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The Factor Report

2Q20: What's driving factor performance?

Jump to chart out of 15 GO »

Structural Factor Performance: Regions, Sectors, and Size

Performance of 16 developed markets:
Largest market cap to smallest


Developed markets returns were largely negative over a 1-year period (as of 3/31/20)

Country portfolios are capitalization-weighted with free-float market cap. The portfolios are theoretical and assume no fees, trading costs, or short-selling restrictions. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes, or transaction costs. A simple average was used to calculate the return for countries in the “Other” category. MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance developed markets. MSCI performance is shown net of dividend withholding tax. MSCI World Index weightings are rounded. Data source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change. Indices are unmanaged and not available for direct investment.

Past performance does not guarantee future results.

Structural Factor Performance: Regions, Sectors, and Size

Performance of 15 emerging markets:
Largest market cap to smallest


Emerging Markets experienced a difficult 1stquarter, with Taiwan being the only positive contributor over a 1-year period (as of 3/31/20)

Country portfolios are capitalization-weighted with free-float market cap. The portfolios are theoretical and assume no fees, trading costs, or any short selling restrictions. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends butnot interest, capital gains, taxes, or transaction costs. MSCI EM Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance in the global emerging markets. MSCI performance is shown net of dividend withholding tax. MSCI Emerging Markets Index weightings are rounded. Data source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change. Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Structural Factor Performance: Regions, Sectors, and Size

The cyclical nature of US sector performance


The US market rally stalled, as all sectors were in negative territory in the first quarter (as 3/31/20).

The chart ranks the performance of various sectors using the US universe as defined by Hartford Funds. To be included in the universe, a stock must have had an average daily trading volume over the last 6 months > $1.5 million and a total market capitalization > $500 million, resulting in a universe of approximately 2,500 stocks. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Structural Factor Performance: Regions, Sectors, and Size

US market returns (%) by size quintiles


The larger companies have consistently outperformed smaller companies over time, although small/midcap companies slightly outperformed midcaps. (as of 3/31/20)

The chart illustrates the performance of companies ranked by size using the US universe as defined by Hartford Funds. To be included in the universe, a stock must have had an average daily trading volume over the last 6 months > $1.5 million and a total market capitalization > $500 million, resulting in a universe of approximately 2,500 stocks. Each quintile represents 20% of the universe. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Structural Factor Performance: Regions, Sectors, and Size

The cyclical nature of developed markets sector (ex US) performance


All sectors were negative for the first quarter, although healthcare proved to be more resilient (as of 3/31/20).

The chart ranks the performance of various sectors using the developed markets (ex US) universe as defined by Hartford Funds. To be included in the universe, a stock must have had an average daily trading volume over the last 6 months > $1.5 million and a total market capitalization >$500 million, resulting in a universe of approximately 2,500 stocks. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Structural Factor Performance: Regions, Sectors, and Size

Developed markets (ex US) returns (%) by size quintiles


Larger companies experienced less drawdown for the quarter, and maintained strong performance over the long-term (as of 3/31/20).

The chart illustrates the performance of companies ranked by size using the developed markets ex US universe as defined by Hartford Funds. To be included in the universe, a stock must have had an average daily trading volume over the last 6 months > $1.5 million and a total market capitalization > $500 million,resulting in a universe of approximately 2,500 stocks. Each quintile represents 20% of the universe. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Factor Performance: US Markets

The cyclical nature of factor returns: US equities


US equity factor returns, January 2010 through March 31, 2020

See the Glossary below for definitions.
The chart ranks the performance of various factors using the US universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 2,500 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly.Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. Data Sources: Compustatand MSCI. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change. MSCI USA Index is designed to measure the performance of the large-and mid-cap segments of the US market. MSCI performance is shown gross of dividend withholding tax. Annual Returns for MSCI USA Index are shown from 1/1/10 to 3/31/2020. Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Factor Performance: US Markets

Q1 factor performance: US Markets


Low Volatility led the way during this quarter, with Value and Small Size lagging substantially (as of 3/31/20)

See the Glossary below for definitions.
The chart illustrates the performance of various factors using the US universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 2,500 companies. The portfolios aretheoretical and assume no fees or trading costs. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends butnot interest, capital gains, taxes, or transaction costs. Market return is represented by the MSCI USA Index, which is designed to measure the performance of the large-and mid-cap segments of the US market. MSCI performance is shown gross of dividend withholding tax.

Data Sources: Compustat and MSCI. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Factor Performance: US Markets

Historical factor returns: US Markets


Value was the biggest detractor year-to-date. Low Volatility has minimized downside in the short-term and has delivered strong relative growth long term (as of 3/31/20).

