Gross increased mortgage debt to 38 percent of assets in
his $242 billion PIMCO Total Return Fund in
September, from 32 percent in August, as the U.S. central bank
announced last month that it “will now reinvest principal
payments from its holdings of agency debt and agency
mortgage-backed securities in agency mortgage-backed
securities.”PIMCO’s latest bet on mortgages isn’t going unnoticed.Gross, who helps oversee $1.2 trillion as co-chief
investment officer at PIMCO, made headlines earlier this year
and came under heavy criticism when the manager widely known as
the “bond king” bet heavily against U.S. Treasuries — one of
the biggest outperformers of this year.His move into mortgage-backed securities also comes as the
PIMCO Total Return fund’s cash equivalents and money-market
securities fell to negative 19 percent September, from negative
9 percent in August.In having a so-called negative position in cash equivalents
and money-market securities, it is an indication of derivative
use and short-term securities being put up as collateral as a
way to boost leverage and increase the fund’s holdings in bonds
with longer maturities such as mortgage-backed securities,
Treasuries and corporate bonds, according to Eric Jacobson,
director of fixed-income research at Morningstar who has
covered PIMCO for more than a decade.Over the years, some analysts in the fixed-income world
have pointed out that Gross’ use of derivatives to boost
leverage and exposure to higher-yielding assets is what
distinguishes the Total Return Fund from an ordinary plain
vanilla bond fund.”One very basic thing to know, too, is that PIMCO
classifies anything with a duration of one year or shorter as
cash — regardless of sector,” Jacobson added.Jacobson said after careful examination of the PIMCO fund’s
effective duration of 7.14 years — about double over the last
six months — “it doesn’t necessarily mean PIMCO raised their
pure interest-rate risk to the United States. They didn’t
double down on Treasuries.”Rather, PIMCO took on “loose” interest rate risk to other
credit and government markets, he said, noting that the Total
Return fund increased exposure in non-U.S. developed and
emerging markets securities in September.Duration is a bond’s sensitivity to interest rate
fluctuations, and going longer duration is an investment
strategy when rates are expected to remain low or drop further
and vice versa.All told, the PIMCO Total Return fund’s bad call on
Treasuries earlier this year has cost it.It is up only 1.06 percent year to date versus the
benchmark BarCap U.S. Aggregate Index which is up 3.99 percent.
But on a three-year basis, the fund is up 10.14 percent against
the benchmark’s 9.36 percent returns. The fund has also held up
well over the last five years, with the fund up 7.80 percent
versus the BarCap’s 5.48 percent returns.