EnTrustPermal
Alternative Core Fund
Share class (Symbol): A (LPTAX), C (LPTCX), I (LPTIX), IS (LPTSX), FI (LPTFX)
THE DIVERSIFIED APPROACH
TO ALTERNATIVE INVESTING
Adding alternative investment to a portfolio may provide
much needed diversification to traditional asset classes.
Fund facts
Class I
With over 500 alternative mutual funds and 7,600 hedge funds in the marketplace,
allocating to a strong performing manager in a strategy appropriate for a particular
market condition can be challenging. Consider the chart below which measures the
dispersion in performance of different alternative funds and strategies.
Class C
Overall Morningstar RatingTM
As of March 31, 2017, Class I and C shares were
rated 5 and 4 stars, respectively, among 243
Multialternative funds, based upon risk-adjusted
returns derived from a weighted average of the
performance figures associated with 3-, 5- and 10year (if applicable) Morningstar Ratings metrics.‡
Wide dispersion in alternative fund returns (%)
Cumulative 3-year returns as of March 31, 2017
Max
Min
Median
60
50
40
2017 Lipper Award Winner†
Class IS shares (LPTSX): Best among 17
Alternative Multi-Strategy Funds for the
5-year period ending December, 31 2016
based on risk-adjusted performance.
30
20
10
0
Fund can be used to:
-10
Diversify
A traditional portfolio with
a core alternative holding,
through a single investment.
-20
-30
-40
Adjust
The volatility of a traditional
portfolio, with the goal of reducing
the impact of market downturns.
Increase
Overall portfolio diversification by
adding exposure to global asset
classes and alternative strategies.
-50
-60
Alt Long/
Short Eq
1Q 2017
Alt Global
Macro
Abs
Return
Alt Currency
Strat
Alt MultiStrategy
Alt Event
Driven
Alt Mgd
Futures
Alt Credit
Focus
Source: Bloomberg, as of March 31, 2017. These results do not predict the future return of any specific product. Performance shown does not include fees,
expenses or sales charges. If included, performance shown would be lower. The chart shows the Lipper Categories which represent the entire universe of
approximately 500 alternative mutual funds. Please see back cover for category definitions. It is not possible to directly invest in a Lipper Category.
Diversification does not guarantee a profit or protect against a loss.
Hedge funds are highly speculative investments that employ aggressive investment strategies and carry substantial risk. Investments in hedge funds are
generally illiquid, difficult to value and may carry significant restrictions for transferring assets. Past performance is no guarantee of future results.
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
FLEXIBILITY:
THE KEY BENEFIT
The EnTrustPermal Alternative Core Fund is a next generation multistrategy fund that blends traditional and alternative investments diversified
by geography, asset class and strategy. The Fund’s wide investment band
allows it to adjust asset allocations as market conditions change.
Compared with static portfolios, the EnTrustPermal Alternative Core Fund has much greater latitude
to exploit perceived market inefficiencies and manage volatility, while offering investors daily liquidity
through its mutual fund structure.
Portfolio construction and range (%)
Equity
Alternatives
50% –100%
0% –50%
Diversifying strategies: Global macro, managed futures,
commodities, real assets, real estate
Fixed income
Alternative equity strategies: Equity long/short, event driven
Passive
ETFs, actively
managed
fund vehicles
Passive
ETFs, actively
managed
fund vehicles
Alternative fixed income strategies: Structured credit,
credit long/short, fixed income relative value, distressed
0%–50%
Market hedges: Short-biased, volatility, tail-risk products
Cash/cash equivalents
Asset allocation does not assure a profit or protect against loss.
The Fund may not invest more than 10% in any one alternative investment.
The model used to manage a fund’s assets provides no assurance that the recommended allocation will either
maximize returns or minimize risks. There is no assurance that a recommended allocation will prove to be the
ideal allocation in all circumstances.
0% –40%
Market hedges;
sweep vehicles,
such as repos
The Fund adjusts allocations according to the business cycle
Equity
Fixed income
Alternatives
Cash
Negative cash value∆
100
80
60
40
20
At inception,
the Fund was
overweight fixed
income, as the
Financial Crisis
in 2008 offered
an excellent
risk/return
opportunity.
As credit rallied from
2009 into 2010, the Fund
trimmed its fixed income
exposure in favor of
equities, mainly in the
U.S. and Japan.
