|
1 S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks. The index is unmanaged and not available for direct investment. Past performance is not indicative of future results. |
Inception
03/16/2021 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Hartford Longevity Economy Index (LHLGEX) (the “Index”), which is designed 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. |
|
2 |
|
Inception
02/25/2015 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region. |
|
4 |
|
|
5 |
|
Inception
05/10/2017 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in both developed and emerging markets. |
|
6 |
|
|
7 |
|
Inception
02/25/2015 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index based upon the emerging markets of the world. |
|
8 |
|
|
9 |
|
Inception
03/23/2015 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of small capitalization exchange traded equity securities. |
|
10 |
|
Inception
02/25/2015 Sub-advised by Mellon Investments Corporation |
Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities. |
|
12 |
|
Actual Return | Hypothetical (5% return before expenses) | ||||||||||||
Beginning
Account Value April 1, 2021 |
Ending
Account Value September 30, 2021 |
Expenses
paid during the period April 1, 2021 through September 30, 2021 |
Beginning
Account Value April 1, 2021 |
Ending
Account Value September 30, 2021 |
Expenses
paid during the period April 1, 2021 through September 30, 2021 |
Annualized
expense ratio | |||||||
Hartford Longevity Economy ETF | $ 1,000.00 | $ 1,066.50 | $ 2.28 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Developed Markets (ex-US) ETF | $ 1,000.00 | $ 1,037.90 | $ 1.48 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Diversified International ETF | $ 1,000.00 | $ 1,048.10 | $ 1.49 | $ 1,000.00 | $ 1,023.61 | $ 1.47 | 0.29% | ||||||
Hartford Multifactor Emerging Markets ETF | $ 1,000.00 | $ 1,036.60 | $ 2.25 | $ 1,000.00 | $ 1,022.86 | $ 2.23 | 0.44% | ||||||
Hartford Multifactor Small Cap ETF | $ 1,000.00 | $ 1,015.40 | $ 1.72 | $ 1,000.00 | $ 1,023.36 | $ 1.72 | 0.34% | ||||||
Hartford Multifactor US Equity ETF | $ 1,000.00 | $ 1,064.20 | $ 0.98 | $ 1,000.00 | $ 1,024.12 | $ 0.96 | 0.19% |
|
15 |
|
|
16 |
|
|
17 |
|
|
18 |
|
|
19 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 288,273 | $ 288,273 | $ — | $ — | ||||
Banks | 1,115,447 | 1,115,447 | — | — | ||||
Capital Goods | 482,332 | 482,332 | — | — | ||||
Consumer Durables & Apparel | 644,993 | 644,993 | — | — | ||||
Consumer Services | 666,804 | 666,804 | — | — | ||||
Diversified Financials | 942,483 | 942,483 | — | — | ||||
Food & Staples Retailing | 221,201 | 221,201 | — | — | ||||
Food, Beverage & Tobacco | 267,517 | 267,517 | — | — | ||||
Health Care Equipment & Services | 3,273,479 | 3,273,479 | — | — | ||||
Household & Personal Products | 474,897 | 474,897 | — | — | ||||
Insurance | 895,247 | 895,247 | — | — | ||||
Media & Entertainment | 3,082,521 | 3,082,521 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,187,008 | 2,187,008 | — | — | ||||
Real Estate | 314,603 | 314,603 | — | — | ||||
Retailing | 2,239,783 | 2,239,783 | — | — | ||||
Semiconductors & Semiconductor Equipment | 1,223,997 | 1,223,997 | — | — | ||||
Software & Services | 3,827,641 | 3,827,641 | — | — | ||||
Technology Hardware & Equipment | 2,076,529 | 2,076,529 | — | — | ||||
Telecommunication Services | 335,890 | 335,890 | — | — | ||||
Transportation | 168,047 | 168,047 | — | — | ||||
Utilities | 244,550 | 244,550 | — | — | ||||
Short-Term Investments | 227,794 | 227,794 | — | — | ||||
Total | $ 25,201,036 | $ 25,201,036 | $ — | $ — |
(1) | For the period ended September 30, 2021, there were no transfers in and out of Level 3. |
|
20 |
|
|
21 |
|
|
22 |
|
|
23 |
|
|
24 |
|
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number
of Contracts |
Expiration
Date |
Current
Notional Amount |
Value
and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 126 | 12/17/2021 | $ 14,282,100 | $ (498,176) | ||||
Total futures contracts | $ (498,176) |
|
25 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 173,971,007 | $ 173,971,007 | $ — | $ — | ||||
Austria | 5,720,108 | 5,720,108 | — | — | ||||
Belgium | 29,679,972 | 29,679,972 | — | — | ||||
Canada | 207,689,595 | 207,689,595 | — | — | ||||
China | 10,048,201 | 10,048,201 | — | — | ||||
Denmark | 38,837,714 | 38,837,714 | — | — | ||||
Finland | 19,686,399 | 19,686,399 | — | — | ||||
France | 125,162,833 | 125,162,833 | — | — | ||||
Germany | 93,328,598 | 93,328,598 | — | — | ||||
Hong Kong | 84,227,837 | 84,227,837 | — | — | ||||
Ireland | 5,264,062 | 5,264,062 | — | — | ||||
Israel | 20,682,711 | 20,682,711 | — | — | ||||
Italy | 47,343,107 | 47,343,107 | — | — | ||||
Japan | 399,896,202 | 399,896,202 | — | — | ||||
Luxembourg | 9,553,264 | 9,553,264 | — | — | ||||
Netherlands | 72,935,123 | 72,935,123 | — | — | ||||
New Zealand | 14,854,179 | 14,854,179 | — | — | ||||
Norway | 28,429,236 | 28,429,236 | — | — | ||||
Portugal | 5,741,000 | 5,741,000 | — | — | ||||
Singapore | 35,666,908 | 35,666,908 | — | — | ||||
Spain | 32,402,327 | 32,402,327 | — | — | ||||
Sweden | 84,039,487 | 84,039,487 | — | — | ||||
Switzerland | 139,091,727 | 139,091,727 | — | — | ||||
United Kingdom | 238,935,244 | 238,935,244 | — | — | ||||
Short-Term Investments | 35,554,161 | 35,554,161 | — | — | ||||
Total | $ 1,958,741,002 | $ 1,958,741,002 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (498,176) | $ (498,176) | $ — | $ — | ||||
Total | $ (498,176) | $ (498,176) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
|
26 |
|
|
27 |
|
|
28 |
|
|
29 |
|
|
30 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 435,173 | $ 435,173 | $ — | $ — | ||||
Austria | 20,000 | 20,000 | — | — | ||||
Belgium | 67,457 | 67,457 | — | — | ||||
Brazil | 88,344 | 88,344 | — | — | ||||
Canada | 287,707 | 287,707 | — | — | ||||
Chile | 11,186 | 11,186 | — | — | ||||
China | 471,804 | 471,804 | — | — | ||||
Denmark | 79,198 | 79,198 | — | — | ||||
Finland | 19,037 | 19,037 | — | — | ||||
France | 209,217 | 209,217 | — | — | ||||
Germany | 153,864 | 153,864 | — | — | ||||
Hong Kong | 177,242 | 177,242 | — | — | ||||
India | 43,356 | 43,356 | — | — | ||||
Indonesia | 57,825 | 57,825 | — | — | ||||
Israel | 153,774 | 153,774 | — | — | ||||
Italy | 43,768 | 43,768 | — | — | ||||
Japan | 909,786 | 909,786 | — | — | ||||
Luxembourg | 3,340 | 3,340 | — | — | ||||
Malaysia | 121,914 | 121,914 | — | — | ||||
Mexico | 63,018 | 63,018 | — | — | ||||
Netherlands | 82,933 | 82,933 | — | — | ||||
New Zealand | 66,222 | 66,222 | — | — | ||||
Norway | 143,522 | 143,522 | — | — | ||||
Philippines | 102,699 | 102,699 | — | — | ||||
Poland | 96,023 | 96,023 | — | — | ||||
Russia | 3,485 | 3,485 | — | — | ||||
Singapore | 49,464 | 49,464 | — | — | ||||
South Africa | 6,824 | 6,824 | — | — | ||||
South Korea | 178,489 | 178,489 | — | — | ||||
Spain | 24,489 | 24,489 | — | — | ||||
Sweden | 244,022 | 244,022 | — | — | ||||
Switzerland | 169,358 | 169,358 | — | — | ||||
Taiwan | 390,141 | 390,141 | — | — | ||||
Thailand | 128,756 | 128,756 | — | — | ||||
Turkey | 45,010 | 45,010 | — | — | ||||
United Kingdom | 518,125 | 518,125 | — | — | ||||
Short-Term Investments | 105,712 | 105,712 | — | — | ||||
Total | $ 5,772,284 | $ 5,772,284 | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
|
31 |
|
|
32 |
|
|
33 |
|
|
34 |
|
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number
of Contracts |
Expiration
Date |
Current
Notional Amount |
Value
and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI Emerging Markets Index Future | 4 | 12/17/2021 | $ 249,120 | $ (10,888) | ||||
Total futures contracts | $ (10,888) |
|
35 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Brazil | $ 1,105,087 | $ 1,105,087 | $ — | $ — | ||||
Cayman Islands | 40,625 | 40,625 | — | — | ||||
Chile | 1,003,455 | 1,003,455 | — | — | ||||
China | 10,898,877 | 10,898,877 | — | — | ||||
Cyprus | 118,922 | 118,922 | — | — | ||||
Hong Kong | 805,104 | 805,104 | — | — | ||||
India | 2,003,123 | 2,003,123 | — | — | ||||
Indonesia | 1,569,117 | 1,569,117 | — | — | ||||
Malaysia | 1,490,682 | 1,490,682 | — | — | ||||
Mexico | 1,734,010 | 1,734,010 | — | — | ||||
Philippines | 1,152,132 | 1,152,132 | — | — | ||||
Poland | 1,151,609 | 1,151,609 | — | — | ||||
Russia | 829,337 | 829,337 | — | — | ||||
South Africa | 1,049,116 | 1,049,116 | — | — | ||||
South Korea | 6,275,677 | 6,275,677 | — | — | ||||
Taiwan | 7,290,077 | 7,290,077 | — | — | ||||
Thailand | 1,623,253 | 1,623,253 | — | — | ||||
Turkey | 907,338 | 907,338 | — | — | ||||
Preferred Stocks | 614,731 | 614,731 | — | — | ||||
Short-Term Investments | 102,632 | 102,632 | — | — | ||||
