QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) June 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. Treasury Inflation Protected Securities - 30.8%
U.S. Treasury Bonds, Inflation Indexed		2.000	%		1/15/26		4,908,764	$	5,706,090
U.S. Treasury Bonds, Inflation Indexed		3.875	%		4/15/29		2,027,493		2,866,743
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/40		355,866		524,719
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/41		2,341,540		3,496,753
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		397,131		475,662
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		4,290,390		5,855,138
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/45		326,637		399,608
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/22		4,744,125		4,813,505
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/23		1,999,368		2,048,306
U.S. Treasury Notes, Inflation Indexed		0.625	%		4/15/23		516,100		536,698
U.S. Treasury Notes, Inflation Indexed		0.500	%		4/15/24		203,316		213,720
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/26		107,903		116,856
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/30		498,260		538,528
Total U.S. Treasury Inflation Protected Securities (Cost - $24,586,489)									27,592,326
						SHARES
Common Stocks - 21.6%
Communication Services - 1.8%
Diversified Telecommunication Services - 0.2%
China Telecom Corp. Ltd., Class H Shares							268,000		75,126	(a)
China Unicom Hong Kong Ltd.							96,000		51,965	(a)
LG Uplus Corp.							6,096		62,297	(a)
Total Diversified Telecommunication Services									189,388
Entertainment - 0.4%
Activision Blizzard Inc.							1,880		142,692
Electronic Arts Inc.							1,050		138,652	*
NetEase Inc., ADR							310		133,108
Total Entertainment									414,452
Interactive Media & Services - 0.9%
58.com Inc., ADR							1,200		64,728	*
Alphabet Inc., Class A Shares							166		235,397	*
Alphabet Inc., Class C Shares							130		183,769	*
Auto Trader Group PLC							15,400		100,340	(a)
Baidu Inc., ADR							900		107,901	*
Facebook Inc., Class A Shares							468		106,269	*
Total Interactive Media & Services									798,404

See Notes to Consolidated Schedule of Investments.

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QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	SHARES		VALUE
Wireless Telecommunication Services - 0.3%
China Mobile Ltd.		13,500	$	91,220	(a)
KDDI Corp.		4,900		146,916	(a)
Total Wireless Telecommunication Services				238,136
Total Communication Services				1,640,380
Consumer Discretionary - 2.3%
Auto Components - 0.1%
Magna International Inc.		2,300		102,429
Hotels, Restaurants & Leisure - 0.5%
Aristocrat Leisure Ltd.		4,400		77,815	(a)
Brinker International Inc.		2,465		59,160
Jack in the Box Inc.		1,293		95,798
Wyndham Destinations Inc.		2,200		61,996
Yum China Holdings Inc.		1,800		86,526
Yum! Brands Inc.		1,236		107,421
Total Hotels, Restaurants & Leisure				488,716
Household Durables - 0.1%
Sekisui House Ltd.		5,200		98,996	(a)
Internet & Direct Marketing Retail - 0.6%
Amazon.com Inc.		190		524,176	*
Specialty Retail - 0.8%
Home Depot Inc.		1,210		303,117
Lowe’s Cos. Inc.		2,022		273,213
Ross Stores Inc.		1,937		165,110
Total Specialty Retail				741,440
Textiles, Apparel & Luxury Goods - 0.2%
Pandora A/S		1,880		102,059	(a)
Under Armour Inc., Class A Shares		4,000		38,960	*
Total Textiles, Apparel & Luxury Goods				141,019
Total Consumer Discretionary				2,096,776
Consumer Staples - 2.1%
Food & Staples Retailing - 0.8%
Alimentation Couche-Tard Inc., Class B Shares		3,300		103,477
George Weston Ltd.		1,400		102,556
Koninklijke Ahold Delhaize NV		4,750		129,349	(a)
Seven & i Holdings Co. Ltd.		2,700		88,112	(a)
Wal-Mart de Mexico SAB de CV		36,000		86,098
Walmart Inc.		1,518		181,826
Total Food & Staples Retailing				691,418
Food Products - 0.2%
Ingredion Inc.		1,100		91,300

See Notes to Consolidated Schedule of Investments.

