Lattice Strategies Trust NCSRS Certified semi-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)

Corporation Service Company

251 Little Falls Drive

Wilmington, DE 19808

(Name and Address of Agent for Service)


	Copy to:
Thomas R. Phillips, Esquire		John V. O’Hanlon, Esq.
Hartford Funds Management Company,		Dechert LLP
LLC		One International Place, 40^thFloor
690 Lee Road		100 Oliver Street
Wayne, Pennsylvania 19087		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: March 31, 2020

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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

LOGO

Har t ford Multifactor ETFs Semi-Annual Report March 31, 2020 (Unaudited) Hartford Multifactor Developed Markets (ex-US) ETF Hartford Multifactor Diversified International ETF1 Hartford Multifactor Emerging Markets ETF Hartford Multifactor Low Volatility US Equity ETF Hartford Multifactor REIT ETF Hartford Multifactor Small Cap ETF2 Hartford Multifactor US Equity ETF 1 Formerly, Hartford Multifactor Low Volatility International Equity ETF 2 Formerly, Hartford Multifactor Global Small Cap 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 (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. If you previously elected to receive shareholder reports and other communications electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically anytime by contacting your financial intermediary.

LOGO

A MESSAGE FROM THE PRESIDENT

Dear Shareholders:

Thank you for investing in Hartford Multifactor Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report that covers the period from October 1, 2019 through March 31, 2020.

Market Review

During the six months ended March 31, 2020, U.S. stocks, as measured by the S&P 500 Index,¹ lost 12.31%. The results for the period clearly reflect the impact of the

coronavirus disease(COVID-19) pandemic on world economic growth and the virtual shutdown of economic activity stemming from the need for social distancing.

Prior to the initialCOVID-19 outbreak in China in early 2020, “normal” macro events dominated the headlines. The new United States-Mexico-Canada Agreement signed in early 2020 was seen as a potential positive for North American trade. Tensions around the U.S.-China trade dispute receded with the signing in January of a Phase One agreement on tariffs and trade reforms. In the U.S., investors appeared to take the impeachment trial of President Trump in stride.

But the rapid global spread of the novel coronavirus changed everything, resulting in extreme market volatility, widespread expectations of a global recession, and the official end of the longest bull market in U.S. economic history. Central banks around the world, including the U.S. Federal Reserve Board (Fed), moved quickly to ratchet down key interest rates in an effort to inject liquidity into the markets. On March 3, 2020, the Fed reduced its key interest rate by a full half-percent. Afollow-up reduction has left rates near zero. The Fed also embarked on $700 billion in new debt purchases.

As worldwideCOVID-19 infection rates and deaths mounted, Western governments, including the U.S., unveiled broad and extensive fiscal policy initiatives designed to encourage workers to stay home, help businesses avoid layoffs, and subsidize the struggling healthcare system’s efforts to combat the virus.

On March 6, 2020, a bipartisan bill creating a $7 billion disaster-assistance loan package for small businesses impacted byCOVID-19 was passed by the U.S. Congress and signed into law. Then, on March 27, 2020, a massive $2 trillion economic stimulus package – the largest fiscal rescue package in U.S. history – was enacted. The package provided, among other things, up to $400 billion in small business loans designed primarily to cover employee salaries, rent, paid leave, and other necessities. The law also provided direct cash assistance of up to $1,200 for the majority of individuals.

Needless to say, it’s impossible to know the full economic and social impact social distancing will have through a global pandemic of unknown duration. In this uncertain time, it’s more important than ever to maintain a strong relationship with your financial advisor.

Thank you again for investing in Hartford Exchange-Traded Funds. For the mostup-to-date information on our complete selection of exchange-traded funds, please take advantage of all the resources available at hartfordfunds.com.

LOGO

James Davey

President

Hartford Funds

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

Hartford Multifactor ETFs

Table of Contents



Fund Overview			2

Benchmark Glossary			9

Expense Examples			10

Financial Statements:

Schedules of Investments:

Hartford Multifactor Developed Markets (ex-US) ETF			11

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)			17

Hartford Multifactor Emerging Markets ETF			22

Hartford Multifactor Low Volatility US Equity ETF			26

Hartford Multifactor REIT ETF			30

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)			32

Hartford Multifactor US Equity ETF			37

Glossary			42

Statements of Assets and Liabilities			43

Statements of Operations			45

Statements of Changes in Net Assets			47

Financial Highlights			50

Notes to Financial Statements			53

How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records			68

Quarterly Portfolio Holdings Information			68

Hartford Multifactor Developed Markets (ex-US) ETF

Fund Overview

March 31, 2020 (Unaudited)

Inception 02/25/2015

(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.

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		5 Year		Since Inception²
Multifactor Developed Markets(ex-US) ETF (NAV Return)		-19.58%		-19.15%		0.34%		0.06%
Multifactor Developed Markets(ex-US) ETF (Market Price Return)		-19.99%		-19.46%		0.27%		0.02%
Hartford Risk-Optimized Multifactor Developed Markets(ex-US) Index		-19.53%		-19.11%		0.48%		0.21%
MSCI World ex USA Index (Net)		-17.23%		-14.89%		-0.76%		-1.06%

¹	Not Annualized

²	Inception: 02/25/2015

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 March 31, 2020.

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 in particular geographic regions or countries.•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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		8.9	%
Consumer Discretionary		10.2
Consumer Staples		10.7
Energy		3.3
Financials		18.9
Health Care		13.3
Industrials		12.1
Information Technology		4.9
Materials		4.6
Real Estate		5.6
Utilities		6.5

Total		99.0	%

Short-Term Investments		1.2
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.


		2

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Fund Overview

March 31, 2020 (Unaudited)

Inception 05/10/2017

(sub-advised by Mellon Investments Corporation)

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		Since Inception²
Multifactor Diversified International Equity ETF (NAV Return)		-22.76%		-20.94%		-4.52%
Multifactor Diversified International Equity ETF (Market Price Return)		-22.51%		-21.01%		-4.43%
Hartford Multifactor Diversified International Index³		-21.77%		—		-23.71%	⁵
Hartford Multifactor Diversified International Spliced Index⁴		-22.71%		-20.81%		-4.38%
MSCI ACWI ex USA Index (Net)		-16.52%		-15.57%		-3.32%

¹	Not Annualized

²	Inception: 05/10/2017

Effective 11/06/2019, the Fund changed its proprietary custom benchmark index to the Hartford Multifactor Diversified International Index from the Hartford Multifactor Low Volatility International Equity Index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s investment strategy.

⁴

The Hartford Multifactor Diversified International Spliced Index is calculated by Lattice. The returns for the Spliced Index from 11/06/2019 to 03/31/2020 represent the Hartford Multifactor Diversified International Index and returns prior to 11/06/2019 represent the Hartford Multifactor Low Volatility International Equity Index.

⁵	The Hartford Multifactor Diversified International Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

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.

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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		9.3	%
Consumer Discretionary		9.5
Consumer Staples		8.1
Energy		4.5
Financials		21.0
Health Care		12.5
Industrials		9.9
Information Technology		9.3
Materials		5.1
Real Estate		5.5
Utilities		4.6

Total		99.3	%

Short-Term Investments		1.1
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.


		3

Hartford Multifactor Emerging Markets ETF

Fund Overview

March 31, 2020 (Unaudited)

Inception 02/25/2015

(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.

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		5 Year		Since Inception²
Multifactor Emerging Markets ETF (NAV Return)		-23.31%		-26.21%		-5.19%		-5.53%
Multifactor Emerging Markets ETF (Market Price Return)		-24.15%		-27.49%		-5.51%		-5.81%
Hartford Multifactor Emerging Markets Equity Index		-23.25%		—		—		-27.63%	³
Hartford Multifactor Emerging Markets Equity Spliced Index⁴		-23.25%		-25.94%		-4.70%		-5.04%
MSCI Emerging Markets Index (Net)		-14.55%		-17.69%		-0.37%		-0.69%

¹	Not Annualized

²	Inception: 02/25/2015

³	Inception: 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

⁴

The performance of Hartford Multifactor Emerging Markets Equity Spliced Index reflects the performance of the Hartford Risk-Optimized Multifactor Emerging Markets Index through 09/11/2019, and the performance of the Hartford Multifactor Emerging Market Index for the period from 09/11/2019 though 03/31/2020.

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 was 0.44%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		11.1	%
Consumer Discretionary		12.7
Consumer Staples		6.5
Energy		6.0
Financials		23.9
Health Care		4.3
Industrials		5.4
Information Technology		16.0
Materials		7.0
Real Estate		2.6
Utilities		3.3

Total		98.8	%

Short-Term Investments		0.2
Other Assets & Liabilities		1.0

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.


		4

Hartford Multifactor Low Volatility US Equity ETF

Fund Overview

March 31, 2020 (Unaudited)

Inception 05/10/2017

(sub-advised by Mellon Investments Corporation)

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		Since Inception²
Multifactor Low Volatility US Equity ETF (NAV Return)		-20.67%		-13.85%		0.82%
Multifactor Low Volatility US Equity ETF (Market Price Return)		-20.84%		-13.95%		0.79%
Hartford Multifactor Low Volatility US Equity Index		-20.73%		-13.80%		0.99%
MSCI USA IMI (Gross)		-13.77%		-9.18%		3.60%

¹	Not Annualized

²	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 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		10.3	%
Consumer Discretionary		13.3
Consumer Staples		9.8
Energy		4.9
Financials		4.8
Health Care		10.1
Industrials		15.3
Information Technology		12.5
Materials		10.0
Real Estate		5.6
Utilities		3.2

Total		99.8	%

Short-Term Investments		0.4
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.


		5

Hartford Multifactor REIT ETF

Fund Overview

March 31, 2020 (Unaudited)

Inception 10/03/2016

(sub-advised by Mellon Investments Corporation)

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		Since Inception²
Multifactor REIT ETF (NAV Return)		-32.21%		-27.76%		-4.60%
Multifactor REIT ETF (Market Price Return)		-32.55%		-28.20%		-4.75%
Hartford Risk-Optimized Multifactor REIT Index		-32.33%		-27.70%		-4.27%
MSCI US REIT Index (Gross)		-27.56%		-20.99%		-2.66%

¹	Not Annualized

²	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 March 31, 2020.

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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Real Estate		99.3	%
Short-Term Investments		1.4
Other Assets & Liabilities		(0.7	)

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.


		6

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Fund Overview

March 31, 2020 (Unaudited)

Inception 03/23/2015

(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.

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		5 Year		Since Inception²
Multifactor Small Cap ETF (NAV Return)		-26.63%		-28.22%		-1.26%		-1.38%
Multifactor Small Cap ETF (Market Price Return)		-26.53%		-28.19%		-1.33%		-1.40%
Hartford Multifactor Small Cap Index³		-26.46%		—		—		-25.51%	⁵
Hartford Multifactor Small Cap Spliced Index⁴		-26.50%		-28.02%		-0.81%		-0.93%
Russell 2000 Index (Gross)		-23.72%		-23.99%		-0.25%		-0.42%
MSCI ACWI Small Cap Index (Net)		-23.39%		-23.07%		-0.49%		-0.67%

¹	Not Annualized

²	Inception: 03/23/2015

Effective 11/06/2019, the Fund changed its proprietary custom benchmark index from Hartford Risk-Optimized Multifactor Global Small Cap Index to Hartford Multifactor Small Cap Index and changed its underlying reference index because Lattice, the Fund’s investment adviser, believes that the new indices better reflect the Fund’s revised investment strategy.

⁴	The Hartford Multifactor Small Cap Spliced Index is calculated by Lattice. The returns for the Spliced Index from 11/06/2019 to 03/31/2020 represent the Hartford Multifactor Small Cap Index and returns prior 11/06/2019 represent the Hartford Risk-Optimized Multifactor Global Small Cap Index.

⁵	The Hartford Multifactor Small Cap Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

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 0.34%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

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.• 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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		2.8	%
Consumer Discretionary		11.9
Consumer Staples		7.6
Energy		1.8
Financials		15.0
Health Care		18.1
Industrials		14.4
Information Technology		15.4
Materials		5.2
Real Estate		5.9
Utilities		1.0

Total		99.1	%

Short-Term Investments		1.5
Other Assets & Liabilities		(0.6	)

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 US Equity ETF

Fund Overview

March 31, 2020 (Unaudited)

Inception 02/25/2015

(sub-advised by Mellon Investments Corporation)

Average Annual Total Returns

for the Periods Ending 03/31/20


	6 Months¹		1 Year		5 Year		Since Inception²
Multifactor US Equity ETF (NAV Return)		-18.11%		-13.74%		2.90%		2.77%
Multifactor US Equity ETF (Market Price Return)		-18.18%		-13.83%		2.86%		2.76%
Hartford Multifactor Large Cap Index		-18.08%		—		—		-16.10%	³
Hartford Multifactor Large Cap Spliced Index⁴		-18.08%		-13.64%		3.08%		2.94%
Russell 1000 Index (Gross)		-13.01%		-8.03%		6.22%		5.75%
MSCI USA Index (Gross)		-12.31%		-7.14%		6.55%		6.04%

¹	Not Annualized

²	Inception: 02/25/2015

³	The Hartford Multifactor Large Cap Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

⁴	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 though 03/31/2020.

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.

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 March 31, 2020


Sector	Percentage of Net Assets
Equity Securities
Communication Services		8.3	%
Consumer Discretionary		7.3
Consumer Staples		9.0
Energy		1.7
Financials		11.5
Health Care		17.4
Industrials		7.1
Information Technology		22.8
Materials		3.8
Real Estate		5.1
Utilities		5.7

Total		99.7	%

Short-Term Investments		1.9
Other Assets & Liabilities		(1.6	)

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.


		8

Hartford Multifactor ETFs

Benchmark Glossary (Unaudited)

Hartford Multifactor Diversified International Index seeks to enhance return potential available from investment in developed market (excluding the US) and emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.

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 Multifactor Small 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 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 Investable Market Index (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.

The Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is an index comprised of 2,000 of the smallest U.S.-domiciled company common stocks based on a combination of their market capitalization and current index membership.


		9

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 October 1, 2019 through March 31, 2020. 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 183/366 (to reflect the one-half year period).


	Actual Return						Hypothetical (5% return before expenses)
	Beginning Account Value October 1, 2019		Ending Account Value March 31, 2020		Expenses paid during the period October 1, 2019 through March 31, 2020		Beginning Account Value October 1, 2019		Ending Account Value March 31, 2020		Expenses paid during the period October 1, 2019 through March 31, 2020		Annualized expense ratio
Hartford Multifactor Developed Markets (ex-US) ETF

	$	1,000.00	$	804.20	$	1.31	$	1,000.00	$	1,023.55	$	1.47		0.29	%

Hartford Multifactor Diversified International ETF

	$	1,000.00	$	772.40	$	1.28	$	1,000.00	$	1,023.55	$	1.47		0.29	%

Hartford Multifactor Emerging Markets ETF

	$	1,000.00	$	766.90	$	1.94	$	1,000.00	$	1,022.80	$	2.23		0.44	%

Hartford Multifactor Low Volatility US Equity ETF

	$	1,000.00	$	793.30	$	0.85	$	1,000.00	$	1,024.05	$	0.96		0.19	%

Hartford Multifactor REIT ETF

	$	1,000.00	$	677.90	$	1.89	$	1,000.00	$	1,022.75	$	2.28		0.45	%

Hartford Multifactor Small Cap ETF

	$	1,000.00	$	733.70	$	1.52	$	1,000.00	$	1,023.25	$	1.77		0.35	%

Hartford Multifactor US Equity ETF

	$	1,000.00	$	818.90	$	0.86	$	1,000.00	$	1,024.05	$	0.96		0.19	%


		10

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0%
		Australia - 7.3%
	925,559	AGL Energy Ltd.	$	9,737,938
	248,277	Ansell Ltd.		4,131,737
	246,379	Australia & New Zealand Banking Group Ltd.		2,557,505
	610,877	Bendigo & Adelaide Bank Ltd.		2,344,274
	443,061	BHP Group Ltd.		7,858,668
	1,704,389	BlueScope Steel Ltd.		9,002,571
	553,266	Caltex Australia Ltd.		7,558,145
	298,025	CIMIC Group Ltd.		4,240,945
	1,058,288	Coca-Cola Amatil Ltd.		5,725,892
	45,840	Cochlear Ltd.		5,259,168
	269,071	Computershare Ltd.		1,599,091
	37,182	CSL Ltd.		6,751,621
	679,338	Dexus REIT		3,779,521
	751,975	Downer EDI Ltd.		1,371,534
	74,133	Flight Centre Travel Group Ltd.^(1)(2)(7)		404,683
	1,350,650	Fortescue Metals Group Ltd.		8,266,656
	1,472,991	GPT Group REIT		3,272,606
	282,208	JBHi-Fi Ltd.⁽¹⁾		4,836,313
	1,886,809	Link Administration Holdings Ltd.		3,730,074
	5,946	Macquarie Group Ltd.		312,066
	2,955,579	Mirvac Group REIT		3,780,732
	5,073,890	Qantas Airways Ltd.		10,030,685
	54,453	Ramsay Health Care Ltd.		1,909,026
	2,723,528	Scentre Group REIT		2,608,755
	327,285	Sonic Healthcare Ltd.		4,873,660
	234,949	Suncorp Group Ltd.		1,312,899
	3,274,868	Telstra Corp. Ltd.		6,153,457
	495,751	Wesfarmers Ltd.		10,398,357
	452,962	Woolworths Group Ltd.		9,730,965

				143,539,544

		Austria - 0.2%
	30,847	Oesterreichische Post AG		1,103,409
	49,282	OMV AG		1,360,519
	63,411	UNIQA Insurance Group AG		491,219

				2,955,147

		Belgium - 2.1%
	7,582	Ackermans & van Haaren N.V.		987,507
	288,725	Ageas		12,010,025
	109,879	Colruyt S.A.		5,940,227
	19,926	Elia Group S.A.		1,948,066
	27,685	KBC Ancora		778,876
	148,936	KBC Group N.V.		6,866,912
	343,409	Proximus SADP		7,863,934
	9,512	Sofina S.A.		1,939,203
	24,223	UCB S.A.		2,099,717

				40,434,467

		Canada - 10.3%
	186,700	Air Canada*		2,065,918
	60,121	Algonquin Power & Utilities Corp.		800,431
	284,839	Alimentation Couche-Tard, Inc. Class B		6,633,936
	323,714	AltaGas Ltd.		2,899,746
	89,232	Atco Ltd. Class I		2,443,089
	199,071	Bank of Montreal		9,938,515
	77,261	Bank of Nova Scotia		3,119,535
	170,618	Barrick Gold Corp.		3,099,857
	237,459	BCE, Inc.		9,631,158
	158,329	Canadian Apartment Properties REIT		4,737,578
	29,628	Canadian Imperial Bank of Commerce		1,706,886
	55,662	Canadian Tire Corp. Ltd. Class A		3,321,692
	150,140	Canadian Utilities Ltd. Class A		3,548,466
	153,671	Capital Power Corp.		2,931,231
	185,257	CGI, Inc.*		9,916,557
	60,173	Emera, Inc.		2,346,297


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		Canada - 10.3% - (continued)
	236,019	Empire Co., Ltd. Class A	$	4,565,007
	2,918	Fairfax Financial Holdings Ltd.		884,472
	31,597	Fortis, Inc.		1,204,742
	93,599	Genworth MI Canada, Inc.		2,056,304
	80,957	George Weston Ltd.		5,723,612
	328,988	Great-West Lifeco, Inc.		5,618,926
	38,209	Husky Energy, Inc.		95,029
	127,952	Hydro One Ltd.⁽³⁾		2,277,938
	136,355	iA Financial Corp., Inc.		4,238,132
	83,467	Imperial Oil Ltd.		932,982
	43,204	Intact Financial Corp.		3,691,926
	1,591,827	Kinross Gold Corp.*		6,318,771
	243,619	Loblaw Cos., Ltd.		12,417,577
	32,507	Magna International, Inc.		1,025,671
	554,604	Manulife Financial Corp.		6,885,062
	135,293	Metro, Inc.		5,409,439
	45,341	National Bank of Canada		1,732,601
	39,811	Northland Power, Inc.		785,675
	45,578	Onex Corp.		1,649,435
	33,269	Open Text Corp.		1,150,221
	264,077	Parkland Fuel Corp.		4,603,049
	588,545	Power Corp. of Canada⁽¹⁾		9,361,477
	192,496	Quebecor, Inc. Class B		4,207,363
	313,180	RioCan Real Estate Investment Trust REIT		3,549,087
	151,230	Rogers Communications, Inc. Class B		6,241,086
	120,096	Royal Bank of Canada		7,355,020
	88,375	Saputo, Inc.		2,101,107
	84,788	Shaw Communications, Inc. Class B		1,359,968
	139,641	Stantec, Inc.		3,531,862
	297,745	Sun Life Financial, Inc.		9,469,854
	128,845	Suncor Energy, Inc.		2,033,132
	19,532	TC Energy Corp.⁽¹⁾		858,346
	533,653	TELUS Corp.		8,342,136
	49,480	Toromont Industries Ltd.		2,143,143

				202,961,044

		China - 0.1%
	313,000	Kerry Logistics Network Ltd.		388,075
	3,508,500	Yangzijiang Shipbuilding Holdings Ltd.		2,045,198

				2,433,273

		Denmark - 2.5%
	7,946	Carlsberg A/S Class B		899,428
	43,369	Coloplast A/S Class B		6,291,591
	9,106	GN Store Nord A/S		406,776
	195,992	H. Lundbeck A/S		5,815,667
	201,952	ISS A/S		2,775,919
	278,009	Novo Nordisk A/S Class B		16,725,589
	56,179	Orsted A/S⁽³⁾		5,504,894
	168,590	Pandora A/S		5,476,051
	10,690	Rockwool International A/S Class B		1,933,405
	21,329	Royal Unibrew A/S		1,537,703
	31,871	Topdanmark A/S		1,284,063

				48,651,086

		Finland - 0.7%
	40,432	Elisa Oyj		2,505,680
	81,848	Kesko Oyj Class B		4,634,080
	10,163	Kone Oyj Class B		575,633
	74,957	Nordea Bank Abp		424,275
	46,300	Orion Oyj Class B		1,893,924
	52,937	Sampo Oyj Class A		1,546,227
	25,188	TietoEVRY Oyj		546,671
	32,382	Valmet Oyj		634,942

				12,761,432

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


		11

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		France - 6.1%
	399,748	AirFrance-KLM*⁽¹⁾	$	2,236,103
	107,734	Alstom S.A.		4,508,574
	29,015	Arkema S.A.		2,005,713
	132,013	AXA S.A.		2,286,913
	33,792	BioMerieux		3,804,232
	429,378	Bouygues S.A.		12,588,732
	109,916	Cie Generale des Etablissements Michelin SCA		9,776,272
	191,703	CNP Assurances		1,876,288
	15,363	Covivio REIT		865,610
	69,706	Credit Agricole S.A.		511,684
	97,870	Eiffage S.A.		6,926,519
	13,454	Eurazeo SE		607,030
	34,405	Faurecia SE		1,030,600
	31,392	Gecina S.A. REIT		4,157,498
	38,564	Ipsen S.A.		1,996,392
	61,100	Korian S.A.		1,895,948
	34,558	Nexity S.A.		1,062,484
	487,852	Orange S.A.		5,960,519
	704,553	Peugeot S.A.		9,404,409
	54,927	Rubis SCA		2,293,826
	113,130	Sanofi		9,947,934
	144,518	SCOR SE		3,184,134
	90,204	Societe BIC S.A.		5,032,949
	326,545	Societe Generale S.A.		5,499,213
	23,668	Sodexo S.A.		1,600,774
	645,236	Suez		6,567,273
	268,541	TOTAL S.A.⁽¹⁾		10,427,901
	59,661	Veolia Environnement S.A.		1,274,893

				119,330,417

		Germany - 4.7%
	51,413	Allianz SE		8,850,061
	211,715	Alstria Office AG REIT		3,029,249
	12,427	Carl Zeiss Meditec AG		1,204,699
	164,421	Covestro AG⁽³⁾		5,028,055
	470,750	Deutsche Lufthansa AG		4,422,535
	38,946	Deutsche Post AG		1,058,723
	581,090	Deutsche Telekom AG		7,532,621
	90,636	Fresenius SE & Co. KGaA		3,374,352
	47,195	Hannover Rueck SE		6,783,800
	7,953	HeidelbergCement AG		341,116
	99,477	Hella KGaA Hueck & Co.		2,899,055
	64,411	Hochtief AG		4,275,837
	25,446	LEG Immobilien AG		2,867,449
	137,515	Merck KgaA		14,126,171
	53,252	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		10,757,106
	17,772	Rheinmetall AG		1,249,191
	45,073	TAG Immobilien AG		892,193
	55,284	Talanx AG*		1,878,046
	2,415,233	Telefonica Deutschland Holding AG		5,986,611
	205,847	Uniper SE		5,079,720
	15,972	Vonovia SE		786,184

				92,422,774

		Hong Kong - 3.5%
	1,509,804	Cathay Pacific Airways Ltd.⁽¹⁾		1,616,764
	3,970,688	Champion REIT		2,397,505
	1,759,320	Chow Tai Fook Jewellery Group Ltd.		1,246,135
	392,000	CK Hutchison Holdings Ltd.		2,645,060
	103,980	CLP Holdings Ltd.		959,188
	516,333	Dairy Farm International Holdings Ltd.		2,375,132
	167,310	Hang Seng Bank Ltd.		2,860,129
	870,000	Henderson Land Development Co., Ltd.		3,316,841
	1,768,609	HK Electric Investments & HK Electric Investments Ltd.		1,702,231


