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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23096
Legg Mason ETF Investment Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-877-721-1926
Date of fiscal year end: October 31
Date of reporting period: October 31, 2016
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| ITEM 1. | REPORT TO STOCKHOLDERS. |
The Annual Report to Stockholders is filed herewith.
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| Annual Report | October 31, 2016 |
LEGG MASON
US DIVERSIFIED CORE ETF
UDBI
| INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE |
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Fund objective
The Fund seeks to track the investment results of an index composed of publicly traded U.S. equity securities.
Dear Shareholder,
We are pleased to provide the annual report of Legg Mason US Diversified Core ETF for the period since the Fund’s inception on December 28, 2015 through October 31, 2016. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.leggmason.com. Here you can gain immediate access to market and investment information, including:
| • | Fund net asset value and market price, |
| • | Market insights and commentaries from our portfolio managers, and |
| • | A host of educational resources. |
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
November 30, 2016
| II | Legg Mason US Diversified Core ETF |
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Economic review
The pace of U.S. economic activity fluctuated during the period from the Fund’s inception on December 28, 2015 through October 31, 2016 (the “reporting period”). Looking back, the U.S. Department of Commerce reported that fourth quarter 2015 U.S. gross domestic product (“GDP”)i growth was 0.9%. First and second quarter 2016 GDP growth was 0.8% and 1.4%, respectively. The U.S. Department of Commerce’s second reading for third quarter 2016 GDP growth — released after the reporting period ended — was 3.2%. The improvement in GDP growth in the third quarter 2016 reflected an increase in private inventory investment, an acceleration in exports, an upturn in federal government spending and smaller decreases in state and local government spending.
While there was a pocket of weakness in May 2016, job growth in the U.S. was solid overall and a tailwind for the economy during the reporting period. When the period ended on October 31, 2016, the unemployment rate was 4.9%, as reported by the U.S. Department of Labor. The percentage of longer-term unemployed declined over the period. In October 2016, 25.2% of Americans looking for a job had been out of work for more than six months, versus 26.3% when the period began.
After an extended period of maintaining the federal funds rateii at a historically low range between zero and 0.25%, the Federal Reserve Board (the “Fed”)iii increased the rate at its meeting on December 16, 2015. This marked the first rate hike since 2006. In particular, the U.S. central bank raised the federal funds rate to a range between 0.25% and 0.50%. At its meeting that concluded on November 2, 2016 (after the reporting period ended), as well as during the prior meetings of the year, the Fed kept rates on hold. In the Fed’s statement after the November meeting it said, “The Committee judges that the case for an increase in the federal funds rate has continued to strengthen but decided, for the time being, to wait for some further evidence of continued progress toward its objectives. The stance of monetary policy remains accommodative, thereby supporting further improvement in labor market conditions and a return to 2 percent inflation.”
As always, thank you for your confidence in our stewardship of your assets.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
November 30, 2016
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results.
| i | Gross domestic product (“GDP”) is the market value of all final goods and services produced within a country in a given period of time. |
| ii | The federal funds rate is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day. |
| iii | The Federal Reserve Board (the “Fed”) is responsible for the formulation of U.S. policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments. |
| Legg Mason US Diversified Core ETF | III |
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Q. What is the Fund’s investment strategy?
A. Legg Mason US Diversified Core ETF (the “Fund”) seeks to track the investment results of the QS DBI US Diversified Index (the “Underlying Index”). The Underlying Index seeks to provide exposure to equities of U.S. companies and is based on a proprietary methodology created and sponsored by QS Investors, LLC (“QS”), the Fund’s subadviser. The Underlying Index is composed of U.S. companies that are included in the MSCI USA IMI Index.
The proprietary rules-based process initially groups this universe of securities into multiple investment categories based on industries. Within each of these investment categories, securities are weighted by market capitalization. The process then combines those investment categories with more highly correlated historical performance into a smaller number of “clusters.” A cluster is a group of investment categories based on industry that have demonstrated a tendency to behave similarly (high correlation). Thereafter, each of these clusters is equally weighted in the Underlying Index to produce a diversified portfolio. QS anticipates that the number of component securities in the Underlying Index will range from 2,200 to 2,500. The Underlying Index may include large, medium and small capitalization companies. The components of the Underlying Index, and the degree to which these components represent certain industries, may change over time. The Underlying Index’s components are reconstituted annually and rebalanced quarterly. The Underlying Index is reconstituted on a different date from the MSCI USA IMI Index. Securities that are removed from, or added to, the MSCI USA IMI Index are removed from, or considered for inclusion in, the Underlying Index at the next annual reconstitution or quarterly rebalancing of the Underlying Index. The Fund’s portfolio is rebalanced when the Underlying Index is rebalanced or reconstituted. The Fund may trade at times other than when the Underlying Index is rebalanced or reconstituted for a variety of reasons, including when adjustments may be made to its representative sampling process from time to time or when investing cash.
The term “diversified” highlights the purpose of QS’ Diversification Based Investing methodology, which seeks to avoid concentration risks often identified with market cap-weighted funds. The term “core” highlights the segment of the investment universe where the Fund invests — as opposed to introducing value or size biases or investing in niche segments of the market.
The Fund uses a “passive” or indexing investment approach to achieve its investment objective. Unlike many investment companies, the Fund does not try to outperform its Underlying Index and does not seek temporary defensive positions when markets decline or appear overvalued. Indexing may eliminate the chance that the Fund will substantially outperform the Underlying Index and also may reduce some of the risks of active management, such as poor security selection. Indexing seeks to achieve lower costs and better after-tax performance by keeping portfolio turnover low in comparison to actively managed investment companies.
QS may use a representative sampling indexing strategy to manage the Fund. “Representative sampling” is an indexing strategy that involves investing in a representative sample of securities that collectively has an
| Legg Mason US Diversified Core ETF 2016 Annual Report | 1 |
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Fund overview (cont’d)
investment profile similar to that of the Underlying Index. When sampling is used, the securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as return variability, risk, market capitalization and sector exposures) and fundamental characteristics (such as portfolio yield, price/earnings ratios and price/book ratios) similar to those of the Underlying Index. The Fund may or may not hold all of the securities in the Underlying Index.
The Fund will invest at least 80% of its net assets, plus borrowings for investment purposes, if any, in securities that compose the Underlying Index. The equity securities that the Fund will hold are principally common stocks.
The Fund may invest up to 20% of its net assets in certain index futures, options, options on index futures, swap contracts or other derivatives related to its Underlying Index and its component securities; cash and cash equivalents; other investment companies, including exchange-traded funds; exchange-traded notes; and in securities and other instruments not included in its Underlying Index but which QS believes will help the Fund track its Underlying Index. The Fund may invest in exchange-traded equity index futures to manage industry exposure and for cash management purposes.
Q. What were the overall market conditions during the Fund’s reporting period?
A. Equity markets started 2016 in “risk-off” mode as macro events dominated headlines, including economic slowdowns in the U.S., China and many other markets, falling commodity prices and uncertainty over the pace of interest rate increases from the Federal Reserve Board (the “Fed”)i. Nonetheless, in mid-February 2016 the market made a sharp reversal and rallied into the second calendar quarter of 2016.
After a weakening in employment, U.S. gross domestic product (“GDP”)ii growth and industrial reports over the first two months of the second calendar quarter of 2016, the Fed softened its stance on a near-term rate hike. All these measures improved in June 2016. At the end of the quarter, the Fed indicated it would wait to see how the surprise vote for Brexit (the U.K.’s referendum to leave the European Union) would unfold before considering any tightening.
U.S. large cap equities advanced in the third quarter of 2016 after being whipsawed by the Brexit vote in late June. Most of the gains occurred early in the quarter, when several major stock indices rose to new highs before falling back slightly. Industrial commodity stocks saw some strong returns, while oil and gold prices were essentially flat. The Fed continued to be accommodative, postponing the expected rate hike until later in 2016. Globally, markets saw modestly upward trends in manufacturing sentiment.
Leading indicators improved and employment gains continued in October 2016, with the prior month’s gain revised up. Still, the U.S. market underperformed most markets as volatility rose and investors generally focused on risk ahead of the U.S. presidential election.
The Fund uses a passive investment approach to achieve its investment objective, and therefore made no change in investment approach in response to market conditions.
| 2 | Legg Mason US Diversified Core ETF 2016 Annual Report |
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Performance review
For the period since the Fund’s inception on December 28, 2015 through October 31 2016, Legg Mason US Diversified Core ETF generated a 5.76% return on a net asset value (“NAV”)iii basis and 5.64% based on its market priceiv per share.
The performance table shows the Fund’s total return since the Fund’s inception on December 28, 2015 through October 31, 2016 based on its NAV and market price as of October 31, 2016. The Fund seeks to track the investment results of an index composed of publicly traded U.S. equity securities, the QS DBI US Diversified Index, which returned 6.01% for the same period. The Fund’s unmanaged benchmark, the Russell 3000 Indexv, returned 5.20% over the same time frame. The Lipper Multi-Cap Core Funds Category Average1 returned 3.75% for the period December 31, 2015 through October 31, 2016. Please note that Lipper performance returns are based on each fund’s NAV.
| Performance Snapshot
as of October 31, 2016 (unaudited) |
||||||||
| 6 Months | Total Return Since Fund Inception* |
|||||||
| Legg Mason US Diversified Core ETF: | ||||||||
| $26.46 (NAV) |
2.28 | % | 5.76 | %**† | ||||
| $26.43 (Market Price) |
2.13 | % | 5.64 | %**‡ | ||||
| QS DBI US Diversified Index | 2.44 | % | 6.01 | % | ||||
| Russell 3000 Index | 4.18 | % | 5.20 | % | ||||
| Lipper Multi-Cap Core Funds Category Average1 | 2.95 | % | 3.75 | % | ||||
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown. Principal value and investment returns will fluctuate so shares, when sold, may be worth more or less than their original cost. Performance data current to the most recent month-end is available at www.leggmason.com/etf.
Investors buy and sell shares of an exchange-traded fund (“ETF”) at market price (not NAV) in the secondary market throughout the trading day. These shares are not individually available for purchase or redemption directly from the ETF. Market price returns are based upon the National Best Bid and Offer (“NBBO”)vi at 4:00 p.m. Eastern Time. These returns do not represent investors’ returns had they traded shares at other times. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Information showing the number of days the market price of the Fund’s shares was greater than the Fund’s NAV and the number of days it was less than the Fund’s NAV (i.e., premium or discount) for various time periods is available by visiting the Fund’s website at www.leggmason.com/etf.
As of the Fund’s current prospectus dated December 28, 2015, the gross total annual operating expense ratio for the Fund was 0.30%.
* The Fund’s inception date is December 28, 2015.
** Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors pay on distributions or the sale of shares.
| 1 | Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the period ended October 31, 2016 calculated among the 753 funds for the six-month period and among the 755 funds for the ten-month period in the Fund’s Lipper category. |
| Legg Mason US Diversified Core ETF 2016 Annual Report | 3 |
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Fund overview (cont’d)
† Total return assumes the reinvestment of all distributions at NAV.
‡ Total return assumes the reinvestment of all distributions at market price.
Q. What were the leading contributors to performance?
A. From a sector allocation perspective, the Underlying Index primarily benefitted from an overweight to Utilities and an underweight to Health Care relative the benchmark. Securities held by the Underlying Index within the Materials and Consumer Staples sectors were additionally additive to overall performance
Q. What were the leading detractors from performance?
A. Sector underweights to Energy and Information Technology, as well as an overweight to Consumer Discretionary within the Underlying Index detracted from overall performance. Additionally, securities held by the Underlying Index within the Consumer Discretionary sector also dampened performance.
Looking for additional information?
The Fund’s daily NAV is available on-line at www.leggmason.com/etf. The Fund is traded under the symbol “UDBI” and its closing market price is available on most financial websites. In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-386-5535 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price and other information.
Thank you for your investment in Legg Mason US Diversified Core ETF. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.
Sincerely,
QS Investors, LLC
November 20, 2016
RISKS: The Fund is newly organized, with a limited history of operations. Equity securities are subject to market and price fluctuations. In rising markets, the value of large-cap stocks may not rise as much as smaller-cap stocks. Small- and mid-cap stocks involve greater risks and volatility than large-cap stocks. Diversification does not guarantee a profit or protect against a loss. The Fund may focus its investments in certain industries, increasing its vulnerability to market volatility. There is no guarantee that the Fund will achieve a high degree of correlation to the index it seeks to track. The Fund does not seek to outperform the index it tracks, and does not seek temporary defensive positions when markets decline or appear overvalued. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. Please see the Fund’s prospectus for a more complete discussion of these and other risks, and the Fund’s investment strategies.
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. An index is a statistical composite that tracks a specified financial market sector or rules-based investment process. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis
| 4 | Legg Mason US Diversified Core ETF 2016 Annual Report |
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upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. The Fund’s top five sector holdings (as a percentage of net assets) as of October 31, 2016 were: Consumer Staples (19.5%), Consumer Discretionary (16.5%), Industrials (12.8%), Health Care (11.9%) and Information Technology (9.9%). The Fund’s composition may differ over time.
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.
| i | The Federal Reserve Board (the “Fed”) is responsible for the formulation of U.S. policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments. |
| ii | Gross domestic product (“GDP”) is the market value of all final goods and services produced within a country in a given period of time. |
| iii | Net Asset Value (“NAV”) is calculated by subtracting total liabilities from total assets and dividing the result by the number of shares outstanding. |
| iv | Market Price is determined by supply and demand. It is the price at which an investor purchases or sells shares of the Fund. The Market Price may differ from the Fund’s NAV. |
| v | The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the U.S. equity market. |
| vi | The National Best Bid and Offer (“NBBO”) is the best (lowest) available ask price and the best (highest) available bid price to investors when they buy and sell securities. |
| Legg Mason US Diversified Core ETF 2016 Annual Report | 5 |
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Investment breakdown (%) as a percent of total investments
| † | The bar graph above represents the composition of the Fund’s investments as of October 31, 2016. The composition of the Fund’s investments is subject to change at any time. |
| 6 | Legg Mason US Diversified Core ETF 2016 Annual Report |
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Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, such as brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.
This example is based on an investment of $1,000 invested on May 1, 2016 and held for the six months ended October 31, 2016.
Actual expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Hypothetical example for comparison purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% 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 the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below 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 Fund shares. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
| Based on actual total return1 | Based on hypothetical total return1 | |||||||||||||||||||||||||||||||||||||||||||||||||
| Actual Total Return2 |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 |
Hypothetical Annualized Total Return |
Beginning Account Value |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 | |||||||||||||||||||||||||||||||||||||||||
| 2.28% | $ | 1,000.00 | $ | 1,022.80 | 0.30 | % | $ | 1.53 | 5.00 | % | $1,000.00 | $ | 1,023.63 | 0.30 | % | $ | 1.53 | |||||||||||||||||||||||||||||||||
| 1 | For the six months ended October 31, 2016. |
| 2 | Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. |
| 3 | Expenses (net of fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 366. |
| Legg Mason US Diversified Core ETF 2016 Annual Report | 7 |
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| Net Asset Value | ||||
| Average annual total returns1 | ||||
| Inception* through 10/31/16 | 5.76 | %† | ||
| Cumulative total returns1 | ||||
| Inception date of 12/28/15 through 10/31/16 | 5.76 | % | ||
| Market Price | ||||
| Average annual total returns2 | ||||
| Inception* through 10/31/16 | 5.64 | %† | ||
| Cumulative total returns2 | ||||
| Inception date of 12/28/15 through 10/31/16 | 5.64 | % | ||
All figures represent past performance and are not a guarantee of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Results for longer periods will differ, in some cases, substantially. NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. The returns shown do not reflect the deduction of brokerage commissions or taxes that investors would pay on distributions or the sale of shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.
Investors buy and sell shares of the Fund at market price, not NAV, in the secondary market throughout the trading day. These shares are not individually available for purchase or redemption directly from the Fund. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. Market price returns shown are based upon the National Best Bid and Offer (“NBBO”) at 4:00p.m. Eastern Time. These returns do not represent investors’ returns had they traded shares at other times. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other exchange-traded funds, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessment of the underlying value of the Fund’s portfolio securities.
| † | Not annualized. |
| 1 | Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. |
| 2 | Assumes the reinvestment of all distributions, including returns of capital, if any, at market price. |
| * | Inception date of the Fund is December 28, 2015. |
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Historical performance
Value of $10,000 invested in
Legg Mason US Diversified Core ETF vs. QS DBI US Diversified Index and Russell 3000 Index† — December 28, 2015 - October 2016
All figures represent past performance and are not a guarantee of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Results for longer periods will differ, in some cases, substantially. NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV. The returns shown do not reflect the deduction of brokerage commissions or taxes that investors would pay on distributions or the sale of shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.
| † | Hypothetical illustration of $10,000 invested in the Legg Mason US Diversified Core ETF on December 28, 2015, assuming the reinvestment of all distributions, including returns of capital, if any, at net asset value through October 31, 2016. The hypothetical illustration also assumes a $10,000 investment in the QS DBI US Diversified Index and the Russell 3000 Index. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund. The QS DBI US Diversified Index (the “Underlying Index”) is an index composed of publicly traded U.S. equity securities that are included in the MSCI USA IMI Index. The Underlying Index is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Fund’s subadviser. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the U.S. equity market. The indices are not subject to the same management and trading expenses as a fund. An index is a statistical composite that tracks a specified financial market, sector, or rules-based investment process. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index. |
| Legg Mason US Diversified Core ETF 2016 Annual Report | 9 |
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October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Common Stocks — 99.1% | ||||||||||||||||
| Consumer Discretionary — 16.5% | ||||||||||||||||
| Auto Components — 0.8% |
||||||||||||||||
| Adient PLC |
24 | $ | 1,092 | * | ||||||||||||
| American Axle & Manufacturing Holdings Inc. |
20 | 359 | * | |||||||||||||
| Autoliv Inc. |
22 | 2,129 | ||||||||||||||
| BorgWarner Inc. |
54 | 1,936 | ||||||||||||||
| Cooper Tire & Rubber Co. |
13 | 478 | ||||||||||||||
| Cooper-Standard Holding Inc. |
5 | 456 | * | |||||||||||||
| Dana Inc. |
40 | 619 | ||||||||||||||
| Delphi Automotive PLC |
69 | 4,490 | ||||||||||||||
| Dorman Products Inc. |
8 | 514 | * | |||||||||||||
| Drew Industries Inc. |
6 | 537 | ||||||||||||||
| Fox Factory Holding Corp. |
17 | 369 | * | |||||||||||||
| Gentex Corp. |
72 | 1,218 | ||||||||||||||
| Gentherm Inc. |
9 | 253 | * | |||||||||||||
| Goodyear Tire & Rubber Co. |
65 | 1,887 | ||||||||||||||
| Lear Corp. |
18 | 2,210 | ||||||||||||||
| Modine Manufacturing Co. |
34 | 372 | * | |||||||||||||
| Standard Motor Products Inc. |
8 | 391 | ||||||||||||||
| Superior Industries International Inc. |
14 | 343 | ||||||||||||||
| Tenneco Inc. |
14 | 771 | * | |||||||||||||
| Visteon Corp. |
10 | 706 | ||||||||||||||
| Total Auto Components |
21,130 | |||||||||||||||
| Automobiles — 1.0% |
||||||||||||||||
| Ford Motor Co. |
793 | 9,310 | ||||||||||||||
| General Motors Co. |
297 | 9,385 | ||||||||||||||
| Harley-Davidson Inc. |
41 | 2,338 | ||||||||||||||
| Tesla Motors Inc. |
27 | 5,339 | * | |||||||||||||
| Thor Industries Inc. |
10 | 793 | ||||||||||||||
| Winnebago Industries Inc. |
13 | 367 | ||||||||||||||
| Total Automobiles |
27,532 | |||||||||||||||
| Diversified Consumer Services — 1.0% |
||||||||||||||||
| Apollo Education Group Inc. |
79 | 694 | * | |||||||||||||
| Bright Horizons Family Solutions Inc. |
36 | 2,409 | * | |||||||||||||
| Capella Education Co. |
13 | 950 | ||||||||||||||
| Career Education Corp. |
73 | 525 | * | |||||||||||||
| Carriage Services Inc. |
21 | 497 | ||||||||||||||
| Chegg Inc. |
70 | 466 | * | |||||||||||||
See Notes to Financial Statements.
