Rolling yield
The return a bond portfolio earns if the yield curve stays where it is: yield income plus rolldown return. The part of an expected bond return that needs no view on rates.
Where you will meet it
Rolling yield appears in 3 learning outcomes on the CFA syllabus. A few of them:
- Explain what drives the return on a bond portfolio when benchmark yields change
“Return also includes rolling yield (carry, before any financing cost): the coupon income plus rolldown as a bond ages along an upward-sloping curve.”
- Break down and interpret a model that decomposes the return on a bond portfolio
“Expected return is built from components: yield income (coupon ÷ price), plus rolldown return from the bond ageing along a sloped curve (together, the rolling yield), plus the expected price change from yield moves, −D × Δy + ½ × C × (Δy)², minus expected credit losses, plus or minus currency gains or losses.”
- Assess the likely return from a yield curve strategy and the risks it carries
“Yield income plus rolldown is the rolling yield.”
See also
Practise it
Practise rolling yield until it is automatic: questions that explain every wrong option.
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