Formulario N-CSR Legg Mason ETF Investmen For: Oct 31

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ESTADOS UNIDOS

COMISIÓN NACIONAL DEL MERCADO DE VALORES

Washington, D.C.20549

FORMAR N-CSR

CERTIFICADO
INFORME DE ACCIONISTAS DE REGISTRADOS

GESTIÓN DE EMPRESAS DE INVERSIÓN

Número de archivo de la Ley de Sociedades de Inversión 811-23096

Legg Mason ETF Investment Trust

(Nombre exacto del registrante como se especifica en la carta)

620 octavo
Avenida, 49th Piso, Nueva York, NY 10018

(Dirección de las oficinas ejecutivas principales)
(Código postal)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 Primer lugar de Stamford

Stamford, CT 06902

(Nombre
y dirección del agente para el servicio)

Número de teléfono del registratario, incluido el código de área: 1-877-721-1926

Fecha de fin del año fiscal: 31 de octubre

Fecha del período del informe: 31 de octubre de 2019


OBJETO 1.

INFORME A LOS ACCIONISTAS.

los Anual Se presenta un informe a los Accionistas.


LOGO

Reporte anual 31 de octubre de 2019

LEGG MASON

MERCADOS EMERGENTES

BAJA VOLATILIDAD ALTA

DIVIDENDO ETF

LVHE

A partir de abril de 2021, según lo permitido por los reglamentos adoptados por la Comisión de Bolsa y Valores, el Fondo
tiene la intención de dejar de enviar copias impresas de los informes de accionistas del Fondo como este, a menos que solicite específicamente copias impresas de los informes de su intermediario financiero (como un corredor de bolsa o banco). En cambio, los informes serán
disponible en un sitio web, y se le notificará por correo cada vez que se publique un informe y se le proporcione un enlace al sitio web para acceder al informe.

Si ya eligió recibir informes de accionistas electrónicamente ("Entrega electrónica"), no se verá afectado por este cambio y no necesita tomar ninguna medida. Si
aún no has elegido entrega electrónica, puede optar por recibir electrónicamente informes de accionistas y otras comunicaciones del Fondo contactando a su intermediario financiero.

Puede optar por recibir todos los informes futuros en papel de forma gratuita comunicándose con su intermediario financiero para
solicite que continúe recibiendo copias en papel de sus informes de accionistas. Su elección de recibir informes en papel se aplicará a todos los fondos de Legg Mason en su cuenta con su intermediario financiero.

PRODUCTOS DE INVERSIÓN: NO ASEGURADOS POR LA FDIC • SIN GARANTÍA BANCARIA • PUEDE PERDER
VALOR

Objetivo del fondo

El Fondo busca rastrear los resultados de inversión de un índice compuesto por valores de renta variable que cotizan en bolsa de mercados emergentes fuera de los Estados Unidos con
rendimiento relativamente alto y baja volatilidad de precios y ganancias al tiempo que mitiga la exposición a las fluctuaciones entre los valores del dólar estadounidense y las monedas en las que están denominados los valores del Fondo.

Carta del
presidente

LOGO

Estimado accionista,

Nos complace proporcionar el informe anual del ETF Legg Mason Emerging Markets Low Volatility High Dividend para el período de informe de doce meses
finalizó el 31 de octubre de 2019. Siga leyendo para obtener una visión detallada de las condiciones económicas y de mercado prevalecientes durante el período de presentación de informes del Fondo y para conocer cómo esas condiciones han afectado el rendimiento del Fondo.

Como siempre, seguimos comprometidos a brindarle un excelente servicio y un espectro completo de opciones de inversión. También seguimos comprometidos a complementar el
Apoyo que recibe de su asesor financiero. Una forma de lograr esto es a través de nuestro sitio web, www.leggmason.com. Aquí puede obtener acceso inmediato a información de mercado e inversión, que incluye:

Valor del activo neto del fondo y precio de mercado,

Perspectivas de mercado y comentarios de nuestros gerentes de cartera, y

Una gran cantidad de recursos educativos.

Miramos
Esperamos poder ayudarle a alcanzar sus objetivos financieros.

Sinceramente,

LOGO

Jane Trust, CFA

Presidente y Director Ejecutivo

29 de noviembre de 2019

II

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF

Resumen del fondo

P. ¿Cuál es la estrategia de inversión del Fondo?

A. El ETF de Legg Mason Emerging Markets Low Volatility High Dividend (el "Fondo") busca rastrear los resultados de inversión del QS Emerging Markets Low Volatility High Dividend Hedged Index (el
"Índice subyacente"). El índice subyacente busca proporcionar ingresos estables a través de inversiones en acciones de compañías rentables en mercados emergentes fuera de los Estados Unidos con rendimientos de dividendos relativamente altos o dividendos anticipados
rendimientos y menor volatilidad de precios y ganancias, al tiempo que mitiga la exposición a las fluctuaciones del tipo de cambio entre el dólar estadounidense y las monedas en las que están denominados los valores componentes. El índice subyacente está diseñado para tener mayores rendimientos
que una inversión no cubierta equivalente cuando las monedas en las que están denominados sus valores componentes se debilitan en relación con el dólar estadounidense. Por el contrario, el índice subyacente está diseñado para tener rendimientos más bajos que un equivalente sin cobertura
inversión cuando las monedas en las que están denominados sus valores componentes están aumentando en relación con el dólar estadounidense. El índice subyacente se basa en una metodología patentada creada y patrocinada por QS Investors, LLC ("QS
Inversores "), el subconsejero del Fondo.

El Fondo invertirá al menos el 80% de sus activos netos, más préstamos para fines de inversión, si los hubiera, en
valores que componen su índice subyacente. Los valores que componen el Índice subyacente incluyen recibos de depósito que representan valores en el Índice subyacente. Si bien las acciones de los mercados emergentes son volátiles, el índice subyacente busca tener
menos volatilidad que los mercados emergentes en general.

El índice subyacente está compuesto por valores de renta variable en mercados emergentes fuera de
de los Estados Unidos a través de una gama de capitalizaciones de mercado que se incluyen en el índice IMCI de mercados emergentes de MSCI
yo.

Los componentes del índice subyacente se reconstituyen anualmente y se reequilibran trimestralmente. El índice subyacente es
reconstituido en una fecha diferente del índice IMCI de mercados emergentes de MSCI. La cartera de valores del Fondo se reequilibra cuando el Índice subyacente se reequilibra o se reconstituye. La composición del Índice subyacente y el Fondo después
La reconstitución y el reequilibrio pueden fluctuar y exceder las limitaciones anteriores del índice subyacente debido a los movimientos del mercado. Los componentes del Índice subyacente, y el grado en que estos componentes representan ciertos sectores e industrias, pueden
cambian con el tiempo.

El Fondo puede invertir hasta el 20% de sus activos netos en contratos a plazo en moneda extranjera y otros instrumentos de cobertura de divisas, ciertos
índices de futuros, opciones, opciones sobre futuros de índices, contratos swap u otros derivados relacionados con su Índice subyacente y sus valores componentes; Efectivo y equivalentes de efectivo; otras compañías de inversión, incluidos los fondos cotizados en bolsa;
notas negociadas en bolsa; y en valores y otros instrumentos no incluidos en su Índice subyacente, pero que QS Investors cree que ayudarán al Fondo a rastrear su Índice subyacente.

El Fondo invierte en instrumentos de cobertura de divisas para compensar la exposición del Fondo a las monedas en las que están denominadas las tenencias del Fondo. El Fondo también puede invertir en

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

1


Resumen del fondo (cont.)

futuros sobre índices de acciones y derivados de divisas para ganar exposición a mercados locales o
segmentos de mercados locales para fines de gestión de flujo de caja y como técnica de gestión de cartera.

P. ¿Cuáles fueron el mercado general
condiciones durante el período de informe del Fondo?

A. Renta variable de mercados emergentes medida por los mercados emergentes de MSCI
Índice
ii ligeramente inferior al rendimiento de sus homólogos desarrollados, medido por
el índice mundial MSCI
iii para el período de informe de doce meses finalizado
31 de octubre de 2019. Durante la mayor parte del período, el bajo rendimiento fue significativo, a pesar del rendimiento superior en los primeros tres meses del período de informe (desde el 1 de noviembre de 2018 hasta el 31 de enero de 2019) y nuevamente en el último mes.
del período del informe (octubre de 2019).

Durante los primeros tres meses del período sobre el que se informa, la renta variable de los mercados emergentes superó al mercado desarrollado
acciones A partir de febrero de 2019, las acciones de los mercados emergentes tuvieron un rendimiento inferior al de las acciones de los mercados desarrollados, mientras que se mantuvieron moderadamente positivas durante el resto del primer trimestre calendario de 2019. El mercado más grande, China, y uno de los más pequeños,
Colombia, fue el mejor desempeño a nivel mundial en términos de dólares estadounidenses. Las acciones chinas vieron un fuerte interés de los inversores extranjeros. La mayoría de los otros mercados tuvieron un rendimiento inferior al Índice de Mercados Emergentes de MSCI, y varios disminuyeron a medida que las monedas se debilitaron frente al
Dólar estadounidense durante gran parte del trimestre. Los otros dos mercados más grandes, Corea del Sur y Taiwán, continuaron experimentando una demanda anémica tanto en las ventas nacionales como de exportación y se mantuvieron en contracción. A pesar de que la mayoría de los mercados experimentan disminuciones en las métricas de crecimiento,
El optimismo empresarial se mantuvo estable en la continuación de las conversaciones comerciales entre China y Estados Unidos y la acción del banco central en muchos mercados. Además, varios mercados, como Tailandia e Indonesia, experimentaron un crecimiento mejorado durante el trimestre.

La renta variable de los mercados emergentes registró un rendimiento inferior a la renta variable de los mercados desarrollados, aunque siguió siendo moderadamente positiva para el segundo trimestre calendario de 2019. China
se vio afectado negativamente por la incertidumbre del comercio mundial y el aumento mutuo de los aranceles sobre los bienes importados. Espera una reanudación de las conversaciones comerciales entre Estados Unidos y China y una reducción de los aranceles comerciales luego de la
G-20
iv cumbre provocó un rebote en
Acciones chinas en junio de 2019.

Las acciones de los mercados emergentes continuaron por debajo del rendimiento de las acciones de los mercados desarrollados hasta el tercero.
trimestre calendario de 2019. Los mercados mundiales de renta variable siguieron siendo bastante volátiles, con un rendimiento mixto en todos los sectores y regiones de renta variable. Preocupaciones sobre el debilitamiento del crecimiento económico global, la inversión de la curva de rendimiento de los EE. UU.
v (a principios del trimestre), tensiones relacionadas con el comercio entre Estados Unidos y China, fricciones en
Oriente Medio, y la incertidumbre en torno al Brexit siguió sacudiendo a los inversores. La Organización Mundial del Comercio redujo su pronóstico de crecimiento del comercio mundial para 2019 al nivel más débil en una década, advirtiendo que nuevas rondas de aranceles en un entorno de
una mayor incertidumbre podría provocar un "ciclo destructivo de recriminación".

La volatilidad en los mercados de renta variable mundiales retrocedió durante octubre de 2019 y
las acciones de los mercados emergentes se recuperaron bruscamente. Desarrollos positivos en las negociaciones comerciales entre Estados Unidos y China, un tercero

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Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

veinticinco puntos básicosvi reducción de la tasa de interés en cuestión de meses de la Junta de la Reserva Federal de los Estados Unidos (la "Fed")vii y la estabilización de los precios de los productos básicos contribuyó al optimismo de los inversores.

El Fondo utiliza un enfoque de inversión pasiva para lograr su objetivo de inversión y, por lo tanto, no realizó ningún cambio en el enfoque de inversión en respuesta al mercado
condiciones

Revisión de desempeño

Durante los doce meses terminados el 31 de octubre de 2019, el ETF de Legg Mason Emerging Markets Low Volatility High Dividend generó un rendimiento del 3,64% sobre el valor del activo neto ("NAV")viii base y 2,42% en función de su mercado
precio
ix por acción.

La tabla de rendimiento muestra el rendimiento total del Fondo para los doce meses finalizados el 31 de octubre de 2019 en función de su NAV y precio de mercado como
del 31 de octubre de 2019. El Fondo busca hacer un seguimiento de los resultados de inversión del QS Emerging Markets Low Volatility High Dividend Hedged Index (NTR), que arrojó un 4,45% durante el mismo período. El índice de mercado de base amplia del Fondo, el MSCI
Índice local IMI de mercados emergentes (neto)
X, devolvió 11.15% durante el mismo tiempo
marco. The Lipper Categoría de fondos de mercados emergentes Promedio
xi devuelto 13.84%
para el periodo. Tenga en cuenta que los rendimientos del rendimiento de Lipper se basan en el NAV de cada fondo.

Instantánea de rendimiento como
del 31 de octubre de 2019
(sin auditar)
6 meses 12 meses
Legg Mason Mercados emergentes ETF de baja volatilidad y alto dividendo:

$ 25.68 (NAV)

-2,12% 3,64% * †

$ 25.86 (precio de mercado)

-2.00% 2,42% * ‡
QS Mercados emergentes Índice de cobertura de alto dividendo (NTR) de baja volatilidad -2.02% 4.45%
MSCI Emerging Markets IMI Local Index (Net) -1,52% 11.15%
Lipper Mercados emergentes Categoría de fondos Promedio -0,12% 13,84%

El rendimiento mostrado representa el rendimiento pasado. El rendimiento pasado no es garantía de resultados futuros y el rendimiento actual puede
ser mayor o menor que el rendimiento que se muestra arriba. El valor del capital y los rendimientos de la inversión fluctuarán, por lo que las acciones, cuando se vendan, pueden valer más o menos que su costo original. Datos de rendimiento actualizados a los más recientes fin de mes está disponible en www.leggmason.com/etf.

Los inversores compran y venden acciones de un fondo que cotiza en bolsa
("ETF") a precio de mercado (no NAV) en el mercado secundario durante el día de negociación. Estas acciones no están disponibles individualmente para compra directa o reembolso directo al ETF. Los retornos de precios de mercado que se muestran generalmente se basan en
el punto medio entre la oferta y la demanda en el principal mercado de negociación del Fondo cuando se determina el NAV del Fondo, que generalmente es a las 4:00 p.m. Hora del este (EE. UU.). Estos rendimientos no representan
Los retornos de los inversores habrían negociado acciones en otros momentos. Las cifras de rendimiento para períodos inferiores a un año representan cifras acumulativas y no se anualizan.

