NPORT-EX 2 832212SmllCapQualityValueETF.htm HTML

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  
COMMON STOCKS - 98.7%      
COMMUNICATION SERVICES - 4.9%      

Diversified Telecommunication Services - 0.4%

      

IDT Corp., Class B Shares

      1,327      $ 64,187 * 
     

 

 

  

Entertainment - 0.3%

      

Sciplay Corp., Class A Shares

      3,165        63,965 * 
     

 

 

  

Interactive Media & Services - 1.2%

      

Eventbrite Inc., Class A Shares

      2,263        45,803 * 

Outbrain Inc.

      2,976        50,413 * 

TrueCar Inc.

      12,355        51,768 * 

Yelp Inc.

      2,113        81,625 * 
     

 

 

  

Total Interactive Media & Services

         229,609  
     

 

 

  

Media - 3.0%

      

AMC Networks Inc., Class A Shares

      2,045        81,370 * 

Gray Television Inc.

      4,566        107,027  

Hemisphere Media Group Inc.

      4,335        47,902 * 

Meredith Corp.

      2,545        148,221 * 

TEGNA Inc.

      6,618        130,110  

Thryv Holdings Inc.

      2,384        75,501 * 
     

 

 

  

Total Media

         590,131  
     

 

 

  

TOTAL COMMUNICATION SERVICES

         947,892  
     

 

 

  
CONSUMER DISCRETIONARY - 15.8%      

Auto Components - 1.5%

      

American Axle & Manufacturing Holdings Inc.

      11,652        105,800 * 

Modine Manufacturing Co.

      6,149        67,639 * 

Tenneco Inc., Class A Shares

      8,357        110,897 * 
     

 

 

  

Total Auto Components

         284,336  
     

 

 

  

Diversified Consumer Services - 2.0%

      

Adtalem Global Education Inc.

      2,075        76,630 * 

American Public Education Inc.

      2,104        52,579 * 

H&R Block Inc.

      5,066        116,872  

Houghton Mifflin Harcourt Co.

      5,199        73,774 * 

Stride Inc.

      2,154        76,467 * 
     

 

 

  

Total Diversified Consumer Services

         396,322  
     

 

 

  

Hotels, Restaurants & Leisure - 0.5%

      

Red Rock Resorts Inc., Class A Shares

      1,646        89,559 * 
     

 

 

  

Household Durables - 3.0%

      

Beazer Homes USA Inc.

      4,603        83,360 * 

Century Communities Inc.

      1,319        88,452  

Ethan Allen Interiors Inc.

      3,310        76,825  

La-Z-Boy Inc.

      2,616        86,956  

 

See Notes to Schedule of Investments.

 

 

Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report    

  

 

 

1

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Household Durables - (continued)

      

Taylor Morrison Home Corp., Class A Shares

      4,375      $ 133,569 * 

Tri Pointe Homes Inc.

      4,652        112,532 * 

ZAGG Inc. CVR

      8,902        801 (a)(b)  
     

 

 

  

Total Household Durables

         582,495  
     

 

 

  

Internet & Direct Marketing Retail - 1.0%

      

Liquidity Services Inc.

      1,800        39,744 * 

PetMed Express Inc.

      2,394        68,061  

Shutterstock Inc.

      758        91,832  
     

 

 

  

Total Internet & Direct Marketing Retail

         199,637  
     

 

 

  

Media - 0.4%

      

Entravision Communications Corp., Class A Shares

      9,335        74,400  
     

 

 

  

Multiline Retail - 0.6%

      

Dillard’s Inc., Class A Shares

      534        123,429  
     

 

 

  

Specialty Retail - 4.4%

      

Aaron’s Co. Inc.

      3,029        70,848  

Big 5 Sporting Goods Corp.

      2,978        72,008  

Camping World Holdings Inc., Class A Shares

      3,233        120,429  

Cato Corp., Class A Shares

      4,208        74,187  

Conn’s Inc.

      3,486        77,633 * 

Haverty Furniture Cos. Inc.

