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
Hartford Funds Exchange-Traded Trust
(Exact name of registrant as specified in charter)
690 Lee Road, Wayne, Pennsylvania 19087
(Address of Principal Executive Offices) (Zip Code)
Thomas R. Phillips, Esquire
Hartford Funds Management Company, LLC
690 Lee Road
Wayne, Pennsylvania 19087
(Name and Address of Agent for Service)
Copy to:
John V. O’Hanlon, Esquire
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, Massachusetts 02110-2605
Registrant's telephone number, including area code:
Date of reporting period:
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-1090. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a)
Annual Shareholder Report
July 31, 2024
Hartford AAA CLO ETF
(formerly, Hartford Short Duration ETF)
HSRT/Cboe BZX
This annual shareholder report contains important information about the Hartford AAA CLO ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford AAA CLO ETF | $27 | 0.26% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
The Fund transitioned from the Hartford Short Duration ETF to a AAA collateralized loan obligations (CLOs) ETF during the twelve-month period. The commentary covers the period since inception of the new AAA CLO strategy: February 12, 2024 through July 31, 2024.
United States (US) fixed income markets eked out positive total returns during the five-month period ending July 31, 2024, as measured by the Bloomberg US Aggregate Bond Index; benefiting from both coupon income in addition to volatile but lower US Treasury yields and tighter credit spreads.
Top Contributors to Performance
Top Detractors to Performance
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended July 31, 2024* | 1 Year | 5 Years | Since Inception
(May 30, 2018) |
| Fund | 7.90% | 2.53% | 2.94% |
| JP Morgan CLOIE AAA Index**,^ | 7.74% | 3.84% | 3.73% |
| Bloomberg 1-3 Year US Government/Credit Index** | 5.67% | 1.50% | 1.87% |
| Bloomberg US Aggregate Bond Index^ | 5.10% | 0.19% | 1.42% |
| * | As of February 12, 2024, the Fund changed its investment objective, principal investment strategy and management fee rate, and information after that date reflects those changes. |
| ** | Effective February 12, 2024, the Fund changed its benchmark to the JP Morgan CLOIE AAA Index. Prior to February 12, 2024, the Fund’s benchmark was Bloomberg 1-3 Year US Government/Credit Index. The Fund changed its benchmark because the investment manager believes that the new benchmark better reflects the Fund’s revised objective and investment strategy. |
| ^ | The JP Morgan CLOIE AAA Index is the Fund's performance index and the Bloomberg US Aggregate Bond Index serves as the Fund's regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $83,799,327% |
| Total number of portfolio holdings (excluding derivatives, if any) | $84% |
| Total investment management fees paid | $234,491% |
| Portfolio turnover rate | $171% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Security Type
| Asset & Commercial Mortgage-Backed Securities | 100.9 | % |
| Short-Term Investments | 0.8 | % |
| Other Assets & Liabilities | (1.7 | )% |
| Total | 100.0 | % |
Material Fund Changes
Effective as of February 12, 2024, the Fund's name, investment objective, principal investment strategy, portfolio management team, performance benchmark and management fee rate changed. As a result of these changes, certain principal risks of the Fund also changed. This is a summary of certain changes to the Fund since August 1, 2023.
For more complete information, you may review the Fund's prospectus supplement dated February 12, 2024 and the Fund's next prospectus, which we expect to be available by November 27, 2024 at hartfordfunds.com/reports‑etf or upon request by calling 1-800-456-7526 or sending an e-mail to orders@mysummaryprospectus.com.
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Core Bond ETF
HCRB/Cboe BZX
This annual shareholder report contains important information about the Hartford Core Bond ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Core Bond ETF | $30 | 0.29% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) fixed income sectors generated positive total returns during the trailing twelve-month period ended July 31, 2024 as measured by the Bloomberg US Aggregate Bond Index. Credit sectors produced positive excess returns over duration-equivalent government bonds as spreads compressed, with higher-yielding sectors generally performing best, benefiting from their coupon advantage.
Top Contributors to Performance
The Fund’s allocation to structured finance sectors had a positive impact on results. The Fund’s allocation to Non-Agency Residential Mortgage-Backed Securities (RMBS) was the top positive contributor to relative performance, supported by structural supply shortages although the pace of home prices appreciation continues to moderate. Exposure to other securitized sectors including Commercial Mortgage-Backed Securities (CMBS), Collateralized Loan Obligations (collateralized loan obligations (CLOs)s), and Asset-Backed Securities (ABS) contributed positively to relative performance. An overweight to agency MBS pass-throughs also had a positive impact.
The Fund held tactical interest rate positions during the period, including interest rate futures and interest rate swaps; overall duration and yield curve positioning contributed positively to relative results. Credit Default Swaps (CDX) were used to manage credit exposure and overall portfolio risk. Investment grade CDX positions helped results.
Top Detractors to Performance
The Fund’s developed governments bond positioning detracted modestly from results overall.
Within Investment Grade credit, overall positioning to Industrials detracted from relative performance.
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative index.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | Since Inception
(February 19, 2020) |
| Fund | 6.22% | (0.43)% |
| Bloomberg US Aggregate Bond Index | 5.10% | (0.73)% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $268,771,966% |
| Total number of portfolio holdings | $840% |
| Total investment management fees paid | $742,847% |
| Portfolio turnover rate | $43% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Security Type
| U.S. Government Agencies* | 32.5 | % |
| U.S. Government Securities | 31.1 | % |
| Corporate Bonds | 27.4 | % |
| Asset & Commercial Mortgage-Backed Securities | 21.1 | % |
| Foreign Government Obligations | 1.4 | % |
| Municipal Bonds | 0.6 | % |
| Short-Term Investments | 0.6 | % |
| Other Assets & Liabilities | (14.7 | )% |
| Total | 100.0 | % |
* | All, or a portion of the securities categorized as US Government Agencies, were agency mortgage-backed securities. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Large Cap Growth ETF
HFGO/Cboe BZX
This annual shareholder report contains important information about the Hartford Large Cap Growth ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Large Cap Growth ETF | $67 | 0.59% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
US equities, as measured by the Russell 1000 Growth Index, posted positive results from August 1, 2023 through July 31, 2024.
Top Contributors to Performance
Sector allocation, a residual of the Fund’s bottom-up stock selection process, contributed positively to Fund performance. Allocation effect was driven by the Fund’s underweights to Consumer Staples and Consumer Discretionary and overweight to Communication Services. This was modestly offset by an adverse overweight to Health Care.
The largest individual relative contributors during the period included an underweight position in Apple (Information Technology), an overweight position in NVIDIA (Information Technology), and an out-of-benchmark position in ARM Holdings (Information Technology).
Top Detractors to Performance
Stock selection detracted from relative returns, primarily driven by weak selection in Health Care. This was partially offset by positive selection in Information Technology and Consumer Discretionary.
The largest individual relative detractors during the period included overweight positions in Exact Sciences (Healthcare), Align Technology (Healthcare), and Paycom Software (Industrials).
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | Since Inception
(November 09, 2021) |
| Fund | 27.70% | 0.86% |
| Russell 1000 Growth Index^ | 26.94% | 6.98% |
| Russell 1000 Index^ | 21.50% | 6.67% |
| ^ | The Russell 1000 Growth Index serves as the Fund's performance index and the Russell 1000 Index serves as the Fund's regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $124,880,072% |
| Total number of portfolio holdings (excluding derivatives, if any) | $49% |
| Total investment management fees paid | $632,645% |
| Portfolio turnover rate | $97% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Information Technology | 46.4 | % |
| Communication Services | 19.2 | % |
| Consumer Discretionary | 13.8 | % |
| Health Care | 9.8 | % |
| Industrials | 4.3 | % |
| Financials | 3.4 | % |
| Consumer Staples | 0.9 | % |
| Energy | 0.9 | % |
| Real Estate | 0.7 | % |
| Short-Term Investments | 1.0 | % |
| Other Assets & Liabilities | (0.4 | )% |
| Total | 100.0 | % |
Material Fund Changes
Effective as of July 1, 2024, the structure of the Fund changed from a “semi-transparent” ETF, which does not publicly disclose all its portfolio holdings on a daily basis, to a “transparent” ETF, which discloses all its portfolio holdings daily and operates in reliance on Rule 6c-11 under the Investment Company Act of 1940, as amended. As a result, certain changes were made to the Fund's principal risks to reflect the change in structure. In addition, effective as of November 28, 2023, the Fund investment company classification was changed from diversified to non-diversified pursuant to shareholder approval at a meeting held on November 2, 2023 and “Non-Diversification Risk” was added to the Fund's principal risks. This is a summary of certain changes to the Fund since August 1, 2023.
For more complete information, you may review the Fund's prospectus supplements dated May 15, 2024 and November 3, 2023, respectively and the Fund's next prospectus, which we expect to be available by November 27, 2024 at hartfordfunds.com/reports-etf or upon request by calling 1-800-456-7526 or sending an e-mail to orders@mysummaryprospectus.com.
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Municipal Opportunities ETF
HMOP/NYSE Arca
This annual shareholder report contains important information about the Hartford Municipal Opportunities ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Municipal Opportunities ETF | $30 | 0.29% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) fixed income sectors generated positive total returns during the trailing twelve-month period ended July 31, 2024 as measured by the Bloomberg US Aggregate Bond Index. Credit sectors produced positive excess returns over duration-equivalent government bonds as spreads compressed, with higher-yielding sectors generally performing best, benefiting from their coupon advantage.
Top Contributors to Performance
Security selection within investment-grade revenue bonds and high-yield revenue bonds were the primary driver of relative outperformance.
Within investment grade revenue bonds, security selection within health care; port, airport and marina; education, were the main relative contributors.
Top Detractors to Performance
The primary detractor from the Fund’s performance was the Fund’s allocation to high yield revenue bonds as the sector underperformed duration equivalent treasuries.
Underweights to investment-grade GO bonds, both state and local, also detracted from relative performance.
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | 5 Years | Since Inception
(December 13, 2017) |
| Fund | 5.42% | 1.62% | 2.45% |
| Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index^ | 3.20% | 1.18% | 1.94% |
| Bloomberg Municipal Bond Index^ | 3.74% | 1.18% | 2.02% |
| ^ | The Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index serves as the Fund's performance index and the Bloomberg Municipal Bond Index serves as the Fund's regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $438,744,535% |
| Total number of portfolio holdings (excluding derivatives, if any) | $493% |
| Total investment management fees paid | $1,147,068% |
| Portfolio turnover rate | $38% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Municipal Bonds
| General Revenue | 18.9 | % |
| Medical | 9.9 | % |
| Airport | 8.5 | % |
| Transportation | 8.1 | % |
| General Obligation | 7.6 | % |
| School District | 7.5 | % |
| Power | 7.1 | % |
| Single Family Housing | 5.9 | % |
| Higher Education | 3.6 | % |
| Development | 3.4 | % |
| Nursing Homes | 3.3 | % |
| Water | 2.9 | % |
| Education | 2.4 | % |
| Utilities | 1.0 | % |
| Student Loan | 0.9 | % |
| Tobacco | 0.8 | % |
| Housing | 0.6 | % |
| Multifamily Housing | 0.6 | % |
| Facilities | 0.3 | % |
| Pollution | 0.3 | % |
| U.S. Government Agencies* | 0.2 | % |
| Short-Term Investments | 1.8 | % |
| Other Assets & Liabilities | 4.4 | % |
| Total | 100.0 | % |
* | All, or a portion of the securities categorized as US Government Agencies, were agency mortgage-backed securities. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Schroders Commodity Strategy ETF (Consolidated)
HCOM/NYSE Arca
This annual shareholder report contains important information about the Hartford Schroders Commodity Strategy ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Schroders Commodity Strategy ETF | $58 | 0.59% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
Commodities, as measured by the Bloomberg Commodity Index Total Return, posted a negative return of -5.17% for the 12 months through to July 31, 2024.
Top Contributors to Performance
Positive relative performance was mainly sourced from the metals and agriculture sectors.
The Fund’s overweight positions in gold added the most value.
The Fund’s underweight positioning in copper, aluminum, nickel and zinc all contributed positively to performance.
The Fund’s active underweights to soybeans and sugar in the agricultural sector contributed positively to the Fund’s overall performance.
Top Detractors to Performance
Returns from Energy were negative for the period under review.
Overweight positions in West Texas Intermediate (WTI) crude oil during parts of the period generated the largest underperformance for the Fund.
Volatility in the natural gas markets negatively affected returns.
The Fund primarily uses commodity futures, in a long only and unleveraged manner, to gain market exposures to commodities. Therefore, around 95% of the Fund’s exposure was derived from such derivatives over the period, and these positions were the primary contributors to the Fund’s returns for the period ended July 31, 2024.
The views expressed reflect the opinions of the Fund's sub-adviser, Schroder Investment Management North America Inc., as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | Since Inception
(September 14, 2021) |
| Fund | (3.85)% | 2.16% |
| Bloomberg Commodity Index Total Return^ | (5.17)% | 3.21% |
| S&P 500 Index^ | 22.15%) | 9.54% |
| ^ | The Bloomberg Commodity Index Total Return serves as the Fund's performance index and the S&P 500 Index serves as the Fund's regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $10,317,026% |
| Total number of portfolio holdings | $67% |
| Total investment management fees paid | $76,170% |
| Portfolio turnover rate | $328% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Materials | 5.7 | % |
| Short-Term Investments | 90.9 | % |
| Other Assets & Liabilities | 3.4 | % |
| Total | 100.0 | % |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Schroders Tax-Aware Bond ETF
HTAB/NYSE Arca
This annual shareholder report contains important information about the Hartford Schroders Tax-Aware Bond ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Schroders Tax-Aware Bond ETF | $40 | 0.39% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) fixed income sectors, as measured by the Bloomberg US Aggregate Bond Index, generated positive total returns during the trailing twelve-month period ended July 31, 2024. Credit sectors also produced positive excess returns over duration-equivalent government bonds as spreads compressed, with higher-yielding sectors generally performing best, benefiting from their coupon advantage.
Top Contributors to Performance
Yield curve impacts were a notable positive contributor. This reflects the sector allocation as the overweight to tax-exempt general obligations (GO’s) and tax-exempt federal agencies results in favorable curve exposure. Tax-exempt yields are higher over the period however the federal agencies and GO’s generally saw their yields rise less than the benchmark which makes the overweight a positive factor.
Sector selection was a notable positive contributor due to the overweight exposure to tax-exempt federal agency and tax-exempt corporate supported securities in addition to the out of benchmark allocation to Financials sector. Financials are one of the best investment grade sectors in excess return terms over the period and the Fund exposure had been as high at 4.0% before locking in gains and reducing exposure at the end of the period. The corporate supported segment of the municipal market and federal agency tax-exempt municipals were also material contributors to the positive sector selection as these sectors outperformed the broad municipal bond index and the Fund is overweight.
Top Detractors to Performance
Security selection detracted due to specific tax-exempt Utilities underperforming the broader index returns. Two securities, New York State Green Transition and Oklahoma State Water Reservoir, were responsible for the bulk of the negative security selection as issuer specific drivers resulted in the underperformance.
Duration impacts were negative due to the allocation to Treasuries. Treasury yields (as measured by the 10-year) were nearly 100 bps higher at one point over the period before rallying almost all the way back to where they started. Additionally, the top line duration was longer than the index over the period as yields rose. Please note that the Fund is not managed to the duration of the index as part of the opportunistic strategy and the duration of the Fund more a result of the yield environment.
The views expressed reflect the opinions of the Fund's sub-adviser, Schroder Investment Management North America Inc., as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative index.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | 5 Years | Since Inception
(April 18, 2018) |
| Fund | 4.36% | 1.11% | 2.13% |
| Bloomberg Municipal Bond Index | 3.74% | 1.18% | 2.23% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $358,650,293% |
| Total number of portfolio holdings | $299% |
| Total investment management fees paid | $890,530% |
| Portfolio turnover rate | $60% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Security Type
| Municipal Bonds | 82.8 | % |
| U.S. Government Securities | 9.2 | % |
| Corporate Bonds | 2.7 | % |
| U.S. Government Agencies* | 0.4 | % |
| Short-Term Investments | 4.2 | % |
| Other Assets & Liabilities | 0.7 | % |
| Total | 100.0 | % |
* | All, or a portion of the securities categorized as US Government Agencies, were agency mortgage-backed securities. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Quality Value ETF
QUVU/Cboe BZX
This annual shareholder report contains important information about the Hartford Quality Value ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Quality Value ETF | $48 | 0.45% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) equities, as measured by the Russell 1000 Value Index, rose over the trailing twelve-month period ending July 31, 2024, despite initial challenges from high Treasury yields and interest rate concerns, buoyed by a strong job market, cooling inflation, and optimism in technology stocks, leading to a broad market rally with expectations that the Fed will begin to cut interest rates in September.
Top Contributors to Performance
Security selection within the Consumer Staples, Information Technology, and Consumer Discretionary sectors contributed positively to relative performance.
Top individual contributors over the period were overweight positions in American Express (Financials), Micron Technology (Information Technology) and not owning Johnson & Johnson (Healthcare).
Top Detractors to Performance
Security selection was the primary relative detractor during the period, driven by weak selection within the Industrials, Materials, and Utilities sectors.
The largest individual detractors over the period were overweight positions in FMC (Materials), Knight-Swift Transportation (Industrials), and Pfizer (Healthcare).
Sector allocation, a result of our bottom-up stock selection process, was also a relative detractor during the period due to the ETF’s underweight allocations to Industrials and Financials sector.
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative indices.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | 5 Years | 10 Years |
| Fund1 | 12.23% | 9.96% | 8.34% |
| Russell 1000 Value Index^ | 14.80% | 9.92% | 8.96% |
| Russell 1000 Index^ | 21.50% | 14.59% | 12.86% |
| 1 | Prior to the close of business on October 13, 2023, the Fund operated as an open-end mutual fund (the "Predecessor Fund"). The Fund has the same investment objective, strategies and policies as the Predecessor Fund. The returns prior to the Fund's listing on the exchange include the returns of the Predecessor Fund's share classes and operating expenses as follows: Class F (February 28, 2017 to October 13, 2013); and Class I (August 31, 2006 to February 27, 2017). |
| ^ | The Russell 1000 Value Index serves as the Fund's performance index and the Russell 1000 Index serves as the Fund's regulatory index and provides a broad measure of market performance. |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $177,743,048% |
| Total number of portfolio holdings (excluding derivatives, if any) | $69% |
| Total investment management fees paid^ | $574,963% |
| Portfolio turnover rate^ | $51% |
| ^ | Reflects for the period 11/01/2023 through 07/31/2024. |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
| Financials | 20.4 | % |
| Health Care | 15.6 | % |
| Information Technology | 10.7 | % |
| Consumer Staples | 9.9 | % |
| Industrials | 8.8 | % |
| Energy | 8.4 | % |
| Utilities | 6.4 | % |
| Communication Services | 6.2 | % |
| Materials | 4.3 | % |
| Real Estate | 4.2 | % |
| Consumer Discretionary | 3.9 | % |
| Other Assets & Liabilities | 1.2 | % |
| Total | 100.0 | % |
Material Fund Changes
Effective as of October 13, 2023, the Fund was converted from a mutual fund to an exchange-traded fund (“ETF”). As a result of this change, certain risks associated with the ETF structure were added to the Fund's principal risks. This is a summary of certain changes to the Fund since August 1, 2023.
For more complete information, you may review the Fund's summary prospectus and prospectus dated February 2, 2024 and the Fund's next prospectus, which we expect to be available by November 27, 2024 at hartfordfunds.com/reports-etf or upon request by calling 1-800-456-7526 or sending an e-mail to orders@mysummaryprospectus.com.
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Sustainable Income ETF
HSUN/Cboe BZX
This annual shareholder report contains important information about the Hartford Sustainable Income ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
This report describes changes to the Fund to be made as of September 30, 2024.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Sustainable Income ETF | $57 | 0.54% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) fixed income sectors generated positive total returns during the trailing twelve-month period ended July 31, 2024 as measured by the Bloomberg US Aggregate Bond Index.
Top Contributors to Performance
An out-of-benchmark allocation to High Yield was the top positive relative contributor to performance, led by Industrials and Financials, and an allocation to Bank Loans industrial issuers also aided relative results.
The Fund’s exposure to Emerging Market (EM) debt, both EM Corporate and to a lesser extent EM Select Sovereign Debt, contributed positively to relative performance amid spread tightening exhibited across positions held within these sectors.
The Fund’s allocation to securitized sectors benefited relative performance. Consumer fundamentals remain supportive overall although deteriorating for the lower income cohort. Outperformance was led by positive results from an allocation to Non-Agency Mortgage-Backed Securities (NA RMBS) supported by structural supply shortages although the pace of home prices appreciation continues to moderate, and an allocation to Collateralized Loan Obligations (collateralized loan obligations (CLOs)s) benefiting from market risk-on tone. An underweight to agency MBS and Commercial Mortgage-Backed Securities (CMBS) also benefited results.
The Fund implemented tactical interest rate positions during the period, which contributed positively to relative results as rates moved lower.
Top Detractors to Performance
An allocation to Convertible Bonds had a negative impact on results.
The Fund’s underweight positioning within Investment Grade Credit also negatively affected relative performance.
The Fund’s developed governments bond positioning detracted modestly from results overall.
During the period, the Fund used futures and currency forwards to implement non-US rate and currency positions which overall detracted relative performance. The Fund also made use of interest rate swaps to manage interest rate risk and duration of the portfolio, this position had a negative impact on results.
The Fund implemented tactical interest rate positions during the period, which contributed positively to relative results as rates moved lower. During the period, the Fund used futures and currency forwards to implement non-US rate and currency positions which overall detracted from results. The Fund also made use of interest rate swaps to manage interest rate risk and duration of the portfolio, this position had a negative impact on results. Credit swaps (CDX and iTRAXX) were used to manage credit exposure, and overall portfolio risk. EM Credit Default Swap (CDX) positions had a modest positive impact on performance during the period, while high yield (HY) CDX in particular, and iTRAXX to a lesser extent, contributed notably to results.
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative index.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | Since Inception
(September 21, 2021) |
| Fund | 10.43% | (0.14)% |
| Bloomberg US Aggregate Bond Index | 5.10% | (2.76)% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $56,760,952% |
| Total number of portfolio holdings | $408% |
| Total investment management fees paid | $305,257% |
| Portfolio turnover rate | $56% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Security Type
| Corporate Bonds | 40.6 | % |
| U.S. Government Securities | 19.6 | % |
| Senior Floating Rate Interests | 11.1 | % |
| Asset & Commercial Mortgage-Backed Securities | 10.6 | % |
| U.S. Government Agencies* | 9.2 | % |
| Convertible Bonds | 6.3 | % |
| Foreign Government Obligations | 6.1 | % |
| Preferred Stocks | 0.2 | % |
| Common Stocks | 0.0 | %^ |
| Warrants | 0.0 | %^ |
| Short-Term Investments | 0.4 | % |
| Other Assets & Liabilities | (4.1 | )% |
| Total | 100.0 | % |
* | All, or a portion of the securities categorized as US Government Agencies, were agency mortgage-backed securities. |
^ | Percentage rounds to zero. |
Material Fund Changes
Effective as of September 30, 2024, the Fund's name, investment objective, principal investment strategy, and contractual management fee rate will be changed. As a result of the changes to the principal investment strategy, certain of the Fund's principal risks will also change and the Fund's non-fundamental policy to invest at least 80% of its assets in securities of issuers that the sub-adviser determined fit into its sustainability framework will be removed. This is a summary of planned changes to the Fund.
For more complete information, you may review the Fund's prospectus supplement dated June 20, 2024 and the Fund's next prospectus, which we expect to be available by November 27, 2024 at hartfordfunds.com/reports-etf or upon request by calling 1-800-456-7526 or sending an e-mail to orders@mysummaryprospectus.com.
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Annual Shareholder Report
July 31, 2024
Hartford Total Return Bond ETF
HTRB/NYSE Arca
This annual shareholder report contains important information about the Hartford Total Return Bond ETF (the "Fund") for the period of August 1, 2023 to July 31, 2024. You can find additional information about the Fund at hartfordfunds.com/reports-etf. You can also request this information by contacting us by calling 1‑800‑456‑7526.
What were the Fund costs for the last year?
(Based on a hypothetical $10,000 investment)
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage
of a $10,000 investment |
| Hartford Total Return Bond ETF | $30 | 0.29% |
How did the Fund perform last year and what impacted its performance?
Management's Discussion of Fund Performance
United States (US) fixed income sectors generated positive total returns during the trailing twelve-month period ended July 31, 2024 as measured by the Bloomberg US Aggregate Bond Index.
Top Contributors to Performance
The Fund’s allocation to structured finance sectors had a positive impact on results. The Fund’s allocation to Non-Agency Residential Mortgage-Backed Securities (RMBS) benefited relative performance, supported by structural supply shortages although the pace of home prices appreciation continues to moderate. Exposure to other securitized sectors including Commercial Mortgage-Backed Securities (CMBS), Collateralized Loan Obligations (collateralized loan obligations (CLOs)s), and Asset-Backed Securities (ABS) contributed positively to relative performance. An overweight to agency MBS pass-throughs also had a positive impact.
Out-of-benchmark exposure to High Yield aided results over the period, particularly Industrials. The Fund’s allocation to Emerging Market (EM) sovereign and corporate debt benefited relative performance.
Top Detractors to Performance
The Fund held tactical interest rate positions during the period, including interest rate futures and swaps; overall duration and yield curve positioning contributed positively to relative results. During the period, the Fund used currency forwards and options to implement non-US rate and currency positions which had a negligible impact on performance, in aggregate. Credit default swaps were used to manage credit exposure, and overall portfolio risk. EM Credit Default Swap (CDX) positions had a modest positive impact on performance during the period, and high yield CDX also contributed positively to results.
The views expressed reflect the opinions of the Fund's sub-adviser, Wellington Management Company LLP, as of the date of this report and are subject to change based on what we consider to be changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Comparison of Change in Value of $10,000 Investment
The graph below represents the hypothetical growth of a $10,000 investment in the Fund and the comparative index.
Average Annual Total Returns
For the Periods Ended July 31, 2024 | 1 Year | 5 Years | Since Inception
(September 27, 2017) |
| Fund | 6.86% | 0.88% | 1.69% |
| Bloomberg US Aggregate Bond Index | 5.10% | 0.19% | 1.11% |
The Fund’s past performance is not a good predictor of the Fund’s future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Visit hartfordfunds.com for the most recent performance information.
Key Fund Statistics as of July 31, 2024
| Fund's net assets | $1,685,250,728% |
| Total number of portfolio holdings | $1,508% |
| Total investment management fees paid | $4,084,394% |
| Portfolio turnover rate | $45% |
Graphical Representation of Holdings as of July 31, 2024
The table below shows the investment makeup of the Fund, representing the percentage of net assets of the Fund.
Composition by Security Type
| U.S. Government Agencies* | 39.5 | % |
| U.S. Government Securities | 27.2 | % |
| Corporate Bonds | 26.1 | % |
| Asset & Commercial Mortgage-Backed Securities | 18.9 | % |
| Foreign Government Obligations | 2.6 | % |
| Municipal Bonds | 0.6 | % |
| Short-Term Investments | 0.3 | % |
| Other Assets & Liabilities | (15.2 | )% |
| Total | 100.0 | % |
* | All, or a portion of the securities categorized as US Government Agencies, were agency mortgage-backed securities. |
Availability of Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings, and proxy voting information, please visit the Fund’s website at the website address included at the beginning of this report.
The ETFs are distributed by ALPS Distributors, Inc. (ALPS).
Item 2. Code of Ethics.
The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. A copy of the code of ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant (the “Board”) has designated David Sung as an Audit Committee Financial Expert. Mr. Sung is considered by the Board to be an independent trustee.
Item 4. Principal Accountant Fees and Services.
| | | | |
| | | (a) | | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were: $251,987 for the fiscal year ended July 31, 2024; $228,165 for the fiscal year ended July 31, 2023. |
| | |
| | (b) | | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were: $12,000 for the fiscal year ended July 31, 2024; $0 for the fiscal year ended July 31, 2023. Audit related services are for SAS 100 procedures and N-14 consent. |
| | (c) | | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: $76,388 for the fiscal year ended July 31, 2024; $64,750 for the fiscal year ended July 31, 2023. Tax-related services are principally in connection with, but not limited to, general tax compliance services and excise tax review. |
| | | | |
| | |
| | | (d) | | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: $221 for the fiscal year ended July 31, 2024; $635 for the fiscal year ended July 31, 2023. These fees were principally in connection with, but not limited to, general audit related products and services and an accounting research tool subscription. |
| | |
| | (e) | | (1) The Pre-Approval Policies and Procedures (the “Policy”) adopted by the Audit Committee of the registrant (also, the “Fund”) sets forth the procedures pursuant to which services performed by the independent registered public accounting firm for the registrant may be pre-approved. The following summarizes the pre-approval requirements under the Policy. a. The Audit Committee must pre-approve all audit services and non-audit services that the independent registered public accounting firm provides to the Fund. b. The Audit Committee must pre-approve any engagement of the independent registered public accounting firm to provide non-audit services to any Service Affiliate (which is defined to include any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund) during the period of the independent registered public accounting firm’s engagement to provide audit services to the Fund, if the non-audit services to the Service Affiliate directly impact the Fund’s operations and financial reporting. c. The Audit Committee, from time to time, may designate one or more of its members who are Independent Directors (each a “Designated Member”) to consider, on the Audit Committee’s behalf, any non-audit services, whether to the Fund or to any Service Affiliate, that have not been pre-approved by the Audit Committee. The Designated Member also shall review, on the Audit Committee’s behalf, any proposed material change in the nature or extent of any non-audit services previously approved. In considering any requested non-audit services or proposed material change in such services, the Designated Member shall not authorize services which would exceed $50,000 in fees for such services. d. The independent registered public accounting firm may not provide specified prohibited non-audit services set forth in the Policy to the Fund, the Fund’s investment adviser, the Service Affiliates or any other member of the investment company complex. |
| | |
| | (e) | | (2) One hundred percent of the services described in items 4(b) through 4(d) were approved in accordance with the Audit Committee’s Pre-Approval Policy. As a result, none of such services was approved pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X. |
| | |
| | (f) | | None of the hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the fiscal year ended July 31, 2024 were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees. |
| | | | |
| | |
| | | (g) | | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant: $76,609 for the fiscal year ended July 31, 2024; $65,385 for the fiscal year ended July 31, 2023. The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser was $121,199 for the fiscal year ended July 31, 2024 and $121,199 for the fiscal year ended July 31, 2023. |
| | |
| | (h) | | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
| | |
| | (i) | | Not applicable. |
| | |
| | (j) | | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
| | (a) | The Registrant has an audit committee that was established by the Board of Trustees of the Registrant in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The members of the Registrant’s Audit Committee are Hilary E. Ackermann, Derrick D. Cephas, Paul L. Rosenberg, and David Sung. |
Item 6. Investments.
| | (a) | The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included in the Annual Financial Statements and Other Information filed under Item 7 of this form. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Hartford Active ETFs
Annual Financial Statements
and Other Information
July 31, 2024
| ■ Hartford AAA CLO ETF1 |
| ■ Hartford Core Bond ETF |
| ■ Hartford Large Cap Growth ETF |
| ■ Hartford Municipal Opportunities ETF |
| ■ Hartford Quality Value ETF |
| ■ Hartford Schroders Commodity Strategy ETF |
| ■ Hartford Schroders Tax-Aware Bond ETF |
| ■ Hartford Sustainable Income ETF2 |
| ■ Hartford Total Return Bond ETF |
| 1 | Formerly, Hartford Short Duration ETF |
| 2 | Effective September 30, 2024, the fund will change its name to Hartford Strategic Income ETF. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Hartford AAA CLO ETF (formerly, Hartford Short Duration ETF)
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 100.9% |
| | Other Asset-Backed Securities - 100.9% |
| $ 1,000,000 | 720 East CLO IV Ltd. 6.89%, 04/15/2037, 3 mo. USD Term SOFR + 1.60%(1)(2) | $ 1,006,664 |
| 1,000,000 | 720 East CLO Ltd. 7.45%, 10/15/2036, 3 mo. USD Term SOFR + 2.15%(1)(2) | 1,002,610 |
| 2,000,000 | AGL CLO 3 Ltd. 6.86%, 01/15/2033, 3 mo. USD Term SOFR + 1.56%(1)(2) | 2,002,682 |
| | Apidos CLO XL Ltd. | |
| 2,000,000 | 6.65%, 07/15/2037, 3 mo. USD Term SOFR + 1.35%(1)(2) | 2,000,000 |
| 1,000,000 | 7.10%, 07/15/2035, 3 mo. USD Term SOFR + 1.80%(1)(2) | 999,750 |
| 157,394 | Apidos CLO XX Ltd. 6.65%, 07/16/2031, 3 mo. USD Term SOFR + 1.36%(1)(2) | 157,512 |
| 300,000 | Apidos CLO XXIII Ltd. 6.78%, 04/15/2033, 3 mo. USD Term SOFR + 1.48%(1)(2) | 300,188 |
| 600,000 | Apidos CLO XXVIII 6.94%, 01/20/2031, 3 mo. USD Term SOFR + 1.66%(1)(2) | 600,259 |
| 1,000,000 | Apidos CLO XXXIX Ltd. 6.58%, 04/21/2035, 3 mo. USD Term SOFR + 1.30%(1)(2) | 1,003,405 |
| 3,200,000 | Ares XXVII CLO Ltd. 6.70%, 10/28/2034, 3 mo. USD Term SOFR + 1.43%(1)(2) | 3,207,818 |
| 1,000,000 | Ares XXXIX CLO Ltd. 7.53%, 07/18/2037, 3 mo. USD Term SOFR + 2.20%(1)(2) | 1,001,321 |
| 1,600,000 | Assurant CLO I Ltd. 6.72%, 10/20/2034, 3 mo. USD Term SOFR + 1.44%(1)(2) | 1,602,870 |
| 300,000 | Atrium XIII 7.04%, 11/21/2030, 3 mo. USD Term SOFR + 1.76%(1)(2) | 299,911 |
| | Bain Capital Credit CLO Ltd. | |
| 1,500,000 | 6.42%, 10/17/2032, 3 mo. USD Term SOFR + 1.13%(1)(2) | 1,500,460 |
| 1,000,000 | 6.68%, 01/22/2035, 3 mo. USD Term SOFR + 1.40%(1)(2) | 1,001,524 |
| 1,000,000 | 6.84%, 10/17/2032, 3 mo. USD Term SOFR + 1.55%(1)(2) | 1,000,101 |
| 2,000,000 | 7.12%, 04/16/2036, 3 mo. USD Term SOFR + 1.83%(1)(2) | 2,014,952 |
| | Barings CLO Ltd. | |
| 983,724 | 6.61%, 04/20/2031, 3 mo. USD Term SOFR + 1.33%(1)(2) | 984,846 |
| 1,000,000 | 6.73%, 04/15/2036, 3 mo. USD Term SOFR + 1.43%(1)(2) | 1,001,208 |
| 290,000 | 7.37%, 01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(2) | 292,193 |
| 1,000,000 | Barings Loan Partners CLO Ltd. 3 6.80%, 07/20/2033, 3 mo. USD Term SOFR + 1.52%(1)(2) | 1,002,096 |
| 1,000,000 | Battalion CLO XIV Ltd. 7.39%, 01/20/2035, 3 mo. USD Term SOFR + 2.11%(1)(2) | 1,000,537 |
| 2,000,000 | Benefit Street Partners CLO XV Ltd. 6.70%, 07/15/2037, 3 mo. USD Term SOFR + 1.39%(1)(2) | 2,005,300 |
| 1,200,000 | Birch Grove CLO 5 Ltd. 7.83%, 04/20/2035, 3 mo. USD Term SOFR + 2.55%(1)(2) | 1,200,719 |
| 1,100,000 | BlueMountain CLO Ltd. 7.02%, 11/15/2030, 3 mo. USD Term SOFR + 1.70%(1)(2) | 1,100,734 |
| | Carlyle U.S. CLO Ltd. | |
| 868,788 | 6.54%, 04/20/2031, 3 mo. USD Term SOFR + 1.26%(1)(2) | 870,620 |
| 500,000 | 6.72%, 07/15/2034, 3 mo. USD Term SOFR + 1.42%(1)(2) | 500,659 |
| 1,000,000 | Cedar Funding X CLO Ltd. 6.64%, 10/20/2032, 3 mo. USD Term SOFR + 1.36%(1)(2) | 1,001,559 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 100.9% - (continued) |
| | Other Asset-Backed Securities - 100.9% - (continued) |
| | CIFC Funding Ltd. | |
| $ 1,000,000 | 6.61%, 04/17/2035, 3 mo. USD Term SOFR + 1.32%(1)(2) | $ 1,000,008 |
| 149,396 | 6.65%, 01/22/2031, 3 mo. USD Term SOFR + 1.37%(1)(2) | 149,622 |
| 300,000 | 6.71%, 07/15/2036, 3 mo. USD Term SOFR + 1.41%(1)(2) | 300,291 |
| 825,000 | 6.78%, 07/16/2037, 3 mo. USD Term SOFR + 1.45%(1)(2) | 829,744 |
| 1,000,000 | 6.83%, 04/21/2037, 3 mo. USD Term SOFR + 1.55%(1)(2) | 1,009,382 |
| 250,000 | 6.88%, 01/15/2034, 3 mo. USD Term SOFR + 1.58%(1)(2) | 250,750 |
| 250,000 | 6.95%, 04/24/2031, 3 mo. USD Term SOFR + 1.66%(1)(2) | 249,968 |
| 1,120,000 | 7.04%, 04/20/2030, 3 mo. USD Term SOFR + 1.76%(1)(2) | 1,120,853 |
| 800,000 | 7.44%, 07/18/2031, 3 mo. USD Term SOFR + 2.16%(1)(2) | 800,326 |
| 2,000,000 | Dryden 43 Senior Loan Fund 6.58%, 04/20/2034, 3 mo. USD Term SOFR + 1.30%(1)(2) | 2,001,320 |
| 250,000 | Dryden 53 CLO Ltd. 6.96%, 01/15/2031, 3 mo. USD Term SOFR + 1.66%(1)(2) | 250,115 |
| 1,000,000 | Dryden 64 CLO Ltd. 7.29%, 04/18/2031, 3 mo. USD Term SOFR + 2.01%(1)(2) | 998,945 |
| 1,000,000 | Dryden 68 CLO Ltd. 6.73%, 07/15/2035, 3 mo. USD Term SOFR + 1.43%(1)(2) | 1,000,069 |
| 1,000,000 | Dryden 94 CLO Ltd. 6.74%, 07/15/2037, 3 mo. USD Term SOFR + 1.44%(1)(2) | 1,002,809 |
| 1,000,000 | Elmwood CLO 14 Ltd. 6.60%, 04/20/2035, 3 mo. USD Term SOFR + 1.32%(1)(2) | 999,990 |
| 1,000,000 | Elmwood CLO 15 Ltd. 6.62%, 04/22/2035, 3 mo. USD Term SOFR + 1.34%(1)(2) | 1,001,180 |
| 1,000,000 | Elmwood CLO 19 Ltd. 6.99%, 10/17/2036, 3 mo. USD Term SOFR + 1.70%(1)(2) | 1,009,341 |
| 3,000,000 | Elmwood CLO 23 Ltd. 7.09%, 04/16/2036, 3 mo. USD Term SOFR + 1.80%(1)(2) | 3,020,073 |
| 1,000,000 | Elmwood CLO II Ltd. 6.69%, 04/20/2034, 3 mo. USD Term SOFR + 1.41%(1)(2) | 1,000,643 |
| 1,000,000 | Empower CLO Ltd. 6.91%, 04/25/2037, 3 mo. USD Term SOFR + 1.60%(1)(2) | 1,004,823 |
| 2,000,000 | GoldenTree Loan Management U.S. CLO 1 Ltd. 6.56%, 04/20/2034, 3 mo. USD Term SOFR + 1.28%(1)(2) | 2,003,786 |
| 1,000,000 | Golub Capital Partners CLO 66B Ltd. 7.23%, 04/25/2036, 3 mo. USD Term SOFR + 1.95%(1)(2) | 1,010,122 |
| 500,000 | Greenwood Park CLO Ltd. 6.96%, 04/15/2031, 3 mo. USD Term SOFR + 1.66%(1)(2) | 499,914 |
| 2,000,000 | Invesco CLO Ltd. 6.72%, 07/20/2035, 3 mo. USD Term SOFR + 1.44%(1)(2) | 2,009,284 |
| 500,000 | Invesco U.S. CLO Ltd. 7.08%, 04/21/2036, 3 mo. USD Term SOFR + 1.80%(1)(2) | 500,709 |
| 2,000,000 | Kings Park CLO Ltd. 6.67%, 01/21/2035, 3 mo. USD Term SOFR + 1.39%(1)(2) | 2,005,134 |
| | KKR CLO 24 Ltd. | |
| 1,365,982 | 6.62%, 04/20/2032, 3 mo. USD Term SOFR + 1.34%(1)(2) | 1,367,427 |
| 1,000,000 | 6.99%, 04/20/2032, 3 mo. USD Term SOFR + 1.71%(1)(2) | 1,003,099 |
| 2,000,000 | KKR CLO 52 Ltd. 7.19%, 07/16/2036, 3 mo. USD Term SOFR + 1.90%(1)(2) | 2,015,136 |
The accompanying notes are an integral part of these financial statements.
Hartford AAA CLO ETF (formerly, Hartford Short Duration ETF)
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 100.9% - (continued) |
| | Other Asset-Backed Securities - 100.9% - (continued) |
| $ 660,000 | Madison Park Funding XIX Ltd. 6.88%, 01/22/2037, 3 mo. USD Term SOFR + 1.60%(1)(2) | $ 664,458 |
| 1,000,000 | Madison Park Funding XXXVII Ltd. 6.83%, 04/15/2037, 3 mo. USD Term SOFR + 1.53%(1)(2) | 1,006,482 |
| 255,608 | Magnetite XXV Ltd. 6.75%, 01/25/2032, 3 mo. USD Term SOFR + 1.46%(1)(2) | 256,083 |
| | Oaktree CLO Ltd. | |
| 500,000 | 6.72%, 07/15/2034, 3 mo. USD Term SOFR + 1.42%(1)(2) | 500,959 |
| 500,000 | 7.20%, 04/15/2036, 3 mo. USD Term SOFR + 1.90%(1)(2) | 500,819 |
| | OCP CLO Ltd. | |
| 1,000,000 | 6.55%, 04/18/2033, 3 mo. USD Term SOFR + 1.27%(1)(2) | 1,002,235 |
| 250,000 | 6.63%, 07/20/2032, 3 mo. USD Term SOFR + 1.35%(1)(2) | 249,938 |
| 850,000 | 6.64%, 07/20/2037, 3 mo. USD Term SOFR + 1.37%(1)(2) | 850,000 |
| 1,000,000 | 6.85%, 07/20/2037, 3 mo. USD Term SOFR + 1.57%(1)(2) | 1,000,000 |
| 635,000 | Octagon 63 Ltd. 7.03%, 07/20/2037, 3 mo. USD Term SOFR + 1.71%(1)(2) | 635,259 |
| 825,000 | Octagon 66 Ltd. 7.08%, 11/16/2036, 3 mo. USD Term SOFR + 1.75%(1)(2) | 832,856 |
| 2,080,000 | Octagon 67 Ltd. 7.08%, 04/25/2036, 3 mo. USD Term SOFR + 1.80%(1)(2) | 2,083,170 |
| 250,000 | Octagon Investment Partners XV Ltd. 7.04%, 07/19/2030, 3 mo. USD Term SOFR + 1.76%(1)(2) | 249,943 |
| 750,000 | OHA Loan Funding Ltd. 7.04%, 07/20/2037, 3 mo. USD Term SOFR + 1.70%(1)(2) | 750,499 |
| | Palmer Square CLO Ltd. | |
| 1,250,000 | 7.18%, 01/20/2036, 3 mo. USD Term SOFR + 1.90%(1)(2) | 1,251,467 |
| 250,000 | 7.28%, 07/20/2035, 3 mo. USD Term SOFR + 2.00%(1)(2) | 250,057 |
| 1,000,000 | Rad CLO 25 Ltd. 6.98%, 07/20/2037, 3 mo. USD Term SOFR + 1.66%(1)(2) | 999,816 |
| 250,000 | Regatta XIX Funding Ltd. 6.60%, 04/20/2035, 3 mo. USD Term SOFR + 1.32%(1)(2) | 250,585 |
| 825,000 | RR 8 Ltd. 6.67%, 07/15/2037, 3 mo. USD Term SOFR + 1.35%(1)(2) | 824,622 |
| 1,500,000 | RRX 7 Ltd. 6.66%, 07/15/2035, 3 mo. USD Term SOFR + 1.36%(1)(2) | 1,502,380 |
| 325,000 | Stratus Static CLO Ltd. 7.18%, 10/20/2031, 3 mo. USD Term SOFR + 1.90%(1)(2) | 325,175 |
| 800,000 | Symphony CLO 38 Ltd. 7.08%, 04/24/2036, 3 mo. USD Term SOFR + 1.80%(1)(2) | 801,212 |
| 1,000,000 | Texas Debt Capital CLO Ltd. 7.08%, 04/20/2036, 3 mo. USD Term SOFR + 1.80%(1)(2) | 1,005,757 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 100.9% - (continued) |
| | Other Asset-Backed Securities - 100.9% - (continued) |
| $ 1,650,000 | Venture XXX CLO Ltd. 7.26%, 01/15/2031, 3 mo. USD Term SOFR + 1.96%(1)(2) | $ 1,649,140 |
| | Voya CLO Ltd. | |
| 1,000,000 | 6.98%, 10/20/2031, 3 mo. USD Term SOFR + 1.70%(1)(2) | 996,144 |
| 1,000,000 | 7.65%, 04/17/2030, 3 mo. USD Term SOFR + 2.36%(1)(2) | 1,006,880 |
| | Total Asset & Commercial Mortgage-Backed Securities
(cost $84,459,578) | $ 84,523,297 |
| SHORT-TERM INVESTMENTS - 0.8% |
| | Repurchase Agreements - 0.8% |
| 689,186 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $689,288; collateralized by U.S. Treasury Note at 4.88%, maturing 05/31/2026, with a market value of $703,116 | $ 689,186 |
| | Total Short-Term Investments
(cost $689,186) | $ 689,186 |
| | Total Investments
(cost $85,148,764) | 101.7% | $ 85,212,483 |
| | Other Assets and Liabilities | (1.7)% | (1,413,156) |
| | Net Assets | 100.0% | $ 83,799,327 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| (1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $84,523,297, representing 100.9% of net assets. |
| (2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2024. Base lending rates may be subject to a floor or cap. |
| † | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial statements.
Hartford AAA CLO ETF (formerly, Hartford Short Duration ETF)
Schedule of Investments – (continued)
July 31, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Asset & Commercial Mortgage-Backed Securities | | $ 84,523,297 | | $ — | | $ 84,523,297 | | $ — |
| Short-Term Investments | | 689,186 | | — | | 689,186 | | — |
| Total | | $ 85,212,483 | | $ — | | $ 85,212,483 | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% |
| | Asset-Backed - Automobile - 2.3% |
| $ 185,000 | American Credit Acceptance Receivables Trust 6.09%, 11/12/2027(1) | $ 185,481 |
| 257,024 | ARI Fleet Lease Trust 5.41%, 02/17/2032(1) | 256,794 |
| | Avis Budget Rental Car Funding AESOP LLC | |
| 215,000 | 5.23%, 12/20/2030(1) | 215,797 |
| 185,000 | 5.36%, 06/20/2030(1) | 187,225 |
| 220,000 | 5.90%, 08/21/2028(1) | 224,673 |
| 260,108 | Chesapeake Funding II LLC 5.65%, 05/15/2035(1) | 261,181 |
| 217,679 | CPS Auto Receivables Trust 5.91%, 08/16/2027(1) | 217,844 |
| | Credit Acceptance Auto Loan Trust | |
| 190,000 | 5.68%, 03/15/2034(1) | 191,718 |
| 470,000 | 6.11%, 08/15/2034(1) | 477,100 |
| | DT Auto Owner Trust | |
| 140,000 | 5.19%, 10/16/2028(1) | 139,475 |
| 155,000 | 5.41%, 02/15/2029(1) | 154,534 |
| | Enterprise Fleet Financing LLC | |
| 95,000 | 5.16%, 09/20/2030(1) | 96,026 |
| 215,000 | 5.42%, 10/22/2029(1) | 216,604 |
| 90,000 | Exeter Automobile Receivables Trust 6.11%, 09/15/2027 | 90,132 |
| | Flagship Credit Auto Trust | |
| 259,000 | 4.69%, 07/17/2028(1) | 256,612 |
| 77,000 | 5.05%, 01/18/2028(1) | 76,521 |
| 195,000 | 5.21%, 05/15/2028(1) | 194,152 |
| 560,000 | Hertz Vehicle Financing III LLC 5.94%, 02/25/2028(1) | 566,600 |
| 445,000 | OneMain Direct Auto Receivables Trust 5.41%, 11/14/2029(1) | 446,916 |
| 27,605 | Prestige Auto Receivables Trust 1.62%, 11/16/2026(1) | 27,507 |
| | Santander Drive Auto Receivables Trust | |
| 160,000 | 4.98%, 02/15/2028 | 159,260 |
| 280,000 | 5.61%, 07/17/2028 | 281,144 |
| 110,000 | SBNA Auto Lease Trust 5.24%, 01/22/2029(1) | 110,441 |
| 235,000 | SFS Auto Receivables Securitization Trust 5.47%, 12/20/2029(1) | 238,447 |
| | Tricolor Auto Securitization Trust | |
| 18,473 | 6.48%, 08/17/2026(1) | 18,474 |
| 165,152 | 6.61%, 10/15/2027(1) | 165,693 |
| | Westlake Automobile Receivables Trust | |
| 25,907 | 1.65%, 02/17/2026(1) | 25,805 |
| 90,000 | 5.41%, 01/18/2028(1) | 89,846 |
| 400,000 | 6.14%, 03/15/2028(1) | 401,740 |
| 145,000 | World Omni Auto Receivables Trust 5.03%, 05/15/2029 | 145,345 |
| | | | 6,119,087 |
| | Asset-Backed - Manufactured Housing - 0.0% |
| 61,900 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | 54,145 |
| | Asset-Backed - Student Loan - 0.2% |
| | Navient Private Education Refi Loan Trust | |
| 134,124 | 0.97%, 12/16/2069(1) | 116,576 |
| 228,060 | 1.11%, 02/18/2070(1) | 196,668 |
| 287,162 | 5.51%, 10/15/2071(1) | 290,488 |
| | | | 603,732 |
| | Commercial Mortgage-Backed Securities - 5.4% |
| 235,000 | 245 Park Avenue Trust 3.51%, 06/05/2037(1) | 218,567 |
| 305,000 | Aligned Data Centers Issuer LLC 6.00%, 08/17/2048(1) | 309,215 |
| 195,000 | ARZ Trust 5.77%, 06/11/2029(1) | 198,682 |
| | BBCMS Mortgage Trust | |
| 1,829,509 | 1.01%, 05/15/2057(2)(3) | 142,521 |
| 1,008,631 | 1.63%, 02/15/2057(2)(3) | 107,351 |
| 125,000 | 3.66%, 04/15/2055(3) | 113,386 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Commercial Mortgage-Backed Securities - 5.4% - (continued) |
| $ 430,000 | 5.83%, 05/15/2057 | $ 455,733 |
| | Benchmark Mortgage Trust | |
| 2,781,132 | 0.57%, 07/15/2056(2)(3) | 110,802 |
| 969,341 | 1.17%, 12/15/2056(2)(3) | 63,361 |
| 559,060 | 1.51%, 01/15/2054(2)(3) | 41,205 |
| 595,623 | 1.78%, 07/15/2053(2)(3) | 34,468 |
| | BMO Mortgage Trust | |
| 1,685,000 | 1.08%, 07/15/2057(2)(3) | 115,679 |
| 624,000 | 5.76%, 07/15/2057 | 653,536 |
| | BX Trust | |
| 630,000 | 6.34%, 10/15/2036, 1 mo. USD Term SOFR + 1.01%(1)(4) | 621,802 |
| 115,000 | 7.42%, 03/15/2041, 1 mo. USD Term SOFR + 2.09%(1)(4) | 114,856 |
| | CF Hippolyta Issuer LLC | |
| 94,245 | 1.53%, 03/15/2061(1) | 88,175 |
| 126,765 | 1.69%, 07/15/2060(1) | 120,992 |
| 97,713 | 5.97%, 08/15/2062(1) | 97,070 |
| 20,617 | Citigroup Commercial Mortgage Trust 3.61%, 11/10/2048 | 20,406 |
| | Commercial Mortgage Trust | |
| 100,000 | 2.82%, 01/10/2039(1) | 91,702 |
| 35,000 | 3.18%, 02/10/2048 | 34,626 |
| 150,000 | 3.31%, 03/10/2048 | 147,695 |
| 110,000 | 3.38%, 01/10/2039(1) | 98,490 |
| 210,000 | 3.61%, 08/10/2049(1)(3) | 207,315 |
| 250,000 | 6.34%, 08/10/2044(1) | 253,791 |
| 24,372 | CSAIL Commercial Mortgage Trust 4.36%, 11/15/2051(3) | 23,944 |
| 54,662 | CSMC Trust 2.26%, 08/15/2037(1) | 52,064 |
| 280,000 | DBGS Mortgage Trust 4.47%, 10/15/2051 | 265,458 |
| | DBJPM Mortgage Trust | |
| 460,343 | 1.70%, 09/15/2053(2)(3) | 22,876 |
| 16,420 | 3.04%, 05/10/2049 | 16,117 |
| 120,000 | DC Trust 5.73%, 04/13/2028(1)(3) | 120,309 |
| | FREMF Mortgage Trust | |
| 295,000 | 3.60%, 04/25/2048(1)(3) | 291,159 |
| 90,000 | 3.66%, 11/25/2049(1)(3) | 89,266 |
| 225,000 | 3.95%, 06/25/2049(1)(3) | 219,427 |
| 565,000 | GS Mortgage Securities Corp. II 5.31%, 03/10/2041(1)(3) | 560,087 |
| 375,000 | GS Mortgage Securities Trust 3.44%, 11/10/2049(3) | 359,679 |
| 200,000 | Hawaii Hotel Trust 6.78%, 05/15/2038, 1 mo. USD Term SOFR + 1.45%(1)(4) | 199,437 |
| 150,000 | HTL Commercial Mortgage Trust 5.88%, 05/10/2039(1)(3) | 151,381 |
| 1,097,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.82%, 08/15/2049 | 1,046,021 |
| | JPMBB Commercial Mortgage Securities Trust | |
| 24,835 | 3.56%, 12/15/2048 | 24,486 |
| 635,000 | 3.58%, 03/17/2049 | 616,347 |
| | JPMDB Commercial Mortgage Securities Trust | |
| 52,244 | 2.95%, 06/15/2049 | 51,239 |
| 632,000 | 3.14%, 12/15/2049 | 592,819 |
| 95,236 | 3.24%, 10/15/2050 | 92,523 |
| 210,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 208,372 |
| 383,263 | MSWF Commercial Mortgage Trust 0.91%, 12/15/2056(2)(3) | 24,670 |
| 510,000 | New Economy Assets Phase 1 Sponsor LLC 1.91%, 10/20/2061(1) | 461,036 |
| 285,000 | NJ Trust 6.48%, 01/06/2029(1)(3) | 296,245 |
| 495,000 | Retained Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) | 481,896 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Commercial Mortgage-Backed Securities - 5.4% - (continued) |
| $ 50,000 | SG Commercial Mortgage Securities Trust 2.63%, 03/15/2037(1) | $ 45,700 |
| 525,000 | TYSN Mortgage Trust 6.58%, 12/10/2033(1)(3) | 548,297 |
| | Wells Fargo Commercial Mortgage Trust | |
| 360,000 | 3.15%, 05/15/2048 | 353,120 |
| 719,000 | 3.43%, 03/15/2059 | 697,472 |
| 22,040 | 3.52%, 12/15/2048 | 21,774 |
| 420,000 | 3.64%, 03/15/2050 | 396,407 |
| 235,000 | 3.81%, 12/15/2048 | 229,622 |
| | Wells Fargo NA | |
| 3,967,914 | 0.63%, 11/15/2062(2)(3) | 116,637 |
| 1,711,798 | 0.82%, 06/15/2057(2)(3) | 105,298 |
| 922,629 | 0.94%, 02/15/2052(2)(3) | 29,993 |
| 993,961 | 0.99%, 02/15/2056(2)(3) | 60,251 |
| 880,923 | 1.00%, 12/15/2056(2)(3) | 32,801 |
| 1,462,249 | 1.32%, 11/15/2053(2)(3) | 92,503 |
| 1,241,761 | 1.76%, 03/15/2063(2)(3) | 103,773 |
| 145,000 | 4.41%, 11/15/2061(3) | 140,942 |
| 650,000 | 5.72%, 06/15/2057 | 681,759 |
| | | | 14,384,633 |
| | Other Asset-Backed Securities - 6.3% |
| | Affirm Asset Securitization Trust | |
| 165,000 | 5.61%, 02/15/2029(1) | 165,481 |
| 210,000 | 6.61%, 01/18/2028(1) | 210,747 |
| 220,000 | Auxilior Term Funding LLC 5.49%, 07/15/2031(1) | 222,105 |
| 400,000 | Barings CLO Ltd. 7.37%, 01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(4) | 403,025 |
| 495,000 | Battalion CLO 18 Ltd. 7.47%, 03/13/2037, 3 mo. USD Term SOFR + 2.20%(1)(4) | 496,075 |
| 315,000 | Benefit Street Partners CLO XXXI Ltd. 7.63%, 04/25/2036, 3 mo. USD Term SOFR + 2.35%(1)(4) | 316,893 |
| 16,730 | BHG Securitization Trust 0.90%, 10/17/2034(1) | 16,503 |
| 270,000 | Birch Grove CLO 4 Ltd. 7.10%, 07/15/2037, 3 mo. USD Term SOFR + 1.80%(1)(4) | 270,437 |
| 250,000 | BlueMountain CLO XXIV Ltd. 6.64%, 04/20/2034, 3 mo. USD Term SOFR + 1.36%(1)(4) | 249,954 |
| 470,000 | BlueMountain CLO XXXI Ltd. 6.69%, 04/19/2034, 3 mo. USD Term SOFR + 1.41%(1)(4) | 470,616 |
| 460,000 | BlueMountain CLO XXXIII Ltd. 6.78%, 11/20/2034, 3 mo. USD Term SOFR + 1.45%(1)(4) | 460,233 |
| 95,000 | CNH Equipment Trust 4.77%, 10/15/2030 | 94,706 |
| 250,909 | Commercial Equipment Finance LLC 5.97%, 07/16/2029(1) | 251,864 |
| | DB Master Finance LLC | |
| 146,250 | 2.79%, 11/20/2051(1) | 124,372 |
| 700,087 | 4.35%, 05/20/2049(1) | 672,239 |
| 160,000 | DLLAA LLC 5.64%, 02/22/2028(1) | 161,837 |
| | Domino's Pizza Master Issuer LLC | |
| 441,515 | 2.66%, 04/25/2051(1) | 397,789 |
| 432,000 | 3.67%, 10/25/2049(1) | 400,489 |
| 206,800 | 4.12%, 07/25/2047(1) | 199,860 |
| 435,000 | Elmwood CLO 19 Ltd. 7.69%, 10/17/2036, 3 mo. USD Term SOFR + 2.40%(1)(4) | 441,713 |
| 295,000 | Elmwood CLO 23 Ltd. 7.54%, 04/16/2036, 3 mo. USD Term SOFR + 2.25%(1)(4) | 296,475 |
| | FirstKey Homes Trust | |
| 153,470 | 4.15%, 05/19/2039(1) | 149,516 |
| 585,698 | 4.25%, 07/17/2039(1) | 572,304 |
| 750,000 | Galaxy XXIV CLO Ltd. 6.84%, 04/15/2037, 3 mo. USD Term SOFR + 1.54%(1)(4) | 754,195 |