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

3


Resumen del fondo (cont.)

Información que muestra el número de días que el precio de mercado de las acciones del Fondo
fue mayor que el NAV del Fondo y la cantidad de días que fue menor que el NAV del Fondo (es decir, prima o descuento) durante varios períodos de tiempo está disponible visitando el sitio web del Fondo en www.leggmason.com/etf.

A partir del prospecto actual del Fondo con fecha del 1 de marzo de 2019, el índice de gasto operativo bruto total anual del fondo para el Fondo fue del 0,50%.

* Los rendimientos totales se basan en cambios en el NAV o el precio de mercado, respectivamente. Las devoluciones reflejan la deducción de todos los gastos del Fondo. Las devoluciones no reflejan el
deducción de las comisiones o impuestos de corretaje que los inversores pagan por las distribuciones o la venta de acciones.

† El rendimiento total supone que
reinversión de todas las distribuciones, en NAV.

‡ El rendimiento total supone la reinversión de todas las distribuciones, a precio de mercado.

P. ¿Cuáles fueron los principales contribuyentes al rendimiento?

A. Mirando el Índice Subyacente por país, Rusia, Taiwán, México y Corea fueron los principales contribuyentes al rendimiento durante el período del informe en virtud de su rendimiento y peso en el Subyacente.
Índice. Los principales contribuyentes del sector al desempeño fueron los sectores de energía, tecnología de la información y consumo discrecional.

Q.
¿Cuáles fueron los principales detractores del rendimiento?

A. A nivel de país, los principales detractores del rendimiento durante el informe
período fueron Sudáfrica, Chile y China. Los principales detractores del rendimiento a nivel sectorial, si bien registraron retornos positivos, aunque más débiles, fueron los sectores de bienes raíces, materiales e industriales.

El Fondo empleó una estrategia de cobertura de divisas para reducir la volatilidad asociada con la exposición a cambios en el valor relativo entre el dólar estadounidense y la moneda.
de los mercados locales. La cobertura monetaria disminuyó el rendimiento general no cubierto durante el período de informe, ya que las monedas de los mercados emergentes se fortalecieron ampliamente frente al dólar estadounidense durante el período.

¿Buscando información adicional?

los
El NAV diario del fondo está disponible en línea en www.leggmason.com/etf. El Fondo se negocia con el símbolo "LVHE" y su precio de mercado de cierre está disponible en la mayoría de los sitios web financieros. En un continuo
esfuerzo para proporcionar información sobre el Fondo, los accionistas pueden llamar 1-877-721-1926 (sin cargo), de lunes a viernes de 8:00 a.m. a 5:30 p.m. Hora del este, para
el valor liquidativo actual del Fondo, el precio de mercado y otra información.

4 4

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

Gracias por su inversión en Legg Mason Emerging Markets ETF de baja volatilidad y alto dividendo. Como siempre, nosotros
Apreciamos que nos haya elegido para administrar sus activos y seguimos enfocados en lograr los objetivos de inversión del Fondo.

Sinceramente,

QS Investors, LLC

18 de noviembre de 2019

RIESGOS Los valores de renta variable están sujetos a las fluctuaciones del mercado y de los precios. Internacional
Las inversiones están sujetas a riesgos especiales que incluyen fluctuaciones monetarias, incertidumbres sociales, económicas y políticas, que podrían aumentar la volatilidad. Estos riesgos se magnifican en los mercados emergentes. El Fondo puede enfocar sus inversiones en ciertos
industrias, aumentando su vulnerabilidad a la volatilidad del mercado. No hay garantía de que un Fondo logre un alto grado de correlación con el índice que busca rastrear. El Fondo no busca superar el índice que rastrea, y no busca
posiciones defensivas temporales cuando los mercados disminuyen o parecen sobrevalorados. Los derivados, como las opciones y los futuros, pueden ser ilíquidos, aumentar desproporcionadamente las pérdidas y tener un impacto potencialmente grande en el rendimiento del Fondo. En mercados al alza,
El valor de capa larga las existencias pueden no aumentar tanto como la de tapa más pequeña cepo. Pequeño-
y media tapa las acciones implican mayores riesgos y volatilidad que las acciones de gran capitalización. La inversión en divisas contiene un mayor riesgo que incluye el mercado, la política, la regulación.
y condiciones nacionales, y puede no ser adecuado para todos los inversores. Consulte el folleto del Fondo para obtener una discusión más completa sobre estos y otros riesgos y las estrategias de inversión del Fondo.

La mención de desgloses sectoriales es solo para fines informativos y no debe interpretarse como una recomendación para comprar o vender valores. los
La información proporcionada sobre tales sectores no es una base suficiente sobre la cual tomar una decisión de inversión. Inversores que buscan asesoramiento financiero sobre la conveniencia de invertir en valores o estrategias de inversión discutidas
debe consultar a su profesional financiero. Las cinco principales tenencias del Fondo (como porcentaje de los activos netos) del Fondo al 31 de octubre de 2019 fueron: Finanzas (21.3%), Energía (15.3%), Materiales (14.6%), Servicios de comunicación (12.6%) y
Tecnología de la información (7,9%). La composición del Fondo puede variar con el tiempo.

Todas las inversiones están sujetas a riesgos, incluida la posible pérdida de
principal. El rendimiento pasado no es garantía de resultados futuros. Un índice es un compuesto estadístico que rastrea un mercado financiero específico, un sector o un proceso de inversión basado en reglas. A diferencia de un fondo, un índice en realidad no tiene una cartera de
valores y por lo tanto no incurre en los gastos incurridos por un fondo. Estos gastos afectan negativamente el rendimiento del fondo. Todo el rendimiento del índice no refleja ninguna deducción por honorarios, gastos o impuestos. Tenga en cuenta que un inversor no puede invertir directamente
en un índice

La información proporcionada no pretende ser un pronóstico de eventos futuros, una garantía de resultados futuros o asesoramiento de inversión. Puntos de vista
expresado puede diferir de los de la empresa en su conjunto.

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

5 5


Resumen del fondo (cont.)

yo

El índice IMCI de mercados emergentes de MSCI captura grandes, a mediados y pequeña tapa representación
en 23 países de mercados emergentes. Con 2,655 componentes, el índice cubre aproximadamente el 99% de la capitalización de mercado ajustada por flotación libre en cada país.

ii

El MSCI Emerging Markets Index es un índice de capitalización de mercado ajustado por flotación libre que está diseñado para medir el rendimiento del mercado de renta variable en los mercados emergentes globales.
mercados

iii

El MSCI World Index es un índice no administrado considerado representativo de las existencias de crecimiento de los países desarrollados. El rendimiento del índice se calcula con dividendos netos.

iv

El grupo de los veinte ("G-20") Los ministros de finanzas y los gobernadores de los bancos centrales se establecieron en 1999 para traer
juntas economías industrializadas y en desarrollo de importancia sistémica para debatir cuestiones clave en la economía mundial.

v

La curva de rendimiento es la representación gráfica de la relación entre el rendimiento de los bonos con la misma calidad crediticia pero diferentes vencimientos.

vi

Un punto base es cien (1/100 o 0.01) del uno por ciento.

vii

La Junta de la Reserva Federal (la "Fed") es responsable de la formulación de políticas estadounidenses diseñadas para promover el crecimiento económico, el pleno empleo y la estabilidad.
precios y un patrón sostenible de comercio internacional y pagos.

viii

El Valor liquidativo (NAV) se calcula restando los pasivos totales del activo total y dividiendo los resultados por el número de acciones en circulación.

ix

El precio de mercado está determinado por la oferta y la demanda. Es el precio al que un inversor compra o vende acciones del Fondo. El precio de mercado puede diferir del
Fondo NAV.

X

MSCI Emerging Markets IMI Local Index (Net) captura grandes, a mediados y pequeña tapa
representación en 23 países de mercados emergentes. Con 2,655 componentes, el índice cubre aproximadamente el 99% de la capitalización de mercado ajustada por flotación libre en cada país. La versión local del índice calcula el rendimiento utilizando local
monedas que eliminan el efecto de la conversión al dólar estadounidense.

xi

Lipper, Inc., una subsidiaria de propiedad absoluta de Reuters, proporciona información independiente sobre las inversiones colectivas globales. Las devoluciones se basan en el período finalizado.
31 de octubre de 2019, incluida la reinversión de todas las distribuciones, incluidos los retornos de capital, si los hay, calculados entre los 823 fondos para el seis meses período y 793 fondos para el período de doce meses
en la categoría Lipper del Fondo.

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Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

Fondo en un
vistazo (sin auditar)

Desglose de inversiones (%) como porcentaje de las inversiones totales

LOGO

El gráfico de barras anterior representa la composición de las inversiones del Fondo al 31 de octubre de 2019 y al 31 de octubre de 2018 y no incluye
derivados tales como contratos de futuros y contratos a plazo en moneda extranjera. La composición de las inversiones del Fondo está sujeta a cambios en cualquier momento.

‡ La cantidad representa menos del 0.1%.

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

7 7


Gastos del fondo
(sin auditar)

Ejemplo

Como accionista del Fondo, usted
puede incurrir en dos tipos de costos: (1) costos de transacción, tales como comisiones de corretaje pagadas por compras y ventas de acciones del Fondo; y (2) costos continuos, incluidos los honorarios de gestión; y otros gastos del Fondo. Este ejemplo está destinado a ayudarte
comprenda sus costos actuales (en dólares) de invertir en el Fondo y compare estos costos con los costos continuos de invertir en otros fondos.

Esta
El ejemplo se basa en una inversión de $ 1,000 invertidos el 1 de mayo de 2019 y mantenidos durante los seis meses finalizados el 31 de octubre de 2019.

Gastos reales

La siguiente tabla titulada
"Basado en el rendimiento total real" proporciona información sobre los valores reales de la cuenta y los gastos reales. Puede usar la información proporcionada en esta tabla, junto con la cantidad que invirtió, para estimar los gastos que pagó durante
período. Para estimar los gastos que pagó en su cuenta, divida el valor de su cuenta final entre $ 1,000 (por ejemplo, un valor de cuenta final de $ 8,600 dividido entre $ 1,000 = 8.6), luego multiplique el resultado por el número bajo el título titulado
"Gastos pagados durante el período".

Ejemplo hipotético para fines de comparación.

La siguiente tabla titulada "Basado en el rendimiento hipotético total" proporciona información sobre los valores hipotéticos de la cuenta y los gastos hipotéticos basados ​​en el
índice de gastos reales y una tasa de rendimiento supuesta del 5,00% anual antes de los gastos, que no es el rendimiento real del Fondo. Los valores y gastos hipotéticos de la cuenta no se pueden usar para estimar el saldo final de la cuenta o los gastos
Usted pagó por el período. Puede utilizar la información proporcionada en esta tabla para comparar los costos continuos de invertir en el Fondo y otros fondos. Para hacerlo, compare el ejemplo hipotético del 5.00% relacionado con el Fondo con el hipotético del 5.00%
ejemplos que aparecen en los informes de accionistas de los otros fondos.

Tenga en cuenta que los gastos que se muestran en la tabla a continuación están destinados a resaltar su
costos continuos únicamente y no reflejan costos transaccionales, como las comisiones de corretaje pagadas por compras y ventas de acciones del Fondo. Por lo tanto, la tabla es útil para comparar solo los costos en curso y no lo ayudará a determinar la relación
costos totales de poseer diferentes fondos. Además, si se incluyeran estos costos de transacción, sus costos habrían sido más altos.

Basado en el rendimiento total real1 Basado en el rendimiento hipotético total1
Real
Total
Regreso2
Comenzando
Cuenta
Valor
Finalizando
Cuenta
Valor
Anualizado
Gastos
Proporción
Gastos
Pagado durante
el período3
Hipotético
Anualizado
Regreso trotal
Comenzando
Cuenta
Valor
Finalizando
Cuenta
Valor
Anualizado
Gastos
Proporción
Gastos
Pagado durante
el período3
-2,12% PS1,000.00 PS978,80 0,50% PS2,49 5.00% $ 1,000.00 PS1.022,68 0,50% PS2,55

1

Por los seis meses terminados el 31 de octubre de 2019.

2

Asume la reinversión de todas las distribuciones, incluidos los retornos de capital, si los hay, al valor liquidativo. El rendimiento total no es anualizado, ya que puede no ser
Representante de la rentabilidad total del año. Las cifras de rendimiento pueden reflejar exenciones de tarifas y / o reembolsos de gastos. En ausencia de exenciones de tarifas y / o reembolsos de gastos, el rendimiento total habría sido menor. El rendimiento pasado es no
Garantía de resultados futuros.

3

Los gastos (netos de exenciones de tarifas y / o reembolsos de gastos) son iguales al índice de gastos anualizados del Fondo multiplicado por el valor promedio de la cuenta sobre
el período, multiplicado por el número de días en el semestre fiscal más reciente (184), luego dividido por 365.

8

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

Rendimiento del fondo (sin auditar)

Valor liquidativo
Rentabilidad total anual promedio1
Doce meses terminados el 31/10/19 3,64%
Inicio * hasta el 31/10/19 5,67
Retornos totales acumulados1
Fecha de inicio del 17/11/16 al 31/10/19 17,68%

Precio de mercado
Rentabilidad total anual promedio2
Doce meses terminados el 31/10/19 2,42%
Inicio * hasta el 31/10/19 5.87
Retornos totales acumulados2
Fecha de inicio del 17/11/16 al 31/10/19 18,34%

Todas las cifras representan el rendimiento pasado y no son garantía de resultados futuros. Retornos de inversión y valor principal de
la inversión fluctuará para que las acciones de un inversor, cuando se canjeen, puedan valer más o menos que su costo original. Los rendimientos mostrados no reflejan la deducción de comisiones de corretaje o impuestos que los inversores pagarían
distribuciones o la venta de acciones. Las cifras de rendimiento pueden reflejar exenciones de tarifas y / o reembolsos de gastos. En ausencia de exenciones de tarifas y / o reembolsos de gastos, el rendimiento total habría sido menor.