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		Hong Kong - 3.5% - (continued)
	985,384	Hongkong Land Holdings Ltd.	$	3,695,190
	1,071,000	Hysan Development Co., Ltd.		3,482,073
	57,526	Jardine Matheson Holdings Ltd.		2,876,300
	53,785	Jardine Strategic Holdings Ltd.		1,194,027
	1,088,500	Kerry Properties Ltd.		2,871,902
	611,588	Link REIT		5,184,086
	428,800	Man Wah Holdings Ltd.		235,121
	3,201,000	New World Development Co., Ltd.		3,444,289
	747,000	NWS Holdings Ltd.		768,116
	3,934,575	PCCW Ltd.		2,167,572
	104,000	Power Assets Holdings Ltd.		621,915
	1,312,000	Sino Land Co., Ltd.		1,665,623
	933,000	SITC International Holdings Co., Ltd.		872,705
	187,000	Sun Hung Kai Properties Ltd.		2,465,701
	642,000	Swire Pacific Ltd. Class A		4,137,313
	882,200	Swire Properties Ltd.		2,481,255
	200,435	VTech Holdings Ltd.		1,449,429
	8,473,792	WH Group Ltd.⁽³⁾		7,926,175
	650,000	Xinyi Glass Holdings Ltd.		746,365
	787,111	Yue Yuen Industrial Holdings Ltd.		1,206,425

				68,610,567

		Ireland - 0.6%
	27,852	CRH plc		759,431
	69,681	ICON plc*		9,476,616
	16,837	Kerry Group plc Class A		1,943,508

				12,179,555

		Israel - 1.3%
	65,349	Bank Hapoalim BM		393,670
	950,129	Bank LeumiLe-Israel BM		5,264,393
	102,120	First International Bank Of Israel Ltd.		2,504,609
	44,053	Isracard Ltd.		118,369
	678,422	Israel Chemicals Ltd.		2,163,310
	1,875,593	Israel Discount Bank Ltd. Class A		5,567,210
	252,305	Mizrahi Tefahot Bank Ltd.		4,723,787
	38,340	Strauss Group Ltd.		1,002,544
	34,466	Taro Pharmaceutical Industries Ltd.*		2,109,319
	124,357	Tower Semiconductor Ltd.*		2,003,802

				25,851,013

		Italy - 2.8%
	1,573,512	A2A S.p.A.		1,956,166
	24,361	ACEA S.p.A.		387,052
	542,025	Assicurazioni Generali S.p.A.		7,380,688
	16,754	DiaSorin S.p.A.		2,218,868
	210,327	Enav S.p.A.⁽³⁾		925,895
	806,217	Enel S.p.A.		5,607,619
	711,026	Eni S.p.A.		7,193,200
	1,156,081	Hera S.p.A.		4,145,492
	970,377	Iren S.p.A.		2,395,680
	192,563	Italgas S.p.A.		1,054,125
	482,732	Mediobanca Banca di Credito Finanziario S.p.A.		2,663,220
	698,507	Poste Italiane S.p.A.⁽³⁾		5,916,894
	124,098	Recordati S.p.A.		5,247,860
	828,389	Unipol Gruppo S.p.A.		2,848,650
	1,767,548	UnipolSai Assicurazioni S.p.A.		4,344,352

				54,285,761

		Japan - 24.9%
	59,405	ABC-Mart, Inc.		2,976,991
	49,259	Aeon Co., Ltd.		1,094,644
	189,682	Alfresa Holdings Corp.		3,538,692
	137,741	ANA Holdings, Inc.		3,367,130
	212,088	Aozora Bank Ltd.		4,050,998
	144,394	Asahi Kasei Corp.		1,022,950
	1,081,465	Astellas Pharma, Inc.		16,739,642

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


		12

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		Japan - 24.9% - (continued)
	143,700	Azbil Corp.	$	3,732,433
	142,559	Bandai Namco Holdings, Inc.		6,920,955
	264,797	Bic Camera, Inc.		2,146,240
	319,693	Bridgestone Corp.		9,840,580
	406,900	Brother Industries Ltd.		6,234,196
	91,097	Canon Marketing Japan, Inc.		1,809,198
	294,203	Canon, Inc.		6,428,835
	89,782	Casio Computer Co., Ltd.		1,261,630
	341,537	Dai-ichi Life Holdings, Inc.		4,098,571
	66,700	Daiichikosho Co., Ltd.		1,780,026
	2,155,317	Daiwa Securities Group, Inc.		8,369,310
	242,020	FUJIFILM Holdings Corp.		12,193,477
	99,248	Fujitsu Ltd.		8,968,220
	354,000	Hakuhodo DY Holdings, Inc.		3,574,267
	560,200	Haseko Corp.		6,003,903
	16,093	Hikari Tsushin, Inc.		2,702,664
	854,078	Hino Motors Ltd.		4,596,539
	215,073	Hitachi Ltd.		6,261,632
	307,200	Honda Motor Co., Ltd.		6,914,881
	78,321	Hoya Corp.		6,674,570
	441,271	ITOCHU Corp.		9,166,321
	431,093	Japan Airlines Co., Ltd.		7,946,599
	322,881	Japan Post Holdings Co., Ltd.		2,529,392
	519,148	K’s Holdings Corp.		4,919,535
	247,800	Kajima Corp.		2,545,600
	51,449	Kaken Pharmaceutical Co., Ltd.		2,397,188
	614,851	KDDI Corp.		18,168,447
	66,700	Kewpie Corp.		1,335,174
	627,588	Konica Minolta, Inc.		2,552,092
	81,800	Kyowa Exeo Corp.		1,823,082
	266,600	Kyushu Railway Co.		7,655,597
	139,422	Lawson, Inc.		7,658,492
	223,600	Marubeni Corp.		1,116,395
	518,600	Mazda Motor Corp.		2,747,804
	1,787,300	Mebuki Financial Group, Inc.		3,642,314
	293,850	Medipal Holdings Corp.		5,492,930
	7,016	MEIJI Holdings Co., Ltd.		499,124
	8,300	Mitsubishi Corp.		176,179
	116,900	Mitsubishi Electric Corp.		1,445,616
	43,000	Mitsubishi Heavy Industries Ltd.		1,088,393
	533,876	Mitsubishi UFJ Lease & Finance Co., Ltd.		2,630,930
	62,500	Mitsui & Co., Ltd.		870,444
	158,917	NEC Corp.		5,807,305
	58,269	NH Foods Ltd.		2,032,169
	126,075	Nihon Kohden Corp.		4,741,462
	206,300	Nikon Corp.		1,907,159
	97,081	Nippo Corp.		2,140,269
	529,006	Nippon Telegraph & Telephone Corp.		12,620,582
	107,460	NTT Data Corp.		1,035,231
	490,724	NTT DOCOMO, Inc.		15,350,609
	260,500	Obayashi Corp.		2,234,477
	448,058	Olympus Corp.		6,482,948
	373,700	ORIX Corp.		4,501,847
	312,651	Osaka Gas Co., Ltd.		5,896,507
	105,004	Otsuka Holdings Co., Ltd.		4,115,344
	666,300	Panasonic Corp.		5,091,913
	249,366	Resona Holdings, Inc.		751,182
	149,069	Ricoh Co., Ltd.		1,096,390
	93,400	Sankyo Co., Ltd.		2,720,976
	220,600	Santen Pharmaceutical Co., Ltd.		3,796,719
	88,668	Sawai Pharmaceutical Co., Ltd.		4,739,145
	31,700	Secom Co., Ltd.		2,635,133
	611,400	Seiko Epson Corp.		6,626,261
	97,865	Sekisui Chemical Co., Ltd.		1,299,065
	500,248	Sekisui House Ltd.		8,269,117


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		Japan - 24.9% - (continued)
	225,089	Seven & i Holdings Co., Ltd.	$	7,456,054
	85,840	Shimamura Co., Ltd.		5,184,353
	549,028	Shimizu Corp.		4,297,426
	79,400	Shionogi & Co., Ltd.		3,910,609
	107,000	Ship Healthcare Holdings, Inc.		4,385,855
	527,058	Skylark Holdings Co., Ltd.		7,821,286
	41,600	Sompo Holdings, Inc.		1,288,211
	45,700	Sony Financial Holdings, Inc.		773,414
	70,100	Square Enix Holdings Co., Ltd.		3,133,088
	515,293	Subaru Corp.		9,897,272
	89,017	Sugi Holdings Co., Ltd.		4,757,798
	381,001	Sumitomo Dainippon Pharma Co., Ltd.		4,951,548
	445,000	Sumitomo Electric Industries Ltd.		4,690,936
	233,729	Sumitomo Forestry Co., Ltd.		2,998,607
	6,600	Sumitomo Mitsui Trust Holdings, Inc.		190,991
	249,900	Sumitomo Rubber Industries Ltd.		2,358,836
	89,200	Sundrug Co., Ltd.		2,858,895
	13,207	Suntory Beverage & Food Ltd.		499,751
	123,482	Suzuken Co., Ltd.		4,500,965
	63,900	Taisei Corp.		1,956,273
	177,300	Teijin Ltd.		3,005,502
	10,200	Terumo Corp.		351,480
	115,111	Toho Gas Co., Ltd.		5,224,806
	220,000	Tokio Marine Holdings, Inc.		10,087,536
	228,700	Tokyo Electric Power Co. Holdings, Inc.*		798,665
	360,496	Tokyo Gas Co., Ltd.		8,535,295
	246,572	Toppan Printing Co., Ltd.		3,782,347
	176,200	Tosoh Corp.		2,007,559
	37,919	Toyo Suisan Kaisha Ltd.		1,833,516
	169,300	Toyota Boshoku Corp.		2,018,333
	94,700	TS Tech Co., Ltd.		2,243,922
	104,347	Tsumura & Co.		2,660,024
	52,500	Tsuruha Holdings, Inc.		6,934,834
	88,989	TV Asahi Holdings Corp.		1,345,283
	111,400	Welcia Holdings Co., Ltd.		7,790,931
	60,449	West Japan Railway Co.		4,141,363
	487,657	Yamada Denki Co., Ltd.		1,946,924
	191,746	Yamaha Motor Co., Ltd.		2,321,449
	248,480	Yamazaki Baking Co., Ltd.		5,194,936
	234,308	Z Holdings Corp		755,307
	59,253	Zensho Holdings Co., Ltd.		1,131,216

				489,626,028

		Luxembourg - 0.3%
	104,586	Grand City Properties S.A.		2,198,745
	406,951	L’Occitane International S.A.		593,292
	111,185	RTL Group S.A.		3,747,772

				6,539,809

		Netherlands - 4.0%
	83,434	Aalberts N.V.		1,981,098
	280,017	Aegon N.V.		710,974
	813,431	Altice N.V. Class A*		3,151,550
	235,140	ASR Nederland N.V.		5,923,851
	97,568	GrandVision N.V.⁽¹⁾⁽³⁾		2,669,990
	922,775	ING Groep N.V.		4,841,342
	714,355	Koninklijke Ahold Delhaize N.V.		16,683,743
	68,197	Koninklijke DSM N.V.		7,744,821
	464,608	NN Group N.V.		12,540,866
	230,948	Randstad N.V.		8,152,128
	520,927	Royal Dutch Shell plc Class A		9,165,655
	277,276	Signify N.V.⁽³⁾		5,382,027
	2,607	Wolters Kluwer N.V.		183,589

				79,131,634

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


		13

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		New Zealand - 0.6%
	108,561	Contact Energy Ltd.	$	370,716
	101,245	EBOS Group Ltd.		1,338,515
	298,022	Fisher & Paykel Healthcare Corp. Ltd. Class C		5,367,611
	476,397	Fletcher Building Ltd.		988,512
	16,190	Mainfreight Ltd.		331,619
	475,343	Mercury NZ Ltd.		1,189,226
	115,485	Meridian Energy Ltd.		276,600
	498,863	Spark New Zealand Ltd.*⁽¹⁾		1,221,317

				11,084,116

		Norway - 1.3%
	98,152	Austevoll Seafood ASA		690,737
	559,423	Equinor ASA		6,986,794
	224,027	Leroy Seafood Group ASA		1,091,014
	201,213	Marine Harvest ASA		3,039,943
	788,810	Orkla ASA		6,686,970
	113,055	Salmar ASA		3,740,149
	24,291	SpareBank 1SR-Bank ASA		136,942
	383,939	Storebrand ASA		1,526,469
	127,234	Telenor ASA		1,840,477

				25,739,495

		Portugal - 0.4%
	723,873	Galp Energia SGPS S.A.		8,256,436

		Russia - 1.0%
	1,487,794	Evraz plc		4,272,535
	261,867	Polymetal International plc		4,479,264
	3,956,921	VEON Ltd.		5,974,951
	158,645	X5 Retail Group N.V. GDR		4,283,415

				19,010,165

		Singapore - 1.7%
	3,740,498	ComfortDelGro Corp. Ltd.		3,993,087
	371,204	DBS Group Holdings Ltd.		4,841,281
	7,675,400	Mapletree Commercial Trust REIT		9,864,791
	2,079,300	Mapletree North Asia Commercial Trust REIT		1,175,571
	503,380	Oversea-Chinese Banking Corp. Ltd.		3,054,537
	767,711	SATS Ltd.		1,703,808
	571,288	Singapore Airlines Ltd.		2,303,047
	731,500	Singapore Telecommunications Ltd.		1,305,456
	483,700	Venture Corp. Ltd.		4,609,902

				32,851,480

		Spain - 2.3%
	35,660	Acciona S.A.		3,809,106
	327,705	ACS Actividades de Construccion y Servicios S.A.		6,405,819
	575,872	Banco Bilbao Vizcaya Argentaria S.A.		1,842,234
	468,641	Bankinter S.A.		1,719,540
	90,245	Bolsas y Mercados Espanoles SHMSF S.A.		3,273,646
	35,047	Ebro Foods S.A.		715,654
	144,343	Enagas S.A.		2,865,893
	418,683	Endesa S.A.		8,944,520
	139,587	Iberdrola S.A.		1,376,006
	339,858	Inmobiliaria Colonial Socimi S.A.		3,220,072
	699,437	Mapfre S.A.⁽¹⁾		1,194,548
	361,254	Merlin Properties Socimi S.A. REIT		2,723,172
	64,992	Red Electrica Corp. S.A.		1,167,029
	293,401	Repsol S.A.		2,682,357
	286,923	Telefonica S.A.		1,313,928
	25,939	Viscofan S.A.		1,418,525

				44,672,049

		Sweden - 2.8%
	65,930	Atrium Ljungberg AB Class B		1,030,104
	125,598	Axfood AB		2,563,251
	242,816	Castellum AB		4,117,312
	69,788	Electrolux AB Class B		872,024


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		Sweden - 2.8% - (continued)
	72,108	Electrolux Professional AB Class B*	$	207,422
	153,812	Fastighets AB Balder Class B*		5,542,243
	193,184	Hennes & Mauritz AB Class B⁽¹⁾		2,495,791
	167,064	ICA Gruppen AB		7,046,645
	80,576	Industrivarden AB Class A		1,574,484
	88,462	Investor AB Class B		4,081,268
	74,036	L E Lundbergforetagen AB Class B		3,042,831
	101,431	Loomis AB Class B		2,067,994
	222,229	Peab AB Class B		1,607,104
	453,526	Securitas AB Class B		4,918,535
	215,542	Skanska AB Class B*		3,294,795
	90,323	Svenska Handelsbanken AB Class A*		757,941
	617,790	Swedbank AB Class A⁽¹⁾		6,912,000
	494,593	Telia Co., AB		1,782,146
	33,092	Volvo AB Class B		399,134
	61,302	Wihlborgs Fastigheter AB		855,705

				55,168,729

		Switzerland - 6.6%
	167,823	Adecco Group AG		6,615,440
	79,611	Baloise Holding AG		10,441,461
	2,417	Banque Cantonale Vaudoise		1,983,461
	10,721	Bucher Industries AG		2,845,489
	22	Chocoladefabriken Lindt & Spruengli AG		1,919,074
	204,271	Credit Suisse Group AG*		1,688,975
	41,570	Helvetia Holding AG		3,578,917
	64,315	Julius Baer Group Ltd.		2,195,571
	65,980	Kuehne + Nagel International AG		9,059,421
	47,811	Nestle S.A.		4,914,272
	67,127	Novartis AG		5,539,859
	40,117	PSP Swiss Property AG		5,004,519
	50,850	Roche Holding AG		16,505,031
	884	SGS S.A.		2,048,399
	18,494	Sonova Holding AG		3,333,527
	55,225	Sunrise Communications Group AG*⁽³⁾		4,446,310
	35,984	Swiss Life Holding AG		12,250,664
	27,750	Swiss Prime Site AG		2,717,495
	94,935	Swiss Re AG		7,315,750
	20,502	Swisscom AG⁽¹⁾		11,022,831
	41,331	Zurich Insurance Group AG		14,669,077

				130,095,543

		United Kingdom - 10.9%
	392,421	3i Group plc		3,854,707
	192,859	Anglo American plc		3,387,116
	62,313	Ashtead Group plc		1,364,114
	96,434	AstraZeneca plc		8,628,414
	105,686	Auto Trader Group plc⁽³⁾		575,420
	348,999	Babcock International Group plc		1,658,265
	455,598	Barratt Developments plc		2,491,292
	199,060	Bellway plc		5,321,536
	39,050	Berkeley Group Holdings plc		1,750,385
	1,117,355	BP plc		4,768,769
	151,999	Britvic plc		1,322,125
	4,179,293	BT Group plc		6,109,714
	2,292,646	Capita plc*		929,869
	4,405,379	Centrica plc		2,080,101
	220,036	Close Brothers Group plc		3,088,477
	19,222	Coca-Cola European Partners plc		730,815
	93,342	Compass Group plc		1,462,946
	1,882,701	ConvaTec Group plc⁽³⁾		4,353,760
	304,559	Dart Group plc		2,080,785
	11,353	Diageo plc		364,106
	190,624	Dialog Semiconductor plc*		5,153,758
	2,767,655	Direct Line Insurance Group plc		10,154,561
	220,549	Electrocomponents plc		1,411,651

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


		14

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.0% - (continued)
		United Kingdom - 10.9% - (continued)
	106,181	Ferguson plc	$	6,656,687
	528,256	Fiat Chrysler Automobiles N.V.⁽¹⁾		3,798,161
	489,985	Frasers Group plc*		1,109,399
	521,097	GlaxoSmithKline plc		9,786,351
	247,776	Hikma Pharmaceuticals plc		6,252,129
	801,687	Howden Joinery Group plc		5,089,546
	566,417	HSBC Holdings plc		3,190,329
	125,459	IMI plc		1,162,677
	1,512,400	ITV plc		1,238,074
	1,972,373	Kingfisher plc		3,519,282
	4,150,823	Legal & General Group plc		9,977,099
	251,222	Mondi plc		4,301,853
	461,129	National Grid plc		5,412,441
	118,375	Pennon Group plc		1,593,287
	53,919	Persimmon plc		1,281,312
	679,660	Redrow plc		3,029,667
	235,833	Rio Tinto plc		10,873,681
	3,062,487	Royal Mail plc		4,754,259
	598,073	RSA Insurance Group plc		3,117,605
	101,132	Segro plc REIT		958,046
	725,304	Smith & Nephew plc		12,901,044
	519,101	SSE plc		8,399,755
	679,645	Tate & Lyle plc		5,528,282
	778,463	Taylor Wimpey plc		1,134,175
	126,229	Travis Perkins plc		1,381,425
	1,159,249	Tritax Big Box plc REIT		1,612,775
	271,158	Unilever N.V.		13,330,752
	150,795	WH Smith plc		2,133,422
	2,124,998	WM Morrison Supermarkets plc		4,690,107
	516,780	WPP plc		3,533,269

				214,789,577


		Total Common Stocks (cost $2,320,840,612)	$	1,943,381,141


SHORT-TERM INVESTMENTS - 1.2%
		Securities Lending Collateral - 1.1%
	1,035,079	Citibank NA DDCA, 0.08%, 4/1/2020⁽⁴⁾		1,035,079
	11,094,863	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽⁴⁾		11,094,863
	2,203,615	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽⁴⁾		2,203,615
	6,333,175	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽⁴⁾		6,333,175

				20,666,732


Shares or Principal Amount			Market Value^†

SHORT-TERM INVESTMENTS - 1.2% - (continued)
		U.S. Treasury - 0.1%
	1,276,000	0.08%, 02/25/2021⁽⁵⁾⁽⁶⁾	$	1,274,778
	1,159,000	0.28%, 06/18/2020⁽⁵⁾⁽⁶⁾		1,158,767

				2,433,545


		Total Short-Term Investments (cost $23,100,201)	$	23,100,277



Total Investments (cost $2,343,940,813)	100.2	%	$	1,966,481,418
Other Assets and Liabilities	(0.2	)%		(3,815,464	)

Total Net Assets	100.0	%	$	1,962,665,954

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⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

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 March 31, 2020, the aggregate fair value of this security was $404,683, which represented 0.0% 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.

⁽³⁾

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 March 31, 2020, the aggregate value of these securities was $45,007,358, representing 2.3% of net assets.

⁽⁴⁾	Current yield as of period end.

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

⁽⁶⁾	All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2020, the market value of securities pledged was $2,433,545.

⁽⁷⁾	Investment valued using significant unobservable inputs.

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


		15

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Futures Contracts Outstanding at March 31, 2020
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
EAFE (mini MSCI) Index Future		232		06/19/2020	$	18,087,880	$	1,129,525

Total futures contracts							$	1,129,525

^†	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 March 31, 2020 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	143,539,544	$	143,134,861	$	—	$	404,683
Austria		2,955,147		2,955,147		—		—
Belgium		40,434,467		40,434,467		—		—
Canada		202,961,044		202,961,044		—		—
China		2,433,273		2,433,273		—		—
Denmark		48,651,086		48,651,086		—		—
Finland		12,761,432		12,761,432		—		—
France		119,330,417		119,330,417		—		—
Germany		92,422,774		92,422,774		—		—
Hong Kong		68,610,567		68,610,567		—		—
Ireland		12,179,555		12,179,555		—		—
Israel		25,851,013		25,851,013		—		—
Italy		54,285,761		54,285,761		—		—
Japan		489,626,028		489,626,028		—		—
Luxembourg		6,539,809		6,539,809		—		—
Netherlands		79,131,634		79,131,634		—		—
New Zealand		11,084,116		11,084,116		—		—
Norway		25,739,495		25,739,495		—		—
Portugal		8,256,436		8,256,436		—		—
Russia		19,010,165		19,010,165		—		—
Singapore		32,851,480		32,851,480		—		—
Spain		44,672,049		44,672,049		—		—
Sweden		55,168,729		55,168,729		—		—
Switzerland		130,095,543		130,095,543		—		—
United Kingdom		214,789,577		214,789,577		—		—
Short-Term Investments		23,100,277		20,666,732		2,433,545		—
Futures Contracts⁽²⁾		1,129,525		1,129,525		—		—

Total	$	1,967,610,943	$	1,964,772,715	$	2,433,545	$	404,683

⁽¹⁾	For thesix-month period ended March 31, 2020, 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 period ended March 31, 2020 is not presented.

