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 2% over the coming month.

Beta	R-square	Standard Deviation of Residuals
1.35	0.65	0.09 (i.e., 9% monthly)

a) Residual standard deviation= 0.9%

b. Calculate the probability of a loss on a market-neutral strategy involving equally weighted, market-hedged positions in the 100 stocks over the next month. Assume the risk-free rate is 0.2% per month. (Do not round intermediate calculations. Enter your answer as percent rounded to 5 decimal places.)

I only need help with part B

(I tried 4.25146 and it marks as INCORRECT).