How is the z-score calculate in this problem? This is my biggest concern- HOW TO CALCULATE A Z-SCORE

A stock has an annual return of 12.6 percent and a standard deviation of 59 percent. What is the smallest expected gain over the next year with a probability of 5 percent? (Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.)