LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
COMMON STOCKS - 94.7% | ||||||||
COMMUNICATION SERVICES - 10.3% | ||||||||
Diversified Telecommunication Services - 2.6% | ||||||||
China Telecom Corp. Ltd., Class H Shares | 186,000 | $ | 72,820 | |||||
Emirates Telecommunications Group Co. PJSC | 17,221 | 76,329 | ||||||
Magyar Telekom Telecommunications PLC | 4,304 | 6,413 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 155,562 | |||||||
|
| |||||||
Entertainment - 0.1% | ||||||||
Major Cineplex Group PCL | 7,100 | 4,829 | (a) | |||||
|
| |||||||
Wireless Telecommunication Services - 7.6% | ||||||||
Advanced Info Service PCL, Registered Shares | 12,200 | | 79,846 | (a) | ||||
China Mobile Ltd. | 16,000 | 132,288 | ||||||
DiGi.Com Bhd | 22,400 | 23,121 | ||||||
Globe Telecom Inc. | 300 | 11,155 | ||||||
Intouch Holdings PCL | 23,100 | 41,316 | ||||||
Maxis Bhd | 13,300 | 17,234 | ||||||
PLAY Communications SA | 1,839 | 16,887 | ||||||
SK Telecom Co. Ltd. | 371 | 71,439 | ||||||
Vodacom Group Ltd. | 7,688 | 60,097 | ||||||
|
| |||||||
Total Wireless Telecommunication Services | 453,383 | |||||||
|
| |||||||
TOTAL COMMUNICATION SERVICES | 613,774 | |||||||
|
| |||||||
CONSUMER DISCRETIONARY - 6.1% | ||||||||
Auto Components - 0.1% | ||||||||
Mahle-Metal Leve SA | 600 | 4,372 | ||||||
|
| |||||||
Automobiles - 4.2% | ||||||||
Hero MotoCorp Ltd. | 916 | 32,116 | ||||||
Hyundai Motor Co. | 1,040 | 109,074 | ||||||
Kia Motors Corp. | 3,182 | 109,195 | ||||||
|
| |||||||
Total Automobiles | 250,385 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure - 0.7% | ||||||||
Berjaya Sports Toto Bhd | 8,100 | 5,001 | ||||||
Kangwon Land Inc. | 1,618 | 37,400 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 42,401 | |||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.1% | ||||||||
GS Home Shopping Inc. | 36 | 3,954 | ||||||
|
| |||||||
Multiline Retail - 0.1% | ||||||||
Far Eastern Department Stores Ltd. | 9,000 | 7,329 | ||||||
|
| |||||||
Specialty Retail - 0.1% | ||||||||
Bermaz Auto Bhd | 10,400 | 4,695 | ||||||
Detsky Mir PJSC | 2,630 | 4,734 | ||||||
|
| |||||||
Total Specialty Retail | 9,429 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
1 |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
Textiles, Apparel & Luxury Goods - 0.8% | ||||||||
China Dongxiang Group Co. Ltd. | 29,000 | $ | 2,988 | |||||
Formosa Taffeta Co. Ltd. | 9,000 | 10,070 | ||||||
Grendene SA | 3,300 | 8,881 | ||||||
Luthai Textile Co. Ltd., Class B Shares | 12,000 | 11,513 | ||||||
Pou Chen Corp. | 5,000 | 5,809 | ||||||
Ruentex Industries Ltd. | 4,000 | 9,017 | * | |||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 48,278 | |||||||
|
| |||||||
TOTAL CONSUMER DISCRETIONARY | 366,148 | |||||||
|
| |||||||
CONSUMER STAPLES - 7.5% | ||||||||
Beverages - 1.9% | ||||||||
Ambev SA | 24,738 | 103,335 | ||||||
Carlsberg Brewery Malaysia Bhd, Class B Shares | 1,500 | 11,969 | ||||||
|
| |||||||
Total Beverages | 115,304 | |||||||
|
| |||||||
Food & Staples Retailing - 2.5% | ||||||||
