Carry Return
Return from coupon income received during the holding period.
Carry return is the portion of total return attributable to coupon payments received between settlement and the horizon date. It represents the income earned simply by holding the bond, before any price changes.
- Only coupons received before horizon are included
- Coupon amounts are per 100 par, scaled by notional
- Initial investment is
Horizon Analysis
Projects bond returns for a holding period shorter than maturity.
Coupon
The bond's stated annual interest rate, applied to face value to determine periodic payments.
Carry
The income earned from holding a bond, mainly from coupon accrual.
Current Yield
Annual coupon income divided by the bond's clean price.
Running Yield
Annual coupon income divided by the bond's dirty price (clean price plus accrued interest).
Yield to Maturity (YTM)
The annualized return if you hold the bond to maturity, assuming all coupons are reinvested at the same rate.