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. Standard Deviation Beta R-square of Residuals .75 .65 .03 (i.e., 3% monthly) a-1. If he holds a $2.2 million portfolio of Waterworks stock and wishes to hedge market exposure for the next month using one-month maturity S&P 500 futures contracts, how many contracts should he enter? The S&P 500 currently is at 660 and the contract multiplier is $250. Number of contracts 10 a-2. Should he buy or sell contracts? Sell Buy 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 .9% per month. (Do not round intermediate calculations. Round your answer to 2 decimal places.) https://puu.sh/sEnSV/50465b8bd2.png