Pimco Total Return Fund (PTTRX), the world’s largest mutual fund, is having its worst year versus rivals based on records going back to 1995, and  Bill Gross’s decision to dump Treasuries isn’t the only reason.

Gross bet almost $11 billion in the second quarter on an index of U.S. corporate credit risk, raised the amount of insurance the fund provides on sovereign debt and put $1.3 billion into Italian Treasury bonds linked to inflation, according to an August regulatory filing.

Since June 2010, Gross has been reducing the $245 billion fund’s vulnerability to interest-rate swings and increasing its reliance on credit quality by shifting from Treasuries to corporate and non-U.S. sovereign debt, a strategy that backfired last month. As the  U.S. economy  slowed and Europe’s debt crisis worsened, investors sought the safety of Treasuries and sold the bonds Pimco had bet on, leaving the fund trailing 89 percent of competitors in August and 67 percent this year through Sept. 8, according to data compiled by Bloomberg.

“People are focusing on the Treasuries, but the real issue is that the other credit instruments didn’t do as well,” A. Michael Lipper, head of Lipper Advisory Services Inc., a Summit, New Jersey, firm that advises institutions on investing in mutual funds, said in a telephone interview. “They had way too much, short term, of the underperformers.”

The amount of protection issued by Pimco Total Return on debt tied to corporate borrowers, municipalities and sovereign governments outside the U.S. rose to $43.6 billion as of June 30 from $19.6 billion a year earlier, the filing shows.