1Q 2018 Separately Managed Accounts

CLEARBRIDGEDIVIDEND STRATEGYESG PORTFOLIOS

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

Introduction | About Legg Mason

Meet our investment managers

Having honed their expertiseover many decades and marketcycles, our global asset managersoffer specialized capabilitiesacross a scope of asset classesand strategies. Each skilled teamoperates with independentvision to help deliver powerfulfinancial solutions for bothindividuals and institutions.

Global alternative investments One of the world’s largest hedge fund investors, recognized as a global leader in structuring comprehensive alternative investment strategies for institutional and high net worth clients.

Active equity specialists An active equity specialist that builds global, stock-driven portfolios based on fundamental research, devoting all of its resources to delivering optimum investment outcomes and superior client relationships.

Quality-focused equity Global investment manager with over 50 years of experience and long-tenured portfolio managers who seek to build income, high active share or low volatility portfolios.

Investing with conviction Acting with conviction and discipline, we look beyond short-term, conventional thinking to rigorously pursue long-term value across differentiated fixed income, equity, and alternative solutions.

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

Small-cap equityKnown for its disciplined, value-oriented approach to managing small-caps. An asset class pioneer, the firm’s founder is one of the longest-tenured active managers.

Global listed infrastructure investing RARE is a dedicated infrastructure investment manager focused on global listed infrastructure investments. Established in 2006, RARE has grown to become one of the largest listed infrastructure managers globally.

Fixed incomeOne of the world’s leading global fixed income managers. Founded in 1971, the firm is known for team management, proprietary research and a long-term fundamental value approach.

Real estate investment specialists Clarion Partners is a leading private equity and debt real estate investment manager established in 1982. Clarion invests in the Americas across a broad range of property types and risk profiles, with the goal of consistently creating value for its clients.

Active share is a measure of the percentage of stock holdings in a manager’s portfolio that differs from the benchmark index.

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Introduction | ClearBridge

Long and distinguished history in equity market investing

Well-established globalinvestment manager with alegacy dating back morethan 50 years• Owned by Legg Mason,

operating with investmentindependence

• Offices in New York,Baltimore, San Francisco andWilmington

Boutique Asset Managers

Individual, specialized asset manager firms• Smith Barney Asset

Management• Loeb Rhoades Asset

Management• Davis Skaggs Asset

Management• Shearson Asset

Management• Salomon Brothers

Asset Management

Singular Focus on Investment Managers

Benefits of Scale

Citigroup forms a Combined Asset Management• Citigroup Asset

Management

1962-1997

1998-2005 present

ClearBridge timeline

2005-

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Introduction | ClearBridge

A long-term commitment to fundamental investing

• ClearBridge Investments’ time-tested investment process has guided the Firm throughout its history• An investment philosophy focused on quality businesses: Differentiated business models Sustainable returns Strong financial characteristics Seasoned management teams

• A long-term approach with low turnover.• An investment culture developed over five decades that is dedicated to training and advancement• Independent risk management supported by a team of risk and portfolio analytics professionals• Innovative compensation program aligning ClearBridge with clients

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 notnecessarily be represented in an individual account.

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Introduction | ClearBridge

ClearBridge Investments is a Signatory to the Principles for Responsible Investment (PRI)

• About the Principles The PRI is an investor initiative in partnership with the UNEP Finance Initiative and the UN Global Compact. The

Principles provide a voluntary framework for investment professionals who commit to integrate environmental,social, and governance (ESG) factors into their investment analysis and decision-making practices.

• The Principles We will incorporate ESG issues into investment analysis and decision-making processe We will be active owners and incorporate ESG issues into our ownership policies and practices We will seek appropriate disclosure on ESG issues by the entities in which we invest We will promote acceptance and implementation of the Principles within the investment industry We will work together to enhance our effectiveness in implementing the Principles We will each report on our activities and progress towards implementing the Principles

Source: www.unpri.org

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Your investment portfolio | Dividend Strategy ESG

ClearBridge Dividend Strategy ESG Portfolios

Overview• ClearBridge Dividend Strategy ESG Portfolios invest primarily in

dividend-paying stocks that offer the potential for income growthand capital appreciation over time. The investment team believesthat companies that exhibit market leadership, coupled with solidbalance sheets and strong dividend profiles, are attractiveinvestment candidates for the long-term investor.

