Legg Mason Global Asset Management Trust N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22338

Legg Mason Global Asset Management Trust

(Exact name of registrant as specified in charter)

55 Water Street, New York, NY 10041

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-877-721-1926

Date of fiscal year end: November 30

Date of reporting period: November 30, 2012

ITEM 1. REPORT TO STOCKHOLDERS.

The Annual Report to Stockholders is filed herewith.

November 30, 2012

Annual Report

Legg Mason

Strategic Real

Return Fund

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

II Legg Mason Strategic Real Return Fund

What’s inside
Letter from the chairman	II
Investment commentary	III
Fund overview	1
Fund at a glance	7
Fund expenses	8
Fund performance	9
Consolidated schedule of investments	12
Consolidated statement of assets and liabilities	20
Consolidated statement of operations	22
Consolidated statements of changes in net assets	23
Consolidated financial highlights	24
Notes to consolidated financial statements	29
Report of independent registered public accounting firm	47
Board approval of management, advisory and subadvisory agreements	48
Additional information	52
Important tax information	57

Fund objective

The Fund seeks to provide an attractive long-term real return.

Letter from the chairman

Dear Shareholder,

We are pleased to provide the annual report of Legg Mason Strategic Real Return Fund for the twelve-month reporting period ended November 30, 2012. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.

Special shareholder notice

Effective September 1, 2012, the individuals employed by Western Asset Management Company (“Western Asset”) to provide day-to-day management of the Fund’s Western Asset sleeve are Stephen A. Walsh, Peter H. Stutz, Paul E. Wynn and Dennis J. McNamara. Messrs. Walsh, Stutz and Wynn have been responsible for the day-to-day management of the Western Asset sleeve since 2010, and Mr. McNamara, since September 2012. Stephen A. Walsh, Peter H. Stutz, Paul E. Wynn and Dennis J. McNamara have been employed by Western Asset, each in the capacity of investment professionals for more than five years. These individuals lead a larger team, and their focus is on portfolio structure, duration weighting and term structure decisions. Effective December 1, 2012, Western Asset also manages the Fund's cash and short-term instruments.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.leggmason.com/individualinvestors. Here you can gain immediate access to market and investment information, including:

Ÿ Fund prices and performance,

Ÿ Market insights and commentaries from our portfolio managers, and

Ÿ A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

R. Jay Gerken, CFA

Chairman and President

December 28, 2012

Legg Mason Strategic Real Return Fund III

Investment commentary

Economic review

While the U.S. economy continued to grow over the twelve months ended November 30, 2012, it did so at an uneven pace. U.S. gross domestic product (“GDP”)ⁱ growth, as reported by the U.S. Department of Commerce, was 4.1% in the fourth quarter of 2011. Economic growth in the U.S. then decelerated, as first quarter 2012 GDP growth was 2.0%. This was primarily due to less robust private inventory and non-residential fixed investments. The economy slowed further in the second quarter, as GDP growth was a tepid 1.3%. GDP growth then moved to 3.1% in the third quarter. The increase was partially due to increased private inventory and investment, higher federal government spending and a deceleration in imports.

The U.S. job market remained weak. While there was some improvement during the reporting period, unemployment remained elevated. When the reporting period began, unemployment, as reported by the U.S. Department of Labor, was 8.5%. Unemployment then generally declined and was 8.1% in April 2012, the lowest rate since January 2009, but still high by historical standards. The unemployment rate then rose to 8.3% in July, before falling to 7.8% in September and ending the reporting period at 7.7% in November. However, the number of longer-term unemployed remained high, as roughly 40% of the 12 million people without a job have been out of work for more than six months.

Meanwhile, the housing market brightened, as sales have started to improve of late and home prices continued to rebound. According to the National Association of Realtors (“NAR”), existing-home sales rose 5.9% on a seasonally adjusted basis in November 2012 versus the previous month and they were 14.5% higher than in November 2011. In addition, the NAR reported that the median existing-home price for all housing types was $180,600 in November 2012, up 10.1% from November 2011. This marked the ninth consecutive month that home prices rose compared to the same period a year earlier. Furthermore, the inventory of homes available for sale fell 3.8% in November, which represents a 4.8 month supply at the current sales pace. This represents the lowest inventory since September 2005.

The manufacturing sector appeared to overcome a soft patch that occurred in the summer of 2012 as it improved toward the end of the reporting period, only to experience another setback in November 2012. Based on the Institute for Supply Management’s PMI (“PMI”)ⁱⁱ, after expanding 34 consecutive months, the PMI fell to 49.7 in June 2012, which represented the first contraction in the manufacturing sector since July 2009 (a reading below 50 indicates a contraction, whereas a reading above 50 indicates an expansion). Manufacturing continued to contract in July and August before ticking up to 51.5 in September and 51.7 in October. However, the PMI fell back to contraction territory with a reading of 49.5 in November, its lowest level since July 2009.

The Federal Reserve Board (“Fed”)ⁱⁱⁱ took a number of actions as it sought to meet its dual mandate of fostering maximum employment and price stability. As has been the case since December 2008, the Fed kept the federal funds rate^iv at a historically low range between zero and 0.25%. In September 2011, prior to the beginning of the reporting period, the Fed announced its intention to purchase $400 billion of longer-term Treasury securities and to sell an equal amount of shorter-term Treasury securities by June 2012 (often referred to as “Operation Twist”). In January 2012, the Fed extended the period it expects to keep rates on hold until at least through late 2014. Operation Twist was then extended in June 2012 until the end of the year. In September the Fed announced a third

IV Legg Mason Strategic Real Return Fund

Investment commentary (cont’d)

round of quantitative easing, which involves purchasing $40 billion each month of agency mortgage-backed securities (“MBS”) on an open-end basis. In addition, the Fed said that Operation Twist would continue and that it will keep the federal funds rate on hold until at least mid-2015. Finally, at its meeting in December, after the reporting period ended, the Fed announced that it would continue purchasing $40 billion per month of agency MBS, as well as initially purchasing $45 billion a month of longer-term Treasuries. The Fed also said that it would keep the federal funds rate on hold “…as long as the unemployment rate remains above 6.5%, inflation between one and two years ahead is projected to be no more than a half percentage point above the Committee’s 2.0% longer-run goal, and longer-term inflation expectations continue to be well anchored.”

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

R. Jay Gerken, CFA

Chairman and President

December 28, 2012

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results.

ⁱ  Gross domestic product (“GDP”) is the market value of all final goods and services produced within a country in a given period of time.

ⁱⁱ  The Institute for Supply Management’s PMI is based on a survey of purchasing executives who buy the raw materials for manufacturing at more than 350 companies. It offers an early reading on the health of the manufacturing sector.

ⁱⁱⁱ  The Federal Reserve Board (“Fed”) is responsible for the formulation of policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.

^iv  The federal funds rate is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day.

Legg Mason Strategic Real Return Fund 2012 Annual Report 1

Fund overview

Q. What is the Fund’s investment strategy?

A. The Fund seeks attractive long-term real return. The Fund defines real return as total return reduced by the impact of inflation. In seeking to meet its investment goal, the Fund expects to allocate its assets among five investment “sleeves” that Legg Mason Global Asset Allocation, LLC (“LMGAA”), the Fund’s adviser, believes generally complement each other, with the following target allocations of the Fund’s net assets:

Ÿ Inflation-Linked Debt Securities (40%)

Ÿ Equity Securities (20%)

Ÿ Commodity-Linked Securities (20%)

Ÿ Real Estate Investment Trusts (“REITs”)ⁱ (10%)

Ÿ Tactical Strategy (10%)

LMGAA uses tactical asset allocation to dynamically shift the portfolio among these five sleeves, depending on the fundamental drivers of inflation at the time. Asset allocation decisions are primarily based on LMGAA’s evaluations of future U.S. price trends as measured by the Consumer Price Index (“CPI”)ⁱⁱ and the relative attractiveness of the asset classes in which the Fund invests. Ibbotson Associates, a research driven thought leader in capital-markets expectations, contributes macroeconomic research that helps LMGAA assess the fundamental drivers of inflation.

The Fund utilizes a “multi-manager” approach, whereby the adviser and each subadviser provide day-to-day management for one or more of the investment sleeves. The adviser and each subadviser use different investment strategies in managing the sleeves, act independently from the others in their management of the relevant investment sleeve, and use their own methodology for selecting investments. Currently, Western Asset Management Company, Western Asset Management Company Limited in London and Western Asset Management Company Ltd. in Japan manage the Inflation-Linked Debt Securities Sleeve, Batterymarch Financial Management, Inc. (“Batterymarch”) manages the Equity Securities Sleeve and LMGAA manages the Commodity-Linked Securities Sleeve, the REITs Sleeve and the Tactical Strategy Sleeve. LMGAA may also allocate a portion of the Fund’s assets to ClearBridge Investments, LLC (known as ClearBridge Advisors, LLC prior to December 5, 2012), either in place of, or in addition to, the subadvisers named previously.

The Fund uses commodity derivatives (swaps and S&P GSCI^®iii futures) to gain exposure to commodities. These derivatives are fully collateralized with cash.

Q. What were the overall market conditions during the Fund’s reporting period?

A. At the start of the reporting period on December 1, 2011, U.S. inflation was running at an annual rate of 3.5%. Inflation dropped to an annual rate of 1.4% in July of 2012, but rose again to 1.8% by the end of the reporting period on November 30, 2012. Core inflation, which excludes the effects of food and energy prices, reached a three-year high of 2.3% in April, but has since dropped to 1.9% as of November 30, 2012. Overall, inflation remains subdued in the U.S., although longer-term threats remain due to the U.S.’s high levels of government debt, and to the Federal Reserve Board (“Fed”)^iv policy of quantitative easing.

The FTSE NAREIT All REITs Index^v was the best performing asset class among the components of the Fund’s Composite Index (the “Composite”)^vi, returning 21.72% over the reporting period as investors sought out higher-yielding investments among the prevailing low interest rate environment. Global equities, as measured by the MSCI All Country World Index (“MSCI ACWI”)^vii, returned 13.33%, rising on confidence that

2 Legg Mason Strategic Real Return Fund 2012 Annual Report

Fund overview (cont’d)

earnings growth may rebound in 2013. The Barclays U.S. TIPS Index^viii returned 7.72%, as Treasury bond prices continued to benefit from investors’ concerns about global growth. The Citigroup 1-Month U.S. Treasury Bill Index^ix, a measure of one-month Treasury bills (also a component in the Composite), returned 0.04%, reflecting the near-zero level of short-term interest rates. The S&P GSCI^® Index of commodity markets fell -1.39%, as sluggish global growth weakened demand for energy and industrial commodities. The Composite is hedged 40% into a basket of foreign currencies, represented by the U.S. Dollar Index (“USDX”)^x. The USDX rose 2.26% over the twelve months ended November 30, 2012 as the U.S. dollar strengthened, on average, relative to the foreign currencies in this index.

Q. How did we respond to these changing market conditions?

A. At the start of the reporting period, we were modestly underweight U.S. Treasury Inflation-Protected Securities (“TIPS”)^xi, underweight commodities and REITs, and overweight global equities and the U.S. Dollar. Within the Tactical Strategy sleeve, we were long the SPDR Barclays High Yield Bond ETF and short the EURO STOXX 50 Index^xii using futures as we positioned the Fund for contagion in Europe, which we believed, would lead to slower global growth in 2012. Starting in January 2012, we began reducing our exposure to the U.S. Dollar as risks in Europe diminished and global risk appetite increased. In April, we moved from an underweight position in REITs to neutral on signs that REIT yields were increasingly attractive. At the same time, we reduced our exposure to global equities, but maintained a modest overweight, as we felt that earnings growth would decline due to what we believed were unsustainable corporate profit margins. In May, we moved to a neutral position on the U.S. Dollar on concerns the Greek elections would lead to currency volatility. Also in May, we moved our TIPS and global equities exposures to neutral on concerns that global earnings growth was decelerating, as well as the potential event risks attributable to the end of the Fed’s Operation Twist in the U.S. and the upcoming Greek elections. Following the elections in June, we increased exposure to the U.S. Dollar, as the persistent European sovereign debt crisis and low rates in Europe were supportive of the U.S. Dollar. In September we closed out the EURO STOXX 50 Index short position, shifting the risk budget to the REITs sleeve based on their attractive valuation, a position we further increased in October 2012 when we reduced our exposure to the SPDR Barclays High Yield Bond ETF. We have reduced our U.S. Dollar overweight since September 2012 as more aggressive quantitative easing in the U.S. has weakened the U.S. Dollar. As of November 30, 2012, we are underweight commodities, neutral TIPS and global equities, and overweight REITs and we are neutral the U.S. Dollar.

The Fund utilized various derivative instruments over the reporting period. Commodity swaps and futures were used to gain exposure to commodities; U.S. Treasury and Euro – Bund futures and options (on futures) were employed to manage interest rate risk; and forward foreign currency contracts were used to gain exposure to foreign currencies. The use of foreign currency contracts was positive but the use of commodity derivatives was negative. However, together the net effect of these derivatives was positive for the portfolio. Within the Tactical Strategy Sleeve, we were short the EURO STOXX 50 Index using futures. The use of these derivatives detracted from performance.