Total | $ 41,764,904 | $ 41,764,904 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (10,888) | $ (10,888) | $ — | $ — | ||||
Total | $ (10,888) | $ (10,888) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
|
36 |
|
|
37 |
|
|
38 |
|
|
39 |
|
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number
of Contracts |
Expiration
Date |
Current
Notional Amount |
Value
and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
E-Mini Russell 2000 | 1 | 12/17/2021 | $ 110,040 | $ (1,092) | ||||
Total futures contracts | $ (1,092) |
|
40 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 54,725 | $ 54,725 | $ — | $ — | ||||
Banks | 2,515,313 | 2,515,313 | — | — | ||||
Capital Goods | 1,677,066 | 1,677,066 | — | — | ||||
Commercial & Professional Services | 1,198,984 | 1,198,984 | — | — | ||||
Consumer Durables & Apparel | 1,002,891 | 1,002,891 | — | — | ||||
Consumer Services | 249,613 | 249,613 | — | — | ||||
Diversified Financials | 622,782 | 622,782 | — | — | ||||
Energy | 694,485 | 694,485 | — | — | ||||
Food & Staples Retailing | 794,987 | 794,987 | — | — | ||||
Food, Beverage & Tobacco | 417,358 | 417,358 | — | — | ||||
Health Care Equipment & Services | 2,697,754 | 2,697,754 | — | — | ||||
Household & Personal Products | 234,115 | 234,115 | — | — | ||||
Insurance | 1,377,309 | 1,377,309 | — | — | ||||
Materials | 881,829 | 881,829 | — | — | ||||
Media & Entertainment | 844,461 | 844,461 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,007,036 | 2,007,036 | — | — | ||||
Real Estate | 1,451,035 | 1,451,035 | — | — | ||||
Retailing | 2,043,780 | 2,043,780 | — | — | ||||
Semiconductors & Semiconductor Equipment | 563,389 | 563,389 | — | — | ||||
Software & Services | 412,338 | 412,338 | — | — | ||||
Technology Hardware & Equipment | 1,611,392 | 1,611,392 | — | — | ||||
Telecommunication Services | 580,198 | 580,198 | — | — | ||||
Transportation | 540,178 | 540,178 | — | — | ||||
Utilities | 179,441 | 179,441 | — | — | ||||
Short-Term Investments | 19,950 | 19,950 | — | — | ||||
Total | $ 24,672,409 | $ 24,672,409 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (1,092) | $ (1,092) | $ — | $ — | ||||
Total | $ (1,092) | $ (1,092) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
|
41 |
|
|
42 |
|
|
43 |
|
|
44 |
|
Futures Contracts Outstanding at September 30, 2021 | ||||||||
Description | Number
of Contracts |
Expiration
Date |
Current
Notional Amount |
Value
and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
S&P 500 (E-Mini) Future | 7 | 12/17/2021 | $ 1,504,213 | $ (52,157) | ||||
Total futures contracts | $ (52,157) |
|
45 |
|
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 814,367 | $ 814,367 | $ — | $ — | ||||
Banks | 14,390,771 | 14,390,771 | — | — | ||||
Capital Goods | 22,950,348 | 22,950,348 | — | — | ||||
Commercial & Professional Services | 8,581,775 | 8,581,775 | — | — | ||||
Consumer Durables & Apparel | 5,805,591 | 5,805,591 | — | — | ||||
Consumer Services | 5,405,603 | 5,405,603 | — | — | ||||
Diversified Financials | 10,280,830 | 10,280,830 | — | — | ||||
Energy | 2,261,264 | 2,261,264 | — | — | ||||
Food & Staples Retailing | 7,973,775 | 7,973,775 | — | — | ||||
Food, Beverage & Tobacco | 16,200,059 | 16,200,059 | — | — | ||||
Health Care Equipment & Services | 29,520,837 | 29,520,837 | — | — | ||||
Household & Personal Products | 5,071,003 | 5,071,003 | — | — | ||||
Insurance | 13,732,342 | 13,732,342 | — | — | ||||
Materials | 8,026,755 | 8,026,755 | — | — | ||||
Media & Entertainment | 23,531,194 | 23,531,194 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 30,155,775 | 30,155,775 | — | — | ||||
Real Estate | 15,727,219 | 15,727,219 | — | — | ||||
Retailing | 27,675,907 | 27,675,907 | — | — | ||||
Semiconductors & Semiconductor Equipment | 13,028,371 | 13,028,371 | — | — | ||||
Software & Services | 55,375,156 | 55,375,156 | — | — | ||||
Technology Hardware & Equipment | 30,440,158 | 30,440,158 | — | — | ||||
Telecommunication Services | 11,248,514 | 11,248,514 | — | — | ||||
Transportation | 9,765,988 | 9,765,988 | — | — | ||||
Utilities | 16,452,533 | 16,452,533 | — | — | ||||
Short-Term Investments | 1,066,789 | 1,066,789 | — | — | ||||
Total | $ 385,482,924 | $ 385,482,924 | $ — | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (52,157) | $ (52,157) | $ — | $ — | ||||
Total | $ (52,157) | $ (52,157) | $ — | $ — |
(1) | For the year ended September 30, 2021, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
|
46 |
|
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 | ||||||
Assets: | |||||||||||
Investments in securities, at market value(1) | $ 25,201,036 | $ 1,958,741,002 | $ 5,772,284 | $ 41,764,904 | $ 24,672,409 | $ 385,482,924 | |||||
Cash | 4,550 | 830,716 | 2,808 | 50,224 | 65,887 | 1,002,388 | |||||
Cash collateral due from broker on futures contracts | — | 579,000 | — | 29,000 | 41,000 | 94,000 | |||||
Cash collateral held for securities on loan | 11,989 | 1,871,271 | 5,564 | 5,402 | 1,050 | 56,147 | |||||
Foreign currency | — | 7,872,280 | 10,002 | 40,088 | 2 | — | |||||
Receivables: | |||||||||||
Investment securities sold | — | 1,096,169 | — | — | — | — | |||||
Dividends and interest | 31,988 | 7,683,924 | 33,932 | 137,601 | 17,531 | 527,028 | |||||
Securities lending income | 510 | 349,363 | 351 | 324 | 201 | 2,634 | |||||
Variation margin on futures contracts | — | 179,756 | — | 1,961 | — | — | |||||
Tax reclaims | — | 4,627,128 | 6,396 | 6,905 | 2,754 | — | |||||
Total assets | 25,250,073 | 1,983,830,609 | 5,831,337 | 42,036,409 | 24,800,834 | 387,165,121 | |||||
Liabilities: | |||||||||||
Obligation to return securities lending collateral | 239,783 | 37,425,432 | 111,276 | 108,034 | 21,000 | 1,122,936 | |||||
Payables: | |||||||||||
Investment securities purchased | — | — | 11,924 | — | — | — | |||||
Investment management fees | 9,347 | 480,373 | 1,400 | 15,547 | 7,052 | 63,810 | |||||
Variation margin on futures contracts | — | — | — | — | 1,029 | 18,185 | |||||
Total liabilities | 249,130 | 37,905,805 | 124,600 | 123,581 | 29,081 | 1,204,931 | |||||
Net assets | $ 25,000,943 | $ 1,945,924,804 | $ 5,706,737 | $ 41,912,828 | $ 24,771,753 | $ 385,960,190 | |||||
Summary of Net Assets: | |||||||||||
Paid-in-capital | $ 25,737,526 | $ 2,006,347,451 | $ 5,628,835 | $ 52,684,319 | $ 27,945,271 | $ 385,566,630 | |||||
Distributable earnings (loss) | (736,583) | (60,422,647) | 77,902 | (10,771,491) | (3,173,518) | 393,560 | |||||
Net assets | 25,000,943 | 1,945,924,804 | 5,706,737 | 41,912,828 | 24,771,753 | 385,960,190 | |||||
Net asset value per share | 26.32 | 30.26 | 28.53 | 24.65 | 38.11 | 39.89 | |||||
Shares issued and outstanding | 950,000 | 64,300,000 | 200,000 | 1,700,000 | 650,000 | 9,675,000 | |||||
Cost of investments | $ 25,481,500 | $ 1,758,967,769 | $ 5,356,603 | $ 39,740,438 | $ 24,581,537 | $ 353,053,919 | |||||
Cost of foreign currency | $ — | $ 7,976,056 | $ 10,034 | $ 40,292 | $ 2 | $ — | |||||
(1) Includes Investment in securities on loan, at market value | $ 232,140 | $ 43,472,480 | $ 105,154 | $ 240,384 | $ 20,190 | $ 1,085,361 |
|
48 |
|
Hartford
Longevity Economy ETF(1) |
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 | ||||||
Investment Income: | |||||||||||
Dividends | $ 136,347 | $ 78,934,856 | $ 268,267 | $ 1,648,399 | $ 253,657 | $ 5,676,612 | |||||
Interest | 15 | 484 | 3 | 60 | 96 | 839 | |||||
Securities lending | 770 | 755,803 | 1,625 | 2,057 | 2,999 | 11,847 | |||||
Less: Foreign tax withheld | (45) | (6,311,495) | (27,517) | (215,419) | (179) | (80) | |||||
Total investment income, net | 137,087 | 73,379,648 | 242,378 | 1,435,097 | 256,573 | 5,689,218 | |||||
Expenses: | |||||||||||
Investment management fees | 35,977 | 5,813,533 | 16,032 | 189,362 | 47,966 | 638,095 | |||||
Total expenses | 35,977 | 5,813,533 | 16,032 | 189,362 | 47,966 | 638,095 | |||||
Net Investment Income (Loss) | 101,110 | 67,566,115 | 226,346 | 1,245,735 | 208,607 | 5,051,123 | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | |||||||||||
Investments | 215,074 (2) | 131,076,388 (2) | 512,217 | 7,830,035 (2) | 2,146,243 (2) | 45,824,241 (2) | |||||
Futures contracts | — | 2,978,740 | — | 35,234 | 40,309 | 327,068 | |||||
Other foreign currency transactions | — | 128,802 | (1,838) | (6,599) | — | — | |||||
Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 215,074 | 134,183,930 | 510,379 | 7,858,670 | 2,186,552 | 46,151,309 | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | |||||||||||
Investments | (280,464) | 179,175,870 | 440,824 | 2,524,192 | 706,981 | 21,993,228 | |||||
Futures contracts | — | (152,408) | — | (5,620) | 292 | (48,412) | |||||
Translation of other assets and liabilities in foreign currencies | — | (228,325) | (247) | (360) | (38) | — | |||||
Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (280,464) | 178,795,137 | 440,577 | 2,518,212 | 707,235 | 21,944,816 | |||||
Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (65,390) | 312,979,067 | 950,956 | 10,376,882 | 2,893,787 | 68,096,125 | |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 35,720 | $ 380,545,182 | $ 1,177,302 | $ 11,622,617 | $ 3,102,394 | $ 73,147,248 |
(1) | Commenced operations on March 16, 2021. |
(2) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
|
49 |
|
Hartford
Longevity Economy ETF(1) |
Hartford Multifactor Developed Markets (ex-US) ETF | ||||
For
the Period Ended September 30, 2021 |
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 | |||
Operations: | |||||
Net investment income (loss) | $ 101,110 | $ 67,566,115 | $ 60,351,769 | ||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 215,074 | 134,183,930 | (197,721,076) | ||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | (280,464) | 178,795,137 | (32,293,474) | ||
Net Increase (Decrease) in Net Assets Resulting from Operations | 35,720 | 380,545,182 | (169,662,781) | ||
Distributions to Shareholders | (73,437) | (66,581,005) | (66,697,468) | ||
Fund Share Transactions: | |||||
Sold | 29,116,378 | 39,421,674 | 475,004,269 | ||
Redeemed | (4,077,718) | (408,608,631) | (573,184,590) | ||
Net increase (decrease) from capital share transactions | 25,038,660 | (369,186,957) | (98,180,321) | ||
Net Increase (Decrease) in Net Assets | 25,000,943 | (55,222,780) | (334,540,570) | ||
Net Assets: | |||||
Beginning of period | — | 2,001,147,584 | 2,335,688,154 | ||
End of period | $ 25,000,943 | $ 1,945,924,804 | $ 2,001,147,584 |
(1) | Commenced operations on March 16, 2021. |
|
50 |
|
Hartford Multifactor Diversified International ETF |
Hartford Multifactor Emerging Markets ETF | ||||||
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 |
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 226,346 | $ 151,165 | $ 1,245,735 | $ 1,536,632 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 510,379 | (281,036) | 7,858,670 | (8,583,548) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 440,577 | (349,146) | 2,518,212 | (1,062,247) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,177,302 | (479,017) | 11,622,617 | (8,109,163) | |||
Distributions to Shareholders | (198,992) | (163,843) | (1,364,480) | (2,328,245) | |||
Fund Share Transactions: | |||||||
Sold | — | 2,754,532 | — | 3,623,318 | |||
Redeemed | — | (2,751,610) | (11,443,163) | (18,945,241) | |||
Other Capital | — | — | 11,522 | 22,366 | |||
Net increase (decrease) from capital share transactions | — | 2,922 | (11,431,641) | (15,299,557) | |||
Net Increase (Decrease) in Net Assets | 978,310 | (639,938) | (1,173,504) | (25,736,965) | |||
Net Assets: | |||||||
Beginning of period | 4,728,427 | 5,368,365 | 43,086,332 | 68,823,297 | |||
End of period | $ 5,706,737 | $ 4,728,427 | $ 41,912,828 | $ 43,086,332 |
|
51 |
|
Hartford Multifactor Small Cap ETF |
Hartford Multifactor US Equity ETF | ||||||
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 |
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 | ||||
Operations: | |||||||
Net investment income (loss) | $ 208,607 | $ 199,353 | $ 5,051,123 | $ 6,630,038 | |||
Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 2,186,552 | (861,728) | 46,151,309 | (11,372,316) | |||
Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 707,235 | (390,314) | 21,944,816 | (2,631,141) | |||
Net Increase (Decrease) in Net Assets Resulting from Operations | 3,102,394 | (1,052,689) | 73,147,248 | (7,373,419) | |||
Distributions to Shareholders | (202,752) | (463,148) | (5,642,254) | (6,397,955) | |||
Fund Share Transactions: | |||||||
Sold | 21,056,818 | 3,000,116 | 245,723,876 | 70,914,373 | |||
Redeemed | (6,907,604) | (10,895,246) | (172,629,516) | (119,273,432) | |||
Other Capital | — | 936 | — | — | |||
Net increase (decrease) from capital share transactions | 14,149,214 | (7,894,194) | 73,094,360 | (48,359,059) | |||
Net Increase (Decrease) in Net Assets | 17,048,856 | (9,410,031) | 140,599,354 | (62,130,433) | |||
Net Assets: | |||||||
Beginning of period | 7,722,897 | 17,132,928 | 245,360,836 | 307,491,269 | |||
End of period | $ 24,771,753 | $ 7,722,897 | $ 385,960,190 | $ 245,360,836 |
|
52 |
|
—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||
Net
Asset Value at Beginning of Period |
Net
Investment Income (Loss) |
Net
Realized and Unrealized Gain (Loss) on Investments |
Total
from Investment Operations |
Other
Capital |
Dividends
from Net Investment Income |
Total
Dividends and Distributions |
Net
Asset Value at End of Period |
Total
Return(2) |
Net
Assets at End of Period (000s) |
Ratio
of Expenses to Average Net Assets Before Adjust- ments(3) |
Ratio
of Expenses to Average Net Assets After Adjust- ments |
Ratio
of Net Investment Income (Loss) to Average Net Assets |
Portfolio
Turnover(4) | ||||||||||||||
Hartford Longevity Economy ETF(5) | |||||||||||||||||||||||||||
For the Period Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.00 | $ 0.18 | $ 1.22 | $ 1.40 | $ — | $ (0.08) | $ (0.08) | $ 26.32 | 5.58% (6) | $ 25,001 | 0.44% (7) | 0.44% (7) | 1.23% (7) | 70% (8) | ||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.89 | $ 0.99 | $ 4.37 | $ 5.36 | $ — | $ (0.99) | $ (0.99) | $ 30.26 | 20.81% | $ 1,945,925 | 0.29% | 0.29% | 3.37% | 44% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 27.76 | $ 0.68 | $ (1.79) | $ (1.11) | $ — | $ (0.76) | $ (0.76) | $ 25.89 | (4.04)% | $ 2,001,148 | 0.29% | 0.29% | 2.60% | 57% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 28.97 | $ 0.98 | $ (1.51) | $ (0.53) | $ — | $ (0.68) | $ (0.68) | $ 27.76 | (1.78)% | $ 2,335,688 | 0.29% | 0.29% | 3.56% | 63% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 28.24 | $ 0.91 | $ 0.45(9) | $ 1.36 | $ 0.00 (10) | $ (0.63) | $ (0.63) | $ 28.97 | 4.85% | $ 811,066 | 0.31% | 0.31% | 3.17% | 47% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 24.60 | $ 0.82 | $ 3.55 | $ 4.37 | $ — | $ (0.73) | $ (0.73) | $ 28.24 | 18.18% | $ 131,327 | 0.42% | 0.40% | 3.13% | 46% | ||||||||||||||
Hartford Multifactor Diversified International ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 23.64 | $ 1.13 | $ 4.75 | $ 5.88 | $ — | $ (0.99) | $ (0.99) | $ 28.53 | 25.06% | $ 5,707 | 0.29% | 0.29% | 4.09% | 89% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 26.84 | $ 0.75 | $ (3.13) | $ (2.38) | $ — | $ (0.82) | $ (0.82) | $ 23.64 | (9.03)% | $ 4,728 | 0.29% | 0.29% | 3.06% | 156% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 27.35 | $ 0.69 | $ (0.51) | $ 0.18 | $ — | $ (0.69) | $ (0.69) | $ 26.84 | 0.81% | $ 5,368 | 0.29% | 0.29% | 2.64% | 38% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 26.58 | $ 0.65 | $ 0.71 | $ 1.36 | $ — | $ (0.59) | $ (0.59) | $ 27.35 | 5.16% | $ 5,470 | 0.33% | 0.33% | 2.37% | 35% | ||||||||||||||
For the Period Ended September 30, 2017(11) | |||||||||||||||||||||||||||
$ 25.02 | $ 0.30 | $ 1.40 | $ 1.70 | $ — | $ (0.14) | $ (0.14) | $ 26.58 | 6.84% (6) | $ 5,317 | 0.39% (7) | 0.39% (7) | 3.01% (7) | 48% | ||||||||||||||
Hartford Multifactor Emerging Markets ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 19.58 | $ 0.69 | $ 5.10 | $ 5.79 | $ 0.01 | $ (0.73) | $ (0.73) | $ 24.65 | 29.81% | $ 41,913 | 0.44% | 0.44% | 2.89% | 96% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 22.20 | $ 0.58 | $ (2.37) | $ (1.79) | $ 0.01 | $ (0.84) | $ (0.84) | $ 19.58 | (8.34)% | $ 43,086 | 0.44% | 0.44% | 2.80% | 77% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 23.24 | $ 0.66 | $ (1.12) | $ (0.46) | $ 0.03 | $ (0.61) | $ (0.61) | $ 22.20 | (1.90)% | $ 68,823 | 0.49% | 0.49% | 2.89% | 78% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 24.34 | $ 0.60 | $ (1.24) | $ (0.64) | $ 0.01 | $ (0.47) | $ (0.47) | $ 23.24 | (2.64)% | $ 65,080 | 0.52% | 0.52% | 2.42% | 25% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 21.62 | $ 0.49 | $ 2.63 | $ 3.12 | $ — | $ (0.40) | $ (0.40) | $ 24.34 | 14.63% | $ 46,239 | 0.62% | 0.60% | 2.17% | 30% | ||||||||||||||
Hartford Multifactor Small Cap ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 25.74 | $ 0.54 | $ 12.37 | $ 12.91 | $ — | $ (0.54) | $ (0.54) | $ 38.11 | 50.39% | $ 24,772 | 0.34% | 0.34% | 1.48% | 73% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 28.55 | $ 0.41 | $ (2.34) | $ (1.93) | $ 0.00 (10) | $ (0.88) | $ (0.88) | $ 25.74 | (7.05)% | $ 7,723 | 0.35% | 0.35% | 1.52% | 158% |
|
53 |
|
—Selected Per-Share Data(1)— | —Ratios and Supplemental Data — | ||||||||||||||||||||||||||
Net
Asset Value at Beginning of Period |
Net
Investment Income (Loss) |
Net
