The negative yield "is perhaps reflective of a market that has lost its fundamental value anchor," Gross wrote. "A century-long history of average 5-year real yields would point out that bond investors in Aaa 5-year sovereign space have demanded and received a real interest rate return of 1.5% instead of today's -0.1%. We are being shortchanged, in other words, by 160 basis points from the get-go."
The $239 billion Total Return Fund managed by Gross posted a 7.37% gain in the past year, beating 82% of its peers, according to data compiled by Bloomberg. The one-month performance is 0.18%, beating 43% of competitors. Pimco is a unit of Munich-based insurer Allianz SE.