Management Discussions

For the year ended October 31, 2020, the TCW Artificial Intelligence Equity Fund (the “Fund”) returned +44.2% while the Russell 3000 Growth Index returned +28.2% over the same period.

Throughout the reporting period, we saw that massive fiscal and monetary policy response helped cushion the blow from the decidedly grim macroeconomic data stemming from the Covid-19 pandemic. The equity market’s initial worry that the Fed’s dramatic expansion of its balance sheet could only do so much to support risk assets was addressed by Fed Chair Powell’s mid-May statement that the Fed was “not out of ammunition by a long shot…there’s really no limit to what we can do.” At the same time, the House passed yet another fiscal stimulus bill which, even when narrowed down from its $3 trillion total via negotiations with the Senate, could potentially provide over $1 trillion of additional support to the economy.

The U.S. equity market was able to shake off the widely anticipated 33% plunge in Q2 GDP, which represented the sharpest quarterly decline on record. Instead, investors were focused on the early signs of recovery shown in many of June’s macroeconomic indicators, including industrial production (largest monthly gain in June since 1959), factory output (biggest gain since 1946), retail sales (biggest gain since data series began in 1992), and a surge in exports (largest monthly gain on record). These indicators culminated in October’s reported Q3 GDP growth rate of 33.1%. After several consecutive monthly gains including successive record highs, the equity market in September suffered a “risk-off” episode led by a sell-off in tech stocks, which prompted a nearly 12% correction in the Nasdaq Composite Index during the first three weeks of the month. A resurgence in Covid-19 cases in the U.S. and Europe, coupled with the inability of Congress to reach a Cares Act Phase IV stimulus bill, stoked concerns that the economic recovery might falter as enhanced unemployment benefit funding dried up.

Most recently, the labor market showed further signs of healing, as the unemployment rate for September edged lower to 7.9%, while initial and continuing unemployment claims data improved. In fact, over the five-month period from May through September, the U.S. economy recovered just over half of the jobs lost in March and April. Despite the encouraging macro news, equity market investors appeared to be unnerved by the dramatic increase in Covid-19 cases — including that of President Trump himself — with much of Europe announcing new lockdowns and the U.S. posting a record number of daily new cases (89k at month end). Even though the number of deaths has not spiked in similar fashion, the pandemic’s surge is likely to delay further reopening of the U.S. economy. At the same time, extended unemployment benefits made possible by earlier rounds of fiscal stimulus have largely run out, and various states’ supplemental benefits are generally unable to fill in the income shortfalls faced by the still elevated number of unemployed workers, which bodes poorly for the continued recovery of the fragile economy.

Looking forward, uncertainty associated with the outcome of the control of the U.S. Senate will dictate the degree to which infrastructure spending and increased fiscal stimulus might benefit equities. At the same time, the resurgence in Covid-19 cases complicates the economy reopening process, but timely distribution of an effective vaccine would certainly boost economic growth prospects. In focusing on stock fundamentals, we are heartened by 3Q earnings results, which have generally come in stronger than expected with EPS declining approximately 11% (72% of S&P companies having reported) rather than by the 15-20% anticipated by some strategists just several months ago. We think that Credit Suisse’s forecast for a 24% rebound in corporate EPS next year seems reasonable, assuming that the US economy continues its gradual recovery. Yet, we are also cognizant that equity market valuations remain elevated, with stocks trading at around 21 times forward earnings.

3

Table of Contents

TCW Artificial Intelligence Equity Fund

Management Discussions (Continued)

Our two biggest stock contributors during the year were Trade Desk Inc. and NVIDIA Corp., both of which are on the forefront of artificial intelligence technology. Trade Desk is the leading non-Google demand side platform that helps brands and agencies better target and leverage digital advertising through its software. Trade Desk uses artificial intelligence through its platform called Koa, which has the ability to scan nine million impression opportunities every second, delivering analytical insights to clients.

Trade Desk’s stock showed strength as concerns about ad spending pullback began to moderate and investor appreciation for Trade Desk’s longer term business model, powered by Connected TV and data-driven ad buying, came back into focus. Management’s commentary on recent earnings calls have been encouraging. While results were predictably soft, Trade Desk noted that they have been seeing consistent improvement in customer spend since the mid-April trough, saw breakeven by mid-June, and continuing recovery into July. We continue to believe that Trade Desk is the most direct winner from the impending shift of $240 billion of linear TV advertising to streaming platforms.

