Consider an economy with two types of firms, S and I. S firms always move together, but I firms move independently. For both types of firms, there is a 57% probability that the firm will have a 17% return. Otherwise, the firm will have a -20% return.

The standard deviation for the return on a portfolio of 20 type S firms is closest to:

Please input your response in percent rounded to three decimal places without the percent sign.