Why is it 22.2%? Please show all work and formulas

You are choosing among three retirement funds. Alpha Fund has an expected return of 23% and a standard deviation of 22.2%. Beta Fund has an expected return of 40% and a standard deviation of 40%. Gamma Fund has an expected return of 21%. If according to the mean-standard deviation rule the Gamma Fund would never be chosen, then the Gamma Fund's standard deviation must be greater than what? Gamma Fund's standard deviation must be greater than 22.2 %. (Round to one decimal place.)