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Hartford Multifactor Low Volatility International Equity Index

Objective

  • Seeks to provide the opportunity to improve returns through a complete market cycle with up to 25% less volatility versus the developed (excluding US) and emerging market capitalization-weighted universe
  • Focuses on selecting stocks with low volatility characteristics while seeking to maintain positive exposure to value, momentum, and quality factors at the index level
  • Risk-balanced sector weighting seeks to improve diversification

Description of Methodology

Hartford Multifactor Low Volatility International Equity Index (LLVINX or the “Index”) seeks to address risks and opportunities within developed (excluding the US) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and size factors. The Index seeks to provide a means of improving returns through a complete market cycle with up to 25% less volatility versus the developed (excluding the US) and emerging market capitalization-weighted universe. The rules-based, proprietary methodology employs a multi-layered risk-controlled approach that seeks to improve diversification, balance risk across sectors by utilizing expected tail loss (ETL) estimations, and reduce volatility through security selection and portfolio composition. Expected tail loss is an estimation process that seeks to measure potential loss during turbulent markets and is based on the relative historical performance of each sector. The methodology utilizes an optimization process to help achieve the desired composition and targeted characteristics.

  Hartford Multifactor Low Volatility Index Methodologies

 

Characteristics Allocations, exposures and holdings are subject to change. Percentages may be rounded.

Country Allocation(%)
(as of 6/30/2018)

Sorry, your browser does not support inline SVG. Japan 16.18
Sorry, your browser does not support inline SVG. United Kingdom 12.27
Sorry, your browser does not support inline SVG. Canada 9.30
Sorry, your browser does not support inline SVG. China 6.34
Sorry, your browser does not support inline SVG. South Korea 5.94
Sorry, your browser does not support inline SVG. Australia 5.70
Sorry, your browser does not support inline SVG. Hong Kong 4.77
Sorry, your browser does not support inline SVG. France 3.80
Sorry, your browser does not support inline SVG. Taiwan 3.40
Sorry, your browser does not support inline SVG. Switzerland 3.30
Total of Top 10 Countries(%) 71.01
Sorry, your browser does not support inline SVG. Other (28 countries)
Holdings Characteristics
(as of 6/30/2018)
Index
Price-to-Book 2.01
Price-to-Earnings 15.09
Return on Equity(%) 16.69
Debt to Equity 0.86
Dividend Yield(%) 2.85
Nominal Countries 38
Effective Countries 14
Nominal Companies 327
Effective Companies 237

Top Ten Holdings (%)

(as of 6/30/2018)
CSPC Pharmaceutical Group Ltd 0.70
Shenzhou Intl Group Holdings Ltd 0.67
Suncor Energy Inc. 0.66
GN Store Nord A/S 0.65
Rentokil Initial PLC 0.65
Aristocrat Leisure Ltd 0.63
Hikari Tsushin Inc 0.63
BP PLC 0.60
WNS (Holdings) Ltd 0.60
CAE Inc. 0.60
Total of Top Ten Holdings 6.40
Market Cap Distribution(%)
(as of 6/30/2018)
Index
Less than $2B 7.2
$2B - $10B 33.5
$10B - $100B 50.4
Greater than $100B 8.5
Sector Exposure (%)
Sectors 5/31/2018 6/30/2018
Industrials 17.7 17.6
Consumer Discretionary 14.6 14.6
Telecommunication Services 5.7 5.8
Health Care 10.0 10.1
Real-Estate 4.8 4.8
Materials 9.3 9.4
Utilities 3.9 3.9
Energy 6.6 6.8
Information Technology 11.2 11.0
Consumer Staples 7.4 7.4
Financials 8.8 8.6

Performance

Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SISI
Multifactor Low Volatility International Equity Index -4.47 8.07 0.00 0.00 24.46
Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SISI
Multifactor Low Volatility International Equity Index -2.26 8.07 0.00 0.00 15.76

SI = Since Inception.
Index Inception:12/31/2016

Past performance is not indicative of future results.

Indices are unmanaged and not available for direct investment. 

Key Facts

Key Facts  (as of 7/17/2018)
Ticker LLVINX Index
Inception December 31, 2016
Current Index Value 1253.32
Last Closing Level 1253.33
Change -0.01
Change % 0.00%
52-Week-High 1337.20
52-Week-Low 1166.48
Number Of Holdings 327

Important Notes

Hartford Multifactor Low Volatility International Equity Index is the exclusive property of Lattice Strategies LLC (a wholly owned subsidiary of Hartford Funds Management Company, LLC) which has contracted with Solactive AG to maintain and calculate the Index. Solactive AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards Lattice Strategies, Solactive AG has no obligation to point out errors in the Index to third parties.

Index returns do not represent actual fund or portfolio returns. A fund or portfolio may differ significantly from the index. The index does not reflect any management fees, transaction fees, brokerage expenses, or other expenses that may reduce returns. Index returns assume that dividends have been reinvested. Investors cannot invest directly in the Index.

A WORD ABOUT RISK

There are risks associated with investing, including the possible loss of principal. There is no assurance that any strategy will achieve its investment objectives. 

Sources for all data: Bloomberg and Hartford Funds.

201086    LAT000656