LATTICE STRATEGIES TRUST

N-CSRS 1 d388660dncsrs.htm LATTICE STRATEGIES TRUST LATTICE STRATEGIES 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: 811-23002

LATTICE STRATEGIES TRUST

(Exact name of registrant as specified in charter)

101 Montgomery Street, 27^th Floor, San Francisco, California 94104

(Address of principal executive offices) (zip code)


(Name and Address of Agent for Service)		Copy to:

Corporation Service Company 2711 Centerville Road, Suite 400 Wilmington, DE 19808		Kathleen H. Moriarty, Esq. Arnold & Porter Kaye Scholer LLP 250 West 55^th Street New York, New York 10019

Registrant’s telephone number, including area code: (415) 508-3400

Date of fiscal year end: September 30

Date of reporting period: March 31, 2017

Item 1. Reports to Shareholders.

No part of this document may be used, reproduced, published or posted without the permission of The Hartford.

LOGO

A MESSAGE FROM THE PRESIDENT

Dear Fellow Shareholders:

Thank you for investing in Hartford Multifactor ETFs. We are pleased to present you with the Semiannual Report, which covers the period from October 1, 2016 through March 31, 2017.

Market Review

With the exception of a brief dip ahead of the US presidential election in November, stocks, as measured by the S&P 500 Index,¹ kept an upward trajectory during the six months ended March 31, 2017. That positive momentum helped push the Index to a nearly 12% gain for 2016, and started 2017 off with a 6% return through March 31.

The primary driver of market progress during the period was the outcome of the presidential election. Markets viewed the incoming Trump administration as a positive for businesses and investors, and that optimism carried through past the inauguration. That optimism also combined with positive job reports and a growing domestic economy, which has been the basis of the US Federal Reserve’s continued interest-rate hike cycle that began in December 2015. At the time of this writing, expectations were for a continued gradual rate-hike pace, which helps markets better digest and account for such changes.

Going forward, politics both at home and abroad are likely to continue playing a key role in driving market movements. Uncertainty surrounding potential policy changes by the Trump administration, European elections, and Britain’s “Brexit” undertaking to leave the European Union could all influence markets or cause an uptick in volatility.

For this reason, we encourage you to maintain a strong relationship with your financial advisor, who can help guide you through shifting markets with confidence. Regardless of the political environment, your advisor can help you proactively build a portfolio that takes market uncertainty into account, along with your unique investment goals and risk tolerances. Your financial advisor can help you find a fit within our family of funds as you work toward those goals.

Thank you again for investing in Hartford Multifactor ETFs. For the most up-to-date information on our Multifactor ETF suite, please take advantage of all the resources available at hartfordfunds.com/ETF.

LOGO

James Davey

President

Hartford Funds

¹	S&P 500 Index is a market capitalization-weighted price index composed of 500 widely held common stocks.

Multifactor ETFs

Table of Contents


Fund Performance and Summary			2
Expense Examples			12
Financial Statements:
Schedules of Investments:
Hartford Multifactor Developed Markets (ex-US) ETF			14
Hartford Multifactor Emerging Markets ETF			21
Hartford Multifactor Global Small Cap ETF			27
Hartford Multifactor REIT ETF			34
Hartford Multifactor US Equity ETF			37
Statements of Assets and Liabilities			44
Statements of Operations			46
Statements of Changes in Net Assets			48
Financial Highlights			51
Notes to Financial Statements			52
How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records			64
Quarterly Portfolio Holdings Information			64

Hartford Multifactor Developed Markets (ex-US) ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

LOGO

The chart above represents the hypothetical growth of a $10,000 investment in the Fund. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Average Annual Total Returns (as of 3/31/17)


	6 Months¹		1 Year		Since Inception²
Multifactor Developed Markets (ex-US) ETF (NAV Return)		4.83%		9.19%		3.47%
Multifactor Developed Markets (ex-US) ETF (Market Price Return)		4.72%		9.60%		3.70%
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index		5.02%		9.44%		3.77%

¹	Not Annualized

²	Inception: 2/25/2015

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, may be worth more or less than their original cost. 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 www.hartfordfunds.com.

Total returns are calculated using the daily 4:00 pm net asset value (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 you would receive if you traded shares at other times.

Hartford Multifactor ETF Shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Owners of the Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unit aggregations only, typically consisting of 100,000 Shares.

Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (formerly known as Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index) is

calculated by Solactive AG and represents the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

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.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.39%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2017.


		2

Hartford Multifactor Developed Markets (ex-US) ETF

Fund Summary

March 31, 2017 (Unaudited)

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of March 31, 2017


Country	Percentage of Net Assets
Australia		6.7	%
Austria		0.7
Belgium		0.9
Bermuda		0.1
Canada		11.7
China		0.5
Denmark		1.7
Finland		0.5
France		6.4
Germany		7.3
Hong Kong		5.4
Ireland		1.1
Israel		2.4
Italy		2.7
Japan		19.5
Jersey		0.1
Luxembourg		0.6
Malta		0.1
Netherlands		3.6
New Zealand		2.1
Norway		0.4
Portugal		0.2
Russia		0.0
Singapore		3.1
South Africa		0.1
Spain		2.2
Sweden		1.5
Switzerland		7.4
United Kingdom		9.5
United States		1.0
Short-Term Investments		1.2
Other Assets & Liabilities		(0.7	)

Total		100.0	%

Composition by Sector

as of March 31, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		11.9	%
Consumer Staples		10.2
Energy		4.1
Financials		20.0
Health Care		12.2
Industrials		13.2
Information Technology		5.4
Materials		6.1
Real Estate		5.5
Telecommunication Services		5.9
Utilities		5.0

Total		99.5	%

Short-Term Investments		1.2
Other Assets & Liabilities		(0.7	)

Total		100.0	%

A sector may be comprised of several industries. For Fund compliance purposes, the Fund may not use the same classification system and these sector classifications are used for financial reporting purposes.

The accompanying notes are an integral part of these financial statements.


		3

Hartford Multifactor Emerging Markets ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index based upon the emerging markets of the world.

LOGO

Average Annual Total Returns (as of 3/31/17)


	6 Months¹		1 Year		Since Inception²
Multifactor Emerging Markets ETF (NAV Return)		4.79%		8.45%		-3.20%
Multifactor Emerging Markets ETF (Market Price Return)		3.94%		9.41%		-2.83%
Hartford Risk-Optimized Multifactor Emerging Markets Index		5.14%		9.37%		-2.44%

¹	Not Annualized

²	Inception: 2/25/2015

Hartford Risk-Optimized Multifactor Emerging Markets Index (formerly known as Lattice Risk-Optimized Advancing Markets Strategy Index) is calculated by Solactive AG and is designed to balance risks and opportunities within equity markets of

emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

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.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.59%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2017.


		4

Hartford Multifactor Emerging Markets ETF

Fund Summary

March 31, 2017 (Unaudited)

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. These risks are generally greater for investments in emerging markets. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of March 31, 2017


Country	Percentage of Net Assets
Brazil		4.5	%
Chile		5.0
China		7.0
Colombia		3.4
Hong Kong		0.1
India		6.0
Indonesia		7.1
Malaysia		7.6
Mexico		4.9
Philippines		6.6
Poland		5.5
Russia		3.0
South Africa		6.0
South Korea		9.0
Taiwan		10.3
Thailand		8.7
Turkey		5.0
Short-Term Investments		2.2
Other Assets & Liabilities		(1.9	)

Total		100.0	%

Composition by Sector

as of March 31, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		6.9	%
Consumer Staples		11.5
Energy		9.5
Financials		31.0
Health Care		2.2
Industrials		6.6
Information Technology		10.9
Materials		6.2
Real Estate		3.3
Telecommunication Services		7.3
Utilities		4.3

Total		99.7	%

Short-Term Investments		2.2
Other Assets & Liabilities		(1.9	)

Total		100.0	%

The accompanying notes are an integral part of these financial statements.


		5

Hartford Multifactor Global Small Cap ETF inception 03/23/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of small capitalization exchange traded equity securities.

LOGO

Average Annual Total Returns (as of 3/31/17)


	6 Months¹		1 Year		Since Inception²
Multifactor Global Small Cap ETF (NAV Return)		9.56%		17.33%		7.30%
Multifactor Global Small Cap ETF (Market Price Return)		9.32%		17.86%		7.48%
Hartford Risk-Optimized Multifactor Global Small Cap Index		9.72%		17.83%		7.92%

¹	Not Annualized

²	Inception: 3/23/2015

Hartford Risk-Optimized Multifactor Global Small Cap Index (formerly known as Lattice Risk-Optimized Global Small Cap Strategy Index) is calculated by Solactive AG

and designed to address risks and opportunities within the global small cap universe by selecting equity securities of companies exhibiting a favorable combination of factor characteristics, including valuation, momentum, and quality.

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.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.56%. Actual expenses may be higher. Expenses shown include acquired fund fees and expenses incurred by investing in the securities of investment vehicles. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2017.


		6

Hartford Multifactor Global Small Cap ETF

Fund Summary

March 31, 2017 (Unaudited)

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. These risks are generally greater for investments in emerging markets. Small cap securities can have greater risk and volatility than large-cap securities. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Country

as of March 31, 2017


Country	Percentage of Net Assets
Australia		4.7	%
Belgium		0.5
Bermuda		0.9
Brazil		1.8
Canada		6.2
China		9.2
Denmark		0.7
France		1.0
Georgia		0.5
Germany		0.7
Hong Kong		1.7
Israel		0.7
Italy		0.6
Japan		11.1
Luxembourg		0.3
Netherlands		0.6
New Zealand		0.5
Norway		0.2
Portugal		0.0
Puerto Rico		0.4
Singapore		0.9
South Africa		1.9
South Korea		4.6
Spain		0.5
Sweden		0.4
Switzerland		0.9
Taiwan		3.3
Thailand		0.5
United Kingdom		4.0
United States		40.3
Short-Term Investments		3.5
Other Assets & Liabilities		(3.1	)

Total		100.0	%

Composition by Sector

as of March 31, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		16.3	%
Consumer Staples		5.9
Energy		5.4
Financials		11.6
Health Care		11.6
Industrials		15.3
Information Technology		15.3
Materials		6.5
Real Estate		9.0
Telecommunication Services		1.7
Utilities		1.0

Total		99.6	%

Short-Term Investments		3.5
Other Assets & Liabilities		(3.1	)

Total		100.0	%

The accompanying notes are an integral part of these financial statements.


		7

Hartford Multifactor REIT ETF inception 10/03/2016


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of publicly traded real estate investment trusts.

LOGO

The chart above represents the hypothetical growth of a $10,000 investment in Class IA. Growth results in classes other than Class IA will vary from what is seen above due to differences in the expenses charged to those share classes.

Cumulative Total Returns (as of 3/31/17)


	Since Inception¹
Multifactor REIT ETF (NAV Return)		3.93%
Multifactor REIT ETF (Market Price Return)		3.93%
Hartford Risk-Optimized Multifactor REIT Index		4.23%

¹	Inception: 10/03/2016. Cumulative returns not annualized.

Hartford Risk-Optimized Multifactor REIT Index (formerly known as Lattice Risk-Optimized Real Estate Strategy Index) is calculated by Solactive AG and designed to capture the income and growth potential of investing within the U.S. REIT universe. The Strategy selects equity securities of REITs exhibiting a favorable combination of factor characteristics, including quality, momentum, and value.

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.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.45%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2017.


		8

Hartford Multifactor REIT ETF

Fund Summary

March 31, 2017 (Unaudited)

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. A concentration in real estate securities, such as REITs, may subject the Fund to risks associated with the direct ownership of real estate as well as the risks related to the way real estate companies are organized and operated. Real estate is sensitive to changes in interest rates and general and local economic conditions and developments. The fund is non-diversified, so it may be more exposed to the risks associated with single issuers than a diversified fund. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Sector

as of March 31, 2017


Sector	Percentage of Net Assets
Equity Securities
Real Estate		99.4	%
Other Assets & Liabilities		0.6

Total		100.0	%

The accompanying notes are an integral part of these financial statements.


		9

Hartford Multifactor US Equity ETF inception 02/25/2015


(sub-advised by Mellon Capital Management Corporation)		Investment objective – The Fund seeks to provide investment results that, before fees and expenses, correspond to the total return performance of an index that tracks the performance of exchange traded U.S. equity securities.

LOGO

Average Annual Total Returns (as of 3/31/17)


	6 Months¹		1 Year		Since Inception²
Multifactor US Equity ETF (NAV Return)		10.77%		15.29%		5.44%
Multifactor US Equity ETF (Market Price Return)		10.72%		15.33%		5.44%
Hartford Risk-Optimized Multifactor US Equity Index		10.85%		15.65%		5.62%

¹	Not Annualized

²	Inception: 2/25/2015

Hartford Risk-Optimized Multifactor US Equity Index (formerly known as Lattice Risk-Optimized US Equity Strategy Index) is calculated by Solactive AG and seeks to improve returns through a market cycle relative to traditional cap-weighted U.S. equity market indices and active U.S. equity market strategies.

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.

As shown in the Fund’s current prospectus dated February 1, 2017, the total annual fund operating expense ratio was 0.29%. Actual expenses may be higher. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2017.


		10

Hartford Multifactor US Equity ETF

Fund Summary

March 31, 2017 (Unaudited)

A Word about Risk

All investments are subject to risk, including the possible loss of principal. There is no guarantee the Fund will achieve its stated objective. Diversification does not eliminate the risk of experiencing investment losses. Due to the investment strategy of this Fund it may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Composition by Sector

as of March 31, 2017


Sector	Percentage of Net Assets
Equity Securities
Consumer Discretionary		10.6	%
Consumer Staples		6.9
Energy		6.8
Financials		17.4
Health Care		15.5
Industrials		10.2
Information Technology		19.3
Materials		5.5
Real Estate		3.0
Telecommunication Services		2.1
Utilities		2.6

Total		99.9	%

Short-Term Investments		1.0
Other Assets & Liabilities		(0.9	)

Total		100.0	%

The accompanying notes are an integral part of these financial statements.


		11

Multifactor ETFs

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 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 October 1, 2016 through March 31, 2017.

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 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 ratios multiplied by average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Hartford Multifactor Developed Markets (ex-US) ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,048.30	$	2.25	$	1,000.00	$	1,022.74	$	2.22		0.44	%		182		365

Hartford Multifactor Emerging Markets ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,047.90	$	3.17	$	1,000.00	$	1,021.84	$	3.13		0.62	%		182		365


		12

Multifactor ETFs

Expense Examples (Unaudited) – (continued)

Hartford Multifactor Global Small Cap ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,095.60	$	2.98	$	1,000.00	$	1,022.09	$	2.87		0.57	%		182		365

Hartford Multifactor REIT ETF⁽¹⁾


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value October 4, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 4, 2016 through March 31, 2017		Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1039.30	$	2.25	$	1,000.00	$	1,022.69	$	2.27		0.45	%		182		365

⁽¹⁾	Commenced operations on October 4, 2016.

Hartford Multifactor US Equity ETF


Actual Return						Hypothetical (5% return before expenses)
Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Beginning Account Value October 1, 2016		Ending Account Value March 31, 2017		Expenses paid during the period October 1, 2016 through March 31, 2017		Annualized expense ratio			Days in the current 1/2 year		Days in the full year
$	1,000.00	$	1,107.70	$	1.68	$	1,000.00	$	1,023.34	$	1.61		0.32	%		182		365


		13

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5%
		Australia - 6.7%
	16,238	Adelaide Brighton Ltd.⁽¹⁾	$	70,359
	8,442	AGL Energy Ltd.		169,822
	16,049	Amcor Ltd.		184,379
	11,645	Ansell Ltd.		213,823
	18,209	AusNet Services		23,406
	5,102	Australia & New Zealand Banking Group Ltd.		123,845
	7,937	BlueScope Steel Ltd.		74,231
	8,213	Brambles Ltd.		58,580
	12,684	Caltex Australia Ltd.		285,345
	9,650	CIMIC Group Ltd.		264,499
	16,954	Coca-Cola Amatil Ltd.		139,939
	1,413	Cochlear Ltd.		145,765
	410	Commonwealth Bank of Australia		26,870
	1,584	CSL Ltd.		151,443
	16,353	Dexus Property Group REIT		121,880
	1,763	Flight Centre Travel Group Ltd.⁽¹⁾		38,841
	25,646	GPT Group REIT		100,755
	15,638	Insurance Australia Group Ltd.⁽¹⁾		72,173
	1,107	Macquarie Group Ltd.		76,172
	46,180	Mirvac Group REIT		77,150
	420	National Australia Bank Ltd.		10,682
	2,733	Newcrest Mining Ltd.		46,430
	28,594	Orora Ltd.		64,566
	41,241	Qantas Airways Ltd.		122,382
	4,789	QBE Insurance Group Ltd.		47,091
	36,189	Scentre Group REIT		118,433
	10,495	Sonic Healthcare Ltd.		177,095
	22,094	Stockland REIT		78,205
	4,373	Suncorp Group Ltd.		44,068
	32,330	Tabcorp Holdings Ltd.⁽¹⁾		117,149
	73,251	Telstra Corp. Ltd.		260,399
	20,944	Vicinity Centres REIT		45,215
	5,189	Wesfarmers Ltd.		178,406
	8,862	Westfield Corp. REIT⁽¹⁾		60,032
	7,010	Woolworths Ltd.⁽¹⁾		141,711

				3,931,141

		Austria - 0.7%
	5,167	Buwog AG*		130,698
	396	Lenzing AG		66,771
	896	Oesterreichische Post AG		35,784
	25,227	UNIQA Insurance Group AG		196,399

				429,652

		Belgium - 0.9%
	318	Ackermans & van Haaren N.V.		50,099
	4,685	bpost S.A.		110,314
	2,608	Colruyt S.A.		128,367
	1,335	Elia System Operator S.A.		70,593
	237	KBC Group N.V.		15,764
	3,277	Proximus S.A.		103,097
	328	Sofina S.A.		45,571

				523,805

		Bermuda - 0.1%
	2,069	Hiscox Ltd.		28,304

		Canada - 11.7%
	1,257	Agnico Eagle Mines Ltd.		53,177
	2,822	Agrium, Inc.		268,562
	3,667	Alimentation Couche-Tard, Inc. Class B⁽¹⁾		165,196
	783	AltaGas Ltd.⁽¹⁾		18,083


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Canada - 11.7% - (continued)
	5,483	Bank of Montreal⁽¹⁾	$	408,373
	3,918	Bank of Nova Scotia		228,561
	5,384	BCE, Inc.		237,701
	3,714	Canadian Apartment Properties REIT		92,735
	2,641	Canadian Imperial Bank of Commerce⁽¹⁾		227,079
	877	Canadian Tire Corp. Ltd. Class A⁽¹⁾		103,887
	874	CCL Industries, Inc. Class B⁽¹⁾		190,142
	6,083	CGI Group, Inc. Class A*		290,638
	732	Emera, Inc.		25,786
	1,080	Enbridge, Inc.		45,114
	505	Fairfax Financial Holdings Ltd.⁽¹⁾		229,165
	362	First Capital Realty, Inc.⁽¹⁾		5,437
	220	Fortis, Inc.		7,270
	818	Franco-Nevada Corp.⁽¹⁾		53,435
	1,559	Genworth MI Canada, Inc.⁽¹⁾		42,983
	2,016	George Weston Ltd.		175,396
	8,730	Great-West Lifeco, Inc.⁽¹⁾		241,218
	563	H&R REIT		9,739
	9,348	Husky Energy, Inc.*⁽¹⁾		105,210
	19,711	Hydro One Ltd.⁽¹⁾⁽²⁾		358,409
	2,298	Imperial Oil Ltd.⁽¹⁾		69,820
	3,164	Industrial Alliance Insurance & Financial Services, Inc.		136,723
	1,191	Intact Financial Corp.		84,463
	2,498	Loblaw Cos. Ltd.		135,160
	3,699	Magna International, Inc.		159,176
	11,805	Manulife Financial Corp.		208,810
	1,748	Metro, Inc.		53,542
	2,241	National Bank of Canada⁽¹⁾		93,831
	1,304	Open Text Corp.⁽¹⁾		44,195
	1,769	Pembina Pipeline Corp.		55,896
	2,055	Peyto Exploration & Development Corp.⁽¹⁾		42,143
	5,987	Potash Corp. of Saskatchewan, Inc.⁽¹⁾		101,994
	5,910	Power Corp. of Canada		138,438
	8,358	Power Financial Corp.		220,411
	360	RioCan REIT		7,072
	388	Ritchie Bros Auctioneers, Inc.⁽¹⁾		12,734
	4,861	Rogers Communications, Inc. Class B		214,319
	4,606	Royal Bank of Canada⁽¹⁾		334,627
	2,095	Saputo, Inc.		72,088
	2,729	Shaw Communications, Inc. Class B⁽¹⁾		56,415
	1,464	Smart REIT		35,863
	808	SNC-Lavalin Group, Inc.		31,614
	9,148	Sun Life Financial, Inc.		333,091
	3,505	Suncor Energy, Inc.⁽¹⁾		107,306
	5,617	TELUS Corp.		181,821
	697	Toromont Industries Ltd.		24,318
	3,264	Toronto-Dominion Bank		163,023
	2,218	TransCanada Corp.⁽¹⁾		102,065

				6,804,254

		China - 0.5%
	278,150	Dali Foods Group Co. Ltd.⁽²⁾		160,702
	157,958	Yangzijiang Shipbuilding Holdings Ltd.		127,741

				288,443

		Denmark - 1.7%
	1,141	Coloplast A/S B Shares⁽¹⁾		89,357
	7,974	DONG Energy AS⁽²⁾		308,397
	804	GN Store Nord AS⁽¹⁾		18,837
	1,229	H. Lundbeck A/S		57,166

The accompanying notes are an integral part of these financial statements.


		14

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Denmark - 1.7% - (continued)
	4,784	ISS A/S	$	181,445
	670	Nets A/S*⁽²⁾		10,841
	3,020	Novo Nordisk A/S Class B		104,029
	175	Pandora A/S		19,431
	343	Rockwool International A/S B Shares		61,025
	1,322	Topdanmark A/S*		33,617
	6,178	William Demant Holding A/S*⁽¹⁾		129,465

				1,013,610

		Finland - 0.5%
	4,765	Neste Oyj		186,324
	1,796	Orion Oyj Class B⁽¹⁾		93,875

				280,199

		France - 6.4%
	115	Aeroports de Paris		14,249
	114	Air Liquide S.A.		13,059
	1,246	Airbus SE		95,059
	3,159	Amundi S.A.⁽¹⁾⁽²⁾		186,876
	689	Atos SE		85,446
	2,845	AXA S.A.		73,805
	1,201	BioMerieux		203,791
	6,356	Bouygues S.A.		259,380
	740	Christian Dior SE		172,381
	2,528	Cie Generale des Etablissements Michelin		307,830
	16,144	CNP Assurances		329,451
	3,536	Elior Group⁽¹⁾⁽²⁾		80,423
	255	Essilor International S.A.		31,065
	1,415	Euler Hermes Group		130,365
	763	Gecina S.A. REIT		103,804
	139	Hermes International		66,023
	1,927	Ipsen S.A.		193,241
	2,511	Orange S.A.		39,116
	1,747	Rubis SCA		171,659
	534	Safran S.A.		39,997
	5,854	SCOR SE		221,832
	735	Societe BIC S.A.		91,819
	1,138	Sodexo S.A.		134,190
	1,635	Suez Environnement Co.		25,890
	2,009	Thales S.A.		194,803
	2,995	Total S.A.		151,885
	9,952	Worldline S.A.*⁽²⁾		310,809

				3,728,248

		Germany - 7.3%
	86	adidas AG		16,400
	1,460	Allianz SE		271,162
	93,022	Aroundtown Property Holdings plc		437,763
	406	Aurubis AG⁽¹⁾		27,279
	856	BASF SE		85,071
	1,826	Carl Zeiss Meditec AG		78,081
	15,836	Celesio AG		435,630
	3,626	Covestro AG⁽²⁾		279,850
	4,878	Deutsche Lufthansa AG		79,302
	1,305	Deutsche Post AG		44,811
	3,008	Deutsche Telekom AG		52,843
	1,229	Deutsche Wohnen AG		40,571
	644	DMG Mori AG		31,564
	4,742	Evonik Industries AG		155,020
	145	Fielmann AG⁽¹⁾		11,234
	978	Fresenius Medical Care AG & Co. KGaA		82,688
	1,334	Fresenius SE & Co. KGaA		107,479


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Germany - 7.3% - (continued)
	1,977	Hannover Rueck SE	$	228,683
	1,757	Hella KGaA Hueck & Co.		78,034
	228	HOCHTIEF AG⁽¹⁾		37,786
	1,407	Innogy SE*⁽²⁾		53,249
	1,941	K+S AG⁽¹⁾		45,236
	383	Krones AG⁽¹⁾		43,073
	284	Linde AG		47,416
	597	MAN SE		61,700
	1,990	Merck KGaA		227,314
	1,945	METRO AG		62,367
	1,772	Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		347,587
	1,053	OSRAM Licht AG		66,166
	20,142	Schaeffler AG (Preference Shares)		355,026
	729	Suedzucker AG		18,339
	7,135	Talanx AG*		252,251
	22,191	Telefonica Deutschland Holding AG⁽¹⁾		110,365

				4,271,340

		Hong Kong - 5.4%
	2,945	BOC Hong Kong Holdings Ltd.		12,032
	655,688	Champion REIT		401,605
	32,720	Chow Tai Fook Jewellery Group Ltd.		31,787
	6,980	CLP Holdings Ltd.		72,975
	50,733	Dairy Farm International Holdings Ltd.		460,656
	3,810	Hang Seng Bank Ltd.		77,264
	267,609	HK Electric Investments & HK Electric Investments Ltd. UNIT⁽²⁾		246,552
	184,917	HKT Trust & HKT Ltd. UNIT		238,418
	47,984	Hongkong Land Holdings Ltd.		368,997
	1,726	Jardine Matheson Holdings Ltd.		110,895
	4,885	Jardine Strategic Holdings Ltd.		205,170
	61,188	Link REIT		428,706
	111,575	PCCW Ltd.		65,755
	20,435	VTech Holdings Ltd.		244,279
	95,792	WH Group Ltd.⁽²⁾		82,585
	4,761	Wheelock & Co., Ltd.		37,646
	19,611	Yue Yuen Industrial Holdings Ltd.		77,091

				3,162,413

		Ireland - 1.1%
	570	DCC plc		50,071
	4,377	ICON plc*⁽¹⁾		348,935
	1,354	Kerry Group plc Class A		106,730
	1,506	Ryanair Holdings plc ADR*		124,968

				630,704

		Israel - 2.4%
	6,634	Bank Hapoalim BM		40,346
	27,285	Bank Leumi Le-Israel BM*		120,248
	137,904	Bezeq The Israeli Telecommunication Corp. Ltd.		247,281
	1,075	Elbit Systems Ltd.		122,764
	13,975	Israel Discount Bank Ltd. Class A*		32,758
	1,600,461	Isramco Negev 2 L.P.		279,491
	19,440	Mizrahi Tefahot Bank Ltd.		328,989
	1,782	Taro Pharmaceutical Industries Ltd.*⁽¹⁾		207,817
	1,281	Teva Pharmaceutical Industries Ltd.		42,024

				1,421,718

		Italy - 2.7%
	2,655	Assicurazioni Generali S.p.A.		42,311
	1,643	DiaSorin S.p.A.		111,235

The accompanying notes are an integral part of these financial statements.


		15

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Italy - 2.7% - (continued)
	7,762	Enel S.p.A.	$	36,644
	1,213	Eni S.p.A.		19,915
	2,845	Ferrari N.V.		212,240
	32,522	Hera S.p.A.		90,716
	5,183	Italgas S.p.A.*		22,795
	93,345	Parmalat S.p.A.		306,101
	18,484	Poste Italiane S.p.A.⁽²⁾		123,560
	69,414	PRADA S.p.A.		291,625
	5,533	Recordati S.p.A.		188,009
	20,782	Snam S.p.A.		90,110
	28,074	UnipolSai S.p.A.⁽¹⁾		62,095

				1,597,356

		Japan - 19.5%
	405	ABC-Mart, Inc.		23,661
	5	Advance Residence Investment Corp. REIT		13,663
	15,259	Aeon Co., Ltd.		222,524
	1,387	Aisin Seiki Co., Ltd.		68,087
	678	Ajinomoto Co., Inc.		13,365
	2,682	Alfresa Holdings Corp.		46,429
	9,417	ANA Holdings, Inc.		28,717
	1,358	Aoyama Trading Co., Ltd.		46,554
	47,887	Aozora Bank Ltd.⁽¹⁾		176,197
	200	Asahi Group Holdings Ltd.		7,553
	23,094	Asahi Kasei Corp.		223,831
	12,165	Astellas Pharma, Inc.		160,046
	1,800	Azbil Corp.⁽¹⁾		60,415
	3,959	Bandai Namco Holdings, Inc.		118,312
	2,087	Benesse Holdings, Inc.⁽¹⁾		65,178
	6,297	Bic Camera, Inc.⁽¹⁾		57,811
	4,093	Bridgestone Corp.		165,402
	3,785	Brother Industries Ltd.		78,974
	7,297	Canon Marketing Japan, Inc.		144,984
	8,503	Canon, Inc.		264,865
	1,367	Chubu Electric Power Co., Inc.		18,291
	10,064	Citizen Watch Co., Ltd.		64,486
	560	COMSYS Holdings Corp.		9,996
	3,137	Dai-ichi Life Holdings, Inc.		56,206
	5,236	Daiichi Sankyo Co., Ltd.		117,802
	586	Daito Trust Construction Co., Ltd.⁽¹⁾		80,435
	15,817	Daiwa Securities Group, Inc.⁽¹⁾		96,225
	581	Ebara Corp.		18,953
	1,800	FamilyMart Co., Ltd.⁽¹⁾		107,260
	3,193	Fuji Heavy Industries Ltd.⁽¹⁾		116,997
	6,900	Fuji Media Holdings, Inc.		95,113
	2,620	FUJIFILM Holdings Corp.		102,232
	26,489	Fujitsu Ltd.		161,863
	26,108	GungHo Online Entertainment, Inc.⁽¹⁾		58,106
	2,421	Heiwa Corp.		60,139
	793	Hikari Tsushin, Inc.		77,428
	750	Hisamitsu Pharmaceutical Co., Inc.⁽¹⁾		42,807
	537	Hitachi Chemical Co., Ltd.⁽¹⁾		14,843
	2,507	Hitachi High-Technologies Corp.		102,030
	21,368	Hitachi Ltd.		115,536
	1,534	Hitachi Transport System Ltd.		31,842
	444	Honda Motor Co., Ltd.⁽¹⁾		13,352
	3,099	House Foods Group, Inc.		67,526
	3,721	Hoya Corp.⁽¹⁾		178,854
	2,919	Idemitsu Kosan Co., Ltd.⁽¹⁾		101,378
	3,936	Ito En Ltd.⁽¹⁾		143,587
	5,371	ITOCHU Corp.⁽¹⁾		76,157


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 19.5% - (continued)
	8,751	Itochu Techno-Solutions Corp.	$	256,805
	8,793	Japan Airlines Co., Ltd.		278,239
	2,581	Japan Post Holdings Co., Ltd.		32,358
	4,119	Japan Post Insurance Co., Ltd.		94,298
	575	Japan Tobacco, Inc.⁽¹⁾		18,670
	4,747	JX Holdings, Inc.⁽¹⁾		23,290
	9,374	K’s Holdings Corp.⁽¹⁾		171,782
	400	Kagome Co., Ltd.		10,385
	349	Kaken Pharmaceutical Co., Ltd.		19,700
	3,882	Kaneka Corp.		28,846
	670	Kansai Electric Power Co., Inc.		8,219
	731	Kao Corp.		40,043
	5,951	KDDI Corp.		156,052
	457	Kirin Holdings Co., Ltd.		8,615
	9,488	Konica Minolta, Inc.⁽¹⁾		84,807
	2,793	Kuraray Co., Ltd.		42,310
	400	Kurita Water Industries Ltd.		9,667
	1,722	Lawson, Inc.		116,675
	3,631	Lion Corp.		65,236
	8,750	Medipal Holdings Corp.		137,104
	316	MEIJI Holdings Co., Ltd.		26,288
	6,112	Mitsubishi Electric Corp.		87,596
	1,492	Mitsubishi Gas Chemical Co., Inc.		30,957
	11,727	Mitsubishi Tanabe Pharma Corp.		243,949
	2,860	Mixi, Inc.⁽¹⁾		137,572
	745	MS&AD Insurance Group Holdings, Inc.		23,668
	8,174	NEC Corp.⁽¹⁾		19,659
	2,138	NH Foods Ltd.		57,350
	2,294	Nichirei Corp.		56,696
	1,975	Nihon Kohden Corp.		44,115
	4,740	Nikon Corp.⁽¹⁾		68,656
	5,581	Nippo Corp.		105,730
	4,768	Nippon Kayaku Co., Ltd.		64,612
	5,353	Nippon Telegraph & Telephone Corp.		228,282
	9,800	Nipro Corp.⁽¹⁾		138,078
	4,670	Nissan Motor Co., Ltd.⁽¹⁾		44,990
	392	NTT Data Corp.		18,575
	8,824	NTT DoCoMo, Inc.		205,297
	31,755	Osaka Gas Co., Ltd.⁽¹⁾		120,545
	1,669	Otsuka Corp.		90,467
	4,204	Otsuka Holdings Co., Ltd.		189,469
	9,869	Panasonic Corp.		111,417
	2,367	Park24 Co., Ltd.⁽¹⁾		61,899
	7,200	Recruit Holdings Co., Ltd.		367,011
	8,366	Resona Holdings, Inc.		44,889
	9,969	Ricoh Co., Ltd.⁽¹⁾		81,949
	4,528	Rohto Pharmaceutical Co. Ltd.		84,765
	300	Sankyo Co., Ltd.		10,015
	1,718	Sawai Pharmaceutical Co. Ltd.⁽¹⁾		92,815
	4,008	Sega Sammy Holdings, Inc.		53,665
	6,474	Seiko Epson Corp.⁽¹⁾		136,185
	4,065	Sekisui Chemical Co., Ltd.		68,255
	3,848	Sekisui House Ltd.		63,230
	1,389	Seven & I Holdings Co., Ltd.		54,373
	1,640	Shimamura Co., Ltd.		216,498
	15,558	Skylark Co., Ltd.		227,722
	300	Square Enix Holdings Co., Ltd.		8,481
	1,917	Sugi Holdings Co., Ltd.		87,911
	1,901	Sumitomo Dainippon Pharma Co., Ltd.⁽¹⁾		31,356
	1,929	Sumitomo Forestry Co., Ltd.		29,256
	4,889	Sumitomo Rubber Industries Ltd.		83,231

The accompanying notes are an integral part of these financial statements.


		16

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Japan - 19.5% - (continued)
	2,657	Suntory Beverage & Food Ltd.	$	111,831
	2,182	Suzuken Co., Ltd.		71,474
	2,344	Takeda Pharmaceutical Co., Ltd.		109,995
	464	Terumo Corp.		16,094
	20,558	Toho Gas Co., Ltd.		145,196
	1,514	Tokyo Electron Ltd.		165,150
	44,483	Tokyo Gas Co., Ltd.		202,235
	6,036	TonenGeneral Sekiyu KK		70,419
	619	Toyo Suisan Kaisha Ltd.		23,026
	8,447	Tsumura & Co.		264,561
	279	Tsuruha Holdings, Inc.		25,789
	1,689	TV Asahi Holdings Corp.		31,891
	64,725	Ube Industries Ltd.		145,795
	591	Welcia Holdings Co., Ltd.		16,521
	1,499	West Japan Railway Co.		97,409
	8,757	Yamada Denki Co., Ltd.⁽¹⁾		43,616
	5,980	Yamazaki Baking Co. Ltd.		122,895
	535	Yokohama Rubber Co., Ltd.		10,462
	2,953	Zensho Holdings Co., Ltd.⁽¹⁾		49,424

				11,360,370

		Jersey - 0.1%
	574	Randgold Resources Ltd.		49,992

		Luxembourg - 0.6%
	4,192	Grand City Properties S.A.		77,274
	140,451	L’Occitane International S.A.		285,908

				363,182

		Malta - 0.1%
	7,841	Kindred Group plc SDR		81,586

		Netherlands - 3.6%
	7,977	Aegon N.V.		40,705
	1,256	Akzo Nobel N.V.		104,419
	15,845	ASR Nederland N.V.*		452,909
	2,642	GrandVision N.V.⁽²⁾		64,865
	399	Heineken Holding N.V.		31,823
	10,040	Koninklijke Ahold Delhaize N.V.		215,410
	964	Koninklijke DSM N.V.		65,378
	12,134	NN Group N.V.		395,632
	15,234	Philips Lighting N.V.*⁽²⁾		436,829
	7,471	Royal Dutch Shell plc Class A		195,811
	2,000	Wolters Kluwer N.V.		83,350

				2,087,131

		New Zealand - 2.1%
	186,749	Air New Zealand Ltd.		321,145
	20,773	Fisher & Paykel Healthcare Corp. Ltd.		140,857
	31,336	Fletcher Building Ltd.		182,253
	51,212	Fonterra Co-operative Group Ltd. UNIT		216,947
	31,367	Meridian Energy Ltd.		61,396
	84,402	Spark New Zealand Ltd.		204,748
	24,315	Z Energy Ltd.⁽¹⁾		118,302

				1,245,648

		Norway - 0.4%
	709	Leroy Seafood Group ASA		31,038
	3,440	Statoil ASA		58,756
	3,436	Yara International ASA		132,257

				222,051

		Portugal - 0.2%
	1,727	Galp Energia SGPS S.A.		26,275


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Portugal - 0.2% - (continued)
	3,319	Jeronimo Martins SGPS S.A.	$	59,531

				85,806

		Russia - 0.0%
	1,842	Polymetal International plc		22,837

		Singapore - 3.1%
	37,204	BOC Aviation Ltd.⁽²⁾		198,431
	41,398	ComfortDelGro Corp. Ltd.⁽¹⁾		75,846
	16,504	DBS Group Holdings Ltd.		229,140
	117,087	Keppel REIT⁽¹⁾		87,985
	162,034	Mapletree Greater China Commercial Trust REIT⁽¹⁾		118,281
	60,533	Mapletree Industrial Trust REIT⁽¹⁾		77,112
	32,882	Oversea-Chinese Banking Corp. Ltd.⁽¹⁾		228,736
	33,611	SATS Ltd.		117,385
	31,888	Singapore Airlines Ltd.⁽¹⁾		229,809
	46,647	Singapore Post Ltd.⁽¹⁾		45,402
	131,437	StarHub Ltd.⁽¹⁾		270,907
	4,353	United Overseas Bank Ltd.		68,879
	23,642	Wilmar International Ltd.		59,727

				1,807,640

		South Africa - 0.1%
	3,405	Mondi plc		82,047

		Spain - 2.2%
	2,619	ACS Actividades de Construccion y Servicios S.A.		89,343
	732	Aena S.A.⁽²⁾		116,106
	977	Amadeus IT Group S.A.		49,698
	497	Bolsas y Mercados Espanoles S.A.		16,532
	10,450	Cia de Distribucion Integral Logista Holdings S.A.		243,039
	3,077	Distribuidora Internacional de Alimentacion S.A.⁽¹⁾		17,840
	5,252	Ebro Foods S.A.		106,447
	11,050	Endesa S.A.		260,362
	5,439	Gas Natural SDG S.A.		119,487
	277	Grupo Catalana Occidente S.A.		9,860
	12,447	Iberdrola S.A.		89,262
	11,483	Prosegur Cia de Seguridad S.A.		69,268
	1,657	Red Electrica Corp. S.A.		31,900
	620	Viscofan S.A.⁽¹⁾		32,138

				1,251,282

		Sweden - 1.5%
	11,660	Axfood AB		175,782
	16,995	Dometic Group AB*⁽²⁾		126,868
	3,026	Hennes & Mauritz AB Class B⁽¹⁾		77,613
	2,278	ICA Gruppen AB⁽¹⁾		78,023
	597	L E Lundbergforetagen AB B Shares		40,621
	570	Loomis AB Class B		18,106
	570	Nordea Bank AB		6,531
	1,395	Skandinaviska Enskilda Banken AB Class A		15,578
	5,383	Swedbank AB Class A⁽¹⁾		125,165
	6,232	Tele2 AB Class B⁽¹⁾		59,714
	23,052	Telefonaktiebolaget LM Ericsson Class B⁽¹⁾		154,398

				878,399

		Switzerland - 7.4%
	3,924	ABB Ltd.		91,852
	531	Actelion Ltd.*		149,971
	440	Allreal Holding AG		71,916
	1,927	Baloise Holding AG		265,096
	269	Banque Cantonale Vaudoise		185,703
	318	Emmi AG		216,829

The accompanying notes are an integral part of these financial statements.


		17

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		Switzerland - 7.4% - (continued)
	88	EMS-Chemie Holding AG	$	51,299
	9	Galenica AG		9,495
	24	Georg Fischer AG		21,843
	40	Givaudan S.A.		72,091
	312	Helvetia Holding AG		172,996
	1,643	Kuehne + Nagel International AG		232,264
	197	Logitech International S.A.		6,268
	1,944	Nestle S.A.		149,255
	939	Novartis AG		69,748
	669	Panalpina Welttransport Holding AG		80,805
	1,374	Roche Holding AG		351,136
	1,880	SFS Group AG*		178,149
	42	SGS S.A.		89,669
	32	Sika AG		192,137
	131	Sonova Holding AG		18,179
	1,232	STMicroelectronics N.V.		18,869
	92	Straumann Holding AG		42,716
	2,942	Sunrise Communications Group AG⁽²⁾		221,910
	1,359	Swiss Life Holding AG		438,812
	2,011	Swiss Re AG		180,718
	389	Syngenta AG		171,814
	18,925	UBS Group AG		303,080
	177	Vontobel Holding AG		10,132
	1,299	Wolseley plc		81,542
	648	Zurich Insurance Group AG		173,111

				4,319,405

		United Kingdom - 9.5%
	4,138	Ashtead Group plc		85,532
	3,533	AstraZeneca plc		217,026
	7,837	BAE Systems plc		62,964
	33,779	Beazley plc		180,783
	35,297	BP plc		201,950
	274	British American Tobacco plc		18,159
	5,266	Britvic plc		42,637
	24,388	BT Group plc		97,038
	7,952	Coca-Cola European Partners plc		298,102
	11,497	Compass Group plc		216,509
	45,976	ConvaTec Group plc*⁽²⁾		160,399
	501	Croda International plc		22,328
	13,709	Daily Mail & General Trust plc		123,425
	552	Diageo plc		15,762
	33,831	Direct Line Insurance Group plc		146,964
	3,031	Fiat Chrysler Automobiles N.V.*		33,229
	11,109	GlaxoSmithKline plc		230,525
	25,291	HSBC Holdings plc		205,848
	289	Imperial Brands plc		13,975
	1,666	InterContinental Hotels Group plc		81,413
	36,883	J Sainsbury plc⁽¹⁾		121,896
	43,395	JD Sports Fashion plc		209,076
	6,422	John Wood Group plc		61,071
	41,882	Kingfisher plc		170,783
	35,048	Legal & General Group plc		108,381
	17,825	Marks & Spencer Group plc⁽¹⁾		75,115
	3,720	Metro Bank plc*		151,366
	12,883	National Grid plc		163,270
	1,361	Next plc⁽¹⁾		73,520
	1,912	Pennon Group plc⁽¹⁾		21,087
	139	Reckitt Benckiser Group plc		12,664
	11,001	RELX N.V.		204,260
	14,359	RELX plc		280,820


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.5% - (continued)
		United Kingdom - 9.5% - (continued)
	38,670	Rentokil Initial plc	$	119,292
	1,759	Rio Tinto Ltd.⁽¹⁾		81,128
	42,016	Royal Mail plc		223,290
	34,147	Saga plc		86,765
	13,235	Segro plc REIT		75,500
	244	Severn Trent plc		7,268
	4,304	Sky plc		52,528
	11,978	Smith & Nephew plc		182,131
	7,294	SSE plc		134,623
	4,378	Tate & Lyle plc		41,852
	4,316	Unilever plc		212,613
	15,089	Vodafone Group plc		39,264
	5,643	WH Smith plc		125,108
	11,119	William Hill plc		40,432

				5,529,671

		United States - 1.0%
	2,364	Carnival plc		135,329
	15,390	International Game Technology plc⁽¹⁾		364,743
	393	Shire plc		22,905
	1,103	Thomson Reuters Corp.		47,564

				570,541


		Total Common Stocks (cost $53,900,976)	$	58,068,775


		Total Long-Term Investments (cost $53,900,976)	$	58,068,775


SHORT-TERM INVESTMENTS - 1.2%
		Securities Lending Collateral - 1.2%
	709,076	State Street Navigator Securities Lending Government Money Market Portfolio 0.74%⁽³⁾	$	709,076


		Total Short-Term Investments (cost $709,076)	$	709,076



Total Investments (cost $54,610,052)^{^}	100.7	%	$	58,777,851
Other Assets and Liabilities	(0.7	)%		(418,444	)

Total Net Assets	100.0	%	$	58,359,407

The accompanying notes are an integral part of these financial statements.