Los inversores compran y venden acciones del Fondo a precio de mercado, no NAV, en el mercado secundario durante el día de negociación. Estas acciones no son individuales
disponible para compra directa o redención directa al Fondo. El VAN por acción del Fondo es el valor de una acción del Fondo y se calcula dividiendo el valor de los activos totales menos los pasivos totales por el número de acciones
excepcional. El rendimiento del valor liquidativo se basa en el valor liquidativo del fondo y el rendimiento del precio de mercado generalmente se basa en el punto medio entre la oferta y la demanda en el principal mercado de negociación del Fondo cuando el
Se determina el valor liquidativo del fondo, que suele ser a las 4:00 p.m. Hora del este (EE. UU.). Estos rendimientos no representan los rendimientos de los inversores si hubieran negociado acciones en otros momentos. El rendimiento del NAV y del precio de mercado supone que los dividendos y la ganancia de capital
las distribuciones se han reinvertido en el Fondo a precio de mercado y NAV, respectivamente. Al igual que con otros fondos que cotizan en bolsa, los rendimientos de NAV y los precios de mercado pueden diferir debido a factores como la oferta y la demanda de acciones del Fondo
evaluación de los inversores del valor subyacente de los valores de cartera del Fondo.

1

Asume la reinversión de todas las distribuciones, incluidos los retornos de capital, si los hay, al valor liquidativo.

2

Supone la reinversión de todas las distribuciones, incluidos los retornos de capital, si los hay, a precio de mercado.

* *

La fecha de inicio del Fondo es el 17 de noviembre de 2016.

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF 2019 Informe anual

9 9


Rendimiento del fondo (sin auditar) (cont.)

Rendimiento histórico

Valor de $ 10,000 invertidos en

Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF vs QS Mercados emergentes Baja volatilidad Índice de alto dividendo cubierto y MSCI Emergente
Mercados IMI Local Index (Net) † - 17 de noviembre de 2016 - 31 de octubre de 2019

LOGO

Todas las cifras representan el rendimiento pasado y no son garantía de resultados futuros. Retornos de inversión y valor principal de
la inversión fluctuará para que las acciones de un inversor, cuando se vendan, puedan valer más o menos que su costo original. Los rendimientos de NAV suponen que los dividendos y las distribuciones de ganancias de capital se han reinvertido en el Fondo en NAV. Los retornos mostrados
no reflejan la deducción de comisiones de corretaje o impuestos que los inversores pagarían por las distribuciones o la venta de acciones. Las cifras de rendimiento pueden reflejar exenciones de tarifas y / o reembolsos de gastos. En ausencia de exenciones de tarifas y / o gastos
reembolsos, el rendimiento total habría sido menor.

Ilustración hipotética de $ 10,000 invertidos en ETF de Legg Mason Emerging Markets Low Volatility High Dividend el 17 de noviembre de 2016 (inicio
fecha), suponiendo la reinversión de todas las distribuciones, incluidos los retornos de capital, si los hubiera, al valor del activo neto hasta el 31 de octubre de 2019. La ilustración hipotética también supone una inversión de $ 10,000 en los mercados emergentes de baja volatilidad de QS
Índice de cobertura de alto dividendo y el índice local IMCI de mercados emergentes de MSCI (neto). The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of
shares outstanding. The NAV return is based on the NAV of the Fund. The QS Emerging Markets Low Volatility High Dividend Hedged Index (the “Underlying Index”) is based on a proprietary methodology created and sponsored by QS Investors,
LLC, the Fund’s subadviser. The MSCI Emerging Markets IMI Local Index (Net) captures large-, mid-and small-cap representation across 23 Emerging Markets countries.
With 2,655 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country. The local version of the index calculates performance utilizing local currencies taking out the effect of converting to the
U.S. dollar. The indices are not subject to the same management and trading expenses as a fund. An index is a statistical composite that tracks a specified financial market, sector, or rules-based investment process. Unlike a fund, an index does not
actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. All index performance reflects no deduction for fees, expenses or taxes. Please note that an
investor cannot invest directly in an index.

10

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Schedule of investments

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor
Common Stocks — 97.9%
Communication Services — 10.9%

Diversified Telecommunication Services — 2.7%

China Telecom Corp. Ltd., Class H Shares

192,000 $81,820

Emirates Telecommunications Group Co. PJSC

17,522 79,004

Magyar Telekom Telecommunications PLC

4,304 6,423

Total Diversified Telecommunication Services

167,247

Entertainment — 0.1%

Major Cineplex Group PCL

7,100 5,784 (a)

Wireless Telecommunication Services — 8.1%

Advanced Info Service PCL, Registered Shares

12,700 96,317 (a)

China Mobile Ltd.

16,500 134,313

DiGi.Com Bhd

22,400 25,196

Globe Telecom Inc.

300 10,783

Intouch Holdings PCL

23,700 51,803

Maxis Bhd

13,300 17,156

PLAY Communications SA

1,972 15,642

SK Telecom Co. Ltd.

382 77,815

Vodacom Group Ltd.

7,857 68,772

Total Wireless Telecommunication Services

497,797

Total Communication Services

670,828
Consumer Discretionary — 6.5%

Auto Components — 0.1%

Mahle-Metal Leve SA

600 3,674

Automobiles — 4.5%

Hero MotoCorp Ltd.

948 36,143

Hyundai Motor Co.

1,086 113,879

Indus Motor Co. Ltd.

720 4,314

Kia Motors Corp.

3,308 120,981

Total Automobiles

275,317

Hotels, Restaurants & Leisure — 0.8%

Berjaya Sports Toto Bhd

8,100 5,137

Kangwon Land Inc.

1,666 44,892

Total Hotels, Restaurants & Leisure

50,029

Internet & Direct Marketing Retail — 0.1%

GS Home Shopping Inc.

36 4,604

Multiline Retail — 0.1%

Far Eastern Department Stores Ltd.

9,000 7,731

See Notes to Financial
Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

11


Schedule of investments (cont’d)

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

Specialty Retail — 0.1%

Bermaz Auto Bhd

10,400 $5,675

Detsky Mir PJSC

2,630 3,936

Total Specialty Retail

9,611

Textiles, Apparel & Luxury Goods — 0.8%

China Dongxiang Group Co., Ltd.

29,000 3,256

Formosa Taffeta Co. Ltd.

9,000 10,245

Grendene SA

3,300 8,122

Luthai Textile Co. Ltd., Class B Shares

12,000 11,207

Pou Chen Corp.

5,000 6,693

Ruentex Industries Ltd.

4,000 9,619 * *

Total Textiles, Apparel & Luxury Goods

49,142

Total Consumer Discretionary

400,108
Consumer Staples — 7.7%

Beverages — 2.0%

Ambev SA

25,638 110,870

Carlsberg Brewery Malaysia Bhd, Class B Shares

1,500 9,958

Total Beverages

120,828

Food & Staples Retailing — 2.6%

Al Meera Consumer Goods Co. QSC

982 4,234

Wal-Mart de Mexico SAB de CV

51,610 155,191

Total Food & Staples Retailing

159,425

Food Products — 0.9%

Charoen Pokphand Foods PCL

39,700 33,199 (a)

Kuala Lumpur Kepong Bhd

3,900 20,216

Total Food Products

53,415

Personal Products — 0.0%

Hengan International Group Co. Ltd.

500 3,496

Tobacco — 2.2%

KT&G Corp.

1,522 130,818

Philip Morris CR AS

6 6 3,584

Total Tobacco

134,402

Total Consumer Staples

471,566
Energy — 14.6%

Oil, Gas & Consumable Fuels — 14.6%

Banpu PCL Co. Ltd.

51,500 19,785

China Petroleum & Chemical Corp., Class H Shares

152,000 87,270

Coal India Ltd.

12,883 37,698

Formosa Petrochemical Corp.

14,000 44,566

Gazprom PJSC

43,106 174,923

GS Holdings Corp.

628 26,800

See Notes to Financial
Statements.

12

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

Oil, Gas & Consumable Fuels — continued

Motor Oil Hellas Corinth Refineries SA

596 $ 14,722

Oil & Gas Development Co. Ltd.

7,800 6,457

Pakistan Oilfields Ltd.

2,900 7,309

Pilipinas Shell Petroleum Corp.

6,800 4,556

PTT PCL

108,400 162,447 (a)

Qatar Gas Transport Co. Ltd.

17,080 11,587

SK Innovation Co. Ltd.

794 109,192

Tatneft PJSC

14,220 166,056

Thai Oil PCL

11,900 26,996 (a)

Total Energy

900,364
Financials — 21.2%

Banks — 21.0%

Abu Dhabi Commercial Bank PJSC

10,502 22,303

Agricultural Bank of China Ltd., Class H Shares

309,000 127,342

Banco Santander Chile

795,534 49,395

Bangkok Bank PCL, Registered Shares

10,100 58,369

Bank of China Ltd., Class H Shares

307,000 125,735

China CITIC Bank Corp. Ltd., Class H Shares

96,000 55,731

China Construction Bank Corp., Class H Shares

118,000 95,000

Doha Bank QPSC

14,410 10,052

Dubai Islamic Bank PJSC

22,803 32,843

First Abu Dhabi Bank PJSC

39,192 162,411

First Financial Holding Co. Ltd.

70,962 52,102

Hong Leong Bank Bhd

3,500 14,424

Industrial Bank of Korea

3,436 34,849

Kiatnakin Bank PCL

5,300 11,497

Krung Thai Bank PCL

43,800 24,079 (a)

Malayan Banking Bhd

51,700 106,407

Masraf Al Rayan QSC

34,730 35,770

Mega Financial Holding Co. Ltd.

97,000 95,278

Moneta Money Bank AS

6,441 21,424

Public Bank Bhd

26,300 127,771

Thanachart Capital PCL

6,000 10,531 (a)

Tisco Financial Group PCL

5,600 18,082 (a)

Total Banks

1,291,395

Capital Markets — 0.1%

China Bills Finance Corp.

8,000 3,916

President Securities Corp.

9,000 3,903

Total Capital Markets

7,819

See Notes to Financial Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

13


Schedule of investments (cont’d)

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

Concentradora Hipotecaria SAPI de CV

5,700 $5,619

Total Financials

1,304,833
Industrials — 3.3%

Commercial Services & Supplies — 0.1%

Cleanaway Co. Ltd.

1,000 5,190

Construction & Engineering — 0.2%

United Integrated Services Co. Ltd.

2,400 12,497

Electrical Equipment — 0.1%

Kung Long Batteries Industrial Co. Ltd.

1,000 4,747

Industrial Conglomerates — 0.9%

Dubai Investments PJSC

23,062 8,100

HAP Seng Consolidated Bhd

4,800 11,465

Industries Qatar QSC

10,199 29,440

Reunert Ltd.

1,775 8,418

Total Industrial Conglomerates

57,423

Marine — 0.3%

MISC Bhd

9,500 18,939

Trading Companies & Distributors — 0.1%

China Aircraft Leasing Group Holdings Ltd.

5,500 5,684

Transportation Infrastructure — 1.6%

China Merchants Port Holdings Co. Ltd.

16,000 25,068

Jiangsu Expressway Co. Ltd., Class H Shares

14,000 18,613

Shenzhen International Holdings Ltd.

11,500 23,417

Westports Holdings Bhd

6,700 6,863

Yuexiu Transport Infrastructure Ltd.

12,000 11,085

Zhejiang Expressway Co. Ltd., Class H Shares

20,000 16,408

Total Transportation Infrastructure

101,454

Total Industrials

205,934
Information Technology — 7.9%

Electronic Equipment, Instruments & Components —
1.3%

Hana Microelectronics PCL

6,000 5,067 (a)

Simplo Technology Co. Ltd.

1,400 12,924

Supreme Electronics Co. Ltd.

6,000 5,726

Syncmold Enterprise Corp.

2,000 5,144

Synnex Technology International Corp.

16,000 19,106

TXC Corp.

3,000 3,686

WPG Holdings Ltd.

17,000 21,557

WT Microelectronics Co. Ltd.

6,000 6,859

Total Electronic Equipment, Instruments &
Components

80,069

See Notes to Financial
Statements.

14

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

IT Services — 2.2%

Infosys Ltd.

13,457 $130,076

Systex Corp.

2,000 4,862

Total IT Services

134,938

Semiconductors & Semiconductor Equipment —
0.8%

Greatek Electronics Inc.

3,000 4,223

Radiant Opto-Electronics Corp.

10,000 39,750

Topco Scientific Co. Ltd.

2,000 6,373

Total Semiconductors & Semiconductor Equipment

50,346

Technology Hardware, Storage & Peripherals —
3.6%

Aten International Co. Ltd.

1,000 2,835

Chicony Electronics Co. Ltd.

7,025 21,855

Compal Electronics Inc.

50,000 29,894

Inventec Corp.

33,000 23,958

Qisda Corp.

18,000 13,512

Quanta Computer Inc.

32,000 61,497

Samsung Electronics Co. Ltd.

1,444 62,553

Transcend Information Inc.

3,000 6,514

Total Technology Hardware, Storage & Peripherals

222,618

Total Information Technology

487,971
Materials — 14.6%

Chemicals — 9.0%

Engro Fertilizers Ltd.

15,000 6,875

Fauji Fertilizer Co. Ltd.

12,000 7,264

Formosa Chemicals & Fibre Corp.

38,000 110,603

Formosa Plastics Corp.

41,000 131,726

Huabao International Holdings Ltd.

11,000 4,028

Nan Ya Plastics Corp.

52,000 122,994

Petronas Chemicals Group Bhd

24,700 44,157

PhosAgro PJSC, Registered Shares, GDR

3,774 47,477

PTT Global Chemical PCL

35,700 60,298 (a)

Sinopec Shanghai Petrochemical Co. Ltd., Class H Shares

48,000 13,351

Taiwan Styrene Monomer

12,000 8,515

Total Chemicals

557,288

Construction Materials — 2.9%

Qatar National Cement Co. QSC

2,607 4,153

Siam Cement PCL, Registered Shares

8,375 101,792 (a)

Taiwan Cement Corp.

51,793 68,824

Waskita Beton Precast Tbk PT

159,400 3,770

Total Construction Materials

178,539

See Notes to Financial
Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

15


Schedule of investments (cont’d)

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

Containers & Packaging — 0.1%

Greatview Aseptic Packaging Co. Ltd.

6,000 $3,024

Metals & Mining — 2.6%

Alrosa PJSC

47,520 55,262

Feng Hsin Steel Co. Ltd.

