Portfolios
Last observation Aug 2023
- Coverage
- 2 Jan 2001 – 31 Aug 2023
- Frequency
- Daily
- Files
- 8
This series has not been updated in 3 years. The last observation is 31 August 2023. Use it for historical work; do not treat it as current.
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 file is dated by year, month and day, with returns as daily fractions.
Download
- 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/