The Fund continued to trim
fixed income exposure in
2011 and 2012, this time
in favor of liquid alternative
instruments offering good
risk/reward characteristics.
By 2013, the Fund
trimmed its fixed
income exposure to
all-time lows in favor
of alternative equity
strategies such
as long/short equity
and diversifying
strategies (such
as global macro).
In 2014, the
key driver in the
Fund was policy
divergence across
global central
banks. Strategies
employing this
theme included:
alternative credit,
global macro,
and global equities.
0
∆
APR 09
DEC 09
DEC 10
DEC 11
DEC 12
DEC 13
DEC 14
DEC 15
DEC 16
A negative cash position occurs when the current market value of the derivative cash holdings exceeds the current market value of the entire cash position.
For illustrative purposes only. Not a recommendation. Legg Mason Investor Services, LLC does not provide asset allocation advice.
A repurchase agreement (“repo”) is the sale of securities together with an agreement for the seller to buy back the securities at a later date. The repurchase price should be greater than
the original sales price, with the difference effectively representing interest.
Exchange-traded funds (ETFs) are securities that track an index, commodity or basket of assets. Although ETFs are classified as open-end mutual funds, their shares trade like stocks on
an exchange. Unlike open-end funds, whose net asset value is calculated once daily after the close of trading, ETFs experience price changes throughout the day as they are bought and sold.
Tail risk is a form of portfolio risk that arises when the possibility that an investment will move more than three standard deviations from the mean is greater than what is shown by normal
distribution. Tail-risk strategies are intended to help clients mitigate portfolio downside risk. There is no guarantee that these results will be achieved.
DIVERSIFIED
ALTERNATIVES
Few investors have the resources and expertise to successfully
identify and allocate to alternative strategies and managers.
Retail investors should exercise caution when selecting liquid alternatives. Investment choices
with diverse trading styles and broad investment mandates make a difficult task even more
challenging. EnTrustPermal, with over 40 years in alternatives investing, has the access to the
world’s top hedge fund managers and the experience to manage through market cycles.
During market declines (%) in 1-year period ended March 31, 2017
EnTrustPermal Alternative Core Fund (Class I shares)
S&P 500
EnTrustPermal advantage
Investments with over
100+
1
0
of the world’s top hedge fund
managers. Extensive manager
network and open architecture
structure of the Fund allows
EnTrustPermal to select the
optimal investment mix to
express its market views
-1
-2
-3
-4
JUN 24
SEP 9
JUN 27
SEP 13
OCT 11
MAR 21
APR 7
APR 5
SEP 29
APR 28
Source: Morningstar. Above data represent the performance of LPTIX and the S&P 500 on the 10 lowest-performing days YTD of the S&P 500, for the 1-year period ended March 31, 2017.
Annualized returns and expense ratios (%)
as of March 31, 2017
Without sales charges
Class A
Class I
60/40 Composite Index Blend
With maximum sales charges
Class A
Class I
60/40 Composite Index Blend
Asset allocation breakdown1 (%)
as of March 31, 2017
Expenses
1-yr
3-yr
5-yr
Since
inception
7.86
8.17
9.26
3.01
3.26
4.88
4.99
5.25
7.03
7.29
7.55
–
1.68
8.17
9.26
1.00
3.26
4.88
3.75
5.25
7.03
6.50
7.55
–
Gross
Net
Inception
date
2.47
2.23
1.95
1.70
4/13/09
4/13/09
Diversifying Strategies
25.96
Portfolio Hedges
22.57
Equity
15.71
Alternative Equity
15.34
Cash
13.13
Alternative Fixed Income
7.28
Performance shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment return and principal
value will fluctuate so shares, when redeemed, may be worth more or less than the original cost. Class A shares reflect a maximum front-end sales charge of 5.75%. If sales charges were included, performance
shown would be lower. Performance for other share classes will vary due to differences in sales charge structure and class expenses. Total returns assume the reinvestment of all distributions at net asset value
and the deduction of all Fund expenses. Total return figures are based on the NAV per share applied to shareholder subscriptions and redemptions, which may differ from the NAV per share disclosed in Fund
shareholder reports. Performance would have been lower if fees had not been waived in various periods. All classes of shares may not be available to all investors or through all distribution channels. To obtain
the most recent month end information, please visit www.leggmasonfunds.com.
