RAE Worldwide Long/Short PLUS Fund

PWLMX

Updated November 15, 2019

Objective

The Fund seeks long-term capital appreciation, consistent with prudent investment management.

Primary Portfolio

Derivatives providing long exposure to three Research Affiliates Low Volatility Equity Income (RALVEI) models and short exposure to certain capitalization-weighted indexes; backed by actively managed, absolute return-oriented fixed income portfolio

Overview

Fund Overview

An innovative global equity long/short strategy

Harnessing the core strengths of both PIMCO and Research Affiliates, the fund offers the potential for attractive equity-like returns over the long term with lower downside risk through a unique combination of active management insights, structurally-based return sources, risk management processes and diversification benefits.

Why Invest In This Fund

Powerful risk-adjusted return potential

The fund maintains exposure to diversified portfolios of long and short U.S., international and emerging market (EM) equities. Stocks are selected using Research Affiliates’ fundamentals-based, lower volatility active equity approach. To accentuate the alpha potential of this approach, long exposure is largely offset by exposure to short U.S., international and EM cap-weighted indexes. The equity exposure is complemented by PIMCO’s absolute return bond strategy -- designed to provide an additional source of attractive, risk-adjusted return.

Modest equity market risk via a proprietary volatility-based process

The fund’s dynamic equity market risk management process targets a relatively low average level of equity market exposure. Equity-market exposure will typically increase when market volatility is declining and be reduced when equity market volatility is increasing. With this flexibility, the fund seeks to offer reasonable upside participation during periods of market appreciation with substantially less downside exposure during declining markets.

Diversification benefits within the fund and broader investment portfolio

The fund’s three sources of excess return potential – its low volatility equity income approach, dynamically managed global equity market beta, and actively managed absolute return bond strategy – are expected to be relatively uncorrelated with one another, producing the potential for both powerful diversification benefits within the fund and relative to both traditional portfolios and equity strategies.

Our Expertise

PIMCO has pioneered a number of market innovations, including fundamentals-based equity investing and enhanced index strategies. The fund benefits from our expertise, as well as from our time-tested, topdown/bottom-up investment process..

PRIMARY BENCHMARK

3 Month USD LIBOR Index

PRIMARY BENCHMARK DESCRIPTION

The 3 Month USD LIBOR (London Interbank Offered Rate) Index is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money (3 months) in England's Eurodollar market. It is not possible to invest in an unmanaged index.

DIVIDEND FREQUENCY

Quarterly

SHARE CLASS INCEPTION

08/23/2019

CUSIP

72202G257

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Managers

Graham Rennison began managing the fund on 10 May 2019.

Robert Arnott

Founder and Chairman, Research Affiliates

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Chris Brightman

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Mohsen Fahmi

Portfolio Manager, Global Fixed Income

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Bryan Tsu

Portfolio Manager, CMBS and CLO

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Jing Yang

Portfolio Manager, Structured Credit

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Graham A. Rennison

Quantitative Portfolio Manager

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Fees & Expenses

Effective as of 07/31/2019
Gross Expense Ratio 1.38%
Adjusted Expense Ratio 1.29%
The Adjusted Expense Ratio excludes certain investment expenses, such as interest expense from borrowings and repurchase agreements and dividend expense from investments on short sales, incurred directly by the Fund or indirectly through the Fund’s investments in underlying PIMCO Funds (if applicable), none of which are paid to PIMCO.

Portfolio Composition

All data as of unless otherwise stated

Top 5 Countries

RAE Low Volatility Cap-Weighted
United States 67.16 29.89
Japan 18.79 6.76
United Kingdom 12.20 4.06
China 7.42 4.77
Canada 6.44 2.70

Sector Allocation of the Equity Portfolio Market Value %

% Long Equity 160.82
% Short Equity 74.54
Gross Equity Exposure (Long + Short) 235.36
Net Equity Exposure (Long - Short) 86.29

Top 5 Sectors

RAE Low Volatility Cap-Weighted
Financials 24.02 13.45
Consumer Staples 23.12 6.49
Telecommunication Services 20.20 6.30
Industrials 16.33 7.90
Health Care 15.91 7.84

Sector Allocation – Bond Portfolio Market Value%

US Government Related -13.31
Mortgage 53.85
Invest. Grade Credit 11.77
High Yield Credit 1.21
Non-USD Developed 10.06
Emerging Markets 0.12
Municipal/Other 0.25
Net Other Short Duration I