RAE Worldwide Long/Short PLUS Fund

PWLMX

Updated May 29, 2020

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

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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 andenhanced index strategies. The fund benefits from ourexpertise, as well as from our time-tested, topdown/bottom-upinvestment process..

PRIMARY BENCHMARK

3 Month USD LIBOR

PRIMARY BENCHMARK DESCRIPTION

The 3 Month USD LIBOR (London Interbank Offered Rate) 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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In emerging market equities, we see reasons to focus on value stocks and areas with attractive valuations.

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In late-cycle markets, our nontraditional equity approaches may offer investors more reliable and diversifying sources of alpha potential.

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We see two overarching reasons for long-term investors to consider continuing to hold a strategic allocation to EM equities: fundamentals and valuations.

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Managers

Graham Rennison began managing the fund on 10 May 2019.

Robert Arnott

Founder and Chairman, Research Affiliates

View Profile for Robert Arnott

Chris Brightman

View Profile for Chris Brightman

Mohsen Fahmi

Portfolio Manager, Global Fixed Income

View Profile for Mohsen Fahmi

Bryan Tsu

Portfolio Manager, CMBS and CLO

View Profile for Bryan Tsu

Jing Yang

Portfolio Manager, Structured Credit

View Profile for Jing Yang

Graham A. Rennison

Quantitative Portfolio Manager

View Profile for Graham A. Rennison

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 61.61 32.60
Japan 19.07 7.76
United Kingdom 10.89 4.70
China 8.91 6.25
Canada 5.88 2.78

Sector Allocation of the Equity Portfolio Market Value %

% Long Equity 151.41
% Short Equity 81.36
Gross Equity Exposure (Long + Short) 232.77
Net Equity Exposure (Long - Short) 70.04

Top 5 Sectors

RAE Low Volatility Cap-Weighted
Consumer Staples 24.07 7.38
Financials 21.31 12.42
Telecommunication Services 19.94 7.32
Health Care 16.52 10.00
Utilities 15.37 2.82

Sector Allocation – Bond Portfolio Market Value%

US Government Related -51.86
Mortgage 46.07
Invest. Grade Credit 14.97
High Yield Credit 0.83
Non-USD Developed 9.01
Emerging Markets 0.38
Municipal/Other 0.39
Net Other Short Duration Instruments 80.22

disclosures

Portfolio information in the charts is based on the fund's net assets. These percentages may differ from those used for the fund's compliance calculations, including the fund's prospectus, regulatory, and other investment limitations and policies, which may be based on total assets of the fund or other measurements, may include or exclude various categories of investments from those covered in the portfolio allocation categories shown in this report, and may be based on different classifications and measurements of the fund’s investments and other criteria.
References to specific sectors, securities or issuers are for illustrative purposes only. All holdings are subject to change daily. All share classes have the same portfolio but different expenses.

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Disclosures

Investors should consider the investment objectives, risks, charges and expenses of the funds carefully before investing. This and other information are contained in the fund’s prospectus and summary prospectus, if available, which may be obtained by contacting your investment professional or PIMCO representative.  Please read them carefully before you invest or send money.
A word about risk:

In managing the strategy’s investments in Fixed Income Instruments, PIMCO utilizes an absolute return approach; the absolute return approach does not apply to the equity index replicating component of the strategy. Absolute return portfolios may not fully participate in strong positive market rallies. Investing in foreign denominated and/or domiciled securities may involve heightened risk due to currency fluctuations, and economic and political risks, which may be enhanced in emerging markets. Investing in the bond market is subject to risks, including market, interest rate, issuer, credit, inflation risk, and liquidity risk. The value of most bonds and bond strategies are impacted by changes in interest rates. Bonds and bond strategies with longer durations tend to be more sensitive and volatile than those with shorter durations; bond prices generally fall as interest rates rise, and low interest rate environments increase this risk. Reductions in bond counterparty capacity may contribute to decreased market liquidity and increased price volatility. Bond investments may be worth more or less than the original cost when redeemed. Mortgage and asset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk, and their value may fluctuate in response to the market’s perception of issuer creditworthiness; while generally supported by some form of government or private guarantee there is no assurance that private guarantors will meet their obligations. High-yield, lower-rated, securities involve greater risk than higher-rated securities; portfolios that invest in them may be subject to greater levels of credit and liquidity risk than portfolios that do not. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. Diversification does not ensure against loss.

Alpha is a measure of performance on a risk-adjusted basis calculated by comparing the volatility (price risk) of a portfolio vs. its risk-adjusted performance to a benchmark index; the excess return relative to the benchmark is alpha. Beta is a measure of price sensitivity to market movements. Market beta is 1.
Investments made by a Fund and the results achieved by a Fund are not expected to be the same as those made by any other PIMCO-advised Fund, including those with a similar name, investment objective or policies. A new or smaller Fund’s performance may not represent how the Fund is expected to or may perform in the long-term. New Funds have limited operating histories for investors to evaluate and new and smaller Funds may not attract sufficient assets to achieve investment and trading efficiencies. A Fund may be forced to sell a comparatively large portion of its portfolio to meet significant shareholder redemptions for cash, or hold a comparatively large portion of its portfolio in cash due to significant share purchases for cash, in each case when the Fund otherwise would not seek to do so, which may adversely affect performance.
This material has been distributed for informational purposes only and should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission.