(Bloomberg) -- Bill Gross says he scaled back his wager that yields on U.S. Treasuries and German Bunds would converge after the position led to losses in the second quarter.
“Although we maintain our convergence view, during the latter part of the period, we scaled back our positioning in recognition of the factors that have kept a steady bid on Bund prices,” Gross wrote in a second-quarter fund commentary posted Monday on the website of Janus Henderson Group Plc.
Investors pulled about $580 million from Gross’s Janus Henderson Global Unconstrained Bond fund this year as it lost 6.2 percent in the first half of 2018. Fund filings don’t disclose the size of the position before or after Gross made the change.
The yield premium that U.S. 10-year notes offer over similar German securities increased to around 2.56 percentage points at the end of June from 2.24 three months earlier, the biggest one-quarter widening since 2016. The gap is currently around 2.50 percentage points.
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