Average Annual Total Returns [further-information] As of 12/31/2019

Month 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
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 12/31/2019

No chart available for this data.
Month EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold
Fund without Sales Charge (%) (NAV) After Shares Sold
Fund with Sales Charge (%) (POP) Before Shares Sold
Fund with Sales Charge (%) (POP) After Shares Sold
No chart available for this data.
Quarter EndAs of 12/31/2019 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold
Fund without Sales Charge (%) (NAV) After Shares Sold
Fund with Sales Charge (%) (POP) Before Shares Sold
Fund with Sales Charge (%) (POP) After Shares Sold

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 12/31/2019

Month 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
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 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 7.04 7.36 7.70
Standard Deviation (Blended Benchmark) 7.10 7.55 7.46
Alpha -0.84 -0.62 -1.15
Beta 0.96 0.93 1.00
Sharpe Ratio 0.97 0.60 0.75
Information Ratio -0.71 -0.48 -0.64
Tracking Error 1.76 2.20 1.96
R-Squared 0.94 0.92 0.93

ADDITIONAL RISK STATISTICSAs of 12/31/2019 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.97 0.96 0.97
Beta Bull 0.87 0.91 1.00
Beta Bear 1.15 1.24 1.20
Bull Bear Capture Ratio 0.93 0.96 0.91
% of Positive Months 80.56 71.67 66.67
Gains/Losses 2.45 1.80 1.87
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 12/31/2019 Updated Monthly, based on a 3-year period

Beta 0.96
Alpha -0.84
Sharpe Ratio 0.97
R-Squared 0.94
Standard Deviation 7.04

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