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For warmth, I find that tight closures at the hem, cuffs, and neck make the biggest difference. That's where heat can escape - if your down jacket is too big and air has an easy out, you can get a bellows-like effect - transferring warm air to the environment as you move. So I generally prefer a form fit: big enough that I can avoid compressing insulation when worn with whatever layers I reasonably expect to wear underneath, but not any bigger. Also, larger sizes = more weight, so there's that, too (this is BPL, after all).
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