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PIMCO EQUITY SERIES®

Annual Report

 

June 30, 2022

 

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF | MFEM | NYSE Arca

 

PIMCO RAFI Dynamic Multi-Factor International Equity ETF | MFDX | NYSE Arca

 

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | MFUS | NYSE Arca

 

PIMCO RAFI ESG U.S. ETF | RAFE | NYSE Arca

 

 

 


Table of Contents

Table of Contents

 

            Page  
     

Chairman’s Letter

 

     2  

Important Information About the Funds

 

     4  

Index Descriptions

 

     9  

Expense Examples

 

     17  

Financial Highlights

 

     18  

Statements of Assets and Liabilities

 

     20  

Statements of Operations

 

     21  

Statements of Changes in Net Assets

 

     22  

Notes to Financial Statements

 

     55  

Report of Independent Registered Public Accounting Firm

 

     71  

Glossary

 

     72  

Federal Income Tax Information

 

     73  

Distribution Information

 

     74  

Management of the Trust

 

     75  

Privacy Policy

 

     77  

Liquidity Risk Management Program

 

     78  
     
Fund    Fund
Summary
     Schedule of
Investments
 
     

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF

     9        23  

PIMCO RAFI Dynamic Multi-Factor International Equity ETF

     11        33  

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF

     13        46  

PIMCO RAFI ESG U.S. ETF

     15        53  

 

 

 

This material is authorized for use only when preceded or accompanied by the current PIMCO Equity Series prospectus. The Shareholder Reports for the other series of the PIMCO Equity Series are printed separately.


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Chairman’s Letter

 

Dear Shareholder,

 

We hope that you and your family are remaining safe and healthy during these challenging times. We continue to work tirelessly to navigate markets and manage the assets that you have entrusted with us. Following this letter is the PIMCO Equity Series Annual Report, which covers the 12-month reporting period ended June 30, 2022. On the subsequent pages, you will find specific details regarding investment results and a discussion of the factors that most affected performance during the reporting period.

 

For the 12-month reporting period ended June 30, 2022

 

The global economy continued to be affected by the COVID-19 pandemic (“COVID-19”) and its variants. Looking back, third quarter 2021 U.S. annualized gross domestic product (“GDP”) grew 2.3%. Economic activity accelerated during the fourth quarter, as GDP growth was 6.9%. However, the U.S. economy then experienced a setback, as first quarter 2022 GDP growth was -1.6%. Finally, the Commerce Department’s initial estimate for second quarter 2022 GDP growth — released after the reporting period ended — was -0.9%.

 

In the U.S., the Federal Reserve Board (the “Fed”) took several steps to tighten monetary policy to combat elevated inflation. The Fed reduced the monthly pace of its net asset purchases of Treasury securities and agency mortgage-backed securities in November 2021 and again in December. The Fed ended its monthly asset purchases in mid-March 2022. The Fed then raised the federal funds rate 0.25% to a range between 0.25% and 0.50% in March 2022, its first rate hike since 2018. The central bank then raised rates 0.50% in its May 2022 meeting and 0.75% in its June meeting. Finally, on July 27, 2022 — after the reporting period ended — the Fed raised rates 0.75%, to a range between 2.25% and 2.50%.

 

Economies outside the U.S. also continued to be impacted by the pandemic. The war in Ukraine and its repercussions also led to increased uncertainties around the world. In its April 2022 World Economic Outlook Update, the International Monetary Fund (“IMF”) said it expects U.S. gross domestic product (“GDP”) growth to be 3.7% in 2022, compared to 5.7% in 2021. Elsewhere, the IMF expects 2022 GDP to grow 2.8% in the eurozone (from 5.3% in 2021), 3.7% in the U.K. (from 7.4% in 2021) and 2.4% in Japan (from 1.6% in 2021).

 

Several other central banks began tightening monetary policy during the period. In December 2021, the Bank of England (the “BoE”) surprised the market and raised rates for the first time since COVID-19 began. The BoE again raised rates at its meetings in February, March, May and June 2022. The European Central Bank (the “ECB”) indicated that it intended to raise rates at its September 2022 meeting. Elsewhere, the Bank of Japan (the “BoJ”) maintained its loose monetary policy and appears likely to remain accommodative in the near future given the headwinds facing its economy.

 

During the reporting period, short- and long-term U.S. Treasury yields moved sharply higher. The yield on the benchmark 10-year U.S. Treasury note was 2.98% on June 30, 2022, versus 1.45% on June 30, 2021. The Bloomberg Global Treasury Index (USD Hedged), which tracks fixed-rate, local currency government debt of investment grade countries, including developed and emerging markets, returned -7.91%. Meanwhile, the Bloomberg Global Aggregate Credit Index (USD Hedged), a widely used index of global investment grade credit bonds, returned -12.75%. Riskier fixed income asset classes, including high yield corporate bonds and emerging market debt, were also weak. The ICE BofAML Developed Markets High Yield Constrained Index (USD Hedged), a widely used index of below-investment-grade bonds, returned -12.85%, whereas emerging market external debt, as represented by the JPMorgan Emerging Markets Bond Index (EMBI) Global (USD Hedged), returned -19.25%. Emerging market local bonds, as represented by the JPMorgan Government Bond Index-Emerging Markets Global Diversified Index (Unhedged), returned -19.28%.

 

Amid periods of volatility, global equities generally posted weak results during the reporting period as economic and geopolitical concerns weighed on investor sentiment. U.S. equities, as represented by the S&P 500 Index, returned -10.62%. Global equities, as represented by the MSCI World Index, returned -14.34%, while emerging market equities, as measured by the MSCI Emerging Markets Index, returned -25.28%. Meanwhile, Japanese equities, as represented by the Nikkei 225 Index (in JPY), returned -8.33% and European equities, as represented by the MSCI Europe Index (in EUR), returned -6.54%.

 

       
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Commodity prices were volatile and generated mixed returns. Brent crude oil, which was approximately $75 a barrel at the start of the reporting period, rose to roughly $112 a barrel at the end of June 2022. We believe the oil-price increase was driven by supply shortages and stronger demand due to economic re-openings as COVID-19 restrictions eased. Repercussions from the war in Ukraine also contributed to higher oil prices. In terms of other commodities prices, copper declined, whereas gold rose during the period.

 

Finally, there were also periods of volatility in the foreign exchange markets. We believe this was due to several factors, including economic growth expectations and changing central bank monetary policies, as well as rising inflation, COVID-19 variants and geopolitical events. The U.S. dollar strengthened against several major currencies. For example, during the reporting period, the U.S. dollar returned 11.59%, 11.95% and 18.13% versus the euro, the British pound and the Japanese yen, respectively.

 

Thank you for the assets you have placed with us. We deeply value your trust, and we will continue to work diligently to meet your broad investment needs. For any questions regarding the funds, please contact your account manager or financial adviser, or call one of our shareholder associates at (888) 87-PIMCO. We also invite you to visit our website at www.pimco.com to learn more about our global viewpoints.

 

LOGO   

Sincerely,

 

LOGO

 

Peter G. Strelow

Chairman of the Board
PIMCO Equity Series

 

 

 

 

Past performance is no guarantee of future results. Unless otherwise noted, index returns reflect the reinvestment of income distributions and capital gains, if any, but do not reflect fees, brokerage commissions or other expenses of investing. It is not possible to invest directly in an unmanaged index.

 

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Important Information About the Funds              

 

PIMCO Equity Series (the “Trust”) is an open-end management investment company that includes PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF, PIMCO RAFI Dynamic Multi-Factor International Equity ETF, PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF and PIMCO RAFI ESG U.S. ETF, which are exchange-traded funds (“ETFs”) that seek to provide total return that closely corresponds, before fees and expenses, to the total return of a specified index (each, a “Fund” and collectively, the “Funds”). Each Fund employs a representative sampling strategy in seeking to achieve its investment objective. In using this strategy, PIMCO seeks to invest in a combination of instruments such that the portfolio effectively provides exposure to the underlying index. A Fund may not track its underlying index with the same degree of accuracy as a fund that replicates the composition and weighting of the underlying index. Shares of the Funds will be listed and traded at market prices on NYSE Arca, Inc. (“NYSE Arca”) and other secondary markets. The market price for each Fund’s shares may be different from the Fund’s net asset value (“NAV”). Each Fund issues and redeems shares at its NAV only in blocks of a specified number of shares (“Creation Units”). Only certain large institutional investors may purchase or redeem Creation Units directly with the Funds at NAV (“Authorized Participants”). These transactions are in exchange for certain securities similar to a Fund’s portfolio and/or cash. Except when aggregated in Creation Units, shares of a Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares from the Funds at NAV.

 

We believe that equity funds have an important role to play in a well-diversified investment portfolio. It is important to note, however, that equity funds are subject to notable risks. Among other things, equity and equity-related securities may decline in value due to both real and perceived general market, economic, and industry conditions.

 

The values of equity securities, such as common stocks and preferred securities, have historically risen and fallen in periodic cycles and may decline due to general market conditions, which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. Equity securities may also decline due to factors that affect a particular industry or industries, such as labor shortages, increased production costs and competitive conditions within an industry. In addition, the value of an equity security may decline for a number of reasons that directly relate to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods or services, as well as the historical and prospective earnings of the issuer and the value of its assets. Different types of equity securities may react differently to these developments and a change in the financial condition of a single issuer may affect securities markets as a whole.

