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) 3.78 5.58 5.15 6.66 6.18
Fund with Sales Charge (%) (POP) -1.94 3.62 3.98 6.06 5.92
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) 3.78 5.58 5.15 6.66 6.18
Fund with Sales Charge (%) (POP) -1.94 3.62 3.98 6.06 5.92
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 1.00 3.36 3.46 5.24
Fund without Sales Charge (%) (NAV) After Shares Sold 3.96 4.04 3.77 5.05
Fund with Sales Charge (%) (POP) Before Shares Sold -4.57 1.43 2.30 4.65
Fund with Sales Charge (%) (POP) After Shares Sold 0.48 2.51 2.85 4.55
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 1.00 3.36 3.46 5.24
Fund without Sales Charge (%) (NAV) After Shares Sold 3.96 4.04 3.77 5.05
Fund with Sales Charge (%) (POP) Before Shares Sold -4.57 1.43 2.30 4.65
Fund with Sales Charge (%) (POP) After Shares Sold 0.48 2.51 2.85 4.55

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 17.40 -4.82 14.98 4.94 -1.89 4.07 14.35 9.34 -1.49 11.97
Fund with Sales Charge (%) (POP) 10.93 -10.06 8.35 -1.07 -7.54 -1.89 7.78 3.09 -7.17 5.52
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 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) 13.16 -1.01 3.78 17.71 28.56 90.56 308.85
Fund with Sales Charge (%) (POP) 6.90 -6.47 -1.94 11.24 21.52 80.06 286.44
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) 13.16 -1.01 3.78 17.71 28.56 90.56 308.85
Fund with Sales Charge (%) (POP) 6.90 -6.47 -1.94 11.24 21.52 80.06 286.44
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) 10.25 9.25 8.46
Standard Deviation (Blended Benchmark) 10.36 9.37 8.29
Alpha -0.08 -0.53 -0.88
Beta 0.97 0.96 0.99
Sharpe Ratio 0.39 0.44 0.72
Information Ratio -0.11 -0.37 -0.52
Tracking Error 1.88 2.03 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 0.97 0.97 1.02
Beta Bear 1.03 1.07 1.09
Bull Bear Capture Ratio 0.99 0.96 0.94
% of Positive Months 75.00 71.67 66.67
Gains/Losses 1.59 1.60 1.87
Maximum Drawdown
12.70 12.70 12.70

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

Gross Expense Ratio 0.88%
Net Expense Ratio [further-information] 0.88%
Max Initial Sales Charge 5.50%
CDSC

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

Beta 0.97
Alpha -0.08
Sharpe Ratio 0.39
R-Squared 0.97
Standard Deviation 10.25

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