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Hartford Multifactor Developed Markets (ex-US) ETF Performance Update

Ticker: RODM

Subscribe to this Quarterly Update

Performance Commentary

General Observations

  • Global equity markets continued their strong performance in the second quarter. The MSCI World ex-USA Index returned 3.79%, bringing its year-to-date return to 14.64%. RODM underperformed the MSCI World ex-USA Index by 1.80% in the second quarter.
  • RODM’s exposure to (low) volatility and (high) quality factors were its biggest contributors for the quarter, but were not enough to offset its exposures to (low) valuation and (small) size.
  • Relatively smaller companies underperformed their larger counterparts in the developed markets (ex-US) universe during the second quarter. RODM strives to improve diversification by reducing company concentration risks and broadening the opportunity set, which in turn delivers a significant exposure to the (small) size factor. This was its biggest detractor in the second quarter.
  • Value is the biggest component of RODM’s Value-Momentum-Quality selection model. Value underperformed during the second quarter, and was the other main detractor for RODM.

Key Statistics

Approach: Risk-first multifactor; systematic, rules-based

Asset Class: Developed Markets (ex-US)

AUM: $2.2 Billion (as of 6/30/19)

Underlying Index: Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index

Performance Index: MSCI World ex-USA Net Total Return Index

Peer Group: Morningstar US ETF Foreign Large Blend

Expense Ratio: 0.29%1

(Data as of 3/1/15 - 6/30/19)2

Absolute Analysis (NAV returns) RODM Performance Index
Average Annual Total Return (%) 5.65 3.36
Volatility (% annualized) 10.79 12.48
Relative Analysis (NAV returns) RODM Rank vs Peers (%)
Average Annual Total Return (%) 5.65 4%
Volatility (% annualized) 10.79 16%
Information Ratio 0.77 1%
Alpha (% annualized) 2.47 8%
Beta 0.85 77%
Sharpe Ratio (Rf=0) 0.47 4%
Sortino Ratio 0.72 8%
Upside Capture (%) 88.94 27%
Downside Capture (%) 73.10 16%
Overall Capture Ratio 1.22 8%

        = Top quartile or higher

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Please click here for standardized performance. 

Investment Attributes

Our results are largely driven by a process that emphasizes three key investment attributes while keeping costs low (29 bps).

  • Improve Diversification: Reduce concentration found in cap-weighted indices (less exposure to the most concentrated companies/countries)
  • Improve Valuation: Lower the valuation ratios while helping to protect against value traps by considering quality and momentum in addition to value
  • Emphasize client experience: Utilize broadened diversification and representative exposure to the universe to enable a strong investment return with a lower volatility profile than the index

1Expenses are the total annual fund operating expenses as shown in the most recent prospectus.

2Source: Morningstar, analysis: Hartford Funds as of 6/30/19. Peer group is Morningstar US ETF Foreign Large Blend. These rankings include only ETFs in the Foreign Large Blend category. ETF performance data based on NAV returns and are net of management fees and expenses. Period of analysis is from 3/1/15-6/30/19 with 27 ETFs ranked. From RODM’s inception date 2/25/15-6/30/19 there were 27 ETFs ranked. From 7/1/18-6/30/19 there were 59 ETFs ranked and 1-year RODM rank vs peers’ % are as follows: Average Annual Total Return 33%, Volatility 16%, Info Ratio 35%, Alpha 38%, Beta 84%, Sharpe Ratio 36%, Sortino Ratio 36%, Upside Capture 12%, Downside Capture 14%, Overall Capture Ratio 30%. Rank versus peers’ % for Volatility, Beta, Upside Capture and Downside Capture were adjusted for contextual consistency with all other metrics. Please refer to the RODM fact sheet for the fund’s standardized performance as well as additional important information.

Past performance is not a guarantee of future results.

Ordinary Brokerage commissions apply and will reduce returns.

Important Risks: Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. ● 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. ● Investments focused in a sector, industry or group of industries may increase volatility and risk. ● The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index. Diversification does not ensure a profit or protect against a loss in a declining market.

ETF Objective: Hartford Multifactor Developed Markets (ex-US) ETF (”RODM”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance of the Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (Bloomberg Ticker: LRODMX), which tracks the performance of companies located in major developed markets of Europe, Canada, and the Pacific Region.


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