FRANKLIN MULTI-ASSET GROWTH FUND
Schedules of investments (unaudited) | October 31, 2022 |
(Percentages shown based on Fund net assets)
DESCRIPTION | SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.1% | ||||||||||||
DOMESTIC EQUITY - 61.2% | ||||||||||||
Franklin Custodian Funds - Franklin Growth Fund, Class R6 Shares | 421,025 | $ | 47,929,488 | |||||||||
Franklin Templeton ETF Trust - BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares | 2,407,820 | 30,586,050 | (b) | |||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares | 2,342,066 | 46,349,482 | ||||||||||
ClearBridge Small Cap Fund, Class IS Shares | 148,341 | 9,041,388 | ||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares | 1,691,946 | 19,677,328 | ||||||||||
Legg Mason Partners Investment Trust: | ||||||||||||
ClearBridge Appreciation Fund, Class IS Shares | 3,646,073 | 105,298,600 | ||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares | 1,049,772 | 53,548,868 | ||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares | 240,247 | 9,187,055 | ||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares | 5,996,003 | 102,171,899 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC EQUITY | 423,790,158 | |||||||||||
|
| |||||||||||
FOREIGN EQUITY - 24.8% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
ClearBridge International Growth Fund, Class IS Shares | 513,290 | 25,926,285 | ||||||||||
Franklin Global Market Neutral Fund, Class IS Shares | 521,914 | 5,553,168 | * | |||||||||
Franklin International Equity Fund, Class IS Shares | 3,103,818 | 43,236,179 | ||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares | 3,175,312 | 33,182,006 | ||||||||||
Legg Mason Partners Investment Trust - Franklin Global Dividend Fund, Class IS Shares | 4,935,726 | 64,213,796 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN EQUITY | 172,111,434 | |||||||||||
|
| |||||||||||
DOMESTIC FIXED INCOME - 6.7% | ||||||||||||
Western Asset Funds, Inc.: | ||||||||||||
Western Asset Core Bond Fund, Class IS Shares | 2,979,551 | 30,510,606 | ||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares | 1,247,636 | 11,253,681 | ||||||||||
Western Asset High Yield Fund, Class IS Shares | 677,009 | 4,515,653 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC FIXED INCOME | 46,279,940 | |||||||||||
|
| |||||||||||
HYBRID - 5.7% | ||||||||||||
Legg Mason Global Asset Management Trust - Franklin Strategic Real Return Fund, Class IS Shares | 3,964,507 | 39,446,850 | ||||||||||
|
| |||||||||||
FOREIGN FIXED INCOME - 0.7% | ||||||||||||
Legg Mason Global Asset Management Trust - BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares | 464,054 | 5,183,478 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS | 686,811,860 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 1.0% | ||||||||||||
Invesco Government & Agency Portfolio, Institutional Class | 3.074 | % | 6,672,238 | 6,672,238 | (c) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 100.1% | 693,484,098 | |||||||||||
Liabilities in Excess of Other Assets - (0.1)% | (749,642 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 692,734,456 | ||||||||||
|
|
See Notes to Schedules of Investments.
Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
1 |
FRANKLIN MULTI-ASSET GROWTH FUND
Schedules of investments (unaudited) (cont’d) | October 31, 2022 |
* | Non-income producing security. |
(a) | Underlying Funds are affiliated with Franklin Resources, Inc. and more information about the Underlying Funds is available at www.franklintempleton.com (Note 2). |
(b) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
(c) | Rate shown is one-day yield as of the end of the reporting period. |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
2 | Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
FRANKLIN MULTI-ASSET MODERATE GROWTH FUND
Schedules of investments (unaudited) | October 31, 2022 |
(Percentages shown based on Fund net assets)
DESCRIPTION | SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) - 98.9% | ||||||||||||
DOMESTIC EQUITY - 54.2% | ||||||||||||
Franklin Custodian Funds - Franklin Growth Fund, Class R6 Shares | 229,459 | $ | 26,121,636 | |||||||||
Franklin Templeton ETF Trust - BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares | 1,340,384 | 17,026,633 | (b) | |||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares | 1,280,712 | 25,345,284 | ||||||||||
ClearBridge Small Cap Fund, Class IS Shares | 84,272 | 5,136,352 | ||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares | 928,441 | 10,797,771 | ||||||||||
Legg Mason Partners Investment Trust: | ||||||||||||
ClearBridge Appreciation Fund, Class IS Shares | 1,959,179 | 56,581,093 | ||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares | 573,218 | 29,239,854 | ||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares | 136,451 | 5,217,890 | ||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares | 3,263,921 | 55,617,214 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC EQUITY | 231,083,727 | |||||||||||
|
| |||||||||||
FOREIGN EQUITY - 22.6% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
ClearBridge International Growth Fund, Class IS Shares | 272,959 | 13,787,158 | ||||||||||
Franklin Global Market Neutral Fund, Class IS Shares | 641,804 | 6,828,798 | * | |||||||||
Franklin International Equity Fund, Class IS Shares | 1,607,304 | 22,389,745 | ||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares | 1,738,429 | 18,166,582 | ||||||||||
Legg Mason Partners Investment Trust - Franklin Global Dividend Fund, Class IS Shares | 2,702,106 | 35,154,400 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN EQUITY | 96,326,683 | |||||||||||
|
| |||||||||||
DOMESTIC FIXED INCOME - 12.7% | ||||||||||||
Western Asset Funds, Inc.: | ||||||||||||
Western Asset Core Bond Fund, Class IS Shares | 3,231,059 | 33,086,043 | ||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares | 1,910,694 | 17,234,456 | ||||||||||
Western Asset High Yield Fund, Class IS Shares | 562,030 | 3,748,739 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC FIXED INCOME | 54,069,238 | |||||||||||
|
| |||||||||||
HYBRID - 5.7% | ||||||||||||
Legg Mason Global Asset Management Trust - Franklin Strategic Real Return Fund, Class IS Shares | 2,440,175 | 24,279,736 | ||||||||||
|
| |||||||||||
FOREIGN FIXED INCOME - 3.7% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares | 1,058,569 | 9,135,452 | ||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares | 571,912 | 6,388,253 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN FIXED INCOME | 15,523,705 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS | 421,283,089 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 1.2% | ||||||||||||
Invesco Government & Agency Portfolio, Institutional Class | 3.074 | % | 5,169,446 | 5,169,446 | (c) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 100.1% | 426,452,535 | |||||||||||
Liabilities in Excess of Other Assets - (0.1)% | (284,472 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 426,168,063 | ||||||||||
|
|
See Notes to Schedules of Investments.
Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
3 |
FRANKLIN MULTI-ASSET MODERATE GROWTH FUND
Schedules of investments (unaudited) (cont’d) | October 31, 2022 |
* | Non-income producing security. |
(a) | Underlying Funds are affiliated with Franklin Resources, Inc. and more information about the Underlying Funds is available at www.franklintempleton.com (Note 2). |
(b) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
(c) | Rate shown is one-day yield as of the end of the reporting period. |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
4 | Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
FRANKLIN MULTI-ASSET CONSERVATIVE GROWTH FUND
Schedules of investments (unaudited) | October 31, 2022 |
(Percentages shown based on Fund net assets)
DESCRIPTION | SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.6% | ||||||||||||
DOMESTIC EQUITY - 40.6% | ||||||||||||
Franklin Custodian Funds - Franklin Growth Fund, Class R6 Shares | 110,726 | $ | 12,605,092 | |||||||||
Franklin Templeton ETF Trust - BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares | 617,329 | 7,841,810 | (b) | |||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares | 605,046 | 11,973,860 | ||||||||||
ClearBridge Small Cap Fund, Class IS Shares | 38,706 | 2,359,110 | ||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares | 440,578 | 5,123,922 | ||||||||||
Legg Mason Partners Investment Trust: | ||||||||||||
ClearBridge Appreciation Fund, Class IS Shares | 913,779 | 26,389,924 | ||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares | 272,366 | 13,893,369 | ||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares | 62,714 | 2,398,179 | ||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares | 1,525,488 | 25,994,318 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC EQUITY | 108,579,584 | |||||||||||
|
| |||||||||||
DOMESTIC FIXED INCOME - 24.5% | ||||||||||||
Western Asset Funds, Inc.: | ||||||||||||
Western Asset Core Bond Fund, Class IS Shares | 3,950,040 | 40,448,409 | ||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares | 2,296,423 | 20,713,736 | ||||||||||
Western Asset High Yield Fund, Class IS Shares | 636,947 | 4,248,439 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC FIXED INCOME | 65,410,584 | |||||||||||
|
| |||||||||||
FOREIGN EQUITY - 18.4% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
ClearBridge International Growth Fund, Class IS Shares | 118,431 | 5,981,955 | ||||||||||
Franklin Global Market Neutral Fund, Class IS Shares | 818,376 | 8,707,517 | * | |||||||||
Franklin International Equity Fund, Class IS Shares | 642,006 | 8,943,140 | ||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares | 832,861 | 8,703,394 | ||||||||||
Legg Mason Partners Investment Trust - Franklin Global Dividend Fund, Class IS Shares | 1,294,332 | 16,839,257 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN EQUITY | 49,175,263 | |||||||||||
|
| |||||||||||
FOREIGN FIXED INCOME - 10.3% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares | 2,239,780 | 19,329,304 | ||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares | 730,100 | 8,155,221 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN FIXED INCOME | 27,484,525 | |||||||||||
|
| |||||||||||
HYBRID - 5.8% | ||||||||||||
Legg Mason Global Asset Management Trust - Franklin Strategic Real Return Fund, Class IS Shares | 1,564,692 | 15,568,688 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS | 266,218,644 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||
Invesco Government & Agency Portfolio, Institutional Class | 3.074 | % | 1,301,648 | 1,301,648 | (c) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 100.1% | 267,520,292 | |||||||||||
Liabilities in Excess of Other Assets - (0.1)% | (235,884 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 267,284,408 | ||||||||||
|
|
See Notes to Schedules of Investments.
Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
5 |
FRANKLIN MULTI-ASSET CONSERVATIVE GROWTH FUND
Schedules of investments (unaudited) (cont’d) | October 31, 2022 |
* | Non-income producing security. |
(a) | Underlying Funds are affiliated with Franklin Resources, Inc. and more information about the Underlying Funds is available at www.franklintempleton.com (Note 2). |
(b) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
(c) | Rate shown is one-day yield as of the end of the reporting period. |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
6 | Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
FRANKLIN MULTI-ASSET DEFENSIVE GROWTH FUND
Schedules of investments (unaudited) | October 31, 2022 |
(Percentages shown based on Fund net assets)
DESCRIPTION | SHARES | VALUE | ||||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) - 99.8% | ||||||||||||
DOMESTIC FIXED INCOME - 36.5% | ||||||||||||
Western Asset Funds, Inc.: | ||||||||||||
Western Asset Core Bond Fund, Class IS Shares | 2,365,977 | $ | 24,227,604 | |||||||||
Western Asset Core Plus Bond Fund, Class IS Shares | 1,368,349 | 12,342,504 | ||||||||||
Western Asset High Yield Fund, Class IS Shares | 371,856 | 2,480,281 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC FIXED INCOME | 39,050,389 | |||||||||||
|
| |||||||||||
DOMESTIC EQUITY - 26.4% | ||||||||||||
Franklin Custodian Funds - Franklin Growth Fund, Class R6 Shares | 28,980 | 3,299,024 | ||||||||||
Franklin Templeton ETF Trust - BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares | 163,638 | 2,078,662 | (b) | |||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares | 158,960 | 3,145,826 | ||||||||||
ClearBridge Small Cap Fund, Class IS Shares | 10,436 | 636,055 | ||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares | 117,874 | 1,370,877 | ||||||||||
Legg Mason Partners Investment Trust: | ||||||||||||
ClearBridge Appreciation Fund, Class IS Shares | 230,621 | 6,660,331 | ||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares | 74,602 | 3,805,443 | ||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares | 14,612 | 558,766 | ||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares | 389,600 | 6,638,787 | ||||||||||
|
| |||||||||||
TOTAL DOMESTIC EQUITY | 28,193,771 | |||||||||||
|
| |||||||||||
FOREIGN FIXED INCOME - 17.0% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares | 1,530,348 | 13,206,908 | ||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares | 444,433 | 4,964,311 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN FIXED INCOME | 18,171,219 | |||||||||||
|
| |||||||||||
FOREIGN EQUITY - 14.0% | ||||||||||||
Legg Mason Global Asset Management Trust: | ||||||||||||
ClearBridge International Growth Fund, Class IS Shares | 24,241 | 1,224,401 | ||||||||||
Franklin Global Market Neutral Fund, Class IS Shares | 496,539 | 5,283,171 | * | |||||||||
Franklin International Equity Fund, Class IS Shares | 109,141 | 1,520,333 | ||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares | 225,187 | 2,353,211 | ||||||||||
Legg Mason Partners Investment Trust - Franklin Global Dividend Fund, Class IS Shares | 350,017 | 4,553,723 | ||||||||||
|
| |||||||||||
TOTAL FOREIGN EQUITY | 14,934,839 | |||||||||||
|
| |||||||||||
HYBRID - 5.9% | ||||||||||||
Legg Mason Global Asset Management Trust - Franklin Strategic Real Return Fund, Class IS Shares | 635,249 | 6,320,731 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN UNDERLYING FUNDS BEFORE SHORT-TERM INVESTMENTS | 106,670,949 | |||||||||||
|
| |||||||||||
RATE | ||||||||||||
SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||
Invesco Government & Agency Portfolio, Institutional Class | 3.074 | % | 504,689 | 504,689 | (c) | |||||||
|
| |||||||||||
TOTAL INVESTMENTS - 100.3% | 107,175,638 | |||||||||||
Liabilities in Excess of Other Assets - (0.3)% | (334,125 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 106,841,513 | ||||||||||
|
|
See Notes to Schedules of Investments.
Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
7 |
FRANKLIN MULTI-ASSET DEFENSIVE GROWTH FUND
Schedules of investments (unaudited) (cont’d) | October 31, 2022 |
* | Non-income producing security. |
(a) | Underlying Funds are affiliated with Franklin Resources, Inc. and more information about the Underlying Funds is available at www.franklintempleton.com (Note 2). |
(b) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
(c) | Rate shown is one-day yield as of the end of the reporting period. |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedules of Investments.
8 | Franklin Multi-Asset Allocation Funds 2022 Quarterly Report |
Notes to Schedules of Investments (unaudited)
1. Organization and significant accounting policies
Franklin Multi-Asset Growth Fund (“Growth Fund”), Franklin Multi-Asset Moderate Growth Fund (“Moderate Growth Fund”), Franklin Multi-Asset Conservative Growth Fund (“Conservative Growth Fund”) and Franklin Multi-Asset Defensive Growth Fund (“Defensive Growth Fund”) (the “Funds”) are separate diversified investment series of Legg Mason Partners 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 an open-end management investment company. The Funds invest in Legg Mason and Franklin Templeton affiliated mutual funds and exchange-traded funds (“ETFs”) and ETFs managed by unaffiliated investment advisers (“Underlying Funds”).
The Funds follow the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946, Financial Services — Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. Investments in the Underlying Funds are valued at the closing net asset value per share of each Underlying Fund on the day of valuation. Equity securities, including ETFs, for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. When the Funds hold securities or other assets that are denominated in a foreign currency, the Funds will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before each Fund calculates its net asset value, the Funds value these securities as determined in accordance with procedures approved by the Funds’ Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Funds’ manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds’ manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds’ pricing policies, and reporting to the Funds’ manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities. Additionally, if the closing net asset value per share for an Underlying Fund is not available on the day of valuation, the Valuation Committee may adjust the Underlying Fund’s last available net asset value per share to account for significant events that have occurred subsequent to the Underlying Fund’s last net asset value per share calculation but prior to the day of valuation.
