please explain*** I know the answer but dont know the explanation

A hedge fund has average annual returns of 16.0%. Its quarterly returns have a variance of 0.0004. Assume that returns are normally distributed, are homoskedastic, and have no autocorrelation. Which of the following best represents the range in which two-thirds of annual returns will fall (within one standard deviation of the mean)?

	A.	8.00% to 24.00%
	B.	12.00% to 20.00%
	C.	13.17% to 18.83%
	D.	15.92% to 16.08%