Piazzesi and Swanson (2006) argues that the monthly excess returns on federal funds futures contracts are significantly positive on average; predictable using business cycle and financial market indicators; and that futures rates need significant adjustment for these excess returns. This paper shows that intermeeting moves of the federal funds rate by the FOMC can explain much of the variation in the excess returns. After accounting for these intermeeting moves, business cycle variables, corporate credit and Treasure spreads, and federal funds rate momentum have little marginal predictive power and have smaller and generally less significant coefficient estimates. Both in-sample and out-of-sample results suggest that, after removing influential outliers, futures rates are a useful measure of monetary policy expectations and only require a small adjustment of about 1 basis point per month for excess returns.