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) 3.88 6.63 6.32 8.57 6.67
Fund with Sales Charge (%) (POP) 3.88 6.63 6.32 8.57 6.67
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) 3.88 6.63 6.32 8.57 6.67
Fund with Sales Charge (%) (POP) 3.88 6.63 6.32 8.57 6.67
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 0.57 4.26 4.44 7.20
Fund without Sales Charge (%) (NAV) After Shares Sold 4.61 4.98 4.79 6.83
Fund with Sales Charge (%) (POP) Before Shares Sold 0.57 4.26 4.44 7.20
Fund with Sales Charge (%) (POP) After Shares Sold 4.61 4.98 4.79 6.83
Quarter EndAs of 06/30/2020 1 YR 3 YR 5 YR 10 YR
Fund without Sales Charge (%) (NAV) Before Shares Sold 0.57 4.26 4.44 7.20
Fund without Sales Charge (%) (NAV) After Shares Sold 4.61 4.98 4.79 6.83
Fund with Sales Charge (%) (POP) Before Shares Sold 0.57 4.26 4.44 7.20
Fund with Sales Charge (%) (POP) After Shares Sold 4.61 4.98 4.79 6.83

Calendar Year Returns

2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Fund without Sales Charge (%) (NAV) 22.22 -6.23 19.77 5.60 -1.41 5.23 21.26 10.84 -2.90 14.61
Fund with Sales Charge (%) (POP) 22.22 -6.23 19.77 5.60 -1.41 5.23 21.26 10.84 -2.90 14.61
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) 16.37 -2.48 3.88 21.24 35.88 127.66 355.53
Fund with Sales Charge (%) (POP) 16.37 -2.48 3.88 21.24 35.88 127.66 355.53
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) 16.37 -2.48 3.88 21.24 35.88 127.66 355.53
Fund with Sales Charge (%) (POP) 16.37 -2.48 3.88 21.24 35.88 127.66 355.53
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) 13.01 11.62 10.82
Standard Deviation (Blended Benchmark) 13.16 11.83 11.01
Alpha 0.41 -0.03 -0.59
Beta 0.98 0.97 0.97
Sharpe Ratio 0.38 0.45 0.74
Information Ratio 0.18 -0.10 -0.48
Tracking Error 1.85 1.75 2.02
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 0.99
Beta Bear 1.02 1.02 1.05
Bull Bear Capture Ratio 1.02 0.99 0.96
% of Positive Months 72.22 70.00 65.83
Gains/Losses 1.55 1.59 1.88
Maximum Drawdown
16.20 16.20 16.20

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

Gross Expense Ratio 0.69%
Net Expense Ratio [further-information] 0.69%
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
Alpha 0.41
Sharpe Ratio 0.38
R-Squared 0.98
Standard Deviation 13.01

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