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given the fact that if you take the portfolio returns for different assets in a portfolio the first principle component represents the market exposure of the portfolio and the second principle component represents the company specific exposure . I would like to know what window should I use, when I am using pca to find risk exposures for a portfolio. Should I use a more long term window or given the fact that risk metrics often change for specific stocks should I use a more short term window . thank you your help is greatly appreciated

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