legg mason if clearbridge us equity fund...legg mason if clearbridge us equity fund this information...

LEGG MASON IF CLEARBRIDGE

US EQUITY FUND

This information is only for use by professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.

February 2017

CLEARBRIDGE INVESTMENTS A DISTINGUISHED HISTORY IN EQUITY INVESTING

Source: ClearBridge, as at 31 December 2016.

2

A well-established global investment manager with a legacy

dating back more than 50 years

US$112.4 billion AUM

Benefits from the strength of Legg Mason ownership, while

operating with investment independence

Headquartered in New York with offices in Baltimore, San

Francisco and Wilmington with 210 employees

34 portfolio managers with an average of 25 years of

investment industry experience

A global equity investment manager: focused on building

equity portfolios for clients who seek income solutions, high

active share or low volatility

Corporate access: ClearBridge’s investment professionals

meet with over 1000 companies a year

A shared research platform: consisting of experienced

analysts who support portfolio management

Co-ownership of products: management and investment

professionals are shareholders in proprietary products

Citigroup forms a

combined asset manager Citigroup Asset Management

Boutique Asset Managers Benefits of Scale

Individual, specialised

asset management firms Smith Barney Asset Management

Loeb Rhoades Asset Management

Davis Skaggs Asset Management

Shearson Asset Management

Salomon Bros. Asset Management

Singular Focus on

Investment Management

1962 – 1997 1998 – 2005 2005 – present

A Timeline of ClearBridge Investments:

STRATEGIES CONSTRUCTED TO ADDRESS CLIENT OBJECTIVES

Source: ClearBridge, as at 31 December 2016. Total ESG AUM are included in Total AUM of US$112.4B.

3

Total Assets Under Management:

US$112.4 Billion

Integrated Environmental Social and Governance (ESG) Investment Program Assets Total: US$3.4 Billion

US$73.1

Billion

US$24.4

Billion

US$14.9

Billion

High Active

Share

Low

Volatility

Income

Solutions

Institutional

US$31.5

Billion

US$76.0

Billion Offshore

US$4.9

Billion Intermediaries

LEGG MASON CLEARBRIDGE IF US EQUITY

FUND

4

INVESTMENT PHILOSOPHY

The stock market is a complex adaptive system

It dynamically aggregates the views of participants, providing assessments of investment value. As

such, markets broadly reflect company values and prices quickly adjust to reflect new information,

making it difficult 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

We believe that to generate excess returns consistently we must find and exploit these

"mispricings.“

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. We scrutinise our variant perceptions, understanding that we are making a bet

against a generally efficient market. Finally, we quantify the size of the expectations gap between

the market price and our assessment of fundamental value to ensure sufficient margin of safety

5

Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors.

LEGG MASON IF CLEARBRIDGE US EQUITY FUND

INVESTMENT PROCESS

Source: Clearbridge. These are internal limits/ guidelines and are subject to change.

6

Look for signatures of

expectation gaps

Controversial events

Emerging or evolving

business models

Management or business

upheaval

Unusual market moves

Seek large gaps between

price and value

Consider both traditional

value and growth stocks

Consider both high-quality

and low-quality stocks

Understand market

expectations

embedded in security

valuation and why our

expectations differ

Determine a range of

probabilistic outcomes

based on scenario

analysis

High active share

with broad factor

exposure

Long-term

investment horizon

Average turnover of

20-50%

Concentrated,

high-conviction

portfolio

30-60 stocks

Active share of

80-95%

INVESTMENT PROCESS ATTRIBUTES

Valuation-driven stock selection

Source: ClearBridge Investments, as at 31 December 2016.

7

Model: bottom-up fundamental research to identify embedded

expectations and possible range of intrinsic values

Narrative: variant perception(s) using probability-weighted

scenarios

Using company valuations to uncover long-term growth Our portfolio construction process aims to select stocks with diversified value drivers and minimize the correlations within the portfolio to protect

against stock-specific risk without sacrificing the return asymmetry from our underlying valuation discipline.

Data-driven review of the portfolio using numerous outside-view perspectives. For instance, correlation of portfolio holdings to the portfolio based

on price changes.

Collaborative team environment and highly engaged meetings drive cognitive diversity in the decision-making process.

PORTFOLIO CONSTRUCTION: DRIVING IMPROVED

RETURNS PER UNIT OF ACTIVE RISK

8

Careful portfolio construction means that no single factor is allowed to dominate performance/risk

Therefore, the fund can look different to the index, but can retain a low tracking error

Source: Legg Mason, 31 January 2017. For illustrative purposes only.

Past Performance is no guide to future results. Please refer to the section entitled "Important Information" for additional details.

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THE PORTFOLIO MANAGEMENT TEAM

SAM PETERS AND JEAN YU

Sam Peters, CFA

Co-Portfolio manager of the Legg Mason ClearBridge Value Fund as well as the Legg Mason US Equity Fund

Sam joined ClearBridge in 2005

Sam earned a BA in economics from the College of William & Mary and an MBA from the University of Chicago.

He received his CFA designation in 1997

9

Jean Yu, CFA, PhD

Co-Portfolio manager of the Legg Mason ClearBridge Value Fund as well as the Legg Mason US Equity Fund

Jean joined ClearBridge in 2002

Jean earned an MD from Beijing Medical University, an MBA in Health Sector Management and Finance from

Duke University, and a PhD in Molecular Biology from Colombia University. Jean is a member of the CFA Institute

Data driven, quantitative mindset

Pragmatic mindset

High conviction

Strong risk-adjusted process

Flexible to maximise market

opportunities

High active share, low turn-over

The Portfolio Managers The Fund


INVESTMENT TEAM AND RESOURCES

A COLLABORATIVE APPROACH

10


Dedicated Portfolio Analysts

Portfolio Managers Sole Decision Makers

Sam Peters, CFA

Jean Yu, CFA, PhD

Richard Borja, CFA Reed Cassady, CFA

Donald Li, CFA Farhan Mustafa, CFA

External Research

Centralised Research Platform

Chuck Harris Director of Research

Consumer Discretionary Neal Austria

Consumer Durables Robert Buesing, Jr.

