Legg Mason Global Asset Management Trust NCSR 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)

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

(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: October 31

Date of reporting period: October 31, 2015

ITEM 1.

REPORT TO STOCKHOLDERS

The Annual Report to Stockholders is filed herewith.

LOGO


Annual Report		October 31, 2015

LEGG MASON BW

ABSOLUTE RETURN

OPPORTUNITIES FUND

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


What’s inside
Letter from the president			II
Investment commentary			III
Fund overview			1
Fund at a glance			7
Fund expenses			8
Fund performance			10
Schedule of investments			12
Statement of assets and liabilities			16
Statement of operations			18
Statements of changes in net assets			19
Financial highlights			20
Notes to financial statements			27
Report of independent registered public accounting firm			43
Additional information			44
Important tax information			50

Fund objective

The Fund seeks to generate positive returns that are independent of market cycles.

Letter from the president

LOGO

Dear Shareholder,

We are pleased to provide the annual report of Legg Mason BW Absolute Return Opportunities Fund for the twelve-month reporting period ended October 31, 2015. 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.

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:

•

Fund prices and performance,

•

Market insights and commentaries from our portfolio managers, and

•

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

LOGO

Jane Trust, CFA

President and Chief Executive Officer

November 27, 2015


II		Legg Mason BW Absolute Return Opportunities Fund

Investment commentary

Economic review

The pace of U.S. economic activity was mixed during the twelve months ended October 31, 2015 (the “reporting period”). Looking back, the U.S. Department of Commerce’s revised figures showed that fourth quarter 2014 U.S. gross domestic product (“GDP”)ⁱ growth was 2.1%. First quarter 2015 GDP growth then moderated to 0.6%. This was attributed to a number of factors, including a deceleration in personal consumption expenditures (“PCE”), along with negative contributions from exports, nonresidential fixed investment, and state and local government spending. Economic activity then accelerated, as second quarter 2015 GDP growth was 3.9%. The upturn was driven by increasing exports, accelerating PCE, declining imports, expanding state and local government spending, and rising nonresidential fixed investment. The U.S. Department of Commerce’s second reading for third quarter 2015 GDP growth — released after the reporting period ended — was 2.1%. Decelerating growth was primarily due to a downturn in private inventory investment and decelerations in exports, PCE, nonresidential fixed investment, state and local government spending, and residential fixed investment.

The labor market significantly improved and was a tailwind for the economy during the reporting period. When the period began, unemployment was 5.8%, as reported by the U.S. Department of Labor. By October 2015, unemployment was 5.0%, its lowest level since April 2008.

Turning to the global economy, in its October 2015 World Economic Outlook Update, the International Monetary Fund (“IMF”) said “Prospects across the main countries and regions remain uneven. Relative to last year, the recovery in advanced economies is expected to pick up slightly, while activity in emerging market and developing economies is projected to slow for the fifth year in a row, primarily reflecting weaker prospects for some large emerging market economies and oil-exporting countries.” From a regional perspective, the IMF projects that 2015 growth in the Eurozone will be 1.5%, versus 0.9% in 2014. Japan’s economy is expected to expand 0.6% in 2015, compared to a contraction of -0.1% in 2014. Elsewhere, the IMF said that overall growth in emerging market countries will decelerate in 2015, with growth of 4.0% versus 4.6% in 2014.

The Federal Reserve Board (“Fed”)ⁱⁱ took a number of actions as it sought to meet its dual mandate of fostering maximum employment and price stability. As it has since December 2008, the Fed maintained the federal funds rateⁱⁱⁱ at a historically low range between zero and 0.25% during the twelve months ended October 31, 2015. However, in October 2014 the Fed ended its asset purchase program that was announced in December 2012. In December 2014, the Fed said that “…it can be patient in beginning to normalize the stance of monetary policy.” At its meeting that concluded on July 29, 2015, the Fed said, “The Committee currently anticipates that, even after employment and inflation are near mandate-consistent levels, economic conditions may, for some time, warrant keeping the target federal funds rate below levels the Committee views as normal in the longer run.” At its meeting that concluded on October 28, 2015, the Fed said, “In determining whether it will be appropriate to raise the target range at its next meeting,


Legg Mason BW Absolute Return Opportunities Fund		III

Investment commentary (cont’d)

the Committee will assess progress — both realized and expected — toward its objectives of maximum employment and 2 percent inflation.”

Given the economic challenges in the Eurozone, the European Central Bank (“ECB”)^iv took a number of actions to stimulate growth and ward off deflation. The ECB reduced rates in June and September 2014, prior to the reporting period. Then, in January 2015 the ECB announced that, beginning in March 2015, it would start a €60 billion-a-month bond buying program that is expected to run until September 2016. In other developed countries, the Bank of England kept rates on hold at 0.50% during the reporting period, as did Japan at a range of zero to 0.10%, its lowest level since 2006. At the end of October 2014, the Bank of Japan announced that it would increase its asset purchases between 10 trillion yen and 20 trillion yen ($90.7 billion to $181.3 billion) to approximately 80 trillion yen ($725 billion) annually, in an attempt to stimulate growth. Elsewhere, after holding rates steady at 6.0% since July 2012, the People’s Bank of China lowered rates six times from November 23, 2014 through the end of the reporting period. The last reduction on October 23, 2015 pushed the rate down to 4.35%.

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

Sincerely,

LOGO

Jane Trust, CFA

President and Chief Executive Officer

November 27, 2015

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. Forecasts and predictions are inherently limited and should not be relied upon as an indication of actual or future performance.

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

ⁱⁱⁱ	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.

^iv	The European Central Bank (“ECB”) is responsible for the monetary system of the European Union and the euro currency.


IV		Legg Mason BW Absolute Return Opportunities Fund

Fund overview

Q. What is the Fund’s investment strategy?

A. The Fund seeks to generate positive returns that are independent of market cycles. Under normal market conditions, the Fund seeks to meet its investment objective through strategic investments in domestic and foreign fixed-income securities and currencies. The Fund will initiate long and short exposures by investing across bond sectors, including sovereign debt and corporate bonds, currencies, and derivative instruments. Short exposure will be established primarily through the use of derivatives, including currency forwards, interest rate swaps and futures.

The Fund typically has significant exposure to foreign currencies and foreign countries. The Fund may invest a significant portion of its assets in a particular geographic region or country, including emerging market countries.

Normally, the Fund will not invest more than 20% of the Fund’s assets in securities or issuers in any one foreign country, other than the United States, Canada, the United Kingdom, Japan, Australia and member countries of the European Union, or denominated in any one currency, other than the U.S. dollar, the Canadian dollar, the pound, the euro, the Australian dollar or the yen. The Fund may invest in the debt and currencies of sovereign nations, as well as derivative instruments and fixed income securities that offer exposure to interest rates of sovereign nations. The Fund may concentrate in the securities of a sovereign government if we believe that the country offers extraordinarily, absolute return opportunities. The Fund may also invest in corporate bonds and other fixed income securities. While the Fund may invest in securities of any rating level, or unrated securities, we intend to maintain an average weighted portfolio quality of A- or better, whether composed of rated securities or unrated securities that we deem to be of comparable quality. The Fund will invest in both investment grade and below investment grade securities and currencies of developed and emerging countries. The weighted average effective durationⁱ of the Fund’s portfolio, including derivatives, is expected to range from -5 to +5 years. The Fund’s use of derivatives may be extensive. However, the notional principal of the Fund’s aggregate net short currency exposure will not be lower than -70% of the Fund’s total assets.

The Fund’s broad mandate gives us strategic flexibility to change allocations and shift between long and short exposures in an attempt to take advantage of evolving opportunities. In making investment decisions on behalf of the Fund, we apply a top-down, macro-driven investment process and invest where we believe opportunities exist with respect to interest rate levels and currency valuations. Long investments are typically concentrated in sovereign debt or currencies of 6 to 12 countries, or corporate debt of issuers in those countries that we believe offer the most attractive absolute return opportunities. Short positions are typically established in interest rates or currencies that we believe are overvalued, will fall in value and can potentially generate absolute returns. We consider secular trends, political and monetary conditions and business cycle risks when making investment decisions. We also take into account the relative risk and return characteristics of prospective investments when determining how to achieve desired exposures.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		1

Fund overview (cont’d)

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

A. Nearly all long-term government bonds of developed market countries rallied during the second half of 2014, and ended the year with substantially lower yields. Emerging market bond yields also ended the year lower, although these sovereign bonds encountered much more volatility than their developed market peers. Any gains made by emerging market bonds was likely eroded by currency weakness from many of these countries, as their currencies fell sharply against the U.S. dollar. Developed market currencies were not immune to the dollar rally, as the euro and Japanese yen weakened against the greenback. The key themes that drove yields and currency valuations lower — such as a global disinflationary environment, a relatively strong U.S. dollar, the juxtaposition of pending Federal Reserve Board (“Fed”)ⁱⁱ liftoff with easing from most other central banks, decelerating Chinese economic growth, and volatility in commodity markets — also largely influenced markets in 2015.

Developed market bond yields continued to rally until mid-2015, when positive economic signs from the U.S. and the Eurozone emerged, signaling the Fed was close to renormalization and the European Central Bank’s (“ECB”)ⁱⁱⁱ reflation efforts were seemingly effective. The U.S. dollar rally also showed signs of slowing, as a basket of European currencies rebounded against the dollar due to the ECB’s perceived success in managing inflation. However, the sanguine global outlook was short-lived and investors reverted back to a risk-off sentiment in light of Greece’s high-stakes bailout negotiation tactics, an additional slowdown in Chinese economic growth, and volatile commodity markets. Therefore, the second half of the reporting period was marked by a risk-off environment whereby investors jettisoned risky financial assets, which helped U.S., core European, and other high-quality sovereign debt to once again rally. Fears of systemic risk and slowing global growth also helped the other two G3^iv currencies briefly rally — during which time investors piled into the traditionally safe-haven yen while the euro idiosyncratically acted like a safe-haven asset. The impact of an economic slowdown in China and weaker commodity prices acutely weighed on the valuations of debt from countries with a combination of weaker fundamentals and exposure to commodities or emerging market growth.