| 250,000 | Invesco U.S. CLO Ltd. 7.58%, 04/21/2036, 3 mo. USD Term SOFR + 2.30%(1)(4) | 250,844 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Other Asset-Backed Securities - 6.3% - (continued) |
| $ 250,000 | Madison Park Funding LXVII Ltd. 6.80%, 04/25/2037, 3 mo. USD Term SOFR + 1.51%(1)(4) | $ 250,472 |
| 330,000 | MF1 Ltd. 7.09%, 02/19/2037, 1 mo. USD Term SOFR + 1.75%(1)(4) | 324,406 |
| 770,000 | OCP CLO Ltd. 6.81%, 04/18/2037, 3 mo. USD Term SOFR + 1.53%(1)(4) | 773,005 |
| 410,000 | Octagon 61 Ltd. 7.63%, 04/20/2036, 3 mo. USD Term SOFR + 2.35%(1)(4) | 411,434 |
| | Progress Residential Trust | |
| 401,702 | 1.51%, 10/17/2038(1) | 372,151 |
| 142,093 | 3.20%, 04/17/2039(1) | 135,212 |
| 397,661 | 4.44%, 05/17/2041(1) | 387,956 |
| 105,701 | 4.45%, 06/17/2039(1) | 104,021 |
| 178,743 | 4.75%, 10/27/2039(1) | 176,365 |
| 22,976 | Regional Management Issuance Trust 2.34%, 10/15/2030(1) | 22,767 |
| 635,000 | RR 23 Ltd. 7.95%, 10/15/2035, 3 mo. USD Term SOFR + 2.65%(1)(4) | 639,129 |
| | SCF Equipment Leasing LLC | |
| 140,000 | 5.52%, 01/20/2032(1) | 141,937 |
| 334,404 | 6.56%, 01/22/2030(1) | 337,428 |
| 390,000 | Sound Point CLO XXIX Ltd. 6.62%, 04/25/2034, 3 mo. USD Term SOFR + 1.33%(1)(4) | 390,143 |
| | Stack Infrastructure Issuer LLC | |
| 60,000 | 1.89%, 08/25/2045(1) | 57,456 |
| 285,000 | 5.90%, 07/25/2048(1) | 287,845 |
| 130,000 | 5.90%, 03/25/2049(1) | 132,044 |
| 440,000 | Subway Funding LLC 6.03%, 07/30/2054(1) | 448,952 |
| 75,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 71,426 |
| 146,998 | Sunnova Hestia II Issuer LLC 5.63%, 07/20/2051(1) | 148,864 |
| 350,000 | Texas Debt Capital CLO Ltd. 7.58%, 04/20/2036, 3 mo. USD Term SOFR + 2.30%(1)(4) | 351,248 |
| 654,011 | Tricon Residential Trust 3.86%, 04/17/2039(1) | 632,961 |
| 515,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 492,031 |
| 330,000 | VB-S1 Issuer LLC 5.59%, 05/15/2054(1) | 333,041 |
| 390,000 | Venture 42 CLO Ltd. 6.69%, 04/15/2034, 3 mo. USD Term SOFR + 1.39%(1)(4) | 389,951 |
| 297,979 | Wellfleet CLO X Ltd. 6.71%, 07/20/2032, 3 mo. USD Term SOFR + 1.43%(1)(4) | 298,657 |
| 198,794 | Wendy's Funding LLC 2.37%, 06/15/2051(1) | 174,876 |
| 531,900 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 489,928 |
| | | | 16,825,978 |
| | Whole Loan Collateral CMO - 6.9% |
| 190,457 | 510 Asset-Backed Trust 5.12%, 06/25/2061(1)(5) | 188,653 |
| | Angel Oak Mortgage Trust | |
| 75,946 | 0.91%, 01/25/2066(1)(3) | 65,143 |
| 269,686 | 0.95%, 07/25/2066(1)(3) | 227,739 |
| 37,292 | 0.99%, 04/25/2053(1)(3) | 34,667 |
| 69,369 | 0.99%, 04/25/2066(1)(3) | 59,479 |
| 179,629 | 1.04%, 01/20/2065(1)(3) | 148,078 |
| 131,798 | 1.07%, 05/25/2066(1)(3) | 111,220 |
| 419,241 | 1.46%, 09/25/2066(1)(3) | 342,757 |
| 21,039 | 1.47%, 06/25/2065(1)(3) | 19,698 |
| 36,529 | 1.69%, 04/25/2065(1)(3) | 33,825 |
| 200,418 | 1.82%, 11/25/2066(1)(3) | 174,703 |
| 548,118 | 2.88%, 12/25/2066(1)(5) | 502,880 |
| 21,142 | Arroyo Mortgage Trust 3.81%, 01/25/2049(1)(3) | 20,552 |
| 130,772 | BINOM Securitization Trust 2.03%, 06/25/2056(1)(3) | 114,799 |
| | BRAVO Residential Funding Trust | |
| 42,962 | 0.94%, 02/25/2049(1)(3) | 38,251 |
| 54,090 | 0.97%, 03/25/2060(1)(3) | 50,675 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Whole Loan Collateral CMO - 6.9% - (continued) |
| | Bunker Hill Loan Depositary Trust | |
| $ 31,557 | 1.72%, 02/25/2055(1)(3) | $ 30,368 |
| 18,476 | 2.88%, 07/25/2049(1)(5) | 17,731 |
| 351,725 | CIM Trust 1.43%, 07/25/2061(1)(3) | 306,641 |
| | COLT Mortgage Loan Trust | |
| 32,424 | 0.80%, 07/27/2054(1) | 28,389 |
| 112,555 | 0.91%, 06/25/2066(1)(3) | 94,709 |
| 190,034 | 0.92%, 08/25/2066(1)(3) | 155,848 |
| 348,920 | 0.96%, 09/27/2066(1)(3) | 283,772 |
| 436,544 | 1.11%, 10/25/2066(1)(3) | 365,945 |
| 45,165 | 1.33%, 10/26/2065(1)(3) | 40,790 |
| 20,806 | 1.51%, 04/27/2065(1)(3) | 19,818 |
| 482,375 | 2.28%, 12/27/2066(1)(3) | 425,881 |
| 83,795 | 4.30%, 03/25/2067(1)(3) | 82,145 |
| 223,488 | COLT Trust 1.39%, 01/25/2065(1)(3) | 189,857 |
| | CSMC Trust | |
| 86,013 | 0.83%, 03/25/2056(1)(3) | 70,185 |
| 170,060 | 0.94%, 05/25/2066(1)(3) | 138,986 |
| 414,316 | 1.17%, 07/25/2066(1)(3) | 346,045 |
| 148,302 | 1.18%, 02/25/2066(1)(3) | 129,233 |
| 66,143 | 1.21%, 05/25/2065(1)(5) | 60,928 |
| 216,917 | 1.84%, 10/25/2066(1)(3) | 189,062 |
| 140,829 | 2.00%, 01/25/2060(1)(3) | 124,490 |
| 543,128 | 2.27%, 11/25/2066(1)(3) | 485,209 |
| 70,566 | 4.06%, 12/27/2060(1)(3) | 69,720 |
| | Deephaven Residential Mortgage Trust | |
| 20,339 | 0.72%, 05/25/2065(1)(3) | 19,033 |
| 47,000 | 0.90%, 04/25/2066(1)(3) | 40,956 |
| | Ellington Financial Mortgage Trust | |
| 27,467 | 0.80%, 02/25/2066(1)(3) | 23,256 |
| 53,871 | 0.93%, 06/25/2066(1)(3) | 44,564 |
| 20,163 | 1.18%, 10/25/2065(1)(3) | 18,664 |
| 306,327 | 1.24%, 09/25/2066(1)(3) | 246,315 |
| 246,427 | 2.21%, 01/25/2067(1)(3) | 211,670 |
| 16,280 | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust 2.50%, 08/25/2059 | 14,906 |
| 94,000 | Federal National Mortgage Association Connecticut Avenue Securities 7.15%, 02/25/2044, 30 day USD SOFR Average + 1.80%(1)(4) | 94,572 |
| | GCAT Trust | |
| 88,026 | 0.87%, 01/25/2066(1)(3) | 73,089 |
| 97,299 | 1.04%, 05/25/2066(1)(3) | 80,722 |
| 294,178 | 1.09%, 08/25/2066(1)(3) | 241,718 |
| 422,807 | 1.26%, 07/25/2066(1)(3) | 344,471 |
| 145,850 | 1.92%, 08/25/2066(1)(3) | 132,920 |
| 17,587 | 2.56%, 04/25/2065(1)(5) | 16,460 |
| 8,415 | 3.25%, 01/25/2060(1)(5) | 8,104 |
| | Imperial Fund Mortgage Trust | |
| 162,387 | 1.07%, 09/25/2056(1)(3) | 134,335 |
| 509,473 | 2.09%, 01/25/2057(1)(3) | 431,484 |
| 587,515 | 3.64%, 03/25/2067(1)(5) | 544,845 |
| | Legacy Mortgage Asset Trust | |
| 79,787 | 1.65%, 11/25/2060(1)(5) | 77,331 |
| 70,143 | 4.75%, 04/25/2061(1)(5) | 68,563 |
| 96,766 | 4.75%, 07/25/2061(1)(5) | 94,265 |
| | MetLife Securitization Trust | |
| 34,800 | 3.75%, 03/25/2057(1)(3) | 33,104 |
| 26,528 | 3.75%, 04/25/2058(1)(3) | 25,836 |
| | MFA Trust | |
| 17,888 | 1.01%, 01/26/2065(1)(3) | 16,500 |
| 117,622 | 1.03%, 11/25/2064(1)(3) | 102,570 |
| 51,001 | 1.15%, 04/25/2065(1)(3) | 45,960 |
| 11,519 | Mill City Mortgage Loan Trust 3.50%, 05/25/2058(1)(3) | 11,364 |
| | New Residential Mortgage Loan Trust | |
| 65,561 | 0.94%, 07/25/2055(1)(3) | 58,035 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Whole Loan Collateral CMO - 6.9% - (continued) |
| $ 40,035 | 0.94%, 10/25/2058(1)(3) | $ 36,853 |
| 330,182 | 1.16%, 11/27/2056(1)(3) | 281,093 |
| 13,796 | 1.65%, 05/24/2060(1)(3) | 13,082 |
| 490,596 | 2.28%, 04/25/2061(1)(3) | 425,527 |
| 78,593 | 3.50%, 12/25/2057(1)(3) | 75,089 |
| 12,776 | 3.75%, 03/25/2056(1)(3) | 12,051 |
| 34,532 | 3.75%, 11/25/2058(1)(3) | 32,615 |
| 147,950 | 4.00%, 03/25/2057(1)(3) | 140,931 |
| 160,931 | 4.00%, 12/25/2057(1)(3) | 153,668 |
| 202,264 | NMLT Trust 1.19%, 05/25/2056(1)(3) | 169,839 |
| | OBX Trust | |
| 213,246 | 1.05%, 07/25/2061(1)(3) | 169,388 |
| 136,145 | 1.07%, 02/25/2066(1)(3) | 118,721 |
| 430,857 | 2.31%, 11/25/2061(1)(3) | 377,883 |
| | PRET LLC | |
| 143,846 | 1.74%, 07/25/2051(1)(5) | 138,794 |
| 432,362 | 1.84%, 09/25/2051(1)(5) | 413,591 |
| 416,350 | 2.49%, 10/25/2051(1)(5) | 407,013 |
| 98,667 | 4.87%, 07/25/2051(1)(5) | 94,998 |
| 331,726 | Pretium Mortgage Credit Partners I LLC 2.36%, 10/27/2060(1)(5) | 331,185 |
| 174,613 | Pretium Mortgage Credit Partners LLC 4.99%, 02/25/2061(1)(5) | 171,136 |
| | PRPM LLC | |
| 74,022 | 1.32%, 07/25/2051(1)(5) | 67,294 |
| 187,680 | 1.74%, 09/25/2026(1)(3) | 184,945 |
| 278,425 | 1.87%, 08/25/2026(1)(5) | 268,386 |
| 360,831 | 2.36%, 10/25/2026(1)(5) | 352,527 |
| 127,956 | 4.79%, 06/25/2026(1)(5) | 125,834 |
| 168,307 | 4.79%, 07/25/2026(1)(5) | 162,115 |
| 196,161 | 4.87%, 04/25/2026(1)(5) | 191,648 |
| 41,122 | 5.36%, 11/25/2025(1)(5) | 40,992 |
| 32,137 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(3) | 30,096 |
| 98,412 | STAR Trust 1.22%, 05/25/2065(1)(3) | 89,337 |
| | Starwood Mortgage Residential Trust | |
| 34,205 | 0.94%, 05/25/2065(1)(3) | 31,190 |
| 336,862 | 1.16%, 08/25/2056(1)(3) | 292,322 |
| 14,003 | 1.49%, 04/25/2065(1)(3) | 13,406 |
| 332,188 | 1.92%, 11/25/2066(1)(3) | 286,916 |
| | Towd Point Mortgage Trust | |
| 96,986 | 1.75%, 10/25/2060(1) | 86,902 |
| 99,522 | 2.75%, 10/25/2057(1)(3) | 96,181 |
| 38,514 | 2.90%, 10/25/2059(1)(3) | 36,307 |
| 334,997 | 2.92%, 11/30/2060(1)(3) | 279,384 |
| 22,632 | 3.25%, 03/25/2058(1)(3) | 22,059 |
| 154,677 | 3.75%, 03/25/2058(1)(3) | 148,835 |
| 129,094 | TRK Trust 1.15%, 07/25/2056(1)(3) | 112,244 |
| | VCAT LLC | |
| 482,756 | 1.87%, 08/25/2051(1)(5) | 469,548 |
| 390,059 | 1.92%, 09/25/2051(1)(5) | 379,904 |
| 6,298 | 4.74%, 05/25/2051(1)(5) | 6,131 |
| 15,045 | 5.12%, 03/27/2051(1)(5) | 14,978 |
| | Verus Securitization Trust | |
| 61,969 | 0.92%, 02/25/2064(1)(3) | 56,062 |
| 145,385 | 0.94%, 07/25/2066(1)(3) | 117,875 |
| 610,934 | 1.01%, 09/25/2066(1)(3) | 512,045 |
| 51,115 | 1.03%, 02/25/2066(1)(3) | 45,156 |
| 37,352 | 1.22%, 05/25/2065(1)(5) | 35,358 |
| 222,596 | 1.82%, 11/25/2066(1)(3) | 198,106 |
| 461,688 | 1.83%, 10/25/2066(1)(5) | 407,432 |
| 23,094 | 2.50%, 05/25/2065(1)(5) | 22,075 |
| 333,563 | 2.72%, 01/25/2067(1)(5) | 304,939 |
| 21,100 | 3.69%, 11/25/2059(1)(3) | 20,613 |
| 190,986 | VOLT CIII LLC 1.99%, 08/25/2051(1)(5) | 184,520 |
| 96,310 | VOLT XCIII LLC 4.89%, 02/27/2051(1)(5) | 95,856 |
| 76,067 | VOLT XCIV LLC 5.24%, 02/27/2051(1)(5) | 75,590 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 21.1% - (continued) |
| | Whole Loan Collateral CMO - 6.9% - (continued) |
| $ 95,082 | VOLT XCIX LLC 5.12%, 04/25/2051(1)(5) | $ 93,293 |
| 58,795 | VOLT XCV LLC 5.24%, 03/27/2051(1)(5) | 57,280 |
| | | | 18,623,621 |
| | Total Asset & Commercial Mortgage-Backed Securities
(cost $59,267,642) | $ 56,611,196 |
| CORPORATE BONDS - 27.4% |
| | Aerospace/Defense - 0.5% |
| 200,000 | BAE Systems PLC 5.13%, 03/26/2029(1) | $ 201,996 |
| | Boeing Co. | |
| 45,000 | 3.75%, 02/01/2050 | 30,644 |
| 60,000 | 5.15%, 05/01/2030 | 58,873 |
| 40,000 | 5.81%, 05/01/2050 | 37,106 |
| 80,000 | 5.93%, 05/01/2060 | 73,297 |
| 95,000 | 6.30%, 05/01/2029(1) | 97,996 |
| 80,000 | 6.39%, 05/01/2031(1) | 83,234 |
| 60,000 | 6.53%, 05/01/2034(1) | 62,684 |
| | L3Harris Technologies, Inc. | |
| 160,000 | 5.05%, 06/01/2029 | 161,303 |
| 235,000 | 5.35%, 06/01/2034 | 237,384 |
| 235,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 228,883 |
| 90,000 | RTX Corp. 5.75%, 11/08/2026 | 91,744 |
| | | | 1,365,144 |
| | Agriculture - 0.6% |
| 120,000 | Archer-Daniels-Midland Co. 2.90%, 03/01/2032 | 104,980 |
| | BAT Capital Corp. | |
| 135,000 | 5.83%, 02/20/2031 | 139,660 |
| 60,000 | 6.00%, 02/20/2034 | 62,239 |
| | Cargill, Inc. | |
| 255,000 | 2.13%, 11/10/2031(1) | 213,078 |
| 110,000 | 4.00%, 06/22/2032(1) | 104,016 |
| 60,000 | 4.75%, 04/24/2033(1) | 59,529 |
| | Philip Morris International, Inc. | |
| 375,000 | 5.13%, 02/15/2030 | 379,909 |
| 250,000 | 5.13%, 02/13/2031 | 252,689 |
| 70,000 | 5.63%, 11/17/2029 | 72,892 |
| 250,000 | 5.63%, 09/07/2033 | 257,618 |
| | | | 1,646,610 |
| | Apparel - 0.0% |
| | Tapestry, Inc. | |
| 65,000 | 7.05%, 11/27/2025 | 66,245 |
| 39,000 | 7.70%, 11/27/2030 | 41,171 |
| | | | 107,416 |
| | Auto Manufacturers - 0.2% |
| 245,000 | Hyundai Capital America 5.50%, 03/30/2026(1) | 246,299 |
| 250,000 | Mercedes-Benz Finance North America LLC 4.95%, 03/30/2025(1) | 249,449 |
| | | | 495,748 |
| | Biotechnology - 0.4% |
| | Amgen, Inc. | |
| 145,000 | 5.25%, 03/02/2033 | 146,899 |
| 125,000 | 5.75%, 03/02/2063 | 125,417 |
| 170,000 | CSL Finance PLC 4.25%, 04/27/2032(1) | 162,923 |
| 105,000 | Gilead Sciences, Inc. 5.25%, 10/15/2033 | 107,564 |
| | Royalty Pharma PLC | |
| 80,000 | 2.15%, 09/02/2031 | 65,958 |
| 415,000 | 2.20%, 09/02/2030 | 353,102 |
| 115,000 | 5.15%, 09/02/2029 | 115,405 |
| 50,000 | 5.40%, 09/02/2034 | 49,769 |
| | | | 1,127,037 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Chemicals - 0.4% |
| | Celanese U.S. Holdings LLC | |
| $ 321,000 | 6.17%, 07/15/2027 | $ 328,890 |
| 125,000 | 6.35%, 11/15/2028 | 130,275 |
| 100,000 | 6.55%, 11/15/2030 | 106,025 |
| 75,000 | 6.70%, 11/15/2033 | 80,390 |
| 320,000 | Nutrien Ltd. 4.90%, 03/27/2028 | 320,146 |
| | Sherwin-Williams Co. | |
| 272,000 | 2.30%, 05/15/2030 | 237,612 |
| 2,000 | 2.95%, 08/15/2029 | 1,836 |
| | | | 1,205,174 |
| | Commercial Banks - 6.9% |
| 200,000 | Banco Santander SA 5.44%, 07/15/2031 | 202,665 |
| | Bank of America Corp. | |
| 460,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 6 mo. USD SOFR + 1.37% thereafter)(6) | 384,088 |
| 380,000 | 2.59%, 04/29/2031, (2.59% fixed rate until 04/29/2030; 6 mo. USD SOFR + 2.15% thereafter)(6) | 334,535 |
| 1,310,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.32% thereafter)(6) | 1,129,643 |
| 589,000 | 3.97%, 02/07/2030, (3.97% fixed rate until 02/07/2029; 3 mo. USD Term SOFR + 1.47% thereafter)(6) | 565,863 |
| 120,000 | 5.47%, 01/23/2035, (5.47% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.65% thereafter)(6) | 122,150 |
| 175,000 | Bank of Montreal 5.51%, 06/04/2031 | 179,824 |
| | Bank of New York Mellon Corp. | |
| 95,000 | 4.98%, 03/14/2030, (4.98% fixed rate until 03/14/2029; 6 mo. USD SOFR + 1.09% thereafter)(6) | 95,814 |
| 160,000 | 5.06%, 07/22/2032, (5.06% fixed rate until 07/22/2031; 6 mo. USD SOFR + 1.23% thereafter)(6) | 161,418 |
| 190,000 | 5.19%, 03/14/2035, (5.19% fixed rate until 03/14/2034; 6 mo. USD SOFR + 1.42% thereafter)(6) | 190,928 |
| 155,000 | 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(6) | 163,977 |
| 510,000 | Barclays PLC 5.69%, 03/12/2030, (5.69% fixed rate until 03/12/2029; 6 mo. USD SOFR + 1.74% thereafter)(6) | 519,315 |
| | BNP Paribas SA | |
| 210,000 | 5.34%, 06/12/2029, (5.34% fixed rate until 06/12/2028; 1 yr. USD CMT + 1.50% thereafter)(1)(6) | 212,744 |
| 315,000 | 5.89%, 12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(6) | 329,038 |
| | BPCE SA | |
| 250,000 | 2.05%, 10/19/2027, (2.05% fixed rate until 10/19/2026; 6 mo. USD SOFR + 1.09% thereafter)(1)(6) | 232,507 |
| 500,000 | 6.51%, 01/18/2035, (6.51% fixed rate until 01/18/2034; 1 yr. USD CMT + 2.79% thereafter)(1)(6) | 513,956 |
| 585,000 | 6.71%, 10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(6) | 613,584 |
| 250,000 | CaixaBank SA 6.68%, 09/13/2027, (6.68% fixed rate until 09/13/2026; 6 mo. USD SOFR + 2.08% thereafter)(1)(6) | 256,940 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Commercial Banks - 6.9% - (continued) |
| $ 140,000 | Citigroup, Inc. 5.17%, 02/13/2030, (5.17% fixed rate until 02/13/2029; 6 mo. USD SOFR + 1.36% thereafter)(6) | $ 141,119 |
| | Citizens Financial Group, Inc. | |
| 190,000 | 5.72%, 07/23/2032, (5.72% fixed rate until 07/23/2031; 6 mo. USD SOFR + 1.91% thereafter)(6) | 191,612 |
| 230,000 | 5.84%, 01/23/2030, (5.84% fixed rate until 01/23/2029; 6 mo. USD SOFR + 2.01% thereafter)(6) | 233,122 |
| 95,000 | 6.65%, 04/25/2035, (6.65% fixed rate until 04/25/2034; 6 mo. USD SOFR + 2.33% thereafter)(6) | 100,857 |
| 35,000 | Comerica, Inc. 5.98%, 01/30/2030, (5.98% fixed rate until 01/30/2029; 6 mo. USD SOFR + 2.16% thereafter)(6) | 34,987 |
| 405,000 | Credit Agricole SA 5.34%, 01/10/2030, (5.34% fixed rate until 01/10/2029; 6 mo. USD SOFR + 1.69% thereafter)(1)(6) | 407,052 |
| 200,000 | Danske Bank AS 6.26%, 09/22/2026, (6.26% fixed rate until 09/22/2025; 1 yr. USD CMT + 1.18% thereafter)(1)(6) | 202,137 |
| 150,000 | Deutsche Bank AG 5.41%, 05/10/2029 | 152,510 |
| 35,000 | Fifth Third Bancorp 6.34%, 07/27/2029, (6.34% fixed rate until 07/27/2028; 6 mo. USD SOFR + 2.34% thereafter)(6) | 36,381 |
| | Goldman Sachs Group, Inc. | |
| 75,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 6 mo. USD SOFR + 1.09% thereafter)(6) | 62,007 |
| 140,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.25% thereafter)(6) | 117,379 |
| 221,000 | 2.60%, 02/07/2030 | 197,228 |
| 470,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.28% thereafter)(6) | 402,512 |
| 275,000 | 5.05%, 07/23/2030, (5.05% fixed rate until 07/23/2029; 6 mo. USD SOFR + 1.21% thereafter)(6) | 275,569 |
| 215,000 | 5.73%, 04/25/2030, (5.73% fixed rate until 04/25/2029; 6 mo. USD SOFR + 1.27% thereafter)(6) | 221,435 |
| | HSBC Holdings PLC | |
| 230,000 | 2.21%, 08/17/2029, (2.21% fixed rate until 08/17/2028; 6 mo. USD SOFR + 1.29% thereafter)(6) | 205,924 |
| 205,000 | 4.58%, 06/19/2029, (4.58% fixed rate until 06/19/2028; 3 mo. USD Term SOFR + 1.80% thereafter)(6) | 201,206 |
| 490,000 | 5.73%, 05/17/2032, (5.73% fixed rate until 05/17/2031; 6 mo. USD SOFR + 1.52% thereafter)(6) | 500,449 |
| 210,000 | Intesa Sanpaolo SpA 7.80%, 11/28/2053(1) | 237,712 |
| | JP Morgan Chase & Co. | |
| 224,000 | 1.95%, 02/04/2032, (1.95% fixed rate until 02/04/2031; 6 mo. USD SOFR + 1.07% thereafter)(6) | 186,127 |
| 408,000 | 2.30%, 10/15/2025, (2.30% fixed rate until 10/15/2024; 6 mo. USD SOFR + 1.16% thereafter)(6) | 405,244 |
| 320,000 | 2.55%, 11/08/2032, (2.55% fixed rate until 11/08/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) | 271,829 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Commercial Banks - 6.9% - (continued) |
| $ 70,000 | 2.58%, 04/22/2032, (2.58% fixed rate until 04/22/2031; 3 mo. USD Term SOFR + 1.25% thereafter)(6) | $ 60,203 |
| 200,000 | 4.91%, 07/25/2033, (4.91% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.08% thereafter)(6) | 197,611 |
| 275,000 | 5.00%, 07/22/2030, (5.00% fixed rate until 07/22/2029; 6 mo. USD SOFR + 1.13% thereafter)(6) | 276,137 |
| 370,000 | 5.34%, 01/23/2035, (5.34% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.62% thereafter)(6) | 374,616 |
| 200,000 | 5.58%, 04/22/2030, (5.58% fixed rate until 04/22/2029; 6 mo. USD SOFR + 1.16% thereafter)(6) | 205,606 |
| 335,000 | 6.07%, 10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(6) | 343,157 |
| 215,000 | 6.09%, 10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(6) | 224,858 |
| | M&T Bank Corp. | |
| 285,000 | 5.05%, 01/27/2034, (5.05% fixed rate until 01/27/2033; 6 mo. USD SOFR + 1.85% thereafter)(6) | 271,111 |
| 245,000 | 7.41%, 10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(6) | 262,636 |
| 500,000 | Manufacturers & Traders Trust Co. 4.70%, 01/27/2028 | 490,798 |
| | Morgan Stanley | |
| 242,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 6 mo. USD SOFR + 1.03% thereafter)(6) | 197,559 |
| 45,000 | 1.93%, 04/28/2032, (1.93% fixed rate until 04/28/2031; 6 mo. USD SOFR + 1.02% thereafter)(6) | 36,903 |
| 307,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 6 mo. USD SOFR + 1.14% thereafter)(6) | 273,449 |
| 141,000 | 3.97%, 07/22/2038(3) | 123,069 |
| 50,000 | 5.45%, 07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) | 50,912 |
| 235,000 | 5.66%, 04/18/2030, (5.66% fixed rate until 04/18/2029; 6 mo. USD SOFR + 1.26% thereafter)(6) | 241,704 |
| 245,000 | NatWest Group PLC 5.85%, 03/02/2027, (5.85% fixed rate until 03/02/2026; 1 yr. USD CMT + 1.35% thereafter)(6) | 247,200 |
| 245,000 | Norinchukin Bank 5.43%, 03/09/2028(1) | 246,925 |
| | PNC Financial Services Group, Inc. | |
| 90,000 | 5.30%, 01/21/2028, (5.30% fixed rate until 01/21/2027; 6 mo. USD SOFR + 1.34% thereafter)(6) | 90,684 |
| 80,000 | 5.68%, 01/22/2035, (5.68% fixed rate until 01/22/2034; 6 mo. USD SOFR + 1.90% thereafter)(6) | 82,184 |
| 65,000 | 6.04%, 10/28/2033, (6.04% fixed rate until 10/28/2032; 6 mo. USD SOFR + 2.14% thereafter)(6) | 68,266 |
| 495,000 | Societe Generale SA 6.07%, 01/19/2035, (6.07% fixed rate until 01/19/2034; 1 yr. USD CMT + 2.10% thereafter)(1)(6) | 501,745 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Commercial Banks - 6.9% - (continued) |
| $ 210,000 | Standard Chartered PLC 5.91%, 05/14/2035, (5.91% fixed rate until 05/14/2034; 1 yr. USD CMT + 1.45% thereafter)(1)(6) | $ 213,886 |
| | UBS Group AG | |
| 200,000 | 6.25%, 09/22/2029, (6.25% fixed rate until 09/22/2028; 1 yr. USD CMT + 1.80% thereafter)(1)(6) | 208,371 |
| 530,000 | 6.54%, 08/12/2033, (6.54% fixed rate until 08/12/2032; 6 mo. USD SOFR + 3.92% thereafter)(1)(6) | 567,548 |
| | Wells Fargo & Co. | |
| 210,000 | 3.35%, 03/02/2033, (3.35% fixed rate until 03/02/2032; 6 mo. USD SOFR + 1.50% thereafter)(6) | 185,641 |
| 260,000 | 4.90%, 07/25/2033, (4.90% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.10% thereafter)(6) | 254,890 |
| 211,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD Term SOFR + 4.50% thereafter)(6) | 198,039 |
| 140,000 | 5.50%, 01/23/2035, (5.50% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.78% thereafter)(6) | 142,182 |
| 500,000 | 5.57%, 07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(6) | 510,636 |
| 150,000 | 6.30%, 10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(6) | 157,493 |
| 120,000 | 6.49%, 10/23/2034, (6.49% fixed rate until 10/23/2033; 6 mo. USD SOFR + 2.06% thereafter)(6) | 130,305 |
| | | | 18,429,711 |
| | Commercial Services - 0.1% |
| | Howard University | |
| 100,000 | 2.90%, 10/01/2031 | 86,953 |
| 70,000 | 3.48%, 10/01/2041 | 53,123 |
| | | | 140,076 |
| | Construction Materials - 0.0% |
| 45,000 | Trane Technologies Financing Ltd. 5.10%, 06/13/2034 | 45,610 |
| | Diversified Financial Services - 0.5% |
| 65,000 | American Express Co. 6.34%, 10/30/2026, (6.34% fixed rate until 10/30/2025; 6 mo. USD SOFR + 1.33% thereafter)(6) | 65,901 |
| 205,000 | BlackRock Funding, Inc. 4.90%, 01/08/2035 | 205,191 |
| | Capital One Financial Corp. | |
| 140,000 | 1.88%, 11/02/2027, (1.88% fixed rate until 11/02/2026; 6 mo. USD SOFR + 0.86% thereafter)(6) | 130,034 |
| 140,000 | 3.27%, 03/01/2030, (3.27% fixed rate until 03/01/2029; 6 mo. USD SOFR + 1.79% thereafter)(6) | 128,546 |
| 95,000 | 5.25%, 07/26/2030, (5.25% fixed rate until 07/26/2029; 6 mo. USD SOFR + 2.60% thereafter)(6) | 94,684 |
| 160,000 | 7.62%, 10/30/2031, (7.62% fixed rate until 10/30/2030; 6 mo. USD SOFR + 3.07% thereafter)(6) | 178,269 |
| 55,000 | Discover Financial Services 7.96%, 11/02/2034, (7.96% fixed rate until 11/02/2033; 6 mo. USD SOFR + 3.37% thereafter)(6) | 63,146 |
| 400,000 | Nomura Holdings, Inc. 5.78%, 07/03/2034 | 409,589 |
| | | | 1,275,360 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Electric - 5.2% |
| | Alabama Power Co. | |
| $ 100,000 | 3.45%, 10/01/2049 | $ 72,995 |
| 42,000 | 4.15%, 08/15/2044 | 35,284 |
| | Arizona Public Service Co. | |
| 110,000 | 5.55%, 08/01/2033 | 111,652 |
| 60,000 | 6.35%, 12/15/2032 | 64,444 |
| 155,000 | Baltimore Gas & Electric Co. 5.65%, 06/01/2054 | 158,169 |
| | CenterPoint Energy, Inc. | |
| 250,000 | 5.25%, 08/10/2026 | 250,928 |
| 225,000 | 5.40%, 06/01/2029 | 228,816 |
| 65,000 | Cleco Corporate Holdings LLC 3.38%, 09/15/2029 | 57,946 |
| | Consolidated Edison Co. of New York, Inc. | |
| 195,000 | 3.20%, 12/01/2051 | 132,759 |
| 50,000 | 5.38%, 05/15/2034 | 51,381 |
| 85,000 | 5.70%, 05/15/2054 | 86,893 |
| | Dominion Energy, Inc. | |
| 159,000 | 3.38%, 04/01/2030 | 146,108 |
| 10,000 | 6.30%, 03/15/2033 | 10,649 |
| 35,000 | Duke Energy Carolinas LLC 3.55%, 03/15/2052 | 25,413 |
| | Duke Energy Corp. | |
| 95,000 | 2.45%, 06/01/2030 | 83,434 |
| 775,000 | 2.55%, 06/15/2031 | 661,774 |
| 70,000 | 3.50%, 06/15/2051 | 48,805 |
| 120,000 | 3.75%, 09/01/2046 | 90,036 |
| 65,000 | 5.00%, 08/15/2052 | 58,089 |
| 155,000 | 5.45%, 06/15/2034 | 156,756 |
| 60,000 | 5.80%, 06/15/2054 | 59,763 |
| 220,000 | Duke Energy Florida LLC 5.88%, 11/15/2033 | 233,928 |
| 82,000 | Duke Energy Indiana LLC 3.25%, 10/01/2049 | 56,389 |
| 170,000 | Duke Energy Ohio, Inc. 5.55%, 03/15/2054 | 169,682 |
| | Edison International | |
| 95,000 | 4.13%, 03/15/2028 | 92,048 |
| 10,000 | 5.25%, 11/15/2028 | 10,059 |
| 60,000 | 6.95%, 11/15/2029 | 64,767 |
| 234,000 | Evergy, Inc. 2.90%, 09/15/2029 | 212,722 |
| | Eversource Energy | |
| 445,000 | 5.13%, 05/15/2033 | 437,221 |
| 245,000 | 5.45%, 03/01/2028 | 248,638 |
| 125,000 | 5.50%, 01/01/2034 | 125,548 |
| 70,000 | FirstEnergy Corp. 3.90%, 07/15/2027(5) | 67,845 |
| | FirstEnergy Pennsylvania Electric Co. | |
| 27,000 | 5.15%, 03/30/2026(1) | 26,972 |
| 15,000 | 5.20%, 04/01/2028(1) | 15,147 |
| 250,000 | Florida Power & Light Co. 4.63%, 05/15/2030 | 249,868 |
| | Georgia Power Co. | |
| 71,000 | 4.30%, 03/15/2042 | 61,773 |
| 240,000 | 4.65%, 05/16/2028 | 239,890 |
| 55,000 | 4.70%, 05/15/2032 | 54,272 |
| 147,000 | ITC Holdings Corp. 2.95%, 05/14/2030(1) | 132,223 |
| 70,000 | Monongahela Power Co. 5.85%, 02/15/2034(1) | 72,548 |
| 295,000 | National Grid PLC 5.60%, 06/12/2028 | 301,616 |
| 235,000 | National Rural Utilities Cooperative Finance Corp. 4.15%, 12/15/2032 | 222,596 |
| 629,000 | NextEra Energy Capital Holdings, Inc. 2.25%, 06/01/2030 | 545,858 |
| 175,000 | NSTAR Electric Co. 5.40%, 06/01/2034 | 179,190 |
| | Oglethorpe Power Corp. | |
| 184,000 | 5.05%, 10/01/2048 | 164,431 |
| 25,000 | 5.25%, 09/01/2050 | 23,079 |
| 25,000 | 5.80%, 06/01/2054(1) | 25,114 |
| 115,000 | Ohio Edison Co. 5.50%, 01/15/2033(1) | 116,287 |
| 225,000 | Ohio Power Co. 5.00%, 06/01/2033 | 221,697 |
| 180,000 | Oncor Electric Delivery Co. LLC 5.65%, 11/15/2033 | 188,501 |
| | Pacific Gas & Electric Co. | |
| 755,000 | 2.50%, 02/01/2031 | 637,813 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Electric - 5.2% - (continued) |
| $ 175,000 | 3.25%, 06/01/2031 | $ 153,512 |
| 260,000 | 4.55%, 07/01/2030 | 250,648 |
| 215,000 | 5.45%, 06/15/2027 | 217,043 |
| 75,000 | 5.90%, 06/15/2032 | 76,809 |
| 140,000 | 6.10%, 01/15/2029 | 145,126 |
| 275,000 | 6.15%, 01/15/2033 | 285,605 |
| 270,000 | 6.40%, 06/15/2033 | 284,729 |
| 105,000 | Public Service Electric & Gas Co. 5.45%, 03/01/2054 | 106,415 |
| | Public Service Enterprise Group, Inc. | |
| 80,000 | 5.20%, 04/01/2029 | 81,116 |
| 50,000 | 5.45%, 04/01/2034 | 50,682 |
| 160,000 | 6.13%, 10/15/2033 | 169,670 |
| | Puget Energy, Inc. | |
| 699,000 | 3.65%, 05/15/2025 | 687,606 |
| 60,000 | 4.22%, 03/15/2032 | 54,902 |
| | Southern California Edison Co. | |
| 232,000 | 2.25%, 06/01/2030 | 200,684 |
| 75,000 | 2.75%, 02/01/2032 | 64,751 |
| 166,000 | 3.65%, 02/01/2050 | 122,060 |
| 2,000 | 4.00%, 04/01/2047 | 1,579 |
| 505,000 | 4.90%, 06/01/2026 | 504,109 |
| 275,000 | 5.20%, 06/01/2034 | 274,748 |
| 40,000 | 5.45%, 06/01/2031 | 41,154 |
| 85,000 | 5.75%, 04/15/2054 | 86,043 |
| 30,000 | 5.95%, 11/01/2032 | 31,660 |
| | Southern Co. | |
| 4,000 | 3.25%, 07/01/2026 | 3,884 |
| 153,000 | 3.70%, 04/30/2030 | 143,745 |
| 320,000 | 4.85%, 06/15/2028 | 320,970 |
| 175,000 | 5.20%, 06/15/2033 | 175,365 |
| 305,000 | 5.70%, 03/15/2034 | 316,459 |
| 165,000 | Southwestern Electric Power Co. 5.30%, 04/01/2033 | 163,978 |
| | Virginia Electric & Power Co. | |
| 62,000 | 2.45%, 12/15/2050 | 35,911 |
| 310,000 | 5.00%, 04/01/2033 | 308,180 |
| 430,000 | 5.00%, 01/15/2034 | 427,153 |
| 50,000 | 5.35%, 01/15/2054 | 48,697 |
| 150,000 | Wisconsin Power & Light Co. 5.38%, 03/30/2034 | 152,633 |
| 80,000 | Xcel Energy, Inc. 4.60%, 06/01/2032 | 76,835 |
| | | | 13,854,277 |
| | Entertainment - 0.3% |
| | Warnermedia Holdings, Inc. | |
| 325,000 | 4.28%, 03/15/2032 | 281,031 |
| 160,000 | 5.05%, 03/15/2042 | 125,712 |
| 525,000 | 5.14%, 03/15/2052 | 389,265 |
| | | | 796,008 |
| | Environmental Control - 0.2% |
| | Republic Services, Inc. | |
| 80,000 | 1.45%, 02/15/2031 | 65,100 |
| 245,000 | 5.20%, 11/15/2034 | 249,162 |
| 250,000 | Waste Management, Inc. 4.95%, 07/03/2031 | 253,629 |
| | | | 567,891 |
| | Food - 0.3% |
| | Conagra Brands, Inc. | |
| 307,000 | 4.85%, 11/01/2028 | 306,129 |
| 210,000 | 5.30%, 10/01/2026 | 211,572 |
| 195,000 | Hormel Foods Corp. 4.80%, 03/30/2027 | 196,065 |
| | Tyson Foods, Inc. | |
| 75,000 | 5.40%, 03/15/2029 | 76,125 |
| 90,000 | 5.70%, 03/15/2034 | 91,784 |
| | | | 881,675 |
| | Gas - 1.0% |
| 250,000 | Atmos Energy Corp. 5.90%, 11/15/2033 | 265,792 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Gas - 1.0% - (continued) |
| $ 125,000 | Boston Gas Co. 3.76%, 03/16/2032(1) | $ 111,063 |
| | Brooklyn Union Gas Co. | |
| 325,000 | 4.87%, 08/05/2032(1) | 307,636 |
| 100,000 | 6.39%, 09/15/2033(1) | 104,962 |
| 55,000 | East Ohio Gas Co. 3.00%, 06/15/2050(1) | 34,694 |
| | NiSource, Inc. | |
| 75,000 | 1.70%, 02/15/2031 | 61,099 |
| 242,000 | 3.49%, 05/15/2027 | 233,162 |
| 250,000 | 5.25%, 03/30/2028 | 252,893 |
| 270,000 | 5.35%, 04/01/2034 | 270,958 |
| 90,000 | 5.40%, 06/30/2033 | 90,868 |
| | Southern California Gas Co. | |
| 410,000 | 5.20%, 06/01/2033 | 413,871 |
| 311,000 | 5.60%, 04/01/2054 | 314,370 |
| 25,000 | 5.75%, 06/01/2053 | 25,608 |
| | Southwest Gas Corp. | |
| 199,000 | 2.20%, 06/15/2030 | 171,365 |
| 35,000 | 4.15%, 06/01/2049 | 27,290 |
| | | | 2,685,631 |
| | Healthcare - Products - 0.3% |
| 400,000 | Alcon Finance Corp. 3.00%, 09/23/2029(1) | 366,591 |
| 85,000 | Smith & Nephew PLC 5.40%, 03/20/2034 | 85,610 |
| | Solventum Corp. | |
| 235,000 | 5.40%, 03/01/2029(1) | 237,207 |
| 35,000 | 5.45%, 03/13/2031(1) | 35,195 |
| | | | 724,603 |
| | Healthcare - Services - 0.8% |
| | CommonSpirit Health | |
| 117,000 | 2.76%, 10/01/2024 | 116,333 |
| 165,000 | 5.21%, 12/01/2031 | 165,731 |
| 270,000 | Elevance Health, Inc. 5.38%, 06/15/2034 | 275,934 |
| | HCA, Inc. | |
| 30,000 | 5.45%, 04/01/2031 | 30,489 |
| 205,000 | 5.60%, 04/01/2034 | 207,614 |
| 160,000 | Humana, Inc. 5.38%, 04/15/2031 | 161,936 |
| 175,000 | Kaiser Foundation Hospitals 2.81%, 06/01/2041 | 129,603 |
| | UnitedHealth Group, Inc. | |
| 20,000 | 3.50%, 08/15/2039 | 16,458 |
| 87,000 | 4.75%, 07/15/2045 | 80,165 |
| 185,000 | 4.95%, 01/15/2032 | 186,216 |
| 35,000 | 4.95%, 05/15/2062 | 31,693 |
| 105,000 | 5.35%, 02/15/2033 | 108,250 |
| 275,000 | 5.38%, 04/15/2054 | 271,601 |
| 140,000 | 5.75%, 07/15/2064 | 143,187 |
| 55,000 | 5.88%, 02/15/2053 | 57,928 |
| 65,000 | 6.05%, 02/15/2063 | 69,509 |
| | | | 2,052,647 |
| | Household Products - 0.1% |
| 245,000 | Kenvue, Inc. 5.50%, 03/22/2025 | 245,293 |
| | Insurance - 1.4% |
| 40,000 | Aon Corp. 2.80%, 05/15/2030 | 35,841 |
| 90,000 | Aon Corp./Aon Global Holdings PLC 5.35%, 02/28/2033 | 91,264 |
| 325,000 | Aon North America, Inc. 5.45%, 03/01/2034 | 330,533 |
| | Athene Global Funding | |
| 350,000 | 2.65%, 10/04/2031(1) | 292,072 |
| 80,000 | 2.72%, 01/07/2029(1) | 72,363 |
| 330,000 | 5.68%, 02/23/2026(1) | 332,037 |
| 250,000 | Athene Holding Ltd. 5.88%, 01/15/2034 | 253,667 |
| 315,000 | Brighthouse Financial Global Funding 5.65%, 06/10/2029(1) | 319,858 |
| 240,000 | Corebridge Financial, Inc. 5.75%, 01/15/2034 | 246,190 |
| | Corebridge Global Funding | |
| 245,000 | 5.20%, 06/24/2029(1) | 248,581 |
| 50,000 | 5.90%, 09/19/2028(1) | 51,658 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Insurance - 1.4% - (continued) |
| $ 200,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | $ 179,826 |
| 85,000 | Equitable Holdings, Inc. 4.35%, 04/20/2028 | 83,247 |
| 80,000 | Marsh & McLennan Cos., Inc. 4.75%, 03/15/2039 | 76,112 |
| 320,000 | Metropolitan Life Global Funding I 2.40%, 01/11/2032(1) | 267,940 |
| 190,000 | Principal Financial Group, Inc. 5.38%, 03/15/2033 | 193,344 |
| 75,000 | Principal Life Global Funding II 5.10%, 01/25/2029(1) | 75,672 |
| 305,000 | Protective Life Global Funding 5.22%, 06/12/2029(1) | 309,148 |
| 160,000 | Reinsurance Group of America, Inc. 5.75%, 09/15/2034 | 163,011 |
| 259,000 | Willis North America, Inc. 2.95%, 09/15/2029 | 235,259 |
| | | | 3,857,623 |
| | Internet - 0.1% |
| 375,000 | Meta Platforms, Inc. 4.60%, 05/15/2028 | 377,554 |
| | Investment Company Security - 0.2% |
| 525,000 | Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 487,381 |
| | IT Services - 0.1% |
| 250,000 | Apple, Inc. 4.15%, 05/10/2030 | 250,088 |
| | Machinery-Diversified - 0.1% |
| | AGCO Corp. | |
| 45,000 | 5.45%, 03/21/2027 | 45,528 |
| 30,000 | 5.80%, 03/21/2034 | 30,445 |
| 365,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | 324,604 |
| | | | 400,577 |
| | Media - 1.3% |
| | Charter Communications Operating LLC/Charter Communications Operating Capital | |
| 40,000 | 3.50%, 03/01/2042 | 27,296 |
| 35,000 | 3.70%, 04/01/2051 | 22,031 |
| 256,000 | 3.85%, 04/01/2061 | 153,929 |
| 482,000 | 4.20%, 03/15/2028 | 462,021 |
| 380,000 | 4.40%, 12/01/2061 | 253,301 |
| 65,000 | 5.75%, 04/01/2048 | 56,018 |
| 695,000 | 6.55%, 06/01/2034 | 710,452 |
| | Comcast Corp. | |
| 215,000 | 2.89%, 11/01/2051 | 137,221 |
| 459,000 | 3.20%, 07/15/2036 | 379,785 |
| 210,000 | 3.75%, 04/01/2040 | 173,684 |
| 425,000 | 4.55%, 01/15/2029 | 423,930 |
| 90,000 | 5.65%, 06/01/2054 | 91,438 |
| 195,000 | Cox Communications, Inc. 2.60%, 06/15/2031(1) | 164,349 |
| 23,000 | Discovery Communications LLC 4.13%, 05/15/2029 | 21,271 |
| | Paramount Global | |
| 40,000 | 4.20%, 05/19/2032 | 34,014 |
| 165,000 | 4.38%, 03/15/2043 | 115,012 |
| 175,000 | 5.85%, 09/01/2043 | 143,918 |
| | | | 3,369,670 |
| | Mining - 0.6% |
| | BHP Billiton Finance USA Ltd. | |
| 150,000 | 4.90%, 02/28/2033 | 149,976 |
| 210,000 | 5.25%, 09/08/2033 | 214,160 |
| | Glencore Funding LLC | |
| 350,000 | 5.37%, 04/04/2029(1) | 353,913 |
| 365,000 | 5.63%, 04/04/2034(1) | 366,516 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Mining - 0.6% - (continued) |
| $ 175,000 | 6.38%, 10/06/2030(1) | $ 185,376 |
| 195,000 | Rio Tinto Alcan, Inc. 6.13%, 12/15/2033 | 211,212 |
| | | | 1,481,153 |
| | Office/Business Equipment - 0.1% |
| | CDW LLC/CDW Finance Corp. | |
| 80,000 | 2.67%, 12/01/2026 | 75,619 |
| 175,000 | 5.50%, 12/01/2024 | 174,645 |
| | | | 250,264 |
| | Oil & Gas - 1.3% |
| | BP Capital Markets America, Inc. | |
| 90,000 | 3.06%, 06/17/2041 | 67,394 |
| 130,000 | 3.38%, 02/08/2061 | 88,346 |
| 225,000 | 4.81%, 02/13/2033 | 222,080 |
| 70,000 | 4.89%, 09/11/2033 | 69,420 |
| 130,000 | 5.23%, 11/17/2034 | 131,667 |
| | ConocoPhillips Co. | |
| 271,000 | 3.80%, 03/15/2052 | 208,002 |
| 75,000 | 4.03%, 03/15/2062 | 57,542 |
| 55,000 | 5.30%, 05/15/2053 | 53,400 |
| 20,000 | 5.55%, 03/15/2054 | 20,057 |
| 105,000 | 5.70%, 09/15/2063 | 106,665 |
| | Diamondback Energy, Inc. | |
| 65,000 | 5.40%, 04/18/2034 | 65,558 |
| 45,000 | 5.90%, 04/18/2064 | 44,605 |
| 160,000 | 6.25%, 03/15/2033 | 170,255 |
| 315,000 | Eni SpA 5.50%, 05/15/2034(1) | 320,182 |
| 232,000 | Equinor ASA 3.63%, 04/06/2040 | 191,700 |
| | Hess Corp. | |
| 118,000 | 7.13%, 03/15/2033 | 134,023 |
| 221,000 | 7.30%, 08/15/2031 | 250,111 |
| 60,000 | Ovintiv, Inc. 7.38%, 11/01/2031 | 66,269 |
| | Phillips 66 Co. | |
| 165,000 | 4.95%, 12/01/2027 | 166,022 |
| 270,000 | 5.30%, 06/30/2033 | 272,224 |
| 200,000 | Pioneer Natural Resources Co. 5.10%, 03/29/2026 | 200,842 |
| 200,000 | Saudi Arabian Oil Co. 5.25%, 07/17/2034(1) | 200,870 |
| | Shell International Finance BV | |
| 265,000 | 3.00%, 11/26/2051 | 177,978 |
| 75,000 | 3.25%, 04/06/2050 | 53,521 |
| 245,000 | TotalEnergies Capital SA 5.64%, 04/05/2064 | 247,903 |
| | | | 3,586,636 |
| | Oil & Gas Services - 0.1% |
| 175,000 | Schlumberger Investment SA 5.00%, 06/01/2034 | 175,738 |
| | Pharmaceuticals - 0.7% |
| | AbbVie, Inc. | |
| 118,000 | 3.20%, 11/21/2029 | 110,308 |
| 145,000 | 4.95%, 03/15/2031 | 147,334 |
| 40,000 | 5.40%, 03/15/2054 | 40,369 |
| | Bristol-Myers Squibb Co. | |
| 120,000 | 5.20%, 02/22/2034 | 122,406 |
| 135,000 | 5.55%, 02/22/2054 | 136,277 |
| 345,000 | Cigna Group 5.00%, 05/15/2029 | 348,242 |
| | CVS Health Corp. | |
| 214,000 | 2.70%, 08/21/2040 | 145,872 |
| 7,000 | 4.13%, 04/01/2040 | 5,770 |
| 355,000 | 5.00%, 01/30/2029 | 356,327 |
| 165,000 | 5.05%, 03/25/2048 | 145,005 |
| 250,000 | Pfizer Investment Enterprises Pte. Ltd. 4.45%, 05/19/2028 | 248,741 |
| | | | 1,806,651 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Pipelines - 1.3% |
| $ 30,000 | Cheniere Energy Partners LP 4.50%, 10/01/2029 | $ 28,990 |
| | Columbia Pipelines Holding Co. LLC | |
| 210,000 | 5.68%, 01/15/2034(1) | 211,361 |
| 100,000 | 6.04%, 08/15/2028(1) | 103,655 |
| | Columbia Pipelines Operating Co. LLC | |
| 260,000 | 5.93%, 08/15/2030(1) | 270,326 |
| 55,000 | 6.04%, 11/15/2033(1) | 57,331 |
| 80,000 | 6.54%, 11/15/2053(1) | 86,320 |
| 310,000 | EIG Pearl Holdings SARL 3.55%, 08/31/2036(1) | 266,712 |
| | Enbridge, Inc. | |
| 80,000 | 5.30%, 04/05/2029 | 81,256 |
| 265,000 | 5.63%, 04/05/2034 | 270,320 |
| 415,000 | 5.70%, 03/08/2033 | 427,116 |
| 30,000 | 6.00%, 11/15/2028 | 31,305 |
| | Energy Transfer LP | |
| 95,000 | 5.25%, 07/01/2029 | 95,914 |
| 125,000 | 6.40%, 12/01/2030 | 133,802 |
| 200,000 | Galaxy Pipeline Assets Bidco Ltd. 2.63%, 03/31/2036(1) | 165,091 |
| | Greensaif Pipelines Bidco SARL | |
| 200,000 | 5.85%, 02/23/2036(1) | 200,849 |
| 215,000 | 6.13%, 02/23/2038(1) | 220,053 |
| 70,000 | Kinder Morgan, Inc. 5.10%, 08/01/2029 | 70,485 |
| | MPLX LP | |
| 50,000 | 2.65%, 08/15/2030 | 43,991 |
| 135,000 | 5.50%, 06/01/2034 | 135,488 |
| | ONEOK, Inc. | |
| 40,000 | 3.10%, 03/15/2030 | 36,399 |
| 80,000 | 6.10%, 11/15/2032 | 84,284 |
| 135,000 | Targa Resources Corp. 6.15%, 03/01/2029 | 141,108 |
| 185,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp. 4.00%, 01/15/2032 | 168,523 |
| 245,000 | Transcontinental Gas Pipe Line Co. LLC 3.25%, 05/15/2030 | 224,771 |
| 40,000 | Whistler Pipeline LLC 5.70%, 09/30/2031(1) | 40,600 |
| | | | 3,596,050 |
| | Real Estate Investment Trusts - 0.5% |
| | American Tower Corp. | |
| 110,000 | 3.80%, 08/15/2029 | 104,433 |
| 275,000 | 5.25%, 07/15/2028 | 278,215 |
| | Crown Castle, Inc. | |
| 40,000 | 2.50%, 07/15/2031 | 33,781 |
| 214,000 | 3.80%, 02/15/2028 | 205,619 |
| 275,000 | 4.80%, 09/01/2028 | 273,080 |
| 211,000 | 5.60%, 06/01/2029 | 216,167 |
| 135,000 | GLP Capital LP/GLP Financing II, Inc. 5.30%, 01/15/2029 | 134,717 |
| 35,000 | NNN REIT, Inc. 5.50%, 06/15/2034 | 35,386 |
| 135,000 | Realty Income Corp. 4.90%, 07/15/2033 | 132,574 |
| | | | 1,413,972 |
| | Retail - 0.3% |
| | AutoZone, Inc. | |
| 155,000 | 5.40%, 07/15/2034 | 156,231 |
| 125,000 | 6.55%, 11/01/2033 | 136,375 |
| 40,000 | Home Depot, Inc. 5.30%, 06/25/2054 | 39,703 |
| 180,000 | Lowe's Cos., Inc. 4.80%, 04/01/2026 | 179,657 |
| | O'Reilly Automotive, Inc. | |
| 89,000 | 4.70%, 06/15/2032 | 87,352 |
| 125,000 | 5.75%, 11/20/2026 | 127,251 |
| | | | 726,569 |
| | Semiconductors - 0.4% |
| 100,000 | Broadcom, Inc. 5.05%, 07/12/2029 | 100,924 |
| 400,000 | Foundry JV Holdco LLC 6.15%, 01/25/2032(1) | 416,785 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 27.4% - (continued) |
| | Semiconductors - 0.4% - (continued) |
| | Intel Corp. | |
| $ 108,000 | 3.25%, 11/15/2049 | $ 74,151 |
| 60,000 | 4.75%, 03/25/2050 | 52,682 |
| 170,000 | 5.15%, 02/21/2034 | 171,469 |
| 55,000 | 5.90%, 02/10/2063 | 56,115 |
| 175,000 | Marvell Technology, Inc. 5.75%, 02/15/2029 | 180,945 |
| 180,000 | NVIDIA Corp. 3.50%, 04/01/2040 | 152,042 |
| | | | 1,205,113 |
| | Software - 0.3% |
| 105,000 | Constellation Software, Inc. 5.46%, 02/16/2034(1) | 107,147 |
| | Oracle Corp. | |
| 70,000 | 2.95%, 04/01/2030 | 63,373 |
| 219,000 | 3.60%, 04/01/2040 | 172,634 |
| 67,000 | 3.80%, 11/15/2037 | 56,520 |
| 145,000 | 4.00%, 11/15/2047 | 112,543 |
| 330,000 | 5.38%, 07/15/2040 | 321,040 |
| 36,000 | 6.15%, 11/09/2029 | 38,253 |
| | | | 871,510 |
| | Telecommunications - 0.6% |
| | AT&T, Inc. | |
| 265,000 | 2.55%, 12/01/2033 | 215,831 |
| 165,000 | 3.50%, 06/01/2041 | 129,265 |
| 49,000 | 3.65%, 09/15/2059 | 33,758 |
| 35,000 | 5.40%, 02/15/2034 | 35,612 |
| 245,000 | 5.54%, 02/20/2026 | 245,005 |
| | Cisco Systems, Inc. | |
| 210,000 | 4.95%, 02/26/2031 | 213,900 |
| 85,000 | 5.35%, 02/26/2064 | 84,914 |
| | T-Mobile USA, Inc. | |
| 280,000 | 3.00%, 02/15/2041 | 205,242 |
| 110,000 | 3.88%, 04/15/2030 | 104,513 |
| 250,000 | 4.80%, 07/15/2028 | 250,077 |
| | | | 1,518,117 |
| | Trucking & Leasing - 0.2% |
| 455,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 455,000 |
| | Penske Truck Leasing Co. LP/PTL Finance Corp. | |
| 55,000 | 4.40%, 07/01/2027(1) | 54,113 |
| 55,000 | 5.35%, 03/30/2029(1) | 55,717 |
| 7,000 | 5.55%, 05/01/2028(1) | 7,133 |
| 75,000 | 6.05%, 08/01/2028(1) | 77,853 |
| | | | 649,816 |
| | Total Corporate Bonds
(cost $74,932,098) | $ 73,670,393 |
| FOREIGN GOVERNMENT OBLIGATIONS - 1.4% |
| | Bermuda - 0.2% |
| | Bermuda Government International Bonds | |
| 400,000 | 2.38%, 08/20/2030(7) | $ 339,280 |
| 200,000 | 5.00%, 07/15/2032(7) | 194,800 |
| | | | 534,080 |
| | Chile - 0.1% |
| 200,000 | Chile Government International Bonds 4.95%, 01/05/2036 | 194,907 |
| | Hungary - 0.2% |
| | Hungary Government International Bonds | |
| 305,000 | 5.50%, 03/26/2036(1) | 298,909 |
| 265,000 | 6.13%, 05/22/2028(1) | 271,964 |
| | | | 570,873 |
| | Israel - 0.0% |
| 200,000 | Israel Government International Bonds 5.75%, 03/12/2054 | 185,448 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| FOREIGN GOVERNMENT OBLIGATIONS - 1.4% - (continued) |
| | Mexico - 0.5% |
| | Mexico Government International Bonds | |
| $ 890,000 | 6.00%, 05/07/2036 | $ 884,865 |
| 400,000 | 6.40%, 05/07/2054 | 386,957 |
| | | | 1,271,822 |
| | Peru - 0.0% |
| 65,000 | Peru Government International Bonds 3.00%, 01/15/2034 | 53,666 |
| | Romania - 0.4% |
| | Romania Government International Bonds | |
| 466,000 | 3.00%, 02/14/2031(7) | 395,820 |
| 614,000 | 5.88%, 01/30/2029(1) | 619,219 |
| | | | 1,015,039 |
| | Total Foreign Government Obligations
(cost $3,960,452) | | $ 3,825,835 |
| MUNICIPAL BONDS - 0.6% |
| | Airport - 0.0% |
| 35,000 | Dallas Fort Worth International Airport, TX, Rev 4.51%, 11/01/2051 | $ 32,244 |
| | Build America Bonds - 0.1% |
| 155,000 | State of California, CA, GO 7.30%, 10/01/2039 | 182,955 |
| | Development - 0.1% |
| 345,000 | New York Transportation Dev Corp., NY, Rev 4.25%, 09/01/2035 | 335,342 |
| | General - 0.2% |
| 40,000 | Chicago Transit Auth Sales Tax Receipts Fund, IL, Rev 3.91%, 12/01/2040 | 34,665 |
| 134,644 | Commonwealth of Massachusetts, MA, Rev 4.11%, 07/15/2031 | 132,037 |
| | County of Riverside, CA, Rev | |
| 55,000 | 2.96%, 02/15/2027 | 52,645 |
| 55,000 | 3.07%, 02/15/2028 | 52,193 |
| 65,000 | Dist of Columbia, DC, Rev 3.43%, 04/01/2042 | 53,054 |
| 230,000 | State Board of Administration Finance Corp., FL, Rev 1.26%, 07/01/2025 | 222,119 |
| | | | 546,713 |
| | Higher Education - 0.0% |
| | Marshall University, WV, Rev, (AGM) | |
| 10,000 | 2.91%, 05/01/2026 | 9,686 |
| 10,000 | 3.63%, 05/01/2034 | 9,109 |
| | | | 18,795 |
| | Transportation - 0.1% |
| | Metropolitan Transportation Auth, NY, Rev | |
| 15,000 | 4.75%, 11/15/2045 | 15,405 |
| 5,000 | 5.18%, 11/15/2049 | 4,609 |
| 115,000 | 6.81%, 11/15/2040 | 128,536 |
| | | | 148,550 |
| | Utilities - 0.1% |
| 315,263 | Texas Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 | 320,267 |
| | Total Municipal Bonds
(cost $1,720,613) | | $ 1,584,866 |
| U.S. GOVERNMENT AGENCIES - 32.5% |
| | Mortgage-Backed Agencies - 32.5% |
| | Federal Home Loan Mortgage Corp. - 4.6% |
| 227,219 | 0.88%, 11/25/2030(2)(3) | $ 9,829 |
| 1,403,987 | 1.11%, 06/25/2030(2)(3) | 75,073 |
| 97,536 | 1.12%, 01/25/2030(2)(3) | 4,781 |
| 6,406 | 1.13%, 12/15/2027 | 6,109 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 32.5% - (continued) |
| | Mortgage-Backed Agencies - 32.5% - (continued) |
| | Federal Home Loan Mortgage Corp. - 4.6% - (continued) |
| $ 7,696 | 1.25%, 12/15/2027 | $ 7,333 |
| 1,533,259 | 1.38%, 06/25/2030(2)(3) | 99,428 |
| 1,090,959 | 1.43%, 05/25/2030(2)(3) | 73,827 |
| 443,082 | 1.50%, 12/25/2050 | 351,267 |
| 1,221,548 | 1.57%, 05/25/2030(2)(3) | 89,492 |
| 173,328 | 1.69%, 04/25/2030(2)(3) | 13,027 |
| 415,006 | 2.00%, 07/25/2050 | 359,479 |
| 209,899 | 2.00%, 10/01/2051 | 170,398 |
| 2,174,379 | 2.00%, 12/01/2051 | 1,749,028 |
| 3,374,955 | 2.00%, 01/01/2052 | 2,712,849 |
| 18,593 | 2.50%, 12/15/2042 | 16,835 |
| 928,809 | 2.50%, 09/01/2051 | 776,070 |
| 1,589,351 | 4.50%, 08/01/2052 | 1,527,286 |
| 1,746,023 | 5.00%, 09/01/2052 | 1,719,027 |
| 2,065,499 | 5.00%, 11/01/2052 | 2,037,987 |
| 96,718 | 7.20%, 11/25/2043, 30 day USD SOFR Average + 1.85%(1)(4) | 98,015 |
| 270,000 | 8.70%, 05/25/2042, 30 day USD SOFR Average + 3.35%(1)(4) | 283,711 |
| 115,000 | 8.90%, 08/25/2042, 30 day USD SOFR Average + 3.55%(1)(4) | 121,373 |
| 120,000 | 10.35%, 03/25/2052, 30 day USD SOFR Average + 5.00%(1)(4) | 132,281 |
| | | | 12,434,505 |
| | Federal National Mortgage Association - 7.2% |
| 32,319 | 1.25%, 02/25/2028 | 30,738 |
| 6,912 | 1.50%, 09/25/2027 | 6,615 |
| 135,964 | 2.00%, 10/01/2051 | 109,211 |
| 474,220 | 2.00%, 11/01/2051 | 380,328 |
| 5,459,724 | 2.00%, 04/01/2052 | 4,378,626 |
| 916,210 | 2.50%, 02/01/2052 | 765,454 |
| 1,195,861 | 2.50%, 05/01/2052 | 1,000,843 |
| 944,859 | 2.50%, 06/01/2052 | 794,477 |
| 908,680 | 2.50%, 07/01/2052 | 763,455 |
| 758,450 | 2.50%, 08/01/2052 | 637,184 |
| 282,000 | 3.00%, 12/25/2045 | 244,219 |
| 349,397 | 3.00%, 10/25/2046 | 310,683 |
| 313,000 | 3.00%, 03/25/2047 | 270,883 |
| 180,684 | 3.00%, 03/01/2050 | 159,839 |
| 1,839,151 | 3.00%, 11/01/2051 | 1,612,801 |
| 486,294 | 3.50%, 08/01/2043 | 456,651 |
| 735,000 | 4.50%, 12/25/2041 | 703,397 |
| 2,923,893 | 4.50%, 12/01/2052 | 2,810,610 |
| 1,717,756 | 5.00%, 09/01/2052 | 1,691,199 |
| 2,254,486 | 5.50%, 06/01/2053 | 2,257,292 |
| | | | 19,384,505 |
| | Government National Mortgage Association - 5.9% |
| 2,180,965 | 2.00%, 12/20/2050 | 1,806,428 |
| 2,250,000 | 2.00%, 08/20/2054(8) | 1,861,167 |
| 1,991,828 | 2.50%, 03/20/2051 | 1,710,820 |
| 1,226,757 | 2.50%, 07/20/2051 | 1,052,267 |
| 1,890,791 | 3.00%, 04/20/2051 | 1,687,763 |
| 406,267 | 3.00%, 05/20/2051 | 362,133 |
| 2,066,943 | 3.00%, 10/20/2051 | 1,841,536 |
| 3,110,727 | 3.50%, 08/20/2052 | 2,853,103 |
| 1,650,000 | 4.00%, 08/20/2054(8) | 1,553,594 |
| 1,100,000 | 5.00%, 08/20/2054(8) | 1,084,894 |
| | | | 15,813,705 |
| | Uniform Mortgage-Backed Security - 14.8% |
| 1,200,000 | 1.50%, 08/01/2039(8) | 1,044,896 |
| 300,000 | 1.50%, 08/01/2054(8) | 229,218 |
| 1,300,000 | 2.50%, 08/01/2039(8) | 1,192,770 |
| 4,263,000 | 2.50%, 08/01/2054(8) | 3,560,119 |
| 750,000 | 3.00%, 08/01/2039(8) | 704,486 |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 32.5% - (continued) |
| | Mortgage-Backed Agencies - 32.5% - (continued) |
| | Uniform Mortgage-Backed Security - 14.8% - (continued) |
| $ 1,850,000 | 3.50%, 08/01/2054(8) | $ 1,672,805 |
| 3,450,000 | 4.00%, 08/01/2054(8) | 3,221,471 |
| 5,196,000 | 4.50%, 08/01/2054(8) | 4,988,575 |
| 10,310,000 | 5.50%, 08/01/2054(8) | 10,308,580 |
| 12,692,000 | 6.00%, 08/01/2054(8) | 12,858,538 |
| | | | 39,781,458 |
| | Total U.S. Government Agencies
(cost $88,605,919) | | $ 87,414,173 |
| U.S. GOVERNMENT SECURITIES - 31.1% |
| | U.S. Treasury Securities - 31.1% |
| | U.S. Treasury Bonds - 10.8% |
| 1,570,000 | 1.25%, 05/15/2050 | $ 802,356 |
| 1,495,000 | 1.38%, 11/15/2040 | 974,378 |
| 1,010,000 | 1.38%, 08/15/2050 | 532,380 |
| 2,455,000 | 1.63%, 11/15/2050 | 1,383,431 |
| 630,000 | 2.00%, 02/15/2050 | 393,799 |
| 1,248,000 | 2.38%, 11/15/2049 | 852,491 |
| 1,105,000 | 2.50%, 02/15/2045 | 811,053 |
| 1,935,000 | 2.88%, 05/15/2052 | 1,458,733 |
| 7,170,000 | 3.00%, 02/15/2047 | 5,649,736 |
| 1,525,000 | 3.00%, 02/15/2048 | 1,192,717 |
| 6,105,000 | 3.00%, 08/15/2052 | 4,723,267 |
| 1,080,000 | 3.13%, 05/15/2048 | 863,072 |
| 1,780,000 | 3.38%, 08/15/2042 | 1,545,262 |
| 2,010,000 | 3.38%, 11/15/2048 | 1,676,780 |
| 1,825,000 | 3.63%, 08/15/2043 | 1,626,745 |
| 1,840,000 | 3.63%, 02/15/2044 | 1,636,019 |
| 1,464,000 | 3.75%, 11/15/2043 | 1,326,864 |
| 275,000 | 3.88%, 08/15/2040 | 262,023 |
| 1,305,000 | 4.50%, 02/15/2044 | 1,312,137 |
| | | | 29,023,243 |
| | U.S. Treasury Inflation-Indexed Bonds - 0.9% |
| 307,988 | 0.13%, 02/15/2052(9) | 180,785 |
| 2,107,156 | 0.25%, 02/15/2050(9) | 1,326,266 |
| 40,979 | 0.63%, 02/15/2043(9) | 31,532 |
| 500,122 | 0.75%, 02/15/2045(9) | 384,358 |
| 525,533 | 1.38%, 02/15/2044(9) | 461,071 |
| | | | 2,384,012 |
| | U.S. Treasury Inflation-Indexed Notes - 2.0% |
| 5,557,885 | 1.75%, 01/15/2034(9) | 5,478,265 |
| | U.S. Treasury Notes - 17.4% |
| 3,850,000 | 0.63%, 05/15/2030 | 3,180,611 |
| 6,125,000 | 1.88%, 02/28/2029 | 5,578,774 |
| 4,565,000 | 2.75%, 08/15/2032 | 4,153,972 |
| 10,735,000 | 2.88%, 05/15/2028(10)(11) | 10,283,795 |
| 1,835,000 | 2.88%, 05/15/2032 | 1,690,064 |
| 4,235,000 | 3.75%, 12/31/2030 | 4,168,828 |
| 8,750,000 | 4.25%, 03/15/2027 | 8,760,937 |
| 2,665,000 | 4.38%, 05/15/2034 | 2,722,464 |
| 5,625,000 | 4.50%, 03/31/2026 | 5,626,758 |
| 645,000 | 4.50%, 11/15/2033 | 664,451 |
| | | | 46,830,654 |
| | Total U.S. Government Securities
(cost $93,330,606) | | $ 83,716,174 |
| | Total Long-Term Investments
(cost $321,817,330) | | $ 306,822,637 |
| Shares or Principal Amount | | Market Value† |
| SHORT-TERM INVESTMENTS - 0.6% |
| | Repurchase Agreements - 0.6% |
| $ 1,519,133 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $1,519,358; collateralized by U.S. Treasury Notes at 2.75%-4.88%, maturing 05/31/2026-05/31/2029, with a total market value of $1,549,693 | $ 1,519,133 |
| | Total Short-Term Investments
(cost $1,519,133) | $ 1,519,133 |
| | Total Investments
(cost $323,336,463) | 114.7% | $ 308,341,770 |
| | Other Assets and Liabilities | (14.7)% | (39,569,804) |
| | Net Assets | 100.0% | $ 268,771,966 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| (1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $63,550,898, representing 23.6% of net assets. |
| (2) | Securities disclosed are interest-only strips. |
| (3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (4) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2024. Base lending rates may be subject to a floor or cap. |
| (5) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
| (6) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
| (7) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $929,900, representing 0.3% of net assets. |
| (8) | Represents or includes a TBA transaction. |
| (9) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
| (10) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of July 31, 2024, the market value of securities pledged was $498,144. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments – (continued)
July 31, 2024
| (11) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of July 31, 2024, the market value of securities pledged was $344,869. |
| Futures Contracts Outstanding at July 31, 2024 |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Short position contracts: |
| U.S. Treasury 2-Year Note Future | | (132) | | 09/30/2024 | | $ (27,108,469) | | $ (17,847) |
| U.S. Treasury 5-Year Note Future | | (63) | | 09/30/2024 | | (6,797,109) | | (98,118) |
| U.S. Treasury 10-Year Note Future | | (12) | | 09/19/2024 | | (1,341,750) | | (4,502) |
| U.S. Treasury 10-Year Ultra Future | | (23) | | 09/19/2024 | | (2,658,297) | | (75,861) |
| U.S. Treasury Long Bond Future | | (13) | | 09/19/2024 | | (1,570,156) | | (39,082) |
| Total futures contracts | | $ (235,410) |
| Centrally Cleared Interest Rate Swap Contracts Outstanding at July 31, 2024 |
Payments made
by Fund | | Payments received
by Fund | | Notional
Amount | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 270,000 | | 06/12/2035 | | Annual | | $ — | | $ — | | $ (1,824) | | $ (1,824) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 300,000 | | 06/12/2035 | | Annual | | — | | — | | (1,833) | | (1,833) |
| 3.66% Fixed | | 12 Mo. USD SOFR | | USD | 540,000 | | 06/12/2035 | | Annual | | — | | (35) | | (3,757) | | (3,722) |
| 3.67% Fixed | | 12 Mo. USD SOFR | | USD | 540,000 | | 06/12/2035 | | Annual | | — | | — | | (4,388) | | (4,388) |
| 3.74% Fixed | | 12 Mo. USD SOFR | | USD | 365,000 | | 06/12/2035 | | Annual | | — | | — | | (5,070) | | (5,070) |
| 3.88% Fixed | | 12 Mo. USD SOFR | | USD | 240,000 | | 06/12/2035 | | Annual | | — | | — | | (5,947) | | (5,947) |
| 3.87% Fixed | | 12 Mo. USD SOFR | | USD | 725,000 | | 06/12/2035 | | Annual | | — | | — | | (17,671) | | (17,671) |
| 2.97% Fixed | | 12 Mo. USD SOFR | | USD | 1,330,000 | | 03/15/2053 | | Annual | | 2,981 | | — | | 159,694 | | 156,713 |
| 2.88% Fixed | | 12 Mo. USD SOFR | | USD | 380,000 | | 03/15/2053 | | Annual | | 4,255 | | — | | 51,730 | | 47,475 |
| 3.25% Fixed | | 12 Mo. USD SOFR | | USD | 495,000 | | 06/21/2053 | | Annual | | — | | (5,191) | | 31,330 | | 36,521 |
| 3.59% Fixed | | 12 Mo. USD SOFR | | USD | 1,255,000 | | 09/20/2053 | | Annual | | 5,238 | | — | | 18,922 | | 13,684 |
| Total centrally cleared interest rate swaps contracts | | $ 12,474 | | $ (5,226) | | $ 221,186 | | $ 213,938 |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Asset & Commercial Mortgage-Backed Securities | | $ 56,611,196 | | $ — | | $ 56,611,196 | | $ — |
| Corporate Bonds | | 73,670,393 | | — | | 73,670,393 | | — |
| Foreign Government Obligations | | 3,825,835 | | — | | 3,825,835 | | — |
| Municipal Bonds | | 1,584,866 | | — | | 1,584,866 | | — |
| U.S. Government Agencies | | 87,414,173 | | — | | 87,414,173 | | — |
| U.S. Government Securities | | 83,716,174 | | — | | 83,716,174 | | — |
| Short-Term Investments | | 1,519,133 | | — | | 1,519,133 | | — |
| Swaps - Interest Rate(2) | | 254,393 | | — | | 254,393 | | — |
| Total | | $ 308,596,163 | | $ — | | $ 308,596,163 | | $ — |
| Liabilities | | | | | | | | |
| Futures Contracts(2) | | $ (235,410) | | $ (235,410) | | $ — | | $ — |
| Swaps - Interest Rate(2) | | (40,455) | | — | | (40,455) | | — |
| Total | | $ (275,865) | | $ (235,410) | | $ (40,455) | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
Hartford Large Cap Growth ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| COMMON STOCKS - 99.4% |
| | Capital Goods - 2.4% |
| 5,005 | Axon Enterprise, Inc.* | $ 1,501,550 |
| 8,966 | General Electric Co. | 1,526,013 |
| | | | 3,027,563 |
| | Consumer Discretionary Distribution & Retail - 9.4% |
| 55,055 | Amazon.com, Inc.* | 10,294,184 |
| 1,279 | O'Reilly Automotive, Inc.* | 1,440,589 |
| | | | 11,734,773 |
| | Consumer Durables & Apparel - 1.2% |
| 37,075 | On Holding AG Class A* | 1,535,647 |
| | Consumer Services - 3.2% |
| 42,581 | DraftKings, Inc. Class A* | 1,573,368 |
| 8,835 | Royal Caribbean Cruises Ltd.* | 1,384,621 |
| 30,361 | Viking Holdings Ltd.*(1) | 1,083,888 |
| | | | 4,041,877 |
| | Energy - 0.9% |
| 7,850 | Targa Resources Corp. | 1,061,948 |
| | Equity Real Estate Investment Trusts (REITs) - 0.7% |
| 3,952 | AvalonBay Communities, Inc. REIT | 809,844 |
| | Financial Services - 3.4% |
| 13,049 | KKR & Co., Inc. | 1,610,899 |
| 23,972 | Tradeweb Markets, Inc. Class A | 2,677,193 |
| | | | 4,288,092 |
| | Health Care Equipment & Services - 3.2% |
| 4,525 | Align Technology, Inc.* | 1,049,257 |
| 7,357 | Boston Scientific Corp.* | 543,535 |
| 12,146 | Dexcom, Inc.* | 823,742 |
| 3,674 | Intuitive Surgical, Inc.* | 1,633,497 |
| | | | 4,050,031 |
| | Household & Personal Products - 0.9% |
| 6,695 | elf Beauty, Inc.* | 1,155,423 |
| | Media & Entertainment - 18.0% |
| 34,584 | Alphabet, Inc. Class A | 5,932,539 |
| 24,535 | Liberty Media Corp.-Liberty Formula One Class C* | 1,984,145 |
| 12,293 | Live Nation Entertainment, Inc.* | 1,182,464 |
| 9,230 | Meta Platforms, Inc. Class A | 4,382,681 |
| 6,728 | Netflix, Inc.* | 4,227,539 |
| 54,946 | Pinterest, Inc. Class A* | 1,755,525 |
| 8,875 | Spotify Technology SA* | 3,052,467 |
| | | | 22,517,360 |
| | Pharmaceuticals, Biotechnology & Life Sciences - 6.6% |
| 6,408 | Eli Lilly & Co. | 5,153,762 |
| 26,604 | Exact Sciences Corp.* | 1,215,271 |
| 5,990 | Natera, Inc.* | 613,316 |
| 2,601 | Vertex Pharmaceuticals, Inc.* | 1,289,368 |
| | | | 8,271,717 |
| | Semiconductors & Semiconductor Equipment - 20.1% |
| 8,249 | ARM Holdings PLC ADR* | 1,189,258 |
| 32,729 | Broadcom, Inc. | 5,258,896 |
| 17,656 | Marvell Technology, Inc. | 1,182,599 |
| 14,030 | Micron Technology, Inc. | 1,540,774 |
| 123,032 | NVIDIA Corp. | 14,397,205 |
| 8,102 | QUALCOMM, Inc. | 1,466,057 |
| | | | 25,034,789 |
| | Software & Services - 9.0% |
| 6,577 | Datadog, Inc. Class A* | 765,826 |
| 19,842 | Microsoft Corp. | 8,300,900 |
| 2,607 | ServiceNow, Inc.* | 2,123,115 |
| | | | 11,189,841 |
| | Technology Hardware & Equipment - 17.4% |
| 78,138 | Apple, Inc. | 17,352,887 |
| Shares or Principal Amount | | Market Value† |
| COMMON STOCKS - 99.4% - (continued) |
| | Technology Hardware & Equipment - 17.4% - (continued) |
| 3,259 | Arista Networks, Inc.* | $ 1,129,407 |
| 8,049 | Dell Technologies, Inc. Class C | 915,010 |
| 48,347 | Flex Ltd.* | 1,554,356 |
| 12,100 | Pure Storage, Inc. Class A* | 725,153 |
| | | | 21,676,813 |
| | Telecommunication Services - 1.1% |
| 7,741 | T-Mobile U.S., Inc. | 1,411,029 |
| | Transportation - 1.9% |
| 36,333 | Uber Technologies, Inc.* | 2,342,389 |
| | Total Common Stocks
(cost $86,119,761) | | $ 124,149,136 |
| SHORT-TERM INVESTMENTS - 1.0% |
| | Repurchase Agreements - 0.1% |
| $ 159,854 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $159,878; collateralized by U.S. Treasury Note at 4.88%, maturing 05/31/2026, with a market value of $163,180 | $ 159,854 |
| | Securities Lending Collateral - 0.9% |
| 163,435 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(2) | 163,435 |
| 544,783 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.24%(2) | 544,783 |
| 163,435 | Invesco Government & Agency Portfolio, Institutional Class, 5.22%(2) | 163,435 |
| 163,435 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.21%(2) | 163,435 |
| | | | 1,035,088 |
| | Total Short-Term Investments
(cost $1,194,942) | $ 1,194,942 |
| | Total Investments
(cost $87,314,703) | 100.4% | $ 125,344,078 |
| | Other Assets and Liabilities | (0.4)% | (464,006) |
| | Net Assets | 100.0% | $ 124,880,072 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| * | Non-income producing. |
| (1) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| (2) | Current yield as of period end. |
| † | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial statements.
