Portfolio

a (%)

Rm-Rf

SMB

HML

PY1YR

Adj R2

Best-in-class

(environment)

9.60***

(2.81)

0.97***

(14.38)

−0.32***

(−3.37)

−0.43*** (−4.36)

−0.19***

(−3.33)

0.63

Worst-in-class

(environment)

13.20**

(2.27)

0.87***

(5.77)

0.05

(0.29)

−0.48***

(−4.00)

0.07

(0.60)

0.36

Difference PF

−3.60

(−0.54)

0.10

(0.63)

−0.27**

(−2.29)

0.05

(0.27)

−0.12*

(−1.69)

0.07

Best-in-class

(employee)

9.60***

(3.12)

1.02***

(12.68)

−0.11

(−0.99)

−0.46***

(−4.81)

−0.07

(−1.17)

0.67

Worst-in-class

(employee)

4.80*

(1.89)

0.69***

(7.63)

0.24

(0.27)

0.05

(0.38)

−0.13*

(−1.67)

0.48

Difference PF

4.80*

(1.69)

0.33***

(2.83)

−0.14

(−1.40)

−0.41***

(−3.07)

0.06

(0.57)

0.21

Best-in-class

(community)

7.20**

(2.11)

0.89***

(11.60)

−0.10

(−0.96)

−0.32***

(−4.73)

−0.24***

(−2.62)

0.64

Worst-in-class

(community)

9.60**

(2.54)

0.80***

(7.80)

0.38***

(3.34)

−0.28***

(−3.53)

−0.13

(−1.20)

0.52

Difference PF

−2.40

(−0.52)

0.09

(0.65)

−0.48***

(−3.67)

−0.04

(−0.47)

−0.11

(−1.27)

0.09