QS Legg Mason Dynamic Multi-Strategy VIT Portfolio
Data updated: 2022-08-19
C000106567 — QS Legg Mason Dynamic Multi-Strategy VIT Portfolio. Money Market · $26.89M AUM. Holdings, fees, performance and SEC filings.
C000106567 Fund Overview
QS Legg Mason Dynamic Multi-Strategy VIT Portfolio is a US mutual fund managed by Legg Mason Partners Variable Equity Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Legg Mason Partners Variable Equity Trust
- Category: Money Market
- Assets under management: $26.89M
- 1-year return: -8.7%
- SEC CIK: 0001176343
- SEC series ID: S000034620
- Share class ID: C000106567
C000106567 Investment Objective and Strategy
QS Legg Mason Dynamic Multi-Strategy VIT Portfolio describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Legg Mason Partners Variable Equity Trust.
Investment objective
The fund seeks the highest total return (that is, a combination of income and long-term capital appreciation) over time consistent with its asset mix.
Principal investment strategy
The fund is a fund of fundsit invests primarily in other funds. These underlying funds are open-end funds and exchange-traded funds (ETFs) managed by the manager or its affiliates, or ETFs that are based on an index and managed by unaffiliated investment advisers. QS Investors, LLC (QS Investors), one of the funds subadvisers, is responsible for implementation of the funds overall asset allocation and the Dynamic Risk Management strategy described below. Western Asset Management Company (Western Asset), the funds other subadviser, is responsible for the funds Event Risk Management strategy described below and manages the portion of the funds cash and short-term instruments allocated to it. The fund seeks to achieve its objectives by investing in a broad range of asset classes and investment styles, combined with multiple layers of risk management strategies.
Target allocation The funds target allocation for long-term investments (the Target Allocation) is 70% in equity funds and 30% in fixed income funds that are not money market funds (long-term fixed income funds). While changes to the Target Allocation are not expected to be frequent or substantial, the funds Target Allocation may range from 60% of its net assets in equity funds and 40% of its net assets in long-term fixed income funds to 75% of its net assets in equity funds and 25% of its net assets in long-term fixed income funds as, in QS Investors opinion, market conditions warrant. As of December 31, 2017, the funds allocation to long-term investments was approximately 70% in equity funds and approximately 30% in long-term fixed income funds. The underlying funds have a variety of investment styles and focuses.
The underlying equity funds include large, mid and small cap funds, growth and value-oriented funds, international funds and ETFs that are based on equity indexes. The underlying long-term fixed income funds include funds that invest in U.S. and non-U.S. issuers, corporate, mortgage-backed and government securities, investment grade securities, securities rated below investment grade (commonly known as junk bonds) and ETFs that are based on fixed income indexes. As of December 31, 2017, approximately 25% of the funds net assets were allocated to international funds (although certain other underlying funds may invest in foreign securities). QS Investors may invest the funds assets in underlying Legg Mason-affiliated funds that have a limited performance history. In addition to these long-term investments, the fund may invest in short-term defensive instruments, including money market funds, Treasury bills and cash, and may enter into derivative transactions involving options, futures and swaps as a part of its risk management strategies.
Risk management QS Investors will implement a combination of risk management strategies that will attempt to reduce downside volatility within the fund. These strategies include Dynamic Risk Management and Event Risk Management, as described below. Through both strategies, the fund gives up some of the potential for high total return that could be achieved if the fund were to follow its Target Allocation under positive market conditions. In exchange, these strategies are intended to result in less significant declines in the funds net asset value under negative market conditions. The funds net asset value will fluctuate and is not guaranteed. Dynamic Risk Management. The Dynamic Risk Management strategy seeks to reduce the funds market risk exposure and volatility. As frequently as daily, the Dynamic Risk Management strategy may increase the funds exposure to short-term defensive instruments in response to certain levels of negative fund performance.
At other times Dynamic Risk Management may decrease the funds exposure to short-term defensive instruments and increase its exposure to equity funds and long-term fixed income funds in order to return to the funds Target Allocation in response to certain levels of positive fund performance. The maximum daily allocation to short-term defensive instruments will be 95% of the funds net assets. As of December 31, 2017, the fund had less than 1% of its net assets allocated to short-term defensive instruments. In response to certain levels of negative fund performance, QS Investors may increase the funds exposure to short-term defensive instruments (de-risking) based on a formula that takes into account the funds current net asset value, macro-economic conditions, and the funds underlying volatility.
