Try something like (note: some Valgrind functionality requires that the source code, that you want to analyse, is compiled with debug symbols):
valgrind --tool=memcheck --leak-check=full [--show-reachable=yes] [--track-origins=yes] [--num-callers=50] [--vgdb=full] --suppressions=`root-config --etcdir`/valgrind-root.supp `root-config --bindir`/root.exe -l -q 'covariance_linear_interpolation.C++g("ENDF_B-VII_1_reduced.dat", -3, 0, 1000, 0)'
valgrind --tool=exp-sgcheck [--num-callers=50] [--vgdb=full] --suppressions=`root-config --etcdir`/valgrind-root.supp `root-config --bindir`/root.exe -l -q 'covariance_linear_interpolation.C++g("ENDF_B-VII_1_reduced.dat", -3, 0, 1000, 0)'
and especially carefully study messages that appear in the beginning of the output.
(Note: the --show-reachable=yes option will give you too many warnings, I believe.)
See also: