It does make sense and it's a pretty standard thing. See for example: https://thequantmba.wordpress.com/2017/01/24/principal-component-analysis-of-equity-return

It does make sense and it's a pretty standard thing. See for example: https://thequantmba.wordpress.com/2017/01/24/principal-component-analysis-of-equity-returns-in-python/ https://thequantmba.wordpress.com/2017/01/24/principal-compo... or https://www.coursera.org/lecture/fundamentals-machine-learning-in-finance/pca-for-stock-returns-part-1-pv25P https://www.coursera.org/lecture/fundamentals-machine-learni...