Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index

Index Attribution Report

Objective

De-concentrate country, currency, and individual company risks in developed market economies (ex US)
Seek reduced volatility and drawdown risk and improve returns (relative to capitalization weighted developed international equity indexes (ex U.S.) over a complete market cycle.

Description of Methodology

The rules-based proprietary methodology employs a multi-layered risk-controlled approach that seeks to achieve its de-concentration, risk-reduction, and return objectives by selecting companies with favorable diversified risk premia expression, including valuation, momentum, quality, and volatility characteristics. The methodology seeks to further address active risks versus the capitalization-weighted universe by managing size, country, and liquidity risks. The Index seeks to harvest risk premia factors through systematic risk- and factor-weighting twice annually, with a reconstitution occurring in March and September.

Hartford Multifactor Index Methodologies

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

Characteristics

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

Country Allocation(%)
(as of 8/31/2019)

	JAPAN	21
	CANADA	12
	UNITED KINGDOM	11
	AUSTRALIA	8
	SWITZERLAND	7
	GERMANY	7
	FRANCE	7
	HONG KONG	4
	NETHERLANDS	3
	SINGAPORE	3
Total of Top 10 Countries(%)		83
	Other (13 countries)	17	13

Holdings Characteristics
(as of 7/31/2019)
	Fund
Price/Earnings	14.3x
Price/Book	1.5x
Return on Equity	10.7%
Nominal Companies	467
Effective Companies	292
Nominal Countries	23
Effective Countries	10
Debt to Equity	110.4%
Index Dividend Yield (%)	3.82

Top Ten Holdings (%)

(as of 8/31/2019)
Schweizerische Lebensversicherungs- Und Rentenanstalt, Zuerich	0.84
Rio Tinto Group	0.81
Merck Kgaa	0.78
Wesfarmers Ltd	0.78
Zurich Insurance Group AG	0.73
Smith & Nephew PLC	0.72
Metro AG	0.71
Scor SE	0.69
Bouygues, Guyancourt	0.67
Baloise-Holding	0.66
Total of Top Ten Holdings	7.39

Market Cap Distribution(%)
(as of 7/31/2019)
	Index
Less than $2B	9
$2B - $10B	49
$10B - $100B	36
Greater than $100B	6

Sector Exposure (%)
Sectors	6/30/2019	7/31/2019
Financials	22	22
Health Care	11	12
Industrials	12	12
Consumer Discretionary	10	10
Consumer Staples	9	9
Communication Services	8	8
Real Estate	6	6
Energy	5	5
Information Technology	5	5
Materials	5	5
Utilities	5	5

Performance (%)
	YTD	1YR	3YR	5YR	SI¹
	% (as of 8/31/2019)	Average Annual Total Returns % (as of 8/31/2019)
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index	6.83	-4.07	6.65	3.75	4.74

Performance (%)
	YTD	1YR	3YR	5YR	SI¹
	% (as of 6/30/2019)	Average Annual Total Returns % (as of 6/30/2019)
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index	10.98	1.79	9.29	4.42	5.62

SI = Since Inception.

Index Inception:12/31/2013

Past performance is not indicative of future results.

Performance reflects cumulative total returns for periods of less than one year and average annual total returns for periods of one year or greater.

Indices are unmanaged and not available for direct investment.

Calendar Year Returns(%)
2018	-9.68
2017	25.99
2016	3.62
2015	1.19
2014	1.97

Key Facts

Key Facts (as of 9/18/2019)
Ticker	LRODMX Index
Inception	December 31, 2013
Current Index Value	1333.92
Last Closing Level	1334.21
Change	-0.29
Change %	-0.02%
52-Week-High	1369.41
52-Week-Low	1193.56
Number Of Holdings	467

Important Notes

Hartford Risk-Optimized Multifactor Developed Markets (ex-US) 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

Investing involves risk, including the possible loss of principal.

Sources for all data: Bloomberg and Hartford Funds.

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