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I did this way too quickly, but very roughly, for 30Y zeros the domination contribution has been duration return but for 10Y, 5Y or 2Y zeros the dominant contribution is carry and rolldown. My "rolldown" includes the risk-free return which would be subtracted ideally.pic.twitter.com/LvzU5xd51j
That's perfect. That is exactly what I was going to waste considerably more time building than it probably took you. Lots more juice in the 30 and lots more duration P&L variance (as to be expected).
That’s awesome.
But, also, 2*Duration - 1 is like 2045.
So… @RemindMe_OfThis in 24 years
Very interesting that the 30y have the highest *rolldown* returns of the bunch. I would have expected them to have the same or less, more than compensated of course by duration returns.
There are two components, the pure rolldown effect (which is small for 30s and sometimes even negative) and pure yield level which is captured by duration shortening, which is more significant (that’s my intuition, haven’t checked)
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on roll yield or leverage)
A (long) 
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(I wrote about this back in 2017 too: 