Energy/Utilities Dimitry Dayen, CFA Tatiana Thibodeau

Financials David Hochstim, CFA Stephen Rigo, CFA

Health Care Marshall Gordon

Nick Wu

Industrials/ Basic Materials

Chuck Harris Humphrey Oleng

IT & Communications Hilary Frisch, CFA

Deepon Nag

Amanda Tedesco, CFA

FUND POSITIONING AND PERFORMANCE

11

FUND ANNUALISED PERFORMANCE

CLASS X GBP ACCUMULATING

12

Performance in USD

Source: Legg Mason as at 31 January 2017 for Class X Accumulating GBP. Performance is calculated on a NAV to NAV basis, with gross income reinvested and after deduction of annual fund

expenses. Performance for periods less than one year is not annualised. Past performance is no guide to future returns and may not be repeated.

-1.2

5.6

43.0

16.8

19.6

0.1

4.6

35.3

21.2 21.3

-5

0

5

10

15

20

25

30

35

40

45

50

1 Month 3 Months 1 Year 3 Years Since Inception(18.12.12)

Pe

rce

nta

ge

Legg Mason IF ClearBridge US Equity Fund - Class X Accumulation S&P 500 (Gross)(GBP) Index

13

Performance in GBP


CLASS X GBP ACCUMULATION

Source: Legg Mason as at 31 December 2016 for Class X Accumulation GBP. Performance is calculated on a NAV to NAV basis, with gross income reinvested and after deduction of annual fund


©2016 Morningstar. All Rights Reserved. Past Performance is no guide to future results. Please refer to the section entitled "Important Information" for additional details.

34.4

20.9

-1.3

33.2

29.9

20.8

7.3

33.5

-5

0

5

10

15

20

25

30

35

40

2013 2014 2015 2016

Perc

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e

Legg Mason IF ClearBridge US Equity Fund - Class X Accumulation S&P 500 (Gross)(GBP) Index

SECTOR EXPOSURE RELATIVE TO

S&P 500 INDEX

Source: Legg Mason, as at 31 January 2017. Sector allocations can change at any time.

14

Fund Index Underweight Overweight

Financials 20.11% 14.56%

Utilities 7.52% 3.15%

Health Care 15.64% 13.65%

Real Estate 4.45% 2.83%

Industrials 11.32% 10.23%

Consumer Discretionary 12.39% 12.31%

Energy 5.99% 7.21%

Materials 1.04% 2.92%

Telecommunication Services 0.00% 2.52%

Information Technology 16.78% 21.27%

Consumer Staples 2.36% 9.34%

Cash & Cash Equivalents 2.41% 0.00% 2.41

-6.98

-4.49

-2.52

-1.88

-1.22

0.08

1.09

1.61

1.99

4.37

5.55

-8 -6 -4 -2 0 2 4 6 8

TOP 10 FUND HOLDINGS

Source: Legg Mason, as at 31 January 2017. Individual securities mentioned are intended as examples only and are not to be taken as advice nor are they intended as a recommendation to buy or

sell any investment or interest.

15

Security

Alphabet Inc

Wells Fargo & Co

Synchrony Financial

Microsoft Corp

Citigroup Inc

MetLife Inc

Oracle Corp

Allergan PLC

Cisco Systems Inc

United Continental Holdings Inc

Total

Total Number of Holdings

3.21

2.99

2.81

2.69

34.26

45

4.14

4.03

3.99

3.89

3.27

3.23

% of Total Fund

PORTFOLIO CHARACTERISTICS

Source: Factset, as at 31 January 2017. Portfolio characteristics may change without notice.

16

Portfolio Characteristics Fund Index

Value Factors

Price/Book 2.89 4.06

Price/Sales 3.22 3.33

Harmonic P/E Ratio (Forecasted 12 Months) 15.41 17.71

Current Dividend Yield 1.45% 2.00%

Quality FactorsDebt to Equity 1.77 1.44

Growth FactorsEPS Growth Next 3-5 Years 12.00% 11.16%

Tracking Error 3 Years 7.96% 0.00%

Risk Factors over 3 YearsStandard Deviation 3 Years 13.30% 9.84%

Market CapWeighted Median Market Cap (£bn) 26.33 66.78

Beta 1.09 1.00

Weighted Average Cap (£bn) 86.00 117.18

Market Capitalisation

17

FUND COMPOSITION

Source: Factset, as at 31 January 2017.

26.6

13.612.0

23.4

12.4 12.0

39.9

16.818.2 18.5

5.9

0.9

0

5

10

15

20

25

30

35

40

45

More than 100,000 mil 50,000 - 100,000 mil 25,000 - 50,000 mil 10,000 - 25,000 mil 5,000 - 10,000 mil Less than 5,000 mil

% o

f F

un

d

£ Millions

Legg Mason IF ClearBridge US Equity Fund S&P 500 (Gross)(GBP) Index

PORTFOLIO HOLDINGS

Source: Legg Mason, as at 31 January 2017. Individual securities mentioned are intended as examples only and are not to be taken as advice nor are they intended as a recommendation to buy or

sell any investment or interest.