      2,302        66,068  

JOANN Inc.

      7,380        75,424  

MarineMax Inc.

      1,629        84,366 * 

OneWater Marine Inc., Class A Shares

      1,704        75,555  

Shoe Carnival Inc.

      2,050        69,434  

Zumiez Inc.

      1,926        78,388 * 
     

 

 

  

Total Specialty Retail

         864,340  
     

 

 

  

Textiles, Apparel & Luxury Goods - 2.4%

      

Fossil Group Inc.

      6,046        71,464 * 

G-III Apparel Group Ltd

      3,113        89,219 * 

Kontoor Brands Inc.

      1,856        98,368  

Movado Group Inc.

      2,131        70,962  

Vera Bradley Inc.

      5,617        55,103 * 

Wolverine World Wide Inc.

      2,684        89,028  
     

 

 

  

Total Textiles, Apparel & Luxury Goods

         474,144  
     

 

 

  

TOTAL CONSUMER DISCRETIONARY

         3,088,662  
     

 

 

  
CONSUMER STAPLES - 1.6%      

Personal Products - 1.0%

      

BellRing Brands Inc., Class A Shares

      1,972        52,889 * 

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report

  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Personal Products - (continued)

      

Nature’s Sunshine Products Inc.

      3,404      $ 53,749  

USANA Health Sciences Inc.

      778        75,513 * 
     

 

 

  

Total Personal Products

         182,151  
     

 

 

  

Tobacco - 0.6%

      

Vector Group Ltd.

      9,326        123,663  
     

 

 

  

TOTAL CONSUMER STAPLES

         305,814  
     

 

 

  
ENERGY - 2.7%      

Energy Equipment & Services - 0.4%

      

Helix Energy Solutions Group Inc.

      20,332        76,855 * 
     

 

 

  

Oil, Gas & Consumable Fuels - 2.3%

      

Berry Corp.

      12,540        120,509  

CONSOL Energy Inc.

      2,655        73,039 * 

PDC Energy Inc.

      2,185        114,297  

World Fuel Services Corp.

      4,507        137,599  
     

 

 

  

Total Oil, Gas & Consumable Fuels

         445,444  
     

 

 

  

TOTAL ENERGY

         522,299  
     

 

 

  
FINANCIALS - 24.3%      

Banks - 7.7%

      

Ameris Bancorp

      2,044        107,085  

Blue Ridge Bankshares Inc.

      2,665        48,903  

Civista Bancshares Inc.

      2,504        60,246  

Customers Bancorp Inc.

      2,023        107,806 * 

Farmers National Banc Corp.

      3,905        69,587  

Financial Institutions Inc.

      2,312        73,799  

First Internet Bancorp

      1,711        58,242  

Hanmi Financial Corp.

      4,038        89,603  

HBT Financial Inc.

      5,814        104,826  

Hilltop Holdings Inc.

      2,980        105,611  

Horizon Bancorp Inc.

      4,509        85,987  

Independent Bank Corp.

      3,120        70,294  

Macatawa Bank Corp.

      7,206        60,530  

Mercantile Bank Corp.

      2,310        79,395  

Mid Penn Bancorp Inc.

      2,050        57,441  

Northeast Bank

      1,358        44,950  

South Plains Financial Inc.

      2,478        64,577  

Umpqua Holdings Corp.

      6,366        130,185  

Univest Financial Corp.

      2,789        80,044  
     

 

 

  

Total Banks

         1,499,111  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report    

  

 

 

3

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Capital Markets - 5.5%

      

Artisan Partners Asset Management Inc., Class A Shares

      2,348      $ 116,320  

B Riley Financial Inc.

      1,767        126,623  

Brightsphere Investment Group Inc.

      2,893        86,732  

Cowen Inc., Class A Shares

      2,765        104,324  

Diamond Hill Investment Group Inc.

      405        87,828  

Donnelley Financial Solutions Inc.

