Bill Gross' moves toward and away from Treasuries continue to intrigue the media. Bloomberg Businessweek and Dow Jones both reported that the star Pimco [see profile] PM boosted the Treasuries holdings of his flagship, $244.3-billion Total Return Fund from 16 percent to 19 percent in October. Yet the fund is still underweight Treasuries when compared with its benchmark, the Barclays Capital US Aggregate Bond Index, which is 34.4 percent in Treasuries.

Dow Jones described Gross' shift as a way for him "to narrow the gap with the benchmark bond index" after "licking his wounds" for much of the year, thanks in part to being underweight Treasuries at the wrong time and even dumping them altogether in February. Bloomberg notes that Treasuries have returned 8.5 percent year-to-date, "their best year since the depths of the financial crisis in 2008."

How else did Gross tweak the fund last month? He increased Total Return's short money market and cash position, from -19 percent to -23 percent. He cut his government agency debt, and his swaps and liquid rates, in half, to one percent and two percent, respectively. And he also bumped up allocations to non-U.S. developed countries (22 percent, up from 20) and emerging markets (15 percent, up from 13). And the fund's effective maturity jumped to 9.7 years. 

Edited by: Neil Anderson, Managing Editor


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