A MESSAGE FROM THE PRESIDENT

Dear Shareholders:

Thank you for investing in Hartford Multifactor Exchange-Traded Funds. The following is the Funds’ Semi-Annual Report that covers the period from October 1, 2019 through March 31, 2020.

Market Review

During the six months ended March 31, 2020, U.S. stocks, as measured by the S&P 500 Index,¹ lost 12.31%. The results for the period clearly reflect the impact of the

 

Fund Overview			2
Benchmark Glossary			9
Expense Examples			10
Financial Statements:
Schedules of Investments:
Hartford Multifactor Developed Markets (ex-US) ETF			11
Hartford Multifactor Diversified International ETF (formerly, Hartford Multifactor Low Volatility International Equity ETF)			17
Hartford Multifactor Emerging Markets ETF			22
Hartford Multifactor Low Volatility US Equity ETF			26
Hartford Multifactor REIT ETF			30
Hartford Multifactor Small Cap ETF (formerly, Hartford Multifactor Global Small Cap ETF)			32
Hartford Multifactor US Equity ETF			37
Glossary			42
Statements of Assets and Liabilities			43
Statements of Operations			45
Statements of Changes in Net Assets			47
Financial Highlights			50
Notes to Financial Statements			53
How to Obtain a Copy of each Fund’s Proxy Voting Policies and Voting Records			68
Quarterly Portfolio Holdings Information			68

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				5 Year				Since Inception2
Multifactor Developed Markets (ex-US) ETF (NAV Return)			-19.58%				-19.15%				0.34%				0.06%
Multifactor Developed Markets (ex-US) ETF (Market Price Return)			-19.99%				-19.46%				0.27%				0.02%
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index			-19.53%				-19.11%				0.48%				0.21%
MSCI World ex USA Index (Net)			-17.23%				-14.89%				-0.76%				-1.06%

 

1	Not Annualized

2	Inception: 02/25/2015

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater in particular geographic regions or countries. • Investments focused in a sector, industry or group of industries may increase volatility and risk. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			8.9	%
Consumer Discretionary			10.2
Consumer Staples			10.7
Energy			3.3
Financials			18.9
Health Care			13.3
Industrials			12.1
Information Technology			4.9
Materials			4.6
Real Estate			5.6
Utilities			6.5
Total			99.0	%
Short-Term Investments			1.2
Other Assets & Liabilities			(0.2	)
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				Since Inception2
Multifactor Diversified International Equity ETF (NAV Return)			-22.76%				-20.94%				-4.52%
Multifactor Diversified International Equity ETF (Market Price Return)			-22.51%				-21.01%				-4.43%
Hartford Multifactor Diversified International Index3			-21.77%				—				-23.71%	5
Hartford Multifactor Diversified International Spliced Index4			-22.71%				-20.81%				-4.38%
MSCI ACWI ex USA Index (Net)			-16.52%				-15.57%				-3.32%

 

1	Not Annualized

2	Inception: 05/10/2017

3

Effective 11/06/2019, the Fund changed its proprietary custom benchmark index to the Hartford Multifactor Diversified International Index from the Hartford Multifactor Low Volatility International Equity Index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s investment strategy.

4

The Hartford Multifactor Diversified International Spliced Index is calculated by Lattice. The returns for the Spliced Index from 11/06/2019 to 03/31/2020 represent the Hartford Multifactor Diversified International Index and returns prior to 11/06/2019 represent the Hartford Multifactor Low Volatility International Equity Index.

5	The Hartford Multifactor Diversified International Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

Information regarding how often shares of the Fund traded on Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 100,000 Shares.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.29%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets. • Investments focused in a sector, industry or group of industries may increase volatility and risk. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			9.3	%
Consumer Discretionary			9.5
Consumer Staples			8.1
Energy			4.5
Financials			21.0
Health Care			12.5
Industrials			9.9
Information Technology			9.3
Materials			5.1
Real Estate			5.5
Utilities			4.6
Total			99.3	%
Short-Term Investments			1.1
Other Assets & Liabilities			(0.4	)
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				5 Year				Since Inception2
Multifactor Emerging Markets ETF (NAV Return)			-23.31%				-26.21%				-5.19%				-5.53%
Multifactor Emerging Markets ETF (Market Price Return)			-24.15%				-27.49%				-5.51%				-5.81%
Hartford Multifactor Emerging Markets Equity Index			-23.25%				—				—				-27.63%	3
Hartford Multifactor Emerging Markets Equity Spliced Index4			-23.25%				-25.94%				-4.70%				-5.04%
MSCI Emerging Markets Index (Net)			-14.55%				-17.69%				-0.37%				-0.69%

 

1	Not Annualized

2	Inception: 02/25/2015

3	Inception: 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

4

The performance of Hartford Multifactor Emerging Markets Equity Spliced Index reflects the performance of the Hartford Risk-Optimized Multifactor Emerging Markets Index through 09/11/2019, and the performance of the Hartford Multifactor Emerging Market Index for the period from 09/11/2019 though 03/31/2020.

