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Suppose that you must provide James Stein forecasts of expected return to be used in a mean- variance model. Assume that you have 360 monthly

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Suppose that you must provide James Stein forecasts of expected return to be used in a mean- variance model. Assume that you have 360 monthly observations. Given the following data for four different strategies, what would your forecasted expected return be for the Low-risk strategy? Momentum Value Quality Low-Risk Annualized Mean 14% 10% 9% 8% Annualized Std Dev 25% 25% 18% 15%

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