Portfolio

a (%)

Rm-Rf

SMB

HML

PY1YR

Adj R2

Best-in-class

(environment)

10.80***

(4.29)

1.02***

(23.35)

0.03

(0.36)

−0.34***

(−5.38)

−0.15**

(−2.50)

0.73

Worst-in-class

(environment)

3.60*

(1.77)

1.02***

(22.06)

0.02

(0.27)

0.58***

(5.98)

−0.19***

(−2.74)

0.77

Difference PF

7.20*

(1.91)

0.00

(0.01)

0.01

(0.11)

−0.92***

(7.27)

−0.34

(0.36)

0.37

Best-in-class

(employee)

8.40***

(4.88)

1.07***

(35.09)

0.10**

(2.07)

−0.30***

(−5.41)

−0.08***

(−2.75)

0.80

Worst-in-class

(employee)

7.20***

(3.56)

1.01***

(22.60)

0.20***

(3.25)

0.09

(1.03)

−0.14***

(−4.19)

0.80

Difference PF

1.20

(0.54)

0.06

(1.00)

−0.10

(−1.32)

−0.21***

(−3.72)

−0.22

(1.14)

0.14

Best-in-class

(community)

7.20***

(3.55)

0.91***

(17.04)

0.08

(1.20)

−0.11**

(−2.48)

−0.17***

(−3.92)

0.78

Worst-in-class

(community)

9.60***

(3.58)

1.08***

(31.64)

0.00

(0.05)

0.08

(0.68)

0.02

(0.47)

0.75

Difference PF

−2.40

(−0.91)

−0.17**

(−2.40)

0.08

(0.88)

−0.19

(−1.33)

−0.19***

(−2.69)

0.08