The yield to maturity (YTM) provides a good estimate for expected return when the spot rate curve is flat. This is because:

• YTM assumes all cash flows are reinvested at the same rate (the YTM itself)
• When the spot rate curve is flat, all spot rates are equal, making the reinvestment assumption valid
• With upward or downward sloping curves, the reinvestment rates for different cash flows would differ from the YTM, making YTM a poor estimate of expected return

In essence, YTM equals expected return only under the unrealistic assumption of a flat yield curve.