Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

Adj R²

Best-in-class

(environment, strengths)

6.00^***

(3.99)

0.71^***

(14.18)

−0.43^***

(−9.91)

0.20^**

(2.22)

−0.06

(−0.92)

0.68

Worst-in-class

(environment, strengths)

8.40^***

(3.13)

0.81^***

(8.97)

−0.21^***

(−3.01)

0.22^*

(1.95)

−0.11^*

(−1.68)

0.60

Difference PF

−2.40

(−1.16)

−0.10

(−1.46)

−0.22^***

(−3.08)

−0.02

(−0.19)

−0.05

(−0.12)

0.05

Best-in-class

(environment, concerns)

12.00^***

(4.71)

0.76^***

(8.52)

−0.21^**

(−2.28)

0.05

(0.38)

−0.10

(−1.29)

0.63

Worst-in-class

(environment, concerns)

4.80^**

(2.54)

0.71^***

(12.37)

−0.40^***

(−7.22)

0.24^***

(3.43)

−0.05

(−0.59)

0.65

Difference PF

7.20^***

(3.09)

−0.05

(−0.88)

−0.19^*

(−1.69)

0.19^*

(1.83)

0.05

(0.60)

0.08

Best-in-class

(employee, strengths)

7.20^***

(4.80)

0.75^***

(10.81)

−0.41^***

(−8.85)

0.13

(1.50)

−0.08

(−1.06)

0.70

Worst-in-class

(employee, strengths)

9.60^***

(4.21)

0.83^***

(17.85)

−0.18^***

(−3.31)

0.27^***

(2.90)

−0.12

(−1.44)

0.61

Difference PF

−2.40

(−1.30)

−0.08

(−1.33)

−0.24^***

(−3.65)

−0.14^***

(−3.03)

0.04

(−0.39)

0.07

Best-in-class

(employee, concerns)

8.40^***

(2.96)

0.77^***

(9.73)

−0.35^***

(−5.19)

0.23^***

(3.19)

−0.14

(−1.59)

0.62

Worst-in-class

(employee, concerns)

6.00^***

(2.89)

0.74^***

(14.32)

−0.26^***

(−4.30)

0.24^***

(3.28)

−0.10

(−1.44)

0.65

Difference PF

2.40

(1.08)

0.03

(0.57)

−0.09

(0.90)

−0.01

(0.17)

−0.04

(0.33)

0.10

Best-in-class

(community, strengths)

7.20^***

(4.51)

0.67^***

(8.26)

−0.45^***

(−8.36)

0.07

(0.88)

−0.00

(−0.07)

0.66

Worst-in-class

(community, strengths)

9.60^***

(2.69)

0.95^***

(13.89)

−0.15^**

(−2.00)

0.25^*

(1.85)

−0.19

(−1.59)

0.61

Difference PF

−2.40

(−0.47)

−0.28^***

(−2.64)

−0.30^***

(−3.80)

−0.18

(−1.40)

−0.19

(0.33)

0.16

Best-in-class

(community, concerns)

13.20^***

(3.22)

0.65^***

(6.31)

−0.15

(−1.46)

0.17

(1.17)

−0.09

(−0.87)

0.59

Worst-in-class

(community, concerns)

6.00^**

(2.45)

0.74^***

(11.89)

−0.28^**

(−2.53)

0.35^***

(3.11)

−0.03

(−0.37)

0.56

Difference PF

7.20

(1.24)

−0.09

(1.07)

0.13

(0.90)

−0.18

(1.15)

−0.06

(0.71)

0.04