  2     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	SHARES		VALUE
Food Products - (continued)
JBS SA		14,000	$	55,016
Morinaga & Co. Ltd.		2,400		93,300	(a)
Total Food Products				239,616
Household Products - 0.6%
Church & Dwight Co. Inc.		2,230		172,379
Clorox Co.		560		122,847
Kimberly-Clark de Mexico SAB de CV, Class A Shares		46,000		71,709
Procter & Gamble Co.		1,330		159,028
Total Household Products				525,963
Personal Products - 0.3%
Estee Lauder Cos. Inc., Class A Shares		778		146,793
Hengan International Group Co. Ltd.		12,000		93,869	(a)
Total Personal Products				240,662
Tobacco - 0.2%
KT&G Corp.		746		48,749	(a)
Swedish Match AB		1,700		119,365	(a)
Total Tobacco				168,114
Total Consumer Staples				1,865,773
Energy - 0.4%
Oil, Gas & Consumable Fuels - 0.4%
Petroleo Brasileiro SA, ADR		9,904		78,935
Repsol SA		7,089		61,869	(a)
Royal Dutch Shell PLC, Class A Shares		3,628		58,572	(a)
Valero Energy Corp.		2,000		117,640
Total Energy				317,016
Financials - 3.5%
Banks - 1.5%
Aozora Bank Ltd.		4,600		80,080	(a)
Banco Bilbao Vizcaya Argentaria SA		21,000		72,133	(a)
Bank of America Corp.		6,709		159,339
BNP Paribas SA		2,233		88,523	*(a)
Citigroup Inc.		2,633		134,546
Citizens Financial Group Inc.		5,376		135,690
Comerica Inc.		2,950		112,395
Fifth Third Bancorp		6,500		125,320
ING Groep NV		8,000		55,575	(a)
JPMorgan Chase & Co.		1,282		120,585
Lloyds Banking Group PLC		204,717		78,973	(a)

See Notes to Consolidated Schedule of Investments.

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QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	SHARES		VALUE
Banks - (continued)
Postal Savings Bank of China Co. Ltd., Class H Shares		140,000	$	80,470	(a)
Wells Fargo & Co.		2,600		66,560
Total Banks				1,310,189
Capital Markets - 0.3%
Ameriprise Financial Inc.		894		134,136
Morgan Stanley		3,300		159,390
Total Capital Markets				293,526
Consumer Finance - 0.4%
Capital One Financial Corp.		2,091		130,876
Discover Financial Services		2,170		108,695
Synchrony Financial		4,850		107,476
Total Consumer Finance				347,047
Insurance - 1.3%
Aegon NV		21,112		62,794	(a)
Allianz SE, Registered Shares		984		200,710	(a)
Allstate Corp.		2,131		206,685
AXA SA		5,029		104,951	(a)
Legal & General Group PLC		31,700		86,566	(a)
Manulife Financial Corp.		6,900		93,874
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Registered Shares		300		77,857	(a)
Prudential Financial Inc.		1,232		75,029
Prudential PLC		9,600		144,573	(a)
Swiss Life Holding AG, Registered Shares		358		132,396	(a)
Total Insurance				1,185,435
Total Financials				3,136,197
Health Care - 3.2%
Biotechnology - 0.6%
Amgen Inc.		963		227,133
Biogen Inc.		528		141,267	*
Regeneron Pharmaceuticals Inc.		280		174,622	*
Total Biotechnology				543,022
Health Care Equipment & Supplies - 0.6%
Baxter International Inc.		2,294		197,514
Edwards Lifesciences Corp.		2,400		165,864	*
Masimo Corp.		769		175,324	*
Total Health Care Equipment & Supplies				538,702
Health Care Providers & Services - 0.8%
Cigna Corp.		637		119,533

See Notes to Consolidated Schedule of Investments.