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


		16

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5%
		Australia - 6.2%
	2,410	AGL Energy Ltd.	$	25,356
	315	Australia & New Zealand Banking Group Ltd.		3,270
	1,188	BHP Group Ltd.		21,072
	5,829	BlueScope Steel Ltd.		30,789
	240	Caltex Australia Ltd.		3,279
	1,218	CIMIC Group Ltd.		17,332
	941	Coca-Cola Amatil Ltd.		5,091
	10	CSL Ltd.		1,816
	654	Dexus REIT		3,639
	3,853	Fortescue Metals Group Ltd.		23,582
	2,504	GPT Group REIT		5,563
	1,068	JBHi-Fi Ltd.		18,303
	5,187	Link Administration Holdings Ltd.		10,254
	7,293	Mirvac Group REIT		9,329
	11,022	Qantas Airways Ltd.		21,790
	3,958	Scentre Group REIT		3,791
	930	Wesfarmers Ltd.		19,507
	1,266	Woolworths Group Ltd.		27,197

				250,960

		Austria - 0.1%
	100	OMV AG		2,761

		Belgium - 2.2%
	821	Ageas		34,151
	258	Colruyt S.A.		13,948
	455	KBC Group N.V.		20,978
	866	Proximus SADP		19,831

				88,908

		Brazil - 0.2%
	1,300	Qualicorp Consultoria e Corretora de Seguros S.A.		5,915

		Canada - 6.0%
	434	Air Canada^*		4,802
	418	Alimentation Couche-Tard, Inc. Class B		9,735
	395	AltaGas Ltd.		3,538
	454	Atco Ltd. Class I		12,430
	496	Bank of Montreal		24,762
	156	Canadian Apartment Properties REIT		4,668
	83	Canadian Utilities Ltd. Class A		1,962
	64	Capital Power Corp.		1,221
	172	CGI, Inc.*		9,207
	982	Empire Co., Ltd. Class A		18,994
	1,153	Great-West Lifeco, Inc.		19,693
	261	iA Financial Corp., Inc.		8,112
	378	Loblaw Cos., Ltd.		19,267
	2,125	Manulife Financial Corp.		26,381
	721	Parkland Fuel Corp.		12,568
	2,053	Power Corp. of Canada⁽¹⁾		32,655
	287	RioCan Real Estate Investment Trust REIT		3,252
	269	Royal Bank of Canada		16,474
	413	Sun Life Financial, Inc.		13,136
	199	Suncor Energy, Inc.		3,140

				245,997

		Chile - 1.5%
	23,355	Cencosud S.A.		24,391
	680	Cia Cervecerias Unidas S.A.		4,683
	252,518	Enel Americas S.A.		30,990

				60,064

		China - 7.4%
	76,000	Bank of China Ltd. Class H		29,122
	25,000	China Everbright Bank Co., Ltd. Class H		9,580


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		China - 7.4% - (continued)
	15,000	China Life Insurance Co., Ltd. Class H	$	29,377
	15,000	China Medical System Holdings Ltd.		16,237
	10,500	China Minsheng Banking Corp. Ltd. Class H		7,803
	118,000	China Telecom Corp. Ltd. Class H		35,776
	26,000	Dongfeng Motor Group Co., Ltd. Class H		17,141
	34,000	Great Wall Motor Co., Ltd. Class H		21,801
	6,000	Industrial & Commercial Bank of China Ltd. Class H		4,110
	44,000	People’s Insurance Co., Group of China Ltd. Class H		14,533
	28,000	PICC Property & Casualty Co., Ltd. Class H		27,094
	1,500	Ping An Insurance Group Co. of China Ltd. Class H		14,737
	13,600	Sinopharm Group Co., Ltd. Class H		30,601
	1,000	TravelSky Technology Ltd. Class H		1,765
	25,000	Weichai Power Co., Ltd. Class H		40,253
	1,200	Zhuzhou CRRC Times Electric Co., Ltd. Class H		3,553

				303,483

		Denmark - 1.3%
	4	Coloplast A/S Class B		580
	778	Novo Nordisk A/S Class B		46,806
	12	Orsted A/S⁽²⁾		1,176
	112	Pandora A/S		3,638

				52,200

		Finland - 0.0%
	177	Nordea Bank Abp		1,002

		France - 3.6%
	292	AXA S.A.		5,058
	1,202	Bouygues S.A.		35,241
	180	Cie Generale des Etablissements Michelin SCA		16,010
	89	Eiffage S.A.		6,299
	47	Gecina S.A. REIT		6,224
	322	Orange S.A.		3,934
	1,151	Peugeot S.A.		15,364
	231	Sanofi		20,313
	796	Societe Generale S.A.		13,405
	677	TOTAL S.A.⁽¹⁾		26,289

				148,137

		Germany - 2.8%
	147	Allianz SE		25,304
	7	Covestro AG⁽²⁾		214
	658	Deutsche Telekom AG		8,530
	384	Merck KgaA		39,446
	121	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		24,442
	429	Talanx AG*		14,574
	124	Uniper SE		3,060

				115,570

		Hong Kong - 3.5%
	34,000	Champion REIT		20,529
	133	China Mobile Ltd.		989
	8,000	China Resources Cement Holdings Ltd.		9,547
	2,000	Henderson Land Development Co., Ltd.		7,625
	1,000	Hongkong Land Holdings Ltd.		3,750
	1,800	Link REIT		15,258
	2,000	Luk Fook Holdings International Ltd.		4,031
	8,000	New World Development Co., Ltd.		8,608
	7,500	Stella International Holdings Ltd.		7,886
	1,500	Sun Hung Kai Properties Ltd.		19,778
	1,000	Swire Pacific Ltd. Class A		6,444
	4,100	VTech Holdings Ltd.		29,649

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


		17

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		Hong Kong - 3.5% - (continued)
	3,500	WH Group Ltd.⁽²⁾	$	3,274
	3,500	Yue Yuen Industrial Holdings Ltd.		5,365

				142,733

		India - 0.3%
	300	Dr. Reddy’s Laboratories Ltd. ADR		12,099

		Indonesia - 2.0%
	317,200	Adaro Energy Tbk PT		19,254
	13,400	Astra International Tbk PT		3,204
	39,900	Bank Negara Indonesia Persero Tbk PT		9,345
	43,400	Indofood Sukses Makmur Tbk PT		16,897
	34,200	Kalbe Farma Tbk PT		2,516
	91,500	Matahari Department Store Tbk PT		7,489
	104,400	Perusahaan Gas Negara Persero Tbk PT		4,961
	82,200	Telekomunikasi Indonesia Persero Tbk PT		15,926
	3,700	United Tractors Tbk PT		3,834

				83,426

		Ireland - 0.2%
	180	CRH plc		4,908
	14	ICON plc*		1,904

				6,812

		Israel - 2.1%
	162	Airport City Ltd.*		2,381
	281	Gazit-Globe Ltd.		2,161
	2,826	Israel Discount Bank Ltd. Class A		8,388
	226	Mizrahi Tefahot Bank Ltd.		4,231
	16,394	Oil Refineries Ltd.		4,500
	102	Paz Oil Co., Ltd.		8,604
	231	Rami Levy Chain Stores Hashikma Marketing Ltd.		12,825
	121	Reit 1 Ltd. REIT		591
	2,013	Sella Capital Real Estate Ltd. REIT		4,097
	294	Shikun & Binui Ltd.		1,022
	477	Taro Pharmaceutical Industries Ltd.*		29,193
	407	Tower Semiconductor Ltd.*		6,558

				84,551

		Italy - 2.5%
	800	Assicurazioni Generali S.p.A.		10,893
	4,044	Enel S.p.A.		28,128
	1,240	Eni S.p.A.		12,545
	1,770	Intesa Sanpaolo S.p.A.		2,891
	4,964	Unipol Gruppo S.p.A.		17,070
	12,926	UnipolSai Assicurazioni S.p.A.		31,770

				103,297

		Japan - 17.8%
	3,100	Astellas Pharma, Inc.		47,984
	500	Bridgestone Corp.		15,391
	2,000	Brother Industries Ltd.		30,642
	700	Canon, Inc.		15,296
	500	Dai-ichi Life Holdings, Inc.		6,000
	3,700	Daiwa Securities Group, Inc.		14,367
	100	FUJIFILM Holdings Corp.		5,038
	300	Fujitsu Ltd.		27,109
	1,300	Haseko Corp.		13,933
	2,100	Hazama Ando Corp.		13,403
	300	Hino Motors Ltd.		1,615
	1,000	Hitachi Ltd.		29,114
	900	Honda Motor Co., Ltd.		20,258
	200	Hoya Corp.		17,044
	1,500	ITOCHU Corp.		31,159
	700	Japan Airlines Co., Ltd.		12,904
	2,900	K’s Holdings Corp.		27,481


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		Japan - 17.8% - (continued)
	200	Kajima Corp.	$	2,055
	400	Kaken Pharmaceutical Co., Ltd.		18,637
	1,700	KDDI Corp.		50,234
	1,000	Mazda Motor Corp.		5,298
	1,800	Mebuki Financial Group, Inc.		3,668
	700	Mitsubishi Electric Corp.		8,656
	400	NEC Corp.		14,617
	1,300	Nippon Telegraph & Telephone Corp.		31,014
	1,100	NTT DOCOMO, Inc.		34,410
	500	Olympus Corp.		7,234
	1,300	ORIX Corp.		15,661
	700	Osaka Gas Co., Ltd.		13,202
	2,600	Panasonic Corp.		19,869
	400	Sawai Pharmaceutical Co., Ltd.		21,379
	1,400	Seiko Epson Corp.		15,173
	700	Sekisui House Ltd.		11,571
	600	Seven & i Holdings Co., Ltd.		19,875
	900	Shimizu Corp.		7,045
	200	Ship Healthcare Holdings, Inc.		8,198
	1,000	Subaru Corp.		19,207
	400	Sumitomo Electric Industries Ltd.		4,217
	700	Tokio Marine Holdings, Inc.		32,097
	1,000	Tokyo Electric Power Co. Holdings, Inc.*		3,492
	700	Tokyo Gas Co., Ltd.		16,574
	500	Toppan Printing Co., Ltd.		7,670
	500	Yamaha Motor Co., Ltd.		6,053

				725,844

		Luxembourg - 0.2%
	206	RTL Group S.A.		6,944
	200	Ternium S.A. ADR		2,380

				9,324

		Malaysia - 2.6%
	28,400	BerMaz Auto Bhd		7,429
	300	Carlsberg Brewery Malaysia Bhd Class B		1,736
	17,700	CIMB Group Holdings Bhd		14,750
	8,300	DiGi.Com Bhd		8,358
	2,800	Dufu Technology Corp. Bhd		2,132
	12,600	Malayan Banking Bhd		21,729
	12,700	Petronas Chemicals Group Bhd		14,846
	1,300	Petronas Gas Bhd		4,634
	26,100	RHB Bank Bhd		28,336

				103,950

		Mexico - 0.6%
	3,600	America Movil S.A.B. de C.V. Class L		2,164
	5,700	Coca-Cola Femsa S.A.B. de C.V.		23,078

				25,242

		Netherlands - 3.3%
	3,328	ING Groep N.V.		17,460
	1,714	Koninklijke Ahold Delhaize N.V.		40,030
	74	Koninklijke DSM N.V.		8,404
	459	NN Group N.V.		12,390
	668	Randstad N.V.		23,579
	1,914	Royal Dutch Shell plc Class A		33,677

				135,540

		New Zealand - 1.7%
	10,770	Air New Zealand Ltd.		5,427
	1,922	Fisher & Paykel Healthcare Corp. Ltd. Class C		34,617
	6,006	Goodman Property Trust REIT		7,637
	8,208	Spark New Zealand Ltd.*		20,095

				67,776

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


		18

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		Norway - 1.8%
	144	Austevoll Seafood ASA	$	1,013
	202	Bonheur ASA		2,905
	303	Entra ASA⁽²⁾		3,578
	1,608	Equinor ASA		20,083
	583	Marine Harvest ASA		8,808
	1,987	Orkla ASA		16,844
	120	Salmar ASA		3,970
	584	SpareBank 1 SMN		3,760
	1,417	Veidekke ASA		11,760

				72,721

		Philippines - 0.9%
	1,800	BDO Unibank, Inc.		3,663
	445	Globe Telecom, Inc.		16,886
	1,040	Metropolitan Bank & Trust Co.		818
	675	PLDT, Inc.		14,984

				36,351

		Poland - 0.2%
	714	Asseco Poland S.A.		9,970

		Portugal - 0.3%
	1,223	Galp Energia SGPS S.A.		13,949

		Russia - 0.2%
	250	Gazprom Neft PJSC ADR		4,890
	1,142	Surgutneftegas PJSC ADR		4,883

				9,773

		Singapore - 0.8%
	8,700	ComfortDelGro Corp. Ltd.		9,287
	17,700	Mapletree Commercial Trust REIT		22,749
	700	Mapletree North Asia Commercial Trust REIT		396

				32,432

		South Korea - 5.5%
	466	BNK Financial Group, Inc.		1,698
	124	Chongkundang Holdings Corp.		10,746
	159	Daesang Corp.		2,214
	239	DongKook Pharmaceutical Co., Ltd.		15,255
	85	GS Home Shopping, Inc.		7,401
	136	Handsome Co., Ltd.		2,173
	160	Huons Co., Ltd.		5,993
	93	Hyundai Home Shopping Network Corp.		4,408
	473	KEPCO Plant Service & Engineering Co., Ltd.		11,287
	593	Kia Motors Corp.		12,665
	1,732	Korean Reinsurance Co.		10,386
	185	LF Corp.		1,634
	110	LG Electronics, Inc.		4,355
	3,555	LG Uplus Corp.		31,539
	289	Neowiz*		4,107
	1,692	Power Logics Co., Ltd.		9,201
	119	S-1 Corp.		7,820
	923	Samsung Electronics Co., Ltd.		36,204
	74	SFA Engineering Corp.		1,900
	179	SK Hynix, Inc.		12,249
	99	SK Telecom Co., Ltd.		14,395
	77	Spigen Korea Co., Ltd.		2,094
	168	Woongjin Coway Co., Ltd.		7,977
	3,980	Woongjin Thinkbig Co., Ltd.		8,010

				225,711

		Spain - 0.5%
	270	ACS Actividades de Construccion y Servicios S.A.		5,278
	386	Endesa S.A.		8,246


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		Spain - 0.5% - (continued)
	239	Iberdrola S.A.	$	2,356
	521	Merlin Properties Socimi S.A. REIT		3,928

				19,808

		Sweden - 1.2%
	539	Castellum AB		9,139
	459	Fastighets AB Balder Class B*		16,539
	819	Hennes & Mauritz AB Class B⁽¹⁾		10,581
	219	Investor AB Class B		10,104
	399	Securitas AB Class B		4,327

				50,690

		Switzerland - 3.2%
	903	Credit Suisse Group AG*		7,466
	90	Julius Baer Group Ltd.*		3,073
	143	Roche Holding AG		46,415
	70	Swiss Life Holding AG		23,831
	18	Swiss Prime Site AG		1,763
	122	Swiss Re AG		9,402
	9	Swisscom AG		4,839
	94	Zurich Insurance Group AG		33,362

				130,151

		Taiwan - 5.1%
	2,000	Acter Group Corp. Ltd.		11,474
	6,000	Chang Hwa Commercial Bank Ltd.		3,780
	6,000	Chicony Electronics Co., Ltd.		15,039
	1,000	Chicony Power Technology Co., Ltd.		1,739
	8,000	Eva Airways Corp.		2,352
	1,000	Far EasTone Telecommunications Co., Ltd.		2,093
	3,000	Foxconn Technology Co., Ltd.		4,910
	6,000	Great Wall Enterprise Co., Ltd.		7,331
	8,800	Hon Hai Precision Industry Co., Ltd.		20,340
	4,000	Lite-On Technology Corp.		5,463
	3,000	Pegatron Corp.		5,754
	26,000	Pou Chen Corp.		22,053
	6,000	Radiant Opto-Electronics Corp.		15,674
	2,000	Sigurd Microelectronics Corp.		2,047
	3,000	Taiwan Business Bank		961
	5,000	Tripod Technology Corp.		15,707
	8,000	Uni-President Enterprises Corp.		17,354
	5,000	United Integrated Services Co., Ltd.		27,363
	10,000	Wistron Corp.		8,101
	6,000	Zhen Ding Technology Holding Ltd.		18,451

				207,986

		Thailand - 2.5%
	2,700	Advanced Info Service PCL NVDR		16,537
	2,000	Bangkok Bank PCL NVDR		6,125
	2,400	Kasikornbank PCL NVDR		6,692
	48,600	Krung Thai Bank PCL NVDR		16,882
	10,000	PTT Global Chemical PCL NVDR		9,294
	7,200	PTT PCL NVDR		6,746
	804	Siam Cement PCL NVDR		7,938
	9,100	Siam Commercial Bank PCL NVDR		19,202
	13,500	Thanachart Capital PCL NVDR		13,678

				103,094

		Turkey - 2.2%
	1,937	Banvit Bandirma Vitaminli Yem Sanayii AS*		4,767
	371	Celebi Hava Servisi A.S.		3,265
	6,894	Deva Holding AS*		10,911
	108,746	Dogan Sirketler Grubu Holding AS		25,247
	32	EGE Endustri VE Ticaret AS		2,413
	2,585	Eregli Demir ve Celik Fabrikalari T.A.S.		2,946

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


		19

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 98.5% - (continued)
		Turkey - 2.2% - (continued)
	29,861	Is Gayrimenkul Yatirim Ortakligi AS REIT*	$	5,755
	14,382	Koza Anadolu Metal Madencilik Isletmeleri AS*		19,815
	269	Tofas Turk Otomobil Fabrikasi AS		671
	47,978	Torunlar Gayrimenkul Yatirim Ortakligi AS REIT*		13,541

				89,331

		United Kingdom - 6.0%
	618	3i Group plc		6,071
	1,175	Aggreko plc		7,101
	185	Anglo American plc		3,249
	49	AstraZeneca plc		4,384
	43	Bellway plc		1,149
	2,232	BP plc		9,526
	3,408	BT Group plc		4,982
	5,469	Capita plc^*		2,218
	1,367	Countryside Properties plc⁽²⁾		4,831
	319	Direct Line Insurance Group plc		1,170
	210	Ferguson plc		13,165
	1,200	Fiat Chrysler Automobiles N.V.		8,628
	1,264	GlaxoSmithKline plc		23,738
	475	Howden Joinery Group plc		3,016
	251	HSBC Holdings plc		1,414
	238	Kingfisher plc		425
	8,831	Legal & General Group plc		21,227
	283	Mondi plc		4,846
	1,400	National Express Group plc		3,572
	456	Redrow plc		2,033
	693	Rio Tinto plc		31,952
	612	Segro plc REIT		5,798
	1,035	Smith & Nephew plc		18,410
	1,626	SSE plc		26,311
	1,961	Tritax Big Box plc REIT		2,728
	567	Unilever N.V.		27,875
	596	WPP plc		4,075

				243,894


		Total Common Stocks (cost $4,964,490)	$	4,021,452


PREFERRED STOCKS - 0.8%
		Brazil - 0.8%
	1,400	Bradespar S.A.*		7,871
	3,500	Itausa - Investimentos Itau S.A.*		5,918
	2,000	Telefonica Brasil S.A.*		19,068

				32,857


		Total Preferred Stocks (cost $43,389)	$	32,857


		Total Long-Term Investments (cost $5,007,879)	$	4,054,309


Shares or Principal Amount			Market Value^†
SHORT-TERM INVESTMENTS - 1.1%
		Securities Lending Collateral - 1.1%
	2,217	Citibank NA DDCA, 0.08%, 4/1/2020⁽³⁾	$	2,217
	23,767	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽³⁾		23,767
	4,721	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽³⁾		4,721
	13,567	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽³⁾		13,567

				44,272


		Total Short-Term Investments (cost $44,272)	$	44,272



Total Investments (cost $5,052,151)	100.4	%	$	4,098,581
Other Assets and Liabilities	(0.4	)%		(16,454	)

Total Net Assets	100.0	%	$	4,082,127

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⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾

⁽³⁾	Current yield as of period end.

^†	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.


		20

Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	250,960	$	250,960	$	—	$	—
Austria		2,761		2,761		—		—
Belgium		88,908		88,908		—		—
Brazil		5,915		5,915		—		—
Canada		245,997		245,997		—		—
Chile		60,064		60,064		—		—
China		303,483		303,483		—		—
Denmark		52,200		52,200		—		—
Finland		1,002		1,002		—		—
France		148,137		148,137		—		—
Germany		115,570		115,570		—		—
Hong Kong		142,733		142,733		—		—
India		12,099		12,099		—		—
Indonesia		83,426		83,426		—		—
Ireland		6,812		6,812		—		—
Israel		84,551		84,551		—		—
Italy		103,297		103,297		—		—
Japan		725,844		725,844		—		—
Luxembourg		9,324		9,324		—		—
Malaysia		103,950		103,950		—		—
Mexico		25,242		25,242		—		—
Netherlands		135,540		135,540		—		—
New Zealand		67,776		67,776		—		—
Norway		72,721		72,721		—		—
Philippines		36,351		36,351		—		—
Poland		9,970		9,970		—		—
Portugal		13,949		13,949		—		—
Russia		9,773		9,773		—		—
Singapore		32,432		32,432		—		—
South Korea		225,711		225,711		—		—
Spain		19,808		19,808		—		—
Sweden		50,690		50,690		—		—
Switzerland		130,151		130,151		—		—
Taiwan		207,986		207,986		—		—
Thailand		103,094		103,094		—		—
Turkey		89,331		89,331		—		—
United Kingdom		243,894		243,894		—		—
Preferred Stocks		32,857		32,857		—		—
Short-Term Investments		44,272		44,272		—		—

Total	$	4,098,581	$	4,098,581	$	—	$	—

⁽¹⁾	For thesix-month period March 31, 2020, there were no transfers in and out of Level 3.

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


		21

Hartford Multifactor Emerging Markets ETF

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9%
		Brazil - 2.2%
	4,515	Alpargatas S.A.	$	20,161
	8,113	Banco do Brasil S.A.		43,626
	6,243	BB Seguridade Participacoes S.A.		29,911
	4,464	Cia Energetica de Minas Gerais		7,669
	2,695	Cosan Ltd. Class A*		33,148
	23,077	Lojas Renner S.A.		149,320
	34,866	Qualicorp Consultoria e Corretora de Seguros S.A.		158,647
	992	Raia Drogasil S.A.		19,480
	10,934	Sul America S.A. UNIT		71,255
	45,642	TIM Participacoes S.A.		109,472
	11,949	Transmissora Alianca de Energia Eletrica S.A.		59,508
	16,034	Vale S.A.*		133,612

				835,809

		Chile - 2.5%
	670,414	Banco Santander Chile		25,957
	242,106	Cencosud S.A.		252,841
	13,303	Cia Cervecerias Unidas S.A.		91,620
	36,429	Colbun S.A.		3,975
	13,695	Empresas COPEC S.A.		78,734
	2,597,412	Enel Americas S.A.		318,764
	936,772	Enel Chile S.A.		63,747
	45,393	SACI Falabella		100,445

				936,083

		China - 23.2%
	94,000	Agile Group Holdings Ltd.		101,751
	126,000	Agricultural Bank of China Ltd. Class H		50,557
	853	Alibaba Group Holding Ltd. ADR*		165,891
	17,000	ANTA Sports Products Ltd.		124,908
	1,132,000	Bank of China Ltd. Class H		433,761
	104,000	Bank of Communications Co., Ltd. Class H		63,735
	9,000	China Conch Venture Holdings Ltd.		40,176
	343,000	China Construction Bank Corp. Class H		280,564
	609,000	China Everbright Bank Co., Ltd. Class H		233,357
	196,000	China Life Insurance Co., Ltd. Class H		383,863
	262,000	China Medical System Holdings Ltd.		283,603
	7,000	China Mengniu Dairy Co., Ltd.*		24,339
	26,000	China Merchants Bank Co., Ltd. Class H		117,406
	347,000	China Minsheng Banking Corp. Ltd. Class H		257,869
	152,000	China National Building Material Co., Ltd. Class H		166,102
	26,000	China Oilfield Services Ltd. Class H		20,093
	7,600	China Pacific Insurance Group Co., Ltd. Class H		22,993
	154,000	China Petroleum & Chemical Corp. Class H		75,898
	58,000	China Railway Construction Corp. Ltd. Class H		64,952
	1,106,000	China Telecom Corp. Ltd. Class H		335,329
	8,500	China Vanke Co., Ltd. Class H		28,019
	124,000	CNOOC Ltd.		130,065
	75,000	Country Garden Holdings Co., Ltd.		90,764
	68,000	CSPC Pharmaceutical Group Ltd.		136,160
	452,000	Dongfeng Motor Group Co., Ltd. Class H		297,994
	59,200	Fuyao Glass Industry Group Co., Ltd. Class H⁽¹⁾		126,635
	125,000	Geely Automobile Holdings Ltd.		184,495
	630,000	Great Wall Motor Co., Ltd. Class H		403,966
	637,000	Industrial & Commercial Bank of China Ltd. Class H		436,397
	767	JD.com, Inc. ADR*		31,064
	534	JOYY, Inc.*		28,441
	206,000	Lenovo Group Ltd.		110,563
	51,000	Li Ning Co., Ltd.		149,034
	15,500	Longfor Properties Co., Ltd.⁽¹⁾		75,491
	392	NetEase, Inc. ADR		125,816
	799,000	People’s Insurance Co., Group of China Ltd. Class H		263,897
	224,000	PetroChina Co., Ltd. Class H		82,076
	392,000	PICC Property & Casualty Co., Ltd. Class H		379,311
	39,500	Ping An Insurance Group Co. of China Ltd. Class H		388,074
	352,000	Postal Savings Bank of China Co., Ltd. Class H⁽¹⁾		214,354


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9% - (continued)
		China - 23.2% - (continued)
	170,000	Powerlong Real Estate Holdings Ltd.	$	100,014
	44,000	Shandong Weigao Group Medical Polymer Co., Ltd. Class H		55,632
	100,400	Sinopharm Group Co., Ltd. Class H		225,906
	66,000	Times China Holdings, Ltd.		110,527
	46,000	Tingyi Cayman Islands Holding Corp.		75,253
	136,000	TravelSky Technology Ltd. Class H		240,034
	24,779	Vipshop Holdings Ltd. ADR*		386,057
	34,000	Want Want China Holdings Ltd.		24,653
	239,000	Weichai Power Co., Ltd. Class H		384,822
	2,024	Yum China Holdings, Inc.		86,283
	49,500	Zhongsheng Group Holdings Ltd.		173,070
	12,600	Zhuzhou CRRC Times Electric Co., Ltd. Class H		37,308
	24,000	Zijin Mining Group Co., Ltd. Class H		9,042
	1,059	ZTO Express Cayman, Inc. ADR*		28,042

				8,866,406

		Colombia - 0.5%
	161,229	Grupo Energia Bogota S.A. ESP*		89,349
	21,802	Interconexion Electrica S.A. ESP		83,125

				172,474

		Hong Kong - 4.0%
	45,000	China Mobile Ltd.		334,703
	22,000	China Overseas Land & Investment Ltd.		68,263
	252,000	China Resources Cement Holdings Ltd.		300,739
	22,000	China Resources Gas Group Ltd.		110,697
	24,100	China Resources Land Ltd.		99,498
	14,000	Guangdong Investment Ltd.		26,985
	73,000	Haier Electronics Group Co., Ltd.		194,487
	122,000	Kunlun Energy Co., Ltd.		71,303
	55,000	Shenzhen International Holdings Ltd.		100,763
	13,000	Shimao Property Holdings Ltd.		45,788
	46,500	Sino Biopharmaceutical Ltd.		61,313
	73,500	Sun Art Retail Group Ltd.		109,052

