Average Annual Total Returns [further-information] As of 02/29/2020

Month EndAs of 02/29/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 08/15/2003
Fund without Sales Charge (%) (NAV) -3.35 0.35 1.31 5.66 4.92
Fund with Sales Charge (%) (POP) -4.29 0.35 1.31 5.66 4.92
S&P 500 Index (%) 8.19 9.87 9.23 12.65 9.04
MSCI World Index (%) 5.23 7.84 6.48 9.36 8.10
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 08/15/2003
Fund without Sales Charge (%) (NAV) 16.91 4.92 3.93 6.52 5.60
Fund with Sales Charge (%) (POP) 15.91 4.92 3.93 6.52 5.60
S&P 500 Index (%) 31.49 15.28 11.70 13.56 9.71
MSCI World Index (%) 28.40 13.21 9.36 10.08 8.80

After-Tax Average Annual Total Returns [further-information] As of 02/29/2020

Month EndAs of 02/29/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -3.94 -0.25 0.77 5.05
Fund without Sales Charge (%) (NAV) After Shares Sold -1.63 0.22 0.95 4.45
Fund with Sales Charge (%) (POP) Before Shares Sold -4.89 -0.25 0.77 5.05
Fund with Sales Charge (%) (POP) After Shares Sold -2.19 0.22 0.95 4.45
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 16.19 4.30 3.37 5.90
Fund without Sales Charge (%) (NAV) After Shares Sold 10.35 3.70 2.95 5.13
Fund with Sales Charge (%) (POP) Before Shares Sold 15.19 4.30 3.37 5.90
Fund with Sales Charge (%) (POP) After Shares Sold 9.76 3.70 2.95 5.13

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 16.91 -10.54 10.43 12.71 -6.85 2.12 22.69 15.87 -2.65 9.69
Fund with Sales Charge (%) (POP) 15.91 -11.41 9.43 11.71 -7.76 1.13 21.69 14.87 -3.59 8.69
S&P 500 Index (%) 31.49 -4.38 21.83 11.96 1.38 13.69 32.39 16.00 2.11 15.06
MSCI World Index (%) 28.40 -8.20 23.07 8.15 -0.32 5.50 27.37 16.54 -5.02 12.34

Cumulative Total Returns [further-information] As of 02/29/2020

Month EndAs of 02/29/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 08/15/2003
Fund without Sales Charge (%) (NAV) -6.83 -9.35 -3.35 1.04 6.75 73.46 121.42
Fund with Sales Charge (%) (POP) -7.75 -10.26 -4.29 1.04 6.75 73.46 121.42
S&P 500 Index (%) -5.50 -8.27 8.19 32.62 55.49 229.18 318.52
MSCI World Index (%) -6.18 -8.94 5.23 25.41 36.91 144.61 262.52
Quarter EndAs of 12/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 08/15/2003
Fund without Sales Charge (%) (NAV) 5.78 16.91 16.91 15.50 21.26 88.00 144.26
Fund with Sales Charge (%) (POP) 4.78 15.91 15.91 15.50 21.26 88.00 144.26
S&P 500 Index (%) 9.07 31.49 31.49 53.17 73.86 256.66 356.24
MSCI World Index (%) 8.68 28.40 28.40 45.06 56.39 161.31 298.12

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 11.06 10.96 11.54
Standard Deviation (S&P 500 Index) 12.98 12.26 12.65
Alpha -7.37 -6.12 -4.79
Beta 0.80 0.83 0.86
Sharpe Ratio -0.12 0.02 0.44
Information Ratio -2.08 -1.78 -1.66
Tracking Error 4.57 4.45 4.22
R-Squared 0.88 0.87 0.89

ADDITIONAL RISK STATISTICSAs of 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.94 0.93 0.94
Beta Bull 0.78 0.78 0.85
Beta Bear 0.63 0.72 0.77
Bull Bear Capture Ratio 0.56 0.61 0.70
% of Positive Months 61.11 58.33 61.67
Gains/Losses 1.07 1.14 1.48
Maximum Drawdown
13.73 15.72 17.67

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

Gross Expense Ratio 1.74%
Net Expense Ratio [further-information] 1.74%
Max Initial Sales Charge 0.00%
CDSC 1.00%

Volatility Measures [further-information] As of 02/29/2020 Updated Monthly, based on a 3-year period

Beta 0.80
Sharpe Ratio -0.12
Standard Deviation 11.06

Benchmarks

A benchmark is a comparable broad-based index that can be used to evaluate a fund's performance.

  • S&P 500 Index
  • MSCI World Index