An inflation-linked bond (ILB) is a debt security which generates cash-flows linked to the evolution of a given price index. The aim of the indexation is to protect the “real” value of the investment. Contrary to conventional sovereign2 fixed or floating rate securities, which offer investors certain nominal rates of return, inflation-linked bonds tie part of their economic result to the evolution of a price index, assuring in this sense a real rate of return. By so doing, the risk/return characteristics of these instruments differ from those of conventional bonds, while still offering the same credit exposure. The question naturally arises whether there are any advantages, from a risk/return perspective, on including this kind of instruments in a bond portfolio made up of conventional fixed/floating rate bonds and money market instruments. In other words, do ILBs constitute a different asset class able to enhance the efficient frontier if included in an otherwise conventional bond portfolio?[...]