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Hartford Multifactor Low Volatility US Equity Index

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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

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

Allocations, exposures and holdings are subject to change. Percentages may be rounded.
Holdings Characteristics
(as of 12/31/2019)
Index
Price/Book 3.6x
Return on Equity 25.9%
Nominal Companies 258
Effective Companies 149
Debt to Equity 133.6%
Index Dividend Yield (%) 2.41
Sector Exposure (%)
Sectors 9/30/2019 12/31/2019
Industrials 16 16
Consumer Discretionary 16 15
Information Technology 11 12
Consumer Staples 9 9
Health Care 9 9
Materials 9 9
Financials 8 8
Communication Services 8 8
Real Estate 6 6
Energy 5 5
Utilities 3 3

Top Ten Holdings (%)

(as of 12/31/2019)
Johnson & Johnson 1.61
AT&T Inc 1.57
Accenture PLC 1.53
Chevron Corp 1.47
Medtronic PLC 1.46
Exxon Mobil Corp 1.45
Verizon Communications Inc 1.43
Honeywell International Inc 1.35
McDonald's Corp 1.29
Merck & Co Inc. 1.17
Total of Top Ten Holdings 14.33
Market Cap Distribution(%)
(as of 12/31/2019)
Index
Less than $2B 2
$2B - $10B 23
$10B - $100B 41
Greater than $100B 34

Performance

Performance (%)
% (as of 11/30/2019)
Average Annual Total Returns % (as of 11/30/2019)
YTD 1YR 3YR 5YR SI
Hartford Multifactor Low Volatility US Equity Index 26.11 15.52 --- --- 12.57
Performance (%)
% (as of 9/30/2019)
Average Annual Total Returns % (as of 9/30/2019)
YTD 1YR 3YR 5YR SI
Hartford Multifactor Low Volatility US Equity Index 23.32 9.90 --- --- 12.47

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. 

Calendar Year Returns(%)
2019 28.44
2018 -2.72
2017 15.10

Key Facts

Key Facts  (as of 1/16/2020)
Ticker LLVUSX Index
Inception December 31, 2016
Current Index Value 1463.70
Last Closing Level 1452.39
Change 11.31
Change % 0.77%
52-Week-High 1463.70
52-Week-Low 1163.15
Number Of Holdings 258

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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