Royce Small-Cap Fund (PENNX, RYPFX, RYPCX, RPMIX, RPMRX)
1

At a Glance

Why invest in Small-Cap?

  • One of the first open-end small-cap funds.
  • Multi-discipline approach that offers exposure to strategies that have tended to perform well in different market environments, including High Quality, Emerging Quality, Traditional Value, and Quality Value.
  • Outperformed its benchmark for the 3-, 5-, 10-, 20-, 25-, 30-, 35-, and 40-year periods ended 9/30/24.

Morningstar Overall Rating TM

Based on risk-adjusted returns out of 563 Small Blend Funds as of 9/30/24

As of 09/30/24

  • Small-Cap
    Core Approach
    $3.59B
    Avg. Market Cap
  • Below Average
    Volatility
    88%
    Active Share
  • Fund
    Longevity
    45+
    Years of History

Portfolio Management

"Our task is to scour the large and diverse universe of small-cap companies for businesses that look mispriced and underappreciated. They must also have a discernible margin of safety. We are looking for stocks trading at a discount to our estimate of their worth as businesses."
—Chuck Royce

Manager Tenure

Manager Tenure

Performance

Average Annual Total Returns (%)

Outperformed Russell 2000 for the 3-Year, 5-Year, 10-Year, 20-Year and 30-Year periods as of 09/30/24.
QTR YTD 1YR 3YR 5YR 10YR 15YR 20YR 25YR 35YR 45YR 50YR
Small-Cap 4.38 9.0423.077.0211.649.6010.589.0210.3010.2011.8414.69
Russell 2000 9.27 11.1726.761.849.398.7810.598.498.279.0210.43N/A

Annual Operating Expenses: 0.94

OCT YTD 1YR 3YR 5YR 10YR 15YR 20YR 25YR 35YR 45YR 50YR
Small-Cap -2.80 5.9927.384.4810.488.7910.728.8510.2710.1912.1014.33
Russell 2000 -1.44 9.5634.07-0.058.507.9411.008.308.199.1710.68N/A

Annual Operating Expenses: 0.94

NOV YTD 1YR 3YR 5YR 10YR 15YR 20YR 25YR 35YR 45YR 50YR
Small-Cap 4.73 11.0022.844.9411.059.2910.788.8210.2210.3312.1614.77
Russell 2000 N/A N/AN/AN/AN/AN/AN/AN/AN/AN/AN/AN/A

Annual Operating Expenses: 0.94

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. Current month-end performance may be higher or lower than performance quoted and may be obtained at www.royceinvest.com. Operating expenses reflect the Fund's total annual operating expenses for the Investment Class as of the Fund's most current prospectus and include management fees and other expenses.

Rolling Returns

On a monthly basis, the Fund outperformed the Russell 2000 in 63% of all 5-Year periods; and 62% of all 1-Year periods.

For 99% of the periods, 10-year average annual total returns were greater than 5%; For 71% of the periods, 10-year average annual total returns were greater than 10%.

Relative Returns: Monthly Rolling Average Annual Return Periods 25 Years Through 09/30/24

periods beating
the index(%)		 fund
avg(%)		 index
avg(%)
10-year
83/181
 46 9.0 8.6
5-year
152/241
 63 9.7 8.6
1-year
179/289
 62 11.7 9.4

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

Return Range Periods % in Range
> 10% 358 71
> 5% and ≤ 10% 141 28
> 0% and ≤ 5% 4 1
≤ 0% 0 0

The Fund averaged a 12.9% return over all 503 10-year monthly rolling return periods.

Market Cycle Performance

The Fund outperformed the Russell 2000 from the 11/8/21 index peak through current (9/30/24) and in one of the two previous full market cycle periods.
Peak-Peak - 06/23/15 - 08/31/18
Small-Cap43.6%
Russell 200040.4%

Peak-Peak - 08/31/18 - 11/08/21
Small-Cap44.0%
Russell 200046.2%

Peak-Current - 11/08/21 - 09/30/24
Small-Cap11.4%
Russell 2000-4.7%

Royce defines market cycles as those that have retreated at least 15% from a previous market peak and have rebounded to establish a new peak above the previous one. 

Royce defines market cycles as those that have retreated at least 15% from a previous market peak and have rebounded to establish a new peak above the previous one. 

Calendar Year Total Returns (%)

 

Growth of Investment

Value of $10,000 invested between 12/31/78 and 09/30/24

Small-Cap$2,088,878.20
Russell 2000$1,201,986.73

The since inception performance above dates to the inception of the Russell 2000 on 12/31/1978.

Risk

Below Average Volatility vs. Peer Group as of 09/30/24

The Fund has a below average volatility within its peer group of 512 Small-Cap Funds based on 5-year rolling standard deviation.

Down Market Performance Comparisonas of 09/30/24

The Fund outperformed the Russell 2000 during 12 out of 14 downturns of 15% or more from the index’s prior historical high since the index’s inception.