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 100,000 Shares.

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.

Effective September 11, 2019, the Fund changed its proprietary custom benchmark index to Hartford Multifactor Emerging Markets Equity Index from Hartford Risk-Optimized Multifactor Emerging Markets Index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s revised investment strategy. Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.44%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Foreign investments may be more volatile and less liquid than U.S. investments and are subject to the risk of currency fluctuations and adverse political and economic developments. These risks may be greater for investments in emerging markets. • Investments focused in a sector, industry or group of industries may increase volatility and risk. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			11.1	%
Consumer Discretionary			12.7
Consumer Staples			6.5
Energy			6.0
Financials			23.9
Health Care			4.3
Industrials			5.4
Information Technology			16.0
Materials			7.0
Real Estate			2.6
Utilities			3.3
Total			98.8	%
Short-Term Investments			0.2
Other Assets & Liabilities			1.0
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				Since Inception2
Multifactor Low Volatility US Equity ETF (NAV Return)			-20.67%				-13.85%				0.82%
Multifactor Low Volatility US Equity ETF (Market Price Return)			-20.84%				-13.95%				0.79%
Hartford Multifactor Low Volatility US Equity Index			-20.73%				-13.80%				0.99%
MSCI USA IMI (Gross)			-13.77%				-9.18%				3.60%

 

1	Not Annualized

2	Inception: 05/10/2017

Information regarding how often shares of the Fund traded on Cboe BZX at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • The Fund may experience more than a minimum level of volatility as there is no guarantee that the underlying index’s strategy of seeking to lower volatility will be successful. • Investments focused in a sector, industry or group of industries may increase volatility and risk. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			10.3	%
Consumer Discretionary			13.3
Consumer Staples			9.8
Energy			4.9
Financials			4.8
Health Care			10.1
Industrials			15.3
Information Technology			12.5
Materials			10.0
Real Estate			5.6
Utilities			3.2
Total			99.8	%
Short-Term Investments			0.4
Other Assets & Liabilities			(0.2	)
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				Since Inception2
Multifactor REIT ETF (NAV Return)			-32.21%				-27.76%				-4.60%
Multifactor REIT ETF (Market Price Return)			-32.55%				-28.20%				-4.75%
Hartford Risk-Optimized Multifactor REIT Index			-32.33%				-27.70%				-4.27%
MSCI US REIT Index (Gross)			-27.56%				-20.99%				-2.66%

 

1	Not Annualized

2	Inception: 10/03/2016

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.45%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • A concentration in real estate securities, such as REITs, may subject a 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 may invest in a smaller number of issuers, so it may be more exposed to risks and volatility than a more broadly diversified fund. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Real Estate			99.3	%
Short-Term Investments			1.4
Other Assets & Liabilities			(0.7	)
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				5 Year				Since Inception2
Multifactor Small Cap ETF (NAV Return)			-26.63%				-28.22%				-1.26%				-1.38%
Multifactor Small Cap ETF (Market Price Return)			-26.53%				-28.19%				-1.33%				-1.40%
Hartford Multifactor Small Cap Index3			-26.46%				—				—				-25.51%	5
Hartford Multifactor Small Cap Spliced Index4			-26.50%				-28.02%				-0.81%				-0.93%
Russell 2000 Index (Gross)			-23.72%				-23.99%				-0.25%				-0.42%
MSCI ACWI Small Cap Index (Net)			-23.39%				-23.07%				-0.49%				-0.67%

 

1	Not Annualized

2	Inception: 03/23/2015

3

Effective 11/06/2019, the Fund changed its proprietary custom benchmark index from Hartford Risk-Optimized Multifactor Global Small Cap Index to Hartford Multifactor Small Cap Index and changed its underlying reference index because Lattice, the Fund’s investment adviser, believes that the new indices better reflect the Fund’s revised investment strategy.

4	The Hartford Multifactor Small Cap Spliced Index is calculated by Lattice. The returns for the Spliced Index from 11/06/2019 to 03/31/2020 represent the Hartford Multifactor Small Cap Index and returns prior 11/06/2019 represent the Hartford Risk-Optimized Multifactor Global Small Cap Index.

5	The Hartford Multifactor Small Cap Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 50,000 Shares.

The index is unmanaged, and its results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.34%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

Investing involves risk, including the possible loss of principal. Security prices fluctuate in value depending on general market and economic conditions and the prospects of individual companies. • Small cap securities can have greater risk and volatility than large-cap securities. • Investments focused in a sector, industry or group of industries may increase volatility and risk. • The Fund is not actively managed but rather attempts to track the performance of an index. The Fund’s returns may diverge from that of the index.

