Legg Mason Multi-Manager ESG Global Equity Portfolio

Investment Overview

The Legg Mason Multi-Manager ESG Global Equity Portfolios are diversified, core, global equity portfolios seeking to deliver long-term capital growth. Developed utilizing the portfolio construction expertise of QS Investors, the Portfolios emphasize environmental, social and governance (ESG) investment criteria through an optimized combination of actively managed, ESG-focused strategies. The Portfolios are implemented using separately managed accounts (SMAs), which are made up of individual securities to allow for customization.
 

Investment Philosophy

QS Investors looks to create outcomes for investors by combining complementary strategies which seeks to deliver on the client objective. The underlying strategy managers believe that integrating ESG criteria into the investment process provides the potential for consistent, long-term value creation, as an assessment of a company’s ESG performance can help identify those business models that are most likely to sustain high returns and resist competitive pressures.
 

Key Differentiators

  • Offers diversified exposure to a blend of U.S., international and emerging market equity strategies that integrate ESG criteria.
  • Underlying strategies managed by ClearBridge Investments and Martin Currie. Both firms have achieved the highest possible rating (A+) from the Principles for Responsible Investment for their ESG practices.
  • Leverages the asset allocation expertise of QS Investors, a multi-asset solutions manager.
  • Implemented using separately managed accounts (SMAs), which allow the portfolios to be tailored to a client’s personal preferences, including tax considerations.

Key Benefits

  • Single solution for a sustainable equity allocation
  • Aligns investment decisions with investors’ ESG goals and values
  • Removes the operational burden of manager selection and asset allocation

Diversification does not guarantee a profit or protect against a loss.

There is no guarantee that the Portfolio's objectives will be met.

 

 

Investment
process

QS Investors takes an unbiased approach by using a systematic investment process for portfolio construction. The multi-strategy process incorporates sophisticated statistical techniques to build a core global equity portfolio with exposure to U.S., international and emerging market equity markets using the available universe of Legg Mason ESG strategies.

Identify the universe of ESG strategies and choose managers based on historical performance, sources of risk and consistency of alpha. Ensure managers are delivering the risk that is expected.

Combine multiple managers with dedicated expertise and differentiated styles to help provide portfolio diversification and manage risk.

Optimize allocations to balance exposure across managers, styles and regions relative to the benchmark.

Review allocations annually.

The investment process may change over time. The characteristics set forth above are intended as a general illustration of some of the criteria the strategy team considers in selecting securities for client portfolios. There is no guarantee investment objectives will be achieved.

 

 

meet your managers

QS Investors is a quantitative asset manager that provides multi-asset class and global equity solutions. Their approach unites intellectual and academic precision with the power of data and technology in their quest to elevate the certainty of outcomes they deliver.


Adam J. Petryk, CFA

President & CEO

Thomas Picciochi, CAIA

Head of Multi-Asset Portfolio Management

Ellen Tesler

Portfolio Manager

To find out more about the Legg Mason Multi-Manager ESG Global Equity Portfolios, talk to your financial advisor.


 

What I Should Know
Before Investing

All investments involve risk, including loss of principal and there is no guarantee that investment objectives will be met.  Equity securities are subject to price fluctuation and possible loss of principal. Investments may be made in small- and mid-cap companies, which involve a higher degree of risk and volatility than investments in large-cap companies.  International investments are subject to special risks, including currency fluctuations and social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets.  Some underlying strategies may be classified as non-diversified, which means they may be permitted to invest a higher percentage of its assets in any one issuer than a diversified Portfolio, which may magnify the strategy’s losses from events affecting a particular issuer. The managers’ investment style may become out of favor and/or the manager’s selection process may prove incorrect, which may have a negative impact on strategy performance.  Diversification and asset allocation does not guarantee a profit or protect against a loss. 

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IMPORTANT INFORMATION: Past performance is no guarantee of future results. Management and performance of individual accounts may vary for reasons that include the existence of different implementation practices and model requirements in different investment programs.

Pure Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. Net performance includes the deduction of a 3% annual wrap fee for equity and balanced portfolios and a 1.5% annual wrap fee for fixed income portfolios. These deducted fees amounts are the maximum anticipated wrap fees. Actual fees may vary. For fee schedules, contact your financial professional or, if you enter into an agreement directly with Legg Mason Private Portfolio Group, LLC ("LMPPG"), refer to LMPPG's Form ADV disclosure document. Returns reflect the reinvestment of dividends and other earnings.