During a general downturn in the securities markets, multiple asset classes, including equity securities, may decline in value simultaneously. The market price of equity securities owned by a Fund may go up or down, sometimes rapidly or unpredictably. Equity securities generally have greater price volatility than fixed income securities and common stocks generally have the greatest appreciation and depreciation potential of all equity securities.

 

The Funds may be subject to various risks as described in each Fund’s prospectus and in the Principal and Other Risks in the Notes to Financial Statements.

 

Classifications of the Funds’ portfolio holdings in this report are made according to financial reporting standards. The classification of a particular portfolio holding as shown in the Allocation Breakdown and Schedule of Investments sections of this report may differ from the classification used for the Funds’ compliance calculations, including those used in the Funds’ prospectus, investment objectives, regulatory, and other investment limitations and policies, which may be based on different asset class, sector or geographical classifications. Each Fund is separately monitored for compliance with respect to prospectus and regulatory requirements.

 

The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security’s country of incorporation may be different from its country of economic exposure.

 

Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations.

 

The United States’ enforcement of restrictions on U.S. investments in certain issuers and tariffs on goods from other countries, each with a focus on China, has contributed to international trade tensions and may impact portfolio securities.

 

A Fund may have significant exposure to issuers in the United Kingdom. The United Kingdom’s withdrawal from the European Union may impact Fund returns. The withdrawal may cause substantial volatility in foreign exchange markets, lead to weakness in the exchange rate of the British pound, result in a sustained period of

 

       
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market uncertainty, and destabilize some or all of the other European Union member countries and/or the Eurozone.

 

A Fund may invest in certain instruments that rely in some fashion upon the London Interbank Offered Rate (“LIBOR”). LIBOR is an average interest rate, determined by the ICE Benchmark Administration, that banks charge one another for the use of short-term money. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has announced plans to ultimately phase out the use of LIBOR. There remains uncertainty regarding future utilization of LIBOR and the nature of any replacement rate (e.g., the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR and measures the cost of overnight borrowings through repurchase agreement transactions collateralized with U.S. Treasury securities). Any potential effects of the transition away from LIBOR on a Fund or on certain instruments in which a Fund invests can be difficult to ascertain, and they may vary depending on a variety of factors. The transition may also result in a reduction in the value of certain instruments held by a Fund or a reduction in the effectiveness of related Fund transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses to a Fund.

 

A Fund may invest in securities and instruments that are economically tied to Russia. Investments in Russia are subject to various risks such as, but not limited to political, economic, legal, market and currency risks. The risks include uncertain political and economic policies, short-term market volatility, poor accounting standards, corruption and crime, an inadequate regulatory system, regional armed conflict and unpredictable taxation. Investments in Russia are particularly subject to the risk that further economic sanctions and other similar measures may be imposed by the United States and/or other countries. Other similar measures may include, but are not limited to, banning Russia or certain persons or entities associated with Russia from global payment systems that facilitate cross-border payments, restricting the settlement of securities transactions by certain investors, and freezing Russian assets or those of particular countries, entities or persons with ties to Russia. Such sanctions and other similar measures — which may impact companies in many sectors, including energy, financial services and defense, among others — may negatively impact a Fund’s performance and/or ability to achieve its investment objective. For example, certain investments may be prohibited and/or existing investments may become illiquid (e.g., in the event that transacting in certain existing investments is prohibited, securities markets close, or market participants cease transacting in certain investments in light of geopolitical events, sanctions or related considerations), which could render any such securities held by a Fund unmarketable for an indefinite period of time and/or cause the Fund to sell other portfolio holdings at a disadvantageous time or price in order to meet shareholder redemptions. In addition, such sanctions or other

similar measures, and the Russian government’s response, could result in a downgrade of Russia’s credit rating or of securities of issuers located in or economically tied to Russia, devaluation of Russia’s currency and/or increased volatility with respect to Russian securities and the ruble. Moreover, disruptions caused by Russian military action or other actions (including cyberattacks, espionage or other asymmetric measures) or resulting actual or threatened responses to such activity may impact Russia’s economy and Russian issuers of securities in which a Fund invests. Such resulting actual or threatened responses may include, but are not limited to, purchasing and financing restrictions, withdrawal of financial intermediaries, boycotts or changes in consumer or purchaser preferences, sanctions, tariffs or cyberattacks on the Russian government, Russian companies or Russian individuals, including politicians. The Russian securities market is characterized by limited volume of trading, resulting in difficulty in obtaining accurate prices and trading. These issues can be magnified as a result of sanctions and other similar measures that may be imposed and the Russian government’s response. The Russian securities market, as compared to U.S. markets, has significant price volatility, less liquidity, a smaller market capitalization and a smaller number of traded securities. There may be little publicly available information about issuers. Settlement, clearing and registration of securities transactions are subject to risks. Prior to the implementation of the National Settlement Depository (“NSD”), a recognized central securities depository, there was no central registration system for equity share registration in Russia, and registration was carried out by either the issuers themselves or by registrars located throughout Russia. Title to Russian equities held through the NSD is now based on the records of the NSD and not the registrars. Although the implementation of the NSD has enhanced the efficiency and transparency of the Russian securities market, issues resulting in loss can still occur. Ownership of securities issued by Russian companies that are not held through depositories such as the NSD may be recorded by companies themselves and by registrars. In such cases, the risk is increased that a Fund could lose ownership rights through fraud, negligence or oversight. While applicable Russian regulations impose liability on registrars for losses resulting from their errors, it may be difficult for a Fund to enforce any rights it may have against the registrar or issuer of the securities in the event of loss of share registration. In addition, issuers and registrars are still prominent in the validation and approval of documentation requirements for corporate action processing in Russia. Because the documentation requirements and approval criteria vary between registrars and issuers, there remain unclear and inconsistent market standards in the Russian market with respect to the completion and submission of corporate action elections. To the extent that a Fund suffers a loss relating to title or corporate actions relating to its portfolio securities, it may be difficult for the Fund to enforce its rights or otherwise remedy the loss. Russian securities laws may not recognize foreign nominee accounts held with a custodian bank, and therefore the custodian may be considered the ultimate owner of

 

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Important Information About the Funds   (Cont.)  

 

securities they hold for their clients. Adverse currency exchange rates are a risk and there may be a lack of available currency hedging instruments. Investments in Russia may be subject to the risk of nationalization or expropriation of assets. Oil, natural gas, metals, and timber account for a significant portion of Russia’s exports, leaving the country vulnerable to swings in world prices, and to sanctions or other actions that may be directed at the Russian economy as a whole or at Russian oil, natural gas, metals or timber industries.

 

Russia has attempted, and may attempt in the future, to assert its influence in the region through economic or military measures. For example, in February 2022, Russia launched a large-scale invasion of Ukraine. Such measures may have an adverse effect on the Russian economy, which may, in turn, negatively impact a Fund.

 

Foreign investors also face a high degree of currency risk when investing in Russian securities and a lack of available currency hedging instruments. In addition, there is the risk that the Russian government may impose capital controls on foreign portfolio investments in the event of extreme financial or political crisis. Such capital controls may prevent the sale of a portfolio of foreign assets and the repatriation of investment income and capital.

 

Engaging in a responsible investment strategy, which may select or exclude securities of certain issuers for reasons other than performance, carries the risk that a Fund may underperform funds that do not utilize a responsible investment strategy. The application of this strategy may affect a Fund’s exposure to certain sectors or types of investments, which could negatively impact the Fund’s performance. Responsible investing is qualitative and subjective by nature, and there is no guarantee that the criteria utilized or any judgment exercised in pursuing a responsible investment strategy will reflect the beliefs or values of any particular investor. In evaluating a company, the information and data obtained through voluntary or third-party reporting may be incomplete, inaccurate or unavailable, which could cause an incorrect assessment of a company’s business practices with respect to the environment, social responsibility and corporate governance (“ESG practices”). Socially responsible norms differ by region, and a company’s ESG practices or the assessment of a company’s ESG practices may change over time.

 

On each individual Fund Summary page in this Shareholder Report, the Average Annual Total Return table and the Cumulative Returns chart measure performance assuming that any dividend and capital gain distributions were reinvested. Returns do not reflect the deduction of taxes that a shareholder would pay on: (i) Fund distributions; or (ii) the sale of Fund shares. Each Fund’s performance is measured against the performance of at least one broad-based securities market index (“benchmark index”). A Fund’s past performance, before and after taxes,

is not necessarily an indication of how the Fund will perform in the future. 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. Historical performance for a Fund may have been positively impacted by fee waivers or expense limitations in place during some or all of the periods shown, if applicable. Future performance (including total return or yield) and distributions may be negatively impacted by the expiration or reduction of any such fee waivers or expense limitations.

 

The following table discloses the inception dates of each Fund along with each Fund’s diversification status as of period end:

 

Fund Name         Fund
Inception
    Diversification
Status
 

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF

      08/31/17       Diversified  

PIMCO RAFI Dynamic Multi-Factor International Equity ETF

      08/31/17       Diversified  

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF

      08/31/17       Diversified  

PIMCO RAFI ESG U.S. ETF

      12/18/19       Diversified  

 

An investment in a Fund is not a bank deposit and is not guaranteed or insured by the Federal Deposit Insurance Corporation or any other government agency. It is possible to lose money on investments in the Funds.

