Risk Factors

Coverage: 2 Jan 2001 – 8 Sep 2026
Frequency: Daily
Files: 4

NEFIN computes a set of risk factors for the Brazilian stock market, following the Fama-French methodology adapted to the local market. Factors include the market premium (Rm-Rf), size (SMB), value (HML), momentum (WML), and illiquidity (IML), as well as the risk-free rate.

The factors come in two versions, with the same columns and dates. SMB, HML, WML and IML are the difference between the returns of the first and third tercile portfolios, weighted either by market value (nefin_factors.csv) or equally (nefin_factors_equally_weighted.csv). The market factor and the risk-free rate are the same in both. The two versions differ substantially (daily correlation between 0.63 and 0.85), so state which one you use. The tables below summarize each version, and the chart switches between them.

Both versions are also published at monthly frequency (…_monthly.csv, dated by year and month, complete months only). As in the Fama-French data library, each monthly factor is the spread between the monthly returns of the two portfolios, not the compounded daily factor, so the two differ slightly. All returns are fractions (0.01 = 1%).

Annualized returns of the value-weighted factors, sample ending 8 September 2026. The summary table is a periodic snapshot; the CSV and the chart below carry the full series up to the last observation.
Risk Factor	6 months	1 year	5 years	Full sample
Rm-Rf	-7.05%	10.87%	-3.19%	1.26%
SMB	-19.10%	-19.20%	-11.14%	-2.17%
HML	-6.41%	1.94%	22.43%	3.51%
WML	-10.03%	-12.91%	12.21%	8.75%
IML	-18.48%	-25.25%	-10.24%	-1.49%
Risk-Free	14.34%	14.44%	12.53%	11.87%

Annualized returns of the equally weighted factors, sample ending 8 September 2026. Rm-Rf and the risk-free rate are the same as above.
Risk Factor	6 months	1 year	5 years	Full sample
SMB	-25.87%	-21.54%	-8.80%	-3.16%
HML	-7.62%	-2.81%	12.21%	6.61%
WML	14.14%	11.12%	13.81%	14.62%
IML	-21.31%	-18.12%	-5.00%	-0.22%

Weighting

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Download

Read it directly

# Python
import pandas as pd
df = pd.read_csv("https://nefin.com.br/nefindata/risk-factors/nefin_factors.csv")

# R
df <- readr::read_csv("https://nefin.com.br/nefindata/risk-factors/nefin_factors.csv")

How to cite

Please cite the dataset when you use it in published work.

NEFIN (2026). Risk Factors.
Center for Research in Financial Economics, University of São Paulo.
https://nefin.com.br/data/risk-factors/