PCA FOR STOCK PICKING
Posted: Tue Oct 29, 2019 5:21 am
lets say I am an equity analyst and I want to figure out what fundamental metrics I should use when I am analyzing an industry , I can use pca on a bunch of stocks in an industry using their fundamental data , I will use metrics like return on equity book value return on assets and so on .
My question is if I ran a pca on fundamental data from stocks in an industry what should the first and second principle component represent
thank you your help will be greatly appreciated
My question is if I ran a pca on fundamental data from stocks in an industry what should the first and second principle component represent
thank you your help will be greatly appreciated