Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

Adj R²

Best-in-class

(Environment, Strengths)

8.40^***

(4.01)

1.01^***

(26.66)

0.05

(1.13)

−0.14^**

(−2.13)

−0.16^***

(−4.04)

0.79

Worst-in-class

(Environment, Strengths)

10.80^***

(4.66)

1.01^***

(27.55)

0.05

(0.89)

−0.08

(−1.19)

0.02

(0.69)

0.78

Difference PF

−2.40

(−1.39)

0.00

(0.08)

0.00

(0.13)

−0.06

(−0.59)

−0.18^***

(−4.84)

0.07

Best-in-class

(Environment, Concerns)

12.00^***

(4.35)

1.16^***

(31.70)

0.12^**

(2.00)

−0.38^***

(−5.16)

−0.08

(−1.47)

0.76

Worst-in-class

(Environment, Concerns)

4.80^***

(2.86)

0.92^***

(22.80)

0.01

(0.09)

0.37^***

(4.41)

−0.13^***

(−3.57)

0.77

Difference PF

7.20^**

(2.53)

0.24^***

(−4.48)

0.11

(1.44)

−0.01^***

(−6.41)

0.05

(0.69)

0.43

Best-in-class

(Employee, Strengths)

10.80^***

(4.40)

1.14^***

(20.05)

0.20^***

(3.02)

−0.41^***

(−4.04)

−0.20^***

(−2.72)

0.74

Worst-in-class

(Employee, Strengths)

7.20^**

(2.58)

0.92^***

(14.76)

0.07

(1.15)

0.12

(1.59)

−0.20^***

(−3.72)

0.69

Difference PF

3.60

(1.23)

0.22^***

(2.85)

0.13

(1.61)

−0.33^***

(−4.09)

0.00

(0.01)

0.24

Best-in-class

(Employee, Concerns)

8.40^***

(4.35)

1.02^***

(26.58)

0.10^**

(2.09)

−0.18^***

(−2.68)

−0.06^*

(−1.87)

0.77

Worst-in-class

(Employee, Concerns)

8.40^***

(4.45)

1.00^***

(22.20)

0.20^***

(3.25)

−0.06

(−0.69)

−0.18^***

(−4.71)

0.81

Difference PF

0.00

(0.02)

0.02

(0.37)

−0.10

(1.33)

−0.12

(1.13)

0.12^**

(−2.50)

0.04

Best-in-class

(Community, Strengths)

6.00^***

(3.72)

0.93^***

(20.75)

0.07

(1.16)

−0.11^***

(−2.93)

−0.15^***

(−3.73)

0.80

Worst-in-class

(Community, Strengths)

8.40^***

(3.54)

1.09^***

(15.84)

0.20^***

(3.37)

−0.16^*

(−1.71)

−0.10^*

(−1.86)

0.72

Difference PF

−2.40

(−0.73)

−0.16^**

(−2.02)

−0.13

(−1.43)

0.05

(0.55)

−0.05

(−0.08)

0.06

Best-in-class

(Community, Concerns)

6.00^*

(1.81)

1.05^***

(17.22)

0.12

(1.57)

−0.24^*

(−1.74)

−0.03

(−0.39)

0.55

Worst-in-class

(Community, Concerns)

3.60

(1.39)

0.95^***

(15.32)

−0.09

(−1.16)

0.25^**

(1.98)

−0.07^**

(−2.41)

0.60

Difference PF

2.40

(0.75)

0.10

(0.93)

0.21^*

(−1.96)

−0.49^**

(2.40)

0.04

(0.47)

0.13