Hartford Large Cap Growth ETF
Schedule of Investments – (continued)
July 31, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Common Stocks | | | | | | | | |
| Capital Goods | | $ 3,027,563 | | $ 3,027,563 | | $ — | | $ — |
| Consumer Discretionary Distribution & Retail | | 11,734,773 | | 11,734,773 | | — | | — |
| Consumer Durables & Apparel | | 1,535,647 | | 1,535,647 | | — | | — |
| Consumer Services | | 4,041,877 | | 4,041,877 | | — | | — |
| Energy | | 1,061,948 | | 1,061,948 | | — | | — |
| Equity Real Estate Investment Trusts (REITs) | | 809,844 | | 809,844 | | — | | — |
| Financial Services | | 4,288,092 | | 4,288,092 | | — | | — |
| Health Care Equipment & Services | | 4,050,031 | | 4,050,031 | | — | | — |
| Household & Personal Products | | 1,155,423 | | 1,155,423 | | — | | — |
| Media & Entertainment | | 22,517,360 | | 22,517,360 | | — | | — |
| Pharmaceuticals, Biotechnology & Life Sciences | | 8,271,717 | | 8,271,717 | | — | | — |
| Semiconductors & Semiconductor Equipment | | 25,034,789 | | 25,034,789 | | — | | — |
| Software & Services | | 11,189,841 | | 11,189,841 | | — | | — |
| Technology Hardware & Equipment | | 21,676,813 | | 21,676,813 | | — | | — |
| Telecommunication Services | | 1,411,029 | | 1,411,029 | | — | | — |
| Transportation | | 2,342,389 | | 2,342,389 | | — | | — |
| Short-Term Investments | | 1,194,942 | | 1,035,088 | | 159,854 | | — |
| Total | | $ 125,344,078 | | $ 125,184,224 | | $ 159,854 | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% |
| | Alabama - 4.3% |
| $ 2,000,000 | Alabama Housing Finance Auth, AL, Rev, (FHLMC), (FNMA), (GNMA) 6.00%, 04/01/2055 | $ 2,201,996 |
| | Black Belt Energy Gas Dist, AL, Rev | |
| 2,000,000 | 5.25%, 12/01/2027 | 2,083,196 |
| 330,000 | 5.25%, 12/01/2053(1) | 357,991 |
| 2,855,000 | 5.25%, 05/01/2055(1) | 3,124,194 |
| 1,475,000 | County of Jefferson Sewer, AL, Rev 5.00%, 10/01/2038 | 1,625,915 |
| 2,335,000 | Energy Southeast A Cooperative Dist, AL, Rev 5.50%, 11/01/2053(1) | 2,539,991 |
| 100,000 | Jefferson County Board of Education, AL, Special Tax 5.00%, 02/01/2042 | 103,934 |
| 2,000,000 | Lower Alabama Gas Dist, AL, Rev 5.00%, 09/01/2028 | 2,099,571 |
| 2,600,000 | Southeast Alabama Gas Supply Dist, AL, Rev 5.00%, 08/01/2054(1) | 2,799,634 |
| 415,000 | Southeast Energy Auth A Cooperative Dist, AL, Rev 5.50%, 01/01/2053(1) | 445,955 |
| 1,590,000 | State of Alabama Docks Department, AL, Rev, (AGM) 5.00%, 10/01/2026 | 1,624,772 |
| | | | 19,007,149 |
| | Alaska - 0.3% |
| 1,225,000 | Northern Tobacco Securitization Corp., AK, Rev 4.00%, 06/01/2039 | 1,216,815 |
| | Arizona - 0.5% |
| 500,000 | City of Phoenix Civic Improvement Corp., AZ, Rev 5.00%, 07/01/2037 | 521,357 |
| | Maricopa County Industrial Dev Auth, AZ, Rev | |
| 600,000 | 4.00%, 09/01/2037 | 607,825 |
| 230,000 | 4.00%, 10/15/2047(2) | 211,663 |
| 195,000 | 5.00%, 09/01/2031 | 206,278 |
| 730,000 | 5.00%, 12/01/2038(3) | 807,889 |
| | | | 2,355,012 |
| | California - 8.6% |
| 795,000 | Bay Area Toll Auth, CA, Rev 3.91%, 04/01/2056, SIFMA Municipal Swap Index + 0.30%(4) | 783,292 |
| 415,000 | Burbank-Glendale-Pasadena Airport Auth Brick Campaign, CA, Rev 5.00%, 07/01/2036 | 457,977 |
| | California Community Choice Financing Auth, CA, Rev | |
| 755,000 | 5.00%, 12/01/2053(1) | 796,991 |
| 3,375,000 | 5.50%, 05/01/2054(1) | 3,620,719 |
| 205,000 | California Enterprise Dev Auth, CA, Rev 5.00%, 08/01/2045 | 210,195 |
| | California Municipal Finance Auth, CA, Rev, | |
| 180,000 | (BAM) 4.00%, 05/15/2034 | 184,164 |
| 600,000 | (BAM) 4.00%, 05/15/2037 | 610,251 |
| 2,250,000 | 5.00%, 06/30/2027 | 2,311,425 |
| 835,000 | California State University, CA, Rev 0.55%, 11/01/2049(1) | 762,875 |
| 185,000 | Cathedral City Redev Agency Successor Agency, CA, Tax Allocation, (BAM) 4.00%, 08/01/2032 | 189,611 |
| | City of Fontana, CA, Special Tax | |
| 500,000 | 4.00%, 09/01/2041 | 487,619 |
| 450,000 | 4.00%, 09/01/2046 | 422,748 |
| 525,000 | 4.00%, 09/01/2051 | 479,757 |
| | City of Los Angeles Department of Airports, CA, Rev | |
| 800,000 | 4.00%, 05/15/2036 | 811,612 |
| 865,000 | 5.00%, 05/15/2037 | 948,984 |
| 110,000 | Foothill-Eastern Transportation Corridor Agency, CA, Rev 5.00%, 01/15/2030 | 118,559 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | California - 8.6% - (continued) |
| $ 150,000 | Fresno Unified School Dist, CA, GO 0.00%, 08/01/2032(5) | $ 111,521 |
| 5,670,000 | Golden State Tobacco Securitization Corp., CA, Rev 0.00%, 06/01/2066(5) | 651,385 |
| 15,900,000 | Los Angeles Department of Water & Power, CA, Rev 3.85%, 07/01/2057(1) | 15,900,000 |
| 605,000 | Los Angeles Unified School Dist, CA, GO 5.00%, 07/01/2033 | 708,955 |
| 205,000 | Oakland Unified School Dist, CA, GO, (AGM) 4.00%, 08/01/2034 | 208,732 |
| 595,000 | Regents of the University of California Medical Center Pooled, CA, Rev 5.00%, 05/15/2036 | 679,497 |
| 100,000 | Romoland School Dist, CA, Special Tax 5.00%, 09/01/2043 | 103,039 |
| 475,000 | San Diego County Regional Airport Auth, CA, Rev 5.25%, 07/01/2036 | 528,940 |
| | San Francisco City & County Airport, Comm-San Francisco International Airport, CA, Rev | |
| 345,000 | 4.00%, 05/01/2039 | 343,013 |
| 265,000 | 5.00%, 05/01/2050 | 271,183 |
| | San Joaquin Hills Transportation Corridor Agency, CA, Rev, | |
| 80,000 | (NPFG) 0.00%, 01/15/2026(5) | 76,128 |
| 235,000 | (NPFG) 0.00%, 01/15/2032(5) | 178,109 |
| 70,000 | (NPFG) 0.00%, 01/15/2035(5) | 47,244 |
| 1,250,000 | 4.00%, 01/15/2034 | 1,305,671 |
| | State of California, CA, GO | |
| 1,500,000 | 2.85%, 05/01/2040(1) | 1,500,000 |
| 1,535,000 | 5.00%, 09/01/2036 | 1,791,368 |
| | | | 37,601,564 |
| | Colorado - 2.1% |
| 1,970,000 | City & County of Denver Airport System, CO, Rev 5.50%, 11/15/2032 | 2,259,479 |
| 1,000,000 | Colorado Bridge & Tunnel Enterprise, CO, Rev, (AGM) 5.50%, 12/01/2054 | 1,130,673 |
| | Colorado Health Facs Auth, CO, Rev | |
| 105,000 | 4.00%, 12/01/2040 | 101,542 |
| 500,000 | 5.00%, 05/15/2036 | 560,286 |
| 345,000 | 5.00%, 05/15/2037 | 385,692 |
| 160,000 | Denver Convention Center Hotel Auth, CO, Rev 5.00%, 12/01/2031 | 163,626 |
| | E-470 Public Highway Auth, CO, Rev | |
| 365,000 | 3.92%, 09/01/2039, 1 mo. USD SOFR + 0.35%(4) | 365,028 |
| 1,000,000 | 4.32%, 09/01/2039, 1 mo. USD SOFR + 0.75%(4) | 999,461 |
| 1,030,000 | Park Creek Metropolitan Dist, CO, Rev 5.00%, 12/01/2029 | 1,091,564 |
| 300,000 | Public Auth for Colorado Energy, CO, Rev 6.50%, 11/15/2038 | 370,881 |
| | Regional Transportation Dist, CO, Rev | |
| 500,000 | 4.00%, 07/15/2039 | 500,619 |
| 400,000 | 5.00%, 07/15/2029 | 426,884 |
| 500,000 | 5.00%, 01/15/2030 | 536,334 |
| 100,000 | 5.00%, 07/15/2032 | 108,243 |
| 195,000 | University of Colorado, CO, Rev 2.00%, 06/01/2051(1) | 191,034 |
| | | | 9,191,346 |
| | Connecticut - 0.9% |
| 100,000 | City of Bridgeport, CT, GO, (BAM) 5.00%, 07/15/2034 | 106,576 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Connecticut - 0.9% - (continued) |
| $ 360,000 | Connecticut Housing Finance Auth, CT, Rev, (FHLMC), (FNMA), (GNMA) 4.25%, 05/15/2042 | $ 361,134 |
| | Connecticut State Health & Educational Facs Auth, CT, Rev | |
| 1,060,000 | 1.10%, 07/01/2049(1) | 1,044,276 |
| 1,000,000 | 2.95%, 07/01/2049(1) | 991,354 |
| 470,000 | 5.00%, 07/01/2030 | 513,982 |
| 315,000 | 5.00%, 07/01/2031 | 347,130 |
| 845,000 | State of Connecticut, CT, GO 3.00%, 06/01/2038 | 751,279 |
| | | | 4,115,731 |
| | Delaware - 0.1% |
| 200,000 | Delaware River & Bay Auth, DE, Rev 5.00%, 01/01/2037 | 223,643 |
| | District of Columbia - 0.4% |
| | Dist of Columbia, DC, Rev | |
| 250,000 | 5.00%, 07/01/2037 | 251,471 |
| 455,000 | 5.00%, 07/01/2042 | 449,151 |
| 500,000 | Metropolitan Washington Airports Auth, Aviation, DC, Rev 5.00%, 10/01/2035 | 545,629 |
| 500,000 | Metropolitan Washington Airports Auth, Dulles Toll Road, DC, Rev 5.00%, 10/01/2033 | 533,365 |
| | | | 1,779,616 |
| | Florida - 3.1% |
| 500,000 | Alachua County School Board, FL, COP, (AGM) 5.00%, 07/01/2028 | 536,308 |
| 185,000 | Capital Projects Finance Auth, FL, Rev 5.00%, 10/01/2027 | 190,372 |
| 125,000 | City of Atlantic Beach, FL, Rev 5.00%, 11/15/2043 | 127,405 |
| 210,000 | City of Pompano Beach, FL, Rev 2.00%, 01/01/2029 | 194,194 |
| 270,000 | County of Broward Airport System, FL, Rev 4.00%, 10/01/2044 | 262,370 |
| | County of Miami-Dade Aviation, FL, Rev | |
| 1,500,000 | 5.00%, 10/01/2033 | 1,501,933 |
| 1,440,000 | 5.00%, 10/01/2036(3) | 1,572,178 |
| | County of Miami-Dade Seaport Department, FL, Rev | |
| 1,085,000 | 5.00%, 10/01/2035 | 1,184,545 |
| 200,000 | 5.00%, 10/01/2036 | 217,530 |
| 445,000 | Escambia County Health Facs Auth, FL, Rev 4.00%, 08/15/2045 | 406,038 |
| 1,000,000 | Greater Orlando Aviation Auth, FL, Rev 5.00%, 10/01/2037 | 1,027,573 |
| 160,000 | Lee County Industrial Dev Auth, FL, Rev 4.13%, 11/15/2029 | 160,356 |
| 680,000 | Orange County Convention Center, FL, Rev 5.00%, 10/01/2024 | 682,045 |
| 950,000 | Orlando Utilities Commission, FL, Rev 1.25%, 10/01/2046(1) | 838,113 |
| | Polk County Industrial Dev Auth, FL, Rev | |
| 480,000 | 5.00%, 01/01/2029 | 490,401 |
| 190,000 | 5.00%, 01/01/2055 | 180,329 |
| 35,000 | Putnam County Dev Auth, FL, Rev 5.00%, 03/15/2042 | 36,121 |
| 445,000 | St. Johns County Industrial Dev Auth, FL, Rev 4.00%, 12/15/2046 | 359,664 |
| 2,000,000 | Town of Davie, FL, Rev 5.00%, 04/01/2048 | 2,054,836 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Florida - 3.1% - (continued) |
| $ 155,000 | Village Community Dev Dist No. 13, FL, Special Assessment 2.55%, 05/01/2031 | $ 142,608 |
| 1,210,000 | Village Community Dev Dist No. 14, FL, Special Assessment 5.13%, 05/01/2037 | 1,274,261 |
| | | | 13,439,180 |
| | Georgia - 4.1% |
| 1,350,000 | Bartow County Dev Auth, GA, Rev 3.95%, 12/01/2032(1) | 1,381,352 |
| 100,000 | Dev Auth of Appling County, GA, Rev 1.50%, 01/01/2038(1) | 98,153 |
| 400,000 | Dev Auth of Burke County, GA, Rev 1.50%, 01/01/2040(1) | 392,613 |
| 285,000 | Dev Auth of Monroe County, GA, Rev 3.88%, 10/01/2048(1) | 287,609 |
| 215,000 | Georgia Housing & Finance Auth, GA, Rev 5.00%, 12/01/2042 | 233,224 |
| | Main Street Natural Gas, Inc., GA, Rev | |
| 2,950,000 | 4.00%, 05/01/2052(1) | 2,969,022 |
| 1,760,000 | 5.00%, 07/01/2053(1) | 1,875,485 |
| 475,000 | 5.00%, 09/01/2053(1) | 507,800 |
| 1,225,000 | 5.00%, 12/01/2053(1) | 1,311,678 |
| 1,380,000 | 5.00%, 05/01/2054(1) | 1,481,490 |
| 1,200,000 | 5.50%, 09/15/2025 | 1,222,095 |
| | Municipal Electric Auth of Georgia, GA, Rev, | |
| 840,000 | (AGM) 4.00%, 01/01/2041 | 844,758 |
| 1,000,000 | 5.00%, 01/01/2028 | 1,025,009 |
| 1,000,000 | (AGM) 5.00%, 07/01/2048 | 1,066,259 |
| 520,000 | 5.00%, 07/01/2052 | 545,753 |
| 215,000 | 5.00%, 01/01/2056 | 220,082 |
| 2,300,000 | State of Georgia, GA, GO 5.00%, 08/01/2024 | 2,300,000 |
| | | | 17,762,382 |
| | Hawaii - 0.0% |
| 100,000 | State of Hawaii Airports System, HI, Rev 5.00%, 07/01/2031 | 104,661 |
| | Idaho - 2.7% |
| | Idaho Health Facs Auth, ID, Rev | |
| 820,000 | 4.00%, 03/01/2046 | 777,911 |
| 10,000,000 | 4.10%, 03/01/2048(1) | 10,000,000 |
| 1,075,000 | Idaho Housing & Finance Association, ID, Rev, (FHLMC), (FNMA), (GNMA) 5.75%, 01/01/2053 | 1,164,198 |
| | | | 11,942,109 |
| | Illinois - 9.8% |
| | Chicago Board of Education Dedicated Capital Improvement Tax, IL, Rev | |
| 250,000 | 5.00%, 04/01/2033 | 260,370 |
| 380,000 | 5.25%, 04/01/2035 | 427,062 |
| 250,000 | 5.25%, 04/01/2036 | 279,980 |
| | Chicago Board of Education, IL, GO, | |
| 110,000 | (NPFG) 0.00%, 12/01/2026(5) | 100,305 |
| 380,000 | 4.00%, 12/01/2047 | 331,634 |
| 250,000 | 5.00%, 12/01/2024 | 250,722 |
| 500,000 | 5.00%, 12/01/2028 | 519,695 |
| 1,100,000 | 5.00%, 12/01/2032 | 1,155,120 |
| 400,000 | 5.00%, 12/01/2046 | 401,049 |
| 2,500,000 | 5.25%, 12/01/2036 | 2,714,311 |
| 370,000 | Chicago Midway International Airport, IL, Rev, (BAM) 5.50%, 01/01/2038 | 420,615 |
| | Chicago O'Hare International Airport, IL, Rev | |
| 650,000 | 4.50%, 01/01/2048 | 650,917 |
| 255,000 | 5.00%, 01/01/2032 | 277,314 |
| 200,000 | (BAM) 5.00%, 01/01/2037 | 220,956 |
| 1,785,000 | (BAM) 5.00%, 01/01/2038 | 1,966,516 |
| 1,000,000 | Chicago Park Dist, IL, GO 5.00%, 01/01/2038 | 1,116,022 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Illinois - 9.8% - (continued) |
| $ 275,000 | Chicago Transit Auth Sales Tax Receipts Fund, IL, Rev 5.00%, 12/01/2045 | $ 287,553 |
| | City of Chicago Wastewater Transmission, IL, Rev, | |
| 695,000 | (BAM) 5.00%, 01/01/2041 | 772,551 |
| 90,000 | (NPFG) 5.50%, 01/01/2030 | 95,113 |
| 530,000 | City of Chicago Waterworks, IL, Rev, (AGM) 5.00%, 11/01/2037 | 590,131 |
| 500,000 | City of Chicago, IL, GO, (NPFG) 0.00%, 01/01/2026(5) | 476,023 |
| 1,385,000 | City of Granite City, IL, Rev 1.25%, 05/01/2027 | 1,257,044 |
| 900,000 | Cook County Community College Dist No. 508, IL, GO, (BAM) 5.00%, 12/01/2038 | 991,099 |
| 335,000 | County of Cook Sales Tax, IL, Rev 5.00%, 11/15/2030 | 369,032 |
| 265,000 | County of Cook, IL, GO 5.00%, 11/15/2032 | 291,805 |
| | Illinois Finance Auth, IL, Rev | |
| 640,000 | 4.00%, 07/15/2039 | 646,772 |
| 235,000 | 5.00%, 08/15/2033 | 257,949 |
| 150,000 | 5.00%, 11/15/2045 | 150,898 |
| 305,000 | 5.00%, 05/15/2050(1) | 305,196 |
| | Illinois Housing Dev Auth, IL, Rev, | |
| 880,000 | (FHLMC), (FNMA), (GNMA) 5.50%, 10/01/2053 | 939,280 |
| 470,000 | (FHLMC), (FNMA), (GNMA) 5.75%, 10/01/2053 | 502,126 |
| 1,635,000 | (FHLMC), (FNMA), (GNMA) 6.00%, 10/01/2054 | 1,777,012 |
| | Illinois State Toll Highway Auth, IL, Rev | |
| 320,000 | 4.00%, 01/01/2040 | 323,826 |
| 460,000 | 5.00%, 01/01/2037 | 531,629 |
| 625,000 | Kane County School Dist No. 131 Aurora East Side, IL, GO, (AGM) 5.00%, 12/01/2025 | 639,236 |
| 100,000 | Kane McHenry Cook & De Kalb Counties Unit School Dist No. 300, IL, GO 5.00%, 01/01/2032 | 104,556 |
| 150,000 | Kendall Kane & Will Counties Community Unit School Dist No. 308, IL, GO, (AGM) 0.00%, 02/01/2027(5) | 137,083 |
| | Metropolitan Pier & Exposition Auth, IL, Rev, | |
| 205,000 | (NPFG) 0.00%, 12/15/2025(5) | 195,281 |
| 595,000 | 4.00%, 12/15/2042 | 585,235 |
| | Sales Tax Securitization Corp., IL, Rev | |
| 785,000 | 4.00%, 01/01/2038 | 791,452 |
| 1,785,000 | 5.00%, 01/01/2026 | 1,831,021 |
| 500,000 | 5.00%, 01/01/2029 | 526,867 |
| 550,000 | 5.00%, 01/01/2030 | 599,247 |
| 1,870,000 | 5.00%, 01/01/2037 | 1,984,810 |
| | St. Clair County Community Unit School Dist No. 187 Cahokia, IL, GO, | |
| 240,000 | (AGM) 5.00%, 01/01/2029 | 256,417 |
| 250,000 | (AGM) 5.00%, 01/01/2030 | 270,846 |
| 250,000 | (AGM) 5.00%, 01/01/2031 | 274,177 |
| 320,000 | (AGM) 5.00%, 01/01/2032 | 354,991 |
| | State of Illinois Sales Tax, IL, Rev | |
| 115,000 | 5.00%, 06/15/2027 | 117,615 |
| 1,000,000 | 5.00%, 06/15/2035 | 1,125,149 |
| | State of Illinois, IL, GO | |
| 450,000 | 5.00%, 12/01/2024 | 452,546 |
| 1,010,000 | 5.00%, 11/01/2025 | 1,032,138 |
| 300,000 | 5.00%, 11/01/2027 | 316,170 |
| 535,000 | 5.00%, 03/01/2029 | 574,545 |
| 1,500,000 | 5.00%, 07/01/2032 | 1,674,912 |
| 465,000 | 5.00%, 12/01/2034 | 484,811 |
| 4,750,000 | 5.00%, 12/01/2042 | 5,168,208 |
| 325,000 | 5.00%, 03/01/2046 | 343,424 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Illinois - 9.8% - (continued) |
| $ 750,000 | 5.25%, 12/01/2030 | $ 792,299 |
| 550,000 | 5.50%, 03/01/2042 | 610,975 |
| 100,000 | Village of Bolingbrook, IL, GO, (AGM) 5.00%, 01/01/2028 | 105,864 |
| | | | 43,007,502 |
| | Indiana - 1.8% |
| 265,485 | City of Evansville, IN, Rev, (FNMA) 3.00%, 06/01/2034 | 235,948 |
| 2,550,000 | City of Whiting, IN, Rev 4.40%, 11/01/2045(1) | 2,572,962 |
| 195,000 | Crown Point Multi School Building Corp., IN, Rev, (ST INTERCEPT) 5.00%, 01/15/2029 | 211,413 |
| 3,000,000 | Indiana Finance Auth, IN, Rev 5.00%, 10/01/2042 | 3,303,686 |
| | Northwest Allen School Building Corp., IN, Rev, | |
| 1,150,000 | (ST INTERCEPT) 5.00%, 07/15/2040 | 1,290,653 |
| 115,000 | (ST INTERCEPT) 5.00%, 07/15/2041 | 128,445 |
| | | | 7,743,107 |
| | Iowa - 0.2% |
| 575,000 | Iowa Finance Auth, IA, Rev 5.00%, 02/15/2027 | 595,596 |
| 350,000 | Iowa Student Loan Liquidity Corp., IA, Rev 5.00%, 12/01/2025 | 354,828 |
| 95,000 | Iowa Tobacco Settlement Auth, IA, Rev 4.00%, 06/01/2049 | 95,052 |
| | | | 1,045,476 |
| | Kentucky - 0.5% |
| 1,250,000 | Kentucky Public Energy Auth, KY, Rev 5.25%, 04/01/2054(1) | 1,360,885 |
| 870,000 | Kentucky State Property & Building Commission, KY, Rev 5.00%, 11/01/2038 | 990,379 |
| | | | 2,351,264 |
| | Louisiana - 0.2% |
| 325,000 | East Baton Rouge Sewerage Commission, LA, Rev 1.30%, 02/01/2041(1) | 290,334 |
| 305,000 | Parish of St John the Baptist, LA, Rev 2.38%, 06/01/2037(1) | 296,156 |
| 480,000 | State of Louisiana Gasoline & Fuels Tax, LA, Rev 4.23%, 05/01/2043, 1 mo. USD SOFR + 0.50%(4) | 478,334 |
| | | | 1,064,824 |
| | Maine - 0.1% |
| 275,000 | Maine Health & Higher Educational Facs Auth, ME, Rev, (AGM), (ST INTERCEPT) 4.00%, 07/01/2035 | 281,333 |
| | Massachusetts - 2.9% |
| 1,190,000 | Massachusetts Bay Transportation Auth Sales Tax, MA, Rev 5.00%, 07/01/2041 | 1,352,883 |
| | Massachusetts Dev Finance Agency, MA, Rev | |
| 1,810,000 | 4.00%, 07/15/2036 | 1,821,016 |
| 405,000 | 4.21%, 07/01/2049, SIFMA Municipal Swap Index + 0.60%(2)(4) | 404,909 |
| 1,000,000 | 5.00%, 07/01/2025 | 1,015,065 |
| 680,000 | 5.00%, 07/01/2031 | 693,685 |
| 675,000 | 5.00%, 07/01/2034 | 699,006 |
| 350,000 | 5.00%, 07/01/2044 | 350,266 |
| 100,000 | 5.00%, 07/01/2048 | 102,322 |
| 380,000 | 5.00%, 10/01/2057(2) | 381,298 |
| 325,000 | 5.25%, 07/01/2052 | 348,747 |
| | Massachusetts Educational Financing Auth, MA, Rev | |
| 1,000,000 | 5.00%, 01/01/2025 | 1,006,153 |
| 100,000 | 5.00%, 07/01/2026 | 102,445 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Massachusetts - 2.9% - (continued) |
| $ 110,000 | 5.00%, 07/01/2027 | $ 113,753 |
| 4,200,000 | Massachusetts Health & Educational Facs Auth, MA, Rev 3.26%, 07/01/2027(1) | 4,200,000 |
| | | | 12,591,548 |
| | Michigan - 1.9% |
| 1,250,000 | Detroit Downtown Dev Auth, MI, Tax Allocation 5.00%, 07/01/2048 | 1,314,162 |
| 570,000 | Great Lakes Water Auth Water Supply System, MI, Rev 5.00%, 07/01/2037 | 656,589 |
| | Michigan Finance Auth, MI, Rev | |
| 1,250,000 | 4.00%, 11/15/2046 | 1,165,567 |
| 750,000 | 5.00%, 11/01/2032 | 796,881 |
| 600,000 | 5.25%, 02/29/2040 | 663,698 |
| 100,000 | 5.25%, 02/28/2041 | 109,661 |
| | Michigan State Housing Dev Auth, MI, Rev | |
| 465,000 | 4.25%, 06/01/2049 | 466,506 |
| 290,000 | 4.25%, 12/01/2049 | 291,181 |
| 1,245,000 | 5.75%, 06/01/2054 | 1,331,300 |
| 540,000 | Michigan Strategic Fund, MI, Rev 3.88%, 06/01/2053(1) | 543,778 |
| 275,000 | New Haven Community Schools, MI, GO, (Q-SBLF) 5.00%, 05/01/2032 | 300,145 |
| 500,000 | Wayne County Airport Auth, MI, Rev 5.00%, 12/01/2025 | 510,140 |
| | | | 8,149,608 |
| | Minnesota - 0.6% |
| 575,000 | Duluth Independent School Dist No. 709, MN, COP, (SD CRED PROG) 5.00%, 02/01/2025 | 580,338 |
| 381,262 | Freddie Mac Multifamily ML Certificates, MN, Rev 2.54%, 06/25/2037 | 331,479 |
| 750,000 | Minnesota Higher Education Facs Auth, MN, Rev 3.00%, 10/01/2038 | 668,894 |
| | Minnesota Housing Finance Agency, MN, Rev, | |
| 515,000 | (FHLMC), (FNMA), (GNMA) 5.05%, 07/01/2031 | 540,181 |
| 530,000 | (FHLMC), (FNMA), (GNMA) 5.05%, 01/01/2032 | 553,872 |
| | | | 2,674,764 |
| | Mississippi - 0.2% |
| 1,000,000 | State of Mississippi Gaming Tax, MS, Rev 5.00%, 10/15/2029 | 1,053,613 |
| | Missouri - 1.2% |
| | City of St Louis Airport, MO, Rev | |
| 400,000 | 5.00%, 07/01/2031 | 424,470 |
| 750,000 | (AGM) 5.00%, 07/01/2037 | 859,319 |
| 100,000 | (AGM) 5.00%, 07/01/2039 | 112,905 |
| | Health & Educational Facs Auth of the State of Missouri, MO, Rev | |
| 850,000 | 4.00%, 01/01/2050(1) | 818,786 |
| 555,000 | 5.00%, 06/01/2032 | 623,806 |
| 510,000 | Kansas City Industrial Dev Auth, MO, Rev 5.00%, 03/01/2032 | 537,964 |
| 1,285,000 | Missouri Housing Dev Commission, MO, Rev, (FHLMC), (FNMA), (GNMA) 4.25%, 05/01/2047 | 1,290,234 |
| 650,000 | St. Louis County Industrial Dev Auth, MO, Rev 5.00%, 09/01/2028 | 667,585 |
| | | | 5,335,069 |
| | Montana - 0.2% |
| 985,000 | Montana Board of Housing, MT, Rev 6.00%, 12/01/2054 | 1,074,958 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Nebraska - 0.7% |
| | Central Plains Energy Project, NE, Rev | |
| $ 1,500,000 | 4.00%, 12/01/2049(1) | $ 1,502,768 |
| 1,365,000 | 5.00%, 05/01/2054(1) | 1,441,900 |
| 300,000 | County of Washington, NE, Rev 0.90%, 09/01/2030(1) | 291,761 |
| | | | 3,236,429 |
| | Nevada - 1.0% |
| 260,000 | City of North Las Vegas, NV, Special Assessment 4.50%, 06/01/2039 | 257,848 |
| 280,000 | City of Reno, NV, Rev, (AGM) 5.00%, 06/01/2033 | 297,235 |
| 300,000 | Clark County School Dist, NV, GO 5.00%, 06/15/2035 | 319,663 |
| 2,850,000 | County of Clark Department of Aviation, NV, Rev 5.00%, 07/01/2026 | 2,941,901 |
| 250,000 | County of Clark Passenger Facility Charge, NV, Rev 5.00%, 07/01/2028 | 269,102 |
| 200,000 | Las Vegas Convention & Visitors Auth, NV, Rev 5.00%, 07/01/2029 | 200,182 |
| | | | 4,285,931 |
| | New Hampshire - 1.1% |
| | New Hampshire Business Finance Auth, NH, Rev | |
| 1,295,000 | 4.00%, 12/01/2028 | 1,293,392 |
| 80,000 | 4.00%, 01/01/2041 | 72,530 |
| 650,000 | (BAM) 5.00%, 06/01/2036 | 728,575 |
| 715,000 | (BAM) 5.00%, 12/01/2036 | 800,602 |
| 860,000 | (BAM) 5.00%, 12/01/2037 | 960,539 |
| 665,000 | (BAM) 5.00%, 12/01/2038 | 738,251 |
| | | | 4,593,889 |
| | New Jersey - 1.6% |
| 830,000 | New Jersey Educational Facs Auth, NJ, Rev, (AGM) 5.00%, 07/01/2043 | 927,976 |
| 1,800,000 | New Jersey Health Care Facs Financing Auth, NJ, Rev 5.00%, 09/15/2033 | 2,012,063 |
| 430,000 | New Jersey Higher Education Student Assistance Auth, NJ, Rev 5.00%, 12/01/2025 | 438,571 |
| 300,000 | New Jersey Transportation Trust Fund Auth, NJ, Rev 5.00%, 06/15/2038 | 336,054 |
| | New Jersey Turnpike Auth, NJ, Rev | |
| 250,000 | 4.00%, 01/01/2033 | 255,342 |
| 465,000 | 5.00%, 01/01/2034 | 541,516 |
| 1,695,000 | 5.00%, 01/01/2042(3) | 1,887,267 |
| 325,000 | Newark Board of Education, NJ, GO, (BAM) 5.00%, 07/15/2027 | 341,448 |
| 250,000 | Tobacco Settlement Financing Corp., NJ, Rev 5.00%, 06/01/2029 | 263,319 |
| | | | 7,003,556 |
| | New Mexico - 0.9% |
| 2,150,000 | City of Santa Fe, NM, Rev 5.00%, 05/15/2049 | 2,013,570 |
| | New Mexico Mortgage Finance Auth, NM, Rev, | |
| 40,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 01/01/2049 | 39,962 |
| 1,845,000 | (FHLMC), (FNMA), (GNMA) 6.50%, 09/01/2054 | 2,039,825 |
| | | | 4,093,357 |
| | New York - 7.8% |
| 530,000 | City of New York, NY, GO 5.00%, 04/01/2036 | 559,504 |
| | Long Island Power Auth, NY, Rev | |
| 500,000 | 0.85%, 09/01/2050(1) | 483,434 |
| 295,000 | 5.00%, 09/01/2033 | 315,993 |
| | Metropolitan Transportation Auth, NY, Rev | |
| 2,000,000 | 5.00%, 11/15/2029 | 2,036,770 |
| 265,000 | 5.00%, 11/15/2032 | 268,867 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | New York - 7.8% - (continued) |
| $ 195,000 | 5.00%, 11/15/2033 | $ 213,424 |
| 1,000,000 | 5.00%, 11/15/2045(1) | 1,079,418 |
| 575,000 | 5.00%, 11/15/2048 | 603,663 |
| | New York City Industrial Dev Agency, NY, Rev, | |
| 670,000 | (AGM) 3.00%, 01/01/2033 | 635,889 |
| 150,000 | (AGM) 5.00%, 03/01/2030 | 164,138 |
| | New York City Municipal Water Finance Auth, NY, Rev | |
| 1,200,000 | 3.00%, 06/15/2040 | 1,038,799 |
| 690,000 | 4.13%, 06/15/2047 | 684,192 |
| 500,000 | 5.00%, 06/15/2040 | 533,978 |
| | New York City Transitional Finance Auth, Future Tax Secured, NY, Rev | |
| 185,000 | 4.00%, 11/01/2035 | 191,120 |
| 580,000 | 4.00%, 11/01/2036 | 597,045 |
| 2,305,000 | 4.00%, 02/01/2038 | 2,357,497 |
| 1,000,000 | 4.00%, 11/01/2038 | 1,019,285 |
| 570,000 | 5.00%, 05/01/2038 | 611,871 |
| | New York City Transitional Finance Auth, NY, Rev | |
| 200,000 | 5.00%, 05/01/2037 | 228,931 |
| 390,000 | 5.00%, 02/01/2038 | 446,274 |
| 1,360,000 | 5.00%, 05/01/2038 | 1,549,441 |
| | New York Liberty Dev Corp., NY, Rev | |
| 450,000 | 0.95%, 11/15/2027 | 400,816 |
| 405,000 | 2.75%, 02/15/2044 | 308,015 |
| 2,175,000 | 5.00%, 11/15/2044(2) | 2,177,074 |
| | New York State Dormitory Auth, NY, Rev | |
| 1,000,000 | 3.00%, 03/15/2041 | 856,853 |
| 1,650,000 | 4.00%, 03/15/2038 | 1,685,862 |
| 675,000 | 4.00%, 03/15/2040 | 680,300 |
| 630,000 | (AGM), (ST AID WITHHLDG) 5.00%, 10/01/2037 | 713,404 |
| 245,000 | (AGM), (ST AID WITHHLDG) 5.00%, 10/01/2038 | 276,188 |
| 1,900,000 | New York State Housing Finance Agency, NY, Rev 3.50%, 11/15/2037(1) | 1,900,000 |
| 200,000 | New York State Thruway Auth, NY, Rev 5.00%, 01/01/2038 | 231,586 |
| | New York State Urban Dev Corp., NY, Rev | |
| 2,000,000 | 4.00%, 03/15/2037 | 2,052,198 |
| 515,000 | 5.00%, 03/15/2038 | 538,040 |
| | New York Transportation Dev Corp., NY, Rev | |
| 130,000 | 5.00%, 12/01/2024 | 130,484 |
| 1,495,000 | (AGM) 5.00%, 06/30/2049 | 1,560,473 |
| 695,000 | 6.00%, 04/01/2035 | 783,903 |
| | Port Auth of New York & New Jersey, NY, Rev | |
| 500,000 | 3.00%, 10/01/2027 | 485,692 |
| 185,000 | 4.00%, 07/15/2040 | 184,819 |
| 800,000 | 5.00%, 11/15/2035 | 821,133 |
| 835,000 | 5.00%, 01/15/2037 | 901,978 |
| 290,000 | 5.00%, 12/01/2037 | 314,471 |
| 700,000 | 5.00%, 11/01/2038 | 735,514 |
| 500,000 | 5.00%, 12/01/2038 | 539,186 |
| 260,000 | Triborough Bridge & Tunnel Auth, NY, Rev 5.00%, 11/15/2049 | 275,945 |
| | | | 34,173,467 |
| | North Carolina - 0.7% |
| 880,000 | North Carolina Housing Finance Agency, NC, Rev, (FHLMC), (FNMA), (GNMA) 3.75%, 07/01/2052 | 873,789 |
| | North Carolina Medical Care Commission, NC, Rev | |
| 255,000 | 4.00%, 01/01/2025 | 254,119 |
| 1,455,000 | 4.00%, 09/01/2051 | 1,197,289 |
| 395,000 | 5.00%, 01/01/2038 | 402,816 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | North Carolina - 0.7% - (continued) |
| $ 145,000 | 5.00%, 01/01/2039 | $ 138,815 |
| 210,000 | 5.00%, 01/01/2044 | 211,396 |
| | | | 3,078,224 |
| | North Dakota - 0.2% |
| 605,000 | North Dakota Housing Finance Agency, ND, Rev 6.25%, 01/01/2055 | 677,477 |
| | Ohio - 2.3% |
| | American Municipal Power, Inc., OH, Rev | |
| 1,000,000 | 4.00%, 02/15/2036 | 1,019,226 |
| 1,000,000 | 4.00%, 02/15/2037 | 1,014,627 |
| 1,230,000 | Buckeye Tobacco Settlement Financing Auth, OH, Rev 5.00%, 06/01/2055 | 1,139,060 |
| 100,000 | Cleveland Department of Public Utilities Division of Public Power, OH, Rev, (AGM) 5.00%, 11/15/2030 | 106,782 |
| 250,000 | County of Allen Hospital Facs, OH, Rev 5.00%, 12/01/2029 | 272,370 |
| 1,435,000 | Jefferson County Port Auth, OH, Rev 5.00%, 12/01/2053(1)(2) | 1,459,310 |
| 845,000 | Ohio Air Quality Dev Auth, OH, Rev 4.00%, 09/01/2030(1) | 848,178 |
| 805,000 | Ohio Higher Educational Facility Commission, OH, Rev 5.00%, 07/01/2035 | 923,377 |
| 665,000 | Ohio Housing Finance Agency, OH, Rev, (FHLMC), (FNMA), (GNMA) 6.25%, 03/01/2055(3) | 735,064 |
| | Port of Greater Cincinnati Dev Auth, OH, Rev | |
| 1,235,000 | 5.00%, 12/01/2037 | 1,406,303 |
| 755,000 | 5.00%, 12/01/2038 | 858,090 |
| 360,000 | State of Ohio, OH, Rev 2.75%, 01/01/2052(1) | 350,337 |
| | | | 10,132,724 |
| | Oklahoma - 0.4% |
| 925,000 | Canadian County Educational Facs Auth, OK, Rev 5.00%, 09/01/2033 | 1,036,036 |
| 555,000 | Grand River Dam Auth, OK, Rev 5.00%, 06/01/2041 | 625,085 |
| | | | 1,661,121 |
| | Oregon - 1.3% |
| 30,000 | Benton & Linn Counties Consolidated School Dist No. 509J & 509A Corvallis, OR, GO, (SCH BD GTY) 5.00%, 06/15/2038(6) | 31,890 |
| 20,000 | Marion County School Dist No. 15 North Marion, OR, GO, (SCH BD GTY) 0.00%, 06/15/2037(5) | 11,474 |
| 115,000 | Multnomah & Clackamas Counties School Dist No. 10JT Gresham-Barlow, OR, GO, (SCH BD GTY) 0.00%, 06/15/2038(5) | 65,014 |
| | Port of Portland Airport, OR, Rev | |
| 270,000 | 5.00%, 07/01/2029 | 288,462 |
| 575,000 | 5.00%, 07/01/2030 | 618,747 |
| 1,910,000 | 5.00%, 07/01/2038 | 2,066,854 |
| 1,000,000 | 5.00%, 07/01/2044 | 1,030,737 |
| 1,250,000 | 5.25%, 07/01/2040(3) | 1,384,559 |
| | Salem Hospital Facility Auth, OR, Rev | |
| 40,000 | 5.00%, 05/15/2038 | 40,409 |
| 30,000 | 5.00%, 05/15/2048 | 29,184 |
| 30,000 | State of Oregon Housing & Community Services Department, OR, Rev 4.50%, 01/01/2049 | 30,130 |
| 45,000 | State of Oregon, OR, GO 4.00%, 12/01/2048 | 44,977 |
| 100,000 | Washington Clackamas & Yamhill Counties School Dist No. 88J, OR, GO, (SCH BD GTY) 0.00%, 06/15/2034(5) | 67,689 |
| | | | 5,710,126 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Pennsylvania - 3.5% |
| $ 135,000 | Armstrong School Dist, PA, GO, (BAM), (ST AID WITHHLDG) 4.00%, 03/15/2035 | $ 137,971 |
| 735,000 | City of Philadelphia Water & Wastewater, PA, Rev, (AGM) 5.00%, 09/01/2036 | 844,159 |
| 3,000,000 | Coatesville School Dist, PA, GO, (BAM), (ST AID WITHHLDG) 5.25%, 11/15/2037 | 3,260,414 |
| 100,000 | Commonwealth Financing Auth, PA, Rev 5.00%, 06/01/2027 | 105,064 |
| 265,000 | Delaware Valley Regional Finance Auth, PA, Rev 5.75%, 07/01/2032 | 306,497 |
| 450,000 | Doylestown Hospital Auth, PA, Rev 5.38%, 07/01/2039(2) | 473,838 |
| 585,000 | Hospitals & Higher Education Facs Auth of Philadelphia, PA, Rev, (AGM) 5.00%, 07/01/2037 | 633,256 |
| 345,000 | Lancaster Industrial Dev Auth, PA, Rev 4.00%, 07/01/2056 | 267,548 |
| | Montgomery County Industrial Dev Auth, PA, Rev | |
| 230,000 | 5.00%, 12/01/2030 | 235,200 |
| 240,000 | 5.00%, 12/01/2044 | 244,316 |
| 100,000 | 5.00%, 12/01/2046 | 100,672 |
| | Pennsylvania Economic Dev Financing Auth, PA, Rev | |
| 400,000 | 5.00%, 05/15/2036 | 448,850 |
| 465,000 | (AGM) 5.00%, 01/01/2038 | 505,154 |
| 100,000 | 5.00%, 05/15/2038 | 111,310 |
| 290,000 | (AGM) 5.00%, 01/01/2040 | 311,354 |
| 240,000 | Pennsylvania Higher Education Assistance Agency, PA, Rev 5.00%, 06/01/2029 | 253,004 |
| | Pennsylvania Higher Educational Facs Auth, PA, Rev | |
| 250,000 | 5.00%, 05/01/2025 | 252,675 |
| 750,000 | 5.00%, 05/01/2037 | 766,591 |
| 265,000 | Pennsylvania Housing Finance Agency, PA, Rev 4.00%, 10/01/2038 | 264,370 |
| 150,000 | Pennsylvania Turnpike Commission, PA, Rev 5.00%, 12/01/2030 | 157,973 |
| | Pittsburgh Water & Sewer Auth, PA, Rev, | |
| 15,000 | (AGM) 5.00%, 09/01/2034 | 16,325 |
| 1,245,000 | (AGM) 5.00%, 09/01/2036 | 1,422,080 |
| 1,000,000 | (AGM) 5.00%, 09/01/2037 | 1,146,589 |
| | School Dist of Philadelphia, PA, GO, | |
| 280,000 | (NPFG), (ST AID WITHHLDG) 5.00%, 06/01/2027 | 294,319 |
| 610,000 | (ST AID WITHHLDG) 5.00%, 09/01/2032 | 655,090 |
| 875,000 | (ST AID WITHHLDG) 5.00%, 09/01/2035 | 982,805 |
| 590,000 | School Dist of the City of Erie, PA, GO, (AGM), (ST AID WITHHLDG) 5.00%, 04/01/2028 | 623,895 |
| 375,000 | Wilkes-Barre Area School Dist, PA, GO, (BAM), (ST AID WITHHLDG) 5.00%, 04/15/2059 | 385,144 |
| | | | 15,206,463 |
| | Puerto Rico - 1.4% |
| 2,950,000 | Commonwealth of Puerto Rico, PR, GO 5.63%, 07/01/2027 | 3,077,324 |
| | Puerto Rico Sales Tax Financing Corp., PR, Rev | |
| 3,119,000 | 0.00%, 07/01/2029(5) | 2,591,873 |
| 625,000 | 5.00%, 07/01/2058 | 627,618 |
| | | | 6,296,815 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Rhode Island - 1.1% |
| $ 3,000,000 | Rhode Island Health & Educational Building Corp., RI, Rev, (AGM), (ST AID WITHHLDG) 5.00%, 05/15/2037(3) | $ 3,443,722 |
| | Rhode Island Student Loan Auth, RI, Rev | |
| 400,000 | 5.00%, 12/01/2027 | 416,343 |
| 765,000 | 5.00%, 12/01/2028 | 805,990 |
| | | | 4,666,055 |
| | South Carolina - 1.5% |
| 785,000 | Patriots Energy Group Financing Agency, SC, Rev 5.25%, 02/01/2054(1) | 852,844 |
| 580,000 | Piedmont Municipal Power Agency, SC, Rev 5.00%, 01/01/2025 | 583,994 |
| 410,000 | SCAGO Educational Facs Corp. for Pickens School Dist, SC, Rev 5.00%, 12/01/2029 | 414,097 |
| | South Carolina Jobs-Economic Dev Auth, SC, Rev | |
| 1,500,000 | 5.00%, 11/01/2036 | 1,713,038 |
| 345,000 | 5.00%, 11/01/2037 | 393,083 |
| | South Carolina Public Service Auth, SC, Rev | |
| 500,000 | 4.00%, 12/01/2034 | 509,402 |
| 625,000 | 4.00%, 12/01/2038 | 628,883 |
| 175,000 | 5.00%, 12/01/2025 | 178,572 |
| 1,220,000 | South Carolina State Housing Finance & Dev Auth, SC, Rev 5.75%, 01/01/2054 | 1,319,505 |
| | | | 6,593,418 |
| | South Dakota - 0.2% |
| | South Dakota Housing Dev Auth, SD, Rev | |
| 400,000 | 4.50%, 11/01/2048 | 402,936 |
| 285,000 | (FHLMC), (FNMA), (GNMA) 6.00%, 05/01/2054 | 304,717 |
| | | | 707,653 |
| | Tennessee - 0.8% |
| | Metropolitan Government Nashville & Davidson County Health & Educational Facs Board, TN, Rev | |
| 835,000 | 5.00%, 07/01/2033 | 942,628 |
| 515,000 | 5.00%, 05/01/2035 | 572,307 |
| 195,000 | 5.00%, 05/01/2038 | 214,869 |
| 590,000 | Metropolitan Nashville Airport Auth, TN, Rev 5.50%, 07/01/2040 | 655,688 |
| | Tennessee Energy Acquisition Corp., TN, Rev | |
| 295,000 | 5.00%, 02/01/2025 | 296,053 |
| 590,000 | 5.00%, 02/01/2027 | 601,994 |
| 55,000 | Tennessee Housing Dev Agency, TN, Rev 4.00%, 01/01/2049 | 54,948 |
| | | | 3,338,487 |
| | Texas - 14.0% |
| | Arlington Higher Education Finance Corp., TX, Rev, | |
| 950,000 | (PSF-GTD) 5.00%, 02/15/2037 | 1,048,931 |
| 450,000 | (PSF-GTD) 5.00%, 08/15/2037 | 499,246 |
| 805,000 | (PSF-GTD) 5.00%, 08/15/2040 | 880,348 |
| 160,000 | Austin-Bergstrom Landhost Enterprises, Inc., TX, Rev 5.00%, 10/01/2029 | 164,269 |
| | Boerne Independent School Dist, TX, GO, | |
| 1,060,000 | (PSF-GTD) 3.13%, 02/01/2053(1) | 1,052,159 |
| 225,000 | (PSF-GTD) 4.00%, 02/01/2054(1) | 230,937 |
| 500,000 | Brazos Higher Education Auth, Inc., TX, Rev 5.00%, 04/01/2025 | 504,256 |
| | Central Texas Regional Mobility Auth, TX, Rev | |
| 1,425,000 | 4.00%, 01/01/2035 | 1,471,523 |
| 505,000 | 4.00%, 01/01/2036 | 519,235 |
| 1,490,000 | 5.00%, 01/01/2046 | 1,574,286 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Texas - 14.0% - (continued) |
| $ 4,075,000 | Central Texas Turnpike System, TX, Rev 5.00%, 08/15/2037(3) | $ 4,628,720 |
| | City of Austin Airport System, TX, Rev | |
| 1,025,000 | 5.00%, 11/15/2032 | 1,123,453 |
| 500,000 | 5.00%, 11/15/2039 | 538,541 |
| | City of Dallas Hotel Occupancy Tax, TX, Rev | |
| 1,535,000 | 4.00%, 08/15/2033 | 1,518,813 |
| 100,000 | 4.00%, 08/15/2034 | 98,233 |
| 535,000 | City of Dallas, TX, GO 5.00%, 02/15/2028 | 559,211 |
| | City of Houston Hotel Occupancy Tax & Special, TX, Rev, | |
| 750,000 | (AGM), (AMBAC) 0.00%, 09/01/2025(5) | 722,370 |
| 425,000 | 4.00%, 09/01/2026 | 430,600 |
| 1,135,000 | City of Houston, Combined Utility System, TX, Rev, (AGM) 0.00%, 12/01/2024(5) | 1,122,857 |
| | City of San Antonio Electric & Gas Systems, TX, Rev | |
| 555,000 | 1.75%, 02/01/2049(1) | 538,490 |
| 245,000 | 5.00%, 02/01/2039 | 278,001 |
| | Clear Creek Independent School Dist, TX, GO, | |
| 425,000 | (PSF-GTD) 0.28%, 02/15/2038(1) | 424,519 |
| 1,410,000 | (PSF-GTD) 3.60%, 02/15/2035(1) | 1,414,599 |
| 975,000 | Clifton Higher Education Finance Corp., TX, Rev, (PSF-GTD) 5.00%, 08/15/2036 | 1,096,759 |
| 2,250,000 | College Station Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 08/15/2044 | 2,216,173 |
| 1,310,000 | Cypress-Fairbanks Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2037 | 1,494,284 |
| | Dallas Fort Worth International Airport, TX, Rev | |
| 1,500,000 | 5.00%, 11/01/2031 | 1,629,531 |
| 1,500,000 | 5.00%, 11/01/2032 | 1,643,535 |
| 1,000,000 | Eagle Mountain & Saginaw Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 08/15/2033 | 1,143,399 |
| 1,495,000 | Fort Bend Independent School Dist, TX, GO, (PSF-GTD) 3.65%, 08/01/2052(1) | 1,495,000 |
| 500,000 | Fort Worth Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2033 | 565,469 |
| 450,000 | Harris County Industrial Dev Corp., TX, Rev 4.05%, 11/01/2050(1) | 457,938 |
| 615,000 | Harris County-Houston Sports Auth, TX, Rev 5.00%, 11/15/2033 | 616,146 |
| 400,000 | Hidalgo County Regional Mobility Auth, TX, Rev 5.00%, 12/01/2030 | 431,608 |
| 825,000 | Hutto Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 08/01/2036 | 942,133 |
| 100,000 | Kerrville Health Facs Dev Corp., TX, Rev 5.00%, 08/15/2024 | 100,047 |
| | Lower Colorado River Auth, TX, Rev, | |
| 1,665,000 | (AGM) 5.00%, 05/15/2035 | 1,874,924 |
| 675,000 | 5.00%, 05/15/2038 | 736,240 |
| 500,000 | New Hope Cultural Education Facs Finance Corp., TX, Rev 5.00%, 11/01/2046 | 412,875 |
| 3,000,000 | North Texas Tollway Auth, TX, Rev 4.13%, 01/01/2040 | 3,025,125 |
| | Northside Independent School Dist, TX, GO, | |
| 1,250,000 | (PSF-GTD) 2.00%, 06/01/2052(1) | 1,193,356 |
| 1,000,000 | (PSF-GTD) 5.00%, 08/01/2036 | 1,136,077 |
| 1,020,000 | (PSF-GTD) 5.00%, 08/01/2038 | 1,152,812 |
| 2,000,000 | San Antonio Water System, TX, Rev 1.00%, 05/01/2043(1) | 1,850,193 |
| 500,000 | Southwest Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/01/2036 | 562,790 |
| 6,700,000 | State of Texas, TX, GO 3.56%, 12/01/2050(1) | 6,700,000 |
| | Texas Department of Housing & Community Affairs, TX, Rev, | |
| 1,250,000 | (GNMA) 2.25%, 07/01/2041 | 918,639 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Texas - 14.0% - (continued) |
| $ 1,125,000 | (GNMA) 3.00%, 03/01/2050 | $ 863,971 |
| 1,430,000 | (GNMA) 3.63%, 09/01/2044 | 1,323,189 |
| 2,000,000 | Texas Department of Transportation State Highway Fund, TX, Rev 0.43%, 04/01/2025 | 1,954,252 |
| 1,610,000 | Texas Municipal Gas Acquisition & Supply Corp. I, TX, Rev 6.25%, 12/15/2026 | 1,660,481 |
| 500,000 | Texas Public Finance Auth, TX, Rev 4.00%, 02/01/2034 | 514,694 |
| 200,000 | Texas Transportation Commission State Highway 249 System, TX, Rev 0.00%, 08/01/2038(5) | 107,152 |
| | Uptown Dev Auth, TX, Tax Allocation | |
| 220,000 | 4.00%, 09/01/2032 | 216,414 |
| 250,000 | 4.00%, 09/01/2035 | 238,852 |
| | | | 61,617,655 |
| | Utah - 0.4% |
| 590,000 | County of Salt Lake, UT, Rev, (AMBAC) 5.13%, 02/15/2033 | 594,242 |
| 1,250,000 | Utah Transit Auth, UT, Rev, (AGM) 5.25%, 06/15/2029 | 1,361,360 |
| | | | 1,955,602 |
| | Virginia - 1.5% |
| 1,325,000 | Arlington County Industrial Dev Auth, VA, Rev 5.00%, 07/01/2053(1) | 1,428,238 |
| 750,000 | Henrico County Economic Dev Auth, VA, Rev 5.00%, 10/01/2047 | 786,516 |
| 255,000 | James City County Economic Dev Auth, VA, Rev 5.25%, 12/01/2027 | 256,138 |
| 620,000 | Virginia Beach Dev Auth, VA, Rev 5.38%, 09/01/2029 | 644,155 |
| | Virginia Small Business Financing Auth, VA, Rev | |
| 1,000,000 | 4.00%, 01/01/2033 | 993,371 |
| 1,100,000 | 4.00%, 07/01/2034 | 1,090,858 |
| 835,000 | 5.00%, 07/01/2035 | 887,615 |
| 350,000 | 5.00%, 12/31/2047 | 364,220 |
| | | | 6,451,111 |
| | Washington - 1.6% |
| 500,000 | King County School Dist No. 210 Federal Way, WA, GO, (SCH BD GTY) 4.00%, 12/01/2036 | 509,506 |
| 1,105,000 | Snohomish County School Dist No. 15 Edmonds, WA, GO, (SCH BD GTY) 5.00%, 12/01/2038 | 1,270,964 |
| | State of Washington, WA, GO | |
| 1,105,000 | 4.00%, 07/01/2035 | 1,165,015 |
| 460,000 | 5.00%, 08/01/2044 | 494,281 |
| | Washington Health Care Facs Auth, WA, Rev | |
| 1,500,000 | 4.00%, 08/01/2044 | 1,448,436 |
| 1,725,000 | 5.00%, 10/01/2042 | 1,724,993 |
| 500,000 | Washington State Housing Finance Commission, WA, Rev 5.00%, 01/01/2031(2) | 494,045 |
| | | | 7,107,240 |
| | West Virginia - 0.4% |
| 1,870,000 | West Virginia Economic Dev Auth, WV, Rev 3.75%, 12/01/2042(1) | 1,873,989 |
| | Wisconsin - 2.4% |
| | Public Finance Auth, WI, Rev | |
| 505,000 | 4.00%, 10/01/2041 | 484,345 |
| 835,000 | 4.00%, 10/01/2046(1) | 842,226 |
| 170,000 | (AGM) 4.00%, 07/01/2050 | 161,654 |
| 50,000 | 5.00%, 09/01/2025(2) | 50,144 |
| 1,000,000 | (AGM) 5.00%, 07/01/2036 | 1,046,566 |
| 210,000 | 5.00%, 07/01/2038 | 213,707 |
| 750,000 | 5.00%, 10/01/2043(2) | 750,507 |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 93.6% - (continued) |
| | Wisconsin - 2.4% - (continued) |
| $ 465,000 | 5.00%, 10/01/2044 | $ 483,294 |
| | University of Wisconsin Hospitals & Clinics, WI, Rev | |
| 310,000 | 4.00%, 04/01/2035 | 317,556 |
| 220,000 | 4.00%, 04/01/2039 | 221,704 |
| 650,000 | 5.00%, 04/01/2037 | 744,111 |
| 265,000 | 5.00%, 04/01/2038 | 301,971 |
| 120,000 | Wisconsin Center Dist, WI, Rev, (AGM) 0.00%, 12/15/2029(5) | 98,427 |
| | Wisconsin Health & Educational Facs Auth, WI, Rev | |
| 595,000 | 4.00%, 08/15/2046 | 514,631 |
| 840,000 | 5.00%, 11/01/2039 | 796,119 |
| 680,000 | 5.75%, 08/15/2059 | 717,656 |
| | Wisconsin Housing & Economic Dev Auth Home Ownership, WI, Rev, | |
| 1,610,000 | (FHLMC), (FNMA), (GNMA) 6.00%, 09/01/2054 | 1,749,217 |
| 935,000 | (FHLMC), (FNMA), (GNMA) 6.00%, 03/01/2055 | 1,020,863 |
| 150,000 | Wisconsin Housing & Economic Dev Auth Housing, WI, Rev, (HUD) 0.50%, 11/01/2050(1) | 148,360 |
| | | | 10,663,058 |
| | Wyoming - 0.1% |
| 280,000 | Wyoming Community Dev Auth, WY, Rev 6.00%, 12/01/2054 | 306,067 |
| | Total Municipal Bonds
(cost $413,255,998) | | $ 410,542,188 |
| U.S. GOVERNMENT AGENCIES - 0.2% |
| | Mortgage-Backed Agencies - 0.2% |
| | Federal Home Loan Mortgage Corp. - 0.2% |
| 1,145,000 | 3.15%, 10/15/2036 | $ 1,022,978 |
| | Total U.S. Government Agencies
(cost $1,164,801) | | $ 1,022,978 |
| | Total Long-Term Investments
(cost $414,420,799) | | $ 411,565,166 |
| SHORT-TERM INVESTMENTS - 1.8% |
| | Repurchase Agreements - 1.8% |
| 7,915,563 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $7,916,737; collateralized by U.S. Treasury Note at 0.75%, maturing 05/31/2026, with a market value of $8,073,874 | $ 7,915,563 |
| | Total Short-Term Investments
(cost $7,915,563) | $ 7,915,563 |
| | Total Investments
(cost $422,336,362) | 95.6% | $ 419,480,729 |
| | Other Assets and Liabilities | 4.4% | 19,263,806 |
| | Net Assets | 100.0% | $ 438,744,535 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| (1) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (2) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $6,402,788, representing 1.5% of net assets. |
| (3) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $14,355,096 at July 31, 2024. |
| (4) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2024. Base lending rates may be subject to a floor or cap. |
| (5) | Security is a zero-coupon bond. |
| (6) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
| † | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
The accompanying notes are an integral part of these financial statements.
Hartford Municipal Opportunities ETF
Schedule of Investments – (continued)
July 31, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Municipal Bonds | | $ 410,542,188 | | $ — | | $ 410,542,188 | | $ — |
| U.S. Government Agencies | | 1,022,978 | | — | | 1,022,978 | | — |
| Short-Term Investments | | 7,915,563 | | — | | 7,915,563 | | — |
| Total | | $ 419,480,729 | | $ — | | $ 419,480,729 | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Quality Value ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| COMMON STOCKS - 98.8% |
| | Banks - 9.2% |
| 85,716 | Bank of America Corp. | $ 3,455,212 |
| 34,842 | Bank of Nova Scotia | 1,626,076 |
| 29,147 | JP Morgan Chase & Co. | 6,202,481 |
| 85,190 | Wells Fargo & Co. | 5,055,175 |
| | | | 16,338,944 |
| | Capital Goods - 6.0% |
| 14,476 | Honeywell International, Inc. | 2,963,961 |
| 27,659 | Johnson Controls International PLC | 1,978,725 |
| 4,057 | Lockheed Martin Corp. | 2,198,569 |
| 17,786 | Otis Worldwide Corp. | 1,680,777 |
| 11,777 | Westinghouse Air Brake Technologies Corp. | 1,897,864 |
| | | | 10,719,896 |
| | Consumer Discretionary Distribution & Retail - 2.8% |
| 60,389 | LKQ Corp. | 2,506,143 |
| 3,917 | Lowe's Cos., Inc. | 961,663 |
| 13,558 | TJX Cos., Inc. | 1,532,325 |
| | | | 5,000,131 |
| | Consumer Services - 1.1% |
| 55,812 | Aramark | 1,912,677 |
| | Consumer Staples Distribution & Retail - 0.9% |
| 21,851 | Sysco Corp. | 1,674,879 |
| | Energy - 8.4% |
| 20,157 | Chevron Corp. | 3,234,594 |
| 64,603 | Coterra Energy, Inc. | 1,666,757 |
| 30,062 | EOG Resources, Inc. | 3,811,861 |
| 46,970 | TotalEnergies SE ADR | 3,183,627 |
| 71,373 | Williams Cos., Inc. | 3,064,757 |
| | | | 14,961,596 |
| | Equity Real Estate Investment Trusts (REITs) - 4.2% |
| 12,248 | American Tower Corp. REIT | 2,699,459 |
| 85,884 | Host Hotels & Resorts, Inc. REIT | 1,503,829 |
| 4,960 | Public Storage REIT | 1,467,763 |
| 11,532 | Simon Property Group, Inc. REIT | 1,769,470 |
| | | | 7,440,521 |
| | Financial Services - 4.8% |
| 16,846 | American Express Co. | 4,262,712 |
| 40,874 | Morgan Stanley | 4,218,606 |
| | | | 8,481,318 |
| | Food, Beverage & Tobacco - 6.1% |
| 68,149 | Keurig Dr. Pepper, Inc. | 2,336,148 |
| 22,494 | Mondelez International, Inc. Class A | 1,537,465 |
| 39,551 | Philip Morris International, Inc. | 4,554,693 |
| 39,274 | Tyson Foods, Inc. Class A | 2,391,787 |
| | | | 10,820,093 |
| | Health Care Equipment & Services - 8.6% |
| 10,361 | Becton Dickinson & Co. | 2,497,623 |
| 6,446 | Elevance Health, Inc. | 3,429,465 |
| 40,910 | Medtronic PLC | 3,285,891 |
| 10,407 | UnitedHealth Group, Inc. | 5,996,097 |
| | | | 15,209,076 |
| | Household & Personal Products - 2.8% |
| 6,085 | Estee Lauder Cos., Inc. Class A | 606,127 |
| 50,079 | Kenvue, Inc. | 925,960 |
| 56,752 | Unilever PLC ADR | 3,484,573 |
| | | | 5,016,660 |
| | Insurance - 6.4% |
| 29,568 | American International Group, Inc. | 2,342,673 |
| 7,987 | Chubb Ltd. | 2,201,697 |
| 13,258 | Marsh & McLennan Cos., Inc. | 2,950,833 |
| Shares or Principal Amount | | Market Value† |
| COMMON STOCKS - 98.8% - (continued) |
| | Insurance - 6.4% - (continued) |
| 14,679 | MetLife, Inc. | $ 1,128,081 |
| 33,771 | Principal Financial Group, Inc. | 2,752,674 |
| | | | 11,375,958 |
| | Materials - 4.3% |
| 169,944 | Amcor PLC | 1,789,510 |
| 30,453 | BHP Group Ltd. ADR | 1,691,055 |
| 12,425 | Celanese Corp. | 1,753,789 |
| 41,127 | FMC Corp. | 2,400,172 |
| | | | 7,634,526 |
| | Media & Entertainment - 5.4% |
| 10,076 | Alphabet, Inc. Class A | 1,728,437 |
| 54,473 | Comcast Corp. Class A | 2,248,101 |
| 35,979 | Omnicom Group, Inc. | 3,527,381 |
| 22,685 | Walt Disney Co. | 2,125,358 |
| | | | 9,629,277 |
| | Pharmaceuticals, Biotechnology & Life Sciences - 7.1% |
| 44,246 | AstraZeneca PLC ADR | 3,502,071 |
| 5,924 | Gilead Sciences, Inc. | 450,579 |
| 20,648 | Merck & Co., Inc. | 2,335,908 |
| 22,704 | Novartis AG ADR | 2,531,042 |
| 123,957 | Pfizer, Inc. | 3,785,647 |
| | | | 12,605,247 |
| | Semiconductors & Semiconductor Equipment - 4.9% |
| 6,852 | Micron Technology, Inc. | 752,487 |
| 9,614 | NXP Semiconductors NV | 2,530,020 |
| 16,642 | QUALCOMM, Inc. | 3,011,370 |
| 12,118 | Texas Instruments, Inc. | 2,469,769 |
| | | | 8,763,646 |
| | Software & Services - 4.0% |
| 7,808 | Accenture PLC Class A | 2,581,481 |
| 42,012 | Cognizant Technology Solutions Corp. Class A | 3,179,468 |
| 2,427 | Roper Technologies, Inc. | 1,322,108 |
| | | | 7,083,057 |
| | Technology Hardware & Equipment - 1.8% |
| 63,953 | Cisco Systems, Inc. | 3,098,523 |
| | Telecommunication Services - 0.8% |
| 7,904 | T-Mobile U.S., Inc. | 1,440,741 |
| | Transportation - 2.8% |
| 30,533 | Delta Air Lines, Inc. | 1,313,530 |
| 67,912 | Knight-Swift Transportation Holdings, Inc. | 3,696,450 |
| | | | 5,009,980 |
| | Utilities - 6.4% |
| 32,279 | American Electric Power Co., Inc. | 3,167,216 |
| 22,405 | Atmos Energy Corp. | 2,865,151 |
| 26,256 | Duke Energy Corp. | 2,868,993 |
| 31,601 | Sempra | 2,529,976 |
| | | | 11,431,336 |
| | Total Common Stocks
(cost $132,030,045) | | $ 175,648,082 |
| | Total Investments
(cost $132,030,045) | 98.8% | $ 175,648,082 |
| | Other Assets and Liabilities | 1.2% | 2,094,966 |
| | Net Assets | 100.0% | $ 177,743,048 |
| 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. |
The accompanying notes are an integral part of these financial statements.
Hartford Quality Value ETF
Schedule of Investments – (continued)
July 31, 2024
For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes.
See “Glossary” for abbreviation descriptions.
