At a Glance

Overview

Investment Objective

Long-term growth of capital

Portfolio Approach

Broadly diversified portfolio, disciplined value approach

Primary Market Cap Range

Small-cap stocks, up to $2.5 billion

Manager Tenure

Chuck Royce since 1972, assistants Jay Kaplan since 2003 and Lauren Romeo since 2006

As of 6/30/2014

Portfolio Manager

  • Jay Kaplan
    Assistant Portfolio Manager
    since 2003



Performance

Average Annual Total Returns (%)

Outperformed Russell 2000 for the 1-Year, 10-Year, 15-Year, 20-Year, 25-Year and 30-Year periods as of 6/30/2014
QTR YTD 1YR 3YR 5YR 10YR 15YR 20YR 30YR 40YR
Pennsylvania Mutual 1.69 2.04 23.70 12.25 18.77 9.41 11.00 11.61 11.93 15.18
Russell 2000 2.05 3.19 23.64 14.57 20.21 8.70 8.01 9.81 10.30 N/A

Annual Operating Expenses: 0.93%

JUN YTD 1YR 3YR 5YR 10YR 15YR 20YR 30YR 40YR
Pennsylvania Mutual 4.09 2.04 23.70 12.25 18.77 9.41 11.00 11.61 11.93 15.18
Russell 2000 5.32 3.19 23.64 14.57 20.21 8.70 8.01 9.81 10.30 N/A

Annual Operating Expenses: 0.93%

JUL YTD 1YR 3YR 5YR 10YR 15YR 20YR 30YR 40YR
Pennsylvania Mutual -2.06 -0.07 13.37 10.92 16.56 9.83 10.92 11.45 11.90 15.17
Russell 2000 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

Annual Operating Expenses: 0.93%

Important Performance and Expense Information

All performance information reflects past performance, is presented on a total return basis, reflects the reinvestment of distributions, and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate, so that shares may be worth more or less than their original cost when redeemed. Shares redeemed within 180 days of purchase may be subject to a 1% redemption fee, payable to the Fund, which is not reflected in the performance shown above; if it were, performance would be lower. Current month-end performance may be higher or lower than performance quoted and may be obtained at www.roycefunds.com. Operating expenses reflect the Fund's total annual operating expenses for the Investment Class as of the Fund's prospectus dated 5/1/13 and include management fees, other expenses, and acquired fund fees and expenses. Acquired fund fees and expenses reflect the estimated amount of the fees and expenses incurred indirectly by the Fund through it's investment in mutual funds, hedge funds, private equity funds, and other investment companies.

Rolling Returns

On a monthly basis, the Fund outperformed the Russell 2000 in 100% of all 10-Year periods; 85% of all 5-Year periods; 79% of all 3-Year periods; and 61% of all 1-Year periods.

For 100% of the periods, 10-year average annual total returns were greater than 5%; For 86% of the periods, 10-year average annual total returns were greater than 10%.

Monthly Rolling Average Annual Return Periods 15 Years Through 6/30/2014

periods beating
the index(%)
fund
avg(%)
index
avg(%)
10-year
61/61
100 9.6 6.9
5-year
103/121
85 9.9 7.1
3-year
115/145
79 10.3 7.4
1-year
103/169
61 13.1 9.8

Absolute Return Focus: Ten-Year Monthly Rolling Returns PeriodsNumber of 10-Year Average Annual Return Periods Since 11/30/72

The Fund averaged a 14.2% return over all 380 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell 2000 from the 3/9/00 index peak through 6/30/14 and in each of the two previous full market cycle periods.
Peak-Peak - 03/09/2000 - 07/13/2007
Pennsylvania Mutual207.1%
Russell 200054.8%

Peak-Peak - 07/13/2007 - 04/29/2011
Pennsylvania Mutual11.6%
Russell 20006.6%

Peak-Current - 04/29/2011 - 06/30/2014
Pennsylvania Mutual35.8%
Russell 200044.2%

Calendar Year Total Returns (%)

 

Growth of Investment

Value of $10,000 invested between 12/29/1978 and 6/30/2014

Pennsylvania Mutual$904,078.33
Russell 2000$559,012.29

The since inception performance above dates to the inception of the Russell 2000 on 12/29/1978.