				1,523,591

		India - 3.4%
	2,367	Axis Bank Ltd. GDR		59,885
	6,020	Dr. Reddy’s Laboratories Ltd. ADR		242,787
	3,802	HDFC Bank Ltd. ADR		146,225
	30,909	ICICI Bank Ltd. ADR		262,726
	30,644	Infosys Ltd. ADR		251,587
	6,012	Reliance Industries Ltd. GDR⁽¹⁾		185,170
	317	State Bank of India GDR*		8,242
	12,681	Vedanta Ltd. ADR		45,144
	2,493	WNS Holdings Ltd. ADR*		107,149

				1,308,915

		Indonesia - 3.7%
	3,137,400	Adaro Energy Tbk PT		190,437
	786,300	Astra International Tbk PT		188,018
	278,000	Bank Mandiri Persero Tbk PT		79,769
	560,100	Bank Negara Indonesia Persero Tbk PT		131,182
	601,700	Bank Permata Tbk PT*		38,183
	409,000	Bank Rakyat Indonesia Persero Tbk PT		75,731
	232,300	Chandra Asri Petrochemical Tbk PT		74,775
	264,700	Indofood Sukses Makmur Tbk PT		103,056
	478,700	Kalbe Farma Tbk PT		35,220
	832,600	Matahari Department Store Tbk PT		68,150
	464,000	Media Nusantara Citra Tbk PT		25,746
	56,100	Mitra Keluarga Karyasehat Tbk PT		7,395
	723,400	Perusahaan Gas Negara Persero Tbk PT		34,374
	1,330,300	Telekomunikasi Indonesia Persero Tbk PT		257,741
	72,100	Unilever Indonesia Tbk PT		32,049
	60,300	United Tractors Tbk PT		62,481

				1,404,307

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


		22

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9% - (continued)
		Malaysia - 4.4%
	262,500	BerMaz Auto Bhd	$	68,663
	5,000	Carlsberg Brewery Malaysia Bhd Class B		28,935
	252,300	CIMB Group Holdings Bhd		210,250
	167,700	DiGi.Com Bhd		168,865
	13,100	Dufu Technology Corp. Bhd		9,977
	18,000	Genting Bhd		15,625
	12,988	Hong Leong Bank Bhd		40,467
	13,300	KLCCP Stapled Group		23,983
	164,000	Malayan Banking Bhd		282,824
	42,400	MISC Bhd		73,022
	176,600	Petronas Chemicals Group Bhd		206,442
	39,800	Petronas Gas Bhd		141,880
	300,300	RHB Bank Bhd		326,020
	36,400	Tenaga Nasional Bhd		101,280

				1,698,233

		Mexico - 2.9%
	500,946	America Movil S.A.B. de C.V. Class L		301,090
	72,260	Coca-Cola Femsa S.A.B. de C.V.		292,561
	25,572	Fomento Economico Mexicano S.A.B. de C.V.		157,219
	1,227	Grupo Elektra S.A.B. de C.V.		71,656
	18,268	Grupo Financiero Banorte S.A.B. de C.V. Class O		50,616
	99,390	Wal-Mart de Mexico S.A.B. de C.V.		236,789

				1,109,931

		Philippines - 3.1%
	5,805	Ayala Corp.		53,348
	9,470	Ayala Land, Inc.		5,623
	19,270	Bank of the Philippine Islands		23,415
	141,740	BDO Unibank, Inc.		288,441
	159,500	DMCI Holdings, Inc.		11,823
	4,175	Globe Telecom, Inc.		158,430
	159,340	JG Summit Holdings, Inc.		163,851
	152,661	Metropolitan Bank & Trust Co.		120,064
	9,710	PLDT, Inc.		215,544
	9,035	SM Investments Corp.		145,313

				1,185,852

		Poland - 2.6%
	7,046	Asseco Poland S.A.		98,391
	12,278	Bank Polska Kasa Opieki S.A.		165,953
	25,139	Eurocash S.A.		102,892
	10,074	KGHM Polska Miedz S.A.*		145,089
	20	LPP S.A.		25,184
	12,861	Polski Koncern Naftowy ORLEN S.A.		172,471
	10,541	Powszechna Kasa Oszczednosci Bank Polski S.A.		57,407
	31,941	Powszechny Zaklad Ubezpieczen S.A.		240,932

				1,008,319

		Russia - 3.6%
	4,176	Gazprom Neft PJSC ADR		81,683
	42,365	Gazprom PJSC ADR		196,531
	5,313	Lukoil PJSC ADR		318,780
	4,587	MMC Norilsk Nickel PJSC ADR		114,308
	22,557	Mobile TeleSystems PJSC ADR		171,433
	14,511	Rosneft Oil Co. PJSC GDR		59,046
	17,262	Sberbank of Russia PJSC ADR		164,507
	383	Severstal PJSC GDR		4,236
	57,019	Surgutneftegas PJSC ADR		243,813
	809	Tatneft PJSC ADR		34,180

				1,388,517

		South Africa - 2.3%
	6,744	Absa Group Ltd.		28,320
	1,468	Anglo American Platinum Ltd.		61,991
	3,703	AngloGold Ashanti Ltd.		66,163
	2,469	Bid Corp. Ltd.		29,401


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9% - (continued)
		South Africa - 2.3% - (continued)
	10,609	Bidvest Group Ltd.	$	86,844
	1,144	Clicks Group Ltd.		16,507
	17,468	FirstRand Ltd.		39,386
	6,881	Gold Fields Ltd.		35,553
	8,471	Kumba Iron Ore Ltd.		132,833
	48,711	MTN Group Ltd.		131,978
	739	Nedbank Group Ltd.		3,420
	28,054	Sanlam Ltd.		80,251
	3,302	SPAR Group Ltd.		33,602
	11,651	Standard Bank Group Ltd.		66,846
	9,054	Vodacom Group Ltd.		59,317

				872,412

		South Korea - 13.6%
	5,255	BH Co., Ltd.*		67,773
	22,991	BNK Financial Group, Inc.		83,760
	5,640	Boryung Pharmaceutical Co., Ltd.		56,291
	6,371	Cheil Worldwide, Inc.		82,951
	698	Chongkundang Holdings Corp.		60,491
	103	Com2uSCorp		7,141
	1,900	Daesang Corp.		26,455
	4,082	DB HiTek Co., Ltd.		72,597
	1,723	DB Insurance Co., Ltd.		49,184
	2,314	DongKook Pharmaceutical Co., Ltd.		147,696
	5,854	ENF Technology Co., Ltd.		108,198
	1,996	F&F Co., Ltd.		151,830
	1,024	GS Home Shopping, Inc.		89,164
	1,052	GS Retail Co., Ltd.		26,703
	9,904	Haimarrow Food Service Co., Ltd.		19,078
	3,024	Hana Financial Group, Inc.		57,382
	3,444	Handsome Co., Ltd.		55,026
	2,315	Hankook Tire & Technology Co., Ltd.		36,797
	6,265	HS Industries Co., Ltd.		35,253
	307	Huchems Fine Chemical Corp.		3,720
	853	Huons Co., Ltd.		31,952
	1,420	Hyundai Home Shopping Network Corp.		67,305
	944	Hyundai Mobis Co., Ltd.		131,440
	1,056	Hyundai Motor Co.		76,944
	968	Innocean Worldwide, Inc.		41,826
	6,759	KB Financial Group, Inc.		191,829
	4,320	KEPCO Plant Service & Engineering Co., Ltd.		103,090
	9,747	Kia Motors Corp.		208,175
	21,476	Korean Reinsurance Co.		128,784
	421	KT&G Corp.		25,834
	7,747	LF Corp.		68,411
	3,889	LG Electronics, Inc.		153,982
	31,481	LG Uplus Corp.		279,291
	199	Lotte Chemical Corp.		31,550
	7,436	Mcnex Co., Ltd.		159,733
	5,709	MegaStudyEdu Co., Ltd.		175,160
	774	NAVER Corp.		108,087
	10,594	Neowiz*		150,553
	216	NHN Corp.*		12,154
	3,016	Partron Co., Ltd.		18,903
	498	POSCO		65,863
	20,232	Power Logics Co., Ltd.		110,023
	1,585	S&T Motiv Co., Ltd.		35,935
	312	Samsung Electro-Mechanics Co., Ltd.		25,040
	10,208	Samsung Electronics Co., Ltd.		400,404
	115	Samsung Fire & Marine Insurance Co., Ltd.		14,548
	3,999	SFA Engineering Corp.		102,656
	4,104	Shinhan Financial Group Co., Ltd.		96,418
	178	SK Holdings Co., Ltd.		24,492
	6,009	SK Hynix, Inc.		411,180
	842	SK Telecom Co., Ltd.		122,425
	170	Soulbrain Co., Ltd.		8,868

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


		23

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9% - (continued)
		South Korea - 13.6% - (continued)
	407	Spigen Korea Co., Ltd.	$	11,066
	4,223	Woongjin Coway Co., Ltd.		200,509
	78,820	Woongjin Thinkbig Co., Ltd.		158,631
	1,013	Youngone Corp.		18,598

				5,209,149

		Taiwan - 14.4%
	17,000	Acter Group Corp. Ltd.		97,532
	23,000	ASE Technology Holding, Co., Ltd.		44,568
	12,000	Asustek Computer, Inc.		81,147
	170,159	Chang Hwa Commercial Bank Ltd.		107,188
	17,000	Chenbro Micom Co., Ltd.		41,992
	105,000	Cheng Uei Precision Industry Co., Ltd.		101,557
	79,431	Chicony Electronics Co., Ltd.		199,093
	19,590	China Life Insurance Co., Ltd.*		10,915
	56,000	Chunghwa Telecom Co., Ltd.		199,064
	102,000	Compal Electronics, Inc.		58,350
	69,000	Coretronic Corp.		64,114
	306,628	CTBC Financial Holding Co., Ltd.		181,494
	62,000	Everlight Electronics Co., Ltd.		51,049
	26,000	Far EasTone Telecommunications Co., Ltd.		54,422
	12,000	FLEXium Interconnect, Inc.		37,855
	6,000	Formosa Plastics Corp.		14,900
	57,301	Foxconn Technology Co., Ltd.		93,792
	12,000	Getac Technology Corp.		16,765
	5,000	Global Mixed Mode Technology, Inc.		16,782
	80,000	Great Wall Enterprise Co., Ltd.		97,746
	34,000	Greatek Electronics, Inc.		47,220
	35,000	Hannstar Board Corp.		38,308
	170,224	Hon Hai Precision Industry Co., Ltd.		393,455
	11,000	Innodisk Corp.		56,016
	14,000	King Yuan Electronics Co., Ltd.		14,004
	96,245	Lite-On Technology Corp.		131,439
	1,000	Lotes Co., Ltd.		9,093
	18,000	MediaTek, Inc.		194,931
	29,000	Nan Ya Plastics Corp.		52,454
	24,000	Nanya Technology Corp.		42,617
	15,000	Novatek Microelectronics Corp.		85,313
	98,000	Pegatron Corp.		187,954
	284,000	Pou Chen Corp.		240,881
	44,000	Powertech Technology, Inc.		124,981
	50,000	Primax Electronics Ltd.		63,820
	11,000	Qisda Corp.		5,383
	72,000	Radiant Opto-Electronics Corp.		188,086
	101,534	Sigurd Microelectronics Corp.		103,913
	11,000	Simplo Technology Co., Ltd.		96,391
	109,832	SinoPac Financial Holdings Co., Ltd.		40,132
	18,000	Taichung Commercial Bank Co., Ltd.		6,160
	154,000	Taiwan Business Bank		49,345
	24,000	Taiwan Semiconductor Manufacturing Co., Ltd.		217,449
	22,000	Topco Scientific Co., Ltd.		65,909
	72,000	Tripod Technology Corp.		226,179
	10,000	TXC Corp.		14,550
	128,800	Uni-President Enterprises Corp.		279,394
	35,000	United Integrated Services Co., Ltd.		191,541
	195,000	United Microelectronics Corp.		88,016
	27,000	Walsin Technology Corp.		143,743
	217,686	Wistron Corp.		176,357
	12,000	Yageo Corp.		108,923
	80,000	Zhen Ding Technology Holding Ltd.		246,020

				5,500,302

		Thailand - 4.9%
	53,710	Advanced Info Service PCL NVDR		328,962
	21,600	Bangkok Bank PCL NVDR		66,148
	152,400	Bangkok Dusit Medical Services PCL NVDR		87,769


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 94.9% - (continued)
		Thailand - 4.9% - (continued)
	120,400	Charoen Pokphand Foods PCL NVDR	$	89,151
	10,500	Com7 PCL NVDR		4,991
	16,000	CP ALL PCL NVDR		29,740
	94,800	Hana Microelectronics PCL NVDR		66,440
	20,600	Kasikornbank PCL NVDR		57,436
	315,600	Krung Thai Bank PCL NVDR		109,632
	55,000	PTT Exploration & Production PCL NVDR		113,126
	221,800	PTT Global Chemical PCL NVDR		206,137
	221,900	PTT PCL NVDR		207,920
	18,000	Siam Cement PCL NVDR		177,710
	67,400	Siam Commercial Bank PCL NVDR		142,224
	146,000	Thai Beverage PCL		62,036
	139,900	Thanachart Capital PCL NVDR		141,744

				1,891,166

		Turkey - 3.6%
	19,570	Banvit Bandirma Vitaminli Yem Sanayii AS*		48,166
	522	Celebi Hava Servisi A.S.		4,594
	64,764	Deva Holding AS*		102,498
	811,285	Dogan Sirketler Grubu Holding AS		188,349
	1,169	EGE Endustri VE Ticaret AS		88,142
	93,179	Enka Insaat ve Sanayi AS		87,944
	41,709	Eregli Demir ve Celik Fabrikalari T.A.S.		47,530
	171,049	Gozde Girisim Sermayesi Yatirim Ortakligi AS*		74,490
	415,040	Is Gayrimenkul Yatirim Ortakligi AS REIT*		79,982
	85,127	Iskenderun Demir ve Celik AS		81,119
	125,403	Koza Anadolu Metal Madencilik Isletmeleri AS*		172,779
	3,312	Pegasus Hava Tasimaciligi AS*		17,188
	31,679	Tofas Turk Otomobil Fabrikasi AS		79,074
	467,711	Torunlar Gayrimenkul Yatirim Ortakligi AS REIT*		132,005
	33,852	Turk Telekomunikasyon AS*		34,416
	68,191	Turkiye Garanti Bankasi A.S.*		84,123
	127,766	Yapi ve Kredi Bankasi AS*		36,642

				1,359,041


		Total Common Stocks (cost $44,405,749)	$	36,270,507


PREFERRED STOCKS - 3.9%
		Brazil - 3.2%
	20,886	Banco Bradesco S.A.*		83,639
	35,555	Bradespar S.A.*		199,897
	3,447	Cia de Saneamento do Parana*		3,197
	13,543	Cia de Transmissao de Energia Eletrica Paulista*		49,533
	5,170	Cia Paranaense de Energia*		53,329
	14,372	Gerdau S.A.*		27,848
	41,056	Itau Unibanco Holding S.A.*		182,775
	161,965	Itausa - Investimentos Itau S.A.*		273,866
	30,678	Petroleo Brasileiro S.A.*		82,749
	28,329	Telefonica Brasil S.A.*		270,094

				1,226,927

		Chile - 0.2%
	22,254	Embotelladora Andina S.A. Class B*		49,556
	1,547	Sociedad Quimica y Minera de Chile S.A. Series B*		35,466

				85,022

		Colombia - 0.5%
	27,166	Bancolombia S.A.*		184,002


		Total Preferred Stocks (cost $1,892,062)	$	1,495,951


		Total Long-Term Investments (cost $46,297,811)	$	37,766,458

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


		24

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
SHORT-TERM INVESTMENTS - 0.2%
		U.S. Treasury - 0.2%
$	20,000	0.08%, 09/10/2020⁽²⁾⁽³⁾	$	19,990
	71,000	0.25%, 06/18/2020⁽²⁾⁽³⁾		70,986

				90,976


		Total Short-Term Investments (cost $90,955)	$	90,976



Total Investments (cost $46,388,766)	99.0	%	$	37,857,434
Other Assets and Liabilities	1.0	%		374,752

Total Net Assets	100.0	%	$	38,232,186

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⁾

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

⁽³⁾	All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2020, the market value of securities pledged was $90,976.


Futures Contracts Outstanding at March 31, 2020
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
MSCI Emerging Market Index Future		11		06/19/2020	$	463,595	$	21,562

Total futures contracts							$	21,562

^†	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 March 31, 2020 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Brazil	$	835,809	$	835,809	$	—	$	—
Chile		936,083		936,083		—		—
China		8,866,406		8,866,406		—		—
Colombia		172,474		172,474		—		—
Hong Kong		1,523,591		1,523,591		—		—
India		1,308,915		1,308,915		—		—
Indonesia		1,404,307		1,404,307		—		—
Malaysia		1,698,233		1,698,233		—		—
Mexico		1,109,931		1,109,931		—		—
Philippines		1,185,852		1,185,852		—		—
Poland		1,008,319		1,008,319		—		—
Russia		1,388,517		1,388,517		—		—
South Africa		872,412		872,412		—		—
South Korea		5,209,149		5,209,149		—		—
Taiwan		5,500,302		5,500,302		—		—
Thailand		1,891,166		1,891,166		—		—
Turkey		1,359,041		1,359,041		—		—
Preferred Stocks		1,495,951		1,495,951		—		—
Short-Term Investments		90,976		—		90,976		—
Futures Contracts⁽²⁾		21,562		21,562		—		—

Total	$	37,878,996	$	37,788,020	$	90,976	$	—

⁽¹⁾	For thesix-month period ended March 31, 2020, 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.


		25

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8%
		Automobiles & Components - 0.3%
	194	Ford Motor Co.	$	937
	1,075	General Motors Co.		22,339

				23,276

		Banks - 0.7%
	379	Capitol Federal Financial, Inc.		4,400
	73	Commerce Bancshares, Inc.		3,676
	171	JP Morgan Chase & Co.		15,395
	836	TFS Financial Corp.		12,766
	312	U.S. Bancorp		10,748

				46,985

		Capital Goods - 9.9%
	19	Allegion plc		1,748
	130	AMETEK, Inc.		9,363
	129	Cummins, Inc.		17,456
	207	Curtiss-Wright Corp.		19,129
	131	Eaton Corp. plc		10,177
	258	EMCOR Group, Inc.		15,821
	37	ESCO Technologies, Inc.		2,809
	332	General Dynamics Corp.		43,927
	634	HD Supply Holdings, Inc.*		18,025
	468	Honeywell International, Inc.		62,614
	157	Hubbell, Inc.		18,014
	42	Huntington Ingalls Industries, Inc.		7,653
	75	IDEX Corp.		10,358
	668	Johnson Controls International plc		18,009
	157	Lincoln Electric Holdings, Inc.		10,833
	211	Lockheed Martin Corp.		71,518
	261	MSC Industrial Direct Co., Inc. Class A		14,347
	93	Northrop Grumman Corp.		28,137
	490	PACCAR, Inc.		29,954
	435	Raytheon Co.		57,050
	585	Raytheon Technologies Corp.		55,183
	17	Roper Technologies, Inc.		5,301
	21	Simpson Manufacturing Co., Inc.		1,302
	153	Snap-on, Inc.		16,650
	580	Toro Co.		37,752
	265	Trane Technologies plc		21,886
	320	Wabco Holdings, Inc.*		43,216
	261	Watsco, Inc.		41,246
	300	Watts Water Technologies, Inc. Class A		25,395

				714,873

		Commercial & Professional Services - 3.9%
	1,313	Advanced Disposal Services, Inc.*		43,066
	127	Brady Corp. Class A		5,731
	1,612	CBIZ, Inc.*		33,723
	73	Cintas Corp.		12,645
	292	Exponent, Inc.		20,998
	384	IHS Markit Ltd.		23,040
	699	Republic Services, Inc.		52,467
	154	Verisk Analytics, Inc. Class A		21,465
	743	Waste Management, Inc.		68,772

				281,907

		Consumer Durables & Apparel - 0.7%
	251	D.R. Horton, Inc.		8,534
	107	Garmin Ltd.		8,021
	217	NIKE, Inc. Class B		17,954
	1,714	TRI Pointe Group, Inc.*		15,032

				49,541

		Consumer Services - 7.8%
	338	Bright Horizons Family Solutions, Inc.*		34,476
	3,498	Caesars Entertainment Corp.*		23,646
	415	Choice Hotels International, Inc.		25,419


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Consumer Services - 7.8% - (continued)
	298	Cracker Barrel Old Country Store, Inc.	$	24,799
	648	Darden Restaurants, Inc.		35,290
	2,597	Denny’s Corp.*		19,945
	540	Dunkin’ Brands Group, Inc.		28,674
	1,274	Extended Stay America, Inc.		9,313
	87	Graham Holdings Co. Class B		29,682
	1,804	H&R Block, Inc.		25,400
	299	Hilton Worldwide Holdings, Inc.		20,404
	557	Hyatt Hotels Corp. Class A		26,680
	651	McDonald’s Corp.		107,643
	871	Service Corp. International		34,065
	955	Starbucks Corp.		62,782
	798	Yum! Brands, Inc.		54,687

				562,905

		Diversified Financials - 2.5%
	2,416	AGNC Investment Corp. REIT		25,561
	3,334	Annaly Capital Management, Inc. REIT		16,903
	1,837	Apollo Commercial Real Estate Finance, Inc. REIT		13,631
	205	ARMOUR Residential, Inc. REIT		1,806
	364	Berkshire Hathaway, Inc. Class B*		66,550
	1,003	Blackstone Mortgage Trust, Inc. Class A REIT		18,676
	694	Chimera Investment Corp. REIT		6,316
	163	Invesco Mortgage Capital, Inc. REIT		556
	468	Ladder Capital Corp. REIT		2,218
	3,057	MFA Financial, Inc. REIT		4,738
	1,475	New York Mortgage Trust, Inc. REIT		2,286
	749	PennyMac Mortgage Investment Trust REIT		7,954
	914	Redwood Trust, Inc. REIT		4,625
	680	Starwood Property Trust, Inc. REIT		6,970
	1,502	Two Harbors Investment Corp. REIT		5,723

				184,513

		Energy - 4.9%
	1,407	Chevron Corp.		101,951
	2,589	Exxon Mobil Corp.		98,304
	4,422	Kinder Morgan, Inc.		61,554
	1,238	ONEOK, Inc.		27,001
	799	Phillips 66		42,867
	1,534	Williams Cos., Inc.		21,706

				353,383

		Food & Staples Retailing - 2.8%
	222	Costco Wholesale Corp.		63,299
	724	Sysco Corp.		33,036
	442	U.S. Foods Holding Corp.*		7,828
	872	Walmart, Inc.		99,077

				203,240

		Food, Beverage & Tobacco - 4.4%
	47	Brown-Forman Corp. Class B		2,609
	1,547	Coca-Cola Co.		68,455
	1,082	Flowers Foods, Inc.		22,203
	95	General Mills, Inc.		5,013
	313	Hershey Co.		41,473
	463	Hormel Foods Corp.		21,594
	685	Kellogg Co.		41,093
	479	Mondelez International, Inc. Class A		23,988
	789	PepsiCo., Inc.		94,759
	10	Tootsie Roll Industries, Inc.		346

				321,533

		Health Care Equipment & Services - 4.4%
	367	Abbott Laboratories		28,960
	413	Cerner Corp.		26,015
	32	Chemed Corp.		13,862
	254	Laboratory Corp. of America Holdings*		32,103

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


		26

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Health Care Equipment & Services - 4.4% - (continued)
	1,324	Medtronic plc	$	119,398
	594	National HealthCare Corp.		42,608
	602	Quest Diagnostics, Inc.		48,341
	42	Universal Health Services, Inc. Class B		4,161

				315,448

		Household & Personal Products - 2.6%
	201	Church & Dwight Co., Inc.		12,900
	222	Clorox Co.		38,462
	412	Colgate-Palmolive Co.		27,340
	104	Kimberly-Clark Corp.		13,298
	721	Procter & Gamble Co.		79,310
	94	WD-40 Co.		18,880

				190,190

		Insurance - 1.6%
	700	Aflac, Inc.		23,968
	178	American Financial Group, Inc.		12,474
	184	Arthur J Gallagher & Co.		14,998
	299	Axis Capital Holdings Ltd.		11,556
	56	Chubb Ltd.		6,255
	53	Everest Re Group Ltd.		10,198
	314	Fidelity National Financial, Inc.		7,812
	46	First American Financial Corp.		1,951
	180	Globe Life, Inc.		12,955
	54	Hanover Insurance Group, Inc.		4,891
	13	White Mountains Insurance Group Ltd.		11,830