  4     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	SHARES		VALUE
Health Care Providers & Services - (continued)
Humana Inc.		545	$	211,324
McKesson Corp.		900		138,078
UnitedHealth Group Inc.		855		252,182
Total Health Care Providers & Services				721,117
Pharmaceuticals - 1.2%
Bristol-Myers Squibb Co.		3,400		199,920
Chugai Pharmaceutical Co. Ltd.		3,000		160,371	(a)
Merck & Co. Inc.		1,702		131,616
Novo Nordisk A/S, Class B Shares		2,150		139,129	(a)
Roche Holding AG		750		259,673	(a)
Shionogi & Co. Ltd.		2,100		131,459	(a)
Total Pharmaceuticals				1,022,168
Total Health Care				2,825,009
Industrials - 1.9%
Aerospace & Defense - 0.4%
Lockheed Martin Corp.		370		135,021
Northrop Grumman Corp.		410		126,050
Safran SA		1,329		132,943	*(a)
Total Aerospace & Defense				394,014
Airlines - 0.1%
Southwest Airlines Co.		2,641		90,269
Electrical Equipment - 0.1%
Rockwell Automation Inc.		589		125,457
Industrial Conglomerates - 0.2%
CITIC Ltd.		70,000		65,859	(a)
LG Corp.		1,386		82,009	(a)
Total Industrial Conglomerates				147,868
Machinery - 0.3%
Cummins Inc.		1,129		195,611
Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H Shares		111,000		85,565	*(a)
Total Machinery				281,176
Professional Services - 0.3%
ManpowerGroup Inc.		1,639		112,681
Wolters Kluwer NV		1,750		136,518	(a)
Total Professional Services				249,199
Road & Rail - 0.1%
Norfolk Southern Corp.		500		87,785
Trading Companies & Distributors - 0.4%
Marubeni Corp.		11,000		49,757	(a)

See Notes to Consolidated Schedule of Investments.

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QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	SHARES		VALUE
Trading Companies & Distributors - (continued)
Mitsubishi Corp.		5,000	$	105,265	(a)
Sumitomo Corp.		5,200		59,549	(a)
W.W. Grainger Inc.		360		113,097
Total Trading Companies & Distributors				327,668
Total Industrials				1,703,436
Information Technology - 4.5%
Communications Equipment - 0.2%
Cisco Systems Inc.		4,337		202,278
IT Services - 0.3%
Mastercard Inc., Class A Shares		700		206,990
Visa Inc., Class A Shares		500		96,585
Total IT Services				303,575
Semiconductors & Semiconductor Equipment - 1.7%
Applied Materials Inc.		3,788		228,985
ASM International NV		840		129,551	(a)
ASML Holding NV		465		170,459	(a)
KLA Corp.		727		141,387
NVIDIA Corp.		811		308,107
NXP Semiconductors NV		1,000		114,040
Powertech Technology Inc.		25,000		90,441	(a)
Texas Instruments Inc.		1,717		218,007
United Microelectronics Corp.		190,000		102,215	(a)
Total Semiconductors & Semiconductor Equipment				1,503,192
Software - 1.0%
Check Point Software Technologies Ltd.		1,000		107,430	*
Microsoft Corp.		3,700		752,987
Total Software				860,417
Technology Hardware, Storage & Peripherals - 1.3%
Apple Inc.		2,443		891,206
Samsung Electronics Co. Ltd.		6,195		274,619	(a)
Total Technology Hardware, Storage & Peripherals				1,165,825
Total Information Technology				4,035,287
Materials - 0.6%
Chemicals - 0.1%
Huntsman Corp.		3,800		68,286
Metals & Mining - 0.5%
Anglo American Platinum Ltd.		1,100		79,422	(a)
Fortescue Metals Group Ltd.		10,400		99,790	(a)
Glencore PLC		51,900		109,854	(a)

See Notes to Consolidated Schedule of Investments.