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Common Stocks | | | | | | | | |
| Banks | | $ 16,338,944 | | $ 16,338,944 | | $ — | | $ — |
| Capital Goods | | 10,719,896 | | 10,719,896 | | — | | — |
| Consumer Discretionary Distribution & Retail | | 5,000,131 | | 5,000,131 | | — | | — |
| Consumer Services | | 1,912,677 | | 1,912,677 | | — | | — |
| Consumer Staples Distribution & Retail | | 1,674,879 | | 1,674,879 | | — | | — |
| Energy | | 14,961,596 | | 14,961,596 | | — | | — |
| Equity Real Estate Investment Trusts (REITs) | | 7,440,521 | | 7,440,521 | | — | | — |
| Financial Services | | 8,481,318 | | 8,481,318 | | — | | — |
| Food, Beverage & Tobacco | | 10,820,093 | | 10,820,093 | | — | | — |
| Health Care Equipment & Services | | 15,209,076 | | 15,209,076 | | — | | — |
| Household & Personal Products | | 5,016,660 | | 5,016,660 | | — | | — |
| Insurance | | 11,375,958 | | 11,375,958 | | — | | — |
| Materials | | 7,634,526 | | 7,634,526 | | — | | — |
| Media & Entertainment | | 9,629,277 | | 9,629,277 | | — | | — |
| Pharmaceuticals, Biotechnology & Life Sciences | | 12,605,247 | | 12,605,247 | | — | | — |
| Semiconductors & Semiconductor Equipment | | 8,763,646 | | 8,763,646 | | — | | — |
| Software & Services | | 7,083,057 | | 7,083,057 | | — | | — |
| Technology Hardware & Equipment | | 3,098,523 | | 3,098,523 | | — | | — |
| Telecommunication Services | | 1,440,741 | | 1,440,741 | | — | | — |
| Transportation | | 5,009,980 | | 5,009,980 | | — | | — |
| Utilities | | 11,431,336 | | 11,431,336 | | — | | — |
| Total | | $ 175,648,082 | | $ 175,648,082 | | $ — | | $ — |
| (1) | For the period ended July 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Commodity Strategy ETF (Consolidated)
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| COMMON STOCKS - 5.7% |
| | Materials - 5.7% |
| 730 | Aclara Resources, Inc.* | $ 286 |
| 700 | Agnico Eagle Mines Ltd. | 54,019 |
| 1,600 | Alamos Gold, Inc. Class A | 27,248 |
| 1,600 | Anglogold Ashanti PLC | 44,928 |
| 2,300 | Barrick Gold Corp. | 42,573 |
| 8,900 | Centamin PLC | 14,484 |
| 4,700 | Coeur Mining, Inc.* | 30,503 |
| 1,800 | Eldorado Gold Corp.* | 30,528 |
| 3,700 | Endeavour Mining PLC | 81,368 |
| 5,000 | Hochschild Mining PLC* | 11,663 |
| 8,700 | Kinross Gold Corp. | 78,822 |
| 13,300 | New Gold, Inc.* | 30,723 |
| 1,100 | Newmont Corp. | 53,977 |
| 2,900 | Northern Star Resources Ltd. | 26,663 |
| 17,000 | OceanaGold Corp. | 41,840 |
| 600 | Pan American Silver Corp. | 13,788 |
| | Total Common Stocks
(cost $544,907) | | $ 583,413 |
| SHORT-TERM INVESTMENTS - 90.9% |
| | U.S. Treasury Securities - 90.9% |
| | U.S. Treasury Bills - 90.9% |
| $ 1,000,000 | 0.00%, 08/01/2024(1) | $ 1,000,000 |
| 320,000 | 4.65%, 08/08/2024(1) | 319,674 |
| 180,000 | 4.66%, 08/08/2024(1) | 179,817 |
| 680,000 | 4.91%, 08/13/2024(1) | 678,814 |
| 350,000 | 4.91%, 08/13/2024(1) | 349,389 |
| 1,020,000 | 5.06%, 08/20/2024(1) | 1,017,181 |
| 590,000 | 5.15%, 08/29/2024(1) | 587,594 |
| 60,000 | 5.19%, 09/05/2024(1) | 59,694 |
| 460,000 | 5.19%, 09/05/2024(1) | 457,656 |
| 390,000 | 5.20%, 09/12/2024(1) | 387,625 |
| 1,000,000 | 5.21%, 10/24/2024(1) | 988,007 |
| 230,000 | 5.22%, 09/12/2024(1) | 228,594 |
| 650,000 | 5.24%, 09/26/2024(1) | 644,728 |
| 650,000 | 5.24%, 10/01/2024(1) | 644,269 |
| 110,000 | 5.25%, 09/26/2024(1) | 109,106 |
| 190,000 | 5.26%, 10/08/2024(1) | 188,142 |
| 660,000 | 5.26%, 10/15/2024(1) | 652,909 |
| Shares or Principal Amount | | Market Value† |
| SHORT-TERM INVESTMENTS - 90.9% - (continued) |
| | U.S. Treasury Securities - 90.9% - (continued) |
| | U.S. Treasury Bills - 90.9 - (continued) |
| $ 900,000 | 5.26%, 10/17/2024(1) | $ 890,072 |
| | Total Short-Term Investments
(cost $9,383,130) | $ 9,383,271 |
| | Total Investments
(cost $9,928,037) | 96.6% | $ 9,966,684 |
| | Other Assets and Liabilities | 3.4% | 350,342 |
| | Net Assets | 100.0% | $ 10,317,026 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
| | The Consolidated Schedule of Investments includes investments held by Hartford Schroders Cayman Commodity Strategy Fund, Ltd. (the “Subsidiary”), a wholly owned subsidiary of the Fund, which primarily invests in commodity-related instruments. The Fund may invest up to 25% of its total assets in the Subsidiary. As of July 31, 2024, the Fund invested 12.5% of its total assets in the Subsidiary. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| * | Non-income producing. |
| (1) | The rate shown represents current yield to maturity. |
| Futures Contracts Outstanding at July 31, 2024 |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Long position contracts: |
| Brent Crude Oil Future | | 7 | | 09/30/2024 | | $ 561,610 | | $ (22,246) |
| Coffee Future | | 4 | | 09/18/2024 | | 343,800 | | 8,331 |
| Copper Future | | 3 | | 09/26/2024 | | 313,237 | | 3,950 |
| Copper Future | | 1 | | 12/27/2024 | | 105,375 | | (5,241) |
| Corn Future | | 9 | | 09/13/2024 | | 172,238 | | (35,018) |
| Cotton No. 2 Future | | 4 | | 12/06/2024 | | 137,980 | | (4,554) |
| Gas Oil Future | | 5 | | 09/12/2024 | | 371,500 | | (4,287) |
| Gasoline RBOB Future | | 2 | | 08/30/2024 | | 205,170 | | 6,723 |
| Gold 100oz Future | | 3 | | 12/27/2024 | | 741,900 | | 10,426 |
| KC Hard Red Winter Wheat Future | | 6 | | 09/13/2024 | | 164,700 | | (33,392) |
| Lean Hogs Future | | 6 | | 10/14/2024 | | 182,220 | | 13,501 |
| Live Cattle Future | | 2 | | 10/31/2024 | | 149,340 | | 2,752 |
| LME Lead Future | | 2 | | 09/16/2024 | | 103,724 | | (5,985) |
| LME Nickel Future | | 2 | | 09/16/2024 | | 197,774 | | (17,829) |
| LME Primary Aluminum Future | | 9 | | 09/16/2024 | | 508,430 | | (54,012) |
| LME Primary Aluminum Future | | 15 | | 12/16/2024 | | 866,737 | | (144,655) |
| LME Zinc Future | | 7 | | 09/16/2024 | | 463,886 | | (16,713) |
| Micro Copper Future | | 3 | | 08/28/2024 | | 31,324 | | 217 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Commodity Strategy ETF (Consolidated)
Schedule of Investments – (continued)
July 31, 2024
| Futures Contracts Outstanding at July 31, 2024 – (continued) |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Long position contracts – (continued): |
| Micro Copper Future | | 2 | | 11/26/2024 | | $ 21,075 | | $ (1,569) |
| Micro Gold Future | | 30 | | 12/27/2024 | | 741,900 | | 1,083 |
| Micro Silver Future | | 7 | | 09/26/2024 | | 202,566 | | (8,203) |
| Micro WTI Crude Oil Future | | 28 | | 08/19/2024 | | 218,148 | | (8,741) |
| Natural Gas Future | | 33 | | 08/28/2024 | | 671,880 | | (315,468) |
| NY Harbor ULSD Future | | 2 | | 08/30/2024 | | 204,817 | | (7,320) |
| Silver Future | | 3 | | 09/26/2024 | | 434,070 | | (18,674) |
| Soybean Future | | 8 | | 11/14/2024 | | 409,000 | | (12,029) |
| Soybean Meal Future | | 7 | | 12/13/2024 | | 220,990 | | (8,990) |
| Soybean Oil Future | | 8 | | 12/13/2024 | | 203,136 | | (14,888) |
| Wheat Future | | 5 | | 09/13/2024 | | 131,813 | | (28,657) |
| WTI Crude Oil Future | | 13 | | 08/20/2024 | | 1,012,830 | | (4,392) |
| Total | | | | | | | | $ (725,880) |
| Short position contracts: |
| LME Primary Aluminum Future | | (2) | | 09/16/2024 | | $ (112,985) | | $ 12,055 |
| LME Primary Aluminum Future | | (15) | | 12/16/2024 | | (866,737) | | 66,207 |
| LME Zinc Future | | (4) | | 09/16/2024 | | (265,078) | | 19,205 |
| Total | | | | | | | | $ 97,467 |
| Total futures contracts | | $ (628,413) |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Common Stocks | | | | | | | | |
| Materials | | $ 583,413 | | $ 583,413 | | $ — | | $ — |
| Short-Term Investments | | 9,383,271 | | — | | 9,383,271 | | — |
| Futures Contracts(2) | | 144,450 | | 144,450 | | — | | — |
| Total | | $ 10,111,134 | | $ 727,863 | | $ 9,383,271 | | $ — |
| Liabilities | | | | | | | | |
| Futures Contracts(2) | | $ (772,863) | | $ (772,863) | | $ — | | $ — |
| Total | | $ (772,863) | | $ (772,863) | | $ — | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 2.7% |
| | Aerospace/Defense - 0.4% |
| $ 1,301,000 | Boeing Co. 6.53%, 05/01/2034(1) | $ 1,359,191 |
| | Commercial Banks - 1.2% |
| | AIB Group PLC | |
| 1,143,000 | 5.87%, 03/28/2035, (5.87% fixed rate until 03/28/2034; 6 mo. USD SOFR + 1.91% thereafter)(1)(2) | 1,166,948 |
| 600,000 | 6.61%, 09/13/2029, (6.61% fixed rate until 09/13/2028; 6 mo. USD SOFR + 2.33% thereafter)(1)(2) | 629,872 |
| 822,000 | Danske Bank AS 5.71%, 03/01/2030, (5.71% fixed rate until 03/01/2029; 1 yr. USD CMT + 1.40% thereafter)(1)(2) | 838,043 |
| 1,827,000 | NatWest Group PLC 6.48%, 06/01/2034, (6.48% fixed rate until 03/01/2029; 5 yr. USD CMT + 2.20% thereafter)(2) | 1,888,443 |
| | | | 4,523,306 |
| | Diversified Financial Services - 0.8% |
| 1,425,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust 2.45%, 10/29/2026 | 1,344,214 |
| 717,000 | Aircastle Ltd. 5.95%, 02/15/2029(1) | 728,265 |
| 619,000 | Aircastle Ltd./Aircastle Ireland DAC 5.75%, 10/01/2031(1) | 620,697 |
| 185,000 | MMH Master LLC 6.38%, 02/01/2034(1) | 186,328 |
| | | | 2,879,504 |
| | REITS - 0.2% |
| 632,000 | Highwoods Realty LP 7.65%, 02/01/2034 | 694,449 |
| | Semiconductors - 0.1% |
| 273,000 | Qorvo, Inc. 1.75%, 12/15/2024 | 268,312 |
| | Total Corporate Bonds
(cost $9,543,190) | $ 9,724,762 |
| MUNICIPAL BONDS - 82.8% |
| | Alabama - 1.8% |
| | Black Belt Energy Gas Dist, AL, Rev | |
| 920,000 | 4.00%, 10/01/2049(3) | $ 922,420 |
| 2,680,000 | 4.00%, 06/01/2051(3) | 2,714,645 |
| 685,000 | 5.25%, 12/01/2053(3) | 743,102 |
| 680,000 | County of Jefferson Sewer, AL, Rev 5.50%, 10/01/2053 | 743,064 |
| 635,000 | Energy Southeast A Cooperative Dist, AL, Rev 5.25%, 07/01/2054(3) | 687,076 |
| 715,000 | Town of Pike Road, AL, GO 5.00%, 03/01/2052 | 764,024 |
| | | | 6,574,331 |
| | Arizona - 0.3% |
| 1,010,000 | Arizona Industrial Dev Auth, AZ, Rev 5.00%, 02/01/2058(3) | 1,042,830 |
| | Arkansas - 1.0% |
| 3,320,000 | Arkansas Dev Finance Auth, AR, Rev, (FHLMC), (FNMA), (GNMA) 5.00%, 07/01/2054 | 3,471,613 |
| | California - 4.6% |
| 205,000 | Alameda Corridor Transportation Auth, CA, Rev, (AGM) 5.00%, 10/01/2052 | 221,207 |
| 210,000 | California Community Choice Financing Auth, CA, Rev 5.00%, 02/01/2054(3) | 225,095 |
| 2,330,000 | California Infrastructure & Economic Dev Bank, CA, Rev 5.25%, 07/01/2054 | 2,491,897 |
| | California Municipal Finance Auth, CA, Rev, | |
| 795,000 | (HUD) 3.20%, 09/01/2045(3) | 795,170 |
| 205,000 | 3.75%, 06/01/2028(3) | 207,193 |
| 240,000 | Central Unified School Dist, CA, GO 4.00%, 08/01/2050 | 238,978 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | California - 4.6% - (continued) |
| $ 565,000 | Fresno Unified School Dist, CA, GO 4.00%, 08/01/2052 | $ 566,010 |
| 1,415,000 | Golden State Tobacco Securitization Corp., CA, Rev 3.00%, 06/01/2046 | 1,291,169 |
| 2,310,000 | Moreno Valley Unified School Dist, CA, GO, (AGM) 4.13%, 08/01/2050 | 2,325,420 |
| 765,000 | Oxnard School Dist, CA, GO, (BAM) 4.25%, 08/01/2053 | 771,956 |
| 450,000 | Pittsburg Unified School Dist, CA, GO, (AGM) 4.25%, 08/01/2049 | 456,340 |
| 1,205,000 | Regents of the University of California Medical Center Pooled, CA, Rev 4.00%, 05/15/2053 | 1,190,286 |
| 120,000 | San Diego County Regional Airport Auth, CA, Rev 5.00%, 07/01/2053 | 131,583 |
| 1,260,000 | San Diego Housing Auth, Inc., CA, Rev 5.00%, 05/01/2057(3) | 1,304,330 |
| 60,000 | San Diego Unified School Dist, CA, GO 4.55%, 07/01/2052 | 61,991 |
| 935,000 | San Francisco Bay Area Rapid Transit Dist, CA, GO 4.25%, 08/01/2052 | 947,826 |
| 1,215,000 | San Mateo Foster City School Dist, CA, GO 4.00%, 08/01/2051 | 1,213,653 |
| 970,000 | Sweetwater Union High School Dist, CA, GO 5.00%, 08/01/2052 | 1,056,079 |
| 865,000 | Victor Valley Community College Dist, CA, GO 4.00%, 08/01/2050 | 851,714 |
| | Washington Township Health Care Dist, CA, GO, | |
| 70,000 | (AGM) 4.50%, 08/01/2053 | 71,738 |
| 125,000 | 5.50%, 08/01/2053 | 140,499 |
| | | | 16,560,134 |
| | Colorado - 0.8% |
| 715,000 | Adams County Housing Auth, CO, Rev 4.50%, 05/01/2042(3) | 715,533 |
| 575,000 | City & County of Denver Airport System, CO, Rev 5.25%, 11/15/2053 | 632,151 |
| 535,000 | City of Colorado Springs Utilities System, CO, Rev 4.00%, 11/15/2051 | 520,326 |
| | Colorado Housing & Finance Auth, CO, Rev | |
| 485,000 | 3.50%, 11/01/2043(3) | 485,197 |
| 345,000 | (FHLMC), (FNMA), (GNMA) 3.50%, 05/01/2050 | 340,904 |
| | | | 2,694,111 |
| | Connecticut - 0.0% |
| 100,000 | Connecticut Housing Finance Auth, CT, Rev, (FHLMC), (FNMA), (GNMA) 4.25%, 05/15/2042 | 100,315 |
| | District of Columbia - 2.2% |
| | Dist of Columbia Housing Finance Agency, DC, Rev | |
| 2,735,000 | 3.55%, 08/01/2042(3)(4) | 2,735,207 |
| 695,000 | 3.65%, 07/01/2028(3) | 697,862 |
| 180,000 | 3.75%, 04/01/2025(3) | 180,051 |
| 890,000 | 5.00%, 12/01/2028(3) | 933,707 |
| 700,000 | Dist of Columbia Income Tax, DC, Rev 5.25%, 05/01/2048 | 780,312 |
| 2,090,000 | Dist of Columbia Water & Sewer Auth, DC, Rev 4.00%, 10/01/2047 | 2,064,204 |
| 340,000 | Metropolitan Washington Airports Auth, Dulles Toll Road, DC, Rev 5.00%, 10/01/2034 | 359,652 |
| | | | 7,750,995 |
| | Florida - 2.1% |
| 50,000 | Broward County Housing Finance Auth, FL, Rev, (HUD) 3.40%, 03/01/2057(3) | 49,740 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Florida - 2.1% - (continued) |
| $ 280,000 | City of Cape Coral Water & Sewer, FL, Rev, (BAM) 5.25%, 10/01/2053 | $ 310,734 |
| 2,745,000 | County of Broward Convention Center Hotel, FL, Rev 4.00%, 01/01/2051 | 2,665,803 |
| 800,000 | Escambia County Housing Finance Auth, FL, Rev 3.80%, 06/01/2027(3) | 804,449 |
| 410,000 | Florida Dev Finance Corp., FL, Rev 5.25%, 08/01/2055 | 431,084 |
| | Florida Housing Finance Corp., FL, Rev, | |
| 50,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 07/01/2051 | 48,868 |
| 700,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 07/01/2052 | 680,850 |
| 280,000 | (GNMA) 3.35%, 10/01/2027(3) | 279,207 |
| 345,000 | (FHLMC), (FNMA), (GNMA) 3.50%, 07/01/2051 | 340,993 |
| 1,320,000 | 3.80%, 06/01/2042(3) | 1,327,906 |
| 125,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 07/01/2049 | 124,879 |
| 290,000 | St. Johns County Housing Finance Auth, FL, Rev 3.55%, 07/01/2027(3) | 290,044 |
| | | | 7,354,557 |
| | Georgia - 2.7% |
| | Main Street Natural Gas, Inc., GA, Rev | |
| 1,565,000 | 4.00%, 03/01/2050(3) | 1,570,662 |
| 485,000 | 4.00%, 05/01/2052(3) | 488,127 |
| 1,525,000 | 5.00%, 12/01/2053(3) | 1,632,906 |
| 615,000 | 5.00%, 05/01/2054(3) | 660,229 |
| 4,960,000 | Valdosta & Lowndes County Hospital Auth, GA, Rev 5.00%, 10/01/2054 | 5,372,337 |
| | | | 9,724,261 |
| | Hawaii - 0.0% |
| 95,000 | City & County Honolulu Wastewater System, HI, Rev 5.25%, 07/01/2053 | 105,514 |
| | Illinois - 2.2% |
| 1,240,000 | City of Chicago, IL, Rev 3.50%, 08/01/2027(3) | 1,240,613 |
| | Illinois Housing Dev Auth, IL, Rev, | |
| 410,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 10/01/2051 | 398,784 |
| 720,000 | (FHLMC), (FNMA), (GNMA) 3.75%, 04/01/2050 | 716,210 |
| 720,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 10/01/2049 | 720,472 |
| 65,000 | (FHLMC), (FNMA), (GNMA) 4.50%, 10/01/2048 | 65,517 |
| 2,000,000 | (FHA), (HUD) 5.00%, 02/01/2027(3) | 2,046,469 |
| 1,455,000 | (HUD) 5.00%, 02/01/2027(3) | 1,488,806 |
| 1,255,000 | Metropolitan Pier & Exposition Auth, IL, Rev 5.00%, 06/15/2053(4) | 1,333,840 |
| | | | 8,010,711 |
| | Indiana - 0.4% |
| | Indiana Housing & Community Dev Auth, IN, Rev, | |
| 755,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 07/01/2050 | 735,982 |
| 55,000 | (GNMA) 4.00%, 07/01/2048 | 54,947 |
| 705,000 | Indianapolis Local Public Improvement Bond Bank, IN, Rev 5.00%, 01/01/2053 | 750,869 |
| | | | 1,541,798 |
| | Iowa - 1.0% |
| | Iowa Finance Auth, IA, Rev, | |
| 840,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 01/01/2047 | 817,719 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Iowa - 1.0% - (continued) |
| $ 1,565,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 07/01/2051 | $ 1,511,872 |
| 60,000 | (FHLMC), (FNMA), (GNMA) 3.25%, 07/01/2050 | 58,932 |
| 30,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 07/01/2048 | 29,971 |
| 985,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 07/01/2052 | 985,635 |
| | | | 3,404,129 |
| | Kentucky - 1.4% |
| | Kentucky Public Energy Auth, KY, Rev | |
| 2,510,000 | 5.00%, 01/01/2055(3) | 2,701,082 |
| 2,005,000 | 5.25%, 04/01/2054(3) | 2,182,859 |
| | | | 4,883,941 |
| | Louisiana - 1.0% |
| | Louisiana Housing Corp., LA, Rev, | |
| 480,000 | (FHA) 3.75%, 08/01/2027(3) | 481,799 |
| 595,000 | 3.75%, 02/01/2028(3) | 599,561 |
| 10,000 | 4.50%, 12/01/2047 | 10,075 |
| 1,385,000 | Louisiana Local Government Environmental Facs & Community Dev Auth, LA, Rev 2.50%, 04/01/2036 | 1,156,785 |
| 1,255,000 | Louisiana Stadium & Exposition Dist, LA, Rev 5.25%, 07/01/2053 | 1,366,272 |
| | | | 3,614,492 |
| | Maryland - 0.2% |
| 625,000 | Maryland State Transportation Auth, MD, Rev 4.00%, 07/01/2050 | 617,308 |
| | Massachusetts - 2.7% |
| | Commonwealth of Massachusetts, MA, GO | |
| 120,000 | 3.00%, 02/01/2048 | 96,229 |
| 7,720,000 | 5.00%, 05/01/2053 | 8,328,465 |
| 1,180,000 | Massachusetts Bay Transportation Auth Sales Tax, MA, Rev 4.00%, 07/01/2053 | 1,148,803 |
| | | | 9,573,497 |
| | Michigan - 2.5% |
| 700,000 | Cedar Springs Public School Dist, MI, GO, (Q-SBLF) 4.50%, 05/01/2049 | 710,159 |
| 770,000 | Ferndale Public Schools, MI, GO, (Q-SBLF) 5.00%, 05/01/2053 | 821,869 |
| 1,500,000 | Fraser Public School Dist, MI, GO, (Q-SBLF) 5.00%, 05/01/2048 | 1,594,680 |
| 210,000 | Great Lakes Water Auth, Sewage Disposal System, MI, Rev 5.25%, 07/01/2053 | 232,749 |
| 210,000 | Great Lakes Water Auth, Water Supply System, MI, Rev 5.25%, 07/01/2053 | 232,749 |
| | Grosse Ile Township School Dist, MI, GO, | |
| 540,000 | (Q-SBLF) 5.00%, 05/01/2049 | 575,389 |
| 625,000 | (Q-SBLF) 5.00%, 05/01/2052 | 663,325 |
| | Michigan State Housing Dev Auth, MI, Rev | |
| 50,000 | 3.75%, 06/01/2050 | 49,706 |
| 365,000 | 3.80%, 07/01/2041(3) | 366,684 |
| 1,540,000 | Troy School Dist, MI, GO, (Q-SBLF) 5.00%, 05/01/2052 | 1,653,131 |
| 1,750,000 | Wayne County Airport Auth, MI, Rev, (AGM) 5.25%, 12/01/2048 | 1,937,024 |
| | | | 8,837,465 |
| | Minnesota - 1.1% |
| 250,000 | Hennepin County Housing & Redev Auth, MN, Rev, (FHA), (HUD) 4.65%, 10/01/2026(3) | 250,152 |
| 435,000 | Minneapolis-St Paul Metropolitan Airports Commission, MN, Rev 4.25%, 01/01/2052 | 434,448 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Minnesota - 1.1% - (continued) |
| $ 3,305,000 | Minnesota Housing Finance Agency, MN, Rev, (FHLMC), (FNMA), (GNMA) 3.00%, 01/01/2051 | $ 3,228,150 |
| 165,000 | Washington County Community Dev Agency, MN, Rev 3.68%, 09/01/2026(3) | 165,180 |
| | | | 4,077,930 |
| | Mississippi - 0.3% |
| | Mississippi Home Corp., MS, Rev, | |
| 900,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 12/01/2050 | 878,290 |
| 170,000 | (FHLMC), (FNMA), (GNMA) 3.25%, 12/01/2050 | 167,136 |
| | | | 1,045,426 |
| | Missouri - 0.7% |
| 875,000 | Kansas City Planned Industrial Expansion Auth, MO, Rev 5.00%, 07/01/2045(3) | 906,465 |
| | Missouri Housing Dev Commission, MO, Rev, | |
| 445,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 05/01/2052 | 433,421 |
| 335,000 | (FHLMC), (FNMA), (GNMA) 3.25%, 05/01/2051 | 328,785 |
| 140,000 | (FHLMC), (FNMA), (GNMA) 3.50%, 11/01/2050 | 138,248 |
| 190,000 | (FHLMC), (FNMA), (GNMA) 3.88%, 05/01/2050 | 189,370 |
| 80,000 | (FHLMC), (FNMA), (GNMA) 4.25%, 05/01/2049 | 80,294 |
| 60,000 | (FHLMC), (FNMA), (GNMA) 4.75%, 05/01/2049 | 60,764 |
| 385,000 | St. Charles County Francis Howell R-III School Dist, MO, GO 2.00%, 03/01/2037 | 305,771 |
| | | | 2,443,118 |
| | Nebraska - 0.1% |
| | Nebraska Investment Finance Auth, NE, Rev, | |
| 450,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 09/01/2050 | 439,461 |
| 60,000 | 4.00%, 09/01/2048 | 59,943 |
| | | | 499,404 |
| | Nevada - 0.0% |
| 80,000 | Nevada Housing Division, NV, Rev, (FHLMC), (FNMA), (GNMA) 4.00%, 10/01/2049 | 79,937 |
| | New Jersey - 0.1% |
| 430,000 | New Jersey Housing & Mortgage Finance Agency, NJ, Rev, (HUD) 3.67%, 02/01/2026 | 429,639 |
| 25,000 | New Jersey Transportation Trust Fund Auth, NJ, Rev 4.00%, 06/15/2035 | 25,419 |
| | | | 455,058 |
| | New Mexico - 1.7% |
| | New Mexico Mortgage Finance Auth, NM, Rev, | |
| 685,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 01/01/2051 | 667,936 |
| 3,430,000 | (FHLMC), (FNMA), (GNMA) 3.00%, 01/01/2052 | 3,332,946 |
| 105,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 01/01/2049 | 104,900 |
| 1,850,000 | (FHLMC), (FNMA), (GNMA) 4.25%, 03/01/2053 | 1,866,988 |
| | | | 5,972,770 |
| | New York - 5.8% |
| | City of New York, NY, GO | |
| 1,130,000 | 4.00%, 04/01/2050 | 1,100,482 |
| 270,000 | 5.00%, 03/01/2038 | 308,608 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | New York - 5.8% - (continued) |
| $ 3,000,000 | Monroe County Industrial Dev Corp., NY, Rev, (HUD) 5.00%, 07/01/2028(3) | $ 3,129,132 |
| | New York City Municipal Water Finance Auth, NY, Rev | |
| 1,240,000 | 5.25%, 06/15/2053 | 1,370,703 |
| 1,750,000 | 5.25%, 06/15/2054 | 1,941,015 |
| | New York City Transitional Finance Auth, Future Tax Secured, NY, Rev | |
| 445,000 | 4.00%, 08/01/2048 | 436,080 |
| 1,890,000 | 4.00%, 02/01/2051 | 1,844,319 |
| 225,000 | New York City Transitional Finance Auth, NY, Rev 4.38%, 05/01/2053 | 227,570 |
| 5,000,000 | New York Power Auth, NY, Rev, (AGM) 5.00%, 11/15/2053 | 5,470,019 |
| 950,000 | New York State Dormitory Auth, NY, Rev 3.00%, 03/15/2038 | 859,655 |
| 125,000 | New York Transportation Dev Corp., NY, Rev 5.00%, 12/01/2028 | 133,546 |
| 230,000 | Rockland County Industrial Dev Agency, NY, Rev, (FHA), (HUD) 4.65%, 05/01/2027(3) | 230,608 |
| | Triborough Bridge & Tunnel Auth Sales Tax, NY, Rev | |
| 1,560,000 | 5.00%, 05/15/2053 | 1,678,609 |
| 1,365,000 | 5.25%, 05/15/2064 | 1,497,794 |
| 605,000 | Triborough Bridge & Tunnel Auth, NY, Rev 4.50%, 05/15/2052 | 617,813 |
| | | | 20,845,953 |
| | North Carolina - 0.4% |
| 240,000 | Asheville Housing Auth, NC, Rev, (HUD) 5.00%, 11/01/2026(3) | 244,729 |
| | North Carolina Housing Finance Agency, NC, Rev, | |
| 530,000 | (FHLMC), (FNMA), (GNMA) 4.00%, 07/01/2050 | 529,683 |
| 580,000 | 5.00%, 04/01/2029(3) | 610,840 |
| | | | 1,385,252 |
| | Ohio - 3.0% |
| 430,000 | Columbus-Franklin County Finance Auth, OH, Rev 5.00%, 07/01/2045(3) | 444,076 |
| 1,680,000 | Cuyahoga Metropolitan Housing Auth, OH, Rev 3.45%, 02/01/2028(3) | 1,680,900 |
| 3,015,000 | Fairborn City School Dist, OH, GO 5.25%, 12/01/2053 | 3,258,714 |
| | Ohio Housing Finance Agency, OH, Rev | |
| 805,000 | 3.00%, 03/01/2052 | 785,665 |
| 935,000 | (FHLMC), (FNMA), (GNMA) 3.25%, 03/01/2050 | 919,329 |
| 125,000 | (FHA), (HUD) 3.53%, 02/01/2029(3) | 125,305 |
| 1,380,000 | (HUD) 3.85%, 07/01/2025 | 1,383,131 |
| 20,000 | (FHLMC), (FNMA), (GNMA) 4.50%, 09/01/2048 | 20,140 |
| 295,000 | Ohio Turnpike & Infrastructure Commission, OH, Rev 0.00%, 02/15/2041(5) | 145,430 |
| 1,840,000 | Pickerington Local School Dist, OH, GO 5.00%, 12/01/2053 | 1,973,186 |
| | | | 10,735,876 |
| | Oklahoma - 0.0% |
| 120,000 | Oklahoma Housing Finance Agency, OK, Rev, (FHLMC), (FNMA), (GNMA) 4.00%, 03/01/2050 | 119,951 |
| | Oregon - 1.5% |
| 5,000,000 | Astoria Hospital Facs Auth, OR, Rev 5.25%, 08/01/2054 | 5,304,680 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Pennsylvania - 0.2% |
| $ 600,000 | Allegheny County Airport Auth, PA, Rev, (AGM) 5.25%, 01/01/2053 | $ 654,572 |
| 145,000 | Allegheny County Sanitary Auth, PA, Rev 5.00%, 06/01/2053 | 153,730 |
| | | | 808,302 |
| | Rhode Island - 0.2% |
| 630,000 | Rhode Island Health & Educational Building Corp., RI, Rev 5.25%, 05/15/2054 | 671,855 |
| | South Carolina - 2.4% |
| 2,500,000 | Inman Campobello Water Dist, SC, Rev, (BAM) 5.00%, 06/01/2048 | 2,685,876 |
| 3,135,000 | Patriots Energy Group Financing Agency, SC, Rev 5.25%, 10/01/2054(3) | 3,370,777 |
| 2,160,000 | South Carolina Jobs-Economic Dev Auth, SC, Rev 5.25%, 11/01/2054(4) | 2,364,583 |
| 45,000 | Tobacco Settlement Management Auth, SC, Rev 6.38%, 05/15/2030 | 51,762 |
| | | | 8,472,998 |
| | Tennessee - 3.3% |
| 355,000 | Chattanooga Health Educational & Housing Facility Board, TN, Rev 3.80%, 12/01/2029(3) | 357,540 |
| 2,735,000 | Cleveland Health & Educational Facs Board, TN, Rev 5.25%, 08/15/2054 | 2,952,751 |
| 515,000 | County of Putnam, TN, GO 2.00%, 04/01/2037 | 404,579 |
| 625,000 | Health Educational & Housing Facility Board of the City of Memphis, TN, Rev, (HUD) 3.55%, 12/01/2027(3) | 626,992 |
| 75,000 | Jackson Health Educational & Housing Facility Board, TN, Rev, (HUD) 3.00%, 12/01/2026(3) | 74,841 |
| 390,000 | Johnson City Health & Educational Facs Board, TN, Rev, (HUD) 3.60%, 12/01/2027(3) | 391,401 |
| 410,000 | Knoxville's Community Dev Corp., TN, Rev, (HUD) 4.25%, 10/01/2024 | 410,488 |
| | Metropolitan Government Nashville & Davidson County Health & Educational Facs Board, TN, Rev, | |
| 1,415,000 | (HUD) 3.50%, 02/01/2048(3) | 1,397,686 |
| 2,010,000 | 3.85%, 02/01/2045(3) | 2,008,671 |
| 15,000 | (NPFG) 4.88%, 11/01/2028 | 15,575 |
| | Metropolitan Nashville Airport Auth, TN, Rev | |
| 350,000 | 5.00%, 07/01/2049 | 368,796 |
| 305,000 | 5.00%, 07/01/2052 | 326,630 |
| 1,795,000 | Tennergy Corp., TN, Rev 4.00%, 12/01/2051(3) | 1,803,301 |
| 45,000 | Tennessee Housing Dev Agency, TN, Rev 4.50%, 07/01/2049 | 45,382 |
| 705,000 | Williamson County Industrial Dev Board, TN, Rev, (HUD) 5.00%, 05/01/2042(3) | 729,134 |
| | | | 11,913,767 |
| | Texas - 33.6% |
| 910,000 | Aldine Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2054 | 871,522 |
| 610,000 | Alvarado Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2052 | 589,440 |
| | Arlington Higher Education Finance Corp., TX, Rev, | |
| 700,000 | (PSF-GTD) 4.25%, 12/01/2048 | 694,444 |
| 200,000 | (PSF-GTD) 4.25%, 12/01/2053 | 196,352 |
| 680,000 | (PSF-GTD) 5.00%, 08/15/2033 | 729,861 |
| 200,000 | (PSF-GTD) 5.00%, 08/15/2048 | 214,996 |
| 350,000 | Austin Affordable PFC, Inc., TX, Rev, (FNMA) 5.00%, 09/01/2028(3) | 366,356 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Texas - 33.6% - (continued) |
| $ 1,840,000 | Azle Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2054 | $ 1,747,352 |
| | Bexar County Hospital Dist, TX, GO | |
| 635,000 | 4.25%, 02/15/2052 | 627,720 |
| 1,405,000 | 4.25%, 02/15/2053 | 1,382,774 |
| 280,000 | Bexar County Housing Finance Corp., TX, Rev 4.05%, 03/01/2028(3) | 281,559 |
| 1,235,000 | Bullard Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2052 | 1,193,373 |
| 6,000,000 | Capital Area Housing Finance Corp., TX, Rev 3.48%, 08/01/2039(3)(4) | 5,999,955 |
| 1,235,000 | Carrizo Springs Consolidated Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 08/15/2049 | 1,336,554 |
| 4,825,000 | Chapel Hill Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2048 | 5,240,152 |
| | City of Dallas Housing Finance Corp., TX, Rev, | |
| 330,000 | (FHA) 5.00%, 08/01/2027(3) | 340,292 |
| 180,000 | (FNMA) 5.00%, 10/01/2028(3)(4) | 188,877 |
| 445,000 | 5.00%, 07/01/2042(3) | 461,421 |
| 390,000 | City of Georgetown Utility System, TX, Rev, (BAM) 5.25%, 08/15/2053 | 423,317 |
| 790,000 | Cleburne Independent School Dist, TX, GO, (PSF-GTD) 3.00%, 02/15/2046 | 632,258 |
| | Clifton Higher Education Finance Corp., TX, Rev, | |
| 545,000 | (PSF-GTD) 4.25%, 04/01/2053 | 541,064 |
| 765,000 | (PSF-GTD) 4.25%, 08/15/2053 | 766,667 |
| 765,000 | College of the Mainland, TX, GO 4.00%, 08/15/2049 | 735,612 |
| 1,190,000 | Columbia-Brazoria Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/01/2053 | 1,144,530 |
| | Community Independent School Dist, TX, GO, | |
| 330,000 | (PSF-GTD) 5.00%, 02/15/2048 | 357,717 |
| 905,000 | (PSF-GTD) 5.00%, 02/15/2053 | 970,040 |
| 5,000,000 | County of Harris Toll Road, TX, Rev 5.25%, 08/15/2054 | 5,540,305 |
| 505,000 | County of Harris, TX, GO 5.00%, 10/01/2038 | 528,172 |
| 825,000 | Dallas Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 800,036 |
| 2,165,000 | Denison Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 08/01/2053 | 2,079,760 |
| 3,065,000 | Dickinson Independent School Dist, TX, GO, (PSF-GTD) 4.25%, 02/15/2053 | 3,058,658 |
| 375,000 | Donna Independent School Dist, TX, GO, (PSF-GTD) 4.13%, 02/15/2053 | 363,514 |
| 2,405,000 | Forney Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 08/15/2053 | 2,298,435 |
| 380,000 | Fort Worth Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2048 | 370,287 |
| 690,000 | Georgetown Independent School Dist, TX, GO, (PSF-GTD) 2.50%, 08/15/2037 | 580,773 |
| 700,000 | Houston Housing Finance Corp., TX, Rev 3.65%, 02/01/2048(3) | 703,749 |
| 1,535,000 | Humble Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2054 | 1,459,396 |
| 1,280,000 | Hurst-Euless-Bedford Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 08/15/2050 | 1,238,154 |
| 6,605,000 | Judson Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/01/2053 | 7,146,162 |
| 1,085,000 | Katy Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 1,039,946 |
| 930,000 | Kaufman Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2054(4) | 996,926 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Texas - 33.6% - (continued) |
| $ 1,390,000 | Lakeside Place PFC, TX, Rev, (FHA) 4.15%, 11/01/2026(3) | $ 1,395,487 |
| | Lamar Consolidated Independent School Dist, TX, GO, | |
| 365,000 | (PSF-GTD) 3.00%, 02/15/2051 | 280,201 |
| 1,090,000 | (PSF-GTD) 4.00%, 02/15/2048 | 1,041,649 |
| 5,605,000 | (PSF-GTD) 5.00%, 02/15/2053 | 6,024,607 |
| 1,030,000 | Liberty Hill Independent School Dist, TX, GO, (PSF-GTD) 4.13%, 02/01/2053 | 1,003,516 |
| 590,000 | Lockhart Independent School Dist, TX, GO, (PSF-GTD) 4.13%, 08/01/2053 | 578,051 |
| 2,165,000 | Medina Valley Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 2,082,027 |
| 1,315,000 | Mesquite Housing Finance Corp., TX, Rev 3.35%, 08/01/2029(3)(4) | 1,314,216 |
| 1,850,000 | Midland Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2054 | 1,776,458 |
| | Montgomery Independent School Dist, TX, GO, | |
| 115,000 | (PSF-GTD) 4.00%, 02/15/2053 | 109,858 |
| 745,000 | (PSF-GTD) 4.25%, 02/15/2052 | 745,082 |
| 580,000 | Navarro Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2054 | 548,939 |
| | New Caney Independent School Dist, TX, GO, | |
| 4,210,000 | (PSF-GTD) 4.00%, 02/15/2054 | 4,031,986 |
| 4,515,000 | (PSF-GTD) 5.00%, 02/15/2053 | 4,877,015 |
| 20,000 | Newark Higher Education Finance Corp., TX, Rev, (PSF-GTD) 5.00%, 08/15/2052 | 21,099 |
| 990,000 | Northside Independent School Dist, TX, GO, (PSF-GTD) 4.13%, 08/15/2053 | 969,854 |
| 465,000 | Northwest Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2048 | 500,424 |
| 1,250,000 | Pewitt Consolidated Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 1,198,094 |
| 3,210,000 | Prosper Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 3,107,665 |
| 435,000 | Rockwall Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 418,329 |
| 1,105,000 | Royal Independent School Dist, TX, GO, (PSF-GTD) 4.25%, 02/15/2053 | 1,105,512 |
| 185,000 | Sabine-Neches Navigation Dist, TX, GO 5.25%, 02/15/2052 | 197,891 |
| | San Antonio Housing Trust Public Facility Corp., TX, Rev | |
| 835,000 | 3.45%, 07/01/2029(3) | 835,550 |
| 85,000 | 5.00%, 09/01/2028(3) | 88,972 |
| 1,810,000 | Sherman Independent School Dist, TX, GO, (PSF-GTD) 5.00%, 02/15/2053 | 1,948,220 |
| 1,930,000 | Southwest Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/01/2053 | 1,856,255 |
| 1,515,000 | Strategic Housing Finance Corp. of Travis County, TX, Rev 3.35%, 03/01/2046(3) | 1,508,207 |
| 185,000 | Tarrant County Housing Finance Corp., TX, Rev 5.00%, 09/01/2028(3) | 193,645 |
| 805,000 | Temple Independent School Dist, TX, GO, (PSF-GTD) 4.25%, 02/01/2047 | 809,316 |
| | Texas Department of Housing & Community Affairs, TX, Rev, | |
| 575,000 | (GNMA) 3.00%, 01/01/2052 | 558,973 |
| 2,665,000 | (GNMA) 3.00%, 03/01/2052 | 2,582,365 |
| 265,000 | (GNMA) 3.50%, 03/01/2051 | 261,338 |
| 80,000 | (GNMA) 4.00%, 03/01/2050 | 80,027 |
| 50,000 | (GNMA) 4.75%, 03/01/2049 | 50,484 |
| 330,000 | Texas Municipal Gas Acquisition & Supply Corp. III, TX, Rev 5.00%, 12/15/2028 | 345,390 |
| 5,900,000 | Texas Municipal Gas Acquisition & Supply Corp. IV, TX, Rev 5.50%, 01/01/2054(3) | 6,363,244 |
| Shares or Principal Amount | | Market Value† |
| MUNICIPAL BONDS - 82.8% - (continued) |
| | Texas - 33.6% - (continued) |
| $ 400,000 | Texas State Affordable Housing Corp., TX, Rev 3.63%, 01/01/2045(3) | $ 401,768 |
| 5,000,000 | Texas State University System, TX, Rev 5.25%, 03/15/2054 | 5,504,847 |
| | Texas Water Dev Board, TX, Rev | |
| 285,000 | 4.80%, 10/15/2052 | 298,353 |
| 1,135,000 | 5.25%, 10/15/2051 | 1,256,586 |
| 6,000,000 | Waxahachie Independent School Dist, TX, GO, (PSF-GTD) 4.00%, 02/15/2053 | 5,703,241 |
| 440,000 | White Settlement Independent School Dist, TX, GO, (PSF-GTD) 4.13%, 08/15/2052 | 429,101 |
| | | | 120,642,320 |
| | Utah - 0.1% |
| 370,000 | Utah Housing Corp., UT, Rev 3.70%, 08/01/2043(3) | 372,051 |
| | Virginia - 0.7% |
| 390,000 | Alexandria Sanitation Auth, VA, Rev 5.00%, 07/15/2054 | 430,996 |
| 365,000 | Hampton Roads Transportation Accountability Commission, VA, Rev 4.00%, 07/01/2052 | 355,673 |
| 660,000 | Harrisonburg Redev & Housing Auth, VA, Rev 3.57%, 10/01/2045(3) | 662,164 |
| 1,150,000 | Loudoun County Economic Dev Auth, VA, Rev 4.00%, 10/01/2052 | 1,150,118 |
| | | | 2,598,951 |
| | Washington - 0.2% |
| 455,000 | King County Public Hospital Dist No. 2, WA, GO 5.25%, 12/01/2045 | 495,350 |
| | Washington State Housing Finance Commission, WA, Rev | |
| 115,000 | 4.00%, 12/01/2048 | 114,893 |
| 225,000 | 5.00%, 02/01/2028(3) | 233,518 |
| | | | 843,761 |
| | Wisconsin - 0.5% |
| | Wisconsin Housing & Economic Dev Auth, WI, Rev | |
| 1,245,000 | 5.00%, 08/01/2058(3) | 1,284,074 |
| 600,000 | 5.00%, 11/01/2058(3) | 622,568 |
| | | | 1,906,642 |
| | Wyoming - 0.0% |
| 50,000 | Wyoming Community Dev Auth, WY, Rev 4.00%, 06/01/2043 | 49,992 |
| | Total Municipal Bonds
(cost $294,365,048) | | $ 297,107,996 |
| U.S. GOVERNMENT AGENCIES - 0.4% |
| | Mortgage-Backed Agencies - 0.4% |
| | Federal Home Loan Mortgage Corp. - 0.4% |
| 1,222,181 | 4.56%, 04/25/2042(1)(3) | $ 1,311,251 |
| | Total U.S. Government Agencies
(cost $1,271,653) | | $ 1,311,251 |
| U.S. GOVERNMENT SECURITIES - 9.2% |
| | U.S. Treasury Securities - 9.2% |
| | U.S. Treasury Bonds - 9.2% |
| 4,686,000 | 3.63%, 08/15/2043 | $ 4,176,947 |
| 23,958,000 | 4.50%, 02/15/2044 | 24,089,020 |
The accompanying notes are an integral part of these financial statements.
Hartford Schroders Tax-Aware Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT SECURITIES - 9.2% - (continued) |
| | U.S. Treasury Securities - 9.2% - (continued) |
| | U.S. Treasury Bonds - 9.2% - (continued) |
| $ 4,786,000 | 4.63%, 05/15/2044 | $ 4,892,190 |
| | Total U.S. Government Securities
(cost $31,697,185) | | $ 33,158,157 |
| | Total Long-Term Investments
(cost $336,877,076) | | $ 341,302,166 |
| SHORT-TERM INVESTMENTS - 4.2% |
| | U.S. Treasury Securities - 4.2% |
| | U.S. Treasury Bills - 4.2% |
| 1,569,000 | 4.84%, 07/10/2025(6) | $ 1,500,590 |
| 999,000 | 4.85%, 07/10/2025(6) | 955,443 |
| 258,000 | 4.85%, 07/10/2025(6) | 246,751 |
| 927,000 | 4.86%, 07/10/2025(6) | 886,438 |
| 1,843,000 | 4.88%, 07/10/2025(6) | 1,762,644 |
| 4,000 | 4.95%, 03/20/2025(6) | 3,879 |
| 2,016,000 | 5.07%, 03/20/2025(6) | 1,954,996 |
| 492,000 | 5.08%, 03/20/2025(6) | 477,112 |
| 535,000 | 5.13%, 03/20/2025(6) | 518,811 |
| 1,006,000 | 5.13%, 03/20/2025(6) | 975,559 |
| 1,047,000 | 5.14%, 03/20/2025(6) | 1,015,318 |
| 400,000 | 5.15%, 03/20/2025(6) | 387,896 |
| 1,990,000 | 5.16%, 03/20/2025(6) | 1,929,783 |
| 1,730,000 | 5.19%, 03/20/2025(6) | 1,677,650 |
| 664,000 | 5.20%, 03/20/2025(6) | 643,907 |
| | Total Short-Term Investments
(cost $14,922,355) | $ 14,936,777 |
| | Total Investments
(cost $351,799,431) | 99.3% | $ 356,238,943 |
| | Other Assets and Liabilities | 0.7% | 2,411,350 |
| | Net Assets | 100.0% | $ 358,650,293 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| (1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $6,840,595, representing 1.9% of net assets. |
| (2) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
| (3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (4) | This security, or a portion of this security, was purchased on a when-issued, delayed-delivery or delayed-draw basis. The cost of these securities was $14,924,079 at July 31, 2024. |
| (5) | Security is a zero-coupon bond. |
| (6) | The rate shown represents current yield to maturity. |
| † | See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments. |
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Corporate Bonds | | $ 9,724,762 | | $ — | | $ 9,724,762 | | $ — |
| Municipal Bonds | | 297,107,996 | | — | | 297,107,996 | | — |
| U.S. Government Agencies | | 1,311,251 | | — | | 1,311,251 | | — |
| U.S. Government Securities | | 33,158,157 | | — | | 33,158,157 | | — |
| Short-Term Investments | | 14,936,777 | | — | | 14,936,777 | | — |
| Total | | $ 356,238,943 | | $ — | | $ 356,238,943 | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 10.6% |
| | Asset-Backed - Automobile - 0.1% |
| $ 50,000 | Exeter Automobile Receivables Trust 12.07%, 09/16/2030(1) | $ 55,825 |
| | Commercial Mortgage-Backed Securities - 1.8% |
| 130,000 | 280 Park Avenue Mortgage Trust 7.75%, 09/15/2034, 1 mo. USD Term SOFR + 2.42%(1)(2) | 117,496 |
| 80,000 | ARZ Trust 8.27%, 06/11/2029(1) | 81,498 |
| 100,000 | BAMLL Commercial Mortgage Securities Trust 3.72%, 11/05/2032(1)(3) | 39,885 |
| 90,000 | BPR Trust 8.34%, 10/05/2038(1)(3) | 92,951 |
| 15,960 | BX Trust 9.03%, 08/15/2039, 1 mo. USD Term SOFR + 3.70%(1)(2) | 15,955 |
| 75,000 | Citigroup Commercial Mortgage Trust 3.00%, 11/15/2049(1) | 50,250 |
| 90,000 | Commercial Mortgage Trust 3.86%, 03/10/2046(1)(3) | 63,608 |
| | DC Trust | |
| 70,000 | 8.48%, 04/13/2028(1)(3) | 70,803 |
| 85,000 | 10.31%, 04/13/2028(1)(3) | 85,420 |
| 215,000 | GS Mortgage Securities Corp. II 7.29%, 03/10/2041(1)(3) | 213,571 |
| 124,533 | GS Mortgage Securities Corp. Trust 2.95%, 11/05/2034(1) | 101,371 |
| 100,000 | HTL Commercial Mortgage Trust 11.93%, 05/10/2039(1)(3) | 100,804 |
| | | | 1,033,612 |
| | Other Asset-Backed Securities - 3.9% |
| 87,169 | AASET U.S. Ltd. 3.84%, 01/16/2038(1) | 62,500 |
| 549,000 | AMMC CLO 22 Ltd. 11.30%, 04/25/2031, 3 mo. USD Term SOFR + 6.01%(1)(2) | 546,183 |
| 250,000 | GoldenTree Loan Management U.S. CLO 16 Ltd. 11.78%, 01/20/2034, 3 mo. USD Term SOFR + 6.50%(1)(2) | 252,445 |
| 45,512 | HINNT LLC 8.00%, 03/15/2043(1) | 42,921 |
| | Home RE Ltd. | |
| 150,000 | 9.95%, 10/25/2033, 30 day USD SOFR Average + 4.60%(1)(2) | 157,407 |
| 165,000 | 10.85%, 10/25/2034, 30 day USD SOFR Average + 5.50%(1)(2) | 176,677 |
| 244,048 | Horizon Aircraft Finance III Ltd. 4.46%, 11/15/2039(1) | 129,342 |
| 250,000 | Invesco U.S. CLO Ltd. 12.18%, 04/22/2037, 3 mo. USD Term SOFR + 6.90%(1)(2) | 253,548 |
| 250,000 | Onex CLO Subsidiary Ltd. 9.73%, 07/20/2037, 3 mo. USD Term SOFR + 4.40%(1)(2) | 250,234 |
| 250,000 | Symphony CLO XVIII Ltd. 8.79%, 07/23/2033, 3 mo. USD Term SOFR + 3.51%(1)(2) | 243,518 |
| 100,000 | Tricon Residential Trust 4.13%, 07/17/2038(1) | 92,024 |
| 25,000 | VB-S1 Issuer LLC 8.87%, 05/15/2054(1) | 25,684 |
| | | | 2,232,483 |
| | Whole Loan Collateral CMO - 4.8% |
| | Federal National Mortgage Association Connecticut Avenue Securities | |
| 15,000 | 9.25%, 07/25/2043, 30 day USD SOFR Average + 3.90%(1)(2) | 15,901 |
| 250,000 | 10.85%, 12/25/2041, 30 day USD SOFR Average + 5.50%(1)(2) | 261,720 |
| 200,000 | 11.35%, 10/25/2041, 30 day USD SOFR Average + 6.00%(1)(2) | 211,250 |
| 265,000 | 11.35%, 12/25/2041, 30 day USD SOFR Average + 6.00%(1)(2) | 280,404 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 10.6% - (continued) |
| | Whole Loan Collateral CMO - 4.8% - (continued) |
| $ 265,000 | 11.55%, 11/25/2041, 30 day USD SOFR Average + 6.20%(1)(2) | $ 279,575 |
| 179,000 | 12.35%, 04/25/2042, 30 day USD SOFR Average + 7.00%(1)(2) | 196,342 |
| 255,000 | 13.00%, 01/25/2042, 30 day USD SOFR Average + 7.65%(1)(2) | 278,269 |
| 245,000 | 14.85%, 03/25/2042, 30 day USD SOFR Average + 9.50%(1)(2) | 279,222 |
| 24,538 | 17.21%, 08/25/2028, 30 day USD SOFR Average + 11.86%(2) | 27,924 |
| | PRET LLC | |
| 200,000 | 3.97%, 09/25/2051(1)(4) | 183,428 |
| 105,000 | 5.07%, 07/25/2051(1)(4) | 97,781 |
| 100,000 | 5.44%, 01/25/2052(1)(4) | 94,057 |
| | PRPM LLC | |
| 200,000 | 3.60%, 09/25/2026(1)(3) | 195,098 |
| 113,477 | 6.72%, 06/25/2026(1)(4) | 116,139 |
| 200,000 | VCAT LLC 3.97%, 09/25/2051(1)(4) | 187,536 |
| | | | 2,704,646 |
| | Total Asset & Commercial Mortgage-Backed Securities
(cost $5,955,346) | $ 6,026,566 |
| CONVERTIBLE BONDS - 6.3% |
| | Auto Manufacturers - 0.2% |
| 90,000 | Rivian Automotive, Inc. 3.63%, 10/15/2030(1) | $ 87,131 |
| | Biotechnology - 0.7% |
| 77,000 | Alnylam Pharmaceuticals, Inc. 1.00%, 09/15/2027 | 83,044 |
| 85,000 | BioMarin Pharmaceutical, Inc. 1.25%, 05/15/2027 | 81,855 |
| 109,000 | Immunocore Holdings PLC 2.50%, 02/01/2030(1) | 95,460 |
| 132,000 | Ionis Pharmaceuticals, Inc. 1.75%, 06/15/2028 | 148,500 |
| | | | 408,859 |
| | Commercial Services - 0.9% |
| 200,000 | Global Payments, Inc. 1.50%, 03/01/2031(1) | 189,000 |
| | Nexi SpA | |
| EUR 100,000 | 0.00%, 02/24/2028(5)(6) | 92,083 |
| 100,000 | 1.75%, 04/24/2027(5) | 100,089 |
| | Shift4 Payments, Inc. | |
| $ 63,000 | 0.00%, 12/15/2025(6) | 68,103 |
| 60,000 | 0.50%, 08/01/2027 | 56,010 |
| | | | 505,285 |
| | Electric - 0.1% |
| 42,000 | Atlantica Sustainable Infrastructure Jersey Ltd. 4.00%, 07/15/2025 | 41,216 |
| | Energy-Alternate Sources - 0.6% |
| 214,000 | Enphase Energy, Inc. 0.00%, 03/01/2028(6) | 184,773 |
| 70,000 | NextEra Energy Partners LP 0.00%, 11/15/2025(1)(6) | 63,945 |
| 67,000 | SolarEdge Technologies, Inc. 0.00%, 09/15/2025(6) | 61,305 |
| 30,000 | Stem, Inc. 0.50%, 12/01/2028(1) | 11,922 |
| | | | 321,945 |
| | Entertainment - 0.1% |
| 75,000 | Live Nation Entertainment, Inc. 3.13%, 01/15/2029 | 84,960 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CONVERTIBLE BONDS - 6.3% - (continued) |
| | Healthcare - Products - 0.5% |
| $ 157,000 | Exact Sciences Corp. 2.00%, 03/01/2030(1) | $ 144,387 |
| 133,000 | Insulet Corp. 0.38%, 09/01/2026 | 143,441 |
| | | | 287,828 |
| | Internet - 0.7% |
| | Etsy, Inc. | |
| 32,000 | 0.13%, 10/01/2026 | 33,046 |
| 53,000 | 0.25%, 06/15/2028 | 42,348 |
| 104,000 | Sea Ltd. 2.38%, 12/01/2025 | 107,796 |
| 85,000 | Shopify, Inc. 0.13%, 11/01/2025 | 79,730 |
| | Uber Technologies, Inc. | |
| 22,000 | 0.00%, 12/15/2025(6) | 22,660 |
| 80,000 | 0.88%, 12/01/2028(1) | 89,160 |
| | | | 374,740 |
| | IT Services - 0.4% |
| 95,000 | Rapid7, Inc. 0.25%, 03/15/2027 | 84,487 |
| 59,000 | Seagate HDD Cayman 3.50%, 06/01/2028(1) | 80,004 |
| 40,000 | Zscaler, Inc. 0.13%, 07/01/2025 | 51,028 |
| | | | 215,519 |
| | Leisure Time - 0.1% |
| 57,000 | Carnival Corp. 5.75%, 12/01/2027 | 85,956 |
| | Machinery-Diversified - 0.2% |
| 126,000 | Middleby Corp. 1.00%, 09/01/2025 | 142,317 |
| | Pharmaceuticals - 0.3% |
| | Dexcom, Inc. | |
| 80,000 | 0.25%, 11/15/2025 | 75,078 |
| 80,000 | 0.38%, 05/15/2028 | 69,675 |
| | | | 144,753 |
| | Real Estate Investment Trusts - 0.6% |
| 133,000 | HAT Holdings I LLC/HAT Holdings II LLC 3.75%, 08/15/2028(1) | 175,360 |
| | Rexford Industrial Realty LP | |
| 78,000 | 4.13%, 03/15/2029(1) | 79,287 |
| 78,000 | 4.38%, 03/15/2027(1) | 79,014 |
| | | | 333,661 |
| | Semiconductors - 0.2% |
| 85,000 | Microchip Technology, Inc. 0.75%, 06/01/2030(1) | 85,272 |
| 40,000 | ON Semiconductor Corp. 0.50%, 03/01/2029 | 41,239 |
| | | | 126,511 |
| | Software - 0.7% |
| 50,000 | Bill Holdings, Inc. 0.00%, 12/01/2025(6) | 46,450 |
| 99,000 | Datadog, Inc. 0.13%, 06/15/2025 | 131,274 |
| 172,000 | Dayforce, Inc. 0.25%, 03/15/2026 | 158,756 |
| 85,000 | Health Catalyst, Inc. 2.50%, 04/15/2025 | 82,503 |
| | | | 418,983 |
| | Total Convertible Bonds
(cost $3,604,381) | $ 3,579,664 |
| CORPORATE BONDS - 40.6% |
| | Advertising - 0.7% |
| | Clear Channel Outdoor Holdings, Inc. | |
| 22,000 | 7.50%, 06/01/2029(1) | $ 18,856 |
| 15,000 | 7.88%, 04/01/2030(1) | 15,265 |
| 120,000 | 9.00%, 09/15/2028(1) | 127,445 |
| | Lamar Media Corp. | |
| 125,000 | 3.63%, 01/15/2031 | 111,069 |
| 145,000 | 3.75%, 02/15/2028 | 136,557 |
| | | | 409,192 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Auto Manufacturers - 0.0% |
| $ 25,000 | Ford Motor Co. 3.25%, 02/12/2032 | $ 20,918 |
| | Auto Parts & Equipment - 0.6% |
| 20,000 | Clarios Global LP/Clarios U.S. Finance Co. 6.75%, 05/15/2028(1) | 20,369 |
| EUR 300,000 | Forvia SE 3.75%, 06/15/2028(5) | 315,744 |
| | | | 336,113 |
| | Beverages - 0.4% |
| $ 236,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL 5.25%, 04/27/2029(1) | 226,508 |
| | Chemicals - 0.5% |
| 80,000 | Avient Corp. 7.13%, 08/01/2030(1) | 82,101 |
| EUR 100,000 | Itelyum Regeneration SpA 4.63%, 10/01/2026(5) | 106,458 |
| 100,000 | Olympus Water U.S. Holding Corp. 9.63%, 11/15/2028(5) | 116,156 |
| | | | 304,715 |
| | Commercial Banks - 5.1% |
| 200,000 | Abanca Corp. Bancaria SA 10.63%, 07/14/2028, (10.63% fixed rate until 07/14/2028; 5 yr. EUR Swap + 7.64% thereafter)(5)(7)(8) | 243,009 |
| 100,000 | Banca Monte dei Paschi di Siena SpA 7.71%, 01/18/2028, 5 yr. EURIBOR ICE Swap + 5.01%(2)(5) | 116,199 |
| 300,000 | Banca Transilvania SA 8.88%, 04/27/2027, (8.88% fixed rate until 04/27/2026; 1 yr. EURIBOR ICE Swap + 5.58% thereafter)(5)(7) | 343,231 |
| 100,000 | Banco de Credito Social Cooperativo SA 5.25%, 11/27/2031, (5.25% fixed rate until 05/27/2026; 5 yr. EUR Swap + 5.42% thereafter)(5)(7) | 107,870 |
| 100,000 | Danske Bank AS 4.63%, 05/14/2034, (4.63% fixed rate until 02/14/2029; 5 yr. EURIBOR ICE Swap + 1.95% thereafter)(5)(7) | 111,035 |
| | Freedom Mortgage Corp. | |
| $ 140,000 | 12.00%, 10/01/2028(1) | 150,678 |
| 165,000 | 12.25%, 10/01/2030(1) | 180,886 |
| 200,000 | Intesa Sanpaolo SpA 7.80%, 11/28/2053(1) | 226,393 |
| EUR 100,000 | Permanent TSB Group Holdings PLC 3.00%, 08/19/2031, (3.00% fixed rate until 05/19/2026; 5 yr. EUR Swap + 3.22% thereafter)(5)(7) | 104,544 |
| | Societe Generale SA | |
| $ 200,000 | 4.75%, 05/26/2026, (4.75% fixed rate until 05/26/2026; 5 yr. USD CMT + 3.93% thereafter)(1)(7)(8) | 183,986 |
| 200,000 | 10.00%, 11/14/2028, (10.00% fixed rate until 11/14/2028; 5 yr. USD CMT + 5.45% thereafter)(1)(7)(8) | 211,187 |
| EUR 200,000 | Tatra Banka AS 4.97%, 04/29/2030, (4.97% fixed rate until 04/29/2029; 3 mo. EURIBOR + 2.10% thereafter)(5)(7) | 221,647 |
| | UBS Group AG | |
| $ 200,000 | 4.88%, 02/12/2027, (4.88% fixed rate until 02/12/2027; 5 yr. USD CMT + 3.40% thereafter)(5)(7)(8) | 188,296 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Commercial Banks - 5.1% - (continued) |
| $ 200,000 | 9.25%, 11/13/2033, (9.25% fixed rate until 11/13/2033; 5 yr. USD CMT + 4.76% thereafter)(1)(7)(8) | $ 226,520 |
| GBP 200,000 | Virgin Money U.K. PLC 11.00%, 12/08/2028, (11.00% fixed rate until 12/08/2028; 5 yr. U.K. Government Bond + 6.99% thereafter)(5)(7)(8) | 290,419 |
| | | | 2,905,900 |
| | Commercial Services - 1.9% |
| 100,000 | AA Bond Co. Ltd. 7.38%, 07/31/2050(5) | 134,296 |
| | Block, Inc. | |
| $ 20,000 | 2.75%, 06/01/2026 | 19,021 |
| 150,000 | 3.50%, 06/01/2031 | 130,140 |
| EUR 100,000 | Boels Topholding BV 5.75%, 05/15/2030(1) | 109,780 |
| 100,000 | Loxam SAS 6.38%, 05/31/2029(1) | 112,947 |
| 200,000 | PeopleCert Wisdom Issuer PLC 5.75%, 09/15/2026(5) | 216,150 |
| | United Rentals North America, Inc. | |
| $ 29,000 | 3.75%, 01/15/2032 | 25,594 |
| 35,000 | 4.88%, 01/15/2028 | 34,178 |
| 40,000 | 6.13%, 03/15/2034(1) | 40,210 |
| EUR 255,000 | Verisure Holding AB 3.25%, 02/15/2027(5) | 266,992 |
| | | | 1,089,308 |
| | Construction Materials - 0.5% |
| 100,000 | Emerald Borrower LP/Emerald Co.-Issuer, Inc. 6.38%, 12/15/2030(1) | 113,140 |
| $ 155,000 | Standard Industries, Inc. 4.75%, 01/15/2028(1) | 148,385 |
| | | | 261,525 |
| | Diversified Financial Services - 1.3% |
| 249,000 | Charles Schwab Corp. 4.00%, 06/01/2026, (4.00% fixed rate until 06/01/2026; 5 yr. USD CMT + 3.17% thereafter)(7)(8) | 232,542 |
| 115,000 | Credit Acceptance Corp. 9.25%, 12/15/2028(1) | 122,713 |
| 25,000 | Hightower Holding LLC 9.13%, 01/31/2030(1) | 25,388 |
| 50,000 | OneMain Finance Corp. 7.88%, 03/15/2030 | 52,125 |
| 500,000 | Unifin Financiera SAB de CV 9.88%, 01/28/2029(1)(9)(10) | 15,000 |
| 300,000 | United Wholesale Mortgage LLC 5.50%, 04/15/2029(1) | 289,375 |
| | | | 737,143 |
| | Electric - 2.9% |
| 200,000 | Adani Electricity Mumbai Ltd. 3.95%, 02/12/2030(5) | 175,476 |
| 400,000 | Adani Green Energy Ltd. 4.38%, 09/08/2024(1) | 398,050 |
| | Clearway Energy Operating LLC | |
| 180,000 | 3.75%, 01/15/2032(1) | 156,808 |
| 210,000 | 4.75%, 03/15/2028(1) | 201,515 |
| 200,000 | Instituto Costarricense de Electricidad 6.75%, 10/07/2031(1) | 201,176 |
| 200,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(5) | 192,918 |
| 350,000 | Zorlu Yenilenebilir Enerji AS 9.00%, 06/01/2026(5) | 345,300 |
| | | | 1,671,243 |
| | Energy-Alternate Sources - 2.2% |
| | Energo-Pro AS | |
| 215,000 | 8.50%, 02/04/2027(1) | 215,189 |
| 200,000 | 11.00%, 11/02/2028(1) | 213,974 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Energy-Alternate Sources - 2.2% - (continued) |
| $ 400,000 | FS Luxembourg SARL 8.88%, 02/12/2031(1) | $ 392,522 |
| 473,200 | Greenko Dutch BV 3.85%, 03/29/2026(5) | 452,500 |
| | | | 1,274,185 |
| | Engineering & Construction - 1.0% |
| EUR 100,000 | Cellnex Telecom SA 1.75%, 10/23/2030(5) | 97,142 |
| GBP 100,000 | Heathrow Finance PLC 3.88%, 03/01/2027(4)(5) | 121,381 |
| | IHS Holding Ltd. | |
| $ 200,000 | 6.25%, 11/29/2028(1) | 178,228 |
| 200,000 | 6.25%, 11/29/2028(5) | 178,228 |
| | | | 574,979 |
| | Entertainment - 0.3% |
| | Caesars Entertainment, Inc. | |
| 20,000 | 4.63%, 10/15/2029(1) | 18,583 |
| 30,000 | 6.50%, 02/15/2032(1) | 30,366 |
| 30,000 | 8.13%, 07/01/2027(1) | 30,652 |
| 68,000 | Cinemark USA, Inc. 5.25%, 07/15/2028(1)(11) | 65,752 |
| | | | 145,353 |
| | Environmental Control - 0.4% |
| | Reworld Holding Corp. | |
| 5,000 | 4.88%, 12/01/2029(1) | 4,573 |
| 25,000 | 5.00%, 09/01/2030 | 22,631 |
| 200,000 | Stericycle, Inc. 3.88%, 01/15/2029(1) | 190,184 |
| | | | 217,388 |
| | Food - 0.4% |
| GBP 100,000 | Iceland Bondco PLC 10.88%, 12/15/2027(5) | 136,610 |
| EUR 100,000 | Picard Groupe SAS 6.38%, 07/01/2029(1) | 110,473 |
| | | | 247,083 |
| | Food Service - 0.6% |
| 300,000 | Elior Group SA 3.75%, 07/15/2026(5) | 317,688 |
| | Forest Products & Paper - 0.4% |
| $ 200,000 | Suzano Austria GmbH 7.00%, 03/16/2047(5) | 208,628 |
| | Healthcare - Products - 0.8% |
| EUR 200,000 | Avantor Funding, Inc. 3.88%, 07/15/2028(5) | 213,294 |
| $ 50,000 | Bausch & Lomb Corp. 8.38%, 10/01/2028(1) | 51,373 |
| 180,000 | Medline Borrower LP 3.88%, 04/01/2029(1) | 167,845 |
| | | | 432,512 |
| | Healthcare - Services - 0.9% |
| 40,000 | CHS/Community Health Systems, Inc. 4.75%, 02/15/2031(1) | 32,898 |
| 10,000 | HCA, Inc. 7.50%, 11/15/2095 | 11,123 |
| EUR 100,000 | IQVIA, Inc. 2.25%, 01/15/2028(1) | 101,878 |
| $ 200,000 | Rede D'or Finance SARL 4.50%, 01/22/2030(5) | 180,121 |
| 55,000 | Surgery Center Holdings, Inc. 7.25%, 04/15/2032(1) | 56,783 |
| 105,000 | Tenet Healthcare Corp. 6.13%, 06/15/2030 | 105,357 |
| | | | 488,160 |
| | Insurance - 0.9% |
| | Acrisure LLC/Acrisure Finance, Inc. | |
| 30,000 | 4.25%, 02/15/2029(1) | 27,607 |
| 30,000 | 7.50%, 11/06/2030(1) | 30,450 |
| 10,000 | 8.50%, 06/15/2029(1) | 10,251 |
| 45,000 | HUB International Ltd. 7.38%, 01/31/2032(1) | 46,242 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Insurance - 0.9% - (continued) |
| $ 200,000 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 5.88%, 05/23/2042, (5.88% fixed rate until 11/23/2031; 5 yr. USD CMT + 3.98% thereafter)(1)(7) | $ 201,963 |
| 200,000 | Zurich Finance Ireland Designated Activity Co. 3.00%, 04/19/2051, (3.00% fixed rate until 01/19/2031; 5 yr. USD CMT + 2.78% thereafter)(5)(7) | 169,592 |
| | | | 486,105 |
| | Internet - 1.3% |
| | Cerved Group SpA | |
| EUR 100,000 | 6.00%, 02/15/2029(5) | 101,176 |
| 205,000 | 8.97%, 02/15/2029, 3 mo. EURIBOR + 5.25%(2)(5) | 218,503 |
| | Gen Digital, Inc. | |
| $ 30,000 | 6.75%, 09/30/2027(1) | 30,509 |
| 60,000 | 7.13%, 09/30/2030(1) | 62,024 |
| 185,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc. 3.50%, 03/01/2029(1) | 168,171 |
| 50,000 | Uber Technologies, Inc. 4.50%, 08/15/2029(1) | 48,224 |
| EUR 100,000 | United Group BV 6.75%, 02/15/2031(1) | 113,275 |
| | | | 741,882 |
| | Iron/Steel - 0.1% |
| $ 40,000 | ATI, Inc. 7.25%, 08/15/2030 | 41,798 |
| | IT Services - 0.7% |
| 90,000 | Fortress Intermediate 3, Inc. 7.50%, 06/01/2031(1) | 92,281 |
| 90,000 | Insight Enterprises, Inc. 6.63%, 05/15/2032(1) | 92,674 |
| 213,000 | McAfee Corp. 7.38%, 02/15/2030(1) | 198,713 |
| | | | 383,668 |
| | Leisure Time - 0.5% |
| | Carnival Corp. | |
| 60,000 | 6.00%, 05/01/2029(1) | 59,859 |
| 125,000 | 10.50%, 06/01/2030(1) | 135,860 |
| 80,000 | Royal Caribbean Cruises Ltd. 7.25%, 01/15/2030(1) | 83,841 |
| | | | 279,560 |
| | Media - 1.4% |
| 20,000 | DISH DBS Corp. 5.75%, 12/01/2028(1) | 14,683 |
| 75,000 | Paramount Global 6.88%, 04/30/2036 | 72,928 |
| 120,000 | Scripps Escrow II, Inc. 5.38%, 01/15/2031(1)(9) | 57,466 |
| 225,000 | Scripps Escrow, Inc. 5.88%, 07/15/2027(1)(9) | 155,203 |
| GBP 100,000 | Virgin Media Secured Finance PLC 4.25%, 01/15/2030(5) | 110,984 |
| $ 200,000 | VTR Finance NV 6.38%, 07/15/2028(5) | 181,777 |
| EUR 210,000 | Ziggo BV 2.88%, 01/15/2030(5) | 206,118 |
| | | | 799,159 |
| | Metal Fabricate/Hardware - 0.2% |
| | Advanced Drainage Systems, Inc. | |
| $ 100,000 | 5.00%, 09/30/2027(1) | 97,975 |
| 30,000 | 6.38%, 06/15/2030(1) | 30,228 |
| | | | 128,203 |
| | Mining - 1.6% |
| 300,000 | Constellium SE 3.75%, 04/15/2029(1) | 273,727 |
| 120,000 | FMG Resources August 2006 Pty. Ltd. 6.13%, 04/15/2032(1) | 118,782 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Mining - 1.6% - (continued) |
| | WE Soda Investments Holding PLC | |
| $ 200,000 | 9.38%, 02/14/2031(5) | $ 206,000 |
| 315,000 | 9.50%, 10/06/2028(1) | 323,261 |
| | | | 921,770 |
| | Multi-National - 0.3% |
| BRL 515,000 | European Investment Bank 9.25%, 01/28/2027(5) | 88,942 |
| MXN 2,160,000 | International Bank for Reconstruction & Development 5.65%, 06/03/2027 | 103,876 |
| | | | 192,818 |
| | Packaging & Containers - 1.0% |
| EUR 100,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 3.00%, 09/01/2029(5) | 88,894 |
| 115,000 | Crown European Holdings SACA 4.50%, 01/15/2030(1) | 125,365 |
| | Owens-Brockway Glass Container, Inc. | |
| $ 60,000 | 7.25%, 05/15/2031(1) | 59,188 |
| 10,000 | 7.38%, 06/01/2032(1) | 9,886 |
| 200,000 | SAN Miguel Industrias Pet SA/NG PET R&P Latin America SA 3.50%, 08/02/2028(5) | 177,166 |
| EUR 110,000 | Trivium Packaging Finance BV 3.75%, 08/15/2026(5) | 117,100 |
| | | | 577,599 |
| | Pharmaceuticals - 0.5% |
| | Prestige Brands, Inc. | |
| $ 40,000 | 3.75%, 04/01/2031(1) | 35,266 |
| 25,000 | 5.13%, 01/15/2028(1) | 24,446 |
| EUR 200,000 | Teva Pharmaceutical Finance Netherlands II BV 3.75%, 05/09/2027 | 213,053 |
| | | | 272,765 |
| | Real Estate - 2.5% |
| GBP 200,000 | Canary Wharf Group Investment Holdings PLC 3.38%, 04/23/2028(5) | 198,455 |
| EUR 100,000 | Castellum AB 3.13%, 12/02/2026, (3.13% fixed rate until 12/02/2026; 5 yr. EUR Swap + 3.45% thereafter)(5)(7)(8) | 98,174 |
| $ 200,000 | CIFI Holdings Group Co. Ltd. 4.38%, 04/12/2027(5)(12) | 21,000 |
| 400,000 | Country Garden Holdings Co. Ltd. 3.88%, 10/22/2030(5)(12) | 32,500 |
| EUR 100,000 | CPI Property Group SA 4.88%, 07/16/2025, (4.88% fixed rate until 07/16/2025; 5 yr. EUR Swap + 4.94% thereafter)(5)(7)(8) | 71,851 |
| 100,000 | Emeria SASU 7.75%, 03/31/2028(1) | 100,048 |
| $ 200,000 | Fuqing Investment Management Ltd. 3.25%, 06/23/2025(5) | 189,242 |
| | Peach Property Finance GmbH | |
| EUR 200,000 | 4.38%, 11/15/2025(5) | 188,015 |
| 100,000 | 4.38%, 11/15/2025(1) | 94,007 |
| $ 200,000 | Pingan Real Estate Capital Ltd. 3.45%, 07/29/2026(5) | 177,604 |
| | Samhallsbyggnadsbolaget i Norden AB | |
| EUR 100,000 | 2.88%, 10/30/2026 (2.88% fixed rate until 10/30/2026; thereafter)(5)(7)(8) | 35,831 |
| 200,000 | 3.00%, 01/14/2025(4)(5) | 201,011 |
| | | | 1,407,738 |
| | Real Estate Investment Trusts - 2.4% |
| 255,000 | Alexandrite Monnet U.K. Holdco PLC 10.50%, 05/15/2029(1) | 287,010 |
| | Brandywine Operating Partnership LP | |
| $ 247,000 | 3.95%, 11/15/2027 | 226,892 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Real Estate Investment Trusts - 2.4% - (continued) |
| $ 60,000 | 8.05%, 03/15/2028(4) | $ 63,085 |
| 130,000 | 8.88%, 04/12/2029 | 138,065 |
| | Hudson Pacific Properties LP | |
| 60,000 | 4.65%, 04/01/2029 | 50,332 |
| 65,000 | 5.95%, 02/15/2028 | 58,388 |
| | Piedmont Operating Partnership LP | |
| 70,000 | 2.75%, 04/01/2032 | 52,849 |
| 185,000 | 3.15%, 08/15/2030 | 152,389 |
| 130,000 | 6.88%, 07/15/2029 | 131,898 |
| 200,000 | Trust Fibra Uno 6.39%, 01/15/2050(5) | 162,374 |
| 35,000 | WEA Finance LLC 3.50%, 06/15/2029(1) | 32,004 |
| | | | 1,355,286 |
| | Retail - 1.3% |
| GBP 100,000 | B&M European Value Retail SA 4.00%, 11/15/2028(5) | 118,692 |
| $ 200,000 | Jollibee Worldwide Pte. Ltd. 3.90%, 01/23/2025, (3.90% fixed rate until 01/23/2025; 5 yr. USD CMT + 4.78% thereafter)(5)(7)(8) | 196,500 |
| 133,000 | LBM Acquisition LLC 6.25%, 01/15/2029(1) | 117,531 |
| 130,000 | Specialty Building Products Holdings LLC/SBP Finance Corp. 6.38%, 09/30/2026(1) | 127,961 |
| 199,000 | Yum! Brands, Inc. 3.63%, 03/15/2031 | 177,482 |
| | | | 738,166 |
| | Software - 1.4% |
| 262,000 | AthenaHealth Group, Inc. 6.50%, 02/15/2030(1) | 246,950 |
| 120,000 | Dun & Bradstreet Corp. 5.00%, 12/15/2029(1) | 113,919 |
| | Open Text Corp. | |
| 165,000 | 3.88%, 02/15/2028(1) | 154,052 |
| 15,000 | 3.88%, 12/01/2029(1) | 13,618 |
| 70,000 | Open Text Holdings, Inc. 4.13%, 12/01/2031(1) | 62,320 |
| EUR 125,000 | TeamSystem SpA 7.19%, 07/31/2031, 3 mo. EURIBOR + 3.50%(1)(2) | 135,431 |
| $ 80,000 | UKG, Inc. 6.88%, 02/01/2031(1) | 82,227 |
| | | | 808,517 |
| | Telecommunications - 2.2% |
| | Altice France SA | |
| EUR 100,000 | 4.13%, 01/15/2029(5) | 74,319 |
| 100,000 | 5.88%, 02/01/2027(5) | 81,861 |
| $ 200,000 | Axian Telecom 7.38%, 02/16/2027(1) | 197,800 |
| EUR 300,000 | Eolo SpA 4.88%, 10/21/2028(5) | 289,489 |
| 125,000 | Eutelsat SA 9.75%, 04/13/2029(1) | 141,856 |
| | Frontier Communications Holdings LLC | |
| $ 80,000 | 5.00%, 05/01/2028(1) | 76,929 |
| 95,000 | 5.88%, 10/15/2027(1) | 94,096 |
| 40,000 | 6.75%, 05/01/2029(1) | 37,801 |
| 200,000 | Liquid Telecommunications Financing PLC 5.50%, 09/04/2026(5) | 121,084 |
| | Telecom Italia Capital SA | |
| 95,000 | 7.20%, 07/18/2036 | 94,441 |
| 29,000 | 7.72%, 06/04/2038 | 29,359 |
| | | | 1,239,035 |
| | Transportation - 0.7% |
| | Rumo Luxembourg SARL | |
| 200,000 | 4.20%, 01/18/2032(5) | 171,238 |
| 230,000 | 5.25%, 01/10/2028(5) | 222,804 |
| | | | 394,042 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 40.6% - (continued) |
| | Water - 0.7% |
| | Aegea Finance SARL | |
| $ 200,000 | 6.75%, 05/20/2029(1) | $ 196,523 |
| 200,000 | 9.00%, 01/20/2031(1) | 210,987 |
| | | | 407,510 |
| | Total Corporate Bonds
(cost $23,321,826) | $ 23,044,162 |
| FOREIGN GOVERNMENT OBLIGATIONS - 6.1% |
| | Benin - 0.3% |
| 200,000 | Benin Government International Bonds 7.96%, 02/13/2038(5) | $ 186,250 |
| | Chile - 0.2% |
| CLP 130,000,000 | Bonos de la Tesoreria de la Republica en pesos 4.70%, 09/01/2030(5) | 129,114 |
| | Colombia - 1.0% |
| | Colombia Government International Bonds | |
| EUR 100,000 | 3.88%, 03/22/2026 | 107,303 |
| $ 440,000 | 5.00%, 06/15/2045 | 313,534 |
| COP 580,100,000 | Colombia TES 7.00%, 06/30/2032 | 116,601 |
| | | | 537,438 |
| | Czech Republic - 0.2% |
| CZK 3,110,000 | Czech Republic Government Bonds 2.50%, 08/25/2028(5) | 126,829 |
| | Gabon - 0.3% |
| $ 200,000 | Gabon Government International Bonds 6.95%, 06/16/2025(5) | 180,224 |
| | Hungary - 0.2% |
| HUF 54,210,000 | Hungary Government Bonds 3.00%, 08/21/2030 | 126,681 |
| | Israel - 0.3% |
| $ 200,000 | Israel Government International Bonds 5.75%, 03/12/2054 | 185,448 |
| | Ivory Coast - 0.5% |
| | Ivory Coast Government International Bonds | |
| EUR 100,000 | 4.88%, 01/30/2032(5) | 91,579 |
| 200,000 | 5.88%, 10/17/2031(5) | 196,942 |
| | | | 288,521 |
| | Mexico - 0.1% |
| 100,000 | Mexico Government International Bonds 2.13%, 10/25/2051 | 62,668 |
| | North Macedonia - 0.4% |
| | North Macedonia Government International Bonds | |
| 100,000 | 3.68%, 06/03/2026(1) | 105,242 |
| 100,000 | 3.68%, 06/03/2026(5) | 105,241 |
| | | | 210,483 |
| | Peru - 0.4% |
| $ 225,000 | Fondo MIVIVIENDA SA 4.63%, 04/12/2027(1) | 220,545 |
| | Poland - 0.3% |
| PLN 570,000 | Republic of Poland Government Bonds 3.75%, 05/25/2027 | 138,837 |
| | Romania - 0.7% |
| | Romania Government International Bonds | |
| EUR 80,000 | 2.12%, 07/16/2031(5) | 71,057 |
| 89,000 | 2.88%, 04/13/2042(5) | 64,728 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| FOREIGN GOVERNMENT OBLIGATIONS - 6.1% - (continued) |
| | Romania - 0.7% - (continued) |
| EUR 115,000 | 5.38%, 03/22/2031(1) | $ 125,698 |
| 135,000 | 5.63%, 05/30/2037(1) | 142,842 |
| | | | 404,325 |
| | Senegal - 0.1% |
| 100,000 | Senegal Government International Bonds 5.38%, 06/08/2037(1) | 78,562 |
| | South Africa - 0.3% |
| ZAR 2,755,000 | Republic of South Africa Government Bonds 8.00%, 01/31/2030 | 142,413 |
| | Supranational - 0.6% |
| INR 8,800,000 | Asian Development Bank 6.20%, 10/06/2026 | 104,128 |
| CNY 810,000 | European Bank for Reconstruction & Development 2.00%, 01/21/2025 | 111,745 |
| IDR 1,670,000,000 | European Investment Bank 5.75%, 01/24/2025(5) | 102,213 |
| | | | 318,086 |
| | Uruguay - 0.2% |
| | Uruguay Government International Bonds | |
| UYU 2,905,613 | 4.38%, 12/15/2028(13) | 75,056 |
| 1,446,233 | 4.38%, 12/15/2028(13) | 37,358 |
| 885,000 | 8.50%, 03/15/2028(5) | 21,481 |
| | | | 133,895 |
| | Total Foreign Government Obligations
(cost $3,838,684) | | $ 3,470,319 |
| SENIOR FLOATING RATE INTERESTS - 11.1%(14) |
| | Commercial Services - 2.0% |
| $ 218,081 | APX Group, Inc. 8.30%, 07/10/2028, U.S. (Fed) Prime Rate + 1.75% | $ 218,354 |
| EUR 200,000 | Boels Topholding BV 6.56%, 05/23/2031, 3 mo. EURIBOR + 3.00% | 216,745 |
| 250,000 | Techem Verwaltungsgesellschaft 675 GmbH 7.37%, 07/15/2029, 1 mo. EURIBOR + 3.75% | 270,931 |
| $ 192,663 | Trans Union LLC 7.10%, 06/24/2031, 1 mo. USD Term SOFR + 1.75% | 192,513 |
| EUR 200,000 | Verisure Holding AB 6.72%, 03/27/2028, 3 mo. EURIBOR + 3.00% | 216,331 |
| | | | 1,114,874 |
| | Construction Materials - 0.1% |
| $ 80,440 | Emerald Borrower LP 7.84%, 05/31/2030, 1 mo. USD Term SOFR + 2.50% | 80,430 |
| | Distribution/Wholesale - 0.3% |
| 194,175 | American Builders & Contractors Supply Co., Inc. 7.34%, 01/31/2031, 1 mo. USD Term SOFR + 2.00% | 194,880 |
| | Environmental Control - 0.7% |
| 393,979 | Clean Harbors, Inc. 7.21%, 10/08/2028, 1 mo. USD Term SOFR + 1.75% | 395,705 |
| | Food - 0.2% |
| 104,217 | U.S. Foods, Inc. 7.34%, 11/22/2028, 1 mo. USD Term SOFR + 2.00% | 104,645 |
| | Healthcare - Products - 1.4% |
| 95,558 | Avantor Funding, Inc. 7.44%, 11/08/2027, 1 mo. USD Term SOFR + 2.00% | 96,102 |
| 99,250 | Bausch & Lomb Corp. 9.34%, 09/29/2028, 1 mo. USD Term SOFR + 4.00% | 98,506 |
| Shares or Principal Amount | | Market Value† |
| SENIOR FLOATING RATE INTERESTS - 11.1%(14) - (continued) |
| | Healthcare - Products - 1.4% - (continued) |
| | Insulet Corp. | |
| $ 100,000 | 7.84%, 08/04/2031, 1 mo. USD Term SOFR + 2.50% | $ 99,750 |
| 197,455 | 8.34%, 05/04/2028, 1 mo. USD Term SOFR + 3.00% | 197,603 |
| | Medline Borrower LP | |
| 100,000 | 7.59%, 10/23/2028, 1 mo. USD Term SOFR + 2.25% | 100,078 |
| 178,986 | 8.09%, 10/23/2028, 1 mo. USD Term SOFR + 2.50% | 179,512 |
| | | | 771,551 |
| | Healthcare - Services - 0.3% |
| 145,489 | Catalent Pharma Solutions, Inc. 7.46%, 02/22/2028, 1 mo. USD Term SOFR + 2.00% | 145,307 |
| | Home Builders - 0.2% |
| 112,427 | Installed Building Products, Inc. 7.34%, 03/28/2031, 1 mo. USD Term SOFR + 2.00% | 112,954 |
| | Insurance - 0.8% |
| 197,995 | Asurion LLC 9.69%, 08/19/2028, 1 mo. USD Term SOFR + 4.25% | 197,076 |
| 232,014 | HUB International Ltd. 8.53%, 06/20/2030, 3 mo. USD Term SOFR + 3.25% | 232,247 |
| | | | 429,323 |
| | Internet - 0.6% |
| 141,298 | Go Daddy Operating Co. LLC 7.34%, 11/09/2029, 1 mo. USD Term SOFR + 2.00% | 141,537 |
| 170,635 | Proofpoint, Inc. 8.34%, 08/31/2028, 1 mo. USD Term SOFR + 3.00% | 171,100 |
| | | | 312,637 |
| | IT Services - 0.6% |
| 152,288 | McAfee LLC 8.59%, 03/01/2029, 1 mo. USD Term SOFR + 3.25% | 151,954 |
| 168,716 | Surf Holdings LLC 8.96%, 03/05/2027, 1 mo. USD Term SOFR + 3.50% | 169,201 |
| | | | 321,155 |
| | Leisure Time - 0.3% |
| 193,269 | Hayward Industries, Inc. 8.09%, 05/30/2028, 1 mo. USD Term SOFR + 2.50% | 193,365 |
| | Packaging & Containers - 1.1% |
| 313,600 | Clydesdale Acquisition Holdings, Inc. 9.02%, 04/13/2029, 1 mo. USD Term SOFR + 3.68% | 313,679 |
| 294,527 | Proampac PG Borrower LLC 9.31%, 09/15/2028, 3 mo. USD Term SOFR + 4.00% | 295,263 |
| | | | 608,942 |
| | Pharmaceuticals - 1.1% |
| EUR 159,911 | Grifols SA 5.89%, 11/15/2027, 3 mo. EURIBOR + 2.25% | 166,244 |
| 290,000 | IVC Acquisition Ltd. 8.80%, 12/12/2028, 6 mo. EURIBOR + 5.00% | 314,286 |
| $ 136,483 | Packaging Coordinators Midco, Inc. 8.58%, 11/30/2027, 3 mo. USD Term SOFR + 3.25% | 136,918 |
| | | | 617,448 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| SENIOR FLOATING RATE INTERESTS - 11.1%(14) - (continued) |
| | Retail - 0.4% |
| $ 243,120 | LBM Acquisition LLC 9.14%, 06/06/2031, 1 mo. USD Term SOFR + 3.75% | $ 234,064 |
| | Semiconductors - 0.2% |
| 132,733 | MKS Instruments, Inc. 7.60%, 08/17/2029, 1 mo. USD Term SOFR + 2.25% | 133,149 |
| | Software - 0.5% |
| 99,500 | Severin Acquisition LLC 8.25%, 08/01/2027, 3 mo. USD Term SOFR + 3.00% | 99,671 |
| 193,996 | Zelis Payments Buyer, Inc. 8.09%, 09/28/2029, 1 mo. USD Term SOFR + 2.75% | 194,157 |
| | | | 293,828 |
| | Telecommunications - 0.0% |
| 141,131 | Xplornet Communications, Inc. 0.00%, 10/02/2028, 1 mo. USD Term SOFR + 4.00%(12) | 26,544 |
| | Transportation - 0.3% |
| 185,681 | First Student Bidco, Inc. 8.60%, 07/21/2028, 3 mo. USD Term SOFR + 3.00% | 186,041 |
| | Total Senior Floating Rate Interests
(cost $6,409,530) | $ 6,276,842 |
| U.S. GOVERNMENT AGENCIES - 9.2% |
| | Mortgage-Backed Agencies - 9.2% |
| | Federal Home Loan Mortgage Corp. - 1.6% |
| 310,148 | 5.00%, 09/01/2052 | $ 305,353 |
| 55,000 | 8.75%, 10/25/2041, 30 day USD SOFR Average + 3.40%(1)(2) | 57,024 |
| 15,000 | 9.60%, 05/25/2044, 30 day USD SOFR Average + 4.25%(1)(2) | 15,479 |
| 65,000 | 12.45%, 01/25/2042, 30 day USD SOFR Average + 7.10%(1)(2) | 69,852 |
| 175,000 | 13.06%, 03/25/2050, 30 day USD SOFR Average + 7.71%(1)(2) | 207,156 |
| 255,000 | 13.15%, 11/25/2041, 30 day USD SOFR Average + 7.80%(1)(2) | 276,525 |
| | | | 931,389 |
| | Federal National Mortgage Association - 0.5% |
| 305,128 | 5.00%, 09/01/2052 | 300,411 |
| | Uniform Mortgage-Backed Security - 7.1% |
| 2,410,000 | 4.50%, 08/01/2054(15) | 2,313,792 |
| 1,671,000 | 6.00%, 08/01/2054(15) | 1,692,926 |
| | | | 4,006,718 |
| | Total U.S. Government Agencies
(cost $5,190,236) | | $ 5,238,518 |
| U.S. GOVERNMENT SECURITIES - 19.6% |
| | U.S. Treasury Securities - 19.6% |
| | U.S. Treasury Bonds - 7.9% |
| 390,000 | 2.25%, 08/15/2046 | $ 267,729 |
| 1,690,000 | 2.50%, 05/15/2046(16) | 1,222,609 |
| 1,925,000 | 3.38%, 11/15/2048 | 1,605,871 |
| 470,000 | 3.63%, 08/15/2043 | 418,943 |
| 525,000 | 3.63%, 05/15/2053 | 459,272 |
| 575,000 | 3.88%, 02/15/2043 | 533,627 |
| | | | 4,508,051 |
| | U.S. Treasury Inflation-Indexed Bonds - 1.4% |
| 757,355 | 0.25%, 02/15/2050(13) | 476,687 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT SECURITIES - 19.6% - (continued) |
| | U.S. Treasury Securities - 19.6% - (continued) |
| | U.S. Treasury Inflation-Indexed Bonds - 1.4% - (continued) |
| $ 102,448 | 0.63%, 02/15/2043(13) | $ 78,830 |
| 226,722 | 0.75%, 02/15/2045(13) | 174,242 |
| 80,851 | 1.38%, 02/15/2044(13) | 70,934 |
| | | | 800,693 |
| | U.S. Treasury Inflation-Indexed Notes - 2.9% |
| 1,660,214 | 1.75%, 01/15/2034(13) | 1,636,430 |
| | U.S. Treasury Notes - 7.4% |
| 936,000 | 1.88%, 02/15/2032 | 804,083 |
| 2,065,000 | 3.50%, 02/15/2033(16)(17) | 1,977,318 |
| 650,000 | 3.88%, 11/30/2027 | 645,303 |
| 750,000 | 4.13%, 07/31/2028 | 751,875 |
| | | | 4,178,579 |
| | Total U.S. Government Securities
(cost $11,667,704) | | $ 11,123,753 |
| COMMON STOCKS - 0.0% |
| | Automobiles & Components - 0.0% |
| 83 | Aptiv PLC* | $ 5,759 |
| | Health Care Equipment & Services - 0.0% |
| 17 | Becton Dickinson & Co. | 4,098 |
| | Total Common Stocks
(cost $12,865) | | $ 9,857 |
| PREFERRED STOCKS - 0.2% |
| | Utilities - 0.2% |
| 1,049 | NextEra Energy, Inc. (Preference Shares), 6.93% | $ 46,324 |
| 1,000 | NextEra Energy, Inc. (Preference Shares), 7.30%* | 52,050 |
| | Total Preferred Stocks
(cost $99,889) | | $ 98,374 |
| WARRANTS - 0.0% |
| | Energy - 0.0% |
| 1,500 | Maxeon Solar Technologies Ltd. Expires 01/15/2028*(10)(18) | $ — |
| | Total Warrants
(cost $—) | | $ — |
| | Total Long-Term Investments
(cost $60,100,461) | | $ 58,868,055 |
| SHORT-TERM INVESTMENTS - 0.4% |
| | Repurchase Agreements - 0.3% |
| 158,947 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $158,971; collateralized by U.S. Treasury Note at 4.88%, maturing 05/31/2026, with a market value of $162,277 | $ 158,947 |
| | Securities Lending Collateral - 0.1% |
| 9,925 | Goldman Sachs Financial Square Funds, Government Fund, Institutional Class, 5.22%(19) | 9,925 |
| 33,081 | HSBC U.S. Government Money Market Fund, Institutional Class, 5.24%(19) | 33,081 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| SHORT-TERM INVESTMENTS - 0.4% - (continued) |
| | Securities Lending Collateral - 0.1% - (continued) |
| 9,924 | Invesco Government & Agency Portfolio, Institutional Class, 5.22%(19) | $ 9,924 |
| 9,924 | Morgan Stanley Institutional Liquidity Funds, Government Portfolio, Institutional Class, 5.21%(19) | 9,924 |
| | | | 62,854 |
| | Total Short-Term Investments
(cost $221,801) | $ 221,801 |
| | Total Investments
(cost $60,322,262) | 104.1% | $ 59,089,856 |
| | Other Assets and Liabilities | (4.1)% | (2,328,904) |
| | Net Assets | 100.0% | $ 56,760,952 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | Equity industry classifications used in this report are the Global Industry Classification Standard, which was developed by and is the exclusive property and service mark of MSCI, Inc. and Standard & Poor’s. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| * | Non-income producing. |
| (1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $19,193,953, representing 33.8% of net assets. |
| (2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2024. Base lending rates may be subject to a floor or cap. |
| (3) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (4) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
| (5) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $11,287,458, representing 19.9% of net assets. |
| (6) | Security is a zero-coupon bond. |
| (7) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
| (8) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
| (9) | Share amount represents shares of the issuer previously held that resulted in receipt of the escrow. |
| (10) | Investment valued using significant unobservable inputs. |
| (11) | Represents entire or partial securities on loan. See Note 8 in the accompanying Notes to Financial Statements for securities lending information. |
| (12) | Non-income producing. For long-term debt securities, items identified are in default as to payment of interest and/or principal. |
| (13) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
| (14) | Senior floating rate interests generally pay interest rates which are periodically adjusted by reference to a base short-term, floating lending rate plus a premium. The base lending rates are primarily the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Senior floating rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. Base lending rates may be subject to a floor or cap. Unless otherwise noted, the interest rate disclosed for these securities represents the rate in effect as of July 31, 2024. |
| (15) | Represents or includes a TBA transaction. |
| (16) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of July 31, 2024, the market value of securities pledged was $753,025. |
| (17) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of July 31, 2024, the market value of securities pledged was $430,893. |
| (18) | Investment in securities not registered under the Securities Act of 1933 (excluding securities acquired pursuant to Rule 144A and Regulation S). At the end of the period, the value of such restricted securities amounted to $0 or 0.0% of net assets. |
Period
Acquired | | Security Name | | Shares/
Par Value | | Total Cost | | Market Value |
| 06/2024 | | Maxeon Solar Technologies Ltd. Expires 01/15/2028 Warrants | | 1,500 | | $ — | | $ — |
| (19) | Current yield as of period end. |
| Futures Contracts Outstanding at July 31, 2024 |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Long position contracts: |
| Canadian 10-Years Bond Future | | 12 | | 09/18/2024 | | $ 1,067,922 | | $ 23,160 |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Futures Contracts Outstanding at July 31, 2024 – (continued) |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Long position contracts – (continued): |
| U.S. Treasury 5-Year Note Future | | 47 | | 09/30/2024 | | $ 5,070,859 | | $ 89,593 |
| U.S. Treasury 10-Year Note Future | | 81 | | 09/19/2024 | | 9,056,813 | | 187,807 |
| U.S. Treasury 10-Year Ultra Future | | 2 | | 09/19/2024 | | 231,156 | | 2,760 |
| U.S. Treasury Ultra Bond Future | | 4 | | 09/19/2024 | | 511,875 | | (3,131) |
| Total | | | | | | | | $ 300,189 |
| Short position contracts: |
| Euro BUXL 30-Year Bond Future | | (1) | | 09/06/2024 | | $ (145,802) | | $ (7,187) |
| Euro-BOBL Future | | (33) | | 09/06/2024 | | (4,196,200) | | (71,963) |
| Euro-BUND Future | | (7) | | 09/06/2024 | | (1,012,965) | | (9,648) |
| Euro-Schatz Future | | (6) | | 09/06/2024 | | (688,703) | | (5,394) |
| Long Gilt Future | | (1) | | 09/26/2024 | | (127,443) | | (2,865) |
| U.S. Treasury 2-Year Note Future | | (36) | | 09/30/2024 | | (7,393,219) | | (2,319) |
| U.S. Treasury Long Bond Future | | (2) | | 09/19/2024 | | (241,562) | | (7,566) |
| Total | | | | | | | | $ (106,942) |
| Total futures contracts | | $ 193,247 |
| OTC Credit Default Swap Contracts Outstanding at July 31, 2024 |
| Reference Entity | | Counter-
party | | Notional
Amount(1) | | (Pay)/Receive
Fixed Rate | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| Credit default swaps on indices: |
| Sell protection: |
| CMBX.NA.BBB-.16 | | CBK | | USD | 330,000 | | 3.00% | | 04/17/2065 | | Monthly | | $ — | | $ (55,898) | | $ (50,896) | | $ 5,002 |
| CMBX.NA.BBB-.16 | | MSC | | USD | 80,000 | | 3.00% | | 04/17/2065 | | Monthly | | — | | (13,750) | | (12,338) | | 1,412 |
| CMBX.NA.BBB-.16 | | CBK | | USD | 80,000 | | 3.00% | | 04/17/2065 | | Monthly | | — | | (12,382) | | (12,378) | | 4 |
| CMBX.NA.BBB-.16 | | MSC | | USD | 65,000 | | 3.00% | | 04/17/2065 | | Monthly | | — | | (9,707) | | (10,057) | | (350) |
| CMBX.NA.BBB-.16 | | MSC | | USD | 70,000 | | 3.00% | | 04/17/2065 | | Monthly | | — | | (10,452) | | (10,831) | | (379) |
| CMBX.NA.BBB-.16 | | MSC | | USD | 65,000 | | 3.00% | | 04/17/2065 | | Monthly | | — | | (9,587) | | (10,058) | | (471) |
| Total OTC credit default swap contracts | | $ — | | $ (111,776) | | $ (106,558) | | $ 5,218 |
| (1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| Centrally Cleared Credit Default Swap Contracts Outstanding at July 31, 2024 |
| Reference Entity | | Notional
Amount(1) | | (Pay)/Receive
Fixed Rate | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| Credit default swaps on indices: | | |
| Buy protection: | | |
| CDX.EM.S41 | | USD | 800,343 | | (1.00%) | | 06/20/2029 | | Quarterly | | $ 21,026 | | $ — | | $ 21,969 | | $ 943 |
| Sell protection: | | |
| CDX.NA.HY.S42.V1 | | USD | 2,340,000 | | 5.00% | | 06/20/2029 | | Quarterly | | $ 154,629 | | $ — | | $ 175,283 | | $ 20,654 |
| ITRAXX-XOVER S41.V1 | | EUR | 1,930,000 | | 5.00% | | 06/20/2029 | | Quarterly | | 176,019 | | — | | 189,710 | | 13,691 |
| Total | | $ 330,648 | | $ — | | $ 364,993 | | $ 34,345 |
| Credit default swaps on single-name issues: | | | | | | | | | | | | | | | | | |
| Buy protection: | | |
| HSBC Holdings PLC | | EUR | 100,000 | | (1.00%) | | 06/20/2029 | | Quarterly | | $ — | | $ (736) | | $ (1,043) | | $ (307) |
| Total | | | | | | | | | | | $ — | | $ (736) | | $ (1,043) | | $ (307) |
| Total centrally cleared credit default swap contracts | | $ 351,674 | | $ (736) | | $ 385,919 | | $ 34,981 |
| (1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
| Centrally Cleared Interest Rate Swap Contracts Outstanding at July 31, 2024 |
Payments made
by Fund | | Payments received
by Fund | | Notional
Amount | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 80,000 | | 06/12/2035 | | Annual | | $ — | | $ — | | $ (540) | | $ (540) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 90,000 | | 06/12/2035 | | Annual | | — | | — | | (550) | | (550) |
| 3.66% Fixed | | 12 Mo. USD SOFR | | USD | 165,000 | | 06/12/2035 | | Annual | | — | | (11) | | (1,148) | | (1,137) |
| 3.67% Fixed | | 12 Mo. USD SOFR | | USD | 165,000 | | 06/12/2035 | | Annual | | — | | — | | (1,341) | | (1,341) |
| 3.74% Fixed | | 12 Mo. USD SOFR | | USD | 110,000 | | 06/12/2035 | | Annual | | — | | — | | (1,528) | | (1,528) |
| 3.88% Fixed | | 12 Mo. USD SOFR | | USD | 70,000 | | 06/12/2035 | | Annual | | — | | — | | (1,735) | | (1,735) |
| 3.87% Fixed | | 12 Mo. USD SOFR | | USD | 220,000 | | 06/12/2035 | | Annual | | — | | — | | (5,362) | | (5,362) |
| 2.97% Fixed | | 12 Mo. USD SOFR | | USD | 280,000 | | 03/15/2053 | | Annual | | 862 | | — | | 33,604 | | 32,742 |
| 2.88% Fixed | | 12 Mo. USD SOFR | | USD | 190,000 | | 03/15/2053 | | Annual | | 2,108 | | — | | 25,886 | | 23,778 |
| 3.25% Fixed | | 12 Mo. USD SOFR | | USD | 125,000 | | 06/21/2053 | | Annual | | — | | (1,260) | | 7,915 | | 9,175 |
| 3.59% Fixed | | 12 Mo. USD SOFR | | USD | 390,000 | | 09/20/2053 | | Annual | | 1,709 | | — | | 5,862 | | 4,153 |
| Total centrally cleared interest rate swaps contracts | | $ 4,679 | | $ (1,271) | | $ 61,063 | | $ 57,655 |
| Foreign Currency Contracts Outstanding at July 31, 2024 |
Amount and Description of
Currency to be Purchased | | Amount and Description of
Currency to be Sold | | Counterparty | | Settlement
Date | | Appreciation/
(Depreciation) |
| 6,800 | EUR | | 7,375 | USD | | JPM | | 08/30/2024 | | $ (6) |
| 92,000 | EUR | | 98,954 | USD | | CBK | | 09/18/2024 | | 829 |
| 147,000 | EUR | | 159,323 | USD | | CIB | | 09/18/2024 | | 112 |
| 59,100,000 | KZT | | 128,414 | USD | | GSC | | 09/18/2024 | | (4,758) |
| 166,301 | USD | | 250,000 | AUD | | SSG | | 09/18/2024 | | 2,847 |
| 2,171 | USD | | 3,000 | CAD | | RBC | | 08/30/2024 | | (3) |
| 164,025 | USD | | 225,000 | CAD | | CBK | | 09/18/2024 | | 919 |
| 6,301,082 | USD | | 5,798,800 | EUR | | DEUT | | 08/30/2024 | | 16,870 |
| 42,254 | USD | | 39,000 | EUR | | GSC | | 08/30/2024 | | (10) |
| 22,916 | USD | | 21,000 | EUR | | CIB | | 09/18/2024 | | 140 |
| 9,678 | USD | | 9,000 | EUR | | CBK | | 09/18/2024 | | (83) |
| 168,187 | USD | | 156,000 | EUR | | SSG | | 09/18/2024 | | (1,009) |
| 634,457 | USD | | 587,000 | EUR | | NWM | | 09/18/2024 | | (2,202) |
| 2,811,389 | USD | | 2,616,000 | EUR | | DEUT | | 09/18/2024 | | (25,915) |
| 1,005,346 | USD | | 781,120 | GBP | | BCLY | | 08/30/2024 | | 1,723 |
| 24,412 | USD | | 19,000 | GBP | | GSC | | 08/30/2024 | | — |
| 11,678 | USD | | 9,000 | GBP | | UBS | | 09/18/2024 | | 113 |
| 417,706 | USD | | 328,000 | GBP | | SCB | | 09/18/2024 | | (3,781) |
| 16,384 | USD | | 2,600,000 | JPY | | CBK | | 09/18/2024 | | (1,023) |
| 332,708 | USD | | 51,600,000 | JPY | | MSC | | 09/18/2024 | | (12,753) |
| Total foreign currency contracts | | $ (27,990) |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
The accompanying notes are an integral part of these financial statements.
