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Hartford Risk-Optimized Multifactor Global Small Cap Index

Objective

  • Provide diversified exposure to small cap companies in the US, developed and emerging countries
  • Seek to improve return potential while addressing risks common to small cap investing, including volatility and drawdown risks
  • Select small cap companies with favorable risk premia, including value, quality and momentum factors

Description of Methodology

The rules-based proprietary methodology employs a multi-layered risk-optimized approach that seeks to achieve its diversification, 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

Characteristics

Country Allocation(%)
(as of 6/30/2018)

Sorry, your browser does not support inline SVG. United States 41.54
Sorry, your browser does not support inline SVG. Japan 12.91
Sorry, your browser does not support inline SVG. China 10.59
Sorry, your browser does not support inline SVG. South Korea 5.88
Sorry, your browser does not support inline SVG. Australia 4.97
Sorry, your browser does not support inline SVG. Canada 4.64
Sorry, your browser does not support inline SVG. United Kingdom 4.44
Sorry, your browser does not support inline SVG. Taiwan 3.17
Sorry, your browser does not support inline SVG. Israel 1.35
Sorry, your browser does not support inline SVG. Switzerland 1.22
Total of Top 10 Countries(%) 90.72
Sorry, your browser does not support inline SVG. Other (17 countries)

Country allocations are subject to change.

Holdings Characteristics
(as of 6/30/2018)
Fund
Price-to-Book 1.70
Price-to-Earnings 14.81
Return on Equity(%) 15.51
Debt to Equity 0.73
Dividend Yield(%) 2.84
Nominal Countries 27
Effective Countries 5
Nominal Companies 442
Effective Companies 284

Top Ten Holdings (%)

(as of 6/30/2018)
Tianneng Power Internationnal Ltd 0.79
LHC Group Inc 0.77
Triple-S Management Corp 0.75
Insperity Inc. 0.71
Eagle Pharmaceuticals Inc 0.69
BRP Inc 0.69
Weichai Power Co Ltd 0.64
Marcus & Millichap Inc 0.62
Net One Systems Co Ltd 0.61
Colliers International Group Inc 0.61
Total of Top Ten Holdings 6.87

Holdings are subject to change. Percentages may be rounded.

Market Cap Distribution(%)
(as of 6/30/2018)
Index
Less than $2B 78.8
$2B - $10B 21.2
$10B - $100B 0.0
Greater than $100B 0.0
Sector Exposure (%)
Sectors 5/31/2018 6/30/2018
Health Care 12.9 13.5
Information Technology 15.2 15.0
Consumer Discretionary 15.0 15.0
Consumer Staples 5.2 5.4
Energy 4.8 4.8
Materials 8.5 8.4
Telecommunication Services 1.0 1.0
Real-Estate 10.3 10.2
Industrials 15.6 15.1
Utilities 0.7 0.7
Financials 10.7 10.7

Performance

Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Global Small Cap Equity Strategy Index 1.18 14.10 11.37 --- 9.81
Performance (%)
% (as of 6/30/2018)
Average Annual Total Returns % (as of 6/30/2018)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Global Small Cap Equity Strategy Index 1.18 14.10 11.37 --- 9.81

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(%)
2016 16.05
2015 0.34
2014 3.97

Key Facts

Key Facts  (as of 7/20/2018)
Ticker LROGSX Index
Inception December 31, 2013
Current Index Value 1527.93
Last Closing Level 1528.61
Change -0.68
Change % -0.04%
52-Week-High 1592.42
52-Week-Low 1345.72
Number Of Holdings 442

Important Notes

Hartford Risk-Optimized Multifactor Global Small Cap 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.

Sources for all data: Bloomberg and Hartford Funds.

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