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 12/31/1996
Fund without Sales Charge (%) (NAV) 4.56 4.74 3.42 5.00 5.59
Fund with Sales Charge (%) (POP) -1.17 2.80 2.26 4.40 5.34
Blended Benchmark (%) 6.67 5.84 4.44 5.89 5.65
MSCI All Country World Index (%) 4.45 7.54 6.12 8.67 6.53
Bloomberg Barclays Multiverse Index (%) 7.70 4.40 3.04 2.80
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 13.25 6.54 4.29 5.20 5.73
Fund with Sales Charge (%) (POP) 6.99 4.55 3.11 4.61 5.47
Blended Benchmark (%) 15.03 7.95 5.23 6.17 5.81
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 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 2.60 3.14 2.04 3.79
Fund without Sales Charge (%) (NAV) After Shares Sold 3.66 3.36 2.36 3.65
Fund with Sales Charge (%) (POP) Before Shares Sold -3.02 1.23 0.89 3.20
Fund with Sales Charge (%) (POP) After Shares Sold 0.22 1.86 1.46 3.16
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 11.13 4.91 2.90 3.99
Fund without Sales Charge (%) (NAV) After Shares Sold 8.84 4.72 3.02 3.80
Fund with Sales Charge (%) (POP) Before Shares Sold 4.98 2.95 1.73 3.40
Fund with Sales Charge (%) (POP) After Shares Sold 5.08 3.18 2.10 3.31

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 13.25 -3.44 10.58 4.39 -2.26 3.35 10.39 7.99 -0.71 10.00
Fund with Sales Charge (%) (POP) 6.99 -8.72 4.21 -1.63 -7.90 -2.57 4.02 1.81 -6.43 3.64
Blended Benchmark (%) 15.03 -4.30 14.24 5.29 -2.51 6.83 9.76 8.36 2.52 8.30
MSCI All Country World Index (%) 27.30 -8.93 24.62 8.49 -1.84 4.71 23.44 16.80 -6.86 13.21
Bloomberg Barclays Multiverse Index (%) 7.13 -1.36 7.69 2.84 -3.29 0.47 -2.19 4.84 5.55 5.84

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 12/31/1996
Fund without Sales Charge (%) (NAV) -0.66 -2.06 4.56 14.92 18.32 62.86 252.76
Fund with Sales Charge (%) (POP) -6.11 -7.45 -1.17 8.63 11.83 53.89 233.42
Blended Benchmark (%) -0.83 -2.63 6.67 18.57 24.29 77.26 256.97
MSCI All Country World Index (%) -5.79 -9.03 4.45 24.36 34.59 129.79 332.96
Bloomberg Barclays Multiverse Index (%) 2.43 1.72 7.70 13.79 16.14 31.85
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) 3.19 13.25 13.25 20.92 23.38 66.02 260.17
Fund with Sales Charge (%) (POP) -2.50 6.99 6.99 14.27 16.56 56.89 240.43
Blended Benchmark (%) 3.96 15.03 15.03 25.79 29.04 82.04 266.60
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 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 5.32 5.64 6.08
Standard Deviation (Blended Benchmark) 5.56 5.92 5.68
Alpha -0.59 -0.47 -0.78
Beta 0.89 0.85 0.99
Sharpe Ratio 0.58 0.41 0.73
Information Ratio -0.53 -0.38 -0.39
Tracking Error 2.06 2.72 2.28
R-Squared 0.86 0.79 0.86

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.93 0.89 0.93
Beta Bull 0.78 0.83 0.99
Beta Bear 1.10 1.05 1.13
Bull Bear Capture Ratio 0.92 0.94 0.91
% of Positive Months 77.78 71.67 66.67
Gains/Losses 1.99 1.61 1.86
Maximum Drawdown
5.97 8.70 8.70

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

Gross Expense Ratio 1.13%
Net Expense Ratio [further-information] 1.13%
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 0.89
Sharpe Ratio 0.58
Standard Deviation 5.32

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