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			2.8	%
Consumer Discretionary			11.9
Consumer Staples			7.6
Energy			1.8
Financials			15.0
Health Care			18.1
Industrials			14.4
Information Technology			15.4
Materials			5.2
Real Estate			5.9
Utilities			1.0
Total			99.1	%
Short-Term Investments			1.5
Other Assets & Liabilities			(0.6	)
Total			100.0	%

 

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

 

Average Annual Total Returns

for the Periods Ending 03/31/20

 

		6 Months1				1 Year				5 Year				Since Inception2
Multifactor US Equity ETF (NAV Return)			-18.11%				-13.74%				2.90%				2.77%
Multifactor US Equity ETF (Market Price Return)			-18.18%				-13.83%				2.86%				2.76%
Hartford Multifactor Large Cap Index			-18.08%				—				—				-16.10%	3
Hartford Multifactor Large Cap Spliced Index4			-18.08%				-13.64%				3.08%				2.94%
Russell 1000 Index (Gross)			-13.01%				-8.03%				6.22%				5.75%
MSCI USA Index (Gross)			-12.31%				-7.14%				6.55%				6.04%

 

1	Not Annualized

2	Inception: 02/25/2015

3	The Hartford Multifactor Large Cap Index commenced operations on 06/28/2019. Reflects cumulative returns from 06/28/2019 to 03/31/2020.

4	The performance of the Hartford Multifactor Large Cap Spliced Index reflects the performance of the Hartford Risk-Optimized Multifactor US Equity Index through 09/11/2019, and the performance of the Hartford Multifactor Large Cap Index for the period from 09/11/2019 though 03/31/2020.

Information regarding how often shares of the Fund traded on NYSE Arca at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund can be found at hartfordfunds.com.

PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. The investment return and principal value of the investment will fluctuate so that investors’ shares, when redeemed or sold, may be worth more or less than their original cost. The table does not reflect the deductions of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Current performance may be lower or higher than the performance data quoted. To obtain performance data current to the most recent month-end, please visit our website hartfordfunds.com.

Total returns 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.

The Fund’s 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 Fund and tender those shares for redemption to the Fund in Creation Unit aggregations only, typically consisting of 25,000 Shares.

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.

Effective September 11, 2019, the Fund changed its proprietary custom benchmark index from Hartford Risk-Optimized Multifactor US Equity Index to Hartford Multifactor Large Cap Index and its underlying reference index because Lattice, the Fund’s investment adviser, believes that the new index better reflects the Fund’s revised investment strategy. Performance information prior to September 11, 2019 reflects the Fund’s performance when it tracked its prior index.

You cannot invest directly in an index.

See “Benchmark Glossary” for a detailed list of benchmarks and descriptions used in this report.

The total annual fund operating expense ratio as shown in the Fund’s most recent prospectus was 0.19%. Actual expenses may be higher or lower. Please see the accompanying Financial Highlights for expense ratios for the period ended March 31, 2020.

Important Risks

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

Composition by Sector ⁽¹⁾

as of March 31, 2020

 

Sector		Percentage of Net Assets
Equity Securities
Communication Services			8.3	%
Consumer Discretionary			7.3
Consumer Staples			9.0
Energy			1.7
Financials			11.5
Health Care			17.4
Industrials			7.1
Information Technology			22.8
Materials			3.8
Real Estate			5.1
Utilities			5.7
Total			99.7	%
Short-Term Investments			1.9
Other Assets & Liabilities			(1.6	)
Total			100.0	%

 

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

 

Hartford Multifactor Diversified International Index seeks to enhance return potential available from investment in developed market (excluding the US) and emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.

Hartford Multifactor Emerging Markets Equity Index seeks to enhance return potential available from investment in emerging market companies while reducing volatility by up to fifteen-percent over a complete market cycle.

Hartford Multifactor Large Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete market cycle.

Hartford Multifactor Low Volatility International Equity Index seeks to address risks and opportunities within developed (excluding the U.S.) and emerging market stocks by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum, quality and size factors.

Hartford Multifactor Low Volatility US Equity Index seeks to address risks and opportunities within U.S. equities across the capitalization spectrum by selecting equity securities exhibiting low volatility and constructing the portfolio in a way that is designed to improve overall exposure to value, momentum and quality factors.

Hartford Multifactor Small Cap Index seeks to enhance return potential available from investment in the initial capitalization-weighted universe while reducing volatility by up to fifteen-percent over a complete

market cycle.

Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index seeks to address risks and opportunities within developed market stocks located outside the United States by selecting equity securities exhibiting a favorable combination of factors, including value, momentum, and quality.

Hartford Risk-Optimized Multifactor Emerging Markets Index seeks to balance risks within and across the equity markets of emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

Hartford Risk-Optimized Multifactor Global Small Cap Index seeks to address risks and opportunities within global small cap stocks by selecting equity securities of companies domiciled within the global small cap equity universe and exhibiting a favorable combination of factors, including value, momentum, and quality.

