you can store the main eigenvectors for a set rolling period and see how the space evolves along them, all the while also storing the new ones. In effect the whole idea is to get away from "individual security space" and into "factor space", which is much smaller, and see how the factors are moving. Also, a lot of the time you just care about the outliers -- those (small numbers of) instruments or clusters of instruments that are trading in an unusual way -- then you either try to explain it.... or trade against it. Also keep in mind that lower-order factors tend to be much more stationary so there's a lot of alpha there -- if you can execute the trades efficiently (which is why most successful quant shops like citadel and jane street are market MAKERS, not takers, btw).