CYCA Cytta Corporation (QB)

Fund objectives

Effective July 31, 2013, the Fund seeks total return. Prior to July 31, 2013, the Fund followed a different investment objective and strategies under the name “Permal Tactical Allocation Fund.” The Fund was managed as a tactical asset allocation program that sought to provide total return in excess of a traditional 60/30/10 (equity/fixed income/cash) portfolio over the medium term.

Letter from the president

Dear Shareholder,

We are pleased to provide the annual report of Permal Alternative Core Fund for the twelve-month reporting period ended December 31, 2013. 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.

Special Shareholder Notice:

Effective July 31, 2013, changes were made to the Fund’s investment objective, investment policies and strategies, and the Fund name changed from Permal Tactical Allocation Fund to Permal Alternative Core Fund. The Fund’s new investment policies and strategies increase the manager’s flexibility to allocate to alternative investments, and also broaden the investment universe to offer the portfolio managers a wider selection of investment choices. Effective July 31, 2013, the Fund compares its performance to that of a composite index consisting of 60% Morgan Stanley Capital International (“MSCI”) World Index (Gross) and 40% Barclays U.S. Aggregate Index. The Fund no longer compares its performance to the 60/30/10 Composite Index, which consists of 60% MSCI World Index (Gross), 30% Barclays U.S. Aggregate Index and 10% Citigroup 3-Month U.S. Treasury Bill Index, or the Citigroup 3-Month U.S. Treasury Bill Index. The Fund believes that the new Composite Index is a more relevant benchmark for its new investment objective and strategies.

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,

Kenneth D. Fuller

President and Chief Executive Officer

January 31, 2014

Investment commentary

Economic review

The U.S. economy continued to grow over the twelve months ended December 31, 2013 (the “reporting period”). Looking back, U.S. gross domestic product (“GDP”) ⁱ growth, as reported by the U.S. Department of Commerce, was 1.1% during the first quarter of 2013. The economic expansion then accelerated, as GDP growth was 2.5% during the second quarter. This was partially due to increases in exports and non-residential fixed investments, along with a smaller decline in federal government spending versus the previous quarter. The economy gained further momentum during the third quarter, with GDP growth of 4.1%, its best reading since the fourth quarter of 2011. Stronger growth was driven, in part, by an increase in private inventory investment, a deceleration in imports and accelerating state and local government spending. The U.S. Department of Commerce’s initial reading for fourth quarter 2013 GDP growth, released after the reporting period ended, was 3.2%. Slower growth was due to several factors, including a deceleration in private inventory investment, declining federal government spending and less residential fixed investments.

The U.S. job market improved during the reporting period, although unemployment remained elevated from a historical perspective. When the period began, unemployment, as reported by the U.S. Department of Labor, was 7.9%. Unemployment fell to 7.7% in February 2013 and generally edged lower over the remainder of the period, falling to 6.7% in December. This represented the lowest level since October 2008. However, falling unemployment during the period was partially due to a decline in the workforce participation rate, which was 62.8% in December, its lowest level since 1978. In addition, the number of longer-term unemployed continues to be high, as roughly 37.7% of the 10.4 million Americans looking for work in December 2013 had been out of work for more than six months.

While sales of existing-homes declined at times throughout the reporting period given rising mortgage rates, they moved higher at the end of the year. According to the National Association of Realtors (“NAR”), existing-home sales rose 1.0% on a seasonally adjusted basis in December 2013 versus the previous month, although they were 0.6% lower than in December 2012. However, existing homes sales in 2013 were 9.1% higher than the previous year and 2013’s sales were the strongest since 2006. In addition, the NAR reported that the median existing-home price for all housing types was $198,100 in December 2013, up 9.9% from December 2012. The inventory of homes available for sale in December 2013 was 11% lower than the previous month at a 4.6 month supply at the current sales pace but 1.6% higher than in December 2012.

The manufacturing sector expanded during the majority of the reporting period, although it experienced a temporary soft patch. Based on the Institute for Supply Management’s Purchasing Managers’ Index (“PMI”) ⁱⁱ , manufacturing expanded during the first four months of the reporting period. It then contracted in May 2013, with a PMI of 49.0 (a reading below 50 indicates a contraction, whereas a reading above 50 indicates an expansion). This represented the PMI’s lowest reading since June 2009. However, the contraction was a short-term setback, as the PMI rose over the next seven months and peaked at 57.3 in November,

the best reading since April 2011. The PMI then moderated somewhat in December 2013, edging back to a still strong 57.0.