The chart illustrates the performance of various factors using the US universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 2,500 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Factor Performance: US Markets

Range of factor returns: Current vs historical: US Markets


Low Volatility delivered the strongest performance year-to-date, with Value and Small Size falling into negative territory (as of 3/31/20).

The chart illustrates the performance of various factors using the US universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 2,500 companies.

Past performance does not guarantee future results.

Factor Performance: US Markets

Value and momentum sub-factor returns: US Markets


(as of 3/31/20)

See the Glossary below for definitions.
Earnings Yield and Dividend Yield refer to the impact of specific underlying stocks on the performance of the hypothetical portfolios and do not reflect the earnings yield or dividend yield of Hartford ETFs or their indices. Short-term momentum measures recent price appreciation over the last 6 months, excluding the most recent month, and long-term momentum measures recent price appreciation over the last 12 months, excluding the most recent month.
The chart illustrates the sub-factor returns of value and momentum factors using the US universe as defined by Hartford Funds. The chart ranks the performance of value and momentum sub-factors using the US universe as defined by Hartford Funds. Sub-factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 2,500 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly.Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. The Cap-Weighted US universe, as defined by Hartford Funds, includes approximately 2,500 stocks as ranked by total market cap. Components are weighted according to the total market value of their outstanding shares. MSCI USA Index is designed to measure the performance of the large-and mid-cap segments of the US market. MSCI performance is shown gross of dividend withholding tax. Data Source: Compustatand MSCI. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Factor Performance: Developed Markets (ex US)

Q1 factor performance: Developed Markets (ex US)


Momentum, Quality, and Low Volatility delivered positive results, while Value and Small Size were negative for the quarter (as of 3/31/20).

The chart illustrates the performance of various factors using the developed markets (ex US) universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 3,000 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. Market return is represented by the MSCI World ex USA Index, which captures large-and mid-cap representation across 22 of 23 developed market countries excluding the United States. MSCI performance is shown net of dividend withholding tax. Data Sources: MSCI and Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Factor Performance: Developed Markets (ex US)

Historical factor returns: Developed Markets (ex US)


Value and Small Size were significantly out of favor, with Low Volatility being rewarded the most over the short term (as of 3/31/20).

The chart illustrates the performance of various factors using the developed markets (ex US) universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 3,000 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Factor Performance: Developed Markets (ex US)

Range of factor returns: Current vs historical: Developed Markets (ex US)


Momentum, Low Volatility, and Quality delivered positive growth for the quarter, while the remaining factors lagged over the same time period.

The chart illustrates the performance of various factors using the developed markets (ex US) universe as defined by Hartford Funds. Factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 3,000 companies. The portfolios are theoretical and assume no fees or trading costs. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. Data Source: Compustat. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Past performance does not guarantee future results.

Factor Performance: Developed Markets (ex US)

Value and momentum sub-factor returns: Developed Markets (ex US)


(as of 3/31/20)

See the Glossary below for definitions.
Earnings Yield and Dividend Yield refer to the impact of specific underlying stocks on the performance of the hypothetical portfolios and do not reflect the earnings yield or dividend yield of Hartford ETFs or their indices. Short-term momentum measures recent price appreciation over the last 6 months, excluding the most recent month, and long-term momentum measures recent price appreciation over the last 12 months, excluding the most recent month.
The chart illustrates the performance of value and momentum sub-factors using the developed markets (ex US) universe as defined by Hartford Funds. Sub-factor returns are represented by the performance differential between a quintile 1 portfolio (companies with factor scores in the top 20%) and a quintile 5 portfolio (companies with factor scores in the bottom 20%). Companies within each quintile portfolio are equally weighted. Portfolios are reconstituted monthly. Eligible companies have a total market capitalization of at least $500 million and an average daily trading volume of at least $1.5 million over the last six months, resulting in approximately 3,000 companies. The portfolios are theoretical and assume no fees, trading costs, or any short selling restrictions. Actual results may differ significantly. Performance is based on annual “total returns,” which includes reinvested dividends but not interest, capital gains, taxes or transaction costs. The Cap-Weighted Developed Markets (ex-US) universe, as defined by Hartford Funds, includes approximately 2,500 companies across 22 countries. Components are weighted according to the total market value of their outstanding shares. MSCI World ex USA Index captures large andmid cap representation across 22 of 23 developed market countries excluding the United States. MSCI performance is shown net of dividend withholding tax. Data Sources: Compustatand MSCI. Calculations by Hartford Funds. For illustrative purposes only. Results are subject to change.

