
	38,030	CSL Ltd.		5,993,991
	741,927	Dexus REIT		5,969,683
	1,250,406	GPT Group REIT		5,194,950
	355,422	Insurance Australia Group Ltd.		1,893,743
	32,422	Macquarie Group Ltd.		2,866,328
	2,563,671	Mirvac Group REIT		5,290,946
	158,029	National Australia Bank Ltd.		3,165,504
	934,738	Orora Ltd.		1,821,954
	1,865,428	Qantas Airways Ltd.		7,913,685
	58,192	Ramsay Health Care Ltd.		2,545,991
	2,991,005	Scentre Group REIT		7,927,921
	333,722	Sonic Healthcare Ltd.		6,313,459
	759,883	South32 Ltd.		1,342,758
	700,648	Stockland REIT		2,150,111
	102,343	Suncorp Group Ltd.*		942,198
	3,006,448	Telstra Corp. Ltd.		7,117,221
	2,637,417	Vicinity Centres REIT		4,571,530
	4,853,237	Viva Energy Group Ltd.⁽¹⁾		6,382,866
	42,471	Washington H Soul Pattinson & Co., Ltd.		602,395
	653,565	Wesfarmers Ltd.		17,543,712
	144,732	Westpac Banking Corp.		2,893,293
	524,886	Whitehaven Coal Ltd.		1,100,969
	420,815	Woolworths Group Ltd.		10,580,757

				196,198,996

		Austria - 0.3%
	68,228	BAWAG Group AG*⁽¹⁾		2,686,683
	15,366	Lenzing AG		1,480,040
	14,073	Oesterreichische Post AG		494,025
	17,671	OMV AG		948,605
	138,802	UNIQA Insurance Group AG		1,253,702

				6,863,055

		Belgium - 2.0%
	13,140	Ackermans & van Haaren N.V.		1,996,936
	161,778	Ageas		8,973,724
	186,646	Colruyt S.A.		10,231,047
	20,732	Elia System Operator S.A.		1,695,152
	407,469	Proximus SADP		12,105,067
	11,640	Sofina S.A.		2,588,745
	89,063	Telenet Group Holding N.V.		4,204,277
	52,332	UCB S.A.		3,799,686

				45,594,634

		Canada - 11.4%
	131,291	Air Canada*		4,284,807
	260,544	Alimentation Couche-Tard, Inc. Class B		7,989,491
	63,090	Atco Ltd. Class I		2,310,123
	207,166	Bank of Montreal		15,268,322
	109,867	Bank of Nova Scotia		6,244,329
	197,808	BCE, Inc.		9,573,668


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Canada - 11.4% - (continued)
	161,378	Canadian Apartment Properties REIT	$	6,639,169
	16,713	Canadian Imperial Bank of Commerce		1,379,832
	43,413	Canadian Tire Corp. Ltd. Class A		4,874,782
	53,260	Canadian Utilities Ltd. Class A		1,570,848
	212,848	Capital Power Corp.		4,932,158
	170,038	CGI, Inc.*		13,454,064
	3,284	Constellation Software, Inc.		3,281,892
	67,842	Emera, Inc.		2,980,129
	379,983	Empire Co., Ltd. Class A		10,294,555
	3,576	Fairfax Financial Holdings Ltd.		1,577,329
	34,489	Fortis, Inc.		1,459,010
	123,702	George Weston Ltd.		10,413,765
	509,642	Great-West Lifeco, Inc.		12,244,495
	148,525	Husky Energy, Inc.		1,045,508
	555,516	Hydro One Ltd.⁽¹⁾		10,275,368
	126,384	iA Financial Corp., Inc.		5,755,054
	91,494	Imperial Oil Ltd.		2,384,096
	53,471	Intact Financial Corp.		5,385,063
	153,907	Loblaw Cos., Ltd.		8,771,769
	19,045	Magna International, Inc.		1,015,829
	350,741	Manulife Financial Corp.		6,437,316
	145,618	Metro, Inc.		6,415,331
	28,178	National Bank of Canada		1,402,941
	15,745	Onex Corp.		976,689
	28,804	Open Text Corp.		1,175,656
	211,087	Parkland Fuel Corp.		6,774,235
	308,671	Power Corp. of Canada		7,115,286
	501,042	Power Financial Corp.		11,625,385
	10,323	Quebecor, Inc. Class B		234,529
	209,830	RioCan Real Estate Investment Trust REIT		4,180,752
	170,833	Rogers Communications, Inc. Class B		8,326,173
	169,500	Royal Bank of Canada		13,758,433
	97,910	Saputo, Inc.		3,011,250
	123,886	Shaw Communications, Inc. Class B		2,435,614
	304,263	Sun Life Financial, Inc.		13,613,701
	121,837	Suncor Energy, Inc.		3,845,595
	30,553	TC Energy Corp.		1,583,033
	223,433	TELUS Corp.		7,956,847
	31,755	Thomson Reuters Corp.		2,123,774
	38,605	Toromont Industries Ltd.		1,866,103
	91,511	Toronto-Dominion Bank		5,339,294

				265,603,392

		China - 0.2%
	597,500	Kerry Logistics Network Ltd.		955,768
	6,526,000	Yangzijiang Shipbuilding Holdings Ltd.		4,530,306

				5,486,074

		Denmark - 1.9%
	84	Carlsberg A/S Class B		12,419
	36,867	Coloplast A/S Class B		4,441,126
	14,115	GN Store Nord A/S		573,170
	211,251	H. Lundbeck A/S		7,008,232
	133,171	ISS A/S		3,295,951
	269,358	Novo Nordisk A/S Class B		13,850,292
	56,851	Orsted A/S⁽¹⁾		5,284,527
	15,836	Pandora A/S		635,655
	13,629	Rockwool International A/S Class B		2,726,377
	80,632	Topdanmark A/S		3,892,348
	97,162	Tryg A/S		2,784,954

				44,505,051

		Finland - 0.6%
	38,224	Elisa Oyj		1,971,076
	24,803	Kesko Oyj Class B		1,567,252
	32,855	Kone Oyj Class B		1,871,159

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


		18

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Finland - 0.6% - (continued)
	36,015	Neste Oyj	$	1,192,434
	49,948	Orion Oyj Class B		1,863,392
	98,005	Sampo Oyj Class A		3,897,707
	75,107	Tieto Oyj		1,924,218
	36,526	Valmet Oyj		709,206

				14,996,444

		France - 6.0%
	33,814	Air Liquide S.A.		4,814,441
	128,834	Alstom S.A.		5,341,496
	6,877	Arkema S.A.		641,169
	99,442	AXA S.A.		2,540,085
	43,009	BioMerieux		3,558,830
	449,006	Bouygues S.A.		17,989,356
	56,453	Cie de Saint-Gobain		2,215,622
	95,278	Cie Generale des Etablissements Michelin SCA		10,636,499
	276,140	CNP Assurances		5,337,577
	18,529	Covivio REIT		1,961,450
	4,877	Eiffage S.A.		505,744
	24,952	Eurazeo SE		1,856,582
	38,150	Ipsen S.A.		3,622,587
	21,228	Klepierre S.A. REIT		721,128
	137,266	Korian S.A.		5,644,699
	7,034	L’Oreal S.A.		1,970,029
	42,414	Nexity S.A.		2,019,752
	416,107	Orange S.A.		6,530,145
	95,030	Peugeot S.A.		2,370,407
	55,415	Rubis SCA		3,220,036
	115,252	Sanofi		10,687,595
	13,878	Sartorius Stedim Biotech		1,942,666
	3,468	Schneider Electric SE		304,355
	270,974	SCOR SE		11,193,305
	35,596	Sodexo S.A.		3,997,096
	640,408	Suez		10,071,141
	35,808	Thales S.A.		4,118,496
	238,892	TOTAL S.A.		12,471,171
	56,397	Veolia Environnement S.A.		1,430,118

				139,713,577

		Germany - 6.0%
	98,877	1&1 Drillisch AG		3,082,957
	43,753	Allianz SE		10,200,541
	286,685	Alstria Office AG REIT		4,919,442
	1,156,050	Aroundtown S.A.		9,457,483
	14,071	BASF SE		983,614
	13,918	Bayerische Motoren Werke AG		980,050
	15,987	Carl Zeiss Meditec AG		1,823,076
	125,605	Covestro AG⁽¹⁾		6,216,829
	656,431	Deutsche Telekom AG		11,016,577
	60,274	DWS Group GmbH & Co. KGaA⁽¹⁾		1,782,074
	133,146	Evonik Industries AG		3,287,778
	56,589	Hannover Rueck SE		9,568,634
	34,212	HeidelbergCement AG		2,473,598
	23,279	Hochtief AG		2,654,618
	67,350	Knorr-Bremse AG		6,332,169
	22,922	LEG Immobilien AG		2,623,904
	150,435	Merck KGaA		16,949,836
	647,021	Metro AG		10,213,934
	48,926	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		12,662,707
	15,341	Rheinmetall AG		1,940,908
	311,983	Siemens Healthineers AG⁽¹⁾		12,276,769
	83,428	Talanx AG*		3,605,385
	1,059,290	Telefonica Deutschland Holding AG		2,954,075
	61,511	Vonovia SE		3,121,610

				141,128,568


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Hong Kong - 4.1%
	2,745,688	Champion REIT	$	1,775,728
	1,021,320	Chow Tai Fook Jewellery Group Ltd.		842,914
	378,000	CK Hutchison Holdings Ltd.		3,336,684
	629,980	CLP Holdings Ltd.		6,617,707
	357,433	Dairy Farm International Holdings Ltd.		2,251,828
	217,810	Hang Seng Bank Ltd.		4,695,498
	913,000	Henderson Land Development Co., Ltd.		4,250,899
	3,389,609	HK Electric Investments & HK Electric Investments Ltd.		3,229,887
	38,800	Hong Kong & China Gas Co., Ltd.		75,626
	1,111,184	Hongkong Land Holdings Ltd.		6,244,854
	702,000	Hysan Development Co., Ltd.		2,829,706
	81,526	Jardine Matheson Holdings Ltd.		4,361,641
	25,485	Jardine Strategic Holdings Ltd.		761,492
	799,188	Link REIT		8,813,149
	3,597,000	New World Development Co., Ltd.		4,670,952
	941,000	NWS Holdings Ltd.		1,457,221
	7,128,575	PCCW Ltd.		4,001,037
	167,000	Power Assets Holdings Ltd.		1,121,585
	1,980,000	Sino Land Co., Ltd.		2,975,279
	1,805,000	SITC International Holdings Co., Ltd.		1,860,398
	173,000	Sun Hung Kai Properties Ltd.		2,489,272
	728,000	Swire Pacific Ltd. Class A		6,774,447
	620,600	Swire Properties Ltd.		1,947,440
	300,235	VTech Holdings Ltd.		2,617,683
	7,486,792	WH Group Ltd.⁽¹⁾		6,704,248
	644,000	Wharf Real Estate Investment Co., Ltd.		3,515,983
	1,733,111	Yue Yuen Industrial Holdings Ltd.		4,742,102

				94,965,260

		Ireland - 0.7%
	23,094	CRH plc		795,344
	210,627	Glanbia plc		2,617,731
	69,654	ICON plc*		10,262,820
	17,634	Kerry Group plc Class A		2,062,798

				15,738,693

		Israel - 1.8%
	127,003	Bank Hapoalim BM*		1,001,175
	1,174,699	Bank LeumiLe-Israel BM		8,361,256
	861,291	Israel Chemicals Ltd.		4,276,967
	2,839,566	Israel Discount Bank Ltd. Class A		12,491,215
	384,642	Mizrahi Tefahot Bank Ltd.		9,561,272
	60,028	Strauss Group Ltd.		1,880,732
	46,958	Taro Pharmaceutical Industries Ltd.		3,542,981

				41,115,598

		Italy - 2.9%
	1,751,502	A2A S.p.A.		3,215,576
	27,839	ACEA S.p.A.		556,013
	313,758	Assicurazioni Generali S.p.A.		6,081,808
	17,631	DiaSorin S.p.A.		2,050,914
	749,996	Enel S.p.A.		5,601,690
	784,256	Eni S.p.A.		11,999,011
	1,165,239	Italgas S.p.A.		7,522,974
	389,638	Pirelli & C. S.p.A.⁽¹⁾		2,305,724
	691,017	Poste Italiane S.p.A.⁽¹⁾		7,857,405
	129,188	Recordati S.p.A.		5,543,492
	1,158,663	Unipol Gruppo S.p.A.		6,171,869
	2,999,986	UnipolSai Assicurazioni S.p.A.		7,980,226

				66,886,702

		Japan - 21.4%
	55,105	ABC-Mart, Inc.		3,502,858
	64,859	Aeon Co., Ltd.		1,188,556

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, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Japan - 21.4% - (continued)
	143,182	Alfresa Holdings Corp.	$	3,196,837
	185,641	ANA Holdings, Inc.		6,242,141
	174,688	Aozora Bank Ltd.		4,367,402
	59,394	Asahi Kasei Corp.		584,735
	492,365	Astellas Pharma, Inc.		7,009,054
	159,200	Azbil Corp.		4,255,645
	148,259	Bandai Namco Holdings, Inc.		9,232,321
	193,397	Bic Camera, Inc.		2,034,628
	330,993	Bridgestone Corp.		12,814,015
	310,600	Brother Industries Ltd.		5,621,407
	133,897	Canon Marketing Japan, Inc.		2,842,098
	330,203	Canon, Inc.		8,806,941
	147,237	Dai-ichi Life Holdings, Inc.		2,219,284
	39,500	Daiichikosho Co., Ltd.		1,823,780
	1,222,517	Daiwa Securities Group, Inc.		5,445,475
	270,320	FUJIFILM Holdings Corp.		11,855,811
	95,448	Fujitsu Ltd.		7,643,788
	317,700	Hakuhodo DY Holdings, Inc.		4,588,755
	392,400	Haseko Corp.		4,567,561
	133,100	Heiwa Corp.		2,740,204
	14,393	Hikari Tsushin, Inc.		3,113,656
	84,200	Hitachi High-Technologies Corp.		4,861,513
	181,673	Hitachi Ltd.		6,762,623
	298,000	Hitachi Metals Ltd.		3,215,064
	63,734	Hitachi Transport System Ltd.		1,863,515
	269,900	Honda Motor Co., Ltd.		6,988,805
	74,821	Hoya Corp.		6,105,449
	307,000	Iida Group Holdings Co., Ltd.		4,993,810
	451,071	ITOCHU Corp.		9,311,491
	391,293	Japan Airlines Co., Ltd.		11,629,268
	428,681	Japan Post Holdings Co., Ltd.		3,946,681
	1,202,938	JXTG Holdings, Inc.		5,480,700
	565,448	K’s Holdings Corp.		6,152,828
	164,400	Kajima Corp.		2,155,492
	81,149	Kaken Pharmaceutical Co., Ltd.		3,761,800
	31,976	Kaneka Corp.		995,598
	33,600	Kansai Electric Power Co., Inc.		375,717
	259,351	KDDI Corp.		6,779,242
	1,934,888	Konica Minolta, Inc.		13,463,204
	261,400	Kyushu Railway Co.		8,332,389
	114,422	Lawson, Inc.		5,854,764
	86,300	Marubeni Corp.		573,097
	591,400	Mazda Motor Corp.		5,250,505
	1,167,600	Mebuki Financial Group, Inc.		2,873,760
	256,750	Medipal Holdings Corp.		5,715,850
	11,216	MEIJI Holdings Co., Ltd.		817,785
	169,400	Mitsubishi Chemical Holdings Corp.		1,207,078
	129,500	Mitsubishi Corp.		3,176,539
	135,600	Mitsubishi Electric Corp.		1,797,335
	211,700	Mitsubishi Heavy Industries Ltd.		8,289,747
	33,427	Mitsubishi Tanabe Pharma Corp.		366,514
	51,100	Mitsui & Co., Ltd.		835,945
	145,017	NEC Corp.		6,118,691
	38,769	NH Foods Ltd.		1,558,652
	179,575	Nihon Kohden Corp.		5,275,509
	235,000	Nikon Corp.		2,931,113
	98,081	Nippo Corp.		1,814,147
	249,668	Nippon Kayaku Co., Ltd.		2,980,076
	198,653	Nippon Telegraph & Telephone Corp.		9,477,260
	338,070	Nissan Motor Co., Ltd.		2,108,656
	163,360	NTT Data Corp.		2,107,091
	287,724	NTT DOCOMO, Inc.		7,329,208
	278,000	Obayashi Corp.		2,767,782
	338,100	ORIX Corp.		5,039,825
	296,151	Osaka Gas Co., Ltd.		5,664,068


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Japan - 21.4% - (continued)
	48,204	Otsuka Holdings Co., Ltd.	$	1,801,935
	561,200	Panasonic Corp.		4,546,720
	30,866	Resona Holdings, Inc.		132,232
	196,469	Ricoh Co., Ltd.		1,768,812
	74,828	Rohto Pharmaceutical Co., Ltd.		2,041,110
	182,600	Sankyo Co., Ltd.		6,276,743
	114,268	Sawai Pharmaceutical Co., Ltd.		5,899,750
	56,200	Secom Co., Ltd.		5,126,251
	552,500	Seiko Epson Corp.		7,770,530
	126,065	Sekisui Chemical Co., Ltd.		1,951,485
	512,748	Sekisui House Ltd.		10,081,790
	141,689	Seven & I Holdings Co., Ltd.		5,417,154
	210,500	SG Holdings Co., Ltd.		5,151,723
	46,940	Shimamura Co., Ltd.		3,717,848
	20,700	Shionogi & Co., Ltd.		1,149,010
	115,100	Ship Healthcare Holdings, Inc.		4,893,680
	532,458	Skylark Holdings Co., Ltd.		9,685,981
	201,700	Softbank Corp.		2,732,258
	755,000	Sojitz Corp.		2,340,273
	49,700	Sompo Holdings, Inc.		2,077,214
	363,700	Sony Financial Holdings, Inc.		7,881,429
	363,093	Subaru Corp.		10,213,303
	21,317	Sugi Holdings Co., Ltd.		1,153,869
	156,201	Sumitomo Dainippon Pharma Co., Ltd.		2,565,411
	488,600	Sumitomo Electric Industries Ltd.		6,198,201
	328,029	Sumitomo Forestry Co., Ltd.		4,358,544
	42,800	Sumitomo Heavy Industries Ltd.		1,267,268
	24,300	Sumitomo Mitsui Trust Holdings, Inc.		875,992
	88,200	Sumitomo Rubber Industries Ltd.		1,046,240
	19,007	Suntory Beverage & Food Ltd.		812,513
	177,382	Suzuken Co., Ltd.		9,519,460
	22,200	Suzuki Motor Corp.		942,229
	39,100	Taisei Corp.		1,514,074
	19,300	Taisho Pharmaceutical Holdings Co., Ltd.		1,401,851
	234,900	Taiyo Nippon Sanso Corp.		4,744,730
	143,900	Teijin Ltd.		2,764,158
	3,200	Terumo Corp.		103,040
	7,111	Toho Gas Co., Ltd.		271,741
	200,000	Tokio Marine Holdings, Inc.		10,694,425
	250,300	Tokyo Electric Power Co. Holdings, Inc.*		1,225,156
	275,696	Tokyo Gas Co., Ltd.		6,950,116
	43,519	Toyo Suisan Kaisha Ltd.		1,743,579
	244,100	Toyota Boshoku Corp.		3,412,770
	38,400	Toyota Motor Corp.		2,563,908
	51,100	TS Tech Co., Ltd.		1,550,849
	109,747	Tsumura & Co.		2,934,710
	111,289	TV Asahi Holdings Corp.		1,745,407
	52,349	West Japan Railway Co.		4,422,843
	443,357	Yamada Denki Co., Ltd.		2,145,507
	72,880	Yamazaki Baking Co., Ltd.		1,300,140
	71,753	Zensho Holdings Co., Ltd.		1,546,930

				499,236,030

		Luxembourg - 0.2%
	165,268	Grand City Properties S.A.		3,718,815
	773,451	L’Occitane International S.A.		1,539,128

				5,257,943

		Netherlands - 3.5%
	415,471	Aegon N.V.		1,728,897
	313,464	ASR Nederland N.V.		11,574,680
	105,061	GrandVision N.V.⁽¹⁾		3,147,490
	538,414	Koninklijke Ahold Delhaize N.V.		13,474,100
	68,873	Koninklijke DSM N.V.		8,289,421
	319,958	NN Group N.V.		11,350,543
	253,808	Randstad N.V.		12,476,468

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, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Netherlands - 3.5% - (continued)
	513,001	Royal Dutch Shell plc Class A	$	15,070,955
	64,116	Wolters Kluwer N.V.		4,681,852

				81,794,406

		New Zealand - 0.5%
	350,184	Contact Energy Ltd.		1,875,238
	64,538	EBOS Group Ltd.		1,011,714
	520,046	Fisher & Paykel Healthcare Corp. Ltd.		5,641,441
	35,165	Mainfreight Ltd.		879,803
	146,792	Meridian Energy Ltd.		478,639
	924,323	Spark New Zealand Ltd.*		2,549,745

				12,436,580

		Norway - 1.4%
	272,769	Austevoll Seafood ASA		2,589,308
	503,972	Equinor ASA		9,598,595
	257,216	Leroy Seafood Group ASA		1,564,367
	174,878	Marine Harvest ASA*		4,039,962
	681,511	Orkla ASA		6,207,590
	16,573	Salmar ASA		727,786
	113,046	SpareBank 1SR-Bank ASA		1,233,609
	353,444	Telenor ASA		7,101,206

				33,062,423

		Portugal - 0.5%
	652,498	Galp Energia SGPS S.A.		9,834,458
	454,040	NOS SGPS S.A.		2,479,922

				12,314,380

		Russia - 1.2%
	2,706,430	Evraz plc		15,595,080
	247,665	Polymetal International plc		3,479,251
	401,298	VEON Ltd.		963,115
	212,385	X5 Retail Group N.V. GDR		7,429,227

				27,466,673

		Singapore - 2.0%
	4,675,098	ComfortDelGro Corp. Ltd.		8,113,555
	306,604	DBS Group Holdings Ltd.		5,542,772
	158,700	Jardine Cycle & Carriage Ltd.		3,442,765
	1,131,800	Mapletree Commercial Trust REIT		1,874,193
	3,050,700	NetLink NBN Trust UNIT		1,963,355
	965,982	Oversea-Chinese Banking Corp. Ltd.		7,585,917
	777,711	SATS Ltd.		2,721,904
	924,488	Singapore Airlines Ltd.		6,110,218
	798,700	Singapore Technologies Engineering Ltd.		2,217,809
	963,600	Singapore Telecommunications Ltd.		2,160,894
	518,700	Venture Corp. Ltd.		5,742,496

				47,475,878

		Spain - 2.4%
	80,158	Acciona S.A.		8,485,398
	150,075	ACS Actividades de Construccion y Servicios S.A.		5,998,007
	76,733	Ebro Foods S.A.		1,534,220
	162,170	Enagas S.A.		3,758,719
	402,409	Endesa S.A.		10,590,369
	642,844	Gestamp Automocion S.A.⁽¹⁾		2,999,546
	120,766	Iberdrola S.A.		1,255,501
	33,050	Inmobiliaria Colonial Socimi S.A.		398,864
	1,061,649	Mapfre S.A.		2,859,959
	306,054	Merlin Properties Socimi S.A. REIT		4,274,185
	1,565,819	Prosegur Cash S.A.⁽¹⁾		2,249,899
	98,486	Red Electrica Corp. S.A.		2,000,829
	168,147	Repsol S.A.		2,628,721
	568,532	Telefonica S.A.		4,339,314
	36,436	Viscofan S.A.		1,708,069

				55,081,600


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Sweden - 2.5%
	49,706	Atrium Ljungberg AB Class B	$	1,099,562
	276,586	Axfood AB		5,882,145
	165,961	BillerudKorsnas AB		1,797,658
	242,889	Castellum AB		5,207,508
	55,697	Electrolux AB Class B		1,322,160
	69,658	Essity AB Class B		2,035,439
	153,443	Fastighets AB Balder Class B*		5,818,010
	176,730	Hennes & Mauritz AB Class B		3,430,293
	155,512	ICA Gruppen AB		7,193,427
	86,883	Loomis AB Class B		3,057,472
	464,970	Securitas AB Class B		7,131,449
	93,627	Skandinaviska Enskilda Banken AB Class A		861,599
	70,340	Skanska AB Class B		1,426,524
	132,460	Svenska Handelsbanken AB Class A		1,241,861
	610,938	Swedbank AB Class A		8,804,780
	441,278	Telia Co., AB		1,977,911
	18,375	Volvo AB Class B		258,371
	47,274	Wihlborgs Fastigheter AB		769,297