Hartford Risk-Optimized Multifactor REIT Index seeks to address risks and opportunities within U.S.-focused equity Real Estate Investment Trusts (REITs) by selecting securities with a favorable combination of factors, including quality, momentum, and value.

Hartford Risk-Optimized Multifactor US Equity Index seeks to improve returns through a market cycle relative to traditional cap-weighted U.S. large cap market indices and active U.S. large cap market strategies.

These indices are unmanaged, and their results include reinvested dividends and/or distributions, but do not reflect the effect of sales charges, commissions, expenses or taxes.

MSCI ACWI ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across developed markets (excluding the United States) and emerging market countries.

MSCI ACWI Small Cap Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture small cap representation across developed markets and emerging markets countries.

MSCI Emerging Markets Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is designed to capture large and mid cap representation across emerging market countries.

MSCI USA Index (Gross) (reflects no deduction for fees, expenses or taxes) is a free float-adjusted market capitalization index that is designed to measure the performance of the large and mid cap segments of the U.S. market.

MSCI US REIT Index (Gross) (reflects no deduction for fees, expenses or taxes) is a free float-adjusted market capitalization weighted index that is comprised of equity REITs.

MSCI USA Investable Market Index (IMI) (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the large, mid and small cap segments of the U.S. market.

MSCI World ex USA Index (Net) (reflects reinvested dividends net of withholding taxes but reflects no deduction for fees, expenses or other taxes) is a free float-adjusted market capitalization index that is designed to capture large and mid cap representation across developed markets countries – excluding the United States.

Neither MSCI nor any other party involved in or related to compiling, computing or creating the MSCI data makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such data. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any third party involved in or related to compiling, computing or creating the data have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages. No further distribution or dissemination of the MSCI data is permitted without MSCI’s express written consent.

Russell 1000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest U.S. companies based on total market capitalizations.

The Russell 2000 Index (Gross) (reflects no deduction for fees, expenses or taxes) is an index comprised of 2,000 of the smallest U.S.-domiciled company common stocks based on a combination of their market capitalization and current index membership.

 

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0%
				Australia - 7.3%
	925,559			AGL Energy Ltd.		$	9,737,938
	248,277			Ansell Ltd.			4,131,737
	246,379			Australia & New Zealand Banking Group Ltd.			2,557,505
	610,877			Bendigo & Adelaide Bank Ltd.			2,344,274
	443,061			BHP Group Ltd.			7,858,668
	1,704,389			BlueScope Steel Ltd.			9,002,571
	553,266			Caltex Australia Ltd.			7,558,145
	298,025			CIMIC Group Ltd.			4,240,945
	1,058,288			Coca-Cola Amatil Ltd.			5,725,892
	45,840			Cochlear Ltd.			5,259,168
	269,071			Computershare Ltd.			1,599,091
	37,182			CSL Ltd.			6,751,621
	679,338			Dexus REIT			3,779,521
	751,975			Downer EDI Ltd.			1,371,534
	74,133			Flight Centre Travel Group Ltd.(1)(2)(7)			404,683
	1,350,650			Fortescue Metals Group Ltd.			8,266,656
	1,472,991			GPT Group REIT			3,272,606
	282,208			JB Hi-Fi Ltd.(1)			4,836,313
	1,886,809			Link Administration Holdings Ltd.			3,730,074
	5,946			Macquarie Group Ltd.			312,066
	2,955,579			Mirvac Group REIT			3,780,732
	5,073,890			Qantas Airways Ltd.			10,030,685
	54,453			Ramsay Health Care Ltd.			1,909,026
	2,723,528			Scentre Group REIT			2,608,755
	327,285			Sonic Healthcare Ltd.			4,873,660
	234,949			Suncorp Group Ltd.			1,312,899
	3,274,868			Telstra Corp. Ltd.			6,153,457
	495,751			Wesfarmers Ltd.			10,398,357
	452,962			Woolworths Group Ltd.			9,730,965
							143,539,544
				Austria - 0.2%
	30,847			Oesterreichische Post AG			1,103,409
	49,282			OMV AG			1,360,519
	63,411			UNIQA Insurance Group AG			491,219
							2,955,147
				Belgium - 2.1%
	7,582			Ackermans & van Haaren N.V.			987,507
	288,725			Ageas			12,010,025
	109,879			Colruyt S.A.			5,940,227
	19,926			Elia Group S.A.			1,948,066
	27,685			KBC Ancora			778,876
	148,936			KBC Group N.V.			6,866,912
	343,409			Proximus SADP			7,863,934
	9,512			Sofina S.A.			1,939,203
	24,223			UCB S.A.			2,099,717
							40,434,467
				Canada - 10.3%
	186,700			Air Canada*			2,065,918
	60,121			Algonquin Power & Utilities Corp.			800,431
	284,839			Alimentation Couche-Tard, Inc. Class B			6,633,936
	323,714			AltaGas Ltd.			2,899,746
	89,232			Atco Ltd. Class I			2,443,089
	199,071			Bank of Montreal			9,938,515
	77,261			Bank of Nova Scotia			3,119,535
	170,618			Barrick Gold Corp.			3,099,857
	237,459			BCE, Inc.			9,631,158
	158,329			Canadian Apartment Properties REIT			4,737,578
	29,628			Canadian Imperial Bank of Commerce			1,706,886
	55,662			Canadian Tire Corp. Ltd. Class A			3,321,692
	150,140			Canadian Utilities Ltd. Class A			3,548,466
	153,671			Capital Power Corp.			2,931,231
	185,257			CGI, Inc.*			9,916,557
	60,173			Emera, Inc.			2,346,297