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Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Diversified Consumer Services — continued |
||||||||||||||||
| DeVry Education Group Inc. |
49 | $ | 1,112 | |||||||||||||
| Graham Holdings Co., Class B Shares |
4 | 1,900 | ||||||||||||||
| Grand Canyon Education Inc. |
35 | 1,527 | * | |||||||||||||
| H&R Block Inc. |
191 | 4,387 | ||||||||||||||
| Houghton Mifflin Harcourt Co. |
87 | 1,101 | * | |||||||||||||
| K12 Inc. |
38 | 412 | * | |||||||||||||
| LifeLock Inc. |
74 | 1,191 | * | |||||||||||||
| Regis Corp. |
29 | 368 | * | |||||||||||||
| Service Corporation International |
159 | 4,070 | ||||||||||||||
| ServiceMaster Global Holdings Inc. |
109 | 3,901 | * | |||||||||||||
| Sotheby’s |
43 | 1,543 | ||||||||||||||
| Strayer Education Inc. |
12 | 704 | * | |||||||||||||
| Weight Watchers International Inc. |
31 | 319 | * | |||||||||||||
| Total Diversified Consumer Services |
28,076 | |||||||||||||||
| Hotels, Restaurants & Leisure — 1.0% |
||||||||||||||||
| Aramark |
15 | 558 | ||||||||||||||
| Brinker International Inc. |
6 | 295 | ||||||||||||||
| Buffalo Wild Wings Inc. |
2 | 291 | * | |||||||||||||
| Carnival Corp. |
26 | 1,277 | ||||||||||||||
| Chipotle Mexican Grill Inc. |
2 | 721 | * | |||||||||||||
| Darden Restaurants Inc. |
8 | 518 | ||||||||||||||
| DineEquity Inc. |
4 | 316 | ||||||||||||||
| Dominos Pizza Inc. |
3 | 508 | ||||||||||||||
| Dunkin’ Brands Group Inc. |
10 | 484 | ||||||||||||||
| Hilton Worldwide Holdings Inc. |
36 | 814 | ||||||||||||||
| Jack in the Box Inc. |
4 | 375 | ||||||||||||||
| Las Vegas Sands Corp. |
27 | 1,563 | ||||||||||||||
| Marriott International Inc., Class A Shares |
21 | 1,443 | ||||||||||||||
| McDonald’s Corp. |
54 | 6,079 | ||||||||||||||
| MGM Resorts International |
30 | 785 | * | |||||||||||||
| Norwegian Cruise Line Holdings Ltd. |
12 | 466 | * | |||||||||||||
| Panera Bread Co., Class A Shares |
2 | 381 | * | |||||||||||||
| Popeyes Louisiana Kitchen Inc. |
7 | 374 | * | |||||||||||||
| Royal Caribbean Cruises Ltd. |
11 | 846 | ||||||||||||||
| Starbucks Corp. |
88 | 4,670 | ||||||||||||||
| Texas Roadhouse Inc. |
7 | 284 | ||||||||||||||
| Vail Resorts Inc. |
3 | 478 | ||||||||||||||
| Wendy’s Co. |
39 | 423 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 11 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Hotels, Restaurants & Leisure — continued |
||||||||||||||||
| Wyndham Worldwide Corp. |
7 | $ | 461 | |||||||||||||
| Wynn Resorts Ltd. |
5 | 473 | ||||||||||||||
| Yum! Brands Inc. |
25 | 2,157 | ||||||||||||||
| Total Hotels, Restaurants & Leisure |
27,040 | |||||||||||||||
| Household Durables — 1.0% |
||||||||||||||||
| CalAtlantic Group Inc. |
16 | 517 | ||||||||||||||
| Cavco Industries Inc. |
4 | 370 | * | |||||||||||||
| D.R. Horton Inc. |
72 | 2,076 | ||||||||||||||
| Ethan Allen Interiors Inc. |
11 | 338 | ||||||||||||||
| Garmin Ltd. |
24 | 1,161 | ||||||||||||||
| GoPro Inc., Class A Shares |
44 | 562 | * | |||||||||||||
| Harman International Industries Inc. |
15 | 1,196 | ||||||||||||||
| Helen of Troy Ltd. |
7 | 570 | * | |||||||||||||
| iRobot Corp. |
10 | 507 | * | |||||||||||||
| KB Home |
25 | 364 | ||||||||||||||
| La-Z-Boy Inc. |
16 | 374 | ||||||||||||||
| Leggett & Platt Inc. |
26 | 1,193 | ||||||||||||||
| Lennar Corp., Class A Shares |
36 | 1,501 | ||||||||||||||
| M.D.C. Holdings Inc. |
13 | 308 | ||||||||||||||
| M/I Homes Inc. |
15 | 323 | * | |||||||||||||
| Meritage Homes Corp. |
11 | 340 | * | |||||||||||||
| Mohawk Industries Inc. |
13 | 2,396 | * | |||||||||||||
| Newell Brands Inc. |
92 | 4,418 | ||||||||||||||
| NVR Inc. |
1 | 1,523 | * | |||||||||||||
| PulteGroup Inc. |
64 | 1,190 | ||||||||||||||
| Taylor Morrison Home Corp., Class A Shares |
25 | 426 | * | |||||||||||||
| Tempur Sealy International Inc. |
13 | 703 | * | |||||||||||||
| Toll Brothers Inc. |
32 | 878 | * | |||||||||||||
| TopBuild Corp. |
13 | 392 | * | |||||||||||||
| TRI Pointe Group Inc. |
31 | 336 | * | |||||||||||||
| Tupperware Brands Corp. |
12 | 714 | ||||||||||||||
| Universal Electronics Inc. |
6 | 421 | * | |||||||||||||
| Whirlpool Corp. |
15 | 2,247 | ||||||||||||||
| Total Household Durables |
27,344 | |||||||||||||||
| Internet & Direct Marketing Retail — 2.3% |
||||||||||||||||
| Amazon.com Inc. |
51 | 40,281 | * | |||||||||||||
| Expedia Inc. |
16 | 2,068 | ||||||||||||||
| Groupon Inc. |
97 | 387 | * | |||||||||||||
See Notes to Financial Statements.
| 12 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Internet & Direct Marketing Retail — continued |
||||||||||||||||
| Liberty Interactive Corp. QVC Group, Class A Shares |
58 | $ | 1,072 | * | ||||||||||||
| Liberty TripAdvisor Holdings Inc., Class A Shares |
14 | 311 | * | |||||||||||||
| Liberty Ventures, Series A Shares |
18 | 718 | * | |||||||||||||
| Netflix Inc. |
55 | 6,868 | * | |||||||||||||
| PetMed Express Inc. |
15 | 298 | ||||||||||||||
| Priceline Group Inc. |
6 | 8,845 | * | |||||||||||||
| Shutterfly Inc. |
7 | 343 | * | |||||||||||||
| TripAdvisor Inc. |
16 | 1,032 | * | |||||||||||||
| Wayfair Inc., Class A Shares |
10 | 333 | * | |||||||||||||
| Total Internet & Direct Marketing Retail |
62,556 | |||||||||||||||
| Leisure Products — 1.3% |
||||||||||||||||
| Brunswick Corp. |
86 | 3,741 | ||||||||||||||
| Callaway Golf Co. |
102 | 1,042 | ||||||||||||||
| Hasbro Inc. |
112 | 9,342 | ||||||||||||||
| Mattel Inc. |
344 | 10,846 | ||||||||||||||
| Nautilus Inc. |
36 | 634 | * | |||||||||||||
| Polaris Industries Inc. |
58 | 4,443 | ||||||||||||||
| Smith & Wesson Holding Corp. |
52 | 1,374 | * | |||||||||||||
| Sturm Ruger & Co. Inc. |
19 | 1,169 | ||||||||||||||
| Vista Outdoor Inc. |
60 | 2,320 | * | |||||||||||||
| Total Leisure Products |
34,911 | |||||||||||||||
| Media — 0.9% |
||||||||||||||||
| CBS Corp., Class B Shares, Non Voting Shares |
16 | 906 | ||||||||||||||
| Charter Communications Inc., Class A Shares |
8 | 1,999 | * | |||||||||||||
| Comcast Corp., Class A Shares |
95 | 5,873 | ||||||||||||||
| Discovery Communications Inc., Class A Shares |
18 | 470 | * | |||||||||||||
| Discovery Communications Inc., Class C Shares |
20 | 502 | * | |||||||||||||
| DISH Network Corp., Class A Shares |
10 | 586 | * | |||||||||||||
| Interpublic Group of Cos. Inc. |
13 | 291 | ||||||||||||||
| Liberty Broadband Corp., Class C Shares |
6 | 400 | * | |||||||||||||
| Liberty Global PLC, Class A Shares |
15 | 489 | * | |||||||||||||
| Liberty Global PLC, Series C Shares |
25 | 795 | * | |||||||||||||
| Liberty Media Corp.-Liberty Sirius XM, Class C Shares |
14 | 465 | * | |||||||||||||
| Omnicom Group Inc. |
9 | 718 | ||||||||||||||
| Scripps Networks Interactive Inc., Class A Shares |
8 | 515 | ||||||||||||||
| Sirius XM Holdings Inc. |
134 | 559 | * | |||||||||||||
| TEGNA Inc. |
17 | 333 | ||||||||||||||
| Time Warner Inc. |
30 | 2,670 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 13 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Media — continued |
||||||||||||||||
| Twenty-First Century Fox Inc., Class A Shares |
41 | $ | 1,077 | |||||||||||||
| Twenty-First Century Fox Inc., Class B Shares |
13 | 343 | ||||||||||||||
| Viacom Inc., Class B Shares |
15 | 563 | ||||||||||||||
| Walt Disney Co. |
61 | 5,654 | ||||||||||||||
| Total Media |
25,208 | |||||||||||||||
| Multiline Retail — 2.5% |
||||||||||||||||
| Big Lots Inc. |
28 | 1,215 | ||||||||||||||
| Dillard’s Inc., Class A Shares |
13 | 797 | ||||||||||||||
| Dollar General Corp. |
180 | 12,436 | ||||||||||||||
| Dollar Tree Inc. |
149 | 11,257 | * | |||||||||||||
| Fred’s Inc., Class A Shares |
33 | 301 | ||||||||||||||
| J.C. Penney Co. Inc. |
180 | 1,546 | * | |||||||||||||
| Kohl’s Corp. |
124 | 5,425 | ||||||||||||||
| Macy’s Inc. |
207 | 7,554 | ||||||||||||||
| Nordstrom Inc. |
94 | 4,888 | ||||||||||||||
| Ollie’s Bargain Outlet Holdings Inc. |
20 | 547 | * | |||||||||||||
| Sears Holdings Corp. |
28 | 311 | * | |||||||||||||
| Target Corp. |
354 | 24,330 | ||||||||||||||
| Total Multiline Retail |
70,607 | |||||||||||||||
| Specialty Retail — 2.4% |
||||||||||||||||
| Aaron’s Inc. |
21 | 519 | ||||||||||||||
| Advance Auto Parts Inc. |
8 | 1,121 | ||||||||||||||
| American Eagle Outfitters Inc. |
18 | 307 | ||||||||||||||
| AutoNation Inc. |
10 | 439 | * | |||||||||||||
| AutoZone Inc. |
4 | 2,969 | * | |||||||||||||
| Bed Bath & Beyond Inc. |
18 | 728 | ||||||||||||||
| Best Buy Co. Inc. |
33 | 1,284 | ||||||||||||||
| Burlington Stores Inc. |
10 | 749 | * | |||||||||||||
| Cabela’s Inc. |
6 | 370 | * | |||||||||||||
| CarMax Inc. |
22 | 1,099 | * | |||||||||||||
| Chico’s FAS Inc. |
27 | 315 | ||||||||||||||
| Children’s Place Inc. |
6 | 456 | ||||||||||||||
| CST Brands Inc. |
7 | 336 | ||||||||||||||
| Dick’s Sporting Goods Inc. |
9 | 501 | ||||||||||||||
| DSW Inc., Class A Shares |
22 | 457 | ||||||||||||||
| Five Below Inc. |
10 | 376 | * | |||||||||||||
| Foot Locker Inc. |
16 | 1,068 | ||||||||||||||
| GameStop Corp., Class A Shares |
11 | 264 | ||||||||||||||
See Notes to Financial Statements.
| 14 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Specialty Retail — continued |
||||||||||||||||
| Gap Inc. |
30 | $ | 828 | |||||||||||||
| GNC Holdings Inc., Class A Shares |
19 | 255 | ||||||||||||||
| Group 1 Automotive Inc. |
7 | 422 | ||||||||||||||
| Home Depot Inc. |
156 | 19,034 | ||||||||||||||
| L Brands Inc. |
30 | 2,166 | ||||||||||||||
| Lithia Motors Inc., Class A Shares |
6 | 515 | ||||||||||||||
| Lowe’s Cos. Inc. |
112 | 7,465 | ||||||||||||||
| Michaels Cos. Inc. |
12 | 279 | * | |||||||||||||
| Monro Muffler Brake Inc. |
7 | 385 | ||||||||||||||
| Murphy USA Inc. |
5 | 344 | * | |||||||||||||
| O’Reilly Automotive Inc. |
12 | 3,173 | * | |||||||||||||
| Office Depot Inc. |
117 | 368 | ||||||||||||||
| Penske Automotive Group Inc. |
12 | 537 | ||||||||||||||
| Restoration Hardware Holdings Inc. |
10 | 290 | * | |||||||||||||
| Ross Stores Inc. |
51 | 3,189 | ||||||||||||||
| Sally Beauty Holdings Inc. |
19 | 493 | * | |||||||||||||
| Signet Jewelers Ltd. |
9 | 731 | ||||||||||||||
| Staples Inc. |
75 | 555 | ||||||||||||||
| Tiffany & Co. |
15 | 1,101 | ||||||||||||||
| TJX Cos. Inc. |
83 | 6,121 | ||||||||||||||
| Tractor Supply Co. |
15 | 939 | ||||||||||||||
| Ulta Salon, Cosmetics & Fragrance Inc. |
7 | 1,703 | * | |||||||||||||
| Urban Outfitters Inc. |
12 | 401 | * | |||||||||||||
| Williams-Sonoma Inc. |
11 | 508 | ||||||||||||||
| Total Specialty Retail |
65,160 | |||||||||||||||
| Textiles, Apparel & Luxury Goods — 2.3% |
||||||||||||||||
| Carter’s Inc. |
18 | 1,554 | ||||||||||||||
| Coach Inc. |
102 | 3,661 | ||||||||||||||
| Columbia Sportswear Co. |
11 | 623 | ||||||||||||||
| Deckers Outdoor Corp. |
12 | 626 | * | |||||||||||||
| Fossil Group Inc. |
18 | 491 | * | |||||||||||||
| G-III Apparel Group Ltd. |
15 | 392 | * | |||||||||||||
| Hanesbrands Inc. |
141 | 3,624 | ||||||||||||||
| Iconix Brand Group Inc. |
55 | 433 | * | |||||||||||||
| Kate Spade & Co. |
48 | 804 | * | |||||||||||||
| Lululemon Athletica Inc. |
40 | 2,290 | * | |||||||||||||
| Michael Kors Holdings Ltd. |
65 | 3,301 | * | |||||||||||||
| NIKE Inc., Class B Shares |
524 | 26,294 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 15 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Textiles, Apparel & Luxury Goods — continued |
||||||||||||||||
| Oxford Industries Inc. |
5 | $ | 314 | |||||||||||||
| PVH Corp. |
30 | 3,209 | ||||||||||||||
| Ralph Lauren Corp. |
21 | 2,060 | ||||||||||||||
| Sequential Brands Group Inc. |
46 | 331 | * | |||||||||||||
| Skechers USA Inc., Class A Shares |
48 | 1,009 | * | |||||||||||||
| Steven Madden Ltd. |
20 | 668 | * | |||||||||||||
| Under Armour Inc., Class A Shares |
66 | 2,053 | * | |||||||||||||
| Under Armour Inc., Class C Shares |
68 | 1,759 | * | |||||||||||||
| Unifi Inc. |
14 | 403 | * | |||||||||||||
| V.F. Corp. |
126 | 6,830 | ||||||||||||||
| Wolverine World Wide Inc. |
38 | 811 | ||||||||||||||
| Total Textiles, Apparel & Luxury Goods |
63,540 | |||||||||||||||
| Total Consumer Discretionary |
453,104 | |||||||||||||||
| Consumer Staples — 19.5% | ||||||||||||||||
| Beverages — 4.2% |
||||||||||||||||
| Boston Beer Co. Inc., Class A Shares |
2 | 311 | * | |||||||||||||
| Brown-Forman Corp., Class B Shares |
60 | 2,770 | ||||||||||||||
| Coca-Cola Bottling Co. Consolidated |
3 | 424 | ||||||||||||||
| Coca-Cola Co. |
1,121 | 47,530 | ||||||||||||||
| Constellation Brands Inc., Class A Shares |
47 | 7,855 | ||||||||||||||
| Dr. Pepper Snapple Group Inc. |
50 | 4,389 | ||||||||||||||
| Molson Coors Brewing Co., Class B Shares |
50 | 5,190 | ||||||||||||||
| Monster Beverage Corp. |
38 | 5,485 | * | |||||||||||||
| PepsiCo Inc. |
389 | 41,701 | ||||||||||||||
| Total Beverages |
115,655 | |||||||||||||||
| Food & Staples Retailing — 3.1% |
||||||||||||||||
| Casey’s General Stores Inc. |
7 | 791 | ||||||||||||||
| Costco Wholesale Corp. |
87 | 12,865 | ||||||||||||||
| CVS Health Corp. |
212 | 17,829 | ||||||||||||||
| Kroger Co. |
187 | 5,793 | ||||||||||||||
| PriceSmart Inc. |
4 | 364 | ||||||||||||||
| Rite Aid Corp. |
193 | 1,295 | * | |||||||||||||
| SpartanNash Co. |
16 | 448 | ||||||||||||||
| Sprouts Farmers Market Inc. |
28 | 620 | * | |||||||||||||
| SUPERVALU Inc. |
61 | 262 | * | |||||||||||||
| Sysco Corp. |
101 | 4,860 | ||||||||||||||
| United Natural Foods Inc. |
9 | 375 | * | |||||||||||||
| Wal-Mart Stores Inc. |
311 | 21,776 | ||||||||||||||
See Notes to Financial Statements.
