ETF Research Center

The Lattice US Equity Strategy ETF tracks an index of US large-cap stocks. The index relies on value, momentum and quality factors, among others.

FUND BASICS
Category	US Equities
Fund Sponsor	Lattice Strategies
Website	www.latticeetf.com
Inception date	Feb 25, 2015
Assets (mns)	$328
Currency	USD
Expense ratio	19 bp
Distributions	Quarterly

FUND STRUCTURE
Regulation	Open-Ended Fund
Custodian
Weighting	Proprietary
Index replication
Uses derivatives	No
Options available	No

SECTOR BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents	353
Wgt avg mkt cap (mns)	$110,984
Large cap (>$10bn)	74.1%
Mid cap ($2-10bn)	25.9%
Small cap (<$2bn)	0.0%
Developed mkts	100.0%
Emerging mkts	0.0%

TOP TEN HOLDINGS
Total	11.1 %
PFIZER INC	1.3 %
JOHNSON & JOHNSON	1.2 %
INTEL CORP	1.2 %
VERIZON COMMUNICATIONS INC	1.2 %
VMWARE INC-CLASS A	1.1 %
MERCK & CO. INC.	1.1 %
WESTERN UNION CO	1.0 %
AT&T INC	1.0 %
UNITEDHEALTH GROUP INC	1.0 %
PEPSICO INC	1.0 %

TOP COUNTRY EXPOSURE
	UNITED STATES	93.5 %
	IRELAND	2.6 %
	BERMUDA	1.4 %
	SWITZERLAND	0.8 %
	BRITAIN	0.5 %
	ISRAEL	0.2 %
	PUERTO RICO	0.1 %

HISTORICAL PERFORMANCE info

	Custom date range	Compare to
	thru

Standardized Annual Returns (thru November 30)
Year-to-date	1 year	5 years	10 years	Since Incep.
21.8%	9.4%	--	--	8.2%

Market Correlations
versus...	Beta	R-squared
S&P500	1.06	92%
MSCI EAFE	0.96	64%
MSCI Emg. Mkts.	0.68	51%

Technical Indicators
Recent close	$33.17
30d moving avg.	$32.89
Annualized volatility	13.3%
Short interest (ETF)	0.4%
Short interest (Underlying)	3.7%
Relative strength (RSI)	65

Liquidity measures
Avg. volume (thou.)	27
Turnover	0.3%
Bid/Ask (% of price)	0.13%
ADV underlying (mns)	$89,335

Distributions

FINDING ALTERNATIVE FUNDS

Below is a list of 20 potential alternatives to the Lattice U.S. Equity Strategy ETF ETF based on the alternatives' overlap in portfolio holdings with ROUS. Consider funds with lower expense ratios and/or higher ALTAR Score™ ratings as possible alternatives.

Benchmark ticker:

ROUS

Expense:

19 bp

ALTAR Score™:

6.4%

ALTERNATIVE ETFs BASED ON OVERLAP WITH ROUS
Ticker	Fund Name	Overlap¹ vs ROUS (%)	Expense ratio (bp)	Savings vs ROUS (bp)	ALTAR Score™ (%)	ALTAR vs ROUS (%)
LVUS	Hartford Multifactor Low Volatility US Equity	48.3	21	-2	5.8	-0.6
QUS	SPDR MSCI USA Quality Mix	46.8	15	4	6.0	-0.4
GSLC	Goldman Sachs ActiveBeta U.S. Large Cap Equity	46.4	9	10	6.1	-0.3
JHML	John Hancock Multifactor Large Cap	45.7	34	-15	6.0	-0.5
DYNF	BlackRock U.S. Equity Factor Rotation	45.5	30	-11	6.5	+0.1
OMOM	Invesco Russell 1000 Momentum Factor ETF	44.9	19	0	5.3	-1.1
OVOL	Invesco Russell 1000 Low Volatility Factor ETF	44.9	19	0	5.6	-0.8
PBP	Invesco S&P 500 Buy/Write	44.0	49	-30	5.5	-0.9
SPY	S&P 500 SPDR	43.7	9	10	5.9	-0.5
IVV	iShares Core S&P 500	43.7	4	15	5.9	-0.5
VOO	Vanguard S&P 500 ETF	43.7	3	16	6.0	-0.4
HSPX	Global X S&P 500 Covered Call	43.7	65	-46	5.3	-1.1
PBUS	Invesco PureBeta MSCI USA	43.6	4	15	6.0	-0.5
SCHX	Schwab U.S. Large-Cap	43.6	3	16	5.8	-0.6
SCHK	Schwab 1000 Index	43.5	5	14	5.8	-0.6
VV	Vanguard Large-Cap ETF	43.4	4	15	5.8	-0.6
FNDX	Schwab Fundamental Large Cap	43.2	25	-6	5.9	-0.5
PRF	Invesco FTSE-RAFI U.S. 1000	43.2	39	-20	6.5	+0.1
BBUS	JP Morgan Betabuilders U.S. Equity	43.2	2	17	5.9	-0.5
IWB	iShares Russell 1000	43.1	15	4	5.7	-0.7

¹Overlap is the percentage of holdings by weight that are identical. For example, if Fund A has a 2% position in Apple, Inc. (AAPL) and Fund B has a 5% position, their overlapping position in AAPL is 2%.

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RESULTS & ESTIMATES

	2014	2015	2016	2017	2018	2019E	2020E
Sales per share	**	**	**	**	**	**	**
Earnings per share	**	**	**	**	**	**	**
Dividends per share	**	**	**	**	**	**	**
Book value per share	**	**	**	**	**	**	**

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

OTHER FUNDAMENTAL METRICS

Long term EPS growth est.	**%		Debt-to-equity	**x
Asset turnover	**%		Assets-to-equity	**x

Return on equity

Revision activity*

*Six months ago = 100

Net margins

Compound annual growth rates

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VALUATION METRICS

	2018	2019E	2020E
Price-to-sales	**	**	**
Price-to-earnings	**	**	**
Price-to-cash flow	**	**	**
Price-to-growth	**	**	**
Price-to-book value	**	**	**
Yield	**	**	**

Historical valuation trends

Forward multiple:	Lattice U.S. Equity Strategy ETF
Relative to:	S&P500	MSCI EAFE	MSCI Emg. Mkts.	Other ETF:

OVERWEIGHT

Above average appreciation potential. A rating of OVERWEIGHT is assigned to ETFs with ALTAR Scores in the 4th quintile (ranking higher than 60%-80%) of their category. Typically, funds in this category consist of stocks trading at attractive valuations and/or having above-average fundamentals.

ALTAR Score™

Calculation of ALTAR Score™
Avg. Return on Equity	16.7	%
Divided by: Fwd. P/BV	2.5	x
Less: Expense ratio	19	bp
Equals: ALTAR Score	6.4	%

More information on ALTAR Score™

MODERN PORTFOLIO THEORY info

CONSENSUS RECOMMENDATIONS: FUND CONSTITUENTS

COMPOSITE RATING	1.64	CATEGORY AVERAGE	1.56

The composite rating is a weighted average of analysts' consensus recommendations for individual ETF constituents, based on the following scale: BUY = 1; OVERWEIGHT = 1.5, HOLD = 2; UNDERWEIGHT = 2.5; and SELL = 3. Readers are cautioned that because analyst ratings tend to be inflated, the composite score may be more useful as a relative measure of sentiment between funds rather than as a stand-alone recommendation.