Portfolio Impactas of 6/30/2014

SECTOR NAMEAVERAGE WEIGHT(%)TOTAL RETURN(%)CONTRIBUTION TO RETURN(%)
Energy7.98.80.7
Materials10.64.20.4
Industrials23.91.20.3
Information Technology19.61.30.3
Health Care6.62.50.2
Financials11.10.60.1
Consumer Staples1.92.50.1
Telecommunication Services0.27.10.0
Diversified Investment Companies0.32.20.0
Utilities0.011.40.0
Consumer Discretionary14.9-0.8-0.1
Cash3.00.00.0
Unassigned---0.3
Total--1.7

Top Contributors

INDUSTRYSECTORGAIN(%)
Energy Equipment & ServicesEnergy0.5
MachineryIndustrials0.4
Metals & MiningMaterials0.4
Electronic Equipment, Instruments & ComponentsInformation Technology0.2
Food ProductsConsumer Staples0.2

Top Detractors

INDUSTRYSECTORGAIN(%)
Electrical EquipmentIndustrials-0.2
IT ServicesInformation Technology-0.1
Auto ComponentsConsumer Discretionary-0.1
Personal ProductsConsumer Staples-0.1
Aerospace & DefenseIndustrials-0.1

Top Contributors

COMPANYINDUSTRYSECTORGAIN(%)
Westlake ChemicalChemicalsMaterials0.1
Sanderson FarmsFood ProductsConsumer Staples0.1
Core-Mark Holding CompanyDistributorsConsumer Discretionary0.1
Tennant CompanyMachineryIndustrials0.1
AAONBuilding ProductsIndustrials0.1

Top Detractors

COMPANYINDUSTRYSECTORGAIN(%)
Advisory Board (The)Professional ServicesIndustrials-0.1
MBIAInsuranceFinancials-0.1
CovanceLife Sciences Tools & ServicesHealth Care-0.1
HEICO CorporationAerospace & DefenseIndustrials-0.1
Preformed Line ProductsElectrical EquipmentIndustrials-0.1
SECTOR NAMEAVERAGE WEIGHT(%)TOTAL RETURN(%)CONTRIBUTION TO RETURN(%)
Energy8.022.01.7
Materials10.14.90.6
Health Care6.77.00.5
Financials10.93.50.4
Information Technology20.00.80.2
Consumer Staples1.71.80.1
Diversified Investment Companies0.310.30.0
Telecommunication Services0.210.80.0
Utilities0.023.30.0
Consumer Discretionary14.7-2.5-0.4
Industrials24.4-1.8-0.5
Cash3.10.00.0
Unassigned---0.5
Total--2.0

Top Contributors

INDUSTRYSECTORGAIN(%)
Energy Equipment & ServicesEnergy1.5
Semiconductors & Semiconductor EquipmentInformation Technology0.4
Metals & MiningMaterials0.3
Capital MarketsFinancials0.3
BiotechnologyHealth Care0.2

Top Detractors

INDUSTRYSECTORGAIN(%)
Specialty RetailConsumer Discretionary-0.5
Electrical EquipmentIndustrials-0.3
IT ServicesInformation Technology-0.2
Professional ServicesIndustrials-0.2
Personal ProductsConsumer Staples-0.2

Top Contributors

COMPANYINDUSTRYSECTORGAIN(%)
Helmerich & PayneEnergy Equipment & ServicesEnergy0.3
Unit CorporationEnergy Equipment & ServicesEnergy0.3
Pason SystemsEnergy Equipment & ServicesEnergy0.2
Myriad GeneticsBiotechnologyHealth Care0.2
Westlake ChemicalChemicalsMaterials0.2

