Strategy Overview

Efficient inverse exposure to the S&P 500 Index

The Lipper-Award-winning strategy provides passive short exposure to the S&P 500 Index plus an additional, complementary source of alpha potential.

Disclosures

A word about risk:The Strategy attempts to gain exposures that may vary inversely with the performance of the Strategy’s benchmark (the S&P 500 Index)on a daily basis, such that the Strategy will generally benefit when the benchmark is declining in value and will generally not perform well when thebenchmark is rising, a result that is different from traditional mutual strategies. It is possible for the Strategy to experience a negative return whenthe benchmark is declining and vice versa. However, the Strategy is not designed or expected to produce returns which replicate the inverse of theperformance of the benchmark, and the degree of variation could be substantial, particularly over longer periods. This is due to factors relating toinverse correlation and compounding risk, including the effects of compounding on the performance of the Strategy’s derivatives short positions for periodsgreater than one day, as well as the results of PIMCO’s active management of the Strategy (including income and gains or losses from fixed incomeinstruments and variations in the Strategy’s level of short exposure), the impact of Strategy fees and expenses, and the fact that derivatives positions ingeneral may not correlate exactly with the benchmark. In managing the strategy’s investments in Fixed Income Instruments, PIMCO utilizes an absolute returnapproach; the absolute return approach does not apply to the equity index replicating component of the strategy. Investing in the bond market is subject to certain risks including market, interest-rate, issuer, credit, and inflation risk; investments may be worth moreor less than the original cost when redeemed. Investing in foreign denominated and/or domiciled securities may involve heightened risk dueto currency fluctuations, and economic and political risks, which may be enhanced in emerging markets. Mortgage and asset-backed securities may be sensitive to changes in interest rates, subject to early repayment risk, and their value mayfluctuate in response to the market’s perception of issuer creditworthiness; while generally supported by some form of government or private guaranteethere is no assurance that private guarantors will meet their obligations. High-yield, lower-rated, securities involve greater risk thanhigher-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 positioncould not be closed when most advantageous. Investing in derivatives could lose more than the amount invested.