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) 3.45 5.75 4.07 5.43 5.81
Fund with Sales Charge (%) (POP) 3.45 5.75 4.07 5.43 5.81
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) 3.45 5.75 4.07 5.43 5.81
Fund with Sales Charge (%) (POP) 3.45 5.75 4.07 5.43 5.81
Blended Benchmark (%) 5.61 5.29 4.83 5.98 5.70
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 1.24 4.46 2.68 4.24
Fund without Sales Charge (%) (NAV) After Shares Sold 2.64 4.08 2.75 3.96
Fund with Sales Charge (%) (POP) Before Shares Sold 1.24 4.46 2.68 4.24
Fund with Sales Charge (%) (POP) After Shares Sold 2.64 4.08 2.75 3.96
Quarter EndAs of 09/30/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 1.24 4.46 2.68 4.24
Fund without Sales Charge (%) (NAV) After Shares Sold 2.64 4.08 2.75 3.96
Fund with Sales Charge (%) (POP) Before Shares Sold 1.24 4.46 2.68 4.24
Fund with Sales Charge (%) (POP) After Shares Sold 2.64 4.08 2.75 3.96

Calendar Year Returns

2018 2017 2016 2015 2014 2013 2012 2011 2010 2009
Fund without Sales Charge (%) (NAV) -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27 19.97
Fund with Sales Charge (%) (POP) -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27 19.97
Blended Benchmark (%) -4.30 14.24 5.29 -2.51 6.83 9.76 8.36 2.52 8.30 13.76
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) 0.41 9.95 3.45 18.25 22.05 69.70 261.38
Fund with Sales Charge (%) (POP) 0.41 9.95 3.45 18.25 22.05 69.70 261.38
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) 0.41 9.95 3.45 18.25 22.05 69.70 261.38
Fund with Sales Charge (%) (POP) 0.41 9.95 3.45 18.25 22.05 69.70 261.38
Blended Benchmark (%) 0.45 10.63 5.61 16.71 26.61 78.68 252.58
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) 5.05 5.59 6.06
Standard Deviation (Blended Benchmark) 5.43 5.79 5.62
Alpha 0.41 -0.33 -0.53
Beta 0.84 0.85 1.00
Sharpe Ratio 0.93 0.53 0.83
Information Ratio -0.16 -0.34 -0.26
Tracking Error 2.33 2.77 2.32
R-Squared 0.82 0.78 0.85

ADDITIONAL RISK STATISTICSAs of 10/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.90 0.88 0.92
Beta Bull 0.79 0.86 0.98
Beta Bear 1.04 1.03 1.16
Bull Bear Capture Ratio 1.10 0.97 0.94
% of Positive Months 77.78 70.00 66.67
Gains/Losses 2.57 1.75 1.99
Maximum Drawdown
5.90 8.52 8.52

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

Gross Expense Ratio 0.88%
Net Expense Ratio [further-information] 0.88%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 10/31/2019 Updated Monthly, based on a 3-year period

Beta 0.84
Sharpe Ratio 0.93
Standard Deviation 5.05

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