NPORT-EX 2 832212LMSmlCapQualityValue.htm HTML

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited)    April 30, 2020

 

SECURITY

    SHARES      VALUE  
COMMON STOCKS - 99.8%      
COMMUNICATION SERVICES - 3.1%      

Entertainment - 0.4%

      

Sciplay Corp., Class A Shares

      3,505      $ 36,978 * 
     

 

 

  

Interactive Media & Services - 1.3%

      

Eventbrite Inc., Class A Shares

      2,834        25,846 * 

Travelzoo

      2,050        11,419 * 

TripAdvisor Inc.

      3,435        68,597  

TrueCar Inc.

      12,756        32,655 * 
     

 

 

  

Total Interactive Media & Services

         138,517  
     

 

 

  

Media - 1.4%

      

AMC Networks Inc., Class A Shares

      2,019        48,153 * 

MSG Networks Inc., Class A Shares

      3,074        36,519 * 

National CineMedia Inc.

      9,462        31,225  

Tribune Publishing Co.

      3,862        33,097  
     

 

 

  

Total Media

         148,994  
     

 

 

  

TOTAL COMMUNICATION SERVICES

         324,489  
     

 

 

  
CONSUMER DISCRETIONARY - 11.3%      

Auto Components - 0.3%

      

Superior Industries International Inc.

      24,760        34,911  
     

 

 

  

Diversified Consumer Services - 1.3%

      

American Public Education Inc.

      1,473        37,959 * 

Collectors Universe Inc.

      1,316        28,912  

Houghton Mifflin Harcourt Co.

      9,743        15,589 * 

K12 Inc.

      2,236        50,780 * 
     

 

 

  

Total Diversified Consumer Services

         133,240  
     

 

 

  

Hotels, Restaurants & Leisure - 1.0%

      

Cheesecake Factory Inc.

      1,865        41,571  

Hilton Grand Vacations Inc.

      2,025        41,715 * 

Ruth’s Hospitality Group Inc.

      2,420        27,237  
     

 

 

  

Total Hotels, Restaurants & Leisure

         110,523  
     

 

 

  

Household Durables - 2.3%

      

Ethan Allen Interiors Inc.

      3,641        41,180  

iRobot Corp.

      1,008        61,448 * 

La-Z-Boy Inc.

      1,953        45,798  

Meritage Homes Corp.

      952        50,037 * 

Sonos Inc.

      3,783        38,662 * 
     

 

 

  

Total Household Durables

         237,125  
     

 

 

  

Internet & Direct Marketing Retail - 1.2%

      

PetMed Express Inc.

      1,362        53,894  

 

See Notes to Schedule of Investments.

 

    

 

   Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report      

 

1

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Internet & Direct Marketing Retail - (continued)

      

Revolve Group Inc.

      2,336      $ 25,673 * 

Shutterstock Inc.

      1,293        49,134  
     

 

 

  

Total Internet & Direct Marketing Retail

         128,701  
     

 

 

  

Leisure Products - 0.3%

      

Malibu Boats Inc., Class A Shares

      1,044        35,893 * 
     

 

 

  

Multiline Retail - 0.4%

      

Dillard’s Inc., Class A Shares

      1,305        38,471  
     

 

 

  

Specialty Retail - 3.9%

      

American Eagle Outfitters Inc.

      6,243        49,632  

Buckle Inc.

      2,911        44,567  

Michaels Cos. Inc.

      16,355        49,719 * 

Rent-A-Center Inc.

      2,644        52,629  

Sally Beauty Holdings Inc.

      4,298        41,734 * 

Shoe Carnival Inc.

      1,409        33,281  

Sleep Number Corp.

      947        28,315 * 

Urban Outfitters Inc.

      3,377        58,557 * 

Winmark Corp.

      115        17,250  

Zumiez Inc.

      1,742        36,826 * 
     

 

 

  

Total Specialty Retail

         412,510  
     

 

 

  

Textiles, Apparel & Luxury Goods - 0.6%

      

Culp Inc.

