Machine learning is increasingly introduced into medical fields, yet there is limited evidence for its benefit over more commonly used statistical methods in epidemiological studies. We introduce an unsupervised machine learning framework for longitudinal features and evaluate it using sexual behaviour data from the last 20 years from over 3'700 participants in the Swiss HIV Cohort Study (SHCS). We use hierarchical clustering to find subgroups of men who have sex with men in the SHCS with similar sexual behaviour up to May 2017, and apply regression to test whether these clusters enhance predictions of sexual behaviour or sexually transmitted diseases (STIs) after May 2017 beyond what can be predicted with conventional parameters. We find that behavioural clusters enhance model performance according to likelihood ratio test, Akaike information criterion and area under the receiver operator characteristic curve for all outcomes studied, and according to Bayesian information criterion for five out of ten outcomes, with particularly good performance for predicting future sexual behaviour and recurrent STIs. We thus assess a methodology that can be used as an alternative means for creating exposure categories from longitudinal data in epidemiological models, and can contribute to the understanding of time-varying risk factors.