Closed-end funds trade continuously through the day on an exchange, just like stocks, and can trade at a premium or discount to their net asset value. 

For example, the Pimco Income Strategy Fund Common fund dropped 4.5 percent Friday, pushing its share price to a 4.1 percent discount to net asset value.

"The lesson learned here is simple enough: CEO departures are one of those idiosyncratic risks that are very difficult to hedge," Sanjoy Ghosh, chief investment officer of Covestor, an online investment management company, writes on MarketWatch.

"Even relatively safe investments like Pimco funds are susceptible to events like an unanticipated CEO departure." Gross was actually chief investment officer at Pimco.

In any case, open-end funds don't carry the same risk that closed-end funds do, Ghosh notes. That's because open-end funds, which trade only once a day, are always priced at net asset value.

Gross may end up taking some of his customers with him to his new employer, Janus Capital Group.

Global View Capital Management is considering a shift from Pimco to Gross' new fund at Janus, Dina Fliss, the firm's president, told The Wall Street Journal.

"We're pretty excited about the fact that Bill Gross is going to run a new fund," she said. "Obviously, he made his mark as a terrific bond manager who is doing things differently."

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• Pimco CEO: Firm Moving Away from Bill Gross Model
• How Bill Gross Became Too Hot for Pimco to Handle