Wal-Mart de Mexico SAB de CV | 50,610 | 147,913 | ||||||
|
| |||||||
Food Products - 1.0% | ||||||||
Charoen Pokphand Foods PCL | 38,400 | | 36,959 | (a) | ||||
Kuala Lumpur Kepong Bhd | 3,900 | 21,698 | ||||||
|
| |||||||
Total Food Products | 58,657 | |||||||
|
| |||||||
Personal Products - 0.1% | ||||||||
Hengan International Group Co. Ltd. | 500 | 3,670 | ||||||
|
| |||||||
Tobacco - 2.0% | ||||||||
KT&G Corp. | 1,462 | 116,656 | ||||||
Philip Morris CR AS | 6 | 4,066 | ||||||
|
| |||||||
Total Tobacco | 120,722 | |||||||
|
| |||||||
TOTAL CONSUMER STAPLES | 446,266 | |||||||
|
| |||||||
ENERGY - 12.2% | ||||||||
Oil, Gas & Consumable Fuels - 12.2% | ||||||||
China Petroleum & Chemical Corp., Class H Shares | 180,000 | 95,739 | ||||||
Coal India Ltd. | 12,415 | 31,613 | ||||||
Gazprom PJSC | 41,836 | 148,397 | ||||||
GS Holdings Corp. | 600 | 23,006 | * | |||||
Motor Oil Hellas Corinth Refineries SA | 596 | 12,681 | ||||||
Oil & Gas Development Co. Ltd. | 7,800 | 6,961 | ||||||
Pakistan Oilfields Ltd. | 2,900 | 7,959 | ||||||
PTT PCL | 104,800 | | 145,416 | (a) | ||||
Qatar Gas Transport Co. Ltd. | 15,536 | 10,155 | ||||||
SK Innovation Co. Ltd. | 769 | 83,878 | ||||||
Tatneft PJSC | 13,696 | 163,080 | ||||||
|
| |||||||
TOTAL ENERGY | 728,885 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
2 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
FINANCIALS - 20.3% | ||||||||
Banks - 20.0% | ||||||||
Abu Dhabi Commercial Bank PJSC | 9,980 | $ | 20,786 | |||||
Agricultural Bank of China Ltd., Class H Shares | 296,000 | 115,123 | ||||||
Banco Santander Chile | 772,065 | 38,172 | ||||||
Bangkok Bank PCL, Registered Shares | 9,700 | 44,968 | ||||||
Bank of China Ltd., Class H Shares | 294,000 | 114,724 | ||||||
China CITIC Bank Corp. Ltd., Class H Shares | 92,000 | 48,341 | ||||||
China Construction Bank Corp., Class H Shares | 111,000 | 85,056 | ||||||
Doha Bank QPSC | 14,410 | 10,844 | ||||||
Dubai Islamic Bank PJSC | 22,803 | 35,449 | ||||||
First Abu Dhabi Bank PJSC | 37,777 | 159,213 | ||||||
First Financial Holding Co. Ltd. | 70,962 | 55,437 | ||||||
Hong Leong Bank Bhd | 3,200 | 12,494 | ||||||
Industrial Bank of Korea | 3,209 | 28,944 | ||||||
Kiatnakin Bank PCL | 5,300 | 11,605 | ||||||
Krung Thai Bank PCL | 41,600 | 21,487 | (a) | |||||
Malayan Banking Bhd | 48,900 | 100,592 | ||||||
Masraf Al Rayan QSC | 34,730 | 39,299 | ||||||
Mega Financial Holding Co. Ltd. | 100,000 | 104,439 | ||||||
Moneta Money Bank AS | 6,114 | 22,398 | ||||||
Public Bank Bhd | 25,300 | 114,832 | ||||||
Thanachart Capital PCL | 6,000 | 10,010 | (a) | |||||
|
| |||||||
Total Banks | 1,194,213 | |||||||
|
| |||||||
Capital Markets - 0.2% | ||||||||
China Bills Finance Corp. | 8,000 | 4,025 | ||||||
President Securities Corp. | 9,000 | 4,216 | ||||||
|
| |||||||
Total Capital Markets | 8,241 | |||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
Concentradora Hipotecaria SAPI de CV | 5,700 | 5,906 | ||||||
|
| |||||||
TOTAL FINANCIALS | 1,208,360 | |||||||
|
