I'm monitoring margin values for a portfolio and I want to classify the stocks in my universe using different metrics/information. Just for the sake of making analysis/inferences on the data I have.

So far, I've categorized it by: Sector, Industry, Exchange, Currency and Market Cap.

But I'm not sure what other information I can use to continue categorizing the portfolio.

Can you suggest metrics or/and resources related to this? I'm not sure where to look for exactly.

Thanks a lot in advance!


You could always turn to unsupervised machine learning and apply hierarchical clustering and then plot the relationships using a dendrogram.

There is a cool portfolio optimization paper that uses Hierarchical Risk Parity to optimize a portfolio. That's the source from which I drew this inspiration.

Building Diversified Portfolios that Outperform Out-of-Sample

It will group similar stocks together based on the relationships derived from their price data. I think you will be presently surprised.

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    $\begingroup$ Thanks for this valuable resources Jacques! Indeed will be very valuable :) $\endgroup$ – Aquiles Páez Apr 2 '19 at 4:31

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