      4,039        28,717  

Kontoor Brands Inc.

      1,619        31,425  
     

 

 

  

Total Textiles, Apparel & Luxury Goods

         60,142  
     

 

 

  

TOTAL CONSUMER DISCRETIONARY

         1,191,516  
     

 

 

  
CONSUMER STAPLES - 3.0%      

Beverages - 0.6%

      

National Beverage Corp.

      1,137        57,112 * 
     

 

 

  

Food Products - 0.4%

      

Seneca Foods Corp., Class A Shares

      1,176        42,313 * 
     

 

 

  

Household Products - 0.3%

      

Oil-Dri Corp. of America

      929        34,735  
     

 

 

  

Personal Products - 1.1%

      

BellRing Brands Inc., Class A Shares

      2,124        37,234 * 

Lifevantage Corp.

      1,832        28,396 * 

USANA Health Sciences Inc.

      584        52,104 * 
     

 

 

  

Total Personal Products

         117,734  
     

 

 

  

Tobacco - 0.6%

      

Vector Group Ltd.

      5,799        62,049  
     

 

 

  

TOTAL CONSUMER STAPLES

         313,943  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

    

 

2

       Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  
ENERGY - 8.2%      

Energy Equipment & Services - 4.2%

      

Cactus Inc., Class A Shares

      2,744      $ 48,788  

Era Group Inc.

      4,380        22,426 * 

ION Geophysical Corp.

      12,181        24,606 * 

Liberty Oilfield Services Inc., Class A Shares

      13,375        63,130  

Matrix Service Co.

      3,168        33,074 * 

NexTier Oilfield Solutions Inc.

      21,211        49,209 * 

Patterson-UTI Energy Inc.

      25,615        94,519  

Select Energy Services Inc., Class A Shares

      11,349        54,475 * 

Smart Sand Inc.

      24,406        20,257 * 

Solaris Oilfield Infrastructure Inc., Class A Shares

      4,744        32,449  
     

 

 

  

Total Energy Equipment & Services

         442,933  
     

 

 

  

Oil, Gas & Consumable Fuels - 4.0%

      

Arch Coal Inc., Class A Shares

      1,481        43,231  

Bonanza Creek Energy Inc.

      3,566        62,262 * 

CONSOL Energy Inc.

      9,541        72,416 * 

CVR Energy Inc.

      3,814        90,964  

Falcon Minerals Corp.

      17,749        43,396  

NACCO Industries Inc., Class A Shares

      966        33,955  

Peabody Energy Corp.

      21,466        72,770  
     

 

 

  

Total Oil, Gas & Consumable Fuels

         418,994  
     

 

 

  

TOTAL ENERGY

         861,927  
     

 

 

  
FINANCIALS - 19.9%      

Banks - 9.1%

      

Associated Banc-Corp.

      5,007        70,799  

Boston Private Financial Holdings Inc.

      5,814        44,187  

Cathay General Bancorp

      2,481        69,270  

Eagle Bancorp Inc.

      1,416        49,673  

Financial Institutions Inc.

      1,760        34,056  

First Internet Bancorp

      1,332        20,913  

Hancock Whitney Corp.

      2,785        58,234  

HBT Financial Inc.

      3,348        39,004  

Home BancShares Inc.

      4,136        63,405  

IBERIABANK Corp.

      1,524        63,185  

Metrocity Bankshares Inc.

      2,554        27,034  

MVB Financial Corp.

      1,606        22,050  

Old Second Bancorp Inc.

      3,463        28,501  

Parke Bancorp Inc.

      1,748        24,629  

PCB Bancorp

      2,453        23,009  

Preferred Bank

      915        34,907  

 

See Notes to Schedule of Investments.

 

    

 

   Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report      

 

3

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Banks - (continued)

      

RBB Bancorp

      2,327      $ 30,065  

Sterling Bancorp

      4,795        59,122  

Texas Capital Bancshares Inc.

