Your dog needs to learn how to interact and hold objects that are interest to you, here is an example of a dog content in the garden, the dog needs to be comfortable with his doggy self, and getting deeper into role. It does not help if he is constantly waiting for a gay hostile neighbour to poke their head over the fence. He really needs to be in his 'comfort zone' when he can get into character and then do all that you have asked of him, to the point when it becomes second nature.

Once your dog has learnt to hold and pick up the object that interest you, he is ready to learn to chase it and bring it back. If you are training a puppy you can use a squeaky toy initially and let the pup play with it. otherwise used   the 'hold' object you used before