5,000 8,656

Magnitogorsk Iron & Steel Works PJSC

29,600 16,876

Novolipetsk Steel PJSC

18,120 35,363

Severstal PJSC

2,900 39,930

Tung Ho Steel Enterprise Corp.

8,000 5,677

Total Metals & Mining

161,764

Total Materials

900,615
Real Estate — 3.9%

Equity Real Estate Investment Trusts (REITs) — 2.3%

Emira Property Fund Ltd.

7,278 6,131

Fibra Uno Administracion SA de CV

35,144 53,600

Hyprop Investments Ltd.

2,966 11,617

IGB Real Estate Investment Trust

13,300 6,079

Pavilion Real Estate Investment Trust

15,900 6,583

Prologis Property Mexico SA de CV

2,100 4,511

Redefine Properties Ltd.

62,476 31,272

Sunway Real Estate Investment Trust

6,500 2,816

Yuexiu Real Estate Investment Trust

22,000 14,624

Total Equity Real Estate Investment Trusts (REITs)

137,233

Real Estate Management & Development — 1.6%

Aldar Properties PJSC

28,137 18,003

Bangkok Land PCL

61,800 2,804

Barwa Real Estate Co.

12,660 11,891

Land & Houses PCL

107,300 34,470

LSR Group PJSC, Registered Shares, GDR

5,344 11,329

Pruksa Holding PCL

4,900 2,564

Quality Houses PCL

89,700 7,724 (a)

Sansiri PCL

122,700 4,632 (a)

United Development Co. QSC

16,680 6,414

Total Real Estate Management & Development

99,831

Total Real Estate

237,064
Utilities — 7.3%

Electric Utilities — 3.2%

Enel Chile SA

325,966 26,829

Tenaga Nasional Bhd

44,000 145,947

Transmissora Alianca de Energia Eletrica SA

3,300 23,601

Total Electric Utilities

196,377

See Notes to Financial
Statements.

dieciséis

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Seguridad Shares Valor

Gas Utilities — 0.3%

Petronas Gas Bhd

5,300 $21,106

Independent Power and Renewable Electricity Producers —
3.4%

CGN Power Co. Ltd., Class H Shares

96,000 24,987 (a)

China Resources Power Holdings Co. Ltd.

24,000 30,223

Electricity Generating PCL

2,400 27,581 (a)

Engie Brasil Energia SA

3,930 44,054

NTPC Ltd.

31,881 55,016

Ratch Group PCL

8,500 20,690

Unipro PJSC

134,000 5,521

Total Independent Power and Renewable Electricity Producers

208,072

Water Utilities — 0.4%

Aguas Andinas SA, Class A Shares

29,543 13,555

Inversiones Aguas Metropolitanas SA

5,052 6,034

TTW PCL

12,900 5,810 (a)

Total Water Utilities

25,399

Total Utilities

450,954

Total Common Stocks (Cost — $6,126,847)

6,030,237
Rate
Preferred Stocks — 2.7%
Communication Services — 1.7%

Diversified Telecommunication Services — 1.7%

Telefonica Brasil SA

7,900 104,437
Energy — 0.7%

Oil, Gas & Consumable Fuels — 0.7%

Transneft PJSC

dieciséis 41,579
Financials — 0.1%

Capital Markets — 0.1%

Daishin Securities Co. Ltd., (Preference Shares)

615 4,943
Utilities — 0.2%

Water Utilities — 0.2%

Cia de Saneamento do Parana

3,500 15,868

Total Preferred Stocks (Cost — $163,028)

166,827

Total Investments before Short-Term Investments (Cost — $6,289,875)

6,197,064
Short-Term Investments — 0.1%

Invesco Treasury Portfolio, Institutional Class (Cost — $7,743)

1.632% 7,743 7,743

Total Investments — 100.7% (Cost — $6,297,618)

6,204,807

Liabilities in Excess of Other Assets — (0.7)%

(40,767)

Total Net Assets — 100.0%

$6,164,040

See Notes to Financial
Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

17


Schedule of investments (cont’d)

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

* *

Non-income producing security.

(a)

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

Abbreviations used in this schedule:

GDR — Global Depositary Receipts
PJSC — Private Joint Stock Company

At October 31, 2019, the Fund had the following open forward foreign currency contracts:

Currency
Purchased
Currency
Sold
Counterparty Asentamiento
Fecha
Unrealized
Appreciation
(Depreciation)
USD 307,191 BRL 1,259,115 Bank of New York 11/12/19 $ (6,220)
USD 107,655 CLP 77,081,995 Bank of New York 11/12/19 3,601
USD 22,861 CZK 535,051 Bank of New York 11/12/19 (542)
USD 13,125 EUR 11,918 Bank of New York 11/12/19 (182)
USD 274,263 INR 19,550,859 Bank of New York 11/12/19 (1,042)
USD 723,265 KRW 871,042,331 Bank of New York 11/12/19 (25,588)
USD 212,992 MXN 4,230,446 Bank of New York 11/12/19 (7,247)
USD 15,307 PHP 793,183 Bank of New York 11/12/19 (317)
USD 12,978 PLN 51,158 Bank of New York 11/12/19 (433)
USD 112,081 QAR 408,049 Bank of New York 11/12/19 01
USD 498,520 RUB 32,639,412 Bank of New York 11/12/19 (10,056)
USD 960,440 TWD 29,696,805 Bank of New York 11/12/19 (15,617)
USD 116,218 ZAR 1,769,686 Bank of New York 11/12/19 (1,074)
USD 589,045 MYR 2,468,276 HSBC BANK USA, N.A. 11/12/19 (1,505)
USD 317,820 AED 1,167,489 UBS AG 11/12/19 (43)
USD 907,579 HKD 7,115,602 UBS AG 11/12/19 (224)
USD 801,558 THB 24,469,113 UBS AG 11/12/19 (8,892)
Total

$(75,381)

1

Value is less than $1.

See Notes to Financial Statements.

18 años

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Abbreviations used in this table:

AED — United Arab Emirates Dirham
BRL — Brazilian Real
CLP — Chilean Peso
CZK — Czech Koruna
EUR — Euro
HKD — Hong Kong Dollar
INR — Indian Rupee
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
PHP — Philippine Peso
PLN — Polish Zloty
QAR — Qatari Rial
RUB — Russian Ruble
THB — Thai Baht
TWD — Taiwan Dollar
USD — United States Dollar
ZAR — South African Rand

See Notes to Financial
Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

19


Schedule of investments (cont’d)

October 31, 2019

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Summary of Investments by Country**

(unaudited)

Taiwán 16.2%
China 14.5
Tailandia 12.8
Corea del Sur 11.8
Russia 9.6
Malasia 9.6
Emiratos Árabes Unidos 5.2
Brasil 5.0
India 4.2
Mexico 3.5
Sudáfrica 2.0
Qatar 1.8
Chile 1.5
Pakistan 0.5
Republica checa 0.4
Hong Kong 0.3
Poland 0.3
Filipinas 0.3
Greece 0.2
Hungría 0.1
Indonesia 0.1
Short-Term Investments 0.1
100.0%

** **

As a percentage of total investments. Please note that the Fund holdings are as of October 31, 2019 and are subject to change.

See Notes to Financial
Statements.

20

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Statement of assets and liabilities

October 31, 2019

Assets:

Investments, at value (Cost — $6,297,618)

$6,204,807

Foreign currency, at value (Cost — $33,588)

33,576

Dividends and interest receivable

8,814

Unrealized appreciation on forward foreign currency contracts

3,601

Total Assets

6,250,798
Liabilities:

Unrealized depreciation on forward foreign currency contracts

78,982

Accrued foreign capital gains tax

5,172

Investment management fee payable

2,604

Total Liabilities

86,758
Total Net Assets $6,164,040
Net Assets:

Par value (Note 5)

$2

Paid-in capital in excess of par value

6,372,806

Total distributable earnings (loss)

(208,768)
Total Net Assets $6,164,040
Shares Outstanding 240,000
Net Asset Value $25.68

Net of accrued foreign capital gains tax of $5,172.

See Notes to Financial Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

21


Statement of operations

For the Year Ended October 31, 2019

Investment Income:

Dividends

$ 321,855

Interest

786

Less: Foreign taxes withheld

(36,515)

Total Investment Income

286,126
Expenses:

Investment management fee (Note 2)

31,336

Interest expense

138

Total Expenses

31,474
Net Investment Income 254,652
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts,
Forward Foreign Currency Contracts and Foreign Currency
Transactions (Notes 1, 3 and 4):

Net Realized Gain (Loss) From:

Investment transactions

(92,161)

Futures contracts

(6,884)

Forward foreign currency contracts

29,963

Foreign currency transactions

(50,258)

Net Realized Loss

(119,340)

Change in Net Unrealized Appreciation (Depreciation) From:

Inversiones

188,024

Futures contracts

883

Forward foreign currency contracts

(103,351)

Foreign currencies

(269)

Change in Net Unrealized Appreciation (Depreciation)

85,287
Net Loss on Investments, Futures Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (34,053)
Increase in Net Assets From Operations $ 220,599

Net of change in accrued foreign capital gains tax of $3,033.

See Notes to Financial Statements.

22

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Statements of changes in net assets

For the Years Ended October 31, 2019 2018
Operations:

Net investment income

$254,652 $245,140

Net realized gain (loss)

(119,340) 219,805

Change in net unrealized appreciation (depreciation)

85,287 (617,007)

Increase (Decrease) in Net Assets From Operations

220,599 (152,062)
Distributions to Shareholders From (Note 1):

Total distributable earnings(a)

(332,207) (257,494)

Decrease in Net Assets From Distributions to
Shareholders

(332,207) (257,494)
Fund Share Transactions (Note 5):

Net proceeds from sale of shares (0 and 120,000 shares issued, respectively)

3,375,423

Increase in Net Assets From Fund Share Transactions

3,375,423

Increase (Decrease) in Net Assets

(111,608) 2,965,867
Net Assets:

Beginning of year

6,275,648 3,309,781

End of year(b)

$6,164,040 $6,275,648

(a)

Distributions from net investment income and from realized gains are no longer required to be separately disclosed (Note 7). For the year ended
October 31, 2018, distributions from net investment income were $257,494.

(b)

Parenthetical disclosure of undistributed net investment income is no longer required (Note 7). For the year ended October 31, 2018, end of year net assets
included undistributed net investment income of $50,268.

See Notes to Financial Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

23


Financial highlights

For a share of beneficial interest outstanding throughout each year ended
October 31,
unless otherwise noted:
20191 20181 20171,2
Net asset value, beginning of year $26.15 $27.58 $24.94
Income (loss) from operations:

Net investment income

1.06 1.13 1.01

Net realized and unrealized gain (loss)

(0.15) (1.34) 2.57

Total income (loss) from operations

0.91 (0.21) 3.58
Less distributions from:

Net investment income

(0.88) (1.22) (0.94)

Net realized gains

(0.50)

Total distributions

(1.38) (1.22) (0.94)
Net asset value, end of year $25.68 $26.15 $27.58

Total return, based on NAV3

3.64% (0.87)% 14.53%
Net assets, end of year (000s) $6,164 $6,276 $3,310
Ratios to average net assets:

Gross expenses

0.50% 0.50% 0.50%4 4

Net expenses

0.50 0.50 0.504 4

Net investment income

4.06 4.10 3.934 4
Portfolio turnover rate 27% 27%5 5 25%5 5

1

Per share amounts have been calculated using the average shares method.

2

For the period November 17, 2016 (inception date) to October 31, 2017.

3

Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would
have been lower. The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

5 5

Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share
transactions.

See Notes to
Financial Statements.

24

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Notes to financial statements

1. Organization and significant accounting policies

Legg Mason Emerging Markets Low Volatility High Dividend 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 the Cboe BZX Exchange, Inc. 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 generally are issued and redeemed partially in-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Fund
are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.

The Fund seeks to
track the investment results of the QS Emerging Markets Low Volatility High Dividend Hedged Index (the “Underlying Index”). The Underlying Index seeks to provide more stable income through investments in stocks of profitable companies in
emerging markets outside of the United States with relatively high dividend yields or anticipated dividend yields and lower price and earnings volatility, while mitigating exposure to exchange-rate fluctuations between the U.S. dollar and currencies
in which the component securities are denominated and is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Fund’s subadviser.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are
required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these
estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

25


Notes to financial statements (cont’d)

(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 valued at the closing net asset value per share of each fund on the day of valuation. Futures
contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. 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. Cuando
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

26

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

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.

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.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

27


Notes to financial statements (cont’d)

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:

ASSETS
Descripción Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)

Significant
Unobservable
Entradas

(Level 3)

Total
Long-Term Investments†:

Common Stocks:

Communication Services

$568,727 $102,101 $670,828

Consumer Staples

438,367 33,199 471,566

Energy

710,921 189,443 900,364

Financials

1,252,141 52,692 1,304,833

Information Technology

482,904 5,067 487,971

Materials

738,525 162,090 900,615

Bienes raíces

224,708 12,356 237,064

Utilities

392,576 58,378 450,954

Other Common Stocks

606,042 606,042

Preferred Stocks

166,827 166,827
Total Long-Term Investments 5,581,738 615,326 6,197,064
Short-Term Investments† 7,743 7,743
Total Investments $5,589,481 $615,326 $6,204,807
Other Financial Instruments:

Forward Foreign Currency Contracts

$ 3,601 $3,601
Total $5,589,481 $618,927 $6,208,408
LIABILITIES
Descripción Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)

Significant
Unobservable
Entradas

(Level 3)

Total
Other Financial Instruments:

Forward Foreign Currency Contracts

$ 78,982 $78,982

See Schedule of Investments for additional detailed categorizations.

(b) Futures contracts. The Fund uses futures contracts generally to gain exposure or manage exposure to certain asset classes, sectors, or
markets or for cash management purposes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial
margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated
futures, variation margin is not settled daily,

28

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized gains or losses in the Statement of Operations and the Fund
recognizes a realized gain or loss when the contract is closed.

Futures contracts involve, to varying degrees, risk of loss in excess of the amounts
reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(c) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency
exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between
two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is
recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal
to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.

Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign
exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(d) Foreign currency translation. Investment securities and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies
are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Fund does not isolate
that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and
unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses
on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

29


Notes to financial statements (cont’d)

unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in
securities, on the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain
considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and
the possibility of political or economic instability.

