PCA analysis of Futures returns for fun and profit, part #1

I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this particular topic has been bugging me for a while. And if you listened to the last episode of Top Traders Unplugged you will hear me mention this in response to a question. So it's an itch I feel I need to scratch. Who knows, it might lead to a profitable…