Form N-CSR Lattice Strategies Trust For: Sep 30

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Lattice Strategies Trust

[GRAPHIC MISSING]

Hartford Multifactor Developed Markets (ex-US) ETF (RODM)
Formerly Lattice Developed Markets (ex-US) Strategy ETF

Hartford Multifactor Emerging Markets ETF (ROAM)
Formerly Lattice Emerging Markets Strategy ETF

Hartford Multifactor Global Small Cap ETF (ROGS)
Formerly Lattice Global Small Cap Strategy ETF

Hartford Multifactor US Equity ETF (ROUS)
Formerly Lattice US Equity Strategy ETF

Annual Report

September 30, 2016

TABLE OF CONTENTS


Shareholder Letter			1
Performance Summaries (Unaudited)			2
Hartford Multifactor Developed Markets (ex-US) ETF Formerly Lattice Developed Markets (ex-US) Strategy ETF			2
Hartford Multifactor Emerging Markets ETF Formerly Lattice Emerging Markets Strategy ETF			3
Hartford Multifactor Global Small Cap ETF Formerly Lattice Global Small Cap Strategy ETF			4
Hartford Multifactor US Equity ETF Formerly Lattice US Equity Strategy ETF			5
Shareholder Expense Examples			6
Schedules of Investments			8
Lattice Developed Markets (ex-US) Strategy ETF			8
Lattice Emerging Markets Strategy ETF			21
Lattice Global Small Cap Strategy ETF			30
Lattice US Equity Strategy ETF			43
Statements of Assets and Liabilities			52
Statements of Operations			53
Statements of Changes in Net Assets			54
Financial Highlights			56
Notes to Financial Statements			58
Report of Independent Registered Public Accounting Firm			79
Summary of Board’s Annual Approval Process and Considerations (Unaudited)			80
Proxy Voting Information (Unaudited)			82
Shareholder Meeting Results (Unaudited)			83
Other Information (Unaudited)			85
Tax Information (Unaudited)			85
Supplemental Information (Unaudited)			86
Disclosure of Information About Fund Trustees and Officers (Unaudited)			88

TABLE OF CONTENTS

Shareholder Letter

Dear Fellow Investor,

We are pleased to provide you with the latest Annual Report, which contains information relevant to your investment in Hartford Multifactor exchange-traded funds (ETFs)⁽¹⁾. The Report covers the period from October 1, 2015 through September 30, 2016.

These last 12 months were productive for many equity investors, as most major indexes delivered positive returns during the period. Those returns, however, did not come easily. Investors grappled with an array of concerns, including a contentious US election, a vote in favor of Brexit (the UK’s decision to leave the European Union), and constant attention on the Fed’s next move, among many other issues.

US equities delivered a 9.46% return (as measured by the Hartford Multifactor US Equity Index), emerging markets returned 13.19% (as measured by the Hartford Multifactor Emerging Markets Index), developed market equities (ex-US) delivered a 11.07% return (as measured by the Hartford Multifactor Developed Markets (ex-US) Index) and global small caps, which includes smaller companies from the US, developed, and emerging markets, returned 16.00% (as measured by Hartford Multifactor Global Small Cap Index) during the twelve-month period ending September 30, 2016.

Hartford Multifactor ETFs performed as designed by demonstrating low tracking error versus the indexes to which they are managed and delivering the expected exposures to the risks and opportunities sought by the underlying investment strategies. Additionally, each ETF delivered tax-efficient exposure to these strategies by avoiding long- and short-term capital gains during the full-year period.

In August, Hartford Funds completed the merger of Lattice Strategies, the adviser to the ETFs. The merger brings many potential benefits to shareholders, and we are excited to be part of a strong organization with a trusted brand and long track record of serving investors. In October, we re-named each ETF to reflect this proud relationship.

As we enter 2017, we encourage you to meet with your advisor who can help guide you through shifting markets with confidence. As we have continually witnessed, markets are unpredictable and it’s important to proactively build a portfolio that takes into account your unique investment goals and risk tolerances. Your financial advisor can find you a fit within our family of ETFs and mutual funds as you work toward your goals.

Thank you for investing with Hartford Funds.

Sincerely,

Darek Wojnar
President, Lattice Strategies Trust

(1)

Please note that Hartford Multifactor ETFs and the Indexes to which they are managed were re-named on October 24, 2016 while this report was being compiled and produced. Though the Report covers the fiscal one-year period through September 30, 2016, new fund and index names are reflected in the performance summaries of each fund and its respective index.

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Hartford Multifactor Developed Markets (ex-US) ETF (RODM) (Unaudited)
(formerly known as Lattice Developed Markets (ex-US) Strategy ETF)

Hartford Multifactor Developed Markets (ex-US) ETF (the “Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index (LRODMX) (the “Index”), (formerly known as Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index), which tracks the performance of companies located in major developed markets of Europe, Canada and the Pacific Region.

By investing in the index constituents, the Fund seeks to generate returns and reduce volatility through the systematic re-allocation of risks in developed international equities by:

Deliberate Risk Allocation: Provides exposure to the growth potential of international companies while explicitly seeking to reduce volatility and drawdown risk.

Improved Diversification: Provides deep and diversified exposure across developed market economies by de-concentrating country, currency, and individual company risks, especially in mega-cap multinationals.

Enhanced Return Potential: Seeks to enhance return potential and reduce risk by selecting companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned (annualized) 10.62% at net asset value (“NAV”) for the year ending September 30, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance


Reporting Period Return	1 Year			Inception *
Hartford Multifactor Developed Markets (ex-US) ETF (NAV Return)		10.62	%		1.54	%
Hartford Multifactor Developed Markets (ex-US) ETF (Market Price Return)		10.61	%		1.90	%
Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index		11.07	%		1.81	%

Inception: February 25, 2015

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2016) ⁽¹⁾⁽²⁾
Country	%
Japan		19.76
Canada		12.06
United Kingdom		11.57
Australia		7.77
France		7.45
Switzerland		6.90
Germany		5.82
Hong Kong		5.34
Singapore		3.11
Israel		2.67
Total		82.45	%


Sectors (as of Sep 30, 2016) ⁽¹⁾
Sector	%
Financials		21.94
Health Care		13.41
Industrials		12.78
Consumer Staples		9.89
Consumer Discretionary		9.36
Telecommunication Services		6.49
Real Estate		5.94
Utilities		5.84
Information Technology		5.46
Materials		5.45
Energy		3.44
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2016) ⁽¹⁾
Company	%
Link REIT		0.80
Celesio AG		0.76
Bank of Montreal		0.74
Champion REIT		0.74
Swiss Life Holding AG		0.72
Otsuka Holdings Co. Ltd.		0.70
NN Group NV		0.69
Indivior PLC		0.69
Roche Holding AG		0.68
Hannover Rueck SE		0.66
Total		7.18	%

(1)

Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

(2)

Country breakdown is based on Bloomberg “Country of Domicile” data field and may not reflect the real economic exposure.

Total returns are calculated using the daily 4:00 pm net asset value (NAV). Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times.

Total Expense Ratio (per the current prospectus) 0.50%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance quoted. Call 415-315-6600 for current month-end performance.

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

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Hartford Multifactor Emerging Markets ETF (ROAM) (Unaudited)
(formerly known as Lattice Emerging Markets Strategy ETF)

Hartford Multifactor Emerging Markets ETF (the “Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Emerging Markets Index (LROAMX) (the “Index”), (formerly known as Lattice Risk-Optimized Advancing Markets Strategy Index), which is designed to balance risks and opportunities within equity markets of emerging economies while emphasizing constituents exhibiting a favorable combination of factor characteristics.

By investing in the index constituents, the Fund seeks to generate returns through the systematic re-allocation of risks commonly found in capitalization-weighted emerging markets indexes by:

Deliberate Risk Allocation: Expands the investment opportunity and seeks to harness emerging markets’ growth potential by allocating risk across countries and companies.

Improved Diversification: Improves diversification by providing deeper exposure to emerging economies and companies.

Enhanced Return Potential: Increases exposure to countries earlier in their growth cycle and selects companies with favorable risk/return factors, including value, momentum and quality.

The Fund returned (annualized) 12.20% at net asset value (“NAV”) for the year ending September 30, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance


Reporting Period Return	1 Year			Inception *
Hartford Multifactor Emerging Markets ETF (NAV Return)		12.20	%		-6.95	%
Hartford Multifactor Emerging Markets ETF (Market Price Return)		14.08	%		-6.00	%
Hartford Risk-Optimized Multifactor Emerging Markets Index		13.19	%		-6.19	%

Inception: February 25, 2015

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2016) ⁽¹⁾⁽²⁾
Country	%
Taiwan		9.52
Thailand		8.95
China		8.35
South Korea		8.10
Philippines		7.80
Malaysia		7.52
Indonesia		7.36
South Africa		6.23
India		5.28
Mexico		5.23
Total		74.34	%


Sectors (as of Sep 30, 2016) ⁽¹⁾
Sector	%
Financials		33.36
Consumer Staples		11.95
Information Technology		9.91
Energy		9.20
Consumer Discretionary		7.15
Industrials		6.94
Telecommunication Services		6.83
Materials		5.96
Utilities		4.77
Real Estate		2.68
Health Care		1.25
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2016) ⁽¹⁾
Company	%
Bidvest Group Ltd. (The)		1.04
Samsung Electronics Co. Ltd.		1.00
Telekomunikasi Indonesia Persero Tbk PT		1.00
Coca-Cola Femsa SAB de CV		0.95
Tata Motors Ltd.		0.94
Bank of the Philippine Islands		0.92
Wal-Mart de Mexico SAB de CV		0.79
Banco Davivienda SA		0.77
Malayan Banking Bhd		0.77
China Petroleum & Chemical Corp.		0.74
Total		8.92	%

(1)

Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

(2)

Country breakdown is based on Bloomberg “Country of Domicile” data field and may not reflect the real economic exposure.

Total Expense Ratio (per the current prospectus) 0.65%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

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Hartford Multifactor Global Small Cap ETF (ROGS) (Unaudited)
(formerly known as Lattice Global Small Cap Strategy ETF)

Hartford Multifactor Global Small Cap ETF (“the Fund”) offers to provide investment results that, before fees and expenses, correspond to the total return performance of Hartford Risk-Optimized Multifactor Global Small Cap Index (LROGSX) (the “Index”), (formerly known as Lattice Risk-Optimized Global Small Cap Strategy Index), which is designed to address risks and opportunities within the global small cap universe by selecting equity securities of companies exhibiting a favorable combination of factor characteristics, including valuation, momentum, and quality.

By investing in the Index constituents, the Fund seeks to capture the potential risk and performance benefits of integrating small cap companies across the US, developed and emerging markets universe in a single strategy by:

Deliberate Risk Allocation: Seeks to reduce risks common to small cap investing such as volatility, drawdown and valuation risk by taking advantage of lower correlations and valuation opportunities.

Improved Diversification: Expands the opportunity set to include small companies from the US, developed and emerging markets.

Enhanced Return Potential: Selects companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned (annualized) 15.05% at net asset value (“NAV”) for the year ending September 30, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance


Reporting Period Return	1 Year			Inception *
Hartford Multifactor Global Small Cap ETF (NAV Return)		15.05	%		3.43	%
Hartford Multifactor Global Small Cap ETF (Market Price Return)		14.92	%		3.79	%
Hartford Risk-Optimized Multifactor Global Small Cap Index		16.00	%		4.12	%

Inception: March 23, 2015

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Top 10 Countries (as of Sep 30, 2016) ⁽¹⁾⁽²⁾
Country	%
United States		43.22
Japan		12.89
China		7.96
South Korea		6.22
Canada		5.47
Australia		4.45
Taiwan		4.06
United Kingdom		4.01
Brazil		2.26
South Africa		1.54
Total		92.08	%


Sectors (as of Sep 30, 2016) ⁽¹⁾
Sector	%
Consumer Discretionary		16.32
Industrials		15.62
Information Technology		15.46
Financials		12.83
Health Care		12.35
Real Estate		7.27
Materials		7.09
Consumer Staples		5.98
Energy		4.15
Telecommunication Services		2.15
Utilities		0.78
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2016) ⁽¹⁾
Company	%
American National Insurance Co.		0.62
Parkland Fuel Corp.		0.59
Hyundai Marine & Fire Insurance Co. Ltd.		0.59
Micro-Star International Co. Ltd.		0.59
St Barbara Ltd.		0.56
Fabrinet		0.56
Argan, Inc.		0.56
CSR Ltd.		0.56
H&E Equipment Services, Inc.		0.55
GS Home Shopping, Inc.		0.55
Total		5.73	%

(1)

Top 10 Countries, Sectors, and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

(2)

Country breakdown is based on Bloomberg “Country of Domicile” data field and may not reflect the real economic exposure.

Total Expense Ratio (per the current prospectus) 0.60%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

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Hartford Multifactor US Equity ETF (ROUS) (Unaudited)
(formerly known as Lattice US Equity Strategy ETF)

Hartford Multifactor US Equity ETF (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond to the total return performance Hartford Risk-Optimized Multifactor US Equity Index (LROUSX) (the “Index”), (formerly known as Lattice Risk-Optimized US Equity Strategy Index), which seeks to improve returns through a market cycle relative to traditional cap-weighted U.S. equity market indices and active U.S. equity market strategies.

By investing in the Index constituents, the Fund seeks to generate returns and capture value in US equities through the systematic re-allocation of risks commonly found in capitalization-weighted by:

Deliberate Risk Allocation: Seeks to efficiently allocate capital deeper in the US large cap universe, beyond mega-caps, and toward companies with more favorable risk/reward potential.

Improved Diversification: Improves diversification across the US Large Cap universe, investing deeper into dynamic US companies

Enhanced Return Potential: Seeks to enhance return potential and reduce risk by selecting companies with a favorable combination of risk/return factors, including value, momentum and quality.

The Fund returned (annualized) 9.01% at net asset value (“NAV”) for the year ending September 30, 2016. The difference in returns between the Fund and the Index was primarily the result of transaction costs and operating expenses that are not reflected in the Index’s results.

Performance


Reporting Period Return	1 Year			Inception *
Hartford Multifactor US Equity ETF (NAV Return)		9.01	%		0.55	%
Hartford Multifactor US Equity ETF (Market Price Return)		9.15	%		0.58	%
Hartford Risk-Optimized Multifactor US Equity Index		9.46	%		0.72	%

Inception: February 25, 2015

Growth of $10,000 Investment Since Inception

[GRAPHIC MISSING]


Sectors (as of Sep 30, 2016) ⁽¹⁾
Sector	%
Information Technology		18.86
Health Care		16.99
Financials		14.39
Consumer Discretionary		11.09
Industrials		9.92
Energy		8.71
Consumer Staples		7.61
Materials		5.15
Utilities		2.67
Telecommunication Services		2.37
Real Estate		2.24
Total		100.00	%


Top 10 Holdings (as of Sep 30, 2016) ⁽¹⁾
Company	%
HP, Inc.		1.26
Inter Corp.		1.12
Valero Energy Corp.		1.10
Herbalife Ltd.		1.01
Phillips 66		1.01
JPMorgan Chase & Co.		1.00
Hewlett Packard Enterprise Co.		0.95
LyondellBasell Industries NV		0.92
MetLife, Inc.		0.91
Marathon Petroleum Corp.		0.90
Total		10.18	%

(1)

Sectors and Top 10 Holdings tables are expressed as a percentage of total investments. Holdings subject to change.

Total Expense Ratio (per the current prospectus) 0.35%. Lattice Strategies LLC (“Lattice” or the “Adviser”) has contractually agreed to reimburse the fees and expenses of the Trustees of the Lattice Strategies Trust (the “Trust”) who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Fund’s board of trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Fund and its shareholders.

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Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions paid on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other exchange-traded funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period, April 1, 2016 through September 30, 2016.

Actual Expenses

The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, a $6,800 account value divided by $1,000 = $6.80), then multiply the result by the number in the column titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

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Hypothetical Example For Comparison Purposes

The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.

You may use this information to compare the ongoing costs of investing in a Fund and other exchange-traded funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other exchange-traded funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of shares of the Funds. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different exchange-traded funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fee (including expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).


	Beginning Account Value		Ending Account Value		Annualized Expense Ratio			Expenses Paid During Period
Lattice Developed Markets (ex-US) Strategy ETF*
Actual Fund Return	$	1,000	$	1,041.60		0.50	%	$	2.55
Hypothetical 5% Annual Return	$	1,000	$	1,022.50		0.50	%	$	2.52
Lattice Emerging Markets Strategy ETF*
Actual Fund Return	$	1,000	$	1,034.90		0.65	%	$	3.30
Hypothetical 5% Annual Return	$	1,000	$	1,021.84		0.65	%	$	3.28
Lattice Global Small Cap Strategy ETF*
Actual Fund Return	$	1,000	$	1,070.90		0.60	%	$	3.10
Hypothetical 5% Annual Return	$	1,000	$	1,022.01		0.60	%	$	3.03
Lattice US Equity Strategy ETF*
Actual Fund Return	$	1,000	$	1,040.80		0.35	%	$	1.79
Hypothetical 5% Annual Return	$	1,000	$	1,023.25		0.35	%	$	1.77

Expenses are equal to each Fund’s annualized expense ratio for the period, multiplied by the average account value over the period, multiplied by the number of days in the period (183), then divided by the number of days in the year (366).

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LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
COMMON STOCKS — (99.1%)
Australia — (7.7%)
Adelaide Brighton Ltd. ^(a)		16,750	$	71,011
AGL Energy Ltd.		5,532		80,646
Amcor Ltd.		14,541		168,582
Ansell Ltd.		7,441		130,853
AusNet Services ^(a)		7,789		9,775
Australia & New Zealand Banking Group Ltd.		3,247		68,654
BlueScope Steel Ltd.		6,547		38,828
Brambles Ltd.		7,642		70,060
Caltex Australia Ltd.		5,459		143,079
CIMIC Group Ltd.		8,224		180,873
Coca-Cola Amatil Ltd. ^(a)		8,132		63,786
Cochlear Ltd.		890		96,024
Commonwealth Bank of Australia ^(a)		302		16,732
CSL Ltd.		1,671		136,825
Dexus Property Group		9,390		65,749
Flight Centre Travel Group Ltd. ^(a)		1,232		34,299
GPT Group (The)		22,069		85,455
Insurance Australia Group Ltd. ^(a)		9,506		39,791
Macquarie Group Ltd.		797		49,976
Mirvac Group		25,985		44,542
Newcrest Mining Ltd.		1,762		29,920
Orora Ltd.		13,032		31,414
Qantas Airways Ltd. ^(b)		25,783		61,559
QBE Insurance Group Ltd.		12,026		85,495
Rio Tinto Ltd. ^(a)		1,070		42,259
Scentre Group		18,770		67,510
Sonic Healthcare Ltd.		6,193		104,310
Stockland		20,278		73,865
Suncorp Group Ltd.		3,226		29,896
Tabcorp Holdings Ltd.		31,888		121,523
Telstra Corp. Ltd.		36,716		145,542
Vicinity Centres		17,407		42,227
Wesfarmers Ltd.		4,968		167,658
Westfield Corp.		6,333		47,155
Woolworths Ltd.		974		17,344
				2,663,217
Austria — (1.1%)
BUWOG AG ^(b)		4,886		132,276
Lenzing AG		270		31,556
Oesterreichische Post AG ^(b)		460		16,294
Telekom Austria AG ^(b)		3,541		19,996
UNIQA Insurance Group AG		24,805		161,262
				361,384

See accompanying Notes to Financial Statements.

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LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Belgium — (1.6%)
Ackermans & van Haaren NV ^(a)		192	$	25,450
Ageas		3,288		119,960
bpost SA		2,517		68,127
Cie d’Entreprises CFE ^(a)		367		40,357
Colruyt SA		711		39,440
Elia System Operator SA ^(a)		939		48,003
Groupe Bruxelles Lambert SA		864		76,628
Proximus SADP		3,791		113,261
Sofina SA		233		33,294
				564,520
Canada — (12.0%)
Agnico Eagle Mines Ltd.		644		34,766
Agrium, Inc. ^(a)		1,614		145,957
Alimentation Couche-Tard, Inc. ^(a)		2,292		110,881
Bank of Montreal		3,902		255,244
Bank of Nova Scotia (The)		2,724		144,092
BCE, Inc.		3,141		144,807
Canadian Apartment Properties REIT		2,305		53,703
Canadian Imperial Bank of Commerce ^(a)		1,894		146,606
Canadian Tire Corp. Ltd.		504		50,383
CCL Industries, Inc.		595		114,364
CGI Group, Inc. ^(b)		3,527		167,702
Cominar Real Estate Investment Trust		4,298		49,905
Dollarama, Inc. ^(a)		401		31,253
Emera, Inc.		547		19,691
Enbridge, Inc. ^(a)		528		23,165
Fairfax Financial Holdings Ltd.		287		167,870
First Capital Realty, Inc.		218		3,646
Genworth MI Canada, Inc. ^(a)		3,255		83,613
George Weston Ltd.		1,317		109,669
Great-West Lifeco, Inc. ^(a)		5,433		133,484
Hydro One Ltd. ^(c)		9,117		179,669
Imperial Oil Ltd.		1,655		51,681
Industrial Alliance Insurance & Financial Services, Inc.		2,947		105,906
Intact Financial Corp.		651		46,978
Loblaw Cos. Ltd. ^(a)		1,579		81,098
Magna International, Inc.		2,487		106,576
Manulife Financial Corp. ^(a)		10,715		150,911
Metro, Inc.		843		27,626
National Bank of Canada ^(a)		1,281		45,343
Open Text Corp. ^(a)		397		25,670
Pembina Pipeline Corp.		896		27,257
Peyto Exploration & Development Corp. ^(a)		1,025		28,716

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Canada (continued)
Potash Corp. of Saskatchewan, Inc. ^(a)		3,040	$	49,385
Power Corp. of Canada		6,184		130,762
Power Financial Corp. ^(a)		4,788		110,751
Ritchie Bros Auctioneers, Inc.		129		4,512
Rogers Communications, Inc.		2,871		121,590
Royal Bank of Canada		3,089		190,993
Shaw Communications, Inc. ^(a)		1,756		35,875
Smart Real Estate Investment Trust		2,076		55,839
SNC-Lavalin Group, Inc.		1,340		52,540
Sun Life Financial, Inc.		5,539		179,920
Suncor Energy, Inc.		1,902		52,707
TELUS Corp.		2,914		95,984
Thomson Reuters Corp.		671		27,698
Toronto-Dominion Bank (The)		2,051		90,888
TransCanada Corp. ^(a)		1,447		68,604
				4,136,280
Denmark — (1.3%)
AP Moeller – Maersk A/S		11		16,137
Coloplast A/S		703		54,534
ISS A/S		3,115		129,330
Novo Nordisk A/S		2,308		95,929
Pandora A/S		126		15,232
Rockwool International A/S		170		30,583
Topdanmark A/S ^(b)		310		8,679
William Demant Holding A/S ^(a)^(b)		4,120		84,129
				434,553
Finland — (0.4%)
Elisa Oyj		609		22,469
Neste Oyj		1,974		84,165
Orion Oyj		1,161		45,783
				152,417
France — (7.4%)
Aeroports de Paris		70		6,945
Air Liquide SA		33		3,540
Airbus Group SE		934		56,512
Amundi SA ^(c)		1,596		83,402
Aroundtown Property Holdings PLC ^(b)		19,483		98,965
Atos SE		419		45,166
AXA SA		4,229		90,013
BioMerieux		708		105,583
Bouygues SA		4,271		141,569
Capgemini SA		431		42,226

