Portfolio

α (%)

R_m − R_f

SMB

HML

PY1YR

LIQ

Adj R²

Best-in-class

(environment)

8.40**

(2.25)

0.97***

(15.89)

−0.31***

(−3.10)

−0.40*** (−4.46)

−0.20***

(−3.47)

0.19**

(2.48)

0.64

Worst-in-class

(environment)

13.20**

(2.31)

0.87***

(5.74)

0.04

(0.26)

−0.48***

(−4.13)

0.08

(0.60)

−0.05

(−0.40)

0.36

Difference PF

−4.80

(−0.54)

0.10

(0.57)

−0.27**

(−1.98)

0.05

(0.47)

−0.12*

(−1.71)

0.24**

(2.02)

0.08

Best-in-class

(employee)

8.40***

(3.10)

1.01***

(13.43)

−0.10

(−0.92)

−0.44***

(−4.54)

−0.08

(−1.21)

0.12*

(1.68)

0.68

Worst-in-class

(employee)

4.80*

(1.83)

0.69***

(7.70)

0.24

(0.26)

0.05

(0.38)

−0.13*

(−1.67)

0.00

(0.01)

0.48

Difference PF

3.60*

(1.87)

0.34***

(2.84)

−0.14

(−1.30)

−0.49***

(−2.83)

0.05

(0.53)

0.12*

(1.67)

0.21

Best-in-class

(community)

7.20**

(2.12)

0.89***

(12.01)

−0.09

(−0.89)

−0.31***

(−4.17)

−0.25***

(−2.67)

0.10

(1.64)

0.64

Worst-in-class

(community)

9.60**

(2.54)

0.80***

(7.94)

0.38***

(3.26)

−0.29***

(−3.51)

−0.13

(−1.18)

−0.01

(−0.15)

0.52

Difference PF

−2.40

(−0.76)

0.09

(0.64)

−0.47***

(−3.48)

−0.02

(−0.24)

−0.12

(−1.30)

0.11

(1.10)

0.10