Alternatively, we can take a forward-looking view. What would happen if rates stayed at the spot curve, and you bought gilts? If you bought an n-year zero-coupon gilt and held it, you’d earn the zero-coupon rate. However, if you bought an n-year bond and rolled it every year, so that your portfolio kept a constant maturity, you would also earn (or lose) this rolldown effect. Which means you might get different returns.
Now, it’s almost certain that interest rates won’t stay at the spot curve. Moreover if rates rise, the rolling portfolio maintains its duration, so it is exposed to more risk (through time). This is demonstrably not free money. What it does mean though is that, without anything dramatic happening to rates, gilts could still return significantly more than their current yields.. page 19