				59,315,466

		Switzerland - 6.2%
	145,995	Adecco Group AG		8,084,886
	95,862	Baloise Holding AG		17,189,115
	3,935	Banque Cantonale Vaudoise		3,014,932
	10,872	Bucher Industries AG		3,399,578
	22	Chocoladefabriken Lindt & Spruengli AG		1,822,394
	24,180	Coca-Cola HBC AG*		791,706
	899	Givaudan S.A.		2,509,969
	57,763	Helvetia Holding AG		7,976,699
	55,943	Julius Baer Group Ltd.*		2,480,870
	59,604	Kuehne + Nagel International AG		8,786,830
	59,232	Nestle S.A.		6,431,972
	84,636	Novartis AG		7,345,334
	37,909	PSP Swiss Property AG		4,816,798
	49,882	Roche Holding AG		14,529,636
	1,249	SGS S.A.		3,098,858
	19,576	Sika AG		2,866,265
	17,041	Sonova Holding AG		3,964,812
	35,697	Swiss Life Holding AG		17,079,716
	82,192	Swiss Re AG		8,580,642
	3,745	Swisscom AG		1,848,933
	46,887	Zurich Insurance Group AG		17,962,026

				144,581,971

		United Kingdom - 11.2%
	198,591	3i Group plc		2,854,701
	202,768	Anglo American plc		4,675,585
	53,545	Ashtead Group plc		1,493,866
	97,837	AstraZeneca plc		8,754,188
	83,350	Auto Trader Group plc⁽¹⁾		523,832
	2,298,238	Avast plc⁽¹⁾		10,988,617
	402,554	Barratt Developments plc		3,214,515
	192,512	Bellway plc		7,937,798
	25,026	Berkeley Group Holdings plc		1,288,784
	1,836,887	BP plc		11,675,623
	393,012	Britvic plc		4,763,174
	3,908,502	BT Group plc		8,601,208
	40,175	Burberry Group plc		1,076,296
	5,824,475	Centrica plc		5,292,687
	83,176	Close Brothers Group plc		1,444,193
	36,643	Coca-Cola European Partners plc		2,045,347
	374,995	Compass Group plc		9,671,882
	68,463	Diageo plc		2,811,950
	2,848,124	Direct Line Insurance Group plc		10,536,245
	240,456	Electrocomponents plc		1,907,668
	99,000	Ferguson plc*		7,251,541

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, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		United Kingdom - 11.2% - (continued)
	105,415	Fiat Chrysler Automobiles N.V.	$	1,365,124
	390,664	GlaxoSmithKline plc		8,398,767
	32,670	Hiscox Ltd.		668,303
	724,352	Howden Joinery Group plc		5,002,235
	563,443	HSBC Holdings plc		4,336,789
	2,017,769	Kingfisher plc		5,142,073
	4,677,682	Legal & General Group plc		14,318,535
	371,481	Marks & Spencer Group plc		844,368
	206,909	Mondi plc		3,972,493
	477,206	National Grid plc		5,186,108
	822,318	Pearson plc		7,478,465
	132,076	Pennon Group plc		1,346,002
	55,053	Persimmon plc		1,472,167
	566,801	Redrow plc		4,316,536
	380,904	RELX plc		9,070,920
	760,042	Rentokil Initial plc		4,381,412
	330,944	Rio Tinto plc		17,165,234
	2,806,036	Royal Mail plc		7,320,325
	605,593	RSA Insurance Group plc		3,986,585
	382,924	Sage Group plc		3,262,558
	683,528	Smith & Nephew plc		16,500,877
	147,411	Spectris plc		4,439,636
	46,687	SSP Group plc		356,701
	584,286	Tate & Lyle plc		5,299,313
	694,086	Taylor Wimpey plc		1,381,345
	29,247	Travis Perkins plc		465,290
	1,252,862	Tritax Big Box plc REIT		2,309,676
	164,041	Unilever plc		9,885,020
	162,707	WH Smith plc		3,984,010

				262,466,567

		United States - 0.1%
	21,741	Waste Connections, Inc.		1,998,563


		Total Common Stocks (cost $2,268,506,051)	$	2,321,284,524


Shares or Principal Amount			Market Value^†
SHORT-TERM INVESTMENTS - 0.0%
		U.S. Treasury Bill - 0.0%
$	420,000	1.92%, 12/12/2019⁽²⁾⁽³⁾	$	418,508


		Total Short-Term Investments (cost $418,391)	$	418,508



Total Investments (cost $2,268,924,442)	99.4	%	$	2,321,703,032
Other Assets and Liabilities	0.6	%		13,985,122

Total Net Assets	100.0	%	$	2,335,688,154

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

*	Non-income producing.

⁽¹⁾

Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2019, the aggregate value of these securities was $81,681,877, representing 3.5% of net assets.

⁽²⁾	The rate shown represents current yield to maturity.

⁽³⁾	This security has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2019
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
MSCI EAFE Index Future		78		12/20/2019	$	7,403,760	$	(43,047	)

Total futures contracts							$	(43,047	)

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

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, 2019

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	196,198,996		$	196,198,996		$	—	$	—
Austria		6,863,055			6,863,055			—		—
Belgium		45,594,634			45,594,634			—		—
Canada		265,603,392			265,603,392			—		—
China		5,486,074			5,486,074			—		—
Denmark		44,505,051			44,505,051			—		—
Finland		14,996,444			14,996,444			—		—
France		139,713,577			139,713,577			—		—
Germany		141,128,568			141,128,568			—		—
Hong Kong		94,965,260			94,965,260			—		—
Ireland		15,738,693			15,738,693			—		—
Israel		41,115,598			41,115,598			—		—
Italy		66,886,702			66,886,702			—		—
Japan		499,236,030			499,236,030			—		—
Luxembourg		5,257,943			5,257,943			—		—
Netherlands		81,794,406			81,794,406			—		—
New Zealand		12,436,580			12,436,580			—		—
Norway		33,062,423			33,062,423			—		—
Portugal		12,314,380			12,314,380			—		—
Russia		27,466,673			27,466,673			—		—
Singapore		47,475,878			47,475,878			—		—
Spain		55,081,600			55,081,600			—		—
Sweden		59,315,466			59,315,466			—		—
Switzerland		144,581,971			144,581,971			—		—
United Kingdom		262,466,567			262,466,567			—		—
United States		1,998,563			1,998,563			—		—
Short-Term Investments		418,508			—			418,508		—

Total	$	2,321,703,032		$	2,321,284,524		$	418,508	$	—

Liabilities
Futures Contracts⁽²⁾	$	(43,047	)	$	(43,047	)	$	—	$	—

Total	$	(43,047	)	$	(43,047	)	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

⁽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.


		23

Hartford Multifactor Emerging Markets ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8%
		Brazil - 4.6%
	6,100	Alpargatas S.A.*	$	37,929
	22,700	Ambev S.A.		104,906
	12,208	Banco do Brasil S.A.		133,323
	9,159	BB Seguridade Participacoes S.A.		77,025
	41,000	Bradespar S.A.		310,645
	70,500	Cia de Transmissao de Energia Eletrica Paulista*		418,051
	8,100	Cia Energetica de Minas Gerais		27,866
	40,500	Cia Siderurgica Nacional S.A.		128,635
	16,500	Engie Brasil Energia S.A.		175,838
	27,700	Hypera S.A.		222,975
	12,179	Lojas Renner S.A.		147,567
	97,000	Petrobras Distribuidora S.A.		641,093
	61,700	TIM Participacoes S.A.		176,417
	30,000	Transmissora Alianca de Energia Eletrica S.A.		207,423
	29,324	Vale S.A.		336,155

				3,145,848

		Chile - 3.1%
	457,298	AES Gener S.A.		99,535
	333,009	Aguas Andinas S.A. Class A		182,372
	3,646	Banco de Credito e Inversiones S.A.		229,924
	1,452,993	Banco Santander Chile		102,499
	218,654	Cencosud S.A.		360,317
	28,146	Cia Cervecerias Unidas S.A.		314,818
	149,691	Colbun S.A.		27,033
	7,439	Empresas COPEC S.A.		70,232
	3,201,173	Enel Americas S.A.		586,863
	70,882	Enel Chile S.A.		6,135
	20,217	SACI Falabella		113,133
	12,668	Vina Concha y Toro S.A.		25,207

				2,118,068

		China - 20.2%
	166,000	Agricultural Bank of China Ltd. Class H		65,008
	114,000	Anhui Conch Cement Co., Ltd. Class H		676,927
	24,000	ANTA Sports Products Ltd.		198,536
	1,412	Baidu, Inc. ADR*		145,097
	1,587,000	Bank of China Ltd. Class H		623,512
	319,000	Bank of Communications Co., Ltd. Class H		208,342
	640,000	China CITIC Bank Corp. Ltd. Class H		341,251
	390,000	China Construction Bank Corp. Class H		297,497
	746,000	China Everbright Bank Co., Ltd. Class H		317,836
	293,500	China Galaxy Securities Co., Ltd. Class H		156,121
	304,000	China Lesso Group Holdings Ltd.		287,736
	82,000	China Life Insurance Co., Ltd. Class H		189,953
	7,000	China Mengniu Dairy Co., Ltd.*		26,207
	114,000	China Merchants Bank Co., Ltd. Class H		542,414
	455,500	China Minsheng Banking Corp. Ltd. Class H		309,694
	264,000	China Petroleum & Chemical Corp. Class H		156,930
	222,500	China Railway Construction Corp. Ltd. Class H		243,236
	292,000	China Railway Group Ltd. Class H		177,299
	1,486,000	China Telecom Corp. Ltd. Class H		676,713
	416,000	CNOOC Ltd.		634,661
	638,000	Dongfeng Motor Group Co., Ltd. Class H		606,309
	91,600	Fuyao Glass Industry Group Co., Ltd. Class H⁽¹⁾		254,139
	110,000	Geely Automobile Holdings Ltd.		186,621
	1,070,500	Great Wall Motor Co., Ltd. Class H		716,908
	464,000	Guangzhou Automobile Group Co., Ltd. Class H		443,912
	92,000	Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. Class H		303,365
	75,600	Guangzhou R&F Properties Co., Ltd. Class H		114,373
	192,000	Industrial & Commercial Bank of China Ltd. Class H		128,581
	1,100	JD.com, Inc. ADR*		31,031
	294,000	Jiangsu Expressway Co., Ltd. Class H		373,529
	728,000	Lenovo Group Ltd.		485,680


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8% - (continued)
		China - 20.2% - (continued)
	42,000	Li Ning Co., Ltd.	$	120,545
	1,146,000	People’s Insurance Co., Group of China Ltd. Class H		459,020
	430,000	PICC Property & Casualty Co., Ltd. Class H		501,888
	57,500	Ping An Insurance Group Co. of China Ltd. Class H		660,494
	72,000	Shandong Weigao Group Medical Polymer Co., Ltd. Class H		74,118
	183,000	Shanghai Pharmaceuticals Holding Co., Ltd. Class H		331,479
	194,400	Sinopharm Group Co., Ltd. Class H		608,786
	93,000	Times China Holdings, Ltd.		144,730
	178,000	TravelSky Technology Ltd. Class H		369,651
	20,000	Tsingtao Brewery Co., Ltd. Class H		120,673
	84,000	Uni-President China Holdings Ltd.		90,650
	2,300	YY, Inc. ADR*		129,329
	79,800	Zhuzhou CRRC Times Electric Co., Ltd. Class H		330,320
	28,000	Zijin Mining Group Co., Ltd. Class H		9,679
	104,600	Zoomlion Heavy Industry Science and Technology Co., Ltd.		70,851

				13,941,631

		Colombia - 0.3%
	291,123	Grupo Energia Bogota S.A. ESP*		182,870
	8,697	Interconexion Electrica S.A. ESP		45,604

				228,474

		Hong Kong - 2.6%
	72,500	China Mobile Ltd.		599,743
	40,000	China Overseas Land & Investment Ltd.		125,775
	102,000	China Resources Cement Holdings Ltd.		102,268
	24,000	China Resources Gas Group Ltd.		118,631
	30,100	China Resources Land Ltd.		126,130
	24,000	Guangdong Investment Ltd.		46,963
	248,000	Hopson Development Holdings Ltd.		248,019
	29,000	Kingboard Holdings Ltd.		76,760
	158,000	Kunlun Energy Co., Ltd.		136,044
	78,000	Shenzhen International Holdings Ltd.		149,843
	61,500	Sino Biopharmaceutical Ltd.		78,136
	17,000	Sun Art Retail Group Ltd.		17,261

				1,825,573

		India - 3.7%
	3,334	Axis Bank Ltd. GDR		162,366
	9,921	Dr. Reddy’s Laboratories Ltd. ADR		375,907
	2,982	HDFC Bank Ltd. ADR		170,123
	19,437	ICICI Bank Ltd. ADR		236,743
	58,724	Infosys Ltd. ADR		667,692
	9,212	Larsen & Toubro Ltd. GDR		191,609
	873	Reliance Industries Ltd. GDR⁽¹⁾		32,563
	7,146	State Bank of India GDR*		274,406
	6,028	Vedanta Ltd. ADR		52,323
	46,210	Wipro Ltd. ADR		168,666
	3,489	WNS Holdings Ltd. ADR*		204,979

				2,537,377

		Indonesia - 4.8%
	1,034,200	Astra International Tbk PT		480,854
	974,400	Bank Mandiri Persero Tbk PT		478,791
	1,123,500	Bank Negara Indonesia Persero Tbk PT		581,735
	1,065,500	Bank Rakyat Indonesia Persero Tbk PT		309,254
	52,400	Indo Tambangraya Megah Tbk PT		45,774
	345,800	Indofood Sukses Makmur Tbk PT		187,577
	491,600	Kalbe Farma Tbk PT		58,008
	2,168,500	Telekomunikasi Indonesia Persero Tbk PT		658,417
	39,800	Unilever Indonesia Tbk PT		130,377
	240,700	United Tractors Tbk PT		348,884

				3,279,671

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


		24

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8% - (continued)
		Malaysia - 4.4%
	472,300	AirAsia Group Bhd	$	198,531
	424,100	BerMaz Auto Bhd		230,941
	211,400	CIMB Group Holdings Bhd		253,963
	333,200	DiGi.Com Bhd		378,003
	29,088	Hong Leong Bank Bhd		113,656
	2,600	Kuala Lumpur Kepong Bhd		14,332
	253,900	Malayan Banking Bhd		516,047
	18,100	Maxis Bhd		24,208
	206,300	Petronas Chemicals Group Bhd		371,507
	75,200	Petronas Gas Bhd		294,191
	38,400	Public Bank Bhd		184,159
	152,300	RHB Bank Bhd		205,152
	67,400	Tenaga Nasional Bhd		219,569

				3,004,259

		Mexico - 3.6%
	725,125	America Movil S.A.B. de C.V. Class L		538,408
	95,056	Coca-Cola Femsa S.A.B. de C.V.		577,924
	33,198	Fomento Economico Mexicano S.A.B. de C.V.		304,068
	14,462	Grupo Financiero Banorte S.A.B. de C.V. Class O		77,906
	128,600	Megacable Holdings S.A.B. de C.V. UNIT		517,748
	156,059	Wal-Mart de Mexico S.A.B. de C.V.		462,312

				2,478,366

		Philippines - 3.5%
	158,200	Alliance Global Group, Inc.		33,270
	7,015	Ayala Corp.		119,714
	24,270	Ayala Land, Inc.		23,156
	193,890	BDO Unibank, Inc.		534,946
	357,700	First Gen Corp.		169,775
	7,285	Globe Telecom, Inc.		257,217
	29,140	Manila Electric Co.		208,022
	240,300	Metro Pacific Investments Corp.		23,089
	149,170	Metropolitan Bank & Trust Co.		196,860
	13,840	PLDT, Inc.		302,274
	13,260	Puregold Price Club, Inc.		9,990
	81,960	San Miguel Corp.		271,197
	10,360	San Miguel Food and Beverage, Inc.		18,389
	11,805	SM Investments Corp.		221,159
	284,000	Vista Land & Lifescapes, Inc.		42,301

				2,431,359

		Poland - 2.7%
	11,171	Asseco Poland S.A.		142,244
	18,881	Bank Polska Kasa Opieki S.A.		482,250
	20,981	Eurocash S.A.		109,899
	9,075	KGHM Polska Miedz S.A.*		181,086
	18,539	Polski Koncern Naftowy ORLEN S.A.		456,406
	12,754	Powszechna Kasa Oszczednosci Bank Polski S.A.		125,086
	39,740	Powszechny Zaklad Ubezpieczen S.A.		370,523

				1,867,494

		Russia - 2.9%
	52,538	Gazprom PJSC ADR		362,722
	7,081	LUKOIL PJSC ADR		585,882
	462	Magnit PJSC GDR		6,036
	6,431	MMC Norilsk Nickel PJSC ADR		164,634
	14,423	Mobile TeleSystems PJSC ADR		116,826
	9,741	Novolipetsk Steel PJSC GDR		211,575
	4,364	Rosneft Oil Co. PJSC GDR		27,999
	11,684	Sberbank of Russia PJSC ADR		165,621
	17,422	Severstal PJSC GDR		250,006
	12,629	Surgutneftegas PJSC ADR		67,755
	1,191	Tatneft PJSC ADR		75,628

				2,034,684


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8% - (continued)
		South Africa - 3.7%
	18,070	Absa Group Ltd.	$	182,184
	9,527	Barloworld Ltd.		72,634
	1,075	Bid Corp. Ltd.		22,833
	13,461	Bidvest Group Ltd.		169,398
	20,127	FirstRand Ltd.		82,552
	2,180	Foschini Group Ltd.		23,502
	6,662	Kumba Iron Ore Ltd.		164,532
	67,657	MTN Group Ltd.		429,703
	16,136	Nedbank Group Ltd.		241,383
	18,548	Sappi Ltd.		45,934
	5,043	SPAR Group Ltd.		63,529
	17,960	Standard Bank Group Ltd.		206,920
	119,617	Telkom S.A. SOC Ltd.		556,885
	22,518	Truworths International Ltd.		78,711
	10,917	Vodacom Group Ltd.		86,141
	32,908	Woolworths Holdings Ltd.		119,543

				2,546,384

		South Korea - 13.4%
	5,300	Asia Paper Manufacturing Co., Ltd.		131,597
	2,790	Binggrae Co., Ltd.		135,984
	12,947	Cheil Worldwide, Inc.		268,433
	5,265	Chongkundang Holdings Corp.		398,787
	239	CJ CheilJedang Corp.		46,855
	78	CJ Corp.		5,347
	16,223	Daeduck Electronics Co.		147,155
	1,752	Daelim Industrial Co., Ltd.		152,329
	9,047	Daesang Corp.		168,286
	1,663	DB Insurance Co., Ltd.		71,739
	17,800	Deutsch Motors, Inc.*		116,072
	2,440	DongKook Pharmaceutical Co., Ltd.		127,900
	800	ENF Technology Co., Ltd.		12,674
	901	F&F Co., Ltd.		72,990
	1,277	Fila Korea Ltd.		61,814
	513	GOLFZON Co., Ltd.		28,606
	1,631	GS Home Shopping, Inc.		211,485
	3,139	GS Retail Co., Ltd.		108,250
	4,952	Handsome Co., Ltd.		120,887
	1,616	Hankook Tire & Technology Co., Ltd.		43,570
	808	Huchems Fine Chemical Corp.		14,456
	1,920	Hyundai Home Shopping Network Corp.		146,871
	1,214	Hyundai Mobis Co., Ltd.		255,761
	1,603	Hyundai Motor Co.		179,578
	7,284	iMarketKorea, Inc.		63,331
	1,447	Industrial Bank of Korea		15,968
	1,312	Innocean Worldwide, Inc.		73,050
	5,846	INTOPS Co., Ltd.		61,825
	7,632	IS Dongseo Co., Ltd.		191,733
	2,000	Jeju Air Co., Ltd.		40,881
	10,590	Kia Motors Corp.		403,715
	814	KT&G Corp.		71,795
	11,981	LF Corp.		202,329
	463	LG Chem Ltd.		115,929
	4,042	LG Electronics, Inc.		227,756
	48,484	LG Uplus Corp.		553,281
	368	Lotte Chemical Corp.		72,606
	1,700	Mcnex Co., Ltd.		33,683
	1,820	Meritz Fire & Marine Insurance Co., Ltd.		29,062
	5,883	NHN Corp.*		306,409
	4,411	NICE Information Service Co., Ltd.		48,493
	860	POSCO		163,207
	24,100	Power Logics Co., Ltd.*		210,546
	2,336	S&T Motiv Co., Ltd.		106,044
	1,391	S-1 Corp.		114,080
	18,845	Samsung Electronics Co., Ltd.		772,769

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


		25

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8% - (continued)
		South Korea - 13.4% - (continued)
	300	Samsung Fire & Marine Insurance Co., Ltd.	$	55,930
	8,063	SFA Engineering Corp.		284,462
	3,139	Shinhan Financial Group Co., Ltd.		109,694
	203	SK Holdings Co., Ltd.		34,621
	9,456	SK Hynix, Inc.		649,821
	1,991	SK Telecom Co., Ltd.		401,978
	6,476	Spigen Korea Co., Ltd.		305,893
	25,388	WiSoL Co., Ltd.		303,514
	1,036	Woongjin Coway Co., Ltd.		73,273
	2,813	Youngone Corp.		83,956

				9,209,060

		Taiwan - 12.9%
	6,000	Acter Group Corp. Ltd.		30,653
	14,000	Asustek Computer, Inc.		93,184
	255,159	Chang Hwa Commercial Bank Ltd.		178,059
	25,000	Chang Wah Electromaterials, Inc.		128,527
	66,431	Chicony Electronics Co., Ltd.		195,710
	136,590	China Life Insurance Co., Ltd.*		108,305
	216,000	China Motor Corp.⁽⁴⁾		171,619
	78,000	Chunghwa Telecom Co., Ltd.		279,070
	250,000	Compal Electronics, Inc.		144,241
	135,000	Coretronic Corp.		162,307
	429,628	CTBC Financial Holding Co., Ltd.		285,269
	247,360	E.Sun Financial Holding Co., Ltd.		209,293
	247,000	Far Eastern International Bank		95,537
	31,000	Far EasTone Telecommunications Co., Ltd.		72,443
	69,000	Formosa Chemicals & Fibre Corp.		192,825
	16,000	Formosa Plastics Corp.		48,736
	14,301	Foxconn Technology Co., Ltd.		29,824
	65,000	Fubon Financial Holding Co., Ltd.		93,338
	14,000	Getac Technology Corp.		21,096
	61,000	Gigabyte Technology Co., Ltd.		97,621
	116,000	Great Wall Enterprise Co., Ltd.		140,960
	231,224	Hon Hai Precision Industry Co., Ltd.		545,556
	120,000	Inventec Corp.		82,773
	17,000	King Yuan Electronics Co., Ltd.		19,096
	118,245	Lite-On Technology Corp.		187,899
	26,000	MediaTek, Inc.		309,239
	324,273	Mega Financial Holding Co., Ltd.		300,500
	97,000	Nan Ya Plastics Corp.		217,921
	30,000	Nichidenbo Corp.		47,479
	22,000	Novatek Microelectronics Corp.		126,223
	15,000	Pegatron Corp.		26,108
	8,000	Phison Electronics Corp.		71,299
	329,000	Pou Chen Corp.		421,530
	41,000	Powertech Technology, Inc.		115,238
	4,000	President Chain Store Corp.		37,390
	28,000	Qisda Corp.		19,088
	100,000	Radiant Opto-Electronics Corp.		381,956
	103,803	Shanghai Commercial & Savings Bank Ltd.		174,318
	326,910	Shin Kong Financial Holding Co., Ltd.		98,944
	50,000	Sigurd Microelectronics Corp.		53,345
	19,000	Simplo Technology Co., Ltd.		159,229
	4,000	Sinbon Electronics Co., Ltd.		15,536
	149,832	SinoPac Financial Holdings Co., Ltd.		58,437
	70,000	Systex Corp.		164,709
	280,000	Taichung Commercial Bank Co., Ltd.		106,948
	837,000	Taiwan Business Bank		343,978
	133,000	Taiwan PCB Techvest Co., Ltd.		153,901
	32,000	Taiwan Semiconductor Manufacturing Co., Ltd.		280,552
	65,000	Tripod Technology Corp.		233,606
	230,800	Uni-President Enterprises Corp.		556,458
	39,000	United Integrated Services Co., Ltd.		206,788
	100,000	United Microelectronics Corp.		43,192


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 95.8% - (continued)
		Taiwan - 12.9% - (continued)
	94,000	Walsin Lihwa Corp.	$	43,933
	98,686	Wistron Corp.		79,682
	10,000	Wistron NeWeb Corp.		26,302
	103,000	Zhen Ding Technology Holding Ltd.		368,515

				8,856,285

		Thailand - 6.1%
	63,614	Advanced Info Service PCL NVDR		457,580
	34,600	Bangkok Bank PCL NVDR		196,276
	191,500	Bangkok Dusit Medical Services PCL NVDR		151,522
	26,800	CP ALL PCL NVDR		71,195
	56,400	Delta Electronics Thailand PCL NVDR		91,280
	2,300	Electricity Generating PCL NVDR		26,997
	134,900	Hana Microelectronics PCL NVDR		124,601
	94,100	Kasikornbank PCL NVDR		481,499
	474,600	Krung Thai Bank PCL NVDR		266,899
	47,800	PTT Exploration & Production PCL NVDR		189,106
	278,000	PTT Global Chemical PCL NVDR		488,556
	281,700	PTT PCL NVDR		425,981
	28,100	Siam Cement PCL NVDR		374,850
	95,000	Siam Commercial Bank PCL NVDR		366,520
	203,100	Thanachart Capital PCL NVDR		378,509
	26,300	Tisco Financial Group PCL NVDR		88,140

				4,179,511

		Turkey - 3.3%
	72,383	Akbank T.A.S.*		104,091
	13,379	Arcelik A.S.*		45,114
	25,185	BIM Birlesik Magazalar A.S.		219,089
	13,089	Celebi Hava Servisi A.S.		230,069
	636,878	Dogan Sirketler Grubu Holding A.S.		172,571
	2,725	EGE Endustri VE Ticaret A.S.		227,787
	133,099	Enka Insaat ve Sanayi A.S.		133,182
	47,951	Eregli Demir ve Celik Fabrikalari T.A.S.		58,171
	17,567	Ford Otomotiv Sanayi A.S.		184,801
	163,398	Iskenderun Demir ve Celik A.S.		177,968
	102,364	Soda Sanayii A.S.		107,141
	6,026	TAV Havalimanlari Holding A.S.		25,186
	37,760	Tekfen Holding A.S.		127,996
	34,023	Tofas Turk Otomobil Fabrikasi A.S.		122,197
	28,860	Turkiye Garanti Bankasi A.S.*		52,185
	50,921	Vestel Beyaz Esya Sanayi ve Ticaret A.S.		136,715
	319,400	Yapi ve Kredi Bankasi A.S.*		136,324

				2,260,587


		Total Common Stocks (cost $65,944,202)	$	65,944,631


PREFERRED STOCKS - 3.7%
		Brazil - 2.9%
	28,503	Banco Bradesco S.A.*		232,108
	4,300	Cia Paranaense de Energia*		51,213
	37,000	Gerdau S.A.*		116,896
	59,116	Itau Unibanco Holding S.A.*		497,151
	44,785	Itausa - Investimentos Itau S.A.*		141,707
	45,192	Petroleo Brasileiro S.A.*		298,900
	50,902	Telefonica Brasil S.A.		671,378

				2,009,353

		Chile - 0.2%
	24,000	Embotelladora Andina S.A. Class B		80,417
	2,070	Sociedad Quimica y Minera de Chile S.A. Class B*		57,051

				137,468

		Colombia - 0.6%
	9,162	Banco Davivienda S.A., 3.17%		111,942

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


		26

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†

PREFERRED STOCKS - 3.7% - (continued)
		Colombia - 0.6% - (continued)
	25,910	Bancolombia S.A., 3.18%	$	320,295

				432,237


		Total Preferred Stocks (cost $2,011,200)	$	2,579,058


		Total Long-Term Investments (cost $67,955,402)	$	68,523,689


SHORT-TERM INVESTMENTS - 0.1%
		U.S. Treasury Bill - 0.1%
$	50,000	1.92%, 12/12/2019⁽²⁾⁽³⁾	$	49,822


		Total Short-Term Investments (cost $49,809)	$	49,822



Total Investments (cost $68,005,211)	99.6	%	$	68,573,511
Other Assets and Liabilities	0.4	%		249,786

Total Net Assets	100.0	%	$	68,823,297

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

*	Non-income producing.

