Fig. 3.

Proportion of variance explained by new components. The figure shows the evolution of the proportion of variance explained by each of the first three principal new components resulting from the PCA method at each rebalancing time in the rolling window, ${\overline{\mathbf{Z}}}_{\mathbf{j},{\mathit{t}}_{\mathit{l}}}$. The evolution is presented over the 17 months that make up the asset allocation time space.