2020 LEGG MASON ALL CAP BLEND PORTFOLIOS · 2020-07-30 · appropSiate 1 Flexib ility and choice Greater accommodation of sp ecial instructions Ta x harv estin g potential 2 Simpli

3Q 2020 Separately Managed Accounts

LEGG MASONALL CAP BLENDPORTFOLIOS (MDA 0)

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 Franklin Resources, Inc. affiliated subadvisors: ClearBridge Investments, LLC, and Western Asset Management Company, LLC. Management is implemented by LMPPG, the designated subadvisor or, in the case of certain programs, the program sponsor or its designee.These materials are being provided for illustrative and informational purposes only. The information contained herein is obtained from multiple sources that are believed to be reliable. However, such information has not been verified, and may be different from the information included in documents and materials created by the sponsor firm in whose investment program a client participates. Some sponsor firms may require that these materials be preceded or accompanied by investment profiles or other documents or materials prepared by such sponsor firms, which will be provided upon a client’s request. For additional information, documents and/or materials, please speak to your Financial Advisor.

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

Introduction | Legg Mason

Underlying strategies in proposed portfolio

Legg Mason All Cap Blend Portfolios• 50% ClearBridge All Cap Growth Portfolios• 50% ClearBridge All Cap Value Portfolios

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Introduction | Franklin Templeton

Everything we do has a single focus: to deliver better client outcomes

Investment excellence and rigor• We offer an unmatched range of

investment managers that bring active, smart beta and passive strategies across asset classes, investment vehicles and geographies.

• Our investment processes are based on years of experience, discipline, and rigor.

• As signatories of PRI, we bring a full complement of ESG-oriented strategies.

• We apply risk management at both the portfolio and enterprise levels.

Global scale and local insights• We have Investment

professionals located in over 20 countries.

• We are pioneers in global investing with more than 60 years of experience.

• We are the world’s top cross-border fund manager with clients in over 160 countries1.

Meaningful innovation• Our commitment to innovation

– through AI, blockchain, machine learning – positions us to enhance client outcomes in our rapidly changing world.

• Our on-premises fintech incubation center helps foster new technologies and acts as a catalyst for innovation across our firm.

Connections that matter• Our culture always puts clients

first.

• We provide opportunities for clients to create meaningful connections with our managers and with each other.

• We make a positive impact in our communities through extensive volunteering and charitable giving.

• We are committed to the principles of good corporate citizenship and to fostering a more inclusive investment industry.

CONNECTIONS THAT MATTER

GLOBAL SCALEAND LOCAL

INSIGHTS

INVESTMENTEXCELLENCEAND RIGOR

MEANINGFULINNOVATION

1 As of April 2020. Based on findings for Franklin Templeton from PwC’s 2020 Benchmark Your Global Fund Distribution Report which ranks asset managers on the number of countries in which their cross-border funds are distributed.

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Introduction | Franklin Templeton

We offer a full range of investment strategies across asset classes and geographies

Our investment capabilities

Equity Fixed Income

ValueDeep ValueCore ValueBlendGARPGrowthConvertiblesSectorShariahSmart BetaThematic

GovernmentMunicipalsCorporate CreditBank LoansSecuritizedMulti-SectorCurrenciesSukuk

Multi-Asset Solutions Alternatives

IncomeReal ReturnBalanced/HybridTotal ReturnTarget Date/RiskAbsolute ReturnTactical Asset AllocationManaged Volatility

Private DebtHedge FundsPrivate EquityReal EstateInfrastructure

Our investment brands

1,300+investment professionals in over 20 countries1

Franklin Templeton (1947)

Western Asset (1971)

ClearBridge (2005)

Brandywine Global (1986)

Clarion Partners (1982)

Benefit Street Partners (2008)

Martin Currie (1881)

QS Investors (1999)

K2 Advisors (1994)

Royce (1972)

1 As of 6/30/20. Investment professionals include portfolio managers, research analysts, research associates, investment support and executives of Franklin Templeton, Legg Mason and subsidiary investment management groups.

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Introduction | Multiple Discipline Account

Multiple Discipline Account® (“MDA”) -- Potential benefits

Diversification• Multiple investment styles

in single account• Ongoing monitoring of

asset allocation with rebalancing as deemed appropriate1

Flexibility and choice• Greater accommodation of

special instructions• Tax harvesting potential2

Simplified, convenient portfolio administration• Single point of contact for

portfolio management• Consolidation of positions

into one statement

1 32

Diversification does not assure a profit or protect against market loss. Asset Allocation does not assure a profit or protect against market loss.1 The Overlay Portfolio Management process is conducted by the MDA style managers and a service provider on behalf of Legg Mason Private Portfolio Group, LLC.2 Depends on individual tax situation. Please see “Disclaimer” for important tax information.

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Diversification

By investing in more than one asset class, investors may have the potential over time to enhance overall portfolio returns and manage risk.

The above table is presented for informational purposes only and does not represent performance of any portfolio or mutual fund. Past performance is no guarantee of future results. Please see Index Performance Endnotes for important additional information. An investor cannot invest directly in an index.

Cash is represented by the FTSE 3-Month U.S.Treasury Bill IndexFixed Income is represented by the Bloomberg Barclays U.S. Government/Credit Bond Index

Large Cap Growth is represented by the Russell 1000 Growth Index.Large Cap Value is represented by the Russell 1000 Value Index.