      1,713        47,587 * 

Umpqua Holdings Corp.

      6,257        78,369  

Wintrust Financial Corp.

      1,480        62,012  
     

 

 

  

Total Banks

         950,011  
     

 

 

  

Capital Markets - 4.8%

      

Artisan Partners Asset Management Inc., Class A Shares

      2,500        73,600  

Brightsphere Investment Group Inc.

      6,728        49,854  

Cohen & Steers Inc.

      1,060        61,204  

Diamond Hill Investment Group Inc.

      348        38,127  

Evercore Inc., Class A Shares

      1,155        59,598  

Federated Hermes Inc.

      2,463        56,083  

Moelis & Co., Class A Shares

      2,431        72,614  

Safeguard Scientifics Inc.

      3,402        24,120  

Waddell & Reed Financial Inc., Class A Shares

      4,581        66,654  
     

 

 

  

Total Capital Markets

         501,854  
     

 

 

  

Consumer Finance - 1.8%

      

Atlanticus Holdings Corp.

      2,194        35,323 * 

Curo Group Holdings Corp.

      7,444        69,378  

Elevate Credit Inc.

      17,627        32,963 * 

Enova International Inc.

      3,229        51,793 * 
     

 

 

  

Total Consumer Finance

         189,457  
     

 

 

  

Insurance - 1.9%

      

American National Insurance Co.

      856        68,908  

Employers Holdings Inc.

      1,324        40,210  

Hallmark Financial Services Inc.

      3,713        16,040 * 

Investors Title Co.

      238        31,868  

National Western Life Group Inc., Class A Shares

      238        45,870  
     

 

 

  

Total Insurance

         202,896  
     

 

 

  

Thrifts & Mortgage Finance - 2.3%

      

Axos Financial Inc.

      2,281        52,577 * 

Flagstar Bancorp Inc.

      1,519        39,357  

Merchants Bancorp

      2,068        31,847  

Mr. Cooper Group Inc.

      7,171        68,698 * 

NMI Holdings Inc., Class A Shares

      1,822        24,634 * 

Sterling Bancorp Inc.

      7,068        25,516  
     

 

 

  

Total Thrifts & Mortgage Finance

         242,629  
     

 

 

  

TOTAL FINANCIALS

         2,086,847  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

    

 

4

       Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  
HEALTH CARE - 17.0%      

Biotechnology - 4.1%

      

Akcea Therapeutics Inc.

      2,142      $ 36,543 * 

Alector Inc.

      1,178        29,120 * 

Anika Therapeutics Inc.

      783        26,019 * 

Arena Pharmaceuticals Inc.

      981        48,040 * 

BioSpecifics Technologies Corp.

      406        23,105 * 

Catalyst Pharmaceuticals Inc.

      4,553        21,581 * 

Eagle Pharmaceuticals Inc.

      758        38,643 * 

Enanta Pharmaceuticals Inc.

      644        29,862 * 

Ironwood Pharmaceuticals Inc.

      1,865        18,650 * 

Lexicon Pharmaceuticals Inc.

      10,189        19,257 * 

Myriad Genetics Inc.

      2,870        44,370 * 

Puma Biotechnology Inc.

      1,848        18,572 * 

Scholar Rock Holding Corp.

      1,255        20,620 * 

Vanda Pharmaceuticals Inc.

      2,912        33,488 * 

Voyager Therapeutics Inc.

      1,738        18,788 * 
     

 

 

  

Total Biotechnology

         426,658  
     

 

 

  

Health Care Equipment & Supplies - 7.0%

      

AngioDynamics Inc.

      3,254        33,939 * 

Atrion Corp.

      47        29,696  

CryoLife Inc.

      1,134        25,322 * 

Electromed Inc.

      1,489        20,831 * 

FONAR Corp.

      1,404        27,378 * 

Heska Corp.

      277        19,612 * 

Inogen Inc.

      741        37,050 * 

iRadimed Corp.