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0% - (continued)
				Canada - 10.3% - (continued)
	236,019			Empire Co., Ltd. Class A		$	4,565,007
	2,918			Fairfax Financial Holdings Ltd.			884,472
	31,597			Fortis, Inc.			1,204,742
	93,599			Genworth MI Canada, Inc.			2,056,304
	80,957			George Weston Ltd.			5,723,612
	328,988			Great-West Lifeco, Inc.			5,618,926
	38,209			Husky Energy, Inc.			95,029
	127,952			Hydro One Ltd.(3)			2,277,938
	136,355			iA Financial Corp., Inc.			4,238,132
	83,467			Imperial Oil Ltd.			932,982
	43,204			Intact Financial Corp.			3,691,926
	1,591,827			Kinross Gold Corp.*			6,318,771
	243,619			Loblaw Cos., Ltd.			12,417,577
	32,507			Magna International, Inc.			1,025,671
	554,604			Manulife Financial Corp.			6,885,062
	135,293			Metro, Inc.			5,409,439
	45,341			National Bank of Canada			1,732,601
	39,811			Northland Power, Inc.			785,675
	45,578			Onex Corp.			1,649,435
	33,269			Open Text Corp.			1,150,221
	264,077			Parkland Fuel Corp.			4,603,049
	588,545			Power Corp. of Canada(1)			9,361,477
	192,496			Quebecor, Inc. Class B			4,207,363
	313,180			RioCan Real Estate Investment Trust REIT			3,549,087
	151,230			Rogers Communications, Inc. Class B			6,241,086
	120,096			Royal Bank of Canada			7,355,020
	88,375			Saputo, Inc.			2,101,107
	84,788			Shaw Communications, Inc. Class B			1,359,968
	139,641			Stantec, Inc.			3,531,862
	297,745			Sun Life Financial, Inc.			9,469,854
	128,845			Suncor Energy, Inc.			2,033,132
	19,532			TC Energy Corp.(1)			858,346
	533,653			TELUS Corp.			8,342,136
	49,480			Toromont Industries Ltd.			2,143,143
							202,961,044
				China - 0.1%
	313,000			Kerry Logistics Network Ltd.			388,075
	3,508,500			Yangzijiang Shipbuilding Holdings Ltd.			2,045,198
							2,433,273
				Denmark - 2.5%
	7,946			Carlsberg A/S Class B			899,428
	43,369			Coloplast A/S Class B			6,291,591
	9,106			GN Store Nord A/S			406,776
	195,992			H. Lundbeck A/S			5,815,667
	201,952			ISS A/S			2,775,919
	278,009			Novo Nordisk A/S Class B			16,725,589
	56,179			Orsted A/S(3)			5,504,894
	168,590			Pandora A/S			5,476,051
	10,690			Rockwool International A/S Class B			1,933,405
	21,329			Royal Unibrew A/S			1,537,703
	31,871			Topdanmark A/S			1,284,063
							48,651,086
				Finland - 0.7%
	40,432			Elisa Oyj			2,505,680
	81,848			Kesko Oyj Class B			4,634,080
	10,163			Kone Oyj Class B			575,633
	74,957			Nordea Bank Abp			424,275
	46,300			Orion Oyj Class B			1,893,924
	52,937			Sampo Oyj Class A			1,546,227
	25,188			TietoEVRY Oyj			546,671
	32,382			Valmet Oyj			634,942
							12,761,432

 

