[agentq]

In financial practice, asset-level PCA isn't as common, especially in systems where covariance estimation is fraught with misspecification errors. Instead, individual securities first condensed to factors (e.g., for equity some examples are book/price, momentum, large vs. small cap, etc.).

[azmenthe]

Yes. The fund I work for has a very successful track record and we take all PCA (on factors) with a huge grain of salt.

Also any strategy that has more than a 20% thesis alignment on PCA (on factors!) is most likely laughed at.