      1,846        70,739 * 

Federated Hermes Inc., Class B Shares

      3,631        120,949  

GAMCO Investors Inc., Class A Shares

      2,235        59,116  

Oppenheimer Holdings Inc., Class A Shares

      1,662        86,507  

Victory Capital Holdings Inc., Class A Shares

      2,396        90,808  

Virtu Financial Inc., Class A Shares

      5,034        125,246  
     

 

 

  

Total Capital Markets

         1,075,192  
     

 

 

  

Consumer Finance - 0.3%

      

Green Dot Corp., Class A Shares

      1,570        66,505 * 
     

 

 

  

Diversified Financial Services - 0.5%

      

Cannae Holdings Inc.

      2,869        97,833 * 
     

 

 

  

Insurance - 5.1%

      

American Equity Investment Life Holding Co.

      4,858        154,824  

CNO Financial Group Inc.

      3,375        81,473  

Donegal Group Inc., Class A Shares

      5,055        72,034  

Investors Title Co.

      365        70,737  

Mercury General Corp.

      2,160        117,698  

National Western Life Group Inc., Class A Shares

      453        97,400  

Safety Insurance Group Inc.

      1,151        90,250  

Stewart Information Services Corp.

      1,550        110,313  

Tiptree Inc.

      7,129        111,284  

White Mountains Insurance Group Ltd.

      86        90,729  
     

 

 

  

Total Insurance

         996,742  
     

 

 

  

Thrifts & Mortgage Finance - 5.2%

      

Flagstar Bancorp Inc.

      2,937        138,597  

FS Bancorp Inc.

      1,505        51,862  

HomeStreet Inc.

      1,710        80,644  

Merchants Bancorp

      2,036        90,460  

NMI Holdings Inc., Class A Shares

      3,704        89,933 * 

PennyMac Financial Services Inc.

      1,550        96,193  

Premier Financial Corp.

      2,646        84,354  

Radian Group Inc.

      5,419        129,352  

Southern Missouri Bancorp Inc.

      1,243        67,619  

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report

  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Thrifts & Mortgage Finance - (continued)

      

Waterstone Financial Inc.

      3,466      $ 71,642  

WSFS Financial Corp.

      2,004        103,827  
     

 

 

  

Total Thrifts & Mortgage Finance

         1,004,483  
     

 

 

  

TOTAL FINANCIALS

         4,739,866  
     

 

 

  
HEALTH CARE - 16.9%      

Biotechnology - 3.8%

      

Anika Therapeutics Inc.

      1,128        46,981 * 

Arcus Biosciences Inc.

      1,536        51,364 * 

Catalyst Pharmaceuticals Inc.

      9,046        53,371 * 

Coherus Biosciences Inc.

      2,957        49,471 * 

CytomX Therapeutics Inc.

      6,881        40,804 * 

Eagle Pharmaceuticals Inc.

      934        48,914 * 

Emergent BioSolutions Inc.

      1,415        67,453 * 

Ideaya Biosciences Inc.

      1,524        32,675 * 

Inozyme Pharma Inc.

      2,810        26,245 * 

Ironwood Pharmaceuticals Inc.

      5,197        66,366 * 

Myriad Genetics Inc.

      2,150        66,155 * 

Puma Biotechnology Inc.

      5,640        28,764 * 

Sage Therapeutics Inc.

      1,679        67,764 * 

Surface Oncology Inc.

      5,854        43,437 * 

Vanda Pharmaceuticals Inc.

      3,449        59,047 * 
     

 

 

  

Total Biotechnology

         748,811  
     

 

 

  

Health Care Equipment & Supplies - 6.0%

      

Accuray Inc.

      11,394        56,856 * 

AngioDynamics Inc.

      1,882        53,825 * 

Atrion Corp.

      77        56,056  

Bioventus Inc.

      4,257        64,281 * 

Co-Diagnostics Inc.

      3,680        30,213 * 

CONMED Corp.

      618        90,401  

Heska Corp.

      192        42,918 * 

Inari Medical Inc.

      476        43,087 * 

Inogen Inc.