Performance review

For the twelve months ended November 30, 2012, Class A shares of Legg Mason Strategic Real Return Fund, excluding sales charges, returned 7.39%.

Legg Mason Strategic Real Return Fund 2012 Annual Report 3

The Fund’s unmanaged benchmark, the Barclays U.S. TIPS Index, returned 7.72% for the same period. The Lipper Flexible Portfolio Funds Category Average¹ returned 7.66% over the same time frame.

Performance Snapshot as of November 30, 2012 (unaudited)
(excluding sales charges)	6 months			12 months
Legg Mason Strategic Real Return Fund:
Class A		8.36	%		7.39%
Class C		7.92	%		6.52%
Class I		8.51	%		7.64%
Class IS		8.59	%		N/A
Barclays U.S. TIPS Index		2.92	%		7.72%
Composite Index		7.94	%		6.75%
Lipper Flexible Portfolio Funds Category Average1		5.64	%		7.66%

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.leggmason.com/individualinvestors.

All share class returns assume the reinvestment of all distributions at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include sales charges that may apply or the deduction of taxes that a shareholder would pay on Fund distributions. If sales charges were reflected, the performance quoted would be lower. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower.

Performance of Class IS shares for the twelve months ended November 30, 2012 is not shown because this share class commenced operations on December 15, 2011. Performance of Class A2 shares is not shown because this share class commenced operations on October 31, 2012.

Total Annual Operating Expenses (unaudited)

As of the Fund’s current prospectus dated October 31, 2012, the gross total annual operating expense ratios for Class A, Class C, Class I and Class IS shares were 2.54%, 3.49%, 1.69% and 1.59%, respectively.

Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.

As a result of expense limitation arrangements, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets is not expected to exceed 1.35% for Class A shares, 2.10% for Class C shares, 1.10% for Class I shares and 1.00% for Class IS shares. In addition, total annual operating expenses for Class IS shares will not exceed those of Class I shares, subject to recapture as described below. These expense limitation arrangements take into account the expenses of the underlying funds. These expense limitation arrangements cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent.

The manager is permitted to recapture amounts waived or reimbursed to a class within three years after the year in which the manager earned the fee or incurred the expense if the class’ total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the manager recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual operating expenses exceeding the expense cap or any other lower limit then in effect.

¹  Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the period ended November 30, 2012, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 211 funds for the six-month period and among the 186 funds for the twelve-month period in the Fund’s Lipper category, and excluding sales charges.

4 Legg Mason Strategic Real Return Fund 2012 Annual Report

Fund overview (cont’d)

Q. What were the leading contributors to performance?

A. The leading contributors to performance were the Vanguard REIT Index ETF (“VNQ”) (representing 13.20% of the total Fund as of November 30, 2012), and the allocation to the Equity sleeve (managed by Batterymarch and representing 20.09% of the total Fund as of November 30, 2012). Over the year ended November 30, 2012, the FTSE NAREIT All REITs Index returned 21.72% and the MSCI ACWI returned 13.33%.

Within the Equity sleeve managed by Batterymarch, the leading contributors to return relative to the MSCI ACWI were Jarden Corp., CBL & Associates Properties Inc., and Dean Foods Co.

Q. What were the leading detractors from performance?

A. The leading detractors from performance were the futures contracts and total return swaps within the Commodities sleeve (representing 14.96% of the total Fund as of November 30, 2012). For the year ended November 30, 2012, the S&P GSCI^® returned -1.39%.

Within the Equity sleeve (managed by Batterymarch and representing 20.09% of the total Fund as of November 30, 2012), the largest three detractors relative to the MSCI ACWI were Cia Energetica de Sao Paulo, Petroleo Brasileiro SA, ADR, and the fact that the Equity sleeve did not hold a position in Apple Inc., which was a positive contributing component in the benchmark.

Q. Were there any significant changes to the Fund during the reporting period?

A. There were no significant changes to the Fund during the reporting period.

Thank you for your investment in Legg Mason Strategic Real Return Fund. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.

Sincerely,

Steven Bleiberg

Portfolio Manager

Legg Mason Global Asset Allocation, LLC

Y. Wayne Lin

Portfolio Manager

Legg Mason Global Asset Allocation, LLC

Patricia Duffy

Portfolio Manager

Legg Mason Global Asset Allocation, LLC

December 20, 2012

RISKS: The Fund is subject to interest rate, credit, income, prepayment and inflation risks. As interest rates rise, bond prices fall, reducing the value of a fixed-income investment. Changes in inflation will cause the Fund’s income to fluctuate, sometimes substantially. Periods of deflation may adversely affect the Fund’s net asset value. Equity securities are subject to price fluctuation and possible loss of principal. The Fund is not diversified, which means that it is permitted to invest a higher percentage of its assets in any one issuer than a diversified fund. This may magnify the Fund’s losses from events affecting a particular issuer. In addition to the Fund’s operating expenses, you will indirectly bear the operating expenses of any underlying funds, including ETFs. Each underlying fund may engage in active and frequent trading, resulting in higher

Legg Mason Strategic Real Return Fund 2012 Annual Report 5

portfolio turnover and transaction costs. Derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. International investments are subject to special risks including currency fluctuations and social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. The Fund may use leverage which may increase volatility and possibility of loss. The Fund may invest in REITs, which are closely linked to the performance of the real estate markets. REITs are subject to illiquidity, credit and interest rate risks, as well as risks associated with small- and mid-cap investments. The model used to manage the Fund’s assets provides no assurance that the recommended allocation will either maximize returns or minimize risks. There is no assurance that a recommended allocation will prove the ideal allocation in all circumstances. The Fund may engage in short selling, which is a speculative strategy that involves special risks. Unlike the possible loss on a security that is purchased, there is no limit on the amount of loss on an appreciating security that is sold short. Additional risks may include those risks associated with investing in commodities, ETFs, exchange-traded notes (“ETNs”) and master limited partnerships (“MLPs”). Please see the Fund’s prospectus for a more complete discussion of these and other risks, and the Fund’s investment strategies.

Portfolio holdings and breakdowns are as of November 30, 2012 and are subject to change and may not be representative of the portfolio managers’ current or future investments. Please refer to pages 12 through 19 for a list and percentage breakdown of the Fund’s holdings.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

6 Legg Mason Strategic Real Return Fund 2012 Annual Report

Fund overview (cont’d)

ⁱ  Real estate investment trusts (“REITs”) invest in real estate or loans secured by real estate and issue shares in such investments, which can be illiquid.

ⁱⁱ  The Consumer Price Index (“CPI”) measures the average change in U.S. consumer prices over time in a fixed market basket of goods and services determined by the U.S. Bureau of Labor Statistics.

ⁱⁱⁱ  The S&P GSCI^® is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. The returns are calculated on a fully collateralized basis with full reinvestment.

^iv  The Federal Reserve Board (“Fed”) is responsible for the formulation of policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.

^v  The FTSE NAREIT All REITs Index consists of all tax-qualified Real Estate Investment Trusts (“REITs”) listed on the New York Stock Exchange, American Stock Exchange or NASDAQ National Market List.

^vi  The Composite Index reflects the blended rate of return of the following underlying indices: 40% Barclays U.S. TIPS Index, 20% MSCI All Country World Index, 20% S&P GSCI^®, 10% FTSE NAREIT All REITs Index and 10% Citigroup 1-Month U.S. Treasury Bill Index. This Composite Index is hedged to 40% exposure to the U.S. dollar, as defined by the USDX. The Composite Index’s unhedged currency exposure is predominantly U.S. dollar-based. The Fund’s target hedged currency exposure is 40% U.S. dollar, 60% non-U.S. dollar. The Fund may deviate, either up or down, from its target currency allocation due to market conditions. To better align the components of the Composite Index with the Fund’s target currency exposure, a 40% U.S. dollar hedge is applied to the Composite Index by subtracting the returns of the USDX from 40% of the blended rate of return of the Composite Index.

^vii  The MSCI All Country World Index (“MSCI ACWI”) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

^viii  The Barclays U.S. TIPS Index represents an unmanaged market index made up of U.S. Treasury Inflation-Linked Index securities.

^ix  The Citigroup 1-Month U.S. Treasury Bill Index is a market value-weighted index of public obligations of the U.S. Treasury with maturities of one month.

^x  The U.S. Dollar Index (“USDX”) is a measure of the value of the U.S. dollar relative to a majority of its most significant trading partners.

^xi  U.S. Treasury Inflation-Protected Securities (“TIPS”) are inflation-indexed securities issued by the U.S. Treasury in five-year, ten-year and twenty-year maturities. The principal is adjusted to the Consumer Price Index, the commonly used measure of inflation. The coupon rate is constant, but generates a different amount of interest when multiplied by the inflation-adjusted principal.

^xii  The EURO STOXX 50 Index is Europe’s leading blue-chip index for the Eurozone and provides a blue-chip representation of supersector leaders in the Eurozone. The Index currently covers fifty stocks from twelve Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.

Legg Mason Strategic Real Return Fund 2012 Annual Report 7

Fund at a glance^†(unaudited)

Investment breakdown (%) as a percent of total investments

† The bar graph above represents the composition of the Fund’s investments as of November 30, 2012 and November 30, 2011 and does not include derivatives, such as futures contracts, written options, swap contracts and forward foreign currency contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

8 Legg Mason Strategic Real Return Fund 2012 Annual Report

Fund expenses (unaudited)

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including front-end and back-end sales charges (loads) on purchase payments and (2) ongoing costs, including management fees; service and/or distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on June 1, 2012 and held for the six months ended November 30, 2012, unless otherwise noted.

Actual expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Hypothetical example for comparison purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or back-end sales charges (loads). Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

Based on actual total return1														Based on hypothetical total return1
	Actual Total Return Without Sales Charge2			Beginning Account Value		Ending Account Value		Annualized Expense Ratio3			Expenses Paid During the Period				Hypothetical Annualized Total Return			Beginning Account Value		Ending Account Value		Annualized Expense Ratio3			Expenses Paid During the Period 4
Class A		8.36	%	$	1,000.00	$	1,083.60		1.31	%	$	6.82	4	Class A		5.00	%	$	1,000.00	$	1,018.45		1.31	%	$	6.61
Class A2†		1.07			1,000.00		1,010.70		1.51			1.24	5	Class A2		5.00			1,000.00		1,017.45		1.51			7.62
Class C		7.92			1,000.00		1,079.20		2.06			10.71	4	Class C		5.00			1,000.00		1,014.70		2.06			10.38
Class I		8.51			1,000.00		1,085.10		1.06			5.53	4	Class I		5.00			1,000.00		1,019.70		1.06			5.35
Class IS		8.59			1,000.00		1,085.90		0.96			5.01	4	Class IS		5.00			1,000.00		1,020.20		0.96			4.85

¹  For the six months ended November 30, 2012, unless otherwise noted.

²  Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable sales charge with respect to Class A shares and Class A2 shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

³  Does not include expenses of the underlying funds in which the Fund invests.

⁴  Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to each class' respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 366.

⁵  Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to the class' annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent period (30), then divided by 366.

† For the period October 31, 2012 (inception date) to November 30, 2012.

Legg Mason Strategic Real Return Fund 2012 Annual Report 9

Fund performance (unaudited)

Average annual total returns
Without sales charges1	Class A			Class A2†			Class C			Class I			Class IS†
Twelve Months Ended 11/30/12		7.39	%		N/A			6.52	%		7.64	%		N/A
Inception*through 11/30/12		7.94			1.07	%		7.19			8.22			10.25	%
With sales charges2	Class A			Class A2†			Class C			Class I			Class IS†
Twelve Months Ended 11/30/12		1.21	%		N/A			5.52	%		7.64	%		N/A
Inception*through 11/30/12		5.66			-4.71	%		7.19			8.22			10.25	%

Cumulative total returns
Without sales charges1
Class A (Inception date of 2/26/10 through 11/30/12)	23.50	%
Class A2 (Inception date of 10/31/12 through 11/30/12)	1.07
Class C (Inception date of 2/26/10 through 11/30/12)	21.14
Class I (Inception date of 2/26/10 through 11/30/12)	24.39
Class IS (Inception date of 12/15/11 through 11/30/12)	10.25

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower.

¹  Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable sales charge with respect to Class A shares and Class A2 shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares.

²  Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. In addition, Class A shares and Class A2 shares each reflect the deduction of the maximum initial sales charge of 5.75%. Class C shares reflect the deduction of a 1.00% CDSC, which applies if shares are redeemed within one year from purchase payment.

* Inception date for Class A, A2, C, I and IS shares are February 26, 2010, October 31, 2012, February 26, 2010, February 26, 2010 and December 15, 2011, respectively.

† Not annualized.