      800        17,408 * 

Lantheus Holdings Inc.

      2,150        28,058 * 

LeMaitre Vascular Inc.

      1,029        29,316  

Meridian Bioscience Inc.

      5,120        61,440 * 

Merit Medical Systems Inc.

      1,121        45,759 * 

Mesa Laboratories Inc.

      122        29,036  

Natus Medical Inc.

      1,289        32,212 * 

NuVasive Inc.

      823        50,104 * 

OraSure Technologies Inc.

      4,890        77,947 * 

Orthofix Medical Inc.

      1,021        36,194 * 

Surmodics Inc.

      753        28,689 * 

Tactile Systems Technology Inc.

      480        24,778 * 

Utah Medical Products Inc.

      295        24,485  

Varex Imaging Corp.

      2,300        60,099 * 
     

 

 

  

Total Health Care Equipment & Supplies

         739,353  
     

 

 

  

 

See Notes to Schedule of Investments.

 

    

 

   Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report      

 

5

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Health Care Providers & Services - 2.5%

      

Magellan Health Inc.

      1,035      $ 62,856 * 

MEDNAX Inc.

      3,958        57,470 * 

National HealthCare Corp.

      650        44,440  

National Research Corp.

      639        32,966  

Premier Inc., Class A Shares

      1,856        61,545 * 
     

 

 

  

Total Health Care Providers & Services

         259,277  
     

 

 

  

Health Care Technology - 0.3%

      

NextGen Healthcare Inc.

      3,231        34,087 * 
     

 

 

  

Pharmaceuticals - 3.1%

      

ANI Pharmaceuticals Inc.

      703        28,127 * 

Corcept Therapeutics Inc.

      3,240        41,018 * 

Innoviva Inc.

      3,330        47,220 * 

Lannett Co. Inc.

      4,984        47,547 * 

Osmotica Pharmaceuticals PLC

      6,184        24,736 * 

Pacira BioSciences Inc.

      874        36,088 * 

Phibro Animal Health Corp., Class A Shares

      1,565        41,801  

Supernus Pharmaceuticals Inc.

      2,479        58,009 * 
     

 

 

  

Total Pharmaceuticals

         324,546  
     

 

 

  

TOTAL HEALTH CARE

         1,783,921  
     

 

 

  
INDUSTRIALS - 17.4%      

Air Freight & Logistics - 1.3%

      

Echo Global Logistics Inc.

      2,550        44,702 * 

Hub Group Inc. , Class A Shares

      1,195        57,491 * 

Radiant Logistics Inc.

      7,926        33,923 * 
     

 

 

  

Total Air Freight & Logistics

         136,116  
     

 

 

  

Building Products - 1.6%

      

Builders FirstSource Inc.

      2,937        53,894 * 

Insteel Industries Inc.

      2,067        36,317  

Patrick Industries Inc.

      1,221        50,329  

Quanex Building Products Corp.

      2,546        31,749  
     

 

 

  

Total Building Products

         172,289  
     

 

 

  

Commercial Services & Supplies - 3.5%

      

ACCO Brands Corp.

      6,987        51,704  

Deluxe Corp.

      1,920        54,086  

Ennis Inc.

      2,152        40,049  

Healthcare Services Group Inc.

      2,173        55,390  

Herman Miller Inc.

      1,999        45,057  

HNI Corp.

      1,853        45,102  

 

See Notes to Schedule of Investments.

 

 

    

 

6

       Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Commercial Services & Supplies - (continued)

      

Kimball International Inc., Class B Shares

      2,743      $ 33,657  

Steelcase Inc., Class A Shares

      4,252        46,559  
     

 

 

  

Total Commercial Services & Supplies

         371,604  
     

 

 

  

Construction & Engineering - 1.6%

      

Arcosa Inc.

      1,345        50,128  

Comfort Systems USA Inc.

      1,174        39,094  

Great Lakes Dredge & Dock Corp.

      4,192        37,058 * 

HC2 Holdings Inc.

