Average Annual Total Returns [further-information] As of 09/30/2019

Month EndAs of 09/30/2019 1 Yr 3 Yr 5 Yr 10 Yr Since Inception Inception 12/31/1996
Fund without Sales Charge (%) (NAV) 3.09 7.51 5.44 6.92 6.56
Fund with Sales Charge (%) (POP) 3.09 7.51 5.44 6.92 6.56
Quarter EndAs of 09/30/2019 1 Yr 3 Yr 5 Yr 10 Yr Since Inception Inception 12/31/1996
Fund without Sales Charge (%) (NAV) 3.09 7.51 5.44 6.92 6.56
Fund with Sales Charge (%) (POP) 3.09 7.51 5.44 6.92 6.56
Blended Benchmark (%) 4.49 6.99 5.81 7.33 6.32
MSCI All Country World Index (%) 1.95 10.31 7.23 8.93 6.69
Bloomberg Barclays Multiverse Index (%) 7.54 1.81 2.14 2.55

After-Tax Average Annual Total Returns [further-information] As of 09/30/2019

Month EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.70 5.80 3.83 5.63
Fund without Sales Charge (%) (NAV) After Shares Sold 2.69 5.47 3.89 5.23
Fund with Sales Charge (%) (POP) Before Shares Sold 0.70 5.80 3.83 5.63
Fund with Sales Charge (%) (POP) After Shares Sold 2.69 5.47 3.89 5.23
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.70 5.80 3.83 5.63
Fund without Sales Charge (%) (NAV) After Shares Sold 2.69 5.47 3.89 5.23
Fund with Sales Charge (%) (POP) Before Shares Sold 0.70 5.80 3.83 5.63
Fund with Sales Charge (%) (POP) After Shares Sold 2.69 5.47 3.89 5.23

Calendar Year Returns

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

Cumulative Total Returns [further-information] As of 09/30/2019

Month EndAs of 09/30/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 0.42 12.56 3.09 24.27 30.32 95.20 324.19
Fund with Sales Charge (%) (POP) 0.42 12.56 3.09 24.27 30.32 95.20 324.19
Quarter EndAs of 09/30/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 0.42 12.56 3.09 24.27 30.32 95.20 324.19
Fund with Sales Charge (%) (POP) 0.42 12.56 3.09 24.27 30.32 95.20 324.19
Blended Benchmark (%) 0.35 12.69 4.49 22.46 32.59 102.81 302.86
MSCI All Country World Index (%) 0.10 16.71 1.95 34.19 41.79 135.15 336.37
Bloomberg Barclays Multiverse Index (%) 0.63 6.45 7.54 5.52 11.15 28.58

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 10/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 7.01 7.37 7.74
Standard Deviation (Blended Benchmark) 7.11 7.53 7.47
Alpha 0.22 -0.26 -0.42
Beta 0.95 0.94 1.00
Sharpe Ratio 0.96 0.59 0.85
Information Ratio -0.06 -0.27 -0.24
Tracking Error 1.85 2.21 2.01
R-Squared 0.93 0.91 0.93

ADDITIONAL RISK STATISTICSAs of 10/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.97 0.96 0.97
Beta Bull 0.88 0.92 0.98
Beta Bear 1.18 1.23 1.21
Bull Bear Capture Ratio 1.05 0.99 0.98
% of Positive Months 80.56 70.00 66.67
Gains/Losses 2.46 1.78 2.00
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 10/31/2019 Updated Monthly, based on a 3-year period

Beta 0.95
Alpha 0.22
Sharpe Ratio 0.96
R-Squared 0.93
Standard Deviation 7.01

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