Principal Component Analysis and other tools...

http://stats.stackexchange.com/questions/65692/how-to-visualize-what-canonical-correlation-analysis-does-in-comparison-to-what/65817#65817

http://stats.stackexchange.com/questions/95038/how-does-factor-analysis-explain-the-covariance-while-pca-explains-the-variance/95106#95106

http://stats.stackexchange.com/questions/94048/pca-and-exploratory-factor-analysis-on-the-same-data-set/94104#94104