Hartford Sustainable Income ETF
Schedule of Investments – (continued)
July 31, 2024
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Asset & Commercial Mortgage-Backed Securities | | $ 6,026,566 | | $ — | | $ 6,026,566 | | $ — |
| Convertible Bonds | | 3,579,664 | | — | | 3,579,664 | | — |
| Corporate Bonds | | 23,044,162 | | — | | 23,029,162 | | 15,000 |
| Foreign Government Obligations | | 3,470,319 | | — | | 3,470,319 | | — |
| Senior Floating Rate Interests | | 6,276,842 | | — | | 6,276,842 | | — |
| U.S. Government Agencies | | 5,238,518 | | — | | 5,238,518 | | — |
| U.S. Government Securities | | 11,123,753 | | — | | 11,123,753 | | — |
| Common Stocks | | | | | | | | |
| Automobiles & Components | | 5,759 | | 5,759 | | — | | — |
| Health Care Equipment & Services | | 4,098 | | 4,098 | | — | | — |
| Preferred Stocks | | 98,374 | | 98,374 | | — | | — |
| Warrants | | — | | — | | — | | — |
| Short-Term Investments | | 221,801 | | 62,854 | | 158,947 | | — |
| Foreign Currency Contracts(2) | | 23,553 | | — | | 23,553 | | — |
| Futures Contracts(2) | | 303,320 | | 303,320 | | — | | — |
| Swaps - Credit Default(2) | | 41,706 | | — | | 41,706 | | — |
| Swaps - Interest Rate(2) | | 69,848 | | — | | 69,848 | | — |
| Total | | $ 59,528,283 | | $ 474,405 | | $ 59,038,878 | | $ 15,000 |
| Liabilities | | | | | | | | |
| Foreign Currency Contracts(2) | | $ (51,543) | | $ — | | $ (51,543) | | $ — |
| Futures Contracts(2) | | (110,073) | | (110,073) | | — | | — |
| Swaps - Interest Rate(2) | | (12,193) | | — | | (12,193) | | — |
| Swaps - Credit Default(2) | | (1,507) | | — | | (1,507) | | — |
| Total | | $ (175,316) | | $ (110,073) | | $ (65,243) | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the year ended July 31, 2024 is not presented.
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% |
| | Asset-Backed - Automobile - 2.3% |
| $ 875,000 | American Credit Acceptance Receivables Trust 6.09%, 11/12/2027(1) | $ 877,273 |
| 1,077,750 | ARI Fleet Lease Trust 5.41%, 02/17/2032(1) | 1,076,785 |
| | Avis Budget Rental Car Funding AESOP LLC | |
| 1,535,000 | 5.36%, 06/20/2030(1) | 1,553,458 |
| 540,000 | 5.58%, 12/20/2030(1) | 543,355 |
| 1,065,000 | 5.90%, 08/21/2028(1) | 1,087,622 |
| | Bridgecrest Lending Auto Securitization Trust | |
| 1,565,000 | 5.43%, 08/15/2028 | 1,566,172 |
| 1,400,000 | 6.80%, 08/15/2029 | 1,424,482 |
| 1,095,920 | Chesapeake Funding II LLC 5.65%, 05/15/2035(1) | 1,100,442 |
| 955,000 | Citizens Auto Receivables Trust 5.03%, 10/15/2030(1) | 959,001 |
| 922,220 | CPS Auto Receivables Trust 5.91%, 08/16/2027(1) | 922,922 |
| 1,250,000 | Credit Acceptance Auto Loan Trust 5.68%, 03/15/2034(1) | 1,261,306 |
| | DT Auto Owner Trust | |
| 660,000 | 5.41%, 02/15/2029(1) | 658,017 |
| 1,065,000 | 6.07%, 03/15/2028(1) | 1,072,154 |
| | Enterprise Fleet Financing LLC | |
| 500,000 | 5.16%, 09/20/2030(1) | 505,400 |
| 885,000 | 5.42%, 10/22/2029(1) | 891,604 |
| 401,000 | Exeter Automobile Receivables Trust 6.11%, 09/15/2027 | 401,588 |
| | Flagship Credit Auto Trust | |
| 310,000 | 5.05%, 01/18/2028(1) | 308,073 |
| 830,000 | 5.21%, 05/15/2028(1) | 826,389 |
| 958,000 | 5.64%, 07/16/2029(1) | 962,758 |
| 455,000 | GM Financial Consumer Automobile Receivables Trust 5.16%, 08/16/2029 | 458,554 |
| 2,705,000 | Hertz Vehicle Financing III LLC 5.94%, 02/25/2028(1) | 2,736,881 |
| 1,650,000 | Hyundai Auto Lease Securitization Trust 5.35%, 05/15/2028(1) | 1,657,248 |
| 1,830,000 | OneMain Direct Auto Receivables Trust 5.41%, 11/14/2029(1) | 1,837,880 |
| | Prestige Auto Receivables Trust | |
| 1,440,000 | 5.71%, 05/15/2028(1) | 1,443,264 |
| 1,365,000 | 6.55%, 07/17/2028(1) | 1,368,506 |
| 250,000 | Santander Bank Auto Credit-Linked Notes 5.64%, 12/15/2033(1) | 251,670 |
| | Santander Drive Auto Receivables Trust | |
| 650,000 | 4.98%, 02/15/2028 | 646,993 |
| 965,000 | 5.24%, 05/15/2028 | 961,996 |
| 1,310,000 | 5.61%, 07/17/2028 | 1,315,351 |
| 1,400,000 | 5.77%, 12/15/2028 | 1,416,862 |
| 450,000 | 5.98%, 04/16/2029 | 458,472 |
| 935,000 | SBNA Auto Lease Trust 5.24%, 01/22/2029(1) | 938,751 |
| | SFS Auto Receivables Securitization Trust | |
| 360,000 | 5.38%, 01/21/2031(1) | 364,969 |
| 625,000 | 5.71%, 01/22/2030(1) | 638,083 |
| | Tricolor Auto Securitization Trust | |
| 74,979 | 6.48%, 08/17/2026(1) | 74,983 |
| 885,495 | 6.61%, 10/15/2027(1) | 888,399 |
| | Westlake Automobile Receivables Trust | |
| 150,507 | 1.65%, 02/17/2026(1) | 149,912 |
| 355,000 | 5.41%, 01/18/2028(1) | 354,393 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Asset-Backed - Automobile - 2.3% - (continued) |
| $ 2,070,000 | Wheels Fleet Lease Funding 1 LLC 6.46%, 08/18/2038(1) | $ 2,097,055 |
| 595,000 | World Omni Auto Receivables Trust 5.03%, 05/15/2029 | 596,415 |
| | | | 38,655,438 |
| | Asset-Backed - Manufactured Housing - 0.0% |
| 399,259 | Cascade MH Asset Trust 1.75%, 02/25/2046(1) | 349,238 |
| | Asset-Backed - Student Loan - 0.1% |
| | Navient Private Education Refi Loan Trust | |
| 507,958 | 0.97%, 12/16/2069(1) | 441,499 |
| 964,632 | 1.11%, 02/18/2070(1) | 831,851 |
| 1,216,216 | 5.51%, 10/15/2071(1) | 1,230,305 |
| | | | 2,503,655 |
| | Commercial Mortgage-Backed Securities - 4.6% |
| 1,549,000 | 280 Park Avenue Mortgage Trust 7.75%, 09/15/2034, 1 mo. USD Term SOFR + 2.42%(1)(2) | 1,400,009 |
| 1,420,000 | Aligned Data Centers Issuer LLC 6.00%, 08/17/2048(1) | 1,439,626 |
| 810,000 | ARZ Trust 6.07%, 06/11/2029(1) | 823,094 |
| 1,730,000 | BAMLL Commercial Mortgage Securities Trust 3.11%, 11/05/2032(1) | 1,609,500 |
| | BBCMS Mortgage Trust | |
| 10,322,227 | 1.01%, 05/15/2057(3)(4) | 804,116 |
| 6,351,379 | 1.63%, 02/15/2057(3)(4) | 675,990 |
| 530,000 | 3.66%, 04/15/2055(4) | 480,757 |
| 2,445,000 | 5.83%, 05/15/2057 | 2,591,320 |
| | Benchmark Mortgage Trust | |
| 18,710,977 | 0.45%, 07/15/2051(3)(4) | 253,040 |
| 12,509,569 | 0.46%, 01/15/2055(1)(3)(4) | 230,057 |
| 7,962,130 | 0.52%, 01/15/2051(3)(4) | 112,241 |
| 12,463,105 | 0.57%, 07/15/2056(3)(4) | 496,538 |
| 4,236,019 | 1.17%, 12/15/2056(3)(4) | 276,887 |
| 7,431,290 | 1.22%, 03/15/2062(3)(4) | 348,540 |
| 3,628,936 | 1.51%, 01/15/2054(3)(4) | 267,468 |
| 1,796,476 | 1.78%, 07/15/2053(3)(4) | 103,959 |
| 2,200,000 | 3.88%, 02/15/2051(4) | 2,082,900 |
| | BMO Mortgage Trust | |
| 9,764,000 | 1.08%, 07/15/2057(3)(4) | 670,321 |
| 3,607,000 | 5.76%, 07/15/2057 | 3,777,734 |
| | BPR Trust | |
| 3,055,000 | 7.62%, 10/05/2038(1)(4) | 3,162,696 |
| 1,180,000 | 8.56%, 08/15/2039, 1 mo. USD Term SOFR + 3.23%(1)(2) | 1,177,924 |
| | BX Trust | |
| 580,000 | 7.40%, 05/15/2035, 1 mo. USD Term SOFR + 2.07%(1)(2) | 577,100 |
| 2,350,080 | 7.78%, 08/15/2039, 1 mo. USD Term SOFR + 2.45%(1)(2) | 2,351,534 |
| 273,000 | 8.37%, 03/15/2041, 1 mo. USD Term SOFR + 3.04%(1)(2) | 272,659 |
| 785,000 | CAMB Commercial Mortgage Trust 8.18%, 12/15/2037, 1 mo. USD Term SOFR + 2.85%(1)(2) | 780,885 |
| 1,527,000 | CD Mortgage Trust 3.63%, 02/10/2050 | 1,429,700 |
| | CF Hippolyta Issuer LLC | |
| 254,461 | 1.53%, 03/15/2061(1) | 238,073 |
| 597,632 | 1.69%, 07/15/2060(1) | 570,412 |
| 193,202 | 1.98%, 03/15/2061(1) | 174,451 |
| 832,642 | 1.99%, 07/15/2060(1) | 733,143 |
| 384,012 | 5.97%, 08/15/2062(1) | 381,484 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Commercial Mortgage-Backed Securities - 4.6% - (continued) |
| $ 766,000 | Citigroup Commercial Mortgage Trust 4.01%, 11/15/2049(4) | $ 605,975 |
| | Commercial Mortgage Trust | |
| 389,000 | 2.82%, 01/10/2039(1) | 356,722 |
| 700,000 | 3.18%, 02/10/2035(1) | 658,461 |
| 1,470,000 | 3.61%, 08/10/2049(1)(4) | 1,451,205 |
| 395,000 | 3.90%, 01/10/2039(1)(4) | 350,568 |
| 2,240,000 | 7.23%, 08/10/2044(1)(4) | 2,268,931 |
| 11,752,376 | CSAIL Commercial Mortgage Trust 0.70%, 06/15/2057(3)(4) | 18,088 |
| | DBJPM Mortgage Trust | |
| 3,883,529 | 1.70%, 09/15/2053(3)(4) | 192,983 |
| 2,660,000 | 2.89%, 08/10/2049 | 2,520,908 |
| | DC Trust | |
| 645,000 | 5.73%, 04/13/2028(1)(4) | 646,658 |
| 320,000 | 7.04%, 04/13/2028(1)(4) | 324,856 |
| 2,570,000 | FS Commercial Mortgage Trust 7.54%, 11/10/2039(1)(4) | 2,679,300 |
| 3,290,000 | GS Mortgage Securities Corp. II 5.70%, 03/10/2041(1)(4) | 3,261,508 |
| | GS Mortgage Securities Trust | |
| 6,513,616 | 0.66%, 02/13/2053(3)(4) | 173,290 |
| 2,000,000 | 3.05%, 05/10/2049 | 1,924,128 |
| 2,440,000 | 3.43%, 08/10/2050 | 2,300,524 |
| 890,000 | 3.63%, 11/10/2047 | 884,557 |
| | HTL Commercial Mortgage Trust | |
| 910,000 | 6.56%, 05/10/2039(1)(4) | 917,266 |
| 500,000 | 7.09%, 05/10/2039(1)(4) | 504,579 |
| 415,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2.81%, 01/16/2037(1) | 366,358 |
| 35,710 | JPMBB Commercial Mortgage Securities Trust 3.93%, 09/15/2047 | 35,616 |
| 2,050,000 | JPMCC Commercial Mortgage Securities Trust 3.72%, 03/15/2050 | 1,960,983 |
| 1,410,000 | Morgan Stanley Bank of America Merrill Lynch Trust 3.53%, 12/15/2047 | 1,399,068 |
| 3,668,878 | Morgan Stanley Capital I Trust 1.30%, 06/15/2050(3)(4) | 87,268 |
| 1,976,058 | MSWF Commercial Mortgage Trust 0.91%, 12/15/2056(3)(4) | 127,198 |
| 3,580,000 | New Economy Assets Phase 1 Sponsor LLC 1.91%, 10/20/2061(1) | 3,236,289 |
| 1,450,000 | NJ Trust 6.48%, 01/06/2029(1)(4) | 1,507,210 |
| 2,610,000 | Retained Vantage Data Centers Issuer LLC 5.00%, 09/15/2048(1) | 2,540,908 |
| 2,680,000 | TYSN Mortgage Trust 6.58%, 12/10/2033(1)(4) | 2,798,923 |
| | Wells Fargo NA | |
| 11,276,683 | 0.42%, 02/15/2055(3)(4) | 290,218 |
| 5,690,658 | 0.59%, 11/15/2062(3)(4) | 149,621 |
| 13,919,502 | 0.63%, 11/15/2062(3)(4) | 409,164 |
| 15,333,965 | 0.69%, 02/15/2061(3)(4) | 310,982 |
| 5,733,886 | 0.71%, 11/15/2050(3)(4) | 110,363 |
| 3,484,685 | 0.75%, 11/15/2054(3)(4) | 70,016 |
| 9,839,838 | 0.82%, 06/15/2057(3)(4) | 605,278 |
| 3,421,483 | 0.88%, 05/15/2062(3)(4) | 116,353 |
| 10,534,290 | 0.88%, 01/15/2063(3)(4) | 388,982 |
| 8,985,410 | 0.99%, 02/15/2056(3)(4) | 544,670 |
| 2,540,548 | 1.00%, 12/15/2056(3)(4) | 94,598 |
| 7,117,177 | 1.76%, 03/15/2063(3)(4) | 594,775 |
| 1,790,000 | 3.44%, 09/15/2060 | 1,703,465 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Commercial Mortgage-Backed Securities - 4.6% - (continued) |
| $ 3,755,000 | 5.72%, 06/15/2057 | $ 3,938,470 |
| 1,025,000 | WFRBS Commercial Mortgage Trust 3.61%, 11/15/2047 | 1,019,158 |
| | | | 76,740,599 |
| | Other Asset-Backed Securities - 5.5% |
| 115,565 | AASET Trust 3.35%, 01/16/2040(1) | 109,500 |
| | Affirm Asset Securitization Trust | |
| 1,035,000 | 5.61%, 02/15/2029(1) | 1,038,017 |
| 895,000 | 6.61%, 01/18/2028(1) | 898,184 |
| 970,000 | Aligned Data Centers Issuer LLC 1.94%, 08/15/2046(1) | 903,492 |
| 3,625,000 | AMSR Trust 2.12%, 12/17/2038(1) | 3,381,100 |
| 505,000 | Amur Equipment Finance Receivables XIII LLC 5.37%, 01/21/2031(1) | 508,323 |
| 2,795,000 | Ares XLIII CLO Ltd. 7.26%, 07/15/2034, 3 mo. USD Term SOFR + 1.96%(1)(2) | 2,802,650 |
| 1,260,000 | Auxilior Term Funding LLC 5.49%, 07/15/2031(1) | 1,272,055 |
| 2,085,000 | Barings CLO Ltd. 7.37%, 01/20/2037, 3 mo. USD Term SOFR + 2.10%(1)(2) | 2,100,769 |
| 1,300,000 | Benefit Street Partners CLO XXXI Ltd. 7.63%, 04/25/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) | 1,307,814 |
| 68,257 | BHG Securitization Trust 0.90%, 10/17/2034(1) | 67,334 |
| 1,440,000 | BlueMountain CLO XXIV Ltd. 6.64%, 04/20/2034, 3 mo. USD Term SOFR + 1.36%(1)(2) | 1,439,734 |
| 3,730,000 | CBAM Ltd. 7.40%, 07/17/2034, 3 mo. USD Term SOFR + 2.11%(1)(2) | 3,744,073 |
| 337,279 | Cirrus Funding Ltd. 4.80%, 01/25/2037(1) | 332,193 |
| 400,000 | CNH Equipment Trust 4.77%, 10/15/2030 | 398,764 |
| 1,441,589 | Commercial Equipment Finance LLC 5.97%, 07/16/2029(1) | 1,447,074 |
| 760,000 | DLLAA LLC 5.64%, 02/22/2028(1) | 768,724 |
| | Domino's Pizza Master Issuer LLC | |
| 4,554,218 | 2.66%, 04/25/2051(1) | 4,103,182 |
| 667,200 | 3.67%, 10/25/2049(1) | 618,533 |
| 47,375 | 4.12%, 07/25/2048(1) | 46,479 |
| 2,070,000 | Elmwood CLO 19 Ltd. 7.69%, 10/17/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) | 2,101,946 |
| 1,215,000 | Elmwood CLO 23 Ltd. 7.54%, 04/16/2036, 3 mo. USD Term SOFR + 2.25%(1)(2) | 1,221,075 |
| | FirstKey Homes Trust | |
| 1,974,840 | 1.38%, 09/17/2038(1) | 1,824,770 |
| 1,522,168 | 2.14%, 12/17/2038(1) | 1,420,031 |
| 668,339 | 4.15%, 05/19/2039(1) | 651,116 |
| 2,481,773 | 4.25%, 07/17/2039(1) | 2,425,015 |
| 950,000 | GoldenTree Loan Management U.S. CLO 15 Ltd. 7.68%, 10/20/2036, 3 mo. USD Term SOFR + 2.40%(1)(2) | 965,274 |
| 1,160,000 | Golub Capital Partners CLO 68B Ltd. 8.08%, 07/25/2036, 3 mo. USD Term SOFR + 2.80%(1)(2) | 1,180,400 |
| 450,000 | GreatAmerica Leasing Receivables Funding LLC 5.18%, 12/16/2030(1) | 452,556 |
| 780,000 | Invesco U.S. CLO Ltd. 7.58%, 04/21/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) | 782,633 |
| 1,455,000 | Madison Park Funding LXVII Ltd. 6.80%, 04/25/2037, 3 mo. USD Term SOFR + 1.51%(1)(2) | 1,457,746 |
| 1,300,000 | MF1 Ltd. 7.09%, 02/19/2037, 1 mo. USD Term SOFR + 1.75%(1)(2) | 1,277,961 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Other Asset-Backed Securities - 5.5% - (continued) |
| $ 96,217 | NRZ Excess Spread-Collateralized Notes 3.84%, 12/25/2025(1) | $ 93,294 |
| 4,400,000 | OCP CLO Ltd. 6.81%, 04/18/2037, 3 mo. USD Term SOFR + 1.53%(1)(2) | 4,417,173 |
| 1,695,000 | Octagon 61 Ltd. 7.63%, 04/20/2036, 3 mo. USD Term SOFR + 2.35%(1)(2) | 1,700,929 |
| | Progress Residential Trust | |
| 1,705,993 | 1.51%, 10/17/2038(1) | 1,580,495 |
| 627,169 | 3.20%, 04/17/2039(1) | 596,798 |
| 1,739,766 | 4.44%, 05/17/2041(1) | 1,697,307 |
| 446,291 | 4.45%, 06/17/2039(1) | 439,199 |
| 749,727 | 4.75%, 10/27/2039(1) | 739,755 |
| 2,010,000 | RR 1 LLC 6.71%, 07/15/2035, 3 mo. USD Term SOFR + 1.41%(1)(2) | 2,014,215 |
| 2,950,000 | RR 23 Ltd. 7.95%, 10/15/2035, 3 mo. USD Term SOFR + 2.65%(1)(2) | 2,969,181 |
| 1,185,000 | RR 26 Ltd. 7.55%, 04/15/2038, 3 mo. USD Term SOFR + 2.25%(1)(2) | 1,187,622 |
| 153,327 | Sapphire Aviation Finance II Ltd. 3.23%, 03/15/2040(1) | 140,713 |
| | SCF Equipment Leasing LLC | |
| 955,000 | 5.56%, 04/20/2032(1) | 973,738 |
| 1,667,102 | 6.56%, 01/22/2030(1) | 1,682,180 |
| 136,279 | Sound Point CLO II Ltd. 6.61%, 01/26/2031, 3 mo. USD Term SOFR + 1.33%(1)(2) | 136,331 |
| 2,270,000 | Sound Point CLO XXIX Ltd. 6.62%, 04/25/2034, 3 mo. USD Term SOFR + 1.33%(1)(2) | 2,270,831 |
| | Stack Infrastructure Issuer LLC | |
| 310,000 | 1.89%, 08/25/2045(1) | 296,855 |
| 1,480,000 | 5.90%, 07/25/2048(1) | 1,494,775 |
| 855,000 | 5.90%, 03/25/2049(1) | 868,443 |
| 2,510,000 | Subway Funding LLC 6.03%, 07/30/2054(1) | 2,561,065 |
| 490,000 | Summit Issuer LLC 2.29%, 12/20/2050(1) | 466,648 |
| 837,886 | Sunnova Hestia II Issuer LLC 5.63%, 07/20/2051(1) | 848,525 |
| 2,590,000 | Symphony CLO XXV Ltd. 6.52%, 04/19/2034, 3 mo. USD Term SOFR + 1.24%(1)(2) | 2,578,671 |
| 1,445,000 | Texas Debt Capital CLO Ltd. 7.58%, 04/20/2036, 3 mo. USD Term SOFR + 2.30%(1)(2) | 1,450,151 |
| 640,000 | Tricon Residential Trust 4.75%, 06/17/2040(1) | 632,196 |
| 1,115,000 | Vantage Data Centers Issuer LLC 1.65%, 09/15/2045(1) | 1,065,270 |
| 1,890,000 | Vantage Data Centers LLC 1.99%, 09/15/2045(1) | 1,705,347 |
| 1,865,000 | VB-S1 Issuer LLC 5.59%, 05/15/2054(1) | 1,882,184 |
| 2,270,000 | Venture 42 CLO Ltd. 6.69%, 04/15/2034, 3 mo. USD Term SOFR + 1.39%(1)(2) | 2,269,716 |
| 915,000 | Venture 43 CLO Ltd. 6.80%, 04/15/2034, 3 mo. USD Term SOFR + 1.50%(1)(2) | 916,081 |
| 1,817,673 | Wellfleet CLO X Ltd. 6.71%, 07/20/2032, 3 mo. USD Term SOFR + 1.43%(1)(2) | 1,821,810 |
| | Wendy's Funding LLC | |
| 2,094,609 | 2.37%, 06/15/2051(1) | 1,842,598 |
| 3,224,271 | 2.78%, 06/15/2051(1) | 2,743,386 |
| 1,062,991 | 3.88%, 03/15/2048(1) | 1,010,629 |
| 674,725 | Wingstop Funding LLC 2.84%, 12/05/2050(1) | 621,483 |
| | | | 92,764,111 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Whole Loan Collateral CMO - 6.4% |
| $ 902,587 | 510 Asset-Backed Trust 5.24%, 06/25/2061(1)(5) | $ 888,297 |
| 309,502 | Ajax Mortgage Loan Trust 2.12%, 01/25/2061(1)(5) | 302,748 |
| | Angel Oak Mortgage Trust | |
| 439,661 | 0.91%, 01/25/2066(1)(4) | 377,120 |
| 1,093,063 | 0.95%, 07/25/2066(1)(4) | 923,050 |
| 240,571 | 0.99%, 04/25/2053(1)(4) | 223,636 |
| 419,864 | 0.99%, 04/25/2066(1)(4) | 360,002 |
| 1,709,127 | 1.07%, 05/25/2066(1)(4) | 1,442,277 |
| 445,580 | 1.24%, 01/20/2065(1)(4) | 368,699 |
| 2,044,999 | 1.46%, 09/25/2066(1)(4) | 1,671,923 |
| 811,885 | 1.82%, 11/25/2066(1)(4) | 707,714 |
| 3,749,282 | 2.88%, 12/25/2066(1)(5) | 3,439,839 |
| 33,613 | Bear Stearns ARM Trust 6.52%, 08/25/2035(4) | 32,278 |
| 529,034 | BINOM Securitization Trust 2.03%, 06/25/2056(1)(4) | 464,414 |
| | BRAVO Residential Funding Trust | |
| 265,728 | 0.94%, 02/25/2049(1)(4) | 236,590 |
| 215,971 | 0.97%, 03/25/2060(1)(4) | 202,338 |
| 2,189,415 | CHNGE Mortgage Trust 3.76%, 03/25/2067(1)(4) | 2,079,018 |
| 48,721 | Citigroup Mortgage Loan Trust, Inc. 3.25%, 03/25/2061(1)(4) | 47,090 |
| | COLT Mortgage Loan Trust | |
| 188,647 | 0.80%, 07/27/2054(1) | 165,170 |
| 710,167 | 0.91%, 06/25/2066(1)(4) | 597,566 |
| 3,405,051 | 0.96%, 09/27/2066(1)(4) | 2,769,280 |
| 881,766 | 1.34%, 08/25/2066(1)(4) | 733,606 |
| 2,084,637 | 1.40%, 10/25/2066(1)(4) | 1,724,070 |
| 2,194,622 | 2.28%, 12/27/2066(1)(4) | 1,937,594 |
| 367,100 | 4.30%, 03/25/2067(1)(4) | 359,872 |
| | CSMC Trust | |
| 182,961 | 0.81%, 05/25/2065(1)(4) | 162,080 |
| 505,654 | 0.83%, 03/25/2056(1)(4) | 412,605 |
| 662,646 | 0.94%, 05/25/2066(1)(4) | 541,565 |
| 1,057,816 | 1.10%, 05/25/2066(1)(4) | 895,425 |
| 859,388 | 1.18%, 02/25/2066(1)(4) | 748,886 |
| 875,019 | 1.84%, 10/25/2066(1)(4) | 762,657 |
| 2,501,681 | 2.27%, 11/25/2066(1)(4) | 2,234,901 |
| 445,872 | 4.06%, 12/27/2060(1)(4) | 440,523 |
| 290,955 | Deephaven Residential Mortgage Trust 0.90%, 04/25/2066(1)(4) | 253,538 |
| | Ellington Financial Mortgage Trust | |
| 104,376 | 0.80%, 02/25/2066(1)(4) | 88,373 |
| 302,757 | 0.93%, 06/25/2066(1)(4) | 250,450 |
| 2,299,990 | 2.21%, 01/25/2067(1)(4) | 1,975,585 |
| | Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust | |
| 599,663 | 2.50%, 08/25/2059 | 499,918 |
| 263,970 | 3.50%, 08/25/2057(4) | 250,087 |
| 474,684 | 3.50%, 11/25/2057 | 434,524 |
| 1,266,540 | 3.50%, 07/25/2058 | 1,146,842 |
| 480,203 | 3.50%, 08/25/2058 | 441,453 |
| 1,715,379 | 3.50%, 10/25/2058 | 1,543,748 |
| | Federal National Mortgage Association Connecticut Avenue Securities | |
| 430,000 | 7.15%, 01/25/2044, 30 day USD SOFR Average + 1.80%(1)(2) | 433,440 |
| 615,000 | 7.15%, 02/25/2044, 30 day USD SOFR Average + 1.80%(1)(2) | 618,744 |
| 74,311 | 7.61%, 11/25/2039, 30 day USD SOFR Average + 2.26%(1)(2) | 75,599 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Whole Loan Collateral CMO - 6.4% - (continued) |
| $ 69,386 | 7.66%, 08/25/2030, 30 day USD SOFR Average + 2.31%(2) | $ 70,644 |
| 85,986 | 7.81%, 01/25/2031, 30 day USD SOFR Average + 2.46%(2) | 87,920 |
| 520,000 | 7.85%, 02/25/2044, 30 day USD SOFR Average + 2.50%(1)(2) | 531,322 |
| 1,585,000 | 8.05%, 07/25/2043, 30 day USD SOFR Average + 2.70%(1)(2) | 1,655,707 |
| 555,800 | 8.45%, 10/25/2041, 30 day USD SOFR Average + 3.10%(1)(2) | 572,609 |
| 792,000 | 8.45%, 06/25/2043, 30 day USD SOFR Average + 3.10%(1)(2) | 837,785 |
| 1,309,000 | 8.50%, 12/25/2041, 30 day USD SOFR Average + 3.15%(1)(2) | 1,354,323 |
| 3,085,000 | 8.60%, 09/25/2043, 30 day USD SOFR Average + 3.25%(1)(2) | 3,239,558 |
| 276,269 | 9.01%, 07/25/2029, 30 day USD SOFR Average + 3.66%(2) | 285,679 |
| 231,334 | 9.81%, 05/25/2029, 30 day USD SOFR Average + 4.46%(2) | 243,745 |
| 2,955,000 | 9.85%, 01/25/2042, 30 day USD SOFR Average + 4.50%(1)(2) | 3,112,556 |
| | GCAT Trust | |
| 504,774 | 0.87%, 01/25/2066(1)(4) | 419,118 |
| 605,689 | 1.04%, 05/25/2066(1)(4) | 502,493 |
| 818,820 | 1.09%, 05/25/2066(1)(4) | 684,475 |
| 1,188,598 | 1.09%, 08/25/2066(1)(4) | 976,639 |
| 591,355 | 1.92%, 08/25/2066(1)(4) | 538,929 |
| | Imperial Fund Mortgage Trust | |
| 658,914 | 1.07%, 09/25/2056(1)(4) | 545,091 |
| 2,436,947 | 3.64%, 03/25/2067(1)(5) | 2,259,955 |
| | Legacy Mortgage Asset Trust | |
| 319,148 | 1.65%, 11/25/2060(1)(5) | 309,326 |
| 424,045 | 4.75%, 04/25/2061(1)(5) | 414,494 |
| 601,333 | 4.75%, 07/25/2061(1)(5) | 585,788 |
| 479,956 | MetLife Securitization Trust 3.75%, 03/25/2057(1)(4) | 456,563 |
| | MFA Trust | |
| 60,818 | 1.01%, 01/26/2065(1)(4) | 56,101 |
| 474,767 | 1.03%, 11/25/2064(1)(4) | 414,008 |
| 303,787 | 1.15%, 04/25/2065(1)(4) | 273,762 |
| 4,870 | Mill City Mortgage Loan Trust 2.75%, 01/25/2061(1)(4) | 4,815 |
| | New Residential Mortgage Loan Trust | |
| 381,223 | 0.94%, 07/25/2055(1)(4) | 337,462 |
| 238,996 | 0.94%, 10/25/2058(1)(4) | 220,000 |
| 2,492,499 | 1.16%, 11/27/2056(1)(4) | 2,121,937 |
| 2,232,025 | 2.28%, 04/25/2061(1)(4) | 1,935,987 |
| 401,176 | 3.50%, 12/25/2057(1)(4) | 383,292 |
| 319,430 | 3.82%, 09/25/2057(1)(4) | 298,795 |
| 249,564 | 4.00%, 04/25/2057(1)(4) | 237,490 |
| 263,218 | 4.00%, 08/27/2057(1)(4) | 252,142 |
| 108,822 | 6.21%, 01/25/2048, 1 mo. USD Term SOFR + 0.86%(1)(2) | 106,401 |
| 1,285,151 | NMLT Trust 1.19%, 05/25/2056(1)(4) | 1,079,133 |
| | OBX Trust | |
| 849,802 | 1.05%, 07/25/2061(1)(4) | 675,024 |
| 786,011 | 1.07%, 02/25/2066(1)(4) | 685,416 |
| 1,984,420 | 2.31%, 11/25/2061(1)(4) | 1,740,436 |
| | PRET LLC | |
| 579,951 | 1.74%, 07/25/2051(1)(5) | 559,581 |
| 618,316 | 4.87%, 07/25/2051(1)(5) | 595,322 |
| 4,429,209 | 7.52%, 04/27/2054(1)(5) | 4,464,730 |
| Shares or Principal Amount | | Market Value† |
| ASSET & COMMERCIAL MORTGAGE-BACKED SECURITIES - 18.9% - (continued) |
| | Whole Loan Collateral CMO - 6.4% - (continued) |
| $ 689,991 | Pretium Mortgage Credit Partners I LLC 4.99%, 06/27/2060(1)(5) | $ 672,615 |
| 1,106,175 | Pretium Mortgage Credit Partners LLC 4.99%, 02/25/2061(1)(5) | 1,084,153 |
| | PRPM LLC | |
| 296,090 | 1.32%, 07/25/2051(1)(5) | 269,176 |
| 1,349,673 | 2.36%, 10/25/2026(1)(5) | 1,318,612 |
| 646,585 | 2.49%, 10/25/2026(1)(5) | 633,412 |
| 810,388 | 4.79%, 06/25/2026(1)(5) | 796,947 |
| 661,206 | 4.79%, 07/25/2026(1)(5) | 636,882 |
| 1,180,688 | 4.87%, 04/25/2026(1)(5) | 1,153,469 |
| 164,490 | 5.36%, 11/25/2025(1)(5) | 163,967 |
| 183,415 | Residential Mortgage Loan Trust 0.86%, 01/25/2065(1)(4) | 171,766 |
| 1,191,615 | SG Residential Mortgage Trust 1.16%, 07/25/2061(1)(4) | 982,876 |
| 1,532,954 | STAR Trust 1.22%, 05/25/2065(1)(4) | 1,391,589 |
| | Starwood Mortgage Residential Trust | |
| 202,695 | 0.94%, 05/25/2065(1)(4) | 184,833 |
| 981,954 | 1.13%, 06/25/2056(1)(4) | 826,695 |
| 1,348,728 | 1.92%, 11/25/2066(1)(4) | 1,164,918 |
| | Towd Point Mortgage Trust | |
| 658,118 | 1.75%, 10/25/2060(1) | 589,691 |
| 696,760 | 2.90%, 10/25/2059(1)(4) | 656,820 |
| 1,988,240 | 2.92%, 11/30/2060(1)(4) | 1,658,170 |
| 442,930 | 3.25%, 03/25/2058(1)(4) | 431,723 |
| 53,523 | 3.25%, 07/25/2058(1)(4) | 52,075 |
| 35,970 | 3.75%, 05/25/2058(1)(4) | 35,023 |
| 488,313 | TRK Trust 1.15%, 07/25/2056(1)(4) | 424,576 |
| | VCAT LLC | |
| 2,565,039 | 1.87%, 08/25/2051(1)(5) | 2,497,673 |
| 40,279 | 4.74%, 05/25/2051(1)(5) | 39,207 |
| 70,710 | 5.12%, 03/27/2051(1)(5) | 70,396 |
| | Verus Securitization Trust | |
| 113,668 | 0.82%, 10/25/2063(1)(4) | 105,778 |
| 360,799 | 0.92%, 02/25/2064(1)(4) | 326,408 |
| 1,871,680 | 0.94%, 07/25/2066(1)(4) | 1,517,523 |
| 4,322,572 | 1.01%, 09/25/2066(1)(4) | 3,622,899 |
| 312,105 | 1.03%, 02/25/2066(1)(4) | 275,721 |
| 899,181 | 1.82%, 11/25/2066(1)(4) | 800,253 |
| 1,839,703 | 1.83%, 10/25/2066(1)(5) | 1,623,508 |
| 1,512,947 | 2.72%, 01/25/2067(1)(5) | 1,383,117 |
| 2,533,590 | 3.80%, 04/25/2067(1)(5) | 2,407,820 |
| 1,284,444 | 4.13%, 02/25/2067(1)(5) | 1,212,526 |
| 354,543 | VOLT C LLC 4.99%, 05/25/2051(1)(5) | 343,095 |
| 947,655 | VOLT CII LLC 4.87%, 08/25/2051(1)(5) | 908,824 |
| 545,758 | VOLT XCIII LLC 4.89%, 02/27/2051(1)(5) | 543,183 |
| 446,895 | VOLT XCIV LLC 5.24%, 02/27/2051(1)(5) | 444,092 |
| 560,307 | VOLT XCIX LLC 5.12%, 04/25/2051(1)(5) | 549,763 |
| 430,766 | VOLT XCV LLC 5.24%, 03/27/2051(1)(5) | 419,664 |
| 480,868 | VOLT XCVII LLC 5.24%, 04/25/2051(1)(5) | 474,095 |
| | | | 107,257,220 |
| | Total Asset & Commercial Mortgage-Backed Securities
(cost $327,951,390) | $ 318,270,261 |
| CORPORATE BONDS - 26.1% |
| | Advertising - 0.1% |
| | Lamar Media Corp. | |
| 2,745,000 | 3.63%, 01/15/2031 | $ 2,439,070 |
| 80,000 | 4.88%, 01/15/2029 | 77,662 |
| | | | 2,516,732 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Aerospace/Defense - 0.4% |
| $ 825,000 | BAE Systems PLC 5.13%, 03/26/2029(1) | $ 833,234 |
| | Boeing Co. | |
| 245,000 | 3.60%, 05/01/2034 | 202,957 |
| 130,000 | 3.75%, 02/01/2050 | 88,526 |
| 1,130,000 | 5.93%, 05/01/2060 | 1,035,323 |
| 740,000 | 6.30%, 05/01/2029(1) | 763,341 |
| 480,000 | 6.39%, 05/01/2031(1) | 499,406 |
| | L3Harris Technologies, Inc. | |
| 890,000 | 5.05%, 06/01/2029 | 897,247 |
| 1,170,000 | 5.35%, 06/01/2034 | 1,181,870 |
| 26,000 | 5.40%, 07/31/2033 | 26,389 |
| 505,000 | Northrop Grumman Corp. 5.15%, 05/01/2040 | 491,856 |
| | | | 6,020,149 |
| | Agriculture - 0.3% |
| | BAT Capital Corp. | |
| 26,700 | 3.56%, 08/15/2027 | 25,674 |
| 860,000 | 5.83%, 02/20/2031 | 889,689 |
| | Philip Morris International, Inc. | |
| 25,000 | 1.75%, 11/01/2030 | 20,857 |
| 182,000 | 4.88%, 11/15/2043 | 166,598 |
| 305,000 | 5.13%, 11/17/2027 | 308,391 |
| 1,715,000 | 5.13%, 02/15/2030 | 1,737,451 |
| 995,000 | 5.13%, 02/13/2031 | 1,005,702 |
| 380,000 | 5.38%, 02/15/2033 | 386,155 |
| 1,160,000 | 5.63%, 09/07/2033 | 1,195,349 |
| | | | 5,735,866 |
| | Apparel - 0.2% |
| 410,000 | Hanesbrands, Inc. 4.88%, 05/15/2026(1) | 401,979 |
| | Tapestry, Inc. | |
| 302,000 | 7.05%, 11/27/2025 | 307,782 |
| 1,020,000 | 7.35%, 11/27/2028 | 1,068,807 |
| 228,000 | 7.70%, 11/27/2030 | 240,694 |
| 1,904,000 | William Carter Co. 5.63%, 03/15/2027(1) | 1,882,970 |
| | | | 3,902,232 |
| | Beverages - 0.0% |
| 100,000 | Bacardi Ltd./Bacardi-Martini BV 5.25%, 01/15/2029(1) | 100,345 |
| | Biotechnology - 0.3% |
| 1,913,000 | Amgen, Inc. 5.25%, 03/02/2033 | 1,938,059 |
| | Royalty Pharma PLC | |
| 32,000 | 1.20%, 09/02/2025 | 30,611 |
| 1,724,000 | 2.15%, 09/02/2031 | 1,421,398 |
| 605,000 | 2.20%, 09/02/2030 | 514,763 |
| 540,000 | 5.15%, 09/02/2029 | 541,901 |
| 245,000 | 5.40%, 09/02/2034 | 243,870 |
| | | | 4,690,602 |
| | Chemicals - 0.3% |
| | Celanese U.S. Holdings LLC | |
| 610,000 | 6.17%, 07/15/2027 | 624,994 |
| 1,309,000 | 6.33%, 07/15/2029 | 1,365,607 |
| 40,000 | 6.35%, 11/15/2028 | 41,688 |
| 660,000 | 6.55%, 11/15/2030 | 699,767 |
| 1,500,000 | OCP SA 6.75%, 05/02/2034(1) | 1,563,441 |
| | | | 4,295,497 |
| | Commercial Banks - 6.4% |
| 1,000,000 | ABN AMRO Bank NV 6.34%, 09/18/2027, (6.34% fixed rate until 09/18/2026; 1 yr. USD CMT + 1.65% thereafter)(1)(6) | 1,021,737 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| EUR 500,000 | Banca Comerciala Romana SA 7.63%, 05/19/2027, (7.63% fixed rate until 05/19/2026; 3 mo. EURIBOR + 4.54% thereafter)(6)(7) | $ 568,381 |
| 1,085,000 | Banca Transilvania SA 8.88%, 04/27/2027, (8.88% fixed rate until 04/27/2026; 1 yr. EURIBOR ICE Swap + 5.58% thereafter)(6)(7) | 1,241,353 |
| $ 1,400,000 | Banco Santander SA 5.44%, 07/15/2031 | 1,418,653 |
| | Bank of America Corp. | |
| 200,000 | 1.66%, 03/11/2027, (1.66% fixed rate until 03/11/2026; 3 mo. USD SOFR + 0.910% thereafter)(6) | 189,140 |
| 1,705,000 | 1.90%, 07/23/2031, (1.90% fixed rate until 07/23/2030; 6 mo. USD SOFR + 1.53% thereafter)(6) | 1,432,701 |
| 1,190,000 | 1.92%, 10/24/2031, (1.92% fixed rate until 10/24/2030; 6 mo. USD SOFR + 1.37% thereafter)(6) | 993,618 |
| 1,727,000 | 2.50%, 02/13/2031, (2.50% fixed rate until 02/13/2030; 3 mo. USD Term SOFR + 1.25% thereafter)(6) | 1,519,373 |
| 514,000 | 2.57%, 10/20/2032, (2.57% fixed rate until 10/20/2031; 6 mo. USD SOFR + 1.21% thereafter)(6) | 435,313 |
| 1,230,000 | 2.59%, 04/29/2031, (2.59% fixed rate until 04/29/2030; 6 mo. USD SOFR + 2.15% thereafter)(6) | 1,082,836 |
| 4,020,000 | 2.69%, 04/22/2032, (2.69% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.32% thereafter)(6) | 3,466,539 |
| 979,000 | 2.97%, 02/04/2033, (2.97% fixed rate until 02/04/2032; 6 mo. USD SOFR + 1.33% thereafter)(6) | 845,902 |
| 730,000 | 5.47%, 01/23/2035, (5.47% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.65% thereafter)(6) | 743,077 |
| 1,677,000 | 5.93%, 09/15/2027, (5.93% fixed rate until 09/15/2026; 6 mo. USD SOFR + 1.34% thereafter)(6) | 1,707,091 |
| | Bank of Ireland Group PLC | |
| 2,215,000 | 5.60%, 03/20/2030, (5.60% fixed rate until 03/20/2029; 6 mo. USD SOFR + 1.62% thereafter)(1)(6) | 2,241,507 |
| 2,850,000 | 6.25%, 09/16/2026, (6.25% fixed rate until 09/16/2025; 1 yr. USD CMT + 2.65% thereafter)(1)(6) | 2,874,684 |
| | Bank of New York Mellon Corp. | |
| 650,000 | 4.98%, 03/14/2030, (4.98% fixed rate until 03/14/2029; 6 mo. USD SOFR + 1.09% thereafter)(6) | 655,572 |
| 800,000 | 5.06%, 07/22/2032, (5.06% fixed rate until 07/22/2031; 6 mo. USD SOFR + 1.23% thereafter)(6) | 807,090 |
| 808,000 | 5.19%, 03/14/2035, (5.19% fixed rate until 03/14/2034; 6 mo. USD SOFR + 1.42% thereafter)(6) | 811,945 |
| 790,000 | 6.32%, 10/25/2029, (6.32% fixed rate until 10/25/2028; 6 mo. USD SOFR + 1.60% thereafter)(6) | 835,752 |
| 1,960,000 | Barclays PLC 5.69%, 03/12/2030, (5.69% fixed rate until 03/12/2029; 6 mo. USD SOFR + 1.74% thereafter)(6) | 1,995,800 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| $ 1,950,000 | BNP Paribas SA 5.89%, 12/05/2034, (5.89% fixed rate until 12/05/2033; 6 mo. USD SOFR + 1.87% thereafter)(1)(6) | $ 2,036,900 |
| | BPCE SA | |
| 320,000 | 5.72%, 01/18/2030, (5.72% fixed rate until 01/18/2029; 1 yr. USD CMT + 1.96% thereafter)(1)(6) | 324,308 |
| 355,000 | 5.94%, 05/30/2035, (5.94% fixed rate until 05/30/2034; 6 mo. USD SOFR + 1.85% thereafter)(1)(6) | 360,668 |
| 2,140,000 | 6.51%, 01/18/2035, (6.51% fixed rate until 01/18/2034; 1 yr. USD CMT + 2.79% thereafter)(1)(6) | 2,199,732 |
| 2,515,000 | 6.71%, 10/19/2029, (6.71% fixed rate until 10/19/2028; 6 mo. USD SOFR + 2.27% thereafter)(1)(6) | 2,637,889 |
| 890,000 | 7.00%, 10/19/2034, (7.00% fixed rate until 10/19/2033; 6 mo. USD SOFR + 2.59% thereafter)(1)(6) | 971,606 |
| 355,000 | CaixaBank SA 5.67%, 03/15/2030, (5.67% fixed rate until 03/15/2029; 6 mo. USD SOFR + 1.78% thereafter)(1)(6) | 360,658 |
| | Citigroup, Inc. | |
| 400,000 | 2.57%, 06/03/2031, (2.57% fixed rate until 06/03/2030; 6 mo. USD SOFR + 2.11% thereafter)(6) | 350,030 |
| 695,000 | 5.17%, 02/13/2030, (5.17% fixed rate until 02/13/2029; 6 mo. USD SOFR + 1.36% thereafter)(6) | 700,554 |
| | Citizens Financial Group, Inc. | |
| 935,000 | 5.72%, 07/23/2032, (5.72% fixed rate until 07/23/2031; 6 mo. USD SOFR + 1.91% thereafter)(6) | 942,932 |
| 1,100,000 | 5.84%, 01/23/2030, (5.84% fixed rate until 01/23/2029; 6 mo. USD SOFR + 2.01% thereafter)(6) | 1,114,930 |
| 460,000 | 6.65%, 04/25/2035, (6.65% fixed rate until 04/25/2034; 6 mo. USD SOFR + 2.33% thereafter)(6) | 488,362 |
| 430,000 | Comerica, Inc. 5.98%, 01/30/2030, (5.98% fixed rate until 01/30/2029; 6 mo. USD SOFR + 2.16% thereafter)(6) | 429,836 |
| 1,400,000 | Credit Agricole SA 6.25%, 01/10/2035, (6.25% fixed rate until 01/10/2034; 6 mo. USD SOFR + 2.67% thereafter)(1)(6) | 1,446,929 |
| | Danske Bank AS | |
| 380,000 | 1.62%, 09/11/2026, (1.62% fixed rate until 09/11/2025; 1 yr. USD CMT + 1.35% thereafter)(1)(6) | 364,185 |
| 445,000 | 5.71%, 03/01/2030, (5.71% fixed rate until 03/01/2029; 1 yr. USD CMT + 1.40% thereafter)(1)(6) | 453,685 |
| | Deutsche Bank AG | |
| 680,000 | 2.31%, 11/16/2027, (2.31% fixed rate until 11/16/2026; 6 mo. USD SOFR + 1.22% thereafter)(6) | 635,107 |
| 545,000 | 5.41%, 05/10/2029 | 554,118 |
| | Goldman Sachs Group, Inc. | |
| 606,000 | 1.99%, 01/27/2032, (1.99% fixed rate until 01/27/2031; 6 mo. USD SOFR + 1.09% thereafter)(6) | 501,017 |
| 1,170,000 | 2.38%, 07/21/2032, (2.38% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.25% thereafter)(6) | 980,955 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| $ 1,804,000 | 2.62%, 04/22/2032, (2.62% fixed rate until 04/22/2031; 6 mo. USD SOFR + 1.28% thereafter)(6) | $ 1,544,959 |
| 616,000 | 3.81%, 04/23/2029, (3.81% fixed rate until 04/23/2028; 3 mo. USD Term SOFR + 1.42% thereafter)(6) | 591,345 |
| 1,360,000 | 5.05%, 07/23/2030, (5.05% fixed rate until 07/23/2029; 6 mo. USD SOFR + 1.21% thereafter)(6) | 1,362,813 |
| 1,170,000 | 5.73%, 04/25/2030, (5.73% fixed rate until 04/25/2029; 6 mo. USD SOFR + 1.27% thereafter)(6) | 1,205,018 |
| | HSBC Holdings PLC | |
| 1,470,000 | 2.21%, 08/17/2029, (2.21% fixed rate until 08/17/2028; 6 mo. USD SOFR + 1.29% thereafter)(6) | 1,316,121 |
| 1,840,000 | 5.40%, 08/11/2033, (5.40% fixed rate until 08/11/2032; 6 mo. USD SOFR + 2.87% thereafter)(6) | 1,852,142 |
| 1,800,000 | 5.73%, 05/17/2032, (5.73% fixed rate until 05/17/2031; 6 mo. USD SOFR + 1.52% thereafter)(6) | 1,838,385 |
| 660,000 | 5.89%, 08/14/2027, (5.89% fixed rate until 08/14/2026; 6 mo. USD SOFR + 1.57% thereafter)(6) | 669,358 |
| 228,000 | 6.80%, 06/01/2038 | 253,534 |
| 585,000 | Huntington National Bank 5.65%, 01/10/2030 | 596,817 |
| 840,000 | Intesa Sanpaolo SpA 7.80%, 11/28/2053(1) | 950,850 |
| | JP Morgan Chase & Co. | |
| 888,000 | 2.55%, 11/08/2032, (2.55% fixed rate until 11/08/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) | 754,326 |
| 1,052,000 | 2.58%, 04/22/2032, (2.58% fixed rate until 04/22/2031; 3 mo. USD Term SOFR + 1.25% thereafter)(6) | 904,770 |
| 636,000 | 2.96%, 05/13/2031, (2.96% fixed rate until 05/13/2030; 3 mo. USD Term SOFR + 2.52% thereafter)(6) | 567,197 |
| 1,046,000 | 3.70%, 05/06/2030, (3.70% fixed rate until 05/06/2029; 3 mo. USD Term SOFR + 1.42% thereafter)(6) | 992,147 |
| 978,000 | 4.01%, 04/23/2029, (4.01% fixed rate until 04/23/2028; 3 mo. USD Term SOFR + 1.38% thereafter)(6) | 948,886 |
| 617,000 | 4.85%, 07/25/2028, (4.85% fixed rate until 07/25/2027; 6 mo. USD SOFR + 1.99% thereafter)(6) | 616,651 |
| 1,365,000 | 5.00%, 07/22/2030, (5.00% fixed rate until 07/22/2029; 6 mo. USD SOFR + 1.13% thereafter)(6) | 1,370,645 |
| 605,000 | 5.30%, 07/24/2029, (5.30% fixed rate until 07/24/2028; 6 mo. USD SOFR + 1.45% thereafter)(6) | 614,116 |
| 2,316,000 | 5.34%, 01/23/2035, (5.34% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.62% thereafter)(6) | 2,344,894 |
| 1,350,000 | 5.58%, 04/22/2030, (5.58% fixed rate until 04/22/2029; 6 mo. USD SOFR + 1.16% thereafter)(6) | 1,387,840 |
| 899,000 | 6.07%, 10/22/2027, (6.07% fixed rate until 10/22/2026; 6 mo. USD SOFR + 1.33% thereafter)(6) | 920,890 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| $ 665,000 | 6.09%, 10/23/2029, (6.09% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.57% thereafter)(6) | $ 695,490 |
| | M&T Bank Corp. | |
| 1,600,000 | 5.05%, 01/27/2034, (5.05% fixed rate until 01/27/2033; 6 mo. USD SOFR + 1.85% thereafter)(6) | 1,522,026 |
| 1,915,000 | 7.41%, 10/30/2029, (7.41% fixed rate until 10/30/2028; 6 mo. USD SOFR + 2.80% thereafter)(6) | 2,052,848 |
| 1,150,000 | Manufacturers & Traders Trust Co. 4.70%, 01/27/2028 | 1,128,834 |
| EUR 1,100,000 | mBank SA 0.97%, 09/21/2027, (0.97% fixed rate until 09/21/2026; 3 mo. EURIBOR + 1.25% thereafter)(6)(7) | 1,092,324 |
| | Morgan Stanley | |
| $ 135,000 | 1.59%, 05/04/2027, (1.59% fixed rate until 05/04/2026; 6 mo. USD SOFR + 0.88% thereafter)(6) | 126,985 |
| 1,219,000 | 1.79%, 02/13/2032, (1.79% fixed rate until 02/13/2031; 6 mo. USD SOFR + 1.03% thereafter)(6) | 995,140 |
| 170,000 | 2.24%, 07/21/2032, (2.24% fixed rate until 07/21/2031; 6 mo. USD SOFR + 1.18% thereafter)(6) | 141,448 |
| 200,000 | 2.63%, 02/18/2026, (2.63% fixed rate until 02/18/2025; 6 mo. USD SOFR + 0.94% thereafter)(6) | 196,904 |
| 940,000 | 2.70%, 01/22/2031, (2.70% fixed rate until 01/22/2030; 6 mo. USD SOFR + 1.14% thereafter)(6) | 837,271 |
| 840,000 | 3.62%, 04/01/2031, (3.62% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.12% thereafter)(6) | 784,380 |
| 335,000 | 4.43%, 01/23/2030, (4.43% fixed rate until 01/23/2029; 3 mo. USD Term SOFR + 1.89% thereafter)(6) | 328,301 |
| 102,000 | 5.16%, 04/20/2029, (5.16% fixed rate until 04/20/2028; 6 mo. USD SOFR + 1.59% thereafter)(6) | 102,766 |
| 495,000 | 5.45%, 07/20/2029, (5.45% fixed rate until 07/20/2028; 6 mo. USD SOFR + 1.63% thereafter)(6) | 504,028 |
| 1,170,000 | 5.66%, 04/18/2030, (5.66% fixed rate until 04/18/2029; 6 mo. USD SOFR + 1.26% thereafter)(6) | 1,203,377 |
| 253,000 | 5.95%, 01/19/2038, (5.95% fixed rate until 01/19/2033; 5 yr. USD CMT + 2.43% thereafter)(6) | 257,640 |
| 2,415,000 | 6.41%, 11/01/2029, (6.41% fixed rate until 11/01/2028; 6 mo. USD SOFR + 1.83% thereafter)(6) | 2,547,197 |
| 61,000 | 7.25%, 04/01/2032 | 70,178 |
| | OTP Bank Nyrt | |
| EUR 1,000,000 | 7.35%, 03/04/2026, (7.35% fixed rate until 03/04/2025; 3 mo. EURIBOR + 4.52% thereafter)(6)(7) | 1,103,064 |
| $ 690,000 | 7.50%, 05/25/2027, (7.50% fixed rate until 05/25/2026; 1 yr. USD CMT + 3.71% thereafter)(6)(7) | 708,780 |
| | PNC Financial Services Group, Inc. | |
| 175,000 | 5.68%, 01/22/2035, (5.68% fixed rate until 01/22/2034; 6 mo. USD SOFR + 1.90% thereafter)(6) | 179,778 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| $ 325,000 | 5.81%, 06/12/2026, (5.81% fixed rate until 06/12/2025; 6 mo. USD SOFR + 1.32% thereafter)(6) | $ 326,193 |
| 320,000 | 6.04%, 10/28/2033, (6.04% fixed rate until 10/28/2032; 6 mo. USD SOFR + 2.14% thereafter)(6) | 336,080 |
| 3,490,000 | Societe Generale SA 6.07%, 01/19/2035, (6.07% fixed rate until 01/19/2034; 1 yr. USD CMT + 2.10% thereafter)(1)(6) | 3,537,557 |
| | Standard Chartered PLC | |
| 250,000 | 3.60%, 01/12/2033, (3.60% fixed rate until 01/12/2032; 1 yr. USD CMT + 1.90% thereafter)(1)(6) | 216,718 |
| 980,000 | 5.91%, 05/14/2035, (5.91% fixed rate until 05/14/2034; 1 yr. USD CMT + 1.45% thereafter)(1)(6) | 998,134 |
| 1,040,000 | 7.02%, 02/08/2030, (7.02% fixed rate until 02/08/2029; 1 yr. USD CMT + 2.20% thereafter)(1)(6) | 1,113,130 |
| 470,000 | 7.77%, 11/16/2028, (7.77% fixed rate until 11/16/2027; 1 yr. USD CMT + 3.45% thereafter)(1)(6) | 506,088 |
| | UBS Group AG | |
| 1,135,000 | 2.10%, 02/11/2032, (2.10% fixed rate until 02/11/2031; 1 yr. USD CMT + 1.00% thereafter)(1)(6) | 933,449 |
| 350,000 | 3.09%, 05/14/2032, (3.09% fixed rate until 05/14/2031; 6 mo. USD SOFR + 1.73% thereafter)(1)(6) | 305,039 |
| 680,000 | 4.19%, 04/01/2031, (4.19% fixed rate until 04/01/2030; 6 mo. USD SOFR + 3.73% thereafter)(1)(6) | 645,213 |
| 295,000 | 4.28%, 01/09/2028(1) | 287,106 |
| 510,000 | 4.75%, 05/12/2028, (4.75% fixed rate until 05/12/2027; 1 yr. USD CMT + 1.75% thereafter)(1)(6) | 505,150 |
| 315,000 | 6.25%, 09/22/2029, (6.25% fixed rate until 09/22/2028; 1 yr. USD CMT + 1.80% thereafter)(1)(6) | 328,184 |
| 2,375,000 | 6.54%, 08/12/2033, (6.54% fixed rate until 08/12/2032; 6 mo. USD SOFR + 3.92% thereafter)(1)(6) | 2,543,257 |
| | Wells Fargo & Co. | |
| 50,000 | 2.16%, 02/11/2026, (2.16% fixed rate until 02/11/2025; 3 mo. USD Term SOFR + 1.01% thereafter)(6) | 49,124 |
| 962,000 | 2.57%, 02/11/2031, (2.57% fixed rate until 02/11/2030; 3 mo. USD Term SOFR + 1.26% thereafter)(6) | 848,986 |
| 556,000 | 2.88%, 10/30/2030, (2.88% fixed rate until 10/30/2029; 3 mo. USD Term SOFR + 1.43% thereafter)(6) | 501,916 |
| 1,869,000 | 3.35%, 03/02/2033, (3.35% fixed rate until 03/02/2032; 6 mo. USD SOFR + 1.50% thereafter)(6) | 1,652,207 |
| 1,781,000 | 4.90%, 07/25/2033, (4.90% fixed rate until 07/25/2032; 6 mo. USD SOFR + 2.10% thereafter)(6) | 1,746,000 |
| 177,000 | 5.01%, 04/04/2051, (5.01% fixed rate until 04/04/2050; 3 mo. USD Term SOFR + 4.50% thereafter)(6) | 166,127 |
| 314,000 | 5.39%, 04/24/2034, (5.39% fixed rate until 04/24/2033; 6 mo. USD SOFR + 2.02% thereafter)(6) | 316,613 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Commercial Banks - 6.4% - (continued) |
| $ 780,000 | 5.50%, 01/23/2035, (5.50% fixed rate until 01/23/2034; 6 mo. USD SOFR + 1.78% thereafter)(6) | $ 792,154 |
| 3,076,000 | 5.57%, 07/25/2029, (5.57% fixed rate until 07/25/2028; 6 mo. USD SOFR + 1.74% thereafter)(6) | 3,141,434 |
| 506,000 | 6.30%, 10/23/2029, (6.30% fixed rate until 10/23/2028; 6 mo. USD SOFR + 1.79% thereafter)(6) | 531,278 |
| | | | 107,252,065 |
| | Commercial Services - 0.8% |
| | Ashtead Capital, Inc. | |
| 625,000 | 4.00%, 05/01/2028(1) | 597,958 |
| 1,600,000 | 4.38%, 08/15/2027(1) | 1,560,331 |
| 560,000 | 5.80%, 04/15/2034(1) | 567,725 |
| 2,928,000 | Block, Inc. 6.50%, 05/15/2032(1) | 2,976,622 |
| 325,000 | ERAC USA Finance LLC 5.00%, 02/15/2029(1) | 329,497 |
| 1,971,000 | Gartner, Inc. 4.50%, 07/01/2028(1) | 1,913,597 |
| | Howard University | |
| 100,000 | 2.39%, 10/01/2027 | 91,423 |
| 100,000 | 2.70%, 10/01/2029 | 89,141 |
| 325,000 | 2.80%, 10/01/2030 | 286,523 |
| 105,000 | 2.90%, 10/01/2031 | 91,300 |
| 265,000 | 3.48%, 10/01/2041 | 201,110 |
| | Service Corp. International | |
| 2,094,000 | 3.38%, 08/15/2030 | 1,848,872 |
| 341,000 | 4.63%, 12/15/2027 | 331,471 |
| 2,985,000 | 5.13%, 06/01/2029 | 2,924,890 |
| | United Rentals North America, Inc. | |
| 270,000 | 3.75%, 01/15/2032 | 238,286 |
| 50,000 | 4.88%, 01/15/2028 | 48,826 |
| | | | 14,097,572 |
| | Construction Materials - 0.4% |
| 2,890,000 | Builders FirstSource, Inc. 5.00%, 03/01/2030(1) | 2,764,887 |
| | Standard Industries, Inc. | |
| 899,000 | 3.38%, 01/15/2031(1) | 768,959 |
| 2,943,000 | 4.38%, 07/15/2030(1) | 2,678,526 |
| 220,000 | Trane Technologies Financing Ltd. 5.10%, 06/13/2034 | 222,984 |
| | | | 6,435,356 |
| | Diversified Financial Services - 0.5% |
| | Capital One Financial Corp. | |
| 457,000 | 1.88%, 11/02/2027, (1.88% fixed rate until 11/02/2026; 6 mo. USD SOFR + 0.86% thereafter)(6) | 424,468 |
| 1,294,000 | 3.27%, 03/01/2030, (3.27% fixed rate until 03/01/2029; 6 mo. USD SOFR + 1.79% thereafter)(6) | 1,188,134 |
| 275,000 | 5.25%, 07/26/2030, (5.25% fixed rate until 07/26/2029; 6 mo. USD SOFR + 2.60% thereafter)(6) | 274,086 |
| 455,000 | 5.47%, 02/01/2029, (5.47% fixed rate until 02/01/2028; 6 mo. USD SOFR + 2.08% thereafter)(6) | 458,515 |
| 490,000 | 6.31%, 06/08/2029, (6.31% fixed rate until 06/08/2028; 6 mo. USD SOFR + 2.64% thereafter)(6) | 507,362 |
| 560,000 | 7.62%, 10/30/2031, (7.62% fixed rate until 10/30/2030; 6 mo. USD SOFR + 3.07% thereafter)(6) | 623,940 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Diversified Financial Services - 0.5% - (continued) |
| $ 600,000 | Discover Financial Services 7.96%, 11/02/2034, (7.96% fixed rate until 11/02/2033; 6 mo. USD SOFR + 3.37% thereafter)(6) | $ 688,866 |
| 840,000 | Intercontinental Exchange, Inc. 3.63%, 09/01/2028(1) | 800,432 |
| | Nomura Holdings, Inc. | |
| 595,000 | 2.61%, 07/14/2031 | 499,964 |
| 1,535,000 | 5.78%, 07/03/2034 | 1,571,799 |
| 745,000 | Synchrony Financial 5.94%, 08/02/2030, (5.94% fixed rate until 08/02/2029; 6 mo. USD SOFR + 2.13% thereafter)(6) | 747,239 |
| | | | 7,784,805 |
| | Electric - 3.5% |
| | Alabama Power Co. | |
| 295,000 | 3.45%, 10/01/2049 | 215,336 |
| 728,000 | 4.15%, 08/15/2044 | 611,588 |
| 1,205,000 | Ameren Corp. 5.00%, 01/15/2029 | 1,209,211 |
| 1,275,000 | American Electric Power Co., Inc. 6.95%, 12/15/2054, (6.95% fixed rate until 09/15/2034; 5 yr. USD CMT + 2.68% thereafter)(6) | 1,288,886 |
| | Arizona Public Service Co. | |
| 350,000 | 5.55%, 08/01/2033 | 355,258 |
| 305,000 | 6.35%, 12/15/2032 | 327,592 |
| 760,000 | Baltimore Gas & Electric Co. 5.65%, 06/01/2054 | 775,539 |
| 489,000 | Cleco Corporate Holdings LLC 3.38%, 09/15/2029 | 435,930 |
| | Consolidated Edison Co. of New York, Inc. | |
| 345,000 | 3.20%, 12/01/2051 | 234,882 |
| 262,000 | 3.95%, 04/01/2050 | 211,031 |
| 160,000 | 4.00%, 11/15/2057 | 123,322 |
| 150,000 | 4.45%, 03/15/2044 | 131,206 |
| 500,000 | 5.38%, 05/15/2034 | 513,806 |
| | Dominion Energy, Inc. | |
| 1,368,000 | 3.38%, 04/01/2030 | 1,257,080 |
| 375,000 | 5.38%, 11/15/2032 | 379,680 |
| 400,000 | Duke Energy Carolinas LLC 4.25%, 12/15/2041 | 344,320 |
| | Duke Energy Corp. | |
| 2,319,000 | 2.55%, 06/15/2031 | 1,980,199 |
| 377,700 | 3.75%, 09/01/2046 | 283,389 |
| 980,000 | 4.50%, 08/15/2032 | 937,392 |
| 410,000 | 5.00%, 08/15/2052 | 366,407 |
| 1,095,000 | 5.45%, 06/15/2034 | 1,107,407 |
| 310,000 | 5.80%, 06/15/2054 | 308,776 |
| | Duke Energy Indiana LLC | |
| 230,000 | 2.75%, 04/01/2050 | 142,668 |
| 1,021,000 | 3.25%, 10/01/2049 | 702,115 |
| 435,000 | Duke Energy Ohio, Inc. 5.55%, 03/15/2054 | 434,187 |
| | Duke Energy Progress LLC | |
| 441,000 | 3.70%, 10/15/2046 | 336,605 |
| 375,000 | 4.00%, 04/01/2052 | 293,350 |
| | Edison International | |
| 230,000 | 4.13%, 03/15/2028 | 222,854 |
| 1,420,000 | 5.25%, 11/15/2028 | 1,428,376 |
| 250,000 | 5.75%, 06/15/2027 | 254,256 |
| 2,047,000 | 6.95%, 11/15/2029 | 2,209,622 |
| 515,000 | Emera, Inc. 6.75%, 06/15/2076 | 511,933 |
| 121,000 | Evergy Metro, Inc. 4.13%, 04/01/2049 | 97,112 |
| 939,000 | Evergy, Inc. 2.45%, 09/15/2024 | 935,026 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Electric - 3.5% - (continued) |
| | Eversource Energy | |
| $ 1,740,000 | 5.13%, 05/15/2033 | $ 1,709,583 |
| 703,000 | 5.50%, 01/01/2034 | 706,084 |
| 395,000 | 5.95%, 02/01/2029 | 409,885 |
| | Georgia Power Co. | |
| 548,000 | 4.30%, 03/15/2042 | 476,783 |
| 340,000 | 4.95%, 05/17/2033 | 338,906 |
| 375,000 | 5.25%, 03/15/2034 | 381,605 |
| 545,000 | Investment Energy Resources Ltd. 6.25%, 04/26/2029(1) | 525,701 |
| 455,000 | Monongahela Power Co. 5.85%, 02/15/2034(1) | 471,559 |
| | NextEra Energy Capital Holdings, Inc. | |
| 1,305,000 | 1.88%, 01/15/2027 | 1,215,391 |
| 1,330,000 | 2.25%, 06/01/2030 | 1,154,199 |
| 1,275,000 | Niagara Mohawk Power Corp. 5.29%, 01/17/2034(1) | 1,264,432 |
| 130,000 | NRG Energy, Inc. 2.45%, 12/02/2027(1) | 118,984 |
| 830,000 | NSTAR Electric Co. 5.40%, 06/01/2034 | 849,871 |
| | Oglethorpe Power Corp. | |
| 509,000 | 4.50%, 04/01/2047 | 422,202 |
| 125,000 | 5.80%, 06/01/2054(1) | 125,570 |
| 630,000 | Ohio Edison Co. 5.50%, 01/15/2033(1) | 637,048 |
| | Oncor Electric Delivery Co. LLC | |
| 101,000 | 0.55%, 10/01/2025 | 96,024 |
| 840,000 | 5.65%, 11/15/2033 | 879,670 |
| | Pacific Gas & Electric Co. | |
| 280,500 | 2.50%, 02/01/2031 | 236,962 |
| 245,000 | 4.40%, 03/01/2032 | 229,073 |
| 789,000 | 4.50%, 07/01/2040 | 668,547 |
| 2,159,000 | 4.55%, 07/01/2030 | 2,081,342 |
| 161,000 | 5.45%, 06/15/2027 | 162,530 |
| 1,211,000 | 5.90%, 06/15/2032 | 1,240,209 |
| 1,286,000 | 6.10%, 01/15/2029 | 1,333,083 |
| 1,869,000 | 6.15%, 01/15/2033 | 1,941,074 |
| 1,646,000 | 6.40%, 06/15/2033 | 1,735,793 |
| 595,000 | Public Service Electric & Gas Co. 5.45%, 03/01/2054 | 603,017 |
| | Public Service Enterprise Group, Inc. | |
| 570,000 | 5.20%, 04/01/2029 | 577,951 |
| 230,000 | 5.45%, 04/01/2034 | 233,137 |
| 890,000 | 6.13%, 10/15/2033 | 943,787 |
| | Puget Energy, Inc. | |
| 1,050,000 | 2.38%, 06/15/2028 | 946,122 |
| 30,000 | 3.65%, 05/15/2025 | 29,511 |
| 1,346,000 | 4.10%, 06/15/2030 | 1,266,828 |
| 379,000 | 4.22%, 03/15/2032 | 346,799 |
| 1,310,000 | Sempra 5.40%, 08/01/2026 | 1,319,869 |
| | Southern California Edison Co. | |
| 100,000 | 3.65%, 02/01/2050 | 73,530 |
| 313,000 | 4.05%, 03/15/2042 | 256,982 |
| 1,470,000 | 5.20%, 06/01/2034 | 1,468,655 |
| 275,000 | 5.45%, 06/01/2031 | 282,932 |
| 420,000 | 5.75%, 04/15/2054 | 425,153 |
| 325,000 | 5.88%, 12/01/2053 | 333,198 |
| 495,000 | 5.95%, 11/01/2032 | 522,386 |
| | Southern Co. | |
| 1,645,000 | 3.25%, 07/01/2026 | 1,597,349 |
| 1,050,000 | 5.20%, 06/15/2033 | 1,052,189 |
| 516,000 | Southwestern Electric Power Co. 5.30%, 04/01/2033 | 512,804 |
| | Virginia Electric & Power Co. | |
| 359,000 | 2.45%, 12/15/2050 | 207,938 |
| 1,140,000 | 5.00%, 04/01/2033 | 1,133,308 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Electric - 3.5% - (continued) |
| $ 1,482,000 | 5.00%, 01/15/2034 | $ 1,472,186 |
| 320,000 | 5.35%, 01/15/2054 | 311,660 |
| 525,000 | Wisconsin Power & Light Co. 5.38%, 03/30/2034 | 534,216 |
| | Xcel Energy, Inc. | |
| 125,000 | 1.75%, 03/15/2027 | 115,290 |
| 59,000 | 4.00%, 06/15/2028 | 57,111 |
| 463,000 | 4.60%, 06/01/2032 | 444,682 |
| | | | 59,447,041 |
| | Energy-Alternate Sources - 0.2% |
| | Energo-Pro AS | |
| 1,230,000 | 8.50%, 02/04/2027(1) | 1,231,082 |
| 665,000 | 11.00%, 11/02/2028(7) | 711,464 |
| 759,063 | Greenko Power II Ltd. 4.30%, 12/13/2028(7) | 706,969 |
| | | | 2,649,515 |
| | Engineering & Construction - 0.2% |
| 1,235,000 | IHS Holding Ltd. 6.25%, 11/29/2028(1) | 1,100,559 |
| | International Airport Finance SA | |
| 1,095,225 | 12.00%, 03/15/2033(1) | 1,165,757 |
| 504,755 | 12.00%, 03/15/2033(7) | 537,262 |
| | | | 2,803,578 |
| | Entertainment - 0.4% |
| | Warnermedia Holdings, Inc. | |
| 585,000 | 4.05%, 03/15/2029 | 540,337 |
| 201,000 | 4.28%, 03/15/2032 | 173,807 |
| 185,000 | 5.05%, 03/15/2042 | 145,354 |
| 2,675,000 | 5.14%, 03/15/2052 | 1,983,399 |
| | WMG Acquisition Corp. | |
| 715,000 | 3.75%, 12/01/2029(1) | 649,853 |
| 2,830,000 | 3.88%, 07/15/2030(1) | 2,551,316 |
| | | | 6,044,066 |
| | Environmental Control - 0.3% |
| | Clean Harbors, Inc. | |
| 2,009,000 | 4.88%, 07/15/2027(1) | 1,966,202 |
| 1,455,000 | 6.38%, 02/01/2031(1) | 1,471,561 |
| | Republic Services, Inc. | |
| 240,000 | 1.45%, 02/15/2031 | 195,301 |
| 595,000 | 5.20%, 11/15/2034 | 605,107 |
| 831,000 | Veralto Corp. 5.35%, 09/18/2028(1) | 846,012 |
| | | | 5,084,183 |
| | Equity Fund - 0.1% |
| 1,600,000 | Brookfield Finance, Inc. 5.68%, 01/15/2035 | 1,618,177 |
| | Food - 0.3% |
| 485,000 | Cencosud SA 5.95%, 05/28/2031(1) | 490,734 |
| | Conagra Brands, Inc. | |
| 620,000 | 4.85%, 11/01/2028 | 618,241 |
| 105,000 | 5.30%, 11/01/2038 | 101,755 |
| 1,730,000 | Minerva Luxembourg SA 4.38%, 03/18/2031(7) | 1,457,580 |
| | NBM U.S. Holdings, Inc. | |
| 875,000 | 7.00%, 05/14/2026(7) | 877,320 |
| 835,000 | 7.00%, 05/14/2026(1) | 837,213 |
| | Tyson Foods, Inc. | |
| 305,000 | 5.40%, 03/15/2029 | 309,576 |
| 500,000 | 5.70%, 03/15/2034 | 509,908 |
| | | | 5,202,327 |
| | Gas - 0.5% |
| 1,965,000 | Brooklyn Union Gas Co. 6.39%, 09/15/2033(1) | 2,062,507 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Gas - 0.5% - (continued) |
| $ 163,000 | KeySpan Gas East Corp. 5.99%, 03/06/2033(1) | $ 166,904 |
| | NiSource, Inc. | |
| 91,000 | 1.70%, 02/15/2031 | 74,134 |
| 501,000 | 3.49%, 05/15/2027 | 482,702 |
| 1,000,000 | 5.35%, 04/01/2034 | 1,003,548 |
| 970,000 | 5.40%, 06/30/2033 | 979,353 |
| | Southern California Gas Co. | |
