The Integrated Benefits Institute used some public data to conduct analytics about the correlation between remote work and employees experiencing feelings of anxiety and depression. 

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The study found that  fully remote workers were 5% more likely to develop these kinds of mental issues than those who worked on site, while hybrid-remote workers only had a 3% greater likelihood of developing such conditions compared to on-site workers.

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The authors also noted that rates of anxiety and depression were 5% higher in women than men at 38% and 33%, respectively. Further, people who were struggling to maintain their current standard of living were more likely to experience depression and anxiety, as well.

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You can find more information about that analysis here.