NVIDIA Corp. creates graphics processing units (GPUs) for machine learning, data centers, gaming, and high-end computing hardware to support analytics and predictive software. NVIDIA is a preferred GPU supplier to companies at the forefront in the AI space such as Google, Microsoft, Facebook, and Amazon, all of which are buying NVIDIA chips as they build out their data center infrastructures.

NVIDIA reported strong earnings reports throughout the reporting period. In its Q4 results, NVIDIA posted strong data center revenue growth, with data center revenues up 43%, nearly twice the growth rate expected by analysts. After shares were initially pressured following the company’s outlook reduction in response to the coronavirus, NVIDIA shares began to rebound during the middle of March as the company pointed out positive developments occurring in China and increased demand in the important gaming industry. An investor call with NVIDIA revealed that the company was seeing improvements in the supply chain and normalization of capacity levels through the end of March. Furthermore, with more and more of the population needing to allocate leisure time away from outdoors, restaurants, shopping, and other social settings due to the coronavirus, gaming has been a large time share winner. Console sales and gaming PC sales saw a boost, which drives demand within NVIDIA’s gaming segment.

In its July quarterly earnings report, gaming revenues grew an impressive 26% year-on-year and commentary on the segment was bullish, with CEO Jensen stating that the second half of the year “may very well be one of the best gaming seasons ever.” During the period, NVIDIA also agreed to acquire ARM, a semiconductor designer that is currently owned by SoftBank Group. NVIDIA currently uses ARM’s products in the automotive market, mostly for autonomous driving subsystems. We believe this acquisition will be financially beneficial (95% gross margins for ARM whereas NVIDIA is in the mid-60% range). This provides NVIDIA the opportunity to expand its reach more substantially beyond data centers and into edge devices. NVIDIA’s monopoly in AI training and potentially ARM for inference, tied together with their CUDA platform, can be a powerful combination that would set them up nicely for the next five to 10 years.

Our biggest detractor in the period was IDEXX Laboratories Inc. IDEXX reported mixed fourth quarter results during the end of January, which resulted in share price weakness. While there were still some positive developments in new catalyst placements, which accelerated in the quarter, results still exhibited softer than expected gross margins and recurring revenues. While we continue to like the long-term story of the company, we decided to sell out of the position in order to consolidate our health care exposure around other investments.

4

Table of Contents

TCW Artificial Intelligence Equity Fund

Management Discussions (Continued)

We believe AI will be the foundational technology of the information age. The leap from computing built on the foundation of humans telling computers how to act, to computing built on the foundation of computers learning how to act, has significant implications for every industry.

In our view, there are many structural drivers that are accelerating the need for AI. These include:

The broad applicability of AI also leads us to believe that it is a paradigm-shifting technology for the global economy and a driver behind improving productivity. AI very well could end the period of stagnant productivity growth in the U.S. We believe that AI technology driven improvements to productivity could, similar to the 1990’s, drive corporations to invest in more capital and labor intensive projects, accelerating growth, improving profitability, and expanding equity valuations. We believe the trend towards AI-enhanced products is accelerating and we highlight recent developments as evidence:

5

Table of Contents

TCW Artificial Intelligence Equity Fund

Management Discussions (Continued)

We continuously survey the artificial intelligence investment landscape by drawing upon our deep technical knowledge and fundamental research efforts. Our research effort seeks the most attractive opportunities in the AI ecosystem. We appreciate your confidence in and support of the TCW Artificial Intelligence Equity Fund.

Management Discussions

For the year ended October 31, 2020, the TCW Conservative Allocation Fund (the “Fund”) posted a gain of 8.19% for the I Class and 7.85% for the N Class shares. The performance of the Fund’s classes varies because of differing expenses. The Fund’s blended benchmark of 40% S&P 500 Index and 60% Bloomberg Barclay Capital U.S. Aggregate Bond Index returned 8.25% over the same time period.

The Fund posted positive returns over the past year with a positive contribution coming from U.S. equities. The strongest returns came from TCW Select Equities Fund (13% allocation and 35% return) and TCW New America Premier Equities Fund (16% allocation and 12% return); both funds were up over 12% over the past year, outpacing the S&P 500 Index return of 9.7%. At the asset allocation level, the decision to overweight large cap growth and underweight large cap value U.S. equities helped relative performance. Within Fixed Income, the strongest returns came from the MetWest Total Return Bond Fund (15% allocation and 7% return) and TCW Total Return Bond Fund (13% allocation and 7% return). Both funds outperformed the Bloomberg Barclays U.S. Aggregate Bond Index return of 6.2%.