10 Legg Mason Strategic Real Return Fund 2012 Annual Report

Fund performance (unaudited) (cont’d)

Historical performance

Value of $10,000 invested in

Class A and C Shares of Legg Mason Strategic Real Return Fund vs. Barclays U.S. TIPS Index and the Composite Index consisting of 40% Barclays U.S. TIPS Index, 20% MSCI All Country World Index, 20% S&P GSCI^®, 10% FTSE NAREIT All REITs Index, 10% Citigroup 1-Month U.S. Treasury Bill Index, 40% hedge to USDX‡ — February 26, 2010 - November 2012

Value of $1,000,000 invested in

Class I Shares of Legg Mason Strategic Real Return Fund vs. Barclays U.S. TIPS Index and the Composite Index consisting of 40% Barclays U.S. TIPS Index, 20% MSCI All Country World Index, 20% S&P GSCI^®, 10% FTSE NAREIT All REITs Index, 10% Citigroup 1-Month U.S. Treasury Bill Index, 40% hedge to USDX‡ — February 26, 2010 - November 2012

Legg Mason Strategic Real Return Fund 2012 Annual Report 11

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower.

‡ Hypothetical illustration of $10,000 invested in Class A and C shares and $1,000,000 invested in Class I shares of Legg Mason Strategic Real Return Fund on February 26, 2010 (inception date), assuming the deduction of the maximum initial sales charge of 5.75% at the time of investment for Class A shares and the reinvestment of all distributions, including returns of capital, if any, at net asset value through November 30, 2012. The hypothetical illustration also assumes a $10,000 or $1,000,000 investment, as applicable, in the Barclays U.S. TIPS Index and the Composite Index. The Barclays U.S. TIPS Index represents an unmanaged market index made up of U.S. Treasury Inflation-Linked Index securities. The Composite Index reflects the blended rate of return of the following underlying indices: 40% Barclays U.S. TIPS Index, 20% MSCI All Country World Index, 20% S&P GSCI^®, 10% FTSE NAREIT All REITs Index and 10% Citigroup 1-Month U.S. Treasury Bill Index. The Composite Index is hedged to 40% exposure to the U.S. dollar, as defined by the USDX. Please note that an investor cannot invest directly in an index. The performance of the Fund’s other classes may be greater or less than the Class A, C and I shares’ performance indicated on these charts, depending on whether greater or lesser sales charges and fees were incurred by shareholders investing in the other classes.

12 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated schedule of investments

November 30, 2012

Legg Mason Strategic Real Return Fund

Security	Rate			Maturity Date	Face Amount†			Value
U.S. Treasury Inflation Protected Securities — 34.7%
U.S. Treasury Bonds, Inflation Indexed		2.375	%	1/15/25		2,859,982		$	3,896,948
U.S. Treasury Bonds, Inflation Indexed		2.000	%	1/15/26		2,383,938			3,156,482
U.S. Treasury Bonds, Inflation Indexed		1.750	%	1/15/28		1,325,304			1,735,217
U.S. Treasury Bonds, Inflation Indexed		3.625	%	4/15/28		650,887			1,043,605
U.S. Treasury Bonds, Inflation Indexed		2.500	%	1/15/29		366,404			529,311
U.S. Treasury Bonds, Inflation Indexed		3.875	%	4/15/29		1,857,808			3,115,601
U.S. Treasury Bonds, Inflation Indexed		2.125	%	2/15/40		1,359,471			2,029,328	(a)
U.S. Treasury Bonds, Inflation Indexed		2.125	%	2/15/41		412,051			619,943
U.S. Treasury Bonds, Inflation Indexed		0.750	%	2/15/42		778,202			871,039
U.S. Treasury Notes, Inflation Indexed		2.000	%	1/15/14		751,314			775,615
U.S. Treasury Notes, Inflation Indexed		0.500	%	4/15/15		1,815,005			1,892,143
U.S. Treasury Notes, Inflation Indexed		1.875	%	7/15/15		570,970			622,179
U.S. Treasury Notes, Inflation Indexed		2.000	%	1/15/16		2,471,369			2,744,378
U.S. Treasury Notes, Inflation Indexed		0.125	%	4/15/16		4,580,721			4,825,863
U.S. Treasury Notes, Inflation Indexed		2.500	%	7/15/16		509,828			586,939
U.S. Treasury Notes, Inflation Indexed		2.375	%	1/15/17		1,112,900			1,297,573
U.S. Treasury Notes, Inflation Indexed		0.125	%	4/15/17		1,833,624			1,967,279
U.S. Treasury Notes, Inflation Indexed		2.625	%	7/15/17		1,004,724			1,207,788
U.S. Treasury Notes, Inflation Indexed		1.625	%	1/15/18		1,590,365			1,851,781
U.S. Treasury Notes, Inflation Indexed		1.375	%	7/15/18		1,169,526			1,366,975
U.S. Treasury Notes, Inflation Indexed		2.125	%	1/15/19		678,926			828,926
U.S. Treasury Notes, Inflation Indexed		1.875	%	7/15/19		888,568			1,087,802
U.S. Treasury Notes, Inflation Indexed		1.125	%	1/15/21		2,739,417			3,240,859
U.S. Treasury Notes, Inflation Indexed		0.625	%	7/15/21		2,053,140			2,352,771
U.S. Treasury Notes, Inflation Indexed		0.125	%	1/15/22		1,594,726			1,749,588
U.S. Treasury Notes, Inflation Indexed		0.125	%	7/15/22		975,946			1,071,101
Total U.S. Treasury Inflation Protected Securities (Cost — $43,448,628)									46,467,034
Non-U.S. Treasury Inflation Protected Securities — 0.6%
Canada — 0.1%
Government of Canada, Bonds		4.250	%	12/1/26		41,671	CAD		68,024
United Kingdom — 0.5%
United Kingdom Treasury Gilt, Bonds		0.625	%	3/22/40		135,317	GBP		244,899	(b)
United Kingdom Treasury Gilt, Bonds		1.250	%	11/22/55		228,661	GBP		531,570
Total United Kingdom									776,469
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $852,216)									844,493

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 13

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Common Stocks — 19.6%
Consumer Discretionary — 1.5%
Automobiles — 0.6%
Hyundai Motor Co.		1,138	$	236,985
Kia Motors Corp.		4,702		268,785
Renault SA		3,000		150,038
Toyota Motor Corp.		3,900		167,241
Total Automobiles				823,049
Hotels, Restaurants & Leisure — 0.3%
Carnival Corp.		4,250		164,305
Whitbread PLC		4,000		153,742
Wyndham Worldwide Corp.		2,600		127,634
Total Hotels, Restaurants & Leisure				445,681
Household Durables — 0.2%
Jarden Corp.		5,470		289,418
Leisure Equipment & Products — 0.1%
Nikon Corp.		6,000		166,240
Media — 0.3%
Comcast Corp., Class A Shares		6,350		236,093
Modern Times Group, Class B Shares		3,100		103,856
Total Media				339,949
Total Consumer Discretionary				2,064,337
Consumer Staples — 2.7%
Beverages — 0.8%
Coca-Cola Enterprises Inc.		5,750		179,285
Fomento Economico Mexicano SA de CV, ADR		1,950		191,256
Heineken Holding NV		4,900		265,296
Heineken NV		3,700		244,018
Remy Cointreau SA		1,300		145,638
Total Beverages				1,025,493
Food Products — 1.0%
BRF — Brasil Foods SA, ADR		10,500		192,675
Dean Foods Co.		6,830		117,066	*
Nestle SA, Registered Shares		5,608		367,029
Suedzucker AG		4,900		193,029
Tate & Lyle PLC		17,800		220,446
Toyo Suisan Kaisha Ltd.		5,000		137,078
Unilever PLC		3,900		150,149
Total Food Products				1,377,472

See Notes to Consolidated Financial Statements.

14 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated schedule of investments (cont’d)

November 30, 2012

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Personal Products — 0.2%
Kao Corp.		8,400	$	230,596
Tobacco — 0.7%
Imperial Tobacco Group PLC		5,900		236,034
Japan Tobacco Inc.		6,100		182,774
KT&G Corp.		1,594		126,154
Philip Morris International Inc.		5,240		470,971
Total Tobacco				1,015,933
Total Consumer Staples				3,649,494
Energy — 1.7%
Energy Equipment & Services — 0.1%
TGS Nopec Geophysical Co. ASA		5,500		174,289
Oil, Gas & Consumable Fuels — 1.6%
BP PLC		40,750		281,781
Chevron Corp.		2,022		213,705
ConocoPhillips		2,980		169,681
Exxon Mobil Corp.		5,257		463,352
Marathon Petroleum Corp.		1,622		96,574
Pacific Rubiales Energy Corp.		4,400		95,986
Petroleo Brasileiro SA, ADR		8,070		141,629
Phillips 66		1,490		78,031
Suncor Energy Inc.		5,300		173,190
Total SA		3,900		195,151
Valero Energy Corp.		6,580		212,271
Total Oil, Gas & Consumable Fuels				2,121,351
Total Energy				2,295,640
Financials — 5.9%
Commercial Banks — 3.2%
Australia & New Zealand Banking Group Ltd.		11,271		286,532
Bank of China Ltd.		378,000		159,488
Bank of Nova Scotia		3,000		169,125
Canadian Imperial Bank of Commerce		3,100		250,284
China Construction Bank, Class H Shares		258,000		197,739
Commerce Bancshares Inc.		4,278		153,056
Commonwealth Bank of Australia		1,483		92,380
DBS Group Holdings Ltd.		13,000		153,900
Fifth Third Bancorp		14,350		210,084
Grupo Financiero Banorte SAB de CV, Series O Shares		16,700		95,305
HSBC Holdings PLC		12,900		131,798

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 15

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Commercial Banks — continued
Industrial & Commercial Bank of China Ltd., Class H Shares		331,765	$	223,882
National Bank of Canada		3,000		234,298
Royal Bank of Canada		6,300		373,554
Sumitomo Mitsui Financial Group Inc.		7,400		238,243
Swedbank AB, Class A Shares		13,500		249,371
U.S. Bancorp		10,680		344,537
Wells Fargo & Co.		17,550		579,326
Westpac Banking Corp.		3,009		80,075
Total Commercial Banks				4,222,977
Consumer Finance — 0.2%
American Express Co.		1,640		91,676
ORIX Corp.		1,780		178,572
Total Consumer Finance				270,248
Diversified Financial Services — 0.2%
JPMorgan Chase & Co.		3,263		134,044
London Stock Exchange Group PLC		10,000		156,610
Total Diversified Financial Services				290,654
Insurance — 1.7%
AFLAC Inc.		4,911		260,234
Allianz AG, Registered Shares		2,011		261,410
Allstate Corp.		3,245		131,358
American Financial Group Inc.		3,397		134,691
Assurant Inc.		2,896		99,072
Hannover Rueckversicherung AG		3,000		221,029
Legal & General Group PLC		93,200		217,560
Mapfre SA		46,400		130,467
Muenchener Rueckversicherungs-Gesellschaft AG (MunichRe), Registered Shares		1,400		238,976
PICC Property & Casualty Co., Ltd.		98,000		126,322
Protective Life Corp.		6,560		178,104
Prudential Financial Inc.		3,880		202,225
Total Insurance				2,201,448
Real Estate Investment Trusts (REITs) — 0.4%
CBL & Associates Properties Inc.		11,330		255,038
Stockland		36,633		129,600
Suntec Real Estate Investment Trust		137,000		181,829
Total Real Estate Investment Trusts (REITs)				566,467

See Notes to Consolidated Financial Statements.

16 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated schedule of investments (cont’d)

November 30, 2012

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Real Estate Management & Development — 0.2%
China Overseas Land & Investment Ltd.		50,000	$	147,416
Evergrande Real Estate Group Ltd.		313,000		156,294
Total Real Estate Management & Development				303,710
Total Financials				7,855,504
Health Care — 2.8%
Health Care Providers & Services — 0.7%
Aetna Inc.		4,860		209,903
Humana Inc.		1,944		127,157
McKesson Corp.		2,700		255,069
UnitedHealth Group Inc.		4,930		268,143
WellPoint Inc.		1,789		100,005
Total Health Care Providers & Services				960,277
Pharmaceuticals — 2.1%
Abbott Laboratories		6,246		405,990
AstraZeneca PLC		6,560		311,782
Dr. Reddy's Laboratories Ltd., ADR		4,230		141,874
Eli Lilly & Co.		3,700		181,448
Endo Pharmaceuticals Holdings Inc.		6,031		172,849	*
GlaxoSmithKline PLC		6,543		139,894
Merck & Co. Inc.		6,016		266,509
Novartis AG, Registered Shares		2,944		182,193
Novo Nordisk A/S, Class B Shares		1,700		269,982
Pfizer Inc.		9,138		228,633
Roche Holding AG		1,700		334,607
Watson Pharmaceuticals Inc.		2,250		198,023	*
Total Pharmaceuticals				2,833,784
Total Health Care				3,794,061
Industrials — 2.0%
Aerospace & Defense — 0.8%
BAE Systems PLC		44,600		233,875
Boeing Co.		3,350		248,838
General Dynamics Corp.		3,400		226,100
Lockheed Martin Corp.		2,670		249,111
Safran SA		3,900		159,722
Total Aerospace & Defense				1,117,646
Construction & Engineering — 0.1%
Outotec OYJ		3,400		179,351

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 17

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Electrical Equipment — 0.1%
Sumitomo Electric Industries Ltd.		6,900	$	74,411
Industrial Conglomerates — 0.4%
DCC PLC		4,771		143,954
General Electric Co.		8,283		175,020
United Technologies Corp.		2,230		178,645
Total Industrial Conglomerates				497,619
Machinery — 0.2%
Cummins Inc.		1,600		157,056
Metso Corp.		4,200		157,916
Total Machinery				314,972
Road & Rail — 0.4%
Central Japan Railway Co.		2,500		198,035
Union Pacific Corp.		2,050		251,699
Total Road & Rail				449,734
Total Industrials				2,633,733
Information Technology — 0.4%
Computers & Peripherals — 0.1%
Hewlett-Packard Co.		10,100		131,199
Electronic Equipment, Instruments & Components — 0.2%
Hitachi Ltd.		35,000		202,099
Tech Data Corp.		1,944		85,866	*
Total Electronic Equipment, Instruments & Components				287,965
Software — 0.1%
CA Inc.		5,650		125,204
Total Information Technology				544,368
Materials — 1.6%
Chemicals — 1.2%
Agrium Inc.		2,700		275,721
BASF SE		4,000		358,432
Huntsman Corp.		12,050		198,102
Lanxess AG		2,600		226,319
PPG Industries Inc.		2,470		306,947
Ube Industries Ltd.		44,000		91,272
Yara International ASA		3,900		195,604
Total Chemicals				1,652,397
Metals & Mining — 0.4%
BHP Billiton Ltd.		3,701		132,827
Korea Zinc Co., Ltd.		487		196,311

See Notes to Consolidated Financial Statements.

