HDNG Hardinge Inc. (delisted)

Fund objective

The Fund seeks long-term capital growth. Dividend income, if any, is incidental to this goal.

Letter from the chairman

Dear Shareholder,

We are pleased to provide the annual report of Legg Mason Batterymarch Global Equity Fund for the twelve-month reporting period ended October 31, 2012. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.leggmason.com/individualinvestors. Here you can gain immediate access to market and investment information, including:

We look forward to helping you meet your financial goals.

Sincerely,

R. Jay Gerken, CFA

Chairman, President and Chief Executive Officer

November 30, 2012

Investment commentary

Economic review

The U.S. economy continued to grow over the twelve months ended October 31, 2012, albeit at an uneven pace. U.S. gross domestic product (“GDP”) ⁱ growth, as reported by the U.S. Department of Commerce, was 4.1% in the fourth quarter of 2011. Economic growth in the U.S. then decelerated, as first quarter 2012 GDP growth was 2.0%. This was primarily due to less robust private inventory and non-residential fixed investments. The economy slowed further in the second quarter, as GDP growth was a tepid 1.3%. According to the Commerce Department’s second estimate, GDP growth then moved to 2.7% in the third quarter. The increase was partially due to increased private inventory and investment, higher federal government spending and a deceleration in imports.

The U.S. job market remained weak. While there was some improvement during the reporting period, unemployment remained elevated. When the reporting period began, unemployment, as reported by the U.S. Department of Labor, was 8.9%. Unemployment then generally declined and was 8.1% in April 2012, the lowest rate since January 2009, but still high by historical standards. The unemployment rate then moved higher, reaching 8.3% in July, before falling to 7.8% in September and ending the reporting period at 7.9% in October. However, the recent moderation in unemployment was partially due to people leaving the workforce and an increase in part-time workers.

Meanwhile, the housing market brightened, as sales have started to improve of late and home prices continued to rebound. According to the National Association of Realtors (“NAR”), existing-home sales rose 2.1% on a seasonally adjusted basis in October 2012 versus the previous month and they were 10.9% higher than in October 2011. In addition, the NAR reported that the median existing-home price for all housing types was $178,600 in October 2012, up 11.1% from October 2011. This marked the eighth consecutive month that home prices rose compared to the same period a year earlier. Furthermore, the inventory of homes available for sale fell 1.4% in October, which represents a 5.4 month supply at the current sales pace. This represents the lowest inventory since February 2006.

The manufacturing sector overcame a soft patch that occurred in the summer of 2012 and improved toward the end of the reporting period. Based on the Institute for Supply Management’s PMI (“PMI”) ⁱⁱ , after expanding 34 consecutive months, the PMI fell to 49.7 in June 2012, which represented the first contraction in the manufacturing sector since July 2009 (a reading below 50 indicates a contraction, whereas a reading above 50 indicates an expansion). Manufacturing continued to contract in July and August before ticking up to 51.5 in September and 51.7 in October.

While the U.S. economy continued to expand during the reporting period, growth generally moderated overseas and, in some cases, fell back into a recession. In its October 2012 World Economic Outlook Update , after the reporting period ended, the International Monetary Fund (“IMF”) stated that “Risks for a serious global slowdown are alarmingly high.” The IMF now projects that global growth will fall from 3.8% in 2011 to 3.3% in 2012. From a regional perspective, the IMF now anticipates 2012 growth will be -0.4% in the Eurozone. While growth in emerging market countries is expected to remain higher than in their developed country counterparts, the IMF projects that emerging market growth will fall from approximately 6.2% in 2011 to 5.3% in 2012. In particular, China’s economy is expected to grow 7.8% in 2012, versus 9.2% in 2011. Elsewhere, the IMF projects that growth in India will fall from 6.8% in 2011 to 4.9% in 2012.

Investment commentary (cont’d)

The Federal Reserve Board (“Fed”) ⁱⁱⁱ took a number of actions as it sought to meet its dual mandate of fostering maximum employment and price stability. As has been the case since December 2008, the Fed kept the federal funds rate ^iv at a historically low range between zero and 0.25%. In September 2011, prior to the beginning of the reporting period, the Fed announced its intention to purchase $400 billion of longer-term Treasury securities and to sell an equal amount of shorter-term Treasury securities by June 2012 (often referred to as “Operation Twist”). In January 2012, the Fed extended the period it expects to keep rates on hold, saying “economic conditions – including low rates of resource utilization and a subdued outlook for inflation over the medium run – are likely to warrant exceptionally low levels for the federal funds rate at least through late 2014.” In June, the Fed announced that it would extend Operation Twist until the end of 2012. Finally, in September the Fed announced a third round of quantitative easing, which involves purchasing $40 billion each month of agency mortgage-backed securities on an open-end basis. In addition, the Fed said that Operation Twist would continue and that it will keep the federal funds rate on hold until at least mid-2015.

Given the economic challenges in the Eurozone, the European Central Bank (“ECB”) lowered interest rates from 1.50% to 1.25% in November 2011. In December, the ECB lowered interest rates to 1.00%, equaling its all-time low at the time. In July 2012, the ECB then cut rates to 0.75%, a record low. Finally, in September the ECB introduced its Outright Monetary Transactions (“OMT”) program. With the OMT, the ECB can purchase an unlimited amount of bonds that are issued by troubled Eurozone countries, provided the countries formally ask to participate in the program and agree to certain conditions. In other developed countries, the Bank of England kept rates on hold at 0.50% during the reporting period, as did Japan at a range of zero to 0.10%, its lowest level since 2006. In September, the Bank of Japan announced that it would increase its asset-purchase program and extend its duration by six months until the end of 2013. Elsewhere, with growth rates declining, both China and India lowered their cash reserve ratio for banks. China also cut its key interest rate in early June and again in July.

