Portfolio performance The Fund is designed to serve as a Third Pillar strategy, aiming to provide a diversified return stream versus traditional stock/bond-centric approaches. In seeking a long-term real return consistent with its secondary benchmark of CPI + 6.5%, the Fund also seeks to provide a measure of inflation protection that may not be provided by traditional stocks and bonds. CONTRIBUTORS Positions in emerging markets bonds and equities Exposure to US core and long maturity bonds Exposure to developed ex-us equities DETRACTORS Short exposure to US equities, used as a risk hedge Performance quoted represents past performance. Past performance 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 performance shown. For performance current to the most recent month end, visit pimco.com or call 888.87.PIMCO. Portfolio strategy Exposure to commodities Performance periods ended 30 Jun '17 3 mos. 6 mos. 1 yr. 3 yrs. 5 yrs. 10 yrs. SI Fund after fees 1.73 6.38 9.62-0.64 1.70 4.69 5.51 Benchmark* 3.09 9.34 17.90 9.61 14.63 7.18 8.53 Secondary Benchmark** 1.61 3.59 8.15 7.44 7.80 8.14 8.54 Emphasize Third Pillar asset classes that diversify fully-valued U.S. stocks and bonds, provide responsiveness to changes in inflation levels, and offer compelling risk and return potential relative to 60/40 balanced portfolios. The All Asset All Authority strategy is positioned to benefit from a continuation of the trends of rising inflation expectations, EM stabilization, and value outperforming momentum. Class: INST Inception date: 31 Oct '03 Fund assets (in millions): $8,102.16 Annual operating expense: 1.930% Net operating expense: 1.800% Asset allocation Market value Third Pillar 78.8% Emerging Markets Equities 19.9% Commodities and REITs 11.0% Emerging Markets Bond 20.4% Credit 18.7% Global Bonds 0.0% Inflation-Linked Bonds 3.0% Alternative Strategies 5.8% Second Pillar 17.6% U.S. Core Bonds 6.5% U.S. Long Maturity Bonds 7.3% Short-Term Bonds 3.8% First Pillar -8.4% U.S. Equities -25.1% Developed ex-u.s. Equities 16.7% Leverage versus Net Assets 1.41x *S&P 500 Index; **Consumer Price Index + 650 Basis Points As of 30 June 2017 1
Solid third pillar returns YTD, continuing 2016 s rebound Asset class returns YTD 2016 25% 21.3% 20% 18.4% 15% 10% 5% 9.3% 12.0% 5.0% 13.8% 1.0% 2.3% 2.6% 5.4% 1.3% 5.6% 3.7% 4.5% 14.7% 10.4% 9.9% 11.2% 7.3% 6.7% 1.7% 1.4% 11.8% 0% -5% -10% U.S. equities Small cap equities Developed ex. U.S. equities U.S. core fixed income Long U.S. Treasuries U.S. investment grade credit U.S. high yield EM local bonds EM equities Long U.S. TIPS REITs -5.3% Diversified commodities First Pillar Second Pillar Third Pillar Source: Barclays, BofA, JPMorgan, Bloomberg U.S. equities represented by S&P 500 Total Return Index; Small cap equities represented by Russell 2000 index; Developed ex. U.S. equities represented by MSCI Daily TR Gross EAFE USD Index; U.S. core fixed income represented by Bloomberg Barclays U.S. Aggregate Total Return Index; Long U.S. Treasuries represented by Bloomberg Barclays U.S. Aggregate Long Treasury Index; U.S. investment grade credit represented by Bloomberg Barclays U.S. Aggregate Credit Total Return Index; U.S. high yield represented by Bloomberg Barclays U.S. Corporate High Yield Index; Long U.S. TIPS represented by Bloomberg Barclays U.S. Treasury Inflation Notes: 10+ Year Index; EM local bonds represented by JPMorgan Government Bond Index- Emerging Markets Global Diversified Index (Unhedged); EM equities represented by MSCI EM Index; REITS represented by Dow Jones Select U.S. REITs Index.; Diversified commodities represented by DJ-UBS Commodity TR Index. As of 30 June 2017 2
