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) 9.41 6.55 4.76 5.67 5.90
Fund with Sales Charge (%) (POP) 9.41 6.55 4.76 5.67 5.90
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) 13.53 6.81 4.57 5.47 5.89
Fund with Sales Charge (%) (POP) 13.53 6.81 4.57 5.47 5.89
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 7.27 4.83 3.26 4.36
Fund without Sales Charge (%) (NAV) After Shares Sold 6.53 4.69 3.34 4.15
Fund with Sales Charge (%) (POP) Before Shares Sold 7.27 4.83 3.26 4.36
Fund with Sales Charge (%) (POP) After Shares Sold 6.53 4.69 3.34 4.15
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 11.30 5.08 3.08 4.16
Fund without Sales Charge (%) (NAV) After Shares Sold 9.02 4.90 3.20 3.98
Fund with Sales Charge (%) (POP) Before Shares Sold 11.30 5.08 3.08 4.16
Fund with Sales Charge (%) (POP) After Shares Sold 9.02 4.90 3.20 3.98

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 13.53 -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27
Fund with Sales Charge (%) (POP) 13.53 -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27
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) 3.13 0.57 9.41 20.97 26.15 73.61 275.29
Fund with Sales Charge (%) (POP) 3.13 0.57 9.41 20.97 26.15 73.61 275.29
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) 3.26 13.53 13.53 21.86 25.01 70.33 273.17
Fund with Sales Charge (%) (POP) 3.26 13.53 13.53 21.86 25.01 70.33 273.17
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) 5.05 5.57 6.01
Standard Deviation (Blended Benchmark) 5.22 5.77 5.58
Alpha -0.19 -0.01 -0.55
Beta 0.89 0.85 1.00
Sharpe Ratio 0.97 0.66 0.85
Information Ratio -0.41 -0.25 -0.27
Tracking Error 2.06 2.76 2.29
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 0.92
Beta Bull 0.78 0.84 0.99
Beta Bear 1.14 1.06 1.16
Bull Bear Capture Ratio 0.98 1.02 0.94
% of Positive Months 80.56 73.33 67.50
Gains/Losses 2.67 1.93 2.03
Maximum Drawdown
5.90 8.52 8.52

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

Gross Expense Ratio 0.88%
Net Expense Ratio [further-information] 0.88%
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 0.97
Standard Deviation 5.05

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