Is roll down return same as rolling down the yield curve strategy and both assume static yield curve?
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Roll yield consists of the coupon amount and the roll yield. Roll return is the return that was earned because of the change in time period, assuming yield curve will remain stable.
I think u have written it opposite rolling yield consists of carry return and rolldown return. But my question is not this, the strategy of rolling down the yield curve in a static yield curve environment is it same as rolling return? Because both assumes static yield curve
Apologies for the typo.
I don’t think I still get your question. Still I’m trying to explain something if that helps.
The strategy of Rolling down the yield curve assumes the yield curve is the same.
But what you’re referring to as Rolling Return, I don’t think that’s a strategy itself. Rather the return in one period can be broken down into components, and one of the components of total return is referred to as roll return, which once again assumes a stable yield curve. But that’s like we are assuming, had the curve been stable, we’d have earned this return, then we bring in the component return from the change in the curve.
If it’s still not clear, please share a snapshot of the relevant portion where you’re having the issue.