The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However, such statistical predictability cannot generate any economic value for investors. Furthermore, strong statistical and economic evidence from fully revised macroeconomic data vanishes when real-time and survey-based macroeconomic information is used. We also show that highly levered investments in bonds can improve short-run bond return predictability.