| 794,000 | 5.20%, 06/01/2033 | 801,497 |
| 2,090,000 | 5.60%, 04/01/2054 | 2,112,645 |
| | | | 7,683,290 |
| | Hand/Machine Tools - 0.1% |
| 805,000 | Regal Rexnord Corp. 6.30%, 02/15/2030 | 836,349 |
| | Healthcare - Products - 0.4% |
| | Alcon Finance Corp. | |
| 806,000 | 2.75%, 09/23/2026(1) | 769,302 |
| 435,000 | 3.00%, 09/23/2029(1) | 398,667 |
| 455,000 | 5.38%, 12/06/2032(1) | 464,787 |
| 415,000 | 5.75%, 12/06/2052(1) | 425,974 |
| 2,316,000 | Avantor Funding, Inc. 4.63%, 07/15/2028(1) | 2,228,243 |
| 647,000 | Hologic, Inc. 4.63%, 02/01/2028(1) | 626,314 |
| 450,000 | Smith & Nephew PLC 5.40%, 03/20/2034 | 453,232 |
| | Solventum Corp. | |
| 1,240,000 | 5.40%, 03/01/2029(1) | 1,251,645 |
| 495,000 | 5.45%, 03/13/2031(1) | 497,760 |
| | | | 7,115,924 |
| | Healthcare - Services - 0.8% |
| | Centene Corp. | |
| 379,000 | 2.45%, 07/15/2028 | 341,471 |
| 215,000 | 4.25%, 12/15/2027 | 208,072 |
| 1,865,000 | 4.63%, 12/15/2029 | 1,795,229 |
| 60,000 | CommonSpirit Health 3.35%, 10/01/2029 | 55,888 |
| 1,290,000 | Elevance Health, Inc. 5.38%, 06/15/2034 | 1,318,349 |
| | HCA, Inc. | |
| 1,515,000 | 3.38%, 03/15/2029 | 1,412,823 |
| 135,000 | 5.45%, 04/01/2031 | 137,200 |
| 886,000 | 5.60%, 04/01/2034 | 897,297 |
| | Humana, Inc. | |
| 350,000 | 1.35%, 02/03/2027 | 321,503 |
| 75,000 | 2.15%, 02/03/2032 | 61,123 |
| 485,000 | 5.38%, 04/15/2031 | 490,868 |
| | Icon Investments Six DAC | |
| 335,000 | 5.81%, 05/08/2027 | 341,071 |
| 200,000 | 6.00%, 05/08/2034 | 207,820 |
| | Kaiser Foundation Hospitals | |
| 1,000 | 2.81%, 06/01/2041 | 741 |
| 1,055,000 | 3.00%, 06/01/2051 | 729,671 |
| | UnitedHealth Group, Inc. | |
| 1,293,000 | 2.75%, 05/15/2040 | 946,650 |
| 70,000 | 4.45%, 12/15/2048 | 60,709 |
| 925,000 | 4.95%, 01/15/2032 | 931,080 |
| 200,000 | 4.95%, 05/15/2062 | 181,101 |
| 265,000 | 5.35%, 02/15/2033 | 273,202 |
| 1,270,000 | 5.38%, 04/15/2054 | 1,254,306 |
| 685,000 | 5.75%, 07/15/2064 | 700,596 |
| | | | 12,666,770 |
| | Home Builders - 0.2% |
| | Taylor Morrison Communities, Inc. | |
| 1,207,000 | 5.13%, 08/01/2030(1) | 1,176,815 |
| 2,208,000 | 5.75%, 01/15/2028(1) | 2,209,716 |
| | | | 3,386,531 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Household Products - 0.0% |
| $ 380,000 | Haleon U.S. Capital LLC 3.38%, 03/24/2029 | $ 358,345 |
| | Insurance - 0.8% |
| 435,000 | Aon Corp./Aon Global Holdings PLC 5.35%, 02/28/2033 | 441,108 |
| 1,325,000 | Aon North America, Inc. 5.45%, 03/01/2034 | 1,347,559 |
| | Athene Global Funding | |
| 635,000 | 2.50%, 03/24/2028(1) | 577,105 |
| 1,245,000 | 2.65%, 10/04/2031(1) | 1,038,943 |
| 765,000 | 2.72%, 01/07/2029(1) | 691,973 |
| 1,230,000 | Athene Holding Ltd. 5.88%, 01/15/2034 | 1,248,043 |
| | Corebridge Financial, Inc. | |
| 355,000 | 3.85%, 04/05/2029 | 337,634 |
| 1,160,000 | 5.75%, 01/15/2034 | 1,189,920 |
| 1,170,000 | Corebridge Global Funding 5.20%, 06/24/2029(1) | 1,187,103 |
| 1,203,000 | Equitable Financial Life Global Funding 1.80%, 03/08/2028(1) | 1,081,651 |
| 835,000 | Equitable Holdings, Inc. 4.35%, 04/20/2028 | 817,777 |
| 320,000 | GA Global Funding Trust 5.50%, 01/08/2029(1) | 324,600 |
| | Marsh & McLennan Cos., Inc. | |
| 125,000 | 4.38%, 03/15/2029 | 123,886 |
| 485,000 | 4.75%, 03/15/2039 | 461,431 |
| | Metropolitan Life Global Funding I | |
| 2,025,000 | 2.40%, 01/11/2032(1) | 1,695,554 |
| 150,000 | 2.80%, 03/21/2025(1) | 147,652 |
| 740,000 | Protective Life Global Funding 5.22%, 06/12/2029(1) | 750,063 |
| 755,000 | Reinsurance Group of America, Inc. 5.75%, 09/15/2034 | 769,209 |
| | | | 14,231,211 |
| | Internet - 0.4% |
| | Gen Digital, Inc. | |
| 2,455,000 | 5.00%, 04/15/2025(1) | 2,440,125 |
| 1,420,000 | 6.75%, 09/30/2027(1) | 1,444,086 |
| | Go Daddy Operating Co. LLC/GD Finance Co., Inc. | |
| 1,225,000 | 3.50%, 03/01/2029(1) | 1,113,564 |
| 2,383,000 | 5.25%, 12/01/2027(1) | 2,345,990 |
| | | | 7,343,765 |
| | Investment Company Security - 0.0% |
| 405,000 | New Mountain Finance Corp. 6.88%, 02/01/2029 | 403,740 |
| | Iron/Steel - 0.0% |
| 90,000 | Vale Overseas Ltd. 3.75%, 07/08/2030 | 82,613 |
| | IT Services - 0.2% |
| 850,000 | Booz Allen Hamilton, Inc. 3.88%, 09/01/2028(1) | 805,439 |
| 3,067,000 | Insight Enterprises, Inc. 6.63%, 05/15/2032(1) | 3,158,117 |
| | | | 3,963,556 |
| | Lodging - 0.0% |
| 270,000 | Las Vegas Sands Corp. 6.20%, 08/15/2034 | 272,238 |
| | Machinery-Diversified - 0.1% |
| | AGCO Corp. | |
| 180,000 | 5.45%, 03/21/2027 | 182,112 |
| 290,000 | 5.80%, 03/21/2034 | 294,306 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Machinery-Diversified - 0.1% - (continued) |
| $ 978,000 | Otis Worldwide Corp. 2.57%, 02/15/2030 | $ 869,760 |
| 195,000 | Westinghouse Air Brake Technologies Corp. 5.61%, 03/11/2034 | 200,333 |
| | | | 1,546,511 |
| | Media - 1.1% |
| | Charter Communications Operating LLC/Charter Communications Operating Capital | |
| 310,000 | 2.25%, 01/15/2029 | 270,333 |
| 969,000 | 3.50%, 03/01/2042 | 661,237 |
| 395,000 | 3.85%, 04/01/2061 | 237,508 |
| 370,000 | 3.90%, 06/01/2052 | 239,232 |
| 1,504,000 | 5.05%, 03/30/2029 | 1,470,629 |
| 259,000 | 5.13%, 07/01/2049 | 203,815 |
| 1,085,000 | 5.38%, 05/01/2047 | 894,185 |
| 769,000 | 5.75%, 04/01/2048 | 662,732 |
| 467,000 | 6.48%, 10/23/2045 | 439,989 |
| 3,300,000 | 6.55%, 06/01/2034 | 3,373,369 |
| | Comcast Corp. | |
| 100,000 | 2.65%, 08/15/2062 | 56,063 |
| 1,177,000 | 2.89%, 11/01/2051 | 751,204 |
| 461,000 | 3.20%, 07/15/2036 | 381,440 |
| 583,000 | 3.75%, 04/01/2040 | 482,181 |
| 182,000 | 4.65%, 02/15/2033 | 179,108 |
| 425,000 | 5.65%, 06/01/2054 | 431,791 |
| | Cox Communications, Inc. | |
| 685,000 | 2.60%, 06/15/2031(1) | 577,327 |
| 67,000 | 3.15%, 08/15/2024(1) | 66,929 |
| 200,000 | 5.45%, 09/15/2028(1) | 203,567 |
| | Discovery Communications LLC | |
| 75,600 | 3.95%, 03/20/2028 | 70,959 |
| 1,223,000 | 6.35%, 06/01/2040 | 1,147,054 |
| | Paramount Global | |
| 195,000 | 4.20%, 05/19/2032 | 165,820 |
| 130,000 | 4.38%, 03/15/2043 | 90,615 |
| 849,000 | 4.90%, 08/15/2044 | 617,555 |
| 415,000 | 4.95%, 01/15/2031 | 375,870 |
| 795,000 | 5.25%, 04/01/2044 | 600,179 |
| 175,000 | 5.85%, 09/01/2043 | 143,918 |
| | Sirius XM Radio, Inc. | |
| 1,516,000 | 4.00%, 07/15/2028(1) | 1,389,714 |
| 3,031,000 | 4.13%, 07/01/2030(1) | 2,634,130 |
| | | | 18,818,453 |
| | Mining - 0.4% |
| 740,000 | Anglo American Capital PLC 5.75%, 04/05/2034(1) | 751,749 |
| | Glencore Funding LLC | |
| 1,325,000 | 5.37%, 04/04/2029(1) | 1,339,816 |
| 1,822,000 | 5.63%, 04/04/2034(1) | 1,829,568 |
| 1,651,000 | 6.38%, 10/06/2030(1) | 1,748,887 |
| 1,036,000 | Rio Tinto Alcan, Inc. 6.13%, 12/15/2033 | 1,122,130 |
| | | | 6,792,150 |
| | Oil & Gas - 1.8% |
| | Aker BP ASA | |
| 600,000 | 2.00%, 07/15/2026(1) | 564,888 |
| 420,000 | 3.10%, 07/15/2031(1) | 363,650 |
| 985,000 | 6.00%, 06/13/2033(1) | 1,013,688 |
| | BP Capital Markets America, Inc. | |
| 417,000 | 2.94%, 06/04/2051 | 273,366 |
| 500,000 | 3.06%, 06/17/2041 | 374,409 |
| 130,000 | 3.38%, 02/08/2061 | 88,346 |
| 739,000 | 4.81%, 02/13/2033 | 729,410 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Oil & Gas - 1.8% - (continued) |
| $ 380,000 | 4.89%, 09/11/2033 | $ 376,851 |
| 1,109,000 | 4.99%, 04/10/2034 | 1,104,783 |
| 605,000 | 5.23%, 11/17/2034 | 612,760 |
| | ConocoPhillips Co. | |
| 349,000 | 3.80%, 03/15/2052 | 267,869 |
| 110,000 | 4.03%, 03/15/2062 | 84,394 |
| 445,000 | 5.30%, 05/15/2053 | 432,057 |
| 467,000 | 5.55%, 03/15/2054 | 468,338 |
| 1,060,000 | 5.70%, 09/15/2063 | 1,076,805 |
| 260,000 | Continental Resources, Inc. 4.38%, 01/15/2028 | 253,070 |
| | Diamondback Energy, Inc. | |
| 210,000 | 5.40%, 04/18/2034 | 211,803 |
| 395,000 | 5.90%, 04/18/2064 | 391,536 |
| 480,000 | 6.25%, 03/15/2033 | 510,763 |
| | Ecopetrol SA | |
| 1,990,000 | 4.63%, 11/02/2031 | 1,647,911 |
| 3,550,000 | 8.38%, 01/19/2036 | 3,532,495 |
| 1,280,000 | 8.63%, 01/19/2029 | 1,357,955 |
| | Energean Israel Finance Ltd. | |
| 1,315,000 | 5.88%, 03/30/2031(7) | 1,124,738 |
| 600,000 | 8.50%, 09/30/2033(7) | 572,430 |
| 1,640,000 | Eni SpA 5.50%, 05/15/2034(1) | 1,666,977 |
| | Equinor ASA | |
| 487,000 | 3.25%, 11/18/2049 | 348,974 |
| 205,000 | 3.70%, 04/06/2050 | 159,807 |
| | Hess Corp. | |
| 1,196,000 | 7.13%, 03/15/2033 | 1,358,407 |
| 720,000 | 7.30%, 08/15/2031 | 814,842 |
| 1,225,000 | Leviathan Bond Ltd. 6.50%, 06/30/2027(7) | 1,157,317 |
| 494,000 | Ovintiv, Inc. 6.63%, 08/15/2037 | 520,534 |
| | Patterson-UTI Energy, Inc. | |
| 75,000 | 5.15%, 11/15/2029 | 73,977 |
| 375,000 | 7.15%, 10/01/2033 | 403,420 |
| 1,224,000 | Phillips 66 Co. 5.30%, 06/30/2033 | 1,234,080 |
| | Saudi Arabian Oil Co. | |
| 455,000 | 5.25%, 07/17/2034(1) | 456,978 |
| 450,000 | 5.88%, 07/17/2064(1) | 439,429 |
| | Shell International Finance BV | |
| 83,000 | 2.88%, 11/26/2041 | 60,758 |
| 1,007,000 | 3.00%, 11/26/2051 | 676,318 |
| 284,000 | 3.25%, 04/06/2050 | 202,667 |
| 1,115,000 | TotalEnergies Capital SA 5.64%, 04/05/2064 | 1,128,209 |
| 2,025,000 | Viper Energy, Inc. 5.38%, 11/01/2027(1) | 1,992,812 |
| | | | 30,129,821 |
| | Oil & Gas Services - 0.0% |
| | Schlumberger Holdings Corp. | |
| 25,000 | 4.30%, 05/01/2029(1) | 24,548 |
| 315,000 | 5.00%, 11/15/2029(1) | 317,737 |
| | | | 342,285 |
| | Packaging & Containers - 0.2% |
| 3,910,000 | Ball Corp. 6.00%, 06/15/2029 | 3,947,262 |
| | Pharmaceuticals - 0.3% |
| | AbbVie, Inc. | |
| 555,000 | 4.95%, 03/15/2031 | 563,933 |
| 200,000 | 5.40%, 03/15/2054 | 201,845 |
| 470,000 | Bayer U.S. Finance LLC 6.38%, 11/21/2030(1) | 490,452 |
| 605,000 | Bristol-Myers Squibb Co. 5.55%, 02/22/2054 | 610,722 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Pharmaceuticals - 0.3% - (continued) |
| | Cigna Group | |
| $ 11,000 | 1.25%, 03/15/2026 | $ 10,371 |
| 25,000 | 3.40%, 03/15/2051 | 17,347 |
| 1,390,000 | 5.00%, 05/15/2029 | 1,403,063 |
| | CVS Health Corp. | |
| 743,000 | 2.70%, 08/21/2040 | 506,461 |
| 680,000 | 4.13%, 04/01/2040 | 560,480 |
| 590,000 | 5.05%, 03/25/2048 | 518,504 |
| | | | 4,883,178 |
| | Pipelines - 1.3% |
| 184,000 | Cheniere Energy Partners LP 4.50%, 10/01/2029 | 177,806 |
| | Columbia Pipelines Holding Co. LLC | |
| 710,000 | 5.68%, 01/15/2034(1) | 714,602 |
| 1,619,000 | 6.04%, 08/15/2028(1) | 1,678,174 |
| | Columbia Pipelines Operating Co. LLC | |
| 455,000 | 5.93%, 08/15/2030(1) | 473,071 |
| 258,000 | 6.04%, 11/15/2033(1) | 268,933 |
| 655,000 | 6.54%, 11/15/2053(1) | 706,742 |
| 1,605,000 | EIG Pearl Holdings SARL 3.55%, 08/31/2036(1) | 1,380,878 |
| | Enbridge, Inc. | |
| 850,000 | 5.30%, 04/05/2029 | 863,343 |
| 1,325,000 | 5.63%, 04/05/2034 | 1,351,598 |
| 2,036,000 | 5.70%, 03/08/2033 | 2,095,439 |
| 50,000 | 5.90%, 11/15/2026 | 50,992 |
| | Energy Transfer LP | |
| 430,000 | 5.15%, 02/01/2043 | 385,975 |
| 605,000 | 5.25%, 07/01/2029 | 610,824 |
| 865,000 | 6.40%, 12/01/2030 | 925,911 |
| | EQM Midstream Partners LP | |
| 60,000 | 5.50%, 07/15/2028 | 59,703 |
| 255,000 | 6.50%, 07/01/2027(1) | 259,883 |
| 522,910 | Galaxy Pipeline Assets Bidco Ltd. 2.94%, 09/30/2040(1) | 423,265 |
| | Greensaif Pipelines Bidco SARL | |
| 775,000 | 5.85%, 02/23/2036(1) | 778,290 |
| 1,230,000 | 6.13%, 02/23/2038(1) | 1,258,910 |
| 1,425,000 | 6.51%, 02/23/2042(1) | 1,477,704 |
| | Hess Midstream Operations LP | |
| 305,000 | 4.25%, 02/15/2030(1) | 283,149 |
| 1,725,000 | 6.50%, 06/01/2029(1) | 1,758,567 |
| 350,000 | Kinder Morgan, Inc. 5.10%, 08/01/2029 | 352,424 |
| 1,255,000 | MPLX LP 5.50%, 06/01/2034 | 1,259,537 |
| | ONEOK, Inc. | |
| 320,000 | 3.10%, 03/15/2030 | 291,192 |
| 140,000 | 3.40%, 09/01/2029 | 130,607 |
| 60,000 | 6.00%, 06/15/2035 | 62,665 |
| 290,000 | 6.10%, 11/15/2032 | 305,529 |
| | Targa Resources Corp. | |
| 315,000 | 6.15%, 03/01/2029 | 329,253 |
| 25,000 | 6.25%, 07/01/2052 | 25,844 |
| | Targa Resources Partners LP/Targa Resources Partners Finance Corp. | |
| 560,000 | 4.00%, 01/15/2032 | 510,124 |
| 100,000 | 4.88%, 02/01/2031 | 96,907 |
| 100,000 | 6.88%, 01/15/2029 | 102,663 |
| 76,000 | Transcontinental Gas Pipe Line Co. LLC 4.00%, 03/15/2028 | 73,771 |
| 210,000 | Whistler Pipeline LLC 5.70%, 09/30/2031(1) | 213,151 |
| | | | 21,737,426 |
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Real Estate Investment Trusts - 0.5% |
| | American Tower Corp. | |
| $ 380,000 | 1.45%, 09/15/2026 | $ 353,232 |
| 100,000 | 2.40%, 03/15/2025 | 98,032 |
| 140,000 | 2.70%, 04/15/2031 | 121,195 |
| 683,000 | 3.80%, 08/15/2029 | 648,435 |
| 157,000 | 5.65%, 03/15/2033 | 161,370 |
| 440,000 | Brandywine Operating Partnership LP 8.88%, 04/12/2029 | 467,295 |
| | Crown Castle, Inc. | |
| 225,000 | 2.50%, 07/15/2031 | 190,016 |
| 170,000 | 3.80%, 02/15/2028 | 163,343 |
| 1,750,000 | 4.80%, 09/01/2028 | 1,737,785 |
| 365,000 | 5.00%, 01/11/2028 | 365,289 |
| 755,000 | 5.60%, 06/01/2029 | 773,488 |
| | GLP Capital LP/GLP Financing II, Inc. | |
| 678,000 | 4.00%, 01/15/2031 | 620,011 |
| 168,000 | 5.75%, 06/01/2028 | 169,939 |
| 130,000 | NNN REIT, Inc. 5.50%, 06/15/2034 | 131,433 |
| 1,010,000 | Piedmont Operating Partnership LP 6.88%, 07/15/2029 | 1,024,747 |
| 675,000 | SBA Tower Trust 2.84%, 01/15/2050(1) | 665,471 |
| 408,000 | VICI Properties LP 4.95%, 02/15/2030 | 399,631 |
| 770,000 | VICI Properties LP/VICI Note Co., Inc. 4.63%, 12/01/2029(1) | 741,330 |
| | | | 8,832,042 |
| | Retail - 0.4% |
| | AutoZone, Inc. | |
| 95,000 | 3.13%, 04/21/2026 | 92,088 |
| 52,000 | 3.63%, 04/15/2025 | 51,394 |
| 646,000 | 4.75%, 08/01/2032 | 632,814 |
| 260,000 | 4.75%, 02/01/2033 | 253,279 |
| 425,000 | 5.40%, 07/15/2034 | 428,376 |
| 512,000 | 6.55%, 11/01/2033 | 558,594 |
| | FirstCash, Inc. | |
| 2,999,000 | 4.63%, 09/01/2028(1) | 2,864,619 |
| 1,160,000 | 5.63%, 01/01/2030(1) | 1,126,863 |
| 185,000 | Home Depot, Inc. 5.30%, 06/25/2054 | 183,626 |
| 195,000 | O'Reilly Automotive, Inc. 4.70%, 06/15/2032 | 191,388 |
| | | | 6,383,041 |
| | Semiconductors - 0.4% |
| 490,000 | Broadcom, Inc. 5.05%, 07/12/2029 | 494,527 |
| 2,660,000 | Foundry JV Holdco LLC 6.15%, 01/25/2032(1) | 2,771,623 |
| | Intel Corp. | |
| 744,000 | 3.05%, 08/12/2051 | 482,397 |
| 655,000 | 5.15%, 02/21/2034 | 660,661 |
| 255,000 | 5.70%, 02/10/2053 | 256,068 |
| 135,000 | 5.90%, 02/10/2063 | 137,736 |
| 748,000 | Marvell Technology, Inc. 2.45%, 04/15/2028 | 685,138 |
| 1,088,000 | Qorvo, Inc. 3.38%, 04/01/2031(1) | 953,995 |
| | | | 6,442,145 |
| | Software - 0.9% |
| 500,000 | Constellation Software, Inc. 5.46%, 02/16/2034(1) | 510,223 |
| 3,332,000 | Fair Isaac Corp. 4.00%, 06/15/2028(1) | 3,130,587 |
| 1,004,000 | MSCI, Inc. 3.63%, 11/01/2031(1) | 897,539 |
| | Open Text Corp. | |
| 3,195,000 | 3.88%, 12/01/2029(1) | 2,900,627 |
| 330,000 | 6.90%, 12/01/2027(1) | 342,452 |
| 802,000 | Open Text Holdings, Inc. 4.13%, 12/01/2031(1) | 714,005 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| CORPORATE BONDS - 26.1% - (continued) |
| | Software - 0.9% - (continued) |
| | Oracle Corp. | |
| $ 300,000 | 2.88%, 03/25/2031 | $ 264,605 |
| 220,000 | 2.95%, 04/01/2030 | 199,171 |
| 426,000 | 3.60%, 04/01/2040 | 335,810 |
| 846,000 | 3.60%, 04/01/2050 | 605,245 |
| 944,000 | 3.85%, 04/01/2060 | 667,660 |
| 150,000 | 3.95%, 03/25/2051 | 113,457 |
| 195,000 | 4.00%, 07/15/2046 | 152,810 |
| 570,000 | 4.00%, 11/15/2047 | 442,410 |
| 285,000 | 4.13%, 05/15/2045 | 228,095 |
| 483,000 | 6.15%, 11/09/2029 | 513,226 |
| 3,626,000 | SS&C Technologies, Inc. 5.50%, 09/30/2027(1) | 3,587,915 |
| | | | 15,605,837 |
| | Telecommunications - 0.3% |
| | AT&T, Inc. | |
| 440,000 | 2.55%, 12/01/2033 | 358,360 |
| 1,172,000 | 3.80%, 12/01/2057 | 839,395 |
| | Cisco Systems, Inc. | |
| 830,000 | 4.95%, 02/26/2031 | 845,416 |
| 465,000 | 5.35%, 02/26/2064 | 464,532 |
| 1,560,000 | Network i2i Ltd. 5.65%, 01/15/2025, (5.65% fixed rate until 01/15/2025; 5 yr. USD CMT + 4.27% thereafter)(6)(7)(8) | 1,554,010 |
| | T-Mobile USA, Inc. | |
| 586,000 | 2.05%, 02/15/2028 | 533,297 |
| 532,000 | 3.88%, 04/15/2030 | 505,463 |
| 30,000 | 5.05%, 07/15/2033 | 29,939 |
| 270,000 | 5.75%, 01/15/2034 | 282,835 |
| 260,000 | 5.80%, 09/15/2062 | 264,369 |
| | | | 5,677,616 |
| | Trucking & Leasing - 0.3% |
| 1,615,000 | DAE Funding LLC 1.55%, 08/01/2024(1) | 1,615,000 |
| | Penske Truck Leasing Co. LP/PTL Finance Corp. | |
| 1,145,000 | 2.70%, 11/01/2024(1) | 1,136,261 |
| 1,718,000 | 4.00%, 07/15/2025(1) | 1,694,133 |
| 260,000 | 5.35%, 03/30/2029(1) | 263,388 |
| 390,000 | 6.05%, 08/01/2028(1) | 404,838 |
| | | | 5,113,620 |
| | Total Corporate Bonds
(cost $440,242,162) | $ 440,275,827 |
| FOREIGN GOVERNMENT OBLIGATIONS - 2.6% |
| | Bermuda - 0.1% |
| | Bermuda Government International Bonds | |
| 455,000 | 2.38%, 08/20/2030(1) | $ 385,931 |
| 1,305,000 | 5.00%, 07/15/2032(1) | 1,271,070 |
| 760,000 | 5.00%, 07/15/2032(7) | 740,240 |
| | | | 2,397,241 |
| | Brazil - 0.2% |
| BRL 25,006,000 | Brazil Notas do Tesouro Nacional 10.00%, 01/01/2031 | 4,056,408 |
| | Chile - 0.1% |
| | Chile Government International Bonds | |
| EUR 1,460,000 | 1.25%, 01/22/2051 | 890,262 |
| $ 340,000 | 4.95%, 01/05/2036 | 331,343 |
| | | | 1,221,605 |
| Shares or Principal Amount | | Market Value† |
| FOREIGN GOVERNMENT OBLIGATIONS - 2.6% - (continued) |
| | Colombia - 0.2% |
| | Colombia Government International Bonds | |
| $ 1,175,000 | 5.00%, 06/15/2045 | $ 837,278 |
| 885,000 | 5.20%, 05/15/2049 | 632,813 |
| 1,610,000 | 5.63%, 02/26/2044 | 1,250,809 |
| | | | 2,720,900 |
| | Costa Rica - 0.1% |
| 1,450,000 | Costa Rica Government International Bonds 6.55%, 04/03/2034(1) | 1,497,120 |
| | Hungary - 0.2% |
| | Hungary Government International Bonds | |
| EUR 2,980,000 | 1.63%, 04/28/2032(7) | 2,681,061 |
| $ 920,000 | 6.13%, 05/22/2028(1) | 944,177 |
| | | | 3,625,238 |
| | Indonesia - 0.1% |
| EUR 2,600,000 | Indonesia Government International Bonds 1.10%, 03/12/2033 | 2,257,239 |
| | Israel - 0.1% |
| | Israel Government International Bonds | |
| $ 845,000 | 5.75%, 03/12/2054 | 783,517 |
| 200,000 | 6.50%, 11/06/2031(7) | 208,680 |
| | | | 992,197 |
| | Ivory Coast - 0.1% |
| EUR 1,290,000 | Ivory Coast Government International Bonds 4.88%, 01/30/2032(7) | 1,181,365 |
| | Mexico - 0.4% |
| | Mexico Government International Bonds | |
| $ 850,000 | 3.50%, 02/12/2034 | 704,631 |
| 4,430,000 | 6.00%, 05/07/2036 | 4,404,440 |
| 1,055,000 | 6.34%, 05/04/2053 | 1,010,880 |
| 795,000 | 6.40%, 05/07/2054 | 769,077 |
| | | | 6,889,028 |
| | North Macedonia - 0.2% |
| | North Macedonia Government International Bonds | |
| EUR 770,000 | 2.75%, 01/18/2025(7) | 824,027 |
| 985,000 | 3.68%, 06/03/2026(1) | 1,036,627 |
| 835,000 | 3.68%, 06/03/2026(7) | 878,765 |
| | | | 2,739,419 |
| | Panama - 0.1% |
| | Panama Government International Bonds | |
| $ 330,000 | 6.85%, 03/28/2054 | 311,798 |
| 425,000 | 6.88%, 01/31/2036 | 424,865 |
| | | | 736,663 |
| | Peru - 0.0% |
| 440,000 | Peru Government International Bonds 3.00%, 01/15/2034 | 363,275 |
| | Philippines - 0.1% |
| | Philippines Government International Bonds | |
| EUR 1,400,000 | 1.20%, 04/28/2033 | 1,240,930 |
| 900,000 | 1.75%, 04/28/2041 | 702,272 |
| | | | 1,943,202 |
| | Poland - 0.0% |
| $ 405,000 | Bank Gospodarstwa Krajowego 5.38%, 05/22/2033(1) | 407,799 |
| | Romania - 0.4% |
| | Romania Government International Bonds | |
| EUR 1,265,000 | 2.63%, 12/02/2040(1) | 910,837 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| FOREIGN GOVERNMENT OBLIGATIONS - 2.6% - (continued) |
| | Romania - 0.4% - (continued) |
| EUR 5,520,000 | 2.75%, 04/14/2041(7) | $ 4,006,937 |
| $ 1,722,000 | 5.88%, 01/30/2029(1) | 1,736,637 |
| | | | 6,654,411 |
| | Saudi Arabia - 0.2% |
| | Saudi Government International Bonds | |
| EUR 580,000 | 2.00%, 07/09/2039(7) | 473,043 |
| $ 3,160,000 | 5.75%, 01/16/2054(1) | 3,094,560 |
| | | | 3,567,603 |
| | Total Foreign Government Obligations
(cost $49,205,708) | | $ 43,250,713 |
| MUNICIPAL BONDS - 0.6% |
| | Build America Bonds - 0.0% |
| 335,000 | State of California, CA, GO 7.30%, 10/01/2039 | $ 395,419 |
| 65,000 | State of Illinois, IL, GO, (AGM) 6.88%, 07/01/2025 | 65,805 |
| | | | 461,224 |
| | Development - 0.1% |
| 1,500,000 | New York Transportation Dev Corp., NY, Rev 4.25%, 09/01/2035 | 1,458,009 |
| | General - 0.3% |
| 250,000 | Chicago Transit Auth Sales Tax Receipts Fund, IL, Rev 3.91%, 12/01/2040 | 216,655 |
| 1,630,000 | County of Riverside, CA, Rev 3.07%, 02/15/2028 | 1,546,826 |
| 1,530,000 | Philadelphia Auth for Industrial Dev, PA, Rev, (NPFG) 6.55%, 10/15/2028 | 1,655,474 |
| 1,430,000 | State Board of Administration Finance Corp., FL, Rev 1.26%, 07/01/2025 | 1,380,998 |
| | | | 4,799,953 |
| | School District - 0.1% |
| | Chicago Board of Education, IL, GO | |
| 220,000 | 6.14%, 12/01/2039 | 216,365 |
| 885,000 | 6.32%, 11/01/2029 | 900,048 |
| | | | 1,116,413 |
| | Transportation - 0.0% |
| | Metropolitan Transportation Auth, NY, Rev | |
| 600,000 | 5.00%, 11/15/2050 | 627,185 |
| 140,000 | 5.18%, 11/15/2049 | 129,042 |
| | | | 756,227 |
| | Utilities - 0.1% |
| 1,314,404 | Texas Natural Gas Securitization Finance Corp., TX, Rev 5.10%, 04/01/2035 | 1,335,268 |
| | Utility - Electric - 0.0% |
| 417,000 | Municipal Electric Auth of Georgia, GA, Rev 6.64%, 04/01/2057 | 468,983 |
| | Total Municipal Bonds
(cost $10,770,665) | | $ 10,396,077 |
| U.S. GOVERNMENT AGENCIES - 39.5% |
| | Mortgage-Backed Agencies - 39.5% |
| | Federal Home Loan Mortgage Corp. - 7.7% |
| 4,567,034 | 0.37%, 12/25/2033(3)(4) | $ 141,709 |
| 8,770,000 | 0.47%, 05/25/2034(3)(4) | 230,508 |
| 3,099,578 | 0.48%, 01/25/2034(3)(4) | 99,206 |
| 1,525,012 | 0.63%, 10/25/2026(3)(4) | 16,023 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal Home Loan Mortgage Corp. - 7.7% - (continued) |
| $ 6,549,249 | 0.72%, 12/25/2030(3)(4) | $ 240,891 |
| 3,225,975 | 0.74%, 06/25/2027(3)(4) | 54,968 |
| 1,462,107 | 0.88%, 11/25/2030(3)(4) | 63,246 |
| 597,450 | 1.00%, 10/25/2040 | 477,272 |
| 1,053,008 | 1.00%, 02/25/2051 | 892,871 |
| 2,564,858 | 1.02%, 10/25/2030(3)(4) | 126,084 |
| 4,251,650 | 1.11%, 06/25/2030(3)(4) | 227,343 |
| 3,404,016 | 1.12%, 01/25/2030(3)(4) | 166,848 |
| 3,302,630 | 1.43%, 05/25/2030(3)(4) | 223,495 |
| 4,948,089 | 1.50%, 05/15/2037(3) | 274,282 |
| 2,803,250 | 1.50%, 09/25/2047 | 2,318,152 |
| 2,064,581 | 1.57%, 05/25/2030(3)(4) | 151,254 |
| 231,172 | 1.75%, 10/15/2042 | 198,109 |
| 1,029,784 | 2.00%, 05/01/2036 | 926,575 |
| 349,410 | 2.00%, 06/01/2036 | 314,386 |
| 28,719 | 2.00%, 12/01/2036 | 25,715 |
| 49,651 | 2.00%, 03/01/2037 | 44,456 |
| 171,834 | 2.00%, 12/01/2040 | 147,266 |
| 1,018,820 | 2.00%, 05/01/2041 | 871,543 |
| 3,289,398 | 2.00%, 06/01/2041 | 2,812,862 |
| 1,138,416 | 2.00%, 12/01/2041 | 969,594 |
| 683,571 | 2.00%, 10/01/2050 | 552,423 |
| 804,607 | 2.00%, 02/01/2051 | 656,895 |
| 4,194,439 | 2.00%, 03/01/2051 | 3,389,369 |
| 1,436,541 | 2.00%, 04/01/2051 | 1,158,646 |
| 772,506 | 2.00%, 05/01/2051 | 630,691 |
| 755,985 | 2.00%, 07/01/2051 | 609,281 |
| 334,148 | 2.00%, 08/01/2051 | 270,562 |
| 337,185 | 2.00%, 11/01/2051 | 273,970 |
| 1,221,831 | 2.00%, 01/01/2052 | 988,126 |
| 1,321,742 | 2.00%, 04/01/2052 | 1,077,860 |
| 2,168,304 | 2.00%, 06/15/2052(3) | 276,834 |
| 2,646,838 | 2.50%, 04/25/2036(3) | 251,390 |
| 286,000 | 2.50%, 10/25/2041 | 232,021 |
| 483,748 | 2.50%, 05/01/2050 | 411,691 |
| 596,202 | 2.50%, 06/01/2050 | 506,097 |
| 1,544,947 | 2.50%, 06/25/2050(3) | 220,650 |
| 3,467,350 | 2.50%, 07/01/2050 | 2,945,278 |
| 965,767 | 2.50%, 08/01/2050 | 817,354 |
| 1,425,671 | 2.50%, 09/01/2050 | 1,208,599 |
| 1,112,501 | 2.50%, 10/01/2050 | 951,083 |
| 1,035,722 | 2.50%, 11/01/2050 | 876,287 |
| 315,732 | 2.50%, 02/01/2051 | 269,761 |
| 796,144 | 2.50%, 03/01/2051 | 673,603 |
| 356,323 | 2.50%, 05/01/2051 | 300,661 |
| 238,306 | 2.50%, 07/01/2051 | 201,609 |
| 321,392 | 2.50%, 08/01/2051 | 271,420 |
| 545,998 | 2.50%, 10/01/2051 | 460,485 |
| 2,575,896 | 2.50%, 11/01/2051 | 2,200,789 |
| 1,519,018 | 2.50%, 03/15/2052(3) | 208,201 |
| 967,803 | 2.50%, 03/25/2052 | 850,396 |
| 2,203,083 | 2.50%, 04/01/2052 | 1,859,956 |
| 1,051,966 | 3.00%, 10/01/2032 | 1,004,374 |
| 3,421 | 3.00%, 05/15/2041 | 3,237 |
| 86,195 | 3.00%, 07/01/2047 | 76,953 |
| 290,875 | 3.00%, 12/15/2047 | 227,076 |
| 122,871 | 3.00%, 01/01/2048 | 109,329 |
| 1,066,477 | 3.00%, 07/01/2050 | 946,332 |
| 722,006 | 3.00%, 08/01/2050 | 637,087 |
| 512,770 | 3.00%, 08/01/2051 | 448,308 |
| 2,535,867 | 3.00%, 08/25/2051(3) | 386,768 |
| 2,110,003 | 3.00%, 09/25/2051(3) | 808,400 |
| 1,057,168 | 3.00%, 10/01/2051 | 929,523 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal Home Loan Mortgage Corp. - 7.7% - (continued) |
| $ 404,960 | 3.00%, 01/01/2052 | $ 357,863 |
| 2,000,581 | 3.00%, 05/01/2052 | 1,745,245 |
| 119,494 | 3.00%, 07/01/2052 | 104,067 |
| 2,971,441 | 3.00%, 08/01/2052 | 2,587,858 |
| 1,075,238 | 3.50%, 01/15/2033(3) | 97,927 |
| 383,897 | 3.50%, 05/15/2034(3) | 26,694 |
| 622,546 | 3.50%, 10/15/2042 | 574,815 |
| 254,572 | 3.50%, 10/15/2045 | 231,163 |
| 622,334 | 3.50%, 12/01/2046 | 574,562 |
| 576,397 | 3.50%, 12/15/2046 | 530,554 |
| 378,254 | 3.50%, 01/01/2047 | 353,043 |
| 250,430 | 3.50%, 03/15/2047 | 230,403 |
| 115,831 | 3.50%, 06/01/2047 | 106,916 |
| 137,843 | 3.50%, 12/01/2047 | 126,968 |
| 155,751 | 3.50%, 01/01/2048 | 143,639 |
| 220,256 | 3.50%, 12/01/2048 | 202,865 |
| 846,817 | 3.50%, 04/01/2050 | 778,393 |
| 301,264 | 4.00%, 05/01/2038 | 293,348 |
| 383,435 | 4.00%, 05/25/2040(3) | 55,281 |
| 667,339 | 4.00%, 09/15/2041 | 643,844 |
| 8,960 | 4.00%, 01/01/2042 | 8,623 |
| 154,255 | 4.00%, 03/01/2042 | 148,622 |
| 4,095 | 4.00%, 04/01/2042 | 3,942 |
| 6,284 | 4.00%, 06/01/2042 | 6,054 |
| 1,706,127 | 4.00%, 03/25/2045(3) | 295,799 |
| 95,718 | 4.00%, 04/01/2047 | 91,989 |
| 185,603 | 4.00%, 11/01/2047 | 177,926 |
| 391,317 | 4.00%, 12/01/2047 | 381,161 |
| 1,249,909 | 4.00%, 04/01/2049 | 1,190,976 |
| 342,100 | 4.00%, 05/01/2049 | 327,075 |
| 1,041,752 | 4.00%, 07/01/2049 | 993,812 |
| 1,468,079 | 4.00%, 09/25/2050(3) | 300,113 |
| 1,035,750 | 4.50%, 07/01/2052 | 995,621 |
| 3,999,600 | 4.50%, 08/01/2054 | 3,839,392 |
| 82,171 | 5.00%, 09/01/2035 | 82,905 |
| 315,175 | 5.00%, 09/15/2036(3) | 48,713 |
| 961,510 | 5.00%, 03/15/2045(3) | 203,574 |
| 172,508 | 5.00%, 02/15/2048(3) | 35,552 |
| 40,974 | 5.00%, 09/01/2048 | 41,072 |
| 26,787 | 5.00%, 02/01/2049 | 26,830 |
| 13,047,204 | 5.00%, 09/01/2052 | 12,845,471 |
| 769,602 | 5.00%, 10/01/2052 | 756,922 |
| 88,388 | 5.00%, 11/01/2052 | 87,055 |
| 28,414 | 5.00%, 01/01/2053 | 27,975 |
| 2,656,637 | 5.00%, 04/01/2053 | 2,614,838 |
| 1,797,000 | 5.36%, 01/25/2029(4) | 1,853,275 |
| 7,636 | 5.50%, 02/01/2029 | 7,660 |
| 12,333 | 5.50%, 12/01/2038 | 12,411 |
| 380,639 | 5.50%, 05/15/2040(3) | 75,826 |
| 351,514 | 5.50%, 06/15/2046(3) | 62,300 |
| 326,887 | 5.50%, 10/15/2046(3) | 63,526 |
| 301,649 | 5.50%, 02/01/2049 | 307,081 |
| 31,601 | 5.50%, 03/01/2049 | 32,099 |
| 1,146,478 | 5.50%, 02/01/2053 | 1,149,398 |
| 2,268,990 | 5.50%, 04/01/2053 | 2,274,890 |
| 757,969 | 6.00%, 12/01/2052 | 771,517 |
| 345,330 | 6.00%, 03/01/2053 | 353,186 |
| 164,536 | 6.00%, 05/01/2053 | 167,027 |
| 7,159,704 | 6.00%, 09/01/2053 | 7,253,115 |
| 818,737 | 6.00%, 11/01/2053 | 830,238 |
| 1,938,079 | 6.00%, 12/01/2053 | 1,966,668 |
| 1,311,476 | 6.00%, 01/01/2054 | 1,330,462 |
| 2,139,529 | 6.00%, 02/01/2054 | 2,167,364 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal Home Loan Mortgage Corp. - 7.7% - (continued) |
| $ 728,187 | 6.00%, 03/01/2054 | $ 738,982 |
| 1,346,512 | 6.00%, 04/01/2054 | 1,368,938 |
| 2,974,901 | 6.00%, 05/01/2054 | 3,013,426 |
| 1,960,899 | 6.00%, 06/01/2054 | 1,986,294 |
| 1,110,451 | 6.50%, 11/01/2053 | 1,144,757 |
| 386,871 | 7.20%, 11/25/2043, 30 day USD SOFR Average + 1.85%(1)(2) | 392,061 |
| 892,000 | 8.25%, 04/25/2042, 30 day USD SOFR Average + 2.90%(1)(2) | 928,518 |
| 805,000 | 8.60%, 04/25/2043, 30 day USD SOFR Average + 3.25%(1)(2) | 849,967 |
| 1,310,000 | 8.70%, 05/25/2042, 30 day USD SOFR Average + 3.35%(1)(2) | 1,376,522 |
| 2,815,000 | 8.70%, 06/25/2043, 30 day USD SOFR Average + 3.35%(1)(2) | 2,966,416 |
| 1,445,000 | 8.75%, 10/25/2041, 30 day USD SOFR Average + 3.40%(1)(2) | 1,498,180 |
| 2,819,800 | 8.85%, 03/25/2042, 30 day USD SOFR Average + 3.50%(1)(2) | 2,962,272 |
| 2,460,000 | 8.85%, 05/25/2043, 30 day USD SOFR Average + 3.50%(1)(2) | 2,614,709 |
| 380,000 | 8.90%, 08/25/2042, 30 day USD SOFR Average + 3.55%(1)(2) | 401,059 |
| 1,380,000 | 9.00%, 11/25/2041, 30 day USD SOFR Average + 3.65%(1)(2) | 1,435,581 |
| 3,460,000 | 9.05%, 09/25/2042, 30 day USD SOFR Average + 3.70%(1)(2) | 3,684,900 |
| 970,000 | 9.35%, 07/25/2042, 30 day USD SOFR Average + 4.00%(1)(2) | 1,035,475 |
| 1,593,000 | 9.85%, 06/25/2042, 30 day USD SOFR Average + 4.50%(1)(2) | 1,725,920 |
| | | | 129,293,513 |
| | Federal National Mortgage Association - 11.9% |
| 127,105 | 0.00%, 06/25/2041(9)(10) | 95,928 |
| 2,279,524 | 0.30%, 01/25/2030(3)(4) | 22,130 |
| 5,956,263 | 1.15%, 06/25/2034(3)(4) | 328,190 |
| 3,462,941 | 1.46%, 05/25/2029(3)(4) | 143,460 |
| 3,181,886 | 1.50%, 11/25/2035(3) | 163,486 |
| 209,894 | 1.50%, 07/01/2051 | 160,696 |
| 3,644,829 | 1.50%, 09/01/2051 | 2,799,585 |
| 749,189 | 2.00%, 03/01/2036 | 675,047 |
| 1,073,087 | 2.00%, 05/01/2036 | 965,531 |
| 1,224,103 | 2.00%, 06/01/2036 | 1,102,896 |
| 1,165,304 | 2.00%, 08/01/2036 | 1,048,492 |
| 643,824 | 2.00%, 09/01/2036 | 579,282 |
| 399,791 | 2.00%, 12/01/2036 | 359,708 |
| 150,041 | 2.00%, 02/01/2037 | 134,997 |
| 610,990 | 2.00%, 09/01/2040 | 523,929 |
| 2,203,947 | 2.00%, 12/01/2040 | 1,888,554 |
| 593,876 | 2.00%, 04/01/2041 | 508,073 |
| 208,518 | 2.00%, 05/01/2041 | 178,382 |
| 2,069 | 2.00%, 09/25/2041 | 1,925 |
| 832,310 | 2.00%, 10/01/2041 | 709,435 |
| 3,687 | 2.00%, 12/25/2041 | 3,372 |
| 533,994 | 2.00%, 02/01/2042 | 457,505 |
| 267,155 | 2.00%, 03/25/2044 | 248,513 |
| 280,795 | 2.00%, 05/25/2044 | 254,066 |
| 518,860 | 2.00%, 08/25/2050 | 353,761 |
| 2,100,871 | 2.00%, 10/01/2050 | 1,708,036 |
| 1,678,917 | 2.00%, 12/01/2050 | 1,361,033 |
| 3,706,292 | 2.00%, 02/01/2051 | 2,993,944 |
| 5,774,649 | 2.00%, 03/01/2051 | 4,657,058 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal National Mortgage Association - 11.9% - (continued) |
| $ 7,581,626 | 2.00%, 04/01/2051 | $ 6,110,883 |
| 1,118,130 | 2.00%, 05/01/2051 | 900,855 |
| 606,449 | 2.00%, 06/01/2051 | 489,194 |
| 256,206 | 2.00%, 07/01/2051 | 206,908 |
| 1,450,867 | 2.00%, 08/01/2051 | 1,179,942 |
| 1,401,912 | 2.00%, 09/01/2051 | 1,135,646 |
| 2,081,052 | 2.00%, 03/25/2052(3) | 273,356 |
| 8,598,532 | 2.00%, 04/01/2052 | 6,938,232 |
| 412,619 | 2.25%, 04/01/2033 | 348,533 |
| 983,171 | 2.50%, 06/25/2045 | 806,175 |
| 7,149 | 2.50%, 03/25/2046 | 6,559 |
| 613,973 | 2.50%, 04/01/2050 | 519,474 |
| 590,891 | 2.50%, 06/01/2050 | 499,980 |
| 4,450,262 | 2.50%, 07/01/2050 | 3,800,222 |
| 929,877 | 2.50%, 09/01/2050 | 786,759 |
| 1,508,182 | 2.50%, 10/01/2050 | 1,283,264 |
| 1,627,593 | 2.50%, 12/01/2050 | 1,377,066 |
| 374,426 | 2.50%, 01/01/2051 | 317,863 |
| 2,496,298 | 2.50%, 02/01/2051 | 2,110,085 |
| 1,581,726 | 2.50%, 02/25/2051(3) | 257,315 |
| 2,363,803 | 2.50%, 04/25/2051(3) | 377,642 |
| 8,087,082 | 2.50%, 05/01/2051 | 6,867,522 |
| 1,427,101 | 2.50%, 06/01/2051 | 1,206,106 |
| 764,016 | 2.50%, 07/01/2051 | 645,462 |
| 349,877 | 2.50%, 08/01/2051 | 298,971 |
| 514,845 | 2.50%, 09/01/2051 | 435,197 |
| 7,509,051 | 2.50%, 10/01/2051 | 6,363,332 |
| 7,292,195 | 2.50%, 11/01/2051 | 6,195,364 |
| 2,248,632 | 2.50%, 12/01/2051 | 1,903,483 |
| 871,750 | 2.50%, 01/01/2052 | 739,979 |
| 1,250,557 | 2.50%, 03/01/2052 | 1,057,961 |
| 494,907 | 2.50%, 04/01/2052 | 417,880 |
| 2,100,626 | 2.50%, 06/25/2052(3) | 321,272 |
| 2,459,709 | 2.50%, 09/25/2052(3) | 389,114 |
| 1,183,777 | 2.50%, 01/01/2057 | 988,890 |
| 502,362 | 3.00%, 04/25/2033(3) | 30,841 |
| 160,915 | 3.00%, 08/01/2033 | 153,687 |
| 1,100,065 | 3.00%, 06/01/2038 | 1,036,889 |
| 438,637 | 3.00%, 11/25/2042 | 394,842 |
| 3,799 | 3.00%, 02/25/2043 | 3,664 |
| 1,044,558 | 3.00%, 06/01/2043 | 939,835 |
| 1,162,090 | 3.00%, 11/01/2044 | 1,050,480 |
| 1,022,114 | 3.00%, 01/25/2045 | 909,353 |
| 64,688 | 3.00%, 01/25/2046 | 59,455 |
| 870,839 | 3.00%, 02/25/2047 | 798,460 |
| 308,546 | 3.00%, 08/25/2049 | 277,521 |
| 111,655 | 3.00%, 12/01/2049 | 98,941 |
| 376,270 | 3.00%, 02/01/2050 | 334,385 |
| 1,579,706 | 3.00%, 07/01/2050 | 1,403,440 |
| 1,473,123 | 3.00%, 08/01/2050 | 1,306,569 |
| 610,026 | 3.00%, 10/01/2050 | 538,792 |
| 2,431,693 | 3.00%, 12/01/2050 | 2,152,390 |
| 747,600 | 3.00%, 05/01/2051 | 664,181 |
| 181,215 | 3.00%, 06/01/2051 | 158,894 |
| 1,548,568 | 3.00%, 07/01/2051 | 1,359,973 |
| 359,916 | 3.00%, 08/01/2051 | 318,186 |
| 1,259,918 | 3.00%, 09/01/2051 | 1,108,722 |
| 2,124,260 | 3.00%, 10/01/2051 | 1,863,641 |
| 1,997,032 | 3.00%, 11/01/2051 | 1,753,884 |
| 1,103,102 | 3.00%, 12/01/2051 | 968,930 |
| 518,401 | 3.00%, 01/01/2052 | 453,758 |
| 1,700,609 | 3.00%, 01/25/2052(3) | 280,801 |
| 638,256 | 3.00%, 04/01/2052 | 561,131 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal National Mortgage Association - 11.9% - (continued) |
| $ 779,563 | 3.00%, 05/01/2052 | $ 684,126 |
| 24,330 | 3.00%, 06/01/2052 | 21,205 |
| 574,441 | 3.00%, 09/01/2052 | 500,428 |
| 1,197,134 | 3.50%, 07/25/2033(3) | 86,356 |
| 473,179 | 3.50%, 08/25/2033(3) | 43,274 |
| 270,956 | 3.50%, 04/25/2034(3) | 11,334 |
| 893,122 | 3.50%, 05/01/2037 | 853,697 |
| 555,972 | 3.50%, 11/25/2039(3) | 46,888 |
| 445,072 | 3.50%, 10/01/2041 | 415,682 |
| 3,378 | 3.50%, 05/25/2042 | 3,216 |
| 1,388,404 | 3.50%, 08/01/2043 | 1,303,773 |
| 61,146 | 3.50%, 07/25/2044 | 60,096 |
| 198,822 | 3.50%, 12/01/2045 | 183,919 |
| 188,889 | 3.50%, 01/01/2046 | 174,832 |
| 142,804 | 3.50%, 03/01/2046 | 132,381 |
| 716,133 | 3.50%, 12/01/2046 | 668,310 |
| 241,436 | 3.50%, 05/01/2047 | 223,314 |
| 1,880,558 | 3.50%, 09/01/2047 | 1,732,193 |
| 1,809,446 | 3.50%, 12/01/2047 | 1,663,327 |
| 210,679 | 3.50%, 01/01/2048 | 194,055 |
| 2,387,023 | 3.50%, 02/01/2048 | 2,212,849 |
| 77,258 | 3.50%, 06/01/2048 | 71,161 |
| 375,663 | 3.50%, 07/01/2048 | 347,348 |
| 80,135 | 3.50%, 11/01/2048 | 73,813 |
| 1,252,571 | 3.50%, 03/25/2049 | 1,152,760 |
| 539,044 | 3.50%, 04/25/2049 | 512,528 |
| 616,273 | 3.50%, 06/01/2049 | 573,331 |
| 381,609 | 3.50%, 09/01/2050 | 351,719 |
| 835,945 | 3.50%, 11/01/2051 | 761,464 |
| 1,233,350 | 3.50%, 04/01/2052 | 1,126,416 |
| 672,146 | 3.50%, 05/01/2056 | 606,126 |
| 562,456 | 3.50%, 11/25/2057 | 533,764 |
| 1,007,289 | 3.50%, 05/01/2058 | 908,383 |
| 949,511 | 3.50%, 12/25/2058 | 852,934 |
| 760,000 | 3.52%, 11/01/2032 | 709,083 |
| 579,816 | 4.00%, 08/01/2038 | 567,426 |
| 2,132 | 4.00%, 11/01/2040 | 2,052 |
| 30,280 | 4.00%, 02/01/2041 | 29,147 |
| 351,678 | 4.00%, 06/01/2041 | 340,611 |
| 4,297 | 4.00%, 09/01/2041 | 4,134 |
| 6,708 | 4.00%, 10/01/2041 | 6,457 |
| 161,690 | 4.00%, 01/01/2042 | 155,596 |
| 195,263 | 4.00%, 02/01/2042 | 187,903 |
| 55,580 | 4.00%, 05/01/2042 | 53,484 |
| 2,209 | 4.00%, 09/01/2042 | 2,137 |
| 819,904 | 4.00%, 01/01/2043 | 789,245 |
| 16,895 | 4.00%, 10/01/2043 | 16,258 |
| 1,377,011 | 4.00%, 12/01/2043 | 1,316,560 |
| 199,241 | 4.00%, 03/01/2046 | 191,169 |
| 261,676 | 4.00%, 09/01/2047 | 249,279 |
| 466,946 | 4.00%, 10/01/2047 | 445,860 |
| 242,078 | 4.00%, 11/01/2047 | 230,771 |
| 1,523,398 | 4.00%, 06/01/2048 | 1,454,710 |
| 1,875,587 | 4.00%, 10/01/2048 | 1,784,074 |
| 726,538 | 4.00%, 01/01/2049 | 695,059 |
| 1,610,868 | 4.00%, 04/01/2049 | 1,523,168 |
| 91,705 | 4.00%, 08/01/2049 | 88,020 |
| 563,604 | 4.00%, 09/01/2049 | 536,868 |
| 3,387,836 | 4.00%, 02/25/2050(3) | 698,014 |
| 1,143,271 | 4.00%, 04/01/2050 | 1,090,921 |
| 1,740,283 | 4.00%, 06/25/2050(3) | 354,461 |
| 1,489,706 | 4.00%, 09/25/2050(3) | 293,052 |
| 1,860,869 | 4.00%, 11/25/2050(3) | 381,483 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Federal National Mortgage Association - 11.9% - (continued) |
| $ 742,430 | 4.00%, 08/01/2051 | $ 708,966 |
| 2,136,071 | 4.00%, 04/01/2052 | 1,994,588 |
| 777,333 | 4.00%, 06/01/2052 | 729,455 |
| 654,351 | 4.03%, 06/01/2028 | 641,490 |
| 850,000 | 4.19%, 04/01/2028 | 839,211 |
| 309,655 | 4.37%, 05/01/2028 | 308,612 |
| 1,996,519 | 4.39%, 04/01/2029 | 1,986,141 |
| 580,000 | 4.41%, 04/01/2030 | 577,605 |
| 785,694 | 4.46%, 05/01/2028 | 782,542 |
| 1,819,767 | 4.48%, 02/01/2029 | 1,816,458 |
| 585,578 | 4.50%, 12/01/2037 | 585,179 |
| 395,120 | 4.50%, 04/01/2048 | 385,846 |
| 173,269 | 4.50%, 04/01/2049 | 168,560 |
| 738,457 | 4.50%, 01/01/2051 | 721,738 |
| 1,218,204 | 4.50%, 08/01/2052 | 1,171,006 |
| 1,372,471 | 4.50%, 03/01/2053 | 1,319,295 |
| 4,999,502 | 4.50%, 10/01/2053 | 4,799,595 |
| 4,724,531 | 4.50%, 11/01/2053 | 4,536,597 |
| 215,000 | 4.75%, 04/01/2028 | 215,943 |
| 1,900,000 | 4.91%, 01/01/2029 | 1,927,640 |
| 274,466 | 5.00%, 06/25/2048(3) | 42,545 |
| 1,010,529 | 5.00%, 07/01/2052 | 994,568 |
| 14,427,647 | 5.00%, 09/01/2052 | 14,203,759 |
| 224,098 | 5.00%, 10/01/2052 | 220,436 |
| 113,113 | 5.00%, 11/01/2052 | 111,217 |
| 134,001 | 5.00%, 12/01/2052 | 131,934 |
| 1,465,000 | 5.07%, 12/01/2028 | 1,496,196 |
| 290,944 | 5.50%, 04/25/2044(3) | 45,883 |
| 742,823 | 5.50%, 10/01/2052 | 745,595 |
| 1,404,859 | 5.50%, 11/01/2052 | 1,408,494 |
| 2,489,799 | 5.50%, 12/01/2052 | 2,496,298 |
| 1,401,159 | 5.50%, 06/01/2053 | 1,403,215 |
| 1,612,179 | 5.50%, 07/01/2053 | 1,615,445 |
| 358,595 | 6.00%, 01/01/2053 | 364,410 |
| 802,763 | 6.00%, 05/01/2053 | 822,881 |
| 402,300 | 6.00%, 10/01/2053 | 408,009 |
| 1,394,572 | 6.00%, 11/01/2053 | 1,416,633 |
| 2,574,846 | 6.00%, 12/01/2053 | 2,610,331 |
| 368,489 | 6.00%, 01/01/2054 | 373,583 |
| 1,575,164 | 6.00%, 02/01/2054 | 1,596,089 |
| 1,473,748 | 6.00%, 03/01/2054 | 1,494,159 |
| 1,759,013 | 6.00%, 05/01/2054 | 1,781,793 |
| 1,477,201 | 6.00%, 06/01/2054 | 1,496,331 |
| 1,869,025 | 6.50%, 11/01/2053 | 1,926,766 |
| | | | 201,672,186 |
| | Government National Mortgage Association - 6.4% |
| 129,868 | 2.00%, 06/16/2042 | 118,433 |
| 1,255,576 | 2.00%, 10/20/2050 | 1,039,696 |
| 3,650,747 | 2.00%, 12/20/2050 | 3,023,805 |
| 15,740,000 | 2.00%, 08/20/2054(11) | 13,019,897 |
| 39,750 | 2.50%, 05/20/2040 | 38,531 |
| 1,755,422 | 2.50%, 10/20/2049 | 1,537,185 |
| 1,311,485 | 2.50%, 11/20/2049 | 1,133,645 |
| 1,037,856 | 2.50%, 03/20/2051 | 891,435 |
| 917,600 | 2.50%, 09/20/2051 | 787,087 |
| 3,068,741 | 2.50%, 10/20/2051 | 2,634,287 |
| 15,060,000 | 2.50%, 08/20/2054(11) | 12,918,119 |
| 1,286,168 | 3.00%, 01/16/2044 | 1,153,970 |
| 648,255 | 3.00%, 11/20/2045 | 572,929 |
| 635,894 | 3.00%, 02/20/2047 | 574,373 |
| 514,196 | 3.00%, 05/20/2049 | 463,984 |
| 192,394 | 3.00%, 03/20/2050 | 171,977 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Government National Mortgage Association - 6.4% - (continued) |
| $ 2,728,558 | 3.00%, 07/20/2050(3) | $ 350,386 |
| 436,203 | 3.00%, 11/20/2050 | 389,798 |
| 3,945,016 | 3.00%, 04/20/2051 | 3,521,411 |
| 2,260,423 | 3.00%, 08/20/2051 | 2,014,597 |
| 1,442,619 | 3.00%, 09/20/2051 | 1,284,313 |
| 448,637 | 3.00%, 10/20/2051 | 399,711 |
| 3,111,140 | 3.00%, 12/20/2051 | 2,771,811 |
| 770,513 | 3.00%, 02/20/2052 | 699,767 |
| 711,254 | 3.00%, 04/20/2052 | 633,387 |
| 214,067 | 3.50%, 11/20/2042 | 197,174 |
| 744,535 | 3.50%, 03/20/2044 | 696,395 |
| 470,212 | 3.50%, 06/20/2046 | 437,372 |
| 102,909 | 3.50%, 07/20/2046 | 95,681 |
| 107,853 | 3.50%, 10/20/2046 | 100,320 |
| 474,896 | 3.50%, 02/20/2047 | 441,036 |
| 127,058 | 3.50%, 05/20/2047 | 117,936 |
| 129,537 | 3.50%, 07/20/2047 | 119,772 |
| 95,161 | 3.50%, 11/20/2047 | 88,199 |
| 116,789 | 3.50%, 03/20/2048 | 108,220 |
| 547,750 | 3.50%, 02/20/2049 | 507,693 |
| 569,548 | 3.50%, 06/20/2050 | 524,180 |
| 1,219,406 | 3.50%, 11/20/2052 | 1,103,732 |
| 1,720,456 | 3.50%, 01/20/2053 | 1,577,976 |
| 10,850,000 | 3.50%, 08/20/2054(11) | 9,953,180 |
| 283,499 | 3.88%, 08/15/2042 | 271,449 |
| 922,128 | 4.00%, 09/16/2042(3) | 183,486 |
| 302,170 | 4.00%, 09/20/2042(3) | 37,202 |
| 204,607 | 4.00%, 12/20/2044(3) | 38,734 |
| 445,398 | 4.00%, 08/20/2045 | 428,366 |
| 600,564 | 4.00%, 09/20/2047 | 573,524 |
| 16,688 | 4.00%, 04/20/2048 | 15,906 |
| 868,581 | 4.00%, 07/20/2048 | 827,199 |
| 10,455,000 | 4.00%, 08/20/2054(11) | 9,844,139 |
| 873,915 | 4.50%, 02/20/2040 | 865,981 |
| 778,599 | 4.50%, 05/20/2041 | 770,970 |
| 649,895 | 4.50%, 06/16/2043(3) | 123,062 |
| 314,518 | 4.50%, 05/20/2045(3) | 59,004 |
| 464,017 | 4.50%, 08/20/2045(3) | 82,543 |
| 522,850 | 4.50%, 12/16/2046(3) | 77,153 |
| 340,539 | 4.50%, 05/20/2048(3) | 51,482 |
| 223,366 | 4.50%, 06/20/2048(3) | 39,870 |
| 163,010 | 4.50%, 05/20/2052 | 157,691 |
| 686,257 | 4.50%, 08/20/2052 | 664,219 |
| 625,517 | 4.50%, 09/20/2052 | 604,816 |
| 2,816,353 | 4.50%, 10/20/2052 | 2,728,230 |
| 624,092 | 5.00%, 05/20/2040 | 631,197 |
| 494,014 | 5.00%, 06/20/2040 | 499,639 |
| 193,895 | 5.00%, 07/20/2040 | 196,103 |
| 271,752 | 5.00%, 12/20/2043(3) | 49,586 |
| 1,300,291 | 5.00%, 07/16/2044(3) | 206,816 |
| 238,814 | 5.00%, 11/16/2046(3) | 37,135 |
| 236,547 | 5.00%, 06/16/2047(3) | 36,406 |
| 309,371 | 5.00%, 11/16/2047(3) | 58,200 |
| 833,799 | 5.00%, 11/20/2049 | 831,009 |
| 13,305,000 | 5.00%, 08/20/2054(11) | 13,122,291 |
| 220,341 | 5.50%, 02/20/2044(3) | 18,890 |
| 175,028 | 5.50%, 09/15/2045 | 179,674 |
| 252,448 | 5.50%, 09/20/2045(3) | 51,611 |
| 4,900,000 | 5.50%, 08/20/2054(11) | 4,905,564 |
| | | | 107,482,547 |
| | Uniform Mortgage-Backed Security - 13.5% |
| 500,000 | 1.50%, 08/01/2054(11) | 382,030 |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT AGENCIES - 39.5% - (continued) |
| | Mortgage-Backed Agencies - 39.5% - (continued) |
| | Uniform Mortgage-Backed Security - 13.5% - (continued) |
| $ 20,482,000 | 2.00%, 08/01/2054(11) | $ 16,414,358 |
| 7,546,000 | 2.50%, 08/01/2054(11) | 6,301,820 |
| 12,850,000 | 3.00%, 08/01/2054(11) | 11,175,735 |
| 10,952,000 | 3.50%, 08/01/2054(11) | 9,903,004 |
| 4,619,000 | 4.00%, 08/01/2054(11) | 4,313,037 |
| 34,474,000 | 4.50%, 08/01/2054(11) | 33,097,794 |
| 3,700,000 | 5.50%, 08/01/2039(11) | 3,735,295 |
| 70,613,000 | 5.50%, 08/01/2054(11) | 70,603,272 |
| 60,497,000 | 6.00%, 08/01/2054(11) | 61,290,812 |
| 75,000 | 6.50%, 08/01/2054(11) | 76,833 |
| 9,720,000 | 7.00%, 08/01/2054(11) | 10,043,486 |
| | | | 227,337,476 |
| | Total U.S. Government Agencies
(cost $677,422,798) | | $ 665,785,722 |
| U.S. GOVERNMENT SECURITIES - 27.2% |
| | U.S. Treasury Securities - 27.2% |
| | U.S. Treasury Bonds - 10.4% |
| 35,940,000 | 1.25%, 05/15/2050 | $ 18,367,305 |
| 19,520,000 | 1.63%, 11/15/2050 | 10,999,825 |
| 5,795,000 | 2.50%, 02/15/2045 | 4,253,439 |
| 8,585,000 | 2.75%, 11/15/2042 | 6,759,346 |
| 3,895,000 | 2.88%, 08/15/2045 | 3,040,839 |
| 56,000 | 2.88%, 05/15/2052 | 42,216 |
| 3,325,000 | 3.00%, 11/15/2045 | 2,647,012 |
| 1,395,000 | 3.00%, 02/15/2048 | 1,091,043 |
| 23,885,000 | 3.00%, 08/15/2052(12) | 18,479,153 |
| 3,365,000 | 3.13%, 02/15/2043 | 2,798,339 |
| 2,645,000 | 3.13%, 08/15/2044 | 2,170,760 |
| 13,195,000 | 3.13%, 05/15/2048 | 10,544,660 |
| 25,825,000 | 3.38%, 08/15/2042 | 22,419,328 |
| 6,010,000 | 3.38%, 05/15/2044 | 5,138,550 |
| 32,965,000 | 3.38%, 11/15/2048 | 27,500,021 |
| 8,720,000 | 3.63%, 08/15/2043 | 7,772,722 |
| 8,845,000 | 3.63%, 02/15/2044 | 7,864,449 |
| 27,230,000 | 3.63%, 05/15/2053 | 23,820,932 |
| | | | 175,709,939 |
| | U.S. Treasury Inflation-Indexed Bonds - 1.3% |
| 17,907,776 | 0.25%, 02/15/2050(13) | 11,271,343 |
| 730,794 | 0.63%, 02/15/2043(13) | 562,317 |
| 6,434,910 | 0.75%, 02/15/2045(13) | 4,945,405 |
| 4,729,795 | 1.38%, 02/15/2044(13) | 4,149,640 |
| | | | 20,928,705 |
| | U.S. Treasury Inflation-Indexed Notes - 3.3% |
| 2,016,417 | 1.38%, 07/15/2033(13) | 1,935,216 |
| 54,112,752 | 1.75%, 01/15/2034(13) | 53,337,555 |
| | | | 55,272,771 |
| | U.S. Treasury Notes - 12.2% |
| 16,965,000 | 1.38%, 11/15/2031(14) | 14,121,374 |
| 17,865,000 | 2.75%, 08/15/2032 | 16,256,452 |
| 21,610,000 | 3.50%, 02/15/2033 | 20,692,419 |
| 16,360,000 | 3.63%, 05/31/2028 | 16,108,210 |
| 15,540,000 | 3.75%, 06/30/2030 | 15,314,791 |
| 10,645,000 | 3.88%, 08/15/2033 | 10,461,623 |
| 17,435,000 | 4.00%, 01/31/2029 | 17,419,336 |
| 8,280,000 | 4.00%, 02/15/2034 | 8,211,431 |
| 15,620,000 | 4.13%, 06/15/2026 | 15,546,781 |
| 9,400,000 | 4.13%, 03/31/2031 | 9,452,141 |
| 17,360,000 | 4.38%, 11/30/2030 | 17,692,281 |
| Shares or Principal Amount | | Market Value† |
| U.S. GOVERNMENT SECURITIES - 27.2% - (continued) |
| | U.S. Treasury Securities - 27.2% - (continued) |
| | U.S. Treasury Notes - 12.2% - (continued) |
| $ 29,705,000 | 4.50%, 04/15/2027 | $ 29,934,750 |
| 14,405,000 | 4.50%, 11/15/2033 | 14,839,401 |
| | | | 206,050,990 |
| | Total U.S. Government Securities
(cost $490,125,719) | | $ 457,962,405 |
| | Total Long-Term Investments
(cost $1,995,718,442) | | $ 1,935,941,005 |
| SHORT-TERM INVESTMENTS - 0.3% |
| | Repurchase Agreements - 0.3% |
| 5,648,694 | Fixed Income Clearing Corp. Repurchase Agreement dated 07/31/2024 at 5.34%, due on 08/01/2024 with a maturity value of $5,649,532; collateralized by U.S. Treasury Note at 0.75%, maturing 05/31/2026, with a market value of $5,761,837 | $ 5,648,694 |
| | Total Short-Term Investments
(cost $5,648,694) | $ 5,648,694 |
| | Total Investments
(cost $2,001,367,136) | 115.2% | $ 1,941,589,699 |
| | Other Assets and Liabilities | (15.2)% | (256,338,971) |
| | Net Assets | 100.0% | $ 1,685,250,728 |
| Note: | Percentage of investments as shown is the ratio of the total market value to total net assets. |
| | The Fund may refer to any one or more of the industry classifications used by one or more widely recognized market indices, ratings group and/or as defined by Fund management. Industry classifications may not be identical across all security types. |
| | For Fund compliance purposes, the Fund may not use the same classification system. These classifications are used for financial reporting purposes. |
| | See “Glossary” for abbreviation descriptions. |
| (1) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions that are exempt from registration (typically only to qualified institutional buyers) or in a public offering registered under the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $453,366,731, representing 26.9% of net assets. |
| (2) | Variable rate securities; the rate reported is the coupon rate in effect at July 31, 2024. Base lending rates may be subject to a floor or cap. |
| (3) | Securities disclosed are interest-only strips. |
| (4) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
| (5) | Security is a “step-up” bond where coupon increases or steps up at a predetermined date. Rate shown is current coupon rate. |
| (6) | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at July 31, 2024. Rate will reset at a future date. Base lending rates may be subject to a floor or cap. |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| (7) | Security is exempt from registration under Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2024, the aggregate value of these securities was $24,407,110, representing 1.4% of net assets. |
| (8) | Perpetual maturity security. Maturity date shown is the next call date or final legal maturity date, whichever comes first. |
| (9) | Security disclosed is principal-only strips. |
| (10) | Security is a zero-coupon bond. |
| (11) | Represents or includes a TBA transaction. |
| (12) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of July 31, 2024, the market value of securities pledged was $2,282,332. |
| (13) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
| (14) | All, or a portion of the security, was pledged as collateral in connection with centrally cleared swap contracts. As of July 31, 2024, the market value of securities pledged was $4,877,763. |
| Futures Contracts Outstanding at July 31, 2024 |
| Description | | Number of
Contracts | | Expiration
Date | | Current
Notional
Amount | | Value and
Unrealized
Appreciation/
(Depreciation) |
| Long position contracts: |
| Canadian 10-Years Bond Future | | 258 | | 09/18/2024 | | $ 22,960,310 | | $ 479,136 |
| U.S. Treasury 5-Year Note Future | | 622 | | 09/30/2024 | | 67,107,969 | | 1,048,291 |
| U.S. Treasury Ultra Bond Future | | 59 | | 09/19/2024 | | 7,550,156 | | 23,876 |
| Total | | | | | | | | $ 1,551,303 |
| Short position contracts: |
| Euro BUXL 30-Year Bond Future | | (25) | | 09/06/2024 | | $ (3,645,054) | | $ (179,664) |
| Euro-BUND Future | | (75) | | 09/06/2024 | | (10,853,193) | | (97,454) |
| U.S. Treasury 2-Year Note Future | | (1,217) | | 09/30/2024 | | (249,931,868) | | (160,989) |
| U.S. Treasury 10-Year Note Future | | (454) | | 09/19/2024 | | (50,762,875) | | (212,629) |
| U.S. Treasury 10-Year Ultra Future | | (19) | | 09/19/2024 | | (2,195,984) | | (29,022) |
| U.S. Treasury Long Bond Future | | (43) | | 09/19/2024 | | (5,193,594) | | (118,835) |
| Total | | | | | | | | $ (798,593) |
| Total futures contracts | | $ 752,710 |
| TBA Sale Commitments Outstanding at July 31, 2024 |
| Description | | Principal
Amount | | Maturity
Date | | Market
Value† | | Unrealized
Appreciation/
(Depreciation) |
| Government National Mortgage Association, 3.00% | | $ 3,665,000 | | 08/20/2054 | | $ (3,263,067) | | $ (38,574) |
| Government National Mortgage Association, 4.50% | | 1,025,000 | | 08/20/2054 | | (989,839) | | (2,636) |
| Uniform Mortgage-Backed Security, 2.00% | | 200,000 | | 08/01/2039 | | (178,837) | | (352) |
| Uniform Mortgage-Backed Security, 2.00% | | 4,765,000 | | 08/01/2054 | | (3,818,690) | | (54,154) |
| Uniform Mortgage-Backed Security, 5.00% | | 23,865,000 | | 08/01/2054 | | (23,452,735) | | (243,373) |
| Total TBA sale commitments (proceeds receivable $31,364,079) | | $ (31,703,168) | | $ (339,089) |
| At July 31, 2024, the aggregate market value of TBA Sale Commitments represents (1.9)% of total net assets. |
| Centrally Cleared Credit Default Swap Contracts Outstanding at July 31, 2024 |
| Reference Entity | | Notional
Amount(1) | | (Pay)/Receive
Fixed Rate | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| Credit default swaps on indices: | | |
| Buy protection: | | |
| CDX.EM.S41 | | USD | 12,070,000 | | (1.00%) | | 06/20/2029 | | Quarterly | | $ 319,017 | | $ — | | $ 331,265 | | $ 12,248 |
| Total centrally cleared credit default swap contracts | | $ 319,017 | | $ — | | $ 331,265 | | $ 12,248 |
| (1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
The accompanying notes are an integral part of these financial statements.
