[Problem] To propose a factor return variance-covariance matrix prediction system based on an innovative model for more accurately estimating a factor return variance-covariance matrix between factors. [Solution] The present invention predicts a future variance-covariance matrix by: calculating actual performance factor return variance-covariance matrices, tabulated according to various tabulation patterns; calculating a degree of correlation between each actual performance factor return variance-covariance matrix and a future factor return variance-covariance matrix; and using the degree of correlation to weight the actual performance factor return variance-covariance matrix of each tabulation pattern and combine the weighted matrices.
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