Аннотация:We compare yields of the leading Russian managed fund with the
MICEX index for estimating the time necessary to make a conclusion about manager's
performance using martingale approach and we also show that short-term periods are
not optimal a priori and it's not worth to invest in Russian stocks for only a few
months. It is shown that the MICEX index can't be considered as a benchmark to
compare dierent funds and at the end of the paper such universal index is suggested.