(e) Foreign investment
risks.
The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require
settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign
investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(f) Counterparty risk and credit-risk-related contingent features of derivative instruments.
The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in
securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet
its contractual obligations. The Fund’s subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to
each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by
the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

With exchange
traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the
seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the
event of a default of the clearing broker or clearinghouse.

The Fund has entered into master agreements, such as an International Swaps and Derivatives
Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that govern over-the-counter

derivatives and

30

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. los
credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty
could terminate the positions and demand payment or require additional collateral.

Under an ISDA Master Agreement, the Fund may, under certain
circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a
termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and
the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

Collateral requirements differ by type of derivative.
Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for
over-the-counter traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported
separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.

As of October 31, 2019, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $78,982. If a contingent feature in the master agreements
would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.

(g) Security
transactions and investment income.
Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund
determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that
impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

(h) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared and paid on a quarterly
basis. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

31


Notes to financial statements (cont’d)

ex-dividend date and are determined in accordance with income tax regulations, which may differ
from GAAP.

(i) Federal and other taxes. It is the Fund’s policy to comply
with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net
realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.

Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of October 31, 2019, no
provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on
interest, dividends and capital gains at various rates. Realized gains upon disposition of securities issued in or by certain foreign countries are subject to capital gains tax imposed by those countries. As of October 31, 2019, there were
$5,172 of capital gains tax liabilities accrued on unrealized gains.

(j) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset
value per share. During the current year ended, the following reclassifications have been made:

Total Distributable
Earnings (Loss)
Paid-in
Capital
(a) $(26) $26

(a)

Reclassifications are due to foreign currency transactions treated as ordinary income for tax purposes.

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager and QS Investors, LLC (“QS Investors”) is the Fund’s subadviser. Western Asset Management Company, LLC
(“Western Asset”) manages the portion of the Fund’s cash and short-term instruments allocated to it. LMPFA, QS Investors and Western Asset are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).

LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund. The Fund is responsible for paying interest expenses, taxes, brokerage expenses, future 12b-1 fees (if any), acquired fund
fees and expenses, extraordinary expenses and the management fee payable to LMPFA under the investment management agreement.

32

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Under the investment management agreement and subject to the general supervision of the Fund’s Board of Trustees,
LMPFA provides or causes to be furnished all investment management, supervisory, administrative and other services reasonably necessary for the operation of the Fund, including certain distribution services (provided pursuant to a separate
distribution agreement) and investment advisory services (provided pursuant to separate subadvisory agreements) under a unitary fee structure. The Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.50%
of the Fund’s average daily net assets.

As compensation for its subadvisory services, LMPFA pays QS Investors monthly 90% of the management fee
paid by the Fund to LMPFA, net of (i) all fees and expenses incurred by LMPFA under the investment management agreement (including without limitation any subadvisory fee paid to another subadviser to the Fund) and (ii) expense waivers, if
any, and reimbursements. LMPFA pays Western Asset monthly a fee of 0.02% of the portion of the Fund’s average daily net assets allocated to Western Asset for the management of cash and other short-term instruments, net of expense waivers, if
any, and reimbursements.

Legg Mason Investor Services, LLC, a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the distributor of Creation
Units for the Fund on an agency basis.

The Fund’s Board of Trustees has adopted a Rule 12b-1 shareholder
services and distribution plan and under that plan, the Fund is authorized to pay service and/or distribution fees calculated at an annual rate of up to 0.25% of its average daily net assets. No service and/or distribution fees are currently paid by
the Fund, and there are no current plans to impose these fees.

All officers and one Trustee of the Trust are employees of Legg Mason or its affiliates
and do not receive compensation from the Trust.

3. Investments

During the year ended October 31, 2019, the aggregate cost of purchases and proceeds from sales of investments (excluding in-kind transactions and short-term
investments) were as follows:

Purchases $1,681,394
Sales 1,783,754

During the year ended October 31, 2019, there were no in-kind transactions (Note 5).

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

33


Notes to financial statements (cont’d)

At October 31, 2019, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of
investments for federal income tax purposes were as follows:

Cost Gross
Unrealized
Appreciation
Gross
Unrealized
Depreciation
Net
Unrealized
Depreciation
Securities $6,324,144 $443,236 $(562,573) $(119,337)
Forward foreign currency contracts 3,601 (78,982) (75,381)

4. Derivative instruments and hedging activities

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at October 31, 2019.

ASSET DERIVATIVES1

Foreign
Exchange Risk
Forward foreign currency contracts $3,601

LIABILITY DERIVATIVES1

Foreign
Exchange Risk
Forward foreign currency contracts $78,982

1

Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is
payables/net unrealized appreciation (depreciation).

The following tables provide information about the effect of derivatives and
hedging activities on the Fund’s Statement of Operations for the year ended October 31, 2019. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second
table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during the period.

AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED
Foreign
Exchange Risk
Equity
Risk
Total
Futures contracts $(6,884) $(6,884)
Forward foreign currency contracts $29,963 29,963
Total $29,963 $(6,884) $23,079

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
Foreign
Exchange Risk
Equity
Risk
Total
Futures contracts $883 $883
Forward foreign currency contracts $(103,351) (103,351)
Total $(103,351) $883 $(102,468)

34

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

During the year ended October 31, 2019, the volume of derivative activity for the Fund was as follows:

Average Market
Valor
Futures contracts (to buy)† $ 35,402
Forward foreign currency contracts (to buy) 15,261
Forward foreign currency contracts (to sell) 6,156,378

At October 31, 2019, there were no open positions held in this derivative.

The following table presents the Fund’s OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master
Agreement and net of the related collateral pledged (received) by the Fund as of October 31, 2019.

Counterparty Gross Assets
Subject to
Maestro
Agreements1
Gross
Liabilities
Subject to
Maestro
Agreements1
Net Assets
(Liabilities)
Subject to
Maestro
Agreements
Collateral
Pledged
(Received)
Net
Amount2
Bank of New York $3,601 $ (68,318) $ (64,717) $ (64,717)
HSBC Bank USA, N.A. (1,505) (1,505) (1,505)
UBS AG (9,159) (9,159) (9,159)
Total $3,601 $(78,982) $(75,381) $(75,381)

1

Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities.

2

Represents the net amount receivable (payable) from (to) the counterparty in the event of default.

5. Fund share transactions

A
October 31, 2019, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. Fund shares are issued and redeemed by the Fund only in Creation Units or Creation Unit aggregations, where
120,000 shares of the Fund constitute a Creation Unit. Such transactions are generally made partially on an in-kind basis and partially on cash basis, with a separate cash payment, which is a balancing cash
component to equate the transaction to the net asset value per share of the Fund on the transaction date. Transactions in capital shares of the Fund are disclosed in detail in the Statement of Changes in Net Assets. Authorized Participants are
subject to standard creation and redemption transaction fees to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units. Creations and redemptions for cash (when cash creations and redemptions are
available or specified) may be subject to an additional variable fee.

For the year ended October 31, 2019, there was no variable fee recorded to paid-in capital. For the year ended October 31, 2018, the variable fee amounted to $3,662 and is recorded to paid-in capital.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

35


Notes to financial statements (cont’d)

6. Income tax information and distributions to shareholders

The tax character of distributions paid during the fiscal years ended October 31, was as follows:

2019 2018
Distributions paid from:
Ordinary income $269,950 $257,494
Net long-term capital gains 62,257
Total distributions paid $332,207 $257,494

As of October 31, 2019, the components of accumulated earnings (losses) on a tax basis were as follows:

Undistributed ordinary income — net $98,567
Deferred capital losses* (156,149)
Other book/tax temporary differences(a) 48,782
Unrealized appreciation (depreciation)(b) (199,968)
Total accumulated earnings (losses) — net $(208,768)

* *

These capital losses have been deferred in the current year as either short-term or long-term losses. The losses will be deemed to occur on the first
day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains.

(a)

Other book/tax temporary differences are attributable to the realization for tax purposes on unrealized gains (losses) on certain foreign currency contracts.

(b)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax
deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies and the difference between the book and tax cost basis in limited partnership investments.

7. Recent accounting pronouncements

The Fund has adopted the disclosure provisions of the Financial Accounting Standards Board Accounting Standards Update No. 2018-13, Fair Value Measurement (Topic
820)
Disclosure Framework Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as
well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019, and interim periods within
those fiscal years; however, management has elected to early adopt ASU 2018-13. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair
value, primarily those disclosures related to transfers between levels of the fair value hierarchy.

In August 2018, the Securities and Exchange
Commission released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without
significantly altering the mix of information provided to investors. Effective with the current reporting period, the Fund adopted the Final Rule with the most notable impacts

36

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

being that the Fund is no longer required
to present the components of distributable earnings on the Statement of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net Assets. The tax
components of distributable earnings and distributions to shareholders continue to be disclosed within the Notes to Financial Statements.

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

37


Report of independent registered public accounting firm

To the Board of Trustees of Legg Mason ETF Investment Trust and
Shareholders of Legg Mason Emerging Markets Low Volatility High Dividend ETF

Opinion on the financial statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Legg Mason Emerging Markets Low Volatility High
Dividend ETF (one of the funds constituting Legg Mason ETF Investment Trust, referred to hereafter as the “Fund”) as of October 31, 2019, the related statement of operations for the year ended October 31, 2019, the statement of
changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the two years in the period ended October 31, 2019 and for the period
November 17, 2016 (inception date) through October 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of
the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2019 and the financial highlights for each of the two years in
the period ended October 31, 2019 and for the period November 17, 2016 (inception date) through October 31, 2017 in conformity with accounting principles generally accepted in the United States of America.

Basis for opinion

These financial statements
are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our
audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the
financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Baltimore, Maryland

December 18, 2019

We have served as the auditor of one or more
investment companies in Legg Mason investment company group since at least 1973. We have not been able to determine the specific year we began serving as auditor.

38

Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report

Additional information (unaudited)

Information about Trustees and Officers

The business and affairs of Legg Mason Emerging Markets Low Volatility High Dividend ETF (the “Fund”) are conducted by management under the supervision
and subject to the direction of its Board of Trustees. The business address of each Trustee is c/o Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202. Information pertaining to the Trustees and officers of the
Fund is set forth below.

The Statement of Additional Information includes additional information about Trustees and is available, without charge, upon
request by calling the Fund at 1-877-721-1926.

Independent Trustees
Paul R. Ades
Year of birth 1940
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1983
Principal occupation(s) during the past five years Paul R. Ades, PLLC (law firm) (since 2000)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna
Andrew L. Breech
Year of birth 1952
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1991
Principal occupation(s) during the past five years President, Dealer Operating Control Service, Inc. (automotive retail management) (since 1985)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna
Dwight B. Crane
Year of birth 1937
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1981
Principal occupation(s) during the past five years Professor Emeritus, Harvard Business School (since 2007); formerly, Professor, Harvard Business School (1969 to 2007); Independent Consultant (since
1969)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna

Legg Mason Emerging Markets Low Volatility High Dividend ETF

39


Additional information
(unaudited) (cont’d)

Information about Trustees and Officers

Independent Trustees (cont’d)
Althea L. Duersten
Year of birth 1951
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 2014
Principal occupation(s) during the past five years Retired (since 2011); formerly, Chief Investment Officer, North America, JPMorgan Chase (investment bank) and member of JPMorgan Executive Committee
(2007 to 2011)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Non-Executive Director, Rokos Capital Management LLP (since 2019)
Stephen R. Gross*
Year of birth 1947
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1986
Principal occupation(s) during the past five years Chairman Emeritus (since 2011) and formerly, Chairman, HLB Gross Collins, P.C. (accounting and consulting firm) (1979 to 2011); Executive Director
of Business Builders Team, LLC (since 2005); Principal, Gross Consulting Group, LLC (since 2011); CEO, Gross Capital Partners, LLC (since 2014); CEO, Trusted CFO Solutions, LLC (since 2011)
Number of funds in fund complex overseen by Trustee 90
Other board memberships held by Trustee during the past five years Ninguna
Susan M. Heilbron*
Year of birth [1945
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1994
Principal occupation(s) during the past five years Retired; formerly, President, Lacey & Heilbron (communications consulting) (1990 to 2002); General Counsel and Executive Vice President, The
Trump Organization (1986 to 1990); Senior Vice President, New York State Urban Development Corporation (1984 to 1986); Associate, Cravath, Swaine & Moore LLP (1980 to 1984) and (1977 to 1979)
Number of funds in fund complex overseen by Trustee 90
Other board memberships held by Trustee during the past five years Formerly, Director, Lincoln Savings Bank, FSB (1991 to 1994); Director, Trump Shuttle, Inc. (air transportation) (1989 to 1990); Director,
Alexander’s Inc. (department store) (1987 to 1990)

40

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Independent Trustees (cont’d)
Frank G. Hubbard
Year of birth 1937
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1993
Principal occupation(s) during the past five years President, Fealds, Inc. (business development) (since 2016); formerly, President, Avatar International Inc. (business development) (1998 to
2015)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna
Howard J. Johnson
Year of birth 1938
Position(s) with Trust Trustee and Chairman
Term of office1 and length of time served2 From 1981 to 1998 and since 2000 (Chairman since 2013)
Principal occupation(s) during the past five years Retired; formerly, Chief Executive Officer, Genesis Imaging LLC (technology company) (2003 to 2012)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna
Jerome H. Miller
Year of birth 1938
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1995
Principal occupation(s) during the past five years Retired; formerly, Vice Chairman, Shearson Lehman Hutton Inc. (1989 to 1992) and Senior Executive Vice President, E.F. Hutton Group Inc. (1986 to
1989)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna
Ken Miller
Year of birth 1942
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1983
Principal occupation(s) during the past five years Retired; formerly, President, Young Stuff Apparel Group, Inc. (apparel manufacturer), division of Li & Fung (1963 to 2012)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Ninguna

Legg Mason Emerging Markets Low Volatility High Dividend ETF

41


Additional information
(unaudited) (cont’d)