		18

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

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 indices 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 shown in this report as these classifications are used for financial reporting purposes.

^{^}	Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:


Unrealized Appreciation	$	4,844,675
Unrealized Depreciation		(676,876	)

Net Unrealized Appreciation	$	4,167,799

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold only to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At March 31, 2017, the aggregate value of these securities was $3,527,661, which represents 6.0% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Other Abbreviations:
ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		19

Hartford Multifactor Developed Markets (ex-US) ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	3,931,141	$	3,931,141	$	—	$	—
Austria		429,652		429,652		—		—
Belgium		523,805		523,805		—		—
Bermuda		28,304		28,304		—		—
Canada		6,804,254		6,804,254		—		—
China		288,443		288,443		—		—
Denmark		1,013,610		1,013,610		—		—
Finland		280,199		280,199		—		—
France		3,728,248		3,728,248		—		—
Germany		4,271,340		4,271,340		—		—
Hong Kong		3,162,413		3,162,413		—		—
Ireland		630,704		630,704		—		—
Israel		1,421,718		1,421,718		—		—
Italy		1,597,356		1,597,356		—		—
Japan		11,360,370		11,360,370		—		—
Jersey		49,992		49,992		—		—
Luxembourg		363,182		363,182		—		—
Malta		81,586		81,586		—		—
Netherlands		2,087,131		2,087,131		—		—
New Zealand		1,245,648		1,245,648		—		—
Norway		222,051		222,051		—		—
Portugal		85,806		85,806		—		—
Russia		22,837		22,837		—		—
Singapore		1,807,640		1,807,640		—		—
South Africa		82,047		82,047		—		—
Spain		1,251,282		1,251,282		—		—
Sweden		878,399		878,399		—		—
Switzerland		4,319,405		4,319,405		—		—
United Kingdom		5,529,671		5,529,671		—		—
United States		570,541		570,541		—		—
Short-Term Investments		709,076		709,076		—		—

Total	$	58,777,851	$	58,777,851	$	—	$	—

⁽¹⁾	For the six-month period ended March 31, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		20

Hartford Multifactor Emerging Markets ETF

Schedule of Investments

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4%
		Brazil - 4.2%
	18,184	Ambev S.A.	$	104,467
	15,578	Banco Bradesco S.A. (Preference Shares)		158,873
	24,084	Banco do Brasil S.A.		256,167
	1,871	BB Seguridade Participacoes S.A.		17,208
	12,636	BM&FBovespa S.A. - Bolsa de Valores Mercadorias e Futuros		76,772
	5,276	BRF S.A.		64,160
	6,315	CCR S.A.		35,902
	10,660	Cielo S.A.		95,052
	19,929	Embraer S.A.		109,156
	22,950	Itau Unibanco Holding S.A. (Preference Shares)		273,959
	459	Itausa - Investimentos Itau S.A.*		1,373
	14,471	Kroton Educacional S.A.		60,528
	3,481	Lojas Renner S.A.		30,480
	30,836	Petroleo Brasileiro S.A. (Preference Shares)*		140,731
	1,200	Telefonica Brasil S.A. (Preference Shares)		17,670
	3,812	Ultrapar Participacoes S.A.		85,990

				1,528,488

		Chile - 5.0%
	369,415	Aguas Andinas S.A. Class A		214,645
	431,722	Banco de Chile		51,909
	4,376	Banco de Credito e Inversiones		239,955
	783,831	Banco Santander Chile		48,976
	67,694	Cencosud S.A.		207,323
	4,071	Cia Cervecerias Unidas S.A.		51,147
	51,074	Colbun S.A.		11,309
	2,494	Empresa Nacional de Telecomunicaciones S.A.*		30,045
	5,154	Empresas CMPC S.A.		12,534
	11,392	Empresas COPEC S.A.		123,403
	148,848	Enel Generacion Chile S.A.		111,623
	740,578	Enersis Americas S.A.		153,327
	536,647	Enersis Chile S.A.		59,200
	17,930,556	Itau CorpBanca		161,539
	4,911	Latam Airlines Group S.A.*		61,986
	28,122	SACI Falabella		235,724
	251	Sociedad Quimica y Minera de Chile S.A. Class B, (Preference Shares)		8,583

				1,783,228

		China - 7.0%
	5,500	Anhui Conch Cement Co., Ltd. Class H		18,684
	2,172	Autohome, Inc. ADR*		69,004
	718	Baidu, Inc. ADR*		123,869
	579,000	Bank of China Ltd. Class H		287,582
	52,000	Bank of Communications Co., Ltd. Class H		40,414
	234,000	China Construction Bank Corp. Class H		188,188
	316,000	China Everbright Bank Co., Ltd. Class H		154,513
	1,830	China Lodging Group Ltd. ADR*		113,552
	49,000	China Merchants Bank Co., Ltd. H Shares		129,570
	362,000	China Petroleum & Chemical Corp. Class H		293,457
	62,000	China Railway Construction Corp. Ltd. Class H		87,916
	20,000	China Railway Group Ltd. Class H		17,886
	506,000	China Telecom Corp. Ltd. Class H		246,766
	76,000	CNOOC Ltd.		90,752
	54,000	CSPC Pharmaceutical Group Ltd.		70,735
	54,000	Lenovo Group Ltd.		35,576
	322	NetEase, Inc. ADR		91,448
	82,000	PICC Property & Casualty Co., Ltd. Class H		126,405
	21,500	Ping An Insurance Group Co. of China Ltd. Class H		120,344
	259	SINA Corp.*		18,679


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		China - 7.0% - (continued)
	11,600	Sinopharm Group Co., Ltd. Class H	$	53,809
	1,000	Tencent Holdings Ltd.		28,669
	183,000	Zall Group Ltd.*		112,557

				2,520,375

		Colombia - 3.4%
	52,504	Almacenes Exito S.A.		277,953
	27,201	Banco Davivienda S.A. (Preference Shares)		281,234
	9,268	Bancolombia S.A. (Preference Shares)		91,915
	11,168	Corp. Financiera Colombiana S.A.		108,675
	8,979	Grupo Argos S.A.		62,800
	4,095	Grupo de Inversiones Suramericana S.A.		55,301
	27,426	Grupo Nutresa S.A.		231,056
	25,709	Interconexion Electrica S.A. ESP		103,054

				1,211,988

		Hong Kong - 0.1%
	49,000	Sino Biopharmaceutical Ltd.		40,353

		India - 6.0%
	6,174	Axis Bank Ltd. GDR		234,303
	5,946	Dr. Reddy’s Laboratories Ltd. ADR		238,732
	2,485	HDFC Bank Ltd. ADR		186,922
	32,377	ICICI Bank Ltd. ADR		278,442
	20,641	Infosys Ltd. ADR⁽¹⁾		326,128
	6,024	Reliance Industries Ltd. GDR⁽²⁾		242,768
	6,145	State Bank of India GDR		274,374
	10,516	Tata Motors Ltd. ADR		374,895

				2,156,564

		Indonesia - 7.1%
	660,200	Adaro Energy Tbk PT		86,702
	312,400	Astra International Tbk PT		202,203
	168,800	Bank Central Asia Tbk PT		209,646
	274,900	Bank Mandiri Persero Tbk PT		241,367
	468,700	Bank Negara Indonesia Persero Tbk PT		227,746
	221,600	Bank Rakyat Indonesia Persero Tbk PT		215,771
	310,000	Bumi Serpong Damai Tbk PT		43,852
	7,800	Gudang Garam Tbk PT		38,355
	110,100	Indocement Tunggal Prakarsa Tbk PT		137,155
	146,100	Indofood Sukses Makmur Tbk PT		87,711
	637,800	Kalbe Farma Tbk PT		73,709
	45,100	Matahari Department Store Tbk PT		44,591
	706,700	Perusahaan Gas Negara Persero Tbk		134,175
	207,100	Semen Indonesia Persero Tbk PT		139,875
	227,300	Surya Citra Media Tbk PT		46,055
	1,022,900	Telekomunikasi Indonesia Persero Tbk PT		317,029
	148,900	United Tractors Tbk PT		296,113

				2,542,055

		Malaysia - 7.6%
	127,000	AMMB Holdings Bhd		133,443
	105,800	Axiata Group Bhd		120,969
	12,500	British American Tobacco Malaysia Bhd		128,799
	159,400	CIMB Group Holdings Bhd		200,623
	104,100	DiGi.Com Bhd		120,672
	12,600	Fraser & Neave Holdings Bhd		70,267
	7,000	Genting Bhd		15,169
	94,000	Genting Malaysia Bhd		115,761
	18,888	Hong Leong Bank Bhd		58,728
	129,100	IJM Corp. Bhd		99,184
	62,900	IOI Corp. Bhd		66,091
	59,000	KLCCP Stapled Group		105,721

The accompanying notes are an integral part of these financial statements.


		21

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Malaysia - 7.6% - (continued)
	4,300	Kuala Lumpur Kepong Bhd	$	23,980
	151,400	Malayan Banking Bhd		305,160
	70,100	Maxis Bhd		102,010
	43,100	MISC Bhd		71,290
	106,700	Petronas Chemicals Group Bhd		185,649
	46,800	Public Bank Bhd		210,444
	64,100	Sime Darby Bhd		134,414
	82,000	SP Setia Bhd Group		65,778
	50,400	Telekom Malaysia Bhd		73,114
	71,100	Tenaga Nasional Bhd		220,425
	47,700	UMW Holdings Bhd*		64,671
	139,100	YTL Corp. Bhd		46,833

				2,739,195

		Mexico - 4.9%
	49,379	Alfa S.A.B. de C.V. Class A		71,837
	300,644	America Movil S.A.B. de C.V. Series L		211,985
	42,050	Coca-Cola Femsa S.A.B. de C.V. Series L		300,246
	48,863	Fibra Uno Administracion S.A. de C.V. REIT		83,228
	12,506	Gruma S.A.B. de C.V. Class B		174,972
	31,507	Grupo Bimbo S.A.B. de C.V. Series A		77,939
	23,841	Grupo Financiero Banorte S.A.B. de C.V. Series O		136,280
	64,299	Grupo Mexico S.A.B. de C.V. Series B		192,137
	53,119	Kimberly-Clark de Mexico S.A.B. de C.V. Class A		114,591
	12,355	Mexichem S.A.B. de C.V.		33,475
	48,451	Nemak S.A.B. de C.V.⁽¹⁾⁽²⁾		53,714
	1,961	Promotora y Operadora de Infraestructura S.A.B. de C.V.*		21,070
	121,406	Wal-Mart de Mexico S.A.B. de C.V.		278,212

				1,749,686

		Philippines - 6.6%
	144,260	Aboitiz Equity Ventures, Inc.		214,054
	7,990	Ayala Corp.		134,560
	97,800	Ayala Land, Inc.		64,420
	126,370	BDO Unibank, Inc.		296,186
	1,244,200	Energy Development Corp.		149,279
	4,740	GT Capital Holdings, Inc.		108,167
	135,110	JG Summit Holdings, Inc.		219,057
	22,730	Jollibee Foods Corp.		89,470
	1,282,400	Metro Pacific Investments Corp.		153,862
	4,230	PLDT, Inc.		138,766
	190,900	Puregold Price Club, Inc.		166,265
	135,690	Robinsons Retail Holdings, Inc.		208,234
	82,170	Semirara Mining & Power Corp.		241,720
	98,000	SM Prime Holdings, Inc.		55,275
	37,070	Universal Robina Corp.		120,796

				2,360,111

		Poland - 5.5%
	6,779	Alior Bank S.A.*		122,304
	12,490	Asseco Poland S.A.		171,180
	70,874	Bank Millennium S.A.*		115,382
	4,960	Bank Pekao S.A.		165,377
	1,169	Bank Zachodni WBK S.A.		101,057
	3,668	CD Projekt S.A.*		68,695
	1,011	Cyfrowy Polsat S.A.*		6,175
	6,841	Eurocash S.A.		55,098
	1,166	ING Bank Slaski S.A.		50,634
	1,495	KGHM Polska Miedz S.A.		43,696
	11	LPP S.A.		18,865
	109	mBank S.A.*		10,276


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Poland - 5.5% - (continued)
	86,860	Orange Polska S.A.	$	101,506
	21,280	PGE Polska Grupa Energetyczna S.A.		61,230
	12,626	Polski Koncern Naftowy Orlen S.A.		318,682
	97,728	Polskie Gornictwo Naftowe i Gazownictwo S.A.		146,027
	17,809	Powszechna Kasa Oszczednosci Bank Polski S.A.*		144,110
	22,035	Powszechny Zaklad Ubezpieczen S.A.		193,546
	93,209	Tauron Polska Energia S.A.*		79,753

				1,973,593

		Russia - 3.0%
	35,445	Gazprom PJSC ADR		158,439
	3,494	Lukoil PJSC ADR		185,042
	5,650	Magnit PJSC GDR		215,830
	8,265	MMC Norilsk Nickel PJSC ADR		129,926
	389	Novatek PJSC GDR		48,430
	28,839	Surgutneftegas OJSC ADR		147,656
	5,586	Tatneft PJSC ADR		205,844

				1,091,167

		South Africa - 6.0%
	1,744	AngloGold Ashanti Ltd.⁽¹⁾		18,632
	1,273	Aspen Pharmacare Holdings Ltd.		26,081
	14,116	Barclays Africa Group Ltd.⁽¹⁾		146,869
	26,781	Bidvest Group Ltd.⁽¹⁾		307,321
	31,523	FirstRand Ltd.⁽¹⁾		108,989
	49,638	Growthpoint Properties Ltd. REIT		95,879
	1,514	Kumba Iron Ore Ltd.*		22,911
	4,724	Mr. Price Group Ltd.		56,334
	13,667	MTN Group Ltd.⁽¹⁾		124,350
	8,899	Nedbank Group Ltd.⁽¹⁾		160,277
	58,130	Netcare Ltd.		110,982
	128,454	Redefine Properties Ltd. REIT		105,474
	10,828	RMB Holdings Ltd.⁽¹⁾		47,297
	20,981	Sanlam Ltd.⁽¹⁾		105,415
	22,231	Sappi Ltd.		151,089
	4,741	Sasol Ltd.		138,103
	5,667	Shoprite Holdings Ltd.⁽¹⁾		81,822
	14,030	Standard Bank Group Ltd.⁽¹⁾		150,410
	2,866	Tiger Brands Ltd.		85,593
	5,979	Vodacom Group Ltd.		67,777
	12,179	Woolworths Holdings Ltd.		63,498

				2,175,103

		South Korea - 9.0%
	51	Amorepacific Corp.		12,792
	153	AmorePacific Group		16,349
	1,161	BNK Financial Group, Inc.		9,531
	112	CJ Corp.		17,426
	1,005	Coway Co., Ltd.		86,454
	1,493	Dongbu Insurance Co., Ltd.		85,444
	60	E-Mart, Inc.		11,026
	1,834	Hana Financial Group, Inc.		60,598
	1,401	Hankook Tire Co., Ltd.		68,277
	1,912	Hyundai Engineering & Construction Co., Ltd.		84,632
	382	Hyundai Glovis Co., Ltd.		50,214
	398	Hyundai Mobis Co., Ltd.		85,593
	579	Hyundai Motor Co.		81,546
	5,106	Industrial Bank of Korea		55,704
	702	Kangwon Land, Inc.		23,980
	947	KB Financial Group, Inc.		41,494
	4,153	Kia Motors Corp.		137,592

The accompanying notes are an integral part of these financial statements.


		22

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		South Korea - 9.0% - (continued)
	2,211	Korea Electric Power Corp.	$	91,837
	192	Korea Zinc Co., Ltd.		74,170
	1,043	KT&G Corp.		90,935
	560	LG Chem Ltd.		147,223
	3,987	LG Display Co., Ltd.		107,848
	1,436	LG Electronics, Inc.		87,190
	67	LG Household & Health Care Ltd.		48,589
	14,820	LG Uplus Corp.		189,507
	197	Lotte Chemical Corp.		65,267
	53	NAVER Corp.		40,521
	112	NCSoft Corp.		30,546
	349	POSCO		90,816
	92	S-Oil Corp.		8,268
	207	Samsung Electronics Co., Ltd.		381,311
	270	Samsung Fire & Marine Insurance Co., Ltd.		64,705
	873	Samsung Life Insurance Co., Ltd.		84,700
	1,821	Shinhan Financial Group Co., Ltd.		75,882
	1,119	SK Holdings Co., Ltd.		243,652
	3,338	SK Hynix, Inc.		150,737
	306	SK Innovation Co., Ltd.		45,559
	516	SK Telecom Co., Ltd.		116,277
	7,422	Woori Bank		86,279

				3,250,471

		Taiwan - 10.3%
	46,000	Acer, Inc.		21,831
	437	Advanced Semiconductor Engineering, Inc.		558
	9,000	Asustek Computer, Inc.		88,984
	124,000	AU Optronics Corp.		48,427
	4,000	Catcher Technology Co., Ltd.		39,549
	65,000	Cathay Financial Holding Co., Ltd.		104,326
	5,080	Chailease Holding Co., Ltd.		11,870
	31,242	Chang Hwa Commercial Bank Ltd.		19,048
	26,000	Cheng Shin Rubber Industry Co., Ltd.		53,727
	21,115	Chicony Electronics Co., Ltd.		53,862
	157,000	China Development Financial Holding Corp.		43,102
	134,208	China Life Insurance Co., Ltd.		132,693
	34,000	China Steel Corp.		28,350
	20,000	Chunghwa Telecom Co., Ltd.		67,892
	101,000	Compal Electronics, Inc.		65,908
	130,628	CTBC Financial Holding Co., Ltd.		80,721
	6,105	Delta Electronics, Inc.		32,695
	43,898	E.Sun Financial Holding Co., Ltd.		26,693
	97,650	Eva Airways Corp.		51,814
	38,540	Far Eastern New Century Corp.		33,405
	38,000	Far EasTone Telecommunications Co., Ltd.		93,301
	118,443	First Financial Holding Co., Ltd.		72,215
	26,301	Foxconn Technology Co., Ltd.		80,179
	46,000	Fubon Financial Holding Co., Ltd.		75,043
	4,000	Giant Manufacturing Co., Ltd.		23,663
	79,030	Hon Hai Precision Industry Co., Ltd.		237,018
	2,000	Hotai Motor Co., Ltd.		23,432
	140,526	Hua Nan Financial Holdings Co., Ltd.		78,501
	466,000	Innolux Corp.		192,743
	133,000	Inventec Corp.		99,720
	84,245	Lite-On Technology Corp.		145,209
	6,000	MediaTek, Inc.		42,515
	76,273	Mega Financial Holding Co., Ltd.		61,587
	10,000	Nan Ya Plastics Corp.		23,696
	17,000	Novatek Microelectronics Corp.		65,832
	46,000	Pegatron Corp.		136,139


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Taiwan - 10.3% - (continued)
	34,000	Pou Chen Corp.	$	47,063
	10,000	President Chain Store Corp.		82,393
	17,000	Quanta Computer, Inc.		34,569
	58,000	Radiant Opto-Electronics Corp.		121,954
	20,000	Ruentex Development Co., Ltd.*		23,960
	221,489	Shin Kong Financial Holding Co., Ltd.*		64,602
	27,000	Simplo Technology Co., Ltd.		91,654
	101,895	SinoPac Financial Holdings Co., Ltd.		31,802
	28,600	Synnex Technology International Corp.		30,775
	42,000	Taiwan Cement Corp.		50,246
	60,108	Taiwan Cooperative Financial Holding Co., Ltd.		29,913
	21,000	Taiwan Mobile Co., Ltd.		77,169
	32,000	Taiwan Semiconductor Manufacturing Co., Ltd.		199,324
	50,000	Teco Electric and Machinery Co., Ltd.		50,836
	32,800	Uni-President Enterprises Corp.		61,508
	96,000	United Microelectronics Corp.		38,599
	31,000	Vanguard International Semiconductor Corp.		59,052
	53,121	Wistron Corp.		48,670
	32,000	WPG Holdings Ltd.		40,181
	117,757	Yuanta Financial Holding Co., Ltd.		49,676

				3,690,194

		Thailand - 8.7%
	36,200	Advanced Info Service PCL NVDR		187,519
	121,000	Bangkok Dusit Medical Services PCL NVDR		74,651
	91,467	Banpu PCL NVDR		52,704
	18,600	Bumrungrad Hospital PCL NVDR		99,056
	11,400	Central Pattana PCL NVDR		18,827
	133,400	Charoen Pokphand Foods PCL NVDR		107,730
	25,000	CP ALL PCL NVDR		42,925
	40,100	Delta Electronics Thailand PCL NVDR		102,110
	5,800	Glow Energy PCL NVDR		13,925
	13,900	Indorama Ventures PCL NVDR		14,259
	445,000	IRPC PCL NVDR		66,693
	43,600	Kasikornbank PCL NVDR		239,808
	459,700	Krung Thai Bank PCL NVDR		272,910
	347,300	Land & Houses PCL NVDR		98,543
	25,860	Minor International PCL NVDR		27,657
	183,600	Pruksa Holding PCL NVDR		121,287
	39,500	PTT Exploration & Production PCL NVDR		106,904
	95,700	PTT Global Chemical PCL NVDR		204,002
	20,200	PTT PCL NVDR		227,498
	61,800	Ratchaburi Electricity Generating Holding PCL NVDR		90,373
	55,400	Siam Commercial Bank PCL NVDR		262,792
	246,600	Thai Beverage PCL		165,894
	37,000	Thai Oil PCL NVDR		81,295
	236,000	Thai Union Group PCL NVDR		146,974
	2,147,200	TMB Bank PCL NVDR		152,468
	111,900	Total Access Communication PCL NVDR		143,284

				3,122,088

		Turkey - 5.0%
	35,179	Akbank TAS		82,401
	2,372	Anadolu Efes Biracilik Ve Malt Sanayii AS		12,903
	18,755	Arcelik AS		116,702
	5,758	BIM Birlesik Magazalar AS		88,386
	182,762	Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT		145,541
	60,166	Enka Insaat ve Sanayi AS		100,782
	112,788	Eregli Demir ve Celik Fabrikalari T.A.S.		182,733

The accompanying notes are an integral part of these financial statements.


