UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon, Esquire
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110-2605
Registrant's telephone number, including area code:
Date of reporting period:
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a)
Annual Shareholder Report
September 30, 2024
Hartford Disciplined US Equity ETF
HDUS/NYSE Arca
This annual shareholder report contains important information about the Hartford Disciplined US Equity ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Disciplined US Equity ETF | $22 | 0.19% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Large-Cap U.S. equities generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the Russell 1000 Index. Equities generated positive returns across most sectors led by Information Technology.
Top Contributors to Performance
The Fund’s positive exposures to dividend yield, quality, and value risk factors were contributors to performance as these factors generated positive excess return for the trailing twelve-month period.
The Fund also had positive stock selection in the Industrials and Materials sectors that contributed positively to performance for the trailing one-year.
Top Detractors to Performance
The Fund was negatively affected from its positive exposure to low volatility and size as higher volatility stocks and larger-cap equities outperformed.
Negative stock selection negatively affected performance where the Fund’s underweight to NVIDIA was a top detractor as the stock was up 179% for the past year.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | Since Inception
(November 16, 2022) |
| Fund | 33.57% | 21.01% |
| Hartford Disciplined US Equity Index | 33.84% | 21.24% |
| Russell 1000 Index (Gross) | 35.68% | 23.01% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $122,291,921 |
| Total number of portfolio holdings (excluding derivatives, if any) | 271 |
| Total investment advisory fees paid | $208,391 |
| Portfolio turnover rate | 51% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Information Technology | 30.0 | % |
| Financials | 10.9 | % |
| Consumer Discretionary | 10.3 | % |
| Health Care | 10.3 | % |
| Communication Services | 9.9 | % |
| Industrials | 9.0 | % |
| Consumer Staples | 7.3 | % |
| Energy | 4.3 | % |
| Real Estate | 4.2 | % |
| Materials | 2.1 | % |
| Utilities | 1.4 | % |
| Other Assets & Liabilities | 0.3 | % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Longevity Economy ETF
HLGE/NYSE Arca
This annual shareholder report contains important information about the Hartford Longevity Economy ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Longevity Economy ETF | $51 | 0.44% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
U.S. equities generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the Russell 3000 Index. Equities were positive across most sectors led by Information Technology.
Top Contributors to Performance
The Fund’s underweight to the low volatility risk factor and positive exposures to value and quality risk factors contributed positively to performance for the trailing twelve-month period.
The Fund also benefited from an underweight in Energy as the sector underperformed.
Top Detractors to Performance
The Fund was negatively affected from its positive exposure to size as larger-cap equities outperformed.
The Fund’s underweight to NVIDIA was a top detractor as the stock was up 179% for the past year.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | Since Inception
(March 16, 2021) |
| Fund | 32.64% | 8.45% |
| Hartford Longevity Economy Index | 32.85% | 8.85% |
| Russell 3000 Index (Gross) | 35.19% | 10.84% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $11,898,391 |
| Total number of portfolio holdings (excluding derivatives, if any) | 351 |
| Total investment advisory fees paid | $43,716 |
| Portfolio turnover rate | 62% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Information Technology | 32.4 | % |
| Health Care | 18.0 | % |
| Consumer Discretionary | 12.6 | % |
| Communication Services | 11.7 | % |
| Financials | 10.4 | % |
| Consumer Staples | 7.4 | % |
| Industrials | 3.1 | % |
| Utilities | 2.2 | % |
| Real Estate | 2.1 | % |
| Short-Term Investments | 0.3 | % |
| Other Assets & Liabilities | (0.2 | ) % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor Developed Markets (ex-US) ETF
RODM/NYSE Arca
This annual shareholder report contains important information about the Hartford Multifactor Developed Markets (ex-US) ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Multifactor Developed Markets (ex-US) ETF | $32 | 0.29% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Equities in the International developed markets generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the MSCI World ex USA Index. Developed Markets equities generated positive returns across countries within the index led by performance from the Financials, Information Technology, and Industrials sectors.
Top Contributors to Performance
The Fund’s positive exposure to quality contributed positively to performance as the factor generated positive excess return for the trailing twelve-month period.
The Fund’s underweight to Energy and positive stock selection in the Consumer Staples and Consumer Discretionary sectors also contributed positively to performance.
Top Detractors to Performance
The Fund was negatively affected by its positive exposure to low volatility and size as higher volatility stocks and larger-cap equities outperformed.
Stock selection in certain sectors detracted, led by security selection in the Utilities and Materials sectors.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | 5 Years | Since Inception
(February 25, 2015) |
| Fund | 23.77% | 5.91% | 5.44% |
| Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index | 23.89% | 6.07% | 5.60% |
| MSCI World ex USA Index (Net) | 24.98% | 8.36% | 5.78% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $1,140,411,615 |
| Total number of portfolio holdings (excluding derivatives, if any) | 327 |
| Total investment advisory fees paid | $3,683,758 |
| Portfolio turnover rate | 61% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Japan | 20.9 | % |
| Canada | 14.4 | % |
| United Kingdom | 11.4 | % |
| Australia | 10.1 | % |
| France | 5.0 | % |
| United States | 5.0 | % |
| Germany | 4.1 | % |
| Singapore | 3.1 | % |
| Switzerland | 3.1 | % |
| Israel | 2.9 | % |
| Other* | 19.0 | % |
| Short-Term Investments | 2.4 | % |
| Other Assets & Liabilities | (1.4 | ) % |
| Total | 100.0 | % |
| * | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor Diversified International ETF
RODE/Cboe BZX
This annual shareholder report contains important information about the Hartford Multifactor Diversified International ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Multifactor Diversified International ETF | $32 | 0.29% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
International equity markets generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the MSCI ACWI ex USA Index. Equities generated positive returns across most countries within the index led by performance in the Information Technology, Financials, and Industrials sectors.
Top Contributors to Performance
The Fund was helped from its positive exposures to quality and momentum as these risk factors outperformed for the trailing twelve-month period.
Strong stock selection in Consumer Staples also contributed positively to results.
Top Detractors to Performance
The Fund was negatively affected by its positive exposures to the size and value risk factors as smaller-cap stocks and value stocks underperformed.
An underweight to India and negative stock selection in the Communication Services and Information Technology sectors detracted from performance.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | 5 Years | Since Inception
(May 10, 2017) |
| Fund | 24.04% | 6.77% | 6.31% |
| Hartford Multifactor Diversified International Index | 24.25% | 7.33% | 6.45%* |
| MSCI ACWI ex USA Index (Net) | 25.35% | 7.59% | 6.29% |
| * | The Hartford Multifactor Diversified International Index commenced operations on June 28, 2019. Reflects annualized returns starting on June 28, 2019. |
Performance information prior to November 6, 2019 reflects the Fund’s performance when it tracked its prior index.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $19,535,801 |
| Total number of portfolio holdings (excluding derivatives, if any) | 316 |
| Total investment advisory fees paid | $52,017 |
| Portfolio turnover rate | 54% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Japan | 12.6 | % |
| China | 11.8 | % |
| Taiwan | 8.4 | % |
| Australia | 8.0 | % |
| South Korea | 5.3 | % |
| Canada | 4.9 | % |
| United Kingdom | 4.3 | % |
| United States | 3.9 | % |
| France | 3.0 | % |
| Sweden | 2.8 | % |
| Other* | 34.0 | % |
| Short-Term Investments | 1.1 | % |
| Other Assets & Liabilities | (0.1 | ) % |
| Total | 100.0 | % |
| * | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor Emerging Markets ETF
ROAM/NYSE Arca
This annual shareholder report contains important information about the Hartford Multifactor Emerging Markets ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Multifactor Emerging Markets ETF | $50 | 0.44% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Emerging markets equity generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the MSCI Emerging Markets Index. Equities generated positive returns across most countries within the index led by performance in the Information Technology and Financials sectors.
Top Contributors to Performance
The Fund’s positive exposures to the momentum and quality risk factors contributed positively to performance as these factors generated positive excess return versus the MSCI Emerging Markets Index for the trailing twelve-month period.
Performance also benefited from positive security selection with particularly strong stock selection in India and South Korea.
Top Detractors to Performance
The Fund was negatively affected by its positive exposures to the size and value risk factors as smaller-cap stocks and value stocks underperformed.
Negative stock selection in certain countries detracted from performance led by weakness in Taiwanese technology stocks.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | 5 Years | Since Inception
(February 25, 2015) |
| Fund | 26.15% | 7.28% | 3.47% |
| Hartford Multifactor Emerging Markets Equity Index | 28.17% | 8.23% | 6.61%* |
| MSCI Emerging Markets Index (Net) | 26.05% | 5.75% | 4.33% |
| * | The Hartford Multifactor Emerging Markets Equity Index commenced operations on June 28, 2019. Reflects annualized returns starting on June 28, 2019. |
Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $31,891,703 |
| Total number of portfolio holdings (excluding derivatives, if any) | 320 |
| Total investment advisory fees paid | $99,166 |
| Portfolio turnover rate | 54% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| China | 20.1 | % |
| Taiwan | 18.0 | % |
| India | 16.9 | % |
| South Korea | 10.8 | % |
| Saudi Arabia | 5.6 | % |
| Brazil | 4.7 | % |
| Thailand | 3.9 | % |
| Malaysia | 3.7 | % |
| Indonesia | 3.4 | % |
| Turkey | 2.8 | % |
| Other* | 10.1 | % |
| Short-Term Investments | 0.0 | % ^ |
| Other Assets & Liabilities | 0.0 | % ^ |
| Total | 100.0 | % |
| * | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
| ^ | Percentage rounds to zero. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor International Small Company ETF
ROIS/Cboe BZX
This annual shareholder report contains important information about the Hartford Multifactor International Small Company ETF (the "Fund") for the period of March 18, 2024 (commencement of operations) to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?*
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment^ |
| Hartford Multifactor International Small Company ETF | $27 | 0.49% |
| * | This annual report covers less than a full 12-month period. Expenses for a full 12-month period would be higher. |
| ^ | Annualized. |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
International small-cap equities generated strong returns over the twelve-month period ending September 30, 2024 as measured by the MSCI ACWI ex USA Small Cap Index. Equities generated positive returns across most countries within the index with strong performance from most sectors.
Top Contributors to Performance
The Fund’s positive exposures to the quality and low volatility risk factors contributed positively to performance as these factors generated positive excess return for the period.
The Fund also benefited from positive stock selection in Japan and Canada along with an overweight to China.
Top Detractors to Performance
The Fund’s overweight to dividend yield along with positive exposures to momentum and value detracted from performance as these risk factors underperformed for the period.
The Fund’s underweight to India was also a top detractor.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Cumulative Total Returns
For the Period Ended September 30, 2024 | Since Inception
(March 18, 2024) |
| Fund | 9.17% |
| Hartford Multifactor International Small Company Index | 9.38% |
| MSCI ACWI ex USA Small Cap Index (Net)^ | 11.50% |
| MSCI ACWI ex USA Index (Net)^ | 10.46% |
| ^ | The MSCI ACWI ex USA Small Cap Index is the Fund’s performance index and the MSCI ACWI ex USA Index serves as the Fund’s regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $5,355,287 |
| Total number of portfolio holdings (excluding derivatives, if any) | 285 |
| Total investment advisory fees paid* | $13,284 |
| Portfolio turnover rate* | 28% |
| * | For the period March 18, 2024 (commencement of operations) through September 30, 2024. |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Japan | 17.0 | % |
| Taiwan | 9.0 | % |
| Canada | 6.9 | % |
| Australia | 6.7 | % |
| India | 6.4 | % |
| South Korea | 6.4 | % |
| China | 5.4 | % |
| Switzerland | 5.2 | % |
| United Kingdom | 3.9 | % |
| Hong Kong | 3.6 | % |
| Other* | 28.8 | % |
| Other Assets & Liabilities | 0.7 | % |
| Total | 100.0 | % |
| * | Ten largest country/geographic regions are presented. Additional country/geographic regions are found in Other. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor Small Cap ETF
ROSC/NYSE Arca
This annual shareholder report contains important information about the Hartford Multifactor Small Cap ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Multifactor Small Cap ETF | $38 | 0.34% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Small-Cap U.S. equities generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the Russell 2000 Index. Small-cap equities generated positive returns across most sectors led by the Financials sector.
Top Contributors to Performance
The Fund’s positive exposures to dividend yield, quality, and value risk factors were contributors to performance as these factors generated positive excess return for the trailing twelve-month period.
The Fund also benefited from an underweight in the Energy Sector, as the sector underperformed during the period.
Top Detractors to Performance
The Fund was negatively affected by its positive exposure to low volatility and size as higher volatility stocks and larger-cap equities outperformed.
Negative stock selection in Health Care, Materials, and Consumer Staples detracted from performance. Top detractors include stocks in biotechnology, Healthcare providers & supplies, and Metals and Mining sub-sectors.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | 5 Years | Since Inception
(March 23, 2015) |
| Fund | 23.70% | 11.35% | 8.51% |
| Hartford Multifactor Small Cap Index | 24.10% | 11.73% | 11.39%* |
| Russell 2000 Index (Gross)^ | 26.76% | 9.39% | 7.59% |
| Russell 3000 Index (Gross)^ | 35.19% | 15.26% | 12.49% |
| * | The Hartford Multifactor Small Cap Index commenced operations on June 28, 2019. Reflects annualized returns starting on June 28, 2019. |
| ^ | The Russell 2000 Index is the Fund’s performance index and the Russell 3000 Index serves as the Fund’s regulatory index and provides a broad measure of market performance. |
Performance information prior to November 06, 2019 reflects the Fund’s performance when it tracked its prior index.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $31,712,303 |
| Total number of portfolio holdings (excluding derivatives, if any) | 322 |
| Total investment advisory fees paid | $109,166 |
| Portfolio turnover rate | 41% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Financials | 17.6 | % |
| Health Care | 17.0 | % |
| Industrials | 16.2 | % |
| Consumer Discretionary | 14.2 | % |
| Information Technology | 11.2 | % |
| Real Estate | 6.0 | % |
| Consumer Staples | 5.5 | % |
| Materials | 5.4 | % |
| Energy | 3.3 | % |
| Communication Services | 2.4 | % |
| Utilities | 0.9 | % |
| Short-Term Investments | 0.4 | % |
| Other Assets & Liabilities | (0.1 | ) % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford Multifactor US Equity ETF
ROUS/NYSE Arca
This annual shareholder report contains important information about the Hartford Multifactor US Equity ETF (the "Fund") for the period of October 1, 2023 to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Multifactor US Equity ETF | $22 | 0.19% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Large-Cap U.S. equities generated strong returns over the trailing twelve-month period ending September 30, 2024 as measured by the Russell 1000 Index. Large cap equities generated positive returns across most sectors led by Information Technology.
Top Contributors to Performance
The Fund’s positive exposures to dividend yield, quality, and value risk factors were contributors to performance as these factors generated positive excess return for the trailing twelve-month period.
The Fund also benefited from stock selection helped by underweights to Microsoft, Apple, Tesla, and Alphabet, which all had negative returns over the trailing one-year.
Top Detractors to Performance.
The Fund was negatively affected from its positive exposure to low volatility and size as higher volatility stocks and larger-cap equities outperformed.
The Fund’s underweight to NVIDIA was a top detractor as the stock was up 179% for the past year.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended September 30, 2024 | 1 Year | 5 Years | Since Inception
(February 25, 2015) |
| Fund | 31.23% | 12.11% | 9.96% |
| Hartford Multifactor Large Cap Index | 31.12% | 12.25% | 12.12%* |
| Russell 1000 Index (Gross) | 35.68% | 15.64% | 12.73% |
| * | The Hartford Multifactor Large Cap Index commenced operations on June 28, 2019. Reflects annualized returns starting on June 28, 2019. |
Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $462,689,864 |
| Total number of portfolio holdings (excluding derivatives, if any) | 348 |
| Total investment advisory fees paid | $775,770 |
| Portfolio turnover rate | 51% |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Information Technology | 28.2 | % |
| Health Care | 13.1 | % |
| Industrials | 11.5 | % |
| Financials | 11.0 | % |
| Consumer Discretionary | 8.6 | % |
| Consumer Staples | 7.5 | % |
| Communication Services | 6.7 | % |
| Utilities | 4.4 | % |
| Materials | 3.9 | % |
| Energy | 3.0 | % |
| Real Estate | 1.8 | % |
| Other Assets & Liabilities | 0.3 | % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford US Quality Growth ETF
HQGO/The NASDAQ Stock Market LLC
This annual shareholder report contains important information about the Hartford US Quality Growth ETF (the "Fund") for the period of December 5, 2023 (commencement of operations) to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?*
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment^ |
| Hartford US Quality Growth ETF | $32 | 0.34% |
| * | This annual report covers less than a full 12-month period. Expenses for a full 12-month period would be higher. |
| ^ | Annualized. |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
U.S. equities generated positive returns over the twelve-month period ending September 30, 2024 as measured by the Russell 1000 Index and led by large-cap growth stocks as the Russell 1000 Growth Index outperformed the broader market. Within the Russell 1000 Growth Index, performance was positive across sectors with strong performance from Information Technology, the largest contributor to return.
Top Contributors to Performance
The Fund’s positive exposures to quality and dividend yield were contributors to performance as these factors generated positive excess returns for the period.
Positive stock selection in the Consumer Discretionary and Consumer Staples sectors also contributed positively to performance.
Top Detractors to Performance
The Fund was negatively affected by its positive exposure to low volatility and size as higher volatility stocks and larger-cap equities outperformed.
Negative stock selection in the Information Technology and Communication Services sectors negatively affected performance during the period.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Cumulative Total Returns
For the Period Ended September 30, 2024 | Since Inception
(December 05, 2023) |
| Fund | 27.19% |
| Hartford US Quality Growth Index | 27.53% |
| Russell 1000 Growth Index (Gross)^ | 30.67% |
| Russell 1000 Index (Gross)^ | 26.81% |
| ^ | The Russell 1000 Growth Index is the Fund’s performance index and the Russell 1000 Index serves as the Fund’s regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $6,324,520 |
| Total number of portfolio holdings (excluding derivatives, if any) | 126 |
| Total investment advisory fees paid* | $16,129 |
| Portfolio turnover rate* | 34% |
| * | For the period December 5, 2023 (commencement of operations) through September 30, 2024. |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Information Technology | 40.7 | % |
| Consumer Discretionary | 12.7 | % |
| Health Care | 12.7 | % |
| Communication Services | 9.2 | % |
| Consumer Staples | 6.9 | % |
| Industrials | 5.8 | % |
| Financials | 4.8 | % |
| Energy | 3.7 | % |
| Materials | 2.3 | % |
| Real Estate | 1.1 | % |
| Other Assets & Liabilities | 0.1 | % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
September 30, 2024
Hartford US Value ETF
VMAX/Cboe BZX
This annual shareholder report contains important information about the Hartford US Value ETF (the "Fund") for the period of December 5, 2023 (commencement of operations) to September 30, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?*
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment^ |
| Hartford US Value ETF | $27 | 0.29% |
| * | This annual report covers less than a full 12-month period. Expenses for a full 12-month period would be higher. |
| ^ | Annualized. |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
U.S. equities generated positive returns over the twelve-month period ending September 30, 2024 as measured by the Russell 1000 Index. Large-cap value stocks as measured by the Russell 1000 Value Index underperformed the broader market, but still generated strong returns. Within the Russell 1000 Value Index, performance was positive across sectors with particularly strong performance from the Financials and Industrials sectors.
Top Contributors to Performance
The Fund’s positive exposures to momentum, quality, dividend yield, and value were contributors to performance as these factors generated positive excess return for the period. The underweight to low volatility also contributed positively to results.
Positive stock selection contributed positively to results led by strong performance from Information Technology and Communication Services sectors where underweights to Intel Corporation and Meta Platforms were top overall contributors.
Top Detractors to Performance
The Fund was negatively affected from its positive exposure to size as larger-cap equities outperformed.
Negative stock selection in the Industrials, Energy, and Materials sectors detracted from performance.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Cumulative Total Returns
For the Period Ended September 30, 2024 | Since Inception
(December 05, 2023) |
| Fund | 25.83% |
| Hartford US Value Index | 25.22% |
| Russell 1000 Value Index (Gross)^ | 21.74% |
| Russell 1000 Index (Gross)^ | 26.81% |
| ^ | The Russell 1000 Value Index is the Fund’s performance index and the Russell 1000 Index serves as the Fund’s regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or
sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of September 30, 2024
| Fund's net assets | $6,147,683 |
| Total number of portfolio holdings (excluding derivatives, if any) | 149 |
| Total investment advisory fees paid* | $13,536 |
| Portfolio turnover rate* | 64% |
| * | For the period December 5, 2023 (commencement of operations) through September 30, 2024. |
Graphical Representation of Holdings as of September 30, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Financials | 32.0 | % |
| Energy | 11.0 | % |
| Health Care | 9.6 | % |
| Industrials | 7.8 | % |
| Information Technology | 7.5 | % |
| Utilities | 7.1 | % |
| Communication Services | 5.8 | % |
| Real Estate | 5.2 | % |
| Consumer Discretionary | 4.7 | % |
| Materials | 4.7 | % |
| Consumer Staples | 4.4 | % |
| Other Assets & Liabilities | 0.2 | % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Item 2. Code of Ethics.
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. A copy of the code of ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant (the “Board”) has designated David Sung as an Audit Committee Financial Expert. Mr. Sung is considered by the Board to be an independent trustee.
Item 4. Principal Accountant Fees and Services.
| | (a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were: |
$202,990 for the fiscal year ended September 30, 2024; $138,097 for the fiscal year ended September 30, 2023.
| | (b) | Audit Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were: |
$0 for the fiscal year ended September 30, 2024; $0 for the fiscal year ended September 30, 2023.
| | (c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: |
$84,000 for the fiscal year ended September 30, 2024; $71,051 for the fiscal year ended September 30, 2023. Tax-related services are principally in connection with, but not limited to, general tax compliance services and excise tax review.
| | (d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: |
$123 for the fiscal year ended September 30, 2024; $359 for the fiscal year ended September 30, 2023. These fees were principally in connection with, but not limited to, general audit related products and services and an accounting research tool subscription.
| | (e) | Pre-Approval Policies and Procedures |
(1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the Registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the Registrant may be pre-approved. The following summarizes the pre-approval requirements under the Policy.
| | a. | The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund. |
| | b. | The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting. |
| | c. | The Audit Committee, from time to time, may designate one or more of its members who are Independent Trustees (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services. |
| | d. | The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex. |
(2) One hundred percent of the services described in items 4(b) through 4(d) were approved in accordance with the Audit Committee’s Pre-Approval Policy. As a result, none of such services was approved pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X.
| | (f) | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the fiscal year ended September 30, 2024, were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
| | (g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: |
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant: $84,123 for the fiscal year ended September 30, 2024; $71,410 for the fiscal year ended September 30, 2023.
The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser was $121,199 for the fiscal year ended September 30, 2024 and $121,199 for the fiscal year ended September 30, 2023.
| | (h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
| | (a) | The Registrant has an audit committee that was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are Hilary E. Ackermann, Derrick D. Cephas, Paul L. Rosenberg, and David Sung. |
Item 6. Investments.
| | (a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included in the Annual Financial Statements and Other Information filed under Item 7 of this form. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Hartford Systematic ETFs
Annual Financial Statements
and Other Information
◼Hartford Disciplined US Equity ETF |
◼Hartford Longevity Economy ETF |
◼Hartford Multifactor Developed Markets (ex-US) ETF |
◼Hartford Multifactor Diversified International ETF |
◼Hartford Multifactor Emerging Markets ETF |
◼Hartford Multifactor International Small Company ETF |
◼Hartford Multifactor Small Cap ETF |
◼Hartford Multifactor US Equity ETF |
◼Hartford US Quality Growth ETF |
|
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Hartford Disciplined US Equity ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| Automobiles & Components - 1.5% |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| PNC Financial Services Group, Inc. | |
| | |
| | |
| | | |
| |
| | |
| | |
| Allison Transmission Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ferguson Enterprises, Inc. | |
| | |
| | |
| Lennox International, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Commercial & Professional Services - 2.0% |
| Booz Allen Hamilton Holding Corp. | |
| Broadridge Financial Solutions, Inc. | |
| CACI International, Inc. Class A* | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Discretionary Distribution & Retail - 5.2% |
| | |
| | |
| Dick's Sporting Goods, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Consumer Durables & Apparel - 0.5% |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| Chipotle Mexican Grill, Inc.* | |
| Choice Hotels International, Inc. | |
| | |
| | |
| | |
| | |
| Six Flags Entertainment Corp. | |
| | |
| | |
| | |
| | | |
| Consumer Staples Distribution & Retail - 1.7% |
| Albertsons Cos., Inc. Class A | |
| BJ's Wholesale Club Holdings, Inc.* | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 4.2% |
| | |
| AvalonBay Communities, Inc. REIT | |
| | |
| EastGroup Properties, Inc. REIT | |
| | |
| Essex Property Trust, Inc. REIT | |
| First Industrial Realty Trust, Inc. REIT | |
| Gaming & Leisure Properties, Inc. REIT | |
| Healthcare Realty Trust, Inc. REIT | |
| | |
| Lamar Advertising Co. Class A, REIT | |
| | |
| Omega Healthcare Investors, Inc. REIT | |
| | |
| Simon Property Group, Inc. REIT | |
| STAG Industrial, Inc. REIT | |
| | | |
| Financial Services - 7.0% |
| AGNC Investment Corp. REIT | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Disciplined US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Financial Services - 7.0% - (continued) |
| Annaly Capital Management, Inc. REIT | |
| Bank of New York Mellon Corp. | |
| Berkshire Hathaway, Inc. Class B* | |
| | |
| Cboe Global Markets, Inc. | |
| Coinbase Global, Inc. Class A* | |
| Corebridge Financial, Inc. | |
| | |
| Goldman Sachs Group, Inc. | |
| Hamilton Lane, Inc. Class A | |
| Interactive Brokers Group, Inc. Class A | |
| Jack Henry & Associates, Inc. | |
| Janus Henderson Group PLC | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Starwood Property Trust, Inc. REIT | |
| | |
| | |
| | | |
| Food, Beverage & Tobacco - 4.0% |
| | |
| | |
| | |
| | |
| Coca-Cola Consolidated, Inc. | |
| | |
| | |
| | |
| | |
| | | |
| Health Care Equipment & Services - 3.2% |
| | |
| | |
| GE HealthCare Technologies, Inc. | |
| | |
| Inspire Medical Systems, Inc.* | |
| Intuitive Surgical, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Household & Personal Products - 1.7% |
| | |
| | |
| | |
| | | |
| |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Insurance - 2.5% - (continued) |
| Axis Capital Holdings Ltd. | |
| | |
| Cincinnati Financial Corp. | |
| Fidelity National Financial, Inc. | |
| Marsh & McLennan Cos., Inc. | |
| Old Republic International Corp. | |
| | |
| Prudential Financial, Inc. | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| Packaging Corp. of America | |
| | |
| | |
| | | |
| Media & Entertainment - 7.8% |
| | |
| | |
| | |
| Meta Platforms, Inc. Class A | |
| | |
| New York Times Co. Class A | |
| | |
| | |
| | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 7.1% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Regeneron Pharmaceuticals, Inc.* | |
| Thermo Fisher Scientific, Inc. | |
| Vertex Pharmaceuticals, Inc.* | |
| West Pharmaceutical Services, Inc. | |
| | |
| | | |
| Semiconductors & Semiconductor Equipment - 10.1% |
| Advanced Micro Devices, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Disciplined US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Semiconductors & Semiconductor Equipment - 10.1% - (continued) |
| | |
| | |
| | | |
| Software & Services - 12.2% |
| | |
| | |
| Altair Engineering, Inc. Class A* | |
| | |
| Cadence Design Systems, Inc.* | |
| Cloudflare, Inc. Class A* | |
| Cognizant Technology Solutions Corp. Class A | |
| Crowdstrike Holdings, Inc. Class A* | |
| | |
| | |
| | |
| | |
| | |
| | |
| Guidewire Software, Inc.* | |
| | |
| International Business Machines Corp. | |
| | |
| Manhattan Associates, Inc.* | |
| | |
| | |
| | |
| Palantir Technologies, Inc. Class A* | |
| Palo Alto Networks, Inc.* | |
| | |
| | |
| Smartsheet, Inc. Class A* | |
| | |
| | |
| | |
| | |
| | | |
| Technology Hardware & Equipment - 7.8% |
| | |
| | |
| | |
| | |
| Dell Technologies, Inc. Class C | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Telecommunication Services - 2.1% |
| | |
| | |
| Verizon Communications, Inc. | |
| | | |
| |
| CH Robinson Worldwide, Inc. | |
| | |
| JB Hunt Transport Services, Inc. | |
| Old Dominion Freight Line, Inc. | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| Public Service Enterprise Group, Inc. | |
| | |
| | | |
| Total Common Stocks
(cost $101,939,971) | | |
| Total Investments
(cost $101,939,971) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
| | | | |
| |
† 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.
Hartford Disciplined US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Health Care Equipment & Services | | | | |
Household & Personal Products | | | | |
| | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| 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.
Hartford Longevity Economy ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| Automobiles & Components - 0.9% |
| | |
| | |
| | |
| Winnebago Industries, Inc. | |
| | | |
| |
| | |
| | |
| Citizens Financial Group, Inc. | |
| | |
| First Citizens BancShares, Inc. Class A | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| | |
| | |
| PNC Financial Services Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Honeywell International, Inc. | |
| L3Harris Technologies, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Commercial & Professional Services - 0.0% |
| | |
| Consumer Discretionary Distribution & Retail - 7.6% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ollie's Bargain Outlet Holdings, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Durables & Apparel - 1.7% |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Consumer Durables & Apparel - 1.7% - (continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Worthington Enterprises, Inc. | |
| | | |
| |
| | |
| | |
| | |
| Grand Canyon Education, Inc.* | |
| | |
| Hilton Worldwide Holdings, Inc. | |
| | |
| Monarch Casino & Resort, Inc. | |
| | |
| Royal Caribbean Cruises Ltd. | |
| Six Flags Entertainment Corp. | |
| | |
| | |
| | |
| | | |
| Consumer Staples Distribution & Retail - 3.8% |
| Albertsons Cos., Inc. Class A | |
| BJ's Wholesale Club Holdings, Inc.* | |
| Casey's General Stores, Inc. | |
| | |
| Ingles Markets, Inc. Class A | |
| | |
| | |
| Sprouts Farmers Market, Inc.* | |
| | |
| | |
| Walgreens Boots Alliance, Inc. | |
| | |
| | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 2.0% |
| AvalonBay Communities, Inc. REIT | |
| | |
| | |
| | |
| Lamar Advertising Co. Class A, REIT | |
| LTC Properties, Inc. REIT | |
| National Health Investors, Inc. REIT | |
| | |
| Simon Property Group, Inc. REIT | |
| Sunstone Hotel Investors, Inc. REIT | |
| Urban Edge Properties REIT | |
| | |
| VICI Properties, Inc. REIT | |
| | |
| | | |
| Financial Services - 5.1% |
| Affiliated Managers Group, Inc. | |
| | |
| Ameriprise Financial, Inc. | |
| Apollo Global Management, Inc. | |
| Bank of New York Mellon Corp. | |
| Berkshire Hathaway, Inc. Class B* | |
| | |
| Capital One Financial Corp. | |
The accompanying notes are an integral part of these financial statements.
Hartford Longevity Economy ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Financial Services - 5.1% - (continued) |
| Donnelley Financial Solutions, Inc.* | |
| | |
| | |
| | |
| Goldman Sachs Group, Inc. | |
| | |
| Intercontinental Exchange, Inc. | |
| Jackson Financial, Inc. Class A | |
| Janus Henderson Group PLC | |
| Jefferies Financial Group, Inc. | |
| | |
| | |
| | |
| | |
| PJT Partners, Inc. Class A | |
| | |
| Raymond James Financial, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Victory Capital Holdings, Inc. Class A | |
| | | |
| Food, Beverage & Tobacco - 1.8% |
| | |
| | |
| Coca-Cola Consolidated, Inc. | |
| | |
| | |
| | |
| Mondelez International, Inc. Class A | |
| | |
| | |
| | | |
| Health Care Equipment & Services - 8.7% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Hims & Hers Health, Inc.* | |
| | |
| | |
| IDEXX Laboratories, Inc.* | |
| Intuitive Surgical, Inc.* | |
| | |
| | |
| | |
| | |
| Merit Medical Systems, Inc.* | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Health Care Equipment & Services - 8.7% - (continued) |
| | |
| | |
| | |
| | |
| | |
| Veeva Systems, Inc. Class A* | |
| Zimmer Biomet Holdings, Inc. | |
| | | |
| Household & Personal Products - 1.8% |
| | |
| Church & Dwight Co., Inc. | |
| | |
| Edgewell Personal Care Co. | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| American International Group, Inc. | |
| | |
| Axis Capital Holdings Ltd. | |
| | |
| Cincinnati Financial Corp. | |
| | |
| | |
| Old Republic International Corp. | |
| | |
| Prudential Financial, Inc. | |
| | |
| | | |
| Media & Entertainment - 10.2% |
| | |
| | |
| | |
| Charter Communications, Inc. Class A* | |
| | |
| | |
| | |
| Endeavor Group Holdings, Inc. Class A(1) | |
| | |
| | |
| John Wiley & Sons, Inc. Class A | |
| Live Nation Entertainment, Inc.* | |
| Madison Square Garden Entertainment Corp.* | |
| Madison Square Garden Sports Corp.* | |
| | |
| Meta Platforms, Inc. Class A | |
| | |
| New York Times Co. Class A | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 9.3% |
| | |
| Agilent Technologies, Inc. | |
| | |
| ANI Pharmaceuticals, Inc.* | |
| | |
| Catalyst Pharmaceuticals, Inc.* | |
| Collegium Pharmaceutical, Inc.* | |
The accompanying notes are an integral part of these financial statements.