Mid Cap Growth is represented by Russell MidCap Growth IndexMid Cap Value is represented by Russell MidCap Value Index

Small Cap Growth is represented by the Russell 2000 Growth Index.Small Cap Value is represented by the Russell 2000 Value Index.

International is represented by the MSCI EAFE Index.The Broad Market is represented by the S&P 500 Index.

Calendar year returns of varied market indices.

BEST

PER

FORM

ANCE

WO

RST

PERF

ORM

ANCE

S&P 500Index-4.38%

Large CapGrowth-1.51%

Large CapValue-8.27%

Mid CapGrowth-4.75%

Small CapGrowth-9.31%Mid CapValue-12.29%

Inter-national-13.36%

Small CapValue-12.86%

Fixed Income-0.42%

Cash1.86%

Large CapGrowth30.21%

Small CapGrowth22.17%S&P 500Index21.83%Large CapValue13.66%Mid CapValue13.34%

Cash0.84%

Small CapValue7.84%

Inter-national25.62%

FixedIncome4.00%

Mid CapGrowth25.27%

Small CapValue31.74%Mid CapValue20.00%

FixedIncome3.05%

S&P 500Index11.96%

Mid CapGrowth7.33%

Cash0.27%


Large CapValue17.34%

Inter-national1.51%

Small CapGrowth11.32%

Cash0.03%

Mid CapValue-4.78%


S&P 500Index1.38%


Mid CapGrowth-0.20%

FixedIncome0.15%



Small CapGrowth-1.38%




Mid CapGrowth11.90%

S&P 500Index13.69%

Cash0.03%


FixedIncome5.99%

Mid CapValue14.75%

Small CapValue4.22%

Large CapGrowth 33.48%

FixedIncome -2.35%

Mid CapGrowth 35.74%

Small CapGrowth 43.30%

S&P 500 Index 32.39%

Small CapValue 34.52%


Inter-national 23.29%

Mid CapValue33.46%

Cash0.05%



S&P 500 Index16.00%



Small CapValue18.05%

Mid CapGrowth15.81%

Cash0.07%

Mid CapValue18.51%

FixedIncome4.82%



S&P 500Index15.06%


FixedIncome6.59%


Inter-national8.21%

Mid CapValue24.75%

Mid CapGrowth26.38%

Cash0.13%

Mid CapGrowth 11.43%


Mid CapValue-1.42%

Cash4.74%

Large CapGrowth11.81%Inter-national11.63%

S&P 500Index5.49%


FixedIncome7.23%


Mid CapGrowth35.47%S&P 500Index31.49%Small CapGrowth28.48%Mid CapValue27.06%Large CapValue26.54%Inter-national22.66%Small CapValue22.39%FixedIncome9.71%

Cash2.25%


Mid CapValue23.71%Small CapValue22.25%Inter-national20.70%Large CapValue16.49%Mid CapGrowth15.48%Small CapGrowth14.31%S&P 500Index10.88%Large CapGrowth6.30%FixedIncome4.19%

Cash1.24%

Mid CapValue12.65%

Small CapValue4.71%


Large CapValue7.07%

Mid CapGrowth12.10%


S&P 500Index4.91%


FixedIncome2.37%

Cash3.00%

Mid CapValue20.22%




Mid CapGrowth10.66%


S&P 500Index15.79%


FixedIncome3.78%

Cash4.76%


S&P 500Index-37.00%


Mid CapValue-38.44%

FixedIncome5.70%

Cash1.80%

Large CapGrowth-38.44%



Mid CapGrowth-44.32%

2004 201920172016201520142013201220102005 2006 2007 2008 2009 2018

Cash0.16%

FixedIncome4.52%



S&P 500Index26.46%


Mid CapValue34.21%



Mid CapGrowth46.29%

Cash0.08%

FixedIncome8.74%

Mid CapGrowth-1.65%

Mid CapValue-1.38%


Large CapValue0.39%


S&P 500 Index2.11%



2011

Source: Legg Mason. As of 12/31/2019. Diversification does not assure a profit or protect against market loss. All investments involve risks, including possible loss of principal. Investing in non-U.S. companies involves risks in addition to those ordinarily associated with investing in domestic securities, including the potentially negative effects of currency fluctuations, political and economic developments, foreign taxation and differences in auditing and other financial standards. International investing may not be suitable for everyone. These risks are magnified in emerging markets. Stocks of small- and mid-capitalization companies tend to involve more risk and volatility than stocks of larger companies. As interest rates rise, bond prices fall reducing the value of fixed income investments. See Index definitions slide for index definitions. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

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MDA Portfolios are designed to access multiple managers with compatible styles

Multiple managers Single manager

vs

Unknown Styles Complementary portfolios Complementary Styles

x4 Asset allocation Planned

x4 Client reporting x1

x4 Portfolio review/Re-balancing x1

x4 Manager firm selection x1

For illustrative purposes only.An account’s actual allocations to its portfolio segments will vary over time as markets change. An account may be rebalanced to or towards its target allocations if one or more segments of the account becomes over-weighted or under-weighted as a result of market appreciation or depreciation. Cash flows into and out of an account will be applied towards the account’s more underweight segment in order to bring such account’s allocations back towards their target allocations.

