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QS GROWTH FUND

 

Schedules of investments (unaudited)    October 31, 2020

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.8%        

Legg Mason Global Asset Management Trust:

        

BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares

        1,767,018      $ 17,263,765  

BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares

        4,969,976        81,110,007  

BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares

        2,425,669        27,191,748  

BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares

        819,315        9,766,237  

BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares

        542,701        6,349,596  

ClearBridge Global Infrastructure Income Fund, Class IS Shares

        572,937        6,806,486  

ClearBridge Small Cap Fund, Class IS Shares

        706,511        37,162,477  

Martin Currie Emerging Markets Fund, Class IS Shares

        3,986,093        57,599,044  

QS Global Market Neutral Fund, Class IS Shares

        2,580,485        23,250,171  

QS International Equity Fund, Class IS Shares

        4,483,727        63,668,917  

QS Strategic Real Return Fund, Class IS Shares

        3,871,379        40,339,773  

QS U.S. Small Capitalization Equity Fund, Class IS Shares

        1,903,592        20,558,790  

Legg Mason Partners Equity Trust:

        

ClearBridge Aggressive Growth Fund, Class IS Shares

        88,011        17,002,059  

ClearBridge Appreciation Fund, Class IS Shares

        1,401,762        36,936,433  

ClearBridge International Value Fund, Class IS Shares

        3,775,133        29,634,798  

ClearBridge Large Cap Growth Fund, Class IS Shares

        625,153        39,553,448  

ClearBridge Mid Cap Fund, Class IS Shares

        768,465        29,332,317  

ClearBridge Small Cap Growth Fund, Class IS Shares

        102,738        4,655,066  

QS Global Dividend Fund, Class IS Shares

        5,177,839        60,114,707  

QS U.S. Large Cap Equity Fund, Class IS Shares

        1,360,786        24,153,944  

Western Asset Funds, Inc.:

        

Western Asset Core Plus Bond Fund, Class IS Shares

        1,295,427        15,985,574  

Western Asset High Yield Fund, Class IS Shares

        2,340,616        18,209,992  

Western Asset Macro Opportunities Fund, Class IS Shares

        920,159        10,158,559  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $594,613,363)

           676,803,908  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.3%        

Invesco Government & Agency Portfolio, Institutional Class
(Cost - $1,626,525)

      0.012 %      1,626,525        1,626,525  
       

 

 

  

TOTAL INVESTMENTS - 100.1%
(Cost - $596,239,888)

           678,430,433  

Liabilities in Excess of Other Assets - (0.1)%

           (511,122 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 677,919,311  
       

 

 

  

 

(a)

Underlying Funds are affiliated with Legg Mason, Inc. and more information about the Underlying Funds is available at www.leggmason.com/mutualfunds.

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

 

See Notes to Schedules of Investments.

 

 

QS Asset Allocation Funds 2020 Quarterly Report    

  

 

 

1

QS MODERATE GROWTH FUND

 

Schedules of investments (unaudited)    October 31, 2020

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.7%        

Legg Mason Global Asset Management Trust:

        

BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares

        1,133,852      $ 11,077,737  

BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares

        2,931,955        47,849,502  

BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares

        1,156,732        12,966,967  

BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares

        552,282        6,583,205  

BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares

        788,655        9,227,269  

ClearBridge Global Infrastructure Income Fund, Class IS Shares

        372,071        4,420,209  

ClearBridge Small Cap Fund, Class IS Shares

        299,092        15,732,220  

Martin Currie Emerging Markets Fund, Class IS Shares

        1,989,230        28,744,375  

QS Global Market Neutral Fund, Class IS Shares

        1,654,283        14,905,089  

QS International Equity Fund, Class IS Shares

        1,601,287        22,738,270  

QS Strategic Real Return Fund, Class IS Shares

        2,478,322        25,824,120  

QS U.S. Small Capitalization Equity Fund, Class IS Shares

        1,031,270        11,137,717  

Legg Mason Partners Equity Trust:

        