Credit market performance was particularly uneven for the period given the exogenous geopolitical and global macroeconomic factors that piqued investor risk aversion. The European credit market fared slightly better than its U.S. peer given its relative insulation from the Energy sector and benefit from the ECB’s aggressive monetary stimulus program.

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

A. Throughout the period, we began to fully hedge bond positions or initiate net short positions in currencies that were significantly affected by commodity price volatility, the slowdown in China and emerging markets, or a combination of these factors. Despite credible actions from their countries’ respective central banks, we fully hedged Australian dollar exposure and created a net short position on the New Zealand dollar because of the wild card factors listed above. The Fund also initiated


2		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

an independent short currency position in the Singapore dollar due to its close trading ties with China. We ended the period with a net short on the euro, as we believe the currency will come under additional pressure in 2016 given the ECB’s recent statements that it will likely extend its quantitative easing program and that it’s considering an interest rate cut. We also think the Japanese yen will come under additional pressure, despite a brief reprieve earlier this year.

We maintained unhedged or independent long positions in a variety of currencies on the idea that the U.S. dollar rally would eventually taper off, these currencies could benefit from the residual effects of regional growth, and any depreciation in 2015 made these currencies look attractive. Therefore, maintaining long exposure to European currencies like the Hungarian forint, Swedish krona, and Polish zloty were intended to benefit from any spillover effects from the ECB’s reflation efforts. A long position in the Chilean peso and unhedged long exposure to the Mexican peso were designed to benefit from stabilizing commodity prices. Mexico, in particular, exhibits the additional benefits of low inflation and an economy undergoing positive structural change. Despite a brief mid-year rally, Brazilian government bonds and the currency were hit particularly hard, as policymakers grappled with the country’s deteriorating fiscal position, an economy slipping toward recession, a growing web of government corruption, and seemingly intractable inflation — all of which compounded the Brazilian real’s free fall and sent the country’s bond yields soaring, putting the country’s credit rating at risk.

Performance review

For the twelve months ended October 31, 2015, Class A shares of Legg Mason BW Absolute Return Opportunities Fund, excluding sales charges, returned -5.05%. The Fund’s unmanaged benchmark, the Citigroup 3-Month U.S. Treasury Bill Index^v, returned 0.02% for the same period. The Lipper Alternative Global Macro Funds Category Average¹ returned -3.95% over the same time frame.


Performance Snapshot as of October 31, 2015 (unaudited)
(excluding sales charges)	6 months			12 months
Legg Mason BW Absolute Return Opportunities Fund:
Class A		-4.60	%		-5.05	%
Class C		-4.89	%		-5.56	%
Class C1^¨		-4.78	%		-5.42	%
Class FI		-4.60	%		-4.89	%
Class R		-4.65	%		-5.25	%
Class I		-4.43	%		-4.66	%
Class IS		-4.28	%		-4.53	%
Citigroup 3-Month U.S. Treasury Bill Index		0.01	%		0.02	%
Lipper Alternative Global Macro Funds Category Average¹		-5.51	%		-3.95	%

The performance shown represents past performance. Past performance is no guarantee of future results and current

Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the period ended October 31, 2015, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 325 funds for the six-month period and among the 313 funds for the twelve-month period in the Fund’s Lipper category, and excluding sales charges.

^¨

On August 1, 2012, Class C shares were reclassified as Class C1 shares. Class C1 (formerly Class C) shares are not available for purchase by new or existing investors (except for certain retirement plan programs authorized by the Fund’s distributor. Class C1 shares will continue to be available for dividend reinvestment and incoming exchanges.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		3

Fund overview (cont’d)

performance may be higher or lower than the performance shown. Principal value, investment returns and yields 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.

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

The 30-Day SEC Yields for the period ended October 31, 2015 for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 2.07%, 1.45%, 1.62%, 2.05%, 1.75%, 2.47% and 2.57%, respectively. Absent fee waivers and/or expense reimbursements, the 30-Day SEC Yield for Class A and Class I shares would have been 1.86% and 2.38%, respectively. The 30-Day SEC Yield is subject to change and is based on the yield to maturity of the Fund’s investments over a 30-day period and not on the dividends paid by the Fund, which may differ.

Total Annual Operating Expenses (unaudited)

As of the Fund’s current prospectus dated March 1, 2015, the gross total annual operating expense ratios for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 1.22%, 1.91%, 1.73%, 1.31%, 1.65%, 0.87% and 0.75%, 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, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets is not expected to exceed 1.20% for Class A shares, 1.95% for Class C shares, 1.70% for Class C1 shares, 1.20% for Class FI shares, 1.45% for Class R shares, 0.85% for Class I shares and 0.75% for Class IS shares. In addition, the ratio of total annual fund operating expenses for Class IS shares will not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

The manager is permitted to recapture amounts waived and/or reimbursed to a class within three years after the fiscal 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.

Q. What were the leading contributors to performance?

A. The Fund benefited from currency decisions, namely short positions in the yen,


4		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

euro, and New Zealand dollar. Therefore, gains from currency forwards provided the most significant benefit to performance. Two short currency positions that were closed during the period — the Swiss franc and the Czech koruna — also moderately contributed to performance. Yield curve^vi decisions — specifically, term structure impacts — also benefited performance.

Q. What were the leading detractors from performance?

A. Long exposure to the Mexican peso, Brazilian real, and Chilean peso were the greatest detractors, while currency futures contracts on the Australian and New Zealand dollars detracted to a lesser extent. Despite strong underlying country fundamentals, both the Mexican and Chilean pesos fell due to weakness in commodity markets; while the real was also affected by lower oil prices, the currency primarily fell due to endemic issues. Unhedged exposure to Indonesian, Malaysian, and South African government bonds also detracted from performance due to a combination of yield curve decisions — namely duration — and currency exposure.

Thank you for your investment in Legg Mason BW Absolute Return Opportunities 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,

LOGO

David F. Hoffman, CFA

Portfolio Manager

Brandywine Global Investment Management, LLC

LOGO

Stephen S. Smith

Portfolio Manager

Brandywine Global Investment Management, LLC

LOGO

John P. McIntyre, CFA

Portfolio Manager

Brandywine Global Investment Management, LLC

December 1, 2015

RISKS: Fixed-income securities are subject to interest rate, credit, inflation and reinvestment risks. As interest rates rise, the value of fixed income securities falls. High-yield bonds, known as “junk bonds”, involve greater credit and liquidity risks than investment grade bonds. International investments are subject to special risks, including currency fluctuations, as well as social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Sovereign government and supranational debt involve many of the risks of foreign and emerging markets investments as well as the risk of debt moratorium, repudiation or renegotiation and the Fund may be unable to enforce its rights against the issuers. Short selling is a speculative strategy. 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. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. As a non-diversified fund, the Fund is permitted to invest a higher percentage of its assets in


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		5

Fund overview (cont’d)

any one issuer than a diversified fund, which may magnify the Fund’s losses from events affecting a particular issuer. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

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.

ⁱ

Effective duration is a duration calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change. Please note, duration measures the sensitivity of price (the value of principal) of a fixed-income investment to a change in interest rates. Funds that employ leverage calculate effective duration based off of Net Assets.

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

ⁱⁱⁱ	The European Central Bank (“ECB”) is responsible for the monetary system of the European Union and the euro currency.

^iv	The three most systemically important central banks, including the Federal Reserve, European Central Bank, and Bank of Japan.

^v	The Citigroup 3-Month U.S. Treasury Bill Index is an unmanaged index generally representative of the average yield of 90-day U.S. Treasury bills.

^vi	The yield curve is the graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities.


6		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Fund at a glance^† (unaudited)

Investment breakdown (%) as a percent of total investments

LOGO

†

The bar graph above represents the composition of the Fund’s investments as of October 31, 2015 and October 31, 2014 and does not include derivatives, such as futures 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.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		7

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 May 1, 2015 and held for the six months ended October 31, 2015.

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 Ratio			Expenses Paid During the Period³			Hypothetical Annualized Total Return			Beginning Account Value		Ending Account Value		Annualized Expense Ratio			Expenses Paid During the Period³
Class A	��	-4.60	%	$	1,000.00	$	954.00		1.20	%	$	5.91	Class A		5.00	%	$	1,000.00	$	1,019.16		1.20	%	$	6.11
Class C		-4.89			1,000.00		951.10		1.82			8.95	Class C		5.00			1,000.00		1,016.03		1.82			9.25
Class C1		-4.78			1,000.00		952.20		1.70			8.37	Class C1		5.00			1,000.00		1,016.64		1.70			8.64
Class FI		-4.60			1,000.00		954.00		1.20			5.91	Class FI		5.00			1,000.00		1,019.16		1.20			6.11
Class R		-4.65			1,000.00		953.50		1.45			7.14	Class R		5.00			1,000.00		1,017.90		1.45			7.37
Class I		-4.43			1,000.00		955.70		0.85			4.19	Class I		5.00			1,000.00		1,020.92		0.85			4.33
Class IS		-4.28			1,000.00		957.20		0.72			3.55	Class IS		5.00			1,000.00		1,021.58		0.72			3.67


8		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

¹	For the six months ended October 31, 2015.

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 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.

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 (184), then divided by 365.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		9

Fund performance (unaudited)


Average annual total returns
Without sales charges¹	Class A			Class C			Class C1^¨			Class FI			Class R			Class I			Class IS
Twelve Months Ended 10/31/15		-5.05	%		-5.56	%		-5.42	%		-4.89	%		-5.25	%		-4.66	%		-4.53	%
Inception*through 10/31/15		2.97			1.18			2.47			3.38			3.09			3.35			0.12

With sales charges²	Class A			Class C			Class C1^¨			Class FI			Class R			Class I			Class IS
Twelve Months Ended 10/31/15		-7.18	%		-6.45	%		-5.42	%		-4.89	%		-5.25	%		-4.66	%		-4.53	%
Inception*through 10/31/15		2.46			1.18			2.47			3.38			3.09			3.35			0.12


Cumulative total returns
Without sales charges¹
Class A (Inception date of 2/28/11 through 10/31/15)	14.67	%
Class C (Inception date of 8/1/12 through 10/31/15)	3.87
Class C1^¨ (Inception date of 2/28/11 through 10/31/15)	12.09
Class FI (Inception date of 10/31/11 through 10/31/15)	14.23
Class R (Inception date of 10/31/11 through 10/31/15)	12.96
Class I (Inception date of 2/28/11 through 10/31/15)	16.67
Class IS (Inception date of 3/1/13 through 10/31/15)	0.31

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 or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares.