				118,888

		Materials - 10.0%
	129	Air Products & Chemicals, Inc.		25,750
	421	AptarGroup, Inc.		41,906
	594	Ashland Global Holdings, Inc.		29,742
	260	Axalta Coating Systems Ltd.*		4,490
	176	Eagle Materials, Inc.		10,282
	420	Ecolab, Inc.		65,449
	2,048	Graphic Packaging Holding Co.		24,986
	439	Linde plc		75,947
	165	Martin Marietta Materials, Inc.		31,223
	108	NewMarket Corp.		41,350
	284	Newmont Corp.		12,859
	348	Nucor Corp.		12,535
	158	Packaging Corp. of America		13,719
	513	PPG Industries, Inc.		42,887
	639	RPM International, Inc.		38,020
	393	Sensient Technologies Corp.		17,099
	61	Sherwin-Williams Co.		28,031
	1,386	Silgan Holdings, Inc.		40,222
	858	Sonoco Products Co.		39,768
	213	Stepan Co.		18,842
	2,224	Valvoline, Inc.		29,112
	501	Vulcan Materials Co.		54,143
	752	WR Grace & Co.		26,771

				725,133

		Media & Entertainment - 5.9%
	71	Alphabet, Inc. Class A*		82,498
	13	Cable One, Inc.		21,372
	44	Charter Communications, Inc. Class A*		19,198
	642	Cinemark Holdings, Inc.		6,542
	1,908	Comcast Corp. Class A		65,597
	1,489	Interpublic Group of Cos., Inc.		24,107
	62	Liberty Broadband Corp. Class C*		6,865
	840	Liberty Media Corp-Liberty Braves Class C*		16,010
	1,458	Liberty Media Corp-Liberty SiriusXM Class C*		46,102
	948	Omnicom Group, Inc.		52,045


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Media & Entertainment - 5.9% - (continued)
	5,973	Sirius XM Holdings, Inc.⁽¹⁾	$	29,507
	620	Walt Disney Co.		59,892

				429,735

		Pharmaceuticals, Biotechnology & Life Sciences - 5.7%
	446	Allergan plc		78,987
	862	Bristol-Myers Squibb Co.		48,048
	47	Eli Lilly & Co.		6,520
	961	Johnson & Johnson		126,016
	1,148	Merck & Co., Inc.		88,327
	2,096	Pfizer, Inc.		68,413

				416,311

		Real Estate - 5.6%
	23	Alexandria Real Estate Equities, Inc. REIT		3,152
	486	American Campus Communities, Inc. REIT		13,486
	234	American Homes 4 Rent Class A, REIT		5,429
	331	Apartment Investment & Management Co. Class A, REIT		11,635
	3,381	Apple Hospitality, Inc. REIT		31,004
	999	Armada Hoffler Properties, Inc. REIT		10,689
	63	AvalonBay Communities, Inc. REIT		9,272
	164	Camden Property Trust REIT		12,995
	230	Douglas Emmett, Inc. REIT		7,017
	217	Duke Realty Corp. REIT		7,026
	853	Easterly Government Properties, Inc. REIT		21,018
	22	EastGroup Properties, Inc. REIT		2,299
	193	EPR Properties REIT		4,674
	1,355	Equity Commonwealth REIT		42,967
	311	Equity LifeStyle Properties, Inc. REIT		17,876
	101	Equity Residential REIT		6,233
	38	Essex Property Trust, Inc. REIT		8,369
	21	Federal Realty Investment Trust REIT		1,567
	72	First Industrial Realty Trust, Inc. REIT		2,393
	324	Four Corners Property Trust, Inc. REIT		6,062
	468	Gaming and Leisure Properties, Inc. REIT		12,968
	1,050	Getty Realty Corp. REIT		24,927
	1,430	Global Net Lease, Inc. REIT		19,119
	25	Kilroy Realty Corp. REIT		1,593
	403	LTC Properties, Inc. REIT		12,453
	125	Mid-America Apartment Communities, Inc. REIT		12,879
	351	National Health Investors, Inc. REIT		17,382
	139	PS Business Parks, Inc. REIT		18,837
	76	Public Storage REIT		15,094
	1,572	Retail Opportunity Investments Corp. REIT		13,032
	20	Sun Communities, Inc. REIT		2,497
	297	UDR, Inc. REIT		10,852
	75	Vornado Realty Trust REIT		2,716
	224	WP Carey, Inc. REIT		13,010

				402,522

		Retailing - 4.5%
	24	Amazon.com, Inc.*		46,793
	49	AutoZone, Inc.*		41,454
	51	Dollar General Corp.		7,702
	65	eBay, Inc.		1,954
	759	Genuine Parts Co.		51,103
	496	Home Depot, Inc.		92,608
	22	O’Reilly Automotive, Inc.*		6,623
	50	Pool Corp.		9,839
	157	Ross Stores, Inc.		13,654
	1,117	TJX Cos., Inc.		53,404

				325,134

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


		27

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Semiconductors & Semiconductor Equipment - 1.2%
	1,852	Cypress Semiconductor Corp.	$	43,189
	362	Mellanox Technologies Ltd.*		43,918

				87,107

		Software & Services - 9.9%
	728	Accenture plc Class A		118,853
	970	Amdocs Ltd.		53,321
	302	Automatic Data Processing, Inc.		41,277
	585	Citrix Systems, Inc.		82,807
	729	Cognizant Technology Solutions Corp. Class A		33,877
	245	ExlService Holdings, Inc.*		12,747
	130	Fidelity National Information Services, Inc.		15,813
	21	Fiserv, Inc.*		1,995
	141	Genpact Ltd.		4,117
	376	International Business Machines Corp.		41,710
	347	Jack Henry & Associates, Inc.		53,868
	74	Mastercard, Inc. Class A		17,875
	386	Microsoft Corp.		60,876
	639	Oracle Corp.		30,883
	879	Paychex, Inc.		55,307
	49	Tyler Technologies, Inc.*		14,531
	290	Visa, Inc. Class A		46,725
	1,867	Western Union Co.		33,849

				720,431

		Technology Hardware & Equipment - 1.4%
	635	Acacia Communications, Inc.*		42,659
	416	Amphenol Corp. Class A		30,318
	198	Cisco Systems, Inc.		7,783
	382	Juniper Networks, Inc.		7,312
	221	TE Connectivity Ltd.		13,919

				101,991

		Telecommunication Services - 4.4%
	3,587	AT&T, Inc.		104,561
	381	GCI Liberty, Inc. Class A*		21,706
	734	T-Mobile U.S., Inc.*		61,583
	2,388	Verizon Communications, Inc.		128,307

				316,157

		Transportation - 1.5%
	84	Alaska Air Group, Inc.		2,391
	99	AMERCO		28,764
	401	Delta Air Lines, Inc.		11,441
	80	Expeditors International of Washington, Inc.		5,338
	271	Landstar System, Inc.		25,978
	197	Macquarie Infrastructure Corp.		4,974
	717	Southwest Airlines Co.		25,532
	138	United Airlines Holdings, Inc.*		4,354
	9	United Parcel Service, Inc. Class B		841

				109,613

		Utilities - 3.2%
	327	Alliant Energy Corp.		15,791
	91	American Electric Power Co., Inc.		7,278
	23	Atmos Energy Corp.		2,282
	267	CMS Energy Corp.		15,686
	277	Consolidated Edison, Inc.		21,606
	171	DTE Energy Co.		16,240
	219	Duke Energy Corp.		17,713
	107	Entergy Corp.		10,055
	562	Hawaiian Electric Industries, Inc.		24,194
	53	IDACORP, Inc.		4,653
	551	MDU Resources Group, Inc.		11,846
	71	NextEra Energy, Inc.		17,084
	165	Portland General Electric Co.		7,910
	174	Public Service Enterprise Group, Inc.		7,814


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.8% - (continued)
		Utilities - 3.2% - (continued)
	393	Southern Co.	$	21,277
	62	Spire, Inc.		4,618
	74	WEC Energy Group, Inc.		6,522
	296	Xcel Energy, Inc.		17,849

				230,418


		Total Common Stocks (cost $8,027,569)	$	7,231,234


SHORT-TERM INVESTMENTS - 0.4%
		Securities Lending Collateral - 0.4%
	1,478	Citibank NA DDCA, 0.08%, 4/1/2020⁽²⁾		1,478
	15,845	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽²⁾		15,845
	3,147	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽²⁾		3,147
	9,045	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽²⁾		9,045

				29,515


		Total Short-Term Investments (cost $29,515)	$	29,515



Total Investments (cost $8,057,084)	100.2	%	$	7,260,749
Other Assets and Liabilities	(0.2	)%		(12,801	)

Total Net Assets	100.0	%	$	7,247,948

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.

⁽¹⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

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

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


		28

Hartford Multifactor Low Volatility US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	23,276	$	23,276	$	—	$	—
Banks		46,985		46,985		—		—
Capital Goods		714,873		714,873		—		—
Commercial & Professional Services		281,907		281,907		—		—
Consumer Durables & Apparel		49,541		49,541		—		—
Consumer Services		562,905		562,905		—		—
Diversified Financials		184,513		184,513		—		—
Energy		353,383		353,383		—		—
Food & Staples Retailing		203,240		203,240		—		—
Food, Beverage & Tobacco		321,533		321,533		—		—
Health Care Equipment & Services		315,448		315,448		—		—
Household & Personal Products		190,190		190,190		—		—
Insurance		118,888		118,888		—		—
Materials		725,133		725,133		—		—
Media & Entertainment		429,735		429,735		—		—
Pharmaceuticals, Biotechnology & Life Sciences		416,311		416,311		—		—
Real Estate		402,522		402,522		—		—
Retailing		325,134		325,134		—		—
Semiconductors & Semiconductor Equipment		87,107		87,107		—		—
Software & Services		720,431		720,431		—		—
Technology Hardware & Equipment		101,991		101,991		—		—
Telecommunication Services		316,157		316,157		—		—
Transportation		109,613		109,613		—		—
Utilities		230,418		230,418		—		—
Short-Term Investments		29,515		29,515		—		—

Total	$	7,260,749	$	7,260,749	$	—	$	—

⁽¹⁾	For thesix-month period ended March 31, 2020, there were no transfers in and out of Level 3.

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


		29

Hartford Multifactor REIT ETF

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.3%
		Diversified REITs - 8.3%
	5,242	Armada Hoffler Properties, Inc. REIT	$	56,089
	7,601	Empire State Realty Trust, Inc. Class A, REIT		68,105
	4,749	Gladstone Commercial Corp. REIT		68,196
	601	PS Business Parks, Inc. REIT		81,448

				273,838

		Health Care REITs - 8.7%
	4,255	CareTrust, Inc. REIT		62,931
	1,926	LTC Properties, Inc. REIT		59,513
	1,070	National Health Investors, Inc. REIT		52,986
	2,262	Omega Healthcare Investors, Inc. REIT		60,034
	4,679	Sabra Healthcare, Inc. REIT		51,095

				286,559

		Hotel & Resort REITs - 7.6%
	6,520	Host Hotels & Resorts, Inc. REIT		71,981
	861	MGM Growth Properties LLC Class A, REIT		20,380
	1,403	Ryman Hospitality Properties, Inc. REIT		50,297
	10,504	Summit Hotel Properties, Inc. REIT		44,327
	6,156	Xenia Hotels & Resorts, Inc. REIT		63,407

				250,392

		Industrial REITs - 9.2%
	695	EastGroup Properties, Inc. REIT		72,613
	2,234	First Industrial Realty Trust, Inc. REIT		74,236
	4,213	Industrial Logistics Properties Trust REIT		73,896
	8,272	Lexington Realty Trust REIT		82,141

				302,886

		Office REITs - 10.7%
	7,881	City Office, Inc. REIT		56,980
	3,431	Corporate Office Properties Trust REIT		75,928
	1,938	Highwoods Properties, Inc. REIT		68,644
	2,858	Office Properties Income Trust REIT		77,880
	4,061	Piedmont Office Realty Trust, Inc. Class A, REIT		71,717

				351,149

		Residential REITs - 14.9%
	819	Camden Property Trust REIT		64,898
	1,270	Equity LifeStyle Properties, Inc. REIT		73,000
	317	Essex Property Trust, Inc. REIT		69,816
	1,281	Investors Real Estate Trust REIT		70,455
	673	Mid-America Apartment Communities, Inc. REIT		69,339
	570	Sun Communities, Inc. REIT		71,164
	1,893	UDR, Inc. REIT		69,170

				487,842

		Retail REITs - 17.2%
	1,240	Agree Realty Corp. REIT		76,756
	4,982	Brixmor Property Group, Inc. REIT		47,329
	1,286	Brookfield Property, Inc. Class A, REIT		10,918
	101,291	CBL & Associates Properties, Inc. REIT		20,268
	399	Federal Realty Investment Trust REIT		29,770
	3,222	Getty Realty Corp. REIT		76,490
	6,896	RPT Realty REIT		41,583
	1,765	Saul Centers, Inc. REIT		57,786
	758	Simon Property Group, Inc. REIT		41,584
	7,731	Tanger Factory Outlet Centers, Inc. REIT⁽¹⁾		38,655
	5,557	Urban Edge Properties REIT		48,957
	35,680	Washington Prime Group, Inc. REIT		28,726
	3,308	Weingarten Realty Investors REIT		47,735

				566,557

		Specialized REITs - 22.7%
	857	Coresite Realty Corp. REIT		99,326
	2,930	CubeSmart REIT		78,495
	697	Digital Realty Trust, Inc. REIT		96,820
	1,556	EPR Properties REIT		37,686


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.3% - (continued)
		Specialized REITs - 22.7% - (continued)
	150	Equinix, Inc. REIT	$	93,686
	874	Extra Space Storage, Inc. REIT		83,694
	2,017	Gaming and Leisure Properties, Inc. REIT		55,891
	1,544	National Storage Affiliates Trust REIT		45,703
	1,588	QTS Realty Trust, Inc. Class A, REIT		92,120
	3,644	VICI Properties, Inc. REIT		60,636

				744,057


		Total Common Stocks (cost $4,925,786)	$	3,263,280


SHORT-TERM INVESTMENTS - 1.4%
		Securities Lending Collateral - 1.4%
	2,282	Citibank NA DDCA, 0.08%, 4/1/2020⁽²⁾		2,282
	24,455	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽²⁾		24,455
	4,857	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽²⁾		4,857
	13,959	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽²⁾		13,959

				45,553


		Total Short-Term Investments (cost $45,553)	$	45,553



Total Investments (cost $4,971,339)	100.7	%	$	3,308,833
Other Assets and Liabilities	(0.7	)%		(22,074	)

Total Net Assets	100.0	%	$	3,286,759

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⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

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

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


		30

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the Fund’s investments.


Description	Total		Level 1		Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Diversified REITs	$	273,838	$	273,838	$	—	$	—
Health Care REITs		286,559		286,559		—		—
Hotel & Resort REITs		250,392		250,392		—		—
Industrial REITs		302,886		302,886		—		—
Office REITs		351,149		351,149		—		—
Residential REITs		487,842		487,842		—		—
Retail REITs		566,557		566,557		—		—
Specialized REITs		744,057		744,057		—		—
Short-Term Investments		45,553		45,553		—		—

Total	$	3,308,833	$	3,308,833	$	—	$	—

⁽¹⁾	For thesix-month period ended March 31, 2020, there were no transfers in and out of Level 3.

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


		31

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1%
		Automobiles & Components - 0.2%
	1,099	Stoneridge, Inc.*	$	18,408

		Banks - 6.1%
	23	BancFirst Corp.		768
	5,073	Bancorp, Inc.*		30,793
	431	Berkshire Hills Bancorp, Inc.		6,405
	1,156	Brookline Bancorp, Inc.		13,040
	669	Capital City Bank Group, Inc.		13,460
	995	Capitol Federal Financial, Inc.		11,552
	2,515	Carter Bank & Trust		23,088
	460	Central Pacific Financial Corp.		7,314
	192	City Holding Co.		12,774
	204	Community Trust Bancorp, Inc.		6,485
	6,879	First BanCorp		36,596
	500	First Busey Corp.		8,555
	236	First Defiance Financial Corp.		3,479
	1,863	First Interstate BancSystem, Inc. Class A		53,729
	729	Hanmi Financial Corp.		7,910
	407	Heartland Financial USA, Inc.		12,291
	899	Heritage Commerce Corp.		6,895
	551	Heritage Financial Corp.		11,020
	655	Hilltop Holdings, Inc.		9,904
	452	HomeStreet, Inc.		10,048
	1,019	Independent Bank Corp.		13,114
	313	Lakeland Financial Corp.		11,503
	578	Live Oak Bancshares, Inc.		7,208
	724	Meridian Bancorp, Inc.		8,123
	183	Midland States Bancorp, Inc.		3,201
	306	NBT Bancorp, Inc.		9,911
	707	Nicolet Bankshares, Inc.*		38,588
	1,887	Northwest Bancshares, Inc.		21,833
	1,454	OFG Bancorp		16,256
	2,283	Old National Bancorp		30,113
	106	Park National Corp.		8,230
	651	PennyMac Financial Services, Inc.		14,394
	148	Peoples Bancorp, Inc.		3,278
	280	Preferred Bank		9,470
	698	Provident Financial Services, Inc.		8,976
	146	QCR Holdings, Inc.		3,952
	383	S&T Bancorp, Inc.		10,463
	153	Stock Yards Bancorp, Inc.		4,426
	272	TriCo Bancshares		8,111
	3,152	TrustCo Bank Corp.		17,052
	1,338	Trustmark Corp.		31,175
	359	Univest Financial Corp.		5,859
	661	Walker & Dunlop, Inc.		26,618
	127	Washington Trust Bancorp, Inc.		4,643
	1,751	Waterstone Financial, Inc.		25,459

				628,062

		Capital Goods - 6.3%
	190	Alamo Group, Inc.		16,868
	753	Applied Industrial Technologies, Inc.		34,427
	1,753	Atkore International Group, Inc.*		36,936
	501	Blue Bird Corp.*		5,476
	5,188	BMC Stock Holdings, Inc.*		91,983
	5,173	Builders FirstSource, Inc.*		63,266
	755	Comfort Systems USA, Inc.		27,595
	378	Douglas Dynamics, Inc.		13,423
	936	Federal Signal Corp.		25,534
	3,117	GMS, Inc.*		49,030
	3,705	Great Lakes Dredge & Dock Corp.*		30,752
	253	H&E Equipment Services, Inc.		3,714
	870	Hillenbrand, Inc.		16,626
	208	Kadant, Inc.		15,527
	4,003	Meritor, Inc.*		53,040


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Capital Goods - 6.3% - (continued)
	1,104	Miller Industries, Inc.	$	31,221
	1,019	MSC Industrial Direct Co., Inc. Class A		56,014
	222	MYR Group, Inc.*		5,814
	122	National Presto Industries, Inc.		8,639
	719	Patrick Industries, Inc.		20,247
	450	Systemax, Inc.		7,979
	211	Universal Forest Products, Inc.		7,847
	208	Vectrus, Inc.*		8,613
	630	WESCO International, Inc.*		14,396

				644,967

		Commercial & Professional Services - 5.8%
	148	Barrett Business Services, Inc.		5,867
	1,548	BG Staffing, Inc.		11,579
	1,493	Brady Corp. Class A		67,379
	370	CBIZ, Inc.*		7,740
	513	Cimpress plc*		27,292
	131	CRA International, Inc.		4,377
	1,069	Deluxe Corp.		27,719
	2,841	Ennis, Inc.		53,354
	1,330	Herman Miller, Inc.		29,526
	939	HNI Corp.		23,653
	324	ICF International, Inc.		22,259
	511	Kelly Services, Inc. Class A		6,485
	983	Kforce, Inc.		25,135
	2,977	Kimball International, Inc. Class B		35,456
	1,110	Knoll, Inc.		11,455
	342	McGrath Rent Corp.		17,914
	647	Resources Connection, Inc.		7,098
	297	SP Plus Corp.*		6,163
	8,166	Steelcase, Inc. Class A		80,598
	6,021	TrueBlue, Inc.*		76,828
	292	UniFirst Corp.		44,118

				591,995

		Consumer Durables & Apparel - 1.5%
	7,666	Ethan Allen Interiors, Inc.		78,346
	87	Hooker Furniture Corp.		1,358
	124	Johnson Outdoors, Inc. Class A		7,775
	661	MDC Holdings, Inc.		15,335
	773	Movado Group, Inc.		9,137
	124	Oxford Industries, Inc.		4,496
	71	Rocky Brands, Inc.		1,374
	1,616	Steven Madden Ltd.		37,540
	325	Tupperware Brands Corp.		526
	780	Vera Bradley, Inc.*		3,214

				159,101

		Consumer Services - 0.4%
	2,439	Brinker International, Inc.		29,292
	937	K12, Inc.*		17,672

				46,964

		Diversified Financials - 3.8%
	3,968	Apollo Commercial Real Estate Finance, Inc. REIT		29,443
	4,343	Arbor Realty Trust, Inc. REIT		21,281
	1,978	Ares Commercial Real Estate Corp. REIT		13,826
	967	Artisan Partners Asset Management, Inc. Class A		20,781
	1,617	B. Riley Financial, Inc.		29,785
	405	Cohen & Steers, Inc.		18,407
	37	Diamond Hill Investment Group, Inc.		3,339
	674	Exantas Capital Corp. REIT		1,860
	5,783	FGL Holdings		56,673
	509	Great Ajax Corp. REIT		3,237
	925	Houlihan Lokey, Inc.		48,211
	752	INTL. FCStone, Inc.*		27,267

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


		32

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Diversified Financials - 3.8% - (continued)
	1,160	Invesco Mortgage Capital, Inc. REIT	$	3,956
	2,917	Ladder Capital Corp. REIT		13,827
	5,055	New York Mortgage Trust, Inc. REIT		7,835
	236	Oppenheimer Holdings, Inc. Class A		4,663
	2,285	PennyMac Mortgage Investment Trust REIT		24,267
	846	Redwood Trust, Inc. REIT		4,281
	884	Regional Management Corp.*		12,075
	3,636	Waddell & Reed Financial, Inc. Class A		41,378
	1,386	Western Asset Mortgage Capital Corp. REIT		3,174

				389,566

		Energy - 1.8%
	736	BP Prudhoe Bay Royalty Trust		3,886
	1,318	CNX Resources Corp.*		7,012
	3,069	CVR Energy, Inc.		50,731
	7,534	DHT Holdings, Inc.		57,786
	37	Matrix Service Co.*		350
	14,126	Northern Oil and Gas, Inc.*		9,367
	86	REX American Resources Corp.*		4,000
	9,501	W&T Offshore, Inc.*		16,152
	1,314	World Fuel Services Corp.		33,086

				182,370

		Food & Staples Retailing - 2.9%
	2,416	Ingles Markets, Inc. Class A		87,363
	86	PriceSmart, Inc.		4,519
	6,542	Sprouts Farmers Market, Inc.*		121,616
	2,003	Weis Markets, Inc.		83,445

				296,943

		Food, Beverage & Tobacco - 3.3%
	145	Coca-Cola Consolidated, Inc.		30,237
	114	J&J Snack Foods Corp.		13,794
	1,289	John B Sanfilippo & Son, Inc.		115,237
	1	Mehadrin Ltd.*		19
	378	National Beverage Corp.*		16,122
	3,443	Pilgrim’s Pride Corp.*		62,387
	622	Universal Corp.		27,499
	7,475	Vector Group Ltd.		70,414

				335,709

		Health Care Equipment & Services - 10.8%
	713	Addus HomeCare Corp.*		48,199
	769	AMN Healthcare Services, Inc.*		44,456
	12	Atrion Corp.		7,800
	624	Computer Programs & Systems, Inc.		13,884
	656	CONMED Corp.		37,569
	1,493	Corvel Corp.*		81,383
	756	Hanger, Inc.*		11,779
	681	HealthStream, Inc.*		16,310
	1,337	HMS Holdings Corp.*		33,786
	2,021	Inovalon Holdings, Inc. Class A*		33,670
	383	Integer Holdings Corp.*		24,075
	968	Joint Corp.*		10,503
	3,110	Lantheus Holdings, Inc.*		39,684
	278	LeMaitre Vascular, Inc.		6,928
	1,404	Magellan Health, Inc.*		67,547
	8,248	Meridian Bioscience, Inc.*		69,283
	1,106	National HealthCare Corp.		79,333
	107	National Research Corp.		4,866
	2,298	NextGen Healthcare, Inc.*		23,991
	5,719	OraSure Technologies, Inc.*		61,536
	305	Orthofix Medical, Inc.*		8,543
	197	Oxford Immunotec Global plc*		1,824
	5,403	Patterson Cos., Inc.		82,612
	2,901	Premier, Inc. Class A*		94,921


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Health Care Equipment & Services - 10.8% - (continued)
	1,064	R1 RCM, Inc.*	$	9,672
	4,726	RadNet, Inc.*		49,670
	3,911	Select Medical Holdings Corp.*		58,665
	214	Simulations Plus, Inc.		7,473
	4,632	Tivity Health, Inc.*⁽¹⁾		29,135
	3,542	Triple-S Management Corp. Class B*		49,942
	69	Utah Medical Products, Inc.		6,490

				1,115,529

		Household & Personal Products - 1.4%
	928	Central Garden & Pet Co. Class A*		23,729
	1,920	Nu Skin Enterprises, Inc. Class A		41,952
	1,285	USANA Health Sciences, Inc.*		74,222