Top Detractors

COMPANYINDUSTRYSECTORGAIN(%)
UTi WorldwideAir Freight & LogisticsIndustrials-0.2
Ascena Retail GroupSpecialty RetailConsumer Discretionary-0.1
Advisory Board (The)Professional ServicesIndustrials-0.1
KBRConstruction & EngineeringIndustrials-0.1
Barrett Business ServicesProfessional ServicesIndustrials-0.1
SECTOR NAMEAVERAGE WEIGHT(%)TOTAL RETURN(%)CONTRIBUTION TO RETURN(%)
Industrials24.921.85.7
Information Technology20.324.55.1
Energy7.948.93.4
Consumer Discretionary14.918.73.0
Financials10.525.82.7
Materials9.524.62.3
Health Care6.926.81.9
Consumer Staples1.744.10.7
Diversified Investment Companies0.231.30.0
Utilities0.023.50.0
Telecommunication Services0.2-0.40.0
Cash3.10.00.0
Unassigned---1.3
Total--23.7

Top Contributors

INDUSTRYSECTORGAIN(%)
Energy Equipment & ServicesEnergy3.0
Electronic Equipment, Instruments & ComponentsInformation Technology2.5
MachineryIndustrials2.2
Capital MarketsFinancials1.5
Metals & MiningMaterials1.2

Top Detractors

INDUSTRYSECTORGAIN(%)
Construction & EngineeringIndustrials0.0
Food & Staples RetailingConsumer Staples0.0
Internet & Catalog RetailConsumer Discretionary0.0
Paper & Forest ProductsMaterials0.0
Wireless Telecommunication ServicesTelecommunication Services0.0

Top Contributors

COMPANYINDUSTRYSECTORGAIN(%)
Helmerich & PayneEnergy Equipment & ServicesEnergy0.7
Unit CorporationEnergy Equipment & ServicesEnergy0.5
Cimarex EnergyOil, Gas & Consumable FuelsEnergy0.4
Pason SystemsEnergy Equipment & ServicesEnergy0.4
Westlake ChemicalChemicalsMaterials0.3

Top Detractors

COMPANYINDUSTRYSECTORGAIN(%)
American Eagle OutfittersSpecialty RetailConsumer Discretionary-0.2
UTi WorldwideAir Freight & LogisticsIndustrials-0.2
MoneyGram InternationalIT ServicesInformation Technology-0.1
KBRConstruction & EngineeringIndustrials-0.1
Acacia ResearchProfessional ServicesIndustrials-0.1
SECTOR NAMEAVERAGE WEIGHT(%)TOTAL RETURN(%)CONTRIBUTION TO RETURN(%)
Industrials25.449.814.5
Consumer Discretionary14.957.39.5
Information Technology20.230.77.4
Financials11.157.45.6
Health Care7.348.03.6
Energy7.841.02.2
Consumer Staples1.7125.11.8
Materials8.44.20.5
Telecommunication Services0.149.60.0
Diversified Investment Companies0.18.20.0
Utilities0.0-14.70.0
Cash2.90.20.0
Unassigned---3.7
Total--41.5

Top Contributors

INDUSTRYSECTORGAIN(%)
MachineryIndustrials5.5
Electronic Equipment, Instruments & ComponentsInformation Technology3.1
Capital MarketsFinancials2.8
Professional ServicesIndustrials2.4
Specialty RetailConsumer Discretionary2.3

Top Detractors

INDUSTRYSECTORGAIN(%)
Metals & MiningMaterials-1.4
Diversified Financial ServicesFinancials-0.1
Communications EquipmentInformation Technology-0.1
Diversified Consumer ServicesConsumer Discretionary-0.1
Containers & PackagingMaterials-0.1

