HARTFORD FUNDS EXCHANGE-TRADED TRUST
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment
Company Act file number: 811-23222
HARTFORD FUNDS EXCHANGE-TRADED TRUST
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania
19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon,
Esquire
Dechert LLP
One
International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110-2605
Registrant’s telephone number, including area code: (610) 386-4068
Date of fiscal year end: July 31
Date of reporting
period: January 31, 2024
Form N-CSR is to be used by management investment companies to file
reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of
1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will
make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget
(“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
Hartford
Active ETFs
Semi-Annual
Report
January 31, 2024
(Unaudited)
| ■ Hartford Core Bond ETF |
| ■ Hartford Large Cap Growth ETF |
| ■ Hartford Municipal Opportunities ETF |
| ■ Hartford Schroders Commodity Strategy ETF |
| ■ Hartford Schroders Tax-Aware Bond ETF |
| ■ Hartford Short Duration ETF* |
| ■ Hartford Sustainable Income ETF |
| ■
Hartford Total Return Bond ETF |
|
* |
Effective
February 12, 2024, the fund changed its name to Hartford AAA CLO ETF. |
A MESSAGE FROM THE PRESIDENT
Dear Shareholders
Thank you for investing in Hartford
Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report for the period from August 1, 2023 to January 31, 2024.
Market Review
During the six months ended January 31,
2024, U.S. stocks, as measured by the S&P 500 Index,1 gained 6.43%. The period covered by this report began with a disappointing series of equity losses followed by a
remarkable upward reversal in sentiment—attributable in large measure to strong signals from the U.S. Federal Reserve (Fed) that its nearly two-year-long inflation-fighting campaign of interest-rate hikes would give way to cuts in the federal
funds rate sometime in 2024.
In early August
2023, markets were coming off a string of strong performances, fueled by the steady drumbeat of encouraging progress against inflation and by excitement generated by a handful of growth stocks tied to artificial-intelligence technology. But the
summer rally fizzled as markets reacted negatively to both a late-summer surge in U.S. Treasury yields and to repeated reaffirmations by Fed policymakers that interest rates would remain “higher for longer.”
Equities began to recover in November 2023 as a stream of
strong economic data—shrinking inflation, low unemployment, relatively steady wage growth, strong labor-force participation—eased fears that the Fed might engineer an unwanted recession in its efforts to slow the economy. In December
2023, investor optimism surged as the Fed held its federal funds rate steady while publicly hinting at the possibility of rate cuts sometime in 2024.
A year-end equity rally continued into early 2024, helping
the S&P 500 Index close at a new all-time record high of 4,927.93 on January 29, 2024. But even as markets were setting new performance benchmarks, Fed Chair Powell sought to dampen expectations for immediate rate cuts by emphasizing the
Fed’s need for evidence of progress toward achieving its 2% inflation target.
During the period, markets showed resilience in the face of
several geopolitical challenges—notably, the outbreak of war between Israel and Hamas in Gaza following the Hamas attacks of October 7, 2023. The war gave rise to a number of related impacts, including mounting threats to regional stability
from attacks on commercial ships and U.S. troops in the region by Iranian-backed proxy fighters, which could negatively affect global supply chains.
In the weeks and months ahead, markets will likely be
focused on whether the Fed is truly prepared to begin cutting interest rates and on whether policymakers can achieve the soft-landing scenario of low inflation minus a recession. With market volatility likely to persist, it’s more important
than ever to maintain a strong relationship with your financial professional.
Thank you again for investing in Hartford Exchange-Traded
Funds. For the most up-to-date information on our funds, please take advantage of all the resources available at hartfordfunds.com.
James Davey
President
Hartford Funds
| 1 |
S&P 500 Index is a
market capitalization-weighted price index composed of 500 widely held common stocks. Indices are unmanaged and not available
for direct investment. Past performance does not guarantee future results. |
Fund Overview
January 31,
2024 (Unaudited)
Inception
02/19/2020
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks to provide long-term total return. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
Since
Inception2 |
| Core
Bond ETF (NAV Return) |
3.87%
|
3.22%
|
-1.04%
|
| Core
Bond ETF (Market Price Return) |
3.78%
|
2.99%
|
-1.02%
|
| Bloomberg
US Aggregate Bond Index |
3.15%
|
2.10%
|
-1.29%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
02/19/2020 |
Information regarding how
often shares of the Fund traded on Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. The Fund may allocate a portion of its assets to specialist portfolio managers, which may not work
as intended. • Fixed income security risks include credit, liquidity, call, duration, event, and interest-rate risk. As interest rates rise, bond prices generally fall. • Derivatives are generally more volatile and sensitive to changes
in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, regulatory, and counterparty risk. • 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,
economic and regulatory developments. • The risks associated with
mortgage-related and asset-backed securities as well as collateralized loan obligations (CLOs) include credit, interest-rate, prepayment, liquidity, default and extension risk. • The purchase of securities in the To-Be-Announced (TBA) market
can result in higher portfolio turnover and related expenses as well as price and counterparty risk. • Restricted securities may be more difficult to sell and price than other securities. • Obligations of U.S. Government agencies are
supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. • In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather
than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Category
|
Percentage
of
Net Assets |
| Fixed
Income Securities |
|
| Asset
& Commercial Mortgage-Backed Securities |
26.7%
|
| Corporate
Bonds |
30.1
|
| Foreign
Government Obligations |
1.8
|
| Municipal
Bonds |
0.8
|
| U.S.
Government Agencies(2) |
36.4
|
| U.S.
Government Securities |
22.1
|
| Total
|
117.9%
|
| Short-Term
Investments |
1.1
|
| Other
Assets & Liabilities |
(19.0)
|
| Total
|
100.0%
|
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Hartford
Large Cap Growth ETF
Fund Overview
January 31,
2024 (Unaudited)
Inception
11/09/2021
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks capital appreciation. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
Since
Inception2 |
| Large
Cap Growth ETF (NAV Return) |
8.05%
|
32.92%
|
-6.25%
|
| Large
Cap Growth ETF (Market Price Return) |
8.24%
|
32.87%
|
-6.21%
|
| Russell
1000 Growth Index3 |
9.65%
|
34.99%
|
1.92%
|
| Russell
1000 Index3 |
6.30%
|
20.23%
|
2.05%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
11/09/2021 |
|
3 |
The
Russell 1000 Growth Index serves as the Fund's performance index because the Fund's investment manager believes it is more representative of the Fund's investment strategy. The Russell 1000 Index serves as the Fund's regulatory index and provides a
broad measure of market performance. |
Information regarding how often shares of the Fund traded on
Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.60%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended
01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. • Different investment styles may go in and out of favor, which may cause the Fund to
underperform the broader stock market. • 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,
economic and regulatory developments. • To the extent the Fund focuses
on one or more sectors, the Fund may be subject to increased volatility and risk of loss if adverse developments occur. • Because the Fund is non-diversified, it may invest in a smaller number of issuers, and may be more exposed to risks and
volatility than a more broadly diversified fund. • In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more
fees than an ETF that primarily or wholly effects creations and redemptions in-kind. • The Fund may have high portfolio turnover, which could increase its transaction costs and an investor's tax liability.
| Composition
by Sector(1) |
| as
of 01/31/2024 |
| Sector
|
Percentage
of Net Assets |
| Equity
Securities |
|
| Communication
Services |
18.2%
|
| Consumer
Discretionary |
12.3
|
| Consumer
Staples |
0.9
|
| Energy
|
0.6
|
| Financials
|
5.3
|
| Health
Care |
11.0
|
| Industrials
|
3.5
|
| Information
Technology |
45.3
|
| Materials
|
0.9
|
| Total
|
98.0%
|
| Short-Term
Investments |
1.7
|
| Other
Assets & Liabilities |
0.3
|
| Total
|
100.0%
|
|
(1) |
A sector
may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
Hartford
Municipal Opportunities ETF
Fund Overview
January 31,
2024 (Unaudited)
Inception
12/13/2017
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks to provide current income that is generally exempt from federal income taxes and long-term total return. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
5
Years |
Since
Inception2 |
| Municipal
Opportunities ETF (NAV Return) |
3.69%
|
4.02%
|
2.36%
|
2.37%
|
| Municipal
Opportunities ETF (Market Price Return) |
3.75%
|
4.00%
|
2.39%
|
2.38%
|
| Bloomberg
Municipal Bond 1-15 Year Blend (1-17) Index3 |
2.54%
|
2.54%
|
1.91%
|
1.97%
|
| Bloomberg
Municipal Bond Index3 |
2.70%
|
2.90%
|
2.00%
|
1.99%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
12/13/2017 |
|
3 |
The
Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index serves as the Fund's performance index because the Fund's investment manager believes it is more representative of the Fund's investment strategy. The Bloomberg Municipal Bond Index serves as the
Fund's regulatory index and provides a broad measure of market performance. |
Information regarding how often shares of the Fund traded on
NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. •
Municipal
securities may be adversely impacted by state/local, political, economic, or
market conditions. Investors may be subject to the federal Alternative Minimum Tax as well as state and local income taxes. Capital gains, if any, are taxable. •
Fixed income security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall. •
Investments in high-yield ("junk") bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities. • In certain
instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and
redemptions in-kind. • Integration of environmental, social, and/or governance (ESG) characteristics into the investment process may not work as intended.
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Municipal
Bonds |
Percentage
of
Net Assets |
| Airport
|
8.9%
|
| Development
|
4.1
|
| Education
|
1.0
|
| Facilities
|
0.3
|
| General
Obligation |
7.8
|
| Higher
Education |
5.1
|
| Housing
|
1.2
|
| Medical
|
11.3
|
| Multifamily
Housing |
0.7
|
| Nursing
Homes |
3.9
|
| Other
(2) |
20.0
|
| Pollution
|
0.3
|
| Power
|
7.7
|
| School
District |
7.0
|
| Single
Family Housing |
3.3
|
| Student
Loan |
0.8
|
| Tobacco
|
1.2
|
| Transportation
|
6.6
|
| Utilities
|
1.0
|
| Water
|
3.2
|
| Total
|
95.4%
|
| U.S.
Government Agencies(3) |
0.2
|
| Short-Term
Investments |
0.8
|
| Other
Assets & Liabilities |
3.6
|
| Total
|
100.0%
|
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
Other
refers to Special Tax District Bonds, Tax Increment Bonds and certain Community Development District bonds. |
|
(3) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Hartford
Schroders Commodity Strategy ETF (Consolidated)
Fund Overview
January 31,
2024 (Unaudited)
Inception
09/14/2021
Sub-advised by Schroder Investment Management North America Inc. and its sub-sub-adviser, Schroder Investment Management North America Limited |
Investment
objective – The Fund seeks to provide long-term total return. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
Since
Inception2 |
| Commodity
Strategy ETF (NAV Return) |
-6.14%
|
-7.88%
|
1.58%
|
| Commodity
Strategy ETF (Market Price Return) |
-6.16%
|
-8.13%
|
1.51%
|
| Bloomberg
Commodity Index Total Return3 |
-5.64%
|
-7.09%
|
3.60%
|
| S&P
500 Index3 |
6.43%
|
20.82%
|
5.36%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
09/14/2021 |
|
3 |
The
Bloomberg Commodity Index Total Return serves as the Fund's performance index because the Fund's investment manager believes it is more representative of the Fund's investment strategy. The S&P 500 Index serves as the Fund's regulatory index and
provides a broad measure of market performance. |
Information regarding how often shares of the Fund traded on
NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio after Fee Waiver
as shown in the Fund’s most recent prospectus was 0.60% and total annual fund operating expense ratio was 0.71%. Expenses shown include expenses of the Cayman Islands subsidiary. Expenses shown also include acquired fund fees and expenses.
Gross expenses do not reflect contractual fee waiver arrangements with respect to the Fund’s investment in its Cayman Islands subsidiary. Net expenses reflect such arrangements in instances when they reduce gross expenses. The fee waiver
remains in effect for as long as the Fund is invested in the Cayman Islands subsidiary. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may
fluctuate due to changes in the relative supply of and demand for the shares
on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. • Investments in the commodities market may increase the Fund's liquidity risk, volatility and risk of loss if adverse
developments occur. • Investments linked to prices of commodities may be considered speculative. Significant exposure to commodities may subject the Fund to greater volatility than traditional investments. The value of such instruments may be
volatile and fluctuate widely based on a variety of factors. • Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index,
pricing, regulatory, and counterparty risk. • By investing in a Cayman subsidiary, the Fund is indirectly exposed to the risks associated with a non-U.S. subsidiary and its investments. • To the extent the Fund focuses on one or more
sectors, the Fund may be subject to increased volatility and risk of loss if adverse developments occur. • Investments may also be subject to interest-rate and credit risks. • In certain instances, unlike other ETFs, the Fund may effect
creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind. • The Fund may have high
portfolio turnover, which could increase its transaction costs and an investor’s tax liability. • Integration of environmental, social, and/or governance (ESG) characteristics into the investment process may not work as intended.
| Composition
by Sector(1) |
| as
of 01/31/2024 |
| Sector
|
Percentage
of Net Assets |
| Equity
Securities |
|
| Materials
|
2.5%
|
| Short-Term
Investments |
88.8
|
| Other
Assets & Liabilities |
8.7
|
| Total
|
100.0%
|
|
(1) |
A sector
may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system. These sector classifications are used for financial reporting purposes. |
Hartford
Schroders Tax-Aware Bond ETF
Fund Overview
January 31,
2024 (Unaudited)
Inception
04/18/2018
Sub-advised by Schroder Investment Management North America Inc.
and its sub-sub-adviser, Schroder Investment Management North America Limited |
Investment
objective – The Fund seeks total return on an after-tax basis. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
5
Years |
Since
Inception2 |
| Tax-Aware
Bond ETF (NAV Return) |
2.96%
|
2.78%
|
1.83%
|
2.07%
|
| Tax-Aware
Bond ETF (Market Price Return) |
3.38%
|
3.14%
|
1.98%
|
2.15%
|
| Bloomberg
Municipal Bond Index |
2.70%
|
2.90%
|
2.00%
|
2.25%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
04/18/2018 |
Information regarding how
often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.40%. Expenses shown include acquired fund fees and expenses. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended
01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. • Fixed income
security risks include credit, liquidity, call, duration, and interest-rate risk. As interest rates rise, bond prices generally fall. • The risks associated with
mortgage-related and asset-backed securities include credit, interest-rate, prepayment, liquidity, default and extension risk. • The purchase of securities in the
To-Be-Announced (TBA) market
can result in higher portfolio turnover and related expenses as well as price
and counterparty risk. • Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. • Municipal securities may be adversely impacted by state/local, political, economic, or market conditions; these risks may be magnified if the Fund focuses its assets in
municipal securities of issuers in a few select states. Investors may be subject to the federal Alternative Minimum Tax as well as state and local income taxes. Capital gains, if any, are taxable. • Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, regulatory, and
counterparty risk. • 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, economic and regulatory developments. • In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash,
rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind. •
The Fund may have high portfolio turnover, which could increase its transaction costs and an investor’s tax liability. • Integration of environmental, social, and/or governance (ESG) characteristics into the investment process may
not work as intended.
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Category
|
Percentage
of
Net Assets |
| Fixed
Income Securities |
|
| Corporate
Bonds |
2.3%
|
| Municipal
Bonds |
80.1
|
| U.S.
Government Securities(2) |
8.6
|
| Total
|
91.0%
|
| Short-Term
Investments |
8.1
|
| Other
Assets & Liabilities |
0.9
|
| Total
|
100.0%
|
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Hartford
Short Duration ETF*
Fund Overview
January 31,
2024 (Unaudited)
| *
|
Effective February 12, 2024,
Short Duration ETF changed its name, investment objective, principal investment strategy, portfolio management team, and performance benchmark as well as reduced its management fee rate. The Fund's new name is Hartford AAA CLO ETF. Please see the
Short Duration ETF's prospectus supplement for additional information. |
Inception
05/30/2018
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks to provide current income and long-term total return. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
5
Years |
Since
Inception2 |
| Short
Duration ETF (NAV Return) |
4.60%
|
6.05%
|
2.61%
|
2.63%
|
| Short
Duration ETF (Market Price Return) |
4.21%
|
6.10%
|
2.59%
|
2.64%
|
| Bloomberg
1-3 Year US Government/Credit Index3 |
3.41%
|
4.18%
|
1.51%
|
1.67%
|
| Bloomberg
US Aggregate Bond Index3 |
3.15%
|
2.10%
|
0.83%
|
1.21%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
05/30/2018 |
|
3 |
The
Bloomberg 1-3 Year US Government/Credit Index serves as the Fund's performance index because the Fund's investment manager believes it is more representative of the Fund's investment strategy. The Bloomberg US Aggregate Bond Index serves as the
Fund's regulatory index and provides a broad measure of market performance. |
Information regarding how often shares of the Fund traded on
Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.29%. Effective as of February 12, 2024, the management fee rate for the Fund, which changed its name to Hartford AAA CLO ETF as of that same date, was 0.24%. Actual expenses may be higher or lower.
Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specific index. The Fund may allocate a portion of its assets to specialist portfolio managers which may not work as
intended. • Fixed income security risks include credit, liquidity, call, duration, event, and interest-rate risk. As interest rates rise, bond prices generally fall. • Loans can be difficult to value and less liquid than other types of
debt instrument; they are also subject to nonpayment, collateral, bankruptcy, default, extension, prepayment and insolvency risks. • The risks associated with mortgage-related and asset-backed securities as well as collateralized loan
obligations (CLOs) include credit, interest-rate, prepayment, liquidity, default and extension risk. • Investments in high-yield (“junk”) bonds involve greater risk of price volatility, illiquidity, and default than higher-rated
debt securities. • Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, regulatory, and counterparty risk.
• 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, economic and regulatory developments. • Restricted securities may be more
difficult to sell and price than other securities. • Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. • In certain
instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and
redemptions in-kind.
Hartford
Short Duration ETF*
Fund Overview – (continued)
January 31, 2024 (Unaudited)
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Category
|
Percentage
of
Net Assets |
| Fixed
Income Securities |
|
| Asset
& Commercial Mortgage-Backed Securities |
25.9%
|
| Corporate
Bonds |
40.9
|
| Senior
Floating Rate Interests |
0.1
|
| U.S.
Government Agencies(2) |
4.9
|
| U.S.
Government Securities |
10.4
|
| Total
|
82.2%
|
| Short-Term
Investments |
3.1
|
| Other
Assets & Liabilities |
14.7
|
| Total
|
100.0%
|
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Hartford
Sustainable Income ETF
Fund Overview
January 31,
2024 (Unaudited)
Inception
09/21/2021
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks to provide current income and long-term total return, within a sustainability framework. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
Since
Inception2 |
| Sustainable
Income ETF (NAV Return) |
5.43%
|
6.52%
|
-2.12%
|
| Sustainable
Income ETF (Market Price Return) |
5.34%
|
6.53%
|
-1.95%
|
| Bloomberg
US Aggregate Bond Index |
3.15%
|
2.10%
|
-4.09%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
09/21/2021 |
Information regarding how
often shares of the Fund traded on Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.54%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. • Fixed income security risks include credit, liquidity, call, duration, and interest-rate
risk. As interest rates rise, bond prices generally fall. • Investments in high-yield ("junk") bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities. • 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, economic and regulatory developments. These risks may be greater, and include additional risks, for investments in
emerging
markets. • Derivatives are generally more volatile and sensitive to
changes in market or economic conditions than other securities; their risks include currency, leverage, liquidity, index, pricing, regulatory, and counterparty risk. • The risks associated with mortgage-related and asset-backed securities
include credit, interest-rate, prepayment, liquidity, default and extension risk. • The purchase of securities in the To-Be-Announced (TBA) market can result in higher portfolio turnover and related expenses as well as price and counterparty
risk. • Restricted securities may be more difficult to sell and price than other securities. • Loans can be difficult to value and less liquid than other types of debt instruments; they are also subject to nonpayment, collateral,
bankruptcy, default, extension, prepayment and insolvency risks. • Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. •
Applying sustainability framework to the investment process may result in foregoing certain investments and underperformance comparative to funds that do not have a similar focus. There is a risk that the securities identified by the sub-adviser as
meeting its sustainable investing framework do not operate as anticipated. • In certain instances, unlike other ETFs, the Fund may effect creations and redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less
tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind. • The Fund may have high portfolio turnover, which could increase its transaction costs and an investor's tax liability.
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Category
|
Percentage
of
Net Assets |
| Equity
Securities |
|
| Common
Stocks |
0.0%
* |
| Preferred
Stocks |
0.1
|
| Total
|
0.1%
|
| Fixed
Income Securities |
|
| Asset
& Commercial Mortgage-Backed Securities |
8.6%
|
| Convertible
Bonds |
3.1
|
| Corporate
Bonds |
42.5
|
| Foreign
Government Obligations |
6.2
|
| Senior
Floating Rate Interests |
10.2
|
| U.S.
Government Agencies(2) |
12.3
|
| U.S.
Government Securities |
24.0
|
| Total
|
106.9%
|
| Short-Term
Investments |
1.0
|
| Other
Assets & Liabilities |
(8.0)
|
| Total
|
100.0%
|
|
* |
Percentage rounds
to zero. |
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Hartford
Total Return Bond ETF
Fund Overview
January 31,
2024 (Unaudited)
Inception
09/27/2017
Sub-advised by Wellington Management Company LLP |
Investment
objective – The Fund seeks a competitive total return, with income as a secondary objective. |
| Average
Annual Total Returns |
| for
the Periods Ended 01/31/2024 |
| |
Six
Months1 |
1
Year |
5
Years |
Since
Inception2 |
| Total
Return Bond ETF (NAV Return) |
4.09%
|
3.45%
|
1.48%
|
1.40%
|
| Total
Return Bond ETF (Market Price Return) |
3.99%
|
3.14%
|
1.53%
|
1.41%
|
| Bloomberg
US Aggregate Bond Index |
3.15%
|
2.10%
|
0.83%
|
0.90%
|
|
1 |
Not
annualized. |
|
2 |
Inception:
09/27/2017 |
Information regarding how
often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT
GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the
deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent
month-end, please visit our website hartfordfunds.com.
Total returns for the report period presented in the table may
differ from the return in the Financial Highlights. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally
accepted accounting principles.
ETF shares are bought and
sold at market price, not net asset value (NAV). Total returns are calculated using the daily 4:00 p.m. Eastern Time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares
are listed. Market price returns do not represent the returns an investor would receive if they traded shares at other times. Brokerage commissions apply and will reduce returns.
The index is unmanaged, and its results include reinvested
dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.
You cannot invest directly in an index.
See "Benchmark Glossary" for benchmark descriptions.
The total annual fund operating expense ratio as shown in the
Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended 01/31/2024.
Important Risks
Investing involves risk, including the possible loss of principal. The net
asset value (NAV) of the Fund's shares may fluctuate due to changes in the market value of the Fund's holdings which may in-turn fluctuate due to market and economic conditions. The Fund's share price may fluctuate due to changes in the relative
supply of and demand for the shares on an exchange. The Fund is actively managed and does not seek to replicate the performance of a specified index. The Fund may allocate a portion of its assets to specialist portfolio managers, which
may not work as intended. • Fixed income security risks include credit, liquidity, call, duration, event, and interest-rate risk. As interest rates rise, bond prices generally fall. • The risks associated with mortgage-related and asset-backed securities as well as collateralized loan obligations (CLOs) include credit, interest-rate, prepayment, liquidity, default and extension risk. • The purchase of securities in the To-Be-Announced (TBA) market can result in higher portfolio turnover and related expenses as well as price and counterparty risk. • Derivatives are generally more volatile and sensitive to changes in market or economic conditions than other securities; their risks include currency, leverage,
liquidity, index, pricing, regulatory, and counterparty risk. • 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, economic and regulatory developments. These risks may be greater for investments in emerging markets. •
Investments in high-yield ("junk") bonds involve greater risk of price volatility, illiquidity, and default than higher-rated debt securities. •
Obligations of U.S. Government agencies are supported by varying degrees of credit but are generally not backed by the full faith and credit of the U.S. Government. • Restricted securities may be more difficult to sell and price than other securities. • The Fund may have high portfolio turnover,
which could increase its transaction costs and an investor’s tax liability. • In certain instances, unlike other ETFs, the Fund may effect creations and
redemptions partly or wholly for cash, rather than in-kind, which may make the Fund less tax-efficient and incur more fees than an ETF that primarily or wholly effects creations and redemptions in-kind.
| Composition
by Security Type(1) |
| as
of 01/31/2024 |
| Category
|
Percentage
of
Net Assets |
| Fixed
Income Securities |
|
| Asset
& Commercial Mortgage-Backed Securities |
21.5%
|
| Corporate
Bonds |
27.8
|
| Foreign
Government Obligations |
3.0
|
| Municipal
Bonds |
0.8
|
| U.S.
Government Agencies(2) |
49.0
|
| U.S.
Government Securities |
22.1
|
| Total
|
124.2%
|
| Short-Term
Investments |
0.3
|
| Other
Assets & Liabilities |
(24.5)
|
| Total
|
100.0%
|
|
(1) |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
|
(2) |
All, or
a portion of the securities categorized as U.S. Government Agencies, were agency mortgage-backed securities as of January 31, 2024. |
Benchmark Glossary (Unaudited)
| Bloomberg 1-3 Year US
Government/Credit Index (reflects no deduction for fees, expenses or taxes) is comprised of the US Government/Credit component of the Bloomberg US Aggregate Bond Index. The 1-3 Year Government/Credit Index includes
securities in the 1-3 year maturity range in the Government/Credit Index. |
| Bloomberg
Municipal Bond 1-15 Year Blend (1-17) Index (reflects no deduction for fees, expenses or taxes) is a sub-index of the Bloomberg Municipal Bond Index. It is a rules-based market value-weighted index of bonds with
maturities of 1 year to 17 years engineered for the tax-exempt bond market. |
| Bloomberg
Municipal Bond Index (reflects no deduction for fees, expenses or taxes) is designed to cover the USD-denominated long-term tax-exempt bond market. |
| Bloomberg US
Aggregate Bond Index (reflects no deduction for fees, expenses or taxes) is composed of securities that cover the US investment grade fixed rate bond market, with index components for government and corporate
securities, mortgage pass-through securities, and asset-backed securities. |
| Bloomberg
Commodity Index Total Return (reflects no deduction for fees, expenses or taxes) is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index
("BCOM"). This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) US Treasury Bills. |
| Russell 1000
Growth Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. The
Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
| Russell 1000
Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the
performance of the 3,000 largest US companies based on total market capitalizations. |
| S&P 500
Index (reflects no deduction for fees, expenses or taxes) is a float-adjusted market capitalization-weighted index composed of 500 widely held common stocks. |
| Additional
Information Regarding Bloomberg Index(es). “Bloomberg®” and the above referenced Bloomberg index(es) are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index
Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”), and have been licensed for use for certain purposes by Hartford Funds Management Company, LLC ("HFMC"). The Funds are not sponsored,
endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Funds or any member of the public regarding the advisability of investing in securities
generally or in the Funds particularly. The only relationship of Bloomberg to HFMC is the licensing of certain |
| trademarks, trade names and
service marks and of the above referenced Bloomberg index(es), which is determined, composed and calculated by BISL without regard to HFMC or the Funds. Bloomberg has no obligation to take the needs of HFMC or the owners of the Funds into
consideration in determining, composing or calculating the above referenced Bloomberg index(es). Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Funds to be issued.
Bloomberg shall not have any obligation or liability, including, without limitation, to the Funds' customers, in connection with the administration, marketing or trading of the Funds. |
| BLOOMBERG
DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY,
EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HFMC, OWNERS OF THE FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED
WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE
MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES --WHETHER DIRECT, INDIRECT,
CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE --ARISING IN CONNECTION WITH THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA OR VALUES RELATING THERETO --WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY
THEREOF. |
Expense Examples (Unaudited)
Your Fund's Expenses
As a shareholder of a Fund, you incur two types of costs: (1) transaction
costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including investment management fees and certain other fund expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period of
August 1, 2023 through January 31, 2024. To the extent a Fund was subject to acquired fund fees and expenses during the period, acquired fund fees and expenses are not included in the annualized expense ratio below.
Actual Expenses
The first set of columns of the table below provides information about
actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value
divided by $1,000 = 8.6), then multiply the result by the number in the line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second set of columns of the table below provides information about
hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant
to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the second set of columns of the table is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would be higher. Expense ratios may vary period to period because of
various factors, such as an increase in expenses not covered by the management fee (including expenses of the independent trustees and their counsel, extraordinary expenses and interest expense). Expenses are equal to a Fund's annualized expense
ratio multiplied by average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
| |
Actual
Return |
|
Hypothetical
(5% return before expenses) |
| |
Beginning
Account Value
August 1, 2023 |
|
Ending
Account Value
January 31, 2024 |
|
Expenses
Paid
During the Period
August 1, 2023
through
January 31, 2024 |
|
Beginning
Account Value
August 1, 2023 |
|
Ending
Account Value
January 31, 2024 |
|
Expenses
Paid
During the Period
August 1, 2023
through
January 31, 2024 |
|
Annualized
expense
ratio |
| Hartford
Core Bond ETF |
$ 1,000.00
|
|
$ 1,038.70
|
|
$ 1.49
|
|
$ 1,000.00
|
|
$ 1,023.68
|
|
$ 1.48
|
|
0.29%
|
| Hartford
Large Cap Growth ETF |
$ 1,000.00
|
|
$ 1,080.50
|
|
$ 3.09
|
|
$ 1,000.00
|
|
$ 1,022.17
|
|
$ 3.00
|
|
0.59%
|
| Hartford
Municipal Opportunities ETF |
$ 1,000.00
|
|
$ 1,036.90
|
|
$ 1.48
|
|
$ 1,000.00
|
|
$ 1,023.68
|
|
$ 1.48
|
|
0.29%
|
| Hartford
Schroders Commodity Strategy ETF (Consolidated) |
$ 1,000.00
|
|
$
938.60 |
|
$ 2.88
|
|
$ 1,000.00
|
|
$ 1,022.17
|
|
$ 3.00
|
|
0.59%
|
| Hartford
Schroders Tax-Aware Bond ETF |
$ 1,000.00
|
|
$ 1,029.60
|
|
$ 1.99
|
|
$ 1,000.00
|
|
$ 1,023.18
|
|
$ 1.98
|
|
0.39%
|
| Hartford
Short Duration ETF |
$ 1,000.00
|
|
$ 1,046.00
|
|
$ 1.49
|
|
$ 1,000.00
|
|
$ 1,023.68
|
|
$ 1.48
|
|
0.29%
|
| Hartford
Sustainable Income ETF |
$ 1,000.00
|
|
$ 1,054.30
|
|
$ 2.79
|
|
$ 1,000.00
|
|
$ 1,022.42
|
|
$ 2.75
|
|
0.54%
|
| Hartford
Total Return Bond ETF |
$ 1,000.00
|
|
$ 1,040.90
|
|
$ 1.49
|
|
$ 1,000.00
|
|
$ 1,023.68
|
|
$ 1.48
|
|
0.29%
|
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% |
| |
Asset-Backed
- Automobile - 3.4% |
|
|
American
Credit Acceptance Receivables Trust |
|
| $
11,111 |
4.55%,
10/13/2026(1) |
$ 11,103
|
|
185,000 |
6.09%,
11/12/2027(1) |
186,106 |
|
393,787 |
ARI
Fleet Lease Trust 5.41%, 02/17/2032(1) |
393,541 |
|
|
Avis
Budget Rental Car Funding AESOP LLC |
|
|
185,000 |
5.36%,
06/20/2030(1) |
187,198 |
|
220,000 |
5.90%,
08/21/2028(1) |
225,463 |
| 305,014
|
Chesapeake
Funding II LLC 5.65%, 05/15/2035(1) |
305,915
|
| 367,953
|
CPS
Auto Receivables Trust 5.91%, 08/16/2027(1) |
368,626
|
|
|
DT
Auto Owner Trust |
|
| 140,000
|
5.19%,
10/16/2028(1) |
139,410
|
| 155,000
|
5.41%,
02/15/2029(1) |
154,360
|
|
|
Enterprise
Fleet Financing LLC |
|
| 95,000
|
5.16%,
09/20/2030(1) |
95,374
|
| 215,000
|
5.42%,
10/22/2029(1) |
217,251
|
|
|
Exeter
Automobile Receivables Trust |
|
| 45,636
|
2.18%,
06/15/2026 |
45,532
|
| 155,000
|
4.57%,
01/15/2027 |
154,357
|
| 210,000
|
5.72%,
04/15/2027 |
209,957
|
| 87,000
|
6.03%,
08/16/2027 |
87,140
|
| 90,000
|
6.11%,
09/15/2027 |
90,339
|
|
|
Flagship
Credit Auto Trust |
|
| 259,000
|
4.69%,
07/17/2028(1) |
255,434
|
| 77,000
|
5.05%,
01/18/2028(1) |
76,543
|
| 195,000
|
5.21%,
05/15/2028(1) |
194,616
|
| 45,000
|
GLS
Auto Receivables Issuer Trust 4.92%, 01/15/2027(1) |
44,684
|
| 560,000
|
Hertz
Vehicle Financing III LLC 5.94%, 02/25/2028(1) |
570,808
|
| 445,000
|
OneMain
Direct Auto Receivables Trust 5.41%, 11/14/2029(1) |
449,447
|
| 87,266
|
Prestige
Auto Receivables Trust 1.62%, 11/16/2026(1) |
86,304
|
|
|
Santander
Drive Auto Receivables Trust |
|
| 380,000
|
4.42%,
11/15/2027 |
374,880
|
| 120,000
|
4.43%,
03/15/2027 |
118,985
|
| 85,000
|
4.72%,
06/15/2027 |
84,522
|
| 160,000
|
4.98%,
02/15/2028 |
159,399
|
| 280,000
|
5.61%,
07/17/2028 |
282,653
|
| 350,000
|
5.95%,
01/17/2028 |
351,986
|
| 110,000
|
SBNA
Auto Lease Trust 5.24%, 01/22/2029(1) |
110,430
|
| 235,000
|
SFS
Auto Receivables Securitization Trust 5.47%, 12/20/2029(1) |
239,102
|
|
|
Tricolor
Auto Securitization Trust |
|
| 70,137
|
6.48%,
08/17/2026(1) |
70,129
|
| 235,000
|
6.61%,
10/15/2027(1) |
235,224
|
|
|
Westlake
Automobile Receivables Trust |
|
| 96,386
|
1.65%,
02/17/2026(1) |
95,078
|
| 280,000
|
4.31%,
09/15/2027(1) |
277,089
|
| 90,000
|
5.41%,
01/18/2028(1) |
89,668
|
| 400,000
|
6.14%,
03/15/2028(1) |
403,597
|
| 145,000
|
World
Omni Auto Receivables Trust 5.03%, 05/15/2029 |
145,054
|
|
|
|
|
7,587,304
|
| |
Asset-Backed
- Finance & Insurance - 0.3% |
| 31,484
|
BHG
Securitization Trust 0.90%, 10/17/2034(1) |
30,651
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Asset-Backed
- Finance & Insurance - 0.3% - (continued) |
| $
250,000 |
BlueMountain
CLO XXIV Ltd. 6.68%, 04/20/2034, 3 mo. USD Term SOFR + 1.36%(1)(2) |
$ 247,988
|
|
470,000 |
BlueMountain
CLO XXXI Ltd. 6.72%, 04/19/2034, 3 mo. USD Term SOFR + 1.41%(1)(2) |
468,517
|
|
|
|
|
747,156
|
| |
Asset-Backed
- Student Loan - 0.3% |
|
|
Navient
Private Education Refi Loan Trust |
|
|
146,494 |
0.97%,
12/16/2069(1) |
127,134 |
|
247,846 |
1.11%,
02/18/2070(1) |
211,470 |
|
310,917 |
5.51%,
10/15/2071(1) |
311,739
|
|
|
|
|
650,343
|
| |
Commercial
Mortgage-Backed Securities - 5.2% |
| 235,000
|
245
Park Avenue Trust 3.51%, 06/05/2037(1) |
218,051
|
|
|
BBCMS
Mortgage Trust |
|
| 1,010,000
|
1.63%,
02/15/2057(3)(4) |
112,301
|
| 125,000
|
3.66%,
04/15/2055(4) |
113,764
|
| 120,000
|
4.60%,
06/15/2055(4) |
118,043
|
| 190,000
|
5.42%,
02/15/2057 |
198,236
|
| 175,000
|
5.44%,
12/15/2055(4) |
182,322
|
| 55,000
|
5.71%,
12/15/2055(4) |
58,367
|
|
|
Benchmark
Mortgage Trust |
|
| 2,784,467
|
0.72%,
07/15/2056(3)(4) |
112,443
|
| 999,867
|
1.41%,
12/15/2056(1)(3)(4) |
66,891
|
| 560,257
|
1.63%,
01/15/2054(3)(4) |
44,213
|
| 603,502
|
1.91%,
07/15/2053(3)(4) |
38,495
|
| 480,000
|
BX
Commercial Mortgage Trust 6.15%, 09/15/2036, 1 mo. USD Term SOFR + 0.81%(1)(2) |
473,550
|
| 630,000
|
BX
Trust 6.35%, 10/15/2036, 1 mo. USD Term SOFR + 1.01%(1)(2) |
621,337
|
| 31,629
|
Citigroup
Commercial Mortgage Trust 3.61%, 11/10/2048 |
31,160
|
|
|
Commercial
Mortgage Trust |
|
| 100,000
|
2.82%,
01/10/2039(1) |
89,494
|
| 35,000
|
3.18%,
02/10/2048 |
34,219
|
| 150,000
|
3.31%,
03/10/2048 |
145,908
|
| 110,000
|
3.38%,
01/10/2039(1) |
94,685
|
| 210,000
|
3.73%,
08/10/2049(1)(4) |
199,500
|
| 28,155
|
CSAIL
Commercial Mortgage Trust 4.36%, 11/15/2051(4) |
27,709
|
| 95,815
|
CSMC
Trust 2.26%, 08/15/2037(1) |
88,855
|
| 280,000
|
DBGS
Mortgage Trust 4.47%, 10/15/2051 |
264,551
|
|
|
DBJPM
Mortgage Trust |
|
| 466,599
|
1.82%,
09/15/2053(3)(4) |
25,781
|
| 21,828
|
3.04%,
05/10/2049 |
21,292
|
|
|
FREMF
Mortgage Trust |
|
| 295,000
|
3.72%,
04/25/2048(1)(4) |
288,472
|
| 90,000
|
3.80%,
11/25/2049(1)(4) |
88,292
|
| 230,000
|
3.89%,
07/25/2026(1)(4) |
221,241
|
| 225,000
|
4.09%,
06/25/2049(1)(4) |
217,712
|
| 315,000
|
4.24%,
08/25/2047(1)(4) |
311,091
|
| 375,000
|
GS
Mortgage Securities Trust 3.44%, 11/10/2049(4) |
357,334
|
| 200,000
|
Hawaii
Hotel Trust 6.53%, 05/15/2038, 1 mo. USD Term SOFR + 1.20%(1)(2) |
199,250
|
| 1,097,000
|
JP
Morgan Chase Commercial Mortgage Securities Trust 2.82%, 08/15/2049 |
1,026,546
|
|
|
JPMBB
Commercial Mortgage Securities Trust |
|
| 35,610
|
3.56%,
12/15/2048 |
34,964
|
| 635,000
|
3.58%,
03/17/2049 |
611,294
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Commercial
Mortgage-Backed Securities - 5.2% - (continued) |
|
|
JPMDB
Commercial Mortgage Securities Trust |
|
| $
68,020 |
2.95%,
06/15/2049 |
$ 66,044
|
|
632,000 |
3.14%,
12/15/2049 |
586,805 |
|
111,706 |
3.24%,
10/15/2050 |
107,843 |
|
722,483 |
Life
Mortgage Trust 6.15%, 03/15/2038, 1 mo. USD Term SOFR + 0.81%(1)(2) |
715,796 |
|
210,000 |
Morgan
Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 |
206,207 |
| 383,435
|
MSWF
Commercial Mortgage Trust 1.14%, 12/15/2056(3)(4) |
25,275
|
| 285,000
|
NJ
Trust 6.70%, 01/06/2029(1)(4) |
299,389
|
| 50,000
|
SG
Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) |
45,212
|
| 525,000
|
TYSN
Mortgage Trust 6.80%, 12/10/2033(1)(4) |
552,454
|
|
|
Wells
Fargo Commercial Mortgage Trust |
|
| 360,000
|
3.15%,
05/15/2048 |
348,897
|
| 719,000
|
3.43%,
03/15/2059 |
690,143
|
| 34,089
|
3.52%,
12/15/2048 |
33,507
|
| 420,000
|
3.64%,
03/15/2050 |
396,689
|
| 235,000
|
3.81%,
12/15/2048 |
227,841
|
|
|
Wells
Fargo NA |
|
| 3,977,628
|
0.75%,
11/15/2062(3)(4) |
125,273
|
| 946,886
|
1.10%,
02/15/2052(3)(4) |
33,603
|
| 996,287
|
1.20%,
02/15/2056(3)(4) |
62,940
|
| 1,000,000
|
1.20%,
12/15/2056(3)(4) |
39,842
|
| 1,469,969
|
1.43%,
11/15/2053(3)(4) |
97,222
|
| 1,246,012
|
1.88%,
03/15/2063(3)(4) |
109,444
|
| 145,000
|
4.41%,
11/15/2061(4) |
141,916
|
|
|
|
|
11,649,705
|
| |
Other
Asset-Backed Securities - 9.7% |
| 210,000
|
Affirm
Asset Securitization Trust 6.61%, 01/18/2028(1) |
211,552
|
| 305,000
|
Aligned
Data Centers Issuer LLC 6.00%, 08/17/2048(1) |
304,134
|
| 91,442
|
Amur
Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) |
91,295
|
| 31,333
|
Avant
Loans Funding Trust 1.21%, 07/15/2030(1) |
31,180
|
| 400,000
|
Barings
CLO Ltd. 2.10%, 01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(2) |
400,040
|
| 495,000
|
Battalion
CLO 18 Ltd. 7.37%, 03/13/2037, 3 mo. USD Term SOFR + 2.20%(1)(2) |
495,000
|
| 315,000
|
Benefit
Street Partners CLO XXXI Ltd. 7.67%, 04/25/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) |
316,916
|
| 460,000
|
BlueMountain
CLO XXXIII Ltd. 6.82%, 11/20/2034, 3 mo. USD Term SOFR + 1.45%(1)(2) |
460,036
|
| 229,347
|
Carlyle
Global Market Strategies CLO Ltd. 6.69%, 05/15/2031, 3 mo. USD Term SOFR + 1.31%(1)(2) |
229,226
|
| 227,790
|
Carlyle
U.S. CLO Ltd. 6.60%, 04/20/2031, 3 mo. USD Term SOFR + 1.28%(1)(2) |
228,178
|
| 179,913
|
CCG
Receivables Trust 5.82%, 09/16/2030(1) |
181,153
|
|
|
CF
Hippolyta Issuer LLC |
|
| 94,245
|
1.53%,
03/15/2061(1) |
84,809
|
| 126,765
|
1.69%,
07/15/2060(1) |
118,199
|
| 97,713
|
5.97%,
08/15/2062(1) |
96,110
|
| 95,000
|
CNH
Equipment Trust 4.77%, 10/15/2030 |
95,057
|
|
|
DB
Master Finance LLC |
|
| 147,000
|
2.79%,
11/20/2051(1) |
122,624
|
| 703,762
|
4.35%,
05/20/2049(1) |
683,805
|
| 160,000
|
DLLAA
LLC 5.64%, 02/22/2028(1) |
163,249
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Other
Asset-Backed Securities - 9.7% - (continued) |
|
|
Domino's
Pizza Master Issuer LLC |
|
| $
441,515 |
2.66%,
04/25/2051(1) |
$ 395,277
|
|
432,000 |
3.67%,
10/25/2049(1) |
396,571 |
|
206,800 |
4.12%,
07/25/2047(1) |
200,390 |
|
403,463 |
4.47%,
10/25/2045(1) |
395,582 |
|
252,824 |
Dryden
55 CLO Ltd. 6.60%, 04/15/2031, 3 mo. USD Term SOFR + 1.28%(1)(2) |
252,721 |
|
|
Elmwood
CLO Ltd. |
|
|
295,000 |
7.56%,
04/16/2036, 3 mo. USD Term SOFR + 2.25%(1)(2) |
295,305 |
| 435,000
|
7.72%,
10/17/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) |
439,450
|
|
|
FirstKey
Homes Trust |
|
| 153,967
|
4.15%,
05/19/2039(1) |
150,015
|
| 586,682
|
4.25%,
07/17/2039(1) |
570,952
|
| 627,348
|
Galaxy
XXIV CLO Ltd. 6.70%, 01/15/2031, 3 mo. USD Term SOFR + 1.38%(1)(2) |
627,960
|
| 250,000
|
Invesco
U.S. CLO Ltd. 7.62%, 04/21/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) |
250,758
|
| 250,003
|
KKR
CLO 21 Ltd. 6.58%, 04/15/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) |
250,010
|
| 244,747
|
Magnetite
XVII Ltd. 6.68%, 07/20/2031, 3 mo. USD Term SOFR + 1.36%(1)(2) |
244,899
|
| 330,000
|
MF1
Ltd. 7.09%, 02/19/2037, 1 mo. USD Term SOFR + 1.75%(1)(2) |
323,292
|
| 510,000
|
New
Economy Assets Phase 1 Sponsor LLC 1.91%, 10/20/2061(1) |
448,580
|
| 410,000
|
Octagon
61 Ltd. 7.67%, 04/20/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) |
412,080
|
| 785,000
|
Octagon
Investment Partners XXI Ltd. 6.64%, 02/14/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) |
786,134
|
|
|
PRET
LLC |
|
| 160,920
|
1.74%,
07/25/2051(1)(5) |
154,312
|
| 464,113
|
1.84%,
09/25/2051(1)(5) |
438,899
|
| 109,717
|
1.87%,
07/25/2051(1)(5) |
105,702
|
| 461,106
|
2.49%,
10/25/2051(1)(5) |
448,373
|
| 356,824
|
Pretium
Mortgage Credit Partners I LLC 2.36%, 10/27/2060(1)(5) |
348,900
|
| 198,179
|
Pretium
Mortgage Credit Partners LLC 1.99%, 02/25/2061(1)(5) |
192,628
|
|
|
Progress
Residential Trust |
|
| 401,967
|
1.51%,
10/17/2038(1) |
365,916
|
| 143,210
|
3.20%,
04/17/2039(1) |
135,589
|
| 398,711
|
4.44%,
05/17/2041(1) |
387,796
|
| 106,568
|
4.45%,
06/17/2039(1) |
104,406
|
| 178,743
|
4.75%,
10/27/2039(1) |
176,680
|
| 64,999
|
Regional
Management Issuance Trust 2.34%, 10/15/2030(1) |
63,550
|
| 495,000
|
Retained
Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) |
470,748
|
| 635,000
|
RR
23 Ltd. 7.96%, 10/15/2035, 3 mo. USD Term SOFR + 2.65%(1)(2) |
640,594
|
| 340,000
|
SCF
Equipment Leasing LLC 6.56%, 01/22/2030(1) |
342,663
|
| 653,235
|
Sound
Point CLO XIX Ltd. 6.58%, 04/15/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) |
653,352
|
| 390,000
|
Sound
Point CLO XXIX Ltd. 6.66%, 04/25/2034, 3 mo. USD Term SOFR + 1.33%(1)(2) |
387,230
|
|
|
Stack
Infrastructure Issuer LLC |
|
| 60,000
|
1.89%,
08/25/2045(1) |
55,974
|
| 285,000
|
5.90%,
07/25/2048(1) |
283,665
|
| 75,000
|
Summit
Issuer LLC 2.29%, 12/20/2050(1) |
69,599
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Other
Asset-Backed Securities - 9.7% - (continued) |
| $
350,000 |
Texas
Debt Capital CLO Ltd. 7.62%, 04/20/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) |
$ 351,309
|
|
654,530 |
Tricon
Residential Trust 3.86%, 04/17/2039(1) |
630,227 |
|
515,000 |
Vantage
Data Centers Issuer LLC 1.65%, 09/15/2045(1) |
479,035 |
|
|
VCAT
LLC |
|
|
104,326 |
1.74%,
05/25/2051(1)(5) |
100,455 |
|
565,259 |
1.87%,
08/25/2051(1)(5) |
544,759 |
|
431,217 |
1.92%,
09/25/2051(1)(5) |
416,261 |
|
38,801 |
2.12%,
03/27/2051(1)(5) |
38,557 |
| 660,000
|
Venture
37 CLO Ltd. 6.73%, 07/15/2032, 3 mo. USD Term SOFR + 1.41%(1)(2) |
659,967
|
| 390,000
|
Venture
42 CLO Ltd. 6.71%, 04/15/2034, 3 mo. USD Term SOFR + 1.39%(1)(2) |
387,107
|
| 219,620
|
VOLT
CIII LLC 1.99%, 08/25/2051(1)(5) |
209,843
|
| 146,584
|
VOLT
XCIII LLC 4.89%, 02/27/2051(1)(5) |
142,220
|
| 108,437
|
VOLT
XCIV LLC 5.24%, 02/27/2051(1)(5) |
106,005
|
| 133,441
|
VOLT
XCIX LLC 2.12%, 04/25/2051(1)(5) |
129,438
|
| 79,032
|
VOLT
XCV LLC 2.24%, 03/27/2051(1)(5) |
77,233
|
| 239,396
|
Voya
CLO Ltd. 6.75%, 10/18/2031, 3 mo. USD Term SOFR + 1.45%(1)(2) |
239,422
|
| 299,548
|
Wellfleet
CLO X Ltd. 6.75%, 07/20/2032, 3 mo. USD Term SOFR + 1.43%(1)(2) |
299,340
|
| 199,856
|
Wendy's
Funding LLC 2.37%, 06/15/2051(1) |
174,183
|
| 423,550
|
Wingstop
Funding LLC 2.84%, 12/05/2050(1) |
383,446
|
|
|
|
|
21,947,922
|
| |
Whole
Loan Collateral CMO - 7.8% |
| 233,193
|
510
Asset-Backed Trust 2.12%, 06/25/2061(1)(5) |
226,512
|
|
|
Angel
Oak Mortgage Trust |
|
| 83,334
|
0.91%,
01/25/2066(1)(4) |
69,653
|
| 293,795
|
0.95%,
07/25/2066(1)(4) |
236,363
|
| 46,902
|
0.99%,
04/25/2053(1)(4) |
42,821
|
| 73,921
|
0.99%,
04/25/2066(1)(4) |
61,090
|
| 195,032
|
1.04%,
01/20/2065(1)(4) |
157,660
|
| 139,730
|
1.07%,
05/25/2066(1)(4) |
118,015
|
| 441,299
|
1.46%,
09/25/2066(1)(4) |
363,100
|
| 23,634
|
1.47%,
06/25/2065(1)(4) |
22,012
|
| 41,792
|
1.69%,
04/25/2065(1)(4) |
38,836
|
| 216,054
|
1.82%,
11/25/2066(1)(4) |
183,630
|
| 579,990
|
2.88%,
12/25/2066(1)(5) |
523,920
|
| 24,333
|
Arroyo
Mortgage Trust 3.81%, 01/25/2049(1)(4) |
23,103
|
| 142,966
|
BINOM
Securitization Trust 2.03%, 06/25/2056(1)(4) |
124,343
|
|
|
BRAVO
Residential Funding Trust |
|
| 48,781
|
0.94%,
02/25/2049(1)(4) |
42,582
|
| 64,403
|
0.97%,
03/25/2060(1)(4) |
60,305
|
| 366,794
|
1.62%,
03/01/2061(1)(5) |
342,222
|
|
|
Bunker
Hill Loan Depositary Trust |
|
| 40,749
|
1.72%,
02/25/2055(1)(4) |
38,839
|
| 22,469
|
2.88%,
07/25/2049(1)(5) |
21,262
|
| 67,130
|
Cascade
MH Asset Trust 1.75%, 02/25/2046(1) |
55,031
|
| 375,664
|
CIM
Trust 1.43%, 07/25/2061(1)(4) |
329,061
|
|
|
COLT
Mortgage Loan Trust |
|
| 34,676
|
0.80%,
07/27/2054(1) |
30,302
|
| 123,074
|
0.91%,
06/25/2066(1)(4) |
101,116
|
| 198,684
|
0.92%,
08/25/2066(1)(4) |
159,189
|
| 360,259
|
0.96%,
09/27/2066(1)(4) |
289,916
|
| 454,081
|
1.11%,
10/25/2066(1)(4) |
379,472
|
| 49,106
|
1.33%,
10/26/2065(1)(4) |
44,126
|
| 25,697
|
1.51%,
04/27/2065(1)(4) |
24,034
|
| 513,336
|
2.28%,
12/27/2066(1)(4) |
448,870
|
| 88,499
|
4.30%,
03/25/2067(1)(4) |
85,902
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Whole
Loan Collateral CMO - 7.8% - (continued) |
| $
234,559 |
COLT
Trust 1.39%, 01/25/2065(1)(4) |
$ 196,582
|
|
|
CSMC
Trust |
|
|
89,331 |
0.83%,
03/25/2056(1)(4) |
70,959 |
|
179,619 |
0.94%,
05/25/2066(1)(4) |
144,173 |
|
439,583 |
1.17%,
07/25/2066(1)(4) |
356,137 |
|
158,532 |
1.18%,
02/25/2066(1)(4) |
137,229 |
|
73,371 |
1.21%,
05/25/2065(1)(5) |
67,094 |
|
74,852 |
1.80%,
12/27/2060(1)(4) |
68,272 |
| 225,627
|
1.84%,
10/25/2066(1)(4) |
195,714
|
| 151,858
|
2.00%,
01/25/2060(1)(4) |
134,840
|
| 565,360
|
2.27%,
11/25/2066(1)(4) |
492,721
|
|
|
Deephaven
Residential Mortgage Trust |
|
| 22,570
|
0.72%,
05/25/2065(1)(4) |
20,901
|
| 49,690
|
0.90%,
04/25/2066(1)(4) |
43,176
|
|
|
Ellington
Financial Mortgage Trust |
|
| 28,482
|
0.80%,
02/25/2066(1)(4) |
24,027
|
| 57,625
|
0.93%,
06/25/2066(1)(4) |
46,800
|
| 22,357
|
1.18%,
10/25/2065(1)(4) |
20,083
|
| 322,082
|
1.24%,
09/25/2066(1)(4) |
254,533
|
| 259,423
|
2.21%,
01/25/2067(1)(4) |
222,987
|
|
|
Federal
National Mortgage Association Connecticut Avenue Securities |
|
| 283,626
|
7.24%,
06/25/2043, 30 day USD SOFR Average + 1.90%(1)(2) |
287,163
|
| 97,600
|
7.64%,
05/25/2043, 30 day USD SOFR Average + 2.30%(1)(2) |
100,109
|
| 141,647
|
7.84%,
04/25/2043, 30 day USD SOFR Average + 2.50%(1)(2) |
144,748
|
| 58,890
|
7.89%,
07/25/2042, 30 day USD SOFR Average + 2.55%(1)(2) |
60,546
|
|
|
GCAT
Trust |
|
| 96,290
|
0.87%,
01/25/2066(1)(4) |
78,335
|
| 106,286
|
1.04%,
05/25/2066(1)(4) |
86,816
|
| 308,753
|
1.09%,
08/25/2066(1)(4) |
250,394
|
| 444,187
|
1.26%,
07/25/2066(1)(4) |
362,656
|
| 20,656
|
1.56%,
04/25/2065(1)(5) |
18,990
|
| 157,804
|
1.92%,
08/25/2066(1)(4) |
138,286
|
| 9,504
|
2.25%,
01/25/2060(1)(5) |
9,038
|
|
|
Imperial
Fund Mortgage Trust |
|
| 173,095
|
1.07%,
09/25/2056(1)(4) |
142,124
|
| 537,526
|
2.09%,
01/25/2057(1)(4) |
454,805
|
| 618,224
|
3.64%,
03/25/2067(1)(5) |
575,587
|
|
|
Legacy
Mortgage Asset Trust |
|
| 85,750
|
1.65%,
11/25/2060(1)(5) |
77,619
|
| 75,259
|
1.75%,
04/25/2061(1)(5) |
70,243
|
| 102,070
|
1.75%,
07/25/2061(1)(5) |
94,747
|
|
|
MetLife
Securitization Trust |
|
| 36,789
|
3.75%,
03/25/2057(1)(4) |
35,148
|
| 30,216
|
3.75%,
04/25/2058(1)(4) |
29,382
|
|
|
MFA
Trust |
|
| 19,963
|
1.01%,
01/26/2065(1)(4) |
17,871
|
| 127,699
|
1.03%,
11/25/2064(1)(4) |
109,054
|
| 55,597
|
1.15%,
04/25/2065(1)(4) |
50,049
|
| 17,286
|
Mill
City Mortgage Loan Trust 3.50%, 05/25/2058(1)(4) |
17,029
|
|
|
New
Residential Mortgage Loan Trust |
|
| 72,169
|
0.94%,
07/25/2055(1)(4) |
62,392
|
| 44,629
|
0.94%,
10/25/2058(1)(4) |
41,415
|
| 355,216
|
1.16%,
11/27/2056(1)(4) |
301,561
|
| 16,165
|
1.65%,
05/24/2060(1)(4) |
15,234
|
| 511,758
|
2.28%,
04/25/2061(1)(4) |
441,930
|
| 84,643
|
3.50%,
12/25/2057(1)(4) |
80,941
|
| 13,656
|
3.75%,
03/25/2056(1)(4) |
12,798
|
| 37,630
|
3.75%,
11/25/2058(1)(4) |
35,187
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 26.7% - (continued) |
| |
Whole
Loan Collateral CMO - 7.8% - (continued) |
| $
162,446 |
4.00%,
03/25/2057(1)(4) |
$ 153,582
|
|
174,552 |
4.00%,
12/25/2057(1)(4) |
165,778 |
|
216,937 |
NMLT
Trust 1.19%, 05/25/2056(1)(4) |
177,506 |
|
|
OBX
Trust |
|
|
227,050 |
1.05%,
07/25/2061(1)(4) |
179,088 |
|
147,098 |
1.07%,
02/25/2066(1)(4) |
125,031 |
|
456,657 |
2.31%,
11/25/2061(1)(4) |
394,555 |
|
|
Preston
Ridge Partners Mortgage LLC |
|
| 206,901
|
1.74%,
09/25/2026(1)(4) |
200,623
|
| 138,790
|
1.79%,
06/25/2026(1)(5) |
134,974
|
| 194,019
|
1.79%,
07/25/2026(1)(5) |
187,746
|
| 220,510
|
1.87%,
04/25/2026(1)(5) |
214,670
|
| 307,313
|
1.87%,
08/25/2026(1)(5) |
296,412
|
| 49,959
|
2.12%,
03/25/2026(1)(4) |
49,347
|
| 398,731
|
2.36%,
10/25/2026(1)(5) |
385,146
|
| 45,018
|
5.36%,
11/25/2025(1)(5) |
44,972
|
| 79,818
|
PRPM
LLC 1.32%, 07/25/2051(1)(5) |
71,707
|
| 45,266
|
Residential
Mortgage Loan Trust 0.86%, 01/25/2065(1)(4) |
41,529
|
| 17,344
|
Seasoned
Credit Risk Transfer Trust 2.50%, 08/25/2059 |
15,700
|
| 109,580
|
STAR
Trust 1.22%, 05/25/2065(1)(4) |
96,600
|
|
|
Starwood
Mortgage Residential Trust |
|
| 38,126
|
0.94%,
05/25/2065(1)(4) |
35,117
|
| 370,261
|
1.16%,
08/25/2056(1)(4) |
310,093
|
| 16,972
|
1.49%,
04/25/2065(1)(4) |
15,763
|
| 350,438
|
1.92%,
11/25/2066(1)(4) |
294,457
|
| 96,676
|
Toorak
Mortgage Corp. Ltd. 3.24%, 06/25/2024(1)(5) |
94,694
|
|
|
Towd
Point Mortgage Trust |
|
| 103,904
|
1.75%,
10/25/2060(1) |
92,099
|
| 4,060
|
2.16%,
01/25/2052(1)(4) |
4,043
|
| 118,659
|
2.75%,
10/25/2057(1)(4) |
113,729
|
| 42,264
|
2.90%,
10/25/2059(1)(4) |
39,837
|
| 343,336
|
2.92%,
11/30/2060(1)(4) |
287,022
|
| 27,834
|
3.25%,
03/25/2058(1)(4) |
26,951
|
| 166,760
|
3.75%,
03/25/2058(1)(4) |
159,536
|
| 140,320
|
TRK
Trust 1.15%, 07/25/2056(1)(4) |
121,578
|
|
|
Verus
Securitization Trust |
|
| 68,681
|
0.92%,
02/25/2064(1)(4) |
60,207
|
| 157,162
|
0.94%,
07/25/2066(1)(4) |
130,598
|
| 648,552
|
1.01%,
09/25/2066(1)(4) |
536,957
|
| 58,165
|
1.03%,
02/25/2066(1)(4) |
50,556
|
| 40,942
|
1.22%,
05/25/2065(1)(5) |
38,008
|
| 28,284
|
1.50%,
05/25/2065(1)(5) |
26,555
|
| 243,556
|
1.82%,
11/25/2066(1)(4) |
211,017
|
| 483,934
|
1.83%,
10/25/2066(1)(4) |
419,907
|
| 349,602
|
2.72%,
01/25/2067(1)(5) |
315,640
|
| 26,300
|
3.69%,
11/25/2059(1)(4) |
25,545
|
|
|
|
|
17,686,587
|
|
|
Total
Asset & Commercial Mortgage-Backed Securities
(cost $63,640,283) |
$
60,269,017 |
| CORPORATE
BONDS - 30.1% |
| |
Aerospace/Defense
- 0.4% |
|
|
Boeing
Co. |
|
| 161,000
|
5.04%,
05/01/2027 |
$
161,146 |
| 60,000
|
5.15%,
05/01/2030 |
60,064
|
| 160,000
|
5.81%,
05/01/2050 |
160,145
|
| 195,000
|
Northrop
Grumman Corp. 5.15%, 05/01/2040 |
194,551
|
| 225,000
|
RTX
Corp. 5.75%, 11/08/2026 |
230,797
|
|
|
|
|
806,703
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Agriculture
- 0.5% |
|
|
Archer-Daniels-Midland
Co. |
|
| $
90,000 |
2.90%,
03/01/2032 |
$ 78,438
|
|
36,000 |
4.50%,
08/15/2033 |
35,176 |
|
|
Cargill,
Inc. |
|
|
255,000 |
2.13%,
11/10/2031(1) |
211,447 |
|
110,000 |
4.00%,
06/22/2032(1) |
103,626 |
|
60,000 |
4.75%,
04/24/2033(1) |
59,545 |
|
|
Philip
Morris International, Inc. |
|
| 375,000
|
5.13%,
02/15/2030 |
381,099
|
| 85,000
|
5.38%,
02/15/2033 |
86,662
|
| 60,000
|
5.63%,
11/17/2029 |
62,559
|
| 200,000
|
5.63%,
09/07/2033 |
207,523
|
|
|
|
|
1,226,075
|
| |
Apparel
- 0.1% |
|
|
Tapestry,
Inc. |
|
| 80,000
|
7.05%,
11/27/2025 |
81,836
|
| 20,000
|
7.70%,
11/27/2030 |
21,179
|
|
|
|
|
103,015
|
| |
Auto
Manufacturers - 0.2% |
| 245,000
|
Hyundai
Capital America 5.50%, 03/30/2026(1) |
246,473
|
| 250,000
|
Mercedes-Benz
Finance North America LLC 4.95%, 03/30/2025(1) |
250,091
|
|
|
|
|
496,564
|
| |
Beverages
- 0.1% |
| 155,000
|
Bacardi
Ltd./Bacardi-Martini BV 5.40%, 06/15/2033(1) |
155,601
|
| |
Biotechnology
- 0.5% |
|
|
Amgen,
Inc. |
|
| 60,000
|
5.25%,
03/02/2030 |
61,432
|
| 120,000
|
5.25%,
03/02/2033 |
122,300
|
| 125,000
|
5.75%,
03/02/2063 |
128,794
|
| 170,000
|
CSL
Finance PLC 4.25%, 04/27/2032(1) |
164,466
|
|
|
Gilead
Sciences, Inc. |
|
| 250,000
|
1.65%,
10/01/2030 |
208,641
|
| 180,000
|
5.25%,
10/15/2033 |
186,549
|
| 425,000
|
Royalty
Pharma PLC 2.20%, 09/02/2030 |
356,266
|
|
|
|
|
1,228,448
|
| |
Chemicals
- 0.5% |
|
|
Celanese
U.S. Holdings LLC |
|
| 386,000
|
6.17%,
07/15/2027 |
395,277
|
| 125,000
|
6.35%,
11/15/2028 |
130,163
|
| 50,000
|
6.55%,
11/15/2030 |
52,845
|
| 75,000
|
6.70%,
11/15/2033 |
80,586
|
| 320,000
|
Nutrien
Ltd. 4.90%, 03/27/2028 |
321,422
|
|
|
Sherwin-Williams
Co. |
|
| 237,000
|
2.30%,
05/15/2030 |
205,752
|
| 2,000
|
2.95%,
08/15/2029 |
1,828
|
|
|
|
|
1,187,873
|
| |
Commercial
Banks - 9.4% |
|
|
Bank
of America Corp. |
|
| 775,000
|
1.92%,
10/24/2031, (1.92% fixed rate until 10/24/2030; 6 mo. USD SOFR + 1.37% thereafter)(6) |
633,757
|
| 55,000
|
2.57%,
10/20/2032, (2.57% fixed rate until 10/20/2031; 6 mo. USD SOFR + 1.21% thereafter)(6) |
45,803
|
| 60,000
|
2.59%,
04/29/2031, (2.59% fixed rate until 04/29/2030; 6 mo. USD SOFR + 2.15% thereafter)(6) |
51,917
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Commercial
Banks - 9.4% - (continued) |
| $
1,435,000 |
2.69%,
04/22/2032, (2.69% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.32% thereafter)(6) |
$ 1,216,903
|
|
70,000 |
2.97%,
02/04/2033, (2.97% fixed rate until 02/04/2032; 6 mo. USD SOFR + 1.33% thereafter)(6) |
59,680 |
|
35,000 |
3.42%,
12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD Term SOFR + 1.30% thereafter)(6) |
33,054 |
|
671,000 |
3.97%,
02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD Term SOFR + 1.47% thereafter)(6) |
639,814 |
|
165,000 |
5.20%,
04/25/2029, (5.20% fixed rate until 04/25/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) |
166,257 |
|
120,000 |
5.47%,
01/23/2035, (5.47% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.65% thereafter)(6) |
122,158 |
|
90,000 |
5.93%,
09/15/2027, (5.93% fixed rate until 09/15/2026; 6 mo. USD SOFR + 1.34% thereafter)(6) |
92,001 |
| 260,000
|
Bank
of New York Mellon Corp. 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(6) |
275,976
|
| 200,000
|
Barclays
PLC 6.22%, 05/09/2034, (6.22% fixed rate until 05/09/2033; 6 mo. USD SOFR + 2.98% thereafter)(6) |
205,604
|
|
|
BNP
Paribas SA |
|
| 410,000
|
5.34%,
06/12/2029, (5.34% fixed rate until 06/12/2028; 1 yr. USD CMT + 1.50% thereafter)(1)(6) |
415,664
|
| 315,000
|
5.89%,
12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(6) |
329,082
|
|
|
BPCE
SA |
|
| 250,000
|
2.05%,
10/19/2027, (2.05% fixed rate until 10/19/2026; 6 mo. USD SOFR + 1.09% thereafter)(1)(6) |
228,300
|
| 880,000
|
6.71%,
10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(6) |
924,979
|
| 425,000
|
7.00%,
10/19/2034, (7.00% fixed rate until 10/19/2033; 6 mo. USD SOFR + 2.59% thereafter)(1)(6) |
463,599
|
| 250,000
|
CaixaBank
SA 6.68%, 09/13/2027, (6.68% fixed rate until 09/13/2026; 6 mo. USD SOFR + 2.08% thereafter)(1)(6) |
256,859
|
| 120,000
|
Citizens
Financial Group, Inc. 5.84%, 01/23/2030, (5.84% fixed rate until 01/23/2029; 6 mo. USD SOFR + 2.01% thereafter)(6) |
120,824
|
|
|
Credit
Agricole SA |
|
| 405,000
|
5.34%,
01/10/2030, (5.34% fixed rate until 01/10/2029; 6 mo. USD SOFR + 1.69% thereafter)(1)(6) |
406,479
|
| 250,000
|
6.32%,
10/03/2029, (6.32% fixed rate until 10/03/2028; 6 mo. USD SOFR + 1.86% thereafter)(1)(6) |
260,580
|
| 200,000
|
Danske
Bank AS 6.26%, 09/22/2026, (6.26% fixed rate until 09/22/2025; 1 yr. USD CMT + 1.18% thereafter)(1)(6) |
203,458
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Commercial
Banks - 9.4% - (continued) |
|
|
Deutsche
Bank AG |
|
| $
150,000 |
2.13%,
11/24/2026, (2.13% fixed rate until 11/24/2025; 6 mo. USD SOFR + 1.87% thereafter)(6) |
$ 141,213
|
|
150,000 |
6.72%,
01/18/2029, (6.72% fixed rate until 01/18/2028; 6 mo. USD SOFR + 3.18% thereafter)(6) |
156,140 |
|
|
Fifth
Third Bancorp |
|
|
40,000 |
5.63%,
01/29/2032, (5.63% fixed rate until 01/29/2031; 6 mo. USD SOFR + 1.84% thereafter)(6) |
40,348 |
|
35,000 |
6.34%,
07/27/2029, (6.34% fixed rate until 07/27/2028; 6 mo. USD SOFR + 2.34% thereafter)(6) |
36,417 |
|
|
Goldman
Sachs Group, Inc. |
|
|
75,000 |
1.99%,
01/27/2032, (1.99% fixed rate until 01/27/2031; 6 mo. USD SOFR + 1.09% thereafter)(6) |
60,986 |
| 305,000
|
2.38%,
07/21/2032, (2.38% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.25% thereafter)(6) |
251,231
|
| 196,000
|
2.60%,
02/07/2030 |
172,353
|
| 650,000
|
2.62%,
04/22/2032, (2.62% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.28% thereafter)(6) |
547,962
|
|
|
HSBC
Holdings PLC |
|
| 200,000
|
1.59%,
05/24/2027, (1.59% fixed rate until 05/24/2026; 6 mo. USD SOFR + 1.29% thereafter)(6) |
183,971
|
| 230,000
|
2.21%,
08/17/2029, (2.21% fixed rate until 08/17/2028; 6 mo. USD SOFR + 1.29% thereafter)(6) |
201,166
|
| 200,000
|
2.80%,
05/24/2032, (2.80% fixed rate until 05/24/2031; 6 mo. USD SOFR + 1.19% thereafter)(6) |
167,941
|
| 205,000
|
4.58%,
06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD Term SOFR + 1.80% thereafter)(6) |
199,115
|
| 245,000
|
5.21%,
08/11/2028, (5.21% fixed rate until 08/11/2027; 6 mo. USD SOFR + 2.61% thereafter)(6) |
244,968
|
| 610,000
|
5.40%,
08/11/2033, (5.40% fixed rate until 08/11/2032; 6 mo. USD SOFR + 2.87% thereafter)(6) |
611,470
|
| 275,000
|
7.40%,
11/13/2034, (7.40% fixed rate until 11/13/2033; 6 mo. USD SOFR + 3.02% thereafter)(6) |
300,347
|
| 250,000
|
Huntington
National Bank 5.65%, 01/10/2030 |
253,720
|
| 410,000
|
Intesa
Sanpaolo SpA 7.80%, 11/28/2053(1) |
449,118
|
|
|
JP
Morgan Chase & Co. |
|
| 135,000
|
1.95%,
02/04/2032, (1.95% fixed rate until 02/04/2031; 6 mo. USD SOFR + 1.07% thereafter)(6) |
110,120
|
| 408,000
|
2.30%,
10/15/2025, (2.30% fixed rate until 10/15/2024; 6 mo. USD SOFR + 1.16% thereafter)(6) |
399,013
|
| 345,000
|
2.55%,
11/08/2032, (2.55% fixed rate until 11/08/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) |
288,998
|
| 200,000
|
4.91%,
07/25/2033, (4.91% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.08% thereafter)(6) |
197,232
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Commercial
Banks - 9.4% - (continued) |
| $
370,000 |
5.34%,
01/23/2035, (5.34% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.62% thereafter)(6) |
$ 375,861
|
|
180,000 |
6.07%,
10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(6) |
185,256 |
|
65,000 |
6.09%,
10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(6) |
68,220 |
|
270,000 |
Lloyds
Banking Group PLC 5.68%, 01/05/2035, (5.68% fixed rate until 01/05/2034; 1 yr. USD CMT + 1.75% thereafter)(6) |
273,282 |
|
|
M&T
Bank Corp. |
|
|
245,000 |
5.05%,
01/27/2034, (5.05% fixed rate until 01/27/2033; 6 mo. USD SOFR + 1.85% thereafter)(6) |
230,844 |
|
120,000 |
7.41%,
10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(6) |
129,297 |
| 500,000
|
Manufacturers
& Traders Trust Co. 4.70%, 01/27/2028 |
490,663
|
|
|
Morgan
Stanley |
|
| 562,000
|
1.79%,
02/13/2032, (1.79% fixed rate until 02/13/2031; 6 mo. USD SOFR + 1.03% thereafter)(6) |
450,934
|
| 95,000
|
1.93%,
04/28/2032, (1.93% fixed rate until 04/28/2031; 6 mo. USD SOFR + 1.02% thereafter)(6) |
76,527
|
| 337,000
|
2.70%,
01/22/2031, (2.70% fixed rate until 01/22/2030; 6 mo. USD SOFR + 1.14% thereafter)(6) |
295,443
|
| 141,000
|
3.97%,
07/22/2038(4) |
123,487
|
| 160,000
|
5.12%,
02/01/2029, (5.12% fixed rate until 02/01/2028; 6 mo. USD SOFR + 1.73% thereafter)(6) |
160,499
|
| 115,000
|
5.45%,
07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) |
117,072
|
| 35,000
|
5.47%,
01/18/2035, (5.47% fixed rate until 01/18/2034; 6 mo. USD SOFR + 1.73% thereafter)(6) |
35,690
|
| 630,000
|
6.41%,
11/01/2029, (6.41% fixed rate until 11/01/2028; 6 mo. USD SOFR + 1.83% thereafter)(6) |
667,275
|
| 245,000
|
NatWest
Group PLC 5.85%, 03/02/2027, (5.85% fixed rate until 03/02/2026; 1 yr. USD CMT + 1.35% thereafter)(6) |
247,871
|
| 245,000
|
Norinchukin
Bank 5.43%, 03/09/2028(1)(7) |
250,004
|
|
|
PNC
Financial Services Group, Inc. |
|
| 110,000
|
5.07%,
01/24/2034, (5.07% fixed rate until 01/24/2033; 6 mo. USD SOFR + 1.93% thereafter)(6) |
108,164
|
| 115,000
|
5.68%,
01/22/2035, (5.68% fixed rate until 01/22/2034; 6 mo. USD SOFR + 1.90% thereafter)(6) |
117,874
|
| 90,000
|
6.88%,
10/20/2034, (6.88% fixed rate until 10/20/2033; 6 mo. USD SOFR + 2.28% thereafter)(6) |
100,105
|
|
|
Societe
Generale SA |
|
| 440,000
|
6.07%,
01/19/2035, (6.07% fixed rate until 01/19/2034; 1 yr. USD CMT + 2.10% thereafter)(1)(6) |
441,299
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Commercial
Banks - 9.4% - (continued) |
| $
610,000 |
6.22%,
06/15/2033, (6.22% fixed rate until 06/15/2032; 1 yr. USD CMT + 3.20% thereafter)(1)(6) |
$ 609,444
|
|
200,000 |
Standard
Chartered PLC 7.77%, 11/16/2028, (7.77% fixed rate until 11/16/2027; 1 yr. USD CMT + 3.45% thereafter)(1)(6) |
215,471 |
|
120,000 |
Truist
Financial Corp. 5.44%, 01/24/2030, (5.44% fixed rate until 01/24/2029; 6 mo. USD SOFR + 1.62% thereafter)(6) |
120,906 |
|
|
UBS
Group AG |
|
|
325,000 |
5.43%,
02/08/2030, (5.43% fixed rate until 02/08/2029; 1 yr. USD CMT + 1.52% thereafter)(1)(6) |
327,306 |
|
200,000 |
6.25%,
09/22/2029, (6.25% fixed rate until 09/22/2028; 1 yr. USD CMT + 1.80% thereafter)(1)(6) |
208,282 |
|
530,000 |
6.54%,
08/12/2033, (6.54% fixed rate until 08/12/2032; 6 mo. USD SOFR + 3.92% thereafter)(1)(6) |
563,782 |
|
|
Wells
Fargo & Co. |
|
| 230,000
|
2.57%,
02/11/2031, (2.57% fixed rate until 02/11/2030; 3 mo. USD Term SOFR + 1.26% thereafter)(6) |
199,958
|
| 265,000
|
3.35%,
03/02/2033, (3.35% fixed rate until 03/02/2032; 6 mo. USD SOFR + 1.50% thereafter)(6) |
232,348
|
| 165,000
|
4.81%,
07/25/2028, (4.81% fixed rate until 07/25/2027; 6 mo. USD SOFR + 1.98% thereafter)(6) |
163,954
|
| 280,000
|
4.90%,
07/25/2033, (4.90% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.10% thereafter)(6) |
273,403
|
| 161,000
|
5.01%,
04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD Term SOFR + 4.50% thereafter)(6) |
153,300
|
| 140,000
|
5.50%,
01/23/2035, (5.50% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.78% thereafter)(6) |
142,563
|
| 615,000
|
5.57%,
07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(6) |
628,277
|
| 150,000
|
6.30%,
10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(6) |
157,996
|
| 25,000
|
6.49%,
10/23/2034, (6.49% fixed rate until 10/23/2033; 6 mo. USD SOFR + 2.06% thereafter)(6) |
27,228
|
|
|
|
|
21,136,462
|
| |
Commercial
Services - 0.1% |
|
|
Howard
University |
|
| 100,000
|
2.90%,
10/01/2031 |
86,931
|
| 70,000
|
3.48%,
10/01/2041 |
51,352
|
|
|
|
|
138,283
|
| |
Construction
Materials - 0.0% |
| 25,000
|
Carrier
Global Corp. 5.90%, 03/15/2034(1) |
26,684
|
| |
Diversified
Financial Services - 0.6% |
|
|
American
Express Co. |
|
| 110,000
|
5.04%,
05/01/2034, (5.04% fixed rate until 05/01/2033; 6 mo. USD SOFR + 1.84% thereafter)(6) |
109,979
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Diversified
Financial Services - 0.6% - (continued) |
| $
65,000 |
6.34%,
10/30/2026, (6.34% fixed rate until 10/30/2025; 6 mo. USD SOFR + 1.33% thereafter)(6) |
$ 66,332
|
|
|
Capital
One Financial Corp. |
|
|
195,000 |
1.88%,
11/02/2027, (1.88% fixed rate until 11/02/2026; 6 mo. USD SOFR + 0.86% thereafter)(6) |
177,290 |
|
330,000 |
3.27%,
03/01/2030, (3.27% fixed rate until 03/01/2029; 6 mo. USD SOFR + 1.79% thereafter)(6) |
296,253 |
|
205,000 |
5.25%,
07/26/2030, (5.25% fixed rate until 07/26/2029; 6 mo. USD SOFR + 2.60% thereafter)(6) |
202,276 |
|
55,000 |
6.05%,
02/01/2035, (6.05% fixed rate until 02/01/2034; 6 mo. USD SOFR + 2.26% thereafter)(6) |
55,868 |
|
75,000 |
6.31%,
06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(6) |
77,289 |
|
50,000 |
6.38%,
06/08/2034, (6.38% fixed rate until 06/08/2033; 6 mo. USD SOFR + 2.86% thereafter)(6) |
51,812 |
| 265,000
|
7.62%,
10/30/2031, (7.62% fixed rate until 10/30/2030; 6 mo. USD SOFR + 3.07% thereafter)(6) |
292,505
|
| 35,000
|
Discover
Financial Services 7.96%, 11/02/2034, (7.96% fixed rate until 11/02/2033; 6 mo. USD SOFR + 3.37% thereafter)(6) |
38,987
|
|
|
|
|
1,368,591
|
| |
Electric
- 5.7% |
|
|
Alabama
Power Co. |
|
| 100,000
|
3.45%,
10/01/2049 |
75,114
|
| 42,000
|
4.15%,
08/15/2044 |
35,899
|
|
|
Arizona
Public Service Co. |
|
| 85,000
|
5.55%,
08/01/2033 |
87,731
|
| 150,000
|
6.35%,
12/15/2032 |
162,565
|
| 145,000
|
Berkshire
Hathaway Energy Co. 4.60%, 05/01/2053 |
127,809
|
| 250,000
|
CenterPoint
Energy, Inc. 5.25%, 08/10/2026 |
253,642
|
| 95,000
|
Cleco
Corporate Holdings LLC 3.38%, 09/15/2029 |
83,465
|
| 195,000
|
Consolidated
Edison Co. of New York, Inc. 3.20%, 12/01/2051 |
136,810
|
|
|
Dominion
Energy, Inc. |
|
| 234,000
|
3.38%,
04/01/2030 |
213,819
|
| 316,000
|
5.38%,
11/15/2032 |
320,449
|
| 10,000
|
6.30%,
03/15/2033 |
10,645
|
|
|
Duke
Energy Corp. |
|
| 70,000
|
2.45%,
06/01/2030 |
60,936
|
| 1,245,000
|
2.55%,
06/15/2031 |
1,058,717
|
| 120,000
|
3.75%,
09/01/2046 |
92,290
|
| 215,000
|
4.50%,
08/15/2032 |
206,455
|
| 65,000
|
5.00%,
08/15/2052 |
60,023
|
| 82,000
|
Duke
Energy Indiana LLC 3.25%, 10/01/2049 |
57,801
|
|
|
Edison
International |
|
| 95,000
|
4.13%,
03/15/2028 |
92,098
|
| 160,000
|
5.25%,
11/15/2028 |
161,434
|
| 60,000
|
6.95%,
11/15/2029 |
65,073
|
| 304,000
|
Evergy,
Inc. 2.90%, 09/15/2029 |
273,650
|
|
|
Eversource
Energy |
|
| 30,000
|
4.75%,
05/15/2026 |
29,811
|
| 445,000
|
5.13%,
05/15/2033 |
437,380
|
| 245,000
|
5.45%,
03/01/2028 |
249,294
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Electric
- 5.7% - (continued) |
| $
125,000 |
5.50%,
01/01/2034 |
$ 126,281
|
|
250,000 |
Florida
Power & Light Co. 4.63%, 05/15/2030 |
251,296 |
|
|
Georgia
Power Co. |
|
|
71,000 |
4.30%,
03/15/2042 |
62,731 |
|
240,000 |
4.65%,
05/16/2028 |
240,304 |
|
55,000 |
4.70%,
05/15/2032 |
54,333 |
| 122,000
|
ITC
Holdings Corp. 2.95%, 05/14/2030(1) |
108,254
|
| 15,000
|
Metropolitan
Edison Co. 5.20%, 04/01/2028(1) |
15,161
|
| 115,000
|
Monongahela
Power Co. 5.85%, 02/15/2034(1) |
119,842
|
| 295,000
|
National
Grid PLC 5.60%, 06/12/2028 |
303,482
|
|
|
National
Rural Utilities Cooperative Finance Corp. |
|
| 235,000
|
4.15%,
12/15/2032 |
221,082
|
| 160,000
|
5.00%,
02/07/2031 |
161,029
|
| 15,000
|
5.80%,
01/15/2033 |
15,823
|
|
|
NextEra
Energy Capital Holdings, Inc. |
|
| 539,000
|
2.25%,
06/01/2030 |
460,249
|
| 295,000
|
4.63%,
07/15/2027 |
293,998
|
| 60,000
|
5.05%,
02/28/2033 |
59,774
|
| 125,000
|
5.75%,
09/01/2025 |
126,256
|
| 184,000
|
Oglethorpe
Power Corp. 5.05%, 10/01/2048 |
165,743
|
| 115,000
|
Ohio
Edison Co. 5.50%, 01/15/2033(1) |
115,824
|
| 180,000
|
Ohio
Power Co. 5.00%, 06/01/2033 |
180,236
|
| 180,000
|
Oncor
Electric Delivery Co. LLC 5.65%, 11/15/2033 |
190,486
|
|
|
Pacific
Gas & Electric Co. |
|
| 875,000
|
2.50%,
02/01/2031 |
724,774
|
| 175,000
|
3.25%,
06/01/2031 |
151,831
|
| 405,000
|
4.55%,
07/01/2030 |
386,748
|
| 310,000
|
5.45%,
06/15/2027 |
311,753
|
| 235,000
|
6.10%,
01/15/2029 |
243,470
|
| 275,000
|
6.15%,
01/15/2033 |
285,588
|
| 100,000
|
6.40%,
06/15/2033 |
106,051
|
| 10,000
|
Pennsylvania
Electric Co. 5.15%, 03/30/2026(1) |
9,980
|
| 65,000
|
PPL
Capital Funding, Inc. 4.13%, 04/15/2030 |
61,828
|
| 135,000
|
Public
Service Enterprise Group, Inc. 6.13%, 10/15/2033 |
144,166
|
| 324,000
|
Puget
Energy, Inc. 3.65%, 05/15/2025 |
316,538
|
| 47,000
|
Sempra
3.40%, 02/01/2028 |
44,741
|
|
|
Southern
California Edison Co. |
|
| 232,000
|
2.25%,
06/01/2030 |
199,499
|
| 75,000
|
2.75%,
02/01/2032 |
64,370
|
| 72,000
|
2.85%,
08/01/2029 |
65,613
|
| 166,000
|
3.65%,
02/01/2050 |
126,156
|
| 2,000
|
4.00%,
04/01/2047 |
1,621
|
| 235,000
|
4.90%,
06/01/2026 |
235,734
|
| 175,000
|
5.20%,
06/01/2034 |
176,165
|
|
|
Southern
Co. |
|
| 4,000
|
3.25%,
07/01/2026 |
3,860
|
| 158,000
|
3.70%,
04/30/2030 |
148,496
|
| 410,000
|
4.85%,
06/15/2028 |
412,304
|
| 105,000
|
5.20%,
06/15/2033 |
106,149
|
| 210,000
|
Southwestern
Electric Power Co. 5.30%, 04/01/2033 |
210,598
|
|
|
Virginia
Electric & Power Co. |
|
| 62,000
|
2.45%,
12/15/2050 |
37,302
|
| 310,000
|
5.00%,
04/01/2033 |
310,855
|
| 260,000
|
5.00%,
01/15/2034 |
258,696
|
| 50,000
|
5.35%,
01/15/2054 |
49,769
|
| 90,000
|
Xcel
Energy, Inc. 4.60%, 06/01/2032 |
87,230
|
|
|
|
|
12,906,979
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Entertainment
- 0.1% |
|
|
Warnermedia
Holdings, Inc. |
|
| $
320,000 |
4.28%,
03/15/2032 |
$ 292,652
|
|
30,000 |
5.05%,
03/15/2042 |
26,534
|
|
|
|
|
319,186
|
| |
Food
- 0.3% |
|
|
Conagra
Brands, Inc. |
|
|
337,000 |
4.85%,
11/01/2028 |
335,631 |
|
120,000 |
5.30%,
10/01/2026 |
121,327 |
| 40,000
|
General
Mills, Inc. 4.95%, 03/29/2033 |
39,995
|
| 115,000
|
Sysco
Corp. 5.75%, 01/17/2029 |
119,877
|
|
|
|
|
616,830
|
| |
Gas
- 0.8% |
| 65,000
|
Boston
Gas Co. 3.76%, 03/16/2032(1) |
57,742
|
| 325,000
|
Brooklyn
Union Gas Co. 4.87%, 08/05/2032(1) |
302,605
|
| 70,000
|
KeySpan
Gas East Corp. 5.99%, 03/06/2033(1) |
70,868
|
|
|
NiSource,
Inc. |
|
| 75,000
|
1.70%,
02/15/2031 |
60,535
|
| 242,000
|
3.49%,
05/15/2027 |
233,070
|
| 92,000
|
3.60%,
05/01/2030 |
85,706
|
| 250,000
|
5.25%,
03/30/2028 |
254,905
|
| 115,000
|
5.40%,
06/30/2033 |
117,762
|
|
|
Southern
California Gas Co. |
|
| 370,000
|
5.20%,
06/01/2033 |
377,926
|
| 25,000
|
5.75%,
06/01/2053 |
25,963
|
| 50,000
|
Southern
Co. Gas Capital Corp. 5.75%, 09/15/2033 |
52,308
|
|
|
Southwest
Gas Corp. |
|
| 159,000
|
2.20%,
06/15/2030 |
135,135
|
| 35,000
|
4.15%,
06/01/2049 |
27,214
|
|
|
|
|
1,801,739
|
| |
Hand/Machine
Tools - 0.2% |
| 445,000
|
Regal
Rexnord Corp. 6.05%, 04/15/2028(1) |
451,509
|
| |
Healthcare
- Products - 0.2% |
| 400,000
|
Alcon
Finance Corp. 3.00%, 09/23/2029(1) |
364,599
|
| |
Healthcare
- Services - 0.3% |
| 117,000
|
CommonSpirit
Health 2.76%, 10/01/2024 |
114,861
|
| 45,000
|
Humana,
Inc. 5.75%, 12/01/2028 |
46,603
|
| 175,000
|
Kaiser
Foundation Hospitals 2.81%, 06/01/2041 |
131,265
|
| 25,000
|
Sutter
Health 3.36%, 08/15/2050 |
18,671
|
|
|
UnitedHealth
Group, Inc. |
|
| 87,000
|
4.75%,
07/15/2045 |
83,891
|
| 35,000
|
4.95%,
05/15/2062 |
33,775
|
| 95,000
|
5.35%,
02/15/2033 |
99,268
|
| 55,000
|
5.88%,
02/15/2053 |
61,118
|
| 65,000
|
6.05%,
02/15/2063 |
74,076
|
|
|
|
|
663,528
|
| |
Household
Products - 0.1% |
| 245,000
|
Kenvue,
Inc. 5.50%, 03/22/2025 |
246,949
|
| |
Insurance
- 1.4% |
| 40,000
|
Aon
Corp. 2.80%, 05/15/2030 |
35,522
|
| 90,000
|
Aon
Corp./Aon Global Holdings PLC 5.35%, 02/28/2033 |
91,906
|
| 350,000
|
Athene
Global Funding 2.65%, 10/04/2031(1) |
285,871
|
| 170,000
|
Athene
Holding Ltd. 5.88%, 01/15/2034 |
170,370
|
| 290,000
|
Brighthouse
Financial Global Funding 1.75%, 01/13/2025(1) |
279,076
|
|
|
Corebridge
Financial, Inc. |
|
| 170,000
|
3.85%,
04/05/2029 |
160,470
|
| 25,000
|
6.05%,
09/15/2033(1) |
26,147
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Insurance
- 1.4% - (continued) |
| $
50,000 |
Corebridge
Global Funding 5.90%, 09/19/2028(1) |
$ 51,847
|
|
415,000 |
Equitable
Financial Life Global Funding 1.80%, 03/08/2028(1) |
367,337 |
|
60,000 |
Equitable
Holdings, Inc. 4.35%, 04/20/2028 |
58,328 |
|
295,000 |
GA
Global Funding Trust 5.50%, 01/08/2029(1) |
296,560 |
|
80,000 |
Marsh
& McLennan Cos., Inc. 4.75%, 03/15/2039 |
78,185 |
|
215,000 |
MetLife,
Inc. 5.38%, 07/15/2033 |
221,923 |
| 470,000
|
Metropolitan
Life Global Funding I 2.40%, 01/11/2032(1) |
388,774
|
| 190,000
|
Principal
Financial Group, Inc. 5.38%, 03/15/2033 |
195,144
|
| 95,000
|
Principal
Life Global Funding II 5.10%, 01/25/2029(1) |
95,605
|
| 150,000
|
Protective
Life Global Funding 5.47%, 12/08/2028(1) |
154,039
|
| 259,000
|
Willis
North America, Inc. 2.95%, 09/15/2029 |
232,726
|
|
|
|
|
3,189,830
|
| |
Internet
- 0.2% |
| 375,000
|
Meta
Platforms, Inc. 4.60%, 05/15/2028 |
378,650
|
| |
Investment
Company Security - 0.2% |
| 525,000
|
Bain
Capital Specialty Finance, Inc. 2.55%, 10/13/2026 |
476,548
|
| |
IT
Services - 0.1% |
| 250,000
|
Apple,
Inc. 4.15%, 05/10/2030 |
250,007
|
| |
Machinery-Diversified
- 0.2% |
| 40,000
|
Ingersoll
Rand, Inc. 5.70%, 08/14/2033 |
41,725
|
| 366,000
|
Otis
Worldwide Corp. 2.57%, 02/15/2030 |
323,763
|
|
|
|
|
365,488
|
| |
Media
- 1.3% |
|
|
Charter
Communications Operating LLC/Charter Communications Operating Capital |
|
| 40,000
|
3.50%,
03/01/2042 |
27,440
|
| 482,000
|
4.20%,
03/15/2028 |
463,068
|
| 380,000
|
4.40%,
12/01/2061 |
255,136
|
| 140,000
|
4.80%,
03/01/2050 |
106,747
|
| 68,000
|
5.13%,
07/01/2049 |
54,275
|
| 100,000
|
5.75%,
04/01/2048 |
87,022
|
|
|
Comcast
Corp. |
|
| 434,000
|
3.20%,
07/15/2036 |
364,725
|
| 150,000
|
3.75%,
04/01/2040 |
128,246
|
| 425,000
|
4.55%,
01/15/2029 |
425,373
|
| 95,000
|
4.80%,
05/15/2033 |
95,167
|
| 165,000
|
Cox
Communications, Inc. 2.60%, 06/15/2031(1) |
137,854
|
|
|
Discovery
Communications LLC |
|
| 100,000
|
3.90%,
11/15/2024 |
98,731
|
| 23,000
|
4.13%,
05/15/2029 |
21,817
|
| 472,000
|
5.20%,
09/20/2047 |
407,429
|
| 25,000
|
5.30%,
05/15/2049 |
21,640
|
|
|
Paramount
Global |
|
| 165,000
|
4.38%,
03/15/2043 |
118,960
|
| 191,000
|
4.95%,
01/15/2031 |
180,460
|
|
|
|
|
2,994,090
|
| |
Mining
- 0.4% |
| 260,000
|
Anglo
American Capital PLC 3.88%, 03/16/2029(1) |
244,485
|
| 150,000
|
BHP
Billiton Finance USA Ltd. 4.90%, 02/28/2033 |
151,783
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Mining
- 0.4% - (continued) |
| $
200,000 |
Corp.
