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) 14.13 10.33 7.64 8.93 7.10
Fund with Sales Charge (%) (POP) 14.13 10.33 7.64 8.93 7.10
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) 22.30 11.26 7.54 8.61 7.14
Fund with Sales Charge (%) (POP) 22.30 11.26 7.54 8.61 7.14
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 11.31 7.94 5.73 7.62
Fund without Sales Charge (%) (NAV) After Shares Sold 10.38 7.83 5.78 7.11
Fund with Sales Charge (%) (POP) Before Shares Sold 11.31 7.94 5.73 7.62
Fund with Sales Charge (%) (POP) After Shares Sold 10.38 7.83 5.78 7.11
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 19.29 8.86 5.62 7.31
Fund without Sales Charge (%) (NAV) After Shares Sold 15.36 8.56 5.69 6.83
Fund with Sales Charge (%) (POP) Before Shares Sold 19.29 8.86 5.62 7.31
Fund with Sales Charge (%) (POP) After Shares Sold 15.36 8.56 5.69 6.83

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011
Fund without Sales Charge (%) (NAV) 22.30 -6.07 19.90 5.77 -1.27 5.38 21.46
Fund with Sales Charge (%) (POP) 22.30 -6.07 19.90 5.77 -1.27 5.38 21.46
Blended Benchmark (%) 23.16 -7.32 21.06 7.44 -2.00 7.61 22.74 13.98 -0.41
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 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) 4.58 -0.22 14.13 34.28 44.53 135.14 387.32
Fund with Sales Charge (%) (POP) 4.58 -0.22 14.13 34.28 44.53 135.14 387.32
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) 6.19 22.30 22.30 37.74 43.84 128.30 388.39
Fund with Sales Charge (%) (POP) 6.19 22.30 22.30 37.74 43.84 128.30 388.39
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 9.29 9.93
Standard Deviation (Blended Benchmark) 9.12 9.53 10.15
Alpha 0.20 0.04 -0.23
Beta 0.98 0.95 0.96
Sharpe Ratio 0.95 0.71 0.84
Information Ratio 0.04 -0.14 -0.31
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 0.93 0.90 0.96
Beta Bear 1.15 1.15 1.09
Bull Bear Capture Ratio 1.02 1.01 0.99
% of Positive Months 77.78 70.00 65.83
Gains/Losses 2.35 1.90 1.98
Maximum Drawdown
11.05 11.21 14.94

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

Gross Expense Ratio 0.89%
Net Expense Ratio [further-information] 0.80%
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 0.20
Sharpe Ratio 0.95
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