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0% - (continued)
				France - 6.1%
	399,748			Air France-KLM*(1)		$	2,236,103
	107,734			Alstom S.A.			4,508,574
	29,015			Arkema S.A.			2,005,713
	132,013			AXA S.A.			2,286,913
	33,792			BioMerieux			3,804,232
	429,378			Bouygues S.A.			12,588,732
	109,916			Cie Generale des Etablissements Michelin SCA			9,776,272
	191,703			CNP Assurances			1,876,288
	15,363			Covivio REIT			865,610
	69,706			Credit Agricole S.A.			511,684
	97,870			Eiffage S.A.			6,926,519
	13,454			Eurazeo SE			607,030
	34,405			Faurecia SE			1,030,600
	31,392			Gecina S.A. REIT			4,157,498
	38,564			Ipsen S.A.			1,996,392
	61,100			Korian S.A.			1,895,948
	34,558			Nexity S.A.			1,062,484
	487,852			Orange S.A.			5,960,519
	704,553			Peugeot S.A.			9,404,409
	54,927			Rubis SCA			2,293,826
	113,130			Sanofi			9,947,934
	144,518			SCOR SE			3,184,134
	90,204			Societe BIC S.A.			5,032,949
	326,545			Societe Generale S.A.			5,499,213
	23,668			Sodexo S.A.			1,600,774
	645,236			Suez			6,567,273
	268,541			TOTAL S.A.(1)			10,427,901
	59,661			Veolia Environnement S.A.			1,274,893
							119,330,417
				Germany - 4.7%
	51,413			Allianz SE			8,850,061
	211,715			Alstria Office AG REIT			3,029,249
	12,427			Carl Zeiss Meditec AG			1,204,699
	164,421			Covestro AG(3)			5,028,055
	470,750			Deutsche Lufthansa AG			4,422,535
	38,946			Deutsche Post AG			1,058,723
	581,090			Deutsche Telekom AG			7,532,621
	90,636			Fresenius SE & Co. KGaA			3,374,352
	47,195			Hannover Rueck SE			6,783,800
	7,953			HeidelbergCement AG			341,116
	99,477			Hella KGaA Hueck & Co.			2,899,055
	64,411			Hochtief AG			4,275,837
	25,446			LEG Immobilien AG			2,867,449
	137,515			Merck KgaA			14,126,171
	53,252			Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen			10,757,106
	17,772			Rheinmetall AG			1,249,191
	45,073			TAG Immobilien AG			892,193
	55,284			Talanx AG*			1,878,046
	2,415,233			Telefonica Deutschland Holding AG			5,986,611
	205,847			Uniper SE			5,079,720
	15,972			Vonovia SE			786,184
							92,422,774
				Hong Kong - 3.5%
	1,509,804			Cathay Pacific Airways Ltd.(1)			1,616,764
	3,970,688			Champion REIT			2,397,505
	1,759,320			Chow Tai Fook Jewellery Group Ltd.			1,246,135
	392,000			CK Hutchison Holdings Ltd.			2,645,060
	103,980			CLP Holdings Ltd.			959,188
	516,333			Dairy Farm International Holdings Ltd.			2,375,132
	167,310			Hang Seng Bank Ltd.			2,860,129
	870,000			Henderson Land Development Co., Ltd.			3,316,841
	1,768,609			HK Electric Investments & HK Electric Investments Ltd.			1,702,231

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0% - (continued)
				Hong Kong - 3.5% - (continued)
	985,384			Hongkong Land Holdings Ltd.		$	3,695,190
	1,071,000			Hysan Development Co., Ltd.			3,482,073
	57,526			Jardine Matheson Holdings Ltd.			2,876,300
	53,785			Jardine Strategic Holdings Ltd.			1,194,027
	1,088,500			Kerry Properties Ltd.			2,871,902
	611,588			Link REIT			5,184,086
	428,800			Man Wah Holdings Ltd.			235,121
	3,201,000			New World Development Co., Ltd.			3,444,289
	747,000			NWS Holdings Ltd.			768,116
	3,934,575			PCCW Ltd.			2,167,572
	104,000			Power Assets Holdings Ltd.			621,915
	1,312,000			Sino Land Co., Ltd.			1,665,623
	933,000			SITC International Holdings Co., Ltd.			872,705
	187,000			Sun Hung Kai Properties Ltd.			2,465,701
	642,000			Swire Pacific Ltd. Class A			4,137,313
	882,200			Swire Properties Ltd.			2,481,255
	200,435			VTech Holdings Ltd.			1,449,429
	8,473,792			WH Group Ltd.(3)			7,926,175
	650,000			Xinyi Glass Holdings Ltd.			746,365
	787,111			Yue Yuen Industrial Holdings Ltd.			1,206,425
							68,610,567
				Ireland - 0.6%
	27,852			CRH plc			759,431
	69,681			ICON plc*			9,476,616
	16,837			Kerry Group plc Class A			1,943,508
							12,179,555
				Israel - 1.3%
	65,349			Bank Hapoalim BM			393,670
	950,129			Bank Leumi Le-Israel BM			5,264,393
	102,120			First International Bank Of Israel Ltd.			2,504,609
	44,053			Isracard Ltd.			118,369
	678,422			Israel Chemicals Ltd.			2,163,310
	1,875,593			Israel Discount Bank Ltd. Class A			5,567,210
	252,305			Mizrahi Tefahot Bank Ltd.			4,723,787
	38,340			Strauss Group Ltd.			1,002,544
	34,466			Taro Pharmaceutical Industries Ltd.*			2,109,319
	124,357			Tower Semiconductor Ltd.*			2,003,802
							25,851,013
				Italy - 2.8%
	1,573,512			A2A S.p.A.			1,956,166
	24,361			ACEA S.p.A.			387,052
	542,025			Assicurazioni Generali S.p.A.			7,380,688
	16,754			DiaSorin S.p.A.			2,218,868
	210,327			Enav S.p.A.(3)			925,895
	806,217			Enel S.p.A.			5,607,619
	711,026			Eni S.p.A.			7,193,200
	1,156,081			Hera S.p.A.			4,145,492
	970,377			Iren S.p.A.			2,395,680
	192,563			Italgas S.p.A.			1,054,125
	482,732			Mediobanca Banca di Credito Finanziario S.p.A.			2,663,220
	698,507			Poste Italiane S.p.A.(3)			5,916,894
	124,098			Recordati S.p.A.			5,247,860
	828,389			Unipol Gruppo S.p.A.			2,848,650
	1,767,548			UnipolSai Assicurazioni S.p.A.			4,344,352
							54,285,761
				Japan - 24.9%
	59,405			ABC-Mart, Inc.			2,976,991
	49,259			Aeon Co., Ltd.			1,094,644
	189,682			Alfresa Holdings Corp.			3,538,692
	137,741			ANA Holdings, Inc.			3,367,130
	212,088			Aozora Bank Ltd.			4,050,998
	144,394			Asahi Kasei Corp.			1,022,950
	1,081,465			Astellas Pharma, Inc.			16,739,642