				139,903

		Insurance - 5.1%
	1,011	American National Insurance Co.		83,286
	412	AMERISAFE, Inc.		26,562
	1,433	Employers Holdings, Inc.		58,051
	283	Enstar Group Ltd.^*		45,011
	78	FBL Financial Group, Inc. Class A		3,640
	3,596	Genworth Financial, Inc. Class A*		11,939
	3,644	Hallmark Financial Services, Inc.*		14,722
	254	HCI Group, Inc.		10,224
	512	Horace Mann Educators Corp.		18,734
	2,410	Mercury General Corp.		98,135
	850	National General Holdings Corp.		14,067
	76	National Western Life Group, Inc. Class A		13,072
	861	Safety Insurance Group, Inc.		72,694
	1,271	Stewart Information Services Corp.		33,898
	960	Universal Insurance Holdings, Inc.		17,203

				521,238

		Materials - 5.2%
	1,080	Advanced Emissions Solutions, Inc.		7,096
	130	Cabot Corp.		3,396
	69	Chase Corp.		5,678
	2,329	Commercial Metals Co.		36,775
	1,348	Domtar Corp.		29,171
	1,705	Greif, Inc. Class A		53,008
	112	Hawkins, Inc.		3,987
	257	Innospec, Inc.		17,859
	374	Kaiser Aluminum Corp.		25,911
	949	Koppers Holdings, Inc.*		11,739
	870	Mercer International, Inc.		6,299
	514	Mesabi Trust		7,350
	4,381	Ryerson Holding Corp.*		23,307
	4,291	Schnitzer Steel Industries, Inc. Class A		55,955
	1,738	Schweitzer-Mauduit International, Inc.		48,351
	1,533	Silgan Holdings, Inc.		44,488
	261	Stepan Co.		23,088
	2,677	Tredegar Corp.		41,841
	1,566	Trinseo S.A.		28,360
	695	UFP Technologies, Inc.*		26,472
	1,211	Worthington Industries, Inc.		31,789

				531,920

		Media & Entertainment - 1.7%
	2,708	AMC Networks, Inc. Class A*		65,831
	785	John Wiley & Sons, Inc. Class A		29,430
	228	Marcus Corp.		2,809
	642	Meredith Corp.		7,845
	3,347	MSG Networks, Inc. Class A*		34,139
	475	Scholastic Corp.		12,108
	2,462	Tribune Publishing Co.		19,967

				172,129

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


		33

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Pharmaceuticals, Biotechnology & Life Sciences - 7.3%
	1,703	Anika Therapeutics, Inc.*	$	49,234
	2,568	Arena Pharmaceuticals, Inc.*		107,856
	142	BioSpecifics Technologies Corp.*		8,033
	5,055	Corcept Therapeutics, Inc.*		60,104
	881	Eagle Pharmaceuticals, Inc.*		40,526
	681	Emergent BioSolutions, Inc.*		39,403
	5,253	Harrow Health, Inc.		20,066
	2,878	Innoviva, Inc.*		33,845
	13,532	Jounce Therapeutics, Inc.*		64,277
	30,509	Lexicon Pharmaceuticals, Inc.*⁽¹⁾		59,493
	4,147	Phibro Animal Health Corp. Class A		100,233
	689	Prestige Consumer Healthcare, Inc.*		25,273
	1,569	Supernus Pharmaceuticals, Inc.*		28,226
	11,326	Vanda Pharmaceuticals, Inc.*		117,337

				753,906

		Real Estate - 5.9%
	908	Armada Hoffler Properties, Inc. REIT		9,716
	1,913	Bluerock Residential Growth REIT, Inc. REIT		10,655
	1,015	Chatham Lodging Trust REIT		6,029
	1,172	City Office, Inc. REIT		8,474
	4,476	CoreCivic, Inc. REIT		49,997
	1,714	CorEnergy Infrastructure Trust, Inc. REIT		31,503
	9,940	DiamondRock Hospitality Co. REIT		50,495
	421	Getty Realty Corp. REIT		9,994
	2,035	Independence Realty Trust, Inc. REIT		18,193
	4,275	iStar, Inc. REIT		45,358
	3,558	Jernigan Capital, Inc. REIT		38,996
	5,863	Lexington Realty Trust REIT		58,220
	101	LTC Properties, Inc. REIT		3,121
	3,450	Mack-Cali Realty Corp. REIT		52,543
	490	Marcus & Millichap, Inc. REIT*		13,279
	290	NexPoint Residential Trust, Inc. REIT		7,311
	2,416	Piedmont Office Realty Trust, Inc. Class A, REIT		42,667
	997	Preferred Apartment Communities, Inc. Class A, REIT		7,158
	2,212	Retail Properties of America, Inc. Class A, REIT		11,436
	2,429	RPT Realty REIT		14,647
	4,408	Summit Hotel Properties, Inc. REIT		18,602
	6,222	Sunstone Hotel Investors, Inc. REIT		54,194
	310	Urstadt Biddle Properties, Inc. Class A, REIT		4,371
	9,428	Washington Prime Group, Inc. REIT		7,590
	2,755	Xenia Hotels & Resorts, Inc. REIT		28,376

				602,925

		Retailing - 9.8%
	3,302	1-800-Flowers.com, Inc. Class A*		43,685
	4,959	Abercrombie & Fitch Co., Class A		45,077
	719	America’sCar-Mart, Inc.*		40,516
	738	Asbury Automotive Group, Inc.*		40,760
	2,155	Bed Bath & Beyond, Inc.		9,073
	3,170	Big Lots, Inc.		45,077
	3,658	Buckle, Inc.		50,151
	4,386	Cato Corp. Class A		46,799
	12,865	Chico’s FAS, Inc.		16,596
	303	Citi Trends, Inc.		2,697
	3,076	Dick’s Sporting Goods, Inc.		65,396
	724	Dillard’s, Inc. Class A⁽¹⁾		26,752
	1,349	Genesco, Inc.*		17,996
	1,983	Haverty Furniture Cos., Inc.		23,578
	5,464	Hibbett Sports, Inc.*		59,749
	193	Lithia Motors, Inc. Class A		15,785
	348	MarineMax, Inc.*		3,626
	1,293	Murphy USA, Inc.*		109,077
	1,241	PetMed Express, Inc.⁽¹⁾		35,716
	6,030	Rent-A-Center, Inc.		85,264


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Retailing - 9.8% - (continued)
	7,038	Sally Beauty Holdings, Inc.*	$	56,867
	11,967	Sportsman’s Warehouse Holdings, Inc.*		73,717
	11,400	Tilly’s, Inc. Class A		47,082
	1,402	Urban Outfitters, Inc.*		19,964
	1,662	Zumiez, Inc.*		28,786

				1,009,786

		Semiconductors & Semiconductor Equipment - 2.3%
	5,996	Amkor Technology, Inc.*		46,709
	405	Axcelis Technologies, Inc.*		7,415
	2,210	Diodes, Inc.*		89,803
	1,857	FormFactor, Inc.*		37,307
	5,737	Photronics, Inc.*		58,862

				240,096

		Software & Services - 3.7%
	382	American Software, Inc. Class A		5,428
	1,312	Cardtronics plc Class A*		27,447
	1,905	CSG Systems International, Inc.		79,724
	393	EVERTEC, Inc.		8,933
	334	ExlService Holdings, Inc.*		17,378
	1,140	GlobalSCAPE, Inc.		8,117
	474	Hackett Group, Inc.		6,029
	538	ManTech International Corp. Class A		39,097
	251	MicroStrategy, Inc. Class A*		29,643
	309	NIC, Inc.		7,107
	753	Perficient, Inc.*		20,399
	4,142	Sykes Enterprises, Inc.*		112,331
	581	TTEC Holdings, Inc.		21,334

				382,967

		Technology Hardware & Equipment - 9.4%
	1,219	Anixter International, Inc.*		107,113
	1,533	Benchmark Electronics, Inc.		30,645
	1,149	Digi International, Inc.*		10,961
	1,376	EchoStar Corp. Class A*		43,991
	1,185	ePlus, Inc.*		74,205
	1,277	Fabrinet*		69,673
	2,290	Insight Enterprises, Inc.*		96,478
	1,557	KEMET Corp.		37,617
	1,293	Methode Electronics, Inc.		34,174
	326	MTS Systems Corp.		7,335
	349	OSI Systems, Inc.*		24,053
	2,453	PC Connection, Inc.		101,088
	940	PC-Tel, Inc.*		6,251
	1,999	Plexus Corp.*		109,065
	2,567	Sanmina Corp.*		70,028
	946	ScanSource, Inc.*		20,235
	5,674	TTM Technologies, Inc.*		58,669
	2,397	Vishay Intertechnology, Inc.		34,541
	1,659	Vishay Precision Group, Inc.*		33,313

				969,435
					��
		Telecommunication Services - 1.1%
	3,747	United States Cellular Corp.*		109,750

		Transportation - 2.3%
	548	Allegiant Travel Co.		44,826
	1,115	Hub Group, Inc. Class A*		50,699
	727	Saia, Inc.*		53,464
	2,365	Werner Enterprises, Inc.		85,755

				234,744

		Utilities - 1.0%
	393	El Paso Electric Co.		26,708
	116	MGE Energy, Inc.		7,595
	126	Northwest Natural Holding Co.		7,780

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


		34

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.1% - (continued)
		Utilities - 1.0% - (continued)
	3,243	Spark Energy, Inc. Class A	$	20,334
	798	Unitil Corp.		41,751

				104,168


		Total Common Stocks (cost $13,746,575)	$	10,182,581


SHORT-TERM INVESTMENTS - 1.5%
		Securities Lending Collateral - 1.4%
	7,350	Citibank NA DDCA, 0.08%, 4/1/2020⁽²⁾		7,350
	78,781	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽²⁾		78,781
	15,647	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽²⁾		15,647
	44,970	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽²⁾		44,970

				146,748

		U.S. Treasury Bill - 0.1%
	10,000	0.30%, 06/18/2020⁽³⁾⁽⁴⁾		9,998


		Total Short-Term Investments (cost $156,741)	$	156,746



Total Investments (cost $13,903,316)	100.6	%	$	10,339,327
Other Assets and Liabilities	(0.6	)%		(63,839	)

Total Net Assets	100.0	%	$	10,275,488

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⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

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

⁽⁴⁾	All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2020, the market value of securities pledged was $9,998.

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


		35

Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Futures Contracts Outstanding at March 31, 2020
Description	Number of Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
E-Mini Russell 2000		1		06/19/2020	$	57,380	$	(2,265	)

Total futures contracts							$	(2,265	)

^†	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 March 31, 2020 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	18,408		$	18,408		$	—	$	—
Banks		628,062			628,062			—		—
Capital Goods		644,967			644,967			—		—
Commercial & Professional Services		591,995			591,995			—		—
Consumer Durables & Apparel		159,101			159,101			—		—
Consumer Services		46,964			46,964			—		—
Diversified Financials		389,566			389,566			—		—
Energy		182,370			182,370			—		—
Food & Staples Retailing		296,943			296,943			—		—
Food, Beverage & Tobacco		335,709			335,709			—		—
Health Care Equipment & Services		1,115,529			1,115,529			—		—
Household & Personal Products		139,903			139,903			—		—
Insurance		521,238			521,238			—		—
Materials		531,920			531,920			—		—
Media & Entertainment		172,129			172,129			—		—
Pharmaceuticals, Biotechnology & Life Sciences		753,906			753,906			—		—
Real Estate		602,925			602,925			—		—
Retailing		1,009,786			1,009,786			—		—
Semiconductors & Semiconductor Equipment		240,096			240,096			—		—
Software & Services		382,967			382,967			—		—
Technology Hardware & Equipment		969,435			969,435			—		—
Telecommunication Services		109,750			109,750			—		—
Transportation		234,744			234,744			—		—
Utilities		104,168			104,168			—		—
Short-Term Investments		156,746			146,748			9,998		—

Total	$	10,339,327		$	10,329,329		$	9,998	$	—

Liabilities
Futures Contracts⁽²⁾	$	(2,265	)	$	(2,265	)	$	—	$	—

Total	$	(2,265	)	$	(2,265	)	$	—	$	—

⁽¹⁾	For thesix-month period ended March 31, 2020, 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.


		36

Hartford Multifactor US Equity ETF

Schedule of Investments

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7%
		Automobiles & Components - 0.0%
	4,909	Gentex Corp.	$	108,783

		Banks - 3.5%
	71,883	Bank of America Corp.		1,526,076
	35,685	Citigroup, Inc.		1,503,052
	12,517	Citizens Financial Group, Inc.		235,445
	6,115	Fifth Third Bancorp		90,808
	5,574	First Horizon National Corp.		44,926
	12,489	Huntington Bancshares, Inc.		102,535
	22,961	JP Morgan Chase & Co.		2,067,179
	5,314	KeyCorp.		55,106
	1,523	M&T Bank Corp.		157,524
	4,424	PNC Financial Services Group, Inc.		423,465
	10,098	Popular, Inc.		353,430
	6,419	U.S. Bancorp		221,135
	68,997	Wells Fargo & Co.		1,980,214
	10,598	Zions Bancorp NA		283,602

				9,044,497

		Capital Goods - 5.4%
	1,328	Allegion plc		122,203
	4,014	Allison Transmission Holdings, Inc.		130,897
	454	Boeing Co.		67,710
	2,164	BWX Technologies, Inc.		105,408
	4,318	Carlisle Cos., Inc.		540,959
	11,787	Cummins, Inc.		1,595,017
	2,789	Dover Corp.		234,109
	9,478	Eaton Corp. plc		736,346
	3,412	EMCOR Group, Inc.		209,224
	10,885	Emerson Electric Co.		518,670
	1,220	Fastenal Co.		38,125
	5,883	Fortune Brands Home & Security, Inc.		254,440
	2,987	Generac Holdings, Inc.*		278,299
	3,133	HD Supply Holdings, Inc.*		89,071
	1,122	Honeywell International, Inc.		150,112
	1,935	Hubbell, Inc.		222,022
	1,369	Huntington Ingalls Industries, Inc.		249,445
	2,332	Illinois Tool Works, Inc.		331,424
	682	Lincoln Electric Holdings, Inc.		47,058
	1,894	Lockheed Martin Corp.		641,971
	16,624	Masco Corp.		574,692
	19,061	MasTec, Inc.*⁽¹⁾		623,866
	111	Northrop Grumman Corp.		33,583
	2,996	Owens Corning		116,275
	23,604	PACCAR, Inc.		1,442,912
	6,155	Raytheon Co.		807,228
	2,620	Raytheon Technologies Corp.		247,145
	3,169	Simpson Manufacturing Co., Inc.		196,415
	5,262	Snap-on, Inc.		572,611
	5,132	Timken Co.		165,969
	3,143	Toro Co.		204,578
	4,261	Trane Technologies plc		351,916
	2,967	Wabco Holdings, Inc.*		400,693
	5,431	Watsco, Inc.		858,261
	3,119	WW Grainger, Inc.		775,071

				13,933,725

		Commercial & Professional Services - 1.0%
	5,559	FTI Consulting, Inc.*		665,801
	12,498	ManpowerGroup, Inc.		662,269
	5,854	Republic Services, Inc.		439,401
	6,845	Robert Half International, Inc.		258,399
	5,578	Waste Management, Inc.		516,300

				2,542,170


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Consumer Durables & Apparel - 2.0%
	11,126	Carter’s, Inc.	$	731,312
	14,757	D.R. Horton, Inc.		501,738
	1,444	Deckers Outdoor Corp.*		193,496
	11,489	Garmin Ltd.		861,216
	2,433	Helen of Troy Ltd.*		350,425
	974	Leggett & Platt, Inc.		25,986
	1,581	NIKE, Inc. Class B		130,812
	384	NVR, Inc.*		986,538
	30,352	PulteGroup, Inc.		677,457
	7,044	Ralph Lauren Corp.		470,751
	7,933	Skechers USA, Inc. Class A*		188,329
	6,397	Tapestry, Inc.		82,841

				5,200,901

		Consumer Services - 1.0%
	1,134	Darden Restaurants, Inc.		61,758
	51,528	H&R Block, Inc.⁽¹⁾		725,514
	9,676	McDonald’s Corp.		1,599,926
	807	Yum! Brands, Inc.		55,304
				2,442,502
		Diversified Financials - 1.5%
	21,016	AGNC Investment Corp. REIT		222,349
	8,903	Annaly Capital Management, Inc. REIT		45,138
	9,716	Berkshire Hathaway, Inc. Class B*		1,776,376
	13,232	Blackstone Mortgage Trust, Inc. Class A REIT		246,380
	4,571	Capital One Financial Corp.		230,470
	23,896	Chimera Investment Corp. REIT		217,454
	149,034	MFA Financial, Inc. REIT		231,003
	32,884	Starwood Property Trust, Inc. REIT		337,061
	25,995	Synchrony Financial		418,259
	5,215	Two Harbors Investment Corp. REIT		19,869

				3,744,359

		Energy - 1.7%
	23,607	Chevron Corp.		1,710,563
	16,770	ConocoPhillips		516,516
	33,467	Exxon Mobil Corp.		1,270,742
	15,045	Phillips 66		807,164
	4,229	Valero Energy Corp.		191,828

				4,496,813

		Food & Staples Retailing - 3.6%
	4,387	Costco Wholesale Corp.		1,250,865
	58,539	Kroger Co.		1,763,195
	9,780	Performance Food Group Co.*		241,762
	32,452	Sysco Corp.		1,480,785
	42,320	U.S. Foods Holding Corp.*		749,487
	21,241	Walgreens Boots Alliance, Inc.		971,776
	25,883	Walmart, Inc.		2,940,826

				9,398,696

		Food, Beverage & Tobacco - 4.1%
	10,929	Archer-Daniels-Midland Co.		384,482
	27,064	Coca-Cola Co.		1,197,582
	43,015	Flowers Foods, Inc.		882,668
	2,824	General Mills, Inc.		149,022
	8,489	Hershey Co.		1,124,793
	2,045	Hormel Foods Corp.		95,379
	9,173	Kellogg Co.		550,288
	9,111	Lamb Weston Holdings, Inc.		520,238
	22,385	PepsiCo., Inc.		2,688,439
	21,973	Philip Morris International, Inc.		1,603,150
	23,021	Tyson Foods, Inc. Class A		1,332,225

				10,528,266

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


		37

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Health Care Equipment & Services - 8.9%
	20,358	Abbott Laboratories	$	1,606,450
	1,207	Amedisys, Inc.*		221,533
	8,059	Baxter International, Inc.		654,310
	4,435	Boston Scientific Corp.*		144,714
	15,460	Centene Corp.*		918,478
	14,628	Cerner Corp.		921,418
	1,264	Chemed Corp.		547,565
	26,031	CVS Health Corp.		1,544,419
	1,060	Danaher Corp.		146,715
	10,157	DaVita, Inc.*		772,541
	9,313	Dentsply Sirona, Inc.		361,624
	221	Edwards Lifesciences Corp.*		41,685
	33,734	Globus Medical, Inc. Class A*		1,434,707
	2,820	HCA Healthcare, Inc.		253,377
	33,968	Henry Schein, Inc.*		1,716,063
	3,990	Humana, Inc.		1,252,940
	720	Insulet Corp.*		119,290
	6,627	Laboratory Corp. of America Holdings*		837,586
	1,595	LHC Group, Inc.*		223,619
	24,108	Medtronic plc		2,174,059
	8,584	Molina Healthcare, Inc.*		1,199,271
	13,358	NuVasive, Inc.*		676,716
	12,336	Quest Diagnostics, Inc.		990,581
	2,698	ResMed, Inc.		397,388
	2,273	STERIS plc		318,152
	1,518	Stryker Corp.		252,732
	10,482	UnitedHealth Group, Inc.		2,614,001
	3,801	Varian Medical Systems, Inc.*		390,211
	1,180	West Pharmaceutical Services, Inc.		179,655
	1,897	Zimmer Biomet Holdings, Inc.		191,749

				23,103,549

		Household & Personal Products - 1.3%
	2,469	Colgate-Palmolive Co.		163,843
	1,979	Estee Lauder Cos., Inc. Class A		315,334
	8,881	Kimberly-Clark Corp.		1,135,613
	15,379	Procter & Gamble Co.		1,691,690

				3,306,480

		Insurance - 6.5%
	27,715	Aflac, Inc.		948,962
	550	Alleghany Corp.		303,792
	9,370	Allstate Corp.		859,510
	17,207	American Financial Group, Inc.		1,205,867
	15,703	American International Group, Inc.		380,798
	19,819	Arch Capital Group Ltd.*		564,049
	342	Arthur J Gallagher & Co.		27,876
	3,406	Assurant, Inc.		354,531
	14,088	Assured Guaranty Ltd.		363,329
	58,155	Athene Holding Ltd. Class A*		1,443,407
	4,731	Chubb Ltd.		528,405
	2,329	Cincinnati Financial Corp.		175,723
	15,026	CNA Financial Corp.		466,407
	4,067	Everest Re Group Ltd.		782,572
	22,228	Fidelity National Financial, Inc.		553,033
	12,528	First American Financial Corp.		531,312
	2,882	Globe Life, Inc.		207,418
	6,361	Hanover Insurance Group, Inc.		576,179
	116	Markel Corp.*		107,635
	37,511	MetLife, Inc.		1,146,711
	74,940	Old Republic International Corp.		1,142,835
	20,644	Principal Financial Group, Inc.		646,983
	9,376	Prudential Financial, Inc.		488,865
	5,671	Reinsurance Group of America, Inc.		477,158
	5,733	RenaissanceRe Holdings Ltd.		856,052
	5,900	Travelers Cos., Inc.		586,165


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Insurance - 6.5% - (continued)
	594	White Mountains Insurance Group Ltd.	$	540,540
	7,388	WR Berkley Corp.		385,432

				16,651,546

		Materials - 3.8%
	475	Air Products & Chemicals, Inc.		94,815
	3,220	Avery Dennison Corp.		328,021
	5,306	Celanese Corp. Series A		389,407
	3,331	Crown Holdings, Inc.*		193,331
	16,201	Graphic Packaging Holding Co.		197,652
	10,857	International Paper Co.		337,979
	17,138	LyondellBasell Industries N.V. Class A		850,559
	2,913	NewMarket Corp.		1,115,300
	21,396	Newmont Corp.		968,811
	8,201	Nucor Corp.		295,400
	9,351	Packaging Corp. of America		811,947
	8,988	PPG Industries, Inc.		751,397
	13,802	Reliance Steel & Aluminum Co.		1,208,917
	10,788	RPM International, Inc.		641,886
	129	Sherwin-Williams Co.		59,278
	22,317	Sonoco Products Co.		1,034,393
	3,299	Steel Dynamics, Inc.		74,360
	12,344	Valvoline, Inc.		161,583
	12,776	WestRock Co.		361,050

				9,876,086

		Media & Entertainment - 4.6%
	1,416	Alphabet, Inc. Class A*		1,645,321
	290	Cable One, Inc.		476,763
	1,115	Charter Communications, Inc. Class A*		486,486
	53,922	Comcast Corp. Class A		1,853,838
	19,979	Discovery, Inc. Class A*⁽¹⁾		388,392
	8,015	DISH Network Corp. Class A*		160,220
	6,220	Electronic Arts, Inc.*		623,057
	10,365	Facebook, Inc. Class A*		1,728,882
	15,375	Interpublic Group of Cos., Inc.		248,921
	4,783	Liberty Media Corp-Liberty SiriusXM Class C*		151,239
	21,733	Match Group, Inc.*⁽¹⁾		1,435,247
	4,915	News Corp. Class A		44,112
	21,724	Omnicom Group, Inc.		1,192,648
	14,029	Sirius XM Holdings, Inc.⁽¹⁾		69,303
	14,535	Walt Disney Co.		1,404,081

				11,908,510

		Pharmaceuticals, Biotechnology & Life Sciences - 8.5%
	12,997	AbbVie, Inc.		990,241
	10,593	Amgen, Inc.		2,147,519
	2,383	Bio-Rad Laboratories, Inc. Class A*		835,385
	2,502	Biogen, Inc.*		791,583
	57,504	Bristol-Myers Squibb Co.		3,205,273
	4,189	China Biologic Products Holdings, Inc.*		452,119
	11,328	Eli Lilly & Co.		1,571,420
	7,341	Gilead Sciences, Inc.		548,813
	1,901	Horizon Therapeutics plc*		56,308
	12,546	Jazz Pharmaceuticals plc*		1,251,338
	24,011	Johnson & Johnson		3,148,562
	45,281	Merck & Co., Inc.		3,483,920
	69	Mettler-Toledo International, Inc.*		47,645
	80,839	Pfizer, Inc.		2,638,585
	497	Regeneron Pharmaceuticals, Inc.*		242,680
	739	Waters Corp.*		134,535
	4,001	Zoetis, Inc.		470,878

				22,016,804

		Real Estate - 5.1%
	1,283	American Homes 4 Rent Class A, REIT		29,766
	941	American Tower Corp. REIT		204,903