  6     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY						SHARES		VALUE
Metals & Mining - (continued)
POSCO							349	$	50,469	(a)
Rio Tinto PLC							1,943		109,332	(a)
Total Metals & Mining									448,867
Total Materials									517,153
Real Estate - 0.8%
Real Estate Management & Development - 0.8%
CapitaLand Ltd.							44,500		93,465	*(a)
China Vanke Co. Ltd., Class H Shares							29,400		92,752	(a)
Country Garden Holdings Co. Ltd.							111,000		136,605	(a)
Daito Trust Construction Co. Ltd.							1,400		128,632	(a)
Shimao Property Holdings Ltd.							36,000		152,560	(a)
Sun Hung Kai Properties Ltd.							9,000		114,698	(a)
Total Real Estate									718,712
Utilities - 0.5%
Electric Utilities - 0.2%
NRG Energy Inc.							4,281		139,390
Tohoku Electric Power Co. Inc.							7,500		71,325	(a)
Total Electric Utilities									210,715
Independent Power and Renewable Electricity Producers - 0.1%
Electric Power Development Co. Ltd.							5,000		94,796	(a)
Multi-Utilities - 0.2%
AGL Energy Ltd.							6,000		70,764	(a)
Canadian Utilities Ltd., Class A Shares							4,200		104,567
Total Multi-Utilities									175,331
Total Utilities									480,842
Total Common Stocks (Cost - $15,829,044)									19,336,581
Investments in Underlying Funds - 17.3%
Invesco S&P 500 Pure Value ETF							23,194		1,107,050
Invesco S&P 500 Quality ETF							104,167		3,688,553
iShares Core High Dividend ETF							12,990		1,054,139
Vanguard Mega Cap Value ETF							12,260		897,677
Vanguard Real Estate ETF							111,306		8,740,860
Total Investments in Underlying Funds (Cost - $11,536,675)									15,488,279
	RATE			MATURITY DATE		FACE AMOUNT†
Corporate Bonds & Notes - 2.6%
Energy - 1.4%
Energy Equipment & Services - 0.0%††
Halliburton Co., Senior Notes		3.800	%		11/15/25		4,000		4,323

See Notes to Consolidated Schedule of Investments.

QS Strategic Real Return Fund 2020 Quarterly Report       7

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - 1.4%
Apache Corp., Senior Notes		2.625	%		1/15/23		29,000	$	26,224
Apache Corp., Senior Notes		4.750	%		4/15/43		60,000		48,397
BP Capital Markets America Inc., Senior Notes		3.588	%		4/14/27		240,000		265,363
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		230,000		254,082
Energy Transfer Operating LP, Senior Notes		2.900	%		5/15/25		20,000		20,455
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		120,000		128,697
Enterprise Products Operating LLC, Senior Notes		2.800	%		1/31/30		60,000		62,614
Exxon Mobil Corp., Senior Notes		3.043	%		3/1/26		50,000		54,990
Kinder Morgan Inc., Senior Notes		4.300	%		6/1/25		80,000		89,813
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		40,000		36,590
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		60,000		46,812
Occidental Petroleum Corp., Senior Notes		3.500	%		8/15/29		50,000		36,660
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.375	%		2/1/27		100,000		96,731
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		80,000		104,251
Western Midstream Operating LP, Senior Notes		3.100	%		2/1/25		30,000		28,532
Total Oil, Gas & Consumable Fuels									1,300,211
Total Energy									1,304,534
Materials - 1.2%
Metals & Mining - 0.9%
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		200,000		213,958	(b)
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		50,000		59,816
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		40,000		42,921	(b)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		50,000		53,666	(b)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		90,000		96,256	(b)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		220,000		261,443
Teck Resources Ltd., Senior Notes		3.750	%		2/1/23		40,000		41,350
Vale Overseas Ltd., Senior Notes		6.250	%		8/10/26		50,000		58,888
Total Metals & Mining									828,298
Paper & Forest Products - 0.3%
Inversiones CMPC SA, Senior Notes		4.375	%		4/4/27		200,000		214,212	(c)
Total Materials									1,042,510
Total Corporate Bonds & Notes (Cost - $2,226,923)									2,347,044
Sovereign Bonds - 0.7%
Indonesia - 0.3%
Indonesia Government International Bond, Senior Notes		4.750	%		2/11/29		200,000		232,271

See Notes to Consolidated Schedule of Investments.

