"Carry is a function of the shape of the interest rate curve. When the curve is upwardly sloping (ie, longer dated rates are higher than shorter rates, as they are currently), then the market is implying that interest rates are expected to rise in the future. If interest rates follow projected forward rates (and these expected rises materialise), then carry will be zero."
I'm struggling to understand why this would be the case?
Source: redington.co.uk/base/redington/publications/download/id/12 [Note: It auto downloads the PDF]