Top Contributors

COMPANYINDUSTRYSECTORGAIN(%)
Helmerich & PayneEnergy Equipment & ServicesEnergy0.8
Manhattan AssociatesSoftwareInformation Technology0.8
Westlake ChemicalChemicalsMaterials0.8
Lincoln Electric HoldingsMachineryIndustrials0.8
Advisory Board (The)Professional ServicesIndustrials0.7

Top Detractors

COMPANYINDUSTRYSECTORGAIN(%)
MoneyGram InternationalIT ServicesInformation Technology-0.4
GrafTech InternationalElectrical EquipmentIndustrials-0.4
CARBO CeramicsEnergy Equipment & ServicesEnergy-0.4
Silver Standard ResourcesMetals & MiningMaterials-0.4
Artio Global Investors Cl. ACapital MarketsFinancials-0.3
SECTOR NAMEAVERAGE WEIGHT(%)TOTAL RETURN(%)CONTRIBUTION TO RETURN(%)
Industrials23.7161.136.6
Information Technology19.2132.427.1
Consumer Discretionary14.8180.426.3
Energy8.0239.216.0
Financials12.6121.115.9
Health Care7.8139.911.2
Materials8.181.59.2
Consumer Staples2.0312.14.8
Diversified Investment Companies0.035.90.0
Utilities0.00.30.0
Government Bonds0.0-14.20.0
Telecommunication Services0.12.1-0.1
Cash3.60.40.0
Unassigned---10.7
Total--136.4

Top Contributors

INDUSTRYSECTORGAIN(%)
MachineryIndustrials13.8
Energy Equipment & ServicesEnergy13.2
Electronic Equipment, Instruments & ComponentsInformation Technology8.9
Specialty RetailConsumer Discretionary8.8
InsuranceFinancials7.5

Top Detractors

INDUSTRYSECTORGAIN(%)
Diversified Telecommunication ServicesTelecommunication Services-0.1
Real Estate Investment Trusts (REITs)Financials0.0
Construction MaterialsMaterials0.0
Wireless Telecommunication ServicesTelecommunication Services0.0
Independent Power and Renewable Electricity ProducersUtilities0.0

Top Contributors

COMPANYINDUSTRYSECTORGAIN(%)
Oil States InternationalEnergy Equipment & ServicesEnergy2.4
Helmerich & PayneEnergy Equipment & ServicesEnergy1.8
Nordson CorporationMachineryIndustrials1.5
Ascena Retail GroupSpecialty RetailConsumer Discretionary1.5
CARBO CeramicsEnergy Equipment & ServicesEnergy1.5

Top Detractors

COMPANYINDUSTRYSECTORGAIN(%)
Artio Global Investors Cl. ACapital MarketsFinancials-0.6
Corinthian CollegesDiversified Consumer ServicesConsumer Discretionary-0.4
Pulse ElectronicsElectronic Equipment, Instruments & ComponentsInformation Technology-0.3
Knight Capital Group Cl. ACapital MarketsFinancials-0.3
Sims Metal Management ADRMetals & MiningMaterials-0.3

Risk

Down Market Performance Comparisonas of 6/30/2014

The Fund outperformed the Russell 2000 during nine out of 10 downturns of 7.5% or more from the index’s prior historical high over the last 15 years.

Market Downturns (%)

Outperformed in 15 out of 21 down quarters.

Russell 2000 Down Quarters

QUARTER ENDRUSSELL 2000 (%)PENNSYLVANIA MUTUAL (%)SPREAD (%)
6/30/2012-3.5-7.2-3.7
9/30/2011-21.9-21.1+0.8
6/30/2011-1.6-1.8-0.2
6/30/2010-9.9-8.5+1.4
3/31/2009-15.0-12.0+3.0
12/31/2008-26.1-26.10.0
9/30/2008-1.1-7.2-6.1
3/31/2008-9.9-6.3+3.6
12/31/2007-4.6-3.8+0.8
9/30/2007-3.1-2.9+0.2
6/30/2006-5.0-5.2-0.2
3/31/2005-5.3-0.7+4.6
9/30/2004-2.9+0.9+3.8
3/31/2003-4.5-5.5-1.0
9/30/2002-21.4-17.4+4.0
6/30/2002-8.4-4.9+3.5
9/30/2001-20.8-14.9+5.9
3/31/2001-6.5-0.1+6.4
12/31/2000-6.9+3.3+10.2
6/30/2000-3.8+3.7+7.5
9/30/1999-6.3-4.8+1.5

