How Bill Gross creates return in his new fund

[PatientCheetah]

http://www.barrons.com/articles/bill-gross-why-interest-rates-must-rise-1460174700

 

Very interesting article - Bill Gross gets about 2% from owning short duration investment grade corporate bonds, his remaining returns are derived from 1) selling interest rate calls/puts with the thesis that central bank will contain interest rate volatility within a narrow band 2) merger arb 3) closed-end fund arb - at least he is only selling short dated volatilities ;)

[Graham Osborn]

I have to say that some of the things Gross is doing strike me as a bit crazy - buying Keurig kinda, selling CDS on EM definitely.  JMO, but this is not a time you want to be short volatility.  But it does explain why his returns seem to be improving since last year.