Principal component analysis has been used to study the dynamics of yield curves ever since Litterman and Scheinkman published their pioneering work in 1991. Surprisingly, a number of authors have replicated their results when applying these type of techniques to markets ranging from interest rates to commodity futures. However, it was not until recently that some light has been shed on why this is so. We will describe those results and also a critique to this methodology pointed out by I. Lekkos.