18 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated schedule of investments (cont’d)

November 30, 2012

Legg Mason Strategic Real Return Fund

Security	Shares		Value
Metals & Mining — continued
Voestalpine AG		3,900	$	125,916
Total Metals & Mining				455,054
Total Materials				2,107,451
Telecommunication Services — 0.3%
Wireless Telecommunication Services — 0.3%
KDDI Corp.		2,200		162,795
SoftBank Corp.		5,000		187,420
Total Telecommunication Services				350,215
Utilities — 0.7%
Electric Utilities — 0.5%
American Electric Power Co. Inc.		5,650		240,972
Cheung Kong Infrastructure Holdings Ltd.		35,000		212,704
Enel SpA		48,000		181,911
Total Electric Utilities				635,587
Gas Utilities — 0.1%
Gas Natural SDG SA		7,303		113,358
Multi-Utilities — 0.1%
GDF Suez		6,500		146,205
Total Utilities				895,150
Total Common Stocks (Cost — $22,773,278)				26,189,953
Investments in Underlying Funds — 25.1%
iShares Trust — iShares Barclays TIPS Bond Fund		23,909		2,938,655
iShares Trust — iShares MSCI EAFE Index Fund		94,423		5,201,763
SPDR Series Trust — SPDR Barclays High Yield Bond ETF		65,699		2,664,752
Vanguard Index Funds — Vanguard Total Stock Market Fund, ETF Shares		71,274		5,194,449
Vanguard Specialized Funds — Vanguard REIT Index Fund, ETF Shares		272,787		17,515,653
Total Investments in Underlying Funds (Cost — $30,406,773)				33,515,272
Preferred Stocks — 0.3%
Financials — 0.2%
Commercial Banks — 0.2%
Itau Unibanco Holding SA		10,500		157,932
Itausa — Investimentos Itau SA		34,131		153,820
Total Financials				311,752
Utilities — 0.1%
Independent Power Producers & Energy Traders — 0.1%
Cia Energetica de Sao Paulo		9,200		75,131
Total Preferred Stocks (Cost — $527,751)				386,883
Total Investments before Short-Term Investments (Cost — $98,008,646)				107,403,635

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 19

Legg Mason Strategic Real Return Fund

Security	Rate			Maturity Date	Face Amount†		Value
Short-Term Investments — 11.1%
Repurchase Agreements — 11.1%
Interest in $50,000,000 joint tri-party repurchase agreement dated 11/30/12 with RBS Securities Inc.; Proceeds at maturity — $14,864,235; (Fully collateralized by U.S. government agency obligations, 0.875% due 1/31/17; Market value — $15,162,251) (Cost — $14,864,000)		0.190	%	12/3/12		14,864,000	$	14,864,000
Total Investments — 91.4% (Cost — $112,872,646#)								122,267,635
Other Assets in Excess of Liabilities — 8.6%								11,569,964
Total Net Assets — 100.0%							$	133,837,599

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

* Non-income producing security.

^(a)  All or a portion of this security is held at the broker as collateral for open futures contracts.

^(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, unless otherwise noted.

# Aggregate cost for federal income tax purposes is $113,372,783.

Abbreviations used in this schedule:
ADR	— American Depositary Receipts
CAD	— Canadian Dollar
GBP	— British Pound

Schedule of Written Options
Security	Expiration Date		Strike Price		Contracts		Value
U.S. Treasury 30-Year Notes Futures, Call (Premiums received — $8,093)		12/21/12	$	151.00		10	$	7,188

See Notes to Consolidated Financial Statements.

20 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated statement of assets and liabilities

November 30, 2012

Assets:
Investments, at value (Cost — $98,008,646)	$	107,403,635
Repurchase agreements, at value (Cost — $14,864,000)		14,864,000
Foreign currency, at value (Cost — $626,971)		627,600
Cash		7,188,597
Receivable for securities sold		2,772,775
Deposits with brokers for swap contracts		1,920,000
Swaps, at value (net premiums paid — $0)		462,006
Interest and dividends receivable		289,635
Deposits with brokers for open futures contracts		283,898
Unrealized appreciation on forward foreign currency contracts		172,626
Foreign currency collateral for open futures contracts, at value (Cost — $106,835)		108,652
Receivable from broker — variation margin on open futures contracts		49,578
Receivable for Fund shares sold		18,146
Prepaid expenses		49,728
Total Assets		136,210,876
Liabilities:
Payable for securities purchased		1,854,390
Unrealized depreciation on forward foreign currency contracts		262,846
Payable for Fund shares repurchased		116,426
Investment management fee payable		48,735
Written options, at value (premiums received — $8,093)		7,188
Service and/or distribution fees payable		3,035
Payable for open swap contracts		2,269
Accrued expenses		78,388
Total Liabilities		2,373,277
Total Net Assets	$	133,837,599
Net Assets:
Par value (Note 7)	$	94
Paid-in capital in excess of par value		122,344,491
Undistributed net investment income		2,234,379
Accumulated net realized loss on investments, futures contracts, written options, swap contracts and foreign currency transactions		(558,781)
Net unrealized appreciation on investments, futures contracts, written options, swap contracts and foreign currencies		9,817,416
Total Net Assets	$	133,837,599

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 21

Shares Outstanding:
Class A	534,814
Class A2	10,888
Class C	128,477
Class I	43,159
Class IS	8,715,236
Net Asset Value:
Class A (and redemption price)	$14.16
Class A2 (and redemption price)	$14.16
Class C*	$14.07
Class I (and redemption price)	$14.19
Class IS (and redemption price)	$14.19
Maximum Public Offering Price Per Share:
Class A (based on maximum initial sales charge of 5.75%)	$15.02
Class A2 (based on maximum initial sales charge of 5.75%)	$15.02

* Redemption price per share is NAV of Class C shares reduced by a 1.00% CDSC if shares are redeemed within one year from purchase payment (See Note 2).

See Notes to Consolidated Financial Statements.

22 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated statement of operations

For the Year Ended November 30, 2012

Investment Income:
Dividends	$	2,007,385
Interest		808,363
Less: Foreign taxes withheld		(58,311)
Total Investment Income		2,757,437
Expenses:
Investment management fee (Note 2)		1,009,115
Custody fees		86,077
Registration fees		82,623
Audit and tax		71,093
Shareholder reports		46,674
Legal fees		44,156
Trustees’ fees		41,302
Transfer agent fees (Note 5)		39,616
Service and/or distribution fees (Notes 2 and 5)		37,951
Fund accounting fees		30,293
Insurance		2,147
Fees recaptured by investment manager (Note 2)		271
Miscellaneous expenses		6,871
Total Expenses		1,498,189
Less: Fee waivers and/or expense reimbursements (Notes 2 and 5)		(152,330)
Net Expenses		1,345,859
Net Investment Income		1,411,578
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions (Notes 1, 3 and 4):
Net Realized Gain (Loss) From:
Investment transactions		924,873
Futures contracts		(803,630)
Written options		270,546
Swap contracts		(518,839)
Foreign currency transactions		994,907
Net Realized Gain		867,857
Change in Net Unrealized Appreciation (Depreciation) From:
Investments		7,163,275
Futures contracts		179,754
Written options		(1,175)
Swap contracts		397,008
Foreign currencies		(198,119)
Change in Net Unrealized Appreciation (Depreciation)		7,540,743
Net Gain on Investments, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions		8,408,600
Increase in Net Assets from Operations	$	9,820,178

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 23

Consolidated statements of changes in net assets

For the Years Ended November 30,	2012		2011
Operations:
Net investment income	$	1,411,578	$	318,397
Net realized gain		867,857		656,596
Change in net unrealized appreciation (depreciation)		7,540,743		1,586,174
Increase in Net Assets From Operations		9,820,178		2,561,167
Distributions to Shareholders From (Notes 1 and 6):
Net investment income		(1,145,023)		(770,001)
Net realized gains		(85,338)		—
Decrease in Net Assets From Distributions to Shareholders		(1,230,361)		(770,001)
Fund Share Transactions (Note 7):
Net proceeds from sale of shares		131,022,701		131,570,484
Reinvestment of distributions		1,229,108		121,145
Cost of shares repurchased		(138,547,581)		(21,239,185)
Increase (Decrease) in Net Assets From Fund Share Transactions		(6,295,772)		110,452,444
Increase in Net Assets		2,294,045		112,243,610
Net Assets:
Beginning of year		131,543,554		19,299,944
End of year*	$	133,837,599	$	131,543,554
*   Includes undistributed net investment income of:		$2,234,379		$966,077

See Notes to Consolidated Financial Statements.

24 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated financial highlights

For a share of each class of beneficial interest outstanding throughout each year ended November 30, unless otherwise noted:
Class A Shares1	2012			2011			20102
Net asset value, beginning of year		$13.27			$12.73			$12.00
Income from operations:
Net investment income		0.10			0.18			0.06
Net realized and unrealized gain		0.87			0.87			0.67
Total income from operations		0.97			1.05			0.73
Less distributions from:
Net investment income		(0.07)			(0.51)			—
Net realized gains		(0.01)			—			—
Total distributions		(0.08)			(0.51)			—
Net asset value, end of year		$14.16			$13.27			$12.73
Total return3		7.39	%		8.42	%		6.08	%
Net assets, end of year (000s)		$7,573			$7,201			$17,464
Ratios to average net assets:
Gross expenses4		1.51	%		2.46	%		4.81	%5
Net expenses4,6,7,8		1.31			1.31			1.26	5
Net investment income		0.75			1.33			0.63	5
Portfolio turnover rate		66	%		70	%		42	%

¹  Per share amounts have been calculated using the average shares method.

²  For the period February 26, 2010 (inception date) to November 30, 2010.

³  Performance figures, exclusive of sales charges, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

⁴  Does not include expenses of the underlying funds in which the Fund invests.

⁵  Annualized.

⁶  As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets of Class A shares did not exceed 1.35%. This expense limitation arrangement cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent. Acquired fund fees and expenses are subject to the expense limitation arrangement.

⁷  Reflects fee waivers and/or expense reimbursements.

⁸  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 25

For a share of each class of beneficial interest outstanding throughout each year ended November 30, unless otherwise noted:
Class A2 Shares1	20122
Net asset value, beginning of period		$14.01
Income from operations:
Net investment income		0.01
Net realized and unrealized gain		0.14
Total income from operations		0.15
Net asset value, end of period		$14.16
Total return3		1.07	%
Net assets, end of period (000s)		$154
Ratios to average net assets:
Gross expenses4,5		1.74	%
Net expenses4,5,6,7,8		1.51
Net investment income5		1.20
Portfolio turnover rate		66	%

¹  Per share amounts have been calculated using the average shares method.

²  For the period October 31, 2012 (inception date) to November 30, 2012.

³  Performance figures, exclusive of sales charges, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

⁴  Does not include expenses of the underlying funds in which the Fund invests.

⁵  Annualized.

⁶  As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets of Class A2 shares did not exceed 1.55%. This expense limitation arrangement cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent. Acquired fund fees and expenses are subject to the expense limitation arrangement.

⁷  Reflects fee waivers and/or expense reimbursements.

⁸  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Consolidated Financial Statements.

26 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated financial highlights (cont’d)

For a share of each class of beneficial interest outstanding throughout each year ended November 30, unless otherwise noted:
Class C Shares1	2012			2011			20102
Net asset value, beginning of year		$13.22			$12.66			$12.00
Income (loss) from operations:
Net investment income (loss)		(0.00)	3		0.08			(0.02)
Net realized and unrealized gain		0.86			0.89			0.68
Total income from operations		0.86			0.97			0.66
Less distributions from:
Net investment income		(0.00)	3		(0.41)			—
Net realized gains		(0.01)			—			—
Total distributions		(0.01)			(0.41)			—
Net asset value, end of year		$14.07			$13.22			$12.66
Total return4		6.52	%		7.79	%		5.50	%
Net assets, end of year (000s)		$1,808			$2,061			$1,013
Ratios to average net assets:
Gross expenses5		2.45	%		3.41	%		5.44	%6
Net expenses5,7,8,9		2.06			2.06			2.01	6
Net investment income (loss)		(0.02)			0.57			(0.22)	6
Portfolio turnover rate		66	%		70	%		42	%

¹  Per share amounts have been calculated using the average shares method.