		23

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Turkey - 5.0% - (continued)
	23,483	Haci Omer Sabanci Holding AS	$	64,485
	18,685	KOC Holding AS		78,760
	4,894	Tupras Turkiye Petrol Rafinerileri AS		121,220
	69,575	Turk Hava Yollari AO*		104,506
	5,666	Turk Traktor ve Ziraat Makineleri AS		127,194
	32,947	Turkcell Iletisim Hizmetleri AS*		108,296
	39,549	Turkiye Garanti Bankasi AS		96,221
	38,257	Turkiye Halk Bankasi AS		108,941
	54,161	Turkiye Is Bankasi		98,606
	109,565	Turkiye Vakiflar Bankasi TAO		161,264

				1,798,941


		Total Common Stocks (cost $33,653,732)	$	35,733,600


PREFERRED STOCKS - 0.3%
		Brazil - 0.3%
	34,996	Itausa - Investimentos Itau S.A.*	$	104,714


		Total Preferred Stocks (cost $86,484)	$	104,714


		Total Long-Term Investments (cost $33,740,216)	$	35,838,314


SHORT-TERM INVESTMENTS - 2.2%
		Securities Lending Collateral - 2.2%
	780,775	State Street Navigator Securities Lending Government Money Market Portfolio 0.74%⁽³⁾	$	780,775


		Total Short-Term Investments (cost $780,775)	$	780,775



Total Investments (cost $34,520,991)^{^}	101.9	%	$	36,619,089
Other Assets and Liabilities	(1.9	)%		(685,078	)

Total Net Assets	100.0	%	$	35,934,011

The accompanying notes are an integral part of these financial statements.


		24

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

^{^}	Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:


Unrealized Appreciation	$	3,000,850
Unrealized Depreciation		(902,752	)

Net Unrealized Appreciation	$	2,098,098

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold only to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At March 31, 2017, the aggregate value of these securities was $296,482, which represents 0.8% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Other Abbreviations:
ADR		American Depositary Receipt
GDR		Global Depositary Receipt
NVDR		Non-Voting Depositary Receipt
OJSC		Open Joint Stock Company
PJSC		Private Joint Stock Company
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		25

Hartford Multifactor Emerging Markets ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Brazil	$	1,528,488	$	1,528,488	$	—	$	—
Chile		1,783,228		1,783,228		—		—
China		2,520,375		2,520,375		—		—
Colombia		1,211,988		1,211,988		—		—
Hong Kong		40,353		40,353		—		—
India		2,156,564		2,156,564		—		—
Indonesia		2,542,055		2,542,055		—		—
Malaysia		2,739,195		2,739,195		—		—
Mexico		1,749,686		1,749,686		—		—
Philippines		2,360,111		2,360,111		—		—
Poland		1,973,593		1,973,593		—		—
Russia		1,091,167		1,091,167		—		—
South Africa		2,175,103		2,175,103		—		—
South Korea		3,250,471		3,250,471		—		—
Taiwan		3,690,194		3,690,194		—		—
Thailand		3,122,088		3,122,088		—		—
Turkey		1,798,941		1,798,941		—		—
Preferred Stocks		104,714		104,714		—		—
Short-Term Investments		780,775		780,775		—		—

Total	$	36,619,089	$	36,619,089	$	—	$	—

⁽¹⁾	For the six-month period ended March 31, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		26

Hartford Multifactor Global Small Cap ETF

Schedule of Investments

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6%
		Australia - 4.7%
	2,320	Abacus Property Group⁽¹⁾	$	5,734
	5,960	Automotive Holdings Group Ltd.⁽¹⁾		18,732
	2,928	BWP Trust REIT		6,366
	6,070	Charter Hall Retail REIT⁽¹⁾		20,096
	33,245	Cromwell Property Group REIT		24,220
	18,267	CSR Ltd.		62,847
	13,888	Downer EDI Ltd.⁽¹⁾		61,342
	13,677	Genworth Mortgage Insurance Australia Ltd.⁽¹⁾		32,761
	8,805	Investa Office Fund⁽¹⁾		31,905
	2,590	JB Hi-Fi Ltd.⁽¹⁾		48,802
	9,565	Metcash Ltd.*⁽¹⁾		18,023
	4,651	Mineral Resources Ltd.		38,141
	5,900	Monadelphous Group Ltd.⁽¹⁾		55,495
	2,042	Northern Star Resources Ltd.		6,324
	2,044	OZ Minerals Ltd.		12,209
	11,016	Regis Resources Ltd.⁽¹⁾		27,732
	853	Sandfire Resources NL		4,151
	26,203	St. Barbara Ltd.*		47,574

				522,454

		Belgium - 0.5%
	9,931	AGFA-Gevaert N.V.*		48,722
	163	Tessenderlo Chemie N.V.*		6,503

				55,225

		Bermuda - 0.9%
	426	Argo Group International Holdings Ltd.		28,883
	6,482	DHT Holdings, Inc.⁽¹⁾		28,974
	193	Enstar Group Ltd.*		36,921

				94,778

		Brazil - 1.8%
	4,900	Banco do Estado do Rio Grande do Sul S.A. Class B, (Preference Shares)		23,335
	326	Cia de Saneamento do Parana (Preference Shares)		1,129
	2,825	Cia Energetica de Minas Gerais (Preference Shares)		9,183
	534	Cia Hering		3,022
	5,161	EDP - Energias do Brasil S.A.		22,676
	744	Equatorial Energia S.A.		13,777
	9,266	Ez Tec Empreendimentos e Participacoes S.A.		56,181
	12,524	MRV Engenharia e Participacoes S.A.		56,645
	4,318	Odontoprev S.A.		15,368

				201,316

		Canada - 6.2%
	734	Aecon Group, Inc.		9,450
	4,427	Air Canada*		45,809
	2,828	BRP, Inc.*		66,371
	598	Celestica, Inc.*		8,672
	831	Domtar Corp.		30,348
	5,925	Dream Global Real Estate Investment Trust		42,739
	1,602	Ensign Energy Services, Inc.⁽¹⁾		9,574
	3,646	Extendicare, Inc.⁽¹⁾		27,585
	3,127	Intertape Polymer Group, Inc.		54,819
	4,388	Just Energy Group, Inc.		27,473
	1,693	Killam Apartment Real Estate Investment Trust REIT		16,097
	2,017	Lucara Diamond Corp.		4,673
	3,599	Mercer International, Inc.		42,108
	1,259	New Flyer Industries, Inc.⁽¹⁾		46,333


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		Canada - 6.2% - (continued)
	1,569	North West Co., Inc.⁽¹⁾	$	37,306
	2,452	Parkland Fuel Corp.		54,421
	8,064	Pure Industrial Real Estate Trust		36,824
	4,821	Superior Plus Corp.⁽¹⁾		46,632
	3,298	Transcontinental, Inc. Class A		60,784
	664	Uni-Select, Inc.⁽¹⁾		17,610

				685,628

		China - 9.2%
	14,522	BAIC Motor Corp. Ltd. Class H⁽²⁾		16,500
	63,435	Chaowei Power Holdings Ltd.		42,445
	22,753	China BlueChemical Ltd. Class H		7,319
	83,445	China Communications Services Corp. Ltd. Class H		54,653
	27,716	China Galaxy Securities Co., Ltd. Class H		25,571
	9,531	China Lesso Group Holdings Ltd.		8,058
	160,232	CIFI Holdings Group Co., Ltd.		62,266
	18,356	Dongfeng Motor Group Co., Ltd. Class H		20,620
	35,742	Great Wall Motor Co., Ltd. Class H		40,702
	44,459	Guangshen Railway Co., Ltd. H Shares		26,888
	26,366	Guangzhou R&F Properties Co., Ltd. Class H		41,187
	52,226	Jiangnan Group Ltd.		7,191
	1,000	KWG Property Holding Ltd.		724
	83,646	Metallurgical Corp. of China Ltd. Class H		31,859
	52,014	Red Star Macalline Group Corp. Ltd. Class H⁽²⁾		57,693
	25,777	Shanghai Electric Group Co., Ltd. Class H*		12,770
	51,082	Shenzhen Expressway Co., Ltd. Class H		46,274
	62,000	Sinopec Engineering Group Co., Ltd. Class H		63,663
	41,215	Sinotrans Ltd. Class H		19,251
	64,219	Tianneng Power International Ltd.		58,340
	93,303	Times Property Holdings Ltd.		66,032
	21,402	TravelSky Technology Ltd. Class H		50,562
	869	Weibo Corp. ADR*		45,344
	33,353	Weichai Power Co., Ltd. Class H		58,882
	8,885	Xingda International Holdings Ltd.		3,887
	83,814	Xtep International Holdings Ltd.		33,001
	25,137	Yangtze Optical Fibre and Cable Joint Stock Ltd. Co. Class H⁽²⁾		48,906
	139,705	Yuzhou Properties Co., Ltd.		58,244

				1,008,832

		Denmark - 0.7%
	786	Bakkafrost P/F		24,306
	53	Dfds A/S		2,923
	4,517	Spar Nord Bank A/S		50,187

				77,416

		France - 1.0%
	409	Alten S.A.		31,444
	1,286	Gaztransport Et Technigaz S.A.		48,477
	104	Groupe Fnac S.A.*		7,522
	735	Neopost S.A.		28,292

				115,735

		Georgia - 0.5%
	1,409	BGEO Group plc		56,768

		Germany - 0.7%
	115	Cewe Stiftung & Co. KGAA		10,104
	4,597	Heidelberger Druckmaschinen AG*⁽¹⁾		11,500
	1,671	Jungheinrich AG (Preference Shares)		55,654

				77,258

The accompanying notes are an integral part of these financial statements.


		27

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		Hong Kong - 1.7%
	76,075	Emperor Capital Group Ltd.	$	6,657
	2,844	Kingboard Chemical Holdings Ltd.		10,503
	35,120	Shenzhen Investment Ltd.		15,726
	10,790	Shimao Property Holdings Ltd.		17,133
	38,940	Skyworth Digital Holdings Ltd.		25,654
	13,426	Texhong Textile Group Ltd.		17,933
	74,736	Texwinca Holdings Ltd.		50,295
	57,246	Tongda Group Holdings Ltd.		20,183
	38,515	Yuexiu Real Estate Investment Trust		22,698

				186,782

		Israel - 0.7%
	303	Paz Oil Co., Ltd.		50,076
	715	Plus500 Ltd.		3,755
	1,084	Tower Semiconductor Ltd.*		25,024

				78,855

		Italy - 0.6%
	98	Banca IFIS SpA		3,766
	30,559	Saras SpA		58,538

				62,304

		Japan - 11.1%
	215	Adastria Co., Ltd.		5,350
	367	Alpine Electronics, Inc.		5,273
	1,481	Amano Corp.		29,546
	932	AOKI Holdings, Inc.		10,781
	1,305	Arcs Co., Ltd.		31,187
	494	Asahi Holdings, Inc.		8,929
	1,357	Avex Group Holdings, Inc.		19,594
	1,676	CKD Corp.		21,178
	300	Coca-Cola West Co., Ltd.⁽¹⁾		9,665
	137	cocokara fine, Inc.		5,932
	2,567	Daishi Bank Ltd.⁽¹⁾		10,159
	1,849	Doutor Nichires Holdings Co., Ltd.		36,157
	958	Dydo Drinco, Inc.		44,792
	48	Enplas Corp.		1,329
	557	Foster Electric Co., Ltd.		9,537
	2,067	Fuji Machine Manufacturing Co., Ltd.⁽¹⁾		27,046
	400	Fujitsu General Ltd.		7,897
	3,221	Geo Holdings Corp.⁽¹⁾		35,323
	967	Heiwado Co., Ltd.		23,448
	1,649	Hitachi Kokusai Electric, Inc.		37,751
	2,068	Hitachi Maxell Ltd.⁽¹⁾		37,693
	1,147	Inaba Denki Sangyo Co., Ltd.		40,968
	7,062	Juroku Bank Ltd.		22,752
	1,109	Kanematsu Corp.		1,991
	968	Kokuyo Co., Ltd.		12,466
	1,202	Kuroda Electric Co., Ltd.		26,148
	1,581	KYORIN Holdings, Inc.		33,357
	1,069	Kyowa Exeo Corp.		15,455
	837	Kyudenko Corp.		22,797
	1,478	Maeda Road Construction Co., Ltd.		26,090
	158	Matsumotokiyoshi Holdings Co., Ltd.		7,487
	1,991	MCJ Co., Ltd.		23,335
	399	Megmilk Snow Brand Co., Ltd.		10,975
	2,360	Ministop Co., Ltd.		44,328
	1,723	Mirait Holdings Corp.⁽¹⁾		16,901
	241	Mochida Pharmaceutical Co., Ltd.		17,865
	329	Morinaga & Co., Ltd.		14,585
	1,369	NEC Networks & System Integration Corp.		26,451
	7,329	NET One Systems Co., Ltd.		59,392


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		Japan - 11.1% - (continued)
	875	Nichiha Corp.	$	25,678
	473	Nihon Unisys Ltd.		6,452
	261	Nojima Corp.		3,321
	1,360	Noritz Corp.		25,777
	449	PAL GROUP Holdings Co., Ltd.		10,879
	701	Paramount Bed Holdings Co., Ltd.		28,058
	15,331	Pioneer Corp.*		30,406
	2,578	Plenus Co., Ltd.⁽¹⁾		57,052
	3,875	Senshu Ikeda Holdings, Inc.		15,997
	439	St Marc Holdings Co., Ltd.		12,883
	1,169	Sumitomo Bakelite Co., Ltd.		7,029
	2,919	T-Gaia Corp.		50,165
	174	Taikisha Ltd.		4,254
	1,808	Takuma Co., Ltd.		17,670
	313	Toho Holdings Co., Ltd.⁽¹⁾		6,545
	468	Token Corp.		36,750
	100	Tokyo Seimitsu Co., Ltd.		3,145
	1,280	Toppan Forms Co., Ltd.		12,521
	296	Unipres Corp.		6,160
	828	Valor Holdings Co., Ltd.		19,520

				1,222,172

		Luxembourg - 0.3%
	759	Altisource Portfolio Solutions S.A.*⁽¹⁾		27,931

		Netherlands - 0.6%
	335	BE Semiconductor Industries N.V.		13,699
	77	Cimpress N.V.*⁽¹⁾		6,637
	3,051	PostNL N.V.*		14,449
	787	TKH Group N.V.		33,859

				68,644

		New Zealand - 0.5%
	14,227	Chorus Ltd.⁽¹⁾		42,964
	11,104	Kiwi Property Group Ltd.		11,061

				54,025

		Norway - 0.2%
	3,996	Storebrand ASA*		26,566

		Portugal - 0.0%
	384	REN - Redes Energeticas Nacionais SGPS S.A.⁽¹⁾		1,159

		Puerto Rico - 0.4%
	2,243	Triple-S Management Corp. Class B*		39,410

		Singapore - 0.9%
	3,117	Frasers Centrepoint Trust⁽¹⁾		4,707
	933	Kulicke & Soffa Industries, Inc.*		18,959
	5,975	Venture Corp. Ltd.		49,047
	16,500	Yanlord Land Group Ltd.		21,432

				94,145

		South Africa - 1.9%
	4,536	Barloworld Ltd.		40,357
	9,842	DataTec Ltd.		37,882
	13,731	MMI Holdings Ltd.⁽¹⁾		23,440
	1,317	Mondi Ltd.		31,481
	7,082	Reunert Ltd.		38,028
	5,158	Telkom S.A. SOC Ltd.		28,862
	920	Wilson Bayly Holmes-Ovcon Ltd.		11,057

				211,107

		South Korea - 4.6%
	271	Bukwang Pharmaceutical Co., Ltd.		5,174

The accompanying notes are an integral part of these financial statements.


		28

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		South Korea - 4.6% - (continued)
	2,145	Cheil Worldwide, Inc.	$	36,444
	66	CJ O Shopping Co., Ltd.		12,358
	286	Daesang Corp.		6,163
	1,853	DGB Financial Group, Inc.		17,978
	646	Dongbu HiTek Co., Ltd.*		11,033
	305	GS Home Shopping, Inc.		62,729
	373	GS Retail Co., Ltd.		17,578
	1,532	Hyundai Marine & Fire Insurance Co., Ltd.		47,948
	3,114	JB Financial Group Co., Ltd.		16,596
	1,555	KB Insurance Co., Ltd.		37,544
	95	Korea Petrochemical Ind Co., Ltd.		20,813
	3,804	Korean Reinsurance Co.		39,459
	2,185	LF Corp.		43,766
	94	LG Hausys Ltd.		8,532
	650	LS Industrial Systems Co., Ltd.		27,464
	3,614	Meritz Fire & Marine Insurance Co., Ltd.		51,707
	49	NongShim Co., Ltd.		13,101
	137	S&T Motiv Co., Ltd.		6,070
	48	S-1 Corp.		3,850
	162	Samsung Card Co., Ltd.		5,679
	369	Soulbrain Co., Ltd.		17,158
	1,080	Tongyang, Inc.		2,313

				511,457

		Spain - 0.5%
	1,412	Tecnicas Reunidas S.A.		55,802

		Sweden - 0.4%
	1,596	Bilia AB A Shares		33,070
	1,028	Mycronic AB		10,564

				43,634

		Switzerland - 0.9%
	95	Autoneum Holding AG		27,927
	3	dormakaba Holding AG		2,389
	306	Implenia AG		21,491
	16	Schweiter Technologies AG		17,759
	52	Valiant Holding AG		5,538
	57	Valora Holding AG		19,718

				94,822

		Taiwan - 3.3%
	9,211	Accton Technology Corp.		20,309
	11,496	Elite Material Co., Ltd.		44,707
	5,199	Everlight Electronics Co., Ltd.		8,327
	199	FLEXium Interconnect, Inc.		692
	39,563	Gigabyte Technology Co., Ltd.		54,633
	21,000	Micro-Star International Co., Ltd.		48,862
	9,469	Powertech Technology, Inc.		27,556
	18,637	Primax Electronics Ltd.		30,558
	11,548	Realtek Semiconductor Corp.		41,294
	5,871	Tripod Technology Corp.		16,543
	29,400	Wan Hai Lines Ltd.		17,053
	4,966	Win Semiconductors Corp.		22,095
	3,278	Wistron NeWeb Corp.		9,215
	12,493	WT Microelectronics Co., Ltd.		18,260

				360,104

		Thailand - 0.5%
	1,314	Fabrinet*⁽¹⁾		55,227

		United Kingdom - 4.0%
	3,257	Aldermore Group plc*		9,078


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		United Kingdom - 4.0% - (continued)
	687	Big Yellow Group plc REIT	$	6,275
	5,433	Dart Group plc		35,056
	17,734	Debenhams plc		12,063
	877	Electrocomponents plc		5,192
	3,772	Firstgroup plc*		6,226
	455	Galliford Try plc		8,375
	1,267	Go-Ahead Group plc		27,361
	2,570	Greggs plc		33,518
	829	Halfords Group plc		3,677
	20,447	Hansteen Holdings plc REIT		30,554
	1,224	Interserve plc		3,406
	19,297	JRP Group plc		31,731
	6,726	Lookers plc		10,787
	4,228	Moneysupermarket.com Group plc		17,457
	9,023	OneSavings Bank plc		45,605
	6,919	Safestore Holdings plc REIT		32,791
	2,926	Sports Direct International plc*⁽¹⁾		11,276
	3,295	SVG Capital plc*		29,686
	6,173	UNITE Group plc		49,132
	1,448	WS Atkins plc		27,884

				437,130

		United States - 40.3%
	1,023	Aaron’s, Inc.		30,424
	1,072	Abercrombie & Fitch Co. Class A⁽¹⁾		12,789
	300	ACCO Brands Corp.*		3,945
	407	Aceto Corp.		6,435
	1,098	Air Methods Corp.*⁽¹⁾		47,214
	2,679	Alon USA Energy, Inc.⁽¹⁾		32,657
	582	Amedisys, Inc.*		29,734
	1,686	American Eagle Outfitters, Inc.⁽¹⁾		23,655
	460	American National Insurance Co.		54,294
	116	American Outdoor Brands Corp.*		2,298
	101	American Woodmark Corp.*		9,272
	946	Amkor Technology, Inc.*		10,964
	1,340	AMN Healthcare Services, Inc.*⁽¹⁾		54,404
	1,138	Anika Therapeutics, Inc.*		49,435
	852	Argan, Inc.⁽¹⁾		56,360
	36	Atrion Corp.		16,855
	3,694	Atwood Oceanics, Inc.*		35,204
	856	AVX Corp.		14,021
	1,181	Banc of California, Inc.⁽¹⁾		24,447
	1,223	Barnes & Noble, Inc.⁽¹⁾		11,313
	1,313	Benchmark Electronics, Inc.*		41,753
	623	Big Lots, Inc.⁽¹⁾		30,328
	2,231	BioTelemetry, Inc.*		64,587
	239	Blackstone Mortgage Trust, Inc. Class A REIT⁽¹⁾		7,399
	823	Boise Cascade Co.*		21,974
	58	Briggs & Stratton Corp.		1,302
	515	Buckle, Inc.⁽¹⁾		9,579
	169	CACI International, Inc. Class A*		19,824
	794	Cal-Maine Foods, Inc.⁽¹⁾		29,219
	353	Cambrex Corp.*		19,433
	43	Capella Education Co.		3,656
	6,697	Career Education Corp.*		58,264
	898	Cato Corp. Class A		19,720
	320	Chemed Corp.		58,461
	300	Chemtura Corp.*		10,020
	25	Chesapeake Utilities Corp.		1,730
	544	Chico’s FAS, Inc.		7,725
	559	Children’s Place, Inc.⁽¹⁾		67,108

The accompanying notes are an integral part of these financial statements.


