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Impact of maturity on bond return

The spot rate curve implicitly contains a forward rate curve: An investment in a bond is equivalent to a series of forward loans at rates given by the forward rate curve. To buy a long-term bond is to "purchase" the forward rate curve. Therefore, a short-term bond investor does better/worse depending on the evolution of spot rates vis-a-vis the forward rate curves. If realized spot rates increase relative to the implied forward rates, the short-term investor (who is rolling over) does better.
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