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. In addition, Class A shares reflect the deduction of the maximum initial sales charge of 2.25%. 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, C, C1^¨, FI, R, I and IS shares are February 28, 2011, August 1, 2012, February 28, 2011, October 31, 2011, October 31, 2011, February 28, 2011 and March 1, 2013, respectively.

^¨	Effective August 1, 2012, Class C shares were reclassified as Class C1 shares. Class C1 shares will not be available for purchase by new or existing investors (except for certain retirement plans). Class C1 shares continue to be available for dividend reinvestment and incoming exchanges.


10		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Historical performance

Value of $10,000 invested in

Class A and C1 Shares of Legg Mason BW Absolute Return Opportunities Fund vs. Citigroup 3-Month U.S. Treasury Bill Index† — February 28, 2011 - October 2015

LOGO

Value of $1,000,000 invested in

Class I Shares of Legg Mason BW Absolute Return Opportunities Fund vs. Citigroup 3-Month U.S. Treasury Bill Index† — February 28, 2011 - October 2015

LOGO

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 value of your investment in the Fund, as well as the amount of return you receive on your investment, may fluctuate significantly. 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 C1 shares and $1,000,000 invested in Class I shares of Legg Mason BW Absolute Return Opportunities Fund on February 28, 2011 (commencement of operations), assuming the deduction of the maximum initial sales charge of 2.25% 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 October 31, 2015. The hypothetical illustration also assumes a $10,000 or $1,000,000 investment, as applicable, in the Citigroup 3-Month U.S. Treasury Bill Index. The Citigroup 3-Month U.S. Treasury Bill Index is an unmanaged index generally representative of the average yield of 3-Month U.S. Treasury bills. The Index is unmanaged and is not subject to the same management and trading expenses as a mutual fund. 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, C1 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.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		11

Schedule of investments

October 31, 2015

Legg Mason BW Absolute Return Opportunities Fund


Security	Rate			Maturity Date		Face Amount†			Value
Sovereign Bonds — 44.3%
Australia — 2.5%
Queensland Treasury Corp., Senior Notes		5.750	%		7/22/24		48,550,000	^AUD	$	41,703,351	^(a)
Brazil — 3.8%
Federative Republic of Brazil, Notes		10.000	%		1/1/21		15,660,000	^BRL		3,287,778
Federative Republic of Brazil, Notes		10.000	%		1/1/23		145,645,000	^BRL		28,952,106
Federative Republic of Brazil, Notes		10.000	%		1/1/25		171,015,000	^BRL		32,567,281
Total Brazil										64,807,165
Hungary — 3.9%
Republic of Hungary, Bonds		7.500	%		11/12/20		328,460,000	^HUF		1,427,430
Republic of Hungary, Bonds		6.000	%		11/24/23		12,485,000,000	^HUF		52,337,765
Republic of Hungary, Bonds		5.500	%		6/24/25		3,200,000,000	^HUF		13,251,437
Total Hungary										67,016,632
Indonesia — 4.1%
Republic of Indonesia, Senior Bonds		8.375	%		3/15/24		90,600,000,000	^IDR		6,447,609
Republic of Indonesia, Senior Bonds		9.000	%		3/15/29		638,150,000,000	^IDR		46,272,227
Republic of Indonesia, Senior Bonds		8.375	%		3/15/34		50,800,000,000	^IDR		3,459,373
Republic of Indonesia, Senior Bonds		8.750	%		2/15/44		205,600,000,000	^IDR		14,117,221
Total Indonesia										70,296,430
Italy — 1.1%
Italy Buoni Poliennali Del Tesoro, Senior Bonds		5.000	%		8/1/39		11,450,000	^EUR		18,347,599	^(a)
Malaysia — 2.5%
Federation of Malaysia, Senior Bonds		3.659	%		10/15/20		73,195,000	^MYR		16,987,339
Federation of Malaysia, Senior Bonds		4.048	%		9/30/21		25,510,000	^MYR		5,933,308
Federation of Malaysia, Senior Bonds		3.480	%		3/15/23		87,370,000	^MYR		19,512,349
Total Malaysia										42,432,996
Mexico — 14.3%
United Mexican States, Senior Bonds		8.500	%		5/31/29		912,630,000	^MXN		65,885,910
United Mexican States, Senior Bonds		8.500	%		11/18/38		1,126,570,000	^MXN		82,323,473
United Mexican States, Senior Bonds		7.750	%		11/13/42		1,407,700,000	^MXN		95,631,184
Total Mexico										243,840,567
New Zealand — 3.4%
Government of New Zealand, Senior Bonds		6.000	%		5/15/21		52,010,000	^NZD		40,886,851	^(a)
Government of New Zealand, Senior Bonds		5.500	%		4/15/23		22,495,000	^NZD		17,728,679	^(a)
Total New Zealand										58,615,530
Poland — 2.2%
Republic of Poland, Bonds		3.250	%		7/25/25		140,025,000	^PLN		38,056,573
Portugal — 2.9%
Portugal Obrigacoes do Tesouro OT, Senior Bonds		4.950	%		10/25/23		38,155,000	^EUR		50,244,200	^(a)

See Notes to Financial Statements.


12		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Legg Mason BW Absolute Return Opportunities Fund


Security	Rate			Maturity Date		Face Amount†			Value
South Africa — 3.6%
Republic of South Africa, Bonds		6.750	%		3/31/21		154,535,000	^ZAR	$	10,625,607
Republic of South Africa, Bonds		6.500	%		2/28/41		721,055,000	^ZAR		39,098,177
Republic of South Africa, Bonds		8.750	%		2/28/48		175,220,000	^ZAR		12,200,448
Total South Africa										61,924,232
Total Sovereign Bonds (Cost — $917,736,285)										757,285,275
Collateralized Mortgage Obligations — 2.0%
Fondo de Titulizacion de Activos UCI, 2016 A2		0.112	%		6/16/49		3,476,064	^EUR		3,082,447	^(a)(b)
IM Pastor Fondo de Titulizacion de Activos, 2004 A		0.103	%		3/22/44		12,290,652	^EUR		10,895,199	^(a)(b)
MASTR Resecuritization Trust, 2008-4 A1		6.000	%		6/27/36		64,006			54,829	^(b)(c)
TDA CAM Fondo de Titulizacion de Activos, 2008 A		0.098	%		2/26/49		14,659,767	^EUR		14,674,404	^(a)(b)
TDA Fondo de Titulizacion de Activos, 2027-A2		0.110	%		12/28/50		5,119,832	^EUR		5,276,279	^(a)(b)
Total Collateralized Mortgage Obligations (Cost — $43,475,126)										33,983,158
Corporate Bonds & Notes — 26.8%
Consumer Discretionary — 3.4%
Automobiles — 2.5%
Ford Motor Credit Co., LLC, Senior Notes		4.207	%		4/15/16		9,720,000			9,851,317
Ford Motor Credit Co., LLC, Senior Notes		1.095	%		1/17/17		18,245,000			18,153,483	^(b)
Ford Motor Credit Co., LLC, Senior Notes		1.237	%		6/15/18		15,655,000			15,499,186	^(b)
Total Automobiles										43,503,986
Media — 0.9%
DISH DBS Corp., Senior Notes		4.625	%		7/15/17		14,305,000			14,698,388
Total Consumer Discretionary										58,202,374
Financials — 21.9%
Banks — 12.8%
Abbey National Treasury Services PLC, Senior Notes		0.736	%		9/29/17		13,535,000			13,459,109	^(b)
ABN AMRO Bank NV, Senior Notes		1.123	%		10/28/16		10,735,000			10,765,917	^(b)(c)
ANZ New Zealand International Ltd., Senior Notes		0.843	%		4/27/17		4,000,000			3,999,748	^(b)(c)
Banco Santander Chile, Senior Notes		1.221	%		4/11/17		8,800,000			8,674,257	^(b)(c)
Bank of America Corp., Senior Notes		6.500	%		8/1/16		24,855,000			25,865,878
Bank of America Corp., Senior Notes		1.361	%		1/15/19		24,880,000			24,992,109	^(b)
Barclays Bank PLC, Senior Notes		0.873	%		12/9/16		14,510,000			14,511,915	^(b)
Citigroup Inc., Senior Bonds		0.872	%		3/10/17		17,110,000			17,067,259	^(b)
Citigroup Inc., Senior Bonds		1.013	%		4/27/18		12,550,000			12,505,711	^(b)
Commonwealth Bank of Australia, Senior Notes		0.845	%		9/20/16		10,415,000			10,440,392	^(b)(c)
Corporacion Andina de Fomento, Senior Notes		0.874	%		1/29/18		19,700,000			19,696,375	^(b)
Fifth Third Bancorp, Bonds		0.765	%		12/20/16		2,175,000			2,163,292	^(b)
HBOS PLC, Subordinated Notes		1.032	%		9/6/17		11,075,000			10,995,570	^(a)(b)

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		13

Schedule of investments (cont’d)

