The fading channel model is seen as an important approach that can efficiently capture the basic time-varying properties of wireless channels, while physical layer security is a promising approach to providing a strong form of security. This paper focuses on the fundamental performance study of applying physical layer security to achieve secure and reliable information transmission over the fading wire-tap channel. For the practical scenario where the main channel is correlated with the eavesdropper channel but only the real time channel state information (CSI) of the main channel is known at the transmitter, we conduct a comprehensive study on the fundamental performance limits of this system by theoretically modeling its secrecy capacity, transmission outage probability and secrecy outage probability. With the help of these theoretical models, we then explore the inherent performance tradeoffs under fading wire-tap channel and also the potential impact of channel correlation on such tradeoffs.