We investigate whether the historical performance of managers of the 141 largest active equity investment funds in Brazil exceeds the return expected by the 3-factor model of \citeasnoun{Fama1973} over a 10-year period. We find that managers, on average, fail to achieve returns higher than the model. We determine whether the performance of these same funds is influenced by the market direction in stock prices. Results show that market direction has no influence on managers’ excess return. Finally, we test whether the funds’ size impacts their performance. Data indicate a negative relationship, which may be explained by inefficiencies of scale. The sample excludes restricted and exclusive funds, as well as portfolios composed predominantly of offshore investments and of other funds.