Realized and Unrealized Gain (Loss) on Investments |
Total
from Investment Operations |
Other
Capital |
Dividends
from Net Investment Income |
Total
Dividends and Distributions |
Net
Asset Value at End of Period |
Total
Return(2) |
Net
Assets at End of Period (000s) |
Ratio
of Expenses to Average Net Assets Before Adjust- ments(3) |
Ratio
of Expenses to Average Net Assets After Adjust- ments |
Ratio
of Net Investment Income (Loss) to Average Net Assets |
Portfolio
Turnover(4) | ||||||||||||||
Hartford Multifactor Small Cap ETF – (continued) | |||||||||||||||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 31.78 | $ 0.81 | $ (3.23) | $ (2.42) | $ 0.00 (10) | $ (0.81) | $ (0.81) | $ 28.55 | (7.46)% | $ 17,133 | 0.39% | 0.39% | 2.80% | 50% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 30.25 | $ 0.72 | $ 1.54 | $ 2.26 | $ 0.00 (10) | $ (0.73) | $ (0.73) | $ 31.78 | 7.52% | $ 22,243 | 0.44% | 0.44% | 2.26% | 41% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 25.46 | $ 0.57 | $ 4.79 | $ 5.36 | $ — | $ (0.57) | $ (0.57) | $ 30.25 | 21.37% | $ 18,148 | 0.60% | 0.56% | 2.08% | 48% | ||||||||||||||
Hartford Multifactor US Equity ETF | |||||||||||||||||||||||||||
For the Year Ended September 30, 2021 | |||||||||||||||||||||||||||
$ 31.76 | $ 0.57 | $ 8.22 | $ 8.79 | $ — | $ (0.66) | $ (0.66) | $ 39.89 | 27.83% | $ 385,960 | 0.19% | 0.19% | 1.50% | 76% | ||||||||||||||
For the Year Ended September 30, 2020 | |||||||||||||||||||||||||||
$ 32.20 | $ 0.70 | $ (0.45) | $ 0.25 | $ — | $ (0.69) | $ (0.69) | $ 31.76 | 0.92% | $ 245,361 | 0.19% | 0.19% | 2.25% | 71% | ||||||||||||||
For the Year Ended September 30, 2019 | |||||||||||||||||||||||||||
$ 33.01 | $ 0.73 | $ (0.89)(9) | $ (0.16) | $ — | $ (0.65) | $ (0.65) | $ 32.20 | (0.31)% | $ 307,491 | 0.19% | 0.19% | 2.35% | 81% | ||||||||||||||
For the Year Ended September 30, 2018 | |||||||||||||||||||||||||||
$ 28.77 | $ 0.57 | $ 4.15 | $ 4.72 | $ — | $ (0.48) | $ (0.48) | $ 33.01 | 16.47% | $ 173,304 | 0.21% | 0.21% | 1.80% | 36% | ||||||||||||||
For the Year Ended September 30, 2017 | |||||||||||||||||||||||||||
$ 24.44 | $ 0.51 | $ 4.30 | $ 4.81 | $ — | $ (0.48) | $ (0.48) | $ 28.77 | 19.84% | $ 34,524 | 0.34% | 0.31% | 1.92% | 36% |
FINANCIAL HIGHLIGHTS FOOTNOTES | |
(1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
(2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at net asset value at the end of the distribution day. |
(3) | Adjustments include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
(4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(5) | Commenced operations on March 16, 2021. |
(6) | Not annualized. |
(7) | Annualized. |
(8) | Reflects the Fund's portfolio turnover for the period March 16, 2021 through September 30, 2021. |
(9) | 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. |
(10) | Per share amount is less than $0.005. |
(11) | Commenced operations on May 10, 2017. |
|
54 |
|
1. | Organization: |
Lattice Strategies Trust (the "Trust") is an open-end registered management investment company comprised of six series as of September 30, 2021. 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 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 Small Cap ETF (the "Multifactor Small Cap ETF") |
Hartford Multifactor US Equity ETF (the "Multifactor US Equity ETF") |
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 net asset value ("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 is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders and calculate each Fund’s NAV in accordance with applicable law. The 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. |
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. |
If market prices are not readily available or are deemed unreliable, a Fund will use the fair value of the security or other instrument as determined in good faith under policies and procedures established by and under the supervision of the Board of Trustees (the "Board") of the Trust (“Valuation Procedures”). Market prices are considered not readily available where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior |
|
55 |
|
to the NYSE Close, that materially affect the values of a Fund’s portfolio holdings or assets. In addition, market prices are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities or other instruments trade do not open for trading for the entire day and no other market prices are available. Fair value pricing is subjective in nature and the use of fair value pricing by a Fund may cause the NAV of its shares to differ significantly from the NAV that would have been calculated using market prices at the close of the exchange on which a portfolio holding is primarily traded. There can be no assurance that a Fund could obtain the fair value assigned to an investment if the Fund were to sell the investment at approximately the time at which the Fund determines its NAV. | |
Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, 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. 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 close of the relevant exchange. 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 close of the relevant exchange. Over-the-counter derivatives and other instruments that do not trade on an exchange are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or sell shares of a Fund. | |
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
Investments in open-end mutual funds, if any, are valued at the respective NAV of each open-end mutual fund on the Valuation Date. Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Such open-end mutual funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
Financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. | |
U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
|
56 |
|
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 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 and Multifactor Emerging Markets ETF is to pay dividends from net investment income and realized gains, if any, semi-annually. The policy of Longevity Economy ETF, Multifactor US Equity ETF and Multifactor Small Cap ETF is to pay dividends from net investment income and realized gains, if any, quarterly. The policy of Multifactor Small Cap ETF until June 1, 2020 was to pay dividends from net investment income, if any, semi-annually. 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 classification of Capital Accounts notes). |
3. | Securities and Other Investments: |
Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments. |
|
57 |
|
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, 2021, each of Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETF and Multifactor US Equity ETF had used Futures Contracts. |
b) | Additional Derivative Instrument Information: |
Multifactor Developed Markets (ex-US) ETF | |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 498,176 | $ — | $ 498,176 | |||||
Total | $ — | $ — | $ — | $ 498,176 | $ — | $ 498,176 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 2,978,740 | $ — | $ 2,978,740 | |||||
Total | $ — | $ — | $ — | $ 2,978,740 | $ — | $ 2,978,740 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (152,408) | $ — | $ (152,408) | |||||
Total | $ — | $ — | $ — | $ (152,408) | $ — | $ (152,408) |
Derivative Description | Average
Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 92 |
|
58 |
|
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 10,888 | $ — | $ 10,888 | |||||
Total | $ — | $ — | $ — | $ 10,888 | $ — | $ 10,888 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 35,234 | $ — | $ 35,234 | |||||
Total | $ — | $ — | $ — | $ 35,234 | $ — | $ 35,234 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (5,620) | $ — | $ (5,620) | |||||
Total | $ — | $ — | $ — | $ (5,620) | $ — | $ (5,620) |
Derivative Description | Average
Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 3 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 1,092 | $ — | $ 1,092 | |||||
Total | $ — | $ — | $ — | $ 1,092 | $ — | $ 1,092 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
|
59 |
|
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 40,309 | $ — | $ 40,309 | |||||
Total | $ — | $ — | $ — | $ 40,309 | $ — | $ 40,309 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ 292 | $ — | $ 292 | |||||
Total | $ — | $ — | $ — | $ 292 | $ — | $ 292 |
Derivative Description | Average
Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 1 |
The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Liabilities: | |||||||||||
Unrealized depreciation on futures contracts(1) | $ — | $ — | $ — | $ 52,157 | $ — | $ 52,157 | |||||
Total | $ — | $ — | $ — | $ 52,157 | $ — | $ 52,157 |
