Portfolios
Updated Sep 2026
- Coverage
- 2 Jan 2001 – 8 Sep 2026
- Frequency
- Daily
- Files
- 8
Daily returns of Brazilian stock portfolios, published as one file per sorting scheme: three portfolios sorted independently by size, book-to-market, momentum and illiquidity; three 2×2 double sorts combining size with book-to-market, illiquidity and momentum; and seven portfolios sorted by industry. Each workbook has daily equally and value weighted returns (as fractions, dated by year, month and day), the monthly number of stocks and average market value (dated by year and month), and the annual average book value and book-to-market ratio (dated by year).
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- 3 Portfolios Sorted by Size (XLS)
- 3 Portfolios Sorted by Book-to-Market (XLS)
- 3 Portfolios Sorted by Momentum (XLS)
- 3 Portfolios Sorted by Illiquidity (XLS)
- 4 Portfolios Sorted by Size and Book-to-Market, 2x2 (XLS)
- 4 Portfolios Sorted by Size and Illiquidity, 2x2 (XLS)
- 4 Portfolios Sorted by Size and Momentum, 2x2 (XLS)
- 7 Portfolios Sorted by Industry (XLS)
- Methodology (PDF)
How to cite
Please cite the dataset when you use it in published work.
NEFIN (2026). Portfolios.
Center for Research in Financial Economics, University of São Paulo.
https://nefin.com.br/data/portfolios/