A paper titled “What Can Macro-Active Bond Funds Tell Us about Monetary Policy Change?” has been published online in the Journal of Financial Economics, one of the leading international journals in finance. Its authors are Jun Pan, Professor of Finance and SAIF Chair Professor; Yurong Hong, Associate Professor of Finance at SAIF; and Shiwen Tian, a 2024 graduate of the SAIF PhD program and now an Assistant Professor at the CUFE School of Finance.
The paper examines the macro-investing skill of actively managed government bond funds, asking whether professional institutional investors can effectively gather and process information on monetary policy and trade on it.
The authors compared the performance of U.S. government bond funds, corporate bond funds, and equity funds around 186 Federal Open Market Committee (FOMC) announcements from 1998 to 2021. They found that more macro-active government bond funds earned significant excess returns on FOMC announcement days and that this outperformance persisted over time, reflecting strong macro-timing ability among some fund managers.
The study further finds that these funds actively adjusted portfolio duration ahead of FOMC announcements. Their duration changes significantly predicted monetary policy shocks on announcement days and contained information beyond that in conventional macroeconomic data and financial market indicators. The same skill extended to major macroeconomic releases, including data on gross domestic product and the Consumer Price Index, and was correlated to some degree across fund types within the same fund family.
By examining how professional institutional investors trade, the study offers new empirical evidence on how financial markets identify, trade on, and absorb information about monetary policy.
About Professor Jun Pan
Jun Pan is a Professor of Finance and SAIF Chair Professor at the Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. Before joining SAIF, she was the School of Management Distinguished Professor of Finance at the MIT Sloan School of Management. Her research spans Chinese financial markets, fintech, asset pricing, financial derivatives markets, credit risk models, financial crises, market liquidity, market microstructure, risk management, and fixed-income markets. She has published more than 20 papers in leading international academic journals, including Econometrica, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics.
Professor Pan currently serves as Department Editor for Finance at Management Science and as an Associate Editor of the Journal of Finance. She previously served as Editor of the Review of Finance and as an Associate Editor of the Review of Financial Studies. She has been a Senior Research Fellow at the Asian Bureau of Finance and Economic Research (ABFER) since 2014 and joined its Executive Committee in June 2024. She has also served as a Research Associate at the National Bureau of Economic Research (NBER).
Professor Pan has received numerous academic honors, including the 2015 Stephen A. Ross Prize in Financial Economics, the 2021 Best Paper Award and the 2026 XiYue Best Paper Award at the China International Conference in Finance (CICF), and the WRDS Best Paper Award at the 2024 Asian Finance Association conference. She has also been named to Elsevier's list of Highly Cited Chinese Researchers every year from 2021 to 2025.
Professor Pan earned her PhD in physics from New York University in 1995 and her PhD in finance from Stanford University in 2000.
About Professor Yurong Hong
Professor Yurong Hong is an Associate Professor of Finance at the Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. Her research focuses on empirical asset pricing, asset management, and fintech. Her work has been published in the Journal of Financial Economics, Journal of Financial and Quantitative Analysis, and Management Science. In 2021, she received funding from the National Natural Science Foundation of China for Young Scholars. Her research has received several academic and industry awards, including the CFA Institute Best Paper Award at the FMA Asia Pacific Conference, the Asian Finance Association (AsiaFA) Best Paper Award, the Excellent Paper Award at the China Financial Academic and Policy Forum, and the SIIFE Research Excellence Award at the China Finance Annual Conference. She has also received the Distinguished Referee Award from the Review of Finance.
At SAIF, Professor Hong teaches the course “Fixed Income Securities” for MBA and MF students.