| 16 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Food & Staples Retailing — continued |
||||||||||||||||
| Walgreens Boots Alliance Inc. |
182 | $ | 15,057 | |||||||||||||
| Whole Foods Market Inc. |
61 | 1,726 | ||||||||||||||
| Total Food & Staples Retailing |
84,061 | |||||||||||||||
| Food Products — 3.2% |
||||||||||||||||
| Archer-Daniels-Midland Co. |
131 | 5,708 | ||||||||||||||
| B&G Foods Inc. |
13 | 551 | ||||||||||||||
| Blue Buffalo Pet Products Inc. |
16 | 402 | * | |||||||||||||
| Bunge Ltd. |
32 | 1,984 | ||||||||||||||
| Cal-Maine Foods Inc. |
7 | 271 | ||||||||||||||
| Calavo Growers Inc. |
6 | 355 | ||||||||||||||
| Campbell Soup Co. |
43 | 2,337 | ||||||||||||||
| ConAgra Foods Inc. |
91 | 4,384 | ||||||||||||||
| Darling Ingredients Inc. |
38 | 517 | * | |||||||||||||
| Dean Foods Co. |
22 | 402 | ||||||||||||||
| Flowers Foods Inc. |
42 | 652 | ||||||||||||||
| Fresh Del Monte Produce Inc. |
8 | 483 | ||||||||||||||
| General Mills Inc. |
129 | 7,995 | ||||||||||||||
| Hain Celestial Group Inc. |
23 | 836 | * | |||||||||||||
| Hershey Co. |
31 | 3,176 | ||||||||||||||
| Hormel Foods Corp. |
66 | 2,541 | ||||||||||||||
| Ingredion Inc. |
16 | 2,099 | ||||||||||||||
| J&J Snack Foods Corp. |
3 | 366 | ||||||||||||||
| J.M. Smucker Co. |
26 | 3,414 | ||||||||||||||
| Kellogg Co. |
59 | 4,433 | ||||||||||||||
| Kraft Heinz Co. |
133 | 11,830 | ||||||||||||||
| Lancaster Colony Corp. |
4 | 523 | ||||||||||||||
| McCormick & Co. Inc., Non Voting Shares |
26 | 2,493 | ||||||||||||||
| Mead Johnson Nutrition Co. |
41 | 3,066 | ||||||||||||||
| Mondelez International Inc., Class A Shares |
341 | 15,324 | ||||||||||||||
| Pinnacle Foods Inc. |
24 | 1,234 | ||||||||||||||
| Post Holdings Inc. |
13 | 991 | * | |||||||||||||
| Sanderson Farms Inc. |
4 | 360 | ||||||||||||||
| Snyder’s-Lance Inc. |
16 | 569 | ||||||||||||||
| Tootsie Roll Industries Inc. |
8 | 284 | ||||||||||||||
| TreeHouse Foods Inc. |
12 | 1,050 | * | |||||||||||||
| Tyson Foods Inc., Class A Shares |
64 | 4,534 | ||||||||||||||
| WhiteWave Foods Co. |
39 | 2,125 | * | |||||||||||||
| Total Food Products |
87,289 | |||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 17 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Household Products — 3.2% |
||||||||||||||||
| Central Garden and Pet Co., Class A Shares |
21 | $ | 490 | * | ||||||||||||
| Church & Dwight Co. Inc. |
60 | 2,896 | ||||||||||||||
| Clorox Co. |
30 | 3,600 | ||||||||||||||
| Colgate-Palmolive Co. |
199 | 14,201 | ||||||||||||||
| Energizer Holdings Inc. |
15 | 698 | ||||||||||||||
| HRG Group Inc. |
23 | 346 | * | |||||||||||||
| Kimberly-Clark Corp. |
85 | 9,725 | ||||||||||||||
| Procter & Gamble Co. |
620 | 53,816 | ||||||||||||||
| Spectrum Brands Holdings Inc. |
6 | 811 | ||||||||||||||
| WD-40 Co. |
3 | 320 | ||||||||||||||
| Total Household Products |
86,903 | |||||||||||||||
| Personal Products — 1.6% |
||||||||||||||||
| Avon Products Inc. |
540 | 3,537 | ||||||||||||||
| Edgewell Personal Care Co. |
71 | 5,353 | * | |||||||||||||
| Estee Lauder Cos. Inc., Class A Shares |
274 | 23,874 | ||||||||||||||
| Herbalife Ltd. |
85 | 5,158 | * | |||||||||||||
| Inter Parfums Inc. |
21 | 685 | ||||||||||||||
| Medifast Inc. |
15 | 616 | ||||||||||||||
| Natural Health Trends Corp. |
11 | 257 | ||||||||||||||
| Nu Skin Enterprises Inc., Class A Shares |
68 | 4,192 | ||||||||||||||
| Revlon Inc., Class A Shares |
16 | 544 | * | |||||||||||||
| USANA Health Sciences Inc. |
7 | 899 | * | |||||||||||||
| Total Personal Products |
45,115 | |||||||||||||||
| Tobacco — 4.2% |
||||||||||||||||
| Altria Group Inc. |
694 | 45,887 | ||||||||||||||
| Philip Morris International Inc. |
552 | 53,235 | ||||||||||||||
| Reynolds American Inc. |
303 | 16,689 | ||||||||||||||
| Universal Corp. |
8 | 434 | ||||||||||||||
| Vector Group Ltd. |
35 | 733 | ||||||||||||||
| Total Tobacco |
116,978 | |||||||||||||||
| Total Consumer Staples |
536,001 | |||||||||||||||
| Energy — 2.6% | ||||||||||||||||
| Energy Equipment & Services — 1.3% |
||||||||||||||||
| Baker Hughes Inc. |
78 | 4,321 | ||||||||||||||
| Core Laboratories NV |
6 | 582 | ||||||||||||||
| Ensco PLC, Class A Shares |
52 | 407 | ||||||||||||||
| FMC Technologies Inc. |
29 | 936 | * | |||||||||||||
| Forum Energy Technologies Inc. |
23 | 414 | * | |||||||||||||
See Notes to Financial Statements.
| 18 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Energy Equipment & Services — continued |
||||||||||||||||
| Halliburton Co. |
127 | $ | 5,842 | |||||||||||||
| Helmerich & Payne Inc. |
14 | 883 | ||||||||||||||
| Nabors Industries Ltd. |
45 | 535 | ||||||||||||||
| National-Oilwell Varco Inc. |
56 | 1,798 | ||||||||||||||
| Oceaneering International Inc. |
12 | 286 | ||||||||||||||
| Oil States International Inc. |
43 | 1,258 | * | |||||||||||||
| Patterson-UTI Energy Inc. |
22 | 495 | ||||||||||||||
| RPC Inc. |
65 | 1,122 | * | |||||||||||||
| Schlumberger Ltd. |
208 | 16,272 | ||||||||||||||
| SEACOR Holdings Inc. |
5 | 246 | * | |||||||||||||
| Superior Energy Services Inc. |
22 | 311 | ||||||||||||||
| Transocean Ltd. |
51 | 490 | * | |||||||||||||
| US Silica Holdings Inc. |
10 | 462 | ||||||||||||||
| Weatherford International PLC |
141 | 680 | * | |||||||||||||
| Total Energy Equipment & Services |
37,340 | |||||||||||||||
| Oil, Gas & Consumable Fuels — 1.3% |
||||||||||||||||
| Anadarko Petroleum Corp. |
14 | 832 | ||||||||||||||
| Apache Corp. |
11 | 654 | ||||||||||||||
| Cabot Oil & Gas Corp. |
15 | 313 | ||||||||||||||
| Cheniere Energy Inc. |
8 | 302 | * | |||||||||||||
| Chevron Corp. |
57 | 5,971 | ||||||||||||||
| Cimarex Energy Co. |
3 | 387 | ||||||||||||||
| Concho Resources Inc. |
4 | 508 | * | |||||||||||||
| ConocoPhillips |
35 | 1,521 | ||||||||||||||
| Devon Energy Corp. |
12 | 455 | ||||||||||||||
| Diamondback Energy Inc. |
4 | 365 | * | |||||||||||||
| Energen Corp. |
6 | 301 | ||||||||||||||
| EOG Resources Inc. |
16 | 1,447 | ||||||||||||||
| EQT Corp. |
5 | 330 | ||||||||||||||
| Exxon Mobil Corp. |
121 | 10,082 | ||||||||||||||
| Gulfport Energy Corp. |
13 | 313 | * | |||||||||||||
| Hess Corp. |
8 | 384 | ||||||||||||||
| Kinder Morgan Inc. |
52 | 1,062 | ||||||||||||||
| Marathon Oil Corp. |
70 | 923 | ||||||||||||||
| Marathon Petroleum Corp. |
15 | 654 | ||||||||||||||
| Murphy Oil Corp. |
13 | 336 | ||||||||||||||
| Newfield Exploration Co. |
10 | 406 | * | |||||||||||||
| Noble Energy Inc. |
13 | 448 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 19 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Oil, Gas & Consumable Fuels — continued |
||||||||||||||||
| Occidental Petroleum Corp. |
22 | $ | 1,604 | |||||||||||||
| ONEOK Inc. |
6 | 290 | ||||||||||||||
| Phillips 66 |
15 | 1,217 | ||||||||||||||
| Pioneer Natural Resources Co. |
4 | 716 | ||||||||||||||
| Range Resources Corp. |
11 | 372 | ||||||||||||||
| Southwestern Energy Co. |
30 | 312 | * | |||||||||||||
| Spectra Energy Corp. |
19 | 794 | ||||||||||||||
| Targa Resources Corp. |
11 | 483 | ||||||||||||||
| Tesoro Corp. |
4 | 340 | ||||||||||||||
| Valero Energy Corp. |
14 | 829 | ||||||||||||||
| Williams Cos. Inc. |
21 | 613 | ||||||||||||||
| Total Oil, Gas & Consumable Fuels |
35,564 | |||||||||||||||
| Total Energy |
72,904 | |||||||||||||||
| Financials — 6.4% | ||||||||||||||||
| Banks — 1.0% |
||||||||||||||||
| 1st Source Corp. |
12 | 415 | ||||||||||||||
| BancFirst Corp. |
7 | 502 | ||||||||||||||
| Bank of America Corp. |
217 | 3,581 | ||||||||||||||
| BB&T Corp. |
15 | 588 | ||||||||||||||
| Citigroup Inc. |
60 | 2,949 | ||||||||||||||
| Citizens Financial Group Inc. |
16 | 422 | ||||||||||||||
| Comerica Inc. |
15 | 781 | ||||||||||||||
| Fifth Third Bancorp |
19 | 414 | ||||||||||||||
| First Interstate BancSystem Inc., Class A Shares |
17 | 542 | ||||||||||||||
| First Republic Bank |
5 | 372 | ||||||||||||||
| Huntington Bancshares Inc. |
53 | 562 | ||||||||||||||
| JPMorgan Chase & Co. |
77 | 5,333 | ||||||||||||||
| KeyCorp |
26 | 367 | ||||||||||||||
| M&T Bank Corp. |
3 | 368 | ||||||||||||||
| Old National Bancorp |
42 | 617 | ||||||||||||||
| Park National Corp. |
5 | 485 | ||||||||||||||
| PNC Financial Services Group Inc. |
9 | 860 | ||||||||||||||
| Regions Financial Corp. |
39 | 418 | ||||||||||||||
| Signature Bank |
4 | 482 | * | |||||||||||||
| SunTrust Banks Inc. |
11 | 498 | ||||||||||||||
| SVB Financial Group |
4 | 489 | * | |||||||||||||
| U.S. Bancorp |
36 | 1,611 | ||||||||||||||
| Wells Fargo & Co. |
103 | 4,739 | ||||||||||||||
See Notes to Financial Statements.
| 20 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Banks — continued |
||||||||||||||||
| Wesbanco Inc. |
10 | $ | 329 | |||||||||||||
| Total Banks |
27,724 | |||||||||||||||
| Capital Markets — 1.2% |
||||||||||||||||
| Affiliated Managers Group Inc. |
4 | 531 | * | |||||||||||||
| Ameriprise Financial Inc. |
11 | 972 | ||||||||||||||
| Bank of New York Mellon Corp. |
70 | 3,029 | ||||||||||||||
| BlackRock Inc. |
6 | 2,047 | ||||||||||||||
| CBOE Holdings Inc. |
8 | 506 | ||||||||||||||
| Charles Schwab Corp. |
66 | 2,092 | ||||||||||||||
| CME Group Inc. |
17 | 1,702 | ||||||||||||||
| Donnelley Financial Solutions Inc. |
5 | 107 | * | |||||||||||||
| E*TRADE Financial Corp. |
13 | 366 | * | |||||||||||||
| Eaton Vance Corp. |
9 | 316 | ||||||||||||||
| FactSet Research Systems Inc. |
4 | 619 | ||||||||||||||
| Federated Investors Inc., Class B Shares |
11 | 297 | ||||||||||||||
| Franklin Resources Inc. |
25 | 841 | ||||||||||||||
| Goldman Sachs Group Inc. |
23 | 4,099 | ||||||||||||||
| Intercontinental Exchange Inc. |
6 | 1,622 | ||||||||||||||
| Invesco Ltd. |
28 | 787 | ||||||||||||||
| MarketAxess Holdings Inc. |
3 | 452 | ||||||||||||||
| Moody’s Corp. |
11 | 1,106 | ||||||||||||||
| Morgan Stanley |
83 | 2,786 | ||||||||||||||
| Morningstar Inc. |
4 | 283 | ||||||||||||||
| MSCI Inc. |
8 | 642 | ||||||||||||||
| Nasdaq Inc. |
10 | 640 | ||||||||||||||
| Northern Trust Corp. |
14 | 1,014 | ||||||||||||||
| Raymond James Financial Inc. |
6 | 361 | ||||||||||||||
| S&P Global Inc. |
16 | 1,950 | ||||||||||||||
| SEI Investments Co. |
12 | 532 | ||||||||||||||
| State Street Corp. |
21 | 1,474 | ||||||||||||||
| T. Rowe Price Group Inc. |
15 | 960 | ||||||||||||||
| TD Ameritrade Holding Corp. |
21 | 718 | ||||||||||||||
| Total Capital Markets |
32,851 | |||||||||||||||
| Consumer Finance — 1.0% |
||||||||||||||||
| Ally Financial Inc. |
60 | 1,084 | ||||||||||||||
| American Express Co. |
131 | 8,701 | ||||||||||||||
| Capital One Financial Corp. |
80 | 5,923 | ||||||||||||||
| Credit Acceptance Corp. |
2 | 368 | * | |||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 21 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Consumer Finance — continued |
||||||||||||||||
| Discover Financial Services |
64 | $ | 3,605 | |||||||||||||
| FirstCash Inc. |
12 | 567 | ||||||||||||||
| LendingClub Corp. |
96 | 473 | * | |||||||||||||
| Navient Corp. |
58 | 741 | ||||||||||||||
| OneMain Holdings Inc. |
17 | 482 | * | |||||||||||||
| PRA Group Inc. |
16 | 511 | * | |||||||||||||
| SLM Corp. |
45 | 317 | * | |||||||||||||
| Synchrony Financial |
144 | 4,117 | ||||||||||||||
| Total Consumer Finance |
26,889 | |||||||||||||||
| Diversified Financial Services — 1.0% |
||||||||||||||||
| Berkshire Hathaway Inc., Class B Shares |
166 | 23,954 | * | |||||||||||||
| FNFV Group |
24 | 289 | * | |||||||||||||
| Leucadia National Corp. |
31 | 579 | ||||||||||||||
| Texas Pacific Land Trust |
2 | 530 | ||||||||||||||
| Voya Financial Inc. |
18 | 550 | ||||||||||||||
| Total Diversified Financial Services |
25,902 | |||||||||||||||
| Insurance — 0.9% |
||||||||||||||||
| AFLAC Inc. |
15 | 1,033 | ||||||||||||||
| Alleghany Corp. |
1 | 516 | * | |||||||||||||
| Allied World Assurance Co. Holdings AG |
8 | 344 | ||||||||||||||
| Allstate Corp. |
16 | 1,086 | ||||||||||||||
| American Financial Group Inc. |
4 | 298 | ||||||||||||||
| American International Group Inc. |
42 | 2,591 | ||||||||||||||
| Aon PLC |
10 | 1,108 | ||||||||||||||
| Arch Capital Group Ltd. |
7 | 546 | * | |||||||||||||
| Arthur J. Gallagher & Co. |
7 | 338 | ||||||||||||||
| Assurant Inc. |
4 | 322 | ||||||||||||||
| Assured Guaranty Ltd. |
11 | 329 | ||||||||||||||
| Axis Capital Holdings Ltd. |
9 | 513 | ||||||||||||||
| Brown & Brown Inc. |
8 | 295 | ||||||||||||||
| Chubb Ltd. |
19 | 2,413 | ||||||||||||||
| Cincinnati Financial Corp. |
5 | 354 | ||||||||||||||
| CNO Financial Group Inc. |
22 | 332 | ||||||||||||||
| Endurance Specialty Holdings Ltd. |
5 | 460 | ||||||||||||||
| Everest Re Group Ltd. |
3 | 611 | ||||||||||||||
| First American Financial Corp. |
8 | 312 | ||||||||||||||
| FNF Group |
9 | 323 | ||||||||||||||
| Hartford Financial Services Group Inc. |
12 | 529 | ||||||||||||||
See Notes to Financial Statements.
