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.
| 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.
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,
Jane Trust, CFA
Presidente y Director Ejecutivo
29 de noviembre de 2019
II | Legg Mason Mercados emergentes Baja volatilidad Alto dividendo ETF |
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 MSCIyo.
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
Índiceii ligeramente inferior al rendimiento de sus homólogos desarrollados, medido por
el índice mundial MSCIiii 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-20iv 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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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
precioix 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 Promedioxi 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.
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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.
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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.
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Resumen del fondo (cont.)
| yo | El índice IMCI de mercados emergentes de MSCI captura grandes, a mediados y pequeña tapa representación |
| 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. |
| 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 |
| 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. |
| 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 |
| X | MSCI Emerging Markets IMI Local Index (Net) captura grandes, a mediados y pequeña tapa |
| 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. |
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Fondo en un
vistazo† (sin auditar)
Desglose de inversiones (%) como porcentaje de las inversiones totales
| † | 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 |
‡ La cantidad representa menos del 0.1%.
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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% | PS | 1,000.00 | PS | 978,80 | 0,50 | % | PS | 2,49 | 5.00 | % | $ 1,000.00 | PS | 1.022,68 | 0,50 | % | PS | 2,55 | |||||||||||||||||||||||||||||||||
| 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 |
| 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 |
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
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 |
10 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report |
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 — | ||||||||||||||||
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 & | 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 — | ||||||||||||||||
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 — | ||||||||||||||||
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 — | ||||||||||||||||
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 | 0 | 1 | |||||||||||||
| 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 |
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 | (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 |
| (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 |
See Notes to Financial Statements.
| Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report | 23 |
| 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 | 0.50 | 4 4 | ||||||||
Net investment income | 4.06 | 4.10 | 3.93 | 4 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 |
| 5 5 | Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share |
See Notes to
Financial Statements.
24 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2019 Annual Report |
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 (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 (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 |
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 |
| (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 |
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 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 |
| * * | Effective February 6, 2019, Mr. Gross and Ms. Heilbron became Trustees on this Board and an additional Board within the Legg Mason fund |
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, |
| 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 |
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 |
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 |
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 |
| (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 |
| ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT |
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., |
| 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 |
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 |
| 2) | Clients Come First. Covered Persons must scrupulously avoid serving their personal interests ahead of the |
| 3) | Avoid Taking Advantage. Covered Persons may not use their knowledge of the Legg Mason Registered Advisers’ |
| 4) | Avoid Other Inappropriate Relationships or Activities. Covered Persons should avoid relationships or activities |
1
| 5) | Observe the Spirit of the Code. Doubtful situations should be resolved in favor of Legg Mason’s clients. |
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 |
| 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 |
| C. | Engaging in any act, practice or course of business that operates or would operate as a fraud or deceit on Legg |
| 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 |
| 3) | Market Manipulation. Covered Persons are prohibited from engaging in any transactions in a Security (or |
| 4) | Trading on the Knowledge of Client Transactions. Covered Persons are prohibited from engaging in any |
2
| 5) | Legg Mason, Inc. Stock. Covered Persons are prohibited from engaging in any transaction in Legg Mason |
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 |
| 2) | 60-Day Holding Period for Investments in Proprietary Funds. Subject to |
| 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 |
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 |
| b. | Managed Accounts. Transactions in Proprietary Funds held in a Managed Account in connection with which the |
| C. | Systematic Investment. Purchases or redemptions of Proprietary Funds pursuant to an Automatic Investment Plan |
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 |
| b. | Thereafter, on an annual basis, each Covered Person shall give the same acknowledgements and, in addition, |
| C. | Such acknowledgments and certifications shall be provided through FIS/PTA using substantially the form of the |
