RAE Low Volatility PLUS EMG Fund

PLVLX

Updated September 29, 2016

Objective

Seeks total return that exceeds that of its benchmark

Primary Portfolio

An equity strategy that uses RAE Low Volatility Emerging Markets portfolio derivatives backed by an actively managed portfolio of fixed income securities with an absolute return orientation

Overview

Fund Overview

A lower-volatility approach to emerging market equity investing

The fund invests in a diversified portfolio that captures the returns of less volatile and higher yielding emerging market stocks using the Research Affiliates Equity (RAE) Fundamental investment strategy, a systematic approach designed to outperform the MSCI EAFE Index, plus an additional source of return potential.

Why Invest In This Fund

Smart beta equity investment process

RAE Fundamental selects and weights emerging market stocks based on non-price measures of company size including sales, cash flows, book value and dividends. Proprietary screens a that emphasize lower volatility stocks with higher incomes and strong financial health are then applied to provide the potential for downside risk protection. Going beyond simple volatility screens, the fund’s value orientation and a focus on liquidity helps investors avoid owning expensive, less liquid low volatility stocks.

Secular growth of emerging markets with less risk

Investing in the emerging markets can offer equity investors the potential for higher returns and diverse sources of value, but it can also come at the expense of higher volatility. The fund is designed to provide investors with emerging market equity exposure, participating in capital appreciation while reducing market volatility over time. As volatility is an important measurement of risk, the fund represents a risk-managed approach to equity investing.

Offers the benefits of traditional passive and active equity investing

The fund’s unique smart beta approach gives it the ability to retain key attributes of passive investing, including broad diversification, while also seeking market outperformance. The fund provides an additional source of alpha potential by employing PIMCO’s “PLUS” implementation to equity investing. Because the fund uses equity-linked instruments, which do not require the same cash outlay as physical stocks, it seeks to generate incremental return by investing the remaining cash in actively managed fixed income.

Our Expertise

PIMCO helped pioneer the innovative StocksPLUS strategy in 1986 –the same award-winning approach used across our “PLUS” portfolios, which capitalizes on the depth and breadth of PIMCO’s global resources. PIMCO has partnered with Research Affiliates since 2005 when they introduced fundamental indexes to the marketplace. Research Affiliates is broadly credited as being pioneers in smart beta. Today, we manage RAE “PLUS” portfolios across a range of objectives and market exposures.

PRIMARY BENCHMARK

MSCI Emerging Markets Index (Net Dividends in USD)

PRIMARY BENCHMARK DESCRIPTION

The MSCI Emerging Markets Index (Net Dividends in USD) Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. It is not possible to invest directly in the index.

DIVIDEND FREQUENCY

Quarterly

SHARE CLASS INCEPTION

12/30/2013

CUSIP

72201U380

Managers

Sudi Mariappa

Portfolio Manager, Generalist

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Mohsen Fahmi

Portfolio Manager, Global Fixed Income

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Robert Arnott

Founder and Chairman, Research Affiliates

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Yields & Distributions

Historical Prices & Distributions

Distribution Yield (At Nav) 1 as of 06/30/2016 2.03%
30 - Day SEC Yield2 as of 08/31/2016 1.48%
30 - Day SEC Yield2 as of 09/29/2016 -
30 - Day SEC Yield (Unsubsidized)3 as of 08/31/2016 1.33%
Latest Dividend Distribution ($ Share)4 as of 09/15/2016 $0.02476
Dividend Distribution (YTD) 5 as of 09/15/2016 $0.04629
Yields & Distributions Footnotes & Disclosures

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.
2The 30-Day SEC yield is an annualized yield based on the most recent 30 day period.
3Does not include fee waivers and/or reimbursements.
4Data does not include special cash dividends.
5Data is based on distributions since the most recent calendar year end and does not include special cash dividends.
Unless stated, the Fund does not have an unsubsidized yield.

Fees & Expenses

Total Annual Operating Expenses 1.15%
Net Operating Expenses6 1.00%
Fees & Expenses Footnotes & Disclosures

disclosures

6The net expense ratio reflects a contractual expense reduction agreement through 31 July 2017.

Prices & Performance

Daily Statistics

All data as of 09/29/2016

NAV $8.93 One Day Return 0.56%
Daily Change $0.05 Daily YTD Return 22.68%
Click here to view Historical Prices
  • Average Annual Returns
  • Cumulative Returns

All data as of

  • Daily
  • Month End
  • Quarter End

All data as of

  • Daily
  • Month End
  • Quarter End
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.

