Diversification is a keystone in modern finance. In this paper we discuss the potential benefits of diversification for high grade sovereign bond portfolios. A government bond investor may be motivated to diversify internationally for a number of reasons. The first and most classic reason would be to achieve overall volatility reduction in the portfolio. If the economic and business cycles of different countries are showing lags relative to each other, it is realistic to assume that lags across the expectations, monetary policy actions and other factors that influence interest rates would lead to less-than-perfect correlations. Beyond volatility reduction, investing in multiple countries could also be driven by return enhancement: the investor may find an attractive credit spread from a country with lower credit quality within the same currency zone, or the investor may expect positive carry from relative yield curve differences across different currencies. In conjunction, with an increasing focus on sovereign default risk, mitigating the impacts of possible financial distress may also be a motivation to diversify. In this paper we discuss both rate volatility reduction and the tail risk reduction aspects of diversification.[...]