 

The Trustees are responsible generally for overseeing the management of the Trust. The Trustees authorize the Trust to enter into service

agreements with the Adviser, the Distributor, the Administrator and other service providers in order to provide, and in some cases authorize service providers to procure through other parties, necessary or desirable services on behalf of the Trust and the Funds. Shareholders are not parties to or third-party beneficiaries of such service agreements. Neither a Fund’s prospectus nor a Fund’s summary prospectus, the Trust’s Statement of Additional Information (“SAI”), any contracts filed as exhibits to the Trust’s registration statement, nor any other communications, disclosure documents or regulatory filings (including this report) from or on behalf of the Trust or a Fund creates a contract between or among any shareholder of a Fund, on the one hand, and the Trust, a Fund, a service provider to the Trust or a Fund, and/or the Trustees or officers of the Trust, on the other hand. The Trustees (or the Trust and its officers, service providers or other delegates acting under authority of the Trustees) may amend the most recent prospectus or use a new prospectus, summary prospectus or SAI with respect to a Fund or the Trust, and/or amend, file and/or issue any other communications, disclosure documents or regulatory filings, and

 

       
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may amend or enter into any contracts to which the Trust or a Fund is a party, and interpret the investment objective(s), policies, restrictions and contractual provisions applicable to any Fund, without shareholder input or approval, except in circumstances in which shareholder approval is specifically required by law (such as changes to fundamental investment policies) or where a shareholder approval requirement is specifically disclosed in the Trust’s then-current prospectus or SAI.

 

On each business day, before commencement of trading on NYSE Arca, each Fund will disclose on www.pimcoetfs.com the identities and quantities of the Fund’s portfolio holdings. The frequency at which the daily market prices were at a discount or premium to each Fund’s NAV is disclosed on www.pimcoetfs.com. Please see “Disclosure of Portfolio Holdings” in the SAI for information about the availability of the complete schedule of each Fund’s holdings. Fund fact sheets provide additional information regarding a Fund and may be requested by calling (888) 400-4ETF and are available on the Fund’s website at www.pimcoetfs.com.

 

PIMCO has adopted written proxy voting policies and procedures (“Proxy Policy”) as required by Rule 206(4)-6 under the Investment Advisers Act of 1940, as amended. The Proxy Policy has been adopted by the Trust as the policies and procedures that PIMCO will use when voting proxies on behalf of a Fund. A description of the policies and procedures that PIMCO uses to vote proxies relating to portfolio securities of a Fund, and information about how the Fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30th, are available without charge, upon request, by calling the Trust at (888) 400-4ETF, on the Fund’s website at www.pimcoetfs.com, and on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.

 

The Funds file portfolio holdings information with the SEC on Form N-PORT within 60 days of the end of each fiscal quarter. The Funds’ complete schedule of securities holdings as of the end of each fiscal quarter will be made available to the public on the SEC’s website at www.sec.gov and on PIMCO’s website at www.pimcoetfs.com, and will be made available, upon request, by calling PIMCO at (888) 400-4ETF.

 

SEC rules allow the Funds to fulfill their obligation to deliver shareholder reports to investors by providing access to such reports online free of charge and by mailing a notice that the report is electronically available. Investors may elect to receive all future reports in paper free of charge by contacting their financial intermediary. Any election to receive reports in paper will apply to all funds held in the investor’s account at the financial intermediary.

 

In August 2020, the SEC proposed changes to the mutual fund and ETF shareholder report and registration statement disclosure requirements and the registered fund advertising rules, which, if adopted, will change the disclosures provided to shareholders.

In October 2020, the SEC adopted a rule related to the use of derivatives, short sales, reverse repurchase agreements and certain other transactions by registered investment companies that rescinds and withdraws the guidance of the SEC and its staff regarding asset segregation and cover transactions that was applicable to the Funds as of the date of this report. Subject to certain exceptions, the rule requires funds that trade derivatives and other transactions that create future payment or delivery obligations to comply with a value-at-risk leverage limit and a certain derivatives risk management program and reporting requirements. These requirements may limit the ability of the Funds to use derivatives and reverse repurchase agreements and similar financing transactions as part of their investment strategies and may increase the cost of the Funds’ investments and cost of doing business, which could adversely affect investors. The rule went into effect on February 19, 2021. The compliance date for the new rule and related reporting requirements is August 19, 2022.

 

In October 2020, the SEC adopted a rule regarding the ability of a fund to invest in other funds. The rule allows a fund to acquire shares of another fund in excess of certain limitations currently imposed by the Investment Company Act of 1940 (the “Act”) without obtaining individual exemptive relief from the SEC, subject to certain conditions. The rule also includes the rescission of certain exemptive relief from the SEC and guidance from the SEC staff for funds to invest in other funds. The effective date for the rule was January 19, 2021, and the compliance date for the rule was January 19, 2022.

 

In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value as well as for the performance of fair value determinations, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of the definition of “value” under the Act, and the SEC noted that this definition will apply in all contexts under the Act. The effective date for the rule was March 8, 2021. The compliance date for the new rule and the associated recordkeeping requirements is September 8, 2022.

 

In May 2022, the SEC proposed amendments to a current rule governing fund naming conventions. In general, the current rule requires funds with certain types of names to adopt a policy to invest at least 80% of their assets in the type of investment suggested by the name. The proposed amendments would expand the scope of the current rule in a number of ways that would result in an expansion of the types of fund names that would require the fund to adopt an 80% investment policy under the rule. Additionally, the proposed amendments would modify the circumstances under which a fund may deviate from its 80% investment policy and address the use and valuation of derivatives instruments for purposes of the rule. The proposal’s impact on the Funds will not be known unless and until any final rulemaking is adopted.

 

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Important Information About the Funds   (Cont.)  

 

In May 2022, the SEC proposed a framework that would require certain registered funds (such as the Funds) to disclose their environmental, social, and governance (“ESG”) investing practices. Among other things, the proposed requirements would mandate that funds meeting three pre-defined classifications (i.e., integrated, ESG focused and/or impact funds) provide prospectus and shareholder report disclosure related to the ESG factors, criteria and processes used in managing the fund. The proposal’s impact on the Funds will not be known unless and until any final rulemaking is adopted.

 

       
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PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF

 

Cumulative Returns Through June 30, 2022

 

LOGO

$10,000 invested at the end of the month when the Fund commenced operations.

 

Investment Objective and Strategy Overview

 

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF seeks to track the investment results of the RAFI Dynamic Multi-Factor Emerging Markets Index (the “Underlying Index”) by investing under normal circumstances, at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in cash, securities and instruments that are not Component Securities, but which the Fund’s sub-adviser, Parametric Portfolio Associates LLC, believes will help the Fund track its Underlying Index. The Underlying Index is designed to provide long-only exposure to multiple equity factors that seek to produce attractive long-term returns, and which may lower risk compared to less diversified strategies. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.

 

Average Annual Total Return for the period ended June 30, 2022  
        1 Year     Fund Inception
(08/31/17)
 
LOGO   PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (Based on Net Asset Value)     (23.00)%       0.67%  

LOGO

  PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF (At Market Price)(1)(2)     (22.35)%       0.76%  
LOGO   RAFI Dynamic Multi-Factor Emerging Markets Index±     (21.86)%       1.38%  
LOGO   MSCI Emerging Markets Index±±     (25.28)%       0.58%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

 

(2) The Fund was seeded on August 31, 2017, but was not listed for trading until September 6, 2017. Accordingly, there is no Market Price information for August 31, 2017 through September 5, 2017.

 

± The RAFI Dynamic Multi-Factor EM index strategy takes time-varying exposures to four return factors; value, low volatility, quality, and momentum. The index uses recent and historical metrics to tilt toward factor portfolios which are particularly attractive on a forward looking basis. It is not possible to invest directly in the index.

 

±± The MSCI Emerging Markets 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 an unmanaged index.

 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. 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. Performance data current to the most recent month-end is available at www.pimcoetfs.com or (888) 400-4ETF.

 

The Fund’s total annual operating expense ratio in effect as of period end was 0.52%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.

 

         ANNUAL REPORT     |     JUNE 30, 2022     9
    


Table of Contents

 

  Ticker symbol - MFEM

 

Top 10 Holdings as of June 30, 2022§

 

Infosys Ltd.

       3.2%  

Bank of China Ltd. ‘H’

       1.7%  

Taiwan Semiconductor Manufacturing Co. Ltd.

       1.4%  

Tata Consultancy Services Ltd.

       1.2%  

Hyundai Motor Co.

       1.2%  

America Movil SAB de CV

       1.2%  

Kia Corp.

       1.2%  

ITC Ltd.

       1.0%  

Vale SA

       1.0%  

China Petroleum & Chemical Corp. ‘H’

       1.0%  

 

Geographic Breakdown as of June 30, 2022**

 

India

       16.3%  

Taiwan

       16.1%  

China

       15.4%  

South Korea

       13.6%  

Thailand

       5.7%  

Brazil

       5.1%  

South Africa

       4.2%  

Hong Kong

       3.6%  

Saudi Arabia

       3.6%  

Mexico

       3.3%  

Indonesia

       2.2%  

Turkey

       2.2%  

United Kingdom

       2.0%  

Short-Term Instruments

       1.8%  

Malaysia

       1.8%  

Chile

       1.0%  

Other

       2.1%  

 

% of Investments, at value.

