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) 3.50 4.71 4.22 5.49 5.76
Fund with Sales Charge (%) (POP) 3.50 4.71 4.22 5.49 5.76
Blended Benchmark (%) 3.80 5.19 5.22 6.24 5.66
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) 3.50 4.71 4.22 5.49 5.76
Fund with Sales Charge (%) (POP) 3.50 4.71 4.22 5.49 5.76
Blended Benchmark (%) 3.80 5.19 5.22 6.24 5.66
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 1.24 2.88 2.76 4.14
Fund without Sales Charge (%) (NAV) After Shares Sold 3.14 3.25 2.94 3.99
Fund with Sales Charge (%) (POP) Before Shares Sold 1.24 2.88 2.76 4.14
Fund with Sales Charge (%) (POP) After Shares Sold 3.14 3.25 2.94 3.99
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 1.24 2.88 2.76 4.14
Fund without Sales Charge (%) (NAV) After Shares Sold 3.14 3.25 2.94 3.99
Fund with Sales Charge (%) (POP) Before Shares Sold 1.24 2.88 2.76 4.14
Fund with Sales Charge (%) (POP) After Shares Sold 3.14 3.25 2.94 3.99

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 13.53 -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27
Fund with Sales Charge (%) (POP) 13.53 -3.19 10.88 4.69 -2.02 3.61 10.67 8.27 -0.47 10.27
Blended Benchmark (%) 15.03 -4.30 14.24 5.29 -2.51 6.83 9.76 8.36 2.52 8.30
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) 10.24 -0.17 3.50 14.80 22.94 70.60 272.52
Fund with Sales Charge (%) (POP) 10.24 -0.17 3.50 14.80 22.94 70.60 272.52
Blended Benchmark (%) 9.82 -0.60 3.80 16.39 28.96 83.22 264.40
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) 10.24 -0.17 3.50 14.80 22.94 70.60 272.52
Fund with Sales Charge (%) (POP) 10.24 -0.17 3.50 14.80 22.94 70.60 272.52
Blended Benchmark (%) 9.82 -0.60 3.80 16.39 28.96 83.22 264.40
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) 7.82 7.15 6.66
Standard Deviation (Blended Benchmark) 7.68 7.11 6.25
Alpha -0.37 -0.69 -0.69
Beta 0.98 0.94 1.00
Sharpe Ratio 0.39 0.43 0.74
Information Ratio -0.23 -0.38 -0.33
Tracking Error 2.12 2.63 2.29
R-Squared 0.93 0.87 0.88

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.96 0.93 0.94
Beta Bull 0.92 0.93 1.01
Beta Bear 1.11 1.09 1.11
Bull Bear Capture Ratio 0.97 0.94 0.94
% of Positive Months 75.00 73.33 67.50
Gains/Losses 1.68 1.65 1.91
Maximum Drawdown
9.96 9.96 9.96

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

Gross Expense Ratio 0.63%
Net Expense Ratio [further-information] 0.63%
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 0.98
Sharpe Ratio 0.39
Standard Deviation 7.82

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