This study investigates mutual fund managers’ skills. Besides at alphas (abnormal returns), this research also looks at the persistence of these alphas and the differences in alphas and explanatory power of the dependent variables between different economic times. Results show that in the period January 1990 till December 2013 mutual funds were on average not able to outperform benchmark portfolios. In expansions, regression results show that past alpha has a positive and significant effect on future performance, while in recession periods this effect is significantly negative. Of the other explanatory variables, expense ratio has the most robust effect on performance. In both expansion and recession periods it has a negative effect on future alphas, although this effect is much higher in recession periods for a shortterm horizon. Portfolio turnover ratio has a negative effect on future performance in expansion periods and a positive effect in recession periods. Level of diversification also has a negative effect, though this effect is not always significant. Furthermore, this study does not find evidence of differences between alphas generated in recession versus expansion periods.