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) -2.93 0.84 1.80 6.19 5.45
Fund with Sales Charge (%) (POP) -2.93 0.84 1.80 6.19 5.45
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) 17.44 5.45 4.44 7.05 6.14
Fund with Sales Charge (%) (POP) 17.44 5.45 4.44 7.05 6.14
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 -3.67 0.03 1.07 5.42
Fund without Sales Charge (%) (NAV) After Shares Sold -1.32 0.56 1.29 4.85
Fund with Sales Charge (%) (POP) Before Shares Sold -3.67 0.03 1.07 5.42
Fund with Sales Charge (%) (POP) After Shares Sold -1.32 0.56 1.29 4.85
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 16.54 4.61 3.69 6.28
Fund without Sales Charge (%) (NAV) After Shares Sold 10.73 4.06 3.30 5.53
Fund with Sales Charge (%) (POP) Before Shares Sold 16.54 4.61 3.69 6.28
Fund with Sales Charge (%) (POP) After Shares Sold 10.73 4.06 3.30 5.53

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 17.44 -10.01 10.97 13.22 -6.40 2.68 23.28 16.52 -2.27 10.31
Fund with Sales Charge (%) (POP) 17.44 -10.01 10.97 13.22 -6.40 2.68 23.28 16.52 -2.27 10.31
S&P 500 Index (%) 31.49 -4.38 21.83 11.96 1.38 13.69 32.39 16.00 2.11 15.06
MSCI World Index (%) 28.40 -8.20 23.07 8.15 -0.32 5.50 27.37 16.54 -5.02 12.34

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) -6.76 -9.32 -2.93 2.54 9.32 82.33 140.48
Fund with Sales Charge (%) (POP) -6.76 -9.32 -2.93 2.54 9.32 82.33 140.48
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) 5.93 17.44 17.44 17.27 24.27 97.60 165.20
Fund with Sales Charge (%) (POP) 5.93 17.44 17.44 17.27 24.27 97.60 165.20
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) 11.06 10.95 11.57
Standard Deviation (S&P 500 Index) 12.98 12.26 12.65
Alpha -6.90 -5.66 -4.33
Beta 0.80 0.83 0.86
Sharpe Ratio -0.08 0.06 0.49
Information Ratio -1.97 -1.67 -1.54
Tracking Error 4.59 4.45 4.20
R-Squared 0.88 0.87 0.89

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.94 0.93 0.94
Beta Bull 0.78 0.77 0.85
Beta Bear 0.63 0.72 0.78
Bull Bear Capture Ratio 0.58 0.63 0.72
% of Positive Months 61.11 58.33 61.67
Gains/Losses 1.11 1.18 1.53
Maximum Drawdown
13.28 15.36 17.60

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

Gross Expense Ratio 1.24%
Net Expense Ratio [further-information] 1.24%
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 0.80
Sharpe Ratio -0.08
Standard Deviation 11.06

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