RAE Worldwide Long/Short PLUS Fund

PWLIX

Updated January 22, 2021

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 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

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

12/04/2014

CUSIP

72202E609

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

Chief Investment Officer, Research Affiliates

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

Yields & Distributions

Historical Prices & Distributions

Distribution Yield (At Nav) 1 as of 12/31/2020 7.59%
1 - Day Distribution Yield as of 01/22/2021 -
30-Day SEC Yield as of 12/31/2020 0.01%
Latest Dividend Distribution ($ Share)2 as of 09/10/2020 $0.16545
Dividend Distribution (YTD) 3 as of 09/10/2020 $0.59799

disclosures

1The distribution yield for monthly paying Funds is calculated by annualizing actual dividends distributed for the monthly period ended on the date shown and dividing by the net asset value on the last business day for the same period. The distribution yield for quarterly paying Funds is calculated by taking the average of the prior four quarterly distribution yields. The quarterly distribution yields are calculated by annualizing actual dividends distributed for the quarterly period ended on the most recent quarterly distribution date and dividing by the net asset value for the same date. The distribution yield for annual paying Funds is calculated by taking the annual distribution divided by the Fund’s net asset value on ex-date. The yield is annualized if the Fund incepted less than a year ago. The yield does not include long- or short-term capital gains distributions.
2Data does not include special cash dividends.
3Data is based on distributions since the most recent calendar year end and does not include special cash dividends.
The 30 day SEC Yield is computed under an SEC standardized formula based on net income earned over the past 30 days.

Fees & Expenses

Effective as of 07/31/2020
Gross Expense Ratio 1.28%
Adjusted Expense Ratio 1.19%
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.

Prices & Performance

locked

Daily Statistics

All data as of 01/22/2021

NAV $8.22 One Day Return -0.48%
Daily Change $-0.04 Daily YTD Return 0.49%

All data as of

All data as of

Performance quoted represents past performance and is not a guarantee or a reliable indicator of future results. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed. Current performance may be lower or higher than average annual returns shown. Performance quoted does not reflect any sales charges, if applicable, and performance would be lower if it did.

Differences in the Fund’s performance versus the index and related attribution information with respect to particular categories of securities or individual positions may be attributable, in part, to differences in the pricing methodologies used by the Fund and the index.

There is no assurance that any fund, including any fund that has experienced high or unusual performance for one or more periods, will experience similar levels of performance in the future. High performance is defined as a significant increase in either 1) a fund’s total return in excess of that of the fund’s benchmark between reporting periods or 2) a fund’s total return in excess of the fund’s historical returns between reporting periods. Unusual performance is defined as a significant change in a fund’s performance as compared to one or more previous reporting periods.

Calendar Year Returns %

All data as of

Growth of $10,000 (hypothetical)

Morningstar and Lipper

disclosures

Performance figures presented reflect the total return performance after fees and reflect changes in share price and reinvestment of dividend and capital gain distributions on the payable date. All periods longer than one year are annualized.
Daily YTD return is from the most recent calendar year end.
Growth of $10,000 is calculated at NAV and assumes that all dividend and capital gain distributions were reinvested. It does not take into account sales charges or the effect of taxes. Results are not indicative of future performance.
A rating is not a recommendation to buy, sell or hold a fund. © 2020 Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Past performance is no guarantee of future results.
The Lipper Average and Rankings are calculated by Lipper, Inc, based on the total return performance of funds included by Lipper in that category. Rankings begin with the inception of the actual share class. Lipper does not take into account sales charges.

The Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers.

The Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, which is a risk-adjusted performance measure calculated over 36, 60 and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the Lipper Fund Award. For more information, see lipperfundawards.com. Although Lipper makes reasonable efforts to ensure the accuracy and reliability of the data contained herein, the accuracy is not guaranteed by Lipper.

Portfolio Composition

All data as of unless otherwise stated

Top 5 Countries

RAE Low Volatility Cap-Weighted
United States 61.07 33.44
Japan 19.96 7.46
United Kingdom 10.22 3.72
China 8.46 6.18
Taiwan 7.24 1.96

Sector Allocation of the Equity Portfolio Market Value %

% Long Equity 151.30
% Short Equity 80.67
Gross Equity Exposure (Long + Short) 231.97
Net Equity Exposure (Long - Short) 70.63

Top 5 Sectors

RAE Low Volatility Cap-Weighted
Financials 25.62 11.82
Consumer Staples 23.43 6.35
Health Care 16.84 8.94
Consumer Discretionary 15.88 10.95
Telecommunication Services 15.72 7.01

Sector Allocation – Bond Portfolio Market Value%

US Government Related -48.18
Mortgage 25.30
Invest. Grade Credit 10.80
High Yield Credit 0.95
Non-USD Developed 15.24
Emerging Markets 1.74
Municipal/Other 0.38
Net Other Short Duration Instruments 93.77

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.
PIMCO as a general matter provides services to qualified institutions, financial intermediaries and institutional investors. Individual investors should contact their own financial professional to determine the most appropriate investment options for their financial situation. This material contains the current opinions of the manager and such opinions are subject to change without notice. This material has been distributed for informational purposes only. Information contained herein has been obtained from sources believed to be reliable, but not guaranteed. No part of this material may be reproduced in any form, or referred to in any other publication, without express written permission. PIMCO is a trademark of Allianz Asset Management of America L.P. in the United States and throughout the world. ©2020, PIMCO
PIMCO Investments LLC, distributor, 1633 Broadway, New York, NY 10019, is a company of PIMCO.