 

§ Top 10 Holdings and % of Investments exclude securities sold short, financial derivative instruments and short-term instruments, if any.

 

** Geographic Breakdown and % of Investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Underweight exposure to, and security selection in, the information technology sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the sector underperformed the secondary benchmark index and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to, and security selection in, the health care sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the sector underperformed the secondary benchmark index and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to, and security selection in, the consumer discretionary sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the sector underperformed the secondary benchmark index and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Security selection in the energy sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the Fund’s holdings underperformed the secondary benchmark index.

 

»   Underweight exposure to the financials sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the sector outperformed the secondary benchmark index.

 

»   Security selection in the materials sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI Emerging Markets Index, as the Fund’s holdings underperformed the secondary benchmark index.

 

       
10   PIMCO EQUITY SERIES            


Table of Contents

PIMCO RAFI Dynamic Multi-Factor International Equity ETF

 

Cumulative Returns Through June 30, 2022

 

LOGO

$10,000 invested at the end of the month when the Fund commenced operations.

 

Investment Objective and Strategy Overview

 

PIMCO RAFI Dynamic Multi-Factor International Equity ETF seeks to track the investment results of the RAFI Dynamic Multi-Factor Developed Ex-U.S. Index (the “Underlying Index”) by investing under normal circumstances at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in cash, securities and instruments that are not Component Securities, but which the Fund’s sub-adviser, Parametric Portfolio Associates LLC, believes will help the Fund track its Underlying Index. The Underlying Index is designed to provide long-only exposure to multiple equity factors that seek to produce attractive long-term returns, and which may lower risk compared to less diversified strategies. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.

 

Average Annual Total Return for the period ended June 30, 2022            
        1 Year     Fund Inception
(08/31/17)
 

LOGO

  PIMCO RAFI Dynamic Multi-Factor International Equity ETF (Based on Net Asset Value)     (12.60)%       2.56%  

LOGO

  PIMCO RAFI Dynamic Multi-Factor International Equity ETF (At Market Price)(1)(2)     (12.60)%       2.50%  

LOGO

  RAFI Dynamic Multi-Factor Developed Ex-U.S. Index±     (12.92)%       2.86%  

LOGO

  MSCI EAFE Index±     (17.77)%       1.69%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

 

(2) The Fund was seeded on August 31, 2017, but was not listed for trading until September 6, 2017. Accordingly, there is no Market Price information for August 31, 2017 through September 5, 2017.

 

± The RAFI Dynamic Multi-Factor Dev. ex-US index takes time-varying exposures to five return factors; value, low volatility, quality, momentum and size. The index uses recent and historical metrics to tilt toward factor portfolios which are particularly attractive on a forward looking basis. It is not possible to invest directly in the index.

 

±± MSCI EAFE Index is an unmanaged index designed to represent the performance of large and mid-cap securities across 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada.

 

It is not possible to invest directly in an unmanaged index.

 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. 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. Performance data current to the most recent month-end is available at www.pimcoetfs.com or (888) 400-4ETF.

 

The Fund’s total annual operating expense ratio in effect as of period end was 0.39%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.

 

         ANNUAL REPORT     |     JUNE 30, 2022     11
    


Table of Contents

 

  Ticker symbol - MFDX

 

Top 10 Holdings as of June 30, 2022§

 

AstraZeneca PLC

       1.6%  

BP PLC

       1.2%  

Novo Nordisk AS ‘B’

       1.2%  

Nestle SA

       1.1%  

GSK PLC

       1.0%  

Glencore PLC

       1.0%  

Vodafone Group PLC

       0.8%  

Equinor ASA

       0.8%  

Koninklijke Ahold Delhaize NV

       0.8%  

Telefonica SA

       0.8%  

 

Geographic Breakdown as of June 30, 2022**

 

Japan

       26.4%  

United Kingdom

       14.0%  

Canada

       8.1%  

France

       7.3%  

Switzerland

       6.9%  

Germany

       5.2%  

Australia

       4.3%  

Spain

       4.2%  

Netherlands

       3.8%  

Short-Term Instruments

       3.0%  

Italy

       2.5%  

Denmark

       2.3%  

Sweden

       1.9%  

Hong Kong

       1.7%  

Norway

       1.7%  

Singapore

       1.5%  

Ireland

       1.1%  

Finland

       1.1%  

Other

       3.0%  

 

% of Investments, at value.

 

§ Top 10 Holdings and % of Investments exclude securities sold short, financial derivative instruments and short-term instruments, if any.

 

** Geographic Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Overweight exposure to, and security selection in, the energy sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the sector and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Security selection in the industrials sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the Fund’s holdings outperformed the secondary benchmark index.

 

»   Security selection in the communication services sector contributed to relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to the health care sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the sector outperformed the secondary benchmark index.

 

»   Security selection in the real estate sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the Fund’s holdings underperformed the secondary benchmark index.

 

»   Overweight exposure to, and security selection in, the consumer discretionary sector detracted from relative returns compared to the Fund’s secondary benchmark, the MSCI EAFE Index, as the sector and the Fund’s holdings underperformed the secondary benchmark index.

 

       
12   PIMCO EQUITY SERIES            


Table of Contents

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF

 

Cumulative Returns Through June 30, 2022

 

LOGO

$10,000 invested at the end of the month when the Fund commenced operations.

 

Investment Objective and Strategy Overview

 

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF seeks to track the investment results of the RAFI Dynamic Multi-Factor U.S. Index (the “Underlying Index”) by investing under normal circumstances, at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in cash, securities and instruments that are not Component Securities, but which the Fund’s sub-adviser, Parametric Portfolio Associates LLC, believes will help the Fund track its Underlying Index. The Underlying Index is designed to provide long-only exposure to multiple equity factors that seek to produce attractive long-term returns, and which may lower risk compared to less diversified strategies. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.

 

Average Annual Total Return for the period ended June 30, 2022  
        1 Year     Fund Inception
(08/31/17)
 

LOGO

  PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (Based on Net Asset Value)     (5.66)%       9.98%  

LOGO

  PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (At Market Price)(1)(2)     (6.10)%       9.93%  

LOGO

  RAFI Dynamic Multi-Factor U.S. Index±     (5.40)%       10.38%  

LOGO

  S&P 500 Index±±     (10.62)%       11.18%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

 

(2) The Fund was seeded on August 31, 2017, but was not listed for trading until September 6, 2017. Accordingly, there is no Market Price information for August 31, 2017 through September 5, 2017.

 

± The RAFI Dynamic Multi-Factor U.S. index takes time-varying exposures to five return factors; value, low volatility, quality, momentum and size. The index uses recent and historical metrics to tilt toward factor portfolios which are particularly attractive on a forward looking basis.

 

±± 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.

 

It is not possible to invest directly in an unmanaged index.

 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. 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. Performance data current to the most recent month-end is available at www.pimcoetfs.com or (888) 400-4ETF.

 

The Fund’s total annual operating expense ratio in effect as of period end was 0.30%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.

 

         ANNUAL REPORT     |     JUNE 30, 2022     13
    


Table of Contents

 

  Ticker symbol - MFUS

 

Top 10 Holdings as of June 30, 2022§

 

Exxon Mobil Corp.

       2.8%  

Chevron Corp.

       2.5%  

Pfizer, Inc.

       2.3%  

Walmart, Inc.

       1.9%  

Johnson & Johnson

       1.9%  

Procter & Gamble Co.

       1.8%  

Merck & Co., Inc.

       1.8%  

PepsiCo, Inc.

       1.4%  

Coca-Cola Co.

       1.3%  

International Business Machines Corp.

       1.3%  

 

Sector Breakdown as of June 30, 2022**

 

Health Care

       17.8%  

Consumer Staples

       15.8%  

Energy

       11.9%  

Information Technology

       11.6%  

Financials

       10.5%  

Consumer Discretionary

       10.1%  

Industrials

       7.5%  

Communication Services

       5.4%  

Real Estate

       3.3%  

Materials

       3.2%  

Utilities

       2.1%  

Short-Term Instruments

       0.8%  

 

% of Investments, at value.

 

§ Top 10 Holdings and % of Investments exclude securities sold short, financial derivative instruments and short-term instruments, if any.

 

** Sector Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Overweight exposure to, and security selection in, the energy sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to the communication services sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector underperformed the secondary benchmark index.

 

»   Overweight exposure to, and security selection in, the health care sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Overweight exposure to, and security selection in, the consumer discretionary sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings underperformed the secondary benchmark index.

 

»   Underweight exposure to the utilities sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector outperformed the secondary benchmark index.

 

»   Security selection in the financials sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the Fund’s holdings underperformed the secondary benchmark index.

 

       
14   PIMCO EQUITY SERIES            


Table of Contents

PIMCO RAFI ESG U.S. ETF

 

Cumulative Returns Through June 30, 2022

 

LOGO

$10,000 invested at the end of the month when the Fund commenced operations.