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


		38

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Real Estate - 5.1% - (continued)
	88,409	Apple Hospitality, Inc. REIT	$	810,711
	18,238	Brixmor Property Group, Inc. REIT		173,261
	13,626	CBRE Group, Inc. Class A*		513,836
	12,084	Corporate Office Properties Trust REIT		267,419
	1,503	Crown Castle International Corp. REIT		217,033
	6,181	Duke Realty Corp. REIT		200,141
	279	Equinix, Inc. REIT		174,255
	84,108	Equity Commonwealth REIT		2,667,065
	4,630	Equity LifeStyle Properties, Inc. REIT		266,132
	412	Equity Residential REIT		25,425
	20,434	Gaming and Leisure Properties, Inc. REIT		566,226
	32,596	Healthpeak Properties, Inc. REIT		777,415
	103,586	Host Hotels & Resorts, Inc. REIT		1,143,589
	11,868	Iron Mountain, Inc. REIT⁽¹⁾		282,458
	19,305	Kimco Realty Corp. REIT		186,679
	3,418	Lamar Advertising Co., Class A, REIT		175,275
	7,180	Life Storage, Inc. REIT		678,869
	23,228	Medical Properties Trust, Inc. REIT		401,612
	4,841	MGM Growth Properties LLC Class A, REIT		114,586
	4,743	Mid-America Apartment Communities, Inc. REIT		488,671
	2,204	National Health Investors, Inc. REIT		109,142
	9,968	Omega Healthcare Investors, Inc. REIT		264,551
	707	Prologis, Inc. REIT		56,822
	553	Public Storage REIT		109,831
	8,397	Service Properties Trust REIT		45,344
	13,723	Spirit Realty Capital, Inc. REIT		358,856
	3,570	STORE Capital Corp. REIT		64,688
	1,128	Sun Communities, Inc. REIT		140,831
	12,594	VEREIT, Inc. REIT		61,585
	16,342	Vornado Realty Trust REIT		591,744
	29,974	Weingarten Realty Investors REIT		432,525
	6,881	Welltower, Inc. REIT		315,012
	4,982	WP Carey, Inc. REIT		289,355

				13,205,613

		Retailing - 4.3%
	1,413	AutoZone, Inc.*		1,195,398
	20,234	Best Buy Co., Inc.		1,153,338
	888	Burlington Stores, Inc.*		140,712
	6,401	Dollar General Corp.		966,615
	36,529	Gap, Inc.		257,164
	15,298	Genuine Parts Co.		1,030,014
	9,017	Home Depot, Inc.		1,683,564
	17,016	Kohl’s Corp.		248,263
	19,060	LKQ Corp.*		390,921
	1,670	Lowe’s Cos., Inc.		143,704
	31,498	Nordstrom, Inc.⁽¹⁾		483,179
	1,363	O’Reilly Automotive, Inc.*		410,331
	1,722	Ross Stores, Inc.		149,762
	16,810	Target Corp.		1,562,826
	443	Tiffany & Co.		57,369
	13,141	TJX Cos., Inc.		628,271
	12,101	Williams-Sonoma, Inc.		514,535

				11,015,966

		Semiconductors & Semiconductor Equipment - 3.7%
	8,850	Applied Materials, Inc.		405,507
	1,854	Broadcom, Inc.		439,584
	10,853	Cirrus Logic, Inc.*		712,282
	56,377	Intel Corp.		3,051,123
	4,872	KLA Corp.		700,301
	1,464	Lam Research Corp.		351,360
	1,177	Maxim Integrated Products, Inc.		57,214
	7,307	Micron Technology, Inc.*		307,333
	11,443	Qorvo, Inc.*		922,649
	13,119	QUALCOMM, Inc.		887,500


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Semiconductors & Semiconductor Equipment - 3.7% - (continued)
	10,335	Skyworks Solutions, Inc.	$	923,742
	562	SolarEdge Technologies, Inc.*		46,017
	8,502	Texas Instruments, Inc.		849,605

				9,654,217

		Software & Services - 11.4%
	18,593	Accenture plc Class A		3,035,493
	3,068	Adobe, Inc.*		976,360
	1,214	Akamai Technologies, Inc.*		111,069
	40,025	Amdocs Ltd.		2,200,174
	18,902	Booz Allen Hamilton Holding Corp.		1,297,433
	7,272	Broadridge Financial Solutions, Inc.		689,604
	6,510	CACI International, Inc. Class A*		1,374,587
	1,035	Cadence Design Systems, Inc.*		68,351
	11,216	Citrix Systems, Inc.		1,587,625
	14,944	Cognizant Technology Solutions Corp. Class A		694,448
	572	Fair Isaac Corp.*		175,999
	2,261	Fortinet, Inc.*		228,745
	28,015	Genpact Ltd.		818,038
	12,386	International Business Machines Corp.		1,373,979
	5,621	j2 Global, Inc.		420,732
	1,716	Jack Henry & Associates, Inc.		266,392
	13,468	Leidos Holdings, Inc.		1,234,342
	5,309	Mastercard, Inc. Class A		1,282,442
	21,410	MAXIMUS, Inc.		1,246,062
	14,357	Microsoft Corp.		2,264,242
	15,152	Oracle Corp.		732,296
	9,820	Paychex, Inc.		617,874
	5,418	Sabre Corp.		32,129
	221	salesforce.com, Inc.*		31,820
	3,222	Synopsys, Inc.*		414,961
	1,711	Tyler Technologies, Inc.*		507,414
	8,171	Visa, Inc. Class A		1,316,512
	14,695	VMware, Inc. Class A*⁽¹⁾		1,779,565
	143,647	Western Union Co.		2,604,320

				29,383,008

		Technology Hardware & Equipment - 7.7%
	8,618	Amphenol Corp. Class A		628,080
	10,083	Apple, Inc.		2,564,006
	14,271	CDW Corp.		1,331,056
	5,220	Ciena Corp.*		207,808
	54,602	Cisco Systems, Inc.		2,146,405
	2,626	Corning, Inc.		53,938
	9,723	Dolby Laboratories, Inc. Class A		527,084
	3,306	F5 Networks, Inc.*		352,519
	38,255	Hewlett Packard Enterprise Co.		371,456
	82,170	HP, Inc.		1,426,471
	42,239	Jabil, Inc.		1,038,235
	39,879	Juniper Networks, Inc.		763,284
	2,211	Keysight Technologies, Inc.*		185,016
	5,266	Motorola Solutions, Inc.		699,957
	16,075	NetApp, Inc.		670,167
	43,958	Seagate Technology plc		2,145,150
	8,657	SYNNEX Corp.		632,827
	13,823	TE Connectivity Ltd.		870,573
	12,832	Tech Data Corp.*		1,679,067
	697	Ubiquiti, Inc.⁽¹⁾		98,681
	16,800	Viavi Solutions, Inc.*		188,328
	43,750	Xerox Holdings Corp.*		828,625
	2,020	Zebra Technologies Corp. Class A*		370,872

				19,779,605

		Telecommunication Services - 3.7%
	115,474	AT&T, Inc.		3,366,067
	1,495	GCI Liberty, Inc. Class A*		85,170

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


		39

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.7% - (continued)
		Telecommunication Services - 3.7% - (continued)
	19,443	T-Mobile U.S., Inc.*	$	1,631,268
	82,339	Verizon Communications, Inc.		4,424,074

				9,506,579

		Transportation - 0.7%
	2,316	Alaska Air Group, Inc.		65,937
	12,844	CH Robinson Worldwide, Inc.		850,273
	7,299	Delta Air Lines, Inc.		208,240
	11,040	JetBlue Airways Corp.*		98,808
	1,078	Landstar System, Inc.		103,337
	2,881	Southwest Airlines Co.		102,592
	4,782	United Airlines Holdings, Inc.*		150,872
	2,897	United Parcel Service, Inc. Class B		270,638

				1,850,697

		Utilities - 5.7%
	4,769	AES Corp.		64,858
	11,673	Alliant Energy Corp.		563,689
	3,621	Ameren Corp.		263,717
	7,622	American Electric Power Co., Inc.		609,608
	4,038	Avangrid, Inc.		176,784
	4,415	Avista Corp.		187,593
	5,310	CenterPoint Energy, Inc.		82,039
	11,098	CMS Energy Corp.		652,007
	10,645	Consolidated Edison, Inc.		830,310
	3,319	Dominion Energy, Inc.		239,599
	4,943	DTE Energy Co.		469,437
	7,486	Duke Energy Corp.		605,468
	8,351	Entergy Corp.		784,743
	9,465	Evergy, Inc.		521,048
	3,412	Eversource Energy		266,852
	14,884	Exelon Corp.		547,880
	19,741	FirstEnergy Corp.		791,022
	8,284	Hawaiian Electric Industries, Inc.		356,626
	22,860	MDU Resources Group, Inc.		491,490
	7,993	NextEra Energy, Inc.		1,923,276
	1,388	NorthWestern Corp.		83,044
	2,753	Pinnacle West Capital Corp.		208,650
	6,290	Portland General Electric Co.		301,543
	39,235	PPL Corp.		968,320
	8,298	Public Service Enterprise Group, Inc.		372,663
	2,746	Sempra Energy		310,271
	20,340	Southern Co.		1,101,208
	5,520	WEC Energy Group, Inc.		486,478
	9,097	Xcel Energy, Inc.		548,549

				14,808,772


		Total Common Stocks (cost $296,646,609)	$	257,508,144


SHORT-TERM INVESTMENTS - 1.9%
		Securities Lending Collateral - 1.9%
	242,242	Citibank NA DDCA, 0.08%, 4/1/2020⁽²⁾		242,242
	2,596,558	Fidelity Investments Money Market Funds, Government Portfolio, Institutional Class, 0.30%⁽²⁾		2,596,558
	515,717	Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 0.32%⁽²⁾		515,717
	1,482,169	Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 0.23%⁽²⁾		1,482,169

				4,836,686


Shares or Principal Amount			Market Value^†

SHORT-TERM INVESTMENTS - 1.9% - (continued)
		U.S. Treasury - 0.0%
	9,000	0.07%, 12/31/2020⁽³⁾⁽⁴⁾	$	8,993
	11,000	0.08%, 09/10/2020⁽³⁾⁽⁴⁾		10,995
	65,000	0.28%, 06/18/2020⁽³⁾⁽⁴⁾		64,987

				84,975


		Total Short-Term Investments (cost $4,921,638)	$	4,921,661



Total Investments (cost $301,568,247)	101.6	%	$	262,429,805
Other Assets and Liabilities	(1.6	)%		(4,102,187	)

Total Net Assets	100.0	%	$	258,327,618

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⁾	Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information.

⁽²⁾	Current yield as of period end.

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

⁽⁴⁾	All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of March 31, 2020, the market value of securities pledged was $84,975.

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


		40

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2020 (Unaudited)


Futures Contracts Outstanding at March 31, 2020
Description	Numberof Contracts		Expiration Date		Current Notional Amount		Value and Unrealized Appreciation/ (Depreciation)
Long position contracts:
S&P 500(E-Mini) Future		5		06/19/2020	$	642,425	$	(28,308	)

Total futures contracts							$	(28,308	)

^†	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 March 31, 2020 in valuing the Fund’s investments.


Description	Total			Level 1			Level 2		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	108,783		$	108,783		$	—	$	—
Banks		9,044,497			9,044,497			—		—
Capital Goods		13,933,725			13,933,725			—		—
Commercial & Professional Services		2,542,170			2,542,170			—		—
Consumer Durables & Apparel		5,200,901			5,200,901			—		—
Consumer Services		2,442,502			2,442,502			—		—
Diversified Financials		3,744,359			3,744,359			—		—
Energy		4,496,813			4,496,813			—		—
Food & Staples Retailing		9,398,696			9,398,696			—		—
Food, Beverage & Tobacco		10,528,266			10,528,266			—		—
Health Care Equipment & Services		23,103,549			23,103,549			—		—
Household & Personal Products		3,306,480			3,306,480			—		—
Insurance		16,651,546			16,651,546			—		—
Materials		9,876,086			9,876,086			—		—
Media & Entertainment		11,908,510			11,908,510			—		—
Pharmaceuticals, Biotechnology & Life Sciences		22,016,804			22,016,804			—		—
Real Estate		13,205,613			13,205,613			—		—
Retailing		11,015,966			11,015,966			—		—
Semiconductors & Semiconductor Equipment		9,654,217			9,654,217			—		—
Software & Services		29,383,008			29,383,008			—		—
Technology Hardware & Equipment		19,779,605			19,779,605			—		—
Telecommunication Services		9,506,579			9,506,579			—		—
Transportation		1,850,697			1,850,697			—		—
Utilities		14,808,772			14,808,772			—		—
Short-Term Investments		4,921,661			4,836,686			84,975		—

Total	$	262,429,805		$	262,344,830		$	84,975	$	—

Liabilities
Futures Contracts⁽²⁾	$	(28,308	)	$	(28,308	)	$	—	$	—

Total	$	(28,308	)	$	(28,308	)	$	—	$	—

⁽¹⁾	For thesix-month period ended March 31, 2020, 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.


		41

Hartford Multifactor ETFs

Glossary (abbreviations used in the preceding Schedules of Investments)


Index Abbreviations:
MSCI		Morgan Stanley Capital International

Other Abbreviations:
ADR		American Depositary Receipt
DDCA		Dollars on Deposit in Custody Account
GDR		Global Depositary Receipt
NVDR		Non-Voting Depositary Receipt
PJSC		Private Joint Stock Company
PT		Perseroan Terbatas
REIT		Real Estate Investment Trust


		42

Hartford Multifactor ETFs

Statements of Assets and Liabilities

March 31, 2020 (Unaudited)


	Hartford Multifactor Developed Markets(ex-US) ETF			Hartford Multifactor Diversified International ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Low Volatility US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	1,966,481,418		$	4,098,581		$	37,857,434		$	7,260,749
Cash		2,949,894			1,440			—			3,310
Foreign currency		4,764,335			1,157			200,653			—
Receivables:
Dividends and interest		10,465,247			23,479			235,861			14,573
Securities lending income		33,359			17			—			11
Variation margin on futures contracts		—			—			4,125			—
Tax reclaims		1,490,529			2,772			4,666			—

Total assets		1,986,184,782			4,127,446			38,302,739			7,278,643

Liabilities:
Due to custodian		—			—			51,663			—
Obligation to return securities lending collateral		20,666,732			44,272			—			29,515
Payables:
Investment securities purchased		2,193,560			—			—			—
Investment management fees		522,860			1,047			18,890			1,180
Variation margin on futures contracts		135,676			—			—			—

Total liabilities		23,518,828			45,319			70,553			30,695

Net assets	$	1,962,665,954		$	4,082,127		$	38,232,186		$	7,247,948

Summary of Net Assets:
Paid-in-capital	$	2,592,149,919		$	5,139,645		$	66,498,983		$	8,401,941
Distributable loss		(629,483,965	)		(1,057,518	)		(28,266,797	)		(1,153,993	)

Net assets	$	1,962,665,954		$	4,082,127		$	38,232,186		$	7,247,948

Net asset value per share	$	22.06		$	20.41		$	16.62		$	24.16

Shares issued and outstanding		88,950,000			200,000			2,300,000			300,000

Cost of investments	$	2,343,940,813		$	5,052,151		$	46,388,766		$	8,057,084
Cost of foreign currency	$	4,692,746		$	1,170		$	201,696		$	—

⁽¹⁾ Includes Investment in securities on loan, at market value	$	35,751,126		$	66,607		$	—		$	29,210

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


		43

Hartford Multifactor ETFs

Statements of Assets and Liabilities – (continued)

March 31, 2020 (Unaudited)


	Hartford Multifactor REIT ETF			Hartford Multifactor Small Cap ETF			Hartford Multifactor US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	3,308,833		$	10,339,327		$	262,429,805
Cash		582			67,426			298,449
Foreign currency		—			62			—
Receivables:
Dividends and interest		23,788			16,059			485,540
Securities lending income		500			219			6,457
Tax reclaims		—			2,633			—

Total assets		3,333,703			10,425,726			263,220,251

Liabilities:
Obligation to return securities lending collateral		45,553			146,748			4,836,686
Payables:
Investment management fees		1,391			3,176			45,586
Variation margin on futures contracts		—			314			10,361

Total liabilities		46,944			150,238			4,892,633

Net assets	$	3,286,759		$	10,275,488		$	258,327,618

Summary of Net Assets:
Paid-in-capital	$	5,120,435		$	16,130,005		$	325,223,605
Distributable loss		(1,833,676	)		(5,854,517	)		(66,895,987	)

Net assets	$	3,286,759		$	10,275,488		$	258,327,618

Net asset value per share	$	10.96		$	20.55		$	26.03

Shares issued and outstanding		300,000			500,000			9,925,000

Cost of investments	$	4,971,339		$	13,903,316		$	301,568,247
Cost of foreign currency	$	—		$	64		$	—

⁽¹⁾ Includes Investment in securities on loan, at market value	$	38,025		$	139,509		$	4,740,214

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


		44

Hartford Multifactor ETFs

Statements of Operations

For theSix-Month Period Ended March 31, 2020 (Unaudited)


	Hartford Multifactor Developed Markets(ex-US) ETF			Hartford Multifactor Diversified International ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Low Volatility US Equity ETF
Investment Income:
Dividends	$	33,314,851		$	71,215		$	784,204		$	108,576
Interest		4,007			—			—			—
Securities lending		109,121			38			309			37
Less: Foreign tax withheld		(2,929,479	)		(7,585	)		(96,843	)		—

Total investment income, net		30,498,500			63,668			687,670			108,613

Expenses:
Investment management fees		3,784,029			7,623			143,536			7,397

Total expenses, net		3,784,029			7,623			143,536			7,397

Net Investment Income (Loss)		26,714,471			56,045			544,134			101,216

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions:
Net realized gain (loss) on investments		(126,030,833	)⁽¹⁾		20,524	⁽¹⁾		(7,174,750	)⁽¹⁾		(134,400	)
Net realized gain (loss) on futures contracts		(2,696,438	)		759			(114,530	)		—
Net realized gain (loss) on other foreign currency transactions		(635,270	)		(1,651	)		(1,222	)		—

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(129,362,541	)		19,632			(7,290,502	)		(134,400	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		(430,237,985	)		(1,277,784	)		(9,099,632	)		(1,819,988	)
Net unrealized appreciation (depreciation) of futures contracts		1,172,572			—			29,330			—
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		28,214			(494	)		(18,689	)		—

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions		(429,037,199	)		(1,278,278	)		(9,088,991	)		(1,819,988	)

Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(558,399,740	)		(1,258,646	)		(16,379,493	)		(1,954,388	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(531,685,269	)	$	(1,202,601	)	$	(15,835,359	)	$	(1,853,172	)

⁽¹⁾	Includes realized gains/(losses) as a result ofin-kind redemptions (See Note 11 in Notes to Financial Statements).

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


		45

Hartford Multifactor ETFs

Statements of Operations – (continued)

For theSix-Month Period Ended March 31, 2020 (Unaudited)


	Hartford Multifactor REIT ETF			Hartford Multifactor Small Cap ETF			Hartford Multifactor US Equity ETF
Investment Income:
Dividends	$	185,124		$	175,185		$	4,214,647
Interest		48			—			637
Securities lending		4,193			1,641			23,852
Less: Foreign tax withheld		—			(1,423	)		(647	)

Total investment income, net		189,365			175,403			4,238,489

Expenses:
Investment management fees		20,638			28,554			309,058

Total expenses, net		20,638			28,554			309,058

Net Investment Income (Loss)		168,727			146,849			3,929,431

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions:
Net realized gain (loss) on investments		751,321	⁽¹⁾		(360,475	)⁽¹⁾		(14,374,402	)⁽¹⁾
Net realized gain (loss) on futures contracts		1,351			(10,862	)		(81,084	)
Net realized gain (loss) on other foreign currency transactions		—			(2,306	)		—

Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		752,672			(373,643	)		(14,455,486	)

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		(2,531,585	)		(3,341,377	)		(52,226,955	)
Net unrealized appreciation (depreciation) of futures contracts		(809	)		1,419			(2,968	)
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		—			722			—

Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions		(2,532,394	)		(3,339,236	)		(52,229,923	)

Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions		(1,779,722	)		(3,712,879	)		(66,685,409	)

Net Increase (Decrease) in Net Assets Resulting from Operations	$	(1,610,995	)	$	(3,566,030	)	$	(62,755,978	)

⁽¹⁾	Includes realized gains/(losses) as a result ofin-kind redemptions (See Note 11 in Notes to Financial Statements).

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


		46

Hartford Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Developed Markets(ex-US) ETF						Hartford Multifactor Diversified International ETF
	For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019			For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019
Operations:
Net investment income (loss)	$	26,714,471		$	63,317,974		$	56,045		$	138,588
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		(129,362,541	)		(62,452,895	)		19,632			(28,508	)
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		(429,037,199	)		38,750,597			(1,278,278	)		(73,992	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(531,685,269	)		39,615,676			(1,202,601	)		36,088

Distributions to Shareholders		(33,257,706	)		(48,161,644	)		(86,559	)		(137,798	)

Fund Share Transactions:
Sold		461,066,719			1,846,730,495			2,754,532			—
Redeemed		(269,145,944	)		(313,561,980	)		(2,751,610	)		—
Other Capital		—			—			—			—

Net increase (decrease) from capital share transactions		191,920,775			1,533,168,515			2,922			—

Net Increase (Decrease) in Net Assets		(373,022,200	)		1,524,622,547			(1,286,238	)		(101,710	)

Net Assets:
Beginning of period		2,335,688,154			811,065,607			5,368,365			5,470,075

End of period	$	1,962,665,954		$	2,335,688,154		$	4,082,127		$	5,368,365

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


		47

Hartford Multifactor ETFs

Statements of Changes in Net Assets – (continued)


	Hartford Multifactor Emerging Markets ETF						Hartford Multifactor Low Volatility US Equity ETF
	For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019			For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019
Operations:
Net investment income (loss)	$	544,134		$	2,213,962		$	101,216		$	148,457
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		(7,290,502	)		(4,429,577	)		(134,400	)		369,522
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		(9,088,991	)		(935,898	)		(1,819,988	)		283,389

Net Increase (Decrease) in Net Assets Resulting from Operations		(15,835,359	)		(3,151,513	)		(1,853,172	)		801,368

Distributions to Shareholders		(1,684,698	)		(2,004,488	)		(92,259	)		(140,380	)

Fund Share Transactions:
Sold		—			33,068,894			1,485,560			4,275,263
Redeemed		(13,084,093	)		(24,270,963	)		—			(2,971,711	)
Other Capital		13,039			101,198			—			—

Net increase (decrease) from capital share transactions		(13,071,054	)		8,899,129			1,485,560			1,303,552

Net Increase (Decrease) in Net Assets		(30,591,111	)		3,743,128			(459,871	)		1,964,540

Net Assets:
Beginning of period		68,823,297			65,080,169			7,707,819			5,743,279

End of period	$	38,232,186		$	68,823,297		$	7,247,948		$	7,707,819

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


		48

Hartford Multifactor ETFs

Statements of Changes in Net Assets – (continued)


	Hartford Multifactor REIT ETF						Hartford Multifactor Small Cap ETF						Hartford Multifactor US Equity ETF
	For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019			For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019			For the Six-Month Period Ended March 31, 2020 (Unaudited)			For the Year Ended September 30, 2019
Operations:
Net investment income (loss)	$	168,727		$	796,798		$	146,849		$	605,140		$	3,929,431		$	5,596,827
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions		752,672			1,164,481			(373,643	)		537,803			(14,455,486	)		(573,460	)
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions		(2,532,394	)		415,498			(3,339,236	)		(2,718,903	)		(52,229,923	)		831,976

Net Increase (Decrease) in Net Assets Resulting from Operations		(1,610,995	)		2,376,777			(3,566,030	)		(1,575,960	)		(62,755,978	)		5,855,343

From distributable earnings		(95,000	)		(833,172	)		—			—			(3,861,894	)		(5,407,729	)
From tax return of capital		—			(402,584	)		—			—			—			—

Total distributions		(95,000	)		(1,235,756	)		(360,000	)		(601,511	)		(3,861,894	)		(5,407,729	)

Fund Share Transactions:
Sold		—			7,709,666			3,000,116			5,860,452			43,059,756			182,696,968
Redeemed		(13,007,345	)		(18,538,614	)		(5,932,462	)		(8,794,812	)		(25,605,535	)		(48,956,914	)
Other Capital		—			—			936			1,652			—			—

Net increase (decrease) from capital share transactions		(13,007,345	)		(10,828,948	)		(2,931,410	)		(2,932,708	)		17,454,221			133,740,054

Net Increase (Decrease) in Net Assets		(14,713,340	)		(9,687,927	)		(6,857,440	)		(5,110,179	)		(49,163,651	)		134,187,668

Net Assets:
Beginning of period		18,000,099			27,688,026			17,132,928			22,243,107			307,491,269			173,303,601

End of period	$	3,286,759		$	18,000,099		$	10,275,488		$	17,132,928		$	258,327,618		$	307,491,269

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


		49

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 theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	27.76	$	0.28	$	(5.63	)	$	(5.35	)	$	—		$	(0.35	)	$	—	$	—	$	(0.35	)	$	22.06		(19.58	)%⁽⁵⁾	$	1,962,666		0.29	%⁽⁶⁾		0.29	%⁽⁶⁾		2.05	%⁽⁶⁾		25	%

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	⁽⁷⁾	$	1.36		$	—	⁽⁸⁾	$	(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 Year Ended September 30, 2015⁽⁹⁾
	$	25.00	$	0.55	$	(2.35	)	$	(1.80	)	$	—		$	(0.36	)	$	—	$	—	$	(0.36	)	$	22.84		(7.36	)%⁽⁵⁾	$	27,406		0.50	%⁽⁶⁾		0.50	%⁽⁶⁾		3.75	%⁽⁶⁾		42	%

Hartford Multifactor Diversified International ETF

For theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	26.84	$	0.28	$	(6.28	)	$	(6.00	)	$	—		$	(0.43	)	$	—	$	—	$	(0.43	)	$	20.41		(22.76	)%⁽⁵⁾	$	4,082		0.29	%⁽⁶⁾		0.29	%⁽⁶⁾		2.13	%⁽⁶⁾		110	%