| |||||||
INDUSTRIALS - 3.7% | ||||||||
Commercial Services & Supplies - 0.1% | ||||||||
Cleanaway Co. Ltd. | 1,000 | 5,230 | ||||||
|
| |||||||
Construction & Engineering - 0.1% | ||||||||
United Integrated Services Co. Ltd. | 1,400 | 8,713 | ||||||
|
| |||||||
Electrical Equipment - 0.1% | ||||||||
Kung Long Batteries Industrial Co. Ltd. | 1,000 | 5,015 | ||||||
|
| |||||||
Industrial Conglomerates - 1.4% | ||||||||
Dubai Investments PJSC | 19,934 | 7,110 | ||||||
Far Eastern New Century Corp. | 33,000 | 30,805 | ||||||
HAP Seng Consolidated Bhd | 4,800 | 11,397 | ||||||
Industries Qatar QSC | 10,199 | 27,899 | ||||||
Reunert Ltd. | 1,775 | 7,265 | ||||||
|
| |||||||
Total Industrial Conglomerates | 84,476 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
3 |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
Marine - 0.3% | ||||||||
MISC Bhd | 8,900 | $ | 16,701 | |||||
|
| |||||||
Trading Companies & Distributors - 0.1% | ||||||||
China Aircraft Leasing Group Holdings Ltd. | 5,500 | 5,638 | ||||||
|
| |||||||
Transportation Infrastructure - 1.6% | ||||||||
China Merchants Port Holdings Co. Ltd. | 14,000 | 21,708 | ||||||
Jiangsu Expressway Co. Ltd., Class H Shares | 14,000 | 17,399 | ||||||
Shenzhen International Holdings Ltd. | 11,000 | 22,099 | ||||||
Westports Holdings Bhd | 6,700 | 6,458 | ||||||
Yuexiu Transport Infrastructure Ltd. | 12,000 | 10,493 | ||||||
Zhejiang Expressway Co. Ltd., Class H Shares | 18,000 | 14,790 | ||||||
|
| |||||||
Total Transportation Infrastructure | 92,947 | |||||||
|
| |||||||
TOTAL INDUSTRIALS | 218,720 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY - 8.4% | ||||||||
Electronic Equipment, Instruments & Components - 1.5% | ||||||||
Hana Microelectronics PCL | 6,000 | 6,785 | (a) | |||||
Simplo Technology Co. Ltd. | 1,400 | 14,876 | ||||||
Supreme Electronics Co. Ltd. | 6,000 | 6,495 | ||||||
Syncmold Enterprise Corp. | 2,000 | 5,879 | ||||||
Synnex Technology International Corp. | 16,000 | 19,862 | ||||||
TXC Corp. | 3,000 | 4,335 | ||||||
WPG Holdings Ltd. | 17,000 | 21,384 | ||||||
WT Microelectronics Co. Ltd. | 6,000 | 7,607 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 87,223 | |||||||
|
| |||||||
IT Services - 2.5% | ||||||||
Infosys Ltd. | 13,132 | 142,799 | ||||||
Systex Corp. | 2,000 | 5,363 | ||||||
|
| |||||||
Total IT Services | 148,162 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 0.7% | ||||||||
Greatek Electronics Inc. | 3,000 | 4,658 | ||||||
Radiant Opto-Electronics Corp. | 9,000 | 31,282 | ||||||
Topco Scientific Co. Ltd. | 2,000 | 7,150 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 43,090 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.7% | ||||||||
Chicony Electronics Co. Ltd. | 7,025 | 19,976 | ||||||
Compal Electronics Inc. | 50,000 | 30,372 | ||||||
Inventec Corp. | 33,000 | 25,070 | ||||||
Qisda Corp. | 18,000 | 12,036 | ||||||
Quanta Computer Inc. | 32,000 | 65,676 | ||||||
Samsung Electronics Co. Ltd. | 1,390 | 65,777 | ||||||
