At the end of 2008, the fund's portfolio, including derivatives, had a gross notional value of $2.38 trillion and a market value of $133.1 billion, Hewitt EnnisKnupp said in the report. That resulted in an accounting leverage, or total assets to net capital, of 17 times, the report said.

The Hewitt EnnisKnupp report shows Pimco Total Return's accounting leverage fell to 4 times at March 31, 2009. Gross's firm argues that as long as the fund's risk profile in aggregate is similar to that of its benchmark, it doesn't employ leverage on an "economic" basis, according to the report.

Clients who rely on Pimco as their sole bond manager "may want to" consider diversifying into more traditional fixed- income managers or an index fund, the report said.

'Complex Strategy'

"EnnisKnupp remains comfortable with the Pimco Total Return Fund and its related strategies," according to the report. "But we acknowledge that this complex strategy relies heavily on derivatives and may not be ideal for all investors, particularly those investors that view their fixed-income portfolio as an anchor to windward as opposed to a source of total return."

The restrictions imposed on Pimco Total Return IV would create an alternative that more closely mirrors the benchmark Barclays aggregate index, said Adam Cohen, director of fixed- income research at Fortigent LLC, a Rockville, Maryland, consultant to investment advisers, family offices and bank and trust companies.

It will seek to invest at least 80% of total assets in bonds and other debt securities, according to a Feb. 11 SEC filing, whereas the main Pimco Total Return has a lower target of 65% that can be met through the use of forwards or derivatives, including options, futures and swap agreements.

While Pimco Total Return seeks to maintain an average portfolio duration that is within two years of the Barclays aggregate index, the new fund will try to stay within one-and-a- half years of the benchmark.

Client Withdrawals

"This is for investors who are looking to hold a more traditional fixed-income fund," said Cohen. "It makes the fund more constrained and more targeted towards the aggregate" he said, referring to the Barclays aggregate index.