Originally Posted by MooreBonds
HOWEVER - you must look at what the bond ETF is currently traded at, in relation to the Net Asset Value. If all of the bonds in the ETF's portfolio are priced at 100 and the NAV is $10, but the ETF is trading at $12 to have a yield to maturity that matches the rest of the yield curve, then you are guaranteed to lose $2/share at maturity, even though the ETF's bonds (assuming no defaults) will mature at the price they're at now.
That is true in general. The document at Bulletshares claims their defined maturity ETFs take that into account by adjusting the payout with the change in YTM.