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
France (continued)
Christian Dior SE		487	$	87,320
Cie Generale des Etablissements Michelin		1,538		170,179
CNP Assurances		13,011		218,669
Dassault Systemes		337		29,249
Electricite de France SA ^(a)		6,618		80,546
Elior Participations SCA ^(c)		1,999		45,783
Essilor International SA		187		24,125
Euler Hermes Group		888		75,524
Gecina SA		100		15,750
Hermes International		85		34,603
Ipsen SA		1,296		91,013
Orange SA		2,793		43,723
Rubis SCA		1,223		112,152
SCOR SE		5,501		171,057
Societe BIC SA		361		53,409
Sodexo SA		661		78,740
Suez		4,133		68,253
Thales SA		1,519		139,961
TOTAL SA ^(a)		1,868		88,526
Veolia Environnement SA		2,639		60,797
Worldline SA ^(b)^(c)		6,319		191,344
				2,554,644
Germany — (5.8%)
adidas AG		45		7,813
Allianz SE		1,045		155,134
BASF SE		610		52,175
Carl Zeiss Meditec AG		1,065		40,729
Celesio AG		8,969		259,997
Covestro AG ^(c)		2,179		128,878
Deutsche Lufthansa AG ^(a)		3,206		35,687
Deutsche Post AG		591		18,477
Deutsche Telekom AG		2,418		40,543
Deutsche Wohnen AG		932		33,888
Evonik Industries AG		2,774		93,819
Fielmann AG		95		7,746
Fresenius Medical Care AG & Co. KGaA		689		60,209
Fresenius SE & Co. KGaA		1,147		91,532
Grand City Properties SA		4,021		78,627
Hannover Rueck SE		2,107		225,750
Hella KGaA Hueck & Co.		1,260		49,928
HOCHTIEF AG		104		14,674
K+S AG ^(a)		1,298		24,630

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Germany (continued)
Krones AG ^(a)		295	$	28,710
Linde AG		96		16,323
MAN SE		139		14,659
Merck KGaA		1,240		133,652
Muenchener Rueckversicherungs-Gesellschaft AG		1,113		207,631
OSRAM Licht AG		639		37,528
Suedzucker AG		373		10,368
Talanx AG ^(b)		4,117		125,591
				1,994,698
Hong Kong — (5.3%)
Champion REIT		419,944		254,480
China Huarong Asset Management Co. Ltd. ^(b)^(c)		262,630		103,617
CLP Holdings Ltd.		4,328		44,726
Dairy Farm International Holdings Ltd. ^(a)		25,764		182,924
Dali Foods Group Co. Ltd. ^(c)		175,728		92,668
Hang Seng Bank Ltd.		2,236		39,929
HK Electric Investments & HK Electric Investments Ltd. ^(c)		162,743		159,471
HKT Trust & HKT Ltd.		109,423		154,062
Hongkong Land Holdings Ltd.		3,122		22,166
Jardine Matheson Holdings Ltd.		926		56,125
Jardine Strategic Holdings Ltd.		1,192		38,978
Link REIT		37,218		273,522
New World Development Co. Ltd.		33,040		42,940
PCCW Ltd.		67,163		41,220
SmarTone Telecommunications Holdings Ltd.		30,422		50,285
Swire Pacific Ltd.		7,888		84,973
VTech Holdings Ltd.		5,483		62,529
WH Group Ltd. ^(c)		26,000		20,918
Wheelock & Co. Ltd.		9,401		55,454
Yue Yuen Industrial Holdings Ltd.		12,298		50,740
				1,831,727
Ireland — (1.0%)
ICON PLC ^(b)		2,545		196,907
Kerry Group PLC		867		72,257
Ryanair Holdings PLC		1,142		85,684
				354,848
Israel — (2.2%)
Bank Hapoalim BM		4,596		26,042
Bank Leumi Le-Israel BM ^(b)		17,131		65,061
Bezeq The Israeli Telecommunication Corp. Ltd.		85,882		161,803
Check Point Software Technologies Ltd. ^(b)		366		28,405
Elbit Systems Ltd.		927		88,448
Mizrahi Tefahot Bank Ltd.		17,125		217,480

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Israel (continued)
Taro Pharmaceutical Industries Ltd. ^(a)^(b)		1,184	$	130,844
Teva Pharmaceutical Industries Ltd.		927		44,446
				762,529
Italy — (2.5%)
Ansaldo STS SpA		5,390		62,996
Assicurazioni Generali SpA		3,492		42,618
Brembo SpA		242		14,441
DiaSorin SpA		1,000		64,281
Enel SpA		7,659		34,153
Eni SpA		4,652		67,022
FinecoBank Banca Fineco SpA		2,817		16,319
Hera SpA		20,389		54,946
Parmalat SpA ^(a)		33,760		89,461
Poste Italiane SpA ^(c)		8,069		55,360
Recordati SpA		5,414		174,071
Snam SpA		13,827		76,699
Terna Rete Elettrica Nazionale SpA		15,941		82,192
UnipolSai SpA		17,066		27,771
				862,330
Japan — (19.7%)
Advance Residence Investment Corp.		3		8,488
Aeon Co. Ltd. ^(a)		9,612		141,335
Aisin Seiki Co. Ltd. ^(a)		1,950		88,483
Ajinomoto Co., Inc.		1,653		36,605
Alfresa Holdings Corp. ^(a)		1,782		37,430
ANA Holdings, Inc.		1,000		2,703
Aoyama Trading Co. Ltd. ^(a)		830		28,523
Aozora Bank Ltd.		29,887		102,412
Asahi Group Holdings Ltd. ^(a)		300		10,861
Asahi Kasei Corp. ^(a)		13,594		107,501
Astellas Pharma, Inc.		5,686		88,352
Azbil Corp. ^(a)		1,100		33,022
Bandai Namco Holdings, Inc.		2,422		73,546
Benesse Holdings, Inc. ^(a)		1,081		27,477
Bic Camera, Inc.		3,683		30,442
Bridgestone Corp.		2,512		91,932
Brother Industries Ltd. ^(a)		2,300		39,997
Canon Marketing Japan, Inc.		6,375		117,849
Canon, Inc.		5,083		146,745
Citizen Holdings Co. Ltd. ^(a)		6,681		34,703
Coca-Cola East Japan Co. Ltd.		1,300		28,050
COMSYS Holdings Corp.		760		13,412
CyberAgent, Inc. ^(a)		1,560		46,092

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Japan (continued)
Dai-ichi Life Insurance Co. Ltd. (The)		2,000	$	27,087
Daiichi Sankyo Co. Ltd. ^(a)		4,515		107,675
Daito Trust Construction Co. Ltd.		349		55,746
Daiwa House Industry Co. Ltd.		918		24,980
Daiwa Securities Group, Inc. ^(a)		8,223		45,831
Ebara Corp. ^(a)		2,819		82,762
FamilyMart Co. Ltd.		900		59,902
Fuji Heavy Industries Ltd.		1,940		71,937
FUJIFILM Holdings Corp. ^(a)		1,380		50,667
Fujitsu Ltd.		14,694		78,356
GungHo Online Entertainment, Inc. ^(a)		6,700		16,342
Heiwa Corp.		997		22,054
Hikari Tsushin, Inc.		561		51,854
HIS Co. Ltd. ^(a)		1,060		27,582
Hisamitsu Pharmaceutical Co., Inc. ^(a)		397		21,288
Hitachi Chemical Co. Ltd.		369		8,403
Hitachi High-Technologies Corp.		1,807		71,645
Hitachi Ltd. ^(a)		14,222		65,812
Hitachi Transport System Ltd.		1,234		24,481
House Foods Group, Inc. ^(a)		2,300		52,466
Hoya Corp. ^(a)		2,248		89,640
Ito En Ltd. ^(a)		2,800		98,988
ITOCHU Corp.		3,243		40,415
Itochu Techno-Solutions Corp.		5,326		136,115
Japan Airlines Co. Ltd.		5,463		159,631
Japan Tobacco, Inc.		521		21,192
K’s Holdings Corp.		5,600		92,075
Kaken Pharmaceutical Co. Ltd.		162		9,887
Kaneka Corp.		3,209		25,193
Kao Corp.		496		27,875
KDDI Corp. ^(a)		3,300		101,511
Kirin Holdings Co. Ltd.		188		3,103
Konica Minolta, Inc. ^(a)		638		5,355
Kuraray Co. Ltd.		1,518		22,351
Kurita Water Industries Ltd.		210		4,956
Lawson, Inc. ^(a)		1,048		82,482
Lion Corp.		2,243		36,148
Medipal Holdings Corp.		5,440		93,635
MEIJI Holdings Co. Ltd.		439		43,308
Mitsubishi Electric Corp.		6,076		76,951
Mitsubishi Tanabe Pharma Corp. ^(a)		6,100		129,813
Mitsubishi UFJ Financial Group, Inc.		6,693		33,384
Mixi, Inc. ^(a)		1,970		70,715

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Japan (continued)
MS&AD Insurance Group Holdings, Inc.		595	$	16,390
Nichirei Corp.		602		13,448
Nihon Kohden Corp.		1,189		28,649
Nikon Corp. ^(a)		2,527		37,531
Nippo Corp. ^(a)		3,784		71,484
Nippon Telegraph & Telephone Corp.		3,178		144,801
Nipro Corp.		6,500		82,096
Nissan Motor Co. Ltd. ^(a)		2,870		27,851
NTT DOCOMO, Inc. ^(a)		5,574		141,022
Osaka Gas Co. Ltd. ^(a)		16,918		70,519
Otsuka Corp.		1,078		50,831
Otsuka Holdings Co. Ltd.		5,320		241,085
Panasonic Corp. ^(a)		9,489		93,892
Park24 Co. Ltd. ^(a)		1,732		56,100
Recruit Holdings Co. Ltd.		5,518		223,957
Ricoh Co. Ltd. ^(a)		6,843		61,493
Rohto Pharmaceutical Co. Ltd. ^(a)		2,728		46,740
Sankyo Co. Ltd. ^(a)		1,552		52,722
Santen Pharmaceutical Co. Ltd.		501		7,337
Sawai Pharmaceutical Co. Ltd. ^(a)		455		32,261
Seiko Epson Corp.		4,133		78,852
Sekisui Chemical Co. Ltd.		2,586		36,901
Sekisui House Ltd. ^(a)		2,646		44,708
Seven & i Holdings Co. Ltd.		900		42,278
Shimamura Co. Ltd.		1,353		163,806
Skylark Co. Ltd.		3,148		42,278
Square Enix Holdings Co. Ltd.		800		27,413
Sugi Holdings Co. Ltd.		1,148		62,125
Sumitomo Dainippon Pharma Co. Ltd. ^(a)		534		10,267
Sumitomo Forestry Co. Ltd. ^(a)		2,829		37,575
Sumitomo Rubber Industries Ltd.		1,421		21,301
Sundrug Co. Ltd.		313		26,118
Suntory Beverage & Food Ltd. ^(a)		1,757		75,475
Suzuken Co. Ltd.		1,424		46,686
Terumo Corp. ^(a)		200		7,633
Toho Gas Co. Ltd. ^(a)		13,558		126,255
Tokyo Electron Ltd. ^(a)		900		78,895
Tokyo Gas Co. Ltd.		15,188		67,132
Toyo Suisan Kaisha Ltd.		291		12,270
Tsumura & Co. ^(a)		6,060		171,450
Tsuruha Holdings, Inc.		363		41,725
TV Asahi Holdings Corp.		1,097		20,063
Ube Industries Ltd.		44,848		85,033

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Japan (continued)
West Japan Railway Co.		933	$	57,474
Yamada Denki Co. Ltd. ^(a)		5,157		25,463
Yamazaki Baking Co. Ltd.		5,557		135,818
Zensho Holdings Co. Ltd. ^(a)		1,300		23,159
				6,775,915
Netherlands — (2.6%)
Aegon NV		5,863		22,475
Akzo Nobel NV		736		49,867
GrandVision NV ^(c)		2,995		83,303
Heineken Holding NV		919		73,719
Koninklijke Ahold Delhaize NV		8,125		185,265
Koninklijke DSM NV		586		39,618
NN Group NV		7,685		236,206
RELX NV ^(a)		6,259		112,507
Unilever NV		701		32,358
Wolters Kluwer NV		1,162		49,747
				885,065
New Zealand — (2.1%)
Air New Zealand Ltd.		116,065		156,989
Fisher & Paykel Healthcare Corp. Ltd.		19,612		142,761
Fletcher Building Ltd.		19,207		149,869
Meridian Energy Ltd.		25,198		47,642
Spark New Zealand Ltd.		58,960		154,781
Z Energy Ltd.		9,851		60,175
				712,217
Norway — (0.4%)
Leroy Seafood Group ASA		430		21,731
Salmar ASA		990		30,224
Statoil ASA		3,099		51,919
TGS Nopec Geophysical Co. ASA		455		8,198
Yara International ASA		1,112		36,954
				149,026
Portugal — (0.1%)
Galp Energia SGPS SA		1,052		14,382
Jeronimo Martins SGPS SA		1,963		34,050
				48,432
Singapore — (3.1%)
ComfortDelGro Corp. Ltd.		23,353		48,129
DBS Group Holdings Ltd.		6,710		75,739
Keppel Corp. Ltd. ^(a)		1,075		4,250
Keppel REIT ^(a)		82,243		67,257
M1 Ltd. ^(a)		84,300		148,388
Mapletree Commercial Trust		26,283		30,843

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Singapore (continued)
Mapletree Greater China Commercial Trust		56,100	$	45,260
Mapletree Industrial Trust		46,540		60,929
Oversea-Chinese Banking Corp. Ltd. ^(a)		20,132		127,721
SATS Ltd.		24,534		89,610
Singapore Airlines Ltd.		17,014		131,151
StarHub Ltd. ^(a)		46,309		116,499
United Overseas Bank Ltd.		2,960		40,879
Wilmar International Ltd.		18,002		42,515
Yangzijiang Shipbuilding Holdings Ltd.		66,658		36,667
				1,065,837
Spain — (2.6%)
ACS Actividades de Construccion y Servicios SA		1,776		53,689
Aena SA ^(c)		497		73,335
Amadeus IT Holding SA		1,219		60,920
Cia de Distribucion Integral Logista Holdings SA		6,940		154,891
Distribuidora Internacional de Alimentacion SA ^(a)		11,001		68,132
Ebro Foods SA		2,302		53,551
Endesa SA		6,213		133,220
Gas Natural SDG SA		4,234		87,051
Grupo Catalana Occidente SA		169		5,023
Iberdrola SA		8,599		58,484
Prosegur Cia de Seguridad SA		5,764		40,291
Red Electrica Corp. SA		3,473		74,956
Viscofan SA		378		20,458
				884,001
Sweden — (1.8%)
Axfood AB		8,202		144,943
Hennes & Mauritz AB		1,591		44,940
ICA Gruppen AB ^(a)		323		10,681
Investor AB		1,321		48,369
Securitas AB		1,615		27,107
Skandinaviska Enskilda Banken AB		846		8,512
Swedbank AB		2,957		69,581
Tele2 AB		11,859		102,500
Telefonaktiebolaget LM Ericsson		16,424		118,760
Unibet Group PLC ^(a)		4,003		37,239
				612,632
Switzerland — (6.9%)
ABB Ltd. ^(b)		2,234		50,261
Actelion Ltd. ^(b)		324		56,217
Allreal Holding AG ^(b)		103		15,672
Baloise Holding AG		1,171		141,936
Banque Cantonale Vaudoise		155		101,852

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Switzerland (continued)
Emmi AG ^(b)		179	$	122,700
Galenica AG		9		9,572
Georg Fischer AG		10		8,768
Givaudan SA		25		50,985
Helvetia Holding AG		198		100,031
Kuehne + Nagel International AG		971		141,233
Nestle SA		1,248		98,550
Novartis AG		671		52,883
Panalpina Welttransport Holding AG ^(a)		226		31,543
Pargesa Holding SA		2,310		158,583
Roche Holding AG		932		231,702
SFS Group AG ^(b)		1,167		92,214
SGS SA		20		44,873
Sika AG		23		112,082
Swiss Life Holding AG ^(b)		959		248,802
Swiss Prime Site AG ^(b)		149		13,095
Swiss Re AG		1,573		142,226
UBS Group AG		11,278		153,918
Zurich Insurance Group AG ^(b)		725		186,971
				2,366,669
United Kingdom — (11.5%)
Admiral Group PLC		195		5,190
Aggreko PLC		2,406		29,801
AstraZeneca PLC		2,029		131,889
BAE Systems PLC		4,764		32,427
Beazley PLC		22,370		112,486
Berendsen PLC		6,299		101,789
BP PLC		15,520		90,722
British American Tobacco PLC		166		10,631
British Land Co. PLC (The)		4,929		40,498
Britvic PLC		4,964		38,883
BT Group PLC		15,585		78,763
Carnival PLC		245		11,992
Centrica PLC		2,956		8,763
Compass Group PLC		7,205		139,921
Croda International PLC		226		10,228
Daily Mail & General Trust PLC		2,395		23,162
DCC PLC		783		71,452
Direct Line Insurance Group PLC		16,999		80,554
GlaxoSmithKline PLC		7,213		153,944
Great Portland Estates PLC		1,806		14,850
Hiscox Ltd.		784		10,612
HSBC Holdings PLC		12,908		97,033

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United Kingdom (continued)
Imperial Brands PLC		696	$	35,925
Indivior PLC		59,076		235,207
InterContinental Hotels Group PLC		351		14,499
J Sainsbury PLC ^(a)		27,307		87,190
JD Sports Fashion PLC		7,656		146,890
John Wood Group PLC		3,516		34,689
Kingfisher PLC		24,027		117,635
Land Securities Group PLC		6,941		95,393
Legal & General Group PLC		44,805		127,287
Marks & Spencer Group PLC		9,357		40,244
Mediclinic International PLC ^(a)		4,688		56,421
Mondi PLC		2,071		43,662
National Grid PLC		7,440		105,537
Next PLC		1,065		66,073
Old Mutual PLC		23,967		63,013
Pennon Group PLC		1,484		17,195
Polymetal International PLC		954		12,002
Randgold Resources Ltd.		386		39,035
Reckitt Benckiser Group PLC		85		8,022
RELX PLC		8,507		161,670
Rentokil Initial PLC		26,375		76,162
Royal Dutch Shell PLC		4,966		128,823
Royal Mail PLC		29,262		186,066
Saga PLC		23,951		66,332
Sage Group PLC (The)		5,713		54,768
Segro PLC		8,194		48,303
Severn Trent PLC		510		16,595
Shaftesbury PLC		2,200		27,721
Shire PLC		201		13,050
Sky PLC		2,653		30,809
Smith & Nephew PLC		5,977		96,586
SSE PLC		3,879		79,009
TalkTalk Telecom Group PLC ^(a)		7,028		18,441
Unilever PLC		2,810		133,396
Vodafone Group PLC		22,709		65,414
WH Smith PLC		3,616		72,243
William Hill PLC		10,388		41,049
Wolseley PLC		207		11,710
				3,969,656
TOTAL COMMON STOCKS (Cost $32,537,228)				34,142,597

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
LIMITED PARTNERSHIP — (0.5%)
Israel — (0.5%)
Isramco Negev 2 LP		848,226	$	154,856
TOTAL LIMITED PARTNERSHIPS (Cost $144,215)				154,856
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.6%) (Cost $32,681,443)				34,297,453
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (8.3%) (Cost $2,879,848)
State Street Navigator Securities Lending Prime Portfolio, 0.30% *		2,879,848		2,879,848
TOTAL INVESTMENTS — (107.9%) (Cost $35,561,291)				37,177,301
OTHER ASSETS & LIABILITIES — (-7.9%)				(2,737,591	)
NET ASSETS — (100.0%)			$	34,439,710

Represents the current daily yield at period end

(a)

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

(b)

Non-income producing security.

(c)

Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	2,879,848	$	2,879,848
Total Borrowings	$	2,879,848	$	2,879,848
Gross amount of recognized liabilities for securities lending transactions			$	2,879,848

(1)

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

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
COMMON STOCKS — (99.8%)
Brazil — (4.7%)
Ambev SA		17,413	$	106,230
Banco Bradesco SA		11,697		106,822
Banco do Brasil SA		16,533		116,026
BB Seguridade Participacoes SA		1,522		13,998
BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros		8,289		42,889
BRF SA		3,624		61,708
CCR SA		4,338		22,619
Cielo SA		8,031		80,363
Embraer SA		13,299		57,349
Itau Unibanco Holding SA		14,121		154,386
Itausa – Investimentos Itau SA		19,534		50,145
JBS SA		28,562		103,915
Kroton Educacional SA		9,078		41,327
Lojas Renner SA		1,541		11,607
Petroleo Brasileiro SA ^(a)		23,941		99,998
Ultrapar Participacoes SA		2,541		55,578
				1,124,960
Chile — (4.6%)
Aguas Andinas SA		253,798		162,715
Banco de Credito e Inversiones		3,129		141,370
Cencosud SA		45,346		135,946
Cia Cervecerias Unidas SA		3,599		72,664
Colbun SA		21,823		4,342
Empresa Nacional de Electricidad SA		102,263		67,672
Empresas CMPC SA		1,185		2,354
Empresas COPEC SA		8,881		82,894
Enersis Americas SA ^(b)		13,815		113,145
Itau CorpBanca		12,582,501		110,661
Latam Airlines Group SA ^(a)^(b)		2,091		16,979
SACI Falabella		20,451		149,657
Sociedad Quimica y Minera de Chile SA		1,211		32,576
				1,092,975
China — (8.3%)
Agricultural Bank of China Ltd. H Shares		90,000		38,525
Baidu, Inc. ADR ^(a)		447		81,385
Bank of China Ltd. H Shares		291,000		132,819
Bank of Communications Co. Ltd. H Shares		151,000		115,062
China Construction Bank Corp. H Shares		161,000		119,360
China Life Insurance Co. Ltd. H Shares		34,000		87,675
China Merchants Bank Co. Ltd. H Shares		26,500		66,763
China Minsheng Banking Corp. Ltd. H Shares		48,500		55,904
China Pacific Insurance Group Co. Ltd. H Shares		12,200		45,066

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
China (continued)
China Petroleum & Chemical Corp. H Shares		242,000	$	176,291
China Shenhua Energy Co. Ltd.		81,500		159,302
China Telecom Corp. Ltd. H Shares		242,000		121,999
China Vanke Co. Ltd. H Shares		47,000		121,803
CITIC Securities Co. Ltd. H Shares		20,500		43,506
CNOOC Ltd.		69,000		85,584
Haitong Securities Co. Ltd. H Shares		15,600		26,389
Industrial & Commercial Bank of China Ltd. H Shares		261,000		163,210
NetEase, Inc. ADR		240		57,787
PetroChina Co. Ltd. H Shares		138,000		90,565
PICC Property & Casualty Co. Ltd. H Shares		48,000		79,464
Ping An Insurance Group Co. of China Ltd. H Shares		16,000		82,930
Tencent Holdings Ltd.		1,100		30,209
				1,981,598
Colombia — (4.0%)
Almacenes Exito SA		33,853		172,791
Banco Davivienda SA		17,888		183,228
Bancolombia SA		15,777		142,979
Corp. Financiera Colombiana SA		7,225		94,979
Ecopetrol SA ^(a)		134,517		58,384
Grupo Argos SA		6,169		39,884
Grupo de Inversiones Suramericana SA		2,584		33,754
Grupo Nutresa SA		18,493		162,713
Isagen SA ESP ^(a)		60,178		66,655
				955,367
India — (5.3%)
Axis Bank Ltd.		3,063		123,133
HDFC Bank Ltd.		1,124		80,804
ICICI Bank Ltd.		13,915		103,945
Infosys Ltd.		10,435		164,664
Larsen & Toubro Ltd.		2,359		50,483
Mahindra & Mahindra Ltd.		5,552		117,703
Reliance Industries Ltd. ^(c)		2,108		69,142
State Bank of India		4,086		152,204
Tata Motors Ltd.		5,592		223,568
Tata Steel Ltd.		30,608		168,650
				1,254,296
Indonesia — (7.4%)
Astra International Tbk PT		233,200		147,414
Bank Central Asia Tbk PT		121,100		145,680
Bank Mandiri Persero Tbk PT		196,600		168,717
Bank Negara Indonesia Persero Tbk PT		328,400		139,654
Bank Rakyat Indonesia Persero Tbk PT		157,100		146,856

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Indonesia (continued)
Bumi Serpong Damai Tbk PT		213,000	$	35,905
Indocement Tunggal Prakarsa Tbk PT		70,000		93,058
Indofood Sukses Makmur Tbk PT		100,400		66,928
Kalbe Farma Tbk PT		399,300		52,471
Lippo Karawaci Tbk PT		923,600		70,061
Matahari Department Store Tbk PT		28,500		40,345
Perusahaan Gas Negara Persero Tbk PT		525,300		115,517
Semen Indonesia Persero Tbk PT		151,900		117,553
Surya Citra Media Tbk PT		145,100		31,130
Telekomunikasi Indonesia Persero Tbk PT		716,700		236,685
United Tractors Tbk PT		102,500		139,012
				1,746,986
Malaysia — (7.5%)
AMMB Holdings Bhd		94,500		93,460
Axiata Group Bhd		70,200		88,609
British American Tobacco Malaysia Bhd		8,500		101,001
CIMB Group Holdings Bhd		112,600		128,242
DiGi.Com Bhd		86,000		103,562
Genting Bhd		8,000		15,340
Genting Malaysia Bhd		64,500		70,965
Hong Leong Bank Bhd		9,488		30,101
IJM Corp. Bhd		77,400		60,078
IOI Corp. Bhd		52,500		56,492
Kuala Lumpur Kepong Bhd		2,400		13,917
Malayan Banking Bhd		100,600		182,445
Maxis Bhd		54,600		81,329
MISC Bhd		22,600		41,260
Petronas Chemicals Group Bhd		73,200		117,708
Public Bank Bhd		32,500		155,761
RHB Bank Bhd		49,839		56,039
Sime Darby Bhd		45,300		83,798
Telekom Malaysia Bhd		30,500		50,004
Tenaga Nasional Bhd		48,900		169,090
UMW Holdings Bhd		35,600		50,187
YTL Corp. Bhd		81,100		35,103
				1,784,491
Mexico — (5.2%)
Alfa SAB de CV		32,425		50,698
America Movil SAB de CV		210,870		120,615
Arca Continental SAB de CV		15,983		95,278
Coca-Cola Femsa SAB de CV		29,938		225,306
Fibra Uno Administracion SA de CV		24,670		45,150
Gruma SAB de CV		8,592		113,181

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Mexico (continued)
Grupo Bimbo SAB de CV		24,788	$	65,462
Grupo Financiero Banorte SAB de CV		16,851		88,532
Grupo Mexico SAB de CV		44,856		109,814
Kimberly-Clark de Mexico SAB de CV ^(b)		40,030		90,718
Mexichem SAB de CV ^(b)		7,361		16,507
Nemak SAB de CV ^(b)^(c)		19,372		21,440
Promotora y Operadora de Infraestructura SAB de CV		1,093		11,750
Wal-Mart de Mexico SAB de CV		85,059		187,140
				1,241,591
Philippines — (7.8%)
Aboitiz Equity Ventures, Inc.		99,100		154,796
Alliance Global Group, Inc.		469,000		153,770
Ayala Corp.		5,490		97,019
Ayala Land, Inc.		69,500		56,251
Bank of the Philippine Islands		100,380		217,340
BDO Unibank, Inc.		74,690		169,109
Energy Development Corp.		758,700		92,461
GT Capital Holdings, Inc.		3,425		101,701
International Container Terminal Services, Inc.		43,660		69,323
JG Summit Holdings, Inc.		98,240		150,920
Jollibee Foods Corp.		12,110		61,680
Metro Pacific Investments Corp.		851,200		124,621
Metropolitan Bank & Trust Co.		83,210		146,362
PLDT, Inc.		2,530		89,316
SM Investments Corp.		6,595		91,592
Universal Robina Corp.		20,370		74,768
				1,851,029
Poland — (4.8%)
Alior Bank SA ^(a)		4,277		51,862
Asseco Poland SA		8,144		118,542
Bank Pekao SA		3,477		112,377
Bank Zachodni WBK SA		886		72,006
Cyfrowy Polsat SA ^(a)		2,744		17,565
Energa SA		32,993		64,653
Eurocash SA		4,012		44,550
KGHM Polska Miedz SA		914		17,791
LPP SA		6		6,168
mBank SA ^(a)		128		11,429
Orange Polska SA		51,291		80,407
PGE Polska Grupa Energetyczna SA		13,739		36,435
Polski Koncern Naftowy Orlen SA		9,337		158,595
Polskie Gornictwo Naftowe i Gazownictwo SA		76,004		100,284
Powszechna Kasa Oszczednosci Bank Polski SA		13,721		93,604

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Poland (continued)
Powszechny Zaklad Ubezpieczen SA		15,136	$	96,416
Tauron Polska Energia SA ^(a)		80,338		54,575
				1,137,259
Russia — (3.0%)
Gazprom PAO		6,132		25,816
Lukoil PJSC		1,386		67,485
Magnit PJSC		393		16,384
Mail.Ru Group Ltd. ^(a)		582		10,208
MMC Norilsk Nickel PJSC		3,555		56,809
Rosneft OAO		28,107		153,464
Sberbank of Russia		9,350		87,684
Surgutneftegas OAO		16,526		79,490
Tatneft PAO		3,967		122,104
Yandex NV ^(a)		4,659		98,072
				717,516
South Africa — (6.2%)
AngloGold Ashanti Ltd. ^(a)		1,047		16,883
Aspen Pharmacare Holdings Ltd. ^(a)		1,140		25,699
Barclays Africa Group Ltd.		8,692		95,445
Bidvest Group Ltd. (The)		21,061		247,471
FirstRand Ltd. ^(b)		23,234		80,256
Gold Fields Ltd.		12,562		61,206
Growthpoint Properties Ltd.		32,920		60,591
Mr Price Group Ltd.		3,035		33,492
MTN Group Ltd.		9,127		77,961
Nedbank Group Ltd.		5,989		96,839
Netcare Ltd.		41,674		101,918
Redefine Properties Ltd.		75,179		62,489
Remgro Ltd.		2,264		37,795
RMB Holdings Ltd. ^(b)		9,192		39,258
Sanlam Ltd.		15,277		70,879
Sasol Ltd. ^(b)		3,121		85,337
Shoprite Holdings Ltd.		3,894		54,197
Standard Bank Group Ltd.		9,080		92,885
Tiger Brands Ltd.		1,857		51,348
Vodacom Group Ltd.		3,481		39,019
Woolworths Holdings Ltd.		8,368		47,033
				1,478,001
South Korea — (8.1%)
Amorepacific Corp.		72		25,431
AMOREPACIFIC Group		146		21,939
BNK Financial Group, Inc.		1,292		10,065
CJ Corp.		63		10,640

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
South Korea (continued)
Coway Co. Ltd.		690	$	59,768
Dongbu Insurance Co. Ltd.		942		58,332
E-MART, Inc.		17		2,431
Hana Financial Group, Inc.		1,259		31,837
Hankook Tire Co. Ltd.		1,010		54,473
Hyundai Engineering & Construction Co. Ltd.		831		29,615
Hyundai Glovis Co. Ltd.		278		45,688
Hyundai Mobis Co. Ltd.		261		65,170
Hyundai Motor Co.		378		46,506
Hyundai Wia Corp.		207		16,277
Industrial Bank of Korea		3,050		33,093
Kangwon Land, Inc.		402		14,345
KB Financial Group, Inc.		774		26,600
Kia Motors Corp.		2,787		106,662
Korea Electric Power Corp.		1,491		73,105
Korea Zinc Co. Ltd.		132		57,649
KT&G Corp.		718		81,491
LG Chem Ltd.		416		91,219
LG Display Co. Ltd.		2,393		61,055
LG Electronics, Inc.		1,031		44,840
LG Household & Health Care Ltd.		92		79,775
LG Uplus Corp.		7,327		78,170
NAVER Corp.		45		36,078
NCSoft Corp.		77		20,660
POSCO		92		18,962
Samsung Electronics Co. Ltd.		164		237,955
Samsung Fire & Marine Insurance Co. Ltd.		212		53,801
Samsung Life Insurance Co. Ltd.		656		62,839
Shinhan Financial Group Co. Ltd.		1,472		53,662
SK Holdings Co. Ltd.		274		52,743
SK Hynix, Inc.		2,360		86,142
SK Telecom Co. Ltd.		356		73,052
				1,922,070
Taiwan — (9.5%)
Acer, Inc. ^(a)		26,000		12,069
Advanced Semiconductor Engineering, Inc.		12,000		14,394
Asustek Computer, Inc.		4,000		35,667
AU Optronics Corp.		86,000		31,552
Catcher Technology Co. Ltd.		3,000		24,358
Cathay Financial Holding Co. Ltd.		50,000		63,965
Chailease Holding Co. Ltd.		8,080		14,332
Chang Hwa Commercial Bank Ltd.		14,242		7,292
Cheng Shin Rubber Industry Co. Ltd.		19,000		39,945

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Taiwan (continued)
Chicony Electronics Co. Ltd.		13,115	$	33,179
China Development Financial Holding Corp.		70,000		17,865
China Life Insurance Co. Ltd.		86,208		78,795
China Steel Corp.		43,000		30,317
Chunghwa Telecom Co. Ltd.		17,000		59,929
Compal Electronics, Inc.		74,000		45,681
CTBC Financial Holding Co. Ltd.		76,508		44,422
Delta Electronics, Inc.		6,105		32,526
E.Sun Financial Holding Co. Ltd.		28,898		16,456
Eva Airways Corp.		61,650		28,125
Far Eastern New Century Corp.		35,540		26,588
Far EasTone Telecommunications Co. Ltd.		28,000		66,102
First Financial Holding Co. Ltd.		48,443		25,732
Foxconn Technology Co. Ltd.		18,301		53,597
Fubon Financial Holding Co. Ltd.		31,000		45,790
Giant Manufacturing Co. Ltd.		3,000		21,151
Hon Hai Precision Industry Co. Ltd.		58,030		146,253
Hotai Motor Co. Ltd.		1,000		11,692
HTC Corp. ^(a)		1,000		2,779
Hua Nan Financial Holdings Co. Ltd.		95,526		48,913
Innolux Corp.		343,000		115,991
Inventec Corp.		94,000		76,770
Lite-On Technology Corp.		55,245		79,487
MediaTek, Inc.		6,000		45,844
Mega Financial Holding Co. Ltd.		32,273		22,702
Nan Ya Plastics Corp.		13,000		25,713
Novatek Microelectronics Corp.		12,000		42,303
Pegatron Corp.		22,000		56,570
Pou Chen Corp.		22,000		30,952
President Chain Store Corp.		6,000		47,662
Quanta Computer, Inc.		12,000		25,037
Radiant Opto-Electronics Corp.		2,000		3,248
Ruentex Development Co. Ltd. ^(a)		15,000		18,256
Shin Kong Financial Holding Co. Ltd. ^(a)		161,489		35,497
Simplo Technology Co. Ltd.		18,000		59,147
SinoPac Financial Holdings Co. Ltd.		61,895		18,265
Synnex Technology International Corp.		18,600		20,591
Taiwan Cement Corp.		33,000		37,532
Taiwan Cooperative Financial Holding Co. Ltd.		48,108		21,256
Taiwan Mobile Co. Ltd.		15,000		53,835
Taiwan Semiconductor Manufacturing Co. Ltd.		23,000		133,911
Teco Electric and Machinery Co. Ltd.		35,000		30,148
Uni-President Enterprises Corp.		22,800		42,770

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Taiwan (continued)
United Microelectronics Corp.		41,000	$	15,107
Vanguard International Semiconductor Corp.		22,000		41,129
Wistron Corp.		39,121		29,080
WPG Holdings Ltd.		18,000		21,304
Yuanta Financial Holding Co. Ltd.		86,757		30,999
				2,260,572
Thailand — (8.9%)
Advanced Info Service PCL		25,800		119,134
Bangkok Bank PCL		28,700		134,596
Bangkok Dusit Medical Services PCL		78,900		49,640
Banpu PCL		56,767		25,721
BTS Group Holdings PCL		85,000		21,219
Bumrungrad Hospital PCL		13,200		66,476
Central Pattana PCL		13,100		22,022
Charoen Pokphand Foods PCL		91,700		84,025
CP ALL PCL		22,100		39,225
Delta Electronics Thailand PCL		30,800		70,445
IRPC PCL		257,600		36,280
Kasikornbank PCL		30,300		163,961
Krung Thai Bank PCL		307,600		156,241
Land & Houses PCL		252,500		65,220
Minor International PCL		20,860		23,479
PTT Exploration & Production PCL		23,900		55,870
PTT Global Chemical PCL		65,700		111,396
PTT PCL		15,600		152,624
Ratchaburi Electricity Generating Holding PCL		51,700		75,722
Siam Cement PCL (The)		5,400		80,416
Siam Commercial Bank PCL (The)		39,600		169,143
Thai Beverage PCL ^(b)		237,200		168,751
Thai Oil PCL		20,400		40,329
Thai Union Group PCL		161,700		99,867
TMB Bank PCL		1,475,300		90,264
				2,122,066
Turkey — (4.5%)
Akbank TAS		24,169		64,758
Anadolu Efes Biracilik Ve Malt Sanayii AS		1,198		7,254
Arcelik AS		10,817		76,134
BIM Birlesik Magazalar AS		3,787		63,165
Emlak Konut Gayrimenkul Yatirim Ortakligi AS		78,109		79,132
Eregli Demir ve Celik Fabrikalari TAS		79,878		109,940
Haci Omer Sabanci Holding AS		14,813		45,860
TAV Havalimanlari Holding AS		14,543		59,952
Tupras Turkiye Petrol Rafinerileri AS		3,244		61,405

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Turkey (continued)
Turk Hava Yollari AO ^(a)		46,243	$	79,211
Turkcell Iletisim Hizmetleri AS ^(a)		24,945		80,720
Turkiye Garanti Bankasi AS		28,426		75,311
Turkiye Halk Bankasi AS		24,659		74,946
Turkiye Is Bankasi		42,983		68,041
Turkiye Vakiflar Bankasi TAO		76,912		117,648
				1,063,477
TOTAL COMMON STOCKS (Cost $23,030,314)				23,734,254
RIGHTS — (0.0%) ^(d)
Thailand — (0.0%) ^(d)
Banpu PCL Exp 09/30/16 ^(a)		2,958		1,186
TOTAL RIGHTS (Cost $ —)				1,186
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.8%) (Cost $23,030,314)				23,735,440
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (1.4%) (Cost $327,748)
State Street Navigator Securities Lending Prime Portfolio, 0.30% *		327,748		327,748
TOTAL INVESTMENTS — (101.2%) (Cost $23,358,062)				24,063,188
OTHER ASSETS & LIABILITIES — (-1.2%)				(276,792	)
NET ASSETS — (100.0%)			$	23,786,396

Represents the current daily yield at period end

(a)

Non-income producing security.

(b)

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

(c)

Pursuant to Rule 144A under the Securities Act of 1933, this security can only be sold to qualified institutional investors.

(d)

Amount shown represents less than 0.05% of net assets.

PCL = Public Company Limited

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	327,748	$	327,748
Total Borrowings	$	327,748	$	327,748
Gross amount of recognized liabilities for securities lending transactions			$	327,748

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
COMMON STOCKS — (99.5%)
Australia — (4.4%)
Abacus Property Group		3,100	$	6,856
Automotive Holdings Group Ltd. ^(a)		6,582		21,558
BWP Trust		2,999		7,367
Charter Hall Retail REIT ^(a)		7,716		24,977
Cromwell Property Group		15,910		11,445
CSR Ltd.		20,334		56,329
Downer EDI Ltd.		12,828		52,912
Investa Office Fund		7,324		25,613
JB Hi-Fi Ltd.		2,357		52,253
Mineral Resources Ltd.		4,052		34,326
Monadelphous Group Ltd. ^(a)		7,364		51,168
Northern Star Resources Ltd. ^(a)		1,627		5,802
OZ Minerals Ltd.		2,380		11,073
Regis Resources Ltd.		9,804		28,960
Sandfire Resources NL ^(a)		853		3,290
St Barbara Ltd. ^(b)		23,310		56,903
				450,832
Belgium — (0.1%)
Tessenderlo Chemie NV ^(b)		148		4,947
				4,947
Brazil — (2.2%)
Banco do Estado do Rio Grande do Sul SA		4,900		15,776
Braskem SA		5,231		40,430
Cia Energetica de Minas Gerais		3,425		9,045
Cia Hering		534		2,955
EDP – Energias do Brasil SA		5,161		22,844
Equatorial Energia SA		1,158		17,936
Ez Tec Empreendimentos e Participacoes SA		10,200		47,784
MRV Engenharia e Participacoes SA		13,855		50,919
Natura Cosmeticos SA		478		4,595
Odontoprev SA		4,174		16,612
				228,896
Canada — (5.4%)
Aecon Group, Inc. ^(a)		823		11,347
Air Canada ^(b)		1,519		12,251
BRP, Inc. ^(b)		1,384		27,032
Dream Global Real Estate Investment Trust		4,689		32,146
Ensign Energy Services, Inc. ^(a)		1,573		8,977
Exchange Income Corp.		950		25,444
Extendicare, Inc. ^(a)		3,609		25,978
Intertape Polymer Group, Inc.		2,732		47,063
Killam Apartment Real Estate Investment Trust		1,852		17,037

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Canada (continued)
Lucara Diamond Corp.		2,549	$	7,583
Manitoba Telecom Services, Inc. ^(a)		1,213		34,796
Milestone Apartments Real Estate Investment Trust		3,278		48,138
New Flyer Industries, Inc. ^(a)		1,259		37,772
North West Co., Inc. (The) ^(a)		1,297		25,501
Parkland Fuel Corp. ^(a)		2,556		60,154
Pason Systems, Inc.		95		1,214
Pure Industrial Real Estate Trust		7,545		31,632
Superior Plus Corp. ^(a)		2,564		23,021
Transcontinental, Inc.		3,004		40,274
Uni-Select, Inc.		1,527		37,157
				554,517
China — (7.9%)
Agile Property Holdings Ltd.		34,670		19,713
China Communications Services Corp. Ltd. H Shares		83,445		52,180
China Lesso Group Holdings Ltd.		10,539		7,147
CIFI Holdings Group Co. Ltd.		164,232		51,455
Dongfeng Motor Group Co. Ltd. H Shares		19,146		19,131
Guangshen Railway Co. Ltd. H Shares		42,459		21,952
Guangzhou R&F Properties Co. Ltd.		27,486		43,235
Huabao International Holdings Ltd. ^(b)		8,060		3,097
Kingboard Chemical Holdings Ltd.		6,606		20,016
KWG Property Holding Ltd.		4,492		2,948
Peak Sport Products Co. Ltd.		17,000		5,502
Shanghai Jin Jiang International Hotels Group Co. Ltd. H Shares		79,585		24,524
Shenzhen Expressway Co. Ltd. H Shares		46,360		48,656
Shenzhen Investment Ltd.		47,120		22,418
Shimao Property Holdings Ltd.		12,760		17,275
Sinopec Engineering Group Co. Ltd. H Shares		62,000		53,319
Sinotrans Ltd. H Shares		31,228		15,139
Skyworth Digital Holdings Ltd.		61,194		44,026
Sunac China Holdings Ltd.		14,452		10,397
Tianneng Power International Ltd.		48,000		40,908
Tongda Group Holdings Ltd.		162,767		39,664
TravelSky Technology Ltd. H Shares		19,649		46,615
Weichai Power Co. Ltd. H Shares		37,727		50,588
XTEP International Holdings Ltd.		92,588		43,095
Yuexiu Real Estate Investment Trust		83,453		50,787
Yuzhou Properties Co. Ltd.		142,000		52,545
				806,332

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Denmark — (0.0%) ^(c)
Dfds A/S		53	$	2,680
SimCorp A/S		37		2,150
				4,830
France — (0.4%)
Alten SA		361		25,250
Groupe Fnac SA ^(b)		119		8,735
Neopost SA		359		9,695
				43,680
Germany — (0.6%)
Heidelberger Druckmaschinen AG ^(a)^(b)		4,817		11,655
Jungheinrich AG		1,370		46,350
				58,005
Hong Kong — (0.5%)
Texwinca Holdings Ltd.		72,418		50,047
				50,047
Ireland — (0.1%)
Origin Enterprises PLC		1,232		7,787
				7,787
Israel — (0.5%)
Orbotech Ltd. ^(b)		133		3,938
Paz Oil Co. Ltd.		290		45,323
				49,261
Italy — (1.1%)
Banca IFIS SpA		1,076		24,269
Saras SpA		33,962		54,005
Societa Cattolica di Assicurazioni SCRL ^(a)		5,173		28,951
				107,225
Japan — (12.8%)
Adastria Co. Ltd.		178		4,066
Alpine Electronics, Inc.		430		5,631
Amano Corp.		1,481		23,517
Anritsu Corp. ^(a)		1,255		7,139
AOKI Holdings, Inc. ^(a)		932		10,483
Arcs Co. Ltd.		1,281		31,840
Asahi Holdings, Inc.		532		9,041
Avex Group Holdings, Inc.		98		1,325
Calsonic Kansei Corp.		2,711		24,924
CKD Corp.		1,676		20,043
Coca-Cola West Co. Ltd. ^(a)		300		8,351
cocokara fine, Inc.		200		7,653
Create Restaurants Holdings, Inc.		1,272		12,888
Daiichikosho Co. Ltd.		119		4,836
Daishi Bank Ltd. (The)		2,767		10,547