 

Investment Objective and Strategy Overview

 

PIMCO RAFI ESG U.S. ETF seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the RAFI ESG US Index (the “Underlying Index”) by investing under normal circumstances, at least 80% of its total assets (exclusive of collateral held from securities lending) in the component securities (“Component Securities”) of the Underlying Index. The Fund may invest the remainder of its assets in cash, securities and instruments that are not Component Securities, but which the Fund’s sub-adviser, Parametric Portfolio Associates LLC (“Sub-Adviser”), believes will help the Fund track its Underlying Index. The Underlying Index is a long-only, smart beta index that seeks to achieve the dual objectives of social responsibility and long-horizon outperformance of the broad market. Fund strategies may change from time to time. Please refer to the Fund’s current prospectus for more information regarding the Fund’s strategy.

 

Average Annual Total Return for the period ended June 30, 2022  
        1 Year     Fund Inception
(12/18/19)
 

LOGO

  PIMCO RAFI ESG U.S. ETF (Based on Net Asset Value)     (8.73)%       5.99%  

LOGO

  PIMCO RAFI ESG U.S. ETF (At Market Price)(1)(2)     (9.05)%       5.72%  

LOGO

  RAFI ESG US Index±     (8.52)%       6.33%  

LOGO

  S&P 500 Index±±     (10.62)%       8.70%  

 

All Fund returns are net of fees and expenses and include applicable fee waivers and/or expense limitations. Absent any applicable fee waivers and/or expense limitations, performance would have been lower and there can be no assurance that any such waivers or limitations will continue in the future.

 

Market Returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions have been reinvested in the Fund at market price and NAV, respectively.

 

(1) The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated.

 

(2) The Fund was seeded on December 18, 2019, but was not listed for trading until December 19, 2019. Accordingly, there is no Market Price information for December 18, 2019.

 

± The RAFI ESG US Index is a long-only, smart beta index that seeks to achieve the dual objectives of social responsibility and long-horizon outperformance of the broad market. The Index is constructed by RAFI Indices, LLC (the “Index Provider”) using a rules-based approach within publicly traded U.S. equities to create an integrated ESG strategy which overweights companies that rate well across various ESG (Environmental, Social, and Governance) themes and excludes companies with a major involvement in industries such as tobacco, gaming, weapons and fossil fuels. The strategy supplements traditional ESG metrics with metrics linked to long-term value creation, specifically financial discipline and diversity, for improved return potential. It is not possible to invest directly in the index.

 

±± 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.

 

It is not possible to invest directly in an unmanaged index.

 

Performance quoted represents past performance. Past performance is not a guarantee or a reliable indicator of future results. Current performance may be lower or higher than performance shown. Investment return and the principal value of an investment will fluctuate. Shares may be worth more or less than original cost when redeemed by authorized participants. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares. 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. Performance data current to the most recent month-end is available at www.pimcoetfs.com or (888) 400-4ETF.

 

The Fund’s total annual operating expense ratio in effect as of period end was 0.30%. Details regarding any changes to the Fund’s operating expenses, subsequent to period end, can be found in the Fund’s current prospectus, as supplemented.

 

         ANNUAL REPORT     |     JUNE 30, 2022     15
    


Table of Contents

 

  Ticker symbol - RAFE

 

Top 10 Holdings as of June 30, 2022§

 

Apple, Inc.

       5.1%  

Microsoft Corp.

       5.0%  

Johnson & Johnson

       3.8%  

AT&T, Inc.

       3.6%  

Intel Corp.

       3.1%  

Verizon Communications, Inc.

       2.9%  

JPMorgan Chase & Co.

       2.6%  

UnitedHealth Group, Inc.

       2.4%  

Wells Fargo & Co.

       2.4%  

Procter & Gamble Co.

       2.4%  

 

Sector Breakdown as of June 30, 2022**

 

Information Technology

       27.7%  

Health Care

       22.7%  

Financials

       15.3%  

Communication Services

       9.2%  

Consumer Staples

       9.0%  

Consumer Discretionary

       6.7%  

Industrials

       4.2%  

Materials

       2.9%  

Real Estate

       2.0%  

Utilities

       0.3%  

 

% of Investments, at value.

 

§ Top 10 Holdings and % of Investments exclude securities sold short, financial derivative instruments and short-term instruments, if any.

 

** Sector Breakdown and % of investments exclude securities sold short and financial derivative instruments, if any.

 

Fund Insights at NAV

 

The following affected performance (on a gross basis) during the reporting period:

 

»   Overweight exposure to, and security selection in, the health care sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to, and security selection in, the communication services sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector underperformed the secondary benchmark index and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Overweight exposure to, and security selection in, the consumer staples sector contributed to relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings outperformed the secondary benchmark index.

 

»   Underweight exposure to the energy sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector outperformed the secondary benchmark index.

 

»   Overweight exposure to, and security selection in, the financials sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector and the Fund’s holdings underperformed the secondary benchmark index.

 

»   Underweight exposure to the utilities sector detracted from relative returns compared to the Fund’s secondary benchmark, the S&P 500 Index, as the sector outperformed the secondary benchmark index.

 

       
16   PIMCO EQUITY SERIES            


Table of Contents
Expense Examples              

 

Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and exchange fees and (2) ongoing costs, including management fees and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for all Funds and share classes is from January 1, 2022 to June 30, 2022 unless noted otherwise in the table and footnotes below.

 

Actual Expenses

The information in the table under the heading “Actual” provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60), then multiply the result by the number in the appropriate row for your share class, in the column entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments and exchange fees. Therefore, the information under the heading “Hypothetical (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

Expense ratios may vary period to period because of various factors, such as an increase in expenses not covered by the management fees (such as expenses of the independent trustees and their counsel, extraordinary expenses and interest expense).

 

          Actual           Hypothetical
(5% return before expenses)
              
          Beginning
Account Value
(01/01/22)
    Ending
Account Value
(06/30/22)
    Expenses Paid
During Period*
          Beginning
Account Value
(01/01/22)
    Ending
Account Value
(06/30/22)
    Expenses Paid
During Period*
          Net Annualized
Expense Ratio**
 
PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF     $ 1,000.00     $ 792.40     $ 2.20             $ 1,000.00     $ 1,022.07     $ 2.48               0.50
PIMCO RAFI Dynamic Multi-Factor International Equity ETF        1,000.00        856.40        1.82                1,000.00        1,022.56        1.98               0.40  
PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF       1,000.00       882.00       1.38               1,000.00       1,023.05       1.49               0.30  
PIMCO RAFI ESG U.S. ETF       1,000.00       835.70       1.35         1,000.00       1,023.05       1.49         0.30  

 

* Expenses Paid During Period are equal to the net annualized expense ratio for the class, multiplied by the average account value over the period, multiplied by 179/365 (to reflect the one-half year period).

 

** Net Annualized Expense Ratio is reflective of any applicable contractual fee waivers and/or expense reimbursements or voluntary fee waivers. Details regarding fee waivers, if any, can be found in Note 9, Fees and Expenses, in the Notes to Financial Statements.

 

         ANNUAL REPORT     |     JUNE 30, 2022     17
    


Table of Contents
Financial Highlights              

 

          Investment Operations     Less Distributions(c)  
                                                 
Selected Per Share Data for the Year or Period Ended^:  

Net Asset
Value
Beginning
Of Year
or Period(a)

    Net
Investment
Income
(Loss)(b)
    Net
Realized/
Unrealized
Gain (Loss)
    Total     From Net
Investment
Income
   

From Net

Realized

Capital

Gains

    Total     Net Assets
End of Year
or Period(a)
 

PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF

               

06/30/2022

  $   31.06     $   1.21     $ (6.94   $ (5.73   $   (2.46   $   (4.54   $   (7.00   $   18.33  

06/30/2021

    20.84       0.50         10.14         10.64       (0.42     0.00       (0.42     31.06  

06/30/2020

    24.24       0.59       (3.41     (2.82     (0.58     0.00       (0.58     20.84  

06/30/2019

    23.94       0.64       0.39       1.03       (0.73     0.00       (0.73     24.24  

08/31/2017 - 06/30/2018

    25.00       0.42       (1.41     (0.99     (0.07     0.00       (0.07     23.94  

PIMCO RAFI Dynamic Multi-Factor International Equity ETF

               

06/30/2022

  $ 29.66     $ 0.95     $ (4.57   $ (3.62   $ (0.88   $ 0.00     $ (0.88   $ 25.16  

06/30/2021

    22.86       0.69       6.53       7.22       (0.42     0.00       (0.42     29.66  

06/30/2020

    24.94       0.53       (1.84     (1.31     (0.77     0.00       (0.77     22.86  

06/30/2019

    25.87       0.72       (0.89     (0.17     (0.76     0.00       (0.76     24.94  

08/31/2017 - 06/30/2018

    25.00       0.62       0.44       1.06       (0.19     0.00       (0.19     25.87  

PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF

               

06/30/2022

  $ 39.00     $ 0.75     $ (2.90   $ (2.15   $ (0.61   $ 0.00     $ (0.61   $ 36.24  

06/30/2021

    27.74       0.52       11.28       11.80       (0.54     0.00       (0.54     39.00  

06/30/2020

    29.21       0.62       (1.44     (0.82     (0.65     0.00       (0.65     27.74  

06/30/2019

    28.30       0.59       0.91       1.50       (0.59     0.00       (0.59     29.21  

08/31/2017 - 06/30/2018

    25.00       0.43       3.17       3.60       (0.30     0.00       (0.30     28.30  

PIMCO RAFI ESG U.S. ETF

               

06/30/2022

  $ 30.72     $ 0.60     $ (3.22   $ (2.62   $ (0.52   $ 0.00     $ (0.52   $ 27.58  

06/30/2021

    21.40       0.51       9.32       9.83       (0.51     0.00       (0.51     30.72  

12/18/2019 - 06/30/2020

    25.00       0.33       (3.72     (3.39     (0.21     0.00       (0.21     21.40  

 

^

A zero balance may reflect actual amounts rounding to less than $0.01 or 0.01%.

*

Annualized, except for organizational expense, if any.

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

(b) 

Per share amounts based on average number of shares outstanding during the year or period.

(c) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information.

(d) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds. Additionally, excludes initial sales charges and contingent deferred sales charges.

 

       
18   PIMCO EQUITY SERIES      See Accompanying Notes  


Table of Contents
        

 

            Ratios/Supplemental Data  
                  Ratios to Average Net Assets  
Total
Return(d)
    Net Assets
End of Year or
Period (000s)
    Expenses    

Expenses

Excluding

Waivers

   

Expenses

Excluding

Interest

Expense

   

Expenses

Excluding

Interest

Expense

and
Waivers

   

Net

Investment

Income (Loss)

   

Portfolio

Turnover Rate

 
                                                       
  (23.00 )%    $ 75,517       0.49     0.50.     0.49     0.50     4.50     54
  51.62         494,452       0.50       0.51       0.50       0.51       1.91       58  
  (11.86     619,324       0.49       0.50       0.49       0.50       2.66       59  
  4.53       477,943       0.49       0.50       0.49       0.50       2.75       43  
  (3.99     357,169       0.50     0.55     0.50     0.55     1.94     52  
             
  (12.60 )%    $ 85,539       0.39     0.40     0.39     0.40     3.30     39
  31.87       88,978       0.40       0.40       0.40       0.40       2.54       48  
  (5.37     24,231       0.40       0.41       0.40       0.41       2.21       35  
  (0.59     42,888       0.39       0.40       0.39       0.40       2.96       24  
  4.22       28,976       0.40     0.87     0.40     0.87     2.81     36  
             
  (5.66 )%    $ 94,954       0.29     0.30     0.29     0.30     1.88     43
  43.02       82,677       0.29       0.30       0.29       0.30       1.53       63  
  (2.80     25,525       0.30       0.31       0.30       0.31       2.12       36  
  5.50       96,980       0.29       0.30       0.29       0.30       2.08       40  
  14.43       65,658       0.29     0.60     0.29     0.60     1.89     56  
                      
  (8.73 )%    $ 28,615       0.29     0.30     0.29     0.30     1.94     26
  46.63       20,584       0.30       0.31       0.30       0.31       1.91       32  
  (13.42     8,988       0.30     0.86     0.30     0.86     2.75     12  

 

         ANNUAL REPORT     |     JUNE 30, 2022     19
    


Table of Contents
Statements of Assets and Liabilities          June 30, 2022

 

(Amounts in thousands, except per share amounts)  

PIMCO

RAFI Dynamic
Multi-Factor
Emerging Markets
Equity ETF

   

PIMCO

RAFI Dynamic
Multi-Factor
International
Equity ETF

   

PIMCO

RAFI Dynamic
Multi-Factor
U.S. Equity ETF

   

PIMCO

RAFI ESG

U.S. ETF

 

Assets:

       

Investments, at value

                               

Investments in securities*^

  $   74,662     $   84,683     $ 94,836     $ 28,392  

Investments in Affiliates

    72       1,189       25       0  

Cash

    0       618       0       203  

Foreign currency, at value

    489       472       0       0  

Receivable for investments sold

    0       67       0       0  

Receivable for Fund shares sold

    0       0       3,649       0  

Interest and/or dividends receivable

    571       345       110       27  

Reimbursement receivable from PIMCO

    1       1       1       0  

Other assets

    1       0       0       0  

Total Assets

    75,796       87,375       98,621       28,622  

Liabilities:

       

Payable for investments purchased

  $ 175     $ 0     $ 3,621     $ 0  

Payable upon return of securities loaned

    72       1,807       25       0  

Accrued management fees

    32       29       21       7  

Total Liabilities

    279       1,836       3,667       7  

Net Assets

  $ 75,517     $ 85,539     $ 94,954     $ 28,615  

Net Assets Consist of:

       

Paid in capital

  $ 79,547     $ 99,388     $   107,597     $ 32,066  

Distributable earnings (accumulated loss)

    (4,030     (13,849     (12,643     (3,451

Net Assets

  $ 75,517     $ 85,539     $ 94,954     $ 28,615  

Shares Issued and Outstanding

    4,120       3,400       2,620       1,038  

Net Asset Value Per Share Outstanding(a):

  $ 18.33     $ 25.16     $ 36.24     $ 27.58  

Cost of investments in securities

  $ 77,949     $ 86,247     $ 90,787     $   30,422  

Cost of investments in Affiliates

  $ 72     $ 1,189     $ 25     $ 0  

Cost of foreign currency held

  $ 453     $ 472     $ 0     $ 0  

* Includes repurchase agreements of:

  $ 1,300     $ 1,354     $ 728     $ 0  

^ Includes securities on loan of:

  $ 59     $ 1,695     $ 24     $ 0  

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

Includes adjustments required by U.S. GAAP and may differ from net asset values and performance reported elsewhere by the Funds.

 

       
20   PIMCO EQUITY SERIES      See Accompanying Notes  


Table of Contents
Statements of Operations              

 

Year Ended June 30, 2022                        
(Amounts in thousands)  

PIMCO

RAFI Dynamic
Multi-Factor
Emerging Markets
Equity ETF

   

PIMCO

RAFI Dynamic
Multi-Factor
International
Equity ETF

   

PIMCO

RAFI Dynamic
Multi-Factor
U.S. Equity ETF

   

PIMCO

RAFI ESG

U.S. ETF

 

Investment Income:

       

Dividends, net of foreign taxes*

  $ 8,948     $ 3,465     $ 1,893     $ 574  

Securities lending income

    116       20       1       0  

Total Income

    9,064       3,485       1,894       574  

Expenses:

       

Management fees

    894       368       253       75  

Trustee fees

    20       6       5       1  

Interest expense

    6       1       0       0  

Miscellaneous expense

    9       6       4       1  

Total Expenses

    929       381       262       77  

Waiver and/or Reimbursement by PIMCO

    (20     (6     (6     (2

Net Expenses

    909       375       256       75  

Net Investment Income (Loss)

    8,155       3,110       1,638       499  

Net Realized Gain (Loss):

       

Investments in securities

    65,155       (4,937     (2,613     (847

In-kind redemptions

    17,718       6,610       3,551       1,259  

Over the counter financial derivative instruments

    (1     (5     0       0  

Foreign currency

    (458     (95     0       0  

Net Realized Gain (Loss)

    82,414       1,573       938       412  

Net Change in Unrealized Appreciation (Depreciation):

       

Investments in securities

    (124,939     (17,516     (8,348     (4,250

Foreign currency assets and liabilities

    23       (12     0       0  

Net Change in Unrealized Appreciation (Depreciation)

      (124,916     (17,528     (8,348     (4,250

Net Increase (Decrease) in Net Assets Resulting from Operations

  $ (34,347   $   (12,845   $   (5,772   $   (3,339

* Foreign tax withholdings - Dividends

  $ 1,236     $ 384     $ 0     $ 0  

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

 

         ANNUAL REPORT     |     JUNE 30, 2022     21
    


Table of Contents
Statements of Changes in Net Assets              

 

   

PIMCO

RAFI Dynamic

Multi-Factor

Emerging Markets

Equity ETF

   

PIMCO

RAFI Dynamic

Multi-Factor

International

Equity ETF

   

PIMCO

RAFI Dynamic

Multi-Factor

U.S. Equity ETF

   

PIMCO

RAFI ESG

U.S. ETF

 
(Amounts in thousands)   Year Ended
June 30, 2022
    Year Ended
June 30, 2021
    Year Ended
June 30, 2022
    Year Ended
June 30, 2021
    Year Ended
June 30, 2022
    Year Ended
June 30, 2021
    Year Ended
June 30, 2022
    Year Ended
June 30, 2021
 

Increase (Decrease) in Net Assets from:

               

Operations:

               

Net investment income (loss)

  $ 8,155     $ 12,389     $ 3,110     $ 1,730     $ 1,638     $ 937     $ 499     $ 244  

Net realized gain (loss)

    82,414       154,863       1,573       (2,024     938       6,125       412       445  

Net change in unrealized appreciation (depreciation)

    (124,916     127,110       (17,528     17,508       (8,348     14,062       (4,250     3,930  

Net Increase (Decrease) in Net Assets Resulting from Operations

    (34,347     294,362       (12,845     17,214       (5,772     21,124       (3,339     4,619  

Distributions to Shareholders:

               

