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) 13.45 9.63 6.96 8.22 6.46
Fund with Sales Charge (%) (POP) 13.45 9.63 6.96 8.22 6.46
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) 21.56 10.57 6.86 7.90 6.50
Fund with Sales Charge (%) (POP) 21.56 10.57 6.86 7.90 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 10.77 7.40 5.20 7.06
Fund without Sales Charge (%) (NAV) After Shares Sold 9.89 7.30 5.26 6.55
Fund with Sales Charge (%) (POP) Before Shares Sold 10.77 7.40 5.20 7.06
Fund with Sales Charge (%) (POP) After Shares Sold 9.89 7.30 5.26 6.55
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 18.70 8.33 5.10 6.74
Fund without Sales Charge (%) (NAV) After Shares Sold 14.83 8.05 5.18 6.27
Fund with Sales Charge (%) (POP) Before Shares Sold 18.70 8.33 5.10 6.74
Fund with Sales Charge (%) (POP) After Shares Sold 14.83 8.05 5.18 6.27

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 21.56 -6.68 19.17 5.12 -1.93 4.72 20.67 10.22 -3.40 14.02
Fund with Sales Charge (%) (POP) 21.56 -6.68 19.17 5.12 -1.93 4.72 20.67 10.22 -3.40 14.02
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) 4.42 -0.28 13.45 31.75 39.97 120.29 324.22
Fund with Sales Charge (%) (POP) 4.42 -0.28 13.45 31.75 39.97 120.29 324.22
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) 6.00 21.56 21.56 35.19 39.36 113.81 325.41
Fund with Sales Charge (%) (POP) 6.00 21.56 21.56 35.19 39.36 113.81 325.41
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) 9.12 9.28 9.91
Standard Deviation (Blended Benchmark) 9.12 9.53 10.15
Alpha -0.43 -0.60 -0.87
Beta 0.98 0.95 0.96
Sharpe Ratio 0.87 0.63 0.77
Information Ratio -0.38 -0.50 -0.66
Tracking Error 1.67 1.96 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 0.91 0.96
Beta Bear 1.15 1.15 1.09
Bull Bear Capture Ratio 0.98 0.96 0.94
% of Positive Months 77.78 70.00 65.83
Gains/Losses 2.24 1.81 1.89
Maximum Drawdown
11.16 11.63 15.10

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

Gross Expense Ratio 1.46%
Net Expense Ratio [further-information] 1.43%
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 0.98
Alpha -0.43
Sharpe Ratio 0.87
R-Squared 0.97
Standard Deviation 9.12

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