Growth outside the U.S. generally improved in developed countries. In its January 2014 World Economic Outlook Update , released after the reporting period ended, the International Monetary Fund (“IMF”) stated that “Global activity strengthened during the second half of 2013... activity is expected to improve further in 2014-15, largely on account of recovery in the advanced economies.” From a regional perspective, the IMF anticipates 2014 growth will be 1.0% in the Eurozone, versus -0.4% in 2013. After moderating somewhat in 2013, the IMF projects that overall growth in emerging market countries will improve in 2014, with growth of 5.1% versus 4.7% in 2013. For example, GDP growth in India is projected to move from 4.4% in 2013 to 5.4% in 2014. However, the IMF now projects that growth in China will dip from 7.7% in 2013 to 7.5% in 2014.

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%. At its meeting in December 2012, the Fed announced that it would continue purchasing $40 billion per month of agency mortgage-backed securities (“MBS”), as well as initially purchasing $45 billion per month of longer-term Treasuries. At its meeting that ended on June 19, 2013, the Fed did not make any material changes to its official policy statement. However, in a press conference following the meeting, Fed Chairman Bernanke said “…the Committee currently anticipates that it would be appropriate to moderate the monthly pace of purchases later this year.” In a surprise to many investors, at its meeting that ended on September 18, 2013, the Fed did not taper its asset purchase program and said that it “…decided to await more evidence that progress will be sustained before adjusting the pace of its purchases.”

At its meeting that concluded on December 18, 2013, the Fed announced that it would begin reducing its monthly asset purchases, saying “Beginning in January 2014, the Committee will add to its holdings of agency mortgage-backed securities at a pace of $35 billion per month rather than $40 billion per month, and will add to its holdings of longer-term Treasury securities at a pace of $40 billion per month rather than $45 billion per month.” At the Fed’s meeting that concluded on January 29, 2014, after the reporting period ended, it announced that in February 2014 it would further taper its asset purchases, to a total of $65 billion a month ($30 billion per month of agency mortgage-backed securities and $35 billion per month of longer-term Treasury securities).

Given the economic challenges in the Eurozone, the European Central Bank (“ECB”) ^v took a number of actions to stimulate growth. In May 2013, the ECB cut rates from 0.75% to 0.50%. The ECB then lowered the rates to a new record low of 0.25% in November 2013. 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 January 2013, the Bank of Japan announced that it would raise its target for annual inflation from 1% to 2%, and the Japanese government introduced a ¥10.3 trillion ($116 billion) stimulus package to support its economy. Elsewhere, the People’s Bank of China kept rates on hold at 6.0%.

Investment commentary (cont’d)

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

Sincerely,

Kenneth D. Fuller

President and Chief Executive Officer

January 31, 2014

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. Prior to July 31, 2013, the Fund followed a different investment objective and investment strategies under the name, Permal Tactical Allocation Fund. The Fund was managed as a tactical asset allocation program that sought to provide total return in excess of a traditional 60/30/10 (equity/fixed-income/cash) portfolio over the medium term.

Effective July 31, 2013, the Fund seeks total return. The Fund is a “fund of funds,” which pursues its investment objective by investing primarily in other investment companies, including exchange-traded funds (ETFs) (“underlying funds”). The Fund typically will invest, directly or through underlying funds and exchange traded notes (ETNs), approximately 50% to 100% of its total assets in alternative investments, including commodities, real estate assets, infrastructure assets, foreign currencies and hedge fund strategies, 0% to 50% of its total assets in equity-related investments, 0% to 50% of its total assets in fixed income-related investments and 0% to 40% in cash and cash equivalents. The Fund may not invest more than 10% of its total assets in any one investment considered by Permal Asset Management LLC (“Permal”), the Fund’s subadviser, to be an alternative investment. For purposes of this restriction, all investments in hedge funds will be considered alternative investments.