In order to implement this strategy, QS Investors anticipates that it will initially attempt to sell shares of unaffiliated ETFs and other liquid securities or engage in short sale transactions involving index options and index futures contracts. Then, QS Investors would sell shares of underlying affiliated ETFs or redeem underlying open-end mutual fund shares as needed. In response to certain levels of positive fund performance, the fund may purchase affiliated ETFs or underlying open-end mutual fund shares or cover short futures positions (when the fund is not managed strictly according to the standard Target Allocation). QS Investors, in its discretion, will determine the levels and timing for Dynamic Risk Management. If QS Investors determines that de-risking is no longer appropriate, the fund will reverse this process, sell short-term defensive instruments and purchase equity funds and long-term fixed income funds in accordance with the funds Target Allocation.
QS Investors may from time to time make tactical increases or decreases to the funds investment in a particular asset class beyond the Target Allocation based on a broad range of market and economic trends and quantitative factors. QS Investors may also allow the relative weightings of the funds investments in asset classes to vary from its Target Allocation in response to the markets. When varying exposures among underlying funds, QS Investors will examine relative values and prospects among the underlying funds asset classes, as well as the capacity of the underlying funds to absorb additional cash flow. Event Risk Management. The Event Risk Management strategy seeks to reduce the impact to the fund of market declines during a short period of time caused by, for example, sudden and substantial movements in the equity markets, interest rates or credit spreads.
As of December 31, 2017, the fund had approximately 0.5% of its net assets invested in this strategy (as measured by the premiums paid on options or initial margin on futures contracts). However, the fund may invest up to 7% of its net assets at the time of purchase in this strategy (as measured by the premiums paid on options or initial margin on futures contracts). If the funds holdings in this strategy increase in value to over 7% of its net assets as a result of market movements, the fund will reduce, at least monthly, the amount of its assets invested in this strategy to no more than 7% of its net assets. The value of the funds assets invested in this strategy may be substantially higher than the value of the premiums paid or initial margin amounts on the instruments used to implement the strategy.
If the value of the instruments in the Event Risk Management strategy declines after the fund has engaged in de-risking, the funds net asset value could decline even if the broader markets rise in value. Conversely, if the value of the instruments in the Event Risk Management strategy increases after the fund has engaged in de-risking, the funds net asset value could increase even if the broader markets fall in value. Western Assets views and outlook regarding potential unexpected market movements will determine the investments and strategies it employs in implementing the Event Risk Management strategy. During normal market conditions, the fund will implement the Event Risk Management strategy through investments in options, futures, swaps or other instruments. Since the Event Risk Management strategy seeks to primarily benefit from large and unexpected market movements, there may be times when the investment and transaction costs related to hedging will result in losses to the fund.
The Event Risk Management strategy will be actively managed in an effort to reduce these costs when possible.
C000106567 Performance
Total returns for C000106567 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | -8.7% |
| 3 years (annualised) | -1.5% |
C000106567 Risk Information
Risk metrics for C000106567, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 8.7%
C000106567 Costs and Fees
C000106567 costs about $127 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.27%
- Gross expense ratio: 1.27%
- Portfolio turnover: 11%
- Brokerage commissions: 0.25 bps of average net assets (SEC N-CEN)
C000106567 Cashflows
Over the 12 months to 2022-06, QS Legg Mason Dynamic Multi-Strategy VIT Portfolio had net inflows of $1.13B, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2022-06 | $1.69M |
| 2022-05 | $948.54M |
| 2022-04 | $19.20M |
| 2022-03 | $15.00M |
| 2022-02 | $11.14M |
| 2022-01 | $15.10M |
C000106567 Debt Constituents
No individual debt constituents are reported in QS Legg Mason Dynamic Multi-Strategy VIT Portfolio's latest SEC N-PORT filing.
C000106567 Prospectus and SEC Filings
Official QS Legg Mason Dynamic Multi-Strategy VIT Portfolio filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2022-04-18
- Prospectus (485BPOS) — filed 2021-04-16
- Prospectus (485BPOS) — filed 2020-05-14
- Portfolio holdings (N-PORT) — filed 2022-08-19
- Portfolio holdings (N-PORT) — filed 2022-05-19
- Portfolio holdings (N-PORT) — filed 2022-02-22
- Annual census (N-CEN) — filed 2022-03-09
- Annual census (N-CEN) — filed 2021-03-12
Related Funds
Other Money Market funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.