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) 3.87 5.51 4.06 5.98 5.85
Fund with Sales Charge (%) (POP) 3.87 5.51 4.06 5.98 5.85
Blended Benchmark (%) 6.02 6.47 5.06 7.14 6.23
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) 17.05 8.43 5.48 6.36 6.09
Fund with Sales Charge (%) (POP) 17.05 8.43 5.48 6.36 6.09
Blended Benchmark (%) 19.07 9.69 6.53 7.63 6.50
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 1.67 3.53 2.48 4.73
Fund without Sales Charge (%) (NAV) After Shares Sold 3.78 4.07 2.97 4.56
Fund with Sales Charge (%) (POP) Before Shares Sold 1.67 3.53 2.48 4.73
Fund with Sales Charge (%) (POP) After Shares Sold 3.78 4.07 2.97 4.56
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 14.57 6.39 3.88 5.11
Fund without Sales Charge (%) (NAV) After Shares Sold 11.64 6.28 4.04 4.85
Fund with Sales Charge (%) (POP) Before Shares Sold 14.57 6.39 3.88 5.11
Fund with Sales Charge (%) (POP) After Shares Sold 11.64 6.28 4.04 4.85

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 17.05 -5.04 14.69 4.71 -2.18 3.89 13.97 9.11 -1.73 11.75
Fund with Sales Charge (%) (POP) 17.05 -5.04 14.69 4.71 -2.18 3.89 13.97 9.11 -1.73 11.75
Blended Benchmark (%) 19.07 -5.82 17.62 6.42 -2.22 7.13 14.48 10.66 1.80 9.97
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) -2.27 -4.12 3.87 17.47 22.00 78.70 273.38
Fund with Sales Charge (%) (POP) -2.27 -4.12 3.87 17.47 22.00 78.70 273.38
Blended Benchmark (%) -2.48 -4.78 6.02 20.70 28.02 99.30 305.32
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) 4.42 17.05 17.05 27.47 30.57 85.22 289.43
Fund with Sales Charge (%) (POP) 4.42 17.05 17.05 27.47 30.57 85.22 289.43
Blended Benchmark (%) 5.64 19.07 19.07 31.94 37.22 108.50 325.66
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) 7.50 7.54 7.80
Standard Deviation (Blended Benchmark) 7.67 7.78 7.61
Alpha -0.68 -0.69 -1.02
Beta 0.95 0.93 0.99
Sharpe Ratio 0.51 0.39 0.69
Information Ratio -0.54 -0.46 -0.59
Tracking Error 1.77 2.20 1.97
R-Squared 0.95 0.92 0.94

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.97 0.96 0.97
Beta Bull 0.87 0.90 1.00
Beta Bear 1.10 1.19 1.17
Bull Bear Capture Ratio 0.94 0.94 0.92
% of Positive Months 77.78 71.67 66.67
Gains/Losses 1.79 1.55 1.80
Maximum Drawdown
8.54 10.14 11.01

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

Gross Expense Ratio 1.39%
Net Expense Ratio [further-information] 1.39%
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 0.95
Alpha -0.68
Sharpe Ratio 0.51
R-Squared 0.95
Standard Deviation 7.50

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