Should I do a really long and wonky thread on fixed income returns + the yield curve?
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Yes. I kind of did one this morning, but not super wonky.https://twitter.com/choffstein/status/1445038271579443201 …
1/ Why the bond bull market had almost nothing to do with declining interest rates (and why you shouldn't
on roll yield or leverage)
A (long) 
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(I wrote about this back in 2017 too: https://blog.thinknewfound.com/2017/04/declining-rates-actually-matter/ …)Show this thread
I saw this, that's what made me think about it. Was skeptical that price return was not important for last ~30 years but it makes intuitive sense for long term returns when you consider that you're reinvesting at a lower yield.
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I think of it this way: carry explains the E[r] and rate changes explain the variance. Over a short period, sqrt(t) * volatility >> t * E[r]. Over a long enough period, t * E[r] >> sqrt(t) * volatility.
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irl would you use sqrt(t) or replace it with something less steep outside regular session?
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