As of the end of October, the allocation for the Fund was 42% equities and 58% fixed income. This gives the fund a slight overweight to equities and underweight to fixed income to its blended index. The baseline allocation is 40% Equities and 60% Fixed Income. Over the past 12 months, the Fund has increased the allocation to equities, specifically Large Growth Funds. Within Equities, the allocations to both TCW New America Premier and TCW Select Equities Funds have been increased, while reducing the allocation to TCW Relative Value Large Cap Fund. In Fixed Income, small positions were initiated in both TCW Emerging Markets Bond and MetWest High Yield Bond Funds during the year.

The past year has been marked by volatility and uncertainty as the major themes for both equity and fixed income asset classes. The year started off strong as the economy and earnings continued to show strong growth. Then the world was turned upside down in March as the global pandemic hit the world, resulting in unprecedented shutdown of many economies around the world. Uncertainty on how this was going to play out was the main driving force and pushed investors to safety, where they could find it. U.S. Treasury yields dropped to historic lows as the Federal Reserve stepped in by flooding the market with liquidity. Equity markets tanked around the world, as a shutdown in the economy had investors worried about what all this means and depth of damage this could cause. There was a strong rebound from the lows in March on hope that we had the virus under control and that we were going to quickly find a vaccine and get back to normal. The strong rally from March pushed many of the equity indexes into the positive for the year along with fixed income indexes. As we approached October, once again a renewed surge in Covid-19 cases both in the U.S. and in Europe, the inability of the White House and Congress to reach an agreement on further fiscal stimulus, and uncertainty surrounding the outcome of the U.S. presidential election weighed on markets. Concerns over the impact of renewed shutdown measures overshadowed what was generally more positive macroeconomic data, including a 7.4% jump in 3Q GDP and continued strength in the housing market with record high homebuilder confidence driven by low mortgage rates and tight inventory. Notably however, the pace of labor market recovery in the U.S. continued to moderate and is a potential headwind to growth. Global indices were under substantial pressure during the month as partial national shutdowns were announced in France and Germany while further restrictions across Europe seemed increasingly likely in the face of mounting Covid-19 cases. Commodities were also impacted, highlighted by a roughly 11% drop in WTI oil given global demand concerns. Against this backdrop, U.S. equities experienced a second consecutive month of declines. Meanwhile, U.S. Treasury rates rose across the curve,

7

Table of Contents

TCW Conservative Allocation Fund

Management Discussions (Continued)

with the 10-Year yield. Corporate credit was remarkably resilient in the face of rising COVID fears and equity volatility, tightening by 10 bps as the search for yielding assets remained the prevailing driver of spread performance.

Looking forward we are cautiously opportunistic with both equities and fixed income, although uncertainty associated with the outcome of the U.S. presidential election is likely to weigh on markets depending upon the length of delay in determining the winner. A Biden victory and a split congress could lead to further upside for stocks in the form of more stimulus and a vaccine in 2021. The resurgence in Covid-19 cases complicates the economy reopening process, but development of an effective vaccine would certainly boost economic growth prospects over the next 12 months, especially in the U.S. Focusing on stock fundamentals, we are heartened by 3Q earnings results, which have generally come in stronger than expected with EPS declining approximately 11% (72% of S&P companies having reported) rather than by the 15-20% anticipated by some strategists just several months ago. Within Fixed Income, our allocation remained defensive as we continued overweight shorter duration and higher quality. Specifically the fund remains overweight both high grade corporate and agency MBS bonds.

8

Table of Contents

Management Discussions

For the year ended October 31, 2020, the TCW Global Real Estate Fund (the “Fund”) generated returns of 1.15% and 0.94% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the S&P Global REIT Index, had a negative return of (22.02)% over the same period.

On an attribution basis, the Fund’s outperformance relative to its benchmark during the period was predominantly driven by sector allocation and stock selection. From a relative standpoint, the Fund’s largest sector overweight was in Real Estate Operating Companies (average weight of 5.43% and up 31.68% for the Fund vs. average weight of 0.00% for the index), which benefitted performance. The Fund’s largest sector underweight was in Retail REITs (average weight of 3.49% and down 47.87% for the Fund vs. average weight of 16.46% and down 44.08% for the index), which helped performance. From a stock selection perspective, positive contributors included Extended Stay America (STAY) and Front Yard Residential(RESI). Conversely, notable detractors from performance included Ready Capital (RC) and Hudson Pacific (HPP).

