The predictability of future returns on bond portfolios at daily frequency is investigated using a large universe of mechanical trading rules that have been popularized in literature on equity and currency markets. The predictability in returns is inversely related to interest rate risk but positively related to default risk. The return predictability is more sensitive to fluctuations in the economic business cycle rather than changes in the Federal Reserve's monetary policy. Returns on portfolios of Treasury bonds are more predictable during the restrictive monetary policy regime, whereas returns on both Treasury bonds and corporate bonds exhibit much better predictability during the economic expansions rather than recessions. The predictability of returns in various segments of the U.S. bond market has declined over time. Findings for the predictability in the highly liquid bond exchange-traded funds are largely in line with the original results of the predictability in bond portfolio returns.