I am having little trouble figuring our which variables are the most important when I am using PCA . What I am trying to do is see which variables explain the most variance when it comes to stock prices . What I have done is I took data from some stocks in the pharmaceutical sector (like JNJ,MRK ect.)and I took their P/S P/B ROE AND other variables and I would like to know which variables explain the most variance so I know what metrics to look at when I am analyzing the pharmaceutical sector . This was the result.
Importance of components:
PC1 PC2 PC3 PC4 PC5 PC6 PC7 PC8 PC9 PC10 PC11
Standard deviation 2.7288 1.7861 1.5533 1.1306 0.82578 0.71937 0.47079 0.34490 0.3150 0.18236 1.814e-16
Proportion of Variance 0.4654 0.1994 0.1508 0.0799 0.04262 0.03234 0.01385 0.00743 0.0062 0.00208 0.000e+00
Cumulative Proportion 0.4654 0.6648 0.8156 0.8955 0.93809 0.97043 0.98429 0.99172 0.9979 1.00000 1.000e+00
so I decided to keep 5 principle components because they explain over 90% of the data
My problem is how do I determine which variables are most important from these 5 principle components ? Could I use something like a weighted average of each variable making the weight based off of the proportion of variance and take the variables with the highest weights average ? Or is there a better way of determining which of my variables are the most relevant from a PCA analysis
these are the eigenvectors
Rotation (n x k) = (16 x 11):
PC1 PC2 PC3 PC4 PC5 PC6 PC7
Beta:M-3 -0.29790642 0.06702808 0.043897343 -0.23444949 0.26922306 -0.52278907 0.49126902
Debt/Equity LF -0.29683436 -0.20602790 0.209892052 0.17525538 0.17021916 0.22824284 0.13967642
P/S -0.13584463 0.37660138 0.371760998 -0.13147372 0.13251944 0.04785622 -0.07498348
P/B -0.32237181 0.04415421 0.294703959 0.01222229 -0.01493067 0.06389646 0.14404329
PM LF 0.31231588 0.13244909 0.280519000 -0.04766506 0.01057485 0.13851709 0.10567161
OPM LF 0.31383977 0.06628785 0.295610357 -0.05090070 0.03949326 0.20637913 0.07153909
R&D Exp T12M 0.13290870 -0.22363789 0.356892802 0.17596955 -0.70388205 -0.08328041 0.23325195
ROA LF 0.33128578 0.11822215 0.123556305 -0.15352214 0.15827191 0.04626632 0.41437205
ROE LF 0.35240443 0.05558026 0.054402901 -0.00381858 0.09509125 -0.03775416 0.29445397
Rev - 1 Yr Gr:Q -0.33213363 0.13173387 0.179946152 -0.04917693 -0.04327167 0.12309850 0.02891068
Dil EPS Frm Cont Op 1Y Gr LF -0.02935805 0.38139243 0.081834610 0.62033384 0.03574667 -0.03928716 -0.16499320
Curr Ratio LF 0.02859583 0.48002784 -0.038108130 -0.37888227 -0.06938542 0.33198272 -0.18806338
P/E 0.04731051 0.46627994 -0.033990479 0.41432037 -0.02392947 -0.30628066 0.12819470
Shrt Int Ratio:D-1 -0.33298583 0.01426119 0.008234069 0.10984204 -0.10586662 0.48387359 0.33537995
RSI: Period=14 0.06437034 0.09275629 -0.564351964 0.19383663 0.02711028 0.34214075 0.42631622
Tot Analyst Rec:D-1 0.15449771 -0.31749070 0.238832459 0.29221399 0.57364300 0.15502219 -0.09793154
hopefully you guys on stack exchange will share a little bit of your wisdom and help me out here . Thank you in advance .