ClearBridge Aggressive Growth Fund, Class IS Shares

        48,858        9,438,401  

ClearBridge Appreciation Fund, Class IS Shares

        760,299        20,033,870  

ClearBridge International Value Fund, Class IS Shares

        1,395,882        10,957,675  

ClearBridge Large Cap Growth Fund, Class IS Shares

        372,034        23,538,605  

ClearBridge Mid Cap Fund, Class IS Shares

        229,559        8,762,256  

ClearBridge Small Cap Growth Fund, Class IS Shares

        146,221        6,625,264  

QS Global Dividend Fund, Class IS Shares

        3,303,335        38,351,714  

QS U.S. Large Cap Equity Fund, Class IS Shares

        765,617        13,589,697  

Western Asset Funds, Inc.:

        

Western Asset Core Bond Fund, Class IS Shares

        1,393,451        18,992,731  

Western Asset Core Plus Bond Fund, Class IS Shares

        3,703,785        45,704,705  

Western Asset High Yield Fund, Class IS Shares

        2,393,374        18,620,447  

Western Asset Macro Opportunities Fund, Class IS Shares

        590,735        6,521,717  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $381,191,340)

           432,343,762  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.4%        

Invesco Government & Agency Portfolio, Institutional Class
(Cost - $1,473,585)

      0.012 %      1,473,585        1,473,585  
       

 

 

  

TOTAL INVESTMENTS - 100.1%
(Cost - $382,664,925)

           433,817,347  

Liabilities in Excess of Other Assets - (0.1)%

           (247,802 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 433,569,545  
       

 

 

  

 

(a)

Underlying Funds are affiliated with Legg Mason, Inc. and more information about the Underlying Funds is available at www.leggmason.com/mutualfunds.

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

 

See Notes to Schedules of Investments.

 

 

 

2

  

    QS Asset Allocation Funds 2020 Quarterly Report

  

QS CONSERVATIVE GROWTH FUND

 

Schedules of investments (unaudited)    October 31, 2020

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.8%        

Legg Mason Global Asset Management Trust:

        

BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares

        735,511      $ 7,185,941  

BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares

        973,874        15,893,624  

BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares

        506,540        5,678,316  

BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares

        792,105        8,451,758  

BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares

        361,199        4,305,490  

BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares

        563,434        6,592,174  

ClearBridge Global Infrastructure Income Fund, Class IS Shares

        241,343        2,867,161  

ClearBridge Small Cap Fund, Class IS Shares

        114,187        6,006,229  

Martin Currie Emerging Markets Fund, Class IS Shares

        760,808        10,993,679  

QS Global Market Neutral Fund, Class IS Shares

        1,087,790        9,800,987  

QS International Equity Fund, Class IS Shares

        11,350        161,165  

QS Strategic Real Return Fund, Class IS Shares

        1,618,131        16,860,923  

QS U.S. Small Capitalization Equity Fund, Class IS Shares

        618,360        6,678,291  

Legg Mason Partners Equity Trust:

        

ClearBridge Aggressive Growth Fund, Class IS Shares

        22,607        4,367,238  

ClearBridge Appreciation Fund, Class IS Shares

        569,791        15,013,996  

ClearBridge International Value Fund, Class IS Shares

        20,605        161,751  

ClearBridge Large Cap Growth Fund, Class IS Shares

        207,701        13,141,235  

ClearBridge Mid Cap Fund, Class IS Shares

        120,353        4,593,865  

ClearBridge Small Cap Growth Fund, Class IS Shares

        94,054        4,261,585  

QS Global Dividend Fund, Class IS Shares

        2,153,893        25,006,702  

QS U.S. Large Cap Equity Fund, Class IS Shares

        531,660        9,436,973  

Western Asset Funds, Inc.:

        

Western Asset Core Bond Fund, Class IS Shares

        2,617,954        35,682,708  

Western Asset Core Plus Bond Fund, Class IS Shares

        4,078,391        50,327,342  

Western Asset High Yield Fund, Class IS Shares

        2,054,791        15,986,272  

Western Asset Macro Opportunities Fund, Class IS Shares

        392,280        4,330,769  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $245,395,884)

           283,786,174  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.3%        

Invesco Government & Agency Portfolio, Institutional Class
(Cost - $800,160)

      0.012 %      800,160        800,160  
       

 

 

  

TOTAL INVESTMENTS - 100.1%
(Cost - $246,196,044)

           284,586,334  

Liabilities in Excess of Other Assets - (0.1)%

           (245,825 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 284,340,509  
       

 

 

  

 

(a)

Underlying Funds are affiliated with Legg Mason, Inc. and more information about the Underlying Funds is available at www.leggmason.com/mutualfunds.