18

Cash 2.41% Health Care 15.64% American Homes 4 Rent Class A 1.82%

Allergan PLC 2.99%

Consumer Discretionary 12.39% Alexion Pharmaceuticals, Inc. 2.54% Utilities 7.52%

Amazon.Com, Inc. 2.65% Bristol-Myers Squibb Company 2.24% Calpine Corporation 2.56%

Lowe's Cos Inc. 2.42% Celgene Corporation 2.21% The AES Corporation 2.50%

Pultegroup Inc 1.69% Unitedhealth Group Inc 1.95% Exelon Corp. NPV 2.47%

Ralph Lauren Corp 1.68% Mylan N.V. 1.88%

Adient PLC 1.48% Biogen, Inc. 1.82% Total 100.00%

CBS Corporation Class B 1.30% Number of Holdings 45

Norwegian Cruise Line Holdings Ltd. 1.17% Industrials 11.32%

United Continental Holdings Co 2.69%

Consumer Staples 2.36% STERICYCLE INC COMMON STOCK US 2.04%

Colgate-Palmolive Company 1.29% The Boeing Company 1.82%

Coty Inc. 1.07% Johnson Controls Int'l 1.77%

C.H. ROBINSON WORLDWIDE INC CO 1.64%

Energy 5.99% PACCAR INC 1.36%

Apache Corp 2.00%

Devon Energy Corporation 1.52% Information Technology 16.78%

Consol Energy Inc. 1.52% Alphabet Inc. 4.14%

CABOT OIL + GAS CORP COMMON ST 0.96% Microsoft Corp 3.89%

Oracle Corporation 3.21%

Financials 20.11% Cisco Systems, Inc. 2.81%

Wells Fargo & Co 4.03% Qualcomm Inc 1.57%

Synchrony Financial 3.99% Yahoo Inc. 1.15%

Citigroup Inc. 3.27%

Metlife Inc 3.23% Materials 1.04%

Ameriprise Financial Inc 2.20% MOSAIC CO/THE COMMON STOCK USD 1.04%

Discover Financial Services Co. 1.78%

Hartford Financial Svcs Grp Co 1.61% Real Estate 4.45%

REALOGY HOLDINGS CORP COMMON S 2.63%

19

ATTRIBUTION ANALYSIS 3 MONTHS

BM: S&P 500 Index.

Source: Legg Mason, as at 31 January 2017. The attribution figures above are based on the Fund's holdings and do not reflect fees or expenses of the Fund.

Past performance is no guide to future returns and may not be repeated.

Port BM (+/-) Port BM Sector Stock Total

Consumer Discretionary 11.13 12.23 -1.10 6.60 5.97 -0.03 0.07 0.04

Consumer Staples 1.62 9.40 -7.77 -10.10 -2.59 0.62 -0.14 0.49

Energy 5.67 7.41 -1.74 3.87 3.37 0.02 0.01 0.03

Financials 20.61 14.54 6.06 16.24 15.15 0.70 0.23 0.92

Health Care 15.94 13.76 2.18 2.85 1.90 -0.04 0.20 0.17

Industrials 11.34 10.30 1.04 10.39 7.62 0.02 0.32 0.34

Information Technology 15.95 20.98 -5.03 -2.11 2.59 0.06 -0.77 -0.71

Materials 2.27 2.87 -0.60 18.38 8.82 -0.05 0.23 0.19

Real Estate 4.25 2.83 1.41 7.18 -1.90 -0.08 0.39 0.31

Telecommunication Services 0.00 2.54 -2.54 0.00 6.02 -0.04 0.00 -0.04

Utilities 7.68 3.13 4.55 -1.66 -2.45 -0.31 0.07 -0.24

Cash and Equivalents 3.55 0.00 3.55 0.74 0.00 -0.09 0.00 -0.09

Total Fund 100.00 100.00 0.00 5.99 4.57 0.79 0.62 1.42

Sector Allocation for 3 MonthAverage Weight Total Return Attribution Effects

20

PERFORMANCE CONTRIBUTION 3 MONTHS

BM: S&P 500 Index.

Source: Legg Mason, as at 31 January 2017.

The attribution figures above are based on the Fund's holdings and do not reflect fees or expenses of the Fund.

Past performance is no guide to future returns and may not be repeated. Individual securities mentioned are intended as examples only and are not to be taken as advice nor are they intended as

a recommendation to buy or sell any investment or interest.

Name Sector Port BM (+/-) Return Contrib Name Sector Port BM (+/-) Return Contrib

SYNCHRONY FINANCIAL Financials 3.83 0.14 3.69 22.15 0.76 QUALCOMM INCInformation

Technology1.94 0.51 1.43 -23.95 -0.51

WELLS FARGO & CO Financials 3.90 1.26 2.64 19.81 0.71 RALPH LAUREN CORPConsumer

Discretionary1.88 0.03 1.85 -12.04 -0.25

UNITED CONTINENTAL

HOLDINGSIndustrials 2.66 0.11 2.55 21.62 0.49 COLGATE-PALMOLIVE CO

Consumer

Staples1.37 0.31 1.06 -11.67 -0.18

AMERIPRISE FINANCIAL INC Financials 2.13 0.09 2.04 24.32 0.44 AES CORP Utilities 2.78 0.04 2.74 -4.67 -0.14

DISCOVER FINANCIAL

SERVICESFinancials 2.00 0.14 1.86 19.99 0.39 BRISTOL-MYERS SQUIBB CO Health Care 2.61 0.49 2.12 -5.67 -0.14

METLIFE INC Financials 3.16 0.31 2.85 13.39 0.38 NXP SEMICONDUCTORS NVInformation

Technology0.29 0.00 0.29 -5.20 -0.12

CITIGROUP INC Financials 3.41 0.85 2.56 10.60 0.37 STERICYCLE INC Industrials 1.80 0.03 1.76 -6.53 -0.11