  8     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Peru - 0.2%
Peruvian Government International Bond, Senior Notes		2.783	%		1/23/31		160,000		$	170,960
United Arab Emirates - 0.2%
Abu Dhabi Government International Bond, Senior Notes		2.500	%		9/30/29		200,000			210,154	(b)
Total Sovereign Bonds (Cost - $585,653)										613,385
Non-U.S. Treasury Inflation Protected Securities - 0.6%
Brazil - 0.4%
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000	%		8/15/30		1,535,266	BRL		348,909
Canada - 0.2%
Canada Government Real Return Bond		0.500	%		12/1/50		261,028	CAD		226,426
Total Non-U.S. Treasury Inflation Protected Securities (Cost - $641,353)										575,335
				EXPIRATION DATE		RIGHTS
Rights - 0.0%††
Repsol SA (Cost - $3,919)					7/7/20		7,089			3,451	*
Total Investments before Short-Term Investments (Cost - $55,410,056)										65,956,401
	RATE			MATURITY DATE		FACE AMOUNT†
Short-Term Investments - 23.0%
U.S. Treasury Bills - 15.6%
U.S. Treasury Bills		0.136	%		9/17/20		7,000,000			6,997,953	(d)
U.S. Treasury Bills		0.143	%		12/17/20		7,000,000			6,995,358	(d)
Total U.S. Treasury Bills (Cost - $13,992,183)										13,993,311
						SHARES
Money Market Funds - 7.4%
Invesco Government & Agency Portfolio, Institutional Class		0.099	%				4,871,471			4,871,471
Dreyfus Government Cash Management,
Institutional Shares		0.085	%				1,631,049			1,631,049
Invesco Treasury Portfolio, Institutional Class		0.080	%				100,716			100,716
Total Money Market Funds (Cost - $6,603,236)										6,603,236
Total Short-Term Investments (Cost - $20,595,419)										20,596,547
Total Investments - 96.6% (Cost - $76,005,475)										86,552,948
Other Assets in Excess of Liabilities - 3.4%										3,011,514
Total Net Assets - 100.0%									$	89,564,462

See Notes to Consolidated Schedule of Investments.

QS Strategic Real Return Fund 2020 Quarterly Report       9

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

† Face amount denominated in U.S. dollars, unless otherwise noted.

†† Represents less than 0.1%.

* Non-income producing security.

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

(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(c) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(d) Rate shown represents yield-to-maturity.

Abbreviation(s) used in this schedule:

ADR	— American Depositary Receipts
BRL	— Brazilian Real
CAD	— Canadian Dollar
ETF	— Exchange-Traded Fund

At June 30, 2020, the Fund had the following open futures contracts:

	NUMBER OF CONTRACTS		EXPIRATION DATE		NOTIONAL AMOUNT		MARKET VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Contracts to Buy:
Australian 10-Year Bonds		79		9/20	$	7,959,558	$	8,111,629	$	152,071
Canadian 10-Year Bonds		20		9/20		2,242,001		2,266,058		24,057
E-mini S&P 500 Index		1		9/20		149,971		154,510		4,539
Japanese 10-Year Bonds		4		9/20		1,125,298		1,122,223		(3,075	)
S&P GSCI		230		7/20		18,242,887		18,670,250		427,363
Topix Index		1		9/20		150,868		144,339		(6,529	)
U.S. Treasury 10-Year Notes		17		9/20		2,357,764		2,365,922		8,158
United Kingdom Long Gilt		35		9/20		5,954,210		5,969,240		15,030
										621,614
Contracts to Sell:
Amsterdam Index		2		7/20		246,032		251,462		(5,430	)
CAC 40 Euro		4		7/20		216,876		220,812		(3,936	)
DAX Index		2		9/20		135,026		138,477		(3,451	)
Euro-Bund		40		9/20		7,837,370		7,932,809		(95,439	)
FTSE 100 Index		2		9/20		150,526		152,347		(1,821	)
FTSE/MIB Index		1		9/20		109,455		108,356		1,099
IBEX 35 Index		3		7/20		246,156		243,006		3,150
S&P/TSX 60 Index		1		9/20		134,912		136,786		(1,874	)
SPI 200 Index		2		9/20		200,778		203,304		(2,526	)
U.S. Treasury 10-Year Notes		39		9/20		5,417,041		5,427,703		(10,662	)

See Notes to Consolidated Schedule of Investments.