October 31, 2015

Legg Mason BW Absolute Return Opportunities Fund


Security	Rate			Maturity Date		Face Amount†			Value
Banks — continued
JPMorgan Chase & Co., Senior Notes		1.220	%		1/25/18		22,960,000		$	23,044,263	^(b)
Shinhan Bank, Senior Notes		0.968	%		4/8/17		20,150,000			20,132,228	^(b)(c)
Total Banks										218,314,023
Capital Markets — 7.5%
Deutsche Bank AG, Senior Notes		0.924	%		2/13/17		19,725,000			19,702,060	^(b)
Goldman Sachs Group Inc., Senior Notes		1.421	%		11/15/18		48,895,000			49,140,453	^(b)
Macquarie Bank Ltd., Senior Notes		0.953	%		10/27/17		10,400,000			10,346,845	^(b)(c)
Macquarie Group Ltd., Senior Notes		1.297	%		1/31/17		9,520,000			9,537,536	^(b)(c)
Morgan Stanley, Senior Notes		1.600	%		4/25/18		38,555,000			39,068,167	^(b)
Total Capital Markets										127,795,061
Consumer Finance — 1.0%
American Express Credit Corp., Senior Notes		0.907	%		7/31/18		17,780,000			17,708,133	^(b)
Diversified Financial Services — 0.6%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Senior Notes		2.750	%		5/15/17		11,278,000			11,235,708
Total Financials										375,052,925
Health Care — 0.7%
Health Care Providers & Services — 0.7%
HCA Inc., Senior Notes		6.500	%		2/15/16		12,020,000			12,176,260
Telecommunication Services — 0.8%
Diversified Telecommunication Services — 0.8%
Verizon Communications Inc., Senior Notes		1.867	%		9/15/16		13,390,000			13,515,143	^(b)
Total Corporate Bonds & Notes (Cost — $460,120,576)										458,946,702
U.S. Government & Agency Obligations — 21.7%
U.S. Government Agencies — 21.7%
U.S. Treasury Notes		0.104	%		1/31/17		15,825,000			15,822,436	^(b)
U.S. Treasury Notes		0.094	%		4/30/17		189,020,000			188,916,039	^(b)
U.S. Treasury Notes		0.097	%		7/31/17		167,750,000			167,611,606	^(b)
Total U.S. Government & Agency Obligations (Cost — $372,582,402)										372,350,081
Total Investments before Short-Term Investments (Cost — $1,793,914,389)										1,622,565,216

						Shares
Short-Term Investments — 3.3%
State Street Institutional Liquid Reserves Fund, Premier Class (Cost — $55,579,857)		0.137	%				55,579,857			55,579,857
Total Investments — 98.1% (Cost — $1,849,494,246#)										1,678,145,073
Other Assets in Excess of Liabilities — 1.9%								��		32,602,781
Total Net Assets — 100.0%									$	1,710,747,854

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

See Notes to Financial Statements.


14		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Legg Mason BW Absolute Return Opportunities Fund

^(a)

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

^(b)	Variable rate security. Interest rate disclosed is as of the most recent information available.

^(c)

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 $1,849,916,209.


Abbreviations used in this schedule:
AUD		— Australian Dollar
BRL		— Brazilian Real
EUR		— Euro
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NZD		— New Zealand Dollar
PLN		— Polish Zloty
ZAR		— South African Rand


Summary of Investments by Country* (unaudited)
United States	39.8	%
Mexico	14.5
Australia	4.3
Indonesia	4.2
Hungary	4.0
Brazil	3.9
New Zealand	3.7
South Africa	3.7
Portugal	3.0
Malaysia	2.5
United Kingdom	2.3
Poland	2.3
Spain	2.0
Netherlands	1.3
South Korea	1.2
Germany	1.2
Supranational	1.2
Italy	1.1
Chile	0.5
Short-Term Investments	3.3
	100.0	%
* As a percentage of total investments. Please note that the Fund holdings are as of October 31, 2015 and are subject to change.

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		15

Statement of assets and liabilities

October 31, 2015



Assets:
Investments, at value (Cost — $1,849,494,246)	$	1,678,145,073
Foreign currency, at value (Cost — $44)		44
Cash		72,991
Interest receivable		17,526,574
Receivable for Fund shares sold		14,420,010
Deposits with brokers for open futures contracts		9,696,614
Unrealized appreciation on forward foreign currency contracts		6,341,541
Prepaid expenses		99,054
*Total Assets*		*1,726,301,901*

Liabilities:
Unrealized depreciation on forward foreign currency contracts		10,606,393
Payable to broker — variation margin on open futures contracts		1,960,763
Payable for Fund shares repurchased		1,165,447
Investment management fee payable		798,259
Service and/or distribution fees payable		118,158
Payable for securities purchased		7,561
Trustees’ fees payable		5,973
Accrued foreign capital gains tax		4,177
Accrued expenses		887,316
*Total Liabilities*		*15,554,047*
Total Net Assets	$	1,710,747,854

Net Assets:
Par value (Note 7)	$	1,454
Paid-in capital in excess of par value		1,838,459,014
Undistributed net investment income		22,067,511
Accumulated net realized gain on investments, futures contracts and foreign currency transactions		28,183,891
Net unrealized depreciation on investments, futures contracts and foreign currencies		(177,964,016)	*
Total Net Assets	$	1,710,747,854

*	Net of accrued foreign capital gains tax of $4,177.

See Notes to Financial Statements.


16		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report



Net Assets:
Class A			$478,872,053
Class C			$15,654,023
Class C1			$3,592,402
Class FI			$3,515,798
Class R			$11,292
Class I			$633,361,729
Class IS			$575,740,557

Shares Outstanding:
Class A			40,738,150
Class C			1,332,107
Class C1			305,480
Class FI			299,461
Class R			957
Class I			53,813,606
Class IS			48,883,906

Net Asset Value:
Class A (and redemption price)			$11.75
Class C**			$11.75
Class C1 (and redemption price)			$11.76
Class FI (and redemption price)			$11.74
Class R (and redemption price)			$11.80
Class I (and redemption price)			$11.77
Class IS (and redemption price)			$11.78
Maximum Public Offering Price Per Share:
Class A (based on maximum initial sales charge of 2.25%)			$12.02

**	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 Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		17

Statement of operations

For the Year Ended October 31, 2015



Investment Income:
Interest	$	51,992,163
Less: Foreign taxes withheld		(1,329,500)
*Total Investment Income*		*50,662,663*

Expenses:
Investment management fee (Note 2)		10,572,134
Transfer agent fees (Note 5)		2,098,059
Service and/or distribution fees (Notes 2 and 5)		1,260,232
Custody fees		500,265
Fees recaptured by investment manager (Note 2)		236,137
Registration fees		190,941
Trustees’ fees		150,949
Fund accounting fees		138,035
Legal fees		109,325
Audit and tax fees		44,315
Shareholder reports		43,738
Insurance		20,926
Miscellaneous expenses		14,277
*Total Expenses*		*15,379,333*
Less: Fee waivers and/or expense reimbursements (Notes 2 and 5)		(479,200)
*Net Expenses*		*14,900,133*
Net Investment Income		35,762,530

Realized and Unrealized Gain (Loss) on Investments, Futures Contracts and Foreign Currency Transactions (Notes 1, 3 and 4):
Net Realized Gain (Loss) From:
Investment transactions		(6,786,600)
Futures contracts		(23,181,566)
Foreign currency transactions		125,786,727
*Net Realized Gain*		*95,818,561*
Change in Net Unrealized Appreciation (Depreciation) From:
Investments		(161,482,399)	†
Futures contracts		3,209,927
Foreign currencies		(56,839,711)
*Change in Net Unrealized Appreciation (Depreciation)*		*(215,112,183)*
Net Loss on Investments, Futures Contracts and Foreign Currency Transactions		(119,293,622)
Decrease in Net Assets from Operations	$	(83,531,092)

†	Net of change in accrued foreign capital gains tax of $(16,903).

See Notes to Financial Statements.


18		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Statements of changes in net assets


For the Years Ended October 31,	2015		2014

Operations:
Net investment income	$	35,762,530	$	27,025,323
Net realized gain (loss)		95,818,561		(1,074,017)
Change in net unrealized appreciation (depreciation)		(215,112,183)		54,012,807
*Increase (Decrease) in Net Assets from Operations*		*(83,531,092)*		*79,964,113*

Distributions to Shareholders From (Notes 1 and 6):
Net investment income		(51,446,554)		(22,916,803)
Net realized gains		(40,455,201)		—
*Decrease in Net Assets from Distributions to Shareholders*		*(91,901,755)*		*(22,916,803)*

Fund Share Transactions (Note 7):
Net proceeds from sale of shares		989,417,371		969,449,180
Reinvestment of distributions		82,876,946		20,273,222
Cost of shares repurchased		(614,082,583)		(333,408,392)
*Increase in Net Assets from Fund Share Transactions*		*458,211,734*		*656,314,010*
*Increase in Net Assets*		*282,778,887*		*713,361,320*

Net Assets:
Beginning of year		1,427,968,967		714,607,647
End of year*	$	1,710,747,854	$	1,427,968,967
*Includes undistributed (overdistributed) net investment income, respectively, of:		$22,067,511		$(621,449)

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		19

Financial highlights


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class A Shares¹	2015			2014			2013			2012			2011²

Net asset value, beginning of year		$13.09			$12.46			$12.73			$11.91			$12.00

Income (loss) from operations:
Net investment income		0.23			0.29			0.26			0.29			0.16
Net realized and unrealized gain (loss)		(0.87)			0.58			0.02			0.87			(0.10)
*Total income (loss) from operations*		*(0.64)*			*0.87*			*0.28*			*1.16*			*0.06*

Less distributions from:
Net investment income		(0.36)			(0.24)			(0.00)	³		(0.28)			(0.15)
Net realized gains		(0.34)			—			(0.27)			(0.06)			—
Return of capital		—			—			(0.28)			—			—
*Total distributions*		*(0.70)*			*(0.24)*			*(0.55)*			*(0.34)*			*(0.15)*

Net asset value, end of year		$11.75			$13.09		��	$12.46			$12.73			$11.91
*Total return⁴*		*(5.05)*	%		*7.07*	%		*2.17*	%		*9.83*	%		*0.51*	%

Net assets, end of year (000s)		$478,872			$302,754			$139,179			$17,205			$22,560

Ratios to average net assets:
Gross expenses		1.30	%⁵		1.27	%⁵		1.22	%⁵		1.50	%		2.41	%⁶
Net expenses^7,8		1.20	⁵		1.20	⁵		1.20	⁵		1.18			1.20	⁶
Net investment income		1.87			2.30			2.08			2.39			2.04	⁶

Portfolio turnover rate		43	%		64	%		92	%		97	%		105	%

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

²	For the period February 28, 2011 (inception date) through October 31, 2011.