⁽¹⁾

⁽²⁾	The rate shown represents current yield to maturity.

⁽³⁾	This security has been pledged as collateral in connection with futures contracts.

⁽⁴⁾

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, 2019, the aggregate fair value of this security was $171,619, which represented 0.2% 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.


Futures Contracts Outstanding at September 30, 2019
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
MSCI Emerging Market Index Future		7		12/20/2019	$	350,665	$	(7,768	)

Total futures contracts							$	(7,768	)

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

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


		27

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

September 30, 2019

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Brazil	$	3,145,848		$	3,145,848		$	—	$	—
Chile		2,118,068			2,118,068			—		—
China		13,941,631			13,770,012			—		171,619
Colombia		228,474			228,474			—		—
Hong Kong		1,825,573			1,825,573			—		—
India		2,537,377			2,537,377			—		—
Indonesia		3,279,671			3,279,671			—		—
Malaysia		3,004,259			3,004,259			—		—
Mexico		2,478,366			2,478,366			—		—
Philippines		2,431,359			2,431,359			—		—
Poland		1,867,494			1,867,494			—		—
Russia		2,034,684			2,034,684			—		—
South Africa		2,546,384			2,546,384			—		—
South Korea		9,209,060			9,209,060			—		—
Taiwan		8,856,285			8,856,285			—		—
Thailand		4,179,511			4,179,511			—		—
Turkey		2,260,587			2,260,587			—		—
Preferred Stocks		2,579,058			2,579,058			—		—
Short-Term Investments		49,822			—			49,822		—

Total	$	68,573,511		$	68,352,070		$	49,822	$	171,619

Liabilities
Futures Contracts⁽²⁾	$	(7,768	)	$	(7,768	)	$	—	$	—

Total	$	(7,768	)	$	(7,768	)	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

⁽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, 2019 is not presented.

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


		28

Hartford Multifactor Global Small Cap ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7%
		Australia - 5.8%
	30,796	Abacus Property Group	$	81,420
	55,219	Australian Pharmaceutical Industries Ltd.		50,277
	2,892	BWP Trust REIT		7,705
	63,714	Cromwell Property Group REIT		54,574
	17,799	CSR Ltd.		51,259
	10,713	Elders Ltd.		45,665
	27,115	Genworth Mortgage Insurance Australia Ltd.		62,178
	21,884	Growthpoint Properties Australia Ltd. REIT		63,762
	29,998	Inghams Group Ltd.		63,731
	2,616	JBHi-Fi Ltd.		59,988
	8,143	Mineral Resources Ltd.		73,484
	2,930	Northern Star Resources Ltd.		21,817
	16,143	OceanaGold Corp.		42,186
	15,553	Regis Resources Ltd.		51,400
	18,501	Sandfire Resources NL		81,856
	4,421	Shopping Centres Australasia Property Group REIT		7,782
	39,386	St. Barbara Ltd.		77,035
	50,243	Viva Energy REIT		96,576

				992,695

		Belgium - 0.2%
	6,125	AGFA-Gevaert N.V.*		25,134
	286	Tessenderlo Group S.A.*		9,042

				34,176

		Bermuda - 0.4%
	960	Argo Group International Holdings Ltd.		67,430

		Brazil - 1.5%
	8,868	Cia de Transmissao de Energia Eletrica Paulista*		52,585
	684	Cia Hering		5,701
	10,753	Construtora Tenda S.A.		63,608
	10,154	EDP - Energias do Brasil S.A.		47,779
	1,357	Ez Tec Empreendimentos e Participacoes S.A.		11,795
	3,378	Grendene S.A.		7,080
	9,791	MRV Engenharia e Participacoes S.A.		41,464
	4,257	Tupy S.A.		18,345
	1,848	Unipar Carbocloro S.A.		14,095

				262,452

		Canada - 4.6%
	1,486	Aecon Group, Inc.		20,472
	2,975	Aritzia, Inc.*		37,727
	340	Canadian Solar, Inc.*		6,419
	2,214	Canfor Corp.*		25,969
	3,132	Canfor Pulp Products, Inc.		22,970
	3,864	Cascades, Inc.		33,795
	1,931	Celestica, Inc.*		13,855
	3,903	Centerra Gold, Inc.*		33,193
	1,931	Empire Co., Ltd. Class A		52,315
	2,556	InterRent Real Estate Investment Trust REIT		31,583
	5,593	Intertape Polymer Group, Inc.		72,870
	24,219	Just Energy Group, Inc.		57,438
	3,256	Killam Apartment Real Estate Investment Trust REIT		49,258
	1,313	Mercer International, Inc.		16,465
	262	NFI Group, Inc.		5,565
	338	Norbord, Inc.		8,108
	3,471	North West Co., Inc.		74,191
	1,362	Parkland Fuel Corp.		43,709
	2,343	Spin Master Corp.*⁽¹⁾		71,635
	6,314	Summit Industrial Income REIT		62,615
	2,767	Transcontinental, Inc. Class A		32,351
	673	Uni-Select, Inc.		5,612
	10,373	Western Forest Products, Inc.		9,402

				787,517


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		China - 6.8%
	42,522	BAIC Motor Corp. Ltd. Class H⁽¹⁾	$	26,253
	12,000	China Communications Construction Co., Ltd. Class H		9,383
	20,531	China Lesso Group Holdings Ltd.		19,433
	77,025	China Oriental Group Co., Ltd.		26,627
	103,000	China Railway Signal & Communication Corp. Ltd. Class H⁽¹⁾		63,723
	15,000	China Reinsurance Group Corp. Class H		2,430
	75,000	China SCE Group Holdings Ltd.		34,537
	25,122	CSC Financial Co., Ltd. Class H⁽¹⁾		18,394
	33,000	Dongyue Group Ltd.		15,449
	75,242	Great Wall Motor Co., Ltd. Class H		50,389
	22,366	Guangzhou R&F Properties Co., Ltd. Class H		33,837
	58,000	Jiangsu Expressway Co., Ltd. Class H		73,689
	35,600	JNBY Design Ltd.		51,133
	1,870	Livzon Pharmaceutical Group, Inc. Class H		4,795
	86,000	Maanshan Iron & Steel Co., Ltd. Class H		32,362
	136,646	Metallurgical Corp. of China Ltd. Class H		30,678
	85,000	People’s Insurance Co., Group of China Ltd. Class H		34,046
	79,614	Red Star Macalline Group Corp. Ltd. Class H⁽¹⁾		66,519
	77,082	Shenzhen Expressway Co., Ltd. Class H		100,490
	103,215	Sinotrans Ltd. Class H		32,389
	84,219	Tianneng Power International Ltd.		59,302
	20,303	Times China Holdings, Ltd.		31,596
	68,000	Tong Ren Tang Technologies Co., Ltd. Class H		61,847
	29,402	TravelSky Technology Ltd. Class H		61,059
	57,706	Weichai Power Co., Ltd. Class H		83,179
	62,814	Xtep International Holdings Ltd.		33,973
	40,000	Yadea Group Holdings Ltd.⁽¹⁾		8,674
	3,637	Yangtze Optical Fibre and Cable Joint Stock Ltd. Co., Class H⁽¹⁾		5,864
	13,600	YiChang HEC ChangJiang Pharmaceutical Co., Ltd. Class H⁽¹⁾		66,357
	10,000	Zhejiang Expressway Co., Ltd. Class H		8,649
	3,300	Zhuzhou CRRC Times Electric Co., Ltd. Class H		13,660

				1,160,716

		Denmark - 0.4%
	751	Sydbank A/S		13,247
	1,251	Topdanmark A/S		60,389

				73,636

		Finland - 0.0%
	1,034	Finnair Oyj		7,231

		France - 1.7%
	1,099	Criteo S.A. ADR*		20,540
	50	Fnac Darty S.A.*		3,162
	933	Gaztransport Et Technigaz S.A.		92,409
	3,441	Lagardere SCA		76,153
	3,269	Quadient SAS		67,713
	533	Societe BIC S.A.		35,794

				295,771

		Georgia - 0.2%
	1,858	Bank of Georgia Group plc		30,589

		Germany - 1.0%
	8,617	Borussia Dortmund GmbH & Co., KGaA		86,709
	2,136	TAG Immobilien AG*		48,762
	1,611	TLG Immobilien AG		43,820

				179,291

		Hong Kong - 3.0%
	444,000	Bosideng International Holdings Ltd.		189,168
	93,000	Champion REIT		60,146
	37,000	HKBN Ltd.		68,153
	9,000	Pacific Textiles Holdings Ltd.		6,050
	64,000	Sa Sa International Holdings Ltd.		14,205

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


		29

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		Hong Kong - 3.0% - (continued)
	31,000	Shanghai Industrial Holdings Ltd.	$	57,734
	30,000	Shanghai Industrial Urban Development Group Ltd.		3,789
	21,120	Shenzhen Investment Ltd.		7,786
	41,000	SmarTone Telecommunications Holdings Ltd.		35,616
	38,515	Yuexiu Real Estate Investment Trust		24,663
	60,000	Yuexiu Transport Infrastructure Ltd.		51,815

				519,125

		Ireland - 0.1%
	9,902	Green REIT plc		20,576

		Israel - 1.6%
	958	Airport City Ltd.*		18,604
	26,602	Bezeq The Israeli Telecommunication Corp. Ltd.*		17,618
	80	Israel Corp. Ltd.*		17,987
	14	Mehadrin Ltd.*		548
	328	Mizrahi Tefahot Bank Ltd.		8,153
	165,228	Oil Refineries Ltd.*		87,135
	454	Paz Oil Co., Ltd.		66,354
	2,175	Phoenix Holdings Ltd.		13,798
	1,818	Tower Semiconductor Ltd.*		35,824

				266,021

		Italy - 1.0%
	17,276	Enav S.p.A.⁽¹⁾		97,562
	44,818	Saras S.p.A		76,711

				174,273

		Japan - 16.1%
	315	Adastria Co., Ltd.		7,080
	2,181	Amano Corp.		66,394
	1,532	AOKI Holdings, Inc.		14,728
	3,005	Arcs Co., Ltd.		62,811
	1,000	Asahi Holdings, Inc.		20,597
	5,500	Avex, Inc.		64,427
	700	BML, Inc.		18,822
	10,900	Citizen Watch Co., Ltd.		53,252
	257	cocokara fine, Inc.		13,840
	900	Daicel Corp.		7,603
	600	Daiho Corp.		15,833
	900	Daiwabo Holdings Co., Ltd.		37,307
	3,900	DCM Holdings Co., Ltd.		38,251
	3,249	Doutor Nichires Holdings Co., Ltd.		64,394
	2,800	DTS Corp.		58,241
	1,558	Dydo Group Holdings, Inc.		63,502
	700	Fujitsu General Ltd.		11,652
	5,021	Geo Holdings Corp.		59,606
	9,100	Hazama Ando Corp.		67,697
	1,467	Heiwado Co., Ltd.		27,528
	1,947	Inaba Denki Sangyo Co., Ltd.		85,032
	10,400	Itochu Enex Co., Ltd.		79,004
	2,300	Iwatani Corp.		77,678
	3,500	Kaga Electronics Co., Ltd.		62,600
	2,221	Kanematsu Corp.		24,948
	12,100	Kansai Mirai Financial Group, Inc.		76,020
	900	Keihin Corp.		13,199
	500	Kinden Corp.		7,416
	1,568	Kokuyo Co., Ltd.		21,879
	9,100	Konica Minolta, Inc.		63,319
	4,281	KYORIN Holdings, Inc.		70,865
	1,469	Kyowa Exeo Corp.		35,612
	437	Kyudenko Corp.		14,557
	2,178	Maeda Road Construction Co., Ltd.		47,359
	6,000	Marvelous, Inc.		46,246
	2,168	Maxell Holdings Ltd.		30,953
	6,182	MCJ Co., Ltd.		38,897
	599	Megmilk Snow Brand Co., Ltd.		14,416


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		Japan - 16.1% - (continued)
	4,760	Ministop Co., Ltd.	$	61,265
	2,623	Mirait Holdings Corp.		39,536
	2,900	Mixi, Inc.		60,992
	782	Mochida Pharmaceutical Co., Ltd.		29,884
	3,569	NEC Networks & System Integration Corp.		96,791
	773	Nihon Unisys Ltd.		24,891
	661	Nojima Corp.		11,082
	6,200	Oki Electric Industry Co., Ltd.		84,388
	969	PAL GROUP Holdings Co., Ltd.		29,946
	1,161	Paramount Bed Holdings Co., Ltd.		42,164
	3,778	Plenus Co., Ltd.		63,273
	3,300	Raito Kogyo Co., Ltd.		43,298
	3,100	Sanki Engineering Co., Ltd.		36,715
	1,400	Senko Group Holdings Co., Ltd.		10,894
	4,400	SKY Perfect JSAT Holdings, Inc.		17,791
	2,039	St Marc Holdings Co., Ltd.		44,883
	5,700	Sumitomo Mitsui Construction Co., Ltd.		29,904
	600	Sushiro Global Holdings Ltd.		40,361
	1,919	T-Gaia Corp.		38,691
	274	Taikisha Ltd.		8,252
	3,208	Takuma Co., Ltd.		36,362
	613	Toho Holdings Co., Ltd.		14,186
	6,200	TOKAI Holdings Corp.		57,999
	300	Tokyo Seimitsu Co., Ltd.		8,813
	4,800	Tokyu Construction Co., Ltd.		36,686
	1,900	Toshiba TEC Corp.		56,081
	300	Towa Pharmaceutical Co., Ltd.		6,951
	396	Unipres Corp.		6,203
	6,300	United Super Markets Holdings, Inc.		56,078
	1,328	Valor Holdings Co., Ltd.		22,364
	7,400	Yamazen Corp.		64,363

				2,764,652

		Liechtenstein - 0.2%
	216	VP Bank AG		33,922

		Luxembourg - 0.3%
	941	Altisource Portfolio Solutions S.A.*		19,027
	1,034	Grand City Properties S.A.		23,267

				42,294

		Netherlands - 0.4%
	794	Flow Traders⁽¹⁾		20,792
	5,822	PostNL N.V.		12,935
	570	Signify N.V.⁽¹⁾		15,678
	628	Sligro Food Group N.V.		17,767

				67,172

		New Zealand - 0.9%
	51,457	Air New Zealand Ltd.		90,345
	17,546	Z Energy Ltd.		61,613

				151,958

		Norway - 0.8%
	251	Entra ASA⁽¹⁾		3,939
	3,001	SpareBank 1 SMN		32,534
	8,423	Veidekke ASA		94,650

				131,123

		Poland - 0.5%
	64,069	EPP N.V.		78,594

		Singapore - 0.8%
	15,600	ComfortDelGro Corp. Ltd.		27,074
	7,917	Frasers Centrepoint Trust REIT		15,686
	2,342	Kulicke & Soffa Industries, Inc.		54,990
	3,200	Mapletree North Asia Commercial Trust REIT		3,054
	9,500	StarHub Ltd.		8,931

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


		30

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		Singapore - 0.8% - (continued)
	35,100	Yanlord Land Group Ltd.	$	29,696

				139,431

		South Africa - 0.8%
	12,629	Reunert Ltd.		57,471
	17,605	Telkom S.A. SOC Ltd.		81,961

				139,432

		South Korea - 4.8%
	1,386	Binggrae Co., Ltd.		67,553
	3,653	Cheil Worldwide, Inc.		75,738
	586	CJ Corp.		40,172
	189	Com2uSCorp		14,742
	727	Daesang Corp.		13,523
	3,917	DGB Financial Group, Inc.		24,396
	525	GS Home Shopping, Inc.		68,075
	610	GS Retail Co., Ltd.		21,036
	191	Hanwha Corp.		4,032
	1,439	Harim Holdings Co., Ltd.		11,333
	1,552	Huchems Fine Chemical Corp.		27,766
	500	Hyundai Home Shopping Network Corp.		38,248
	2,702	Hyundai Marine & Fire Insurance Co., Ltd.		59,635
	533	IS Dongseo Co., Ltd.		13,390
	4,202	JB Financial Group Co., Ltd.		19,743
	1,828	Jeju Air Co., Ltd.		37,365
	72	Korea Petrochemical Ind Co., Ltd.		7,675
	7,445	Korean Reinsurance Co.		49,855
	3,727	LF Corp.		62,940
	4,396	Meritz Fire & Marine Insurance Co., Ltd.		70,195
	90	NongShim Co., Ltd.		18,773
	406	S&T Motiv Co., Ltd.		18,431
	372	S-1 Corp.		30,509
	208	Samsung Card Co., Ltd.		6,112
	221	Soulbrain Co., Ltd.		13,488

				814,725

		Spain - 0.2%
	762	Bolsas y Mercados Espanoles SHMSF S.A.		19,256
	529	Cia de Distribucion Integral Logista Holdings S.A.		10,312
	799	Lar Espana Real Estate Socimi S.A. REIT		6,716

				36,284

		Sweden - 2.1%
	9,744	Bilia AB Class A		77,449
	6,033	Clas Ohlson AB Class B		57,955
	3,040	Hemfosa Fastigheter AB		30,826
	1,097	JM AB		28,072
	7,266	Nobina AB⁽¹⁾		45,486
	7,482	Peab AB		66,547
	36,677	SAS AB*		46,778

				353,113

		Switzerland - 1.1%
	148	Autoneum Holding AG		16,282
	127	BKW AG		9,438
	3	dormakaba Holding AG*		1,936
	509	Galenica AG*⁽¹⁾		29,249
	609	Implenia AG		22,891
	24	Schweiter Technologies AG		22,889
	831	Sunrise Communications Group AG*⁽¹⁾		64,712
	274	Valiant Holding AG		27,258

				194,655

		Taiwan - 4.3%
	15,000	Coretronic Corp.		18,034
	55,909	Eva Airways Corp.		24,598
	1,208	FLEXium Interconnect, Inc.		3,676


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		Taiwan - 4.3% - (continued)
	17,000	Fusheng Precision Co., Ltd.	$	98,084
	37,563	Gigabyte Technology Co., Ltd.		60,114
	11,650	Great Wall Enterprise Co., Ltd.		14,157
	106,000	HannStar Display Corp.		21,866
	10,000	Micro-Star International Co., Ltd.		29,106
	14,469	Powertech Technology, Inc.		40,668
	14,637	Primax Electronics Ltd.		27,883
	21,000	Radiant Opto-Electronics Corp.		80,211
	30,000	Ruentex Industries Ltd.*		64,691
	8,871	Tripod Technology Corp.		31,882
	16,000	United Integrated Services Co., Ltd.		84,836
	10,562	Wistron NeWeb Corp.		27,780
	10,083	WT Microelectronics Co., Ltd.		12,594
	25,000	Zhen Ding Technology Holding Ltd.		89,445

				729,625

		Thailand - 0.3%
	1,136	Fabrinet*		59,413

		United Kingdom - 4.1%
	1,327	Aggreko plc		13,586
	4,894	Avast plc⁽¹⁾		23,400
	22,880	Charter Court Financial Services Group plc⁽¹⁾		85,290
	4,706	Countryside Properties plc⁽¹⁾		19,485
	2,229	Daily Mail & General Trust plc		23,403
	2,597	Dart Group plc		29,283
	861	Euromoney Institutional Investor plc		15,703
	3,206	Go-Ahead Group plc		79,568
	1,501	Greggs plc		38,658
	25,005	Halfords Group plc		52,445
	6,036	Hudson Ltd. Class A*		74,062
	2,840	John Laing Group plc⁽¹⁾		12,844
	1,124	Just Group plc*		733
	927	National Express Group plc		4,946
	15,382	OneSavings Bank plc		70,021
	4,021	Safestore Holdings plc REIT		33,125
	292	Spectris plc		8,794
	9,579	Stagecoach Group plc		15,782
	85	Tate & Lyle plc		771
	7,275	UNITE Group plc		97,897

				699,796

		United States - 32.7%
	1,256	1-800-Flowers.com, Inc. Class A*		18,583
	1,597	Aaron’s, Inc.		102,623
	1,815	Abercrombie & Fitch Co., Class A		28,314
	265	Acushnet Holdings Corp.		6,996
	64	Addus HomeCare Corp.*		5,074
	453	AMC Networks, Inc. Class A*		22,269
	719	Amedisys, Inc.*		94,196
	595	American National Insurance Co.		73,619
	3,388	Amkor Technology, Inc.*		30,831
	1,886	AMN Healthcare Services, Inc.*		108,558
	962	ANGI Homeservices, Inc. Class A*		6,816
	171	AngioDynamics, Inc.*		3,150
	1,087	Anika Therapeutics, Inc.*		59,665
	3,617	Apollo Medical Holdings, Inc.*		63,732
	767	Arch Coal, Inc. Class A		56,911
	1,198	Argan, Inc.		47,069
	50	Atrion Corp.		38,959
	4,540	Avaya Holdings Corp.*		46,444
	1,262	Big Lots, Inc.		30,919
	429	BioTelemetry, Inc.*		17,473
	198	Blackstone Mortgage Trust, Inc. Class A REIT		7,098
	122	Boston Beer Co., Inc. Class A*		44,418
	467	BP Prudhoe Bay Royalty Trust		4,292
	537	Brady Corp. Class A		28,488