All Asset All Authority posted strong performance YTD, continuing the 2016 rebound Strong performance in 2016-2017 was fueled by a reversal of three factors which represented headwinds from 2013-2015: First, rising inflation expectations amid a recovery in oil prices and reduced fears of a China slowdown. Second, EM stabilization given attractive valuations and strengthening EM currencies. Third, value outperforming momentum as fundamentals improved. Equities EM stocks continued to outpace developed peers, returning 6.3% in Q2 as fundamentals remained healthy in select economies. In Japan, record corporate profits and improving growth fundamentals buoyed stocks to a 6.1% return. U.S. equities returned 3.1% as investors digested political controversy and a Fed rate hike. US core bonds The U.S. yield curve flattened as the Fed raised rates and unveiled a detailed plan to gradually unwind its balance sheet. Falling inflation expectations contributed to longer-term yields falling. Meanwhile a perceived hawkish shift in tone from other major central banks spurred most developed market yields to rise even as rates (outside the front-end) actually fell in the U.S. Emerging market bonds and currencies Returns for EM local currencies were positive again in the second quarter, amid buoyant risk sentiment and robust investor flows into the asset class. Most EM currencies appreciated against the US dollar, remaining resilient in the face of lower commodity prices and the Fed's announcement that it plans to reduce the size of its $4.5 trillion balance sheet. 600 500 400 300 200 100 0-100 -200-300 All Asset All Authority Attribution Q2 2017 YTD 2017 28 269 Emerging Markets Equities -26-35 Commodities and REITs 184 105 50 48 Emerging Markets Bonds Credit 0 0 0 7 13 16 28 Global Bonds Inflation-Linked Bonds -2 Alternative Strategies US Core Bonds 52 67 US Long Maturity Bonds 1 3 Short-Term Bonds -54-137 US Equities, Net Performance quoted represents past performance. Past performance 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 performance shown. For performance current to the most recent month-end, visit www.pimco.com or call (888) 87-PIMCO. 85 180 Developed ex- US Equities As of 30 June 2017 3
U.S. GDP: 2.25% CPI: 2.00% RUSSIA GDP: 1.00% CPI: 4.25% U.K. GDP: 1.75% CPI: 2.75% MEXICO GDP: 2.50% CPI: 5.50% EUROZONE GDP: 2.00% HICP: 1.50% CHINA JAPAN GDP: 6.50% CPI: 2.00% GDP: 1.25% CPI: 0.50% -- BRAZIL GDP: 0.50% CPI: 4.00% INDIA GDP: 7.50% CPI: 4.25% -- % of world GDP Change relative to 2016 data PIMCO forecast ranges as of June 2017. Real GDP and inflation projections reflect the midpoints of PIMCO s forecast ranges for 2017. Forecasts GDP Inflation 2016 2017 2016 2017 Developed Markets 1.60 2.00 0.80 1.75 Emerging Markets 4.80 5.25 3.50 2.75 World 2.60 3.00 1.70 2.25 As of 30 June 2017 4
(%) Net assets (%) Net assets (%) Net assets (%) Net assets Strategic Positioning The Fund is emphasizing Third Pillar asset classes that diversify fully-valued U.S. stocks and bonds, provide responsiveness to changes in inflation levels, and offer compelling risk and return potential relative to traditional 60/40 balanced portfolios. Key strategies Position Equities Our U.S. equity allocation remains low as a mature U.S. bull market has led to rich valuations and reduced return expectations. Instead we are focusing on EM and developed ex-us equities given higher dividend yields and more attractive valuations. 30% 15% 0% -15% -30% 1Q17 2Q17-20.5% -25.1% U.S. Equities, Net Short 15.8% 16.7% 21.5% 19.9% Developed ex-u.s. Equities EM Equities Emerging markets EM assets (stocks and local debt) are attractive given depressed prices, elevated yields and stealth inflation hedging properties. We have exposure to EM currencies due their potential for exchange rate appreciation and their higher expected returns from attractive real yields. U.S. core and long maturity bonds Increased long maturity bond exposure following the post-election rise in yields, and given risk diversification potential of long duration assets. 30% 20% 10% 0% 10% 8% 6% 4% 2% 0% 1Q17 1Q17 2Q17 20.8% 21.5% 20.4% 19.9% EM Bonds 2Q17 6.2% 6.5% US Core Bonds EM Equities 9.5% 7.3% US Long Maturity Bonds Alternative strategies Rotated out of alternative strategies as a market neutral dry powder and into Developed Ex-U.S. equities and U.S. bonds. 15% 10% 5% 1Q17 2Q17 8.6% 5.8% 0% Alternative Strategies As of 30 June 2017 5