³	Amount represents less than $0.005 per share.

⁴

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.

⁵	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A shares did not exceed 1.20%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


20		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class C Shares¹	2015			2014			2013			2012²

Net asset value, beginning of year		$13.08			$12.46			$12.73			$12.54

Income (loss) from operations:
Net investment income		0.15			0.21			0.16			0.06
Net realized and unrealized gain (loss)		(0.85)			0.57			0.03			0.19
*Total income (loss) from operations*		*(0.70)*			*0.78*			*0.19*			*0.25*

Less distributions from:
Net investment income		(0.29)			(0.16)			(0.00)	³		(0.06)
Net realized gains		(0.34)			—			(0.27)			—
Return of capital		—			—			(0.19)			—
*Total distributions*		*(0.63)*			*(0.16)*			*(0.46)*			*(0.06)*

Net asset value, end of year		$11.75			$13.08			$12.46			$12.73
*Total return⁴*		*(5.56)*	%		*6.30*	%		*1.45*	%		*1.99*	%

Net assets, end of year (000s)		$15,654			$12,326			$12,680			$515

Ratios to average net assets:
Gross expenses		1.81	%⁵		1.91	%⁵		1.91	%⁵		1.85	%⁶
Net expenses⁷		1.81	⁵		1.91	^5,8		1.89	^5,8		1.85	^6,8
Net investment income		1.26			1.63			1.30			2.09	⁶

Portfolio turnover rate		43	%		64	%		92	%		97	%

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

²	For the period August 1, 2012 (inception date) to October 31, 2012.

³	Amount represents less than $0.005 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	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class C shares did not exceed 1.95%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		21

Financial highlights (cont’d)


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class C1 Shares^1,2	2015			2014			2013			2012			2011³

Net asset value, beginning of year		$13.08			$12.46			$12.73			$11.91			$12.00

Income (loss) from operations:
Net investment income		0.17			0.23			0.22			0.22			0.12
Net realized and unrealized gain (loss)		(0.85)			0.57			0.00	⁴		0.87			(0.10)
*Total income (loss) from operations*		*(0.68)*			*0.80*			*0.22*			*1.09*			*0.02*

Less distributions from:
Net investment income		(0.30)			(0.18)			(0.00)	⁴		(0.21)			(0.11)
Net realized gains		(0.34)			—			(0.27)			(0.06)			—
Return of capital		—			—			(0.22)			—			—
*Total distributions*		*(0.64)*			*(0.18)*			*(0.49)*			*(0.27)*			*(0.11)*

Net asset value, end of year		$11.76			$13.08			$12.46			$12.73			$11.91
*Total return⁵*		*(5.42)*	%		*6.48*	%		*1.67*	%		*9.28*	%		*0.18*	%

Net assets, end of year (000s)		$3,592			$4,275			$4,813			$7,460			$14,569

Ratios to average net assets:
Gross expenses		1.70	%⁶		1.73	%⁶		1.81	%⁶		2.03	%		2.90	%⁷
Net expenses⁸		1.70	⁶		1.70	^6,9		1.70	^6,9		1.67	⁹		1.70	^7,9
Net investment income		1.37			1.84			1.73			1.84			1.56	⁷

Portfolio turnover rate		43	%		64	%		92	%		97	%		105	%

¹	On August 1, 2012, Class C shares were reclassified as Class C1 shares.

²	Per share amounts have been calculated using the average shares method.

³	For the period February 28, 2011 (inception date) through October 31, 2011.

⁴	Amount represents less than $0.005 per share.

⁵

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.

⁶	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁷	Annualized.

⁸

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class C1 shares did not exceed 1.70%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁹	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


22		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class FI Shares¹	2015			2014			2013			2012²

Net asset value, beginning of year		$13.07			$12.46			$12.73			$11.91

Income (loss) from operations:
Net investment income		0.24			0.29			0.28			0.30
Net realized and unrealized gain (loss)		(0.85)			0.57			0.00	³		0.86
*Total income (loss) from operations*		*(0.61)*			*0.86*			*0.28*			*1.16*

Less distributions from:
Net investment income		(0.38)			(0.25)			(0.00)	³		(0.28)
Net realized gains		(0.34)			—			(0.27)			(0.06)
Return of capital		—			—			(0.28)			—
*Total distributions*		*(0.72)*			*(0.25)*			*(0.55)*			*(0.34)*

Net asset value, end of year		$11.74			$13.07			$12.46			$12.73
*Total return⁴*		*(4.89)*	%		*7.01*	%		*2.18*	%		*9.84*	%

Net assets, end of year (000s)		$3,516			$381			$228			$11

Ratios to average net assets:
Gross expenses		1.13	%⁵		1.30	%		1.15	%⁵		1.64	%⁶
Net expenses⁷		1.13	⁵		1.19	⁸		1.15	⁵		1.20	^6,8
Net investment income		1.94			2.33			2.23			2.44	⁶

Portfolio turnover rate		43	%		64	%		92	%		97	%

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

²	For the period October 31, 2011 (inception date) through October 31, 2012.

³	Amount represents less than $0.005 per share.

⁴

⁵	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class FI shares did not exceed 1.20%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		23

Financial highlights (cont’d)


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class R Shares¹	2015			2014			2013			2012²

Net asset value, beginning of year		$13.13			$12.46			$12.73			$11.91

Income (loss) from operations:
Net investment income		0.20			0.27			0.25			0.27
Net realized and unrealized gain (loss)		(0.86)			0.57			0.00	³		0.86
*Total income (loss) from operations*		*(0.66)*			*0.84*			*0.25*			*1.13*

Less distributions from:
Net investment income		(0.33)			(0.17)			—			(0.25)
Net realized gains		(0.34)			—			(0.27)			(0.06)
Return of capital		—			—			(0.25)			—
*Total distributions*		*(0.67)*			*(0.17)*			*(0.52)*			*(0.31)*

Net asset value, end of year		$11.80			$13.13			$12.46			$12.73
*Total return⁴*		*(5.25)*	%		*6.78*	%		*1.91*	%		*9.56*	%

Net assets, end of year (000s)		$11			$12			$35			$11

Ratios to average net assets:
Gross expenses		1.56	%⁵		1.66	%⁵		1.61	%		1.91	%⁶
Net expenses^7,8		1.45	⁵		1.45	⁵		1.45			1.45	⁶
Net investment income		1.59			2.11			1.96			2.19	⁶

Portfolio turnover rate		43	%		64	%		92	%		97	%

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

²	For the period October 31, 2011 (inception date) through October 31, 2012.

³	Amount represents less than $0.005 per share.

⁴

⁵	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class R shares did not exceed 1.45%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


24		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class I Shares¹	2015			2014			2013			2012			2011²

Net asset value, beginning of year		$13.10			$12.47			$12.73			$11.91			$12.00

Income (loss) from operations:
Net investment income		0.27			0.34			0.31			0.36			0.19
Net realized and unrealized gain (loss)		(0.86)			0.57			0.03			0.84			(0.10)
*Total income (loss) from operations*		*(0.59)*			*0.91*			*0.34*			*1.20*			*0.09*

Less distributions from:
Net investment income		(0.40)			(0.28)			(0.00)	³		(0.32)			(0.18)
Net realized gains		(0.34)			—			(0.27)			(0.06)			—
Return of capital		—			—			(0.33)			—			—
*Total distributions*		*(0.74)*			*(0.28)*			*(0.60)*			*(0.38)*			*(0.18)*

Net asset value, end of year		$11.77			$13.10			$12.47			$12.73			$11.91
*Total return⁴*		*(4.66)*	%		*7.38*	%		*2.62*	%		*10.22*	%		*0.76*	%

Net assets, end of year (000s)		$633,362			$512,364			$371,849			$64,138			$6,217

Ratios to average net assets:
Gross expenses		0.86	%⁵		0.88	%⁵		0.89	%⁵		1.03	%		2.15	%⁶
Net expenses^7,8		0.85	⁵		0.85	⁵		0.85	⁵		0.83			0.85	⁶
Net investment income		2.22			2.67			2.42			2.93			2.44	⁶

Portfolio turnover rate		43	%		64	%		92	%		97	%		105	%

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

²	For the period February 28, 2011 (inception date) through October 31, 2011.

³	Amount represents less than $0.005 per share.

⁴

⁵	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class I shares did not exceed 0.85%. This expense limitation arrangement cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		25

Financial highlights (cont’d)


For a share of each class of beneficial interest outstanding throughout each year ended October 31, unless otherwise noted:
Class IS Shares¹	2015			2014			2013²

Net asset value, beginning of year		$13.11			$12.47			$12.97

Income (loss) from operations:
Net investment income		0.29			0.35			0.21
Net realized and unrealized gain (loss)		(0.86)			0.58			(0.51)
*Total income (loss) from operations*		*(0.57)*			*0.93*			*(0.30)*

Less distributions from:
Net investment income		(0.42)			(0.29)			(0.00)	³
Net realized gains		(0.34)			—			—
Return of capital		—			—			(0.20)
*Total distributions*		*(0.76)*			*(0.29)*			*(0.20)*

Net asset value, end of year		$11.78			$13.11			$12.47
*Total return⁴*		*(4.53)*	%		*7.57*	%		*(2.33)*	%

Net assets, end of year (000s)		$575,741			$595,857			$185,824

Ratios to average net assets:
Gross expenses		0.72	%⁵		0.74	%⁵		0.76	%⁶
Net expenses⁷		0.72	⁵		0.73	^5,8		0.75	^6,8
Net investment income		2.35			2.78			2.42	⁶

Portfolio turnover rate		43	%		64	%		92	%

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

²	For the period March 1, 2013 (inception date) through October 31, 2013.

³	Amount represents less than $0.005 per share.

⁴

⁵	Reflects recapture of expenses waived/reimbursed from prior fiscal years.

⁶	Annualized.

⁷

As a result of an expense limitation arrangement, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class IS shares did not exceed 0.75%. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

⁸	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.