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

R. Jay Gerken, CFA

Chairman, President and

Chief Executive Officer

November 30, 2012

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. Forecasts and predictions are inherently limited and should not be relied upon as an indication of actual or future performance.

Fund overview

Q. What is the Fund’s investment strategy?

A. The Fund seeks long-term capital growth. Dividend income, if any, is incidental to this objective. The Fund invests primarily in the common stock of U.S. and non-U.S. issuers, particularly issuers located in countries included in the MSCI World Index ⁱ . Under normal circumstances, the Fund invests at least 80% of its assets in equity and equity-related securities and, under current market conditions, invests at least 40% of its assets in non-U.S. issuers directly or through depositary receipts. Although the Fund’s focus is on large-capitalization securities, the Fund may invest in securities of any market capitalization, including medium-capitalization and small-capitalization securities. The Fund may invest up to 10% of its net assets, determined at the time of purchase, in emerging market issuers.

We employ an active investment strategy that focuses primarily on individual stock selection and diversification across several regions, industries and sectors. Our bottom-up strategy incorporates rigorous stock selection, effective risk control and cost-efficient trading. Using a proprietary stock selection model, we objectively analyze the relative attractiveness of a broad universe of stocks with a historical record of liquidity across dimensions traditionally followed by fundamental investors such as cash flow, earnings growth, expectations, value and technicals. The result is a comprehensive relative ranking of all investable stocks, which we use to dynamically construct and trade portfolios.

Q. What were the overall market conditions during the Fund’s reporting period?

A. At the beginning of the reporting period, investors began to shrug off the idea of a U.S. recession and showed optimism with respect to Europe, as European Union (“EU”) political leaders started to take action on the sovereign debt crisis. In early December 2011, investors reacted positively to the news that six central banks would coordinate actions to ease strains in the financial system. This optimism continued into 2012 as the Federal Reserve Board (“Fed”) ⁱⁱ stated that rates would likely stay low until 2014, the Greek default appeared orderly, the European Central Bank (“ECB”) continued its Long-Term Refinancing Operations (“LTRO”) and several key U.S. economic indicators improved, including gross domestic product (“GDP”) ⁱⁱⁱ , manufacturing, unemployment and consumer confidence.

By the start of the second quarter, many drivers of global growth appeared to slow. Investors became deeply worried about the global economy as a number of European markets slipped into recession, with possible implications for U.S. growth. A driving concern for many investors was whether policy makers in Europe and the U.S. would continue to support favorable growth policies. Investors shunned risky assets in favor of “safer havens”, despite U.S. economic indicators that continued to point towards continued, albeit slow, growth.

Equity markets became modestly positive in early June as investors guessed that the Fed would extend its growth policies in response to a third consecutive disappointing employment report. Positive market performance continued through the end of the quarter, supported by a series of favorable policy moves around the globe. A Chinese interest rate cut on June 7th was followed by a European agreement to bail out Spanish banks; Greek election results favoring austerity and continued eurozone participation; a promise from the Fed to extend “Operation Twist” and a decision was made by European leaders on June 29th to separate bank and sovereign financing. Equity markets ended the second calendar quarter with euphoria on the last trading day, though pessimism remained

Fund overview (cont’d)

close at hand, and it was defensive sectors that outperformed in the final month of the quarter.

The flood of policy moves extended into the third quarter as central banks from around the world sought to support flagging economic growth through favorable monetary policies. The quarter began with the ECB’s president Mario Draghi’s outlining the ECB’s clear intention of continued support for the eurozone. Central banks from around the world announced favorable policy moves to combat what seemed to be stagnating global growth. In particular, the Fed’s announcement of a third round of quantitative easing (“QE3”) in September surprised the market with its scope: an open-ended promise to purchase additional agency mortgage-backed securities at a pace of $40 billion per month until the economy improves. Markets reacted accordingly by reaching highs that, in many cases, had not been seen since prior to the start of the financial crisis. By October, however, after four months of gains, the MSCI World Index had declines in both the U.S., where a number of major companies reported lower than expected earnings, and Japan on continued export weakness.

Q. How did we respond to these changing market conditions?

A. We believe that fundamentals, the very basis of our investment process, will continue to be the primary driver of long-term returns. As a result, we continue to adhere to our investment philosophy while enhancing our process to address sustainable market shifts.

Much of our research over the past several years has been focused on developing tools to help us navigate extreme market environments. As a result of this research, we’ve made several enhancements to our process including the addition of monitoring tools to identify risk in our stock selection models, particularly with regards to factor selection, as well as macro-level tools to identify regimes that are more favorable / unfavorable toward certain factor strategies. These tools allow us to follow our historical bottom-up stock ranking methodology, but also to identify extremes so we can step in to intervene if necessary.

We do not use derivatives in the Fund except to a limited degree for the purpose of opportunistic hedging of major currencies. We instituted currency hedges on limited amounts for limited periods throughout the reporting period. These hedges had a minor impact on performance for the period.

Performance review

For the twelve months ended October 31, 2012, Class A shares of Legg Mason Batterymarch Global Equity Fund, excluding sales charges, returned 8.15%. The Fund’s unmanaged benchmark, the MSCI World Index, returned 9.45% for the same period. The Lipper Global Large-Cap Value Funds Category Average ¹ returned 8.25% over the same time frame.