		29

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		United States - 40.3% - (continued)
	237	Cincinnati Bell, Inc.*	$	4,195
	29	Cirrus Logic, Inc.*		1,760
	641	Clearwater Paper Corp.*		35,896
	93	Coca-Cola Bottling Co. Consolidated⁽¹⁾		19,160
	375	Commercial Metals Co.		7,174
	215	Compass Minerals International, Inc.⁽¹⁾		14,588
	250	CONMED Corp.		11,102
	1,012	Convergys Corp.		21,404
	651	Cooper Tire & Rubber Co.⁽¹⁾		28,872
	515	Cooper-Standard Holding, Inc.*		57,129
	1,033	Corvel Corp.*		44,935
	498	CSG Systems International, Inc.		18,829
	1,022	Dean Foods Co.		20,092
	379	Delek US Holdings, Inc.		9,198
	459	Dolby Laboratories, Inc. Class A		24,056
	587	Douglas Dynamics, Inc.		17,992
	596	Dril-Quip, Inc.*⁽¹⁾		32,512
	611	DSW, Inc. Class A		12,635
	383	EchoStar Corp. Class A*		21,812
	1,230	Emergent Biosolutions, Inc.*⁽¹⁾		35,719
	748	Employers Holdings, Inc.		28,387
	962	Ensign Group, Inc.		18,086
	401	ePlus, Inc.*		54,155
	848	Express, Inc.*		7,725
	72	Farmer Brothers Co.*		2,545
	489	FBL Financial Group Class A		32,005
	92	First Busey Corp.		2,705
	1,341	First Interstate BancSystem, Inc. Class A⁽¹⁾		53,171
	682	Five Prime Therapeutics, Inc.*⁽¹⁾		24,654
	232	Francescas Holding Corp.*⁽¹⁾		3,561
	390	Fresh Del Monte Produce, Inc.⁽¹⁾		23,100
	223	FutureFuel Corp.		3,162
	834	Genesco, Inc.*		46,245
	1,093	Geo Group, Inc. REIT		50,682
	338	Getty Realty Corp. REIT		8,541
	1,771	Globus Medical, Inc. Class A*		52,457
	170	Greenbrier Cos., Inc.⁽¹⁾		7,327
	295	Greif, Inc. Class A⁽¹⁾		16,252
	588	Guess?, Inc.⁽¹⁾		6,556
	2,196	H&E Equipment Services, Inc.		53,846
	1,041	Hawaiian Holdings, Inc.*⁽¹⁾		48,354
	1,243	Heritage Financial Corp.		30,764
	400	HFF, Inc. Class A REIT		11,068
	595	Horace Mann Educators Corp.		24,425
	87	Hub Group, Inc. Class A*		4,037
	43	ICF International, Inc.*		1,776
	133	ICU Medical, Inc.*		20,309
	475	II-VI, Inc.*		17,124
	103	Infinity Property & Casualty Corp.		9,836
	741	Ingles Markets, Inc. Class A		31,974
	804	Innospec, Inc.		52,059
	1,275	Insight Enterprises, Inc.*		52,390
	640	Insperity, Inc.		56,736
	758	Integra LifeSciences Holdings Corp.*		31,935
	508	Investment Technology Group, Inc.		10,287
	281	Kaman Corp.		13,525
	103	Kelly Services, Inc. Class A		2,252
	482	Kraton Corp.*		14,903
	111	Landstar System, Inc.		9,507
	1,513	Lexington Realty Trust REIT		15,100
	1,191	LHC Group, Inc.*		64,195


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		United States - 40.3% - (continued)
	489	LifePoint Health, Inc.*	$	32,029
	2,250	Luminex Corp.		41,332
	798	Magellan Health, Inc.*		55,102
	444	ManTech International Corp. Class A		15,376
	2,044	Marcus & Millichap, Inc. REIT*		50,241
	382	Masimo Corp.*		35,625
	1,038	Match Group, Inc.*⁽¹⁾		16,951
	3,411	Matrix Service Co.*		56,281
	6,260	McDermott International, Inc.*		42,255
	23	Meredith Corp.		1,486
	1,453	Meridian Bioscience, Inc.⁽¹⁾		20,051
	1,232	Meritor, Inc.*		21,104
	1,255	MFA Financial, Inc. REIT		10,140
	46	MicroStrategy, Inc. Class A*⁽¹⁾		8,639
	2,123	Milestone Apartments Real Estate Investment Trust		34,353
	681	MoneyGram International, Inc.*		11,448
	1,214	MSG Networks, Inc. Class A*		28,347
	45	Myriad Genetics, Inc.*⁽¹⁾		864
	385	National Presto Industries, Inc.		39,347
	185	National Western Life Group, Inc. Class A		56,270
	523	Navigators Group, Inc.		28,399
	55	Neenah Paper, Inc.		4,108
	36	NETGEAR, Inc.*		1,784
	851	NeuStar, Inc. Class A*		28,211
	54	Northwest Natural Gas Co.		3,191
	175	NuVasive, Inc.*		13,069
	772	Oil States International, Inc.*		25,592
	444	Oritani Financial Corp.⁽¹⁾		7,548
	1,523	Owens & Minor, Inc.		52,696
	514	PharMerica Corp.*		12,028
	4,541	Photronics, Inc.*		48,589
	4,818	Pier 1 Imports, Inc.⁽¹⁾		34,497
	135	Plexus Corp.*		7,803
	2,708	Quality Systems, Inc.*		41,270
	673	REX American Resources Corp.*		60,900
	954	RMR Group, Inc. REIT		47,223
	3,860	RPX Corp.*		46,320
	60	Safety Insurance Group, Inc.		4,206
	513	Sanderson Farms, Inc.		53,270
	1,490	Sanmina Corp.*		60,494
	119	Scholastic Corp.		5,066
	1,014	Schweitzer-Mauduit International, Inc.		42,000
	4,870	Sciclone Pharmaceuticals, Inc.*		47,726
	747	Select Comfort Corp.*		18,518
	754	Select Income REIT⁽¹⁾		19,446
	447	Select Medical Holdings Corp.*⁽¹⁾		5,967
	866	Selective Insurance Group, Inc.		40,832
	1,687	Shoe Carnival, Inc.⁽¹⁾		41,450
	751	SpartanNash Co.		26,277
	1,991	Steelcase, Inc. Class A		33,349
	731	Stepan Co.		57,610
	51	Sturm Ruger & Co., Inc.⁽¹⁾		2,731
	1,380	Summit Hotel Properties, Inc. REIT		22,052
	1,240	Sunstone Hotel Investors, Inc. REIT		19,009
	291	Supernus Pharmaceuticals, Inc.*		9,108
	1,584	Sykes Enterprises, Inc.*		46,570
	652	Tech Data Corp.*⁽¹⁾		61,223
	628	TeleTech Holdings, Inc.		18,589
	1,081	TriCo Bancshares		38,408
	259	Trinseo S.A.		17,379

The accompanying notes are an integral part of these financial statements.


		30

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.6% - (continued)
		United States - 40.3% - (continued)
	4,947	TrustCo Bank Corp.	$	38,834
	49	TTM Technologies, Inc.*		790
	213	U.S. Physical Therapy, Inc.		13,909
	27	UniFirst Corp.		3,819
	694	United Fire Group, Inc.		29,682
	1,261	United States Cellular Corp.*		47,073
	455	Universal Corp.		32,191
	8	Usana Health Sciences, Inc.*⁽¹⁾		461
	257	Viad Corp.		11,616
	318	Vishay Intertechnology, Inc.⁽¹⁾		5,231
	1,583	Vonage Holdings Corp.*		10,005
	507	Wabash National Corp.⁽¹⁾		10,490
	576	Walker & Dunlop, Inc.*		24,013
	475	Weis Markets, Inc.		28,334

				4,442,777


		Total Common Stocks (cost $9,310,827)	$	10,969,463


RIGHTS - 0.0%
		Australia - 0.0%
	4,348	Downer EDI Ltd.*	$	40


		Total Rights (cost $—)	$	40


		Total Long-Term Investments (cost $9,310,827)	$	10,969,503


SHORT-TERM INVESTMENTS - 3.5%
		Securities Lending Collateral - 3.5%
	381,418	State Street Navigator Securities Lending Government Money Market Portfolio 0.74%⁽³⁾	$	381,418


		Total Short-Term Investments (cost $381,418)	$	381,418



Total Investments (cost $9,692,245)^{^}	103.1	%	$	11,350,921
Other Assets and Liabilities	(3.1	)%		(339,639	)

Total Net Assets	100.0	%	$	11,011,282

The accompanying notes are an integral part of these financial statements.


		31

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

^{^}	Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:


Unrealized Appreciation	$	1,877,491
Unrealized Depreciation		(218,815	)

Net Unrealized Appreciation	$	1,658,676

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 for securities lending information.

⁽²⁾

Securities issued within terms of a private placement memorandum and exempt from registration under Rule 144A under the Securities Act of 1933, as amended, and may be sold only to qualified institutional buyers. Unless otherwise indicated, these holdings are determined to be liquid. At March 31, 2017, the aggregate value of these securities was $123,099, which represents 1.1% of total net assets.

⁽³⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Other Abbreviations:
ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		32

Hartford Multifactor Global Small Cap ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Australia	$	522,454	$	522,454	$	—	$	—
Belgium		55,225		55,225		—		—
Bermuda		94,778		94,778		—		—
Brazil		201,316		201,316		—		—
Canada		685,628		685,628		—		—
China		1,008,832		1,008,832		—		—
Denmark		77,416		77,416		—		—
France		115,735		115,735		—		—
Georgia		56,768		56,768		—		—
Germany		77,258		77,258		—		—
Hong Kong		186,782		186,782		—		—
Israel		78,855		78,855		—		—
Italy		62,304		62,304		—		—
Japan		1,222,172		1,222,172		—		—
Luxembourg		27,931		27,931		—		—
Netherlands		68,644		68,644		—		—
New Zealand		54,025		54,025		—		—
Norway		26,566		26,566		—		—
Portugal		1,159		1,159		—		—
Puerto Rico		39,410		39,410		—		—
Singapore		94,145		94,145		—		—
South Africa		211,107		211,107		—		—
South Korea		511,457		511,457		—		—
Spain		55,802		55,802		—		—
Sweden		43,634		43,634		—		—
Switzerland		94,822		94,822		—		—
Taiwan		360,104		360,104		—		—
Thailand		55,227		55,227		—		—
United Kingdom		437,130		437,130		—		—
United States		4,442,777		4,442,777		—		—
Rights		40		40		—		—
Short-Term Investments		381,418		381,418		—		—

Total	$	11,350,921	$	11,350,921	$	—	$	—

⁽¹⁾	For the six-month period ended March 31, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		33

Hartford Multifactor REIT ETF

Schedule of Investments

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4%
		Diversified REITs - 9.5%
	6,662	Armada Hoffler Properties, Inc. REIT	$	92,535
	4,228	Empire State Realty Trust, Inc. Class A, REIT		87,266
	8,316	Lexington Realty Trust REIT		82,993
	3,544	Select Income REIT		91,400
	1,218	WP Carey, Inc. REIT		75,784

				429,978

		Health Care REITs - 10.0%
	5,885	CareTrust, Inc. REIT		98,986
	1,909	LTC Properties, Inc. REIT		91,441
	5,988	Medical Properties Trust, Inc. REIT		77,185
	1,216	National Health Investors, Inc. REIT		88,318
	3,412	Sabra Healthcare, Inc. REIT		95,297

				451,227

		Hotel & Resort REITs - 8.1%
	10,545	Ashford Hospitality Trust, Inc. REIT		67,172
	914	MGM Growth Properties LLC Class A		24,724
	1,441	Ryman Hospitality Properties, Inc. REIT		89,097
	6,036	Summit Hotel Properties, Inc. REIT		96,455
	5,287	Xenia Hotels & Resorts, Inc. REIT		90,249

				367,697

		Industrial REITs - 6.2%
	3,590	Duke Realty Corp. REIT		94,309
	1,252	EastGroup Properties, Inc. REIT		92,060
	3,422	First Industrial Realty Trust, Inc. REIT		91,128

				277,497

		Office REITs - 9.6%
	4,017	City Office, Inc. REIT		48,806
	1,127	Corporate Office Properties Trust REIT		37,304
	10,807	Cousins Properties, Inc. REIT		89,374
	1,755	Highwoods Properties, Inc. REIT		86,223
	1,201	Kilroy Realty Corp. REIT		86,568
	3,187	Mack-Cali Realty Corp. REIT		85,858

				434,133

		Residential REITs - 13.1%
	1,978	Apartment Investment & Management Co. Class A, REIT		87,725
	1,087	Camden Property Trust REIT		87,460
	1,166	Equity LifeStyle Properties, Inc. REIT		89,852
	10,046	Independence Realty Trust, Inc. REIT		94,131
	904	Mid-America Apartment Communities, Inc. REIT		91,973
	3,864	NexPoint Residential Trust, Inc. REIT		93,354
	3,072	UMH Properties, Inc. REIT		46,725

				591,220

		Retail REITs - 26.5%
	1,855	Agree Realty Corp. REIT		88,966
	213	Alexander’s, Inc. REIT		91,986
	3,949	Brixmor Property Group, Inc. REIT		84,746
	9,225	CBL & Associates Properties, Inc. REIT		88,006
	657	Federal Realty Investment Trust REIT		87,709
	3,518	Getty Realty Corp. REIT		88,900
	5,897	Ramco-Gershenson Properties Trust REIT		82,676
	1,035	Saul Centers, Inc. REIT		63,777
	1,989	Seritage Growth Properties REIT		85,825
	500	Simon Property Group, Inc. REIT		86,015
	2,722	Tanger Factory Outlet Centers, Inc. REIT		89,200
	1,324	Taubman Centers, Inc. REIT		87,410
	3,322	Urban Edge Properties REIT		87,369


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.4% - (continued)
		Retail REITs - 26.5% - (continued)
	7,243	Washington Prime Group, Inc. REIT	$	62,942
	659	Weingarten Realty Investors REIT		22,004

				1,197,531

		Specialized REITs - 16.4%
	1,032	Coresite Realty Corp. REIT		92,932
	3,386	CubeSmart REIT		87,901
	1,823	CyrusOne, Inc. REIT		93,830
	852	Digital Realty Trust, Inc. REIT		90,644
	1,805	DuPont Fabros Technology, Inc. REIT		89,510
	2,886	Gaming and Leisure Properties, Inc. REIT		96,450
	2,515	National Storage Affiliates Trust REIT		60,108
	407	Public Storage REIT		89,096
	818	QTS Realty Trust, Inc. Class A, REIT		39,878

				740,349


		Total Common Stocks (cost $4,389,408)	$	4,489,632


		Total Long-Term Investments (cost $4,389,408)	$	4,489,632



Total Investments (cost $4,389,408)^{^}	99.4	%	$	4,489,632
Other Assets and Liabilities	0.6	%		25,217

Total Net Assets	100.0	%	$	4,514,849

The accompanying notes are an integral part of these financial statements.


		34

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

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 shown in this report as these classifications are used for financial reporting purposes.

^{^}	Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:


Unrealized Appreciation	$	183,860
Unrealized Depreciation		(83,636	)

Net Unrealized Appreciation	$	100,224

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Other Abbreviations:
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		35

Hartford Multifactor REIT ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Real Estate	$	4,489,632	$	4,489,632	$	—	$	—

Total	$	4,489,632	$	4,489,632	$	—	$	—

⁽¹⁾	For the six-month period ended March 31, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		36

Hartford Multifactor US Equity ETF

Schedule of Investments

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9%
		Automobiles & Components - 2.0%
	611	Delphi Automotive plc	$	49,180
	5,374	Ford Motor Co.		62,553
	5,503	General Motors Co.		194,586
	2,169	Tenneco, Inc.		135,389
	303	Thor Industries, Inc.⁽¹⁾		29,127

				470,835

		Banks - 6.9%
	4,985	Bank of America Corp.		117,596
	1,709	BB&T Corp.⁽¹⁾		76,392
	1,517	Citigroup, Inc.		90,747
	1,455	Citizens Financial Group, Inc.		50,270
	1,072	Cullen/Frost Bankers, Inc.		95,376
	290	East West Bancorp, Inc.		14,967
	13,861	Federal Home Loan Mortgage Corp.*		34,375
	4,596	Fifth Third Bancorp		116,738
	150	First Citizens BancShares, Inc. Class A		50,305
	13,383	FNMA*⁽¹⁾		34,796
	3,029	JP Morgan Chase & Co.		266,067
	1,038	KeyCorp		18,456
	233	M&T Bank Corp.⁽¹⁾		36,052
	1,974	MGIC Investment Corp.*		19,997
	900	PNC Financial Services Group, Inc.		108,216
	2,390	Popular, Inc.		97,345
	8,632	Regions Financial Corp.		125,423
	2,022	SunTrust Banks, Inc.		111,817
	267	U.S. Bancorp		13,751
	2,426	Wells Fargo & Co.		135,031
	986	Zions Bancorp		41,412

				1,655,129

		Capital Goods - 5.3%
	409	3M Co.		78,254
	520	Boeing Co.⁽¹⁾		91,967
	464	Caterpillar, Inc.⁽¹⁾		43,041
	1,301	Cummins, Inc.		196,711
	102	Deere & Co.⁽¹⁾		11,104
	1,660	Eaton Corp. plc		123,089
	375	General Dynamics Corp.		70,200
	521	HD Supply Holdings, Inc.*		21,426
	259	Honeywell International, Inc.		32,341
	54	Huntington Ingalls Industries, Inc.		10,813
	507	Illinois Tool Works, Inc.		67,162
	1,145	Ingersoll-Rand plc		93,111
	41	Lockheed Martin Corp.		10,972
	356	MSC Industrial Direct Co., Inc. Class A		36,583
	244	Northrop Grumman Corp.		58,033
	655	PACCAR, Inc.		44,016
	133	Parker-Hannifin Corp.		21,323
	161	Raytheon Co.		24,552
	133	Rockwell Automation, Inc.		20,709
	724	Spirit Aerosystems Holdings, Inc. Class A		41,934
	419	Stanley Black & Decker, Inc.		55,673
	390	United Rentals, Inc.*		48,769
	339	United Technologies Corp.		38,039
	155	WW Grainger, Inc.⁽¹⁾		36,078

				1,275,900

		Commercial & Professional Services - 0.9%
	396	Deluxe Corp.		28,579
	686	ManpowerGroup, Inc.		70,363
	131	Republic Services, Inc.⁽¹⁾		8,228


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Commercial & Professional Services - 0.9% - (continued)
	1,122	Robert Half International, Inc.	$	54,787
	717	Waste Management, Inc.		52,284

				214,241

		Consumer Durables & Apparel - 1.3%
	3,100	Michael Kors Holdings Ltd.*⁽¹⁾		118,141
	633	NIKE, Inc. Class B⁽¹⁾		35,277
	428	Ralph Lauren Corp.⁽¹⁾		34,934
	1,934	Skechers USA, Inc. Class A*		53,088
	979	Tupperware Brands Corp.⁽¹⁾		61,403
	331	VF Corp.⁽¹⁾		18,195

				321,038

		Consumer Services - 0.7%
	387	Carnival Corp.		22,798
	108	Cracker Barrel Old Country Store, Inc.⁽¹⁾		17,199
	526	Hilton Worldwide Holdings, Inc.⁽¹⁾		30,750
	233	McDonald’s Corp.		30,199
	877	Yum! Brands, Inc.		56,040

				156,986

		Diversified Financials - 2.5%
	491	American Express Co.		38,843
	982	Ameriprise Financial, Inc.		127,346
	660	Berkshire Hathaway, Inc. Class B*		110,009
	58	BlackRock, Inc.		22,244
	818	Capital One Financial Corp.		70,888
	207	Charles Schwab Corp.		8,448
	149	CME Group, Inc.		17,701
	1,202	Discover Financial Services		82,205
	241	ETRADE Financial Corp.		8,408
	1,310	Morgan Stanley		56,120
	1,435	Synchrony Financial		49,220

				591,432

		Energy - 6.8%
	1,302	Chevron Corp.		139,796
	2,232	Continental Resources, Inc.*⁽¹⁾		101,377
	1,582	Exxon Mobil Corp.		129,740
	429	Halliburton Co.		21,111
	1,194	Helmerich & Payne, Inc.⁽¹⁾		79,485
	440	HollyFrontier Corp.		12,470
	5,446	Marathon Petroleum Corp.		275,241
	2,550	Phillips 66		202,011
	926	Targa Resources Corp.⁽¹⁾		55,467
	1,423	Tesoro Corp.		115,348
	4,554	Valero Energy Corp.		301,885
	3,877	Western Refining, Inc.		135,966
	336	Williams Cos., Inc.		9,942
	1,342	World Fuel Services Corp.		48,648

				1,628,487

		Food & Staples Retailing - 3.1%
	244	Casey’s General Stores, Inc.⁽¹⁾		27,389
	281	Costco Wholesale Corp.		47,121
	606	CVS Health Corp.		47,571
	5,145	Kroger Co.		151,726
	1,448	Rite Aid Corp.*		6,154
	2,654	Sysco Corp.		137,796
	668	US Foods Holding Corp.*		18,691
	2,742	Wal-Mart Stores, Inc.		197,643
	703	Walgreens Boots Alliance, Inc.		58,384

The accompanying notes are an integral part of these financial statements.