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


		31

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		United States - 32.7% - (continued)
	1,086	Brinker International, Inc.	$	46,340
	2,597	Buckle, Inc.		53,498
	26	CACI International, Inc. Class A*		6,013
	890	Cactus, Inc. Class A*		25,757
	372	Cal-Maine Foods, Inc.		14,863
	494	Cambrex Corp.*		29,393
	2,110	Casa Systems, Inc.*		16,574
	124	Casey’s General Stores, Inc.		19,984
	20	Chemed Corp.		8,351
	42	Chesapeake Utilities Corp.		4,003
	1,054	Chico’s FAS, Inc.		4,248
	536	Chimera Investment Corp. REIT		10,484
	68	Coca-Cola Bottling Co., Consolidated		20,663
	365	CONMED Corp.		35,095
	1,223	CONSOL Energy, Inc.*		19,116
	1,363	Corvel Corp.*		103,179
	886	CSG Systems International, Inc.		45,788
	1,667	CVR Energy, Inc.		73,398
	794	Designer Brands, Inc.		13,593
	1,046	Dick’s Sporting Goods, Inc.		42,687
	413	Diodes, Inc.*		16,582
	166	DISH Network Corp. Class A*		5,656
	516	Dolby Laboratories, Inc. Class A		33,354
	192	Douglas Dynamics, Inc.		8,557
	705	EchoStar Corp. Class A*		27,932
	1,348	Emergent BioSolutions, Inc.*		70,473
	1,270	Employers Holdings, Inc.		55,347
	3,296	Ennis, Inc.		66,612
	1,501	Ensign Group, Inc.		71,192
	857	ePlus, Inc.*		65,209
	263	FB Financial Corp.		9,876
	857	FBL Financial Group, Inc. Class A		51,000
	2,009	First Interstate BancSystem, Inc. Class A		80,842
	6,567	Five Point Holdings LLC Class A*		49,253
	516	Genesco, Inc.*		20,650
	15,593	Genworth Financial, Inc. Class A*		68,609
	680	Getty Realty Corp. REIT		21,801
	1,810	Globus Medical, Inc. Class A*		92,527
	65	Graham Holdings Co. Class B		43,124
	453	Granite Point Mortgage Trust, Inc. REIT		8,489
	402	Greenbrier Cos., Inc.		12,108
	554	Greif, Inc. Class A		20,991
	628	Guess?, Inc.		11,637
	2,921	H&R Block, Inc.		68,994
	951	Horace Mann Educators Corp.		44,060
	57	Hub Group, Inc. Class A*		2,651
	56	ICF International, Inc.		4,730
	393	Ichor Holdings Ltd.*		9,503
	479	Industrial Logistics Properties Trust REIT		10,179
	1,256	Ingles Markets, Inc. Class A		48,808
	3,832	Inovalon Holdings, Inc. Class A*		62,807
	1,592	Insight Enterprises, Inc.*		88,659
	32	Insperity, Inc.		3,156
	509	Kaman Corp.		30,265
	215	Kelly Services, Inc. Class A		5,207
	2,736	Laureate Education, Inc. Class A*		45,349
	810	LHC Group, Inc.*		91,984
	603	Louisiana-Pacific Corp.		14,822
	1,015	Magellan Health, Inc.*		63,032
	6,931	Magnolia Oil & Gas Corp. Class A*		76,934
	610	ManTech International Corp. Class A		43,560
	1,093	Marcus & Millichap, Inc. REIT*		38,791
	1,604	Match Group, Inc.		114,590
	201	MAXIMUS, Inc.		15,529
	195	McGrath Rent Corp.		13,570


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.7% - (continued)
		United States - 32.7% - (continued)
	1,449	MEDNAX, Inc.*	$	32,776
	474	Mercury General Corp.		26,487
	50	Meredith Corp.		1,833
	5,147	Meridian Bioscience, Inc.		48,845
	1,846	MFA Financial, Inc. REIT		13,587
	44	MicroStrategy, Inc. Class A*		6,528
	623	MSG Networks, Inc. Class A*		10,105
	695	Murphy USA, Inc.*		59,284
	1,137	National HealthCare Corp.		93,063
	827	National Presto Industries, Inc.		73,677
	281	National Western Life Group, Inc. Class A		75,412
	1,722	NextGen Healthcare, Inc.*		26,984
	218	NorthWestern Corp.		16,361
	233	NuVasive, Inc.*		14,768
	760	Oritani Financial Corp.		13,448
	2,512	Par Pacific Holdings, Inc.*		57,424
	1,928	Patterson Cos., Inc.		34,357
	981	PC Connection, Inc.		38,161
	1,298	PennyMac Financial Services, Inc.*		39,433
	653	PennyMac Mortgage Investment Trust REIT		14,516
	1,721	Phibro Animal Health Corp. Class A		36,709
	7,346	Photronics, Inc.*		79,925
	204	Portland General Electric Co.		11,499
	2,278	Premier, Inc. Class A*		65,880
	1,979	ProPetro Holding Corp.*		17,989
	3,258	Renewable Energy Group, Inc.*		48,886
	997	REX American Resources Corp.*		76,101
	221	Safety Insurance Group, Inc.		22,394
	3,875	Sally Beauty Holdings, Inc.*		57,699
	44	Sanderson Farms, Inc.		6,659
	1,863	Schneider National, Inc. Class B		40,464
	92	Scholastic Corp.		3,474
	659	Select Medical Holdings Corp.*		10,920
	1,342	Selective Insurance Group, Inc.		100,905
	541	Sleep Number Corp.*		22,354
	3,451	SMART Global Holdings, Inc.*		87,932
	464	Spirit Airlines, Inc.*		16,843
	3,047	Steelcase, Inc. Class A		56,065
	730	Stepan Co.		70,854
	92	Sturm Ruger & Co., Inc.		3,842
	1,084	Sunstone Hotel Investors, Inc. REIT		14,894
	2,646	Sykes Enterprises, Inc.*		81,073
	1,392	Telephone & Data Systems, Inc.		35,914
	2,794	TPG RE Finance Trust, Inc. REIT		55,433
	397	Trinseo S.A.		17,051
	9,155	TrustCo Bank Corp.		74,613
	203	TTM Technologies, Inc.*		2,476
	304	U.S. Physical Therapy, Inc.		39,687
	36	UniFirst Corp.		7,024
	4,174	Unisys Corp.*		31,013
	995	United Fire Group, Inc.		46,745
	1,879	United States Cellular Corp.*		70,613
	65	Unitil Corp.		4,124
	765	Universal Corp.		41,930
	82	USANA Health Sciences, Inc.*		5,608
	3,440	Virtu Financial, Inc. Class A		56,278
	280	Vishay Intertechnology, Inc.		4,740
	3,038	Warrior Met Coal, Inc.		59,302
	1,874	Weis Markets, Inc.		71,474
	82	Williams-Sonoma, Inc.		5,574

				5,608,534


		Total Common Stocks (cost $17,102,536)	$	16,916,222

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


		32

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
PREFERRED STOCKS - 0.3%
		Germany - 0.3%
	5,482	Schaeffler AG, 4.39%	$	42,098


		Total Preferred Stocks (cost $78,402)	$	42,098


		Total Long-Term Investments (cost $17,180,938)	$	16,958,320


SHORT-TERM INVESTMENTS - 0.1%
		U.S. Treasury Bill - 0.1%
$	20,000	1.92%, 12/12/2019⁽²⁾⁽³⁾	$	19,929


		Total Short-Term Investments (cost $19,923)	$	19,929



Total Investments (cost $17,200,861)	99.1	%	$	16,978,249
Other Assets and Liabilities	0.9	%		154,679

Total Net Assets	100.0	%	$	17,132,928

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

*	Non-income producing.

⁽¹⁾

⁽²⁾	The rate shown represents current yield to maturity.

⁽³⁾	This security has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2019
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
E-Mini Russell 2000		1		12/20/2019	$	76,250	$	(3,132	)
MSCI EAFE Index Future		1		12/20/2019		94,920		(552	)

Total							$	(3,684	)

Total futures contracts							$	(3,684	)

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

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


		33

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

September 30, 2019

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	992,695		$	992,695		$	—	$	—
Belgium		34,176			34,176			—		—
Bermuda		67,430			67,430			—		—
Brazil		262,452			262,452			—		—
Canada		787,517			787,517			—		—
China		1,160,716			1,160,716			—		—
Denmark		73,636			73,636			—		—
Finland		7,231			7,231			—		—
France		295,771			295,771			—		—
Georgia		30,589			30,589			—		—
Germany		179,291			179,291			—		—
Hong Kong		519,125			519,125			—		—
Ireland		20,576			20,576			—		—
Israel		266,021			266,021			—		—
Italy		174,273			174,273			—		—
Japan		2,764,652			2,764,652			—		—
Liechtenstein		33,922			33,922			—		—
Luxembourg		42,294			42,294			—		—
Netherlands		67,172			67,172			—		—
New Zealand		151,958			151,958			—		—
Norway		131,123			131,123			—		—
Poland		78,594			78,594			—		—
Singapore		139,431			139,431			—		—
South Africa		139,432			139,432			—		—
South Korea		814,725			814,725			—		—
Spain		36,284			36,284			—		—
Sweden		353,113			353,113			—		—
Switzerland		194,655			194,655			—		—
Taiwan		729,625			729,625			—		—
Thailand		59,413			59,413			—		—
United Kingdom		699,796			699,796			—		—
United States		5,608,534			5,608,534			—		—
Preferred Stocks		42,098			42,098			—		—
Short-Term Investments		19,929			—			19,929		—

Total	$	16,978,249		$	16,958,320		$	19,929	$	—

Liabilities
Futures Contracts⁽²⁾	$	(3,684	)	$	(3,684	)	$	—	$	—

Total	$	(3,684	)	$	(3,684	)	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

⁽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.


		34

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5%
		Australia - 6.7%
	1,248	AGL Energy Ltd.	$	16,127
	2,281	Amcor plc		21,923
	8,447	Aurizon Holdings Ltd.		33,613
	869	Australia & New Zealand Banking Group Ltd.		16,715
	1,234	Caltex Australia Ltd.		21,905
	72	Cochlear Ltd.		10,108
	51	Commonwealth Bank of Australia		2,780
	2,169	Computershare Ltd.		23,626
	183	CSL Ltd.		28,843
	1,349	GPT Group REIT		5,605
	708	National Australia Bank Ltd.		14,182
	598	Ramsay Health Care Ltd.		26,163
	1,640	Sonic Healthcare Ltd.		31,026
	920	Stockland REIT		2,823
	1,462	Tabcorp Holdings Ltd.		4,782
	2,956	Transurban Group		29,287
	1,224	Wesfarmers Ltd.		32,856
	260	Westpac Banking Corp.		5,198
	1,351	Woolworths Group Ltd.		33,969

				361,531

		Belgium - 0.1%
	33	Cofinimmo S.A. REIT		4,648

		Brazil - 0.4%
	5,009	Ambev S.A.		23,149

		Canada - 10.3%
	410	Alimentation Couche-Tard, Inc. Class B		12,573
	359	Bank of Montreal		26,459
	333	Bank of Nova Scotia		18,926
	601	BCE, Inc.		29,088
	1,410	CAE, Inc.		35,846
	600	Canadian Apartment Properties REIT		24,684
	200	Canadian Imperial Bank of Commerce		16,512
	303	Canadian National Railway Co.		27,224
	181	Canadian Tire Corp. Ltd. Class A		20,324
	364	CCL Industries, Inc. Class B		14,692
	65	CGI, Inc.*		5,143
	634	Enbridge, Inc.		22,267
	1,500	First Capital Realty, Inc.		25,004
	6	George Weston Ltd.		505
	210	Imperial Oil Ltd.		5,472
	536	Inter Pipeline Ltd.		9,412
	48	Loblaw Cos., Ltd.		2,736
	9	Onex Corp.		558
	637	Pembina Pipeline Corp.		23,628
	135	Quebecor, Inc. Class B		3,067
	1,359	RioCan Real Estate Investment Trust REIT		27,077
	16	Ritchie Bros Auctioneers, Inc.		638
	495	Rogers Communications, Inc. Class B		24,126
	265	Royal Bank of Canada		21,510
	1,352	Shaw Communications, Inc. Class B		26,580
	843	Suncor Energy, Inc.		26,608
	416	TC Energy Corp.		21,554
	876	TELUS Corp.		31,196
	152	Thomson Reuters Corp.		10,166
	416	Toronto-Dominion Bank		24,272
	300	WSP Global, Inc.		17,545

				555,392

		China - 2.3%
	27,000	China Construction Bank Corp. Class H		20,596
	1,500	China Merchants Bank Co., Ltd. Class H		7,137
	46,000	China Telecom Corp. Ltd. Class H		20,948
	6,000	Fuyao Glass Industry Group Co., Ltd. Class H⁽¹⁾		16,647
	20,000	Guangzhou Automobile Group Co., Ltd. Class H		19,134


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		China - 2.3% - (continued)
	4,000	Jiangsu Expressway Co., Ltd. Class H	$	5,082
	2,300	Shenzhou International Group Holdings Ltd.		30,043
	30,000	Zall Smart Commerce Group Ltd.*		3,597

				123,184

		Denmark - 2.1%
	201	Carlsberg A/S Class B		29,716
	243	Coloplast A/S Class B		29,272
	310	DSV A/S		29,504
	488	Novo Nordisk A/S Class B		25,093

				113,585

		Finland - 0.1%
	137	Kone Oyj Class B		7,802

		France - 4.0%
	232	Air Liquide S.A.		33,032
	193	EssilorLuxottica S.A.		27,826
	46	Hermes International		31,795
	74	L’Oreal S.A.		20,725
	1,926	Orange S.A.		30,226
	267	Sanofi		24,760
	144	Sodexo S.A.		16,170
	63	Thales S.A.		7,246
	447	TOTAL S.A.		23,335
	5	Vinci S.A.		539

				215,654

		Germany - 3.4%
	114	adidas AG		35,501
	118	Allianz SE		27,510
	178	BASF SE		12,443
	1,356	Deutsche Telekom AG		22,757
	236	Merck KGaA		26,591
	248	SAP SE		29,168
	240	Siemens AG		25,707

				179,677

		Hong Kong - 5.5%
	2,000	China Mobile Ltd.		16,545
	17,000	CITIC Ltd.		21,468
	1,500	CK Hutchison Holdings Ltd.		13,241
	2,000	CK Infrastructure Holdings Ltd.		13,458
	2,500	CLP Holdings Ltd.		26,262
	1,100	Dairy Farm International Holdings Ltd.		6,930
	8,000	Guangdong Investment Ltd.		15,654
	800	Hang Seng Bank Ltd.		17,246
	11,000	HKBN Ltd.		20,262
	11,616	Hong Kong & China Gas Co., Ltd.		22,641
	300	Jardine Strategic Holdings Ltd.		8,964
	3,000	Link REIT		33,083
	3,594	MTR Corp. Ltd.		20,172
	13,000	PCCW Ltd.		7,296
	1,000	Power Assets Holdings Ltd.		6,716
	2,000	Swire Pacific Ltd. Class A		18,611
	1,700	VTech Holdings Ltd.		14,822
	10,000	Zhongyu Gas Holdings Ltd.		9,746

				293,117

		India - 2.4%
	236	HDFC Bank Ltd. ADR		13,464
	2,515	Infosys Ltd. ADR		28,596
	1,396	Larsen & Toubro Ltd. GDR		29,037
	774	Mahindra & Mahindra Ltd. GDR		5,998
	5,582	Wipro Ltd. ADR		20,374
	529	WNS Holdings Ltd. ADR*		31,079

				128,548

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


		35

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Indonesia - 2.9%
	52,200	Astra International Tbk PT	$	24,271
	12,500	Bank Central Asia Tbk PT		26,726
	65,185	Chandra Asri Petrochemical Tbk PT		37,655
	1,614,100	Hanson International Tbk PT*		10,461
	13,900	Indofood CBP Sukses Makmur Tbk PT		11,775
	77,000	Telekomunikasi Indonesia Persero Tbk PT		23,379
	7,200	Unilever Indonesia Tbk PT		23,586

				157,853

		Ireland - 1.1%
	634	CRH plc		21,834
	1,189	Experian plc		38,081

				59,915

		Israel - 2.5%
	315	Alony Hetz Properties & Investments Ltd.		4,608
	171	Azrieli Group Ltd.		13,431
	200	Check Point Software Technologies Ltd.*		21,900
	247	Nice Ltd.*		36,313
	118	Paz Oil Co., Ltd.		17,246
	964	Radware Ltd.*		23,387
	216	Taro Pharmaceutical Industries Ltd.		16,297

				133,182

		Italy - 1.4%
	1,620	Eni S.p.A.		24,786
	644	Recordati S.p.A.		27,634
	4,840	Snam S.p.A.		24,452

				76,872

		Japan - 16.1%
	700	ANA Holdings, Inc.		23,537
	1,700	Astellas Pharma, Inc.		24,200
	500	Bridgestone Corp.		19,357
	1,100	Canon, Inc.		29,338
	300	Chugai Pharmaceutical Co., Ltd.		23,317
	1,800	DeNA Co., Ltd.		31,761
	400	Denso Corp.		17,577
	300	East Japan Railway Co.		28,619
	600	FUJIFILM Holdings Corp.		26,315
	100	Hankyu Hanshin Holdings, Inc.		3,854
	1,700	ITOCHU Corp.		35,093
	500	Japan Airlines Co., Ltd.		14,860
	5	Japan Logistics Fund, Inc. REIT		12,371
	2,300	Japan Post Holdings Co., Ltd.		21,175
	1	Japan Real Estate Investment Corp. REIT		6,708
	1	Japan Retail Fund Investment Corp. REIT		2,115
	500	Kaken Pharmaceutical Co., Ltd.		23,178
	300	KDDI Corp.		7,842
	500	Kintetsu Group Holdings Co., Ltd.		26,047
	300	Kuraray Co., Ltd.		3,684
	500	McDonald’s Holdings Co. Japan Ltd.		24,196
	500	Mitsubishi Corp.		12,265
	1,600	Mitsubishi Electric Corp.		21,208
	600	Mitsubishi Heavy Industries Ltd.		23,495
	500	Mitsubishi Tanabe Pharma Corp.		5,482
	600	Mitsui & Co., Ltd.		9,815
	9,700	Mizuho Financial Group, Inc.		14,863
	300	Nagoya Railroad Co., Ltd.		8,966
	700	NEC Corp.		29,535
	1,800	Nippon Kayaku Co., Ltd.		21,485
	3,500	Nissan Motor Co., Ltd.		21,831
	1,000	NTT DOCOMO, Inc.		25,473
	200	Oriental Land Co., Ltd.		30,423
	400	Otsuka Holdings Co., Ltd.		14,953
	300	Secom Co., Ltd.		27,364
	1,900	Seiko Epson Corp.		26,722


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 16.1% - (continued)
	1,900	Sekisui House Ltd.	$	37,358
	200	Seven & i Holdings Co., Ltd.		7,647
	1,700	Skylark Holdings Co., Ltd.		30,925
	1,300	Sumitomo Rubber Industries Ltd.		15,421
	200	Tokio Marine Holdings, Inc.		10,695
	500	Toyota Motor Corp.		33,384
	5,600	Yamada Denki Co., Ltd.		27,100

				861,554

		Malaysia - 2.2%
	23,500	DiGi.Com Bhd		26,660
	7,400	HAP Seng Consolidated Bhd		17,426
	15,300	IHH Healthcare Bhd		20,756
	2,300	Kuala Lumpur Kepong Bhd		12,678
	5,000	Maxis Bhd		6,688
	11,500	Petronas Chemicals Group Bhd		20,709
	3,200	Tenaga Nasional Bhd		10,425

				115,342

		Mexico - 0.2%
	1,404	Fomento Economico Mexicano S.A.B. de C.V.		12,860

		Netherlands - 1.2%
	78	Koninklijke DSM N.V.		9,388
	137	Koninklijke Philips N.V.		6,348
	616	QIAGEN N.V.*		20,174
	895	Royal Dutch Shell plc Class A		26,293

				62,203

		Norway - 1.7%
	1,785	Atea ASA*		22,985
	1,265	Equinor ASA		24,093
	832	Marine Harvest ASA*		19,221
	1,189	Telenor ASA		23,889

				90,188

		Philippines - 0.7%
	9,400	Ayala Land, Inc.		8,968
	1,530	Manila Electric Co.		10,922
	640	SM Investments Corp.		11,990
	10,800	SM Prime Holdings, Inc.		7,752

				39,632

		Portugal - 0.1%
	192	Galp Energia SGPS S.A.		2,894

		Russia - 0.1%
	284	MMC Norilsk Nickel PJSC ADR		7,270

		Singapore - 0.8%
	200	Ascendas Real Estate Investment Trust REIT		451
	2,700	Mapletree Logistics Trust REIT		3,163
	3,900	SATS Ltd.		13,650
	5,400	Singapore Telecommunications Ltd.		12,144
	1,300	Suntec Real Estate Investment Trust REIT		1,786
	2,300	UOL Group Ltd.		12,474

				43,668

		South Africa - 0.5%
	19,110	Fortress REIT Ltd. Class A, REIT		25,963

		South Korea - 5.2%
	42	Chong Kun Dang Pharmaceutical Corp.		2,928
	68	GS Home Shopping, Inc.		8,817
	308	Hyundai Department Store Co., Ltd.		20,110
	274	Hyundai Home Shopping Network Corp.		20,960
	206	Hyundai Motor Co.		23,077
	916	Kangwon Land, Inc.		22,629
	65	KB Financial Group, Inc.		2,320
	594	Kia Motors Corp.		22,645

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


		36

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		South Korea - 5.2% - (continued)
	1,990	KT Corp.	$	22,507
	200	LG Corp.		11,704
	88	NongShim Co., Ltd.		18,356
	15	Ottogi Corp.		7,311
	281	S-1 Corp.		23,046
	647	Samsung Electronics Co., Ltd.		26,531
	196	Shinhan Financial Group Co., Ltd.		6,849
	74	SK Holdings Co., Ltd.		12,621
	121	SK Telecom Co., Ltd.		24,430

				276,841

		Spain - 0.9%
	307	Amadeus IT Group S.A.		21,996
	3,644	Telefonica S.A.		27,813

				49,809

		Sweden - 1.3%
	1,216	Assa Abloy AB Class B		27,097
	793	Swedbank AB Class A		11,429
	6,599	Telia Co., AB		29,578

				68,104

		Switzerland - 2.8%
	58	Alcon, Inc.*		3,385
	12	Givaudan S.A.		33,503
	296	Nestle S.A.		32,143
	291	Novartis AG		25,255
	81	Roche Holding AG		23,594
	259	Swiss Re AG		27,039
	15	Swisscom AG		7,406

				152,325

		Taiwan - 5.2%
	2,000	Cheng Shin Rubber Industry Co., Ltd.		2,952
	10,000	Chong Hong Construction Co., Ltd.		25,625
	8,000	Chunghwa Telecom Co., Ltd.		28,623
	41,000	Compal Electronics, Inc.		23,655
	26,000	Everlight Electronics Co., Ltd.		23,340
	2,000	Far EasTone Telecommunications Co., Ltd.		4,674
	1,000	Formosa Chemicals & Fibre Corp.		2,795
	2,000	Formosa Plastics Corp.		6,092
	2,000	Foxconn Technology Co., Ltd.		4,171
	6,000	Highwealth Construction Corp.		9,650
	2,800	Hon Hai Precision Industry Co., Ltd.		6,606
	3,000	Hung Sheng Construction Ltd.*		1,924
	3,000	Nan Ya Plastics Corp.		6,740
	7,000	Pou Chen Corp.		8,969
	2,000	Powertech Technology, Inc.		5,621
	8,000	Sinbon Electronics Co., Ltd.		31,072
	1,000	Supreme Electronics Co., Ltd.		935
	2,000	Taiwan Mobile Co., Ltd.		7,220
	3,000	Taiwan Semiconductor Manufacturing Co., Ltd.		26,302
	12,000	Uni-President Enterprises Corp.		28,932
	20,000	WT Microelectronics Co., Ltd.		24,980

				280,878

		Thailand - 2.9%
	1,000	Advanced Info Service PCL NVDR		7,193
	13,800	Airports of Thailand PCL NVDR		33,727
	261,700	Bangkok Land PCL NVDR		12,578
	1,400	Bumrungrad Hospital PCL NVDR		5,859
	10,500	Central Pattana PCL NVDR		23,345
	10,600	CP ALL PCL NVDR		28,159
	900	Electricity Generating PCL NVDR		10,564
	2,900	Ratch Group PCL NVDR		6,780
	1,404	Siam Cement PCL NVDR		18,729
	10,700	Supalai plc NVDR		6,297

				153,231


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Turkey - 1.6%
	2,504	BIM Birlesik Magazalar A.S.	$	21,783
	27,264	Enka Insaat ve Sanayi A.S.		27,281
	2,060	KOC Holding A.S.		6,899
	17,221	Soda Sanayii A.S.		18,025
	501	Tupras Turkiye Petrol Rafinerileri A.S.		12,732

				86,720

		United Kingdom - 10.7%
	343	AstraZeneca plc		30,691
	1,958	BAE Systems plc		13,753
	4,296	BP plc		27,306
	1,111	Compass Group plc		28,655
	465	Croda International plc		27,849
	780	Diageo plc		32,037
	362	Ferguson plc*		26,516
	1,152	GlaxoSmithKline plc		24,766
	1,359	Halma plc		33,008
	2,031	HSBC Holdings plc		15,633
	2,598	Informa plc		27,277
	348	InterContinental Hotels Group plc		21,764
	292	Intertek Group plc		19,712
	156	Linde plc		30,220
	2,132	Pearson plc		19,389
	1,091	RELX plc		25,981
	6,238	Rentokil Initial plc		35,960
	3,799	Rightmove plc		25,776
	747	Sage Group plc		6,365
	1,415	Smith & Nephew plc		34,159
	174	Smiths Group plc		3,366
	493	Unilever N.V.		29,641
	399	Unilever plc		24,044
	6,145	Vodafone Group plc		12,267

				576,135

		United States - 0.1%
	88	Carnival plc		3,654


		Total Common Stocks (cost $5,018,677)	$	5,343,380


PREFERRED STOCKS - 0.1%
		Germany - 0.1%
	67	Fuchs Petrolub SE, 2.01%		2,517


		Total Preferred Stocks (cost $3,006)	$	2,517


		Total Long-Term Investments (cost $5,021,683)	$	5,345,897



Total Investments (cost $5,021,683)	99.6	%	$	5,345,897
Other Assets and Liabilities	0.4	%		22,468

Total Net Assets	100.0	%	$	5,368,365

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

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


		37

Hartford Multifactor Low Volatility International Equity ETF

Schedule of Investments – (continued)

September 30, 2019

*	Non-income producing.