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Your investment portfolio | All Cap Growth

ClearBridge All Cap Growth Portfolios

OverviewClearBridge All Cap Growth Portfolios (ACG) seeks long-term capital appreciation through investment in large-, mid-, and small- capitalization stocks that have the potential for above average long-term earnings and/or cash flow growth.§ Portfolio positioning• Core growth option, which can be complemented

by other investments or asset classes for further diversification.

• Designed for investors looking for a growth portfolio that invests across multiple market capitalizations with a buy-and-hold strategy. This strategy does not force buy or sell decisions based on market capitalization. The potential result may be reduced portfolio turnover over time.

Key differentiators• The strategy combines the expertise of four

seasoned portfolio managers.

• High-conviction stock selection that offers potential for growth across market cycles.

• Portfolio managers evaluate each position daily and may decide to invest portfolios gradually or all at once based on market conditions, valuations and/or factors they consider to be relevant.§

ObjectivesThe strategy seeks: Long-term capital appreciation.

PhilosophyWe believe that:• Competitive returns may be achieved by investing in

a diversified portfolio of large-, medium- and small-capitalization stocks that have the potential for above-average long-term growth and returns.

• An intensive, bottom-up investment process can help find inefficiently priced companies with strong fundamentals, incentive-driven management teams, dominant positions in niche markets, and/or goods and services customers are practically compelled to use.

• Consistency in our investment process, research, performance and client service is the key to excellence.

Market, security and/or other investment considerations may result in higher turnover from time to time.Risks: All investments involve risk, including loss of principal and there is no guarantee that investment objectives will be met.In addition to investments in large-capitalization companies, investments may be made in speculative and/or small-cap and mid-cap companies which involve a higher degree of risk and volatility than investments in larger, more established companies.In addition, because the investments may be concentrated in a limited number of industries and companies, the portfolios may involve heightened risk.While most investments are in U.S. companies, investments may also be made in ADRs and other securities of non-U.S. companies in developed and emerging markets which involve risks in addition to those ordinarily associated with investing in domestic securities, including the potentially negative effects of currency fluctuation, political and economic developments, foreign taxation and differences in auditing and other financial standards. These risks are magnified in emerging markets.ACG portfolios invest primarily in large-capitalization stocks, investing much smaller portions of the portfolios in small- and mid-capitalization company stocks.Diversification does not assure a profit or protect against market loss.Market, security and/or other investment considerations may result in higher turnover from time to time. Also, all capitalization ranges will not necessarily be represented in an individual account.

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Your investment portfolio | All Cap Growth

ClearBridge All Cap Growth Portfolios investment process

Idea generationIdentify companies with strongbusiness models, capital structures and management teams, generally with market capitalizations of $3 billion or greater.

Fundamental analysisDetermine valuation considering thesize of a business’s addressablemarket, free cash flow yield, P/E,EV/Sales1, PEG Ratio,2. Identifykey risks and potential downside.

Portfolio constructionActively select investments across the growth spectrum, allocated into three growth buckets (Cyclical, Stable and Select) with distinct risk/return characteristics. Managers are willing to pay a premium for companies with sustainable growth characteristics and superior ROIC3.

Risk management/Evaluation disciplineUnderstand security level and portfolio level risks. Actively review investment rationales, position sizes and diversification metrics.

1 Enterprise-Value-To- Sales (EV/Sales): A valuation measure that compares the enterprise value of a company to the company's sales. EV/sales gives investors an idea of how much it costs to buy the company's sales. Generally the lower the EV/sales the more attractive or undervalued the company is believed to be.

2 Price/Earnings To Growth – PEG Ratio: A stock's price-to-earnings ratio divided by the growth rate of its earnings for a specified time period. The price/earnings to growth (PEG) ratio is used to determine a stock's value while taking the company's earnings growth into account, and is considered to provide a more complete picture than the P/E ratio. While a high P/E ratio may make a stock look like a good buy, factoring in the company's growth rate to get the stock's PEG ratio can tell a different story. The lower the PEG ratio, the more the stock may be undervalued given its earnings performance.

3 Return On Invested Capital (ROIC): A calculation used to assess a company's efficiency at allocating the capital under its control to profitable investments. The return on invested capital measure gives a sense of how well a company is using its money to generate returns.The investment process may change over time. The characteristics set forth 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.Actual allocation may vary.

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Your investment portfolio | All Cap Value

ClearBridge All Cap Value Portfolios

OverviewThe ClearBridge All Cap Value Portfolios - headed by Sam Peters and Albert Grosman - focus on large-, mid- and small-capitalization stocks.ObjectivesThe strategy seeks: long-term capital growth. Current income is a secondary consideration.Portfolio positioning• Designed for investors seeking a value portfolio,

with the ability to invest in all market capitalizations

• Offers a long-term buy-and-hold strategy, which may reduce portfolio turnover

Key differentiatorsProcess• Repeatable, proprietary process designed to form

explicit variant perceptions relative to expectations embedded in the stock price

