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) -5.62 2.55 2.76 5.12 5.85
Fund with Sales Charge (%) (POP) -5.62 2.55 2.76 5.12 5.85
Blended Benchmark (%) -4.92 2.82 3.33 5.77 5.77
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) -5.62 2.55 2.76 5.12 5.85
Fund with Sales Charge (%) (POP) -5.62 2.55 2.76 5.12 5.85
Blended Benchmark (%) -4.92 2.82 3.33 5.77 5.77
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 -7.79 0.46 1.03 3.72
Fund without Sales Charge (%) (NAV) After Shares Sold -1.72 1.89 2.01 3.87
Fund with Sales Charge (%) (POP) Before Shares Sold -7.79 0.46 1.03 3.72
Fund with Sales Charge (%) (POP) After Shares Sold -1.72 1.89 2.01 3.87
Quarter EndAs of 03/31/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold -7.79 0.46 1.03 3.72
Fund without Sales Charge (%) (NAV) After Shares Sold -1.72 1.89 2.01 3.87
Fund with Sales Charge (%) (POP) Before Shares Sold -7.79 0.46 1.03 3.72
Fund with Sales Charge (%) (POP) After Shares Sold -1.72 1.89 2.01 3.87

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 17.68 -4.57 15.20 5.26 -1.66 4.39 14.56 9.61 -1.24 12.31
Fund with Sales Charge (%) (POP) 17.68 -4.57 15.20 5.26 -1.66 4.39 14.56 9.61 -1.24 12.31
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 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) -12.46 -12.46 -5.62 7.83 14.56 64.73 274.70
Fund with Sales Charge (%) (POP) -12.46 -12.46 -5.62 7.83 14.56 64.73 274.70
Blended Benchmark (%) -13.52 -13.52 -4.92 8.71 17.81 75.19 268.13
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) -12.46 -12.46 -5.62 7.83 14.56 64.73 274.70
Fund with Sales Charge (%) (POP) -12.46 -12.46 -5.62 7.83 14.56 64.73 274.70
Blended Benchmark (%) -13.52 -13.52 -4.92 8.71 17.81 75.19 268.13
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) 9.20 8.58 8.27
Standard Deviation (Blended Benchmark) 9.45 8.84 8.16
Alpha -0.22 -0.42 -0.52
Beta 0.96 0.94 0.98
Sharpe Ratio 0.09 0.19 0.55
Information Ratio -0.15 -0.26 -0.33
Tracking Error 1.79 2.18 1.95
R-Squared 0.96 0.94 0.94

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

3 YR 5 YR 10 YR
Correlation Coefficient 0.98 0.97 0.97
Beta Bull 0.88 0.90 0.99
Beta Bear 1.03 1.08 1.09
Bull Bear Capture Ratio 0.98 0.96 0.96
Gains/Losses 1.29 1.33 1.64

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

Gross Expense Ratio 0.89%
Net Expense Ratio [further-information] 0.89%
Max Initial Sales Charge 0.00%
CDSC

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

Beta 0.96
Alpha -0.22
Sharpe Ratio 0.09
R-Squared 0.96
Standard Deviation 9.20

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