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 2.3% over the coming month. Beta 0.5 R-square 0.65 Standard Deviation of Residuals 0.09 (i.e., 9% monthly) a-1. If he holds a $3 million portfolio of Waterworks stock, and wishes to hedge market exposure for the next month using 1-month maturity S&P 500 futures contracts, how many contracts should he enter? The S&P 500 currently is at 600 and the contract multiplier is $250. Number of contracts a-2. Should he buy or sell contracts? Buy Sell b. What is the standard deviation of the monthly return of the hedged portfolio? Standard deviation % c. Assuming that monthly returns are approximately normally distributed, what is the probability that this market-neutral strategy will lose money over the next month? Assume the risk-free rate is 0.5% per month. (Enter your answer as percent rounded to 2 decimal places, e.g., enter "12.53%" and not "0.1253.") Probability %