I am trying to follow some notes. They have two matrices.
One is called comfact (company factors). This is a $580 \times 5$ matrix. The $580$ rows represent $580$ different companies. The $5$ columns represent $5$ betas for the $5$ different factors that were used to model a companies growth rate. These beta's were calculated by OLS regression.
The second matrix is called covmatrix. It is a $5 \times 5$ covariance matrix of the $5$ factors above.
There is line in the notes (below) which I'm not sure what it is doing and what the result is showing me?
comfact * covmatrix * comfact'