This paper investigates the anticipation and informational impact of monetary policy shocks through the lens of actively managed government bond funds. Analyzing their performance on FOMC announcement days, we identify a stronger “Fed information effect” when fund managers’ expectations align with the Fed’s. In these cases, the signaling effect of monetary policy prevails, prompting economists to adjust forecasts of future macroeconomic fundamentals. Conversely, in cases of misaligned beliefs, the real interest rate aspect dominates, resulting in a negative albeit insignificant relationship between policy shocks and future fundamentals. Consistent with funds’ ability to forecast macroeconomic news, pre-FOMC changes in fund portfolio duration can predict post-FOMC shocks, leading to an average outperformance of funds on announcement days.