At the time of the COVID-19 pandemic, you conducted careful research and believe that the S&P 500 index is overpriced. You forecast the following over the next five years:

The broader market (as benchmark) will increase by 3.71% per year;

The annual T-bill rate is 2.2%;

The S&P 500 index will earn an annual return of 2.29% with a market beta of 0.95.

Is there any mispricing?

Using the arbitrage portfolio approach, design a trading strategy to take advantage of it.