      1,065        42,227 * 

iRadimed Corp.

      906        33,812 * 

LeMaitre Vascular Inc.

      905        47,069  

Meridian Bioscience Inc.

      2,894        54,436 * 

Merit Medical Systems Inc.

      1,000        67,260 * 

Mesa Laboratories Inc.

      177        54,109  

Natus Medical Inc.

      2,319        58,091 * 

Neogen Corp.

      1,576        66,681 * 

NuVasive Inc.

      1,194        63,712 * 

 

See Notes to Schedule of Investments.

 

 

Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report    

  

 

 

5

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Health Care Equipment & Supplies - (continued)

      

OraSure Technologies Inc.

      4,456      $ 47,545 * 

Orthofix Medical Inc.

      1,352        48,645 * 

Retractable Technologies Inc.

      2,819        26,668 * 

Surmodics Inc.

      675        37,570 * 

Tactile Systems Technology Inc.

      914        31,524 * 

Utah Medical Products Inc.

      488        47,253  
     

 

 

  

Total Health Care Equipment & Supplies

         1,164,239  
     

 

 

  

Health Care Providers & Services - 2.3%

      

Apria Inc.

      2,853        106,788 * 

Fulgent Genetics Inc.

      811        67,248 * 

ModivCare Inc.

      435        70,805 * 

National HealthCare Corp.

      1,224        85,607  

Tivity Health Inc.

      2,573        64,376 * 

US Physical Therapy Inc.

      576        62,127  
     

 

 

  

Total Health Care Providers & Services

         456,951  
     

 

 

  

Health Care Technology - 0.9%

      

Computer Programs & Systems Inc.

      1,485        53,608 * 

HealthStream Inc.

      1,836        48,856 * 

NextGen Healthcare Inc.

      4,112        67,684 * 
     

 

 

  

Total Health Care Technology

         170,148  
     

 

 

  

Pharmaceuticals - 3.9%

      

Amphastar Pharmaceuticals Inc.

      2,971        55,498 * 

ANI Pharmaceuticals Inc.

      1,720        64,294 * 

Atea Pharmaceuticals Inc.

      2,170        25,259 * 

BioDelivery Sciences International Inc.

      9,047        36,912 * 

Collegium Pharmaceutical Inc.

      2,762        54,218 * 

Corcept Therapeutics Inc.

      3,209        57,762 * 

Harmony Biosciences Holdings Inc.

      967        40,102 * 

Innoviva Inc.

      4,852        84,667 * 

Pacira BioSciences Inc.

      1,125        58,815 * 

Phibro Animal Health Corp., Class A Shares

      3,037        66,632  

Prestige Consumer Healthcare Inc.

      1,535        92,085 * 

SIGA Technologies Inc.

      7,144        51,508 * 

Supernus Pharmaceuticals Inc.

      2,584        77,132 * 
     

 

 

  

Total Pharmaceuticals

         764,884  
     

 

 

  

TOTAL HEALTH CARE

         3,305,033  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report

  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  
INDUSTRIALS - 16.3%      

Aerospace & Defense - 1.1%

      

Aerojet Rocketdyne Holdings Inc.

      2,693      $ 118,519  

Parsons Corp.

      2,769        95,918 * 
     

 

 

  

Total Aerospace & Defense

         214,437  
     

 

 

  

Air Freight & Logistics - 0.5%

      

Atlas Air Worldwide Holdings Inc.

      1,307        106,024 * 
     

 

 

  

Building Products - 1.1%

      

Apogee Enterprises Inc.

      1,869        78,367  

Insteel Industries Inc.

      1,772        72,068  

Quanex Building Products Corp.

      3,210        66,511  
     

 

 

  

Total Building Products

         216,946  
     

 

 

  

Commercial Services & Supplies - 2.5%

      

ABM Industries Inc.

      2,442        107,472  

Civeo Corp.

      2,612        58,953 * 

Ennis Inc.

      3,773        71,460  

Healthcare Services Group Inc.