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Japan (continued)
Doutor Nichires Holdings Co. Ltd. ^(a)		1,694	$	31,014
Dydo Drinco, Inc.		940		52,168
Enplas Corp.		148		4,472
FCC Co. Ltd.		513		10,947
Foster Electric Co. Ltd.		500		9,065
Fuji Machine Manufacturing Co. Ltd. ^(a)		2,067		23,718
Fujitsu General Ltd.		439		9,451
Geo Holdings Corp. ^(a)		2,730		35,101
Heiwado Co. Ltd. ^(a)		715		13,867
Hitachi Kokusai Electric, Inc.		2,380		43,550
Hitachi Maxell Ltd.		2,948		45,123
Inaba Denki Sangyo Co. Ltd.		825		29,573
Juroku Bank Ltd. (The)		8,178		23,178
Kanematsu Corp.		1,109		1,708
Kokuyo Co. Ltd.		1,468		21,223
Komori Corp.		534		6,687
Kura Corp.		595		28,908
Kuroda Electric Co. Ltd. ^(a)		1,202		22,921
KYORIN Holdings, Inc.		1,581		35,581
Kyowa Exeo Corp. ^(a)		1,069		15,127
Kyudenko Corp.		1,129		41,251
Leopalace21 Corp. ^(a)		347		2,275
Maeda Road Construction Co. Ltd.		1,378		24,508
Matsumotokiyoshi Holdings Co. Ltd.		200		10,270
Megmilk Snow Brand Co. Ltd.		549		19,978
Ministop Co. Ltd.		2,600		44,803
Mirait Holdings Corp. ^(a)		1,205		10,210
Mochida Pharmaceutical Co. Ltd.		277		21,610
Morinaga & Co. Ltd. ^(a)		329		15,790
NEC Networks & System Integration Corp.		1,494		25,302
NET One Systems Co. Ltd. ^(a)		6,560		45,476
Nichiha Corp.		875		19,398
Nihon Unisys Ltd.		473		6,035
Nippon Signal Co. Ltd. ^(a)		720		6,015
Nitto Kogyo Corp.		1,222		15,905
Nojima Corp.		200		2,469
Noritz Corp.		1,252		25,692
Pal Co. Ltd.		326		7,520
Paramount Bed Holdings Co. Ltd. ^(a)		637		23,967
Pioneer Corp. ^(b)		14,321		30,830
Plenus Co. Ltd. ^(a)		2,578		46,995
St Marc Holdings Co. Ltd. ^(a)		193		5,268
Sumitomo Bakelite Co. Ltd.		986		5,122

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Japan (continued)
T-Gaia Corp.		2,978	$	42,347
Taikisha Ltd. ^(a)		137		3,371
Takuma Co. Ltd.		1,718		16,151
Toho Holdings Co. Ltd. ^(a)		1,321		27,851
Token Corp.		595		44,126
Tokyo Seimitsu Co. Ltd.		100		2,648
Toppan Forms Co. Ltd.		1,971		20,554
Transcosmos, Inc. ^(a)		501		13,160
Unipres Corp.		296		5,180
Valor Holdings Co., Ltd. ^(a)		785		22,000
Zojirushi Corp.		385		6,243
				1,305,986
Netherlands — (0.6%)
BE Semiconductor Industries NV		335		11,445
PostNL NV ^(b)		2,867		13,020
TKH Group NV		816		31,898
				56,363
New Zealand — (0.6%)
Chorus Ltd.		17,492		49,736
Kiwi Property Group Ltd.		7,005		7,641
				57,377
Norway — (0.5%)
Bakkafrost P/F		766		31,983
Storebrand ASA ^(b)		3,996		19,749
				51,732
Portugal — (0.0%) ^(c)
REN – Redes Energeticas Nacionais SGPS SA ^(a)		885		2,589
				2,589
Singapore — (0.7%)
Frasers Centrepoint Trust		6,417		10,354
Venture Corp. Ltd.		5,975		39,528
Yanlord Land Group Ltd. ^(a)		17,600		18,072
				67,954
South Africa — (1.5%)
Barloworld Ltd.		1,946		11,784
DataTec Ltd. ^(a)		7,457		26,301
MMI Holdings Ltd.		10,191		16,601
Mondi Ltd.		1,179		24,741
Reunert Ltd.		8,542		37,954
Sappi Ltd. ^(b)		2,935		15,154
Telkom SA SOC Ltd.		5,371		23,626
				156,161

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
South Korea — (6.2%)
Bukwang Pharmaceutical Co. Ltd.		355	$	9,332
Cheil Worldwide, Inc.		2,487		36,130
CJ O Shopping Co. Ltd.		103		15,057
Daesang Corp.		359		9,616
Daewoong Pharmaceutical Co. Ltd.		334		24,595
DGB Financial Group, Inc.		1,853		15,193
Dongbu HiTek Co. Ltd. ^(b)		725		11,717
Green Cross Holdings Corp.		481		12,513
GS Home Shopping, Inc.		370		55,331
GS Retail Co. Ltd.		395		17,646
Hanil Cement Co. Ltd.		181		12,441
Hyundai Marine & Fire Insurance Co. Ltd.		1,825		60,068
JB Financial Group Co. Ltd.		2,608		14,042
KB Insurance Co. Ltd.		1,675		41,443
Korea Petrochemical Ind Co., Ltd.		85		16,477
Korean Reinsurance Co.		4,198		44,406
KT Skylife Co. Ltd.		3,515		51,065
Kwang Dong Pharmaceutical Co. Ltd.		738		6,058
LF Corp.		1,750		35,195
LG Hausys Ltd.		104		9,915
LS Industrial Systems Co. Ltd.		681		25,970
Meritz Fire & Marine Insurance Co. Ltd.		3,642		50,925
NongShim Co. Ltd.		56		15,966
S&T Motiv Co. Ltd.		69		2,982
S-1 Corp.		13		1,198
Samsung Card Co. Ltd.		147		6,687
Soulbrain Co. Ltd.		296		16,368
Tongyang, Inc.		4,588		12,060
				630,396
Spain — (0.5%)
Tecnicas Reunidas SA		1,312		51,155
				51,155
Sweden — (0.5%)
Bilia AB		1,447		35,721
Mycronic AB		1,269		15,849
				51,570
Switzerland — (1.4%)
Autoneum Holding AG		84		23,656
dorma+kaba Holding AG ^(b)		3		2,225
Implenia AG		306		21,686
Rieter Holding AG ^(b)		234		47,626
Schweiter Technologies AG		16		18,568

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Switzerland (continued)
Valiant Holding AG		85	$	7,834
Valora Holding AG		57		16,287
				137,882
Taiwan — (4.0%)
Accton Technology Corp.		8,211		12,783
Coretronic Corp.		22,791		24,757
Elite Material Co. Ltd.		11,450		31,232
Everlight Electronics Co. Ltd.		5,199		8,326
FLEXium Interconnect, Inc.		199		592
Gigabyte Technology Co. Ltd.		39,563		52,506
Mercuries Life Insurance Co. Ltd.		2,141		1,014
Micro-Star International Co. Ltd.		23,000		59,801
Powertech Technology, Inc.		9,469		24,560
Primax Electronics Ltd.		18,637		27,320
Realtek Semiconductor Corp.		11,000		36,146
Shin Zu Shing Co. Ltd.		8,238		27,201
Transcend Information, Inc.		10,905		31,833
Tripod Technology Corp.		5,465		12,152
Wan Hai Lines Ltd.		40,691		20,641
Win Semiconductors Corp.		4,966		14,575
Wistron NeWeb Corp.		3,278		10,343
WT Microelectronics Co. Ltd.		11,291		15,507
				411,289
United Kingdom — (4.0%)
BGEO Group PLC		1,281		48,323
Big Yellow Group PLC		811		8,217
Dart Group PLC		4,364		23,752
Debenhams PLC		7,846		5,682
Electrocomponents PLC		667		2,942
Firstgroup PLC ^(b)		5,850		8,032
Galliford Try PLC		103		1,774
Go-Ahead Group PLC		693		18,283
Greggs PLC		2,823		37,184
Halfords Group PLC ^(a)		1,050		4,782
Hansteen Holdings PLC ^(a)		18,221		27,527
Interserve PLC		858		4,102
LondonMetric Property PLC		11,605		24,120
Lookers PLC		3,215		4,782
Mitie Group PLC ^(a)		968		2,412
Moneysupermarket.com Group PLC		3,849		15,005
Plus500 Ltd.		2,393		20,594
Safestore Holdings PLC		7,211		36,063
Sports Direct International PLC ^(a)^(b)		3,634		13,562

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United Kingdom (continued)
SVG Capital PLC ^(b)		4,149	$	36,568
UNITE Group PLC (The)		3,640		30,002
WS Atkins PLC		1,562		32,241
				405,949
United States — (43.0%)
Aaron’s, Inc.		1,120		28,470
Abercrombie & Fitch Co.		1,059		16,828
ACCO Brands Corp. ^(b)		300		2,892
Aceto Corp.		606		11,508
Air Methods Corp. ^(a)^(b)		1,102		34,702
Alon USA Energy, Inc.		1,503		12,114
Altisource Portfolio Solutions SA ^(a)^(b)		312		10,109
Amedisys, Inc. ^(b)		582		27,610
American Eagle Outfitters, Inc. ^(a)		1,624		29,005
American Equity Investment Life Holding Co.		551		9,769
American National Insurance Co.		511		62,322
American Woodmark Corp. ^(b)		101		8,138
Amkor Technology, Inc. ^(b)		390		3,791
AMN Healthcare Services, Inc. ^(b)		1,398		44,554
Anika Therapeutics, Inc. ^(b)		1,027		49,142
Apollo Commercial Real Estate Finance, Inc. ^(a)		2,247		36,783
Argan, Inc. ^(a)		953		56,408
Argo Group International Holdings Ltd.		526		29,677
Aspen Insurance Holdings Ltd.		489		22,783
Atrion Corp.		35		14,931
Atwood Oceanics, Inc. ^(a)		3,871		33,639
AVX Corp.		682		9,405
Banc of California, Inc.		2,244		39,180
Barnes & Noble, Inc.		991		11,198
Benchmark Electronics, Inc. ^(b)		1,230		30,688
Big Lots, Inc. ^(a)		571		27,265
BioTelemetry, Inc. ^(b)		2,784		51,699
Blackstone Mortgage Trust, Inc.		400		11,780
Boise Cascade Co. ^(b)		867		22,022
Briggs & Stratton Corp.		151		2,816
Buckle, Inc. (The) ^(a)		187		4,494
CACI International, Inc. ^(b)		165		16,649
Cal-Maine Foods, Inc. ^(a)		817		31,487
Cambrex Corp. ^(b)		353		15,694
Capella Education Co.		43		2,496
Capstead Mortgage Corp.		1,569		14,796
Cato Corp. (The)		861		28,318
Chemed Corp.		350		49,374

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United States (continued)
Chemtura Corp. ^(b)		267	$	8,760
Chesapeake Utilities Corp.		25		1,527
Chico’s FAS, Inc.		880		10,472
Children’s Place, Inc. (The) ^(a)		614		49,040
Cimpress NV ^(a)^(b)		108		10,927
Cincinnati Bell, Inc. ^(b)		1,198		4,888
Cirrus Logic, Inc. ^(b)		29		1,541
Clearwater Paper Corp. ^(b)		598		38,673
Coca-Cola Bottling Co. Consolidated ^(a)		93		13,779
Commercial Metals Co.		553		8,953
Compass Diversified Holdings		2,425		42,146
Compass Minerals International, Inc. ^(a)		239		17,614
CONMED Corp.		104		4,166
Convergys Corp. ^(a)		922		28,047
Cooper Tire & Rubber Co.		524		19,922
Cooper-Standard Holding, Inc. ^(b)		534		52,759
Core-Mark Holding Co., Inc.		958		34,296
Corporate Office Properties Trust		123		3,487
CorVel Corp. ^(b)		1,111		42,662
CSG Systems International, Inc.		479		19,797
Cynosure, Inc. ^(b)		584		29,749
CYS Investments, Inc.		1,852		16,149
Dean Foods Co.		818		13,415
Delek US Holdings, Inc.		452		7,815
DHT Holdings, Inc. ^(a)		5,090		21,327
Dolby Laboratories, Inc.		482		26,168
Domtar Corp.		471		17,488
Douglas Dynamics, Inc.		587		18,749
Dril-Quip, Inc. ^(b)		684		38,126
DSW, Inc.		556		11,387
EarthLink Holdings Corp.		4,725		29,295
Emergent BioSolutions, Inc. ^(b)		1,116		35,187
Employers Holdings, Inc.		748		22,313
Ensign Group, Inc. (The) ^(a)		1,059		21,318
Enstar Group Ltd. ^(b)		223		36,677
ePlus, Inc. ^(b)		401		37,858
Essendant, Inc.		439		9,008
Express, Inc. ^(b)		276		3,254
Fabrinet ^(b)		1,273		56,763
FBL Financial Group, Inc.		520		33,264
Finish Line, Inc. (The)		399		9,209
First Busey Corp.		92		2,079
First Interstate BancSystem, Inc.		1,657		52,212

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United States (continued)
Forum Energy Technologies, Inc. ^(a)^(b)		567	$	11,261
Francesca’s Holdings Corp. ^(b)		110		1,697
Fresh Del Monte Produce, Inc.		390		23,361
FutureFuel Corp.		431		4,862
Genesco, Inc. ^(b)		837		45,583
GEO Group, Inc. (The) ^(a)		1,190		28,298
Getty Realty Corp.		232		5,552
Globus Medical, Inc. ^(b)		1,655		37,353
Green Dot Corp. ^(b)		975		22,483
Greif, Inc.		295		14,629
Guess?, Inc.		664		9,701
H&E Equipment Services, Inc.		3,351		56,163
Haemonetics Corp. ^(b)		47		1,702
Hawaiian Holdings, Inc. ^(b)		1,021		49,621
Heritage Financial Corp.		1,243		22,312
Hibbett Sports, Inc. ^(a)^(b)		88		3,511
Horace Mann Educators Corp.		595		21,807
Hub Group, Inc. ^(b)		114		4,647
ICF International, Inc. ^(b)		57		2,526
ICU Medical, Inc. ^(b)		129		16,303
II-VI, Inc. ^(b)		414		10,073
Infinity Property & Casualty Corp.		257		21,236
Ingles Markets, Inc.		650		25,701
Innospec, Inc.		714		43,418
Insight Enterprises, Inc. ^(b)		1,235		40,199
Insperity, Inc.		691		50,194
Integra LifeSciences Holdings Corp. ^(b)		390		32,194
Investment Technology Group, Inc.		528		9,050
Kaman Corp. ^(a)		281		12,342
Kelly Services, Inc.		103		1,980
Kindred Healthcare, Inc.		1,910		19,520
Kraton Corp. ^(b)		601		21,059
Kulicke & Soffa Industries, Inc. ^(b)		933		12,064
Landstar System, Inc.		165		11,233
Lexington Realty Trust		1,513		15,584
Lexmark International, Inc.		542		21,658
LHC Group, Inc. ^(b)		1,337		49,309
LifePoint Health, Inc. ^(b)		553		32,754
Luminex Corp. ^(b)		2,375		53,960
Magellan Health, Inc. ^(b)		782		42,017
ManTech International Corp.		367		13,832
Masimo Corp. ^(b)		382		22,725
McDermott International, Inc. ^(b)		5,841		29,263

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United States (continued)
Mercer International, Inc.		1,662	$	14,077
Meredith Corp.		23		1,196
Meridian Bioscience, Inc.		1,030		19,869
MFA Financial, Inc.		4,523		33,832
MicroStrategy, Inc. ^(b)		61		10,214
MRC Global, Inc. ^(b)		1,381		22,690
MSG Networks, Inc. ^(b)		1,214		22,593
Myriad Genetics, Inc. ^(b)		171		3,519
National Presto Industries, Inc. ^(a)		283		24,845
National Western Life Group, Inc.		235		48,262
Navigators Group, Inc. (The)		539		52,240
Neenah Paper, Inc.		55		4,346
Net 1 UEPS Technologies, Inc. ^(b)		1,039		8,894
NETGEAR, Inc. ^(b)		20		1,210
NeuStar, Inc. ^(b)		785		20,873
Northwest Natural Gas Co.		33		1,984
NuVasive, Inc. ^(b)		175		11,666
Oil States International, Inc. ^(b)		888		28,034
Oritani Financial Corp.		174		2,735
Owens & Minor, Inc.		1,550		53,831
Par Pacific Holdings, Inc. ^(b)		220		2,878
PDL BioPharma, Inc.		16,242		54,411
PharMerica Corp. ^(b)		479		13,446
Photronics, Inc. ^(b)		4,308		44,415
Plexus Corp. ^(b)		135		6,315
Quality Systems, Inc.		1,903		21,542
Rofin-Sinar Technologies, Inc. ^(b)		1,017		32,727
RPC, Inc. ^(a)^(b)		840		14,112
RPX Corp. ^(b)		3,551		37,960
Safety Insurance Group, Inc.		60		4,033
Sanderson Farms, Inc.		487		46,913
Sanmina Corp. ^(b)		1,885		53,666
Scholastic Corp.		119		4,684
Schweitzer-Mauduit International, Inc.		987		38,059
SciClone Pharmaceuticals, Inc. ^(b)		5,062		51,885
Select Comfort Corp. ^(b)		916		19,786
Select Income REIT		624		16,786
Select Medical Holdings Corp. ^(b)		447		6,035
Selective Insurance Group, Inc.		866		34,519
Shoe Carnival, Inc. ^(a)		1,708		45,535
Smith & Wesson Holding Corp. ^(a)^(b)		116		3,084
SpartanNash Co.		652		18,856
Steelcase, Inc.		959		13,321

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
United States (continued)
Stepan Co.		739	$	53,696
Sturm Ruger & Co., Inc.		40		2,310
Summit Hotel Properties, Inc.		1,236		16,266
Supernus Pharmaceuticals, Inc. ^(b)		291		7,196
Sykes Enterprises, Inc. ^(b)		1,543		43,405
Tech Data Corp. ^(b)		652		55,231
Teekay Tankers Ltd.		319		807
TeleTech Holdings, Inc.		628		18,206
Tessera Technologies, Inc.		680		26,139
TriCo Bancshares		1,097		29,367
Triple-S Management Corp. ^(a)^(b)		2,313		50,724
TrustCo Bank Corp.		4,947		35,074
UniFirst Corp.		62		8,175
United Fire Group, Inc.		715		30,259
United States Cellular Corp. ^(b)		1,187		43,136
Universal Corp.		455		26,490
US Physical Therapy, Inc.		213		13,355
USANA Health Sciences, Inc. ^(b)		28		3,874
VASCO Data Security International, Inc. ^(b)		937		16,501
Viad Corp.		346		12,757
Vishay Intertechnology, Inc. ^(a)		347		4,889
Vonage Holdings Corp. ^(b)		1,492		9,862
Wabash National Corp. ^(b)		617		8,786
Walker & Dunlop, Inc. ^(b)		576		14,550
Weis Markets, Inc.		475		25,175
				4,379,647
TOTAL COMMON STOCKS (Cost $9,248,735)				10,132,409
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.5%) (Cost $9,248,735)				10,132,409
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (8.4%) (Cost $855,737)
State Street Navigator Securities Lending Prime Portfolio, 0.30% *		855,737		855,737
TOTAL INVESTMENTS — (107.9%) (Cost $10,104,472)				10,988,146
OTHER ASSETS & LIABILITIES — (-7.9%)				(803,539	)
NET ASSETS — (100.0%)			$	10,184,607

Represents the current daily yield at period end

(a)

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

(b)

Non-income producing security.

(c)

Amount shown represents less than 0.05% of net assets.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

PLC = Public Limited Company
REIT = Real Estate Investment Trust

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	855,737	$	855,737
Total Borrowings	$	855,737	$	855,737
Gross amount of recognized liabilities for securities lending transactions			$	855,737

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
COMMON STOCKS — (99.9%)
Consumer Discretionary — (11.1%)
AutoZone, Inc. ^(a)		79	$	60,699
Bed Bath & Beyond, Inc.		612		26,383
Best Buy Co., Inc. ^(b)		5,057		193,076
Burlington Stores, Inc. ^(a)		528		42,779
Coach, Inc.		797		29,138
Comcast Corp.		694		46,040
Cracker Barrel Old Country Store, Inc. ^(b)		118		15,602
Delphi Automotive PLC		467		33,306
Dick’s Sporting Goods, Inc.		437		24,787
Dollar General Corp.		1,032		72,230
Foot Locker, Inc.		603		40,835
Ford Motor Co.		7,548		91,104
GameStop Corp. ^(b)		3,784		104,401
Gap, Inc. (The) ^(b)		4,728		105,151
General Motors Co.		7,098		225,503
Genuine Parts Co.		266		26,720
Hasbro, Inc.		78		6,188
Home Depot, Inc. (The)		848		109,121
Johnson Controls International PLC		1,489		69,283
Kohl’s Corp.		1,388		60,725
L Brands, Inc.		1,812		128,235
Lowe’s Cos., Inc.		1,740		125,645
Macy’s, Inc.		1,465		54,278
McDonald’s Corp.		328		37,838
Michael Kors Holdings Ltd. ^(a)		5,216		244,057
Michaels Cos., Inc. (The) ^(a)		1,326		32,049
Murphy USA, Inc. ^(a)		1,630		116,317
NIKE, Inc.		808		42,541
Nordstrom, Inc. ^(b)		334		17,328
O’Reilly Automotive, Inc. ^(a)		131		36,694
Omnicom Group, Inc.		118		10,030
Ralph Lauren Corp.		682		68,978
Ross Stores, Inc.		1,345		86,484
Skechers U.S.A., Inc. ^(a)		1,671		38,266
Staples, Inc.		5,016		42,887
Target Corp. ^(b)		2,258		155,079
Tenneco, Inc. ^(a)		1,841		107,275
Thor Industries, Inc.		297		25,156
TJX Cos., Inc. (The)		1,470		109,927
Tupperware Brands Corp.		1,248		81,582
Urban Outfitters, Inc. ^(a)^(b)		2,418		83,469
VF Corp.		108		6,053

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Consumer Discretionary (continued)
Viacom, Inc.		1,619	$	61,684
Yum! Brands, Inc.		201		18,253
				3,113,176
Consumer Staples — (7.6%)
Altria Group, Inc.		1,182		74,738
Archer-Daniels-Midland Co.		3,253		137,179
Campbell Soup Co.		721		39,439
Casey’s General Stores, Inc.		420		50,463
Clorox Co. (The) ^(b)		110		13,770
Costco Wholesale Corp.		448		68,325
CVS Health Corp.		212		18,866
Dr Pepper Snapple Group, Inc.		459		41,911
Estee Lauder Cos., Inc. (The)		1,368		121,150
General Mills, Inc.		329		21,017
Herbalife Ltd. ^(a)^(b)		4,595		284,844
Hershey Co. (The)		750		71,700
Ingredion, Inc.		66		8,782
Kellogg Co.		318		24,635
Kimberly-Clark Corp.		353		44,527
Kroger Co. (The)		5,402		160,331
Mead Johnson Nutrition Co.		93		7,348
Nu Skin Enterprises, Inc.		1,300		84,214
PepsiCo, Inc.		577		62,760
Philip Morris International, Inc.		955		92,845
Pilgrim’s Pride Corp.		8,868		187,292
Procter & Gamble Co. (The)		241		21,630
Reynolds American, Inc.		325		15,324
Sysco Corp.		3,332		163,301
Tyson Foods, Inc.		1,064		79,449
Wal-Mart Stores, Inc.		2,568		185,204
Walgreens Boots Alliance, Inc.		597		48,130
Whole Foods Market, Inc.		257		7,286
				2,136,460
Energy — (8.7%)
Antero Resources Corp. ^(a)		5,247		141,407
Chevron Corp.		1,783		183,506
Continental Resources, Inc. ^(a)^(b)		2,774		144,137
Exxon Mobil Corp.		2,220		193,762
FMC Technologies, Inc. ^(a)		3,874		114,942
Halliburton Co.		660		29,621
Helmerich & Payne, Inc. ^(b)		1,771		119,188
HollyFrontier Corp.		1,966		48,167
Marathon Petroleum Corp.		6,223		252,592

