As more government bonds see negative yields, the one-time safe-haven has become a "lousy proposition" for longer-term investors, said Ng Kok Song, the former chief investment officer of Singapore sovereign wealth fund, GIC.
Fixed income assets have been on a tear in recent months on expectations that major central banks will keep monetary conditions accommodative to goose their economies.
Investors have been paying the governments of Japan and many euro-zone countries for the privilege of parking their funds.
Even some countries with patchy credit histories have recently garnered robust demand for their debt: Argentina managed to sell a large chunk of bonds with minimum fuss having been locked out of capital markets for 14 years. Ireland, which had to suffer the ignominy of a bailout in 2010, recently wrapped up a sale of 100-year bonds.
But Ng saw signs of concern amid the rally.
"Yields have come down so much so what we are looking at the risk of investing in bonds is what is the yield you get per year of duration of the bond," said Ng at the Credit Suisse Megatrends conference last week.
"It has come down dramatically, so there's very little room for error and if by chance the global economy normalizes, interest rates go up, you're going to start looking at capital losses."