      3,453        66,263  

Herman Miller Inc.

      2,340        91,073  

HNI Corp.

      2,602        97,315  
     

 

 

  

Total Commercial Services & Supplies

         492,536  
     

 

 

  

Construction & Engineering - 3.0%

      

Comfort Systems USA Inc.

      1,262        115,435  

Dycom Industries Inc.

      1,202        95,463 * 

Granite Construction Inc.

      2,298        85,302  

Infrastructure and Energy Alternatives Inc.

      4,722        52,273 * 

MYR Group Inc.

      707        72,220 * 

Primoris Services Corp.

      3,410        91,899  

Sterling Construction Co. Inc.

      2,846        68,418 * 
     

 

 

  

Total Construction & Engineering

         581,010  
     

 

 

  

Electrical Equipment - 0.5%

      

Atkore Inc.

      941        88,953 * 
     

 

 

  

Machinery - 1.8%

      

Astec Industries Inc.

      1,289        68,807  

Hillenbrand Inc.

      2,518        114,468  

Miller Industries Inc.

      1,745        63,064  

Terex Corp.

      2,180        97,664  
     

 

 

  

Total Machinery

         344,003  
     

 

 

  

Marine - 0.5%

      

Matson Inc.

      1,128        93,940  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report    

  

 

 

7

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Professional Services - 2.7%

      

Barrett Business Services Inc.

      838      $ 68,716  

Forrester Research Inc.

      1,208        64,326 * 

Heidrick & Struggles International Inc.

      1,581        74,117  

Kelly Services Inc., Class A Shares

      4,734        85,354  

Kforce Inc.

      1,233        79,849  

Resources Connection Inc.

      4,536        78,972  

TrueBlue Inc.

      2,698        75,139 * 
     

 

 

  

Total Professional Services

         526,473  
     

 

 

  

Road & Rail - 0.6%

      

ArcBest Corp.

      1,280        115,008  
     

 

 

  

Trading Companies & Distributors - 2.0%

      

Boise Cascade Co.

      2,025        114,655  

NOW Inc.

      11,236        81,124 * 

Rush Enterprises Inc., Class A Shares

      2,483        129,315  

Titan Machinery Inc.

      2,623        74,546 * 
     

 

 

  

Total Trading Companies & Distributors

         399,640  
     

 

 

  

TOTAL INDUSTRIALS

         3,178,970  
     

 

 

  
INFORMATION TECHNOLOGY - 10.2%      

Communications Equipment - 1.3%

      

Digi International Inc.

      2,553        55,017 * 

Extreme Networks Inc.

      6,111        60,071 * 

NETGEAR Inc.

      2,014        58,064 * 

NetScout Systems Inc.

      3,121        84,454 * 
     

 

 

  

Total Communications Equipment

         257,606  
     

 

 

  

Electronic Equipment, Instruments & Components - 3.4%

      

Benchmark Electronics Inc.

      3,111        72,517  

CTS Corp.

      2,011        71,632  

Kimball Electronics Inc.

      2,526        72,623 * 

Methode Electronics Inc.

      1,855        78,040  

Plexus Corp.

      922        80,509 * 

Sanmina Corp.

      2,662        100,490 * 

TTM Technologies Inc.

      6,466        85,610 * 

Vishay Intertechnology Inc.

      4,799        92,237  
     

 

 

  

Total Electronic Equipment, Instruments & Components

         653,658  
     

 

 

  

IT Services - 1.7%

      

CSG Systems International Inc.

      1,707        85,435  

ExlService Holdings Inc.

      588        72,106 * 

GreenSky Inc., Class A Shares

      8,957        109,634 * 

Hackett Group Inc.

      2,969        62,765  
     

 

 

  

Total IT Services

         329,940  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report

  

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)              

SECURITY

    SHARES      VALUE  

Semiconductors & Semiconductor Equipment - 0.7%

      

Cirrus Logic Inc.

      978      $ 79,032 * 

NVE Corp.

