We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset management company and for each fund, as is usually done in the relevant literature. The analysis shows that the performance of any asset management company, with reference to its managed funds, is on average no greater than that of the benchmark chosen by the managers. In addition, as expected, the funds’ systematic risk is close to that of the benchmarks. Finally, robust estimation techniques let us control for the heteroskedasticity due to the presence of outliers and also to the different excess returns of individual funds. Downloadable document is in Italian.