Calendar Year Returns %

All data as of

Growth of $10,000 (hypothetical)

Since inception 12/30/2013 to 08/31/2016 = $9,325

Morningstar and Lipper

  • Morningstar Ratings
  • Lipper Rankings
Prices & Performance Footnotes & Disclosures

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.
Past performance is not a guarantee or a reliable indicator of future results. For funds with at least a 3-yr history, Morningstar calculates a Morningstar Rating based on a risk-adjusted return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads and redemption fees) with an emphasis on downward variations and consistent performance. The top 10% of funds in each 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 is a weighted average of the performance figures for its 3-, 5- and 10-yr (if applicable) Morningstar Rating metrics. Morningstar, Inc.® 2015. All rights reserved. The information contained herein; (1) is proprietary to Morningstar and/or its affiliates; (2) may not be copied or distributed; (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. Past performance is no guarantee of future results. Hollow stars represent a class of shares with inception dates that is different than the inception date of the fund. For the period prior to the inception date of these shares, performance information is based on the performance of the fund’s Institutional Class shares, adjusted to reflect the actual distribution and/or service (12b-1) fees and other expenses paid by the newer share class.
The Lipper Category returns and rankings are calculated by Lipper Inc., a Reuters Company, which is a nationally recognized organization that compares the performance of mutual funds with similar investment objectives. The Category returns represent the average performance of included funds, while rankings compare an individual fund's returns to those of the other funds in its category. Both are based on total return performance, with capital gains and dividends reinvested, with annual operating expenses deducted, but without including front- or back-end sales charges. Rankings begin with the actual share class inception. Rankings are relative to a peer group and do not necessarily mean that the fund had high total returns.

Portfolio Composition

All data as of unless otherwise stated

Country Diversification - Index
Market Value %7

China 26.15
South Korea 14.94
Taiwan 12.04
India 8.34
Brazil 7.46
South Africa 6.38
Mexico 3.86
Russia 3.61
Malaysia 2.79
Indonesia 2.72

Summary Characteristics - Index
Market Value %7

Stocks in Portfolio 818
P/E Ratio (Forward) 13.05
Median Market Cap ($US MM) 9,412.64
P/E Ratio (Trailing) 10.91
Weighted Avg Market Cap ($US MM) 29,941.96

Top 5 GICS Sector - Index
Market Value %7

Financials 23.68
Information Technology 23.26
Consumer Discretionary 10.53
Consumer Staples 7.93
Energy 7.20

Sector Allocation - Duration in Years

US Government Related8 -0.50
Mortgage 0.66
Invest. Grade Credit 0.20
High Yield Credit 0.04
Non-USD Developed -0.35
Emerging Markets9 0.07
Municipal/Other10 0.07
Net Other Short Duration Instruments11 -0.09

Country Diversification - RAE
Market Value %7

Taiwan 20.52
China 16.09
South Korea 12.73
Brazil 8.25
Malaysia 7.89
India 6.44
Thailand 5.80
Russia 4.78
South Africa 4.44
Chile 3.50

Summary Characteristics - RAE
Market Value %7

Stocks in Portfolio 156
P/E Ratio (Forward) 12.35
Median Market Cap ($US MM) 9,087.93
P/E Ratio (Trailing) 13.54
Weighted Avg Market Cap ($US MM) 20,412.60

Top 5 GICS Sector - RAE Market Value %7

Financials 22.36
Telecommunication Services 18.83
Energy 15.35
Materials 11.19
Consumer Staples 8.75
Portfolio Composition Footnotes & Disclosures

disclosures

7RAE equity statistics are for the RAE Low Volatility Emerging Markets model portfolio, which the Fund replicated via total return swaps. Cap equity statistics are for the MSCI Emerging Markets Index (Net Dividends in USD), the Fund's benchmark.
8May include nominal and inflation-protected Treasuries, Treasury futures and options, agencies, FDIC-guaranteed and government-guaranteed corporate securities, and interest rate swaps.
9Short duration emerging markets instruments includes an emerging market security or other instrument economically tied to an emerging market country by country of risk with an effective duration less than one year and rated investment grade or higher or if unrated, determined to be similar quality by PIMCO. Emerging Markets includes the value of short duration emerging markets instruments previously reported in another category.
10May include municipals, convertibles, preferreds, and yankee bonds.
11Net Other Short Duration Instruments includes securities and other instruments (except instruments tied to emerging markets by country of risk) with an effective duration less than one year and rated investment grade or higher or, if unrated, determined by PIMCO to be of comparable quality, commingled liquidity funds, uninvested cash, interest receivables, net unsettled trades, broker money, short duration derivatives (for example Eurodollar futures) and derivatives offsets. With respect to certain categories of short duration securities, the Adviser reserves the discretion to require a minimum credit rating higher than investment grade for inclusion in this category. Derivatives Offsets includes offsets associated with investments in futures, swaps and other derivatives. Such offsets may be taken at the notional value of the derivative position which in certain instances may exceed the actual amount owed on such positions.
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. 
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 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 the current low interest rate environment increases this risk. Current 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. 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. 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. 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. Inflation-linked bonds (ILBs) issued by a government are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation; ILBs decline in value when real interest rates rise. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. Leverage, including borrowing, may cause a portfolio to be more volatile than if the portfolio had not been leveraged. Entering into short sales includes the potential for loss of more money than the actual cost of the investment, and the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the portfolio. 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.
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.
PIMCO Investments LLC, distributor, 1633 Broadway, New York, NY 10019, is a company of PIMCO.