Hartford Longevity Economy ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Pharmaceuticals, Biotechnology & Life Sciences - 9.3% - (continued) |
| Corcept Therapeutics, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| Intra-Cellular Therapies, Inc.* | |
| | |
| | |
| Mettler-Toledo International, Inc.* | |
| | |
| | |
| Prestige Consumer Healthcare, Inc.* | |
| Regeneron Pharmaceuticals, Inc.* | |
| Thermo Fisher Scientific, Inc. | |
| United Therapeutics Corp.* | |
| Vertex Pharmaceuticals, Inc.* | |
| | |
| | |
| | |
| | | |
| Real Estate Management & Development - 0.0% |
| CBRE Group, Inc. Class A* | |
| Semiconductors & Semiconductor Equipment - 12.0% |
| Advanced Micro Devices, Inc.* | |
| | |
| | |
| | |
| Credo Technology Group Holding Ltd.* | |
| | |
| | |
| | |
| | |
| MACOM Technology Solutions Holdings, Inc.* | |
| | |
| Microchip Technology, Inc. | |
| | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| SMART Global Holdings, Inc.* | |
| | |
| | |
| | | |
| Software & Services - 12.5% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cadence Design Systems, Inc.* | |
| | |
| Crowdstrike Holdings, Inc. Class A* | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Software & Services - 12.5% - (continued) |
| | |
| Dolby Laboratories, Inc. Class A | |
| | |
| | |
| | |
| | |
| | |
| Manhattan Associates, Inc.* | |
| | |
| | |
| Palo Alto Networks, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| Squarespace, Inc. Class A* | |
| | |
| | |
| | |
| Tyler Technologies, Inc.* | |
| | |
| | |
| Zeta Global Holdings Corp. Class A* | |
| | |
| | |
| | | |
| Technology Hardware & Equipment - 8.0% |
| | |
| | |
| Dell Technologies, Inc. Class C | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| Pure Storage, Inc. Class A* | |
| Seagate Technology Holdings PLC | |
| Super Micro Computer, Inc.* | |
| | |
| | |
| | |
| | | |
| Telecommunication Services - 1.5% |
| | |
| | |
| Verizon Communications, Inc. | |
| | | |
| |
| | |
| |
| | |
| American Electric Power Co., Inc. | |
| Consolidated Edison, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Public Service Enterprise Group, Inc. | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Longevity Economy ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Utilities - 2.2% - (continued) |
| | |
| | |
| | | |
| Total Common Stocks
(cost $10,014,190) | | |
SHORT-TERM INVESTMENTS - 0.3% |
| Securities Lending Collateral - 0.3% |
| Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.85%(2) | |
| HSBC U.S. Government Money Market Fund, Institutional Class, 4.86%(2) | |
| Invesco Government & Agency Portfolio, Institutional | |
| Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.85%(2) | |
| Total Short-Term Investments
(cost $36,152) | |
| Total Investments
(cost $10,050,342) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Current yield as of period end. |
| See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Health Care Equipment & Services | | | | |
Household & Personal Products | | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Real Estate Management & Development | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Developed Markets (ex-US) ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| | |
| | |
| Bendigo & Adelaide Bank Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Insurance Australia Group Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| Raiffeisen Bank International AG | |
| | | |
| |
| Ackermans & van Haaren NV | |
| | |
| | |
| | | |
| |
| Alimentation Couche-Tard, Inc. | |
| | |
| | |
| | |
| | |
| Canadian Imperial Bank of Commerce(1) | |
| Canadian National Railway Co. | |
| CCL Industries, Inc. Class B | |
| | |
| | |
| Constellation Software, Inc. | |
| Descartes Systems Group, Inc.* | |
| | |
| Element Fleet Management Corp. | |
| | |
| Fairfax Financial Holdings Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.6% - (continued) |
| Canada - 14.4% - (continued) |
| | |
| | |
| | |
| | |
| National Bank of Canada(1) | |
| | |
| | |
| | |
| | |
| Restaurant Brands International, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| BOC Hong Kong Holdings Ltd. | |
| SITC International Holdings Co. Ltd. | |
| Yangzijiang Shipbuilding Holdings Ltd. | |
| | | |
| |
| AP Moller - Maersk AS Class B | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| Cie Generale des Etablissements Michelin SCA | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| Bayerische Motoren Werke AG | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Developed Markets (ex-US) ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 98.6% - (continued) |
| Germany - 3.7% - (continued) |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | |
| | |
| | | |
| |
| | |
| | |
| | |
| Henderson Land Development Co. Ltd. | |
| | |
| Jardine Matheson Holdings Ltd. | |
| | |
| Sun Hung Kai Properties Ltd. | |
| | |
| | | |
| |
| Bank of Ireland Group PLC | |
| |
| | |
| | |
| Bezeq The Israeli Telecommunication Corp. Ltd. | |
| Check Point Software Technologies Ltd.* | |
| | |
| First International Bank of Israel Ltd. | |
| | |
| | |
| Israel Discount Bank Ltd. Class A | |
| | |
| Mizrahi Tefahot Bank Ltd. | |
| | |
| | |
| | |
| Tower Semiconductor Ltd.* | |
| | | |
| |
| Banca Monte dei Paschi di Siena SpA | |
| | |
| | |
| | |
| | |
| | |
| | |
| Recordati Industria Chimica e Farmaceutica SpA | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Chubu Electric Power Co., Inc. | |
| | |
| Concordia Financial Group Ltd. | |
| Dai Nippon Printing Co. Ltd. | |
| Daito Trust Construction Co. Ltd. | |
| Daiwa House Industry Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.6% - (continued) |
| Japan - 20.9% - (continued) |
| | |
| | |
| Japan Metropolitan Fund Invest REIT | |
| | |
| Japan Post Holdings Co. Ltd. | |
| Japan Post Insurance Co. Ltd. | |
| | |
| | |
| Kansai Electric Power Co., Inc. | |
| KDX Realty Investment Corp. REIT | |
| | |
| | |
| | |
| | |
| | |
| Kyushu Electric Power Co., Inc. | |
| | |
| McDonald's Holdings Co. Japan Ltd. | |
| Mebuki Financial Group, Inc. | |
| | |
| | |
| Mitsubishi Chemical Group Corp. | |
| Mitsubishi Gas Chemical Co., Inc. | |
| Mitsubishi UFJ Financial Group, Inc. | |
| Mizuho Financial Group, Inc. | |
| MS&AD Insurance Group Holdings, Inc. | |
| | |
| | |
| | |
| NIPPON EXPRESS HOLDINGS, Inc. | |
| | |
| Nomura Real Estate Holdings, Inc. | |
| | |
| Ono Pharmaceutical Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| Santen Pharmaceutical Co. Ltd. | |
| | |
| | |
| | |
| | |
| Sekisui Chemical Co. Ltd. | |
| | |
| | |
| Skylark Holdings Co. Ltd. | |
| | |
| Sohgo Security Services Co. Ltd. | |
| | |
| | |
| Sumitomo Mitsui Financial Group, Inc. | |
| Sumitomo Mitsui Trust Holdings, Inc. | |
| Suntory Beverage & Food Ltd. | |
| | |
| | |
| Takeda Pharmaceutical Co. Ltd. | |
| | |
| Tohoku Electric Power Co., Inc. | |
| Tokio Marine Holdings, Inc. | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Developed Markets (ex-US) ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 98.6% - (continued) |
| Japan - 20.9% - (continued) |
| | |
| | |
| | | |
| |
| Koninklijke Ahold Delhaize NV | |
| | |
| | |
| | | |
| |
| | |
| | |
| Fisher & Paykel Healthcare Corp. Ltd. | |
| | |
| Spark New Zealand Ltd.(1) | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Oversea-Chinese Banking Corp. Ltd. | |
| | |
| Singapore Technologies Engineering Ltd. | |
| United Overseas Bank Ltd. | |
| | |
| | | |
| |
| | |
| Industria de Diseno Textil SA | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Skandinaviska Enskilda Banken AB Class A | |
| | |
| Swedish Orphan Biovitrum AB* | |
| | |
| Telefonaktiebolaget LM Ericsson Class B(1) | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.6% - (continued) |
| Switzerland - 3.1% - (continued) |
| | |
| | |
| | |
| Zurich Insurance Group AG | |
| | | |
| |
| Associated British Foods PLC | |
| | |
| | |
| B&M European Value Retail SA | |
| | |
| | |
| | |
| CK Hutchison Holdings Ltd. | |
| Coca-Cola Europacific Partners PLC | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Total Common Stocks
(cost $969,223,137) | | |
|
| |
| Henkel AG & Co. KGaA (Preference Shares)(3) | |
| Volkswagen AG (Preference Shares)(3) | |
| Total Preferred Stocks
(cost $3,909,151) | | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Developed Markets (ex-US) ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
|
| |
| Constellation Software, Inc. Expires | |
| | | |
| Total Long-Term Investments
(cost $973,132,288) | | |
SHORT-TERM INVESTMENTS - 2.4% |
| Securities Lending Collateral - 2.4% |
| Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, | |
| HSBC U.S. Government Money Market Fund, Institutional Class, 4.86%(6) | |
| Invesco Government & Agency Portfolio, Institutional Class, 4.84%(6) | |
| Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, | |
| Total Short-Term Investments
(cost $27,645,040) | |
| Total Investments
(cost $1,000,777,328) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2024, the aggregate value of these securities was $16,253,132, representing 1.4% of net assets. |
| Currently no rate available. |
| Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $0 or 0.0% of net assets. |
| | | | |
| Constellation Software, Inc. Expires 03/31/2040 Warrants | | | |
| Investment valued using significant unobservable inputs. |
| Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
| | | | |
| |
† 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.
Hartford Multifactor Developed Markets (ex-US) ETF
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2024 is not presented.
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Diversified International ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| |
| | |
| | |
| | |
| | |
| | | |
| |
| Alimentation Couche-Tard, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Fairfax Financial Holdings Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| Agricultural Bank of China Ltd. Class H | |
| Bank of China Ltd. Class H | |
| Bank of Communications Co. Ltd. Class H | |
| BOC Hong Kong Holdings Ltd. | |
| Bosideng International Holdings Ltd. | |
| China Construction Bank Corp. Class H | |
| China Hongqiao Group Ltd. | |
| China Overseas Land & Investment Ltd. | |
| China Petroleum & Chemical Corp. Class H | |
| China Resources Land Ltd. | |
| China Resources Power Holdings Co. Ltd. | |
| China Shenhua Energy Co. Ltd. Class H | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| China - 11.8% - (continued) |
| China Tower Corp. Ltd. Class H(1) | |
| COSCO SHIPPING Holdings Co. Ltd. Class H | |
| CSPC Pharmaceutical Group Ltd. | |
| Dongfang Electric Corp. Ltd. Class H | |
| Huaneng Power International, Inc. Class H | |
| Industrial & Commercial Bank of China Ltd. Class H | |
| | |
| | |
| People's Insurance Co. Group of China Ltd. Class H | |
| PetroChina Co. Ltd. Class H | |
| PICC Property & Casualty Co. Ltd. Class H | |
| Postal Savings Bank of China Co. Ltd. Class H(1) | |
| Sinopharm Group Co. Ltd. Class H | |
| SITC International Holdings Co. Ltd. | |
| Weichai Power Co. Ltd. Class H | |
| Yangzijiang Shipbuilding Holdings Ltd. | |
| | | |
| |
| AP Moller - Maersk AS Class B | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| Cie Generale des Etablissements Michelin SCA | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| Bayerische Motoren Werke AG | |
| | |
| | |
| | |
| | |
| | |
| | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | |
| | | |
| |
| | |
| | |
| | |
| | |
| Sun Hung Kai Properties Ltd. | |
| Techtronic Industries Co. Ltd. | |
| | |
| | | |
| |
| Dr Reddy's Laboratories Ltd. ADR | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Diversified International ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| India - 1.7% - (continued) |
| | |
| Larsen & Toubro Ltd. GDR(3) | |
| Mahindra & Mahindra Ltd. GDR(3) | |
| State Bank of India GDR(3) | |
| | | |
| |
| Adaro Energy Indonesia Tbk. PT | |
| Astra International Tbk. PT | |
| Bank Negara Indonesia Persero Tbk. PT | |
| Indofood Sukses Makmur Tbk. PT | |
| | |
| Telkom Indonesia Persero Tbk. PT | |
| | |
| | | |
| |
| Bank of Ireland Group PLC | |
| |
| | |
| | |
| Bezeq The Israeli Telecommunication Corp. Ltd. | |
| Check Point Software Technologies Ltd.* | |
| | |
| First International Bank of Israel Ltd. | |
| | |
| Israel Discount Bank Ltd. Class A | |
| Tower Semiconductor Ltd.* | |
| | | |
| |
| Banca Monte dei Paschi di Siena SpA | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Daiwa House Industry Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Japan Post Holdings Co. Ltd. | |
| | |
| | |
| Kansai Electric Power Co., Inc. | |
| | |
| | |
| Mebuki Financial Group, Inc. | |
| | |
| Mitsubishi Chemical Group Corp. | |
| Mitsubishi Electric Corp. | |
| Mitsubishi UFJ Financial Group, Inc. | |
| Mizuho Financial Group, Inc. | |
| MS&AD Insurance Group Holdings, Inc. | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| Japan - 12.6% - (continued) |
| | |
| Nippon Telegraph & Telephone Corp. | |
| | |
| Ono Pharmaceutical Co. Ltd. | |
| | |
| | |
| | |
| Santen Pharmaceutical Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| Sohgo Security Services Co. Ltd. | |
| | |
| | |
| Sumitomo Mitsui Financial Group, Inc. | |
| | |
| Takeda Pharmaceutical Co. Ltd. | |
| Tokio Marine Holdings, Inc. | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| YTL Power International Bhd. | |
| | | |
| |
| Coca-Cola Femsa SAB de CV ADR | |
| |
| Koninklijke Ahold Delhaize NV | |
| | |
| | | |
| |
| Fisher & Paykel Healthcare Corp. Ltd. | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| International Container Terminal Services, Inc. | |
| | |
| Metropolitan Bank & Trust Co. | |
| | |
| | | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Diversified International ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| |
| | |
| | |
| | | |
| |
| | |
| |
| | |
| | |
| | |
| | |
| Oversea-Chinese Banking Corp. Ltd. | |
| | |
| United Overseas Bank Ltd. | |
| | | |
| |
| | |
| |
| | |
| | |
| | |
| Hankook Tire & Technology Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Samsung Electronics Co. Ltd. | |
| Samsung Fire & Marine Insurance Co. Ltd. | |
| | |
| | |
| | | |
| |
| | |
| |
| H & M Hennes & Mauritz AB Class B | |
| | |
| | |
| Skandinaviska Enskilda Banken AB Class A | |
| | |
| | |
| | |
| Telefonaktiebolaget LM Ericsson Class B(2) | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| Zurich Insurance Group AG | |
| | | |
| |
| ASE Technology Holding Co. Ltd. | |
| Cathay Financial Holding Co. Ltd. | |
| Chicony Electronics Co. Ltd. | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| Taiwan - 8.4% - (continued) |
| Evergreen Marine Corp. Taiwan Ltd. | |
| Hon Hai Precision Industry Co. Ltd. | |
| International Games System Co. Ltd. | |
| King Yuan Electronics Co. Ltd. | |
| | |
| | |
| Novatek Microelectronics Corp. | |
| | |
| | |
| Powertech Technology, Inc. | |
| President Chain Store Corp. | |
| Radiant Opto-Electronics Corp. | |
| Sino-American Silicon Products, Inc. | |
| | |
| Uni-President Enterprises Corp. | |
| United Microelectronics Corp. | |
| Yang Ming Marine Transport Corp. | |
| Zhen Ding Technology Holding Ltd. | |
| | | |
| |
| Advanced Info Service PCL NVDR | |
| Bangkok Dusit Medical Services PCL NVDR | |
| Bumrungrad Hospital PCL NVDR | |
| | |
| | |
| PTT Exploration & Production PCL NVDR | |
| | |
| | |
| | |
| TMBThanachart Bank PCL NVDR | |
| | | |
| |
| | |
| Anadolu Efes Biracilik Ve Malt Sanayii AS | |
| BIM Birlesik Magazalar AS | |
| | |
| | |
| Mavi Giyim Sanayi Ve Ticaret AS Class B(1) | |
| Turkiye Is Bankasi AS Class C | |
| Turkiye Petrol Rafinerileri AS | |
| | |
| | | |
| |
| | |
| | |
| | |
| CK Hutchison Holdings Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Diversified International ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 98.0% - (continued) |
| United States - 3.9% - (continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Total Common Stocks
(cost $15,707,748) | | |
|
| |
| Cia Energetica de Minas Gerais (Preference Shares)(5) | |
| Gerdau SA (Preference Shares)(5) | |
| Petroleo Brasileiro SA (Preference Shares)(5) | |
| | | |
| |
| Embotelladora Andina SA (Preference Shares)(5) | |
| |
| Volkswagen AG (Preference Shares)(5) | |
| Total Preferred Stocks
(cost $183,316) | | |
| Total Long-Term Investments
(cost $15,891,064) | | |
SHORT-TERM INVESTMENTS - 1.1% |
| Securities Lending Collateral - 1.1% |
| Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.85%(6) | |
| HSBC U.S. Government Money Market Fund, Institutional Class, 4.86%(6) | |
| Invesco Government & Agency Portfolio, Institutional | |
| Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.85%(6) | |
| Total Short-Term Investments
(cost $220,993) | |
| Total Investments
(cost $16,112,057) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2024, the aggregate value of these securities was $401,613, representing 2.1% of net assets. |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At September 30, 2024, the aggregate value of these securities was $114,397, representing 0.6% of net assets. |
| Investment valued using significant unobservable inputs. |
| Currently no rate available. |
| Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
| | | | |
| |
† 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.
Hartford Multifactor Diversified International ETF
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2024 is not presented.
