(Bloomberg) -- Pacific Investment Management Co. may have begun to unwind some of Bill Gross’s market bets, according to changes in holdings data from the world’s largest bond mutual fund.

The $202 billion Total Return Fund managed by Gross until his Sept. 26 departure cut the proportion of government-related debt to 38% in September from 41% the previous month, data posted on Newport Beach, California-based Pimco’s website showed. The category, which is the largest portion of the fund, includes holdings of U.S. Treasury notes, bonds, agency debt, interest-rate swaps and inflation-protected securities. Pimco doesn’t comment on monthly holding changes.

Under Gross, Total Return had been betting on shorter- maturity Treasuries that underperformed longer-term debt this year and left the fund lagging behind the majority of its peers. U.S. debt maturing in 10 years or more returned 17.8% this year through yesterday, while that due in one to five years rose 1.27%, according to Bloomberg U.S. Treasury Bond indexes. Treasury notes and bonds have returned 4.84% this year.

The fund, now run by chief investment officers, Scott Mather, Mark Kiesel and Mihir Worah, has returned 4.1% this year, trailing 59% of its peers.

'SLOWING DOWN' 

Gross is sticking with his forecasts for slower growth and lower returns.

“The world is slowing down,” he said in a conversation yesterday with Janus Capital Group Inc. Chief Executive Officer Dick Weil that was broadcast on the company’s website. “We’re doing the best of them all,” Gross said of the U.S., “but frankly it’s not like the old normal, it is the new normal where global growth proceeds at a very slow pace.”

The Total Return Fund had an estimated $23.5 billion of net investor withdrawals in September, Pimco said in a statement on its website on Oct. 1. The largest daily outflow was on the day Gross quit, the company said. Withdrawals have brought the fund’s assets down from $293 billion last year.

Non-U.S. developed debt fell to 11% from 13% in August. It climbed to 17% in July, the most since December 2011. Emerging-market securities comprised 10% of assets, compared with 9% in August.

Mortgage-bond holdings were unchanged at 20%. The U.S. credit category, which may include investment-grade and high-yield bonds, held at 13%.

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