Nacional del Cobre de Chile 5.95%, 01/08/2034(1) |
$ 199,842
|
|
370,000 |
Glencore
Funding LLC 6.38%, 10/06/2030(1) |
396,360
|
|
|
|
|
992,470
|
| |
Office/Business
Equipment - 0.1% |
|
|
CDW
LLC/CDW Finance Corp. |
|
|
80,000 |
2.67%,
12/01/2026 |
74,813 |
|
70,000 |
3.57%,
12/01/2031 |
61,410 |
|
175,000 |
5.50%,
12/01/2024 |
174,148
|
|
|
|
|
310,371
|
| |
Oil
& Gas - 1.1% |
|
|
BP
Capital Markets America, Inc. |
|
| 130,000
|
3.38%,
02/08/2061 |
91,872
|
| 225,000
|
4.81%,
02/13/2033 |
224,704
|
| 65,000
|
4.89%,
09/11/2033 |
65,236
|
| 65,000
|
Canadian
Natural Resources Ltd. 2.95%, 07/15/2030 |
57,242
|
|
|
ConocoPhillips
Co. |
|
| 120,000
|
3.80%,
03/15/2052 |
95,067
|
| 115,000
|
5.05%,
09/15/2033 |
116,937
|
| 105,000
|
5.70%,
09/15/2063 |
110,897
|
| 160,000
|
Diamondback
Energy, Inc. 6.25%, 03/15/2033 |
170,530
|
| 232,000
|
Equinor
ASA 3.63%, 04/06/2040 |
198,272
|
|
|
Hess
Corp. |
|
| 98,000
|
7.13%,
03/15/2033 |
113,428
|
| 201,000
|
7.30%,
08/15/2031 |
232,173
|
|
|
Occidental
Petroleum Corp. |
|
| 98,000
|
6.13%,
01/01/2031 |
101,744
|
| 260,000
|
6.63%,
09/01/2030 |
277,212
|
| 60,000
|
Ovintiv,
Inc. 7.38%, 11/01/2031 |
66,506
|
| 165,000
|
Phillips
66 Co. 4.95%, 12/01/2027 |
166,223
|
| 200,000
|
Pioneer
Natural Resources Co. 5.10%, 03/29/2026 |
201,377
|
|
|
Shell
International Finance BV |
|
| 190,000
|
3.00%,
11/26/2051 |
132,412
|
| 75,000
|
3.25%,
04/06/2050 |
55,063
|
|
|
|
|
2,476,895
|
| |
Pharmaceuticals
- 0.5% |
| 173,000
|
AbbVie,
Inc. 3.20%, 11/21/2029 |
161,117
|
|
|
CVS
Health Corp. |
|
| 210,000
|
2.70%,
08/21/2040 |
147,733
|
| 7,000
|
4.13%,
04/01/2040 |
5,934
|
| 325,000
|
5.00%,
01/30/2029 |
328,617
|
| 71,000
|
5.13%,
02/21/2030 |
71,660
|
| 180,000
|
McKesson
Corp. 5.10%, 07/15/2033 |
184,203
|
| 250,000
|
Pfizer
Investment Enterprises Pte. Ltd. 4.45%, 05/19/2028 |
249,371
|
|
|
|
|
1,148,635
|
| |
Pipelines
- 1.7% |
|
|
Cheniere
Energy Partners LP |
|
| 35,000
|
3.25%,
01/31/2032 |
29,738
|
| 90,000
|
4.50%,
10/01/2029 |
85,892
|
| 100,000
|
Columbia
Pipelines Holding Co. LLC 6.04%, 08/15/2028(1) |
103,488
|
|
|
Columbia
Pipelines Operating Co. LLC |
|
| 260,000
|
5.93%,
08/15/2030(1) |
270,040
|
| 120,000
|
6.04%,
11/15/2033(1) |
125,819
|
| 80,000
|
6.54%,
11/15/2053(1) |
87,735
|
| 255,000
|
EIG
Pearl Holdings SARL 3.55%, 08/31/2036(1) |
214,990
|
| 415,000
|
Enbridge,
Inc. 5.70%, 03/08/2033 |
428,688
|
|
|
Energy
Transfer LP |
|
| 75,000
|
5.25%,
04/15/2029 |
75,742
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Pipelines
- 1.7% - (continued) |
| $
470,000 |
6.40%,
12/01/2030 |
$ 499,475
|
|
350,000 |
Greensaif
Pipelines Bidco SARL 6.13%, 02/23/2038(1) |
357,817 |
|
|
MPLX
LP |
|
|
50,000 |
2.65%,
08/15/2030 |
43,337 |
|
62,000 |
5.20%,
12/01/2047 |
56,159 |
|
|
ONEOK,
Inc. |
|
|
180,000 |
3.10%,
03/15/2030 |
161,800 |
|
35,000 |
3.40%,
09/01/2029 |
32,349 |
| 50,000
|
4.35%,
03/15/2029 |
48,736
|
| 80,000
|
6.10%,
11/15/2032 |
84,222
|
| 60,000
|
Plains
All American Pipeline LP/PAA Finance Corp. 3.55%, 12/15/2029 |
55,177
|
|
|
Targa
Resources Corp. |
|
| 35,000
|
6.13%,
03/15/2033 |
36,704
|
| 80,000
|
6.15%,
03/01/2029 |
83,558
|
| 305,000
|
Targa
Resources Partners LP/Targa Resources Partners Finance Corp. 4.00%, 01/15/2032 |
274,903
|
| 95,000
|
Transcontinental
Gas Pipe Line Co. LLC 3.25%, 05/15/2030 |
86,600
|
|
|
Williams
Cos., Inc. |
|
| 100,000
|
2.60%,
03/15/2031 |
85,497
|
| 180,000
|
4.65%,
08/15/2032 |
174,660
|
| 225,000
|
4.90%,
03/15/2029 |
225,225
|
| 39,000
|
5.65%,
03/15/2033 |
40,558
|
|
|
|
|
3,768,909
|
| |
Real
Estate Investment Trusts - 0.7% |
|
|
American
Tower Corp. |
|
| 195,000
|
3.65%,
03/15/2027 |
188,237
|
| 110,000
|
3.80%,
08/15/2029 |
103,722
|
| 250,000
|
5.25%,
07/15/2028 |
253,412
|
|
|
Crown
Castle, Inc. |
|
| 40,000
|
2.50%,
07/15/2031 |
33,312
|
| 214,000
|
3.80%,
02/15/2028 |
203,389
|
| 330,000
|
4.80%,
09/01/2028 |
325,675
|
| 75,000
|
5.00%,
01/11/2028 |
74,555
|
| 160,000
|
5.60%,
06/01/2029 |
162,922
|
| 155,000
|
GLP
Capital LP/GLP Financing II, Inc. 5.30%, 01/15/2029 |
152,761
|
| 50,000
|
VICI
Properties LP 4.95%, 02/15/2030 |
48,513
|
|
|
|
|
1,546,498
|
| |
Retail
- 0.3% |
| 200,000
|
AutoZone,
Inc. 6.55%, 11/01/2033 |
220,403
|
| 180,000
|
Lowe's
Cos., Inc. 4.80%, 04/01/2026 |
180,201
|
|
|
O'Reilly
Automotive, Inc. |
|
| 230,000
|
4.70%,
06/15/2032 |
226,411
|
| 125,000
|
5.75%,
11/20/2026 |
128,085
|
|
|
|
|
755,100
|
| |
Semiconductors
- 0.3% |
|
|
Intel
Corp. |
|
| 88,000
|
3.25%,
11/15/2049 |
63,671
|
| 55,000
|
5.90%,
02/10/2063 |
59,583
|
|
|
Marvell
Technology, Inc. |
|
| 50,000
|
2.95%,
04/15/2031 |
43,551
|
| 175,000
|
5.75%,
02/15/2029 |
181,274
|
| 155,000
|
NVIDIA
Corp. 3.50%, 04/01/2040 |
133,596
|
| 214,000
|
NXP
BV/NXP Funding LLC/NXP USA, Inc. 4.30%, 06/18/2029 |
207,133
|
|
|
|
|
688,808
|
| |
Software
- 0.4% |
|
|
Oracle
Corp. |
|
| 70,000
|
2.95%,
04/01/2030 |
63,020
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 30.1% - (continued) |
| |
Software
- 0.4% - (continued) |
| $
219,000 |
3.60%,
04/01/2040 |
$ 174,704
|
|
67,000 |
3.80%,
11/15/2037 |
57,100 |
|
450,000 |
5.38%,
07/15/2040 |
443,697 |
|
101,000 |
6.15%,
11/09/2029 |
107,742
|
|
|
|
|
846,263
|
| |
Telecommunications
- 0.7% |
|
|
AT&T,
Inc. |
|
|
420,000 |
2.55%,
12/01/2033 |
340,461 |
| 140,000
|
3.50%,
06/01/2041 |
110,949
|
| 49,000
|
3.65%,
09/15/2059 |
34,547
|
| 95,000
|
5.40%,
02/15/2034 |
97,362
|
| 245,000
|
5.54%,
02/20/2026 |
245,089
|
|
|
T-Mobile
USA, Inc. |
|
| 55,000
|
2.05%,
02/15/2028 |
49,598
|
| 280,000
|
3.00%,
02/15/2041 |
208,481
|
| 160,000
|
3.88%,
04/15/2030 |
151,200
|
| 225,000
|
4.80%,
07/15/2028 |
225,534
|
| 170,000
|
Verizon
Communications, Inc. 2.36%, 03/15/2032 |
141,026
|
|
|
|
|
1,604,247
|
| |
Trucking
& Leasing - 0.4% |
| 455,000
|
DAE
Funding LLC 1.55%, 08/01/2024(1) |
443,364
|
|
|
Penske
Truck Leasing Co. LP/PTL Finance Corp. |
|
| 225,000
|
4.40%,
07/01/2027(1) |
220,049
|
| 250,000
|
5.55%,
05/01/2028(1) |
254,338
|
| 75,000
|
6.05%,
08/01/2028(1) |
77,873
|
|
|
|
|
995,624
|
|
|
Total
Corporate Bonds
(cost $69,929,814) |
$
68,034,051 |
| FOREIGN
GOVERNMENT OBLIGATIONS - 1.8% |
| |
Bermuda
- 0.2% |
|
|
Bermuda
Government International Bonds |
|
| 400,000
|
2.38%,
08/20/2030(8) |
$
336,520 |
| 200,000
|
5.00%,
07/15/2032(8) |
194,000
|
|
|
|
|
530,520
|
| |
Chile
- 0.1% |
| 200,000
|
Chile
Government International Bonds 4.95%, 01/05/2036 |
196,180
|
| |
Hungary
- 0.3% |
|
|
Hungary
Government International Bonds |
|
| 305,000
|
5.50%,
03/26/2036(1) |
298,607
|
| 265,000
|
6.13%,
05/22/2028(1) |
272,579
|
|
|
|
|
571,186
|
| |
Mexico
- 0.4% |
|
|
Mexico
Government International Bonds |
|
| 690,000
|
6.00%,
05/07/2036 |
702,458
|
| 200,000
|
6.40%,
05/07/2054 |
201,228
|
|
|
|
|
903,686
|
| |
Panama
- 0.1% |
| 220,000
|
Panama
Government International Bonds 6.85%, 03/28/2054 |
196,722
|
| |
Romania
- 0.5% |
|
|
Romania
Government International Bonds |
|
| 466,000
|
3.00%,
02/14/2031(8) |
395,811
|
| 438,000
|
5.88%,
01/30/2029(1) |
442,352
|
| 174,000
|
6.38%,
01/30/2034(1) |
177,695
|
|
|
|
|
1,015,858
|
| Shares
or Principal Amount |
|
Market
Value† |
| FOREIGN
GOVERNMENT OBLIGATIONS - 1.8% - (continued) |
| |
Saudi
Arabia - 0.2% |
|
|
Saudi
Government International Bonds |
|
| $
400,000 |
5.00%,
01/18/2053(1) |
$ 355,000
|
|
200,000 |
5.75%,
01/16/2054(1) |
196,542 |
|
|
|
|
551,542
|
|
|
Total
Foreign Government Obligations
(cost $4,083,490) |
|
$
3,965,694 |
| MUNICIPAL
BONDS - 0.8% |
| |
Airport
- 0.1% |
| 130,000
|
Dallas
Fort Worth International Airport, TX, Rev 4.51%, 11/01/2051 |
$
121,071 |
| |
Build
America Bonds - 0.1% |
| 115,000
|
Metropolitan
Transportation Auth, NY, Rev 6.81%, 11/15/2040 |
129,768
|
| 155,000
|
State
of California, CA, GO 7.30%, 10/01/2039 |
187,699
|
|
|
|
|
317,467
|
| |
Development
- 0.1% |
| 345,000
|
New
York Transportation Dev Corp., NY, Rev 4.25%, 09/01/2035 |
336,177
|
| |
General
- 0.3% |
| 40,000
|
Chicago
Transit Auth Sales Tax Receipts Fund, IL, Rev 3.91%, 12/01/2040 |
34,845
|
| 224,205
|
Commonwealth
of Massachusetts, MA, Rev 4.11%, 07/15/2031 |
221,627
|
|
|
County
of Riverside, CA, Rev |
|
| 55,000
|
2.96%,
02/15/2027 |
52,806
|
| 55,000
|
3.07%,
02/15/2028 |
52,529
|
| 65,000
|
Dist
of Columbia, DC, Rev 3.43%, 04/01/2042 |
52,352
|
| 230,000
|
State
Board of Administration Finance Corp., FL, Rev 1.26%, 07/01/2025 |
218,751
|
|
|
|
|
632,910
|
| |
Higher
Education - 0.0% |
|
|
Marshall
University, WV, Rev, (AGM Insured) |
|
| 10,000
|
2.91%,
05/01/2026 |
9,615
|
| 10,000
|
3.63%,
05/01/2034 |
8,937
|
|
|
|
|
18,552
|
| |
Transportation
- 0.1% |
|
|
Metropolitan
Transportation Auth, NY, Rev |
|
| 15,000
|
4.75%,
11/15/2045 |
15,390
|
| 40,000
|
5.18%,
11/15/2049 |
38,588
|
| 85,000
|
New
York State Thruway Auth, NY, Rev 2.90%, 01/01/2035 |
72,984
|
|
|
|
|
126,962
|
| |
Utilities
- 0.1% |
| 325,000
|
Texas
Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 |
331,933
|
|
|
Total
Municipal Bonds
(cost $2,041,300) |
|
$
1,885,072 |
| U.S.
GOVERNMENT AGENCIES - 36.4% |
| |
Mortgage-Backed
Agencies - 36.4% |
| |
Federal
Home Loan Mortgage Corp. - 4.8% |
| 227,999
|
0.97%,
11/25/2030(3)(4) |
$
10,629 |
| 8,424
|
1.13%,
12/15/2027 |
7,976
|
| 1,405,673
|
1.21%,
06/25/2030(3)(4) |
80,674
|
| 97,860
|
1.24%,
01/25/2030(3)(4) |
5,143
|
| 9,899
|
1.25%,
12/15/2027 |
9,372
|
| 1,534,857
|
1.48%,
06/25/2030(3)(4) |
106,240
|
| 463,723
|
1.50%,
12/25/2050 |
369,235
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 36.4% - (continued) |
| |
Mortgage-Backed
Agencies - 36.4% - (continued) |
| |
Federal
Home Loan Mortgage Corp. - 4.8% - (continued) |
| $
1,093,031 |
1.54%,
05/25/2030(3)(4) |
$ 78,794
|
|
1,223,957 |
1.68%,
05/25/2030(3)(4) |
94,117 |
|
173,772 |
1.81%,
04/25/2030(3)(4) |
13,983 |
|
446,272 |
2.00%,
07/25/2050 |
380,298 |
|
217,495 |
2.00%,
10/01/2051 |
176,095 |
|
2,229,480 |
2.00%,
12/01/2051 |
1,804,703
|
|
3,491,922 |
2.00%,
01/01/2052 |
2,822,871
|
| 19,661
|
2.50%,
12/15/2042 |
17,702
|
| 940,492
|
2.50%,
09/01/2051 |
793,221
|
| 1,811,297
|
5.00%,
09/01/2052 |
1,793,002
|
| 2,155,473
|
5.00%,
11/01/2052 |
2,142,517
|
| 98,878
|
7.19%,
11/25/2043, 30 day USD SOFR Average + 1.85%(1)(2) |
100,476
|
| 166,193
|
7.34%,
06/25/2043, 30 day USD SOFR Average + 2.00%(1)(2) |
167,647
|
|
|
|
|
10,974,695
|
| |
Federal
National Mortgage Association - 6.6% |
| 41,549
|
1.25%,
02/25/2028 |
39,244
|
| 8,873
|
1.50%,
09/25/2027 |
8,437
|
| 139,665
|
2.00%,
10/01/2051 |
113,024
|
| 483,757
|
2.00%,
11/01/2051 |
390,586
|
| 5,605,980
|
2.00%,
04/01/2052 |
4,525,444
|
| 930,690
|
2.50%,
02/01/2052 |
784,973
|
| 1,228,041
|
2.50%,
05/01/2052 |
1,036,295
|
| 980,755
|
2.50%,
06/01/2052 |
828,150
|
| 931,831
|
2.50%,
07/01/2052 |
786,744
|
| 784,269
|
2.50%,
08/01/2052 |
661,700
|
| 282,000
|
3.00%,
12/25/2045 |
239,648
|
| 373,852
|
3.00%,
10/25/2046 |
332,772
|
| 313,000
|
3.00%,
03/25/2047 |
265,850
|
| 188,114
|
3.00%,
03/01/2050 |
166,634
|
| 1,912,627
|
3.00%,
11/01/2051 |
1,682,458
|
| 508,149
|
3.50%,
11/25/2042 |
470,041
|
| 735,000
|
4.50%,
12/25/2041 |
708,068
|
| 1,795,952
|
5.00%,
09/01/2052 |
1,777,812
|
|
|
|
|
14,817,880
|
| |
Government
National Mortgage Association - 6.4% |
| 2,274,020
|
2.00%,
12/20/2050 |
1,899,814
|
| 2,084,610
|
2.50%,
03/20/2051 |
1,808,492
|
| 1,275,000
|
2.50%,
02/20/2054(9) |
1,104,513
|
| 2,173,190
|
3.00%,
10/20/2051 |
1,950,874
|
| 2,400,000
|
3.00%,
02/20/2054(9) |
2,152,292
|
| 3,249,550
|
3.50%,
08/20/2052 |
3,004,194
|
| 1,650,000
|
4.00%,
02/20/2054(9) |
1,568,848
|
| 1,100,000
|
5.00%,
02/20/2054(9) |
1,094,199
|
|
|
|
|
14,583,226
|
| |
Uniform
Mortgage-Backed Security - 18.6% |
| 1,200,000
|
1.50%,
02/01/2039(9) |
1,048,339
|
| 300,000
|
1.50%,
02/13/2054(9) |
230,665
|
| 1,300,000
|
2.50%,
02/15/2039(9) |
1,198,630
|
| 613,000
|
2.50%,
02/13/2054(9) |
516,857
|
| 750,000
|
3.00%,
02/15/2039(9) |
707,511
|
| 3,450,000
|
4.00%,
02/13/2054(9) |
3,250,670
|
| 9,847,000
|
4.50%,
02/13/2054(9) |
9,526,202
|
| 12,610,000
|
5.50%,
02/13/2054(9) |
12,656,226
|
| 12,600,000
|
6.00%,
02/13/2054(9) |
12,781,868
|
|
|
|
|
41,916,968
|
|
|
Total
U.S. Government Agencies
(cost $83,599,329) |
|
$
82,292,769 |
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT SECURITIES - 22.1% |
| |
U.S.
Treasury Securities - 22.1% |
| |
U.S.
Treasury Bonds - 12.0% |
| $
1,570,000 |
1.25%,
05/15/2050 |
$ 815,971
|
|
1,495,000 |
1.38%,
11/15/2040 |
974,436 |
|
1,010,000 |
1.38%,
08/15/2050 |
542,559 |
|
2,455,000 |
1.63%,
11/15/2050 |
1,411,433
|
|
630,000 |
2.00%,
02/15/2050 |
401,625 |
|
1,248,000 |
2.38%,
11/15/2049 |
869,993 |
|
1,105,000 |
2.50%,
02/15/2045 |
821,887 |
| 1,935,000
|
2.88%,
05/15/2052 |
1,492,520
|
| 7,170,000
|
3.00%,
02/15/2047 |
5,741,322
|
| 1,525,000
|
3.00%,
02/15/2048 |
1,213,924
|
| 4,420,000
|
3.00%,
08/15/2052 |
3,500,088
|
| 2,095,000
|
3.13%,
02/15/2043 |
1,765,365
|
| 400,000
|
3.13%,
05/15/2048 |
325,625
|
| 1,780,000
|
3.38%,
08/15/2042 |
1,563,410
|
| 1,825,000
|
3.63%,
08/15/2043 |
1,652,195
|
| 1,840,000
|
3.63%,
02/15/2044 |
1,661,103
|
| 1,464,000
|
3.75%,
11/15/2043 |
1,347,509
|
| 275,000
|
3.88%,
08/15/2040 |
263,656
|
| 725,000
|
4.13%,
08/15/2053 |
711,746
|
|
|
|
|
27,076,367
|
| |
U.S.
Treasury Inflation-Protected Bonds - 0.7% |
| 301,141
|
0.13%,
02/15/2052(10) |
181,426
|
| 2,060,322
|
0.25%,
02/15/2050(10) |
1,324,200
|
|
|
|
|
1,505,626
|
| |
U.S.
Treasury Inflation-Protected Notes - 1.3% |
| 2,310,886
|
0.25%,
07/15/2029(10) |
2,148,695
|
| 837,967
|
0.75%,
07/15/2028(10) |
806,396
|
| 85,941
|
1.38%,
07/15/2033(10) |
83,636
|
|
|
|
|
3,038,727
|
| |
U.S.
Treasury Notes - 8.1% |
| 4,565,000
|
2.75%,
08/15/2032 |
4,165,919
|
| 9,105,000
|
2.88%,
05/15/2028(11)(12) |
8,731,553
|
| 1,835,000
|
2.88%,
05/15/2032 |
1,695,296
|
| 3,055,000
|
3.75%,
12/31/2030 |
3,022,063
|
| 645,000
|
4.50%,
11/15/2033 |
672,715
|
|
|
|
|
18,287,546
|
|
|
Total
U.S. Government Securities
(cost $60,971,444) |
|
$
49,908,266 |
|
|
Total
Long-Term Investments
(cost $284,265,660) |
|
$ 266,354,869
|
| SHORT-TERM
INVESTMENTS - 1.1% |
| |
Repurchase
Agreements - 1.0% |
| 2,149,615
|
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $2,149,931; collateralized by U.S. Treasury Note at 4.00%, maturing 01/31/2031, with a market value of $2,192,625 |
$
2,149,615 |
| |
Securities
Lending Collateral - 0.1% |
| 33,390
|
Goldman
Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(13) |
33,390
|
| 111,300
|
HSBC
U.S. Government Money Market Fund, Institutional Class, 5.27%(13) |
111,300
|
The accompanying notes are an integral part of these financial
statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| SHORT-TERM
INVESTMENTS - 1.1% - (continued) |
| |
Securities
Lending Collateral - 0.1% - (continued) |
| 33,390
|
Invesco
Government & Agency Portfolio, Institutional Class, 5.24%(13) |
$ 33,390
|
| 33,390
|
Morgan
Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.23%(13) |
33,390 |
|
|
|
|
211,470
|
|
|
Total
Short-Term Investments
(cost $2,361,085) |
$
2,361,085 |
|
|
Total
Investments
(cost $286,626,745) |
119.0%
|
$ 268,715,954
|
|
|
Other
Assets and Liabilities |
(19.0)%
|
(42,861,117)
|
|
|
Total
Net Assets |
100.0%
|
$ 225,854,837
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
|
(1) |
Security was
purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $67,673,254, representing 30.0% of net assets. |
|
(2) |
Variable rate
securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
|
(3) |
Securities
disclosed are interest-only strips. |
|
(4) |
Variable or
floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(5) |
Security is a
“step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
|
(6) |
Fixed to
variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
|
(7) |
Represents
entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
|
(8) |
Security is
exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an
exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2024, the aggregate value of these securities was $926,331, representing 0.4% of net assets. |
|
(9) |
Represents or
includes a TBA transaction. |
|
(10) |
The principal
amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
|
(11) |
All, or a
portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2024, the market value of securities pledged was $604,160. |
|
(12) |
All, or a
portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2024, the market value of securities pledged was $896,650. |
|
(13) |
Current yield
as of period end. |
| Futures
Contracts Outstanding at January 31, 2024 |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Short
position contracts: |
| U.S.
Treasury 2-Year Note Future |
|
141
|
|
03/28/2024
|
|
$ 28,997,532
|
|
$
(33,704) |
| U.S.
Treasury 5-Year Note Future |
|
205
|
|
03/28/2024
|
|
22,220,078
|
|
(304,192)
|
| U.S.
Treasury 10-Year Note Future |
|
41
|
|
03/19/2024
|
|
4,605,453
|
|
(26,902)
|
| U.S.
Treasury 10-Year Ultra Future |
|
45
|
|
03/19/2024
|
|
5,259,375
|
|
(187,345)
|
| U.S.
Treasury Long Bond Future |
|
16
|
|
03/19/2024
|
|
1,957,500
|
|
(112,164)
|
| U.S.
Treasury Ultra Bond Future |
|
7
|
|
03/19/2024
|
|
904,531
|
|
(10,480)
|
| Total
futures contracts |
|
$ (674,787)
|
The accompanying notes are an integral part of these
financial statements.
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Centrally
Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 |
| Reference
Entity |
|
Notional
Amount(1) |
|
(Pay)/Receive
Fixed Rate |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| Credit
default swaps on indices: |
|
|
| Sell
protection: |
|
|
| CDX.NA.IG.41.V1
|
|
USD
|
4,835,000
|
|
1.00%
|
|
12/20/2028
|
|
Quarterly
|
|
$ 85,652
|
|
$ —
|
|
$ 100,123
|
|
$ 14,471
|
| Total
centrally cleared credit default swap contracts |
|
$ 85,652
|
|
$ —
|
|
$ 100,123
|
|
$ 14,471
|
|
(1) |
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| Centrally
Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 |
Payments
made
by Fund |
|
Payments
received
by Fund |
|
Notional
Amount |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| 2.97%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
1,330,000
|
|
03/15/2053
|
|
Annual
|
|
$
3,033 |
|
$
— |
|
$ 157,877
|
|
$ 154,844
|
| 2.88%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
380,000
|
|
03/15/2053
|
|
Annual
|
|
4,329
|
|
—
|
|
51,258
|
|
46,929
|
| 3.25%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
495,000
|
|
06/21/2053
|
|
Annual
|
|
—
|
|
(5,280)
|
|
29,922
|
|
35,202
|
| 3.59%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
1,255,000
|
|
09/20/2053
|
|
Annual
|
|
5,327
|
|
—
|
|
(9,691)
|
|
(15,018)
|
| Total
centrally cleared interest rate swaps contracts |
|
$ 12,689
|
|
$ (5,280)
|
|
$ 229,366
|
|
$ 221,957
|
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of
investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used
as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Asset
& Commercial Mortgage-Backed Securities |
|
$
60,269,017 |
|
$
— |
|
$
60,269,017 |
|
$ —
|
| Corporate
Bonds |
|
68,034,051
|
|
—
|
|
68,034,051
|
|
—
|
| Foreign
Government Obligations |
|
3,965,694
|
|
—
|
|
3,965,694
|
|
—
|
| Municipal
Bonds |
|
1,885,072
|
|
—
|
|
1,885,072
|
|
—
|
| U.S.
Government Agencies |
|
82,292,769
|
|
—
|
|
82,292,769
|
|
—
|
| U.S.
Government Securities |
|
49,908,266
|
|
—
|
|
49,908,266
|
|
—
|
| Short-Term
Investments |
|
2,361,085
|
|
211,470
|
|
2,149,615
|
|
—
|
| Swaps
- Credit Default(2) |
|
14,471
|
|
—
|
|
14,471
|
|
—
|
| Swaps
- Interest Rate(2) |
|
236,975
|
|
—
|
|
236,975
|
|
—
|
| Total
|
|
$ 268,967,400
|
|
$
211,470 |
|
$ 268,755,930
|
|
$ —
|
| Liabilities
|
|
|
|
|
|
|
|
|
| Futures
Contracts(2) |
|
$
(674,787) |
|
$ (674,787)
|
|
$
— |
|
$ —
|
| Swaps
- Interest Rate(2) |
|
(15,018)
|
|
—
|
|
(15,018)
|
|
—
|
| Total
|
|
$
(689,805) |
|
$ (674,787)
|
|
$
(15,018) |
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
|
(2) |
Derivative
instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Large Cap Growth ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| COMMON
STOCKS - 97.0% |
| |
Automobiles
& Components - 0.1% |
| 2,677
|
Mobileye
Global, Inc. Class A* |
$ 69,227
|
| |
Capital
Goods - 1.0% |
| 4,261
|
Axon
Enterprise, Inc.* |
1,061,245
|
| |
Commercial
& Professional Services - 1.0% |
| 22,101
|
Copart,
Inc.* |
1,061,732
|
| |
Consumer
Discretionary Distribution & Retail - 9.1% |
| 55,749
|
Amazon.com,
Inc.* |
8,652,245
|
| 6,504
|
Ross
Stores, Inc. |
912,381
|
|
|
|
|
9,564,626
|
| |
Consumer
Durables & Apparel - 1.2% |
| 1,714
|
Deckers
Outdoor Corp.* |
1,291,893
|
| |
Consumer
Services - 1.9% |
| 32,643
|
DraftKings,
Inc. Class A* |
1,274,709
|
| 15,258
|
Las
Vegas Sands Corp. |
746,421
|
|
|
|
|
2,021,130
|
| |
Energy
- 0.6% |
| 3,910
|
Cheniere
Energy, Inc. |
641,201
|
| |
Financial
Services - 4.3% |
| 27,587
|
Block,
Inc.* |
1,793,431
|
| 10,403
|
KKR
& Co., Inc. |
900,692
|
| 19,654
|
Tradeweb
Markets, Inc. Class A |
1,874,795
|
|
|
|
|
4,568,918
|
| |
Food,
Beverage & Tobacco - 0.9% |
| 16,236
|
Monster
Beverage Corp.* |
893,305
|
| |
Health
Care Equipment & Services - 3.2% |
| 12,120
|
Dexcom,
Inc.* |
1,470,762
|
| 5,114
|
Intuitive
Surgical, Inc.* |
1,934,217
|
|
|
|
|
3,404,979
|
| |
Materials
- 0.9% |
| 4,223
|
Vulcan
Materials Co. |
954,440
|
| |
Media
& Entertainment - 18.2% |
| 45,790
|
Alphabet,
Inc. Class A* |
6,415,179
|
| 16,786
|
Liberty
Media Corp.-Liberty Formula One Class C* |
1,128,858
|
| 10,426
|
Live
Nation Entertainment, Inc.* |
926,350
|
| 15,168
|
Meta
Platforms, Inc. Class A* |
5,917,644
|
| 4,208
|
Netflix,
Inc.* |
2,373,775
|
| 26,641
|
Pinterest,
Inc. Class A* |
998,238
|
| 6,260
|
Spotify
Technology SA* |
1,348,091
|
|
|
|
|
19,108,135
|
| |
Pharmaceuticals,
Biotechnology & Life Sciences - 7.8% |
| 4,460
|
Danaher
Corp. |
1,069,999
|
| 6,666
|
Eli
Lilly & Co. |
4,303,636
|
| 22,852
|
Exact
Sciences Corp.* |
1,494,521
|
| 3,082
|
Vertex
Pharmaceuticals, Inc.* |
1,335,677
|
|
|
|
|
8,203,833
|
| |
Semiconductors
& Semiconductor Equipment - 14.5% |
| 9,516
|
Advanced
Micro Devices, Inc.* |
1,595,738
|
| 22,143
|
ARM
Holdings PLC ADR*(1) |
1,564,846
|
| 2,703
|
Broadcom,
Inc. |
3,189,540
|
| 12,611
|
Micron
Technology, Inc. |
1,081,393
|
| 12,742
|
NVIDIA
Corp. |
7,839,770
|
|
|
|
|
15,271,287
|
| |
Software
& Services - 24.0% |
| 3,403
|
Adobe,
Inc.* |
2,102,305
|
| 2,634
|
Intuit,
Inc. |
1,662,923
|
| 17,654
|
Microsoft
Corp. |
7,018,877
|
| 2,768
|
MongoDB,
Inc.* |
1,108,639
|
| 11,738
|
Oracle
Corp. |
1,311,135
|
| 9,715
|
Salesforce,
Inc.* |
2,730,789
|
| Shares
or Principal Amount |
|
Market
Value† |
| COMMON
STOCKS - 97.0% - (continued) |
| |
Software
& Services - 24.0% - (continued) |
| 3,205
|
ServiceNow,
Inc.* |
$ 2,453,107
|
| 18,306
|
Shopify,
Inc. Class A* |
1,465,762 |
| 7,287
|
Snowflake,
Inc. Class A* |
1,425,629 |
| 9,748
|
Workday,
Inc. Class A* |
2,837,350 |
| 4,629
|
Zscaler,
Inc.* |
1,090,917
|
|
|
|
|
25,207,433
|
| |
Technology
Hardware & Equipment - 6.8% |
| 34,059
|
Apple,
Inc. |
6,280,480
|
| 38,442
|
Flex
Ltd.* |
912,613
|
|
|
|
|
7,193,093
|
| |
Transportation
- 1.5% |
| 23,914
|
Uber
Technologies, Inc.* |
1,560,867
|
|
|
Total
Common Stocks
(cost $76,998,410) |
|
$ 102,077,344
|
| EXCHANGE-TRADED
FUNDS - 1.0% |
| |
Other
Investment Pools & Funds - 1.0% |
| 3,617
|
iShares
Russell 1000 Growth ETF |
$
1,123,296 |
|
|
Total
Exchange-Traded Funds
(cost $1,125,196) |
|
$
1,123,296 |
|
|
Total
Long-Term Investments
(cost $78,123,606) |
|
$ 103,200,640
|
| SHORT-TERM
INVESTMENTS - 1.7% |
| |
Repurchase
Agreements - 0.2% |
| $ 239,627
|
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $239,662; collateralized by U.S. Treasury Note at 0.75%, maturing 08/31/2026, with a market value of $244,511 |
$
239,627 |
| |
Securities
Lending Collateral - 1.5% |
| 241,205
|
Goldman
Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(2) |
241,205
|
| 804,016
|
HSBC
U.S. Government Money Market Fund, Institutional Class, 5.27%(2) |
804,016
|
| 241,205
|
Invesco
Government & Agency Portfolio, Institutional Class, 5.24%(2) |
241,205
|
| 241,205
|
Morgan
Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.23%(2) |
241,205
|
|
|
|
|
1,527,631
|
|
|
Total
Short-Term Investments
(cost $1,767,258) |
$
1,767,258 |
|
|
Total
Investments
(cost $79,890,864) |
99.7%
|
$ 104,967,898
|
|
|
Other
Assets and Liabilities |
0.3%
|
284,464
|
|
|
Total
Net Assets |
100.0%
|
$ 105,252,362
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
Equity industry
classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
| |
For Fund
compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
The accompanying notes are an integral part of these financial
statements.
Hartford
Large Cap Growth ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
See “Glossary” for abbreviation
descriptions.
| *
|
Non-income
producing. |
|
(1) |
Represents
entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
|
(2) |
Current
yield as of period end. |
|
† |
See
Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the
inputs used as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Common
Stocks |
|
|
|
|
|
|
|
|
| Automobiles
& Components |
|
$
69,227 |
|
$
69,227 |
|
$
— |
|
$ —
|
| Capital
Goods |
|
1,061,245
|
|
1,061,245
|
|
—
|
|
—
|
| Commercial
& Professional Services |
|
1,061,732
|
|
1,061,732
|
|
—
|
|
—
|
| Consumer
Discretionary Distribution & Retail |
|
9,564,626
|
|
9,564,626
|
|
—
|
|
—
|
| Consumer
Durables & Apparel |
|
1,291,893
|
|
1,291,893
|
|
—
|
|
—
|
| Consumer
Services |
|
2,021,130
|
|
2,021,130
|
|
—
|
|
—
|
| Energy
|
|
641,201
|
|
641,201
|
|
—
|
|
—
|
| Financial
Services |
|
4,568,918
|
|
4,568,918
|
|
—
|
|
—
|
| Food,
Beverage & Tobacco |
|
893,305
|
|
893,305
|
|
—
|
|
—
|
| Health
Care Equipment & Services |
|
3,404,979
|
|
3,404,979
|
|
—
|
|
—
|
| Materials
|
|
954,440
|
|
954,440
|
|
—
|
|
—
|
| Media
& Entertainment |
|
19,108,135
|
|
19,108,135
|
|
—
|
|
—
|
| Pharmaceuticals,
Biotechnology & Life Sciences |
|
8,203,833
|
|
8,203,833
|
|
—
|
|
—
|
| Semiconductors
& Semiconductor Equipment |
|
15,271,287
|
|
15,271,287
|
|
—
|
|
—
|
| Software
& Services |
|
25,207,433
|
|
25,207,433
|
|
—
|
|
—
|
| Technology
Hardware & Equipment |
|
7,193,093
|
|
7,193,093
|
|
—
|
|
—
|
| Transportation
|
|
1,560,867
|
|
1,560,867
|
|
—
|
|
—
|
| Exchange-Traded
Funds |
|
1,123,296
|
|
1,123,296
|
|
—
|
|
—
|
| Short-Term
Investments |
|
1,767,258
|
|
1,527,631
|
|
239,627
|
|
—
|
| Total
|
|
$ 104,967,898
|
|
$ 104,728,271
|
|
$ 239,627
|
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% |
| |
Alabama
- 3.4% |
| |
Black
Belt Energy Gas Dist, AL, Rev |
|
| $ 2,000,000
|
5.25%,
12/01/2027 |
$ 2,089,793
|
| 330,000
|
5.25%,
12/01/2053(1) |
356,902 |
| 1,475,000
|
County
of Jefferson Sewer, AL, Rev 5.00%, 10/01/2038 |
1,645,435 |
| 90,000
|
County
of Jefferson, AL, GO 5.00%, 04/01/2024 |
90,254 |
| 2,335,000
|
Energy
Southeast A Cooperative Dist, AL, Rev 5.50%, 11/01/2053(1) |
2,546,747 |
| 100,000
|
Jefferson
County Board of Education, AL, Special Tax 5.00%, 02/01/2042 |
105,058
|
| 2,000,000
|
Lower
Alabama Gas Dist, AL, Rev 5.00%, 09/01/2028 |
2,088,992
|
| 2,600,000
|
Southeast
Alabama Gas Supply Dist, AL, Rev 5.00%, 08/01/2054(1) |
2,775,961
|
| 415,000
|
Southeast
Energy Auth A Cooperative Dist, AL, Rev 5.50%, 01/01/2053(1) |
449,904
|
| 1,590,000
|
State
of Alabama Docks Department, AL, Rev, (AGM Insured) 5.00%, 10/01/2026 |
1,642,151
|
|
|
|
|
13,791,197
|
| |
Alaska
- 0.3% |
| 1,225,000
|
Northern
Tobacco Securitization Corp., AK, Rev 4.00%, 06/01/2039 |
1,231,915
|
| |
Arizona
- 1.9% |
| 6,000,000
|
Arizona
Industrial Dev Auth, AZ, Rev 2.95%, 02/01/2048(1) |
6,000,000
|
| 500,000
|
City
of Phoenix Civic Improvement Corp., AZ, Rev 5.00%, 07/01/2037 |
530,582
|
| |
Maricopa
County Industrial Dev Auth, AZ, Rev |
|
| 600,000
|
4.00%,
09/01/2037 |
610,046
|
| 230,000
|
4.00%,
10/15/2047(2) |
204,107
|
| 195,000
|
5.00%,
09/01/2031 |
210,259
|
|
|
|
|
7,554,994
|
| |
California
- 8.7% |
| 795,000
|
Bay
Area Toll Auth, CA, Rev 4.85%, 04/01/2056, SIFMA Municipal Swap Index + 0.30%(3) |
775,996
|
| |
California
Community Choice Financing Auth, CA, Rev |
|
| 755,000
|
5.00%,
12/01/2053(1) |
797,472
|
| 3,375,000
|
5.50%,
05/01/2054(1) |
3,610,292
|
| 205,000
|
California
Enterprise Dev Auth, CA, Rev 5.00%, 08/01/2045 |
209,637
|
| |
California
Municipal Finance Auth, CA, Rev, |
|
| 180,000
|
(BAM
Insured) 4.00%, 05/15/2034 |
186,839
|
| 600,000
|
(BAM
Insured) 4.00%, 05/15/2037 |
612,427
|
| 2,250,000
|
5.00%,
06/30/2027 |
2,334,108
|
| 245,000
|
California
Public Finance Auth, CA, Rev 2.38%, 11/15/2028(2) |
238,429
|
| 835,000
|
California
State University, CA, Rev 0.55%, 11/01/2049(1) |
753,020
|
| 185,000
|
Cathedral
City Redev Agency Successor Agency, CA, Tax Allocation, (BAM Insured) 4.00%, 08/01/2032 |
194,522
|
| |
City
of Fontana, CA, Special Tax |
|
| 500,000
|
4.00%,
09/01/2041 |
491,716
|
| 450,000
|
4.00%,
09/01/2046 |
425,789
|
| 525,000
|
4.00%,
09/01/2051 |
481,787
|
| |
City
of Los Angeles Department of Airports, CA, Rev |
|
| 800,000
|
4.00%,
05/15/2036 |
810,570
|
| 865,000
|
5.00%,
05/15/2037 |
968,325
|
| 110,000
|
Foothill-Eastern
Transportation Corridor Agency, CA, Rev 5.00%, 01/15/2030 |
119,896
|
| 150,000
|
Fresno
Unified School Dist, CA, GO 0.00%, 08/01/2032(4) |
110,493
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
California
- 8.7% - (continued) |
| $ 5,670,000
|
Golden
State Tobacco Securitization Corp., CA, Rev 0.00%, 06/01/2066(4) |
$ 656,150
|
| 15,900,000
|
Los
Angeles Department of Water & Power, CA, Rev 2.85%, 07/01/2057(1) |
15,900,000
|
| 205,000
|
Oakland
Unified School Dist, CA, GO, (AGM Insured) 4.00%, 08/01/2034 |
212,520 |
| 595,000
|
Regents
of the University of California Medical Center Pooled, CA, Rev 5.00%, 05/15/2036 |
701,403 |
| 100,000
|
Romoland
School Dist, CA, Special Tax 5.00%, 09/01/2043 |
103,537 |
| 475,000
|
San
Diego County Regional Airport Auth, CA, Rev 5.25%, 07/01/2036 |
547,031 |
| |
San
Francisco City & County Airport, Comm-San Francisco International Airport, CA, Rev |
|
| 345,000
|
4.00%,
05/01/2039 |
343,475 |
| 265,000
|
5.00%,
05/01/2050 |
273,575
|
| |
San
Joaquin Hills Transportation Corridor Agency, CA, Rev, |
|
| 80,000
|
(NATL
Insured) 0.00%, 01/15/2026(4) |
75,094
|
| 235,000
|
(NATL
Insured) 0.00%, 01/15/2032(4) |
177,816
|
| 70,000
|
(NATL
Insured) 0.00%, 01/15/2035(4) |
47,342
|
| 1,250,000
|
4.00%,
01/15/2034 |
1,335,659
|
| 1,500,000
|
State
of California, CA, GO 3.00%, 05/01/2040(1) |
1,500,000
|
|
|
|
|
34,994,920
|
| |
Colorado
- 2.8% |
| 1,970,000
|
City
& County of Denver Airport System, CO, Rev 5.50%, 11/15/2032 |
2,324,585
|
| |
Colorado
Health Facs Auth, CO, Rev |
|
| 105,000
|
4.00%,
12/01/2040 |
98,303
|
| 875,000
|
5.00%,
11/01/2033 |
981,989
|
| 835,000
|
5.00%,
08/01/2044 |
863,576
|
| 2,815,000
|
Colorado
School of Mines, CO, Rev, (AGM Insured) 5.25%, 12/01/2052 |
3,060,522
|
| 160,000
|
Denver
Convention Center Hotel Auth, CO, Rev 5.00%, 12/01/2031 |
164,121
|
| 365,000
|
E-470
Public Highway Auth, CO, Rev 3.91%, 09/01/2039, 1 mo. USD SOFR + 0.35%(3) |
364,157
|
| 1,030,000
|
Park
Creek Metropolitan Dist, CO, Rev 5.00%, 12/01/2029 |
1,123,730
|
| 300,000
|
Public
Auth for Colorado Energy, CO, Rev 6.50%, 11/15/2038 |
377,635
|
| |
Regional
Transportation Dist, CO, Rev |
|
| 500,000
|
4.00%,
07/15/2039 |
515,225
|
| 400,000
|
5.00%,
07/15/2029 |
437,668
|
| 500,000
|
5.00%,
01/15/2030 |
551,799
|
| 100,000
|
5.00%,
07/15/2032 |
111,611
|
| 195,000
|
University
of Colorado, CO, Rev 2.00%, 06/01/2051(1) |
189,878
|
|
|
|
|
11,164,799
|
| |
Connecticut
- 1.0% |
| 100,000
|
City
of Bridgeport, CT, GO, (BAM Insured) 5.00%, 07/15/2034 |
108,810
|
| 425,000
|
Connecticut
Housing Finance Auth, CT, Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 |
425,660
|
| |
Connecticut
State Health & Educational Facs Auth, CT, Rev |
|
| 1,060,000
|
1.10%,
07/01/2049(1) |
1,030,913
|
| 1,000,000
|
2.95%,
07/01/2049(1)(5) |
1,001,919
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Connecticut
- 1.0% - (continued) |
| $ 470,000
|
5.00%,
07/01/2030 |
$ 525,243
|
| 315,000
|
5.00%,
07/01/2031 |
355,662 |
|
845,000 |
State
of Connecticut, CT, GO 3.00%, 06/01/2038 |
762,868
|
|
|
|
|
4,211,075
|
| |
Delaware
- 0.1% |
|
200,000 |
Delaware
River & Bay Auth, DE, Rev 5.00%, 01/01/2037 |
229,089
|
| |
District
of Columbia - 0.4% |
| |
Dist
of Columbia, DC, Rev |
|
| 250,000
|
5.00%,
07/01/2037 |
238,237
|
| 455,000
|
5.00%,
07/01/2042 |
412,683
|
| 500,000
|
Metropolitan
Washington Airports Auth Aviation, DC, Rev 5.00%, 10/01/2035 |
561,617
|
| 500,000
|
Metropolitan
Washington Airports Auth, Dulles Toll Road, DC, Rev 5.00%, 10/01/2033 |
542,755
|
|
|
|
|
1,755,292
|
| |
Florida
- 3.0% |
| 500,000
|
Alachua
County School Board, FL, COP, (AGM Insured) 5.00%, 07/01/2028 |
543,669
|
| 185,000
|
Capital
Projects Finance Auth, FL, Rev 5.00%, 10/01/2027 |
190,386
|
| 125,000
|
City
of Atlantic Beach, FL, Rev 5.00%, 11/15/2043 |
124,369
|
| 400,000
|
City
of Pompano Beach, FL, Rev 2.00%, 01/01/2029 |
353,580
|
| 270,000
|
County
of Broward Airport System, FL, Rev 4.00%, 10/01/2044 |
260,216
|
| 1,500,000
|
County
of Miami-Dade Aviation, FL, Rev 5.00%, 10/01/2033 |
1,504,959
|
| |
County
of Miami-Dade Seaport Department, FL, Rev |
|
| 1,085,000
|
5.00%,
10/01/2035 |
1,208,342
|
| 200,000
|
5.00%,
10/01/2036 |
220,804
|
| 445,000
|
Escambia
County Health Facs Auth, FL, Rev 4.00%, 08/15/2045 |
405,148
|
| 1,000,000
|
Greater
Orlando Aviation Auth, FL, Rev 5.00%, 10/01/2037 |
1,035,913
|
| 680,000
|
Orange
County Convention Center, FL, Rev 5.00%, 10/01/2024 |
686,605
|
| 475,000
|
Orange
County Health Facs Auth, FL, Rev 5.00%, 10/01/2037 |
536,397
|
| 950,000
|
Orlando
Utilities Commission, FL, Rev 1.25%, 10/01/2046(1) |
829,547
|
| |
Polk
County Industrial Dev Auth, FL, Rev |
|
| 435,000
|
5.00%,
01/01/2029 |
440,373
|
| 190,000
|
5.00%,
01/01/2055 |
169,004
|
| 35,000
|
Putnam
County Dev Auth, FL, Rev 5.00%, 03/15/2042 |
36,507
|
| 445,000
|
St
Johns County Industrial Dev Auth, FL, Rev 4.00%, 12/15/2046 |
333,667
|
| 2,000,000
|
Town
of Davie, FL, Rev 5.00%, 04/01/2048 |
2,046,787
|
| 155,000
|
Village
Community Dev Dist No. 13, FL, Special Assessment 2.55%, 05/01/2031 |
139,338
|
| 1,230,000
|
Village
Community Dev Dist No. 14, FL, Special Assessment 5.13%, 05/01/2037 |
1,273,407
|
|
|
|
|
12,339,018
|
| |
Georgia
- 4.3% |
| 1,350,000
|
Bartow
County Dev Auth, GA, Rev 3.95%, 12/01/2032(1) |
1,355,721
|
| 100,000
|
Dev
Auth of Appling County, GA, Rev 1.50%, 01/01/2038(1) |
96,242
|
| 400,000
|
Dev
Auth of Burke County, GA, Rev 1.50%, 01/01/2040(1) |
384,968
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Georgia
- 4.3% - (continued) |
| $ 285,000
|
Dev
Auth of Monroe County, GA, Rev 3.88%, 10/01/2048(1) |
$ 285,616
|
| |
Main
Street Natural Gas, Inc., GA, Rev |
|
| 2,950,000
|
4.00%,
05/01/2052(1) |
2,956,954 |
| 1,760,000
|
5.00%,
07/01/2053(1) |
1,866,043 |
| 475,000
|
5.00%,
09/01/2053(1) |
505,223 |
| 1,225,000
|
5.00%,
12/01/2053(1) |
1,310,151 |
| 1,380,000
|
5.00%,
05/01/2054(1) |
1,476,753 |
| 1,200,000
|
5.50%,
09/15/2025 |
1,223,966 |
| |
Municipal
Electric Auth of Georgia, GA, Rev, |
|
| 840,000
|
(AGM
Insured) 4.00%, 01/01/2041 |
845,997
|
| 1,000,000
|
5.00%,
01/01/2028 |
1,038,211
|
| 1,000,000
|
(AGM
Insured) 5.00%, 07/01/2048 |
1,071,054
|
| 520,000
|
5.00%,
07/01/2052 |
538,949
|
| 215,000
|
5.00%,
01/01/2056 |
218,509
|
| 2,300,000
|
State
of Georgia, GA, GO 5.00%, 08/01/2024 |
2,323,108
|
|
|
|
|
17,497,465
|
| |
Hawaii
- 0.0% |
| 100,000
|
State
of Hawaii Airports System, HI, Rev 5.00%, 07/01/2031 |
105,905
|
| |
Idaho
- 0.5% |
| 820,000
|
Idaho
Health Facs Auth, ID, Rev 4.00%, 03/01/2046 |
786,082
|
| 1,095,000
|
Idaho
Housing & Finance Association, ID, Rev, (GNMA/FNMA/FHLMC/COLL Insured) 5.75%, 01/01/2053 |
1,194,267
|
|
|
|
|
1,980,349
|
| |
Illinois
- 10.3% |
| |
Chicago
Board of Education Dedicated Capital Improvement Tax, IL, Rev |
|
| 250,000
|
5.00%,
04/01/2033 |
262,645
|
| 380,000
|
5.25%,
04/01/2035 |
429,504
|
| 250,000
|
5.25%,
04/01/2036 |
280,208
|
| |
Chicago
Board of Education, IL, GO, |
|
| 110,000
|
(NATL
Insured) 0.00%, 12/01/2026(4) |
98,828
|
| 380,000
|
4.00%,
12/01/2047 |
330,781
|
| 250,000
|
5.00%,
12/01/2024 |
251,750
|
| 500,000
|
5.00%,
12/01/2028 |
523,284
|
| 1,100,000
|
5.00%,
12/01/2032 |
1,161,396
|
| 400,000
|
5.00%,
12/01/2046 |
400,652
|
| 2,500,000
|
5.25%,
12/01/2036 |
2,698,078
|
| 370,000
|
Chicago
Midway International Airport, IL, Rev, (BAM Insured) 5.50%, 01/01/2038 |
424,550
|
| |
Chicago
O'Hare International Airport, IL, Rev |
|
| 650,000
|
4.50%,
01/01/2048 |
652,191
|
| 255,000
|
5.00%,
01/01/2032 |
286,458
|
| 200,000
|
(BAM
Insured) 5.00%, 01/01/2037 |
224,279
|
| 1,785,000
|
(BAM
Insured) 5.00%, 01/01/2038 |
1,984,823
|
| 445,000
|
Chicago
Transit Auth Capital Grant Receipts, IL, Rev 5.00%, 06/01/2024 |
446,849
|
| 275,000
|
Chicago
Transit Auth Sales Tax Receipts Fund, IL, Rev 5.00%, 12/01/2045 |
286,690
|
| |
City
of Chicago Wastewater Transmission, IL, Rev |
|
| 90,000
|
5.00%,
01/01/2027 |
90,270
|
| 90,000
|
(NATL
Insured) 5.50%, 01/01/2030 |
97,355
|
| 530,000
|
City
of Chicago Waterworks, IL, Rev, (AGM Insured) 5.00%, 11/01/2037 |
601,485
|
| 500,000
|
City
of Chicago, IL, GO, (NATL Insured) 0.00%, 01/01/2026(4) |
469,332
|
| 1,385,000
|
City
of Granite City, IL, Rev 1.25%, 05/01/2027 |
1,240,683
|
| 900,000
|
Cook
County Community College Dist No. 508, IL, GO, (BAM Insured) 5.00%, 12/01/2038 |
1,007,070
|
| 335,000
|
County
of Cook Sales Tax, IL, Rev 5.00%, 11/15/2030 |
376,795
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Illinois
- 10.3% - (continued) |
| $ 265,000
|
County
of Cook, IL, GO 5.00%, 11/15/2032 |
$ 297,777
|
| |
Illinois
Finance Auth, IL, Rev |
|
| 640,000
|
4.00%,
07/15/2039 |
651,262 |
| 235,000
|
5.00%,
08/15/2033 |
264,060 |
| 150,000
|
5.00%,
11/15/2045 |
151,936 |
| 305,000
|
5.00%,
05/15/2050(1) |
305,692 |
| |
Illinois
Housing Dev Auth, IL, Rev, |
|
| 920,000
|
(GNMA/FNMA/FHLMC/COLL
Insured) 5.50%, 10/01/2053 |
988,550 |
| 495,000
|
(GNMA/FNMA/FHLMC
Insured) 5.75%, 10/01/2053 |
530,314
|
| |
Illinois
State Toll Highway Auth, IL, Rev |
|
| 320,000
|
4.00%,
01/01/2040 |
327,063
|
| 460,000
|
5.00%,
01/01/2037 |
550,906
|
| 625,000
|
Kane
County School Dist No. 131 Aurora East Side, IL, GO, (AGM Insured) 5.00%, 12/01/2025 |
646,174
|
| 100,000
|
Kane
McHenry Cook & De Kalb Counties Unit School Dist No. 300, IL, GO 5.00%, 01/01/2032 |
106,216
|
| |
Kendall
Kane & Will Counties Community Unit School Dist No. 308, IL, GO, |
|
| 150,000
|
(AGM
Insured) 0.00%, 02/01/2027(4) |
135,719
|
| 515,000
|
(AGM
Insured) 5.00%, 02/01/2025 |
523,916
|
| |
Metropolitan
Pier & Exposition Auth, IL, Rev, |
|
| 205,000
|
(NATL
Insured) 0.00%, 12/15/2025(4) |
191,657
|
| 595,000
|
4.00%,
12/15/2042 |
580,396
|
| |
Regional
Transportation Auth, IL, Rev |
|
| 150,000
|
5.00%,
06/01/2024 |
150,897
|
| 355,000
|
(NATL
Insured) 6.00%, 07/01/2024 |
358,988
|
| |
Sales
Tax Securitization Corp., IL, Rev |
|
| 785,000
|
4.00%,
01/01/2038 |
795,920
|
| 1,785,000
|
5.00%,
01/01/2026 |
1,848,015
|
| 500,000
|
5.00%,
01/01/2029 |
539,560
|
| 550,000
|
5.00%,
01/01/2030 |
618,907
|
| 1,870,000
|
5.00%,
01/01/2037 |
2,006,044
|
| |
State
of Illinois Sales Tax, IL, Rev |
|
| 115,000
|
5.00%,
06/15/2027 |
119,790
|
| 2,250,000
|
5.00%,
06/15/2035(5) |
2,648,075
|
| |
State
of Illinois, IL, GO |
|
| 450,000
|
5.00%,
12/01/2024 |
455,861
|
| 1,010,000
|
5.00%,
11/01/2025 |
1,040,167
|
| 300,000
|
5.00%,
11/01/2027 |
319,802
|
| 535,000
|
5.00%,
03/01/2029 |
582,940
|
| 1,500,000
|
5.00%,
07/01/2032 |
1,707,232
|
| 465,000
|
5.00%,
12/01/2034 |
491,290
|
| 4,750,000
|
5.00%,
12/01/2042 |
5,189,246
|
| 325,000
|
5.00%,
03/01/2046 |
343,992
|
| 750,000
|
5.25%,
12/01/2030 |
806,934
|
| 550,000
|
5.50%,
03/01/2042 |
617,557
|
| 100,000
|
Village
of Bolingbrook, IL, GO, (AGM Insured) 5.00%, 01/01/2028 |
107,799
|
|
|
|
|
41,626,610
|
| |
Indiana
- 1.6% |
| 267,615
|
City
of Evansville, IN, Rev, (FNMA Insured) 3.00%, 06/01/2034 |
238,329
|
| 2,550,000
|
City
of Whiting, IN, Rev 4.40%, 11/01/2045(1) |
2,605,879
|
| 195,000
|
Crown
Point Multi School Building Corp., IN, Rev, (ST INTERCEPT Insured) 5.00%, 01/15/2029 |
214,934
|
| 3,000,000
|
Indiana
Finance Auth, IN, Rev 5.00%, 10/01/2042 |
3,348,101
|
|
|
|
|
6,407,243
|
| |
Iowa
- 0.4% |
| 575,000
|
Iowa
Finance Auth, IA, Rev 5.00%, 02/15/2027 |
603,976
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Iowa
- 0.4% - (continued) |
| $ 350,000
|
Iowa
Student Loan Liquidity Corp., IA, Rev 5.00%, 12/01/2025 |
$ 357,528
|
|
715,000 |
Iowa
Tobacco Settlement Auth, IA, Rev 4.00%, 06/01/2049 |
721,503
|
|
|
|
|
1,683,007
|
| |
Kentucky
- 0.4% |
| |
Kentucky
Public Energy Auth, KY, Rev |
|
| 100,000
|
4.00%,
01/01/2049(1) |
100,108 |
|
1,250,000 |
5.25%,
04/01/2054(1) |
1,357,686
|
|
|
|
|
1,457,794
|
| |
Louisiana
- 0.3% |
| 325,000
|
East
Baton Rouge Sewerage Commission, LA, Rev 1.30%, 02/01/2041(1) |
289,046
|
| 305,000
|
Parish
of St John the Baptist, LA, Rev 2.38%, 06/01/2037(1) |
290,392
|
| 490,000
|
State
of Louisiana Gasoline & Fuels Tax, LA, Rev 4.22%, 05/01/2043, 1 mo. USD SOFR + 0.50%(3) |
479,651
|
|
|
|
|
1,059,089
|
| |
Maine
- 0.1% |
| 275,000
|
Maine
Health & Higher Educational Facs Auth, ME, Rev, (AGM Insured) 4.00%, 07/01/2035 |
287,911
|
| |
Massachusetts
- 4.1% |
| 1,230,000
|
Massachusetts
Clean Water Trust, MA, Rev 5.00%, 02/01/2024 |
1,230,000
|
| |
Massachusetts
Dev Finance Agency, MA, Rev |
|
| 3,500,000
|
4.00%,
07/15/2036 |
3,561,674
|
| 130,000
|
5.00%,
07/15/2024(2) |
130,007
|
| 1,000,000
|
5.00%,
07/01/2025 |
1,023,324
|
| 680,000
|
5.00%,
07/01/2031 |
703,391
|
| 1,565,000
|
5.00%,
07/01/2034 |
1,739,056
|
| 350,000
|
5.00%,
07/01/2044 |
350,433
|
| 100,000
|
5.00%,
07/01/2048 |
103,003
|
| 380,000
|
5.00%,
10/01/2057(2) |
353,179
|
| 405,000
|
5.15%,
07/01/2049, SIFMA Municipal Swap Index + 0.60%(2)(3) |
403,156
|
| 325,000
|
5.25%,
07/01/2052 |
352,747
|
| |
Massachusetts
Educational Financing Auth, MA, Rev |
|
| 1,000,000
|
5.00%,
01/01/2025 |
1,014,644
|
| 100,000
|
5.00%,
07/01/2026 |
103,160
|
| 110,000
|
5.00%,
07/01/2027 |
114,508
|
| 5,600,000
|
Massachusetts
Health & Educational Facs Auth, MA, Rev 3.40%, 07/01/2027(1) |
5,600,000
|
|
|
|
|
16,782,282
|
| |
Michigan
- 1.4% |
| |
Michigan
Finance Auth, MI, Rev |
|
| 1,250,000
|
4.00%,
11/15/2046 |
1,177,244
|
| 750,000
|
5.00%,
11/01/2032 |
821,641
|
| |
Michigan
State Housing Dev Auth, MI, Rev |
|
| 540,000
|
4.25%,
06/01/2049 |
540,951
|
| 335,000
|
4.25%,
12/01/2049 |
335,952
|
| 1,275,000
|
5.75%,
06/01/2054 |
1,369,082
|
| 540,000
|
Michigan
Strategic Fund, MI, Rev 3.88%, 06/01/2053(1) |
534,926
|
| 275,000
|
New
Haven Community Schools, MI, GO, (Q-SBLF Insured) 5.00%, 05/01/2032 |
307,983
|
| 500,000
|
Wayne
County Airport Auth, MI, Rev 5.00%, 12/01/2025 |
511,199
|
|
|
|
|
5,598,978
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Minnesota
- 0.7% |
| $ 575,000
|
Duluth
Independent School Dist No. 709, MN, COP, (SD CRED PROG Insured) 5.00%, 02/01/2025 |
$ 586,034
|
| 384,268
|
Freddie
Mac Multifamily ML Certificates, MN, Rev 2.54%, 06/25/2037 |
322,187 |
| 750,000
|
Minnesota
Higher Education Facs Auth, MN, Rev 3.00%, 10/01/2038 |
681,845 |
| |
Minnesota
Housing Finance Agency, MN, Rev, |
|
| 515,000
|
(GNMA/FNMA/FHLMC/COLL
Insured) 5.05%, 07/01/2031 |
538,206 |
|
530,000 |
(GNMA/FNMA/FHLMC/COLL
Insured) 5.05%, 01/01/2032 |
555,077
|
|
|
|
|
2,683,349
|
| |
Mississippi
- 0.3% |
| 1,000,000
|
State
of Mississippi Gaming Tax, MS, Rev 5.00%, 10/15/2029 |
1,076,374
|
| |
Missouri
- 1.1% |
| 400,000
|
City
of St Louis Airport, MO, Rev 5.00%, 07/01/2031 |
431,756
|
| |
Health
& Educational Facs Auth of the State of Missouri, MO, Rev |
|
| 850,000
|
4.00%,
01/01/2050(1) |
814,023
|
| 555,000
|
5.00%,
06/01/2032 |
635,020
|
| 510,000
|
Kansas
City Industrial Dev Auth, MO, Rev 5.00%, 03/01/2032 |
541,951
|
| 1,440,000
|
Missouri
Housing Dev Commission, MO, Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/01/2047 |
1,444,138
|
| 650,000
|
St
Louis County Industrial Dev Auth, MO, Rev 5.00%, 09/01/2028 |
655,263
|
|
|
|
|
4,522,151
|
| |
Nebraska
- 0.8% |
| |
Central
Plains Energy Project, NE, Rev |
|
| 1,500,000
|
4.00%,
12/01/2049(1) |
1,505,735
|
| 1,365,000
|
5.00%,
05/01/2054(1) |
1,442,376
|
| 300,000
|
County
of Washington, NE, Rev 0.90%, 09/01/2030(1) |
288,616
|
|
|
|
|
3,236,727
|
| |
Nevada
- 1.2% |
| 260,000
|
City
of North Las Vegas, NV, Special Assessment 4.50%, 06/01/2039 |
255,520
|
| 280,000
|
City
of Reno, NV, Rev, (AGM Insured) 5.00%, 06/01/2033 |
303,928
|
| 300,000
|
Clark
County School Dist, NV, GO 5.00%, 06/15/2035 |
326,037
|
| 2,850,000
|
County
of Clark Department of Aviation, NV, Rev 5.00%, 07/01/2026 |
2,959,450
|
| 250,000
|
County
of Clark Passenger Facility Charge, NV, Rev 5.00%, 07/01/2028 |
274,664
|
| |
Las
Vegas Convention & Visitors Auth, NV, Rev |
|
| 200,000
|
5.00%,
07/01/2029 |
201,399
|
| 500,000
|
5.00%,
07/01/2034 |
553,160
|
|
|
|
|
4,874,158
|
| |
New
Hampshire - 1.2% |
| |
New
Hampshire Business Finance Auth, NH, Rev |
|
| 1,295,000
|
4.00%,
12/01/2028 |
1,307,785
|
| 80,000
|
4.00%,
01/01/2041 |
66,274
|
| 650,000
|
(BAM
Insured) 5.00%, 06/01/2036 |
750,104
|
| 715,000
|
(BAM
Insured) 5.00%, 12/01/2036 |
821,271
|
| 860,000
|
(BAM
Insured) 5.00%, 12/01/2037 |
979,106
|
| 665,000
|
(BAM
Insured) 5.00%, 12/01/2038 |
751,426
|
|
|
|
|
4,675,966
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
New
Jersey - 1.1% |
| |
New
Jersey Economic Dev Auth, NJ, Rev |
|
| $ 350,000
|
5.00%,
03/01/2028 |
$ 380,224
|
| 755,000
|
5.00%,
11/01/2034 |
875,773 |
| 430,000
|
New
Jersey Higher Education Student Assistance Auth, NJ, Rev 5.00%, 12/01/2025 |
440,398 |
| 300,000
|
New
Jersey Transportation Trust Fund Auth, NJ, Rev 5.00%, 06/15/2038 |
342,720 |
| |
New
Jersey Turnpike Auth, NJ, Rev |
|
| 250,000
|
4.00%,
01/01/2033 |
259,853 |
| 385,000
|
5.00%,
01/01/2033 |
417,106 |
| |
Newark
Board of Education, NJ, GO, |
|
| 295,000
|
(School
Board Reserve Fund Insured) 5.00%, 07/15/2024 |
297,166
|
| 325,000
|
(BAM
School Board Reserve Fund Insured) 5.00%, 07/15/2027 |
345,976
|
| 340,000
|
State
of New Jersey, NJ, GO 5.00%, 06/01/2025 |
349,100
|
| |
Tobacco
Settlement Financing Corp., NJ, Rev |
|
| 340,000
|
5.00%,
06/01/2024 |
341,577
|
| 250,000
|
5.00%,
06/01/2029 |
269,016
|
|
|
|
|
4,318,909
|
| |
New
Mexico - 1.0% |
| 2,150,000
|
City
of Santa Fe, NM, Rev 5.00%, 05/15/2049 |
1,810,501
|
| |
New
Mexico Mortgage Finance Auth, NM, Rev, |
|
| 45,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 01/01/2049 |
44,836
|
| 1,855,000
|
(GNMA/FNMA/FHLMC
Insured) 6.50%, 09/01/2054 |
2,064,606
|
|
|
|
|
3,919,943
|
| |
New
York - 10.8% |
| |
City
of New York, NY, GO |
|
| 280,000
|
5.00%,
10/01/2033 |
333,505
|
| 530,000
|
5.00%,
04/01/2036 |
572,762
|
| |
Long
Island Power Auth, NY, Rev |
|
| 500,000
|
0.85%,
09/01/2050(1) |
476,946
|
| 295,000
|
5.00%,
09/01/2033 |
325,704
|
| |
Metropolitan
Transportation Auth, NY, Rev |
|
| 2,000,000
|
5.00%,
11/15/2029 |
2,045,956
|
| 265,000
|
5.00%,
11/15/2032 |
270,536
|
| 195,000
|
5.00%,
11/15/2033 |
218,015
|
| 1,000,000
|
5.00%,
11/15/2045(1) |
1,079,707
|
| 575,000
|
5.00%,
11/15/2048 |
603,485
|
| |
New
York City Industrial Dev Agency, NY, Rev, |
|
| 670,000
|
(AGM
Insured) 3.00%, 01/01/2033 |
639,001
|
| 150,000
|
(AGM
Insured) 5.00%, 03/01/2030 |
167,884
|
| |
New
York City Municipal Water Finance Auth, NY, Rev |
|
| 1,200,000
|
3.00%,
06/15/2040 |
1,069,928
|
| 690,000
|
4.13%,
06/15/2047 |
693,615
|
| 500,000
|
5.00%,
06/15/2040 |
543,394
|
| |
New
York City Transitional Finance Auth, Future Tax Secured, NY, Rev |
|
| 185,000
|
4.00%,
11/01/2035 |
197,198
|
| 580,000
|
4.00%,
11/01/2036 |
612,044
|
| 2,305,000
|
4.00%,
02/01/2038 |
2,387,254
|
| 1,000,000
|
4.00%,
11/01/2038 |
1,031,310
|
| 465,000
|
5.00%,
11/01/2033 |
537,035
|
| 570,000
|
5.00%,
05/01/2038 |
619,867
|
| |
New
York City Transitional Finance Auth, NY, Rev |
|
| 200,000
|
5.00%,
05/01/2037 |
236,398
|
| 1,360,000
|
5.00%,
05/01/2038 |
1,592,640
|
| 2,250,000
|
5.00%,
11/01/2038 |
2,642,655
|
| |
New
York Liberty Dev Corp., NY, Rev |
|
| 450,000
|
0.95%,
11/15/2027 |
399,082
|
| 405,000
|
2.75%,
02/15/2044 |
309,485
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
New
York - 10.8% - (continued) |
| $ 2,175,000
|
5.00%,
11/15/2044(2) |
$ 2,176,995
