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 9/30/2019)

	JAPAN	21
	UNITED KINGDOM	13
	CANADA	11
	AUSTRALIA	8
	GERMANY	6
	SWITZERLAND	6
	FRANCE	6
	HONG KONG	4
	NETHERLANDS	3
	ITALY	3
Total of Top 10 Countries(%)		83
	Other (12 countries)	17	12

Holdings Characteristics
(as of 9/30/2019)
	Fund
Price/Earnings	13.2x
Price/Book	1.5x
Return on Equity	16.0%
Nominal Companies	487
Effective Companies	298
Nominal Countries	22
Effective Countries	10
Debt to Equity	88.3%
Index Dividend Yield (%)	3.84

Top Ten Holdings (%)

(as of 9/30/2019)
Bouygues, Guyancourt	0.77
Zurich Insurance Group AG	0.76
Baloise-Holding	0.75
Merck Kgaa	0.75
Rio Tinto Group	0.74
Wesfarmers Ltd	0.74
Schweizerische Lebensversicherungs- Und Rentenanstalt, Zuerich	0.72
Smith & Nephew PLC	0.69
Evraz PLC	0.67
Royal Dutch Shell PLC	0.64
Total of Top Ten Holdings	7.23

Market Cap Distribution(%)
(as of 9/30/2019)
	Index
Less than $2B	0
$2B - $10B	44
$10B - $100B	50
Greater than $100B	6

Sector Exposure (%)
Sectors	6/30/2019	9/30/2019
Financials	22	21
Industrials	12	13
Health Care	11	11
Consumer Discretionary	10	10
Consumer Staples	9	9
Communication Services	8	7
Information Technology	5	6
Real Estate	6	6
Utilities	5	6
Energy	5	5
Materials	5	5

Performance (%)
	YTD	1YR	3YR	5YR	SI¹
	% (as of 10/31/2019)	Average Annual Total Returns % (as of 10/31/2019)
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index	12.65	8.92	8.90	5.79	5.56

Performance (%)
	YTD	1YR	3YR	5YR	SI¹
	% (as of 9/30/2019)	Average Annual Total Returns % (as of 9/30/2019)
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index	9.45	-1.80	6.87	5.17	5.11

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 11/15/2019)
Ticker	LRODMX Index
Inception	December 31, 2013
Current Index Value	1387.45
Last Closing Level	1376.31
Change	11.14
Change %	0.80%
52-Week-High	1387.57
52-Week-Low	1193.56
Number Of Holdings	486

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.

211357 LAT001391