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) -2.69 1.07 2.06 6.46 5.67
Fund with Sales Charge (%) (POP) -8.06 -0.81 0.91 5.86 5.32
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) 17.81 5.71 4.70 7.32 6.36
Fund with Sales Charge (%) (POP) 11.29 3.75 3.53 6.72 6.00
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 -3.51 0.18 1.24 5.61
Fund without Sales Charge (%) (NAV) After Shares Sold -1.15 0.72 1.47 5.05
Fund with Sales Charge (%) (POP) Before Shares Sold -8.83 -1.68 0.10 5.02
Fund with Sales Charge (%) (POP) After Shares Sold -4.35 -0.71 0.59 4.55
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 16.81 4.78 3.87 6.47
Fund without Sales Charge (%) (NAV) After Shares Sold 10.98 4.23 3.48 5.74
Fund with Sales Charge (%) (POP) Before Shares Sold 10.35 2.83 2.70 5.87
Fund with Sales Charge (%) (POP) After Shares Sold 7.09 2.71 2.56 5.22

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 17.81 -9.82 11.20 13.52 -6.18 2.92 23.64 16.76 -1.95 10.61
Fund with Sales Charge (%) (POP) 11.29 -14.80 4.82 7.00 -11.56 -3.03 16.53 10.08 -7.60 4.25
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) -6.71 -9.29 -2.69 3.26 10.72 86.98 149.16
Fund with Sales Charge (%) (POP) -11.83 -14.28 -8.06 -2.40 4.62 76.73 135.50
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) 6.03 17.81 17.81 18.14 25.82 102.76 174.66
Fund with Sales Charge (%) (POP) 0.17 11.29 11.29 11.67 18.94 91.64 159.60
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) 11.08 10.98 11.58
Standard Deviation (S&P 500 Index) 12.98 12.26 12.65
Alpha -6.70 -5.44 -4.09
Beta 0.80 0.84 0.86
Sharpe Ratio -0.06 0.09 0.51
Information Ratio -1.94 -1.61 -1.47
Tracking Error 4.54 4.44 4.20
R-Squared 0.89 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 0.79 0.78 0.85
Beta Bear 0.63 0.72 0.78
Bull Bear Capture Ratio 0.59 0.65 0.73
% of Positive Months 61.11 58.33 61.67
Gains/Losses 1.12 1.20 1.55
Maximum Drawdown
13.16 15.23 17.43

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

Gross Expense Ratio 0.99%
Net Expense Ratio [further-information] 0.99%
Max Initial Sales Charge 5.50%
CDSC

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

Beta 0.80
Sharpe Ratio -0.06
Standard Deviation 11.08

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