An investor cannot invest directly in an index. Unmanaged index returns do not reflect any fees, expenses or sales charges. 

Please see GIPS® endnotes for important additional information regarding the portfolio performance shown and for effects of fees. 

Performance Source: Legg Mason

Hypothetical growth of dollars: For illustrative purposes only. Assumes no withdrawals or contributions. The performance results shown were calculated assuming reinvestment of dividends and income and take into account both realized and unrealized capital gains and losses.

IMPORTANT INFORMATION: Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment advisor. Client portfolios are managed based on investment instructions or advice provided by one or more of the following Legg Mason-affiliated subadvisors: QS Investors. Management is implemented by LMPPG, the designated subadvisor or, in the case of certain programs, the program sponsor or its designee.

Professional money management may not be suitable for all investors. Factual information relating to the securities discussed was obtained from sources believed to be reliable, but there can be no guarantee as to its accuracy. It should not be assumed that investments made in the future will be profitable or will equal the performance of the securities discussed in the material.

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Holdings, sector weightings, market capitalization and portfolio characteristics are subject to change at any time and are based on a representative portfolio. Holdings, sector weightings, market capitalization and portfolio characteristics of individual client portfolios in the program may differ, sometimes significantly, from those shown. This information does not constitute, and should not be construed as, investment advice or recommendations with respect to the securities and sectors listed. 

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QS Multi-Manager ESG Global Equity Retail Composite GIPS® Endnotes Schedule of Investment Performance for the Period: March 31, 2019 Blended Static Benchmark: 53.5% Russell 1000 Index; 34.5% MSCI EAFE (Net) Index; 12% MSCI Emerging Markets (Net) Index
Period
Ending (a)
Net Composite Returns (%) Pure Gross Returns (%)  Benchmark
(%)  (b)
Net
Composite 3 -
Year Standard Deviation (c)
Benchmark
3 - Year Standard Deviation  (c)
Number
of Accounts
Composite
Assets (US$m)
Firm
Assets (US$m)
Composite
Dispersion (d)
% of
Bundled Fee Portfolios in the Composite
2019
1/1 –3/31
12.56
13.36
12.12
N/A N/A ≤5 0.8
20,773 N/A 100

Notes:

a) If applicable, partial reporting periods are a result of the inception or termination of the composite as further described below. Partial period returns of less than a year are not annualized.

b) Due to differences in sources for benchmark performance, there may be slight variances between benchmark returns noted above and those from other published sources.

c) 3-year annualized ex-post standard deviation; 3-year annualized ex-post standard deviation is not applicable because it does not have a 3-year history.

d) Asset-weighted standard deviation; calculated for net returns for composites with more than five portfolios active over the full year.

See Accompanying Notes below.

1.  Basis of Presentation

QS Investors, LLC (“QS Investors” or “the Firm”), is a registered investment adviser with the Securities and Exchange Commission, providing investment and advisory services to a diverse array of institutional, retail and sub-advisory clients worldwide. Registration as an investment adviser does not imply any level of skill or training.  The Firm is headquartered in New York City with an additional office in Boston, Massachusetts. The Firm provides discretionary and non-discretionary advice and investment management to domestic and international clients based on their investment objectives, guidelines, and risk tolerance, each of which may be customized to address specific client needs. QS Investors, LLC launched in August 2010 and became a wholly-owned, independently managed affiliate of Legg Mason, Inc. on May 31, 2014. As part of this transaction, Legg Mason merged QS Batterymarch Financial Management, Inc. (“QS Batterymarch”) and QS Legg Mason Global Asset Allocation, LLC (“QS LMGAA”), two other affiliates, into QS Investors.

QS Investors claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. QS Investors has been independently verified for the periods August 1, 2010 through December 31, 2018. The verification reports are available upon request.

Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

This presentation of investment performance sets forth the time-weighted net rates of return for the QS Multi-Manager ESG Global Equity Retail Composite (the "Composite") for the period shown. Past performance is no guarantee of future results and may differ in future time periods.

