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) 12.84 9.07 6.42 7.68 5.94
Fund with Sales Charge (%) (POP) 11.84 9.07 6.42 7.68 5.94
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) 20.95 10.02 6.33 7.36 5.98
Fund with Sales Charge (%) (POP) 19.95 10.02 6.33 7.36 5.98
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 10.27 6.97 4.78 6.63
Fund without Sales Charge (%) (NAV) After Shares Sold 9.48 6.89 4.87 6.12
Fund with Sales Charge (%) (POP) Before Shares Sold 9.27 6.97 4.78 6.63
Fund with Sales Charge (%) (POP) After Shares Sold 8.89 6.89 4.87 6.12
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 18.20 7.90 4.69 6.31
Fund without Sales Charge (%) (NAV) After Shares Sold 14.40 7.64 4.79 5.84
Fund with Sales Charge (%) (POP) Before Shares Sold 17.20 7.90 4.69 6.31
Fund with Sales Charge (%) (POP) After Shares Sold 13.81 7.64 4.79 5.84

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 20.95 -7.13 18.56 4.59 -2.41 4.21 20.04 9.71 -3.91 13.44
Fund with Sales Charge (%) (POP) 19.95 -7.98 17.56 3.59 -3.33 3.21 19.04 8.71 -4.87 12.44
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) 4.24 -0.34 12.84 29.74 36.52 109.61 278.83
Fund with Sales Charge (%) (POP) 3.29 -1.34 11.84 29.74 36.52 109.61 278.83
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) 5.86 20.95 20.95 33.18 35.93 103.36 280.12
Fund with Sales Charge (%) (POP) 4.89 19.95 19.95 33.18 35.93 103.36 280.12
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) 9.11 9.27 9.92
Standard Deviation (Blended Benchmark) 9.12 9.53 10.15
Alpha -0.94 -1.09 -1.37
Beta 0.98 0.95 0.96
Sharpe Ratio 0.81 0.58 0.72
Information Ratio -0.71 -0.77 -0.93
Tracking Error 1.67 1.95 2.04
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 0.94 0.90 0.96
Beta Bear 1.15 1.14 1.09
Bull Bear Capture Ratio 0.94 0.92 0.90
% of Positive Months 77.78 70.00 65.83
Gains/Losses 2.16 1.74 1.82
Maximum Drawdown
11.29 11.98 15.31

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

Gross Expense Ratio 1.96%
Net Expense Ratio [further-information] 1.93%
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 0.98
Alpha -0.94
Sharpe Ratio 0.81
R-Squared 0.97
Standard Deviation 9.11

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