This paper studies time varying bond returns via macroeconomic variables. We find that a single macro index consisting of inflation, real activities and money can predict annual excess bond returns of 1-5 year maturities with R-squares up to 37%. The macro factor has a symmetric tent-shape, when projected onto forward rates. In addition, i) it predicts longer-term bond returns better than shorter-term returns, ii) it is countercyclical and independent of each bond yield and iii) it predicts excess stock returns. Results are robust to measurement errors and lags. Through detailed analyses, we argue that macroeconomic variables could account for the information in long-maturity forward rates almost entirely in light of return predictability.