def shrunk_covariance(self, delta=0.2):
        """
        Shrink a sample covariance matrix to the identity matrix (scaled by the average
        sample variance). This method does not estimate an optimal shrinkage parameter,
        it requires manual input.

        :param delta: shrinkage parameter, defaults to 0.2.
        :type delta: float, optional
        :return: shrunk sample covariance matrix
        :rtype: np.ndarray
        """
        self.delta = delta
        N = self.S.shape[1]
        # Shrinkage target
        mu = np.trace(self.S) / N
        F = np.identity(N) * mu
        # Shrinkage
        shrunk_cov = delta * F + (1 - delta) * self.S
        return self.format_and_annualise(shrunk_cov)