The core in an regular laminated audio transformer does not work much
after about 1 kc.
After 10 kc it practically does not exist. The metal can swing that fast.
For instance if an input transformer had 40 henries of primary inductance, at 10 kc it might have 1/2 a henry, just enough to transfer the high end.
At 20 hertz and below, the magnetizing current, that is the current needed to excite the core, starts to skyrocket, almost expotentially. This increas in magnetizing current does horrible things to your sine wave. This is why most xfmr companies only spec from 20 to 20 kc. They don't want you to see what is happening to your signal below 20 hertz.
Things can really get ugly below 10 hertz, and at 4 hertz and below, you would not want to see what has happened to your signal.
The more henries you have, the less distortion you will have at 20 hertz and below.