		37

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Food & Staples Retailing - 3.1% - (continued)
	1,810	Whole Foods Market, Inc.⁽¹⁾	$	53,793

				746,268

		Food, Beverage & Tobacco - 2.9%
	596	Altria Group, Inc.		42,566
	2,817	Archer-Daniels-Midland Co.⁽¹⁾		129,695
	306	Bunge Ltd.		24,254
	477	Campbell Soup Co.⁽¹⁾		27,303
	980	Flowers Foods, Inc.		19,022
	259	General Mills, Inc.		15,284
	520	Hershey Co.		56,810
	51	Ingredion, Inc.		6,142
	113	Kellogg Co.		8,205
	455	PepsiCo, Inc.		50,896
	493	Philip Morris International, Inc.⁽¹⁾		55,660
	6,178	Pilgrim’s Pride Corp.⁽¹⁾		139,036
	255	Reynolds American, Inc.		16,070
	13	Seaboard Corp.		54,203
	978	Tyson Foods, Inc. Class A		60,352

				705,498

		Health Care Equipment & Services - 10.4%
	684	Abbott Laboratories		30,376
	1,406	Aetna, Inc.		179,335
	1,323	Anthem, Inc.		218,798
	1,950	Baxter International, Inc.		101,127
	57	Becton Dickinson and Co.		10,456
	823	Boston Scientific Corp.*		20,468
	1,764	Cardinal Health, Inc.⁽¹⁾		143,854
	790	Centene Corp.*		56,295
	168	Cerner Corp.*		9,887
	218	Cigna Corp.		31,935
	199	CR Bard, Inc.		49,459
	1,363	DaVita, Inc.*		92,643
	246	Edwards Lifesciences Corp.*		23,141
	2,392	Express Scripts Holding Co.*		157,657
	2,569	HCA Holdings, Inc.*		228,615
	55	HealthSouth Corp.⁽¹⁾		2,355
	272	Henry Schein, Inc.*⁽¹⁾		46,232
	926	Humana, Inc.		190,886
	96	IDEXX Laboratories, Inc.*⁽¹⁾		14,843
	119	Laboratory Corp. of America Holdings*		17,073
	386	McKesson Corp.		57,228
	1,725	Molina Healthcare, Inc.*		78,660
	258	Patterson Cos., Inc.⁽¹⁾		11,669
	1,116	Quest Diagnostics, Inc.		109,580
	704	Stryker Corp.⁽¹⁾		92,682
	1,309	UnitedHealth Group, Inc.		214,689
	821	Varian Medical Systems, Inc.*⁽¹⁾		74,818
	1,674	WellCare Health Plans, Inc.*		234,712

				2,499,473

		Household & Personal Products - 0.9%
	1,101	Estee Lauder Cos., Inc. Class A⁽¹⁾		93,354
	1,065	Herbalife Ltd.*⁽¹⁾		61,919
	370	Kimberly-Clark Corp.		48,703
	48	Procter & Gamble Co.		4,313

				208,289

		Insurance - 8.0%
	2,058	Aflac, Inc.		149,040
	92	Alleghany Corp.*		56,549


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Insurance - 8.0% - (continued)
	353	Allied World Assurance Co. Holdings AG	$	18,744
	1,173	Allstate Corp.		95,588
	1,097	American Financial Group, Inc.		104,676
	235	American International Group, Inc.		14,671
	832	Assurant, Inc.		79,597
	766	Assured Guaranty Ltd.		28,426
	293	Chubb Ltd.		39,921
	1,492	CNA Financial Corp.⁽¹⁾		65,902
	1,986	CNO Financial Group, Inc.		40,713
	252	First American Financial Corp.⁽¹⁾		9,899
	574	Hanover Insurance Group, Inc.		51,694
	1,771	Lincoln National Corp.		115,912
	4,944	MetLife, Inc.		261,142
	1,752	Old Republic International Corp.		35,881
	2,448	Principal Financial Group, Inc.		154,493
	1,273	Progressive Corp.		49,876
	2,451	Prudential Financial, Inc.		261,473
	674	Reinsurance Group of America, Inc.		85,585
	1,155	Travelers Cos., Inc.		139,224
	1,518	Unum Group		71,179

				1,930,185

		Materials - 5.5%
	113	Air Products & Chemicals, Inc.		15,288
	520	Avery Dennison Corp.		41,912
	225	Bemis Co., Inc.⁽¹⁾		10,993
	649	Chemours Co.		24,986
	3,154	Dow Chemical Co.		200,405
	723	E.I. DuPont de Nemours & Co.		58,079
	177	Eastman Chemical Co.		14,302
	4,119	Huntsman Corp.		101,080
	2,578	International Paper Co.		130,911
	2,567	LyondellBasell Industries N.V. Class A		234,085
	273	Monsanto Co.		30,904
	1,223	Nucor Corp.		73,038
	830	Packaging Corp. of America		76,045
	380	PPG Industries, Inc.		39,930
	1,486	Reliance Steel & Aluminum Co.		118,910
	162	RPM International, Inc.		8,915
	444	Scotts Miracle-Gro Co. Class A		41,465
	108	Sherwin-Williams Co.		33,500
	1,139	Sonoco Products Co.⁽¹⁾		60,276
	144	WestRock Co.		7,492

				1,322,516

		Media - 0.2%
	100	CBS Corp. Class B		6,936
	1,021	Comcast Corp. Class A		38,379
	65	Omnicom Group, Inc.⁽¹⁾		5,604

				50,919

		Pharmaceuticals, Biotechnology & Life Sciences - 5.1%
	1,567	AbbVie, Inc.		102,106
	603	Amgen, Inc.		98,934
	205	Bio-Rad Laboratories, Inc. Class A*		40,865
	341	Biogen, Inc.*		93,236
	662	Bristol-Myers Squibb Co.		35,999
	781	Eli Lilly & Co.		65,690
	1,624	Gilead Sciences, Inc.		110,302
	1,423	Johnson & Johnson		177,235
	2,465	Merck & Co., Inc.		156,626
	1,339	PAREXEL International Corp.*		84,504

The accompanying notes are an integral part of these financial statements.


		38

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Pharmaceuticals, Biotechnology & Life Sciences - 5.1% - (continued)
	3,008	Pfizer, Inc.	$	102,904
	313	Quintiles IMS Holdings, Inc.*⁽¹⁾		25,206
	825	United Therapeutics Corp.*⁽¹⁾		111,688
	691	Zoetis, Inc.		36,879

				1,242,174

		Real Estate - 3.0%
	4,290	CBRE Group, Inc. Class A, REIT*		149,249
	4,035	CoreCivic, Inc.		126,780
	144	Crown Castle International Corp.		13,601
	978	Equity Residential REIT		60,851
	729	Hospitality Properties Trust REIT		22,985
	2,072	Host Hotels & Resorts, Inc. REIT		38,664
	191	Howard Hughes Corp.*		22,395
	898	Lamar Advertising Co. Class A, REIT		67,117
	3,382	LaSalle Hotel Properties REIT		97,909
	689	Prologis, Inc.⁽¹⁾		35,745
	1,282	Rayonier, Inc. REIT		36,332
	149	Ventas, Inc. REIT⁽¹⁾		9,691
	382	Welltower, Inc.		27,053
	482	Weyerhaeuser Co. REIT		16,378

				724,750

		Retailing - 6.4%
	80	AutoZone, Inc.*		57,844
	771	Bed Bath & Beyond, Inc.⁽¹⁾		30,424
	5,116	Best Buy Co., Inc.⁽¹⁾		251,451
	384	Burlington Stores, Inc.*		37,359
	937	Dick’s Sporting Goods, Inc.⁽¹⁾		45,594
	987	Dollar General Corp.		68,824
	352	Foot Locker, Inc.		26,333
	3,570	Gap, Inc.⁽¹⁾		86,715
	180	Genuine Parts Co.		16,634
	480	Home Depot, Inc.		70,478
	2,845	Kohl’s Corp.⁽¹⁾		113,260
	1,788	L Brands, Inc.⁽¹⁾		84,215
	929	Lowe’s Cos., Inc.		76,373
	1,878	Macy’s, Inc.⁽¹⁾		55,664
	163	Netflix, Inc.*		24,093
	1,314	Nordstrom, Inc.⁽¹⁾		61,193
	55	O’Reilly Automotive, Inc.*⁽¹⁾		14,841
	986	Penske Automotive Group, Inc.		46,155
	890	Ross Stores, Inc.		58,624
	2,520	Target Corp.⁽¹⁾		139,079
	1,149	TJX Cos., Inc.		90,863
	3,062	Urban Outfitters, Inc.*⁽¹⁾		72,753
	396	Williams-Sonoma, Inc.⁽¹⁾		21,234

				1,550,003

		Semiconductors & Semiconductor Equipment - 5.0%
	986	Analog Devices, Inc.		80,803
	4,001	Applied Materials, Inc.		155,639
	1,704	First Solar, Inc.*⁽¹⁾		46,178
	6,209	Intel Corp.		223,959
	776	Lam Research Corp.⁽¹⁾		99,607
	5,868	Micron Technology, Inc.*⁽¹⁾		169,585
	1,089	NVIDIA Corp.⁽¹⁾		118,625
	313	ON Semiconductor Corp.*		4,848
	2,836	QUALCOMM, Inc.		162,616
	1,821	Texas Instruments, Inc.		146,700

				1,208,560


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Software & Services - 4.9%
	25	Alphabet, Inc. Class A*	$	21,195
	126	Automatic Data Processing, Inc.		12,901
	1,426	Booz Allen Hamilton Holding Corp.		50,466
	714	CA, Inc.⁽¹⁾		22,648
	958	Cognizant Technology Solutions Corp. Class A*		57,020
	608	Computer Sciences Corp.		41,958
	1,965	eBay, Inc.*		65,965
	1,217	Electronic Arts, Inc.*		108,946
	14	Fiserv, Inc.*		1,614
	1,240	IBM Corp.		215,934
	357	Intuit, Inc.		41,408
	583	Leidos Holdings, Inc.		29,815
	961	Microsoft Corp.		63,292
	1,254	Oracle Corp.		55,941
	966	Paychex, Inc.		56,897
	272	Science Applications International Corp.		20,237
	2,817	VMware, Inc. Class A*⁽¹⁾		259,558
	3,123	Western Union Co.⁽¹⁾		63,553

				1,189,348

		Technology Hardware & Equipment - 9.4%
	103	Amphenol Corp. Class A		7,331
	1,305	Apple, Inc.		187,476
	1,939	Arrow Electronics, Inc.*		142,342
	7,790	Brocade Communications Systems, Inc.		97,219
	757	CDW Corp. of Delaware		43,687
	5,478	Cisco Systems, Inc.		185,156
	3,549	Corning, Inc.		95,823
	213	F5 Networks, Inc.*		30,367
	8,135	Flex Ltd.*		136,668
	10,173	Hewlett Packard Enterprise Co.		241,100
	16,894	HP, Inc.		302,065
	2,792	Jabil Circuit, Inc.		80,745
	1,495	Juniper Networks, Inc.		41,606
	4,349	Keysight Technologies, Inc.*		157,173
	924	NCR Corp.*		42,208
	2,800	NetApp, Inc.⁽¹⁾		117,180
	2,153	Seagate Technology plc⁽¹⁾		98,887
	133	SYNNEX Corp.		14,888
	1,226	TE Connectivity Ltd.		91,398
	216	Ubiquiti Networks, Inc.*		10,856
	1,618	Western Digital Corp.		133,534
	2,282	Xerox Corp.		16,750

				2,274,459

		Telecommunication Services - 2.1%
	3,499	AT&T, Inc.		145,383
	601	CenturyLink, Inc.⁽¹⁾		14,166
	311	Level 3 Communications, Inc.*		17,795
	12,850	Sprint Corp.*⁽¹⁾		111,538
	1,561	T-Mobile USA, Inc.*⁽¹⁾		100,825
	2,564	Verizon Communications, Inc.		124,995

				514,702

		Transportation - 4.0%
	86	Alaska Air Group, Inc.		7,931
	1,477	American Airlines Group, Inc.⁽¹⁾		62,477
	179	CH Robinson Worldwide, Inc.⁽¹⁾		13,835
	749	CSX Corp.		34,866
	2,399	Delta Air Lines, Inc.		110,258
	248	FedEx Corp.		48,397
	2,689	JetBlue Airways Corp.*⁽¹⁾		55,420

The accompanying notes are an integral part of these financial statements.


		39

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)


Shares or Principal Amount			Market Value^†
COMMON STOCKS - 99.9% - (continued)
		Transportation - 4.0% - (continued)
	179	Norfolk Southern Corp.	$	20,043
	313	Ryder System, Inc.		23,613
	2,909	Southwest Airlines Co.		156,388
	1,475	Spirit Airlines, Inc.*		78,278
	3,604	United Continental Holdings, Inc.*		254,587
	984	United Parcel Service, Inc. Class B		105,583

				971,676

		Utilities - 2.6%
	557	American Electric Power Co., Inc.		37,391
	856	Consolidated Edison, Inc.⁽¹⁾		66,477
	581	DTE Energy Co.		59,326
	859	Edison International		68,385
	2,499	Exelon Corp.		89,914
	613	MDU Resources Group, Inc.		16,778
	111	NextEra Energy, Inc.⁽¹⁾		14,249
	554	PG&E Corp.		36,764
	1,403	PPL Corp.		52,458
	2,381	Public Service Enterprise Group, Inc.		105,597
	596	Southern Co.⁽¹⁾		29,669
	1,278	Xcel Energy, Inc.		56,807

				633,815


		Total Common Stocks (cost $21,552,202)	$	24,086,683


		Total Long-Term Investments (cost $21,552,202)	$	24,086,683


SHORT-TERM INVESTMENTS - 1.0%
		Securities Lending Collateral - 1.0%
	251,236	State Street Navigator Securities Lending Government Money Market Portfolio 0.74%⁽²⁾	$	251,236


		Total Short-Term Investments (cost $251,236)	$	251,236



Total Investments (cost $21,803,438)^{^}	100.9	%	$	24,337,919
Other Assets and Liabilities	(0.9	)%		(216,135	)

Total Net Assets	100.0	%	$	24,121,784

The accompanying notes are an integral part of these financial statements.


		40

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Note:

Percentage of investments as shown is the ratio of the total market value to total net assets.

For Fund compliance purposes, the Fund may not use the same classification system shown in this report as these classifications are used for financial reporting purposes.

^{^}	Aggregate cost for federal income tax purposes was substantially the same for book purposes; and net unrealized appreciation consisted of:


Unrealized Appreciation	$	3,033,855
Unrealized Depreciation		(499,374	)

Net Unrealized Appreciation	$	2,534,481

*	Non-income producing.

⁽¹⁾	Represents entire or partial securities on loan. See Note 7 for securities lending information.

⁽²⁾	Represents the current daily yield at period end.

^†	See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.


GLOSSARY: (abbreviations used in preceding Schedule of Investments)

Other Abbreviations:
FNMA		Federal National Mortgage Association
REIT		Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements.


		41

Hartford Multifactor US Equity ETF

Schedule of Investments – (continued)

March 31, 2017 (Unaudited)

Fair Valuation Summary

The following is a summary of the fair valuations according to the inputs used as of March 31, 2017 in valuing the Fund’s investments.


	Total		Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3⁽¹⁾
Assets
Common Stocks
Automobiles & Components	$	470,835	$	470,835	$	—	$	—
Banks		1,655,129		1,655,129		—		—
Capital Goods		1,275,900		1,275,900		—		—
Commercial & Professional Services		214,241		214,241		—		—
Consumer Durables & Apparel		321,038		321,038		—		—
Consumer Services		156,986		156,986		—		—
Diversified Financials		591,432		591,432		—		—
Energy		1,628,487		1,628,487		—		—
Food & Staples Retailing		746,268		746,268		—		—
Food, Beverage & Tobacco		705,498		705,498		—		—
Health Care Equipment & Services		2,499,473		2,499,473		—		—
Household & Personal Products		208,289		208,289		—		—
Insurance		1,930,185		1,930,185		—		—
Materials		1,322,516		1,322,516		—		—
Media		50,919		50,919		—		—
Pharmaceuticals, Biotechnology & Life Sciences		1,242,174		1,242,174		—		—
Real Estate		724,750		724,750		—		—
Retailing		1,550,003		1,550,003		—		—
Semiconductors & Semiconductor Equipment		1,208,560		1,208,560		—		—
Software & Services		1,189,348		1,189,348		—		—
Technology Hardware & Equipment		2,274,459		2,274,459		—		—
Telecommunication Services		514,702		514,702		—		—
Transportation		971,676		971,676		—		—
Utilities		633,815		633,815		—		—
Short-Term Investments		251,236		251,236		—		—

Total	$	24,337,919	$	24,337,919	$	—	$	—

⁽¹⁾	For the six-month period ended March 31, 2017, there were no transfers between any levels.

The accompanying notes are an integral part of these financial statements.


		42

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Multifactor ETFs

Statements of Assets and Liabilities

March 31, 2017 (Unaudited)


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	58,777,851		$	36,619,089		$	11,350,921
Cash		493			—			9,331
Foreign currency		57,770			206,586			16,179
Receivables:
Fund shares sold		—			2,274,480			—
Dividends and interest		247,527			98,353			36,055
Securities lending income		2,908			270			552

Total assets		59,086,549			39,198,778			11,413,038

Liabilities:
Bank overdraft		—			705,162			—
Upon return of securities loaned		709,076			780,775			381,418
Payables:
Investment securities purchased		—			1,762,923			15,229
Investment management fees		18,066			15,907			5,109

Total liabilities		727,142			3,264,767			401,756

Net assets	$	58,359,407		$	35,934,011		$	11,011,282

Summary of Net Assets:
Paid-in-capital	$	56,872,705		$	37,338,348		$	9,879,308
Undistributed (distributions in excess of) net investment income		195,748			118,164			33,062
Accumulated net realized gain (loss)		(2,875,716	)		(3,622,970	)		(560,313	)
Unrealized appreciation (depreciation) of investments and the translation of assets and liabilities denominated in foreign currency		4,166,670			2,100,469			1,659,225

Net assets	$	58,359,407		$	35,934,011		$	11,011,282

Net asset value per share	$	25.37		$	22.46		$	27.53

Shares issued and outstanding		2,300,000			1,600,000			400,000

Cost of investments	$	54,610,052		$	34,520,991		$	9,692,245
Cost of foreign currency	$	57,894		$	207,108		$	16,235

⁽¹⁾ Includes investment in securities on loan, at value	$	6,188,464		$	1,072,191		$	1,448,234

The accompanying notes are an integral part of these financial statements.


		44

Multifactor ETFs

Statements of Assets and Liabilities

March 31, 2017 (Unaudited)


	Hartford Multifactor REIT ETF			Hartford Multifactor US Equity ETF
Assets:
Investments in securities, at market value⁽¹⁾	$	4,489,632		$	24,337,919
Cash		442			13,117
Receivables:
Dividends and interest		26,507			27,291
Securities lending income		—			454

Total assets		4,516,581			24,378,781

Liabilities:
Upon return of securities loaned		—			251,236
Payables:
Investment management fees		1,732			5,761

Total liabilities		1,732			256,997

Net assets	$	4,514,849		$	24,121,784

Summary of Net Assets:
Paid-in-capital	$	4,446,607		$	21,456,418
Undistributed (distributions in excess of) net investment income		21,294			9,497
Accumulated net realized gain (loss)		(53,276	)		121,388
Unrealized appreciation (depreciation) of investments		100,224			2,534,481

Net assets	$	4,514,849		$	24,121,784

Net asset value per share	$	15.05		$	26.80

Shares issued and outstanding		300,000			900,000

Cost of investments	$	4,389,408		$	21,803,438

⁽¹⁾ Includes Investment in securities on loan, at value	$	—		$	3,117,822

The accompanying notes are an integral part of these financial statements.


