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) 13.66 9.89 7.23 8.49 6.73
Fund with Sales Charge (%) (POP) 7.41 7.84 6.02 7.88 6.47
Blended Benchmark (%) 14.72 10.26 7.93 9.57 7.01
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) 21.90 10.85 7.13 8.17 6.76
Fund with Sales Charge (%) (POP) 15.21 8.79 5.93 7.55 6.50
Blended Benchmark (%) 23.16 11.39 7.79 9.32 7.07
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 10.94 7.60 5.40 7.27
Fund without Sales Charge (%) (NAV) After Shares Sold 10.05 7.50 5.47 6.76
Fund with Sales Charge (%) (POP) Before Shares Sold 4.84 5.59 4.22 6.67
Fund with Sales Charge (%) (POP) After Shares Sold 6.24 5.88 4.50 6.23
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 18.98 8.54 5.31 6.95
Fund without Sales Charge (%) (NAV) After Shares Sold 15.06 8.26 5.39 6.48
Fund with Sales Charge (%) (POP) Before Shares Sold 12.45 6.52 4.13 6.35
Fund with Sales Charge (%) (POP) After Shares Sold 10.99 6.62 4.42 5.96

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 21.90 -6.45 19.45 5.36 -1.66 4.95 20.98 10.52 -3.15 14.31
Fund with Sales Charge (%) (POP) 15.21 -11.62 12.60 -0.71 -7.30 -1.07 14.06 4.14 -8.71 7.76
Blended Benchmark (%) 23.16 -7.32 21.06 7.44 -2.00 7.61 22.74 13.98 -0.41 11.76
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) 4.45 -0.28 13.66 32.71 41.74 125.85 349.40
Fund with Sales Charge (%) (POP) -1.28 -5.78 7.41 25.40 33.97 113.45 324.76
Blended Benchmark (%) 4.23 -0.63 14.72 34.04 46.45 149.35 377.74
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) 6.07 21.90 21.90 36.21 41.14 119.27 350.64
Fund with Sales Charge (%) (POP) 0.23 15.21 15.21 28.75 33.38 107.16 325.94
Blended Benchmark (%) 7.35 23.16 23.16 38.18 45.50 143.79 380.74
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) 9.14 9.28 9.91
Standard Deviation (Blended Benchmark) 9.12 9.53 10.15
Alpha -0.22 -0.35 -0.62
Beta 0.99 0.95 0.96
Sharpe Ratio 0.90 0.66 0.80
Information Ratio -0.22 -0.36 -0.53
Tracking Error 1.64 1.94 2.02
R-Squared 0.97 0.96 0.96

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.98 0.98 0.98
Beta Bull 0.95 0.91 0.96
Beta Bear 1.15 1.15 1.09
Bull Bear Capture Ratio 0.99 0.98 0.96
% of Positive Months 77.78 70.00 65.83
Gains/Losses 2.28 1.84 1.93
Maximum Drawdown
11.12 11.45 15.05

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

Gross Expense Ratio 1.21%
Net Expense Ratio [further-information] 1.18%
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 0.99
Alpha -0.22
Sharpe Ratio 0.90
R-Squared 0.97
Standard Deviation 9.14

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