²  For the period February 26, 2010 (inception date) to November 30, 2010.

³  Amount represents less than $0.01 per share.

⁴  Performance figures, exclusive of CDSC, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

⁵  Does not include expenses of the underlying funds in which the Fund invests.

⁶  Annualized.

⁷  As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets of Class C shares did not exceed 2.10%. This expense limitation arrangement cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent. Acquired fund fees and expenses are subject to the expense limitation arrangement.

⁸  Reflects fee waivers and/or expense reimbursements.

⁹  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 27

For a share of each class of beneficial interest outstanding throughout each year ended November 30, unless otherwise noted:
Class I Shares1	2012			2011			20102
Net asset value, beginning of year		$13.30			$12.75			$12.00
Income (loss) from operations:
Net investment income (loss)		(0.04)			0.07			0.05
Net realized and unrealized gain		1.05			1.03			0.70
Total income from operations		1.01			1.10			0.75
Less distributions from:
Net investment income		(0.11)			(0.55)			—
Net realized gains		(0.01)			—			—
Total distributions		(0.12)			(0.55)			—
Net asset value, end of year		$14.19			$13.30			$12.75
Total return3		7.64	%		8.76	%		6.25	%
Net assets, end of year (000s)		$613			$122,282			$823
Ratios to average net assets:
Gross expenses4		1.22	%		1.61	%		4.67	%5
Net expenses4,6,7,8		1.06			1.06			1.01	5
Net investment income (loss)		(0.32)			0.61			0.50	5
Portfolio turnover rate		66	%		70	%		42	%

¹  Per share amounts have been calculated using the average shares method.

²  For the period February 26, 2010 (inception date) to November 30, 2010.

³  Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

⁴  Does not include expenses of the underlying funds in which the Fund invests.

⁵  Annualized.

⁶  As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets of Class I shares did not exceed 1.10%. This expense limitation arrangement cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent. Acquired fund fees and expenses are subject to the expense limitation arrangement.

⁷  Reflects fee waivers and/or expense reimbursements.

⁸  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Consolidated Financial Statements.

28 Legg Mason Strategic Real Return Fund 2012 Annual Report

Consolidated financial highlights (cont’d)

For a share of each class of beneficial interest outstanding throughout each year ended November 30, unless otherwise noted:
Class IS Shares1	20122
Net asset value, beginning of period		$ 12.99
Income from operations:
Net investment income		0.15
Net realized and unrealized gain		1.17
Total income from operations		1.32
Less distributions from:
Net investment income		(0.12)
Net realized gains		(0.00)	3
Total distributions		(0.12)
Net asset value, end of period		$14.19
Total return4		10.25	%
Net assets, end of period (000s)		$123,690
Ratios to average net assets:
Gross expenses5,6		1.06	%
Net expenses5,6,7,8,9		0.96
Net investment income6		1.16
Portfolio turnover rate		66	%

¹  Per share amounts have been calculated using the average shares method.

²  For the period December 15, 2011 (inception date) to November 30, 2012.

³  Amount represents less than $0.01 per share.

⁴  Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

⁵  Does not include expenses of the underlying funds in which the Fund invests.

⁶  Annualized.

⁷  As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses, to average net assets of Class IS shares did not exceed 1.00%. In addition, total annual operating expenses for Class IS shares did not exceed total annual operating expenses for Class I shares. This expense limitation arrangement cannot be terminated prior to December 31, 2014 without the Board of Trustees’ consent. Acquired fund fees and expenses are subject to the expense limitation arrangement.

⁸  Reflects fee waivers and/or expense reimbursements.

⁹  The impact of compensating balance arrangements, if any, was less than 0.01%.

See Notes to Consolidated Financial Statements.

Legg Mason Strategic Real Return Fund 2012 Annual Report 29

Notes to consolidated financial statements

1. Organization and significant accounting policies

Legg Mason 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. These financial statements are consolidated financial statements 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”). 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 consolidated financial statements were issued.

(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. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. 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.

30 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

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 American 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 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:

Ÿ Level 1 — quoted prices in active markets for identical investments

Ÿ Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

Ÿ Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Legg Mason Strategic Real Return Fund 2012 Annual Report 31

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		—	$	46,467,034		—	$	46,467,034
Non-U.S. Treasury inflation protected securities		—		844,493		—		844,493
Common stocks	$	26,189,953		—		—		26,189,953
Investments in underlying funds		33,515,272		—		—		33,515,272
Preferred stocks		386,883		—		—		386,883
Total long-term investments	$	60,092,108	$	47,311,527		—	$	107,403,635
Short-term investments†		—		14,864,000		—		14,864,000
Total investments	$	60,092,108	$	62,175,527		—	$	122,267,635
Other financial instruments:
Futures contracts	$	49,733		—		—	$	49,733
Forward foreign currency contracts		—	$	172,626		—		172,626
Commodity index swaps		—		462,006		—		462,006
Total other financial instruments	$	49,733	$	634,632		—	$	684,365
Total	$	60,141,841	$	62,810,159		—	$	122,952,000

LIABILITIES
Description	Quoted Prices (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Other financial instruments:
Written options	$	7,188		—		—	$	7,188
Futures contracts		1,584		—		—		1,584
Forward foreign currency contracts		—	$	262,846		—		262,846
Total	$	8,772	$	262,846		—	$	271,618

† See Consolidated Schedule of Investments for additional detailed categorizations.

For the year ended November 30, 2012, as a result of the fair value pricing procedures for international equities utilized by the Fund, certain securities have transferred in and out of Level 1 and Level 2 measurements during the period. The Fund’s policy is to recognize transfers between levels as of the end of the reporting period. At November 30, 2012, securities valued at $9,705,373 were transferred from Level 2 to Level 1 within the fair value hierarchy.

32 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

(c) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes, including commodity markets. 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 cash equivalents 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, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. The daily changes in contract value are recorded as unrealized gains or losses in the Consolidated 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 consolidated 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.

(d) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to maintain its target exposure to foreign currencies, to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities, to facilitate settlement of a foreign currency denominated portfolio transaction or to attempt to increase the Fund’s return. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with

Legg Mason Strategic Real Return Fund 2012 Annual Report 33

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.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Consolidated 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.

(e) Written options. The Fund writes options to attempt to increase the Fund’s return, as a substitute for investing directly in a security or to attempt to hedge the Fund’s investments. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.

The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. 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.

(f) Swap agreements.The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes, including to increase the Fund’s return. The use of swaps involves risks that are different from those associated with other portfolio transactions.

Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may

34 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Consolidated Schedule of Investments and restricted cash, if any, is identified on the Consolidated Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Consolidated Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, and the possible lack of liquidity with respect to the swap agreements.

Payments received or made at the beginning of the measurement period are reflected as a premium or deposit, respectively, on the Consolidated Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Consolidated Statement of Operations. Net periodic payments received or paid by the Fund are recognized as a realized gain or loss in the Consolidated Statement of Operations.

For average notional amounts of swaps held during the year ended November 30, 2012, see Note 4.

Commodity index swaps

The Fund enters into commodity swaps for the purposes of managing its exposure to commodity markets. Commodity swaps are agreements between two parties to exchange cash flows based upon changes to a commodity reference price for a specified notional principal amount. To the extent the commodity reference price exceeds the offsetting interest obligation, the Fund will receive a payment from the counterparty. To the extent it is less, the Fund will make a payment to the counterparty. The risks of commodity swaps include changes in market conditions that will affect the value of the contract or changes in the present value of the future cash flow streams and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that the amount is positive.

(g) 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

Legg Mason Strategic Real Return Fund 2012 Annual Report 35

amounts actually received or paid. Net 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.

(h) Inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value or interest rate is periodically adjusted according to the rate of inflation. As the index measuring inflation changes, the principal value or interest rate of inflation-indexed bonds will be adjusted accordingly. Inflation adjustments to the principal amount of inflation-indexed bonds are reflected as an increase or decrease to investment income on the Consolidated Statement of Operations. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

(i) 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.

(j) 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 investment manager 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 investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit

36 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

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.

As of November 30, 2012, the Fund held written options and forward foreign currency contracts with credit related contingent features which had a liability position of $270,034. 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.

(k) Security transactions and investment income.Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. 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.

(l) Distributions to shareholders.Distributions from net investment income and distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(m) REIT distributions. The character of distributions received from Real Estate Investment Trusts (“REITs”) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.

(n) Compensating balance arrangements.The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.

(o) Share class accounting.Investment income, common expenses and realized/unrealized gains (losses) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Fees relating to a specific class are charged directly to that share class.

(p) 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

Legg Mason Strategic Real Return Fund 2012 Annual Report 37

or state income tax provision is required in the Fund’s consolidated 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 November 30, 2012, no provision for income tax is required in the Fund’s consolidated 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.

(q) 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, the following reclassifications have been made:

	Undistributed Net Investment Income		Accumulated Net Realized Loss		Paid-in Capital
(a)	$	495		—	$	(495)
(b)		1,001,252	$	(1,001,252)		—

^(a)  Reclassifications are primarily due to various book/tax differences.

^(b)  Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes, book/tax differences in the treatment of passive foreign investment companies and book/tax differences in the treatment of distributions.

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager. Legg Mason Global Asset Allocation, LLC (“LMGAA”) is the Fund’s investment adviser. Batterymarch Financial Management, Inc. (“Batterymarch”), ClearBridge Investments, LLC (formerly ClearBridge Advisors, LLC) (“ClearBridge”), Western Asset Management Company (“Western Asset”), Western Asset Management Company Limited (“Western Asset Limited”), and Western Asset Management Company Ltd (“Western Japan”) are the Fund’s subadvisers. LMPFA, LMGAA, Batterymarch, ClearBridge, Western Asset, Western Asset Limited and Western Japan are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”). ClearBridge did not manage any portion of the Fund’s assets during the reporting period.

Under the investment management agreement, the Fund pays LMPFA an investment management fee, calculated daily and paid monthly, at an annual rate of 0.75% of the Fund’s average daily net assets.

LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to LMGAA the day-to-day portfolio management of the Fund. LMGAA is responsible for monitoring and coordinating the overall management of the Fund, including rebalancing the Fund’s target asset allocations among itself and the subadvisers. LMGAA also provides management for a portion of the Fund’s assets.

38 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

LMPFA pays LMGAA for its services to the Fund an advisory fee, calculated daily and paid monthly, at an annual rate of 0.20% of the Fund’s average daily net assets. The Subsidiary has agreed to reimburse the Fund for the fees paid thereby for the services provided by LMGAA to the Subsidiary. LMPFA pays Batterymarch for its services to the Fund a subadvisory fee, calculated daily and paid monthly, at an annual rate of 0.45% of the average daily net assets managed by Batterymarch. LMPFA pays ClearBridge for its services to the Fund a subadvisory fee, calculated daily and paid monthly, at an annual rate of 0.35% of the average daily net assets managed by ClearBridge. LMPFA pays Western Asset for its services to the Fund a subadvisory fee, calculated daily and paid monthly, at an annual rate of 0.25% of the average daily net assets managed by Western Asset. Western Asset pays Western Asset Limited for its services to the Fund a subadvisory fee, calculated daily and paid monthly, at an annual rate of 0.25% of the average daily net assets managed by Western Asset Limited. Western Asset pays Western Japan for its services to the Fund a subadvisory fee, calculated daily and paid monthly, at an annual rate of 0.25% of the average daily net assets managed by Western Japan.

The investment manager has agreed to waive fees and/or reimburse operating expenses (other than interest, brokerage commissions (except for brokerage commissions paid on purchases and sales of shares of ETFs), dividend expense on short sales, taxes and extraordinary expenses), subject to recapture as described below. As a result, total annual operating expenses did not exceed 1.35%, 1.55%, 2.10%, 1.10% and 1.00% for Class A, Class A2, Class C, Class I and Class IS shares, respectively. In addition, the total annual operating expenses for Class IS shares did not exceed the total annual operating expenses for Class I shares. Acquired fund fees and expenses are subject to the expense limitation arrangements, and are calculated based on an average of the net expense ratio (as shown in the most recent prospectus or shareholder report for each acquired fund as of the date of the Fund’s most recent prospectus) of each acquired fund held by the Fund, weighted in proportion to the Fund’s investment allocation among the acquired funds. These arrangements are expected to continue until December 31, 2014, may be terminated prior to that date by agreement of the investment manager and the Board of Trustees, and may be terminated at any time after that date by the investment manager. The arrangements, however, may be modified by the investment manager to decrease total annual operating expenses at any time.

During the year ended November 30, 2012, fees waived and/or expenses reimbursed amounted to $152,330.

The investment manager is permitted to recapture amounts waived or reimbursed to a class within three years after the fiscal year in which the investment manager earned the fee or incurred the expense if the class’ total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the investment manager recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual operating expenses exceeding the expense cap or any other lower limit then in effect.

