Pimco's Total Return Fund, the world's largest bond fund, cut U.S. government-related debt holdings in September amid an abrupt departure of the fund's famed manager, Bill Gross.

U.S. government-related holdings accounted for 38% of the $201.6 billion bond fund at the end of last month, compared with 41% at the end of August, according to data available late Thursday on Pacific Investment Management Co.'s website.

The Pimco fund's U.S. government-related holdings include Treasury bonds, Treasury inflation-protected securities, Treasury futures and derivatives linked to U.S. government debt securities.

Mr. Gross surprised the investing world on Sept. 26 when he announced his departure from Pimco, which he co-founded in 1971, following a year of heavy outflows from the Pimco flagship bond fund and a showdown with his former chief executive and heir apparent.

Investors are keeping a close eye on the asset allocation because any significant changes could affect prices of some financial assets given the fund's massive size. One worry following Mr. Gross's exit has been whether Pimco needs to sell holdings to meet cash outflows from clients.

Investors withdrew a net $23.5 billion from the Pimco Total Return Fund last month.

"A fund that large can cause a downdraft in prices for a given asset class if they wanted to quickly reallocate away from a given security type," said Adrian Miller, director of fixed-income strategies at GMP Securities LLC in New York. "Having Bill leave is fine for those not happy with his performance and management style, but now Pimco needs to convince current and disgruntled investors that the firm has the answers to right the ship."

The fund's holdings of mortgage-backed bonds was 20%, unchanged from August. Emerging-market holdings ticked up to 10%, from 9% in August. The fund held 53% in cash-equivalent assets.

Holdings in developed countries other than the U.S., which include sovereign debt sold by eurozone countries, the U.K. and Canada, fell to 11% last month, from 13% in August. Holdings of U.S. corporate bonds were unchanged at 13%.

In a sign Pimco aims to provide more transparency in the Total Return Fund's asset allocation following Mr. Gross's exit, the latest data showed the fund held a negative 51% in a category called "offset related to derivatives." Such offsets may be taken at the notional value of the derivative position, which in certain instances may exceed the actual amount owed on such a position, according to information from Pimco's website.

Previously, Pimco lumped this with cash equivalents in a category called money market and net cash equivalent, which was negative 1% at the end of August.

Mr. Gross had employed derivatives as a way to boost the fund's performance.

The Pimco fund's performance has been lackluster this year. The fund's 4.1% return through Wednesday trailed 80% of its peers. The fund maintains a solid long-term track record. Its annualized average return over the past 15 years through Tuesday was 6.8%, beating 96% of its peers.

Mr. Gross joined a smaller rival Janus Capital Group Inc., where he manages a newly created bond fund.

After Mr. Gross's exit, Pimco named three fund managers to run the Total Return Fund: Mark Kiesel, Scott Mather and Mihir Worah. All of them are senior fund managers of Pimco, which manages about $1.97 trillion in global assets as part of Germany's Allianz SE.

Write to Min Zeng at min.zeng@wsj.com

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