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Energy (continued)
Oceaneering International, Inc.		2,781	$	76,505
ONEOK, Inc.		2,051		105,401
Phillips 66		3,506		282,408
Schlumberger Ltd.		326		25,637
Spectra Energy Corp. ^(b)		1,215		51,941
Tesoro Corp.		1,858		147,822
Valero Energy Corp.		5,805		307,665
Western Refining, Inc.		4,116		108,909
World Fuel Services Corp.		2,405		111,255
				2,444,865
Financials — (14.4%)
Aflac, Inc.		3,153		226,606
Alleghany Corp. ^(a)		212		111,304
Allstate Corp. (The)		2,986		206,572
American Financial Group, Inc.		2,258		169,350
American International Group, Inc.		529		31,391
Ameriprise Financial, Inc.		778		77,621
Aon PLC		517		58,157
Assurant, Inc.		1,062		97,970
Bank of America Corp.		4,570		71,521
BB&T Corp.		2,114		79,740
Berkshire Hathaway, Inc. ^(a)		771		111,386
BlackRock, Inc.		66		23,922
Capital One Financial Corp.		808		58,039
Chubb Ltd.		757		95,117
Cincinnati Financial Corp.		303		22,852
Citigroup, Inc.		1,554		73,395
CME Group, Inc.		572		59,785
CNA Financial Corp.		1,085		37,335
CNO Financial Group, Inc.		2,158		32,953
Cullen/Frost Bankers, Inc. ^(b)		1,315		94,601
Discover Financial Services		1,355		76,625
Erie Indemnity Co.		700		71,449
Fifth Third Bancorp		790		16,163
First American Financial Corp.		2,412		94,743
First Citizens BancShares, Inc.		181		53,194
Hanover Insurance Group, Inc. (The)		940		70,895
JPMorgan Chase & Co.		4,228		281,543
Lincoln National Corp.		1,167		54,826
Marsh & McLennan Cos., Inc.		430		28,918
MetLife, Inc.		5,779		256,761
Old Republic International Corp.		10,926		192,516
PNC Financial Services Group, Inc. (The)		913		82,252

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Financials (continued)
Popular, Inc.		1,309	$	50,030
Principal Financial Group, Inc.		3,059		157,569
Progressive Corp. (The)		4,670		147,105
Regions Financial Corp.		5,292		52,232
Reinsurance Group of America, Inc.		890		96,067
SunTrust Banks, Inc. ^(b)		2,515		110,157
Synchrony Financial		880		24,640
Travelers Cos., Inc. (The)		1,831		209,741
Unum Group		1,204		42,513
US Bancorp		342		14,668
Wells Fargo & Co.		2,588		114,597
				4,038,821
Health Care — (17.0%)
Abbott Laboratories		1,159		49,014
AbbVie, Inc. ^(b)		1,441		90,884
Aetna, Inc.		2,049		236,557
Amgen, Inc.		803		133,948
Anthem, Inc.		1,836		230,069
Baxter International, Inc.		2,490		118,524
Becton Dickinson and Co.		60		10,784
Bio-Rad Laboratories, Inc. ^(a)		260		42,591
Biogen, Inc. ^(a)		362		113,317
Boston Scientific Corp. ^(a)		3,331		79,278
Bristol-Myers Squibb Co.		485		26,151
Cardinal Health, Inc.		2,074		161,150
Centene Corp. ^(a)		1,339		89,659
Cerner Corp. ^(a)		159		9,818
Cigna Corp.		323		42,093
CR Bard, Inc.		239		53,603
Danaher Corp.		962		75,411
DaVita HealthCare Partners, Inc. ^(a)		1,939		128,110
Edwards Lifesciences Corp. ^(a)		1,089		131,290
Eli Lilly & Co.		1,419		113,889
Express Scripts Holding Co. ^(a)		2,992		211,026
Gilead Sciences, Inc.		1,987		157,212
HCA Holdings, Inc. ^(a)		3,284		248,369
Henry Schein, Inc. ^(a)		312		50,850
Humana, Inc.		1,180		208,730
IDEXX Laboratories, Inc. ^(a)^(b)		73		8,229
Intuitive Surgical, Inc. ^(a)		62		44,940
Johnson & Johnson		1,831		216,296
Laboratory Corp. of America Holdings ^(a)		154		21,172
McKesson Corp.		512		85,376

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Health Care (continued)
Merck & Co., Inc.		3,270	$	204,081
Molina Healthcare, Inc. ^(a)^(b)		1,873		109,233
PAREXEL International Corp. ^(a)		1,593		110,634
Patterson Cos., Inc.		399		18,330
Pfizer, Inc.		3,843		130,162
Quest Diagnostics, Inc.		1,426		120,682
Quintiles Transnational Holdings, Inc. ^(a)		403		32,667
St Jude Medical, Inc.		1,330		106,081
Stryker Corp.		899		104,653
United Therapeutics Corp. ^(a)		464		54,789
UnitedHealth Group, Inc.		1,654		231,560
Varian Medical Systems, Inc. ^(a)		497		49,466
VCA, Inc. ^(a)		53		3,709
WellCare Health Plans, Inc. ^(a)		2,096		245,421
Zoetis, Inc.		1,133		58,927
				4,768,735
Industrials — (9.9%)
3M Co.		569		100,275
American Airlines Group, Inc.		363		13,289
Boeing Co. (The) ^(b)		518		68,241
Caterpillar, Inc.		821		72,880
CH Robinson Worldwide, Inc.		311		21,913
CSX Corp.		1,113		33,947
Cummins, Inc.		1,607		205,937
Deere & Co. ^(b)		240		20,484
Delta Air Lines, Inc.		2,437		95,920
Deluxe Corp.		463		30,938
Eaton Corp. PLC		2,163		142,131
Emerson Electric Co.		2,585		140,908
FedEx Corp.		241		42,098
Fluor Corp.		476		24,428
General Dynamics Corp.		559		86,734
HD Supply Holdings, Inc. ^(a)		179		5,724
Honeywell International, Inc.		329		38,358
Huntington Ingalls Industries, Inc.		484		74,255
Illinois Tool Works, Inc.		710		85,086
Ingersoll-Rand PLC		1,282		87,099
Jacobs Engineering Group, Inc. ^(a)		345		17,843
JetBlue Airways Corp. ^(a)		2,098		36,170
Lockheed Martin Corp.		407		97,566
ManpowerGroup, Inc.		623		45,018
MSC Industrial Direct Co., Inc.		369		27,088
Norfolk Southern Corp.		229		22,227

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Industrials (continued)
Northrop Grumman Corp.		741	$	158,537
PACCAR, Inc.		889		52,255
Parker-Hannifin Corp.		168		21,089
Pitney Bowes, Inc.		2,742		49,795
Raytheon Co.		529		72,013
Republic Services, Inc.		215		10,847
Robert Half International, Inc.		1,123		42,517
Rockwell Automation, Inc.		140		17,128
RR Donnelley & Sons Co.		5,786		90,956
Southwest Airlines Co.		3,080		119,781
Spirit AeroSystems Holdings, Inc. ^(a)		576		25,655
Stanley Black & Decker, Inc.		761		93,588
United Continental Holdings, Inc. ^(a)		1,733		90,931
United Parcel Service, Inc.		1,182		129,264
United Rentals, Inc. ^(a)		337		26,451
United Technologies Corp.		393		39,929
Waste Management, Inc.		868		55,344
WW Grainger, Inc. ^(b)		238		53,512
				2,786,149
Information Technology — (18.8%)
Accenture PLC		777		94,926
Activision Blizzard, Inc.		937		41,509
Alphabet, Inc. ^(a)		51		41,007
Amphenol Corp.		133		8,634
Analog Devices, Inc.		1,261		81,271
Apple, Inc.		1,442		163,018
Applied Materials, Inc.		4,871		146,861
Arrow Electronics, Inc. ^(a)		2,363		151,161
Automatic Data Processing, Inc.		161		14,200
Avnet, Inc.		1,865		76,577
Booz Allen Hamilton Holding Corp.		1,105		34,929
Broadcom Ltd.		134		23,118
Broadridge Financial Solutions, Inc.		177		11,999
Brocade Communications Systems, Inc.		9,639		88,968
CA, Inc.		820		27,126
CDW Corp.		255		11,661
Cisco Systems, Inc.		6,657		211,160
Cognizant Technology Solutions Corp. ^(a)		538		25,668
Computer Sciences Corp.		1,187		61,973
Corning, Inc.		4,290		101,458
DST Systems, Inc.		165		19,457
eBay, Inc. ^(a)		2,885		94,916
Electronic Arts, Inc. ^(a)		2,200		187,880

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Information Technology (continued)
First Solar, Inc. ^(a)^(b)		3,388	$	133,792
Fiserv, Inc. ^(a)		19		1,890
Flextronics International Ltd. ^(a)		14,266		194,303
Genpact Ltd. ^(a)		3,705		88,735
Hewlett Packard Enterprise Co.		11,745		267,199
HP, Inc.		22,692		352,407
IAC/InterActiveCorp		248		15,493
Ingram Micro, Inc.		1,534		54,702
Integrated Device Technology, Inc. ^(a)		1,168		26,981
Intel Corp.		8,305		313,514
International Business Machines Corp.		1,424		226,202
Intuit, Inc.		685		75,357
Jabil Circuit, Inc.		3,770		82,261
Keysight Technologies, Inc. ^(a)		5,382		170,556
Lam Research Corp. ^(b)		119		11,270
Leidos Holdings, Inc.		742		32,114
Micron Technology, Inc. ^(a)		6,029		107,196
Microsoft Corp.		1,409		81,158
NetApp, Inc.		3,580		128,236
NVIDIA Corp. ^(b)		3,154		216,112
ON Semiconductor Corp. ^(a)		403		4,965
Oracle Corp.		1,428		56,092
Paychex, Inc.		993		57,465
QUALCOMM, Inc.		1,048		71,788
Rackspace Hosting, Inc. ^(a)		1,866		59,134
Seagate Technology PLC		2,463		94,949
SYNNEX Corp.		132		15,062
Syntel, Inc. ^(a)		55		2,305
TE Connectivity Ltd.		680		43,778
Teradyne, Inc.		364		7,855
Texas Instruments, Inc.		2,088		146,536
VMware, Inc. ^(a)^(b)		3,408		249,977
Western Digital Corp. ^(b)		1,660		97,060
Western Union Co. (The)		3,769		78,471
Xerox Corp.		1,073		10,869
				5,295,261
Materials — (5.1%)
Air Products & Chemicals, Inc.		65		9,772
AptarGroup, Inc.		173		13,392
Avery Dennison Corp.		1,281		99,649
Bemis Co., Inc.		714		36,421
Dow Chemical Co. (The)		3,924		203,381
EI du Pont de Nemours & Co.		652		43,664

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Materials (continued)
International Paper Co.		3,264	$	156,607
LyondellBasell Industries NV		3,210		258,919
Monsanto Co.		684		69,905
Newmont Mining Corp.		313		12,298
Nucor Corp.		1,329		65,719
Packaging Corp. of America		915		74,353
PPG Industries, Inc.		361		37,313
Reliance Steel & Aluminum Co.		1,856		133,688
Scotts Miracle-Gro Co. (The)		569		47,381
Sherwin-Williams Co. (The)		316		87,424
Sonoco Products Co.		1,398		73,856
Valspar Corp. (The)		48		5,091
WestRock Co.		335		16,241
				1,445,074
Real Estate — (2.2%)
Chimera Investment Corp.		3,191		50,897
Corrections Corp. of America		8,648		119,948
Crown Castle International Corp.		150		14,131
EPR Properties		36		2,835
Equity Residential		918		59,055
Hospitality Properties Trust		1,032		30,671
Howard Hughes Corp. (The) ^(a)		246		28,167
Lamar Advertising Co.		397		25,928
Liberty Property Trust		656		26,470
Medical Properties Trust, Inc.		3,425		50,587
Piedmont Office Realty Trust, Inc.		799		17,394
Prologis, Inc.		762		40,797
Realty Income Corp.		43		2,878
Senior Housing Properties Trust		1,962		44,557
Ventas, Inc.		795		56,151
Welltower, Inc.		770		57,573
				628,039
Telecommunication Services — (2.4%)
AT&T, Inc.		4,400		178,684
CenturyLink, Inc.		5,028		137,918
Sprint Corp. ^(a)^(b)		13,551		89,843
T-Mobile US, Inc. ^(a)		2,176		101,663
Verizon Communications, Inc.		3,007		156,304
				664,412
Utilities — (2.7%)
American Electric Power Co., Inc.		928		59,587
Consolidated Edison, Inc.		1,096		82,529
DTE Energy Co.		707		66,225

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016


	Shares		Value
Utilities (continued)
Edison International		1,099	$	79,403
Exelon Corp.		3,418		113,785
NextEra Energy, Inc.		141		17,247
PG&E Corp.		709		43,369
PPL Corp.		1,964		67,895
Public Service Enterprise Group, Inc.		2,683		112,337
Southern Co. (The)		761		39,039
Xcel Energy, Inc.		1,633		67,182
				748,598
TOTAL COMMON STOCKS (Cost $26,277,805)				28,069,590
TOTAL INVESTMENTS BEFORE SECURITY LENDING COLLATERAL FOR SECURITIES LOANED — (99.9%) (Cost $26,277,805)				28,069,590
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED — (2.6%) (Cost $745,940)
State Street Navigator Securities Lending Prime Portfolio, 0.30% *		745,940		745,940
TOTAL INVESTMENTS — (102.5%) (Cost $27,023,745)				28,815,530
OTHER ASSETS & LIABILITIES — (-2.5%)				(704,815	)
NET ASSETS — (100.0%)			$	28,110,715

Represents the current daily yield at period end

(a)

Non-income producing security.

(b)

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

PLC = Public Limited Company

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements


	Overnight and Continuous		Total
Securities Lending Transactions ⁽¹⁾
Equity Securities	$	745,940	$	745,940
Total Borrowings	$	745,940	$	745,940
Gross amount of recognized liabilities for securities lending transactions			$	745,940

(1)

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2016


	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
Assets:
Investments, at value *	$	37,177,301		$	24,063,188		$	10,988,146		$	28,815,530
Foreign currency, at value		55,500			415,182			5,002			—
Cash		28,898			—			12,999			8,428
Receivables:
Investment securities sold		52			13,222			—			—
Dividends		127,212			37,650			34,372			35,944
Securities lending income		1,028			252			737			533
Fund shares sold		—			2,178,534			—			—
Prepaid expenses and other assets		—			4,001			—			—
Total Assets		37,389,991			26,712,029			11,041,256			28,860,435
Liabilities:
Payables:
Overdraft		—			1,002,332			—			—
Upon return of securities loaned		2,879,848			327,748			855,737			745,940
Investment securities purchased		61,286			1,588,125			—			—
Accrued management fees		9,147			7,428			912			3,780
Total Liabilities		2,950,281			2,925,633			856,649			749,720
Net Assets	$	34,439,710		$	23,786,396		$	10,184,607		$	28,110,715
Net Assets Consist of:
Paid in capital	$	34,958,046		$	26,580,731		$	9,879,308		$	28,007,734
Undistributed net investment income		318,268			200,062			83,675			9,142
Accumulated net realized (loss)		(2,452,466	)		(3,698,681	)		(662,112	)		(1,697,946	)
Net unrealized appreciation (depreciation)		1,615,862			704,284			883,736			1,791,785
Net Assets	$	34,439,710		$	23,786,396		$	10,184,607		$	28,110,715
Shares Issued and Outstanding:		1,400,000			1,100,000			400,000			1,150,000
Net Asset Value Per Share:	$	24.60		$	21.62		$	25.46		$	24.44
Investments, at cost	$	35,561,291		$	23,358,062		$	10,104,472		$	27,023,745
Foreign currency, at cost	$	55,405		$	415,095		$	5,003		$	—
* Includes investment in securities on loan, at value	$	4,157,765		$	311,939		$	1,116,660		$	2,045,807

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the Year Ended September 30, 2016


	Lattice Developed Markets (ex-US) Strategy ETF			Lattice Emerging Markets Strategy ETF			Lattice Global Small Cap Strategy ETF			Lattice US Equity Strategy ETF
Investment Income:
Dividends *	$	962,845		$	558,263		$	232,641		$	605,381
Interest		—			11			2			—
Securities lending income		20,383			1,938			10,660			7,711
Total Investment Income		983,228			560,212			243,303			613,092
Expenses:
Management fees		141,838			127,098			46,457			83,401
Trustees expenses		22,725			20,728			17,628			22,248
Other		36			—			—			—
Total Gross Expenses		164,599			147,826			64,085			105,649
Adviser reimbursement of trustees expenses (Note 4)		(22,725	)		(20,728	)		(17,628	)		(22,248	)
Total Net Expenses		141,874			127,098			46,457			83,401
Net Investment Income		841,354			433,114			196,846			529,691
Realized and Unrealized Gain (Loss):
Net Realized Gain (Loss) on:
Investments		(970,621	)^(a)		(2,541,390	)		(309,519	)		(1,206,311	)^(a)
Foreign currency transactions		4,307			8,064			311			—
Change in Unrealized Appreciation (Depreciation) of:
Investments		2,982,172			4,788,226			1,253,250			3,136,653
Translation of foreign currency denominated amounts		687			(506	)		80			—
Net Realized and Unrealized Gain		2,016,545			2,254,394			944,122			1,930,342
Net Increase in Net Assets Resulting from Operations	$	2,857,899		$	2,687,508		$	1,140,968		$	2,460,033
* Net of foreign withholding taxes of	$	96,652		$	81,139		$	16,265		$	—

(a)

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

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS


	Lattice Developed Markets (ex-US) Strategy ETF						Lattice Emerging Markets Strategy ETF
	Year Ended September 30, 2016			Period Ended September 30, 2015 (a)			Year Ended September 30, 2016			Period Ended September 30, 2015 (a)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	841,354		$	586,809		$	433,114		$	411,412
Net realized loss		(966,314	)		(1,375,948	)		(2,533,326	)		(1,175,259	)
Net change in unrealized appreciation (depreciation)		2,982,859			(1,366,997	)		4,787,720			(4,083,436	)
Net increase (decrease) in net assets resulting from operations		2,857,899			(2,156,136	)		2,687,508			(4,847,283	)
Distributions:
From net investment income		(766,330	)		(391,063	)		(424,201	)		(210,359	)
Total Distributions		(766,330	)		(391,063	)		(424,201	)		(210,359	)
Fund Share Transactions:
Proceeds from shares sold		7,252,803			30,053,388	^(b)		10,265,662			24,742,538
Cost of shares redeemed		(2,310,851	)		(100,000	)^(c)		(8,427,369	)		(100	)^(c)
Net increase from Fund share transactions		4,941,952			29,953,388			1,838,293			24,742,438
Total Increase in Net Assets		7,033,521			27,406,189			4,101,600			19,684,796
Net Assets:
Beginning of period		27,406,189			—			19,684,796			—
End of period *	$	34,439,710		$	27,406,189		$	23,786,396		$	19,684,796
* Including undistributed net investment income of:	$	318,268		$	196,782		$	200,062		$	176,554
Shares of Beneficial Interest:
Shares Sold		300,000			1,204,000	^(b)		500,000			1,000,004
Shares Redeemed		(100,000	)		(4,000	)^(c)		(400,000	)		(4	)^(c)
Net Increase from Shares Issued and Redeemed		200,000			1,200,000			100,000			1,000,000

(a)

For the period February 25, 2015 (commencement of operations) through September 30, 2015.

(b)

On January 30, 2015, the Lattice Developed Markets (ex-US) Strategy ETF purchased 4,000 shares for a total of $100,000 to act as initial seed capital for the Trust.

(c)

Cash redemption relating to initial seed capital.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS


	Lattice Global Small Cap Strategy ETF						Lattice US Equity Strategy ETF
	Year Ended September 30, 2016			Period Ended September 30, 2015 (a)			Year Ended September 30, 2016			Period Ended September 30, 2015 (b)
Increase (Decrease) in Net Assets:
Operations:
Net investment income	$	196,846		$	131,734		$	529,691		$	268,166
Net realized loss		(309,208	)		(358,485	)		(1,206,311	)		(772,996	)
Net change in unrealized appreciation (depreciation)		1,253,330			(369,594	)		3,136,653			(1,344,868	)
Net increase (decrease) in net assets resulting from operations		1,140,968			(596,345	)		2,460,033			(1,849,698	)
Distributions:
From net investment income		(177,194	)		(62,130	)		(520,459	)		(260,026	)
Total Distributions		(177,194	)		(62,130	)		(520,459	)		(260,026	)
Fund Share Transactions:
Proceeds from shares sold		2,414,035			7,465,373			12,720,535			27,484,119
Cost of shares redeemed		—			(100	)^(c)		(9,449,506	)		(2,474,283	)^(c)
Net increase from Fund share transactions		2,414,035			7,465,273			3,271,029			25,009,836
Total Increase in Net Assets		3,377,809			6,806,798			5,210,603			22,900,112
Net Assets:
Beginning of period		6,806,798			—			22,900,112			—
End of period *	$	10,184,607		$	6,806,798		$	28,110,715		$	22,900,112
* Including undistributed net investment income of:	$	83,675		$	66,469		$	9,142		$	7,892
Shares of Beneficial Interest:
Shares Sold		100,000			300,004			550,000			1,100,004
Shares Redeemed		—			(4	)^(c)		(400,000	)		(100,004	)^(c)
Net Increase from Shares Issued and Redeemed		100,000			300,000			150,000			1,000,000

(a)

For the period March 23, 2015 (commencement of operations) through September 30, 2015.

(b)

For the period February 25, 2015 (commencement of operations) through September 30, 2015.

(c)

Cash redemption relating to initial seed capital.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)


	Lattice Developed Markets (ex-US) Strategy ETF						Lattice Emerging Markets Strategy ETF
	Year Ended September 30, 2016			Period Ended September 30, 2015 (a)			Year Ended September 30, 2016			Period Ended September 30, 2015 (a)
Net Asset Value, beginning of year	$	22.84		$	25.00		$	19.68		$	25.00
Income from Investment Operations:
Net investment income (b)		0.70			0.55			0.45			0.44
Net realized and unrealized gain (loss)		1.70			(2.35	)		1.91			(5.55	)
Total from Investment Operations		2.40			(1.80	)		2.36			(5.11	)
Less Distributions:
Net investment income		(0.64	)		(0.36	)		(0.42	)		(0.21	)
Net Asset Value, end of year	$	24.60		$	22.84		$	21.62		$	19.68
Total Return (c)		10.62	%		(7.36	)%		12.20	%		(20.59	)%
Market Price Return		10.61	%		(6.84	)%		14.08	%		(20.59	)%
Ratios/Supplemental Data:
Net Assets, end of year (000’s omitted)	$	34,440		$	27,406		$	23,786		$	19,685
Ratio to average net assets of:
Gross expenses		0.58	%		0.50	%^(d)		0.76	%		0.65	%^(d)
Net expenses		0.50	%		0.50	%^(d)		0.65	%		0.65	%^(d)
Net investment income		2.97	%		3.75	%^(d)		2.22	%		3.23	%^(d)
Portfolio turnover rate (e)		54.37	%		41.81	%^(f)		49.48	%		17.28	%^(f)

(a)

The Fund commenced operations on February 25, 2015.

