Should I do a really long and wonky thread on fixed income returns + the yield curve?
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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.
on roll yield or leverage)
A (long) 
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(I wrote about this back in 2017 too: Nice. I had a different way of thinking about it. Assume 5y yields start at 15%. In scenario 1 they decline 50bps/year, in scenario 2 they are constant. Eventually the scenario 2 returns are better, because the higher starting yield outweighs the duration return.
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As holding period starts to exceed years of duration
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"2xDuration - 1" rule is really useful here.
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