U.S. stocks advanced 9.70% for the 12 months ending in October 2020 (S&P 500 Total Return Index). The results were quite stunning given the unprecedented turmoil experienced by the U.S. economy stemming from the COVID-19 pandemic, uncertainty surrounding the U.S. election, elevated levels of debt, historic levels of unemployment, and near record market valuations. At the time of this writing, we are edging closer to the end of the year and markets feel exuberant as investors look forward to the reopening of the economy driven by the prospects of highly effective vaccines. U.S. macroeconomic data continued to be quite positive, with a 7.4% jump in 3Q GDP (quarter-on-quarter) largely offsetting the prior quarter’s 9.0% decline. In addition, the labor market showed further signs of healing, as the unemployment rate moved lower to just under 8%, while initial and continuing unemployment claims data are largely improving. In fact, over the five-month period from May through September, the U.S. economy recovered just over half of the jobs lost in March and April.

Global REIT indices, by contrast, underperformed the broader markets (as measured by the MSCI World Index) by 20.13% through October 31, 2020. In order to understand the dramatic variance between equities and real estate, it is important to consider a few factors. First, a larger portion of the real estate market was impacted by the pandemic. The office space, for example, declined materially in valuation as corporations and individuals changed their behaviors in ways that may become more permanent in nature. There is debate around how disrupted the office sector will be as we recover, and, accordingly, valuations have embedded a larger spread to compensate for this uncertainty. Other sectors, like retail, may also be impaired as online platforms continue to take share. As consumption patterns changed, trends that were in place before the pandemic seem to have dramatically accelerated. Second, the broader markets were not only less impacted, but many key constituents actually benefitted from the pandemic. The largest holdings within the MSCI World Index, for example, are companies like Apple, Microsoft, Amazon, Facebook, and Alphabet. Arguably, these behemoths have become even more valuable in a post-Covid world as they continue to gain share in their respective industries and provide significant value to their consumers. Many of these companies increased in price by 20% to nearly 50% year to date. Third, as a consequence of the pandemic, a massive amount of stimulus has been provided by governments and central banks. This monetary and fiscal largesse has artificially suppressed yields to accommodate a recovery. While low yields should be supportive for both real estate and equities alike, capital has clearly preferred areas perceived as more resilient, safe and stable (such as technology and consumer staples) over real estate.

10

Table of Contents

TCW Global Real Estate Fund

Management Discussions (Continued)

Our strategy for navigating the current environment remains largely unchanged. We source most of our holdings from two separate pools. The first is in underappreciated, undervalued companies that could benefit from a change in sentiment. The issues facing these businesses are typically transitory and the discount is largely unfounded when viewed on a longer time horizon. The second set is in the quality franchises which exhibit high barriers to entry and sustainably generate strong cash flows. These companies generally also have an ability to invest capital at high rates of return and typically will compound capital at a pace that exceeds that of their peers. While in prior years the portfolio was more heavily weighted towards the second set of high quality companies, we have found more compelling opportunities this year in the first group of value companies. In last year’s letter we mentioned that we would not be taking risks by owning lower-quality businesses at lower valuations because we believed that risk was not appropriately priced at the time. This year, as we navigated through the year, we cycled out of some of our more fully valued “quality” holdings into more misunderstood value names at very deep discounts. We believe the disruption caused by the pandemic remains pronounced and that the dispersion in company valuations is still very high. This creates a great opportunity for active stock selection.

11

Table of Contents

Management Discussions

For the fiscal year that ended October 31, 2020, the TCW New America Premier Equities Fund (the “Fund”) returned 12.31% and 12.02% on the I Class and N Class shares. The Fund’s benchmark, the Russell 1000 Index, returned 10.87% over the same period.

The Fund’s performance benefited from investments in Microsoft Corp., Danaher Corp., and The Trade Desk Inc. The Fund’s performance was negatively impacted by investments in Motorola Solutions Inc., TransDigm Group Inc. and Fiserv, Inc.

As we have indicated in the past we eschew a reliance on macroeconomic forecasts and projections of the future direction of markets — our view is that these factors are unknowable. We therefore focus on what we think is knowable. We believe that a careful assessment of investment opportunities at the security level will provide us, in some cases, with a high probability view of the future free cash flows of a business. Risk-adjusted cash flow steam is a key determinant of the future returns of an investment and therefore a key determinant of the portfolio’s future returns. We believe that we have made good decisions in this respect and that the portfolio of companies is built to weather most market environments.