  10     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

	NUMBER OF CONTRACTS		EXPIRATION DATE		NOTIONAL AMOUNT		MARKET VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Contracts to Sell - (continued)
U.S. Treasury Long-Term Bonds		20		9/20	$	3,567,676	$	3,571,250	$	(3,574	)
U.S. Treasury Ultra Long-Term Bonds		3		9/20		657,292		654,469		2,823
										(121,641	)
Net unrealized appreciation on open futures contracts									$	499,973

At June 30, 2020, the Fund had the following open forward foreign currency contracts:

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	71,000		USD	52,204	Bank of New York		7/6/20	$	95
CAD	257,000		USD	189,782	Bank of New York		7/6/20		(474	)
CHF	799,000		USD	841,512	Bank of New York		7/6/20		1,949
CHF	1,681,000		USD	1,748,043	Bank of New York		7/6/20		26,498
EUR	2,253,000		USD	2,532,205	Bank of New York		7/6/20		(651	)
GBP	398,000		USD	497,740	Bank of New York		7/6/20		(4,561	)
GBP	513,000		USD	646,947	Bank of New York		7/6/20		(11,267	)
JPY	40,600,000		USD	380,121	Bank of New York		7/6/20		(4,084	)
JPY	202,000,000		USD	1,860,678	Bank of New York		7/6/20		10,242
JPY	238,700,000		USD	2,178,711	Bank of New York		7/6/20		32,123
JPY	402,000,000		USD	3,702,933	Bank of New York		7/6/20		20,382
NOK	8,100,000		USD	871,920	Bank of New York		7/6/20		(30,367	)
NZD	1,655,000		USD	1,051,334	Bank of New York		7/6/20		16,680
NZD	2,956,000		USD	1,877,790	Bank of New York		7/6/20		29,793
USD	1,430,565		AUD	2,053,000	Bank of New York		7/6/20		13,737
USD	335,763		CHF	320,000	Bank of New York		7/6/20		(2,044	)
USD	1,097,819		CHF	1,055,000	Bank of New York		7/6/20		(15,887	)
USD	1,125		EUR	1,000	Bank of New York		7/6/20		1
USD	2,416,574		EUR	2,146,000	Bank of New York		7/6/20		5,249
USD	596,874		GBP	471,000	Bank of New York		7/6/20		13,238
USD	763,002		NZD	1,177,000	Bank of New York		7/6/20		3,454
AUD	167,000		USD	114,665	Citibank N.A.		7/6/20		586
AUD	963,000		USD	662,899	Citibank N.A.		7/6/20		1,692
AUD	2,758,000		USD	1,898,520	Citibank N.A.		7/6/20		4,847
CAD	356,000		USD	262,122	Citibank N.A.		7/6/20		110
CAD	421,000		USD	310,604	Citibank N.A.		7/6/20		(492	)
CAD	832,000		USD	619,286	Citibank N.A.		7/6/20		(6,429	)

See Notes to Consolidated Schedule of Investments.

