I'm not sure I understand your question. What are you trying to do with the "covariates"?
Here are my initial thoughts:
Using several different regression type platforms, you could look for relationships between many variables. Of course the concern with covariates is:
1. Measurement errors in the covariate,
2. Lag effect,
3. Frequency of changes in the covariate,
4. Multivariate concerns
5. Others...
I would start with reasonable hypotheses to narrow the field (critical thinking), then there are lots of options....depending on if you have a model in mind vs. no idea.
I'd start with simple correlations: Multivariate Methods>Multivariate (put them all in). The scatter plots are most important.