• The ESG Investment Program actively incorporates environmental,social and governance (ESG) factors into the fundamental researchplatform and into the stock-selection process. In addition, ongoingcompany engagement and shareholder advocacy are keycomponents of the Program.

• A few examples of the ESG considerations include: Innovative workplace policies, employee benefits and programs

Environmental management system strength, eco-efficiency andlife-cycle analysis

Community involvement, strategic philanthropy and reputationmanagement

Strong corporate governance and independence on the board

• ClearBridge is a Signatory to the UN Principles for ResponsibleInvestment, and is affiliated with the Investor Network on ClimateRisk, the Carbon Disclosure Project, the Interfaith Center onCorporate Responsibility, the Global Impact Investing Network,and the US Forum for Sustainable and Responsible Investment.

Key differentiators• Experience and Judgment Proven, successful team investing in dominant franchises that

pay an attractive dividend yield

• Disciplined Investment Process Strong focus on income growth

Portfolio management does not deviate from its investmentapproach

Identify strong, well run businesses. Seek companies withpredictable revenues and superior margins and return oninvestment

Avoid deep cyclicals, turnarounds and enterprises that cannot bereasonably analyzed

• Defined Risk Management at Security and Portfolio Level Constant monitoring and evaluation of outcomes at the security

level

Rigorous portfolio review to ensure fundamental and valuationcase intact

Strong focus on diversification across portfolio

Dividends and yields represent past performance, there is no assurance they will continue to be paid in the future.Limited investments also may be made in non-dividend paying stocks that are not expected to pay a dividend in the near future. Diversification does not assure a profit or protect against market loss.

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Your investment portfolio | Dividend Strategy ESG

ClearBridge Dividend Strategy ESG Portfolios

Philosophy• Total return portfolio focused on large cap, high- quality companies

that: Pay an attractive dividend.

Have the potential to significantly grow their dividends.

Provide consistent and competitive risk-adjusted returnsachieved by capitalizing on the convergence between acompany’s investment potential and its ESG managementaspects.

ObjectivesThe strategy seeks:• Attractive growth of dividend income.

• Long-term capital appreciation and capital preservation inchallenging markets.

• Actively evaluate a company’s ESG drivers of businessperformance to gauge its level of social awareness.

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 be made in ADRs and U.S.-traded ordinary shares of non-U.S. companies in developed and emerging markets which involve risks in addition to those ordinarily associated with investing in domesticsecurities, including the potentially negative effects of currency fluctuations, political and economic developments, foreign taxation and differences in auditing and other financial standards. These risks are magnified in emerging markets.Limited investments also may be made in non-dividend paying stocks that are not expected to pay a dividend in the near future.The managers may sometimes hold significant portions of portfolio assets in cash equivalents while waiting for buying opportunities.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 notnecessarily be represented in an individual account.

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Your investment portfolio | Dividend Strategy ESG

ClearBridge Dividend Strategy ESG Portfolios investment process

Idea generation• Seek out large-cap

companies withsustainable andgrowing dividends.

• Uses fundamentalanalysis to identifycompanies with strongbalance sheets;dominant marketpositions; andreasonable valuations.

Fundamental analysis• Focus on companies

with the potential fordividend growththrough innovativeproducts and services.

• Screens through:Business modelevaluation, financialanalysis andmanagement analysisto find companies atattractive valuations.

Portfolio construction• Combine bottom-up

stock selection withtop-down thematicoverlay to construct adiversified, primarilylarge and mid-capportfolio with a targetdividend yield thatexceeds that of theS&P 500 Index.

Risk management• Re-examine a current

holding when valuationis realized,fundamentalsdeteriorate, and/orcyclical shifts alterindustry’sattractiveness; externaland macroeconomicfactors (such asmanagement changesor legal issues) are alsoconsidered.

• At the firm level, theportfolio is subject toreview by anindependent riskcommittee.

Yields and dividends represent past performance and there is no guarantee they will continue to be paid.Limited investments also may be made in non-dividend paying stocks that are not expected to pay a dividend in the near future.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 beachieved.

