Latin American Business Review, v. 17, n. 2, pp. 139-161. Abstract: This article tested the Burmeister, Roll, and Ross (1994) version of the Arbitrage Pricing Theory (APT) with Brazilian stock funds from 2002 to 2012 using the market and four macroeconomic risk factors as innovations. The market timing and time horizon risk factors were the only ones displaying consistent coefficient sign and high significance frequency across all periods and fund categories. Confidence, inflation, and business cycle risks were not as consistent. The APT explains historical fund returns better than the single Capital Asset Pricing Model, but it was not possible to obtain reliable estimates for the factors risk premia.