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 2.1% over the coming month. Beta 2.55 R-square 8.65 Standard Deviation of Residuals 8.1 (i.e., 10% monthly) a-1. If he holds a $5 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 1,100 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 0.2% per month. (Do not round Intermediate calculations. Enter your answer as percent rounded to 2 decimal places.) Probability %