NPORT-EX 2 832212LeggMasSmCapQualValETF.htm HTML

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited)    October 31, 2019

 

SECURITY

    SHARES      VALUE  
COMMON STOCKS - 99.5%      
COMMUNICATION SERVICES - 5.0%      

Diversified Telecommunication Services - 1.2%

      

Cogent Communications Holdings Inc.

      1,048      $ 61,455  

Frontier Communications Corp.

      92,436        84,117 * 
     

 

 

  

Total Diversified Telecommunication Services

         145,572  
     

 

 

  

Entertainment - 0.3%

      

Sciplay Corp., Class A Shares

      3,226        31,196 * 
     

 

 

  

Interactive Media & Services - 0.9%

      

Cars.com Inc.

      6,484        73,334 * 

Eventbrite Inc., Class A Shares

      2,185        39,286 * 
     

 

 

  

Total Interactive Media & Services

         112,620  
     

 

 

  

Media - 2.6%

      

AMC Networks Inc., Class A Shares

      1,364        59,402 * 

Gannett Co. Inc.

      6,653        72,185  

Lee Enterprises Inc.

      19,263        34,866 * 

MSG Networks Inc., Class A Shares

      2,864        46,425 * 

National CineMedia Inc.

      8,123        68,193  

Xcel Brands Inc.

      13,782        23,705 * 
     

 

 

  

Total Media

         304,776  
     

 

 

  

TOTAL COMMUNICATION SERVICES

         594,164  
     

 

 

  
CONSUMER DISCRETIONARY - 13.7%      

Auto Components - 0.4%

      

Superior Industries International Inc.

      16,894        43,924  
     

 

 

  

Distributors - 0.7%

      

Core-Mark Holding Co. Inc.

      2,652        80,939  
     

 

 

  

Diversified Consumer Services - 1.1%

      

American Public Education Inc.

      1,638        35,577 * 

K12 Inc.

      1,935        38,294 * 

WW International Inc.

      1,590        55,443 * 
     

 

 

  

Total Diversified Consumer Services

         129,314  
     

 

 

  

Hotels, Restaurants & Leisure - 1.9%

      

Brinker International Inc.

      1,601        71,165  

Cheesecake Factory Inc.

      1,584        66,195  

Jack in the Box Inc.

      622        52,260  

Ruth’s Hospitality Group Inc.

      2,034        41,860  
     

 

 

  

Total Hotels, Restaurants & Leisure

         231,480  
     

 

 

  

Household Durables - 2.2%

      

Ethan Allen Interiors Inc.

      2,856        56,292  

La-Z-Boy Inc.

      1,842        65,409  

Meritage Homes Corp.

      1,031        74,325 * 

Sonos Inc.

      2,959        38,704 * 

Turtle Beach Corp.

      3,069        33,391 * 
     

 

 

  

Total Household Durables

         268,121  
     

 

 

  

 

See Notes to Schedule of Investments.

 

1

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

Internet & Direct Marketing Retail - 2.2%

      

PetMed Express Inc.

      2,502      $ 58,584  

Revolve Group Inc.

      1,343        27,881 * 

Shutterstock Inc.

      1,484        60,221 * 

Stamps.com Inc.

      728        61,465 * 

Stitch Fix Inc., Class A Shares

      2,235        51,092 * 
     

 

 

  

Total Internet & Direct Marketing Retail

         259,243  
     

 

 

  

Leisure Products - 0.7%

      

Malibu Boats Inc., Class A Shares

      1,313        42,830 * 

MasterCraft Boat Holdings Inc.

      2,625        41,344 * 
     

 

 

  

Total Leisure Products

         84,174  
     

 

 

  

Specialty Retail - 3.4%

      

Buckle Inc.

      3,238        67,739  

Michaels Cos. Inc.

      7,143        62,358 * 

Sally Beauty Holdings Inc.

      4,412        68,386 * 

Sleep Number Corp.

      1,119        53,846 * 

Tilly’s Inc., Class A Shares

      4,587        47,063  

Urban Outfitters Inc.

      2,750        78,925 * 

Winmark Corp.

      147        26,460  
     

 

 

  

Total Specialty Retail

         404,777  
     

 

 

  

Textiles, Apparel & Luxury Goods - 1.1%

      

Culp Inc.

      2,355        36,432  

Movado Group Inc.

      2,032        52,933  

Vera Bradley Inc.

