This paper provides empirical evidence on predictable time variations in out-of-sample bond return predictability. Bond return predictability is associated with periods of high (low) economic activity (uncertainty), which implies that violations of the expectations hypothesis are state dependent and linked to features of the business cycle. These state dependencies in predictability, established by introducing a new multivariate test for equal conditional predictive ability, can be used in real time to improve out-of-sample bond risk premia estimates and investors’ economic utility through a novel dynamic forecast combination scheme that uses predicted forecasting performance to identify the best set of methods to include in the combined forecast. Dynamically combined forecasts exhibit strong countercyclical behavior and peak during recessions.This paper was accepted by Lukas Schmid, finance.Funding: This work was supported by the Danish Council of Independent Research [Grants DFF 7024–00020B and DFF 9033–00003B] and the Danish Finance Institute.Supplemental Material: The data files and online appendices are available at https://doi.org/10.1287/mnsc.2023.4713 .