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Hartford Risk-Optimized Multifactor Global Small Cap Index

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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

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 6/30/2019)

Sorry, your browser does not support inline SVG. UNITED STATES 34
Sorry, your browser does not support inline SVG. JAPAN 16
Sorry, your browser does not support inline SVG. CHINA 9
Sorry, your browser does not support inline SVG. AUSTRALIA 6
Sorry, your browser does not support inline SVG. SOUTH KOREA 5
Sorry, your browser does not support inline SVG. CANADA 5
Sorry, your browser does not support inline SVG. UNITED KINGDOM 4
Sorry, your browser does not support inline SVG. TAIWAN 4
Sorry, your browser does not support inline SVG. SWEDEN 2
Sorry, your browser does not support inline SVG. FRANCE 2
Total of Top 10 Countries(%) 87
Sorry, your browser does not support inline SVG. Other (16 countries)
Holdings Characteristics
(as of 5/31/2019)
Fund
Price/Earnings 11.3x
Return on Equity 11.5%
Nominal Companies 439
Effective Companies 294
Nominal Countries 26
Effective Countries 6
Debt to Equity 99.5%
Index Dividend Yield (%) 3.66

Top Ten Holdings (%)

(as of 6/30/2019)
Bosideng International Holdings Ltd 0.71
CorVel Corp. 0.66
Telkom SA SOC Ltd 0.65
Match Group Inc 0.62
Fusheng Precision Co Ltd 0.62
Just Energy Group Inc 0.59
Selective Insurance Group Inc 0.58
Aaron's Inc 0.58
AMN Healthcare Services Inc. 0.57
LHC Group Inc 0.56
Total of Top Ten Holdings 6.14
Market Cap Distribution(%)
(as of 5/31/2019)
Index MSCI ACWI Small Cap Index
Less than $2B 84 84
$2B - $10B 16 16
$10B - $100B 0 0
Greater than $100B 0 0
Sector Exposure (%)
Sectors 3/31/2019 5/31/2019
Industrials 16 16
Consumer Discretionary 15 15
Information Technology 13 13
Financials 11 11
Health Care 11 11
Real Estate 8 8
Communication Services 6 7
Consumer Staples 6 6
Energy 6 6
Materials 7 6
Utilities 1 1

Performance

Performance (%)
% (as of 5/31/2019)
Average Annual Total Returns % (as of 5/31/2019)
YTD 1YR 3YR 5YR SI1
Hartford Risk-Optimized Multifactor Global Small Cap Index 4.31 -10.31 8.31 6.20 6.23
Performance (%)
% (as of 3/31/2019)
Average Annual Total Returns % (as of 3/31/2019)
YTD 1YR 3YR 5YR SI1
Hartford Risk-Optimized Multifactor Global Small Cap Index 9.49 -3.40 10.21 7.46 7.43

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 -11.65
2017 24.34
2016 16.05
2015 0.34
2014 3.97

Key Facts

Key Facts  (as of 7/16/2019)
Ticker LROGSX Index
Inception December 31, 2013
Current Index Value 1475.46
Last Closing Level 1475.46
Change 0.00
Change % 0.00%
52-Week-High 1559.23
52-Week-Low 1284.26
Number Of Holdings 439

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

Investing involves risk, including the possible loss of principal.

Sources for all data: Bloomberg and Hartford Funds.

211358     LAT001392