Asset pricing has been widely discussed in financial literature due to the complexity of accurately representing the market dynamics through theoretical models. Over the years, the financial theory has evolved into multifactor models that incorporate several variables to better explain the return differences. Among them, the models by Fama and French (1992) and Carhart (1997) have gained popularity, especially among institutional investors, driving strategies such as Smart Beta, which optimizes portfolios without the need for stock picking. With this in mind, this study investigates the applicability of the four-factor model in the Brazilian stock market and evaluates the performance of portfolios constructed based on those factors. This analysis, covering the period from 2001 to 2024, highlighted the influence of economic cycles on the performance dynamics of the portfolios. The HML factor showed a reversal in the performance trend over time, while SMB indicated a positive premium for smaller companies. Last but not least, the WML factor generated one of the best long-term returns with winners stocks. Those results reinforce the relevance of multifactor models in asset pricing, although divergences in the interpretation of risk premiums in the Brazilian market persist.