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) 4.05 7.02 5.37 7.91 6.59
Fund with Sales Charge (%) (POP) 4.05 7.02 5.37 7.91 6.59
Blended Benchmark (%) 5.28 7.04 5.62 8.68 6.68
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) 22.22 11.13 7.40 8.44 6.93
Fund with Sales Charge (%) (POP) 22.22 11.13 7.40 8.44 6.93
Blended Benchmark (%) 23.16 11.39 7.79 9.32 7.07
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 1.51 4.74 3.52 6.65
Fund without Sales Charge (%) (NAV) After Shares Sold 4.43 5.36 4.06 6.30
Fund with Sales Charge (%) (POP) Before Shares Sold 1.51 4.74 3.52 6.65
Fund with Sales Charge (%) (POP) After Shares Sold 4.43 5.36 4.06 6.30
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 19.24 8.76 5.52 7.17
Fund without Sales Charge (%) (NAV) After Shares Sold 15.28 8.47 5.59 6.70
Fund with Sales Charge (%) (POP) Before Shares Sold 19.24 8.76 5.52 7.17
Fund with Sales Charge (%) (POP) After Shares Sold 15.28 8.47 5.59 6.70

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 22.22 -6.23 19.77 5.60 -1.41 5.23 21.26 10.84 -2.90 14.61
Fund with Sales Charge (%) (POP) 22.22 -6.23 19.77 5.60 -1.41 5.23 21.26 10.84 -2.90 14.61
Blended Benchmark (%) 23.16 -7.32 21.06 7.44 -2.00 7.61 22.74 13.98 -0.41 11.76
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) -3.74 -6.15 4.05 22.58 29.87 114.09 338.41
Fund with Sales Charge (%) (POP) -3.74 -6.15 4.05 22.58 29.87 114.09 338.41
Blended Benchmark (%) -4.13 -6.91 5.28 22.63 31.46 129.83 347.52
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) 6.18 22.22 22.22 37.25 42.90 124.91 367.12
Fund with Sales Charge (%) (POP) 6.18 22.22 22.22 37.25 42.90 124.91 367.12
Blended Benchmark (%) 7.35 23.16 23.16 38.18 45.50 143.79 380.74
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) 9.85 9.61 10.15
Standard Deviation (Blended Benchmark) 9.94 9.88 10.39
Alpha 0.11 -0.04 -0.39
Beta 0.98 0.95 0.96
Sharpe Ratio 0.54 0.45 0.72
Information Ratio -0.01 -0.13 -0.38
Tracking Error 1.67 1.94 2.02
R-Squared 0.97 0.96 0.96

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.99 0.98 0.98
Beta Bull 0.94 0.90 0.97
Beta Bear 1.10 1.11 1.07
Bull Bear Capture Ratio 1.01 0.99 0.97
% of Positive Months 75.00 68.33 65.00
Gains/Losses 1.75 1.57 1.82
Maximum Drawdown
11.11 11.29 15.01

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

Gross Expense Ratio 0.96%
Net Expense Ratio [further-information] 0.93%
Max Initial Sales Charge 0.00%
CDSC

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

Beta 0.98
Alpha 0.11
Sharpe Ratio 0.54
R-Squared 0.97
Standard Deviation 9.85

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