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Strategy characteristics & performance | Equity Portfolio characteristics

Equity Portfolio characteristics as of March 31, 2018

Market capitalization (%)

69.36

21.10

5.89 2.85 0.81

67.54

15.75 14.49

2.22 0.00

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

20

40

60

80

100Portfolio BM

Characteristics

Portfolio BM

Number of Holdings 54 505

Dividend Yield 2.39 1.88

Forecasted P/E Ratio -1 Year 17.69 17.05

Price/Book Ratio 5.06 4.61

Long-Term EPS Growth 12.15 12.84

Weighted Median Market Capitalization 89.65 100.55

Weighted Average Market Capitalization 143.51 191.35

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 inthis 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 timingof 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 March 31, 2018

Sector weightings (%)

Portfolio BM

Consumer Staples 14.52 7.65

Financials 13.52 14.73

Information Technology 12.72 24.87

Industrials 12.52 10.21

Consumer Discretionary 12.36 12.67

Materials 10.72 2.86

Health Care 7.04 13.71

Real Estate 5.14 2.78

Utilities 4.73 2.86

Energy 2.12 5.74

Telecommunication Services 0.94 1.92

Cash 3.68 0.00

Top equity holdings (%)

BlackRock Inc 3.54

Home Depot Inc/The 3.03

Microsoft Corp 2.87

Bank of America Corp 2.86

Texas Instruments Inc 2.72

International Paper Co 2.38

Johnson & Johnson 2.35

Mastercard Inc 2.29

Comcast Corp 2.28

Weyerhaeuser Co 2.20

Total 26.52

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 inthis 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 timingof 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

2017 2016 2015 2014

Dividend Strategy ESG (gross) 18.27 14.41 -4.00 13.58

Dividend Strategy ESG (net) 14.87 11.10 -6.82 10.30

S&P 500 Index 21.83 11.96 1.38 13.69

Annualized rates of return – gross of fees (%) as of March 31, 2018 – PRELIMINARY

MTH QTR YTD 1-year 3-year 5-year

Dividend Strategy ESG (gross) -1.37 -2.41 -2.41 10.64 8.70 10.74

Dividend Strategy ESG (net) -1.61 -3.14 -3.14 7.44 5.55 7.54

S&P 500 Index -2.54 -0.76 -0.76 13.99 10.78 13.31

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 cannotinvest 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. Netperformance 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 enter into an agreement directly withLegg 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 theportfolio’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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Strategy characteristics & performance | Performance

Risk/return profile (%)

Gross of fees (based on 5-year period ending March 31, 2018)

0 5 10 15 200

5

10

15

Dividend Strategy ESG S&P 500 Index

Ann

ualiz

ed r

ate

of r

etur

n (%

)

Risk (% annualized standard deviation)

Modern portfolio statistics as of March 31, 2018

Dividend

Strategy ESG S&P 500 Index

Annualized return (%) 10.74 13.31

Annualized standard deviation (%) 8.88 9.87

Sharpe ratio 1.16 1.29

Beta 0.86 N/A

Alpha -0.56 N/A

R-squared 0.90 N/A

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 cannotinvest 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 Rsquared are shown versus the S&P 500 Index. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expensesor 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 anagreement 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 offees. 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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Strategy characteristics & performance | Performance

Up/Down market capture ratios (%)

Gross of fees (based on 5-year period ending March 31, 2018)

0.83

0.91

1.00

1.00

2

1

0

1

2

Dividend Strategy ESG S&P 500 Index

Up43 positive months

Down17 negative months

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 cannotinvest 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 anagreement 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 ofdifferent implementation and model requirements in different investment programs. Past performance is no guarantee of future results.

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Strategy characteristics & performance | Performance

Growth of $100,000

Gross of fees (based on 5-year period ending March 31, 2018)

2013 2014 2015 2016 2017 2018$0

$50,000

$100,000

$150,000

$200,000Dividend Strategy ESG S&P 500 Index $166,571 $186,754

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 unrealizedcapital 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 anagreement 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

Scott Glasser, §Managing Director, Portfolio Manager• Co-Chief Investment Officer

• Industry since 1991

• Firm since 1993

• Pennsylvania State University — MBA

• Middlebury College — BA

• Member of the ClearBridge Investments ManagementCommittee

• Shearson Lehman Brothers -- Portfolio Manager, ConsumerAnalyst

• Bear Stearns & Co. -- Credit Analyst

• CIS Marketing -- Account Representative§

§

Michael Clarfeld, CFA§

Managing Director, Portfolio Manager• Industry since 2000

• Firm since 2006

• Duke University — BA in History

• Member of the CFA Institute

• Member of the New York Society of Securities Analysts

• Hygrove Partners, LLC -- Equity Analyst

• Goldman Sachs -- Equity Research, Financial Analyst§§

Diane Keady§

Director, Portfolio Manager• Industry since 2000

• Firm since 1994

• New York University, Leonard N. Stern School of Business —MBA

• Rutgers University — BS

• Citigroup Asset Management -- U.S. Sales and Distribution, VicePresident

• Salomon Smith Barney -- GAAP Reporting, Vice President

• Smith Barney Shearson -- Technology Finance, Expense Analyst§§

Mary Jane McQuillen§

Managing Director, Portfolio Manager• Head of Environmental, Social and Governance Investment

