Factor Analysis

The PRINCOMP Procedure

Observations 100
Variables 5

Simple Statistics
  x1 x2 x3 x4 x5
Mean 0.0054337200 0.0048270700 0.0056541800 0.0062914300 0.0037085200
StD 0.0403723533 0.0350624566 0.0394471331 0.0283254712 0.0275451813

Covariance Matrix
  x1 x2 x3 x4 x5
x1 JP Morgan 0.0016299269 0.0008166676 0.0008100713 0.0004422405 0.0005139715
x2 Citibank 0.0008166676 0.0012293759 0.0008276330 0.0003868550 0.0003109431
x3 Wells Fargo 0.0008100713 0.0008276330 0.0015560763 0.0004872816 0.0004624767
x4 Royal Dutch Shell 0.0004422405 0.0003868550 0.0004872816 0.0008023323 0.0004084734
x5 Exxon Mobil run 0.0005139715 0.0003109431 0.0004624767 0.0004084734 0.0007587370

Total Variance 0.0059764484

Eigenvalues of the Covariance Matrix
  Eigenvalue Difference Proportion Cumulative
1 0.00359539 0.00280321 0.6016 0.6016
2 0.00079218 0.00005574 0.1326 0.7341
3 0.00073644 0.00022777 0.1232 0.8574
4 0.00050867 0.00016490 0.0851 0.9425
5 0.00034377   0.0575 1.0000

Eigenvectors
  Prin1 Prin2 Prin3 Prin4 Prin5
x1 JP Morgan 0.560591 -.738846 -.126022 -.283732 -.208468
x2 Citibank 0.469867 0.092870 -.467507 0.687932 0.280691
x3 Wells Fargo 0.547332 0.654019 -.114058 -.500453 -.096040
x4 Royal Dutch Shell 0.290893 0.112674 0.609920 0.438080 -.582039
x5 Exxon Mobil run 0.284202 -.071033 0.616883 -.062278 0.727846