|
| |
New
York State Dormitory Auth, NY, Rev |
|
| 1,000,000
|
3.00%,
03/15/2041 |
876,094 |
| 1,650,000
|
4.00%,
03/15/2038 |
1,704,807 |
| 2,000,000
|
4.00%,
05/01/2039 |
1,990,697 |
| 675,000
|
4.00%,
03/15/2040 |
686,833 |
| 2,250,000
|
5.00%,
03/15/2036 |
2,253,419 |
| 105,000
|
5.00%,
05/01/2037 |
117,364 |
| 1,000,000
|
5.00%,
05/01/2052 |
1,065,218
|
| 1,900,000
|
New
York State Housing Finance Agency, NY, Rev 3.60%, 11/15/2037(1) |
1,900,000
|
| 200,000
|
New
York State Thruway Auth, NY, Rev 5.00%, 01/01/2038(5) |
232,973
|
| |
New
York State Urban Dev Corp., NY, Rev |
|
| 2,000,000
|
4.00%,
03/15/2037 |
2,080,092
|
| 515,000
|
5.00%,
03/15/2038 |
547,784
|
| |
New
York Transportation Dev Corp., NY, Rev |
|
| 440,000
|
4.00%,
12/01/2038 |
430,583
|
| 130,000
|
5.00%,
12/01/2024 |
130,917
|
| 650,000
|
5.00%,
12/01/2030 |
707,636
|
| 515,000
|
5.00%,
12/01/2032 |
569,128
|
| 695,000
|
6.00%,
04/01/2035 |
779,823
|
| |
Port
Auth of New York & New Jersey, NY, Rev |
|
| 500,000
|
3.00%,
10/01/2027 |
490,074
|
| 185,000
|
4.00%,
07/15/2040 |
189,723
|
| 800,000
|
5.00%,
11/15/2035 |
823,809
|
| 835,000
|
5.00%,
01/15/2037 |
928,920
|
| 290,000
|
5.00%,
12/01/2037 |
322,702
|
| 700,000
|
5.00%,
11/01/2038 |
744,158
|
| 500,000
|
5.00%,
12/01/2038 |
552,924
|
| 390,000
|
Syracuse
Industrial Dev Agency, NY, Rev 5.00%, 01/01/2031 |
293,100
|
| 260,000
|
Triborough
Bridge & Tunnel Auth, NY, Rev 5.00%, 11/15/2049 |
280,026
|
| 1,150,000
|
Westchester
County Local Dev Corp., NY, Rev 3.20%, 07/01/2028(2) |
1,123,451
|
|
|
|
|
43,604,656
|
| |
North
Carolina - 0.7% |
| 935,000
|
North
Carolina Housing Finance Agency, NC, Rev, (GNMA/FNMA/FHLMC Insured) 3.75%, 07/01/2052 |
924,009
|
| |
North
Carolina Medical Care Commission, NC, Rev |
|
| 255,000
|
4.00%,
01/01/2025 |
252,606
|
| 1,455,000
|
4.00%,
09/01/2051 |
1,134,955
|
| 395,000
|
5.00%,
01/01/2038 |
397,546
|
| 145,000
|
5.00%,
01/01/2039 |
134,064
|
| 210,000
|
5.00%,
01/01/2044 |
205,329
|
|
|
|
|
3,048,509
|
| |
Ohio
- 2.2% |
| |
American
Municipal Power, Inc., OH, Rev |
|
| 1,000,000
|
4.00%,
02/15/2036 |
1,044,748
|
| 1,000,000
|
4.00%,
02/15/2037 |
1,033,754
|
| 1,230,000
|
Buckeye
Tobacco Settlement Financing Auth, OH, Rev 5.00%, 06/01/2055 |
1,161,270
|
| 100,000
|
Cleveland
Department of Public Utilities Division of Public Power, OH, Rev, (AGM Insured) 5.00%, 11/15/2030 |
109,269
|
| 250,000
|
County
of Allen Hospital Facs, OH, Rev 5.00%, 12/01/2029 |
279,271
|
| 1,435,000
|
Jefferson
County Port Auth, OH, Rev 5.00%, 12/01/2053(1)(2) |
1,439,015
|
| 845,000
|
Ohio
Air Quality Dev Auth, OH, Rev 4.00%, 09/01/2030(1) |
850,337
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Ohio
- 2.2% - (continued) |
| $ 805,000
|
Ohio
Higher Educational Facs Commission, OH, Rev 5.00%, 07/01/2035 |
$ 938,968
|
| 425,000
|
Ohio
Housing Finance Agency, OH, Rev 3.00%, 03/01/2052 |
410,784 |
| 600,000
|
Southern
Ohio Port Auth, OH, Rev 6.50%, 12/01/2030(2) |
457,026 |
| 360,000
|
State
of Ohio, OH, Rev 2.75%, 01/01/2052(1) |
354,055 |
|
890,000 |
Summit
County Dev Finance Auth, OH, Rev 5.75%, 12/01/2053 |
939,858
|
|
|
|
|
9,018,355
|
| |
Oklahoma
- 0.3% |
| 925,000
|
Canadian
County Educational Facs Auth, OK, Rev 5.00%, 09/01/2033 |
1,052,556
|
| |
Oklahoma
Dev Finance Auth, OK, Rev |
|
| 30,000
|
5.25%,
08/15/2048 |
29,745
|
| 30,000
|
5.50%,
08/15/2057 |
30,195
|
|
|
|
|
1,112,496
|
| |
Oregon
- 1.1% |
| 30,000
|
Benton
& Linn Counties Consolidated School Dist No. 509J & 509A Corvallis, OR, GO, (School Board Guaranty Insured) 5.00%, 06/15/2038(1) |
32,172
|
| 20,000
|
Marion
County School Dist No. 15 North Marion, OR, GO, (School Board Guaranty Insured) 0.00%, 06/15/2037(4) |
11,320
|
| 115,000
|
Multnomah
& Clackamas Counties School Dist No. 10JT Gresham-Barlow, OR, GO, (School Board Guaranty Insured) 0.00%, 06/15/2038(4) |
60,278
|
| |
Port
of Portland Airport, OR, Rev |
|
| 270,000
|
5.00%,
07/01/2029 |
293,822
|
| 575,000
|
5.00%,
07/01/2030 |
633,758
|
| 1,910,000
|
5.00%,
07/01/2038 |
2,113,846
|
| 1,000,000
|
5.00%,
07/01/2044 |
1,037,597
|
| |
Salem
Hospital Facs Auth, OR, Rev |
|
| 40,000
|
5.00%,
05/15/2038 |
39,635
|
| 30,000
|
5.00%,
05/15/2048 |
27,849
|
| 40,000
|
State
of Oregon Housing & Community Services Department, OR, Rev 4.50%, 01/01/2049 |
40,075
|
| 55,000
|
State
of Oregon, OR, GO 4.00%, 12/01/2048 |
54,815
|
| 100,000
|
Washington
Clackamas & Yamhill Counties School Dist No. 88J, OR, GO, (School Bond Guaranty Insured) 0.00%, 06/15/2034(4) |
67,137
|
|
|
|
|
4,412,304
|
| |
Pennsylvania
- 3.4% |
| 135,000
|
Armstrong
School Dist, PA, GO, (BAM State Aid Withholding Insured) 4.00%, 03/15/2035 |
140,523
|
| 735,000
|
City
of Philadelphia Water & Wastewater, PA, Rev, (AGM Insured) 5.00%, 09/01/2036 |
866,677
|
| 3,000,000
|
Coatesville
School Dist, PA, GO, (BAM State Aid Withholding Insured) 5.25%, 11/15/2037 |
3,298,047
|
| 100,000
|
Commonwealth
Financing Auth, PA, Rev 5.00%, 06/01/2027 |
105,591
|
| 265,000
|
Delaware
Valley Regional Finance Auth, PA, Rev 5.75%, 07/01/2032 |
317,337
|
| 585,000
|
Hospitals
& Higher Education Facs Auth of Philadelphia, PA, Rev, (AGM Insured) 5.00%, 07/01/2037 |
641,054
|
| 345,000
|
Lancaster
Industrial Dev Auth, PA, Rev 4.00%, 07/01/2056 |
249,207
|
| |
Montgomery
County Industrial Dev Auth, PA, Rev |
|
| 230,000
|
5.00%,
12/01/2030 |
234,236
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Pennsylvania
- 3.4% - (continued) |
| $ 240,000
|
5.00%,
12/01/2044 |
$ 245,926
|
| 100,000
|
5.00%,
12/01/2046 |
99,588 |
| |
Pennsylvania
Economic Dev Financing Auth, PA, Rev |
|
| 400,000
|
5.00%,
05/15/2036 |
457,505 |
| 100,000
|
5.00%,
05/15/2038 |
111,698 |
| |
Pennsylvania
Higher Educational Facs Auth, PA, Rev |
|
| 250,000
|
5.00%,
05/01/2025 |
254,750 |
| 750,000
|
5.00%,
05/01/2037 |
774,020 |
| 320,000
|
Pennsylvania
Housing Finance Agency, PA, Rev 4.00%, 10/01/2038 |
318,735
|
| 150,000
|
Pennsylvania
Turnpike Commission, PA, Rev 5.00%, 12/01/2030 |
161,259
|
| |
Pittsburgh
Water & Sewer Auth, PA, Rev, |
|
| 15,000
|
(AGM
Insured) 5.00%, 09/01/2034 |
16,691
|
| 1,245,000
|
(AGM
Insured) 5.00%, 09/01/2036 |
1,463,680
|
| 1,000,000
|
(AGM
Insured) 5.00%, 09/01/2037 |
1,163,033
|
| |
School
Dist of Philadelphia, PA, GO, |
|
| 280,000
|
(NATL
State Aid Withholding Insured) 5.00%, 06/01/2027 |
296,837
|
| 610,000
|
(State
Aid Withholding Insured) 5.00%, 09/01/2032 |
669,734
|
| 875,000
|
(State
Aid Withholding Insured) 5.00%, 09/01/2035 |
1,004,857
|
| 590,000
|
School
Dist of the City of Erie, PA, GO, (AGM State Aid Withholding Insured) 5.00%, 04/01/2028 |
634,098
|
| 375,000
|
Wilkes-Barre
Area School Dist, PA, GO, (BAM State Aid Withholding Insured) 5.00%, 04/15/2059 |
388,755
|
|
|
|
|
13,913,838
|
| |
Puerto
Rico - 1.6% |
| 2,950,000
|
Commonwealth
of Puerto Rico, PR, GO 5.63%, 07/01/2027 |
3,114,941
|
| |
Puerto
Rico Sales Tax Financing Corp., PR, Rev |
|
| 109,000
|
0.00%,
07/01/2024(4) |
107,311
|
| 3,119,000
|
0.00%,
07/01/2029(4) |
2,534,643
|
| 625,000
|
5.00%,
07/01/2058 |
625,462
|
|
|
|
|
6,382,357
|
| |
Rhode
Island - 0.3% |
| |
Rhode
Island Student Loan Auth, RI, Rev |
|
| 400,000
|
5.00%,
12/01/2027 |
418,637
|
| 765,000
|
5.00%,
12/01/2028 |
817,887
|
|
|
|
|
1,236,524
|
| |
South
Carolina - 1.1% |
| 785,000
|
Patriots
Energy Group Financing Agency, SC, Rev 5.25%, 02/01/2054(1) |
849,606
|
| 580,000
|
Piedmont
Municipal Power Agency, SC, Rev 5.00%, 01/01/2025 |
588,703
|
| 410,000
|
SCAGO
Educational Facs Corp. for Pickens School Dist, SC, Rev 5.00%, 12/01/2029 |
418,562
|
| |
South
Carolina Public Service Auth, SC, Rev |
|
| 500,000
|
4.00%,
12/01/2034 |
515,736
|
| 625,000
|
4.00%,
12/01/2038 |
625,198
|
| 175,000
|
5.00%,
12/01/2025 |
179,732
|
| 1,255,000
|
South
Carolina State Housing Finance & Dev Auth, SC, Rev 5.75%, 01/01/2054 |
1,365,192
|
|
|
|
|
4,542,729
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
South
Dakota - 0.2% |
| |
South
Dakota Housing Dev Auth, SD, Rev |
|
| $ 465,000
|
4.50%,
11/01/2048 |
$ 467,931
|
|
290,000 |
(GNMA/FNMA/FHLMC/COLL
Insured) 6.00%, 05/01/2054 |
310,632
|
|
|
|
|
778,563
|
| |
Tennessee
- 1.2% |
| 110,000
|
Chattanooga
Health Educational & Housing Facs Board, TN, Rev 5.00%, 08/01/2044 |
113,764 |
| |
Metropolitan
Government Nashville & Davidson County Health & Educational Facs Board, TN, Rev |
|
| 1,175,000
|
5.00%,
07/01/2031 |
1,313,342 |
| 835,000
|
5.00%,
07/01/2033 |
963,216
|
| 515,000
|
5.00%,
05/01/2035 |
586,792
|
| 195,000
|
5.00%,
05/01/2038 |
216,328
|
| 590,000
|
Metropolitan
Nashville Airport Auth, TN, Rev 5.50%, 07/01/2040 |
662,270
|
| |
Tennessee
Energy Acquisition Corp., TN, Rev |
|
| 295,000
|
5.00%,
02/01/2025 |
296,132
|
| 590,000
|
5.00%,
02/01/2027 |
599,572
|
| 60,000
|
Tennessee
Housing Dev Agency, TN, Rev 4.00%, 01/01/2049 |
59,806
|
|
|
|
|
4,811,222
|
| |
Texas
- 12.3% |
| |
Arlington
Higher Education Finance Corp., TX, Rev, |
|
| 450,000
|
(PSF-GTD
Insured) 5.00%, 08/15/2037 |
508,943
|
| 805,000
|
(PSF-GTD
Insured) 5.00%, 08/15/2040 |
895,155
|
| 160,000
|
Austin-Bergstrom
Landhost Enterprises, Inc., TX, Rev 5.00%, 10/01/2029 |
165,740
|
| 1,065,000
|
Boerne
Independent School Dist, TX, GO, (PSF-GTD Insured) 3.13%, 02/01/2053(1) |
1,062,248
|
| 500,000
|
Brazos
Higher Education Auth, Inc., TX, Rev 5.00%, 04/01/2025 |
506,791
|
| |
Central
Texas Regional Mobility Auth, TX, Rev |
|
| 1,425,000
|
4.00%,
01/01/2035 |
1,498,615
|
| 505,000
|
4.00%,
01/01/2036 |
527,417
|
| 1,490,000
|
5.00%,
01/01/2046 |
1,584,977
|
| |
City
of Austin Airport System, TX, Rev |
|
| 1,025,000
|
5.00%,
11/15/2032 |
1,153,644
|
| 500,000
|
5.00%,
11/15/2039 |
544,488
|
| |
City
of Dallas Hotel Occupancy Tax, TX, Rev |
|
| 1,535,000
|
4.00%,
08/15/2033 |
1,559,817
|
| 100,000
|
4.00%,
08/15/2034 |
101,461
|
| 535,000
|
City
of Dallas, TX, GO 5.00%, 02/15/2028 |
568,518
|
| |
City
of Houston Hotel Occupancy Tax & Special, TX, Rev, |
|
| 750,000
|
(AGM-CR
AMBAC Insured) 0.00%, 09/01/2025(4) |
711,351
|
| 425,000
|
4.00%,
09/01/2026 |
434,452
|
| 1,135,000
|
City
of Houston, Combined Utility System, TX, Rev, (AGM Insured) 0.00%, 12/01/2024(4) |
1,103,653
|
| 555,000
|
City
of San Antonio Electric & Gas Systems, TX, Rev 1.75%, 02/01/2049(1) |
534,009
|
| |
Clear
Creek Independent School Dist, TX, GO, |
|
| 425,000
|
(PSF-GTD
Insured) 0.28%, 02/15/2038(1) |
417,524
|
| 1,410,000
|
(PSF-GTD
Insured) 3.60%, 02/15/2035(1) |
1,419,147
|
| 1,310,000
|
Cypress-Fairbanks
Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/15/2037 |
1,530,205
|
| |
Dallas
Fort Worth International Airport, TX, Rev |
|
| 1,500,000
|
5.00%,
11/01/2031 |
1,669,177
|
| 1,500,000
|
5.00%,
11/01/2032 |
1,687,551
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Texas
- 12.3% - (continued) |
| $ 1,000,000
|
Eagle
Mountain & Saginaw Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 08/15/2033 |
$ 1,169,117
|
| 1,495,000
|
Fort
Bend Independent School Dist, TX, GO, (PSF-GTD Insured) 3.65%, 08/01/2052(1) |
1,495,660 |
| 500,000
|
Fort
Worth Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/15/2033 |
585,330 |
| 450,000
|
Harris
County Industrial Dev Corp., TX, Rev 4.05%, 11/01/2050(1) |
458,107 |
| 615,000
|
Harris
County-Houston Sports Auth, TX, Rev 5.00%, 11/15/2033 |
620,145 |
| 400,000
|
Hidalgo
County Regional Mobility Auth, TX, Rev 5.00%, 12/01/2030 |
435,962 |
| 825,000
|
Hutto
Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 08/01/2036 |
968,849
|
| 100,000
|
Kerrville
Health Facs Dev Corp., TX, Rev 5.00%, 08/15/2024 |
100,702
|
| |
Lower
Colorado River Auth, TX, Rev, |
|
| 1,665,000
|
(AGM
Insured) 5.00%, 05/15/2035 |
1,930,930
|
| 675,000
|
5.00%,
05/15/2038 |
752,813
|
| 500,000
|
New
Hope Cultural Education Facs Finance Corp., TX, Rev 5.00%, 11/01/2046 |
396,024
|
| 3,000,000
|
North
Texas Tollway Auth, TX, Rev 4.13%, 01/01/2040 |
3,073,107
|
| |
Northside
Independent School Dist, TX, GO, |
|
| 1,250,000
|
(PSF-GTD
Insured) 2.00%, 06/01/2052(1) |
1,194,739
|
| 1,000,000
|
(PSF-GTD
Insured) 5.00%, 08/01/2036 |
1,155,710
|
| 1,020,000
|
(PSF-GTD
Insured) 5.00%, 08/01/2038 |
1,164,059
|
| 2,000,000
|
San
Antonio Water System, TX, Rev 1.00%, 05/01/2043(1) |
1,817,011
|
| 500,000
|
Southwest
Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/01/2036 |
576,106
|
| 7,000,000
|
State
of Texas, TX, GO 3.50%, 12/01/2050(1) |
7,000,000
|
| 1,610,000
|
Texas
Municipal Gas Acquisition & Supply Corp. I, TX, Rev 6.25%, 12/15/2026 |
1,676,501
|
| 500,000
|
Texas
Public Finance Auth, TX, Rev 4.00%, 02/01/2034 |
518,462
|
| 200,000
|
Texas
Transportation Commission State Highway 249 System, TX, Rev 0.00%, 08/01/2038(4) |
104,649
|
| 2,000,000
|
Texas
Transportation Commission State Highway Fund, TX, Rev 0.43%, 04/01/2025 |
1,923,049
|
| |
Uptown
Dev Auth, TX, Tax Allocation |
|
| 220,000
|
4.00%,
09/01/2032 |
221,156
|
| 250,000
|
4.00%,
09/01/2035 |
245,173
|
|
|
|
|
49,768,244
|
| |
Utah
- 1.1% |
| 1,000,000
|
City
of Salt Lake City Airport, UT, Rev 5.00%, 07/01/2029 |
1,067,956
|
| 590,000
|
County
of Salt Lake, UT, Rev, (AMBAC Insured) 5.13%, 02/15/2033 |
599,672
|
| 1,500,000
|
County
of Utah, UT, Rev 5.00%, 05/15/2045 |
1,503,961
|
| 1,250,000
|
Utah
Transit Auth, UT, Rev, (AGM Insured) 5.25%, 06/15/2029 |
1,394,681
|
|
|
|
|
4,566,270
|
| |
Virginia
- 2.2% |
| 1,325,000
|
Arlington
County Industrial Dev Auth, VA, Rev 5.00%, 07/01/2053(1) |
1,467,683
|
| 945,000
|
Halifax
County Industrial Dev Auth, VA, Rev 1.65%, 12/01/2041(1) |
934,004
|
| 750,000
|
Henrico
County Economic Dev Auth, VA, Rev 5.00%, 10/01/2047 |
770,794
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 95.4% - (continued) |
| |
Virginia
- 2.2% - (continued) |
| $ 255,000
|
James
City County Economic Dev Auth, VA, Rev 5.25%, 12/01/2027 |
$ 256,857
|
| |
Virginia
Beach Dev Auth, VA, Rev |
|
| 620,000
|
5.38%,
09/01/2029 |
638,383 |
| 630,000
|
7.00%,
09/01/2059 |
678,691 |
| 850,000
|
Virginia
Commonwealth Transportation Board, VA, Rev 4.00%, 05/15/2030 |
851,078 |
| |
Virginia
Small Business Financing Auth, VA, Rev |
|
| 1,000,000
|
4.00%,
01/01/2033 |
1,006,755 |
| 1,100,000
|
4.00%,
07/01/2034 |
1,105,076 |
| 835,000
|
5.00%,
07/01/2035 |
916,152
|
| 350,000
|
5.00%,
12/31/2047 |
365,140
|
|
|
|
|
8,990,613
|
| |
Washington
- 1.4% |
| 500,000
|
King
County School Dist No. 210 Federal Way, WA, GO, (School Board Guaranty Insured) 4.00%, 12/01/2036 |
511,867
|
| |
State
of Washington, WA, GO |
|
| 1,105,000
|
4.00%,
07/01/2035 |
1,185,903
|
| 460,000
|
5.00%,
08/01/2044 |
502,040
|
| |
Washington
Health Care Facs Auth, WA, Rev |
|
| 1,500,000
|
4.00%,
08/01/2044 |
1,439,221
|
| 1,725,000
|
5.00%,
10/01/2042 |
1,725,485
|
| 500,000
|
Washington
State Housing Finance Commission, WA, Rev 5.00%, 01/01/2031(2) |
451,744
|
|
|
|
|
5,816,260
|
| |
West
Virginia - 0.6% |
| |
West
Virginia Economic Dev Auth, WV, Rev |
|
| 390,000
|
2.55%,
03/01/2040(1) |
388,748
|
| 1,870,000
|
3.75%,
12/01/2042(1) |
1,866,535
|
|
|
|
|
2,255,283
|
| |
Wisconsin
- 2.5% |
| |
Public
Finance Auth, WI, Rev |
|
| 505,000
|
4.00%,
10/01/2041 |
441,870
|
| 835,000
|
4.00%,
10/01/2046(1) |
853,333
|
| 170,000
|
(AGM
Insured) 4.00%, 07/01/2050 |
162,687
|
| 50,000
|
5.00%,
09/01/2025(2) |
49,870
|
| 1,000,000
|
(AGM
Insured) 5.00%, 07/01/2036 |
1,062,018
|
| 485,000
|
5.00%,
07/01/2038 |
499,550
|
| 750,000
|
5.00%,
10/01/2043(2) |
660,090
|
| 465,000
|
5.00%,
10/01/2044 |
484,623
|
| 1,255,000
|
5.00%,
02/01/2052 |
1,267,776
|
| 105,000
|
5.25%,
07/01/2038(2) |
112,067
|
| 2,250,000
|
5.50%,
07/01/2043(2) |
2,388,456
|
| |
University
of Wisconsin Hospitals & Clinics, WI, Rev |
|
| 310,000
|
4.00%,
04/01/2035 |
325,796
|
| 220,000
|
4.00%,
04/01/2039 |
223,328
|
| 120,000
|
Wisconsin
Center Dist, WI, Rev, (AGM Insured) 0.00%, 12/15/2029(4) |
98,478
|
| |
Wisconsin
Health & Educational Facs Auth, WI, Rev |
|
| 595,000
|
4.00%,
08/15/2046 |
473,308
|
| 500,000
|
4.00%,
01/01/2057 |
288,885
|
| 840,000
|
5.00%,
11/01/2039 |
732,610
|
| 200,000
|
Wisconsin
Housing & Economic Dev Auth Housing, WI, Rev, (HUD SECT 8) 0.50%, 11/01/2050(1) |
193,731
|
|
|
|
|
10,318,476
|
|
|
Total
Municipal Bonds
(cost $388,466,017) |
|
$ 385,643,208
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Municipal Opportunities ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 0.2% |
| |
Mortgage-Backed
Agencies - 0.2% |
| |
Federal
Home Loan Mortgage Corp. - 0.2% |
| $ 1,145,000
|
3.15%,
10/15/2036 |
$ 985,415
|
|
|
Total
U.S. Government Agencies
(cost $1,165,468) |
|
$
985,415 |
|
|
Total
Long-Term Investments
(cost $389,631,485) |
|
$ 386,628,623
|
| SHORT-TERM
INVESTMENTS - 0.8% |
| |
Repurchase
Agreements - 0.8% |
|
3,336,184 |
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $3,336,675; collateralized by U.S. Treasury Note at 4.00%, maturing 01/31/2031, with a market value of $3,402,941 |
$ 3,336,184
|
|
|
Total
Short-Term Investments
(cost $3,336,184) |
$
3,336,184 |
|
|
Total
Investments
(cost $392,967,669) |
96.4%
|
$ 389,964,807
|
|
|
Other
Assets and Liabilities |
3.6%
|
14,381,302
|
|
|
Total
Net Assets |
100.0%
|
$ 404,346,109
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund
may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types.
|
For Fund compliance purposes, the Fund may not use the
same classification system. These classifications are used for financial reporting purposes.
See “Glossary” for abbreviation
descriptions.
|
(1) |
Variable
or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(2) |
Security
was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $10,187,592, representing 2.5% of net assets. |
|
(3) |
Variable
rate securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
|
(4) |
Security
is a zero-coupon bond. |
|
(5) |
This
security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $3,887,617 at January 31, 2024. |
|
† |
See
Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the
inputs used as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Municipal
Bonds |
|
$ 385,643,208
|
|
$ —
|
|
$ 385,643,208
|
|
$ —
|
| U.S.
Government Agencies |
|
985,415
|
|
—
|
|
985,415
|
|
—
|
| Short-Term
Investments |
|
3,336,184
|
|
—
|
|
3,336,184
|
|
—
|
| Total
|
|
$ 389,964,807
|
|
$ —
|
|
$ 389,964,807
|
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Schroders Commodity Strategy ETF (Consolidated)
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| COMMON
STOCKS - 2.5% |
| |
Materials
- 2.5% |
| 878
|
Aclara
Resources, Inc.* |
$ 295
|
| 300
|
Agnico
Eagle Mines Ltd. |
14,748 |
| 1,300
|
Eldorado
Gold Corp.* |
15,873 |
| 600
|
Endeavour
Mining PLC |
10,459 |
| 4,641
|
Newmont
Corp. |
160,161 |
| 2,100
|
Northern
Star Resources Ltd. |
18,255 |
| 8,200
|
OceanaGold
Corp. |
16,510
|
| 4,100
|
Pan
American Silver Corp. |
55,432
|
|
|
Total
Common Stocks
(cost $325,024) |
|
$
291,733 |
| SHORT-TERM
INVESTMENTS - 88.8% |
| |
Other
Investment Pools & Funds - 3.7% |
| 437,997
|
Morgan
Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 5.19%(1) |
$
437,997 |
| |
U.S.
Treasury Securities - 85.1% |
| |
U.S.
Treasury Bills - 85.1% |
| $ 1,380,000
|
5.15%,
02/22/2024(2) |
1,375,730
|
| 1,030,000
|
5.23%,
02/29/2024(2) |
1,025,742
|
| 800,000
|
5.23%,
04/25/2024(2) |
790,299
|
| 1,310,000
|
5.24%,
03/28/2024(2) |
1,299,364
|
| 1,520,000
|
5.24%,
04/18/2024(2) |
1,503,108
|
| 600,000
|
5.26%,
04/04/2024(2) |
594,509
|
| 1,260,000
|
5.27%,
04/11/2024(2) |
1,247,278
|
| 890,000
|
5.27%,
05/02/2024(2) |
878,298
|
| 1,400,000
|
5.28%,
03/14/2024(2) |
1,391,347
|
|
|
|
|
10,105,675
|
|
|
Total
Short-Term Investments
(cost $10,543,805) |
$ 10,543,672
|
|
|
Total
Investments
(cost $10,868,829) |
91.3%
|
$ 10,835,405
|
|
|
Other
Assets and Liabilities |
8.7%
|
1,035,563
|
|
|
Total
Net Assets |
100.0%
|
$ 11,870,968
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
The Consolidated Schedule of
Investments includes investments held by Hartford Schroders Cayman Commodity Strategy Fund, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related instruments. The Fund may invest up
to 25% of its total assets in the Subsidiary. As of January 31, 2024, the Fund invested 11.8% of its total assets in the Subsidiary. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
| *
|
Non-income
producing. |
|
(1) |
Current
yield as of period end. |
|
(2) |
The rate
shown represents current yield to maturity. |
| Futures
Contracts Outstanding at January 31, 2024 |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Long
position contracts: |
| Brent
Crude Oil Future |
|
10
|
|
03/28/2024
|
|
$ 802,700
|
|
$
30,448 |
| Coffee
'C' Future |
|
5
|
|
03/18/2024
|
|
363,844
|
|
41,103
|
| Copper
Future |
|
8
|
|
03/26/2024
|
|
781,200
|
|
25,678
|
| Corn
Future |
|
16
|
|
03/14/2024
|
|
358,600
|
|
(7,397)
|
| Cotton
No. 2 Future |
|
5
|
|
03/06/2024
|
|
212,925
|
|
13,662
|
| Gasoline
RBOB Future |
|
3
|
|
02/29/2024
|
|
281,131
|
|
22,453
|
| Gold
100oz Future |
|
6
|
|
04/26/2024
|
|
1,240,440
|
|
9,581
|
| KC
Hard Red Winter Wheat Future |
|
6
|
|
03/14/2024
|
|
186,600
|
|
(10,458)
|
| Lean
Hogs Future |
|
8
|
|
04/12/2024
|
|
271,440
|
|
20,320
|
| LME
Lead Future |
|
4
|
|
03/18/2024
|
|
218,932
|
|
10,627
|
| LME
Nickel Future |
|
4
|
|
03/18/2024
|
|
387,648
|
|
(13,735)
|
| LME
Primary Aluminum Future |
|
15
|
|
12/16/2024
|
|
893,220
|
|
(118,173)
|
| LME
Zinc Future |
|
9
|
|
03/18/2024
|
|
566,854
|
|
7,847
|
| Low
Sulphur Gas Oil Future |
|
4
|
|
03/12/2024
|
|
334,800
|
|
45,366
|
| Micro
Gold Future |
|
40
|
|
04/26/2024
|
|
826,960
|
|
4,372
|
| Micro
WTI Crude Oil Future |
|
48
|
|
02/16/2024
|
|
364,080
|
|
5,855
|
| Natural
Gas Future |
|
29
|
|
02/27/2024
|
|
609,000
|
|
(28,450)
|
| NY
Harbor ULSD Future |
|
2
|
|
02/29/2024
|
|
233,957
|
|
25,522
|
| Primary
Aluminum Future |
|
14
|
|
03/18/2024
|
|
792,722
|
|
41,476
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Commodity Strategy ETF (Consolidated)
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Futures
Contracts Outstanding at January 31, 2024 – (continued) |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Long
position contracts – (continued): |
| Silver
1000oz Future |
|
3
|
|
03/26/2024
|
|
$
69,507 |
|
$
677 |
| Silver
Future |
|
5
|
|
03/26/2024
|
|
579,225
|
|
(5,186)
|
| Soybean
Future |
|
6
|
|
03/14/2024
|
|
366,675
|
|
(5,370)
|
| Soybean
Meal Future |
|
10
|
|
03/14/2024
|
|
368,300
|
|
(24,531)
|
| Soybean
Oil Future |
|
14
|
|
03/14/2024
|
|
386,568
|
|
(31,599)
|
| Wheat
Future |
|
9
|
|
03/14/2024
|
|
267,862
|
|
(6,145)
|
| World
Sugar No. 11 Future |
|
6
|
|
02/29/2024
|
|
162,153
|
|
9,359
|
| WTI
Crude Future |
|
8
|
|
02/20/2024
|
|
606,800
|
|
2,202
|
| Total
|
|
|
|
|
|
|
|
$
65,504 |
| Short
position contracts: |
| LME
Lead Future |
|
2
|
|
03/18/2024
|
|
$ 109,466
|
|
$
(5,628) |
| LME
Nickel Future |
|
2
|
|
03/18/2024
|
|
193,824
|
|
3,834
|
| LME
Primary Aluminum Future |
|
15
|
|
12/16/2024
|
|
893,220
|
|
39,725
|
| LME
Zinc Future |
|
7
|
|
03/18/2024
|
|
440,886
|
|
14,141
|
| Primary
Aluminum Future |
|
5
|
|
03/18/2024
|
|
283,115
|
|
5,716
|
| Total
|
|
|
|
|
|
|
|
$
57,788 |
| Total
futures contracts |
|
$ 123,292
|
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of
investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used
as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Common
Stocks |
|
|
|
|
|
|
|
|
| Materials
|
|
$
291,733 |
|
$
291,733 |
|
$
— |
|
$ —
|
| Short-Term
Investments |
|
10,543,672
|
|
437,997
|
|
10,105,675
|
|
—
|
| Futures
Contracts(2) |
|
379,964
|
|
379,964
|
|
—
|
|
—
|
| Total
|
|
$ 11,215,369
|
|
$ 1,109,694
|
|
$ 10,105,675
|
|
$ —
|
| Liabilities
|
|
|
|
|
|
|
|
|
| Futures
Contracts(2) |
|
$
(256,672) |
|
$
(256,672) |
|
$
— |
|
$ —
|
| Total
|
|
$
(256,672) |
|
$
(256,672) |
|
$
— |
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
|
(2) |
Derivative
instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 2.3% |
| |
Commercial
Banks - 1.1% |
| $ 200,000
|
AIB
Group PLC 6.61%, 09/13/2029, (6.61% fixed rate until 09/13/2028; 6 mo. USD SOFR + 2.33% thereafter)(1)(2) |
$ 209,993
|
| 400,000
|
Banco
Santander SA 1.72%, 09/14/2027, (1.72% fixed rate until 09/14/2026; 1 yr. USD CMT + 0.90% thereafter)(2) |
362,763 |
| 335,000
|
Barclays
PLC 7.33%, 11/02/2026, (7.33% fixed rate until 11/02/2025; 1 yr. USD CMT + 3.05% thereafter)(2) |
345,873 |
| 621,000
|
Lloyds
Banking Group PLC 5.99%, 08/07/2027, (5.99% fixed rate until 08/07/2026; 1 yr. USD CMT + 1.48% thereafter)(2) |
630,128 |
| 264,000
|
NatWest
Group PLC 7.47%, 11/10/2026, (7.47% fixed rate until 11/10/2025; 1 yr. USD CMT + 2.85% thereafter)(2) |
273,538 |
|
757,000 |
UniCredit
SpA 1.98%, 06/03/2027, (1.98% fixed rate until 06/03/2026; 1 yr. USD CMT + 1.20% thereafter)(1)(2) |
697,408
|
|
|
|
|
2,519,703
|
| |
Diversified
Financial Services - 0.9% |
| 1,425,000
|
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust 2.45%, 10/29/2026 |
1,322,187
|
| 580,000
|
Aircastle
Ltd. 5.95%, 02/15/2029(1) |
579,633
|
|
|
|
|
1,901,820
|
| |
REITS
- 0.2% |
| 486,000
|
Highwoods
Realty LP 7.65%, 02/01/2034 |
534,394
|
| |
Semiconductors
- 0.1% |
| 273,000
|
Qorvo,
Inc. 1.75%, 12/15/2024 |
263,300
|
|
|
Total
Corporate Bonds
(cost $5,330,251) |
$
5,219,217 |
| MUNICIPAL
BONDS - 80.1% |
| |
Alabama
- 2.7% |
| |
Black
Belt Energy Gas Dist, AL, Rev |
|
| 920,000
|
4.00%,
10/01/2049(3) |
$
921,921 |
| 2,680,000
|
4.00%,
06/01/2051(3) |
2,695,082
|
| 685,000
|
5.25%,
12/01/2053(3) |
740,843
|
| 680,000
|
County
of Jefferson Sewer, AL, Rev 5.50%, 10/01/2053 |
752,570
|
| 715,000
|
Town
of Pike Road, AL, GO 5.00%, 03/01/2052 |
781,790
|
|
|
|
|
5,892,206
|
| |
California
- 6.3% |
| 205,000
|
Alameda
Corridor Transportation Auth, CA, Rev, (AGM Insured) 5.00%, 10/01/2052 |
221,903
|
| 210,000
|
California
Community Choice Financing Auth, CA, Rev 5.00%, 02/01/2054(3) |
225,458
|
| 240,000
|
Central
Unified School Dist, CA, GO 4.00%, 08/01/2050 |
240,487
|
| 625,000
|
Del
Mar Union School Dist, CA, GO 4.00%, 08/01/2046 |
636,625
|
| 565,000
|
Fresno
Unified School Dist, CA, GO 4.00%, 08/01/2052 |
563,449
|
| 1,585,000
|
Golden
State Tobacco Securitization Corp., CA, Rev, (ST APPROP Insured) 3.00%, 06/01/2046 |
1,464,410
|
| 2,310,000
|
Moreno
Valley Unified School Dist, CA, GO, (AGM Insured) 4.13%, 08/01/2050 |
2,329,938
|
| 765,000
|
Oxnard
School Dist, CA, GO, (BAM Insured) 4.25%, 08/01/2053 |
775,938
|
| 450,000
|
Pittsburg
Unified School Dist, CA, GO, (AGM Insured) 4.25%, 08/01/2049 |
460,184
|
| 1,205,000
|
Regents
of the University of California Medical Center Pooled, CA, Rev 4.00%, 05/15/2053 |
1,196,087
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
California
- 6.3% - (continued) |
| $ 120,000
|
San
Diego County Regional Airport Auth, CA, Rev 5.00%, 07/01/2053 |
$ 133,233
|
| 1,260,000
|
San
Diego Housing Auth, Inc., CA, Rev 5.00%, 05/01/2057(3) |
1,311,651 |
| 60,000
|
San
Diego Unified School Dist, CA, GO 4.55%, 07/01/2052 |
62,622 |
| 935,000
|
San
Francisco Bay Area Rapid Transit Dist, CA, GO 4.25%, 08/01/2052 |
954,959 |
| 105,000
|
San
Francisco Community College Dist, CA, GO 2.02%, 06/15/2029 |
92,672 |
| 1,215,000
|
San
Mateo Foster City School Dist, CA, GO 4.00%, 08/01/2051 |
1,232,941 |
| 970,000
|
Sweetwater
Union High School Dist, CA, GO 5.00%, 08/01/2052 |
1,061,501
|
| 865,000
|
Victor
Valley Community College Dist, CA, GO 4.00%, 08/01/2050 |
865,912
|
| |
Washington
Township Health Care Dist, CA, GO, |
|
| 70,000
|
(AGM
Insured) 4.50%, 08/01/2053 |
72,257
|
| 125,000
|
5.50%,
08/01/2053 |
141,948
|
|
|
|
|
14,044,175
|
| |
Colorado
- 1.0% |
| 715,000
|
Adams
County Housing Auth, CO, Rev 4.50%, 05/01/2042(3) |
715,613
|
| 575,000
|
City
& County of Denver Airport System, CO, Rev 5.25%, 11/15/2053 |
640,043
|
| 535,000
|
City
of Colorado Springs Utilities System, CO, Rev 4.00%, 11/15/2051 |
527,827
|
| 365,000
|
Colorado
Housing & Finance Auth, CO, Rev, (GNMA/FNMA/FHLMC Insured) 3.50%, 05/01/2050 |
358,883
|
|
|
|
|
2,242,366
|
| |
Connecticut
- 0.1% |
| 120,000
|
Connecticut
Housing Finance Auth, CT, Rev, (GNMA/FNMA/FHLMC Insured) 4.25%, 05/15/2042 |
120,186
|
| |
District
of Columbia - 1.5% |
| 700,000
|
Dist
of Columbia Income Tax, DC, Rev 5.25%, 05/01/2048 |
792,346
|
| 2,090,000
|
Dist
of Columbia Water & Sewer Auth, DC, Rev 4.00%, 10/01/2047 |
2,103,828
|
| 340,000
|
Metropolitan
Washington Airports Auth, Dulles Toll Road, DC, Rev 5.00%, 10/01/2034 |
364,697
|
|
|
|
|
3,260,871
|
| |
Florida
- 1.9% |
| 280,000
|
City
of Cape Coral Water & Sewer, FL, Rev, (BAM Insured) 5.25%, 10/01/2053 |
317,166
|
| 2,745,000
|
County
of Broward Convention Center Hotel, FL, Rev 4.00%, 01/01/2051 |
2,743,407
|
| 410,000
|
Florida
Dev Finance Corp., FL, Rev 5.25%, 08/01/2055 |
436,922
|
| |
Florida
Housing Finance Corp., FL, Rev, |
|
| 60,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 07/01/2051 |
58,213
|
| 390,000
|
(GNMA/FNMA/FHLMC
Insured) 3.50%, 07/01/2051 |
384,266
|
| 35,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 07/01/2049 |
34,881
|
| 290,000
|
St.
Johns County Housing Finance Auth, FL, Rev 3.55%, 07/01/2027(3) |
288,825
|
|
|
|
|
4,263,680
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Georgia
- 2.0% |
| |
Main
Street Natural Gas, Inc., GA, Rev |
|
| $ 1,565,000
|
4.00%,
03/01/2050(3) |
$ 1,574,382
|
| 485,000
|
4.00%,
05/01/2052(3) |
486,143 |
| 1,525,000
|
5.00%,
12/01/2053(3) |
1,631,004 |
|
615,000 |
5.00%,
05/01/2054(3) |
658,118
|
|
|
|
|
4,349,647
|
| |
Hawaii
- 0.0% |
| 95,000
|
City
& County Honolulu Wastewater System, HI, Rev 5.25%, 07/01/2053 |
106,072
|
| |
Illinois
- 2.5% |
| |
Illinois
Housing Dev Auth, IL, Rev, |
|
| 450,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 10/01/2051 |
434,478
|
| 785,000
|
(GNMA/FNMA/FHLMC
Insured) 3.75%, 04/01/2050 |
779,202
|
| 815,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 10/01/2049 |
812,884
|
| 70,000
|
(FHLMC/FNMA/GNMA
Insured) 4.50%, 10/01/2048 |
70,494
|
| 2,000,000
|
(HUD
SECT 8 FHA 221(D)(4)) 5.00%, 02/01/2027(3) |
2,050,399
|
| 1,455,000
|
(HUD
SECT 8) 5.00%, 02/01/2027(3) |
1,491,665
|
|
|
|
|
5,639,122
|
| |
Indiana
- 0.7% |
| |
Indiana
Housing & Community Dev Auth, IN, Rev, |
|
| 845,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 07/01/2050 |
818,036
|
| 65,000
|
(GNMA
Insured) 4.00%, 07/01/2048 |
64,786
|
| 705,000
|
Indianapolis
Local Public Improvement Bond Bank, IN, Rev 5.00%, 01/01/2053 |
761,954
|
|
|
|
|
1,644,776
|
| |
Iowa
- 1.7% |
| |
Iowa
Finance Auth, IA, Rev, |
|
| 945,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 01/01/2047 |
913,513
|
| 1,700,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 07/01/2051 |
1,635,546
|
| 70,000
|
(GNMA/FNMA/FHLMC
Insured) 3.25%, 07/01/2050 |
68,518
|
| 35,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 07/01/2048 |
34,884
|
| 1,040,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 07/01/2052 |
1,038,715
|
|
|
|
|
3,691,176
|
| |
Kentucky
- 1.3% |
| |
Kentucky
Public Energy Auth, KY, Rev |
|
| 600,000
|
4.00%,
12/01/2049(3) |
600,938
|
| 2,005,000
|
5.25%,
04/01/2054(3) |
2,177,728
|
|
|
|
|
2,778,666
|
| |
Louisiana
- 1.1% |
| 20,000
|
Louisiana
Housing Corp., LA, Rev 4.50%, 12/01/2047 |
20,117
|
| 1,385,000
|
Louisiana
Local Government Environmental Facs & Community Dev Auth, LA, Rev 2.50%, 04/01/2036 |
1,148,791
|
| 1,255,000
|
Louisiana
Stadium & Exposition Dist, LA, Rev 5.25%, 07/01/2053 |
1,383,700
|
|
|
|
|
2,552,608
|
| |
Maryland
- 0.3% |
| 625,000
|
Maryland
State Transportation Auth, MD, Rev 4.00%, 07/01/2050 |
623,659
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Massachusetts
- 0.8% |
| |
Commonwealth
of Massachusetts, MA, GO |
|
| $ 120,000
|
3.00%,
02/01/2048 |
$ 97,070
|
| 550,000
|
5.00%,
05/01/2053 |
600,686 |
|
1,180,000 |
Massachusetts
Bay Transportation Auth Sales Tax, MA, Rev 4.00%, 07/01/2053 |
1,174,387
|
|
|
|
|
1,872,143
|
| |
Michigan
- 3.9% |
| 700,000
|
Cedar
Springs Public School Dist, MI, GO, (Q-SBLF Insured) 4.50%, 05/01/2049 |
716,748
|
| 770,000
|
Ferndale
Public Schools, MI, GO, (Q-SBLF Insured) 5.00%, 05/01/2053 |
824,828
|
| 1,500,000
|
Fraser
Public School Dist, MI, GO, (Q-SBLF Insured) 5.00%, 05/01/2048 |
1,602,672
|
| 210,000
|
Great
Lakes Water Auth Sewage Disposal System, MI, Rev 5.25%, 07/01/2053 |
235,549
|
| 210,000
|
Great
Lakes Water Auth Water Supply System, MI, Rev 5.25%, 07/01/2053 |
235,549
|
| |
Grosse
Ile Township School Dist, MI, GO, |
|
| 540,000
|
(Q-SBLF
Insured) 5.00%, 05/01/2049 |
578,132
|
| 625,000
|
(Q-SBLF
Insured) 5.00%, 05/01/2052 |
665,666
|
| 55,000
|
Michigan
State Housing Dev Auth, MI, Rev 3.75%, 06/01/2050 |
54,425
|
| 1,540,000
|
Troy
School Dist, MI, GO, (Q-SBLF Insured) 5.00%, 05/01/2052 |
1,678,492
|
| 1,750,000
|
Wayne
County Airport Auth, MI, Rev, (AGM Insured) 5.25%, 12/01/2048 |
1,974,482
|
|
|
|
|
8,566,543
|
| |
Minnesota
- 1.9% |
| 250,000
|
Hennepin
County Housing & Redev Auth, MN, Rev, (HUD SECT 8 FHA 221(D)(4)) 4.65%, 10/01/2026(3) |
250,289
|
| 180,000
|
Housing
& Redev Auth of The City of St Paul Minnesota, MN, Rev, (HUD SECT 8) 3.50%, 12/01/2025(3) |
179,547
|
| 435,000
|
Minneapolis-St
Paul Metropolitan Airports Commission, MN, Rev 4.25%, 01/01/2052 |
437,460
|
| 3,490,000
|
Minnesota
Housing Finance Agency, MN, Rev, (GNMA/FNMA/FHLMC Insured) 3.00%, 01/01/2051 |
3,385,146
|
|
|
|
|
4,252,442
|
| |
Mississippi
- 0.5% |
| |
Mississippi
Home Corp., MS, Rev, |
|
| 1,010,000
|
(GNMA/FNMA/FHLMC/COLL
Insured) 3.00%, 12/01/2050 |
979,241
|
| 190,000
|
(GNMA/FNMA/FHLMC
Insured) 3.25%, 12/01/2050 |
185,630
|
|
|
|
|
1,164,871
|
| |
Missouri
- 1.1% |
| 875,000
|
Kansas
City Planned Industrial Expansion Auth, MO, Rev 5.00%, 07/01/2045(3) |
911,534
|
| |
Missouri
Housing Dev Commission, MO, Rev, |
|
| 465,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 05/01/2052 |
449,635
|
| 355,000
|
(GNMA/FNMA/FHLMC
Insured) 3.25%, 05/01/2051 |
346,150
|
| 150,000
|
(GNMA/FNMA/FHLMC
Insured) 3.50%, 11/01/2050 |
147,619
|
| 210,000
|
(GNMA/FNMA/FHLMC
Insured) 3.88%, 05/01/2050 |
208,660
|
| 90,000
|
(GNMA/FNMA/FHLMC
Insured) 4.25%, 05/01/2049 |
90,208
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Missouri
- 1.1% - (continued) |
| $ 70,000
|
(GNMA/FNMA/FHLMC
Insured) 4.75%, 05/01/2049 |
$ 70,863
|
|
385,000 |
St.
Charles County Francis Howell R-III School Dist, MO, GO 2.00%, 03/01/2037 |
309,516
|
|
|
|
|
2,534,185
|
| |
Nebraska
- 0.3% |
| |
Nebraska
Investment Finance Auth, NE, Rev, |
|
| 505,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 09/01/2050 |
489,916 |
|
65,000 |
4.00%,
09/01/2048 |
64,814
|
|
|
|
|
554,730
|
| |
Nevada
- 0.0% |
| 90,000
|
Nevada
Housing Division, NV, Rev, (GNMA/FNMA/FHLMC/COLL Insured) 4.00%, 10/01/2049 |
89,772
|
| |
New
Jersey - 0.2% |
| 90,000
|
New
Jersey Economic Dev Auth, NJ, Rev 5.00%, 11/01/2026 |
95,046
|
| 430,000
|
New
Jersey Housing & Mortgage Finance Agency, NJ, Rev, (HUD SECT 8) 3.67%, 02/01/2026 |
430,988
|
| 25,000
|
New
Jersey Transportation Trust Fund Auth, NJ, Rev 4.00%, 06/15/2035 |
26,106
|
|
|
|
|
552,140
|
| |
New
Mexico - 1.2% |
| |
New
Mexico Mortgage Finance Auth, NM, Rev, |
|
| 750,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 01/01/2051 |
726,233
|
| 210,000
|
(GNMA/FNMA/FHLMC
Insured) 3.00%, 01/01/2052 |
202,592
|
| 115,000
|
(GNMA/FNMA/FHLMC
Insured) 4.00%, 01/01/2049 |
114,591
|
| 1,680,000
|
(GNMA/FNMA/FHLMC
Insured) 4.25%, 03/01/2053 |
1,690,287
|
|
|
|
|
2,733,703
|
| |
New
York - 7.8% |
| 1,130,000
|
City
of New York, NY, GO 4.00%, 04/01/2050 |
1,114,945
|
| 3,000,000
|
Monroe
County Industrial Dev Corp., NY, Rev, (HUD SECT 8) 5.00%, 07/01/2028(3) |
3,134,711
|
| 1,240,000
|
New
York City Municipal Water Finance Auth, NY, Rev 5.25%, 06/15/2053 |
1,401,201
|
| |
New
York City Transitional Finance Auth, Future Tax Secured, NY, Rev |
|
| 445,000
|
4.00%,
08/01/2048 |
440,291
|
| 1,890,000
|
4.00%,
02/01/2051 |
1,869,910
|
| 225,000
|
New
York City Transitional Finance Auth, NY, Rev 4.38%, 05/01/2053 |
229,514
|
| 5,000,000
|
New
York Power Auth, NY, Rev, (AGM Insured) 5.00%, 11/15/2053 |
5,532,590
|
| 950,000
|
New
York State Dormitory Auth, NY, Rev 3.00%, 03/15/2038 |
880,138
|
| 125,000
|
New
York Transportation Dev Corp., NY, Rev 5.00%, 12/01/2028 |
135,436
|
| 230,000
|
Rockland
County Industrial Dev Agency, NY, Rev, (HUD SECT 8 FHA 221(D)(4)) 4.65%, 05/01/2027(3) |
231,487
|
| 1,560,000
|
Triborough
Bridge & Tunnel Auth Sales Tax, NY, Rev 5.00%, 05/15/2053 |
1,699,174
|
| 605,000
|
Triborough
Bridge & Tunnel Auth, NY, Rev 4.50%, 05/15/2052 |
624,406
|
| 100,000
|
Westchester
County Local Dev Corp., NY, Rev, (AGM Insured) 5.75%, 11/01/2053 |
112,905
|
|
|
|
|
17,406,708
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
North
Carolina - 0.4% |
| $ 240,000
|
Asheville
Housing Auth, NC, Rev, (HUD SECT 8) 5.00%, 11/01/2026(3) |
$ 245,183
|
|
605,000 |
North
Carolina Housing Finance Agency, NC, Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 07/01/2050 |
602,633
|
|
|
|
|
847,816
|
| |
Ohio
- 2.5% |
| 430,000
|
Columbus-Franklin
County Finance Auth, OH, Rev 5.00%, 07/01/2045(3) |
445,294 |
| 3,015,000
|
Fairborn
City School Dist, OH, GO 5.25%, 12/01/2053 |
3,308,970 |
| |
Ohio
Housing Finance Agency, OH, Rev |
|
| 130,000
|
3.00%,
03/01/2052 |
125,651 |
| 1,010,000
|
(GNMA/FNMA/FHLMC/COLL
Insured) 3.25%, 03/01/2050 |
988,760
|
| 125,000
|
(HUD
SECT 8) 3.53%, 02/01/2029(3) |
125,155
|
| 20,000
|
(GNMA/FNMA/FHLMC
Insured) 4.50%, 09/01/2048 |
20,120
|
| 295,000
|
Ohio
Turnpike & Infrastructure Commission, OH, Rev 0.00%, 02/15/2041(4) |
146,203
|
| 315,000
|
Pickerington
Local School Dist, OH, GO 5.00%, 12/01/2053 |
340,335
|
|
|
|
|
5,500,488
|
| |
Oklahoma
- 0.1% |
| 130,000
|
Oklahoma
Housing Finance Agency, OK, Rev, (GNMA/FNMA/FHLMC Insured) 4.00%, 03/01/2050 |
129,819
|
| |
Pennsylvania
- 0.4% |
| 600,000
|
Allegheny
County Airport Auth, PA, Rev, (AGM Insured) 5.25%, 01/01/2053 |
664,879
|
| 145,000
|
Allegheny
County Sanitary Auth, PA, Rev 5.00%, 06/01/2053 |
154,715
|
| 110,000
|
Geisinger
Auth, PA, Rev 5.00%, 02/15/2032 |
115,852
|
|
|
|
|
935,446
|
| |
South
Carolina - 2.8% |
| 2,500,000
|
Inman
Campobello Water Dist, SC, Rev, (BAM Insured) 5.00%, 06/01/2048 |
2,731,181
|
| 3,135,000
|
Patriots
Energy Group Financing Agency, SC, Rev 5.25%, 10/01/2054(3) |
3,377,462
|
| 45,000
|
Tobacco
Settlement Management Auth, SC, Rev 6.38%, 05/15/2030 |
53,348
|
|
|
|
|
6,161,991
|
| |
Tennessee
- 3.7% |
| 515,000
|
County
of Putnam, TN, GO 2.00%, 04/01/2037 |
401,369
|
| 625,000
|
Health
Educational & Housing Facility Board of the City of Memphis, TN, Rev, (HUD SECT 8) 3.55%, 12/01/2027(3) |
622,356
|
| 75,000
|
Jackson
Health Educational & Housing Facility Board, TN, Rev, (HUD SECT 8) 3.00%, 12/01/2026(3) |
74,803
|
| 390,000
|
Johnson
City Health & Educational Facs Board, TN, Rev, (HUD SECT 8) 3.60%, 12/01/2027(3) |
389,848
|
| 410,000
|
Knoxville's
Community Dev Corp., TN, Rev, (HUD SECT 8) 4.25%, 10/01/2024 |
412,146
|
| |
Metropolitan
Government Nashville & Davidson County Health & Educational Facs Board, TN, Rev, |
|
| 1,415,000
|
(HUD
SECT 8) 3.50%, 02/01/2048(3) |
1,416,489
|
| 1,910,000
|
3.85%,
02/01/2045(3) |
1,909,778
|
| 15,000
|
(NATL
Insured) 4.88%, 11/01/2028 |
15,800
|
| 305,000
|
Metropolitan
Nashville Airport Auth, TN, Rev 5.00%, 07/01/2052 |
331,482
|
| 1,795,000
|
Tennergy
Corp., TN, Rev 4.00%, 12/01/2051(3) |
1,798,290
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Tennessee
- 3.7% - (continued) |
| $ 50,000
|
Tennessee
Housing Dev Agency, TN, Rev 4.50%, 07/01/2049 |
$ 50,300
|
|
705,000 |
Williamson
County Industrial Dev Board, TN, Rev, (HUD SECT 8) 5.00%, 05/01/2042(3) |
732,803
|
|
|
|
|
8,155,464
|
| |
Texas
- 28.3% |
| 610,000
|
Alvarado
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2052 |
592,362 |
| |
Arlington
Higher Education Finance Corp., TX, Rev, |
|
| 700,000
|
(PSF-GTD
Insured) 4.25%, 12/01/2048 |
682,179 |
| 200,000
|
(PSF-GTD
Insured) 4.25%, 12/01/2053 |
190,774 |
| 680,000
|
(PSF-GTD
Insured) 5.00%, 08/15/2033 |
752,172
|
| 200,000
|
(PSF-GTD
Insured) 5.00%, 08/15/2048 |
217,340
|
| |
Bexar
County Hospital Dist, TX, GO |
|
| 635,000
|
4.25%,
02/15/2052 |
629,243
|
| 1,405,000
|
4.25%,
02/15/2053 |
1,386,867
|
| 280,000
|
Bexar
County Housing Finance Corp., TX, Rev 4.05%, 03/01/2028(3) |
281,549
|
| 1,235,000
|
Bullard
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2052 |
1,205,276
|
| 1,235,000
|
Carrizo
Springs Consolidated Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 08/15/2049 |
1,351,533
|
| 4,825,000
|
Chapel
Hill Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/15/2048 |
5,316,029
|
| 445,000
|
City
of Dallas Housing Finance Corp., TX, Rev 5.00%, 07/01/2042(3) |
463,706
|
| 390,000
|
City
of Georgetown Utility System, TX, Rev, (BAM Insured) 5.25%, 08/15/2053 |
423,552
|
| 790,000
|
Cleburne
Independent School Dist, TX, GO, (PSF-GTD Insured) 3.00%, 02/15/2046 |
631,619
|
| |
Clifton
Higher Education Finance Corp., TX, Rev, |
|
| 545,000
|
(PSF-GTD
Insured) 4.25%, 04/01/2053 |
525,477
|
| 80,000
|
(PSF-GTD
Insured) 5.00%, 08/15/2029 |
89,166
|
| 765,000
|
College
of the Mainland, TX, GO 4.00%, 08/15/2049 |
733,567
|
| 1,190,000
|
Columbia-Brazoria
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/01/2053 |
1,178,382
|
| |
Community
Independent School Dist, TX, GO, |
|
| 330,000
|
(PSF-GTD
Insured) 5.00%, 02/15/2048 |
363,126
|
| 905,000
|
(PSF-GTD
Insured) 5.00%, 02/15/2053 |
983,896
|
| 505,000
|
County
of Harris, TX, GO 5.00%, 10/01/2038 |
535,736
|
| 825,000
|
Dallas
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
809,903
|
| 2,165,000
|
Denison
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 08/01/2053 |
2,118,349
|
| 3,065,000
|
Dickinson
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.25%, 02/15/2053 |
3,085,921
|
| 375,000
|
Donna
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.13%, 02/15/2053 |
369,780
|
| 2,405,000
|
Forney
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 08/15/2053 |
2,324,889
|
| 380,000
|
Fort
Worth Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2048 |
375,729
|
| 690,000
|
Georgetown
Independent School Dist, TX, GO, (PSF-GTD Insured) 2.50%, 08/15/2037 |
594,616
|
| 1,085,000
|
Katy
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
1,065,145
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Texas
- 28.3% - (continued) |
| $ 1,390,000
|
Lakeside
Place PFC, TX, Rev, (FHA 221(D4)) 4.15%, 11/01/2026(3) |
$ 1,398,567
|
| |
Lamar
Consolidated Independent School Dist, TX, GO, |
|
| 365,000
|
(PSF-GTD
Insured) 3.00%, 02/15/2051 |
282,049 |
| 1,090,000
|
(PSF-GTD
Insured) 4.00%, 02/15/2048 |
1,079,399 |
| 1,030,000
|
Liberty
Hill Independent School Dist, TX, GO, (PSF-GTD Insured) 4.13%, 02/01/2053 |
1,020,945 |
| 590,000
|
Lockhart
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.13%, 08/01/2053 |
589,792 |
| 2,165,000
|
Medina
Valley Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
2,100,350
|
| |
Montgomery
Independent School Dist, TX, GO, |
|
| 115,000
|
(PSF-GTD
Insured) 4.00%, 02/15/2053 |
112,513
|
| 745,000
|
(PSF-GTD
Insured) 4.25%, 02/15/2052 |
751,492
|
| 4,515,000
|
New
Caney Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/15/2053 |
4,942,090
|
| 20,000
|
Newark
Higher Education Finance Corp., TX, Rev, (PSF-GTD Insured) 5.00%, 08/15/2052 |
21,378
|
| |
Northwest
Independent School Dist, TX, GO, |
|
| 990,000
|
(PSF-GTD
Insured) 4.13%, 08/15/2053 |
981,173
|
| 465,000
|
(PSF-GTD
Insured) 5.00%, 02/15/2048 |
507,573
|
| 1,250,000
|
Pewitt
Consolidated Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
1,212,673
|
| 3,210,000
|
Prosper
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
3,119,410
|
| 435,000
|
Rockwall
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/15/2053 |
424,874
|
| 1,105,000
|
Royal
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.25%, 02/15/2053 |
1,111,838
|
| 185,000
|
Sabine-Neches
Navigation Dist, TX, GO 5.25%, 02/15/2052 |
198,753
|
| 915,000
|
Sherman
Independent School Dist, TX, GO, (PSF-GTD Insured) 5.00%, 02/15/2053 |
996,955
|
| 1,930,000
|
Southwest
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.00%, 02/01/2053 |
1,885,397
|
| 805,000
|
Temple
Independent School Dist, TX, GO, (PSF-GTD Insured) 4.25%, 02/01/2047 |
814,851
|
| |
Texas
Department of Housing & Community Affairs, TX, Rev, |
|
| 600,000
|
(GNMA
Insured) 3.00%, 01/01/2052 |
578,672
|
| 265,000
|
(GNMA
Insured) 3.50%, 03/01/2051 |
259,724
|
| 100,000
|
(GNMA
Insured) 4.00%, 03/01/2050 |
99,595
|
| 50,000
|
(GNMA
Insured) 4.75%, 03/01/2049 |
50,455
|
| 330,000
|
Texas
Municipal Gas Acquisition & Supply Corp. III, TX, Rev 5.00%, 12/15/2028 |
345,478
|
| 5,900,000
|
Texas
Municipal Gas Acquisition & Supply Corp. IV, TX, Rev 5.50%, 01/01/2054(3) |
6,342,689
|
| 400,000
|
Texas
State Affordable Housing Corp., TX, Rev 3.63%, 01/01/2045(3) |
400,069
|
| |
Texas
Water Dev Board, TX, Rev |
|
| 285,000
|
4.80%,
10/15/2052 |
301,797
|
| 1,135,000
|
5.25%,
10/15/2051 |
1,272,812
|
| 440,000
|
White
Settlement Independent School Dist, TX, GO, (PSF-GTD Insured) 4.13%, 08/15/2052 |
440,526
|
|
|
|
|
62,921,772
|
| |
Virginia
- 1.0% |
| 365,000
|
Hampton
Roads Transportation Accountability Commission, VA, Rev 4.00%, 07/01/2052 |
359,840
|
| 660,000
|
Harrisonburg
Redev & Housing Auth, VA, Rev 3.57%, 10/01/2045(3) |
659,891
|
| 1,150,000
|
Loudoun
County Economic Dev Auth, VA, Rev 4.00%, 10/01/2052 |
1,152,456
|
|
|
|
|
2,172,187
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 80.1% - (continued) |
| |
Washington
- 0.1% |
| $ 135,000
|
Washington
State Housing Finance Commission, WA, Rev 4.00%, 12/01/2048 |
$ 134,609
|
| |
Wyoming
- 0.0% |
|
55,000 |
Wyoming
Community Dev Auth, WY, Rev 4.00%, 06/01/2043 |
54,839
|
|
|
Total
Municipal Bonds
(cost $175,123,261) |
|
$ 177,950,878
|
| U.S.
GOVERNMENT SECURITIES - 8.6% |
| |
U.S.
Treasury Securities - 8.6% |
| |
U.S.
Treasury Bonds - 8.6% |
| 6,247,000
|
3.63%,
08/15/2043 |
$ 5,655,487
|
| 12,712,000
|
4.75%,
11/15/2043 |
13,429,036
|
|
|
Total
U.S. Government Securities
(cost $18,523,432) |
|
$
19,084,523 |
|
|
Total
Long-Term Investments
(cost $198,976,944) |
|
$ 202,254,618
|
| SHORT-TERM
INVESTMENTS - 8.1% |
| |
Other
Investment Pools & Funds - 0.8% |
| 1,854,860
|
Morgan
Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 5.19%(5) |
$
1,854,860 |
| |
U.S.
Treasury Securities - 7.3% |
| |
U.S.
Treasury Bills - 7.3% |
| 913,000
|
4.78%,
12/26/2024(6) |
875,330
|
| 1,336,000
|
4.82%,
12/26/2024(6) |
1,280,877
|
| 1,854,000
|
4.82%,
12/26/2024(6) |
1,777,504
|
| 644,000
|
4.82%,
12/26/2024(6) |
617,429
|
| 281,000
|
4.84%,
10/31/2024(6) |
271,119
|
| 412,000
|
4.85%,
10/31/2024(6) |
397,513
|
| 639,000
|
4.88%,
10/31/2024(6) |
616,530
|
| 651,000
|
4.88%,
10/31/2024(6) |
628,108
|
| 785,000
|
4.91%,
10/31/2024(6) |
757,396
|
| 635,000
|
5.03%,
10/31/2024(6) |
612,671
|
| 818,000
|
5.07%,
10/31/2024(6) |
789,236
|
| 577,000
|
5.08%,
10/31/2024(6) |
556,710
|
| 1,061,000
|
5.20%,
10/31/2024(6) |
1,023,691
|
| 841,000
|
5.21%,
10/31/2024(6) |
811,427
|
| 474,000
|
5.21%,
10/31/2024(6) |
457,332
|
| 979,000
|
5.21%,
10/31/2024(6) |
944,575
|
| 16,000
|
5.23%,
10/31/2024(6) |
15,437
|
| 1,440,000
|
5.25%,
10/31/2024(6) |
1,389,364
|
| 794,000
|
5.29%,
10/31/2024(6) |
766,080
|
| 174,000
|
5.30%,
10/31/2024(6) |
167,882
|
| 1,448,000
|
5.35%,
10/31/2024(6) |
1,397,083
|
|
|
|
|
16,153,294
|
|
|
Total
Short-Term Investments
(cost $17,982,586) |
$
18,008,154 |
|
|
Total
Investments
(cost $216,959,530) |
99.1%
|
$ 220,262,772
|
|
|
Other
Assets and Liabilities |
0.9%
|
1,902,578
|
|
|
Total
Net Assets |
100.0%
|
$ 222,165,350
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
|
(1) |
Security
was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $1,487,034, representing 0.7% of net assets. |
|
(2) |
Fixed to
variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
|
(3) |
Variable
or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(4) |
Security
is a zero-coupon bond. |
|
(5) |
Current
yield as of period end. |
|
(6) |
The rate
shown represents current yield to maturity. |
|
† |
See
Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial
statements.
Hartford
Schroders Tax-Aware Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
Fair
Value Summary
The following is a summary of the fair valuations
according to the inputs used as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Corporate
Bonds |
|
$
5,219,217 |
|
$
— |
|
$
5,219,217 |
|
$ —
|
| Municipal
Bonds |
|
177,950,878
|
|
—
|
|
177,950,878
|
|
—
|
| U.S.