(1) | Amount represents the cumulative depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
The Effect of Derivative Instruments on the Statement of Operations for the year ended September 30, 2021: | |||||||||||
Risk Exposure Category | |||||||||||
Interest
Rate Contracts |
Foreign
Currency Contracts |
Credit
Contracts |
Equity
Contracts |
Commodity
Contracts |
Total | ||||||
Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net realized gain (loss) on futures contracts | $ — | $ — | $ — | $ 327,068 | $ — | $ 327,068 | |||||
Total | $ — | $ — | $ — | $ 327,068 | $ — | $ 327,068 | |||||
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||||||
Net change in unrealized appreciation (depreciation) of futures contracts | $ — | $ — | $ — | $ (48,412) | $ — | $ (48,412) | |||||
Total | $ — | $ — | $ — | $ (48,412) | $ — | $ (48,412) |
Derivative Description | Average
Notional Par, Contracts or Face Amount | |
Futures Contracts Number of Long Contracts | 6 |
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 |
|
60 |
|
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, 2021: | |
Multifactor Developed Markets (ex-US) ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (498,176) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (498,176) | ||
Derivatives not subject to a MNA | — | 498,176 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Emerging Markets ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (10,888) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (10,888) | ||
Derivatives not subject to a MNA | — | 10,888 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor Small Cap ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (1,092) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (1,092) | ||
Derivatives not subject to a MNA | — | 1,092 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
Multifactor US Equity ETF | ||||
Derivative Financial Instruments: | Assets | Liabilities | ||
Futures contracts | $ — | $ (52,157) | ||
Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | — | (52,157) | ||
Derivatives not subject to a MNA | — | 52,157 | ||
Total gross amount of assets and liabilities subject to MNA or similar agreements | $ — | $ — |
5. | Principal Risks: |
A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund's prospectus provides details of that Fund's principal risks. | |
The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. |
|
61 |
|
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. The current ongoing outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, has negatively affected the worldwide economy, the financial health of individual companies and the market in significant and unforeseen ways. The future impact of the ongoing COVID-19 pandemic remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic may have a significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks. | |
Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. 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 | |
Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings. |
6. | Federal Income Taxes: |
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, 2021. 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"), Real Estate Investment Trusts ("REITs"), RICs, certain derivatives and partnerships. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. |
c) | Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the year ended September 30, 2021 and September 30, 2020 are as follows (as adjusted for dividends payable, if applicable): |
For
the Year Ended September 30, 2021 |
For
the Year Ended September 30, 2020 | |||
Fund | Ordinary
Income |
Ordinary
Income | ||
Longevity Economy ETF(1) | $ 73,437 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 66,581,005 | 66,697,468 | ||
Multifactor Diversified International ETF | 198,992 | 163,843 | ||
Multifactor Emerging Markets ETF | 1,364,480 | 2,328,245 | ||
Multifactor Small Cap ETF | 202,752 | 463,148 | ||
Multifactor US Equity ETF | 5,642,254 | 6,397,955 |
(1) | For the period March 16, 2021 (commencement of operations) through September 30, 2021. |
|
62 |
|
Fund | Undistributed
Ordinary Income |
Accumulated
Capital and Other Losses |
Unrealized
Appreciation (Depreciation) on Investments |
Total
Accumulated Earnings (Deficit) | ||||
Longevity Economy ETF | $ 27,673 | $ (411,394) | $ (352,862) | $ (736,583) | ||||
Multifactor Developed Markets (ex-US) ETF | 36,268,369 | (283,952,554) | 187,261,538 | (60,422,647) | ||||
Multifactor Diversified International ETF | 165,245 | (477,047) | 389,704 | 77,902 | ||||
Multifactor Emerging Markets ETF | 803,804 | (13,380,541) | 1,805,246 | (10,771,491) | ||||
Multifactor Small Cap ETF | 13,118 | (3,274,560) | 87,924 | (3,173,518) | ||||
Multifactor US Equity ETF | 55,600 | (31,023,209) | 31,361,169 | 393,560 |
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. Adjustments are made to reflect the impact these items have on current and future distributions to shareholders. Therefore, the source of the Funds’ distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings or from capital depending on the type of book and tax differences that exist. For the year or period ended September 30, 2021, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
Fund | Paid-in-Capital | Distributable
Earnings (Loss) | ||
Longevity Economy ETF(1) | $ 698,866 | $ (698,866) | ||
Multifactor Developed Markets (ex-US) ETF | 64,651,461 | (64,651,461) | ||
Multifactor Emerging Markets ETF | 1,142,127 | (1,142,127) | ||
Multifactor Small Cap ETF | 1,720,670 | (1,720,670) | ||
Multifactor US Equity ETF | 46,681,028 | (46,681,028) |
(1) | For the period March 16, 2021 (commencement of operations) through September 30, 2021. |
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 of time. |
At September 30, 2021 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: | |
Fund | Short-Term
Capital Loss Carryforward with No Expiration |
Long-Term
Capital Loss Carryforward with No Expiration | ||
Longevity Economy ETF | $ 411,394 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 202,716,410 | 81,236,144 | ||
Multifactor Diversified International ETF | 419,538 | 57,509 | ||
Multifactor Emerging Markets ETF | 7,037,836 | 6,342,705 | ||
Multifactor Small Cap ETF | 2,226,711 (1) | 1,047,849 (1) | ||
Multifactor US Equity ETF | 23,354,516 | 7,668,693 |
(1) | Future utilization of losses are subject to limitation under the current tax laws. |
f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at September 30, 2021 is different from book purposes primary due to wash sale loss deferrals, passive foreign investment company (PFIC) mark-to-market adjustments and non-taxable distributions from underlying investments. 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 sales loss deferrals, REIT adjustments and mark-to-market adjustments on PFICs and futures. Both the cost and unrealized appreciation and depreciation for federal |
|
63 |
|
income tax purposes are disclosed below: | |
Fund | Tax Cost | Gross
Unrealized Appreciation |
Gross
Unrealized (Depreciation) |
Net
Unrealized Appreciation (Depreciation) | ||||
Longevity Economy ETF | $ 25,553,898 | $ 603,939 | $ (956,801) | $ (352,862) | ||||
Multifactor Developed Markets (ex-US) ETF | 1,771,390,446 | 250,612,516 | (63,261,960) | 187,350,556 | ||||
Multifactor Diversified International ETF | 5,382,470 | 581,819 | (192,005) | 389,814 | ||||
Multifactor Emerging Markets ETF | 39,958,281 | 4,154,246 | (2,347,623) | 1,806,623 | ||||
Multifactor Small Cap ETF | 24,584,549 | 1,506,606 | (1,418,746) | 87,860 | ||||
Multifactor US Equity ETF | 354,121,756 | 37,850,627 | (6,489,459) | 31,361,168 |
g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, Hartford Funds Management Company, LLC ("HFMC") reviews each Fund’s tax positions for all open tax years. As of September 30, 2021, 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 or period ended September 30, 2021, 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. |
7. | Expenses: |
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. |
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, 2021; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates: | |
Fund | Management Fee Rates | |
Longevity Economy ETF | 0.44% | |
Multifactor Developed Markets (ex-US) ETF | 0.29% | |
Multifactor Diversified International ETF | 0.29% | |
Multifactor Emerging Markets ETF | 0.44% | |
Multifactor Small Cap ETF | 0.34% | |
Multifactor US Equity ETF | 0.19% |
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. |
c) | 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, 2021, 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 CCO compensation on behalf of the Funds. |
