Available in institutional shares, the fund’s broad objective is to provide long-term capital appreciation by quantitatively investing in U.S. equities. Three factors—valuation, quality and sentiment—drive the quantitative focus of the fund and its underlying strategy.
The proprietary blend is used to identify stocks that have the potential to deliver the strategy’s dynamic shifting tool, which Legg Mason says is unique in the marketplace. The tool adjusts the portfolio to favor deeper value stocks when the model indicates that valuation dispersion has peaked and begun to narrow. When valuation dispersion has troughed, the tool shifts the portfolio more closely to the index’s valuation. This proprietary blend of quantitative selection and dynamic shifting seeks to both mitigate downside volatility and potentially enhance long-term returns, the firm says.
BW Dynamic Large Cap Value Fund (LMBGX) will be sub-advised by the diversified value equity team of Brandywine Global Investment Management LLC. Michael J. Fleisher is co-portfolio manager.