Portfolio

α (%)

R_m − R_f

SMB

HML

PY1YR

LIQ

Adj R²

Best-in-class

(environment)

10.80***

(4.18)

1.02***

(23.33)

0.05

(0.43)

−0.31***

(−5.09)

−0.15**

(−2.55)

0.06

(0.94)

0.73

Worst-in-class

(environment)

3.60*

(1.68)

1.02***

(22.72)

0.03

(0.35)

0.59***

(6.77)

−0.19***

(−2.71)

0.06

(1.44)

0.77

Difference PF

7.20**

(2.01)

0.00

(0.02)

0.02

(0.10)

0.28***

(7.62)

0.04

(0.35)

0.00

(0.06)

0.37

Best-in-class

(employee)

7.20***

(4.24)

1.07***

(35.55)

0.10**

(2.18)

−0.29***

(−4.81)

−0.08***

(−2.93)

0.11*

(1.71)

0.80

Worst-in-class

(employee)

7.20***

(3.59)

1.03***

(22.16)

0.20***

(3.28)

0.09

(1.05)

−0.14***

(−4.17)

0.03

(0.70)

0.80

Difference PF

0.00

(0.28)

0.04

(0.98)

−0.10

(−1.25)

−0.20***

(−3.58)

0.06

(1.10)

0.08*

(1.74)

0.14

Best-in-class

(community)

7.20***

(3.52)

0.90***

(16.95)

−0.08

(1.18)

−0.11**

(−2.41)

−0.17***

(−3.87)

−0.00

(−0.00)

0.78

Worst-in-class

(community)

9.60***

(3.34)

1.09***

(31.50)

0.01

(0.08)

0.08

(0.68)

0.02

(0.46)

0.02

(0.50)

0.75

Difference PF

−2.40

(−0.82)

−0.19**

(−2.38)

0.09

(0.88)

−0.19

(−1.32)

−0.19***

(−2.65)

−0.02

(−0.47)

0.07