Question 9 (of 10) 9 value: 10.00 points The following is part of the computer output from a regression of monthly returns on Waterworks stock against the S&P 500 Index. A hedge fund manager believes that Waterworks is underpriced, with an alpha of 29 over the coming month. Standard Deviation of Residuals 06 (i.e., 6% monthly) R-sq Beta .75 .65 No suppose that the manager misestimates the beta o ate works stock believing it to be 50 instead o .75. The standard devation o the mon hiy marke rate of retums 5% a. What is the standard deviation of the (now improperty) hedged portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation b. what is the probability o incurring a loss over the next month f the monthly market return has an expected lue of 1% and a standard deva on o 5%? Do not round intermediate cal u atons Round your 6.13 % answer to 2 decimal places.) Probability of a negative return References eBook &Resources Learning Objective: 20-02 Formulate "pure plays on seemingly misaligned security prices, and identify the risks that are hedged in these strategies as well as the risks that remain. Worksheet