      4,167        44,837 * 
     

 

 

  

Total Textiles, Apparel & Luxury Goods

         134,202  
     

 

 

  

TOTAL CONSUMER DISCRETIONARY

         1,636,174  
     

 

 

  
CONSUMER STAPLES - 2.5%      

Beverages - 0.5%

      

National Beverage Corp.

      1,433        62,995  
     

 

 

  

Personal Products - 0.7%

      

Lifevantage Corp.

      2,062        27,961 * 

USANA Health Sciences Inc.

      696        51,580 * 
     

 

 

  

Total Personal Products

         79,541  
     

 

 

  

 

See Notes to Schedule of Investments.

 

2

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

Tobacco - 1.3%

      

Universal Corp.

      1,269      $ 69,541  

Vector Group Ltd.

      6,604        80,569  
     

 

 

  

Total Tobacco

         150,110  
     

 

 

  

TOTAL CONSUMER STAPLES

         292,646  
     

 

 

  
ENERGY - 6.1%      

Energy Equipment & Services - 2.0%

      

Cactus Inc., Class A Shares

      1,567        46,571 * 

Era Group Inc.

      3,670        35,489 * 

Liberty Oilfield Services Inc., Class A Shares

      4,349        40,054  

Matrix Service Co.

      2,398        44,987 * 

Select Energy Services Inc., Class A Shares

      5,762        43,791 * 

Solaris Oilfield Infrastructure Inc., Class A Shares

      2,592        27,579  
     

 

 

  

Total Energy Equipment & Services

         238,471  
     

 

 

  

Oil, Gas & Consumable Fuels - 4.1%

      

Antero Resources Corp.

      24,677        61,692 * 

Arch Coal Inc., Class A Shares

      805        63,506  

Bonanza Creek Energy Inc.

      2,024        36,068 * 

CONSOL Energy Inc.

      4,057        53,674 * 

Contura Energy Inc.

      2,074        47,578 * 

Evolution Petroleum Corp.

      5,682        31,933  

Falcon Minerals Corp.

      7,730        47,617  

NACCO Industries Inc., Class A Shares

      837        42,268  

Peabody Energy Corp.

      5,361        56,451  

REX American Resources Corp.

      543        43,940 * 
     

 

 

  

Total Oil, Gas & Consumable Fuels

         484,727  
     

 

 

  

TOTAL ENERGY

         723,198  
     

 

 

  
FINANCIALS - 18.1%      

Banks - 7.0%

      

Bancorp Inc.

      4,240        46,216 * 

Cathay General Bancorp

      2,214        78,752  

First Choice Bancorp

      1,722        38,504  

First Financial Corp.

      1,164        51,064  

First Internet Bancorp

      1,612        36,657  

FNCB Bancorp Inc.

      3,967        29,475  

Franklin Financial Services Corp.

      1,013        36,255  

Hanmi Financial Corp.

      2,844        54,747  

Hawthorn Bancshares Inc.

      1,324        31,776  

Heritage Commerce Corp.

      3,833        46,072  

Home BancShares Inc.

      4,052        74,881  

Parke Bancorp Inc.

      1,595        38,344  

 

See Notes to Schedule of Investments.

 

3

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

Banks - (ontinued)

      

Preferred Bank

      920      $ 49,045  

RBB Bancorp

      1,999        40,260  

South Plains Financial Inc.

      2,697        45,175  

TCF Financial Corp.

      1,920        76,013  

Texas Capital Bancshares Inc.

      1,265        68,386 * 
     

 

 

  

Total Banks

         841,622  
     

 

 

  

Capital Markets - 4.5%

      

Artisan Partners Asset Management Inc., Class A Shares

      2,667        72,943  

Cohen & Steers Inc.

      1,305        85,399  

Diamond Hill Investment Group Inc.

      353        49,724  

Houlihan Lokey Inc.

      1,495        70,654  

Moelis & Co., Class A Shares

      2,471        88,165  

Oaktree Specialty Lending Corp.

      11,589        59,915  

Waddell & Reed Financial Inc., Class A Shares

      4,136        68,492  

Westwood Holdings Group Inc.

      1,558        47,098  
     

 

 

  

Total Capital Markets

         542,390  
     

 

 

  

Consumer Finance - 0.6%

      

Enova International Inc.

      2,812        66,054 * 
     

 

 

  

Insurance - 2.8%

      

American Equity Investment Life Holding Co.

      4,209        103,878  

Employers Holdings Inc.

      1,411        59,742  

Investors Title Co.

      271        41,111  

National Western Life Group Inc., Class A Shares

      251        68,423  

Universal Insurance Holdings Inc.