Factor Analysis

Obs x1 x2 x3 x4 x5 Prin1 Prin2 Prin3 Prin4 Prin5
1 -0.09665 -0.07576 -0.07353 -0.053133 -0.026041 -0.16417 0.011573 0.00497 -0.011024 0.019202
2 -0.06109 -0.04390 -0.04242 -0.029729 -0.014084 -0.10204 0.010389 0.00370 -0.005257 0.012823
3 -0.02667 -0.06163 -0.05668 -0.013452 -0.040358 -0.10161 -0.022317 0.00300 -0.011319 -0.026558
4 -0.05212 -0.05893 -0.06989 0.009650 0.009132 -0.10105 -0.012815 0.05107 0.011413 0.003351
5 -0.03946 -0.02930 -0.06584 -0.015837 -0.045758 -0.10083 -0.015742 -0.01425 0.018430 -0.016478
6 -0.04762 -0.02708 -0.05182 -0.045468 -0.021929 -0.09853 -0.005367 -0.01923 0.000790 0.019090
7 -0.01482 -0.02083 -0.09146 -0.007204 -0.015789 -0.08603 -0.051074 0.00537 0.031998 0.000009
8 -0.00673 -0.01503 -0.08696 -0.021037 -0.019047 -0.08126 -0.054886 -0.00933 0.025584 0.005201
9 -0.05648 -0.01423 -0.03863 -0.005714 -0.019607 -0.07802 0.015316 0.00006 0.022811 0.001828
10 -0.05793 -0.01849 0.00000 -0.023968 -0.037735 -0.07015 0.040485 -0.02449 -0.005906 -0.005345
11 -0.01316 -0.00402 -0.03823 -0.042407 -0.048888 -0.06771 -0.017536 -0.05067 0.003095 -0.004330
12 -0.03072 0.02020 -0.04086 -0.039049 -0.050505 -0.06710 -0.003541 -0.05842 0.027626 0.003250
13 -0.07717 -0.00403 -0.00344 0.003797 -0.027522 -0.06505 0.056197 -0.00520 0.022749 -0.005671
14 -0.03731 -0.02404 -0.01907 -0.024602 -0.010471 -0.06407 0.010260 -0.00589 -0.008007 0.010844
15 -0.04561 -0.03301 0.00255 -0.009646 -0.028301 -0.06183 0.032651 -0.00499 -0.014979 -0.013702
16 -0.05643 -0.00556 -0.00385 -0.023696 -0.018348 -0.05975 0.036710 -0.01816 0.003403 0.012294
17 -0.06098 -0.04356 0.02358 0.004566 -0.015075 -0.05600 0.057434 0.01631 -0.023000 -0.014126
18 -0.02206 0.00208 -0.01727 -0.021739 -0.045000 -0.05125 0.005365 -0.03978 0.008135 -0.011977
19 -0.03780 0.00325 -0.01240 -0.020172 -0.025641 -0.05090 0.019095 -0.02600 0.010452 0.004345
20 0.00332 -0.04148 -0.02901 -0.002427 -0.004672 -0.04683 -0.025801 0.01538 -0.017201 -0.010252
21 -0.04082 -0.03566 0.00000 0.014326 0.004975 -0.04535 0.027529 0.03108 -0.008457 -0.004933
22 -0.02373 -0.01930 -0.03255 -0.001221 0.023584 -0.04513 -0.007938 0.02699 0.006271 0.021817
23 -0.01690 -0.01827 -0.00820 -0.005602 -0.019607 -0.04104 0.005614 -0.00645 -0.006377 -0.010544
24 -0.03571 0.01817 -0.02111 -0.007575 -0.010204 -0.03944 0.013561 -0.01504 0.029041 0.012839
25 0.00000 -0.03673 -0.01413 -0.007185 0.004587 -0.03707 -0.014367 0.01469 -0.023101 -0.000148
26 -0.01460 -0.02439 -0.01006 0.004341 -0.005235 -0.03667 0.002226 0.01127 -0.006849 -0.007890
27 0.00694 -0.02599 0.00704 -0.041118 -0.024630 -0.03472 -0.006399 -0.03234 -0.041327 -0.002130
28 -0.01937 -0.01155 -0.02282 0.007853 0.013761 -0.03387 -0.002356 0.02118 0.010076 0.009715
29 -0.04407 0.02070 -0.00622 -0.018518 0.004694 -0.03373 0.027415 -0.01435 0.019982 0.031074
30 -0.00326 -0.00924 -0.02251 0.005988 -0.013452 -0.03187 -0.012123 0.00011 0.007820 -0.011746
31 -0.01356 -0.02935 0.01255 -0.008571 -0.010152 -0.03119 0.014680 -0.00003 -0.027224 -0.007735
32 -0.00420 0.01452 -0.03170 -0.004445 -0.014354 -0.02955 -0.016340 -0.01675 0.024511 0.001416
