Portfolio

α (%)

R_m − R_f

SMB

HML

PY1YR

LIQ

Adj R²

Best-in-class

(environment)

4.80**

(2.44)

0.72***

(9.85)

−0.43***

(−6.75)

0.18*

(1.76)

0.06

(1.34)

−0.05

(−0.73)

0.47

Worst-in-class

(environment)

6.00**

(2.55)

0.70***

(9.30)

−0.39***

(−4.11)

0.20**

(1.98)

0.30

(0.47)

0.10*

(1.68)

0.41

Difference PF

−1.20

(−0.44)

0.02

(0.18)

−0.04

(−0.20)

−0.03

(−0.25)

0.03

(0.43)

−0.15*

(−1.91)

0.01

Best-in-class

(employee)

7.20***

(3.89)

0.76***

(9.47)

−0.44***

(−6.51)

−0.41

(−6.91)

0.04

(0.83)

−0.07

(−1.55)

0.58

Worst-in-class

(employee)

4.80*

(1.91)

0.81***

(11.72)

−0.14**

(−2.14)

0.36***

(4.34)

−0.01

(−0.15)

0.18**

(2.21)

0.54

Difference PF

2.40

(0.44)

−0.05

(−0.18)

−0.30***

(−2.69)

−0.05

(0.20)

0.05

(0.43)

−0.25*

(1.91)

0.02

Best-in-class

(community)

8.40***

(4.17)

0.64***

(8.19)

−0.48***

(−7.25)

0.02

(0.23)

0.05

(0.86)

−0.11**

(−2.17)

0.50

Worst-in-class

(community)

6.00***

(3.24)

0.78***

(10.93)

−0.37***

(−4.12)

0.19

(1.63)

0.05

(0.69)

0.11**

(2.13)

0.51

Difference PF

2.40

(0.97)

−0.14**

(−2.08)

−0.11

(−0.90)

−0.17

(−1.33)

0.00

(1.41)

−0.22***

(−3.38)

0.07