A month ago, with Pimco's bets misfiring, Mr. Gross was so stressed that he left the office, taking an unplanned vacation, sitting at his home with his wife, he says.
"I just had to leave for nine days, I couldn't turn on business television, I couldn't pick up the paper, it was just devastating," Mr. Gross says in an interview at Pimco's headquarters, near the Pacific Ocean. "We've increased the volatility [of the portfolio] but I'm not enjoying it. You can't sleep at night."