26		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Notes to financial statements

1. Organization and significant accounting policies

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

(a) Investment valuation. 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. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. 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. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (formerly, Legg Mason North American Fund Valuation Committee) (the “Valuation


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		27

Notes to financial statements (cont’d)

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:

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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


28		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

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†:
Sovereign bonds		—	$	757,285,275		—	$	757,285,275
Collateralized mortgage obligations		—		33,983,158		—		33,983,158
Corporate bonds & notes		—		458,946,702		—		458,946,702
U.S. government & agency obligations		—		372,350,081		—		372,350,081
Total long-term investments		—	$	1,622,565,216		—	$	1,622,565,216
Short-term investments†	$	55,579,857		—		—		55,579,857
Total investments	$	55,579,857	$	1,622,565,216		—	$	1,678,145,073
Other financial instruments:
Futures contracts	$	1,230,075		—		—	$	1,230,075
Forward foreign currency contracts		—	$	6,341,541		—		6,341,541
Total other financial instruments	$	1,230,075	$	6,341,541		—	$	7,571,616
Total	$	56,809,932	$	1,628,906,757		—	$	1,685,716,689


LIABILITIES
Description	Quoted Prices (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Other financial instruments:
Futures contracts	$	3,200,584		—		—	$	3,200,584
Forward foreign currency contracts		—	$	10,606,393		—		10,606,393
Total	$	3,200,584	$	10,606,393		—	$	13,806,977

†	See Schedule of Investments for additional detailed categorizations.

(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its subadviser 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


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		29

Notes to financial statements (cont’d)

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

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

(d) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge exposure of bond positions or in an 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 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 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) 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.


30		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

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

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

(f) Credit and market risk. Investments in securities that are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.

The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investments in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

(g) 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


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		31

Notes to financial statements (cont’d)

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.

(h) 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 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.

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

Absent an event of default by the counterparty or a termination of the agreement, the terms of the master agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

As of October 31, 2015, the Fund held forward foreign currency with credit related contingent features which had a liability position of $10,606,393. 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.

(i) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium


32		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. 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.

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

(k) 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.

(l) 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.

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

Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of October 31, 2015, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates. Realized gains upon disposition of securities issued in or by certain foreign countries are subject to capital gains tax imposed by those countries. As of October 31, 2015, there were $4,177 of capital gains tax liabilities accrued on unrealized gains.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		33

Notes to financial statements (cont’d)

(n) 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 values per share. During the current year, the following reclassifications have been made:


	Undistributed Net Investment Income		Accumulated Net Realized Gain
(a)	$	38,372,984	$	(38,372,984)

^(a)	Reclassifications are due to foreign currency transactions treated as ordinary income for tax purposes and losses from mortgage backed securities treated as capital losses for tax purposes.

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager and Brandywine Global Investment Management, LLC (“Brandywine Global”) is the Fund’s subadviser. LMPFA and Brandywine Global are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”).

Under the investment management agreement, the Fund pays an investment management fee, calculated daily and paid monthly, in accordance with the following breakpoint schedule:


Average Daily Net Assets	Annual Rate
First $1 billion		0.650	%
Next $1 billion		0.625
Next $3 billion		0.600
Next $5 billion		0.575
Over $10 billion		0.550

LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund. For its services, LMPFA pays Brandywine Global 70% of the net management fee it receives from the Fund.

As a result of expense limitation arrangements between the Fund and LMPFA, the ratio of expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares did not exceed 1.20%, 1.95%, 1.70%, 1.20%, 1.45%, 0.85% and 0.75%, respectively. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses of Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2017 without the Board of Trustees’ consent.

During the year ended October 31, 2015, fees waived and/or expenses reimbursed amounted to $479,200.

LMPFA is permitted to recapture amounts waived and/or reimbursed to a class within three years after the fiscal year in which LMPFA 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


34		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

case will LMPFA 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.

Pursuant to these arrangements, at October 31, 2015, 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 C		Class C1		Class FI		Class R		Class I		Class IS
Expires October 31, 2016		—		—	$	6,863		—	$	20		—		—
Expires October 31, 2017	$	47,168		—		1,313		—		55	$	90,327		—
Expires October 31, 2018		418,431		—		—		—		13		60,756		—
Total fee waivers/expense reimbursements subject to recapture	$	465,599		—	$	8,176		—	$	88	$	151,083		—

For the year ended October 31, 2015, LMPFA recaptured $123,825, $320, $7,840, $295, $32, $73,749 and $30,076 for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares, respectively.

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 2.25% for Class A shares. In certain cases, Class A shares have a 0.50% contingent deferred sales charge (“CDSC”), which applies if redemption occurs within 18 months from purchase payment. This CDSC only applies to those purchases of Class A shares, which, when combined with current holdings of other shares of funds sold by LMIS, equal or exceed $500,000 in the aggregate. These purchases do not incur an initial sales charge. Class C1 shares are not available for purchase by new or existing investors. Class C1 shares will continue to be available for dividend reinvestment and incoming exchanges. 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.

For the year ended October 31, 2015, LMIS and its affiliates retained sales charges of $69,867 on sales of the Fund’s Class A shares. In addition, for the year ended October 31, 2015, CDSCs paid to LMIS and its affiliates were:


	Class A		Class C
CDSCs	$	151	$	3,015

Under a Deferred Compensation Plan (the “Plan”), Trustees may elect to defer receipt of all or a specified portion of their compensation. A participating Trustee may select one or more funds managed by affiliates of Legg Mason in which his or her deferred trustee’s fees will be deemed to be invested. Deferred amounts remain in the Fund until distributed in accordance with the Plan. In May 2015, the Board of Trustees approved an amendment to the Plan so that effective January 1, 2016, no compensation earned after that date may be deferred under the Plan.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		35

Notes to financial statements (cont’d)

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

3. Investments

During the year ended October 31, 2015, 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	$	526,078,256	$	608,602,902
Sales		190,981,220		465,632,367

At October 31, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:


Gross unrealized appreciation	$	4,238,149
Gross unrealized depreciation		(176,009,285)
Net unrealized depreciation	$	(171,771,136)

At October 31, 2015, the Fund had the following open futures contracts:


	Number of Contracts		Expiration Date		Basis Value		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
U.S. Treasury Ultra Long-Term Bonds		857		12/15	$	135,675,675	$	136,905,750	$	1,230,075
Contracts to Sell:
Euro-OAT		863		12/15		142,233,393		145,433,977		(3,200,584)
Net unrealized depreciation on open futures contracts									$	(1,970,509)

At October 31, 2015, the Fund had the following open forward foreign currency contracts:


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CLP	8,493,000,000	USD	12,325,666	HSBC Bank USA, N.A.		11/10/15	$	(52,899)
USD	394,105,202	EUR	359,920,000	Citibank N.A.		11/13/15		(1,728,350)
USD	35,973,126	EUR	31,860,000	Citibank N.A.		11/13/15		934,070
USD	3,923,502	AUD	5,570,000	Citibank N.A.		11/16/15		(45,780)
USD	86,672,734	SGD	121,900,000	HSBC Bank USA, N.A.		11/16/15		(300,323)
USD	40,108,749	AUD	55,040,000	Morgan Stanley & Co. Inc.		11/16/15		886,254
NZD	17,990,000	USD	12,200,548	Citibank N.A.		11/17/15		(31,207)
NZD	18,420,000	USD	12,504,233	Citibank N.A.		11/17/15		(44,018)
USD	24,249,060	NZD	36,410,000	Citibank N.A.		11/17/15		(380,495)
INR	867,000,000	USD	12,907,548	JPMorgan Chase		11/19/15		321,695
JPY	2,811,500,000	USD	23,496,268	Citibank N.A.		12/4/15		(191,066)
JPY	3,371,500,000	USD	28,037,609	Citibank N.A.		12/4/15		(90,431)
JPY	2,061,000,000	USD	17,222,764	Citibank N.A.		12/4/15		(138,638)
JPY	2,061,000,000	USD	17,225,082	Citibank N.A.		12/4/15		(140,955)


36		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report


Currency Purchased			Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD		368,873,602	JPY	44,260,000,000	Citibank N.A.		12/4/15	$	1,991,774
USD		33,768,087	JPY	4,070,000,000	Citibank N.A.		12/4/15		30,874
INR		4,261,000,000	USD	63,018,561	Barclays Bank PLC		12/16/15		1,685,346
INR		346,000,000	USD	5,132,008	Barclays Bank PLC		12/16/15		122,052
SEK		282,350,000	USD	34,146,802	HSBC Bank USA, N.A.		1/8/16		(1,042,775)
AUD		47,470,000	USD	34,574,775	National Australia Bank Ltd.		1/13/16		(842,895)
CLP		24,507,000,000	USD	35,020,006	HSBC Bank USA, N.A.		1/15/16		180,235
CLP		6,186,000,000	USD	8,927,695	HSBC Bank USA, N.A.		1/15/16		(42,532)
NOK		426,200,000	USD	52,496,736	HSBC Bank USA, N.A.		1/20/16		(2,394,945)
SEK		464,000,000	USD	56,538,825	HSBC Bank USA, N.A.		1/21/16		(2,117,484)
CLP	��	7,448,000,000	USD	10,494,575	HSBC Bank USA, N.A.		1/29/16		189,241
CLP		45,169,000,000	USD	65,729,045	HSBC Bank USA, N.A.		2/12/16		(1,021,600)
Total								$	(4,264,852)


Abbreviations used in this table:
AUD		— Australian Dollar
CLP		— Chilean Peso
EUR		— Euro
INR		— Indian Rupee
JPY		— Japanese Yen
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
SEK		— Swedish Krona
SGD		— Singapore Dollar
USD		— United States Dollar

4. Derivative instruments and hedging activities

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at October 31, 2015.


ASSET DERIVATIVES¹
	Foreign Exchange Risk		Interest Rate Risk		Total
Futures contracts²			$	1,230,075	$	1,230,075
Forward foreign currency contracts	$	6,341,541		—		6,341,541
Total	$	6,341,541	$	1,230,075	$	7,571,616


LIABILITY DERIVATIVES¹
	Interest Rate Risk		Foreign Exchange Risk		Total
Futures contracts²	$	3,200,584		—	$	3,200,584
Forward foreign currency contracts		—	$	10,606,393		10,606,393
Total	$	3,200,584	$	10,606,393	$	13,806,977

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 on the Statement of Assets and Liabilities.