⁽¹⁾

Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2019, the aggregate value of this security was $16,647, representing 0.3% of net assets.

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

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description		Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Australia		$	361,531	$	361,531	$	—	$	—
Belgium			4,648		4,648		—		—
Brazil			23,149		23,149		—		—
Canada			555,392		555,392		—		—
China			123,184		123,184		—		—
Denmark			113,585		113,585		—		—
Finland			7,802		7,802		—		—
France			215,654		215,654		—		—
Germany	��		179,677		179,677		—		—
Hong Kong			293,117		293,117		—		—
India			128,548		128,548		—		—
Indonesia			157,853		157,853		—		—
Ireland			59,915		59,915		—		—
Israel			133,182		133,182		—		—
Italy			76,872		76,872		—		—
Japan			861,554		861,554		—		—
Malaysia			115,342		115,342		—		—
Mexico			12,860		12,860		—		—
Netherlands			62,203		62,203		—		—
Norway			90,188		90,188		—		—
Philippines			39,632		39,632		—		—
Portugal			2,894		2,894		—		—
Russia			7,270		7,270		—		—
Singapore			43,668		43,668		—		—
South Africa			25,963		25,963		—		—
South Korea			276,841		276,841		—		—
Spain			49,809		49,809		—		—
Sweden			68,104		68,104		—		—
Switzerland			152,325		152,325		—		—
Taiwan			280,878		280,878		—		—
Thailand			153,231		153,231		—		—
Turkey			86,720		86,720		—		—
United Kingdom			576,135		576,135		—		—
United States			3,654		3,654		—		—
Preferred Stocks			2,517		2,517		—		—

Total		$	5,345,897	$	5,345,897	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

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


		38

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8%
		Automobiles & Components - 0.5%
	1,030	General Motors Co.	$	38,604

		Banks - 1.0%
	374	Capitol Federal Financial, Inc.		5,154
	34	Commerce Bancshares, Inc.		2,062
	128	JP Morgan Chase & Co.		15,064
	834	TFS Financial Corp.		15,029
	656	US Bancorp		36,303

				73,612

		Capital Goods - 9.6%
	218	3M Co.		35,839
	11	Alamo Group, Inc.		1,295
	22	Allegion plc		2,280
	293	Cummins, Inc.		47,662
	123	Eaton Corp. plc		10,227
	189	EMCOR Group, Inc.		16,277
	39	ESCO Technologies, Inc.		3,103
	150	General Dynamics Corp.		27,410
	486	HD Supply Holdings, Inc.*		19,039
	601	Honeywell International, Inc.		101,689
	32	Huntington Ingalls Industries, Inc.		6,777
	54	IDEX Corp.		8,850
	130	Ingersoll-Rand plc		16,017
	51	Johnson Controls International plc		2,238
	582	Kaman Corp.		34,606
	38	Lennox International, Inc.		9,233
	217	Lincoln Electric Holdings, Inc.		18,827
	172	Lockheed Martin Corp.		67,090
	301	MSC Industrial Direct Co., Inc. Class A		21,832
	126	Northrop Grumman Corp.		47,224
	847	PACCAR, Inc.		59,299
	129	Quanta Services, Inc.		4,876
	342	Raytheon Co.		67,097
	12	Roper Technologies, Inc.		4,279
	496	Toro Co.		36,357
	471	United Technologies Corp.		64,301
	45	Watsco, Inc.		7,613

				741,337

		Commercial & Professional Services - 3.9%
	466	Brady Corp. Class A		24,721
	1,612	CBIZ, Inc.*		37,882
	58	Cintas Corp.		15,550
	466	Exponent, Inc.		32,574
	274	ICF International, Inc.		23,145
	141	IHS Markit Ltd.*		9,430
	624	Republic Services, Inc.		54,007
	53	UniFirst Corp.		10,341
	140	Verisk Analytics, Inc.		22,140
	628	Waste Management, Inc.		72,220

				302,010

		Consumer Durables & Apparel - 0.4%
	368	VF Corp.		32,748

		Consumer Services - 9.7%
	274	Bright Horizons Family Solutions, Inc.*		41,785
	519	Carnival Corp.		22,686
	537	Cheesecake Factory, Inc.		22,382
	318	Choice Hotels International, Inc.		28,289
	222	Cracker Barrel Old Country Store, Inc.		36,108
	471	Darden Restaurants, Inc.		55,682
	450	Dunkin’ Brands Group, Inc.		35,712
	949	Extended Stay America, Inc.		13,894
	51	Graham Holdings Co. Class B		33,836
	1,397	H&R Block, Inc.		32,997
	229	Hilton Worldwide Holdings, Inc.		21,322


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Consumer Services - 9.7% - (continued)
	509	Hyatt Hotels Corp. Class A	$	37,498
	804	International Speedway Corp. Class A		36,188
	88	Jack in the Box, Inc.		8,019
	520	McDonald’s Corp.		111,649
	711	Service Corp. International		33,993
	772	Starbucks Corp.		68,260
	1,697	Wendy’s Co.		33,906
	642	Yum! Brands, Inc.		72,822

				747,028

		Diversified Financials - 3.7%
	2,968	AGNC Investment Corp. REIT		47,755
	65	American Express Co.		7,688
	3,736	Annaly Capital Management, Inc. REIT		32,877
	1,481	Apollo Commercial Real Estate Finance, Inc. REIT		28,391
	171	ARMOUR Residential, Inc. REIT		2,864
	308	Berkshire Hathaway, Inc. Class B*		64,070
	878	Blackstone Mortgage Trust, Inc. Class A REIT		31,476
	483	Chimera Investment Corp. REIT		9,448
	88	Invesco Mortgage Capital, Inc. REIT		1,347
	2,449	MFA Financial, Inc. REIT		18,025
	23	Nasdaq, Inc.		2,285
	857	Redwood Trust, Inc. REIT		14,064
	442	Starwood Property Trust, Inc. REIT		10,705
	1,133	Two Harbors Investment Corp. REIT		14,876

				285,871

		Energy - 5.3%
	973	Chevron Corp.		115,398
	171	ConocoPhillips		9,744
	1,646	Exxon Mobil Corp.		116,224
	2,546	Kinder Morgan, Inc.		52,473
	647	Occidental Petroleum Corp.		28,772
	313	ONEOK, Inc.		23,065
	586	Phillips 66		60,006

				405,682

		Food & Staples Retailing - 1.8%
	102	Costco Wholesale Corp.		29,387
	433	Sysco Corp.		34,380
	313	US Foods Holding Corp.*		12,865
	547	Walmart, Inc.		64,918

				141,550

		Food, Beverage & Tobacco - 4.7%
	1,247	Archer-Daniels-Midland Co.		51,214
	27	Brown-Forman Corp. Class B		1,695
	1,350	Coca-Cola Co.		73,494
	736	Flowers Foods, Inc.		17,024
	318	Hershey Co.		49,287
	398	Hormel Foods Corp.		17,404
	610	Kellogg Co.		39,253
	18	Lancaster Colony Corp.		2,496
	30	McCormick & Co., Inc.		4,689
	422	Mondelez International, Inc. Class A		23,345
	518	PepsiCo., Inc.		71,018
	326	Tootsie Roll Industries, Inc.		12,108

				363,027

		Health Care Equipment & Services - 4.6%
	275	Abbott Laboratories		23,009
	598	Baxter International, Inc.		52,307
	23	Chemed Corp.		9,604
	315	Danaher Corp.		45,496
	28	Laboratory Corp. of America Holdings*		4,704
	1,018	Medtronic plc		110,575
	144	National HealthCare Corp.		11,786

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


		39

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Health Care Equipment & Services - 4.6% - (continued)
	389	Quest Diagnostics, Inc.	$	41,635
	225	STERIS plc		32,510
	62	Stryker Corp.		13,411
	42	UnitedHealth Group, Inc.		9,127

				354,164

		Household & Personal Products - 2.5%
	309	Church & Dwight Co., Inc.		23,249
	207	Clorox Co.		31,437
	360	Colgate-Palmolive Co.		26,464
	97	Herbalife Nutrition Ltd.*		3,673
	104	Kimberly-Clark Corp.		14,773
	622	Procter & Gamble Co.		77,364
	74	WD-40 Co.		13,582

				190,542

		Insurance - 3.0%
	543	Aflac, Inc.		28,410
	26	Alleghany Corp.*		20,742
	129	American Financial Group, Inc.		13,913
	142	American National Insurance Co.		17,570
	23	Argo Group International Holdings Ltd.		1,616
	188	Arthur J Gallagher & Co.		16,839
	581	Axis Capital Holdings Ltd.		38,764
	205	Brown & Brown, Inc.		7,392
	83	Chubb Ltd.		13,399
	48	Everest Re Group Ltd.		12,772
	141	Globe Life, Inc.		13,502
	367	Loews Corp.		18,893
	8	White Mountains Insurance Group Ltd.		8,640
	259	WR Berkley Corp.		18,708

				231,160

		Materials - 9.0%
	335	Air Products & Chemicals, Inc.		74,323
	313	AptarGroup, Inc.		37,075
	292	Ashland Global Holdings, Inc.		22,499
	372	Ball Corp.		27,085
	115	Eastman Chemical Co.		8,490
	367	Ecolab, Inc.		72,681
	168	International Flavors & Fragrances, Inc.		20,612
	402	Linde plc		77,875
	265	LyondellBasell Industries N.V. Class A		23,710
	77	NewMarket Corp.		36,351
	673	Nucor Corp.		34,262
	396	PPG Industries, Inc.		46,930
	143	Reliance Steel & Aluminum Co.		14,251
	668	RPM International, Inc.		45,965
	397	Sensient Technologies Corp.		27,254
	54	Sherwin-Williams Co.		29,693
	1,237	Silgan Holdings, Inc.		37,153
	645	Sonoco Products Co.		37,546
	247	WR Grace & Co.		16,490

				690,245

		Media & Entertainment - 4.0%
	7	Alphabet, Inc. Class A*		8,548
	94	AMC Networks, Inc. Class A*		4,621
	28	Cable One, Inc.		35,132
	609	CBS Corp. Class B		24,585
	485	Cinemark Holdings, Inc.		18,740
	1,434	Comcast Corp. Class A		64,645
	1,121	Interpublic Group of Cos., Inc.		24,169
	57	Liberty Media Corp-Liberty SiriusXM*		2,392
	684	Omnicom Group, Inc.		53,557
	571	Walt Disney Co.		74,413

				310,802


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Pharmaceuticals, Biotechnology & Life Sciences - 4.2%
	43	Amgen, Inc.	$	8,321
	249	Eli Lilly & Co.		27,846
	868	Johnson & Johnson		112,302
	1,018	Merck & Co., Inc.		85,695
	1,837	Pfizer, Inc.		66,003
	220	Zoetis, Inc.		27,410

				327,577

		Real Estate - 6.0%
	431	American Campus Communities, Inc. REIT		20,723
	132	American Tower Corp. REIT		29,189
	296	Apartment Investment & Management Co. Class A, REIT		15,433
	836	Apple Hospitality, Inc. REIT		13,861
	58	AvalonBay Communities, Inc. REIT		12,489
	77	Camden Property Trust REIT		8,548
	230	Crown Castle International Corp. REIT		31,972
	220	Douglas Emmett, Inc. REIT		9,423
	12	EastGroup Properties, Inc. REIT		1,500
	141	EPR Properties REIT		10,837
	1,052	Equity Commonwealth REIT		36,031
	235	Equity LifeStyle Properties, Inc. REIT		31,396
	29	Essex Property Trust, Inc. REIT		9,473
	415	Gaming and Leisure Properties, Inc. REIT		15,870
	84	Life Storage, Inc. REIT		8,854
	373	LTC Properties, Inc. REIT		19,105
	113	Mid-America Apartment Communities, Inc. REIT		14,691
	316	National Health Investors, Inc. REIT		26,035
	137	PS Business Parks, Inc. REIT		24,927
	71	Public Storage REIT		17,414
	531	Rayonier, Inc. REIT		14,974
	1,203	Retail Opportunity Investments Corp. REIT		21,931
	224	Sun Communities, Inc. REIT		33,253
	265	UDR, Inc. REIT		12,847
	207	WP Carey, Inc. REIT		18,527

				459,303

		Retailing - 5.3%
	42	AutoZone, Inc.*		45,554
	38	Dollar General Corp.		6,040
	831	eBay, Inc.		32,392
	174	Expedia Group, Inc.		23,387
	613	Genuine Parts Co.		61,049
	418	Home Depot, Inc.		96,984
	162	Murphy USA, Inc.*		13,819
	4	O’Reilly Automotive, Inc.*		1,594
	162	Pool Corp.		32,676
	124	Ross Stores, Inc.		13,621
	80	Target Corp.		8,553
	1,264	TJX Cos., Inc.		70,455

				406,124

		Semiconductors & Semiconductor Equipment - 0.3%
	391	Intel Corp.		20,148

		Software & Services - 9.8%
	572	Accenture plc Class A		110,024
	872	Amdocs Ltd.		57,648
	263	Automatic Data Processing, Inc.		42,453
	73	Broadridge Financial Solutions, Inc.		9,083
	465	Citrix Systems, Inc.		44,882
	14	Cognizant Technology Solutions Corp. Class A		844
	56	ExlService Holdings, Inc.*		3,750
	348	Fidelity National Information Services, Inc.		46,201
	125	Fiserv, Inc.*		12,949
	537	Genpact Ltd.		20,809
	608	International Business Machines Corp.		88,415
	295	Jack Henry & Associates, Inc.		43,061

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


		40

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Software & Services - 9.8% - (continued)
	57	Mastercard, Inc. Class A	$	15,480
	478	MAXIMUS, Inc.		36,930
	303	Microsoft Corp.		42,126
	499	Oracle Corp.		27,460
	695	Paychex, Inc.		57,525
	231	Visa, Inc. Class A		39,734
	2,567	Western Union Co.		59,477

				758,851

		Technology Hardware & Equipment - 1.2%
	472	Amphenol Corp. Class A		45,548
	381	Cisco Systems, Inc.		18,825
	67	Dolby Laboratories, Inc. Class A		4,331
	296	Juniper Networks, Inc.		7,326
	194	TE Connectivity Ltd.		18,077

				94,107

		Telecommunication Services - 4.3%
	3,212	AT&T, Inc.		121,542
	631	Cogent Communications Holdings, Inc.		34,768
	779	T-Mobile US, Inc.*		61,362
	1,853	Verizon Communications, Inc.		111,847

				329,519

		Transportation - 2.0%
	93	AMERCO		36,274
	257	CH Robinson Worldwide, Inc.		21,788
	81	Expeditors International of Washington, Inc.		6,018
	80	J.B. Hunt Transport Services, Inc.		8,852
	218	Landstar System, Inc.		24,542
	217	Union Pacific Corp.		35,150
	226	United Airlines Holdings, Inc.*		19,981
	16	United Parcel Service, Inc. Class B		1,917

				154,522

		Utilities - 3.0%
	294	Alliant Energy Corp.		15,855
	65	American Electric Power Co., Inc.		6,090
	26	Atmos Energy Corp.		2,961
	163	CenterPoint Energy, Inc.		4,919
	240	CMS Energy Corp.		15,348
	217	Consolidated Edison, Inc.		20,500
	127	DTE Energy Co.		16,886
	195	Duke Energy Corp.		18,693
	96	Entergy Corp.		11,267
	486	Hawaiian Electric Industries, Inc.		22,166
	54	IDACORP, Inc.		6,084
	456	MDU Resources Group, Inc.		12,855
	114	Portland General Electric Co.		6,426
	125	Public Service Enterprise Group, Inc.		7,760
	414	Southern Co.		25,573
	180	Spire, Inc.		15,703
	74	WEC Energy Group, Inc.		7,037
	276	Xcel Energy, Inc.		17,910

				234,033


		Total Common Stocks (cost $6,668,913)	$	7,692,566



Total Investments (cost $6,668,913)	99.8	%	$	7,692,566
Other Assets and Liabilities	0.2	%		15,253

Total Net Assets	100.0	%	$	7,707,819

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

*	Non-income producing.

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

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


		41

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

September 30, 2019

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	38,604	$	38,604	$	—	$	—
Banks		73,612		73,612		—		—
Capital Goods		741,337		741,337		—		—
Commercial & Professional Services		302,010		302,010		—		—
Consumer Durables & Apparel		32,748		32,748		—		—
Consumer Services		747,028		747,028		—		—
Diversified Financials		285,871		285,871		—		—
Energy		405,682		405,682		—		—
Food & Staples Retailing		141,550		141,550		—		—
Food, Beverage & Tobacco		363,027		363,027		—		—
Health Care Equipment & Services		354,164		354,164		—		—
Household & Personal Products		190,542		190,542		—		—
Insurance		231,160		231,160		—		—
Materials		690,245		690,245		—		—
Media & Entertainment		310,802		310,802		—		—
Pharmaceuticals, Biotechnology & Life Sciences		327,577		327,577		—		—
Real Estate		459,303		459,303		—		—
Retailing		406,124		406,124		—		—
Semiconductors & Semiconductor Equipment		20,148		20,148		—		—
Software & Services		758,851		758,851		—		—
Technology Hardware & Equipment		94,107		94,107		—		—
Telecommunication Services		329,519		329,519		—		—
Transportation		154,522		154,522		—		—
Utilities		234,033		234,033		—		—

Total	$	7,692,566	$	7,692,566	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

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


		42

Hartford Multifactor REIT ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4%
		Diversified REITs - 9.7%
	7,448	American Assets Trust, Inc. REIT	$	348,120
	20,209	Armada Hoffler Properties, Inc. REIT		365,581
	24,772	Empire State Realty Trust, Inc. Class A, REIT		353,496
	13,987	Gladstone Commercial Corp. REIT		328,694
	33,465	Lexington Realty Trust REIT		343,016
	50	PS Business Parks, Inc. REIT		9,098

				1,748,005

		Health Care REITs - 9.7%
	13,835	CareTrust, Inc. REIT		325,192
	7,076	LTC Properties, Inc. REIT		362,433
	18,542	Medical Properties Trust, Inc. REIT		362,682
	4,162	National Health Investors, Inc. REIT		342,907
	8,517	Omega Healthcare Investors, Inc. REIT		355,925

				1,749,139

		Hotel & Resort REITs - 8.5%
	21,476	Host Hotels & Resorts, Inc. REIT		371,320
	2,633	MGM Growth Properties LLC Class A, REIT		79,122
	4,317	Ryman Hospitality Properties, Inc. REIT		353,174
	31,031	Summit Hotel Properties, Inc. REIT		359,959
	17,160	Xenia Hotels & Resorts, Inc. REIT		362,419

				1,525,994

		Industrial REITs - 7.0%
	5,817	Americold Realty Trust REIT		215,636
	2,799	EastGroup Properties, Inc. REIT		349,931
	8,713	First Industrial Realty Trust, Inc. REIT		344,687
	16,324	Industrial Logistics Properties Trust REIT		346,885

				1,257,139

		Office REITs - 7.6%
	21,168	City Office, Inc. REIT		304,607
	11,664	Corporate Office Properties Trust REIT		347,354
	7,904	Highwoods Properties, Inc. REIT		355,206
	17,590	Piedmont Office Realty Trust, Inc. Class A, REIT		367,279

				1,374,446

		Residential REITs - 12.6%
	3,607	Apartment Investment & Management Co. Class A, REIT		188,069
	3,116	Camden Property Trust REIT		345,907
	2,554	Equity LifeStyle Properties, Inc. REIT		341,215
	1,089	Essex Property Trust, Inc. REIT		355,722
	2,715	Mid-America Apartment Communities, Inc. REIT		352,977
	2,309	Sun Communities, Inc. REIT		342,771
	7,140	UDR, Inc. REIT		346,147

				2,272,808

		Retail REITs - 25.2%
	4,695	Agree Realty Corp. REIT		343,439
	18,812	Brixmor Property Group, Inc. REIT		381,696
	416,173	CBL & Associates Properties, Inc. REIT		536,863
	2,590	Federal Realty Investment Trust REIT		352,603
	11,068	Getty Realty Corp. REIT		354,840
	27,795	RPT Realty REIT		376,622
	6,504	Saul Centers, Inc. REIT		354,533
	2,270	Simon Property Group, Inc. REIT		353,326
	34,864	Spirit MTA REIT		294,252
	24,098	Tanger Factory Outlet Centers, Inc. REIT		373,037
	120	Taubman Centers, Inc. REIT		4,900
	107,960	Washington Prime Group, Inc. REIT		446,954
	12,696	Weingarten Realty Investors REIT		369,834

				4,542,899


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Specialized REITs - 19.1%
	2,909	Coresite Realty Corp. REIT	$	354,462
	9,784	CubeSmart REIT		341,462
	2,798	Digital Realty Trust, Inc. REIT		363,208
	4,316	EPR Properties REIT		331,728
	243	Equinix, Inc. REIT		140,162
	1,730	Extra Space Storage, Inc. REIT		202,099
	8,619	Gaming and Leisure Properties, Inc. REIT		329,590
	10,572	Iron Mountain, Inc. REIT		342,427
	1,340	Public Storage REIT		328,662
	6,877	QTS Realty Trust, Inc. Class A, REIT		353,546
	15,380	VICI Properties, Inc. REIT		348,357

				3,435,703


		Total Common Stocks (cost $17,037,056)	$	17,906,133


SHORT-TERM INVESTMENTS - 0.1%
		U.S. Treasury Bill - 0.1%
$	10,000	1.92%, 12/12/2019⁽¹⁾⁽²⁾		9,964


		Total Short-Term Investments (cost $9,962)	$	9,964



Total Investments (cost $17,047,018)	99.5	%	$	17,916,097
Other Assets and Liabilities	0.5	%		84,002

Total Net Assets	100.0	%	$	18,000,099

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

⁽¹⁾	The rate shown represents current yield to maturity.

⁽²⁾	This security has been pledged as collateral in connection with futures contracts.

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


		43

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

September 30, 2019


Futures Contracts Outstanding at September 30, 2019
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		2		12/20/2019	$	95,250	$	809

Total futures contracts							$	809

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

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Diversified REITs	$	1,748,005	$	1,748,005	$	—	$	—
Health Care REITs		1,749,139		1,749,139		—		—
Hotel & Resort REITs		1,525,994		1,525,994		—		—
Industrial REITs		1,257,139		1,257,139		—		—
Office REITs		1,374,446		1,374,446		—		—
Residential REITs		2,272,808		2,272,808		—		—
Retail REITs		4,542,899		4,542,899		—		—
Specialized REITs		3,435,703		3,435,703		—		—
Short-Term Investments		9,964		—		9,964		—
Futures Contracts⁽²⁾		809		809		—		—

Total	$	17,916,906	$	17,906,942	$	9,964	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

⁽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.


