For an investor expecting future spot rates to be below current forward rates, the expected return of a bond over a 1-year period will be greater than the 1-year risk-free rate. This occurs because:

• Forward rates represent the break-even rates that would make investors indifferent between different investment strategies
• If actual future spot rates are lower than forward rates, investors can earn excess returns by:
  • Buying longer-term bonds and selling them after 1 year
  • Reinvesting coupon payments at higher-than-expected rates
• This creates a positive carry or roll-down return
• The expected return exceeds the risk-free rate due to this yield advantage

This is essentially the same logic as in question 15 - expecting lower future spot rates creates profitable opportunities.