Russian Mutual Funds: Skill vs. Luck

Our work is focused on Russian mutual funds managers' skills versus luck testing. Using the bootstrap procedure of Kosowski et al. (2007) we test Jensen's alpha signicance for each fund. We found that only 5% of equity mutual funds do have skills. These results for the emerging Russian market are similar to previous studies of developed markets. Interestingly, skilled funds are not characterized with the extremely high alpha. This leads to an unexpected conclusion: an investor should avoid funds with a very high alpha