We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001−July 2003, and show that a fund’s efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.