Market Downturns (%)

DownMarketImg
Outperformed in 11 out of 17 down quarters.

Russell 2000 Down Quarters

QUARTER ENDRUSSELL 2000 (%)SMALL-CAP (%)SPREAD (%)
06/30/24-3.3-1.8+1.5
09/30/23-5.1-2.7+2.4
09/30/22-2.2-4.5-2.3
06/30/22-17.2-13.3+3.9
03/31/22-7.5-9.1-1.6
09/30/21-4.4-2.2+2.2
03/31/20-30.6-30.3+0.3
09/30/19-2.4-1.2+1.2
12/31/18-20.2-18.4+1.8
03/31/18-0.1+0.7+0.8
03/31/16-1.5+6.2+7.7
09/30/15-11.9-13.0-1.1
09/30/14-7.4-7.6-0.2
06/30/12-3.5-7.2-3.7
09/30/11-21.9-21.1+0.8
06/30/11-1.6-1.8-0.2
06/30/10-9.9-8.5+1.4

Capture Ratios From 12/31/78 (Russell 2000 Inception) to 09/30/24

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 09/30/24

Over the past 10 years, the Fund outperformed the Russell 2000 Index with lower volatility.
Over the past 5 years, the Fund outperformed the Russell 2000 Index with lower volatility.
Over the past 3 years, the Fund outperformed the Russell 2000 Index with lower volatility.
From the Index's inception, the Fund outperformed the Russell 2000 Index with lower volatility.

Go to Relative Risk Spectrum Tool

Morningstar Statistical Measures as of 09/30/24

The Fund beat the Russell 2000 and performed within the top 25% 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.
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 75% 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 75% of small-cap objective funds, as shown by its standard deviation.
Sharpe RatioStandard Deviation
Small-Cap0.4819.22
Russell 20000.4320.35
Category Median0.4420.12
Best Quartile Breakpoint0.4919.29

Category Median and Best Quartile Breakpoint based on 432 small-cap objective funds (oldest class only) with at least ten years of history.
Sharpe Ratio Standard Deviation
Small-Cap
Russell 2000
Category Median
Best Quartile Breakpoint

Composition

Morningstar Style Map™as of 06/30/24

mstar-PENNX

The Morningstar Style Map is the Morningstar Style Box™ with the center 75% of fund holdings plotted as the Morningstar Ownership Zone™. The Morningstar Style Box is designed to reveal a fund's investment strategy. The Morningstar Ownership Zone provides detail about a portfolio's investment style by showing the range of stock sizes and styles. The Ownership Zone is derived by plotting each stock in the portfolio within the proprietary Morningstar Style Box. The shaded area represents the center 75% of the Fund's assets while the plot point in the middle represents the weighted average of its holdings. Over time, the shape and location of a fund's ownership zone may vary.

Portfolio Diagnosticsas of 09/30/24

  PENNX Russell 2000
Average Market Cap
3.59B
2.63B
Active Share
88%
-
2023 Portfolio Turnover
40%
-
Weighted Average P/E,
17.6x
-
Weighted Average P/B,
2.2x
2.1x
U.S. Investments (% of Net Assets)
81.5%
-
Non-U.S. Investments (% of Net Assets)
14.8%
-

Portfolio Allocation

  • Total
    Holdings
    286

Top 200 holdings represented 93% of the Fund's equity investments as of 09/30/24.

SECTORS		PENNX (%) RUSSELL
2000 (%)
Industrials
27.1
17.0
Information Technology
18.8
12.8
Financials
18.0
18.1
Consumer Discretionary
8.6
10.0
Health Care
8.4
17.5
Materials
7.2
4.5
Communication Services
2.5
2.7
Real Estate
2.5
6.4
Energy
1.8
5.3
Consumer Staples
1.4
2.8
Utilities
-
2.8
Cash and Cash Equivalents
3.7
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Arcosa
1.9
First Citizens BancShares Cl. A
1.7
Air Lease Cl. A
1.5
Element Solutions
1.4
Haemonetics Corporation
1.4
Enovis Corporation
1.2
Onto Innovation
1.2
Assured Guaranty
1.2
TransMedics Group
1.1
SEI Investments
1.1
Cirrus Logic
1.1
E-L Financial
1.1
Innospec
1.1
Alamos Gold Cl. A
1.0
Computer Modelling Group
1.0
Fabrinet
1.0
Popular
1.0
Transcat
1.0
PAR Technology
0.9
Ziff Davis
0.9
Top 20 as % of Net Assets
23.8