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

 

See Notes to Schedules of Investments.

 

 

QS Asset Allocation Funds 2020 Quarterly Report    

  

 

 

3

QS DEFENSIVE GROWTH FUND

 

Schedules of investments (unaudited)    October 31, 2020

 

DESCRIPTION

     SHARES      VALUE  
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.1%        

Legg Mason Global Asset Management Trust:

        

BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares

        326,124      $ 3,186,231  

BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares

        77,005        1,256,730  

BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares

        105,291        1,180,315  

BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares

 

     942,770        10,059,357  

BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares

        160,119        1,908,615  

ClearBridge Global Infrastructure Income Fund, Class IS Shares

        103,544        1,230,104  

Martin Currie Emerging Markets Fund, Class IS Shares

        117,608        1,699,437  

QS Global Market Neutral Fund, Class IS Shares

        483,242        4,354,014  

QS International Equity Fund, Class IS Shares

        4,580        65,031  

QS Strategic Real Return Fund, Class IS Shares

        733,839        7,646,598  

QS U.S. Small Capitalization Equity Fund, Class IS Shares

        145,162        1,567,750  

Legg Mason Partners Equity Trust:

        

ClearBridge Appreciation Fund, Class IS Shares

        239,274        6,304,878  

ClearBridge International Value Fund, Class IS Shares

        8,129        63,810  

ClearBridge Large Cap Growth Fund, Class IS Shares

        59,132        3,741,307  

ClearBridge Small Cap Growth Fund, Class IS Shares

        29,113        1,319,118  

QS Global Dividend Fund, Class IS Shares

        767,564        8,911,413  

QS U.S. Large Cap Equity Fund, Class IS Shares

        241,507        4,286,747  

Western Asset Funds, Inc.:

        

Western Asset Core Bond Fund, Class IS Shares

        1,978,792        26,970,936  

Western Asset Core Plus Bond Fund, Class IS Shares

        2,379,667        29,365,088  

Western Asset High Yield Fund, Class IS Shares

        1,111,957        8,651,025  

Western Asset Macro Opportunities Fund, Class IS Shares

        170,895        1,886,678  
       

 

 

  

TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS
(Cost - $109,310,117)

           125,655,182  
       

 

 

  
     RATE               
SHORT-TERM INVESTMENTS - 0.9%        

Invesco Government & Agency Portfolio, Institutional Class
(Cost - $1,104,472)

      0.012 %      1,104,472        1,104,472  
       

 

 

  

TOTAL INVESTMENTS - 100.0%
(Cost - $110,414,589)

           126,759,654  

Liabilities in Excess of Other Assets - (0.0)%††

           (46,577 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 126,713,077  
       

 

 

  

 

††

Represents less than 0.1%.

 

(a)

Underlying Funds are affiliated with Legg Mason, Inc. and more information about the Underlying Funds is available at www.leggmason.com/mutualfunds.

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

 

See Notes to Schedules of Investments.

 

 

 

4

  

    QS Asset Allocation Funds 2020 Quarterly Report

  

Notes to Schedules of Investments (unaudited)

 

1. Organization and significant accounting policies

QS Growth Fund (“Growth Fund”), QS Moderate Growth Fund (“Moderate Growth Fund”), QS Conservative Growth Fund (“Conservative Growth Fund”) and QS Defensive Growth Fund (“Defensive Growth Fund”) (the “Funds”) are separate non-diversified investment series of Legg Mason Partners Equity 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 Funds invest in Legg Mason-affiliated mutual funds and exchange-traded funds (“ETFs”) and ETFs managed by unaffiliated investment advisers (“Underlying Funds”).

