In this paper, we would like to contribute to the asset pricing discussion, by proposing a linear model of factors built specifically for the Brazilian stock mutual funds and by using it to analyze the performance of these funds through the methodology proposed in Fama & French (2010). The main innovation of this study is using this framework derived specifically for this category of funds with the aim to infer about the performance of the Brazilian funds, while literature is using classical models written to price stocks and not funds. We evidence that the factor model is more rigorous than the CAPM in the sense of identifying the randomness in performance. The main evidence is the existence of only 4 % of the sample of survivors funds in this category, whose superior risk-return performance is significant and a consequence of management expertise, and not due to lucky.