Pimco on Tuesday published the latest holdings of its flagship Total Return Fund. The statistics are accurate as of 30 June. They show that Gross has increased TRF holdings of Treasuries to 8 per cent from the 5 per cent listed at the end of May.
Effective duration increased to 4.37 years from 3.73 years. Effective maturity also increased by one year, to 6.07 years from 5.08 years.
However, while this may suggest a change in strategy, it may also simply mean a flight to safety. The amount of portfolio derivatives remained the same (minus 9 per cent) from month-to-month.
TRF holdings as of 30 June (click to expand):
TRF holdings as of 31 May (click to expand):
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