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Emerging Markets ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| Cia de Saneamento Basico do Estado de Sao Paulo SABESP | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Sociedad Quimica y Minera de Chile SA ADR(1) | |
| | | |
| |
| AAC Technologies Holdings, Inc. | |
| Agricultural Bank of China Ltd. Class H | |
| Alibaba Group Holding Ltd. | |
| Aluminum Corp. of China Ltd. Class H | |
| Bank of China Ltd. Class H | |
| Bank of Communications Co. Ltd. Class H | |
| Bosideng International Holdings Ltd. | |
| | |
| CGN Power Co. Ltd. Class H(2) | |
| China Construction Bank Corp. Class H | |
| China Hongqiao Group Ltd. | |
| China Life Insurance Co. Ltd. Class H | |
| China Merchants Bank Co. Ltd. Class H | |
| China Overseas Land & Investment Ltd. | |
| China Petroleum & Chemical Corp. Class H | |
| China Railway Group Ltd. Class H | |
| China Resources Land Ltd. | |
| China Resources Power Holdings Co. Ltd. | |
| China Shenhua Energy Co. Ltd. Class H | |
| China State Construction International Holdings Ltd. | |
| China Tower Corp. Ltd. Class H(2) | |
| Chongqing Rural Commercial Bank Co. Ltd. Class H | |
| COSCO SHIPPING Holdings Co. Ltd. Class H | |
| CSPC Pharmaceutical Group Ltd. | |
| Dongfang Electric Corp. Ltd. Class H | |
| | |
| Great Wall Motor Co. Ltd. Class H | |
| Hansoh Pharmaceutical Group Co. Ltd.(2) | |
| Hengan International Group Co. Ltd. | |
| Huaneng Power International, Inc. Class H | |
| Industrial & Commercial Bank of China Ltd. Class H | |
| | |
| Jiangxi Copper Co. Ltd. Class H | |
| | |
| | |
| | |
| People's Insurance Co. Group of China Ltd. Class H | |
| PetroChina Co. Ltd. Class H | |
| PICC Property & Casualty Co. Ltd. Class H | |
| Ping An Insurance Group Co. of China Ltd. Class H | |
| Postal Savings Bank of China Co. Ltd. Class H(2) | |
| Shanghai Pharmaceuticals Holding Co. Ltd. Class H | |
| Sinopharm Group Co. Ltd. Class H | |
Shares or Principal Amount | | |
COMMON STOCKS - 97.2% - (continued) |
| China - 20.1% - (continued) |
| | |
| Tingyi Cayman Islands Holding Corp. | |
| Want Want China Holdings Ltd. | |
| Weichai Power Co. Ltd. Class H | |
| | |
| | |
| | | |
| |
| Orient Overseas International Ltd. | |
| |
| | |
| | |
| | |
| | |
| | |
| Bharat Petroleum Corp. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| Coromandel International Ltd. | |
| | |
| Dr Reddy's Laboratories Ltd. ADR | |
| Embassy Office Parks REIT | |
| | |
| | |
| Glenmark Pharmaceuticals Ltd. | |
| | |
| | |
| | |
| Hindustan Petroleum Corp. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Jindal Steel & Power Ltd. | |
| | |
| | |
| | |
| | |
| | |
| Max Healthcare Institute Ltd. | |
| | |
| National Aluminium Co. Ltd. | |
| | |
| | |
| Oil & Natural Gas Corp. Ltd. | |
| | |
| | |
| | |
| Power Grid Corp. of India Ltd. | |
| | |
| | |
| Samvardhana Motherson International Ltd. | |
| | |
| Sun Pharmaceutical Industries Ltd. | |
| Tata Consultancy Services Ltd. | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Emerging Markets ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 97.2% - (continued) |
| India - 16.9% - (continued) |
| | |
| Torrent Pharmaceuticals Ltd. | |
| | |
| | |
| | |
| | | |
| |
| Adaro Energy Indonesia Tbk. PT | |
| Astra International Tbk. PT | |
| Bank Central Asia Tbk. PT | |
| Bank Mandiri Persero Tbk. PT | |
| Bank Negara Indonesia Persero Tbk. PT | |
| Bank Rakyat Indonesia Persero Tbk. PT | |
| Indofood Sukses Makmur Tbk. PT | |
| | |
| Telkom Indonesia Persero Tbk. PT | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Petronas Chemicals Group Bhd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| YTL Power International Bhd. | |
| | | |
| |
| America Movil SAB de CV ADR | |
| Arca Continental SAB de CV | |
| Coca-Cola Femsa SAB de CV ADR | |
| Fibra Uno Administracion SA de CV REIT | |
| Fomento Economico Mexicano SAB de CV ADR | |
| | |
| Grupo Financiero Banorte SAB de CV Class O | |
| Grupo Mexico SAB de CV Class B | |
| Prologis Property Mexico SA de CV REIT | |
| | | |
| |
| Nebius Group NV Class A*(3) | |
| |
| | |
| International Container Terminal Services, Inc. | |
| | |
| Metropolitan Bank & Trust Co. | |
| | |
| | | |
| |
| Bank Polska Kasa Opieki SA | |
| | |
| | |
| | |
| Powszechna Kasa Oszczednosci Bank Polski SA | |
Shares or Principal Amount | | |
COMMON STOCKS - 97.2% - (continued) |
| Poland - 1.9% - (continued) |
| Powszechny Zaklad Ubezpieczen SA | |
| | |
| | | |
| |
| | |
| | |
| GMK Norilskiy Nickel PAO*(3) | |
| | |
| | |
| MMC Norilsk Nickel PJSC ADR*(3) | |
| Sberbank of Russia PJSC*(3) | |
| | | |
| |
| | |
| | |
| Arabian Internet & Communications Services Co. | |
| | |
| Dr. Sulaiman Al Habib Medical Services Group Co. | |
| | |
| | |
| | |
| Mouwasat Medical Services Co. | |
| | |
| | |
| | |
| Saudi Aramco Base Oil Co. | |
| | |
| Saudi Basic Industries Corp. | |
| | |
| | |
| | |
| | |
| | | |
| |
| Aspen Pharmacare Holdings Ltd. | |
| | |
| | |
| Harmony Gold Mining Co. Ltd. ADR | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| Hana Financial Group, Inc. | |
| Hankook Tire & Technology Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Korean Air Lines Co. Ltd. | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Emerging Markets ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 97.2% - (continued) |
| South Korea - 10.8% - (continued) |
| | |
| | |
| | |
| Samsung Electro-Mechanics Co. Ltd. | |
| Samsung Electronics Co. Ltd. | |
| Samsung Fire & Marine Insurance Co. Ltd. | |
| Samsung Life Insurance Co. Ltd. | |
| | |
| | |
| | |
| Shinhan Financial Group Co. Ltd. | |
| | |
| | |
| Woori Financial Group, Inc. | |
| | | |
| |
| | |
| | |
| | |
| ASE Technology Holding Co. Ltd. | |
| | |
| Catcher Technology Co. Ltd. | |
| Cathay Financial Holding Co. Ltd. | |
| Cheng Shin Rubber Industry Co. Ltd. | |
| Chicony Electronics Co. Ltd. | |
| Chunghwa Telecom Co. Ltd. | |
| | |
| CTBC Financial Holding Co. Ltd. | |
| | |
| | |
| Evergreen Marine Corp. Taiwan Ltd. | |
| Far EasTone Telecommunications Co. Ltd. | |
| | |
| Hon Hai Precision Industry Co. Ltd. | |
| International Games System Co. Ltd. | |
| King Yuan Electronics Co. Ltd. | |
| Largan Precision Co. Ltd. | |
| | |
| | |
| Makalot Industrial Co. Ltd. | |
| | |
| Micro-Star International Co. Ltd. | |
| Novatek Microelectronics Corp. | |
| | |
| | |
| Powertech Technology, Inc. | |
| President Chain Store Corp. | |
| | |
| Radiant Opto-Electronics Corp. | |
| Realtek Semiconductor Corp. | |
| Ruentex Development Co. Ltd. | |
| Sino-American Silicon Products, Inc. | |
| Synnex Technology International Corp. | |
| | |
| | |
| Taiwan Semiconductor Manufacturing Co. Ltd. ADR | |
| | |
| Unimicron Technology Corp. | |
| Uni-President Enterprises Corp. | |
| United Microelectronics Corp. | |
| Vanguard International Semiconductor Corp. | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 97.2% - (continued) |
| Taiwan - 18.0% - (continued) |
| | |
| | |
| Yang Ming Marine Transport Corp. | |
| Zhen Ding Technology Holding Ltd. | |
| | | |
| |
| Advanced Info Service PCL NVDR | |
| Bangkok Dusit Medical Services PCL NVDR | |
| Bumrungrad Hospital PCL NVDR | |
| | |
| Intouch Holdings PCL NVDR | |
| | |
| | |
| PTT Exploration & Production PCL NVDR | |
| | |
| | |
| | |
| TMBThanachart Bank PCL NVDR | |
| | | |
| |
| | |
| Anadolu Efes Biracilik Ve Malt Sanayii AS | |
| BIM Birlesik Magazalar AS | |
| | |
| | |
| Mavi Giyim Sanayi Ve Ticaret AS Class B(2) | |
| Turkiye Is Bankasi AS Class C | |
| Turkiye Petrol Rafinerileri AS | |
| | |
| | | |
| |
| | |
| Total Common Stocks
(cost $26,423,704) | | |
|
| |
| Cia Energetica de Minas Gerais (Preference Shares)(4) | |
| Gerdau SA (Preference Shares)(4) | |
| Itau Unibanco Holding SA (Preference Shares)(4) | |
| Itausa SA (Preference Shares)(4) | |
| Petroleo Brasileiro SA (Preference Shares)(4) | |
| | | |
| |
| Embotelladora Andina SA (Preference Shares)(4) | |
| |
| Bancolombia SA (Preference Shares)(4) | |
| Total Preferred Stocks
(cost $751,482) | | |
| Total Long-Term Investments
(cost $27,175,186) | | |
SHORT-TERM INVESTMENTS - 0.1% |
| Securities Lending Collateral - 0.1% |
| Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.85%(5) | |
| HSBC U.S. Government Money Market Fund, Institutional Class, 4.86%(5) | |
| Invesco Government & Agency Portfolio, Institutional | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Emerging Markets ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
SHORT-TERM INVESTMENTS - 0.1% - (continued) |
| Securities Lending Collateral - 0.1% - (continued) |
| Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.85%(5) | |
| Total Short-Term Investments
(cost $10,805) | |
| Total Investments
(cost $27,185,991) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2024, the aggregate value of these securities was $800,089, representing 2.5% of net assets. |
| Investment valued using significant unobservable inputs. |
| Currently no rate available. |
| Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
MSCI Emerging Markets Index Future | | | | |
| |
† 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.
Hartford Multifactor Emerging Markets ETF
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended September 30, 2024 is not presented.
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor International Small Company ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| | |
| McMillan Shakespeare Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ventia Services Group Pty. Ltd. | |
| | |
| | | |
| |
| | |
| | |
| | |
| | | |
| |
| Cia de Saneamento de Minas Gerais Copasa MG | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| Cogeco Communications, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Transcontinental, Inc. Class A | |
| | |
| | | |
| |
| Anhui Expressway Co. Ltd. Class H | |
| China Medical System Holdings Ltd. | |
| China Nonferrous Mining Corp. Ltd. | |
| China Railway Signal & Communication Corp. Ltd. | |
| China Resources Pharmaceutical Group Ltd.(2) | |
| China Traditional Chinese Medicine Holdings Co. Ltd.* | |
| CITIC Telecom International Holdings Ltd. | |
| | |
| Genertec Universal Medical Group Co. Ltd.(2) | |
| Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd. Class H | |
| Jiangsu Expressway Co. Ltd. Class H | |
| | |
| Livzon Pharmaceutical Group, Inc. Class H | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.1% - (continued) |
| China - 5.4% - (continued) |
| Shougang Fushan Resources Group Ltd. | |
| Sinopec Engineering Group Co. Ltd. Class H | |
| | |
| Xinhua Winshare Publishing & Media Co. Ltd. Class H | |
| | |
| Zhejiang Expressway Co. Ltd. Class H | |
| | | |
| |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| Bank of Georgia Group PLC | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| Sirius Real Estate Ltd. REIT | |
| | |
| | | |
| |
| | |
| Grand Pharmaceutical Group Ltd. | |
| | |
| Luk Fook Holdings International Ltd. | |
| | |
| Stella International Holdings Ltd. | |
| United Laboratories International Holdings Ltd. | |
| | |
| | |
| | | |
| |
| | |
| Alembic Pharmaceuticals Ltd. | |
| Bombay Burmah Trading Co. | |
| Chambal Fertilisers & Chemicals Ltd. | |
| Chennai Petroleum Corp. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor International Small Company ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.1% - (continued) |
| India - 6.4% - (continued) |
| | |
| | |
| | | |
| |
| Bank Tabungan Negara Persero Tbk. PT | |
| | |
| Golden Agri-Resources Ltd. | |
| Indo Tambangraya Megah Tbk. PT | |
| Japfa Comfeed Indonesia Tbk. PT* | |
| | |
| Perusahaan Gas Negara Tbk. PT | |
| | | |
| |
| Ituran Location & Control Ltd. | |
| | |
| Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. | |
| | | |
| |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Canon Marketing Japan, Inc. | |
| Chubu Steel Plate Co. Ltd. | |
| Chugoku Marine Paints Ltd. | |
| | |
| | |
| | |
| DyDo Group Holdings, Inc. | |
| | |
| | |
| | |
| H.U. Group Holdings, Inc. | |
| | |
| | |
| | |
| | |
| Inaba Denki Sangyo Co. Ltd. | |
| Juroku Financial Group, Inc. | |
| Kaga Electronics Co. Ltd. | |
| Kaken Pharmaceutical Co. Ltd. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| MEITEC Group Holdings, Inc. | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.1% - (continued) |
| Japan - 17.0% - (continued) |
| | |
| | |
| | |
| Nisshin Oillio Group Ltd. | |
| | |
| | |
| Paramount Bed Holdings Co. Ltd. | |
| | |
| | |
| | |
| | |
| Sanki Engineering Co. Ltd. | |
| | |
| Senko Group Holdings Co. Ltd. | |
| Senshu Ikeda Holdings, Inc. | |
| SKY Perfect JSAT Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Tokyo Kiraboshi Financial Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
| United Super Markets Holdings, Inc. | |
| | |
| | |
| | | |
| |
| Hikma Pharmaceuticals PLC | |
| |
| Alliance Bank Malaysia Bhd. | |
| | |
| IOI Properties Group Bhd.* | |
| Kossan Rubber Industries Bhd. | |
| | |
| | |
| | |
| | | |
| |
| FIBRA Macquarie Mexico REIT(2) | |
| TF Administradora Industrial S de Real de CV REIT | |
| | | |
| |
| | |
| |
| | |
| | |
| | |
| | | |
| |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor International Small Company ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.1% - (continued) |
| |
| | |
| | |
| | | |
| |
| Geo Energy Resources Ltd. | |
| | |
| | |
| Yangzijiang Financial Holding Ltd. | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| Hyundai Marine & Fire Insurance Co. Ltd. | |
| JB Financial Group Co. Ltd. | |
| | |
| | |
| LOTTE Fine Chemical Co. Ltd. | |
| | |
| | |
| | |
| | | |
| |
| | |
| Laboratorios Farmaceuticos Rovi SA | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| Arcadyan Technology Corp. | |
| Cathay Real Estate Development Co. Ltd. | |
| Cheng Uei Precision Industry Co. Ltd. | |
| Chicony Power Technology Co. Ltd. | |
| | |
| Da-Li Development Co. Ltd. | |
| Farglory Land Development Co. Ltd. | |
| FLEXium Interconnect, Inc. | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.1% - (continued) |
| Taiwan - 9.0% - (continued) |
| Huaku Development Co. Ltd. | |
| | |
| Shinkong Insurance Co. Ltd. | |
| Simplo Technology Co. Ltd. | |
| | |
| Supreme Electronics Co. Ltd. | |
| | |
| Taiwan Hon Chuan Enterprise Co. Ltd. | |
| | |
| Topco Scientific Co. Ltd. | |
| Tung Ho Steel Enterprise Corp. | |
| | | |
| |
| | |
| Chularat Hospital PCL NVDR | |
| Mega Lifesciences PCL NVDR | |
| Regional Container Lines PCL NVDR | |
| Thanachart Capital PCL NVDR | |
| | |
| | | |
| |
| Dogus Otomotiv Servis ve Ticaret AS | |
| Torunlar Gayrimenkul Yatirim Ortakligi AS REIT | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Shaftesbury Capital PLC REIT | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| Total Common Stocks
(cost $4,969,933) | | |
|
| |
| FUCHS SE (Preference Shares)(4) | |
| Schaeffler AG (Preference Shares)(4) | |
| Total Preferred Stocks
(cost $11,424) | | |
| Total Long-Term Investments
(cost $4,981,357) | | |
| Total Investments
(cost $4,981,357) | | |
| Other Assets and Liabilities | | |
| | | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor International Small Company ETF
Schedule of Investments – (continued)September 30, 2024
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At September 30, 2024, the aggregate value of these securities was $185,513, representing 3.5% of net assets. |
| Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At September 30, 2024, the aggregate value of this security was $54,414, representing 1.0% of net assets. |
| Currently no rate available. |
| See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| For the period ended September 30, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Small Cap ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| Automobiles & Components - 1.7% |
| | |
| | |
| Standard Motor Products, Inc. | |
| Winnebago Industries, Inc. | |
| | | |
| |
| | |
| | |
| | |
| | |
| Business First Bancshares, Inc. | |
| | |
| Central Pacific Financial Corp. | |
| | |
| Community Trust Bancorp, Inc. | |
| | |
| Enterprise Financial Services Corp. | |
| | |
| First Bancorp/Southern Pines NC | |
| | |
| First Commonwealth Financial Corp. | |
| | |
| | |
| | |
| | |
| | |
| Great Southern Bancorp, Inc. | |
| | |
| Heartland Financial USA, Inc. | |
| | |
| | |
| | |
| HomeTrust Bancshares, Inc. | |
| | |
| | |
| International Bancshares Corp. | |
| Midland States Bancorp, Inc. | |
| National Bank Holdings Corp. Class A | |
| | |
| Northwest Bancshares, Inc. | |
| OceanFirst Financial Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Sandy Spring Bancorp, Inc. | |
| Simmons First National Corp. Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Atmus Filtration Technologies, Inc. | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.6% - (continued) |
| Capital Goods - 7.5% - (continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Preformed Line Products Co. | |
| Quanex Building Products Corp. | |
| | |
| Rush Enterprises, Inc. Class A | |
| | |
| | |
| | | |
| Commercial & Professional Services - 6.4% |
| | |
| Barrett Business Services, Inc. | |
| | |
| | |
| CSG Systems International, Inc. | |
| | |
| | |
| Heidrick & Struggles International, Inc. | |
| | |
| Kelly Services, Inc. Class A | |
| | |
| | |
| | |
| Resources Connection, Inc. | |
| | |
| | |
| | |
| | | |
| Consumer Discretionary Distribution & Retail - 5.5% |
| | |
| A-Mark Precious Metals, Inc. | |
| | |
| Build-A-Bear Workshop, Inc. | |
| | |
| | |
| Haverty Furniture Cos., Inc. | |
| | |
| | |
| | |
| | |
| Penske Automotive Group, Inc. | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Durables & Apparel - 5.5% |
| | |
| | |
| Century Communities, Inc. | |
| Ethan Allen Interiors, Inc. | |
| G-III Apparel Group Ltd.* | |
| Green Brick Partners, Inc.* | |
| Hamilton Beach Brands Holding Co. Class A | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Small Cap ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.6% - (continued) |
| Consumer Durables & Apparel - 5.5% - (continued) |
| | |
| | |
| | |
| Levi Strauss & Co. Class A | |
| | |
| | |
| | |
| Smith & Wesson Brands, Inc. | |
| | |
| | |
| Superior Group of Cos., Inc. | |
| | | |
| |
| Graham Holdings Co. Class B | |
| | |
| | |
| | | |
| Consumer Staples Distribution & Retail - 2.5% |
| | |
| Ingles Markets, Inc. Class A | |
| Natural Grocers by Vitamin Cottage, Inc. | |
| | |
| | |
| | |
| | | |
| |
| California Resources Corp. | |
| | |
| | |
| | |
| | |
| | |
| Granite Ridge Resources, Inc. | |
| | |
| International Seaways, Inc. | |
| | |
| | |
| | |
| Select Water Solutions, Inc. | |
| | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 5.1% |
| | |