      15,596        41,953 * 
     

 

 

  

Total Construction & Engineering

         168,233  
     

 

 

  

Electrical Equipment - 0.7%

      

Encore Wire Corp.

      923        42,255  

Powell Industries Inc.

      1,299        32,956  
     

 

 

  

Total Electrical Equipment

         75,211  
     

 

 

  

Machinery - 1.9%

      

Commercial Vehicle Group Inc.

      9,391        22,726 * 

Lydall Inc.

      3,538        39,626 * 

Mueller Industries Inc.

      2,151        55,711  

Omega Flex Inc.

      401        36,130  

Wabash National Corp.

      4,988        40,901  
     

 

 

  

Total Machinery

         195,094  
     

 

 

  

Professional Services - 3.0%

      

Barrett Business Services Inc.

      745        36,445  

Heidrick & Struggles International Inc.

      1,709        38,350  

Kelly Services Inc., Class A Shares

      3,768        58,216  

Kforce Inc.

      1,397        41,840  

Korn Ferry

      1,700        49,011  

Resources Connection Inc.

      3,393        36,916  

TrueBlue Inc.

      3,363        52,227 * 
     

 

 

  

Total Professional Services

         313,005  
     

 

 

  

Road & Rail - 0.9%

      

ArcBest Corp.

      2,549        51,923  

Universal Logistics Holdings Inc.

      2,835        39,492  
     

 

 

  

Total Road & Rail

         91,415  
     

 

 

  

Trading Companies & Distributors - 2.9%

      

BMC Stock Holdings Inc.

      2,392        50,830 * 

GMS Inc.

      2,349        43,175 * 

H&E Equipment Services Inc.

      2,463        40,048  

MRC Global Inc.

      10,845        58,129 * 

NOW Inc.

      6,879        42,444 * 

 

See Notes to Schedule of Investments.

 

    

 

   Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report      

 

7

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Trading Companies & Distributors - (continued)

      

WESCO International Inc.

      2,040      $ 52,775 * 

Willis Lease Finance Corp.

      716        14,327 * 
     

 

 

  

Total Trading Companies & Distributors

         301,728  
     

 

 

  

TOTAL INDUSTRIALS

         1,824,695  
     

 

 

  
INFORMATION TECHNOLOGY - 13.3%      

Communications Equipment - 1.4%

      

Communications Systems Inc.

      3,734        21,247  

Comtech Telecommunications Corp.

      1,824        33,762  

NetScout Systems Inc.

      2,210        58,521 * 

PC-Tel Inc.

      4,494        30,694 * 
     

 

 

  

Total Communications Equipment

         144,224  
     

 

 

  

Electronic Equipment, Instruments & Components - 4.1%

      

Insight Enterprises Inc.

      1,221        66,288 * 

PC Connection Inc.

      1,245        57,208  

Plexus Corp.

      769        48,209 * 

Sanmina Corp.

      2,499        69,297 * 

ScanSource Inc.

      2,195        56,894 * 

TTM Technologies Inc.

      4,475        51,865 * 

Vishay Intertechnology Inc.

      3,505        58,148  

Vishay Precision Group Inc.

      1,223        28,276 * 
     

 

 

  

Total Electronic Equipment, Instruments & Components

         436,185  
     

 

 

  

IT Services - 2.1%

      

Cass Information Systems Inc.

      860        34,495  

CSG Systems International Inc.

      1,073        52,126  

Hackett Group Inc.

      2,198        32,596  

NIC Inc.

      2,293        55,559  

Sykes Enterprises

      1,471        42,115 * 
     

 

 

  

Total IT Services

         216,891  
     

 

 

  

Semiconductors & Semiconductor Equipment - 2.8%

      

Diodes Inc.

      1,098        55,877 * 

Ichor Holdings Ltd.

      1,260        31,374 * 

NVE Corp.

      566        32,132  

Power Integrations Inc.

      506        51,789  

SMART Global Holdings Inc.