      2,094        56,768  
     

 

 

  

Total Insurance

         329,922  
     

 

 

  

Thrifts & Mortgage Finance - 3.2%

      

Axos Financial Inc.

      2,091        60,744 * 

FS Bancorp Inc.

      617        35,323  

Home Bancorp Inc.

      1,020        38,923  

Merchants Bancorp

      2,480        40,498  

Mr. Cooper Group Inc.

      8,609        110,195 * 

NMI Holdings Inc., Class A Shares

      1,874        54,815 * 

Sterling Bancorp Inc.

      4,316        41,822  
     

 

 

  

Total Thrifts & Mortgage Finance

         382,320  
     

 

 

  

TOTAL FINANCIALS

         2,162,308  
     

 

 

  

 

See Notes to Schedule of Investments.

 

4

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  
HEALTH CARE - 15.8%      

Biotechnology - 4.5%

      

Alector Inc.

      1,860      $ 31,322 * 

Anika Therapeutics Inc.

      637        44,838 * 

Arena Pharmaceuticals Inc.

      1,116        54,366 * 

BioSpecifics Technologies Corp.

      537        26,007 * 

Eagle Pharmaceuticals Inc.

      678        42,511 * 

Enanta Pharmaceuticals Inc.

      609        37,076 * 

Genomic Health Inc.

      551        36,741 * 

Ligand Pharmaceuticals Inc.

      578        62,892 * 

Myriad Genetics Inc.

      2,162        72,795 * 

Principia Biopharma Inc.

      719        25,388 * 

Puma Biotechnology Inc.

      1,749        11,893 * 

Sutro Biopharma Inc.

      2,851        28,595 * 

Vanda Pharmaceuticals Inc.

      2,529        34,167 * 

Voyager Therapeutics Inc.

      1,420        21,854 * 
     

 

 

  

Total Biotechnology

         530,445  
     

 

 

  

Health Care Equipment & Supplies - 5.3%

      

AngioDynamics Inc.

      2,453        37,531 * 

Atrion Corp.

      50        42,172  

FONAR Corp.

      1,225        24,904 * 

Heska Corp.

      412        33,380 * 

Inogen Inc.

      857        46,651 * 

iRadimed Corp.

      1,113        28,103 * 

LeMaitre Vascular Inc.

      1,010        34,946  

Meridian Bioscience Inc.

      4,396        43,037  

Merit Medical Systems Inc.

      1,788        36,931 * 

Natus Medical Inc.

      1,419        47,792 * 

OraSure Technologies Inc.

      4,572        39,045 * 

Orthofix Medical Inc.

      798        33,540 * 

Quidel Corp.

      669        38,066 * 

Surmodics Inc.

      629        29,884 * 

Tactile Systems Technology Inc.

      549        24,936 * 

Utah Medical Products Inc.

      318        32,585  

Varex Imaging Corp.

      2,108        63,261 * 
     

 

 

  

Total Health Care Equipment & Supplies

         636,764  
     

 

 

  

Health Care Providers & Services - 2.2%

      

MEDNAX Inc.

      3,377        74,159 * 

National HealthCare Corp.

      709        58,266  

National Research Corp.

      676        38,823  

Petiq Inc.

      1,305        32,259 * 

Premier Inc., Class A Shares

      1,871        60,957 * 
     

 

 

  

Total Health Care Providers & Services

         264,464  
     

 

 

  

Life Sciences Tools & Services - 0.4%

      

Luminex Corp.

      2,094        42,916  
     

 

 

  

 

See Notes to Schedule of Investments.

 

5

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

Pharmaceuticals - 3.4%

      

ANI Pharmaceuticals Inc.

      515      $ 40,227 * 

Assertio Therapeutics Inc.

      29,782        23,531 * 

Collegium Pharmaceutical Inc.

      2,481        29,772 * 

Corcept Therapeutics Inc.

      3,232        47,155 * 

Innoviva Inc.

      4,198        48,781 * 

Lannett Co. Inc.

      3,842        45,681 * 

Pacira BioSciences Inc.

      1,060        42,919 * 

Phibro Animal Health Corp., Class A Shares

      2,320        55,587  

SIGA Technologies Inc.

      4,844        26,884 * 

Supernus Pharmaceuticals Inc.

      1,730        48,077 * 
     

 

 

  

Total Pharmaceuticals

         408,614  
     

 

 

  

TOTAL HEALTH CARE

         1,883,203  
     

 

 

  
INDUSTRIALS - 16.7%      

Aerospace & Defense - 0.9%

      

National Presto Industries Inc.

      601        51,740  

Park Aerospace Corp.

