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) 1.98 6.33 4.29 5.73 5.40
Fund with Sales Charge (%) (POP) 1.04 6.33 4.29 5.73 5.40
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) 1.98 6.33 4.29 5.73 5.40
Fund with Sales Charge (%) (POP) 1.04 6.33 4.29 5.73 5.40
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 -0.01 5.06 3.02 4.77
Fund without Sales Charge (%) (NAV) After Shares Sold 2.05 4.68 3.11 4.38
Fund with Sales Charge (%) (POP) Before Shares Sold -0.96 5.06 3.02 4.77
Fund with Sales Charge (%) (POP) After Shares Sold 1.49 4.68 3.11 4.38
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.01 5.06 3.02 4.77
Fund without Sales Charge (%) (NAV) After Shares Sold 2.05 4.68 3.11 4.38
Fund with Sales Charge (%) (POP) Before Shares Sold -0.96 5.06 3.02 4.77
Fund with Sales Charge (%) (POP) After Shares Sold 1.49 4.68 3.11 4.38

Calendar Year Returns

2018 2017 2016 2015 2014 2013 2012 2011 2010 2009
Fund without Sales Charge (%) (NAV) -5.54 14.10 4.25 -2.68 3.35 13.41 8.51 -2.17 11.10 23.82
Fund with Sales Charge (%) (POP) -6.41 13.10 3.25 -3.60 2.35 12.41 7.51 -3.13 10.10 22.82
Blended Benchmark (%) -5.82 17.62 6.42 -2.22 7.13 14.48 10.66 1.80 9.97 17.74
MSCI All Country World Index (%) -8.93 24.62 8.49 -1.84 4.71 23.44 16.80 -6.86 13.21 35.41
Bloomberg Barclays Multiverse Index (%) -1.36 7.69 2.84 -3.29 0.47 -2.19 4.84 5.55 5.84 8.04

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) 0.15 11.67 1.98 20.22 23.35 74.53 231.00
Fund with Sales Charge (%) (POP) -0.85 10.67 1.04 20.22 23.35 74.53 231.00
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) 0.15 11.67 1.98 20.22 23.35 74.53 231.00
Fund with Sales Charge (%) (POP) -0.85 10.67 1.04 20.22 23.35 74.53 231.00
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) 6.99 7.33 7.71
Standard Deviation (Blended Benchmark) 7.11 7.53 7.47
Alpha -0.86 -1.33 -1.51
Beta 0.95 0.93 1.00
Sharpe Ratio 0.80 0.44 0.70
Information Ratio -0.68 -0.79 -0.82
Tracking Error 1.89 2.22 2.02
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 0.96 0.96 0.97
Beta Bull 0.88 0.91 0.98
Beta Bear 1.18 1.23 1.20
Bull Bear Capture Ratio 0.93 0.88 0.87
% of Positive Months 80.56 70.00 66.67
Gains/Losses 2.22 1.59 1.80
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 10/31/2019 Updated Monthly, based on a 3-year period

Beta 0.95
Alpha -0.86
Sharpe Ratio 0.80
R-Squared 0.93
Standard Deviation 6.99

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