Correlation circles

\(\newcommand{\matrice}[1]{\mathbf{#1}}\) \(\newcommand{\X}{\matrice{X}}\) \(\newcommand{\Y}{\matrice{Y}}\) \(\newcommand{\F}{\matrice{F}}\) \(\newcommand{\G}{\matrice{G}}\)

The Figure below shows the correlation between the original variables (both \(\X\) and \(\Y\)) and \(\F\) (i.e., the latent variables from \(\X\)).