Unit: Analytical Methods. How much time I have: 45 minutes. Problem: I cannot understand which formula to use and how to go about it.

You manage a U.S. core equity portfolio that is sector-neutral to the S&P500 Index (its industry sector weights approximately match the S&P 500's). Taking a weighted average of the projected mean returns on the holdings, you forecast a portfolio return of 12%. You estimate a standard deviation of annual return of 22%, which is close to the long-run figure for the S&P 500. For the year-ahead return on the portfolio, assuming Normality for portfolio returns, you are asked to do the following:

(1) Calculate and interpret a two-standard deviation confidence interval for the portfolio returns. (2) You can buy a one-year T-bill that yields 5%. What is the probability that your portfolio return will be equal to or less than the risk-free rate?