This paper focuses on actively managed bond mutual funds, whose performance is most sensitive to monetary policy shocks. We document significant and persistent FOMC-day outperformance by macro-active bond funds, which is particularly pronounced during periods of heightened macroeconomic disagreement and attention. Consistent with their forecasting ability, these funds’ pre-FOMC portfolio duration adjustments can predict FOMC-day monetary policy shocks beyond the information offered by economic data and asset returns. Furthermore, we show that this macro-investing skill extends to GDP and CPI announcements and is consistently shared across various fund styles within fund families.