9 |
Notes to Schedules 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 Funds use valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
• | Level 1 – unadjusted quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds’ assets carried at fair value:
Growth Fund
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Investments in Underlying Funds† | $ | 638,882,372 | $ | 47,929,488 | — | $ | 686,811,860 | |||||||||
Short-Term Investments† | 6,672,238 | — | — | 6,672,238 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 645,554,610 | $ | 47,929,488 | — | $ | 693,484,098 | |||||||||
|
|
|
|
|
|
|
|
† | See Schedule of Investments for additional detailed categorizations. |
Moderate Growth Fund | ||||||||||||||||
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Investments in Underlying Funds† | $ | 395,161,453 | $ | 26,121,636 | — | $ | 421,283,089 | |||||||||
Short-Term Investments† | 5,169,446 | — | — | 5,169,446 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 400,330,899 | $ | 26,121,636 | — | $ | 426,452,535 | |||||||||
|
|
|
|
|
|
|
| |||||||||
† See Schedule of Investments for additional detailed categorizations. |
| |||||||||||||||
Conservative Growth Fund | ||||||||||||||||
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Investments in Underlying Funds† | $ | 253,613,552 | $ | 12,605,092 | — | $ | 266,218,644 | |||||||||
Short-Term Investments† | 1,301,648 | — | — | 1,301,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 254,915,200 | $ | 12,605,092 | — | $ | 267,520,292 | |||||||||
|
|
|
|
|
|
|
| |||||||||
† See Schedule of Investments for additional detailed categorizations. |
|
10 |
Notes to Schedules of Investments (unaudited) (continued)
Defensive Growth Fund
ASSETS | ||||||||||||||||
DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL | ||||||||||||
Investments in Underlying Funds† | $ | 103,371,925 | $ | 3,299,024 | — | $ | 106,670,949 | |||||||||
Short-Term Investments† | 504,689 | — | — | 504,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 103,876,614 | $ | 3,299,024 | — | $ | 107,175,638 | |||||||||
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|
|
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|
|
† | See Schedule of Investments for additional detailed categorizations. |
2. Transactions with affiliated companies
As defined by the 1940 Act, an affiliated company is one in which the Funds own 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Funds. The following Underlying Funds were considered affiliated companies for all or some portion of the period ended October 31, 2022. The following transactions were effected in such Underlying Funds for the period ended October 31, 2022.
Growth Fund | Affiliate Value at | Purchased | Sold | Realized Gain (Loss) from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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Franklin Growth Fund, Class R6 Shares |
| |||||||||||||||||||||||||||||||||||||||
— | $ | 50,620,000 | 451,471 | $ | 3,412,095 | 30,446 | $ | 327,905 | — | — | $ | 721,583 | $ | 47,929,488 | ||||||||||||||||||||||||||
BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares(a) |
| |||||||||||||||||||||||||||||||||||||||
$ | 33,461,089 | 2,046,423 | 170,994 | 3,067,413 | 230,806 | (7,413 | ) | — | $ | 291,423 | (1,854,049 | ) | 30,586,050 | |||||||||||||||||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
102,574,326 | 489,999 | 25,271 | 43,483,335 | 2,718,764 | 7,786,665 | — | — | (13,231,508 | ) | 46,349,482 | ||||||||||||||||||||||||||||||
ClearBridge Small Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
43,128,724 | 1,045,000 | 17,032 | 29,755,475 | 495,653 | (465,475 | ) | — | — | (5,376,861 | ) | 9,041,388 | |||||||||||||||||||||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
22,867,614 | 1,374,403 | 125,266 | 3,184,129 | 235,338 | (494,129 | ) | $ | 93,796 | 315,606 | (1,380,560 | ) | 19,677,328 | ||||||||||||||||||||||||||||
ClearBridge Aggressive Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
19,670,754 | 1,540,000 | 10,983 | 11,124,525 | 127,289 | 6,366,156 | — | — | (10,086,229 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge Appreciation Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
44,869,884 | 69,320,000 | 2,470,322 | 6,798,065 | 231,711 | 106,935 | — | — | (2,093,219 | ) | 105,298,600 | ||||||||||||||||||||||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
45,344,823 | 24,210,000 | 461,799 | 5,778,221 | 80,534 | (1,223,221 | ) | — | — | (10,227,734 | ) | 53,548,868 | |||||||||||||||||||||||||||||
ClearBridge Mid Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
32,166,971 | 2,412,793 | 60,009 | 16,910,879 | 781,565 | 12,100,040 | — | 12,794 | (17,668,885 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
4,579,560 | 5,600,000 | 156,238 | 780,274 | 17,691 | (95,274 | ) | — | — | (212,231 | ) | 9,187,055 | |||||||||||||||||||||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
28,727,155 | 81,590,001 | 4,932,916 | 7,495,033 | 389,246 | (610,033 | ) | — | — | (650,224 | ) | 102,171,899 | |||||||||||||||||||||||||||||
ClearBridge Global Infrastructure Income Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
8,543,273 | 49,131 | 3,275 | 7,232,658 | 613,073 | 1,456,914 | 49,130 | — | (1,359,746 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge International Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
— | 29,735,000 | 581,102 | 3,469,944 | 67,812 | 215,057 | — | — | (338,771 | ) | 25,926,285 | ||||||||||||||||||||||||||||||