| 2) | Execution of Personal Securities Transactions. |
| a. | Approved Accounts. Unless one of the following exceptions applies, Covered Persons must execute their personal |
| yo. | Approved Securities Accounts. Securities accounts (including IRA accounts) with financial intermediaries that |
| ii) | Approved Retirement Accounts. Participant accounts in retirement plans approved by the Compliance Department on |
| b. | Exceptions. The following types of accounts are exempt from the requirements of section 2.a above, subject to |
| yo. | Mutual Fund-Only and Managed Accounts. Covered Persons may have or acquire a Beneficial Interest in Mutual |
| ii) | Outside Retirement Accounts. Covered Persons may have or acquire a Beneficial Interest in a retirement account |
| 1 | A list of the approved financial intermediaries and retirement plans may by found on the Legal and Compliance |
4 4
| iii) | Dividend Reinvestment Plans. Covered Person may have or acquire a Beneficial Interest in securities held in a |
| C. | Outside Securities Accounts. Covered Persons that have or acquire a Beneficial Interest in a securities account |
| yo. | A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially |
| ii) | If the Compliance Department does not approve such request, the Covered Person must arrange to transfer or |
| 6) | Transaction Reporting Requirements. Covered Persons shall report all Securities Transactions in which they have |
| a. | Approved Accounts, Managed Accounts, Mutual Fund Only and Dividend Reinvestment Plan Accounts. Covered Persons |
| b. | Outside Securities Accounts. For any Outside Securities Account approved by the Compliance Department, a |
| yo. | Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days |
| ii) | A form of letter that may be used to request duplicate confirmations and periodic statements from financial |
| iii) | It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required |
5 5
| d. | Outside Retirement Accounts. For any Outside Retirement Account in which a Covered Person has a Beneficial |
| yo. | Certify that such account does not hold any shares of a Reportable Fund or Reportable Security and that no |
| ii) | If a Covered Person is unable to provide such certification with respect to an Outside Retirement Account, the |
| (a) | Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days |
| (b) | It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required |
| 7) | New Reportable Accounts. If a Covered Person opens a new reportable account that has not previously been |
| 8) | Disclaimers. Any report of a Securities Transaction for the benefit of a person other than the individual in |
| 9) | Availability of Reports. All information supplied pursuant to this Code may be made available for inspection to |
| 10) | Outside Business Activities. No Covered Person may engage in outside business activities or serve on the board |
| a. | A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially |
| 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, |
| 2) | Sanctions. If the Compliance Department determines that a Covered Person has committed a violation of the Code, |
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.
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“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, |
| 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, |
| b. | The Security is held in an account for which the Covered Person acts as a broker or investment adviser |
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.
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“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 |
| • | Knowledge of the transaction before it is completed (for example, transactions effected for a Covered Person by a |
| • | Knowledge of the specific management actions taken by a trustee or investment manager and no right to intervene |
“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.
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“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 |
| 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.
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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 |
| 2) | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a |
| 3) | Based on my knowledge, the financial statements, and other financial information included in this report, |
| 4) | The registrant’s other certifying officers and I are responsible for establishing and maintaining |
| a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be |
| b) | Designed such internal control over financial reporting, or caused such internal control over financial |
| c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this |
| re) | Disclosed in this report any change in the registrant’s internal control over financial reporting that |
| 5) | The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the |
| a) | All significant deficiencies and material weaknesses in the design or operation of internal control over |
| b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in |
| Date: December 30, 2019 | /s/ Jane Trust | |||
Jane Trust Chief Executive |
CERTIFICATIONS
I, Christopher Berarducci, certify that:
| 1) | I have reviewed this report on Form N-CSR of Legg Mason ETF Investment |
| 2) | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a |
| 3) | Based on my knowledge, the financial information included in this report, and the financial statements on which |
| 4) | The registrant’s other certifying officers and I are responsible for establishing and maintaining |
| a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be |
| b) | Designed such internal control over financial reporting, or caused such internal control over financial |
| c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this |
| re) | Disclosed in this report any change in the registrant’s internal control over financial reporting that |
| 5) | The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the |
| a) | All significant deficiencies and material weaknesses in the design or operation of internal control over |
| b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in |
| Date: December 30, 2019 | /s/ Christopher Berarducci | |||
Christopher Berarducci Principal Financial |
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 Legg Mason Emerging Markets Low Volatility High Dividend ETF | Principal Financial Officer Legg Mason ETF 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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