is it correct to say - riding the yield curve strategy doesn’t hold with Arbitrage-free framework ? or i’m mis-stating it ?
you ride the yield curve because historically the shape is generally upward sloping.
arbitrage free models don’t predict the shape, they just model the shape based on market prices.
you can use the model to perform sensitivity/scenario analysis on your strategy, but there is nothing in the model to say the strategy should work, really you are just exploiting a historical relationship with perhaps some macroeconomics added.
so I would say your statement is correct.
The arbitrage model does also make some assumptions such as the curve being continuous (smoothing out off-the-run/on-the-run differences), so in those cases it wouldn’t hold either.
(e.g. you bought a 5yr bond, tried to sell it 1 month later, you probably lose money - higher yield - which is where the framework fails)