Indices are unmanaged and not available for direct investment. Past performance does not guarantee future results.

Performance of 16 developed markets: Largest market cap to smallest

Performance of 15 emerging markets: Largest market cap to smallest

The cyclical nature of US sector performance

US market returns (%) by size quintiles

The cyclical nature of developed markets (ex US) sector performance

Developed markets (ex US) returns (%) by size quintiles

The cyclical nature of factor returns

Q1 factor performance

Historical factor returns

Range of factor returns: Current vs historical

Value and momentum sub-factor returns

Q1 factor performance

Historical factor returns

Range of factor returns: Current vs historical

Value and momentum sub-factor returns

Glossary of terms:

Beta is a measure of risk that indicates the price sensitivity of a security or a portfolio relative to a specified market index.
Correlation is a statistical measure of how two investments move in relation to each other. A correlation of 1.0 indicates the investments have historically moved in the same direction; a correlation of -1.0 means the investments have historically moved in opposite directions; and a correlation of 0 indicates no historical relationship in the movement of the investments.
Dividend Yield is a ratio that indicates how much a company pays out in dividends each year relative to its share price.
Earnings Per Share is a ratio that gauges how profitable a company is per share of its stock.
Earnings Yield is the earnings per share for the most recent 12-month period divided by the current market price per share. The earnings yield (which is the inverse of the P/E ratio) shows the percentage of each dollar invested in the stock that was earned by the company.
EBIDTA (earnings before interest, tax, depreciation and amortization) is a way to measure a company’s operating performance without having to factor in financing decisions, accounting decisions, or tax environments.
Enterprise Value is a measure of a company’s total value, often used as a more comprehensive alternative to equity market capitalization. The market capitalization of a company is its share price multiplied by the number of outstanding shares. Enterprise value is calculated as the market capitalization plus debt, minority interest, and preferred shares, minus total cash and cash equivalents.
Excess Factor Performance is the performance of factor-based portfolios relative to a benchmark (e.g., MSCI Indexes).
Operating Cash Flow is a measure of the amount of cash generated by a company’s normal business operations and is used as an indicator of whether a company is able to generate sufficient positive cash flow to maintain and grow its operations. This metric is believed to be a more accurate measure of how much cash a company has generated or used than traditional profitability measures such as net income or EBIT (earnings before interest and tax).
Price-to-book ratio is the ratio of a stock’s price to its book value per share.
Risk Premia is the return in excess of a risk-free rate of return that an investment generates.
Sharpe Ratio measures risk-adjusted performance. A higher Sharpe ratio indicates better its risk-adjusted performance, while a negative Sharpe ratio indicates that a risk-free asset would have performed better than the security being analyzed.
Standard Deviation measures the dispersion of a set of data from its mean and is used to measure the volatility of an investment. A high standard deviation indicates an investment has historically been more volatile, while a low standard deviation indicates an investment has historically been less volatile.


Important Risks: Investing involves risk, including the possible loss of principal. ● Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets. ● Small and mid‐cap securities can have greater risks and volatility than large‐cap securities. ● Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall. Diversification does not ensure a profit or protect against a loss in a declining market.

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The Indexes are calculated and distributed by Solactive AG, a firm retained and paid by the Indexes’ Provider (Lattice Strategies). Lattice Strategies is responsible for the methodology and selection of each index component. The Indexes are calculated as price and total return indexes.

Various indexes are included for reference. Reference to an index or benchmark does not imply that the strategy will achieve returns, experience volatility, or have other results similar to the index. Indexes do not include fees and expenses typically associated with client accounts and an investor cannot invest directly in an index. Bloomberg is the source for index data. Indexes do not necessarily reflect liquidity and/or tradability constraints.

The MSCI World ex USA Index is a free float-adjusted market capitalization index that is designed to measure global equity performance. The MSCI USA Index is a free float-adjusted market capitalization index designed to measure large and mid cap segments of the US. The MSCI ACWI Small Cap Index is a free float-adjusted market capitalization index that is designed to measure global small cap equity performance. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure emerging markets equity performance. The MSCI US REIT Index is a free float-adjusted market capitalization index that is comprised of equity REITs.

The MSCI information may only be used for your internal use, may not be reproduced or re-disseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties or originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)

Hartford Funds does not provide legal or tax advice; please consult your own legal and tax advisers for information regarding the legal and tax consequences of any investment. Investors should consult with an investment advisor; investment decisions should be made based on the investor’s specific financials needs and objectives, goals, time horizon and risk tolerance.


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