The table below gives the deviations of a hypothetical portfolio's annual total returns (gross of
fees) from its benchmark's annual returns, for a 12-year period ending in 2003.
Portfolio's Deviations from Benchmark Return,
1992-2003 (%)
1992...................................... −7.14
1993...................................... 1.62
1994...................................... 2.48
1995...................................... −2.59
1996...................................... 9.37
1997...................................... −0.55
1998...................................... −0.89
1999...................................... −9.19
2000...................................... −5.11
2001...................................... −0.49
2002...................................... 6.84
2003...................................... 3.04
Tracking risk is the standard deviation of the deviation of a portfolio's gross-of-fees total returns from benchmark return. Calculate the tracking risk of the portfolio, stated in percent (give the answer to two decimal places)?