Here is yet another story of that delightful rapscallion the Tsesarevich Alexei, in another paraphrase from a Russian source:
While his mother, sisters and other female members of the court were visiting father and son Army Headquarters at Mogilev, they all stopped off at one of the boy's favorite swimming areas, on the banks of the Dnieper River. (a place that I believe was called Evpatoria). At one point the Emperor noticed a lady's parasol floating down the river, one that belonged to the lady-in-waiting who tells this story in her memoirs. (I think it was Baroness Sophie Buxhoevden).
'How did that parasol get into the river?' the Tsar asked.
'Oh, Alexei must have done that! I had seen him with it earlier,' his daughter Olga said.
Nicholas II called the little culprit to him, and said then,
'For shame, Alexei! Now I will just have to go in there and get it, and I won't like getting wet.'
And it served as a reprimand for the little prince to see his father swim out to retrieve the fancy parasol while in that angry state. The Tsar returned the umbrella to its owner, and went to sun himself on a rock in order to get dry. His Majesty did not feel like speaking to anyone for a while.... until, as the Baroness writes:
'The poor little Tsarevich apologized most humbly and sincerely to me. From then on he made sure to be especially courteous to ladies.'