 

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0% - (continued)
				Japan - 24.9% - (continued)
	143,700			Azbil Corp.		$	3,732,433
	142,559			Bandai Namco Holdings, Inc.			6,920,955
	264,797			Bic Camera, Inc.			2,146,240
	319,693			Bridgestone Corp.			9,840,580
	406,900			Brother Industries Ltd.			6,234,196
	91,097			Canon Marketing Japan, Inc.			1,809,198
	294,203			Canon, Inc.			6,428,835
	89,782			Casio Computer Co., Ltd.			1,261,630
	341,537			Dai-ichi Life Holdings, Inc.			4,098,571
	66,700			Daiichikosho Co., Ltd.			1,780,026
	2,155,317			Daiwa Securities Group, Inc.			8,369,310
	242,020			FUJIFILM Holdings Corp.			12,193,477
	99,248			Fujitsu Ltd.			8,968,220
	354,000			Hakuhodo DY Holdings, Inc.			3,574,267
	560,200			Haseko Corp.			6,003,903
	16,093			Hikari Tsushin, Inc.			2,702,664
	854,078			Hino Motors Ltd.			4,596,539
	215,073			Hitachi Ltd.			6,261,632
	307,200			Honda Motor Co., Ltd.			6,914,881
	78,321			Hoya Corp.			6,674,570
	441,271			ITOCHU Corp.			9,166,321
	431,093			Japan Airlines Co., Ltd.			7,946,599
	322,881			Japan Post Holdings Co., Ltd.			2,529,392
	519,148			K’s Holdings Corp.			4,919,535
	247,800			Kajima Corp.			2,545,600
	51,449			Kaken Pharmaceutical Co., Ltd.			2,397,188
	614,851			KDDI Corp.			18,168,447
	66,700			Kewpie Corp.			1,335,174
	627,588			Konica Minolta, Inc.			2,552,092
	81,800			Kyowa Exeo Corp.			1,823,082
	266,600			Kyushu Railway Co.			7,655,597
	139,422			Lawson, Inc.			7,658,492
	223,600			Marubeni Corp.			1,116,395
	518,600			Mazda Motor Corp.			2,747,804
	1,787,300			Mebuki Financial Group, Inc.			3,642,314
	293,850			Medipal Holdings Corp.			5,492,930
	7,016			MEIJI Holdings Co., Ltd.			499,124
	8,300			Mitsubishi Corp.			176,179
	116,900			Mitsubishi Electric Corp.			1,445,616
	43,000			Mitsubishi Heavy Industries Ltd.			1,088,393
	533,876			Mitsubishi UFJ Lease & Finance Co., Ltd.			2,630,930
	62,500			Mitsui & Co., Ltd.			870,444
	158,917			NEC Corp.			5,807,305
	58,269			NH Foods Ltd.			2,032,169
	126,075			Nihon Kohden Corp.			4,741,462
	206,300			Nikon Corp.			1,907,159
	97,081			Nippo Corp.			2,140,269
	529,006			Nippon Telegraph & Telephone Corp.			12,620,582
	107,460			NTT Data Corp.			1,035,231
	490,724			NTT DOCOMO, Inc.			15,350,609
	260,500			Obayashi Corp.			2,234,477
	448,058			Olympus Corp.			6,482,948
	373,700			ORIX Corp.			4,501,847
	312,651			Osaka Gas Co., Ltd.			5,896,507
	105,004			Otsuka Holdings Co., Ltd.			4,115,344
	666,300			Panasonic Corp.			5,091,913
	249,366			Resona Holdings, Inc.			751,182
	149,069			Ricoh Co., Ltd.			1,096,390
	93,400			Sankyo Co., Ltd.			2,720,976
	220,600			Santen Pharmaceutical Co., Ltd.			3,796,719
	88,668			Sawai Pharmaceutical Co., Ltd.			4,739,145
	31,700			Secom Co., Ltd.			2,635,133
	611,400			Seiko Epson Corp.			6,626,261
	97,865			Sekisui Chemical Co., Ltd.			1,299,065
	500,248			Sekisui House Ltd.			8,269,117