| 22 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Insurance — continued |
||||||||||||||||
| Lincoln National Corp. |
10 | $ | 491 | |||||||||||||
| Loews Corp. |
7 | 301 | ||||||||||||||
| Marsh & McLennan Cos. Inc. |
20 | 1,268 | ||||||||||||||
| MetLife Inc. |
33 | 1,550 | ||||||||||||||
| Old Republic International Corp. |
16 | 270 | ||||||||||||||
| Principal Financial Group Inc. |
13 | 710 | ||||||||||||||
| Progressive Corp. |
23 | 725 | ||||||||||||||
| Prudential Financial Inc. |
16 | 1,357 | ||||||||||||||
| Reinsurance Group of America Inc. |
4 | 431 | ||||||||||||||
| RenaissanceRe Holdings Ltd. |
4 | 497 | ||||||||||||||
| Torchmark Corp. |
5 | 317 | ||||||||||||||
| Travelers Cos. Inc. |
12 | 1,298 | ||||||||||||||
| Unum Group |
16 | 566 | ||||||||||||||
| W.R. Berkley Corp. |
5 | 286 | ||||||||||||||
| Willis Towers Watson PLC |
5 | 629 | ||||||||||||||
| XL Group Ltd. |
15 | 520 | ||||||||||||||
| Total Insurance |
25,869 | |||||||||||||||
| Mortgage Real Estate Investment (REITs) — 0.2% |
||||||||||||||||
| AGNC Investment Corp. |
26 | 522 | ||||||||||||||
| Annaly Capital Management Inc. |
94 | 974 | ||||||||||||||
| Anworth Mortgage Asset Corp. |
108 | 530 | ||||||||||||||
| Blackstone Mortgage Trust Inc., Class A Shares |
11 | 332 | ||||||||||||||
| Chimera Investment Corp. |
20 | 313 | ||||||||||||||
| CYS Investments Inc. |
41 | 354 | ||||||||||||||
| Dynex Capital Inc. |
105 | 721 | ||||||||||||||
| Invesco Mortgage Capital Inc. |
23 | 343 | ||||||||||||||
| New Residential Investment Corp. |
28 | 391 | ||||||||||||||
| Starwood Property Trust Inc. |
21 | 467 | ||||||||||||||
| Two Harbors Investment Corp. |
36 | 300 | ||||||||||||||
| Total Mortgage Real Estate Investment (REITs) |
5,247 | |||||||||||||||
| Thrifts & Mortgage Finance — 1.1% |
||||||||||||||||
| Astoria Financial Corp. |
63 | 922 | ||||||||||||||
| Bank Mutual Corp. |
48 | 374 | ||||||||||||||
| Beneficial Bancorp Inc. |
65 | 942 | ||||||||||||||
| BofI Holding Inc. |
41 | 764 | * | |||||||||||||
| Capitol Federal Financial Inc. |
84 | 1,232 | ||||||||||||||
| Dime Community Bancshares Inc. |
23 | 373 | ||||||||||||||
| Essent Group Ltd. |
48 | 1,269 | * | |||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 23 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Thrifts & Mortgage Finance — continued |
||||||||||||||||
| EverBank Financial Corp. |
53 | $ | 1,023 | |||||||||||||
| Federal Agricultural Mortgage Corp. (FAMC), Class C Shares |
10 | 408 | ||||||||||||||
| Flagstar Bancorp Inc. |
27 | 741 | * | |||||||||||||
| HomeStreet Inc. |
25 | 689 | * | |||||||||||||
| Kearny Financial Corp. |
74 | 1,032 | ||||||||||||||
| LendingTree Inc. |
6 | 479 | * | |||||||||||||
| Meridian Bancorp Inc. |
49 | 782 | ||||||||||||||
| Meta Financial Group Inc. |
8 | 586 | ||||||||||||||
| MGIC Investment Corp. |
251 | 2,048 | * | |||||||||||||
| Nationstar Mortgage Holdings Inc. |
28 | 423 | * | |||||||||||||
| New York Community Bancorp Inc. |
321 | 4,610 | ||||||||||||||
| NMI Holdings Inc., Class A Shares |
88 | 673 | * | |||||||||||||
| Northfield Bancorp Inc. |
47 | 773 | ||||||||||||||
| Northwest Bancshares Inc. |
65 | 1,023 | ||||||||||||||
| Ocwen Financial Corp. |
175 | 747 | * | |||||||||||||
| Oritani Financial Corp. |
21 | 329 | ||||||||||||||
| PHH Corp. |
47 | 682 | * | |||||||||||||
| Provident Financial Services Inc. |
41 | 930 | ||||||||||||||
| Radian Group Inc. |
145 | 1,971 | ||||||||||||||
| TFS Financial Corp. |
48 | 855 | ||||||||||||||
| United Financial Bancorp Inc. |
28 | 412 | ||||||||||||||
| Walker & Dunlop Inc. |
23 | 554 | * | |||||||||||||
| Washington Federal Inc. |
63 | 1,717 | ||||||||||||||
| Waterstone Financial Inc. |
24 | 407 | ||||||||||||||
| WSFS Financial Corp. |
22 | 771 | ||||||||||||||
| Total Thrifts & Mortgage Finance |
30,541 | |||||||||||||||
| Total Financials |
175,023 | |||||||||||||||
| Health Care — 11.9% | ||||||||||||||||
| Biotechnology — 1.9% |
||||||||||||||||
| AbbVie Inc. |
144 | 8,032 | ||||||||||||||
| ACADIA Pharmaceuticals Inc. |
9 | 210 | * | |||||||||||||
| Alexion Pharmaceuticals Inc. |
18 | 2,349 | * | |||||||||||||
| Alkermes PLC |
10 | 504 | * | |||||||||||||
| Alnylam Pharmaceuticals Inc. |
8 | 285 | * | |||||||||||||
| Amgen Inc. |
65 | 9,175 | ||||||||||||||
| Biogen Inc. |
20 | 5,604 | * | |||||||||||||
| BioMarin Pharmaceutical Inc. |
19 | 1,530 | * | |||||||||||||
| Bluebird Bio Inc. |
7 | 334 | * | |||||||||||||
See Notes to Financial Statements.
| 24 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Biotechnology — continued |
||||||||||||||||
| Celgene Corp. |
71 | $ | 7,255 | * | ||||||||||||
| Cepheid Inc. |
10 | 529 | * | |||||||||||||
| Gilead Sciences Inc. |
116 | 8,541 | ||||||||||||||
| Incyte Corp. |
14 | 1,218 | * | |||||||||||||
| Intercept Pharmaceuticals Inc. |
2 | 248 | * | |||||||||||||
| Ionis Pharmaceuticals Inc. |
10 | 260 | * | |||||||||||||
| Kite Pharma Inc. |
7 | 310 | * | |||||||||||||
| Ligand Pharmaceuticals Inc. |
3 | 287 | * | |||||||||||||
| Neurocrine Biosciences Inc. |
9 | 394 | * | |||||||||||||
| OPKO Health Inc. |
34 | 320 | * | |||||||||||||
| Regeneron Pharmaceuticals Inc. |
6 | 2,070 | * | |||||||||||||
| Sarepta Therapeutics Inc. |
8 | 314 | * | |||||||||||||
| Seattle Genetics Inc. |
11 | 569 | * | |||||||||||||
| Tesaro Inc. |
6 | 725 | * | |||||||||||||
| Ultragenyx Pharmaceutical Inc. |
7 | 413 | * | |||||||||||||
| United Therapeutics Corp. |
5 | 600 | * | |||||||||||||
| Vertex Pharmaceuticals Inc. |
20 | 1,517 | * | |||||||||||||
| Total Biotechnology |
53,593 | |||||||||||||||
| Health Care Equipment & Supplies — 2.1% |
||||||||||||||||
| Abbott Laboratories |
142 | 5,572 | ||||||||||||||
| ABIOMED Inc. |
4 | 420 | * | |||||||||||||
| Alere Inc. |
7 | 313 | * | |||||||||||||
| Align Technology Inc. |
6 | 515 | * | |||||||||||||
| Baxter International Inc. |
49 | 2,332 | ||||||||||||||
| Becton, Dickinson & Co. |
22 | 3,694 | ||||||||||||||
| Boston Scientific Corp. |
137 | 3,014 | * | |||||||||||||
| C.R. Bard Inc. |
7 | 1,517 | ||||||||||||||
| Cantel Medical Corp. |
5 | 356 | ||||||||||||||
| Cooper Cos. Inc. |
4 | 704 | ||||||||||||||
| Cynosure Inc., Class A Shares |
6 | 256 | * | |||||||||||||
| Danaher Corp. |
47 | 3,692 | ||||||||||||||
| DENTSPLY SIRONA Inc. |
24 | 1,382 | ||||||||||||||
| DexCom Inc. |
7 | 548 | * | |||||||||||||
| Edwards Lifesciences Corp. |
22 | 2,095 | * | |||||||||||||
| Globus Medical Inc., Class A Shares |
15 | 332 | * | |||||||||||||
| Halyard Health Inc. |
11 | 356 | * | |||||||||||||
| Hill-Rom Holdings Inc. |
6 | 332 | ||||||||||||||
| Hologic Inc. |
26 | 936 | * | |||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 25 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Health Care Equipment & Supplies — continued |
||||||||||||||||
| IDEXX Laboratories Inc. |
8 | $ | 857 | * | ||||||||||||
| Insulet Corp. |
13 | 483 | * | |||||||||||||
| Integra LifeSciences Holdings Corp. |
4 | 318 | * | |||||||||||||
| Intuitive Surgical Inc. |
4 | 2,688 | * | |||||||||||||
| LivaNova PLC |
9 | 510 | * | |||||||||||||
| Masimo Corp. |
7 | 385 | * | |||||||||||||
| Medtronic PLC |
133 | 10,909 | ||||||||||||||
| Nevro Corp. |
4 | 368 | * | |||||||||||||
| NuVasive Inc. |
5 | 299 | * | |||||||||||||
| NxStage Medical Inc. |
14 | 318 | * | |||||||||||||
| Penumbra Inc. |
5 | 330 | * | |||||||||||||
| ResMed Inc. |
15 | 896 | ||||||||||||||
| St. Jude Medical Inc. |
29 | 2,257 | ||||||||||||||
| STERIS PLC |
8 | 535 | ||||||||||||||
| Stryker Corp. |
35 | 4,037 | ||||||||||||||
| Teleflex Inc. |
4 | 572 | ||||||||||||||
| Varian Medical Systems Inc. |
8 | 726 | * | |||||||||||||
| West Pharmaceutical Services Inc. |
6 | 456 | ||||||||||||||
| Wright Medical Group NV |
16 | 351 | * | |||||||||||||
| Zimmer Biomet Holdings Inc. |
19 | 2,003 | ||||||||||||||
| Total Health Care Equipment & Supplies |
57,664 | |||||||||||||||
| Health Care Providers & Services — 0.9% |
||||||||||||||||
| Acadia Healthcare Co. Inc. |
7 | 252 | * | |||||||||||||
| Aetna Inc. |
17 | 1,825 | ||||||||||||||
| AmerisourceBergen Corp. |
10 | 703 | ||||||||||||||
| Anthem Inc. |
12 | 1,462 | ||||||||||||||
| Brookdale Senior Living Inc. |
24 | 346 | * | |||||||||||||
| Cardinal Health Inc. |
17 | 1,168 | ||||||||||||||
| Centene Corp. |
8 | 500 | * | |||||||||||||
| CIGNA Corp. |
12 | 1,426 | ||||||||||||||
| DaVita Inc. |
8 | 469 | * | |||||||||||||
| Envision Healthcare Holdings Inc. |
14 | 277 | * | |||||||||||||
| Express Scripts Holding Co. |
32 | 2,157 | * | |||||||||||||
| HCA Holdings Inc. |
15 | 1,148 | * | |||||||||||||
| HealthSouth Corp. |
8 | 321 | ||||||||||||||
| Henry Schein Inc. |
4 | 597 | * | |||||||||||||
| Humana Inc. |
7 | 1,201 | ||||||||||||||
| Laboratory Corporation of America Holdings |
5 | 627 | * | |||||||||||||
See Notes to Financial Statements.
| 26 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Health Care Providers & Services — continued |
||||||||||||||||
| LifePoint Health Inc. |
6 | $ | 359 | * | ||||||||||||
| McKesson Corp. |
11 | 1,399 | ||||||||||||||
| Patterson Cos. Inc. |
6 | 256 | ||||||||||||||
| Quest Diagnostics Inc. |
7 | 570 | ||||||||||||||
| Team Health Holdings Inc. |
9 | 385 | * | |||||||||||||
| UnitedHealth Group Inc. |
47 | 6,642 | ||||||||||||||
| Universal Health Services Inc., Class B Shares |
4 | 483 | ||||||||||||||
| VCA Inc. |
6 | 369 | * | |||||||||||||
| WellCare Health Plans Inc. |
4 | 454 | * | |||||||||||||
| Total Health Care Providers & Services |
25,396 | |||||||||||||||
| Health Care Technology — 1.7% |
||||||||||||||||
| Allscripts Healthcare Solutions Inc. |
237 | 2,846 | * | |||||||||||||
| athenahealth Inc. |
48 | 4,959 | * | |||||||||||||
| Castlight Health Inc., Class B Shares |
73 | 318 | * | |||||||||||||
| Cerner Corp. |
377 | 22,085 | * | |||||||||||||
| Computer Programs & Systems Inc. |
12 | 313 | ||||||||||||||
| Evolent Health Inc., Class A Shares |
22 | 463 | * | |||||||||||||
| HealthStream Inc. |
27 | 728 | * | |||||||||||||
| HMS Holdings Corp. |
109 | 2,297 | * | |||||||||||||
| Inovalon Holdings Inc., Class A Shares |
74 | 1,007 | * | |||||||||||||
| Medidata Solutions Inc. |
69 | 3,311 | * | |||||||||||||
| Omnicell Inc. |
47 | 1,533 | * | |||||||||||||
| Quality Systems Inc. |
66 | 851 | ||||||||||||||
| Veeva Systems Inc., Class A Shares |
113 | 4,390 | * | |||||||||||||
| Vocera Communications Inc. |
31 | 570 | * | |||||||||||||
| Total Health Care Technology |
45,671 | |||||||||||||||
| Life Sciences Tools & Services — 2.2% |
||||||||||||||||
| Accelerate Diagnostics Inc. |
18 | 382 | * | |||||||||||||
| Agilent Technologies Inc. |
115 | 5,011 | ||||||||||||||
| Albany Molecular Research Inc. |
28 | 436 | * | |||||||||||||
| Bio-Rad Laboratories Inc., Class A Shares |
7 | 1,107 | * | |||||||||||||
| Bio-Techne Corp. |
13 | 1,352 | ||||||||||||||
| Bruker Corp. |
42 | 861 | ||||||||||||||
| Cambrex Corp. |
11 | 443 | * | |||||||||||||
| Charles River Laboratories International Inc. |
17 | 1,290 | * | |||||||||||||
| Fluidigm Corp. |
41 | 190 | * | |||||||||||||
| Illumina Inc. |
53 | 7,215 | * | |||||||||||||
| INC Research Holdings Inc., Class A Shares |
25 | 1,142 | * | |||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 27 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Life Sciences Tools & Services — continued |
||||||||||||||||
| Luminex Corp. |
14 | $ | 292 | * | ||||||||||||
| Mettler-Toledo International Inc. |
9 | 3,637 | * | |||||||||||||
| NeoGenomics Inc. |
47 | 379 | * | |||||||||||||
| Pacific Biosciences of California Inc. |
51 | 433 | * | |||||||||||||
| PAREXEL International Corp. |
16 | 932 | * | |||||||||||||
| PerkinElmer Inc. |
37 | 1,883 | ||||||||||||||
| PRA Health Sciences Inc. |
12 | 639 | * | |||||||||||||
| Quintiles IMS Holdings Inc. |
109 | 7,820 | * | |||||||||||||
| Thermo Fisher Scientific Inc. |
143 | 21,025 | ||||||||||||||
| VWR Corp. |
26 | 715 | * | |||||||||||||
| Waters Corp. |
29 | 4,035 | * | |||||||||||||
| Total Life Sciences Tools & Services |
61,219 | |||||||||||||||
| Pharmaceuticals — 3.1% |
||||||||||||||||
| Allergan PLC |
34 | 7,104 | * | |||||||||||||
| Bristol-Myers Squibb Co. |
144 | 7,331 | ||||||||||||||
| Catalent Inc. |
17 | 388 | * | |||||||||||||
| Dyax Corp., Contingent Value Rights |
15 | 0 | *(a)(b)(c) | |||||||||||||
| Eli Lilly & Co. |
81 | 5,981 | ||||||||||||||
| Endo International PLC |
30 | 563 | * | |||||||||||||
| Horizon Pharma PLC |
23 | 385 | * | |||||||||||||
| Jazz Pharmaceuticals PLC |
5 | 547 | * | |||||||||||||
| Johnson & Johnson |
224 | 25,982 | ||||||||||||||
| Mallinckrodt PLC |
9 | 533 | * | |||||||||||||
| Medicines Co. |
11 | 362 | * | |||||||||||||
| Merck & Co. Inc. |
234 | 13,740 | ||||||||||||||
| Mylan NV |
47 | 1,715 | * | |||||||||||||
| Nektar Therapeutics |
26 | 322 | * | |||||||||||||
| Perrigo Co. PLC |
11 | 915 | ||||||||||||||
| Pfizer Inc. |
512 | 16,236 | ||||||||||||||
| Prestige Brands Holdings Inc. |
6 | 272 | * | |||||||||||||
| Zoetis Inc. |
36 | 1,721 | ||||||||||||||
| Total Pharmaceuticals |
84,097 | |||||||||||||||
| Total Health Care |
327,640 | |||||||||||||||
| Industrials — 12.8% | ||||||||||||||||
| Aerospace & Defense — 1.1% |
||||||||||||||||
| Alcoa Inc. |
148 | 4,250 | ||||||||||||||
| BE Aerospace Inc. |
7 | 417 | ||||||||||||||
| Boeing Co. |
39 | 5,555 | ||||||||||||||
See Notes to Financial Statements.
| 28 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Aerospace & Defense — continued |
||||||||||||||||
| BWX Technologies Inc. |
8 | $ | 314 | |||||||||||||
| General Dynamics Corp. |
14 | 2,110 | ||||||||||||||
| Hexcel Corp. |
11 | 500 | ||||||||||||||
| Huntington Ingalls Industries Inc. |
2 | 323 | ||||||||||||||
| L-3 Communications Holdings Inc. |
3 | 411 | ||||||||||||||
| Lockheed Martin Corp. |
15 | 3,696 | ||||||||||||||
| Northrop Grumman Corp. |
11 | 2,519 | ||||||||||||||
| Orbital ATK Inc. |
4 | 297 | ||||||||||||||
| Raytheon Co. |
16 | 2,186 | ||||||||||||||
| Rockwell Collins Inc. |
8 | 675 | ||||||||||||||
| Spirit AeroSystems Holdings Inc., Class A Shares |
11 | 554 | * | |||||||||||||
| Textron Inc. |
28 | 1,122 | ||||||||||||||
| TransDigm Group Inc. |
3 | 817 | ||||||||||||||
| United Technologies Corp. |
41 | 4,190 | ||||||||||||||
| Total Aerospace & Defense |
29,936 | |||||||||||||||
| Air Freight & Logistics — 1.0% |
||||||||||||||||
| C.H. Robinson Worldwide Inc. |
27 | 1,839 | ||||||||||||||
| Expeditors International of Washington Inc. |
34 | 1,750 | ||||||||||||||
| FedEx Corp. |
51 | 8,890 | ||||||||||||||
| Forward Air Corp. |
7 | 289 | ||||||||||||||
| Hub Group Inc., Class A Shares |
8 | 292 | * | |||||||||||||
| United Parcel Service Inc., Class B Shares |
135 | 14,548 | ||||||||||||||
| XPO Logistics Inc. |
24 | 790 | * | |||||||||||||
| Total Air Freight & Logistics |
28,398 | |||||||||||||||
| Building Products — 1.4% |
||||||||||||||||
| AAON Inc. |
20 | 599 | ||||||||||||||
| Advanced Drainage Systems Inc. |
15 | 287 | ||||||||||||||
| Allegion PLC |
38 | 2,426 | ||||||||||||||
| American Woodmark Corp. |
6 | 448 | * | |||||||||||||
| AO Smith Corp. |
60 | 2,710 | ||||||||||||||
| Apogee Enterprises Inc. |
14 | 570 | ||||||||||||||
| Armstrong World Industries Inc. |
19 | 712 | * | |||||||||||||
| Builders FirstSource Inc. |
47 | 454 | * | |||||||||||||
| Continental Building Products Inc. |
15 | 307 | * | |||||||||||||
| CSW Industrials Inc. |
9 | 279 | * | |||||||||||||
| Fortune Brands Home & Security Inc. |
62 | 3,387 | ||||||||||||||
| Gibraltar Industries Inc. |
13 | 506 | * | |||||||||||||
| Griffon Corp. |
25 | 417 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 29 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Building Products — continued |
||||||||||||||||
| Insteel Industries Inc. |
14 | $ | 377 | |||||||||||||
| Johnson Controls International PLC |
240 | 9,677 | ||||||||||||||
| Lennox International Inc. |
15 | 2,188 | ||||||||||||||
| Masco Corp. |
135 | 4,169 | ||||||||||||||
| Masonite International Corp. |
12 | 683 | * | |||||||||||||
| NCI Building Systems Inc. |
22 | 317 | * | |||||||||||||
| Owens Corning |
45 | 2,195 | ||||||||||||||
| Patrick Industries Inc. |
8 | 459 | * | |||||||||||||
| PGT Inc. |
33 | 323 | * | |||||||||||||
| Quanex Building Products Corp. |
23 | 375 | ||||||||||||||
| Simpson Manufacturing Co. Inc. |
17 | 728 | ||||||||||||||
| Trex Co. Inc. |
14 | 753 | * | |||||||||||||
| Universal Forest Products Inc. |
9 | 774 | ||||||||||||||
| USG Corp. |
38 | 957 | * | |||||||||||||
| Total Building Products |
37,077 | |||||||||||||||
| Commercial Services & Supplies — 0.9% |
||||||||||||||||
| ABM Industries Inc. |
9 | 352 | ||||||||||||||
| ACCO Brands Corp. |
40 | 444 | * | |||||||||||||
| Brady Corp., Class A Shares |
11 | 364 | ||||||||||||||
| Brink’s Co. |
17 | 672 | ||||||||||||||
| Cintas Corp. |
14 | 1,493 | ||||||||||||||
| Clean Harbors Inc. |
11 | 521 | * | |||||||||||||
| Copart Inc. |
16 | 840 | * | |||||||||||||
| Deluxe Corp. |
7 | 428 | ||||||||||||||
| Ennis Inc. |
18 | 264 | ||||||||||||||
| G & K Services Inc., Class A Shares |
4 | 379 | ||||||||||||||
| Healthcare Services Group Inc. |
9 | 333 | ||||||||||||||
| Herman Miller Inc. |
16 | 445 | ||||||||||||||
| HNI Corp. |
8 | 325 | ||||||||||||||
| Interface Inc. |
30 | 475 | ||||||||||||||
| KAR Auction Services Inc. |
24 | 1,022 | ||||||||||||||
| Knoll Inc. |
16 | 346 | ||||||||||||||
| LSC Communications Inc. |
5 | 121 | * | |||||||||||||
| Matthews International Corp., Class A Shares |
10 | 599 | ||||||||||||||
| McGrath RentCorp |
11 | 331 | ||||||||||||||
| Mobile Mini Inc. |
10 | 254 | ||||||||||||||
| MSA Safety Inc. |
6 | 350 | ||||||||||||||
| Multi-Color Corp. |
6 | 390 | ||||||||||||||
See Notes to Financial Statements.