		44

Hartford Multifactor US Equity ETF

Schedule of Investments

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8%
		Automobiles & Components - 0.2%
	8,994	General Motors Co.	$	337,095
	8,456	Gentex Corp.		232,836

				569,931

		Banks - 1.9%
	22,577	Bank of America Corp.		658,571
	1,523	Bank of Hawaii Corp.		130,871
	12,447	Citigroup, Inc.		859,839
	19,379	JP Morgan Chase & Co.		2,280,715
	1,021	PNC Financial Services Group, Inc.		143,103
	7,416	Popular, Inc.		401,057
	29,704	Wells Fargo & Co.		1,498,270

				5,972,426

		Capital Goods - 5.1%
	14,052	AGCO Corp.		1,063,736
	4,396	Allegion plc		455,645
	544	Crane Co.		43,863
	12,430	Cummins, Inc.		2,021,988
	5,504	Eaton Corp. plc		457,657
	8,531	EMCOR Group, Inc.		734,690
	6,799	Emerson Electric Co.		454,581
	2,040	Generac Holdings, Inc.*		159,814
	14,748	Graco, Inc.		678,998
	11,580	Honeywell International, Inc.		1,959,336
	2,523	Huntington Ingalls Industries, Inc.		534,346
	3,028	Illinois Tool Works, Inc.		473,852
	7,046	Ingersoll-Rand plc		868,138
	4,599	Lennox International, Inc.		1,117,419
	1,454	Lincoln Electric Holdings, Inc.		126,149
	495	Lockheed Martin Corp.		193,080
	6,821	Masco Corp.		284,299
	853	Northrop Grumman Corp.		319,696
	17,780	PACCAR, Inc.		1,244,778
	1,495	Raytheon Co.		293,304
	3,508	Snap-on, Inc.		549,142
	5,896	Toro Co.		432,177
	2,291	Wabco Holdings, Inc.*		306,421
	4,734	Watsco, Inc.		800,898

				15,574,007

		Commercial & Professional Services - 1.3%
	489	Cintas Corp.		131,101
	20,424	KAR Auction Services, Inc.		501,409
	4,947	ManpowerGroup, Inc.		416,736
	15,415	Republic Services, Inc.		1,334,168
	487	Verisk Analytics, Inc.		77,014
	13,561	Waste Management, Inc.		1,559,515

				4,019,943

		Consumer Durables & Apparel - 1.5%
	1,419	Carter’s, Inc.		129,427
	1,179	D.R. Horton, Inc.		62,145
	8,478	Deckers Outdoor Corp.*		1,249,318
	5,895	Garmin Ltd.		499,248
	277	NVR, Inc.*		1,029,706
	25,255	PulteGroup, Inc.		923,070
	4,244	Ralph Lauren Corp.		405,175
	10,669	Toll Brothers, Inc.		437,962

				4,736,051

		Consumer Services - 2.3%
	3,751	Cracker Barrel Old Country Store, Inc.		610,100
	5,231	Darden Restaurants, Inc.		618,409
	84,543	H&R Block, Inc.		1,996,905
	11,204	McDonald’s Corp.		2,405,611
	1,666	Starbucks Corp.		147,308


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Consumer Services - 2.3% - (continued)
	14,963	Wendy’s Co.	$	298,961
	10,289	Yum! Brands, Inc.		1,167,081

				7,244,375

		Diversified Financials - 3.1%
	36,307	AGNC Investment Corp. REIT		584,180
	5,521	American Express Co.		653,024
	9,817	Berkshire Hathaway, Inc. Class B*		2,042,132
	38,728	Blackstone Mortgage Trust, Inc. Class A REIT		1,388,399
	1,064	Capital One Financial Corp.		96,803
	41,203	Chimera Investment Corp. REIT		805,931
	20,454	Federated Investors, Inc. Class B		662,914
	21,727	Franklin Resources, Inc.		627,041
	3,473	Intercontinental Exchange, Inc.		320,454
	89,298	MFA Financial, Inc. REIT		657,233
	20,484	Santander Consumer USA Holdings, Inc.		522,547
	38,163	Starwood Property Trust, Inc. REIT		924,308
	4,172	Synchrony Financial		142,223

				9,427,189

		Energy - 2.4%
	40,722	Cabot Oil & Gas Corp.		715,485
	23,247	Chevron Corp.		2,757,094
	19,907	ConocoPhillips		1,134,301
	32,016	Exxon Mobil Corp.		2,260,650
	2,198	Occidental Petroleum Corp.		97,745
	4,139	Phillips 66		423,834

				7,389,109

		Food & Staples Retailing - 3.0%
	4,539	Casey’s General Stores, Inc.		731,505
	5,604	Costco Wholesale Corp.		1,614,569
	8,545	Kroger Co.		220,290
	6,376	Performance Food Group Co.*		293,360
	21,821	Sysco Corp.		1,732,587
	32,891	US Foods Holding Corp.*		1,351,820
	13,568	Walgreens Boots Alliance, Inc.		750,446
	22,249	Walmart, Inc.		2,640,511

				9,335,088

		Food, Beverage & Tobacco - 3.6%
	1,231	Altria Group, Inc.		50,348
	14,352	Archer-Daniels-Midland Co.		589,437
	32,865	Coca-Cola Co.		1,789,171
	45,612	Flowers Foods, Inc.		1,055,005
	11,306	Hershey Co.		1,752,317
	6,659	Hormel Foods Corp.		291,198
	4,843	Ingredion, Inc.		395,867
	1,382	JM Smucker Co.		152,048
	1,277	McCormick & Co., Inc.		199,595
	22,552	PepsiCo., Inc.		3,091,879
	11,264	Philip Morris International, Inc.		855,275
	9,080	Tyson Foods, Inc. Class A		782,151

				11,004,291

		Health Care Equipment & Services - 8.7%
	27,400	Abbott Laboratories		2,292,558
	338	Anthem, Inc.		81,154
	7,658	Baxter International, Inc.		669,845
	27,826	Boston Scientific Corp.*		1,132,240
	21,280	Centene Corp.*		920,573
	21,334	Cerner Corp.		1,454,339
	2,269	Chemed Corp.		947,466
	1,153	Cooper Cos., Inc.		342,441
	7,124	Danaher Corp.		1,028,919
	7,132	Globus Medical, Inc. Class A*		364,588
	1,132	HCA Healthcare, Inc.		136,316

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


		45

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Health Care Equipment & Services - 8.7% - (continued)
	37,059	Henry Schein, Inc.*	$	2,353,247
	1,081	Hill-Rom Holdings, Inc.		113,754
	3,270	Hologic, Inc.*		165,102
	735	ICU Medical, Inc.*		117,306
	142	IDEXX Laboratories, Inc.*		38,614
	13,829	Laboratory Corp. of America Holdings*		2,323,272
	19,829	Medtronic plc		2,153,826
	4,168	Molina Healthcare, Inc.*		457,313
	17,045	Quest Diagnostics, Inc.		1,824,326
	7,248	ResMed, Inc.		979,277
	8,739	STERIS plc		1,262,698
	4,787	Stryker Corp.		1,035,428
	11,248	UnitedHealth Group, Inc.		2,444,415
	8,244	Varian Medical Systems, Inc.*		981,778
	4,127	WellCare Health Plans, Inc.*		1,069,595

				26,690,390

		Household & Personal Products - 2.0%
	6,197	Church & Dwight Co., Inc.		466,262
	1,427	Clorox Co.		216,718
	7,862	Colgate-Palmolive Co.		577,936
	5,856	Estee Lauder Cos., Inc. Class A		1,165,051
	9,802	Kimberly-Clark Corp.		1,392,374
	17,886	Procter & Gamble Co.		2,224,661

				6,043,002

		Insurance - 10.6%
	43,443	Aflac, Inc.		2,272,938
	536	Alleghany Corp.*		427,599
	12,847	Allstate Corp.		1,396,212
	17,711	American Financial Group, Inc.		1,910,131
	4,118	American International Group, Inc.		229,373
	14,939	Arch Capital Group Ltd.*		627,139
	12,054	Arthur J Gallagher & Co.		1,079,677
	14,892	Axis Capital Holdings Ltd.		993,594
	6,013	Chubb Ltd.		970,739
	10,847	Cincinnati Financial Corp.		1,265,520
	43,692	CNA Financial Corp.		2,151,831
	4,305	Everest Re Group Ltd.		1,145,517
	5,518	Fidelity National Financial, Inc.		245,054
	5,686	First American Financial Corp.		335,531
	1,063	Globe Life, Inc.		101,793
	6,839	Hanover Insurance Group, Inc.		926,958
	17,074	Loews Corp.		878,970
	216	Markel Corp.*		255,290
	338	Marsh & McLennan Cos., Inc.		33,817
	45,562	MetLife, Inc.		2,148,704
	93,344	Old Republic International Corp.		2,200,118
	19,474	Principal Financial Group, Inc.		1,112,744
	13,217	Progressive Corp.		1,021,013
	12,891	Prudential Financial, Inc.		1,159,545
	9,914	Reinsurance Group of America, Inc.		1,585,050
	6,604	RenaissanceRe Holdings Ltd.		1,277,544
	7,116	Selective Insurance Group, Inc.		535,052
	11,288	Travelers Cos., Inc.		1,678,413
	748	White Mountains Insurance Group Ltd.		807,840
	1,707	Willis Towers Watson plc		329,400
	19,829	WR Berkley Corp.		1,432,249

				32,535,355

		Materials - 3.1%
	4,009	Air Products & Chemicals, Inc.		889,437
	6,452	AptarGroup, Inc.		764,239
	1,234	Celanese Corp.		150,906
	3,442	Ecolab, Inc.		681,654
	5,868	International Paper Co.		245,400


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Materials - 3.1% - (continued)
	3,461	Linde plc	$	670,465
	7,144	LyondellBasell Industries N.V. Class A		639,174
	2,128	NewMarket Corp.		1,004,607
	6,812	Packaging Corp. of America		722,753
	6,911	PPG Industries, Inc.		819,023
	11,809	Reliance Steel & Aluminum Co.		1,176,885
	30,054	Sonoco Products Co.		1,749,443

				9,513,986

		Media & Entertainment - 4.0%
	1,295	Alphabet, Inc. Class A*		1,581,376
	749	Cable One, Inc.		939,770
	13,606	CBS Corp. Class B		549,274
	2,245	Cinemark Holdings, Inc.		86,747
	36,074	Comcast Corp. Class A		1,626,216
	3,892	DISH Network Corp. Class A*		132,600
	7,075	Facebook, Inc. Class A*		1,259,916
	46,184	Interpublic Group of Cos., Inc.		995,727
	6,075	Live Nation Entertainment, Inc.*		403,016
	17,638	Match Group, Inc.		1,260,059
	23,990	Omnicom Group, Inc.		1,878,417
	13,214	Walt Disney Co.		1,722,049

				12,435,167

		Pharmaceuticals, Biotechnology & Life Sciences - 6.4%
	8,420	AbbVie, Inc.		637,562
	1,098	Agilent Technologies, Inc.		84,140
	6,266	Amgen, Inc.		1,212,534
	1,776	Bio-Rad Laboratories, Inc. Class A*		590,946
	18,708	Bristol-Myers Squibb Co.		948,683
	1,709	Charles River Laboratories International, Inc.*		226,220
	10,383	Eli Lilly & Co.		1,161,131
	16,627	Gilead Sciences, Inc.		1,053,819
	235	IQVIA Holdings, Inc.*		35,104
	6,462	Jazz Pharmaceuticals plc*		828,041
	26,206	Johnson & Johnson		3,390,532
	41,470	Merck & Co., Inc.		3,490,945
	928	Mettler-Toledo International, Inc.*		653,683
	101,854	Pfizer, Inc.		3,659,614
	1,572	Waters Corp.*		350,918
	10,446	Zoetis, Inc.		1,301,467

				19,625,339

		Real Estate - 5.6%
	1,467	Alexandria Real Estate Equities, Inc. REIT		225,977
	538	American Tower Corp. REIT		118,968
	21,458	Apartment Investment & Management Co. Class A, REIT		1,118,820
	44,651	Apple Hospitality, Inc. REIT		740,314
	413	AvalonBay Communities, Inc. REIT		88,931
	6,942	Brixmor Property Group, Inc. REIT		140,853
	1,564	Camden Property Trust REIT		173,620
	3,710	CBRE Group, Inc. Class A*		196,667
	2,982	Crown Castle International Corp. REIT		414,528
	2,885	CubeSmart REIT		100,687
	2,629	Douglas Emmett, Inc. REIT		112,600
	8,885	EPR Properties REIT		682,901
	67,264	Equity Commonwealth REIT		2,303,792
	3,484	Equity LifeStyle Properties, Inc. REIT		465,462
	932	Essex Property Trust, Inc. REIT		304,438
	1,056	Extra Space Storage, Inc. REIT		123,362
	19,729	Gaming and Leisure Properties, Inc. REIT		754,437
	22,930	HCP, Inc. REIT		816,996
	22,861	Host Hotels & Resorts, Inc. REIT		395,267
	5,510	Iron Mountain, Inc. REIT		178,469
	14,505	Kimco Realty Corp. REIT		302,864

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


		46

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Real Estate - 5.6% - (continued)
	8,750	Lamar Advertising Co., Class A, REIT	$	716,888
	2,380	Liberty Property Trust REIT		122,165
	62,229	Medical Properties Trust, Inc. REIT		1,217,199
	2,292	Mid-America Apartment Communities, Inc. REIT		297,983
	6,474	National Health Investors, Inc. REIT		533,393
	4,836	National Retail Properties, Inc. REIT		272,750
	3,243	PS Business Parks, Inc. REIT		590,064
	3,271	Public Storage REIT		802,278
	881	Realty Income Corp.		67,555
	15,454	Service Properties Trust REIT		398,559
	2,313	STORE Capital Corp. REIT		86,529
	3,504	Sun Communities, Inc. REIT		520,169
	1,354	Ventas, Inc. REIT		98,883
	54,994	VEREIT, Inc. REIT		537,841
	12,872	Weingarten Realty Investors REIT		374,961
	1,168	Welltower, Inc. REIT		105,879
	7,890	WP Carey, Inc. REIT		706,155

				17,209,204

		Retailing - 4.3%
	8,737	Aaron’s, Inc.		561,440
	963	AutoZone, Inc.*		1,044,489
	7,820	Best Buy Co., Inc.		539,502
	79	Booking Holdings, Inc.*		155,046
	1,687	Burlington Stores, Inc.*		337,096
	4,385	Dollar General Corp.		696,952
	8,158	eBay, Inc.		317,999
	13,034	Gap, Inc.		226,270
	11,865	Genuine Parts Co.		1,181,635
	8,823	Home Depot, Inc.		2,047,112
	31,894	Macy’s, Inc.		495,633
	18,983	Nordstrom, Inc.		639,158
	1,114	O’Reilly Automotive, Inc.*		443,940
	344	Pool Corp.		69,385
	2,908	Ross Stores, Inc.		319,444
	16,495	Target Corp.		1,763,480
	20,601	TJX Cos., Inc.		1,148,300
	18,861	Williams-Sonoma, Inc.		1,282,171

				13,269,052

		Semiconductors & Semiconductor Equipment - 2.6%
	6,729	Broadcom, Inc.		1,857,675
	62,770	Intel Corp.		3,234,538
	5,772	Mellanox Technologies Ltd.*		632,554
	17,512	Texas Instruments, Inc.		2,263,251

				7,988,018

		Software & Services - 11.3%
	13,144	Accenture plc Class A		2,528,248
	3,226	ACI Worldwide, Inc.*		101,054
	4,291	Adobe, Inc.*		1,185,389
	955	Akamai Technologies, Inc.*		87,268
	34,763	Amdocs Ltd.		2,298,182
	1,825	Black Knight, Inc.*		111,434
	10,693	Booz Allen Hamilton Holding Corp.		759,417
	8,307	Broadridge Financial Solutions, Inc.		1,033,640
	3,983	CACI International, Inc. Class A*		921,109
	1,487	Cadence Design Systems, Inc.*		98,261
	9,313	Citrix Systems, Inc.		898,891
	576	Cognizant Technology Solutions Corp. Class A		34,713
	2,684	Fidelity National Information Services, Inc.		356,328
	495	Fiserv, Inc.*		51,277
	12,055	Genpact Ltd.		467,131
	16,007	International Business Machines Corp.		2,327,738
	2,302	Intuit, Inc.		612,194
	15,490	j2 Global, Inc.		1,406,802


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Software & Services - 11.3% - (continued)
	919	Leidos Holdings, Inc.	$	78,924
	7,158	Mastercard, Inc. Class A		1,943,898
	22,880	MAXIMUS, Inc.		1,767,709
	17,905	Microsoft Corp.		2,489,332
	39,204	Oracle Corp.		2,157,396
	11,476	Paychex, Inc.		949,868
	8,895	PayPal Holdings, Inc.*		921,433
	2,693	Sabre Corp.		60,310
	3,499	salesforce.com, Inc.*		519,391
	2,565	Synopsys, Inc.*		352,046
	2,265	Verint Systems, Inc.*		96,897
	2,688	VeriSign, Inc.*		507,037
	10,221	Visa, Inc. Class A		1,758,114
	21,510	VMware, Inc. Class A		3,227,791
	119,763	Western Union Co.		2,774,909

				34,884,131

		Technology Hardware & Equipment - 6.0%
	8,072	Amphenol Corp. Class A		778,948
	7,187	Apple, Inc.		1,609,672
	14,172	Arrow Electronics, Inc.*		1,056,948
	4,850	Avnet, Inc.		215,752
	10,211	CDW Corp.		1,258,404
	57,757	Cisco Systems, Inc.		2,853,773
	24,784	Corning, Inc.		706,840
	12,715	Dolby Laboratories, Inc. Class A		821,898
	6,088	F5 Networks, Inc.*		854,877
	36,811	Hewlett Packard Enterprise Co.		558,423
	103,307	HP, Inc.		1,954,569
	3,342	Jabil, Inc.		119,543
	93,965	Juniper Networks, Inc.		2,325,634
	4,976	Motorola Solutions, Inc.		847,960
	6,089	Seagate Technology plc		327,527
	11,624	TE Connectivity Ltd.		1,083,124
	10,354	Tech Data Corp.*		1,079,301
	2,191	Viavi Solutions, Inc.*		30,685

				18,483,878

		Telecommunication Services - 3.4%
	84,208	AT&T, Inc.		3,186,431
	40,255	Sprint Corp.*		248,373
	29,670	T-Mobile US, Inc.*		2,337,106
	37,420	Telephone & Data Systems, Inc.		965,436
	60,029	Verizon Communications, Inc.		3,623,350

				10,360,696

		Transportation - 1.2%
	16,923	CH Robinson Worldwide, Inc.		1,434,732
	8,867	Delta Air Lines, Inc.		510,739
	2,099	Expeditors International of Washington, Inc.		155,935
	2,242	Landstar System, Inc.		252,404
	4,175	Union Pacific Corp.		676,266
	6,277	United Airlines Holdings, Inc.*		554,950

				3,585,026

		Utilities - 5.2%
	9,458	AES Corp.		154,544
	3,911	ALLETE, Inc.		341,860
	7,698	Alliant Energy Corp.		415,153
	8,698	Ameren Corp.		696,275
	6,859	American Electric Power Co., Inc.		642,620
	2,652	Atmos Energy Corp.		302,036
	2,411	Avangrid, Inc.		125,975
	4,565	Black Hills Corp.		350,272
	9,721	CenterPoint Energy, Inc.		293,380
	9,158	CMS Energy Corp.		585,654
	8,430	Consolidated Edison, Inc.		796,382

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


		47

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2019


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.8% - (continued)
		Utilities - 5.2% - (continued)
	5,609	DTE Energy Co.	$	745,773
	3,913	Duke Energy Corp.		375,100
	6,497	Entergy Corp.		762,488
	6,022	Evergy, Inc.		400,824
	2,124	Eversource Energy		181,538
	15,492	Exelon Corp.		748,418
	18,343	FirstEnergy Corp.		884,683
	20,618	Hawaiian Electric Industries, Inc.		940,387
	2,764	MDU Resources Group, Inc.		77,917
	1,122	NextEra Energy, Inc.		261,415
	7,280	NorthWestern Corp.		546,364
	10,455	OGE Energy Corp.		474,448
	8,525	Pinnacle West Capital Corp.		827,522
	16,384	Portland General Electric Co.		923,566
	9,130	PPL Corp.		287,504
	7,857	Public Service Enterprise Group, Inc.		487,763
	10,691	Southern Co.		660,383
	3,878	Southwest Gas Holdings, Inc.		353,053
	3,274	Spire, Inc.		285,624
	4,388	UGI Corp.		220,585
	3,841	WEC Energy Group, Inc.		365,279
	9,004	Xcel Energy, Inc.		584,270

				16,099,055


		Total Common Stocks (cost $290,906,240)	$	303,994,709


Shares or Principal Amount			Market Value^†
SHORT-TERM INVESTMENTS - 0.1%
		U.S. Treasury Bill - 0.1%
$	185,000	1.90%, 12/12/2019⁽¹⁾⁽²⁾	$	184,343


		Total Short-Term Investments (cost $184,299)	$	184,343



Total Investments (cost $291,090,539)	98.9	%	$	304,179,052
Other Assets and Liabilities	1.1	%		3,312,217

Total Net Assets	100.0	%	$	307,491,269

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. These classifications are used for financial reporting purposes.

See “Glossary” for abbreviation descriptions.

*	Non-income producing.

⁽¹⁾	The rate shown represents current yield to maturity.

⁽²⁾	This security has been pledged as collateral in connection with futures contracts.


Futures Contracts Outstanding at September 30, 2019
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P 500(E-Mini) Future		23		12/20/2019	$	3,425,275	$	(25,340	)

Total futures contracts							$	(25,340	)

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


		48

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

September 30, 2019

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	569,931		$	569,931		$	—	$	—
Banks		5,972,426			5,972,426			—		—
Capital Goods		15,574,007			15,574,007			—		—
Commercial & Professional Services		4,019,943			4,019,943			—		—
Consumer Durables & Apparel		4,736,051			4,736,051			—		—
Consumer Services		7,244,375			7,244,375			—		—
Diversified Financials		9,427,189			9,427,189			—		—
Energy		7,389,109			7,389,109			—		—
Food & Staples Retailing		9,335,088			9,335,088			—		—
Food, Beverage & Tobacco		11,004,291			11,004,291			—		—
Health Care Equipment & Services		26,690,390			26,690,390			—		—
Household & Personal Products		6,043,002			6,043,002			—		—
Insurance		32,535,355			32,535,355			—		—
Materials		9,513,986			9,513,986			—		—
Media & Entertainment		12,435,167			12,435,167			—		—
Pharmaceuticals, Biotechnology & Life Sciences		19,625,339			19,625,339			—		—
Real Estate		17,209,204			17,209,204			—		—
Retailing		13,269,052			13,269,052			—		—
Semiconductors & Semiconductor Equipment		7,988,018			7,988,018			—		—
Software & Services		34,884,131			34,884,131			—		—
Technology Hardware & Equipment		18,483,878			18,483,878			—		—
Telecommunication Services		10,360,696			10,360,696			—		—
Transportation		3,585,026			3,585,026			—		—
Utilities		16,099,055			16,099,055			—		—
Short-Term Investments		184,343			—			184,343		—

Total	$	304,179,052		$	303,994,709		$	184,343	$	—

Liabilities
Futures Contracts⁽²⁾	$	(25,340	)	$	(25,340	)	$	—	$	—

Total	$	(25,340	)	$	(25,340	)	$	—	$	—

⁽¹⁾	For the year ended September 30, 2019, there were no transfers in and out of Level 3.

⁽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.


