Take, for instance, a simple bond fund like IEF
IEF +1.1%, the iShares U.S. Treasury 7-10 year ETF (-12.99% YTD). It contains 12 U.S. Treasury bonds maturing between 2029 and 2032. To maintain the 7-10 year range over time, the fund will periodically sell the bonds that fall short of the 7-year maturity and purchase bonds that are closer to 10 years. As interest rates rise and time passes, the fund will buy bonds at lower rates (higher prices) than when they sell them, sometime later, at higher rates (i.e at lower prices). That is, bond funds are forced to buy high and sell low.