Capture Ratios

DATE UP DOWN
From Russell 2000's Inception
(12/31/1978 - 6/30/2014)
90% 70%
Ten Year 99% 93%
Five Year 97% 104%

Upside Capture Ratio measures a manager's performance in up markets relative to the Fund's benchmark. It is calculated by measuring the Fund's performance in quarters when the benchmark goes up and dividing it by the benchmark's return in those quarters.

Downside Capture Ratio measures a manager's performance in down markets relative to the Fund's benchmark. It is calculated by measuring the Fund's performance in quarters when the benchmark goes down and dividing it by the benchmark's return in those quarters.

Long Term Risk Measurementas of

Over the past 10 years, the Fund outperformed the Russell 2000 with lower volatility.
Over the past 5 years, the Fund produced lower volatility than the Russell 2000.
Over the past 3 years, the Fund produced lower volatility than the Russell 2000.

Go to Relative Risk Spectrum Tool

The Fund produced lower volatility than the Russell 2000 and 50% of small-cap objective funds, as shown by its standard deviation.
The Fund produced lower volatility than the Russell 2000 and 50% of small-cap objective funds, as shown by its standard deviation.
The Fund beat the Russell 2000 and performed within the top 50% of small-cap objective funds on a risk-adjusted basis, as shown by its Sharpe ratio. In addition, the Fund produced lower volatility than the Russell 2000 and 50% of small-cap objective funds, as shown by its standard deviation.

Morningstar Statistical Measures as of 6/30/2014

Sharpe RatioStandard Deviation
Pennsylvania Mutual0.4918.84
Russell 20000.4419.73
Category Median0.4619.30
Best Quartile Breakpoint0.5118.45

Category Median and Best Quartile Breakpoint based on 291 small-cap objective funds (oldest class only) with at least ten years of history.
Sharpe Ratio Standard Deviation
Pennsylvania Mutual
Russell 2000
Category Median
Best Quartile Breakpoint

Composition

Market Cap Exposureas of 6/30/2014

  • Small-Cap
    $1.9B
    Avg. Market Cap

Diagnosticsas of 6/30/2014

Weighted Avg. P/E,
20.7x
Weighted Avg. P/B
2.2x
2013 Portfolio Turnover
26%
85%

Portfolio Allocation as of 6/30/2014

  • Diversified
    461
    Holdings

Top 200 holdings represented 82% of the Fund's equity investments as of 6/30/2014.

SECTORS
PENNX(%) RUSSELL 2000(%)
Industrials
24.3
13.8
Information Technology
20.4
17.9
Consumer Discretionary
14.7
13.3
Financials
11.0
23.0
Materials
10.8
5.1
Energy
7.2
6.4
Health Care
6.5
13.3
Consumer Staples
2.1
3.1
Diversified Investment Companies
0.4
-
Telecommunication Services
0.2
0.8
Utilities
-
3.4
Cash and Cash Equivalents
2.5
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Reliance Steel & Aluminum
1.1
NVR
1.0
Unit Corporation
1.0
Federated Investors Cl. B
0.9
Pason Systems
0.8
Genesco
0.8
Nu Skin Enterprises Cl. A
0.7
Thor Industries
0.6
Tennant Company
0.6
Helmerich & Payne
0.6
Top 10 as % of Net Assets
8.3

Portfolio Holdings

View the complete list of holdings for this fund as of 6/30/2014. Unaudited schedule of portfolio holdings is presented for informational purposes only.