(b)

Based on average shares outstanding during the period.

(c)

Total return is calculated assuming a hypothetical purchase of beneficial shares on the opening of the first day at the net asset value and a sale on the closing of the last day at the net asset value of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at market price at the end of the distribution day. Total return calculated for a period of less than one year is not annualized.

(d)

Annualized.

(e)

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

(f)

Not annualized.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)


	Lattice Global Small Cap Strategy ETF						Lattice US Equity Strategy ETF
	Year Ended September 30, 2016			Period Ended September 30, 2015 (a)			Year Ended September 30, 2016			Period Ended September 30, 2015 (b)
Net Asset Value, beginning of year	$	22.69		$	25.00		$	22.90		$	25.00
Income from Investment Operations:
Net investment income (c)		0.60			0.44			0.52			0.26
Net realized and unrealized gain (loss)		2.76			(2.54	)		1.53			(2.11	)
Total from Investment Operations		3.36			(2.10	)		2.05			(1.85	)
Less Distributions:
Net investment income		(0.59	)		(0.21	)		(0.51	)		(0.25	)
Net Asset Value, end of year	$	25.46		$	22.69		$	24.44		$	22.90
Total Return (d)		15.05	%		(8.50	)%		9.01	%		(7.46	)%
Market Price Return		14.92	%		(7.89	)%		9.15	%		(7.54	)%
Ratios/Supplemental Data:
Net Assets, end of year (000’s omitted)	$	10,185		$	6,807		$	28,111		$	22,900
Ratio to average net assets of:
Gross expenses		0.83	%		0.60	%^(e)		0.44	%		0.35	%^(e)
Net expenses		0.60	%		0.60	%^(e)		0.35	%		0.35	%^(e)
Net investment income		2.54	%		3.44	%^(e)		2.22	%		1.82	%^(e)
Portfolio turnover rate (f)		62.19	%		43.87	%^(g)		50.68	%		37.92	%^(g)

(a)

The Fund commenced operations on March 23, 2015.

(b)

The Fund commenced operations on February 25, 2015.

(c)

Based on average shares outstanding during the period.

(d)

(e)

Annualized.

(f)

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

(g)

Not annualized.

See accompanying Notes to Financial Statements.

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2016

1. Organization

Lattice Strategies Trust (the “Trust”) is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”), consisting of multiple investment series (each a “Fund” and, collectively, “Funds”). The Trust was organized as a Delaware statutory trust on April 15, 2014. The Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF and Lattice US Equity Strategy ETF commenced operations on February 25, 2015. The Lattice Global Small Cap Strategy ETF commenced operations on March 23, 2015. The offering shares (“Shares”) of the Funds are registered under the Securities Act of 1933, as amended (“Securities Act”). The investment objective of each Fund is to provide investment results that, before fees and expenses, correspond to the total return, of a specified market index (each an “Index” and together the “Indexes”). Lattice Strategies LLC (“Lattice” or the “Adviser”) serves as the investment adviser for each Fund. Mellon Capital Management Corporation (“Mellon Capital” or the “Sub-Adviser,” and together with the Adviser, “Advisers”) serves as the investment sub-adviser for each Fund.

Each Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly traded securities. Each Fund is designed to track an index. Shares of the Funds are listed and traded on NYSE Arca. Each share of a Fund represents a partial ownership in securities held by the Fund. Shares of a Fund may be purchased or redeemed directly from the Fund at 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.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.

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

2. Significant Accounting Policies

The following significant accounting policies are in conformity with generally accepted accounting principles for investment companies. Such policies are consistently followed by the Funds in the preparation of its financial statements. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, GAAP, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results may differ from those estimates.

Cash, cash equivalents and Foreign Currency: Cash equivalents consist of highly liquid investments, with maturities of three months or less when acquired, and are disclosed as Short-Term Investments in each Fund’s Schedule of Investments, as applicable.

The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation

TABLE OF CONTENTS

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions on the Statements of Operations.

Reported realized foreign currency gains and losses arise from the disposition of foreign currency, purchase of foreign currency in certain countries that impose a tax on such purchases, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign currency gains and losses arise from changes (due to changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end.

Dividends and Distributions: Dividends from net investment income, if any, are generally declared and paid periodically but may vary significantly from period to period. Distributions of net realized securities gains, if any, generally are declared and paid once a year, but the Trust may make distributions on a more frequent basis for a Fund to improve index tracking or to comply with the distribution requirements of the Internal Revenue Code, in all events in a manner consistent with the provisions of the 1940 Act. Management of the Trust reserves the right to declare special dividends if, in its reasonable discretion, such action is necessary or advisable to preserve a Fund’s eligibility for treatment as a regulated investment company (“RIC”) under the Internal Revenue Code or to avoid imposition of income or excise taxes at the Fund level.

Investment Transactions: Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the specifically identified cost basis.

Investment Income: Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the dividend, in the case of certain dividends on foreign issuers.

Expenses: Expenses directly attributable to a Fund are charged directly to the Fund, while the expenses attributable to more than one Fund of the Trust are allocated among the respective Funds.

Other: In the normal course of business, the Funds enter into contracts that may include agreements to indemnify another party under given circumstances. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the Funds. However, based on experience, the risk of material loss from such claims is considered to be remote.

3. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: Net asset value per Share for each Fund is computed by dividing the value of the net assets of the Fund (i.e., the value of its total assets less total liabilities) by the total number of Shares outstanding. Expenses and fees, including the management fees, are accrued daily and taken into account for purposes of determining net asset value. The net asset value of a Fund is calculated by the custodian and determined as of the close of the regular trading session on the NYSE Arca (ordinarily

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4:00 p.m. Eastern time) on each day that such exchange is open. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by the manager to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Fixed-income assets are generally valued as of the announced closing time for trading in fixed-income instruments in a particular market or exchange. Creation/redemption order cut-off times may be earlier on any day that the Securities Industry and Financial Markets Association (or applicable exchange or market on which a Fund’s investments are traded) announces an early closing time. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at market rates on the date of valuation (generally as of 4:00 p.m. London time) as quoted by one or more sources.

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

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

The Trust’s accounting services provider will obtain market prices for the Fund securities and exchange rates, if applicable, from independent pricing services approved or ratified by the Board of Trustees (“Pricing Services”). The Pricing Services shall determine such prices and rates in a manner consistent with the procedures below.

A. Equity Securities: The accounting services provider obtains readily available market quotations from the Pricing Services approved by the Board. Equity securities shall be valued: (a) by using readily available market quotations provided by a primary pricing service; (b) by using a secondary pricing service; or (c) by obtaining direct written broker-dealer quotations.

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Equity securities will be valued in the following order:

1. If a security is traded on the date, then the last quoted sale price on the exchange on which the security is principally traded, up to the time of valuation, is used. If the security is not traded on the date, the security will be valued at the mean between the last available bid and asked price. If the security is listed on more than one exchange, the price on the exchange that is generally considered the principal exchange will be used.

2. Securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”) will be valued at the NASDAQ Official Closing Price (“NOCP”), which may not necessarily represent the last sale price. If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the last available bid and asked prices.

B. Fixed Income Securities: Fixed income securities shall be valued in the following order: (a) by using readily available market quotations provided by a pricing service; (b) by using a market value from a pricing service generated by a pricing matrix based upon yield data for securities with similar characteristics; or (c) by obtaining direct written broker-dealer quotations. Fixed income securities are valued at the quoted bid for such securities. Interest-bearing commercial paper which is purchased at par will be priced at par.

C. Options and Futures Contracts: Options, futures contracts and options thereon, which are traded on exchanges, are valued at their bid price as of the close of such exchanges or, if no sales are reported, at the mean between the last available bid and asked prices on such day as reported by the pricing service shall be used. If an options or futures exchange closes later than 3:00 p.m. Central Time, the options or futures traded on it are valued based on the mean between the most recent bid and asked prices as of 3:00 p.m. Central Time.

D. Short-Term Obligations: Short-term debt obligations with remaining maturities in excess of 60 days are valued at current market prices, as discussed above. Short-term debt obligations with 60 days or less remaining to maturity are, unless conditions indicate otherwise, amortized to maturity based on their cost to the applicable Fund if acquired within 60 days of maturity or, if already held by the Fund on the 60^th day, based on the value determined on the 61^st day.

E. Over-the-Counter (“OTC”) Securities: OTC securities that are not traded on NASDAQ shall be valued at the most recent trade price.

The Funds apply the provisions of GAAP surrounding fair value measurements that define fair value, establish a framework for measuring fair value and expand disclosures about fair value measurements. In accordance with these provisions, fair value is defined as the price that a Fund would receive upon selling an investment in an ordinary transaction to an independent buyer in the principal or most advantageous market of the investment.

The Funds categorize their fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example,

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certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.

Fair value inputs are summarized in the three broad levels listed below:

•

Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date (including NAV for open-end mutual funds). Valuation adjustments are not applied to Level 1 investments.

•

Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).

•

Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Fund’s net assets are computed and that may materially affect the value of the Fund’s investments).

Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by such Fund’s benchmark Index, which, in turn, could result in a difference between a Fund’s performance and the performance of such Fund’s benchmark Index.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

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Summary of Lattice Developed Markets (ex-US) Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:


	Investments in Securities (At Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	2,663,217	$	—	$	—	$	2,663,217
Austria		361,384		—		—		361,384
Belgium		564,520		—		—		564,520
Canada		4,136,280		—		—		4,136,280
Denmark		434,553		—		—		434,553
Finland		152,417		—		—		152,417
France		2,554,644		—		—		2,554,644
Germany		1,994,698		—		—		1,994,698
Hong Kong		1,831,727		—		—		1,831,727
Ireland		354,848		—		—		354,848
Israel		762,529		—		—		762,529
Italy		862,330		—		—		862,330
Japan		6,775,915		—		—		6,775,915
Netherlands		885,065		—		—		885,065
New Zealand		712,217		—		—		712,217
Norway		149,026		—		—		149,026
Portugal		48,432		—		—		48,432
Singapore		1,065,837		—		—		1,065,837
Spain		884,001		—		—		884,001
Sweden		612,632		—		—		612,632
Switzerland		2,366,669		—		—		2,366,669
United Kingdom		3,969,656		—		—		3,969,656
Limited Partnerships
Israel		154,856		—		—		154,856
Investments of Cash Collateral for Securities Loaned		2,879,848		—		—		2,879,848
Total	$	37,177,301	$	—	$	—	$	37,177,301

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Summary of Lattice Emerging Markets Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:


	Investments in Securities (At Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Brazil	$	1,124,960	$	—	$	—	$	1,124,960
Chile		1,092,975		—		—		1,092,975
China		1,981,598		—		—		1,981,598
Colombia		955,367		—		—		955,367
India		1,254,296		—		—		1,254,296
Indonesia		1,746,986		—		—		1,746,986
Malaysia		1,784,491		—		—		1,784,491
Mexico		1,241,591		—		—		1,241,591
Philippines		1,851,029		—		—		1,851,029
Poland		1,137,259		—		—		1,137,259
Russia		717,516		—		—		717,516
South Africa		1,478,001		—		—		1,478,001
South Korea		1,922,070		—		—		1,922,070
Taiwan		2,260,572		—		—		2,260,572
Thailand		2,122,066		—		—		2,122,066
Turkey		1,063,477		—		—		1,063,477
Rights
Thailand		1,186		—		—		1,186
Investments of Cash Collateral for Securities Loaned		327,748		—		—		327,748
Total	$	24,063,188	$	—	$	—	$	24,063,188

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Summary of Lattice Global Small Cap Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:


	Investments in Securities (At Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	450,832	$	—	$	—	$	450,832
Belgium		4,947		—		—		4,947
Brazil		228,896		—		—		228,896
Canada		554,517		—		—		554,517
China		806,332		—		—		806,332
Denmark		4,830		—		—		4,830
France		43,680		—		—		43,680
Germany		58,005		—		—		58,005
Hong Kong		50,047		—		—		50,047
Ireland		7,787		—		—		7,787
Israel		49,261		—		—		49,261
Italy		107,225		—		—		107,225
Japan		1,305,986		—		—		1,305,986
Netherlands		56,363		—		—		56,363
New Zealand		57,377		—		—		57,377
Norway		51,732		—		—		51,732
Portugal		2,589		—		—		2,589
Singapore		67,954		—		—		67,954
South Africa		156,161		—		—		156,161
South Korea		630,396		—		—		630,396
Spain		51,155		—		—		51,155
Sweden		51,570		—		—		51,570
Switzerland		137,882		—		—		137,882
Taiwan		411,289		—		—		411,289
United Kingdom		405,949		—		—		405,949
United States		4,379,647		—		—		4,379,647
Investments of Cash Collateral for Securities Loaned		855,737		—		—		855,737
Total	$	10,988,146	$	—	$	—	$	10,988,146

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Summary of Lattice US Equity Strategy ETF investments as of September 30, 2016, based on their valuation inputs, is as follows:


	Investments in Securities (At Value)
	Level 1		Level 2		Level 3		Total
Common Stocks
Consumer Discretionary	$	3,113,176	$	—	$	—	$	3,113,176
Consumer Staples		2,136,460		—		—		2,136,460
Energy		2,444,865		—		—		2,444,865
Financials		4,038,821		—		—		4,038,821
Health Care		4,768,735		—		—		4,768,735
Industrials		2,786,149		—		—		2,786,149
Information Technology		5,295,261		—		—		5,295,261
Materials		1,445,074		—		—		1,445,074
Real Estate		628,039		—		—		628,039
Telecommunication Services		664,412		—		—		664,412
Utilities		748,598		—		—		748,598
Investments of Cash Collateral for Securities Loaned		745,940		—		—		745,940
Total	$	28,815,530	$	—	$	—	$	28,815,530

As of September 30, 2016, there were no transfers between levels of the fair value hierarchy.

4. Investment Advisory Fee, Service and Distribution Fees and Trustees Expenses

The Adviser acts as investment adviser to the Trust and, subject to the supervision of the Board, is responsible for the investment management of each Fund. The Adviser serves as investment adviser to each Fund pursuant to an investment advisory agreement (“Investment Advisory Agreement”) between the Trust and the Adviser dated December 30, 2014. The Adviser is responsible for placing purchase and sale orders and providing continuous supervision of each Fund.

For the services provided to the Funds under the Investment Advisory Agreement, each Fund expects to pay the Adviser the annual fee set forth below, which is based on a percentage of the respective Fund’s average daily net assets.


Lattice Developed Markets (ex-US) Strategy ETF	0.50	%
Lattice Emerging Markets Strategy ETF	0.65	%
Lattice Global Small Cap Strategy ETF	0.60	%
Lattice US Equity Strategy ETF	0.35	%

Under the Investment Advisory Agreement, the Adviser agrees to pay all expenses of the Trust and each Fund, except (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of the Independent Trustees of the Trust who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”); (iv) compensation and expenses of the Trust’s chief compliance officer; (v) extraordinary expenses;

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(vi) distribution fees and expenses paid by each Fund under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (vii) the advisory fee payable to the Adviser under the Investment Advisory Agreement.

Mellon Capital serves as the investment sub-adviser for each Fund pursuant to an Investment Sub-Advisory Agreement dated December 31, 2014 between the Adviser and Mellon Capital. The Sub-Adviser is responsible for placing purchase and sale orders and shall make investment decisions for each Fund, subject to the supervision by the Adviser. For its services, the Sub-Adviser is compensated by the Adviser.

Each Fund has adopted a Rule 12b-1 Distribution and Service Plan in accordance with Rule 12b-1 under the 1940 Act pursuant to which payments of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of its Shares. Effective December 12, 2014, the Board has determined that the Funds may not make payments under the Rule 12b-1 Distribution and Service Plan until authorized to do so by affirmative action of the Board. No Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of the respective Fund’s assets, and over time, these fees will increase the cost of your investment and they may cost more than certain other types of sales charges.

For the year ended September 30, 2016, the Funds did not pay any Rule 12b-1 fees.

Effective March 1, 2016, the Adviser has contractually agreed to reimburse the fees and expenses of the Trustees of the Trust who are not officers, directors/trustees, partners or employees of the Adviser or its affiliates (“Independent Trustees”) and their independent counsel, if any, until March 1, 2017. The Trust’s Board of Trustees may terminate the contractual arrangement at any time if it determines that it is in the best interest of the Funds and their shareholders. For the year ended September 30, 2016, the Trustees’ expenses were $22,725, $20,728, $17,628, and $22,248, for the Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, Lattice Global Small Cap Strategy ETF, and Lattice US Equity Strategy ETF, respectively.

On July 29, 2016, Hartford Funds Management Company, LLC (“Hartford”) acquired Lattice and said acquisition terminated the existing advisory agreement with Lattice and sub-advisory agreement with Mellon Capital. On July 25, 2016, the Shareholders of the Funds approved a new advisory agreement with Lattice and a new sub-advisory agreement with Mellon Capital.

5. Share Transactions

Each Fund will issue and redeem Shares at NAV only with certain authorized participants in large increments known as “Creation Units”. Purchases of Creation Units are made by tendering a basket of designated securities to the Fund and redemption proceeds are paid with a basket of securities from the Fund with a balancing cash component to equate the market value of the basket securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted in an amount equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund’s shares are available in smaller increments to individual investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.

Purchase or redemption of Creation Units is only available to an Authorized Participant through a broker, dealer, bank or other entity that is an Authorized Participant. An Authorized Participant is either (1) a

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“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.

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


	Creation Unit Shares		Creation Fee		Value at September 30, 2016		Redemption Fee
Lattice Developed Markets (ex-US) Strategy ETF		100,000	$	4,000	$	2,460,000	$	4,000
Lattice Emerging Markets Strategy ETF		100,000		2,500		2,162,000		2,500
Lattice Global Small Cap Strategy ETF		100,000		3,000		2,546,000		3,000
Lattice US Equity Strategy ETF		50,000		1,000		1,222,000		1,000

Shares are listed on the NYSE Arca and are publicly traded. Retail investors may purchase or sell shares in the secondary market (not from the Fund) through a broker or dealer. Investors purchasing or selling shares in the secondary market may pay a commission, market premium or discount or other transaction charge, to a broker or dealer, as well as some or all of the spread between the bid and the offered price for each purchase or sale transaction. Unless imposed by a broker or dealer, there is no minimum dollar upon purchase and no minimum number of shares that must be purchased in the secondary market. Because transactions in the secondary market occur at market prices, an investor may pay more than NAV upon purchase of shares and may receive less than NAV upon sale of shares.

As an ETF, individual Fund Shares may only be purchased and sold on the NYSE Arca through a broker-dealer. The price of Fund Shares is based on market price, and because ETF shares trade at market prices rather than at NAV, Shares may trade at a price greater than NAV (a premium) or less than NAV (a discount). Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF will only issue or redeem Creation Units (100,000 shares) to Authorized Participants who have entered into agreements with the Fund’s distributor. Lattice US Equity Strategy ETF will only issue or redeem Creation Units (50,000 shares) to Authorized Participants who have entered into agreements with the Fund’s distributor. The Funds generally will issue or redeem Creation Units in return for a designated Fund of securities (and an amount of cash) that the Fund specifies each day. The Funds do not impose any restrictions on the frequency of purchases and redemptions; however, the Funds reserve the right to reject or limit purchases at any time.

The NYSE Arca will disseminate, every fifteen seconds during the regular trading day, an indicative optimized fund value (“IOPV”) relating to the Funds. The IOPV calculations are estimates of the value of the Funds’ net asset value per Share using market data converted into U.S. dollars at the current currency rates. The IOPV price is based on quotes and closing prices from the securities’ local market and may not reflect events that occur subsequent to the local market’s close. Premiums and discounts between the IOPV and the market price may occur. This should not be viewed as a “real-time” update of the net asset value per Share of the Funds, which is calculated only once a day. Neither the Funds, nor the Adviser or any of their affiliates are involved in, or responsible for, the calculation or dissemination of such IOPVs and make no warranty as to their accuracy.

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6. Administrator, Custodian and Transfer Agent

State Street Bank serves as Administrator for the Trust pursuant to an administration agreement (“Administration Agreement”) dated December 12, 2014. Under the Administration Agreement, State Street Bank is responsible for certain administrative services associated with the day-to-day operations of each Fund. State Street also serves as Custodian for the Funds pursuant to a custodian agreement dated December 12, 2014. As Custodian, State Street holds each Fund’s assets, calculates the net asset value of the Shares and calculates net income and realized capital gains or losses. State Street also serves as Transfer Agent of each Fund pursuant to a transfer agency agreement dated December 12, 2014. As Transfer Agent, State Street maintains the records of each Authorized Participant’s ownership of each Fund and processes the purchases and redemptions of Creation Units.

7. Securities Lending

Each Fund may lend Fund securities to certain creditworthy borrowers in U.S. and non-U.S. markets in an amount not to exceed one third (33 1/3 percent) of the value of its total assets. The borrowers provide collateral that is marked to market daily, in an amount at least equal to the current market value of the securities loaned. A Fund may terminate a loan at any time and obtain the securities loaned. A Fund receives the value of any interest or cash or non-cash distributions paid on the loaned securities. A Fund cannot vote proxies for securities on loan, but may recall loans to vote proxies if a material issue affecting the Fund’s economic interest in the investment is to be voted upon. Distributions received on loaned securities in lieu of dividend payments (i.e., substitute payments) would not be considered qualified dividend income for federal income tax purposes. Should the borrower of the securities fail financially, a Fund may experience delays in recovering the securities or exercising its rights in the collateral. Loans are made only to borrowers that are deemed by the securities lending agent to be of good financial standing. In a loan transaction, a Fund will also bear the risk of any decline in value of securities acquired with cash collateral. Each Fund will minimize this risk by limiting the investment of cash collateral to high quality instruments of short maturity. This strategy is not used to leverage a Fund.

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

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

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


Fund	Market Value of Securities on Loan		Cash Collateral		Non-Cash Collateral (1)
Lattice Developed Markets (ex-US) Strategy ETF	$	4,157,765	$	2,879,848	$	1,491,501
Lattice Emerging Markets Strategy ETF		311,939		327,748		—
Lattice Global Small Cap Strategy ETF		1,116,660		855,737		307,293
Lattice US Equity Strategy ETF		2,045,807		745,940		1,348,193

(1)

Amount consists of domestic and foreign equity securities.

8. Principal Risks

CURRENCY RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Because each Fund’s NAV is determined on the basis of the U.S. dollar, investors may lose money if the currency of a non-U.S. market in which a Fund invests depreciates against the U.S. dollar, even if the local currency value of a Fund’s holdings in that market increases.

CUSTODY RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Custody risk refers to the risks inherent in the process of clearing and settling trades and the holding of securities by local banks, agents and depositories. Low trading volumes and volatile prices in less developed markets may make trades harder to complete and settle, and governments or trade groups may compel local agents to hold securities in designated depositories that may not be subject to independent evaluation. Local agents are held only to the standards of care of their local markets. In general, the less developed a country’s securities market is, the greater the likelihood of custody problems.

DERIVATIVE RISK: A derivative is a financial contract the value of which depends on, or is derived from, the value of a financial asset (such as stock, bond or currency), a physical asset (such as gold) or a market index (such as the S&P 500 Index). Each Fund may invest in futures contracts and other derivatives. Derivatives can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices and thus a Fund’s losses may be greater if it invests in derivatives than if it invests only in conventional securities. Derivatives are also subject to credit risk because a Fund could lose money when a contracting party is unable to meet its contractual obligations in a timely manner or negative perceptions of a contracting party’s ability to meet its obligations cause the derivative to decline in value.