Legg Mason Strategic Real Return Fund 2012 Annual Report 39

Pursuant to these arrangements, at November 30, 2012, the Fund had remaining fee waivers and/or expense reimbursements subject to recapture by LMPFA and respective dates of expiration as follows:

	Class A		Class A2		Class C		Class I		Class IS
Expires November 30, 2013	$	429,862		—	$	17,775	$	10,234		—
Expires November 30, 2014		244,026		—		22,789		25,008		—
Expires November 30, 2015		15,770	$	11		7,129		10,565	$	118,855
Total fee waivers/expense reimbursements subject to recapture	$	689,658	$	11	$	47,693	$	45,807	$	118,855

During the year ended November 30, 2012, LMPFA recaptured $271 for Class I shares.

Legg Mason Investor Services, LLC (“LMIS”), a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the Fund’s sole and exclusive distributor.

There is a maximum initial sales charge of 5.75% for Class A shares and Class A2 shares. There is a contingent deferred sales charge (“CDSC”) of 1.00% on Class C shares, which applies if redemption occurs within 12 months from purchase payment. In certain cases, Class A shares and Class A2 shares have a 1.00% CDSC, which applies if redemption occurs within 18 months from purchase payment (or within 12 months for Class A shares purchased prior to August 1, 2012). This CDSC only applies to those purchases of Class A shares and Class A2 shares, which, when combined with current holdings of other shares of funds sold by LMIS, equal or exceed $1,000,000 in the aggregate. These purchases do not incur an initial sales charge.

For the year ended November 30, 2012, LMIS and its affiliates received sales charges of $5,510 and $370 on sales of the Fund’s Class A shares and Class A2 shares, respectively. In addition, for the year ended November 30, 2012 CDSCs paid to LMIS and its affiliates were:

	Class A		Class A2		Class C
CDSCs		—		—	$	820

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

As of November 30, 2012, Legg Mason and its affiliates owned 92% of the Fund.

3. Investments

During the year ended November 30, 2012, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S Government & Agency Obligations were as follows:

	Investments		U.S. Government & Agency Obligations
Purchases	$	43,284,598	$	28,710,896
Sales		46,130,043		30,650,393

40 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

At November 30, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Gross unrealized appreciation	$	9,490,891
Gross unrealized depreciation		(596,039)
Net unrealized appreciation	$	8,894,852

During the year ended November 30, 2012, written option transactions for the Fund were as follows:

	Number of Contracts		Premiums
Written options, outstanding as of November 31, 2011		—		—
Options written		367	$	211,198
Options closed		(195)		(151,022)
Options exercised		(20)		(9,310)
Options expired		(142)		(42,773)
Written options, outstanding as of November 30, 2012		10	$	8,093

At November 30, 2012, the Fund had the following open futures contracts:

	Number of Contracts		Expiration Date		Basis Value		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
S&P GSCI		12		12/12	$	1,895,767	$	1,945,500	$	49,733
Contracts to Sell:
U.S. Treasury 30-Year Bonds		2		3/13		298,541		300,125		(1,584)
Net unrealized gain on open futures contracts									$	48,149

At November 30, 2012, the Fund had the following open forward foreign currency contracts:

Foreign Currency	Counterparty	Local Currency		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Australian Dollar	Bank of America, N.A.		5,512,000	$	5,745,644		12/19/12	$	9,747
Australian Dollar	Bank of America, N.A.		543,000		566,017		12/19/12		7,046
Australian Dollar	Bank of America, N.A.		703,000		732,799		12/19/12		20,278
Australian Dollar	Bank of America, N.A.		671,000		699,443		12/19/12		19,144
Australian Dollar	Bank of America, N.A.		631,000		657,747		12/19/12		8,573
Australian Dollar	Morgan Stanley & Co. Inc.		926,000		965,252		12/19/12		21,854
Australian Dollar	UBS AG		489,000		509,728		12/19/12		4,764
Canadian Dollar	Morgan Stanley & Co. Inc.		5,629,000		5,664,859		12/19/12		(112,498)
Canadian Dollar	Morgan Stanley & Co. Inc.		883,000		888,625		12/19/12		(7,050)
Canadian Dollar	Morgan Stanley & Co. Inc.		732,000		736,663		12/19/12		1,035
Canadian Dollar	UBS AG		505,000		508,217		12/19/12		(3,706)
Canadian Dollar	UBS AG		611,000		614,892		12/19/12		(9,290)
Canadian Dollar	UBS AG		677,000		681,313		12/19/12		(9,452)
Canadian Dollar	UBS AG		668,000		672,255		12/19/12		(6,965)
Mexican Peso	Bank of America, N.A.		110,605,000		8,540,098		12/19/12		(69,707)

Legg Mason Strategic Real Return Fund 2012 Annual Report 41

Foreign Currency	Counterparty	Local Currency		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy: continued
Mexican Peso	Bank of America, N.A.		10,952,000	$	845,632		12/19/12	$	4,217
Mexican Peso	Bank of America, N.A.		16,882,000		1,303,503		12/19/12		3,031
Mexican Peso	UBS AG		12,652,000		976,894		12/19/12		(224)
Mexican Peso	UBS AG		13,737,000		1,060,669		12/19/12		276
Mexican Peso	UBS AG		11,949,000		922,613		12/19/12		(3,236)
Mexican Peso	UBS AG		12,127,000		936,357		12/19/12		(1,925)
New Zealand Dollar	Bank of America, N.A.		6,989,000		5,731,966		12/19/12		(16,033)
New Zealand Dollar	Bank of America, N.A.		921,000		755,350		12/19/12		5,434
New Zealand Dollar	Bank of America, N.A.		770,000		631,509		12/19/12		3,548
New Zealand Dollar	UBS AG		634,000		519,969		12/19/12		441
New Zealand Dollar	UBS AG		1,027,000		842,285		12/19/12		(2,255)
New Zealand Dollar	UBS AG		839,000		688,098		12/19/12		5,538
New Zealand Dollar	UBS AG		772,000		633,149		12/19/12		2,459
Norwegian Krone	Bank of America, N.A.		16,468,000		2,905,666		12/19/12		27,789
Norwegian Krone	Bank of America, N.A.		1,544,000		272,428		12/19/12		4,776
Norwegian Krone	Bank of America, N.A.		1,925,000		339,653		12/19/12		3,115
Norwegian Krone	Bank of America, N.A.		2,044,000		360,650		12/19/12		5,791
Norwegian Krone	UBS AG		2,350,000		414,641		12/19/12		3,968
Norwegian Krone	UBS AG		1,441,000		254,255		12/19/12		(1,249)
Norwegian Krone	UBS AG		1,896,000		334,536		12/19/12		112
Canadian Dollar	Citibank, N.A.		1,500,000		1,507,690		2/15/13		5,408
									(75,246)
Contracts to Sell:
Japanese Yen	Citibank, N.A.		86,000,000	$	1,043,821		1/25/13		4,282
British Pound	Citibank, N.A.		506,689		811,640		2/15/13		(3,813)
Canadian Dollar	Citibank, N.A.		3,087,944		3,103,774		2/15/13		(13,837)
Euro	Citibank, N.A.		60,000		78,091		2/15/13		(1,606)
									(14,974)
Net unrealized loss on open forward foreign currency contracts								$	(90,220)

At November 30, 2012, the Fund held the following commodity index swap contracts:

Agreement With:	Termination Date		The Fund Agrees to Pay	The Fund Will Receive	Contract Notional Amount		Unrealized Appreciation
Goldman Sachs & Co.		12/13/12	3-Month Treasury Bill Rate plus Fees	Commodity Index Basket Return	$	8,726,588	$	231,003
Morgan Stanley & Co. Inc.		12/13/12	3-Month Treasury Bill Rate plus Fees	Commodity Index Basket Return		8,726,588		231,003
Total					$	17,453,176	$	462,006

4. Derivative instruments and hedging activities

GAAP requires enhanced disclosure about an entity’s derivative and hedging activities.

42 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Consolidated Statement of Assets and Liabilities at November 30, 2012.

ASSET DERIVATIVES1
	Foreign Exchange Risk		Commodity Risk		Total
Futures contracts2		—	$	49,733	$	49,733
Swap contracts3		—		462,006		462,006
Forward foreign currency contracts	$	172,626		—		172,626
Total	$	172,626	$	511,739	$	684,365

LIABILITY DERIVATIVES1
	Interest Rate Risk		Foreign Exchange Risk		Total
Written options	$	7,188		—	$	7,188
Futures contracts2		1,584		—		1,584
Forward foreign currency contracts		—	$	262,846		262,846
Total	$	8,772	$	262,846	$	271,618

¹  Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is payables/net unrealized appreciation (depreciation).

²  Includes cumulative appreciation (depreciation) of futures contracts as reported in the footnotes. Only variation margin is reported within the receivables and/or payables of the Consolidated Statement of Assets and Liabilities.

³  Values include premiums paid (received) on swap contracts which are shown separately in the Consolidated Statement of Assets and Liabilities.

The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Consolidated Statement of Operations for the year ended November 30, 2012. 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
	Interest Rate Risk		Foreign Exchange Risk		Equity Risk		Commodity Risk		Total
Purchased options1	$	(98,721)		—		—		—	$	(98,721)
Written options		270,546		—		—				270,546
Futures contracts		(66,746)		—	$	(728,216)	$	(8,668)		(803,630)
Swap contracts		—		—		—		(518,839)		(518,839)
Forward foreign currency contracts		—	$	1,195,334		—		—		1,195,334
Total	$	105,079	$	1,195,334	$	(728,216)	$	(527,507)	$	44,690

¹  Net realized gain (loss) from purchased options is reported in net realized gain (loss) from investment transactions in the Consolidated Statement of Operations.

Legg Mason Strategic Real Return Fund 2012 Annual Report 43

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
	Interest Rate Risk		Foreign Exchange Risk		Equity Risk		Commodity Risk		Total
Purchased options1	$	255		—		—		—	$	255
Written options		(1,175)		—		—		—		(1,175)
Futures contracts		(1,584)		—	$	149,204	$	32,134		179,754
Swap contracts		—		—		—		397,008		397,008
Forward foreign currency contracts		—	$	(199,741)		—		—		(199,741)
Total	$	(2,504)	$	(199,741)	$	149,204	$	429,142	$	376,101

¹  The change in unrealized appreciation (depreciation) from purchased options is reported in the change in net unrealized appreciation (depreciation) from investments in the Consolidated Statement of Operations.

During the year ended November 30, 2012, the volume of derivative activity for the Fund was as follows:

	Average Market Value
Purchased options†	$	1,937
Written options		6,682
Futures contracts (to buy)		4,472,990
Futures contracts (to sell)		3,834,978
Forward foreign currency contracts (to buy)		49,058,625
Forward foreign currency contracts (to sell)		8,309,831
	Average Notional Balance
Commodity index swap contracts	$	18,138,684

† At November 30, 2012, there were no open positions held in this derivative.

5. Class specific expenses, waivers and/or expense reimbursements

The Fund has adopted a Rule 12b-1 distribution plan and under that plan the Fund pays a service fee with respect to its Class A, Class A2 and Class C shares calculated at the annual rate of 0.25% of the average daily net assets of each respective class. The Fund also pays a distribution fee with respect to its Class C shares calculated at an annual rate of 0.75% of the average net assets of the class. Service and distribution fees are accrued daily and paid monthly.

For the year ended November 30, 2012, class specific expenses were as follows:

	Service and/or Distribution Fees		Transfer Agent Fees
Class A	$	19,456	$	16,153
Class A2†		12		2
Class C		18,483		7,220
Class I		—		11,126
Class IS‡		—		5,115
Total	$	37,951	$	39,616

† For the period October 31, 2012 (inception date) to November 30, 2012.

‡ For the period December 15, 2011 (inception date) to November 30, 2012.

44 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

For the year ended November 30, 2012, waivers and/or expense reimbursements by class were as follows:

	Waivers/Expense Reimbursements
Class A	$	15,770
Class A2†		11
Class C		7,129
Class I		10,565
Class IS‡		118,855
Total	$	152,330

† For the period October 31, 2012 (inception date) to November 30, 2012.

‡ For the period December 15, 2011 (inception date) to November 30, 2012.

6. Distributions to shareholders by class

	Year Ended November 30, 2012		Year Ended November 30, 2011
Net Investment Income:
Class A	$	40,977	$	699,952
Class A2†		—		—
Class C		339		33,713
Class I		18,006		36,336
Class IS‡		1,085,701		—
Total	$	1,145,023	$	770,001
Net Realized Gains:
Class A	$	4,714		—
Class A2†		—		—
Class C		1,203		—
Class I		78,336		—
Class IS‡		1,085		—
Total	$	85,338		—

† For the period October 31, 2012 (inception date) to November 30, 2012.

‡ For the period December 15, 2011 (inception date) to November 30, 2012.

7. Shares of beneficial interest

At November 30, 2012, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. The Fund has the ability to issue multiple classes of shares. Each class of shares represents an identical interest and has the same rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares.

