Average Annual Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 4.14 5.92 5.51 7.05 6.51
Fund with Sales Charge (%) (POP) 4.14 5.92 5.51 7.05 6.51
Blended Benchmark (%) 3.56 5.79 5.90 7.68 6.25
MSCI All Country World Index (%) 2.64 6.70 7.03 9.74 6.58
Bloomberg Barclays Multiverse Index (%) 3.84 3.71 3.63 2.96
Quarter EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 4.14 5.92 5.51 7.05 6.51
Fund with Sales Charge (%) (POP) 4.14 5.92 5.51 7.05 6.51
Blended Benchmark (%) 3.56 5.79 5.90 7.68 6.25
MSCI All Country World Index (%) 2.64 6.70 7.03 9.74 6.58
Bloomberg Barclays Multiverse Index (%) 3.84 3.71 3.63 2.96

After-Tax Average Annual Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 1.23 3.55 3.69 5.53
Fund without Sales Charge (%) (NAV) After Shares Sold 4.19 4.25 4.01 5.34
Fund with Sales Charge (%) (POP) Before Shares Sold 1.23 3.55 3.69 5.53
Fund with Sales Charge (%) (POP) After Shares Sold 4.19 4.25 4.01 5.34
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 1.23 3.55 3.69 5.53
Fund without Sales Charge (%) (NAV) After Shares Sold 4.19 4.25 4.01 5.34
Fund with Sales Charge (%) (POP) Before Shares Sold 1.23 3.55 3.69 5.53
Fund with Sales Charge (%) (POP) After Shares Sold 4.19 4.25 4.01 5.34

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011
Fund without Sales Charge (%) (NAV) 17.81 -4.49 15.40 5.34 -1.59 4.52 14.75
Fund with Sales Charge (%) (POP) 17.81 -4.49 15.40 5.34 -1.59 4.52 14.75
Blended Benchmark (%) 19.07 -5.82 17.62 6.42 -2.22 7.13 14.48 10.66 1.80
MSCI All Country World Index (%) 27.30 -8.93 24.62 8.49 -1.84 4.71 23.44 16.80 -6.86
Bloomberg Barclays Multiverse Index (%) 7.13 -1.36 7.69 2.84 -3.29 0.47 -2.19 4.84 5.55

Cumulative Total Returns [further-information] As of 06/30/2020

Month EndAs of 06/30/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 13.17 -0.92 4.14 18.84 30.76 97.60 339.89
Fund with Sales Charge (%) (POP) 13.17 -0.92 4.14 18.84 30.76 97.60 339.89
Blended Benchmark (%) 12.96 -2.31 3.56 18.39 33.20 109.55 315.84
MSCI All Country World Index (%) 19.39 -5.99 2.64 21.48 40.47 153.31 347.45
Bloomberg Barclays Multiverse Index (%) 3.68 2.53 3.84 11.57 19.52 33.85
Quarter EndAs of 06/30/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 13.17 -0.92 4.14 18.84 30.76 97.60 339.89
Fund with Sales Charge (%) (POP) 13.17 -0.92 4.14 18.84 30.76 97.60 339.89
Blended Benchmark (%) 12.96 -2.31 3.56 18.39 33.20 109.55 315.84
MSCI All Country World Index (%) 19.39 -5.99 2.64 21.48 40.47 153.31 347.45
Bloomberg Barclays Multiverse Index (%) 3.68 2.53 3.84 11.57 19.52 33.85

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 10.21 9.24 8.45
Standard Deviation (Blended Benchmark) 10.36 9.37 8.29
Alpha 0.26 -0.19 -0.51
Beta 0.97 0.96 0.99
Sharpe Ratio 0.42 0.48 0.77
Information Ratio 0.07 -0.19 -0.32
Tracking Error 1.88 2.05 1.96
R-Squared 0.97 0.95 0.95

ADDITIONAL RISK STATISTICSAs of 06/30/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.98 0.98 0.97
Beta Bull 0.96 0.96 1.01
Beta Bear 1.03 1.07 1.10
Bull Bear Capture Ratio 1.02 0.99 0.97
% of Positive Months 75.00 73.33 67.50
Gains/Losses 1.63 1.65 1.93
Maximum Drawdown
12.62 12.62 12.62

SALES CHARGE, EXPENSES & FEES As of 05/01/2020 (updated annually)

Gross Expense Ratio 0.59%
Net Expense Ratio [further-information] 0.54%
Max Initial Sales Charge 0.00%
CDSC

Volatility Measures [further-information] As of 06/30/2020 Updated Monthly, based on a 3-year period

Beta 0.97
Alpha 0.26
Sharpe Ratio 0.42
R-Squared 0.97
Standard Deviation 10.21

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