Recent market convention has treated US Treasury bonds as the de facto risk-free benchmark because they comprise the largest and most liquid bond market in the world. Now pause for a second, and consider exactly what that means. Investors are (or at least have been) comfortable buying US Treasuries because the US government is more indebted than anybody else. Index benchmarking and index-hugging might have some sort of dubious merit in the context of equity markets, at least for the largely clueless managers who practise it, but it has none whatsoever in the context of debt markets, unless you are yourself a sovereign fund with too much money on your hands. For anyone else, US Treasuries, like most other western sovereign bond markets, are an expensively priced reflection of a bygone era of purely historic relevance amidst a global financial crisis brought about by too much of that self-same debt.