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Hartford Multifactor Small Cap Index

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Objective

  • Provide diversified exposure to small cap companies in the US
  • 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, 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.
Holdings Characteristics
(as of 2/29/2020)
Fund
Price/Book 1.7x
Return on Equity 13.9%
Nominal Companies 349
Effective Companies 187
Nominal Countries 1
Effective Countries 1
Debt to Equity 101.1%
Index Dividend Yield (%) 2.41
Market Cap Distribution(%)
(as of 2/29/2020)
Index
Less than $2B 64
$2B - $10B 36
$10B - $100B 0
Greater than $100B 0

Top Ten Holdings (%)

(as of 2/29/2020)
SolarEdge Technologies Inc 1.64
Patterson Cos Inc 1.52
Cirrus Logic Inc. 1.34
Plexus Corp 1.21
Insight Enterprises Inc 1.20
Murphy USA Inc 1.14
Dick's Sporting Goods Inc. 1.10
Steelcase Inc. 1.08
Louisiana-Pacific Corp 1.03
BMC Stock Holdings Inc 1.00
Total of Top Ten Holdings 12.26
Sector Exposure (%)
Sectors 12/31/2019 2/29/2020
Health Care 16 17
Financials 15 16
Information Technology 16 16
Industrials 15 15
Consumer Discretionary 14 13
Real Estate 7 7
Consumer Staples 6 5
Materials 5 5
Communication Services 3 3
Energy 3 2
Utilities 2 2

Performance

Performance (%)
% (as of 2/29/2020)
Average Annual Total Returns % (as of 2/29/2020)
YTD 1YR 3YR 5YR SI1
Hartford Multifactor Small Cap Index -14.64 --- --- --- -5.49
Performance (%)
% (as of 12/31/2019)
Average Annual Total Returns % (as of 12/31/2019)
YTD 1YR 3YR 5YR SI1
Hartford Multifactor Small Cap Index --- --- --- --- 10.71

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 4/3/2020)
Ticker LROSCX Index
Inception June 28, 2019
Current Index Value 681.91
Last Closing Level 701.81
Change -19.90
Change % -2.92%
52-Week-High 1120.85
52-Week-Low 650.21
Number Of Holdings 349

Important Notes

Hartford Multifactor 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.

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