Exhibit 8
Full-Scale Optimization
| Returns | Weights | Portfolio Return | Utility | |||
|---|---|---|---|---|---|---|
| Stocks | Bonds | Stocks | Bonds | |||
| 1993 | 10.06% | 16.16% | 48.28% | 51.72% | 13.21% | 0.1241 |
| 1994 | 1.32% | -7.10% | 48.28% | 51.72% | -3.03% | -0.0315 |
| 1995 | 37.53% | 29.95% | 48.28% | 51.72% | 33.61% | 0.2898 |
| 1996 | 22.93% | 14.00% | 48.28% | 51.72% | 18.31% | 0.1682 |
| 1997 | 33.34% | 14.52% | 48.28% | 51.72% | 23.61% | 0.2119 |
| 1998 | 28.60% | 11.76% | 48.28% | 51.72% | 19.89% | 0.1814 |
| 1999 | 20.89% | -7.64% | 48.28% | 51.72% | 6.13% | 0.0595 |
| 2000 | -9.09% | 16.14% | 48.28% | 51.72% | 3.96% | 0.0388 |
| 2001 | -11.94% | 7.26% | 48.28% | 51.72% | -2.01% | -0.0203 |
| 2002 | -22.10% | 14.83% | 48.28% | 51.72% | -3.00% | -0.0305 |
| Utility | 0.9915 | |||||