this is what i think:

if you immunize your portfolio, that is, your portfolio has small duration to eliminate the interest risk, which will be reinvested with short term rate. in a upward sloping environment, long term rate > short term rate. so the immunized return will be less than your YTM (which should have longer term than your immunized portfolio).

does it make sense?

phu003,

Your explanation does make sense and clear my confusion. I really appreciate your help.