This dissertation aims to investigate and interpret the investment style of Brazilian investment funds - exchange funds and stock funds with active management, in the period ranging from January 2004 to August 2008, with the central objective of verifying if, in fact, these funds pursue the investment style promised to their customers. Accordingly, we used the methodology of returnbased dynamic style analysis, using the reduced restricted Kalman filtering with exact initialization applied to state space models. For this purpose, new indexes were created with the intention of covering the eventual lack of indexes that could appropriately represent the asset classes of financial market. The main conclusions were: (1) even in the midst of an adverse scenario that marked part of the analyzed period, the exchange funds kept the investment strategies announced to the public, demonstrating transparency in their actions; and (2) stock funds were indeed predominantly exposed to the stock market, but also allocated considerable part of their resources on federal public long-term bonds indexed by inflation indexes.