Investment Philosophy

The Fund seeks to outperform the broad U.S. indices in both rising and falling markets with less risk and volatility. We seek to accomplish this objective by investing in a concentrated portfolio of businesses that carefully manage their environmental and social resources and that employ best in class corporate governance practices. We invest in businesses that have high barriers to entry, are stable, generate substantial free cash flow and are managed by prudent leaders.

Risk control: Our primary objective, as stewards of your capital, is to control risk while seeking attractive returns. We control risk in a unique manner; initially we apply our proprietary ESG quantitative framework to identify better managed businesses that have lower quantifiable and unquantifiable risks. Subsequently we hone our efforts on those businesses that we believe operate in stable industries with attractive industry structures, businesses that produce products that are critical to their customers, and businesses that we believe are led by proven, appropriately incentivized leaders. We endeavor to further control valuation risk by purchasing securities at attractive prices relative to the current free cash flow generation of the businesses. We believe that businesses that fit our profile produce fairly stable cash flow streams and are less prone to macroeconomic fluctuations, competitive pressures and valuation risks.

Consistency: It is also our objective to deliver a consistently positive outcome. We would view outsized outperformance in one year and poor performance in the subsequent year as a poor outcome for our clients. Our bottoms up investment process is focused on selecting undervalued businesses that we believe should perform well in most market environments and hold up well in negative periods. We believe consistency in approach and consistency in outcome gives us the best chance of minimizing a left tail outcome in any given year. It is our view that if we can consistently deliver above average risk-adjusted performance over a long period of time the outcome likely would be outperformance relative to our peers over the full period. That is our goal.

Environmental, Social, Governance Analysis: Traditional fundamental analysis does not capture risks associated with managing environmental resources nor does it assess the performance of businesses from the perspective of resource efficiency. Traditional analysis does not typically assess the risks associated with

13

Table of Contents

TCW New America Premier Equities Fund

Management Discussions (Continued)

a heterogeneous workforce nor does it assess the competence, quality and engagement level of the Board of Directors. Our investment framework not only pays close attention to these issues, we quantify, score, and rank companies and exclude businesses based on these risk factors.

While those risks are not quantified through traditional financial analysis, we have found a significant correlation between companies that manage their resources prudently and businesses that sport strong financial metrics. Businesses that meet our rigorous ESG performance requirements typically have higher free cash flow yields, higher total yields, higher margins and lower levels of financial leverage.

Focus on Dominant, Predictable Businesses with High Barriers to Entry: In the long run the investment performance of a portfolio is inextricably linked to the underlying performance of the earnings and cash flows of the businesses comprising the portfolio. We believe one of the greatest risks in investing is valuing a business based on an erroneous view of the future free cash flows of the business. Such a circumstance results in an investor typically overpaying for a business and therefore generating a poor return on the investment.

In fast growing businesses or in industries that are undergoing rapid changes it is extraordinarily difficult and often dangerous to make an investment in a business when the long-term cash generation potential of the enterprise has a wide spectrum of outcomes. We seek to avoid companies and industries that are undergoing rapid changes.

What we do seek, however, are stable businesses that have dominant market positions, and whose long-term cash flows we believe can be predicted reasonably well. The qualitative characteristics that we seek, including attractive industry structures, pricing power and dominant market positions, make us confident in our forecast of the future cash flows of the businesses and therefore provide greater confidence that our valuation of the business is reasonably accurate.

The famed value investor Benjamin Graham once said, “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” Our view is that the market weighs cash flows and in order to consistently purchase a security for less than what it is worth, one should have high confidence in the future free cash flows of a business.

Thank you for joining us as fellow shareholders in the TCW New America Premier Equities Fund. We will continue to work hard to justify your confidence in us.

14

Table of Contents

Management Discussions

For the year ended October 31, 2020, the TCW Relative Value Dividend Appreciation Fund (the “Fund”) posted a return of -8.71% and -8.88% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned -7.57% over the same period.

Market Outlook

Former Vice President Joe Biden has been duly elected the 46^th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.

The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.

The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.

Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current

16

Table of Contents

TCW Relative Value Dividend Appreciation Fund

Management Discussions (Continued)

guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.

Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.

Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.

The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Dividend Appreciation Fund two-year annualized projected consensus EPS growth rate of nearly 15% (as of October 31) is in line with the S&P 500 and Russell 1000 Value indices, yet its valuations are significantly less than both. The relative valuations and mid-teens growth potential underscore the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.