Transcend Information Inc. | 2,000 | 5,362 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 224,269 | |||||||
|
| |||||||
TOTAL INFORMATION TECHNOLOGY | 502,744 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
4 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
MATERIALS - 15.3% | ||||||||
Chemicals - 6.8% | ||||||||
Engro Fertilizers Ltd. | 15,000 | $ | 6,565 | |||||
Fauji Fertilizer Co. Ltd. | 12,000 | 8,160 | ||||||
Formosa Chemicals & Fibre Corp. | 37,000 | 103,986 | ||||||
Formosa Plastics Corp. | 40,000 | 123,672 | ||||||
Huabao International Holdings Ltd. | 11,000 | 3,570 | ||||||
Petronas Chemicals Group Bhd | 23,900 | 36,101 | ||||||
PhosAgro PJSC, Registered Shares, GDR | 3,677 | 46,661 | ||||||
PTT Global Chemical PCL | 34,400 | 54,078 | (a) | |||||
Shinkong Synthetic Fibers Corp. | 10,000 | 3,840 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H Shares | 48,000 | 12,301 | ||||||
Taiwan Styrene Monomer | 12,000 | 7,667 | ||||||
|
| |||||||
Total Chemicals | 406,601 | |||||||
|
| |||||||
Construction Materials - 3.6% | ||||||||
Asia Cement Corp. | 26,000 | 38,859 | ||||||
Siam Cement PCL, Registered Shares | 8,275 | 95,042 | (a) | |||||
Taiwan Cement Corp. | 55,793 | 77,662 | ||||||
Waskita Beton Precast Tbk PT | 159,400 | 3,035 | ||||||
|
| |||||||
Total Construction Materials | 214,598 | |||||||
|
| |||||||
Containers & Packaging - 0.0% | ||||||||
Cheng Loong Corp. | 6,000 | 3,913 | ||||||
|
| |||||||
Metals & Mining - 4.9% | ||||||||
Alrosa PJSC | 47,520 | 59,631 | ||||||
Feng Hsin Steel Co. Ltd. | 5,000 | 8,772 | ||||||
Magnitogorsk Iron & Steel Works PJSC | 27,800 | 19,535 | ||||||
MMC Norilsk Nickel PJSC | 340 | 110,653 | ||||||
Novolipetsk Steel PJSC | 18,120 | 39,125 | ||||||
Severstal PJSC | 3,279 | 46,760 | ||||||
Tung Ho Steel Enterprise Corp. | 8,000 | 5,972 | ||||||
|
| |||||||
Total Metals & Mining | 290,448 | |||||||
|
| |||||||
TOTAL MATERIALS | 915,560 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
5 |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||
REAL ESTATE - 3.8% | ||||||||
Equity Real Estate Investment Trusts (REITs) - 2.2% | ||||||||
Emira Property Fund Ltd. | 4,426 | $ | 3,780 | |||||
Fibra Uno Administracion SA de CV | 34,344 | 56,368 | ||||||
Hyprop Investments Ltd. | 2,966 | 10,652 | ||||||
IGB Real Estate Investment Trust | 13,300 | 6,231 | ||||||
Pavilion Real Estate Investment Trust | 15,900 | 6,635 | ||||||
Redefine Properties Ltd. | 62,476 | 29,948 | ||||||
Sunway Real Estate Investment Trust | 8,900 | 3,953 | ||||||
Yuexiu Real Estate Investment Trust | 22,000 | 14,478 | ||||||
|
| |||||||
Total Equity Real Estate Investment Trusts (REITs) | 132,045 | |||||||
|
| |||||||
Real Estate Management & Development - 1.6% | ||||||||
Aldar Properties PJSC | 26,321 | 15,980 | ||||||
Bangkok Land PCL | 86,800 | 3,314 | ||||||
Barwa Real Estate Co. | 12,660 | 12,309 | ||||||
Land & Houses PCL | 107,300 | 32,014 | ||||||
LSR Group PJSC, Registered Shares, GDR | 5,344 | 14,830 | ||||||
Quality Houses PCL | 89,700 | 7,137 | (a) | |||||
