I show that mutual fund managers who adjust their portfolio holdings based on changes in the variation of analyst forecasts achieve significantly lower abnormal returns. Utilizing a partially revealing rational expectations equilibrium (REE) setup, I show that an uninformed (hence, unskilled) investor places greater weight on the public signal relative to an informed investor, given an increase in the precision of public information. Following Kacperczyk and Seru, I formulate a new measure of managerial skill based on the standard deviation of analyst recommendations. This measure, dubbed RPIσ, captures the sensitivity of changes in mutual fund portfolio holdings because of changes in the standard deviation of analyst forecasts. Statistical evidence shows that abnormal returns decrease in RPIσ. The results are robust to various conventional performance benchmarks and alternative formulations of RPIσ using analyst price targets, earnings per share forecasts and coefficients of variation.