One reason active management is so difficult is because no matter how great your forecast might be given current market conditions, you must still be able to forecast future market conditions and timing. This barrier to out-performance holds true for both equity and fixed income. Because active out-performance in fixed income has come less than even blind luck would suggest,* Dimensional Fund Advisors (DFA) has developed an alternative strategy to manage fixed income that does not rely on forecasting. It relies entirely on accepting current rates as the best current predictor of future rates. Jim Parker of DFA discusses this simple and effective fixed income strategy in The Curve Ball.
*SPIVA Failure of Active Management