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Hartford Multifactor Large Cap Index

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Objective

  • Enhance return potential through multifactor stock selection while applying a comprehensive risk framework to overall index construction.
  • Seek reduced volatility and drawdown risk and improve risk-adjusted returns (relative to capitalization weighted U.S. equity indexes) over a complete market cycle.

Description of Methodology

The index methodology seeks to enhance return potential through multifactor stock selection while applying a comprehensive risk framework to overall index construction. The rules-based proprietary methodology utilizes an optimization process to help achieve the desired composition and targeted characteristics, including reduced volatility, relative sector and size constraints, and positive value, momentum, and quality relative factor scores at the portfolio level. The Index seeks to harvest risk premia factors through systematic risk-and factor-weighted twice annually, with 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.
Holdings Characteristics
(as of 4/30/2020)
Index
Price/Book 2.3x
Return on Equity 27.2%
Nominal Companies 376
Effective Companies 187
Debt to Equity 123.4%
Index Dividend Yield (%) 2.67
Market Cap Distribution(%)
(as of 4/30/2020)
Index
Less than $2B 0
$2B - $10B 28
$10B - $100B 37
Greater than $100B 35

Top Ten Holdings (%)

(as of 4/30/2020)
Verizon Communications Inc 1.65
Johnson & Johnson 1.27
Merck & Co Inc. 1.26
AT&T Inc 1.24
Bristol-Myers Squibb Co 1.22
Accenture PLC 1.20
Intel Corp 1.19
Walmart Inc 1.10
Pfizer Inc 1.09
Unitedhealth Group Inc 1.08
Total of Top Ten Holdings 12.30
Sector Exposure (%)
Sectors 3/31/2020 4/30/2020
Information Technology 23 23
Health Care 18 18
Financials 11 11
Consumer Staples 9 9
Communication Services 8 8
Consumer Discretionary 7 8
Industrials 7 7
Real Estate 5 5
Utilities 6 5
Materials 4 4
Energy 2 2

Performance

Performance (%)
% (as of 4/30/2020)
Average Annual Total Returns % (as of 4/30/2020)
YTD 1YR 3YR 5YR SI1
Hartford Multifactor Large Cap Index -13.79 --- --- --- -6.79
Performance (%)
% (as of 3/31/2020)
Average Annual Total Returns % (as of 3/31/2020)
YTD 1YR 3YR 5YR SI1
Hartford Multifactor Large Cap Index -22.41 --- --- --- -16.10

SI = Since Inception.
Index Inception:06/28/2019

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. 

Key Facts

Key Facts  (as of 6/5/2020)
Ticker LROLCX Index
Inception June 28, 2019
Current Index Value 1030.52
Last Closing Level 1005.15
Change 25.37
Change % 2.46%
52-Week-High 1117.57
52-Week-Low 720.67
Number Of Holdings 375

Important Notes

Hartford Multifactor Emerging Markets Equity 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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