		49

Hartford Multifactor ETFs

Glossary (abbreviations used in the preceding Schedules of Investments)


Index Abbreviations:
MSCI		Morgan Stanley Capital International
S&P		Standard & Poors

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


		50

Hartford Multifactor ETFs

Statements of Assets and Liabilities

September 30, 2019


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF			Hartford Multifactor Low Volatility International Equity ETF
Assets:
Investments in securities, at market value	$	2,321,703,032		$	68,573,511		$	16,978,249		$	5,345,897
Cash		992,733			119,810			101,565			413
Foreign currency		4,500,400			25,388			36,070			10,270
Receivables:
Investment securities sold		6,035,908			—			2,849,405			—
Dividends and interest		9,087,137			123,913			62,797			16,186
Securities lending income		3,169			6			11			—
Variation margin on futures contracts		25,760			1,715			399			—
Tax reclaims		1,306,304			5,316			3,251			2,353

Total assets		2,343,654,443			68,849,659			20,031,747			5,375,119

Liabilities:
Payables:
Investment securities purchased		5,590,230			—			38,270			5,475
Fund shares redeemed		1,823,094			—			2,854,123			—
Investment management fees		552,965			26,362			6,426			1,279

Total liabilities		7,966,289			26,362			2,898,819			6,754

Net assets	$	2,335,688,154		$	68,823,297		$	17,132,928		$	5,368,365

Summary of Net Assets:
Paid-in-capital	$	2,400,229,144		$	79,570,037		$	19,061,415		$	5,136,723
Distributable earnings		(64,540,990	)		(10,746,740	)		(1,928,487	)		231,642

Net assets	$	2,335,688,154		$	68,823,297		$	17,132,928		$	5,368,365

Net asset value per share	$	27.76		$	22.20		$	28.55		$	26.84

Shares issued and outstanding		84,150,000			3,100,000			600,000			200,000

Cost of investments	$	2,268,924,442		$	68,005,211		$	17,200,861		$	5,021,683
Cost of foreign currency	$	4,520,165		$	25,389		$	36,295		$	10,305

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


		51

Hartford Multifactor ETFs

Statements of Assets and Liabilities – (continued)

September 30, 2019


	Hartford Multifactor Low Volatility US Equity ETF		Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Assets:
Investments in securities, at market value	$	7,692,566	$	17,916,097		$	304,179,052
Cash		3,554		18,499			2,858,983
Receivables:
Dividends and interest		12,915		88,547			483,153
Variation margin on futures contracts		—		199			16,920

Total assets		7,709,035		18,023,342			307,538,108

Liabilities:
Payables:
Investment securities purchased		—		16,636			—
Investment management fees		1,216		6,607			46,839

Total liabilities		1,216		23,243			46,839

Net assets	$	7,707,819	$	18,000,099		$	307,491,269

Summary of Net Assets:
Paid-in-capital	$	6,916,381	$	18,127,780		$	307,769,384
Distributable earnings		791,438		(127,681	)		(278,115	)

Net assets	$	7,707,819	$	18,000,099		$	307,491,269

Net asset value per share	$	30.83	$	16.36		$	32.20

Shares issued and outstanding		250,000		1,100,000			9,550,000

Cost of investments	$	6,668,913	$	17,047,018		$	291,090,539

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


		52

Hartford Multifactor ETFs

Statements of Operations

For the Year Ended September 30, 2019


	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
Investment Income:
Dividends	$	74,835,782		$	2,965,064		$	737,772		$	172,009
Interest		9,395			841			652			—
Securities lending		771,697			6,450			17,318			980
Less: Foreign tax withheld		(7,148,104	)		(384,760	)		(66,186	)		(19,189	)

Total investment income, net		68,468,770			2,587,595			689,556			153,800

Expenses:
Investment management fees		5,150,796			373,633			84,416			15,212

Total expenses, net		5,150,796			373,633			84,416			15,212

Net Investment Income (Loss)		63,317,974			2,213,962			605,140			138,588

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions:
Net realized gain (loss) on investments		(62,941,170	)⁽¹⁾		(4,364,513	)⁽¹⁾		546,346	⁽¹⁾		(28,311	)
Net realized gain (loss) on futures contracts		480,602			(28,947	)		(3,383	)		—
Net realized gain (loss) on other foreign currency transactions		7,673			(36,117	)		(5,160	)		(197	)

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(62,452,895	)		(4,429,577	)		537,803			(28,508	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		38,849,047			(920,519	)		(2,715,397	)		(73,953	)
Net unrealized appreciation (depreciation) of futures contracts		(48,179	)		(9,144	)		(2,830	)		—
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		(50,271	)		(6,235	)		(676	)		(39	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions		38,750,597			(935,898	)		(2,718,903	)		(73,992	)

Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(23,702,298	)		(5,365,475	)		(2,181,100	)		(102,500	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	39,615,676		$	(3,151,513	)	$	(1,575,960	)	$	36,088

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

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


		53

Hartford Multifactor ETFs

Statements of Operations – (continued)

For the Year Ended September 30, 2019


	Hartford Multifactor Low Volatility US Equity ETF			Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Investment Income:
Dividends	$	160,750		$	902,883		$	6,032,293
Interest		—			241			1,276
Securities lending		524			4,329			16,581
Less: Foreign tax withheld		—			—			(903	)

Total investment income, net		161,274			907,453			6,049,247

Expenses:
Investment management fees		12,817			110,655			452,420

Total expenses, net		12,817			110,655			452,420

Net Investment Income (Loss)		148,457			796,798			5,596,827

Net Realized Gain (Loss) on Investments and Other Financial Instruments
Net realized gain (loss) on investments		369,522	⁽¹⁾		1,146,098	⁽¹⁾		(702,658	)⁽¹⁾
Net realized gain (loss) on futures contracts		—			18,383			129,198

Net Realized Gain (Loss) on Investments and Other Financial Instruments		369,522			1,164,481			(573,460	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments:
Net unrealized appreciation (depreciation) of investments		283,389			414,280			858,041
Net unrealized appreciation (depreciation) of futures contracts		—			1,218			(26,065	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments		283,389			415,498			831,976

Net Gain (Loss) on Investments and Other Financial Instruments		652,911			1,579,979			258,516

Net Increase (Decrease) in Net Assets Resulting from Operations	$	801,368		$	2,376,777		$	5,855,343

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

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


		54

Hartford Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Developed Markets(ex-US) ETF						Hartford Multifactor Emerging Markets ETF						Hartford Multifactor Global Small Cap ETF
	For the Year Ended September 30, 2019			For the Year Ended September 30, 2018			For the Year Ended September 30, 2019			For the Year Ended September 30, 2018			For the Year Ended September 30, 2019			For the Year Ended September 30, 2018
Operations:
Net investment income (loss)	$	63,317,974		$	12,080,162		$	2,213,962		$	1,483,870		$	605,140		$	476,213
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		(62,452,895	)		(5,987,452	)		(4,429,577	)		(859,431	)		537,803			858,346
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		38,750,597			2,113,375			(935,898	)		(3,878,089	)		(2,718,903	)		82,255

Net Increase (Decrease) in Net Assets Resulting from Operations		39,615,676			8,206,085			(3,151,513	)		(3,253,650	)		(1,575,960	)		1,416,814

Distributions to Shareholders		(48,161,644	)		(8,013,824	)		(2,004,488	)		(1,141,715	)		(601,511	)		(470,072	)

Fund Share Transactions:
Sold		1,846,730,495			738,684,038			33,068,894			25,448,866			5,860,452			6,275,566
Redeemed		(313,561,980	)		(59,138,041	)		(24,270,963	)		(2,229,949	)		(8,794,812	)		(3,128,922	)
Other Capital		—			321			101,198			17,212			1,652			1,646

Net increase from capital share transactions		1,533,168,515			679,546,318			8,899,129			23,236,129			(2,932,708	)		3,148,290

Net Increase (Decrease) in Net Assets		1,524,622,547			679,738,579			3,743,128			18,840,764			(5,110,179	)		4,095,032

Net Assets:
Beginning of period		811,065,607			131,327,028			65,080,169			46,239,405			22,243,107			18,148,075

End of period	$	2,335,688,154		$	811,065,607		$	68,823,297		$	65,080,169		$	17,132,928		$	22,243,107

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


		55

Hartford Multifactor ETFs

Statements of Changes in Net Assets – (continued)


	Hartford Multifactor Low Volatility International Equity ETF						Hartford Multifactor Low Volatility US Equity ETF
	For the Year Ended September 30, 2019			For the Year Ended September 30, 2018			For the Year Ended September 30, 2019			For the Year Ended September 30, 2018
Operations:
Net investment income (loss)	$	138,588		$	130,277		$	148,457		$	95,116
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		(28,508	)		(42,526	)		369,522			(50,947	)
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		(73,992	)		184,054			283,389			604,114

Net Increase (Decrease) in Net Assets Resulting from Operations		36,088			271,805			801,368			648,283

Distributions to Shareholders		(137,798	)		(118,511	)		(140,380	)		(96,129	)

Fund Share Transactions:
Sold		—			—			4,275,263			1,329,697
Redeemed		—			—			(2,971,711	)		—
Other Capital		—			—			—			—

Net increase (decrease) from capital share transactions		—			—			1,303,552			1,329,697

Net Increase (Decrease) in Net Assets		(101,710	)		153,294			1,964,540			1,881,851

Net Assets:
Beginning of period		5,470,075			5,316,781			5,743,279			3,861,428

End of period	$	5,368,365		$	5,470,075		$	7,707,819		$	5,743,279

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


		56

Hartford Multifactor ETFs

Statements of Changes in Net Assets – (continued)


	Hartford Multifactor REIT ETF						Hartford Multifactor US Equity ETF
	For the Year Ended September 30, 2019			For the Year Ended September 30, 2018			For the Year Ended September 30, 2019			For the Year Ended September 30, 2018
Operations:
Net investment income (loss)	$	796,798		$	649,569		$	5,596,827		$	1,515,229
Net realized gain (loss) on investments and other financial instruments		1,164,481			828,354			(573,460	)		1,330,846
Net changes in unrealized appreciation (depreciation) of investments and other financial instruments		415,498			257,144			831,976			8,292,564

Net Increase (Decrease) in Net Assets Resulting from Operations		2,376,777			1,735,067			5,855,343			11,138,639

Distributions to Shareholders:
From distributable earnings		(833,172	)	��	(677,992	)		(5,407,729	)		(1,496,009	)
From tax return of capital		(402,584	)		(41,564	)		—			—

Total distributions		(1,235,756	)		(719,556	)		(5,407,729	)		(1,496,009	)

Fund Share Transactions:
Sold		7,709,666			26,773,879			182,696,968			142,311,556
Redeemed		(18,538,614	)		(9,438,842	)		(48,956,914	)		(13,174,555	)

Net increase (decrease) from capital share transactions		(10,828,948	)		17,335,037			133,740,054			129,137,001

Net Increase (Decrease) in Net Assets		(9,687,927	)		18,350,548			134,187,668			138,779,631

Net Assets:
Beginning of period		27,688,026			9,337,478			173,303,601			34,523,970

End of period	$	18,000,099		$	27,688,026		$	307,491,269		$	173,303,601

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


		57

Hartford Multifactor ETFs

Financial Highlights


	*— SelectedPer-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		Returns 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, 2019
	$	28.97	$	0.98	$	(1.51	)	$	(0.53	)	$	—		$	(0.68	)	$	—	$	—	$	(0.68	)	$	27.76		(1.78	)%	$	2,335,688		0.29	%		0.29	%		3.56	%		63	%

For the Year Ended September 30, 2018
	$	28.24	$	0.91	$	0.45	⁽⁵⁾	$	1.36		$	—	⁽⁶⁾	$	(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⁽⁷⁾
	$	25.00	$	0.55	$	(2.35	)	$	(1.80	)	$	—		$	(0.36	)	$	—	$	—	$	(0.36	)	$	22.84		(7.36	)%⁽¹¹⁾	$	27,406		0.50	%⁽⁸⁾		0.50	%⁽⁸⁾		3.75	%⁽⁸⁾		42	%

Hartford Multifactor Emerging Markets ETF

For the Year Ended September 30, 2019
	$	23.24	$	0.66	$	(1.12	)	$	(0.46	)	$	0.03		$	(0.61	)	$	—	$	—	$	(0.61	)	$	22.20		(1.90	)%	$	68,823		0.49	%		0.49	%		2.89	%		78	%

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⁽⁷⁾
	$	25.00	$	0.44	$	(5.55	)	$	(5.11	)	$	—		$	(0.21	)	$	—	$	—	$	(0.21	)	$	19.68		(20.59	)%⁽¹¹⁾	$	19,685		0.65	%⁽⁸⁾		0.65	%⁽⁸⁾		3.23	%⁽⁸⁾		17	%

Hartford Multifactor Global Small Cap ETF

For the Year Ended September 30, 2019
	$	31.78	$	0.81	$	(3.23	)	$	(2.42	)	$	—	⁽⁶⁾	$	(0.81	)	$	—	$	—	$	(0.81	)	$	28.55		(7.46	)%	$	17,133		0.39	%		0.39	%		2.80	%		50	%

For the Year Ended September 30, 2018
	$	30.25	$	0.72	$	1.54		$	2.26		$	—	⁽⁶⁾	$	(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⁽⁹⁾
	$	25.00	$	0.44	$	(2.54	)	$	(2.10	)	$	—		$	(0.21	)	$	—	$	—	$	(0.21	)	$	22.69		(8.50	)%⁽¹¹⁾	$	6,807		0.60	%⁽⁸⁾		0.60	%⁽⁸⁾		3.44	%⁽⁸⁾		44	%

Hartford Multifactor Low Volatility International Equity ETF

For the Year Ended September 30, 2019
	$	27.35	$	0.69	$	(0.51	)	$	0.18		$	—		$	(0.69	)	$	—	$	—	$	(0.69	)	$	26.84		0.81	%	$	5,368		0.29	%		0.29	%		2.64	%		38	%

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⁽¹⁰⁾
	$	25.02	$	0.30	$	1.40		$	1.70		$	—		$	(0.14	)	$	—	$	—	$	(0.14	)	$	26.58		6.84	%⁽¹¹⁾	$	5,317		0.39	%⁽⁸⁾		0.39	%⁽⁸⁾		3.01	%⁽⁸⁾		48	%

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


		58

Hartford Multifactor ETFs

Financial Highlights – (continued)


	*— SelectedPer-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			Returns 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 Low Volatility US Equity ETF

For the Year Ended September 30, 2019
	$	28.72	$	0.63	$	2.07		$	2.70		$	—	$	(0.59	)	$	—		$	—		$	(0.59	)	$	30.83		9.62	%	$	7,708		0.19	%		0.19	%		2.20	%		53	%

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⁽¹⁰⁾
	$	25.03	$	0.20	$	0.68		$	0.88		$	—	$	(0.17	)	$	—		$	—		$	(0.17	)	$	25.74		3.53	%⁽¹¹⁾	$	3,861		0.29	%⁽⁸⁾		0.29	%⁽⁸⁾		2.05	%⁽⁸⁾		16	%

Hartford Multifactor REIT ETF

For the Year Ended September 30, 2019
	$	15.38	$	0.50	$	1.23		$	1.73		$	—	$	(0.51	)	$	—		$	(0.24	)	$	(0.75	)	$	16.36		11.75	%	$	18,000		0.45	%		0.45	%		3.24	%		50	%

For the Year Ended September 30, 2018
	$	15.56	$	0.59	$	(0.12	)⁽⁵⁾	$	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⁽¹²⁾
	$	14.79	$	0.50	$	0.74		$	1.24		$	—	$	(0.45	)	$	(0.02	)	$	—		$	(0.47	)	$	15.56		8.47	%⁽¹¹⁾	$	9,337		0.50	%⁽⁸⁾		0.45	%⁽⁸⁾		3.29	%⁽⁸⁾		43	%

Hartford Multifactor US Equity ETF

For the Year Ended September 30, 2019
	$	33.01	$	0.73	$	(0.89	)⁽⁵⁾	$	(0.16	)	$	—	$	(0.65	)	$	—		$	—		$	(0.65	)	$	32.20		(0.31	)%	$	307,491		0.19	%		0.19	%		2.35	%		81	%

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⁽⁷⁾
	$	25.00	$	0.26	$	(2.11	)	$	(1.85	)	$	—	$	(0.25	)	$	—		$	—		$	(0.25	)	$	22.90		(7.46	)%⁽¹¹⁾	$	22,900		0.35	%⁽⁸⁾		0.35	%⁽⁸⁾		1.82	%⁽⁸⁾		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 fromin-kind processing of creations or redemptions.

(5)	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 ofper-share net realized and unrealized gain (loss) on such shares.

(6)	Per share amount is less than $0.005.

(7)	Commenced operations on February 25, 2015.

(8)	Annualized.

(9)	Commenced operations on March 23, 2015.

(10)	Commenced operations on May 10, 2017.

(11)	Not annualized.

(12)	Commenced operations on October 3, 2016.

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


		59

Hartford Multifactor ETFs

Notes to Financial Statements

September 30, 2019

1.	Organization:

Lattice Strategies Trust (the “Trust”) is anopen-end registered management investment company comprised of seven series as of September 30, 2019. 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 diversifiedopen-end management investment company. Multifactor REIT ETF is anon-diversifiedopen-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 is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The net asset value for the shares is determined by dividing the value of the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to a Fund after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day.

Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV, portfolio securities and other assets held in a 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 Trustees of the Trust (“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


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September 30, 2019

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.

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, sell 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 (“Exchange Close”). 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 Exchange 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 Exchange 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 sell 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 inopen-end mutual funds, if any, are valued at the respective NAV of eachopen-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. Suchopen-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. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are:

•

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

•

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

•

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


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September 30, 2019

The Board of Trustees (the “Board”) has delegated theday-to-day responsibility for implementing the valuation 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’ssub-adviser, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board.

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.

For additional information, refer to the Fair Valuation Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.

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. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost.

Dividend income from domestic securities is accrued on theex-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 theex-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.Non-cash dividends received in the form of stock are recorded as dividend income at market value. Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal receivedin-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.

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 onex-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. 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:

Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments.


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Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

4.	Financial Derivative Instruments:

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 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, 2019, the Funds had not used Foreign Currency Contracts. There were no open contracts at September 30, 2019.

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, 2019, Multifactor Developed Markets(ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF, Multifactor REIT ETF and Multifactor US Equity ETF had used Futures Contracts.

Additional Derivative Instrument Information:

Multifactor Developed Markets(ex-US) ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2019:


	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⁾	$	—	$	—	$	—	$	43,047	$	—	$	—	$	43,047

Total	$	—	$	—	$	—	$	43,047	$	—	$	—	$	43,047

⁽¹⁾

Amount represents the cumulative 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 Statement of Assets and Liabilities.

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2019:


	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	$	—	$	—	$	—	$	480,602		$	—	$	—	$	480,602

Total	$	—	$	—	$	—	$	480,602		$	—	$	—	$	480,602

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(48,179	)	$	—	$	—	$	(48,179	)

Total	$	—	$	—	$	—	$	(48,179	)	$	—	$	—	$	(48,179	)

For the year ended September 30, 2019, 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


		63

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Multifactor Emerging Markets ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2019:


	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⁾	$	—	$	—	$	—	$	7,768	$	—	$	—	$	7,768

Total	$	—	$	—	$	—	$	7,768	$	—	$	—	$	7,768

⁽¹⁾

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2019:


	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	$	—	$	—	$	—	$	(28,947	)	$	—	$	—	$	(28,947	)

Total	$	—	$	—	$	—	$	(28,947	)	$	—	$	—	$	(28,947	)

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(9,144	)	$	—	$	—	$	(9,144	)

Total	$	—	$	—	$	—	$	(9,144	)	$	—	$	—	$	(9,144	)

For the year ended September 30, 2019, 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		8

Multifactor Global Small Cap ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2019:


	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⁾	$	—	$	—	$	—	$	3,684	$	—	$	—	$	3,684

Total	$	—	$	—	$	—	$	3,684	$	—	$	—	$	3,684

⁽¹⁾

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2019:


	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	$	—	$	—	$	—	$	(3,383	)	$	—	$	—	$	(3,383	)

Total	$	—	$	—	$	—	$	(3,383	)	$	—	$	—	$	(3,383	)

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(2,830	)	$	—	$	—	$	(2,830	)

Total	$	—	$	—	$	—	$	(2,830	)	$	—	$	—	$	(2,830	)


		64

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Multifactor Global Small Cap ETF – (continued)

For the year ended September 30, 2019, 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

Multifactor REIT ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2019:


	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⁾	$	—	$	—	$	—	$	809	$	—	$	—	$	809

Total	$	—	$	—	$	—	$	809	$	—	$	—	$	809

⁽¹⁾

Amount represents the cumulative appreciation 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 Statement of Assets and Liabilities.

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2019:


	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	$	—	$	—	$	—	$	18,383	$	—	$	—	$	18,383

Total	$	—	$	—	$	—	$	18,383	$	—	$	—	$	18,383

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	1,218	$	—	$	—	$	1,218

Total	$	—	$	—	$	—	$	1,218	$	—	$	—	$	1,218

For the year ended September 30, 2019, 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

Multifactor US Equity ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2019:


	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⁾	$	—	$	—	$	—	$	25,340	$	—	$	—	$	25,340

Total	$	—	$	—	$	—	$	25,340	$	—	$	—	$	25,340

⁽¹⁾


		65

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Multifactor US Equity ETF – (continued)

The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2019:


	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	$	—	$	—	$	—	$	129,198		$	—	$	—	$	129,198

Total	$	—	$	—	$	—	$	129,198		$	—	$	—	$	129,198

Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(26,065	)	$	—	$	—	$	(26,065	)

Total	$	—	$	—	$	—	$	(26,065	)	$	—	$	—	$	(26,065	)

For the year ended September 30, 2019, 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

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 the 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, 2019:

Multifactor Developed Markets(ex-US) ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(43,047	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(43,047	)

Derivatives not subject to a MNA		—		43,047

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

Multifactor Emerging Markets ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(7,768	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(7,768	)

Derivatives not subject to a MNA		—		7,768

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	$	—	$	(3,684	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(3,684	)

Derivatives not subject to a MNA		—		3,684

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


		66

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Multifactor REIT ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	809		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		809			—

Derivatives not subject to a MNA		(809	)		—

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

Multifactor US Equity ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(25,340	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(25,340	)

Derivatives not subject to a MNA		—		25,340

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

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

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, 2019. 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, adjustments due to 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.


		67

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Distributions and Components of Distributable Earnings– The tax character of distributions paid by each Fund for the years ended September 30, 2019 and September 30, 2018 are as follows (as adjusted for dividends payable, if applicable):


	For the Year Ended September 30, 2019				For the Year Ended September 30, 2018
Fund	Ordinary Income		Tax Return of Capital		Ordinary Income		Tax Return of Capital
Multifactor Developed Markets(ex-US) ETF	$	48,161,644	$	—	$	8,013,824	$	—
Multifactor Emerging Markets ETF		2,004,488		—		1,141,715		—
Multifactor Global Small Cap ETF		601,511		—		470,072		—
Multifactor Low Volatility International Equity ETF		137,798		—		118,511		—
Multifactor Low Volatility US Equity ETF		140,380		—		96,129		—
Multifactor REIT ETF		833,172		402,584		677,992		41,564
Multifactor US Equity ETF		5,407,729		—		1,496,009		—

As of September 30, 2019, 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	$	24,483,653	$	(129,891,346	)	$	40,866,703		$	(64,540,990	)
Multifactor Emerging Markets ETF		1,245,568		(11,878,067	)		(114,241	)		(10,746,740	)
Multifactor Global Small Cap ETF		278,445		(1,901,678	)		(305,254	)		(1,928,487	)
Multifactor Low Volatility International Equity ETF		64,636		(123,557	)		290,563			231,642
Multifactor Low Volatility US Equity ETF		8,532		(220,957	)		1,003,863			791,438
Multifactor REIT ETF		—		(738,950	)		611,269			(127,681	)
Multifactor US Equity ETF		479,089		(13,486,456	)		12,729,252			(278,115	)

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 treatment of the tax gains/losses on 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 distributable earnings or from capital depending on the type of book and tax differences that exist. For the year ended September 30, 2019, the Funds recorded reclassifications to increase (decrease) the accounts listed below:


Fund	Paid-in-Capital		Distributable earnings (Loss)
Multifactor Developed Markets(ex-US) ETF	$	53,206,275	$	(53,206,275	)
Multifactor Emerging Markets ETF		2,200,571		(2,200,571	)
Multifactor Global Small Cap ETF		1,524,189		(1,524,189	)
Multifactor Low Volatility International Equity ETF		—		—
Multifactor Low Volatility US Equity ETF		499,849		(499,849	)
Multifactor REIT ETF		1,134,791		(1,134,791	)
Multifactor US Equity ETF		9,259,565		(9,259,565	)

Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2019 is different from book purposes primarily due to wash sale loss deferrals and passive foreign investment company (PFIC) mark-to-market adjustments. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation, was also different from book purposes primarily due to wash sale loss deferrals and mark-to-market adjustments on futures and PFICs. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below:


Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
Multifactor Developed Markets(ex-US) ETF	$	2,280,785,162	$	127,855,669	$	(86,937,326	)	$	40,918,343
Multifactor Emerging Markets ETF		68,683,457		3,092,193		(3,202,139	)		(109,946	)
Multifactor Global Small Cap ETF		17,282,722		1,754,346		(2,059,408	)		(305,062	)
Multifactor Low Volatility International Equity ETF		5,055,260		528,629		(237,992	)		290,637
Multifactor Low Volatility US Equity ETF		6,688,703		1,073,056		(69,193	)		1,003,863
Multifactor REIT ETF		17,304,828		1,437,515		(826,247	)		611,268
Multifactor US Equity ETF		291,449,800		16,368,193		(3,638,941	)		12,729,252


		68

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

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, 2019 (tax year end), each Fund’s capital loss carryforwards for U.S. federal income tax purposes were as follows:


	Short-Term Capital Loss Carryforward with No Expiration		Long-Term Capital Loss Carryforward with No Expiration
Fund	Short-Term Capital Loss Carryforward with No Expiration		Long-Term Capital Loss Carryforward with No Expiration
Multifactor Developed Markets(ex-US) ETF	$	107,334,369	$	22,556,977
Multifactor Emerging Markets ETF		6,704,506		5,173,561
Multifactor Global Small Cap ETF		1,200,254		701,424
Multifactor Low Volatility International Equity ETF		123,557		—
Multifactor Low Volatility US Equity ETF		148,022		72,935
Multifactor REIT ETF		598,680		140,270
Multifactor US Equity ETF		9,907,946		3,578,510

Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, Hartford Funds Management Company, LLC (“HFMC”) reviews each Fund’s tax positions for all open tax years. As of September 30, 2019, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for 3 years, no examination is currently in progress. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended September 30, 2019, the Funds did not incur any interest or penalties.

7.	Expenses:

Investment Advisory Agreement– Lattice Strategies LLC (the “Adviser” or “Lattice”) 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 Mellon Investments Corporation (“Mellon”) under asub-advisory agreement pursuant to which Mellon 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 Mellon.

The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of September 30, 2019; 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		0.44%
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 September 11, 2019, Multifactor Emerging Markets ETF paid the rate of 0.49% to Lattice for investment advisory services rendered. The rate was accrued daily and paid monthly based on the Fund’s average daily net assets.