Hedge fund strategies may seek both long and short exposures to equities, fixed-income, structured credit, currencies, commodities, real estate assets, infrastructure assets and other real assets. The Fund will typically invest in multiple discrete styles of hedge fund investing, including, but not limited to, macro strategies (including discretionary and systematic macro), managed futures, equity long-short, fixed income long-short, distressed debt and event driven. The Fund may also employ various security, currency or commodity hedging strategies.

The composition of the Fund’s investment portfolio will vary over time, based on, among other things, quantitative and qualitative techniques and risk management guidelines. The Fund may employ an asset allocation strategy to exploit perceived inefficiencies or imbalances in equity, fixed-income or other asset classes in any region or country. Permal will allocate assets to securities and other instruments, various underlying funds and ETNs which, in its opinion, are consistent with its guidelines and invest in the markets and strategies as identified by its asset allocation process. In allocating assets to underlying funds, Permal may consider, among other factors, the general type of strategy employed, depth of experience, fee levels, value, growth potential, reputation in the industry, consistency, volatility, ability to perform in up and down markets and returns over time.

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

A. The S&P 500 Index ⁱ was up 32.39% in 2013. The year started strongly as the “fiscal cliff” negotiations were resolved through higher payroll taxes and higher income taxes, but Congress did not address the debt ceiling or the funding of the U.S. government, both issues that would impact markets later in the year. The S&P 500 Index was up 5.18% in January 2013 and continued to rally 18.02% through May 21, 2013. Equity markets seemed to climb the proverbial “wall of worry” during the first

Fund overview (cont’d)

five and half months of the reporting period. Outside of the U.S., there was a banking crisis in Cyprus where haircuts ¹ were imposed on creditors. Prime Minister Shinzo Abe of Japan pressed forward with reform with one of the three arrows of “Abenomics,” aggressive monetary policy, by announcing over $1 trillion in stimulus through Bank of Japan’s quantitative easing. On May 22, the Federal Open Market Committee (“FOMC”) ⁱⁱ minutes were released and hinted at a reduced pace of asset purchases, called “tapering,” given the ongoing recovery of the U.S. and an improved labor market. The S&P 500 Index corrected about -5.6% over the May/June time period until the Federal Reserve Board (“Fed”) ⁱⁱⁱ members reiterated that monetary policy would remain accommodative. U.S. interest rates rose sharply with the 10-Year U.S. Treasury rising from 1.63% in early May to a peak of nearly 3% in early September. Emerging market assets came under pressure during that time period as well. However, concerns over a chemical weapons attack in Syria leading to potential military conflict and a sixteen-day U.S. government shutdown in October did not derail the equity market rally.

Outside of U.S. equities, most developed market equities performed well; however, broad emerging market equities did not. The MSCI World Index (Gross) ^iv was up 27.37% while the MSCI Emerging Markets Index ^v was down 2.60%. In the fixed-income and credit markets, the Barclays U.S. Aggregate Index ^vi was down 2.02% and the JPMorgan Emerging Markets Bond Index Plus (“EMBI+”) ^vii was down 8.31%, while the Barclays U.S. Corporate High Yield — 2% Issuer Cap Index ^viii was up 7.44% on tighter credit spreads. Commodity markets generally declined in 2013; the Dow Jones-UBS Commodity Index (“DJ-UBSCI”) ^ix was down 9.58% for the year.

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

A. The tactical nature of the Fund gives us the flexibility to pursue what we believe to be the best risk adjusted opportunities across asset classes, investment styles and strategies, and geographies. Entering 2013, the equity and fixed-income allocations were 50.1% and 29.3%, respectively; whereas, the alternatives allocation was 20.6% (including cash and cash equivalents). Tactically, the composition of both the equity and fixed-income allocations were quite different from their respective benchmarks in an attempt to capitalize on what we perceived to be an attractive opportunity set. Within equities, the Fund was overweight the U.S. and Emerging Markets (via Frontier Markets exposure) and underweight Europe, Japan and non-Japan Asia. On a sector basis, the Fund was overweight Materials (via gold equities), Consumer Discretionary and Health Care. The Fund was underweight Information Technology, Consumer Staples and Financials sectors. The fixed-income allocation remained focused on a diversified basket of credit investments including investment grade bonds, non-Agency residential mortgage-backed securities, commercial mortgage-backed (“CMBS”) securities and high-yield corporate bonds. Additionally, the Fund had investments in international and emerging market bonds globally. We felt these segments of the fixed-income market provided the most attractive risk-return characteristics. The alternatives allocation consisted of a dedicated G10 ^x currency strategy, two discretionary macro strategies, an event driven strategy and a basket of

U.S. royalty trusts to gain exposure to natural gas. We felt these positions would offer a diversified return stream to the Fund, especially during periods of market stress.

