TheMBAGlover

Understood, but consider the providers. How did they arrive at value vs growth, small-cap vs large-cap classification? They could not have used RBSA. So when you’re looking at your stock returns, why should you?
Concrete example: I have 5 stocks, 2 large-cap growth and 3 small-cap value stocks, as defined by the providers, equal-weighted. You don’t want to go into details of my holdings or you are skeptical of my claims that that’s what I have, so you regress my aggregate  returns against all 4 classes and find (for some reason) that my style is small-cap growth. Of what use is this information? My portfolio is not going to track small-cap growth no matter what the current correlation is. Eventually my portfolio and small-cap growth index will part ways anyway.