At the end of June, the Federal Reserve will no longer be the biggest buyer of US Treasuries. But one notable investor has already said Hasta la vista.

Pimco’s flagship $237bn total return fund, managed by Bill Gross, whose status as bond king has been synonymous with the 25-year bull market in Treasury debt, pulled the plug on holding US government related securities in February, it emerged this week. Last month his fund eschewed holding US government related debt, having had 12 per cent of the fund’s portfolio in Treasuries in January.

The move is a bold one. Given that the Barclays Aggregate has a Treasury weighting of 40 per cent, the decision by Mr Gross to exclude government holdings means he is seriously underweight his benchmark, or “bogey”.

A sharp rise in Treasury yields means the benchmark will suffer, while Pimco’s performance will not. That would give Mr Gross bragging rights that he has outperformed his benchmark.

This bearish call on Treasuries will not have been made lightly. Pimco is renowned for brainstorming among its staff in reaching big investment decisions. It does its homework and has a history of success in bonds.

But this move away from Treasuries could prove costly for Pimco.

Treasury yields have been falling since their peak in early February, presumably when Pimco was liquidating its holdings. The ensuing rise in Treasury prices and decline in 10-year yields from 3.77 per cent to a low of 3.33 per cent on Friday means Pimco has missed out on a nice rally, and one that could extend further.

To say no to Treasuries, the most liquid of bonds, means you are dismissing a haven that warrants being part of your portfolio. It is an interesting stance at a time of Middle East turmoil and the unresolved debt woes in the eurozone.

Beyond the bull-versus-bear case of owning Treasuries at any one time, these securities are a beacon for people and countries with lots of money that are intent on preserving their wealth.

With a Treasury, you do not run the risk of losing your principal. It gets paid back at maturity along with the coupon. And for all the doom and gloom over the long-term fiscal position of the US, the government will be forced to cut benefits or raise taxes.

Then there is the Fed.

Contrary to many expectations, the latest wave of quantitative easing, or QE2, has been bad for Treasuries, because the Fed has been pushing investors into riskier assets such as equities and commodities, which in turn hurts appetite for government bonds. Once the Fed is no longer a big buyer of Treasuries, and thus artificially pumping up risk assets, investors will book their profits and park their money back in government bonds.

Ahead of the Fed ending QE2, the central bank’s manipulation of asset prices is already showing signs of backfiring as the rapid rise in food and energy prices since last November hits emerging markets hard. Such slowing global growth bodes ill for a US economy still struggling with a housing bust amid looming tighter state and local government budgets, while the consumer is being hosed at the petrol pump and supermarket.

Judging by the strong investor demand for new long-term Treasury debt this week and last month, few seem to share Mr Gross’s concern that inflation and the end of QE2 will send bond yields sharply higher. And given Mr Gross’s history of switching positions quickly, could his sojourn from Treasuries prove short-lived?

There is much to be said for not following the herd, but as traders warn, the reward of being first to a new investment opportunity must be weighed against the risk of being eaten by an unforeseen foe.