Average Annual Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 9.51 6.63 4.83 5.78 6.04
Fund with Sales Charge (%) (POP) 9.51 6.63 4.83 5.78 6.04
Blended Benchmark (%) 10.72 7.41 5.45 6.30 5.80
MSCI All Country World Index (%) 16.67 11.63 9.10 9.73 6.94
Bloomberg Barclays Multiverse Index (%) 6.61 4.40 2.79 2.76
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 13.64 6.91 4.64 5.57 6.04
Fund with Sales Charge (%) (POP) 13.64 6.91 4.64 5.57 6.04
Blended Benchmark (%) 15.03 7.95 5.23 6.17 5.81
MSCI All Country World Index (%) 27.30 13.06 9.00 9.37 7.02
Bloomberg Barclays Multiverse Index (%) 7.13 4.41 2.51 2.68

After-Tax Average Annual Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 7.33 4.87 3.30 4.44
Fund without Sales Charge (%) (NAV) After Shares Sold 6.59 4.73 3.39 4.22
Fund with Sales Charge (%) (POP) Before Shares Sold 7.33 4.87 3.30 4.44
Fund with Sales Charge (%) (POP) After Shares Sold 6.59 4.73 3.39 4.22
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 11.38 5.15 3.12 4.24
Fund without Sales Charge (%) (NAV) After Shares Sold 9.08 4.97 3.24 4.05
Fund with Sales Charge (%) (POP) Before Shares Sold 11.38 5.15 3.12 4.24
Fund with Sales Charge (%) (POP) After Shares Sold 9.08 4.97 3.24 4.05

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013
Fund without Sales Charge (%) (NAV) 13.64 -3.11 10.99 4.69 -1.93 3.79 10.81
Fund with Sales Charge (%) (POP) 13.64 -3.11 10.99 4.69 -1.93 3.79 10.81
Blended Benchmark (%) 15.03 -4.30 14.24 5.29 -2.51 6.83 9.76
MSCI All Country World Index (%) 27.30 -8.93 24.62 8.49 -1.84 4.71 23.44
Bloomberg Barclays Multiverse Index (%) 7.13 -1.36 7.69 2.84 -3.29 0.47 -2.19

Cumulative Total Returns [further-information] As of 01/31/2020

Month EndAs of 01/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 3.16 0.57 9.51 21.22 26.61 75.36 287.30
Fund with Sales Charge (%) (POP) 3.16 0.57 9.51 21.22 26.61 75.36 287.30
Blended Benchmark (%) 2.68 0.28 10.72 23.89 30.36 84.26 267.63
MSCI All Country World Index (%) 4.99 -1.08 16.67 39.08 54.57 153.15 370.80
Bloomberg Barclays Multiverse Index (%) 1.13 1.19 6.61 13.78 14.75 31.25
Quarter EndAs of 12/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 3.29 13.64 13.64 22.21 25.46 72.03 285.11
Fund with Sales Charge (%) (POP) 3.29 13.64 13.64 22.21 25.46 72.03 285.11
Blended Benchmark (%) 3.96 15.03 15.03 25.79 29.04 82.04 266.60
MSCI All Country World Index (%) 9.07 27.30 27.30 44.48 53.85 144.90 375.94
Bloomberg Barclays Multiverse Index (%) 0.64 7.13 7.13 13.80 13.18 30.28

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 01/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 5.07 5.56 6.01
Standard Deviation (Blended Benchmark) 5.22 5.77 5.58
Alpha -0.13 0.07 -0.44
Beta 0.89 0.85 1.00
Sharpe Ratio 0.98 0.68 0.87
Information Ratio -0.37 -0.22 -0.23
Tracking Error 2.08 2.77 2.29
R-Squared 0.84 0.78 0.85

ADDITIONAL RISK STATISTICSAs of 01/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.92 0.88 0.92
Beta Bull 0.78 0.84 0.99
Beta Bear 1.14 1.07 1.17
Bull Bear Capture Ratio 0.99 1.03 0.96
% of Positive Months 80.56 73.33 67.50
Gains/Losses 2.69 1.95 2.05
Maximum Drawdown
5.89 8.46 8.46

SALES CHARGE, EXPENSES & FEES As of 05/01/2019 (updated annually)

Gross Expense Ratio 0.91%
Net Expense Ratio [further-information] 0.80%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 01/31/2020 Updated Monthly, based on a 3-year period

Beta 0.89
Sharpe Ratio 0.98
Standard Deviation 5.07

Benchmarks

A benchmark is a comparable broad-based index that can be used to evaluate a fund's performance.

  • Blended Benchmark
  • MSCI All Country World Index
  • Bloomberg Barclays Multiverse Index