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

(a) Investment valuation. Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of 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. When the Funds hold securities or other assets that are denominated in a foreign currency, the Funds 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 each Fund calculates its net asset value, the Funds value these securities as determined in accordance with procedures approved by the Funds’ 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 Funds’ pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Funds, 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. Additionally, if the closing net asset value per share for an Underlying Fund is not available on the day of valuation, the Valuation Committee may adjust the Underlying Fund’s last available net asset value per share to account for significant events that have occurred subsequent to the Underlying Fund’s last net asset value per share calculation but prior to the day of valuation.

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.

 

   

 

 

5

Notes to Schedules of Investments (unaudited) (continued)

 

The Funds use 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 Funds’ own assumptions in determining the fair value of investments)

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

The following is a summary of the inputs used in valuing the Funds’ assets carried at fair value:

Growth Fund

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Investments in Underlying Funds†

    $ 676,803,908        —          —        $ 676,803,908  

Short-Term Investments†

      1,626,525        —          —          1,626,525  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 678,430,433        —          —        $ 678,430,433  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

Moderate Growth Fund

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Investments in Underlying Funds†

    $ 432,343,762        —          —        $ 432,343,762  

Short-Term Investments†

      1,473,585        —          —          1,473,585  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 433,817,347        —          —        $ 433,817,347  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

Conservative Growth Fund

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Investments in Underlying Funds†

    $ 283,786,174        —          —        $ 283,786,174  

Short-Term Investments†

      800,160        —          —          800,160  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 284,586,334        —          —        $ 284,586,334  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

 

 

6

    

Notes to Schedules of Investments (unaudited) (continued)

 

Defensive Growth Fund

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Investments in Underlying Funds†

    $ 125,655,182        —          —        $ 125,655,182  

Short-Term Investments†

      1,104,472        —          —          1,104,472  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 126,759,654        —          —        $ 126,759,654  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

2. Transactions with affiliated companies

As defined by the 1940 Act, an affiliated company is one in which the Funds own 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Funds. The following Underlying Funds were considered affiliated companies for all or some portion of the period ended October 31, 2020. The following transactions were effected in such Underlying Funds for the period ended October 31, 2020.

 

    Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  

Growth Fund

   Cost     Shares     Cost     Shares  
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares   $ 18,563,892     $ 1,894,035       193,991     $ 1,820,019       171,700     $ 19,981     $ 334,035       —       $ (1,374,143 )    $ 17,263,765  
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares     92,008,091       6,130,000       358,627       6,041,868       322,061       (1,868 )      —         —         (10,986,216 )      81,110,007  
BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares     31,119,409       —         —         2,054,185       178,466       155,815       —         —         (1,873,476 )      27,191,748  
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares     11,076,943       61,785       5,642       1,537,848       121,090       (232,848 )      61,785       —         165,357       9,766,237  
BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares     6,665,410       —         —         456,457       36,900       (96,457 )      —         —         140,643       6,349,596  
ClearBridge Global Infrastructure Income Fund, Class IS Shares     7,789,745       192,781       17,047       707,782       59,414       (17,782 )      192,782       —         (468,258 )      6,806,486  
ClearBridge Small Cap Fund, Class IS Shares     40,845,959       3,358,590       61,304       1,730,482       29,375       84,517       —       $ 13,590       (5,311,590 )      37,162,477  
Martin Currie Emerging Markets Fund, Class IS Shares     60,364,101       805,000       59,104       9,330,022       741,541       729,978       —         —         5,759,965       57,599,044  
QS Global Market Neutral Fund, Class IS Shares     24,821,772       940,000       103,070       2,466,437       235,347       (346,437 )      —         —         (45,164 )      23,250,171  
QS International Equity Fund, Class IS Shares     70,453,923       7,485,000       466,500       7,293,363       450,365       (578,363 )      —         —         (6,976,643 )      63,668,917  
QS Strategic Real Return Fund, Class IS Shares     44,072,913       —         —         1,255,915       95,580       (455,914 )      —         —         (2,477,225 )      40,339,773  
QS U.S. Small Capitalization Equity Fund, Class IS Shares     22,125,367       886,729       82,801       1,234,526       91,514       (134,526 )      101,729       —         (1,218,780 )      20,558,790  
ClearBridge Aggressive Growth Fund, Class IS Shares     19,855,195       —         —         2,480,654       12,527       44,345       —         —         (372,482 )      17,002,059  
ClearBridge Appreciation Fund, Class IS Shares     43,319,722       —         —         5,136,649       266,306       1,943,351       —         —         (1,246,640 )      36,936,433  
ClearBridge International Value Fund, Class IS Shares     31,237,523       4,300,000       450,734       704,863       70,984       (124,864 )      —         —         (5,197,862 )      29,634,798  
ClearBridge Large Cap Growth Fund, Class IS Shares     47,803,032       —         —         9,522,065       243,203       5,222,935       —         —         1,272,481       39,553,448  
ClearBridge Mid Cap Fund, Class IS Shares     32,607,865       19,552       565       2,619,348       85,039       710,651       —         19,552       (675,752 )      29,332,317  

