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April 12, 2011 at 09:25 AM
PIMCO's $236 billion Total Return Fund reduced its share of U.S. government debt to minus 3% in March, while increasing its cash and cash equivalents to 31%, its highest percentage in four years, according to the company’s website.
The reduction comes after a similar move in February, when PIMCO head Bill Gross reduced the portfolio’s government-related investment’s to zero.
At the time, Eric Jacobson, director of fixed-income research for Morningstar, said, "News started to roll around the market that he had been completely sold out of Treasuries, and lot of people took that to mean that he was so determined to avoid them that he had literally wiped them out of the portfolio, which isn’t exactly true."
What is true, Jacobson said, is that the portfolio had about 3% exposure to TIPS and agency bonds, or 6% total market value, but used swaps that move in the opposite direction to counter interest rate risk. "So if you just look at the totals, it looks like zero, but in fact it’s broken up with a couple of parts," Jacobson said.