Information about Trustees and Officers

Independent Trustees (cont’d)
Thomas F. Schlafly
Year of birth 1948
Position(s) with Trust Trustee
Term of office1 and length of time served2 Since 1983
Principal occupation(s) during the past five years Chairman, The Saint Louis Brewery, LLC (brewery) (since 2012); formerly, President, The Saint Louis Brewery, Inc. (1989 to 2012); Senior Counsel
(since 2017) and formerly, Partner (2009 to 2016), Thompson Coburn LLP (law firm)
Number of funds in fund complex overseen by Trustee 44
Other board memberships held by Trustee during the past five years Director, Citizens National Bank of Greater St. Louis (since 2006)
Interested Trustee and Officer
Jane Trust, CFA3
Year of birth 1962
Position(s) with Trust Trustee, President and Chief Executive Officer
Term of office1 and length of time served2 Since 2015
Principal occupation(s) during the past five years Senior Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2018); Managing Director of Legg Mason & Co.
(2016 to 2018); Officer and/or Trustee/Director of 145 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Vice
President of LMPFA (2015); Director of ClearBridge, LLC (formerly, Legg Mason Capital Management, LLC) (2007 to 2014); Managing Director of Legg Mason Investment Counsel & Trust Co. (2000 to 2007)
Number of funds in fund complex overseen by Trustee 136
Other board memberships held by Trustee during the past five years Ninguna
Additional Officers

Ted P. Becker

Legg
Mason

620 Eighth Avenue, 49th Floor, New York, NY 10018

Year of birth 1951
Position(s) with Trust Chief Compliance Officer
Term of office1 and length of time served2 Since 2007
Principal occupation(s) during the past five years Director of Global Compliance at Legg Mason (since 2006); Chief Compliance Officer of LMPFA (since 2006); Managing Director of Compliance of Legg
Mason & Co. (since 2005); Chief Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006)

42

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Additional Officers (cont’d)

Susan Kerr

Legg Mason

620 Eighth Avenue, 49th Floor, New York, NY 10018

Year of birth 1949
Position(s) with Trust Chief Anti-Money Laundering Compliance Officer
Term of office1 and length of time served2 Since 2013
Principal occupation(s) during the past five years Assistant Vice President of Legg Mason & Co. and Legg Mason Investor Services, LLC (“LMIS”) (since 2010); Chief Anti-Money
Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2013) and Anti-Money Laundering Compliance Officer of LMIS (since 2012); Senior Compliance Officer of LMIS (since 2011);
formerly, AML Consultant, DTCC (2010); AML Consultant, Rabobank Netherlands, (2009); First Vice President, Director of Marketing & Advertising Compliance and Manager of Communications Review Group at Citigroup Inc. (1996 to
2008)

Jenna Bailey

Legg Mason

100 First Stamford Place, 5th Floor, Stamford, CT 06902

Year of birth 1978
Position(s) with Trust Identity Theft Prevention Officer
Term of office1 and length of time served2 Since 2015
Principal occupation(s) during the past five years Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2015); Compliance
Officer of Legg Mason & Co. (since 2013); Assistant Vice President of Legg Mason & Co. (since 2011); formerly, Associate Compliance Officer of Legg Mason & Co. (2011 to 2013)

Robert I. Frenkel

Legg Mason

100 First Stamford Place, 6th Floor, Stamford, CT 06902

Year of birth 1954
Position(s) with Trust Secretary and Chief Legal Officer
Term of office1 and length of time served2 Since 2007
Principal occupation(s) during the past five years Vice President and Deputy General Counsel of Legg Mason, Inc. (since 2006); Managing Director and General Counsel — U.S. Mutual Funds for Legg
Mason & Co. (since 2006) and Legg Mason & Co. predecessors (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason &
Co. predecessors (prior to 2006)

Legg Mason Emerging Markets Low Volatility High Dividend ETF

43


Additional information
(unaudited) (cont’d)

Information about Trustees and Officers

Additional Officers (cont’d)

Thomas C. Mandia

Legg Mason

100 First Stamford Place, 6th Floor, Stamford, CT 06902

Year of birth 1962
Position(s) with Trust Assistant Secretary
Term of office1 and length of time served2 Since 2007
Principal occupation(s) during the past five years Managing Director and Deputy General Counsel of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005);
Secretary of LMPFA (since 2006); Assistant Secretary of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); Secretary of LM Asset Services, LLC
(“LMAS”) (since 2002) and Legg Mason Fund Asset Management, Inc. (“LMFAM”) (since 2013) (formerly registered investment advisers)

Christopher Berarducci**

Legg Mason

620 Eighth Avenue, 49th Floor, New York, NY 10018

Year of birth 1974
Position(s) with Trust Treasurer and Principal Financial Officer
Term of office1 and length of time served2 Since 2014 and 2019
Principal occupation(s) during the past five years Treasurer (since 2010) and Principal Financial Officer (since 2019) of certain mutual funds associated with Legg Mason & Co. or its
affiliates; Director of Legg Mason & Co. (since 2015); formerly, Vice President of Legg Mason & Co. (2011 to 2015); Assistant Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to
2010)

Jeanne M. Kelly

Legg Mason

620 Eighth Avenue, 49th Floor, New York, NY 10018

Year of birth 1951
Position(s) with Trust Senior Vice President
Term of office1 and length of time served2 Since 2007
Principal occupation(s) during the past five years Senior Vice President of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2007); Senior Vice President of
LMPFA (since 2006); President and Chief Executive Officer of LMAS and LMFAM (since 2015); Managing Director of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); formerly, Senior Vice President of
LMFAM (2013 to 2015)

Trustees who are not “interested persons” of the Fund within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as
amended (the “1940 Act”).

* *

Effective February 6, 2019, Mr. Gross and Ms. Heilbron became Trustees on this Board and an additional Board within the Legg Mason fund
complex, which is reflected in the “Number of funds in fund complex overseen by Trustee”.

44

Legg Mason Emerging Markets Low Volatility High Dividend ETF

** **

Effective September 27, 2019, Mr. Berarducci became Treasurer and Principal Financial Officer.

1

Each Trustee and officer serves until his or her respective successor has been duly elected and qualified or until his or her earlier death, resignation,
retirement or removal.

2

Indicates the earliest year in which the Trustee became a board member for a fund in the Legg Mason fund complex or the officer took such office.

3

Ms. Trust is an “interested person” of the Fund, as defined in the 1940 Act, because of her position with LMPFA and/or certain of its affiliates.

Legg Mason Emerging Markets Low Volatility High Dividend ETF

45


Important tax information (unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended October 31, 2019:

Record date: 12/27/2018 3/08/2019 6/07/2019 9/06/2019
Payable date: 12/31/2018 3/12/2019 6/11/2019 9/10/2019
Ordinary Income:

Qualified Dividend Income for Individuals*

23.49% 52.94% 52.94% 52.94%
Foreign Source Income* 56.71% 100.00% 100.00% 100.00%
Foreign Taxes paid per Share $0.025608 $0.025146 $0.018336 $0.039291
Long-Term Capital Gain Dividend $0.230780
Qualified Short-Term Capital Gain Dividend** $0.243950

* *

Expressed as a percentage of the cash distribution grossed-up for foreign taxes.

** **

Qualified Short-Term Capital Gains eligible for exemption from U.S withholding tax for nonresident shareholders and foreign corporations.

The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid
may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax advisor regarding the appropriate treatment of foreign taxes paid.

Please retain this information for your records.

46

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Legg Mason

Emerging Markets Low Volatility High Dividend ETF

Trustees

Paul R. Ades

Andrew L. Breech

Dwight B. Crane

Althea L. Duersten

Stephen R. Gross*

Susan M. Heilbron*

Frank G. Hubbard

Howard J. Johnson

Chairman

Jerome H. Miller

Ken Miller

Thomas F. Schlafly

Jane Trust

* *

Effective February 6, 2019, Mr. Gross and Ms. Heilbron became Trustees.

Investment manager

Legg Mason Partners Fund Advisor, LLC

Subadviser

QS Investors, LLC

Custodian

The Bank of New York Mellon

Transfer agent

The Bank of New York Mellon

240 Greenwich Street

New York, NY 10286

Independent registered public accounting firm

PricewaterhouseCoopers LLP

Baltimore, MD

Legg Mason Emerging Markets Low Volatility High Dividend ETF

The Fund is a separate investment series of Legg Mason ETF Investment Trust, a Maryland statutory trust.

Legg Mason Emerging Markets Low Volatility High Dividend ETF

Legg
Mason Funds

620 Eighth Avenue, 49th Floor

New York, NY
10018

The Fund files its complete schedule of portfolio holdings with the
Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Previously, the Fund filed a complete schedule of
portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-PORT y
N-Q are available on the SEC’s website at www.sec.gov. To obtain information on Forms N-PORT y N-Q, shareholders can call
the Fund at 1-877-721-1926.

Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th
of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling the Fund at 1-877-721-1926, (2) at www.leggmason.com/etf and (3) on the SEC’s website at www.sec.gov.

This report is submitted for the general information of the shareholders of Legg Mason
Emerging Markets Low Volatility High Dividend ETF . This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a current prospectus.

Investors should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. Please read
the prospectus carefully before investing.

www.leggmason.com

© 2019 Legg Mason Investor Services, LLC

Member FINRA, SIPC


ETF Index Disclaimers

The MSCI Emerging Markets IMI Index (the “MSCI Index”) was used by QS
Investors, LLC (“QS Investors”), the Fund’s subadviser, as the reference universe for selection of the component securities included in the QS Emerging Markets Low Volatility High Dividend Hedged Index (the “Underlying
Index”). MSCI Inc. does not in any way sponsor, support, promote or endorse the Underlying Index or Legg Mason Emerging Markets Low Volatility High Dividend ETF (the “Fund”). MSCI Inc. was not and is not involved in any way in the
creation, calculation, maintenance or review of the Underlying Index. The MSCI Index was provided on an “as is” basis. MSCI Inc., its affiliates and any other person or entity involved in or related to compiling, computing or creating the
MSCI Index (collectively, the “MSCI Parties”) expressly disclaim all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement,
merchantability and fitness for a particular purpose). Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including without limitation
lost profits) or any other damages in connection with the MSCI Index, the Underlying Index or the Fund.

The Fund is not sponsored, promoted, sold or
supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Underlying Index and/or Underlying Index trade mark or the Underlying Index Price
at any time or in any other respect. The Underlying Index is calculated and published by Solactive AG. Solactive AG uses its best efforts to ensure that the Underlying Index is calculated correctly. Irrespective of its obligations towards the Fund,
Solactive AG has no obligation to point out errors in the Underlying Index to third parties including but not limited to investors and/or financial intermediaries of the Fund. Neither publication of the Underlying Index by Solactive AG nor the
licensing of the Underlying Index or Underlying Index trade mark for the purpose of use in connection with the Fund constitutes a recommendation by Solactive AG to invest capital in this Fund nor does it in any way represent an assurance or opinion
of Solactive AG with regard to any investment in this Fund.

QS Investors does not guarantee the accuracy and/or the completeness of the Underlying Index
or any data included therein, and QS Investors shall not have any liability for any errors, omissions or interruptions therein. QS Investors makes no warranty, express or implied, as to results to be obtained by the Fund, owners of the shares of the
Fund or any other person or entity from the use of the Underlying Index, or any data included therein, either in connection with the Fund or for any other use. QS Investors makes no express or implied warranties, and expressly disclaims all
warranties of merchantability or fitness for a particular purpose or use with respect to the Underlying Index or any data included therein. Without limiting any of the foregoing, in no event shall QS Investors have any liability for any special,
punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the Underlying Index, even if notified of the possibility of such damages.


www.leggmason.com

© 2019 Legg Mason Investor Services, LLC Member FINRA, SIPC

ETFF418413 12/19 SR19-3768


The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer,
principal accounting officer or controller.

ITEM 3.

AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the registrant has determined that Dwight B. Crane possesses the technical attributes identified in Instruction 2(b)
of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Dwight B. Crane as the Audit Committee’s financial expert Dwight B. Crane is an
“independent” Trustees pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.

ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

a) Audit Fees. The aggregate fees billed in the last two fiscal years ending October 31, 2018 and October 31, 2019 (the
“Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by
the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $140,000 in October 31, 2018 and $90,000 in October 31, 2019.

b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are
reasonably related to the performance of the Registrant’s financial statements were $52,489 in October 31, 2018 and $0 in October 31, 2019.

In addition, there were no Audit-Related Fees billed in the Reporting Period for assurance and related services by the Auditor to the
Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity
controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Legg Mason ETF Investment Trust (“service affiliates”), that were reasonably related to the performance of the annual
audit of the service affiliates. Accordingly, there were no such fees that required pre-approval by the Audit Committee for the Reporting Period.

(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance,
tax advice and tax planning (“Tax Services”) were $0 in October 31, 2018 and $0 in October 31, 2019. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S.
federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or
proposed to be acquired or held.

There were no fees billed for tax services by the Auditors to service affiliates during the Reporting
Periods that required pre-approval by the Audit Committee.

re) All Other Fees.

The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in
paragraphs (a) through (c) for the Item 4 for the Legg Mason ETF Investment Trust, were $0 in October 31, 2018 and $0 in October 31, 2019.


All Other Fees. There were no other non-audit services
rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (“LMPFA”), and any entity controlling, controlled by or under common control with LMPFA that provided ongoing services to Legg Mason ETF Investment Trust requiring pre-approval by the Audit Committee in the Reporting Period.

(e) Audit Committee’s
pre–approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.

(1) The Charter for the Audit Committee (the “Committee”) of the Board of each registered investment company (the “Fund”)
advised by LMPFA or one of their affiliates (each, an “Adviser”) requires that the Committee shall approve (a) all audit and permissible non-audit services to be provided to the Fund and
(b) all permissible non-audit services to be provided by the Fund’s independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and
financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the full Committee.

The Committee shall not approve non-audit services that the Committee believes may impair the
independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited
services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible
non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and
implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit
outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other
service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.

Pre-approval by the Committee of any permissible non-audit
services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under
common control with the Adviser that provide ongoing services to the Fund (“Covered Service Providers”) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the
permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services
to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time
of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the
audit.

(2) For the Legg Mason ETF Investment Trust, the percentage of fees that were approved by the audit committee, with respect to:
Audit-Related Fees were 100% and 100% for October 31, 2018 and October 31, 2019; Tax Fees were 100% and 100% for October 31, 2018 and October 31, 2019; and Other Fees were 100% and 100% for October 31, 2018 and
October 31, 2019.


