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) 2.87 5.59 5.27 7.49 5.71
Fund with Sales Charge (%) (POP) 1.97 5.59 5.27 7.49 5.71
Blended Benchmark (%) 3.18 6.29 6.50 9.54 6.72
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) 2.87 5.59 5.27 7.49 5.71
Fund with Sales Charge (%) (POP) 1.97 5.59 5.27 7.49 5.71
Blended Benchmark (%) 3.18 6.29 6.50 9.54 6.72
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 -0.14 3.49 3.64 6.35
Fund without Sales Charge (%) (NAV) After Shares Sold 3.93 4.24 4.01 5.97
Fund with Sales Charge (%) (POP) Before Shares Sold -1.04 3.49 3.64 6.35
Fund with Sales Charge (%) (POP) After Shares Sold 3.40 4.24 4.01 5.97
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -0.14 3.49 3.64 6.35
Fund without Sales Charge (%) (NAV) After Shares Sold 3.93 4.24 4.01 5.97
Fund with Sales Charge (%) (POP) Before Shares Sold -1.04 3.49 3.64 6.35
Fund with Sales Charge (%) (POP) After Shares Sold 3.40 4.24 4.01 5.97

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 20.95 -7.13 18.56 4.59 -2.41 4.21 20.04 9.71 -3.91 13.44
Fund with Sales Charge (%) (POP) 19.95 -7.98 17.56 3.59 -3.33 3.21 19.04 8.71 -4.87 12.44
Blended Benchmark (%) 23.16 -7.32 21.06 7.44 -2.00 7.61 22.74 13.98 -0.41 11.76
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) 16.04 -2.93 2.87 17.71 29.26 105.85 268.99
Fund with Sales Charge (%) (POP) 15.04 -3.87 1.97 17.71 29.26 105.85 268.99
Blended Benchmark (%) 16.15 -4.10 3.18 20.09 37.05 148.72 361.02
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) 16.04 -2.93 2.87 17.71 29.26 105.85 268.99
Fund with Sales Charge (%) (POP) 15.04 -3.87 1.97 17.71 29.26 105.85 268.99
Blended Benchmark (%) 16.15 -4.10 3.18 20.09 37.05 148.72 361.02
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) 12.96 11.58 10.79
Standard Deviation (Blended Benchmark) 13.16 11.83 11.01
Alpha -0.56 -1.01 -1.57
Beta 0.98 0.97 0.96
Sharpe Ratio 0.30 0.36 0.64
Information Ratio -0.38 -0.70 -1.01
Tracking Error 1.86 1.78 2.04
R-Squared 0.98 0.98 0.97

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.99 0.99 0.98
Beta Bull 0.99 0.96 0.98
Beta Bear 1.01 1.02 1.05
Bull Bear Capture Ratio 0.96 0.93 0.90
% of Positive Months 72.22 70.00 65.83
Gains/Losses 1.47 1.49 1.75
Maximum Drawdown
16.35 16.35 16.35

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

Gross Expense Ratio 1.69%
Net Expense Ratio [further-information] 1.69%
Max Initial Sales Charge 0.00%
CDSC 1.00%

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

Beta 0.98
Alpha -0.56
Sharpe Ratio 0.30
R-Squared 0.98
Standard Deviation 12.96

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