		45

Multifactor ETFs

Statements of Operations

For the Six-Month Period Ended March 31, 2017 (Unaudited)


	Hartford Multifactor Developed Markets (ex-US) ETF			Hartford Multifactor Emerging Markets ETF			Hartford Multifactor Global Small Cap ETF
Investment Income:
Dividends	$	541,107		$	255,083		$	123,593
Interest		—			2			—
Securities lending		10,838			658			2,759
Less: Foreign tax withheld		(48,568	)		(35,690	)		(9,814	)

Total investment income, net		503,377			220,053			116,538

Expenses:
Investment management fees		85,855			81,913			30,031
Trustees expenses		9,686			7,567			5,162

Total expenses (before waivers)		95,541			89,480			35,193

Trustees expenses waiver		(9,686	)		(7,567	)		(5,162	)

Total waivers		(9,686	)		(7,567	)		(5,162	)

Total expenses, net		85,855			81,913			30,031

Net Investment Income (Loss)		417,522			138,140			86,507

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions:
Net realized gain (loss) on investments		(414,771	)		79,414			105,279
Net realized gain (loss) on other foreign currency transactions		(8,479	)		(3,703	)		(3,480	)

Net Realized Gain (Loss) on Investments and Foreign Currency Transactions		(423,250	)		75,711			101,799

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions:
Net unrealized appreciation (depreciation) of investments		2,551,789			1,392,972			775,002
Net unrealized appreciation (depreciation) of translation of other assets and liabilities in foreign currencies		(981	)		3,213			487

Net Changes in Unrealized Appreciation (Depreciation) of Investments and Foreign Currency Transactions		2,550,808			1,396,185			775,489

Net Gain (Loss) on Investments and Foreign Currency Transactions		2,127,558			1,471,896			877,288

Net Increase (Decrease) in Net Assets Resulting from Operations	$	2,545,080		$	1,610,036		$	963,795

The accompanying notes are an integral part of these financial statements.


		46

Multifactor ETFs

Statements of Operations

For the Six-Month Period Ended March 31, 2017 (Unaudited)


	Hartford Multifactor REIT ETF⁽¹⁾			Hartford Multifactor US Equity ETF
Investment Income:
Dividends	$	120,702		$	299,495
Securities lending		—			3,727
Less: Foreign tax withheld		—			(74	)

Total investment income, net		120,702			303,148

Expenses:
Investment management fees		9,607			42,596
Trustees expenses		3,278			8,717

Total expenses (before waivers)		12,885			51,313

Trustees expenses waiver		(3,278	)		(8,717	)

Total waivers and fees paid indirectly		(3,278	)		(8,717	)

Total expenses, net		9,607			42,596

Net Investment Income (Loss)		111,095			260,552

Net Realized Gain (Loss) on Investments:
Net realized gain (loss) on investments		(48,220	)⁽²⁾		1,819,334	⁽²⁾

Net Realized Gain (Loss) on Investments		(48,220	)		1,819,334

Net Changes in Unrealized Appreciation (Depreciation) of Investments:
Net unrealized appreciation (depreciation) of investments		100,224			742,696

Net Changes in Unrealized Appreciation (Depreciation) of Investments		100,224			742,696

Net Gain (Loss) on Investments		52,004			2,562,030

Net Increase (Decrease) in Net Assets Resulting from Operations	$	163,099		$	2,822,582

⁽¹⁾	Commenced operations on October 4, 2016.

⁽²⁾	Includes realized gains/(losses) as a result of in-kind redemptions (See Note 9 in Notes to Financial Statements).

The accompanying notes are an integral part of these financial statements.


		47

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Developed Markets (ex-US) ETF						Hartford Multifactor Emerging Markets ETF
	For the Six-Month Period Ended March 31, 2017 (Unaudited)			For the Year Ended September 30, 2016			For the Six-Month Period Ended March 31, 2017 (Unaudited)			For the Year Ended September 30, 2016
Operations:
Net investment income (loss)	$	417,522		$	841,354		$	138,140		$	433,114
Net realized gain (loss) on investments and foreign currency transactions		(423,250	)		(966,314	)		75,711			(2,533,326	)
Net changes in unrealized appreciation (depreciation) of investments and foreign currency transactions		2,550,808			2,982,859			1,396,185			4,787,720

Net Increase (Decrease) in Net Assets Resulting from Operations		2,545,080			2,857,899			1,610,036			2,687,508

Distributions to Shareholders:
From net investment income		(540,042	)		(766,330	)		(220,038	)		(424,201	)

Total distributions		(540,042	)		(766,330	)		(220,038	)		(424,201	)

Fund Share Transactions:
Sold		21,914,659			7,252,803			10,757,617			10,265,662
Redeemed		—			(2,310,851	)		—			(8,427,369	)

Net increase from Fund share transactions		21,914,659			4,941,952			10,757,617			1,838,293

Net Increase (Decrease) in Net Assets		23,919,697			7,033,521			12,147,615			4,101,600

Net Assets:
Beginning of period		34,439,710			27,406,189			23,786,396			19,684,796

End of period	$	58,359,407		$	34,439,710		$	35,934,011		$	23,786,396

Undistributed (distributions in excess of) net investment income	$	195,748		$	318,268		$	118,164		$	200,062

The accompanying notes are an integral part of these financial statements.


		48

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor Global Small Cap ETF						Hartford Multifactor REIT ETF
	For the Six-Month Period Ended March 31, 2017 (Unaudited)			For the Year Ended September 30, 2016			For the Period Ended March 31, 2017⁽¹⁾ (Unaudited)
Operations:
Net investment income (loss)	$	86,507		$	196,846		$	111,095
Net realized gain (loss) on investments and foreign currency transactions		101,799			(309,208	)		(48,220	)
Net changes in unrealized appreciation (depreciation) of investments and foreign currency transactions		775,489			1,253,330			100,224

Net Increase (Decrease) in Net Assets Resulting from Operations		963,795			1,140,968			163,099

Distributions to Shareholders:
From net investment income		(137,120	)		(177,194	)		(89,801	)
From net realized gain on investments		—			—			(5,056	)

Total distributions		(137,120	)		(177,194	)		(94,857	)

Fund Share Transactions:
Sold		—			2,414,035			5,928,331	⁽²⁾
Redeemed		—			—			(1,481,724	)

Net increase from Fund share transactions		—			2,414,035			4,446,607

Net Increase (Decrease) in Net Assets		826,675			3,377,809			4,514,849

Net Assets:
Beginning of period		10,184,607			6,806,798			—

End of period	$	11,011,282		$	10,184,607		$	4,514,849

Undistributed (distributions in excess of) net investment income	$	33,062		$	83,675		$	21,294

⁽¹⁾	Commenced operations on October 4, 2016.

⁽²⁾	On October 4, 2016, the Hartford Multifactor REIT ETF purchased 200,000 shares for a total of $2,934,050 to act as initial seed capital for the Trust.

The accompanying notes are an integral part of these financial statements.


		49

Multifactor ETFs

Statements of Changes in Net Assets


	Hartford Multifactor US Equity ETF
	For the Six-Month Period Ended March 31, 2017 (Unaudited)			For the Year Ended September 30, 2016
Operations:
Net investment income (loss)	$	260,552		$	529,691
Net realized gain (loss) on investments		1,819,334			(1,206,311	)
Net changes in unrealized appreciation (depreciation) of investments		742,696			3,136,653

Net Increase (Decrease) in Net Assets Resulting from Operations		2,822,582			2,460,033

Distributions to Shareholders:
From net investment income		(260,197	)		(520,459	)

Total distributions		(260,197	)		(520,459	)

Fund Share Transactions:
Sold		2,703,391			12,720,535
Redeemed		(9,254,707	)		(9,449,506	)

Net increase (decrease) from Fund share transactions		(6,551,316	)		3,271,029

Net Increase (Decrease) in Net Assets		(3,988,931	)		5,210,603

Net Assets:
Beginning of period		28,110,715			22,900,112

End of period	$	24,121,784		$	28,110,715

Undistributed (distributions in excess of) net investment income	$	9,497		$	9,142

The accompanying notes are an integral part of these financial statements.


		50

Multifactor ETFs

Financial Highlights


*— 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			Dividends from Net Investment Income			Distributions from Capital Gains			Total Dividends and Distributions			Net Asset Value at End of Period		Total Return⁽²⁾			Market Price Return			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 Multifactor Developed Markets (ex-US) ETF
For the Six-Month Period Ended March 31, 2017 (Unaudited)
$ 24.60	$	0.26	$	0.90		$	1.16		$	(0.39	)	$	—		$	(0.39	)	$	25.37		4.83	%⁽⁵⁾		4.72	%	$	58,359		0.49	%⁽⁶⁾		0.44	%⁽⁶⁾		2.13	%⁽⁶⁾		25	%

For the Year Ended September 30, 2016
$ 22.84	$	0.70	$	1.70		$	2.40		$	(0.64	)	$	—		$	(0.64	)	$	24.60		10.62	%		10.61	%	$	34,440		0.58	%		0.50	%		2.97	%		54	%

For the Period Ended September 30, 2015⁽⁷⁾
$ 25.00	$	0.55	$	(2.35	)	$	(1.80	)	$	(0.36	)	$	—		$	(0.36	)	$	22.84		(7.36	)%		(6.84	)%	$	27,406		0.50	%⁽⁶⁾		0.50	%⁽⁶⁾		3.75	%⁽⁶⁾		42	%

Hartford Multifactor Emerging Markets ETF
For the Six-Month Period Ended March 31, 2017 (Unaudited)
$ 21.62	$	0.11	$	0.91		$	1.02		$	(0.18	)	$	—		$	(0.18	)	$	22.46		4.79	%⁽⁵⁾		3.94	%	$	35,934		0.67	%⁽⁶⁾		0.62	%⁽⁶⁾		1.04	%⁽⁶⁾		22	%

For the Year Ended September 30, 2016
$ 19.68	$	0.45	$	1.91		$	2.36		$	(0.42	)	$	—		$	(0.42	)	$	21.62		12.20	%		14.08	%	$	23,786		0.76	%		0.65	%		2.22	%		49	%

For the Period Ended September 30, 2015⁽⁷⁾
$ 25.00	$	0.44	$	(5.55	)	$	(5.11	)	$	(0.21	)	$	—		$	(0.21	)	$	19.68		(20.59	)%		(20.59	)%	$	19,685		0.65	%⁽⁶⁾		0.65	%⁽⁶⁾		3.23	%⁽⁶⁾		17	%

Hartford Multifactor Global Small Cap ETF
For the Six-Month Period Ended March 31, 2017 (Unaudited)
$ 25.46	$	0.22	$	2.19		$	2.41		$	(0.34	)	$	—		$	(0.34	)	$	27.53		9.56	%⁽⁵⁾		9.32	%	$	11,011		0.67	%⁽⁶⁾		0.57	%⁽⁶⁾		1.66	%⁽⁶⁾		21	%

For the Year Ended September 30, 2016
$ 22.69	$	0.60	$	2.76		$	3.36		$	(0.59	)	$	—		$	(0.59	)	$	25.46		15.05	%		14.92	%	$	10,185		0.83	%		0.60	%		2.54	%		62	%

For the Period Ended September 30, 2015⁽⁸⁾
$ 25.00	$	0.44	$	(2.54	)	$	(2.10	)	$	(0.21	)	$	—		$	(0.21	)	$	22.69		(8.50	)%		(7.89	)%	$	6,807		0.60	%⁽⁶⁾		0.60	%⁽⁶⁾		3.44	%⁽⁶⁾		44	%

Hartford Multifactor REIT ETF
For the Period Ended March 31, 2017 (Unaudited)⁽⁹⁾
$ 14.61	$	0.38	$	0.24		$	0.62		$	(0.16	)	$	(0.02	)	$	(0.18	)	$	15.05		3.93	%⁽⁵⁾		3.93	%	$	4,515		0.60	%⁽⁶⁾		0.45	%⁽⁶⁾		5.20	%⁽⁶⁾		21	%

Hartford Multifactor US Equity ETF
For the Six-Month Period Ended March 31, 2017 (Unaudited)
$ 24.44	$	0.25	$	2.25		$	2.50		$	(0.14	)	$	—		$	(0.14	)	$	26.80		10.77	%⁽⁵⁾		10.72	%	$	24,122		0.39	%⁽⁶⁾		0.32	%⁽⁶⁾		1.96	%⁽⁶⁾		19	%

For the Year Ended September 30, 2016
$ 22.90	$	0.52	$	1.53		$	2.05		$	(0.51	)	$	—		$	(0.51	)	$	24.44		9.01	%		9.15	%	$	28,111		0.44	%		0.35	%		2.22	%		51	%

For the Period Ended September 30, 2015⁽⁷⁾
$ 25.00	$	0.26	$	(2.11	)	$	(1.85	)	$	(0.25	)	$	—		$	(0.25	)	$	22.90		(7.46	)%⁽⁵⁾		(7.54	)%	$	22,900		0.35	%⁽⁶⁾		0.35	%⁽⁶⁾		1.82	%⁽⁶⁾		38	%

⁽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 market price at the end of the distribution day.

⁽³⁾	Adjustments include waivers and reimbursements, if applicable.

⁽⁴⁾	Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.

⁽⁵⁾	Not annualized.

⁽⁶⁾	Annualized.

⁽⁷⁾	Commenced operations on February 25, 2015.

⁽⁸⁾	Commenced operations on March 23, 2015.

⁽⁹⁾	Commenced operations on October 4, 2016.

The accompanying notes are an integral part of these financial statements.


		51

Multifactor ETFs

Notes to Financial Statements

March 31, 2017 (Unaudited)

1.	Organization:

Lattice Strategies Trust (the “Trust”) is an open-end registered management investment company comprised of seven series as of March 31, 2017. Financial statements for the series of the Trust listed below (each, a “Fund” and collectively, the “Funds”) are included in this report.

Lattice Strategies Trust:

Hartford Multifactor Developed Markets (ex-US) ETF (Formerly Lattice Developed Markets (ex-US) Strategy ETF) (the “Multifactor Developed Markets (ex-US) ETF”)

Hartford Multifactor Emerging Markets ETF (Formerly Lattice Emerging Markets Strategy ETF) (the “Multifactor Emerging Markets ETF”)

Hartford Multifactor Global Small Cap ETF (Formerly Lattice Global Small Cap Strategy ETF) (the “Multifactor Global Small Cap ETF”)

Hartford Multifactor REIT ETF (Formerly Lattice Real Estate Strategy ETF) (the “Multifactor REIT ETF”)

Hartford Multifactor US Equity ETF (Formerly Lattice US Equity Strategy ETF) (the “Multifactor US Equity ETF”)

Hartford Multifactor Low Volatility International Equity ETF and Hartford Multifactor Low Volatility US Equity ETF had not commenced operations as of March 31, 2017 and no financial statements are currently available for those Funds.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly traded securities. Each Fund is designed to track an index. Shares of the Funds are or will be listed and traded on NYSE Arca, Inc. (“NYSE ARCA”). 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 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 April 15, 2014 and is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The offering shares (“Shares”) of the Funds are registered under the Securities Act of 1933, as amended (the “Securities Act”). Each Fund, except Multifactor REIT ETF, is a diversified open-end management investment company. Multifactor REIT ETF is a non-diversified open-end management investment company. Each Fund applies specialized accounting and reporting under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies”.

Multifactor REIT ETF commenced operations on October 4, 2016.

On July 25, 2016, Shareholders of the Funds approved an amended Declaration of Trust of the Trust (the “Amended Declaration of Trust”), which: (a) removed the limitation on reclassifying or changing outstanding shares; (b) expanded the mandatory redemption provisions; and (c) adjusted procedural matters regarding shareholder disputes. The Amended Declaration of Trust, as it appeared in the proxy statement filed with the SEC via EDGAR on June 27, 2016, be, and hereby is, incorporated by reference into this shareholder report.

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.

Determination of Net Asset Value – The NAV of each Fund’s shares is computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets less total liabilities) by the total number of Shares outstanding. Expenses and fees, including the management fees, are accrued daily and taken into account for purposes of determining net asset value. The net asset value of a Fund is calculated by the Custodian and determined as of the close of the regular trading session on the NYSE Arca (ordinarily 4:00 p.m. Eastern time) on each day that such exchange is open. Fixed-income assets are generally valued as of the announced closing time for trading in fixed-income instruments in a particular market or exchange. Creation/redemption order cut-off times may be earlier on any day that the Securities Industry and Financial Markets Association (or applicable exchange or market on which a Fund’s investments are traded) announces an early closing time. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at market rates on the date of valuation (generally as of 4:00 p.m. London time) as quoted by one or more sources.


		52

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV of each Fund, the Fund’s investments are generally valued using market valuations. A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer), (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer) or (iii) based on amortized cost. In the case of shares of other funds that are not traded on an exchange, a market valuation means such fund’s published net asset value per share. The Adviser may use various pricing services, or discontinue the use of any pricing service, as approved by the Board from time to time. A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation.

In the event that current market valuations are not readily available or such valuations do not reflect current market value, the Trust’s procedures require the Pricing and Investment Committee to determine a security’s fair value if a market price is not readily available. In determining such value the Pricing and Investment Committee may consider, among other things, (i) price comparisons among multiple sources, (ii) a review of corporate actions and news events, and (iii) a review of relevant financial indicators (e.g., movement in interest rates, market indices, and prices from each Fund’s Index Provider). In these cases, the Fund’s net asset value may reflect certain portfolio securities’ fair values rather than their market prices. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be realized upon the sale of the security. In addition, fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s benchmark Index. This may result in a difference between the Fund’s performance and the performance of the applicable Fund’s benchmark Index. With respect to securities that are primarily listed on foreign exchanges, the value of a Fund’s portfolio securities may change on days when you will not be able to purchase or sell your Shares.

Fixed income investments (other than short-term obligations), non-exchange traded derivatives and centrally cleared swaps held by a Fund are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services in accordance with procedures established by the Board. Prices obtained from independent pricing services use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Short-term investments maturing in 60 days or less are generally valued at amortized cost if their original term to maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if the original term exceeded 60 days.

Exchange traded options, futures and options on futures are valued at the settlement price or last trade price determined by the relevant exchange as of the NYSE Close. If a last trade price is not available, the value will be the mean of the bid and ask prices as of the NYSE Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the bid price as of the NYSE Close. In the case of options privately negotiated in the OTC market (“OTC options”) and such instruments that do not trade on an exchange, values may be supplied by a pricing service using a formula or other objective method that may take into consideration the style, direction, expiration, strike price, notional value and volatility or other special adjustments.

Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using 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 NYSE is closed and the market value may change on days when an investor is not able to purchase, redeem or exchange shares of a Fund.

Investments in open-end mutual funds are valued at the respective NAV of each open-end mutual fund as determined as of the NYSE Close on the Valuation Date. Such open-end mutual funds 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 market quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with procedures established by the Board.

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 re 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.


		53

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

•

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; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; 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 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.

The Board of the Trust generally reviews and approves the “Procedures for Valuation of Portfolio Investments” at least once a year. These procedures define how investments are to be valued, including the formation and activities of a Valuation Committee. The Valuation Committee, which is chaired by the Company’s Treasurer, is responsible for determining in good faith the fair value of investments when the value cannot be obtained from primary pricing services or alternative sources or if the valuation of an investment as provided by the primary pricing service or alternative source is believed not to reflect the investment’s fair value as of the Valuation Date. The Valuation Committee will consider all relevant factors in determining an investment’s fair value, and may seek the advice of such Fund’s sub-adviser, as applicable, knowledgeable brokers, and legal counsel in making such determination. The Valuation Committee reports to the Audit Committee of the Board. The Audit Committee receives quarterly written reports which include details of all fair-valued investments, including the reason for the fair valuation, and an indication, when possible, of the accuracy of the valuation by disclosing the next available reliable public price quotation or the disposition price of such investments (the “lookback” test). The Board then must consider for ratification all of the fair value determinations made during the previous quarter.

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.

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. Realized gains and losses are determined on the basis of identified cost.

Dividend income from domestic securities is accrued on the ex-dividend date. 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.

Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. The amount of foreign tax expense is included on the accompanying Statements of Operations as a reduction to net realized gain on investments in these securities, if applicable.

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.


		54

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

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 each Fund is to pay dividends from net investment income, if any, annually, but may vary significantly from period to period and realized gains, if any, at least once a year. Dividends may be declared and paid more frequently or at any other times to improve Index tracking or 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 (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes).

3.	Securities and Other Investments:

Illiquid and Restricted Investments – Each Fund is permitted to invest up to 15% of its net assets in illiquid investments. Illiquid investments are those that may not be sold or disposed of in the ordinary course of business within seven days, at approximately the price used to determine a Fund’s NAV. A Fund may not be able to sell illiquid investments when its sub-adviser considers it desirable to do so or may have to sell such investments at a price that is lower than the price that could be obtained if the investments were more liquid. A sale of illiquid investments may require more time and may result in higher dealer discounts and other selling expenses than does the sale of those that are liquid. Illiquid investments also may be more difficult to value due to the unavailability of reliable market quotations for such investments, and an investment in them may have an adverse impact on a Fund’s NAV. Each Fund may also purchase certain restricted investments that can only be resold to certain qualified investors and may be determined to be liquid pursuant to policies and guidelines established by the Board. See each Fund’s Schedule of Investments, if applicable, for illiquid or restricted investments as of March 31, 2017.

4.	Principal Risks:

A Fund’s investment undertakings expose it to various types of risk associated with financial instruments and the markets. The significant types of risks each Fund is exposed to include market and credit risk. Each Fund’s prospectus provides details of these and other types of risk.

Market Risk

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. When a Fund invests substantially all of its assets in a single market sector it assumes the risk that economic and political conditions affecting the market sector may have a significant impact on the Fund’s performance. 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.

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.


		55

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

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; 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; greater social, economic and political uncertainties. 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

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. Similar to 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.

5.	Federal Income Taxes:

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, 2017. Accordingly, no provision for federal income or excise taxes 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.

Capital Loss Carryforward – On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which made changes to the capital loss carryforward rules. The changes are effective for taxable years beginning after the date of enactment. Under the Act, funds are permitted to carry forward capital losses for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under prior regulation.

