Average Annual Total Returns [further-information] As of 12/31/2019

Month EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 17.81 9.10 6.12 7.02 6.70
Fund with Sales Charge (%) (POP) 17.81 9.10 6.12 7.02 6.70
Blended Benchmark (%) 19.07 9.69 6.53 7.63 6.50
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
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 17.81 9.10 6.12 7.02 6.70
Fund with Sales Charge (%) (POP) 17.81 9.10 6.12 7.02 6.70
Blended Benchmark (%) 19.07 9.69 6.53 7.63 6.50
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 12/31/2019

No chart available for this data.
Month EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold
Fund without Sales Charge (%) (NAV) After Shares Sold
Fund with Sales Charge (%) (POP) Before Shares Sold
Fund with Sales Charge (%) (POP) After Shares Sold
No chart available for this data.
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold
Fund without Sales Charge (%) (NAV) After Shares Sold
Fund with Sales Charge (%) (POP) Before Shares Sold
Fund with Sales Charge (%) (POP) After Shares Sold

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011
Fund without Sales Charge (%) (NAV) 17.81 -4.49 15.40 5.34 -1.59 4.52 14.75
Fund with Sales Charge (%) (POP) 17.81 -4.49 15.40 5.34 -1.59 4.52 14.75
Blended Benchmark (%) 19.07 -5.82 17.62 6.42 -2.22 7.13 14.48 10.66 1.80
MSCI All Country World Index (%) 27.30 -8.93 24.62 8.49 -1.84 4.71 23.44 16.80 -6.86
Bloomberg Barclays Multiverse Index (%) 7.13 -1.36 7.69 2.84 -3.29 0.47 -2.19 4.84 5.55

Cumulative Total Returns [further-information] As of 12/31/2019

Month 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) 4.66 17.81 17.81 29.84 34.59 97.08 343.97
Fund with Sales Charge (%) (POP) 4.66 17.81 17.81 29.84 34.59 97.08 343.97
Blended Benchmark (%) 5.64 19.07 19.07 31.94 37.22 108.50 325.66
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
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) 4.66 17.81 17.81 29.84 34.59 97.08 343.97
Fund with Sales Charge (%) (POP) 4.66 17.81 17.81 29.84 34.59 97.08 343.97
Blended Benchmark (%) 5.64 19.07 19.07 31.94 37.22 108.50 325.66
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 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 7.05 7.39 7.72
Standard Deviation (Blended Benchmark) 7.10 7.55 7.46
Alpha -0.24 -0.04 -0.55
Beta 0.96 0.94 1.00
Sharpe Ratio 1.06 0.69 0.84
Information Ratio -0.33 -0.18 -0.31
Tracking Error 1.75 2.20 1.95
R-Squared 0.94 0.92 0.94

ADDITIONAL RISK STATISTICSAs of 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.97 0.96 0.97
Beta Bull 0.87 0.91 1.00
Beta Bear 1.16 1.25 1.21
Bull Bear Capture Ratio 0.99 1.02 0.97
% of Positive Months 80.56 71.67 66.67
Gains/Losses 2.58 1.90 1.98
Maximum Drawdown
8.41 9.73 10.77

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

Gross Expense Ratio 0.86%
Net Expense Ratio [further-information] 0.80%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 12/31/2019 Updated Monthly, based on a 3-year period

Beta 0.96
Alpha -0.24
Sharpe Ratio 1.06
R-Squared 0.94
Standard Deviation 7.05

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