Greta has rlsk aversion of A=3 when applied to return on wealth over a one-year horlzon. She is pondering two portfollos, the S\&P 500 and a hedge fund, as well as a number of one-year strategles. (All rates are annual and contlnuously compounded.) The S\&P 500 rIsk premlum Is estimated at 7% per year, with a standard devlation of 20%. The hedge fund risk premium Is estimated at 10% with a standard devlation of 35%. The returns on both of these portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coefficlent between the annual return on the S\&P 500 and the hedge fund return in the same year is zero, but Greta is not fully convinced by this claim. If the correlation coefficlent between annual portfollo returns is actually 0.4 , what is the covarlance between the returns? (Round your answer to 3 decimal places.)