Legg Mason Strategic Real Return Fund 2012 Annual Report 45

Transactions in shares of each class were as follows:

	Year Ended November 30, 2012				Year Ended November 30, 2011
	Shares		Amount		Shares		Amount
Class  A
Shares sold		186,299	$	2,554,658		647,782	$	8,884,538
Shares issued on reinvestment		3,376		44,546		5,039		64,650
Shares repurchased		(197,334)		(2,715,592)		(1,482,526)		(19,321,144)
Net decrease		(7,659)	$	(116,388)		(829,705)	$	(10,371,956)
Class A2†
Shares sold		10,920	$	151,806		—		—
Shares repurchased		(32)		(449)		—		—
Net increase		10,888	$	151,357		—		—
Class C
Shares sold		26,699	$	367,035		103,517	$	1,395,999
Shares issued on reinvestment		109		1,434		1,923		24,717
Shares repurchased		(54,288)		(733,644)		(29,458)		(393,729)
Net increase (decrease)		(27,480)	$	(365,175)		75,982	$	1,026,987
Class I
Shares sold		47,687	$	647,091		9,239,232	$	121,289,947
Shares issued on reinvestment		7,277		96,342		2,479		31,778
Shares repurchased		(9,202,626)		(119,731,627)		(115,431)		(1,524,312)
Net increase (decrease)		(9,147,662)	$	(118,988,194)		9,126,280	$	119,797,413
Class IS‡
Shares sold		9,749,422	$	127,302,111		—		—
Shares issued on reinvestment		82,544		1,086,786		—		—
Shares repurchased		(1,116,730)		(15,366,269)		—		—
Net increase		8,715,236	$	113,022,628		—		—

† For the period October 31, 2012 (inception date) to November 30, 2012.

‡ For the period December 15, 2011 (inception date) to November 30, 2012. On December 15, 2011, Class I shareholders exchanged $116,485,228 into Class IS.

8. Income tax information and distributions to shareholders

Subsequent to the fiscal year end, the Fund has made the following distributions per share:

	Record Date		Payable Date		Class A		Class A2		Class C		Class I		Class IS
Ordinary income		12/26/2012		12/27/2012	$	0.216471	$	0.270941	$	0.086233	$	0.073357	$	0.272228
Short-term capital gains		12/11/2012		12/12/2012		0.042690		0.042690		0.042690		0.042690		0.042690
Long-term capital gains		12/11/2012		12/12/2012		0.019210		0.019210		0.019210		0.019210		0.019210

46 Legg Mason Strategic Real Return Fund 2012 Annual Report

Notes to consolidated financial statements (cont’d)

The tax character of distributions paid during the fiscal years ended November 30 was as follows:

	2012		2011
Distributions Paid From:
Ordinary income	$	1,145,068	$	770,001
Net long-term capital gains		85,293		—
Total taxable distributions	$	1,230,361	$	770,001

As of November 30, 2012, the components of accumulated earnings on a tax basis were as follows:

Undistributed ordinary income — net	$	2,544,122
Undistributed long-term capital gains — net		180,434
Total undistributed earnings	$	2,724,556
Other book/tax temporary differences(a)		(548,821)
Unrealized appreciation (depreciation)(b)		9,317,279
Total accumulated earnings (losses) — net	$	11,493,014

^(a)  Other book/tax temporary differences are attributable primarily to the tax deferral of losses on straddles, book/tax differences in the treatment of distributions from real estate investment trusts, the realization for tax purposes of unrealized gains (losses) on certain futures and foreign currency contracts and book/tax differences in the timing of the deductibility of various expenses.

^(b)  The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the difference between the book and tax cost basis of investments in real estate investment trusts and other book/tax basis adjustments.

Legg Mason Strategic Real Return Fund 2012 Annual Report 47

Report of independent registered public accounting firm

To the Board of Trustees of Legg Mason Global Asset Management Trust and Shareholders of Legg Mason Strategic Real Return Fund:

In our opinion, the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, and the related consolidated statements of operations and of changes in net assets and the consolidated financial highlights present fairly, in all material respects, the financial position of Legg Mason Strategic Real Return Fund (one of the funds comprising Legg Mason Global Asset Management Trust, the “Fund”) at November 30, 2012, the results of its operations, the changes in its net assets, and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These consolidated financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at November 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Baltimore, Maryland

January 17, 2013

48 Legg Mason Strategic Real Return Fund

Board approval of management, advisory and subadvisory agreements (unaudited)

At its November 2012 meeting, the Fund’s Board of Trustees (the “Board”) approved the continuation of the management agreement (the “Management Agreement”) with Legg Mason Partners Fund Advisor, LLC (the “Manager”), the advisory agreement (the “Advisory Agreement”) between Legg Mason Global Asset Allocation, LLC (the “Adviser”) and the Manager, the subadvisory agreement among the Manager, the Adviser and Western Asset Management Company (“Western Asset”), the subadvisory agreement among the Manager, the Adviser and ClearBridge Investments, LLC (formerly known as ClearBridge Advisors, LLC) (“ClearBridge”), the subadvisory agreement among the Manager, the Adviser and Batterymarch Financial Management, Inc. (“Batterymarch”), the subadvisory agreement among the Manager, the Adviser, Western Asset and Western Asset Management Company Ltd. (“Western Japan”) and the subadvisory agreement among the Manager, the Adviser, Western Asset and Western Asset Management Company Limited (“WAML”) (each, a “Subadvisory Agreement”). Western Asset, ClearBridge, Batterymarch, Western Japan and WAML are each referred to herein as a Subadviser. The trustees who are not “interested persons” of the Fund (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) (the “Independent Trustees”) met on October 11, 2012, with the assistance of their independent legal counsel and their contract review consultant, to review and evaluate the materials provided by the Manager, the Adviser and the Subadvisers to assist the Board, and in particular the Independent Trustees, in considering renewal of the Management, Advisory and Subadvisory Agreements, respectively. At such October meeting the Independent Trustees reviewed the information provided, as well as a memorandum from their independent legal counsel and materials from the contract review consultant. The Independent Trustees further discussed renewal of the Management, Advisory and Subadvisory Agreements in executive session held on November 15, 2012.

In voting to approve continuance of the Agreements, the Board, including the Independent Trustees, considered whether continuance of the Agreements would be in the best interests of the Fund and its shareholders. No single factor or item of information reviewed by the Board was identified as the principal factor in determining whether to approve the Management Agreement, the Advisory Agreement and each Subadvisory Agreement. Based upon its evaluation of all material factors, including those described below, the Board concluded that the terms of each Agreement are reasonable and fair and that it was in the best interest of the Fund and its shareholders to approve continuance of the Agreements.

The Board received and considered information regarding the nature, extent and quality of services provided to the Fund by the Manager, the Adviser and each Subadviser under the Management, Advisory and Subadvisory Agreements, respectively. The Board also considered the Manager’s supervisory activities over the Adviser and Subadvisers. In addition, the Board received and considered other information regarding the administrative and other services rendered to the Fund and its shareholders by the Manager. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager in its management of the Fund’s affairs, including the management of cash

Legg Mason Strategic Real Return Fund 49

and short-term instruments, and the Manager’s role in coordinating the activities of the Adviser and Subadvisers, as applicable, and the Fund’s other service providers. The Board’s evaluation of the services provided by the Manager, the Adviser and the Subadvisers took into account the Board’s knowledge and familiarity gained as Board members of funds in the Legg Mason fund complex, including the scope and quality of the investment management and other capabilities of the Manager, the Adviser and the Subadvisers and the quality of the Manager’s administrative and other services. The Board observed that the scope of services provided by the Manager to the Legg Mason fund complex had expanded over time as a result of regulatory and other developments, including maintaining and monitoring its own and the Fund’s expanded compliance programs.

The Board reviewed the qualifications, backgrounds and responsibilities of the senior personnel serving the Fund and the portfolio management team primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered, based on its knowledge of the Manager and the Manager’s affiliates, the financial resources available through the Manager’s parent organization, Legg Mason, Inc.

The Board considered the division of responsibilities between the Manager, the Adviser and the Subadvisers and the oversight provided by the Manager and/or the Adviser, as applicable. The Board also considered the Adviser’s and the Subadvisers’ brokerage policies and practices, the standards applied in seeking best execution, the policies and practices regarding soft dollars, and the existence of quality controls applicable to brokerage allocation procedures.

The Board received and reviewed performance information for the Fund and for a group of funds (the “Performance Universe”) selected by Lipper, Inc. (“Lipper”), an independent provider of investment company data. The Board was provided with a description of the methodology Lipper used to determine the similarity of the Fund to the funds included in the Performance Universe. The Lipper data also included a comparison of the Fund’s performance to a benchmark index selected by Lipper. In addition, the Trustees noted that they also had received and discussed at periodic intervals information comparing the Fund’s performance to that of its benchmark index.

The Board noted that the one-year ended September 30, 2012 performance for the Class A Shares was competitive, ranking in the third quintile at 53%. The Board also considered that the Fund’s largest share class, Class IS Shares, ranked in the fourth quintile for the since inception month-end (December 2011) to June 30, 2012 period, ranking at 67%, but noted the limited period of time since inception of this class. The Board noted that its evaluation of the factors of the nature, extent and quality of services and investment performance led it to conclude that it was in the best interest of the Fund to approve renewal of the Agreement.

The Board reviewed and considered the contractual management fee (the “Contractual Management Fee”) payable by the Fund to the Manager in light of the nature, extent and quality of the management, advisory and subadvisory services

50 Legg Mason Strategic Real Return Fund

Board approval of management, advisory and subadvisory agreements (unaudited) (cont’d)

provided by the Manager, the Adviser and the Subadvisers, respectively. The Board noted that the Manager or Western Asset, and not the Fund, pays the fee to the Adviser and Subadvisers. In addition, the Board reviewed and considered the actual management fee rate (after taking into account fees waived and expense reimbursements by the Manager which partially reduced the management fee paid to the Manager) (“Actual Management Fee”).

The Board also reviewed information regarding the fees the Manager, the Adviser, and the Subadvisers charged any of their U.S. clients investing primarily in an asset class similar to that of the Fund including, where applicable, separate accounts. The Manager and the Adviser reviewed with the Board the significant differences in the scope of services provided to the Fund and to such other clients. The Board considered the fee comparisons in light of the scope of services required to manage these different types of accounts.

The Board received an analysis of complex-wide management fees provided by the Manager, which, among other things, set out the range of fees based on asset classes. In addition, the Manager provided and discussed with the Board a comparison with the fees of other registered investment companies managed by affiliated advisers in the same investment style. Management also discussed with the Board the Fund’s distribution arrangements, including how amounts received by the Fund’s distributors are expended.

Additionally, the Board received and considered information comparing the Fund’s Contractual Management Fee and Actual Management Fee and the Fund’s overall expense ratio with those of a group of funds selected by Lipper as comparable to the Fund and a broader universe of funds also selected by Lipper. With respect to the Fund, the Board noted that, although the Actual Management Fee was high (fifth quintile), the Contractual Management Fee was lower than average (second quintile) and that actual expenses were lower than the Lipper expense group and expense universe averages.

The Board was provided an overview of the process followed in conducting the profitability study and received a report on the profitability of Legg Mason in providing services to the Fund, based on financial information and business data for the 12 months ended March 31, 2012, which corresponds to Legg Mason’s most recently completed fiscal year. The Trustees considered the profitability study along with the other materials previously provided to the Board and determined that the profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.

The Board received and considered information regarding whether there have been economies of scale with respect to the management of the Fund as the Fund’s assets grow, whether the Fund has appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Board noted that as a result of market conditions and net redemptions, the Fund complex had suffered a substantial decline in assets over its historic highs.

Legg Mason Strategic Real Return Fund 51

Given the asset size of the Fund and the complex, the Board concluded that although there were no currently existing breakpoints, any economies of scale currently being realized were appropriately being reflected in the Management Fee paid by the Fund.

The Board considered other benefits received by the Adviser and its affiliates, as a result of the Adviser’s relationship with the Fund, including the opportunity to offer additional products and services to Fund shareholders. The Board also considered the information provided regarding intermediary arrangements.

In light of the structure of the fees, the costs of providing investment advisory and other services to the Fund, the Manager’s ongoing commitment to the Fund and the ancillary benefits received, the Board concluded that the Management Fees were reasonable.

After evaluation of all material factors, the Board concluded that the continuation of each Agreement is in the best interest of the Fund.