| 30 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Commercial Services & Supplies — continued |
||||||||||||||||
| Pitney Bowes Inc. |
28 | $ | 500 | |||||||||||||
| Quad Graphics Inc. |
13 | 309 | ||||||||||||||
| R.R. Donnelley & Sons Co. |
14 | 249 | ||||||||||||||
| Republic Services Inc. |
40 | 2,105 | ||||||||||||||
| Rollins Inc. |
12 | 370 | ||||||||||||||
| Steelcase Inc., Class A Shares |
21 | 280 | ||||||||||||||
| Stericycle Inc. |
15 | 1,201 | * | |||||||||||||
| Team Inc. |
15 | 461 | * | |||||||||||||
| Tetra Technology Inc. |
10 | 384 | ||||||||||||||
| UniFirst Corp. |
3 | 367 | ||||||||||||||
| US Ecology Inc. |
7 | 296 | ||||||||||||||
| Viad Corp. |
9 | 373 | ||||||||||||||
| Waste Connections Inc. |
33 | 2,482 | ||||||||||||||
| Waste Management Inc. |
80 | 5,253 | ||||||||||||||
| West Corp. |
23 | 454 | ||||||||||||||
| Total Commercial Services & Supplies |
25,832 | |||||||||||||||
| Construction & Engineering — 1.3% |
||||||||||||||||
| AECOM |
121 | 3,370 | * | |||||||||||||
| Aegion Corp. |
28 | 518 | * | |||||||||||||
| Argan Inc. |
10 | 569 | ||||||||||||||
| Chicago Bridge & Iron Co. NV |
79 | 2,530 | ||||||||||||||
| Comfort Systems USA Inc. |
30 | 865 | ||||||||||||||
| Dycom Industries Inc. |
25 | 1,923 | * | |||||||||||||
| EMCOR Group Inc. |
50 | 3,023 | ||||||||||||||
| Fluor Corp. |
106 | 5,511 | ||||||||||||||
| Granite Construction Inc. |
30 | 1,475 | ||||||||||||||
| Jacobs Engineering Group Inc. |
94 | 4,849 | * | |||||||||||||
| KBR Inc. |
113 | 1,674 | ||||||||||||||
| MasTec Inc. |
51 | 1,456 | * | |||||||||||||
| MYR Group Inc. |
17 | 507 | * | |||||||||||||
| Primoris Services Corp. |
28 | 561 | ||||||||||||||
| Quanta Services Inc. |
122 | 3,507 | * | |||||||||||||
| Tutor Perini Corp. |
30 | 571 | * | |||||||||||||
| Valmont Industries Inc. |
15 | 1,919 | ||||||||||||||
| Total Construction & Engineering |
34,828 | |||||||||||||||
| Electrical Equipment — 1.2% |
||||||||||||||||
| Acuity Brands Inc. |
11 | 2,459 | ||||||||||||||
| AMETEK Inc. |
60 | 2,646 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 31 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Electrical Equipment — continued |
||||||||||||||||
| AZZ Inc. |
7 | $ | 373 | |||||||||||||
| Babcock & Wilcox Enterprises Inc. |
24 | 378 | * | |||||||||||||
| Eaton Corp. PLC |
124 | 7,907 | ||||||||||||||
| Emerson Electric Co. |
174 | 8,818 | ||||||||||||||
| Encore Wire Corp. |
13 | 444 | ||||||||||||||
| EnerSys |
11 | 716 | ||||||||||||||
| Generac Holdings Inc. |
17 | 648 | * | |||||||||||||
| General Cable Corp. |
29 | 406 | ||||||||||||||
| Hubbell Inc. |
15 | 1,568 | ||||||||||||||
| Regal Beloit Corp. |
10 | 591 | ||||||||||||||
| Rockwell Automation Inc. |
35 | 4,190 | ||||||||||||||
| Sensata Technologies Holding NV |
46 | 1,644 | * | |||||||||||||
| SolarCity Corp. |
38 | 745 | * | |||||||||||||
| Thermon Group Holdings Inc. |
18 | 330 | * | |||||||||||||
| Total Electrical Equipment |
33,863 | |||||||||||||||
| Industrial Conglomerates — 1.0% |
||||||||||||||||
| 3M Co. |
35 | 5,785 | ||||||||||||||
| Carlisle Cos. Inc. |
3 | 315 | ||||||||||||||
| General Electric Co. |
532 | 15,481 | ||||||||||||||
| Honeywell International Inc. |
38 | 4,168 | ||||||||||||||
| Roper Technologies Inc. |
6 | 1,040 | ||||||||||||||
| Total Industrial Conglomerates |
26,789 | |||||||||||||||
| Machinery — 1.3% |
||||||||||||||||
| AGCO Corp. |
6 | 306 | ||||||||||||||
| Allison Transmission Holdings Inc. |
12 | 351 | ||||||||||||||
| Barnes Group Inc. |
15 | 598 | ||||||||||||||
| Caterpillar Inc. |
55 | 4,590 | ||||||||||||||
| CLARCOR Inc. |
6 | 373 | ||||||||||||||
| Colfax Corp. |
12 | 381 | * | |||||||||||||
| Crane Co. |
6 | 408 | ||||||||||||||
| Cummins Inc. |
15 | 1,917 | ||||||||||||||
| Deere & Co. |
25 | 2,207 | ||||||||||||||
| Donaldson Co. Inc. |
10 | 365 | ||||||||||||||
| Dover Corp. |
13 | 870 | ||||||||||||||
| ESCO Technologies Inc. |
8 | 356 | ||||||||||||||
| Flowserve Corp. |
11 | 466 | ||||||||||||||
| Fortive Corp. |
18 | 919 | ||||||||||||||
| Franklin Electric Co. Inc. |
10 | 365 | ||||||||||||||
See Notes to Financial Statements.
| 32 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Machinery — continued |
||||||||||||||||
| Graco Inc. |
5 | $ | 374 | |||||||||||||
| IDEX Corp. |
6 | 519 | ||||||||||||||
| Illinois Tool Works Inc. |
29 | 3,294 | ||||||||||||||
| Ingersoll-Rand PLC |
24 | 1,615 | ||||||||||||||
| ITT Inc. |
14 | 493 | ||||||||||||||
| John Bean Technologies Corp. |
6 | 479 | ||||||||||||||
| Kennametal Inc. |
16 | 453 | ||||||||||||||
| Lincoln Electric Holdings Inc. |
5 | 329 | ||||||||||||||
| Manitowoc Foodservice Inc. |
20 | 302 | * | |||||||||||||
| Middleby Corp. |
5 | 561 | * | |||||||||||||
| Mueller Water Products Inc., Class A Shares |
35 | 431 | ||||||||||||||
| Nordson Corp. |
5 | 501 | ||||||||||||||
| Oshkosh Corp. |
7 | 375 | ||||||||||||||
| PACCAR Inc. |
31 | 1,703 | ||||||||||||||
| Parker Hannifin Corp. |
12 | 1,473 | ||||||||||||||
| Pentair PLC |
16 | 882 | ||||||||||||||
| Proto Labs Inc. |
5 | 224 | * | |||||||||||||
| RBC Bearings Inc. |
4 | 285 | * | |||||||||||||
| Rexnord Corp. |
17 | 338 | * | |||||||||||||
| Snap-on Inc. |
5 | 770 | ||||||||||||||
| Standex International Corp. |
4 | 306 | ||||||||||||||
| Stanley Black & Decker Inc. |
14 | 1,594 | ||||||||||||||
| Terex Corp. |
16 | 382 | ||||||||||||||
| Timken Co. |
10 | 331 | ||||||||||||||
| Toro Co. |
8 | 383 | ||||||||||||||
| Trinity Industries Inc. |
25 | 534 | ||||||||||||||
| WABCO Holdings Inc. |
5 | 492 | * | |||||||||||||
| Wabtec Corp. |
9 | 696 | ||||||||||||||
| Watts Water Technologies Inc., Class A Shares |
6 | 360 | ||||||||||||||
| Woodward Inc. |
6 | 354 | ||||||||||||||
| Xylem Inc. |
15 | 725 | ||||||||||||||
| Total Machinery |
36,030 | |||||||||||||||
| Professional Services — 1.1% |
||||||||||||||||
| Advisory Board Co. |
17 | 677 | * | |||||||||||||
| CBIZ Inc. |
30 | 332 | * | |||||||||||||
| CEB Inc. |
11 | 535 | ||||||||||||||
| Dun & Bradstreet Corp. |
10 | 1,249 | ||||||||||||||
| Equifax Inc. |
33 | 4,091 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 33 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Professional Services — continued |
||||||||||||||||
| Exponent Inc. |
6 | $ | 344 | |||||||||||||
| FTI Consulting Inc. |
13 | 507 | * | |||||||||||||
| Huron Consulting Group Inc. |
5 | 280 | * | |||||||||||||
| ICF International Inc. |
8 | 371 | * | |||||||||||||
| IHS Markit Ltd. |
103 | 3,789 | * | |||||||||||||
| Insperity Inc. |
6 | 451 | ||||||||||||||
| Kelly Services Inc., Class A Shares |
19 | 356 | ||||||||||||||
| Kforce Inc. |
21 | 364 | ||||||||||||||
| Korn/Ferry International |
20 | 408 | ||||||||||||||
| Manpowergroup Inc. |
18 | 1,382 | ||||||||||||||
| Navigant Consulting Inc. |
18 | 421 | * | |||||||||||||
| Nielsen Holdings PLC |
101 | 4,547 | ||||||||||||||
| On Assignment Inc. |
15 | 516 | * | |||||||||||||
| Resources Connection Inc. |
33 | 490 | ||||||||||||||
| Robert Half International Inc. |
38 | 1,422 | ||||||||||||||
| RPX Corp. |
48 | 468 | * | |||||||||||||
| TransUnion |
18 | 562 | * | |||||||||||||
| TriNet Group Inc. |
18 | 338 | * | |||||||||||||
| TrueBlue Inc. |
21 | 368 | * | |||||||||||||
| Verisk Analytics Inc. |
45 | 3,670 | * | |||||||||||||
| WageWorks Inc. |
11 | 648 | * | |||||||||||||
| Total Professional Services |
28,586 | |||||||||||||||
| Road & Rail — 1.3% |
||||||||||||||||
| AMERCO |
2 | 645 | ||||||||||||||
| Avis Budget Group Inc. |
18 | 582 | * | |||||||||||||
| CSX Corp. |
196 | 5,980 | ||||||||||||||
| Genesee & Wyoming Inc., Class A Shares |
10 | 679 | * | |||||||||||||
| Heartland Express Inc. |
17 | 313 | ||||||||||||||
| Hertz Global Holdings Inc. |
13 | 431 | * | |||||||||||||
| J.B. Hunt Transport Services Inc. |
17 | 1,387 | ||||||||||||||
| Kansas City Southern |
22 | 1,931 | ||||||||||||||
| Knight Transportation Inc. |
11 | 322 | ||||||||||||||
| Landstar System Inc. |
7 | 498 | ||||||||||||||
| Norfolk Southern Corp. |
60 | 5,580 | ||||||||||||||
| Old Dominion Freight Line Inc. |
11 | 821 | * | |||||||||||||
| Ryder System Inc. |
9 | 625 | ||||||||||||||
| Saia Inc. |
15 | 535 | * | |||||||||||||
| Swift Transportation Co. |
22 | 492 | * | |||||||||||||
See Notes to Financial Statements.
| 34 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Road & Rail — continued |
||||||||||||||||
| Union Pacific Corp. |
170 | $ | 14,991 | |||||||||||||
| Werner Enterprises Inc. |
13 | 313 | ||||||||||||||
| Total Road & Rail |
36,125 | |||||||||||||||
| Trading Companies & Distributors — 1.2% |
||||||||||||||||
| Air Lease Corp. |
47 | 1,422 | ||||||||||||||
| Aircastle Ltd. |
32 | 658 | ||||||||||||||
| Applied Industrial Technologies Inc. |
18 | 914 | ||||||||||||||
| Beacon Roofing Supply Inc. |
24 | 1,009 | * | |||||||||||||
| BMC Stock Holdings Inc. |
27 | 447 | * | |||||||||||||
| Fastenal Co. |
145 | 5,652 | ||||||||||||||
| GATX Corp. |
20 | 875 | ||||||||||||||
| HD Supply Holdings Inc. |
98 | 3,234 | * | |||||||||||||
| Herc Holdings Inc. |
9 | 271 | * | |||||||||||||
| Kaman Corp. |
14 | 611 | ||||||||||||||
| MRC Global Inc. |
52 | 766 | * | |||||||||||||
| MSC Industrial Direct Co. Inc., Class A Shares |
23 | 1,674 | ||||||||||||||
| NOW Inc. |
54 | 1,164 | * | |||||||||||||
| Rush Enterprises Inc., Class A Shares |
16 | 420 | * | |||||||||||||
| Titan Machinery Inc. |
34 | 316 | * | |||||||||||||
| Triton International Ltd. |
35 | 422 | ||||||||||||||
| United Rentals Inc. |
45 | 3,405 | * | |||||||||||||
| Univar Inc. |
60 | 1,335 | * | |||||||||||||
| Veritiv Corp. |
10 | 540 | * | |||||||||||||
| W. W. Grainger Inc. |
29 | 6,036 | ||||||||||||||
| Watsco Inc. |
12 | 1,648 | ||||||||||||||
| WESCO International Inc. |
21 | 1,138 | * | |||||||||||||
| Total Trading Companies & Distributors |
33,957 | |||||||||||||||
| Total Industrials |
351,421 | |||||||||||||||
| Information Technology — 9.9% | ||||||||||||||||
| Communications Equipment — 1.1% |
||||||||||||||||
| Arista Networks Inc. |
5 | 424 | * | |||||||||||||
| ARRIS International PLC |
21 | 583 | * | |||||||||||||
| Brocade Communications Systems Inc. |
53 | 562 | ||||||||||||||
| Ciena Corp. |
21 | 407 | * | |||||||||||||
| Cisco Systems Inc. |
553 | 16,966 | ||||||||||||||
| CommScope Holding Co. Inc. |
17 | 519 | * | |||||||||||||
| EchoStar Corp., Class A Shares |
12 | 561 | * | |||||||||||||
| F5 Networks Inc. |
8 | 1,106 | * | |||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 35 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Communications Equipment — continued |
||||||||||||||||
| Finisar Corp. |
18 | $ | 493 | * | ||||||||||||
| Harris Corp. |
14 | 1,249 | ||||||||||||||
| Infinera Corp. |
34 | 265 | * | |||||||||||||
| InterDigital Inc. |
7 | 495 | ||||||||||||||
| Juniper Networks Inc. |
34 | 896 | ||||||||||||||
| Motorola Solutions Inc. |
18 | 1,306 | ||||||||||||||
| NETGEAR Inc. |
7 | 354 | * | |||||||||||||
| NetScout Systems Inc. |
17 | 467 | * | |||||||||||||
| Palo Alto Networks Inc. |
10 | 1,538 | * | |||||||||||||
| Plantronics Inc. |
7 | 362 | ||||||||||||||
| ViaSat Inc. |
5 | 353 | * | |||||||||||||
| Viavi Solutions Inc. |
54 | 384 | * | |||||||||||||
| Total Communications Equipment |
29,290 | |||||||||||||||
| Electronic Equipment, Instruments & Components — 1.0% |
||||||||||||||||
| Amphenol Corp., Class A Shares |
45 | 2,967 | ||||||||||||||
| Anixter International Inc. |
7 | 460 | * | |||||||||||||
| Arrow Electronics Inc. |
13 | 795 | * | |||||||||||||
| Avnet Inc. |
21 | 881 | ||||||||||||||
| Badger Meter Inc. |
10 | 322 | ||||||||||||||
| Belden Inc. |
6 | 389 | ||||||||||||||
| Benchmark Electronics Inc. |
14 | 352 | * | |||||||||||||
| CDW Corp. |
22 | 988 | ||||||||||||||
| Cognex Corp. |
10 | 516 | ||||||||||||||
| Coherent Inc. |
4 | 416 | * | |||||||||||||
| Corning Inc. |
164 | 3,724 | ||||||||||||||
| Dolby Laboratories Inc., Class A Shares |
9 | 428 | ||||||||||||||
| Fabrinet |
9 | 342 | * | |||||||||||||
| Fitbit Inc., Class A Shares |
30 | 398 | * | |||||||||||||
| Flex Ltd. |
84 | 1,192 | * | |||||||||||||
| FLIR Systems Inc. |
16 | 527 | ||||||||||||||
| II-VI Inc. |
20 | 556 | * | |||||||||||||
| Ingram Micro Inc., Class A Shares |
23 | 856 | ||||||||||||||
| IPG Photonics Corp. |
7 | 679 | * | |||||||||||||
| Itron Inc. |
8 | 431 | * | |||||||||||||
| Jabil Circuit Inc. |
20 | 427 | ||||||||||||||
| Keysight Technologies Inc. |
26 | 853 | * | |||||||||||||
| Knowles Corp. |
30 | 448 | * | |||||||||||||
| Littelfuse Inc. |
3 | 418 | ||||||||||||||
See Notes to Financial Statements.
