Consider the following returns: Year-End 2000 2001 2002 2003 2004 2005 Lowes Realized Return 20.1% 72.7% - 25.7% 56.5% 6.7% 17.9% Home Depot Realized Return - 14.6% 4% - 58.1% 71.9% 17.3% 0.9% IBM Realized Return 0.2% -3.2% - 27.0% 27.9% -5.1% - 11.3% The covariance between Lowes' and Home Depot's returns is closest to: O A. 0.12 B. 0.1 OC. 0.31 D. 0.72 Consider the following returns: Year-End 2000 2001 2002 2003 2004 2005 Lowes Realized Return 20.1% 72.7% - 25.7% 56.5% 6.7% 17.9% Home Depot Realized Return - 14.6% 4% - 58.1% 71.9% 17.3% 0.9% IBM Realized Return 0.2% -3.2% - 27.0% 27.9% -5.1% - 11.3% The covariance between Lowes' and Home Depot's returns is closest to: O A. 0.12 B. 0.1 OC. 0.31 D. 0.72