Team• Robust, frequent communication to surface diverse

perspectives and to improve the questions we ask and the assumptions we make

Portfolio Construction• Diversification across industries, economic drivers

and macroeconomic and quantitative factors to build a resilient portfolio that maximizes risk-adjusted returns and is able to outperform in a variety of market conditions

PhilosophyWhat we believe:• The stock market is a complex adaptive system It dynamically aggregates the views of

participants, providing assessments of investment value

As such, markets broadly adjust quickly to reflect new information, making it challenging for information-driven investment strategies to earn excess returns

• Inefficiencies occur in markets Inefficiencies occur, particularly when diversity of

thought breaks down (e.g., investors panic or get greedy all at once), as well as when the time horizon extends beyond the market’s often myopic frame

• To generate excess returns consistently, we must find and exploit these inefficiencies We do this through an explicit analysis of market

expectations, compared with the expectations we have developed through our review of the company’s economic returns, capital allocation and competitive strategy

RISKS: All investments involve risk, including the loss of principal, and there is no guarantee that investment objectives will be met.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.While most investments are in U.S. companies, investments may also be made in ADRs and other securities of non-U.S. companies in developed and emerging markets which involve risks in addition to those ordinarily associated with investing in domestic securities, including the potentially negative effects of currency fluctuation, political and economic developments, foreign taxation and differences in auditing and other financial standards. These risks are magnified in emerging markets.The managers may sometimes hold significant portions of portfolio assets in cash equivalents while waiting for buying opportunities.Diversification does not assure a profit or protect against market loss.Managers seek to keep portfolio turnover low to allow for the positive compounding effect of dividends over time, although market, security and other investment considerations may cause turnover to be higher from time to time. Also, all capitalization ranges will not necessarily be represented in an individual account.

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Your investment portfolio | All Cap Value

ClearBridge All Cap Value Portfolios investment process

Discovery:Diversity Breakdowns and EmbeddedExpectationsLook for diversity breakdowns:• High-level industry trends and competitive strategy• Quantitative screens covering multiple sources of

return and riskEmbedded expectations for growth, returns and investment needs

Valuation:Probabilistic Analysis of Business Value andVariant PerceptionValuation:• Multiple analytical tools to understand drivers of

business valueProbabilistic Approach:• Build scenario analysis and simulations to explore

business value under different assumptionsVariant Perception:• Develop an explicit narrative of how investment case

differs from embedded expectationsSystematic Updating:• Actively recalibrate model and probabilities based on

new information

Portfolio Construction:Balance of Risk and Return• Bottom-up weighting decisions to maximize

riskadjusted potential return across industries, economic drivers of returns, as well as macroeconomic and quantitative factor exposures relative to strategy’s benchmark

• Robust team discussions help avoid individual behavioral biases: overconfidence, anchoring, loss aversion, framing effects, confirmation bias

The investment process may change over time. The characteristics set forth 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.

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Strategy characteristics & performance | Equity Portfolio characteristics

Equity Portfolio characteristics as of September 30, 2020

Market capitalization (%)

49.94

13.57

19.50

12.59

4.41

Above $50B $25 - $50B $10 - $25B $3 - $10B 0 - $3B0

10

20

30

40

50

60Portfolio

Characteristics (%)

Number of Holdings 142

Dividend Yield 2.01

Forecasted P/E Ratio -1 Year 17.98

Price/Book Ratio 5.26

Long-Term EPS Growth 11.94

Weighted Median Market Capitalization 44.91

Weighted Average Market Capitalization 186.70

Source: FactSet. Portfolio characteristics are based on a model portfolio, not an actual client account. The model portfolio is a hypothetical portfolio whereby the portfolio characteristics are based on simulated trading and account activity of a client account invested in this strategy. The model portfolio assumes no withdrawals, contributions or client-imposed restrictions. Portfolio characteristics of individual client accounts may differ from those of the model portfolio as a result of account size, client-imposed restrictions, the timing of client investments, market conditions, contributions, withdrawals and other factors. Please see Endnotes for additional information. Please see appendix for term definitions.P/E ratio Year 1 and Long-term EPS growth are provided by I/B/E/S, are inherently limited and should not be used as an indication of future performance.Yields and dividends represent past performance and there is no guarantee they will continue to be paid.

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Strategy characteristics & performance | Equity Portfolio characteristics

Equity Portfolio characteristics as of September 30, 2020

Sector weightings (%)

Information Technology 21.6Health Care 17.4Financials 11.7Communication Services11.2Industrials 8.6Consumer Discretionary 8.4Consumer Staples 5.4Utilities 3.2Materials 3.0Energy 2.8Real Estate 2.0Cash 4.7

Information Technology 21.6

Health Care 17.4

Financials 11.7

Communication Services 11.2

Industrials 8.6

Consumer Discretionary 8.4

Consumer Staples 5.4

Utilities 3.2

Materials 3.0

Energy 2.8

Real Estate 2.0

Cash 4.7

Top Holdings

Portfolio

Johnson & Johnson 3.04

Comcast Corp 3.02

UnitedHealth Group Inc 2.47

Amazon.com Inc 2.47

Verizon Communications Inc 2.39

Facebook Inc 1.93

Synchrony Financial 1.89

Unilever PLC 1.47

Wells Fargo & Co 1.46

Vertex Pharmaceuticals Inc 1.43

Total 21.57

Source: FactSet. Portfolio characteristics are based on a model portfolio, not an actual client account. The model portfolio is a hypothetical portfolio whereby the portfolio characteristics are based on simulated trading and account activity of a client account invested in this strategy. The model portfolio assumes no withdrawals, contributions or client-imposed restrictions. Portfolio characteristics of individual client accounts may differ from those of the model portfolio as a result of account size, client-imposed restrictions, the timing of client investments, market conditions, contributions, withdrawals and other factors.