Franklin Global Market Neutral Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
30,816,311 | 194,999 | 19,193 | 24,553,402 | 2,497,894 | 1,296,598 | — | — | (904,740 | ) | 5,553,168 | ||||||||||||||||||||||||||||||
Franklin International Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
88,312,494 | 1,425,000 | 81,243 | 36,096,093 | 2,052,856 | (5,901,093 | ) | — | — | (10,405,222 | ) | 43,236,179 | |||||||||||||||||||||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
64,853,695 | 9,420,000 | 752,778 | 23,199,919 | 1,635,895 | (3,239,918 | ) | — | — | (17,891,770 | ) | 33,182,006 | |||||||||||||||||||||||||||||
ClearBridge International Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
41,228,165 | — | — | 34,979,704 | 3,671,252 | (1,804,069 | ) | — | — | (6,248,461 | ) | — |
11 |
Notes to Schedules of Investments (unaudited) (continued)
Growth Fund (continued) | Affiliate Value at | Purchased | Sold | Realized Gain (Loss) from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||
Franklin Global Dividend Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
$ | 77,770,051 | $ | 3,591,847 | 270,313 | $ | 9,352,744 | 746,560 | $ | 1,017,256 | $ | 1,466,846 | — | $ | (7,795,358 | ) | $ | 64,213,796 | |||||||||||||||||||||||
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
20,677,554 | 244,709 | 25,021 | 21,189,939 | 2,050,247 | (1,015,631 | ) | 244,709 | — | 267,676 | — | ||||||||||||||||||||||||||||||
Western Asset Core Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
— | 33,462,131 | 2,979,551 | — | — | — | 237,131 | — | (2,951,525 | ) | 30,510,606 | ||||||||||||||||||||||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
8,670,854 | 17,030,502 | 1,591,917 | 12,975,775 | 1,093,059 | (2,065,774 | ) | 270,502 | — | (1,471,900 | ) | 11,253,681 | |||||||||||||||||||||||||||||
Western Asset High Yield Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
22,631,379 | 8,680,290 | 1,209,252 | 26,874,406 | 3,347,091 | (3,967,106 | ) | 727,915 | — | 78,390 | 4,515,653 | ||||||||||||||||||||||||||||||
Western Asset Macro Opportunities Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
12,126,434 | 1,400,000 | 155,358 | 13,186,415 | 1,249,802 | (1,987,671 | ) | — | — | (340,019 | ) | — | |||||||||||||||||||||||||||||
Franklin Strategic Real Return Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
51,525,399 | — | — | 7,452,874 | 567,190 | (1,117,875 | ) | — | — | (4,625,675 | ) | 39,446,850 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
7,520,589 | — | — | 7,986,663 | 771,342 | (1,016,560 | ) | — | — | 466,074 | — | ||||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
12,339,484 | 69,999 | 6,087 | 6,912,844 | 546,877 | (792,844 | ) | — | — | (313,161 | ) | 5,183,478 | |||||||||||||||||||||||||||||
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$ | 824,406,582 | $ | 345,552,227 | $ | 367,252,824 | $ | 4,869,440 | $ | 3,090,029 | $ | 619,823 | $ | (115,894,125 | ) | $ | 686,811,860 | ||||||||||||||||||||||||
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(a) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
Moderate Growth Fund | Affiliate Value at | Purchased | Sold | Realized Gain (Loss) from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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| ||||||||||||||||||||||||||||||
Franklin Growth Fund, Class R6 Shares |
| |||||||||||||||||||||||||||||||||||||||
— | $ | 27,675,000 | 246,811 | $ | 1,944,636 | 17,352 | $ | 170,364 | — | — | $ | 391,272 | $ | 26,121,636 | ||||||||||||||||||||||||||
BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares(a) |
| |||||||||||||||||||||||||||||||||||||||
$ | 15,403,628 | 3,999,303 | 333,056 | 1,709,536 | 128,633 | (19,537 | ) | — | $ | 134,303 | (666,762 | ) | 17,026,633 | |||||||||||||||||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
58,229,043 | 585,000 | 30,170 | 25,376,749 | 1,608,026 | 4,963,251 | — | — | (8,092,010 | ) | 25,345,284 | ||||||||||||||||||||||||||||||
ClearBridge Small Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
17,365,253 | 540,000 | 8,804 | 10,615,126 | 176,971 | (140,126 | ) | — | — | (2,153,775 | ) | 5,136,352 | |||||||||||||||||||||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
12,069,290 | 1,057,558 | 96,764 | 1,615,615 | 119,410 | (235,615 | ) | $ | 49,844 | 167,714 | (713,462 | ) | 10,797,771 | ||||||||||||||||||||||||||||
ClearBridge Aggressive Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
10,630,355 | 890,000 | 6,347 | 5,759,371 | 69,200 | 3,749,446 | — | — | (5,760,984 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge Appreciation Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
23,644,256 | 38,030,000 | 1,355,177 | 4,043,139 | 137,662 | 101,862 | — | — | (1,050,024 | ) | 56,581,093 | ||||||||||||||||||||||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
26,533,029 | 11,905,000 | 228,093 | 3,326,821 | 46,045 | (721,821 | ) | — | — | (5,871,354 | ) | 29,239,854 | |||||||||||||||||||||||||||||
ClearBridge Mid Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
9,334,005 | 578,703 | 15,200 | 4,791,482 | 224,577 | 3,535,696 | — | 3,703 | (5,121,226 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
6,258,640 | 1,465,000 | 36,726 | 1,759,346 | 39,263 | (314,346 | ) | — | — | (746,404 | ) | 5,217,890 | |||||||||||||||||||||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
