PIMCO's TRF Releases March Performance And Portfolio Composition, Reaches $220 Billion In AUM

PIMCO has released the March statistics of its massive Total Return Fund, which as od March 31 has grown to a massive $220 billion, an increase of $5 billion from the $214.3 billion in February. The YTD performance on the TRF is now 2.97%, and just like everything else in America has a short effective duration of just 4.81. It is stunning that one fund now has more in AUM than most countries generate as GDP. And this excludes the other $800 billion or so that the Bill Gross firm is managing in other vehicles.  In terms of composition, there was little change in actual holdings: Government Relates Securities declined slightly to 33% from 35%, mortgage securities was virtually unchanged at 16%, the same as IG Corporates; High Yield is also a tiny 3% of AUM. The firm's rapid expansion in Non US-denominated developed countries has plateaued and declined by 1% to 18% in March. And cash increased marginally from just 2% in February to 5% in March.

What is more interesting is the portfolio composition by maturity: Gross is starting to reach into the longer-dated side of the curve. The firm's holding of debt 3 year and longer are now the biggest since June 2009. The firm was not short any particular tenor: the last time it was short was in 2008 when Gross was shorting the 20+ year bucket.

Lastly, don't forget that Pimco is now an active equities player. And who knows what stocks the firm is buying, although something tells us it is not an active HFT participant in the C, BofA, FNM, FRE, ABK markets (which account for about 50% of total market volume).

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Comments

[BlackBeard]

Off-topic, but kudos to Dylan Ratigan.  That man took his crusade on the road today.

http://www.msnbc.msn.com/id/31510813/ns/msnbc_tv-morning_meeting#36650653

following 3 vids, he takes to various other msnbc syndications.

[Caviar Emptor]

Bill Gross is starting to believe the deflation story. The chorus is rising but very quietly. TRF is acting as a liquidity trap. As deflation picks up there will be more and more such traps. Fed and Wall Street still shrieking about inflation risks and standing firmly on the M2 brakes (precipitating more deflation forces). But the hawks aren't totally wrong. Raw materials, especially energy, will be a persistent source of increased costs for consumers and business along with a host of other hidden inflationary forces. Keep in mind with consumer credit rates creeping up this is a stealth form of tightening in the midst of deflation that few seem to be taking note of. The picture is getting dimmer.

[Orly]

Caviar, your points are nearly always very well-founded and thoughtful.  I appreciate that.  :D

There is going to be a very weird dynamic going forward from here.

Prices of autos and homes and yachts and beach houses are going to erode very, very quickly despite the Fed's best efforts to prevent that from happening.  At the same time, costs for basic materials, energy and, dare I say, water are going to escalate steadliy over the next ten years.  Not only that but the bugaboo of unemployment is going to be with us for much longer than people think, so there will be no upward pressure on wage inflation, either.

Coming is the Father of All Stagflatory Environments.  The world has seen such a scene since the Middle Ages.

[godfader]

Seems Gross isn't really buying into the "imminent hyperinflation" theory.

[Stargroves]

Let's see Bill Gross is managing nearly a quarter of a trillion dollars.  Why in the world would anyone invest with a manager of that size.  You are the market!  Tell me over time how that is going to work for the lemmings who are falling over themselves to align themselves with the formerly mustachioed Yoga meister.  I don't understand it.