      853        57,979  
     

 

 

  

Total Semiconductors & Semiconductor Equipment

         137,011  
     

 

 

  

Software - 2.2%

      

A10 Networks Inc.

      2,999        56,051 * 

CommVault Systems Inc.

      828        50,922 * 

Progress Software Corp.

      1,737        89,299  

Qualys Inc.

      540        67,219 * 

Verint Systems Inc.

      1,798        83,787 * 

Xperi Holding Corp.

      4,624        82,862  
     

 

 

  

Total Software

         430,140  
     

 

 

  

Technology Hardware, Storage & Peripherals - 0.9%

      

Avid Technology Inc.

      1,678        48,058 * 

Xerox Holdings Corp.

      7,380        131,364  
     

 

 

  

Total Technology Hardware, Storage & Peripherals

         179,422  
     

 

 

  

TOTAL INFORMATION TECHNOLOGY

         1,987,777  
     

 

 

  
MATERIALS - 5.0%      

Chemicals - 2.5%

      

AdvanSix Inc.

      1,803        87,626 * 

American Vanguard Corp.

      3,724        58,020  

Minerals Technologies Inc.

      1,185        84,064  

Rayonier Advanced Materials Inc.

      11,228        80,617 * 

Tredegar Corp.

      7,277        87,761  

Valhi Inc.

      3,584        83,005  
     

 

 

  

Total Chemicals

         481,093  
     

 

 

  

Metals & Mining - 1.1%

      

Haynes International Inc.

      1,614        64,770  

SunCoke Energy Inc.

      11,227        81,059  

TimkenSteel Corp.

      5,245        73,167 * 
     

 

 

  

Total Metals & Mining

         218,996  
     

 

 

  

Paper & Forest Products - 1.4%

      

Clearwater Paper Corp.

      2,061        86,212 * 

Glatfelter Corp.

      5,096        83,727  

Verso Corp., Class A Shares

      4,373        96,556  
     

 

 

  

Total Paper & Forest Products

         266,495  
     

 

 

  

TOTAL MATERIALS

         966,584  
     

 

 

  
UTILITIES - 1.0%      

Electric Utilities - 0.6%

      

Hawaiian Electric Industries Inc.

      2,822        114,460  
     

 

 

  

 

See Notes to Schedule of Investments.

 

 

Legg Mason Small-Cap Quality Value ETF 2021 Quarterly Report    

  

 

 

9

LEGG MASON SMALL-CAP QUALITY VALUE ETF

 

Schedule of investments (unaudited) (cont’d)    October 31, 2021

 

(Percentages shown based on Fund net assets)               

 

SECURITY

          SHARES      VALUE  

Gas Utilities - 0.4%

        

Chesapeake Utilities Corp.

        584      $ 76,545  
       

 

 

  

TOTAL UTILITIES

           191,005  
       

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $17,805,179)

 

 

        19,233,902  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.4%        

Dreyfus Treasury Cash Management, Institutional Class

(Cost - $80,382)

      0.010 %      80,382        80,382  
       

 

 

  

TOTAL INVESTMENTS - 99.1%
(Cost - $17,885,561)

           19,314,284  

Other Assets in Excess of Liabilities - 0.9%

           179,172  
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 19,493,456  
       

 

 

  

 

*

Non-income producing security.

 

(a)

Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

 

(b)

Security is valued using significant unobservable inputs (Note 1).

Abbreviation(s) used in this schedule:

CVR   

— Contingent Value Rights

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 2021 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 typically 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.

 

   

 

 

11

Notes to Schedule of Investments (unaudited) (continued)

 

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 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 Global Fund Valuation Committee (known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (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  

Long-Term Investments†:

            

Common Stocks:

            

Consumer Discretionary

    $ 3,087,861        —        $ 801      $ 3,088,662  

Other Common Stocks

      16,145,240        —          —          16,145,240  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      19,233,101        —          801        19,233,902  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      80,382        —          —          80,382  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 19,313,483        —        $ 801      $ 19,314,284  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

   

 

 

13