| | |
| American Assets Trust, Inc. REIT | |
| Apple Hospitality, Inc. REIT | |
| Armada Hoffler Properties, Inc. REIT | |
| Brandywine Realty Trust REIT | |
| Broadstone Net Lease, Inc. REIT | |
| COPT Defense Properties REIT | |
| CTO Realty Growth, Inc. REIT | |
| Easterly Government Properties, Inc. REIT | |
| | |
| Equity Commonwealth REIT* | |
| | |
| Global Medical, Inc. REIT | |
| Highwoods Properties, Inc. REIT | |
| Innovative Industrial Properties, Inc. REIT | |
| LTC Properties, Inc. REIT | |
| LXP Industrial Trust REIT | |
| National Health Investors, Inc. REIT | |
| One Liberty Properties, Inc. REIT | |
| Park Hotels & Resorts, Inc. REIT | |
| Piedmont Office Realty Trust, Inc. Class A, REIT | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.6% - (continued) |
| Equity Real Estate Investment Trusts (REITs) - 5.1% - (continued) |
| | |
| Sunstone Hotel Investors, Inc. REIT | |
| UMH Properties, Inc. REIT | |
| Urban Edge Properties REIT | |
| | |
| | | |
| Financial Services - 1.6% |
| | |
| Bread Financial Holdings, Inc. | |
| Chicago Atlantic Real Estate Finance, Inc. REIT | |
| | |
| | |
| Franklin BSP Realty Trust, Inc. REIT | |
| Oppenheimer Holdings, Inc. Class A | |
| | | |
| Food, Beverage & Tobacco - 2.3% |
| | |
| John B Sanfilippo & Son, Inc. | |
| | |
| | |
| | | |
| Health Care Equipment & Services - 10.2% |
| | |
| AMN Healthcare Services, Inc.* | |
| | |
| | |
| Cross Country Healthcare, Inc.* | |
| | |
| GoodRx Holdings, Inc. Class A* | |
| | |
| Hims & Hers Health, Inc.* | |
| | |
| | |
| | |
| National HealthCare Corp. | |
| | |
| OraSure Technologies, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| Tactile Systems Technology, Inc.* | |
| | |
| | |
| Utah Medical Products, Inc. | |
| | |
| | |
| | |
| | | |
| Household & Personal Products - 0.7% |
| | |
| | |
| Nu Skin Enterprises, Inc. Class A | |
| | |
| | | |
| |
| CNO Financial Group, Inc. | |
| | |
| | |
| Horace Mann Educators Corp. | |
| | |
| Safety Insurance Group, Inc. | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Small Cap ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.6% - (continued) |
| Insurance - 3.3% - (continued) |
| Stewart Information Services Corp. | |
| Universal Insurance Holdings, Inc. | |
| | | |
| |
| Alpha Metallurgical Resources, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ramaco Resources, Inc. Class A | |
| | |
| | |
| | |
| | |
| | | |
| Media & Entertainment - 1.4% |
| | |
| John Wiley & Sons, Inc. Class A | |
| | |
| | |
| | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 6.8% |
| | |
| Amneal Pharmaceuticals, Inc.* | |
| Amphastar Pharmaceuticals, Inc.* | |
| | |
| Catalyst Pharmaceuticals, Inc.* | |
| Collegium Pharmaceutical, Inc.* | |
| Corcept Therapeutics, Inc.* | |
| Harmony Biosciences Holdings, Inc.* | |
| | |
| Kiniksa Pharmaceuticals International PLC* | |
| | |
| Organogenesis Holdings, Inc.* | |
| | |
| Phibro Animal Health Corp. Class A | |
| Prestige Consumer Healthcare, Inc.* | |
| Protagonist Therapeutics, Inc.* | |
| | |
| Supernus Pharmaceuticals, Inc.* | |
| | | |
| Real Estate Management & Development - 0.9% |
| | |
| Newmark Group, Inc. Class A | |
| | |
| | | |
| Semiconductors & Semiconductor Equipment - 1.3% |
| | |
| | |
| | |
| | | |
| Software & Services - 2.1% |
| | |
| | |
| | |
| | |
| | |
| | | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.6% - (continued) |
| Technology Hardware & Equipment - 7.9% |
| | |
| | |
| Benchmark Electronics, Inc. | |
| CompoSecure, Inc. Class A(1) | |
| | |
| | |
| | |
| | |
| | |
| Kimball Electronics, Inc.* | |
| | |
| Napco Security Technologies, Inc. | |
| | |
| | |
| | |
| Richardson Electronics Ltd. | |
| | |
| Vishay Intertechnology, Inc. | |
| Vishay Precision Group, Inc.* | |
| | | |
| Telecommunication Services - 0.9% |
| Cogent Communications Holdings, Inc. | |
| | |
| | |
| | | |
| |
| Covenant Logistics Group, Inc. | |
| | |
| | |
| | |
| Pangaea Logistics Solutions Ltd. | |
| Schneider National, Inc. Class B | |
| Universal Logistics Holdings, Inc. | |
| | |
| | | |
| |
| | |
| Consolidated Water Co. Ltd. | |
| Hawaiian Electric Industries, Inc.* | |
| Northwest Natural Holding Co. | |
| | |
| | |
| | | |
| Total Common Stocks
(cost $27,973,570) | | |
SHORT-TERM INVESTMENTS - 0.5% |
| Securities Lending Collateral - 0.5% |
| Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 4.85%(2) | |
| HSBC U.S. Government Money Market Fund, Institutional Class, 4.86%(2) | |
| Invesco Government & Agency Portfolio, Institutional | |
| Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 4.85%(2) | |
| Total Short-Term Investments
(cost $142,025) | |
| Total Investments
(cost $28,115,595) | | |
| Other Assets and Liabilities | | |
| | | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor Small Cap ETF
Schedule of Investments – (continued)September 30, 2024
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| Current yield as of period end. |
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
| | | | |
| |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Health Care Equipment & Services | | | | |
Household & Personal Products | | | | |
| | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Real Estate Management & Development | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| 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.
Hartford Multifactor US Equity ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| | |
| PNC Financial Services Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Allison Transmission Holdings, Inc. | |
| Applied Industrial Technologies, Inc. | |
| Armstrong World Industries, Inc. | |
| Builders FirstSource, Inc.* | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ferguson Enterprises, Inc. | |
| Franklin Electric Co., Inc. | |
| | |
| Honeywell International, Inc. | |
| | |
| Illinois Tool Works, Inc. | |
| Johnson Controls International PLC | |
| Lennox International, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Commercial & Professional Services - 2.4% |
| Booz Allen Hamilton Holding Corp. | |
| | |
| Broadridge Financial Solutions, Inc. | |
| CACI International, Inc. Class A* | |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Commercial & Professional Services - 2.4% - (continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Discretionary Distribution & Retail - 5.7% |
| Abercrombie & Fitch Co. Class A* | |
| | |
| | |
| | |
| | |
| Dick's Sporting Goods, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| O'Reilly Automotive, Inc.* | |
| | |
| | |
| | |
| | | |
| Consumer Durables & Apparel - 1.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| Skechers USA, Inc. Class A* | |
| | | |
| |
| | |
| Grand Canyon Education, Inc.* | |
| | |
| | |
| Six Flags Entertainment Corp. | |
| | |
| | | |
| Consumer Staples Distribution & Retail - 3.7% |
| Albertsons Cos., Inc. Class A | |
| BJ's Wholesale Club Holdings, Inc.* | |
| Casey's General Stores, Inc. | |
| | |
| | |
| Sprouts Farmers Market, Inc.* | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Energy - 3.0% - (continued) |
| | |
| | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 1.8% |
| | |
| AvalonBay Communities, Inc. REIT | |
| | |
| | |
| Essential Properties Realty Trust, Inc. REIT | |
| Gaming & Leisure Properties, Inc. REIT | |
| | |
| Lamar Advertising Co. Class A, REIT | |
| | |
| Omega Healthcare Investors, Inc. REIT | |
| | |
| | |
| Simon Property Group, Inc. REIT | |
| | |
| VICI Properties, Inc. REIT | |
| | |
| | |
| | | |
| Financial Services - 3.2% |
| Bank of New York Mellon Corp. | |
| Berkshire Hathaway, Inc. Class B* | |
| Capital One Financial Corp. | |
| Cboe Global Markets, Inc. | |
| Corebridge Financial, Inc. | |
| Janus Henderson Group PLC | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Food, Beverage & Tobacco - 2.2% |
| | |
| Archer-Daniels-Midland Co. | |
| | |
| Coca-Cola Consolidated, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Philip Morris International, Inc. | |
| | | |
| Health Care Equipment & Services - 5.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Health Care Equipment & Services - 5.4% - (continued) |
| | |
| | |
| | | |
| Household & Personal Products - 1.6% |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| American International Group, Inc. | |
| | |
| | |
| Axis Capital Holdings Ltd. | |
| | |
| Cincinnati Financial Corp. | |
| | |
| | |
| | |
| | |
| Old Republic International Corp. | |
| | |
| Prudential Financial, Inc. | |
| Reinsurance Group of America, Inc. | |
| RenaissanceRe Holdings Ltd. | |
| | |
| | |
| White Mountains Insurance Group Ltd. | |
| | | |
| |
| | |
| | |
| | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| Graphic Packaging Holding Co. | |
| | |
| | |
| | |
| LyondellBasell Industries NV Class A | |
| Packaging Corp. of America | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Media & Entertainment - 4.2% |
| | |
| Charter Communications, Inc. Class A* | |
| | |
| | |
| | |
| Meta Platforms, Inc. Class A | |
| New York Times Co. Class A | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Media & Entertainment - 4.2% - (continued) |
| Nexstar Media Group, Inc. | |
| | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 7.7% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Intra-Cellular Therapies, Inc.* | |
| | |
| | |
| Mettler-Toledo International, Inc.* | |
| | |
| Regeneron Pharmaceuticals, Inc.* | |
| United Therapeutics Corp.* | |
| Vertex Pharmaceuticals, Inc.* | |
| | | |
| Semiconductors & Semiconductor Equipment - 5.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| Microchip Technology, Inc. | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Software & Services - 9.5% |
| | |
| | |
| | |
| Akamai Technologies, Inc.* | |
| | |
| | |
| | |
| Cadence Design Systems, Inc.* | |
| Cognizant Technology Solutions Corp. Class A | |
| | |
| Dolby Laboratories, Inc. Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| Guidewire Software, Inc.* | |
| International Business Machines Corp. | |
| | |
| | |
| Manhattan Associates, Inc.* | |
| | |
| | |
| Palo Alto Networks, Inc.* | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Software & Services - 9.5% - (continued) |
| | |
| | |
| | |
| | |
| | | |
| Technology Hardware & Equipment - 13.4% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Dell Technologies, Inc. Class C | |
| | |
| | |
| Hewlett Packard Enterprise Co. | |
| | |
| Insight Enterprises, Inc.* | |
| | |
| | |
| | |
| Keysight Technologies, Inc.* | |
| | |
| | |
| | |
| Pure Storage, Inc. Class A* | |
| | |
| Seagate Technology Holdings PLC | |
| | |
| | |
| | |
| | | |
| Telecommunication Services - 2.5% |
| | |
| | |
| Verizon Communications, Inc. | |
| | | |
| |
| CH Robinson Worldwide, Inc. | |
| | |
| | |
| | |
| | | |
| |
| | |
| American Electric Power Co., Inc. | |
| Consolidated Edison, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Portland General Electric Co. | |
| | |
| Public Service Enterprise Group, Inc. | |
The accompanying notes are an integral part of these financial statements.
Hartford Multifactor US Equity ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.7% - (continued) |
| Utilities - 4.4% - (continued) |
| | |
| | |
| | |
| | |
| | |
| | | |
| Total Common Stocks
(cost $380,296,149) | | |
| Total Investments
(cost $380,296,149) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
Futures Contracts Outstanding at September 30, 2024 |
| | | | Value and
Unrealized
Appreciation/
(Depreciation) |
|
| | | | |
| |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Health Care Equipment & Services | | | | |
Household & Personal Products | | | | |
| | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| For the year ended September 30, 2024, there were no transfers in and out of Level 3. |
| 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.
Hartford US Quality Growth ETF
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| Automobiles & Components - 0.8% |
| | |
| |
| | |
| |
| | |
| Builders FirstSource, Inc.* | |
| | |
| Ferguson Enterprises, Inc. | |
| Illinois Tool Works, Inc. | |
| | |
| | |
| | | |
| Commercial & Professional Services - 1.6% |
| | |
| | |
| | |
| | | |
| Consumer Discretionary Distribution & Retail - 9.6% |
| Abercrombie & Fitch Co. Class A* | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| O'Reilly Automotive, Inc.* | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Durables & Apparel - 1.4% |
| | |
| Lululemon Athletica, Inc.* | |
| | |
| | |
| | | |
| |
| | |
| Consumer Staples Distribution & Retail - 4.7% |
| Albertsons Cos., Inc. Class A | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| Weatherford International PLC | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 0.3% |
| Lamar Advertising Co. Class A, REIT | |
| SBA Communications Corp. REIT | |
| | | |
| Financial Services - 4.7% |
| Berkshire Hathaway, Inc. Class B* | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Financial Services - 4.7% - (continued) |
| | |
| | |
| | | |
| Health Care Equipment & Services - 2.9% |
| IDEXX Laboratories, Inc.* | |
| | |
| | |
| | | |
| Household & Personal Products - 2.2% |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | | |
| Media & Entertainment - 9.2% |
| | |
| | |
| | |
| Meta Platforms, Inc. Class A | |
| New York Times Co. Class A | |
| | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 9.8% |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Mettler-Toledo International, Inc.* | |
| | |
| | | |
| Real Estate Management & Development - 0.7% |
| | |
| Zillow Group, Inc. Class C* | |
| | | |
| Semiconductors & Semiconductor Equipment - 12.4% |
| | |
| Axcelis Technologies, Inc.* | |
| | |
| | |
| | |
| | |
| Lattice Semiconductor Corp.* | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Software & Services - 19.3% |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Hartford US Quality Growth ETF
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Software & Services - 19.3% - (continued) |
| | |
| | |
| Cadence Design Systems, Inc.* | |
| Cognizant Technology Solutions Corp. Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Manhattan Associates, Inc.* | |
| | |
| | |
| Palantir Technologies, Inc. Class A* | |
| Palo Alto Networks, Inc.* | |
| | |
| | |
| Smartsheet, Inc. Class A* | |
| | |
| | |
| | | |
| Technology Hardware & Equipment - 9.1% |
| | |
| | |
| | |
| | |
| Dell Technologies, Inc. Class C | |
| | |
| | |
| Keysight Technologies, Inc.* | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.9% - (continued) |
| Technology Hardware & Equipment - 9.1% - (continued) |
| | |
| | |
| Pure Storage, Inc. Class A* | |
| | | |
| |
| | |
| Total Common Stocks
(cost $5,215,505) | | |
| Total Investments
(cost $5,215,505) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| 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.
Hartford US Quality Growth ETF
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
Health Care Equipment & Services | | | | |
Household & Personal Products | | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Real Estate Management & Development | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
| | | | |
| | | | |
| For the period ended September 30, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Schedule of InvestmentsSeptember 30, 2024
Shares or Principal Amount | | |
|
| |
| | |
| | |
| | |
| Citizens Financial Group, Inc. | |
| Columbia Banking System, Inc. | |
| | |
| First Citizens BancShares, Inc. Class A | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| PNC Financial Services Group, Inc. | |
| | |
| | |
| | |
| | |
| | | |
| |
| | |
| Builders FirstSource, Inc.* | |
| | |
| | |
| Ferguson Enterprises, Inc. | |
| Illinois Tool Works, Inc. | |
| | |
| | |
| | |
| | |
| | | |
| Commercial & Professional Services - 0.8% |
| | |
| | |
| | | |
| Consumer Discretionary Distribution & Retail - 4.3% |
| | |
| Dick's Sporting Goods, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Consumer Durables & Apparel - 0.2% |
| | |
| |
| | |
| | |
| | | |
| Consumer Staples Distribution & Retail - 3.8% |
| Albertsons Cos., Inc. Class A | |
| | |
| | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.8% - (continued) |
| Energy - 11.0% - (continued) |
| | |
| | |
| | |
| Magnolia Oil & Gas Corp. Class A | |
| | |
| | |
| | |
| | |
| | |
| Weatherford International PLC | |
| | | |
| Equity Real Estate Investment Trusts (REITs) - 5.2% |
| American Tower Corp. REIT | |
| | |
| | |
| | |
| Lamar Advertising Co. Class A, REIT | |
| SBA Communications Corp. REIT | |
| Simon Property Group, Inc. REIT | |
| VICI Properties, Inc. REIT | |
| | |
| | | |
| Financial Services - 14.5% |
| | |
| Bank of New York Mellon Corp. | |
| Berkshire Hathaway, Inc. Class B* | |
| Capital One Financial Corp. | |
| Corebridge Financial, Inc. | |
| | |
| Goldman Sachs Group, Inc. | |
| Jack Henry & Associates, Inc. | |
| Jackson Financial, Inc. Class A | |
| Janus Henderson Group PLC | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Food, Beverage & Tobacco - 0.6% |
| | |
| Health Care Equipment & Services - 6.3% |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| |
| Axis Capital Holdings Ltd. | |
| | |
| Cincinnati Financial Corp. | |
| | |
| | |
| | |
| | |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)September 30, 2024
Shares or Principal Amount | | |
COMMON STOCKS - 99.8% - (continued) |
| Insurance - 4.6% - (continued) |
| Prudential Financial, Inc. | |
| | |
| | | |
| |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Media & Entertainment - 2.7% |
| | |
| | |
| Meta Platforms, Inc. Class A | |
| | | |
| Pharmaceuticals, Biotechnology & Life Sciences - 3.3% |
| | |
| | |
| | |
| | |
| | |
| | | |
| Semiconductors & Semiconductor Equipment - 1.9% |
| | |
| | |
| | |
| | |
| | | |
| Software & Services - 0.2% |
| Cognizant Technology Solutions Corp. Class A | |
| International Business Machines Corp. | |
| | | |
| Technology Hardware & Equipment - 5.4% |
| | |
| | |
| | |
| Dell Technologies, Inc. Class C | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| | | |
Shares or Principal Amount | | |
COMMON STOCKS - 99.8% - (continued) |
| Telecommunication Services - 3.1% |
| | |
| | |
| Verizon Communications, Inc. | |
| | | |
| |
| | |
| | |
| | | |
| |
| American Electric Power Co., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | | |
| Total Common Stocks
(cost $5,358,672) | | |
| Total Investments
(cost $5,358,672) | | |
| Other Assets and Liabilities | | |
| | | |
Note:
Percentage of investments as shown is the ratio of the total market value to 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.
| |
| 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.