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 Rule12b-1 under the 1940 Act; and (v) the advisory fee payable to the Adviser under the Investment Advisory Agreement. 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 Rule12b-1 Distribution and Service Plan in accordance with Rule12b-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 Rule12b-1 Distribution and Service Plan until authorized to do


		69

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

so by affirmative action of the Board. No Rule12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets.

For the year ended September 30, 2019, the Funds did not pay any Rule12b-1 fees.

Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year ended September 30, 2019, the Trust’s Chief Compliance Officer’s (“CCO”) compensation was paid by HFMC. As part of the Trust’s Chief Compliance Officer Services Agreement, HFMC also pays any CCO compensation on behalf of the Funds.

8.	Securities Lending:

Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. andnon-U.S. markets in an amount not to exceed one third (33 1/3 %) 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 ornon-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. Anynon-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 Bank and Trust Company (“State Street”) has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. 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.

Effective September 9, 2019, the agreement with State Street has been terminated.

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.

At September 30, 2019, the Funds had no securities on loan or held any cash ornon-cash collateral.

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, Lattice, and not the Funds, compensates State Street pursuant to the Funds’ unitary management fee structure.


		70

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

10.

Investment Transactions:

For the year ended September 30, 2019, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:


Fund	Total Cost of Purchases		Total Sales Proceeds
Multifactor Developed Markets(ex-US) ETF	$	1,171,823,217	$	1,107,050,082
Multifactor Emerging Markets ETF		63,156,108		59,459,787
Multifactor Global Small Cap ETF		13,329,207		10,730,627
Multifactor Low Volatility International Equity ETF		2,001,803		1,997,044
Multifactor Low Volatility US Equity ETF		3,592,713		4,252,413
Multifactor REIT ETF		12,158,394		12,024,567
Multifactor US Equity ETF		193,019,910		193,195,713

For the year ended September 30, 2019,in-kind transactions, which are not included in the table above, associated with purchase or redemption of Creation Units were as follows:


Fund	Cost of Purchases		Sales Proceeds		Realized Gain/(Loss)
Multifactor Developed Markets(ex-US) ETF	$	1,784,074,274	$	311,823,424	$	54,851,642
Multifactor Emerging Markets ETF		19,927,344		14,642,979		2,242,445
Multifactor Global Small Cap ETF		2,571,747		8,150,504		1,600,615
Multifactor Low Volatility US Equity ETF		4,277,898		2,236,601		502,412
Multifactor REIT ETF		7,707,448		18,499,077		1,722,458
Multifactor US Equity ETF		178,158,469		43,689,149		9,373,101

11.

Share Transactions:

Each Fund will issue and redeem Shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units.” Purchases of Creation Units are made by tendering a basket of designated securities to 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 may 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, 2019		Standard In-Kind Redemption Fee
Multifactor Developed Markets(ex-US) ETF		50,000	$	3,000	$	1,388,000	$	3,000
Multifactor Emerging Markets ETF		100,000	$	2,000		2,220,000	$	2,000
Multifactor Global Small Cap ETF		100,000	$	2,000		2,855,000	$	2,000
Multifactor Low Volatility International Equity ETF		100,000	$	2,200		2,684,000	$	2,200
Multifactor Low Volatility US Equity ETF		50,000	$	650		1,541,500	$	650
Multifactor REIT ETF		100,000	$	250		1,636,000	$	250
Multifactor US Equity ETF		50,000	$	800		1,610,000	$	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.


		71

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

Because each Fund is structured as an ETF, individual Shares may only be purchased and sold on a 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 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, 2019, and the year ended September 30, 2018:


	For the Year Ended September 30, 2019						For the Year Ended September 30, 2018
	Shares			Amount			Shares			Amount
Multifactor Developed Markets(ex-US) ETF
Shares Sold		67,400,000		$	1,846,730,495			25,400,000		$	738,684,038
Shares Redeemed		(11,250,000	)		(313,561,980	)		(2,050,000	)		(59,138,041	)
Other Capital		—			—			—			321

Net Increase (Decrease)		56,150,000			1,533,168,515			23,350,000			679,546,318


Multifactor Emerging Markets ETF
Shares Sold		1,400,000		$	33,068,894			1,000,000		$	25,448,866
Shares Redeemed		(1,100,000	)		(24,270,963	)		(100,000	)		(2,229,949	)
Other Capital		—			101,198			—			17,212

Net Increase (Decrease)		300,000			8,899,129			900,000			23,236,129


Multifactor Global Small Cap ETF
Shares Sold		200,000		$	5,860,452			200,000		$	6,275,566
Shares Redeemed		(300,000	)		(8,794,812	)		(100,000	)		(3,128,922	)
Other Capital		—			1,652			—			1,646

Net Increase (Decrease)		(100,000	)		(2,932,708	)		100,000			3,148,290

Multifactor Low Volatility International Equity ETF
Shares Sold		—		$	—			—		$	—
Shares Redeemed		—			—			—			—
Other Capital		—			—			—			—

Net Increase (Decrease)		—			—			—			—


Multifactor Low Volatility US Equity ETF
Shares Sold		150,000		$	4,275,263			50,000		$	1,329,697
Shares Redeemed		(100,000	)		(2,971,711	)		—			—

Net Increase (Decrease)		50,000			1,303,552			50,000			1,329,697


Multifactor REIT ETF
Shares Sold		500,000		$	7,709,666			1,800,000		$	26,773,879
Shares Redeemed		(1,200,000	)		(18,538,614	)		(600,000	)		(9,438,842	)

Net Increase (Decrease)		(700,000	)		(10,828,948	)		1,200,000			17,335,037


Multifactor US Equity ETF
Shares Sold		5,900,000		$	182,696,968			4,450,000		$	142,311,556
Shares Redeemed		(1,600,000	)		(48,956,914	)		(400,000	)		(13,174,555	)

Net Increase (Decrease)		4,300,000			133,740,054			4,050,000			129,137,001

12.

Affiliate Holdings:

As of September 30, 2019, affiliates of The Hartford had ownership of shares in certain Funds as follows:


Fund	Percentage of Fund
Multifactor Low Volatility International Equity ETF		40	%
Multifactor Low Volatility US Equity ETF		56	%
Multifactor REIT ETF		41	%


		72

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

September 30, 2019

As of September 30, 2019, 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 their shares as a result of purchase and sale activity from these affiliated funds of funds. Affiliated funds of funds owned shares in the Fund listed below as follows:


Fund	Percentage of Fund
Multifactor Developed Markets(ex-US) ETF		3	%
Multifactor Emerging Markets ETF		5	%
Multifactor US Equity ETF		31	%

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.

14.

Recent Accounting Pronouncement:

The FASB recently issued ASU2017-08 (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 effective for public entities for fiscal years beginning after December 15, 2018, and will become effective 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 Update2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU2018-13”). The update introduces new fair value disclosure requirements, eliminates some prior fair value disclosure requirements, and modifies certain existing fair value disclosure requirements.

ASU2018-13 is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years, however, an entity is permitted to early adopt either the entire standard or only the provisions that eliminate or modify requirements. Management has elected to early adopt the provisions of ASU2018-13 that eliminate disclosure requirements effective with the current reporting period. The impact of each Fund’s early adoption of these provisions was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between Level 1 and Level 2 of the fair value hierarchy and the timing of transfers between levels of the fair value hierarchy. Management is currently evaluating the potential impact of adopting the additional provisions of ASU2018-13.

15.

Subsequent Events:

In connection with the preparation of the financial statements of the Funds as of and for the period ended September 30, 2019, events and transactions subsequent to September 30, 2019, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure.

Effective November 6, 2019, Hartford Multifactor Global Small Cap ETF changed its name (now known as Hartford Multifactor Small Cap ETF), principal investment strategy and benchmark. Also effective November 6, 2019, the management fee rate for Multifactor Global Small Cap ETF was reduced from 0.39% to 0.34%. The information in this report is as of September 30, 2019 and therefore, does not reflect any of these changes. For more information, please see the Fund’s most recent prospectus.

Effective November 6, 2019, Hartford Multifactor Low Volatility International Equity ETF changed its name (now known as Hartford Multifactor Diversified International ETF), principal investment strategy and benchmark. The information in this report is as of September 30, 2019 and therefore, does not reflect any of these changes. For more information, please see the Fund’s most recent prospectus.

Effective on or about October 1, 2019, Citibank, N.A. has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with Citibank, N.A. for such services.


		73

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, 2019, 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, 2019, 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, 2019	For each of the two years in the period ended September 30, 2019	For each of the four years in the period ended September 30, 2019
Hartford Multifactor REIT ETF	For the year ended September 30, 2019	For each of the two years in the period ended September 30, 2019	For each of the two years in the period ended September 30, 2019 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, 2019	For each of the two years in the period ended September 30, 2019	For each of the two years in the period ended September 30, 2019 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, 2019, 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 26, 2019


		74

Hartford Multifactor ETFs

Trustees and Officers of the Trust

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, 2019. For more information regarding the Trustees and officers, please refer to the Statement of Additional Information, which is available, without charge, upon request by calling1-800-456-7526.


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 (1956)	Trustee	Since 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 Dynegy, Inc. (an independent power company) since October 2012 and as a Director of Credit Suisse Holdings (USA), Inc. since January 2017.	81	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 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.	81	Ms. Beery serves as a Director of UMB Financial Corporation (January 2015 to present).

LYNN S. BIRDSONG⁽⁴⁾ (1946)	Trustee and Chairman of the Board	Trustee since 2017; Chairman of the Board since August 2019	Mr. Birdsong currently serves as a Director of Aberdeen Global and Aberdeen Global II (investment funds) (since September 2014), Aberdeen Islamic SICAV and Aberdeen Liquidity Fund (investment funds) (since 2016), and Aberdeen Alpha Fund (since December 2017). 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.	81	None

CHRISTINE R. DETRICK (1958)	Trustee	Since 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.	81	Ms. Detrick serves as a Director of Reinsurance Group of America (January 2014 to present).

DUANE E. HILL (1945)	Trustee	Since 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.	81	None


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Hartford Multifactor ETFs

Trustees and Officers of the Trust – (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⁽⁵⁾ (1944)	Trustee	Since 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.	81	None

LEMMA W. SENBET (1946)	Trustee	Since 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.	81	None

DAVID SUNG (1953)	Trustee	Since 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 twoclosed-end registered investment companies, sponsored by Ironwood Capital Management. Previously, he was a Partner at Ernst & Young LLP from October 1995 to July 2014.	81	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⁽⁶⁾ (1964)	Trustee, President and Chief Executive Officer	Trustee since 2017; President and Chief Executive Officer since 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, President, and Senior Managing Director for Hartford Funds Management Group, Inc. (“HFMG”). Mr. Davey also serves as Manager, Chairman of the Board, and President of Lattice Strategies LLC (since July 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.	81	None


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Hartford Multifactor ETFs

Trustees and Officers of the Trust – (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

ANDREW S. DECKER (1963)	AML Compliance Officer	Since 2016	Mr. Decker serves as Chief Compliance Officer and AML Compliance Officer of HASCO (since April 2015) and Vice President of HASCO (since April 2018). Mr. Decker serves as AML Officer of HFD (since May 2015). Mr. Decker also serves as Vice President of HFMG (since April 2018). 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

AMY N. FURLONG (1979)	Vice President and Treasurer	Since 2018	Ms. Furlong serves as Vice President and Assistant Treasurer of HFMC (since September 2019). 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)	Vice President and Chief Legal Officer	Since 2016	Mr. Garger serves as Secretary, Managing Director and General Counsel of HFD, HASCO, HFMC and HFMG (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice Strategies LLC (since July 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 2016	Mr. Lee serves as Head of Systemic Strategies and ETF Operations and Senior Vice President of HFMG (since July 2016). Mr. Lee also serves as Senior Vice President of Lattice Strategies LLC (since June 2017). Previously, Mr. Lee served as Managing Director and Chief Operating Officer, Lattice Strategies LLC (2009-2016); Chief Operating Officer at Avicenna Capital Management (2007-2009); and Chief Financial Officer at Steeple Capital LP (2005-2007).	N/A	N/A

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

JOSEPH G. MELCHER (1973)	Chief Compliance Officer and Vice President	Since 2017	Mr. Melcher serves as Executive Vice President of HFD (since December 2013) and has served as President (from April 2018 to June 2019) and Chief Executive Officer (from April 2018 to June 2019) of HFD. He also serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC. Mr. Melcher also serves as Executive Vice President and Chief Compliance Officer of Lattice Strategies, LLC (since July 2016). Mr. Melcher has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds since joining The Hartford in 2012. Prior to joining The Hartford, Mr. Melcher worked at Touchstone Investments, a member of the Western & Southern Financial Group, where he held the position of Vice President and Chief Compliance Officer from 2010 through 2012 and Assistant Vice President, Compliance from 2005 to 2010.	N/A	N/A


		77

Hartford Multifactor ETFs

Trustees and Officers of the Trust – (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

VERNON J. MEYER (1964)	Vice President	Since 2016	Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). 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 and Assistant Secretary	Since 2016	Ms. Pellegrino serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice Strategies LLC (since June 2017). 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 2017	Mr. Phillips currently serves as Vice President (since February 207) and Assistant Secretary (since June 2017) for HFMG. Mr. Phillips is Deputy General 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

⁽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, Hartford Funds NextShares Trust, and Hartford Schroders Opportunistic Income Fund.

⁽⁴⁾	Effective August 7, 2019, Mr. Birdsong has been appointed as Chairman of the Board.

⁽⁵⁾	Effective December 5, 2019, Mr. Peterson will retire from the Board of Trustees.

⁽⁶⁾	“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.


		78

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 800-456-7526 and (2) on the SEC’s website at http://www.sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)

Each Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports onForm N-PORT. Each Fund’s Form N-PORT reports once filed will be available (1) without charge, upon request, by calling 800-456-7526 and (2) on the SEC’s website at http://www.sec.gov.


		79

Hartford Multifactor ETFs

Approval of Investment Advisory and InvestmentSub-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 andsub-advisory agreements. At its meeting held onAugust 6-7, 2019, 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 investmentsub-advisory agreement (the“Sub-Advisory Agreement” and collectively with the Investment Advisory Agreement, the “Agreements”) between Lattice Strategies and the Funds’sub-adviser, Mellon Investments Corporation (the“Sub-adviser,” and together with Lattice Strategies, the “Advisers”).

In the months preceding theAugust 6-7, 2019 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 18, 2019 and August6-7, 2019. 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 andin-person presentations by Fund officers and representatives of Lattice Strategies received at the Board’s meetings on June 18, 2019 andAugust 6-7, 2019 concerning the Agreements.

The Independent Trustees, advised by independent legal counsel throughout the evaluation process, 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 through the exercise of their 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, 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 toRule 38a-1 under the 1940 Act and the Funds’ liquidity risk management program, as well as the efforts of the Advisers to combat cybersecurity risks and invest in business continuity planning.


		80

Hartford Multifactor ETFs

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

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 theSub-adviser. In this regard, the Board evaluated information about the nature and extent of responsibilities retained and risks assumed by Lattice Strategies that were not delegated to or assumed by theSub-adviser. The Board considered that Lattice Strategies is responsible for the creation, maintenance and ongoing monitoring 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 theSub-adviser and ongoing oversight of theSub-adviser’s investment approach and results, process for monitoring best execution of portfolio trades and other trading operations by theSub-adviser, and approach to risk management with respect to the Funds and the service providers to the Funds. The Board considered Lattice Strategies’ oversight of the Funds’ securities lending program and noted the income earned by the Funds in connection with their participation in the program. 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.

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 theSub-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 managers, theSub-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 managers, the number of accounts managed by the portfolio managers, and theSub-adviser’s method for compensating the portfolio managers.

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 theSub-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 theFund-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 comparing each Fund’s tracking difference to a general tracking difference range established for the Fund over various periods, Lattice Strategies’ views regarding the appropriateness of the general tracking difference ranges and explanations of the factors contributing to any tracking difference. For details regarding each Fund’s tracking difference, see theFund-by-Fund synopsis below. The Board considered the Advisers’ work 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.

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 also considered Lattice Strategies’ assessment of the quality of each Fund’s custom proprietary benchmark index and whether each such index was continuing to function as intended. The Board reviewed the performance of each Fund and its custom proprietary benchmark index relative to an unaffiliated broad-based securities market index and found such comparisons to be useful in evaluating the quality of the Fund’s 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 theSub-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 apre-tax basis without regard to distribution expenses. The Board also requested and received information relating to the operations and profitability of theSub-adviser. The Board considered representations from Lattice Strategies and theSub-adviser that theSub-adviser’s fees were negotiated at arm’s length and that thesub-advisory fees are paid by Lattice Strategies and not the Funds. Accordingly, the Board concluded that the profitability of theSub-adviser is a less relevant factor with respect to the Board’s consideration of theSub-Advisory Agreement.


		81

Hartford Multifactor ETFs

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

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, including a description of the methodology used to allocate certain expenses. The Board noted 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 18, 2019 and August6-7, 2019 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 Rule12b-1 under the 1940 Act; and (v) the advisory fee payable to Lattice Strategies. The Board also considered comparative information with respect to thesub-advisory fees to be paid by Lattice Strategies to theSub-adviser with respect to each Fund. In this regard, the Board requested and reviewed information from Lattice Strategies and theSub-adviser relating to the management andsub-advisory fees, including thesub-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 theFund-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.

The Board received information regarding fees charged by Lattice Strategies to other clients that are mutual funds with investment strategies similar to those of Hartford Multifactor Developed Markets(ex-US) ETF and Hartford Multifactor US Equity ETF. The Board reviewed information about structural, operational and other differences between the Hartford Multifactor Developed Markets(ex-US) ETF and Hartford Multifactor US Equity ETF and the other mutual fund clients, including differences in the services provided by Lattice Strategies to each type of product and differences in the marketplace in which each type of product must compete.

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 in respect of the management of a Fund would benefit Lattice Strategies due to the unitary fee structure of the Fund. The Board considered that each Fund could share in the benefits from economies of scale as assets in the Fund grow. The Board noted that the Funds do not have management fee breakpoints. However, the Board considered that Lattice Strategies shares potential economies of scale with shareholders in a variety of ways, including through 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. The Board also noted that, for each of the Hartford Multifactor Global Small Cap ETF, Hartford Multifactor Emerging Markets ETF and Hartford Multifactor REIT ETF, the Fund’s current low asset levels means that the Fund has achieved limited, if any, economies of scale.

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 management fee 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.


		82

Hartford Multifactor ETFs

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

Fund-by-Fund factors

Solely for purposes of theFund-by-Fund discussion below, the Board noted that Fund performance is referred to as “in line with” a Fund’s custom proprietary benchmark index where the Fund’s tracking difference relative to its custom proprietary benchmark index was within a range previously established by the Board.

Hartford Multifactor Developed Markets(ex-US) ETF

•

The Board noted that the Fund exceeded its tracking difference threshold for the1-year period but was in line with its custom proprietary benchmark index for the3-year period. The Board noted 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 considered the causes of the tracking difference for the Fund, noting that the Fund outperformed its custom proprietary index on a gross of fees basis.

•

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.

Hartford Multifactor Emerging Markets ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark index for the1- and3-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 also noted that the Fund will replace its custom proprietary benchmark index with a new custom proprietary benchmark index and considered that certain changes will be made to the Fund’s principal investment strategy.

•

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 expected to result from a permanent fee reduction, which will be implemented on September 11, 2019.

Hartford Multifactor Global Small Cap ETF

•

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. In considering the Fund’s expenses, the Board noted the shareholder savings expected to result from a permanent fee reduction, which will be implemented on November 6, 2019. The Board considered that the Fund’s expense group would change as a result of the upcoming changes to the Fund’s principal investment strategy and noted that the Fund’s revised contractual management fee and its expected total expenses and actual management fee are expected to be in the 2nd quintile of its new expense group.

Hartford Multifactor Low Volatility International Equity ETF

•

The Board noted that the Fund exceeded its tracking difference threshold for the1-year period but was in line with its custom proprietary benchmark index since the Fund’s inception. The Board noted 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 considered the causes of the tracking difference for the Fund, noting that the Fund outperformed its custom proprietary index on a gross of fees basis. The Board also noted that the Fund will replace its custom proprietary benchmark index with a new custom proprietary benchmark index and considered that certain changes will be made to the Fund’s principal investment strategy.

•

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.

Hartford Multifactor Low Volatility US Equity ETF

•

The Board noted that the Fund’s performance was in line with its custom proprietary benchmark index for the1-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, actual management fee and total expenses were in the 2nd quintile of its expense group.


		83

Hartford Multifactor ETFs

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

Hartford Multifactor REIT ETF

•

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

Hartford Multifactor US Equity ETF

•

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.

* * * *

Based upon its review of these various factors, among others, the Board concluded that it is in the best interests of each Fund 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.


		84

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;

ofPersonal Information.

This notice describes how we collect, disclose, and protectPersonal Information.

We collectPersonal Information to:

a) service yourTransactionswith us; and

b) support our business functions.

We may obtainPersonal Information from:

a)You;

b) yourTransactionswith us; and

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

Based on the type of product or serviceYou 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 serveYou and service our business, we may share certainPersonal Information. We will sharePersonal 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 sharePersonal Financial Information with our affiliates to:

a) market our products; or

b) market our services;

toYou without providingYou with an option to prevent these disclosures.

We may also sharePersonal 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 serveYou and service our business.

When allowed by law, we may share certainPersonal 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 pagesYou 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 yourPersonal Financial Information with anyone for purposes unrelated to our business functions without offeringYou the opportunity to:

a)“opt-out;” or

b)“opt-in;”

as required by law.

We only disclosePersonal Health Information with:

a) your authorization; or

b) as otherwise allowed or required by law.

Our employees have access toPersonal 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 protectPersonal 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; and

c) grant access to protected data only to those people who must use it in the performance of theirjob-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 regardingPersonal 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 Informationmay 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 identifiesYou 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) yourApplication;

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 usPersonal 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 2019), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations.

1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; Business Management Group, Inc.; Cervus Claim Solutions, LLC; First State Insurance Company; 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 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 Investment Management Company; Hartford Life and Accident Insurance 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 Specialty Insurance Services of Texas, LLC; Hartford STAG Ventures LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance 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.; 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.; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Renato Acquisition Co.; Sentinel Insurance Company, Ltd; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company;Y-Risk, LLC.

Revised March 2019

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 Lattice Strategies, LLC (Lattice) and Mellon Investments Corporation. Hartford Funds refers to Hartford Funds Distributors, LLC, Member FINRA, Hartford Funds Management Company, LLC, and Lattice, which are not affiliated with ALPS.

ETFAR-MLT19 11/19 213583 LAT001595_11/2020 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.

(b)

Not applicable.

(c)

There have been no amendments to the Registrant’s Code of Ethics during the reporting period for this FormN-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 David Sung as an Audit Committee Financial Expert. Mr. Sung 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; $112,000 for the fiscal year ended September 30, 2019.

(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, 2019. Audit-related services principally in connection with Rule17Ad-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; $85,817 for the fiscal year ended September 30, 2019.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, 2019.

(e)

Pre-Approval Policies and Procedures

(1) ThePre-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 bepre-approved. The following are some main provisions from the Policy.

The Audit Committee mustpre-approve all audit services andnon-audit services that the independent registered public accounting firm provides to the Fund.

The Audit Committee mustpre-approve any engagement of the independent registered public accounting firm to providenon-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 thenon-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting.

The Audit Committee shallpre-approve certainnon-audit services to the Fund and its Service Affiliates pursuant to procedures set forth in the Policy.

The Audit Committee, from time to time, may designate one or more of its members who are Independent Trustees (each a “Designated Member”) to consider, on the Audit Committee’s behalf, anynon-audit services, whether to the Fund or to any Service Affiliate, that have not beenpre-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 anynon-audit services previously approved. In considering any requestednon-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services.

The independent registered public accounting firm may not provide specified prohibitednon-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 nopre-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 Rule2-01 of RegulationS-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 bepre-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, 2019, 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, 2019, the aggregatenon-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s Adviser (not including anysub-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; $85,817 for the fiscal year ended September 30, 2019.

(h)

The registrant’s audit committee of the board of trustees has considered whether the provision ofnon-audit services that were rendered to the Registrant’s investment adviser (not including anysub-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 notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

(a)

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, Lynn S. Birdsong and David Sung.

(b)

Not applicable.

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 to shareholders filed under Item 1 of this Form.

(b)

Not applicable.

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

Not applicable.

Item 8. Portfolio Managers ofClosed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities byClosed-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 Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30a-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 Rule30a-3(b) under the 1940 Act (17 CFR270.30a-3(b)) and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR240.13a-15(b) or240.15d-15(b)).

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act (17 CFR270.30a-3(d)) that occurred during 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 forClosed-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 Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)) and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)		Not applicable.
(a)(4)		Change in Registrant’s Independent Public Accountant
(b)		Certifications pursuant to Rule30a-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 6, 2019	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 6, 2019	By:	/s/ James E. Davey
		James E. Davey
		President and
		Chief Executive Officer

Date: December 6, 2019	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)