It's bad enough investors are earning nothing to own trillions of dollars of government debt. What's worse is that in some cases they're paying higher bond-fund management fees than the yield generated by the underlying notes.

Consider the iShares International Treasury Bond ETF, a US$513 million exchange-traded fund that focuses on non-U.S. government debt. The fund's expense ratio is 0.35 percent while its 12-month yield is only 0.1 percent, according to data compiled by Bloomberg.

The fund lost 3.5 percent over the past year even as bonds of developed economies gained pretty much across the board. What does it own? Mostly European sovereign debt, with a smaller, 22 percent slice in Japanese notes, Bloomberg data show.

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