DeFi is a novel and highly inefficient financial environment whose basic building blocks, or primitives, resemble products in traditional capital markets. As a result, there are plenty of opportunities for capturing alpha and different dimensions of risk. However, in the first phase of the market, the returns were way too easy and the risks way too high. The change in composition of the DeFi space is starting to alter the relationship between risks and returns in a trajectory that is closer to other financial markets. From an evolutionary perspective, we can see three main stages in the dynamics between risk and returns in DeFi.