Average Annual Total Returns [further-information] As of 03/31/2020

Month EndAs of 03/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) -8.86 1.66 2.06 5.09 5.10
Fund with Sales Charge (%) (POP) -9.68 1.66 2.06 5.09 5.10
Blended Benchmark (%) -7.82 2.48 3.41 6.87 6.11
MSCI All Country World Index (%) -10.76 2.05 3.41 6.45 5.85
Bloomberg Barclays Multiverse Index (%) 3.47 3.36 2.67 2.58
Quarter EndAs of 03/31/2020 1 Yr 3 Yr 5 Yr 10 Yr Since InceptionInception 12/31/1996
Fund without Sales Charge (%) (NAV) -8.86 1.66 2.06 5.09 5.10
Fund with Sales Charge (%) (POP) -9.68 1.66 2.06 5.09 5.10
Blended Benchmark (%) -7.82 2.48 3.41 6.87 6.11
MSCI All Country World Index (%) -10.76 2.05 3.41 6.45 5.85
Bloomberg Barclays Multiverse Index (%) 3.47 3.36 2.67 2.58

After-Tax Average Annual Total Returns [further-information] As of 03/31/2020

Month EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -10.96 -0.27 0.47 4.07
Fund without Sales Charge (%) (NAV) After Shares Sold -3.21 1.46 1.67 4.07
Fund with Sales Charge (%) (POP) Before Shares Sold -11.78 -0.27 0.47 4.07
Fund with Sales Charge (%) (POP) After Shares Sold -3.70 1.46 1.67 4.07
Quarter EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -10.96 -0.27 0.47 4.07
Fund without Sales Charge (%) (NAV) After Shares Sold -3.21 1.46 1.67 4.07
Fund with Sales Charge (%) (POP) Before Shares Sold -11.78 -0.27 0.47 4.07
Fund with Sales Charge (%) (POP) After Shares Sold -3.70 1.46 1.67 4.07

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 03/31/2020

Month EndAs of 03/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) -16.35 -16.35 -8.86 5.08 10.76 64.35 217.97
Fund with Sales Charge (%) (POP) -17.19 -17.19 -9.68 5.08 10.76 64.35 217.97
Blended Benchmark (%) -17.44 -17.44 -7.82 7.62 18.25 94.37 296.91
MSCI All Country World Index (%) -21.26 -21.26 -10.76 6.28 18.27 86.80 274.77
Bloomberg Barclays Multiverse Index (%) -1.11 -1.11 3.47 10.44 14.08 28.99
Quarter EndAs of 03/31/2020 3 Month YTD 1 Yr 3 Yr 5 Yr 10 Yr Since Inception since 12/31/1996
Fund without Sales Charge (%) (NAV) -16.35 -16.35 -8.86 5.08 10.76 64.35 217.97
Fund with Sales Charge (%) (POP) -17.19 -17.19 -9.68 5.08 10.76 64.35 217.97
Blended Benchmark (%) -17.44 -17.44 -7.82 7.62 18.25 94.37 296.91
MSCI All Country World Index (%) -21.26 -21.26 -10.76 6.28 18.27 86.80 274.77
Bloomberg Barclays Multiverse Index (%) -1.11 -1.11 3.47 10.44 14.08 28.99

MODERN PORTFOLIO THEORY (MPT) STATISTICSAs of 03/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Standard Deviation (Fund) 11.71 10.77 10.64
Standard Deviation (Blended Benchmark) 12.03 11.15 10.98
Alpha -0.78 -1.21 -1.39
Beta 0.96 0.95 0.95
Sharpe Ratio 0.00 0.09 0.42
Information Ratio -0.47 -0.70 -0.87
Tracking Error 1.72 1.93 2.05
R-Squared 0.98 0.97 0.97

ADDITIONAL RISK STATISTICSAs of 03/31/2020 (updated monthly)

3 YR 5 YR 10 YR
Correlation Coefficient 0.99 0.99 0.98
Beta Bull 0.93 0.90 0.96
Beta Bear 1.01 1.03 1.03
Bull Bear Capture Ratio 0.94 0.90 0.90
% of Positive Months 72.22 68.33 64.17
Gains/Losses 1.18 1.22 1.49
Maximum Drawdown
16.35 16.35 16.35

SALES CHARGE, EXPENSES & FEES As of 05/01/2019 (updated annually)

Gross Expense Ratio 1.96%
Net Expense Ratio [further-information] 1.93%
Max Initial Sales Charge 0.00%
CDSC 1.00%

Volatility Measures [further-information] As of 03/31/2020 Updated Monthly, based on a 3-year period

Beta 0.96
Alpha -0.78
Sharpe Ratio 0.00
R-Squared 0.98
Standard Deviation 11.71

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