Government Securities |
|
19,084,523
|
|
—
|
|
19,084,523
|
|
—
|
| Short-Term
Investments |
|
18,008,154
|
|
1,854,860
|
|
16,153,294
|
|
—
|
| Total
|
|
$ 220,262,772
|
|
$ 1,854,860
|
|
$ 218,407,912
|
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Short Duration ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.9% |
| |
Asset-Backed
- Automobile - 0.3% |
| $ 73,098
|
FHF
Trust 4.43%, 01/18/2028(1) |
$ 72,180
|
| 175,000
|
Hertz
Vehicle Financing LLC 1.21%, 12/26/2025(1) |
169,831 |
|
92,472 |
Lendbuzz
Securitization Trust 1.46%, 06/15/2026(1) |
89,937
|
|
|
|
|
331,948
|
| |
Asset-Backed
- Credit Card - 0.1% |
|
125,000 |
Evergreen
Credit Card Trust 5.61%, 07/15/2026(1) |
124,473
|
| |
Asset-Backed
- Finance & Insurance - 0.3% |
| 375,000
|
Cologix
Data Centers U.S. Issuer LLC 3.30%, 12/26/2051(1) |
341,027
|
| 13,281
|
FCI
Funding LLC 1.13%, 04/15/2033(1) |
13,006
|
|
|
|
|
354,033
|
| |
Commercial
Mortgage-Backed Securities - 1.0% |
| 225,000
|
FREMF
Mortgage Trust 3.98%, 01/25/2048(1)(2) |
220,556
|
| 240,000
|
GS
Mortgage Securities Corp. Trust 2.75%, 02/10/2037(1) |
228,766
|
| 162,751
|
GS
Mortgage Securities Trust 2.78%, 10/10/2049 |
158,221
|
| 575,000
|
SG
Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) |
519,934
|
|
|
|
|
1,127,477
|
| |
Other
Asset-Backed Securities - 20.9% |
| 1,000,000
|
720
East CLO IV Ltd. 6.86%, 04/15/2037, 3 mo. USD Term SOFR + 1.60%(1)(3) |
1,000,000
|
| 12,633
|
Affirm
Asset Securitization Trust 1.07%, 08/15/2025(1) |
12,518
|
| 500,000
|
Anchorage
Capital CLO 1-R Ltd. 7.03%, 04/13/2031, 3 mo. USD Term SOFR + 1.71%(1)(3) |
499,086
|
| 256,295
|
Apidos
CLO XV Ltd. 6.59%, 04/20/2031, 3 mo. USD Term SOFR + 1.27%(1)(3) |
256,432
|
| 238,129
|
Apidos
CLO XX Ltd. 6.68%, 07/16/2031, 3 mo. USD Term SOFR + 1.36%(1)(3) |
238,171
|
| 300,000
|
Apidos
CLO XXIII Ltd. 6.80%, 04/15/2033, 3 mo. USD Term SOFR + 1.48%(1)(3) |
300,456
|
| 600,000
|
Apidos
CLO XXVIII 6.98%, 01/20/2031, 3 mo. USD Term SOFR + 1.66%(1)(3) |
599,039
|
| 137,462
|
Aqua
Finance Trust 1.54%, 07/17/2046(1) |
123,307
|
| 300,000
|
Atrium
XIII 7.08%, 11/21/2030, 3 mo. USD Term SOFR + 1.76%(1)(3) |
297,862
|
| 31,333
|
Avant
Loans Funding Trust 1.21%, 07/15/2030(1) |
31,180
|
|
|
Barings
CLO Ltd. |
|
| 290,000
|
2.10%,
01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(3) |
290,029
|
| 1,000,000
|
6.75%,
04/15/2036, 3 mo. USD Term SOFR + 1.43%(1)(3) |
999,760
|
| 1,000,000
|
7.48%,
04/20/2031, 3 mo. USD Term SOFR + 2.16%(1)(3) |
992,852
|
| 1,000,000
|
Barings
Loan Partners CLO Ltd. 3 6.84%, 07/20/2033, 3 mo. USD Term SOFR + 1.52%(1)(3) |
1,002,750
|
| 220,738
|
Benefit
Street Partners CLO XII Ltd. 6.53%, 10/15/2030, 3 mo. USD Term SOFR + 1.21%(1)(3) |
220,888
|
| 175,000
|
BSPRT
Issuer Ltd. 6.85%, 02/15/2037, 30 day USD SOFR Average + 1.50%(1)(3) |
173,310
|
| 316,915
|
Carlyle
Global Market Strategies CLO Ltd. 6.56%, 07/20/2031, 3 mo. USD Term SOFR + 1.24%(1)(3) |
317,473
|
|
|
CIFC
Funding Ltd. |
|
| 522,954
|
6.62%,
04/20/2031, 3 mo. USD Term SOFR + 1.30%(1)(3) |
524,977
|
| 1,000,000
|
6.64%,
04/17/2035, 3 mo. USD Term SOFR + 1.32%(1)(3) |
997,291
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.9% - (continued) |
| |
Other
Asset-Backed Securities - 20.9% - (continued) |
| $ 213,549
|
6.69%,
01/22/2031, 3 mo. USD Term SOFR + 1.37%(1)(3) |
$ 213,661
|
| 300,000
|
6.73%,
07/15/2036, 3 mo. USD Term SOFR + 1.41%(1)(3) |
299,826 |
| 250,000
|
6.90%,
01/15/2034, 3 mo. USD Term SOFR + 1.58%(1)(3) |
249,982 |
| 250,000
|
6.98%,
04/24/2031, 3 mo. USD Term SOFR + 1.66%(1)(3) |
248,783 |
| 375,000
|
7.97%,
01/20/2037, 3 mo. USD Term SOFR + 2.65%(1)(3) |
375,063 |
| 450,800
|
DB
Master Finance LLC 2.05%, 11/20/2051(1) |
412,511 |
| 228,361
|
Dryden
37 Senior Loan Fund 6.68%, 01/15/2031, 3 mo. USD Term SOFR + 1.36%(1)(3) |
228,541
|
| 250,000
|
Dryden
53 CLO Ltd. 6.98%, 01/15/2031, 3 mo. USD Term SOFR + 1.66%(1)(3) |
249,672
|
| 1,000,000
|
Dryden
68 CLO Ltd. 6.75%, 07/15/2035, 3 mo. USD Term SOFR + 1.43%(1)(3) |
1,001,161
|
| 1,000,000
|
Dryden
94 CLO Ltd. 6.75%, 07/15/2037, 3 mo. USD Term SOFR + 1.44%(1)(3) |
1,001,502
|
| 1,000,000
|
Elmwood
CLO Ltd. 7.02%, 10/17/2036, 3 mo. USD Term SOFR + 1.70%(1)(3) |
1,007,447
|
| 500,000
|
Greenwood
Park CLO Ltd. 6.98%, 04/15/2031, 3 mo. USD Term SOFR + 1.66%(1)(3) |
495,338
|
| 226,158
|
LCM
XXIV Ltd. 6.56%, 03/20/2030, 3 mo. USD Term SOFR + 1.24%(1)(3) |
226,241
|
| 660,000
|
Madison
Park Funding XIX Ltd. 6.92%, 01/22/2037, 3 mo. USD Term SOFR + 1.60%(1)(3) |
662,159
|
| 292,186
|
Madison
Park Funding XVIII Ltd. 6.52%, 10/21/2030, 3 mo. USD Term SOFR + 1.20%(1)(3) |
292,785
|
| 1,000,000
|
Madison
Park Funding XXXII Ltd. 6.98%, 01/22/2031, 3 mo. USD Term SOFR + 1.66%(1)(3) |
995,521
|
| 1,000,000
|
Madison
Park Funding XXXVII Ltd. 6.65%, 07/15/2033, 3 mo. USD Term SOFR + 1.33%(1)(3) |
1,001,250
|
| 300,000
|
Magnetite
XXV Ltd. 6.79%, 01/25/2032, 3 mo. USD Term SOFR + 1.46%(1)(3) |
300,151
|
| 275,000
|
Neuberger
Berman CLO XVIII Ltd. 7.73%, 10/21/2030, 3 mo. USD Term SOFR + 2.41%(1)(3) |
273,798
|
| 265,703
|
Neuberger
Berman Loan Advisers CLO 24 Ltd. 6.59%, 04/19/2030, 3 mo. USD Term SOFR + 1.28%(1)(3) |
265,701
|
| 300,000
|
Neuberger
Berman Loan Advisers CLO 36 Ltd. 6.83%, 04/20/2033, 3 mo. USD Term SOFR + 1.51%(1)(3) |
300,742
|
| 202,839
|
Octagon
Investment Partners 30 Ltd. 6.58%, 03/17/2030, 3 mo. USD Term SOFR + 1.26%(1)(3) |
203,084
|
| 250,000
|
Octagon
Investment Partners XV Ltd. 7.07%, 07/19/2030, 3 mo. USD Term SOFR + 1.76%(1)(3) |
249,440
|
| 250,000
|
Octagon
Investment Partners XXI Ltd. 7.39%, 02/14/2031, 3 mo. USD Term SOFR + 2.01%(1)(3) |
245,601
|
| 134,116
|
Progress
Residential Trust 1.05%, 04/17/2038(1) |
123,022
|
| 164,847
|
Sapphire
Aviation Finance II Ltd. 3.23%, 03/15/2040(1) |
145,893
|
| 67,242
|
SoFi
Consumer Loan Program Trust 1.30%, 09/25/2030(1) |
66,698
|
| 95,000
|
Stack
Infrastructure Issuer LLC 1.88%, 03/26/2046(1) |
87,139
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.9% - (continued) |
| |
Other
Asset-Backed Securities - 20.9% - (continued) |
| $ 325,000
|
Stratus
Static CLO Ltd. 7.22%, 10/20/2031, 3 mo. USD Term SOFR + 1.90%(1)(3) |
$ 324,991
|
| 800,000
|
Symphony
CLO Ltd. 7.12%, 04/24/2036, 3 mo. USD Term SOFR + 1.80%(1)(3) |
801,673 |
| 1,000,000
|
Texas
Debt Capital CLO Ltd. 7.12%, 04/20/2036, 3 mo. USD Term SOFR + 1.80%(1)(3) |
1,006,919 |
|
|
Vantage
Data Centers Issuer LLC |
|
| 300,000
|
1.65%,
09/15/2045(1) |
279,049 |
|
295,000 |
2.17%,
10/15/2046(1) |
266,743
|
|
|
|
|
22,779,468
|
| |
Whole
Loan Collateral CMO - 3.3% |
|
|
Angel
Oak Mortgage Trust |
|
| 96,250
|
1.04%,
01/20/2065(1)(2) |
77,806
|
| 15,650
|
2.47%,
12/25/2059(1)(2) |
14,840
|
| 75,270
|
2.53%,
01/26/2065(1)(2) |
69,855
|
| 17,509
|
2.59%,
10/25/2049(1)(2) |
16,891
|
| 124,049
|
Arroyo
Mortgage Trust 2.96%, 10/25/2048(1)(2) |
114,546
|
| 20,896
|
BRAVO
Residential Funding Trust 3.50%, 03/25/2058(1) |
20,534
|
|
|
COLT
Mortgage Loan Trust |
|
| 46,885
|
0.91%,
06/25/2066(1)(2) |
38,521
|
| 307,273
|
1.11%,
10/25/2066(1)(2) |
256,785
|
| 229,186
|
1.40%,
10/25/2066(1)(2) |
187,519
|
|
|
CSMC
Trust |
|
| 181,782
|
1.17%,
07/25/2066(1)(2) |
147,275
|
| 48,599
|
3.24%,
02/25/2050(1)(2) |
44,680
|
| 34,983
|
Deephaven
Residential Mortgage Trust 0.72%, 05/25/2065(1)(2) |
32,396
|
|
|
Ellington
Financial Mortgage Trust |
|
| 28,482
|
0.80%,
02/25/2066(1)(2) |
24,027
|
| 19,962
|
1.18%,
10/25/2065(1)(2) |
17,931
|
| 94,298
|
Federal
National Mortgage Association Connecticut Avenue Securities 11.36%, 10/25/2028, 30 day USD SOFR Average + 6.01%(3) |
100,428
|
|
|
GCAT
Trust |
|
| 208,954
|
1.09%,
08/25/2066(1)(2) |
169,458
|
| 104,075
|
1.47%,
04/25/2065(1)(2) |
96,149
|
| 38,016
|
2.25%,
01/25/2060(1)(4) |
36,153
|
|
|
Imperial
Fund Mortgage Trust |
|
| 108,938
|
1.07%,
06/25/2056(1)(2) |
93,184
|
| 139,808
|
1.07%,
09/25/2056(1)(2) |
114,792
|
| 156,688
|
1.60%,
11/25/2056(1)(2) |
130,010
|
| 160,000
|
IMS
Ecuadorian Mortgage Trust 3.40%, 08/18/2043(1) |
149,185
|
|
|
MFA
Trust |
|
| 65,067
|
0.85%,
01/25/2056(1)(2) |
59,904
|
| 35,933
|
1.01%,
01/26/2065(1)(2) |
32,167
|
| 118,735
|
1.91%,
11/25/2056(1)(2) |
101,992
|
|
|
Mill
City Mortgage Loan Trust |
|
| 13,212
|
3.25%,
05/25/2062(1)(2) |
12,915
|
| 8,040
|
3.50%,
05/25/2058(1)(2) |
7,921
|
| 121,896
|
3.50%,
08/25/2058(1)(2) |
118,504
|
|
|
New
Residential Mortgage Loan Trust |
|
| 33,810
|
0.94%,
10/25/2058(1)(2) |
31,375
|
| 51,318
|
3.87%,
09/25/2057(1)(2) |
48,039
|
| 141,291
|
4.00%,
02/25/2057(1)(2) |
133,708
|
| 94,828
|
6.20%,
01/25/2048, 1 mo. USD Term SOFR + 0.86%(1)(3) |
91,139
|
|
|
OBX
Trust |
|
| 111,830
|
1.05%,
07/25/2061(1)(2) |
88,208
|
| 42,893
|
3.50%,
12/25/2049(1)(2) |
38,041
|
| 62,714
|
PRPM
LLC 1.32%, 07/25/2051(1)(4) |
56,341
|
| 1,202
|
Sequoia
Mortgage Trust 4.50%, 08/25/2048(1)(2) |
1,172
|
| 210,079
|
SG
Residential Mortgage Trust 1.16%, 07/25/2061(1)(2) |
166,947
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 25.9% - (continued) |
| |
Whole
Loan Collateral CMO - 3.3% - (continued) |
|
|
Starwood
Mortgage Residential Trust |
|
| $ 105,362
|
1.13%,
06/25/2056(1)(2) |
$ 86,564
|
| 9,581
|
2.28%,
02/25/2050(1)(2) |
8,968 |
|
|
Towd
Point Mortgage Trust |
|
| 116,273
|
1.75%,
10/25/2060(1) |
103,063 |
| 2,559
|
2.16%,
01/25/2052(1)(2) |
2,549 |
| 75,258
|
3.25%,
07/25/2058(1)(2) |
73,062 |
| 28,495
|
3.75%,
05/25/2058(1)(2) |
27,472 |
| 89,849
|
TRK
Trust 1.15%, 07/25/2056(1)(2) |
77,849
|
|
|
Verus
Securitization Trust |
|
| 188,225
|
1.01%,
09/25/2066(1)(2) |
155,838
|
| 14,092
|
3.42%,
01/25/2060(1)(4) |
13,446
|
| 25,151
|
3.69%,
11/25/2059(1)(2) |
24,428
|
| 92,779
|
Visio
Trust 1.28%, 05/25/2056(1) |
82,954
|
|
|
|
|
3,597,531
|
|
|
Total
Asset & Commercial Mortgage-Backed Securities
(cost $29,130,179) |
$
28,314,930 |
| CORPORATE
BONDS - 40.9% |
| |
Advertising
- 0.3% |
| 300,000
|
Interpublic
Group of Cos., Inc. 4.65%, 10/01/2028 |
$
297,290 |
| |
Aerospace/Defense
- 0.6% |
| 595,000
|
Boeing
Co. 2.20%, 02/04/2026 |
560,264
|
| 110,000
|
HEICO
Corp. 5.25%, 08/01/2028 |
111,955
|
|
|
|
|
672,219
|
| |
Apparel
- 0.2% |
| 180,000
|
Tapestry,
Inc. 7.00%, 11/27/2026 |
185,651
|
| |
Auto
Manufacturers - 0.9% |
| 250,000
|
Ford
Motor Credit Co. LLC 4.69%, 06/09/2025 |
246,437
|
| 416,000
|
General
Motors Financial Co., Inc. 2.90%, 02/26/2025 |
405,585
|
| 325,000
|
Hyundai
Capital America 5.95%, 09/21/2026(1) |
331,358
|
|
|
|
|
983,380
|
| |
Biotechnology
- 1.2% |
| 365,000
|
Amgen,
Inc. 5.15%, 03/02/2028 |
371,421
|
| 320,000
|
Illumina,
Inc. 5.80%, 12/12/2025 |
323,321
|
| 595,000
|
Royalty
Pharma PLC 1.20%, 09/02/2025 |
557,941
|
|
|
|
|
1,252,683
|
| |
Chemicals
- 1.0% |
|
|
Celanese
U.S. Holdings LLC |
|
| 226,000
|
6.05%,
03/15/2025 |
227,105
|
| 335,000
|
6.35%,
11/15/2028 |
348,837
|
| 275,000
|
CF
Industries, Inc. 4.50%, 12/01/2026(1) |
270,819
|
| 300,000
|
International
Flavors & Fragrances, Inc. 4.45%, 09/26/2028 |
291,726
|
|
|
|
|
1,138,487
|
| |
Commercial
Banks - 9.7% |
| 250,000
|
ABN
AMRO Bank NV 6.34%, 09/18/2027, (6.34% fixed rate until 09/18/2026; 1 yr. USD CMT + 1.65% thereafter)(1)(5) |
255,617
|
| 200,000
|
AIB
Group PLC 7.58%, 10/14/2026, (7.58% fixed rate until 10/14/2025; 6 mo. USD SOFR + 3.46% thereafter)(1)(5) |
206,394
|
|
|
Bank
of America Corp. |
|
| 400,000
|
1.20%,
10/24/2026, (1.20% fixed rate until 10/24/2025; 6 mo. USD SOFR + 1.01% thereafter)(5) |
373,062
|
| 525,000
|
2.02%,
02/13/2026, (2.02% fixed rate until 02/13/2025; 3 mo. USD Term SOFR + 0.90% thereafter)(5) |
506,313
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 40.9% - (continued) |
| |
Commercial
Banks - 9.7% - (continued) |
| $ 292,000
|
5.08%,
01/20/2027, (5.08% fixed rate until 01/20/2026; 6 mo. USD SOFR + 1.29% thereafter)(5) |
$ 291,955
|
| 500,000
|
5.82%,
09/15/2029, (5.82% fixed rate until 09/15/2028; 6 mo. USD SOFR + 1.57% thereafter)(5) |
516,651 |
| 250,000
|
Bank
of Ireland Group PLC 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 1 yr. USD CMT + 2.65% thereafter)(1)(5) |
252,599 |
| 225,000
|
Bank
of New York Mellon Corp. 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(5) |
238,825 |
| 350,000
|
Barclays
PLC 2.28%, 11/24/2027, (2.28% fixed rate until 11/24/2026; 1 yr. USD CMT + 1.05% thereafter)(5) |
322,253 |
| 300,000
|
BNP
Paribas SA 4.63%, 03/13/2027(1) |
294,395 |
| 250,000
|
BPCE
SA 1.65%, 10/06/2026, (1.65% fixed rate until 10/06/2025; 6 mo. USD SOFR + 1.52% thereafter)(1)(5) |
233,663
|
| 250,000
|
Citibank
NA 5.80%, 09/29/2028 |
260,549
|
| 440,000
|
Citigroup,
Inc. 3.20%, 10/21/2026 |
420,796
|
| 250,000
|
Citizens
Bank NA 5.28%, 01/26/2026, (5.28% fixed rate until 01/26/2025; 6 mo. USD SOFR + 1.02% thereafter)(5)(6) |
246,218
|
| 340,000
|
Deutsche
Bank AG 2.55%, 01/07/2028, (2.55% fixed rate until 01/07/2027; 6 mo. USD SOFR + 1.32% thereafter)(5) |
312,373
|
| 360,000
|
Fifth
Third Bancorp 6.34%, 07/27/2029, (6.34% fixed rate until 07/27/2028; 6 mo. USD SOFR + 2.34% thereafter)(5) |
374,570
|
|
|
Goldman
Sachs Group, Inc. |
|
| 415,000
|
4.39%,
06/15/2027, (4.39% fixed rate until 06/15/2026; 6 mo. USD SOFR + 1.51% thereafter)(5) |
410,053
|
| 225,000
|
6.48%,
10/24/2029, (6.48% fixed rate until 10/24/2028; 6 mo. USD SOFR + 1.77% thereafter)(5) |
238,762
|
|
|
HSBC
Holdings PLC |
|
| 245,000
|
1.59%,
05/24/2027, (1.59% fixed rate until 05/24/2026; 6 mo. USD SOFR + 1.29% thereafter)(5) |
225,364
|
| 245,000
|
5.89%,
08/14/2027, (5.89% fixed rate until 08/14/2026; 6 mo. USD SOFR + 1.57% thereafter)(5) |
248,468
|
| 355,000
|
Huntington
Bancshares, Inc. 6.21%, 08/21/2029, (6.21% fixed rate until 08/21/2028; 6 mo. USD SOFR + 2.02% thereafter)(5) |
366,867
|
|
|
JP
Morgan Chase & Co. |
|
| 432,000
|
1.04%,
02/04/2027, (1.04% fixed rate until 02/04/2026; 3 mo. USD Term SOFR + 0.70% thereafter)(5) |
398,814
|
| 291,000
|
4.32%,
04/26/2028, (4.32% fixed rate until 04/26/2027; 6 mo. USD SOFR + 1.56% thereafter)(5) |
286,269
|
| 95,000
|
6.07%,
10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(5) |
97,774
|
| 200,000
|
6.09%,
10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(5) |
209,909
|
| 145,000
|
M&T
Bank Corp. 7.41%, 10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(5) |
156,234
|
| 330,000
|
Manufacturers
& Traders Trust Co. 4.65%, 01/27/2026 |
325,592
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 40.9% - (continued) |
| |
Commercial
Banks - 9.7% - (continued) |
|
|
Morgan
Stanley |
|
| $ 426,000
|
5.16%,
04/20/2029, (5.16% fixed rate until 04/20/2028; 6 mo. USD SOFR + 1.59% thereafter)(5) |
$ 428,546
|
| 385,000
|
5.45%,
07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(5) |
391,936 |
| 385,000
|
6.41%,
11/01/2029, (6.41% fixed rate until 11/01/2028; 6 mo. USD SOFR + 1.83% thereafter)(5) |
407,779 |
| 250,000
|
PNC
Financial Services Group, Inc. 6.62%, 10/20/2027, (6.62% fixed rate until 10/20/2026; 6 mo. USD SOFR + 1.73% thereafter)(5) |
259,795 |
| 200,000
|
Standard
Chartered PLC 7.02%, 02/08/2030, (7.02% fixed rate until 02/08/2029; 1 yr. USD CMT + 2.20% thereafter)(1)(5) |
211,349 |
|
|
Wells
Fargo & Co. |
|
| 325,000
|
3.53%,
03/24/2028, (3.53% fixed rate until 03/24/2027; 6 mo. USD SOFR + 1.51% thereafter)(5) |
311,371 |
| 275,000
|
5.57%,
07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(5) |
280,937
|
| 220,000
|
6.30%,
10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(5) |
231,727
|
|
|
|
|
10,593,779
|
| |
Commercial
Services - 0.6% |
|
|
Ashtead
Capital, Inc. |
|
| 200,000
|
1.50%,
08/12/2026(1) |
182,402
|
| 200,000
|
4.00%,
05/01/2028(1) |
189,254
|
| 264,000
|
ERAC
USA Finance LLC 4.60%, 05/01/2028(1) |
262,538
|
|
|
|
|
634,194
|
| |
Construction
Materials - 0.6% |
| 275,000
|
Lennox
International, Inc. 5.50%, 09/15/2028 |
281,754
|
| 400,000
|
Trane
Technologies Financing Ltd. 3.50%, 03/21/2026 |
389,861
|
|
|
|
|
671,615
|
| |
Distribution/Wholesale
- 0.3% |
| 285,000
|
LKQ
Corp. 5.75%, 06/15/2028 |
290,741
|
| |
Diversified
Financial Services - 1.0% |
| 250,000
|
Capital
One Financial Corp. 6.31%, 06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(5) |
257,629
|
|
|
Charles
Schwab Corp. |
|
| 150,000
|
1.15%,
05/13/2026 |
138,027
|
| 325,000
|
2.00%,
03/20/2028 |
290,495
|
| 425,000
|
Radian
Group, Inc. 6.63%, 03/15/2025 |
426,900
|
|
|
|
|
1,113,051
|
| |
Electric
- 2.8% |
| 230,000
|
Alliant
Energy Finance LLC 5.95%, 03/30/2029(1) |
239,037
|
| 300,000
|
CenterPoint
Energy, Inc. 4.25%, 11/01/2028 |
288,942
|
|
|
Edison
International |
|
| 275,000
|
4.70%,
08/15/2025 |
272,561
|
| 500,000
|
5.25%,
11/15/2028 |
504,482
|
| 271,000
|
ITC
Holdings Corp. 4.95%, 09/22/2027(1) |
272,045
|
| 270,000
|
Metropolitan
Edison Co. 5.20%, 04/01/2028(1) |
272,894
|
| 116,000
|
NextEra
Energy Capital Holdings, Inc. 6.05%, 03/01/2025 |
116,976
|
|
|
Pacific
Gas & Electric Co. |
|
| 302,000
|
5.45%,
06/15/2027 |
303,708
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 40.9% - (continued) |
| |
Electric
- 2.8% - (continued) |
| $ 458,000
|
6.10%,
01/15/2029 |
$ 474,507
|
|
325,000 |
Public
Service Enterprise Group, Inc. 5.88%, 10/15/2028 |
339,524
|
|
|
|
|
3,084,676
|
| |
Electronics
- 0.3% |
|
310,000 |
Flex
Ltd. 6.00%, 01/15/2028 |
319,664
|
| |
Entertainment
- 0.8% |
| 375,000
|
Caesars
Entertainment, Inc. 6.25%, 07/01/2025(1) |
376,825
|
| 464,000
|
Warnermedia
Holdings, Inc. 3.76%, 03/15/2027 |
445,646
|
|
|
|
|
822,471
|
| |
Food
- 0.3% |
| 377,000
|
Kraft
Heinz Foods Co. 3.00%, 06/01/2026 |
362,129
|
| |
Gas
- 0.7% |
| 350,000
|
East
Ohio Gas Co. 2.00%, 06/15/2030(1) |
292,251
|
| 487,000
|
NiSource,
Inc. 5.25%, 03/30/2028 |
496,555
|
|
|
|
|
788,806
|
| |
Hand/Machine
Tools - 0.3% |
| 370,000
|
Regal
Rexnord Corp. 6.05%, 02/15/2026(1) |
373,943
|
| |
Healthcare
- Products - 0.2% |
| 225,000
|
Revvity,
Inc. 3.30%, 09/15/2029 |
205,003
|
| |
Healthcare
- Services - 1.6% |
| 119,000
|
Beth
Israel Lahey Health, Inc. 2.22%, 07/01/2028 |
106,735
|
| 325,000
|
Centene
Corp. 2.45%, 07/15/2028 |
289,254
|
| 400,000
|
HCA,
Inc. 3.13%, 03/15/2027 |
380,280
|
| 600,000
|
Humana,
Inc. 1.35%, 02/03/2027 |
542,133
|
| 455,000
|
IQVIA,
Inc. 6.25%, 02/01/2029(1) |
473,335
|
|
|
|
|
1,791,737
|
| |
Home
Builders - 0.2% |
| 175,000
|
Meritage
Homes Corp. 6.00%, 06/01/2025 |
174,587
|
| |
Insurance
- 1.9% |
| 385,000
|
Aon
Corp./Aon Global Holdings PLC 2.85%, 05/28/2027 |
363,844
|
| 315,000
|
Corebridge
Financial, Inc. 3.65%, 04/05/2027 |
302,340
|
| 160,000
|
Corebridge
Global Funding 5.90%, 09/19/2028(1) |
165,909
|
| 370,000
|
Equitable
Financial Life Global Funding 1.00%, 01/09/2026(1) |
340,033
|
| 350,000
|
Pacific
Life Global Funding II 1.60%, 09/21/2028(1) |
300,347
|
| 400,000
|
Principal
Life Global Funding II 1.25%, 08/16/2026(1) |
364,891
|
| 300,000
|
Protective
Life Global Funding 1.62%, 04/15/2026(1) |
278,992
|
|
|
|
|
2,116,356
|
| |
Investment
Company Security - 0.4% |
| 425,000
|
Ares
Capital Corp. 7.00%, 01/15/2027 |
435,998
|
| |
Lodging
- 0.6% |
| 235,000
|
Genting
New York LLC/GENNY Capital, Inc. 3.30%, 02/15/2026(1) |
217,920
|
| 385,000
|
Marriott
International, Inc. 5.55%, 10/15/2028 |
396,997
|
|
|
|
|
614,917
|
| |
Machinery-Diversified
- 0.3% |
| 340,000
|
Ingersoll
Rand, Inc. 5.40%, 08/14/2028 |
348,584
|
| |
Media
- 1.1% |
|
|
Charter
Communications Operating LLC/Charter Communications Operating Capital |
|
| 350,000
|
2.25%,
01/15/2029 |
302,091
|
| 275,000
|
6.15%,
11/10/2026 |
280,902
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 40.9% - (continued) |
| |
Media
- 1.1% - (continued) |
| $ 225,000
|
Comcast
Corp. 4.55%, 01/15/2029 |
$ 225,198
|
|
330,000 |
Cox
Communications, Inc. 5.45%, 09/15/2028(1) |
336,709
|
|
|
|
|
1,144,900
|
| |
Office/Business
Equipment - 0.4% |
|
|
CDW
LLC/CDW Finance Corp. |
|
| 245,000
|
2.67%,
12/01/2026 |
229,115 |
|
205,000 |
4.13%,
05/01/2025 |
201,569
|
|
|
|
|
430,684
|
| |
Oil
& Gas - 0.9% |
| 300,000
|
Occidental
Petroleum Corp. 3.40%, 04/15/2026 |
288,321
|
|
|
Ovintiv,
Inc. |
|
| 345,000
|
5.65%,
05/15/2025 |
346,676
|
| 365,000
|
5.65%,
05/15/2028 |
371,186
|
|
|
|
|
1,006,183
|
| |
Packaging
& Containers - 0.3% |
| 380,000
|
Berry
Global, Inc. 1.57%, 01/15/2026 |
354,708
|
| |
Pharmaceuticals
- 0.6% |
| 479,000
|
CVS
Health Corp. 5.00%, 01/30/2029 |
484,331
|
| 200,000
|
Teva
Pharmaceutical Finance Netherlands III BV 4.75%, 05/09/2027 |
192,670
|
|
|
|
|
677,001
|
| |
Pipelines
- 2.9% |
| 300,000
|
Cheniere
Energy Partners LP 4.50%, 10/01/2029 |
286,306
|
| 300,000
|
Cheniere
Energy, Inc. 4.63%, 10/15/2028 |
290,406
|
| 282,000
|
Columbia
Pipelines Holding Co. LLC 6.06%, 08/15/2026(1) |
288,381
|
| 434,000
|
Energy
Transfer LP 2.90%, 05/15/2025 |
421,282
|
| 300,000
|
Gray
Oak Pipeline LLC 2.60%, 10/15/2025(1) |
287,012
|
| 385,000
|
ONEOK,
Inc. 5.65%, 11/01/2028 |
397,175
|
| 150,000
|
Sabine
Pass Liquefaction LLC 4.50%, 05/15/2030 |
146,293
|
| 405,000
|
Targa
Resources Corp. 5.20%, 07/01/2027 |
406,658
|
| 304,000
|
Western
Midstream Operating LP 6.35%, 01/15/2029 |
317,795
|
| 300,000
|
Williams
Cos., Inc. 4.00%, 09/15/2025 |
294,949
|
|
|
|
|
3,136,257
|
| |
Real
Estate - 0.4% |
| 390,000
|
Jones
Lang LaSalle, Inc. 6.88%, 12/01/2028 |
413,210
|
| |
Real
Estate Investment Trusts - 3.1% |
| 395,000
|
American
Tower Corp. 5.80%, 11/15/2028 |
409,331
|
| 105,000
|
American
Tower Trust I 5.49%, 03/15/2028(1) |
106,375
|
| 486,000
|
Crown
Castle, Inc. 4.80%, 09/01/2028 |
479,631
|
|
|
GLP
Capital LP/GLP Financing II, Inc. |
|
| 125,000
|
5.25%,
06/01/2025 |
124,486
|
| 150,000
|
5.38%,
04/15/2026 |
149,509
|
| 150,000
|
5.75%,
06/01/2028 |
151,072
|
| 400,000
|
Highwoods
Realty LP 4.20%, 04/15/2029 |
366,428
|
| 325,000
|
Kilroy
Realty LP 4.25%, 08/15/2029 |
304,386
|
| 175,000
|
LXP
Industrial Trust 6.75%, 11/15/2028 |
182,730
|
| 300,000
|
NNN
REIT, Inc. 4.30%, 10/15/2028 |
291,952
|
|
|
SBA
Tower Trust |
|
| 80,000
|
1.63%,
05/15/2051(1) |
71,641
|
| 155,000
|
2.84%,
01/15/2050(1) |
150,099
|
| 475,000
|
VICI
Properties LP/VICI Note Co., Inc. 4.25%, 12/01/2026(1) |
457,946
|
| 175,000
|
Welltower
OP LLC 3.10%, 01/15/2030 |
158,307
|
|
|
|
|
3,403,893
|
| |
Retail
- 0.8% |
| 370,000
|
AutoZone,
Inc. 6.25%, 11/01/2028 |
392,668
|
| 330,000
|
Dollar
General Corp. 5.20%, 07/05/2028 |
335,505
|
| 185,000
|
Nordstrom,
Inc. 2.30%, 04/08/2024 |
183,150
|
|
|
|
|
911,323
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 40.9% - (continued) |
| |
Savings
& Loans - 0.2% |
| $ 200,000
|
Nationwide
Building Society 6.56%, 10/18/2027, (6.56% fixed rate until 10/18/2026; 6 mo. USD SOFR + 1.91% thereafter)(1)(5) |
$ 206,282
|
| |
Semiconductors
- 1.0% |
| 300,000
|
Entegris,
Inc. 4.75%, 04/15/2029(1) |
286,543 |
| 400,000
|
Marvell
Technology, Inc. 5.75%, 02/15/2029 |
414,340 |
|
420,000 |
Skyworks
Solutions, Inc. 1.80%, 06/01/2026 |
391,200
|
|
|
|
|
1,092,083
|
| |
Software
- 0.9% |
| 320,000
|
Open
Text Corp. 6.90%, 12/01/2027(1) |
331,703
|
|
|
Oracle
Corp. |
|
| 375,000
|
4.50%,
05/06/2028 |
373,215
|
| 114,000
|
5.80%,
11/10/2025 |
115,711
|
| 150,000
|
PTC,
Inc. 3.63%, 02/15/2025(1) |
146,876
|
|
|
|
|
967,505
|
| |
Telecommunications
- 1.2% |
| 300,000
|
Juniper
Networks, Inc. 3.75%, 08/15/2029 |
283,197
|
| 450,000
|
Telecom
Italia SpA 5.30%, 05/30/2024(1) |
447,516
|
| 530,000
|
T-Mobile
USA, Inc. 4.80%, 07/15/2028 |
531,259
|
|
|
|
|
1,261,972
|
| |
Trucking
& Leasing - 0.3% |
| 320,000
|
Penske
Truck Leasing Co. LP/PTL Finance Corp. 5.70%, 02/01/2028(1) |
326,846
|
|
|
Total
Corporate Bonds
(cost $43,859,936) |
$
44,604,808 |
| SENIOR
FLOATING RATE INTERESTS - 0.1%(7) |
| |
Apparel
- 0.1% |
| 82,000
|
Crocs,
Inc. 8.50%, 02/20/2029, 3 mo. USD Term SOFR + 3.00% |
$
81,969 |
| |
Insurance
- 0.0% |
| 286
|
USI,
Inc. 8.35%, 11/22/2029, 3 mo. USD Term SOFR + 3.00% |
286
|
|
|
Total
Senior Floating Rate Interests
(cost $79,401) |
$
82,255 |
| U.S.
GOVERNMENT AGENCIES - 4.9% |
| |
Mortgage-Backed
Agencies - 4.9% |
| |
Federal
Home Loan Mortgage Corp. - 2.0% |
| 126,137
|
1.00%,
05/25/2033 |
$
113,001 |
| 371,340
|
1.00%,
01/15/2041 |
329,383
|
| 360,933
|
1.00%,
06/15/2044 |
329,796
|
| 2,460
|
1.50%,
01/15/2027 |
2,454
|
| 346,416
|
2.00%,
03/25/2034 |
325,575
|
| 25,578
|
3.50%,
09/15/2043 |
25,034
|
| 74,480
|
3.50%,
07/25/2048 |
70,092
|
| 4,470
|
3.75%,
05/15/2039(4) |
4,451
|
| 392,604
|
4.00%,
11/25/2049 |
382,657
|
| 275,928
|
4.00%,
08/15/2054 |
268,445
|
| 41,920
|
4.50%,
07/15/2040 |
41,306
|
| 86,262
|
4.50%,
05/25/2045 |
83,822
|
| 168,282
|
5.00%,
12/25/2048 |
166,780
|
|
|
|
|
2,142,796
|
| |
Federal
National Mortgage Association - 2.2% |
| 83,281
|
2.00%,
12/25/2042 |
71,315
|
| 30,035
|
2.55%,
07/25/2044 |
28,895
|
| 15,290
|
3.00%,
04/25/2043 |
14,968
|
| 62,301
|
3.00%,
05/25/2047 |
59,264
|
| 401,615
|
3.38%,
08/25/2048 |
379,247
|
| 201,455
|
3.50%,
10/25/2035 |
193,230
|
| 139,680
|
3.50%,
07/25/2045 |
135,204
|
| 49,959
|
3.50%,
07/25/2054 |
48,285
|
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 4.9% - (continued) |
| |
Mortgage-Backed
Agencies - 4.9% - (continued) |
| |
Federal
National Mortgage Association - 2.2% - (continued) |
| $ 217,989
|
4.00%,
10/25/2049 |
$ 210,076
|
| 498,405
|
4.00%,
05/25/2052 |
478,556 |
| 193,614
|
4.50%,
05/25/2040 |
192,735 |
| 218,430
|
4.50%,
09/25/2040 |
217,601 |
|
373,223 |
5.80%,
06/25/2041 |
388,550
|
|
|
|
|
2,417,926
|
| |
Government
National Mortgage Association - 0.7% |
| 126,842
|
2.00%,
05/20/2046 |
110,912
|
| 262,758
|
2.50%,
10/20/2041 |
245,836
|
| 63,527
|
2.50%,
07/20/2042 |
59,523
|
| 390,718
|
4.00%,
03/20/2049 |
377,165
|
|
|
|
|
793,436
|
|
|
Total
U.S. Government Agencies
(cost $5,384,235) |
|
$
5,354,158 |
| U.S.
GOVERNMENT SECURITIES - 10.4% |
| |
U.S.
Treasury Securities - 10.4% |
| |
U.S.
Treasury Notes - 10.4% |
| 575,000
|
0.38%,
12/31/2025 |
$
534,548 |
| 2,650,000
|
3.25%,
06/30/2027 |
2,589,858
|
| 5,825,000
|
3.88%,
01/15/2026 |
5,785,408
|
| 1,750,000
|
4.63%,
09/15/2026 |
1,773,584
|
| 500,000
|
4.63%,
10/15/2026 |
507,109
|
| 200,000
|
5.00%,
09/30/2025 |
202,047
|
|
|
Total
U.S. Government Securities
(cost $11,246,478) |
|
$
11,392,554 |
|
|
Total
Long-Term Investments
(cost $89,700,229) |
|
$
89,748,705 |
| SHORT-TERM
INVESTMENTS - 3.1% |
| |
Repurchase
Agreements - 3.1% |
| 3,380,279
|
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $3,380,777; collateralized by U.S. Treasury Note at 4.00%, maturing 01/31/2031, with a market value of $3,447,964 |
$
3,380,279 |
| |
Securities
Lending Collateral - 0.0% |
| 3,769
|
Goldman
Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(8) |
3,769
|
| 12,562
|
HSBC
U.S. Government Money Market Fund, Institutional Class, 5.27%(8) |
12,562
|
| 3,769
|
Invesco
Government & Agency Portfolio, Institutional Class, 5.24%(8) |
3,769
|
| 3,769
|
Morgan
Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.23%(8) |
3,769
|
|
|
|
|
23,869
|
|
|
Total
Short-Term Investments
(cost $3,404,148) |
$
3,404,148 |
|
|
Total
Investments
(cost $93,104,377) |
85.3%
|
$
93,152,853 |
|
|
Other
Assets and Liabilities |
14.7%
|
16,052,140
|
|
|
Total
Net Assets |
100.0%
|
$ 109,204,993
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
|
(1) |
Security
was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $38,159,020, representing 34.9% of net assets. |
|
(2) |
Variable
or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(3) |
Variable
rate securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
|
(4) |
Security
is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
|
(5) |
Fixed to
variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
|
(6) |
Represents
entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
|
(7) |
Senior
floating rate interests generally pay interest rates which are periodically
adjusted by reference to a base short-term, floating lending rate plus a premium.
The base lending rates are primarily the Secured Overnight Financing Rate
("SOFR") and secondarily, the prime rate offered by one or more major
United States banks (the "Prime Rate"). Senior floating rate interests often require
prepayments from excess cash flows or permit the borrower to repay at its
election. The rate at which the borrower repays cannot be predicted with accuracy.
As a result, the actual remaining maturity may be substantially less than the stated
maturities shown. Base lending rates may be subject to a floor or cap.
Unless
otherwise noted, the interest rate disclosed for these securities represents the rate
in effect as of January 31, 2024. |
|
(8) |
Current
yield as of period end. |
| Futures
Contracts Outstanding at January 31, 2024 |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Long
position contracts: |
| U.S.
Treasury 2-Year Note Future |
|
69
|
|
03/28/2024
|
|
$ 14,190,281
|
|
$
124,640 |
| Short
position contracts: |
| U.S.
Treasury 5-Year Note Future |
|
147
|
|
03/28/2024
|
|
$ 15,933,422
|
|
$ (341,382)
|
| Total
futures contracts |
|
$ (216,742)
|
| Foreign
Currency Contracts Outstanding at January 31, 2024 |
Amount
and Description of
Currency to be Purchased |
|
Amount
and Description of
Currency to be Sold |
|
Counterparty
|
|
Settlement
Date |
|
Appreciation/
(Depreciation) |
| 83,000
|
EUR
|
|
89,914
|
USD
|
|
MSC
|
|
02/29/2024
|
|
$ 362 |
| 244,587
|
USD
|
|
222,000
|
EUR
|
|
DEUT
|
|
02/02/2024
|
|
3,419
|
| 388,584
|
USD
|
|
358,221
|
EUR
|
|
TDB
|
|
02/29/2024
|
|
(1,038)
|
| 240,534
|
USD
|
|
222,000
|
EUR
|
|
DEUT
|
|
03/05/2024
|
|
(976)
|
| Total
foreign currency contracts |
|
$ 1,767
|
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of
investments.
The accompanying notes are an integral part of these financial
statements.
Hartford
Short Duration ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
Fair
Value Summary
The following is a summary of the fair valuations
according to the inputs used as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Asset
& Commercial Mortgage-Backed Securities |
|
$ 28,314,930
|
|
$
— |
|
$ 28,314,930
|
|
$ —
|
| Corporate
Bonds |
|
44,604,808
|
|
—
|
|
44,604,808
|
|
—
|
| Senior
Floating Rate Interests |
|
82,255
|
|
—
|
|
82,255
|
|
—
|
| U.S.
Government Agencies |
|
5,354,158
|
|
—
|
|
5,354,158
|
|
—
|
| U.S.
Government Securities |
|
11,392,554
|
|
—
|
|
11,392,554
|
|
—
|
| Short-Term
Investments |
|
3,404,148
|
|
23,869
|
|
3,380,279
|
|
—
|
| Foreign
Currency Contracts(2) |
|
3,781
|
|
—
|
|
3,781
|
|
—
|
| Futures
Contracts(2) |
|
124,640
|
|
124,640
|
|
—
|
|
—
|
| Total
|
|
$ 93,281,274
|
|
$
148,509 |
|
$ 93,132,765
|
|
$ —
|
| Liabilities
|
|
|
|
|
|
|
|
|
| Foreign
Currency Contracts(2) |
|
$
(2,014) |
|
$
— |
|
$
(2,014) |
|
$ —
|
| Futures
Contracts(2) |
|
(341,382)
|
|
(341,382)
|
|
—
|
|
—
|
| Total
|
|
$
(343,396) |
|
$ (341,382)
|
|
$
(2,014) |
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
|
(2) |
Derivative
instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Sustainable Income ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.6% |
| |
Asset-Backed
- Automobile - 0.5% |
| $ 50,000
|
Exeter
Automobile Receivables Trust 12.07%, 09/16/2030(1) |
$ 56,749
|
|
250,000 |
Hertz
Vehicle Financing III LLC 9.44%, 03/25/2030(1) |
263,583
|
|
|
|
|
320,332
|
| |
Commercial
Mortgage-Backed Securities - 0.6% |
| 100,000
|
BAMLL
Commercial Mortgage Securities Trust 3.84%, 11/05/2032(1)(2) |
32,370 |
| 40,000
|
Benchmark
Mortgage Trust 7.64%, 12/15/2056(2) |
42,745 |
| 90,000
|
BPR
Trust 8.63%, 11/05/2028(1)(2) |
94,750
|
| 17,527
|
BX
Trust 9.03%, 08/15/2039, 1 mo. USD Term SOFR + 3.70%(1)(3) |
17,624
|
| 125,000
|
GS
Mortgage Securities Corp. Trust 2.95%, 11/05/2034(1) |
91,447
|
|
|
MSWF
Commercial Mortgage Trust |
|
| 65,000
|
4.00%,
12/15/2056(1) |
42,003
|
| 30,000
|
7.25%,
12/15/2056(2) |
30,718
|
|
|
|
|
351,657
|
| |
Other
Asset-Backed Securities - 4.4% |
| 150,000
|
720
East CLO Ltd. 10.55%, 10/15/2036, 3 mo. USD Term SOFR + 5.15%(1)(3) |
152,032
|
| 549,000
|
AMMC
CLO 22 Ltd. 11.34%, 04/25/2031, 3 mo. USD Term SOFR + 6.01%(1)(3) |
534,839
|
| 250,000
|
Bain
Capital Credit CLO Ltd. 10.57%, 07/24/2036, 3 mo. USD Term SOFR + 5.25%(1)(3) |
251,173
|
| 250,000
|
GoldenTree
Loan Management U.S. CLO Ltd. 11.86%, 01/20/2034, 3 mo. USD Term SOFR + 6.50%(1)(3) |
249,981
|
| 244,047
|
Horizon
Aircraft Finance III Ltd. 4.46%, 11/15/2039(1) |
114,440
|
| 250,000
|
Invesco
U.S. CLO Ltd. 13.68%, 04/22/2035, 3 mo. USD Term SOFR + 8.36%(1)(3) |
250,892
|
| 112,496
|
Preston
Ridge Partners Mortgage LLC 3.72%, 06/25/2026(1)(4) |
107,479
|
|
|
PRET
LLC |
|
| 200,000
|
3.97%,
09/25/2051(1)(4) |
175,699
|
| 105,000
|
5.07%,
07/25/2051(1)(4) |
95,361
|
| 100,000
|
Pretium
Mortgage Credit Partners LLC 5.44%, 01/25/2052(1)(4) |
91,458
|
| 150,000
|
Retained
Vantage Data Centers Issuer LLC 5.75%, 09/15/2048(1) |
138,604
|
| 250,000
|
Symphony
CLO XVIII Ltd. 8.83%, 07/23/2033, 3 mo. USD Term SOFR + 3.51%(1)(3) |
240,725
|
| 100,000
|
Tricon
Residential Trust 4.13%, 07/17/2038(1) |
90,173
|
| 200,000
|
VCAT
LLC 3.97%, 09/25/2051(1)(4) |
174,105
|
|
|
|
|
2,666,961
|
| |
Whole
Loan Collateral CMO - 3.1% |
|
|
Federal
National Mortgage Association Connecticut Avenue Securities |
|
| 35,000
|
8.04%,
01/25/2044, 30 day USD SOFR Average + 2.70%(1)(3) |
35,234
|
| 203,406
|
8.71%,
01/25/2040, 30 day USD SOFR Average + 3.36%(1)(3) |
209,000
|
| 229,789
|
8.86%,
10/25/2039, 30 day USD SOFR Average + 3.51%(1)(3) |
237,690
|
| 15,000
|
9.24%,
07/25/2043, 30 day USD SOFR Average + 3.90%(1)(3) |
15,682
|
| 147,423
|
9.56%,
07/25/2039, 30 day USD SOFR Average + 4.21%(1)(3) |
154,360
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.6% - (continued) |
| |
Whole
Loan Collateral CMO - 3.1% - (continued) |
| $ 200,000
|
9.81%,
07/25/2031, 30 day USD SOFR Average + 4.46%(1)(3) |
$ 214,438
|
| 85,000
|
10.09%,
09/25/2042, 30 day USD SOFR Average + 4.75%(1)(3) |
92,804 |
| 25,000
|
10.09%,
06/25/2043, 30 day USD SOFR Average + 4.75%(1)(3) |
26,946 |
| 25,000
|
10.59%,
03/25/2042, 30 day USD SOFR Average + 5.25%(1)(3) |
27,061 |
| 200,000
|
11.34%,
10/25/2041, 30 day USD SOFR Average + 6.00%(1)(3) |
208,242 |
| 90,000
|
11.54%,
11/25/2041, 30 day USD SOFR Average + 6.20%(1)(3) |
93,973 |
| 44,000
|
12.34%,
04/25/2042, 30 day USD SOFR Average + 7.00%(1)(3) |
47,809 |
| 24,584
|
17.21%,
08/25/2028, 30 day USD SOFR Average + 11.86%(3) |
28,376 |
|
|
Home
RE Ltd. |
|
| 150,000
|
9.94%,
10/25/2033, 30 day USD SOFR Average + 4.60%(1)(3) |
156,775
|
| 165,000
|
10.84%,
10/25/2034, 30 day USD SOFR Average + 5.50%(1)(3) |
175,077
|
| 200,000
|
Preston
Ridge Partners Mortgage LLC 3.60%, 09/25/2026(1)(2) |
191,885
|
|
|
|
|
1,915,352
|
|
|
Total
Asset & Commercial Mortgage-Backed Securities
(cost $5,192,106) |
$
5,254,302 |
| CONVERTIBLE
BONDS - 3.1% |
| |
Airlines
- 0.1% |
| 102,000
|
JetBlue
Airways Corp. 0.50%, 04/01/2026(5) |
$
82,368 |
| |
Auto
Manufacturers - 0.0% |
| 15,000
|
Rivian
Automotive, Inc. 3.63%, 10/15/2030(1) |
13,772
|
| |
Biotechnology
- 0.2% |
| 60,000
|
Alnylam
Pharmaceuticals, Inc. 1.00%, 09/15/2027 |
57,678
|
| 21,000
|
Immunocore
Holdings PLC 2.50%, 02/01/2030(1) |
22,543
|
| 50,000
|
Ionis
Pharmaceuticals, Inc. 1.75%, 06/15/2028(1) |
58,095
|
|
|
|
|
138,316
|
| |
Commercial
Services - 0.5% |
| 28,000
|
Block,
Inc. 0.13%, 03/01/2025 |
26,916
|
|
|
Nexi
SpA |
|
| EUR
100,000 |
0.00%,
02/24/2028(6)(7) |
95,043
|
| 100,000
|
1.75%,
04/24/2027(6) |
101,723
|
| $
63,000 |
Shift4
Payments, Inc. 0.00%, 12/15/2025(7) |
69,105
|
|
|
|
|
292,787
|
| |
Electric
- 0.1% |
| 42,000
|
Atlantica
Sustainable Infrastructure Jersey Ltd. 4.00%, 07/15/2025 |
39,443
|
| |
Energy-Alternate
Sources - 0.4% |
| 114,000
|
Enphase
Energy, Inc. 0.00%, 03/01/2028(7) |
95,977
|
| 30,000
|
Maxeon
Solar Technologies Ltd. 6.50%, 07/15/2025 |
20,664
|
| 60,000
|
NextEra
Energy Partners LP 0.00%, 11/15/2025(1)(7) |
53,010
|
| 67,000
|
SolarEdge
Technologies, Inc. 0.00%, 09/15/2025(7) |
60,300
|
| 30,000
|
Stem,
Inc. 0.50%, 12/01/2028(1) |
14,676
|
|
|
|
|
244,627
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CONVERTIBLE
BONDS - 3.1% - (continued) |
| |
Healthcare
- Products - 0.3% |
| $ 67,000
|
Exact
Sciences Corp. 2.00%, 03/01/2030(1) |
$ 74,001
|
|
103,000 |
Insulet
Corp. 0.38%, 09/01/2026 |
109,695
|
|
|
|
|
183,696
|
| |
Internet
- 0.3% |
|
|
Etsy,
Inc. |
|
| 32,000
|
0.13%,
10/01/2026 |
33,392 |
| 53,000
|
0.25%,
06/15/2028 |
41,674 |
| 54,000
|
Sea
Ltd. 2.38%, 12/01/2025 |
51,300
|
| 45,000
|
Shopify,
Inc. 0.13%, 11/01/2025 |
42,975
|
| 22,000
|
Uber
Technologies, Inc. 0.00%, 12/15/2025(7) |
22,758
|
|
|
|
|
192,099
|
| |
IT
Services - 0.3% |
|
|
Rapid7,
Inc. |
|
| 20,000
|
0.25%,
03/15/2027 |
17,900
|
| 50,000
|
2.25%,
05/01/2025 |
54,100
|
| 54,000
|
Zscaler,
Inc. 0.13%, 07/01/2025 |
86,319
|
|
|
|
|
158,319
|
| |
Machinery-Diversified
- 0.2% |
| 76,000
|
Middleby
Corp. 1.00%, 09/01/2025 |
89,630
|
| |
Pharmaceuticals
- 0.1% |
| 80,000
|
Dexcom,
Inc. 0.25%, 11/15/2025 |
82,680
|
| |
REITS
- 0.1% |
| 68,000
|
HAT
Holdings I LLC/HAT Holdings II LLC 3.75%, 08/15/2028(1) |
73,100
|
| |
Semiconductors
- 0.1% |
| 40,000
|
ON
Semiconductor Corp. 0.50%, 03/01/2029(1) |
38,780
|
| |
Software
- 0.4% |
| 50,000
|
Bill
Holdings, Inc. 0.00%, 12/01/2025(7) |
46,750
|
| 92,000
|
Ceridian
HCM Holding, Inc. 0.25%, 03/15/2026(5) |
83,205
|
| 43,000
|
Datadog,
Inc. 0.13%, 06/15/2025 |
60,866
|
| 45,000
|
Health
Catalyst, Inc. 2.50%, 04/15/2025 |
42,683
|
| 35,000
|
Splunk,
Inc. 1.13%, 06/15/2027 |
34,020
|
|
|
|
|
267,524
|
|
|
Total
Convertible Bonds
(cost $1,982,908) |
$
1,897,141 |
| CORPORATE
BONDS - 42.5% |
| |
Advertising
- 0.6% |
| 120,000
|
Clear
Channel Outdoor Holdings, Inc. 9.00%, 09/15/2028(1)(5) |
$
124,920 |
|
|
Lamar
Media Corp. |
|
| 125,000
|
3.63%,
01/15/2031 |
109,937
|
| 145,000
|
3.75%,
02/15/2028 |
134,850
|
|
|
|
|
369,707
|
| |
Agriculture
- 0.1% |
| 60,000
|
Darling
Ingredients, Inc. 6.00%, 06/15/2030(1) |
59,644
|
| |
Auto
Manufacturers - 0.0% |
| 25,000
|
Ford
Motor Co. 3.25%, 02/12/2032 |
20,626
|
| |
Auto
Parts & Equipment - 0.6% |
| 30,000
|
Adient
Global Holdings Ltd. 8.25%, 04/15/2031(1) |
31,687
|
| 20,000
|
Clarios
Global LP/Clarios U.S. Finance Co. 6.75%, 05/15/2028(1) |
20,265
|
| EUR
300,000 |
Forvia
SE 3.75%, 06/15/2028(6) |
314,877
|
|
|
|
|
366,829
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Beverages
- 0.4% |
| $ 236,000
|
Central
American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 5.25%, 04/27/2029(1) |
$ 220,455
|
| |
Chemicals
- 0.3% |
| 80,000
|
Avient
Corp. 7.13%, 08/01/2030(1) |
82,054 |
| EUR
100,000 |
Itelyum
Regeneration SpA 4.63%, 10/01/2026(6) |
104,395
|
|
|
|
|
186,449
|
| |
Commercial
Banks - 7.9% |
| 300,000
|
Banca
Transilvania SA 8.88%, 04/27/2027, (8.88% fixed rate until 04/27/2026; 1 yr. EURIBOR ICE Swap + 5.58% thereafter)(6)(8) |
342,990
|
| 100,000
|
Banco
de Credito Social Cooperativo SA 5.25%, 11/27/2031, (5.25% fixed rate until 05/27/2026; 5 yr. EUR Swap + 5.42% thereafter)(6)(8) |
101,598
|
| 200,000
|
BAWAG
Group AG 6.75%, 02/24/2034, (6.75% fixed rate until 11/24/2028; 5 yr. EURIBOR ICE Swap + 3.80% thereafter)(6)(8) |
227,980
|
| $
200,000 |
BBVA
Bancomer SA 8.45%, 06/29/2038, (8.45% fixed rate until 06/29/2033; 5 yr. USD CMT + 4.66% thereafter)(1)(8) |
208,767
|
|
|
BNP
Paribas SA |
|
| 200,000
|
7.38%,
08/19/2025, (7.38% fixed rate until 08/19/2025; 5 yr. USD Swap + 5.15% thereafter)(6)(8)(9) |
200,126
|
| 200,000
|
8.50%,
08/14/2028, (8.50% fixed rate until 08/14/2028; 5 yr. USD CMT + 4.35% thereafter)(1)(8)(9) |
207,081
|
| EUR
200,000 |
Cooperatieve
Rabobank UA 3.25%, 12/29/2026, (3.25% fixed rate until 12/29/2026; 5 yr. EUR Swap + 3.70% thereafter)(6)(8)(9) |
196,970
|
| 400,000
|
Credit
Agricole SA 7.25%, 09/23/2028, (7.25% fixed rate until 09/23/2028; 5 yr. EURIBOR ICE Swap + 4.44% thereafter)(6)(8)(9) |
454,037
|
| 300,000
|
Credit
Mutuel Arkea SA 1.25%, 06/11/2029, (1.25% fixed rate until 06/11/2028; 3 mo. EURIBOR + 1.50% thereafter)(6)(8) |
294,673
|
| 400,000
|
Deutsche
Bank AG 4.00%, 06/24/2032, (4.00% fixed rate until 03/24/2027; 5 yr. EURIBOR ICE Swap + 3.30% thereafter)(6)(8) |
419,000
|
|
|
Freedom
Mortgage Corp. |
|
| $
165,000 |
12.00%,
10/01/2028(1) |
181,100
|
| 165,000
|
12.25%,
10/01/2030(1) |
183,956
|
| 200,000
|
Intesa
Sanpaolo SpA 7.80%, 11/28/2053(1) |
219,082
|
| EUR
200,000 |
KBC
Group NV 4.25%, 10/24/2025, (4.25% fixed rate until 10/24/2025; 5 yr. EUR Swap + 3.59% thereafter)(6)(8)(9) |
204,395
|
| 200,000
|
Novo
Banco SA 9.88%, 12/01/2033, (9.88% fixed rate until 06/01/2028; 5 yr. EUR Swap + 6.71% thereafter)(6)(8) |
244,950
|
| 100,000
|
Permanent
TSB Group Holdings PLC 3.00%, 08/19/2031, (3.00% fixed rate until 05/19/2026; 5 yr. EUR Swap + 3.22% thereafter)(6)(8) |
101,662
|
|
|
Societe
Generale SA |
|
| $
200,000 |
4.75%,
05/26/2026, (4.75% fixed rate until 05/26/2026; 5 yr. USD CMT + 3.93% thereafter)(1)(8)(9) |
176,669
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Commercial
Banks - 7.9% - (continued) |
| $ 200,000
|
10.00%,
11/14/2028, (10.00% fixed rate until 11/14/2028; 5 yr. USD CMT + 5.45% thereafter)(1)(8)(9) |
$ 213,366
|
|
|
UBS
Group AG |
|
| 200,000
|
4.88%,
02/12/2027, (4.88% fixed rate until 02/12/2027; 5 yr. USD CMT + 3.40% thereafter)(6)(8)(9) |
180,475 |
| 230,000
|
5.70%,
02/08/2035, (5.70% fixed rate until 02/08/2034; 1 yr. USD CMT + 1.77% thereafter)(1)(8) |
233,325 |
|
200,000 |
9.25%,
11/13/2033, (9.25% fixed rate until 11/13/2033; 5 yr. USD CMT + 4.76% thereafter)(1)(8)(9) |
217,862
|
|
|
|
|
4,810,064
|
| |
Commercial
Services - 2.2% |
|
|
Block,
Inc. |
|
| 45,000
|
2.75%,
06/01/2026 |
42,165
|
| 150,000
|
3.50%,
06/01/2031 |
129,781
|
| EUR
100,000 |
Cerved
Group SpA 9.18%, 02/15/2029, 3 mo. EURIBOR + 5.25%(3)(6) |
105,558
|
| 100,000
|
Loxam
SAS 6.38%, 05/31/2029(1) |
111,569
|
| 200,000
|
PeopleCert
Wisdom Issuer PLC 5.75%, 09/15/2026(6) |
213,448
|
| 175,000
|
Q-Park
Holding I BV 5.13%, 03/01/2029(1) |
190,569
|
| $
250,000 |
StoneCo
Ltd. 3.95%, 06/16/2028(6) |
216,125
|
|
|
United
Rentals North America, Inc. |
|
| 29,000
|
3.75%,
01/15/2032 |
25,467
|
| 35,000
|
4.88%,
01/15/2028 |
34,157
|
| EUR
255,000 |
Verisure
Holding AB 3.25%, 02/15/2027(6) |
266,108
|
|
|
|
|
1,334,947
|
| |
Construction
Materials - 0.2% |
| $
155,000 |
Standard
Industries, Inc. 4.75%, 01/15/2028(1) |
148,241
|
| |
Distribution/Wholesale
- 0.3% |
| EUR
120,000 |
Parts
Europe SA 6.50%, 07/16/2025(6) |
130,205
|
| $
45,000 |
Ritchie
Bros Holdings, Inc. 7.75%, 03/15/2031(1) |
47,363
|
|
|
|
|
177,568
|
| |
Diversified
Financial Services - 1.9% |
| 289,000
|
Charles
Schwab Corp. 4.00%, 06/01/2026, (4.00% fixed rate until 06/01/2026; 5 yr. USD CMT + 3.17% thereafter)(8)(9) |
262,687
|
|
|
Credit
Acceptance Corp. |
|
| 20,000
|
6.63%,
03/15/2026(5) |
19,997
|
| 115,000
|
9.25%,
12/15/2028(1) |
121,038
|
| 135,000
|
OneMain
Finance Corp. 6.88%, 03/15/2025 |
135,506
|
| 200,000
|
Pingan
Real Estate Capital Ltd. 3.45%, 07/29/2026(6) |
147,236
|
| 200,000
|
Shriram
Finance Ltd. 4.40%, 03/13/2024(6) |
199,180
|
| 250,000
|
Unifin
Financiera SAB de CV 9.88%, 01/28/2029(6)(10) |
17,750
|
| 300,000
|
United
Wholesale Mortgage LLC 5.50%, 04/15/2029(1) |
283,330
|
|
|
|
|
1,186,724
|
| |
Electric
- 3.3% |
| 400,000
|
Adani
Electricity Mumbai Ltd. 3.95%, 02/12/2030(6) |
340,027
|
| 400,000
|
Adani
Green Energy Ltd. 4.38%, 09/08/2024(1) |
391,015
|
|
|
Clearway
Energy Operating LLC |
|
| 180,000
|
3.75%,
01/15/2032(1) |
152,887
|
| 210,000
|
4.75%,
03/15/2028(1) |
199,944
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Electric
- 3.3% - (continued) |
| $ 200,000
|
Instituto
Costarricense de Electricidad 6.75%, 10/07/2031(1) |
$ 198,500
|
| 200,000
|
Investment
Energy Resources Ltd. 6.25%, 04/26/2029(6) |
190,194 |
| 162,160
|
Star
Energy Geothermal Wayang Windu Ltd. 6.75%, 04/24/2033(6) |
161,702 |
|
400,000 |
Zorlu
Yenilenebilir Enerji AS 9.00%, 06/01/2026(6) |
388,000
|
|
|
|
|
2,022,269
|
| |
Electrical
Components & Equipment - 0.3% |
| EUR
100,000 |
Energizer
Gamma Acquisition BV 3.50%, 06/30/2029(6) |
96,152
|
| $
100,000 |
Energizer
Holdings, Inc. 4.38%, 03/31/2029(1) |
90,521
|
|
|
|
|
186,673
|
| |
Energy-Alternate
Sources - 2.3% |
|
|
Energo-Pro
AS |
|
| 215,000
|
8.50%,
02/04/2027(1) |
213,746
|
| 200,000
|
11.00%,
11/02/2028(1) |
209,016
|
|
|
FS
Luxembourg SARL |
|
| 400,000
|
8.88%,
02/12/2031(1) |
395,360
|
| 200,000
|
10.00%,
12/15/2025(6) |
209,359
|
| 185,000
|
Greenko
Dutch BV 3.85%, 03/29/2026(6) |
173,900
|
| 200,000
|
Vena
Energy Capital Pte. Ltd. 3.13%, 02/26/2025(6) |
194,124
|
|
|
|
|
1,395,505
|
| |
Engineering
& Construction - 1.1% |
| EUR
200,000 |
Cellnex
Telecom SA 1.75%, 10/23/2030(6) |
192,208
|
| GBP
100,000 |
Heathrow
Finance PLC 3.88%, 03/01/2027(6) |
119,895
|
|
|
IHS
Holding Ltd. |
|
| $
200,000 |
6.25%,
11/29/2028(1) |
168,630
|
| 200,000
|
6.25%,
11/29/2028(6) |
168,630
|
|
|
|
|
649,363
|
| |
Entertainment
- 0.4% |
|
|
Caesars
Entertainment, Inc. |
|
| 25,000
|
6.25%,
07/01/2025(1) |
25,122
|
| 30,000
|
6.50%,
02/15/2032(1) |
30,355
|
| 30,000
|
8.13%,
07/01/2027(1) |
30,758
|
| 38,000
|
Cinemark
USA, Inc. 5.25%, 07/15/2028(1) |
35,055
|
| EUR
100,000 |
Motion
Finco SARL 7.38%, 06/15/2030(1) |
112,140
|
|
|
|
|
233,430
|
| |
Environmental
Control - 0.3% |
| $
25,000 |
Clean
Harbors, Inc. 6.38%, 02/01/2031(1) |
25,316
|
| 200,000
|
Stericycle,
Inc. 3.88%, 01/15/2029(1) |
181,806
|
|
|
|
|
207,122
|
| |
Food
- 0.2% |
| GBP
100,000 |
Iceland
Bondco PLC 10.88%, 12/15/2027(6) |
136,078
|
| |
Food
Service - 0.5% |
| EUR
300,000 |
Elior
Group SA 3.75%, 07/15/2026(6) |
304,354
|
| |
Forest
Products & Paper - 0.3% |
| $
200,000 |
Suzano
Austria GmbH 7.00%, 03/16/2047(6) |
208,356
|
| |
Healthcare
- Products - 0.8% |
| EUR
200,000 |
Avantor
Funding, Inc. 3.88%, 07/15/2028(6) |
211,547
|
| $
70,000 |
Bausch
& Lomb Escrow Corp. 8.38%, 10/01/2028(1)(11) |
73,150
|
| 250,000
|
Medline
Borrower LP 3.88%, 04/01/2029(1) |
226,040
|
|
|
|
|
510,737
|
| |
Healthcare
- Services - 1.0% |
| 10,000
|
HCA,
Inc. 7.50%, 11/15/2095 |
11,124
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Healthcare
- Services - 1.0% - (continued) |
|
|
IQVIA,
Inc. |
|
| EUR 100,000
|
2.25%,
01/15/2028(1) |
$ 101,288
|
| $
200,000 |
5.00%,
05/15/2027(1) |
195,277 |
| 200,000
|
Rede
D'or Finance SARL 4.50%, 01/22/2030(6) |
176,882 |
|
105,000 |
Tenet
Healthcare Corp. 6.13%, 06/15/2030 |
105,091
|
|
|
|
|
589,662
|
| |
Insurance
- 0.9% |
| 30,000
|
Acrisure
LLC/Acrisure Finance, Inc. 4.25%, 02/15/2029(1) |
26,906
|
| 35,000
|
AssuredPartners,
Inc. 5.63%, 01/15/2029(1) |
32,871
|
| 45,000
|
HUB
International Ltd. 7.38%, 01/31/2032(1) |
46,147
|
| 130,000
|
MGIC
Investment Corp. 5.25%, 08/15/2028 |
126,618
|
| 200,000
|
Muenchener
Rueckversicherungs-Gesellschaft AG in Muenchen 5.88%, 05/23/2042, (5.88% fixed rate until 11/23/2031; 5 yr. USD CMT + 3.98% thereafter)(1)(8) |
202,350
|
| EUR
100,000 |
Sogecap
SA 6.50%, 05/16/2044, (6.50% fixed rate until 11/16/2033; 3 mo. EURIBOR + 4.40% thereafter)(6)(8) |
118,003
|
|
|
|
|
552,895
|
| |
Internet
- 0.8% |
|
|
Gen
Digital, Inc. |
|
| $
30,000 |
6.75%,
09/30/2027(1) |
30,453
|
| 60,000
|
7.13%,
09/30/2030(1) |
62,249
|
| 235,000
|
Go
Daddy Operating Co. LLC/GD Finance Co., Inc. 3.50%, 03/01/2029(1) |
211,500
|
| 100,000
|
Uber
Technologies, Inc. 4.50%, 08/15/2029(1) |
94,654
|
| EUR
100,000 |
United
Group BV 6.75%, 02/15/2031(1) |
107,946
|
|
|
|
|
506,802
|
| |
Iron/Steel
- 0.1% |
| $
40,000 |
ATI,
Inc. 7.25%, 08/15/2030 |
41,162
|
| |
IT
Services - 0.7% |
| 263,000
|
McAfee
Corp. 7.38%, 02/15/2030(1) |
238,062
|
| 160,000
|
Presidio
Holdings, Inc. 8.25%, 02/01/2028(1) |
158,533
|
|
|
|
|
396,595
|
| |
Leisure
Time - 0.5% |
|
|
Carnival
Corp. |
|
| 60,000
|
6.00%,
05/01/2029(1) |
58,133
|
| 125,000
|
10.50%,
06/01/2030(1) |
137,250
|
| 80,000
|
Royal
Caribbean Cruises Ltd. 7.25%, 01/15/2030(1) |
83,376
|
|
|
|
|
278,759
|
| |
Media
- 1.5% |
| 125,000
|
Cable
One, Inc. 4.00%, 11/15/2030(1)(5) |
100,625
|
| 20,000
|
DISH
DBS Corp. 5.75%, 12/01/2028(1) |
13,523
|
| 120,000
|
Scripps
Escrow II, Inc. 5.38%, 01/15/2031(1)(5)(11) |
91,200
|
| 225,000
|
Scripps
Escrow, Inc. 5.88%, 07/15/2027(1)(11) |
202,790
|
| 125,000
|
Videotron
Ltd. 3.63%, 06/15/2029(1) |
114,056
|
| GBP
100,000 |
Virgin
Media Vendor Financing Notes III DAC 4.88%, 07/15/2028(6) |
116,202
|
| $
200,000 |
VTR
Finance NV 6.38%, 07/15/2028(6) |
76,982
|
| EUR
210,000 |
Ziggo
BV 2.88%, 01/15/2030(6) |
206,932
|
|
|
|
|
922,310
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Metal
Fabricate/Hardware - 0.3% |
|
|
Advanced
Drainage Systems, Inc. |
|
| $ 160,000
|
5.00%,
09/30/2027(1) |
$ 154,287
|
|
30,000 |
6.38%,
06/15/2030(1) |
30,248
|
|
|
|
|
184,535
|
| |
Mining
- 1.2% |
| 300,000
|
Constellium
SE 3.75%, 04/15/2029(1) |
269,692 |
| 120,000
|
FMG
Resources August 2006 Pty. Ltd. 6.13%, 04/15/2032(1) |
118,707
|
| 315,000
|
WE
Soda Investments Holding PLC 9.50%, 10/06/2028(1) |
322,024
|
|
|
|
|
710,423
|
| |
Multi-National
- 0.4% |
| BRL
515,000 |
European
Investment Bank 9.25%, 01/28/2027(6) |
106,150
|
| MXN
2,160,000 |
International
Bank for Reconstruction & Development 5.65%, 06/03/2027 |
111,651
|
|
|
|
|
217,801
|
| |
Office/Business
Equipment - 0.2% |
| $
125,000 |
Xerox
Holdings Corp. 5.00%, 08/15/2025(1) |
122,040
|
| |
Packaging
& Containers - 1.3% |
| GBP
100,000 |
Ardagh
Packaging Finance PLC/Ardagh Holdings USA, Inc. 4.75%, 07/15/2027(6) |
94,274
|
|
|
Ball
Corp. |
|
| EUR
100,000 |
1.50%,
03/15/2027 |
101,253
|
| $
40,000 |
5.25%,
07/01/2025 |
39,849
|
| 100,000
|
Clydesdale
Acquisition Holdings, Inc. 6.63%, 04/15/2029(1) |
99,500
|
| 200,000
|
SAN
Miguel Industrias Pet SA/NG PET R&P Latin America SA 3.50%, 08/02/2028(6) |
173,000
|
|
|
Trivium
Packaging Finance BV |
|
| EUR
110,000 |
3.75%,
08/15/2026(6) |
115,903
|
| $
200,000 |
8.50%,
08/15/2027(1) |
195,574
|
|
|
|
|
819,353
|
| |
Pharmaceuticals
- 1.0% |
| 45,000
|
Bausch
Health Cos., Inc. 11.00%, 09/30/2028(1) |
30,613
|
| 23,000
|
Owens
& Minor, Inc. 6.63%, 04/01/2030(1) |
21,911
|
|
|
Prestige
Brands, Inc. |
|
| 40,000
|
3.75%,
04/01/2031(1) |
34,687
|
| 65,000
|
5.13%,
01/15/2028(1) |
63,224
|
|
|
Teva
Pharmaceutical Finance Netherlands II BV |
|
| EUR
200,000 |
3.75%,
05/09/2027 |
209,690
|
| 220,000
|
4.38%,
05/09/2030 |
224,051
|
|
|
|
|
584,176
|
| |
Real
Estate - 1.0% |
| GBP
200,000 |
Canary
Wharf Group Investment Holdings PLC 3.38%, 04/23/2028(6) |
182,605
|
| EUR
100,000 |
Castellum
AB 3.13%, 12/02/2026, (3.13% fixed rate until 12/02/2026; 5 yr. EUR Swap + 3.45% thereafter)(6)(8)(9) |
89,267
|
| $
200,000 |
CIFI
Holdings Group Co. Ltd. 4.38%, 04/12/2027(6)(10) |
17,030
|
| 400,000
|
Country
Garden Holdings Co. Ltd. 3.88%, 10/22/2030(6)(10) |
32,924
|
| EUR
100,000 |
Emeria
SASU 7.75%, 03/31/2028(1) |
104,215
|
| $
200,000 |
Fuqing
Investment Management Ltd. 3.25%, 06/23/2025(6) |
169,252
|
|
|
|
|
595,293
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Real
Estate Investment Trusts - 1.0% |
|
|
Brandywine
Operating Partnership LP |
|
| $ 197,000
|
3.95%,
11/15/2027 |
$ 178,075
|
| 60,000
|
7.80%,
03/15/2028(4) |
61,187 |
| GBP
55,000 |
Hammerson
PLC 7.25%, 04/21/2028(6) |
72,375 |
| $
100,000 |
HAT
Holdings I LLC/HAT Holdings II LLC 6.00%, 04/15/2025(1) |
99,148 |
|
200,000 |
Trust
Fibra Uno 6.39%, 01/15/2050(6) |
168,434
|
|
|
|
|
579,219
|
| |
Retail
- 1.3% |
| GBP
100,000 |
B&M
European Value Retail SA 4.00%, 11/15/2028(6) |
118,431
|
| $
200,000 |
Jollibee
Worldwide Pte. Ltd. 3.90%, 01/23/2025, (3.90% fixed rate until 01/23/2025; 5 yr. USD CMT + 4.78% thereafter)(6)(8)(9) |
195,000
|
| 83,000
|
LBM
Acquisition LLC 6.25%, 01/15/2029(1) |
75,424
|
| 110,000
|
Michaels
Cos., Inc. 5.25%, 05/01/2028(1) |
86,409
|
| 130,000
|
Specialty
Building Products Holdings LLC/SBP Finance Corp. 6.38%, 09/30/2026(1) |
127,793
|
| 199,000
|
Yum!
Brands, Inc. 3.63%, 03/15/2031 |
177,038
|
|
|
|
|
780,095
|
| |
Software
- 1.0% |
| 262,000
|
AthenaHealth
Group, Inc. 6.50%, 02/15/2030(1) |
235,609
|
| 80,000
|
Dun
& Bradstreet Corp. 5.00%, 12/15/2029(1) |
74,573
|
|
|
Open
Text Corp. |
|
| 165,000
|
3.88%,
02/15/2028(1) |
153,369
|
| 15,000
|
3.88%,
12/01/2029(1) |
13,529
|
| 70,000
|
Open
Text Holdings, Inc. 4.13%, 12/01/2031(1) |
61,859
|
| 80,000
|
UKG,
Inc. 6.88%, 02/01/2031(1) |
80,900
|
|
|
|
|
619,839
|
| |
Telecommunications
- 2.5% |
| EUR
100,000 |
Altice
France SA 5.88%, 02/01/2027(6) |
92,695
|
| $
200,000 |
Axian
Telecom 7.38%, 02/16/2027(1) |
188,290
|
| EUR
100,000 |
eircom
Finance DAC 3.50%, 05/15/2026(6) |
105,231
|
|
|
Frontier
Communications Holdings LLC |
|
| $
80,000 |
5.00%,
05/01/2028(1) |
73,833
|
| 95,000
|
5.88%,
10/15/2027(1) |
91,377
|
| 200,000
|
Liquid
Telecommunications Financing PLC 5.50%, 09/04/2026(6) |
124,680
|
| 180,000
|
Millicom
International Cellular SA 6.25%, 03/25/2029(6) |
171,798
|
| 200,000
|
MTN
Mauritius Investments Ltd. 6.50%, 10/13/2026(6) |
202,000
|
| 400,000
|
Network
i2i Ltd. 3.98%, 03/03/2026, (3.98% fixed rate until 03/03/2026; 5 yr. USD CMT + 3.39% thereafter)(6)(8)(9) |
374,999
|
|
|
Telecom
Italia Capital SA |
|
| 85,000
|
7.20%,
07/18/2036 |
85,351
|
| 22,000
|
7.72%,
06/04/2038 |
22,707
|
| EUR
10,000 |
Telecom
Italia Finance SA 7.75%, 01/24/2033 |
12,645
|
|
|
|
|
1,545,606
|
| |
Toys/Games/Hobbies
- 0.1% |
| $
60,000 |
Mattel,
Inc. 5.88%, 12/15/2027(1) |
60,212
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 42.5% - (continued) |
| |
Transportation
- 0.7% |
| $ 225,000
|
First
Student Bidco, Inc./First Transit Parent, Inc. 4.00%, 07/31/2029(1) |
$ 198,054
|
|
230,000 |
Rumo
Luxembourg SARL 5.25%, 01/10/2028(6) |
221,304
|
|
|
|
|
419,358
|
| |
Water
- 1.0% |
|
|
Aegea
Finance SARL |
|
| 400,000
|
6.75%,
05/20/2029(1) |
388,223 |
|
200,000 |
6.75%,
05/20/2029(6) |
194,112 |
|
|
|
|
582,335
|
|
|
Total
Corporate Bonds
(cost $26,665,387) |
$ 25,843,611
|
| FOREIGN
GOVERNMENT OBLIGATIONS - 6.2% |
| |
Chile
- 0.2% |
| CLP
130,000,000 |
Bonos
de la Tesoreria de la Republica en pesos 4.70%, 09/01/2030(6) |
$
134,992 |
| |
Colombia
- 1.2% |
|
|
Colombia
Government International Bonds |
|
| EUR
100,000 |
3.88%,
03/22/2026 |
106,800
|
| $
640,000 |
5.00%,
06/15/2045 |
466,519
|
| COP
666,600,000 |
Colombia
TES 7.00%, 06/30/2032 |
147,056
|
|
|
|
|
720,375
|
| |
Costa
Rica - 0.4% |
| $
200,000 |
Costa
Rica Government International Bonds 6.55%, 04/03/2034(1) |
204,601
|
| |
Czech
Republic - 0.2% |
| CZK
3,110,000 |
Czech
Republic Government Bonds 2.50%, 08/25/2028(6) |
129,248
|
| |
Gabon
- 0.3% |
| $
200,000 |
Gabon
Government International Bonds 6.95%, 06/16/2025(6) |
192,192
|
| |
Hungary
- 0.2% |
| HUF
54,210,000 |
Hungary
Government Bonds 3.00%, 08/21/2030 |
130,163
|
| |
Ivory
Coast - 0.6% |
|
|
Ivory
Coast Government International Bonds |
|
| EUR
200,000 |
4.88%,
01/30/2032(6) |
181,947
|
| 200,000
|
5.88%,
10/17/2031(6) |
195,017
|
|
|
|
|
376,964
|
| |
Mexico
- 0.1% |
| 100,000
|
Mexico
Government International Bonds 2.13%, 10/25/2051 |
63,500
|
| |
North
Macedonia - 0.5% |
|
|
North
Macedonia Government International Bonds |
|
| 100,000
|
3.68%,
06/03/2026(1) |
105,366
|
| 200,000
|
3.68%,
06/03/2026(6) |
210,733
|
|
|
|
|
316,099
|
| |
Peru
- 0.4% |
| $
225,000 |
Fondo
MIVIVIENDA SA 4.63%, 04/12/2027(1) |
218,813
|
| |
Poland
- 0.2% |
| PLN
570,000 |
Republic
of Poland Government Bonds 3.75%, 05/25/2027 |
138,216
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| FOREIGN
GOVERNMENT OBLIGATIONS - 6.2% - (continued) |
| |
Romania
- 0.5% |
|
|
Romania
Government International Bonds |
|
| EUR 80,000
|
2.12%,
07/16/2031(6) |
$ 70,105
|
| 81,000
|
2.75%,
04/14/2041(1) |
58,951 |
| 30,000
|
2.75%,
04/14/2041(6) |
21,834 |
|
189,000 |
2.88%,
04/13/2042(6) |
137,829
|
|
|
|
|
288,719
|
| |
Senegal
- 0.1% |
| 100,000
|
Senegal
Government International Bonds 5.38%, 06/08/2037(1) |
78,264
|
| |
South
Africa - 0.2% |
| ZAR
2,755,000 |
Republic
of South Africa Government Bonds 8.00%, 01/31/2030 |
136,448
|
| |
Sri
Lanka - 0.4% |
|
|
Sri
Lanka Government International Bonds |
|
| $
200,000 |
5.75%,
04/18/2023(6)(10) |
104,522
|
| 200,000
|
6.85%,
03/14/2024(6)(10) |
102,207
|
|
|
|
|
206,729
|
| |
Supranational
- 0.5% |
| INR
8,800,000 |
Asian
Development Bank 6.20%, 10/06/2026 |
104,697
|
| CNY
810,000 |
European
Bank for Reconstruction & Development 2.00%, 01/21/2025 |
112,234
|
| IDR
1,670,000,000 |
European
Investment Bank 5.75%, 01/24/2025(6) |
105,438
|
|
|
|
|
322,369
|
| |
Uruguay
- 0.2% |
|
|
Uruguay
Government International Bonds |
|
| UYU
2,806,110 |
4.38%,
12/15/2028(12) |
75,450
|
| 1,396,707
|
4.38%,
12/15/2028(12) |
37,554
|
| 885,000
|
8.50%,
03/15/2028(6) |
21,958
|
|
|
|
|
134,962
|
|
|
Total
Foreign Government Obligations
(cost $4,194,275) |
|
$
3,792,654 |
| SENIOR
FLOATING RATE INTERESTS - 10.2%(13) |
| |
Commercial
Services - 1.5% |
| $
219,202 |
APX
Group, Inc. 8.70%, 07/10/2028, U.S. (Fed) Prime Rate + 2.25% |
$
218,860 |
| EUR
250,000 |
Techem
Verwaltungsgesellschaft 675 mbH 6.28%, 07/15/2025, 3 mo. EURIBOR + 2.38% |
271,655
|
| $
193,238 |
Trans
Union LLC 7.19%, 11/16/2026, 1 mo. USD Term SOFR + 1.75% |
192,836
|
| EUR
200,000 |
Verisure
Holding AB 6.93%, 03/27/2028, 3 mo. EURIBOR + 3.00% |
216,233
|
|
|
|
|
899,584
|
| |
Construction
Materials - 0.2% |
| $
120,752 |
Emerald
Borrower LP 8.31%, 05/31/2030, 1 mo. USD Term SOFR + 3.00% |
120,722
|
| |
Distribution/Wholesale
- 0.3% |
| 194,662
|
American
Builders & Contractors Supply Co., Inc. 7.43%, 01/29/2031, 3 mo. USD Term SOFR + 2.00% |
194,175
|
| |
Environmental
Control - 0.3% |
| 196,000
|
Clean
Harbors, Inc. 7.20%, 10/08/2028, 1 mo. USD Term SOFR + 1.75% |
196,200
|
| |
Food
- 0.2% |
| 104,217
|
U.S.