DEVON ENERGY CORP Energy 1.71 0.12 1.59 16.78 0.31 CALPINE CORP Utilities 2.53 0.00 2.53 -3.77 -0.10

MOSAIC CO/THE Materials 1.16 0.05 1.11 30.69 0.31 CABOT OIL & GAS CORP Energy 0.25 0.05 0.19 -6.26 -0.07

ADIENT PLCConsumer

Discretionary0.91 0.00 0.91 36.13 0.30 CISCO SYSTEMS INC

Information

Technology2.84 0.79 2.04 -1.99 -0.07

Average Weight Average Weight

Top Ten Contributors (%) for 3 Month ending 31 January 2017 Bottom Ten Contributors (%) for 3 Month ending 31 January 2017

21

ATTRIBUTION ANALYSIS YTD

BM: S&P 500 Index.





Consumer Discretionary 11.57 12.19 -0.62 4.63 2.38 -0.02 0.25 0.24

Consumer Staples 2.08 9.29 -7.21 -0.79 -0.17 0.04 -0.03 0.01

Energy 5.89 7.41 -1.53 -5.79 -5.32 0.09 -0.04 0.05

Financials 20.05 14.67 5.38 -2.55 -1.55 -0.08 -0.20 -0.28

Health Care 15.93 13.66 2.27 -2.65 0.42 0.01 -0.48 -0.47

Industrials 11.11 10.27 0.84 0.29 -0.40 0.00 0.07 0.07

Information Technology 16.47 21.07 -4.60 -0.23 2.55 -0.11 -0.45 -0.56

Materials 1.59 2.88 -1.28 3.38 2.77 -0.03 0.03 -0.01

Real Estate 4.33 2.86 1.46 1.15 -1.84 -0.03 0.13 0.10

Telecommunication Services 0.00 2.58 -2.58 0.00 -4.22 0.12 0.00 0.12

Utilities 7.72 3.12 4.60 -0.60 -0.55 -0.04 0.00 -0.04

Cash and Equivalents 3.26 0.00 3.26 1.12 0.00 0.00 0.00 0.00

Total Fund 100.00 100.00 0.00 -0.70 0.08 -0.05 -0.73 -0.78

Sector Allocation for YTDAverage Weight Total Return Attribution Effects

22

PERFORMANCE CONTRIBUTION YTD

BM: S&P 500 Index.

Source: Legg Mason, as at 31January 2017.





PULTEGROUP INCConsumer

Discretionary1.52 0.03 1.49 14.94 0.22 BRISTOL-MYERS SQUIBB CO Health Care 2.51 0.47 2.04 -16.84 -0.45

AMAZON.COM INCConsumer

Discretionary2.54 1.62 0.92 7.86 0.19 QUALCOMM INC

Information

Technology1.82 0.47 1.35 -19.51 -0.38

ALEXION PHARMACEUTICALS

INCHealth Care 2.60 0.15 2.45 4.90 0.11 CITIGROUP INC Financials 3.36 0.85 2.51 -7.73 -0.27

YAHOO! INCInformation

Technology1.05 0.19 0.86 11.93 0.11 APACHE CORP Energy 2.05 0.12 1.93 -7.06 -0.15

NORWEGIAN CRUISE LINE

HOLDIN

Consumer

Discretionary1.10 0.00 1.10 8.54 0.09

UNITED CONTINENTAL

HOLDINGSIndustrials 2.74 0.11 2.63 -5.03 -0.14

MICROSOFT CORPInformation

Technology3.90 2.51 1.39 2.18 0.09 CONSOL ENERGY INC Energy 1.53 0.00 1.53 -8.73 -0.13

ORACLE CORPInformation

Technology3.11 0.60 2.51 2.85 0.09 SYNCHRONY FINANCIAL Financials 3.93 0.15 3.78 -3.00 -0.12

JOHNSON CONTROLS

INTERNATIONIndustrials 1.73 0.21 1.52 4.87 0.08

DISCOVER FINANCIAL

SERVICESFinancials 1.91 0.14 1.76 -5.61 -0.11

AMERICAN HOMES 4 RENT- A Real Estate 1.71 0.00 1.71 4.30 0.08 CABOT OIL & GAS CORP Energy 0.74 0.05 0.69 -6.26 -0.07

ALLERGAN PLC Health Care 3.02 0.41 2.60 2.37 0.07 RALPH LAUREN CORPConsumer

Discretionary1.67 0.03 1.65 -3.84 -0.07


Top Ten Contributors (%) for YTD ending 31 January 2017 Bottom Ten Contributors (%) for YTD ending 31 January 2017

23

ATTRIBUTION ANALYSIS 1 YEAR

BM: S&P 500 Index.





Consumer Discretionary 10.64 12.56 -1.92 32.36 26.41 0.06 0.50 0.56

Consumer Staples 1.70 10.15 -8.45 19.80 25.70 0.65 -0.08 0.57

Energy 5.46 7.05 -1.59 92.83 51.92 -0.26 2.06 1.79

Financials 20.07 15.17 4.90 35.74 46.66 0.91 -2.04 -1.13

Health Care 16.53 14.60 1.93 15.52 16.15 -0.41 -0.17 -0.58

Industrials 9.92 10.04 -0.12 40.30 41.58 0.02 0.18 0.20

Information Technology 19.37 20.60 -1.23 39.51 35.80 0.25 0.75 1.00

Materials 3.99 2.85 1.14 62.27 39.39 0.22 1.10 1.32

Real Estate 1.39 0.97 0.42 2.45 -0.04 -0.14 0.13 -0.01

Telecommunication Services 0.00 2.67 -2.67 0.00 47.29 -0.33 0.00 -0.33

Utilities 7.78 3.32 4.46 23.61 38.71 0.23 -1.13 -0.89


Total Fund 100.00 100.00 0.00 35.19 33.55 0.34 1.30 1.64

Sector Allocation for 1 YearAverage Weight Total Return Attribution Effects

24

PERFORMANCE CONTRIBUTION 1 YEAR

BM: S&P 500 Index.