Hartford Total Return Bond ETF
Schedule of Investments – (continued)
July 31, 2024
| Centrally Cleared Interest Rate Swap Contracts Outstanding at July 31, 2024 |
Payments made
by Fund | | Payments received
by Fund | | Notional
Amount | | Expiration
Date | | Periodic
Payment
Frequency | | Upfront
Premiums
Paid | | Upfront
Premiums
Received | | Value † | | Unrealized
Appreciation/
(Depreciation) |
| 3.83% Fixed | | 12 Mo. USD SOFR | | USD | 5,500,000 | | 02/15/2034 | | Annual | | $ — | | $ — | | $ (75,393) | | $ (75,393) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 3,130,000 | | 06/12/2035 | | Annual | | — | | — | | (21,143) | | (21,143) |
| 3.65% Fixed | | 12 Mo. USD SOFR | | USD | 3,475,000 | | 06/12/2035 | | Annual | | — | | — | | (21,231) | | (21,231) |
| 3.66% Fixed | | 12 Mo. USD SOFR | | USD | 6,270,000 | | 06/12/2035 | | Annual | | — | | (402) | | (43,617) | | (43,215) |
| 3.67% Fixed | | 12 Mo. USD SOFR | | USD | 6,260,000 | | 06/12/2035 | | Annual | | — | | — | | (50,867) | | (50,867) |
| 3.74% Fixed | | 12 Mo. USD SOFR | | USD | 4,270,000 | | 06/12/2035 | | Annual | | — | | — | | (59,316) | | (59,316) |
| 3.88% Fixed | | 12 Mo. USD SOFR | | USD | 2,820,000 | | 06/12/2035 | | Annual | | — | | — | | (69,872) | | (69,872) |
| 3.87% Fixed | | 12 Mo. USD SOFR | | USD | 8,455,000 | | 06/12/2035 | | Annual | | — | | — | | (206,083) | | (206,083) |
| 2.97% Fixed | | 12 Mo. USD SOFR | | USD | 5,185,000 | | 03/15/2053 | | Annual | | 2,996 | | — | | 621,630 | | 618,634 |
| 2.88% Fixed | | 12 Mo. USD SOFR | | USD | 4,030,000 | | 03/15/2053 | | Annual | | 44,822 | | — | | 549,055 | | 504,233 |
| 3.25% Fixed | | 12 Mo. USD SOFR | | USD | 3,735,000 | | 06/21/2053 | | Annual | | — | | (35,913) | | 236,388 | | 272,301 |
| 3.59% Fixed | | 12 Mo. USD SOFR | | USD | 8,150,000 | | 09/20/2053 | | Annual | | 37,095 | | — | | 122,370 | | 85,275 |
| Total centrally cleared interest rate swaps contracts | | $ 84,913 | | $ (36,315) | | $ 981,921 | | $ 933,323 |
| Foreign Currency Contracts Outstanding at July 31, 2024 |
Amount and Description of
Currency to be Purchased | | Amount and Description of
Currency to be Sold | | Counterparty | | Settlement
Date | | Appreciation/
(Depreciation) |
| 688,000 | EUR | | 745,677 | USD | | CIB | | 09/18/2024 | | $ 525 |
| 4,343,481 | USD | | 23,599,000 | BRL | | GSC | | 09/18/2024 | | 189,875 |
| 1,143,535 | USD | | 1,058,000 | EUR | | NWM | | 09/18/2024 | | (3,968) |
| 20,782,355 | USD | | 19,338,000 | EUR | | DEUT | | 09/18/2024 | | (191,572) |
| Total foreign currency contracts | | $ (5,140) |
† See Significant Accounting Policies of accompanying Notes to Financial Statements regarding valuation of investments.
Fair Value Summary
The following is a summary of the fair valuations according to the inputs used as of July 31, 2024 in valuing the Fund’s investments.
| Description | | Total | | Level 1 | | Level 2 | | Level 3(1) |
| Assets | | | | | | | | |
| Asset & Commercial Mortgage-Backed Securities | | $ 318,270,261 | | $ — | | $ 318,270,261 | | $ — |
| Corporate Bonds | | 440,275,827 | | — | | 440,275,827 | | — |
| Foreign Government Obligations | | 43,250,713 | | — | | 43,250,713 | | — |
| Municipal Bonds | | 10,396,077 | | — | | 10,396,077 | | — |
| U.S. Government Agencies | | 665,785,722 | | — | | 665,785,722 | | — |
| U.S. Government Securities | | 457,962,405 | | — | | 457,962,405 | | — |
| Short-Term Investments | | 5,648,694 | | — | | 5,648,694 | | — |
| Foreign Currency Contracts(2) | | 190,400 | | — | | 190,400 | | — |
| Futures Contracts(2) | | 1,551,303 | | 1,551,303 | | — | | — |
| Swaps - Credit Default(2) | | 12,248 | | — | | 12,248 | | — |
| Swaps - Interest Rate(2) | | 1,480,443 | | — | | 1,480,443 | | — |
| Total | | $ 1,944,824,093 | | $ 1,551,303 | | $ 1,943,272,790 | | $ — |
| Liabilities | | | | | | | | |
| Foreign Currency Contracts(2) | | $ (195,540) | | $ — | | $ (195,540) | | $ — |
| Futures Contracts(2) | | (798,593) | | (798,593) | | — | | — |
| Swaps - Interest Rate(2) | | (547,120) | | — | | (547,120) | | — |
| TBA Sale Commitments | | (31,703,168) | | — | | (31,703,168) | | — |
| Total | | $ (33,244,421) | | $ (798,593) | | $ (32,445,828) | | $ — |
| (1) | For the year ended July 31, 2024, there were no transfers in and out of Level 3. |
| (2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
The accompanying notes are an integral part of these financial statements.
GLOSSARY: (abbreviations used in preceding Schedules of Investments)
| Counterparty Abbreviations: |
| BCLY | Barclays |
| CBK | Citibank NA |
| CIB | Credit Agricole |
| DEUT | Deutsche Bank Securities, Inc. |
| GSC | Goldman Sachs & Co. |
| JPM | JP Morgan Chase & Co. |
| MSC | Morgan Stanley |
| NWM | NatWest Markets Plc |
| RBC | RBC Dominion Securities, Inc. |
| SCB | Standard Chartered Bank |
| SSG | State Street Global Markets LLC |
| UBS | UBS AG |
| Currency Abbreviations: |
| AUD | Australia Dollar |
| BRL | Brazil Real |
| CAD | Canadian Dollar |
| CLP | Chile Peso |
| CNY | China Yuan Renminbi |
| COP | Colombia Peso |
| CZK | Czech Republic Koruna |
| EUR | Euro Member Countries |
| GBP | British Pound |
| HUF | Hungary Forint |
| IDR | Indonesia Rupiah |
| INR | Indian Rupee |
| JPY | Japan Yen |
| KZT | Kazakhstan Tenge |
| MXN | Mexican Peso |
| PLN | Poland Zloty |
| USD | United States Dollar |
| UYU | Uruguay Peso |
| ZAR | South Africa Rand |
| Index Abbreviations: |
| CDX.EM | Credit Derivatives Emerging Markets |
| CMBX.NA | Markit Commercial Mortgage-Backed North American |
| CMT | Constant Maturity Treasury Index |
| ICE | Intercontinental Exchange, Inc. |
| ITRAXX-XOVER | iTraxx Europe Crossover |
| Municipal Abbreviations: |
| Auth | Authority |
| COP | Certificate of Participation |
| Dev | Development |
| Dist | District |
| Facs | Facilities |
| GO | General Obligation |
| Redev | Redevelopment |
| Rev | Revenue |
| Other Abbreviations: |
| ADR | American Depositary Receipt |
| AGM | Assured Guaranty Municipal Corp. |
| AMBAC | American Municipal Bond Assurance Corp. |
| ARM | Adjustable Rate Mortgage |
| ASA | Allmennaksjeselskap |
| BAM | Build America Mutual Assurance Co. |
| CLO | Collateralized Loan Obligation |
| CMO | Collateralized Mortgage Obligation |
| EURIBOR | Euro Interbank Offered Rate |
| FHA | Federal Housing Administration |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| HUD | Housing and Urban Development |
| LME | London Metal Exchange |
| MSCI | Morgan Stanley Capital International |
| NPFG | National Public Finance Guarantee Corp. |
| Nyrt | New York REIT Inc |
| PSF-GTD | Permanent School Fund |
| Q-SBLF | Qualified School Bond Loan Fund |
| RBOB | Reformulated Blendstock for Oxygenate Blending |
| REIT | Real Estate Investment Trust |
| SCH BD GTY | School Bond Guaranty |
| SD CRED PROG | School District Credit Enhancement Program |
| SIFMA | Securities Industry and Financial Markets Association |
| SOFR | Secured Overnight Financing Rate |
| ST AID WITHHLDG | State Aid Withholding |
| ST INTERCEPT | State Intercept |
| TBA | To Be Announced |
| ULSD | Ultra-Low Sulfur Diesel |
| WTI | West Texas Intermediate |
Statements of Assets and Liabilities
July 31, 2024
| | Hartford
AAA
CLO
ETF | | Hartford Core
Bond ETF | | Hartford
Large Cap
Growth ETF | | Hartford
Municipal
Opportunities
ETF | | Hartford Quality
Value ETF |
| Assets: | | | | | | | | | |
| Investments in securities, at market value(1) | $ 84,523,297 | | $ 306,822,637 | | $ 125,184,224 | | $ 411,565,166 | | $ 175,648,082 |
| Repurchase agreements | 689,186 | | 1,519,133 | | 159,854 | | 7,915,563 | | — |
| Cash | 2,665,911 | | 6,199,177 | | 625,590 | | 31,018,431 | | 1,898,501 |
| Cash collateral held for securities on loan | — | | — | | 54,478 | | — | | — |
| Foreign currency | — | | 52 | | — | | — | | — |
| Receivables: | | | | | | | | | |
| Investment securities sold | — | | 9,831 | | — | | 177,472 | | — |
| Dividends and interest | 312,868 | | 2,220,459 | | 9,493 | | 3,654,788 | | 174,493 |
| Securities lending income | — | | — | | 324 | | — | | 64 |
| Tax reclaims | — | | 1,696 | | — | | — | | 88,953 |
| Total assets | 88,191,262 | | 316,772,985 | | 126,033,963 | | 454,331,420 | | 177,810,093 |
| Liabilities: | | | | | | | | | |
| Obligation to return securities lending collateral | — | | — | | 1,089,566 | | — | | — |
| Payables: | | | | | | | | | |
| Investment securities purchased | 3,850,000 | | 46,954,612 | | — | | 14,355,095 | | — |
| Investment management fees | 18,167 | | 66,455 | | 64,325 | | 106,434 | | 67,045 |
| Variation margin on futures contracts | — | | 35,997 | | — | | — | | — |
| Variation margin on centrally cleared swap contracts | — | | 15,566 | | — | | — | | — |
| Distributions payable | 523,768 | | 928,389 | | — | | 1,125,356 | | — |
| Total liabilities | 4,391,935 | | 48,001,019 | | 1,153,891 | | 15,586,885 | | 67,045 |
| Net assets | $ 83,799,327 | | $ 268,771,966 | | $ 124,880,072 | | $ 438,744,535 | | $ 177,743,048 |
| Summary of Net Assets: | | | | | | | | | |
| Paid-in-capital | $ 85,426,371 | | $ 308,477,190 | | $ 104,477,245 | | $ 448,074,432 | | $ 128,331,791 |
| Distributable earnings (loss) | (1,627,044) | | (39,705,224) | | 20,402,827 | | (9,329,897) | | 49,411,257 |
| Net assets | 83,799,327 | | 268,771,966 | | 124,880,072 | | 438,744,535 | | 177,743,048 |
| Net asset value per share | 38.98 | | 35.13 | | 20.47 | | 38.83 | | 25.36 |
| Shares issued and outstanding | 2,150,000 | | 7,650,000 | | 6,100,000 | | 11,300,000 | | 7,009,258 |
| Cost of investments | $ 85,148,764 | | $ 323,336,463 | | $ 87,314,703 | | $ 422,336,362 | | $ 132,030,045 |
| Cost of foreign currency | $ — | | $ 52 | | $ — | | $ — | | $ — |
| (1) Includes Investment in securities on loan, at market value | $ — | | $ — | | $ 1,073,035 | | $ — | | $ — |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities – (continued)
July 31, 2024
| | Hartford Schroders
Commodity Strategy ETF
(Consolidated) | | Hartford
Schroders
Tax-Aware
Bond ETF | | Hartford
Sustainable
Income ETF | | Hartford Total
Return Bond
ETF |
| Assets: | | | | | | | |
| Investments in securities, at market value(1) | $ 9,966,684 | | $ 356,238,943 | | $ 58,930,909 | | $ 1,935,941,005 |
| Repurchase agreements | — | | — | | 158,947 | | 5,648,694 |
| Cash | 397,789 | | 14,024,045 | | 1,004,749 | | 24,557,251 |
| Cash collateral due from broker on futures contracts | 1,019,269 | | — | | — | | — |
| Cash collateral held for securities on loan | — | | — | | 3,308 | | — |
| Foreign currency | — | | — | | 685,184 | | 410,626 |
| Unrealized appreciation on OTC swap contracts | — | | — | | 6,418 | | — |
| Unrealized appreciation on foreign currency contracts | — | | — | | 23,553 | | 190,400 |
| Receivables: | | | | | | | |
| Investment securities sold | — | | — | | 429,079 | | 79,074,812 |
| Fund shares sold | — | | 1,949,171 | | — | | 11,916,018 |
| Dividends and interest | — | | 4,341,661 | | 639,778 | | 12,961,616 |
| Securities lending income | — | | — | | 29 | | 428 |
| Variation margin on futures contracts | — | | — | | 18,148 | | — |
| Variation margin on centrally cleared swap contracts | — | | — | | 8,742 | | — |
| Tax reclaims | 15 | | — | | 12,599 | | 6,330 |
| Total assets | 11,383,757 | | 376,553,820 | | 61,921,443 | | 2,070,707,180 |
| Liabilities: | | | | | | | |
| Unrealized depreciation on foreign currency contracts | — | | — | | 51,543 | | 195,540 |
| Obligation to return securities lending collateral | — | | — | | 66,162 | | — |
| Unrealized depreciation on OTC swap contracts | — | | — | | 1,200 | | — |
| Cash collateral due to broker on swap contracts | — | | — | | — | | 10,000 |
| Cash collateral due to broker on TBA sale commitments | — | | — | | — | | 1,070,000 |
| TBA sale commitments, at market value | — | | — | | — | | 31,703,168 |
| Payables: | | | | | | | |
| Investment securities purchased | 988,007 | | 16,660,181 | | 4,609,313 | | 345,504,420 |
| Investment management fees | 5,118 | | 113,254 | | 25,829 | | 399,273 |
| Accounting services fees | 47 | | — | | — | | — |
| Variation margin on futures contracts | 61,260 | | — | | — | | 138,169 |
| Variation margin on centrally cleared swap contracts | — | | — | | — | | 120,647 |
| Distributions payable | — | | 1,130,092 | | 294,668 | | 6,315,235 |
| Accrued expenses | 429 | | — | | — | | — |
| OTC swap contracts premiums received | — | | — | | 111,776 | | — |
| Other liabilities | 11,870 | | — | | — | | — |
| Total liabilities | 1,066,731 | | 17,903,527 | | 5,160,491 | | 385,456,452 |
| Net assets | $ 10,317,026 | | $ 358,650,293 | | $ 56,760,952 | | $ 1,685,250,728 |
| Summary of Net Assets: | | | | | | | |
| Paid-in-capital | $ 10,647,856 | | $ 362,940,215 | | $ 63,574,688 | | $ 1,832,308,124 |
| Distributable earnings (loss) | (330,830) | | (4,289,922) | | (6,813,736) | | (147,057,396) |
| Net assets | 10,317,026 | | 358,650,293 | | 56,760,952 | | 1,685,250,728 |
| Net asset value per share | 14.74 | | 19.49 | | 34.40 | | 34.05 |
| Shares issued and outstanding | 700,000 | | 18,400,000 | | 1,650,000 | | 49,500,000 |
| Cost of investments | $ 9,928,037 | | $ 351,799,431 | | $ 60,322,262 | | $ 2,001,367,136 |
| Cost of foreign currency | $ — | | $ — | | $ 684,851 | | $ 408,843 |
| Proceeds of TBA sale commitments | $ — | | $ — | | $ — | | $ 31,364,079 |
| (1) Includes Investment in securities on loan, at market value | $ — | | $ — | | $ 64,785 | | $ — |
The accompanying notes are an integral part of these financial statements.
Statements of Operations
July 31, 2024
| | Hartford
AAA
CLO
ETF | | Hartford Core
Bond ETF | | Hartford
Large Cap
Growth ETF | | Hartford
Municipal
Opportunities
ETF | | Hartford Quality
Value ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 | | For the
Period Ended
July 31,
2024(1) | | For the
Year Ended
October 31, 2023
|
| Investment Income: | | | | | | | | | | | |
| Dividends | $ — | | $ — | | $ 341,599 | | $ — | | $ 3,726,527 | | $ 6,366,454 |
| Interest | 5,366,501 | | 10,934,323 | | 74,320 | | 14,052,479 | | 160,739 | | 164,776 |
| Securities lending — net | 106 | | 2,474 | | 5,422 | | — | | 2,580 | | — |
| Less: Foreign tax withheld | — | | — | | — | | — | | (39,208) | | (118,592) |
| Total investment income, net | 5,366,607 | | 10,936,797 | | 421,341 | | 14,052,479 | | 3,850,638 | | 6,412,638 |
| Expenses: | | | | | | | | | | | |
| Investment management fees | 234,491 | | 742,847 | | 632,645 | | 1,147,068 | | 574,963 | | 1,058,985 |
| Transfer agent fees | — | | — | | — | | — | | — | | 312,808 |
| Distribution fees | — | | — | | — | | — | | — | | 444,180 |
| Custodian fees | — | | — | | — | | — | | — | | 2,340 |
| Registration and filing fees | — | | — | | — | | — | | — | | 154,512 |
| Accounting services fees | — | | — | | — | | — | | — | | 45,119 |
| Board of Trustees' fees | — | | — | | — | | — | | — | | 5,845 |
| Audit and tax fees | — | | — | | — | | — | | — | | 4,722 |
| Other expenses | — | | — | | — | | — | | — | | 36,292 |
| Total expenses (before waivers, reimbursements and fees paid indirectly) | 234,491 | | 742,847 | | 632,645 | | 1,147,068 | | 574,963 | | 2,064,803 |
| Expense waivers | — | | — | | — | | — | | — | | (33,965) |
| Distribution fee reimbursements | — | | — | | — | | — | | — | | (165,413) |
| Commission recapture | — | | — | | (1,260) | | — | | (1,099) | | (1,484) |
| Total waivers, reimbursements and fees paid indirectly | — | | — | | (1,260) | | — | | (1,099) | | (200,862) |
| Total expenses | 234,491 | | 742,847 | | 631,385 | | 1,147,068 | | 573,864 | | 1,863,941 |
| Net Investment Income (Loss) | 5,132,116 | | 10,193,950 | | (210,044) | | 12,905,411 | | 3,276,774 | | 4,548,697 |
| Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | | | | | | | | | | | |
| Investments | (589,099) (2) | | (5,838,203) (2) | | 5,709,859 (2) | | (551,005) | | 12,971,240 (2) | | 1,553,793 (2) |
| Futures contracts | (134,120) | | 1,677,437 | | — | | — | | — | | — |
| Swap contracts | — | | 127,842 | | — | | — | | — | | — |
| Foreign currency contracts | 17,436 | | — | | — | | — | | — | | — |
| Other foreign currency transactions | (6,632) | | — | | — | | — | | (758) | | 37 |
| Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (712,415) | | (4,032,924) | | 5,709,859 | | (551,005) | | 12,970,482 | | 1,553,830 |
| Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | | | | | | | | | | | |
| Investments | 2,688,005 | | 10,692,117 | | 21,516,765 | | 8,310,517 | | 19,415,461 | | (10,410,498) |
| Futures contracts | 45,465 | | (683,727) | | — | | — | | — | | — |
| Swap contracts | — | | 46,976 | | — | | — | | — | | — |
| Foreign currency contracts | 1,935 | | — | | — | | — | | — | | — |
| Translation of other assets and liabilities in foreign currencies | 185 | | — | | — | | — | | — | | — |
| Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | 2,735,590 | | 10,055,366 | | 21,516,765 | | 8,310,517 | | 19,415,461 | | (10,410,498) |
| Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 2,023,175 | | 6,022,442 | | 27,226,624 | | 7,759,512 | | 32,385,943 | | (8,856,668) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ 7,155,291 | | $ 16,216,392 | | $ 27,016,580 | | $ 20,664,923 | | $ 35,662,717 | | $ (4,307,971) |
| (1) | Effective June 1, 2024, the Hartford Quality Value ETF changed its fiscal year end from October 31 to July 31 (See Note 1 in the Notes to Financial Statements). |
| (2) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in the Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
Statements of Operations – (continued)
July 31, 2024
| | Hartford Schroders
Commodity Strategy ETF
(Consolidated) | | Hartford
Schroders
Tax-Aware
Bond ETF | | Hartford
Sustainable
Income ETF | | Hartford Total
Return Bond
ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2024 |
| Investment Income: | | | | | | | |
| Dividends | $ 7,289 | | $ — | | $ 3,706 | | $ — |
| Interest | 608,694 | | 9,507,905 | | 3,552,776 | | 66,939,233 |
| Securities lending — net | — | | — | | 1,687 | | 7,515 |
| Less: Foreign tax withheld | (608) | | — | | (802) | | (6,093) |
| Total investment income, net | 615,375 | | 9,507,905 | | 3,557,367 | | 66,940,655 |
| Expenses: | | | | | | | |
| Investment management fees | 85,414 | | 890,530 | | 305,257 | | 4,084,394 |
| Custodian fees | 1,503 | | — | | — | | — |
| Accounting services fees | 227 | | — | | — | | — |
| Total expenses (before waivers, reimbursements and fees paid indirectly) | 87,144 | | 890,530 | | 305,257 | | 4,084,394 |
| Expense waivers | (1,730) | | — | | — | | — |
| Management fee waivers | (9,244) | | — | | — | | — |
| Total waivers, reimbursements and fees paid indirectly | (10,974) | | — | | — | | — |
| Total expenses | 76,170 | | 890,530 | | 305,257 | | 4,084,394 |
| Net Investment Income (Loss) | 539,205 | | 8,617,375 | | 3,252,110 | | 62,856,261 |
| Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions on: | | | | | | | |
| Investments | 130,142 | | (2,944,869) | | (1,651,021) (2) | | (11,847,411) (2) |
| Purchased options contracts | — | | — | | — | | 13,393 |
| Futures contracts | 5,140 | | — | | (109,836) | | 6,563,484 |
| Written options contracts | — | | — | | 40,319 | | — |
| Swap contracts | — | | — | | 510,284 | | (153,791) |
| Foreign currency contracts | — | | — | | 321,226 | | 758,995 |
| Other foreign currency transactions | (56) | | — | | 4,644 | | (85,726) |
| Net Realized Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | 135,226 | | (2,944,869) | | (884,384) | | (4,751,056) |
| Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions of: | | | | | | | |
| Investments | 48,505 | | 7,017,065 | | 2,865,005 | | 39,293,486 |
| Purchased options contracts | — | | — | | — | | 4,845 |
| Futures contracts | (1,430,699) | | — | | 485,167 | | 1,981,948 |
| Swap contracts | — | | — | | (83,063) | | 670,010 |
| Foreign currency contracts | — | | — | | 8,582 | | 522,098 |
| Translation of other assets and liabilities in foreign currencies | (92) | | — | | (713) | | 3,655 |
| Net Changes in Unrealized Appreciation (Depreciation) of Investments, Other Financial Instruments and Foreign Currency Transactions | (1,382,286) | | 7,017,065 | | 3,274,978 | | 42,476,042 |
| Net Gain (Loss) on Investments, Other Financial Instruments and Foreign Currency Transactions | (1,247,060) | | 4,072,196 | | 2,390,594 | | 37,724,986 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | $ (707,855) | | $ 12,689,571 | | $ 5,642,704 | | $ 100,581,247 |
| (2) | Includes realized gains/(losses) as a result of in-kind redemptions (See Note 12 in the Notes to Financial Statements). |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets
| | Hartford AAA
CLO ETF | | Hartford Core
Bond ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 |
| Operations: | | | | | | | |
| Net investment income (loss) | $ 5,132,116 | | $ 2,125,845 | | $ 10,193,950 | | $ 7,209,225 |
| Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (712,415) | | (2,958,803) | | (4,032,924) | | (13,102,741) |
| Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 2,735,590 | | 2,061,939 | | 10,055,366 | | (1,977,253) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 7,155,291 | | 1,228,981 | | 16,216,392 | | (7,870,769) |
| Distributions to Shareholders | (4,989,643) | | (2,132,637) | | (10,127,908) | | (7,005,459) |
| Fund Share Transactions: | | | | | | | |
| Sold | 80,622,231 | | 3,818,593 | | 65,266,301 | | 24,250,463 |
| Redeemed | (44,788,251) | | (39,965,272) | | (53,803,040) | | (5,350,460) |
| Other Capital | 51,365 | | 23,539 | | 26,663 | | 6,688 |
| Net increase (decrease) from capital share transactions | 35,885,345 | | (36,123,140) | | 11,489,924 | | 18,906,691 |
| Net Increase (Decrease) in Net Assets | 38,050,993 | | (37,026,796) | | 17,578,408 | | 4,030,463 |
| Net Assets: | | | | | | | |
| Beginning of period | 45,748,334 | | 82,775,130 | | 251,193,558 | | 247,163,095 |
| End of period | $ 83,799,327 | | $ 45,748,334 | | $ 268,771,966 | | $ 251,193,558 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| | Hartford
Large Cap
Growth ETF | | Hartford Municipal
Opportunities ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 |
| Operations: | | | | | | | |
| Net investment income (loss) | $ (210,044) | | $ (58,101) | | $ 12,905,411 | | $ 9,049,946 |
| Net realized gain (loss) on investments | 5,709,859 | | (8,368,102) | | (551,005) | | (1,996,300) |
| Net changes in unrealized appreciation (depreciation) of investments | 21,516,765 | | 27,196,702 | | 8,310,517 | | (2,755,006) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 27,016,580 | | 18,770,499 | | 20,664,923 | | 4,298,640 |
| Distributions to Shareholders | — | | — | | (12,686,167) | | (8,703,726) |
| Fund Share Transactions: | | | | | | | |
| Sold | 1,269,158 | | 3,856,861 | | 69,372,185 | | 134,344,105 |
| Redeemed | (418,147) | | (3,984,976) | | (15,152,214) | | (23,026,359) |
| Other Capital | 29 | | 123 | | 50,715 | | 93,530 |
| Net increase (decrease) from capital share transactions | 851,040 | | (127,992) | | 54,270,686 | | 111,411,276 |
| Net Increase (Decrease) in Net Assets | 27,867,620 | | 18,642,507 | | 62,249,442 | | 107,006,190 |
| Net Assets: | | | | | | | |
| Beginning of period | 97,012,452 | | 78,369,945 | | 376,495,093 | | 269,488,903 |
| End of period | $ 124,880,072 | | $ 97,012,452 | | $ 438,744,535 | | $ 376,495,093 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| | Hartford
Quality Value ETF(1) | | Hartford Schroders
Commodity Strategy ETF
(Consolidated) |
| | For the
Period Ended
July 31,
2024(2) | | For the
Year Ended
October 31, 2023
| | For the
Year Ended
October 31, 2022
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 |
| Operations: | | | | | | | | | |
| Net investment income (loss) | $ 3,276,774 | | $ 4,548,697 | | $ 3,955,583 | | $ 539,205 | | $ 896,652 |
| Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | 12,970,482 | | 1,553,830 | | 11,495,589 | | 135,226 | | (10,093,389) |
| Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 19,415,461 | | (10,410,498) | | (26,414,806) | | (1,382,286) | | 2,947,440 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 35,662,717 | | (4,307,971) | | (10,963,634) | | (707,855) | | (6,249,297) |
| Distributions to Shareholders | (4,889,088) | | (15,608,432) | | (14,316,058) | | (875,001) | | (11,692,691) |
| Fund Share Transactions:(3) | | | | | | | | | |
| Sold | 23,096,821 | | 179,997,849 | | 57,551,280 | | — | | 15,666,165 |
| Issued on reinvestment of distributions | — | | 15,400,431 | | 14,094,650 | | — | | — |
| Redeemed | (37,907,914) | | (258,575,478) | | (33,771,339) | | (4,054,478) | | (40,601,944) |
| Other Capital | — | | — | | — | | 405 | | 8,440 |
| Net increase (decrease) from capital share transactions | (14,811,093) | | (63,177,198) | | 37,874,591 | | (4,054,073) | | (24,927,339) |
| Net Increase (Decrease) in Net Assets | 15,962,536 | | (83,093,601) | | 12,594,899 | | (5,636,929) | | (42,869,327) |
| Net Assets: | | | | | | | | | |
| Beginning of period | 161,780,512 | | 244,874,113 | | 232,279,214 | | 15,953,955 | | 58,823,282 |
| End of period | $ 177,743,048 | | $ 161,780,512 | | $ 244,874,113 | | $ 10,317,026 | | $ 15,953,955 |
| (1) | As of October 13, 2023, the Hartford Quality Value ETF converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization and Liquidation (the "Reorganization"). All information and references to periods prior to the close of business on October 13, 2023 refers to the Predecessor Fund (as defined in Note 1). See Note 1 in the Notes to Financial Statements for additional information about the Reorganization. |
| (2) | Effective June 1, 2024, the Hartford Quality Value ETF changed its fiscal year end from October 31 to July 31 (See Note 1 in the Notes to Financial Statements). |
| (3) | Reflects the Reorganization from Hartford Quality Value Fund as of October 13, 2023. See Note 1 in the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| | Hartford Schroders Tax-Aware
Bond ETF | | Hartford Sustainable
Income ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 | | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 |
| Operations: | | | | | | | |
| Net investment income (loss) | $ 8,617,375 | | $ 2,800,295 | | $ 3,252,110 | | $ 2,319,939 |
| Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (2,944,869) | | (3,642,287) | | (884,384) | | (2,689,314) |
| Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 7,017,065 | | 1,024,786 | | 3,274,978 | | 2,335,091 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 12,689,571 | | 182,794 | | 5,642,704 | | 1,965,716 |
| Distributions to Shareholders | (8,417,815) | | (2,771,803) | | (3,702,553) | | (2,636,854) |
| Fund Share Transactions: | | | | | | | |
| Sold | 246,151,269 | | 83,606,082 | | 6,702,200 | | 8,350,638 |
| Redeemed | (34,167,302) | | (24,247,500) | | (5,063,636) | | — |
| Other Capital | 207,422 | | 79,810 | | 10,563 | | 7,029 |
| Net increase (decrease) from capital share transactions | 212,191,389 | | 59,438,392 | | 1,649,127 | | 8,357,667 |
| Net Increase (Decrease) in Net Assets | 216,463,145 | | 56,849,383 | | 3,589,278 | | 7,686,529 |
| Net Assets: | | | | | | | |
| Beginning of period | 142,187,148 | | 85,337,765 | | 53,171,674 | | 45,485,145 |
| End of period | $ 358,650,293 | | $ 142,187,148 | | $ 56,760,952 | | $ 53,171,674 |
The accompanying notes are an integral part of these financial statements.
Statements of Changes in Net Assets – (continued)
| | Hartford Total Return
Bond ETF |
| | For the
Year Ended
July 31,
2024 | | For the
Year Ended
July 31,
2023 |
| Operations: | | | |
| Net investment income (loss) | $ 62,856,261 | | $ 37,786,188 |
| Net realized gain (loss) on investments, other financial instruments and foreign currency transactions | (4,751,056) | | (44,879,880) |
| Net changes in unrealized appreciation (depreciation) of investments, other financial instruments and foreign currency transactions | 42,476,042 | | (13,254,666) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 100,581,247 | | (20,348,358) |
| Distributions to Shareholders | (62,097,166) | | (35,217,184) |
| Fund Share Transactions: | | | |
| Sold | 542,784,597 | | 376,222,975 |
| Redeemed | (89,360,062) | | (97,287,802) |
| Other Capital | 230,048 | | 146,203 |
| Net increase (decrease) from capital share transactions | 453,654,583 | | 279,081,376 |
| Net Increase (Decrease) in Net Assets | 492,138,664 | | 223,515,834 |
| Net Assets: | | | |
| Beginning of period | 1,193,112,064 | | 969,596,230 |
| End of period | $ 1,685,250,728 | | $ 1,193,112,064 |
The accompanying notes are an integral part of these financial statements.
| | —Selected Per-Share Data (1)— | | —Ratios and Supplemental Data — |
| | Net Asset
Value at
Beginning
of Period | | Net
Investment
Income
(Loss) | | Net
Realized
and
Unrealized
Gain (Loss)
on
Investments | | Total Income
(Loss)
from
Investment
Operations | | Other
Capital | | Dividends
from Net
Investment
Income | | Distributions
from
Capital
Gains | | Total
Dividends
and
Distributions | | Net
Asset
Value at
End of
Period | | Total
Return(2) | | Net
Assets at
End of
Period
(000's) | | 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 AAA CLO ETF |
| For the Year Ended July 31, 2024 |
| | $ 38.12 | | $ 2.23 | | $ 0.70 | | $ 2.93 | | $ 0.02 | | $ (2.09) | | $ — | | $ (2.09) | | $ 38.98 | | 7.90% | | $ 83,799 | | 0.26% | | 0.26% | | 5.76% | | 171% |
| For the Year Ended July 31, 2023 |
| | $ 38.50 | | $ 1.31 | | $ (0.34) | | $ 0.97 | | $ 0.01 | | $ (1.36) | | $ — | | $ (1.36) | | $ 38.12 | | 2.63% | | $ 45,748 | | 0.29% | | 0.29% | | 3.43% | | 14% |
| For the Year Ended July 31, 2022 |
| | $ 41.03 | | $ 0.77 | | $ (2.41) | | $ (1.64) | | $ 0.01 | | $ (0.85) | | $ (0.05) | | $ (0.90) | | $ 38.50 | | (4.01)% | | $ 82,775 | | 0.29% | | 0.29% | | 1.92% | | 41% (5) |
| For the Year Ended July 31, 2021 |
| | $ 40.88 | | $ 0.90 | | $ 0.17 | | $ 1.07 | | $ 0.02 | | $ (0.94) | | $ — | | $ (0.94) | | $ 41.03 | | 2.69% | | $ 129,241 | | 0.29% | | 0.29% | | 2.20% | | 41% (5) |
| For the Year Ended July 31, 2020 |
| | $ 40.70 | | $ 1.29(6) | | $ 0.20(6) | | $ 1.49 | | $ 0.02 | | $ (1.33) | | $ — | | $ (1.33) | | $ 40.88 | | 3.78% | | $ 87,882 | | 0.29% | | 0.29% | | 3.19% (6) | | 29% (5) |
| Hartford Core Bond ETF |
| For the Year Ended July 31, 2024 |
| | $ 34.41 | | $ 1.36 | | $ 0.71 | | $ 2.07 | | $ 0.00 (7) | | $ (1.35) | | $ — | | $ (1.35) | | $ 35.13 | | 6.19% (8) | | $ 268,772 | | 0.29% | | 0.29% | | 3.98% | | 43% (9) |
| For the Year Ended July 31, 2023 |
| | $ 36.62 | | $ 1.03 | | $ (2.25) | | $ (1.22) | | $ 0.00 (7) | | $ (0.99) | | $ — | | $ (0.99) | | $ 34.41 | | (3.29)% | | $ 251,194 | | 0.29% | | 0.29% | | 2.97% | | 60% (9) |
| For the Year Ended July 31, 2022 |
| | $ 41.48 | | $ 0.55 | | $ (4.72) | | $ (4.17) | | $ 0.01 | | $ (0.56) | | $ (0.14) | | $ (0.70) | | $ 36.62 | | (10.11)% | | $ 247,163 | | 0.29% | | 0.29% | | 1.42% | | 36% (9) |
| For the Year Ended July 31, 2021 |
| | $ 42.52 | | $ 0.44 | | $ (0.73) | | $ (0.29) | | $ 0.03 | | $ (0.45) | | $ (0.33) | | $ (0.78) | | $ 41.48 | | (0.59)% | | $ 265,503 | | 0.29% | | 0.29% | | 1.06% | | 30% (9) |
| For the Period Ended July 31, 2020(10) |
| | $ 40.00 | | $ 0.21 | | $ 2.50 | | $ 2.71 | | $ 0.05 | | $ (0.24) | | $ — | | $ (0.24) | | $ 42.52 | | 6.91% (11) | | $ 138,187 | | 0.29% (12) | | 0.29% (12) | | 1.19% (12) | | 26% (9) |
| Hartford Large Cap Growth ETF |
| For the Year Ended July 31, 2024 |
| | $ 16.04 | | $ (0.03) | | $ 4.46 | | $ 4.43 | | $ 0.00 (7) | | $ — | | $ — | | $ — | | $ 20.47 | | 27.62% (8) | | $ 124,880 | | 0.59% | | 0.59% | | (0.20)% | | 97% |
| For the Year Ended July 31, 2023 |
| | $ 12.95 | | $ (0.01) | | $ 3.10 | | $ 3.09 | | $ 0.00 (7) | | $ — | | $ — | | $ — | | $ 16.04 | | 23.86% | | $ 97,012 | | 0.59% | | 0.59% | | (0.07)% | | 103% |
| For the Period Ended July 31, 2022(13) |
| | $ 20.00 | | $ (0.04) | | $ (7.01) | | $ (7.05) | | $ 0.00 (7) | | $ — | | $ — | | $ — | | $ 12.95 | | (35.25)% (11) | | $ 78,370 | | 0.59% (12) | | 0.59% (12) | | (0.38)% (12) | | 90% |
| Hartford Municipal Opportunities ETF |
| For the Year Ended July 31, 2024 |
| | $ 38.03 | | $ 1.25 | | $ 0.77 | | $ 2.02 | | $ 0.00 (7) | | $ (1.22) | | $ — | | $ (1.22) | | $ 38.83 | | 5.42% | | $ 438,745 | | 0.29% | | 0.29% | | 3.26% | | 38% |
| For the Year Ended July 31, 2023 |
| | $ 38.78 | | $ 1.05 | | $ (0.81) | | $ 0.24 | | $ 0.01 | | $ (1.00) | | $ — | | $ (1.00) | | $ 38.03 | | 0.70% | | $ 376,495 | | 0.29% | | 0.29% | | 2.79% | | 16% |
| For the Year Ended July 31, 2022 |
| | $ 42.32 | | $ 0.69 | | $ (3.56) | | $ (2.87) | | $ 0.01 | | $ (0.68) | | $ — | | $ (0.68) | | $ 38.78 | | (6.80)% | | $ 269,489 | | 0.29% | | 0.29% | | 1.73% | | 37% |
| For the Year Ended July 31, 2021 |
| | $ 42.52 | | $ 0.80 | | $ 0.98 | | $ 1.78 | | $ 0.01 | | $ (0.79) | | $ (1.20) | | $ (1.99) | | $ 42.32 | | 4.40% | | $ 201,043 | | 0.29% | | 0.29% | | 1.92% | | 17% |
| For the Year Ended July 31, 2020 |
| | $ 41.72 | | $ 1.04(6) | | $ 0.95(6) | | $ 1.99 | | $ 0.02 | | $ (1.06) | | $ (0.15) | | $ (1.21) | | $ 42.52 | | 4.90% | | $ 106,291 | | 0.29% | | 0.29% | | 2.49% (6) | | 67% |
The accompanying notes are an integral part of these financial statements.
Financial Highlights – (continued)
| | —Selected Per-Share Data (1)— | | —Ratios and Supplemental Data — |
| | Net Asset
Value at
Beginning
of Period | | Net
Investment
Income
(Loss) | | Net
Realized
and
Unrealized
Gain (Loss)
on
Investments | | Total Income
(Loss)
from
Investment
Operations | | Other
Capital | | Dividends
from Net
Investment
Income | | Distributions
from
Capital
Gains | | Total
Dividends
and
Distributions | | Net
Asset
Value at
End of
Period | | Total
Return(2) | | Net
Assets at
End of
Period
(000's) | | 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 Quality Value ETF |
| For the Period Ended July 31, 2024(14) |
| | $ 21.12 | | $ 0.45 | | $ 4.45 | | $ 4.90 | | $ — | | $ (0.62) | | $ (0.04) | | $ (0.66) | | $ 25.36 | | 23.55% | | $ 177,743 | | 0.45% | | 0.45% | | 2.56% | | 51% |
| For the Year Ended October 31, 2023(15) |
| | $ 23.22 | | $ 0.38 | | $ (0.89) | | $ (0.51) | | $ — | | $ (0.47) | | $ (1.12) | | $ (1.59) | | $ 21.12 | | (2.60)% | | $ 161,781 | | 0.51% | | 0.46% | | 1.75% | | 30% |
| For the Year Ended October 31, 2022 |
| | $ 25.84 | | $ 0.49 | | $ (1.39) | | $ (0.90) | | $ — | | $ (0.47) | | $ (1.25) | | $ (1.72) | | $ 23.22 | | (3.78)% | | $ 12,495 | | 0.55% | | 0.46% | | 2.07% | | 24% |
| For the Year Ended October 31, 2021 |
| | $ 18.31 | | $ 0.45 | | $ 7.62 | | $ 8.07 | | $ — | | $ (0.54) | | $ — | | $ (0.54) | | $ 25.84 | | 44.84% | | $ 12,182 | | 0.56% | | 0.46% | | 1.92% | | 21% |
| For the Year Ended October 31, 2020 |
| | $ 20.83 | | $ 0.50 | | $ (1.82) | | $ (1.32) | | $ — | | $ (0.61) | | $ (0.59) | | $ (1.20) | | $ 18.31 | | (6.94)% | | $ 8,975 | | 0.58% | | 0.46% | | 2.64% | | 26% |
| For the Year Ended October 31, 2019 |
| | $ 19.77 | | $ 0.48 | | $ 1.92 | | $ 2.40 | | $ — | | $ (0.36) | | $ (0.98) | | $ (1.34) | | $ 20.83 | | 13.58% | | $ 11,040 | | 0.55% | | 0.46% | | 2.52% | | 23% |
| Hartford Schroders Commodity Strategy ETF (Consolidated) |
| For the Year Ended July 31, 2024 |
| | $ 16.36 | | $ 0.64 | | $ (1.29) | | $ (0.65) | | $ 0.00 (7) | | $ (0.97) | | $ — | | $ (0.97) | | $ 14.74 | | (3.85)% | | $ 10,317 | | 0.67% | | 0.59% | | 4.18% | | 328% |
| For the Year Ended July 31, 2023 |
| | $ 25.03 | | $ 0.43 | | $ (2.83) | | $ (2.40) | | $ 0.00 (7) | | $ (6.27) | | $ — | | $ (6.27) | | $ 16.36 | | (11.63)% | | $ 15,954 | | 1.02% | | 0.87% | | 2.42% | | 134% |
| For the Period Ended July 31, 2022(16) |
| | $ 20.00 | | $ (0.09) | | $ 5.11 | | $ 5.02 | | $ 0.01 | | $ — | | $ — | | $ — | | $ 25.03 | | 25.15% (11) | | $ 58,823 | | 1.05% (12) | | 0.89% (12) | | (0.43)% (12) | | 407% |
| Hartford Schroders Tax-Aware Bond ETF |
| For the Year Ended July 31, 2024 |
| | $ 19.35 | | $ 0.72 | | $ 0.08 | | $ 0.80 | | $ 0.02 | | $ (0.68) | | $ — | | $ (0.68) | | $ 19.49 | | 4.36% | | $ 358,650 | | 0.39% | | 0.39% | | 3.77% | | 60% |
| For the Year Ended July 31, 2023 |
| | $ 19.85 | | $ 0.60 | | $ (0.55) | | $ 0.05 | | $ 0.02 | | $ (0.57) | | $ — | | $ (0.57) | | $ 19.35 | | 0.43% | | $ 142,187 | | 0.39% | | 0.39% | | 3.10% | | 135% |
| For the Year Ended July 31, 2022 |
| | $ 21.80 | | $ 0.31 | | $ (1.74) | | $ (1.43) | | $ 0.01 | | $ (0.32) | | $ (0.21) | | $ (0.53) | | $ 19.85 | | (6.58)% | | $ 85,338 | | 0.39% | | 0.39% | | 1.51% | | 116% |
| For the Year Ended July 31, 2021 |
| | $ 21.76 | | $ 0.25 | | $ 0.08 | | $ 0.33 | | $ 0.02 | | $ (0.25) | | $ (0.06) | | $ (0.31) | | $ 21.80 | | 1.64% | | $ 105,708 | | 0.39% | | 0.39% | | 1.14% | | 199% |
| For the Year Ended July 31, 2020 |
| | $ 20.95 | | $ 0.35 | | $ 0.91 | | $ 1.26 | | $ 0.02 | | $ (0.37) | | $ (0.10) | | $ (0.47) | | $ 21.76 | | 6.18% | | $ 76,168 | | 0.39% | | 0.39% | | 1.67% | | 165% |
| Hartford Sustainable Income ETF |
| For the Year Ended July 31, 2024 |
| | $ 33.23 | | $ 1.92 | | $ 1.40 | | $ 3.32 | | $ 0.01 | | $ (2.16) | | $ — | | $ (2.16) | | $ 34.40 | | 10.43% | | $ 56,761 | | 0.54% | | 0.54% | | 5.75% | | 56% (17) |
| For the Year Ended July 31, 2023 |
| | $ 33.69 | | $ 1.61 | | $ (0.24) | | $ 1.37 | | $ 0.00 (7) | | $ (1.83) | | $ — | | $ (1.83) | | $ 33.23 | | 4.28% | | $ 53,172 | | 0.54% | | 0.54% | | 4.89% | | 63% (17) |
| For the Period Ended July 31, 2022(18) |
| | $ 40.00 | | $ 0.91 | | $ (6.35) | | $ (5.44) | | $ 0.09 | | $ (0.96) | | $ — | | $ (0.96) | | $ 33.69 | | (13.52)% (11) | | $ 45,485 | | 0.54% (12) | | 0.54% (12) | | 2.87% (12) | | 39% (17) |
| Hartford Total Return Bond ETF |
| For the Year Ended July 31, 2024 |
| | $ 33.28 | | $ 1.48 | | $ 0.72 | | $ 2.20 | | $ 0.01 | | $ (1.44) | | $ — | | $ (1.44) | | $ 34.05 | | 6.86% | | $ 1,685,251 | | 0.29% | | 0.29% | | 4.46% | | 45% (19) |
The accompanying notes are an integral part of these financial statements.
Financial Highlights – (continued)
| | —Selected Per-Share Data (1)— | | —Ratios and Supplemental Data — |
| | Net Asset
Value at
Beginning
of Period | | Net
Investment
Income
(Loss) | | Net
Realized
and
Unrealized
Gain (Loss)
on
Investments | | Total Income
(Loss)
from
Investment
Operations | | Other
Capital | | Dividends
from Net
Investment
Income | | Distributions
from
Capital
Gains | | Total
Dividends
and
Distributions | | Net
Asset
Value at
End of
Period | | Total
Return(2) | | Net
Assets at
End of
Period
(000's) | | Ratio
of
Expenses
to
Average
Net
Assets
Before
Adjust-
ments(3) | | Ratio of
Expenses
to
Average
Net
Assets
After
Adjust-
ments | | Ratio of
Net
Investment
Income
(Loss) to
Average
Net Assets | | Portfolio
Turnover(4) |
| Hartford Total Return Bond ETF – (continued) |
| For the Year Ended July 31, 2023 |
| | $ 35.19 | | $ 1.25 | | $ (2.01) | | $ (0.76) | | $ 0.00 (7) | | $ (1.15) | | $ — | | $ (1.15) | | $ 33.28 | | (2.12)% | | $ 1,193,112 | | 0.29% | | 0.29% | | 3.72% | | 69% (19) |
| For the Year Ended July 31, 2022 |
| | $ 41.16 | | $ 0.93 | | $ (5.18) | | $ (4.25) | | $ 0.01 | | $ (1.02) | | $ (0.71) | | $ (1.73) | | $ 35.19 | | (10.60)% | | $ 969,596 | | 0.29% | | 0.29% | | 2.46% | | 61% (19) |
| For the Year Ended July 31, 2021 |
| | $ 42.52 | | $ 0.85 | | $ (0.35) | | $ 0.50 | | $ 0.01 | | $ (0.91) | | $ (0.96) | | $ (1.87) | | $ 41.16 | | 1.26% | | $ 1,059,971 | | 0.29% | | 0.29% | | 2.07% | | 49% (19) |
| For the Year Ended July 31, 2020 |
| | $ 40.87 | | $ 1.13(20) | | $ 2.90(20) | | $ 4.03 | | $ 0.02 | | $ (1.35) | | $ (1.05) | | $ (2.40) | | $ 42.52 | | 10.34% | | $ 697,309 | | 0.29% | | 0.29% | | 2.76% (20) | | 79% (19) |
| FINANCIAL HIGHLIGHTS FOOTNOTES |
| (1) | Information presented relates to a share outstanding throughout the indicated period. Net investment income (loss) per share amounts are calculated based on average shares outstanding unless otherwise noted. |
| (2) | Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at net asset value at the end of the distribution day. |
| (3) | Adjustments include waivers and reimbursements, if applicable. Ratios do not include fees paid indirectly (see Expenses in the accompanying Notes to Financial Statements). |
| (4) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
| (5) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 47%, 53% and 41% for the years ended July 31, 2022, July 31, 2021 and July 31, 2020, respectively. |
| (6) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 31, 2020 was an increase to net investment income per share for less than $0.005, decrease to net realized and unrealized gain (loss) on investments for less than $(0.005) and an increase to ratio of net investment income to average net assets of less than 0.005%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect this change in presentation. |
| (7) | Per share amount is less than $0.005. |
| (8) | The total returns have been calculated based on net assets which include adjustments made in accordance with U.S. Generally Accepted Accounting Principles required at period end for financial reporting purposes. These figures do not necessarily reflect the total return experienced by the shareholder and disclosed in the Shareholder Report. |
| (9) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 258%, 344%, 363%, 362% and 177% for the years ended July 31, 2024, July 31, 2023, July 31, 2022 and July 31, 2021 and the period ended July 31, 2020, respectively. |
| (10) | Commenced operations on February 19, 2020. |
| (11) | Not annualized. |
| (12) | Annualized. |
| (13) | Commenced operations on November 9, 2021. |
| (14) | Effective June 1, 2024, the Hartford Quality Value ETF changed its fiscal year end from October 31 to July 31 (See Note 1 in the Notes to Financial Statements). |
| (15) | As of October 13, 2023, the Hartford Quality Value ETF converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization and Liquidation (the "Reorganization"). All information and references to periods prior to the close of business on October 13, 2023 refers to the Predecessor Fund (as defined in Note 1). See Note 1 in the Notes to Financial Statements for additional information about the Reorganization. |
| (16) | Commenced operations on September 14, 2021. |
| (17) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 162%, 173% and 143% for the years ended July 31, 2024, July 31, 2023 and July 31, 2022, respectively. |
| (18) | Commenced operations on September 21, 2021. |
| (19) | Excluding TBA roll transactions. Had TBA roll transactions been included, the portfolio turnover rate would have been 359%, 436%, 450%, 499% and 659% for the years ended July 31, 2024, July 31, 2023, July 31, 2022, July 31, 2021 and July 31, 2020, respectively. |
| (20) | FASB issued ASU 2017-08 to amend the amortization period to the earliest call date for purchased callable debt securities held at a premium. Effective August 1, 2019, the Fund amended its amortization policy and the effect of this change for the year ended July 31, 2020 was a decrease to net investment income per share for less than $(0.005), increase to net realized and unrealized gain (loss) on investments for less than $0.005 and a decrease to ratio of net investment income to average net assets of (0.01)%. Per share data and ratios for periods prior to July 31, 2020 have not been restated to reflect a change in accounting standard. |
The accompanying notes are an integral part of these financial statements.
Notes to Financial Statements
July 31, 2024
| 1. | Organization: |
| | Hartford Funds Exchange-Traded Trust (the "Trust") is an open-end registered management investment company comprised of nine operational series as of July 31, 2024. Financial statements for the series of the Trust listed below (each, a "Fund" and collectively, the "Funds") are included in this report. |
| | |
| Hartford Funds Exchange-Traded Trust: |
| Hartford AAA CLO ETF (the "AAA CLO ETF") (formerly, Hartford Short Duration ETF) |
| Hartford Core Bond ETF (the "Core Bond ETF") |
| Hartford Large Cap Growth ETF (the "Large Cap Growth ETF") |
| Hartford Municipal Opportunities ETF (the "Municipal Opportunities ETF") |
| Hartford Quality Value ETF (the "Quality Value ETF") |
| Hartford Schroders Commodity Strategy ETF (Consolidated) (the "Commodity Strategy ETF") |
| Hartford Schroders Tax-Aware Bond ETF (the "Tax-Aware Bond ETF") |
| Hartford Sustainable Income ETF (the "Sustainable Income ETF") |
| Hartford Total Return Bond ETF (the "Total Return Bond ETF") |
AAA CLO ETF commenced operations on May 30, 2018 and changed its name, investment objective and strategy as of February 12, 2024. Core Bond ETF commenced operations on February 19, 2020. Large Cap Growth ETF commenced operations on November 9, 2021. Municipal Opportunities ETF commenced operations on December 13, 2017. Commodity Strategy ETF commenced operations on September 14, 2021. Tax-Aware Bond ETF commenced operations on April 18, 2018. Sustainable Income ETF commenced operations on September 21, 2021. Total Return Bond ETF commenced operations on September 27, 2017. Each Fund is an actively managed, exchange-traded fund ("ETF") that trades on an exchange like other publicly traded securities. Shares of Municipal Opportunities ETF, Commodity Strategy ETF, Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded on NYSE Arca, Inc. ("NYSE Arca"). Shares of AAA CLO ETF, Core Bond ETF, Large Cap Growth ETF, Quality Value ETF and Sustainable Income ETF are listed and traded on Cboe BZX Exchange, Inc. ("Cboe BZX"). Each share of a Fund represents a partial ownership in securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund in Creation Units at net asset value ("NAV") only by certain large institutional investors ("Authorized Participants") who have entered into agreements with ALPS Distributors, Inc. ("ALPS" or the "Distributor"), the Funds’ Distributor.
Quality Value ETF acquired all the assets and liabilities of the Hartford Quality Value Fund (the "Predecessor Fund") pursuant to an Agreement and Plan of Reorganization and Liquidation as of the close of business on October 13, 2023 (the “Reorganization”). Prior to October 13, 2023, the financial statements of the Quality Value ETF reflect the historical results of the Predecessor Fund. All information and references to periods prior to the close of business on October 13, 2023, refer to the Predecessor Fund. Following the Reorganization, the Predecessor Fund’s performance and financial history were adopted by Quality Value ETF.
Effective as of June 1, 2024, the Quality Value ETF fiscal year end changed from October 31 to July 31.
The assets of each Fund are separate, and a shareholder's interest is limited to the Fund in which shares are held. The Trust was organized as a Delaware statutory trust on September 20, 2010 and is registered with the Securities and Exchange Commission (the "SEC") under the Investment Company Act of 1940, as amended (the "1940 Act"). The shares of the Funds are registered under the Securities Act of 1933, as amended (the "Securities Act"). Each Fund is a diversified open-end management investment company. Each Fund applies specialized accounting and reporting standards under Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."
| 2. | Significant Accounting Policies: |
| | The following is a summary of significant accounting policies of each Fund used in the preparation of its financial statements, which are in accordance with United States Generally Accepted Accounting Principles ("U.S. GAAP"). The preparation of financial statements in accordance with U.S. GAAP may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. |
| a) | Determination of Net Asset Value – The NAV of each Fund's shares is determined as of the close of regular trading on the New York Stock Exchange (the “Exchange”) (normally 4:00 p.m. Eastern Time) (the “NYSE Close”) on each day that the Exchange is open (“Valuation Date”). If the Exchange is closed due to weather or other extraordinary circumstances on a day it would typically be open for business, each Fund may treat such day as a typical business day and accept creation and redemption orders from Authorized Participants and calculate each Fund’s NAV in accordance with applicable law. The NAV for the shares of each Fund is determined by dividing the value of the Fund’s |
Notes to Financial Statements – (continued)
July 31, 2024
| | net assets attributable to the shares by the number of shares outstanding. Information that becomes known to the Funds after the NAV has been calculated on a particular day will not generally be used to retroactively adjust the NAV determined earlier that day. |
| b) | Investment Valuation and Fair Value Measurements – For purposes of calculating the NAV per share of each Fund, portfolio securities and other assets held in a Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. |
| | With respect to a Fund's investments that do not have readily available market prices, the Trust's Board of Trustees (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager" or "HFMC") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). |
| | If market prices are not readily available or deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures"). |
| | The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee (the "Valuation Committee"). The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. |
| | Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, sell or redeem shares of the Fund. |
| | Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. |
| | Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange ("Exchange Close"). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. |
| | Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, sell or redeem shares of a Fund. |
| | Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. |
| | Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded Funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. |
| | Financial instruments for which prices are not available from an independent pricing service may be valued using quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. |
Notes to Financial Statements – (continued)
July 31, 2024
| | U.S. GAAP defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. These levels are: |
| • | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange-traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange-traded funds, rights and warrants. |
| • | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
| • | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
Valuation levels are not necessarily indicative of the risk associated with investing in such investments. Individual investments within any of the above mentioned asset classes may be assigned a different hierarchical level than those presented above, as individual circumstances dictate.