During the first quarter, the equity allocation remained constant both on a geographic and sector basis. The fixed-income allocation was reduced to 22.6% by eliminating the investment grade and high-yield bond exposure in favor of building out the alternatives allocation, which stood at 28.1% at quarter-end. Specifically, new positions in U.S. energy infrastructure assets (primarily master limited partnerships) and short positions in U.S. government bonds, the Euro and Japanese yen were added. During the second quarter, the equity allocation was reduced marginally with the focus remaining on the U.S. We continued to reduce the fixed income allocation to 16.7% into the end of the second quarter as yields began to increase. The alternatives allocation was increased to 35.7% by adding a managed futures strategy for further diversification to the traditional equity and fixed income exposure the Fund had.

During the third quarter, the Fund completed its restructuring to allow for increased flexibility to allocate to alternative investments. The allocation ranges were set at 0% to 50% in equities, 0% to 50% in fixed-income, 50% to 100% in alternative strategies and 0% to 40% in cash or cash equivalents. The change was driven by the forward looking opportunity set in traditional fixed-income which we believed to be relatively limited from a total return perspective, with an increased likelihood of higher interest rates in the U.S. and other developed markets. At the end of the third quarter, the allocation to traditional equity and fixed-income was 41.1% and 3.7%, respectively; while the allocation to alternatives was increased to 55%.

In the fourth quarter, the equity allocation was reduced to 28.5% after the strong performance to date in 2013. Traditional fixed-income was reduced to zero. The alternatives allocation, which totaled 71.5% at year-end, became more diversified and included hedge fund strategies like discretionary global macro, managed futures, equity long/short and event driven. Infrastructure, real estate and alternative fixed-income and portfolio hedges rounded out the allocation. During the fourth quarter our most significant change was to increase the equity long/short allocation by adding a new fund and to implement new portfolio hedges.

The Fund uses derivatives for a variety of reasons. During 2013, the Fund utilized derivatives primarily to hedge against foreign currency exposure obtained through Fund investments in ETFs that invested in non-U.S. dollar denominated assets. The Fund used foreign currency forward contracts to hedge its exposure to both the Euro and Japanese yen. The use of those derivatives had a positive impact on performance. The Fund also used derivatives to take a directional view on certain foreign currencies throughout the year.

Performance review

For the twelve months ended December 31, 2013, Class A shares of Permal Alternative Core Fund, excluding sales charges, returned 11.85%. The Fund’s new unmanaged benchmarks, the MSCI World Index (Gross) and the Barclays U.S. Aggregate Index returned 27.37% and -2.02%, respectively, for the same period. The 60/40 Composite Index ^xi , consisting of 60% MSCI World Index (Gross) and 40% Barclays U.S. Aggregate Index, returned 14.83% over the same time frame. Effective July 31, 2013, the Fund no longer compares its performance to the Citigroup

Fund overview (cont’d)

3-Month U.S. Treasury Bill Index ^xii or the 60/30/10 Composite Index ^xiii , which returned 0.05% and 15.08%, respectively. The Lipper Alternative Multi-Strategy Funds Category Average ¹ returned 4.62% for the same period.

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.leggmason.com/individualinvestors.

All share class returns assume the reinvestment of all distributions, at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include sales charges that may apply or the deduction of taxes that a shareholder would pay on Fund distributions. If sales charges were reflected, the performance quoted would be lower. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower.

The composition of the Fund’s investment portfolio will vary over time, based on Permal’s overall allocation decisions and top-down and bottom-up implementation. The Fund may change, from time to time, the underlying funds, whether affiliated or unaffiliated, in which it invests without notice to shareholders.

* Prior to July 31, 2013, the Fund followed a different investment objective and investment policies and strategies under the name “Permal Tactical Allocation Fund.” Effective July 31, 2013, the Fund compares its performance to a composite index consisting of 60% MSCI World Index (Gross) and 40% Barclays U.S. Aggregate Index to be more in line with the Fund’s new investment objective and policies.

