I debiti sovrani nell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio

The risk of default of sovereign bonds in the Euro area significantly changed during the Eurozone debt crisis. Mutual funds specialized in Euro area government bonds invest exactly in these assets and constitute a large share of the financial portfolio of Italian households. Their performance is usually expressed with respect to market-cap weighted benchmarks. We show how country weights in the benchmarks have changed during the last financial crisis, increasing the overall default risk. Investment in passively managed funds has thus increased the portfolio exposure to sovereign risk.