• Industry since 1996

• Firm since 1996

• Columbia Business School — MBA

• Fordham University — BS

• Member of the ClearBridge Investments Proxy Committee

• Member of the Board of Directors and Sustainable InvestmentCommittee, New York Society of Security Analysts (NYSSA)

• Member of the Board of Directors, Social Investment Forum

• Member of the Steering Committee, Sustainable InvestmentResearch Analyst Network (SIRAN)

• Member, United Nations Environment Program Finance Initiative(UNEP FI) Asset Management Working Group (AMWG)

• Smith Barney Inc - Business Unit Analyst§§

Peter Vanderlee§

CFA, Managing Director, Portfolio Manager• Industry since 1999

• Firm since 1999

• New York University, Leonard N. Stern School of Business —MBA

• University of Technology, Eindhoven, Holland — MS in Math/Computer Science

• Member of the CFA Institute

• Predecessor organization — First Vice President

• Booz&Co — Program Director/Senior Associate

• Cap Gemini America — Senior Consultant§§

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Appendix | Performance Endnotes

GIPS® endnotes

ClearBridge Dividend Strategy ESG SMA Inception Date: March 2013. Composite Creation Date: December 2012. Reporting Currency: USD

PeriodTotal Return

(Net, %)Total Return

(*Pure Gross, %)

S&P 500Benchmark

ReturnNumber ofPortfolios

% of BundledFee Portfolios inthe Composite

CompositeDispersion (%)

Composite 3 Yr.St. Dev. (%)

Benchmark 3 Yr.St. Dev. (%)

Total CompositeAssets at End of

Period (USDmillion)

Percentage ofFirm Assets

Total FirmAssets at End of

Period (USDmillion)

2017 14.87 18.27 21.83 8 100 0.19 9.31 10.07 4.6 0.0 119,187.1

2016 11.10 14.41 11.96 6 100 n/m 9.96 10.74 4.4 0.0 100,936.9

2015 -6.82 -4.00 1.38 5 100 n/m n/a n/a 3.5 0.0 92,536.4

2014 10.30 13.58 13.69 <5 100 n/m n/a n/a 2.2 0.0 100,721.5

Mar - Dec2013

16.76 19.62 24.18 <5 100 n/m n/a n/a 2.0 0.0 85,024.7

*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.n/m - Information is not statistically meaningful due to an insufficient number of portfolios in the composite for the entire year.Compliance Statement:§ClearBridge Investments, LLC claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. ClearBridge Investments, LLC has been independently verified for theperiods January 1, 1997 - December 31, 2016. 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 theGIPS standards. Verification does not ensure the accuracy of any specific composite presentation.Firm Information:§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 allthe 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. InJune 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 ofthe ClearBridge GIPS firm.Composite Information:§The ClearBridge Dividend Strategy ESG SMA composite consists of discretionary wrap accounts with an account minimum of US $25,000. The managers actively integrate criteria inclusive of environmental, social and governance (ESG) issues into the portfolioconstruction of the strategy. Accounts within the composite seek dividend income, growth of dividend income and long-term capital appreciation by investing in stocks that either pay an existing dividend or are expected to pay a dividend in the near future. The mainrisks of this strategy are General Investment Risk, Small Cap Risk, Mid Cap Risk, ESG Investing Risk, and Non-U.S. Investment Risk. The composite consists of the following percentages, as of each year end, of non-fee-paying seed capital: 2013 - 3%, 2014 - 3%, 2015 -2%, 2016 - 2%, 2017 - 2%.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” feeincludes transaction costs, investment management, custodial, and other administrative fees. 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. The three-year annualized ex-post standard deviation is not available prior to 2016 because the composite did not have 36 months of data. A list of composite descriptions is available upon request. Policies for valuing portfolios, calculating performance, and preparing compliantpresentations are available upon request. Past performance is not necessarily indicative of future results.Benchmark Information:§The S&P 500® Index is a broad-based measurement of changes in stock market conditions based on the average performance of 500 widely held common stocks.