Sansiri PCL | 122,700 | 3,937 | (a) | |||||
United Development Co. QSC | 16,680 | 6,963 | ||||||
|
| |||||||
Total Real Estate Management & Development | 96,484 | |||||||
|
| |||||||
TOTAL REAL ESTATE | 228,529 | |||||||
|
| |||||||
UTILITIES - 7.1% | ||||||||
Electric Utilities - 3.0% | ||||||||
Enel Chile SA | 311,367 | 29,514 | ||||||
Tenaga Nasional Bhd | 42,500 | 129,221 | ||||||
Transmissora Alianca de Energia Eletrica SA | 3,100 | 22,489 | ||||||
|
| |||||||
Total Electric Utilities | 181,224 | |||||||
|
| |||||||
Gas Utilities - 0.3% | ||||||||
Petronas Gas Bhd | 5,000 | 19,522 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 3.4% | ||||||||
CGN Power Co. Ltd., Class H Shares | 91,000 | 22,501 | ||||||
China Resources Power Holdings Co. Ltd. | 24,000 | 32,392 | ||||||
Electricity Generating PCL | 2,300 | 22,432 | (a) | |||||
Engie Brasil Energia SA | 3,830 | 46,642 | ||||||
NTPC Ltd. | 30,411 | 48,094 | ||||||
Ratch Group PCL | 8,500 | 18,543 | ||||||
TPI Polene Power PCL | 29,400 | 4,056 | ||||||
Unipro PJSC | 134,000 | 6,168 | ||||||
|
| |||||||
Total Independent Power and Renewable Electricity Producers | 200,828 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
6 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
SECURITY | SHARES | VALUE | ||||||||||
Water Utilities - 0.4% | ||||||||||||
Aguas Andinas SA, Class A Shares | 29,543 | $ | 11,068 | |||||||||
Inversiones Aguas Metropolitanas SA | 3,953 | 3,703 | ||||||||||
TTW PCL | 12,900 | 5,753 | (a) | |||||||||
|
| |||||||||||
Total Water Utilities | 20,524 | |||||||||||
|
| |||||||||||
TOTAL UTILITIES | 422,098 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCKS | 5,651,084 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
PREFERRED STOCKS - 2.7% | ||||||||||||
COMMUNICATION SERVICES - 1.7% | ||||||||||||
Diversified Telecommunication Services - 1.7% | ||||||||||||
Telefonica Brasil SA | — | 7,500 | 104,692 | |||||||||
|
| |||||||||||
ENERGY - 0.6% | ||||||||||||
Oil, Gas & Consumable Fuels - 0.6% | ||||||||||||
Transneft PJSC | — | 15 | 38,714 | |||||||||
|
| |||||||||||
FINANCIALS - 0.1% | ||||||||||||
Capital Markets - 0.1% | ||||||||||||
Daishin Securities Co. Ltd., (Preference Shares) | — | 615 | 4,386 | |||||||||
|
| |||||||||||
UTILITIES - 0.3% | ||||||||||||
Water Utilities - 0.3% | ||||||||||||
Cia de Saneamento do Parana | — | 3,300 | 15,367 | |||||||||
|
| |||||||||||
TOTAL PREFERRED STOCKS | 163,159 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS | 5,814,243 | |||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS - 0.3% | ||||||||||||
Invesco Treasury Portfolio, Institutional Class | 1.480 | % | 17,766 | 17,766 | ||||||||
|
| |||||||||||
TOTAL INVESTMENTS - 97.7% | 5,832,009 | |||||||||||
Other Assets in Excess of Liabilities - 2.3% | 134,965 | |||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 5,966,974 | ||||||||||
|
|
* | Non-income producing security. |
(a) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
See Notes to Schedule of Investments.