| 36 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Electronic Equipment, Instruments & Components — continued |
||||||||||||||||
| Methode Electronics Inc. |
11 | $ | 343 | |||||||||||||
| National Instruments Corp. |
21 | 590 | ||||||||||||||
| OSI Systems Inc. |
5 | 351 | * | |||||||||||||
| Plexus Corp. |
8 | 366 | * | |||||||||||||
| Rofin-Sinar Technologies Inc. |
11 | 358 | * | |||||||||||||
| Rogers Corp. |
5 | 272 | * | |||||||||||||
| Sanmina Corp. |
14 | 387 | * | |||||||||||||
| ScanSource Inc. |
9 | 315 | * | |||||||||||||
| SYNNEX Corp. |
3 | 308 | ||||||||||||||
| TE Connectivity Ltd. |
54 | 3,395 | ||||||||||||||
| Tech Data Corp. |
4 | 308 | * | |||||||||||||
| Trimble Inc. |
37 | 1,023 | * | |||||||||||||
| Universal Display Corp. |
6 | 310 | * | |||||||||||||
| VeriFone Systems Inc. |
19 | 294 | * | |||||||||||||
| Vishay Intertechnology Inc. |
25 | 352 | ||||||||||||||
| Zebra Technologies Corp., Class A Shares |
6 | 395 | * | |||||||||||||
| Total Electronic Equipment, Instruments & Components |
28,732 | |||||||||||||||
| Internet Software & Services — 2.2% |
||||||||||||||||
| Akamai Technologies Inc. |
12 | 834 | * | |||||||||||||
| Alphabet Inc., Class A Shares |
19 | 15,388 | * | |||||||||||||
| Alphabet Inc., Class C Shares |
19 | 14,906 | * | |||||||||||||
| Cimpress NV |
4 | 333 | * | |||||||||||||
| CoStar Group Inc. |
3 | 561 | * | |||||||||||||
| eBay Inc. |
72 | 2,053 | * | |||||||||||||
| Facebook Inc., Class A Shares |
146 | 19,125 | * | |||||||||||||
| IAC/InterActiveCorp |
7 | 451 | ||||||||||||||
| j2 Global Inc. |
6 | 427 | ||||||||||||||
| LinkedIn Corp., Class A Shares |
8 | 1,517 | * | |||||||||||||
| MercadoLibre Inc. |
3 | 504 | ||||||||||||||
| Pandora Media Inc. |
23 | 261 | * | |||||||||||||
| Twitter Inc. |
38 | 682 | * | |||||||||||||
| VeriSign Inc. |
6 | 504 | * | |||||||||||||
| WebMD Health Corp. |
6 | 295 | * | |||||||||||||
| Yahoo! Inc. |
59 | 2,451 | * | |||||||||||||
| Zillow Group Inc., Class C Shares |
12 | 400 | * | |||||||||||||
| Total Internet Software & Services |
60,692 | |||||||||||||||
| IT Services — 0.9% |
||||||||||||||||
| Accenture PLC, Class A Shares |
20 | 2,325 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 37 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| IT Services — continued |
||||||||||||||||
| Alliance Data Systems Corp. |
2 | $ | 409 | * | ||||||||||||
| Automatic Data Processing Inc. |
14 | 1,219 | ||||||||||||||
| Broadridge Financial Solutions Inc. |
5 | 323 | ||||||||||||||
| Cognizant Technology Solutions Corp., Class A Shares |
20 | 1,027 | * | |||||||||||||
| Computer Sciences Corp. |
7 | 381 | ||||||||||||||
| Fidelity National Information Services Inc. |
10 | 739 | ||||||||||||||
| Fiserv Inc. |
7 | 689 | * | |||||||||||||
| FleetCor Technologies Inc. |
4 | 701 | * | |||||||||||||
| Global Payments Inc. |
5 | 363 | ||||||||||||||
| International Business Machines Corp. |
30 | 4,611 | ||||||||||||||
| Jack Henry & Associates Inc. |
4 | 324 | ||||||||||||||
| MasterCard Inc., Class A Shares |
32 | 3,425 | ||||||||||||||
| Paychex Inc. |
8 | 442 | ||||||||||||||
| PayPal Holdings Inc. |
35 | 1,458 | * | |||||||||||||
| Sabre Corp. |
18 | 465 | ||||||||||||||
| Total System Services Inc. |
6 | 299 | ||||||||||||||
| Vantiv Inc., Class A Shares |
6 | 350 | * | |||||||||||||
| Visa Inc., Class A Shares |
65 | 5,363 | ||||||||||||||
| Western Union Co. |
17 | 341 | ||||||||||||||
| Xerox Corp. |
47 | 459 | ||||||||||||||
| Total IT Services |
25,713 | |||||||||||||||
| Semiconductors & Semiconductor Equipment — 1.0% |
||||||||||||||||
| Analog Devices Inc. |
17 | 1,090 | ||||||||||||||
| Applied Materials Inc. |
41 | 1,192 | ||||||||||||||
| Broadcom Ltd. |
18 | 3,065 | ||||||||||||||
| Cypress Semiconductor Corp. |
30 | 299 | ||||||||||||||
| Intel Corp. |
206 | 7,183 | ||||||||||||||
| KLA-Tencor Corp. |
6 | 451 | ||||||||||||||
| Lam Research Corp. |
6 | 581 | ||||||||||||||
| Linear Technology Corp. |
9 | 541 | ||||||||||||||
| Marvell Technology Group Ltd. |
35 | 456 | ||||||||||||||
| Maxim Integrated Products Inc. |
10 | 396 | ||||||||||||||
| Microchip Technology Inc. |
8 | 484 | ||||||||||||||
| Micron Technology Inc. |
39 | 669 | * | |||||||||||||
| NVIDIA Corp. |
25 | 1,779 | ||||||||||||||
| ON Semiconductor Corp. |
43 | 502 | * | |||||||||||||
| Qorvo Inc. |
6 | 334 | * | |||||||||||||
| QUALCOMM Inc. |
61 | 4,192 | ||||||||||||||
See Notes to Financial Statements.
| 38 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Semiconductors & Semiconductor Equipment — continued |
||||||||||||||||
| Skyworks Solutions Inc. |
9 | $ | 692 | |||||||||||||
| Teradyne Inc. |
24 | 559 | ||||||||||||||
| Texas Instruments Inc. |
49 | 3,472 | ||||||||||||||
| Versum Materials Inc. |
7 | 159 | * | |||||||||||||
| Xilinx Inc. |
10 | 509 | ||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
28,605 | |||||||||||||||
| Software — 1.1% |
||||||||||||||||
| Activision Blizzard Inc. |
18 | 777 | ||||||||||||||
| Adobe Systems Inc. |
15 | 1,613 | * | |||||||||||||
| ANSYS Inc. |
4 | 365 | * | |||||||||||||
| Autodesk Inc. |
7 | 506 | * | |||||||||||||
| CA Inc. |
9 | 277 | ||||||||||||||
| Cadence Design Systems Inc. |
14 | 358 | * | |||||||||||||
| CDK Global Inc. |
6 | 328 | ||||||||||||||
| Citrix Systems Inc. |
4 | 339 | * | |||||||||||||
| Dell Technologies Inc., Class V Shares |
21 | 1,031 | * | |||||||||||||
| Electronic Arts Inc. |
10 | 785 | * | |||||||||||||
| Fortinet Inc. |
13 | 417 | * | |||||||||||||
| Intuit Inc. |
7 | 761 | ||||||||||||||
| Microsoft Corp. |
222 | 13,302 | ||||||||||||||
| Oracle Corp. |
93 | 3,573 | ||||||||||||||
| Red Hat Inc. |
4 | 310 | * | |||||||||||||
| Salesforce.com Inc. |
19 | 1,428 | * | |||||||||||||
| ServiceNow Inc. |
5 | 440 | * | |||||||||||||
| Splunk Inc. |
7 | 421 | * | |||||||||||||
| SS&C Technologies Holdings Inc. |
10 | 319 | ||||||||||||||
| Symantec Corp. |
15 | 375 | ||||||||||||||
| Synopsys Inc. |
6 | 356 | * | |||||||||||||
| Tyler Technologies Inc. |
2 | 321 | * | |||||||||||||
| Workday Inc., Class A Shares |
4 | 347 | * | |||||||||||||
| Total Software |
28,749 | |||||||||||||||
| Technology Hardware, Storage & Peripherals — 2.6% |
||||||||||||||||
| Apple Inc. |
526 | 59,722 | ||||||||||||||
| Hewlett Packard Enterprise Co. |
168 | 3,775 | ||||||||||||||
| HP Inc. |
161 | 2,333 | ||||||||||||||
| Lexmark International Inc., Class A Shares |
10 | 397 | ||||||||||||||
| NCR Corp. |
12 | 421 | * | |||||||||||||
| NetApp Inc. |
26 | 882 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 39 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Technology Hardware, Storage & Peripherals — continued |
||||||||||||||||
| Seagate Technology PLC |
29 | $ | 995 | |||||||||||||
| Western Digital Corp. |
27 | 1,578 | ||||||||||||||
| Total Technology Hardware, Storage & Peripherals |
70,103 | |||||||||||||||
| Total Information Technology |
271,884 | |||||||||||||||
| Materials — 4.4% | ||||||||||||||||
| Chemicals — 1.2% |
||||||||||||||||
| AdvanSix Inc. |
1 | 16 | * | |||||||||||||
| Air Products & Chemicals Inc. |
15 | 2,001 | ||||||||||||||
| Albemarle Corp. |
7 | 585 | ||||||||||||||
| Ashland Global Holdings Inc. |
4 | 447 | ||||||||||||||
| Axalta Coating Systems Ltd. |
11 | 276 | * | |||||||||||||
| Cabot Corp. |
7 | 365 | ||||||||||||||
| Celanese Corp., Series A Shares |
9 | 656 | ||||||||||||||
| CF Industries Holdings Inc. |
15 | 360 | ||||||||||||||
| Dow Chemical Co. |
80 | 4,305 | ||||||||||||||
| E.I. du Pont de Nemours & Co. |
62 | 4,265 | ||||||||||||||
| Eastman Chemical Co. |
9 | 647 | ||||||||||||||
| Ecolab Inc. |
18 | 2,055 | ||||||||||||||
| FMC Corp. |
9 | 422 | ||||||||||||||
| H.B. Fuller Co. |
8 | 337 | ||||||||||||||
| Huntsman Corp. |
28 | 475 | ||||||||||||||
| Ingevity Corp. |
9 | 373 | * | |||||||||||||
| International Flavors & Fragrances Inc. |
5 | 654 | ||||||||||||||
| LyondellBasell Industries NV, Class A Shares |
28 | 2,227 | ||||||||||||||
| Minerals Technologies Inc. |
5 | 336 | ||||||||||||||
| Monsanto Co. |
32 | 3,225 | ||||||||||||||
| Mosaic Co. |
20 | 471 | ||||||||||||||
| NewMarket Corp. |
1 | 401 | ||||||||||||||
| Olin Corp. |
16 | 351 | ||||||||||||||
| PolyOne Corp. |
10 | 292 | ||||||||||||||
| PPG Industries Inc. |
19 | 1,769 | ||||||||||||||
| Praxair Inc. |
20 | 2,341 | ||||||||||||||
| RPM International Inc. |
8 | 380 | ||||||||||||||
| Scotts Miracle-Gro Co., Class A Shares |
5 | 440 | ||||||||||||||
| Sensient Technologies Corp. |
5 | 373 | ||||||||||||||
| Sherwin-Williams Co. |
6 | 1,469 | ||||||||||||||
| Valspar Corp. |
5 | 498 | ||||||||||||||
| W.R. Grace and Co. |
4 | 268 | ||||||||||||||
| Total Chemicals |
33,080 | |||||||||||||||
See Notes to Financial Statements.
| 40 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Construction Materials — 1.0% |
||||||||||||||||
| Eagle Materials Inc. |
36 | $ | 2,915 | |||||||||||||
| Headwaters Inc. |
56 | 919 | * | |||||||||||||
| Martin Marietta Materials Inc. |
51 | 9,454 | ||||||||||||||
| Summit Materials Inc., Class A Shares |
89 | 1,668 | * | |||||||||||||
| US Concrete Inc. |
11 | 549 | * | |||||||||||||
| Vulcan Materials Co. |
111 | 12,565 | ||||||||||||||
| Total Construction Materials |
28,070 | |||||||||||||||
| Containers & Packaging — 1.0% |
||||||||||||||||
| AptarGroup Inc. |
18 | 1,286 | ||||||||||||||
| Avery Dennison Corp. |
25 | 1,745 | ||||||||||||||
| Ball Corp. |
42 | 3,237 | ||||||||||||||
| Bemis Co. Inc. |
23 | 1,121 | ||||||||||||||
| Berry Plastics Group Inc. |
35 | 1,531 | * | |||||||||||||
| Crown Holdings Inc. |
37 | 2,007 | * | |||||||||||||
| Graphic Packaging Holding Co. |
79 | 987 | ||||||||||||||
| Greif Inc., Class A Shares |
10 | 469 | ||||||||||||||
| International Paper Co. |
106 | 4,773 | ||||||||||||||
| Myers Industrials Inc. |
22 | 265 | ||||||||||||||
| Owens-Illinois Inc. |
36 | 695 | * | |||||||||||||
| Packaging Corp. of America |
26 | 2,145 | ||||||||||||||
| Sealed Air Corp. |
55 | 2,510 | ||||||||||||||
| Silgan Holdings Inc. |
10 | 510 | ||||||||||||||
| Sonoco Products Co. |
29 | 1,458 | ||||||||||||||
| WestRock Co. |
70 | 3,233 | ||||||||||||||
| Total Containers & Packaging |
27,972 | |||||||||||||||
| Metals & Mining — 1.2% |
||||||||||||||||
| AK Steel Holding Corp. |
68 | 353 | * | |||||||||||||
| Allegheny Technologies Inc. |
48 | 655 | ||||||||||||||
| Carpenter Technology Corp. |
21 | 664 | ||||||||||||||
| Cliffs Natural Resources Inc. |
91 | 502 | * | |||||||||||||
| Coeur Mining Inc. |
49 | 548 | * | |||||||||||||
| Commercial Metals Co. |
48 | 754 | ||||||||||||||
| Compass Minerals International Inc. |
14 | 1,006 | ||||||||||||||
| Freeport-McMoRan Inc. |
432 | 4,830 | ||||||||||||||
| Hecla Mining Co. |
163 | 976 | ||||||||||||||
| Kaiser Aluminum Corp. |
7 | 507 | ||||||||||||||
| Materion Corp. |
20 | 606 | ||||||||||||||
| McEwen Mining Inc. |
91 | 296 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 41 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Metals & Mining — continued |
||||||||||||||||
| Newmont Mining Corp. |
182 | $ | 6,741 | |||||||||||||
| Nucor Corp. |
109 | 5,325 | ||||||||||||||
| Reliance Steel & Aluminum Co. |
26 | 1,788 | ||||||||||||||
| Royal Gold Inc. |
23 | 1,583 | ||||||||||||||
| Schnitzer Steel Industries Inc., Class A Shares |
21 | 507 | ||||||||||||||
| Steel Dynamics Inc. |
89 | 2,444 | ||||||||||||||
| Stillwater Mining Co. |
53 | 706 | * | |||||||||||||
| SunCoke Energy Inc. |
46 | 470 | ||||||||||||||
| TimkenSteel Corp. |
39 | 400 | * | |||||||||||||
| United States Steel Corp. |
48 | 928 | ||||||||||||||
| Worthington Industries Inc. |
21 | 987 | ||||||||||||||
| Total Metals & Mining |
33,576 | |||||||||||||||
| Total Materials |
122,698 | |||||||||||||||
| Real Estate — 2.9% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) — 2.9% |
||||||||||||||||
| Acadia Realty Trust |
8 | 269 | ||||||||||||||
| Alexandria Real Estate Equities Inc. |
5 | 539 | ||||||||||||||
| American Campus Communities Inc. |
9 | 469 | ||||||||||||||
| American Homes 4 Rent, Class A Shares |
17 | 359 | ||||||||||||||
| American Tower Corp. |
39 | 4,570 | ||||||||||||||
| Apartment Investment and Management Co., Class A Shares |
12 | 529 | ||||||||||||||
| Apple Hospitality REIT Inc. |
16 | 288 | ||||||||||||||
| AvalonBay Communities Inc. |
12 | 2,054 | ||||||||||||||
| Boston Properties Inc. |
13 | 1,566 | ||||||||||||||
| Brandywine Realty Trust |
23 | 356 | ||||||||||||||
| Brixmor Property Group Inc. |
14 | 356 | ||||||||||||||
| Camden Property Trust |
7 | 570 | ||||||||||||||
| Chesapeake Lodging Trust |
12 | 261 | ||||||||||||||
| Columbia Property Trust Inc. |
13 | 274 | ||||||||||||||
| Communications Sales & Leasing Inc. |
14 | 398 | * | |||||||||||||
| Coresite Realty Corp. |
5 | 369 | ||||||||||||||
| Corporate Office Properties Trust |
12 | 320 | ||||||||||||||
| Cousins Properties Inc. |
62 | 482 | ||||||||||||||
| Crown Castle International Corp. |
30 | 2,730 | ||||||||||||||
| CubeSmart |
15 | 391 | ||||||||||||||
| CyrusOne Inc. |
8 | 357 | ||||||||||||||
| DCT Industrial Trust Inc. |
8 | 374 | ||||||||||||||
| DDR Corp. |
27 | 413 | ||||||||||||||
See Notes to Financial Statements.
