This paper seeks to examine the relationship between risk / return associated with different levels of Corporate Governance.To this end, we analyzed the composition, risk and return of four portfolios of minimum variance formed, respectively, for assets of companies that are part of the levels of governance listed on BM&FBovespa: Tradicional Bovespa, Nível 1, Nível 2 and Novo Mercado. A search was performed exploratory and descriptive, using statistical models applied to the series of quotations of equities obtained through the software Economatica. The data were processed with the help of MS Excel, specifically tools Data Analysis and Solver. The results showed that the formation of the minimum variance portfolio significantly reduces the risk diversifiable. The comparative study of portfolios showed a superior performance of the portfolio of Novo Mercado on the portfolio of Tradicional Governance level. The same is not repeated in the portfolios of different levels of governance 1 and 2. We concluded, therefore, that the portfolio of assets in Novo Mercado firms are less risky compared to the assets of companies formed by Tradicional level, and different levels 1 and 2.