We focus on correlation between the estimates of manager’s skills to invest and the frequency of measurement results obtained by them, which can lead to distortion of investment decisions. We found that estimates of performance measures depend not only on the frequency of observations, but on...

Our work is focused on Russian mutual funds managers’ skills versus luck estimating. Using bootstrap procedure we build Jensen’s alpha density for each fund. We find that only 5% of Russian equity mutual funds do have skills (in contrast to luck) to outperform the benchmark.