SYNCHRONY FINANCIAL Financials 3.12 0.13 2.99 43.44 1.75 PERRIGO CO PLC Health Care 0.82 0.08 0.74 -31.73 -0.57

CITIGROUP INC Financials 3.41 0.75 2.65 49.02 1.74 CALPINE CORP Utilities 2.97 0.00 2.97 -13.10 -0.54

DEVON ENERGY CORP Energy 2.10 0.10 1.99 86.63 1.70 ALLERGAN PLC Health Care 1.40 0.50 0.90 -7.21 -0.24


Discretionary2.78 1.51 1.27 58.17 1.60

GENWORTH FINANCIAL INC-

CL AFinancials 0.02 0.00 0.02 -38.95 -0.24


Technology3.83 2.39 1.43 35.93 1.52 BRISTOL-MYERS SQUIBB CO Health Care 0.99 0.57 0.42 -7.17 -0.20

CISCO SYSTEMS INCInformation

Technology3.15 0.80 2.35 50.80 1.48 RALPH LAUREN CORP

Consumer

Discretionary1.80 0.03 1.77 -9.46 -0.16

NXP SEMICONDUCTORS NVInformation

Technology2.25 0.00 2.25 47.28 1.46 REALOGY HOLDINGS CORP Real Estate 2.13 0.00 2.13 -10.31 -0.15

UNITED CONTINENTAL

HOLDINGSIndustrials 2.16 0.10 2.06 64.57 1.42 MCDONALD'S CORP

Consumer

Discretionary0.04 0.58 -0.54 -7.26 -0.12

YAHOO! INCInformation

Technology1.91 0.18 1.73 68.38 1.40 CABOT OIL & GAS CORP Energy 0.06 0.06 0.00 -6.26 -0.10

AMERICAN HOMES 4 RENT- A Real Estate 2.03 0.00 2.03 69.40 1.37 STERICYCLE INC Industrials 0.69 0.04 0.64 -5.35 -0.08


Top Ten Contributors (%) for 1 Year ending 31 January 2017 Bottom Ten Contributors (%) for 1 Year ending 31 January 2017

25

ATTRIBUTION ANALYSIS 3 YEARS

BM: S&P 500 Index.





Consumer Discretionary 11.11 12.41 -1.30 122.97 85.22 0.23 4.19 4.42

Consumer Staples 2.94 9.82 -6.88 43.71 82.34 -0.10 -1.39 -1.49

Energy 8.09 8.14 -0.05 -0.50 24.53 -0.91 -3.11 -4.02

Financials 20.68 15.89 4.79 60.84 89.49 1.05 -6.06 -5.01

Health Care 16.07 14.40 1.67 85.91 72.63 -0.27 2.17 1.91

Industrials 9.19 10.25 -1.05 71.74 76.21 0.16 0.28 0.45

Information Technology 19.68 19.99 -0.30 111.65 102.66 0.27 2.27 2.54

Materials 3.64 3.10 0.53 118.42 63.94 0.01 3.12 3.13

Real Estate 0.58 0.40 0.18 3.62 -1.88 -0.23 0.39 0.16

Telecommunication Services 0.00 2.47 -2.47 0.00 72.96 0.13 0.00 0.13

Utilities 5.49 3.13 2.36 3.08 83.15 0.28 -5.37 -5.09


Total Fund 100.00 100.00 0.00 73.34 77.92 -1.09 -3.50 -4.59

Sector Allocation for 3 YearsAverage Weight Total Return Attribution Effects

26

PERFORMANCE CONTRIBUTION 3 YEARS

BM: S&P 500 Index.







Discretionary2.76 1.09 1.67 199.90 4.91

GENWORTH FINANCIAL INC-

CL AFinancials 1.14 0.02 1.12 -86.67 -2.82


Technology4.01 2.15 1.86 141.88 4.83 CONSOL ENERGY INC Energy 1.83 0.03 1.80 -39.96 -1.09

UNITEDHEALTH GROUP INC Health Care 2.46 0.61 1.85 207.86 3.63 CALPINE CORP Utilities 2.69 0.00 2.69 -22.03 -0.96

NXP SEMICONDUCTORS NVInformation

Technology1.91 0.00 1.91 118.63 3.17

KEURIG GREEN MOUNTAIN

INC

Consumer

Staples0.64 0.05 0.59 -32.36 -0.89

CISCO SYSTEMS INCInformation

Technology3.01 0.77 2.24 101.73 2.79 CHEVRON CORP Energy 1.20 1.11 0.08 -20.48 -0.52

WELLS FARGO & CO Financials 2.93 1.35 1.58 76.85 2.45 AMERICAN EXPRESS CO Financials 0.24 0.37 -0.13 -24.94 -0.47

CITIGROUP INC Financials 3.75 0.84 2.92 55.74 2.44 RALPH LAUREN CORPConsumer

Discretionary1.58 0.04 1.54 -22.69 -0.46

UNITED CONTINENTAL

HOLDINGSIndustrials 2.24 0.05 2.19 100.82 2.36 REALOGY HOLDINGS CORP Real Estate 0.91 0.00 0.91 7.34 -0.30

APPLE INCInformation

Technology1.50 3.41 -1.91 77.41 2.17 ALLERGAN PLC Health Care 0.47 0.47 -0.01 -7.21 -0.30

SYNCHRONY FINANCIAL Financials 1.18 0.05 1.12 38.37 2.08SOUTHWESTERN ENERGY

COEnergy 0.12 0.05 0.07 -22.37 -0.27


Top Ten Contributors (%) for 3 Years ending 31 January 2017 Bottom Ten Contributors (%) for 3 Years ending 31 January 2017

Active share of a fund is a measure of the percentage of stock holdings in a manager's portfolio that differ from the

benchmark index. In other words, it’s a way to estimate how different a fund is from its benchmark.

