Fixed Income Yield Curve Strategies

Hi All

Request your help, could someone please explain what constant maturity yield means and why it is part of the bond return calculations, thanks !

Constant maturity yield means pretty much what it says: what’s the, say, 1-year yield today, and what’s the 1-year yield going to be in 3 months?

This is in contrast to the yield that will matter if you buy a 1-year bond today: then you would be interested in what the 9-month yield will be in 3 months.

Thank you again S2000magician, would you please also explain why the change in constant maturity yield after a certain period is part of the return calculation as shown in Example 5 in the yield curve strategies reading ? In your example, after 3 months the yield that matters is the 9 month yield right ?