EMERGING MARKETS RISK: [Lattice Emerging Markets Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Some foreign markets in which the Fund may invest are considered to be emerging markets. Investment in these emerging markets subjects the Fund to a greater risk of loss than investments in

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a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, high levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market. These economies are less developed and can be overly reliant on particular industries and more vulnerable to changes in international trade, trade barriers and other protectionist or retaliatory measures. High levels of debt tend to make emerging economies heavily reliant on foreign capital and vulnerable to capital flight and the volatility of emerging markets may be heightened by the actions of a few major investors. Some governments exercise substantial influence over the private economic sector and the social and political uncertainties that exist for many developing countries is significant. In adverse social and political circumstances, governments have been involved in policies of expropriation, confiscatory taxation, nationalism, intervention in the securities markets and trade settlement, and imposition of foreign investment restrictions and exchange controls, and these could be repeated in the future. In certain emerging markets, investments may be subject to heightened risks with regard to ownership and custody of securities. For example, security ownership may be evidenced by entries in the books of a company or its registrar, which may not be independent of the issuer, instead of through a central registration system and without effective government supervision. Particularly with respect to a Fund’s investment in actual foreign securities, the possibility of fraud, negligence, undue influence being exerted by the issuer or refusal to recognize ownership exists could, along with other factors, result in the registration of the Fund’s shareholding being completely lost and cause the Fund to suffer an investment loss. For these and other reasons, investments in emerging markets are often considered speculative.

EQUITY SECURITIES RISK: Each Fund invests in equity securities, which are subject to changes in value that may be attributable to market perception of a particular issuer or to general stock market fluctuations that affect all issuers. Investments in equity securities may be more volatile than investments in other asset classes.

EQUITY INVESTING RISK: An investment in each Fund involves risks similar to those of investing in any fund of equity securities, such as market fluctuations, changes in interest rates and perceived trends in stock prices.

FUND OF FUNDS RISK: [Lattice Emerging Markets Strategy ETF only]: To the extent that a Fund invests in other investment companies such as closed-end funds or ETFs, it bears its pro rata share of these investment companies’ expense, and is subject to the effects of the business and regulatory developments that affect these investment companies and the investment company industry generally.

FOREIGN INVESTMENT RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Returns on investments in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities.

FOREIGN SECURITIES: A Fund may invest in foreign securities, including non-U.S. dollar-denominated securities traded outside of the United States and U.S. dollar-denominated securities of foreign issuers traded in the United States. Foreign securities also include ADRs, which are U.S. dollar-denominated receipts representing shares of foreign-based corporations. ADRs are issued by U.S. banks or trust companies, and entitle the holder to all dividends and capital gains that are paid out on the underlying foreign shares. Investment in ADRs may be less liquid than the liquidity of the underlying shares in their primary trading market. Foreign securities also include GDRs, which are similar to ADRs, but are shares of foreign-based corporations generally issued by international banks

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in one or more markets around the world. Many GDRs are issued by companies in emerging markets. Investment in ADRs, GDRs and EDRs may be less liquid and more volatile than the underlying shares in their primary trading market.

DEPOSITARY RECEIPTS MAY BE “SPONSORED” OR “UNSPONSORED”: Sponsored depositary receipts are established jointly by a depositary and the underlying issuer, whereas unsponsored depositary receipts may be established by a depositary without participation by the underlying issuer. Holders of an unsponsored depositary receipt generally bear all the costs associated with establishing the unsponsored depositary receipt. In addition, the issuers of the securities underlying unsponsored depositary receipts are not obligated to disclose material information in the United States and, therefore, there may be less information available regarding such issuers and there may not be a correlation between such information and the market value of the depositary receipts.

DEPOSITARY RECEIPTS MAY BE UNREGISTERED AND UNLISTED: A Fund’s investments may also include ADRs, GDRs and EDRs that are not purchased in the public markets and are restricted securities that can be offered and sold only to “qualified institutional buyers” under Rule 144A of the Securities Act. The Adviser will determine the liquidity of such investments pursuant to guidelines established by the Board. If a particular investment in such ADRs or GDRs is deemed illiquid, that investment will be included within a Fund’s limitation on investment in illiquid securities. Moreover, if adverse market conditions were to develop during the period between a Fund’s decision to sell these types of ADRs or GDRs and the point at which a Fund is permitted or able to sell such security, a Fund might obtain a price less favorable than the price that prevailed when it decided to sell.

FOREIGN SECURITIES INVOLVE SPECIAL RISKS AND COSTS: Investment in foreign securities may involve higher costs than investment in U.S. securities, including higher transaction and custody costs as well as the imposition of additional taxes by foreign governments. Foreign investments may also involve risks associated with the level of currency exchange rates, less complete financial information about the issuers, less market liquidity, more market volatility and political instability. Future political and economic developments, the possible imposition of withholding taxes on income, the possible seizure or nationalization of foreign holdings, the possible establishment of exchange controls or freezes on the convertibility of currency, or the adoption of other governmental restrictions might adversely affect an investment in securities of foreign issuers. Changes to the financial condition or credit rating of foreign issuers may also adversely affect the value of a Fund’s securities. Additionally, foreign issuers may be subject to less stringent regulation, and to different accounting, auditing and recordkeeping requirements.

POLITICAL AND ECONOMIC RISK: The Funds are subject to foreign political and economic risk not associated with investments in securities of U.S. issuers, meaning that political events (civil unrest, national elections, changes in political conditions and foreign relations, imposition of exchange controls and repatriation restrictions), social and economic events (labor strikes, rising inflation) and natural disasters occurring in a foreign country could cause a Fund’s investments to experience gains or losses. A Fund also could be unable to enforce its ownership rights or pursue legal remedies in countries where it invests.

FOREIGN MARKET AND TRADING RISK: The trading markets for many foreign securities are not as active as U.S. markets and may have less governmental regulation and oversight. Foreign markets also may have clearance and settlement procedures that make it difficult for a Fund to buy and sell

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securities. These factors could result in a loss to a Fund by causing the Fund to be unable to dispose of an investment or to miss an attractive investment opportunity, or by causing Fund assets to be uninvested for some period of time.

GEOGRAPHIC RISK: [Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, and Lattice Global Small Cap Strategy ETF only]: Some of the markets in which the Funds invest are located in parts of the world that have historically been prone to natural disasters, such as earthquakes, volcanoes, droughts, hurricanes or tsunamis, and are economically sensitive to environmental events. Any such event may adversely impact the economies of these geographic areas, causing an adverse impact on the value of a Fund.

INDEX TRACKING RISK: There is a risk that the performance of each Fund may diverge from performance of the respective Index as a result of tracking error. Tracking error may occur because of differences between the securities held in a Fund and those included in the Index. Tracking error may also occur because of pricing differences, transaction costs, a Fund holding uninvested cash, differences in the timing of the accrual of dividends, changes to the Index or the costs of complying with various new or existing regulatory requirements. Additionally, tracking error may result because a Fund incurs fees and expenses, while the Index does not.

ISSUER RISK: The performance of each Fund depends on the performance of individual securities to which a Fund has exposure. Any issuer of these securities may perform poorly, causing the value of its securities to decline. Poor performance may be caused by poor management decisions, competitive pressures, changes in technology, expiration of patent protection, disruptions in supply, labor problems or shortages, corporate restructurings, fraudulent disclosures or other factors. Issuers may, in times of distress or at their own discretion, decide to reduce or eliminate dividends, which may also cause their stock prices to decline.

LARGE CAP RISK: [Lattice US Equity Strategy ETF only]: The securities of large market capitalization companies may underperform other segments of the market because such companies may be less responsive to competitive challenges and opportunities and may be unable to attain high growth rates during periods of economic expansion.

MARKET RISK: Each Fund could lose money due to short-term market movements and over longer periods during market downturns. Securities may decline in value due to factors affecting securities markets generally or particular asset classes or industries represented in the markets. The value of a security may decline due to general market conditions, economic trends or events that are not specifically related to the issuer of the security or to factors that affect a particular industry or group of industries. During a general downturn in the securities markets, multiple asset classes may be negatively affected.

MARKET TRADING RISK

ABSENCE OF ACTIVE MARKET: Although Shares of each Fund are listed for trading on one or more stock exchanges, each Fund is a relatively new fund and there can be no assurance that an active trading market for such Shares will develop or be maintained by market makers or Authorized Participants.

RISK OF SECONDARY LISTINGS: Each Fund’s Shares may be listed or traded on U.S. and non-U.S. stock exchanges other than the U.S. stock exchange where the Fund’s primary listing is maintained. There can be no assurance that a Fund’s Shares will continue to trade on any such stock exchange or in any market or that a Fund’s Shares will continue to meet the requirements for listing or

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

trading on any exchange or in any market. Each Fund’s Shares may be less actively traded in certain markets than in others, and investors are subject to the execution and settlement risks and market standards of the market where they or their broker direct their trades for execution. Certain information available to investors who trade Fund Shares on a U.S. stock exchange during regular U.S. market hours may not be available to investors who trade in other markets, which may result in secondary market prices in such markets being less efficient.

SECONDARY MARKET TRADING RISK: Shares of each Fund may trade in the secondary market at times when a Fund does not accept orders to purchase or redeem Shares. At such times, Shares may trade in the secondary market with more significant premiums or discounts than might be experienced at times when a Fund accepts purchase and redemption orders. Secondary market trading in Fund Shares may be halted by a stock exchange because of market conditions or for other reasons. In addition, trading in Fund Shares on a stock exchange or in any market may be subject to trading halts caused by extraordinary market volatility pursuant to “circuit breaker” rules on the stock exchange or market. There can be no assurance that the requirements necessary to maintain the listing or trading of Fund Shares will continue to be met or will remain unchanged. Shares of each Fund, similar to shares of other issuers listed on a stock exchange, may be sold short and are therefore subject to the risk of increased volatility associated with short selling.

SHARES OF THE FUND MAY TRADE AT PRICES OTHER THAN NAV: Shares of each Fund trade on stock exchanges at prices at, above or below a Fund’s most recent NAV. The NAV of each Fund is calculated at the end of each business day and fluctuates with changes in the market value of a Fund’s holdings. The trading price of a Fund’s Shares fluctuates continuously throughout trading hours based on both market supply of and demand for Fund Shares and the underlying value of Fund holdings or NAV. As a result, the trading prices of a Fund’s Shares may deviate significantly from NAV during periods of market volatility. Any of these factors, among others, may lead to Shares trading at premium or discount to NAV. However, because Shares can be created and redeemed in Creation Units at NAV (unlike shares of many closed-end funds, which frequently trade at appreciable discounts from, and sometimes at premiums to, their NAVs), Lattice believes that large discounts or premiums to the NAV of a Fund are not likely to be sustained over the long term. While the creation/redemption feature is designed to make it more likely that a Fund’s Shares normally will trade on stock exchanges at prices close to a Fund’s next calculated NAV, exchange prices are not expected to correlate exactly with a Fund’s NAV due to timing reasons, supply and demand imbalances and other factors. In addition, disruptions to creations and redemptions, including disruptions at market makers or Authorized Participants, or to market participants or during periods of significant market volatility, may result in trading prices for Shares of a Fund that differ significantly from its NAV.

COSTS OF BUYING OR SELLING FUND SHARES: Buying or selling Fund Shares on an exchange involves two types of costs that apply to all securities transactions. When buying or selling Shares of a Fund through a broker, you will likely incur a brokerage commission or other charges imposed by brokers as determined by that broker. In addition, you may incur the cost of the “spread,” that is, the difference between what investors are willing to pay for Fund Shares (the “bid” price) and the price at which they are willing to sell Fund Shares (the “ask” price). Because of the costs inherent in buying or selling Fund Shares, frequent trading may detract significantly from investment results and an investment in Fund Shares may not be advisable for investors who anticipate regularly making small investments.

PASSIVE STRATEGY/INDEX RISK: The Funds are not actively managed and may be affected by a general decline in market segments related to their respective Index. Each Fund invests in securities included,

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

in, or representative of, the Index, regardless of their investment merits. Additionally, Lattice generally does not attempt to take defensive positions under any market conditions, including declining markets.

SECURITIES LENDING RISK: Each Fund may engage in securities lending. Securities lending involves the risk that a Fund may lose money because the borrower of the loaned securities fails to return the securities in a timely manner or at all. A Fund could also lose money in the event of a decline in the value of the collateral provided for the loaned securities or a decline in the value of any investments made with cash collateral. These events could also trigger adverse tax consequences for a Fund that lends its holdings.

SMALL CAP RISK: [Lattice US Equity Strategy ETF and Lattice Global Small Cap Strategy ETF only]: Investing in small capitalization companies involves greater risk than is customarily associated with more established companies. The prices of securities of small capitalization companies generally are more volatile than those of large capitalization companies and are more likely to be adversely affected than larger capitalization companies by changes in earnings results and investor expectations or poor economic or market conditions. Securities of small capitalization companies may underperform larger capitalization companies. Small capitalization companies often have limited product lines, markets, or financial resources and their management may lack depth and experience. Such companies usually do not pay significant dividends that could cushion returns in a falling market.

VALUATION RISK: The sale price each Fund could receive for a security may differ from a Fund’s valuation of the security and may differ from the value used by the Index, particularly for securities that trade in low volume or volatile markets, or that are valued using a fair value methodology. Because non-U.S. exchanges may be open on days when the Funds do not price its Shares, the value of the securities in a Fund may change on days when shareholders will not be able to purchase or sell the Fund’s Shares. In addition, for purposes of calculating each Fund’s NAV, the value of assets denominated in non-U.S. currencies is converted into U.S. dollars using exchange rates deemed appropriate by Lattice. This conversion may result in a difference between the prices used to calculate each Fund’s NAV and the prices used by the Index, which, in turn, could result in a difference between a Fund’s performance and the performance of the Index.

9. Purchases and Sales

The cost of purchases and the proceeds from sales of investments, for the year ended September 30, 2016, were as follows:


	Purchases		Sales
Lattice Developed Markets (ex-US) Strategy ETF	$	15,729,161	$	15,542,417
Lattice Emerging Markets Strategy ETF		9,819,789		14,206,193
Lattice Global Small Cap Strategy ETF		5,282,294		4,879,466
Lattice US Equity Strategy ETF		12,343,981		12,260,810

For the year ended September 30, 2016, in-kind transactions, which are not included in the table above, associated with Creation Units were:


	Purchases		Sales		Realized Gain/(Loss)
Lattice Developed Markets (ex-US) Strategy ETF	$	7,171,489	$	2,289,630	$	70,959
Lattice Emerging Markets Strategy ETF		6,389,021		—		—
Lattice Global Small Cap Strategy ETF		2,088,790		—		—
Lattice US Equity Strategy ETF		12,715,992		9,445,914		(337,757	)

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

10. Federal Income Taxes

Each Fund intends to qualify and elect to be treated as a separate “regulated investment company” under Subchapter M of the Internal Revenue Code. To qualify and maintain its tax status as a regulated investment company, each Fund must meet annually certain income and asset diversification requirements and must distribute annually at least 90 percent of its “investment company taxable income” (which includes dividends, interest and net short-term capital gains).

If the Fund fails to qualify as a regulated investment company for any year (subject to certain curative measures allowed by the Internal Revenue Code), the Fund is subject to regular corporate-level income tax in that year on all of its taxable income, regardless of whether the Fund makes any distributions to its shareholders. In addition, distributions will be taxable to the Funds’ shareholders generally as ordinary dividends to the extent of the Funds’ current and accumulated earnings and profits.

Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

The tax character of distributions paid during the years ended September 30, 2016 and 2015 is as follows:


Fund	Ordinary Income 2016		Ordinary Income 2015
Lattice Developed Markets (ex-US) Strategy ETF	$	766,330	$	391,063
Lattice Emerging Markets Strategy ETF		424,201		210,359
Lattice Global Small Cap Strategy ETF		177,194		62,130
Lattice US Equity Strategy ETF		520,459		260,026

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:


Fund	Ordinary Income		Accumulated Capital and Other Losses			Unrealized Appreciation		Total Accumulated Earnings (Deficit)
Lattice Developed Markets (ex-US) Strategy ETF	$	511,605	$	(2,438,858	)	$	1,408,917	$	(518,336	)
Lattice Emerging Markets Strategy ETF		210,195		(3,561,514	)		556,984		(2,794,335	)
Lattice Global Small Cap Strategy ETF		118,262		(641,685	)		828,722		305,299
Lattice US Equity Strategy ETF		9,142		(1,649,754	)		1,743,593		102,981

For federal income tax purposes, the Funds listed below have capital loss carryforwards as of September 30, 2016, which are available to offset future capital gains, if any, realized through the fiscal year listed:


Fund	No Expiration Date Short-Term		No Expiration Date Long-Term
Lattice Developed Markets (ex-US) Strategy ETF	$	1,978,358	$	460,500
Lattice Emerging Markets Strategy ETF		3,089,147		472,367
Lattice Global Small Cap Strategy ETF		541,751		99,934
Lattice US Equity Strategy ETF		1,164,513		485,241

For the year ended September 30, 2016, there were no capital losses utilized.

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NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

As of September 30, 2016, the cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:


			Gross Unrealized					Net Unrealized Appreciation
Fund	Cost		Appreciation		(Depreciation)			Net Unrealized Appreciation
Lattice Developed Markets (ex-US) Strategy ETF	$	35,768,193	$	2,462,577	$	(1,053,469	)	$	1,409,108
Lattice Emerging Markets Strategy ETF		23,505,362		1,920,284		(1,362,458	)		557,826
Lattice Global Small Cap Strategy ETF		10,159,486		1,105,453		(276,793	)		828,660
Lattice US Equity Strategy ETF		27,071,937		2,371,050		(627,457	)		1,743,593

The differences between the book unrealized amounts reflected in the Statement of Assets and Liabilities and tax unrealized amounts (shown above) are due to foreign currency gains and losses, tax deferral of losses on wash sales, and adjustments for real estate investment trusts.

A. Distributions To Shareholders: The Funds will normally distribute substantially all of their net investment income at least annually. Any realized net capital gains will be distributed annually. The Funds may also pay a special distribution at any time to comply with U.S federal tax requirements. All distributions are recorded on the ex-dividend date. The amount and character of income and capital gain distributions to be paid are determined in accordance with Federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (e.g., deferred losses, capital loss carryforwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Any such reclassifications will have no effect on net assets, results of operations, or net asset values per share of the Funds.

Permanent book and tax differences, primarily related to foreign currency gains and losses, passive foreign investment, partnership basis adjustments, return of capital distributions from real estate investments trusts, and capital gain distributions, resulted in reclassification for the fiscal year ended September 30, 2016 as follows:


Fund	Increase (Decrease) to Paid-in Capital			Increase (Decrease) to Accumulated Net Investment Income (Loss)			Increase (Decrease) to Accumulated Net Realized Gain (Loss)
Lattice Developed Markets (ex-US) Strategy ETF	$	62,706		$	46,462		$	(109,168	)
Lattice Emerging Markets Strategy ETF		—			14,595			(14,595	)
Lattice Global Small Cap Strategy ETF		—			(2,446	)		2,446
Lattice US Equity Strategy ETF		(340,894	)		(7,982	)		348,876

11. Subsequent Events

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

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NOTES TO FINANCIAL STATEMENTS (Continued)
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On October 4, 2016, Lattice Strategies Trust launched the Lattice Real Estate Strategy ETF. Additionally, effective October 24, 2016, each Fund changed its name as follows:


Current Fund Name		New Fund Name
Lattice Developed Markets (ex-US) Strategy ETF		Hartford Multifactor Developed Markets (ex-US) ETF
Lattice Emerging Markets Strategy ETF		Hartford Multifactor Emerging Markets ETF
Lattice US Equity Strategy ETF		Hartford Multifactor US Equity ETF
Lattice Global Small Cap Strategy ETF		Hartford Multifactor Global Small Cap ETF
Lattice Real Estate Strategy ETF		Hartford Multifactor REIT ETF

Additionally, effective October 24, 2016, each index changed its name as follows:


New Fund Name	Old Index Name	New Index Name
Hartford Multifactor Developed Markets (ex-US) ETF	Lattice Risk-Optimized Developed Markets (ex-US) Strategy Index	Hartford Risk-Optimized Multifactor Developed Markets (ex-US) Index
Hartford Multifactor Emerging Markets ETF	Lattice Risk-Optimized Advancing Markets Strategy Index	Hartford Risk-Optimized Multifactor Emerging Markets Index
Hartford Multifactor US Equity ETF	Lattice Risk-Optimized US Equity Strategy Index	Hartford Risk-Optimized Multifactor US Equity Index
Hartford Multifactor Global Small Cap ETF	Lattice Risk-Optimized Global Small Cap Strategy Index	Hartford Risk-Optimized Multifactor Global Small Cap Index
Hartford Multifactor REIT ETF	Lattice Risk-Optimized Real Estate Strategy Index	Hartford Risk-Optimized Multifactor REIT Index

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Report of Independent Registered Public Accounting Firm

The Board of Trustees and Shareholders of Lattice Strategies Trust,

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Lattice Strategies Trust (comprising, respectively, Lattice Developed Markets (ex-US) Strategy ETF, Lattice Emerging Markets Strategy ETF, Lattice Global Small Cap Strategy ETF and Lattice US Equity Strategy ETF) (the Trust) as of September 30, 2016, and the related statements of operations, and changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets and financial highlights of the Trust for the periods presented through September 30, 2015, were audited by other auditors whose report dated November 24, 2015, expressed an unqualified opinion on those statements of changes in net assets and financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform audits of the Trust’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodian and others. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting Lattice Strategies Trust at September 30, 2016, and the results of their operations, the changes in their net assets and the financial highlights for the year then ended in conformity with U.S. generally accepted accounting principles.

[GRAPHIC MISSING]

New York, New York
November 29, 2016

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(Unaudited)

SUMMARY OF BOARD’S ADVISORY AND SUB-ADVISORY AGREEMENT APPROVAL PROCESS AND CONSIDERATIONS

The Board (the members of which are referred to as “Trustees”) of the Trust met in person on June 10, 2016, to consider the approval of (1) a new investment advisory agreement (the “New Advisory Agreement”) between the Trust, on behalf of the Funds, and Lattice Strategies LLC (the “Adviser”), and (2) a new investment sub-advisory agreement (the “New Sub-Advisory Agreement,” and, together with the New Advisory Agreement, the “New Agreements”) between the Adviser and Mellon Capital Management Corporation (the “Sub-Adviser”). The Board considered the New Agreements because of a proposed transaction wherein Hartford Funds Management Company, LLC (“Hartford”) would acquire the Adviser, effective on or about July 29, 2016 (the “Transaction”). Under the Investment Company Act of 1940, as amended (“1940 Act”), consummation of the Transaction would result in the automatic “assignment” (i.e., termination) of the existing advisory agreement with the Adviser and the existing sub-advisory agreement with the Sub-Adviser. In order to avoid a disruption of services to the Funds, the Board considered the New Advisory Agreement and New Sub-Advisory Agreement and, as detailed below, approved the New Agreements subject to approval of such New Agreements by the shareholders of the Funds. The Board considered the then current draft of the preliminary proxy statement prepared to seek shareholder approval of the New Agreements. The Board considered the New Advisory Agreement and the New Sub-Advisory Agreement and the engagement of the Adviser and the Sub-Adviser separately, although the factors for consideration were similar.

