Average Annual Total Returns [further-information] As of 07/31/2020

Month EndAs of 07/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 6.63 5.46 4.98 5.83 5.50
Fund with Sales Charge (%) (POP) 5.67 5.46 4.98 5.83 5.50
Blended Benchmark (%) 8.11 6.51 6.70 7.66 6.43
MSCI All Country World Index (%) 7.76 7.55 7.95 9.45 6.80
Bloomberg Barclays Multiverse Index (%) 7.47 4.24 4.26 2.94
Quarter EndAs of 06/30/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) 3.01 4.80 4.36 5.87 5.35
Fund with Sales Charge (%) (POP) 2.09 4.80 4.36 5.87 5.35
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 07/31/2020

Month EndAs of 07/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 3.97 3.47 3.50 4.64
Fund without Sales Charge (%) (NAV) After Shares Sold 5.61 3.98 3.68 4.44
Fund with Sales Charge (%) (POP) Before Shares Sold 3.01 3.47 3.50 4.64
Fund with Sales Charge (%) (POP) After Shares Sold 5.04 3.98 3.68 4.44
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.45 2.82 2.89 4.68
Fund without Sales Charge (%) (NAV) After Shares Sold 3.54 3.52 3.23 4.50
Fund with Sales Charge (%) (POP) Before Shares Sold -0.47 2.82 2.89 4.68
Fund with Sales Charge (%) (POP) After Shares Sold 2.99 3.52 3.23 4.50

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 16.52 -5.54 14.10 4.25 -2.68 3.35 13.41 8.51 -2.17 11.10
Fund with Sales Charge (%) (POP) 15.52 -6.41 13.10 3.25 -3.60 2.35 12.41 7.51 -3.13 10.10
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 07/31/2020

Month EndAs of 07/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) 9.06 2.25 6.63 17.30 27.51 76.18 253.10
Fund with Sales Charge (%) (POP) 8.06 1.25 5.67 17.30 27.51 76.18 253.10
Blended Benchmark (%) 10.03 2.09 8.11 20.83 38.35 109.26 334.53
MSCI All Country World Index (%) 13.54 -0.98 7.76 24.43 46.63 146.66 371.29
Bloomberg Barclays Multiverse Index (%) 4.91 5.87 7.47 13.25 23.21 33.60
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) 12.91 -1.41 3.01 15.09 23.76 76.84 240.47
Fund with Sales Charge (%) (POP) 11.91 -2.37 2.09 15.09 23.76 76.84 240.47
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 07/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 10.34 9.33 8.41
Standard Deviation (Blended Benchmark) 10.55 9.54 8.28
Alpha -0.82 -1.38 -1.61
Beta 0.96 0.95 0.99
Sharpe Ratio 0.37 0.41 0.62
Information Ratio -0.54 -0.83 -0.93
Tracking Error 1.92 2.08 1.97
R-Squared 0.97 0.95 0.95

ADDITIONAL RISK STATISTICSAs of 07/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.98 0.98 0.97
Beta Bull 0.94 0.95 1.01
Beta Bear 1.03 1.06 1.09
Bull Bear Capture Ratio 0.94 0.89 0.87
% of Positive Months 75.00 73.33 67.50
Gains/Losses 1.57 1.57 1.75
Maximum Drawdown
12.75 12.75 12.75

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

Gross Expense Ratio 1.63%
Net Expense Ratio [further-information] 1.63%
Max Initial Sales Charge 0.00%
CDSC 1.00%

Volatility Measures [further-information] As of 07/31/2020 Updated Monthly, based on a 3-year period

Beta 0.96
Alpha -0.82
Sharpe Ratio 0.37
R-Squared 0.97
Standard Deviation 10.34

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