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Total Horizon Return

Sum of all return components over the holding period.

Total horizon return combines carry, roll-down, price effect, and reinvestment returns to give the all-in return from holding and selling a bond at the horizon. It's expressed as a percentage of the initial investment (dirty price × notional).

Formula
Total Return=Carry+Roll-Down+Price+Reinvest\text{Total Return} = \text{Carry} + \text{Roll-Down} + \text{Price} + \text{Reinvest}

Related Terms

Horizon Analysis

Projects bond returns for a holding period shorter than maturity.

Yield to Maturity (YTM)

The annualized return if you hold the bond to maturity, assuming all coupons are reinvested at the same rate.

DV01

Dollar change in value for a 1 basis point (0.01%) yield move.

Modified Duration

Measures the percentage price change for a 1% yield change.