|
64 |
|
8. | Securities Lending: |
The Trust has entered into a securities lending agency agreement (“lending agreement”) with Citibank, N.A. (“Citibank”). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. If a Fund security is on loan, under the lending agreement, the borrower is required to deposit cash or liquid securities as collateral at least equal to 100% of the market value of the loaned securities; and cash collateral is invested for the benefit of the Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. | |
A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the 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; and (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective. These events could also trigger adverse tax consequences for the Fund. | |
The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. | |
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. | |
The following table presents the market value of each Funds' securities on loan, net of amounts available for offset under the master netting arrangements and any related collateral received by the Fund as of September 30, 2021. | |
Fund | Investment
Securities on Loan, at market value, Presented on the Statement of Assets and Liabilities(1) |
Collateral Posted by Borrower(2) | Net Amount(3) | |||
Longevity Economy ETF | $ 232,140 | $ (232,140) | $ — | |||
Multifactor Developed Markets (ex-US) ETF | 43,472,480 | (43,472,480) | — | |||
Multifactor Diversified International ETF | 105,154 | (105,154) | — | |||
Multifactor Emerging Markets ETF | 240,384 | (240,384) | — | |||
Multifactor Small Cap ETF | 20,190 | (20,190) | — | |||
Multifactor US Equity ETF | 1,085,361 | (1,085,361) | — |
(1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. |
(2) | Collateral received in excess of the market value of securities on loan is not presented in this table. |
(3) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Cash
Collateral |
Non-Cash
Collateral | ||
Longevity Economy ETF | $ 239,783 | $ — | ||
Multifactor Developed Markets (ex-US) ETF | 37,425,432 | 8,732,366 | ||
Multifactor Diversified International ETF | 111,276 | 2,293 | ||
Multifactor Emerging Markets ETF | 108,034 | 144,390 | ||
Multifactor Small Cap ETF | 21,000 | — | ||
Multifactor US Equity ETF | 1,122,936 | — |
9. | Secured Borrowings: |
The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of September 30, 2021. |
|
65 |
|
Certain Transfers Accounted For As Secured Borrowings | |
Remaining Contractual Maturity of the Agreements | |
Overnight
and Continuous |
< 30 days | Between
30 & 90 days |
> 90 days | Total | |||||
Longevity Economy ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 239,783 | $ — | $ — | $ — | $ 239,783 | ||||
Total Borrowings | $ 239,783 | $ — | $ — | $ — | $ 239,783 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 239,783 | ||||||||
Multifactor Developed Markets (ex-US) ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 37,425,432 | $ — | $ — | $ — | $ 37,425,432 | ||||
Total Borrowings | $ 37,425,432 | $ — | $ — | $ — | $ 37,425,432 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 37,425,432 | ||||||||
Multifactor Diversified International ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 111,276 | $ — | $ — | $ — | $ 111,276 | ||||
Total Borrowings | $ 111,276 | $ — | $ — | $ — | $ 111,276 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 111,276 | ||||||||
Multifactor Emerging Markets ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 108,034 | $ — | $ — | $ — | $ 108,034 | ||||
Total Borrowings | $ 108,034 | $ — | $ — | $ — | $ 108,034 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 108,034 | ||||||||
Multifactor Small Cap ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 21,000 | $ — | $ — | $ — | $ 21,000 | ||||
Total Borrowings | $ 21,000 | $ — | $ — | $ — | $ 21,000 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 21,000 | ||||||||
Multifactor US Equity ETF | |||||||||
Securities Lending Transactions(1) | |||||||||
Common Stocks | $ 1,122,936 | $ — | $ — | $ — | $ 1,122,936 | ||||
Total Borrowings | $ 1,122,936 | $ — | $ — | $ — | $ 1,122,936 | ||||
Gross amount of recognized liabilities for securities lending transactions | $ 1,122,936 |
(1) | Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand. |
10. | Custodian and Transfer Agent: |
State Street 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, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
|
66 |
|
11. | Affiliate Holdings: |
As of September 30, 2021, affiliates of The Hartford had ownership of shares in each Fund as follows: | |
Fund | Percentage
of Fund | |
Longevity Economy ETF | 99% | |
Multifactor Diversified International ETF | 40% | |
Multifactor Small Cap ETF | 58% |
Fund | Percentage
of Fund | |
Multifactor Developed Markets (ex-US) ETF | 5% | |
Multifactor Emerging Markets ETF | 12% | |
Multifactor US Equity ETF | 26% |
12. | Investment Transactions: |
For the year or period ended September 30, 2021, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: | |
Fund | Cost
of Purchases Excluding U.S. Government Obligations |
Sales
Proceeds Excluding U.S. Government Obligations |
Total
Cost of Purchases |
Total
Sales Proceeds | ||||
Longevity Economy ETF | $ 13,247,050 | $ 10,965,236 | $ 13,247,050 | $ 10,965,236 | ||||
Multifactor Developed Markets (ex-US) ETF | 867,083,886 | 875,483,435 | 867,083,886 | 875,483,435 | ||||
Multifactor Diversified International ETF | 4,851,749 | 4,843,674 | 4,851,749 | 4,843,674 | ||||
Multifactor Emerging Markets ETF | 40,372,336 | 45,423,315 | 40,372,336 | 45,423,315 | ||||
Multifactor Small Cap ETF | 10,318,705 | 10,254,668 | 10,318,705 | 10,254,668 | ||||
Multifactor US Equity ETF | 249,394,065 | 249,840,182 | 249,394,065 | 249,840,182 |
Fund | Cost of Purchases | Sales Proceeds | Realized
Gain/(Loss) | |||
Longevity Economy ETF | $ 26,824,462 | $ 4,075,056 | $ 698,883 | |||
Multifactor Developed Markets (ex-US) ETF | 37,055,113 | 397,305,956 | 66,692,405 | |||
Multifactor Emerging Markets ETF | — | 6,483,905 | 1,205,138 | |||
Multifactor Small Cap ETF | 21,052,551 | 6,905,576 | 1,717,294 | |||
Multifactor US Equity ETF | 243,692,502 | 170,678,013 | 46,849,737 |
13. | Share Transactions: |
Each Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as ‘‘Creation Units.” Purchases of Creation Units are made by tendering a basket of designated securities 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. |
|
67 |
|
Shares of Longevity Economy ETF, Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Small Cap ETFand Multifactor US Equity ETF are listed on the NYSE Arca and shares of Multifactor Diversified International ETF are listed on the Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares. | |
Because each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). 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 years or periods ended September 30, 2021 and September 30, 2020: | |
For the Year or Period Ended September 30, 2021 |
For the Year Ended September 30, 2020 | ||||||
Shares | Amount | Shares | Amount | ||||
Longevity Economy ETF(1) | |||||||
Shares Sold | 1,100,001 | $ 29,116,378 | |||||
Shares Redeemed | (150,001) | (4,077,718) | |||||
Total Net Increase (Decrease) | 950,000 | 25,038,660 | |||||
Multifactor Developed Markets (ex-US) ETF | |||||||
Shares Sold | 1,400,000 | $ 39,421,674 | 16,650,000 | $ 475,004,269 | |||
Shares Redeemed | (14,400,000) | (408,608,631) | (23,500,000) | (573,184,590) | |||
Total Net Increase (Decrease) | (13,000,000) | (369,186,957) | (6,850,000) | (98,180,321) | |||
Multifactor Diversified International ETF | |||||||
Shares Sold | — | $ — | 100,000 | $ 2,754,532 | |||
Shares Redeemed | — | — | (100,000) | (2,751,610) | |||
Total Net Increase (Decrease) | — | — | — | 2,922 | |||
Multifactor Emerging Markets ETF | |||||||
Shares Sold | — | $ — | 200,000 | $ 3,623,318 | |||
Shares Redeemed | (500,000) | (11,443,163) | (1,100,000) | (18,945,241) | |||
Other Capital | — | 11,522 | — | 22,366 | |||
Total Net Increase (Decrease) | (500,000) | (11,431,641) | (900,000) | (15,299,557) | |||
Multifactor Small Cap ETF | |||||||
Shares Sold | 550,000 | $ 21,056,818 | 100,000 | $ 3,000,116 | |||
Shares Redeemed | (200,000) | (6,907,604) | (400,000) | (10,895,246) | |||
Other Capital | — | — | — | 936 | |||
Total Net Increase (Decrease) | 350,000 | 14,149,214 | (300,000) | (7,894,194) | |||
Multifactor US Equity ETF | |||||||
Shares Sold | 6,450,000 | $ 245,723,876 | 2,250,000 | $ 70,914,373 | |||
Shares Redeemed | (4,500,000) | (172,629,516) | (4,075,000) | (119,273,432) | |||
Total Net Increase (Decrease) | 1,950,000 | 73,094,360 | (1,825,000) | (48,359,059) |