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		37

Notes to financial statements (cont’d)

The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Statement of Operations for the year ended October 31, 2015. 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		Total
Futures contracts	$	(23,181,566)		—	$	(23,181,566)
Forward foreign currency contracts¹		—	$	128,624,857		128,624,857
Total	$	(23,181,566)	$	128,624,857	$	105,443,291

¹	Net realized gain (loss) from forward foreign currency contracts is reported in net realized gain (loss) from foreign currency transactions in the Statement of Operations.


CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
	Interest Rate Risk		Foreign Exchange Risk		Total
Futures contracts	$	3,209,927		—	$	3,209,927
Forward foreign currency contracts¹		—	$	(56,938,200)		(56,938,200)
Total	$	3,209,927	$	(56,938,200)	$	(53,728,273)

¹	The change in unrealized appreciation (depreciation) from forward foreign currency contracts is reported in the change in net unrealized appreciation (depreciation) from foreign currencies in the Statement of Operations.

During the year ended October 31, 2015, the volume of derivative activity for the Fund was as follows:


	Average Market Value
Futures contracts (to buy)	$	66,972,788
Futures contracts (to sell)		330,855,237
Forward foreign currency contracts (to buy)		391,860,876
Forward foreign currency contracts (to sell)		1,132,411,333

The following table presents by financial instrument, the Fund’s derivative assets net of the related collateral received by the Fund at October 31, 2015:


	Gross Amount of Derivative Assets in the Statement of Assets and Liabilities¹		Collateral Received		Net Amount
Forward foreign currency contracts	$	6,341,541		—	$	6,341,541


38		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

The following table presents by financial instrument, the Fund’s derivative liabilities net of the related collateral pledged by the Fund at October 31, 2015:


	Gross Amount of Derivative Liabilities in the Statement of Assets and Liabilities¹		Collateral Pledged^2,3		Net Amount
Futures contracts⁴	$	1,960,763	$	(1,960,763)		—
Forward foreign currency contracts		10,606,393		—	$	10,606,393
Total	$	12,567,156	$	(1,960,763)	$	10,606,393

¹	Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities.

²	Gross amounts are not offset in the Statement of Assets and Liabilities.

³	In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization.

⁴	Amount represents the current day’s variation margin as reported in the Statement of Assets and Liabilities. It differs from the cumulative appreciation (depreciation) presented in the previous table.

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

The Fund has adopted a Rule 12b-1 shareholder services and distribution plan and under that plan the Fund pays service and/or distribution fees with respect to its Class A, Class C, Class C1, Class FI and Class R shares calculated at the annual rate of 0.25%, 1.00%, 0.75%, 0.25% and 0.50% of the average daily net assets of each class, respectively. Service and/or distribution fees are accrued daily and paid monthly.

For the year ended October 31, 2015, class specific expenses were as follows:


	Service and/or Distribution Fees		Transfer Agent Fees
Class A	$	1,072,088	$	1,304,408
Class C		150,909		14,456
Class C1		30,021		1,694
Class FI		7,155		4,484
Class R		59		12
Class I		—		771,674
Class IS		—		1,331
Total	$	1,260,232	$	2,098,059

For the year ended October 31, 2015, waivers and/or expense reimbursements by class were as follows:


	Waivers/Expense Reimbursements
Class A	$	418,431
Class C		—
Class C1		—
Class FI		—
Class R		13
Class I		60,756
Class IS		—
Total	$	479,200


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		39

Notes to financial statements (cont’d)

6. Distributions to shareholders by class


	Year Ended October 31, 2015		Year Ended October 31, 2014
Net Investment Income:
Class A	$	12,043,756	$	4,065,966
Class C		337,289		151,430
Class C1		96,396		61,909
Class FI		68,968		7,566
Class R		306		350
Class I		17,609,171		9,705,175
Class IS		21,290,668		8,924,407
Total	$	51,446,554	$	22,916,803

Net Realized Gains:
Class A	$	9,581,089		—
Class C		346,309		—
Class C1		108,425		—
Class FI	��	46,290		—
Class R		307		—
Class I		13,607,875		—
Class IS		16,764,906		—
Total	$	40,455,201		—

7. Shares of beneficial interest

At October 31, 2015, 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.

Transactions in shares of each class were as follows:


	Year Ended October 31, 2015				Year Ended October 31, 2014
	Shares		Amount		Shares		Amount
Class A
Shares sold		25,603,096	$	320,992,477		18,800,235	$	238,119,915
Shares issued on reinvestment		1,707,117		21,088,916		315,677		4,016,526
Shares repurchased		(9,709,125)		(120,670,089)		(7,147,567)		(90,259,052)
Net increase		17,601,088	$	221,411,304		11,968,345	$	151,877,389

Class C
Shares sold		633,267	$	7,921,691		269,847	$	3,426,071
Shares issued on reinvestment		43,553		539,311		9,605		121,387
Shares repurchased		(286,964)		(3,532,896)		(354,632)		(4,470,788)
Net increase (decrease)		389,856	$	4,928,106		(75,180)	$	(923,330)


40		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report


	Year Ended October 31, 2015				Year Ended October 31, 2014
	Shares		Amount		Shares		Amount
Class C1
Shares sold		5,169	$	64,216		6,896	$	86,123
Shares issued on reinvestment		16,015		198,674		4,742		59,933
Shares repurchased		(42,425)		(520,079)		(71,147)		(889,463)
Net decrease		(21,241)	$	(257,189)		(59,509)	$	(743,407)

Class FI
Shares sold		462,311	$	5,802,331		37,499	$	482,700
Shares issued on reinvestment		9,368		115,258		595		7,566
Shares repurchased		(201,345)		(2,476,937)		(27,287)		(348,534)
Net increase		270,334	$	3,440,652		10,807	$	141,732

Class R
Shares sold		—		—		37	$	469
Shares issued on reinvestment		49	$	613		28		350
Shares repurchased		—		—		(1,868)		(24,028)
Net increase (decrease)		49	$	613		(1,803)	$	(23,209)

Class I
Shares sold		33,915,124	$	416,666,553		25,836,193	$	326,965,025
Shares issued on reinvestment		2,066,308		25,531,977		578,770		7,354,181
Shares repurchased		(21,284,871)		(260,205,156)		(17,128,753)		(215,761,664)
Net increase		14,696,561	$	181,993,374		9,286,210	$	118,557,542

Class IS
Shares sold		18,907,540	$	237,970,103		31,560,344	$	400,368,877
Shares issued on reinvestment		2,857,087		35,402,197		683,381		8,713,279
Shares repurchased		(18,343,881)		(226,677,426)		(1,680,131)		(21,654,863)
Net increase		3,420,746	$	46,694,874		30,563,594	$	387,427,293

8. Income tax information and distributions to shareholders

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


	2015		2014
Distributions paid from:
Ordinary income	$	66,921,721	$	22,916,803
Net long-term capital gains		24,980,034		—
Total distributions paid	$	91,901,755	$	22,916,803


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		41

Notes to financial statements (cont’d)

As of October 31, 2015, the components of accumulated earnings (losses) on a tax basis were as follows:


Undistributed ordinary income — net	$	29,522,399
Undistributed long-term capital gains — net		16,610,233
Total undistributed earnings	$	46,132,632
Other book/tax temporary differences^(a)		4,540,733
Unrealized appreciation (depreciation)^(b)		(178,385,979)
Total accumulated earnings (losses) — net	$	(127,712,614)

^(a)	Other book/tax temporary differences are attributable to the tax deferral of losses on straddles, 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 to the tax deferral of losses on wash sales.

9. Subsequent event

Effective November 24, 2015, the Fund and certain other participating funds within the Trust (the “Participating Funds”), have available an unsecured revolving credit facility (the “Redemption Facility”) from the lenders and The Bank of New York Mellon (“BNY Mellon”), as administrative agent for the lenders. The Redemption Facility is to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of shares. Under the agreement, BNY Mellon provides a 364-day revolving credit facility, in the aggregate amount of $190 million. Unless renewed, the agreement will terminate on November 22, 2016. Any borrowings under the Redemption Facility will bear interest at current market rates as set forth in the credit agreement. The annual commitment fee to maintain the Redemption Facility is 0.10% and is incurred on the unused portion of the facility and is allocated to all Participating Funds pro rata based on net assets.


42		Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report

Report of independent registered public accounting firm

To the Board of Trustees of Legg Mason Global Asset Management Trust and to the Shareholders of Legg Mason BW Absolute Return Opportunities Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Legg Mason BW Absolute Return Opportunities Fund (one of the funds comprising Legg Mason Global Asset Management Trust, the “Fund”) at October 31, 2015, the results of its operations, the changes in its net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These 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 October 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Baltimore, Maryland

December 21, 2015


Legg Mason BW Absolute Return Opportunities Fund 2015 Annual Report		43

Additional information (unaudited)

Information about Trustees and Officers

The business and affairs of Legg Mason BW Absolute Return Opportunities 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 c/o Jane Trust, Legg Mason, 100 International Drive, 11^th Floor, Baltimore, Maryland 21202. Information pertaining to the Trustees and officers of the Fund is set forth below.

