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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 3/31/2018)
Fund
Price-to-Book 2.61
Price-to-Earnings 16.02
Return on Equity(%) 16.24
Debt to Equity 1.28
Dividend Yield(%) 1.88
Nominal Countries 1
Effective Countries 1
Nominal Companies 354
Effective Companies 200
Market Cap Distribution(%)
(as of 3/31/2018)
Index
Less than $2B 0.2
$2B - $10B 27.5
$10B - $100B 56.9
Greater than $100B 15.5

Top Ten Holdings (%)

(as of 3/31/2018)
Valero Energy Corp 1.24
Centene Corp 1.23
VMware Inc 1.20
Micron Technology Inc. 1.15
HP Inc 1.12
Marathon Petroleum Corp 1.11
Best Buy Co Inc 0.95
LyondellBasell Industries NV 0.94
Express Scripts Holding Co 0.94
Prudential Financial Inc 0.92
Total of Top Ten Holdings 10.80

Holdings are subject to change. Percentages may be rounded.

Sector Exposure (%)
Sectors 2/28/2018 3/31/2018
Financials 17.8 17.6
Materials 5.0 5.0
Health Care 14.8 14.9
Real-Estate 3.5 3.6
Energy 5.0 6.1
Industrials 11.1 10.2
Telecommunication Services 1.4 1.4
Utilities 2.0 2.3
Consumer Staples 6.2 6.8
Consumer Discretionary 11.4 10.8
Information Technology 21.7 21.3

Performance

Performance (%)
% (as of 3/31/2018)
Average Annual Total Returns % (as of 3/31/2018)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Multifactor US Equity Index -0.08 17.67 9.83 --- 10.92
Performance (%)
% (as of 3/31/2018)
Average Annual Total Returns % (as of 3/31/2018)
YTD 1YR 3YR 5YR SI1
Risk-Optimized Multifactor US Equity Index -0.08 17.67 9.83 --- 10.92

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 4/23/2018)
Ticker LROUSLX Index
Inception December 31, 2013
Current Index Value 1568.59
Last Closing Level 1568.93
Change -0.34
Change % -0.02%
52-Week-High 1677.50
52-Week-Low 1315.46
Number Of Holdings 354

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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