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) 8.28 5.48 3.70 4.61 4.93
Fund with Sales Charge (%) (POP) 7.28 5.48 3.70 4.61 4.93
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) 12.35 5.75 3.51 4.41 4.93
Fund with Sales Charge (%) (POP) 11.35 5.75 3.51 4.41 4.93
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 6.50 4.13 2.56 3.65
Fund without Sales Charge (%) (NAV) After Shares Sold 5.83 4.01 2.66 3.44
Fund with Sales Charge (%) (POP) Before Shares Sold 5.50 4.13 2.56 3.65
Fund with Sales Charge (%) (POP) After Shares Sold 5.24 4.01 2.66 3.44
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 10.51 4.39 2.37 3.45
Fund without Sales Charge (%) (NAV) After Shares Sold 8.29 4.21 2.51 3.27
Fund with Sales Charge (%) (POP) Before Shares Sold 9.51 4.39 2.37 3.45
Fund with Sales Charge (%) (POP) After Shares Sold 7.70 4.21 2.51 3.27

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 12.35 -4.14 9.80 3.55 -2.96 2.58 9.61 7.09 -1.38 9.12
Fund with Sales Charge (%) (POP) 11.35 -5.04 8.80 2.55 -3.88 1.59 8.61 6.09 -2.35 8.12
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) 2.82 0.51 8.28 17.37 19.93 57.00 203.89
Fund with Sales Charge (%) (POP) 1.85 -0.49 7.28 17.37 19.93 57.00 203.89
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) 2.96 12.35 12.35 18.25 18.82 53.97 202.35
Fund with Sales Charge (%) (POP) 1.98 11.35 11.35 18.25 18.82 53.97 202.35
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) 5.04 5.55 5.99
Standard Deviation (Blended Benchmark) 5.22 5.77 5.58
Alpha -1.19 -1.01 -1.54
Beta 0.89 0.85 0.99
Sharpe Ratio 0.76 0.48 0.68
Information Ratio -0.93 -0.64 -0.74
Tracking Error 2.06 2.74 2.27
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 0.77 0.83 0.98
Beta Bear 1.14 1.07 1.16
Bull Bear Capture Ratio 0.83 0.87 0.83
% of Positive Months 80.56 73.33 67.50
Gains/Losses 2.35 1.70 1.80
Maximum Drawdown
6.27 9.16 9.16

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

Gross Expense Ratio 1.88%
Net Expense Ratio [further-information] 1.88%
Max Initial Sales Charge 0.00%
CDSC 1.00%

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

Beta 0.89
Sharpe Ratio 0.76
Standard Deviation 5.04

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