For additional information, refer to the Fair Value Summary and the Level 3 roll-forward reconciliation, if applicable, which follows each Fund’s Schedule of Investments.
| c) | Investment Transactions and Investment Income – Investment transactions are recorded as of the trade date (the date the order to buy or sell is executed) for financial reporting purposes. Investments purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after the trade date. Realized gains and losses are determined on the basis of identified cost. Income tax-related interest and penalties, if incurred, are recorded as income tax expense. |
| | The trade date for senior floating rate interests purchased in the primary loan market is considered the date on which the loan allocations are determined. The trade date for senior floating rate interests purchased in the secondary loan market is the date on which the transaction is entered into. |
| | Dividend income from domestic securities is accrued on the ex-dividend date. In general, dividend income from foreign securities is recorded on the ex-date; however, dividend notifications in certain foreign jurisdictions may not be available in a timely manner and as a result, a Fund will record the dividend as soon as the relevant details (i.e., rate per share, payment date, shareholders of record, etc.) are publicly available. |
| | Interest income, including amortization of premium, accretion of discounts, inflation adjustments and additional principal received in-kind in lieu of cash, is accrued on a daily basis. Paydown gains and losses on mortgage-related and other asset-backed securities are included in interest income in the Statements of Operations, as applicable. |
Please refer to Note 8 for Securities Lending information.
| d) | Taxes – A Fund may be subject to taxes imposed on realized gains on securities of certain foreign countries in which such Fund invests. A Fund may also be subject to taxes withheld on foreign dividends and interest from securities in which a Fund invests. The amount of any foreign taxes withheld and foreign tax expense is included on the accompanying Statements of Operations as a reduction to net investment income or net realized or unrealized gain (loss) on investments in these securities, if applicable. |
| e) | Foreign Currency Transactions – Assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars at the exchange rates in effect on the Valuation Date. Purchases and sales of investments, income and expenses are translated into U.S. dollars at the exchange rates on the dates of such transactions. |
| | A Fund does not isolate that portion of portfolio investment valuation resulting from fluctuations in the foreign currency exchange rates from the fluctuations arising from changes in the market prices of investments held. Exchange rate fluctuations are included with the net realized and unrealized gain or loss on investments in the accompanying financial statements. |
Notes to Financial Statements – (continued)
July 31, 2024
Net realized foreign exchange gains or losses arise from sales of foreign currencies and the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.
| f) | Dividend Distributions to Shareholders – Dividends are declared pursuant to a policy adopted by the Board. Dividends and/or distributions to shareholders are recorded on ex-date. The policy of AAA CLO ETF, Core Bond ETF, Municipal Opportunities ETF, Tax-Aware Bond ETF, Sustainable Income ETF and Total Return Bond ETF is to pay dividends from net investment income, if any, monthly and realized gains, if any, at least once a year. The policy of Large Cap Growth ETF, Quality Value ETF and Commodity Strategy ETF is to pay dividends from net investment income, if any, annually, and realized gains, if any, at least once a year. Dividends may be declared and paid more frequently or at any other times to comply with the distribution requirements of the Internal Revenue Code. |
| | Income dividends and capital gains distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP with respect to character and timing (see Federal Income Taxes: Distributions and Components of Distributable Earnings and Reclassification of Capital Accounts notes). |
| g) | Basis for Consolidation – The Commodity Strategy ETF may invest up to 25% of its total assets in a wholly owned subsidiary of the Commodity Strategy ETF (the "Subsidiary"). The Subsidiary is organized under the laws of the Cayman Islands and is consolidated in the Commodity Strategy ETF’s financial statements. All intercompany balances, revenues, and expenses have been eliminated in consolidation. The Subsidiary acts as an investment vehicle in order to enter into certain investments (primarily commodities) for the Commodity Strategy ETF consistent with the investment objectives and policies specified in the Prospectus and Statement of Additional Information. |
| 3. | Securities and Other Investments: |
| a) | Restricted Securities – Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund's Schedule of Investments. |
| b) | Investments Purchased on a When-Issued or Delayed-Delivery Basis – Delivery and payment for investments that have been purchased by a Fund on a forward commitment, or when-issued or delayed-delivery basis, take place beyond the customary settlement period. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery investments before they are delivered, which may result in a realized gain or loss. During this period, such investments are subject to market fluctuations, and a Fund identifies investments segregated in its records with a value at least equal to the amount of the commitment. See each Fund’s Schedule of Investments, if applicable, for when-issued or delayed-delivery investments as of July 31, 2024. |
| | A Fund may enter into to-be announced ("TBA") commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed-upon future settlement date. The specific securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate and mortgage terms. Although a Fund may enter into TBA commitments with the intention of acquiring or delivering securities for its portfolio, the Fund can extend the settlement date, roll the transaction, or dispose of a commitment prior to settlement if deemed appropriate to do so. If the TBA commitment is closed through the acquisition of an offsetting TBA commitment, a Fund realizes a gain or loss. In a TBA roll transaction, a Fund generally purchases or sells the initial TBA commitment prior to the agreed upon settlement date and enters into a new TBA commitment for future delivery or receipt of the mortgage-backed securities. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. See each Fund's Schedule of Investments, if applicable, for TBA commitments as of July 31, 2024. |
| c) | Senior Floating Rate Interests – Certain Funds may invest in senior floating rate interests. Senior floating rate interests generally hold the most senior position in the capital structure of a business entity (the "Borrower"), are typically secured by specific collateral and have a claim on the assets and/or stock of the Borrower that is senior to that held by subordinated debt holders and stockholders of the Borrower. Senior floating rate interests are typically structured and administered by a financial institution that acts as the agent of the lenders participating in the senior floating rate interest. A Fund may invest in multiple series or tranches of a senior floating rate interest, which may have varying terms and carry different associated risks. A Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments may include revolving credit facilities, which may obligate the Fund to supply additional cash to the Borrower on demand. Unfunded loan commitments represent a future obligation in full. A Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a senior floating rate interest. In certain circumstances, a Fund may receive various fees upon the restructure of a senior floating rate interest by a borrower. Fees earned/paid may be recorded as a component of income or realized gain/loss in the Statements of Operations. |
Notes to Financial Statements – (continued)
July 31, 2024
Senior floating rate interests are typically rated below-investment-grade, which suggests they are more likely to default and generally pay higher interest rates than investment-grade loans. A default could lead to non-payment of income, which would result in a reduction of income to a Fund, and there can be no assurance that the liquidation of any collateral would satisfy the Borrower’s obligation in the event of non-payment of scheduled interest or principal payments, or that such collateral could be readily liquidated. See each Fund's Schedule of Investments, if applicable, for outstanding senior floating rate interests as of July 31, 2024.
| d) | Mortgage-Related and Other Asset-Backed Securities – A Fund may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, stripped mortgage-backed securities, asset-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans. These securities provide a monthly payment that consists of both interest and principal payments. Interest payments may be determined by fixed or adjustable rates. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may have the effect of shortening or extending the effective duration of the security relative to what was anticipated at the time of purchase. The timely payment of principal and interest of certain mortgage-related securities is guaranteed by the full faith and credit of the United States Government. Mortgage-related and other asset-backed securities created and guaranteed by non-governmental issuers, including government-sponsored corporations, may be supported by various forms of insurance or guarantees, but there can be no assurance that the private insurers or guarantors can meet their obligations under the insurance policies or guarantee arrangements. See each Fund's Schedule of Investments, if applicable, for mortgage-related and other asset-backed securities as of July 31, 2024. |
| e) | Repurchase Agreements – A repurchase agreement is an agreement between two parties whereby one party sells the other a security at a specified price with a commitment to repurchase the security later at an agreed-upon price, date and interest payment. Each Fund is permitted to enter into fully collateralized repurchase agreements. The Trust's Board has delegated to the sub-adviser(s), as applicable, the responsibility of evaluating the creditworthiness of the banks and securities dealers with which the Funds will engage in repurchase agreements. The sub-adviser(s) will monitor such transactions to ensure that the value of underlying collateral will be at least equal to the total amount of the repurchase obligation as required by the valuation provision of the repurchase agreement, including the accrued interest. Repurchase agreements carry the risk that the market value of the securities declines below the repurchase price. A Fund could also lose money if it is unable to recover the securities and the value of any collateral held. In the event the borrower commences bankruptcy proceedings, a court may characterize the transaction as a loan. If a Fund has not perfected a security interest in the underlying collateral, the Fund may be required to return the underlying collateral to the borrower’s estate and be treated as an unsecured creditor. As an unsecured creditor, the Fund could lose some or all of the principal and interest involved in the transaction. See each Fund's Schedule of Investments, if applicable, for repurchase agreements as of July 31, 2024. |
| 4. | Financial Derivative Instruments: |
| | The following disclosures contain information on how and why a Fund may use derivative instruments, the credit-risk-related contingent features in certain derivative instruments, and how derivative instruments affect a Fund’s financial position and results of operations. The location and fair value amounts of these instruments on the Statements of Assets and Liabilities and the realized gains and losses and changes in unrealized gains and losses on the Statements of Operations, each categorized by type of derivative contract, are included in the following Additional Derivative Instrument Information footnote. The derivative instruments outstanding as of period-end are disclosed in the notes to the Schedules of Investments, if applicable. The amounts of realized gains and losses and changes in unrealized gains and losses on derivative instruments during the period are disclosed in the Statements of Operations. |
| a) | Futures Contracts – A Fund may enter into futures contracts. A futures contract is an agreement between two parties to buy or sell an asset at a set price on a future date. A Fund may use futures contracts to manage risk or obtain exposure to the investment markets, commodities, or movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the investments held by a Fund and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, a Fund is required to deposit with a futures commission merchant ("FCM") an amount of cash or U.S. Government or Agency Obligations in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and an appropriate amount equal to the change in value ("variation margin") is paid or received by a Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. |
| | During the year ended July 31, 2024, each of AAA CLO ETF, Core Bond ETF, Commodity Strategy ETF, Sustainable Income ETF and Total Return Bond ETF had used Futures Contracts. |
Notes to Financial Statements – (continued)
July 31, 2024
| b) | Foreign Currency Contracts – A Fund may enter into foreign currency contracts that obligate the Fund to purchase or sell currencies at specified future dates. Foreign currency contracts may be used in connection with settling purchases or sales of securities to hedge the currency exposure associated with some or all of a Fund’s investments and/or as part of an investment strategy. Foreign currency contracts are marked to market daily and the change in value is recorded by a Fund as an unrealized gain or loss. A Fund will record a realized gain or loss when the foreign currency contract is settled. |
| | Foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. In addition, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of the contracts and from unanticipated movements in the value of the foreign currencies relative to the U.S. dollar. Upon entering into a foreign currency contract, a Fund may be required to post margin equal to its outstanding exposure thereunder. |
| | During the year ended July 31, 2024, each of AAA CLO ETF, Sustainable Income ETF and Total Return Bond ETF had used Foreign Currency Contracts. |
| c) | Options Contracts – An option contract is a contract sold by one party to another party that offers the buyer the right, but not the obligation, to buy (call) or sell (put) an investment or other financial asset at an agreed-upon price during a specific period of time or on a specific date. Option contracts are either over-the-counter ("OTC") options or executed in a registered exchange ("exchange-traded options"). A Fund may write (sell) covered call and put options on futures, swaps ("swaptions"), securities, commodities or currencies. Writing put options may increase a Fund’s exposure to the underlying instrument. Writing call options may decrease a Fund’s exposure to the underlying instrument. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset amounts paid on the underlying futures, swaps, investments or currency transactions to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk a Fund may not be able to enter into a closing transaction because of an illiquid market. A Fund may also purchase put and call options. Purchasing call options may increase a Fund’s exposure to the underlying instrument. Purchasing put options may decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included on the Fund’s Statements of Assets and Liabilities as an investment and is subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is generally limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. Entering into OTC options also exposes a Fund to counterparty risk. Counterparty risk is the possibility that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements. |
During the year ended July 31, 2024, each of Sustainable Income ETF and Total Return Bond ETF had used Options Contracts.
| d) | Swap Contracts – A Fund may invest in swap contracts. Swap contracts are agreements to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified future intervals. Swap contracts are either privately negotiated in the over-the-counter market ("OTC swaps") or cleared through a central counterparty or derivatives clearing organization ("centrally cleared swaps"). A Fund may enter into credit default, total return, cross-currency, interest rate, inflation and other forms of swap contracts to manage its exposure to credit, currency, interest rate, commodity and inflation risk. Swap contracts are also used to gain exposure to certain markets. In connection with these contracts, investments or cash may be identified as collateral or margin in accordance with the terms of the respective swap contracts and/or master netting arrangement to provide assets of value and recourse in the event of default or bankruptcy/insolvency. |
| | Swaps are valued in accordance with the Valuation Procedures. Changes in market value, if any, are reflected as a component of net changes in unrealized appreciation or depreciation on the Statements of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable for the change in value ("variation margin") on the Statements of Assets and Liabilities. Realized gains or losses on centrally cleared swaps are recorded upon the termination of the swaps. OTC swap payments received or paid at the beginning of the measurement period are reflected as such on the Statements of Assets and Liabilities and represent premiums paid or received upon entering into the swap contract to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). These upfront premiums are recorded as realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as a realized gain or loss on the Statements of Operations. Net periodic payments received or paid by a Fund are included as part of realized gains or losses on the Statements of Operations. |
Notes to Financial Statements – (continued)
July 31, 2024
| | Entering into these contracts involves, to varying degrees, elements of liquidation, counterparty, credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contracts may default on its obligation to perform or disagree as to the meaning of contractual terms in the contracts, and that there may be unfavorable changes in market conditions (credit spreads, currency exchange rates, interest rates and other relevant factors). |
| | A Fund’s maximum risk of loss from counterparty risk for OTC swaps is the net value of the discounted cash flows to be received from the counterparty over the contract’s remaining life, and current market value, to the extent that amount is positive. The risk is mitigated by having a master netting arrangement between a Fund and the counterparty, which allows for the netting of payments made or received (although such amounts are presented on a gross basis within the Statements of Assets and Liabilities, as applicable) as well as the posting of collateral to a Fund to cover the Fund’s exposure to the counterparty. In a centrally cleared swap, while a Fund enters into an agreement with a clearing broker to execute contracts with a counterparty, the performance of the swap is guaranteed by the central clearinghouse, which reduces the Fund’s exposure to counterparty risk. However, the Fund is still exposed to a certain amount of counterparty risk through the clearing broker and clearinghouse. The clearinghouse attempts to minimize this risk to its participants through the use of mandatory margin requirements, daily cash settlements and other procedures. Likewise, the clearing broker reduces its risk through margin requirements and required segregation of customer balances. |
| | Credit Default Swap Contracts – The credit default swap market allows a Fund to manage credit risk through buying and selling credit protection on a specific issuer, asset or basket of assets. Certain credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying investment or index in the event of a credit event, such as payment default or bankruptcy. |
| | Under a credit default swap contract, one party acts as guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying investment at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. A "buyer" of credit protection agrees to pay a counterparty to assume the credit risk of an issuer upon the occurrence of certain events. The "seller" of the protection receives periodic payments and agrees to assume the credit risk of an issuer upon the occurrence of certain events. Although specified events are contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. A "seller’s" exposure is limited to the total notional amount of the credit default swap contract. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or upfront payments received upon entering into the contract. |
| | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap contracts on corporate issues, sovereign government issues or U.S. municipal issues as of year-end are disclosed in the notes to the Schedules of Investments, as applicable, and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and there may also be upfront payments required to be made to enter into the contract. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. For credit default swap contracts on credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced equity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| | During the year ended July 31, 2024, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had entered into Credit Default Swap Contracts. |
| | Interest Rate Swap Contracts – Certain Funds are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. A Fund may use interest rate swaps to hedge interest rate and duration risk across a portfolio at particular duration points to maintain its ability to generate income at prevailing market rates. In a typical interest rate swap, one party agrees to make regular payments equal to a floating interest rate, based on a specified interest rate or benchmark (e.g. Secured Overnight Financing Rate (“SOFR”)), multiplied by a notional amount, in return for payments equal to a fixed rate multiplied by the same amount, for a specific period of time. The net interest received or paid on interest rate swap contracts is recorded as a realized gain or loss. Interest rate swaps are marked to market daily and the change, if any, is recorded as an unrealized gain or loss in the Statements of Operations. When the interest rate swap contract is terminated early, a Fund records a realized gain or loss equal to the difference between the current market value and the upfront premium or cost. |
Notes to Financial Statements – (continued)
July 31, 2024
| | If an interest rate swap contract provides for payments in different currencies, the parties might agree to exchange the notional amount as well. Interest rate swaps may also depend on other prices or rates, such as the value of an index. The risks of interest rate swaps include changes in market conditions, which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the contract. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. |
| | During the year ended July 31, 2024, each of Core Bond ETF, Sustainable Income ETF and Total Return Bond ETF had used Interest Rate Swap Contracts. |
| e) | Additional Derivative Instrument Information: |
| | AAA CLO ETF |
| | |
| The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net realized gain (loss) on futures contracts | $ (134,120) | | $ — | | $ — | | $ — | | $ — | | $ (134,120) |
| Net realized gain (loss) on foreign currency contracts | — | | 17,436 | | — | | — | | — | | 17,436 |
| Total | $ (134,120) | | $ 17,436 | | $ — | | $ — | | $ — | | $ (116,684) |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) of futures contracts | $ 45,465 | | $ — | | $ — | | $ — | | $ — | | $ 45,465 |
| Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | | 1,935 | | — | | — | | — | | 1,935 |
| Total | $ 45,465 | | $ 1,935 | | $ — | | $ — | | $ — | | $ 47,400 |
For the year ended July 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative Description | | Average Notional
Par, Contracts
or Face Amount |
| Futures Contracts Number of Long Contracts | | 28 |
| Futures Contracts Number of Short Contracts | | (52) |
| Foreign Currency Contracts Purchased at Contract Amount | | $ 207,277 |
| Foreign Currency Contracts Sold at Contract Amount | | $ 627,841 |
Core Bond ETF
| The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Assets: | | | | | | | | | | | |
| Unrealized appreciation on swap contracts(1) | $ 254,393 | | $ — | | $ — | | $ — | | $ — | | $ 254,393 |
| Total | $ 254,393 | | $ — | | $ — | | $ — | | $ — | | $ 254,393 |
| Liabilities: | | | | | | | | | | | |
| Unrealized depreciation on futures contracts(2) | $ 235,410 | | $ — | | $ — | | $ — | | $ — | | $ 235,410 |
| Unrealized depreciation on swap contracts(1) | 40,455 | | — | | — | | — | | — | | 40,455 |
| Total | $ 275,865 | | $ — | | $ — | | $ — | | $ — | | $ 275,865 |
| (1) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statement of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
| (2) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
Notes to Financial Statements – (continued)
July 31, 2024
Core Bond ETF – (continued)
| The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net realized gain (loss) on futures contracts | $ 1,677,437 | | $ — | | $ — | | $ — | | $ — | | $ 1,677,437 |
| Net realized gain (loss) on swap contracts | 72,375 | | — | | 55,467 | | — | | — | | 127,842 |
| Total | $ 1,749,812 | | $ — | | $ 55,467 | | $ — | | $ — | | $ 1,805,279 |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) of futures contracts | $ (683,727) | | $ — | | $ — | | $ — | | $ — | | $ (683,727) |
| Net change in unrealized appreciation (depreciation) of swap contracts | 61,479 | | — | | (14,503) | | — | | — | | 46,976 |
| Total | $ (622,248) | | $ — | | $ (14,503) | | $ — | | $ — | | $ (636,751) |
For the year ended July 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative Description | | Average Notional
Par, Contracts
or Face Amount |
| Futures Contracts Number of Long Contracts | | 92 |
| Futures Contracts Number of Short Contracts | | (241) |
| Swap Contracts at Notional Amount | | $ 5,935,417 |
Commodity Strategy ETF (Consolidated)
| The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Assets: | | | | | | | | | | | |
| Unrealized appreciation on futures contracts(1) | $ — | | $ — | | $ — | | $ — | | $ 144,450 | | $ 144,450 |
| Total | $ — | | $ — | | $ — | | $ — | | $ 144,450 | | $ 144,450 |
| Liabilities: | | | | | | | | | | | |
| Unrealized depreciation on futures contracts(1) | $ — | | $ — | | $ — | | $ — | | $ 772,863 | | $ 772,863 |
| Total | $ — | | $ — | | $ — | | $ — | | $ 772,863 | | $ 772,863 |
| (1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
| The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net realized gain (loss) on futures contracts | $ — | | $ — | | $ — | | $ — | | $ 5,140 | | $ 5,140 |
| Total | $ — | | $ — | | $ — | | $ — | | $ 5,140 | | $ 5,140 |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) of futures contracts | $ — | | $ — | | $ — | | $ — | | $ (1,430,699) | | $ (1,430,699) |
| Total | $ — | | $ — | | $ — | | $ — | | $ (1,430,699) | | $ (1,430,699) |
Notes to Financial Statements – (continued)
July 31, 2024
Commodity Strategy ETF (Consolidated) – (continued)
For the year ended July 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative Description | | Average Notional
Par, Contracts
or Face Amount |
| Futures Contracts Number of Long Contracts | | 266 |
| Futures Contracts Number of Short Contracts | | (33) |
Sustainable Income ETF
| The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Assets: | | | | | | | | | | | |
| Unrealized appreciation on futures contracts(1) | $ 303,320 | | $ — | | $ — | | $ — | | $ — | | $ 303,320 |
| Unrealized appreciation on foreign currency contracts | — | | 23,553 | | — | | — | | — | | 23,553 |
| Unrealized appreciation on swap contracts(2) | 69,848 | | — | | 41,706 | | — | | — | | 111,554 |
| Total | $ 373,168 | | $ 23,553 | | $ 41,706 | | $ — | | $ — | | $ 438,427 |
| Liabilities: | | | | | | | | | | | |
| Unrealized depreciation on futures contracts(1) | $ 110,073 | | $ — | | $ — | | $ — | | $ — | | $ 110,073 |
| Unrealized depreciation on foreign currency contracts | — | | 51,543 | | — | | — | | — | | 51,543 |
| Unrealized depreciation on swap contracts(2) | 12,193 | | — | | 1,507 | | — | | — | | 13,700 |
| Total | $ 122,266 | | $ 51,543 | | $ 1,507 | | $ — | | $ — | | $ 175,316 |
| (1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
| (2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statement of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
| The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net realized gain (loss) on futures contracts | $ (109,836) | | $ — | | $ — | | $ — | | $ — | | $ (109,836) |
| Net realized gain (loss) on written options contracts | 40,319 | | — | | — | | — | | — | | 40,319 |
| Net realized gain (loss) on swap contracts | 231,605 | | — | | 278,679 | | — | | — | | 510,284 |
| Net realized gain (loss) on foreign currency contracts | — | | 321,226 | | — | | — | | — | | 321,226 |
| Total | $ 162,088 | | $ 321,226 | | $ 278,679 | | $ — | | $ — | | $ 761,993 |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) of futures contracts | $ 485,167 | | $ — | | $ — | | $ — | | $ — | | $ 485,167 |
| Net change in unrealized appreciation (depreciation) of swap contracts | 18,580 | | — | | (101,643) | | — | | — | | (83,063) |
| Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | | 8,582 | | — | | — | | — | | 8,582 |
| Total | $ 503,747 | | $ 8,582 | | $ (101,643) | | $ — | | $ — | | $ 410,686 |
Notes to Financial Statements – (continued)
July 31, 2024
Sustainable Income ETF – (continued)
For the year ended July 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative Description | | Average Notional
Par, Contracts
or Face Amount |
| Futures Contracts Number of Long Contracts | | 183 |
| Futures Contracts Number of Short Contracts | | (85) |
| Written Options at Notional Amount | | $ (436,667) |
| Swap Contracts at Notional Amount | | $ 6,960,966 |
| Foreign Currency Contracts Purchased at Contract Amount | | $ 532,993 |
| Foreign Currency Contracts Sold at Contract Amount | | $ 11,621,636 |
Total Return Bond ETF
| The Effect of Derivative Instruments on the Statement of Assets and Liabilities as of July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Assets: | | | | | | | | | | | |
| Unrealized appreciation on futures contracts(1) | $ 1,551,303 | | $ — | | $ — | | $ — | | $ — | | $ 1,551,303 |
| Unrealized appreciation on foreign currency contracts | — | | 190,400 | | — | | — | | — | | 190,400 |
| Unrealized appreciation on swap contracts(2) | 1,480,443 | | — | | 12,248 | | — | | — | | 1,492,691 |
| Total | $ 3,031,746 | | $ 190,400 | | $ 12,248 | | $ — | | $ — | | $ 3,234,394 |
| Liabilities: | | | | | | | | | | | |
| Unrealized depreciation on futures contracts(1) | $ 798,593 | | $ — | | $ — | | $ — | | $ — | | $ 798,593 |
| Unrealized depreciation on foreign currency contracts | — | | 195,540 | | — | | — | | — | | 195,540 |
| Unrealized depreciation on swap contracts(2) | 547,120 | | — | | — | | — | | — | | 547,120 |
| Total | $ 1,345,713 | | $ 195,540 | | $ — | | $ — | | $ — | | $ 1,541,253 |
| (1) | Amount represents the cumulative appreciation and depreciation on futures contracts as disclosed within the Schedule of Investments under the open “Futures Contracts” section. Only current day’s variation margin, if any, is reported within the Statement of Assets and Liabilities. |
| (2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Schedule of Investments. Only the current day’s variation margin, if any, are reported within the Statement of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on OTC swap contracts, if applicable. |
| The Effect of Derivative Instruments on the Statement of Operations for the year ended July 31, 2024: |
| | Risk Exposure Category |
| | Interest Rate
Contracts | | Foreign
Currency
Contracts | | Credit
Contracts | | Equity
Contracts | | Commodity
Contracts | | Total |
| Realized Gain (Loss) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net realized gain (loss) on purchased options contracts | $ 13,393 | | $ — | | $ — | | $ — | | $ — | | $ 13,393 |
| Net realized gain (loss) on futures contracts | 6,563,484 | | — | | — | | — | | — | | 6,563,484 |
| Net realized gain (loss) on swap contracts | 6,024 | | — | | (159,815) | | — | | — | | (153,791) |
| Net realized gain (loss) on foreign currency contracts | — | | 758,995 | | — | | — | | — | | 758,995 |
| Total | $ 6,582,901 | | $ 758,995 | | $ (159,815) | | $ — | | $ — | | $ 7,182,081 |
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | | | | | | | | | | | |
| Net change in unrealized appreciation (depreciation) of investments in purchased options contracts | $ 4,845 | | $ — | | $ — | | $ — | | $ — | | $ 4,845 |
| Net change in unrealized appreciation (depreciation) of futures contracts | 1,981,948 | | — | | — | | — | | — | | 1,981,948 |
| Net change in unrealized appreciation (depreciation) of swap contracts | 62,250 | | — | | 607,760 | | — | | — | | 670,010 |
| Net change in unrealized appreciation (depreciation) of foreign currency contracts | — | | 522,098 | | — | | — | | — | | 522,098 |
| Total | $ 2,049,043 | | $ 522,098 | | $ 607,760 | | $ — | | $ — | | $ 3,178,901 |
Notes to Financial Statements – (continued)
July 31, 2024
Total Return Bond ETF – (continued)
For the year ended July 31, 2024, the average monthly amount or number per contract outstanding for each derivative type was as follows:
| Derivative Description | | Average Notional
Par, Contracts
or Face Amount |
| Purchased Options at Notional Amount | | $ 5,850,000 |
| Futures Contracts Number of Long Contracts | | 1,744 |
| Futures Contracts Number of Short Contracts | | (1,462) |
| Swap Contracts at Notional Amount | | $ 41,376,313 |
| Foreign Currency Contracts Purchased at Contract Amount | | $ 424,591 |
| Foreign Currency Contracts Sold at Contract Amount | | $ 26,731,844 |
| f) | Balance Sheet Offsetting Information – Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the financial statements, and instruments and transactions that are subject to a master netting arrangement, as well as amounts related to margin, reflected as financial collateral (including cash collateral), held at clearing brokers, counterparties and a Fund's custodian. The master netting arrangements allow the clearing brokers to net any collateral held in or on behalf of a Fund, or liabilities or payment obligations of the clearing brokers to a Fund, against any liabilities or payment obligations of a Fund to the clearing brokers. A Fund is required to deposit financial collateral (including cash collateral) at the Fund's custodian on behalf of clearing brokers and counterparties to continually meet the original and maintenance requirements established by the clearing brokers and counterparties. Such requirements are specific to the respective clearing broker or counterparty. Certain master netting arrangements may not be enforceable in a bankruptcy. |
| | The following tables present a Fund's derivative assets and liabilities, presented on a gross basis as no amounts are netted within the Statements of Assets and Liabilities, by counterparty net of amounts available for offset under a master netting agreement or similar agreement ("MNA") and net of the related collateral received/pledged by a Fund as of July 31, 2024: |
| | |
| Core Bond ETF | | | | |
| Derivative Financial Instruments: | | Assets | | Liabilities |
| Futures contracts | | $ — | | $ (235,410) |
| Swap contracts | | 254,393 | | (40,455) |
| Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | 254,393 | | (275,865) |
| Derivatives not subject to a MNA | | (254,393) | | 275,865 |
| Total gross amount of assets and liabilities subject to MNA or similar agreements | | $ — | | $ — |
| Commodity Strategy ETF (Consolidated) | | | | |
| Derivative Financial Instruments: | | Assets | | Liabilities |
| Futures contracts | | $ 144,450 | | $ (772,863) |
| Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | 144,450 | | (772,863) |
| Derivatives not subject to a MNA | | (144,450) | | 772,863 |
| Total gross amount of assets and liabilities subject to MNA or similar agreements | | $ — | | $ — |
| Sustainable Income ETF | | | | |
| Derivative Financial Instruments: | | Assets | | Liabilities |
| Foreign currency contracts | | $ 23,553 | | $ (51,543) |
| Futures contracts | | 303,320 | | (110,073) |
| Swap contracts | | 111,554 | | (13,700) |
| Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | 438,427 | | (175,316) |
| Derivatives not subject to a MNA | | (408,456) | | 122,573 |
| Total gross amount of assets and liabilities subject to MNA or similar agreements | | $ 29,971 | | $ (52,743) |
Notes to Financial Statements – (continued)
July 31, 2024
| Counterparty | | Gross Amount
of Assets | | Financial
Instruments
and Derivatives
Available
for Offset | | Non-cash
Collateral
Received* | | Cash
Collateral
Received* | | Net Amount
of Assets |
| Barclays | | $ 1,723 | | $ — | | $ — | | $ — | | $ 1,723 |
| Citibank NA | | 6,754 | | (1,106) | | — | | — | | 5,648 |
| Credit Agricole | | 252 | | — | | — | | — | | 252 |
| Deutsche Bank Securities, Inc. | | 16,870 | | (16,870) | | — | | — | | — |
| Morgan Stanley | | 1,412 | | (1,412) | | — | | — | | — |
| State Street Global Markets LLC | | 2,847 | | (1,009) | | — | | — | | 1,838 |
| UBS AG | | 113 | | — | | — | | — | | 113 |
| Total | | $ 29,971 | | $ (20,397) | | $ — | | $ — | | $ 9,574 |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Counterparty | | Gross Amount
of Liabilities | | Financial
Instruments
and Derivatives
Available
for Offset | | Non-cash
Collateral
Pledged* | | Cash
Collateral
Pledged* | | Net Amount
of Liabilities |
| Citibank NA | | $ (1,106) | | $ 1,106 | | $ — | | $ — | | $ — |
| Deutsche Bank Securities, Inc. | | (25,915) | | 16,870 | | — | | — | | (9,045) |
| Goldman Sachs & Co. | | (4,768) | | — | | — | | — | | (4,768) |
| JP Morgan Chase & Co. | | (6) | | — | | — | | — | | (6) |
| Morgan Stanley | | (13,953) | | 1,412 | | — | | — | | (12,541) |
| NatWest Markets Plc | | (2,202) | | — | | — | | — | | (2,202) |
| RBC Dominion Securities, Inc. | | (3) | | — | | — | | — | | (3) |
| Standard Chartered Bank | | (3,781) | | — | | — | | — | | (3,781) |
| State Street Global Markets LLC | | (1,009) | | 1,009 | | — | | — | | — |
| Total | | $ (52,743) | | $ 20,397 | | $ — | | $ — | | $ (32,346) |
| * | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
| Total Return Bond ETF | | | | |
| Derivative Financial Instruments: | | Assets | | Liabilities |
| Foreign currency contracts | | $ 190,400 | | $ (195,540) |
| Futures contracts | | 1,551,303 | | (798,593) |
| Swap contracts | | 1,492,691 | | (547,120) |
| Total gross amount of derivative assets and liabilities in the Statement of Assets and Liabilities | | 3,234,394 | | (1,541,253) |
| Derivatives not subject to a MNA | | (3,043,994) | | 1,345,713 |
| Total gross amount of assets and liabilities subject to MNA or similar agreements | | $ 190,400 | | $ (195,540) |
| Counterparty | | Gross Amount
of Assets | | Financial
Instruments
and Derivatives
Available
for Offset | | Non-cash
Collateral
Received* | | Cash
Collateral
Received* | | Net Amount
of Assets |
| Credit Agricole | | $ 525 | | $ — | | $ — | | $ — | | $ 525 |
| Goldman Sachs & Co. | | 189,875 | | — | | — | | — | | 189,875 |
| Total | | $ 190,400 | | $ — | | $ — | | $ — | | $ 190,400 |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Counterparty | | Gross Amount
of Liabilities | | Financial
Instruments
and Derivatives
Available
for Offset | | Non-cash
Collateral
Pledged* | | Cash
Collateral
Pledged* | | Net Amount
of Liabilities |
| Deutsche Bank Securities, Inc. | | $ (191,572) | | $ — | | $ — | | $ — | | $ (191,572) |
| NatWest Markets Plc | | (3,968) | | — | | — | | — | | (3,968) |
| Total | | $ (195,540) | | $ — | | $ — | | $ — | | $ (195,540) |
| * | In some instances, the actual collateral received and/or pledged may be more than the amount shown. |
Notes to Financial Statements – (continued)
July 31, 2024
| 5. | Principal Risks: |
| | A Fund’s investments expose it to various types of risks associated with financial instruments and the markets. A Fund may be exposed to the risks described below. Each Fund's prospectus provides details of its principal risks. |
| | The market values of equity securities, such as common stocks and preferred stocks, or equity related derivative investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. The market value of equity securities may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The extent of each Fund’s exposure to market risk is the market value of the investments held as shown in the Fund’s Schedule of Investments. |
| | Certain investments held by a Fund expose the Fund to various risks which may include, but are not limited to, interest rate, prepayment, and extension risks. Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the values of certain fixed income securities held by a Fund are likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. Duration is useful primarily as a measure of the sensitivity of a fixed income security’s market price to interest rate (i.e., yield) movements. Senior floating rate interests and securities subject to prepayment and extension risk generally offer less potential for gains when interest rates decline. Rising interest rates may cause prepayments to occur at a slower than expected rate, thereby effectively lengthening the maturity of the security and making the security more sensitive to interest rate changes. Prepayment and extension risk are major risks of mortgage-backed securities, senior floating rate interests and certain asset-backed securities. For certain asset-backed securities, the actual maturity may be less than the stated maturity shown in the Schedule of Investments, if applicable. As a result, the timing of income recognition relating to these securities may vary based upon the actual maturity. |
| | Investing in the securities of non-U.S. issuers, whether directly or indirectly, involves certain considerations and risks not typically associated with securities of U.S. issuers. Such risks include, but are not limited to: generally less liquid and less efficient securities markets; generally greater price volatility; exchange rate fluctuations; imposition of restrictions on the expatriation of funds or other protectionist measures; less publicly available information about issuers; the imposition of withholding or other taxes; higher transaction and custody costs; settlement delays and risk of loss attendant in settlement procedures; difficulties in enforcing contractual obligations; less regulation of securities markets; different accounting, disclosure and reporting requirements; more substantial governmental involvement in the economy; higher inflation rates; and greater social, economic and political uncertainties. Non-U.S. issuers may also be affected by political, social, economic or diplomatic developments in a foreign country or region or the U.S. (including the imposition of sanctions, tariffs, or other governmental restrictions). These risks are heightened for investments in issuers from countries with less developed markets. |
| | Credit risk depends largely on the perceived financial health of bond issuers. In general, the credit rating is inversely related to the credit risk of the issuer. Higher rated bonds generally are deemed to have less credit risk, while lower or unrated bonds are deemed to have higher risk of default. The share price, yield and total return of a fund that holds securities with higher credit risk may be more volatile than those of a fund that holds bonds with lower credit risk. A Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. |
| | Geopolitical events, including the invasion of Ukraine by Russia and conflict between Israel and Hamas, have injected uncertainty into the global financial markets. Investments in Russia are subject to political, economic, legal, market and currency risks, as well as the risks related to the economic sanctions on Russia imposed by the United States and/or other countries. Such sanctions which affect companies in many sectors, including energy, financial services and defense, among others, have adversely affected and could continue to adversely affect the global energy and financial markets and, thus, have adversely affected and could continue to adversely affect the value of a Fund’s investments, even beyond any direct exposure the Fund may have to Russian issuers or the adjoining geographic regions. In addition, certain transactions have or may be prohibited and/or existing investments have or may become illiquid (e.g., because transacting in certain existing investments is prohibited), which could cause a Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet redemptions. |
| | A widespread health crisis, such as a global pandemic, could cause substantial market volatility, exchange trading suspensions or restrictions and closures of securities exchanges and businesses, impact the ability to complete redemptions, and adversely impact Fund performance. |
| a) | Each Fund intends to continue to qualify as a Regulated Investment Company ("RIC") under Subchapter M of the Internal Revenue Code ("IRC") by distributing substantially all of its taxable net investment income and net realized capital gains to its shareholders each year. Each Fund has distributed substantially all of its income and capital gains in prior years, if applicable, and intends to distribute substantially all of its income and capital gains during the calendar year ending December 31, 2024. Accordingly, no provision for federal income or excise taxes |
Notes to Financial Statements – (continued)
July 31, 2024
| | has been made in the accompanying financial statements. Distributions from short-term capital gains are treated as ordinary income distributions for federal income tax purposes. |
| b) | Net Investment Income (Loss), Net Realized Gains (Losses) and Distributions – Net investment income (loss) and net realized gains (losses) may differ for financial statement and tax purposes primarily because of losses deferred due to wash sale adjustments, foreign currency gains and losses, straddle deferrals, post-October losses deferrals, redemptions in-kind, derivatives, reclassification of dividend income, debt modification, late-year ordinary loss deferral, adjustments related to Passive Foreign Investment Companies ("PFICs") and the treatment of income from the Subsidiary. The character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by each Fund. |
| c) | Distributions and Components of Distributable Earnings – The tax character of distributions paid by each Fund for the year or period ended July 31, 2024 and the year ended July 31, 2023 are as follows (as adjusted for dividends payable, if applicable): |
| | |
| | | For the Year or Period Ended
July 31, 2024 | | For the Year Ended
July 31, 2023 |
| Fund | | Tax Exempt
Income | | Ordinary
Income | | Long-Term
Capital Gains(1) | | Tax Exempt
Income | | Ordinary
Income |
| AAA CLO ETF | | $ — | | $ 4,989,643 | | $ — | | $ — | | $ 2,132,637 |
| Core Bond ETF | | — | | 10,127,908 | | — | | — | | 7,005,459 |
| Large Cap Growth ETF | | — | | — | | — | | — | | — |
| Municipal Opportunities ETF | | 11,811,311 | | 874,856 | | — | | 8,161,928 | | 541,798 |
| Quality Value ETF(2) | | — | | 4,642,738 | | 246,350 | | — | | — |
| Commodity Strategy ETF (Consolidated) | | — | | 875,001 | | — | | — | | 11,692,691 |
| Tax-Aware Bond ETF | | 6,143,266 | | 2,274,549 | | — | | 1,575,850 | | 1,195,953 |
| Sustainable Income ETF | | — | | 3,702,553 | | — | | — | | 2,636,854 |
| Total Return Bond ETF | | — | | 62,097,166 | | — | | — | | 35,217,184 |
| | | | | | | | | | | |
| (1) | The Funds designate these distributions as long-term capital gains dividends pursuant to IRC Sec 852(b)(3)(c). |
| (2) | For the period from November 1, 2023 to July 31, 2024. Effective June 1, 2024, the Quality Value ETF changed its fiscal year end from October 31 to July 31 (See Note 1). For the years ended October 31, 2023 and October 31, 2022, the Predecessor Fund distributed $3,920,496 and $3,291,556 in ordinary income and $11,687,936 and $11,024,502 in long-term capital gains, respectively. |
As of July 31, 2024, the components of total accumulated earnings (deficit) for each Fund on a tax basis are as follows:
| Fund | | Tax Exempt
Income | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Accumulated
Capital and
Other Losses | | Other
Temporary
Differences(1) | | Unrealized
Appreciation
(Depreciation)
on Investments | | Total
Accumulated
Earnings
(Deficit) |
| AAA CLO ETF | | $ — | | $ 729,300 | | $ — | | $ (1,896,295) | | $ (523,768) | | $ 63,719 | | $ (1,627,044) |
| Core Bond ETF | | — | | 1,393,595 | | — | | (24,538,625) | | (1,530,866) | | (15,029,328) | | (39,705,224) |
| Large Cap Growth ETF | | — | | — | | — | | (16,591,530) | | (180,073) | | 37,174,430 | | 20,402,827 |
| Municipal Opportunities ETF | | 1,740,269 | | — | | — | | (7,086,828) | | (1,125,356) | | (2,857,982) | | (9,329,897) |
| Quality Value ETF | | — | | 3,216,874 | | 2,842,329 | | — | | — | | 43,352,054 | | 49,411,257 |
| Commodity Strategy ETF (Consolidated) | | — | | 260,704 | | — | | — | | — | | (591,534) | | (330,830) |
| Tax-Aware Bond ETF | | 1,356,926 | | — | | — | | (8,199,799) | | (1,130,092) | | 3,683,043 | | (4,289,922) |
| Sustainable Income ETF | | — | | 725,845 | | — | | (6,160,776) | | (340,703) | | (1,038,102) | | (6,813,736) |
| Total Return Bond ETF | | — | | 9,948,718 | | — | | (88,263,636) | | (10,349,811) | | (58,392,667) | | (147,057,396) |
| (1) | The temporary differences noted above are comprised of distributions payable, straddle related deferrals, and ordinary income late year loss deferrals. |
| d) | Reclassification of Capital Accounts – The Funds may record reclassifications in their capital accounts. These reclassifications have no impact on the total net assets of the Funds. The reclassifications are a result of permanent differences between U.S. GAAP and tax accounting for such items as net operating loss, redemption in-kind, subsequent adjustments to wash sales, reclassification of dividend income, earnings and profits distributed to shareholders on the redemption of shares and book income/loss from the Subsidiary. Adjustments are made to reflect the impact these items have on the current and future earnings distributions to shareholders. Therefore, the source of the Funds' distributions may be shown in the accompanying Statements of Changes in Net Assets as from distributable earnings |
Notes to Financial Statements – (continued)
July 31, 2024
| | or from capital depending on the type of book and tax differences that exist. For the year or period ended July 31, 2024, the Funds recorded reclassifications to increase (decrease) the accounts listed below: |
| | |
| Fund | | Paid-in-Capital | | Distributable
Earnings (Loss) |
| AAA CLO ETF | | $ (261,138) | | $ 261,138 |
| Core Bond ETF | | (868,307) | | 868,307 |
| Large Cap Growth ETF | | (16,484) | | 16,484 |
| Quality Value ETF(1) | | 9,565,396 | | (9,565,396) |
| Commodity Strategy ETF (Consolidated) | | 49,571 | | (49,571) |
| Sustainable Income ETF | | 2,229 | | (2,229) |
| Total Return Bond ETF | | (1,339,455) | | 1,339,455 |
| (1) | For the period from November 1, 2023 to July 31, 2024. |
| e) | Capital Loss Carryforward – Under the Regulated Investment Company Modernization Act of 2010, funds are permitted to carry forward capital losses for an unlimited period. |
| | At July 31, 2024 (tax year end), each Fund's capital loss carryforwards for U.S. federal income tax purposes were as follows: |
| | |
| Fund | | Short-Term
Capital Loss
Carryforward with
No Expiration | | Long-Term
Capital Loss
Carryforward with
No Expiration |
| AAA CLO ETF | | $ — | | $ 1,896,295 |
| Core Bond ETF | | 15,277,359 | | 9,261,266 |
| Large Cap Growth ETF | | 16,591,530 | | — |
| Municipal Opportunities ETF | | 3,001,137 | | 4,085,691 |
| Tax-Aware Bond ETF | | 4,932,575 | | 3,267,224 |
| Sustainable Income ETF | | 1,895,742 | | 4,265,034 |
| Total Return Bond ETF | | 47,677,424 | | 40,586,212 |
During the year ended July 31, 2024, Large Cap Growth ETF deferred $180,073 of Late-Year Ordinary Loss.
During the year ended July 31, 2024, AAA CLO ETF utilized $347,836, Large Cap Growth ETF utilized $5,212,217, Municipal Opportunities ETF utilized $556,950, Commodity Strategy ETF utilized $89,537, Sustainable Income ETF utilized $567,886 and Total Return Bond ETF utilized $5,662,036 of prior year capital loss carryforwards.
| f) | Tax Basis of Investments – The aggregate cost of investments for federal income tax purposes at July 31, 2024 is different from book purposes primarily due to wash sale deferrals. The net unrealized appreciation/(depreciation) on investments for tax purposes, which consists of gross unrealized appreciation and depreciation was also different from book purposes primarily due to wash sale loss deferrals and mark-to-market adjustments on swaps, forwards, futures, options, reclassification of dividend income, and investments in The Subsidiary. Both the cost and unrealized appreciation and depreciation for federal income tax purposes are disclosed below: |
| | |
| Fund | | Tax Cost | | Gross Unrealized
Appreciation | | Gross Unrealized
(Depreciation) | | Net Unrealized
Appreciation
(Depreciation) |
| AAA CLO ETF | | $ 85,148,764 | | $ 134,315 | | $ (70,596) | | $ 63,719 |
| Core Bond ETF | | 323,549,114 | | 2,648,228 | | (17,677,556) | | (15,029,328) |
| Large Cap Growth ETF | | 88,169,648 | | 39,708,086 | | (2,533,656) | | 37,174,430 |
| Municipal Opportunities ETF | | 422,338,711 | | 5,400,556 | | (8,258,538) | | (2,857,982) |
| Quality Value ETF | | 132,296,028 | | 43,728,084 | | (376,030) | | 43,352,054 |
| Commodity Strategy ETF (Consolidated) | | 11,761,016 | | 40,345 | | (554,122) | | (513,777) |
| Tax-Aware Bond ETF | | 352,555,900 | | 5,996,915 | | (2,313,872) | | 3,683,043 |
| Sustainable Income ETF | | 60,194,722 | | 1,270,478 | | (2,309,823) | | (1,039,345) |
| Total Return Bond ETF | | 2,000,840,437 | | 22,372,818 | | (80,766,690) | | (58,393,872) |
| g) | Accounting for Uncertainty in Income Taxes – Pursuant to provisions set forth by U.S. GAAP, HFMC reviews each Fund’s tax positions for all open tax years. As of July 31, 2024, HFMC had reviewed the open tax years and concluded that there was no reason to record a liability for net unrecognized tax obligations relating to uncertain income tax positions. Each Fund files U.S. tax returns. Although the statute of limitations for examining a Fund’s U.S. tax returns remains open for three years, no examination is currently in progress. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended July 31, 2024, the Funds did not incur any interest or penalties. HFMC is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax obligations will significantly change in the next twelve months. |
Notes to Financial Statements – (continued)
July 31, 2024
| a) | Investment Management Agreement – HFMC serves as each Fund’s investment manager. The Trust, on behalf of each Fund, has entered into an Investment Management Agreement with HFMC. HFMC is an indirect subsidiary of The Hartford Financial Services Group, Inc. ("The Hartford"). HFMC has overall investment supervisory responsibility for each Fund. In addition, HFMC provides administrative personnel, services, equipment, facilities and office space for proper operation of each Fund. HFMC has contracted with Wellington Management Company LLP ("Wellington Management") under a sub-advisory agreement pursuant to which Wellington Management performs the daily investment of the assets of each of AAA CLO ETF, Core Bond ETF, Large Cap Growth ETF, Municipal Opportunities ETF, Quality Value ETF, Sustainable Income ETF and Total Return Bond ETF in accordance with each Fund’s investment objective and policies. HFMC has contracted with Schroder Investment Management North America Inc. ("SIMNA") under a sub-advisory agreement with respect to Commodity Strategy ETF and Tax-Aware Bond ETF. SIMNA has contracted with Schroder Investment Management North America Limited ("SIMNA Ltd.") under sub-sub-advisory agreement with respect to Commodity Strategy ETF and Tax-Aware Bond ETF. SIMNA performs the daily investment of the assets of such ETFs in accordance with each Fund’s investment objective and policies and SIMNA may allocate assets to or from SIMNA Ltd. Each Fund pays a fee to HFMC, a portion of which may be used to compensate Wellington and SIMNA, as applicable. SIMNA pays the sub-sub-advisory fees to SIMNA Ltd. |
| | Under the Investment Management Agreement, the Investment Manager agrees to pay all expenses of the Trust, except (i) interest and taxes; (ii) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (iii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iv) extraordinary expenses; (v) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (vi) acquired fund fees and expenses; and (vii) the management fee payable to the Investment Manager under the Investment Management Agreement. The payment or assumption by the Investment Manager of any expense of the Trust that the Investment Manager is not required by the Investment Management Agreement to pay or assume shall not obligate the Investment Manager to pay or assume the same or any similar expense of the Trust on any subsequent occasion. |
| | The schedule below reflects the rates of compensation paid to HFMC for investment management services rendered as of July 31, 2024; the rates are accrued daily and paid monthly based on each Fund’s average daily net assets, at the following annual rates: |
| | |
| Fund | | Management Fee Rates |
| AAA CLO ETF(1) | | 0.24% |
| Core Bond ETF | | 0.29% |
| Large Cap Growth ETF | | 0.59% |
| Municipal Opportunities ETF | | 0.29% |
| Quality Value ETF | | 0.45% |
| Commodity Strategy ETF (Consolidated)(2) | | 0.59% |
| Tax-Aware Bond ETF | | 0.39% |
| Sustainable Income ETF | | 0.54% |
| Total Return Bond ETF | | 0.29% |
| (1) | Prior to February 12, 2024, the management fee rate was 0.29%. |
| (2) | HFMC has contractually agreed to waive the management fee for Commodity Strategy ETF in an amount equal to the management fee paid to it by the Fund’s Subsidiary and the other expenses of the Subsidiary (exclusive of (i) interest and taxes; (ii) brokerage commissions and other expenses (such as stamp taxes) connected with the execution of portfolio transactions; (iii) legal fees in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith and any obligation which the Subsidiary may have to indemnify its officers and Trustees with respect thereto; (iv) such extraordinary non-recurring expenses as may arise; and (v) acquired fund fees and expenses). This waiver will remain in effect for as long as the Commodity Strategy ETF remains invested in the Subsidiary. For the year ended July 31, 2024, HFMC waived expenses in the amount of 0.08% of the Fund's average daily net assets. |
| b) | Accounting Services Agreement – HFMC provides the Funds with accounting services pursuant to a fund accounting agreement by and between the Trust, on behalf of each Fund and HFMC. HFMC is not entitled to any compensation under this agreement. HFMC has delegated certain accounting and administrative services functions to State Street Bank and Trust Company ("State Street"). The cost and expenses of such delegation are born by HFMC, not the Funds. For the Commodity Strategy ETF, the Subsidiary incurs custodian fees and fund accounting fees, but the fees are born by HFMC through the management fee and expense waivers. |
| c) | Fees Paid Indirectly – The Large Cap Growth ETF and Quality Value ETF have entered into agreements with State Street Global Markets, LLC and Russell Implementation Services, Inc, to partially recapture non-discounted trade commissions. Such rebates are used to pay a portion of the Fund’s expenses. For the year or period ended July 31, 2024, the amount is included in the Statement of Operations. |
| | For the year or period ended July 31, 2024, the amount of fees recaptured did not impact the ratio of expenses to average net assets in the accompanying financial highlights. |
Notes to Financial Statements – (continued)
July 31, 2024
| d) | Distribution Plans – Each Fund, except Quality Value ETF, has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its shares. The Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. |
For the year ended July 31, 2024, the Funds did not pay any Rule 12b-1 fees.
| e) | Remuneration Paid to Trustees, Officers and Other Related Party Transactions – Certain officers of the Trust are trustees and/or officers of HFMC and/or The Hartford or its subsidiaries. For the year or period ended July 31, 2024, a portion of the Trust's Chief Compliance Officer’s ("CCO") compensation was paid by HFMC. As part of the Funds' Investment Management Agreement, HFMC also pays any Trustee and CCO compensation on behalf of the Funds. |
| 8. | Securities Lending: |
| | The Trust has entered into a securities lending agency agreement ("lending agreement") with Citibank, N.A. ("Citibank"). A Fund may lend portfolio securities to certain borrowers in U.S. and non-U.S. markets in an amount not to exceed one-third (33 1/3%) of the value of its total assets. A Fund may lend portfolio securities, provided that the borrower provides collateral that is maintained in an amount at least equal to the current market value of the securities loaned. Cash collateral is invested for the benefit of a Fund by the Fund’s lending agent pursuant to collateral investment guidelines. The collateral is marked to market daily, in an amount at least equal to the current market value of the securities loaned. The contractual maturities of the securities lending transactions are considered overnight and continuous. The Commodity Strategy ETF does not currently engage in securities lending. |
| | A Fund is subject to certain risks while its securities are on loan, including the following: (i) the risk that the borrower defaults on the loan and the collateral is inadequate to cover the Fund’s loss; (ii) the risk that the earnings on the collateral invested are not sufficient to pay fees incurred in connection with the loan; (iii) the Fund could lose money in the event of a decline in the value of the collateral provided for loaned securities or a decline in the value of any investments made with cash collateral; (iv) the risk that the borrower may use the loaned securities to cover a short sale, which may in turn place downward pressure on the market prices of the loaned securities; (v) the risk that return of loaned securities could be delayed and interfere with portfolio management decisions; (vi) the risk that any efforts to restrict or recall the securities for purposes of voting may not be effective; and (vii) operational risks (i.e., the risk of losses resulting from problems in the settlement and accounting process especially so in certain international markets). These events could also trigger adverse tax consequences for a Fund. |
| | A Fund retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the applicable Fund). Upon termination of a loan, a Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. |
| | The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Investment Income from securities lending. A Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Investment Income from dividends or interest, respectively, on the Statements of Operations. |
| | The following table presents for each Fund that lends its portfolio securities the market value of the securities on loan and the cash and non-cash collateral posted by the borrower as of July 31, 2024. |
| | |
| Fund | | Investment Securities on Loan, at market value,
Presented on the Statements of Assets and Liabilities | | Cash
Collateral(1) | | Non-Cash
Collateral(1) |
| AAA CLO ETF | | $ — | | $ — | | $ — |
| Core Bond ETF | | — | | — | | — |
| Large Cap Growth ETF | | 1,073,035 | | 1,089,566 | | — |
| Municipal Opportunities ETF | | — | | — | | — |
| Quality Value ETF | | — | | — | | — |
| Tax-Aware Bond ETF | | — | | — | | — |
| Sustainable Income ETF | | 64,785 | | 66,162 | | — |
| Total Return Bond ETF | | — | | — | | — |
| (1) | It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract due to timing. Pursuant to the lending agreement, the borrower will provide collateral in an amount at least equal to the current market value of securities loaned. |
Notes to Financial Statements – (continued)
July 31, 2024
| 9. | Custodian and Transfer Agent: |
| | State Street Bank and Trust Company ("State Street") serves as Custodian for the Funds pursuant to a custodian agreement ("Custodian Agreement") dated December 31, 2014, as amended from time to time. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the shares and calculates net income and realized capital gains or losses. State Street serves as Transfer Agent of each Fund pursuant to a transfer agency and service agreement ("Transfer Agency and Service Agreement") dated February 13, 2018, as amended from time to time. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units. |
| | For the services provided under the Custodian Agreement and Transfer Agency and Service Agreement, HFMC, and not the Funds, compensates State Street pursuant to the Funds' unitary management fee structure. |
| 10. | Affiliate Holdings: |
| | As of July 31, 2024, affiliates of The Hartford had ownership of shares in certain Funds as follows: |
| | |
| Fund | | Percentage
of Fund |
| Large Cap Growth ETF | | 10% |
| Commodity Strategy ETF (Consolidated) | | 35% |
| Sustainable Income ETF | | 38% |
As of July 31, 2024, affiliated funds of funds and the 529 plan for which HFMC serves as the program manager (the "529 plan") in the aggregate owned a portion of the Funds identified below. Therefore, these Funds may experience relatively large purchases or redemptions of their shares as a result of purchase and sale activity from these affiliated funds of funds and the 529 plan. Affiliated funds of funds and the 529 plan owned shares in the Funds listed below as follows:
| Fund | | Percentage
of Fund |
| Core Bond ETF | | 69% |
| Large Cap Growth ETF | | 65% |
| Total Return Bond ETF | | 29% |
| 11. | Beneficial Fund Ownership: |
| | As of July 31, 2024, to the knowledge of a Fund, Hartford Funds Management Company, LLC or Schroder US Holdings, Inc. beneficially held more than 25% of the shares outstanding of the following Funds: |
| | |
| Fund | | Shareholder | | Percentage of Ownership |
| Commodity Strategy ETF (Consolidated) | | Schroder US Holdings, Inc | | 35% |
| Hartford Funds Management Company, LLC | | 35% |
| Sustainable Income ETF | | Hartford Funds Management Company, LLC | | 38% |
Notes to Financial Statements – (continued)
July 31, 2024
| 12. | Investment Transactions: |
| | For the year or period ended July 31, 2024, the cost of purchases and proceeds from sales of investment securities (excluding short-term investments) were as follows: |
| | |
| Fund | | Cost of Purchases
Excluding U.S.
Government
Obligations | | Sales Proceeds
Excluding U.S.
Government
Obligations | | Cost of Purchases
For U.S. Government
Obligations | | Sales Proceeds
For U.S. Government
Obligations | | Total Cost of
Purchases | | Total Sales
Proceeds |
| AAA CLO ETF | | $ 152,085,742 | | $ 117,261,147 | | $ 19,310,148 | | $ 24,145,118 | | $ 171,395,890 | | $ 141,406,265 |
| Core Bond ETF | | 78,252,319 | | 76,041,023 | | 50,842,533 | | 29,891,152 | | 129,094,852 | | 105,932,175 |
| Large Cap Growth ETF | | 103,100,016 | | 102,336,117 | | — | | — | | 103,100,016 | | 102,336,117 |
| Municipal Opportunities ETF | | 194,588,353 | | 147,430,766 | | — | | 10,000 | | 194,588,353 | | 147,440,766 |
| Quality Value ETF(1) | | 84,414,191 | | 84,921,452 | | — | | — | | 84,414,191 | | 84,921,452 |
| Commodity Strategy ETF (Consolidated) | | 1,489,032 | | 1,168,334 | | — | | — | | 1,489,032 | | 1,168,334 |
| Tax-Aware Bond ETF | | 230,102,233 | | 47,878,639 | | 106,016,676 | | 80,236,946 | | 336,118,909 | | 128,115,585 |
| Sustainable Income ETF | | 23,331,566 | | 21,527,952 | | 9,782,702 | | 8,934,334 | | 33,114,268 | | 30,462,286 |
| Total Return Bond ETF | | 502,466,275 | | 385,043,057 | | 286,003,108 | | 244,270,842 | | 788,469,383 | | 629,313,899 |
| (1) | For the period from November 1, 2023 to July 31, 2024. |
For the year or period ended July 31, 2024, in-kind transactions, which are not included in the table above, associated with purchase or redemption of Creation Units were as follows:
| Fund | | Cost of Purchases | | Sales Proceeds | | Realized
Gain/(Loss) |
| AAA CLO ETF | | $ 18,224,676 | | $ 10,123,844 | | $ (261,138) |
| Core Bond ETF | | 37,978,427 | | 50,677,155 | | (867,857) |
| Large Cap Growth ETF | | 1,056,046 | | 340,289 | | 123,300 |
| Quality Value ETF(1) | | 22,647,063 | | 37,263,426 | | 9,916,033 |
| Tax-Aware Bond ETF | | 1,452,613 | | — | | — |
| Sustainable Income ETF | | 4,287,883 | | 3,886,569 | | 2,229 |
| Total Return Bond ETF | | 354,526,895 | | 60,690,207 | | (1,337,017) |
| | | | | | | |
| (1) | For the period from November 1, 2023 to July 31, 2024. |
| 13. | Share Transactions: |
| | Each Fund will issue and redeem shares at NAV only with certain Authorized Participants in large increments known as "Creation Units." Purchases of Creation Units are made by tendering a basket of designated securities to a Fund and redemption proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. Each Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized Participants may be required to pay a transaction fee when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. |
| | Purchase or redemption of Creation Units is only available to an Authorized Participant. An Authorized Participant is either (1) a "Participating Party" (i.e., a broker-dealer or other participant in the clearing process of the Continuous Net Settlement System of the NSCC) ("Clearing Process"), or (2) a participant of DTC ("DTC Participant"), and, in each case, must have executed an agreement ("Participation Agreement") with the Distributor with respect to creations and redemptions of Creation Units, and is recorded as Other Capital on the Statements of Changes in Net Assets. |
| | Shares of Municipal Opportunities ETF, Commodity Strategy ETF, Tax-Aware Bond ETF and Total Return Bond ETF are listed and traded throughout the day on the NYSE Arca and shares of AAA CLO ETF, Core Bond ETF, Large Cap Growth ETF, Quality Value ETF and Sustainable Income ETF are listed and traded throughout the day on Cboe BZX. Shares of each Fund are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar amount upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than a Fund’s NAV upon sale of shares. |
Notes to Financial Statements – (continued)
July 31, 2024
| | Because each Fund is structured as an ETF, individual shares may only be purchased and sold on a listing exchange through a broker-dealer. The price of shares is based on market price, and because ETF shares trade at market prices rather than at NAV, shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Each Fund will only issue or redeem Creation Units to Authorized Participants who have entered into agreements with the Distributor. The Funds generally will issue or redeem Creation Units in return for a designated basket of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time. |
| | The following information is for the year or period ended July 31, 2024 and the year ended July 31, 2023: |
| | |
| | For the Year or Period Ended
July 31, 2024 | | For the Year Ended
July 31, 2023 |
| | Shares | | Amount | | Shares | | Amount |
| AAA CLO ETF | | | | | | | |
| Shares Sold | 2,100,000 | | $ 80,622,231 | | 100,000 | | $ 3,818,593 |
| Shares Redeemed | (1,150,000) | | (44,788,251) | | (1,050,000) | | (39,965,272) |
| Other Capital | — | | 51,365 | | — | | 23,539 |
| Total Net Increase (Decrease) | 950,000 | | 35,885,345 | | (950,000) | | (36,123,140) |
| Core Bond ETF | | | | | | | |
| Shares Sold | 1,900,000 | | $ 65,266,301 | | 700,000 | | $ 24,250,463 |
| Shares Redeemed | (1,550,000) | | (53,803,040) | | (150,000) | | (5,350,460) |
| Other Capital | — | | 26,663 | | — | | 6,688 |
| Total Net Increase (Decrease) | 350,000 | | 11,489,924 | | 550,000 | | 18,906,691 |
| Large Cap Growth ETF | | | | | | | |
| Shares Sold | 75,000 | | $ 1,269,158 | | 300,000 | | $ 3,856,861 |
| Shares Redeemed | (25,000) | | (418,147) | | (300,000) | | (3,984,976) |
| Other Capital | — | | 29 | | — | | 123 |
| Total Net Increase (Decrease) | 50,000 | | 851,040 | | — | | (127,992) |
| Municipal Opportunities ETF | | | | | | | |
| Shares Sold | 1,800,000 | | $ 69,372,185 | | 3,550,000 | | $ 134,344,105 |
| Shares Redeemed | (400,000) | | (15,152,214) | | (600,000) | | (23,026,359) |
| Other Capital | — | | 50,715 | | — | | 93,530 |
| Total Net Increase (Decrease) | 1,400,000 | | 54,270,686 | | 2,950,000 | | 111,411,276 |
| Quality Value ETF(1)(2) | | | | | | | |
| Shares Sold | 925,001 | | $ 23,096,821 | | — | | $ — |
| Shares Redeemed | (1,575,000) | | (37,907,914) | | — | | — |
| Other Capital | — | | — | | — | | — |
| Total Net Increase (Decrease) | (649,999) | | (14,811,093) | | — | | — |
| Commodity Strategy ETF (Consolidated) | | | | | | | |
| Shares Sold | — | | $ — | | 925,000 | | $ 15,666,165 |
| Shares Redeemed | (275,000) | | (4,054,478) | | (2,300,000) | | (40,601,944) |
| Other Capital | — | | 405 | | — | | 8,440 |
| Total Net Increase (Decrease) | (275,000) | | (4,054,073) | | (1,375,000) | | (24,927,339) |
| Tax-Aware Bond ETF | | | | | | | |
| Shares Sold | 12,900,000 | | $ 246,151,269 | | 4,300,000 | | $ 83,606,082 |
| Shares Redeemed | (1,850,000) | | (34,167,302) | | (1,250,000) | | (24,247,500) |
| Other Capital | — | | 207,422 | | — | | 79,810 |
| Total Net Increase (Decrease) | 11,050,000 | | 212,191,389 | | 3,050,000 | | 59,438,392 |
| Sustainable Income ETF | | | | | | | |
| Shares Sold | 200,000 | | $ 6,702,200 | | 250,000 | | $ 8,350,638 |
| Shares Redeemed | (150,000) | | (5,063,636) | | — | | — |
| Other Capital | — | | 10,563 | | — | | 7,029 |
| Total Net Increase (Decrease) | 50,000 | | 1,649,127 | | 250,000 | | 8,357,667 |
| Total Return Bond ETF | | | | | | | |
| Shares Sold | 16,450,000 | | $ 542,784,597 | | 11,200,000 | | $ 376,222,975 |
| Shares Redeemed | (2,800,000) | | (89,360,062) | | (2,900,000) | | (97,287,802) |
| Other Capital | — | | 230,048 | | — | | 146,203 |
| Total Net Increase (Decrease) | 13,650,000 | | 453,654,583 | | 8,300,000 | | 279,081,376 |
| (1) | For the period from November 1, 2023 to July 31, 2024. Effective June 1, 2024, the Quality Value ETF changed its fiscal year end from October 31 to July 31 (See Note 1). |
| (2) | The share transactions for the Quality Value ETF for the years ended October 31, 2023 and October 31, 2022 are as follows: |
Notes to Financial Statements – (continued)
July 31, 2024
| | For the Year Ended
October 31, 2023(1) | | For the Year Ended
October 31, 2022 |
| Quality Value ETF | Shares | | Amount | | Shares | | Amount |
| Shares Sold(2) | 7,278,138 | | $ 156,946,712 | | 114,445 | | $ 2,665,943 |
| Shares Issued for Reinvested Dividends (2) | 37,745 | | 858,432 | | 32,704 | | 807,378 |
| Shares Redeemed (2) | (7,878,908) | | (170,802,378) | | (80,617) | | (1,931,633) |
| Reorganization (see Note 1) | 7,684,257 | | 166,507,716 | | — | | — |
| Net Increase (Decrease)(2) | 7,121,232 | | 153,510,482 | | 66,532 | | 1,541,688 |
| Class A | | | | | | | |
| Shares Sold | 314,497 | | $ 7,284,449 | | 653,948 | | $ 15,932,127 |
| Shares Issued for Reinvested Dividends | 458,294 | | 10,659,453 | | 446,698 | | 11,224,276 |
| Shares Redeemed | (8,103,051) | | (179,821,950) | | (938,757) | | (22,808,241) |
| Net Increase (Decrease) | (7,330,260) | | (161,878,048) | | 161,889 | | 4,348,162 |
| Class C | | | | | | | |
| Shares Sold | 97,617 | | $ 1,876,188 | | 76,667 | | $ 1,602,569 |
| Shares Issued for Reinvested Dividends | 15,597 | | 302,177 | | 10,099 | | 212,267 |
| Shares Redeemed | (286,977) | | (5,349,607) | | (65,853) | | (1,348,407) |
| Net Increase (Decrease) | (173,763) | | (3,171,242) | | 20,913 | | 466,429 |
| Class I | | | | | | | |
| Shares Sold | 388,347 | | $ 8,732,221 | | 710,040 | | $ 16,923,232 |
| Shares Issued for Reinvested Dividends | 87,476 | | 2,001,361 | | 55,812 | | 1,383,295 |
| Shares Redeemed | (1,787,994) | | (39,221,923) | | (230,905) | | (5,313,610) |
| Net Increase (Decrease) | (1,312,171) | | (28,488,341) | | 534,947 | | 12,992,917 |
| Class R3 | | | | | | | |
| Shares Sold | 2,736 | | $ 63,393 | | 3,836 | | $ 94,890 |
| Shares Issued for Reinvested Dividends | 2,297 | | 54,524 | | 2,505 | | 64,011 |
| Shares Redeemed | (44,059) | | (999,179) | | (8,433) | | (208,983) |
| Net Increase (Decrease) | (39,026) | | (881,262) | | (2,092) | | (50,082) |
| Class R4 | | | | | | | |
| Shares Sold | 31,094 | | $ 738,003 | | 46,621 | | $ 1,142,022 |
| Shares Issued for Reinvested Dividends | 13,177 | | 316,133 | | 10,678 | | 276,389 |
| Shares Redeemed | (254,050) | | (5,787,791) | | (24,211) | | (629,358) |
| Net Increase (Decrease) | (209,779) | | (4,733,655) | | 33,088 | | 789,053 |
| Class R5 | | | | | | | |
| Shares Sold | 603 | | $ 15,289 | | 15,997 | | $ 412,528 |
| Shares Issued for Reinvested Dividends | 910 | | 22,057 | | 763 | | 19,958 |
| Shares Redeemed | (15,180) | | (350,957) | | (14,814) | | (364,859) |
| Net Increase (Decrease) | (13,667) | | (313,611) | | 1,946 | | 67,627 |
| Class R6 | | | | | | | |
| Shares Sold | 156,960 | | $ 3,721,449 | | 512,657 | | $ 13,564,294 |
| Shares Issued for Reinvested Dividends | 32,143 | | 780,498 | | 627 | | 16,459 |
| Shares Redeemed | (667,871) | | (15,451,489) | | (43,904) | | (1,076,263) |
| Net Increase (Decrease) | (478,768) | | (10,949,542) | | 469,380 | | 12,504,490 |
| Class Y | | | | | | | |
| Shares Sold | 25,536 | | $ 620,145 | | 210,023 | | $ 5,213,675 |
| Shares Issued for Reinvested Dividends | 16,684 | | 405,796 | | 3,465 | | 90,617 |
| Shares Redeemed | (316,362) | | (7,297,920) | | (3,483) | | (89,985) |
| Net Increase (Decrease) | (274,142) | | (6,271,979) | | 210,005 | | 5,214,307 |
| Total Net Increase (Decrease) | (2,710,344) | | $ (63,177,198) | | 1,496,608 | | $ 37,874,591 |
| (1) | As of October 13, 2023, the Quality Value ETF converted from a mutual fund to an ETF pursuant to an Agreement and Plan of Reorganization and Liquidation (the "Reorganization"). All information and references to periods prior to the close of business on October 13, 2023 refers to the Predecessor Fund (as defined in Note 1). See Note 1 for additional information about the Reorganization. |
| (2) | Includes Class F Shares of the Predecessor Fund prior to the Reorganization and the Quality Value ETF post Reorganization. |
| 14. | Line of Credit: |
| | The AAA CLO ETF, Core Bond ETF, Municipal Opportunities ETF, Commodity Strategy ETF, Tax-Aware Bond ETF, Sustainable Income ETF, and Total Return Bond ETF participate in a committed line of credit pursuant to a credit agreement dated February 29, 2024. Each such Fund may borrow under the line of credit for temporary or emergency purposes. These Funds (together with certain other Hartford Funds) may borrow up to $350 million in the aggregate, subject to asset coverage and other limitations specified in the credit agreement. The interest rate on borrowings |
Notes to Financial Statements – (continued)
July 31, 2024
varies depending on the nature of the loan. The facility also charges certain fees, such as a commitment fee. The fees incurred by these Funds, if any, in connection with the credit facility during the period would be paid by the Investment Manager. During and as of the period ended July 31, 2024, none of these Funds had borrowings under the credit facility.
| 15. | Indemnifications: |
| | Under the Trust’s organizational documents, the Trust shall indemnify its officers and trustees to the full extent required or permitted under the applicable laws of the State of Delaware and federal securities laws. In addition, the Trust, on behalf of the Funds, may enter into contracts that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, as of the date of these financial statements, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
| 16. | Subsequent Events: |
| | In connection with the preparation of the financial statements of the Funds as of and for the year ended July 31, 2024, events and transactions subsequent to July 31, 2024, through the date the financial statements were issued have been evaluated by the Funds’ management for possible adjustment and/or disclosure. |
| | Effective September 30, 2024, the Sustainable Income ETF's name, investment objective, principal investment strategy, and contractual management fee rate will change. The new name is Hartford Strategic Income ETF. Please see the Sustainable Income ETF's prospectus supplement for additional information. |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Hartford Funds Exchange-Traded Trust and Shareholders of Hartford AAA CLO ETF (formerly Hartford Short Duration ETF), Hartford Core Bond ETF, Hartford Large Cap Growth ETF, Hartford Municipal Opportunities ETF, Hartford Quality Value ETF, Hartford Schroders Commodity Strategy ETF, Hartford Schroders Tax-Aware Bond ETF, Hartford Sustainable Income ETF and Hartford Total Return Bond ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (constituting Hartford Funds Exchange-Traded Trust, hereafter collectively referred to as the "Funds") as of July 31, 2024, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds listed in the table below as of July 31, 2024, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| Fund Name |
| Hartford AAA CLO ETF(1) |
| Hartford Core Bond ETF(1) |
| Hartford Large Cap Growth ETF(1) |
| Hartford Municipal Opportunities ETF(1) |
| Hartford Quality Value ETF(2) |
| Hartford Schroders Commodity Strategy ETF(1)* |
| Hartford Schroders Tax-Aware Bond ETF(1) |
| Hartford Sustainable Income ETF(1) |
| Hartford Total Return Bond ETF(1) |
| (1) | Statement of operations for the year ended July 31, 2024 and statement of changes in net assets for the years ended July 31, 2024 and July 31, 2023. |
| (2) | Statement of operations for the period November 1, 2023 through July 31, 2024 and the year ended October 31, 2023, the statement of changes in net assets for the period November 1, 2023 through July 31, 2024 and for the years ended October 31, 2023 and October 31, 2022. |
| * | The financial statements for Hartford Schroders Commodity Strategy ETF are presented on a consolidated basis |
The financial statements of Hartford Quality Value ETF as of and for the year ended October 31, 2019 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated December 30, 2019 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2024 by correspondence with the custodian, transfer agents, agent banks and brokers; when replies were not received from agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
September 24, 2024
We have served as the auditor of one or more investment companies in the Hartford Funds group of investment companies since 2020.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable. There were no changes in or disagreements with accountants during the period.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable. There were no matters submitted to a vote of shareholders during the period.
Item 10. Remuneration Paid to Trustees, Officers, and Others of Open-End Management Investment Companies.
The response to this item is included under Item 7 of this form.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable. There were no approvals of investment advisory contracts during the period February 1, 2024 through July 31, 2024.
Index Glossary (Unaudited)
| Bloomberg 1-3 Year US Government/Credit Index (reflects no deduction for fees, expenses or taxes) is comprised of the US Government/Credit component of the Bloomberg US Aggregate Bond Index. The 1-3 Year Government/Credit Index includes securities in the 1-3 year maturity range in the Government/Credit Index. |
| Bloomberg Commodity Index Total Return (reflects no deduction for fees, expenses or taxes) is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index ("BCOM"). This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) US Treasury Bills. |
| Bloomberg Municipal Bond 1-15 Year Blend (1-17) Index (reflects no deduction for fees, expenses or taxes) is a sub-index of the Bloomberg Municipal Bond Index. It is a rules-based market value-weighted index of bonds with maturities of 1 year to 17 years engineered for the tax-exempt bond market. |
| Bloomberg Municipal Bond Index (reflects no deduction for fees, expenses or taxes) is designed to cover the USD-denominated long-term tax-exempt bond market. |
| Bloomberg US Aggregate Bond Index (reflects no deduction for fees, expenses or taxes) is composed of securities that cover the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. |
| JP Morgan CLOIE AAA Index (reflects no deduction for fees, expenses or taxes) is designed to track the AAA-rated components of the USD-denominated, broadly syndicated CLO market. |
| Russell 1000 Growth Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
| Russell 1000 Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index is designed to measure the performance of the 3,000 largest US companies based on total market capitalizations. |
| Russell 1000 Value Index (reflects no deduction for fees, expenses or taxes) is designed to measure the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Index is designed to measure the performance of the 1,000 largest companies in the Russell 3000 Index based on their market capitalization and current index membership. |
| S&P 500 Index (reflects no deduction for fees, expenses or taxes) is a float-adjusted market capitalization-weighted index composed of 500 widely held common stocks. |
| Additional Information Regarding Bloomberg Index(es). “Bloomberg®” and the above referenced Bloomberg index(es) are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”), and have been licensed for use for certain purposes by Hartford Funds Management Company, LLC ("HFMC"). The Funds are not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly. The only relationship of Bloomberg to HFMC is the licensing of certain trademarks, trade names and service marks and of the above referenced Bloomberg index(es), which is determined, composed and calculated by BISL without regard to HFMC or the Funds. Bloomberg has no obligation to take the needs of HFMC or the owners of the Funds into consideration in determining, composing or calculating the above referenced Bloomberg index(es). Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Funds to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to the Funds' customers, in connection with the administration, marketing or trading of the Funds. |
| BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY HFMC, OWNERS OF THE FUNDS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES --WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE --ARISING IN CONNECTION WITH THE ABOVE REFERENCED BLOOMBERG INDEX(ES) OR ANY DATA OR VALUES RELATING THERETO --WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. |
This report is submitted for the general information of the shareholders of the Funds referenced in this report. It is not authorized for distribution to persons who are not shareholders of one or more Funds referenced in this report unless preceded or accompanied by a current prospectus for the relevant Funds. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of any Fund listed in this report.
The information cannot be used or relied upon for the purpose of avoiding IRS penalties. These materials are not intended to provide tax, accounting or legal advice. As with all matters of a tax or legal nature, you should consult your own tax or legal counsel for advice.
Investors should carefully consider a Fund’s investment objectives, risks, charges and expenses. This and other important information is contained in the Fund’s prospectus and summary prospectus, which can be obtained by visiting hartfordfunds.com. Please read it carefully before investing.
Hartford Funds Management Company, LLC (HFMC) is the investment manager for the active ETFs. Hartford AAA CLO ETF, Hartford Core Bond ETF, Hartford Large Cap Growth ETF, Hartford Municipal Opportunities ETF, Hartford Quality Value ETF, Hartford Sustainable Income ETF and Hartford Total Return Bond ETF are sub-advised by Wellington Management Company LLP (Wellington). Hartford Schroders Commodity Strategy ETF and Hartford Schroders Tax-Aware Bond ETF are sub-advised by Schroder Investment Management North America Inc. (“SIMNA”) and sub-sub-advised by Schroder Investment Management North America Ltd. (“SIMNA Ltd”, together with SIMNA, “Schroders”). HFMC, Wellington, SIMNA, and SIMNA Ltd. are all SEC registered investment advisers. The ETFs are distributed by ALPS Distributors, Inc., which is not affiliated with Wellington, Schroders or HFMC.
ETFAR-A24 09/24 Printed in the U.S.A.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 16. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are generally effective to provide reasonable assurance, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | | |
| | | | HARTFORD FUNDS EXCHANGE-TRADED TRUST |
| | | |
| Date: October 4, 2024 | | | | By: | | /s/ James E. Davey |
| | | | | | James E. Davey |
| | | | | | President and Chief Executive Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | | | |
| Date: October 4, 2024 | | | | By: | | /s/ James E. Davey |
| | | | | | James E. Davey |
| | | | | | President and Chief Executive Officer |
| | | |
| Date: October 4, 2024 | | | | By: | | /s/ Ankit Puri |
| | | | | | Ankit Puri |
| | | | | | Treasurer |
| | | | | | (Principal Financial Officer and Principal Accounting Officer) |
