Today, we shipped a fix for a labeling bug in pyfolio's Fama-French charts. The bug first originated on November 6, and is fixed as of a couple hours ago. If you ran
plot_rolling_fama_french, or used Fama-French plots from a full tear sheet, the legend would have been wrong since the 6th (for example, the SMB line was wrongly labeled as HML).
Now that the bug has been fixed, we'd recommend re-running those plots to get the correct legend. We're sorry about any confusion this bug caused.