27

ACTIVE SHARE/TRACKING ERROR POSITIONING

Source: Legg Mason as at 31 January 2017 for Class A Accumulation GBP. Performance is calculated on a NAV to NAV basis, with gross income reinvested and after deduction of annual fund


Active share is calculated by taking the sum of the absolute value of the differences of the weight of each holding in the portfolio versus the weight of each holding in the benchmark index and

dividing by two.

Fund

DiversifiedStock Picks

ConcentratedStock Picks

ClosetIndexing

Factor Bets

20%

30%

40%

50%

60%

70%

80%

90%

100%

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%

Active

Share

Tracking Error (Three-Year Annualized)

Current Active Share - Tracking Error Positioning

MARKET PERSPECTIVE

28

EQUITY VALUATION SPREADS HAVE NARROWED IN

RECENT MONTHS

Sources: Empirical Research Partners Analysis, National Bureau of Economic Research. Permission to use granted by Empirical Research Partners. All Rights Reserved. For a universe of the largest

capitalization 1500 U.S. stocks, spreads depict the difference between the average of the cheapest quintile and average of the universe on a composite measure of valuation (includes P/B, P/E, FCF yield and GCF yield), equally-weighted and normalized to standard deviations. May not be copied or redistributed without the express written consent of ClearBridge.

29

1952 through Early Jan. 2017

Current

-0.30

(2)

(1)

0

1

2

3

4

1952

1954

1956

1958

1960

1962

1964

1966

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

Sta

nd

ard

Devia

tio

ns

Valuation Spreads

The Top Quintile Compared to the Market Average

1952 Through Early-January 2017Recessions

Source: Empirical Research Partners Analysis, National Bureau of Economic Research.

Wide Disparities

Narrow Disparities

Nov. 20th

2008 High

Feb. 11th Peak

Valuation Spreads

The Top Quintile Compared to the Market Average

U.S. INTRA-SECTORAL VALUATION SPREADS

Source: Empirical Research Partners Analysis.

1Based on an analysis of a 1,500 stock universe. Framework varies across sectors depending on what's efficacious. Data for Pharma and Biotech is based on the large-cap universe since 2000.

2Free cash flow yield is used.

30

Historically Wide in Energy, Pharma and Consumer Durables Groups

72

43

1114

23

87

46

4

84

4643

26

0

10

20

30

40

50

60

70

80

90

100

Consumer

Durables

Retail, Media

& Consumer

Services

Consumer

Staples

Capital

Equipment

Industrial

Commodities

Energy Software Hardware Pharma and

Biotech

Equipment

and Services

Financials Utilities

U.S.

Intra-Sectoral Valuation Spreads1

Current Readings Compared to Long-Term History

Percentiles (1=Narrowest, 100=Widest)

1950 Through Early-January 2017

%

S

TechnologyHealth Care

Consumer-Oriented Cyclicals Other

222

2

Source: Empirical Research Partners Analysis.

1Based on an analysis of a 1,500 stock universe. Framework varies across sectors depending on what's efficacious. Data for pharma and

biotech is based on the large-cap universe since 2000.

2Free cash flow yield is used.

U.S. Intra-Sectoral Valuation Spreads1 1950 through Early Jan. 2017

Current Readings Compared to Long-Term History,

Percentiles (1=Narrowest, 100=Widest)

Consumer

Durables

Retail, Media

& Consumer

Services2

Consumer

Staples2

Consumer-Oriented

Capital

Equipment

Industrial

Commodities

Energy

Cyclicals

Software Hardware

Technology2

Financials

Others

UtilitiesEquipment

and Services

Health Care2

Pharma and

Biotech

U.S. EQUITY RISK PREMIUM AND RISK FREE RATE

Source: Aswath Damodoran: http://pages.stern.nyu.edu/~adamodar/, ClearBridge Research. Equity Risk Premium: excess return above the risk-free rate that compensates investors for taking on the

relatively higher risk of investing in equities.Data calculates implied equity risk premium by using free cash flow to equity (FCFE) for the S&P 500 Index. Risk Free Rate is the constant-maturity U.S.

10-year bond including coupon and price appreciation. Past performance is no guarantee of future results.

31

Jan. 1960 to Dec. 2016 The chart shows the z-score for each data series, which measures each data

point's distance from the long-term average in units of standard deviation

Equity Risk Premium: 5.69% and Risk Free Rate: 2.45% as of Dec. 31, 2016

-4

-3

-2

-1

0

1

2

3

4

-4

-3

-2

-1

0

1

2

3

4

Dec. 61 Dec. 67 Dec. 73 Dec. 79 Dec. 85 Dec. 91 Dec. 97 Dec. 03 Dec. 09 Dec. 15

Equity Risk Premium Risk Free Rate

CALENDAR YEAR PERFORMANCE OF MOMENTUM

VERSUS VALUE

Source: Fama-French data library (accessed on Jan. 27, 2017), used with permission. ClearBridge analysis. Data for Value index is from Fama-French HML factor: high B/P (cheap) minus low B/P

(expensive). Data for Momentum index is from Fama-French MOM factor: recent winners minus recent laggards. Past performance is not a reliable indicator of future performance.