Least Portfolio Overlap

Greatest Portfolio Overlap

Geographical Breakdown

Distributions

NAV & Distributions


Start DateEnd Date
to

Learn more about distributions

Distributions

RECORD
DATE
EX-DATE PAYABLE
DATE
INCOME ($) SHORT
TERM
GAINS ($)
LONG
TERM
GAINS ($)
RETURN OF
CAPITAL ($)
TOTAL ($) REINVEST
PRICE ($)
12/4/2013 12/5/2013 12/5/2013 0.0013 0.1391 0.6517 - 0.7921 14.16
12/27/2012 12/28/2012 12/28/2012 0.0387 - - - 0.0387 11.27
12/5/2012 12/6/2012 12/6/2012 0.1145 0.0344 0.6141 - 0.7630 11.16
12/7/2011 12/8/2011 12/8/2011 0.0194 - 0.3797 - 0.3991 10.62
12/8/2010 12/9/2010 12/9/2010 0.0538 - - - 0.0538 11.41
12/8/2009 12/9/2009 12/9/2009 0.0076 - - - 0.0076 9.09

NAV History for

Fees & Expenses

Shareholder Fees (%)

(fees paid directly from your investment)

Maximum sales charge (load) imposed on purchases0.00
Maximum deferred sales charge0.00
Maximum sales charge (load) imposed on reinvested dividends0.00
Redemption fee (as a percentage of amount redeemed on shares held for less than 180 days)1.00

Annual Fund Operating Expenses (%)

(expenses that you pay each year as a percentage of the value of your investment)

Management fees 0.75
Distribution (12b-1) fees 0.00
Other expenses 0.17
Acquired fund fees and expenses 0.01
Total annual Fund operating expenses 0.93
Total annual Fund operating expenses may differ from the expense ratio in the Fund's Financial Highlights because they include only the Fund's direct operating expenses and do not include acquired fund fees and expenses, which reflect the estimated amount of the fees and expenses incurred indirectly by the Fund through its investments in mutual funds, hedge funds, private equity funds, and other investment companies.

Important Disclosure Information

This material is not authorized for distribution unless preceded or accompanied by a current prospectus. Please read the prospectus carefully before investing or sending money. The Fund invests primarily in small-cap stocks, which may involve considerably more risk than investing in larger-cap stocks. (Please see "Primary Risks for Fund Investors" in the prospectus.) The Fund’s broadly diversified portfolio does not ensure a profit or guarantee against loss. The Fund may invest up to 25% of its net assets in foreign securities (measured at the time of investment), which may involve political, economic, currency, and other risks not encountered in U.S. investments. (Please see "Investing in Foreign Securities" in the prospectus.)

Sector weightings are determined using the Global Industry Classification Standard ("GICS"). GICS was developed by, and is the exclusive property of, Standard & Poor's Financial Services LLC ("S&P") and MSCI Inc. ("MSCI"). GICS is the trademark of S&P and MSCI. "Global Industry Classification Standard (GICS)" and "GICS Direct" are service marks of S&P and MSCI.

The Price-Earnings, or P/E, Ratio is calculated by dividing a company's share price by its trailing 12-month earnings-per-share (EPS). The Price-to-Book, or P/B, Ratio is calculated by dividing a company's share price by its book value per share. The Sharpe Ratio is calculated for a specified period by dividing a fund's annualized excess returns by its annualized standard deviation. The higher the Sharpe Ratio, the better the fund's historical risk-adjusted performance. Standard deviation is a statistical measure within which a fund's total returns have varied over time. The greater the standard deviation, the greater a fund's volatility. Please read the prospectus for a more complete discussion of risk. Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group. The Russell 2000 is an unmanaged, capitalization-weighted index of domestic small-cap stocks. It measures the performance of the 2,000 smallest publicly traded U.S. companies in the Russell 3000 index. The performance of an index does not represent exactly any particular investment, as you cannot invest directly in an index.

10/31/1972 12:00:00 AM
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