Foods, Inc. 7.95%, 11/22/2028, 1 mo. USD Term SOFR + 2.50% |
104,497
|
| Shares
or Principal Amount |
|
Market
Value† |
| SENIOR
FLOATING RATE INTERESTS - 10.2%(13) - (continued) |
| |
Healthcare
- Products - 1.0% |
| $ 98,964
|
Avantor
Funding, Inc. 7.68%, 11/08/2027, 1 mo. USD Term SOFR + 2.25% |
$ 98,815
|
| 99,750
|
Bausch
& Lomb Corp. 9.33%, 09/29/2028, 1 mo. USD Term SOFR + 4.00% |
97,755 |
| 198,473
|
Insulet
Corp. 8.33%, 02/29/2024, 1 mo. USD Term SOFR + 3.25% |
198,573 |
|
197,492 |
Medline
Borrower LP 8.45%, 10/23/2028, 1 mo. USD Term SOFR + 3.00% |
197,060
|
|
|
|
|
592,203
|
| |
Healthcare
- Services - 0.2% |
| 146,241
|
Catalent
Pharma Solutions, Inc. 7.45%, 02/22/2028, 1 mo. USD Term SOFR + 2.00% |
143,819
|
| |
Home
Builders - 0.2% |
| 112,709
|
Installed
Building Products, Inc. 7.45%, 12/14/2028, 1 mo. USD Term SOFR + 2.00% |
112,815
|
| |
Insurance
- 0.7% |
| 198,997
|
Asurion
LLC 9.68%, 08/19/2028, 1 mo. USD Term SOFR + 4.25% |
196,538
|
|
|
HUB
International Ltd. |
|
| 182,596
|
8.57%,
06/20/2030, 3 mo. USD Term SOFR + 4.25% |
182,577
|
| 50,000
|
8.57%,
04/22/2024, 1 mo. USD Term SOFR + 3.25% |
49,995
|
|
|
|
|
429,110
|
| |
Internet
- 0.6% |
| 168,878
|
Go
Daddy Operating Co. LLC 7.33%, 11/09/2029, 1 mo. USD Term SOFR + 2.00% |
168,748
|
| 171,500
|
Proofpoint,
Inc. 8.70%, 08/31/2028, 1 mo. USD Term SOFR + 3.25% |
170,214
|
|
|
|
|
338,962
|
| |
Leisure
Time - 0.3% |
| 194,265
|
Hayward
Industries, Inc. 8.20%, 05/30/2028, 1 mo. USD Term SOFR + 2.75% |
193,744
|
| |
Machinery-Diversified
- 0.3% |
| 194,069
|
Gardner
Denver, Inc. 7.18%, 03/01/2027, 1 mo. USD Term SOFR + 1.75% |
194,170
|
| |
Packaging
& Containers - 0.8% |
| 315,200
|
Clydesdale
Acquisition Holdings, Inc. 9.11%, 04/13/2029, 1 mo. USD Term SOFR + 3.68% |
312,785
|
| 195,754
|
Proampac
PG Borrower LLC 9.87%, 09/15/2028, 3 mo. USD Term SOFR + 4.50% |
195,878
|
|
|
|
|
508,663
|
| |
Pharmaceuticals
- 1.2% |
| EUR
234,265 |
Grifols
SA 6.22%, 11/15/2027, 3 mo. EURIBOR + 2.25% |
245,882
|
| 290,000
|
IVC
Acquisition Ltd. 9.07%, 11/13/2026, 3 mo. EURIBOR + 5.00% |
315,183
|
| $
136,834 |
Packaging
Coordinators Midco, Inc. 9.11%, 11/30/2027, 3 mo. USD Term SOFR + 3.50% |
136,218
|
|
|
|
|
697,283
|
| |
Retail
- 0.4% |
| 243,745
|
LBM
Acquisition LLC 9.18%, 12/17/2027, 1 mo. USD Term SOFR + 3.75% |
241,430
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| SENIOR
FLOATING RATE INTERESTS - 10.2%(13) - (continued) |
| |
Semiconductors
- 0.3% |
| $ 197,500
|
MKS
Instruments, Inc. 7.85%, 08/17/2029, 1 mo. USD Term SOFR + 2.50% |
$ 196,143
|
| |
Software
- 1.3% |
| 200,000
|
DCert
Buyer, Inc. 12.33%, 02/19/2029, 1 mo. USD Term SOFR + 7.00% |
182,642 |
| 152,675
|
McAfee
LLC 9.20%, 03/01/2029, 1 mo. USD Term SOFR + 3.75% |
151,033 |
| 100,000
|
Severin
Acquisition LLC 8.56%, 08/01/2027, 3 mo. USD Term SOFR + 3.00% |
100,025 |
| 169,594
|
Surf
Holdings LLC 8.95%, 03/05/2027, 1 mo. USD Term SOFR + 3.50% |
169,359 |
| 194,483
|
Zelis
Payments Buyer, Inc. 8.07%, 09/28/2029, 1 mo. USD Term SOFR + 2.75% |
194,119
|
|
|
|
|
797,178
|
| |
Telecommunications
- 0.1% |
| 141,493
|
Xplornet
Communications, Inc. 9.61%, 10/02/2028, 3 mo. USD Term SOFR + 4.00% |
63,082
|
| |
Transportation
- 0.3% |
|
|
First
Student Bidco, Inc. |
|
| 43,393
|
8.36%,
07/21/2028, 3 mo. USD Term SOFR + 3.00% |
42,813
|
| 143,072
|
8.61%,
07/21/2028, 3 mo. USD Term SOFR + 3.00% |
141,159
|
|
|
|
|
183,972
|
|
|
Total
Senior Floating Rate Interests
(cost $6,355,015) |
$
6,207,752 |
| U.S.
GOVERNMENT AGENCIES - 12.3% |
| |
Mortgage-Backed
Agencies - 12.3% |
| |
Federal
Home Loan Mortgage Corp. - 1.9% |
| 321,743
|
5.00%,
09/01/2052 |
$
318,493 |
| 55,000
|
8.74%,
10/25/2041, 30 day USD SOFR Average + 3.40%(1)(3) |
56,546
|
| 90,000
|
9.09%,
02/25/2042, 30 day USD SOFR Average + 3.75%(1)(3) |
93,654
|
| 175,000
|
9.69%,
04/25/2042, 30 day USD SOFR Average + 4.35%(1)(3) |
185,253
|
| 115,000
|
10.59%,
03/25/2042, 30 day USD SOFR Average + 5.25%(1)(3) |
123,808
|
| 25,000
|
10.84%,
05/25/2043, 30 day USD SOFR Average + 5.50%(1)(3) |
27,683
|
| 150,000
|
11.09%,
09/25/2042, 30 day USD SOFR Average + 5.75%(1)(3) |
166,294
|
| 175,000
|
13.06%,
03/25/2050, 30 day USD SOFR Average + 7.71%(1)(3) |
201,595
|
|
|
|
|
1,173,326
|
| |
Federal
National Mortgage Association - 0.5% |
| 319,018
|
5.00%,
09/01/2052 |
315,796
|
| |
Uniform
Mortgage-Backed Security - 9.9% |
| 2,410,000
|
4.50%,
02/13/2054(14) |
2,331,487
|
| 3,600,000
|
6.00%,
02/13/2054(14) |
3,651,962
|
|
|
|
|
5,983,449
|
|
|
Total
U.S. Government Agencies
(cost $7,408,383) |
|
$
7,472,571 |
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT SECURITIES - 24.0% |
| |
U.S.
Treasury Securities - 24.0% |
| |
U.S.
Treasury Bonds - 7.8% |
| $ 390,000
|
2.25%,
08/15/2046 |
$ 271,461
|
| 1,690,000
|
2.50%,
05/15/2046(15) |
1,239,840
|
| 2,145,000
|
3.38%,
11/15/2048 |
1,824,507
|
| 470,000
|
3.63%,
08/15/2043 |
425,497 |
| 525,000
|
3.63%,
05/15/2053 |
471,023 |
|
575,000 |
3.88%,
02/15/2043 |
540,320
|
|
|
|
|
4,772,648
|
| |
U.S.
Treasury Inflation-Protected Bonds - 0.8% |
| 740,522
|
0.25%,
02/15/2050(12) |
475,945
|
| |
U.S.
Treasury Inflation-Protected Notes - 1.4% |
| 420,161
|
0.25%,
07/15/2029(12) |
390,672
|
| 237,602
|
1.38%,
07/15/2033(12) |
231,230
|
| 214,776
|
1.75%,
01/15/2034(12) |
215,082
|
|
|
|
|
836,984
|
| |
U.S.
Treasury Notes - 14.0% |
| 1,940,000
|
1.88%,
02/15/2032(16) |
1,664,838
|
| 320,000
|
2.88%,
05/15/2032 |
295,638
|
| 1,675,000
|
3.50%,
02/15/2033 |
1,616,048
|
| 1,550,000
|
3.88%,
11/30/2027 |
1,545,762
|
| 1,350,000
|
4.13%,
07/31/2028 |
1,362,076
|
| 2,020,000
|
4.88%,
11/30/2025 |
2,040,831
|
|
|
|
|
8,525,193
|
|
|
Total
U.S. Government Securities
(cost $15,154,324) |
|
$ 14,610,770
|
| COMMON
STOCKS - 0.0% |
| |
Automobiles
& Components - 0.0% |
| 83
|
Aptiv
PLC* |
$
6,750 |
| |
Health
Care Equipment & Services - 0.0% |
| 17
|
Becton
Dickinson & Co. |
4,060
|
|
|
Total
Common Stocks
(cost $12,865) |
|
$
10,810 |
| PREFERRED
STOCKS - 0.1% |
| |
Utilities
- 0.1% |
| 1,049
|
NextEra
Energy, Inc. (Preference Shares), 6.93%(5) |
$
39,033 |
|
|
Total
Preferred Stocks
(cost $51,139) |
|
$
39,033 |
|
|
Total
Long-Term Investments
(cost $67,016,402) |
|
$ 65,128,644
|
| SHORT-TERM
INVESTMENTS - 1.0% |
| |
Repurchase
Agreements - 0.2% |
| 128,179
|
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $128,198; collateralized by U.S. Treasury Note at 0.75%, maturing 08/31/2026, with a market value of $130,761 |
$
128,179 |
| |
Securities
Lending Collateral - 0.8% |
| 81,415
|
Goldman
Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(17) |
81,415
|
| 271,383
|
HSBC
U.S. Government Money Market Fund, Institutional Class, 5.27%(17) |
271,383
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| SHORT-TERM
INVESTMENTS - 1.0% - (continued) |
| |
Securities
Lending Collateral - 0.8% - (continued) |
| 81,415
|
Invesco
Government & Agency Portfolio, Institutional Class, 5.24%(17) |
$ 81,415
|
| 81,415
|
Morgan
Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.23%(17) |
81,415 |
|
|
|
|
515,628
|
|
|
Total
Short-Term Investments
(cost $643,807) |
$
643,807 |
|
|
Total
Investments
(cost $67,660,209) |
108.0%
|
$ 65,772,451
|
|
|
Other
Assets and Liabilities |
(8.0)%
|
(4,884,972)
|
|
|
Total
Net Assets |
100.0%
|
$ 60,887,479
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
Equity industry
classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
| *
|
Non-income
producing. |
|
(1) |
Security
was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $18,947,485, representing 31.1% of net assets. |
|
(2) |
Variable
or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(3) |
Variable
rate securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
|
(4) |
Security
is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
|
(5) |
Represents
entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
|
(6) |
Security
is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an
exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2024, the aggregate value of these securities was $13,299,517, representing 21.8% of net assets. |
|
(7) |
Security
is a zero-coupon bond. |
|
(8) |
Fixed to
variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
|
(9) |
Perpetual
maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
|
(10) |
Non-income
producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
|
(11) |
Share
amount represents shares of the issuer previously held that resulted in receipt of the escrow. |
|
(12) |
The
principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
|
(13) |
Senior
floating rate interests generally pay interest rates which are periodically
adjusted by reference to a base short-term, floating lending rate plus a premium.
The base lending rates are primarily the Secured Overnight Financing Rate
("SOFR") and secondarily, the prime rate offered by one or more major
United States banks (the "Prime Rate"). Senior floating rate interests often require
prepayments from excess cash flows or permit the borrower to repay at its
election. The rate at which the borrower repays cannot be predicted with accuracy.
As a result, the actual remaining maturity may be substantially less than the stated
maturities shown. Base lending rates may be subject to a floor or cap.
Unless
otherwise noted, the interest rate disclosed for these securities represents the rate
in effect as of January 31, 2024. |
|
(14) |
Represents
or includes a TBA transaction. |
|
(15) |
All, or a
portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2024, the market value of securities pledged was $1,144,467. |
|
(16) |
All, or a
portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2024, the market value of securities pledged was $386,174. |
|
(17) |
Current
yield as of period end. |
| Futures
Contracts Outstanding at January 31, 2024 |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Long
position contracts: |
| U.S.
Treasury 10-Year Note Future |
|
56
|
|
03/19/2024
|
|
$ 6,290,375
|
|
$
101,543 |
| Short
position contracts: |
| Euro
BUXL 30-Year Bond Future |
|
2
|
|
03/07/2024
|
|
$
298,849 |
|
$
(10,452) |
| Euro-BOBL
Future |
|
31
|
|
03/07/2024
|
|
3,991,351
|
|
(26,772)
|
| Euro-BTP
Future |
|
4
|
|
03/07/2024
|
|
516,968
|
|
(14,531)
|
| Euro-BUND
Future |
|
8
|
|
03/07/2024
|
|
1,180,537
|
|
(18,343)
|
| Euro-Schatz
Future |
|
7
|
|
03/07/2024
|
|
807,443
|
|
(430)
|
| U.S.
Treasury 2-Year Note Future |
|
52
|
|
03/28/2024
|
|
10,694,125
|
|
(11,548)
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Futures
Contracts Outstanding at January 31, 2024 – (continued) |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Short
position contracts – (continued): |
| U.S.
Treasury 5-Year Note Future |
|
20
|
|
03/28/2024
|
|
$ 2,167,813
|
|
$
(10,924) |
| U.S.
Treasury 10-Year Ultra Future |
|
7
|
|
03/19/2024
|
|
818,125
|
|
(4,057)
|
| U.S.
Treasury Long Bond Future |
|
4
|
|
03/19/2024
|
|
489,375
|
|
(28,045)
|
| U.S.
Treasury Ultra Bond Future |
|
9
|
|
03/19/2024
|
|
1,162,969
|
|
(48,726)
|
| Total
|
|
|
|
|
|
|
|
$ (173,828)
|
| Total
futures contracts |
|
$
(72,285) |
| Centrally
Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 |
| Reference
Entity |
|
Notional
Amount(1) |
|
(Pay)/Receive
Fixed Rate |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| Credit
default swaps on indices: |
|
|
| Sell
protection: |
|
|
| CDX.NA.HY.S41.V1
|
|
USD
|
9,807,930
|
|
5.00%
|
|
12/20/2028
|
|
Quarterly
|
|
$ 444,279
|
|
$ —
|
|
$ 628,113
|
|
$ 183,834
|
| ITRAXX-XOVER
S40.V1 |
|
EUR
|
2,070,000
|
|
5.00%
|
|
12/20/2028
|
|
Quarterly
|
|
121,804
|
|
—
|
|
172,168
|
|
50,364
|
| Total
centrally cleared credit default swap contracts |
|
$ 566,083
|
|
$ —
|
|
$ 800,281
|
|
$ 234,198
|
|
(1) |
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| Centrally
Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 |
Payments
made
by Fund |
|
Payments
received
by Fund |
|
Notional
Amount |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| 2.97%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
280,000
|
|
03/15/2053
|
|
Annual
|
|
$
877 |
|
$
— |
|
$ 33,213
|
|
$ 32,336
|
| 2.88%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
190,000
|
|
03/15/2053
|
|
Annual
|
|
2,144
|
|
—
|
|
25,766
|
|
23,622
|
| 3.25%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
125,000
|
|
06/21/2053
|
|
Annual
|
|
—
|
|
(1,281)
|
|
7,601
|
|
8,882
|
| 3.59%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
390,000
|
|
09/20/2053
|
|
Annual
|
|
1,738
|
|
—
|
|
(3,016)
|
|
(4,754)
|
| Total
centrally cleared interest rate swaps contracts |
|
$ 4,759
|
|
$ (1,281)
|
|
$ 63,564
|
|
$ 60,086
|
| Foreign
Currency Contracts Outstanding at January 31, 2024 |
Amount
and Description of
Currency to be Purchased |
|
Amount
and Description of
Currency to be Sold |
|
Counterparty
|
|
Settlement
Date |
|
Appreciation/
(Depreciation) |
| 86,000
|
EUR
|
|
94,572
|
USD
|
|
MSC
|
|
03/20/2024
|
|
$ (955) |
| 42,700,000
|
KZT
|
|
86,613
|
USD
|
|
BOA
|
|
03/20/2024
|
|
7,498
|
| 16,400,000
|
KZT
|
|
34,654
|
USD
|
|
GSC
|
|
03/20/2024
|
|
1,492
|
| 16,476
|
USD
|
|
25,000
|
AUD
|
|
SCB
|
|
03/20/2024
|
|
(77)
|
| 171,083
|
USD
|
|
260,000
|
AUD
|
|
RBC
|
|
03/20/2024
|
|
(1,067)
|
| 2,229
|
USD
|
|
3,000
|
CAD
|
|
JPM
|
|
02/29/2024
|
|
(17)
|
| 181,188
|
USD
|
|
245,000
|
CAD
|
|
RBC
|
|
03/20/2024
|
|
(2,303)
|
| 32,625
|
USD
|
|
30,000
|
EUR
|
|
BNP
|
|
02/29/2024
|
|
(5)
|
| 119,521
|
USD
|
|
110,000
|
EUR
|
|
JPM
|
|
02/29/2024
|
|
(121)
|
| 108,561
|
USD
|
|
100,000
|
EUR
|
|
CBK
|
|
02/29/2024
|
|
(205)
|
| 7,003,223
|
USD
|
|
6,456,000
|
EUR
|
|
TDB
|
|
02/29/2024
|
|
(18,706)
|
| 2,337,670
|
USD
|
|
2,124,000
|
EUR
|
|
DEUT
|
|
03/20/2024
|
|
25,549
|
| 95,564
|
USD
|
|
87,000
|
EUR
|
|
BNP
|
|
03/20/2024
|
|
859
|
| 67,133
|
USD
|
|
61,000
|
EUR
|
|
CBK
|
|
03/20/2024
|
|
730
|
| 27,502
|
USD
|
|
25,000
|
EUR
|
|
RBC
|
|
03/20/2024
|
|
288
|
| 10,190
|
USD
|
|
8,000
|
GBP
|
|
GSC
|
|
02/29/2024
|
|
—
|
| 748,157
|
USD
|
|
589,000
|
GBP
|
|
BCLY
|
|
02/29/2024
|
|
(2,091)
|
| 426,217
|
USD
|
|
334,000
|
GBP
|
|
MSC
|
|
03/20/2024
|
|
727
|
| 26,626
|
USD
|
|
21,000
|
GBP
|
|
HSBC
|
|
03/20/2024
|
|
(127)
|
| 338,583
|
USD
|
|
48,700,000
|
JPY
|
|
MSC
|
|
03/21/2024
|
|
2,732
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Sustainable Income ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Foreign
Currency Contracts Outstanding at January 31, 2024 – (continued) |
Amount
and Description of
Currency to be Purchased |
|
Amount
and Description of
Currency to be Sold |
|
Counterparty
|
|
Settlement
Date |
|
Appreciation/
(Depreciation) |
| 29,691
|
USD
|
|
4,200,000
|
JPY
|
|
ANZ
|
|
03/21/2024
|
|
$ 726 |
| 19,050
|
USD
|
|
2,800,000
|
JPY
|
|
RBC
|
|
03/21/2024
|
|
(260)
|
| Total
foreign currency contracts |
|
$ 14,667
|
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of
investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used
as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Asset
& Commercial Mortgage-Backed Securities |
|
$
5,254,302 |
|
$
— |
|
$
5,254,302 |
|
$ —
|
| Convertible
Bonds |
|
1,897,141
|
|
—
|
|
1,897,141
|
|
—
|
| Corporate
Bonds |
|
25,843,611
|
|
—
|
|
25,843,611
|
|
—
|
| Foreign
Government Obligations |
|
3,792,654
|
|
—
|
|
3,792,654
|
|
—
|
| Senior
Floating Rate Interests |
|
6,207,752
|
|
—
|
|
6,207,752
|
|
—
|
| U.S.
Government Agencies |
|
7,472,571
|
|
—
|
|
7,472,571
|
|
—
|
| U.S.
Government Securities |
|
14,610,770
|
|
—
|
|
14,610,770
|
|
—
|
| Common
Stocks |
|
|
|
|
|
|
|
|
| Automobiles
& Components |
|
6,750
|
|
6,750
|
|
—
|
|
—
|
| Health
Care Equipment & Services |
|
4,060
|
|
4,060
|
|
—
|
|
—
|
| Preferred
Stocks |
|
39,033
|
|
39,033
|
|
—
|
|
—
|
| Short-Term
Investments |
|
643,807
|
|
515,628
|
|
128,179
|
|
—
|
| Foreign
Currency Contracts(2) |
|
40,601
|
|
—
|
|
40,601
|
|
—
|
| Futures
Contracts(2) |
|
101,543
|
|
101,543
|
|
—
|
|
—
|
| Swaps
- Credit Default(2) |
|
234,198
|
|
—
|
|
234,198
|
|
—
|
| Swaps
- Interest Rate(2) |
|
64,840
|
|
—
|
|
64,840
|
|
—
|
| Total
|
|
$ 66,213,633
|
|
$
667,014 |
|
$ 65,546,619
|
|
$ —
|
| Liabilities
|
|
|
|
|
|
|
|
|
| Foreign
Currency Contracts(2) |
|
$
(25,934) |
|
$
— |
|
$
(25,934) |
|
$ —
|
| Futures
Contracts(2) |
|
(173,828)
|
|
(173,828)
|
|
—
|
|
—
|
| Swaps
- Interest Rate(2) |
|
(4,754)
|
|
—
|
|
(4,754)
|
|
—
|
| Total
|
|
$
(204,516) |
|
$ (173,828)
|
|
$
(30,688) |
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
|
(2) |
Derivative
instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Total Return Bond ETF
Schedule of Investments
January 31, 2024
(Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% |
| |
Asset-Backed
- Automobile - 3.5% |
| $ 875,000
|
American
Credit Acceptance Receivables Trust 6.09%, 11/12/2027(1) |
$ 880,231
|
| 1,651,221
|
ARI
Fleet Lease Trust 5.41%, 02/17/2032(1) |
1,650,191 |
|
|
Avis
Budget Rental Car Funding AESOP LLC |
|
| 1,535,000
|
5.36%,
06/20/2030(1) |
1,553,240 |
| 1,065,000
|
5.90%,
08/21/2028(1) |
1,091,444 |
|
|
Bridgecrest
Lending Auto Securitization Trust |
|
| 1,565,000
|
5.43%,
08/15/2028 |
1,571,630 |
| 1,400,000
|
6.80%,
08/15/2029 |
1,432,979 |
| 1,285,126
|
Chesapeake
Funding II LLC 5.65%, 05/15/2035(1) |
1,288,920
|
| 955,000
|
Citizens
Auto Receivables Trust 5.03%, 10/15/2030(1) |
960,320
|
| 1,558,875
|
CPS
Auto Receivables Trust 5.91%, 08/16/2027(1) |
1,561,728
|
|
|
DT
Auto Owner Trust |
|
| 1,725,000
|
5.19%,
10/16/2028(1) |
1,717,730
|
| 660,000
|
5.41%,
02/15/2029(1) |
657,275
|
| 1,065,000
|
6.07%,
03/15/2028(1) |
1,073,439
|
|
|
Enterprise
Fleet Financing LLC |
|
| 500,000
|
5.16%,
09/20/2030(1) |
501,966
|
| 885,000
|
5.42%,
10/22/2029(1) |
894,266
|
| 3,025,000
|
6.40%,
03/20/2030(1) |
3,092,005
|
|
|
Exeter
Automobile Receivables Trust |
|
| 186,598
|
2.18%,
06/15/2026 |
186,174
|
| 760,000
|
4.57%,
01/15/2027 |
756,849
|
| 860,000
|
5.72%,
04/15/2027 |
859,822
|
| 362,000
|
6.03%,
08/16/2027 |
362,582
|
| 401,000
|
6.11%,
09/15/2027 |
402,512
|
|
|
Flagship
Credit Auto Trust |
|
| 310,000
|
5.05%,
01/18/2028(1) |
308,161
|
| 830,000
|
5.21%,
05/15/2028(1) |
828,364
|
| 958,000
|
5.64%,
07/16/2029(1) |
966,262
|
| 195,000
|
GLS
Auto Receivables Issuer Trust 4.92%, 01/15/2027(1) |
193,632
|
| 455,000
|
GM
Financial Consumer Automobile Receivables Trust 5.16%, 08/16/2029 |
457,207
|
| 2,705,000
|
Hertz
Vehicle Financing III LLC 5.94%, 02/25/2028(1) |
2,757,208
|
| 1,650,000
|
Hyundai
Auto Lease Securitization Trust 5.35%, 05/15/2028(1) |
1,654,708
|
| 1,830,000
|
OneMain
Direct Auto Receivables Trust 5.41%, 11/14/2029(1) |
1,848,289
|
| 1,365,000
|
Prestige
Auto Receivables Trust 6.55%, 07/17/2028(1) |
1,370,113
|
| 250,000
|
Santander
Bank Auto Credit-Linked Notes 5.64%, 12/15/2033(1) |
251,684
|
|
|
Santander
Drive Auto Receivables Trust |
|
| 1,540,000
|
4.42%,
11/15/2027 |
1,519,249
|
| 350,000
|
4.72%,
06/15/2027 |
348,032
|
| 650,000
|
4.98%,
02/15/2028 |
647,557
|
| 965,000
|
5.24%,
05/15/2028 |
962,141
|
| 1,310,000
|
5.61%,
07/17/2028 |
1,322,413
|
| 1,400,000
|
5.77%,
12/15/2028 |
1,419,731
|
| 1,430,000
|
5.95%,
01/17/2028 |
1,438,115
|
| 450,000
|
5.98%,
04/16/2029 |
461,342
|
| 935,000
|
SBNA
Auto Lease Trust 5.24%, 01/22/2029(1) |
938,657
|
|
|
SFS
Auto Receivables Securitization Trust |
|
| 360,000
|
5.38%,
01/21/2031(1) |
362,515
|
| 625,000
|
5.71%,
01/22/2030(1) |
633,164
|
|
|
Tricolor
Auto Securitization Trust |
|
| 284,674
|
6.48%,
08/17/2026(1) |
284,641
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Asset-Backed
- Automobile - 3.5% - (continued) |
| $ 1,260,000
|
6.61%,
10/15/2027(1) |
$ 1,261,201
|
|
|
Westlake
Automobile Receivables Trust |
|
| 559,957
|
1.65%,
02/17/2026(1) |
552,360 |
| 1,180,000
|
4.31%,
09/15/2027(1) |
1,167,733 |
| 355,000
|
5.41%,
01/18/2028(1) |
353,689 |
| 2,070,000
|
Wheels
Fleet Lease Funding 1 LLC 6.46%, 08/18/2038(1) |
2,094,454 |
| 595,000
|
World
Omni Auto Receivables Trust 5.03%, 05/15/2029 |
595,222
|
|
|
|
|
49,493,147
|
| |
Asset-Backed
- Finance & Insurance - 0.2% |
| 128,453
|
BHG
Securitization Trust 0.90%, 10/17/2034(1) |
125,058
|
| 1,440,000
|
BlueMountain
CLO XXIV Ltd. 6.68%, 04/20/2034, 3 mo. USD Term SOFR + 1.36%(1)(2) |
1,428,409
|
| 738,902
|
Carlyle
Global Market Strategies CLO Ltd. 6.58%, 01/15/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) |
738,422
|
| 375,000
|
Cirrus
Funding Ltd. 4.80%, 01/25/2037(1) |
368,000
|
|
|
|
|
2,659,889
|
| |
Asset-Backed
- Student Loan - 0.2% |
|
|
Navient
Private Education Refi Loan Trust |
|
| 554,806
|
0.97%,
12/16/2069(1) |
481,486
|
| 1,048,321
|
1.11%,
02/18/2070(1) |
894,462
|
| 1,316,828
|
5.51%,
10/15/2071(1) |
1,320,307
|
|
|
|
|
2,696,255
|
| |
Commercial
Mortgage-Backed Securities - 4.0% |
| 965,000
|
BAMLL
Commercial Mortgage Securities Trust 3.11%, 11/05/2032(1) |
882,933
|
|
|
BBCMS
Mortgage Trust |
|
| 6,360,000
|
1.63%,
02/15/2057(3)(4) |
707,164
|
| 530,000
|
3.66%,
04/15/2055(4) |
482,361
|
| 520,000
|
4.60%,
06/15/2055(4) |
511,521
|
| 1,705,000
|
5.42%,
02/15/2057 |
1,778,904
|
| 715,000
|
5.44%,
12/15/2055(4) |
744,916
|
| 235,000
|
5.71%,
12/15/2055(4) |
249,387
|
|
|
Benchmark
Mortgage Trust |
|
| 12,514,620
|
0.56%,
01/15/2055(1)(3)(4) |
246,535
|
| 18,783,287
|
0.61%,
07/15/2051(3)(4) |
274,343
|
| 8,049,353
|
0.66%,
01/15/2051(3)(4) |
129,894
|
| 12,478,048
|
0.72%,
07/15/2056(4) |
503,891
|
| 8,414,306
|
1.36%,
03/15/2062(3)(4) |
411,171
|
| 4,369,418
|
1.41%,
12/15/2056(1)(3)(4) |
292,316
|
| 3,636,701
|
1.63%,
01/15/2054(3)(4) |
286,991
|
| 1,820,241
|
1.91%,
07/15/2053(3)(4) |
116,105
|
| 2,200,000
|
3.88%,
02/15/2051(4) |
2,076,710
|
| 2,432,000
|
6.05%,
12/15/2056 |
2,641,263
|
|
|
BPR
Trust |
|
| 3,055,000
|
7.89%,
11/05/2028(1)(4) |
3,219,499
|
| 1,180,000
|
8.57%,
08/15/2024, 1 mo. USD Term SOFR + 3.23%(1)(2) |
1,179,242
|
|
|
BX
Trust |
|
| 580,000
|
7.40%,
05/15/2035, 1 mo. USD Term SOFR + 2.07%(1)(2) |
574,873
|
| 2,580,858
|
7.78%,
08/15/2039, 1 mo. USD Term SOFR + 2.45%(1)(2) |
2,593,763
|
| 785,000
|
CAMB
Commercial Mortgage Trust 8.18%, 12/15/2037, 1 mo. USD Term SOFR + 2.85%(1)(2) |
776,169
|
| 1,527,000
|
CD
Mortgage Trust 3.63%, 02/10/2050 |
1,422,358
|
|
|
Citigroup
Commercial Mortgage Trust |
|
| 1,300,000
|
3.62%,
07/10/2047 |
1,283,924
|
| 766,000
|
4.20%,
11/15/2049(4) |
610,721
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Commercial
Mortgage-Backed Securities - 4.0% - (continued) |
| $ 57,873
|
Citigroup
Mortgage Loan Trust, Inc. 3.25%, 03/25/2061(1)(4) |
$ 55,836
|
|
|
Commercial
Mortgage Trust |
|
| 389,000
|
2.82%,
01/10/2039(1) |
348,132 |
| 700,000
|
3.18%,
02/10/2035(1) |
667,535 |
| 1,470,000
|
3.73%,
08/10/2049(1)(4) |
1,396,500 |
| 900,000
|
3.80%,
08/10/2047 |
892,944 |
| 43,511
|
3.96%,
03/10/2047 |
43,435 |
| 395,000
|
4.08%,
01/10/2039(1)(4) |
338,424 |
| 11,944,848
|
CSAIL
Commercial Mortgage Trust 0.85%, 06/15/2057(3)(4) |
61,110
|
|
|
DBJPM
Mortgage Trust |
|
| 3,936,310
|
1.82%,
09/15/2053(3)(4) |
217,491
|
| 2,660,000
|
2.89%,
08/10/2049 |
2,477,692
|
| 2,570,000
|
FS
Commercial Mortgage Trust 7.80%, 11/10/2039(1)(4) |
2,674,447
|
|
|
GS
Mortgage Securities Trust |
|
| 6,536,725
|
0.78%,
02/13/2053(3)(4) |
184,196
|
| 2,000,000
|
3.05%,
05/10/2049 |
1,896,916
|
| 2,440,000
|
3.43%,
08/10/2050 |
2,276,144
|
| 890,000
|
3.63%,
11/10/2047 |
873,772
|
| 415,000
|
JP
Morgan Chase Commercial Mortgage Securities Trust 2.81%, 01/16/2037(1) |
349,448
|
|
|
JPMBB
Commercial Mortgage Securities Trust |
|
| 100,000
|
3.93%,
09/15/2047 |
98,544
|
| 17,399
|
4.00%,
04/15/2047 |
17,344
|
| 2,050,000
|
JPMCC
Commercial Mortgage Securities Trust 3.72%, 03/15/2050 |
1,940,928
|
|
|
Life
Mortgage Trust |
|
| 2,540,978
|
6.15%,
03/15/2038, 1 mo. USD Term SOFR + 0.81%(1)(2) |
2,517,458
|
| 358,784
|
6.85%,
03/15/2038, 1 mo. USD Term SOFR + 1.51%(1)(2) |
352,893
|
| 1,410,000
|
Morgan
Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 |
1,384,532
|
| 3,704,831
|
Morgan
Stanley Capital I Trust 1.48%, 06/15/2050(3)(4) |
98,693
|
|
|
MSWF
Commercial Mortgage Trust |
|
| 1,976,946
|
1.14%,
12/15/2056(3)(4) |
130,314
|
| 1,940,000
|
6.01%,
12/15/2056(4) |
2,115,190
|
| 1,450,000
|
NJ
Trust 6.70%, 01/06/2029(1)(4) |
1,523,208
|
| 2,680,000
|
TYSN
Mortgage Trust 6.80%, 12/10/2033(1)(4) |
2,820,149
|
|
|
Wells
Fargo NA |
|
| 11,297,937
|
0.53%,
02/15/2055(3)(4) |
299,011
|
| 5,704,681
|
0.71%,
11/15/2062(3)(4) |
161,573
|
| 13,953,580
|
0.75%,
11/15/2062(3)(4) |
439,461
|
| 15,438,351
|
0.83%,
02/15/2061(3)(4) |
351,006
|
| 5,767,734
|
0.85%,
11/15/2050(3)(4) |
124,666
|
| 3,512,092
|
0.90%,
11/15/2054(3)(4) |
76,242
|
| 10,552,573
|
0.99%,
01/15/2063(3)(4) |
422,881
|
| 3,434,409
|
1.03%,
05/15/2062(3)(4) |
126,126
|
| 9,006,430
|
1.20%,
02/15/2056(3)(4) |
568,981
|
| 2,883,960
|
1.20%,
12/15/2056(3)(4) |
114,904
|
| 7,141,541
|
1.88%,
03/15/2063(3)(4) |
627,279
|
| 1,790,000
|
3.44%,
09/15/2060 |
1,697,671
|
|
|
WFRBS
Commercial Mortgage Trust |
|
| 1,025,000
|
3.61%,
11/15/2047 |
1,004,335
|
| 100,000
|
4.00%,
05/15/2047 |
99,119
|
|
|
|
|
57,863,484
|
| |
Other
Asset-Backed Securities - 7.5% |
| 127,467
|
AASET
Trust 3.35%, 01/16/2040(1) |
113,878
|
|
|
Affirm
Asset Securitization Trust |
|
| 1,330,000
|
4.30%,
05/17/2027(1) |
1,317,950
|
| 895,000
|
6.61%,
01/18/2028(1) |
901,615
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Other
Asset-Backed Securities - 7.5% - (continued) |
|
|
Aligned
Data Centers Issuer LLC |
|
| $ 970,000
|
1.94%,
08/15/2046(1) |
$ 875,249
|
| 1,420,000
|
6.00%,
08/17/2048(1) |
1,415,966 |
| 3,625,000
|
AMSR
Trust 2.12%, 12/17/2038(1) |
3,340,389 |
| 397,422
|
Amur
Equipment Finance Receivables XI LLC 5.30%, 06/21/2028(1) |
396,781 |
| 505,000
|
Amur
Equipment Finance Receivables XIII LLC 5.37%, 01/21/2031(1) |
507,282 |
| 2,795,000
|
Ares
XLIII CLO Ltd. 7.28%, 07/15/2034, 3 mo. USD Term SOFR + 1.96%(1)(2) |
2,796,400
|
| 171,289
|
Avant
Loans Funding Trust 1.21%, 07/15/2030(1) |
170,452
|
| 2,085,000
|
Barings
CLO Ltd. 2.10%, 01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(2) |
2,085,209
|
| 1,300,000
|
Benefit
Street Partners CLO XXXI Ltd. 7.67%, 04/25/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) |
1,307,908
|
| 3,730,000
|
CBAM
Ltd. 7.43%, 07/17/2034, 3 mo. USD Term SOFR + 2.11%(1)(2) |
3,760,795
|
| 738,591
|
CCG
Receivables Trust 5.82%, 09/16/2030(1) |
743,680
|
|
|
CF
Hippolyta Issuer LLC |
|
| 254,461
|
1.53%,
03/15/2061(1) |
228,983
|
| 597,632
|
1.69%,
07/15/2060(1) |
557,246
|
| 193,202
|
1.98%,
03/15/2061(1) |
165,362
|
| 834,727
|
1.99%,
07/15/2060(1) |
718,548
|
| 384,012
|
5.97%,
08/15/2062(1) |
377,711
|
|
|
CIFC
Funding Ltd. |
|
| 193,359
|
6.44%,
04/19/2029, 3 mo. USD Term SOFR + 1.13%(1)(2) |
193,358
|
| 891,319
|
6.56%,
04/18/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) |
892,603
|
| 400,000
|
CNH
Equipment Trust 4.77%, 10/15/2030 |
400,238
|
| 760,000
|
DLLAA
LLC 5.64%, 02/22/2028(1) |
775,434
|
|
|
Domino's
Pizza Master Issuer LLC |
|
| 4,554,217
|
2.66%,
04/25/2051(1) |
4,077,270
|
| 667,200
|
3.67%,
10/25/2049(1) |
612,482
|
| 47,375
|
4.12%,
07/25/2048(1) |
46,224
|
|
|
Elmwood
CLO Ltd. |
|
| 1,215,000
|
7.56%,
04/16/2036, 3 mo. USD Term SOFR + 2.25%(1)(2) |
1,216,255
|
| 2,070,000
|
7.72%,
10/17/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) |
2,091,176
|
|
|
FirstKey
Homes Trust |
|
| 2,028,207
|
1.38%,
09/17/2038(1) |
1,845,076
|
| 1,526,569
|
2.14%,
12/17/2038(1) |
1,408,337
|
| 670,499
|
4.15%,
05/19/2039(1) |
653,292
|
| 2,485,941
|
4.25%,
07/17/2039(1) |
2,419,288
|
| 1,504,265
|
Galaxy
XXIII CLO Ltd. 6.45%, 04/24/2029, 3 mo. USD Term SOFR + 1.13%(1)(2) |
1,503,271
|
| 950,000
|
GoldenTree
Loan Management U.S. CLO Ltd. 7.72%, 10/20/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) |
960,068
|
| 1,160,000
|
Golub
Capital Partners CLO 68B Ltd. 8.12%, 07/25/2036, 3 mo. USD Term SOFR + 2.80%(1)(2) |
1,169,990
|
| 450,000
|
GreatAmerica
Leasing Receivables 5.18%, 12/16/2030(1) |
450,410
|
| 780,000
|
Invesco
U.S. CLO Ltd. 7.62%, 04/21/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) |
782,364
|
| 146,367
|
Madison
Park Funding XIII Ltd. 6.52%, 04/19/2030, 3 mo. USD Term SOFR + 1.21%(1)(2) |
146,395
|
| 92,152
|
Magnetite
VII Ltd. 6.38%, 01/15/2028, 3 mo. USD Term SOFR + 1.06%(1)(2) |
92,061
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Other
Asset-Backed Securities - 7.5% - (continued) |
| $ 1,300,000
|
MF1
Ltd. 7.09%, 02/19/2037, 1 mo. USD Term SOFR + 1.75%(1)(2) |
$ 1,273,576
|
| 2,490,000
|
Nassau
Ltd. 6.83%, 08/26/2034, 3 mo. USD Term SOFR + 1.51%(1)(2) |
2,489,405 |
| 3,580,000
|
New
Economy Assets Phase 1 Sponsor LLC 1.91%, 10/20/2061(1) |
3,148,854 |
| 112,506
|
NRZ
Excess Spread-Collateralized Notes 3.84%, 12/25/2025(1) |
107,610 |
| 925,000
|
OCP
CLO Ltd. 6.57%, 04/18/2033, 3 mo. USD Term SOFR + 1.27%(1)(2) |
920,849 |
| 1,695,000
|
Octagon
61 Ltd. 7.67%, 04/20/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) |
1,703,599 |
| 513,881
|
OZLM
IX Ltd. 6.68%, 10/20/2031, 3 mo. USD Term SOFR + 1.36%(1)(2) |
514,307
|
| 33,968
|
OZLM
VII Ltd. 6.59%, 07/17/2029, 3 mo. USD Term SOFR + 1.27%(1)(2) |
33,986
|
|
|
PRET
LLC |
|
| 648,789
|
1.74%,
07/25/2051(1)(5) |
622,149
|
| 687,560
|
1.87%,
07/25/2051(1)(5) |
662,397
|
| 766,034
|
Pretium
Mortgage Credit Partners I LLC 1.99%, 06/27/2060(1)(5) |
738,005
|
| 1,255,472
|
Pretium
Mortgage Credit Partners LLC 1.99%, 02/25/2061(1)(5) |
1,220,302
|
|
|
Progress
Residential Trust |
|
| 1,707,119
|
1.51%,
10/17/2038(1) |
1,554,014
|
| 632,098
|
3.20%,
04/17/2039(1) |
598,462
|
| 1,744,362
|
4.44%,
05/17/2041(1) |
1,696,606
|
| 449,955
|
4.45%,
06/17/2039(1) |
440,824
|
| 749,727
|
4.75%,
10/27/2039(1) |
741,075
|
| 2,610,000
|
Retained
Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) |
2,482,126
|
| 2,010,000
|
RR
1 LLC 6.73%, 07/15/2035, 3 mo. USD Term SOFR + 1.41%(1)(2) |
2,009,518
|
| 2,950,000
|
RR
23 Ltd. 7.96%, 10/15/2035, 3 mo. USD Term SOFR + 2.65%(1)(2) |
2,975,990
|
| 1,185,000
|
RR
26 Ltd. 7.56%, 04/15/2038, 3 mo. USD Term SOFR + 2.25%(1)(2) |
1,188,562
|
| 164,847
|
Sapphire
Aviation Finance II Ltd. 3.23%, 03/15/2040(1) |
145,893
|
| 1,695,000
|
SCF
Equipment Leasing LLC 6.56%, 01/22/2030(1) |
1,708,275
|
| 193,475
|
Sound
Point CLO II Ltd. 6.66%, 01/26/2031, 3 mo. USD Term SOFR + 1.33%(1)(2) |
193,768
|
| 2,270,000
|
Sound
Point CLO XXIX Ltd. 6.66%, 04/25/2034, 3 mo. USD Term SOFR + 1.33%(1)(2) |
2,253,876
|
| 923,195
|
Sounds
Point CLO IV-R Ltd. 6.71%, 04/18/2031, 3 mo. USD Term SOFR + 1.41%(1)(2) |
922,950
|
|
|
Stack
Infrastructure Issuer LLC |
|
| 310,000
|
1.89%,
08/25/2045(1) |
289,200
|
| 1,480,000
|
5.90%,
07/25/2048(1) |
1,473,069
|
| 490,000
|
Summit
Issuer LLC 2.29%, 12/20/2050(1) |
454,713
|
| 2,590,000
|
Symphony
CLO XXV Ltd. 6.55%, 04/19/2034, 3 mo. USD Term SOFR + 1.24%(1)(2) |
2,589,223
|
| 1,445,000
|
Texas
Debt Capital CLO Ltd. 7.62%, 04/20/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) |
1,450,404
|
| 2,365,000
|
THL
Credit Wind River CLO Ltd. 7.01%, 10/20/2033, 3 mo. USD Term SOFR + 1.69%(1)(2) |
2,365,118
|
| 1,115,000
|
Vantage
Data Centers Issuer LLC 1.65%, 09/15/2045(1) |
1,037,134
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Other
Asset-Backed Securities - 7.5% - (continued) |
| $ 1,890,000
|
Vantage
Data Centers LLC 1.99%, 09/15/2045(1) |
$ 1,638,194
|
|
|
VCAT
LLC |
|
| 667,198
|
1.74%,
05/25/2051(1)(5) |
642,445 |
| 2,877,555
|
1.87%,
08/25/2051(1)(5) |
2,779,585 |
| 182,364
|
2.12%,
03/27/2051(1)(5) |
181,217 |
| 2,270,000
|
Venture
42 CLO Ltd. 6.71%, 04/15/2034, 3 mo. USD Term SOFR + 1.39%(1)(2) |
2,253,163 |
| 915,000
|
Venture
43 CLO Ltd. 6.82%, 04/15/2034, 3 mo. USD Term SOFR + 1.50%(1)(2) |
914,780
|
| 1,224,679
|
Vericrest
Opportunity Loan Transferee 1.87%, 08/25/2051(1)(5) |
1,158,541
|
| 435,665
|
VOLT
C LLC 1.99%, 05/25/2051(1)(5) |
416,311
|
| 830,643
|
VOLT
XCIII LLC 4.89%, 02/27/2051(1)(5) |
805,913
|
| 637,069
|
VOLT
XCIV LLC 5.24%, 02/27/2051(1)(5) |
622,780
|
| 786,350
|
VOLT
XCIX LLC 2.12%, 04/25/2051(1)(5) |
762,759
|
| 579,034
|
VOLT
XCV LLC 2.24%, 03/27/2051(1)(5) |
565,848
|
| 651,159
|
VOLT
XCVII LLC 2.24%, 04/25/2051(1)(5) |
626,959
|
|
|
Voya
CLO Ltd. |
|
| 112,304
|
6.46%,
01/18/2029, 3 mo. USD Term SOFR + 1.16%(1)(2) |
112,278
|
| 675,096
|
6.75%,
10/18/2031, 3 mo. USD Term SOFR + 1.45%(1)(2) |
675,171
|
| 1,827,242
|
Wellfleet
CLO X Ltd. 6.75%, 07/20/2032, 3 mo. USD Term SOFR + 1.43%(1)(2) |
1,825,975
|
|
|
Wendy's
Funding LLC |
|
| 2,105,803
|
2.37%,
06/15/2051(1) |
1,835,297
|
| 3,240,897
|
2.78%,
06/15/2051(1) |
2,721,401
|
| 1,068,745
|
3.88%,
03/15/2048(1) |
1,011,025
|
| 674,725
|
Wingstop
Funding LLC 2.84%, 12/05/2050(1) |
610,839
|
|
|
|
|
107,683,316
|
| |
Whole
Loan Collateral CMO - 6.1% |
| 1,099,912
|
510
Asset-Backed Trust 2.24%, 06/25/2061(1)(5) |
1,046,126
|
| 354,532
|
Ajax
Mortgage Loan Trust 2.12%, 01/25/2061(1)(5) |
335,342
|
|
|
Angel
Oak Mortgage Trust |
|
| 482,433
|
0.91%,
01/25/2066(1)(4) |
403,231
|
| 1,190,781
|
0.95%,
07/25/2066(1)(4) |
958,000
|
| 302,562
|
0.99%,
04/25/2053(1)(4) |
276,237
|
| 447,414
|
0.99%,
04/25/2066(1)(4) |
369,753
|
| 890,213
|
1.07%,
05/25/2066(1)(4) |
751,867
|
| 483,788
|
1.24%,
01/20/2065(1)(4) |
393,467
|
| 875,227
|
1.82%,
11/25/2066(1)(4) |
743,878
|
| 3,967,295
|
2.88%,
12/25/2066(1)(5) |
3,583,761
|
| 37,913
|
Bear
Stearns ARM Trust 5.73%, 08/25/2035(4) |
34,203
|
| 578,364
|
BINOM
Securitization Trust 2.03%, 06/25/2056(1)(4) |
503,023
|
|
|
BRAVO
Residential Funding Trust |
|
| 301,719
|
0.94%,
02/25/2049(1)(4) |
263,378
|
| 257,149
|
0.97%,
03/25/2060(1)(4) |
240,788
|
| 1,494,345
|
1.62%,
03/01/2061(1)(5) |
1,394,237
|
| 432,987
|
Cascade
MH Asset Trust 1.75%, 02/25/2046(1) |
354,948
|
| 2,328,427
|
CHNGE
Mortgage Trust 3.76%, 03/25/2067(1)(4) |
2,190,244
|
|
|
COLT
Mortgage Loan Trust |
|
| 201,751
|
0.80%,
07/27/2054(1) |
176,303
|
| 776,536
|
0.91%,
06/25/2066(1)(4) |
637,996
|
| 3,515,701
|
0.96%,
09/27/2066(1)(4) |
2,829,236
|
| 921,073
|
1.34%,
08/25/2066(1)(4) |
737,070
|
| 2,200,181
|
1.40%,
10/25/2066(1)(4) |
1,800,184
|
| 2,335,482
|
2.28%,
12/27/2066(1)(4) |
2,042,185
|
| 387,711
|
4.30%,
03/25/2067(1)(4) |
376,331
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Whole
Loan Collateral CMO - 6.1% - (continued) |
|
|
CSMC
Trust |
|
| $ 202,265
|
0.81%,
05/25/2065(1)(4) |
$ 171,534
|
| 525,158
|
0.83%,
03/25/2056(1)(4) |
417,156 |
| 699,895
|
0.94%,
05/25/2066(1)(4) |
561,778 |
| 1,108,845
|
1.10%,
05/25/2066(1)(4) |
916,190 |
| 918,671
|
1.18%,
02/25/2066(1)(4) |
795,225 |
| 472,949
|
1.80%,
12/27/2060(1)(4) |
431,373 |
| 910,158
|
1.84%,
10/25/2066(1)(4) |
789,490 |
| 2,604,080
|
2.27%,
11/25/2066(1)(4) |
2,269,501
|
| 307,607
|
Deephaven
Residential Mortgage Trust 0.90%, 04/25/2066(1)(4) |
267,277
|
|
|
Ellington
Financial Mortgage Trust |
|
| 108,232
|
0.80%,
02/25/2066(1)(4) |
91,302
|
| 323,850
|
0.93%,
06/25/2066(1)(4) |
263,014
|
| 1,045,929
|
2.21%,
01/25/2067(1)(4) |
899,029
|
|
|
Federal
National Mortgage Association Connecticut Avenue Securities |
|
| 430,000
|
7.14%,
01/25/2044, 30 day USD SOFR Average + 1.80%(1)(2) |
431,334
|
| 111,833
|
7.61%,
11/25/2039, 30 day USD SOFR Average + 2.26%(1)(2) |
112,754
|
| 75,856
|
7.66%,
08/25/2030, 30 day USD SOFR Average + 2.31%(2) |
77,421
|
| 94,077
|
7.81%,
01/25/2031, 30 day USD SOFR Average + 2.46%(2) |
96,429
|
| 294,449
|
7.89%,
07/25/2042, 30 day USD SOFR Average + 2.55%(1)(2) |
302,731
|
| 1,585,000
|
8.04%,
07/25/2043, 30 day USD SOFR Average + 2.70%(1)(2) |
1,647,036
|
| 792,000
|
8.44%,
06/25/2043, 30 day USD SOFR Average + 3.10%(1)(2) |
832,933
|
| 3,085,000
|
8.59%,
09/25/2043, 30 day USD SOFR Average + 3.25%(1)(2) |
3,243,592
|
| 311,269
|
9.01%,
07/25/2029, 30 day USD SOFR Average + 3.66%(2) |
322,941
|
| 260,305
|
9.81%,
05/25/2029, 30 day USD SOFR Average + 4.46%(2) |
274,234
|
|
|
GCAT
Trust |
|
| 552,160
|
0.87%,
01/25/2066(1)(4) |
449,204
|
| 661,633
|
1.04%,
05/25/2066(1)(4) |
540,430
|
| 860,160
|
1.09%,
05/25/2066(1)(4) |
713,620
|
| 1,247,487
|
1.09%,
08/25/2066(1)(4) |
1,011,692
|
| 639,823
|
1.92%,
08/25/2066(1)(4) |
560,688
|
|
|
Imperial
Fund Mortgage Trust |
|
| 702,368
|
1.07%,
09/25/2056(1)(4) |
576,694
|
| 2,564,324
|
3.64%,
03/25/2067(1)(5) |
2,387,470
|
|
|
Legacy
Mortgage Asset Trust |
|
| 342,999
|
1.65%,
11/25/2060(1)(5) |
310,476
|
| 454,975
|
1.75%,
04/25/2061(1)(5) |
424,649
|
| 634,293
|
1.75%,
07/25/2061(1)(5) |
588,787
|
| 507,387
|
MetLife
Securitization Trust 3.75%, 03/25/2057(1)(4) |
484,752
|
|
|
MFA
Trust |
|
| 67,873
|
1.01%,
01/26/2065(1)(4) |
60,761
|
| 515,438
|
1.03%,
11/25/2064(1)(4) |
440,180
|
| 331,166
|
1.15%,
04/25/2065(1)(4) |
298,121
|
| 8,384
|
Mill
City Mortgage Loan Trust 2.75%, 01/25/2061(1)(4) |
8,229
|
|
|
New
Residential Mortgage Loan Trust |
|
| 419,648
|
0.94%,
07/25/2055(1)(4) |
362,799
|
| 266,423
|
0.94%,
10/25/2058(1)(4) |
247,235
|
| 2,681,481
|
1.16%,
11/27/2056(1)(4) |
2,276,443
|
| 2,328,304
|
2.28%,
04/25/2061(1)(4) |
2,010,613
|
| 432,058
|
3.50%,
12/25/2057(1)(4) |
413,163
|
| 348,585
|
3.87%,
09/25/2057(1)(4) |
326,312
|
| 269,946
|
4.00%,
04/25/2057(1)(4) |
255,153
|
| Shares
or Principal Amount |
|
Market
Value† |
| ASSET
& COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.5% - (continued) |
| |
Whole
Loan Collateral CMO - 6.1% - (continued) |
| $ 288,564
|
4.00%,
08/27/2057(1)(4) |
$ 274,163
|
| 123,728
|
6.20%,
01/25/2048, 1 mo. USD Term SOFR + 0.86%(1)(2) |
118,915 |
| 1,378,383
|
NMLT
Trust 1.19%, 05/25/2056(1)(4) |
1,127,845 |
|
|
OBX
Trust |
|
| 904,810
|
1.05%,
07/25/2061(1)(4) |
713,679 |
| 849,247
|
1.07%,
02/25/2066(1)(4) |
721,848 |
| 2,103,251
|
2.31%,
11/25/2061(1)(4) |
1,817,222 |
| 378,812
|
PMT
Credit Risk Transfer Trust 8.35%, 02/27/2024, 1 mo. USD Term SOFR + 3.01%(1)(2) |
376,822
|
|
|
Preston
Ridge Partners Mortgage LLC |
|
| 879,004
|
1.79%,
06/25/2026(1)(5) |
854,838
|
| 762,218
|
1.79%,
07/25/2026(1)(5) |
737,574
|
| 1,326,813
|
1.87%,
04/25/2026(1)(5) |
1,291,664
|
| 290,240
|
2.12%,
03/25/2026(1)(4) |
286,681
|
| 1,491,437
|
2.36%,
10/25/2026(1)(5) |
1,440,622
|
| 715,099
|
2.49%,
10/25/2026(1)(5) |
685,891
|
| 180,073
|
5.36%,
11/25/2025(1)(5) |
179,887
|
| 319,273
|
PRPM
LLC 1.32%, 07/25/2051(1)(5) |
286,827
|
| 258,345
|
Residential
Mortgage Loan Trust 0.86%, 01/25/2065(1)(4) |
237,019
|
|
|
Seasoned
Credit Risk Transfer Trust |
|
| 621,208
|
2.50%,
08/25/2059 |
516,827
|
| 286,499
|
3.50%,
08/25/2057(4) |
270,739
|
| 488,114
|
3.50%,
11/25/2057 |
449,075
|
| 1,300,033
|
3.50%,
07/25/2058 |
1,183,697
|
| 503,103
|
3.50%,
08/25/2058 |
464,776
|
| 1,771,752
|
3.50%,
10/25/2058 |
1,603,962
|
| 1,239,588
|
SG
Residential Mortgage Trust 1.16%, 07/25/2061(1)(4) |
985,088
|
| 635,001
|
STAR
Trust 1.22%, 05/25/2065(1)(4) |
559,783
|
|
|
Starwood
Mortgage Residential Trust |
|
| 225,932
|
0.94%,
05/25/2065(1)(4) |
208,101
|
| 1,060,305
|
1.13%,
06/25/2056(1)(4) |
871,132
|
| 1,422,824
|
1.92%,
11/25/2066(1)(4) |
1,195,535
|
| 615,676
|
Toorak
Mortgage Corp. Ltd. 3.24%, 06/25/2024(1)(5) |
603,048
|
|
|
Towd
Point Mortgage Trust |
|
| 705,062
|
1.75%,
10/25/2060(1) |
624,956
|
| 16,989
|
2.16%,
01/25/2052(1)(4) |
16,917
|
| 764,603
|
2.90%,
10/25/2059(1)(4) |
720,690
|
| 2,037,729
|
2.92%,
11/30/2060(1)(4) |
1,703,503
|
| 544,743
|
3.25%,
03/25/2058(1)(4) |
527,476
|
| 65,851
|
3.25%,
07/25/2058(1)(4) |
63,929
|
| 39,893
|
3.75%,
05/25/2058(1)(4) |
38,460
|
| 137,873
|
Triangle
Re Ltd. 7.24%, 02/25/2034, 30 day USD SOFR Average + 1.90%(1)(2) |
137,957
|
| 530,776
|
TRK
Trust 1.15%, 07/25/2056(1)(4) |
459,883
|
|
|
Verus
Securitization Trust |
|
| 142,696
|
0.82%,
10/25/2063(1)(4) |
129,080
|
| 399,876
|
0.92%,
02/25/2064(1)(4) |
350,540
|
| 2,023,298
|
0.94%,
07/25/2066(1)(4) |
1,681,314
|
| 4,588,734
|
1.01%,
09/25/2066(1)(4) |
3,799,160
|
| 355,150
|
1.03%,
02/25/2066(1)(4) |
308,693
|
| 983,848
|
1.82%,
11/25/2066(1)(4) |
852,405
|
| 1,928,350
|
1.83%,
10/25/2066(1)(4) |
1,673,219
|
| 1,585,693
|
2.72%,
01/25/2067(1)(5) |
1,431,653
|
|
|
|
|
86,986,628
|
|
|
Total
Asset & Commercial Mortgage-Backed Securities
(cost $320,076,760) |
$
307,382,719 |
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% |
| |
Advertising
- 0.2% |
|
|
Lamar
Media Corp. |
|
| $ 2,735,000
|
3.63%,
01/15/2031 |
$ 2,405,433
|
|
80,000 |
4.88%,
01/15/2029 |
77,111
|
|
|
|
|
2,482,544
|
| |
Aerospace/Defense
- 0.2% |
|
|
Boeing
Co. |
|
| 720,000
|
5.04%,
05/01/2027 |
720,655 |
| 971,000
|
5.15%,
05/01/2030 |
972,036 |
| 20,000
|
5.81%,
05/01/2050 |
20,018
|
| 625,000
|
5.93%,
05/01/2060 |
623,249
|
| 505,000
|
Northrop
Grumman Corp. 5.15%, 05/01/2040 |
503,837
|
|
|
|
|
2,839,795
|
| |
Agriculture
- 0.3% |
| 26,700
|
BAT
Capital Corp. 3.56%, 08/15/2027 |
25,504
|
|
|
Philip
Morris International, Inc. |
|
| 157,000
|
4.88%,
11/15/2043 |
147,052
|
| 305,000
|
5.13%,
11/17/2027 |
309,898
|
| 1,715,000
|
5.13%,
02/15/2030 |
1,742,892
|
| 670,000
|
5.38%,
02/15/2033 |
683,099
|
| 885,000
|
5.63%,
09/07/2033 |
918,289
|
|
|
|
|
3,826,734
|
| |
Apparel
- 0.2% |
| 260,000
|
Hanesbrands,
Inc. 4.88%, 05/15/2026(1) |
250,893
|
|
|
Tapestry,
Inc. |
|
| 330,000
|
7.05%,
11/27/2025 |
337,570
|
| 750,000
|
7.35%,
11/27/2028 |
786,045
|
| 100,000
|
7.70%,
11/27/2030 |
105,896
|
| 1,904,000
|
William
Carter Co. 5.63%, 03/15/2027(1) |
1,868,668
|
|
|
|
|
3,349,072
|
| |
Beverages
- 0.0% |
|
|
Bacardi
Ltd./Bacardi-Martini BV |
|
| 100,000
|
5.25%,
01/15/2029(1) |
100,337
|
| 535,000
|
5.40%,
06/15/2033(1) |
537,074
|
|
|
|
|
637,411
|
| |
Biotechnology
- 0.3% |
|
|
Amgen,
Inc. |
|
| 560,000
|
5.25%,
03/02/2030 |
573,362
|
| 1,903,000
|
5.25%,
03/02/2033 |
1,939,482
|
|
|
Royalty
Pharma PLC |
|
| 22,000
|
1.20%,
09/02/2025 |
20,630
|
| 1,654,000
|
2.15%,
09/02/2031 |
1,346,261
|
| 620,000
|
2.20%,
09/02/2030 |
519,729
|
|
|
|
|
4,399,464
|
| |
Chemicals
- 0.2% |
|
|
Celanese
U.S. Holdings LLC |
|
| 975,000
|
6.17%,
07/15/2027 |
998,432
|
| 1,059,000
|
6.33%,
07/15/2029 |
1,103,677
|
| 660,000
|
6.55%,
11/15/2030 |
697,560
|
|
|
|
|
2,799,669
|
| |
Commercial
Banks - 7.6% |
| 800,000
|
ABN
AMRO Bank NV 6.34%, 09/18/2027, (6.34% fixed rate until 09/18/2026; 1 yr. USD CMT + 1.65% thereafter)(1)(6) |
817,974
|
| EUR
500,000 |
Banca
Comerciala Romana SA 7.63%, 05/19/2027, (7.63% fixed rate until 05/19/2026; 3 mo. EURIBOR + 4.54% thereafter)(6)(7) |
571,150
|
| 1,085,000
|
Banca
Transilvania SA 8.88%, 04/27/2027, (8.88% fixed rate until 04/27/2026; 1 yr. EURIBOR ICE Swap + 5.58% thereafter)(6)(7) |
1,240,481
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Banks - 7.6% - (continued) |
|
|
Bank
of America Corp. |
|
| $ 1,695,000
|
1.90%,
07/23/2031, (1.90% fixed rate until 07/23/2030; 6 mo. USD SOFR + 1.53% thereafter)(6) |
$ 1,394,280
|
| 1,190,000
|
1.92%,
10/24/2031, (1.92% fixed rate until 10/24/2030; 6 mo. USD SOFR + 1.37% thereafter)(6) |
973,124 |
| 2,147,000
|
2.50%,
02/13/2031, (2.50% fixed rate until 02/13/2030; 3 mo. USD Term SOFR + 1.25% thereafter)(6) |
1,855,480 |
| 579,000
|
2.57%,
10/20/2032, (2.57% fixed rate until 10/20/2031; 6 mo. USD SOFR + 1.21% thereafter)(6) |
482,181 |
| 995,000
|
2.59%,
04/29/2031, (2.59% fixed rate until 04/29/2030; 6 mo. USD SOFR + 2.15% thereafter)(6) |
860,956 |
| 4,020,000
|
2.69%,
04/22/2032, (2.69% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.32% thereafter)(6) |
3,409,023 |
| 1,514,000
|
2.97%,
02/04/2033, (2.97% fixed rate until 02/04/2032; 6 mo. USD SOFR + 1.33% thereafter)(6) |
1,290,803 |
| 265,000
|
3.42%,
12/20/2028, (3.42% fixed rate until 12/20/2027; 3 mo. USD Term SOFR + 1.30% thereafter)(6) |
250,269
|
| 1,935,000
|
5.20%,
04/25/2029, (5.20% fixed rate until 04/25/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) |
1,949,742
|
| 640,000
|
5.47%,
01/23/2035, (5.47% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.65% thereafter)(6) |
651,510
|
| 2,435,000
|
5.93%,
09/15/2027, (5.93% fixed rate until 09/15/2026; 6 mo. USD SOFR + 1.34% thereafter)(6) |
2,489,136
|
| 1,975,000
|
Bank
of Ireland Group PLC 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 1 yr. USD CMT + 2.65% thereafter)(1)(6) |
1,995,535
|
| 1,535,000
|
Bank
of New York Mellon Corp. 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(6) |
1,629,318
|
| 975,000
|
Barclays
PLC 9.63%, 12/15/2029, (9.63% fixed rate until 12/15/2029; 5 yr. USD ICE Swap + 5.78% thereafter)(6)(8) |
1,005,646
|
|
|
BNP
Paribas SA |
|
| 1,095,000
|
5.13%,
01/13/2029, (5.13% fixed rate until 01/13/2028; 1 yr. USD CMT + 1.45% thereafter)(1)(6) |
1,099,800
|
| 495,000
|
5.34%,
06/12/2029, (5.34% fixed rate until 06/12/2028; 1 yr. USD CMT + 1.50% thereafter)(1)(6) |
501,838
|
| 1,650,000
|
5.89%,
12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(6) |
1,723,761
|
|
|
BPCE
SA |
|
| 715,000
|
5.72%,
01/18/2030, (5.72% fixed rate until 01/18/2029; 1 yr. USD CMT + 1.96% thereafter)(1)(6) |
719,345
|
| 2,765,000
|
6.71%,
10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(6) |
2,906,326
|
| 2,230,000
|
7.00%,
10/19/2034, (7.00% fixed rate until 10/19/2033; 6 mo. USD SOFR + 2.59% thereafter)(1)(6) |
2,432,529
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Banks - 7.6% - (continued) |
| $ 520,000
|
Citizens
Financial Group, Inc. 5.84%, 01/23/2030, (5.84% fixed rate until 01/23/2029; 6 mo. USD SOFR + 2.01% thereafter)(6) |
$ 523,571
|
|
|
Credit
Agricole SA |
|
| 1,400,000
|
6.25%,
01/10/2035, (6.25% fixed rate until 01/10/2034; 6 mo. USD SOFR + 2.67% thereafter)(1)(6) |
1,425,677 |
| 535,000
|
6.32%,
10/03/2029, (6.32% fixed rate until 10/03/2028; 6 mo. USD SOFR + 1.86% thereafter)(1)(6) |
557,641 |
| 380,000
|
Danske
Bank AS 1.62%, 09/11/2026, (1.62% fixed rate until 09/11/2025; 1 yr. USD CMT + 1.35% thereafter)(1)(6) |
356,835 |
|
|
Deutsche
Bank AG |
|
| 520,000
|
2.13%,
11/24/2026, (2.13% fixed rate until 11/24/2025; 6 mo. USD SOFR + 1.87% thereafter)(6) |
489,538 |
| 380,000
|
2.31%,
11/16/2027, (2.31% fixed rate until 11/16/2026; 6 mo. USD SOFR + 1.22% thereafter)(6) |
347,686 |
| 165,000
|
Fifth
Third Bancorp 5.63%, 01/29/2032, (5.63% fixed rate until 01/29/2031; 6 mo. USD SOFR + 1.84% thereafter)(6) |
166,434
|
|
|
Goldman
Sachs Group, Inc. |
|
| 606,000
|
1.99%,
01/27/2032, (1.99% fixed rate until 01/27/2031; 6 mo. USD SOFR + 1.09% thereafter)(6) |
492,768
|
| 1,650,000
|
2.38%,
07/21/2032, (2.38% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.25% thereafter)(6) |
1,359,116
|
| 1,865,000
|
2.62%,
04/22/2032, (2.62% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.28% thereafter)(6) |
1,572,230
|
| 606,000
|
3.81%,
04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD Term SOFR + 1.42% thereafter)(6) |
576,747
|
| 1,814,000
|
4.22%,
05/01/2029, (4.22% fixed rate until 05/01/2028; 3 mo. USD Term SOFR + 1.56% thereafter)(6) |
1,754,297
|
|
|
HSBC
Holdings PLC |
|
| 1,210,000
|
2.21%,
08/17/2029, (2.21% fixed rate until 08/17/2028; 6 mo. USD SOFR + 1.29% thereafter)(6) |
1,058,310
|
| 380,000
|
4.58%,
06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD Term SOFR + 1.80% thereafter)(6) |
369,090
|
| 3,130,000
|
5.40%,
08/11/2033, (5.40% fixed rate until 08/11/2032; 6 mo. USD SOFR + 2.87% thereafter)(6)(9) |
3,137,541
|
| 1,445,000
|
5.89%,
08/14/2027, (5.89% fixed rate until 08/14/2026; 6 mo. USD SOFR + 1.57% thereafter)(6) |
1,465,454
|
| 385,000
|
6.16%,
03/09/2029, (6.16% fixed rate until 03/09/2028; 6 mo. USD SOFR + 1.97% thereafter)(6) |
397,773
|
| 1,225,000
|
6.55%,
06/20/2034, (6.55% fixed rate until 06/20/2033; 6 mo. USD SOFR + 2.98% thereafter)(6) |
1,275,102
|
| 228,000
|
6.80%,
06/01/2038 |
251,669
|
| 1,125,000
|
7.40%,
11/13/2034, (7.40% fixed rate until 11/13/2033; 6 mo. USD SOFR + 3.02% thereafter)(6) |
1,228,691
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Banks - 7.6% - (continued) |
| $ 600,000
|
Huntington
Bancshares, Inc. 6.21%, 08/21/2029, (6.21% fixed rate until 08/21/2028; 6 mo. USD SOFR + 2.02% thereafter)(6) |
$ 620,057
|
| 585,000
|
Huntington
National Bank 5.65%, 01/10/2030 |
593,704 |
| 1,565,000
|
Intesa
Sanpaolo SpA 7.80%, 11/28/2053(1) |
1,714,315 |
|
|
JP
Morgan Chase & Co. |
|
| 888,000
|
2.55%,
11/08/2032, (2.55% fixed rate until 11/08/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) |
743,856 |
| 436,000
|
2.96%,
05/13/2031, (2.96% fixed rate until 05/13/2030; 3 mo. USD Term SOFR + 2.52% thereafter)(6) |
384,542 |
| 946,000
|
3.70%,
05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD Term SOFR + 1.42% thereafter)(6) |
892,839 |
| 315,000
|
3.96%,
01/29/2027, (3.96% fixed rate until 01/29/2026; 3 mo. USD Term SOFR + 1.51% thereafter)(6) |
309,271 |
| 978,000
|
4.01%,
04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD Term SOFR + 1.38% thereafter)(6) |
944,116
|
| 594,000
|
4.85%,
07/25/2028, (4.85% fixed rate until 07/25/2027; 6 mo. USD SOFR + 1.99% thereafter)(6) |
592,995
|
| 985,000
|
5.30%,
07/24/2029, (5.30% fixed rate until 07/24/2028; 6 mo. USD SOFR + 1.45% thereafter)(6) |
1,001,014
|
| 2,160,000
|
5.34%,
01/23/2035, (5.34% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.62% thereafter)(6) |
2,194,214
|
| 875,000
|
6.07%,
10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(6) |
900,549
|
| 515,000
|
6.09%,
10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(6) |
540,516
|
|
|
Lloyds
Banking Group PLC |
|
| 780,000
|
5.46%,
01/05/2028, (5.46% fixed rate until 01/05/2027; 1 yr. USD CMT + 1.38% thereafter)(6) |
784,520
|
| 1,140,000
|
5.68%,
01/05/2035, (5.68% fixed rate until 01/05/2034; 1 yr. USD CMT + 1.75% thereafter)(6) |
1,153,856
|
|
|
M&T
Bank Corp. |
|
| 1,815,000
|
5.05%,
01/27/2034, (5.05% fixed rate until 01/27/2033; 6 mo. USD SOFR + 1.85% thereafter)(6) |
1,710,130
|
| 1,440,000
|
7.41%,
10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(6) |
1,551,563
|
| 1,150,000
|
Manufacturers
& Traders Trust Co. 4.70%, 01/27/2028 |
1,128,526
|
| EUR
1,100,000 |
mBank
SA 0.97%, 09/21/2027, (0.97% fixed rate until 09/21/2026; 3 mo. EURIBOR + 1.25% thereafter)(6)(7) |
1,044,022
|
|
|
Morgan
Stanley |
|
| $
125,000 |
1.59%,
05/04/2027, (1.59% fixed rate until 05/04/2026; 6 mo. USD SOFR + 0.88% thereafter)(6) |
115,753
|
| 1,949,000
|
1.79%,
02/13/2032, (1.79% fixed rate until 02/13/2031; 6 mo. USD SOFR + 1.03% thereafter)(6) |
1,563,825
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Banks - 7.6% - (continued) |
| $ 676,000
|
2.24%,
07/21/2032, (2.24% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) |
$ 553,748
|
| 672,000
|
2.48%,
01/21/2028, (2.48% fixed rate until 01/21/2027; 6 mo. USD SOFR + 1.00% thereafter)(6) |
626,265 |
| 1,179,000
|
2.70%,
01/22/2031, (2.70% fixed rate until 01/22/2030; 6 mo. USD SOFR + 1.14% thereafter)(6) |
1,033,614 |
| 684,000
|
3.62%,
04/01/2031, (3.62% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.12% thereafter)(6) |
630,607 |
| 1,080,000
|
4.43%,
01/23/2030, (4.43% fixed rate until 01/23/2029; 3 mo. USD Term SOFR + 1.89% thereafter)(6) |
1,051,963 |
| 1,462,000
|
5.16%,
04/20/2029, (5.16% fixed rate until 04/20/2028; 6 mo. USD SOFR + 1.59% thereafter)(6) |
1,470,738 |
| 495,000
|
5.45%,
07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) |
503,917 |
| 150,000
|
5.47%,
01/18/2035, (5.47% fixed rate until 01/18/2034; 6 mo. USD SOFR + 1.73% thereafter)(6) |
152,957 |
| 3,275,000
|
6.41%,
11/01/2029, (6.41% fixed rate until 11/01/2028; 6 mo. USD SOFR + 1.83% thereafter)(6) |
3,468,770
|
|
|
OTP
Bank Nyrt |
|
| EUR
1,000,000 |
7.35%,
03/04/2026, (7.35% fixed rate until 03/04/2025; 3 mo. EURIBOR + 4.52% thereafter)(6)(7) |
1,113,533
|
| $
690,000 |
7.50%,
05/25/2027, (7.50% fixed rate until 05/25/2026; 1 yr. USD CMT + 3.71% thereafter)(6)(7) |
