We investigate whether mutual funds adjust their portfolio allocations in global bond markets in response to country-level measures of inflation risk, specifically inflation volatility risk and inflation cyclicality. Our findings indicate that portfolio managers decrease allocations in countries with higher inflation volatility risk, relative to their overall portfolio exposure to inflation volatility risk. In contrast, inflation cyclicality does not exert a significant influence on global portfolio allocation decisions. We strengthen our results by analyzing funds according to their geographic investment mandates, fund characteristics, and portfolio composition.