(f) N/A

(g) Non-audit fees billed by the Auditor for services rendered to Legg Mason ETF Investment Trust,
LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Legg Mason ETF Investment Trust during the reporting period were $678,000 in October 31, 2018 and $472,562 in October 31,
2019.

(h) Yes. Legg Mason ETF Investment Trust’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible
with maintaining the Accountant’s independence. All services provided by the Auditor to the Legg Mason ETF Investment Trust or to Service Affiliates, which were required to be pre-approved, fueron pre-approved as required.

ITEM 5.

AUDIT COMMITTEE OF LISTED REGISTRANTS.

a)

The independent board members are acting as the registrant’s audit committee as specified in
Sección
3(a)(58)(B) of the Exchange Act. The Audit Committee consists of the following Board members:

Paul R. Ades

Andrew L. Breech

Dwight B. Crane

Althea L.
Duersten

Stephen R. Gross*

Susan M. Heilbron*

Frank G.
Hubbard

Howard J. Johnson

Jerome H. Miller

Ken Miller

Thomas F. Schlafly

* *

Effective February 6, 2019, Mr. Gross and Ms. Heilbron became Trustees.

ITEM 6.

SCHEDULE OF INVESTMENTS.

Included herein under Item 1.

ITEM 7.

DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8.

PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.


ITEM 9.

PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10.

SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable.

ITEM 11.

CONTROLS AND PROCEDURES.

(a)

The registrant’s principal executive officer and principal financial officer have concluded that the
registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of
the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal
control over financial reporting.

ITEM 12.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES.

Not applicable.

(a) (1) Code of Ethics attached hereto.

Exhibit 99.CODE ETH

(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.CERT

(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.

Exhibit 99.906CERT


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this Report to be signed on its behalf by the undersigned, there unto duly authorized.

Legg Mason ETF Investment Trust
By:

/s/ Jane Trust

Jane Trust
Chief Executive Officer
Date: December 30, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/ Jane Trust

Jane Trust
Chief Executive Officer
Date: December 30, 2019
By:

/s/ Christopher Berarducci

Christopher Berarducci
Principal Financial Officer
Date: December 30, 2019

CODE OF ETHICS

I. Introduction

A. Individuals Covered by the Code

This Code applies to all employees of Legg Mason & Co., LLC and interested directors of the Proprietary Funds who are not otherwise subject
to another code of ethics adopted pursuant to either Rule 17j-1 under the Investment Company Act or Rule 204A-1 under the Investment Advisers Act (“Covered
Persons”).

1)

Without limiting the generality of the foregoing, this Code covers all employees of Legg Mason & Co.,
LLC who perform services on behalf of the Proprietary Funds as part of the following regulated entities:

a.

Legg Mason Investor Services, LLC (“LMIS”).

b.

Legg Mason Partners Fund Advisor, LLC (“LMPFA”).

2)

For the avoidance of doubt, each of the Legg Mason Registered Advisers (other than LMPFA) have adopted their
own codes of ethics, and employees of the Legg Mason Registered Advisers who are subject to the requirements of those codes of ethics (including any who may be registered representatives of LMIS) are not subject to the requirements of this Code.

B. Standards of Business Conduct

This Code is based on the principle that Legg Mason and its affiliates owe a fiduciary duty to Legg Mason’s clients, and that all Covered Persons must
therefore avoid activities, interests and relationships that might (i) present a conflict of interest or the appearance of a conflict of interest, or (ii) otherwise interfere with Legg Mason’s ability to make decisions in the best
interests of any of its clients. In particular, Covered Persons must at all times comply with the following standards of business conduct:

1)

Compliance with Applicable Law. All Covered Persons must comply with the Federal Securities Laws that apply to
the business of Legg Mason.

2)

Clients Come First. Covered Persons must scrupulously avoid serving their personal interests ahead of the
interests of clients. For example, a Covered Person may not induce or cause a client to take action, or not to take action, for the Covered Person’s personal benefit at the expense of the client’s best interests.

3)

Avoid Taking Advantage. Covered Persons may not use their knowledge of the Legg Mason Registered Advisers’
investment activities or client portfolio holdings to profit by the market effect of such activities or to engage in short-term or other abusive trading in Reportable Funds.

4)

Avoid Other Inappropriate Relationships or Activities. Covered Persons should avoid relationships or activities
that could call into question the Covered Person’s ability to exercise independent judgment in the best interests of Legg Mason’s clients. In particular, Covered Persons should take note of the provisions of the Legg Mason Code of Conduct
and the Legg Mason Employee Handbook that pertain to confidentiality, corporate opportunities, gifts and entertainment, insider trading and outside business activities. In addition, Covered Persons who are registered representatives of LMIS should
also take note of LMIS’s policies and procedures pertaining to these activities.

1


5)

Observe the Spirit of the Code. Doubtful situations should be resolved in favor of Legg Mason’s clients.
Technical compliance with the Code’s procedures will not automatically insulate from scrutiny any personal Securities Transactions or other course of conduct that might indicate an abuse of these governing principles.

C. Duty to Report Violations

Covered Persons must
promptly report all violations of this Code to the Compliance Department.

D. Fiduciary Duty / Political Contributions

Covered Persons are prohibited from making political contributions for the purpose of obtaining or retaining any Legg Mason Registered Adviser or its
affiliates as investment advisers. Covered Persons are specifically prohibited from making political contributions to any person for the purpose of influencing the selection or retention of an investment adviser by a government entity. Covered
Persons will be required to certify annually that they have and will comply with this provision.

II. Personal Securities Transactions

A. Prohibited Transactions in Individual Securities

Covered Persons are subject to the following restrictions on their personal trading activities in individual securities:

1)

Fraudulent Transactions. In connection with the purchase or sale, directly or indirectly, by a Covered Person
of (A) a Reportable Security which, within the most recent fifteen (15) calendar days, (i) is or has been held by a Legg Mason client, or (ii) is being or has been considered by a Legg Mason Registered Adviser for purchase by a
client, or (B) an Equivalent Security thereof, Covered Persons are prohibited from:

a.

Employing any device, scheme or artifice to defraud Legg Mason’s clients;

b.

Making any untrue statement of a material fact or omitting to state a material fact necessary to make the
statements made, in light of the circumstances under which they were made, not misleading;

C.

Engaging in any act, practice or course of business that operates or would operate as a fraud or deceit on Legg
Mason’s clients; o

d.

Engaging in any manipulative practice with respect to Legg Mason’s clients.

2)

Inside Information. Covered Persons are prohibited from engaging in any transaction in a Security (or
Equivalent Security) at a time when the Covered Person is in possession of material non-public information regarding the Security or the issuer of the Security.

3)

Market Manipulation. Covered Persons are prohibited from engaging in any transactions in a Security (or
Equivalent Security) intended to raise, lower or maintain the price of that Security or to create a false appearance of active trading in that Security.

4)

Trading on the Knowledge of Client Transactions. Covered Persons are prohibited from engaging in any
transactions in a Security (or an Equivalent Security) on the basis of any information they may be in possession of to the effect that (i) a Legg Mason Registered Adviser is or may be considering an investment in or sale of such Security on
behalf of its clients or (ii) has or may have an open order in such Security on behalf of its clients.

2


5)

Legg Mason, Inc. Stock. Covered Persons are prohibited from engaging in any transaction in Legg Mason
securities that is not in compliance with the “Legg Mason, Inc. Policies and Procedures Regarding Acquisitions and Dispositions of Legg Mason Securities,” as the same may be amended from time to time. A copy of this policy is available on
the Legg Mason Legal and Compliance Website.

B. Prohibited Transactions in Reportable Funds

1)

Market Timing in Reportable Funds. No Covered Person may use his or her knowledge of the portfolio holdings or
investment activities of a Reportable Fund to engage in any short-term or other abusive trading strategy involving such Fund that may conflict with the best interests of the Fund and its shareholders.

2)

60-Day Holding Period for Investments in Proprietary Funds. Subject to
the exemptions set forth below, no Covered Person may sell (or exchange out of) shares of a Proprietary Fund in which the Covered Person has a Beneficial Interest if the Covered Person has not held the shares of the same Proprietary Fund for sixty
(60) calendar days, including any individual retirement account or 401(k) participant account.

3)

Additionally, Proprietary Funds that are sold in the LM 401(k) account are also subject to a 60-day minimum waiting period. No Covered Person may buy (or exchange into) shares of a Proprietary Fund within sixty (60) calendar days of a sell of (or exchange out of) shares of the same Proprietary Fund
within the same LM 401(k) account.

The following Securities Transactions involving Proprietary Funds are exempt from the 60-day minimum holding period requirement set forth in this Section II.B.2 and II.B.3:

a.

Money Market Funds and Other Short-Term Trading Vehicles. Purchases or redemptions of Proprietary Funds that
are money market funds or that hold themselves out as short-term trading vehicles.

b.

Managed Accounts. Transactions in Proprietary Funds held in a Managed Account in connection with which the
Covered Person has no direct or indirect influence or control over the account, is neither consulted nor advised of the trade before it is executed, and has no knowledge of specific management actions taken by a trustee or investment manager.

C.

Systematic Investment. Purchases or redemptions of Proprietary Funds pursuant to an Automatic Investment Plan
where a prescribed purchase or sale is made automatically on a regular predetermined basis without affirmative action by the Covered Person or pursuant to a similar arrangement approved by the Compliance Department (for example, automated payroll
deduction investments by 401(k) participants or automatic dividend reinvestment).

C.
Pre-Approval of Investments in Initial Public Offerings and Private Placements

Covered Persons are prohibited
from acquiring a Beneficial Interest in a Reportable Security through an initial public offering (other than a new offering of securities issued by a registered open-end investment company) or Private
Placement without the prior written approval of the Compliance Department. Requests for such approval shall be submitted to the Compliance Department through Fidelity National Information Services, Inc. (“FIS”)/PTA using substantially the
form of “Request for Approval to Invest in an Initial Public Offering or Private Placement” attached hereto as Appendix A.

3


D. Reporting and Trading Requirements

1)

Acknowledgement of Receipt; Initial and Periodic Disclosure of Personal Holdings; Annual Certification.

a.

Within ten (10) calendar days of being identified as a Covered Person under this Code, each Covered Person
must acknowledge that he or she has received and reviewed a copy of the Code, and has disclosed all Securities holdings in which such Covered Person has a Beneficial Interest..

b.

Thereafter, on an annual basis, each Covered Person shall give the same acknowledgements and, in addition,
shall certify that he or she has complied with all applicable provisions of the Code.

C.

Such acknowledgments and certifications shall be provided through FIS/PTA using substantially the form of the
“Acknowledgement of Receipt of Code of Ethics, Personal Holdings Report and Annual Certification” attached hereto as Appendix B.

2)

Execution of Personal Securities Transactions.

a.

Approved Accounts. Unless one of the following exceptions applies, Covered Persons must execute their personal
securities transactions involving any Reportable Securities or Reportable Funds in which they have or acquire a Beneficial Interest through one of the following two types of accounts (“Approved Accounts”):

yo.

Approved Securities Accounts. Securities accounts (including IRA accounts) with financial intermediaries that
have been approved by the Compliance Department (an “Approved Securities Account”); o

ii)

Approved Retirement Accounts. Participant accounts in retirement plans approved by the Compliance Department on
the grounds that either (i) automated feeds into FIS/PTA have been established, or (ii) sufficient policies and procedures are in place to protect any Reportable Funds that may be in the plan from the types of activities prohibited by
Sections A and B above (an “Approved Retirement Account”).1

b.

Exceptions. The following types of accounts are exempt from the requirements of section 2.a above, subject to
compliance with the conditions set forth below:

yo.

Mutual Fund-Only and Managed Accounts. Covered Persons may have or acquire a Beneficial Interest in Mutual
Fund-Only and Managed Accounts that are not Approved Securities Accounts, provided that the requirement set forth in this Code relating to a Managed Account or Mutual Fund-Only Account, as the case may be, are satisfied. To qualify for this
exemption, a Covered Person must deliver to the Compliance Department through FIS/PTA a certification in substantially the form of the “Certificate for Managed Accounts or Mutual Fund-Only Accounts” attached hereto as Appendix D.

ii)

Outside Retirement Accounts. Covered Persons may have or acquire a Beneficial Interest in a retirement account
other than an Approved Retirement Account (an “Outside Retirement Account”), provided that the Covered Person complies with the certification or reporting requirements set forth in Section 3.c below, and provided further that, for
purposes of this Code, an IRA account shall be treated as a securities account and not as a retirement account.

1

A list of the approved financial intermediaries and retirement plans may by found on the Legal and Compliance
home page on LMEX.

4 4


iii)

Dividend Reinvestment Plans. Covered Person may have or acquire a Beneficial Interest in securities held in a
dividend reinvestment plan account directly with the issuer of the securities or its transfer agent (a “Dividend Reinvestment Plan”), subject to compliance with the requirements of Section 3.a below.

C.

Outside Securities Accounts. Covered Persons that have or acquire a Beneficial Interest in a securities account
(including an IRA account) other than an Approved Account, Mutual Fund-Only Account, Managed Account or Outside Retirement Account (an “Outside Securities Account”) must obtain the prior written approval to maintain such account from the
Compliance Department.

yo.

A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially
the form of “Request for Approval for an Outside Securities Account” attached hereto as Appendix C. Such approvals will only be granted in extraordinary circumstances.

ii)

If the Compliance Department does not approve such request, the Covered Person must arrange to transfer or
convert such account into an Approved Account, Managed Account, Mutual Fund-Only Account or Outside Retirement Account as promptly as practicable.

6)

Transaction Reporting Requirements. Covered Persons shall report all Securities Transactions in which they have
a Beneficial Interest to the Compliance Department in accordance with the following provisions:

a.

Approved Accounts, Managed Accounts, Mutual Fund Only and Dividend Reinvestment Plan Accounts. Covered Persons
will not be required to arrange for the delivery of duplicate copies of confirmations or periodic statements for any Approved Accounts, Managed Accounts, Mutual Fund Only Accounts or Dividend Reinvestment Plans in which they have or acquire a
Beneficial Interest. However, the existence of all such accounts must be disclosed to the Compliance Department pursuant to either Section II.D.1 above or II.D.4 below. In addition, copies of any statements for any Managed Accounts, Mutual Fund Only
Accounts or Dividend Reinvestment Plans must be made available for review at the specific request of the Compliance Department.

b.