709,279
|
|
|
PNC
Financial Services Group, Inc. |
|
| 425,000
|
5.07%,
01/24/2034, (5.07% fixed rate until 01/24/2033; 6 mo. USD SOFR + 1.93% thereafter)(6) |
417,906
|
| 500,000
|
5.68%,
01/22/2035, (5.68% fixed rate until 01/22/2034; 6 mo. USD SOFR + 1.90% thereafter)(6) |
512,498
|
| 350,000
|
6.88%,
10/20/2034, (6.88% fixed rate until 10/20/2033; 6 mo. USD SOFR + 2.28% thereafter)(6) |
389,297
|
|
|
Societe
Generale SA |
|
| 1,875,000
|
6.07%,
01/19/2035, (6.07% fixed rate until 01/19/2034; 1 yr. USD CMT + 2.10% thereafter)(1)(6) |
1,880,537
|
| 2,505,000
|
6.22%,
06/15/2033, (6.22% fixed rate until 06/15/2032; 1 yr. USD CMT + 3.20% thereafter)(1)(6) |
2,502,719
|
|
|
Standard
Chartered PLC |
|
| 1,040,000
|
7.02%,
02/08/2030, (7.02% fixed rate until 02/08/2029; 1 yr. USD CMT + 2.20% thereafter)(1)(6) |
1,099,016
|
| 470,000
|
7.77%,
11/16/2028, (7.77% fixed rate until 11/16/2027; 1 yr. USD CMT + 3.45% thereafter)(1)(6) |
506,357
|
| 525,000
|
Truist
Financial Corp. 5.44%, 01/24/2030, (5.44% fixed rate until 01/24/2029; 6 mo. USD SOFR + 1.62% thereafter)(6) |
528,964
|
|
|
UBS
Group AG |
|
| 700,000
|
2.10%,
02/11/2032, (2.10% fixed rate until 02/11/2031; 1 yr. USD CMT + 1.00% thereafter)(1)(6) |
562,197
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Banks - 7.6% - (continued) |
| $ 350,000
|
3.09%,
05/14/2032, (3.09% fixed rate until 05/14/2031; 6 mo. USD SOFR + 1.73% thereafter)(1)(6) |
$ 300,239
|
| 680,000
|
4.19%,
04/01/2031, (4.19% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.73% thereafter)(1)(6) |
636,568 |
| 295,000
|
4.28%,
01/09/2028(1) |
287,480 |
| 810,000
|
4.75%,
05/12/2028, (4.75% fixed rate until 05/12/2027; 1 yr. USD CMT + 1.75% thereafter)(1)(6) |
798,192 |
| 715,000
|
5.43%,
02/08/2030, (5.43% fixed rate until 02/08/2029; 1 yr. USD CMT + 1.52% thereafter)(1)(6) |
720,073 |
| 455,000
|
5.71%,
01/12/2027, (5.71% fixed rate until 01/12/2026; 1 yr. USD CMT + 1.55% thereafter)(1)(6) |
457,703 |
| 1,365,000
|
6.25%,
09/22/2029, (6.25% fixed rate until 09/22/2028; 1 yr. USD CMT + 1.80% thereafter)(1)(6) |
1,421,524 |
| 2,125,000
|
6.54%,
08/12/2033, (6.54% fixed rate until 08/12/2032; 6 mo. USD SOFR + 3.92% thereafter)(1)(6) |
2,260,446 |
|
|
Wells
Fargo & Co. |
|
| 1,520,000
|
2.57%,
02/11/2031, (2.57% fixed rate until 02/11/2030; 3 mo. USD Term SOFR + 1.26% thereafter)(6) |
1,321,465
|
| 1,086,000
|
2.88%,
10/30/2030, (2.88% fixed rate until 10/30/2029; 3 mo. USD Term SOFR + 1.43% thereafter)(6) |
966,892
|
| 1,694,000
|
3.35%,
03/02/2033, (3.35% fixed rate until 03/02/2032; 6 mo. USD SOFR + 1.50% thereafter)(6) |
1,485,272
|
| 1,781,000
|
4.90%,
07/25/2033, (4.90% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.10% thereafter)(6) |
1,739,040
|
| 127,000
|
5.01%,
04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD Term SOFR + 4.50% thereafter)(6) |
120,927
|
| 314,000
|
5.39%,
04/24/2034, (5.39% fixed rate until 04/24/2033; 6 mo. USD SOFR + 2.02% thereafter)(6) |
316,466
|
| 730,000
|
5.50%,
01/23/2035, (5.50% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.78% thereafter)(6) |
743,362
|
| 3,730,000
|
5.57%,
07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(6) |
3,810,525
|
| 500,000
|
6.30%,
10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(6) |
526,652
|
|
|
|
|
109,168,268
|
| |
Commercial
Services - 0.8% |
|
|
Ashtead
Capital, Inc. |
|
| 625,000
|
4.00%,
05/01/2028(1) |
591,419
|
| 1,600,000
|
4.38%,
08/15/2027(1) |
1,544,640
|
| 600,000
|
5.50%,
08/11/2032(1) |
596,514
|
| 205,000
|
5.55%,
05/30/2033(1) |
203,138
|
| 560,000
|
5.80%,
04/15/2034(1) |
563,340
|
| 200,000
|
5.95%,
10/15/2033(1) |
203,457
|
| 1,971,000
|
Gartner,
Inc. 4.50%, 07/01/2028(1) |
1,883,675
|
|
|
Howard
University |
|
| 100,000
|
2.39%,
10/01/2027 |
90,825
|
| 100,000
|
2.70%,
10/01/2029 |
89,020
|
| 325,000
|
2.80%,
10/01/2030 |
286,458
|
| 105,000
|
2.90%,
10/01/2031 |
91,278
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Commercial
Services - 0.8% - (continued) |
| $ 265,000
|
3.48%,
10/01/2041 |
$ 194,402
|
|
|
Service
Corp. International |
|
| 1,970,000
|
3.38%,
08/15/2030 |
1,717,840 |
| 341,000
|
4.63%,
12/15/2027 |
330,388 |
| 2,985,000
|
5.13%,
06/01/2029 |
2,914,106 |
|
|
United
Rentals North America, Inc. |
|
| 270,000
|
3.75%,
01/15/2032 |
237,103 |
|
50,000 |
4.88%,
01/15/2028 |
48,796
|
|
|
|
|
11,586,399
|
| |
Construction
Materials - 0.4% |
| 2,890,000
|
Builders
FirstSource, Inc. 5.00%, 03/01/2030(1) |
2,770,894
|
|
|
Standard
Industries, Inc. |
|
| 699,000
|
3.38%,
01/15/2031(1) |
592,900
|
| 2,643,000
|
4.38%,
07/15/2030(1) |
2,396,967
|
|
|
|
|
5,760,761
|
| |
Distribution/Wholesale
- 0.0% |
| 450,000
|
LKQ
Corp. 5.75%, 06/15/2028 |
459,065
|
| |
Diversified
Financial Services - 0.5% |
|
|
Capital
One Financial Corp. |
|
| 997,000
|
1.88%,
11/02/2027, (1.88% fixed rate until 11/02/2026; 6 mo. USD SOFR + 0.86% thereafter)(6) |
906,450
|
| 1,934,000
|
3.27%,
03/01/2030, (3.27% fixed rate until 03/01/2029; 6 mo. USD SOFR + 1.79% thereafter)(6) |
1,736,224
|
| 275,000
|
5.25%,
07/26/2030, (5.25% fixed rate until 07/26/2029; 6 mo. USD SOFR + 2.60% thereafter)(6) |
271,346
|
| 380,000
|
5.47%,
02/01/2029, (5.47% fixed rate until 02/01/2028; 6 mo. USD SOFR + 2.08% thereafter)(6) |
380,465
|
| 350,000
|
6.05%,
02/01/2035, (6.05% fixed rate until 02/01/2034; 6 mo. USD SOFR + 2.26% thereafter)(6) |
355,524
|
| 1,035,000
|
6.31%,
06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(6) |
1,066,585
|
| 305,000
|
6.38%,
06/08/2034, (6.38% fixed rate until 06/08/2033; 6 mo. USD SOFR + 2.86% thereafter)(6) |
316,050
|
| 845,000
|
7.62%,
10/30/2031, (7.62% fixed rate until 10/30/2030; 6 mo. USD SOFR + 3.07% thereafter)(6) |
932,705
|
| 1,635,000
|
Discover
Financial Services 7.96%, 11/02/2034, (7.96% fixed rate until 11/02/2033; 6 mo. USD SOFR + 3.37% thereafter)(6) |
1,821,257
|
|
|
|
|
7,786,606
|
| |
Electric
- 4.2% |
|
|
Alabama
Power Co. |
|
| 295,000
|
3.45%,
10/01/2049 |
221,587
|
| 728,000
|
4.15%,
08/15/2044 |
622,258
|
| 2,105,000
|
Ameren
Corp. 5.00%, 01/15/2029 |
2,115,925
|
|
|
Arizona
Public Service Co. |
|
| 350,000
|
5.55%,
08/01/2033 |
361,247
|
| 815,000
|
6.35%,
12/15/2032 |
883,269
|
|
|
Berkshire
Hathaway Energy Co. |
|
| 275,000
|
1.65%,
05/15/2031 |
221,556
|
| 265,000
|
4.50%,
02/01/2045 |
243,195
|
| 530,000
|
4.60%,
05/01/2053 |
467,163
|
|
|
Cleco
Corporate Holdings LLC |
|
| 459,000
|
3.38%,
09/15/2029 |
403,267
|
| 147,000
|
4.97%,
05/01/2046(5) |
124,214
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Electric
- 4.2% - (continued) |
|
|
Consolidated
Edison Co. of New York, Inc. |
|
| $ 345,000
|
3.20%,
12/01/2051 |
$ 242,048
|
| 112,000
|
3.95%,
04/01/2050 |
92,654 |
| 160,000
|
4.00%,
11/15/2057 |
127,798 |
| 125,000
|
4.45%,
03/15/2044 |
111,134 |
| 340,000
|
5.50%,
03/15/2034 |
354,441 |
|
|
Dominion
Energy, Inc. |
|
| 1,360,000
|
3.38%,
04/01/2030 |
1,242,710 |
| 2,255,000
|
5.38%,
11/15/2032(9) |
2,286,746
|
| 400,000
|
Duke
Energy Carolinas LLC 4.25%, 12/15/2041 |
350,794
|
|
|
Duke
Energy Corp. |
|
| 2,919,000
|
2.55%,
06/15/2031 |
2,482,245
|
| 227,700
|
3.75%,
09/01/2046 |
175,121
|
| 980,000
|
4.50%,
08/15/2032 |
941,051
|
| 1,415,000
|
4.85%,
01/05/2029 |
1,418,488
|
| 210,000
|
5.00%,
08/15/2052 |
193,922
|
|
|
Duke
Energy Indiana LLC |
|
| 220,000
|
2.75%,
04/01/2050 |
140,370
|
| 921,000
|
3.25%,
10/01/2049 |
649,207
|
|
|
Duke
Energy Progress LLC |
|
| 107,000
|
3.70%,
10/15/2046 |
83,366
|
| 325,000
|
4.00%,
04/01/2052 |
261,254
|
|
|
Edison
International |
|
| 230,000
|
4.13%,
03/15/2028 |
222,974
|
| 1,085,000
|
5.25%,
11/15/2028 |
1,094,727
|
| 2,047,000
|
6.95%,
11/15/2029 |
2,220,087
|
| 515,000
|
Emera,
Inc. 6.75%, 06/15/2076 |
504,622
|
| 450,000
|
Enel
Finance International NV 1.38%, 07/12/2026(1) |
411,395
|
|
|
Evergy
Metro, Inc. |
|
| 372,000
|
2.25%,
06/01/2030 |
320,263
|
| 121,000
|
4.13%,
04/01/2049 |
98,073
|
|
|
Evergy,
Inc. |
|
| 939,000
|
2.45%,
09/15/2024 |
921,358
|
| 208,000
|
2.90%,
09/15/2029 |
187,234
|
|
|
Eversource
Energy |
|
| 1,720,000
|
5.13%,
05/15/2033 |
1,690,548
|
| 540,000
|
5.50%,
01/01/2034 |
545,534
|
| 1,040,000
|
5.95%,
02/01/2029 |
1,080,944
|
|
|
Georgia
Power Co. |
|
| 548,000
|
4.30%,
03/15/2042 |
484,175
|
| 435,000
|
4.95%,
05/17/2033 |
434,669
|
| 545,000
|
Investment
Energy Resources Ltd. 6.25%, 04/26/2029(1) |
518,279
|
| 251,000
|
IPALCO
Enterprises, Inc. 3.70%, 09/01/2024 |
247,558
|
| 725,000
|
Kentucky
Power Co. 7.00%, 11/15/2033(1) |
779,454
|
| 455,000
|
Monongahela
Power Co. 5.85%, 02/15/2034(1) |
474,158
|
| 525,000
|
National
Rural Utilities Cooperative Finance Corp. 5.80%, 01/15/2033 |
553,789
|
|
|
NextEra
Energy Capital Holdings, Inc. |
|
| 1,305,000
|
1.88%,
01/15/2027 |
1,204,119
|
| 1,130,000
|
2.25%,
06/01/2030 |
964,899
|
| 910,000
|
4.63%,
07/15/2027 |
906,910
|
| 350,000
|
5.00%,
02/28/2030 |
352,246
|
| 865,000
|
5.00%,
07/15/2032 |
860,347
|
| 1,275,000
|
Niagara
Mohawk Power Corp. 5.29%, 01/17/2034(1) |
1,274,204
|
| 130,000
|
NRG
Energy, Inc. 2.45%, 12/02/2027(1) |
117,149
|
| 484,000
|
Oglethorpe
Power Corp. 4.50%, 04/01/2047 |
407,596
|
| 600,000
|
Ohio
Edison Co. 5.50%, 01/15/2033(1) |
604,299
|
| 740,000
|
Oncor
Electric Delivery Co. LLC 5.65%, 11/15/2033 |
783,108
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Electric
- 4.2% - (continued) |
|
|
Pacific
Gas & Electric Co. |
|
| $ 975,500
|
2.50%,
02/01/2031 |
$ 808,019
|
| 245,000
|
4.40%,
03/01/2032 |
226,481 |
| 689,000
|
4.50%,
07/01/2040 |
592,227 |
| 3,244,000
|
4.55%,
07/01/2030 |
3,097,806 |
| 515,000
|
5.90%,
06/15/2032 |
526,306 |
| 1,686,000
|
6.10%,
01/15/2029 |
1,746,765 |
| 1,224,000
|
6.15%,
01/15/2033 |
1,271,128 |
| 1,410,000
|
6.40%,
06/15/2033 |
1,495,316
|
| 205,000
|
PPL
Capital Funding, Inc. 4.13%, 04/15/2030 |
194,995
|
| 370,000
|
Public
Service Enterprise Group, Inc. 6.13%, 10/15/2033 |
395,122
|
|
|
Puget
Energy, Inc. |
|
| 750,000
|
2.38%,
06/15/2028 |
670,239
|
| 30,000
|
3.65%,
05/15/2025 |
29,309
|
| 1,346,000
|
4.10%,
06/15/2030 |
1,235,854
|
| 289,000
|
4.22%,
03/15/2032 |
263,619
|
| 1,160,000
|
Sempra
5.40%, 08/01/2026 |
1,174,087
|
|
|
Southern
California Edison Co. |
|
| 75,000
|
3.65%,
02/01/2050 |
56,998
|
| 313,000
|
4.05%,
03/15/2042 |
262,796
|
| 1,370,000
|
5.20%,
06/01/2034 |
1,379,122
|
| 100,000
|
5.30%,
03/01/2028 |
102,572
|
|
|
Southern
Co. |
|
| 100,000
|
0.60%,
02/26/2024 |
99,659
|
| 1,645,000
|
3.25%,
07/01/2026 |
1,587,438
|
| 1,050,000
|
5.20%,
06/15/2033 |
1,061,493
|
| 906,000
|
Southwestern
Electric Power Co. 5.30%, 04/01/2033 |
908,580
|
|
|
Virginia
Electric & Power Co. |
|
| 359,000
|
2.45%,
12/15/2050 |
215,988
|
| 930,000
|
5.00%,
04/01/2033 |
932,565
|
| 1,195,000
|
5.00%,
01/15/2034 |
1,189,007
|
| 320,000
|
5.35%,
01/15/2054 |
318,522
|
|
|
Xcel
Energy, Inc. |
|
| 100,000
|
1.75%,
03/15/2027 |
91,568
|
| 59,000
|
4.00%,
06/15/2028 |
57,423
|
| 438,000
|
4.60%,
06/01/2032 |
424,518
|
|
|
|
|
59,497,270
|
| |
Energy-Alternate
Sources - 0.2% |
| 1,430,000
|
Energo-Pro
AS 8.50%, 02/04/2027(1) |
1,421,663
|
| 470,000
|
FS
Luxembourg SARL 10.00%, 12/15/2025(1) |
491,993
|
| 787,500
|
Greenko
Power II Ltd. 4.30%, 12/13/2028(7) |
713,766
|
|
|
|
|
2,627,422
|
| |
Engineering
& Construction - 0.2% |
| 1,235,000
|
IHS
Holding Ltd. 6.25%, 11/29/2028(1) |
1,041,293
|
|
|
International
Airport Finance SA |
|
| 1,106,685
|
12.00%,
03/15/2033(1) |
1,127,325
|
| 510,038
|
12.00%,
03/15/2033(7) |
519,550
|
|
|
|
|
2,688,168
|
| |
Entertainment
- 0.3% |
|
|
Warnermedia
Holdings, Inc. |
|
| 1,146,000
|
4.28%,
03/15/2032 |
1,048,059
|
| 295,000
|
5.14%,
03/15/2052 |
252,681
|
|
|
WMG
Acquisition Corp. |
|
| 715,000
|
3.75%,
12/01/2029(1) |
644,251
|
| 2,830,000
|
3.88%,
07/15/2030(1) |
2,522,238
|
|
|
|
|
4,467,229
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Environmental
Control - 0.2% |
| $ 2,009,000
|
Clean
Harbors, Inc. 4.88%, 07/15/2027(1) |
$ 1,944,851
|
|
785,000 |
Veralto
Corp. 5.35%, 09/18/2028(1) |
801,154
|
|
|
|
|
2,746,005
|
| |
Food
- 0.3% |
|
|
Conagra
Brands, Inc. |
|
| 107,000
|
4.30%,
05/01/2024 |
106,584 |
| 460,000
|
4.85%,
11/01/2028 |
458,131 |
| 200,000
|
General
Mills, Inc. 4.95%, 03/29/2033 |
199,975
|
| 845,000
|
Minerva
Luxembourg SA 8.88%, 09/13/2033(1) |
885,405
|
|
|
NBM
U.S. Holdings, Inc. |
|
| 835,000
|
7.00%,
05/14/2026(1) |
837,045
|
| 575,000
|
7.00%,
05/14/2026(7) |
576,408
|
| 515,000
|
Sysco
Corp. 5.75%, 01/17/2029 |
536,842
|
|
|
|
|
3,600,390
|
| |
Gas
- 0.4% |
| 1,445,000
|
Brooklyn
Union Gas Co. 6.39%, 09/15/2033(1) |
1,498,381
|
| 518,000
|
KeySpan
Gas East Corp. 5.99%, 03/06/2033(1) |
524,424
|
|
|
NiSource,
Inc. |
|
| 52,000
|
1.70%,
02/15/2031 |
41,971
|
| 251,000
|
3.49%,
05/15/2027 |
241,738
|
| 799,000
|
3.60%,
05/01/2030 |
744,337
|
| 791,000
|
5.25%,
03/30/2028 |
806,519
|
| 620,000
|
5.40%,
06/30/2033 |
634,889
|
| 680,000
|
Southern
California Gas Co. 5.20%, 06/01/2033 |
694,567
|
| 200,000
|
Southern
Co. Gas Capital Corp. 5.75%, 09/15/2033 |
209,233
|
|
|
|
|
5,396,059
|
| |
Hand/Machine
Tools - 0.2% |
|
|
Regal
Rexnord Corp. |
|
| 2,102,000
|
6.05%,
04/15/2028(1) |
2,132,746
|
| 580,000
|
6.30%,
02/15/2030(1) |
595,781
|
|
|
|
|
2,728,527
|
| |
Healthcare
- Products - 0.3% |
|
|
Alcon
Finance Corp. |
|
| 806,000
|
2.75%,
09/23/2026(1) |
762,517
|
| 435,000
|
3.00%,
09/23/2029(1) |
396,501
|
| 455,000
|
5.38%,
12/06/2032(1) |
467,749
|
| 200,000
|
5.75%,
12/06/2052(1) |
211,705
|
| 1,906,000
|
Avantor
Funding, Inc. 4.63%, 07/15/2028(1) |
1,818,202
|
| 380,000
|
Haleon
U.S. Capital LLC 3.38%, 03/24/2029 |
357,983
|
| 647,000
|
Hologic,
Inc. 4.63%, 02/01/2028(1) |
624,760
|
|
|
|
|
4,639,417
|
| |
Healthcare
- Services - 0.5% |
|
|
Centene
Corp. |
|
| 665,000
|
2.45%,
07/15/2028 |
591,858
|
| 215,000
|
4.25%,
12/15/2027 |
206,770
|
| 1,865,000
|
4.63%,
12/15/2029 |
1,786,798
|
| 60,000
|
CommonSpirit
Health 3.35%, 10/01/2029 |
55,411
|
| 1,305,000
|
HCA,
Inc. 3.38%, 03/15/2029 |
1,204,394
|
|
|
Humana,
Inc. |
|
| 350,000
|
1.35%,
02/03/2027 |
316,244
|
| 75,000
|
2.15%,
02/03/2032 |
60,684
|
| 296,000
|
3.70%,
03/23/2029 |
281,062
|
| 175,000
|
5.75%,
12/01/2028 |
181,236
|
|
|
Kaiser
Foundation Hospitals |
|
| 1,000
|
2.81%,
06/01/2041 |
750
|
| 805,000
|
3.00%,
06/01/2051 |
565,877
|
| 87,000
|
Sutter
Health 3.36%, 08/15/2050 |
64,973
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Healthcare
- Services - 0.5% - (continued) |
|
|
UnitedHealth
Group, Inc. |
|
| $ 1,043,000
|
2.75%,
05/15/2040 |
$ 787,268
|
| 60,000
|
4.45%,
12/15/2048 |
54,384 |
| 175,000
|
4.95%,
05/15/2062 |
168,877 |
|
265,000 |
5.35%,
02/15/2033 |
276,905
|
|
|
|
|
6,603,491
|
| |
Home
Builders - 0.2% |
|
|
Taylor
Morrison Communities, Inc. |
|
| 815,000
|
5.13%,
08/01/2030(1) |
776,260
|
| 2,208,000
|
5.75%,
01/15/2028(1) |
2,192,273
|
|
|
|
|
2,968,533
|
| |
Insurance
- 0.9% |
| 435,000
|
Aon
Corp./Aon Global Holdings PLC 5.35%, 02/28/2033 |
444,213
|
|
|
Athene
Global Funding |
|
| 510,000
|
2.50%,
03/24/2028(1) |
456,691
|
| 1,245,000
|
2.65%,
10/04/2031(1) |
1,016,886
|
| 2,105,000
|
2.72%,
01/07/2029(1) |
1,848,174
|
| 745,000
|
Athene
Holding Ltd. 5.88%, 01/15/2034 |
746,621
|
|
|
Corebridge
Financial, Inc. |
|
| 485,000
|
3.85%,
04/05/2029 |
457,813
|
| 270,000
|
6.05%,
09/15/2033(1) |
282,390
|
| 2,023,000
|
Equitable
Financial Life Global Funding 1.80%, 03/08/2028(1) |
1,790,657
|
| 760,000
|
Equitable
Holdings, Inc. 4.35%, 04/20/2028 |
738,823
|
| 1,260,000
|
GA
Global Funding Trust 5.50%, 01/08/2029(1) |
1,266,662
|
|
|
Marsh
& McLennan Cos., Inc. |
|
| 25,000
|
4.38%,
03/15/2029 |
24,774
|
| 460,000
|
4.75%,
03/15/2039 |
449,561
|
|
|
Metropolitan
Life Global Funding I |
|
| 2,025,000
|
2.40%,
01/11/2032(1) |
1,675,038
|
| 620,000
|
5.15%,
03/28/2033(1) |
626,066
|
| 979,000
|
Principal
Life Global Funding II 5.10%, 01/25/2029(1) |
985,235
|
| 465,000
|
Protective
Life Global Funding 5.47%, 12/08/2028(1) |
477,519
|
|
|
|
|
13,287,123
|
| |
Internet
- 0.5% |
|
|
Gen
Digital, Inc. |
|
| 2,455,000
|
5.00%,
04/15/2025(1) |
2,441,817
|
| 1,270,000
|
6.75%,
09/30/2027(1) |
1,289,157
|
|
|
Go
Daddy Operating Co. LLC/GD Finance Co., Inc. |
|
| 1,225,000
|
3.50%,
03/01/2029(1) |
1,102,500
|
| 2,383,000
|
5.25%,
12/01/2027(1) |
2,339,629
|
|
|
|
|
7,173,103
|
| |
Investment
Company Security - 0.0% |
| 405,000
|
New
Mountain Finance Corp. 6.88%, 02/01/2029 |
404,245
|
| |
Iron/Steel
- 0.0% |
| 130,000
|
Vale
Overseas Ltd. 3.75%, 07/08/2030 |
117,877
|
| |
IT
Services - 0.2% |
| 2,505,000
|
Booz
Allen Hamilton, Inc. 3.88%, 09/01/2028(1) |
2,359,159
|
| |
Machinery-Diversified
- 0.1% |
| 300,000
|
Ingersoll
Rand, Inc. 5.70%, 08/14/2033 |
312,936
|
| 878,000
|
Otis
Worldwide Corp. 2.57%, 02/15/2030 |
776,678
|
|
|
|
|
1,089,614
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Media
- 1.1% |
|
|
Charter
Communications Operating LLC/Charter Communications Operating Capital |
|
| $ 310,000
|
2.25%,
01/15/2029 |
$ 267,567
|
| 929,000
|
3.50%,
03/01/2042 |
637,288 |
| 1,364,000
|
5.05%,
03/30/2029 |
1,341,098 |
| 1,194,000
|
5.13%,
07/01/2049 |
952,996 |
| 1,190,000
|
5.38%,
05/01/2047 |
994,136 |
| 1,059,000
|
5.75%,
04/01/2048 |
921,565 |
| 292,000
|
6.48%,
10/23/2045 |
280,328 |
|
|
Comcast
Corp. |
|
| 100,000
|
2.65%,
08/15/2062 |
58,766
|
| 127,000
|
2.89%,
11/01/2051 |
84,128
|
| 461,000
|
3.20%,
07/15/2036 |
387,415
|
| 583,000
|
3.75%,
04/01/2040 |
498,448
|
|
|
Cox
Communications, Inc. |
|
| 685,000
|
2.60%,
06/15/2031(1) |
572,301
|
| 67,000
|
3.15%,
08/15/2024(1) |
66,063
|
|
|
Discovery
Communications LLC |
|
| 513,000
|
3.63%,
05/15/2030 |
464,731
|
| 75,600
|
3.95%,
03/20/2028 |
72,240
|
| 215,000
|
4.00%,
09/15/2055 |
151,652
|
| 354,000
|
5.20%,
09/20/2047 |
305,572
|
| 934,000
|
5.30%,
05/15/2049 |
808,482
|
| 1,173,000
|
6.35%,
06/01/2040 |
1,189,390
|
|
|
Paramount
Global |
|
| 229,000
|
4.90%,
08/15/2044 |
182,237
|
| 940,000
|
4.95%,
01/15/2031(9) |
888,128
|
| 795,000
|
5.25%,
04/01/2044 |
654,549
|
|
|
Sirius
XM Radio, Inc. |
|
| 1,255,000
|
4.00%,
07/15/2028(1) |
1,140,565
|
| 2,731,000
|
4.13%,
07/01/2030(1) |
2,386,211
|
|
|
|
|
15,305,856
|
| |
Mining
- 0.3% |
| 1,120,000
|
Anglo
American Capital PLC 2.63%, 09/10/2030(1) |
956,154
|
|
|
Corp.
Nacional del Cobre de Chile |
|
| 715,000
|
5.95%,
01/08/2034(1) |
714,437
|
| 1,225,000
|
6.44%,
01/26/2036(1) |
1,250,676
|
| 1,771,000
|
Glencore
Funding LLC 6.38%, 10/06/2030(1) |
1,897,173
|
|
|
|
|
4,818,440
|
| |
Office/Business
Equipment - 0.1% |
|
|
CDW
LLC/CDW Finance Corp. |
|
| 225,000
|
2.67%,
12/01/2026 |
210,412
|
| 1,299,000
|
3.25%,
02/15/2029 |
1,174,555
|
|
|
|
|
1,384,967
|
| |
Oil
& Gas - 1.9% |
|
|
Aker
BP ASA |
|
| 600,000
|
2.00%,
07/15/2026(1) |
555,608
|
| 420,000
|
3.10%,
07/15/2031(1) |
359,840
|
| 1,120,000
|
5.60%,
06/13/2028(1) |
1,139,180
|
| 620,000
|
6.00%,
06/13/2033(1) |
642,504
|
|
|
BP
Capital Markets America, Inc. |
|
| 85,000
|
2.94%,
06/04/2051 |
57,862
|
| 500,000
|
3.06%,
06/17/2041 |
382,508
|
| 120,000
|
3.38%,
02/08/2061 |
84,805
|
| 1,039,000
|
4.81%,
02/13/2033 |
1,037,632
|
| 960,000
|
4.89%,
09/11/2033 |
963,481
|
| 845,000
|
4.99%,
04/10/2034 |
849,706
|
|
|
ConocoPhillips
Co. |
|
| 107,000
|
4.03%,
03/15/2062 |
85,770
|
| 475,000
|
5.05%,
09/15/2033 |
483,002
|
| 965,000
|
5.70%,
09/15/2063 |
1,019,199
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Oil
& Gas - 1.9% - (continued) |
| $ 470,000
|
Diamondback
Energy, Inc. 6.25%, 03/15/2033 |
$ 500,931
|
|
|
Ecopetrol
SA |
|
| 890,000
|
4.63%,
11/02/2031 |
733,659 |
| 2,295,000
|
8.38%,
01/19/2036 |
2,318,983 |
| 2,160,000
|
8.63%,
01/19/2029 |
2,283,556 |
|
|
Energian
Israel Finance Ltd. |
|
| 885,000
|
5.88%,
03/30/2031(7) |
735,357 |
| 600,000
|
8.50%,
09/30/2033(7) |
562,067 |
|
|
Equinor
ASA |
|
| 375,000
|
3.25%,
11/18/2049 |
279,200
|
| 350,000
|
3.70%,
04/06/2050 |
283,469
|
|
|
Hess
Corp. |
|
| 1,131,000
|
7.13%,
03/15/2033 |
1,309,048
|
| 674,000
|
7.30%,
08/15/2031 |
778,532
|
| 1,225,000
|
Leviathan
Bond Ltd. 6.50%, 06/30/2027(7) |
1,139,735
|
| 515,000
|
Marathon
Oil Corp. 6.60%, 10/01/2037 |
539,567
|
|
|
Occidental
Petroleum Corp. |
|
| 112,000
|
6.13%,
01/01/2031 |
116,278
|
| 1,450,000
|
6.63%,
09/01/2030 |
1,545,990
|
| 110,000
|
7.50%,
05/01/2031 |
122,740
|
| 494,000
|
Ovintiv,
Inc. 6.63%, 08/15/2037 |
515,109
|
|
|
Patterson-UTI
Energy, Inc. |
|
| 825,000
|
5.15%,
11/15/2029 |
795,489
|
| 1,465,000
|
7.15%,
10/01/2033 |
1,566,246
|
|
|
Shell
International Finance BV |
|
| 8,000
|
2.88%,
11/26/2041 |
5,994
|
| 982,000
|
3.00%,
11/26/2051 |
684,360
|
| 249,000
|
3.25%,
04/06/2050 |
182,810
|
| 2,025,000
|
Viper
Energy, Inc. 5.38%, 11/01/2027(1) |
1,992,620
|
|
|
|
|
26,652,837
|
| |
Packaging
& Containers - 0.3% |
| 3,900,000
|
Ball
Corp. 6.00%, 06/15/2029 |
3,938,692
|
| |
Pharmaceuticals
- 0.2% |
| 1,200,000
|
Bayer
U.S. Finance LLC 6.38%, 11/21/2030(1) |
1,228,295
|
| 25,000
|
Cigna
Group 1.25%, 03/15/2026 |
23,143
|
|
|
CVS
Health Corp. |
|
| 610,000
|
2.70%,
08/21/2040 |
429,130
|
| 730,000
|
4.13%,
04/01/2040 |
618,845
|
|
|
|
|
2,299,413
|
| |
Pipelines
- 1.5% |
|
|
Cheniere
Energy Partners LP |
|
| 310,000
|
3.25%,
01/31/2032 |
263,390
|
| 489,000
|
4.50%,
10/01/2029 |
466,679
|
| 1,560,000
|
Columbia
Pipelines Holding Co. LLC 6.04%, 08/15/2028(1) |
1,614,414
|
|
|
Columbia
Pipelines Operating Co. LLC |
|
| 455,000
|
5.93%,
08/15/2030(1) |
472,571
|
| 865,000
|
6.04%,
11/15/2033(1) |
906,948
|
| 590,000
|
6.54%,
11/15/2053(1) |
647,044
|
| 1,630,000
|
EIG
Pearl Holdings SARL 3.55%, 08/31/2036(1) |
1,374,253
|
|
|
Enbridge,
Inc. |
|
| 1,968,000
|
5.70%,
03/08/2033 |
2,032,910
|
| 500,000
|
6.00%,
11/15/2028 |
524,567
|
| 880,000
|
8.50%,
01/15/2084, (8.50% fixed rate until 10/15/2033; 5 yr. USD CMT + 4.43% thereafter)(6) |
941,130
|
|
|
Energy
Transfer LP |
|
| 75,100
|
4.25%,
04/01/2024 |
74,876
|
| 430,000
|
5.15%,
02/01/2043 |
387,812
|
| 1,560,000
|
6.40%,
12/01/2030 |
1,657,832
|
|
|
EQM
Midstream Partners LP |
|
| 60,000
|
5.50%,
07/15/2028 |
59,435
|
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Pipelines
- 1.5% - (continued) |
| $ 255,000
|
6.50%,
07/01/2027(1) |
$ 258,240
|
| 532,812
|
Galaxy
Pipeline Assets Bidco Ltd. 2.94%, 09/30/2040(1) |
426,537 |
|
|
Greensaif
Pipelines Bidco SARL |
|
| 1,555,000
|
6.13%,
02/23/2038(1) |
1,589,731 |
| 1,040,000
|
6.51%,
02/23/2042(1) |
1,063,393 |
|
|
ONEOK,
Inc. |
|
| 210,000
|
3.10%,
03/15/2030 |
188,767 |
| 475,000
|
3.40%,
09/01/2029 |
439,019 |
| 860,000
|
4.35%,
03/15/2029 |
838,265
|
| 60,000
|
6.00%,
06/15/2035 |
61,703
|
| 270,000
|
6.10%,
11/15/2032 |
284,248
|
|
|
Targa
Resources Corp. |
|
| 210,000
|
6.13%,
03/15/2033 |
220,223
|
| 595,000
|
6.15%,
03/01/2029 |
621,466
|
| 330,000
|
6.25%,
07/01/2052 |
341,276
|
|
|
Targa
Resources Partners LP/Targa Resources Partners Finance Corp. |
|
| 515,000
|
4.00%,
01/15/2032 |
464,180
|
| 100,000
|
4.88%,
02/01/2031 |
95,900
|
|
|
Transcontinental
Gas Pipe Line Co. LLC |
|
| 205,000
|
3.25%,
05/15/2030 |
186,873
|
| 35,000
|
4.00%,
03/15/2028 |
34,028
|
|
|
Western
Midstream Operating LP |
|
| 65,000
|
4.05%,
02/01/2030(5) |
60,753
|
| 495,000
|
4.75%,
08/15/2028 |
485,130
|
| 585,000
|
6.15%,
04/01/2033 |
604,902
|
|
|
Williams
Cos., Inc. |
|
| 104,000
|
3.90%,
01/15/2025 |
102,644
|
| 85,000
|
4.00%,
09/15/2025 |
83,569
|
| 910,000
|
4.65%,
08/15/2032 |
883,001
|
| 945,000
|
4.90%,
03/15/2029 |
945,947
|
|
|
|
|
21,703,656
|
| |
Real
Estate Investment Trusts - 0.6% |
|
|
American
Tower Corp. |
|
| 380,000
|
1.45%,
09/15/2026 |
347,320
|
| 100,000
|
2.40%,
03/15/2025 |
96,905
|
| 140,000
|
2.70%,
04/15/2031 |
119,877
|
| 683,000
|
3.80%,
08/15/2029 |
644,019
|
|
|
Crown
Castle, Inc. |
|
| 225,000
|
2.50%,
07/15/2031 |
187,380
|
| 420,000
|
2.90%,
03/15/2027 |
393,769
|
| 245,000
|
3.80%,
02/15/2028 |
232,852
|
| 2,180,000
|
4.80%,
09/01/2028 |
2,151,432
|
| 365,000
|
5.00%,
01/11/2028 |
362,835
|
| 925,000
|
5.60%,
06/01/2029 |
941,890
|
|
|
GLP
Capital LP/GLP Financing II, Inc. |
|
| 678,000
|
4.00%,
01/15/2031 |
603,314
|
| 260,000
|
5.30%,
01/15/2029 |
256,244
|
| 378,000
|
5.75%,
06/01/2028 |
380,702
|
| 675,000
|
SBA
Tower Trust 2.84%, 01/15/2050(1) |
653,655
|
| 1,478,000
|
VICI
Properties LP 4.95%, 02/15/2030 |
1,434,044
|
|
|
|
|
8,806,238
|
| |
Retail
- 0.4% |
|
|
AutoZone,
Inc. |
|
| 45,000
|
3.13%,
04/21/2026 |
43,421
|
| 536,000
|
4.75%,
08/01/2032 |
526,171
|
| 160,000
|
4.75%,
02/01/2033 |
156,430
|
| 490,000
|
6.55%,
11/01/2033 |
539,987
|
|
|
FirstCash,
Inc. |
|
| 2,699,000
|
4.63%,
09/01/2028(1) |
2,520,919
|
| 1,010,000
|
5.63%,
01/01/2030(1) |
962,644
|
| 907,000
|
O'Reilly
Automotive, Inc. 4.70%, 06/15/2032 |
892,848
|
|
|
|
|
5,642,420
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| CORPORATE
BONDS - 27.8% - (continued) |
| |
Semiconductors
- 0.2% |
|
|
Intel
Corp. |
|
| $ 669,000
|
3.05%,
08/12/2051 |
$ 460,995
|
| 135,000
|
5.90%,
02/10/2063 |
146,250 |
|
|
Marvell
Technology, Inc. |
|
| 1,098,000
|
2.45%,
04/15/2028 |
994,271 |
| 340,000
|
2.95%,
04/15/2031 |
296,146 |
| 666,000
|
NXP
BV/NXP Funding LLC/NXP USA, Inc. 4.30%, 06/18/2029 |
644,631
|
| 948,000
|
Qorvo,
Inc. 3.38%, 04/01/2031(1) |
813,695
|
|
|
|
|
3,355,988
|
| |
Software
- 1.1% |
| 2,365,000
|
Black
Knight InfoServ LLC 3.63%, 09/01/2028(1) |
2,229,012
|
| 752,000
|
Fair
Isaac Corp. 4.00%, 06/15/2028(1) |
702,737
|
|
|
MSCI,
Inc. |
|
| 959,000
|
3.63%,
11/01/2031(1) |
841,888
|
| 341,000
|
3.88%,
02/15/2031(1) |
307,852
|
|
|
Open
Text Corp. |
|
| 2,895,000
|
3.88%,
12/01/2029(1) |
2,611,073
|
| 1,925,000
|
6.90%,
12/01/2027(1) |
1,995,397
|
| 702,000
|
Open
Text Holdings, Inc. 4.13%, 12/01/2031(1) |
620,361
|
|
|
Oracle
Corp. |
|
| 300,000
|
2.88%,
03/25/2031 |
263,822
|
| 220,000
|
2.95%,
04/01/2030 |
198,062
|
| 401,000
|
3.60%,
04/01/2040 |
319,893
|
| 846,000
|
3.60%,
04/01/2050 |
621,031
|
| 944,000
|
3.85%,
04/01/2060 |
683,525
|
| 150,000
|
3.95%,
03/25/2051 |
116,577
|
| 170,000
|
4.00%,
07/15/2046 |
136,633
|
| 570,000
|
4.00%,
11/15/2047 |
453,464
|
| 85,000
|
4.13%,
05/15/2045 |
69,679
|
| 863,000
|
6.15%,
11/09/2029 |
920,609
|
| 3,021,000
|
SS&C
Technologies, Inc. 5.50%, 09/30/2027(1) |
2,975,957
|
|
|
|
|
16,067,572
|
| |
Telecommunications
- 0.3% |
|
|
AT&T,
Inc. |
|
| 190,000
|
2.55%,
12/01/2033 |
154,018
|
| 6,000
|
3.55%,
09/15/2055 |
4,257
|
| 1,527,000
|
3.80%,
12/01/2057 |
1,124,392
|
| 995,000
|
5.40%,
02/15/2034 |
1,019,734
|
| 56,000
|
Rogers
Communications, Inc. 4.30%, 02/15/2048 |
46,820
|
|
|
T-Mobile
USA, Inc. |
|
| 586,000
|
2.05%,
02/15/2028 |
528,439
|
| 1,162,000
|
3.88%,
04/15/2030 |
1,098,094
|
| 30,000
|
5.05%,
07/15/2033 |
30,000
|
| 585,000
|
5.75%,
01/15/2034 |
615,553
|
| 260,000
|
5.80%,
09/15/2062 |
273,758
|
|
|
|
|
4,895,065
|
| |
Trucking
& Leasing - 0.4% |
| 1,615,000
|
DAE
Funding LLC 1.55%, 08/01/2024(1) |
1,573,699
|
|
|
Penske
Truck Leasing Co. LP/PTL Finance Corp. |
|
| 1,145,000
|
2.70%,
11/01/2024(1) |
1,119,651
|
| 1,718,000
|
4.00%,
07/15/2025(1) |
1,683,493
|
| 585,000
|
4.40%,
07/01/2027(1) |
572,127
|
| 380,000
|
6.05%,
08/01/2028(1) |
394,555
|
|
|
|
|
5,343,525
|
|
|
Total
Corporate Bonds
(cost $399,492,370) |
$
397,704,089 |
| Shares
or Principal Amount |
|
Market
Value† |
| FOREIGN
GOVERNMENT OBLIGATIONS - 3.0% |
| |
Angola
- 0.0% |
|
|
Angola
Government International Bonds |
|
| $ 580,000
|
8.00%,
11/26/2029(7) |
$ 503,697
|
|
290,000 |
8.75%,
04/14/2032(1) |
248,864
|
|
|
|
|
752,561
|
| |
Bermuda
- 0.1% |
|
|
Bermuda
Government International Bonds |
|
| 455,000
|
2.38%,
08/20/2030(1) |
382,791 |
|
1,305,000 |
5.00%,
07/15/2032(1) |
1,265,850
|
|
|
|
|
1,648,641
|
| |
Brazil
- 0.3% |
| BRL
25,006,000 |
Brazil
Notas do Tesouro Nacional 10.00%, 01/01/2031 |
4,942,315
|
| |
Chile
- 0.1% |
|
|
Chile
Government International Bonds |
|
| EUR
790,000 |
1.25%,
01/22/2051 |
463,398
|
| $
775,000 |
4.95%,
01/05/2036 |
760,197
|
|
|
|
|
1,223,595
|
| |
Colombia
- 0.2% |
|
|
Colombia
Government International Bonds |
|
| 1,175,000
|
5.00%,
06/15/2045 |
856,499
|
| 885,000
|
5.20%,
05/15/2049 |
653,001
|
| 1,610,000
|
5.63%,
02/26/2044 |
1,281,749
|
|
|
|
|
2,791,249
|
| |
Costa
Rica - 0.1% |
| 1,150,000
|
Costa
Rica Government International Bonds 6.55%, 04/03/2034(1) |
1,176,454
|
| |
Hungary
- 0.3% |
|
|
Hungary
Government International Bonds |
|
| EUR
2,980,000 |
1.63%,
04/28/2032(7) |
2,597,098
|
| $
345,000 |
5.50%,
03/26/2036(1) |
337,769
|
| 1,495,000
|
6.13%,
05/22/2028(1) |
1,537,757
|
|
|
|
|
4,472,624
|
| |
Indonesia
- 0.2% |
|
|
Indonesia
Government International Bonds |
|
| EUR
2,600,000 |
1.10%,
03/12/2033 |
2,224,098
|
| 100,000
|
2.15%,
07/18/2024(7) |
107,451
|
|
|
|
|
2,331,549
|
| |
Ivory
Coast - 0.1% |
| 1,290,000
|
Ivory
Coast Government International Bonds 4.88%, 01/30/2032(7) |
1,173,558
|
| |
Mexico
- 0.4% |
|
|
Mexico
Government International Bonds |
|
| $
850,000 |
3.50%,
02/12/2034 |
711,655
|
| 4,020,000
|
6.00%,
05/07/2036 |
4,092,578
|
| 200,000
|
6.34%,
05/04/2053 |
199,254
|
| 400,000
|
6.40%,
05/07/2054 |
402,457
|
|
|
|
|
5,405,944
|
| |
North
Macedonia - 0.2% |
|
|
North
Macedonia Government International Bonds |
|
| EUR
770,000 |
2.75%,
01/18/2025(7) |
816,695
|
| 985,000
|
3.68%,
06/03/2026(1) |
1,037,858
|
| 835,000
|
3.68%,
06/03/2026(7) |
879,809
|
|
|
|
|
2,734,362
|
| |
Panama
- 0.1% |
|
|
Panama
Government International Bonds |
|
| $
600,000 |
6.85%,
03/28/2054 |
536,513
|
| 425,000
|
6.88%,
01/31/2036 |
410,066
|
|
|
|
|
946,579
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| FOREIGN
GOVERNMENT OBLIGATIONS - 3.0% - (continued) |
| |
Philippines
- 0.1% |
|
|
Philippines
Government International Bonds |
|
| EUR 1,400,000
|
1.20%,
04/28/2033 |
$ 1,215,642
|
|
900,000 |
1.75%,
04/28/2041 |
681,112
|
|
|
|
|
1,896,754
|
| |
Poland
- 0.0% |
| $
405,000 |
Bank
Gospodarstwa Krajowego 5.38%, 05/22/2033(1) |
406,349
|
| |
Romania
- 0.4% |
|
|
Romania
Government International Bonds |
|
| EUR
1,265,000 |
2.63%,
12/02/2040(1) |
922,369
|
| 5,520,000
|
2.75%,
04/14/2041(7) |
4,017,389
|
| $
774,000 |
5.88%,
01/30/2029(1) |
781,691
|
| 762,000
|
6.38%,
01/30/2034(1) |
778,183
|
|
|
|
|
6,499,632
|
| |
Saudi
Arabia - 0.4% |
|
|
Saudi
Government International Bonds |
|
| EUR
580,000 |
2.00%,
07/09/2039(7) |
476,463
|
| $
1,565,000 |
5.00%,
01/18/2053(1) |
1,388,937
|
| 3,300,000
|
5.75%,
01/16/2054(1) |
3,242,943
|
|
|
|
|
5,108,343
|
|
|
Total
Foreign Government Obligations
(cost $48,635,169) |
|
$
43,510,509 |
| MUNICIPAL
BONDS - 0.8% |
| |
Build
America Bonds - 0.1% |
| 220,000
|
Chicago
Board of Education, IL, GO 6.14%, 12/01/2039 |
$
207,854 |
| 363,000
|
Municipal
Electric Auth of Georgia, GA, Rev 6.64%, 04/01/2057 |
411,027
|
| 335,000
|
State
of California, CA, GO 7.30%, 10/01/2039 |
405,671
|
| 125,000
|
State
of Illinois, IL, GO, (AGM-CR Insured) 6.88%, 07/01/2025 |
127,185
|
|
|
|
|
1,151,737
|
| |
Development
- 0.1% |
| 1,500,000
|
New
York Transportation Dev Corp., NY, Rev 4.25%, 09/01/2035 |
1,461,638
|
| |
General
- 0.3% |
| 250,000
|
Chicago
Transit Auth Sales Tax Receipts Fund, IL, Rev 3.91%, 12/01/2040 |
217,783
|
| 1,630,000
|
County
of Riverside, CA, Rev 3.07%, 02/15/2028 |
1,556,782
|
| 1,530,000
|
Philadelphia
Auth for Industrial Dev, PA, Rev, (NATL Insured) 6.55%, 10/15/2028 |
1,641,446
|
| 1,430,000
|
State
Board of Administration Finance Corp., FL, Rev 1.26%, 07/01/2025 |
1,360,063
|
|
|
|
|
4,776,074
|
| |
School
District - 0.0% |
| 885,000
|
Chicago
Board of Education, IL, GO 6.32%, 11/01/2029 |
887,829
|
| |
Transportation
- 0.2% |
|
|
Metropolitan
Transportation Auth, NY, Rev |
|
| 600,000
|
5.00%,
11/15/2050 |
628,907
|
| 1,840,000
|
5.18%,
11/15/2049 |
1,775,047
|
|
|
|
|
2,403,954
|
| Shares
or Principal Amount |
|
Market
Value† |
| MUNICIPAL
BONDS - 0.8% - (continued) |
| |
Utilities
- 0.1% |
| $ 1,355,000
|
Texas
Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 |
$ 1,383,906
|
|
|
Total
Municipal Bonds
(cost $12,601,783) |
|
$
12,065,138 |
| U.S.
GOVERNMENT AGENCIES - 49.0% |
| |
Mortgage-Backed
Agencies - 49.0% |
| |
Federal
Home Loan Mortgage Corp. - 6.9% |
| 3,103,029
|
0.64%,
01/25/2034(3)(4) |
$ 103,328
|
| 1,538,389
|
0.74%,
10/25/2026(3)(4) |
20,024 |
| 6,557,665
|
0.81%,
12/25/2030(3)(4) |
257,785 |
| 3,253,722
|
0.88%,
06/25/2027(3)(4) |
66,602
|
| 1,467,126
|
0.97%,
11/25/2030(3)(4) |
68,395
|
| 623,513
|
1.00%,
10/25/2040 |
500,968
|
| 1,143,848
|
1.00%,
02/25/2051 |
959,680
|
| 2,574,976
|
1.12%,
10/25/2030(3)(4) |
135,585
|
| 4,256,757
|
1.21%,
06/25/2030(3)(4) |
244,303
|
| 3,415,311
|
1.24%,
01/25/2030(3)(4) |
179,481
|
| 5,238,884
|
1.50%,
05/15/2037(3) |
302,630
|
| 2,947,636
|
1.50%,
09/25/2047 |
2,444,640
|
| 3,308,905
|
1.54%,
05/25/2030(3)(4) |
238,530
|
| 2,068,654
|
1.68%,
05/25/2030(3)(4) |
159,070
|
| 239,139
|
1.75%,
10/15/2042 |
205,423
|
| 1,104,308
|
2.00%,
05/01/2036 |
999,065
|
| 377,857
|
2.00%,
06/01/2036 |
341,840
|
| 179,808
|
2.00%,
12/01/2040 |
154,548
|
| 1,059,391
|
2.00%,
05/01/2041 |
905,948
|
| 1,181,941
|
2.00%,
12/01/2041 |
1,004,864
|
| 705,127
|
2.00%,
10/01/2050 |
572,459
|
| 843,547
|
2.00%,
02/01/2051 |
693,373
|
| 4,354,622
|
2.00%,
03/01/2051 |
3,536,033
|
| 1,469,692
|
2.00%,
04/01/2051 |
1,191,772
|
| 805,621
|
2.00%,
05/01/2051 |
662,317
|
| 345,003
|
2.00%,
08/01/2051 |
280,082
|
| 347,939
|
2.00%,
11/01/2051 |
284,074
|
| 1,267,971
|
2.00%,
01/01/2052 |
1,032,283
|
| 1,366,721
|
2.00%,
04/01/2052 |
1,120,044
|
| 2,243,460
|
2.00%,
06/15/2052(3) |
274,202
|
| 2,800,480
|
2.50%,
04/25/2036(3) |
275,763
|
| 286,000
|
2.50%,
10/25/2041 |
226,626
|
| 504,673
|
2.50%,
05/01/2050 |
432,912
|
| 613,567
|
2.50%,
06/01/2050 |
523,487
|
| 1,581,699
|
2.50%,
06/25/2050(3) |
226,337
|
| 3,601,460
|
2.50%,
07/01/2050 |
3,067,668
|
| 1,004,131
|
2.50%,
08/01/2050 |
854,524
|
| 1,466,124
|
2.50%,
09/01/2050 |
1,249,991
|
| 1,162,272
|
2.50%,
10/01/2050 |
998,761
|
| 1,082,070
|
2.50%,
11/01/2050 |
918,609
|
| 329,534
|
2.50%,
02/01/2051 |
282,907
|
| 823,989
|
2.50%,
03/01/2051 |
700,068
|
| 372,138
|
2.50%,
05/01/2051 |
315,490
|
| 244,636
|
2.50%,
07/01/2051 |
207,895
|
| 350,233
|
2.50%,
08/01/2051 |
296,945
|
| 577,370
|
2.50%,
10/01/2051 |
489,539
|
| 1,585,430
|
2.50%,
03/15/2052(3) |
222,742
|
| 1,026,765
|
2.50%,
03/25/2052 |
906,318
|
| 2,282,358
|
2.50%,
04/01/2052 |
1,930,912
|
| 1,164,865
|
3.00%,
10/01/2032 |
1,113,008
|
| 3,706
|
3.00%,
05/15/2041 |
3,504
|
| 89,228
|
3.00%,
07/01/2047 |
79,931
|
| 290,875
|
3.00%,
12/15/2047 |
224,322
|
| 128,049
|
3.00%,
01/01/2048 |
114,454
|
| 1,126,252
|
3.00%,
07/01/2050 |
999,844
|
| 746,284
|
3.00%,
08/01/2050 |
660,762
|
| 201,889
|
3.00%,
08/01/2051 |
178,773
|
| 2,656,792
|
3.00%,
08/25/2051(3) |
426,804
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Federal
Home Loan Mortgage Corp. - 6.9% - (continued) |
| $ 2,233,599
|
3.00%,
09/25/2051(3) |
$ 877,692
|
| 1,102,707
|
3.00%,
10/01/2051 |
976,958 |
| 423,227
|
3.00%,
01/01/2052 |
376,320 |
| 556,968
|
3.00%,
05/01/2052 |
492,739 |
| 1,191,034
|
3.50%,
01/15/2033(3) |
116,178 |
| 444,635
|
3.50%,
05/15/2034(3) |
33,342 |
| 654,299
|
3.50%,
10/15/2042 |
604,103 |
| 250,162
|
3.50%,
10/15/2045 |
227,638
|
| 664,159
|
3.50%,
12/01/2046 |
617,293
|
| 606,981
|
3.50%,
12/15/2046 |
549,841
|
| 418,657
|
3.50%,
01/01/2047 |
392,572
|
| 253,950
|
3.50%,
03/15/2047 |
230,203
|
| 121,768
|
3.50%,
06/01/2047 |
113,175
|
| 144,514
|
3.50%,
12/01/2047 |
134,125
|
| 158,873
|
3.50%,
01/01/2048 |
147,660
|
| 229,886
|
3.50%,
12/01/2048 |
213,359
|
| 890,632
|
3.50%,
04/01/2050 |
827,308
|
| 325,679
|
4.00%,
05/01/2038 |
316,970
|
| 411,086
|
4.00%,
05/25/2040(3) |
61,546
|
| 701,937
|
4.00%,
09/15/2041 |
671,551
|
| 9,373
|
4.00%,
01/01/2042 |
9,029
|
| 158,389
|
4.00%,
03/01/2042 |
152,783
|
| 4,259
|
4.00%,
04/01/2042 |
4,104
|
| 6,403
|
4.00%,
06/01/2042 |
6,176
|
| 1,796,424
|
4.00%,
03/25/2045(3) |
320,891
|
| 102,124
|
4.00%,
04/01/2047 |
98,368
|
| 194,536
|
4.00%,
11/01/2047 |
187,673
|
| 398,421
|
4.00%,
12/01/2047 |
390,845
|
| 1,326,883
|
4.00%,
04/01/2049 |
1,268,644
|
| 359,934
|
4.00%,
05/01/2049 |
346,701
|
| 1,087,712
|
4.00%,
07/01/2049 |
1,046,344
|
| 1,550,282
|
4.00%,
09/25/2050(3) |
304,427
|
| 1,083,858
|
4.50%,
07/01/2052 |
1,049,203
|
| 87,426
|
5.00%,
09/01/2035 |
88,349
|
| 342,167
|
5.00%,
09/15/2036(3) |
55,436
|
| 1,032,874
|
5.00%,
03/15/2045(3) |
209,159
|
| 185,129
|
5.00%,
02/15/2048(3) |
36,588
|
| 44,534
|
5.00%,
09/01/2048 |
44,789
|
| 28,100
|
5.00%,
02/01/2049 |
28,236
|
| 14,287,250
|
5.00%,
09/01/2052 |
14,142,945
|
| 792,409
|
5.00%,
10/01/2052 |
784,111
|
| 96,269
|
5.00%,
11/01/2052 |
95,337
|
| 2,523,815
|
5.00%,
12/01/2052 |
2,496,747
|
| 31,752
|
5.00%,
01/01/2053 |
31,406
|
| 641,822
|
5.00%,
02/01/2053 |
634,537
|
| 2,807,324
|
5.00%,
04/01/2053 |
2,780,542
|
| 8,603
|
5.50%,
02/01/2029 |
8,658
|
| 13,336
|
5.50%,
12/01/2038 |
13,522
|
| 408,328
|
5.50%,
05/15/2040(3) |
75,306
|
| 385,166
|
5.50%,
06/15/2046(3) |
71,581
|
| 349,216
|
5.50%,
10/15/2046(3) |
70,651
|
| 305,874
|
5.50%,
02/01/2049 |
311,908
|
| 35,852
|
5.50%,
03/01/2049 |
36,560
|
| 1,195,683
|
5.50%,
02/01/2053 |
1,203,535
|
| 2,412,011
|
5.50%,
04/01/2053 |
2,426,580
|
| 801,048
|
6.00%,
12/01/2052 |
820,561
|
| 378,189
|
6.00%,
03/01/2053 |
388,982
|
| 1,164,624
|
6.50%,
11/01/2053 |
1,199,821
|
| 395,512
|
7.19%,
11/25/2043, 30 day USD SOFR Average + 1.85%(1)(2) |
401,903
|
| 1,790,000
|
7.44%,
10/25/2033, 30 day USD SOFR Average + 2.10%(1)(2) |
1,811,265
|
| 892,000
|
8.24%,
04/25/2042, 30 day USD SOFR Average + 2.90%(1)(2) |
925,450
|
| 805,000
|
8.59%,
04/25/2043, 30 day USD SOFR Average + 3.25%(1)(2) |
845,376
|
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Federal
Home Loan Mortgage Corp. - 6.9% - (continued) |
| $ 1,310,000
|
8.69%,
05/25/2042, 30 day USD SOFR Average + 3.35%(1)(2) |
$ 1,377,863
|
| 2,815,000
|
8.69%,
06/25/2043, 30 day USD SOFR Average + 3.35%(1)(2) |
2,962,788 |
| 2,819,800
|
8.84%,
03/25/2042, 30 day USD SOFR Average + 3.50%(1)(2) |
2,950,534 |
| 2,460,000
|
8.84%,
05/25/2043, 30 day USD SOFR Average + 3.50%(1)(2) |
2,600,550 |
| 380,000
|
8.89%,
08/25/2042, 30 day USD SOFR Average + 3.55%(1)(2) |
399,936 |
| 3,460,000
|
9.04%,
09/25/2042, 30 day USD SOFR Average + 3.70%(1)(2) |
3,684,900 |
| 970,000
|
9.34%,
07/25/2042, 30 day USD SOFR Average + 4.00%(1)(2) |
1,033,004 |
| 1,593,000
|
9.84%,
06/25/2042, 30 day USD SOFR Average + 4.50%(1)(2) |
1,723,806
|
|
|
|
|
98,807,227
|
| |
Federal
National Mortgage Association - 13.7% |
| 134,821
|
0.00%,
06/25/2041(10)(11) |
101,857
|
| 2,290,935
|
0.39%,
01/25/2030(3)(4) |
23,826
|
| 6,106,528
|
1.28%,
06/25/2034(3)(4) |
386,439
|
| 3,402,001
|
1.50%,
11/25/2035(3) |
183,530
|
| 214,975
|
1.50%,
07/01/2051 |
165,573
|
| 3,744,439
|
1.50%,
09/01/2051 |
2,883,428
|
| 3,496,077
|
1.58%,
05/25/2029(3)(4) |
160,820
|
| 806,073
|
2.00%,
03/01/2036 |
729,268
|
| 1,147,951
|
2.00%,
05/01/2036 |
1,038,539
|
| 1,304,437
|
2.00%,
06/01/2036 |
1,180,121
|
| 1,263,167
|
2.00%,
08/01/2036 |
1,142,763
|
| 691,036
|
2.00%,
09/01/2036 |
625,160
|
| 439,813
|
2.00%,
12/01/2036 |
397,882
|
| 160,330
|
2.00%,
02/01/2037 |
145,047
|
| 636,546
|
2.00%,
09/01/2040 |
549,065
|
| 2,299,119
|
2.00%,
12/01/2040 |
1,973,741
|
| 618,408
|
2.00%,
04/01/2041 |
530,855
|
| 218,411
|
2.00%,
05/01/2041 |
186,806
|
| 2,274
|
2.00%,
09/25/2041 |
2,077
|
| 865,369
|
2.00%,
10/01/2041 |
736,930
|
| 4,032
|
2.00%,
12/25/2041 |
3,645
|
| 560,124
|
2.00%,
02/01/2042 |
480,477
|
| 292,201
|
2.00%,
03/25/2044 |
267,124
|
| 304,627
|
2.00%,
05/25/2044 |
274,799
|
| 513,702
|
2.00%,
08/25/2050 |
353,274
|
| 2,190,400
|
2.00%,
10/01/2050 |
1,793,271
|
| 1,733,716
|
2.00%,
12/01/2050 |
1,412,962
|
| 3,829,712
|
2.00%,
02/01/2051 |
3,108,226
|
| 5,993,933
|
2.00%,
03/01/2051 |
4,858,203
|
| 7,816,057
|
2.00%,
04/01/2051 |
6,323,523
|
| 1,156,509
|
2.00%,
05/01/2051 |
937,058
|
| 264,930
|
2.00%,
07/01/2051 |
214,685
|
| 956,948
|
2.00%,
08/01/2051 |
789,816
|
| 1,461,387
|
2.00%,
09/01/2051 |
1,192,042
|
| 2,151,904
|
2.00%,
03/25/2052(3) |
270,341
|
| 8,888,032
|
2.00%,
04/01/2052 |
7,216,023
|
| 412,619
|
2.25%,
04/01/2033 |
344,851
|
| 970,970
|
2.50%,
06/25/2045 |
792,062
|
| 7,704
|
2.50%,
03/25/2046 |
7,076
|
| 642,488
|
2.50%,
04/01/2050 |
546,593
|
| 608,439
|
2.50%,
06/01/2050 |
517,756
|
| 4,622,173
|
2.50%,
07/01/2050 |
3,967,971
|
| 962,494
|
2.50%,
09/01/2050 |
818,244
|
| 1,558,400
|
2.50%,
10/01/2050 |
1,336,245
|
| 1,699,428
|
2.50%,
12/01/2050 |
1,442,956
|
| 383,110
|
2.50%,
01/01/2051 |
327,478
|
| 2,612,319
|
2.50%,
02/01/2051 |
2,213,854
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Federal
National Mortgage Association - 13.7% - (continued) |
| $ 1,618,725
|
2.50%,
02/25/2051(3) |
$ 259,365
|
| 8,436,793
|
2.50%,
05/01/2051 |
7,186,057 |
| 1,476,061
|
2.50%,
06/01/2051 |
1,250,554 |
| 799,612
|
2.50%,
07/01/2051 |
678,931 |
| 368,488
|
2.50%,
08/01/2051 |
316,775 |
| 536,360
|
2.50%,
09/01/2051 |
454,947 |
| 7,834,379
|
2.50%,
10/01/2051 |
6,663,254 |
| 7,602,395
|
2.50%,
11/01/2051 |
6,495,244
|
| 2,340,396
|
2.50%,
12/01/2051 |
1,990,588
|
| 904,258
|
2.50%,
01/01/2052 |
771,690
|
| 1,303,259
|
2.50%,
03/01/2052 |
1,105,353
|
| 513,839
|
2.50%,
04/01/2052 |
435,649
|
| 2,169,871
|
2.50%,
06/25/2052(3) |
324,794
|
| 1,308,148
|
2.50%,
09/25/2052(3) |
202,171
|
| 1,209,987
|
2.50%,
01/01/2057 |
1,020,375
|
| 596,132
|
3.00%,
04/25/2033(3) |
37,706
|
| 176,726
|
3.00%,
08/01/2033 |
168,819
|
| 1,189,180
|
3.00%,
06/01/2038 |
1,117,834
|
| 461,037
|
3.00%,
11/25/2042 |
416,071
|
| 4,426
|
3.00%,
02/25/2043 |
4,228
|
| 931,473
|
3.00%,
03/25/2043 |
827,838
|
| 1,093,197
|
3.00%,
05/25/2043 |
984,762
|
| 1,208,542
|
3.00%,
11/25/2044 |
1,089,433
|
| 1,006,915
|
3.00%,
01/25/2045 |
889,156
|
| 69,219
|
3.00%,
01/25/2046 |
63,386
|
| 928,349
|
3.00%,
02/25/2047 |
842,889
|
| 334,886
|
3.00%,
08/25/2049 |
302,649
|
| 116,523
|
3.00%,
12/01/2049 |
103,489
|
| 390,260
|
3.00%,
02/01/2050 |
348,449
|
| 1,663,761
|
3.00%,
07/01/2050 |
1,485,210
|
| 1,548,389
|
3.00%,
08/01/2050 |
1,374,145
|
| 630,641
|
3.00%,
10/01/2050 |
558,462
|
| 2,541,874
|
3.00%,
12/01/2050 |
2,255,956
|
| 808,254
|
3.00%,
05/01/2051 |
722,445
|
| 191,007
|
3.00%,
06/01/2051 |
167,903
|
| 1,625,752
|
3.00%,
07/01/2051 |
1,430,819
|
| 372,283
|
3.00%,
08/01/2051 |
329,434
|
| 1,343,624
|
3.00%,
09/01/2051 |
1,185,637
|
| 2,227,464
|
3.00%,
10/01/2051 |
1,966,529
|
| 2,083,878
|
3.00%,
11/01/2051 |
1,834,680
|
| 1,153,636
|
3.00%,
12/01/2051 |
1,020,867
|
| 535,499
|
3.00%,
01/01/2052 |
472,042
|
| 1,764,401
|
3.00%,
01/25/2052(3) |
268,164
|
| 663,319
|
3.00%,
04/01/2052 |
586,167
|
| 819,128
|
3.00%,
05/01/2052 |
724,020
|
| 1,343,639
|
3.50%,
07/25/2033(3) |
103,705
|
| 522,663
|
3.50%,
08/25/2033(3) |
50,132
|
| 325,138
|
3.50%,
04/25/2034(3) |
15,469
|
| 955,004
|
3.50%,
05/01/2037 |
909,191
|
| 622,876
|
3.50%,
11/25/2039(3) |
55,060
|
| 472,142
|
3.50%,
10/01/2041 |
443,380
|
| 3,731
|
3.50%,
05/25/2042 |
3,571
|
| 1,170,952
|
3.50%,
11/25/2042 |
1,083,137
|
| 74,485
|
3.50%,
07/25/2044 |
72,862
|
| 218,189
|
3.50%,
12/01/2045 |
202,520
|
| 198,608
|
3.50%,
01/01/2046 |
184,370
|
| 149,145
|
3.50%,
03/01/2046 |
138,759
|
| 746,650
|
3.50%,
12/01/2046 |
699,528
|
| 251,947
|
3.50%,
05/01/2047 |
233,853
|
| 1,972,204
|
3.50%,
09/01/2047 |
1,830,532
|
| 1,888,961
|
3.50%,
12/01/2047 |
1,749,758
|
| 222,175
|
3.50%,
01/01/2048 |
206,213
|
| 291,331
|
3.50%,
02/01/2048 |
270,813
|
| 78,432
|
3.50%,
06/01/2048 |
72,748
|
| 393,350
|
3.50%,
07/01/2048 |
365,099
|
| 84,783
|
3.50%,
11/01/2048 |
78,693
|
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Federal
National Mortgage Association - 13.7% - (continued) |
| $ 252,239
|
3.50%,
03/25/2049 |
$ 238,970
|
| 592,671
|
3.50%,
04/25/2049 |
561,767 |
| 651,968
|
3.50%,
06/01/2049 |
612,026 |
| 402,206
|
3.50%,
09/01/2050 |
373,404 |
| 895,684
|
3.50%,
11/01/2051 |
820,874 |
| 1,285,478
|
3.50%,
04/01/2052 |
1,185,205 |
| 691,083
|
3.50%,
05/01/2056 |
623,407 |
| 592,340
|
3.50%,
11/25/2057 |
560,207
|
| 1,057,554
|
3.50%,
05/01/2058 |
953,922
|
| 988,671
|
3.50%,
12/25/2058 |
895,922
|
| 760,000
|
3.52%,
11/01/2032 |
705,487
|
| 626,589
|
4.00%,
08/01/2038 |
612,608
|
| 2,332
|
4.00%,
11/01/2040 |
2,247
|
| 31,271
|
4.00%,
02/01/2041 |
30,132
|
| 372,087
|
4.00%,
06/01/2041 |
365,319
|
| 4,431
|
4.00%,
09/01/2041 |
4,268
|
| 7,659
|
4.00%,
10/01/2041 |
7,381
|
| 166,998
|
4.00%,
01/01/2042 |
160,860
|
| 205,758
|
4.00%,
02/01/2042 |
198,198
|
| 59,444
|
4.00%,
05/01/2042 |
57,259
|
| 2,318
|
4.00%,
09/01/2042 |
2,240
|
| 871,788
|
4.00%,
01/01/2043 |
840,012
|
| 17,760
|
4.00%,
10/01/2043 |
17,108
|
| 208,495
|
4.00%,
03/01/2046 |
200,826
|
| 274,339
|
4.00%,
09/01/2047 |
263,075
|
| 489,912
|
4.00%,
10/01/2047 |
471,339
|
| 253,592
|
4.00%,
11/01/2047 |
243,245
|
| 1,609,153
|
4.00%,
06/01/2048 |
1,548,080
|
| 1,954,861
|
4.00%,
10/01/2048 |
1,878,932
|
| 769,846
|
4.00%,
01/01/2049 |
739,346
|
| 1,704,716
|
4.00%,
04/01/2049 |
1,624,413
|
| 97,040
|
4.00%,
08/01/2049 |
93,473
|
| 581,368
|
4.00%,
09/01/2049 |
554,249
|
| 3,522,315
|
4.00%,
02/25/2050(3) |
704,877
|
| 1,223,863
|
4.00%,
04/01/2050 |
1,170,358
|
| 1,584,391
|
4.00%,
09/25/2050(3) |
305,625
|
| 777,984
|
4.00%,
08/01/2051 |
743,134
|
| 2,260,205
|
4.00%,
04/01/2052 |
2,130,445
|
| 820,939
|
4.00%,
06/01/2052 |
776,878
|
| 654,351
|
4.03%,
06/01/2028 |
640,842
|
| 850,000
|
4.19%,
04/01/2028 |
839,042
|
| 400,000
|
4.21%,
03/01/2033 |
390,634
|
| 309,655
|
4.37%,
05/01/2028 |
308,911
|
| 580,000
|
4.41%,
04/01/2030 |
575,704
|
| 785,694
|
4.46%,
05/01/2028 |
783,544
|
| 626,258
|
4.50%,
12/01/2037 |
626,178
|
| 413,558
|
4.50%,
04/01/2048 |
407,027
|
| 179,766
|
4.50%,
04/01/2049 |
176,556
|
| 764,807
|
4.50%,
01/01/2051 |
753,044
|
| 1,278,064
|
4.50%,
08/01/2052 |
1,237,199
|
| 1,426,209
|
4.50%,
03/01/2053 |
1,380,001
|
| 402,333
|
4.51%,
05/01/2033 |
400,893
|
| 452,342
|
4.64%,
10/01/2033 |
454,789
|
| 215,000
|
4.75%,
04/01/2028 |
216,438
|
| 297,297
|
5.00%,
06/25/2048(3) |
48,279
|
| 1,069,450
|
5.00%,
07/01/2052 |
1,058,648
|
| 15,049,596
|
5.00%,
09/01/2052 |
14,897,041
|
| 3,755,026
|
5.00%,
10/01/2052 |
3,716,951
|
| 114,071
|
5.00%,
11/01/2052 |
112,864
|
| 840,699
|
5.00%,
12/01/2052 |
831,738
|
| 922,332
|
5.00%,
03/01/2053 |
911,832
|
| 8,241,188
|
5.00%,
04/01/2053 |
8,150,004
|
| 206,232
|
5.00%,
05/01/2053 |
203,873
|
| 1,465,000
|
5.07%,
12/01/2028 |
1,503,268
|
| 317,149
|
5.50%,
04/25/2044(3) |
52,130
|
| 788,237
|
5.50%,
10/01/2052 |
792,199
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Federal
National Mortgage Association - 13.7% - (continued) |
| $ 1,467,434
|
5.50%,
11/01/2052 |
$ 1,476,683
|
| 2,610,430
|
5.50%,
12/01/2052 |
2,626,943 |
| 1,429,911
|
5.50%,
06/01/2053 |
1,436,780 |
| 1,664,274
|
5.50%,
07/01/2053 |
1,673,735 |
| 848,144
|
6.00%,
05/01/2053 |
871,137 |
| 2,000,337
|
6.50%,
11/01/2053 |
2,060,793 |
|
4,249,998 |
7.00%,
09/01/2053 |
4,388,641
|
|
|
|
|
195,740,070
|
| |
Government
National Mortgage Association - 6.3% |
| 141,381
|
2.00%,
06/16/2042 |
128,824
|
| 1,308,769
|
2.00%,
10/20/2050 |
1,092,502
|
| 3,806,513
|
2.00%,
12/20/2050 |
3,180,126
|
| 14,900,000
|
2.00%,
02/20/2054(12) |
12,438,849
|
| 47,226
|
2.50%,
05/20/2040 |
45,339
|
| 1,842,192
|
2.50%,
10/20/2049 |
1,621,088
|
| 1,373,180
|
2.50%,
11/20/2049 |
1,195,620
|
| 1,086,200
|
2.50%,
03/20/2051 |
942,327
|
| 959,489
|
2.50%,
09/20/2051 |
831,294
|
| 3,202,999
|
2.50%,
10/20/2051 |
2,775,054
|
| 7,625,000
|
2.50%,
02/20/2054(12) |
6,605,421
|
| 1,267,043
|
3.00%,
01/16/2044 |
1,135,457
|
| 638,615
|
3.00%,
11/20/2045 |
562,570
|
| 648,932
|
3.00%,
02/20/2047 |
589,716
|
| 542,801
|
3.00%,
05/20/2049 |
491,929
|
| 202,057
|
3.00%,
03/20/2050 |
182,578
|
| 2,879,744
|
3.00%,
07/20/2050(3) |
362,389
|
| 459,131
|
3.00%,
11/20/2050 |
414,040
|
| 4,154,991
|
3.00%,
04/20/2051 |
3,739,826
|
| 2,366,145
|
3.00%,
08/20/2051 |
2,127,141
|
| 1,510,377
|
3.00%,
09/20/2051 |
1,355,641
|
| 471,698
|
3.00%,
10/20/2051 |
423,444
|
| 3,264,883
|
3.00%,
12/20/2051 |
2,928,579
|
| 813,481
|
3.00%,
02/20/2052 |
741,050
|
| 743,501
|
3.00%,
04/20/2052 |
667,387
|
| 1,250,000
|
3.00%,
02/20/2054(12) |
1,120,985
|
| 232,233
|
3.50%,
11/20/2042 |
215,598
|
| 781,602
|
3.50%,
03/20/2044 |
736,467
|
| 493,130
|
3.50%,
06/20/2046 |
461,812
|
| 107,883
|
3.50%,
07/20/2046 |
101,026
|
| 112,824
|
3.50%,
10/20/2046 |
105,635
|
| 496,848
|
3.50%,
02/20/2047 |
464,421
|
| 133,300
|
3.50%,
05/20/2047 |
124,806
|
| 136,021
|
3.50%,
07/20/2047 |
127,356
|
| 99,702
|
3.50%,
11/20/2047 |
93,102
|
| 122,776
|
3.50%,
03/20/2048 |
114,656
|
| 576,874
|
3.50%,
02/20/2049 |
537,999
|
| 602,302
|
3.50%,
06/20/2050 |
561,372
|
| 1,292,112
|
3.50%,
11/20/2052 |
1,178,637
|
| 1,832,674
|
3.50%,
01/20/2053 |
1,694,302
|
| 9,325,000
|
3.50%,
02/20/2054(12) |
8,623,652
|
| 299,516
|
3.88%,
08/15/2042 |
289,059
|
| 960,662
|
4.00%,
09/16/2042(3) |
190,186
|
| 326,870
|
4.00%,
09/20/2042(3) |
42,045
|
| 212,656
|
4.00%,
12/20/2044(3) |
39,282
|
| 466,518
|
4.00%,
08/20/2045 |
453,071
|
| 627,842
|
4.00%,
09/20/2047 |
603,832
|
| 17,592
|
4.00%,
04/20/2048 |
16,928
|
| 913,374
|
4.00%,
07/20/2048 |
874,545
|
| 1,805,000
|
4.00%,
02/20/2054(12) |
1,716,224
|
| 919,366
|
4.50%,
02/20/2040 |
919,385
|
| 824,631
|
4.50%,
05/20/2041 |
824,055
|
| 692,783
|
4.50%,
06/16/2043(3) |
135,140
|
| 333,962
|
4.50%,
05/20/2045(3) |
64,453
|
| 489,642
|
4.50%,
08/20/2045(3) |
85,771
|
| 556,622
|
4.50%,
12/16/2046(3) |
78,407
|
| 358,048
|
4.50%,
05/20/2048(3) |
51,577
|
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT AGENCIES - 49.0% - (continued) |
| |
Mortgage-Backed
Agencies - 49.0% - (continued) |
| |
Government
National Mortgage Association - 6.3% - (continued) |
| $ 236,013
|
4.50%,
06/20/2048(3) |
$ 43,592
|
| 170,342
|
4.50%,
05/20/2052 |
166,264 |
| 717,397
|
4.50%,
08/20/2052 |
699,781 |
| 653,776
|
4.50%,
09/20/2052 |
637,587 |
| 2,940,211
|
4.50%,
10/20/2052 |
2,867,256 |
| 658,820
|
5.00%,
05/20/2040 |
671,818 |
| 522,881
|
5.00%,
06/20/2040 |
533,198 |
| 205,169
|
5.00%,
07/20/2040 |
209,217
|
| 280,874
|
5.00%,
12/20/2043(3) |
53,922
|
| 1,409,525
|
5.00%,
07/16/2044(3) |
232,411
|
| 260,760
|
5.00%,
11/16/2046(3) |
42,774
|
| 254,052
|
5.00%,
06/16/2047(3) |
41,080
|
| 329,806
|
5.00%,
11/16/2047(3) |
63,882
|
| 885,718
|
5.00%,
11/20/2049 |
890,147
|
| 1,415,000
|
5.00%,
02/20/2054(12) |
1,407,538
|
| 233,783
|
5.50%,
02/20/2044(3) |
30,257
|
| 185,088
|
5.50%,
09/15/2045 |
191,084
|
| 267,986
|
5.50%,
09/20/2045(3) |
54,463
|
| 11,700,000
|
5.50%,
02/20/2054(12) |
11,789,888
|
|
|
|
|
89,850,136
|
| |
Uniform
Mortgage-Backed Security - 22.1% |
| 500,000
|
1.50%,
02/13/2054(12) |
384,442
|
| 560,000
|
2.00%,
02/15/2039(12) |
502,875
|
| 25,232,000
|
2.00%,
02/13/2054(12) |
20,358,523
|
| 3,275,000
|
2.50%,
02/15/2039(12) |
3,019,627
|
| 6,721,000
|
2.50%,
02/13/2054(12) |
5,666,877
|
| 2,360,000
|
3.00%,
02/15/2039(12) |
2,226,300
|
| 1,230,000
|
3.50%,
02/15/2039(12) |
1,183,298
|
| 10,988,000
|
3.50%,
02/13/2054(12) |
10,020,791
|
| 9,849,000
|
4.00%,
02/13/2054(12) |
9,279,956
|
| 802,000
|
4.50%,
02/01/2039(12) |
796,549
|
| 60,632,000
|
4.50%,
02/13/2054(12) |
58,656,715
|
| 43,090,000
|
5.00%,
02/13/2054(12) |
42,595,684
|
| 33,103,000
|
5.50%,
02/13/2054(12) |
33,224,350
|
| 118,355,000
|
6.00%,
02/13/2054(12) |
120,063,330
|
| 3,135,000
|
6.50%,
02/13/2054(12) |
3,211,886
|
| 4,845,000
|
7.00%,
03/13/2054(12) |
4,998,919
|
|
|
|
|
316,190,122
|
|
|
Total
U.S. Government Agencies
(cost $713,220,440) |
|
$
700,587,555 |
| U.S.
