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Hartford Multifactor Low Volatility US Equity Index

Objective

  • Seeks to provide the opportunity to improve returns through a complete market cycle with up to 25% less volatility versus the US 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
  • Eligible universe encompasses 98% of the total US equity market

Description of Methodology

Hartford Multifactor Low Volatility US Equity Index (LLVUSX or the “Index”) seeks to address risks and opportunities within US equities across the capitalization spectrum by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum and quality factors. The index seeks to provide a means of improving returns through a market cycle with up to 25% less volatility versus the US 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.

Holdings Characteristics
(as of 6/30/2018)
Index
Price-to-Book 3.58
Price-to-Earnings 22.94
Return on Equity(%) 16.12
Debt to Equity 1.63
Dividend Yield(%) 2.20
Nominal Countries 1
Effective Countries 1
Nominal Companies 256
Effective Companies 147
Sector Exposure (%)
Sectors 5/31/2018 6/30/2018
Industrials 18.0 17.6
Materials 9.3 8.4
Telecommunication Services 5.2 5.9
Consumer Discretionary 16.7 16.3
Utilities 5.1 5.2
Real-Estate 4.8 5.0
Consumer Staples 6.5 6.8
Energy 6.0 6.0
Health Care 10.6 10.8
Financials 5.7 5.6
Information Technology 12.1 12.3

Top Ten Holdings (%)

(as of 6/30/2018)
AT&T Inc 1.71
Chevron Corp 1.66
Unitedhealth Group Inc 1.64
Exxon Mobil Corp 1.58
McDonald's Corp 1.56
Verizon Communications Inc 1.54
Johnson & Johnson 1.40
Honeywell International Inc 1.31
Phillips 66 1.21
International Business Machines Corp 1.18
Total of Top Ten Holdings 14.79
Market Cap Distribution(%)
(as of 6/30/2018)
Index
Less than $2B 5.9
$2B - $10B 25.3
$10B - $100B 41.4
Greater than $100B 27.5

Performance

Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SISI
Multifactor Low Volatility US Equity Index 3.83 9.31 0.00 0.00 17.29
Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SISI
Multifactor Low Volatility US Equity Index 1.90 9.31 0.00 0.00 11.26

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 7/20/2018)
Ticker LLVUSX Index
Inception December 31, 2016
Current Index Value 1202.48
Last Closing Level 1204.44
Change -1.96
Change % -0.16%
52-Week-High 1207.98
52-Week-Low 1065.83
Number Of Holdings 256

Important Notes

Hartford Multifactor Low Volatility US 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.

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