Schedule of Investments – (continued)September 30, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of September 30, 2024 in valuing the Fund’s investments.
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
Commercial & Professional Services | | | | |
Consumer Discretionary Distribution & Retail | | | | |
Consumer Durables & Apparel | | | | |
| | | | |
Consumer Staples Distribution & Retail | | | | |
| | | | |
Equity Real Estate Investment Trusts (REITs) | | | | |
| | | | |
| | | | |
Health Care Equipment & Services | | | | |
| | | | |
| | | | |
| | | | |
Pharmaceuticals, Biotechnology & Life Sciences | | | | |
Semiconductors & Semiconductor Equipment | | | | |
| | | | |
Technology Hardware & Equipment | | | | |
Telecommunication Services | | | | |
| | | | |
| | | | |
| | | | |
| For the period ended September 30, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
GLOSSARY: (abbreviations used in preceding Schedules of Investments)
|
| Europe, Australasia and Far East |
| |
|
| American Depositary Receipt |
| |
| Global Depositary Receipt |
| Kommanditgesellschaft Auf Aktien |
| Morgan Stanley Capital International |
| Non-Voting Depositary Receipt |
| Private Joint Stock Company |
| |
| Real Estate Investment Trust |
| |
Statements of Assets and LiabilitiesSeptember 30, 2024
| Hartford
Disciplined US
Equity ETF | Hartford
Longevity
Economy
ETF | Hartford
Multifactor
Developed
Markets (ex-US)
ETF | Hartford
Multifactor
Diversified
International
ETF | Hartford
Multifactor
Emerging
Markets ETF | Hartford
Multifactor
International
Small Company
ETF | Hartford
Multifactor Small
Cap ETF |
| | | | | | | |
Investments in securities, at market value(1) | | | | | | | |
| | | | | | | |
Cash collateral due from broker on futures contracts | | | | | | | |
Cash collateral held for securities on loan | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Securities lending income | | | | | | | |
Variation margin on futures contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Obligation to return securities lending collateral | | | | | | | |
| | | | | | | |
Investment securities purchased | | | | | | | |
| | | | | | | |
Variation margin on futures contracts | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Distributable earnings (loss) | | | | | | | |
| | | | | | | |
Net asset value per share | | | | | | | |
Shares issued and outstanding | | | | | | | |
| | | | | | | |
| | | | | | | |
(1) Includes Investment in securities on loan, at market value | | | | | | | |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities – (continued)September 30, 2024
| Hartford
Multifactor US
Equity ETF | Hartford
US
Quality
Growth
ETF | |
| | | |
Investments in securities, at market value | | | |
| | | |
Cash collateral due from broker on futures contracts | | | |
| | | |
| | | |
Securities lending income | | | |
Variation margin on futures contracts | | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
Distributable earnings (loss) | | | |
| | | |
Net asset value per share | | | |
Shares issued and outstanding | | | |
| | | |
The accompanying notes are an integral part of these financial statements.
Statements of OperationsFor the Year Ended September 30, 2024
| Hartford
Disciplined US
Equity ETF | Hartford
Longevity
Economy
ETF | Hartford
Multifactor
Developed
Markets (ex-US)
ETF | Hartford
Multifactor
Diversified
International
ETF | Hartford
Multifactor
Emerging
Markets ETF | Hartford
Multifactor
International
Small Company
| Hartford
Multifactor Small
Cap ETF |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Less: Foreign tax withheld | | | | | | | |
Total investment income, net | | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Net Investment Income (Loss) | | | | | | | |
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | | | | | | | |
| | | | | | | |
Less: Foreign taxes paid on realized capital gains | | | | | | | |
| | | | | | | |
Other foreign currency transactions | | | | | | | |
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | | | | | | | |
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | | | | | | | |
| | | | | | | |
| | | | | | | |
Translation of other assets and liabilities in foreign currencies | | | | | | | |
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | | | | | | | |
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | | | | |
* Includes change in unrealized appreciation (depreciation) on deferred capital gains tax | | | | | | | |
| Commenced operations on March 18, 2024. |
| Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in the Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
Statements of Operations – (continued)For the Year Ended September 30, 2024
| Hartford
Multifactor US
Equity ETF | | |
| | | |
| | | |
| | | |
| | | |
Less: Foreign tax withheld | | | |
Total investment income, net | | | |
| | | |
| | | |
| | | |
Net Investment Income (Loss) | | | |
Net Realized Gain (Loss) on Investments and Other Financial Instruments on: | | | |
| | | |
| | | |
Net Realized Gain (Loss) on Investments and Other Financial Instruments | | | |
Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments of: | | | |
| | | |
| | | |
Net Changes in Unrealized Appreciation (Depreciation) of Investments and Other Financial Instruments | | | |
Net Gain (Loss) on Investments and Other Financial Instruments | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | |
| Commenced operations on December 5, 2023. |
| Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in the Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
| Hartford
Disciplined
US Equity ETF | Hartford
Longevity
Economy ETF |
| For the
Year Ended
September 30,
2024 | For the
Period Ended
September 30,
| For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 |
| | | | |
Net investment income (loss) | | | | |
Net realized gain (loss) on investments and other financial instruments | | | | |
Net changes in unrealized appreciation (depreciation) of investments and other financial instruments | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | |
Distributions to Shareholders | | | | |
Capital Share Transactions: | | | | |
| | | | |
| | | | |
Net increase (decrease) from capital share transactions | | | | |
Net Increase (Decrease) in Net Assets | | | | |
| | | | |
| | | | |
| | | | |
| Commenced operations on November 16, 2022. |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| Hartford Multifactor
Developed Markets (ex-US) ETF | Hartford Multifactor
Diversified International ETF |
| For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 | For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 |
| | | | |
Net investment income (loss) | | | | |
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | | | | |
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | |
Distributions to Shareholders | | | | |
Capital Share Transactions: | | | | |
| | | | |
| | | | |
| | | | |
Net increase (decrease) from capital share transactions | | | | |
Net Increase (Decrease) in Net Assets | | | | |
| | | | |
| | | | |
| | | | |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| Hartford Multifactor
Emerging Markets ETF | Hartford
Multifactor
International
Small Company
ETF |
| For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 | For the
Period Ended
September 30,
|
| | | |
Net investment income (loss) | | | |
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | | | |
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | |
Distributions to Shareholders | | | |
Capital Share Transactions: | | | |
| | | |
| | | |
| | | |
Net increase (decrease) from capital share transactions | | | |
Net Increase (Decrease) in Net Assets | | | |
| | | |
| | | |
| | | |
| Commenced operations on March 18, 2024. |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| Hartford Multifactor
Small Cap ETF | Hartford Multifactor
US Equity ETF |
| For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 | For the
Year Ended
September 30,
2024 | For the
Year Ended
September 30,
2023 |
| | | | |
Net investment income (loss) | | | | |
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | | | | |
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | |
Distributions to Shareholders | | | | |
Capital Share Transactions: | | | | |
| | | | |
| | | | |
Net increase (decrease) from capital share transactions | | | | |
Net Increase (Decrease) in Net Assets | | | | |
| | | | |
| | | | |
| | | | |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| Hartford
US
Quality
Growth
ETF | |
| For the
Period Ended
September 30,
| For the
Period Ended
September 30,
|
| | |
Net investment income (loss) | | |
Net realized gain (loss) on investments | | |
Net changes in unrealized appreciation (depreciation) of investments | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | |
Distributions to Shareholders | | |
Capital Share Transactions: | | |
| | |
| | |
Net increase (decrease) from capital share transactions | | |
Net Increase (Decrease) in Net Assets | | |
| | |
| | |
| | |
| Commenced operations on December 5, 2023. |
The accompanying notes are an integral part of these financial statements.
| —Selected Per-Share Data(1)— | —Ratios and Supplemental Data — |
| Net Asset
Value at
Beginning
of Period | Net
Investment
Income
(Loss) | Net
Realized
and
Unrealized
Gain (Loss)
on
Investments | Total
from
Investment
Operations | | Dividends
from Net
Investment
Income | Total
Dividends
and
Distributions | Net
Asset
Value at
End of
Period | | Net
Assets at
End of
Period
(000s) | Ratio of
Expenses
to
Average
Net
Assets
Before
Adjust-
| Ratio of
Expenses
to
Average
Net
Assets
After
Adjust-
ments | Ratio of
Net
Investment
Income
(Loss) to
Average
Net Assets | |
Hartford Disciplined US Equity ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Period Ended September 30, 2023(5) |
| | | | | | | | | | | | | | |
Hartford Longevity Economy ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Period Ended September 30, 2021(10) |
| | | | | | | | | | | | | | |
Hartford Multifactor Developed Markets (ex-US) ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2021 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2020 |
| | | | | | | | | | | | | | |
Hartford Multifactor Diversified International ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2021 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2020 |
| | | | | | | | | | | | | | |
Hartford Multifactor Emerging Markets ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
Financial Highlights – (continued)
| —Selected Per-Share Data(1)— | —Ratios and Supplemental Data — |
| Net Asset Value at Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | | Dividends from Net Investment Income | Total Dividends and Distributions | Net Asset Value at End of Period | | 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 | |
Hartford Multifactor Emerging Markets ETF – (continued) |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2021 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2020 |
| | | | | | | | | | | | | | |
Hartford Multifactor International Small Company ETF(13) |
For the Period Ended September 30, 2024 |
| | | | | | | | | | | | | | |
Hartford Multifactor Small Cap ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2021 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2020 |
| | | | | | | | | | | | | | |
Hartford Multifactor US Equity ETF |
For the Year Ended September 30, 2024 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2023 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2022 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2021 |
| | | | | | | | | | | | | | |
For the Year Ended September 30, 2020 |
| | | | | | | | | | | | | | |
Hartford US Quality Growth ETF(15) |
For the Period Ended September 30, 2024 |
| | | | | | | | | | | | | | |
Hartford US Value ETF(15) |
For the Period Ended September 30, 2024 |
| | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
Financial Highlights – (continued)
FINANCIAL HIGHLIGHTS FOOTNOTES |
| 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. |
| 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 net asset value at the end of the distribution day. |
| Adjustments include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
| Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| Commenced operations on November 16, 2022. |
| Per share amount was not in accord with the net realized and unrealized gain (loss) for the period because of the timing of transactions in shares of the Fund and the amount and timing of per-share net realized and unrealized gain (loss) on such shares. |
| |
| |
| Reflects the Fund's portfolio turnover for the period November 16, 2022 through September 30, 2023. |
| Commenced operations on March 16, 2021. |
| Reflects the Fund's portfolio turnover for the period March 16, 2021 through September 30, 2021. |
| Per share amount is less than $0.005. |
| Commenced operations on March 18, 2024. |
| Reflects the Fund's portfolio turnover for the period March 18, 2024 through September 30, 2024. |
| Commenced operations on December 5, 2023. |
| Reflects the Fund's portfolio turnover for the period December 5, 2023 through September 30, 2024. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements September 30, 2024
Lattice Strategies Trust (the "Trust") is an open-end registered management investment company comprised of ten operational series as of September 30, 2024. 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 Disciplined US Equity ETF (the "Disciplined US Equity ETF") |
Hartford Longevity Economy ETF (the "Longevity Economy ETF") |
Hartford Multifactor Developed Markets (ex-US) ETF (the "Multifactor Developed Markets (ex-US) ETF") |
Hartford Multifactor Diversified International ETF (the "Multifactor Diversified International ETF") |
Hartford Multifactor Emerging Markets ETF (the "Multifactor Emerging Markets ETF") |
Hartford Multifactor International Small Company ETF (the "Multifactor International Small Company ETF") |
Hartford Multifactor Small Cap ETF (the "Multifactor Small Cap ETF") |
Hartford Multifactor US Equity ETF (the "Multifactor US Equity ETF") |
Hartford US Quality Growth ETF (the "US Quality Growth ETF") |
Hartford US Value ETF (the "US Value ETF") |
Multifactor International Small Company ETF commenced operations on March 18, 2024. US Quality Growth ETF and US Value ETF commenced operations on December 5, 2023. Disciplined US Equity ETF commenced operations on November 16, 2022. Longevity Economy ETF commenced operations on March 16, 2021. Multifactor Diversified International ETF commenced operations on May 10, 2017. Multifactor Small Cap ETF commenced operations on March 23, 2015. Each of the other Funds commenced operations on February 25, 2015.
Each Fund is an exchange-traded fund ("ETF") that trades on an exchange like other publicly traded securities. Each Fund is designed to track an index. Shares of Disciplined US Equity ETF, Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets 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, Multifactor International Small Company ETF and US Value ETF are listed and traded on Cboe BZX Exchange, Inc. ("Cboe BZX"). Shares of US Quality Growth ETF are listed and traded on The NASDAQ Stock Market LLC (“NASDAQ Stock Market”). 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 in Creation Units at net asset value ("NAV") only by certain large institutional investors ("Authorized Participants") who have entered into agreements with ALPS Distributors, Inc. ("ALPS" or the "Distributor"), the Funds’ Distributor.
The assets of each Fund are separate, and a shareholder's interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on April 15, 2014 and is registered with the U.S. 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 is a diversified open-end management investment company. Each Fund applies specialized accounting and reporting standards under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."
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.
a)
Determination of Net Asset Value – The NAV of each Fund's shares 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 from Authorized Participants and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund 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 the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day.
Notes to Financial Statements – (continued) September 30, 2024
b)
Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, 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.
With respect to a Fund's investments that do not have readily available market prices, the Trust's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager" or "HFMC") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee").
If market prices are not readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures").
The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee (the "Valuation Committee"). The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board.
Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund.
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives 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, which approximates fair value.
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, sell or redeem 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.
Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded 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 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
Notes to Financial Statements – (continued) September 30, 2024
that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract.
•
Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price.
Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.
For additional information, refer to the Fair Value Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
c)
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 the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available.
Please refer to Note 8 for Securities Lending information.
d)
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 and interest from securities in which a 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 or unrealized gain (loss) on investments in these securities, if applicable.
e)
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.
f)
Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of Multifactor Developed Markets (ex-US) ETF, Multifactor Diversified International ETF, Multifactor Emerging Markets ETF and Multifactor International Small Company ETF is to pay dividends from net investment income, if any, semi-annually. The policy of Disciplined US Equity ETF, Longevity Economy ETF, Multifactor US Equity ETF, Multifactor Small Cap ETF, US Quality Growth ETF and US Value ETF is to pay dividends from net investment income, if any, quarterly. Amounts may vary significantly from period to period and realized gains, if any, are paid at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code.
Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes).
Notes to Financial Statements – (continued) September 30, 2024
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.
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 of period-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.
a)
Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant ("FCM") an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value ("variation margin") is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities.
During the year ended September 30, 2024, each of Disciplined US Equity ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Diversified International ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF had used Futures Contracts.
b)
Additional Derivative Instrument Information:
Disciplined US Equity ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
Notes to Financial Statements – (continued) September 30, 2024
Disciplined US Equity ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
Multifactor Developed Markets (ex-US) ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
Notes to Financial Statements – (continued) September 30, 2024
Multifactor Diversified International ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
Multifactor Emerging Markets ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
Notes to Financial Statements – (continued) September 30, 2024
Multifactor Emerging Markets ETF – (continued)
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
Multifactor Small Cap ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
Notes to Financial Statements – (continued) September 30, 2024
Multifactor US Equity ETF
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2024: |
| |
| | | | | | |
| | | | | | |
Unrealized appreciation on futures contracts(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. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2024: |
| |
| | | | | | |
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net realized gain (loss) on futures contracts | | | | | | |
| | | | | | |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | |
Net change in unrealized appreciation (depreciation) of futures contracts | | | | | | |
| | | | | | |
For the year ended September 30, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Average Notional
Par, Contracts
or Face Amount |
Futures Contracts Number of Long Contracts | |
c)
Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy.
The following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of September 30, 2024:
Disciplined US Equity ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
Notes to Financial Statements – (continued) September 30, 2024
Multifactor Developed Markets (ex-US) ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
Multifactor Diversified International ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
Multifactor Emerging Markets ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
Multifactor Small Cap ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
Multifactor US Equity ETF | | |
Derivative Financial Instruments: | | |
| | |
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | |
Derivatives not subject to a MNA | | |
Total gross amount of assets and liabilities subject to MNA or similar agreements | | |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund's prospectus provides details of its principal risks.
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments.
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and
Notes to Financial Statements – (continued) September 30, 2024
greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed markets.
A Fund’s focus on securities of issuers that reflect a specific theme or focus on a specific sector or industry may affect the Fund’s exposure to certain industries or types of investments. The Fund’s relative investment performance may also be affected depending on whether such themes, sectors, industries or investments are in or out of favor with the market. Certain investments may be dependent on U.S. and foreign government policies, including tax incentives and subsidies and developments affecting companies focused on longevity and aging solutions generally. In addition, under certain market conditions, a Fund may underperform funds that invest in a broader array of investments.