SECTORS		PENNX (%) RUSSELL
2000 (%)
Industrials
27.1
-
Information Technology
18.6
-
Financials
18.1
-
Consumer Discretionary
8.2
-
Health Care
7.7
-
Materials
7.2
-
Real Estate
2.5
-
Communication Services
2.4
-
Energy
2.1
-
Consumer Staples
1.3
-
Cash and Cash Equivalents
4.7
-
POSITIONS% OF NET ASSETS
(SUBJECT TO CHANGE)
Arcosa
2.0
Element Solutions
1.5
Air Lease Cl. A
1.4
Assured Guaranty
1.3
Haemonetics Corporation
1.3
SEI Investments
1.3
E-L Financial
1.2
Onto Innovation
1.2
Enovis Corporation
1.1
First Citizens BancShares Cl. A
1.1
Alamos Gold Cl. A
1.1
PAR Technology
1.1
Innospec
1.1
Computer Modelling Group
1.0
ESAB Corporation
1.0
Cirrus Logic
1.0
Fabrinet
1.0
Ziff Davis
0.9
Kirby Corporation
0.9
Popular
0.9
Top 20 as % of Net Assets
23.4

Portfolio Holdings

Unaudited schedules of portfolio holdings are presented for informational purposes only.

View the complete list of holdings (unaudited) for this fund as of the previous quarter-end: 09/30/24.

Least Portfolio Overlap - U.S. Equity Funds

Greatest Portfolio Overlap - U.S. Equity Funds

Geographical Breakdown

Distributions

NAV & Distributions


Start DateEnd Date
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Distributions

RECORD
DATE		 EX-DATE PAYABLE
DATE		 INCOME ($) SHORT
TERM
GAINS ($)		 LONG
TERM
GAINS ($)		 RETURN OF
CAPITAL ($)		 TOTAL ($) REINVEST
PRICE ($)
12/13/23 12/14/23 12/14/23 0.0357 0.0105 0.4043 - 0.4505 9.02
12/14/22 12/15/22 12/15/22 0.0055 0.0204 0.3688 - 0.3947 7.63
12/15/21 12/16/21 12/16/21 0.0062 0.2362 2.4786 - 2.7210 9.22
12/09/20 12/10/20 12/10/20 0.0602 - 0.4569 - 0.5171 10.01
12/11/19 12/12/19 12/12/19 0.0253 - 0.3384 - 0.3637 9.32
12/12/18 12/13/18 12/13/18 0.0148 0.0578 1.7624 - 1.8350 8.11
12/13/17 12/14/17 12/14/17 0.0610 - 2.1766 - 2.2376 10.28
12/14/16 12/15/16 12/15/16 0.0396 - 0.7481 - 0.7877 11.14
12/16/15 12/17/15 12/17/15 0.0965 0.0124 2.0662 - 2.1751 9.29
12/16/14 12/17/14 12/17/14 0.0468 0.0660 1.4702 - 1.5830 12.65
12/04/13 12/05/13 12/05/13 0.0013 0.1391 0.6517 - 0.7921 14.16
12/27/12 12/28/12 12/28/12 0.0387 - - - 0.0387 11.27
12/05/12 12/06/12 12/06/12 0.1145 0.0344 0.6141 - 0.7630 11.16
12/07/11 12/08/11 12/08/11 0.0194 - 0.3797 - 0.3991 10.62
12/08/10 12/09/10 12/09/10 0.0538 - - - 0.0538 11.41
12/08/09 12/09/09 12/09/09 0.0076 - - - 0.0076 9.09

NAV History for

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Fees & Expenses

Shareholder Fees (%)

(fees paid directly from your investment)

Maximum sales charge (load) imposed on purchases 0.00
Maximum deferred sales charge 0.00
Maximum sales charge (load) imposed on reinvested dividends 0.00
Redemption fee (as a percentage of amount redeemed on shares held for less than 30 days) 1.00

Annual Fund Operating Expenses (%)

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

Management fees 0.76
Distribution (12b-1) fees 0.00
Other expenses 0.18
Total annual Fund operating expenses 0.94

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 and micro-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 that 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 Portfolio's P/E ratio calculation excludes cash holdings and companies with zero or negative earnings. The Price-to-Book, or P/B, Ratio is calculated by dividing a company's share price by its book value per share. Standard deviation is a statistical measure within which a client account’s total returns have varied over time. The greater the standard deviation, the greater a portfolio’s volatility.
Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and/or Russell ratings or underlying data and no party may rely on any Russell Indexes and/or Russell ratings and/or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. Source: MSCI.  MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein.  The MSCI data may not be further redistributed or used as a basis for other indexes or any securities or financial products.  This report is not approved, endorsed, reviewed or produced by MSCI. None of the MSCI data is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. 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.

† Francis Gannon since 2024, Jay Kaplan since 2016 (assistant portfolio manager 2003-2016), Lauren Romeo since 2016 (assistant portfolio manager 2006-2016), Steven McBoyle since 2019, Andrew Palen since 2021 (assistant portfolio manager 2018-2021) and Miles Lewis since 2021

10/31/1972 12:00:00 AM

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