Fund Review

Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning -2.1%, on average, led by UPS, Maxim Integrated Products, and AES. The Fund’s Materials names were the best performers, returning 26.5% and outperforming the group gain of 8.8% led in large part to Freeport-McMoRan and secondarily Corteva and DuPont. AES highlighted in Utilities where the portfolio’s names bested their peers 10.1% versus -0.6%, while Lennar, Target, and Whirlpool led to the outperformance in Consumer Discretionary with the names in the sector gaining 8.9% versus the group’s modest rise of 0.7%. The portfolio also benefited from stock selection in Information Technology and Consumer Staples led by Maxim Integrated Products and ConAgra. On the downside, the portfolio’s Health Care holdings were the biggest detractors, returning 0.3% lagging the group move of 10.5% due largely to Johnson & Johnson and to a lesser extent AbbVie and Novartis. AT&T was largely responsible for the underperformance in Communication Services where the portfolio’s stocks returned -15.7%, trailing their peers’ decline of -3.6%. AIG, Citigroup, and Zions Bancorporation were the biggest laggards in Financials with the portfolio’s holdings underperforming

17

Table of Contents

TCW Relative Value Dividend Appreciation Fund

Management Discussions (Continued)

-22.9% versus -17.9%. AIG was completely sold during the one-year period. With respect to sector weightings, the portfolio benefited due largely to the overweight in Information Technology and underweight in Real Estate. The overweight in Energy detracted.

Management Discussions

For the year ended October 31, 2020, the TCW Relative Value Large Cap Fund (the “Fund”) posted a return of -7.02% and -7.17% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell 1000 Value Index, returned -7.57% over the same period.

Market Outlook

Former Vice President Joe Biden has been duly elected the 46^th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.

The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.

The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.

Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current

19

Table of Contents

TCW Relative Value Large Cap Fund

Management Discussions (Continued)

guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.

Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.

Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell 1000 Growth Index ever and one of the most concentrated S&P 500 Indices, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.

The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Large Cap Fund two-year annualized projected consensus EPS growth rate of nearly 20% (as of October 31) is 25%+ higher than both the S&P 500 and Russell 1000 Value indices. There is a lot of earnings power in the portfolio which is starting to be recognized, although it is never a straight line. This higher growth potential versus the value benchmark while simultaneously trading at a material discount to benchmark indices underscores the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.

Fund Review

Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 0.5%, on average, led by Molina Healthcare, Lennar, and AES. The Fund’s Materials names were the best relative performers returning 36.3% versus the group gain of 8.8%, led in large part to Freeport-McMoRan and secondarily Corteva and DuPont. ConAgra’s strong gain led to the outperformance in Consumer Staples where the portfolio’s names in the sector bested their peers 13.7% versus 3.9%. The portfolio also benefited from stock selection in Information Technology with solid returns from Broadcom, Flex, and ON Semiconductor while AES highlighted in Utilities. One additional notable contributor was UPS in Industrials. On the downside, the portfolio’s Communication Services stocks were the biggest detractors returning -14.6%, lagging the group decline of -3.6% due to Discovery and AT&T. General Electric, Textron, and Terex were largely responsible for the underperformance in Industrials where its names returned -7.9% versus their peers’ loss of -2.4%. To a lesser extent, the portfolio’s Financials and Consumer Discretionary names detracted with AIG,

20

Table of Contents

TCW Relative Value Large Cap Fund

Management Discussions (Continued)

Citigroup, Bed Bath & Beyond, and Dana the most notable laggards. Terex, AIG, Bed Bath & Beyond, and Dana were each completely sold during the one-year period. With respect to sector weightings, the portfolio benefited noticeably due to the overweight in Information Technology and underweights in Financials and Real Estate. The underweight in Consumer Staples detracted.

Management Discussions

For the year ended October 31, 2020, the TCW Relative Value Mid Cap Fund (the “Fund”) posted a return of -8.07% and -8.18% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, the Russell Midcap Value Index, returned -6.94% over the same period.

Market Outlook

Former Vice President Joe Biden has been duly elected the 46^th president of the U.S. There will be legal challenges but thus far all are without merit. The base case is for the House to hold its Democratic majority and the Senate to remain in the hands of the Republicans. Counting an overwhelming number of absentee ballots continues and finalized numbers may be weeks away. Neither of the Georgia Senate candidates received 50% of the votes. As such, the special election occurs in January. Should both seats be won by Democratic candidates, the chamber will be evenly split 50-50 with the deciding vote (in the event of a tie) going to Vice President-elect Kamala Harris.