Outside Securities Accounts. For any Outside Securities Account approved by the Compliance Department, a
Covered Person must arrange for the Compliance Department to receive, directly from the applicable broker-dealer, bank or other financial intermediary, duplicate copies of each confirmation and periodic statement issued by such financial
intermediary in respect of such Outside Securities Account.

yo.

Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days
after the close of each calendar quarter. Confirmations must be delivered to the Compliance Department contemporaneously with delivery to the applicable Covered Person.

ii)

A form of letter that may be used to request duplicate confirmations and periodic statements from financial
intermediaries is attached as Appendix E. If a Covered Person is not able to arrange for duplicate confirmations and periodic statements to be sent, the Covered Person must immediately cease trading in such account and notify the Compliance
Departamento.

iii)

It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required
information relating to any holdings in an Outside Securities Account. and to notify the Compliance Department on the same day of any subsequent Securities Transactions in such Outside Retirement Account.

5 5


d.

Outside Retirement Accounts. For any Outside Retirement Account in which a Covered Person has a Beneficial
Interest, such Covered Person must either:

yo.

Certify that such account does not hold any shares of a Reportable Fund or Reportable Security and that no
Securities Transactions involving a Reportable Fund or Reportable Security have been executed in such account (such certifications shall be provided to the Compliance Department through FIS/PTA using substantially the form of the “Certificate
for Outside Retirement Accounts” attached hereto as Appendix F); o.

ii)

If a Covered Person is unable to provide such certification with respect to an Outside Retirement Account, the
Covered Person must notify the Compliance Department and provide the Compliance Department with duplicate copies of each confirmation and periodic statement issued by such financial intermediary in respect of such Outside Retirement Account.

(a)

Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days
after the close of each calendar quarter.

(b)

It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required
information relating to any holdings in an Outside Retirement Account and to notify the Compliance Department on the same day of any subsequent Securities Transactions in such Outside Retirement Account.

7)

New Reportable Accounts. If a Covered Person opens a new reportable account that has not previously been
disclosed, the Covered Person must notify the Compliance Department in writing within ten (10) calendar days of the existence of the account and make arrangements to comply with the requirements set forth in Sections II.D.2 & 3 above.

8)

Disclaimers. Any report of a Securities Transaction for the benefit of a person other than the individual in
whose account the transaction is placed may contain a statement that the report should not be construed as an admission by the person making the report that he or she has any direct or indirect beneficial ownership in the Security to which the
report relates.

9)

Availability of Reports. All information supplied pursuant to this Code may be made available for inspection to
the CCO of any affected Legg Mason Registered Adviser or Reportable Fund, the board of directors of each company employing the Covered Person, the board of directors of any affected Reportable Fund, the Compliance Department, the Covered
Person’s department manager (or designee), any party to which any investigation is referred by any of the foregoing, the Securities and Exchange Commission, any self-regulatory organization of which Legg Mason is a member, any state securities
commission, and any attorney or agent of the foregoing or of the Reportable Funds.

10)

Outside Business Activities. No Covered Person may engage in outside business activities or serve on the board
of directors of a publicly-held company absent prior written authorization of (i) the Compliance Department, and (ii) in the case of service on the board of directors of a publicly-held company, the General Counsel of Legg Mason, Inc.

a.

A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially
the form of “Request for Approval of Outside Business Activities” attached hereto as Appendix G.

b.

Requests for approval to serve as a director of a publicly held company will rarely be approved.

6 6


III. Personal Securities Transactions

A. Surveillance

The Compliance Department shall be
responsible for maintaining a surveillance program reasonably designed to monitor the personal trading activities of all Covered Persons for compliance with the provisions of this Code and for investigating any suspected violation of the Code. Upon
reaching the conclusion that a violation of the Code has occurred, the Compliance Department shall report the results of such investigation to the applicable Covered Person, the Covered Person’s department manager and to the CCOs of any
affected Legg Mason Registered Adviser or Reportable Fund.

B. Remedies

1)

Authority. The Compliance Department has authority to determine the remedy for any violation of the Code,
including appropriate disposition of any monies forfeited pursuant to this provision. Failure to promptly comply with any sanction directive may result in the imposition of additional sanctions..

2)

Sanctions. If the Compliance Department determines that a Covered Person has committed a violation of the Code,
the Compliance Department may, in consultation with the Human Resources Department and the Covered Person’s supervisor, as appropriate, impose sanctions and take other actions as it deems appropriate, including a verbal warning, a letter of
caution or warning, suspension of personal trading rights, suspension of employment (with or without compensation), fine, civil referral to the Securities and Exchange Commission, criminal referral, and termination of employment of the violator for
cause. The Compliance Department may also require the Covered Person to reverse the transaction in question and forfeit any profit or absorb any loss associated or derived as a result. The amount of profit shall be calculated by the Compliance
Departamento. No member of the Compliance Department may review his or her own transaction or those of his or her supervisors. If necessary, the General Counsel of Legg Mason or the CCO of the relevant Legg Mason Registered Adviser shall review these
transactions..

C. Exceptions to the Code

Although exceptions to the Code will rarely be granted, the Compliance Department may grant exceptions to the requirements of the Code if the Compliance
Department finds that the proposed conduct involves negligible opportunity for abuse. All such exceptions must be in writing..

IV. Definitions

When used in the Code, the following terms have the meanings set forth below:

A. General Defined Terms

“CCO” means the Chief
Compliance Officer of any Reportable Fund, Legg Mason Registered Adviser or Legg Mason entity that is a principal underwriter of a Reportable Fund.

“Code” means this Code of Ethics, as the same may be amended from time to time.

“Compliance Department” means the Legal and Compliance Department of Legg Mason.

“Covered Person” means any employee of Legg Mason & Co., LLC who is covered by this Code in accordance with the provisions of Section I.A
encima.

7 7


“Federal Securities Laws” means the Securities Act of 1933, as amended, the Securities Exchange Act of
1934, as amended, the Sarbanes-Oxley Act of 2002, the Investment Company Act, the Investment Advisers Act, Title V of the Gramm-Leach-Bliley Act, any rules adopted by the Securities and Exchange Commission under any of these statutes, the Bank
Secrecy Act as it applies to Legg Mason and any Reportable Funds, and any rule adopted thereunder by the Securities and Exchange Commission or the Department of the Treasury.

“Investment Advisers Act” means the Investment Advisers Act of 1940, as amended.

“Investment Company Act” means the Investment Company Act of 1940, as amended.

“Legg Mason” means Legg Mason, Inc. and its subsidiaries and affiliates.

“Legg Mason Registered Advisers” means those subsidiaries of Legg Mason that are registered as investment advisers under the Investment Advisers
Act.

“FIS/PTA” means FIS Personal Trading Assistant, a web browser-based automated personal trading compliance platform used by the Compliance
Department to administer this Code.

B. Terms Defining the Scope of a Beneficial Interest in a Security

“Beneficial Interest” means the opportunity, directly or indirectly, through any contract, arrangement, understanding, relationship or otherwise, to
profit, or share in any profit derived from, a transaction in the subject Securities.

A Covered Person is deemed to have a Beneficial Interest in the
following:

1)

Any Security owned individually by the Covered Person.

2)

Any Security owned jointly by the Covered Person with others (for example, joint accounts, spousal accounts,
partnerships, trusts and controlling interests in corporations).

3)

Any Security in which a member of the Covered Person’s Immediate Family has a Beneficial Interest if:

a.

The Security is held in an account over which the Covered Person has decision making authority (for example,
the Covered Person acts as trustee, executor, or guardian); o

b.

The Security is held in an account for which the Covered Person acts as a broker or investment adviser
representative.

A Covered Person is presumed to have a Beneficial Interest in any Security in which a member of the Covered
Person’s Immediate Family has a Beneficial Interest if the Immediate Family member resides in the same household as the Covered Person.

Any
uncertainty as to whether a Covered Person has a Beneficial Interest in a Security should be brought to the attention of the Compliance Department. Such questions will be resolved in accordance with, and this definition shall be subject to, the
definition of “beneficial owner” found in Rules 16a-1(a) (2) and (5) promulgated under the Securities Exchange Act of 1934, as amended.

8


“Immediate Family” of a Covered Person means any of the following persons:

child grandparent son-in-law
stepchild spouse daughter-in-law
grandchild sibling brother-in-law
parent mother-in-law sister-in-law
stepparent father-in-law

Immediate Family includes adoptive relationships, domestic partner relationships and other relationships (whether or not
recognized by law) that the Compliance Department determines could lead to the possible conflicts of interest, diversions of corporate opportunity, or appearances of impropriety, which this Code is intended to prevent.

C. Terms Defining the Scope of a Reportable Transaction

“Automatic Investment Plan” means a program in which regular periodic purchases (or withdrawals) are made automatically in or from investment
accounts in accordance with a predetermined schedule and allocation. An Automatic Investment Plan includes a dividend reinvestment plan.

“Equivalent
Security” means any Security issued by the same entity as the issuer of a subject Security, including options, rights, stock appreciation rights, warrants, preferred stock, restricted stock, phantom stock, bonds, and other obligations of that
company or Security otherwise convertible into that Security. Options on Securities are included even if, technically, they are issued by the Options Clearing Corporation or a similar entity.

“Managed Account” means an account where a Covered Person has no:

Direct or indirect influence or control over the account (for example, the trustee or investment manager simply
summarizes, describes, or explains account activity without the Covered Person providing directions or suggestions);

Knowledge of the transaction before it is completed (for example, transactions effected for a Covered Person by a
trustee of a blind trust, or discretionary trades made by an investment manager retained by the Covered Person, in connection with which the Covered Person is neither consulted nor advised of the trade before it is executed); y

Knowledge of the specific management actions taken by a trustee or investment manager and no right to intervene
in the trustee’s or investment manager’s management (for example, the Covered Person is not consulted as to the allocation of investments for the account).

“Mutual Fund-Only Account” means a Securities account or account held directly with a mutual fund that holds only
non-Reportable Funds and in which no other type of Securities may be held. For purposes of this Code, a Mutual Fund-Only Account includes a 529 plan or variable annuity life insurance account that holds only non-Reportable Funds and in which no other type of Securities may be held.

9 9


“Private Placement” means a Securities offering that is exempt from registration pursuant to
Section 4(2) or Section 4(6) of the Securities Act of 1933, as amended (the “Securities Act”), or pursuant to Rules 504, 505 or 506 of Regulation D under the Securities Act.

“Proprietary Fund” means an open-end investment company registered under the Investment Company Act (or any
portfolio or series thereof, as the case may be) that is part of one of the fund families sponsored by Legg Mason or its affiliates.

“Reportable
Fund” means (a) any fund registered under the Investment Company Act for which a Legg Mason Registered Adviser serves as an investment adviser, or (b) any fund registered under the Investment Company Act whose investment adviser or
principal underwriter is controlled by or under common control with Legg Mason. For purposes of this definition, “investment adviser” has the same meaning as it does in section 2(a)(20) of the Investment Company Act, and
“control” has the same meaning as it does in Section 2(a)(9) of the Investment Company Act.

“Reportable Security” means any
Security (as defined herein) other than the following types of Securities:

1)

Direct obligations of the Government of the United States;

2)

Bankers acceptances, bank certificates of deposit, commercial paper and high quality short-term debt
instruments, including repurchase agreements; y

3)

Shares of open-end mutual funds that are not Reportable Funds.

“Securities Transaction” means a purchase or sale of Securities in which a Covered Person has or acquires a Beneficial
Interest.

“Security” includes stock, notes, bonds, debentures, and other evidences of indebtedness (including loan participations and
assignments), limited partnership interests, investment contracts, closed-end investment companies, and all derivative instruments of the foregoing, such as options and warrants. “Security” does not
include futures or options on futures, but the purchase and sale of such instruments are nevertheless subject to the reporting requirements of the Code.

10

CERTIFICATIONS PURSUANT TO SECTION 302

EX-99.CERT

CERTIFICATIONS

I, Jane Trust,
certify that:

1)

I have reviewed this report on Form N-CSR of Legg Mason ETF Investment
Trust – Legg Mason Emerging Markets Low Volatility High Dividend ETF;

2)

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3)

Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report;

4)

The registrant’s other certifying officers and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

b)

Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; y

re)

Disclosed in this report any change in the registrant’s internal control over financial reporting that
occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; y

5)

The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the
audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; y

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting.

Date: December 30, 2019

/s/ Jane Trust

Jane Trust

Chief Executive
Officer


CERTIFICATIONS

I, Christopher Berarducci, certify that:

1)

I have reviewed this report on Form N-CSR of Legg Mason ETF Investment
Trust–Legg Mason Emerging Markets Low Volatility High Dividend ETF;

2)

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3)

Based on my knowledge, the financial information included in this report, and the financial statements on which
the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the
registrant as of, and for, the periods presented in this report;

4)

The registrant’s other certifying officers and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

b)

Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; y

re)

Disclosed in this report any change in the registrant’s internal control over financial reporting that
occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; y

5)

The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the
audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a)

All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; y

b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant’s internal control over financial reporting.

Date: December 30, 2019

/s/ Christopher Berarducci

Christopher Berarducci

Principal Financial
Officer

CERTIFICATIONS PURSUANT TO SECTION 906

EX-99.906CERT

CERTIFICATION

Jane Trust, Chief
Executive Officer, and Christopher Berarducci, Principal Financial Officer of Legg Mason ETF Investment Trust – Legg Mason Emerging Markets Low Volatility High Dividend ETF (the “Registrant”), each certify to the best of their
knowledge that:

1. The Registrant’s periodic report on Form N-CSR for the period ended
October 31, 2019 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; y

2. The information contained in the Form N-CSR fairly presents, in all material respects, the
financial condition and results of operations of the Registrant.

Chief Executive Officer

Legg Mason ETF
Investment Trust -

Legg Mason Emerging Markets Low Volatility High

Dividend ETF

Principal Financial Officer

Legg Mason ETF
Investment Trust -

Legg Mason Emerging Markets Low Volatility High

Dividend ETF

/s/ Jane Trust

/s/ Christopher Berarducci

Jane Trust Christopher Berarducci
Date: December 30, 2019 Date: December 30, 2019

This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. § 1350 and
is not being filed as part of the Form N-CSR with the Commission.

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