Risk Factors

Coverage: 2 Jan 2001 – 3 Jul 2026
Frequency: Daily
Files: 1

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.

Annualized returns, sample ending 30 January 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	53.34%	14.93%	-2.79%	1.33%
SMB	1.29%	25.39%	7.19%	-1.69%
HML	8.55%	13.22%	18.39%	6.80%
WML	10.05%	-0.26%	16.39%	14.60%
IML	-13.85%	-6.58%	0.72%	0.42%
Risk-Free	14.90%	14.44%	11.22%	11.81%

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Download

NEFIN Risk Factors (CSV)
Methodology (PDF)

Read it directly

# Python
import pandas as pd
df = pd.read_csv("https://nefin.com.br/resources/risk_factors/nefin_factors.csv")

# R
df <- readr::read_csv("https://nefin.com.br/resources/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/