33 0.00333 -0.00807 -0.01499 0.000000 -0.028037 -0.02939 -0.011602 -0.01477 0.001281 -0.020642
34 -0.00673 -0.01974 -0.02641 0.023749 0.014354 -0.02781 -0.013050 0.03389 0.009584 -0.003692
35 0.00000 -0.01942 0.00235 0.001647 -0.028708 -0.02681 0.001383 -0.01043 -0.013500 -0.026246
36 -0.01719 -0.00162 -0.00165 -0.016901 0.005000 -0.02609 0.008634 -0.00665 -0.004598 0.018048
37 -0.00310 -0.02192 -0.02726 0.005457 0.039024 -0.02557 -0.020309 0.03861 -0.002076 0.023621
38 -0.01824 -0.00336 -0.02815 0.035310 0.014851 -0.02401 -0.002899 0.03524 0.030017 -0.002897
39 -0.00320 -0.00542 -0.00383 -0.013921 -0.000165 -0.02182 -0.002782 -0.00776 -0.008464 0.008780
40 -0.03114 -0.00794 0.01108 0.007537 0.014634 -0.02007 0.028751 0.01746 -0.001256 0.010747
41 -0.00977 -0.01607 -0.00385 0.014117 0.013953 -0.01836 0.003230 0.02386 -0.002511 0.001120
42 -0.03158 0.01035 0.01285 -0.013888 0.010695 -0.01810 0.029795 -0.00674 0.001427 0.025406
43 0.00000 -0.02008 -0.00658 0.029925 -0.004807 -0.01699 -0.003031 0.02289 0.001413 -0.024637
44 0.00000 -0.01142 -0.01035 -0.005208 0.028301 -0.01579 -0.011000 0.01826 -0.008197 0.022702
45 0.01550 -0.02759 0.00648 0.022255 -0.026455 -0.01306 -0.005970 0.00492 -0.016696 -0.042522
46 -0.03690 0.01187 0.01452 0.007112 0.016216 -0.01178 0.036936 0.00925 0.011998 0.018576
47 0.06367 -0.00379 -0.03979 -0.018644 -0.024154 -0.01145 -0.074379 -0.03052 -0.008900 -0.015962
48 0.02703 -0.04486 -0.00303 -0.014466 0.043478 -0.01073 -0.031411 0.03337 -0.047529 0.023415
49 0.01841 -0.04690 0.06159 -0.043235 -0.029126 -0.01015 0.018950 -0.03429 -0.086912 -0.017668
50 0.01515 0.02915 -0.02146 -0.009887 -0.021276 -0.00977 -0.022701 -0.03479 0.022016 -0.001362
51 0.03484 -0.00816 -0.01900 0.008827 -0.014151 -0.00745 -0.037503 -0.00430 -0.002716 -0.021883
52 -0.00932 0.01381 0.02165 -0.014927 -0.009090 -0.00510 0.020715 -0.02500 -0.006139 0.007095
53 0.01911 -0.03330 0.00836 0.033898 0.004566 -0.00049 -0.008824 0.03316 -0.019425 -0.029257
54 0.00000 0.00000 0.00000 0.039473 0.000000 0.00019 0.003871 0.02154 0.015818 -0.021691
55 0.02303 0.01285 -0.00202 0.013698 -0.031518 0.00157 -0.013933 -0.02230 0.009802 -0.030630
56 0.05128 -0.00752 -0.04143 -0.016269 0.058510 0.00314 -0.072251 0.02541 -0.011234 0.044517
57 0.01863 0.02586 -0.01751 0.018995 -0.004694 0.00591 -0.020923 -0.00629 0.028408 -0.008132
58 -0.00333 -0.00103 0.02800 0.028938 -0.010152 0.00721 0.024085 0.00655 -0.001937 -0.025231
59 0.02632 -0.01633 -0.00967 0.032482 0.027522 0.00776 -0.026157 0.03967 -0.002820 -0.006731
60 0.02795 0.00977 0.00000 0.000000 -0.000265 0.00889 -0.020301 -0.01079 -0.002666 -0.001993
61 0.04359 -0.01452 -0.01339 0.021176 0.013824 0.00908 -0.041482 0.02173 -0.008716 -0.012857
62 0.00000 -0.01047 0.03509 -0.014265 0.038043 0.00966 0.017090 0.01312 -0.034853 0.030968
63 0.00000 0.01695 0.02920 0.002713 0.004901 0.01483 0.020050 -0.00911 -0.003543 0.005225
64 0.00000 -0.01729 0.01732 0.054441 0.033980 0.01555 0.012862 0.05774 -0.000304 -0.012188
65 -0.04601 0.03589 0.04496 0.040612 0.004608 0.01751 0.070408 0.00896 0.031274 -0.003652
66 0.01027 0.02331 0.03434 -0.018181 -0.004672 0.01759 0.014736 -0.03262 -0.013214 0.009567