15,809,004 | 44,740,000 | 2,704,218 | 4,574,652 | 239,539 | (299,652 | ) | — | — | (357,138 | ) | 55,617,214 | |||||||||||||||||||||||||||||
ClearBridge Global Infrastructure Income Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
5,271,856 | 30,615 | 2,041 | 4,462,888 | 378,334 | 913,443 | 30,615 | — | (839,583 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge International Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
— | 16,625,000 | 322,190 | 2,540,317 | 49,231 | 134,683 | — | — | (297,525 | ) | 13,787,158 |
12 |
Notes to Schedules of Investments (unaudited) (continued)
Moderate Growth Fund (continued) | Affiliate | Purchased | Sold | Realized from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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Franklin Global Market Neutral Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
$ | 19,397,252 | $ | 240,000 | 23,622 | $ | 12,650,937 | 1,270,547 | $ | 509,063 | — | — | $ | (157,517 | ) | $ | 6,828,798 | ||||||||||||||||||||||||
Franklin International Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
32,922,435 | 6,730,000 | 448,503 | 13,638,792 | 733,293 | (2,688,792 | ) | — | — | (3,623,898 | ) | 22,389,745 | |||||||||||||||||||||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
31,169,710 | 4,705,000 | 373,868 | 8,525,728 | 585,984 | (1,370,729 | ) | — | — | (9,182,400 | ) | 18,166,582 | |||||||||||||||||||||||||||||
ClearBridge International Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
15,871,213 | — | — | 13,437,653 | 1,413,287 | 152,245 | — | — | (2,433,560 | ) | — | ||||||||||||||||||||||||||||||
Franklin Global Dividend Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
48,335,376 | 1,768,846 | 133,064 | 9,519,546 | 794,589 | 1,425,454 | $ | 833,846 | — | (5,430,276 | ) | 35,154,400 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
12,934,119 | 151,057 | 15,446 | 13,247,899 | 1,282,255 | (625,648 | ) | 151,057 | — | 162,723 | — | ||||||||||||||||||||||||||||||
Western Asset Core Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
14,789,523 | 24,344,753 | 2,150,992 | 1,072,531 | 81,718 | (132,531 | ) | 459,753 | — | (4,975,702 | ) | 33,086,043 | |||||||||||||||||||||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
42,530,570 | 11,563,165 | 1,094,694 | 31,825,724 | 2,856,761 | (3,680,724 | ) | 693,165 | — | (5,033,555 | ) | 17,234,456 | |||||||||||||||||||||||||||||
Western Asset High Yield Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
22,140,995 | 5,167,883 | 717,083 | 22,819,337 | 2,908,908 | (2,854,167 | ) | 652,551 | — | (740,802 | ) | 3,748,739 | |||||||||||||||||||||||||||||
Western Asset Macro Opportunities Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
7,558,622 | 805,000 | 89,230 | 8,091,137 | 771,416 | (1,033,162 | ) | — | — | (272,485 | ) | — | |||||||||||||||||||||||||||||
Franklin Strategic Real Return Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
31,713,616 | — | — | 4,530,822 | 349,061 | (620,823 | ) | — | — | (2,903,058 | ) | 24,279,736 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
21,495,866 | 1,285,000 | 141,306 | 13,363,642 | 1,287,441 | (1,698,642 | ) | — | — | (281,772 | ) | 9,135,452 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
7,746,386 | 210,000 | 18,261 | 977,648 | 77,162 | (87,647 | ) | — | — | (590,485 | ) | 6,388,253 | |||||||||||||||||||||||||||||
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$ | 509,154,042 | $ | 205,091,883 | $ | 226,221,074 | $ | (868,455 | ) | $ | 2,870,831 | $ | 305,720 | $ | (66,741,762 | ) | $ | 421,283,089 | |||||||||||||||||||||||
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(a) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
Conservative | Affiliate | Purchased | Sold | Realized from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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Franklin Growth Fund, Class R6 Shares |
| |||||||||||||||||||||||||||||||||||||||
— | $ | 13,640,000 | 121,591 | $ | 1,217,653 | 10,865 | $ | 117,348 | — | — | $ | 182,745 | $ | 12,605,092 | ||||||||||||||||||||||||||
BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares(a) |
| |||||||||||||||||||||||||||||||||||||||
$ | 6,519,196 | 2,666,433 | 221,481 | 1,113,392 | 84,919 | (8,392 | ) | — | $ | 56,434 | (230,427 | ) | 7,841,810 | |||||||||||||||||||||||||||
BrandywineGLOBAL - Diversified US Large Cap Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
18,816,799 | 480,000 | 24,755 | 5,807,153 | 343,460 | 782,847 | — | — | (1,515,786 | ) | 11,973,860 | ||||||||||||||||||||||||||||||
ClearBridge Small Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
6,375,846 | 260,000 | 4,240 | 3,506,010 | 58,220 | (31,010 | ) | — | — | (770,726 | ) | 2,359,110 | |||||||||||||||||||||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
7,069,496 | 515,914 | 46,856 | 2,197,620 | 163,370 | (367,620 | ) | $ | 28,848 | 97,066 | (263,868 | ) | 5,123,922 | ||||||||||||||||||||||||||||
ClearBridge Aggressive Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
4,807,429 | 385,000 | 2,746 | 3,936,357 | 31,170 | 351,377 | — | — | (1,256,072 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge Appreciation Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
17,262,257 | 13,695,000 | 487,328 | 3,272,877 | 115,025 | 192,122 | ��� | — | (1,294,456 | ) | 26,389,924 | ||||||||||||||||||||||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
14,422,820 | 4,540,000 | 87,611 | 1,887,599 | 27,877 | (307,599 | ) | — | — | (3,181,852 | ) | 13,893,369 | |||||||||||||||||||||||||||||
