Organization: Brandywine Global Investment Management, LLC (the "Firm") is a wholly owned, independently operated, subsidiary of Legg Mason, Inc. The Firm has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS). For the periods July 1, 2000 through June 30, 2017, the Firm has been verified by Kreischer Miller. A verification includes assessing whether the Firm (1) complied with the composite construction requirements of the GIPS standards on a firm-wide basis, and (2) designed its processes and procedures to calculate and present performance results in compliance with the GIPS standards. A copy of the verification report is available upon request. Disclosed total firm assets represent the total market value of all discretionary and nondiscretionary, fee-paying and non-fee-paying assets under the Firm's management. Composite Description: Dynamic Large Cap Value Extended Equity 130/30 Composite (the "Composite") Inception date: July 1, 2008. Creation date: July 1, 2008. The Composite includes a discretionary account invested in a portfolio of large-cap U.S. companies with market capitalizations consistent, at purchase, with levels found within the Russell 1000. To gain additional financial leverage, the strategy will short stocks with the approximate weight of 30% of the total portfolio value and use the funds generated to purchase additional shares of stocks the manager deems undervalued. The strategy employs a purely quantitative investment approach. Securities are screened from the universe of U.S. companies based on their trailing P/E, P/B (companies must fall in the value segment of the universe using P/E, P/B). The combined quantitative multifactor selection process results in holdings of 100 - 250 stocks held long and 80 - 200 sold short. The overall portfolio will maintain net equity exposure of 100%. Sector weights are a result of bottom-up stock selection and may deviate from the weightings in the benchmark index. This composite includes one non-fee-paying portfolio which represents 100% of the composite assets. Benchmark: The Russell 1000 Value Index measures companies from the Russell 1000 Index that exhibit lower price to book and price to earnings ratios and lower forecasted growth values.The S&P 500 is a broad measure of U.S. domestic large cap stocks. The 500 stocks in this capitalization-weighted index are chosen based on industry representation, liquidity, and stability. Performance Calculation: Preliminary data, if so noted, reflects unreconciled data for the most recent reporting period. Portfolios are valued daily on a trade date basis and include dividends and interest as well as all realized and unrealized capital gains and losses. Return calculations at the portfolio level are time-weighted to account for periodic contributions and withdrawals. Performance results are calculated on a before tax, total return basis. The Composite returns consist of size-weighted portfolio returns using beginning of period values to weight the portfolio returns. Monthly linking of interim performance results is used to calculate quarterly and annual returns. Composite's valuations and returns are computed in U.S. Dollars ("USD"). The results are presented in USD or in other currencies (to accommodate overseas investors), the latter by converting monthly USD returns into other currency returns using the appropriate currency exchange rate returns. Gross returns reflect the deduction of trading expenses. Net of fee returns reflect the deduction of trading expenses and the highest investment management fees charged within the composite membership as stated in the fee schedule below. Composite dispersion is calculated using the asset-weighted standard deviation method for all portfolios that were in the Composite for the entire year. Composite dispersion is not presented for periods with five or fewer portfolios. The number of accounts and market values are as of the end of the period. The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period. Past performance is no guarantee of future results. A complete list describing the Firm's composites as well as any additional information regarding the Firm's policies for calculating and reporting performance results is available upon request. Fee Schedule: Institutional Client Separate Account Management Fee Schedule (minimum initial investment: $1 million): 1.050% on the first $10 million; 0.700% on the next $40 million; 0.650% on the next $50 million; 0.500% on the next $100 million, and 0.400% on any portion of assets in excess of $200 million. Institutional Client Commingled Account Management Investment Trust Fee Schedule: 1.050% flat fee on all assets. Additional information on the Firm's fee schedule can be found in Form ADV Part 2A which is available upon request.
For the purpose of this strategy, "fully invested" is defined by regular cash levels below 2%. Cash may exceed this level on a short-term basis due to buy and sell order imbalances depending on current market conditions and client cash flows. The strategy may suffer significant losses on assets related to short positions. Unlike the possible loss on a security that is purchased long, there is no limit on the amount of potential loss. The strategy implementation requires the use of leverage, in that cash proceeds related to short positions will be used to purchase additional securities; this involves special risks. Use of leverage will likely increase the risks associated a 130/30 strategy. The use of leverage may make any change in the strategy's performance even greater and cause increased volatility of returns. Brandywine Global cannot guarantee that its leveraging strategy will be successful. Implementing the Dynamic Large Cap Value Extended Equity - 130/30 strategy may result in active and frequent trading, leading to higher portfolio turnover and transaction costs relative to a strategy without short positions.
In rendering portfolio management services, Brandywine Global Investment Management, LLC may use the portfolio management services, research and other resources of its affiliates.
Characteristics, holdings and sector weightings are subject to change and should not be considered as investment recommendations. There is no guarantee that holding securities with relatively high (or low) price-to-earnings, price-to-book, or price-to-cash flow will cause the portfolio to outperform its benchmark or index.
Indices are unmanaged and not available for direct investment.
This information should not be considered a solicitation or an offer to provide any Brandywine Global service in any jurisdiction where it would be unlawful to do so under the laws of that jurisdiction.
Returns are presented gross and net of management fees and include the reinvestment of all income. Gross returns presented do not reflect the deduction of investment advisory fees. A client's returns will be reduced by the advisory fee and other expenses incurred in the management of the account. Net of fee performance was calculated using the highest management fee as described in Part 2A of the firm's ADV, which is available upon request.
Please refer to our GIPS presentation, which includes performance footnotes, fee schedules, index descriptions and disclosures.
Past performance is no guarantee of future results.