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) 8.82 6.00 4.21 5.13 5.46
Fund with Sales Charge (%) (POP) 8.82 6.00 4.21 5.13 5.46
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) 12.93 6.26 4.02 4.93 5.46
Fund with Sales Charge (%) (POP) 12.93 6.26 4.02 4.93 5.46
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 6.88 4.47 2.91 4.00
Fund without Sales Charge (%) (NAV) After Shares Sold 6.16 4.34 2.99 3.79
Fund with Sales Charge (%) (POP) Before Shares Sold 6.88 4.47 2.91 4.00
Fund with Sales Charge (%) (POP) After Shares Sold 6.16 4.34 2.99 3.79
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 10.91 4.73 2.72 3.80
Fund without Sales Charge (%) (NAV) After Shares Sold 8.64 4.54 2.85 3.62
Fund with Sales Charge (%) (POP) Before Shares Sold 10.91 4.73 2.72 3.80
Fund with Sales Charge (%) (POP) After Shares Sold 8.64 4.54 2.85 3.62

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 12.93 -3.64 10.25 4.15 -2.52 3.10 10.14 7.68 -0.95 9.69
Fund with Sales Charge (%) (POP) 12.93 -3.64 10.25 4.15 -2.52 3.10 10.14 7.68 -0.95 9.69
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) 2.92 0.50 8.82 19.09 22.91 64.96 241.38
Fund with Sales Charge (%) (POP) 2.92 0.50 8.82 19.09 22.91 64.96 241.38
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) 3.12 12.93 12.93 19.97 21.79 61.82 239.68
Fund with Sales Charge (%) (POP) 3.12 12.93 12.93 19.97 21.79 61.82 239.68
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 6.00
Standard Deviation (Blended Benchmark) 5.22 5.77 5.58
Alpha -0.70 -0.52 -1.04
Beta 0.89 0.85 0.99
Sharpe Ratio 0.86 0.57 0.76
Information Ratio -0.68 -0.45 -0.51
Tracking Error 2.06 2.75 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 0.92
Beta Bull 0.78 0.84 0.99
Beta Bear 1.14 1.06 1.16
Bull Bear Capture Ratio 0.90 0.94 0.88
% of Positive Months 77.78 71.67 66.67
Gains/Losses 2.48 1.81 1.91
Maximum Drawdown
6.01 8.87 8.87

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

Gross Expense Ratio 1.38%
Net Expense Ratio [further-information] 1.38%
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 0.86
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