This article aims to contribute to existing knowledge on the relationship between risk and return for electric power infrastructure companies in Latin America. It compares CAPM with Electric-6, a multifactor model composed of six common risk factors. Our Electric-6 model presented a greater explanatory power of the portfolio returns developed with power companies in Colombia, Chile, Peru, Brazil, and Argentina in periods of varying political and economic stability. The results of this study provide input for decision making regarding investments in power infrastructure and aid regulatory commissions in upcoming rate reviews for establishing new methodologies to calculate cost of capital.