 

   

 

 

7

Notes to Schedules of Investments (unaudited) (continued)

 

    Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  

Growth Fund (continued)

   Cost     Shares     Cost     Shares  
ClearBridge Small Cap Growth Fund, Class IS Shares   $ 5,217,659       —         —       $ 1,003,806       33,707     $ 491,194       —         —       $ 441,213     $ 4,655,066  
QS Global Dividend Fund, Class IS Shares     67,754,276     $ 2,022,359       170,106       2,270,011       176,221       (5,012 )    $ 1,047,359       —         (7,391,917 )      60,114,707  
QS U.S. Large Cap Equity Fund, Class IS Shares     27,922,261       183,695       10,850       3,971,553       237,458       313,447       —       $ 183,695       19,541       24,153,944  
Western Asset Core Plus Bond Fund, Class IS Shares     141,270       17,637,306       1,437,314       1,860,877       153,524       (10,877 )      256,425       —         67,875       15,985,574  
Western Asset High Yield Fund, Class IS Shares     20,054,017       749,722       99,292       1,917,456       234,480       (98,051 )      752,948       —         (676,291 )      18,209,992  
Western Asset Macro Opportunities Fund, Class IS Shares     11,207,834       —         —         989,697       90,466       (134,698 )      —         —         (59,578 )      10,158,559  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 737,028,179     $ 46,666,554       $ 68,405,883       $ 7,478,517     $ 2,747,063     $ 216,837     $ (38,484,942 )    $ 676,803,908  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Moderate Growth Fund

   Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  
  Cost     Shares     Cost     Shares  
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares   $ 11,726,962     $ 1,184,813       121,378     $ 950,651       89,684     $ 14,349     $ 214,812       —       $ (883,387 )    $ 11,077,737  
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares     55,235,962       4,295,000       250,523       5,255,115       280,282       64,886       —         —         (6,426,345 )      47,849,502  
BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares     15,030,593       475,000       41,850       1,626,745       142,908       113,255       —         —         (911,881 )      12,966,967  
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares     6,964,911       39,622       3,618       495,830       39,092       (80,829 )      39,621       —         74,502       6,583,205  
BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares     9,676,481       —         —         654,971       52,778       (94,971 )      —         —         205,759       9,227,269  
ClearBridge Global Infrastructure Income Fund, Class IS Shares     4,895,670       125,004       11,050       306,323       25,683       (11,322 )      125,005       —         (294,142 )      4,420,209  
ClearBridge Small Cap Fund, Class IS Shares     17,303,162       1,840,695       33,428       1,184,264       20,103       60,737       —       $ 5,695       (2,227,373 )      15,732,220  
Martin Currie Emerging Markets Fund, Class IS Shares     29,504,598       785,000       57,636       4,431,311       350,278       328,688       —         —         2,886,088       28,744,375  
QS Global Market Neutral Fund, Class IS Shares     15,673,721       625,000       68,531       1,333,295       127,223       (183,295 )      —         —         (60,337 )      14,905,089  
QS International Equity Fund, Class IS Shares     24,802,714       5,595,000       350,265       5,210,297       321,756       (410,297 )      —         —         (2,449,147 )      22,738,270  
QS Strategic Real Return Fund, Class IS Shares     27,693,445       —         —         188,387       14,337       (68,387 )      —         —         (1,680,938 )      25,824,120  
QS U.S. Small Capitalization Equity Fund, Class IS Shares     12,343,985       567,298       52,914       1,194,401       88,540       (139,401 )      57,298       —         (579,165 )      11,137,717  
ClearBridge Aggressive Growth Fund, Class IS Shares     11,381,295       —         —         1,748,566       8,772       46,434       —         —         (194,328 )      9,438,401  
ClearBridge Appreciation Fund, Class IS Shares     23,875,736       535,000       21,197       3,588,112       180,256       1,186,888       —         —         (788,754 )      20,033,870  
ClearBridge International Value Fund, Class IS Shares     11,353,381       2,689,999       281,971       1,193,105       120,152       (213,106 )      —         —         (1,892,600 )      10,957,675  
ClearBridge Large Cap Growth Fund, Class IS Shares     29,094,790       —         —         6,098,628       156,482       3,221,373       —         —         542,443       23,538,605  
ClearBridge Mid Cap Fund, Class IS Shares     9,910,029       5,788       167       926,963       29,829       258,037       —         5,788       (226,598 )      8,762,256  

