Phase5 (QE3)

Factor1

Factor2

Factor3

Factor4

Australia

0.270

0.047

0.009

0.156

Brazil

0.227

0.348

0.536

−0.440

Canada

0.422

−0.025

0.413

0.672

China

0.126

0.320

−0.425

0.200

France

0.362

−0.117

−0.187

−0.272

Germany

0.361

−0.216

−0.311

−0.215

Italy

0.331

−0.080

−0.148

0.133

Japan

0.051

0.829

−0.197

0.083

Russia

0.283

0.008

−0.302

−0.175

UK

0.312

−0.128

−0.055

0.128

US

0.360

0.061

0.272

−0.315

Variance explained

85.4%

4.4%

2.9%

2.4%

Cumulative variance explained

85.4%

89.9%

92.7%

95.1%