| 42 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
||||||||||||||||
| DiamondRock Hospitality Co. |
51 | $ | 467 | |||||||||||||
| Digital Realty Trust Inc. |
12 | 1,121 | ||||||||||||||
| Douglas Emmett Inc. |
11 | 401 | ||||||||||||||
| Duke Realty Corp. |
30 | 784 | ||||||||||||||
| DuPont Fabros Technology Inc. |
10 | 408 | ||||||||||||||
| EastGroup Properties Inc. |
5 | 340 | ||||||||||||||
| Education Realty Trust Inc. |
7 | 298 | ||||||||||||||
| Empire State Realty Trust Inc., Class A Shares |
17 | 333 | ||||||||||||||
| EPR Properties |
5 | 364 | ||||||||||||||
| Equinix Inc. |
6 | 2,144 | ||||||||||||||
| Equity Commonwealth |
11 | 332 | * | |||||||||||||
| Equity Lifestyle Properties Inc. |
6 | 455 | ||||||||||||||
| Equity One Inc. |
10 | 285 | ||||||||||||||
| Equity Residential |
30 | 1,852 | ||||||||||||||
| Essex Property Trust Inc. |
6 | 1,285 | ||||||||||||||
| Extra Space Storage Inc. |
10 | 731 | ||||||||||||||
| Federal Realty Investment Trust |
7 | 1,017 | ||||||||||||||
| First Industrial Realty Trust Inc. |
13 | 343 | ||||||||||||||
| Forest City Realty Trust Inc., Class A Shares |
24 | 518 | ||||||||||||||
| Gaming and Leisure Properties Inc. |
19 | 624 | ||||||||||||||
| General Growth Properties Inc. |
52 | 1,297 | ||||||||||||||
| Global Net Lease Inc. |
37 | 274 | ||||||||||||||
| Government Properties Income Trust |
19 | 364 | ||||||||||||||
| Gramercy Property Trust |
39 | 360 | ||||||||||||||
| HCP Inc. |
40 | 1,370 | ||||||||||||||
| Healthcare Realty Trust Inc. |
10 | 319 | ||||||||||||||
| Healthcare Trust of America Inc., Class A Shares |
10 | 306 | ||||||||||||||
| Highwoods Properties Inc. |
7 | 347 | ||||||||||||||
| Hospitality Properties Trust |
11 | 301 | ||||||||||||||
| Host Hotels & Resorts Inc. |
69 | 1,068 | ||||||||||||||
| Hudson Pacific Properties Inc. |
10 | 336 | ||||||||||||||
| Iron Mountain Inc. |
18 | 607 | ||||||||||||||
| Kilroy Realty Corp. |
8 | 575 | ||||||||||||||
| Kimco Realty Corp. |
36 | 958 | ||||||||||||||
| Kite Realty Group Trust |
10 | 249 | ||||||||||||||
| Lamar Advertising Co., Class A Shares |
8 | 508 | ||||||||||||||
| LaSalle Hotel Properties |
20 | 475 | ||||||||||||||
| Lexington Realty Trust |
37 | 375 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 43 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
||||||||||||||||
| Liberty Property Trust |
13 | $ | 526 | |||||||||||||
| LTC Properties Inc. |
6 | 301 | ||||||||||||||
| Macerich Co. |
12 | 849 | ||||||||||||||
| Mack-Cali Realty Corp. |
13 | 334 | ||||||||||||||
| Medical Properties Trust Inc. |
23 | 321 | ||||||||||||||
| Mid-America Apartment Communities Inc. |
6 | 556 | ||||||||||||||
| Monogram Residential Trust Inc. |
31 | 327 | ||||||||||||||
| National Health Investors Inc. |
5 | 379 | ||||||||||||||
| National Retail Properties Inc. |
11 | 502 | ||||||||||||||
| New Senior Investment Group Inc. |
48 | 500 | ||||||||||||||
| OMEGA Healthcare Investors Inc. |
16 | 509 | ||||||||||||||
| Outfront Media Inc. |
15 | 323 | ||||||||||||||
| Paramount Group Inc. |
24 | 373 | ||||||||||||||
| Parkway Inc. |
7 | 126 | * | |||||||||||||
| Pebblebrook Hotel Trust |
11 | 267 | ||||||||||||||
| Physicians Realty Trust |
17 | 336 | ||||||||||||||
| Piedmont Office Realty Trust Inc., Class A Shares |
16 | 328 | ||||||||||||||
| Post Properties Inc. |
5 | 329 | ||||||||||||||
| Potlatch Corp. |
10 | 384 | ||||||||||||||
| Prologis Inc. |
48 | 2,504 | ||||||||||||||
| PS Business Parks Inc. |
3 | 329 | ||||||||||||||
| Public Storage |
14 | 2,992 | ||||||||||||||
| QTS Realty Trust Inc., Class A Shares |
6 | 276 | ||||||||||||||
| Ramco-Gershenson Properties Trust |
18 | 312 | ||||||||||||||
| Rayonier Inc. |
12 | 322 | ||||||||||||||
| Realty Income Corp. |
21 | 1,244 | ||||||||||||||
| Regency Centers Corp. |
8 | 577 | ||||||||||||||
| Retail Opportunity Investments Corp. |
16 | 322 | ||||||||||||||
| Retail Properties of America Inc., Class A Shares |
20 | 311 | ||||||||||||||
| Rexford Industrial Realty Inc. |
18 | 379 | ||||||||||||||
| RLJ Lodging Trust |
22 | 434 | ||||||||||||||
| Sabra Health Care REIT Inc. |
15 | 349 | ||||||||||||||
| Select Income REIT |
13 | 322 | ||||||||||||||
| Senior Housing Properties Trust |
21 | 447 | ||||||||||||||
| Simon Property Group Inc. |
28 | 5,207 | ||||||||||||||
| SL Green Realty Corp. |
8 | 786 | ||||||||||||||
| Spirit Realty Capital Inc. |
42 | 500 | ||||||||||||||
| STAG Industrial Inc. |
14 | 323 | ||||||||||||||
See Notes to Financial Statements.
| 44 | Legg Mason US Diversified Core ETF 2016 Annual Report |
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Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
||||||||||||||||
| STORE Capital Corp. |
10 | $ | 273 | |||||||||||||
| Summit Hotel Properties Inc. |
25 | 325 | ||||||||||||||
| Sun Communities Inc. |
4 | 308 | ||||||||||||||
| Sunstone Hotel Investors Inc. |
24 | 301 | ||||||||||||||
| Tanger Factory Outlet Centers Inc. |
8 | 278 | ||||||||||||||
| Taubman Centers Inc. |
5 | 362 | ||||||||||||||
| Terreno Realty Corp. |
13 | 339 | ||||||||||||||
| UDR Inc. |
23 | 804 | ||||||||||||||
| Urban Edge Properties |
11 | 284 | ||||||||||||||
| Ventas Inc. |
29 | 1,965 | ||||||||||||||
| VEREIT Inc. |
86 | 808 | ||||||||||||||
| Vornado Realty Trust |
15 | 1,392 | ||||||||||||||
| Washington Real Estate Investment Trust |
11 | 324 | ||||||||||||||
| Weingarten Realty Investors |
10 | 362 | ||||||||||||||
| Welltower Inc. |
32 | 2,193 | ||||||||||||||
| Weyerhaeuser Co. |
71 | 2,125 | ||||||||||||||
| WP Carey Inc. |
8 | 486 | ||||||||||||||
| Xenia Hotels & Resorts Inc. |
18 | 281 | ||||||||||||||
| Total Real Estate |
81,201 | |||||||||||||||
| Telecommunication Services — 3.9% | ||||||||||||||||
| Diversified Telecommunication Services — 3.9% |
||||||||||||||||
| AT&T Inc. |
1,392 | 51,212 | ||||||||||||||
| CenturyLink Inc. |
123 | 3,269 | ||||||||||||||
| Cincinnati Bell Inc. |
16 | 314 | * | |||||||||||||
| Cogent Communications Holdings Inc. |
11 | 406 | ||||||||||||||
| Consolidated Communications Holdings Inc. |
12 | 287 | ||||||||||||||
| Frontier Communications Corp. |
248 | 997 | ||||||||||||||
| Level 3 Communications Inc. |
68 | 3,818 | * | |||||||||||||
| ORBCOMM Inc. |
40 | 357 | * | |||||||||||||
| SBA Communications Corp., Class A Shares |
27 | 3,059 | * | |||||||||||||
| Verizon Communications Inc. |
925 | 44,493 | ||||||||||||||
| Vonage Holdings Corp. |
51 | 350 | * | |||||||||||||
| Windstream Holdings Inc. |
46 | 361 | ||||||||||||||
| Total Telecommunication Services |
108,923 | |||||||||||||||
| Utilities — 8.3% | ||||||||||||||||
| Electric Utilities — 3.3% |
||||||||||||||||
| ALLETE Inc. |
11 | 674 | ||||||||||||||
| Alliant Energy Corp. |
52 | 1,979 | ||||||||||||||
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 45 |
Table of Contents
Schedule of investments (cont’d)
October 31, 2016
Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Electric Utilities — continued |
||||||||||||||||
| American Electric Power Co. Inc. |
101 | $ | 6,549 | |||||||||||||
| Duke Energy Corp. |
140 | 11,203 | ||||||||||||||
| Edison International |
67 | 4,923 | ||||||||||||||
| El Paso Electric Co. |
10 | 462 | ||||||||||||||
| Empire District Electric Co. |
11 | 377 | ||||||||||||||
| Entergy Corp. |
39 | 2,874 | ||||||||||||||
| Eversource Energy |
67 | 3,689 | ||||||||||||||
| Exelon Corp. |
188 | 6,405 | ||||||||||||||
| FirstEnergy Corp. |
94 | 3,223 | ||||||||||||||
| Fortis Inc. |
24 | 788 | ||||||||||||||
| Great Plains Energy Inc. |
36 | 1,024 | ||||||||||||||
| Hawaiian Electric Industries Inc. |
26 | 767 | ||||||||||||||
| IDACORP Inc. |
12 | 941 | ||||||||||||||
| MGE Energy Inc. |
9 | 526 | ||||||||||||||
| NextEra Energy Inc. |
94 | 12,032 | ||||||||||||||
| OGE Energy Corp. |
48 | 1,490 | ||||||||||||||
| Otter Tail Corp. |
13 | 467 | ||||||||||||||
| PG&E Corp. |
102 | 6,336 | ||||||||||||||
| Pinnacle West Capital Corp. |
22 | 1,675 | ||||||||||||||
| PNM Resources Inc. |
20 | 657 | ||||||||||||||
| Portland General Electric Co. |
21 | 916 | ||||||||||||||
| PPL Corp. |
140 | 4,808 | ||||||||||||||
| Southern Co. |
195 | 10,056 | ||||||||||||||
| Westar Energy Inc. |
28 | 1,605 | ||||||||||||||
| Xcel Energy Inc. |
106 | 4,404 | ||||||||||||||
| Total Electric Utilities |
90,850 | |||||||||||||||
| Gas Utilities — 1.8% |
||||||||||||||||
| Atmos Energy Corp. |
124 | 9,225 | ||||||||||||||
| Chesapeake Utilities Corp. |
21 | 1,345 | ||||||||||||||
| National Fuel Gas Co. |
93 | 4,871 | ||||||||||||||
| New Jersey Resources Corp. |
105 | 3,565 | ||||||||||||||
| Northwest Natural Gas Co. |
34 | 1,999 | ||||||||||||||
| ONE Gas Inc. |
64 | 3,922 | ||||||||||||||
| South Jersey Industries Inc. |
113 | 3,351 | ||||||||||||||
| Southwest Gas Corp. |
57 | 4,130 | ||||||||||||||
| Spire Inc. |
54 | 3,391 | ||||||||||||||
| UGI Corp. |
210 | 9,721 | ||||||||||||||
| WGL Holdings Inc. |
61 | 3,847 | ||||||||||||||
| Total Gas Utilities |
49,367 | |||||||||||||||
See Notes to Financial Statements.
| 46 | Legg Mason US Diversified Core ETF 2016 Annual Report |
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Legg Mason US Diversified Core ETF
| Security | Shares | Value | ||||||||||||||
| Multi-Utilities — 3.2% |
||||||||||||||||
| Ameren Corp. |
96 | $ | 4,795 | |||||||||||||
| Avista Corp. |
23 | 952 | ||||||||||||||
| Black Hills Corp. |
19 | 1,175 | ||||||||||||||
| CenterPoint Energy Inc. |
176 | 4,013 | ||||||||||||||
| CMS Energy Corp. |
112 | 4,721 | ||||||||||||||
| Consolidated Edison Inc. |
113 | 8,537 | ||||||||||||||
| Dominion Resources Inc. |
246 | 18,499 | ||||||||||||||
| DTE Energy Co. |
71 | 6,817 | ||||||||||||||
| MDU Resources Group Inc. |
68 | 1,782 | ||||||||||||||
| NiSource Inc. |
131 | 3,047 | ||||||||||||||
| NorthWestern Corp. |
17 | 978 | ||||||||||||||
| Public Service Enterprise Group Inc. |
201 | 8,458 | ||||||||||||||
| SCANA Corp. |
54 | 3,962 | ||||||||||||||
| Sempra Energy |
96 | 10,282 | ||||||||||||||
| Unitil Corp. |
13 | 527 | ||||||||||||||
| Vectren Corp. |
30 | 1,509 | ||||||||||||||
| WEC Energy Group Inc. |
119 | 7,107 | ||||||||||||||
| Total Multi-Utilities |
87,161 | |||||||||||||||
| Total Utilities |
227,378 | |||||||||||||||
| Total Common Stocks (Cost — $2,611,045) |
2,728,177 | |||||||||||||||
| Investments In Underlying Funds — 0.4% | ||||||||||||||||
| Schwab U.S. Broad Market ETF (Cost — $9,389) |
182 | 9,319 | ||||||||||||||
| Total Investments before Short-Term Investments (Cost — $2,620,434) |
2,737,496 | |||||||||||||||
| Rate | ||||||||||||||||
| Short-Term Investments — 0.4% | ||||||||||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost — $12,101) |
0.251 | % | 12,101 | 12,101 | ||||||||||||
| Total Investments — 99.9% (Cost — $2,632,535#) |
2,749,597 | |||||||||||||||
| Other Assets in Excess of Liabilities — 0.1% |
2,347 | |||||||||||||||
| Total Net Assets — 100.0% |
$ | 2,751,944 | ||||||||||||||
| * | Non-income producing security. |
| (a) | Value is less than $1. |
| (b) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (See Note 1). |
| (c) | Illiquid security (unaudited). |
| # | Aggregate cost for federal income tax purposes is $2,633,198. |
| Abbreviations used in this schedule: | ||
| ETF | — Exchange-Traded Fund | |
| REIT | — Real Estate Investment Trust | |
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 47 |
Table of Contents
Statement of assets and liabilities
October 31, 2016
| Assets: | ||||
| Investments, at value (Cost — $2,632,535) |
$ | 2,749,597 | ||
| Dividends and interest receivable |
4,180 | |||
| Total Assets |
2,753,777 | |||
| Liabilities: | ||||
| Investment management fee payable |
705 | |||
| Payable for securities purchased |
1,128 | |||
| Total Liabilities |
1,833 | |||
| Total Net Assets | $ | 2,751,944 | ||
| Net Assets: | ||||
| Par value (Note 5) |
$ | 1 | ||
| Paid-in capital in excess of par value |
2,601,919 | |||
| Undistributed net investment income |
44,204 | |||
| Accumulated net realized loss on investments |
(11,242) | |||
| Net unrealized appreciation on investments |
117,062 | |||
| Total Net Assets | $ | 2,751,944 | ||
| Shares Outstanding | 104,000 | |||
| Net Asset Value | $26.46 | |||
See Notes to Financial Statements.
| 48 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
For the Period Ended October 31, 2016†
| Investment Income: | ||||
| Dividends |
$ | 50,494 | ||
| Interest |
2 | |||
| Less: Foreign taxes withheld |
(5) | |||
| Total Investment Income |
50,491 | |||
| Expenses: | ||||
| Investment management fee (Note 2) |
6,789 | |||
| Total Expenses |
6,789 | |||
| Net Investment Income | 43,702 | |||
| Realized and Unrealized Gain (Loss) on Investments (Notes 1 and 3): | ||||
| Net Realized Loss From Investment Transactions |
(10,740) | |||
| Change in Net Unrealized Appreciation From Investments |
117,062 | |||
| Net Gain on Investments | 106,322 | |||
| Increase in Net Assets From Operations | $ | 150,024 | ||
| † | For the period December 28, 2015 (inception date) to October 31, 2016. |
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 49 |
Table of Contents
Statement of changes in net assets
| For the Period Ended October 31, | 2016† | |||
| Operations: | ||||
| Net investment income |
$ | 43,702 | ||
| Net realized loss |
(10,740) | |||
| Change in net unrealized appreciation |
117,062 | |||
| Increase in Net Assets From Operations |
150,024 | |||
| Fund Share Transactions (Note 5): | ||||
| Net proceeds from sale of shares (100,000 shares issued) |
2,501,920 | |||
| Increase in Net Assets From Fund Share Transactions |
2,501,920 | |||
| Increase in Net Assets |
2,651,944 | |||
| Net Assets: | ||||
| Beginning of period* |
100,000 | |||
| End of period** |
$ | 2,751,944 | ||
| **Includesundistributed net investment income of: |
$44,204 | |||
| † | For the period December 28, 2015 (inception date) to October 31, 2016. |
| * | 4,000 shares issued and outstanding (4,000 shares were issued to Legg Mason, Inc. on November 24, 2015). |
See Notes to Financial Statements.
| 50 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
| For a share of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted: |
||||
| 20161,2 | ||||
| Net asset value, beginning of period | $ | 25.02 | ||
| Income from operations: | ||||
| Net investment income |
0.42 | |||
| Net realized and unrealized gain |
1.02 | |||
| Total income from operations |
1.44 | |||
| Net asset value, end of period | $ | 26.46 | ||
| Total return, at NAV3 |
5.76 | % | ||
| Net assets, end of period (000s) | $ | 2,752 | ||
| Ratios to average net assets: | ||||
| Gross expenses4 |
0.30 | % | ||
| Net expenses4 |
0.30 | |||
| Net investment income4 |
1.93 | |||
| Portfolio turnover rate5 | 22 | % | ||
| 1 | Per share amounts have been calculated using the average shares method. |
| 2 | For the period December 28, 2015 (inception date) to October 31, 2016. |
| 3 | Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
| 4 | Annualized. |
| 5 | Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. |
See Notes to Financial Statements.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 51 |
Table of Contents
1. Organization and significant accounting policies
Legg Mason US Diversified Core ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Equity Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. The Fund is designed to track an index. Similar to shares of an index mutual fund, each share of the Fund represents an ownership interest in an underlying portfolio of securities intended to track an index. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on The NASDAQ Stock Market, LLC. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units are issued and redeemed generally in-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
The Fund seeks to track the investment results of the QS DBI US Diversified Index (the “Underlying Index”). The Underlying Index seeks to provide exposure to equities of U.S. companies and is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Fund’s subadviser.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services,
| 52 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 53 |
Table of Contents
Notes to financial statements (cont’d)
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 — quoted prices in active markets for identical investments |
| • | Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
| ASSETS | ||||||||||||||||
| Description | Quoted Prices (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Long-term investments†: | ||||||||||||||||
| Common stocks: |
||||||||||||||||
| Health care |
$ | 327,640 | — | $ | 0 | * | $ | 327,640 | ||||||||
| Other common stocks |
2,400,537 | — | — | 2,400,537 | ||||||||||||
| Investments in underlying funds |
9,319 | — | — | 9,319 | ||||||||||||
| Total long-term investments | $ | 2,737,496 | — | $ | 0 | * | $ | 2,737,496 | ||||||||
| Short-term investments† | 12,101 | — | — | 12,101 | ||||||||||||
| Total investments | $ | 2,749,597 | — | $ | 0 | * | $ | 2,749,597 | ||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| * | Amount represents less than $1. |
(b) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment
| 54 | Legg Mason US Diversified Core ETF 2016 Annual Report |
Table of Contents
securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, 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 the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(c) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(d) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(e) Distributions to shareholders. Distributions from net investment income and distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
| Legg Mason US Diversified Core ETF 2016 Annual Report | 55 |
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Notes to financial statements (cont’d)
(f) REIT distributions. The character of distributions received from Real Estate Investment Trusts (‘‘REITs’’) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.
(g) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.
Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
(h) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. During the current period, the following reclassifications have been made:
| Undistributed Net Investment Income |
Accumulated Net Realized Loss |
|||||||
| (a) | $ | 502 | $ | (502) | ||||
| (a) | Reclassifications are due to book/tax differences in the characterization of income from certain investments. |
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager and QS Investors, LLC (“QS”) is the Fund’s subadviser. Western Asset Management Company (“Western Asset”) manages the portion of the Fund’s cash and short-term instruments allocated to it. LMPFA, QS and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).
LMPFA provides administrative and certain oversight services to the Fund under what is a unitary fee structure. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund. The Fund is responsible for paying interest expenses, taxes, brokerage expenses, future 12b-1 fees (if any), acquired fund fees and expenses, extraordinary expenses and the management fee payable to LMPFA under the investment management agreement. LMPFA has agreed to pay all of the Fund’s organization and offering costs.
Under the investment management agreement, the Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.30% of the Fund’s average daily net assets.
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As compensation for its subadvisory services, LMPFA pays QS 90% of the management fee paid by the Fund to LMPFA, net of (i) all fees and expenses incurred by LMPFA under the investment management agreement (including without limitation any subadvisory fee paid to another subadviser to the Fund) and (ii) expense waivers, if any, and reimbursements. LMPFA pays Western Asset a fee of 0.02% of the portion of the Fund’s average daily net assets allocated to Western Asset for the management of cash and other short-term instruments, net of expense waivers, if any, and reimbursements.