 

 

 

8

    

Notes to Schedules of Investments (unaudited) (continued)

 

Moderate Growth Fund (continued)

    


 Affiliate
Value at
January 31,

2020

  
 
 

 

     Purchased       Sold      





 Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds





 		    




 Income
Distributions
from
Affiliated
Underlying
Funds		  
 
 
 
 
 		    




 Capital Gain
Distributions
from
Affiliated
Underlying
Funds		  
 
 
 
 
 		    



 Net Increase
(Decrease) in
Unrealized
Appreciation

(Depreciation)

  
 
 
 

 

    


 Affiliate
Value at
October 31,

2020

  
 
 

 

    Cost       Shares       Cost       Shares  
ClearBridge Small Cap Growth Fund, Class IS Shares   $ 7,532,025       —         —       $ 1,783,492       50,746     $ 406,507       —         —       $ 876,731     $ 6,625,264  
QS Global Dividend Fund, Class IS Shares     42,755,830     $ 2,348,125       191,685       2,056,166       159,645       (76,166 )    $ 673,124       —         (4,696,075 )      38,351,714  
QS U.S. Large Cap Equity Fund, Class IS Shares     16,113,027       102,930       6,080       2,625,826       156,496       194,173       —       $ 102,930       (434 )      13,589,697  
Western Asset Core Bond Fund, Class IS Shares     13,251,301       7,227,421       544,258       2,030,973       153,934       4,026       313,284       —         544,982       18,992,731  
Western Asset Core Plus Bond Fund, Class IS Shares     32,065,643       17,644,392       1,447,811       4,677,822       385,348       (27,822 )      916,918       —         672,492       45,704,705  
Western Asset High Yield Fund, Class IS Shares     29,568,445       766,865       101,516       11,025,123       1,358,567       (124 )      772,686       —         (689,740 )      18,620,447  
Western Asset Macro Opportunities Fund, Class IS Shares     7,099,427       —         —         540,759       49,430       (65,758 )      —         —         (36,951 )      6,521,717  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 464,853,133     $ 46,852,952       $ 61,127,125       $ 4,527,875     $ 3,112,748     $ 114,413     $ (18,235,198 )    $ 432,343,762  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Conservative Growth Fund

   Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  
  Cost     Shares     Cost     Shares  
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares   $ 7,474,188     $ 811,090       84,039     $ 540,484       50,989     $ (484 )    $ 141,090       —       $ (558,853 )    $ 7,185,941  
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares     18,301,640       2,215,000       129,456       2,573,995       136,903       (28,995 )      —         —         (2,049,021 )      15,893,624  
BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares     6,546,883       295,000       25,991       779,702       67,307       40,298       —         —         (383,865 )      5,678,316  
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares     8,673,619       200,196       19,703       706,333       68,065       (1,332 )      200,196       —         284,276       8,451,758  
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares     4,560,269       25,604       2,338       329,068       25,972       (39,068 )      25,604       —         48,685       4,305,490  
BrandywineGLOBAL - International Opportunities Bond Fund, Class IS Shares     6,798,503       —         —         344,260       27,740       (49,259 )      —         —         137,931       6,592,174  
ClearBridge Global Infrastructure Income Fund, Class IS Shares     3,131,759       79,964       7,068       155,409       13,099       9,592       79,964       —         (189,153 )      2,867,161  
ClearBridge Small Cap Fund, Class IS Shares     6,544,615       897,188       16,489       616,916       10,388       18,084       —       $ 2,190       (818,658 )      6,006,229  
Martin Currie Emerging Markets Fund, Class IS Shares     11,231,261       425,000       34,274       1,770,395       142,086       169,604       —         —         1,107,813       10,993,679  
QS Global Market Neutral Fund, Class IS Shares     10,108,550       410,000       44,956       648,983       61,926       (98,983 )      —         —         (68,580 )      9,800,987  
QS International Equity Fund, Class IS Shares     136,573       2,235,000       138,504       2,195,993       135,814       (170,995 )      —         —         (14,415 )      161,165  
QS Strategic Real Return Fund, Class IS Shares     17,865,731       490,000       45,245       460,494       35,191       (90,494 )      —         —         (1,034,314 )      16,860,923  
QS U.S. Small Capitalization Equity Fund, Class IS Shares     7,422,904       484,356       45,431       925,896       68,636       (120,896 )      34,356       —         (303,073 )      6,678,291  
ClearBridge Aggressive Growth Fund, Class IS Shares     5,259,990       —         —         817,653       4,027       22,348       —         —         (75,099 )      4,367,238  
ClearBridge Appreciation Fund, Class IS Shares     17,930,224       700,000       27,734       3,448,493       148,364       511,505       —         —         (167,735 )      15,013,996  
ClearBridge International Value Fund, Class IS Shares     126,065       2,345,000       248,897       2,289,541       241,995       (324,541 )      —         —         (19,773 )      161,751  

 

   

 

 

9

Notes to Schedules of Investments (unaudited) (continued)

 

Conservative Growth Fund
(continued)

   Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  
  Cost     Shares     Cost     Shares  
ClearBridge Large Cap Growth Fund, Class IS Shares   $ 16,207,695     $ 370,000       6,846     $ 3,953,904       93,563     $ 1,656,095       —         —       $ 517,444     $ 13,141,235  
ClearBridge Mid Cap Fund, Class IS Shares     5,137,858       87,982       2,479       613,565       16,519       41,435       —       $ 2,981       (18,410 )      4,593,865  
ClearBridge Small Cap Growth Fund, Class IS Shares     4,889,826       —         —         1,195,032       33,818       259,968       —         —         566,791       4,261,585  
QS Global Dividend Fund, Class IS Shares     27,403,708       2,161,789       175,791       1,528,897       118,586       (73,898 )    $ 441,789       —         (3,029,898 )      25,006,702  
QS U.S. Large Cap Equity Fund, Class IS Shares     11,117,380       415,557       24,308       2,176,406       124,676       73,594       —         70,556       80,442       9,436,973  
Western Asset Core Bond Fund, Class IS Shares     31,324,986       7,027,983       527,148       3,715,675       280,502       19,325       600,474       —         1,045,414       35,682,708  
Western Asset Core Plus Bond Fund, Class IS Shares     44,330,698       9,977,928       816,830       4,747,229       390,062       (22,229 )      1,027,216       —         765,945       50,327,342  
Western Asset High Yield Fund, Class IS Shares     22,351,247       1,073,995       141,261       6,756,483       845,883       73,516       663,163       —         (682,487 )          15,986,272  
Western Asset Macro Opportunities Fund, Class IS Shares     4,644,111       —         —         289,754       26,486       (14,755 )      —         —         (23,588 )      4,330,769  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 299,520,283     $ 32,728,632       $ 43,580,560       $ 1,859,435     $ 3,213,852     $ 75,727     $ (4,882,181 )    $ 283,786,174  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