From net investment income and/or net realized capital gains

    (35,613     (12,004     (2,872     (943     (1,311     (868     (411     (235

Total Distributions(a)

    (35,613     (12,004     (2,872     (943     (1,311     (868     (411     (235

Fund Share Transactions:

               

Receipts for shares sold

    19,206       23,871       36,080       50,169       31,146       64,915       17,482       10,114  

Cost of shares redeemed

    (368,181       (431,101       (23,802     (1,693       (11,786       (28,019     (5,701     (2,902

Net increase (decrease) resulting from Fund share transactions

    (348,975     (407,230     12,278       48,476       19,360       36,896       11,781       7,212  

Total Increase (Decrease) in Net Assets

    (418,935     (124,872     (3,439     64,747       12,277       57,152       8,031       11,596  

Net Assets:

               

Beginning of year

      494,452       619,324       88,978       24,231       82,677       25,525       20,584       8,988  

End of year

  $ 75,517     $ 494,452     $ 85,539     $   88,978     $ 94,954     $ 82,677     $   28,615     $   20,584  

Shares of Beneficial Interest:

               

Shares sold

    800       800       1,200       2,000       800       2,000       550       350  

Shares redeemed

    (12,600     (14,600     (800     (60     (300     (800     (182     (100

Net increase (decrease) in shares outstanding

    (11,800     (13,800     400       1,940       500       1,200       368       250  

 

 

A zero balance may reflect actual amounts rounding to less than one thousand.

(a) 

The tax characterization of distributions is determined in accordance with Federal income tax regulations. See Note 2, Distributions to Shareholders, in the Notes to Financial Statements for more information.

 

       
22   PIMCO EQUITY SERIES      See Accompanying Notes  


Table of Contents
Schedule of Investments   PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF          June 30, 2022

 

(Amounts in thousands*, except number of shares, contracts, units and ounces, if any)

 

        SHARES         MARKET
VALUE
(000S)
 
INVESTMENTS IN SECURITIES 98.9%

 

COMMON STOCKS 93.3%

 

BRAZIL 3.6%

 

COMMUNICATION SERVICES 0.1%

 

Telefonica Brasil SA

      6,400     $     58  
       

 

 

 
CONSUMER DISCRETIONARY 0.2%

 

Vibra Energia SA

      54,500         174  
       

 

 

 
CONSUMER STAPLES 0.8%

 

Ambev SA

      106,800         273  

BRF SA (b)

      8,100         21  

JBS SA

      51,000         308  

Raia Drogasil SA

      8,500         31  
       

 

 

 
          633  
       

 

 

 
ENERGY 0.2%

 

Cosan SA

      6,400         22  

Ultrapar Participacoes SA

      61,400         145  
       

 

 

 
          167  
       

 

 

 
FINANCIALS 0.6%

 

B3 SA - Brasil Bolsa Balcao

      15,300         32  

Banco BTG Pactual SA

      5,000         21  

Banco do Brasil SA

      54,600         348  

BB Seguridade Participacoes SA

      6,200         31  
       

 

 

 
          432  
       

 

 

 
HEALTH CARE 0.0%

 

Hypera SA

      3,000         22  
       

 

 

 
INDUSTRIALS 0.1%

 

CCR SA

      10,900         26  

WEG SA

      5,500         28  
       

 

 

 
          54  
       

 

 

 
MATERIALS 1.3%

 

Cia Siderurgica Nacional SA

      12,900         38  

Klabin SA

      21,900         85  

Suzano SA

      7,100         67  

Vale SA

      51,500         753  
       

 

 

 
          943  
       

 

 

 
UTILITIES 0.3%

 

Centrais Eletricas Brasileiras SA

      5,700         51  

Cia de Saneamento Basico do Estado de Sao Paulo

      4,500         36  

Cia Paranaense de Energia

      13,300         85  

Engie Brasil Energia SA

      3,325         26  

Equatorial Energia SA

      6,700         29  
       

 

 

 
          227  
       

 

 

 

Total Brazil

            2,710  
       

 

 

 
CHILE 0.7%

 

CONSUMER DISCRETIONARY 0.1%

 

Falabella SA

      30,490         72  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
CONSUMER STAPLES 0.1%

 

Cencosud SA

      44,596     $     57  

Cia Cervecerias Unidas SA

      8,455         53  
       

 

 

 
          110  
       

 

 

 
ENERGY 0.1%

 

Empresas COPEC SA

      5,023         37  
       

 

 

 
FINANCIALS 0.2%

 

Banco de Chile

      1,115,175         101  

Banco de Credito e Inversiones SA

      811         24  

Banco Santander Chile

      563,873         23  
       

 

 

 
          148  
       

 

 

 
MATERIALS 0.0%

 

Empresas CMPC SA

      14,492         24  
       

 

 

 
UTILITIES 0.2%

 

Aguas Andinas SA

      150,567         24  

Colbun SA

      318,289         22  

Enel Americas SA

      939,004         89  

Enel Chile SA

      519,731         12  
       

 

 

 
          147  
       

 

 

 

Total Chile

          538  
       

 

 

 
CHINA 15.3%

 

COMMUNICATION SERVICES 0.6%

 

Baidu, Inc. SP - ADR (b)

      1,417         211  

China Tower Corp. Ltd. ‘H’

      370,000         47  

NetEase, Inc. ADR

      2,450         229  
       

 

 

 
          487  
       

 

 

 
CONSUMER DISCRETIONARY 2.4%

 

ANTA Sports Products Ltd.

      5,200         64  

BAIC Motor Corp. Ltd. ‘H’

      85,000         28  

BYD Co. Ltd. ‘H’

      6,000         242  

Dongfeng Motor Group Co. Ltd. ‘H’

      68,000         52  

Fuyao Glass Industry Group Co. Ltd.

      9,600         49  

Great Wall Motor Co. Ltd. ‘H’

      76,000         157  

Guangzhou Automobile Group Co. Ltd. ‘H’

      34,000         33  

Haier Smart Home Co. Ltd. ‘H’

      17,400         65  

JD.com, Inc. ADR

      5,245         337  

Meituan ‘B’ (b)

      23,700         591  

Shenzhou International Group Holdings Ltd.

      8,100         99  

Yum China Holdings, Inc.

      1,898         92  

Zhongsheng Group Holdings Ltd.

      5,000         35  
       

 

 

 
            1,844  
       

 

 

 
CONSUMER STAPLES 0.6%

 

Dali Foods Group Co. Ltd.

      44,000         24  

Hengan International Group Co. Ltd.

      24,500         115  

Nongfu Spring Co. Ltd.

      8,200         47  

Tingyi Cayman Islands Holding Corp.

      58,000         100  

Tsingtao Brewery Co. Ltd. ‘H’

      4,000         42  

Uni-President China Holdings Ltd.

      35,000         30  

Want Want China Holdings Ltd.

      86,000         75  
       

 

 

 
          433  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
ENERGY 2.7%

 

China Oilfield Services Ltd. ‘H’

      16,000     $     15  

China Petroleum & Chemical Corp. ‘H’

      1,606,000         724  

China Shenhua Energy Co. Ltd. ‘H’

      176,000         505  

PetroChina Co. Ltd. ‘H’

      1,012,000         475  

Yankuang Energy Group Co. Ltd. ‘H’

      94,000         294  
       

 

 

 
          2,013  
       

 

 

 
FINANCIALS 4.7%

 

Agricultural Bank of China Ltd. ‘H’

      1,062,000         402  

Bank of China Ltd. ‘H’

      3,119,000         1,246  

Bank of Communications Co. Ltd. ‘H’

      484,000         336  

China Cinda Asset Management Co. Ltd. ‘H’

      274,000         43  

China CITIC Bank Corp. Ltd. ‘H’

      386,000         173  

China Construction Bank Corp. ‘H’

      523,000         353  

China Everbright Bank Co. Ltd. ‘H’

      105,000         34  

China Galaxy Securities Co. Ltd. ‘H’

      44,000         25  

China Reinsurance Group Corp. ‘H’

      271,000         22  

China Zheshang Bank Co. Ltd. ‘H’

      66,000         30  

CITIC Securities Co. Ltd. ‘H’

      25,500         57  

GF Securities Co. Ltd. ‘H’

      14,034         19  

Guotai Junan Securities Co. Ltd. ‘H’

      18,400         23  

Huatai Securities Co. Ltd. ‘H’

      15,800         24  

Industrial & Commercial Bank of China Ltd. ‘H’

      498,000         297  

People’s Insurance Co. Group of China Ltd. ‘H’

      99,000         30  

PICC Property & Casualty Co. Ltd. ‘H’

      50,000         52  

Postal Savings Bank of China Co. Ltd. ‘H’

      453,000         361  
       

 

 

 
            3,527  
       

 

 

 
HEALTH CARE 0.4%

 

China Resources Pharmaceutical Group Ltd.

      89,500         61  

CSPC Pharmaceutical Group Ltd.