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


Independent Trustees^†
Ruby P. Hearn
Year of birth		1940
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 2004
Principal occupation(s) during past five years		Senior Vice President Emerita of The Robert Wood Johnson Foundation (non-profit) since 2001; Member of the Institute of Medicine since 1982; formerly, Trustee of the New York Academy of Medicine (2004 to 2012); Director of the Institute for Healthcare Improvement (2002 to 2012); 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		19
Other board memberships held by Trustee during past five years		None

Arnold L. Lehman
Year of birth		1944
Position(s) with Trust		Trustee and Chairman
Term of office¹ and length of time served²		Since 1982 and since 2015
Principal occupation(s) during past five years		Retired. Trustee of American Federation of Arts since 1998; formerly, Director of the Brooklyn Museum (1997 to 2015); Director of The Baltimore Museum of Art (1979 to 1997)
Number of funds in fund complex overseen by Trustee		19
Other board memberships held by Trustee during past five years		None

Robin J.W. Masters
Year of birth		1955
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 2002
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		19
Other board memberships 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, WA Fixed Income Funds plc and Western Asset Debt Securities Fund plc. (2007 to 2011)


44		Legg Mason BW Absolute Return Opportunities Fund


Independent Trustees^† cont’d
Jill E. McGovern
Year of birth		1944
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 1989
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		19
Other board memberships 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 office¹ and length of time served²		Since 2002
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, Director, Municipal Mortgage & Equity LLC (2004 to 2011); 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 18 portfolios; Director/Trustee of the Royce Family of Funds consisting of 26 portfolios
Other board memberships held by Trustee during past five years		Director of Municipal Mortgage & Equity, LLC. (2004 to 2011)

G. Peter O’Brien
Year of birth		1945
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 1999
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 to 1999)
Number of funds in fund complex overseen by Trustee		Director/Trustee of all Legg Mason funds consisting of 18 portfolios; Director/Trustee of the Royce Family of Funds consisting of 26 portfolios
Other board memberships held by Trustee during past five years		Director of TICC Capital Corp.


Legg Mason BW Absolute Return Opportunities Fund		45

Additional information (unaudited) (cont’d)

Information about Trustees and Officers


Independent Trustees^† cont’d
S. Ford Rowan
Year of birth		1943
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 2002
Principal occupation(s) during past five years		Chairman, National Center for Critical Incident Analysis, since 2004; Consultant to University of Maryland University College, since 2013; formerly, Lecturer in Organizational Sciences, George Washington University (2000 to 2014); Trustee, St. John’s College (2006 to 2012); Consultant, Rowan & Blewitt Inc. (management consulting) (1984 to 2007); Lecturer in Journalism, Northwestern University (1980 to 1993); Director, Santa Fe Institute (1999 to 2008)
Number of funds in fund complex overseen by Trustee		19
Other board memberships held by Trustee during past five years		None

Robert M. Tarola
Year of birth		1950
Position(s) with Trust		Trustee
Term of office¹ and length of time served²		Since 2004
Principal occupation(s) during past five years		Executive Vice President and Chief Financial Officer, Southcoast Health System, Inc. (healthcare provider network) since 2015; 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; formerly, Senior Vice President and Chief Financial Officer of The Howard University (2009 to 2013) (higher education and health care); 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, Pirce Waterhouse, LLP (accounting and auditing) (1984 to 1996)
Number of funds in fund complex overseen by Trustee		19
Other board memberships held by Trustee during past five years		Director of American Kidney Fund (renal disease assistance); Director of XBRL International, Inc. (global data standard setting); Director of Vista Outdoor, Inc. (sporting goods); formerly, Director of TeleTech Holdings, Inc. (business process outsourcing)


46		Legg Mason BW Absolute Return Opportunities Fund


Interested Trustee
Jane Trust³
Year of birth		1962
Position(s) with Trust		Trustee, President and Chief Executive Officer
Term of office¹ and length of time served²		Since 2015
Principal occupation(s) during past five years		Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2015); Officer and/or Trustee/Director of 156 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Vice President of LMPFA (2015); formerly, Director of ClearBridge, LLC (formerly, Legg Mason Capital Management, LLC) (2007 to 2014); formerly, Managing Director of Legg Mason Investment Counsel & Trust Co. (2000 to 2007)
Number of funds in fund complex overseen by Trustee		147
Other board memberships held by Trustee during past five years		None

Executive Officers
Richard F. Sennett Legg Mason 100 International Drive, 7th Floor, Baltimore, MD 21202
Year of birth		1970
Position(s) with Trust		Principal Financial Officer
Term of office¹ and length of time served²		Since 2011
Principal occupation(s) during past five years		Principal Financial Officer and Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011 and since 2013); 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, 6th Floor, Stamford, CT 06902
Year of birth		1954
Position(s) with Trust		Secretary and Chief Legal Officer
Term of office¹and length of time served²		Since 2007
Principal occupation(s) during past five years		Vice President and Deputy General Counsel of Legg Mason (since 2006); Managing Director and General Counsel – U.S. Mutual Funds for Legg Mason & Co. (since 2006) and Legg Mason & Co. predecessors (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006)


Legg Mason BW Absolute Return Opportunities Fund		47

Additional information (unaudited) (cont’d)

Information about Trustees and Officers


Executive Officers cont’d
Ted P. Becker Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018
Year of birth		1951
Position(s) with Trust		Vice President and Chief Compliance Officer
Term of office¹and length of time served²		Since 2007
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 620 Eighth Avenue, 49th Floor, New York, NY 10018
Year of birth		1974
Position(s) with Trust		Treasurer
Term of office¹ and length of time served²		Since 2010
Principal occupation(s) during past five years		Director of Legg Mason & Co. (since 2015); Treasurer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2010); formerly, Vice President of Legg Mason & Co. (2011 to 2015); formerly, Assistant Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to 2010)

Susan Kerr Legg Mason 620 Eighth Avenue, 49th Floor, New York, NY 10018
Year of birth		1949
Position(s) with Trust		Chief Anti-Money Laundering Compliance Officer
Term of office¹ and length of time served²		Since 2013
Principal occupation(s) during past five years		Assistant Vice President of Legg Mason & Co. and Legg Mason Investor Services, LLC (“LMIS”) (since 2010); Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2013) and Anti-Money Laundering Compliance Officer of LMIS (since 2012); Senior Compliance Officer of LMIS (since 2011); formerly, AML Consultant, DTCC (2010); formerly, AML Consultant, Rabobank Netherlands, (2009); formerly, First Vice President, Director of Marketing & Advertising Compliance and Manager of Communications Review Group at Citigroup Inc. (1996 to 2008)


48		Legg Mason BW Absolute Return Opportunities Fund


Executive Officers cont’d
Vanessa A. Williams Legg Mason 100 First Stamford Place, 6th Floor, Stamford, CT 06902
Year of birth		1979
Position(s) with Trust		Identity Theft Prevention Officer
Term of office¹ and length of time served²		Since 2011
Principal occupation(s) during past five years		Vice President of Legg Mason & Co. (since 2012); Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2011); formerly, Chief Anti-Money Laundering Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (2011 to 2013); formerly, Senior Compliance Officer of Legg Mason & Co. (2008 to 2011); formerly, Compliance Analyst of Legg Mason & Co. (2006 to 2008) and Legg Mason & Co. predecessors (prior to 2006)

†

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

¹	Each Trustee and officer serves until his or her respective successor has been duly elected and qualified or until his or her earlier death, resignation, retirement or removal.

²	Indicates the earliest year in which the Trustee became a board member for a fund in the Legg Mason fund complex or the officer took such office.

³	Effective June 1, 2015, Ms. Trust became a Trustee. In addition, Ms. Trust is an “interested person” of the Fund, as defined in the 1940 Act, because of her position with LMPFA and/or certain of its affiliates.


Legg Mason BW Absolute Return Opportunities Fund		49

Important tax information (unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended October 31, 2015:


Record Date:		12/9/2014		12/22/2014		3/30/2015		6/29/2015		9/29/2015
Payable Date:		12/10/2014		12/23/2014		3/31/2015		6/30/2015		9/30/2015
Interest from Federal Obligations		0.89	%	0.89	%	0.48	%	0.48	%	0.48	%
Qualified Short-Term Capital Gain Dividend	$	0.129355	*	—		—		—		—
Long-Term Capital Gain Dividend	$	0.208805		—		—		—		—

*	Represents the ordinary income distribution that is eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

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.


50		Legg Mason BW Absolute Return Opportunities Fund

Legg Mason BW

Absolute Return Opportunities Fund

Trustees

Ruby P. Hearn

Arnold L. Lehman*

Chairman

Robin J.W. Masters

Jill E. McGovern

Arthur S. Mehlman

G. Peter O’Brien

S. Ford Rowan

Robert M. Tarola

Jane Trust*

*	Effective June 1, 2015, Mr. Lehman became Chairman and Ms. Trust became a Trustee, President and Chief Executive Officer.

Investment manager

Legg Mason Partners Fund Advisor, LLC

Subadviser

Brandywine Global Investment Management, LLC

Distributor

Legg Mason Investor Services, LLC

Custodian

State Street Bank and Trust Company

Transfer agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Independent registered public accounting firm

PricewaterhouseCoopers LLP

Baltimore, MD

Legg Mason BW Absolute Return Opportunities Fund

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

Legg Mason BW Absolute Return Opportunities Fund

Legg Mason Funds

620 Eighth Avenue, 49^th Floor

New York, NY 10018

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year 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 BW Absolute Return Opportunities 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

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:

•

Personal information included on applications or other forms;

•

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

•

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

•

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:

•

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;

•

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;

•

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

•

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.

NOT PART OF THE ANNUAL REPORT

www.leggmason.com/individualinvestors

LMFX014206 12/15 SR15-2651

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- to qualify as “audit committee financial experts,” and have designated Mr. Mehlman and Mr. Tarola CSR 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 October 31, 2014 and October 31, 2015 (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 $276,738 in 2014 and $268,854 in 2015.

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 $6,500 in October 31, 2014 and $0 in October 31, 2015.

(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 $60,804 in October 31, 2014 and $56,048 in October 31, 2015. 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 service affiliates during the Reporting Periods that required pre-approval by the Audit Auditors 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 $9,195 in October 31, 2014 and $3,234 in October 31, 2015, 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 October 31, 2014 and October 31, 2015; Tax Fees were 100% and 100% for October 31, 2014 and October 31, 2015; and Other Fees were 100% and 100% for October 31, 2014 and October 31, 2015.

(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 $277,092 in October 31, 2014 and $330,948 in October 31, 2015.

(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.

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

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/ Jane Trust
		Jane Trust
		Chief Executive Officer

Date:		December 22, 2015

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


By:		/s/ Jane Trust
		Jane Trust
		Chief Executive Officer

Date:		December 22, 2015

By:		/s/ Richard F. Sennett
		Richard F. Sennett
		Principal Financial Officer

Date:		December 22, 2015

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