QS Strategic Real Return Fund 2020 Quarterly Report       11

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CAD	5,988,000		USD	4,433,655	Citibank N.A.		7/6/20	$	(22,847	)
CHF	946,000		USD	984,734	Citibank N.A.		7/6/20		13,907
CHF	1,419,000		USD	1,496,541	Citibank N.A.		7/6/20		1,421
EUR	302,000		USD	342,073	Citibank N.A.		7/6/20		(2,735	)
EUR	530,000		USD	592,282	Citibank N.A.		7/6/20		3,246
GBP	2,644,000		USD	3,319,884	Citibank N.A.		7/6/20		(43,591	)
NOK	17,790,000		USD	1,863,969	Citibank N.A.		7/6/20		(15,669	)
NZD	79,000		USD	50,980	Citibank N.A.		7/6/20		0	1
NZD	1,121,000		USD	725,515	Citibank N.A.		7/6/20		(2,104	)
SEK	10,840,000		USD	1,161,917	Citibank N.A.		7/6/20		1,470
USD	192,544		AUD	279,000	Citibank N.A.		7/6/20		(1	)
USD	3,035,961		AUD	4,403,000	Citibank N.A.		7/6/20		(2,663	)
USD	2,854,332		CAD	3,855,000	Citibank N.A.		7/6/20		14,708
USD	120,312		CHF	114,000	Citibank N.A.		7/6/20		(32	)
USD	2,833,453		CHF	2,722,000	Citibank N.A.		7/6/20		(40,016	)
USD	91,638		GBP	73,000	Citibank N.A.		7/6/20		1,181
USD	130,727		GBP	105,000	Citibank N.A.		7/6/20		617
USD	233,308		GBP	186,000	Citibank N.A.		7/6/20		2,827
USD	1,104,954		GBP	880,000	Citibank N.A.		7/6/20		14,508
USD	1,866		JPY	200,000	Citibank N.A.		7/6/20		13
USD	235,061		JPY	25,200,000	Citibank N.A.		7/6/20		1,660
USD	428,933		NOK	4,100,000	Citibank N.A.		7/6/20		2,962
USD	971,276		NOK	9,270,000	Citibank N.A.		7/6/20		8,165
USD	479,740		SEK	4,480,000	Citibank N.A.		7/6/20		(1,069	)
USD	1,982,976		SEK	18,500,000	Citibank N.A.		7/6/20		(2,509	)
AUD	6,000		USD	4,124	HSBC Securities Inc.		7/6/20		17
AUD	1,520,000		USD	1,050,072	HSBC Securities Inc.		7/6/20		(1,081	)
AUD	1,930,000		USD	1,322,660	HSBC Securities Inc.		7/6/20		9,283
CHF	1,724,000		USD	1,831,198	HSBC Securities Inc.		7/6/20		(11,264	)
EUR	2,000		USD	2,259	HSBC Securities Inc.		7/6/20		(12	)
EUR	14,223,000		USD	15,914,964	HSBC Securities Inc.		7/6/20		66,527
JPY	11,100,000		USD	103,944	HSBC Securities Inc.		7/6/20		(1,136	)
NZD	5,174,000		USD	3,332,923	HSBC Securities Inc.		7/6/20		5,993
USD	100,122		CAD	136,000	HSBC Securities Inc.		7/6/20		(57	)
USD	644,382		EUR	570,000	HSBC Securities Inc.		7/6/20		3,909
USD	2,168,544		EUR	1,938,000	HSBC Securities Inc.		7/6/20		(9,065	)
USD	50,252		GBP	40,000	HSBC Securities Inc.		7/6/20		686
USD	194,587		JPY	20,900,000	HSBC Securities Inc.		7/6/20		1,011
USD	52,693		NZD	81,000	HSBC Securities Inc.		7/6/20		421

See Notes to Consolidated Schedule of Investments.

  12     QS Strategic Real Return Fund 2020 Quarterly Report

QS STRATEGIC REAL RETURN FUND

Consolidated schedule of investments (unaudited) (cont’d) June 30, 2020

CURRENCY PURCHASED		CURRENCY SOLD			COUNTERPARTY	SETTLEMENT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
USD	174,889		SEK	1,640,000	HSBC Securities Inc.		7/6/20	$	(1,121	)
USD	1,630,456		SEK	15,180,000	HSBC Securities Inc.		7/6/20		1,285
CAD	2,139,000		USD	1,582,117	UBS Securities LLC		7/6/20		(6,513	)
JPY	36,800,000		USD	338,747	UBS Securities LLC		7/6/20		2,094
MXN	40,510,000		USD	1,858,877	UBS Securities LLC		7/6/20		(97,718	)
NOK	3,140,000		USD	324,591	UBS Securities LLC		7/6/20		1,641
NOK	3,600,000		USD	374,955	UBS Securities LLC		7/6/20		(931	)
SEK	27,360,000		USD	2,979,384	UBS Securities LLC		7/6/20		(43,013	)
SEK	38,160,000		USD	4,089,526	UBS Securities LLC		7/6/20		5,938
USD	44,138		NOK	420,000	UBS Securities LLC		7/6/20		502
USD	592,088		NOK	5,670,000	UBS Securities LLC		7/6/20		3,001
USD	2,121,236		NOK	20,250,000	UBS Securities LLC		7/6/20		17,354
USD	224,513		NZD	349,000	UBS Securities LLC		7/6/20		(706	)
USD	259,673		NZD	408,000	UBS Securities LLC		7/6/20		(3,620	)
USD	264,956		SEK	2,480,000	UBS Securities LLC		7/6/20		(1,206	)
USD	1,145,765		SEK	10,650,000	UBS Securities LLC		7/6/20		2,770
CAD	287,997		USD	210,382	BNP Paribas SA		7/16/20		1,764
USD	6,559		EUR	6,000	BNP Paribas SA		7/16/20		(184	)
USD	66,341		CAD	92,456	JPMorgan Chase & Co.		7/16/20		(1,765	)
USD	138,415		CAD	195,541	JPMorgan Chase & Co.		7/16/20		(5,625	)
USD	6,584		EUR	6,001	JPMorgan Chase & Co.		7/16/20		(160	)
USD	210,415		CAD	287,997	BNP Paribas SA		10/16/20		(1,768	)
Total								$	(24,880	)