The U.S. economy is showing marked signs of improvement. Approximately one-half of the 22 million jobs lost in March and April have been regained. Initial jobless claims are at the lowest level of crisis and have stabilized in the 700,000-800,000 range. The unemployment rate dropped one full percentage point over the last month and now rests at 6.9% at October 31, down from its cycle peak of nearly 15% at April 30. Personal income rose 0.9% month-over-month in September as employers raised wages. Housing data are strong, auto sales (after falling precipitously in April) have surged to a 16+ million seasonally adjusted annual rate, and manufacturing has rebounded noticeably after contracting in the second quarter. The ISM Manufacturing Purchasing Managers Index (PMI) and ISM Manufacturing PMI Business New Orders levels spiked noticeably higher in October while the Chicago PMI topped expectations. There was a big upward revision to 2Q20 productivity (a much underappreciated metric) to a 10.1% quarter over quarter annual rate and to 2.8% year over year rate versus preliminary figures of 7.3% and 2.2%, respectively. Per Nancy Lazar of Cornerstone Macro, “Productivity gains boost profit margins ... and is a key driver for potential GDP growth.” The economy did indeed rebound strongly in the third quarter (emerging from recession), and estimates call for 2-4% growth in 4Q and 3-4% in 2021. With most S&P 500 companies having reported, nearly 80% have beaten estimates and guidance has been good enough for analysts to maintain double-digit growth in 2021 dominated by a cyclical resurgence. Finally, consumer confidence is strengthening with both the Conference Board and University of Michigan indices on the upswing.

The global economy still faces near-term headwinds. Rising COVID-19 cases in Germany, France, Belgium, and the UK have forced second lockdowns in those countries while U.S. daily cases have topped 100,000. However, on November 9, pharmaceutical companies Pfizer and BioNTech working in concert announced that their vaccine candidate trials have proved more than 90% effective. The two stated they could produce enough doses to vaccinate 650 million people by the end of 2021. Then on November 16, Moderna announced its vaccine candidate showed 94.5% effectiveness in its Phase 3 clinical trial. Other companies still show promise including Johnson & Johnson, Sanofi, and Novavax.

Global monetary and fiscal stimulus to fight COVID-19 has been stupendous. The combination of the two stimuli from the onset through November could ultimately equal $27 trillion and constitute nearly one-third of global GDP. In its last meeting before the election, the Federal Reserve Board in October held firm to prior communiques of a new long-term policy of keeping interest rates near zero for the foreseeable future (“at least three years”) until the U.S. returns to maximum employment and 2% inflation. Its current

22

Table of Contents

TCW Relative Value Mid Cap Fund

Management Discussions (Continued)

guidance about purchases is entirely open-ended on the upside and limited on the downside (in its commitment to buy “at least at the current pace to sustain smooth market functioning and help foster accommodative financial conditions”). While Fed Chair Powell has been adamant that the economy needs more fiscal support, a mega stimulus bill is unlikely under a split Congress.

Mr. Biden will have the “power of the pulpit,” better international and trade relations, a coordinated health care effort, and the staffing of essential government agencies and national laboratories that have been ignored or worse. The Democratic win will almost certainly come with increased regulation but under a “moderate” banner. While taxes are unlikely to be raised, there will be less fiscal stimulus. As President, Mr. Biden can rejoin the Paris Climate Accord but will need to use executive action to up environmental standards. Big tech and others face a rocky road over the next few years with some companies (such as Facebook, Google, and Amazon), facing increased scrutiny for anti-trust issues. Health care stocks in general have languished over the last few months but it is difficult to see an environment where good, accessible healthcare is not deemed essential.

Value was on the cusp of outperforming in 2020 until the COVID-19 lid got put on top of the change in factors. The current dynamics of 1) extreme two standard deviation valuation disparities between growth and value, 2) the beginning of a new economic cycle post the current recession, 3) the most concentrated Russell Midcap Growth Index since the end of 2000, and 4) the unprecedented fiscal and monetary stimulus all should help drive value’s outperformance. Since 1948, based on the S&P 500, Democratic presidents have overseen 75% better returns, on average, versus their Republican counterparts.

The portfolio remains attractively valued and poised for growth. While some exuberance has been tempered, the Relative Value Mid Cap Fund two-year annualized projected consensus EPS growth rate of 22.5% (as of October 31) is over 80% higher than the Russell Midcap Value Index. There is a lot of earnings power in the portfolio which is starting to be recognized, although it is never a straight line. This higher growth potential versus the value benchmark while simultaneously trading at a material discount to the benchmark underscores the “Search for Value Poised for Growth” Relative Value investment philosophy. We believe the seeds of great opportunity are being sown today and thank you for your continued confidence in our time-tested disciplined philosophy, process, and team.