52 Legg Mason Strategic Real Return Fund

Additional information (unaudited)

Information about Trustees and Officers

The business and affairs of Legg Mason Strategic Real Return Fund (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 100 International Drive, Attn: Fund Secretary, 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 Trustees1
Ruby P. Hearn
Year of birth	1940
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Senior Vice President Emerita of The Robert Wood Johnson Foundation (non-profit) since 2001; Trustee of the New York Academy of Medicine since 2004; Director of the Institute for Healthcare Improvement since 2002; Member of the Institute of Medicine since 1982; formerly: Senior Vice President of The Robert Wood Johnson Foundation (1996 to 2001); Fellow of The Yale Corporation (1992 to 1998).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	None
Arnold L. Lehman
Year of birth	1944
Position(s) with Trust	Lead Independent Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Director of the Brooklyn Museum since 1997; Trustee of American Federation of Arts since 1998. Formerly: Director of The Baltimore Museum of Art (1979 to 1997).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	None
Robin J.W. Masters
Year of birth	1955
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Retired; formerly: Chief Investment Officer of ACE Limited (insurance) (1986 to 2000).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	Director of Cheyne Capital International Limited (investment advisory firm). Formerly, Director/Trustee of Legg Mason Institutional Funds plc, WAFixed Income Funds plc and Western Asset Debt Securities Fund plc. (2007 to 2011)

Legg Mason Strategic Real Return Fund 53

Independent Trustees1 cont’d
Jill E. McGovern
Year of birth	1944
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Senior Consultant, American Institute for Contemporary German Studies (AICGS) since 2007; formerly: Chief Executive Officer of The Marrow Foundation (non-profit) (1993 to 2007); Executive Director of the Baltimore International Festival (1991 to 1993); Senior Assistant to the President of The Johns Hopkins University (1986 to 1990).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	Director of International Biomedical Research Alliance; Director of Lois Roth Endowment
Arthur S. Mehlman
Year of birth	1942
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Retired. Director, The University of Maryland Foundation since 1992; Director, The League for People with Disabilities since 2003; formerly: Partner, KPMG LLP (international accounting firm) (1972 to 2002).
Number of funds in fund complex overseen by Trustee	Director/Trustee of all Legg Mason Funds consisting of 14 portfolios; Director/Trustee of the Royce Family of Funds consisting of 35 portfolios.
Other directorships held by Trustee during past five years	Director of Municipal Mortgage & Equity, LLC.
G. Peter O’Brien
Year of birth	1945
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Retired. Trustee Emeritus of Colgate University; Board Member, Hill House, Inc. (residential home care); Board Member, Bridges School (pre- school); formerly: Managing Director, Equity Capital Markets Group of Merrill Lynch & Co. (1971-1999).
Number of funds in fund complex overseen by Trustee	Director/Trustee of all Legg Mason funds consisting of 14 portfolios; Director/Trustee of the Royce Family of Funds consisting of 35 portfolios.
Other directorships held by Trustee during past five years	Director of Technology Investment Capital Corp.

54 Legg Mason Strategic Real Return Fund

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Independent Trustees1 cont’d
S. Ford Rowan
Year of birth	1943
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	Chairman, National Center for Critical Incident Analysis, National Defense University Foundation, since 2004; Trustee, St. John’s College, since 2006; formerly: Consultant, Rowan & Blewitt Inc. (management consulting) (1984 to 2007); Lecturer in Journalism, Northwestern University (1980 to 1993); Lecturer in Organizational Sciences, George Washington University (2000 to 2008); Director, Sante Fe Institute (1999 to 2008).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	None
Robert M. Tarola
Year of birth	1950
Position(s) with Trust	Trustee
Term of office and length of time served2	Since 2009
Principal occupation(s) during past five years	President of Right Advisory LLC (corporate finance and governance consulting) since 2008; Member, Investor Advisory Group of the Public Company Accounting Oversight Board since 2009; Senior Vice President and Chief Financial Officer of The Howard University since 2010 (higher education and health care); formerly: Senior Vice President and Chief Financial Officer of W.R. Grace & Co. (specialty chemicals) (1999 to 2008) and MedStar Health, Inc. (healthcare) (1996 to 1999); Partner, Price Waterhouse, LLP (accounting and auditing) (1984 to 1996).
Number of funds in fund complex overseen by Trustee	14
Other directorships held by Trustee during past five years	Director of TeleTech Holdings, Inc. (business process outsourcing); Director of American Kidney Fund (renal disease assistance)

Legg Mason Strategic Real Return Fund 55

Interested Trustee3
R. Jay Gerken Legg Mason 620 Eighth Avenue, New York NY 10018
Year of birth	1951
Position(s) with Trust	Chairman, President and Trustee
Term of office and length of time served2	Since 2011
Principal occupation(s) during past five years	Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2005); Officer and Trustee/Director of 157 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); President and Chief Executive Officer (“CEO”) of LMPFA (since 2006); President and CEO of Smith Barney Fund Management LLC (“SBFM”) (formerly a registered investment adviser) (since 2002)
Number of funds in fund complex overseen by Trustee	157
Other directorships held by Trustee during past five years	None
Executive Officers
Richard F. Sennett Legg Mason 100 International Drive, Baltimore, MD 21202
Year of birth	1970
Position(s) with Trust	Principal Financial Officer
Term of office and length of time served2	Since 2011
Principal occupation(s) during past five years	Principal Financial Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011); Managing Director of Legg Mason & Co. and Senior Manager of the Treasury Policy group for Legg Mason & Co.’s Global Fiduciary Platform (since 2011); formerly, Chief Accountant within the SEC’s Division of Investment Management (2007 to 2011); formerly, Assistant Chief Accountant within the SEC’s Division of Investment Management (2002 to 2007)
Robert I. Frenkel Legg Mason 100 First Stamford Place, Stamford, CT 06902
Year of birth	1954
Position(s) with Trust	Secretary and Chief Legal Officer
Term of officeand length of time served2	Since 2009
Principal occupation(s) during past five years	Vice President and Deputy General Counsel of Legg Mason (since 2006); Managing Director and General Counsel of Global 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)

56 Legg Mason Strategic Real Return Fund

Additional information (unaudited) (cont’d)

Information about Trustees and Officers

Executive Officers cont’d
Ted P. Becker Legg Mason 620 Eighth Avenue, New York, NY 10018
Year of birth	1951
Position(s) with Trust	Vice President and Chief Compliance Officer
Term of officeand length of time served2	Since 2009
Principal occupation(s) during 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) and Legg Mason & Co. predecessors (prior to 2006)
Christopher Berarducci Legg Mason 55 Water Street, New York, NY 10041
Year of birth	1974
Position(s) with Trust	Treasurer
Term of office and length of time served2	Since 2010
Principal occupation(s) during past five years	Vice President of Legg Mason & Co. (since 2011); Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2010); Assistant Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to 2010); formerly, Manager of Fund Administration at UBS Global Asset Management (prior to 2007)

¹  Trustees who are not “interested persons” of the Fund within the meaning of Section 2(a)(19) of the 1940 Act. Each of the Independent Trustees serves on the standing committees of the Board of Trustees, which include the Audit Committee (chair: Arthur S. Mehlman), the Nominating Committee (co-chairs: G. Peter O’Brien and Jill E. McGovern), and the Independent Trustees Committee (chair: Arnold L. Lehman).

²  Officers of the Trust are elected to serve until their successors are elected and qualified. Trustees of the Trust serve a term of indefinite length until their retirement, in accordance with the Board’s retirement policy, resignation or removal, and stand for re-election by shareholders only as and when required by the 1940 Act.

³  Mr. Gerken is considered to be an interested person, as defined in the 1940 Act, of the Fund on the basis of his current employment with the Fund’s investment adviser or its affiliated entities (including the Fund’s principal underwriter) and Legg Mason, Inc., the parent holding company of these entities as well as his ownership of Legg Mason, Inc. stock.

Legg Mason Strategic Real Return Fund 57

Important tax information (unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended November 30, 2012:

Record date:		12/8/2011	12/28/2011			6/18/2012
Payable date:		12/9/2011	12/29/2011			6/19/2012
Ordinary income:
Qualified dividend income for individuals		—	15.72	%		0.08	%
Dividends qualifying for the dividends
received deduction for corporations		—	4.69	%		0.03	%
Interest from Federal obligations		—	22.08	%		0.04	%
Long-term capital gain dividend	$	0.00856	—		$	0.00012

The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

Please retain this information for your records.

Legg Mason

Strategic Real Return Fund

Trustees

R. Jay Gerken Chairman

Ruby P. Hearn

Arnold L. Lehman

Robin J.W. Masters

Jill E. McGovern

Arthur S. Mehlman

G. Peter O’Brien

S. Ford Rowan

Robert M. Tarola

Investment manager

Legg Mason Partners Fund Advisor, LLC

Investment adviser

Legg Mason Global Asset Allocation, LLC

Subadvisers

Batterymarch Financial Management, Inc.

ClearBridge Investments, LLC

Western Asset Management Company

Western Asset Management Company Limited

Western Asset Management Company Ltd

Distributor

Legg Mason Investor Services, LLC

Custodian

State Street Bank & Trust Company

Co-transfer agents

Boston Financial Data Services, Inc.

2000 Crown Colony Drive

Quincy, MA 02169

BNY Mellon Asset Servicing

4400 Computer Drive

Westborough, MA 01581

Counsel

K&L Gates LLP

Washington, DC

Independent registered public accounting firm

PricewaterhouseCoopers LLP

Baltimore, MD

Legg Mason Strategic Real Return Fund

The Fund is a separate investment series of Legg Mason Global Asset Management Trust, a Maryland statutory trust.

Legg Mason Strategic Real Return Fund

Legg Mason Funds

55 Water Street

New York, NY 10041

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 on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form 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) on the Fund’s website at www.leggmason.com/individualinvestors 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 Strategic Real Return Fund. 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/individualinvestors

©2013 Legg Mason Investor Services, LLC

Member FINRA, SIPC

Legg Mason Funds Privacy and Security Notice

Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds

This Privacy and Security Notice (the “Privacy Notice”) addresses the Legg Mason Funds’ privacy and data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds’ distributor, Legg Mason Investor Services, LLC, as well as Legg Mason-sponsored closed-end funds and certain closed-end funds managed or sub-advised by Legg Mason or its affiliates. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.

The Type of Nonpublic Personal Information the Funds Collect About You

The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:

Ÿ Personal information included on applications or other forms;

Ÿ Account balances, transactions, and mutual fund holdings and positions;

Ÿ Online account access user IDs, passwords, security challenge question responses; and

Ÿ Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual’s total debt, payment history, etc.).

How the Funds Use Nonpublic Personal Information About You

The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law. The Funds may disclose information about you to:

Ÿ Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business or comply with obligations to government regulators;

Ÿ Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform marketing services solely for the Funds;

Ÿ The Funds’ representatives such as legal counsel, accountants and auditors; and

Ÿ Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.

NOT PART OF THE ANNUAL REPORT

Legg Mason Funds Privacy and Security Notice (cont’d)

Except as otherwise permitted by applicable law, companies acting on the Funds’ behalf are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform.

The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.

Keeping You Informed of the Funds’ Privacy and Security Practices

The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.

The Funds’ Security Practices

The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.

Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.

In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, or if you have questions about the Funds’ privacy practices, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds’ website at www.leggmason.com, or contact the Fund at 1-877-721-1926.

Revised April 2011

NOT PART OF THE ANNUAL REPORT

www.leggmason.com/individualinvestors

©2013 Legg Mason Investor Services, LLC Member FINRA, SIPC

LMFX013120 1/13 SR12-1821

ITEM 2. CODE OF ETHICS.

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 Arthur S. Mehlman the Chairman of the Board’s Audit Committee and Robert M. Tarola, possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as “audit committee financial experts,” and have designated Mr. Mehlman and Mr. Tarola as the Audit Committee’s financial experts. Mr. Mehlman and Mr. Tarola are “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 November 30, 2011 and November 30, 2012 (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 $90,448 in 2011 and $64,326 in 2012.

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 $0 in 2011 and $0 in 2012.

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 Global Asset Management 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 Periods.

(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 $6,000 in 2011 and $6,200 in 2012. 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.

d) All Other Fees. The aggregate fees for other fees billed in the Reporting Periods for products and services provided by the Auditor were $0 in 2011 and $1,093 in 2012, other than the services reported in paragraphs (a) through (c) of this item for the Legg Mason Global Asset Management Trust.

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 Global Asset Management 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 Global Asset Management Trust, the percentage of fees that were approved by the audit committee, with respect to: Audit-Related Fees were 100% and 100% for 2011 and 2012; Tax Fees were 100% and 100% for 2011 and 2012; and Other Fees were 100% and 100% for 2011 and 2012.

(f) N/A

(g) Non-audit fees billed by the Auditor for services rendered to Legg Mason Global Asset Management Trust, LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Legg Mason Global Asset Management Trust during the reporting period were $0 in 2012.

(h)  Yes. Legg Mason Global Asset Management 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 Global Asset Management Trust or to Service Affiliates, which were required to be pre-approved, were 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 Section 3(a)(58)(B) of the Exchange Act . The Audit Committee consists of the following Board members:
	Ruby P. Hearn Arnold L. Lehman Robin J.W. Masters Jill E. McGovern Arthur S. Mehlman G. Peter O’Brien S. Ford Rowan Robert M. Tarola
b)       Not applicable
ITEM 6.     SCHEDULE OF INVESTMENTS.
Included herein under Item 1.
ITEM 7.     DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8.     PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9.     PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11.   CONTROLS AND PROCEDURES.
(a)     The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

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

ITEM 12.   EXHIBITS.

(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 Global Asset Management Trust

By:	/s/ R. Jay Gerken
	R. Jay Gerken
	Chairman and President
	Legg Mason Global Asset Management Trust

Date: January 25, 2013

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/ R. Jay Gerken
	R. Jay Gerken
	Chairman and President
	Legg Mason Global Asset Management Trust

Date: January 25, 2013

By:	/s/ Richard F. Sennett
	(Richard F. Sennett)
	Principal Financial Officer of
	Legg Mason Global Asset Management Trust

Date: January 25, 2013