You are provided the monthly returns data for an investment fund and its benchmark for the last five months. The fund r

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You are provided the monthly returns data for an investment fund
and its benchmark for the last five months. The fund returned
0.9%, 2.0%, 0.4%, 2.5%, and -0.6% in these five months
respectively. The benchmark returned 1.5%, 0.4%, 0.4%, 0.5%,
and -1.0% in the corresponding five months. The risk-free
asset has an effective annual return (EAR) of 1% during these five
months. The beta of the fund is 0.4355. What is the
Tracking Error Volatility (i.e. standard deviation of excess
returns) of the fund using annualized numbers?
Question 10 options:
3.4039%
3.4984%
3.5930%
3.6875%
3.7821%