A portfolio is composed of two stocks, Glencore plc and Naspers Ltd.. Glencore plc has a standard deviation of return of 31%, while Naspers Ltd. has a standard deviation of return of 30%. Glencore plc comprises 49.11% of the portfolio, while Naspers Ltd. comprises 50.89% of the portfolio. If the variance of return on the portfolio is 0.0567, the correlation coefficient between the returns on Glencore plc and Naspers Ltd. is _________. A) 0.2376 B) 0.2112 C) 0.2475 D) 0.22 E) 0.2079