      3,040        51,650  
     

 

 

  

Total Aerospace & Defense

         103,390  
     

 

 

  

Air Freight & Logistics - 0.7%

      

Echo Global Logistics Inc.

      2,364        47,067 * 

Radiant Logistics Inc.

      6,900        37,191 * 
     

 

 

  

Total Air Freight & Logistics

         84,258  
     

 

 

  

Building Products - 2.9%

      

Builders FirstSource Inc.

      3,731        84,358 * 

Continental Building Products Inc.

      1,757        52,552 * 

Patrick Industries Inc.

      1,446        71,446 * 

Quanex Building Products Corp.

      2,669        51,485  

Universal Forest Products Inc.

      1,733        87,274  
     

 

 

  

Total Building Products

         347,115  
     

 

 

  

Commercial Services & Supplies - 2.1%

      

Deluxe Corp.

      1,458        75,568  

Ennis Inc.

      2,463        48,250  

HNI Corp.

      1,970        74,860  

Kimball International Inc., Class B Shares

      2,426        49,394  
     

 

 

  

Total Commercial Services & Supplies

         248,072  
     

 

 

  

Construction & Engineering - 1.0%

      

Comfort Systems USA Inc.

      1,392        70,170  

Great Lakes Dredge & Dock Corp.

      4,257        45,763 * 
     

 

 

  

Total Construction & Engineering

         115,933  
     

 

 

  

Electrical Equipment - 0.4%

      

Encore Wire Corp.

      910        51,142  
     

 

 

  

 

See Notes to Schedule of Investments.

 

6

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

Machinery - 2.3%

      

Commercial Vehicle Group Inc.

      5,536      $ 40,357 * 

Hillenbrand Inc.

      2,286        70,386  

Mueller Industries Inc.

      2,476        76,187  

Omega Flex Inc.

      379        35,190  

Wabash National Corp.

      3,983        56,798  
     

 

 

  

Total Machinery

         278,918  
     

 

 

  

Professional Services - 2.7%

      

Barrett Business Services Inc.

      558        48,953  

BG Staffing Inc.

      1,956        37,418  

Heidrick & Struggles International Inc.

      1,719        48,923  

Kforce Inc.

      1,501        61,406  

Korn Ferry

      1,768        64,868  

TrueBlue Inc.

      2,730        62,517 * 
     

 

 

  

Total Professional Services

         324,085  
     

 

 

  

Road & Rail - 0.8%

      

ArcBest Corp.

      1,974        57,029  

Universal Logistics Holdings Inc.

      2,145        40,444  
     

 

 

  

Total Road & Rail

         97,473  
     

 

 

  

Trading Companies & Distributors - 2.9%

      

BMC Stock Holdings Inc.

      2,526        68,177 * 

GMS Inc.

      2,152        64,474 * 

H&E Equipment Services Inc.

      1,976        67,066  

Systemax Inc.

      3,071        66,456  

WESCO International Inc.

      1,648        82,647 * 
     

 

 

  

Total Trading Companies & Distributors

         348,820  
     

 

 

  

TOTAL INDUSTRIALS

         1,999,206  
     

 

 

  
INFORMATION TECHNOLOGY - 13.1%      

Communications Equipment - 1.6%

      

Comtech Telecommunications Corp.

      1,743        60,918  

InterDigital Inc.

      1,196        64,141  

NetScout Systems Inc.

      2,686        65,055 * 
     

 

 

  

Total Communications Equipment

         190,114  
     

 

 

  

Electronic Equipment, Instruments & Components - 4.9%

      

AVX Corp.

      4,976        76,232  

Badger Meter Inc.

      863        49,881  

Benchmark Electronics Inc.

      2,222        75,326  

Insight Enterprises Inc.

      1,404        86,178 * 

Mesa Laboratories Inc.

      142        32,341  

PC Connection Inc.

      1,622        79,218  

TTM Technologies Inc.

      5,456        63,890 * 

Vishay Intertechnology Inc.

      4,134        83,300  

Vishay Precision Group Inc.

      1,002        34,118 * 
     

 

 

  

Total Electronic Equipment, Instruments & Components

         580,484  
     

 

 

  

 

See Notes to Schedule of Investments.

 

7

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

    SHARES      VALUE  

IT Services - 1.8%

      

Cass Information Systems Inc.

      749      $ 42,925  

CSG Systems International Inc.

      1,024        59,023  

NIC Inc.

      2,430        57,154  

Sykes Enterprises

      1,816        56,105 * 
     

 

 

  

Total IT Services

         215,207  
     

 

 

  

Semiconductors & Semiconductor Equipment - 3.3%

      

Cirrus Logic Inc.

      1,166        79,241 * 

Diodes Inc.

      1,397        65,170 * 

Ichor Holdings Ltd.

      1,631        47,479 * 

NVE Corp.

      565        35,171  

SMART Global Holdings Inc.

      1,413        41,966 * 

Synaptics Inc.

      1,420        59,796 * 

Ultra Clean Holdings Inc.

      3,239        69,218 * 
     

 

 

  

Total Semiconductors & Semiconductor Equipment

         398,041  
     

 

 

  

Software - 1.5%

      

American Software Inc., Class A Shares

      2,517        40,800  

GlobalSCAPE Inc.

      2,317        22,475  

Intelligent Systems Corp.

      422        19,062 * 

Progress Software Corp.

      1,301        51,884  

Qualys Inc.

      560        47,785 * 
     

 

 

  

Total Software

         182,006  
     

 

 

  

TOTAL INFORMATION TECHNOLOGY

         1,565,852  
     

 

 

  
MATERIALS - 6.2%      

Chemicals - 1.6%

      

FutureFuel Corp.

      4,733        58,358  

Tredegar Corp.

      2,728        54,233  

Trinseo SA

      1,776        75,480  
     

 

 

  

Total Chemicals

         188,071  
     

 

 

  

Containers & Packaging - 0.6%

      

Myers Industries Inc.

      2,737        46,337  

UFP Technologies Inc.

      786        32,706 * 
     

 

 

  

Total Containers & Packaging

         79,043  
     

 

 

  

Metals & Mining - 2.6%

      

AK Steel Holding Corp.

      25,442        60,043 * 

Materion Corp.

      804        45,699  

Schnitzer Steel Industries Inc., Class A Shares

      2,517        53,713  

Warrior Met Coal Inc.

      4,268        83,141  

Worthington Industries Inc.

      1,882        69,276  
     

 

 

  

Total Metals & Mining

         311,872  
     

 

 

  

 

See Notes to Schedule of Investments.

 

8

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2019

 

SECURITY

     SHARES      VALUE  

Paper & Forest Products - 1.4%

        

Domtar Corp.

        2,466      $ 89,738  

Verso Corp., Class A Shares

        5,229        76,552 * 
       

 

 

  

Total Paper & Forest Products

           166,290  
       

 

 

  

TOTAL MATERIALS

           745,276  
       

 

 

  
REAL ESTATE - 1.1%        

Real Estate Management & Development - 1.1%

        

Consolidated-Tomoka Land Co.

        460        29,426  

Marcus & Millichap Inc.

        1,243        44,400 * 

RMR Group Inc., Class A Shares

        1,172        56,725  
       

 

 

  

TOTAL REAL ESTATE

           130,551  
       

 

 

  
UTILITIES - 1.2%        

Electric Utilities - 1.2%

        

Genie Energy Ltd., Class B Shares

        4,966        36,997  

Otter Tail Corp.

        1,143        64,785  

Spark Energy Inc., Class A Shares

        4,733        45,295  
       

 

 

  

TOTAL UTILITIES

           147,077  
       

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $12,250,812)

 

        11,879,655  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.5%        

Dreyfus Treasury Cash Management, Institutional Class
(Cost - $55,919)

      1.625 %      55,919        55,919  
       

 

 

  

TOTAL INVESTMENTS - 100.0%
(Cost - $12,306,731)

           11,935,574  

Other Assets in Excess of Liabilities - 0.0%

           703  
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 11,936,277  
       

 

 

  

 

*

Non-income producing security.

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

9

Legg Mason Small-Cap Quality Value ETF 2019 Quarterly Report

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Legg Mason Small-Cap Quality Value ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment 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 NASDAQ. 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 principally in-kind (although under some circumstances its shares are created and redeemed partially for 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 Royce Small-Cap Quality Value Index (the “Underlying Index”). The Underlying Index utilizes a proprietary methodology created and sponsored by Royce & Associates, LP (“Royce”), 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”).

(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, 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. Investments in open-end funds are

 

10

Notes to Schedule of Investments (unaudited) (continued)

 

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 use the currency exchange rates, generally determined as of 4:00 p.m. (London 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.

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.

 

11

Notes to Schedule of Investments (unaudited) (continued)

 

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  

Common Stocks†

    $ 11,879,655        —          —        $ 11,879,655  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      55,919        —          —          55,919  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 11,935,574        —          —        $ 11,935,574  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

12