Denote the time-t price of a T-year zero bond by $P_t(r_t, T)$, where $r_t$ is the instantaneous spot rate. By Ito's Lemma,

$$dP = \frac{\partial P}{\partial t}dt + \frac{\partial P}{\partial r}dr + \frac{1}{2}\frac{\partial^2 P}{\partial r^2}\sigma^2 dt$$

We can obtain a simple decomposition of the bond's return. Which of the following statements is correct regarding the decomposition?