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I already know, and so ask not, about the benefits and need of bond diversification across different kinds, maturities, and ratings (eg Short- vs Long-term, AAA to corporate).

Global diversification is definitively recommended for stocks, because its benefits have been proven.
But what of global diversification for bonds (eg buying a ETF comprising bonds of many foreign countries?)? Does global diversification for bonds improve a portfolio, compared to buying a ETF of bonds of just one First World country (eg Canada, US, UK)?

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Adding international bonds to an individual investor's portfolio is a controversial subject. On top of the standard risks of bonds you are adding country specific risk, currency risk and diversifying your individual company risk. In theory many of these risks should be rewarded but the data are noisy at best and adding risk like developed currency risk may not be rewarded at all.

Also, most of the risk and diversification mentioned above are already added by international stocks. Depending on your home country adding international or emerging market stock etfs only add a few extra bps of fees while international bond etfs can add 30-100bps of fees over their domestic versions. This is a fairly high bar for adding this type of diversification. US bonds for foreign investors are a possible exception to the high fees though the government's bonds yield little.

If your home currency (or currency union) does not have a deep bond market and/or bonds make up most of your portfolio it is probably worth diversifying a chunk of your bond exposure internationally. Otherwise, you can get most of the diversification much more cheaply by just using international stocks.

rhaskett
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The Vanguard Emerging Market Bond Index has a SEC yield of 4.62%, an expense ratio of 0.34%, a purchase fee of 0.75%, and an average duration of 6.7 years. The Vanguard Emerging Market Bond Index only invests in US Dollar denominated securities, so it is not exposed to currency risk. The US Intermediate Term Bond Index Fund has a SEC yield of 2.59%, an expense ratio of 0.1% and an average duration of 6.5 years. So after expenses, the emerging market bond fund gives you 1.04% of extra yield (more in subsequent years as the purchase fee is only paid once).

Here are the results of a study by Vanguard:

Based on our findings, we believe that most investors should consider adding [currency risked] hedged foreign bonds to their existing diversified portfolios.

I think a globally diversified bond portfolio results in a portfolio that's more diversified.

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