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Strategy characteristics & performance | Performance

Performance

Calendar-year total returns – gross and net of fees (%) ending December 31

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010

All Cap Blend (gross) 26.86 -7.52 20.79 13.75 0.03 12.30 36.88 18.42 -3.00 18.27

All Cap Blend (net) 23.22 -10.24 17.32 10.46 -2.89 9.05 32.98 15.01 -5.84 14.86

Index Mix 31.01 -5.33 21.19 12.81 0.40 12.60 33.48 16.41 1.05 16.97

S&P 500 Index (USD) 31.49 -4.38 21.83 11.96 1.38 13.69 32.39 16.00 2.11 15.06

Annualized rates of return – gross and net of fees (%) as of September 30, 2020 – PRELIMINARY

Sep ‘20 Q3 ‘20 YTD 1-year 3-year 5-year 7-year 10-year 15-year

All Cap Blend (gross) -2.76 7.72 -0.52 7.53 7.41 11.41 10.23 12.37 8.64

All Cap Blend (net) -3.00 6.95 -2.72 4.40 4.29 8.18 7.04 9.12 5.48

Index Mix -3.58 9.14 4.14 13.59 11.16 13.41 11.91 13.34 9.03

S&P 500 Index (USD) -3.80 8.93 5.57 15.15 12.28 14.15 12.68 13.74 9.19

The Index Mix consists of the following: 50% Russell 3000 Growth and 50% Russell 3000 Value Index.The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Past performance is no guarantee of future results. YTD numbers are not annualized. 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 3.0% annual wrap fee, which is the maximum anticipated wrap fee for equity and balanced portfolios. Actual fees may vary. For fee schedules, contact your financial professional, or if you may 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. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Risk/return profile (%)

Gross of fees (based on 10-year period ending September 30, 2020)

0 5 10 15 200

5

10

15

All Cap Blend Index Mix S&P 500 Index (USD)

Ann

ualiz

ed r

ate

of r

etur

n (%

)

Risk (% annualized standard deviation)

Modern portfolio statistics as of September 30, 2020

All Cap Blend

(MDA 0) Index MixS&P 500

Index

Annualized return (%) 12.37 13.34 13.74

Annualized standard deviation (%) 14.77 13.76 13.25

Sharpe ratio 0.83 0.94 1.00

Beta 1.06 N/A N/A

Alpha -1.46 N/A N/A

R-squared 0.97 N/A N/A

The Index Mix consists of the following: 50% Russell 3000 Growth and 50% Russell 3000 Value Index.The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Past performance is no guarantee of future results. Investments involve risk of loss. Alpha, Beta, and R-squared are shown versus the Index Mix. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. Please see appendix for term definitions. Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. 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. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Up/Down market capture ratios (%)


1.03

1.09

1.00

1.00

2

1

0

1

2

All Cap Blend Index Mix

Up87 positive months

Down33 negative months

The Index Mix consists of the following: 50% Russell 3000 Growth and 50% Russell 3000 Value Index.The strategy returns shown are preliminary composite returns, subject to future revision (downward or upward). Please visit www.leggmason.com for the latest performance figures. YTD numbers are not annualized. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. 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. Please see appendix for term definitions. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs. Past performance is no guarantee of future results.

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Growth of $100,000


2010 2012 2014 2016 2018 2020$0

$100,000

$200,000

$300,000

$400,000All Cap Blend Index Mix $321,011 $349,785

The Index Mix consists of the following: 50% Russell 3000 Growth and 50% Russell 3000 Value Index.For illustrative purposes only. Assumes no withdrawals or contributions. These statistics are based on gross-of-fees quarterly composite returns, were calculated assuming reinvestment of dividends and income, and take into account both realized and unrealized capital gains and losses. Past performance is no guarantee of future results. All investments involve risk, including the loss of principal. Gross performance shown does not reflect the deduction of investment management fees and certain transaction costs, which will reduce portfolio performance. 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. Please see GIPS® Endnotes for additional important information regarding the portfolio’s performance and for effects of fees. Management and performance of individual accounts may vary for reasons that include the existence of different implementation and model requirements in different investment programs.

