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) 3.39 5.00 3.55 5.46 5.30
Fund with Sales Charge (%) (POP) 2.44 5.00 3.55 5.46 5.30
Blended Benchmark (%) 6.02 6.47 5.06 7.14 6.23
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) 16.52 7.89 4.96 5.82 5.54
Fund with Sales Charge (%) (POP) 15.52 7.89 4.96 5.82 5.54
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 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 1.30 3.13 2.09 4.34
Fund without Sales Charge (%) (NAV) After Shares Sold 3.49 3.72 2.61 4.18
Fund with Sales Charge (%) (POP) Before Shares Sold 0.35 3.13 2.09 4.34
Fund with Sales Charge (%) (POP) After Shares Sold 2.93 3.72 2.61 4.18
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 14.16 5.96 3.48 4.70
Fund without Sales Charge (%) (NAV) After Shares Sold 11.32 5.90 3.67 4.46
Fund with Sales Charge (%) (POP) Before Shares Sold 13.16 5.96 3.48 4.70
Fund with Sales Charge (%) (POP) After Shares Sold 10.73 5.90 3.67 4.46

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 16.52 -5.54 14.10 4.25 -2.68 3.35 13.41 8.51 -2.17 11.10
Fund with Sales Charge (%) (POP) 15.52 -6.41 13.10 3.25 -3.60 2.35 12.41 7.51 -3.13 10.10
Blended Benchmark (%) 19.07 -5.82 17.62 6.42 -2.22 7.13 14.48 10.66 1.80 9.97
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) -2.35 -4.18 3.39 15.78 19.06 70.12 230.92
Fund with Sales Charge (%) (POP) -3.25 -5.14 2.44 15.78 19.06 70.12 230.92
Blended Benchmark (%) -2.48 -4.78 6.02 20.70 28.02 99.30 305.32
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) 4.34 16.52 16.52 25.58 27.41 76.14 245.35
Fund with Sales Charge (%) (POP) 3.37 15.52 15.52 25.58 27.41 76.14 245.35
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 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 7.47 7.52 7.79
Standard Deviation (Blended Benchmark) 7.67 7.78 7.61
Alpha -1.14 -1.16 -1.50
Beta 0.95 0.93 0.99
Sharpe Ratio 0.44 0.33 0.63
Information Ratio -0.82 -0.68 -0.86
Tracking Error 1.79 2.22 1.96
R-Squared 0.95 0.92 0.94

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.97 0.96 0.97
Beta Bull 0.87 0.90 1.00
Beta Bear 1.10 1.18 1.17
Bull Bear Capture Ratio 0.90 0.89 0.88
% of Positive Months 77.78 71.67 66.67
Gains/Losses 1.71 1.48 1.72
Maximum Drawdown
8.68 10.46 11.16

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

Gross Expense Ratio 1.89%
Net Expense Ratio [further-information] 1.89%
Max Initial Sales Charge 0.00%
CDSC 1.00%

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

Beta 0.95
Alpha -1.14
Sharpe Ratio 0.44
R-Squared 0.95
Standard Deviation 7.47

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