Fund Review

Over the course of the one-year period ending October 31, 2020, the Fund’s top ten holdings by average weight outperformed the portfolio and its benchmark index returning 6.0%, on average, led by Molina Healthcare, Maxim Integrated Products, Flex, and Lennar. The Fund’s Utilities names were the best relative performers returning 10.4% versus the group decline of -5.8% led by AES. ConAgra and Hain Celestial led to the outperformance in Consumer Staples where the portfolio’s names in the sector bested their peers 17.3% versus 3.3%. The portfolio also benefited from stock selection in Information Technology with solid returns from Maxim Integrated Products, Nuance Communications, and Flex while Freeport-McMoRan and Corteva highlighted in Materials. On the downside, the portfolio’s Industrials were the biggest detractors returning -17.0% lagging the group’s slight gain of 1.1% due largely to Kirby and Manitowoc. Assured Guaranty and secondarily KeyCorp and Synovus Financial were responsible for the underperformance in Financials where the portfolio’s names returned -21.8% versus -15.9%. The portfolio’s Communication Services and Energy stocks also detracted due mostly to Discovery and Newpark

23

Table of Contents

TCW Relative Value Mid Cap Fund

Management Discussions (Continued)

Resources. With respect to sector weightings, the portfolio benefited noticeably due to the underweights in Real Estate and Energy and overweights in Information Technology and Health Care. The underweight in Consumer Staples and overweight in Consumer Discretionary detracted.

Management Discussions

For the year ended October 31, 2020, the TCW Select Equities Fund (the “Fund”) returned +34.59% and +34.26% on its I Class and N Class shares, respectively. The performance of the Fund’s classes varies because of differing expenses. The Fund’s benchmark, Russell 1000 Growth Index, returned +29.22% over the same period.

Thanks to improving economic data and a dearth of inflation, the market continued its ascent in Fiscal 2020, with the S&P 500 finishing calendar year 2019 +31.5%. Everything abruptly changed in 1Q20, however, as economic activity seized globally due to the ongoing COVID-19 pandemic. The S&P 500 dropped 20% in 1Q20, marking the quickest retreat to a bear market in history and formally ended the longest bull market on record. The monetary policy response by the Federal Reserve was swift and aggressive. Interest rates were effectively cut to zero, additional rounds of Quantitative Easing were announced and the Fed’s balance sheet ballooned to $7 trillion. Congress passed a $2.1 trillion fiscal stimulus package and the S&P 500 bottomed on March 23, 2020. With hopes of a “V-shaped” economic recovery, the stock market recovered and matched its previous all-time high by August. Given increasing COVID-19 case counts, investor focus now turns to the severity of a potential phase two economic shutdown and how soon a vaccine will be available.

Net of expenses, the Fund outperformed for the year primarily as a result of positive security selection results. Our biggest stock contributors relative to the benchmark came from the information technology sector. Shares of ServiceNow, Inc. (NOW) moved higher amid stronger digital transformation trends. We believe the pandemic has caused many enterprises to accelerate cloud adoption and workflow automation and NOW is a key beneficiary of this secular trend. We remain positive on NOW given our belief the current share price understates the long-term earnings power and competitive position of a strong platform company gaining market share in a growing end market. Shares of The Trade Desk, Inc. (TTD) rallied due to a series of solid earnings reports, increasing investor optimism around improving programmatic advertising spending trends, as well as the accelerated transition toward digital advertising that has occurred during the pandemic. We remain constructive on shares given our belief the company’s cloud-based, programmatic advertising buying technology is best in class (enabling better ROI advertising campaigns) and TTD is well positioned to continue to take share of advertising spend across digital media.

Our biggest stock detractors during the year came from the financials and healthcare sectors. Shares of Chubb Limited (CB) moved lower as a result of a particularly challenging property and casualty insurance market. In addition to the myriad catastrophe losses over the past year, the industry has come under pressure as some states in the U.S. began exploring bills requiring insurance companies to pay for business interruptions despite explicit exclusions of coverage for virus-driven interruptions in the policies they underwrote. We have placed CB shares under review. Shares of Boston Scientific Corporation (BSX) declined as many non-urgent medical procedures utilizing BSX’s devices were delayed as a result of the ongoing pandemic. While we recognize the near-term risk to BSX’s revenue and earnings, we believe the pandemic will simply shift the procedures to later periods and sales will be recaptured in later quarters. We remain positive on BSX shares.

25

Table of Contents