Gross expenses are the Fund’s total annual operating expenses for the share class(es) shown. Net expenses for Class(es) A and I reflect voluntary fee waivers and/or reimbursements, where these reductions
reduce the Fund’s gross expenses, which cannot be terminated prior to December 31, 2017 without Board consent. The Gross and Net Expenses listed include 1.01 of Acquired Fund Fees and Expenses (“AFFE”)
that are required to be shown in the Fund’s prospectus. AFFE reflects the Fund’s pro rata share of fees and expenses relating to its investments in acquired funds; however, AFFE are not incurred directly by the
Fund. Therefore, AFFE are not reflected in the Fund’s audited financial statements or financial highlights.
The 60/40 Composite Index is comprised of 60% MSCI World Index and 40% Bloomberg Barclays U.S. Aggregate Bond Index. The MSCI World Index is an unmanaged index considered representative
of growth stocks of developed countries. Index performance is calculated with net dividends. The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based bond index comprised of
government, corporate, mortgage and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. The S&P 500 Index is an unmanaged index of 500 stocks that is
generally representative of the performance of larger companies in the U.S. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.
1
Percentages are based on total portfolio as of quarter-end and are subject to change at any time. For informational purposes only and not to be considered a recommendation to purchase
or sell any security. Negative allocations and allocations in excess of 100% are primarily due to the Fund’s unsettled trade activity. Percentages may not add to 100% due to rounding.
Prior to July 22, 2016, this Fund was known as Permal Alternative Core Fund.
Brandywine Global
Clarion Partners
ClearBridge Investments
EnTrustPermal
Martin Currie
QS Investors
RARE Infrastructure
Legg Mason is a leading global investment company committed to helping clients reach
their financial goals through long-term, actively managed investment strategies.
•
Over $728 billion*
in assets invested
worldwide in a broad
mix of equities, fixedincome, alternatives
and cash strategies
•
A diverse family of
specialized investment
managers, each with
its own independent
approach to research
and analysis
•
Over a century of
experience in identifying
opportunities and
delivering astute
investment solutions
to clients
Royce & Associates
Western Asset
LeggMason.com
1-800-822-5544
ALTERNATIVE LONG/SHORT EQUITY FUNDS:
What should I know before investing?
Domestic or foreign funds that employ portfolio
strategies combining long holdings of equities with All investments are subject to risk, including the possible loss of principal. In addition to the
short sales of equity, equity options, or equity index Fund’s operating expenses, you will indirectly bear the operating expenses of the underlying
options. The funds may be either net long or net
funds. The Fund may invest in unregistered hedge funds, which are highly speculative
short, depending on the portfolio manager’s view
investments that employ aggressive investment strategies and carry substantial risk. Investments
of the market. ALTERNATIVE EQUITY MARKETNEUTRAL FUNDS: Fund that employ portfolio
in hedge funds are generally illiquid, difficult to value, and may carry significant restrictions
strategies generating consistent returns in both up
for transferring assets. Some of the underlying funds employ leverage, which increases the
and down markets by selecting positions with a total
volatility of investment returns and subjects the Fund to magnified losses if an underlying fund’s
net market exposure of zero. ABSOLUTE RETURN
FUNDS: Funds that aim for positive returns in all
investments decline in value. The Fund and some of the underlying funds may use derivatives,
market conditions. The funds are not benchmarked such as options and futures, which can be illiquid, may disproportionately increase losses, and
against a traditional long-only market index but
have a potentially large impact on Fund performance. Some of the underlying funds may employ
rather have the aim of outperforming a cash or
risk-free benchmark. ALTERNATIVE EVENT DRIVEN short selling, a speculative strategy. Unlike the possible loss on a security that is purchased, there
FUNDS: Funds that, by prospectus language, seek to is no limit on the amount of loss on an appreciating security that is sold short. The Fund and
exploit pricing inefficiencies that may occur before
each underlying fund may engage in active and frequent trading, resulting in higher portfolio
or after a corporate event, such as a bankruptcy,
merger, acquisition, or spinoff. Event Driven funds
turnover and transaction costs. There is no assurance that these and other strategies used
can invest in equities, fixed income instruments
by the Fund or underlying funds will be successful. International investments are subject to
(investment grade, high yield, bank debt, convertible
debt and distressed), options, and other derivatives. special risks, including currency fluctuations and social, economic and political uncertainties,
ALTERNATIVE GLOBAL MACRO FUNDS: Funds
which could increase volatility. These risks are magnified in emerging markets. Small- and
that, by prospectus language, invest around
mid-cap stocks involve greater risks and volatility than large-cap stocks. Fixed income securities
the world using economic theory to justify the
involve interest rate, credit, inflation and reinvestment risks. As interest rates rise, the value
decision-making process. The strategy is typically
based on forecasts and analysis about interest
of fixed income securities falls. High-yield bonds possess greater price volatility, illiquidity
rate trends, the general flow of funds, political
and possibility of default. Please see the prospectus for a more complete discussion of the
changes, government policies, intergovernmental
Fund’s risks. Diversification does not assure a profit or protect against market loss.
relations, and other broad systemic factors. These
funds generally trade a wide range of markets
* As of March 31, 2017.
and geographic regions, employing a broad range 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
of trading ideas and instruments. ALTERNATIVE
investor, and does not constitute, and should not be construed as, investment advice, forecast of future events, a guarantee of future results, or a
MANAGED FUTURES FUNDS: Funds that invest
recommendation with respect to any particular security or investment strategy or type of retirement account. Investors seeking financial advice regarding
primarily in a basket of futures contracts with the
the appropriateness of investing in any securities or investment strategies should consult their financial professional.
aim of reduced volatility and positive returns in any † From Thomson Reuters Lipper Awards, © 2017 Thomson Reuters. All rights reserved. Used by permission and protected by the Copyright Laws of the
market environment. Investment strategies are
United States. The printing, copying, redistribution, or retransmission of this Content without express written permission is prohibited.
based on proprietary trading strategies that include The 2017 Lipper Fund Award winners are selected based on the highest risk-adjusted performance among funds within a given category. The calculation
the ability to go long and/or short. ALTERNATIVE
periods extend over 36, 60, and 120 months. The highest Lipper Leader for Consistent Return (Effective Return) value within each eligible classification
MULTI-STRATEGY FUNDS: Funds that, by
determines the fund classification winner over three, five or 10 years. A high Lipper rating does not necessarily imply that a fund had the best total
prospectus language, seek total returns through
performance or that the fund achieved positive results for that period. Lipper Inc. is a major independent mutual fund tracking organization. Other share
the management of several different hedge-like
classes may have different performance characteristics. Past performance is no guarantee of future results.
strategies. These funds are typically quantitatively ‡ Morningstar proprietary ratings are as of March 31, 2017 and are subject to change every month. A 4- or 5-star rating does not necessarily imply that a fund
driven to measure the existing relationship between achieved positive results for the period. For each fund with at least a three-year history, Morningstar calculates a Morningstar Rating based on a Morningstar
instruments and in some cases to identify positions Risk-Adjusted Return measure that accounts for variation in a fund’s monthly excess performance, placing more emphasis on downward variations and
in which the risk-adjusted spread between these
rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive
instruments represents an opportunity for the
3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. (Each share class is counted as a fraction of one fund within this scale and
investment manager. ALTERNATIVE CREDIT FOCUS rated separately, which may cause slight variations in the distribution percentages.) Class I and C shares of the Fund were rated against 243, 148 and n/a
FUNDS: Funds that, by prospectus language, invest Multialternative funds over the 3-, 5- and 10-year periods, respectively. With respect to these funds, Class I and C shares of the Fund received Morningstar
in a wide range of credit structured vehicles by
Ratings of 5, 5 and n/a; 4, 4, and n/a stars for the 3-, 5- and 10-year periods, respectively. Ratings shown are for the highest and lowest rated share classes
using either fundamental credit research analysis
only, when available. Other share classes have different expense structures and performance characteristics. Classes have a common portfolio.
or quantitative credit portfolio modeling trying to © 2017 Legg Mason Investor Services, LLC. Member FINRA, SIPC. Legg Mason Investor Services, LLC, and EnTrustPermal are subsidiaries
benefit from any changes in credit quality, credit
of Legg Mason, Inc. 715682 LMFX253567 4/17
spreads, and market liquidity. ALTERNATIVE
CURRENCY STRATEGIES: Funds that invest in global BEFORE INVESTING, CAREFULLY CONSIDER A FUND’S INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES.
currencies through the use of short-term money
YOU CAN FIND THIS AND OTHER INFORMATION IN EACH PROSPECTUS, AND SUMMARY PROSPECTUS, IF AVAILABLE,
market instruments, derivatives (forwards, options,
AT WWW.LEGGMASON.COM. PLEASE READ THE PROSPECTUS CAREFULLY.
swaps), and cash deposits.