At September 30, 2016 (tax year end), the capital loss carryforwards for U.S. federal income tax purposes were as follows:


Fund	Unlimited Short-Term Capital Loss Carryforward		Unlimited Long-Term Capital Loss Carryforward
Multifactor Developed Markets (ex-US) ETF	$	1,978,358	$	460,500
Multifactor Emerging Markets ETF		3,089,147		472,367
Multifactor Global Small Cap ETF		541,751		99,934
Multifactor US Equity ETF		1,164,513		485,241

6.	Expenses:

Investment Management Agreement – Lattice Strategies LLC (“Lattice” or “Adviser”) serves as each Fund’s investment manager pursuant to an Investment Management Agreement with the Trust. Lattice is a wholly-owned subsidiary of Hartford Funds Management Company,


		56

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

LLC (“HFMC”), which is an indirect subsidiary of The Hartford Financial Services Group, Inc. (“The Hartford”). Lattice has overall investment supervisory responsibility for each Fund. In addition, Lattice provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. Lattice has contracted with Mellon Capital Management Corporation (“Mellon Capital”) under a sub-advisory agreement and Mellon Capital performs the daily investment of the assets of each Fund in accordance with the Fund’s investment objective and policies. Each Fund pays a fee to Lattice, a portion of which may be used to compensate Mellon Capital.

The schedule below reflects the rates of compensation paid to Lattice for investment management services rendered as of March 31, 2017; 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
Multifactor Developed Markets (ex-US) ETF		0.39%
Multifactor Emerging Markets ETF		0.59%
Multifactor Global Small Cap ETF		0.55%
Multifactor REIT ETF		0.45%
Multifactor US Equity ETF		0.29%

Prior to January 1, 2017, the Funds paid the following rates to Lattice for investment management services rendered:


Fund		Management Fee Rates
Multifactor Developed Markets (ex-US) ETF		0.50%
Multifactor Emerging Markets ETF		0.65%
Multifactor Global Small Cap ETF		0.60%
Multifactor REIT ETF		0.45%
Multifactor US Equity ETF		0.35%

From time to time, the Adviser may waive all or a portion of its fee. Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust, except (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) extraordinary expenses; (iv) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (v) the advisory fee payable to the Adviser hereunder. The payment or assumption by the Adviser of any expense of the Trust that the Adviser is not required by the Investment Advisory Agreement to pay or assume shall not obligate the Adviser to pay or assume the same or any similar expense of the Trust on any subsequent occasion.

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 percent of each Fund’s average daily net assets may be made for the sale and distribution of its Shares. Effective December 12, 2014, 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. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees increase the cost of your investment and they may cost you more than certain other types of sales charges.

For the period ended March 31, 2017, the Funds did not pay any Rule 12b-1 fees.

On December 8, 2016, the Board of the Trust approved an Amendment to the Advisory Agreement that resulted in the Advisor being contractually obligated to pay for the expenses that were previously reimbursed pursuant to the Expense Reimbursement Agreement. This Amendment was effective January 1, 2017. As a result of the Amendment, the Expense Reimbursement Agreement was no longer necessary and was terminated by the Board effective January 1, 2017.

7.	Securities Lending:

Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. and non-U.S. markets in an amount not to exceed one third (33¹⁄₃ percent) of the value of its total assets. The borrowers provide collateral that is marked to market daily, in an amount at least equal to the current market value of the securities loaned. A Fund may terminate a loan at any time and obtain the securities loaned. A Fund receives the value of any interest or cash or non-cash distributions paid on the loaned securities. A Fund cannot vote proxies for securities


		57

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

on loan, but may recall loans to vote proxies if a material issue affecting the Fund’s economic interest in the investment is to be voted upon. Distributions received on loaned securities in lieu of dividend payments (i.e., substitute payments) would not be considered qualified dividend income for federal income tax purposes. Should the borrower of the securities fail financially, a Fund may experience delays in recovering the securities or exercising its rights in the collateral. Loans are made only to borrowers that are deemed by the securities lending agent to be of good financial standing. In a loan transaction, a Fund will also bear the risk of any decline in value of securities acquired with cash collateral. Each Fund will minimize this risk by limiting the investment of cash collateral to high quality instruments of short maturity. This strategy is not used to leverage a Fund.

With respect to loans that are collateralized by cash, the borrower will be entitled to receive a fee based on the amount of cash collateral. A Fund is compensated by the difference between the amount earned on the reinvestment of cash collateral and the fee paid to the borrower. In the case of collateral other than cash, a Fund is compensated by a fee paid by the borrower equal to a percentage of the market value of the loaned securities. Any cash collateral may be reinvested in certain short-term instruments either directly on behalf of the lending Fund or through one or more joint accounts or money market funds, which may include those managed by the Adviser.

A Fund may pay a portion of the interest or fees earned from securities lending to a borrower as described above, and to one or more securities lending agents approved by the Board who administer the lending program for the Funds in accordance with guidelines approved by the Board. In such capacity, the lending agent causes the delivery of loaned securities from a Fund to borrowers, arranges for the return of loaned securities to the Fund at the termination of a loan, requests deposit of collateral, monitors the daily value of the loaned securities and collateral, requests that borrowers add to the collateral when required by the loan agreements, and provides recordkeeping and accounting services necessary for the operation of the program. State Street Bank and Trust Company (‘‘State Street’’) has been approved by the Board to serve as securities lending agent for the Funds and the Trust has entered into an agreement with State Street for such services. Among other matters, the Trust has agreed to indemnify State Street for certain liabilities. The Fund’s securities lending income that appears on the Statements of Operations is net of any fees paid to State Street for serving as the securities lending agent.

Securities lending involves exposure to certain risks, including operational risk (i.e., the risk of losses resulting from problems in the settlement and accounting process – especially so in certain international markets such as Taiwan), ‘‘gap’’ risk (i.e., the risk of a mismatch between the return on cash collateral reinvestments and the fees a Fund has agreed to pay a borrower), risk of loss of collateral, credit, legal, counterparty and market risk. Although State Street has agreed to provide a Fund with indemnification in the event of a borrower default, a Fund is still exposed to the risk of losses in the event a borrower does not return a Fund’s securities as agreed. For example, delays in recovery of lent securities may cause a Fund to lose the opportunity to sell the securities at a desirable price.

At March 31, 2017, the following Funds had securities on loan at value, cash collateral and non-cash collateral as follows:


Fund	Market Value of Securities on Loan		Cash Collateral		Non-Cash Collateral⁽¹⁾
Multifactor Developed Markets (ex-US) ETF	$	6,188,464	$	738,729	$	5,792,561
Multifactor Emerging Markets ETF		1,072,191		853,497		342,368
Multifactor Global Small Cap ETF		1,448,234		385,542		1,121,326
Multifactor US Equity ETF		3,117,822		254,548		2,937,002

⁽¹⁾

Amount consists of domestic and foreign equity securities.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2017. Multifactor REIT ETF had no securities on loan as of March 31, 2017.


		58

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

Multifactor Developed Markets (ex-US) ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	709,076	$	—	$	—	$	—	$	709,076

Total Borrowings	$	709,076	$	—	$	—	$	—	$	709,076

Gross amount of recognized liabilities for securities lending transactions									$	709,076

⁽¹⁾

Amount represents the payable for cash collateral received on securities on loan. This will generally be in the “Overnight and Continuous” column as the securities are typically callable on demand.

Multifactor Emerging Markets ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	780,775	$	—	$	—	$	—	$	780,775

Total Borrowings	$	780,775	$	—	$	—	$	—	$	780,775

Gross amount of recognized liabilities for securities lending transactions									$	780,775

⁽¹⁾

Multifactor Global Small Cap ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	381,418	$	—	$	—	$	—	$	381,418

Total Borrowings	$	381,418	$	—	$	—	$	—	$	381,418

Gross amount of recognized liabilities for securities lending transactions									$	381,418

⁽¹⁾

Multifactor US Equity ETF

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions⁽¹⁾
Common Stocks	$	251,236	$	—	$	—	$	—	$	251,236

Total Borrowings	$	251,236	$	—	$	—	$	—	$	251,236

Gross amount of recognized liabilities for securities lending transactions									$	251,236

⁽¹⁾


		59

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

8.	Administrator, Custodian and Transfer Agent:

State Street Bank serves as Administrator for the Trust pursuant to an administration agreement (‘‘Administration Agreement’’) dated December 12, 2014. Under the Administration Agreement, State Street Bank is responsible for certain administrative services associated with the day-to-day operations of each Fund. State Street also serves as Custodian for the Funds pursuant to a custodian agreement dated December 12, 2014. 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 also serves as Transfer Agent of each Fund pursuant to a transfer agency agreement dated December 12, 2014. 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.

9.	Investment Transactions:

For the six-month period ended March 31, 2017, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows:


Fund	Cost of Purchases		Sales Proceeds
Multifactor Developed Markets (ex-US) ETF	$	31,879,487	$	10,232,975
Multifactor Emerging Markets ETF		9,913,163		5,926,053
Multifactor Global Small Cap ETF		2,151,784		2,194,971
Multifactor REIT ETF		953,347		1,754,997
Multifactor US Equity ETF		7,836,912		14,381,849

For the six-month period ended March 31, 2017 in-kind transactions, which are not included in the table above, associated with Creation Units were:


Fund	Cost of Purchases		Sales Proceeds		Realized Gain/(Loss)
Multifactor Developed Markets (ex-US) ETF	$	21,775,492	$	—	$	—
Multifactor Emerging Markets ETF		6,653,863		—		—
Multifactor REIT ETF		5,925,096		701,789		58,582
Multifactor US Equity ETF		2,877,615		9,481,912		1,885,877

10.

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 the 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. The 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 pay a transaction fee to the shareholder servicing agent 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.

Purchase or redemption of Creation Units is only available to an Authorized Participant through a broker, dealer, bank or other entity that is 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.


		60

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

If a Creation Unit is purchased or redeemed for cash, a higher transaction fee will be charged. The following table discloses Creation Unit breakdown:


Fund	Creation Unit Shares		Creation Fee		Value at March 31, 2017		Redemption Fee
Multifactor Developed Markets (ex-US) ETF		100,000	$	4,000	$	2,537,000	$	4,000
Multifactor Emerging Markets ETF		100,000		2,500		2,246,000		2,500
Multifactor Global Small Cap ETF		100,000		3,000		2,753,000		3,000
Multifactor REIT ETF		100,000		500		1,505,000		500
Multifactor US Equity ETF		50,000		1,000		1,340,000		1,000

Shares are listed on the NYSE Arca and 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 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 NAV upon sale of shares.

As an ETF, individual Fund Shares may only be purchased and sold on the NYSE Arca through a broker-dealer. The price of Fund 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). Multifactor Developed Markets (ex-US) ETF, Multifactor Emerging Markets ETF, Multifactor Global Small Cap ETF, and Multifactor REIT ETF will only issue or redeem Creation Units (100,000 shares) to Authorized Participants who have entered into agreements with the Fund’s distributor. Multifactor US Equity ETF will only issue or redeem Creation Units (50,000 shares) to Authorized Participants who have entered into agreements with the Fund’s distributor. The Funds generally will issue or redeem Creation Units in return for a designated Fund 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 NYSE Arca will disseminate, every fifteen seconds during the regular trading day, an indicative optimized fund value (“IOPV”) relating to the Funds. The IOPV calculations are estimates of the value of the Funds’ net asset value per Share using market data converted into U.S. dollars at the current currency rates. The IOPV price is based on quotes and closing prices from the securities’ local market and may not reflect events that occur subsequent to the local market’s close. Premiums and discounts between the IOPV and the market price may occur. This should not be viewed as a “real-time” update of the net asset value per Share of the Funds, which is calculated only once a day. Neither the Funds, nor the Adviser or any of their affiliates are involved in, or responsible for, the calculation or dissemination of such IOPVs and make no warranty as to their accuracy.

The following information is for the six-month period ended March 31, 2017, and the year ended September 30, 2016:


Multifactor Developed Markets (ex-US) ETF
	For the Six-Month Period Ended March 31, 2017				For the Year Ended September 30, 2016
	Shares		Amount		Shares			Amount
Shares Sold		900,000	$	21,914,659		300,000		$	7,252,803
Shares Redeemed		—		—		(100,000	)		(2,310,851	)

Net Increase (Decrease)		900,000		21,914,659		200,000			4,941,952


		61

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)



Multifactor Emerging Markets ETF
	For the Six-Month Period Ended March 31, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		500,000		$	10,757,617			500,000		$	10,265,662
Shares Redeemed		—			—			(400,000	)		(8,427,369	)

Net Increase (Decrease)		500,000			10,757,617			100,000			1,838,293


Multifactor Global Small Cap ETF
	For the Six-Month Period Ended March 31, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		—		$	—			100,000		$	2,414,035

Net Increase (Decrease)		—			—			100,000			2,414,035


Multifactor REIT ETF
	For the Period Ended March 31, 2017⁽¹⁾
	Shares			Amount
Shares Sold		400,000		$	5,928,331
Shares Redeemed		(100,000	)		(1,481,724	)

Net Increase (Decrease)		300,000			4,446,607

⁽¹⁾

Commenced operations on October 24, 2016.



Multifactor US Equity ETF
	For the Six-Month Period Ended March 31, 2017						For the Year Ended September 30, 2016
	Shares			Amount			Shares			Amount
Shares Sold		100,000		$	2,703,391			550,000		$	12,720,535
Shares Redeemed		(350,000	)		(9,254,707	)		(400,000	)		(9,449,506	)

Net Increase (Decrease)		(250,000	)		(6,551,316	)		150,000			3,271,029

11.

Pending Legal Proceedings:

On February 25, 2011, Jennifer L. Kasilag, Louis Mellinger, Judith M. Menendez, Jacqueline M. Robinson, and Linda A. Russell filed a derivative lawsuit against Hartford Investment Financial Services, LLC (“HIFSCO”) (now known as Hartford Funds Distributors, LLC) on behalf of six Hartford retail mutual funds in the United States District Court for the District of New Jersey, alleging that HIFSCO received excessive advisory and distribution fees in violation of its statutory fiduciary duty under Section 36(b) of the 1940 Act when serving as investment manager and principal underwriter, respectively, to the Hartford retail mutual funds. Although this action was purportedly filed on behalf of certain of the Hartford Funds, none of the Hartford Funds is itself a defendant to the suit. HIFSCO moved to dismiss and, in September 2011, the motion was granted in part and denied in part, with leave to amend the complaint. In November 2011, plaintiffs filed an amended complaint on behalf of certain Hartford retail mutual funds, The Hartford Global Health Fund (now known as The Hartford Healthcare Fund), The Hartford Conservative Allocation Fund, The Hartford Growth Opportunities Fund, The Hartford Inflation Plus Fund, The Hartford Advisers Fund (now known as The Hartford Balanced Fund), and The Hartford Capital Appreciation Fund. Plaintiffs seek to


		62

Multifactor ETFs

Notes to Financial Statements – (continued)

March 31, 2017 (Unaudited)

rescind the investment management agreements and distribution plans between HIFSCO and these funds and to recover the total fees charged thereunder or, in the alternative, to recover any improper compensation HIFSCO received, in addition to lost earnings. HIFSCO filed a partial motion to dismiss the amended complaint and, in December 2012, the court dismissed without prejudice the claims regarding distribution fees and denied the motion with respect to the advisory fees claims. In March 2014, the plaintiffs filed a new complaint, among other things, added as new plaintiffs The Hartford Floating Rate Fund and The Hartford Small Company Fund and named as a defendant Hartford Funds Management Company, LLC (“HFMC”), which assumed the role as investment manager to the funds as of January 2013. In June 2015, HFMC and HIFSCO moved for summary judgment, and plaintiffs cross-moved for partial summary judgment with respect to The Hartford Capital Appreciation Fund. In March 2016, the court, in large part, denied summary judgment for all parties. The court granted judgment for HFMC and HIFSCO with respect to all claims made by The Hartford Small Company Fund and certain claims made by The Hartford Floating Rate Fund. The court further ruled that the appropriate measure of damages on the surviving claims is the difference, if any, between the actual advisory fees paid through trial and those that could have been paid under the applicable legal standard. A bench trial on the issue of liability was held in November 2016 and a decision is expected in 2017. On February 28, 2017, the court granted judgment for HIFSCO and HFMC as to all claims. Plaintiffs have appealed to the United States Court of Appeals for the Third Circuit.

No accrual for litigation relating to this matter has been recorded in the financial statements of the Funds because the Funds are not party to the suit.

12.

Subsequent Events:

Management has evaluated all subsequent transactions and events through the date on which this statement was issued and has determined that no additional items require adjustment to or disclosure in these financial statements.


		63

Multifactor ETFs

General Information (Unaudited)

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 888-843-7824 and (2) on the SEC’s website at http://www.sec.gov.

QUARTERLY PORTFOLIO HOLDINGS INFORMATION (UNAUDITED)

Each Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available (1) without charge, upon request, by calling 888-843-7824 and (2) on the SEC’s website at http://www.sec.gov. The Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.


		64

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 proper written 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

b) the integrity of;

Personal Information that we have. We use these procedures to guard against unauthorized access.

Some techniques we use to protect Personal Information include:

a) secured files;

b) user authentication;

c) encryption;

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;

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:

a) credit history;

b) income;

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:

a) your Application;

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) asking about;

b) applying for; or

c) obtaining;

a financial product or service from us if the product or service is used mainly for personal, family, or household purposes.

This Customer Privacy Notice is being provided on behalf of The Hartford Financial Services Group, Inc. and its affiliates, to the extent required by the Gramm-Leach-Bliley Act and implementing regulations.

1stAGChoice, Inc.; Access CoverageCorp, Inc.; Access CoverageCorp Technologies, Inc.; American Maturity Life Insurance Company; Archway 60 R, LLC; Business Management Group, Inc.; DMS R, LLC; First State Insurance Company; Fountain Investors I LLC; Fountain Investors II LLC; Fountain Investors III LLC; Fountain Investors IV LLC; FP R, LLC (Delaware); FTC Resolution Company LLC; Hart Re Group L.L.C.; Hartford Accident and Indemnity Company; Hartford Administrative Services Company; Hartford Casualty General Agency, Inc.; Hartford Casualty Insurance Company; Hartford Financial Services, LLC; Hartford Fire General Agency, Inc.; Hartford Fire Insurance Company; Hartford Funds Distributors, LLC; Hartford Funds Management Company, LLC; Hartford Funds Management Group, Inc.; Hartford Group Benefits Holding Company; Hartford Holdings, Inc.; Hartford HLS Series Fund II, Inc.; Hartford Insurance Company of Illinois; Hartford Insurance Company of the Midwest; Hartford Insurance Company of the Southeast; Hartford Integrated Technologies, Inc.; Hartford International Life Reassurance Corporation; Hartford Investment Management Company; Hartford Life and Accident Insurance Company; Hartford Life and Annuity Insurance Company; Hartford Life Insurance Company; Hartford Life, Inc.; Hartford Life International Holding Company; Hartford Life Private Placement, LLC; Hartford Lloyd’s Corporation; Hartford Lloyd’s Insurance Company; Hartford of Texas General Agency, Inc.; Hartford Residual Market, L.C.C.; Hartford Securities Distribution Company, Inc.; Hartford Series Fund, Inc.; Hartford Specialty Insurance Services of Texas, LLC; Hartford Strategic Investments, LLC; Hartford Underwriters General Agency, Inc.; Hartford Underwriters Insurance Company; Hartford-Comprehensive Employee Benefit Service Company; HDC R, LLC .; Heritage Holdings, Inc.; HIMCO Distribution Services Company; HIMCO Variable Insurance Trust; HLA LLC; HL Investment Advisors, LLC; Horizon Management Group, LLC; HRA Brokerage Services, Inc.; Lanidex Class B, LLC; ; Lanidex R, LLC (Delaware); Lattice Strategies LLC; Maxum Casualty Insurance Company; Maxum Indemnity Company; Maxum Specialty Services Corporation; MPC Resolution Company LLC; New England Insurance Company; New England Reinsurance Corporation; Northern Homelands Company; Nutmeg Insurance Agency, Inc.; Nutmeg Insurance Company; Pacific Insurance Company, Limited; Property and Casualty Insurance Company of Hartford; Sentinel Insurance Company, Ltd.; Trumbull Flood Management, L.L.C.; Trumbull Insurance Company; Twin City Fire Insurance Company.

Revised March 2017

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. Such offering is only made by prospectus, which includes details as to the offering price and other material information.

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 (if available), which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.

Lattice Strategies LLC (Lattice), a wholly owned subsidiary of Hartford Funds Management Company, LLC (HFMC), serves as the investment adviser to strategic beta exchange-traded funds (ETFs). The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Lattice or HFMC.

ETFSAR-MLT17 05/17 201269 LAT000652 Printed in U.S.A.

LOGO

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Disclosure of Audit Committees for Listed Companies.

Not applicable for semi-annual reports.

Item 6. Schedule of Investments.

(a)	The schedule of investments is included as part of the report to shareholders filed under Item 1 of this Form.

(b)	Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

Registrant has not adopted any material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board.

Item 11. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-CSR, Darek Wojnar, the registrant’s President and Principal Executive Officer, and Albert Lee, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) and evaluated their effectiveness. Based on their review, Mr. Wojnar and Mr. Lee determined that the disclosure controls and procedures adequately ensure that information required to be disclosed by the registrant in its periodic reports is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission.

(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) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable.

(a)(2) Separate certifications required by Rule 30a-2 under the 1940 Act for each principal executive officer and principal financial officer of the registrant are attached.

(a)(3) Not applicable

(b) A single certification required by Rule 30a-2(b) under the 1940 Act, Rule 13a-14(b) or Rule 15d-14(b) under the Securities Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United States Code for the principal executive officer and principal financial officer of the registrant is attached.

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.


Lattice Strategies Trust

By:		/s/ Darek Wojnar
		Darek Wojnar
		President and Principal Executive Officer

Date:		June 5, 2017

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.


By:		/s/ Darek Wojnar
		Darek Wojnar
		President and Principal Executive Officer

Date:		June 5, 2017


By:		/s/ Albert Lee
		Albert Lee
		Treasurer and Principal Financial Officer

Date:		June 5, 2017