Risk Factors
Last updated: January 2026
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.
| 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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