Pacific Investment Management Co.’s Bill Gross, a year after banishing U.S. government debt from the world’s biggest bond fund, increased his holdings of Treasuries to the highest level since July 2010.
Gross boosted the proportion of U.S. government and Treasury debt in Pimco’s $250.5 billion Total Return Fund in January to 38 percent from 30 percent in December, according to a report placed on the company’s website. He raised mortgages to 50 percent, the highest since June 2009, from 48 percent in December. Newport Beach, California-based Pimco doesn’t comment directly on monthly changes in its portfolio holdings.
Treasuries with maturities from five to seven years have been the focus of purchases with longer-term debt unattractive due to risk of a pick-up in inflation, Gross said in an interview Feb. 3 on “Bloomberg Surveillance” with Tom Keene and Ken Prewitt. The Fund increased its allocation of Treasury Inflation Protected Securities, or TIPS, to 8 percent, Gross said that day.
The fund last year gained 4.2 percent, lagging behind 70 percent of its peers, after Gross missed a rally in U.S. Treasuries and put money into riskier assets, according to data compiled by Bloomberg.
Gross’s fund recovered and has returned 7.35 percent in the past year, beating 49 percent of its peers, according to data compiled by Bloomberg. It gained 2.13 percent during the past month, beating 97 percent of peers.
Meanwhile, Treasuries have lost 0.37 percent in 2012 as of Feb. 8, versus a gain of 9.8 percent last year, according to Bank of America Merrill Lynch indexes.
Pimco reduced holdings of emerging-market debt to nine percent, from 10 percent and cut the bonds of non-U.S. developed nations to 11 percent last month, the lowest since May, from 18 percent last month.
Gross reduced the Total Return Fund’s net cash-and-equivalent position to negative 35 percent in January, from negative 32 percent the previous month. It can have a so-called negative position by using derivatives, futures or by shorting.
Pimco’s Government and Treasury debt category includes fund holdings of U.S. Treasury notes, bonds, futures and inflation-protected securities.
Pimco, a unit of the Munich-based insurer Allianz SE, managed $1.36 trillion of assets as of Dec. 31.