¹  Value is less than $1.

Abbreviation(s) used in this table:

AUD	— Australian Dollar
CAD	— Canadian Dollar
CHF	— Swiss Franc
EUR	— Euro
GBP	— British Pound
JPY	— Japanese Yen
MXN	— Mexican Peso
NOK	— Norwegian Krone
NZD	— New Zealand Dollar
SEK	— Swedish Krona
USD	— United States Dollar

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

See Notes to Consolidated Schedule of Investments.

QS Strategic Real Return Fund 2020 Quarterly Report       13

Notes to Consolidated Schedule of Investments (unaudited)

1. Organization and significant accounting policies

QS Strategic Real Return Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Global Asset Management 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 gains exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Real Return Fund Ltd. (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total assets in the Subsidiary. This schedule of investments is the consolidated schedule of investments of the Fund and the Subsidiary.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are 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 normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations,

14

Notes to Consolidated Schedule of Investments (unaudited) (continued)

evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

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)

15

Notes to Consolidated Schedule of Investments (unaudited) (continued)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)*		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
U.S. Treasury Inflation Protected Securities		—	$	27,592,326		—	$	27,592,326
Common Stocks:
Communication Services	$	1,112,516		527,864		—		1,640,380
Consumer Discretionary		1,817,906		278,870		—		2,096,776
Consumer Staples		1,293,029		572,744		—		1,865,773
Energy		196,575		120,441		—		317,016
Financials		1,870,596		1,265,601		—		3,136,197
Health Care		2,134,377		690,632		—		2,825,009
Industrials		985,971		717,465		—		1,703,436
Information Technology		3,268,002		767,285		—		4,035,287
Materials		68,286		448,867		—		517,153
Real Estate		—		718,712		—		718,712
Utilities		243,957		236,885		—		480,842
Investments in Underlying Funds		15,488,279		—		—		15,488,279
Corporate Bonds & Notes		—		2,347,044		—		2,347,044
Sovereign Bonds		—		613,385		—		613,385
Non-U.S. Treasury Inflation Protected Securities		—		575,335		—		575,335
Rights		3,451		—		—		3,451
Total Long-Term Investments		28,482,945		37,473,456		—		65,956,401
Short-Term Investments†:
U.S. Treasury Bills		—		13,993,311		—		13,993,311
Money Market Funds		6,603,236		—		—		6,603,236
Total Short-Term Investments		6,603,236		13,993,311		—		20,596,547
Total Investments	$	35,086,181	$	51,466,767		—	$	86,552,948
Other Financial Instruments:
Futures Contracts	$	638,290		—		—	$	638,290
Forward Foreign Currency Contracts		—	$	371,557		—		371,557
Total Other Financial Instruments	$	638,290	$	371,557		—	$	1,009,847
Total	$	35,724,471	$	51,838,324		—	$	87,562,795

16

Notes to Consolidated Schedule of Investments (unaudited) (continued)

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts	$	138,317		—		—	$	138,317
Forward Foreign Currency Contracts		—	$	396,437		—		396,437
Total	$	138,317	$	396,437		—	$	534,754

* As a result of the fair value pricing procedures for international equities utilized by the Fund, which account for events occurring after the close of the principal market of the security but prior to the calculation of the Fund’s net asset value, certain securities were classified as Level 2 within the fair value hierarchy.

† See Consolidated Schedule of Investments for additional detailed categorizations.

17