Shares or Principal Amount						Market Value†
COMMON STOCKS - 99.0% - (continued)
				Japan - 24.9% - (continued)
	225,089			Seven & i Holdings Co., Ltd.		$	7,456,054
	85,840			Shimamura Co., Ltd.			5,184,353
	549,028			Shimizu Corp.			4,297,426
	79,400			Shionogi & Co., Ltd.			3,910,609
	107,000			Ship Healthcare Holdings, Inc.			4,385,855
	527,058			Skylark Holdings Co., Ltd.			7,821,286
	41,600			Sompo Holdings, Inc.			1,288,211
	45,700			Sony Financial Holdings, Inc.			773,414
	70,100			Square Enix Holdings Co., Ltd.			3,133,088
	515,293			Subaru Corp.			9,897,272
	89,017			Sugi Holdings Co., Ltd.			4,757,798
	381,001			Sumitomo Dainippon Pharma Co., Ltd.			4,951,548
	445,000			Sumitomo Electric Industries Ltd.			4,690,936
	233,729			Sumitomo Forestry Co., Ltd.			2,998,607
	6,600			Sumitomo Mitsui Trust Holdings, Inc.			190,991
	249,900			Sumitomo Rubber Industries Ltd.			2,358,836
	89,200			Sundrug Co., Ltd.			2,858,895
	13,207			Suntory Beverage & Food Ltd.			499,751
	123,482			Suzuken Co., Ltd.			4,500,965
	63,900			Taisei Corp.			1,956,273
	177,300			Teijin Ltd.			3,005,502
	10,200			Terumo Corp.			351,480
	115,111			Toho Gas Co., Ltd.			5,224,806
	220,000			Tokio Marine Holdings, Inc.			10,087,536
	228,700			Tokyo Electric Power Co. Holdings, Inc.*			798,665
	360,496			Tokyo Gas Co., Ltd.			8,535,295
	246,572			Toppan Printing Co., Ltd.			3,782,347
	176,200			Tosoh Corp.			2,007,559
	37,919			Toyo Suisan Kaisha Ltd.			1,833,516
	169,300			Toyota Boshoku Corp.			2,018,333
	94,700			TS Tech Co., Ltd.			2,243,922
	104,347			Tsumura & Co.			2,660,024
	52,500			Tsuruha Holdings, Inc.			6,934,834
	88,989			TV Asahi Holdings Corp.			1,345,283
	111,400			Welcia Holdings Co., Ltd.			7,790,931
	60,449			West Japan Railway Co.			4,141,363
	487,657			Yamada Denki Co., Ltd.			1,946,924
	191,746			Yamaha Motor Co., Ltd.			2,321,449
	248,480			Yamazaki Baking Co., Ltd.			5,194,936
	234,308			Z Holdings Corp			755,307
	59,253			Zensho Holdings Co., Ltd.			1,131,216
							489,626,028
				Luxembourg - 0.3%
	104,586			Grand City Properties S.A.			2,198,745
	406,951			L’Occitane International S.A.			593,292
	111,185			RTL Group S.A.			3,747,772
							6,539,809
				Netherlands - 4.0%
	83,434			Aalberts N.V.			1,981,098
	280,017			Aegon N.V.			710,974
	813,431			Altice N.V. Class A*			3,151,550
	235,140			ASR Nederland N.V.			5,923,851
	97,568			GrandVision N.V.(1)(3)			2,669,990
	922,775			ING Groep N.V.			4,841,342
	714,355			Koninklijke Ahold Delhaize N.V.			16,683,743
	68,197			Koninklijke DSM N.V.			7,744,821
	464,608			NN Group N.V.			12,540,866
	230,948			Randstad N.V.			8,152,128
	520,927			Royal Dutch Shell plc Class A			9,165,655
	277,276			Signify N.V.(3)			5,382,027
	2,607			Wolters Kluwer N.V.			183,589
							79,131,634