In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by the Adviser and the Sub-Adviser relevant to the Board’s consideration of whether to approve each of the New Advisory Agreement and New Sub-Advisory Agreement. In connection with considering approval of the New Advisory Agreement and New Sub-Advisory Agreement, the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), met with counsel to the Trust, and separately in executive session with counsel to the Independent Trustees, who provided assistance and advice. The Board considered the impact of the Transaction on the Funds and shareholders, and received information and assurances from the Adviser, Sub-Adviser and Hartford regarding the nature and quality of services to be provided after the Transaction, as well as that the level of fees to be charged would be unchanged. The Board noted that there were several proposed changes to New Advisory Agreement, including that several additional services would be performed by Lattice, although the other terms of the New Advisory Agreement were substantially similar to the existing advisory agreement. The consideration of the New Advisory Agreement and New Sub-Advisory Agreement was conducted by both the full Board and the Independent Trustees, who also voted separately.

During their review and consideration, the Board and the Independent Trustees focused on and analyzed the factors they deemed relevant, including: (1) the nature, extent and quality of the services provided by each of the Adviser and the Sub-Adviser; (2) the investment performance of each of the Adviser and the Sub-Adviser; (3) the costs of the services to be provided and profits to be realized by each of the Adviser and the Sub-Adviser and their affiliates from the relationship with the Trust; (4) the extent to which economies of scale would be realized as the Funds grow; (5) any benefits derived or to be derived by each of the Adviser and the Sub-Adviser from the relationship with the Trust; (6) potential conflicts of interest; (7) the fees paid to and services provided by the Funds’ administrator and transfer agent; and (8) the Adviser’s representations concerning its staffing, capabilities and methodologies applied in managing the Funds, including the importance of retention of personnel with relevant portfolio management experience.

In reviewing such factors, the Board relied on certain information, including (1) copies of the New Advisory Agreement and the New Sub-Advisory Agreement and comparisons to the existing advisory and sub-advisory agreements; (2) information from the Adviser, the Sub-Adviser, Hartford and the services provided thereby,

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

including key personnel, investment process, research department, and securities portfolio execution process; (3) information regarding the compliance programs of the Adviser and the Sub-Adviser; (4) copies of the Forms ADV for the Adviser and the Sub-Adviser; and (5) memoranda and guidance from Kaye Scholer on the fiduciary responsibilities of trustees, including Independent Trustees, in considering advisory and distribution agreements under the 1940 Act. In addition, the Board was provided data from Broadridge dated June 2016 comparing the advisory fees and total expenses of the Funds with expenses and performance of other exchange-traded funds (“ETFs”) and mutual funds with similar investment objectives and policies. The Trustees also considered their personal experiences as Trustees and participants in the ETF and mutual fund industry, as applicable.

In particular, the Trustees including the Independent Trustees, considered and discussed the following with respect to the Funds:

The nature, extent and quality of the facilities and services proposed to be provided by each of the Adviser and the Sub-Adviser. The Board received information on and considered the division of responsibility of services to be provided by the Adviser and the Sub-Adviser, including the fact that day-to-day portfolio management would be conducted by the Sub-Adviser. The Board reviewed the experience and resources that the Adviser and Sub-Adviser had in managing strategies similar to those proposed for the Funds, including information regarding the education and experience of management and investment personnel and the anticipated role of senior management in the day-to-day operations of the Funds and on the quality of the compliance and administrative staff at the Adviser and Hartford.

The Board determined that the Funds would likely benefit from the services and resources available from the Adviser, the Sub-Adviser and Hartford, in respect of their responsibilities. In particular, they noted the extensive experience of the Adviser’s management personnel in developing and administering strategies that would be utilized by the Funds and the past performance of the Adviser and Sub-Adviser in providing services to the Funds.

The advisory fee paid by and overall expenses of the Funds. The Board considered comprehensive data and information comparing the advisory fees and total expense ratios of the Funds. The Board considered that the fee payable to the Sub-Adviser would be paid by the Adviser out of its management fee. The Board determined that the advisory fees charged and overall expenses of the Funds were competitive and in line with the related universe of funds. In light of the nature, quality, and extent of services provided by the Adviser and Sub-Adviser and the costs incurred by the Adviser and Sub-Adviser in rendering those services, the Board concluded that the level of fees paid to the Adviser and Sub-Adviser with respect to each Fund were fair and reasonable.

Financial condition of each of the Adviser, the Sub-Adviser and Hartford. After considering information relating to the financial condition of the Adviser, Sub-Adviser and Hartford, as well as the expected fees and operating costs relating to the management of the Funds, the Board determined that each of the Adviser and Sub-Adviser would be capable of providing services to the Funds.

Possible conflicts of interest. The Board considered the experience and ability of the advisory personnel assigned to the Funds, soft-dollar arrangements and the brokerage policies of the Adviser and Sub-Adviser, and the substance and administration of the Codes of Ethics of the Trust, the Adviser and the Sub-Adviser. The Board determined that the personnel and compliance policies of the Trust, Adviser and Sub-Adviser were each well designed to monitor and address conflicts of interest.

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

Effect of the Funds’ growth and size on its investment performance and expenses, The Board considered information relating to the trading of the Funds. It determined that the expense ratios of the Funds were well suited in light of expectations for future asset accumulation and projected growth after the Transaction.

Based on the foregoing and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and the benefits gained by the Adviser in providing such services. The Board also found the investment advisory fees paid to the Adviser to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar anticipated size. As a result, all of the Board members, including the Independent Trustees, approved the New Advisory Agreement and the submission of the New Advisory Agreement to shareholders for approval.

With respect to the Sub-Adviser and based on the foregoing analysis and such other matters as were deemed relevant, and while no single factor was determinative in the decision, all of the Trustees, including the Independent Trustees, concluded that the sub-advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Sub-Adviser to the Funds, as well as the costs incurred and the benefits gained by the Sub-Adviser in providing such services. As a result, all of the Trustees, including the Independent Trustees, approved the New Sub-Advisory Agreement and the submission of the New Sub-Advisory Agreement to shareholders for approval.

PROXY VOTING INFORMATION

A description of Lattice Strategies Trust’s (1) proxy voting policies, (2) proxy voting procedures and (3) information regarding how Lattice Strategies Trust voted any proxies related to portfolio securities is attached to the Fund’s Statement of Additional Information, which is available, without charge by visiting the Fund’s website at www.latticeetfs.com or the SEC’s website at www.sec.gov or by calling 1-415-315-6600.

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

SHAREHOLDER MEETING RESULTS

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Shareholders were asked to participate in a special meeting of shareholders on July 25, 2016 (the “Shareholder Meeting”). The final results of the Shareholder Meeting are reported in the following tables.

Lattice Developed Market (ex-US) Strategy ETF

Proposal 1: Approval of Advisory Agreement


For	Against	Abstentions	Total
934,886.689	0	53,037.999	987,924.688

Proposal 2: Approval of Sub-Advisory Agreement


For	Against	Abstentions	Total
934,886.689	0	53,037.999	987,924.688

Proposal 4: Approval of “Manager of Managers” Structure


For	Against	Abstentions	Total
929,560.689	0	53,037.999	987,924.688

Lattice Emerging Markets Strategy ETF

Proposal 1: Approval of Advisory Agreement


For	Against	Abstentions	Total
720,677.537	0	17,382.999	738,060.536

Proposal 2: Approval of Sub-Advisory Agreement


For	Against	Abstentions	Total
720,677.537	0	17,382.999	738,060.536

Proposal 4: Approval of “Manager of Managers” Structure


For	Against	Abstentions	Total
718,873.537	1,804	17,382.999	738,060.536

Lattice Global Small Cap Strategy ETF

Proposal 1: Approval of Advisory Agreement


For	Against	Abstentions	Total
183,387.355	0	10,794.999	194,182.354

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

Proposal 2: Approval of Sub-Advisory Agreement


For	Against	Abstentions	Total
183,387.355	0	10,794.999	194,182.354

Proposal 4: Approval of “Manager of Managers” Structure


For	Against	Abstentions	Total
182,461.355	926	10,794.999	194,182.354

Lattice US Equity Strategy ETF

Proposal 1: Approval of Advisory Agreement


For	Against	Abstentions	Total
798,851.598	0	44,090.999	842,942.597

Proposal 2: Approval of Sub-Advisory Agreement


For	Against	Abstentions	Total
798,851.598	0	44,090.999	842,942.597

Proposal 4: Approval of “Manager of Managers” Structure


For	Against	Abstentions	Total
794,171.598	4,680	44,090.999	842,942.597

All Funds

Proposal 3(a): Approval of an Amendment to the Trust’s Declaration of Trust that Removes a Limitation on Reclassifying or Changing Outstanding Shares


For	Against	Abstentions	Total
2,599,630.178	12,736	150,743.998	2,763,110.176

Proposal 3(b): Approval of an Amendment to the Trust’s Declaration of Trust that Expands the Mandatory Redemption Provisions


For	Against	Abstentions	Total
2,599,630.178	12,736	150,743.998	2,763,110.176

Proposal 3(c): Approval of an Amendment to the Trust’s Declaration of Trust Regarding Jurisdiction and Waiver of Jury Trials for Shareholder Disputes


For	Against	Abstentions	Total
2,599,630.178	12,736	150,743.998	2,763,110.176

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

OTHER INFORMATION

The Funds are not sponsored, endorsed, sold or promoted by the NYSE Arca, Inc. The NYSE Arca makes no representation or warranty, express or implied, to the owners of Shares or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the Funds to achieve their objectives. The NYSE Arca has no obligation or liability in connection with the administration, marketing or trading of the Funds.

For purposes of the 1940 Act, the Funds are registered investment companies, and the acquisition of Shares by other registered investment companies and companies relying on exemption from registration as investment companies under Section 3(c)(1) or 3(c)(7) of the 1940 Act is subject to the restrictions of Section 12(d)(1) of the 1940 Act, except as permitted by an exemptive order that permits registered investment companies to invest in the Funds beyond those limitations.

TAX INFORMATION

For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2016.

Percentage of distributions which qualify for the corporate dividends received deduction:


Fund	Percentage
Lattice Developed Markets (ex-US) Strategy ETF		0.00	%
Lattice Emerging Markets Strategy ETF		0.00	%
Lattice Global Small Cap Strategy ETF		14.37	%
Lattice US Equity Strategy ETF		95.42	%

Qualified Dividend Income

A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2016, are considered qualified dividend income, and are eligible for reduced tax rates. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	667,458
Lattice Emerging Markets Strategy ETF		382,962
Lattice Global Small Cap Strategy ETF		125,586
Lattice US Equity Strategy ETF		532,540

At September 30, 2016, the Funds had foreign tax credits. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	54,795
Lattice Emerging Markets Strategy ETF		73,870
Lattice Global Small Cap Strategy ETF		14,318

At September 30, 2016, the Funds had foreign source income. These amounts are noted below:


Fund	Amount
Lattice Developed Markets (ex-US) Strategy ETF	$	1,051,859
Lattice Emerging Markets Strategy ETF		641,473
Lattice Global Small Cap Strategy ETF		180,300

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

SUPPLEMENTAL INFORMATION

Premium/Discount Information

The tables that follow present information about the differences between the daily market price on secondary markets for shares of a Fund and that Fund’s net asset value. Net asset value, or “NAV,” is the price per share at which each Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The “Market Price” of each Fund generally is determined using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which the shares of such Fund are listed for trading, as of the time that the Fund’s NAV is calculated. Each Fund’s Market Price may be at, above or below its NAV. The NAV of each Fund will fluctuate with changes in the fair value of its portfolio holdings. The Market Price of each Fund will fluctuate in accordance with changes in its NAV, as well as market supply and demand. Premiums or discounts are the differences (expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a percentage of the NAV. The following information shows the frequency distributions of premiums and discounts for each of the Funds included in this report. The information shown for each Fund is for the fund listing date through the date of the fiscal year end. The specific periods covered for each Fund are disclosed in the table for such Fund.

Each line in the table shows the number of trading days in which the Fund traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by each table. All data presented here represents past performance, which cannot be used to predict future results.

Lattice Developed Markets (ex-US) Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		0		0.00	%
Greater than 1.5% and Less than 2.0%		2		0.79	%
Greater than 1.0% and Less than 1.5%		24		9.49	%
Greater than 0.5% and Less than 1.0%		73		28.85	%
Between 0.5% and -0.5%		139		54.93	%
Less than -0.5% and Greater than -1.0%		11		4.35	%
Less than -1.0% and Greater than -1.5%		3		1.19	%
Less than -1.5% and Greater than -2.0%		1		0.40	%
Less than -2.0%		0		0.00	%
		253		100.00	%

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

Lattice Emerging Markets Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		4		1.58	%
Greater than 1.5% and Less than 2.0%		7		2.77	%
Greater than 1.0% and Less than 1.5%		19		7.51	%
Greater than 0.5% and Less than 1.0%		45		17.79	%
Between 0.5% and -0.5%		132		52.16	%
Less than -0.5% and Greater than -1.0%		30		11.86	%
Less than -1.0% and Greater than -1.5%		15		5.93	%
Less than -1.5% and Greater than -2.0%		0		0.00	%
Less than -2.0%		1		0.40	%
		253		100.00	%

Lattice Global Small Cap Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		0		0.00	%
Greater than 1.5% and Less than 2.0%		0		0.00	%
Greater than 1.0% and Less than 1.5%		5		1.98	%
Greater than 0.5% and Less than 1.0%		43		17.00	%
Between 0.5% and -0.5%		183		72.33	%
Less than -0.5% and Greater than -1.0%		18		7.11	%
Less than -1.0% and Greater than -1.5%		4		1.58	%
Less than -1.5% and Greater than -2.0%		0		0.00	%
Less than -2.0%		0		0.00	%
		253		100.00	%

Lattice US Equity Strategy ETF
Period Covered: October 1, 2015 through September 30, 2016


Premium/Discount Range	Number of Days		Percentage of Total Days
Greater than 2.0%		0		0.00	%
Greater than 1.5% and Less than 2.0%		0		0.00	%
Greater than 1.0% and Less than 1.5%		1		0.40	%
Greater than 0.5% and Less than 1.0%		0		0.00	%
Between 0.5% and -0.5%		252		99.60	%
Less than -0.5% and Greater than -1.0%		0		0.00	%
Less than -1.0% and Greater than -1.5%		0		0.00	%
Less than -1.5% and Greater than -2.0%		0		0.00	%
Less than -2.0%		0		0.00	%
		253		100.00	%

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS

The following table provides information with respect to each Trustee, including those Trustees who are not considered to be “interested” as that term is defined in the 1940 Act (the “Independent Trustees”), and officer of the Trust.


Name, Address and Year of Birth (a)	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee
INDEPENDENT TRUSTEES
Robin Christine Beery (1967)	Trustee and Chairperson of the Nominating and Governance Committee	Term: Unlimited Served as Trustee: since December 2014	Executive Vice President of U.S. Distribution, Janus Capital Group (1994 to 2014)	5	Director, Like-a-Pro LLC (sports marketing) (2014 to present); Director, UMB (banking) (2015 to present)
Naozer Dadachanji (1962)	Trustee and Lead Independent Trustee	Term: Unlimited Served as Trustee: since December 2014	Partner and Board Member, CamberView Partners (2012 to present) (investment adviser); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2003 to 2012)	5	Board Member, Bridge Athletic (information technology) (2014 to present)
David Sung (1953)	Trustee and Chairman of the Audit Committee	Term: Unlimited Served as Trustee: since December 2014	Retired (2014); Asset Management Market Leader for the West – United States, Ernst & Young LLP (2010 to 2014); Asset Management Practice Co-Leader for the Asia Pacific Region, Ernst & Young LLP (2007 to 2010); Partner, Alternative Asset Management Practice, Ernst & Young LLP (1995 to 2007); Audit Partner, Coopers and Lybrand (1990 to 1995); Partner, Spice and Oppenheimer (1979 to 1990)	5	Director, Hayman Offshore Management, Inc. (private investment funds) (2014 to present); Advisory Board Member, ValueAct (private investment funds) (2014 to present); Advisory Board Member Bull Capital (investment funds) (2014 to present); and Independent Non-Executive Director, Nippon Wealth Bank (banking) (2014 to present)
INTERESTED TRUSTEE
Theodore James Lucas (1966)	Trustee and Chairman	Term: Unlimited Served as Trustee: since December 2014	Managing Partner, Lattice Strategies LLC (2003 to present)	5	None

(a)

The address of each Trustee is c/o Lattice Strategies Trust, 101 Montgomery Street, 27^th Floor, San Francisco, CA 94104.

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LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)

DISCLOSURE OF INFORMATION ABOUT FUND TRUSTEES AND OFFICERS (Continued)


Name, Address and Year of Birth	Position(s) with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
OFFICERS
Darek Wojnar, CFA 101 Montgomery Street, 27^th Floor, San Francisco, CA 94104 (1965)	President	Term: Unlimited Served: since December 2014	Managing Director, Lattice Strategies LLC (2014 to present); Managing Director, BlackRock (including Barclays Global Investors acquired by BlackRock) (2005 to 2013).
Cory J. Gossard ALPS Fund Services, Inc. 1290 Broadway, Suite 1100 Denver, CO 80203 (1972)	Chief Compliance Officer	Term: Unlimited Served: since December 2014	Vice President and Deputy Chief Compliance Officer, ALPS Fund Services, Inc. (February 2014 to present). Senior Vice President, Citibank (1995 to 2014). Served in various leadership roles at Citibank, in Compliance, Relationship Management and Fund Administration.
David James 4 Copley Place, CPH 0326 Boston, MA 02116 (1970)	Secretary	Term: Unlimited Served: since December 2014	Vice President and Managing Counsel, State Street Bank and Trust Company (2009 to present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 to 2009).
Albert Lee 101 Montgomery Street, 27^th Floor, San Francisco, CA 94104 (1979)	Treasurer	Term: Unlimited Served: since December 2014	Managing Director & Chief Operating Officer, Lattice Strategies LLC (2009 to present); Chief Operating Officer, Avicenna Capital Management (2007 to 2009); Chief Financial Officer, Steeple Capital LP (2005 to 2007).

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[GRAPHIC MISSING]

Trustees
Robin Christine Beery
Naozer Dadachanji
David Sung
Theodore James Lucas

Officers
Darek Wojnar, CFA, President
Cory J. Gossard, Chief Compliance Officer
David James, Secretary
Albert Lee, Treasurer

Investment manager
Lattice Strategies LLC
101 Montgomery Street
San Francisco, CA 94104

Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203

Custodian, administrator and transfer agent
State Street Bank and Trust Company
1 Iron Street
Boston, MA 02110

Legal counsel
Kaye Scholer LLP
250 West 55^th Street
New York, NY 10019

Independent registered public accounting firm
Ernst & Young LLP
5 Times Square
New York, NY 10036

The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-415-315-6600 or visiting www.latticeetfs.com. Please read the prospectus carefully before you invest.

(a)	(1)	The Board of Trustees of the Registrant has determined that the Registrant has at least one member serving on the Registrant’s Audit Committee that possesses the attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as “audit committee financial expert.”

	(2)	The name of the audit committee financial expert is David Sung. Mr. Sung is deemed to be “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

Form N-CSR Lattice Strategies Trust For: Sep 30

Lattice Strategies Trust

Hartford Multifactor Developed Markets (ex-US) ETF (RODM) Formerly Lattice Developed Markets (ex-US) Strategy ETF

Hartford Multifactor Emerging Markets ETF (ROAM) Formerly Lattice Emerging Markets Strategy ETF

Hartford Multifactor Global Small Cap ETF (ROGS) Formerly Lattice Global Small Cap Strategy ETF

Hartford Multifactor US Equity ETF (ROUS) Formerly Lattice US Equity Strategy ETF

Annual Report

Table of Contents

Shareholder Letter

Hartford Multifactor Developed Markets (ex-US) ETF (RODM) (Unaudited)(formerly known as Lattice Developed Markets (ex-US) Strategy ETF)

Performance

Growth of $10,000 Investment Since Inception

Hartford Multifactor Emerging Markets ETF (ROAM) (Unaudited) (formerly known as Lattice Emerging Markets Strategy ETF)

Performance

Growth of $10,000 Investment Since Inception

Hartford Multifactor Global Small Cap ETF (ROGS) (Unaudited) (formerly known as Lattice Global Small Cap Strategy ETF)

Performance

Growth of $10,000 Investment Since Inception

Hartford Multifactor US Equity ETF (ROUS) (Unaudited) (formerly known as Lattice US Equity Strategy ETF)

Performance

Growth of $10,000 Investment Since Inception

Expense Example

Actual Expenses

Hypothetical Example For Comparison Purposes

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE EMERGING MARKETS STRATEGY ETF SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE GLOBAL SMALL CAP STRATEGY ETF SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE US EQUITY STRATEGY ETF SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued) SCHEDULE OF INVESTMENTS September 30, 2016

CERTAIN TRANSFERS ACCOUNTED FOR AS SECURED BORROWINGS

Remaining Contractual Maturity of the Agreements

LATTICE STRATEGIES TRUST STATEMENTS OF ASSETS AND LIABILITIES September 30, 2016

LATTICE STRATEGIES TRUST STATEMENTS OF OPERATIONS For the Year Ended September 30, 2016

LATTICE STRATEGIES TRUST STATEMENTS OF CHANGES IN NET ASSETS

LATTICE STRATEGIES TRUST STATEMENTS OF CHANGES IN NET ASSETS

Hartford Multifactor Developed Markets (ex-US) ETF (RODM)
Formerly Lattice Developed Markets (ex-US) Strategy ETF

Hartford Multifactor Emerging Markets ETF (ROAM)
Formerly Lattice Emerging Markets Strategy ETF

Hartford Multifactor Global Small Cap ETF (ROGS)
Formerly Lattice Global Small Cap Strategy ETF

Hartford Multifactor US Equity ETF (ROUS)
Formerly Lattice US Equity Strategy ETF

Hartford Multifactor Developed Markets (ex-US) ETF (RODM) (Unaudited)
(formerly known as Lattice Developed Markets (ex-US) Strategy ETF)

Hartford Multifactor Emerging Markets ETF (ROAM) (Unaudited)
(formerly known as Lattice Emerging Markets Strategy ETF)

Hartford Multifactor Global Small Cap ETF (ROGS) (Unaudited)
(formerly known as Lattice Global Small Cap Strategy ETF)

Hartford Multifactor US Equity ETF (ROUS) (Unaudited)
(formerly known as Lattice US Equity Strategy ETF)

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE DEVELOPED MARKETS (EX-US) STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE EMERGING MARKETS STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE GLOBAL SMALL CAP STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE US EQUITY STRATEGY ETF (Continued)
SCHEDULE OF INVESTMENTS
September 30, 2016

LATTICE STRATEGIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
September 30, 2016

LATTICE STRATEGIES TRUST
STATEMENTS OF OPERATIONS
For the Year Ended September 30, 2016

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS

LATTICE STRATEGIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)

LATTICE STRATEGIES TRUST
FINANCIAL HIGHLIGHTS
(for a share outstanding throughout each period)

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
NOTES TO FINANCIAL STATEMENTS (Continued)
September 30, 2016

LATTICE STRATEGIES TRUST
September 30, 2016
(Unaudited)