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

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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.

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

Country Allocation(%)
(as of 9/30/2019)

Sorry, your browser does not support inline SVG. JAPAN 21
Sorry, your browser does not support inline SVG. UNITED KINGDOM 13
Sorry, your browser does not support inline SVG. CANADA 11
Sorry, your browser does not support inline SVG. AUSTRALIA 8
Sorry, your browser does not support inline SVG. GERMANY 6
Sorry, your browser does not support inline SVG. SWITZERLAND 6
Sorry, your browser does not support inline SVG. FRANCE 6
Sorry, your browser does not support inline SVG. HONG KONG 4
Sorry, your browser does not support inline SVG. NETHERLANDS 3
Sorry, your browser does not support inline SVG. ITALY 3
Total of Top 10 Countries(%) 83
Sorry, your browser does not support inline SVG. Other (12 countries)
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

Performance (%)
% (as of 10/31/2019)
Average Annual Total Returns % (as of 10/31/2019)
YTD 1YR 3YR 5YR SI1
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index 12.65 8.92 8.90 5.79 5.56
Performance (%)
% (as of 9/30/2019)
Average Annual Total Returns % (as of 9/30/2019)
YTD 1YR 3YR 5YR SI1
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.

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