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 Year Ended September 30, 2017⁽¹⁰⁾
	$	25.02	$	0.30	$	1.40		$	1.70		$	—		$	(0.14	)	$	—	$	—	$	(0.14	)	$	26.58		6.84	%⁽⁵⁾	$	5,317		0.39	%⁽⁶⁾		0.39	%⁽⁶⁾		3.01	%⁽⁶⁾		48	%

Hartford Multifactor Emerging Markets ETF

For theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	22.20	$	0.18	$	(5.20	)	$	(5.02	)	$	—		$	(0.56	)	$	—	$	—	$	(0.56	)	$	16.62		(23.31	)%⁽⁵⁾	$	38,232		0.44	%⁽⁶⁾		0.44	%⁽⁶⁾		1.67	%⁽⁶⁾		32	%

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 Year Ended September 30, 2015⁽⁹⁾
	$	25.00	$	0.44	$	(5.55	)	$	(5.11	)	$	—		$	(0.21	)	$	—	$	—	$	(0.21	)	$	19.68		(20.59	)%⁽⁵⁾	$	19,685		0.65	%⁽⁶⁾		0.65	%⁽⁶⁾		3.23	%⁽⁶⁾		17	%

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


		50

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 theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	30.83	$	0.39	$	(6.71	)	$	(6.32	)	$	—		$	(0.35	)	$	—		$	—		$	(0.35	)	$	24.16		(20.67	)%⁽⁵⁾	$	7,248		0.19	%⁽⁶⁾		0.19	%⁽⁶⁾		2.60	%⁽⁶⁾		28	%

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 Year Ended September 30, 2017⁽¹⁰⁾
	$	25.03	$	0.20	$	0.68		$	0.88		$	—		$	(0.17	)	$	—		$	—		$	(0.17	)	$	25.74		3.53	%⁽⁵⁾	$	3,861		0.29	%⁽⁶⁾		0.29	%⁽⁶⁾		2.05	%⁽⁶⁾		16	%

Hartford Multifactor REIT ETF

For theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	16.36	$	0.30	$	(5.51	)	$	(5.21	)	$	—		$	(0.19	)	$	—		$	—		$	(0.19	)	$	10.96		(32.21	)%⁽⁵⁾	$	3,287		0.45	%⁽⁶⁾		0.45	%⁽⁶⁾		3.68	%⁽⁶⁾		12	%

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	)⁽⁷⁾	$	0.47		$	—		$	(0.61	)	$	—		$	(0.04	)	$	(0.65	)	$	15.38		3.27	%	$	27,688		0.45	%		0.45	%		3.89	%		35	%

For the Year Ended September 30, 2017⁽¹¹⁾
	$	14.79	$	0.50	$	0.74		$	1.24		$	—		$	(0.45	)	$	(0.02	)	$	—		$	(0.47	)	$	15.56		8.47	%⁽⁵⁾	$	9,337		0.50	%⁽⁶⁾		0.45	%⁽⁶⁾		3.29	%⁽⁶⁾		43	%

Hartford Multifactor Small Cap ETF

For theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	28.55	$	0.26	$	(7.66	)	$	(7.40	)	$	—		$	(0.60	)	$	—		$	—		$	(0.60	)	$	20.55		(26.63	)%⁽⁵⁾	$	10,275		0.35	%⁽⁶⁾		0.35	%⁽⁶⁾		1.80	%⁽⁶⁾		114	%

For the Year Ended September 30, 2019
	$	31.78	$	0.81	$	(3.23	)	$	(2.42	)	$	—	⁽⁸⁾	$	(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		$	—	⁽⁸⁾	$	(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 Year Ended September 30, 2015⁽¹²⁾
	$	25.00	$	0.44	$	(2.54	)	$	(2.10	)	$	—		$	(0.21	)	$	—		$	—		$	(0.21	)	$	22.69		(8.50	)%⁽⁵⁾	$	6,807		0.60	%⁽⁶⁾		0.60	%⁽⁶⁾		3.44	%⁽⁶⁾		44	%

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


		51

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 US Equity ETF

For theSix-Month Period Ended March 31, 2020 (Unaudited)
	$	32.20	$	0.39	$	(6.17	)	$	(5.78	)	$	—	$	(0.39	)	$	—	$	—	$	(0.39	)	$	26.03		(18.11	)%⁽⁵⁾	$	258,328		0.19	%⁽⁶⁾		0.19	%⁽⁶⁾		2.42	%⁽⁶⁾		32	%

For the Year Ended September 30, 2019
	$	33.01	$	0.73	$	(0.89	)⁽⁷⁾	$	(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 Year Ended September 30, 2015⁽⁹⁾
	$	25.00	$	0.26	$	(2.11	)	$	(1.85	)	$	—	$	(0.25	)	$	—	$	—	$	(0.25	)	$	22.90		(7.46	)%⁽⁵⁾	$	22,900		0.35	%⁽⁶⁾		0.35	%⁽⁶⁾		1.82	%⁽⁶⁾		38	%

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

⁽²⁾

Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day.

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

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

⁽⁵⁾	Not annualized.

⁽⁶⁾	Annualized.

⁽⁷⁾	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.

⁽⁸⁾	Per share amount is less than $0.005.

⁽⁹⁾	Commenced operations on February 25, 2015.

⁽¹⁰⁾	Commenced operations on May 10, 2017.

⁽¹¹⁾	Commenced operations on October 3, 2016.

⁽¹²⁾	Commenced operations on March 23, 2015.

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


		52

Hartford Multifactor ETFs

Notes to Financial Statements

March 31, 2020 (Unaudited)

1.	Organization:

Lattice Strategies Trust (the “Trust”) is anopen-end registered management investment company comprised of seven series as of March 31, 2020. 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 Diversified International ETF (the “Multifactor Diversified International ETF”) (formerly, Hartford Multifactor Low Volatility International Equity ETF)

Hartford Multifactor Emerging Markets ETF (the “Multifactor Emerging Markets 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 Small Cap ETF (the “Multifactor Small Cap ETF”) (formerly, Hartford Multifactor Global Small Cap 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 REIT ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF are listed and traded on NYSE Arca, Inc. (“NYSE Arca”). Shares of Multifactor Diversified International 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 Diversified International ETF and Multifactor Low Volatility US Equity ETF commenced operations on May 10, 2017. Multifactor REIT ETF commenced operations on October 3, 2016. Multifactor 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


		53

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV.

Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase or redeem shares of the Fund.

Fixed income investments (other than short-term obligations) held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.

Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“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.


		54

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

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 Diversified International ETF and Multifactor Emerging Markets ETF is to pay dividends from net investment income, 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. During the six-month period ended March 31, 2020, the policy of the Multifactor Small Cap ETF was to pay dividends semi-annually. Effective June 1, 2020, the policy of the Multifactor Small Cap ETF will be to pay dividends 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.

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.


		55

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

4.	Financial Derivative Instruments:

The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as ofperiod-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations.

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 thesix-month period ended March 31, 2020, the Funds had not used Foreign Currency Contracts. There were no open contracts at March 31, 2020.

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 thesix-month period ended March 31, 2020, Multifactor Developed Markets(ex-US) ETF, Multifactor Diversified International ETF, Multifactor Emerging Markets ETF, Multifactor 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 March 31, 2020:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:
Unrealized appreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	1,129,525	$	—	$	—	$	1,129,525

Total	$	—	$	—	$	—	$	1,129,525	$	—	$	—	$	1,129,525

⁽¹⁾

Amount represents the cumulative appreciation and 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.


		56

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

Multifactor Developed Markets(ex-US) ETF – (continued)

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	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	$	—	$	—	$	—	$	(2,696,438	)	$	—	$	—	$	(2,696,438	)

Total	$	—	$	—	$	—	$	(2,696,438	)	$	—	$	—	$	(2,696,438	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	1,172,572		$	—	$	—	$	1,172,572

Total	$	—	$	—	$	—	$	1,172,572		$	—	$	—	$	1,172,572

For the period ended March 31, 2020, 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		114

Multifactor Diversified International ETF

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	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	$	—	$	—		$	—	$	759	$	—	$	—	$	759

Total	$	—	$	—	��	$	—	$	759	$	—	$	—	$	759

For the period ended March 31, 2020, 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 Emerging Markets ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2020:


	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⁾	$	—	$	—	$	—	$	21,562	$	—	$	—	$	21,562

Total	$	—	$	—	$	—	$	21,562	$	—	$	—	$	21,562

⁽¹⁾


		57

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

Multifactor Emerging Markets ETF – (continued)

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	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	$	—	$	—	$	—	$	(114,530	)	$	—	$	—	$	(114,530	)

Total	$	—	$	—	$	—	$	(114,530	)	$	—	$	—	$	(114,530	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	29,330		$	—	$	—	$	29,330

Total	$	—	$	—	$	—	$	29,330		$	—	$	—	$	29,330

For the period ended March 31, 2020, 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		7

Multifactor REIT ETF

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	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	$	—	$	—	$	—	$	1,351		$	—	$	—	$	1,351

Total	$	—	$	—	$	—	$	1,351		$	—	$	—	$	1,351


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(809	)	$	—	$	—	$	(809	)

Total	$	—	$	—	$	—	$	(809	)	$	—	$	—	$	(809	)

For the period ended March 31, 2020, the average amount or number per contract outstanding for each derivative type was as follows:


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

Multifactor Small Cap ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2020:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:

Liabilities:
Unrealized depreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	2,265	$	—	$	—	$	2,265

Total	$	—	$	—	$	—	$	2,265	$	—	$	—	$	2,265

⁽¹⁾


		58

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

Multifactor Small Cap ETF – (continued)

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts			Commodity Contracts		Other Contracts		Total
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations:
Net realized gain (loss) on futures contracts	$	—	$	—	$	—	$	(10,862	)	$	—	$	—	$	(10,862	)

Total	$	—	$	—	$	—	$	(10,862	)	$	—	$	—	$	(10,862	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	1,419		$	—	$	—	$	1,419

Total	$	—	$	—	$	—	$	1,419		$	—	$	—	$	1,419

For the period ended March 31, 2020, the average amount or number per contract outstanding for each derivative type was as follows:


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

Multifactor US Equity ETF

The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of March 31, 2020:


	Risk Exposure Category
	Interest Rate Contracts		Foreign Exchange Contracts		Credit Contracts		Equity Contracts		Commodity Contracts		Other Contracts		Total
Assets:

Liabilities:
Unrealized depreciation on futures contracts⁽¹⁾	$	—	$	—	$	—	$	28,308	$	—	$	—	$	28,308

Total	$	—	$	—	$	—	$	28,308	$	—	$	—	$	28,308

⁽¹⁾

The Effect of Derivative Instruments on the Statement of Operations for the period ended March 31, 2020:


	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	$	—	$	—	$	—	$	(81,084	)	$	—	$	—	$	(81,084	)

Total	$	—	$	—	$	—	$	(81,084	)	$	—	$	—	$	(81,084	)


Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations:
Net change in unrealized appreciation (depreciation) of futures contracts	$	—	$	—	$	—	$	(2,968	)	$	—	$	—	$	(2,968	)

Total	$	—	$	—	$	—	$	(2,968	)	$	—	$	—	$	(2,968	)

For the period ended March 31, 2020, the average amount or number per contract outstanding for each derivative type was as follows:


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


		59

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

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 March 31, 2020:

Multifactor Developed Markets(ex-US) ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	1,129,525		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		1,129,525			—

Derivatives not subject to a MNA		(1,129,525	)		—

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

Multifactor Emerging Markets ETF


Derivative Financial Instruments:	Assets			Liabilities
Futures contracts	$	21,562		$	—

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		21,562			—

Derivatives not subject to a MNA		(21,562	)		—

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

Multifactor Small Cap ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(2,265	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(2,265	)

Derivatives not subject to a MNA		—		2,265

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

Multifactor US Equity ETF


Derivative Financial Instruments:	Assets		Liabilities
Futures contracts	$	—	$	(28,308	)

Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities		—		(28,308	)

Derivatives not subject to a MNA		—		28,308

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.


		60

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

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, 2020. 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.

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:


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 Diversified International ETF		123,557		—
Multifactor Emerging Markets ETF		6,704,506		5,173,561
Multifactor Low Volatility US Equity ETF		148,022		72,935
Multifactor REIT ETF		598,680		140,270
Multifactor Small Cap ETF		1,200,254		701,424
Multifactor US Equity ETF		9,907,946		3,578,510

Tax Basis of Investments– The aggregate cost of investments for federal income tax purposes at March 31, 2020 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which consists of gross unrealized appreciation and depreciation, is disclosed below:


Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Depreciation
Multifactor Developed Markets(ex-US) ETF	$	2,343,940,813	$	49,761,323	$	(426,091,193	)	$	(376,329,870	)
Multifactor Diversified International ETF		5,052,151		61,792		(1,015,362	)		(953,570	)
Multifactor Emerging Markets ETF		46,388,766		816,990		(9,326,760	)		(8,509,770	)
Multifactor Low Volatility US Equity ETF		8,057,084		291,028		(1,087,363	)		(796,335	)
Multifactor REIT ETF		4,971,339		152,740		(1,815,246	)		(1,662,506	)
Multifactor Small Cap ETF		13,903,316		156,018		(3,722,273	)		(3,566,255	)
Multifactor US Equity ETF		301,568,247		5,335,399		(44,502,149	)		(39,166,750	)

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.


		61

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of March 31, 2020; 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 Diversified International ETF		0.29	%
Multifactor Emerging Markets ETF		0.44	%
Multifactor Low Volatility US Equity ETF		0.19	%
Multifactor REIT ETF		0.45	%
Multifactor Small Cap ETF		0.34	%
Multifactor US Equity ETF		0.19	%

Prior to November 6, 2019, Multifactor Small Cap ETF paid the rate of 0.39% 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 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 six-month period ended March 31, 2020, 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 thesix-month period ended March 31, 2020, the Trust’s Chief Compliance Officer’s (“CCO”) compensation was paid by HFMC. As part of the Trust’s Chief Compliance Services Agreement, HFMC pays any CCO compensation on behalf of the Funds.

8.	Securities Lending:

The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. andnon-U.S. markets in an amount not to exceedone-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned.

A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the risk that the principal value of the collateral invested may decline; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund.

The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations.


		62

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

The following table presents the market value of the Funds’ securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Funds as of March 31, 2020.


Fund	Investment Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities⁽¹⁾		Collateral Posted by Borrower⁽³⁾			Net Amount⁽²⁾
Multifactor Developed Markets(ex-US) ETF	$	35,751,126	$	(35,751,126	)		—
Multifactor Diversified International ETF		66,607		(66,607	)		—
Multifactor Low Volatility US Equity ETF		29,210		(29,210	)		—
Multifactor REIT ETF		38,025		(38,025	)		—
Multifactor Small Cap ETF		139,509		(139,509	)		—
Multifactor US Equity ETF		4,740,214		(4,740,214	)		—

⁽¹⁾

It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract.

⁽²⁾

Net amount represents the net amount receivable due from the counterparty in the event of default.

⁽³⁾

Collateral received in excess of the market value of securities on loan is not presented in this table.

The total cash andnon-cash collateral received by each Fund in connection with securities lending transactions is presented below:


Fund	Cash Collateral		Non-Cash Collateral
Multifactor Developed Markets(ex-US) ETF	$	20,666,732	$	16,651,961
Multifactor Diversified International ETF		44,272		26,058
Multifactor Low Volatility US Equity ETF		29,515		—
Multifactor REIT ETF		45,553		—
Multifactor Small Cap ETF		146,748		—
Multifactor US Equity ETF		4,836,686		—

9.	Secured Borrowings:

The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020.

Certain Transfers Accounted for as Secured Borrowings

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Multifactor Developed Markets(ex-US) ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	20,666,732	$	—	$	—	$	—	$	20,666,732

Total Borrowings	$	20,666,732	$	—	$	—	$	—	$	20,666,732

Gross amount of recognized liabilities for securities lending transactions									$	20,666,732


Multifactor Diversified International ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	44,272	$	—	$	—	$	—	$	44,272

Total Borrowings	$	44,272	$	—	$	—	$	—	$	44,272

Gross amount of recognized liabilities for securities lending transactions									$	44,272


Multifactor Low Volatility US Equity ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	29,515	$	—	$	—	$	—	$	29,515

Total Borrowings	$	29,515	$	—	$	—	$	—	$	29,515

Gross amount of recognized liabilities for securities lending transactions									$	29,515


Multifactor REIT ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	45,553	$	—	$	—	$	—	$	45,553

Total Borrowings	$	45,553	$	—	$	—	$	—	$	45,553

Gross amount of recognized liabilities for securities lending transactions									$	45,553


		63

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Multifactor Small Cap ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	146,748	$	—	$	—	$	—	$	146,748

Total Borrowings	$	146,748	$	—	$	—	$	—	$	146,748

Gross amount of recognized liabilities for securities lending transactions									$	146,748


Multifactor US Equity ETF
Securities Lending Transactions⁽¹⁾
Common Stocks	$	4,836,686	$	—	$	—	$	—	$	4,836,686

Total Borrowings	$	4,836,686	$	—	$	—	$	—	$	4,836,686

Gross amount of recognized liabilities for securities lending transactions									$	4,836,686

⁽¹⁾

Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand.

10.

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.

11.

Investment Transactions:

For thesix-month period ended March 31, 2020, 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	$	623,401,371	$	631,199,730
Multifactor Diversified International ETF		5,742,388		5,636,131
Multifactor Emerging Markets ETF		19,980,136		26,989,782
Multifactor Low Volatility US Equity ETF		2,150,985		2,143,231
Multifactor REIT ETF		1,196,639		1,050,474
Multifactor Small Cap ETF		17,730,031		17,570,163
Multifactor US Equity ETF		103,254,892		99,997,273

For thesix-month period ended March 31, 2020,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	$	446,875,963	$	261,169,320	$	1,878,392
Multifactor Diversified International ETF		2,415,929		2,556,642		514,357
Multifactor Emerging Markets ETF		—		7,473,193		(1,469,390	)
Multifactor Low Volatility US Equity ETF		1,485,302		—		—
Multifactor REIT ETF		—		13,008,756		866,030
Multifactor Small Cap ETF		2,663,871		5,897,805		1,232,500
Multifactor US Equity ETF		38,231,454		20,829,584		(6,760	)

12.

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


		64

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

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 March 31, 2020		Standard In-Kind Redemption Fee
Multifactor Developed Markets(ex-US) ETF		50,000	$	3,000	$	1,103,000	$	3,000
Multifactor Diversified International ETF		100,000		2,000		2,041,000		2,000
Multifactor Emerging Markets ETF		100,000		1,750		1,662,000		1,750
Multifactor Low Volatility US Equity ETF		50,000		650		1,208,000		650
Multifactor REIT ETF		50,000		250		548,000		250
Multifactor Small Cap ETF		50,000		1,000		1,027,500		1,000
Multifactor US Equity ETF		25,000		800		650,750		800

Shares of Multifactor Developed Markets(ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor REIT ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF are listed on the NYSE Arca and shares of Multifactor Diversified International ETF and Multifactor Low Volatility US Equity ETF are listed on the Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares.

Because each Fund is structured as an ETF, individual shares may only be purchased and sold on 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 US Equity ETF will only issue or redeem Creation Units of 25,000 shares to Authorized Participants who have entered into agreements with the Distributor. Multifactor Developed Markets(ex-US) ETF, Multifactor Low Volatility US Equity ETF, Multifactor REIT ETF and Multifactor Small Cap will only issue or redeem Creation Units of 50,000 shares to Authorized Participants who have entered into agreements with the Distributor. Multifactor Diversified International ETF and Multifactor Emerging Markets 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 thesix-month period ended March 31, 2020, and the year ended September 30, 2019:


	For theSix-Month Period Ended March 31, 2020						For the Year Ended September 30, 2019
	Shares			Amount			Shares			Amount
Multifactor Developed Markets(ex-US) ETF
Shares Sold		16,000,000		$	461,066,719			67,400,000		$	1,846,730,495
Shares Redeemed		(11,200,000	)		(269,145,944	)		(11,250,000	)		(313,561,980	)

Net Increase (Decrease)		4,800,000			191,920,775			56,150,000			1,533,168,515


Multifactor Diversified International ETF
Shares Sold		100,000		$	2,754,532			—		$	—
Shares Redeemed		(100,000	)		(2,751,610	)		—			—

Net Increase (Decrease)		—			2,922			—			—


Multifactor Emerging Markets ETF
Shares Sold		—		$	—			1,400,000		$	33,068,894
Shares Redeemed		(800,000	)		(13,084,093	)		(1,100,000	)		(24,270,963	)
Other Capital		—			13,039			—			101,198

Net Increase (Decrease)		(800,000	)		(13,071,054	)		300,000			8,899,129


		65

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)


	For theSix-Month Period Ended March 31, 2020						For the Year Ended September 30, 2019
	Shares			Amount			Shares			Amount
Multifactor Low Volatility US Equity ETF
Shares Sold		50,000		$	1,485,560			150,000		$	4,275,263
Shares Redeemed		—			—			(100,000	)		(2,971,711	)

Net Increase (Decrease)		50,000			1,485,560			50,000			1,303,552


Multifactor REIT ETF
Shares Sold		—		$	—			500,000		$	7,709,666
Shares Redeemed		(800,000	)		(13,007,345	)		(1,200,000	)		(18,538,614	)

Net Increase (Decrease)		(800,000	)		(13,007,345	)		(700,000	)		(10,828,948	)


Multifactor Small Cap ETF
Shares Sold		100,000		$	3,000,116			200,000		$	5,860,452
Shares Redeemed		(200,000	)		(5,932,462	)		(300,000	)		(8,794,812	)
Other Capital		—			936			—			1,652

Net Increase (Decrease)		(100,000	)		(2,931,410	)		(100,000	)		(2,932,708	)


Multifactor US Equity ETF
Shares Sold		1,300,000		$	43,059,756			5,900,000		$	182,696,968
Shares Redeemed		(925,000	)		(25,605,535	)		(1,600,000	)		(48,956,914	)

Net Increase (Decrease)		375,000			17,454,221			4,300,000			133,740,054

13.

Affiliate Holdings:

As of March 31, 2020, affiliates of The Hartford had ownership of shares in certain Funds as follows:


Fund	Percentage of Fund
Multifactor Diversified International ETF		40	%
Multifactor Low Volatility US Equity ETF		40	%

As of March 31, 2020, 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		6	%
Multifactor US Equity ETF		28	%

14.

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.

15.

Recent Accounting Pronouncement:

The FASB issued ASU2017-08 (the “ASU”) 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 has evaluated the implication of additional disclosure and determined there is no impact to 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


		66

Hartford Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2020 (Unaudited)

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 thesix-month period ended March 31, 2020, events and transactions subsequent to March 31, 2020, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure.

During the six-month period ended March 31, 2020, the Trust’s registered independent public accounting firm changed from Ernst & Young LLP to PricewaterhouseCoopers LLC (“PwC”). PwC will serve as the Trust’s registered independent public accounting firm for the fiscal year ended September 30, 2020.

The affects to public health, business and market conditions resulting from the coronavirus(COVID-19) pandemic that escalated during the first quarter of 2020 and has extended into the second quarter of 2020 may have a significant negative impact on the performance of the Funds’ investments. The extent and duration of this impact is currently unclear.


		67

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 calling888-843-7824 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 on FormN-PORT. Each Fund’s Form N-PORT reports are available (1) without charge, upon request, by calling888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.


		68

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 Information may include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.

Personal Health Information means health information such as:

a) your medical records; or

b) information about your illness, disability or injury.

Personal Information means information that 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 – Consumer Rights and Privacy Compliance Unit, One Hartford Plaza, Hartford, CT 06155, or at ConsumerPrivacyInquiriesMailbox@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 2020), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations:

1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; Assurances Continentales Continentale Verzekeringen N.V; Bracht, Deckers & Mackelbert N.V.; Business Management Group, Inc.; Canal Re S.A.; 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 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 Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford Management, Ltd.; Hartford Productivity Services LLC; 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.; 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; Millennium Underwriting Limited; MPC Resolution Company LLC; Navigators (Asia) Limited; Navigators Corporate Underwriters Limited; Navigators Holdings (Europe) N.V.; Navigators Holdings (UK) Limited; Navigators Insurance Company; Navigators International Insurance Company Ltd.; Navigators Management Company, Inc.; Navigators Management (UK) Limited; Navigators N.V.; Navigators Specialty Insurance Company; Navigators Underwriting Agency Limited; Navigators Underwriting Limited; New England Insurance Company; New England Reinsurance Corporation; New Ocean Insurance Co., Ltd.; NIC Investments (Chile) SpA; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Sentinel Insurance Company, Ltd; The Navigators Group, Inc.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company; Y-Risk, LLC.

Revised March 2020

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.

ETFSAR-MLT20 05/20 216747 LAT001800 Printed in U.S.A.

LOGO

Item 2. Code of Ethics.

Not applicable for semi-annual filing.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual filing.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable for semi-annual filing.

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 semi-annual report 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 since the registrant last provided disclosure in response to this requirement.

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)		Not applicable.
(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)		Not applicable.
(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: June 8, 2020	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: June 8, 2020	By:	/s/ James E. Davey
		James E. Davey
		President and Chief Executive Officer

Date: June 8, 2020	By:	/s/ Amy N. Furlong
		Amy N. Furlong
		Treasurer
		(Principal Financial Officer and Principal Accounting Officer)

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