Combining Standard Errors of 16 portfolios

Hello everyone,

I am working on Fama and French five factor model. I have run regression on 16 size- B/M excess portfolio returns on market premium, size premium, value premium, invesment premium and profitability premium. I have obtained coefficients of these factors, their standard errors and R squared for each portfolio.
I want to combine statistics of these porfolios into one figure in order to tabulate them in a simple way. For that I can take the mean of coefficients and R squared but I am confused with how to combine the standard errors of these 16 portfolios?

Thank you