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Pelman08


Total Posts: 4
Joined: Aug 2019
 
Posted: 2019-10-29 17:54
I would like to now which financial metrics to use when I am analyzing an industry . So I ran a PCA using different stocks in an industry based off of different financial metrics . I would like to know what the first and second principle components should represent in this case .

The idea is based off of this paper https://www.researchgate.net/publication/281042621_The_Selection_of_Winning_Stocks_Using_Principal_Component_Analysis

this is the pca analysis
Rotation (n x k) = (13 x 13):
PC1 PC2 PC3 PC4 PC5 PC6 PC7 PC8
price_book1 -0.2326294 0.23808656 -0.34383928 0.39506594 -0.17589636 0.005631939 1.481288e-01 -0.12544212

price_sales1 -0.2953341 0.03231056 -0.39791599 0.08079662 -0.44956572 0.178211731 1.283100e-01 0.25338915

profit_margin1 0.2452919 0.15146781 -0.23584723 -0.08324291 -0.40242616 -0.415042109 -5.372024e-01 -0.36709976

operating_margin1 0.4604949 0.05695158 -0.44611853 0.02911251 0.13084999 0.141162009 9.830128e-02 0.06904643

rnd1 -0.1481195 -0.51008130 0.08082843 0.31825795 -0.14767174 -0.133578701 -2.235869e-01 0.31669428

wacc1 0.1170286 0.32598489 0.12421475 0.55174254 -0.00349785 0.050214012 -3.885664e-02 0.35618351

si1 -0.1299393 0.09449171 -0.26881615 -0.21901039 0.38126586 -0.671389356 1.775648e-01 0.41125604

revenue1 0.1000749 -0.57110300 -0.18342643 0.14168133 0.01143720 -0.095472155 -2.735005e-01 0.13974257

ev_ebitda1 -0.4190633 0.10875543 -0.30716490 0.01541679 0.04935613 -0.122987639 -9.171709e-02 -0.13389575

ebitda_revnue1 0.4892202 -0.10134004 -0.38000743 0.01587338 0.07191896 0.170465503 1.075778e-01 0.10582745

cashflow1 -0.1778912 -0.22024820 -0.20037303 0.36000644 0.53208906 0.073914046 2.114301e-05 -0.50658912

eps_growth1 0.2009673 -0.22566598 0.14730493 0.22313596 -0.31215893 -0.426656558 6.599544e-01 -0.27885383

analysts1 -0.1921450 -0.30498605 -0.20079300 -0.41950787 -0.17999617 0.253170549 2.235785e-01 -0.03446128


Importance of components:
PC1 PC2 PC3 PC4 PC5 PC6 PC7 PC8 PC9 PC10 PC11 PC12
Standard deviation 1.6224 1.4924 1.3076 1.1561 1.06703 0.97266 0.85922 0.79106 0.73160 0.71013 0.6182 0.40416
Proportion of Variance 0.2025 0.1713 0.1315 0.1028 0.08758 0.07278 0.05679 0.04814 0.04117 0.03879 0.0294 0.01256
Cumulative Proportion 0.2025 0.3738 0.5053 0.6081 0.69571 0.76849 0.82528 0.87342 0.91459 0.95338 0.9828 0.99535
PC13
Standard deviation 0.24599
Proportion of Variance 0.00465
Cumulative Proportion 1.00000


thank you your help will be greatly appreciated



nikol


Total Posts: 830
Joined: Jun 2005
 
Posted: 2019-10-29 20:52
We should start competition: "Who will save Pelman08"

Jurassic


Total Posts: 269
Joined: Mar 2018
 
Posted: 2019-10-29 22:05
why dont you google what pca analysis is?
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