2.  Composite Description

The Composite includes 100% non-fee-paying portfolios managed on a fully discretionary basis.  The QS Multi-Manager ESG Global Equity Retail Composite is an asset allocation strategy that is designed to provide a complementary portfolio of diversified equities emphasizing ESG investment criteria through a diversified asset allocation approach.  The underlying components provide a balanced exposure by including a blend of growth, value, international and emerging market equities through investments in SMA/Wrap portfolios.

Eligible new portfolios are added to the Composite at the start of the first performance measurement period following the date that the portfolio is fully invested as defined by the Composite strategy. Securities listed on any national exchange are valued at their last trade price. Securities that are not listed are valued at the most recent publicly quoted bid price. Securities transactions are recorded on a trade date basis. If applicable, dividend income is recorded as of the ex-dividend date. Returns reflect the reinvestment of dividends and other earnings. There has been no minimum account size for this composite. The Composite’s inception date is January 1, 2019, with a creation date of January 10, 2019.

3.  Calculation of Rates of Return

Composite returns are expressed in US dollars. For each portfolio within the Composite, the total rate of return for the time period is equal to the change in the market value of the portfolio, including capital appreciation, depreciation and income, as a percentage of the beginning market value of the portfolio, adjusted for the net of all contributions and withdrawals (the "cash flows"). Rates of return are calculated on a daily “time-weighted" basis and are net of withholding taxes, where applicable, for all portfolios which comprise the Composite. Daily time-weighted rates of return minimize the effect of cash flows on the investment performance of the portfolio. There are no known material differences between the Firm’s source of foreign exchange rates and that of the benchmark.

Monthly Composite rates of return are computed by taking an asset weighted average of each portfolio's monthly rate of return within the Composite, utilizing their respective beginning market values for the period. Annual Composite rates of return are derived by geometrically linking monthly Composite rates of return. Pure gross of fee performance shown is gross of transaction and commission costs.  The fee schedule currently in effect is 3.00% on all assets.  Net of fee composite returns are calculated by reducing each monthly composite pure gross rate of return by the highest "bundled" fee charged (3.00%).  The "bundled" fee includes transaction costs, investment management, custodial, and other administrative fees. Advisory fees are described in QS Investors, LLC’s Form ADV, Part 2A brochure. Actual management fees may vary depending upon, among other things, the account type, the applicable management fee schedule and the portfolio size.

The standard deviation of comparable performance over time is a measure of dispersion. This calculation measures the fluctuation of the rates of return of portfolios with the Composite in relation to the average return. Dispersion is not shown for composites with 5 or less portfolios for a full year as it is not meaningful.

4.  Composite Benchmark

Composite returns are measured against a mixed static blend of 53.5% Russell 1000 Index; 34.5% MSCI EAFE (Net) Index; and 12% MSCI Emerging Markets (Net) Index. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market. The Russell 1000 Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. The MSCI EAFE (Net) Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI EAFE (Net) Index consists of 21 developed market country indices. The MSCI EM (Emerging Markets) (Net) Index is a free float‐adjusted market capitalization index that is designed to measure equity market performance of emerging markets.  Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties.

The benchmark is used for comparative purposes only and generally reflects the risk or investment style of the investments reported on the schedule of investment performance. Investments made by the Firm for the portfolios it manages according to the Composite strategy may differ from those of the benchmark. Accordingly, investment results will differ from those of the benchmark.

The Firm’s portfolios are actively managed, while the index is unmanaged and may contain securities different from those included in the Firm’s portfolios. FTSE Russell and MSCI Inc. are the source and owner of the Russell and MSCI Inc. Indices data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is the Firm’s presentation of the data. FTSE Russell and MSCI Inc. are not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. The index providers are the sources and owners of the index data contained or reflected in this material and all trademarks and copyrights related thereto.

5.  Additional Information and Information Available upon Request

In addition to the Composite, the Firm provides investment management services utilizing different strategies. The following information is available upon request:  policies for valuing portfolios, calculating performance, and preparing compliant presentations;  a complete list and description of the Firm's composites; QS Investors, LLC’s Form ADV, Part 2A brochure; a list of other Legg Mason affiliates.

All investments involve risk, including loss of principal. Past performance is no guarantee of future results. Please see each product’s webpage for specific details regarding investment objective, risks, performance and other important information. Review this information carefully before you make any investment decision.

Certain SMA products may not be available at all firms. 

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