Percent of net assets (%) 130 Current allocation mix 120 110 100 9 13 19 11 18 26 22 20 Emerging markets equities 90 80 70 24 25 7 21 8 19 8 20 11 20 Commodities and REITs Emerging markets bonds 60 50 40 30 20 10 0 37 3 7 12 4 5 5-2 31 20 22 1 8 3 27 18 15 2 2 3 6 3 7 3 12 8 11 24 19 3 3 6 11 7 5 6 5 4 4 15 17 Credit Global bonds Inflation-linked bonds Alternative strategies U.S. Long maturity bonds U.S. Core bonds Short-term bonds Developed ex-u.s. equities -10-18 -17-18 -20-25 U.S. equities, net short -20-30 Dec '11 Dec '13 Dec '15 Jun '16 Dec '16 Jun '17 As of 30 June 2017 6
PIMCO All Asset All Authority Fund (net of fees performance) Performance periods ended: 30 Jun '17 Annual operating expense Net expense ratio NAV currency Class Inception date 3 mos. 6 mos. 1 yr. 3 yrs. 5 yrs. 10 yrs. SI Class A (at NAV) 2.380 2.250 USD 29 Jul '05 1.65 6.19 9.15-1.10 1.25 4.17 4.95 Class A (at MOP) 2.380 2.250 USD 29 Jul '05-3.94 0.35 3.15-2.95 0.11 3.77 4.66 Class C (at NAV) 3.130 3.000 USD 29 Jul '05 1.38 5.84 8.31-1.86 0.48 3.38 4.16 Class C (at MOP) 3.130 3.000 USD 29 Jul '05 0.38 4.84 7.31-1.86 0.48 3.38 4.16 Class D 2.330 2.200 USD 29 Jul '05 1.66 6.24 9.24-1.05 1.30 4.25 5.00 Class INST 1.930 1.800 USD 31 Oct '03 1.73 6.38 9.62-0.64 1.70 4.69 5.51 Class P 2.030 1.900 USD 10 Jul '08 1.71 6.46 9.65-0.74 1.60 4.59 5.37 S&P 500 Index 3.09 9.34 17.90 9.61 14.63 7.18 8.53 Consumer Price Index + 650 Basis Points 1.61 3.59 8.15 7.44 7.80 8.14 8.54 Performance quoted represents past performance. Past performance 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 performance shown. For performance current to the most recent month end, visit pimco.com or call 888.87.PIMCO. The maximum offering price (MOP) returns take into account the Class A maximum initial sales charge of 5.50%. The maximum offering price (MOP) returns take into account the contingent deferred sales charge (CDSC) for Class C shares, which for this fund is 1.00%. Certain classes may have an inception date which is different than the inception date of the fund. For the periods prior to the inception date of the oldest class shares, performance information is based on the performance of the oldest class shares, adjusted to reflect the actual distribution and/or service (12b-1) fees and other expenses paid by the other class shares. The net expense ratio reflects a contractual expense reduction agreement through 31 July 2017. As of 30 June 2017 7
This material is authorized for use only when preceded or accompanied by the current PIMCO funds prospectus or summary prospectus, if available. Past performance is not a guarantee or a reliable indicator of future results. The performance figures presented reflect the total return performance, after fees, and reflect changes in share price and reinvestment of dividend and capital gain distributions. All periods longer than one year are annualized. The minimum initial investment for institutional, administrative, and P class shares is $1 million; however, it may be modified for certain financial intermediaries who submit trades on behalf of eligible investors. 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. 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. 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. A word about risk: The fund invests in other PIMCO funds and performance is subject to underlying investment weightings which will vary. 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. Commodities contain heightened risk including market, political, regulatory, and natural conditions, and may not be suitable for all investors. 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. Investing in securities of smaller companies tends to be more volatile and less liquid than securities of larger companies. 