| ||||
Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
7 |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
Abbreviations used in this schedule:
GDR | — Global Depositary Receipts | |
PJSC | — Private Joint Stock Company |
At January 31, 2020, the Fund had the following open futures contracts:
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Depreciation | ||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
MSCI Emerging Markets Index Futures | 1 | 3/20 | $ | 56,043 | $ | 52,505 | $ | (3,538 | ) |
At January 31, 2020, the Fund had the following open forward foreign currency contracts:
Currency | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 326,223 | BRL | 1,316,994 | Bank of New York | 2/11/20 | $ | 18,211 | |||||||||||||
USD | 90,987 | CLP | 68,354,116 | Bank of New York | 2/11/20 | 5,639 | ||||||||||||||
USD | 26,883 | CZK | 608,758 | Bank of New York | 2/11/20 | 95 | ||||||||||||||
USD | 13,162 | EUR | 11,723 | Bank of New York | 2/11/20 | 162 | ||||||||||||||
USD | 254,940 | INR | 18,248,604 | Bank of New York | 2/11/20 | (520 | ) | |||||||||||||
USD | 704,075 | KRW | 817,149,522 | Bank of New York | 2/11/20 | 18,334 | ||||||||||||||
USD | 203,579 | MXN | 3,864,361 | Bank of New York | 2/11/20 | (367 | ) | |||||||||||||
USD | 12,104 | PHP | 614,161 | Bank of New York | 2/11/20 | 26 | ||||||||||||||
USD | 17,436 | PLN | 66,074 | Bank of New York | 2/11/20 | 401 | ||||||||||||||
USD | 673,588 | RUB | 41,742,160 | Bank of New York | 2/11/20 | 21,283 | ||||||||||||||
USD | 953,424 | TWD | 28,631,523 | Bank of New York | 2/11/20 | 5,309 | ||||||||||||||
USD | 123,214 | ZAR | 1,742,574 | Bank of New York | 2/11/20 | 7,202 | ||||||||||||||
USD | 578,631 | MYR | 2,368,742 | HSBC Bank USA, N.A | 2/11/20 | 798 | ||||||||||||||
USD | 310,610 | AED | 1,141,001 | UBS AG | 2/11/20 | (26 | ) | |||||||||||||
USD | 940,948 | HKD | 7,332,256 | UBS AG | 2/11/20 | (3,155 | ) | |||||||||||||
USD | 713,906 | THB | 21,495,204 | UBS AG | 2/11/20 | 24,148 | ||||||||||||||
USD | 110,104 | QAR | 403,586 | Bank of New York | 2/12/20 | (745 | ) | |||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 96,795 | |||||||||||||||||
|
|
See Notes to Schedule of Investments.
