coupon carry can be eroded during bond price declines.
TLT’s drawdown risk can swamp coupon income—TLT was down 8% on a total return basis with coupons included.
Declining bond prices can erode the very “dividend-like” coupon income TLT provides, meaning total return can fall even while coupons keep paying. The segment cites TLT down 8% on a total return basis (coupons included) since their comparison framework began.