Bill Gross is continuing to slash PIMCO Total Return Fund’s exposure to U.S. Treasury bonds as yields linger near all-time lows.

Gross cut holdings of Treasuries in March to 32%, the lowest since December and down from 37% the previous month, Bloomberg News reports.

The bond guru oversees the roughly $250 billion mutual fund and its offshoot, PIMCO Total Return ETF (NYSEArca: BOND), which has gathered about $372 million since listing March 1.

The new ETF outperformed its bond benchmark in the first month of trading thanks in part to Gross overweighting the fund in mortgages. [Performance Scorecard: Bill Gross’s PIMCO Total Return ETF]

Gross has been warning investors in recent months that inflation is a threat to Treasury holders since yields are so depressed. Also, the Federal Reserve has been supporting the Treasury market by buying long-term bonds in an effort to keep rates low and stimulate the economy. [PIMCO’s Gross Favors Shorter Duration, Inflation-Protected Bonds]