There is post-FOMC announcement drift in Treasury markets after Fed Funds target changes. The expectations hypothesis holds on FOMC announcement days, but fails thereafter. The same-day response of 10-year Treasury yields to a 10 bps. surprise in the Fed Funds rate is only 1.7 bps, but, after 50 days, 10-year yields have increased by 14 bps. Mutual fund investors respond to Fed Funds target rate increases by selling short and intermediate duration bond funds, thus gradually increasing the effective supply of these bonds. Using FOMC-induced variation in bond fund flows, we estimate short-run demand for Treasurys to be inelastic, especially for longer maturities. The gradual increase in supply, and the low demand elasticity, account for the post-announcement drift. Mutual fund investors help the Fed control long-term interest rates.