      1,551        39,225 * 

Synaptics Inc.

      675        44,138 * 

Ultra Clean Holdings Inc.

      2,082        38,288 * 
     

 

 

  

Total Semiconductors & Semiconductor Equipment

         292,823  
     

 

 

  

Software - 1.9%

      

Cerence Inc.

      2,153        45,557 * 

CommVault Systems Inc.

      1,026        43,800 * 

 

See Notes to Schedule of Investments.

 

 

    

 

8

       Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    SHARES      VALUE  

Software - (continued)

      

GlobalSCAPE Inc.

      2,374      $ 22,126  

Intelligent Systems Corp.

      498        16,703 * 

Progress Software Corp.

      1,286        52,610  

Telenav Inc.

      4,092        19,110 * 
     

 

 

  

Total Software

         199,906  
     

 

 

  

Technology Hardware, Storage & Peripherals - 1.0%

      

NCR Corp.

      2,975        61,047 * 

Super Micro Computer Inc.

      2,086        47,769 * 
     

 

 

  

Total Technology Hardware, Storage & Peripherals

         108,816  
     

 

 

  

TOTAL INFORMATION TECHNOLOGY

         1,398,845  
     

 

 

  
MATERIALS - 5.5%      

Chemicals - 2.0%

      

Advanced Emissions Solutions Inc.

      4,170        30,983  

FutureFuel Corp.

      4,656        48,329  

PolyOne Corp.

      2,659        61,928  

Trinseo SA

      3,492        71,412  
     

 

 

  

Total Chemicals

         212,652  
     

 

 

  

Containers & Packaging - 0.3%

      

Myers Industries Inc.

      2,820        34,855  
     

 

 

  

Metals & Mining - 2.6%

      

Commercial Metals Co.

      3,931        62,660  

Haynes International Inc.

      1,578        34,874  

Materion Corp.

      1,008        52,154  

Warrior Met Coal Inc.

      5,562        69,803  

Worthington Industries Inc.

      2,062        54,519  
     

 

 

  

Total Metals & Mining

         274,010  
     

 

 

  

Paper & Forest Products - 0.6%

      

Boise Cascade Co.

      1,864        58,288  
     

 

 

  

TOTAL MATERIALS

         579,805  
     

 

 

  
REAL ESTATE - 0.4%      

Real Estate Management & Development - 0.4%

      

Marcus & Millichap Inc.

      1,331        38,666 * 
     

 

 

  
UTILITIES - 0.7%      

Electric Utilities - 0.7%

      

Genie Energy Ltd., Class B Shares

      4,911        38,699  

Spark Energy Inc., Class A Shares

      4,178        30,165  
     

 

 

  

TOTAL UTILITIES

         68,864  
     

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $12,789,061)

         10,473,518  
     

 

 

  

 

See Notes to Schedule of Investments.

 

    

 

   Legg Mason Small-Cap Quality Value ETF 2020 Quarterly Report      

 

9

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    April 30, 2020

 

SECURITY

    RATE     SHARES      VALUE  
SHORT-TERM INVESTMENTS - 0.2%        

Dreyfus Treasury Cash Management, Institutional Class
(Cost - $22,382)

      0.159 %      22,382      $ 22,382  
       

 

 

  

TOTAL INVESTMENTS - 100.0%
(Cost - $12,811,443)

           10,495,900  

Liabilities in Excess of Other Assets - (0.0)%

           (1,747 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 10,494,153  
       

 

 

  

 

*

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.

 

 

    

 

10

       Legg Mason Small-Cap Quality Value ETF 2020 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

 

    

 

    

 

11

Notes to Schedule of Investments (unaudited) (continued)

 

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 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

 

 

    

 

12

    

Notes to Schedule of Investments (unaudited) (continued)

 

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  

Common Stocks†

    $ 10,473,518        —          —        $ 10,473,518  

Short-Term Investments†

      22,382        —          —          22,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 10,495,900        —          —        $ 10,495,900  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

    

 

    

 

13