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) 9.14 6.28 4.48 5.40 5.73
Fund with Sales Charge (%) (POP) 3.14 4.29 3.31 4.81 5.48
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) 13.25 6.54 4.29 5.20 5.73
Fund with Sales Charge (%) (POP) 6.99 4.55 3.11 4.61 5.47
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 7.10 4.65 3.08 4.18
Fund without Sales Charge (%) (NAV) After Shares Sold 6.36 4.52 3.16 3.96
Fund with Sales Charge (%) (POP) Before Shares Sold 1.21 2.70 1.93 3.60
Fund with Sales Charge (%) (POP) After Shares Sold 2.75 2.98 2.25 3.48
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 11.13 4.91 2.90 3.99
Fund without Sales Charge (%) (NAV) After Shares Sold 8.84 4.72 3.02 3.80
Fund with Sales Charge (%) (POP) Before Shares Sold 4.98 2.95 1.73 3.40
Fund with Sales Charge (%) (POP) After Shares Sold 5.08 3.18 2.10 3.31

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 13.25 -3.44 10.58 4.39 -2.26 3.35 10.39 7.99 -0.71 10.00
Fund with Sales Charge (%) (POP) 6.99 -8.72 4.21 -1.63 -7.90 -2.57 4.02 1.81 -6.43 3.64
Blended Benchmark (%) 15.03 -4.30 14.24 5.29 -2.51 6.83 9.76 8.36 2.52 8.30
MSCI All Country World Index (%) 27.30 -8.93 24.62 8.49 -1.84 4.71 23.44 16.80 -6.86 13.21
Bloomberg Barclays Multiverse Index (%) 7.13 -1.36 7.69 2.84 -3.29 0.47 -2.19 4.84 5.55 5.84

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) 3.06 0.57 9.14 20.04 24.51 69.23 262.22
Fund with Sales Charge (%) (POP) -2.58 -4.97 3.14 13.44 17.68 59.92 242.36
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) 3.19 13.25 13.25 20.92 23.38 66.02 260.17
Fund with Sales Charge (%) (POP) -2.50 6.99 6.99 14.27 16.56 56.89 240.43
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 5.57 6.01
Standard Deviation (Blended Benchmark) 5.22 5.77 5.58
Alpha -0.47 -0.28 -0.81
Beta 0.89 0.85 1.00
Sharpe Ratio 0.91 0.61 0.80
Information Ratio -0.55 -0.35 -0.39
Tracking Error 2.06 2.74 2.28
R-Squared 0.85 0.78 0.86

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.92 0.88 0.93
Beta Bull 0.78 0.84 0.99
Beta Bear 1.15 1.07 1.16
Bull Bear Capture Ratio 0.94 0.98 0.91
% of Positive Months 80.56 73.33 67.50
Gains/Losses 2.57 1.86 1.97
Maximum Drawdown
5.97 8.70 8.70

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

Gross Expense Ratio 1.13%
Net Expense Ratio [further-information] 1.13%
Max Initial Sales Charge 5.50%
CDSC

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

Beta 0.89
Sharpe Ratio 0.91
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