Investors have been trying to decode Bill Gross' pun-filled missives for more clues on why PIMCO, the bond powerhouse he runs, recently abandoned Treasury bonds.

That isn't as crazy as it sounds. Logic tells you that yields are bound to rise (meaning Treasury prices fall) when the largest buyers of Treasury bonds leaves town next month as the Federal Reserve's QE2 program comes to an end. But history says otherwise. It's the opposite of conventional wisdom: Yields fell when the first round of QE ended last year. They rose when QE2 resumed last summer.

Why? One explanation is that the QE programs were smaller than the amount of private Treasury buyers they displaced. So if QE2 was $600 billion, but it chased away $800 billion in private Treasury buyers, the net impact was less Treasury demand. When QE2 ends next month, those $800 billion of Treasury buyers could return, pushing rates back down.

At least that's the theory, and one that's made some question Gross' decisions to abandon the Treasury market.

He cleared things up this morning with a simple Tweet: "End of QE2 may or may not lead to higher yields, but what is clear is that a 1.79% 5 yr offers a negative real yield after inflation."

That's really the meat of the bond bubble. It's not that Treasuries are going to lose value in the coming months -- they could very well rally from here -- but you're still getting a negative return after inflation. Any investment returning less than that 3% annual clip the Consumer Price Index is growing by leaves you in the red.

Where might your money be better off? Several large-cap blue chips still trade at reasonable valuations and have decent dividend yields. A few names: Eli Lilly (NYSE: LLY), Southern Co. (NYSE: SO), Kimberly-Clark (NYSE: KMB), and Intel (Nasdaq: INTC). All yield more than 3%, and all will treat you far better than Treasuries.