Legg Mason Investor Services, LLC, a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the distributor of Creation Units for the Fund on an agency basis.
The Fund’s Board of Trustees has adopted a Rule 12b-1 shareholder services and distribution plan and under that plan, the Fund is authorized to pay service and/or distribution fees calculated at an annual rate of up to 0.25% of its average daily net assets. No service and/or distribution fees are currently paid by the Fund, and there are no current plans to impose these fees.
All officers and one Trustee of the Trust are employees of Legg Mason or its affiliates and do not receive compensation from the Trust.
3. Investments
During the period ended October 31, 2016, the aggregate cost of purchases and proceeds from sales of investments (excluding in-kind transactions and short-term investments) were as follows:
| Purchases | $ | 750,009 | ||
| Sales | 600,488 |
During the period ended October 31, 2016, in-kind transactions (see Note 5) were as follows:
| Contributions | $ | 2,496,931 | ||
| Redemptions | — |
The in-kind contributions and in-kind redemptions shown in this table may not agree with the Fund Share Transactions on the Statement of Changes in Net Assets. This table represents the accumulation of the Fund’s daily net shareholder transactions while the Statement of Changes in Net Assets reflects gross shareholder transactions including any cash component of the transactions.
At October 31, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
| Gross unrealized appreciation | $ | 213,764 | ||
| Gross unrealized depreciation | (97,365) | |||
| Net unrealized appreciation | $ | 116,399 |
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Notes to financial statements (cont’d)
4. Derivative instruments and hedging activities
During the period ended October 31, 2016, the Fund did not invest in derivative instruments.
5. Fund share transactions
At October 31, 2016, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. Fund shares are issued and redeemed by the Fund only in Creation Units or Creation Unit aggregations, where 100,000 shares of the Fund constitute a Creation Unit. Such transactions are generally on an in-kind basis, with a separate cash payment, which is a balancing cash component to equate the transaction to the net asset value per share of the Fund on the transaction date. Transactions in capital shares of the Fund are disclosed in detail in the Statement of Changes in Net Assets. Authorized Participants are subject to standard creation and redemption transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Creations and redemptions for cash (when cash creations and redemptions are available or specified) may be subject to an additional variable fee.
6. Income tax information and distributions to shareholders
The Fund did not make any distributions during the period ended October 31, 2016.
As of October 31, 2016, the components of accumulated earnings (losses) on a tax basis were as follows:
| Undistributed ordinary income — net | $ | 42,670 | ||
| Deferred Capital Losses* | (9,339) | |||
| Other book/tax temporary differences(a) | 294 | |||
| Unrealized appreciation (depreciation)(b) | 116,399 | |||
| Total accumulated earnings (losses) — net | $ | 150,024 |
| * | These capital losses have been deferred in the current period as either short-term or long-term losses. The losses will be deemed to occur on the first day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains. |
| (a) | Other book/tax temporary differences are attributable to book/tax differences in the treatment of distributions from real estate investment trusts. |
| (b) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales and other book/tax basis adjustments on certain investments. |
7. Recent accounting pronouncement
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Fund’s financial statements and related disclosures.
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Report of independent registered public accounting firm
The Board of Trustees and Shareholders
Legg Mason ETF Equity Trust:
We have audited the accompanying statement of assets and liabilities of Legg Mason US Diversified Core ETF (the “Fund”), a series of Legg Mason ETF Equity Trust, including the schedule of investments, as of October 31, 2016, and the related statements of operations and changes in net assets, and the financial highlights for the period from December 28, 2015 (inception date) to October 31, 2016. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2016, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides 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 Legg Mason US Diversified Core ETF as of October 31, 2016, the results of its operations, the changes in its net assets, and the financial highlights for the period from December 28, 2015 (inception date) to October 31, 2016, in conformity with U.S. generally accepted accounting principles.
New York, New York
December 21, 2016
| Legg Mason US Diversified Core ETF 2016 Annual Report | 59 |
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Additional information (unaudited)
Information about Trustees and Officers
The business and affairs of Legg Mason US Diversified Core ETF (the “Fund”) are conducted by management under the supervision and subject to the direction of its Board of Trustees. The business address of each Trustee is c/o Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202. Information pertaining to the Trustees and officers of the Fund is set forth below.
The Statement of Additional Information includes additional information about Trustees and is available, without charge, upon request by calling the Fund at 1-888-386-5535.
| Independent Trustees† | ||
| Paul R. Ades | ||
| Year of birth | 1940 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1983 | |
| Principal occupation(s) during past five years | Paul R. Ades, PLLC (law firm) (since 2000) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| Andrew L. Breech | ||
| Year of birth | 1952 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1991 | |
| Principal occupation(s) during past five years | President, Dealer Operating Control Service, Inc. (automotive retail management) (since 1985) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| Dwight B. Crane | ||
| Year of birth | 1937 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1981 | |
| Principal occupation(s) during past five years | Professor Emeritus, Harvard Business School (since 2007); formerly, Professor, Harvard Business School (1969 to 2007); Independent Consultant (since 1969) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
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| Independent Trustees cont’d | ||
| Althea L. Duersten | ||
| Year of birth | 1951 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 2014 | |
| Principal occupation(s) during past five years | Retired (since 2011); formerly, Chief Investment Officer, North America, JPMorgan Chase (investment bank) and member of JPMorgan Executive Committee (2007 to 2011) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| Frank G. Hubbard | ||
| Year of birth | 1937 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1993 | |
| Principal occupation(s) during past five years | President, Fealds, Inc. (business development) (since 2016); formerly, President, Avatar International Inc. (business development) (1998 to 2015) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| Howard J. Johnson | ||
| Year of birth | 1938 | |
| Position(s) with Trust | Trustee and Chairman | |
| Term of office1 and length of time served2 | From 1981 to 1998 and since 2000 (Chairman since 2013) | |
| Principal occupation(s) during past five years | Chief Executive Officer, Genesis Imaging LLC (technology company) (since 2003) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| Jerome H. Miller | ||
| Year of birth | 1938 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1995 | |
| Principal occupation(s) during past five years | Retired | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
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Additional information (unaudited) (cont’d)
Information about Trustees and Officers
| Independent Trustees cont’d | ||
| Ken Miller | ||
| Year of birth | 1942 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1983 | |
| Principal occupation(s) during past five years | Retired; formerly, President, Young Stuff Apparel Group, Inc. (apparel manufacturer), division of Li & Fung (1963 to 2012) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | None | |
| John J. Murphy | ||
| Year of birth | 1944 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 2002 | |
| Principal occupation(s) during past five years | Founder and Senior Principal, Murphy Capital Management (investment management) (since 1983) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | Trustee, UBS Funds (52 funds) (since 2008); Trustee, Consulting Group Capital Markets Funds (11 funds) (since 2002); Director, Fort Dearborn Income Securities, Inc. (since 2013); formerly, Director, Nicholas Applegate Institutional Funds (12 funds) (2005 to 2010) | |
| Thomas F. Schlafly | ||
| Year of birth | 1948 | |
| Position(s) with Trust | Trustee | |
| Term of office1 and length of time served2 | Since 1983 | |
| Principal occupation(s) during past five years | Chairman, The Saint Louis Brewery, LLC (brewery) (since 2012); formerly, President, The Saint Louis Brewery, Inc. (1989 to 2012); Partner, Thompson Coburn LLP (law firm) (since 2009) | |
| Number of funds in fund complex overseen by Trustee | 46 | |
| Other board memberships held by Trustee during past five years | Director, Citizens National Bank of Greater St. Louis (since 2006) | |
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| Interested Trustee and Officer | ||
| Jane Trust3 | ||
| Year of birth | 1962 | |
| Position(s) with Trust | Trustee, President and Chief Executive Officer | |
| Term of office1 and length of time served2 | Since 2015 | |
| Principal occupation(s) during past five years | Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2016); Officer and/or Trustee/Director of 159 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Vice President of LMPFA (2015); Director of ClearBridge, LLC (formerly, Legg Mason Capital Management, LLC) (2007 to 2014); formerly, Managing Director of Legg Mason Investment Counsel & Trust Co. (2000 to 2007) | |
| Number of funds in fund complex overseen by Trustee | 152 | |
| Other board memberships held by Trustee during past five years | None | |
| Additional Officers | ||
| Ted P. Becker Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018 |
||
| Year of birth | 1951 | |
| Position(s) with Trust | Chief Compliance Officer | |
| Term of office1 and length of time served2 | Since 2007 | |
| Principal occupation(s) during past five years | Director of Global Compliance at Legg Mason (since 2006); Chief Compliance Officer of LMPFA (since 2006); Managing Director of Compliance of Legg Mason & Co. (since 2005); Chief Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) | |
| Susan Kerr Legg Mason |
||
| Year of birth | 1949 | |
| Position(s) with Trust | Chief Anti-Money Laundering Compliance Officer | |
| Term of office1 and length of time served2 | Since 2013 | |
| Principal occupation(s) during past five years | Assistant Vice President of Legg Mason & Co. and Legg Mason Investor Services, LLC (“LMIS”) (since 2010); Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2013) and Anti-Money Laundering Compliance Officer of LMIS (since 2012); Senior Compliance Officer of LMIS (since 2011); formerly, AML Consultant, DTCC (2010); AML Consultant, Rabobank Netherlands, (2009); First Vice President, Director of Marketing & Advertising Compliance and Manager of Communications Review Group at Citigroup Inc. (1996 to 2008) | |
| Legg Mason US Diversified Core ETF | 63 |
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Additional information (unaudited) (cont’d)
Information about Trustees and Officers
| Additional Officers cont’d | ||
| Jenna Bailey Legg
Mason |
||
| Year of birth | 1978 | |
| Position(s) with Trust | Identity Theft Prevention Officer | |
| Term of office1 and length of time served2 | Since 2015 | |
| Principal occupation(s) during past five years | Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2015); Compliance Officer of Legg Mason & Co. (since 2013); Assistant Vice President of Legg Mason & Co. (since 2011); formerly, Associate Compliance Officer of Legg Mason & Co. (2011 to 2013); Risk Manager of U.S. Distribution of Legg Mason & Co. (2007 to 2011) | |
| Robert I. Frenkel Legg Mason 100 First Stamford Place, 6th Floor, Stamford, CT 06902 | ||
| Year of birth | 1954 | |
| Position(s) with Trust | Secretary and Chief Legal Officer | |
| Term of office1 and length of time served2 | Since 2007 | |
| Principal occupation(s) during past five years | Vice President and Deputy General Counsel of Legg Mason (since 2006); Managing Director and General Counsel — U.S. Mutual Funds for Legg Mason & Co. (since 2006) and Legg Mason & Co. predecessors (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006) | |
| Thomas C. Mandia Legg Mason 100 First Stamford Place, 6th Floor, Stamford, CT 06902 |
||
| Year of birth | 1962 | |
| Position(s) with Trust | Assistant Secretary | |
| Term of office1 and length of time served2 | Since 2007 | |
| Principal occupation(s) during past five years | Managing Director and Deputy General Counsel of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); Secretary of LMPFA (since 2006); Assistant Secretary of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); Secretary of LM Asset Services, LLC (“LMAS”) (since 2002) and Legg Mason Fund Asset Management, Inc. (“LMFAM”) (since 2013) (formerly registered investment advisers) | |
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| Additional Officers cont’d | ||
| Richard F. Sennett Legg Mason 100 International Drive, 7th Floor, Baltimore, MD 21202 |
||
| Year of birth | 1970 | |
| Position(s) with Trust | Principal Financial Officer | |
| Term of office1 and length of time served2 | Since 2011 | |
| Principal occupation(s) during past five years | Principal Financial Officer and Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011 and since 2013); Managing Director of Legg Mason & Co. and Senior Manager of the Treasury Policy group for Legg Mason & Co.’s Global Fiduciary Platform (since 2011); formerly, Chief Accountant within the SEC’s Division of Investment Management (2007 to 2011); Assistant Chief Accountant within the SEC’s Division of Investment Management (2002 to 2007) | |
| Christopher Berarducci Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018 |
||
| Year of birth | 1974 | |
| Position(s) with Trust | Treasurer | |
| Term of office1 and length of time served2 | Since 2014 | |
| Principal occupation(s) during past five years | Director of Legg Mason & Co. (since 2015); Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2010); formerly, Vice President of Legg Mason & Co. (2011 to 2015); Assistant Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to 2010) | |
| Jeanne M. Kelly Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018 |
||
| Year of birth | 1951 | |
| Position(s) with Trust | Senior Vice President | |
| Term of office1 and length of time served2 | Since 2007 | |
| Principal occupation(s) during past five years | Senior Vice President of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2007); Senior Vice President of LMPFA (since 2006); President and Chief Executive Officer of LMAS and LMFAM (since 2015); Managing Director of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); formerly, Senior Vice President of LMFAM (2013 to 2015) | |
| † | Trustees who are not “interested persons” of the Fund within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”). |
| 1 | Each Trustee and officer serves until his or her respective successor has been duly elected and qualified or until his or her earlier death, resignation, retirement or removal. |
| 2 | Indicates the earliest year in which the Trustee became a board member for a fund in the Legg Mason fund complex or the officer took such office. |
| 3 | Ms. Trust is an “interested person” of the Fund, as defined in the 1940 Act, because of her position with LMPFA and/or certain of its affiliates. |
| Legg Mason US Diversified Core ETF | 65 |
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Legg Mason
US Diversified Core ETF
Trustees
Paul R. Ades
Andrew L. Breech
Dwight B. Crane
Althea L. Duersten
Frank G. Hubbard
Howard J. Johnson Chairman
Jerome H. Miller
Ken Miller
John J. Murphy
Thomas F. Schlafly
Jane Trust
Investment manager
Legg Mason Partners Fund Advisor, LLC
Subadviser
QS Investors, LLC
Custodian
State Street Bank & Trust Company
Transfer agent
State Street Bank and Trust Company One Lincoln Street
Boston, Massachusetts 02111
Independent registered public accounting firm
KPMG LLP 345 Park Avenue
New York, NY 10154
Legg Mason US Diversified Core ETF
The Fund is a separate investment series of Legg Mason ETF Equity Trust, a Maryland statutory trust.
Legg Mason US Diversified Core ETF
Legg Mason Funds
620 Eighth Avenue, 49th Floor
New York, NY 10018
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q, shareholders can call the Fund at 1-888-386-5535.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling the Fund at 1-888-386-5535, (2) at www.leggmason.com/etf and (3) on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of Legg Mason US Diversified Core ETF. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a current prospectus.
Investors should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. Please read the prospectus carefully before investing.
www.leggmason.com
© 2016 Legg Mason Investor Services, LLC
Member FINRA, SIPC
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ETF Index Disclaimers
The MSCI USA IMI Index (the “MSCI Index”) was used by QS Investors, LLC (“QS”), the Fund’s subadviser, as the reference universe for selection of the companies included in the QS DBI US Diversified Index (the “QS DBI Index”). MSCI Inc. does not in any way sponsor, support, promote or endorse the QS DBI Index or the Legg Mason US Diversified Core ETF (the “Fund”). MSCI Inc. was not and is not involved in any way in the creation, calculation, maintenance or review of the QS DBI Index. The MSCI Index was provided on an “as is” basis. MSCI Inc., its affiliates and any other person or entity involved in or related to compiling, computing or creating the MSCI Index (collectively, the “MSCI Parties”) expressly disclaim all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose). Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including without limitation lost profits) or any other damages in connection with MSCI Index, the QS DBI Index, or the Fund.
QS does not guarantee the accuracy and/or the completeness of the MSCI Index or any data included therein, and QS shall not have any liability for any errors, omissions or interruptions therein. QS makes no warranty, express or implied, as to results to be obtained by the Fund, owners of the shares of the Fund or any other person or entity from the use of the MSCI Index, trading based on the MSCI Index, or any data included therein, either in connection with the Fund or for any other use. QS makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the MSCI Index or any data included therein. Without limiting any of the foregoing, in no event shall QS have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the MSCI Index, even if notified of the possibility of such damages.
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www.leggmason.com
© 2016 Legg Mason Investor Services, LLC Member FINRA, SIPC
ETFF323377 12/16 SR16-2952
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| ITEM 2. | CODE OF ETHICS. |
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees of the registrant has determined that Dwight B. Crane possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Dwight B. Crane as the Audit Committee’s financial expert. Dwight B. Crane is an “independent” Trustees pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
a) Audit Fees. The aggregate fees billed in the fiscal period ending October 31, 2016 (the “Reporting Period”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Period, were $20,000 in 2016.
b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are reasonably related to the performance of the Registrant’s financial statements were $0 in 2016.
(c) Tax Fees. The aggregate fees billed in the Reporting Period for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in 2016. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
There were no fees billed for tax services by the Auditors to service affiliates during the Reporting Period that required pre-approval by the Audit Committee.
(d) All Other Fees. The aggregate fees for other fees billed in the Reporting Period for products and services provided by the Auditor were $0 in October 31, 2016, other than the services reported in paragraphs (a) through (c) of this item for the Legg Mason ETF Investment Trust.
All Other Fees. There were no other non-audit services rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (“LMPFA”), and any entity controlling, controlled by or under common control with LMPFA that provided ongoing services to Legg Mason ETF Investment Trust requiring pre-approval by the Audit Committee in the Reporting Period.
(e) Audit Committee’s pre–approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of
Regulation
S-X.
(1) The Charter for the Audit Committee (the “Committee”) of the Board of each registered investment company (the “Fund”) advised by LMPFA or one of their affiliates (each, an “Adviser”) requires that the Committee shall approve (a) all audit and permissible non-audit services to be provided to the Fund and (b) all permissible non-audit services to be provided by the Fund’s independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the full Committee.
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The Committee shall not approve non-audit services that the Committee believes may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund (“Covered Service Providers”) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.
(2) For the Legg Mason ETF Investment Trust, the percentage of fees that were approved by the audit committee, with respect to: Audit-Related Fees were 100% for 2016; Tax Fees were 100% for 2016; and Other Fees were 100% for 2016.
(f) N/A
(g) Non-audit fees billed by the Auditor for services rendered to Legg Mason ETF Investment Trust, LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Legg Mason ETF Investment Trust during the reporting period were $0 in 2016.
(h) Yes. Legg Mason ETF Investment Trust’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Accountant’s independence. All services provided by the Auditor to the Legg Mason ETF Investment Trust or to Service Affiliates, which were required to be pre-approved, were pre-approved as required.
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| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
a) Registrant has a separately-designated standing Audit Committee established in accordance with Section 3(a)58(A) of the Exchange Act. The Audit Committee consists of the following Board members:
Paul R. Ades
Andrew L. Breech
Dwight B. Crane
Althea L. Duersten
Frank G. Hubbard
Howard J. Johnson
Jerome H. Miller
Ken Miller
John J. Murphy
Thomas F. Schlafly
b) Not applicable
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PURCHASES OF SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
| ITEM 11. | CONTROLS AND PROCEDURES. |
| (a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
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| ITEM 12. | EXHIBITS. |
(a) (1) Code of Ethics attached hereto.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Legg Mason ETF Investment Trust
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | March 29, 2017 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | March 29, 2017 | |
| By: | /s/ Richard F. Sennett | |
| Richard F. Sennett | ||
| Principal Financial Officer | ||
| Date: | March 29, 2017 | |