ClearBridge Mid Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
4,707,755 | 301,854 | 7,928 | 2,005,244 | 113,530 | 2,212,375 | — | 1,854 | (3,004,365 | ) | — |
13 |
Notes to Schedules of Investments (unaudited) (continued)
Conservative Fund (continued) | Affiliate | Purchased | Sold | Realized from Sale of Affiliated Underlying Funds | Income Distributions from Affiliated Underlying Funds | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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ClearBridge Small Cap Growth Fund, Class IS Shares |
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$ | 3,982,023 | $ | 905,000 | 22,990 | $ | 1,551,899 | 48,706 | $ | 223,100 | — | — | $ | (936,945 | ) | $ | 2,398,179 | ||||||||||||||||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
10,665,715 | 18,810,000 | 1,136,351 | 2,895,150 | 150,080 | (170,150 | ) | — | — | (586,247 | ) | 25,994,318 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
8,290,381 | 96,243 | 9,841 | 8,497,390 | 821,827 | (405,142 | ) | $ | 96,243 | — | 110,766 | — | |||||||||||||||||||||||||||||
Western Asset Core Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
34,775,531 | 14,789,000 | 1,299,170 | 1,066,447 | 80,908 | (151,447 | ) | 744,000 | — | (8,049,675 | ) | 40,448,409 | |||||||||||||||||||||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
50,696,904 | 6,371,258 | 607,823 | 29,185,906 | 2,689,371 | (2,750,906 | ) | 816,258 | — | (7,168,520 | ) | 20,713,736 | |||||||||||||||||||||||||||||
Western Asset High Yield Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
18,135,664 | 3,306,488 | 459,835 | 16,457,008 | 2,078,567 | (2,221,134 | ) | 550,542 | — | (736,705 | ) | 4,248,439 | |||||||||||||||||||||||||||||
Western Asset Macro Opportunities Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
4,853,492 | 455,000 | 50,538 | 5,090,140 | 488,579 | (619,743 | ) | — | — | (218,352 | ) | — | |||||||||||||||||||||||||||||
ClearBridge Global Infrastructure Income Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
3,351,758 | 19,090 | 1,273 | 2,831,286 | 240,513 | 592,467 | 19,090 | — | (539,562 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge International Growth Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
— | 7,835,000 | 151,841 | 1,723,955 | 33,410 | 86,045 | — | — | (129,090 | ) | 5,981,955 | ||||||||||||||||||||||||||||||
Franklin Global Market Neutral Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
12,302,337 | 250,000 | 24,606 | 4,231,150 | 404,121 | (26,150 | ) | — | — | 386,330 | 8,707,517 | ||||||||||||||||||||||||||||||
Franklin International Equity Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
2,463,433 | 12,230,000 | 830,438 | 5,472,816 | 330,009 | (587,816 | ) | — | — | (277,477 | ) | 8,943,140 | |||||||||||||||||||||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
11,661,143 | 1,735,000 | 144,889 | 720,684 | 41,762 | (210,684 | ) | — | — | (3,972,065 | ) | 8,703,394 | |||||||||||||||||||||||||||||
ClearBridge International Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
2,492,123 | 600,000 | 52,910 | 3,068,275 | 274,826 | (415,331 | ) | — | — | (23,848 | ) | — | |||||||||||||||||||||||||||||
Franklin Global Dividend Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
30,658,638 | 756,114 | 56,697 | 10,423,860 | 895,882 | 1,796,140 | 441,113 | — | (4,151,635 | ) | 16,839,257 | ||||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
24,503,318 | 990,000 | 109,010 | 3,984,490 | 382,391 | (479,490 | ) | — | — | (2,179,524 | ) | 19,329,304 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
4,965,551 | 4,290,000 | 384,439 | 743,887 | 58,700 | (63,887 | ) | — | — | (356,443 | ) | 8,155,221 | |||||||||||||||||||||||||||||
Franklin Strategic Real Return Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
20,190,095 | 170,000 | 15,947 | 2,946,318 | 226,989 | (391,318 | ) | — | — | (1,845,089 | ) | 15,568,688 | |||||||||||||||||||||||||||||
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$ | 323,969,704 | $ | 110,092,394 | $ | 125,834,566 | $ | (2,853,998 | ) | $ | 2,696,094 | $ | 155,354 | $ | (42,008,888 | ) | $ | 266,218,644 | |||||||||||||||||||||||
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(a) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
Defensive Growth Fund | Affiliate Value at January 31, 2022 | Purchased | Sold | Realized Gain (Loss) from Sale of Affiliated Underlying Funds | Income Distributions from | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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BrandywineGLOBAL - Alternative Credit Fund, Class IS Shares |
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$ | 3,384,818 | $ | 39,658 | 4,055 | $ | 3,468,906 | 335,575 | $ | (165,946 | ) | $ | 39,658 | — | $ | 44,430 | — | ||||||||||||||||||||||||
Western Asset Core Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
27,996,215 | 3,469,650 | 303,395 | 1,850,935 | 136,649 | (315,935 | ) | 514,650 | — | (5,387,326 | ) | $ | 24,227,604 | ||||||||||||||||||||||||||||
Western Asset Core Plus Bond Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
30,610,558 | 2,109,213 | 205,105 | 15,170,372 | 1,480,155 | (615,372 | ) | 484,213 | — | (5,206,895 | ) | 12,342,504 | |||||||||||||||||||||||||||||
Western Asset High Yield Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
9,062,114 | 1,255,101 | 174,037 | 6,944,139 | 929,310 | (563,651 | ) | 279,613 | — | (892,795 | ) | 2,480,281 | |||||||||||||||||||||||||||||