(1) | Commenced operations on March 16, 2021. |
14. | Indemnifications: |
Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
|
68 |
|
15. | Recent Accounting Pronouncement: |
In March 2020, FASB issued Accounting Standards Update (“ASU”) No. 2020-04, Reference Rate Reform (Topic 848); Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. The guidance is applicable to contracts referencing LIBOR or another reference rate that is expected to be discontinued due to reference rate reform. The ASU is effective as of March 12, 2020 and generally can be applied through December 31, 2022. Management is evaluating the underlying securities referencing LIBOR or another reference rate that is expected to be discontinued over the period of time the ASU is effective. |
16. | Change in Independent Registered Public Accounting Firm: |
On November 6, 2019, the Trust, on behalf of each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF, dismissed Ernst & Young LLP (“EY”) as the Funds’ independent registered public accounting firm effective upon the issuance of EY’s report on the Funds’ financial statements as of and for the fiscal year ended September 30, 2019. EY’s report on the Funds’ financial statements for the fiscal periods ended September 30, 2018 and September 30, 2019 contained no adverse opinion or disclaimer of opinion nor was EY’s report qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds’ fiscal periods ended on September 30, 2018 and September 30, 2019 and through November 26, 2019 (the “Covered Period”), (i) there were no disagreements with EY on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of EY, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Funds’ financial statements for the Covered Period, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. | |
On November 6, 2019, the Audit Committee of the Trust’s Board of Trustees participated in and approved the decision to engage PricewaterhouseCoopers LLP (“PwC”) as the independent registered public accounting firm for each of Developed Markets (ex – US) ETF, Diversified International ETF, Emerging Markets ETF, Small Cap ETF and US Equity ETF for the fiscal year ended September 30, 2020. The selection of PwC does not reflect any disagreements with or dissatisfaction by the Trust or the Board with the performance of the Funds’ prior independent registered public accounting firm, EY. During the Covered Period, neither the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds’ financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of Item 304 of Regulation S-K). |
17. | Subsequent Events: |
Management has evaluated all subsequent transactions and events through the date on which these financial statements were issued and has determined that no additional items require disclosure in these financial statements. |
|
69 |
|
Fund | Statement
of operations |
Statement of changes in net assets | Financial highlights |
Hartford
Multifactor Developed Markets (ex-US) ETF Hartford Multifactor Diversified International Equity ETF Hartford Multifactor Emerging Markets ETF Hartford Multifactor Small Cap ETF Hartford Multifactor US Equity ETF |
For the year ended September 30, 2021 | For
the years ended September 30, 2021 and 2020 |
For
the years ended September 30, 2021 and 2020 |
Hartford Longevity Economy ETF | For
the period March 16, 2021 (commencement of operations) to September 30, 2021 |
For
the period March 16, 2021 (commencement of operations) to September 30, 2021 |
For
the period March 16, 2021 (commencement of operations) to September 30, 2021 |
|
70 |
|
• | the operation of the LRM Program (and related policies and procedures utilized in connection with management of the Funds’ liquidity risk); |
• | an assessment of the adequacy and effectiveness of the LRM Program’s (and related policies and procedures’) implementation; |
• | the operation, and assessment of the adequacy and effectiveness, of each Fund’s HLIM; |
• | whether the third-party liquidity vendor’s (“LRM Program Vendor”) processes for determining preliminary liquidity classifications, including the particular methodologies or factors used and metrics analyzed by the LRM Program Vendor, are sufficient under the Liquidity Rule and appropriate in light of each Fund’s specific circumstances; and |
• | any material changes to the LRM Program. |
|
71 |
|
NAME,
YEAR OF BIRTH AND ADDRESS(1) |
POSITION
HELD WITH THE TRUST |
TERM
OF OFFICE(2) AND LENGTH OF TIME SERVED |
PRINCIPAL
OCCUPATION(S) DURING PAST 5 YEARS |
NUMBER
OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE |
OTHER
DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
NON-INTERESTED TRUSTEES | ||||||||||
HILARY
E. ACKERMANN (1956) |
Trustee | Since 2017 | Ms. Ackermann served as Chief Risk Officer at Goldman Sachs Bank USA from October 2008 to November 2011. | 76 | Ms. Ackermann served as a Director of Dynegy, Inc. from October 2012 until its acquisition in by Vistra Energy Corporation in 2018, and since that time she has served as a Director of Vistra. Ms. Ackermann serves as a Director of Credit Suisse Holdings (USA), Inc. from January 2017 to present. | |||||
ROBIN
C. BEERY (1967) |
Trustee | Since 2016 | Ms. Beery has served as a consultant to ArrowMark Partners (an alternative asset manager) since March of 2015 and since November 2018 has been employed by ArrowMark Partners as a Senior Advisor. Previously, she was Executive Vice President, Head of Distribution, for Janus Capital Group, and Chief Executive Officer and President of the Janus Mutual Funds (a global asset manager) from September 2009 to August 2014. | 76 | Ms. Beery serves as an independent Director of UMB Financial Corporation (January 2015 to present), has chaired the Compensation Committee since April 2017, and serves on the Audit Committee and the Risk Committee. | |||||
LYNN
S. BIRDSONG† (1946) |
Trustee | Trustee since 2017; Chair of the Board 2019-2021 | From January 1981 through December 2013, Mr. Birdsong was a partner in Birdsong Company, an advertising specialty firm. From 1979 to 2002, Mr. Birdsong was a Managing Director of Zurich Scudder Investments, an investment management firm. | 76 | None | |||||
DERRICK
D. CEPHAS (1952) |
Trustee | Since 2020 | Mr. Cephas currently serves as Of Counsel to Squire Patton Boggs LLP, an international law firm with 45 offices in 20 countries. Until his retirement in October 2020, Mr. Cephas was a Partner of Weil, Gotshal & Manges LLP, an international law firm headquartered in New York, where he served as the Head of the Financial Institutions Practice (April 2011 to October 2020). | 76 | Mr. Cephas currently serves a Director of Signature Bank, a New York-based commercial bank, and is a member of the Credit Committee, Examining Committee and Risk Committee. Mr. Cephas currently serves as a Director of Claros Mortgage Trust, Inc., a real estate investment trust. | |||||
CHRISTINE
R. DETRICK(4) (1958) |
Trustee and Chair of the Board | Since 2017; Chair of the Board since 2021 | Ms. Detrick served as a Senior Partner/Advisor at Bain & Company (a management consulting firm) from September 2002 to December 2012. | 76 | Ms. Detrick serves as a Director and Chair of the Nominating and Governance Committee of Reinsurance Group of America (from January 2014 to present). She also serves as a Director of Charles River Associates (May 2020 to present) and serves as a Director of Capital One Financial Corporation (since November 2021). |
|
72 |
|
NAME,
YEAR OF BIRTH AND ADDRESS(1) |
POSITION
HELD WITH THE TRUST |
TERM
OF OFFICE(2) AND LENGTH OF TIME SERVED |
PRINCIPAL
OCCUPATION(S) DURING PAST 5 YEARS |
NUMBER
OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE |
OTHER
DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
ANDREW
A. JOHNSON (1962) |
Trustee | Since 2020 | Mr. Johnson currently serves as a Diversity and Inclusion Advisor at Neuberger Berman, a private, global investment management firm. Prior to his current role, Mr. Johnson served as Chief Investment Officer and Head of Global Investment Grade Fixed Income at Neuberger Berman (January 2009 to December 2018). | 76 | Mr. Johnson currently serves as a Director of AGNC Investment Corp., a real estate investment trust. | |||||
PAUL
L. ROSENBERG (1953) |
Trustee | Since 2020 | Mr. Rosenberg is a Partner of The Bridgespan Group, a global nonprofit consulting firm that is a social impact advisor to nonprofits, non-governmental organizations, philanthropists and institutional investors (October 2007 to present). | 76 | None | |||||
LEMMA
W. SENBET† (1946) |