Defensive Growth Fund

   Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  
  Cost     Shares     Cost     Shares  
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares   $ 3,174,232     $ 405,843       41,517     $ 145,472       13,723     $ (15,472 )    $ 60,783       —       $ (248,372 )    $ 3,186,231  
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares     1,300,788       160,000       9,569       43,359       2,311       1,641       —         —         (160,699 )      1,256,730  
BrandywineGLOBAL - Dynamic US Large Cap Value Fund, Class IS Shares     1,301,182       —         —         41,712       3,594       3,288       —         —         (79,155 )      1,180,315  
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares     10,052,317       237,284       23,353       566,668       54,645       (6,669 )      237,285       —         336,424       10,059,357  
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares     1,900,955       11,347       1,037       16,923       1,336       (1,923 )      11,347       —         13,236       1,908,615  
ClearBridge Global Infrastructure Income Fund, Class IS Shares     1,321,205       34,306       3,032       45,650       3,849       4,350       34,307       —         (79,757 )      1,230,104  
Martin Currie Emerging Markets Fund, Class IS Shares     1,520,673       —         —         —         —         —         —         —         178,764       1,699,437  
QS Global Market Neutral Fund, Class IS Shares     4,236,595       225,000       24,671       46,579       4,445       (6,579 )      —         —         (61,002 )      4,354,014  
QS International Equity Fund, Class IS Shares     86,118       165,001       10,185       178,296       11,066       (13,295 )      —         —         (7,792 )      65,031  
QS Strategic Real Return Fund, Class IS Shares     7,734,976       410,000       37,622       —         —         —         —         —         (498,378 )      7,646,598  
QS U.S. Small Capitalization Equity Fund, Class IS Shares     1,533,919       162,270       15,066       33,475       2,481       (3,474 )      7,269       —         (94,964 )      1,567,750  
ClearBridge Appreciation Fund, Class IS Shares     6,555,343       415,000       16,442       738,489       29,588       51,511       —         —         73,024       6,304,878  
ClearBridge International Value Fund, Class IS Shares     71,149       180,000       18,868       180,544       18,473       (30,544 )      —         —         (6,795 )      63,810  
ClearBridge Large Cap Growth Fund, Class IS Shares     3,935,117       175,000       3,237       730,230       15,588       234,770       —         —         361,420       3,741,307  

 

 

 

10

    

Notes to Schedules of Investments (unaudited) (continued)

 

Defensive Growth Fund (continued)

   Affiliate
Value at
January 31,
2020		     Purchased     Sold     Realized
Gain (Loss)
from Sale
of
Affiliated
Underlying
Funds		     Income
Distributions
from
Affiliated
Underlying
Funds		     Capital Gain
Distributions
from
Affiliated
Underlying
Funds		     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		     Affiliate
Value at
October 31,
2020		  
  Cost     Shares     Cost     Shares  
ClearBridge Small Cap Growth Fund, Class IS Shares   $ 1,348,999       —         —       $ 228,022       6,164     $ 41,978       —         —       $ 198,141     $ 1,319,118  
QS Global Dividend Fund, Class IS Shares     9,195,501     $ 889,265       71,802       101,583       7,796       (1,583 )    $ 154,265       —         (1,071,770 )      8,911,413  
QS U.S. Large Cap Equity Fund, Class IS Shares     4,508,420       277,199       16,204       556,613       31,003       8,387       —       $ 32,199       57,741       4,286,747  
Western Asset Core Bond Fund, Class IS Shares     26,754,036       1,324,308       98,229       1,890,963       144,724       24,038       456,603       —         783,555       26,970,936  
Western Asset Core Plus Bond Fund, Class IS Shares     29,214,878       1,430,673       116,542       1,729,137       143,372       (4,137 )      603,731       —         448,674       29,365,088  
Western Asset High Yield Fund, Class IS Shares     9,122,333       561,267       73,239       700,336       87,496       (10,335 )      347,685       —         (327,426 )      8,651,025  
Western Asset Macro Opportunities Fund, Class IS Shares     1,935,095       —         —         39,333       3,595       667       —         —         (9,084 )      1,886,678  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
  $ 126,803,831     $ 7,063,763       $ 8,013,384       $ 276,619     $ 1,913,275     $ 32,199     $ (194,215 )    $ 125,655,182  
 

 

 

    

 

 

      

 

 

      

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

   

 

 

11