Portfolio

a (%)

R_m-R_f

SMB

HML

PY1YR

Adj R²

Best-in-class

(Environment, Strengths)

9.60^***

(2.84)

0.87^***

(13.29)

−0.22^**

(−2.09)

−0.52^***

(−6.35)

−0.33^***

(−5.41)

0.67

Worst-in-class

(Environment, Strengths)

13.20^***

(3.13)

1.03^***

(9.42)

−0.03

(−0.12)

−0.05

(−0.42)

−0.24^***

(−2.75)

0.44

Difference PF

−3.60

(−1.15)

−0.16

(−1.14)

−0.19

(−0.83)

−0.47^***

(−3.26)

−0.09

(−0.80)

0.04

Best-in-class

(Environment, Concerns)

10.80^**

(2.29)

0.90^***

(6.70)

0.08

(0.39)

−0.19

(−1.41)

−0.23^**

(−2.26)

0.44

Worst-in-class

(Environment, Concerns)

9.60^**

(2.15)

0.78^***

(6.65)

−0.40^***

(−3.10)

−0.45^***

(−5.28)

−0.21^**

(−2.30)

0.43

Difference PF

1.20

(0.20)

0.12

(1.15)

−0.32^**

(−2.37)

0.36^*

(−1.74)

−0.02

(0.19)

0.05

Best-in-class

(Employee, Strengths)

10.80^***

(3.22)

0.96^***

(11.77)

−0.19^*

(−1.78)

−0.53^***

(−8.15)

−0.19^**

(−2.41)

0.70

Worst-in-class

(Employee, Strengths)

7.20^**

(2.34)

0.93^***

(13.54)

0.15^**

(2.03)

−0.20^***

(−3.10)

0.03

(0.52)

0.65

Difference PF

3.60

(1.11)

0.03

(0.02)

−0.34^***

(−3.01)

−0.33^***

(−3.52)

−0.22^***

(−3.04)

0.13

Best-in-class

(Employee, Concerns)

8.40^***

(2.71)

1.07^***

(18.46)

−0.01

(−0.08)

−0.23^**

(−2.46)

0.01

(0.18)

0.69

Worst-in-class

(Employee, Concerns)

9.60^***

(2.85)

0.85^***

(11.15)

−0.06

(−0.59)

−0.16^*

(−1.77)

−0.26^***

(−3.14)

0.66

Difference PF

−1.20

(0.09)

0.22^***

(−3.17)

0.05

(0.52)

−0.07

(0.62)

0.27^***

(−2.86)

0.13

Best-in-class

(Community, Strengths)

7.20^**

(2.02)

0.84^***

(10.91)

−0.12

(−1.14)

−0.35^***

(−4.94)

−0.24^**

(−2.35)

0.62

Worst-in-class

(Community, Strengths)

9.60^**

(2.55)

0.94^***

(13.17)

−0.11

(−0.80)

−0.10

(−0.69)

−0.02

(−0.20)

0.47

Difference PF

−2.40

(−0.58)

−0.10

(−1.10)

−0.01

(−0.13)

−0.25

(−1.38)

−0.22^**

(−1.98)

0.04

Best-in-class

(Community, Concerns)

8.00^***

(4.31)

0.74^***

(4.90)

0.55^***

(3.26)

−0.07

(−0.38)

−0.11

(−0.95)

0.50

Worst-in-class

(Community, Concerns)

2.40

(0.65)

0.64^***

(7.95)

0.15

(1.41)

−0.11

(−0.96)

−0.13

(−1.26)

0.50

Difference PF

5.60^***

(3.61)

0.10

(0.48)

0.40^**

(1.99)

0.04

(0.20)

0.02

(0.10)

0.02