| ||||
8 | Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON EMERGING MARKETS LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (cont’d) | January 31, 2020 |
Abbreviations used in this table:
AED | — | United Arab Emirates Dirham | ||
BRL | — | Brazilian Real | ||
CLP | — | Chilean Peso | ||
CZK | — | Czech Koruna | ||
EUR | — | Euro | ||
HKD | — | Hong Kong Dollar | ||
INR | — | Indian Rupee | ||
KRW | — | South Korean Won | ||
MXN | — | Mexican Peso | ||
MYR | — | Malaysian Ringgit | ||
PHP | — | Philippine Peso | ||
PLN | — | Polish Zloty | ||
QAR | — | Qatari Rial | ||
RUB | — | Russian Ruble | ||
THB | — | Thai Baht | ||
TWD | — | Taiwan Dollar | ||
USD | — | United States Dollar | ||
ZAR | — | South African Rand |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
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Legg Mason Emerging Markets Low Volatility High Dividend ETF 2020 Quarterly Report |
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Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Legg Mason Emerging Markets Low Volatility High Dividend ETF (the “Fund”) is a separate diversified investment series of Legg Mason ETF Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company.
The Fund is an exchange-traded fund (“ETF”). ETFs are funds that trade like other publicly-traded securities. The Fund is designed to track an index. Similar to shares of an index mutual fund, each share of the Fund represents an ownership interest in an underlying portfolio of securities intended to track an index. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (“NAV”), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Fund’s distributor (“Authorized Participants”). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on the Cboe BZX Exchange, Inc. The market price for the Fund’s shares may be different from the Fund’s NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (“Creation Units”). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units generally are issued and redeemed partiallyin-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
The Fund seeks to track the investment results of the QS Emerging Markets Low Volatility High Dividend Hedged Index (the “Underlying Index”). The Underlying Index seeks to provide more stable income through investments in stocks of profitable companies in emerging markets outside of the United States with relatively high dividend yields or anticipated dividend yields and lower price and earnings volatility, while mitigating exposure to exchange-rate fluctuations between the U.S. dollar and currencies in which the component securities are denominated and is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Fund’s subadviser.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation.Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative
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Notes to Schedule of Investments (unaudited) (continued)
instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments inopen-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, 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.
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Notes to Schedule of Investments (unaudited) (continued)
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
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Notes to Schedule of Investments (unaudited) (continued)
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†: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services | $ | 529,099 | $ | 84,675 | — | $ | 613,774 | |||||||||
Consumer Staples | 409,307 | 36,959 | — | 446,266 | ||||||||||||
Energy | 583,469 | 145,416 | — | 728,885 | ||||||||||||
Financials | 1,176,863 | 31,497 | — | 1,208,360 | ||||||||||||
Information Technology | 495,959 | 6,785 | — | 502,744 | ||||||||||||
Materials | 766,440 | 149,120 | — | 915,560 | ||||||||||||
Real Estate | 217,455 | 11,074 | — | 228,529 | ||||||||||||
Utilities | 393,913 | 28,185 | — | 422,098 | ||||||||||||
Other Common Stocks | 584,868 | — | — | 584,868 | ||||||||||||
Preferred Stocks | 163,159 | — | — | 163,159 | ||||||||||||
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Total Long-Term Investments | 5,320,532 | 493,711 | — | 5,814,243 | ||||||||||||
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Short-Term Investments† | 17,766 | — | — | 17,766 | ||||||||||||
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Total Investments | $ | 5,338,298 | $ | 493,711 | — | $ | 5,832,009 | |||||||||
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Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Contracts | — | $ | 101,608 | — | $ | 101,608 | ||||||||||
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Total | $ | 5,338,298 | $ | 595,319 | — | $ | 5,933,617 | |||||||||
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LIABILITIES | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts | $ | 3,538 | — | — | $ | 3,538 | ||||||||||
Forward Foreign Currency Contracts | — | $ | 4,813 | — | 4,813 | |||||||||||
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Total | $ | 3,538 | $ | 4,813 | — | $ | 8,351 | |||||||||
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* | As a result of the fair value pricing procedures for international equities utilized by the Fund, which account for events occurring after the close of the principal market of the security but prior to the calculation of the Fund’s net asset value, certain securities were classified as Level 2 within the fair value hierarchy. |
† | See Schedule of Investments for additional detailed categorizations. |
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