We estimate the risk-adjusted performance of Italian equity funds, using both net and gross returns (i.e., net returns plus management fees), employing single factor and multifactor benchmarks. With net returns, the funds' performance is not significantly different from zero. With gross returns, however, the performance is always positive, even when we use benchmarks which take account of the non-equity investments of the funds and measures which are not influenced by the market timing behavior of the portfolio managers. Our evidence supports the Grossman and Stiglitz's view of market efficiency, suggesting that informed investors are compensated for their information gathering.