32

1927 through 2016

1932, -94.22%

2009

-48.39%

2016

-38.65%

-100%

-80%

-60%

-40%

-20%

0%

20%

40%

60%

1927 1935 1943 1951 1959 1967 1975 1983 1991 1999 2007 2015

Momentum - Value 2016 Value

PERFORMANCE AND DURATION OF VALUE CYCLES

Source: Fama-French data library (accessed on Jan. 27, 2017), used with permission, ClearBridge analysis. Each cycle represents peak-trough or trough-peak performance based on at least +/-10%

change. Data for Value index is from Fama-French HML factor: high B/P (cheap) minus low B/P (expensive). Past performance is not a reliable indicator of future performance.

33

Trough-to-Peak: 9 cycles

Median performance: 30%, median length: 27 months

Peak-to-Trough: 9 cycles

Median performance: -19%, median length: 18 months

1972-1979

1980-1986

Dec. 2015 to

Dec. 2016

2000-2007

0

50

100

150

200

250

300

0

50

100

150

200

250

300

0 5 10 15 20 25 30 35 40 45 50 55 60 65 70 75 80 85

# Months

1970 through Dec. 2016

INFLATION

34

Source: Bloomberg Finance, L.P., ClearBridge Investments.

Inflation expectations are calculated as the spread between 5-year nominal and 5-

year inflation-adjusted government yields, which reflects the market-implied inflation

expectations in five years.

0

1

2

3

4

5

6

Apr. 2007 Apr. 2010 Apr. 2013 Apr. 2016

U.S. Germany France U.K.

-3%

0%

3%

6%

9%

12%

-5%

0%

5%

10%

15%

20%

1936 1946 1956 1966 1976 1986 1996 2006 2016

CPI (LHS) Value 10-Year Annual Return (RHS)

Source: Bureau of Labor Statistics, Ken French database (retrieved on Jan.

27, 2017), Bloomberg Finance, L.P., ClearBridge Investments.

5-Year Inflation Expectations in Select Countries

(2007 to Jan. 29, 2017) Inflation and 10-Year Annualized Return for Value

(1936 to 2016)

LOW VOLATILITY – VALUE, FORWARD P/E SPREAD IS

NEAR EXTREMES

Source: J.P. Morgan, as at 31 December 2016.

35

1980 through Dec. 2016

0

1

2

3

4

0

2

4

6

8

10

1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016

Forward P/E Spread (LHS) P/B Spread (RHS)

Low Vol - Value

SINCE U.S. ELECTIONS, POLICY UNCERTAINTY HAS INCREASED WHILE

EQUITY MARKET EXPECTED VOLATILITY HAS DECREASED

Sources: Baker, Bloom & Davis, Chicago Board Options Exchange (CBOE), Bloomberg Finance, L.P., ClearBridge Investments through Jan. 29, 2017.

36

10

15

20

25

0

100

200

300

400

Jun. 2016 Jul. 2016 Aug. 2016 Sep. 2016 Oct. 2016 Nov. 2016 Dec. 2016 Jan. 2017

S&

P 5

00

Vo

lati

lity

In

de

x (

VIX

)

Eco

no

mic

Po

licy U

nce

rtain

ty I

nd

ex

Economic Policy Uncertainty (LHS) VIX (RHS)

APPENDIX

37

38

Performance in GBP


CLASS A GBP ACCUMULATION

Source: Legg Mason as at 31 January 2017 for Class Accumulation GBP. Performance is calculated on a NAV to NAV basis, with gross income reinvested and after deduction of annual fund



-1.2

5.6

42.5

16.1 16.1

4.15.5

0.1

4.6

35.3

21.219.4

11.810.8

-5

0

5

10

15

20

25

30

35

40

45

1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception(02.01.03)

Pe

rce

nta

ge

Legg Mason IF ClearBridge US Equity Fund - Class A Accumulation S&P 500 (Gross)(GBP) Index

39

Performance in GBP

FUND CALENDAR YEAR PERFORMANCE

CLASS A GBP ACCUMULATION

Source: Legg Mason as at 31 December 2016 for Class A Accumulation GBP. Performance is calculated on a NAV to NAV basis, with gross income reinvested and after deduction of annual fund

expenses. Past performance is no guide to future returns and may not be repeated.


-42.4

25.7

9.6

-4.7

5.4

33.4

19.9

-2.1

32.8

-12.8

12.6

18.7

2.9

10.9

29.9

20.8

7.3

33.5

-50

-40

-30

-20

-10

0

10

20

30

40

2008 2009 2010 2011 2012 2013 2014 2015 2016

Pe

rcen

tag

e

Legg Mason IF ClearBridge US Equity Fund - Class A Accumulation S&P 500 (Gross)(GBP) Index

CLEARBRIDGE INVESTMENTS US EQUITY CAPABILITIES

40 Source: Legg Mason, as at 31 December 2016. *These are targets and there is no guarantee that they will be met. **The current dividend yield is the gross annual

income (interest or dividends) paid out by the underlying investments within the fund divided by their current price. Past performance is not a reliable indicator of

future results. Portfolio characteristics may change without notice.