Western Asset Macro Opportunities Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
1,975,720 | 180,000 | 20,000 | 2,077,579 | 198,314 | (262,659 | ) | — | — | (78,141 | ) | — |
14 |
Notes to Schedules of Investments (unaudited) (continued)
Defensive Growth Fund (continued) | Affiliate Value at January 31, 2022 | Purchased | Sold | Realized Gain (Loss) from Sale of Affiliated Underlying Funds | Income Distributions from | Capital Gain Distributions from Affiliated Underlying Funds | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at October 31, 2022 | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
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Franklin Growth Fund, Class R6 Shares |
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— | $ | 3,720,000 | 33,146 | $ | 469,180 | 4,166 | $ | 35,820 | — | — | $ | 48,204 | $ | 3,299,024 | ||||||||||||||||||||||||||
BrandywineGLOBAL - Dynamic US Large Cap Value ETF Shares(a) |
| |||||||||||||||||||||||||||||||||||||||
$ | 1,332,193 | 1,141,452 | 94,982 | 373,460 | 29,588 | (3,460 | ) | — | $ | 11,452 | (21,523 | ) | 2,078,662 | |||||||||||||||||||||||||||
Brandywine GLOBAL - Diversified US Large Cap Value Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
1,362,804 | 2,125,000 | 114,460 | 423,223 | 22,403 | 6,778 | — | — | 81,245 | 3,145,826 | |||||||||||||||||||||||||||||||
ClearBridge Small Cap Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
— | 665,000 | 10,436 | — | — | — | — | — | (28,945 | ) | 636,055 | ||||||||||||||||||||||||||||||
Franklin U.S. Small Cap Equity Fund, Class IS Shares |
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1,512,543 | 151,620 | 14,072 | 208,224 | 15,390 | (28,224 | ) $ | 6,099 | 20,521 | (85,062 | ) | 1,370,877 | |||||||||||||||||||||||||||||
ClearBridge Appreciation Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
6,462,366 | 1,805,000 | 64,129 | 1,062,160 | 36,217 | 7,840 | — | — | (544,875 | ) | 6,660,331 | ||||||||||||||||||||||||||||||
ClearBridge Large Cap Growth Fund, Class IS Shares |
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3,605,474 | 1,610,000 | 31,088 | 606,551 | 9,641 | (61,551 | ) | — | — | (803,480 | ) | 3,805,443 | |||||||||||||||||||||||||||||
ClearBridge Small Cap Growth Fund, Class IS Shares |
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1,126,116 | 205,000 | 5,784 | 585,428 | 16,180 | (428 | ) | — | — | (186,922 | ) | 558,766 | |||||||||||||||||||||||||||||
Franklin U.S. Large Cap Equity Fund, Class IS Shares |
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4,422,045 | 3,535,000 | 213,384 | 943,742 | 47,345 | (93,743 | ) | — | — | (374,516 | ) | 6,638,787 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Opportunities Bond Fund (USD Hedged), Class IS Shares |
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10,632,076 | 4,680,000 | 518,034 | 824,358 | 78,155 | (99,359 | ) | — | — | (1,280,810 | ) | 13,206,908 | |||||||||||||||||||||||||||||
BrandywineGLOBAL - Global Unconstrained Bond Fund, Class IS Shares |
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2,026,695 | 3,445,000 | 308,846 | 373,176 | 29,453 | (33,176 | ) | — | — | (134,208 | ) | 4,964,311 | |||||||||||||||||||||||||||||
ClearBridge Global Infrastructure Income Fund, Class IS Shares |
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1,354,995 | 7,929 | 529 | 1,146,056 | 97,245 | 240,082 | 7,929 | — | (216,868 | ) | — | ||||||||||||||||||||||||||||||
ClearBridge International Growth Fund, Class IS Shares |
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— | 2,020,000 | 39,147 | 769,176 | 14,906 | 35,824 | — | — | (26,423 | ) | 1,224,401 | ||||||||||||||||||||||||||||||
Franklin Global Market Neutral Fund, Class IS Shares |
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4,975,709 | 1,120,000 | 108,833 | 1,013,328 | 96,784 | (3,327 | ) | — | — | 200,790 | 5,283,171 | ||||||||||||||||||||||||||||||
Franklin International Equity Fund, Class IS Shares |
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188,259 | 2,465,000 | 168,836 | 1,055,757 | 70,515 | (15,757 | ) | — | — | (77,169 | ) | 1,520,333 | |||||||||||||||||||||||||||||
Martin Currie Emerging Markets Fund, Class IS Shares |
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1,538,252 | 1,620,000 | 133,054 | 70,535 | 4,128 | (20,535 | ) | — | — | (734,506 | ) | 2,353,211 | |||||||||||||||||||||||||||||
ClearBridge International Value Fund, Class IS Shares |
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194,147 | — | — | 183,398 | 17,288 | (17,219 | ) | — | — | (10,749 | ) | — | |||||||||||||||||||||||||||||
Franklin Global Dividend Fund, Class IS Shares |
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9,915,328 | 219,746 | 16,437 | 4,118,755 | 356,422 | 726,245 | 129,746 | — | (1,462,596 | ) | 4,553,723 | ||||||||||||||||||||||||||||||
Franklin Strategic Real Return Fund, Class IS Shares |
| |||||||||||||||||||||||||||||||||||||||
8,416,149 | — | — | 1,362,239 | 104,957 | (187,240 | ) | — | — | (733,179 | ) | 6,320,731 | |||||||||||||||||||||||||||||
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$ | 132,094,576 | $ | 37,589,369 | $ | 45,100,677 | $ | (1,434,993 | ) | $ | 1,461,908 | $ | 31,973 | $ | (17,912,319 | ) | $ | 106,670,949 | |||||||||||||||||||||||
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(a) | Prior to October 31, 2022, known as BrandywineGLOBAL — Dynamic US Large Cap Value Fund. |
15 |