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Appendix | Investment Management Team

Investment management team

Evan Bauman§

Managing Director, Portfolio Manager• Industry since 1996

• Firm since 1996

• Duke University — BS in Mathematics§

§

Peter Bourbeau§

Managing Director, Portfolio Manager§• Industry since 1991

• Firm since 1991

• Fordham University — MBA

• University of Florida — BSBA§

§

Richard Freeman§


• Firm since 1983

• New York University — MBA in Finance

• Brooklyn College — BS in Accounting

• Member of the ClearBridge Investments Operating/Investment Committee

• Shearson American Express — Portfolio Manager of the Shearson Aggressive Growth Fund

• Portfolio Manager of Mid/Small Capitalization Growth Portfolios

• Chemical Bank — Vice President, Trusts and Investments

• Drexel Burnham Lambert — Vice President, Research§

§

Margaret Vitrano§


• Firm since 1997

• University of Pennsylvania — MBA in Finance

• Duke University — BA in Public Policy studies and Art History

• Citigroup — Research Analyst for consumer discretionary sector§§

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Appendix | Investment Management Team

Investment management team

Albert Grosman§


• Firm since 2007

• Columbia Business School — MBA

• Emory University — BBA in Business Administration

• Long Trail Investment Management - Equity Analyst

• Phinity Capital - Equity Analyst

• Cyllenius Capital Management (BlackRock Inc.) - Equity Analyst

• Fidelity Management & Research - Portfolio Manager

Sam Peters, CFA§

Managing Director, Portfolio Manager• Member of the CFA Institute

• Industry since 1993

• Firm since 2005

• University of Chicago — MBA

• College of William & Mary — BA in Economics

• Fidelity Management & Research - Portfolio Manager, Health Care Sector Team Leader

• Samuel M. Peters Investment Advisors - Founder

• Eppler, Guerin & Turner - Financial Consultant

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Appendix | Performance Endnotes

GIPS® Endnotes

Legg Mason MDA0 - All Cap Blend Strategy Inception Date: October 2001. Composite Creation Date: January 2013. Reporting Currency: USD.

PeriodTotal Return

(Net, %)Total Return

(*Pure Gross, %)Benchmark Return (%)

Number of portfolios

% of Bundled Fee Portfolios in the Composite

Composite Dispersion (%)

Composite 3 Yr. St. Dev. (%)

Benchmark 3 Yr. St. Dev. (%)

Total Composite Assets at End of

Period (USD million)

Percentage of Firm Assets

Total Firm Assets at End of

Period (USD million)

2019 23.22 26.86 31.01 893 100 0.88 13.31 12.38 464.6 0.8 61,593.5

2018 -10.24 -7.52 -5.33 952 100 0.65 12.64 11.33 404.7 0.8 50,961.6

2017 17.32 20.79 21.19 1,031 100 0.67 11.72 10.23 480.6 0.9 53,956.9

2016 10.46 13.75 12.81 1,213 100 0.99 12.51 11.03 479.0 1.0 46,104.9

2015 -2.89 0.03 0.40 1,246 100 0.47 11.61 10.72 451.1 1.1 42,608.6

2014 9.05 12.30 12.60 1,211 100 0.47 n/a n/a 476.0 1.1 42,421.5

2013 32.98 36.88 33.48 1,173 100 1.40 n/a n/a 431.5 1.2 37,054.3

*Pure gross of fee returns do not reflect the deduction of any expenses, including transaction costs, and are presented as supplemental to the net of fee returns.Compliance Statement:§Legg Mason Private Portfolio Group, LLC (“LMPPG”) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. Legg Mason Private Portfolio Group, LLC has been independently verified for the periods January 1, 2013 - 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.Firm Information:§Legg Mason Private Portfolio Group, LLC is a wholly-owned subsidiary of Legg Mason, Inc. LMPPG, together with its Subadvisers, ClearBridge Investments, LLC (“ClearBridge”), Martin Currie Inc. (“Martin Currie”), QS Investors, LLC (“QS”), RARE Infrastructure (North America) Pty Ltd (“RARE”), Royce & Associates, LP (“Royce”) and Western Asset Management Company (“Western Asset”), provides investment advisory services primarily in investment programs sponsored by Sponsor Firms. The investment advisory services LMPPG and the Subadvisers provide differ depending on the type of Sponsor Firm investment program in which a client participates. ClearBridge claims compliance with the Global Investment Performance Standards (GIPS®). ClearBridge has been independently verified for the periods January 1, 1997 - December 31, 2018. ClearBridge Investments, LLC (“ClearBridge”) is a wholly owned subsidiary of Legg Mason, Inc. (“Legg Mason”). The investment advisory business now known as ClearBridge was registered in September 2005 to facilitate Legg Mason’s acquisition of substantially all the equity asset management businesses known as Citigroup Asset Management. These former businesses serve as the foundation of ClearBridge and its claim of GIPS compliance for institutional accounts through predecessor firms, effective as of January 1997. In June 2008, ClearBridge combined this business with its retail business to form a single GIPS firm. As of April 1, 2013 and January 1, 2016, ClearBridge’s affiliates, Global Currents Investment Management, LLC, and ClearBridge, LLC, respectively, have become part of the ClearBridge GIPS firm. To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact [email protected]. Martin Currie claims compliance with the Global Investment Performance Standards (GIPS®). Martin Currie has been independently verified though December 31, 2018. Martin Currie, which encompasses Martin Currie Investment Management Ltd and Martin Currie Inc. Martin Currie is a wholly owned subsidiary of Legg Mason, Inc. (“Legg Mason”) but operates autonomously, and Martin Currie, as a firm, is held out to the public as a separate entity. To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact [email protected]. QS Investors claims compliance with the Global Investment Performance Standards (GIPS®). QS has been independently verified for the periods August 1, 2010 through December 31, 2018. 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 subsidiary 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 subsidiaries, into QS Investors. To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact Keri Mclaughlin at [email protected]. RARE claims compliance with the Global Investment Performance Standards (GIPS®). RARE has been independently verified for the periods August 31 2006 through December 31, 2018. For purposes of compliance with the GIPS® the Firm is defined as RARE Infrastructure Limited (“RIL”) and its relevant subsidiaries, being Clearbridge RARE Infrastructure (North America) Pty Ltd and RARE Infrastructure International Pty Ltd (together “RARE”). RIL performs the role of investment manager and subadvisor for RARE in the delivery of services to both domestic and global institutional clients, funds and retail end users. RIL has global developed and developing listed equity infrastructure investment objectives based on its proprietary investment and research model. RIL is a majority owned, independently operated subsidiary of Legg Mason, Inc. To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact [email protected].

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Appendix | Performance Endnotes

GIPS® Endnotes

Legg Mason MDA0 - All Cap Blend Strategy Inception Date: October 2001. Composite Creation Date: January 2013. Reporting Currency: USD.

Royce claims compliance with the Global Investment Performance Standards (GIPS®). Royce has been independently verified for the periods January 1, 2008 through December 31, 2018. For the purpose of complying with the GIPS standards, the Firm is defined as Royce & Associates, LP (“Royce”). Royce is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an investment adviser (SEC File No. 801-8268). To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact Tara Francoeur at [email protected]. Western Asset claims compliance with the Global Investment Performance Standards (GIPS®). Western has been independently verified for the periods January 1, 1993 to December 31, 2018. For GIPS® purposes, the Firm is defined as Western Asset, a primarily fixed-income investment manager comprised of Western Asset Management Company, LLC; Western Asset Management Company Limited, authorised and regulated by the Financial Conduct Authority (“FCA”); Western Asset Management Company Pte. Ltd. Co. Reg. No. 200007692R, holder of the Capital Markets Services Licence for fund management and regulated by the Monetary Authority of Singapore; Western Asset Management Company Ltd, a registered Financial Instruments Business operator and regulated by the Financial Services Agency of Japan; Western Asset Management Company Pty Ltd ABN 41 117 767 923, holder of the Australian Financial Services Licence 303160; and Western Asset Management Company Distribuidora de Títulos e Valores Mobiliários (DTVM) Limitada, authorised and regulated by Comissão de Valores Mobiliários and Banco Central do Brazil, with offices in Pasadena, New York, London, Singapore, Tokyo, Melbourne, São Paulo, Hong Kong, and Zürich. Each Western Asset company is a wholly owned subsidiary of Legg Mason, Inc. (“Legg Mason”) but operates autonomously, and Western Asset, as a Firm, is held out to the public as a separate entity. Western Asset Management Company was founded in 1971. To obtain a compliant presentation and/or the firm’s list of composite descriptions, please contact Michael Van Raaphorst at 212-601-6211 or [email protected]. LMPPG has used Subadvisers for all periods presented.Composite Information:§The Legg Mason MDA0 - All Cap Blend composite consists of discretionary wrap accounts with an account minimum of US $25,000. Accounts are invested with the following approximate allocations:50% ClearBridge All Cap Growth SMA§

50% ClearBridge All Cap Value SMAThe ClearBridge All Cap Growth SMA strategy seeks long-term capital appreciation by investing in a mix of large, mid and small capitalization stocks believed to have substantial growth potential.The ClearBridge All Cap Value SMA strategy is primarily invested by applying value criteria to attempt to find the most inefficiently priced stocks in the small, mid and large capitalization sectors.The main risks of this strategy are General Investment Risk, Industry and Issuer Concentration Risk, Small Cap Risk, Mid Cap Risk, High Volatility Risk, and Non-U.S. Investment Risk.Input and Calculation Data:§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%) annually, prorated to a monthly ratio. The “bundled” fee includes transaction costs, investment management, custodial, and other administrative fees. As of January 2014, the internal dispersion of annual returns is measured by the asset-weighted standard deviation of portfolio returns included in the composite for the entire year. For prior years, the equal-weighted standard deviation was used. Data prior to January 2013 is not displayed because that data is non GIPS compliant. The three-year annualized ex-post standard deviation is not available prior to 2015 because the composite did not have 36 months of GIPS compliant data. A list of composite descriptions is available upon request. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Past performance is not necessarily indicative of future results.Benchmark Information:§The composite uses the following blended benchmark 50% Russell 3000® Growth / 50% Russell 3000® Value which is rebalanced monthly. Benchmark returns are not covered by the report of independent verifiers.The Russell 3000® Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values.The Russell 3000® Value Index measures the performance of the broad value segment of the U.S. equity value universe.

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Appendix | Index Definitions

Definitions

Index DefinitionsThe Bloomberg Barclays U.S. Government/Credit Bond Index tracks the performance of the overall bond market and is a broad measure of the performance of government and corporate fixed-rate debt issues.

FTSE 3-Month U.S. Treasury Bill Index is an index based upon the average monthly yield of the 90-Day Treasury Bills. Treasury bills are secured by the full faith and credit of the U.S. Government and offer a fixed rate of return.

The MSCI EAFE Index (Europe, Australasia, Far East) is an unmanaged index of common stocks of companies located in Europe, Australasia and the Far East.

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

The MSCI World ex. US Index consists of the following 22 developed market country indexes: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and, the United Kingdom.

The Russell 1000 Index consists of the 1000 largest securities in the Russell 3000 Index, and this large cap (market-oriented) index is highly correlated with the S&P 500 Index.

The Russell 1000 Growth Index measures the performance of those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. (A price-to-book ratio is the price of a stock compared to the difference between a company’s assets and liabilities).

The Russell 1000 Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values.

The Russell 2000 Index is comprised of the 2,000 smallest companies in the Russell 3000 Index.

The Russell 2000 Growth Index measures the performance of those Russell 2000 Index companies with higher price-to-book ratios and higher forecasted growth values.

The Russell 2000 Value Index measures the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values.

The Russell 3000 Index is comprised of the 3,000 largest U.S. companies based on total market capitalization, and represents the vast majority of the investable U.S. market.

The Russell 3000 Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values.

The Russell MidCap Index consists of the 800 smallest companies in the Russell 1000 Index as ranked by total market capitalization.

The Russell MidCap Growth Index measures the performance of those Russell MidCap companies with higher price-to-book ratios and higher forecasted growth values.

The Russell MidCap Value Index measures the performance of those Russell MidCap companies with lower price-to-book ratios and lower forecasted growth values. The stock are also members of the Russell 1000 Value Index.

The S&P 500 Index is a capitalization weighted, composite index of 500 stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

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Appendix | Term Definitions

Definitions

Term definitionsMarket Capitalization measures the number of outstanding common shares of a given corporation multiplied by the latest price per share.

Weighted Median Market Capitalization represents the value at which half the portfolio’s market capitalization weight falls above and half falls below.

Weighted Average Market Capitalization represents the average value of the companies held in the portfolio. When that figure is weighted, the impact of each company’s capitalization on the overall average is proportional to the total market value of its shares.

Dividend Yield is determined by dividing a stock’s annual dividends per share by the current market price per share. Dividend yield is a financial ratio that shows how much a company pays out in dividends.

P/E (Year 1) is the previous day’s closing price of the stock divided by the consensus earnings per share (EPS) of fiscal year 1 (FY1) provided by I/B/E/S. Forecasts are inherently limited and should not be relied upon as indicators of future performance.§

The Price-to-Book ratio (P/B) is a stock’s price divided by the stock’s per share book value.

Earnings Per Share (EPS) is the portion of a company’s profit allocated to each outstanding share of a common stock.

The Sharpe Ratio is a risk-adjusted measure, calculated using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the portfolio’s historical adjusted performance.

Alpha is a measure of the difference between actual returns and expected performance, given the level of risk as measured by Beta, where Beta measures sensitivity to benchmark movements.

R-Squared measures the strength of the linear relationship between the portfolio and its benchmark. R-squared at 1.0 implies perfect linear relationship and zero implies no relationship exists.§

Standard Deviation is based on quarterly data. Standard deviation is a measure of the variability of returns; the higher the standard deviation, the greater the range of performance (i.e., volatility).

The Capture Ratios measure a manager’s composite performance relative to the benchmark, considering only those quarters that are either positive (Up) or negative (Down) for the benchmark.

An Up Market Capture Ratio greater than 1.0 indicates a manager who has outperformed the benchmark in the benchmark’s positive quarters.

A Down Market Capture Ratio of less than 1.0 indicates a manager who has outperformed the relative benchmark in the benchmark’s negative quarters.§

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Investments for the program(s) discussed herein are traded primarily in U.S. markets and unless otherwise noted, equity and fixed income investments for such program(s) are primarily of U.S. issuers. In addition, unless otherwise noted, indexes referred to herein represent groups of securities that are issued primarily by U.S. issuers.IMPORTANT TAX INFORMATION:Franklin Resources, Inc., its affiliates, and its employees are not in the business of providing tax or legal advice to taxpayers. These materials and any tax-related statements are not intended or written to be used, and cannot be used or relied upon, by any such taxpayer for the purpose of avoiding tax penalties or complying with any applicable tax laws or regulations. Tax-related statements, if any, may have been written in connection with the “promotion or marketing” of the transaction(s) or matter(s) addressed by these materials, to the extent allowed by applicable law. Any such taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor.Investments are not obligations of, and are not guaranteed by, LMPPG or any other Franklin Resources, Inc. affiliate or subsidiary; are not FDIC or government insured; and are subject to risks, including possible loss of the principal amount invested. Professional money management may not be suitable for all investors.Multiple Discipline Account is a registered service mark of Morgan Stanley Smith Barney, LLC (“MSSB”) and is used under license by Legg Mason Private Portfolio Group (“LMPPG”). LMPPG is not affiliated with MSSB.Any information, statement or opinion set forth herein is general in nature, is not directed to or based on the financial situation or needs of any particular investor, and does not constitute, and should not be construed as, investment advice, forecast of future events, a guarantee of future results, or a recommendation with respect to any particular security or investment strategy or type of retirement account. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financial professional.©2020 Legg Mason Investor Services, LLC, member FINRA, SIPC. Legg Mason Investor Services, LLC and ClearBridge Investments, LLC are wholly owned subsidiaries of Franklin Resources, Inc.SMA SMA0004 PPG-Q320-V1

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