US Aggressive Growth US Appreciation US Large Cap Growth Value Tactical Dividend

Income

US Equity

Sustainability Leaders

Strategy inception Oct-83 Mar-70 Aug-97 Apr-82 Jan-12 Apr-15

Size of fund US$2.4B US$261M US$448M US$313M US$67M $2.5M

Size of strategy US$36.1B US$8.6B US$15.7B US$3.6B US$1.9B US$273M

Benchmark Russell 3000 Growth S&P 500 Russell 1000 Growth S&P 500 Dow Jones U.S. Select

Dividend Index Russell 3000

Investment Aim*

Outperform the

benchmark

Outperform the S&P 500

over a market cycle

(3 - 5Y) with lower volatility

Outperform the

benchmark

Outperform the S&P 500

over a market cycle

• Primary objective is to

provide a high current

dividend yield

• Secondary objective is to

provide capital

appreciation over time

Outperform the

benchmark

Seeks companies with

demonstrated ESG

leadership and emerging

opportunities

Target yield* N/A N/A N/A N/A Benchmark

+ 125 - 175bps (gross) N/A

Current dividend

yield** 1.0% 2.0% 1.1% 1.5% 5.1% 1.5%

Securities employed Common stocks Common stocks Common stocks Common stocks

Common stocks, energy

infrastructure assets,

REITs, converts and

preferreds

Common stocks

Investment approach Bottom up Bottom up with a top

down overlay Bottom up

Bottom up with a top

down overlay

Bottom up with a top

down overlay Bottom up

Investment style Growth Core Growth Blend Value Core

Beta profile Higher than benchmark

(1.1 - 1.2)

Lower than benchmark

(0.8 -0.9) In line with benchmark

Higher than benchmark

(1.0 – 1.2)

Marginally lower than

benchmark In line with benchmark

Market cap profile All cap Large / mega cap Large Cap Large Cap with flexibility All cap All cap

Weighted average

market cap

[benchmark]

US$54B

[US$138B]

US$181B

[US$147B]

US$147

[US$150B]

US$108

[US$147B]

US$80B

[US$41B]

US$112B

[US$123B]

Number of holdings 50 - 80 80 – 100 40-50 30-60 60 – 100 30 – 50

Geographic focus US US US US US with global flexibility US

Portfolio Turnover 5-10% 30-50% 15-30% 30-50% 40-50% 20-30%

IMPORTANT INFORMATION This is a sub-fund ("fund") of Legg Mason Funds ICVC (“the Company”), an umbrella investment company with variable capital, authorised in the UK by the Financial Conduct Authority as an undertaking for collective

investment in transferable securities (“UCITS”).

It should be noted that the value of investments and the income from them may go down as well as up. Investing in a sub-fund involves investment risks, including the possible loss of the amount invested. Past

performance is not a reliable indicator of future results. An investment in a sub-fund should not constitute a substantial proportion of an investor’s investment portfolio and may not be appropriate for all investors.

Investors’ attention is drawn to the specific risk factors set out in a fund’s share class key investor information document (“KIID”) and the Company's prospectus (the “Prospectus”).

This material is not necessarily a complete summary and is not intended, for example, as a complete analysis. The information and data in this material (that may include without limitation research, forecasts, figures,

opinions, statements, trends, investment techniques and strategies) has been prepared from sources believed reliable but is not guaranteed in any way by Legg Mason Investments (Europe) Limited nor any Legg

Mason, Inc. company or affiliate (together “Legg Mason”). No representation is made that the information or data is correct as of any time subsequent to its date. Further there is no guarantee or assurance that funds

will achieve their investment objectives. Opinions expressed are subject to change without notice and do not take into account the particular investment objectives, financial situations or needs of investors.

Investment in company shares: The fund invests in shares of companies, and the value of these shares can be negatively affected by changes in the company, its industry or the economy in which it operates.

Geographical location: This fund invests primarily in the United States, which means that it is more sensitive to local economic, market, political or regulatory events in the United States, and will be more affected by

these events than other funds that invest in a broader range of regions.

Concentrated fund: The fund invests in fewer companies than other funds which invest in shares usually do. This means that the fund does not spread its risk as widely as other funds and will therefore

be affected more if an individual company has significant losses.

Fund currency: Changes in exchange rates between the currencies of investments held by the fund and the fund's base currency may negatively affect the value of an investment and any income received from it.

Fund operations: The fund is subject to the risk of loss resulting from inadequate or failed internal processes, people or systems or those of third parties such as those responsible for the custody of its assets.

Annual management charge from capital: The fund’s annual management charge is taken from its capital (rather than income). This may adversely affect the Fund’s overall growth.

Before investing investors should read in their entirety the Company’s application form and a fund’s share class KIID and the Prospectus (which describe the investment objective and risk factors in full). These and other

relevant documents may be obtained free of charge in English from Legg Mason Investment Funds Limited, 201 Bishopsgate, London EC2M 3AB or from www.leggmason.co.uk.

This material is not intended for any person or use that would be contrary to local law or regulation. Legg Mason is not responsible and takes no liability for the onward transmission of this material.This material does

not constitute an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not lawful or in which the person making such offer or solicitation is not qualified to do so or to anyone to whom it is

unlawful to make such offer or solicitation.

Morningstar Data: © 2016 Morningstar. All Rights Reserved. The information, data, analyses and opinions (“Information”) contained herein: (1) include the proprietary information of Morningstar and its content

providers; (2) may not be copied or redistributed except as specifically authorised; (3) do not constitute investment advice; (4) are provided solely for informational purposes; (5) are not warranted to be complete,

accurate or timely; and (6) may be drawn from fund data published on various dates. Morningstar is not responsible for any trading decisions, damages or other losses related to the Information or its use. Please verify

all of the Information before using it and don’t make any investment decision except upon the advice of a professional financial adviser. Past performance is no guarantee of future results. The value and income derived

from investments may go down as well as up.

Issued and approved by Legg Mason Investments (Europe) Limited, registered office 201 Bishopsgate, London, EC2M 3AB. Registered in England and Wales, Company No. 1732037. Authorised and regulated by the

UK Financial Conduct Authority.

This information is only for use by professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.

February 2017

This document is for professional clients, eligible counterparties or qualified investors. It is not aimed at, or for use by, retail clients.

41

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