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. Derivatives and commodity-linked 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. Commodity-linked derivative instruments may involve additional costs and risks such as changes in commodity index volatility or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Investing in derivatives could lose more than the amount invested. The cost of investing in the Fund will generally be higher than the cost of investing in a fund that invests directly in individual stocks and bonds. Diversification does not ensure against loss. S&P 500 Index is an unmanaged market index generally considered representative of the stock market as a whole. The Index focuses on the large-cap segment of the U.S. equities market. Portfolio allocations and other information in the charts in this Quarterly Investment Report are 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. All funds are separately monitored for compliance with prospectus and regulatory requirements. The attribution analysis contained herein is calculated by PIMCO and is intended to provide an estimate as to which elements of a strategy contributed (positively or negatively) to a portfolio's performance. Attribution analysis is not a precise measure and should not be relied upon for investment decisions. As of 30 June 2017 8
The following defined terms are used throughout the report. Emerging market short duration 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. Net 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 and derivatives offset. 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. Short duration derivatives and derivatives offsets include: 1) derivatives with an effective duration less than one year and where the country of risk is not an emerging market country (for example, Eurodollar futures) and 2) 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. Municipals/Other may include convertibles, preferred and yankee bonds. The SEC yield is an annualized yield based on the most recent 30 day period. The average distribution yield is the average of the last four quarterly distribution yields. The quarterly distribution yield is calculated by annualizing the quarter's distribution and dividing by the NAV on the last business day of the period. It does not include long- or short-term capital gains distributions. Average coupon is the average of the coupon payments of the underlying bonds within the portfolio. Average effective maturity is a weighted average of all the maturities of the bonds in a portfolio, computed by weighting each bond s effective maturity by the market value of the security. Duration is the measure of a bond's price sensitivity to interest rates and is expressed in years. Effective duration is the duration for a bond with an embedded option when the value is calculated to include the expected change in cash flow caused by the option as interest rates change. Information ratio is a ratio of portfolio returns above the returns of a benchmark to the volatility of those returns. Tracking error measures the dispersion or volatility of excess returns relative to a benchmark. Tracking error measures the dispersion or volatility of excess returns relative to a benchmark. Statements concerning financial market trends or portfolio strategies are based on current market conditions, which will fluctuate. There is no guarantee that these investment strategies will work under all market conditions or are suitable for all investors and each investor should evaluate their ability to invest for the long term, especially during periods of downturn in the market. Outlook and strategies are subject to change without notice. The performance figures presented reflect the performance for the institutional class unless otherwise noted. A note about Sector exposure: Other indicates swaps and securities issued in euros. A note about Emerging markets exposure by country of risk: country of risk reflects the country of incorporation of the ultimate parent company. PIMCO uses an internal model for calculating effective duration, which may result in a different value for the duration of an index compared to the duration calculated by the index provider or another third party. 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 and should not be considered as investment advice or a recommendation of any particular security, strategy or investment product. 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. PIMCO Investments LLC, distributor, 1633 Broadway, New York, NY, 10019 is a company of PIMCO 2017 PIMCO. 791_QIR-2Q17 As of 30 June 2017 9