Suppose there are two assets with the following characteristics:
Asset 1: Expected return (r1) = 0.20, Standard deviation (σ1) = 0.40
Asset 2: Expected return (r2) = 0.10, Standard deviation (σ2) = 0.25

Additionally, the correlation coefficient (σ12) between the two assets is 0.005. What is the value of the correlation coefficient (σ12) between the two assets?

A) 0.005
B) 0.020
C) 0.050
D) 0.025