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Appendix | Index Definitions

Definitions

Index DefinitionsThe Bloomberg Barclays U.S. Government/Credit Bond Indextracks the performance of the overall bond market and is a broadmeasure of the performance of government and corporate fixed-ratedebt issues.

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

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

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

The MSCI World ex. US Index consists of the following 22developed 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 theRussell 3000 Index, and this large cap (market-oriented) index ishighly correlated with the S&P 500 Index.

The Russell 1000 Growth Index measures the performance ofthose Russell 1000 Index companies with higher price-to-book ratiosand higher forecasted growth values. (A priceto-book ratio is theprice of a stock compared to the difference between a company’sassets and liabilities).

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

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

The Russell 2000 Growth Index measures the performance ofthose Russell 2000 Index companies with higher price-to-book ratiosand higher forecasted growth values.

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

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

The Russell 3000 Growth Index measures the performance ofthose Russell 3000 Index companies with higher price-to-book ratiosand higher forecasted growth values.

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

The Russell MidCap Growth Index measures the performance ofthose Russell MidCap companies with higher price-to-book ratiosand higher forecasted growth values.

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

The S&P 500 Index is a capitalization weighted, composite index of500 stocks designed to measure performance of the broad domesticeconomy through changes in the aggregate market value of 500stocks representing all major industries.

The S&P 500/FTSE Value Index is an index of stocks representingapproximately half of the market capitalization of the stocks in theS&P 500 Index that, on a growth-value spectrum, have beenidentified as falling either wholly or partially within the value half ofthe spectrum based on a number of factors. Until December 16,2005, when Standard & Poor’s changed both the name of the indexand its calculation methodology, the index was called the S&P 500/BARRA Value Index.

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

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Appendix | Term Definitions

Definitions

Term definitionsMarket Capitalization measures the number of outstandingcommon shares of a given corporation multiplied by the latest priceper share.

Weighted Median Market Capitalization represents the value atwhich half the portfolio’s market capitalization weight falls above andhalf falls below.

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

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

P/E (Year 1) is the previous day’s closing price of the stock dividedby the consensus earnings per share (EPS) of fiscal year 1 (FY1)provided by I/B/E/S. Forecasts are inherently limited and should notbe relied upon as indicators of future performance.§

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

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

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

Alpha is a measure of the difference between actual returns andexpected 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 betweenthe portfolio and its benchmark. R-squared at 1.0 implies perfectlinear relationship and zero implies no relationship exists.§

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

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

An Up Market Capture Ratio greater than 1.0 indicates a managerwho has outperformed the benchmark in the benchmark’s positivequarters.

A Down Market Capture Ratio of less than 1.0 indicates a managerwho has outperformed the relative benchmark in the benchmark’snegative quarters.§

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Brandywine Global

Clarion Partners

ClearBridge Investments

EnTrustPermal

Martin Currie

QS Investors

RARE Infrastructure

Royce & Associates

Western Asset leggmason.com

Legg Mason is a leading global investment company committed to helping clients reach their financial goals through long-term, actively managed investment strategies.

• A broad mix of equities, fixed-income, alternatives and cash strategies invested worldwide

• 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

Separately Managed Accounts (SMAs) are investment services provided by Legg Mason Private Portfolio Group, LLC (LMPPG), a federally registered investment adviser. Client portfolios are managed based oninvestment instructions or advice provided by one or more of the following Legg Mason-affiliated sub-advisers: ClearBridge Investments, LLC. and Western Asset Management Company. Management isimplemented by LMPPG, the designated subadviser or, in the case of certain programs, the program sponsor or its designee.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:§Legg Mason, 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, andcannot 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 inconnection 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’sparticular circumstances from an independent tax advisor.Gross of fees performance results shown herein do not reflect deduction for investment management fees and transaction costs. The performance of individual client accounts will vary and will be reduced by suchfees and costs. Please review the effect of fees and transaction costs on account performance with your financial professional.Investments are not obligations of, and are not guaranteed by, LMPPG or any other Legg Mason 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.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 strategyor type of retirement account. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies should consult their financialprofessional.©2018 Legg Mason Investor Services, LLC, member FINRA, SIPC. Legg Mason Investor Services, LLC and ClearBridge Investments are subsidiaries of Legg Mason, Inc. FN1510958 SMA0048 PPG-Q118-V1§