      59,680         60  

Shanghai Pharmaceuticals Holding Co. Ltd. ‘H’

      22,900         38  

Sinopharm Group Co. Ltd. ‘H’

      45,600         110  
       

 

 

 
          269  
       

 

 

 
INDUSTRIALS 1.6%

 

Air China Ltd. ‘H’

      52,000         45  

Beijing Capital International Airport Co. Ltd. ‘H’

      56,000         38  

China Communications Services Corp. Ltd. ‘H’

      46,000         20  

China Energy Engineering Corp. Ltd. ‘H’

      262,000         37  

China Railway Group Ltd. ‘H’ (b)

      476,000         295  

CITIC Ltd.

      142,000         145  

CRRC Corp. Ltd. ‘H’

      99,000         37  

Guangshen Railway Co. Ltd. ‘H’

      98,000         18  

Jiangsu Expressway Co. Ltd. ‘H’

      50,000         50  

Metallurgical Corp. of China Ltd.

      145,000         35  

Sinopec Engineering Group Co. Ltd. ‘H’

      50,500         23  

Sinotrans Ltd. ‘H’

      127,000         37  

Weichai Power Co. Ltd. ‘H’

      40,000         64  

 

See Accompanying Notes     ANNUAL REPORT     |     JUNE 30, 2022     23
    


Table of Contents
Schedule of Investments   PIMCO RAFI Dynamic Multi-Factor Emerging Markets Equity ETF   (Cont.)  

 

        SHARES         MARKET
VALUE
(000S)
 

Yangzijiang Shipbuilding Holdings Ltd.

      265,600     $     178  

Zhejiang Expressway Co. Ltd. ‘H’

      36,000         33  

Zhuzhou CRRC Times Electric Co. Ltd.

      10,000         49  

ZTO Express Cayman, Inc. ADR

      2,461         68  
       

 

 

 
          1,172  
       

 

 

 
INFORMATION TECHNOLOGY 0.3%

 

FIH Mobile Ltd. (b)

      179,000         26  

Lenovo Group Ltd.

      224,000         210  
       

 

 

 
          236  
       

 

 

 
MATERIALS 0.8%

 

Angang Steel Co. Ltd. ‘H’

      78,000         29  

Anhui Conch Cement Co. Ltd. ‘H’

      28,500         124  

China National Building Material Co. Ltd. ‘H’

      278,000         298  

China Zhongwang Holdings Ltd. «(b)

      338,800         0  

Jiangxi Copper Co. Ltd. ‘H’

      74,000         101  

Shandong Gold Mining Co. Ltd.

      20,250         35  

Sinopec Shanghai Petrochemical Co. Ltd. ‘H’

      136,000         23  
       

 

 

 
          610  
       

 

 

 
REAL ESTATE 0.2%

 

China Evergrande Group «(d)

      121,000         13  

China Vanke Co. Ltd. ‘H’

      17,100         43  

Greentown China Holdings Ltd.

      25,000         52  

Guangzhou R&F Properties Co. Ltd. ‘H’

      79,600         21  

Longfor Group Holdings Ltd.

      8,500         40  
       

 

 

 
          169  
       

 

 

 
UTILITIES 1.0%

 

Beijing Jingneng Clean Energy Co. Ltd. ‘H’

      116,000         27  

CGN Power Co. Ltd. ‘H’

      146,000         35  

China Longyuan Power Group Corp. Ltd. ‘H’

      21,000         41  

Datang International Power Generation Co. Ltd. ‘H’

      304,000         50  

ENN Energy Holdings Ltd.

      16,600         274  

Huadian Power International Corp. Ltd. ‘H’

      334,000         122  

Huaneng Power International, Inc. ‘H’

      452,000         225  
       

 

 

 
          774  
       

 

 

 

Total China

            11,534  
       

 

 

 
GREECE 0.6%

 

COMMUNICATION SERVICES 0.1%

 

Hellenic Telecommunications Organization SA

      4,949         87  
       

 

 

 
CONSUMER DISCRETIONARY 0.1%

 

OPAP SA

      4,668         67  
       

 

 

 
ENERGY 0.0%

 

Motor Oil Hellas Corinth Refineries SA

      1,283         24  
       

 

 

 
        SHARES         MARKET
VALUE
(000S)
 
FINANCIALS 0.4%

 

Alpha Services & Holdings SA (b)

      111,230     $     98  

Eurobank Ergasias Services & Holdings SA (b)

      88,136         79  

National Bank of Greece SA (b)

      37,454         112  
       

 

 

 
          289  
       

 

 

 
UTILITIES 0.0%

 

Public Power Corp. SA (b)

      4,020         22  
       

 

 

 

Total Greece

          489  
       

 

 

 
HONG KONG 3.6%

 

CONSUMER STAPLES 0.1%

 

China Resources Beer Holdings Co. Ltd.

      10,000         75  
       

 

 

 
FINANCIALS 0.8%

 

BOC Hong Kong Holdings Ltd.

      150,000         595  

Far East Horizon Ltd.

      27,000         23  
       

 

 

 
          618  
       

 

 

 
INDUSTRIALS 0.3%

 

China Merchants Port Holdings Co. Ltd.

      10,000         17  

China State Construction International Holdings Ltd.

      18,000         20  

COSCO SHIPPING Ports Ltd.

      64,000         46  

Orient Overseas International Ltd.

      3,500         93  

Shanghai Industrial Holdings Ltd.

      18,000         26  
       

 

 

 
          202  
       

 

 

 
REAL ESTATE 0.9%

 

China Jinmao Holdings Group Ltd.

      140,000         38  

China Overseas Land & Investment Ltd.

      172,500         549  

China Resources Land Ltd.

      10,000         47  

Poly Property Group Co. Ltd.

      113,000         27  

Yuexiu Property Co. Ltd.

      25,400         32  
       

 

 

 
          693  
       

 

 

 
UTILITIES 1.5%

 

Beijing Enterprises Holdings Ltd.

      10,000         36  

China Power International Development Ltd.

      501,000         318  

China Resources Gas Group Ltd.

      28,000         130  

China Resources Power Holdings Co. Ltd.

      220,000         454  

Guangdong Investment Ltd.

      68,000         72  

Kunlun Energy Co. Ltd.

      130,000         107  
       

 

 

 
          1,117  
       

 

 

 

Total Hong Kong

            2,705  
       

 

 

 
INDIA 16.0%

 

COMMUNICATION SERVICES 0.6%

 

Bharti Airtel Ltd. (b)

      43,096         375  

Indus Towers Ltd.

      16,618         44  
       

 

 

 
          419  
       

 

 

 
CONSUMER DISCRETIONARY 1.1%

 

Bajaj Auto Ltd.

      1,797         85  

Eicher Motors Ltd. (b)

      1,117         40  
        SHARES         MARKET
VALUE
(000S)
 

Hero MotoCorp Ltd.

      3,183     $     110  

Mahindra & Mahindra Ltd.

      3,400         47  

Maruti Suzuki India Ltd. (b)

      638         69  

Rajesh Exports Ltd.

      4,332         34  

Tata Motors Ltd. (b)

      67,732         353  

Titan Co. Ltd.

      3,017         74  
       

 

 

 
          812  
       

 

 

 
CONSUMER STAPLES 1.8%

 

Avenue Supermarts Ltd. (b)

      1,262         55  

Britannia Industries Ltd.

      807         36  

Dabur India Ltd. (b)

      4,994         31  

Godrej Consumer Products Ltd. (b)

      3,743         36  

Hindustan Unilever Ltd.

      9,362         265  

ITC Ltd.

      223,506         776  

Marico Ltd.

      5,421         33  

Nestle India Ltd.

      273         61  

Tata Consumer Products Ltd.

      3,414         31  
       

 

 

 
            1,324  
       

 

 

 
ENERGY 2.1%

 

Bharat Petroleum Corp. Ltd.

      23,897         94  

Coal India Ltd.

      124,887         294  

Hindustan Petroleum Corp. Ltd.

      41,935         116  

Indian Oil Corp. Ltd. (b)

      64,433         61  

Indian Oil Corp. Ltd.

      128,866         121  

Mangalore Refinery & Petrochemicals Ltd. (b)

      26,560         30  

Oil & Natural Gas Corp. Ltd.

      139,683         267  

Oil India Ltd.

      11,908         38  

Petronet LNG Ltd.

      16,243         45  

Reliance Industries Ltd. (b)

      16,692         551  
       

 

 

 
          1,617  
       

 

 

 
FINANCIALS 1.4%

 

Bajaj Finserv Ltd.

      290         40  

Bajaj Holdings & Investment Ltd.

      552         32  

Bandhan Bank Ltd. (b)

      8,704         29  

Bank of Baroda

      27,337         34  

Cholamandalam Investment and Finance Co. Ltd.

      3,873         31  

Federal Bank Ltd. (b)

      30,650         35  

HDFC Bank Ltd.

      9,361         160  

ICICI Bank Ltd.

      36,802         331  

IDFC Ltd.

      47,946         30  

Indiabulls Housing Finance Ltd. ‘L’ (b)

      29,339         35  

Kotak Mahindra Bank Ltd. (b)

      7,410         157  

Power Finance Corp. Ltd.

      28,405         38  

SBI Life Insurance Co. Ltd.

      2,394         33  

State Bank of India

      18,286         108  
       

 

 

 
          1,093  
       

 

 

 
HEALTH CARE 0.8%

 

Alkem Laboratories Ltd.

      812         31  

Aurobindo Pharma Ltd.

      4,165         27  

Cipla Ltd. (b)

      8,005         93