Geopolitical events, including the invasion of Ukraine by Russia and conflict between Israel and Hamas, have injected uncertainty into the global financial markets. One or more of the Funds holds positions in securities or other instruments that are economically tied to Russia. Investments in Russia are subject to political, economic, legal, market and currency risks, as well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions which affect companies in many sectors, including energy, financial services and defense, among others, have adversely affected and could continue to adversely affect the global energy and financial markets and, thus, have adversely affected and could continue to adversely affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions.
A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance.
a)
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, 2024. 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.
b)
Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, adjustments related to Passive Foreign Investment Companies ("PFICs"), redemptions-in-kind, reclassification of dividend income, RICs and certain derivatives. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund.
Notes to Financial Statements – (continued) September 30, 2024
c)
Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the years or periods ended September 30, 2024 and September 30, 2023 are as follows (as adjusted for dividends payable, if applicable):
| For the Period or Year Ended
September 30, 2024 | For the Period or Year Ended
September 30, 2023 |
| | |
Disciplined US Equity ETF(1) | | |
| | |
Multifactor Developed Markets (ex-US) ETF | | |
Multifactor Diversified International ETF | | |
Multifactor Emerging Markets ETF | | |
Multifactor International Small Company ETF(2) | | |
Multifactor Small Cap ETF | | |
Multifactor US Equity ETF | | |
| | |
| | |
| | |
| Distributions for the period November 11, 2022 (commencement of operations) through September 30, 2023. |
| Distributions for the period March 18, 2024 (commencement of operations) through September 30, 2024. |
| Distributions for the period December 5, 2023 (commencement of operations) through September 30, 2024. |
As of September 30, 2024, the components of total accumulated earnings (deficit) for each Fund on a tax basis are as follows:
| Undistributed
Ordinary
Income | Accumulated
Capital and
Other Losses | Unrealized
Appreciation
(Depreciation)
on Investments | Total
Accumulated
Earnings
(Deficit) |
Disciplined US Equity ETF | | | | |
| | | | |
Multifactor Developed Markets (ex-US) ETF | | | | |
Multifactor Diversified International ETF | | | | |
Multifactor Emerging Markets ETF | | | | |
Multifactor International Small Company ETF | | | | |
Multifactor Small Cap ETF | | | | |
Multifactor US Equity ETF | | | | |
| | | | |
| | | | |
d)
Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as redemption in-kind transactions, subsequent adjustments to wash sales, and reclassification of dividend income. Adjustments are made to reflect the impact these items have on the current and future earnings distributions to shareholders. Therefore, the source of the Funds' distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year or period ended September 30, 2024, the Funds recorded reclassifications to increase (decrease) the accounts listed below:
| | Distributable
Earnings (Loss) |
Disciplined US Equity ETF | | |
| | |
Multifactor Developed Markets (ex-US) ETF | | |
Multifactor Diversified International ETF | | |
Multifactor Emerging Markets ETF | | |
Multifactor Small Cap ETF | | |
Multifactor US Equity ETF | | |
| | |
| | |
e)
Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period.
Notes to Financial Statements – (continued) September 30, 2024
At September 30, 2024 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows:
| Short-Term
Capital Loss
Carryforward with
No Expiration | Long-Term
Capital Loss
Carryforward with
No Expiration |
Disciplined US Equity ETF | | |
| | |
Multifactor Developed Markets (ex-US) ETF | | |
Multifactor Diversified International ETF | | |
Multifactor Emerging Markets ETF | | |
Multifactor International Small Company ETF | | |
Multifactor Small Cap ETF* | | |
Multifactor US Equity ETF | | |
| | |
| | |
| Future utilization of losses are subject to limitation under current tax laws. |
During the year ended September 30, 2024, Longevity Economy ETF utilized $181,814, Multifactor Developed Markets (ex-US) ETF utilized $6,457,466, Multifactor Diversified International ETF utilized $148,169 and Multifactor Small Cap ETF utilized $18,348 of prior year capital loss carryforwards, respectively.
f)
Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2024 is different from book purposes primarily due to wash sale loss deferrals, PFIC mark-to-market adjustments and reclassification of dividend income. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation was also different from book purposes primarily due to wash sale loss deferrals, reclassification of dividend income and mark-to-market adjustments on PFICs and futures. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below:
| | Gross Unrealized
Appreciation | Gross Unrealized
(Depreciation) | Net Unrealized
Appreciation
(Depreciation) |
Disciplined US Equity ETF | | | | |
| | | | |
Multifactor Developed Markets (ex-US) ETF | | | | |
Multifactor Diversified International ETF | | | | |
Multifactor Emerging Markets ETF | | | | |
Multifactor International Small Company ETF | | | | |
Multifactor Small Cap ETF | | | | |
Multifactor US Equity ETF | | | | |
| | | | |
| | | | |
g)
Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, HFMC reviews each Fund’s tax positions for all open tax years. As of September 30, 2024, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for three years, no examination is currently in progress. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended September 30, 2024, the Funds did not incur any interest or penalties. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months.
a)
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 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 a sub-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.
Notes to Financial Statements – (continued) September 30, 2024
Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust, except for (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the advisory fee payable to the Adviser under the Investment Advisory Agreement. 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.
The schedule below reflects the rates of compensation paid to Lattice for investment advisory services rendered as of September 30, 2024; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates:
| |
Disciplined US Equity ETF | |
| |
Multifactor Developed Markets (ex-US) ETF | |
Multifactor Diversified International ETF | |
Multifactor Emerging Markets ETF | |
Multifactor International Small Company ETF | |
Multifactor Small Cap ETF | |
Multifactor US Equity ETF | |
| |
| |
b)
Distribution Plans - Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees.
For the year or period ended September 30, 2024, the Funds did not pay any Rule 12b-1 fees.
c)
Remuneration Paid to Trustees, Officers and Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year or period ended September 30, 2024, a portion of the Trust's Chief Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Management Agreement, HFMC also pays any Trustee and CCO compensation on behalf of the Funds.
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. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit of a 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. The contractual maturities of the securities lending transactions are considered overnight and continuous.
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 Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (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; (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also trigger adverse tax consequences for a Fund.
A Fund retains loan fees and the interest on cash collateral investments but is 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 applicable Fund). Upon termination of a loan, a Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers.
Notes to Financial Statements – (continued) September 30, 2024
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. A Fund also receives 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.
The following table presents for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of September 30, 2024.
| Investment Securities on Loan, at market value,
Presented on the Statements of Assets and Liabilities | | |
Disciplined US Equity ETF | | | |
| | | |
Multifactor Developed Markets (ex-US) ETF | | | |
Multifactor Diversified International ETF | | | |
Multifactor Emerging Markets ETF | | | |
Multifactor International Small Company ETF | | | |
Multifactor Small Cap ETF | | | |
Multifactor US Equity ETF | | | |
| | | |
| | | |
| 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 due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
9.
Custodian and Transfer Agent:
State Street Bank and Trust Company ("State Street") serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement") dated December 31, 2014, as amended from time to time. 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 and service agreement ("Transfer Agency and Service Agreement") dated February 13, 2018, as amended from time to time. 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 and Service Agreement, Lattice or an affiliate, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure.
As of September 30, 2024, affiliates of The Hartford had ownership of shares in certain Funds as follows:
| |
Disciplined US Equity ETF | |
| |
Multifactor Diversified International ETF | |
Multifactor International Small Company ETF | |
Multifactor Small Cap ETF | |
| |
| |
As of September 30, 2024, affiliated funds of funds and the 529 plan for which HFMC serves as the program manager (the "529 plan") 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 and the 529 plan. Affiliated funds of funds and the 529 plan owned shares in the Funds listed below as follows:
| |
Multifactor Developed Markets (ex-US) ETF | |
Multifactor US Equity ETF | |
Notes to Financial Statements – (continued) September 30, 2024
11.
Beneficial Fund Ownership:
As of September 30, 2024, to the knowledge of a Fund, the shareholders listed below beneficially held more than 25% of the shares outstanding of a Fund.
| | |
| Hartford Funds Management Company, LLC | |
Multifactor International Small Company ETF | Hartford Funds Management Company, LLC | |
Multifactor Small Cap ETF | Hartford Funds Management Company, LLC | |
| Hartford Funds Management Company, LLC | |
| Hartford Funds Management Company, LLC | |
12.
Investment Transactions:
For the year or period ended September 30, 2024, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:
| Cost of Purchases
Excluding U.S.
Government
Obligations | Sales Proceeds
Excluding U.S.
Government
Obligations | | |
Disciplined US Equity ETF | | | | |
| | | | |
Multifactor Developed Markets (ex-US) ETF | | | | |
Multifactor Diversified International ETF | | | | |
Multifactor Emerging Markets ETF | | | | |
Multifactor International Small Company ETF | | | | |
Multifactor Small Cap ETF | | | | |
Multifactor US Equity ETF | | | | |
| | | | |
| | | | |
For the year or period ended September 30, 2024, in-kind transactions, which are not included in the table above, associated with purchase or redemption of Creation Units were as follows:
| | | |
Disciplined US Equity ETF | | | |
| | | |
Multifactor Developed Markets (ex-US) ETF | | | |
Multifactor Diversified International ETF | | | |
Multifactor Emerging Markets ETF | | | |
Multifactor International Small Company ETF | | | |
Multifactor Small Cap ETF | | | |
Multifactor US Equity ETF | | | |
| | | |
| | | |
| | | |
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 and/or cash to a Fund and redemption proceeds are paid with a basket of securities and/or cash 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 securities included in the relevant baskets for any reason at the Trust’s sole discretion. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets.
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.
Notes to Financial Statements – (continued) September 30, 2024
Shares of Disciplined US Equity ETF, Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF are listed on the NYSE Arca and shares of Multifactor Diversified International ETF, Multifactor International Small Company ETF and US Value ETF are listed on the Cboe BZX. Shares of US Quality Growth ETF are listed on the NASDAQ Stock Market. 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). Each Fund will only issue or redeem Creation Units 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/or cash that the Fund specifies each business day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.
The following information is for the year or period ended September 30, 2024 and the year or period ended September 30, 2023:
| For the Year or Period Ended
September 30, 2024 | For the Year or Period Ended
September 30, 2023 |
| | | | |
Disciplined US Equity ETF(1) | | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor Developed Markets (ex-US) ETF | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor Diversified International ETF | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor Emerging Markets ETF | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor International Small Company ETF(2) | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor Small Cap ETF | | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Multifactor US Equity ETF | | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
Notes to Financial Statements – (continued) September 30, 2024
| For the Year or Period Ended September 30, 2024 | For the Year or Period Ended September 30, 2023 |
| | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
| | | | |
| | | | |
| | | | |
Total Net Increase (Decrease) | | | | |
| Commenced operations on November 16, 2022. |
| Commenced operations on March 18, 2024. |
| Commenced operations on December 5, 2023. |
The Multifactor Diversified International ETF, Multifactor Emerging Markets ETF and Multifactor International Small Company ETF participate in a committed line of credit pursuant to a credit agreement dated February 29, 2024. Each such Fund may borrow under the line of credit for temporary or emergency purposes. These Funds (together with certain other Hartford Funds) may borrow up to $350 million in the aggregate, subject to asset coverage and other limitations specified in the credit agreement. The interest rate on borrowings varies depending on the nature of the loan. The facility also charges certain fees, such as a commitment fee. The fees incurred by these Funds, if any, in connection with the credit facility during the period would be paid by the Investment Manager. During and as of the period ended September 30, 2024, none of these Funds had borrowings under the credit facility.
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.
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Lattice Strategies Trust and Shareholders of Hartford Disciplined US Equity ETF, Hartford Longevity Economy ETF, Hartford Multifactor Developed Markets (ex-US) ETF, Hartford Multifactor Diversified International ETF, Hartford Multifactor Emerging Markets ETF, Hartford Multifactor International Small Company ETF, Hartford Multifactor Small Cap ETF, Hartford Multifactor US Equity ETF, Hartford US Quality Growth ETF and Hartford US Value ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the Funds indicated in the table below (constituting Lattice Strategies Trust, hereafter collectively referred to as the "Funds") as of September 30, 2024, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2024, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.
|
Hartford Disciplined US Equity ETF(1) |
Hartford Longevity Economy ETF(2) |
Hartford Multifactor Developed Markets (ex-US) ETF(3) |
Hartford Multifactor Diversified International ETF(3) |
Hartford Multifactor Emerging Markets ETF(3) |
Hartford Multifactor International Small Company ETF(4) |
Hartford Multifactor Small Cap ETF(3) |
Hartford Multifactor US Equity ETF(3) |
Hartford US Quality Growth ETF(5) |
|
| Statement of assets and liabilities, including the schedule of investments, as of September 30, 2024, the related statements of operations for the year ended September 30, 2024, the statement of changes in net assets and the financial highlights for the period ended September 30, 2024 and for the period November 16, 2022 (commencement of operations) through September 30, 2023. |
| Statement of assets and liabilities, including the schedule of investments, as of September 30, 2024, the related statement of operations for the year ended September 30, 2024, the statements of changes in net assets for each of the two years in the period ended September 30, 2024 and the financial highlights for each of the three years in the period ended September 30, 2024, and for the period March 16, 2021 (commencement of operations) through September 30, 2021. |
| Statement of assets and liabilities, including the schedule of investments, as of September 30, 2024, the related statement of operations for the year ended September 30, 2024, the statements of changes in net assets for each of the two years in the period ended September 30, 2024, and the financial highlights for each of the five years in the period ended September 30, 2024. |
| Statement of assets and liabilities, including the schedule of investments, as of September 30, 2024, the related statements of operations, and of changes in net assets and the financial highlights for period March 18, 2024 (commencement of operations) through September 30, 2024. |
| Statement of assets and liabilities, including the schedule of investments, as of September 30, 2024, the related statements of operations, and of changes in net assets and the financial highlights for period December 5, 2023 (commencement of operations) through September 30, 2024. |
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by
Report of Independent Registered Public Accounting Firm
management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2024 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
November 20, 2024
We have served as the auditor of one or more investment companies in the Hartford Funds group of investment companies since 2020.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable. There were no changes in or disagreements with accountants during the period.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable. There were no matters submitted to a vote of shareholders during the period.
Item 10. Remuneration Paid to Trustees, Officers, and Others of Open-End Management Investment Companies.
The response to this item is included under Item 7 of this form.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited)
Lattice Strategies Trust
Hartford Disciplined US Equity ETF
Hartford Longevity Economy ETF
Hartford Multifactor Developed Markets (ex-US) ETF
Hartford Multifactor Diversified International ETF
Hartford Multifactor Emerging Markets ETF
Hartford Multifactor Small Cap ETF
Hartford Multifactor US Equity ETF
(each, a “Fund” and collectively, the “Funds”)
Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), requires that each registered investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the investment company, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the continuation of the investment company’s investment advisory and sub-advisory agreements. At its meeting held on September 11-12, 2024, the Board of Trustees (the “Board”) of Lattice Strategies Trust (the “Trust”), including the Independent Trustees, unanimously voted to approve (i) the continuation of an investment advisory agreement (the “Investment Advisory Agreement”) by and between the Trust, on behalf of each of its series listed above, and Lattice Strategies LLC (“Lattice Strategies”), a wholly owned subsidiary of Hartford Funds Management Company, LLC; and (ii) a separate investment sub-advisory agreement (the “Sub-advisory Agreement” and together with the Investment Advisory Agreement, the “Agreements”) between Lattice Strategies and the Funds’ sub-adviser, Mellon Investments Corporation (the “Sub-adviser,” and together with Lattice Strategies, the “Advisers”).
In the months preceding the September 11-12, 2024 meeting, the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board considered such additional information as it deemed reasonably necessary to evaluate the Agreements, as applicable, with respect to each Fund, which included information furnished to the Board and its committees at their meetings throughout the year and in between regularly scheduled meetings on particular matters as the need arose, as well as information specifically prepared in connection with the approval of the continuation of the Agreements that was presented at the Board’s meetings held on June 11, 2024 and September 11-12, 2024. Information provided to the Board and its committees at their meetings throughout the year included, among other things, reports on Fund performance and tracking difference, legal, compliance and risk management matters, sales and marketing activity, secondary market trading premium and discount information, and the other services provided to each Fund by the Advisers and their affiliates. The members of the Board also considered the materials and presentations by Fund officers and representatives of Lattice Strategies received at the Board’s meetings on June 11, 2024 and September 11-12, 2024 concerning the Agreements and at the special meeting of the Board’s Investment Committee on May 23, 2024 concerning Fund performance and tracking difference and other investment-related matters.
The Independent Trustees, advised by independent legal counsel throughout the evaluation process, engaged service providers to assist them with evaluating the Agreements with respect to each Fund. Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, was retained to provide the Board with reports on how each Fund’s contractual management fees, actual management fees and total expense ratio compared to those of an appropriate group of investment companies selected by Broadridge. The Independent Trustees also engaged an independent consultant (the “Consultant”) to assist them in evaluating the Funds’ fees and expenses.
In determining whether to approve the continuation of the Agreements for a Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may have weighed certain factors differently, the Board’s determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with respect to the continuation of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements. Throughout the evaluation process, the Board was assisted by counsel for the Trust and the Independent Trustees were also separately assisted by independent legal counsel. In connection with their deliberations, the Independent Trustees met separately with independent legal counsel and the Consultant on June 7, 2024 and in executive session on several occasions to consider their responsibilities under relevant laws and regulations and to discuss the materials presented and other matters deemed relevant to their consideration of the approval of the continuation of the Agreements. As a result of the discussions that occurred during the June 7, 2024 and June 11, 2024 meetings, the Independent Trustees presented Lattice Strategies and its affiliates with requests for additional information on certain topics. Lattice Strategies and its affiliates responded to these requests with written additional information in advance of the September 11-12, 2024 meeting. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the continuation of the Agreements is provided below.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Nature, Extent and Quality of Services Provided by the Advisers
The Board requested and considered information concerning the nature, extent and quality of the services provided to each Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services provided by the Advisers. The Board considered the Advisers’ professional personnel who provide services to the Funds, including each Adviser’s ability and experience in attracting and retaining qualified personnel to service the Funds. The Board considered each Adviser’s reputation and overall financial strength, as well as its willingness to consider and implement organizational and operational changes designed to enhance services to the funds managed by Lattice Strategies and its affiliates (the “Hartford funds”). In addition, the Board considered the quality of each Adviser’s communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Funds and other Hartford funds.