67 0.00962 0.00977 0.01758 0.016247 0.017857 0.01811 0.005284 0.01060 -0.000276 0.003873
68 -0.02143 0.03147 0.03975 0.016176 0.005263 0.01944 0.045623 -0.00597 0.013118 0.005181
69 0.00000 -0.02157 -0.00784 0.088549 0.082474 0.02348 -0.003591 0.11332 0.021268 0.004472
70 0.03957 0.02415 -0.00661 0.028423 -0.009661 0.02414 -0.028002 -0.00668 0.020269 -0.023128
71 0.02288 0.03358 0.00192 0.026190 0.004545 0.02727 -0.010477 -0.00256 0.025367 -0.006179
72 0.03937 0.05430 -0.01480 0.011428 -0.005291 0.03001 -0.032638 -0.02749 0.037454 -0.000763
73 0.05498 -0.00368 0.02698 -0.002389 0.009049 0.03444 -0.024813 -0.00670 -0.034718 -0.005826
74 0.02143 0.04918 0.00662 -0.002421 0.028985 0.03499 -0.009843 -0.01258 0.020098 0.032490
75 0.05017 0.03638 0.00408 -0.011961 0.009216 0.03530 -0.033597 -0.02794 0.001462 0.014314
76 0.01656 0.01731 0.03386 0.034063 0.009389 0.03723 0.014117 0.00999 0.003125 -0.013554
77 0.00741 0.01903 0.04575 -0.008086 0.052631 0.03945 0.020990 0.00995 -0.020204 0.043700
78 0.03901 0.03854 0.02499 -0.028301 0.032710 0.04342 -0.014988 -0.02541 -0.012970 0.041850
79 0.03435 0.02432 0.03434 0.020319 0.005434 0.04564 0.000660 -0.00641 -0.003113 -0.010221
80 0.01035 0.00635 0.08392 0.010291 0.000000 0.04641 0.048412 -0.01011 -0.037527 -0.013139
81 0.01128 -0.01702 0.06488 0.065312 0.026737 0.04914 0.037400 0.05293 -0.021905 -0.030630
82 0.02058 0.05855 0.01814 0.063309 0.016042 0.06066 0.007516 0.01394 0.050621 -0.013487
83 0.05190 0.01856 0.06696 0.020302 -0.015000 0.06481 0.009950 -0.02226 -0.027118 -0.033492
84 0.03051 0.04762 0.05532 -0.008152 0.032863 0.06543 0.014231 -0.01965 -0.010674 0.031641
85 0.04110 0.01633 0.04852 0.018105 0.071428 0.07154 -0.000723 0.03422 -0.022704 0.034089
86 0.06897 0.01466 0.01636 0.038135 0.063829 0.07245 -0.039707 0.04268 -0.006411 0.013713
87 0.08871 0.04646 0.02227 0.004059 0.000000 0.07364 -0.046782 -0.03550 -0.004051 -0.008670
88 0.05921 0.07719 0.01950 -0.012178 0.039024 0.07639 -0.028543 -0.03167 0.017303 0.044226
89 0.06597 0.02481 0.05794 0.020782 0.004608 0.07642 -0.007106 -0.01354 -0.023308 -0.019813
90 0.05703 0.02995 0.06681 0.013513 0.019512 0.08079 0.003897 -0.01107 -0.025784 -0.002279
91 0.05882 0.04172 0.08143 -0.014610 0.014563 0.08574 0.010409 -0.03867 -0.037521 0.012014
92 0.04545 0.04638 0.07456 0.014563 0.018779 0.08636 0.019218 -0.01799 -0.014572 0.002856
93 0.06007 0.07965 0.02881 0.036666 0.026041 0.09364 -0.016442 -0.01220 0.036297 0.005963
94 0.06928 0.05689 0.04096 0.040816 0.020000 0.09425 -0.016515 -0.00530 0.014143 -0.010324
95 0.00352 0.05076 0.08287 0.074265 0.049504 0.09556 0.060587 0.03967 0.020424 -0.000355
96 0.05560 0.09128 0.04276 0.059375 -0.015812 0.09895 0.002602 -0.03064 0.051144 -0.034858
97 0.08738 0.04966 0.03387 0.047748 0.039215 0.10459 -0.035780 0.01269 0.009420 -0.005495
98 -0.00352 0.11881 0.08969 0.060070 0.021276 0.11517 0.076972 -0.01811 0.061366 0.007276
99 0.08961 0.07996 0.10262 0.002721 0.020000 0.13915 0.006643 -0.04892 -0.023299 0.008166
100 0.12281 0.06077 0.08815 0.086238 0.078124 0.18164 -0.023852 0.04431 -0.005710 -0.009057