GOVERNMENT SECURITIES - 22.1% |
| |
U.S.
Treasury Securities - 22.1% |
| |
U.S.
Treasury Bonds - 10.9% |
| 35,940,000
|
1.25%,
05/15/2050 |
$
18,678,973 |
| 19,520,000
|
1.63%,
11/15/2050 |
11,222,475
|
| 5,795,000
|
2.50%,
02/15/2045 |
4,310,258
|
| 8,585,000
|
2.75%,
11/15/2042 |
6,836,812
|
| 3,895,000
|
2.88%,
08/15/2045 |
3,085,114
|
| 56,000
|
2.88%,
05/15/2052 |
43,194
|
| 3,325,000
|
3.00%,
11/15/2045 |
2,687,016
|
| 1,395,000
|
3.00%,
02/15/2048 |
1,110,442
|
| 19,100,000
|
3.00%,
08/15/2052 |
15,124,812
|
| 3,365,000
|
3.13%,
02/15/2043 |
2,835,538
|
| 2,645,000
|
3.13%,
08/15/2044 |
2,203,202
|
| 8,515,000
|
3.13%,
05/15/2048 |
6,931,742
|
| 25,825,000
|
3.38%,
08/15/2042 |
22,682,622
|
| 6,010,000
|
3.38%,
05/15/2044 |
5,217,666
|
| 30,225,000
|
3.38%,
11/15/2048 |
25,708,960
|
| 8,720,000
|
3.63%,
08/15/2043 |
7,894,325
|
| 8,845,000
|
3.63%,
02/15/2044(13) |
7,985,031
|
| 12,500,000
|
3.63%,
05/15/2053 |
11,214,844
|
|
|
|
|
155,773,026
|
The accompanying notes are an integral part of these financial
statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Shares
or Principal Amount |
|
Market
Value† |
| U.S.
GOVERNMENT SECURITIES - 22.1% - (continued) |
| |
U.S.
Treasury Securities - 22.1% - (continued) |
| |
U.S.
Treasury Inflation-Protected Bonds - 0.8% |
| $ 17,509,757
|
0.25%,
02/15/2050(14) |
$ 11,253,781
|
| |
U.S.
Treasury Inflation-Protected Notes - 2.2% |
| 16,566,348
|
0.25%,
07/15/2029(14) |
15,403,630 |
| 5,400,914
|
0.75%,
07/15/2028(14) |
5,197,430 |
| 3,520,638
|
0.88%,
01/15/2029(14) |
3,383,457 |
| 3,548,856
|
1.38%,
07/15/2033(14) |
3,453,688 |
|
4,655,154 |
1.75%,
01/15/2034(14) |
4,661,791
|
|
|
|
|
32,099,996
|
| |
U.S.
Treasury Notes - 8.2% |
| 4,235,000
|
1.25%,
11/30/2026 |
3,922,834
|
| 16,965,000
|
1.38%,
11/15/2031(15) |
14,070,347
|
| 17,865,000
|
2.75%,
08/15/2032 |
16,303,208
|
| 21,610,000
|
3.50%,
02/15/2033 |
20,849,429
|
| 9,120,000
|
3.63%,
05/31/2028 |
9,015,619
|
| 10,850,000
|
3.75%,
06/30/2030 |
10,741,924
|
| 8,585,000
|
3.88%,
08/15/2033 |
8,523,295
|
| 9,135,000
|
4.00%,
10/31/2029 |
9,172,825
|
| 12,360,000
|
4.38%,
11/30/2030 |
12,682,519
|
| 4,930,000
|
4.50%,
11/15/2033 |
5,141,836
|
| 6,035,000
|
4.63%,
11/15/2026 |
6,125,525
|
|
|
|
|
116,549,361
|
|
|
Total
U.S. Government Securities
(cost $347,922,421) |
|
$
315,676,164 |
|
|
Total
Long-Term Investments
(cost $1,841,948,943) |
|
$ 1,776,926,174
|
| SHORT-TERM
INVESTMENTS - 0.3% |
| |
Repurchase
Agreements - 0.1% |
| 1,822,381
|
Fixed
Income Clearing Corp. Repurchase Agreement dated 01/31/2024 at 5.30%, due on 02/01/2024 with a maturity value of $1,822,649; collateralized by U.S. Treasury Note at 0.75%, maturing 08/31/2026, with a market value of $1,858,888 |
$
1,822,381 |
| |
Securities
Lending Collateral - 0.2% |
| 410,817
|
Goldman
Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(16) |
410,817
|
| 1,369,390
|
HSBC
U.S. Government Money Market Fund, Institutional Class, 5.27%(16) |
1,369,390
|
| 410,817
|
Invesco
Government & Agency Portfolio, Institutional Class, 5.24%(16) |
410,817
|
| 410,817
|
Morgan
Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.23%(16) |
410,817
|
|
|
|
|
2,601,841
|
|
|
Total
Short-Term Investments
(cost $4,424,222) |
$
4,424,222 |
|
|
Total
Investments
(cost $1,846,373,165) |
124.5%
|
$ 1,781,350,396
|
|
|
Other
Assets and Liabilities |
(24.5)%
|
(351,009,951)
|
|
|
Total
Net Assets |
100.0%
|
$ 1,430,340,445
|
| Note:
|
Percentage of investments as
shown is the ratio of the total market value to total net assets. |
| |
The Fund may refer to any one
or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| |
For Fund compliance purposes,
the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| |
See
“Glossary” for abbreviation descriptions. |
|
(1) |
Security
was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of
1933. At January 31, 2024, the aggregate value of these securities was $423,592,737, representing 29.6% of net assets. |
|
(2) |
Variable
rate securities; the rate reported is the coupon rate in effect at January 31, 2024. Base lending rates may be subject to a floor or cap. |
|
(3) |
Securities
disclosed are interest-only strips. |
|
(4) |
Variable
or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
|
(5) |
Security
is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
|
(6) |
Fixed to
variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
|
(7) |
Security
is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an
exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2024, the aggregate value of these securities was $19,497,508, representing 1.4% of net assets. |
|
(8) |
Perpetual
maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
|
(9) |
Represents
entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
|
(10) |
Security
disclosed is principal-only strips. |
|
(11) |
Security
is a zero-coupon bond. |
|
(12) |
Represents
or includes a TBA transaction. |
|
(13) |
All, or a
portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2024, the market value of securities pledged was $6,861,078. |
|
(14) |
The
principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
|
(15) |
All, or a
portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of January 31, 2024, the market value of securities pledged was $3,657,544. |
|
(16) |
Current
yield as of period end. |
The accompanying notes are an integral part of these
financial statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Futures
Contracts Outstanding at January 31, 2024 |
| Description
|
|
Number
of
Contracts |
|
Expiration
Date |
|
Current
Notional
Amount |
|
Value
and
Unrealized
Appreciation/
(Depreciation) |
| Long
position contracts: |
| U.S.
Treasury 5-Year Note Future |
|
814
|
|
03/28/2024
|
|
$ 88,229,969
|
|
$
1,886,548 |
| Short
position contracts: |
| Euro
BUXL 30-Year Bond Future |
|
49
|
|
03/07/2024
|
|
$
7,321,806 |
|
$
(257,266) |
| Euro-BTP
Future |
|
70
|
|
03/07/2024
|
|
9,046,945
|
|
(254,284)
|
| Euro-BUND
Future |
|
74
|
|
03/07/2024
|
|
10,919,967
|
|
(169,676)
|
| U.S.
Treasury 2-Year Note Future |
|
1,391
|
|
03/28/2024
|
|
286,067,844
|
|
(278,161)
|
| U.S.
Treasury 10-Year Note Future |
|
1,023
|
|
03/19/2024
|
|
114,911,672
|
|
(433,183)
|
| U.S.
Treasury 10-Year Ultra Future |
|
83
|
|
03/19/2024
|
|
9,700,625
|
|
(125,000)
|
| U.S.
Treasury Long Bond Future |
|
61
|
|
03/19/2024
|
|
7,462,969
|
|
(427,576)
|
| U.S.
Treasury Ultra Bond Future |
|
205
|
|
03/19/2024
|
|
26,489,844
|
|
(1,280,656)
|
| Total
|
|
|
|
|
|
|
|
$ (3,225,802)
|
| Total
futures contracts |
|
$ (1,339,254)
|
| TBA
Sale Commitments Outstanding at January 31, 2024 |
| Description
|
|
Principal
Amount |
|
Maturity
Date |
|
Market
Value† |
|
Unrealized
Appreciation/
(Depreciation) |
| Government
National Mortgage Association, 4.00% |
|
$ 4,050,000
|
|
02/20/2054
|
|
$
(3,850,808) |
|
$
(31,785) |
| Government
National Mortgage Association, 4.50% |
|
1,175,000
|
|
02/20/2054
|
|
(1,145,527)
|
|
(4,538)
|
| Government
National Mortgage Association, 5.00% |
|
4,435,000
|
|
02/20/2054
|
|
(4,411,612)
|
|
(26,961)
|
| Uniform
Mortgage-Backed Security, 2.00% |
|
1,435,000
|
|
02/15/2039
|
|
(1,288,617)
|
|
(6,534)
|
| Uniform
Mortgage-Backed Security, 3.00% |
|
2,303,000
|
|
02/13/2054
|
|
(2,019,604)
|
|
(5,378)
|
| Uniform
Mortgage-Backed Security, 4.00% |
|
2,349,000
|
|
03/13/2054
|
|
(2,213,833)
|
|
(34,034)
|
| Uniform
Mortgage-Backed Security, 4.00% |
|
3,199,000
|
|
02/13/2054
|
|
(3,014,172)
|
|
(12,485)
|
| Uniform
Mortgage-Backed Security, 5.00% |
|
43,090,000
|
|
02/13/2054
|
|
(42,595,684)
|
|
(208,632)
|
| Uniform
Mortgage-Backed Security, 5.00% |
|
43,090,000
|
|
03/01/2053
|
|
(42,597,367)
|
|
(404,356)
|
| Total
TBA sale commitments (proceeds receivable $102,402,521) |
|
$ (103,137,224)
|
|
$ (734,703)
|
| At
January 31, 2024, the aggregate market value of TBA Sale Commitments represents (7.2)% of total net assets. |
| Centrally
Cleared Credit Default Swap Contracts Outstanding at January 31, 2024 |
| Reference
Entity |
|
Notional
Amount(1) |
|
(Pay)/Receive
Fixed Rate |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| Credit
default swaps on indices: |
|
|
| Sell
protection: |
|
|
| CDX.NA.HY.S41.V1
|
|
USD
|
9,236,700
|
|
5.00%
|
|
12/20/2028
|
|
Quarterly
|
|
$ 467,430
|
|
$ —
|
|
$ 592,124
|
|
$ 124,694
|
| Total
centrally cleared credit default swap contracts |
|
$ 467,430
|
|
$ —
|
|
$ 592,124
|
|
$ 124,694
|
|
(1) |
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| Centrally
Cleared Interest Rate Swap Contracts Outstanding at January 31, 2024 |
Payments
made
by Fund |
|
Payments
received
by Fund |
|
Notional
Amount |
|
Expiration
Date |
|
Periodic
Payment
Frequency |
|
Upfront
Premiums
Paid |
|
Upfront
Premiums
Received |
|
Value
† |
|
Unrealized
Appreciation/
(Depreciation) |
| 2.97%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
5,185,000
|
|
03/15/2053
|
|
Annual
|
|
$
3,049 |
|
$
— |
|
$
613,058 |
|
$
610,009 |
| 2.88%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
4,030,000
|
|
03/15/2053
|
|
Annual
|
|
45,603
|
|
—
|
|
546,507
|
|
500,904
|
| 3.25%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
3,735,000
|
|
06/21/2053
|
|
Annual
|
|
—
|
|
(36,532)
|
|
226,286
|
|
262,818
|
| 3.59%
Fixed |
|
12
Mo. USD SOFR |
|
USD
|
8,150,000
|
|
09/20/2053
|
|
Annual
|
|
37,730
|
|
—
|
|
(63,139)
|
|
(100,869)
|
| Total
centrally cleared interest rate swaps contracts |
|
$ 86,382
|
|
$ (36,532)
|
|
$ 1,322,712
|
|
$ 1,272,862
|
The
accompanying notes are an integral part of these financial statements.
Hartford
Total Return Bond ETF
Schedule of Investments –
(continued)
January 31, 2024 (Unaudited)
| Foreign
Currency Contracts Outstanding at January 31, 2024 |
Amount
and Description of
Currency to be Purchased |
|
Amount
and Description of
Currency to be Sold |
|
Counterparty
|
|
Settlement
Date |
|
Appreciation/
(Depreciation) |
| 83,000
|
EUR
|
|
90,280
|
USD
|
|
NWM
|
|
03/20/2024
|
|
$ 71 |
| 212,000
|
EUR
|
|
230,793
|
USD
|
|
SCB
|
|
03/20/2024
|
|
(16)
|
| 79,000
|
EUR
|
|
86,258
|
USD
|
|
UBS
|
|
03/20/2024
|
|
(261)
|
| 84,000
|
EUR
|
|
92,278
|
USD
|
|
TDB
|
|
03/20/2024
|
|
(838)
|
| 1,531,000
|
EUR
|
|
1,675,099
|
USD
|
|
MSC
|
|
03/20/2024
|
|
(8,500)
|
| 4,716,734
|
USD
|
|
23,599,000
|
BRL
|
|
DEUT
|
|
03/20/2024
|
|
(36,274)
|
| 22,079,097
|
USD
|
|
20,061,000
|
EUR
|
|
DEUT
|
|
03/20/2024
|
|
241,312
|
| 1,393,287
|
USD
|
|
1,266,000
|
EUR
|
|
CBK
|
|
03/20/2024
|
|
15,159
|
| Total
foreign currency contracts |
|
$ 210,653
|
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of
investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used
as of January 31, 2024 in valuing the Fund’s investments.
| Description
|
|
Total
|
|
Level
1 |
|
Level
2 |
|
Level
3(1) |
| Assets
|
|
|
|
|
|
|
|
|
| Asset
& Commercial Mortgage-Backed Securities |
|
$
307,382,719 |
|
$
— |
|
$
307,382,719 |
|
$ —
|
| Corporate
Bonds |
|
397,704,089
|
|
—
|
|
397,704,089
|
|
—
|
| Foreign
Government Obligations |
|
43,510,509
|
|
—
|
|
43,510,509
|
|
—
|
| Municipal
Bonds |
|
12,065,138
|
|
—
|
|
12,065,138
|
|
—
|
| U.S.
Government Agencies |
|
700,587,555
|
|
—
|
|
700,587,555
|
|
—
|
| U.S.
Government Securities |
|
315,676,164
|
|
—
|
|
315,676,164
|
|
—
|
| Short-Term
Investments |
|
4,424,222
|
|
2,601,841
|
|
1,822,381
|
|
—
|
| Foreign
Currency Contracts(2) |
|
256,542
|
|
—
|
|
256,542
|
|
—
|
| Futures
Contracts(2) |
|
1,886,548
|
|
1,886,548
|
|
—
|
|
—
|
| Swaps
- Credit Default(2) |
|
124,694
|
|
—
|
|
124,694
|
|
—
|
| Swaps
- Interest Rate(2) |
|
1,373,731
|
|
—
|
|
1,373,731
|
|
—
|
| Total
|
|
$ 1,784,991,911
|
|
$
4,488,389 |
|
$ 1,780,503,522
|
|
$ —
|
| Liabilities
|
|
|
|
|
|
|
|
|
| Foreign
Currency Contracts(2) |
|
$
(45,889) |
|
$
— |
|
$
(45,889) |
|
$ —
|
| Futures
Contracts(2) |
|
(3,225,802)
|
|
(3,225,802)
|
|
—
|
|
—
|
| Swaps
- Interest Rate(2) |
|
(100,869)
|
|
—
|
|
(100,869)
|
|
—
|
| TBA
Sale Commitments |
|
(103,137,224)
|
|
—
|
|
(103,137,224)
|
|
—
|
| Total
|
|
$
(106,509,784) |
|
$ (3,225,802)
|
|
$
(103,283,982) |
|
$ —
|
|
(1) |
For
the six-month period ended January 31, 2024, there were no transfers in and out of Level 3. |
|
(2) |
Derivative
instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these
financial statements.
GLOSSARY: (abbreviations used in preceding
Schedules of Investments) (Unaudited)
| Counterparty
Abbreviations: |
| ANZ
|
Australia
and New Zealand Banking Group |
| BCLY
|
Barclays
|
| BNP
|
BNP
Paribas Securities Services |
| BOA
|
Bank of
America Securities LLC |
| CBK
|
Citibank
NA |
| DEUT
|
Deutsche
Bank Securities, Inc. |
| GSC
|
Goldman
Sachs & Co. |
| HSBC
|
Hongkong
and Shanghai Banking Corporation |
| JPM
|
JP Morgan
Chase & Co. |
| MSC
|
Morgan
Stanley |
| NWM
|
NatWest
Markets Plc |
| RBC
|
RBC
Dominion Securities, Inc. |
| SCB
|
Standard
Chartered Bank |
| TDB
|
Toronto-Dominion
Bank |
| UBS
|
UBS AG
|
| Currency
Abbreviations: |
| AUD
|
Australia
Dollar |
| BRL
|
Brazil
Real |
| CAD
|
Canadian
Dollar |
| CLP
|
Chile Peso
|
| CNY
|
China Yuan
Renminbi |
| COP
|
Colombia
Peso |
| CZK
|
Czech
Republic Koruna |
| EUR
|
Euro
Member Countries |
| GBP
|
British
Pound |
| HUF
|
Hungary
Forint |
| IDR
|
Indonesia
Rupiah |
| INR
|
Indian
Rupee |
| JPY
|
Japan Yen
|
| KZT
|
Kazakhstan
Tenge |
| MXN
|
Mexican
Peso |
| PLN
|
Poland
Zloty |
| USD
|
United
States Dollar |
| UYU
|
Uruguay
Peso |
| ZAR
|
South
Africa Rand |
| Index
Abbreviations: |
| CDX.NA.HY
|
Credit
Derivatives North American High Yield |
| CDX.NA.IG
|
Credit
Derivatives North American Investment Grade |
| CMT
|
Constant
Maturity Treasury Index |
| ICE
|
Intercontinental
Exchange, Inc. |
| ITRAXX-XOVER
|
iTraxx
Europe Crossover |
| Municipal
Abbreviations: |
| Auth
|
Authority
|
| COP
|
Certificate of
Participation |
| Dev
|
Development
|
| Dist
|
District
|
| Facs
|
Facilities
|
| GO
|
General
Obligation |
| Redev
|
Redevelopment
|
| Rev
|
Revenue
|
| Other
Abbreviations: |
| ADR
|
American
Depositary Receipt |
| AGM
|
Assured
Guaranty Municipal |
| AMBAC
|
American
Municipal Bond Assurance Co. |
| ARM
|
Adjustable
Rate Mortgage |
| BAM
|
Build
America Mutual Assurance Corp. |
| CLO
|
Collateralized
Loan Obligation |
| CMO
|
Collateralized
Mortgage Obligation |
| COLL
|
Collateral
|
| CR
|
Custodial
Receipts |
| ETF
|
Exchange-Traded
Fund |
| EURIBOR
|
Euro
Interbank Offered Rate |
| FHA
|
Federal
Housing Authority |
| FHLMC
|
Federal
Home Loan Mortgage Corp. |
| FNMA
|
Federal
National Mortgage Association |
| GNMA
|
Government
National Mortgage Association |
| HUD
|
Housing
and Urban Development |
| LME
|
London
Metal Exchange |
| MSCI
|
Morgan
Stanley Capital International |
| NATL
|
National
Public Finance Guarantee Corp. |
| Nyrt
|
New York
REIT Inc |
| PSF-GTD
|
Permanent
School Fund Guaranteed |
| Q-SBLF
|
Qualified
School Bond Loan Fund |
| RBOB
|
Reformulated
Blendstock for Oxygenate Blending |
| REIT
|
Real
Estate Investment Trust |
| SD
CRED PROG |
School
District Credit Enhancement Program |
| SIFMA
|
Securities
Industry and Financial Markets Association |
| SOFR
|
Secured
Overnight Financing Rate |
| ST
APPROP |
State
Appropriation |
| ST
INTERCEPT |
State
Intercept Program |
| TBA
|
To Be
Announced |
| ULSD
|
Ultra-Low
Sulfur Diesel |
| WTI
|
West Texas
Intermediate |
Statements of Assets and
Liabilities
January 31, 2024 (Unaudited)
| |
Hartford
Core
Bond ETF |
|
Hartford
Large Cap
Growth ETF |
|
Hartford
Municipal
Opportunities
ETF |
|
Hartford
Schroders
Commodity Strategy ETF
(Consolidated) |
|
Hartford
Schroders
Tax-Aware
Bond ETF |
| Assets:
|
|
|
|
|
|
|
|
|
|
| Investments
in securities, at market value(1) |
$ 266,566,339
|
|
$ 104,728,271
|
|
$ 386,628,623
|
|
$ 10,835,405
|
|
$ 220,262,772
|
| Repurchase
agreements |
2,149,615
|
|
239,627
|
|
3,336,184
|
|
—
|
|
—
|
| Cash
|
8,806,216
|
|
942,468
|
|
13,117,115
|
|
—
|
|
—
|
| Cash
collateral due from broker on futures contracts |
—
|
|
—
|
|
—
|
|
1,076,378
|
|
—
|
| Cash
collateral held for securities on loan |
11,130
|
|
80,402
|
|
—
|
|
—
|
|
—
|
| Receivables:
|
|
|
|
|
|
|
|
|
|
| From
affiliates |
—
|
|
—
|
|
—
|
|
1,298
|
|
—
|
| Investment
securities sold |
6,930,436
|
|
3,453,002
|
|
2,829,839
|
|
—
|
|
1,819,497
|
| Dividends
and interest |
1,642,911
|
|
35
|
|
3,334,903
|
|
1,664
|
|
2,517,811
|
| Securities
lending income |
375
|
|
2,406
|
|
—
|
|
—
|
|
—
|
| Tax
reclaims |
2,071
|
|
—
|
|
—
|
|
—
|
|
629
|
| Total
assets |
286,109,093
|
|
109,446,211
|
|
409,246,664
|
|
11,914,745
|
|
224,600,709
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
| Obligation
to return securities lending collateral |
222,600
|
|
1,608,033
|
|
—
|
|
—
|
|
—
|
| Payables:
|
|
|
|
|
|
|
|
|
|
| Investment
securities purchased |
58,928,493
|
|
2,534,138
|
|
3,887,617
|
|
—
|
|
1,766,739
|
| Investment
management fees |
63,139
|
|
51,678
|
|
98,384
|
|
6,486
|
|
70,032
|
| Variation
margin on futures contracts |
266,146
|
|
—
|
|
—
|
|
37,291
|
|
—
|
| Variation
margin on centrally cleared swap contracts |
45,125
|
|
—
|
|
—
|
|
—
|
|
—
|
| Distributions
payable |
728,753
|
|
—
|
|
914,554
|
|
—
|
|
598,588
|
| Total
liabilities |
60,254,256
|
|
4,193,849
|
|
4,900,555
|
|
43,777
|
|
2,435,359
|
| Net
assets |
$ 225,854,837
|
|
$ 105,252,362
|
|
$ 404,346,109
|
|
$ 11,870,968
|
|
$ 222,165,350
|
| Summary
of Net Assets: |
|
|
|
|
|
|
|
|
|
| Paid-in-capital
|
$ 267,959,910
|
|
$ 103,962,840
|
|
$ 414,280,697
|
|
$ 12,404,183
|
|
$ 226,602,416
|
| Distributable
earnings (loss) |
(42,105,073)
|
|
1,289,522
|
|
(9,934,588)
|
|
(533,215)
|
|
(4,437,066)
|
| Net
assets |
225,854,837
|
|
105,252,362
|
|
404,346,109
|
|
11,870,968
|
|
222,165,350
|
| Net
asset value per share |
35.02
|
|
17.33
|
|
38.79
|
|
14.39
|
|
19.57
|
| Shares
issued and outstanding |
6,450,000
|
|
6,075,000
|
|
10,425,000
|
|
825,000
|
|
11,350,000
|
| Cost
of investments |
$ 286,626,745
|
|
$
79,890,864 |
|
$ 392,967,669
|
|
$ 10,868,829
|
|
$ 216,959,530
|
|
(1) Includes Investment in securities on loan, at market value |
$
214,289 |
|
$
1,546,118 |
|
$
— |
|
$
— |
|
$ — |
The accompanying notes are an integral part of these
financial statements.
Statements of Assets and Liabilities
– (continued)
January 31, 2024 (Unaudited)
| |
Hartford
Short
Duration
ETF |
|
Hartford
Sustainable
Income ETF |
|
Hartford
Total
Return Bond
ETF |
| Assets:
|
|
|
|
|
|
| Investments
in securities, at market value(1) |
$
89,772,574 |
|
$ 65,644,272
|
|
$ 1,779,528,015
|
| Repurchase
agreements |
3,380,279
|
|
128,179
|
|
1,822,381
|
| Cash
|
13,689,411
|
|
1,258,205
|
|
11,526,292
|
| Cash
collateral due from broker on futures contracts |
230,176
|
|
232,476
|
|
—
|
| Cash
collateral held for securities on loan |
1,256
|
|
27,138
|
|
136,939
|
| Foreign
currency |
56,807
|
|
219,802
|
|
304,717
|
| Unrealized
appreciation on foreign currency contracts |
3,781
|
|
40,601
|
|
256,542
|
| Receivables:
|
|
|
|
|
|
| Investment
securities sold |
8,272,203
|
|
782,553
|
|
153,891,732
|
| Fund
shares sold |
—
|
|
—
|
|
6,762,722
|
| Dividends
and interest |
707,707
|
|
674,474
|
|
10,607,772
|
| Securities
lending income |
86
|
|
342
|
|
386
|
| Variation
margin on centrally cleared swap contracts |
—
|
|
—
|
|
2,865,534
|
| Tax
reclaims |
—
|
|
12,892
|
|
1,803
|
| Total
assets |
116,114,280
|
|
69,020,934
|
|
1,967,704,835
|
| Liabilities:
|
|
|
|
|
|
| Unrealized
depreciation on foreign currency contracts |
2,014
|
|
25,934
|
|
45,889
|
| Obligation
to return securities lending collateral |
25,125
|
|
542,766
|
|
2,738,780
|
| Cash
collateral due to broker on swap contracts |
—
|
|
—
|
|
3,137,978
|
| TBA
sale commitments, at market value |
—
|
|
—
|
|
103,137,224
|
| Payables:
|
|
|
|
|
|
| Investment
securities purchased |
6,445,633
|
|
6,959,975
|
|
421,665,449
|
| Investment
management fees |
25,722
|
|
27,747
|
|
344,373
|
| Variation
margin on futures contracts |
41,210
|
|
297,248
|
|
1,869,955
|
| Variation
margin on centrally cleared swap contracts |
—
|
|
36,160
|
|
—
|
| Distributions
payable |
369,583
|
|
243,625
|
|
4,424,742
|
| Total
liabilities |
6,909,287
|
|
8,133,455
|
|
537,364,390
|
| Net
assets |
$ 109,204,993
|
|
$ 60,887,479
|
|
$ 1,430,340,445
|
| Summary
of Net Assets: |
|
|
|
|
|
| Paid-in-capital
|
$ 111,033,394
|
|
$ 68,632,680
|
|
$ 1,589,269,542
|
| Distributable
earnings (loss) |
(1,828,401)
|
|
(7,745,201)
|
|
(158,929,097)
|
| Net
assets |
109,204,993
|
|
60,887,479
|
|
1,430,340,445
|
| Net
asset value per share |
39.00
|
|
33.83
|
|
33.89
|
| Shares
issued and outstanding |
2,800,000
|
|
1,800,000
|
|
42,200,000
|
| Cost
of investments |
$
93,104,377 |
|
$ 67,660,209
|
|
$ 1,846,373,165
|
| Cost
of foreign currency |
$
56,807 |
|
$
219,889 |
|
$
302,072 |
| Proceeds
of TBA sale commitments |
$
— |
|
$
— |
|
$
102,402,521 |
|
(1) Includes Investment in securities on loan, at market value |
$
24,622 |
|
$
521,816 |
|
$ 2,664,970 |
The accompanying notes are an integral part of these financial
statements.
Statements of Operations
For the
Six-Month Period Ended January 31, 2024 (Unaudited)
| |
Hartford
Core
Bond ETF |
|
Hartford
Large Cap
Growth ETF |
|
Hartford
Municipal
Opportunities
ETF |
|
Hartford
Schroders
Commodity Strategy ETF
(Consolidated) |
|
Hartford
Schroders
Tax-Aware
Bond ETF |
| Investment
Income: |
|
|
|
|
|
|
|
|
|
| Dividends
|
$
— |
|
$
164,858 |
|
$
— |
|
$
2,900 |
|
$
— |
| Interest
|
5,193,463
|
|
46,691
|
|
6,695,405
|
|
353,345
|
|
3,575,479
|
| Securities
lending — net |
1,844
|
|
3,439
|
|
—
|
|
—
|
|
—
|
| Less:
Foreign tax withheld |
(24)
|
|
—
|
|
—
|
|
(177)
|
|
—
|
| Total
investment income, net |
5,195,283
|
|
214,988
|
|
6,695,405
|
|
356,068
|
|
3,575,479
|
| Expenses:
|
|
|
|
|
|
|
|
|
|
| Investment
management fees |
369,437
|
|
281,872
|
|
554,785
|
|
49,239
|
|
337,455
|
| Custodian
fees |
—
|
|
—
|
|
—
|
|
739
|
|
—
|
| Accounting
services fees |
—
|
|
—
|
|
—
|
|
5
|
|
—
|
| Total
expenses (before waivers, reimbursements and fees paid indirectly) |
369,437
|
|
281,872
|
|
554,785
|
|
49,983
|
|
337,455
|
| Expense
waivers |
—
|
|
—
|
|
—
|
|
(744)
|
|
—
|
| Management
fee waivers |
—
|
|
—
|
|
—
|
|
(5,470)
|
|
—
|
| Commission
recapture |
—
|
|
(687)
|
|
—
|
|
—
|
|
—
|
| Total
waivers, reimbursements and fees paid indirectly |
—
|
|
(687)
|
|
—
|
|
(6,214)
|
|
—
|
| Total
expenses |
369,437
|
|
281,185
|
|
554,785
|
|
43,769
|
|
337,455
|
| Net
Investment Income (Loss) |
4,825,846
|
|
(66,197)
|
|
6,140,620
|
|
312,299
|
|
3,238,024
|
| Net
Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: |
|
|
|
|
|
|
|
|
|
| Investments
|
(3,013,075)
(1) |
|
(578,468)
(1) |
|
(608,437)
|
|
9,825
|
|
(1,794,652)
|
| Futures
contracts |
1,092,823
|
|
—
|
|
—
|
|
(579,040)
|
|
—
|
| Swap
contracts |
52,829
|
|
—
|
|
—
|
|
—
|
|
—
|
| Other
foreign currency transactions |
—
|
|
—
|
|
—
|
|
(244)
|
|
—
|
| Net
Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions |
(1,867,423)
|
|
(578,468)
|
|
(608,437)
|
|
(569,459)
|
|
(1,794,652)
|
| Net
Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: |
|
|
|
|
|
|
|
|
|
| Investments
|
7,776,019
|
|
8,564,424
|
|
8,163,288
|
|
(23,566)
|
|
5,880,795
|
| Futures
contracts |
(1,123,104)
|
|
—
|
|
—
|
|
(678,994)
|
|
—
|
| Swap
contracts |
69,466
|
|
—
|
|
—
|
|
—
|
|
—
|
| Translation
of other assets and liabilities in foreign currencies |
—
|
|
—
|
|
—
|
|
(91)
|
|
—
|
| Net
Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions |
6,722,381
|
|
8,564,424
|
|
8,163,288
|
|
(702,651)
|
|
5,880,795
|
| Net
Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions |
4,854,958
|
|
7,985,956
|
|
7,554,851
|
|
(1,272,110)
|
|
4,086,143
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
$ 9,680,804
|
|
$ 7,919,759
|
|
$ 13,695,471
|
|
$ (959,811)
|
|
$ 7,324,167
|
|
(1) |
Includes
realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
The accompanying notes are an integral part of these
financial statements.
Statements of Operations –
(continued)
For the Six-Month Period Ended January 31, 2024 (Unaudited)
| |
Hartford
Short
Duration
ETF |
|
Hartford
Sustainable
Income ETF |
|
Hartford
Total
Return Bond
ETF |
| Investment
Income: |
|
|
|
|
|
| Dividends
|
$
— |
|
$
1,857 |
|
$
— |
| Interest
|
1,919,598
|
|
1,718,599
|
|
29,769,667
|
| Securities
lending — net |
104
|
|
1,025
|
|
5,833
|
| Less:
Foreign tax withheld |
—
|
|
(428)
|
|
(36)
|
| Total
investment income, net |
1,919,702
|
|
1,721,053
|
|
29,775,464
|
| Expenses:
|
|
|
|
|
|
| Investment
management fees |
110,249
|
|
153,298
|
|
1,875,539
|
| Total
expenses |
110,249
|
|
153,298
|
|
1,875,539
|
| Net
Investment Income (Loss) |
1,809,453
|
|
1,567,755
|
|
27,899,925
|
| Net
Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: |
|
|
|
|
|
| Investments
|
(275,371)
(1) |
|
(1,112,964)
|
|
(6,524,408)
(1) |
| Purchased
options contracts |
—
|
|
—
|
|
6,045
|
| Futures
contracts |
(24,943)
|
|
(285,634)
|
|
715,841
|
| Swap
contracts |
—
|
|
133,461
|
|
(640,624)
|
| Foreign
currency contracts |
10,084
|
|
151,046
|
|
(243,265)
|
| Other
foreign currency transactions |
(1,339)
|
|
3,689
|
|
(34,453)
|
| Net
Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions |
(291,569)
|
|
(1,110,402)
|
|
(6,720,864)
|
| Net
Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: |
|
|
|
|
|
| Investments
|
2,672,762
|
|
2,209,653
|
|
33,652,540
|
| Purchased
options contracts |
—
|
|
—
|
|
4,845
|
| Futures
contracts |
(171,277)
|
|
219,635
|
|
(110,016)
|
| Swap
contracts |
—
|
|
113,367
|
|
1,121,995
|
| Foreign
currency contracts |
3,702
|
|
51,239
|
|
737,891
|
| Translation
of other assets and liabilities in foreign currencies |
(991)
|
|
345
|
|
(234)
|
| Net
Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions |
2,504,196
|
|
2,594,239
|
|
35,407,021
|
| Net
Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions |
2,212,627
|
|
1,483,837
|
|
28,686,157
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
$ 4,022,080
|
|
$ 3,051,592
|
|
$ 56,586,082
|
|
(1) |
Includes
realized gains/(losses) as a result of in-kind redemptions (See Note 12 in Notes to Financial Statements). |
The accompanying notes are an integral part of these financial
statements.
Statements of Changes in Net
Assets
| |
Hartford
Core
Bond ETF |
|
Hartford
Large Cap
Growth ETF |
| |
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
|
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
| Operations:
|
|
|
|
|
|
|
|
| Net
investment income (loss) |
$
4,825,846 |
|
$
7,209,225 |
|
$
(66,197) |
|
$
(58,101) |
| Net
realized gain (loss) on investments, other financial instruments and foreign currency transactions |
(1,867,423)
|
|
(13,102,741)
|
|
(578,468)
|
|
(8,368,102)
|
| Net
changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions |
6,722,381
|
|
(1,977,253)
|
|
8,564,424
|
|
27,196,702
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
9,680,804
|
|
(7,870,769)
|
|
7,919,759
|
|
18,770,499
|
| Distributions
to Shareholders |
(5,123,862)
|
|
(7,005,459)
|
|
—
|
|
—
|
| Capital
Share Transactions: |
|
|
|
|
|
|
|
| Sold
|
11,728,240
|
|
24,250,463
|
|
738,280
|
|
3,856,861
|
| Redeemed
|
(41,628,698)
|
|
(5,350,460)
|
|
(418,147)
|
|
(3,984,976)
|
| Other
Capital |
4,795
|
|
6,688
|
|
18
|
|
123
|
| Net
increase (decrease) from capital share transactions |
(29,895,663)
|
|
18,906,691
|
|
320,151
|
|
(127,992)
|
| Net
Increase (Decrease) in Net Assets |
(25,338,721)
|
|
4,030,463
|
|
8,239,910
|
|
18,642,507
|
| Net
Assets: |
|
|
|
|
|
|
|
| Beginning
of period |
251,193,558
|
|
247,163,095
|
|
97,012,452
|
|
78,369,945
|
| End
of period |
$ 225,854,837
|
|
$ 251,193,558
|
|
$ 105,252,362
|
|
$ 97,012,452
|
The accompanying notes are an integral part of these
financial statements.
Statements of Changes in Net Assets
– (continued)
| |
Hartford
Municipal
Opportunities ETF |
|
Hartford
Schroders
Commodity Strategy ETF
(Consolidated) |
| |
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
|
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
| Operations:
|
|
|
|
|
|
|
|
| Net
investment income (loss) |
$
6,140,620 |
|
$
9,049,946 |
|
$
312,299 |
|
$
896,652 |
| Net
realized gain (loss) on investments, other financial instruments and foreign currency transactions |
(608,437)
|
|
(1,996,300)
|
|
(569,459)
|
|
(10,093,389)
|
| Net
changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions |
8,163,288
|
|
(2,755,006)
|
|
(702,651)
|
|
2,947,440
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
13,695,471
|
|
4,298,640
|
|
(959,811)
|
|
(6,249,297)
|
| Distributions
to Shareholders |
(6,321,406)
|
|
(8,703,726)
|
|
(875,001)
|
|
(11,692,691)
|
| Capital
Share Transactions: |
|
|
|
|
|
|
|
| Sold
|
27,847,835
|
|
134,344,105
|
|
—
|
|
15,666,165
|
| Redeemed
|
(7,392,028)
|
|
(23,026,359)
|
|
(2,248,400)
|
|
(40,601,944)
|
| Other
Capital |
21,144
|
|
93,530
|
|
225
|
|
8,440
|
| Net
increase (decrease) from capital share transactions |
20,476,951
|
|
111,411,276
|
|
(2,248,175)
|
|
(24,927,339)
|
| Net
Increase (Decrease) in Net Assets |
27,851,016
|
|
107,006,190
|
|
(4,082,987)
|
|
(42,869,327)
|
| Net
Assets: |
|
|
|
|
|
|
|
| Beginning
of period |
376,495,093
|
|
269,488,903
|
|
15,953,955
|
|
58,823,282
|
| End
of period |
$ 404,346,109
|
|
$ 376,495,093
|
|
$ 11,870,968
|
|
$ 15,953,955
|
The accompanying notes are an integral part of these
financial statements.
Statements of Changes in Net Assets
– (continued)
| |
Hartford
Schroders Tax-Aware
Bond ETF |
|
Hartford
Short
Duration ETF |
| |
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
|
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
| Operations:
|
|
|
|
|
|
|
|
| Net
investment income (loss) |
$
3,238,024 |
|
$
2,800,295 |
|
$
1,809,453 |
|
$
2,125,845 |
| Net
realized gain (loss) on investments, other financial instruments and foreign currency transactions |
(1,794,652)
|
|
(3,642,287)
|
|
(291,569)
|
|
(2,958,803)
|
| Net
changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions |
5,880,795
|
|
1,024,786
|
|
2,504,196
|
|
2,061,939
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
7,324,167
|
|
182,794
|
|
4,022,080
|
|
1,228,981
|
| Distributions
to Shareholders |
(3,199,555)
|
|
(2,771,803)
|
|
(1,796,651)
|
|
(2,132,637)
|
| Capital
Share Transactions: |
|
|
|
|
|
|
|
| Sold
|
105,097,180
|
|
83,606,082
|
|
68,905,493
|
|
3,818,593
|
| Redeemed
|
(29,343,066)
|
|
(24,247,500)
|
|
(7,701,060)
|
|
(39,965,272)
|
| Other
Capital |
99,476
|
|
79,810
|
|
26,797
|
|
23,539
|
| Net
increase (decrease) from capital share transactions |
75,853,590
|
|
59,438,392
|
|
61,231,230
|
|
(36,123,140)
|
| Net
Increase (Decrease) in Net Assets |
79,978,202
|
|
56,849,383
|
|
63,456,659
|
|
(37,026,796)
|
| Net
Assets: |
|
|
|
|
|
|
|
| Beginning
of period |
142,187,148
|
|
85,337,765
|
|
45,748,334
|
|
82,775,130
|
| End
of period |
$ 222,165,350
|
|
$ 142,187,148
|
|
$ 109,204,993
|
|
$ 45,748,334
|
The accompanying notes are an integral part of these
financial statements.
Statements of Changes in Net Assets
– (continued)
| |
Hartford
Sustainable
Income ETF |
|
Hartford
Total Return
Bond ETF |
| |
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
|
For
the
Six-Month
Period Ended
January 31, 2024
(Unaudited) |
|
For
the
Year Ended
July 31,
2023 |
| Operations:
|
|
|
|
|
|
|
|
| Net
investment income (loss) |
$
1,567,755 |
|
$
2,319,939 |
|
$
27,899,925 |
|
$
37,786,188 |
| Net
realized gain (loss) on investments, other financial instruments and foreign currency transactions |
(1,110,402)
|
|
(2,689,314)
|
|
(6,720,864)
|
|
(44,879,880)
|
| Net
changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions |
2,594,239
|
|
2,335,091
|
|
35,407,021
|
|
(13,254,666)
|
| Net
Increase (Decrease) in Net Assets Resulting from Operations |
3,051,592
|
|
1,965,716
|
|
56,586,082
|
|
(20,348,358)
|
| Distributions
to Shareholders |
(2,045,135)
|
|
(2,636,854)
|
|
(28,634,247)
|
|
(35,217,184)
|
| Capital
Share Transactions: |
|
|
|
|
|
|
|
| Sold
|
6,702,199
|
|
8,350,638
|
|
298,484,231
|
|
376,222,975
|
| Redeemed
|
—
|
|
—
|
|
(89,360,062)
|
|
(97,287,802)
|
| Other
Capital |
7,149
|
|
7,029
|
|
152,377
|
|
146,203
|
| Net
increase (decrease) from capital share transactions |
6,709,348
|
|
8,357,667
|
|
209,276,546
|
|
279,081,376
|
| Net
Increase (Decrease) in Net Assets |
7,715,805
|
|
7,686,529
|
|
237,228,381
|
|
223,515,834
|
| Net
Assets: |
|
|
|
|
|
|
|
| Beginning
of period |
53,171,674
|
|
45,485,145
|
|
1,193,112,064
|
|
969,596,230
|
| End
of period |
$ 60,887,479
|
|
$ 53,171,674
|
|
$ 1,430,340,445
|
|
$ 1,193,112,064
|
The accompanying notes are an integral part of these
financial statements.
| |
—Selected
Per-Share Data(1)— |
|
—Ratios
and Supplemental Data — |
| |
Net
Asset
Value at
Beginning
of Period |
|
Net
Investment
Income
(Loss) |
|
Net
Realized
and
Unrealized
Gain (Loss)
on
Investments |
|
Total
from
Investment
Operations |
|
Other
Capital |
|
Dividends
from Net
Investment
Income |
|
Distributions
from
Capital
Gains |
|
Total
Dividends
and
Distributions |
|
Net
Asset
Value at
End of
Period |
|
Total
Return(2) |
|
Net
Assets at
End of
Period
(000s) |
|
Ratio
of
Expenses
to
Average
Net
Assets
Before
Adjust-
ments(3) |
|
Ratio
of
Expenses
to
Average
Net
Assets
After
Adjust-
ments |
|
Ratio
of
Net
Investment
Income
(Loss) to
Average
Net Assets |
|
Portfolio
Turnover(4) |
| Hartford
Core Bond ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 34.41
|
|
$
0.65 |
|
$
0.66 |
|
$
1.31 |
|
$ 0.00
(5) |
|
$ (0.70)
|
|
$
— |
|
$ (0.70)
|
|
$ 35.02
|
|
3.87%
(6) |
|
$
225,855 |
|
0.29%
(7) |
|
0.29%
(7) |
|
3.79%
(7) |
|
21%
(8) |
| For
the Year Ended July 31, 2023 |
| |
$ 36.62
|
|
$
1.03 |
|
$ (2.25)
|
|
$ (1.22)
|
|
$ 0.00
(5) |
|
$ (0.99)
|
|
$
— |
|
$ (0.99)
|
|
$ 34.41
|
|
(3.29)%
|
|
$
251,194 |
|
0.29%
|
|
0.29%
|
|
2.97%
|
|
60%
(8) |
| For
the Year Ended July 31, 2022 |
| |
$ 41.48
|
|
$
0.55 |
|
$ (4.72)
|
|
$ (4.17)
|
|
$ 0.01
|
|
$ (0.56)
|
|
$ (0.14)
|
|
$ (0.70)
|
|
$ 36.62
|
|
(10.11)%
|
|
$
247,163 |
|
0.29%
|
|
0.29%
|
|
1.42%
|
|
36%
(8) |
| For
the Year Ended July 31, 2021 |
| |
$ 42.52
|
|
$
0.44 |
|
$ (0.73)
|
|
$ (0.29)
|
|
$ 0.03
|
|
$ (0.45)
|
|
$ (0.33)
|
|
$ (0.78)
|
|
$ 41.48
|
|
(0.59)%
|
|
$
265,503 |
|
0.29%
|
|
0.29%
|
|
1.06%
|
|
30%
(8) |
| For
the Period Ended July 31, 2020(9) |
| |
$ 40.00
|
|
$
0.21 |
|
$
2.50 |
|
$
2.71 |
|
$ 0.05
|
|
$ (0.24)
|
|
$
— |
|
$ (0.24)
|
|
$ 42.52
|
|
6.91%
(6) |
|
$
138,187 |
|
0.29%
(7) |
|
0.29%
(7) |
|
1.19%
(7) |
|
26%
(8) |
| Hartford
Large Cap Growth ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 16.04
|
|
$ (0.01)
|
|
$
1.30 |
|
$
1.29 |
|
$ 0.00
(5) |
|
$
— |
|
$
— |
|
$
— |
|
$ 17.33
|
|
8.04%
(6) |
|
$
105,252 |
|
0.59%
(7) |
|
0.59%
(7) |
|
(0.14)%
(7) |
|
48%
|
| For
the Year Ended July 31, 2023 |
| |
$ 12.95
|
|
$ (0.01)
|
|
$
3.10 |
|
$
3.09 |
|
$ 0.00
(5) |
|
$
— |
|
$
— |
|
$
— |
|
$ 16.04
|
|
23.86%
|
|
$
97,012 |
|
0.59%
|
|
0.59%
|
|
(0.07)%
|
|
103%
|
| For
the Period Ended July 31, 2022(10) |
| |
$ 20.00
|
|
$ (0.04)
|
|
$ (7.01)
|
|
$ (7.05)
|
|
$ 0.00
(5) |
|
$
— |
|
$
— |
|
$
— |
|
$ 12.95
|
|
(35.25)%
(6) |
|
$
78,370 |
|
0.59%
(7) |
|
0.59%
(7) |
|
(0.38)%
(7) |
|
90%
|
| Hartford
Municipal Opportunities ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 38.03
|
|
$
0.61 |
|
$
0.77 |
|
$
1.38 |
|
$ 0.00
(5) |
|
$ (0.62)
|
|
$
— |
|
$ (0.62)
|
|
$ 38.79
|
|
3.69%
(6) |
|
$
404,346 |
|
0.29%
(7) |
|
0.29%
(7) |
|
3.21%
(7) |
|
24%
|
| For
the Year Ended July 31, 2023 |
| |
$ 38.78
|
|
$
1.05 |
|
$ (0.81)
|
|
$
0.24 |
|
$ 0.01
|
|
$ (1.00)
|
|
$
— |
|
$ (1.00)
|
|
$ 38.03
|
|
0.70%
|
|
$
376,495 |
|
0.29%
|
|
0.29%
|
|
2.79%
|
|
16%
|
| For
the Year Ended July 31, 2022 |
| |
$ 42.32
|
|
$
0.69 |
|
$ (3.56)
|
|
$ (2.87)
|
|
$ 0.01
|
|
$ (0.68)
|
|
$
— |
|
$ (0.68)
|
|
$ 38.78
|
|
(6.80)%
|
|
$
269,489 |
|
0.29%
|
|
0.29%
|
|
1.73%
|
|
37%
|
| For
the Year Ended July 31, 2021 |
| |
$ 42.52
|
|
$
0.80 |
|
$
0.98 |
|
$
1.78 |
|
$ 0.01
|
|
$ (0.79)
|
|
$ (1.20)
|
|
$ (1.99)
|
|
$ 42.32
|
|
4.40%
|
|
$
201,043 |
|
0.29%
|
|
0.29%
|
|
1.92%
|
|
17%
|
| For
the Year Ended July 31, 2020 |
| |
$ 41.72
|
|
$
1.04(11) |
|
$
0.95(11) |
|
$
1.99 |
|
$ 0.02
|
|
$ (1.06)
|
|
$ (0.15)
|
|
$ (1.21)
|
|
$ 42.52
|
|
4.90%
|
|
$
106,291 |
|
0.29%
|
|
0.29%
|
|
2.49%
(11) |
|
67%
|
| For
the Year Ended July 31, 2019 |
| |
$ 39.72
|
|
$
1.07 |
|
$
1.92 |
|
$
2.99 |
|
$ 0.02
|
|
$ (1.01)
|
|
$
— |
|
$ (1.01)
|
|
$ 41.72
|
|
7.68%
|
|
$
139,773 |
|
0.29%
|
|
0.29%
|
|
2.65%
|
|
32%
|
| Hartford
Schroders Commodity Strategy ETF (Consolidated) |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 16.36
|
|
$
0.33 |
|
$ (1.33)
|
|
$ (1.00)
|
|
$ 0.00
(5) |
|
$ (0.97)
|
|
$
— |
|
$ (0.97)
|
|
$ 14.39
|
|
(6.14)%
(6) |
|
$
11,871 |
|
0.67%
(7) |
|
0.59%
(7) |
|
4.21%
(7) |
|
31%
|
| For
the Year Ended July 31, 2023 |
| |
$ 25.03
|
|
$
0.43 |
|
$ (2.83)
|
|
$ (2.40)
|
|
$ 0.00
(5) |
|
$ (6.27)
|
|
$
— |
|
$ (6.27)
|
|
$ 16.36
|
|
(11.63)%
|
|
$
15,954 |
|
1.02%
|
|
0.87%
|
|
2.42%
|
|
134%
|
| For
the Period Ended July 31, 2022(12) |
| |
$ 20.00
|
|
$ (0.09)
|
|
$
5.11 |
|
$
5.02 |
|
$ 0.01
|
|
$
— |
|
$
— |
|
$
— |
|
$ 25.03
|
|
25.15%
(6) |
|
$
58,823 |
|
1.05%
(7) |
|
0.89%
(7) |
|
(0.43)%
(7) |
|
407%
|
| Hartford
Schroders Tax-Aware Bond ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 19.35
|
|
$
0.36 |
|
$
0.19 |
|
$
0.55 |
|
$ 0.01
|
|
$ (0.34)
|
|
$
— |
|
$ (0.34)
|
|
$ 19.57
|
|
2.96%
(6) |
|
$
222,165 |
|
0.39%
(7) |
|
0.39%
(7) |
|
3.74%
(7) |
|
51%
|
The accompanying notes are an integral part of these financial
statements.
Financial Highlights –
(continued)
| |
—Selected
Per-Share Data(1)— |
|
—Ratios
and Supplemental Data — |
| |
Net
Asset
Value at
Beginning
of Period |
|
Net
Investment
Income
(Loss) |
|
Net
Realized
and
Unrealized
Gain (Loss)
on
Investments |
|
Total
from
Investment
Operations |
|
Other
Capital |
|
Dividends
from Net
Investment
Income |
|
Distributions
from
Capital
Gains |
|
Total
Dividends
and
Distributions |
|
Net
Asset
Value at
End of
Period |
|
Total
Return(2) |
|
Net
Assets at
End of
Period
(000s) |
|
Ratio
of
Expenses
to
Average
Net
Assets
Before
Adjust-
ments(3) |
|
Ratio
of
Expenses
to
Average
Net
Assets
After
Adjust-
ments |
|
Ratio
of
Net
Investment
Income
(Loss) to
Average
Net Assets |
|
Portfolio
Turnover(4) |
| Hartford
Schroders Tax-Aware Bond ETF – (continued) |
| For
the Year Ended July 31, 2023 |
| |
$ 19.85
|
|
$
0.60 |
|
$ (0.55)
|
|
$
0.05 |
|
$ 0.02
|
|
$ (0.57)
|
|
$
— |
|
$ (0.57)
|
|
$ 19.35
|
|
0.43%
|
|
$
142,187 |
|
0.39%
|
|
0.39%
|
|
3.10%
|
|
135%
|
| For
the Year Ended July 31, 2022 |
| |
$ 21.80
|
|
$
0.31 |
|
$ (1.74)
|
|
$ (1.43)
|
|
$ 0.01
|
|
$ (0.32)
|
|
$ (0.21)
|
|
$ (0.53)
|
|
$ 19.85
|
|
(6.58)%
|
|
$
85,338 |
|
0.39%
|
|
0.39%
|
|
1.51%
|
|
116%
|
| For
the Year Ended July 31, 2021 |
| |
$ 21.76
|
|
$
0.25 |
|
$
0.08 |
|
$
0.33 |
|
$ 0.02
|
|
$ (0.25)
|
|
$ (0.06)
|
|
$ (0.31)
|
|
$ 21.80
|
|
1.64%
|
|
$
105,708 |
|
0.39%
|
|
0.39%
|
|
1.14%
|
|
199%
|
| For
the Year Ended July 31, 2020 |
| |
$ 20.95
|
|
$
0.35 |
|
$
0.91 |
|
$
1.26 |
|
$ 0.02
|
|
$ (0.37)
|
|
$ (0.10)
|
|
$ (0.47)
|
|
$ 21.76
|
|
6.18%
|
|
$
76,168 |
|
0.39%
|
|
0.39%
|
|
1.67%
|
|
165%
|
| For
the Year Ended July 31, 2019 |
| |
$ 19.98
|
|
$
0.51 |
|
$
0.99 |
|
$
1.50 |
|
$
— |
|
$ (0.53)
|
|
$
— |
|
$ (0.53)
|
|
$ 20.95
|
|
7.62%
|
|
$
27,230 |
|
0.39%
|
|
0.39%
|
|
2.55%
|
|
165%
|
| Hartford
Short Duration ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 38.12
|
|
$
0.92 |
|
$
0.80 |
|
$
1.72 |
|
$ 0.01
|
|
$ (0.85)
|
|
$
— |
|
$ (0.85)
|
|
$ 39.00
|
|
4.60%
(6) |
|
$
109,205 |
|
0.29%
(7) |
|
0.29%
(7) |
|
4.76%
(7) |
|
35%
|
| For
the Year Ended July 31, 2023 |
| |
$ 38.50
|
|
$
1.31 |
|
$ (0.34)
|
|
$
0.97 |
|
$ 0.01
|
|
$ (1.36)
|
|
$
— |
|
$ (1.36)
|
|
$ 38.12
|
|
2.63%
|
|
$
45,748 |
|
0.29%
|
|
0.29%
|
|
3.43%
|
|
14%
|
| For
the Year Ended July 31, 2022 |
| |
$ 41.03
|
|
$
0.77 |
|
$ (2.41)
|
|
$ (1.64)
|
|
$ 0.01
|
|
$ (0.85)
|
|
$ (0.05)
|
|
$ (0.90)
|
|
$ 38.50
|
|
(4.01)%
|
|
$
82,775 |
|
0.29%
|
|
0.29%
|
|
1.92%
|
|
41%
(13) |
| For
the Year Ended July 31, 2021 |
| |
$ 40.88
|
|
$
0.90 |
|
$
0.17 |
|
$
1.07 |
|
$ 0.02
|
|
$ (0.94)
|
|
$
— |
|
$ (0.94)
|
|
$ 41.03
|
|
2.69%
|
|
$
129,241 |
|
0.29%
|
|
0.29%
|
|
2.20%
|
|
41%
(13) |
| For
the Year Ended July 31, 2020 |
| |
$ 40.70
|
|
$
1.29(11) |
|
$
0.20(11) |
|
$
1.49 |
|
$ 0.02
|
|
$ (1.33)
|
|
$
— |
|
$ (1.33)
|
|
$ 40.88
|
|
3.78%
|
|
$
87,882 |
|
0.29%
|
|
0.29%
|
|
3.19%
(11) |
|
29%
(13) |
| For
the Year Ended July 31, 2019 |
| |
$ 39.97
|
|
$
1.38 |
|
$
0.64 |
|
$
2.02 |
|
$ 0.02
|
|
$ (1.31)
|
|
$
— |
|
$ (1.31)
|
|
$ 40.70
|
|
5.20%
|
|
$
109,889 |
|
0.29%
|
|
0.29%
|
|
3.45%
|
|
28%
|
| Hartford
Sustainable Income ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 33.23
|
|
$
0.91 |
|
$
0.86 |
|
$
1.77 |
|
$ 0.00
(5) |
|
$ (1.17)
|
|
$
— |
|
$ (1.17)
|
|
$ 33.83
|
|
5.46%
(6) |
|
$
60,887 |
|
0.54%
(7) |
|
0.54%
(7) |
|
5.52%
(7) |
|
23%
(14) |
| For
the Year Ended July 31, 2023 |
| |
$ 33.69
|
|
$
1.61 |
|
$ (0.24)
|
|
$
1.37 |
|
$ 0.00
(5) |
|
$ (1.83)
|
|
$
— |
|
$ (1.83)
|
|
$ 33.23
|
|
4.28%
|
|
$
53,172 |
|
0.54%
|
|
0.54%
|
|
4.89%
|
|
63%
(14) |
| For
the Period Ended July 31, 2022(15) |
| |
$ 40.00
|
|
$
0.91 |
|
$ (6.35)
|
|
$ (5.44)
|
|
$ 0.09
|
|
$ (0.96)
|
|
$
— |
|
$ (0.96)
|
|
$ 33.69
|
|
(13.52)%
(6) |
|
$
45,485 |
|
0.54%
(7) |
|
0.54%
(7) |
|
2.87%
(7) |
|
39%
(14) |
| Hartford
Total Return Bond ETF |
| For
the Six-Month Period Ended January 31, 2024 (Unaudited) |
| |
$ 33.28
|
|
$
0.71 |
|
$
0.62 |
|
$
1.33 |
|
$ 0.00
(5) |
|
$ (0.72)
|
|
$
— |
|
$ (0.72)
|
|
$ 33.89
|
|
4.09%
(6) |
|
$ 1,430,340
|
|
0.29%
(7) |
|
0.29%
(7) |
|
4.31%
(7) |
|
21%
(16) |
| For
the Year Ended July 31, 2023 |
| |
$ 35.19
|
|
$
1.25 |
|
$ (2.01)
|
|
$ (0.76)
|
|
$ 0.00
(5) |
|
$ (1.15)
|
|
$
— |
|
$ (1.15)
|
|
$ 33.28
|
|
(2.12)%
|
|
$ 1,193,112
|
|
0.29%
|
|
0.29%
|
|
3.72%
|
|
69%
(16) |
| For
the Year Ended July 31, 2022 |
| |
$ 41.16
|
|
$
0.93 |
|
$ (5.18)
|
|
$ (4.25)
|
|
$ 0.01
|
|
$ (1.02)
|
|
$ (0.71)
|
|
$ (1.73)
|
|
$ 35.19
|
|
(10.60)%
|
|
$
969,596 |
|
0.29%
|
|
0.29%
|
|
2.46%
|
|
61%
(16) |
| For
the Year Ended July 31, 2021 |
| |
$ 42.52
|
|
$
0.85 |
|
$ (0.35)
|
|
$
0.50 |
|
$ 0.01
|
|
$ (0.91)
|
|
$ (0.96)
|
|
$ (1.87)
|
|
$ 41.16
|
|
1.26%
|
|
$ 1,059,971
|
|
0.29%
|
|
0.29%
|
|
2.07%
|
|
49%
(16) |
| For
the Year Ended July 31, 2020 |
| |
$ 40.87
|
|
$
1.13(17) |
|
$
2.90(17) |
|
$
4.03 |
|
$ 0.02
|
|
$ (1.35)
|
|
$ (1.05)
|
|
$ (2.40)
|
|
$ 42.52
|
|
10.34%
|
|
$
697,309 |
|
0.29%
|
|
0.29%
|
|
2.76%
(17) |
|
79%
(16) |
The accompanying notes are an integral part of these financial
statements.
Financial Highlights –
(continued)
| |
—Selected
Per-Share Data(1)— |
|
—Ratios
and Supplemental Data — |
| |
Net
Asset
Value at
Beginning
of Period |
|
Net
Investment
Income
(Loss) |
|
Net
Realized
and
Unrealized
Gain (Loss)
on
Investments |
|
Total
from
Investment
Operations |
|
Other
Capital |
|
Dividends
from Net
Investment
Income |
|
Distributions
from
Capital
Gains |
|
Total
Dividends
and
Distributions |
|
Net
Asset
Value at
End of
Period |
|
Total
Return(2) |
|
Net
Assets at
End of
Period
(000s) |
|
Ratio
of
Expenses
to
Average
Net
Assets
Before
Adjust-
ments(3) |
|
Ratio
of
Expenses
to
Average
Net
Assets
After
Adjust-
ments |
|
Ratio
of
Net
Investment
Income
(Loss) to
Average
Net Assets |
|
Portfolio
Turnover(4) |
| Hartford
Total Return Bond ETF – (continued) |
| For
the Year Ended July 31, 2019 |
| |
$ 38.99
|
|
$
1.30 |
|
$
1.77 |
|
$
3.07 |
|
$ 0.05
|
|
$ (1.24)
|
|
$
— |
|
$ (1.24)
|
|
$ 40.87
|
|
8.14%
|
|
$
590,521 |
|
0.29%
|
|
0.29%
|
|
3.30%
|
|
54%
|
| FINANCIAL
HIGHLIGHTS FOOTNOTES |
|
(1) |
Information
presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
|
(2) |
Total
return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions,
if any, are assumed for purposes of this calculation, to be reinvested at net asset value at the end of the distribution day. |
|
(3) |
Adjustments
include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
|
(4) |
Portfolio
turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
|
(5) |
Per share
amount is less than $0.005. |
|
(6) |
Not
annualized. |
|
(7) |
Annualized.
|
|
(8) |
Excluding
TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 128% for the period ended January 31, 2024, 344%, 363%, 362% and 177% for the years ended July 31, 2023, July 31, 2022 and July 31, 2021
and the period ended July 31, 2020, respectively. |
|
(9) |
Commenced
operations on February 19, 2020. |
|
(10) |
Commenced
operations on November 9, 2021. |
|
(11) |
FASB
issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year
ended July 31, 2020 was an increase to net investment income per share for less than $0.005, decrease to net realized and unrealized gain (loss) on investments for less than $(0.005) and an increase to ratio of net investment income to average net
assets of less than 0.005%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect this change in presentation. |
|
(12) |
Commenced
operations on September 14, 2021. |
|
(13) |
Excluding
TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 47%, 53% and 41% for the years ended July 31, 2022, July 31, 2021 and July 31, 2020, respectively. |
|
(14) |
Excluding
TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 67% for the period ended January 31, 2024, 173% and 143% for the years ended July 31, 2023 and July 31, 2022, respectively. |
|
(15) |
Commenced
operations on September 21, 2021. |
|
(16) |
Excluding
TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 179% for the period ended January 31, 2024, 436%, 450%, 499% and 659% for the years ended July 31, 2023, July 31, 2022, July 31, 2021
and July 31, 2020, respectively. |
|
(17) |
FASB
issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year
ended July 31, 2020 was a decrease to net investment income per share for less than $(0.005), increase to net realized and unrealized gain (loss) on investments for less than $0.005 and a decrease to ratio of net investment income to average net
assets of (0.01)%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect a change in accounting standard. |
The accompanying notes are an integral part of these
financial statements.
Notes to Financial Statements
January 31, 2024 (Unaudited)
| 1.
|
Organization:
|
| |
Hartford
Funds Exchange-Traded Trust (the "Trust") is an open-end registered management investment company comprised of nine operational series as of January 31, 2024. The financial statements herein are for the series of the Trust listed below (each, a
"Fund" and collectively, the "Funds"). The financial statements of the remaining series of the Trust are presented separately. |
| |
|
| Hartford
Funds Exchange-Traded Trust: |
| Hartford
Core Bond ETF (the "Core Bond ETF") |
| Hartford
Large Cap Growth ETF (the "Large Cap Growth ETF") |
| Hartford
Municipal Opportunities ETF (the "Municipal Opportunities ETF") |
| Hartford
Schroders Commodity Strategy ETF (Consolidated) (the "Commodity Strategy ETF") |
| Hartford
Schroders Tax-Aware Bond ETF (the "Tax-Aware Bond ETF") |
| Hartford
Short Duration ETF (the "Short Duration ETF") |
| Hartford
Sustainable Income ETF (the "Sustainable Income ETF") |
| Hartford
Total Return Bond ETF (the "Total Return Bond ETF") |
Core Bond ETF commenced operations on
February 19, 2020. Large Cap Growth ETF commenced operations on November 9, 2021. Municipal Opportunities ETF commenced operations on December 13, 2017. Commodity Strategy ETF commenced operations on September 14, 2021. Short Duration ETF commenced
operations on May 30, 2018. Tax-Aware Bond ETF commenced operations on April 18, 2018. Sustainable Income ETF commenced operations on September 21, 2021. Total Return Bond ETF commenced operations on September 27, 2017. Each Fund is an
actively managed, exchange-traded fund ("ETF") that trades on an exchange like other publicly traded securities. Shares of Municipal Opportunities ETF, Commodity Strategy ETF, Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded on
NYSE Arca, Inc. ("NYSE Arca"). Shares of Core Bond ETF, Large Cap Growth ETF, Sustainable Income ETF and Short Duration ETF are listed and traded on Cboe BZX Exchange, Inc. ("Cboe BZX"). Each share of a Fund represents a partial ownership in
securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund in Creation Units at net asset value ("NAV") only by certain large institutional investors ("Authorized Participants") who have entered into agreements
with ALPS Distributors, Inc. ("ALPS" or the "Distributor"), the Funds’ Distributor.
The assets of each Fund are separate,
and a shareholder's interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on September 20, 2010 and is registered with the Securities and Exchange Commission (the "SEC") under the Investment
Company Act of 1940, as amended (the "1940 Act"). The shares of the Funds are registered under the Securities Act of 1933, as amended (the "Securities Act"). Each Fund is a diversified open-end management investment company. Each Fund applies
specialized accounting and reporting standards under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."
| 2.
|
Significant Accounting
Policies: |
| |
The
following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles ("U.S. GAAP"). The preparation of
financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
| a)
|
Determination of Net
Asset Value – The NAV of each Fund's shares is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE
Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a
typical business day and accept creation and redemption orders from Authorized Participants and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund is determined by dividing the value of
the Fund’s net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV
determined earlier that day. |
| b)
|
Investment
Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily
available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system,
established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit
quality information, general market conditions, news, and other factors and assumptions. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
With respect to a Fund's
investments that do not have readily available market prices, the Trust's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager" or "HFMC") as its valuation designee to perform fair valuations
pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). |
| |
If market prices are not
readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures").
|
| |
The Valuation Designee
has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee (the "Valuation Committee"). The Valuation Committee will consider all available relevant factors in determining an investment’s
fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. |
| |
Securities and other
instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be
able to purchase, sell or redeem shares of the Fund. |
| |
Fixed income investments
(other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or
less are generally valued at amortized cost, which approximates fair value. |
| |
Exchange-traded
derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange ("Exchange Close"). If a last sale price is not
available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the
Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. |
| |
Investments valued in
currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected
by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a
day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, sell or redeem shares of a Fund. |
| |
Foreign currency
contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the
Valuation Date. |
| |
Shares of investment
companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the
respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded Funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. |
| |
Financial instruments for
which prices are not available from an independent pricing service may be valued using quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures.
|
| |
U.S.
GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair
value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on
whether the valuation inputs are observable or unobservable. These levels are: |
| •
|
Level 1 – Quoted
prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
| •
|
Level 2 –
Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt
investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which
are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
| •
|
Level 3 –
Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These
unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value,
complexity of the investment |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
structure, general market
conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the
best available data and management believes the prices are a reasonable representation of exit price. |
Valuation levels are not necessarily
indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances
dictate.
For additional information,
refer to the Fair Value Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
| c)
|
Investment Transactions
and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued
or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. Income tax-related interest and penalties, if incurred, are recorded as income tax
expense. |
| |
The trade
date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on
which the transaction is entered into. |
| |
Dividend
income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely
manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. |
| |
Interest income,
including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed
securities are included in interest income in the Statements of Operations, as applicable. |
Please refer to Note 8 for Securities Lending
information.
| d)
|
Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from
securities in which a Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized or unrealized gain (loss) on
investments in these securities, if applicable. |
| e)
|
Foreign Currency
Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of
investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
| |
A Fund does not isolate
that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the
net realized and unrealized gain or loss on investments in the accompanying financial statements. |
| |
Net
realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net
unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates. |
| f)
|
Dividend Distributions to
Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of Core Bond ETF, Municipal Opportunities ETF,
Tax-Aware Bond ETF, Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF is to pay dividends from net investment income, if any, monthly and realized gains, if any, at least once a year. The policy of Large Cap Growth ETF and
Commodity Strategy ETF is to pay dividends from net investment income, if any, annually, and realized gains, if any, at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution
requirements of the Internal Revenue Code. |
| |
Income
dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing. |
| g)
|
Basis for Consolidation – The Commodity Strategy ETF may invest up to 25% of its total assets in a wholly-owned subsidiary of the Commodity Strategy ETF (the "Subsidiary"). The Subsidiary is organized under the laws of the Cayman
Islands and is consolidated in the Commodity Strategy ETF’s financial statements. All intercompany balances, revenues, and expenses have been eliminated in consolidation. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
The Subsidiary acts as an
investment vehicle in order to enter into certain investments (primarily commodities) for the Commodity Strategy ETF consistent with the investment objectives and policies specified in the Prospectus and Statement of Additional Information.
|
| 3.
|
Securities and Other
Investments: |
| a)
|
Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the
securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end
of each Fund's Schedule of Investments. |
| b)
|
Investments Purchased on
a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the
customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this
period, such investments are subject to market fluctuations, and a Fund identifies investments segregated in its records with a value at least equal to the amount of the commitment. See each Fund’s Schedule of Investments, if applicable, for
when-issued or delayed-delivery investments as of January 31, 2024. |
| |
A Fund
may enter into to-be announced ("TBA") commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific
securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or
delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an
offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or
receipt of the mortgage-backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. See each Fund's Schedule of Investments, if
applicable, for TBA commitments as of January 31, 2024. |
| c)
|
Senior Floating Rate
Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the "Borrower"), are
typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. Senior floating rate interests are typically structured
and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms
and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to
supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate
interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of
Operations. |
| |
Senior
floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead to non-payment of income, which would result
in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral
could be readily liquidated. See each Fund's Schedule of Investments, if applicable, for outstanding senior floating rate interests as of January 31, 2024. |
| d)
|
Mortgage-Related and
Other Asset-Backed Securities – A Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations,
commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from,
mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others.
Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments.
Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective
duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government.
Mortgage-related and other asset-backed securities created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
or guarantees, but there
can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund's Schedule of Investments, if applicable, for mortgage-related and other asset-backed
securities as of January 31, 2024. |
| e)
|
Repurchase
Agreements – A repurchase agreement is an agreement between two parties whereby one party sells the other a security at a specified price with a commitment to repurchase the security later at an agreed-upon
price, date and interest payment. Each Fund is permitted to enter into fully collateralized repurchase agreements. The Trust's Board has delegated to the sub-adviser(s), as applicable, the responsibility of evaluating the creditworthiness of the
banks and securities dealers with which the Funds will engage in repurchase agreements. The sub-adviser(s) will monitor such transactions to ensure that the value of underlying collateral will be at least equal to the total amount of the repurchase
obligation as required by the valuation provision of the repurchase agreement, including the accrued interest. Repurchase agreements carry the risk that the market value of the securities declines below the repurchase price. A Fund could also lose
money if it is unable to recover the securities and the value of any collateral held. In the event the borrower commences bankruptcy proceedings, a court may characterize the transaction as a loan. If a Fund has not perfected a security
interest in the underlying collateral, the Fund may be required to return the underlying collateral to the borrower’s estate and be treated as an unsecured creditor. As an unsecured creditor, the Fund could lose some or all of the principal
and interest involved in the transaction. See each Fund's Schedule of Investments, if applicable, for repurchase agreements as of January 31, 2024. |
| 4.
|
Financial Derivative
Instruments: |
| |
The
following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position
and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each
categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as of period-end are disclosed in the notes to the Schedules of Investments, if
applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations. |
| a)
|
Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain
exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments
held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant ("FCM") an amount of cash or U.S. Government or
Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value ("variation margin") is paid or received by a Fund.
Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and
Liabilities. |
| |
During
the six-month period ended January 31, 2024, each of Core Bond ETF, Commodity Strategy ETF, Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF had used Futures Contracts. |
| b)
|
Foreign Currency
Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling
purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is
recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
| |
Foreign currency
contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the
terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure
thereunder. |
| |
During
the six-month period ended January 31, 2024, each of Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF had used Foreign Currency Contracts. |
| c)
|
Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon
price during a specific period of time or on a specific date. Option contracts are either over-the-counter ("OTC") options or executed in a registered exchange ("exchange-traded options"). A Fund may write (sell) covered call and put options on
futures, swaps ("swaptions"), securities, commodities or currencies. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying
instrument. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
Premiums received from
writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, swaps, investments or currency transactions to
determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the
instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s
exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and
is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The
premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or
closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the
possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
During the six-month period ended January
31, 2024, the Total Return Bond ETF had used Options Contracts.
| d)
|
Swap Contracts – A Fund may invest in swap contracts. Swap contracts are agreements to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified future intervals. Swap contracts are
either privately negotiated in the over-the-counter market ("OTC swaps") or cleared through a central counterparty or derivatives clearing organization ("centrally cleared swaps"). A Fund may enter into credit default, total return, cross-currency,
interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts,
investments or cash may be identified as collateral or margin in accordance with the terms of the respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or
bankruptcy/insolvency. |
| |
Swaps are valued in
accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps,
if any, are recorded as a receivable or payable for the change in value ("variation margin") on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swaps. OTC swap
payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between
the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of
Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by
a Fund are included as part of realized gains or losses on the Statements of Operations. |
| |
Entering into these
contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid
market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit
spreads, currency exchange rates, interest rates and other relevant factors). |
| |
A Fund’s maximum
risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk
is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities,
as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty,
the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and
clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin
requirements and required segregation of customer balances. |
| |
Credit
Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default
swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
Under a credit default
swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the
difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. A "buyer" of credit protection agrees to pay a counterparty to
assume the credit risk of an issuer upon the occurrence of certain events. The "seller" of the protection receives periodic payments and agrees to assume the credit risk of an issuer upon the occurrence of certain events. Although specified events
are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A "seller’s" exposure is limited to the total notional amount of
the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract. |
| |
Implied credit spreads,
represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as of year-end are disclosed in the notes to the Schedules of
Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity
reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater
likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status
of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or
other credit event occurring as defined under the terms of the contract. |
| |
During the six-month period
ended January 31, 2024, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had entered into Credit Default Swap Contracts. |
| |
Interest Rate Swap
Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk
across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a
specified interest rate or benchmark (e.g. Secured Overnight Financing Rate (“SOFR”)), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net
interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When
the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost. |
| |
If an interest rate swap
contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps
include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty
credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. |
| |
During
the six-month period ended January 31, 2024, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had used Interest Rate Swap Contracts. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| e)
|
Additional Derivative
Instrument Information: |
| |
Core Bond ETF
|
| |
|
| The
Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Assets:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
appreciation on swap contracts(1) |
$ 236,975
|
|
$ —
|
|
$ 14,471
|
|
$ —
|
|
$ —
|
|
$ 251,446
|
| Total
|
$ 236,975
|
|
$ —
|
|
$ 14,471
|
|
$ —
|
|
$ —
|
|
$ 251,446
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
depreciation on futures contracts(2) |
$ 674,787
|
|
$ —
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ 674,787
|
| Unrealized
depreciation on swap contracts(1) |
15,018
|
|
—
|
|
—
|
|
—
|
|
—
|
|
15,018
|
| Total
|
$ 689,805
|
|
$ —
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ 689,805
|
| (1) |
Amount represents the
cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities.
OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
|
(2) |
Amount
represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported
within the Statement of Assets and Liabilities. |
| The
Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Realized
Gain (Loss) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
realized gain (loss) on futures contracts |
$
1,092,823 |
|
$ —
|
|
$
— |
|
$ —
|
|
$ —
|
|
$
1,092,823 |
| Net
realized gain (loss) on swap contracts |
12,044
|
|
—
|
|
40,785
|
|
—
|
|
—
|
|
52,829
|
| Total
|
$
1,104,867 |
|
$ —
|
|
$ 40,785
|
|
$ —
|
|
$ —
|
|
$
1,145,652 |
| Net
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
change in unrealized appreciation (depreciation) of futures contracts |
$ (1,123,104)
|
|
$ —
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ (1,123,104)
|
| Net
change in unrealized appreciation (depreciation) of swap contracts |
69,498
|
|
—
|
|
(32)
|
|
—
|
|
—
|
|
69,466
|
| Total
|
$ (1,053,606)
|
|
$ —
|
|
$
(32) |
|
$ —
|
|
$ —
|
|
$ (1,053,638)
|
For the period
ended January 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative
Description |
|
Average
Notional
Par, Contracts
or Face Amount |
| Futures
Contracts Number of Long Contracts |
|
131
|
| Futures
Contracts Number of Short Contracts |
|
(276)
|
| Swap
Contracts at Notional Amount |
|
$ 7,417,500
|
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
Commodity Strategy ETF (Consolidated)
| The
Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Assets:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
appreciation on futures contracts(1) |
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 379,964
|
|
$ 379,964
|
| Total
|
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 379,964
|
|
$ 379,964
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
depreciation on futures contracts(1) |
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 256,672
|
|
$ 256,672
|
| Total
|
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 256,672
|
|
$ 256,672
|
| (1) |
Amount represents the
cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement
of Assets and Liabilities. |
| The
Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Realized
Gain (Loss) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
realized gain (loss) on futures contracts |
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (579,040)
|
|
$ (579,040)
|
| Total
|
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (579,040)
|
|
$ (579,040)
|
| Net
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
change in unrealized appreciation (depreciation) of futures contracts |
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (678,994)
|
|
$ (678,994)
|
| Total
|
$ —
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (678,994)
|
|
$ (678,994)
|
For the period
ended January 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative
Description |
|
Average
Notional
Par, Contracts
or Face Amount |
| Futures
Contracts Number of Long Contracts |
|
270
|
| Futures
Contracts Number of Short Contracts |
|
(36)
|
Short Duration
ETF
| The
Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Assets:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
appreciation on futures contracts(1) |
$ 124,640
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 124,640
|
| Unrealized
appreciation on foreign currency contracts |
—
|
|
3,781
|
|
—
|
|
—
|
|
—
|
|
3,781
|
| Total
|
$ 124,640
|
|
$ 3,781
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 128,421
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
depreciation on futures contracts(1) |
$ 341,382
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 341,382
|
| Unrealized
depreciation on foreign currency contracts |
—
|
|
2,014
|
|
—
|
|
—
|
|
—
|
|
2,014
|
| Total
|
$ 341,382
|
|
$ 2,014
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$ 343,396
|
| (1) |
Amount represents the
cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement
of Assets and Liabilities. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
Short Duration ETF – (continued)
| The
Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Realized
Gain (Loss) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
realized gain (loss) on futures contracts |
$
(24,943) |
|
$
— |
|
$ —
|
|
$ —
|
|
$ —
|
|
$
(24,943) |
| Net
realized gain (loss) on foreign currency contracts |
—
|
|
10,084
|
|
—
|
|
—
|
|
—
|
|
10,084
|
| Total
|
$
(24,943) |
|
$ 10,084
|
|
$ —
|
|
$ —
|
|
$ —
|
|
$
(14,859) |
| Net
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
change in unrealized appreciation (depreciation) of futures contracts |
$ (171,277)
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (171,277)
|
| Net
change in unrealized appreciation (depreciation) of foreign currency contracts |
—
|
|
3,702
|
|
—
|
|
—
|
|
—
|
|
3,702
|
| Total
|
$ (171,277)
|
|
$
3,702 |
|
$ —
|
|
$ —
|
|
$ —
|
|
$ (167,575)
|
For the period
ended January 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative
Description |
|
Average
Notional
Par, Contracts
or Face Amount |
| Futures
Contracts Number of Long Contracts |
|
57
|
| Futures
Contracts Number of Short Contracts |
|
(104)
|
| Foreign
Currency Contracts Purchased at Contract Amount |
|
$ 214,427
|
| Foreign
Currency Contracts Sold at Contract Amount |
|
$ 828,149
|
Sustainable
Income ETF
| The
Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Assets:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
appreciation on futures contracts(1) |
$ 101,543
|
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$ 101,543
|
| Unrealized
appreciation on foreign currency contracts |
—
|
|
40,601
|
|
—
|
|
—
|
|
—
|
|
40,601
|
| Unrealized
appreciation on swap contracts(2) |
64,840
|
|
—
|
|
234,198
|
|
—
|
|
—
|
|
299,038
|
| Total
|
$ 166,383
|
|
$ 40,601
|
|
$ 234,198
|
|
$ —
|
|
$ —
|
|
$ 441,182
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
depreciation on futures contracts(1) |
$ 173,828
|
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$ 173,828
|
| Unrealized
depreciation on foreign currency contracts |
—
|
|
25,934
|
|
—
|
|
—
|
|
—
|
|
25,934
|
| Unrealized
depreciation on swap contracts(2) |
4,754
|
|
—
|
|
—
|
|
—
|
|
—
|
|
4,754
|
| Total
|
$ 178,582
|
|
$ 25,934
|
|
$
— |
|
$ —
|
|
$ —
|
|
$ 204,516
|
| (1) |
Amount represents the
cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement
of Assets and Liabilities. |
|
(2) |
Amount
represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets
and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
Sustainable Income ETF – (continued)
| The
Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Realized
Gain (Loss) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
realized gain (loss) on futures contracts |
$ (285,634)
|
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$ (285,634)
|
| Net
realized gain (loss) on swap contracts |
53,857
|
|
—
|
|
79,604
|
|
—
|
|
—
|
|
133,461
|
| Net
realized gain (loss) on foreign currency contracts |
—
|
|
151,046
|
|
—
|
|
—
|
|
—
|
|
151,046
|
| Total
|
$ (231,777)
|
|
$ 151,046
|
|
$ 79,604
|
|
$ —
|
|
$ —
|
|
$
(1,127) |
| Net
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
change in unrealized appreciation (depreciation) of futures contracts |
$
219,635 |
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$
219,635 |
| Net
change in unrealized appreciation (depreciation) of swap contracts |
21,011
|
|
—
|
|
92,356
|
|
—
|
|
—
|
|
113,367
|
| Net
change in unrealized appreciation (depreciation) of foreign currency contracts |
—
|
|
51,239
|
|
—
|
|
—
|
|
—
|
|
51,239
|
| Total
|
$
240,646 |
|
$
51,239 |
|
$ 92,356
|
|
$ —
|
|
$ —
|
|
$
384,241 |
For the period ended January 31, 2024, the
average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative
Description |
|
Average
Notional
Par, Contracts
or Face Amount |
| Futures
Contracts Number of Long Contracts |
|
189
|
| Futures
Contracts Number of Short Contracts |
|
(85)
|
| Swap
Contracts at Notional Amount |
|
$
6,667,522 |
| Foreign
Currency Contracts Purchased at Contract Amount |
|
$
599,285 |
| Foreign
Currency Contracts Sold at Contract Amount |
|
$ 10,666,871
|
Total Return Bond
ETF
| The
Effect of Derivative Instruments on the Statement of Assets and Liabilities as of January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Assets:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
appreciation on futures contracts(1) |
$ 1,886,548
|
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$ 1,886,548
|
| Unrealized
appreciation on foreign currency contracts |
—
|
|
256,542
|
|
—
|
|
—
|
|
—
|
|
256,542
|
| Unrealized
appreciation on swap contracts(2) |
1,373,731
|
|
—
|
|
124,694
|
|
—
|
|
—
|
|
1,498,425
|
| Total
|
$ 3,260,279
|
|
$ 256,542
|
|
$ 124,694
|
|
$ —
|
|
$ —
|
|
$ 3,641,515
|
| Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized
depreciation on futures contracts(1) |
$ 3,225,802
|
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$ 3,225,802
|
| Unrealized
depreciation on foreign currency contracts |
—
|
|
45,889
|
|
—
|
|
—
|
|
—
|
|
45,889
|
| Unrealized
depreciation on swap contracts(2) |
100,869
|
|
—
|
|
—
|
|
—
|
|
—
|
|
100,869
|
| Total
|
$ 3,326,671
|
|
$
45,889 |
|
$
— |
|
$ —
|
|
$ —
|
|
$ 3,372,560
|
| (1) |
Amount represents the
cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement
of Assets and Liabilities. |
|
(2) |
Amount
represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets
and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
Total Return Bond ETF – (continued)
| The
Effect of Derivative Instruments on the Statement of Operations for the period ended January 31, 2024: |
| |
Risk
Exposure Category |
| |
Interest
Rate
Contracts |
|
Foreign
Currency
Contracts |
|
Credit
Contracts |
|
Equity
Contracts |
|
Commodity
Contracts |
|
Total
|
| Realized
Gain (Loss) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
realized gain (loss) on purchased options contracts |
$
6,045 |
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$
6,045 |
| Net
realized gain (loss) on futures contracts |
715,841
|
|
—
|
|
—
|
|
—
|
|
—
|
|
715,841
|
| Net
realized gain (loss) on swap contracts |
5,219
|
|
—
|
|
(645,843)
|
|
—
|
|
—
|
|
(640,624)
|
| Net
realized gain (loss) on foreign currency contracts |
—
|
|
(243,265)
|
|
—
|
|
—
|
|
—
|
|
(243,265)
|
| Total
|
$ 727,105
|
|
$ (243,265)
|
|
$ (645,843)
|
|
$ —
|
|
$ —
|
|
$
(162,003) |
| Net
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
|
|
|
|
|
|
|
|
|
|
|
| Net
change in unrealized appreciation (depreciation) of investments in purchased options contracts |
$
4,845 |
|
$
— |
|
$
— |
|
$ —
|
|
$ —
|
|
$
4,845 |
| Net
change in unrealized appreciation (depreciation) of futures contracts |
(110,016)
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(110,016)
|
| Net
change in unrealized appreciation (depreciation) of swap contracts |
401,789
|
|
—
|
|
720,206
|
|
—
|
|
—
|
|
1,121,995
|
| Net
change in unrealized appreciation (depreciation) of foreign currency contracts |
—
|
|
737,891
|
|
—
|
|
—
|
|
—
|
|
737,891
|
| Total
|
$ 296,618
|
|
$
737,891 |
|
$
720,206 |
|
$ —
|
|
$ —
|
|
$ 1,754,715
|
For the period
ended January 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative
Description |
|
Average
Notional
Par, Contracts
or Face Amount |
| Futures
Contracts Number of Long Contracts |
|
1,996
|
| Futures
Contracts Number of Short Contracts |
|
(1,575)
|
| Swap
Contracts at Notional Amount |
|
$ 43,437,625
|
| Foreign
Currency Contracts Purchased at Contract Amount |
|
$
362,451 |
| Foreign
Currency Contracts Sold at Contract Amount |
|
$ 26,444,299
|
| f)
|
Balance Sheet Offsetting
Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and
transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting
arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers.
A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers
and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
| |
The
following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting
agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of January 31, 2024: |
| |
|
| Core
Bond ETF |
|
|
|
|
| Derivative
Financial Instruments: |
|
Assets
|
|
Liabilities
|
| Futures
contracts |
|
$
— |
|
$ (674,787)
|
| Swap
contracts |
|
251,446
|
|
(15,018)
|
| Total
gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities |
|
251,446
|
|
(689,805)
|
| Derivatives
not subject to a MNA |
|
(251,446)
|
|
689,805
|
| Total
gross amount of assets and liabilities subject to MNA or similar agreements |
|
$
— |
|
$
— |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| Commodity
Strategy ETF (Consolidated) |
|
|
|
|
| Derivative
Financial Instruments: |
|
Assets
|
|
Liabilities
|
| Futures
contracts |
|
$ 379,964
|
|
$ (256,672)
|
| Total
gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities |
|
379,964
|
|
(256,672)
|
| Derivatives
not subject to a MNA |
|
(379,964)
|
|
256,672
|
| Total
gross amount of assets and liabilities subject to MNA or similar agreements |
|
$
— |
|
$
— |
| Short
Duration ETF |
|
|
|
|
| Derivative
Financial Instruments: |
|
Assets
|
|
Liabilities
|
| Foreign
currency contracts |
|
$
3,781 |
|
$
(2,014) |
| Futures
contracts |
|
124,640
|
|
(341,382)
|
| Total
gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities |
|
128,421
|
|
(343,396)
|
| Derivatives
not subject to a MNA |
|
(124,640)
|
|
341,382
|
| Total
gross amount of assets and liabilities subject to MNA or similar agreements |
|
$
3,781 |
|
$
(2,014) |
| Counterparty
|
|
Gross
Amount
of Assets |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Received |
|
Cash
Collateral
Received |
|
Net
Amount
of Assets |
| Deutsche
Bank Securities, Inc. |
|
$ 3,419
|
|
$ (976)
|
|
$ —
|
|
$ —
|
|
$ 2,443
|
| Morgan
Stanley |
|
362
|
|
—
|
|
—
|
|
—
|
|
362
|
| Total
|
|
$ 3,781
|
|
$ (976)
|
|
$ —
|
|
$ —
|
|
$ 2,805
|
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Counterparty
|
|
Gross
Amount
of Liabilities |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Pledged |
|
Cash
Collateral
Pledged |
|
Net
Amount
of Liabilities |
| Deutsche
Bank Securities, Inc. |
|
$
(976) |
|
$ 976
|
|
$ —
|
|
$ —
|
|
$
— |
| Toronto-Dominion
Bank |
|
(1,038)
|
|
—
|
|
—
|
|
—
|
|
(1,038)
|
| Total
|
|
$ (2,014)
|
|
$ 976
|
|
$ —
|
|
$ —
|
|
$ (1,038)
|
| Sustainable
Income ETF |
|
|
|
|
| Derivative
Financial Instruments: |
|
Assets
|
|
Liabilities
|
| Foreign
currency contracts |
|
$ 40,601
|
|
$ (25,934)
|
| Futures
contracts |
|
101,543
|
|
(173,828)
|
| Swap
contracts |
|
299,038
|
|
(4,754)
|
| Total
gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities |
|
441,182
|
|
(204,516)
|
| Derivatives
not subject to a MNA |
|
(400,581)
|
|
178,582
|
| Total
gross amount of assets and liabilities subject to MNA or similar agreements |
|
$ 40,601
|
|
$ (25,934)
|
| Counterparty
|
|
Gross
Amount
of Assets |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Received* |
|
Cash
Collateral
Received* |
|
Net
Amount
of Assets |
| Australia
and New Zealand Banking Group |
|
$
726 |
|
$
— |
|
$ —
|
|
$ —
|
|
$
726 |
| Bank
of America Securities LLC |
|
7,498
|
|
—
|
|
—
|
|
—
|
|
7,498
|
| BNP
Paribas Securities Services |
|
859
|
|
(5)
|
|
—
|
|
—
|
|
854
|
| Citibank
NA |
|
730
|
|
(205)
|
|
—
|
|
—
|
|
525
|
| Deutsche
Bank Securities, Inc. |
|
25,549
|
|
—
|
|
—
|
|
—
|
|
25,549
|
| Goldman
Sachs & Co. |
|
1,492
|
|
—
|
|
—
|
|
—
|
|
1,492
|
| Morgan
Stanley |
|
3,459
|
|
(955)
|
|
—
|
|
—
|
|
2,504
|
| RBC
Dominion Securities, Inc. |
|
288
|
|
(288)
|
|
—
|
|
—
|
|
—
|
| Total
|
|
$ 40,601
|
|
$ (1,453)
|
|
$ —
|
|
$ —
|
|
$ 39,148
|
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| Counterparty
|
|
Gross
Amount
of Liabilities |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Pledged* |
|
Cash
Collateral
Pledged* |
|
Net
Amount
of Liabilities |
| Barclays
|
|
$
(2,091) |
|
$
— |
|
$ —
|
|
$ —
|
|
$
(2,091) |
| BNP
Paribas Securities Services |
|
(5)
|
|
5
|
|
—
|
|
—
|
|
—
|
| Citibank
NA |
|
(205)
|
|
205
|
|
—
|
|
—
|
|
—
|
| HSBC
Bank USA |
|
(127)
|
|
—
|
|
—
|
|
—
|
|
(127)
|
| JP
Morgan Chase & Co. |
|
(138)
|
|
—
|
|
—
|
|
—
|
|
(138)
|
| Morgan
Stanley |
|
(955)
|
|
955
|
|
—
|
|
—
|
|
—
|
| RBC
Dominion Securities, Inc. |
|
(3,630)
|
|
288
|
|
—
|
|
—
|
|
(3,342)
|
| Standard
Chartered Bank |
|
(77)
|
|
—
|
|
—
|
|
—
|
|
(77)
|
| Toronto-Dominion
Bank |
|
(18,706)
|
|
—
|
|
—
|
|
—
|
|
(18,706)
|
| Total
|
|
$ (25,934)
|
|
$ 1,453
|
|
$ —
|
|
$ —
|
|
$ (24,481)
|
| *
|
In some instances, the
actual collateral received and/or pledged may be more than the amount shown. |
| Total
Return Bond ETF |
|
|
|
|
| Derivative
Financial Instruments: |
|
Assets
|
|
Liabilities
|
| Foreign
currency contracts |
|
$
256,542 |
|
$
(45,889) |
| Futures
contracts |
|
1,886,548
|
|
(3,225,802)
|
| Swap
contracts |
|
1,498,425
|
|
(100,869)
|
| Total
gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities |
|
3,641,515
|
|
(3,372,560)
|
| Derivatives
not subject to a MNA |
|
(3,384,973)
|
|
3,326,671
|
| Total
gross amount of assets and liabilities subject to MNA or similar agreements |
|
$
256,542 |
|
$
(45,889) |
| Counterparty
|
|
Gross
Amount
of Assets |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Received |
|
Cash
Collateral
Received |
|
Net
Amount
of Assets |
| Citibank
NA |
|
$
15,159 |
|
$
— |
|
$ —
|
|
$ —
|
|
$
15,159 |
| Deutsche
Bank Securities, Inc. |
|
241,312
|
|
(36,274)
|
|
—
|
|
—
|
|
205,038
|
| NatWest
Markets Plc |
|
71
|
|
—
|
|
—
|
|
—
|
|
71
|
| Total
|
|
$ 256,542
|
|
$ (36,274)
|
|
$ —
|
|
$ —
|
|
$ 220,268
|
| |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Counterparty
|
|
Gross
Amount
of Liabilities |
|
Financial
Instruments
and Derivatives
Available
for Offset |
|
Non-cash
Collateral
Pledged |
|
Cash
Collateral
Pledged |
|
Net
Amount
of Liabilities |
| Deutsche
Bank Securities, Inc. |
|
$ (36,274)
|
|
$ 36,274
|
|
$
— |
|
$ —
|
|
$
— |
| Morgan
Stanley |
|
(8,500)
|
|
—
|
|
8,500
|
|
—
|
|
—
|
| Standard
Chartered Bank |
|
(16)
|
|
—
|
|
—
|
|
—
|
|
(16)
|
| Toronto-Dominion
Bank |
|
(838)
|
|
—
|
|
—
|
|
—
|
|
(838)
|
| UBS
AG |
|
(261)
|
|
—
|
|
—
|
|
—
|
|
(261)
|
| Total
|
|
$ (45,889)
|
|
$ 36,274
|
|
$ 8,500
|
|
$ —
|
|
$ (1,115)
|
| 5.
|
Principal Risks: |
| |
A Fund’s investments
expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund's prospectus provides details of its principal risks. |
| |
The
market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular
company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also
decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater
market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
A widespread health
crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund
performance. The outbreak of COVID-19, a respiratory disease caused by a novel coronavirus, negatively affected the worldwide economy, created supply chain disruptions and labor shortages, and impacted the financial health of individual companies
and the market in significant and unforeseen ways. The future impact of COVID-19, if any, remains unclear. The effects to public health, business and market conditions resulting from COVID-19 pandemic have had, and may continue to have, a
significant negative impact on the performance of a Fund’s investments, including exacerbating other pre-existing political, social and economic risks. |
| |
The banking sector has been
subject to increased market volatility. As a result, a Fund’s investments in the banking sector may be subject to increased volatility risk. |
| |
Certain investments held
by a Fund expose the Fund to various risks which may include, but are not limited to, interest rate, prepayment, and extension risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest
rates. As nominal interest rates rise, the values of certain fixed income securities held by a Fund are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income
securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income
security’s market price to interest rate (i.e., yield) movements. Senior floating rate interests and securities subject to prepayment and extension risk generally offer less potential for gains when interest rates decline. Rising interest
rates may cause prepayments to occur at a slower than expected rate, thereby effectively lengthening the maturity of the security and making the security more sensitive to interest rate changes. Prepayment and extension risk are major risks of
mortgage-backed securities, senior floating rate interests and certain asset-backed securities. For certain asset-backed securities, the actual maturity may be less than the stated maturity shown in the Schedule of Investments, if applicable. As a
result, the timing of income recognition relating to these securities may vary based upon the actual maturity. |
| |
Investing in the
securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient
securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of
withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting,
disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic
or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed
markets. |
| |
Securities lending
involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided
for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings. |
| |
Credit risk depends
largely on the perceived financial health of bond issuers. In general, the credit rating is inversely related to the credit risk of the issuer. Higher rated bonds generally are deemed to have less credit risk, while lower or unrated bonds are deemed
to have higher risk of default. The share price, yield and total return of a fund that holds securities with higher credit risk may be more volatile than those of a fund that holds bonds with lower credit risk. A Fund may be exposed to counterparty
risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. |
| |
Geopolitical
events, including the invasion of Ukraine by Russia and conflict between Israel and Hamas, have injected uncertainty into the global financial markets. Investments in Russia are subject to political, economic, legal, market and currency risks, as
well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions which affect companies in many sectors, including energy, financial services and defense, among others, have adversely
affected and could continue to adversely affect the global energy and financial markets and, thus, have adversely affected and could continue to adversely affect the value of a Fund’s investments, even beyond any direct exposure the Fund may
have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is
prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions. |
| a)
|
Each Fund intends to
continue to qualify as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code ("IRC") by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each
year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2024.
Accordingly, no provision for federal income or excise taxes |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
has been made in the
accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
| b)
|
Capital Loss
Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
| |
At July 31,
2023 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: |
| |
|
| Fund
|
|
Short-Term
Capital Loss
Carryforward with
No Expiration |
|
Long-Term
Capital Loss
Carryforward with
No Expiration |
| Core
Bond ETF |
|
$ 14,590,621
|
|
$ 6,519,210
|
| Large
Cap Growth ETF |
|
19,826,301
|
|
1,977,461
|
| Municipal
Opportunities ETF |
|
3,558,087
|
|
2,956,939
|
| Commodity
Strategy ETF (Consolidated) |
|
89,537
|
|
—
|
| Tax-Aware
Bond ETF |
|
3,231,662
|
|
2,752,046
|
| Short
Duration ETF |
|
347,836
|
|
1,162,089
|
| Sustainable
Income ETF |
|
2,463,628
|
|
3,008,293
|
| Total
Return Bond ETF |
|
53,432,267
|
|
36,390,523
|
Large Cap Growth
ETF deferred $91,196 of late-year ordinary losses.
During the year ended July 31, 2023,
Commodity Strategy ETF (Consolidated) utilized $38,459 of capital loss carryforward.
| c)
|
Tax Basis of Investments
– The aggregate cost of investments for federal income tax purposes at January 31, 2024 was substantially the same for book purposes. The net unrealized appreciation/(depreciation) on investments, which
consists of gross unrealized appreciation and depreciation, is disclosed below: |
| |
|
| Fund
|
|
Tax
Cost |
|
Gross
Unrealized
Appreciation |
|
Gross
Unrealized
(Depreciation) |
|
Net
Unrealized
Appreciation
(Depreciation) |
| Core
Bond ETF |
|
$ 286,626,745
|
|
$ 2,335,254
|
|
$ (20,684,404)
|
|
$ (18,349,150)
|
| Large
Cap Growth ETF |
|
79,890,864
|
|
26,119,530
|
|
(1,042,496)
|
|
25,077,034
|
| Municipal
Opportunities ETF |
|
392,967,669
|
|
6,508,544
|
|
(9,511,406)
|
|
(3,002,862)
|
| Commodity
Strategy ETF (Consolidated) |
|
10,868,829
|
|
386,199
|
|
(296,331)
|
|
89,868
|
| Tax-Aware
Bond ETF |
|
216,959,530
|
|
5,493,389
|
|
(2,190,147)
|
|
3,303,242
|
| Short
Duration ETF |
|
93,104,377
|
|
1,574,998
|
|
(1,741,497)
|
|
(166,499)
|
| Sustainable
Income ETF |
|
67,660,209
|
|
1,618,638
|
|
(3,269,730)
|
|
(1,651,092)
|
| Total
Return Bond ETF |
|
1,846,373,165
|
|
22,402,940
|
|
(87,891,457)
|
|
(65,488,517)
|
| a)
|
Investment Management
Agreement – HFMC serves as each Fund’s investment manager. The Trust, on behalf of each Fund, has entered into an Investment Management Agreement with HFMC. HFMC is an indirect subsidiary of The Hartford
Financial Services Group, Inc. ("The Hartford"). HFMC has overall investment supervisory responsibility for each Fund. In addition, HFMC provides administrative personnel, services, equipment, facilities and office space for proper operation of
each Fund. HFMC has contracted with Wellington Management Company LLP ("Wellington Management") under a sub-advisory agreement pursuant to which Wellington Management performs the daily investment of the assets of each of Core Bond ETF, Large Cap
Growth ETF, Municipal Opportunities ETF, Short Duration ETF, Sustainable Income ETF and Total Return Bond ETF in accordance with each Fund’s investment objective and policies. HFMC has contracted with Schroder Investment Management North
America Inc. ("SIMNA") under a sub-advisory agreement with respect to Commodity Strategy ETF, and Tax-Aware Bond ETF. SIMNA has contracted with Schroder Investment Management North America Limited ("SIMNA Ltd.") under sub-sub-advisory
agreement with respect to Commodity Strategy ETF and Tax-Aware Bond ETF. SIMNA performs the daily investment of the assets of such ETFs in accordance with each Fund’s investment objective and policies and SIMNA may allocate assets to or from
SIMNA Ltd. Each Fund pays a fee to HFMC, a portion of which may be used to compensate Wellington and SIMNA, as applicable. SIMNA pays the sub-sub-advisory fees to SIMNA Ltd. |
| |
Under
the Investment Management Agreement, the Investment Manager agrees to pay all expenses of the Trust, except (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio
transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection
therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the management fee payable to
the Investment Manager under the Investment Management Agreement. The payment |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
or assumption by the
Investment Manager of any expense of the Trust that the Investment Manager is not required by the Investment Management Agreement to pay or assume shall not obligate the Investment Manager to pay or assume the same or any similar expense of the
Trust on any subsequent occasion. |
| |
The schedule
below reflects the rates of compensation paid to HFMC for investment management services rendered as of January 31, 2024; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual
rates: |
| |
|
| Fund
|
|
Management
Fee Rates |
| Core
Bond ETF |
|
0.29%
|
| Large
Cap Growth ETF |
|
0.59%
|
| Municipal
Opportunities ETF |
|
0.29%
|
| Commodity
Strategy ETF (Consolidated)(1) |
|
0.59%
|
| Tax-Aware
Bond ETF |
|
0.39%
|
| Short
Duration ETF |
|
0.29%
|
| Sustainable
Income ETF |
|
0.54%
|
| Total
Return Bond ETF |
|
0.29%
|
| (1) |
HFMC has contractually
agreed to waive the management fee for Commodity Strategy ETF in an amount equal to the management fee paid to it by the Fund’s Subsidiary and the other expenses of the Subsidiary (exclusive of (i) interest and taxes; (ii) brokerage
commissions and other expenses (such as stamp taxes) connected with the execution of portfolio transactions; (iii) legal fees in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any
settlements in connection therewith and any obligation which the Subsidiary may have to indemnify its officers and Trustees with respect thereto; (iv) such extraordinary non-recurring expenses as may arise; and (v) acquired fund fees and expenses).
This waiver will remain in effect for as long as the Commodity Strategy ETF remains invested in the Subsidiary. For the six-month period ended January 31, 2024, HFMC waived expenses in the amount of 0.08% of the Fund's average daily net assets.
|
| b)
|
Accounting Services
Agreement - HFMC provides the Funds with accounting services pursuant to a fund accounting agreement by and between the Trust, on behalf of each Fund and HFMC. HFMC is not entitled to any compensation under this
agreement. HFMC has delegated certain accounting and administrative services functions to State Street Bank and Trust Company ("State Street"). The cost and expenses of such delegation are born by HFMC, not the Funds. For the Commodity Strategy ETF,
the Subsidiary incurs custodian fees and fund accounting fees, but the fees are born by HFMC through the management fee and expense waivers. |
| c)
|
Fees Paid Indirectly – The Large Cap Growth ETF Fund has entered into agreements with State Street Global Markets, LLC and Russell Implementation Services, Inc, to partially recapture non-discounted trade commissions. Such rebates are
used to pay a portion of the Fund’s expenses. For the six-month period ended January 31, 2024, the amount is included in the Statement of Operations. |
| |
For the
six-month period ended January 31, 2024, the amount of fees recaptured did not impact the ratio of expenses to average net assets in the accompanying financial highlights. |
| d)
|
Distribution Plans - Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for
the sale and distribution of its shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently
paid by the Funds and there are no plans to impose these fees. |
For the six-month period ended January
31, 2024, the Funds did not pay any Rule 12b-1 fees.
| e)
|
Other Related Party
Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the six-month period ended January 31, 2024, a portion of the Trust's Chief
Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Management Agreement, HFMC also pays any CCO compensation on behalf of the Funds. |
| 8.
|
Securities Lending: |
| |
The Trust has entered
into a securities lending agency agreement ("lending agreement") with Citibank, N.A. ("Citibank"). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of
its total assets. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit
of a Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. The contractual maturities of the
securities lending transactions are considered overnight and continuous. The Commodity Strategy ETF does not currently engage in securities lending. |
| |
A Fund
is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the
collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any
investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
sale, which may in turn
place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; (vi) the risk that any efforts to restrict or recall the
securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also
trigger adverse tax consequences for the Fund. |
| |
A Fund
retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a
net payment from the borrower to the applicable Fund). Upon termination of a loan, a Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. |
| |
The net
income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. A Fund also receives payments from the borrower during the period
of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. |
| |
The
following table presents for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of January 31, 2024. |
| |
|
| Fund
|
|
Investment
Securities on Loan, at market value,
Presented on the Statements of Assets and Liabilities |
|
Cash
Collateral(1) |
|
Non-Cash
Collateral(1) |
| Core
Bond ETF |
|
$ 214,289
|
|
$ 222,600
|
|
$ —
|
| Large
Cap Growth ETF |
|
1,546,118
|
|
1,608,033
|
|
—
|
| Municipal
Opportunities ETF |
|
—
|
|
—
|
|
—
|
| Tax-Aware
Bond ETF |
|
—
|
|
—
|
|
—
|
| Short
Duration ETF |
|
24,622
|
|
25,125
|
|
—
|
| Sustainable
Income ETF |
|
521,816
|
|
542,766
|
|
—
|
| Total
Return Bond ETF |
|
2,664,970
|
|
2,738,780
|
|
—
|
| (1) |
It is each Fund’s
policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less
than that required under the lending contract due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
| 9.
|
Custodian and Transfer Agent:
|
| |
State Street Bank and
Trust Company ("State Street") serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement") dated December 31, 2014, as amended from time to time. As Custodian, State Street holds each Fund’s assets,
calculates the net asset value of the shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency and service agreement ("Transfer Agency and Service
Agreement") dated February 13, 2018, as amended from time to time. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation
Units. |
| |
For the
services provided under the Custodian Agreement and Transfer Agency and Service Agreement, HFMC, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
| 10.
|
Affiliate Holdings: |
| |
As of
January 31, 2024, affiliates of The Hartford had ownership of shares in certain Funds as follows: |
| |
|
| Fund
|
|
Percentage
of Fund |
| Large
Cap Growth ETF |
|
10%
|
| Commodity
Strategy ETF (Consolidated) |
|
30%
|
| Sustainable
Income ETF |
|
34%
|
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
As of January 31, 2024, affiliated funds
of funds and the 529 plan for which HFMC serves as the program manager (the "529 plan") in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of their shares
as a result of purchase and sale activity from these affiliated funds of funds and the 529 plan. Affiliated funds of funds and the 529 plan owned shares in the Funds listed below as follows:
| Fund
|
|
Percentage
of Fund |
| Core
Bond ETF |
|
87%
|
| Large
Cap Growth ETF |
|
66%
|
| Total
Return Bond ETF |
|
33%
|
| 11.
|
Beneficial Fund Ownership:
|
| |
As of
January 31, 2024, to the knowledge of a Fund, Hartford Funds Management Company, LLC or Schroder US Holdings, Inc. beneficially held more than 25% of the shares outstanding of the following Funds: |
| |
|
| Fund
|
|
Shareholder
|
|
Percentage
of Ownership |
| Commodity
Strategy ETF (Consolidated) |
|
Schroder
US Holdings, Inc |
|
30%
|
| Hartford
Funds Management Company, LLC |
|
30%
|
| Sustainable
Income ETF |
|
Hartford
Funds Management Company, LLC |
|
34%
|
| 12.
|
Investment Transactions:
|
| |
For the
six-month period ended January 31, 2024, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: |
| |
|
| Fund
|
|
Cost
of Purchases
Excluding U.S.
Government
Obligations |
|
Sales
Proceeds
Excluding U.S.
Government
Obligations |
|
Cost
of Purchases
For U.S. Government
Obligations |
|
Sales
Proceeds
For U.S. Government
Obligations |
|
Total
Cost of
Purchases |
|
Total
Sales
Proceeds |
| Core
Bond ETF |
|
$ 38,342,284
|
|
$ 35,401,295
|
|
$ 12,102,765
|
|
$ 17,907,053
|
|
$ 50,445,049
|
|
$ 53,308,348
|
| Large
Cap Growth ETF |
|
45,257,043
|
|
45,778,287
|
|
—
|
|
—
|
|
45,257,043
|
|
45,778,287
|
| Municipal
Opportunities ETF |
|
110,561,584
|
|
89,544,610
|
|
—
|
|
10,000
|
|
110,561,584
|
|
89,554,610
|
| Commodity
Strategy ETF (Consolidated) |
|
300,353
|
|
66,591
|
|
—
|
|
—
|
|
300,353
|
|
66,591
|
| Tax-Aware
Bond ETF |
|
93,385,453
|
|
35,002,276
|
|
55,613,131
|
|
46,373,005
|
|
148,998,584
|
|
81,375,281
|
| Short
Duration ETF |
|
36,292,171
|
|
17,010,992
|
|
19,310,148
|
|
7,389,084
|
|
55,602,319
|
|
24,400,076
|
| Sustainable
Income ETF |
|
10,826,705
|
|
9,278,714
|
|
4,976,137
|
|
2,962,604
|
|
15,802,842
|
|
12,241,318
|
| Total
Return Bond ETF |
|
267,335,919
|
|
156,596,339
|
|
112,168,137
|
|
115,982,874
|
|
379,504,056
|
|
272,579,213
|
For the
six-month period ended January 31, 2024, in-kind transactions, which are not included in the table above, associated with purchase or redemption of Creation Units were as follows:
| Fund
|
|
Cost
of Purchases |
|
Sales
Proceeds |
|
Realized
Gain/(Loss) |
| Core
Bond ETF |
|
$
8,859,287 |
|
$ 38,737,421
|
|
$ (1,078,675)
|
| Large
Cap Growth ETF |
|
632,526
|
|
340,289
|
|
123,300
|
| Tax-Aware
Bond ETF |
|
1,452,613
|
|
—
|
|
—
|
| Short
Duration ETF |
|
18,224,676
|
|
6,396,917
|
|
(222,551)
|
| Sustainable
Income ETF |
|
4,287,883
|
|
—
|
|
—
|
| Total
Return Bond ETF |
|
184,922,459
|
|
60,690,207
|
|
1,337,017
|
| |
|
|
|
|
|
|
| 13.
|
Share Transactions: |
| |
Each
Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as "Creation Units." Purchases of Creation Units are made by tendering a basket of designated securities to a Fund and redemption
proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an
amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market
prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and
redemption of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. |
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
Purchase or redemption of
Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a "Participating Party" (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC)
("Clearing Process"), or (2) a participant of DTC ("DTC Participant"), and, in each case, must have executed an agreement ("Participation Agreement") with the Distributor with respect to creations and redemptions of Creation Units, and is recorded
as Other Capital on the Statements of Changes in Net Assets. |
| |
Shares of
Municipal Opportunities ETF, Commodity Strategy ETF, Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded throughout the day on the NYSE Arca and shares of Core Bond ETF, Large Cap Growth ETF, Short Duration ETF and Sustainable Income
ETF are listed and traded throughout the day on Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling
shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction.
Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor
may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares. |
| |
Because
each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares
may trade at a price greater than NAV (a premium) or less than NAV (a discount). Each Fund will only issue or redeem Creation Units to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or
redeem Creation Units in return for a designated basket of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve
the right to reject or limit purchases at any time. |
| |
The
following information is for the six-month period ended January 31, 2024 and the year ended July 31, 2023: |
| |
|
| |
For
the Six-Month Period Ended
January 31, 2024 |
|
For
the Year Ended
July 31, 2023 |
| |
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
| Core
Bond ETF |
|
|
|
|
|
|
|
| Shares
Sold |
350,000
|
|
$
11,728,240 |
|
700,000
|
|
$ 24,250,463 |
| Shares
Redeemed |
(1,200,000)
|
|
(41,628,698)
|
|
(150,000)
|
|
(5,350,460)
|
| Other
Capital |
—
|
|
4,795
|
|
—
|
|
6,688
|
| Total
Net Increase (Decrease) |
(850,000)
|
|
(29,895,663)
|
|
550,000
|
|
18,906,691
|
| Large
Cap Growth ETF |
|
|
|
|
|
|
|
| Shares
Sold |
50,000
|
|
$
738,280 |
|
300,000
|
|
$ 3,856,861 |
| Shares
Redeemed |
(25,000)
|
|
(418,147)
|
|
(300,000)
|
|
(3,984,976)
|
| Other
Capital |
—
|
|
18
|
|
—
|
|
123
|
| Total
Net Increase (Decrease) |
25,000
|
|
320,151
|
|
—
|
|
(127,992)
|
| Municipal
Opportunities ETF |
|
|
|
|
|
|
|
| Shares
Sold |
725,000
|
|
$
27,847,835 |
|
3,550,000
|
|
$ 134,344,105
|
| Shares
Redeemed |
(200,000)
|
|
(7,392,028)
|
|
(600,000)
|
|
(23,026,359)
|
| Other
Capital |
—
|
|
21,144
|
|
—
|
|
93,530
|
| Total
Net Increase (Decrease) |
525,000
|
|
20,476,951
|
|
2,950,000
|
|
111,411,276
|
| Commodity
Strategy ETF (Consolidated) |
|
|
|
|
|
|
|
| Shares
Sold |
—
|
|
$
— |
|
925,000
|
|
$ 15,666,165 |
| Shares
Redeemed |
(150,000)
|
|
(2,248,400)
|
|
(2,300,000)
|
|
(40,601,944)
|
| Other
Capital |
—
|
|
225
|
|
—
|
|
8,440
|
| Total
Net Increase (Decrease) |
(150,000)
|
|
(2,248,175)
|
|
(1,375,000)
|
|
(24,927,339)
|
| Tax-Aware
Bond ETF |
|
|
|
|
|
|
|
| Shares
Sold |
5,600,000
|
|
$ 105,097,180
|
|
4,300,000
|
|
$ 83,606,082 |
| Shares
Redeemed |
(1,600,000)
|
|
(29,343,066)
|
|
(1,250,000)
|
|
(24,247,500)
|
| Other
Capital |
—
|
|
99,476
|
|
—
|
|
79,810
|
| Total
Net Increase (Decrease) |
4,000,000
|
|
75,853,590
|
|
3,050,000
|
|
59,438,392
|
| Short
Duration ETF |
|
|
|
|
|
|
|
| Shares
Sold |
1,800,000
|
|
$
68,905,493 |
|
100,000
|
|
$ 3,818,593 |
| Shares
Redeemed |
(200,000)
|
|
(7,701,060)
|
|
(1,050,000)
|
|
(39,965,272)
|
| Other
Capital |
—
|
|
26,797
|
|
—
|
|
23,539
|
| Total
Net Increase (Decrease) |
1,600,000
|
|
61,231,230
|
|
(950,000)
|
|
(36,123,140)
|
Notes to Financial Statements –
(continued)
January 31, 2024 (Unaudited)
| |
For
the Six-Month Period Ended
January 31, 2024 |
|
For
the Year Ended
July 31, 2023 |
| |
Shares
|
|
Amount
|
|
Shares
|
|
Amount
|
| Sustainable
Income ETF |
|
|
|
|
|
|
|
| Shares
Sold |
200,000
|
|
$
6,702,199 |
|
250,000
|
|
$ 8,350,638 |
| Shares
Redeemed |
—
|
|
—
|
|
—
|
|
—
|
| Other
Capital |
—
|
|
7,149
|
|
—
|
|
7,029
|
| Total
Net Increase (Decrease) |
200,000
|
|
6,709,348
|
|
250,000
|
|
8,357,667
|
| Total
Return Bond ETF |
|
|
|
|
|
|
|
| Shares
Sold |
9,150,000
|
|
$ 298,484,231
|
|
11,200,000
|
|
$ 376,222,975
|
| Shares
Redeemed |
(2,800,000)
|
|
(89,360,062)
|
|
(2,900,000)
|
|
(97,287,802)
|
| Other
Capital |
—
|
|
152,377
|
|
—
|
|
146,203
|
| Total
Net Increase (Decrease) |
6,350,000
|
|
209,276,546
|
|
8,300,000
|
|
279,081,376
|
| 14.
|
Indemnifications:
|
| |
Under
the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on
behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior
claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
| 15.
|
Regulatory Update: |
| |
The
SEC adopted rule and form amendments that will change the format and content of the Funds' annual and semi-annual reports. Certain information, including the financial statements, will not appear in the Funds' new tailored shareholder reports but
will be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, Management is evaluating the impact of these rule
and form amendment changes. |
| 16.
|
Subsequent Events: |
| |
In connection with the
preparation of the financial statements of the Funds as of and for the six-month period ended January 31, 2024, events and transactions subsequent to January 31, 2024, through the date the financial statements were issued have been evaluated by the
Funds’ management for possible adjustment and/or disclosure. |
| |
Effective February 12,
2024, Short Duration ETF changed its name, investment objective, principal investment strategy, portfolio management team and performance benchmark as well as reduced its management fee rate. The Fund's new name is Hartford AAA CLO ETF. Please see
the Short Duration ETF's prospectus supplement for additional information. |
| |
Effective
February 29, 2024, each Fund except Large Cap Growth ETF may participate in a committed line of credit pursuant to a credit agreement. |
HOW TO OBTAIN A COPY OF EACH FUND’S PROXY VOTING POLICIES
AND VOTING RECORDS (UNAUDITED)
A description of the
policies and procedures that each Fund uses to determine how to vote proxies relating to portfolio securities and information about how each Fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30
are available (1) without charge, upon request, by calling 800-456-7526 and (2) on the SEC’s website at http://www.sec.gov. Amendments to Form N-PX will also require Funds to make available their proxy voting record on the Funds' website
after a Fund's N-PX filing with the SEC, with the first filings subject to the amendments due by the end of August 2024.
QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)
Each Fund files its complete schedule of portfolio holdings
with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Each Fund’s portfolio holdings filed as an exhibit to Form N-PORT for the most recent first and third quarter of the Fund’s
fiscal year are available (1) without charge, upon request, by calling 800-456-7526, (2) on the Funds' website, hartfordfunds.com, and (3) on the SEC’s website at http://www.sec.gov.
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited)
Hartford Funds Exchange-Traded Trust
Hartford Core Bond ETF
Hartford Large Cap Growth ETF
Hartford Municipal Opportunities ETF
Hartford Schroders Commodity Strategy ETF
Hartford Schroders Tax-Aware Bond ETF
Hartford Short Duration ETF
Hartford Sustainable Income ETF
Hartford Total Return Bond ETF
(each, a “Fund” and collectively, the
“Funds”)
Section 15(c) of the
Investment Company Act of 1940, as amended (the “1940 Act”), requires that each registered investment company’s board of trustees, including a majority of those trustees who are not “interested persons” of the
investment company, as defined in the 1940 Act (the “Independent Trustees”), annually review and consider the continuation of the investment company’s investment management and sub-advisory agreements. At its meeting held on
September 6-7, 2023, the Board of Trustees (the “Board”) of Hartford Funds Exchange-Traded Trust (the “Trust”), including the Independent Trustees, unanimously voted to approve (i) the continuation of an investment management
agreement by and between Hartford Funds Management Company, LLC (“HFMC”) and the Trust, on behalf of each of the Funds (the “Investment Management Agreement”); (ii) the continuation of an investment sub-advisory agreement
(the “Schroders Sub-Advisory Agreement”) by and between HFMC and Schroder Investment Management North America Inc. (“SIMNA Inc.”) with respect to Hartford Schroders Commodity Strategy ETF and Hartford Schroders Tax-Aware Bond
ETF; (iii) the continuation of a separate sub-sub-advisory agreement (the “Sub-Sub-Advisory Agreement”) by and between SIMNA Inc. and Schroder Investment Management North America Limited (“SIMNA Ltd.”) with respect to
Hartford Schroders Commodity Strategy ETF and Hartford Schroders Tax-Aware Bond ETF; and (iv) the continuation of an investment sub-advisory agreement (the “Wellington Sub-Advisory Agreement” and together with the Investment Management
Agreement, the Schroders Sub-Advisory Agreement and the Sub-Sub-Advisory Agreement, the “Agreements”) by and between HFMC and Wellington Management Company LLP (“Wellington,” and together with SIMNA Inc. and SIMNA Ltd., the
“Sub-advisers,” and together with HFMC, SIMNA Inc. and SIMNA Ltd., the “Advisers”), with respect to Hartford Core Bond ETF, Hartford Large Cap Growth ETF, Hartford Municipal Opportunities ETF, Hartford Short Duration ETF,
Hartford Sustainable Income ETF and Hartford Total Return Bond ETF.
In the months preceding the September 6-7, 2023 meeting,
the Board requested and reviewed written responses from the Advisers to questions posed to the Advisers on behalf of the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board considered such
additional information as it deemed reasonably necessary to evaluate the Agreements, as applicable, with respect to each Fund, which included information furnished to the Board and its committees at their meetings throughout the year and in between
regularly scheduled meetings on particular matters as the need arose, as well as information specifically prepared in connection with the approval of the continuation of the Agreements that was presented at the Board’s meetings held on June
13-14, 2023 and September 6-7, 2023. Information provided to the Board and its committees at their meetings throughout the year included, among other things, reports on Fund performance, legal, compliance and risk management matters, sales and
marketing activity, and the other services provided to each Fund by the Advisers and their affiliates. The members of the Board also considered the materials and presentations by Fund officers and representatives of HFMC received at the
Board’s meetings on June 13-14, 2023 and September 6-7, 2023 concerning the Agreements and at the special meeting of the Board’s Investment Committee on May 10-11, 2023 concerning Fund-by-Fund performance and other investment-related
matters.
The Independent Trustees, advised by
independent legal counsel throughout the evaluation process, engaged service providers to assist them with evaluating the Agreements with respect to each Fund, as applicable. Broadridge Financial Solutions, Inc. (“Broadridge”), an
independent provider of investment company data, was retained to provide the Board with reports on how each Fund’s contractual management fees, total expense ratio and investment performance compared to those of an appropriate group of
investment companies selected by Broadridge. The Independent Trustees also engaged an independent financial services consultant (the “Consultant”) to assist them in evaluating each Fund’s management fees, total expense ratio and
investment performance. In addition, the Consultant previously reviewed the profitability methodologies utilized by HFMC in connection with the continuation of the Investment Management Agreement.
In determining whether to approve the continuation of
the Agreements for a Fund, the members of the Board reviewed and evaluated information and factors they believed to be relevant and appropriate through the exercise of their reasonable business judgment. While individual members of the Board may
have weighed certain factors differently, the Board’s determination to approve the continuation of the Agreements was based on a comprehensive consideration of all information provided to the Board throughout the year and specifically with
respect to the continuation of the Agreements. The Board was also furnished with an analysis of its fiduciary obligations in connection with its evaluation of the Agreements.
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited) – (continued)
Throughout the evaluation process, the Board was assisted by counsel for
the Funds and the Independent Trustees were also separately assisted by independent legal counsel. In connection with their deliberations, the Independent Trustees met separately with independent legal counsel and the Consultant on June 6, 2023 and
in executive session on several occasions to consider their responsibilities under relevant laws and regulations and to discuss the materials presented and other matters deemed relevant to their consideration of the approval of the continuation of
the Agreements. As a result of the discussions that occurred during the June 6, 2023 and June 13-14, 2023 meetings, the Independent Trustees presented HFMC and its affiliates with requests for additional information on certain topics. HFMC responded
to these requests with additional information in connection with the September 6-7, 2023 meeting. A more detailed summary of the important, but not necessarily all, factors the Board considered with respect to its approval of the continuation of the
Agreements is provided below.
Nature, Extent and
Quality of Services Provided by the Advisers
The
Board requested and considered information concerning the nature, extent and quality of the services provided to each Fund by the Advisers. The Board considered, among other things, the terms of the Agreements and the range of services provided by
the Advisers. The Board considered the Advisers’ professional personnel who provide services to the Funds, including each Adviser’s ability and experience in attracting and retaining qualified personnel to service the Funds. The Board
considered each Adviser’s reputation and overall financial strength, as well as each Adviser’s willingness to consider and implement organizational and operational changes designed to enhance services to the funds managed by HFMC and its
affiliates (the “Hartford funds”). In addition, the Board considered the quality of each Adviser’s communications with the Board and responsiveness to Board inquiries and requests made from time to time with respect to the Funds
and other Hartford funds.
The Board also requested
and evaluated information concerning each Adviser’s regulatory and compliance environment. In this regard, the Board reviewed information about each Adviser’s compliance policies and procedures and compliance history, and a report from
the Funds’ Chief Compliance Officer about each Adviser’s compliance with applicable laws and regulations, including responses to regulatory developments and any compliance or other issues raised by regulators. The Board also noted the
Advisers’ support of the Funds’ compliance control structure, as applicable, including the resources devoted by the Advisers in support of the Funds’ obligations pursuant to Rule 38a-1 under the 1940 Act and the Funds’ risk
management programs, as well as the efforts of the Advisers to address cybersecurity risks. The Board also considered HFMC’s investments in business continuity planning designed to benefit the Funds. The Board also noted HFMC’s
commitment to maintaining high quality systems and expending substantial resources to prepare for and respond to ongoing changes to the market, regulatory and control environments in which the Funds and their service providers operate.
With respect to HFMC, the Board noted that, under the
Investment Management Agreement, HFMC is responsible for the management of the Funds, including oversight of fund operations and service providers, and the provision of investment management and administrative services in connection with selecting,
monitoring and supervising the Sub-advisers. In this regard, the Board evaluated information about the nature and extent of responsibilities retained and risks assumed by HFMC that were not delegated to or assumed by the Sub-advisers. The Board
considered HFMC’s ongoing monitoring of people, process and performance, including its quarterly reviews of each of the Hartford funds, semi-annual meetings with the leaders of each Fund’s portfolio management team, and ongoing oversight
of the Hartford funds’ portfolio managers. The Board noted that HFMC has demonstrated a record of initiating changes to the portfolio management and/or investment strategies of the Hartford funds when warranted. The Board considered
HFMC’s periodic due diligence reviews of each Sub-adviser and ongoing oversight of each Sub-adviser’s investment approach and results, HFMC’s process for monitoring best execution of portfolio trades and other trading operations by
each Sub-adviser, and HFMC’s approach to risk management with respect to the Funds. The Board considered HFMC’s oversight of the securities lending program for the Funds that engage in securities lending and noted the income earned by
the Funds that participate in such program. The Board also considered HFMC’s day-to-day oversight of each Fund’s compliance with its investment objective and policies as well as with applicable laws and regulations, noting that
regulatory and other developments had over time led to an increase in the scope of HFMC’s oversight in this regard. Moreover, the Board considered HFMC’s oversight of potential conflicts of interest between the Funds’ investments
and those of other funds or accounts, if any, managed by the Funds’ portfolio management personnel.
In addition, the Board considered HFMC’s overall
strategic plan for, and ongoing commitment to review and re-assess, the Hartford funds product line-up. The Board also considered the expenses that HFMC had incurred, as well as the risks HFMC had assumed, in connection with the launch of new funds
and changes to existing Hartford funds in recent years. The Board considered that HFMC is responsible for providing the Funds’ officers.
With respect to the Sub-advisers, which are responsible
for the daily investment of the assets of their respective Funds, subject to oversight by HFMC, the Board considered, among other things, each Sub-adviser’s investment personnel, investment philosophy and process, investment research
capabilities and resources, performance record, trade execution capabilities and experience, including with respect to sustainable and environmental, social and/or governance (ESG) investing, to the extent applicable. The Board considered the
experience of each Fund’s portfolio manager(s), the
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited) – (continued)
number of accounts managed by the portfolio manager(s), and each
Sub-adviser’s method for compensating the portfolio manager(s). The Board also considered each Sub-adviser’s succession planning practices to ensure continuity of portfolio management services provided to the Funds and HFMC’s
oversight of these practices.
The Board considered
the benefits to shareholders of investing in a fund that is part of the family of Hartford funds. The Board considered HFMC’s efforts to provide investors in the Hartford funds with a broad range of investment styles and asset classes and the
assumption of entrepreneurial and other risks by HFMC in connection with sponsoring new funds to expand these opportunities for shareholders and providing ongoing services to each Fund. In addition, the Board observed that in the marketplace there
are a range of investment options available to each Fund’s shareholders and such shareholders, having had the opportunity to consider other investment options, have chosen to invest in the Fund. The Board considered the special attributes of
the Funds, which are exchange-traded funds (“ETFs”), relative to mutual funds and the benefits that are expected to be realized from an investment in the Funds, rather than a mutual fund. The Board also noted that Hartford Large Cap
Growth ETF operates as a semi-transparent ETF and considered the differences between the semi-transparent ETF structure and the fully transparent ETF structure utilized by the other Funds. The Board also considered the resources devoted by HFMC and
its affiliates in developing and maintaining an infrastructure necessary to support the ongoing operations of the Funds.
Based on these considerations, the Board concluded that it
was satisfied with the nature, extent and quality of the services provided to each Fund by HFMC and the Sub-advisers.
Performance of each Fund and the Advisers
The Board considered the investment performance of each
Fund. In this regard, the Board reviewed the performance of each Fund over different time periods and evaluated HFMC’s analysis of each Fund’s performance for these time periods. The Board considered information and materials provided to
the Board by the Advisers concerning Fund performance, as well as information from Broadridge comparing the investment performance of each Fund to an appropriate universe of peer funds. The Board noted that while it found the comparative data
provided by Broadridge generally useful in evaluating a Hartford fund’s investment performance, the Board recognized the limitations of such data, including that notable differences may exist between a Hartford fund and its peers. The Board
also noted the limited operating history of certain Funds in evaluating the performance of the Advisers. For details regarding each Fund’s performance, see the Fund-by-Fund synopsis below.
The Board considered the detailed investment analytics
reports provided by HFMC’s Investment Advisory Group throughout the year, including in connection with the approval of the continuation of the Agreements. These reports included, among other things, information on each Fund’s gross
returns and net returns, the Fund’s investment performance compared to one or more appropriate benchmarks and relevant groups or categories of peer funds, various statistics concerning the Fund’s portfolio, a narrative summary of various
factors affecting Fund performance, and commentary on the effect of current and recent market conditions. The Board considered the Advisers’ work with the Investment Committee, which assists the Board in evaluating the performance of each Fund
at periodic meetings throughout the year and specifically with respect to the approval of the continuation of the Agreements. The Board considered that the Investment Committee, in its oversight of investment performance at meetings throughout the
year, focused particular attention on information indicating less favorable performance of certain Hartford funds for specific time periods and discussed with the Advisers the reasons for such performance, as well as any specific actions that the
Advisers had taken, or had agreed to take, to seek to enhance Fund investment performance and the results of those actions. The Board also considered the analysis provided by the Consultant relating to each Fund’s performance track record. In
addition, the Board considered information about HFMC’s overall assessment of the functioning of each Fund’s arbitrage mechanism, noting HFMC’s statement that the arbitrage mechanism of each Fund functioned as expected.
Based on these considerations, the Board concluded that it
had continued confidence in HFMC’s and each Sub-adviser’s overall capabilities to manage the Funds, as applicable.
Costs of the Services and Profitability of the
Advisers
The Board reviewed information regarding
HFMC’s cost to provide investment management and related services to each Fund and HFMC’s profitability, both overall and for each Fund, on a pre-tax basis without regard to distribution expenses. The Board also requested and reviewed
information about the profitability to HFMC and its affiliates from all services provided to each Fund and all aspects of their relationship with the Fund, including information regarding profitability trends over time. The Board also requested and
received information relating to the operations and profitability of the Sub-advisers. The Board considered representations from HFMC, SIMNA Inc. and Wellington that the respective Sub-adviser’s fees were negotiated at arm’s length on a
Fund-by-Fund basis and that the sub-advisory fees are paid by HFMC and not the Funds. The Board also
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited) – (continued)
considered that SIMNA Ltd. is an affiliate of SIMNA Inc. and that SIMNA
Ltd.’s sub-sub-advisory fees would be paid by SIMNA Inc., not Hartford Schroders Commodity Strategy ETF or Hartford Schroders Tax-Aware Bond ETF. Accordingly, the Board concluded that the profitability of each Sub-adviser is a less relevant
factor with respect to the Board’s consideration of the Funds’ sub-advisory agreements.
The Board considered that the Consultant had previously
reviewed the methodologies and estimates used by HFMC in calculating profitability in connection with the continuation of the Investment Management Agreement, including a description of the methodology used to allocate certain expenses. The Board
noted that the Consultant previously reported that such process is reasonable, sound and consistent with common industry practice. The Board noted that HFMC’s process for calculating and reporting Fund profitability is consistent with the
process previously reviewed by the Consultant.
Based
on these considerations, the Board concluded that the profits realized by HFMC and its affiliates from their relationships with each Fund were not excessive.
Comparison of Fees and Services Provided by the
Advisers
The Board considered comparative
information with respect to the services rendered to and the management fees to be paid by each Fund to HFMC and the total expense ratio of each Fund. The Board considered that HFMC would pay all expenses of the Trust, except for: (i) interest and
taxes; (ii) brokerage commissions and other expenses (such as stamp taxes) connected with the execution of portfolio transactions; (iii) expenses incident to the creation and redemption of its shares; (iv) legal fees in connection with any
arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith and any obligation which the Trust may have to indemnify its officers and Trustees with respect thereto; (v) distribution
fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) such extraordinary non-recurring expenses as may arise; and (vii) acquired fund fees and expenses. The Board noted that HFMC
would bear the risk that Fund operating costs may increase over time. The Board also considered comparative information with respect to the sub-advisory fees to be paid by HFMC to SIMNA Inc. and Wellington with respect to each Fund, as applicable.
In this regard, the Board requested and reviewed information from HFMC, SIMNA Inc. and Wellington relating to the management and sub-advisory fees, including the sub-advisory fee schedule for each Fund and the amount of the management fee retained
by HFMC, and total operating expenses for each Fund. The Board also reviewed information from Broadridge comparing each Fund’s contractual management fees, actual management fees and total expense ratio relative to an appropriate group of
funds selected by Broadridge. The Board considered such information from Broadridge in consultation with the Consultant. For details regarding each Fund’s fees and expenses, see the Fund-by-Fund synopsis below.
The Board considered the methodology used by Broadridge
to select the funds included in the expense groups. While the Board recognized that comparisons between a Fund and its peer funds may be imprecise given, among other differences, the different service levels and characteristics of registered
investment companies and the different business models and cost structures of the Advisers, the comparative information provided by Broadridge assisted the Board in evaluating the reasonableness of each Fund’s fees and total operating
expenses. In addition, the Board considered the analysis and views of the Consultant relating to each Fund’s fees and total operating expenses and expense groups.
The Board received information regarding fees charged by
HFMC to other Hartford funds that are mutual funds with investment strategies similar to those of Hartford Large Cap Growth ETF, Hartford Municipal Opportunities ETF, Hartford Schroders Tax-Aware Bond ETF, Hartford Short Duration ETF (at the time of
the approval), and Hartford Total Return Bond ETF. The Board reviewed information about structural, operational and other differences between the Funds and the mutual funds, including differences in the services provided to each type of product and
differences in the marketplace in which each type of product must compete. The Board also received information regarding fees charged by the Sub-advisers to any other clients with investment strategies similar to those of the Funds, including any
institutional separate account clients and registered fund clients for which a Sub-adviser serves as either primary investment adviser or sub-adviser. The Board considered the explanations provided by the Sub-advisers about any differences between a
Sub-adviser’s services to the Funds and the services it provides to other types of clients. In this regard, the Board reviewed information about the generally broader scope of services and compliance, reporting and other legal burdens and
risks of managing registered funds compared with those associated with managing assets of non-registered fund clients such as institutional separate accounts.
Based on these considerations, the Board concluded that
each Fund’s fees and total operating expenses, in conjunction with the information about quality of services, profitability, economies of scale, and other matters considered, were reasonable in light of the services provided.
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited) – (continued)
Economies of Scale
The Board considered information regarding economies of
scale, including the extent to which economies of scale may be realized as a Fund grows and whether fee levels reflect these economies of scale for the benefit of shareholders of the Fund. The Board considered that any economies of scale in respect
of the management of a Fund would benefit HFMC due to the unitary fee structure of each Fund, but that the unitary fee protects shareholders from a rise in operating costs and/or a decline in Fund assets and is a transparent means of informing the
Fund’s shareholders of the fees associated with the Fund. The Board considered that each Fund could share in the benefits from some economies of scale as assets in the Fund grow. The Board noted that each Fund’s management fee does not
contain breakpoints. However, the Board considered that HFMC shares anticipated or potential economies of scale with shareholders in a variety of ways, including through initially setting competitive fee rates and pricing each Fund to scale at
inception, as well as additional investments in HFMC’s business and the provision of improved or additional infrastructure and services to the Funds and their shareholders. The Board also noted that, for each of Hartford Schroders Tax-Aware
Bond ETF and Hartford Short Duration ETF, the Fund’s current low asset levels means that the Fund has achieved limited, if any, economies of scale.
After considering all of the information available to
it, the Board concluded that it was satisfied with the extent to which economies of scale, if any, would be shared for the benefit of each Fund’s shareholders based on currently available information and the effective management fees and total
expense ratio for each Fund at its current and reasonably anticipated asset levels. The Board noted, however, that it would continue to monitor any future growth in each Fund’s assets and the appropriateness of management fee breakpoints or
other methods to share benefits from economies of scale as part of its future review of the Agreements.
Other Benefits
The Board considered other benefits to the Advisers and
their affiliates from their relationships with the Funds.
Fund-by-Fund Factors
For purposes of evaluating a Fund’s performance,
the Board considered the Fund’s performance relative to similarly managed funds and the Fund’s performance relative to its benchmark. In particular, the Board considered the Fund’s performance (net of all fees and expenses), as of
March 31, 2023, and compared that performance to the Fund’s peer universe, which includes all funds within the same classification or category, as determined by Broadridge. The Board considered the Fund’s performance relative to its peer
universe by evaluating its quintile ranking, with the 1st quintile representing the top performing funds within a peer universe and the 5th quintile representing the lowest performing funds. For purposes of evaluating the Fund’s performance
relative to its benchmark, the Board considered the Fund’s performance (net of all fees and expenses) as of March 31, 2023. The Board considered Fund performance to be “in line with” a Fund’s benchmark where it was 50 basis
points above or below the benchmark return. With respect to fees and expenses, the Board considered the Fund’s contractual management fee, actual management fee, and total operating expenses, as compared to the Fund’s expense peer group,
which includes a group of similarly sized funds selected by Broadridge.
Hartford Core Bond ETF
| •
|
The Board noted that the
Fund’s performance was in the 4th quintile versus its peer universe for the 1-year period and the 5th quintile for the 3-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period and in
line with its benchmark for the 3-year period. |
| •
|
The Board
noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group. |
Hartford Large Cap Growth ETF
| •
|
The Board noted that the
Fund’s performance was in the 4th quintile versus its peer universe for the 1-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period. |
| •
|
The Board
noted that the Fund’s contractual management fee was in the 2nd quintile of its expense group while its actual management fee was in the 4th quintile and its total expenses were in the 3rd quintile. |
Approval of Investment Management and
Investment Sub-Advisory Agreements (Unaudited) – (continued)
Hartford Municipal Opportunities ETF
| •
|
The Board noted that the
Fund’s performance was in the 4th quintile versus its peer universe for the 1-year period, the 2nd quintile for the 3-year period and the 1st quintile for the 5-year period. The Board also noted that the Fund’s performance was below its
benchmark for the 1-year period and in line with its benchmark for the 3- and 5-year periods. |
| •
|
The Board
noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile. |
Hartford Schroders Commodity Strategy ETF
| •
|
The Board noted that the
Fund’s performance was in the 5th quintile versus its peer universe for the 1-year period. The Board also noted that the Fund’s performance was below its benchmark for the 1-year period. |
| •
|
The
Board noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 5th quintile of its expense group. In considering the Fund’s expenses, the Board noted the shareholder savings expected to
result from a contractual investment management fee reduction implemented in 2023. |
Hartford Schroders Tax-Aware Bond ETF
| •
|
The Board noted that the
Fund’s performance was in the 1st quintile versus its peer universe for the 1-year period and the 3rd quintile for the 3-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1- and 3-year
periods. |
| •
|
The Board
noted that the Fund’s contractual management fee was in the 3rd quintile of its expense group, while its actual management fee and total expenses were in the 4th quintile. |
Hartford Short Duration ETF
| •
|
The Board noted that the
Fund’s performance was in the 2nd quintile versus its peer universe for the 1-year period and the 1st quintile for the 3-year period. The Board also noted that the Fund’s performance was in line with its benchmark for the 1-year period
and above its benchmark for the 3-year period. The Board noted recent and upcoming changes to the Fund’s portfolio management team. |
| •
|
The Board
noted that the Fund’s contractual management fee and total expenses were in the 2nd quintile of its expense group, while its actual management fee was in the 3rd quintile. |
Hartford Sustainable Income ETF
| •
|
The Board noted that the
Fund’s performance was in the 3rd quintile versus its peer universe for the 1-year period. The Board also noted that the Fund’s performance was above its benchmark for the 1-year period. |
| •
|
The Board
noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group. |
Hartford Total Return Bond ETF
| •
|
The Board noted that the
Fund’s performance was in the 3rd quintile versus its peer universe for the 1-year period and the 2nd quintile for the 3- and 5-year periods. The Board also noted that the Fund’s performance was in line with its benchmark for the 1- and
5-year periods and above its benchmark for the 3-year period. |
| •
|
The Board
noted that the Fund’s contractual management fee, actual management fee and total expenses were in the 2nd quintile of its expense group. |
* * *
*
Based upon the review of the factors
summarized above, among others, the Board concluded that it is in the best interests of each Fund and its shareholders for the Board to approve the continuation of the Agreements for an additional year. In reaching this decision, the Board did not
assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of themselves.
Supplemental Proxy Information
(Unaudited)
A
special meeting of shareholders of the Large Cap Growth ETF was held on November 2, 2023 (“Shareholder Meeting”). At the Shareholder Meeting, shareholders of the Large Cap Growth ETF voted to approve reclassifying the Large Cap
Growth ETF from a diversified investment company to a non-diversified investment company and eliminating a related fundamental diversification policy. The change in the Fund’s diversification classification became effective November 28, 2023.
The final results of the Shareholder Meeting are reported below:
| |
| Shares
Outstanding (as of Record Date (August 31, 2023)): 6,067,587.000 |
| Total
Shares Voted: 5,957,313.000 |
| Percentage
of Shares Voted: 98.18% |
| Votes
For: 5,957,310.000 |
| Percentage
of Shares For: 100.00% |
| Votes
Against: 0 |
| Percentage
of Shares Against: 0.00% |
| Votes
Abstained: 0 |
| Percentage
of Shares Abstained: 0.00% |
THIS PRIVACY POLICY IS NOT PART
OF THIS REPORT
Customer Privacy Notice
The Hartford Financial Services Group, Inc. and
Affiliates
(herein called “we, our, and us”)
This Privacy Policy applies to our United States
Operations
We value your trust. We are committed to the responsible:
| a)
|
management;
|
| b)
|
use; and |
| c)
|
protection;
|
of Personal
Information.
This notice describes how we
collect, disclose, and protect Personal Information.
We collect Personal
Information to:
| a)
|
service your Transactions with us; and |
| b)
|
support our business
functions. |
We may obtain Personal Information from:
| a)
|
You; |
| b)
|
your Transactions with us; and |
| c)
|
third parties such as a
consumer-reporting agency. |
Based on
the type of product or service You apply for or get from us, Personal Information such as:
| a)
|
your name; |
| b)
|
your address; |
| c)
|
your income; |
| d)
|
your payment; or |
| e)
|
your credit history;
|
may be gathered from sources such as applications, Transactions, and consumer reports.
To serve You and
service our business, we may share certain Personal Information.
We will share Personal
Information, only as allowed by law, with affiliates such as:
| a)
|
our insurance companies;
|
| b)
|
our employee agents;
|
| c)
|
our brokerage firms; and
|
| d)
|
our administrators.
|
As allowed by law, we may share Personal Financial Information with our affiliates to:
| a)
|
market our products; or
|
| b)
|
market our services;
|
to You
without providing You with an option to prevent these disclosures.
We may also share Personal
Information, only as allowed by law, with unaffiliated third parties including:
| a)
|
independent agents;
|
| b)
|
brokerage firms; |
| c)
|
insurance companies;
|
| d)
|
administrators; and
|
| e)
|
service providers;
|
who help us serve
You and service our business.
When allowed by law, we may share certain Personal Financial Information with other unaffiliated third parties who assist us by performing services or functions such as:
| a)
|
taking surveys; |
| b)
|
marketing our products or
services; or |
| c)
|
offering financial products
or services under a joint agreement |
between us and
one or more financial institutions.
We, and third
parties we partner with, may track some of the pages You visit through the use of:
| a)
|
cookies;
|
| b)
|
pixel tagging; or |
| c)
|
other technologies;
|
and currently do not process or comply with any
web browser’s “do not track” signal or other similar mechanism that indicates a request to disable online tracking of individual users who visit our websites or use our services.
For more information, our Online Privacy Policy, which
governs information we collect on our website and our affiliate websites, is available at https://www.thehartford.com/online-privacy-policy.
We will not sell or share your Personal Financial Information with anyone for purposes unrelated to our business functions without offering You the opportunity to:
| a)
|
“opt-out;” or
|
| b)
|
“opt-in;”
|
as required by law.
We only disclose Personal
Health Information with:
| a)
|
your authorization; or
|
| b)
|
as otherwise allowed or
required by law. |
Our employees have
access to Personal Information in the course of doing their jobs, such as:
| a)
|
underwriting policies;
|
| b)
|
paying claims; |
| c)
|
developing new products; or
|
| d)
|
advising customers of our
products and services. |
We use manual and electronic security procedures to
maintain:
| a)
|
the confidentiality; and
|
Personal
Information that we have. We use these procedures to guard against unauthorized access.
Some techniques we use to protect Personal Information include:
| d)
|
firewall technology; and
|
| e)
|
the use of detection
software. |
We are responsible for and
must:
| a)
|
identify information to be
protected; |
| b)
|
provide an adequate level of
protection for that data; and |
| c)
|
grant access to protected
data only to those people who must use |
it in the
performance of their job-related duties.
Employees
who violate our privacy policies and procedures may be subject to discipline, which may include termination of their employment with us.
We will continue to follow our Privacy Policy regarding Personal Information even when a business relationship no longer exists between us.
As used in this Privacy Notice:
Application means your request
for our product or service.
Personal Financial Information
means financial information such as:
| c)
|
financial benefits; or
|
| d)
|
policy or claim information.
|
Personal Financial Information may include Social Security Numbers, Driver’s license numbers, or other government-issued identification numbers, or credit, debit card, or bank account numbers.
Personal Health Information
means health information such as:
| a)
|
your medical records; or
|
| b)
|
information about your
illness, disability or injury. |
Personal Information means
information that identifies You personally and is not otherwise available to the public. It includes:
| a)
|
Personal Financial Information; and |
| b)
|
Personal Health Information.
|
Transaction means your business dealings with us, such as:
| b)
|
your request for us to pay a
claim; and |
| c)
|
your request for us to take
an action on your account. |
You means an individual who has given us Personal Information in conjunction with:
a financial product or service from us if the
product or service is used mainly for personal, family, or household purposes.
If you have any questions or comments about
this privacy notice, please feel free to contact us at The Hartford – Consumer Rights and Privacy Compliance Unit, One Hartford Plaza, Mail Drop: HO1-09, Hartford, CT 06155, or at ConsumerPrivacyInquiriesMailbox@thehartford.com.
This Customer Privacy Notice is being provided
on behalf of The Hartford Financial Services Group, Inc. and its affiliates (including the following as of February 2024), to the extent required by the Gramm-Leach-Bliley Act and implementing regulations:
1stAGChoice, Inc.; Access CoverageCorp, Inc.;
Access CoverageCorp Technologies, Inc.; Business Management Group, Inc.; Cervus Claim Solutions, LLC; First State Insurance Company; FTC Resolution Company LLC; Hart Re Group L.L.C.; Hartford Accident and Indemnity Company; Hartford Administrative
Services Company; Hartford (Asia) Limited; Hartford Casualty General Agency, Inc.; Hartford Casualty Insurance Company; Hartford Corporate Underwriters Limited; Hartford Fire General Agency, Inc.; Hartford Fire Insurance Company; Hartford
Funds Distributors, LLC; Hartford Funds Management Company, LLC; Hartford Funds Management Group, Inc.; Hartford Holdings, Inc.; Hartford Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the
Southeast; Hartford Insurance, Ltd.; Hartford Integrated Technologies, Inc.; Hartford Investment Management Company; Hartford Life and Accident Insurance Company; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford
Management, Ltd.; Hartford Management (UK) Limited; Hartford Productivity Services LLC; Hartford of the Southeast General Agency, Inc.; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Specialty Insurance
Services of Texas, LLC; Hartford STAG Ventures LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance Company; Hartford Underwriting Agency Limited; Heritage Holdings, Inc.;
Heritage Reinsurance Company, Ltd.; HLA LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lattice Strategies LLC; Maxum Casualty Insurance Company; Maxum Indemnity Company; Maxum Specialty Services Corporation; Millennium
Underwriting Limited; MPC Resolution Company LLC; Navigators Holdings (UK) Limited; Navigators Insurance Company; Navigators Management Company, Inc.; Navigators Specialty Insurance Company; Navigators Underwriting Limited; New England
Insurance Company; New England Reinsurance Corporation; New Ocean Insurance Co., Ltd.; NIC Investments (Chile) SpA; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company
of Hartford; Sentinel Insurance Company, Ltd.; The Navigators Group, Inc.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company; Y-Risk, LLC.
Revised February 2024
[This page is intentionally
left blank]
[This page is intentionally
left blank]
This report is
submitted for the general information of the shareholders of the Funds referenced in this report. It is not authorized for distribution to persons who are not shareholders of one or more Funds referenced in this report unless preceded or accompanied
by a current prospectus for the relevant Funds. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of any Fund listed in this report.
The information cannot be used or relied upon for the purpose
of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.
Investors should carefully consider a Fund’s investment
objectives, risks, charges and expenses. This and other important information is contained in the Fund’s prospectus and summary prospectus, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.
Hartford Funds Management Company, LLC (HFMC) is the investment
manager for the active ETFs. Hartford Core Bond ETF, Hartford Large Cap Growth ETF, Hartford Municipal Opportunities ETF, Hartford Short Duration ETF, Hartford Sustainable Income ETF and Hartford Total Return Bond ETF are sub-advised by Wellington
Management Company LLP (Wellington). Hartford Schroders Commodity Strategy ETF and Hartford Schroders Tax-Aware Bond ETF are sub-advised by Schroder Investment Management North America Inc. (“SIMNA”) and sub-sub-advised by Schroder
Investment Management North America Ltd. (“SIMNA Ltd”, together with SIMNA, “Schroders”). HFMC, Wellington, SIMNA, and SIMNA Ltd. are all SEC registered investment advisers. The ETFs are distributed by ALPS Distributors,
Inc., which is not affiliated with Wellington, Schroders or HFMC.
ETFSAR-A24 03/24
Printed in the U.S.A.
Item 2. Code of Ethics.
Not
applicable to this semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to this semi-annual filing.
Item 6. Investments.
| |
(a) |
The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is
included as part of the semi-annual report filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management
Investment Companies.
Not applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and
Affiliated Purchasers.
Not applicable
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of
trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item
22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| |
(a) |
The registrant’s principal executive and principal financial officers, or persons performing similar
functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation
of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| |
(b) |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or is reasonably likely to
materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of
Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.
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HARTFORD FUNDS EXCHANGE-TRADED TRUST |
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| Date: April 5, 2024 |
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By: |
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/s/ James E. Davey |
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James E. Davey |
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President and Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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| Date: April 5, 2024 |
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By: |
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/s/ James E. Davey |
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James E. Davey |
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President and Chief Executive Officer |
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| Date: April 5, 2024 |
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By: |
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/s/ Ankit Puri |
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Ankit Puri |
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Treasurer |
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(Principal Financial Officer and Principal Accounting Officer) |
