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 08/15/2003
Fund without Sales Charge (%) (NAV) 3.71 7.18 6.09 9.73 7.58
Fund with Sales Charge (%) (POP) 3.71 7.18 6.09 9.73 7.58
S&P 500 Index (%) 8.19 9.87 9.23 12.65 9.04
MSCI World Index (%) 5.23 7.84 6.48 9.36 8.10
Quarter EndAs of 12/31/2019 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 08/15/2003
Fund without Sales Charge (%) (NAV) 26.24 12.35 8.67 10.46 8.18
Fund with Sales Charge (%) (POP) 26.24 12.35 8.67 10.46 8.18
S&P 500 Index (%) 31.49 15.28 11.70 13.56 9.71
MSCI World Index (%) 28.40 13.21 9.36 10.08 8.80

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 1.67 5.65 4.60 8.76
Fund without Sales Charge (%) (NAV) After Shares Sold 3.80 5.55 4.65 7.93
Fund with Sales Charge (%) (POP) Before Shares Sold 1.67 5.65 4.60 8.76
Fund with Sales Charge (%) (POP) After Shares Sold 3.80 5.55 4.65 7.93
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 23.76 10.74 7.14 9.49
Fund without Sales Charge (%) (NAV) After Shares Sold 17.24 9.53 6.63 8.52
Fund with Sales Charge (%) (POP) Before Shares Sold 23.76 10.74 7.14 9.49
Fund with Sales Charge (%) (POP) After Shares Sold 17.24 9.53 6.63 8.52

Calendar Year Returns

2019 2018 2017
Fund without Sales Charge (%) (NAV) 26.24 -6.78 20.50
Fund with Sales Charge (%) (POP) 26.24 -6.78 20.50
S&P 500 Index (%) 31.49 -4.38 21.83
MSCI World Index (%) 28.40 -8.20 23.07

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 08/15/2003
Fund without Sales Charge (%) (NAV) -5.30 -7.57 3.71 23.14 34.41 152.98 234.99
Fund with Sales Charge (%) (POP) -5.30 -7.57 3.71 23.14 34.41 152.98 234.99
S&P 500 Index (%) -5.50 -8.27 8.19 32.62 55.49 229.18 318.52
MSCI World Index (%) -6.18 -8.94 5.23 25.41 36.91 144.61 262.52
Quarter EndAs of 12/31/2019 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 08/15/2003
Fund without Sales Charge (%) (NAV) 8.06 26.24 26.24 41.81 51.55 170.50 262.44
Fund with Sales Charge (%) (POP) 8.06 26.24 26.24 41.81 51.55 170.50 262.44
S&P 500 Index (%) 9.07 31.49 31.49 53.17 73.86 256.66 356.24
MSCI World Index (%) 8.68 28.40 28.40 45.06 56.39 161.31 298.12

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 02/29/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 12.82 12.34 13.10
Standard Deviation (S&P 500 Index) 12.98 12.26 12.65
Alpha -2.36 -2.89 -2.93
Beta 0.97 0.98 1.01
Sharpe Ratio 0.42 0.39 0.68
Information Ratio -1.24 -1.20 -1.14
Tracking Error 2.26 2.76 2.79
R-Squared 0.97 0.95 0.95

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

3 YR 5 YR 10 YR
Beta Bull 1.02 0.93 1.02
Beta Bear 0.98 0.97 0.99
Bull Bear Capture Ratio 0.87 0.83 0.85
% of Positive Months 77.78 71.67 66.67
Gains/Losses 1.60 1.50 1.76
Maximum Drawdown
14.88 14.88 18.92

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

Gross Expense Ratio 0.89%
Net Expense Ratio [further-information] 0.70%
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 0.97
Sharpe Ratio 0.42
Standard Deviation 12.82

Benchmarks

A benchmark is a comparable broad-based index that can be used to evaluate a fund's performance.

  • S&P 500 Index
  • MSCI World Index