The Board also requested and evaluated information concerning each Adviser’s regulatory and compliance environment. In this regard, the Board reviewed information about each Adviser’s compliance policies and procedures and compliance history and a report from the Funds’ Chief Compliance Officer about each Adviser’s compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulators. The Board also noted the Advisers’ support of the Funds’ compliance control structure, as applicable, and, in particular, the resources devoted by the Advisers in support of the Funds’ obligations pursuant to Rule 38a-1 under the 1940 Act and the Funds’ risk management programs, as well as the efforts of the Advisers to address cybersecurity risks. The Board also considered investments by Lattice Strategies and its affiliates in business continuity planning designed to benefit the Funds. The Board also noted Lattice Strategies’ and its affiliates’ commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes to the market, regulatory and control environments in which the Funds and their service providers operate.
With respect to Lattice Strategies, the Board noted that, under the Investment Advisory Agreement, Lattice Strategies is responsible for the management of the Funds, including oversight of fund operations and service providers, and the provision of investment advisory and administrative services in connection with selecting, monitoring and supervising the Sub-adviser. In this regard, the Board evaluated information about the nature and extent of responsibilities retained and risks assumed by Lattice Strategies that were not delegated to or assumed by the Sub-adviser, including the entrepreneurial and other risks assumed by Lattice Strategies in connection with sponsoring and providing ongoing services to each Fund. The Board considered that Lattice Strategies is responsible for the creation, maintenance and ongoing monitoring of each Fund’s custom proprietary benchmark index. The Board considered Lattice Strategies’ and its affiliates’ ongoing monitoring of people, process and performance, including their quarterly reviews of each of the Hartford funds, semi-annual meetings with the leaders of each Fund’s portfolio management team, and ongoing oversight of the Hartford funds’ portfolio managers. The Board noted that Lattice Strategies and its affiliates have demonstrated a record of initiating changes to the portfolio management and/or investment strategies of the Hartford funds when warranted. The Board considered Lattice Strategies’ periodic due diligence reviews of the Sub-adviser and ongoing oversight of the Sub-adviser’s investment approach and results, Lattice Strategies’ process for monitoring best execution of portfolio trades and other trading operations by the Sub-adviser, and Lattice Strategies’ approach to risk management with respect to the Funds. The Board considered Lattice Strategies’ oversight of the securities lending program for the Funds that engage in securities lending and noted the income earned by the Funds that participate in such program. The Board also considered Lattice Strategies’ day-to-day oversight of each Fund’s compliance with its investment objective and policies as well as with applicable laws and regulations, noting that regulatory and other developments had over time led to an increase in the scope of Lattice Strategies’ oversight in this regard.
In addition, the Board considered Lattice Strategies’ and its affiliates’ overall strategic plan for, and ongoing commitment to review and re-assess, the Hartford funds product line-up. The Board also considered the expenses that Lattice Strategies and its affiliates had incurred, as well as the risks Lattice Strategies and its affiliates had assumed, in connection with the launch of new funds and changes to existing Hartford funds in recent years. The Board considered that Lattice Strategies or its affiliates are responsible for providing the Funds’ officers.
With respect to the Sub-adviser, which is responsible for the daily investment of the assets of each Fund, subject to oversight by Lattice Strategies, among the other services set forth in the Sub-advisory Agreement, the Board considered, among other things, the Sub-adviser’s investment personnel, investment process, investment capabilities and resources, performance record, process used for monitoring factors that drive tracking difference, trade execution capabilities and experience. The Board considered the experience of each Fund’s portfolio managers, the number of accounts managed by the portfolio managers, and the Sub-adviser’s method for compensating the portfolio managers. The Board also considered the Sub-adviser’s succession planning practices to ensure continuity of portfolio management services provided to the Funds and Lattice Strategies’ oversight of these practices.
Based on these considerations, the Board concluded that it was satisfied with the nature, extent and quality of the services provided to each Fund by Lattice Strategies and the Sub-adviser.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Performance of each Fund and the Advisers
The Board considered the investment performance of each Fund. In this regard, the Board reviewed the performance of each Fund over different time periods and evaluated Lattice Strategies’ analysis of each Fund’s performance for these time periods. The Board considered information and materials provided to the Board by the Advisers concerning Fund performance, including information comparing each Fund’s investment performance to the performance of its custom proprietary benchmark index. For details regarding each Fund’s performance, see the Fund-by-Fund synopsis below. The Board considered the detailed investment analytics reports provided by Lattice Strategies throughout the year, including in connection with the approval of the continuation of the Agreements. These reports include, among other things, information on each Fund’s gross returns and net returns, each Fund’s gross and net tracking difference as it relates to tracking the performance of its custom proprietary benchmark index, various statistics concerning the Fund’s portfolio, a narrative summary of various factors affecting Fund performance, and commentary on the effect of current and recent market conditions. In reviewing the tracking difference reports, the Board considered Lattice Strategies’ assessment of each Fund’s tracking difference, including information comparing each Fund’s tracking difference to both a general tracking difference range established for the Fund and the tracking difference for an appropriate group of peer funds over various periods, Lattice Strategies’ views regarding the appropriateness of the general tracking difference ranges and explanations of the factors contributing to any tracking difference. The Board noted the factors driving tracking difference for each Fund that are outside the control of the Sub-adviser. For details regarding each Fund’s tracking difference, see the Fund-by-Fund synopsis below. The Board considered the Advisers’ work with the Investment Committee, which assists the Board in evaluating the performance of each Fund at periodic meetings throughout the year and specifically with respect to the approval of the continuation of the Agreements. The Board considered that the Investment Committee, in its evaluation of investment performance at meetings throughout the year, focused particular attention on information indicating less favorable performance of certain Hartford funds for specific time periods and discussed with the Advisers the reasons for such performance. The Board also considered information provided by the Consultant relating to each Fund’s performance track record and tracking difference.
While the Board primarily evaluated each Fund’s performance by reviewing the Fund’s tracking difference relative to its custom proprietary benchmark index, the Board also considered Lattice Strategies’ assessment of the quality of each Fund’s custom proprietary benchmark index and whether each such index was performing as expected. The Board reviewed the performance of certain Funds and their custom proprietary benchmark indexes relative to unaffiliated broad-based securities market indexes and found such comparisons to be useful in evaluating the performance of such Funds and their custom proprietary benchmark indexes. The Board considered that Lattice Strategies believes that each Fund’s custom proprietary benchmark index was performing as expected. In addition, the Board considered information about Lattice Strategies’ overall assessment of the functioning of each Fund’s arbitrage mechanism, noting Lattice Strategies’ statement that the arbitrage mechanism of each Fund functioned as expected.
In light of all the considerations noted above, the Board concluded that it had continued confidence in Lattice Strategies’ and the Sub-adviser’s overall capabilities to manage the Funds.
Costs of the Services and Profitability of the Advisers
The Board reviewed information regarding Lattice Strategies’ cost to provide investment management and related services to each Fund and Lattice Strategies’ profitability, both overall and for each Fund, on a pre-tax basis without regard to distribution expenses. The Board also requested and received information relating to the operations and profitability of the Sub-adviser. The Board considered representations from Lattice Strategies and the Sub-adviser that the Sub-adviser’s fees were negotiated at arm’s length and that the sub-advisory fees are paid by Lattice Strategies and not the Funds. Accordingly, the Board concluded that the profitability of the Sub-adviser is a less relevant factor with respect to the Board’s consideration of the Sub-advisory Agreement.
The Board considered that the Independent Trustees’ prior independent consultant had previously reviewed the methodologies and estimates used by Lattice Strategies in calculating profitability in connection with the continuation of the Investment Advisory Agreement, including a description of the methodology used to allocate certain expenses. The Board noted that the prior independent consultant previously reported that such process is reasonable, sound and consistent with common industry practice. The Board noted that Lattice Strategies’ process for calculating and reporting Fund profitability is consistent with the process previously reviewed by the prior independent consultant.
Based on these considerations, the Board concluded that the profits realized by Lattice Strategies and its affiliates from their relationships with the Funds were not excessive.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
Comparison of Fees and Services Provided by the Advisers
The Board considered the comparative information with respect to the services rendered to and the management fees to be paid by each Fund to Lattice Strategies and the total expense ratio of the Fund. The Board considered that Lattice Strategies would pay all expenses of the Trust, except for (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) extraordinary expenses; (iv) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the management fee payable to Lattice Strategies. The Board also considered comparative information with respect to the sub-advisory fees to be paid by Lattice Strategies to the Sub-adviser with respect to each Fund. In this regard, the Board requested and reviewed information from Lattice Strategies and the Sub-adviser relating to the management and sub-advisory fees, including the sub-advisory fee schedule, and total operating expenses for each Fund. The Board also reviewed information from Broadridge comparing each Fund’s contractual management fees, actual management fees and total expense ratios relative to an appropriate group of funds selected by Broadridge. For details regarding each Fund’s fees and expenses, see the Fund-by-Fund synopsis below.
The Board considered the methodology used by Broadridge to select the funds included in the expense groups. While the Board recognized that comparisons between a Fund and its peer funds may be imprecise given, among other differences, the different service levels and characteristics of the investment companies and the different business models and cost structures of the Advisers, the comparative information provided by Broadridge assisted the Board in evaluating the reasonableness of each Fund’s fees and total operating expenses. In addition, the Board considered the independent analysis and views of the Consultant regarding each Fund’s fees and total operating expenses in the context of the Fund’s investment performance.
Based on these considerations, the Board concluded that each Fund’s fees and total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters considered, were reasonable in light of the services provided.
The Board considered information regarding the extent to which economies of scale may be realized as a Fund grows and whether fee levels reflect these economies of scale for the benefit of shareholders of the Fund. The Board also considered that any economies of scale in respect of the management of a Fund would benefit Lattice Strategies due to the unitary fee structure of the Fund, but that the unitary fee protects shareholders from a rise in operating costs and/or a decline in Fund assets and is a transparent means of informing the Fund’s shareholders of the fees associated with the Fund. The Board considered that each Fund could share in the benefits from economies of scale as assets in the Fund grow. The Board noted that each Fund’s management fee does not contain breakpoints. However, the Board considered that Lattice Strategies shares anticipated or potential economies of scale with shareholders in a variety of ways, including through initially setting competitive fee rates and pricing each Fund to scale at inception, as well as additional investments by Lattice Strategies in its business and the provision of improved or additional infrastructure and services to the Funds and their shareholders. The Board also noted that, for each of the Hartford Multifactor Diversified International ETF, Hartford Multifactor Emerging Markets ETF, Hartford Multifactor Small Cap ETF and Hartford Longevity Economy ETF, the Fund’s current low asset levels means that the Fund has achieved limited, if any, economies of scale.
The Board also considered how any benefits from economies of scale would be realized by the various parties. Based on these considerations, the Board concluded that it was satisfied with the extent to which economies of scale, if any, would be shared for the benefit of each Fund’s shareholders. The Board noted, however, that it would review any future growth in each Fund’s assets and the appropriateness of any potential future management fee breakpoints as part of its future annual review of the Agreements.
The Board considered other benefits to the Advisers and their affiliates from their relationships with the Funds.
For purposes of evaluating a Fund’s performance, the Board considered each Fund’s performance and tracking difference relative to its custom proprietary benchmark index. In particular, the Board considered the Fund’s performance (net of all fees and expenses), as of March 31, 2024, and compared that performance to the Fund’s custom proprietary benchmark index. The Board noted that each Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board considered the Fund’s performance to be “in line with” a Fund’s custom proprietary benchmark index where the Fund’s net tracking difference (which excludes factors
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
outside the control of the Sub-adviser) relative to its custom proprietary benchmark index was within the tracking difference range previously established for the Fund as of March 31, 2024. With respect to fees and expenses, the Board considered the Fund's contractual management fee, actual management fee, and total operating expenses as compared to the Fund’s expense peer group, which includes a group of similarly sized funds selected by Broadridge.
Hartford Disciplined US Equity ETF
•
The Board considered that the Fund’s performance was in line with its custom proprietary benchmark index for the 1-year period.
•
The Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group.
Hartford Longevity Economy ETF
•
The Board considered that the Fund’s performance exceeded its tracking difference range relative to its custom proprietary benchmark index for the 1-year period and was in line with its custom proprietary benchmark index for the 3-year period.
•
The Board noted that the Fund’s contractual management fee and total expenses were below the median of its expense group, while its actual management fee was in line with the median of its expense group. The Board noted that Broadridge was unable to provide expense quintile rankings given the small size of the expense group.
Hartford Multifactor Developed Markets (ex-US) ETF
•
The Board considered that the Fund’s performance exceeded its tracking difference range relative to its custom proprietary benchmark index for the 1-, 3- and 5-year periods.
•
The Board noted that the Fund’s contractual management fee was in the 1st quintile of its expense group, while its actual management fee and total expenses were in the 2nd quintile of its expense group.
Hartford Multifactor Diversified International ETF
•
The Board considered that the Fund’s performance exceeded its tracking difference range relative to its custom proprietary benchmark index for the 1-, 3- and 5-year periods.
•
The Board noted that the Fund’s contractual management fee was in the 1st quintile of its expense group, while its actual management fee and total expenses were in the 2nd quintile of its expense group.
Hartford Multifactor Emerging Markets ETF
•
The Board considered that the Fund’s performance exceeded its tracking difference range relative to its custom proprietary benchmark index for the 1-, 3- and 5-year periods.
•
The Board noted that the Fund’s contractual management fee and actual management fee were in the 3rd quintile of its expense group, while its total expenses were in the 2nd quintile of its expense group.
Hartford Multifactor Small Cap ETF
•
The Board considered that the Fund’s performance was in line with its custom proprietary benchmark index for the 1-, 3- and 5-year periods.
•
The Board noted that the Fund’s contractual management fee was in the 2nd quintile of its expense group, while its actual management fee and total expenses were in the 3rd quintile of its expense group.
Hartford Multifactor US Equity ETF
•
The Board considered that the Fund’s performance exceeded its tracking difference range relative to its custom proprietary benchmark index for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods.
•
The Board noted that the Fund’s contractual management fee and total expenses were in the 1st quintile of its expense group, while its actual management fee was in the 2nd quintile of its expense group.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.Approval of Investment Management and Investment Sub-Advisory Agreements (Unaudited) – (continued)
* * * *
Based upon its review of the factors summarized above, among others, the Board concluded that it is in the best interests of each Fund and its shareholders for the Board to approve the continuation of the Agreements for an additional year. In reaching this decision, the Board did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves.
Index Glossary for Indices Included in the Annual Shareholder Report (Unaudited)
Hartford Disciplined US Equity Index seeks to enhance return potential available from investments in US large-cap equities through multifactor security selection to target balanced and consistent exposures across value, momentum and quality factors while seeking to enhance dividend yield, control for total active risk, and reduce volatility. |
Hartford Longevity Economy Index seeks to generate attractive risk-adjusted returns by investing in companies that comprise industries that reflect certain themes that are expected to benefit from the growth of the aging population and the substantial buying power it represents and also exhibit a favorable combination of factor characteristics including valuation, momentum, and quality. |
Hartford Multifactor Diversified International Index seeks to enhance return potential available from investment in developed market (excluding the US) and emerging market companies by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality 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 by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Multifactor International Small Company Index seeks to enhance return potential available from investment in small-capitalization companies in developed (non-US) and emerging markets by selecting equity securities exhibiting a favorable combination of value, momentum, and quality factors 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 by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Multifactor Small Cap Index seeks to enhance return potential available from investment in a capitalization-weighted universe of US small capitalization equities by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index seeks to address risks and opportunities within developed market stocks located outside the US by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality while reducing volatility by up to fifteen-percent over a complete market cycle. |
Hartford US Quality Growth Index seeks to provide long-term capital appreciation by investing in US equities with favorable growth characteristics while maintaining what we consider to be enhanced exposure to quality and also providing reasonable exposure to value and momentum by maximizing exposure to quality while avoiding negative exposure to value and momentum. |
Hartford US Value Index seeks to provide long-term capital appreciation by investing in US equities with favorable value characteristics and relatively lower market valuations by maximizing exposure to value while avoiding negative exposure to quality and momentum. |
Additional Information Regarding MSCI Indices.
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. |
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 securities across developed markets (excluding the US) and emerging market countries. |
MSCI ACWI ex USA 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 securities across developed markets countries (excluding the US) and emerging market 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 securities across emerging market countries. |
MSCI World 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 securities across developed markets countries (excluding the US). |
Russell 1000 Growth Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
Index Glossary for Indices Included in the Annual Shareholder Report (Unaudited) – (continued)
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 US companies based on total market capitalization. |
Russell 1000 Value Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of 2,000 of the smallest US-domiciled company common stocks based on a combination of their market capitalization and current index membership. |
Russell 3000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 3,000 largest US companies based on total market capitalization. |
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.
The information cannot be used or relied upon for the purpose of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.
Investors should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other important information is contained in the Fund’s prospectus and summary prospectus, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.
Exchange-traded products are distributed by ALPS Distributors, Inc. (ALPS). Advisory services are provided by Lattice Strategies, LLC (Lattice) and Mellon Investments Corporation. Hartford Funds refers to Hartford Funds Distributors, LLC, Member FINRA, Hartford Funds Management Company, LLC, and Lattice, which are not affiliated with ALPS.
ETFAR-MLT24 11/24 Printed in the U.S.A.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 16. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | | |
| | | | LATTICE STRATEGIES TRUST |
| | | |
| Date: December 2, 2024 | | | | By: | | /s/ James E. Davey |
| | | | | | James E. Davey |
| | | | | | President and |
| | | | | | Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | | | |
| Date: December 2, 2024 | | | | By: | | /s/ James E. Davey |
| | | | | | James E. Davey |
| | | | | | President and |
| | | | | | Chief Executive Officer |
| | | |
| Date: December 2, 2024 | | | | By: | | /s/ Ankit Puri |
| | | | | | Ankit Puri |
| | | | | | Treasurer (Principal Financial Officer and Principal Accounting Officer) |