Trustee | Since 2017 | Dr. Senbet currently serves as the William E. Mayer Chair Professor of Finance in the Robert H. Smith School of Business at the University of Maryland, where he was chair of the Finance Department from 1998 to 2006. In June 2013, he began a sabbatical from the University to serve as Executive Director of the African Economic Research Consortium which focuses on economic policy research and training, which he completed in 2018. | 76 | None | |||||
DAVID
SUNG (1953) |
Trustee | Since 2016 | Mr. Sung was a Partner at Ernst & Young LLP from October 1995 to July 2014. | 76 | Mr. Sung serves as a Trustee of Ironwood Institutional Multi-Strategy Fund, LLC and Ironwood Multi-Strategy Fund, LLC (October 2015 to present). | |||||
OFFICERS AND INTERESTED TRUSTEE | ||||||||||
JAMES
E. DAVEY(5) (1964) |
Trustee, President and Chief Executive Officer | Trustee since 2017; President and Chief Executive Officer since 2017 | Mr. Davey serves as Executive Vice President of The Hartford Financial Services Group, Inc. Mr. Davey has served in various positions within The Hartford and its subsidiaries and joined The Hartford in 2002. Additionally, Mr. Davey serves as Director, Chairman, President, and Senior Managing Director for Hartford Funds Management Group, Inc. ("HFMG"). Mr. Davey also serves as President, Manager, Chairman of the Board, and Senior Managing Director for Hartford Funds Management Company, LLC (“HFMC”); Manager, Chairman of the Board, and President of Lattice Strategies LLC (“Lattice”); Chairman of the Board, Manager, and Senior Managing Director of Hartford Funds Distributors, LLC (“HFD”); and Chairman of the Board, President and Senior Managing Director of Hartford Administrative Services Company (“HASCO”), each of which is an affiliate of HFMG. | 76 | None | |||||
ANDREW
S. DECKER (1963) |
AML Compliance Officer | Since 2016 | Mr. Decker serves as Chief Compliance Officer and AML Compliance Officer of HASCO (since April 2015) and Vice President of HASCO (since April 2018). Mr. Decker serves as AML Officer of HFD (since May 2015). Mr. Decker also serves as Vice President of HFMG (since April 2018). Prior to joining The Hartford, Mr. Decker served as Vice President and AML Officer at Janney Montgomery Scott (a broker dealer) from April 2011 to January 2015. | N/A | N/A | |||||
AMY
N. FURLONG (1979) |
Vice President | Since 2018 | Ms. Furlong serves as Vice President and Assistant Treasurer of HFMC (since September 2019). From 2018 through March 15, 2021, Ms. Furlong served as the Treasurer of the Trust. Ms. Furlong has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Furlong joined The Hartford in 2004. | N/A | N/A |
|
73 |
|
NAME,
YEAR OF BIRTH AND ADDRESS(1) |
POSITION
HELD WITH THE TRUST |
TERM
OF OFFICE(2) AND LENGTH OF TIME SERVED |
PRINCIPAL
OCCUPATION(S) DURING PAST 5 YEARS |
NUMBER
OF PORTFOLIOS IN FUND COMPLEX(3) OVERSEEN BY TRUSTEE |
OTHER
DIRECTORSHIPS FOR PUBLIC COMPANIES AND OTHER REGISTERED INVESTMENT COMPANIES BY TRUSTEE | |||||
WALTER
F. GARGER (1965) |
Vice President and Chief Legal Officer | Since 2016 | Mr. Garger serves as Secretary, Managing Director and General Counsel of HFMG, HFMC, HFD, and HASCO (since 2013). Mr. Garger also serves as Secretary and General Counsel of Lattice (since July 2016). Mr. Garger has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Garger joined The Hartford in 1995. | N/A | N/A | |||||
THEODORE
J. LUCAS (1966) |
Vice President | Since 2017 | Mr. Lucas serves as Executive Vice President of HFMG (since July 2016) and as Executive Vice President of Lattice (since June 2017). Previously, Mr. Lucas served as Managing Partner of Lattice (2003 to 2016). | N/A | N/A | |||||
JOSEPH
G. MELCHER (1973) |
Vice President and Chief Compliance Officer | Since 2016 | Mr. Melcher serves as Executive Vice President of HFMG and HASCO (since December 2013). Mr. Melcher also serves as Executive Vice President (since December 2013) and Chief Compliance Officer (since December 2012) of HFMC, serves as Executive Vice President and Chief Compliance Officer of Lattice (since July 2016), serves as Executive Vice President of HFD (since December 2013), and has served as President and Chief Executive Officer of HFD (from April 2018 to June 2019). | N/A | N/A | |||||
VERNON
J. MEYER (1964) |
Vice President | Since 2016 | Mr. Meyer serves as Managing Director and Chief Investment Officer of HFMC and Managing Director of HFMG (since 2013). Mr. Meyer also serves as Senior Vice President-Investments of Lattice (since March 2019). Mr. Meyer has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Mr. Meyer joined The Hartford in 2004. | N/A | N/A | |||||
DAVID
A. NAAB (1985) |
Vice President and Treasurer | Since March 15, 2021 | Mr. Naab serves as Vice President and Treasurer of the Trust. Prior to joining HFMC in 2021, Mr. Naab served in various positions as an associate, senior associate, manager, senior manager, and director within the investment management, financial services, and asset & wealth management practice groups of PricewaterhouseCoopers, LLP from 2007 to 2020. | N/A | N/A | |||||
ALICE
A. PELLEGRINO (1960) |
Vice President and Assistant Secretary | Since 2016 | Ms. Pellegrino serves as Vice President of HFMG (since December 2013). Ms. Pellegrino also serves as Vice President and Assistant Secretary of Lattice (since June 2017). Ms. Pellegrino is a Senior Counsel and has served in various positions within The Hartford and its subsidiaries in connection with the operation of the Hartford Funds. Ms. Pellegrino joined The Hartford in 2007. | N/A | N/A | |||||
THOMAS
R. PHILLIPS (1960) |
Vice President and Secretary | Since 2017 | Mr. Phillips is Deputy General Counsel for HFMG and currently serves as Vice President (since February 2017) and Assistant Secretary (since June 2017) for HFMG. Prior to joining HFMG in 2017, Mr. Phillips was a Director and Chief Legal Officer of Saturna Capital Corporation from 2014–2016. Prior to that, Mr. Phillips was a Partner and Deputy General Counsel of Lord, Abbett & Co. LLC. | N/A | N/A |
† | Effective as of December 31, 2021, Messrs. Birdsong and Senbet will retire as Trustees. As a result, Mr. Birdsong retired as Chair of the Board effective November 4, 2021. |
(1) | The address for each officer and Trustee is c/o Hartford Funds 690 Lee Road, Wayne, Pennsylvania 19087. |
(2) | Each Trustee holds an indefinite term until the Trustee's retirement, which must be no later than December 31 of the year in which the Trustee turns 75 years of age, or the Trustee's resignation, removal, or death prior to the Trustee's retirement. Each officer shall serve until his or her successor is elected and qualifies. |
(3) | The portfolios of the “Fund Complex” are operational series of The Hartford Mutual Funds, Inc., The Hartford Mutual Funds II, Inc., Hartford Series Fund, Inc., Hartford HLS Series Fund II, Inc., Lattice Strategies Trust, and Hartford Funds Exchange-Traded Trust. |
(4) | Effective November 4, 2021, Ms. Detrick was elected as Chair of the Board of Trustees. |
(5) | “Interested person,” as defined in the 1940 Act, of the Trust because of the person’s affiliation with, or equity ownership of HFMC or affiliated companies. |
|
74 |
|
|
75 |
|
|
76 |
|
|
77 |
|
|
78 |
|
|
79 |
|
• | 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, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary Benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund's contractual management fee was in the 1st quintile of its Peer Group, while its actual management fee and total expenses were in the 2nd quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3-year period, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee, actual management fee, and total expenses were in the 2nd quintile of its Peer Group. |
• | The Board noted that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and actual management fee were in the 2nd quintile of its Peer Group, while its total expenses were in the 1st quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its Peer Group, while its actual management fee was in the 3rd quintile of its Peer Group. |
• | The Board considered that the Fund’s performance exceeded its tracking difference threshold for the 1-year period and was in line with its custom proprietary benchmark index for the 3- and 5-year periods, noting that the Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of its custom proprietary benchmark index. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
• | The Board noted that the Fund’s contractual management fee was in the 1st quintile of its Peer Group, while its actual management fee and total expenses were in the 2nd quintile of its Peer Group. |
|
80 |
|