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Hartford Risk-Optimized Multifactor US Equity Index

Objective

  • De-concentrate individual company exposures in large cap US equities
  • Seek improved returns and similar risk (relative to traditional capitalization-weighted US large-cap equity indices) over a complete market cycle.

Description of Methodology

The rules-based, proprietary methodology employs a multi-layered risk-controlled approach that seeks to lower concentration among individual stocks and enhance returns by emphasizing companies with favorable diversified risk premia expression, including valuation, momentum, and quality characteristics. 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

Holdings Characteristics
(as of 12/31/2017)
Fund
Price-to-Book 2.69
Price-to-Earnings 17.36
Return on Equity(%) 14.76
Debt to Equity 1.25
Dividend Yield(%) 1.89
Nominal Countries 1
Effective Countries 1
Nominal Companies 338
Effective Companies 188
Market Cap Distribution(%)
(as of 12/31/2017)
Index
Less than $2B 0.3
$2B - $10B 25.7
$10B - $100B 57.3
Greater than $100B 16.8

Top Ten Holdings (%)

(as of 12/31/2017)
Valero Energy Corp 1.51
Best Buy Co Inc 1.45
Marathon Petroleum Corp 1.32
HP Inc 1.29
VMware Inc 1.18
JPMorgan Chase & Co 1.10
Prudential Financial Inc 1.06
Wal-Mart Stores Inc 0.96
LyondellBasell Industries NV 0.96
Anthem Inc 0.94
Total of Top Ten Holdings 11.78

Holdings are subject to change. Percentages may be rounded.

Sector Exposure (%)
Sectors 11/30/2017 12/31/2017
Financials 17.9 17.9
Materials 5.0 5.1
Industrials 11.0 11.3
Health Care 15.0 14.5
Real-Estate 3.7 3.6
Energy 5.3 5.6
Telecommunication Services 1.5 1.6
Utilities 2.4 2.2
Consumer Discretionary 11.0 11.4
Consumer Staples 6.5 6.5
Information Technology 20.6 20.4

Performance

Performance (%)
% (as of 12/31/2017)
Average Annual Total Returns % (as of 12/31/2017)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Multifactor US Equity Index 22.81 22.81 10.75 --- 11.65
Performance (%)
% (as of 12/31/2017)
Average Annual Total Returns % (as of 12/31/2017)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Multifactor US Equity Index 22.81 22.81 10.75 --- 11.65

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 11.86
2015 -1.10
2014 14.39

Key Facts

Key Facts  (as of 1/17/2018)
Ticker LROUSLX Index
Inception December 31, 2013
Current Index Value $1640.1
Last Closing Level $1619.87
Change $20.23
Change % 1.25%
52-Week-High $1640.10
52-Week-Low $1273.30
Number Of Holdings 338

Important Notes

Hartford Risk-Optimized Multifactor US 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

There are risks associated with investing, including the possible loss of principal.

Sources for all data: Bloomberg and Hartford Funds.

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