Sub testCov()
    Rng2 = Sheets("20 Asset Model").Range("b3:f48")
    Dim covMatrix() As Variant
    ReDim covMatrix(1 To Rng2.Columns.Count, 1 To Rng2.Columns.Count)
    Call constructCovMatrix(Rng2, covMatrix)
    MsgBox (covMatrix)
End Sub

Sub constructCovMatrix(rng, ByRef covMatrix)
    '@rng The Range of the return series.

    Dim i As Integer
    Dim j As Integer
    For i = 1 To rng.Columns.Count
        For j = 1 To rng.Columns.Count
            covMatrix(i, j) = Application.WorksheetFunction.Covar(rng.Columns(i), rng.Columns(j))
        Next
    Next
End Sub

Sub testCov()

    Dim Rng2 As Range '- Declare variable
    Set Rng2 = Sheets("20 Asset Model").Range("b3:f48") '-Set range
    Dim covMatrix() As Variant
    ReDim covMatrix(1 To Rng2.Columns.Count, 1 To Rng2.Columns.Count)
    Call constructCovMatrix(Rng2, covMatrix)
    MsgBox (covMatrix)

    Set Rng2 = Nothing '- Cleanup anytime 'Set' is used
End Sub