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Statistically speaking you should not include the factor that aren't significant. Economically speaking you should take all the factors because intuitively they explain the returns of the assets, and if you don't do it will incur in specification bias by omit the factors and will cause the the estimates aren't efficient, unbiased and consistent


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Portfolio behaving like a small cap portfolio is not necessarily a small cap portfolio. Your regression shows the appearance, not the fundamentals.



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