As of the Fund’s current prospectus dated July 31, 2013, the gross total annual operating expense ratios for Class A, Class C, Class FI, Class I and Class IS shares were 2.12%, 2.84%, 2.18%, 1.83% and 1.92%, respectively.

Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.

As a result of expense limitation arrangements, the ratio of expenses, other than interest, brokerage (including brokerage commissions paid on purchases and sales of shares of closed-end funds, ETFs, ETNs and other assets), taxes, incentive or performance-based fees of underlying funds and extraordinary expenses, to average net assets is not expected to exceed 1.75% for Class A shares, 2.50% for Class C shares, 1.75% for Class FI shares, 1.50% for Class I shares and 1.50% for Class IS shares. Acquired fund fees and expenses are subject to these arrangements. Total annual fund operating expenses after waiving fees and/or reimbursing expenses exceed the expense cap by 0.06% for each class as a result of brokerage commissions on purchases and sales of exchange traded funds. These expense limitation arrangements cannot be terminated prior to December 31, 2015 without the Board of Trustees’ consent.

The manager is permitted to recapture amounts waived or reimbursed to a class during the same fiscal year if the class’ total annual operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the manager recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual operating expenses exceeding the expense cap or any other lower limit then in effect.

Q. What were the leading contributors to performance?

A. The equity allocation was the top contributor to performance in 2013 given the strength in the equity markets. Within the equity allocation, the ClearBridge Aggressive Growth Fund was the top contributor. Exposure to European and Japanese equities were contributors as well. The Fund’s focus on alternatives also contributed positively to Fund performance with all four sub-strategy groups posting attractive returns. Within alternative fixed-income, the allocation to a basket of CMBS boosted Fund performance. In addition, equity long/short strategies and frontier equity market exposure enabled the alternative equity sub-sector to contribute meaningfully to returns during the year.

Q. What were the leading detractors from performance?

A . Gold equities were the biggest detractor from performance in 2013. The Fund owned both the Market Vectors Gold Miners and Market Vectors Junior Gold Miners ETFs at various points in the year and both declined in value in 2013. Certain attempts to hedge some portfolio holdings, such as by taking short positions in Euro currency also detracted from Fund performance.

Thank you for your investment in Permal Alternative Core Fund. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.

Sincerely,

Christopher Zuehlsdorff, CFA

Co-Portfolio Manager

Permal Asset Management LLC

Alexander Pillersdorf

Co-Portfolio Manager

Permal Asset Management LLC

January 24, 2014

Fund overview (cont’d)

RISKS: All investments are subject to risk, including the possible loss of principal. In addition to the Fund’s operating expenses, investors will indirectly bear the operating expenses of the underlying funds. The Fund may invest in unregistered hedge funds which are highly speculative investments that employ aggressive investment strategies and carry substantial risk. Investments in hedge funds are generally illiquid, difficult to value and may carry significant restrictions for transferring assets. Some of the underlying funds employ leverage, which increases the volatility of investment returns and subjects the Fund to magnified losses if an underlying fund’s investments decline in value. The Fund and some of the underlying funds may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Some of the underlying funds may employ short selling, a speculative strategy. Unlike the possible loss on a security that is purchased, there is no limit on the amount of loss on an appreciating security that is sold short. The Fund and each underlying fund may engage in active and frequent trading, resulting in higher portfolio turnover and transaction costs. There is no assurance that these and other strategies used by the Fund or underlying funds will be successful.

International investments are subject to special risks including currency fluctuations, social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Small and mid-cap stocks involve greater risks and volatility than large-cap stocks. Fixed income securities involve interest rate, credit, inflation, and reinvestment risks. As interest rates rise, the value of fixed-income securities fall. High yield bonds possess greater price volatility, illiquidity, and possibility of default. Please see the Fund’s prospectus for a more complete discussion of these and other risks, and the Fund’s investment strategies.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

Fund at a glance (unaudited)

Permal Alternative Core Fund Breakdown† (%) as of — December 31, 2013

See Notes to Consolidated Financial Statements.

See Notes to Consolidated Financial Statements.

See Notes to Consolidated Financial Statements.

Consolidated statements of changes in net assets

See Notes to Consolidated Financial Statements.